NPORT-EX 2 NPORT_IAJ0_32246093_0222.htm FOR VALIDATION PURPOSES ONLY - [350270.IAJ0]

PORTFOLIO OF INVESTMENTS – as of February 28, 2022 (Unaudited)

Loomis Sayles Senior Floating Rate and Fixed Income Fund

 

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – 90.1% of Net Assets  
  

Aerospace & Defense – 0.8%

 

 $ 5,117,175      Arcline FM Holdings LLC, 2021 1st Lien Term Loan,
3-month LIBOR + 4.750%, 5.500%, 6/23/2028(a)(b)		    $ 5,082,020  
  2,904,097      MAG DS Corp., Term Loan,
3-month LIBOR + 5.500%, 6.500%, 4/01/2027(a)(c)		      2,623,357  
  4,997,000      Vertex Aerospace Services Corp., 2021 First Lien Term Loan,
1-month LIBOR + 4.000%, 4.750%, 12/06/2028(a)(b)		      4,957,424  
     

 

 

  
        12,662,801  
     

 

 

  
  

Airlines – 1.1%

 

  3,595,000      AAdvantage Loyalty IP Ltd., 2021 Term Loan,
3-month LIBOR + 4.750%, 5.500%, 4/20/2028(a)(b)		      3,654,929  
  2,489,000      Air Canada, 2021 Term Loan B,
3-month LIBOR + 3.500%, 4.250%, 8/11/2028(a)(b)		      2,471,229  
  750,000      KKR Apple Bidco LLC, 2021 2nd Lien Term Loan,
1-month LIBOR + 5.750%, 6.250%, 9/21/2029(a)(d)		      751,253  
  2,474,000      SkyMiles IP Ltd., 2020 SkyMiles Term Loan B,
3-month LIBOR + 3.750%, 4.750%, 10/20/2027(a)(c)		      2,583,474  
  8,128,575      United Airlines, Inc., 2021 Term Loan B,
3-month LIBOR + 3.750%, 4.500%, 4/21/2028(a)(b)		      8,074,357  
     

 

 

  
        17,535,242  
     

 

 

  
  

Automotive – 4.4%

 

  3,577,025      Autokiniton U.S. Holdings, Inc., 2021 Term Loan B,
3-month LIBOR + 4.500%, 5.000%, 4/06/2028(a)(d)		      3,549,303  
  3,042,276      Dayco Products LLC, 2017 Term Loan B,
3-month LIBOR + 4.250%, 4.758%, 5/19/2023(a)(e)		      2,987,515  
  4,000,000      First Brands Group LLC, 2021 2nd Lien Term Loan,
3-month LIBOR + 8.500%, 9.500%, 3/30/2028(a)(c)		      3,985,000  
  5,942,500      First Brands Group LLC, 2021 Term Loan,
3-month LIBOR + 5.000%, 6.000%, 3/30/2027(a)(c)		      5,897,931  
  640,000      Holley Purchaser, Inc., 2021 Delayed Draw Term Loan,
4.500%, 11/17/2028(f)		      634,131  
  273,600      Holley Purchaser, Inc., 2021 Delayed Draw Term Loan,
3-month LIBOR + 3.750%, 4.500%, 11/17/2028(a)(b)		      271,091  
  5,472,000      Holley Purchaser, Inc., 2021 Term Loan,
3-month LIBOR + 3.750%, 4.500%, 11/17/2028(a)(b)		      5,421,822  
  5,462,731      IXS Holdings, Inc., 2020 Term Loan B,
3-month LIBOR + 4.250%, 5.000%, 3/05/2027(a)(b)		      5,134,967  
  7,684,340      Les Schwab Tire Centers, Term Loan B,
3-month LIBOR + 3.250%, 4.000%, 11/02/2027(a)(b)		      7,604,269  
  3,482,500      Mavis Tire Express Services Corp., 2021 Term Loan B,
1-month LIBOR + 4.000%, 4.750%, 5/04/2028(a)(b)		      3,462,928  
  5,994,481      PAI Holdco, Inc., 2020 Term Loan B,
3-month LIBOR + 3.500%, 4.250%, 10/28/2027(a)(b)		      5,949,522  
  1,445,378      Polaris Newco LLC, USD Term Loan B,
3-month LIBOR + 4.000%, 4.500%, 6/02/2028(a)(d)		      1,435,361  
  4,345,000      Rough Country LLC, 2021 Term Loan,
3-month LIBOR + 3.500%, 4.250%, 7/28/2028(a)(b)		      4,318,061  
  4,466,250      Truck Hero, Inc., 2021 Term Loan B,
1-month LIBOR + 3.250%, 4.000%, 1/31/2028(a)(b)		      4,378,444  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Automotive – continued

