NPORT-EX 2 NPORT_3745980784874300.htm Loomis Sayles Senior Floating Rate and Fixed Income Fund

PORTFOLIO OF INVESTMENTS – as of August 31, 2020 (Unaudited)

Loomis Sayles Senior Floating Rate and Fixed Income Fund

 

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – 83.6% of Net Assets

   
   Aerospace & Defense – 1.5%

 

  $  5,451,874     

Advanced Integration Technology LP, 2017 Term Loan B,

1-month LIBOR + 4.750%, 5.750%, 4/03/2023(a)

    $ 4,525,055  
  4,586,250     

DynCorp International, Inc., 2019 Term Loan B,

1-month LIBOR + 6.000%, 7.000%, 8/18/2025(a)

      4,540,388  
  9,725,564     

TransDigm, Inc., 2020 Term Loan F,

1-month LIBOR + 2.250%, 2.406%, 12/09/2025(a)

      9,207,386  
     

 

 

  
          18,272,829  
     

 

 

  
   Airlines – 0.3%

 

  4,150,811     

Allegiant Travel Co., 2020 Term Loan,

3-month LIBOR + 3.000%, 3.254%, 2/05/2024(a)

      3,844,689  
     

 

 

  
   Automotive – 5.5%

 

  2,209,677     

American Axle & Manufacturing, Inc., Term Loan B,

1-month LIBOR + 2.250%, 3.000%, 4/06/2024(a)

      2,146,547  
  3,423,388     

Belron Finance U.S. LLC, 2019 USD Term Loan B,

3-month LIBOR + 2.500%, 2.768%, 10/30/2026(a)

      3,363,479  
  8,974,663     

Clarios Global LP, USD Term Loan B,

1-month LIBOR + 3.500%, 3.659%, 4/30/2026(a)

      8,786,733  
  9,236,280     

Dayco Products LLC, 2017 Term Loan B,

3-month LIBOR + 4.250%, 4.506%, 5/19/2023(a)

      5,757,251  
  10,717,702     

Holley Purchaser, Inc., Term Loan B,

3-month LIBOR + 5.000%, 5.261%, 10/24/2025(a)

      9,967,463  
  4,380,265     

IXS Holdings, Inc., 2020 Term Loan B,

3-month LIBOR + 5.000%, 6.000%, 3/05/2027(a)

      4,259,807  
  9,580,917     

Mister Car Wash Holdings, Inc., 2019 Term Loan B,

6-month LIBOR + 3.250%, 4.375%, 5/14/2026(a)

      8,985,559  
  7,884,229     

Trico Group LLC, 2020 Term Loan B,

2/02/2024(b)

      7,726,544  
  2,000,000     

Trico Group LLC, 2020 Term Loan B,

2-month LIBOR + 7.500%, 8.500%, 2/02/2024(a)

      1,960,000  
  8,311,413     

Truck Hero, Inc., 1st Lien Term Loan,

1-month LIBOR + 3.750%, 3.906%, 4/22/2024(a)

      8,005,470  
  6,629,950     

Wand NewCo 3, Inc., 2020 Term Loan,

3-month LIBOR + 3.000%, 4.072%, 2/05/2026(a)

      6,368,929  
     

 

 

  
        67,327,782  
     

 

 

  
   Brokerage – 0.4%

 

  997,468     

Edelman Financial Center LLC, 2018 1st Lien Term Loan,

1-month LIBOR + 3.000%, 3.170%, 7/21/2025(a)

      965,050  
  3,852,045     

Edelman Financial Center LLC, 2018 2nd Lien Term Loan,

1-month LIBOR + 6.750%, 6.920%, 7/20/2026(a)

      3,628,164  
     

 

 

  
        4,593,214  
     

 

 

  
   Building Materials – 5.4%

 

  1,293,156     

American Builders & Contractors Supply Co., Inc., 2019 Term Loan,

1-month LIBOR + 2.000%, 2.156%, 1/15/2027(a)

      1,257,996  
  7,809,603     

Big Ass Fans LLC, 2018 Term Loan,

3-month LIBOR + 3.750%, 4.750%, 5/21/2024(a)

      6,950,547  
  4,000,000     

Floor & Decor Outlets of America, Inc., 2020 Incremental Term Loan B1,

1-month LIBOR + 4.000%, 5.000%, 2/15/2027(a)

      3,910,000  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Building Materials – continued

 

  $  6,939,484     

Interior Logic Group Holdings IV LLC, 2018 Term Loan B,

1-month LIBOR + 4.000%, 4.156%, 5/30/2025(a)

    $ 6,592,510  
  8,479,037     

Janus International Group LLC, 2018 1st Lien Term Loan,

3-month LIBOR + 3.750%, 4.822%, 2/12/2025(a)

      8,182,271  
  9,134,791     

Jeld-Wen, Inc., 2017 1st Lien Term Loan,

1-month LIBOR + 2.000%, 2.156%, 12/14/2024(a)

      8,910,988  
  7,291,653     

Mannington Mills, Inc., 2019 Term Loan B,

3-month LIBOR + 4.000%, 4.308%, 8/06/2026(a)

      6,943,039  
  10,390,874     

NCI Building Systems, Inc., 2018 Term Loan,

1-month LIBOR + 3.750%, 3.918%, 4/12/2025(a)

      10,183,056  
  6,810,406     

Quikrete Holdings, Inc., 2016 1st Lien Term Loan,

1-month LIBOR + 2.500%, 2.656%, 2/01/2027(a)

      6,627,956  
  6,869,683     

Wilsonart LLC, 2017 Term Loan B,

3-month LIBOR + 3.250%, 4.250%, 12/19/2023(a)

      6,780,926  
     

 

 

  
          66,339,289  
     

 

 

  
   Cable Satellite – 1.9%

 

  8,626,687     

CSC Holdings LLC, 2019 Term Loan B5,

1-month LIBOR + 2.500%, 2.658%, 4/15/2027(a)

      8,337,089  
  1,500,000     

Terrier Media Buyer, Inc., 2020 Term Loan B,

1-month LIBOR + 4.250%, 4.406%, 12/17/2026(a)

      1,455,000  
  3,824,780     

Terrier Media Buyer, Inc., Term Loan B,

1-month LIBOR + 4.250%, 4.406%, 12/17/2026(a)

      3,744,689  
  2,676,000     

UPC Broadband Holding B.V., 2020 USD Term Loan B1,

1/31/2029(b)