 

$ 4,307,188      U.S. Farathane LLC, 2021 Term Loan B,
3-month LIBOR + 4.250%, 5.250%, 12/23/2024(a)(c)		    $ 3,998,491  
  5,740,076      Wand NewCo 3, Inc., 2020 Term Loan,
1-month LIBOR + 3.000%, 3.209%, 2/05/2026(a)(e)		      5,602,315  
  1,750,000      Wheel Pros LLC, 2021 Term Loan,
5/11/2028(g)		      1,728,860  
  5,692,361      Wheel Pros LLC, 2021 Term Loan,
1-month LIBOR + 4.500%, 5.250%, 5/11/2028(a)(b)		      5,623,597  
     

 

 

  
        71,983,608  
     

 

 

  
  

Brokerage – 1.0%

 

  2,457,870      Advisor Group, Inc., 2021 Term Loan,
1-month LIBOR + 4.500%, 4.709%, 7/31/2026(a)(e)		      2,445,900  
  4,852,045      Edelman Financial Center LLC, 2018 2nd Lien Term Loan,
1-month LIBOR + 6.750%, 6.959%, 7/20/2026(a)(e)		      4,841,952  
  4,218,674      Edelman Financial Center LLC, 2021 Term Loan B,
1-month LIBOR + 3.500%, 4.250%, 4/07/2028(a)(b)		      4,180,200  
  5,165,055      HighTower Holdings LLC, 2021 Term Loan B,
3-month LIBOR + 4.000%, 4.255%, 4/21/2028(a)(b)		      5,125,026  
     

 

 

  
        16,593,078  
     

 

 

  
  

Building Materials – 4.3%

 

  6,974,950      ACProducts, Inc., 2021 Term Loan B,
6-month LIBOR + 4.250%, 4.750%, 5/17/2028(a)(d)		      6,615,740  
  6,297,853      CP Atlas Buyer, Inc., 2021 Term Loan B,
3-month LIBOR + 3.750%, 4.250%, 11/23/2027(a)(d)		      6,173,029  
  5,529,000      Foley Products Company LLC, 2021 Term Loan,
12/29/2028(g)		      5,446,065  
  5,692,633      Groupe Solmax, Inc., Term Loan,
3-month LIBOR + 4.750%, 5.500%, 5/29/2028(a)(b)		      5,661,779  
  8,524,044      Janus International Group LLC, 2021 Term Loan B1,
LIBOR + 3.250%, 4.250%, 2/12/2025(c)(h)		      8,438,804  
  764,745      LBM Acquisition LLC, 2021 Incremental Term Loan B2,
3-month LIBOR + 3.750%, 4.500%, 12/17/2027(a)(b)		      760,157  
  383,333      LBM Acquisition LLC, Term Loan B,
12/17/2027(g)		      376,867  
  4,227,365      LBM Acquisition LLC, Term Loan B,
1-month LIBOR + 3.750%, 4.500%, 12/17/2027(a)(b)		      4,156,050  
  2,557,902      MI Windows and Doors LLC, 2022 Term Loan,
1-month SOFR + 3.500%, 4.000%, 12/18/2027(a)(d)		      2,546,724  
  3,000,000      Park River Holdings, Inc., Term Loan,
12/28/2027(g)		      2,949,120  
  4,469,357      Park River Holdings, Inc., Term Loan,
3-month LIBOR + 3.250%, 4.000%, 12/28/2027(a)(b)		      4,393,557  
  8,050,575      Signal Parent, Inc., Term Loan B,
1-month LIBOR + 3.500%, 4.250%, 4/03/2028(a)(b)		      7,512,233  
  3,295,000      Specialty Building Products Holdings LLC, 2021 Term Loan B,
1-month LIBOR + 3.750%, 4.250%, 10/15/2028(a)(d)		      3,262,050  
  5,819,696      White Cap Buyer LLC, Term Loan B,
10/19/2027(g)		      5,758,763  
  2,100,000      Wilsonart LLC, 2021 Term Loan E,
12/19/2026(g)		      2,065,875  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Building Materials – continued

 

$ 3,521,104      Wilsonart LLC, 2021 Term Loan E,
3-month LIBOR + 3.500%, 4.500%, 12/19/2026(a)(c)		    $ 3,463,886  
     

 

 

  
        69,580,699  
     

 

 

  
  

Cable Satellite – 1.0%

 

  11,263,733      DirecTV Financing LLC, Term Loan,
3-month LIBOR + 5.000%, 5.750%, 8/02/2027(a)(b)		      11,225,774  
  5,920,000      ViaSat, Inc., Term Loan,
2/23/2029(g)		      5,801,600  
     

 

 

  
        17,027,374  
     

 

 

  
  

Chemicals – 3.2%

 

  1,575,000      Aruba Investments, Inc., 2020 2nd Lien Term Loan,
6-month LIBOR + 7.750%, 8.500%, 11/24/2028(a)(b)		      1,567,125  
  1,938,377      Aruba Investments, Inc., 2020 USD Term Loan,
6-month LIBOR + 3.750%, 4.500%, 11/24/2027(a)(b)		      1,923,839  
  5,282,085      CPC Acquisition Corp., Term Loan,
3-month LIBOR + 3.750%, 4.500%, 12/29/2027(a)(b)		      5,097,212  
  4,308,443      DCG Acquisition Corp., Term Loan B,
1-month LIBOR + 4.500%, 4.709%, 9/30/2026(a)(e)		      4,276,129  
  1,943,130      GEON Performance Solutions LLC, 2021 Term Loan,
3-month LIBOR + 4.750%, 5.500%, 8/18/2028(a)(b)		      1,932,210  
  5,584,935      Lonza Group AG, USD Term Loan B,
3-month LIBOR + 4.000%, 4.750%, 7/03/2028(a)(b)		      5,544,779  
  6,133,000      LSF11 A5 Holdco LLC, Term Loan,
1-month SOFR + 3.750%, 4.250%, 10/15/2028(a)(d)		      6,056,338  
  6,216,000      Luxembourg Investment Co. 428 S.a. r.l., Term Loan B,
3-month SOFR + 5.000%, 5.500%, 1/03/2029(a)(d)		      6,177,150  
  5,000,000      Olympus Water U.S. Holding Corp., 2021 USD Term Loan B,
11/09/2028(g)		      4,927,500  
  7,850,000      PMHC II, Inc., 2022 Term Loan B,
2/01/2029(g)		      7,725,734  
  6,418,000      U.S. Holdco Vad, Inc., 2022 Term Loan,
2/02/2029(g)		      6,369,865  
     

 

 

  
        51,597,881  
     

 

 

  
  

Construction Machinery – 0.3%

 

  1,012,061      CMBF LLC, Delayed Draw Term Loan,
1-month LIBOR + 6.000%, 6.500%, 8/02/2028(a)(d)		      994,350  
  3,388,899      CMBF LLC, Term Loan,
1-month LIBOR + 6.000%, 6.500%, 8/02/2028(a)(d)		      3,329,593  
     

 

 

  
        4,323,943  
     

 

 

  
  

Consumer Cyclical Services – 4.8%

 

  8,521,963      Access CIG LLC, 2018 1st Lien Term Loan,
1-month LIBOR + 3.750%, 3.959%, 2/27/2025(a)(e)		      8,422,086  
  6,975,000      Access CIG LLC, 2018 2nd Lien Term Loan,
1-month LIBOR + 7.750%, 7.959%, 2/27/2026(a)(e)		      6,913,969  
  3,921,173      Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B,
3-month LIBOR + 3.750%, 4.250%, 5/12/2028(a)(d)		      3,864,982  
  3,749,785      APM Global Holdings Pty Ltd., Term Loan,
1-month LIBOR + 4.500%, 5.000%, 6/30/2026(a)(d)		      3,731,036  
  811,849      BIFM CA Buyer, Inc., Term Loan B,
6/01/2026(g)		      802,715  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Consumer Cyclical Services – continued

 

$ 3,578,185      BIFM CA Buyer, Inc., Term Loan B,
1-month LIBOR + 3.500%, 3.709%, 6/01/2026(a)(e)		    $ 3,537,931  
  7,112,775      Conduent Business Services LLC, 2021 Term Loan B,
1-month LIBOR + 4.250%, 4.750%, 10/16/2028(a)(d)		      7,043,852  
  5,373,737      Constant Contact, Inc., Term Loan,
3-month LIBOR + 4.000%, 4.750%, 2/10/2028(a)(b)		      5,316,668  
  1,990,000      Global Client Solutions LLC, Term Loan B,
1-month LIBOR + 6.000%, 6.106%, 3/16/2026(a)(c)		      1,975,075  
  6,139,000      Loyalty Ventures, Inc., Term Loan B,
1-month LIBOR + 4.500%, 5.000%, 11/03/2027(a)(d)		      6,054,589  
  323,508      Service Logic Acquisition, Inc, Delayed Draw Term Loan,
4.000%, 10/29/2027(f)		      320,677  
  3,518,811      Service Logic Acquisition, Inc., Term Loan,
3-month LIBOR + 4.000%, 4.750%, 10/29/2027(a)(b)		      3,488,021  
  4,694,832      SITEL Worldwide Corp., 2021 USD Term Loan,
3-month LIBOR + 3.750%, 4.250%, 8/28/2028(a)(d)		      4,662,578  
  4,243,824      Sterling Midco Holdings, Inc., 1st Lien Term Loan,
3-month LIBOR + 3.500%, 4.500%, 6/19/2024(a)(c)		      4,226,849  
  6,535,000      Vaco Holdings LLC, 2022 Term Loan,
1-month SOFR + 5.000%, 5.750%, 1/21/2029(a)(b)		      6,485,987  
  4,405,860      WebHelp, 2021 USD Term Loan,
3-month LIBOR + 4.000%, 4.500%, 8/04/2028(a)(d)		      4,370,966  
  8,159,608      William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan,
1-month LIBOR + 2.750%, 2.960%, 5/18/2025(a)(e)		      7,943,705  
     