      2,649,909  
  2,676,292     

UPC Broadband Holding B.V., 2020 USD Term Loan B2,

1/31/2029(b)

      2,650,199  
  5,000,000     

Virgin Media Bristol LLC, USD Term Loan N,

1/31/2028(b)

      4,861,100  
     

 

 

  
        23,697,986  
     

 

 

  
   Chemicals – 1.7%

 

  3,639,000     

Aruba Investments, Inc., 2020 USD Term Loan B,

6-month LIBOR + 4.250%, 5.250%, 7/07/2025(a)

      3,625,354  
  3,971,519     

Hexion, Inc., USD Exit Term Loan,

3-month LIBOR + 3.500%, 3.800%, 7/01/2026(a)

      3,906,982  
  2,000,000     

Momentive Performance Materials, Inc., Term Loan B,

5/15/2024(b)

      1,897,500  
  1,546,096     

Momentive Performance Materials, Inc., Term Loan B,

1-month LIBOR + 3.250%, 3.410%, 5/15/2024(a)

      1,466,858  
  5,140,403     

Natgasoline LLC, Term Loan B,

3-month LIBOR + 3.500%, 3.813%, 11/14/2025(a)

      4,780,575  
  2,700,000     

Univar, Inc., 2017 USD Term Loan B3,

7/01/2024(b)

      2,643,597  
  2,277,555     

Univar, Inc., 2019 USD Term Loan B5,

1-month LIBOR + 2.000%, 2.156%, 7/01/2026(a)

      2,209,228  
     

 

 

  
        20,530,094  
     

 

 

  
   Construction Machinery – 0.4%

 

  3,405,729     

CTOS LLC, 2020 Term Loan B,

1-month LIBOR + 4.250%, 4.433%, 4/18/2025(a)

      3,365,303  
  3,266,549     

Onsite Rental Group Pty Ltd., Note,

6.100%, 10/26/2023(c)(d)(e)(f)

      1,698,606  
     

 

 

  
        5,063,909  
     

 

 

  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Consumer Cyclical Services – 7.0%

 

  $  11,577,803     

Access CIG LLC, 2018 1st Lien Term Loan,

LIBOR + 3.750%, 3.906%, 2/27/2025(g)

    $   11,163,549  
  6,975,000     

Access CIG LLC, 2018 2nd Lien Term Loan,

3-month LIBOR + 7.750%, 7.906%, 2/27/2026(a)

      6,335,602  
  16,382,672     

ASP MCS Acquisition Corp., Term Loan B,

6-month LIBOR + 4.750%, 5.750%, 5/18/2024(a)(d)(e)(h)

      7,536,029  
  6,671,598     

BIFM CA Buyer, Inc., Term Loan B,

3-month LIBOR + 3.750%, 4.006%, 6/01/2026(a)

      6,554,845  
  6,174,011     

Boing U.S. Holdco, Inc., 2017 1st Lien Term Loan,

1-month LIBOR + 3.250%, 4.250%, 10/03/2024(a)

      5,981,567  
  7,920,667     

Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan,

1-month LIBOR + 7.500%, 8.500%, 10/03/2025(a)

      7,287,013  
  1,000,000     

Creative Artists Agency LLC, 2019 Term Loan B,

11/27/2026(b)

      952,500  
  5,647,575     

Creative Artists Agency LLC, 2019 Term Loan B,

1-month LIBOR + 3.750%, 3.906%, 11/27/2026(a)

      5,379,315  
  9,102,186     

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B,

1-month LIBOR + 2.750%, 2.906%, 8/21/2025(a)

      8,700,142  
  1,890,000     

DG Investment Intermediate Holdings 2, Inc., 2018 2nd Lien Term Loan,

1-month LIBOR + 6.750%, 7.500%, 2/02/2026(a)

      1,701,000  
  1,283,593     

National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan,

5/23/2025(b)

      1,244,020  
  5,145,850     

Sterling Midco Holdings, Inc., 1st Lien Term Loan,

3-month LIBOR + 3.500%, 4.500%, 6/19/2024(a)

      4,484,917  
  2,000,000     

STG-Fairway Holdings LLC, Term Loan B,

3-month LIBOR + 3.250%, 4.322%, 1/31/2027(a)

      1,925,000  
  3,605,955     

Thoughtworks, Inc., 2020 Term Loan,

3-month LIBOR + 3.750%, 4.750%, 10/11/2024(a)

      3,529,329  
  2,493,606     

West Corp., 2017 Term Loan,

3-month LIBOR + 4.000%, 5.000%, 10/10/2024(a)

      2,225,294  
  6,532,619     

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan,

1-month LIBOR + 2.750%, 2.910%, 5/18/2025(a)

      5,275,090  
  5,753,941     

Xerox Business Services LLC, USD Term Loan B,

1-month LIBOR + 2.500%, 2.656%, 12/07/2023(a)

      5,400,073  
     

 

 

  
        85,675,285  
     

 

 

  
   Consumer Products – 7.2%

 

  21,246,740     

Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan,

3-month LIBOR + 6.500%, 7.500%, 7/25/2022(a)

      18,644,014  
  2,088,751     

Anastasia Parent LLC, 2018 Term Loan B,

3-month LIBOR + 3.750%, 4.058%, 8/11/2025(a)

      860,732  
  8,976,571     

Augusta Sportswear Group, Inc., Term Loan B,

3-month LIBOR + 4.500%, 5.500%, 10/26/2023(a)

      7,125,153  
  8,260,811     

CWGS Group LLC, 2016 Term Loan,

1-month LIBOR + 2.750%, 3.500%, 11/08/2023(a)

      7,993,656  
  8,249,040     

Highline Aftermarket Acquisition LLC, 2018 Term Loan B,

6-month LIBOR + 3.500%, 4.625%, 4/26/2025(a)

      7,362,269  
  8,508,235     

Inmar Holdings, Inc., 2017 1st Lien Term Loan,

3-month LIBOR + 4.000%, 5.072%, 5/01/2024(a)

      7,943,033  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Consumer Products – continued

 

  $  6,464,328     

Polyconcept Investments BV, USD 2016 Term Loan B,

3-month LIBOR + 4.500%, 5.500%, 8/16/2023(a)

    $ 5,090,658  
  4,213,286     

Serta Simmons Bedding LLC, 1st Lien Term Loan,

3-month LIBOR + 3.500%, 4.500%, 11/08/2023(a)(d)(h)