 

 

  
        79,161,686  
     

 

 

  
  

Consumer Products – 6.6%

 

  1,800,000      Advantage Sales & Marketing, Inc., 2021 Term Loan,
10/28/2027(g)		      1,778,634  
  5,862,780      Advantage Sales & Marketing, Inc., 2021 Term Loan,
LIBOR + 4.500%, 5.250%, 10/28/2027(b)(h)		      5,793,189  
  5,193,000      ASP Blade Holdings, Inc., Initial Term Loan,
1-month LIBOR + 4.000%, 4.500%, 10/13/2028(a)(d)		      5,169,216  
  1,832,627      Callaway Golf Company, Term Loan B,
1-month LIBOR + 4.500%, 4.709%, 1/02/2026(a)(e)		      1,828,614  
  2,790,377      Canada Goose, Inc., 2021 Term Loan,
3-month LIBOR + 3.500%, 4.250%, 10/07/2027(a)(b)		      2,768,277  
  5,981,010      Conair Holdings LLC, Term Loan B,
3-month LIBOR + 3.750%, 4.250%, 5/17/2028(a)(d)		      5,911,212  
  4,748,146      Gloves Buyer, Inc., 2021 Term Loan,
1-month LIBOR + 4.000%, 4.750%, 12/29/2027(a)(b)		      4,700,664  
  4,000,000      Illuminate Merger Sub Corp., Term Loan,
7/21/2028(g)		      3,909,280  
  2,226,000      Illuminate Merger Sub Corp., Term Loan,
3-month LIBOR + 3.500%, 4.000%, 7/21/2028(a)(d)		      2,175,514  
  7,652,232      Inmar Holdings, Inc., 2017 1st Lien Term Loan,
3-month LIBOR + 4.000%, 5.000%, 5/01/2024(a)(c)		      7,585,275  
  2,500,000      Inmar Holdings, Inc., 2017 2nd Lien Term Loan,
3-month LIBOR + 8.000%, 9.000%, 5/01/2025(a)(c)		      2,493,750  
  5,322,660      Mattress Firm, Inc., 2021 Term Loan B,
3-month LIBOR + 4.250%, 5.000%, 9/25/2028(a)(b)		      5,267,783  
  3,414,000      Olaplex, Inc., 2022 Term Loan,
3-month SOFR + 3.750%, 4.250%, 2/23/2029(a)(d)		      3,401,198  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Consumer Products – continued

 

$ 4,267,943      Ozark Holdings LLC, 2020 Term Loan B,
1-month LIBOR + 3.750%, 4.250%, 12/16/2027(a)(d)		    $ 4,241,269  
  5,587,855      Polyconcept Investments BV, USD 2016 Term Loan B,
3-month LIBOR + 4.500%, 4.718%, 8/16/2023(a)(c)		      5,541,308  
  1,000,000      RVR Dealership Holdings LLC, Term Loan B,
2/08/2028(g)		      983,130  
  5,234,126      RVR Dealership Holdings LLC, Term Loan B,
3-month LIBOR + 3.750%, 4.500%, 2/08/2028(a)(b)		      5,145,826  
  5,349,575      S&S Holdings LLC, Term Loan,
3-month LIBOR + 5.000%, 5.500%, 3/11/2028(a)(d)		      5,296,079  
  10,717,000      Solis IV BV, USD Term Loan B1,
2/26/2029(g)		      10,549,600  
  6,650,000      Springs Windows Fashions LLC, 2021 Term Loan B,
1-month LIBOR + 4.000%, 4.750%, 10/06/2028(a)(b)		      6,450,500  
  564,842      TGP Holdings III LLC, 2021 Delayed Draw Term Loan,
3.250%, 6/29/2028(f)		      552,602  
  4,279,552      TGP Holdings III LLC, 2021 Term Loan,
3-month LIBOR + 3.250%, 4.000%, 6/29/2028(a)(b)		      4,186,814  
  2,737,000      Weber-Stephen Products LLC, 2022 Incremental Term Loan B,
10/30/2027(g)		      2,695,945  
  4,774,896      Wellness Merger Sub, Inc., 1st Lien Term Loan,
1-month LIBOR + 4.000%, 4.209%, 6/30/2024(a)(e)		      4,718,600  
  4,638,759      WW International, Inc., 2021 Term Loan B,
1-month LIBOR + 3.500%, 4.000%, 4/13/2028(a)(d)		      4,121,537  
     

 

 

  
        107,265,816  
     

 

 

  
  

Diversified Manufacturing – 0.7%

 

  4,860,602      Granite Holdings U.S. Acquisition Co., 2021 Term Loan B,
3-month LIBOR + 4.000%, 4.224%, 9/30/2026(a)(e)		      4,811,996  
  1,300,000      Schweitzer-Mauduit International, Inc., 2021 Term Loan B,
4/20/2028(g)		      1,261,000  
  5,970,000      Schweitzer-Mauduit International, Inc., 2021 Term Loan B,
1-month LIBOR + 3.750%, 4.500%, 4/20/2028(a)(b)		      5,790,900  
     

 

 

  
        11,863,896  
     

 

 

  
  

Electric – 0.3%

 

  5,113,300      KAMC Holdings, Inc., 2019 Term Loan,
3-month LIBOR + 4.000%, 4.508%, 8/14/2026(a)(e)		      4,269,606  
     

 

 

  
  

Environmental – 1.5%

 

  2,000,000      Array Technologies, Inc., Term Loan B,
10/14/2027(g)		      1,947,500  
  2,136,035      Array Technologies, Inc., Term Loan B,
3-month LIBOR + 3.250%, 3.750%, 10/14/2027(a)(d)		      2,079,964  
  6,366,587      Liberty Tire Recycling Holdco LLC, 2021 Term Loan,
3-month LIBOR + 4.500%, 5.500%, 5/05/2028(a)(c)		      6,302,921  
  5,443,403      Northstar Group Services, Inc., 2020 Term Loan B,
1-month LIBOR + 5.500%, 6.500%, 11/12/2026(a)(c)		      5,388,969  
  8,420,000      PECF USS Intermediate Holding III Corp., Term Loan B,
1-month LIBOR + 4.250%, 4.750%, 12/15/2028(a)(d)		      8,368,722  
     

 

 

  
        24,088,076  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Financial Other – 3.7%

 

$ 3,068,000      Acrisure LLC, 2021 First Lien Term Loan B,
3-month LIBOR + 4.250%, 4.750%, 2/15/2027(a)(d)		    $ 3,035,418  
  3,970,050      Acrisure LLC, 2021 Incremental Term Loan B,
3-month LIBOR + 3.750%, 4.250%, 2/15/2027(a)(d)		      3,917,963  
  6,751,399      Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan,
1-month LIBOR + 4.500%, 4.709%, 2/28/2025(a)(e)		      6,719,059  
  500,000      AqGen Ascensus, Inc., 2021 2nd Lien Term Loan,
8/02/2029(g)		      498,750  
  5,025,000      DRW Holdings LLC, 2021 Term Loan,
1-month LIBOR + 3.750%, 3.959%, 3/01/2028(a)(e)		      4,999,875  
  7,182,000      Eisner Advisory Group LLC, Term Loan,
1-month LIBOR + 5.250%, 6.000%, 7/28/2028(a)(b)		      7,146,090  
  4,607,431      GT Polaris, Inc., 2021 Term Loan,
3-month LIBOR + 3.750%, 4.500%, 9/24/2027(a)(b)		      4,572,875  
  5,213,950      LifeMiles Ltd., 2021 Term Loan B,
3-month LIBOR + 5.250%, 6.250%, 8/30/2026(a)(c)		      5,193,094  
  786,213      Mariner Wealth Advisors LLC, Delayed Draw Term Loan,
3-month LIBOR + 3.250%, 3.750%, 8/18/2028(a)(d)		      778,351  
  5,499,218      Mariner Wealth Advisors LLC, Term Loan B,
3-month LIBOR + 3.250%, 3.750%, 8/18/2028(a)(d)		      5,444,225  
  3,321,571      Mermaid BidCo., Inc., 2021 USD Term Loan,
3-month LIBOR + 3.500%, 4.250%, 12/22/2027(a)(b)		      3,263,444  
  5,108,045      Resolute Investment Managers, Inc., 2020 Term Loan C,
3-month LIBOR + 4.250%, 5.250%, 4/30/2024(a)(c)		      5,079,338  
  1,100,000      Teneo Holdings LLC, Term Loan,
7/11/2025(g)		      1,088,725  
  9,628,089      Teneo Holdings LLC, Term Loan,
1-month SOFR + 5.250%, 6.250%, 7/11/2025(a)(c)		      9,529,401  
     