      1,060,611  
  8,706,238     

SIWF Holdings, Inc., 1st Lien Term Loan,

3-month LIBOR + 4.250%, 5.322%, 6/15/2025(a)

      8,212,855  
  6,916,384     

Strategic Partners Acquisition Corp., 2016 Term Loan,

1-month LIBOR + 3.750%, 4.750%, 6/30/2023(a)

      6,812,638  
  4,112,628     

Thor Industries, Inc., USD Term Loan B,

1-month LIBOR + 3.750%, 3.938%, 2/01/2026(a)

      4,061,220  
  5,923,417     

Weight Watchers International, Inc., 2017 Term Loan B,

1-month LIBOR + 4.750%, 5.500%, 11/29/2024(a)

      5,886,395  
  6,783,987     

Wellness Merger Sub, Inc., 1st Lien Term Loan,

3-month LIBOR + 4.000%, 4.256%, 6/30/2024(a)

      6,634,197  
     

 

 

  
        87,687,431  
     

 

 

  
   Diversified Manufacturing – 0.9%

 

  4,974,747     

Engineered Machinery Holdings, Inc., 2018 Incremental Term Loan,

3-month LIBOR + 4.250%, 5.250%, 7/19/2024(a)

      4,844,160  
  1,668,465     

Granite Holdings U.S. Acquisition Co., Term Loan B,

3-month LIBOR + 5.250%, 6.322%, 9/30/2026(a)

      1,610,069  
  4,525,000     

Vertical U.S. Newco, Inc., USD Term Loan B,

7/30/2027(b)

      4,482,601  
     

 

 

  
          10,936,830  
     

 

 

  
   Electric – 2.0%

 

  8,350,611     

CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan,

1-month LIBOR + 3.500%, 3.656%, 8/08/2025(a)

      7,863,520  
  5,191,765     

KAMC Holdings, Inc., 2019 Term Loan,

LIBOR + 4.000%, 4.256%, 8/14/2026(g)

      4,555,774  
  2,314,750     

Oregon Clean Energy LLC, Term Loan,

1-month LIBOR + 3.750%, 4.750%, 3/01/2026(a)

      2,276,163  
  4,597,919     

Revere Power LLC, Term Loan B,

1-month LIBOR + 4.250%, 4.406%, 3/29/2026(a)

      4,222,407  
  331,985     

Revere Power LLC, Term Loan C,

1-month LIBOR + 4.250%, 4.406%, 3/29/2026(a)

      304,872  
  5,279,095     

West Deptford Energy Holdings LLC, Term Loan B,

1-month LIBOR + 3.750%, 3.906%, 8/03/2026(a)

      4,856,767  
     

 

 

  
        24,079,503  
     

 

 

  
   Environmental – 0.5%

 

  6,617,854     

EnergySolutions LLC, 2018 Term Loan B,

3-month LIBOR + 3.750%, 4.750%, 5/09/2025(a)

      6,118,736  
     

 

 

  
   Financial Other – 3.4%

 

  17,508,486     

Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan,

1-month LIBOR + 4.500%, 4.656%, 2/28/2025(a)

      15,741,180  
  329     

AqGen Ascensus, Inc., 2017 Repriced Term Loan,

3-month LIBOR + 4.000%, 5.072%, 12/03/2022(a)

      329  
  4,750,000     

AqGen Ascensus, Inc., 2020 Term Loan,

12/13/2026(b)

      4,714,375  
  2,701,000     

GT Polaris, Inc., Term Loan B,

8/04/2027(b)

      2,677,366  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Financial Other – continued

 

  $  5,685,270     

LifeMiles Ltd., Term Loan B,

3-month LIBOR + 5.500%, 6.500%, 8/18/2022(a)

    $ 5,145,170  
  2,992,347     

NAB Holdings LLC, 2017 Repriced Term Loan,

3-month LIBOR + 3.000%, 4.000%, 7/01/2024(a)

      2,819,120  
  10,698,158     

Teneo Holdings LLC, Term Loan,

1-month LIBOR + 5.250%, 6.250%, 7/11/2025(a)

      10,270,231  
     

 

 

  
        41,367,771  
     

 

 

  
   Gaming – 0.8%

 

  4,987,212     

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B,

1-month LIBOR + 2.750%, 2.906%, 12/23/2024(a)

      4,678,654  
  1,471,000     

Caesars Resort Collection LLC, 2020 Term Loan B1,

3-month LIBOR + 4.500%, 4.726%, 7/21/2025(i)

      1,424,119  
  2,400,000     

PCI Gaming Authority, Term Loan,

5/29/2026(b)

      2,321,328  
  1,317,404     

PCI Gaming Authority, Term Loan,

1-month LIBOR + 2.500%, 2.656%, 5/29/2026(a)

        1,274,219  
     

 

 

  
        9,698,320  
     

 

 

  
   Health Insurance – 0.8%

 

  4,015,463     

Sedgwick Claims Management Services, Inc., 2018 Term Loan B,

1-month LIBOR + 3.250%, 3.406%, 12/31/2025(a)

      3,878,255  
  5,871,133     

Sedgwick Claims Management Services, Inc., 2019 Term Loan B,

1-month LIBOR + 4.000%, 4.156%, 9/03/2026(a)

      5,778,897  
     

 

 

  
        9,657,152  
     

 

 

  
   Healthcare – 3.6%

 

  4,753,994     

Carestream Dental Equipment, Inc., 2017 1st Lien Term Loan,

3-month LIBOR + 3.250%, 4.322%, 9/01/2024(a)

      4,040,895  
  2,350,000     

DuPage Medical Group Ltd., 2nd Lien Term Loan,

1-month LIBOR + 7.000%, 7.750%, 8/15/2025(a)

      2,091,500  
  6,529,622     

Gentiva Health Services, Inc., 2020 Term Loan,

1-month LIBOR + 3.250%, 3.438%, 7/02/2025(a)

      6,464,326  
  7,792,817     

Global Education Management Systems Establishment, Term Loan,

3-month LIBOR + 5.000%, 6.000%, 7/31/2026(a)

      7,471,364  
  5,444,000     

Milano Acquisition Corp., Term Loan,

8/13/2027(b)

      5,396,365  
  4,684,196     

National Mentor Holdings, Inc., 2019 Term Loan B,

1-month LIBOR + 4.250%, 4.410%, 3/09/2026(a)