 

 

  
        61,266,608  
     

 

 

  
  

Food & Beverage – 3.5%

 

  175,333      AI Aqua Merger Sub, Inc., 2021 1st Lien Delayed Draw Term Loan,
7/31/2028(g)		      174,188  
  116,889      AI Aqua Merger Sub, Inc., 2021 1st Lien Term Loan B,
7/31/2028(g)		      116,126  
  2,337,778      AI Aqua Merger Sub, Inc., 2021 1st Lien Term Loan B,
LIBOR + 4.000%, 4.500%, 7/31/2028(d)(h)		      2,322,512  
  807,407      AI Aqua Merger Sub, Inc., 2022 Delayed Draw Term loan,
7/31/2028(g)		      800,682  
  3,552,593      AI Aqua Merger Sub, Inc., 2022 Term Loan B,
7/31/2028(g)		      3,523,000  
  3,767,000      Alltech, Inc., Term Loan B,
1-month LIBOR + 4.000%, 4.500%, 10/13/2028(a)(d)		      3,738,748  
  6,062,550      City Brewing Company LLC, Closing Date Term Loan,
3-month LIBOR + 3.500%, 4.250%, 4/05/2028(a)(b)		      5,713,954  
  5,565,000      Del Monte Foods, Inc., 2022 Term Loan,
2/15/2029(g)		      5,511,687  
  2,000,000      Naked Juice LLC, 2nd Lien Term Loan,
3-month SOFR + 6.000%, 6.500%, 1/24/2030(a)(d)		      2,006,260  
  100,000      Naked Juice LLC, Delayed Draw Term Loan,
SOFRTE + 3.250%, 3.750%, 1/24/2029(a)(d)		      99,063  
  1,742,000      Naked Juice LLC, Term Loan,
SOFRTE + 3.250%, 3.750%, 1/24/2029(a)(d)		      1,725,677  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Food & Beverage – continued

 

$ 3,236,242      Packers Holdings LLC, 2021 Term Loan,
6-month LIBOR + 3.250%, 4.000%, 3/09/2028(a)(b)		    $ 3,175,562  
  5,544,175      Proampac PG Borrower LLC, 2020 Term Loan,
3-month LIBOR + 3.750%, 4.500%, 11/03/2025(a)(b)		      5,498,435  
  6,175,100      Shearer’s Foods, Inc., 2021 Term Loan,
1-month LIBOR + 3.500%, 4.250%, 9/23/2027(a)(b)		      5,953,166  
  8,504,323      Triton Water Holdings, Inc., Term Loan,
3-month LIBOR + 3.500%, 4.000%, 3/31/2028(a)(d)		      8,286,952  
  4,673,000      Whole Earth Brands, Inc., Term Loan B,
3-month LIBOR + 4.500%, 5.500%, 2/05/2028(a)(c)		      4,626,270  
  4,164,530      WOOF Holdings, Inc., 1st Lien Term Loan,
3-month LIBOR + 3.750%, 4.500%, 12/21/2027(a)(b)		      4,122,885  
     

 

 

  
        57,395,167  
     

 

 

  
  

Gaming – 0.6%

 

  3,933,143      J&J Ventures Gaming LLC, Term Loan,
1-month LIBOR + 4.000%, 4.750%, 4/26/2028(a)(b)		      3,911,038  
  5,500,000      Lucky Bucks LLC, Term Loan,
LIBOR + 5.500%, 6.250%, 7/30/2027(b)(h)		      5,355,625  
     

 

 

  
        9,266,663  
     

 

 

  
  

Health Insurance – 0.2%

 

  3,954,314      Sedgwick Claims Management Services, Inc., 2018 Term Loan B,
1-month LIBOR + 3.250%, 3.459%, 12/31/2025(a)(e)		      3,899,942  
     

 

 

  
   Healthcare – 9.3%   
  2,935,507      Athenahealth, Inc., 2022 Delayed Draw Term Loan,
0.000%, 2/15/2029(f)		      2,905,418  
  17,319,493      Athenahealth, Inc., 2022 Term Loan B,
3-month SOFR + 3.500%, 4.000%, 2/15/2029(a)(d)		      17,141,968  
  8,500,000      Aveanna Healthcare LLC, 2021 2nd Lien Term Loan,
1-month LIBOR + 7.000%, 7.500%, 12/10/2029(a)(d)		      8,287,500  
  4,101,720      Bella Holding Company LLC, 2021 Term Loan B,
1-month LIBOR + 3.750%, 4.500%, 5/10/2028(a)(b)		      4,047,905  
  4,680,668      Carestream Dental Equipment, Inc., 2017 1st Lien Term Loan,
3-month LIBOR + 3.250%, 4.250%, 9/01/2024(a)(c)		      4,551,950  
  1,361,000      Carestream Dental Equipment, Inc., 2021 Term Loan,
3-month LIBOR + 4.500%, 5.000%, 9/01/2024(a)(d)		      1,350,793  
  2,750,000      CT Technologies Intermediate Holdings, Inc., 2021 Term Loan B,
12/16/2025(g)		      2,723,352  
  5,467,456      CT Technologies Intermediate Holdings, Inc., 2021 Term Loan B,
1-month LIBOR + 4.250%, 5.000%, 12/16/2025(a)(b)		      5,414,476  
  2,703,139      Da Vinci Purchaser Corp., 2019 Term Loan,
1/08/2027(g)		      2,687,948  
  2,693,059      Envision Healthcare Corp., 2018 1st Lien Term Loan,
1-month LIBOR + 3.750%, 3.959%, 10/10/2025(a)(e)		      1,952,683  
  237,000      EyeCare Partners LLC, 2021 Delayed Draw Term Loan,
11/15/2028(g)		      234,512  
  223,045      EyeCare Partners LLC, 2021 Delayed Draw Term Loan,
4.250%, 11/15/2028(f)		      220,703  
  477,955      EyeCare Partners LLC, 2021 Delayed Draw Term Loan,
3-month LIBOR + 3.750%, 4.250%, 11/15/2028(a)(d)		      472,936  
  948,000      EyeCare Partners LLC, 2021 Incremental Term Loan,
11/15/2028(g)		      938,046  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Healthcare – continued

 

$ 2,805,000      EyeCare Partners LLC, 2021 Incremental Term Loan,
3-month LIBOR + 3.750%, 4.250%, 11/15/2028(a)(d)		    $ 2,775,547  
  7,563,094      Gainwell Acquisition Corp., Term Loan B,
3-month LIBOR + 4.000%, 4.750%, 10/01/2027(a)(b)		      7,519,001  
  2,728,566      GHX Ultimate Parent Corp., 2017 1st Lien Term Loan,
3-month LIBOR + 3.250%, 4.250%, 6/28/2024(a)(c)		      2,706,956  
  5,783,935      Heartland Dental LLC, 2021 Incremental Term Loan,
1-month LIBOR + 4.000%, 4.162%, 4/30/2025(a)(e)		      5,735,755  
  1,000,000      MDVIP, Inc., 2021 2nd Lien Term Loan,
1-month LIBOR + 6.500%, 7.000%, 10/15/2029(a)(d)		      996,250  
  460,000      MedAssets Software Intermediate Holdings, Inc., 2021 Term Loan,
12/18/2028(g)		      456,550  
  6,232,000      MedAssets Software Intermediate Holdings, Inc., 2021 Term Loan,
3-month LIBOR + 4.000%, 4.500%, 12/18/2028(a)(d)		      6,185,260  
  1,171,050      Midwest Physician Administrative Services LLC, 2021 Term Loan,
3-month LIBOR + 3.250%, 4.000%, 3/12/2028(a)(b)		      1,158,169  
  6,189,488      Midwest Veterinary Partners LLC, Term Loan,
1-month LIBOR + 4.000%, 4.750%, 4/27/2028(a)(b)		      6,143,066  
  7,236,863      MPH Acquisition Holdings LLC, 2021 Term Loan B,
3-month LIBOR + 4.250%, 4.758%, 8/17/2028(a)(d)		      7,021,783  
  4,659,000      Napa Management Services Corp., Term Loan B,
2/23/2029(g)		      4,631,326  
  261,152      National Mentor Holdings, Inc., 2021 Delayed Draw Term Loan,
3.750%, 3/02/2028(f)		      255,566  
  6,559,836      National Mentor Holdings, Inc., 2021 Term Loan,
1-month LIBOR + 3.750%, 4.500%, 3/02/2028(a)(b)		      6,419,521  
  177,172      National Mentor Holdings, Inc., 2021 Term Loan C,
3-month LIBOR + 3.750%, 4.500%, 3/02/2028(a)(b)		      173,382  
  4,427,750      Onex TSG Intermediate Corp., 2021 Term Loan B,
3-month LIBOR + 4.750%, 5.500%, 2/28/2028(a)(b)		      4,405,611  
  1,000,000      Pearl Intermediate Parent LLC, 2018 2nd Lien Term Loan,
1-month LIBOR + 6.250%, 6.459%, 2/13/2026(a)(e)		      994,690  
  1,585,944      PetVet Care Centers LLC, 2021 Term Loan B3,
1-month LIBOR + 3.500%, 4.250%, 2/14/2025(a)(b)		      1,573,653  
  3,981,000      Physician Partners LLC, Term Loan,
1-month SOFR + 4.000%, 4.500%, 12/26/2028(a)(d)		      3,951,142  
  6,143,000      Radiology Partners, Inc., 2018 1st Lien Term Loan B,
1-month LIBOR + 4.250%, 4.400%, 7/09/2025(e)(i)		      6,031,689  
  1,000,000      Southern Veterinary Partners LLC, 2nd Lien Term Loan,
6-month LIBOR + 7.750%, 8.750%, 10/05/2028(a)(c)		      1,001,250  
  4,903,022      Southern Veterinary Partners LLC, Term Loan,
6-month LIBOR + 4.000%, 5.000%, 10/05/2027(a)(c)		      4,881,596  
  5,585,350      Symplr Software, Inc., 2020 Term Loan,
3-month LIBOR + 4.500%, 5.250%, 12/22/2027(a)(b)		      5,548,096  
  5,712,000      Think & Learn Private Ltd., Term Loan B,
3-month LIBOR + 5.500%, 6.250%, 11/24/2026(a)(b)		      5,681,669  
  3,445,194      TTF Holdings LLC, Term Loan,
1-month LIBOR + 4.250%, 5.000%, 3/31/2028(a)(b)		      3,427,968  
  5,315,678      U.S. Anesthesia Partners, Inc., 2021 Term Loan,
6-month LIBOR + 4.250%, 4.750%, 10/01/2028(a)(d)		      5,247,265  
  3,568,836      Verscend Holding Corp., 2021 Term Loan B,
1-month LIBOR + 4.000%, 4.209%, 8/27/2025(a)(e)		      3,554,346  
     