      4,635,013  
  213,277     

National Mentor Holdings, Inc., 2019 Term Loan C,

1-month LIBOR + 4.250%, 4.410%, 3/09/2026(a)

      211,037  
  4,987,179     

Surgery Center Holdings, Inc., 2017 Term Loan B,

1-month LIBOR + 3.250%, 4.250%, 9/03/2024(a)

      4,701,314  
  249,375     

Surgery Center Holdings, Inc., 2020 Incremental Term Loan,

1-month LIBOR + 8.000%, 9.000%, 9/03/2024(a)

      251,557  
  8,635,662     

Verscend Holding Corp., 2018 Term Loan B,

1-month LIBOR + 4.500%, 4.656%, 8/27/2025(a)

      8,563,727  
     

 

 

  
        43,827,098  
     

 

 

  
   Home Construction – 0.2%

 

  2,349,854     

Hayward Industries, Inc., 1st Lien Term Loan,

1-month LIBOR + 3.500%, 3.656%, 8/05/2024(a)

      2,308,731  
     

 

 

  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Independent Energy – 0.0%

 

  $  23,593,712     

Gavilan Resources LLC, 2nd Lien Term Loan,

3/01/2024(d)(h)(j)

    $ 117,969  
     

 

 

  
   Industrial Other – 3.8%

 

  7,934,593     

ABG Intermediate Holdings 2 LLC, 2017 1st Lien Add-On Term Loan,

3-month LIBOR + 3.500%, 4.500%, 9/27/2024(a)

      7,765,983  
  4,442,600     

APi Group DE, Inc., Term Loan B,

1-month LIBOR + 2.500%, 2.656%, 10/01/2026(a)

      4,357,435  
  7,455,981     

CIBT Global, Inc., 2017 1st Lien Term Loan,

3-month LIBOR + 3.750%, 4.750%, 6/03/2024(a)

      4,594,749  
  6,288,664     

Harland Clarke Holdings Corp., Term Loan B7,

3-month LIBOR + 4.750%, 5.750%, 11/03/2023(a)

      4,426,465  
  3,509,205     

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan,

1-month LIBOR + 1.750%, 1.906%, 3/01/2027(a)

      3,397,893  
  6,463,616     

International Textile Group, Inc., 1st Lien Term Loan,

3-month LIBOR + 5.000%, 5.366%, 5/01/2024(i)

      4,718,439  
  7,828,000     

International Textile Group, Inc., 2nd Lien Term Loan,

3-month LIBOR + 9.000%, 9.367%, 5/01/2025(a)(d)(h)

      3,522,600  
  10,598,336     

NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B,

3-month LIBOR + 5.500%, 6.500%, 5/11/2023(a)

      8,955,594  
  2,959,650     

Ventia Deco LLC, 2016 Term Loan B,

5/21/2026(b)

      2,937,453  
  1,483,562     

Ventia Deco LLC, 2016 Term Loan B,

3-month LIBOR + 4.000%, 5.000%, 5/21/2026(a)

      1,472,435  
     

 

 

  
          46,149,046  
     

 

 

  
   Integrated Energy – 0.6%

 

  7,397,460     

Matador Bidco S.a.r.l., Term Loan,

1-month LIBOR + 4.750%, 4.906%, 10/15/2026(a)

      7,101,562  
     

 

 

  
   Internet & Data – 3.4%

 

  4,363,000     

A&V Holdings Midco LLC, 2020 Term Loan B,

3-month LIBOR + 5.375%, 6.375%, 3/10/2027(a)

      3,948,515  
  4,139,134     

CareerBuilder LLC, Term Loan,

3-month LIBOR + 6.750%, 7.750%, 7/31/2023(a)

      3,739,004  
  5,290,779     

Castle U.S. Holding Corp., USD Term Loan B,

3-month LIBOR + 3.750%, 4.058%, 1/29/2027(a)

      5,085,762  
  9,502,172     

MH Sub I LLC, 2017 1st Lien Term Loan,

3-month LIBOR + 3.500%, 4.572%, 9/13/2024(a)

      9,246,183  
  8,830,000     

MH Sub I LLC, 2017 2nd Lien Term Loan,

6-month LIBOR + 7.500%, 8.572%, 9/15/2025(a)

      8,719,625  
  2,901,995     

MH Sub I LLC, 2020 Incremental Term Loan,

1-month LIBOR + 3.750%, 4.750%, 9/13/2024(a)

      2,867,548  
  8,269,765     

WeddingWire, Inc., 1st Lien Term Loan,

1-month LIBOR + 4.500%, 4.808%, 12/19/2025(a)

      7,897,626  
     

 

 

  
        41,504,263  
     

 

 

  
   Leisure – 2.8%

 

  5,114,935     

Crown Finance U.S., Inc., 2018 USD Term Loan,

3-month LIBOR + 2.250%, 3.322%, 2/28/2025(a)

      3,996,043  
  4,009,700     

Crown Finance U.S., Inc., 2019 Incremental Term Loan,

6-month LIBOR + 2.500%, 3.572%, 9/30/2026(a)

      3,077,445  
  7,852,287     

Kingpin Intermediate Holdings LLC, 2018 Term Loan B,

1-month LIBOR + 3.500%, 4.500%, 7/03/2024(a)

      6,471,620  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Leisure – continued

 

  $  3,788,759     

Playpower, Inc., 2019 Term Loan,

3-month LIBOR + 5.500%, 5.808%, 5/08/2026(a)

    $ 3,343,580  
  6,871,420     

PUG LLC, USD Term Loan,

1-month LIBOR + 3.500%, 3.656%, 2/12/2027(a)

      5,817,825  
  5,697,493     

Recess Holdings, Inc., 2017 1st Lien Term Loan,

LIBOR + 3.750%, 4.750%, 9/30/2024(g)

      4,864,235  
  7,600,950     

Thunder Finco Pty Ltd., Term Loan B,

1-month LIBOR + 4.000%, 4.750%, 11/26/2026(a)

      6,384,798  
     

 

 

  
          33,955,546  
     

 

 

  
   Lodging – 0.8%

 

  4,164,094     

Aimbridge Acquisition Co., Inc., 2019 Term Loan B,

1-month LIBOR + 3.750%, 3.906%, 2/02/2026(a)

      3,591,531  
  7,184,064     

Golden Nugget, Inc., 2017 Incremental Term Loan B,

LIBOR + 2.500%, 3.250%, 10/04/2023(g)

      6,409,118  
     

 

 

  
        10,000,649  
     

 

 

  
   Media Entertainment – 3.1%

 

  3,388,634     

Diamond Sports Group LLC, Term Loan,

1-month LIBOR + 3.250%, 3.410%, 8/24/2026(a)

      2,859,160  
  4,000,000     

iHeartCommunications, Inc., 2020 Incremental Term Loan,

3-month LIBOR + 4.000%, 4.750%, 5/01/2026(a)

      3,856,680  
  2,848,022     

iHeartCommunications, Inc., 2020 Term Loan,

1-month LIBOR + 3.000%, 3.156%, 5/01/2026(a)

      2,697,475  
  7,205,717     

ION Media Networks, Inc., 2019 Term Loan B,

1-month LIBOR + 3.000%, 3.188%, 12/18/2024(a)

      7,025,574  
  3,989,232     

McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B,

3-month LIBOR + 4.000%, 5.000%, 5/04/2022(a)

      3,434,050  
  4,868,000     

Meredith Corp., 2020 Incremental Term Loan B,

1-month LIBOR + 4.250%, 5.250%, 1/31/2025(a)

      4,786,851  
  2,945,285     

Meredith Corp., 2020 Term Loan B2,

1-month LIBOR + 2.500%, 2.668%, 1/31/2025(a)

      2,830,684  
  9,700,000     

Metro-Goldwyn-Mayer, Inc., 2018 2nd Lien Term Loan,

1-month LIBOR + 4.500%, 5.500%, 7/03/2026(a)

      9,312,000  
  973,379     

Project Sunshine IV PTY Ltd., 2017 Term Loan B,

1-month LIBOR + 7.000%, 8.000%, 8/21/2022(a)(e)(f)

      973,379  
     

 

 

  
        37,775,853  
     

 

 

  
   Metals & Mining – 1.0%

 

  5,848,387     

GrafTech Finance, Inc., 2018 Term Loan B,

1-month LIBOR + 3.500%, 4.500%, 2/12/2025(a)

      5,760,662  
  8,451,486     

U.S. Silica Co., 2018 Term Loan B,

1-month LIBOR + 4.000%, 5.000%, 5/01/2025(a)

      6,755,188  
     

 

 

  
        12,515,850  
     

 

 

  
   Midstream – 1.6%

 

  8,315,776     

Lower Cadence Holdings LLC, Term Loan B,

1-month LIBOR + 4.000%, 4.000%, 5/22/2026(a)

      7,629,724  
  12,732,305     

Prairie ECI Acquiror LP, Term Loan B,

1-month LIBOR + 4.750%, 4.906%, 3/11/2026(a)

      11,411,328  
     

 

 

  
        19,041,052  
     

 

 

  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Packaging – 0.1%

 

  $  1,250,000     

Titan Acquisition Ltd., 2018 Term Loan B,

3/28/2025(b)

    $ 1,178,125  
     

 

 

  
   Pharmaceuticals – 0.5%

 

  5,237,949     

Akorn, Inc., Term Loan B, 1-month LIBOR + 14.500%,

15.500%, (0.750% PIK, 14.750% Cash), 4/16/2021(a)(k)

      4,646,060  
  947,027     

Bausch Health Cos., Inc., Term Loan B,

1-month LIBOR + 2.750%, 2.933%, 11/27/2025(a)

      926,903  
     

 

 

  
        5,572,963  
     

 

 

  
   Property & Casualty Insurance – 1.5%

 

  758,858     

AssuredPartners Capital, Inc., 2020 Incremental Term Loan B,

1-month LIBOR + 4.500%, 5.500%, 2/12/2027(a)

      756,331  
  3,813,910     

AssuredPartners, Inc., 2020 Term Loan B,

1-month LIBOR + 3.500%, 3.656%, 2/12/2027(a)

      3,715,854  
  1,673,000     

Broadstreet Partners, Inc., 2020 Incremental Term Loan B,

1-month LIBOR + 3.750%, 4.750%, 1/27/2027(a)

      1,647,905  
  4,351,690     

Hyperion Insurance Group Ltd., 2017 Repriced Term Loan,

1-month LIBOR + 3.500%, 4.500%, 12/20/2024(a)

      4,303,952  
  5,485,897     

USI, Inc., 2017 Repriced Term Loan,

3-month LIBOR + 3.000%, 3.308%, 5/16/2024(a)

      5,329,330  
  2,578,045     

USI, Inc., 2019 Incremental Term Loan B,

3-month LIBOR + 4.000%, 4.308%, 12/02/2026(a)

      2,535,610  
     

 

 

  
        18,288,982  
     

 

 

  
   Refining – 0.5%

 

  6,975,836     

Delek U.S. Holdings, Inc., 2018 Term Loan B,

1-month LIBOR + 2.250%, 2.406%, 3/31/2025(a)

      6,568,517  
     

 

 

  
   REITs – Retail – 1.1%

 

  6,116,960     

Brookfield Property REIT, Inc., 1st Lien Term Loan B,

1-month LIBOR + 2.500%, 2.656%, 8/27/2025(a)

      4,892,161  
  8,639,000     

Forest City Enterprises LP, 2019 Term Loan B,

1-month LIBOR + 3.500%, 3.656%, 12/08/2025(a)

      8,390,629  
     

 

 

  
          13,282,790  
     

 

 

  
   Restaurants – 3.1%

 

  1,494,737     

1011778 B.C. Unlimited Liability Co., Term Loan B4,

11/19/2026(b)

      1,436,816  
  4,451,530     

Bojangles’ Restaurants, Inc., Term Loan,

1-month LIBOR + 4.750%, 4.906%, 1/28/2026(a)

      4,362,499  
  2,984,925     

Carrols Restaurant Group, Inc., Term Loan B,

LIBOR + 3.250%, 3.483%, 4/30/2026(g)

      2,777,054  
  7,209,804     

Flynn Restaurant Group LP, 1st Lien Term Loan,

1-month LIBOR + 3.500%, 3.656%, 6/27/2025(a)

      6,813,265  
  7,618,397     

Portillo’s Holdings LLC, 2019 1st Lien Term Loan B3,

3-month LIBOR + 5.500%, 6.500%, 9/06/2024(a)

      7,189,862  
  16,994,617     

Red Lobster Management LLC, Term Loan B,

3-month LIBOR + 5.250%, 6.250%, 7/28/2021(a)

      14,615,370  
     

 

 

  
        37,194,866  
     

 

 

  
   Retailers – 2.5%

 

  6,527,060     

Array Canada, Inc., Term Loan B,

3-month LIBOR + 5.000%, 6.000%, 2/10/2023(a)

      3,263,530  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Retailers – continued

 

  $  16,003,324     

BDF Acquisition Corp., 1st Lien Term Loan,

3-month LIBOR + 5.250%, 6.250%, 8/14/2023(a)

    $   14,402,992  
  4,182,193     

EG Group Ltd., 2018 USD Term Loan B,

6-month LIBOR + 4.000%, 5.072%, 2/07/2025(a)

      4,047,568  
  4,729,740     

Kontoor Brands, Inc., Term Loan B,

3-month LIBOR + 4.250%, 4.420%, 5/15/2026(a)

      4,635,145  
  5,741,689     

Talbots, Inc. (The), 2018 Term Loan B,

3-month LIBOR + 7.000%, 8.000%, 11/28/2022(a)

      4,540,700  
     

 

 

  
        30,889,935  
     

 

 

  
   Supermarkets – 1.2%

 

  14,969,094     

BI-LO Holding LLC, Exit Term Loan B,

LIBOR + 8.000%, 9.000%, 5/31/2024(g)

      14,924,186  
     

 

 

  
   Technology – 9.7%

 

  6,425,068     

Aptean, Inc., 2019 Term Loan,

1-month LIBOR + 4.250%, 4.406%, 4/23/2026(a)

      6,268,489  
  1,587,000     

Cardtronics USA, Inc., Term Loan B,

1-month LIBOR + 4.000%, 5.000%, 6/29/2027(a)

      1,582,049  
  4,873,546     

CommScope, Inc., 2019 Term Loan B,

1-month LIBOR + 3.250%, 3.406%, 4/06/2026(a)

      4,762,137  
  6,193,496     

Corel Corp., 2019 Term Loan,

3-month LIBOR + 5.000%, 5.256%, 7/02/2026(a)

      5,887,723  
  8,975,703     

Finastra USA, Inc., USD 1st Lien Term Loan,

LIBOR + 3.500%, 4.500%, 6/13/2024(g)

      8,438,866  
  5,000,000     

GlobalLogic Holdings, Inc., 2020 Incremental Term Loan B2,

8/13/2027(b)

      4,975,000  
  10,168,504     

Helios Software Holdings, Inc., USD Term Loan,

6-month LIBOR + 4.250%, 5.322%, 10/24/2025(a)

      10,066,819  
  9,523,669     

Hyland Software, Inc., 2017 2nd Lien Term Loan,

1-month LIBOR + 7.000%, 7.750%, 7/07/2025(a)

      9,511,764  
  8,474,347     

IQOR U.S., Inc., 2nd Lien Term Loan,

3-month LIBOR + 8.750%, 9.750%, 4/01/2022(a)(d)(h)

      227,790  
  10,755,500     

McAfee LLC, 2017 2nd Lien Term Loan,

1-month LIBOR + 8.500%, 9.500%, 9/29/2025(a)

      10,829,498  
  3,663,915     

Project Alpha Intermediate Holding, Inc., 2019 Incremental Term Loan B,

3-month LIBOR + 4.250%, 4.520%, 4/26/2024(a)

      3,627,276  
  8,958,939     

Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan,

3-month LIBOR + 4.250%, 4.511%, 5/16/2025(a)(d)(h)

      8,759,244  
  3,482,000     

Redstone Buyer LLC, Term Loan,

6/29/2027(b)

      3,473,295  
  3,600,000     

Rocket Software, Inc., 2018 Term Loan,

11/28/2025(b)

      3,467,016  
  5,307,313     

S2P Acquisition Borrower, Inc., Term Loan,

3-month LIBOR + 4.000%, 5.072%, 8/14/2026(a)

      5,224,412  
  6,888,997     

Sirius Computer Solutions, Inc., 2020 Term Loan,

1-month LIBOR + 3.500%, 3.656%, 7/01/2026(a)

      6,729,723  
  10,893,561     

SurveyMonkey, Inc., 2018 Term Loan B,

1 Week LIBOR + 3.750%, 3.860%, 10/10/2025(a)

      10,798,243  
  500,000     

Ultimate Software Group, Inc. (The), 2020 2nd Lien Incremental Term Loan,

3-month LIBOR + 6.750%, 7.500%, 5/03/2027(a)

      509,375  
  7,872,238     

Verifone Systems, Inc., 2018 1st Lien Term Loan,

3-month LIBOR + 4.000%, 4.253%, 8/20/2025(a)

      7,071,868  
  6,025,389     

Web.com Group, Inc., 2018 Term Loan B,

1-month LIBOR + 3.750%, 3.933%, 10/10/2025(a)

      5,812,995  
     

 

 

  
        118,023,582  
     

 

 

  

Principal

Amount    

     

Description

    Value (†)  
 

Senior Loans – continued

   
   Transportation Services – 1.7%

 

  $  6,665,253     

Deliver Buyer, Inc., Term Loan B,

3-month LIBOR + 5.000%, 6.000%, 5/01/2024(a)

    $ 6,531,948  
  8,138,971     

Uber Technologies, Inc., 2018 Term Loan,

1-month LIBOR + 4.000%, 5.000%, 4/04/2025(a)

      8,041,629  
  5,654,105     

Verra Mobility Corp., 2020 Term Loan B,

3-month LIBOR + 3.250%, 3.558%, 2/28/2025(a)

      5,512,752  
     

 

 

  
          20,086,329  
     

 

 

  
   Utility Other – 0.4%

 

  5,003,390     

Pacific Gas & Electric Co., 2020 Term Loan,

3-month LIBOR + 4.500%, 5.500%, 6/23/2025(a)

      4,918,983  
     

 

 

  
   Wireless – 0.3%

 

  3,886,640     

Asurion LLC, 2017 2nd Lien Term Loan,

1-month LIBOR + 6.500%, 6.656%, 8/04/2025(a)

      3,892,470  
     

 

 

  
   Wirelines – 0.4%

 

  3,229,590     

Avaya, Inc., 2018 Term Loan B,

1-month LIBOR + 4.250%, 4.412%, 12/15/2024(a)

      3,134,059  
  2,000,000     

Coral-U.S. Co-Borrower LLC, 2020 Term Loan B2,

1-month LIBOR + 2.250%, 2.406%, 1/31/2028(a)

      1,929,000  
     

 

 

  
        5,063,059  
     

 

 

  
   Total Senior Loans
(Identified Cost $1,126,721,921)		      1,019,073,226  
     

 

 

  
 

Bonds and Notes – 6.6%

   
 

Non-Convertible Bonds – 6.3%

   
   Aerospace & Defense – 0.7%

 

  3,500,000     

Spirit AeroSystems, Inc.,

7.500%, 4/15/2025, 144A

      3,532,795  
  5,500,000     

TransDigm, Inc.,

6.500%, 7/15/2024

      5,527,500  
     

 

 

  
        9,060,295  
     

 

 

  
   Brokerage – 0.4%

 

  5,000,000     

Jefferies Finance LLC/JFIN Co-Issuer Corp.,

6.250%, 6/03/2026, 144A

      5,050,000  
     

 

 

  
   Building Materials – 0.4%

 

  4,250,000     

Beacon Roofing Supply, Inc.,

4.875%, 11/01/2025, 144A

      4,213,322  
     

 

 

  
   Chemicals – 0.6%

 

  5,814,000     

Atotech Alpha 2 BV,

9.500% PIK or 8.750% Cash, 6/01/2023, 144A(l)

      5,901,210  
  1,715,000     

Avient Corp.,

5.750%, 5/15/2025, 144A

      1,822,187  
     

 

 

  
        7,723,397  
     

 

 

  

Principal

Amount    

     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
   Gaming – 0.4%

 

  $  4,235,000     

Colt Merger Sub, Inc.,

6.250%, 7/01/2025, 144A

    $   4,489,058  
     

 

 

  
   Lodging – 0.1%

 

  1,000,000     

Wyndham Destinations, Inc.,

3.900%, 3/01/2023

      990,000  
     

 

 

  
   Media Entertainment – 0.5%

 

  5,750,000     

AMC Networks, Inc.,

4.750%, 8/01/2025

      5,951,250  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities – 0.4%

 

  6,133,071     

Motel 6 Trust, Series 2017-M6MZ, Class M,

1-month LIBOR + 6.927%, 7.088%, 8/15/2024, 144A(a)

      5,162,647  
     

 

 

  
   Property & Casualty Insurance – 0.4%

 

  4,000,000     

NMI Holdings, Inc.,

7.375%, 6/01/2025, 144A

      4,318,440  
     

 

 

  
   REITs – Hotels – 0.3%

 

  50,000     

Service Properties Trust,

3.950%, 1/15/2028

      43,015  
  550,000     

Service Properties Trust,

4.350%, 10/01/2024

      516,830  
  20,000     

Service Properties Trust,

4.500%, 6/15/2023

      19,664  
  3,040,000     

Service Properties Trust,

4.750%, 10/01/2026

      2,789,200  
  100,000     

Service Properties Trust,

4.950%, 2/15/2027

      91,500  
     

 

 

  
        3,460,209  
     

 

 

  
   REITs – Mortgage – 0.5%

 

  5,000,000     

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

5.250%, 3/15/2022, 144A

      4,950,000  
  1,750,000     

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

5.250%, 10/01/2025, 144A

      1,662,500  
     

 

 

  
        6,612,500  
     

 

 

  
   Supermarkets – 0.5%

 

  5,750,000     

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC,

4.625%, 1/15/2027, 144A

      6,051,875  
     

 

 

  
   Technology – 1.1%

 

  4,500,000     

Cardtronics, Inc./Cardtronic USA, Inc.,

5.500%, 5/01/2025, 144A

      4,545,000  
  6,000,000     

EIG Investors Corp.,

10.875%, 2/01/2024

      6,210,000  

Principal

Amount    

     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
   Technology – continued

 

  $  2,235,000     

Sabre GLBL, Inc.,

7.375%, 9/01/2025, 144A

    $ 2,343,353  
  710,000     

Sabre GLBL, Inc.,

9.250%, 4/15/2025, 144A

      789,875  
     

 

 

  
        13,888,228  
     

 

 

  
  

Total Non-Convertible Bonds

(Identified Cost $74,361,679)

      76,971,221  
     

 

 

  
 

Convertible Bonds – 0.3%

   
   REITs – Mortgage – 0.3%

 

  3,250,000     

Blackstone Mortgage Trust, Inc.,

4.375%, 5/05/2022

(Identified Cost $3,105,396)

      3,120,000  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $77,467,075)

        80,091,221  
     

 

 

  

Shares    

              
 

Common Stocks – 0.2%

   
   Chemicals – 0.1%

 

  193,746      Hexion Holdings Corp., Class B(m)      1,646,841  
     

 

 

  
   Energy Equipment & Services – 0.1%

 

  61,854      Ameriforge Group, Inc.(d)(e)(f)(m)      454,627  
     

 

 

  
   Specialty Retail – 0.0%

 

  1,790,513      Onsite Rental Group Pty Ltd.(c)(d)(e)(f)(m)      —    
     

 

 

  
  

Total Common Stocks

(Identified Cost $7,580,893)

      2,101,468  
     

 

 

  
 

Exchange-Traded Funds – 1.5%

   
  835,000     

Invesco Senior Loan ETF

(Identified Cost $18,250,875)

      18,261,450  
     

 

 

  

Principal

Amount    

              
 

Short-Term Investments – 7.4%

   
  $  89,937,152     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2020 at 0.000% to be repurchased at $89,937,152 on 9/01/2020 collateralized by $75,802,400 U.S. Treasury Note, 2.125% due 11/30/2024 valued at $82,259,668; $9,065,500 U.S. Treasury Note, 2.375% due 3/15/2022 valued at $9,476,357 including accrued interest(n)

(Identified Cost $89,937,152)

      89,937,152  
     

 

 

  

    

Description

    Value (†)  
  

Total Investments – 99.3%

(Identified Cost $1,319,957,916)

    $ 1,209,464,517  
                            Other assets less liabilities – 0.7%      8,724,326  
     

 

 

  
   Net Assets – 100.0%    $ 1,218,188,843  
     

 

 

  

 

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Senior loans are valued at bid prices supplied by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of August 31, 2020, securities held by the Fund were fair valued as follows:

 

Securities classified as

fair valued                       

    Percentage of Net
Assets		     Securities fair valued by
the Fund’s adviser		      Percentage of Net
Assets		  

$21,224,243

      1.7 %    $ 3,126,612        0.3 % 

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)

Variable rate security. Rate as of August 31, 2020 is disclosed.

(b)

Position is unsettled. Contract rate was not determined at August 31, 2020 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(c)

Securities subject to restriction on resale. At August 31, 2020, the restricted securities held by the Fund are as follows:

 

     Acquisition Date    Acquisition Cost      Value      % of Net Assets  

Onsite Rental Group Pty Ltd.

    11/03/2017    $ —        $ —          —    

Onsite Rental Group Pty Ltd., Note

    11/03/2017      2,384,581        1,698,606        0.1 % 

(d)    Illiquid security.
(e)    Level 3 security. Value has been determined using significant unobservable inputs.
(f)    Fair valued by the Fund’s adviser. At August 31, 2020, the value of these securities amounted to $3,126,612 or 0.3% of net assets.
(g)    Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2020. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.
(h)    Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At August 31, 2020, the value of these securities amounted to $21,224,243 or 1.7% of net assets.
(i)    Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2020.
(j)    The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(k)    Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended August 31, 2020, interest payments were made in cash and principal.
(l)    Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended August 31, 2020, interest payments were made in cash.
(m)    Non-income producing security.
(n)    The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of August 31, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.
144A    All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2020, the value of Rule 144A holdings amounted to $54,832,262 or 4.5% of net assets.
ETF    Exchange-Traded Fund
LIBOR    London Interbank Offered Rate
PIK    Payment-in-Kind
REITs    Real Estate Investment Trusts

Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of August 31, 2020, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Senior Loans

           

Construction Machinery

    $ —        $ 3,365,303      $ 1,698,606 (a)    $ 5,063,909  

Consumer Cyclical Services

      —          78,139,256        7,536,029 (b)      85,675,285  

Media Entertainment

      —          36,802,474        973,379 (a)      37,775,853  

All Other Senior Loans*

      —          890,558,179        —         890,558,179  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Senior Loans

      —          1,008,865,212        10,208,014       1,019,073,226  
  

 

 

     

 

 

     

 

 

    

 

 

  

Bonds and Notes*

      —          80,091,221        —         80,091,221  

Common Stocks

           

Chemicals

      —          1,646,841        —         1,646,841  

Energy Equipment & Services

      —          —          454,627 (a)      454,627  

Specialty Retail

      —          —          —   (c)      —    
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      —          1,646,841        454,627       2,101,468  
  

 

 

     

 

 

     

 

 

    

 

 

  

Exchange-Traded Funds

      18,261,450        —          —         18,261,450  

Short-Term Investments

      —          89,937,152        —         89,937,152  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 18,261,450      $ 1,180,540,426      $ 10,662,641     $ 1,209,464,517  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(a)

Fair valued by the Fund’s adviser.

(b)

Valued using broker-dealer bid prices.

(c)

Fair valued at zero by the Fund’s adviser using level 3 inputs.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2019 and/or August 31, 2020:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
November 30,
2019		     Accrued
Discounts
(Premiums)		     Realized Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers into
Level 3		     Transfers
out of Level 3		     Balance as of
August 31, 2020		     Change in Unrealized Appreciation
(Depreciation) from Investments
Still Held at August 31, 2020		  

Senior Loans

                    

Construction Machinery

   $ —       $ 107,061     $ —       $ (1,577,008 )    $ —       $ —       $ 3,168,553     $ —       $ 1,698,606     $ (1,577,008 ) 

Consumer Cyclical Services

     —         163,186       281       67,270       —         (84,230 )      7,389,522       —         7,536,029       67,270  

Internet & Data

     8,911,883       1,790       (2,244,669 )      1,613,805       —         (8,282,809 )      —         —         —         —    

Leisure

     6,672,769       5,793       (957,783 )      1,077,808       —         (6,798,587 )      —         —         —         —    

Media Entertainment

     —         —         (12,499 )      28,932       —         (2,313,207 )      3,270,153       —         973,379       28,932  

Bonds and Notes

                    

Independent Energy

     2,207,400 (a)      111,614       (6,457,526 )      4,138,512       —         —         —         —         —         —    

Common Stocks

                    

Energy Equipment & Services

     —         —         —         (2,885,489 )      —         —         3,340,116       —         454,627       (2,885,489 ) 

Oil, Gas & Consumable Fuels

     —   (b)      —         (1,853,525 )      1,853,525       —         —         —         —         —         —    

Specialty Retail

     —   (b)      —         —         —         —         —         —         —         —   (b)   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 17,792,052     $ 389,444     $ (11,525,721 )    $ 4,317,355     $ —       $ (17,478,833 )    $ 17,168,344     $ —       $ 10,662,641     $ (4,366,295 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using Level 3 inputs.

(b)

Fair valued at zero.

A debt security valued at $3,168,553 was transferred from Level 2 to Level 3 during the period ended August 31,2020. At November 30, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

A debt security valued at $7,389,522 was transferred from Level 2 to Level 3 during the period ended August 31, 2020. At November 30, 2020, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

A debt security valued at $3,270,153 was transferred from Level 2 to Level 3 during the period ended August 31,2020. At November 30, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

A common stock valued at $3,340,116 was transferred from Level 2 to Level 3 during the period ended August 31, 2020. At November 30 2019, this security was valued on the basis of closing bid quotations furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

Industry Summary at August 31, 2020 (Unaudited)

 

Technology

      10.8 % 

Consumer Products

      7.2  

Consumer Cyclical Services

      7.0  

Building Materials

      5.8  

Automotive

      5.5  

Industrial Other

      3.8  

Healthcare

      3.6  

Media Entertainment

      3.6  

Internet & Data

      3.4  

Financial Other

      3.4  

Restaurants

      3.1  

Leisure

      2.8  

Retailers

      2.5  

Chemicals

      2.4  

Aerospace & Defense

      2.2  

Electric

      2.0  

Other Investments, less than 2% each

      21.3  

Short-Term Investments

      7.4  

Exchange-Traded Funds

      1.5  
  

 

 

  

Total Investments

      99.3  

Other assets less liabilities

      0.7  
  

 

 

  

Net Assets

      100.0 %