 

 

  
        151,407,297  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Home Construction – 0.4%

 

$ 7,500,000      Leaf Home Solutions LLC, 2022 Term Loan B,
3-month SOFR + 4.750%, 5.250%, 2/16/2029(a)(d)		    $ 7,406,250  
   Industrial Other – 5.8%   
  5,551,848      ABG Intermediate Holdings 2 LLC, 2021 Term Loan B,
3-month LIBOR + 3.250%, 4.000%, 9/27/2024(a)(b)		      5,518,537  
  6,191,000      ABG Intermediate Holdings 2 LLC, 2021 2nd Lien Term Loan,
3-month SOFR + 6.000%, 6.500%, 12/20/2029(a)(d)		      6,198,739  
  1,000,000      AEA International Holdings (Lux) S.a.r.l., Term Loan B,
3-month LIBOR + 3.750%, 4.250%, 9/07/2028(a)(d)		      996,250  
  2,720,000      Anticimex International AB, 2021 USD Incremental Term Loan,
11/16/2028(g)		      2,696,200  
  2,969,773      Connect Finco S.a.r.l., 2021 Term Loan B,
1-month LIBOR + 3.500%, 4.500%, 12/11/2026(a)(c)		      2,928,939  
  9,057,895      Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B,
3-month LIBOR + 3.500%, 4.500%, 6/28/2024(a)(c)		      8,975,830  
  3,586,000      Hyperion Materials & Technologies, Inc., 2021 Term Loan B,
3-month LIBOR + 4.500%, 5.008%, 8/30/2028(a)(d)		      3,577,035  
  2,770,080      Infinite Bidco LLC, 1st Lien Term Loan,
3-month LIBOR + 3.750%, 4.258%, 3/02/2028(a)(d)		      2,742,379  
  3,000,000      Infinite Bidco LLC, 2nd Lien Term Loan,
3-month LIBOR + 7.000%, 7.508%, 3/02/2029(a)(d)		      2,985,000  
  4,524,393      International Textile Group, Inc., 1st Lien Term Loan,
3-month LIBOR + 5.000%, 5.214%, 5/01/2024(a)(e)		      4,162,441  
  7,828,000      International Textile Group, Inc., 2nd Lien Term Loan,
3-month LIBOR + 9.000%, 9.214%, 5/01/2025(a)(e)		      5,531,813  
  10,434,138      NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B,
3-month LIBOR + 5.500%, 6.500%, 5/11/2023(a)(c)		      9,834,175  
  4,293,333      Novae LLC, 1st Lien Term Loan,
3-month LIBOR + 5.000%, 5.220%, 12/22/2028(a)(b)		      4,250,400  
  1,226,667      Novae LLC, Delayed Draw Term Loan,
0.000%, 12/22/2028(f)		      1,214,400  
  5,397,000      Pelican Products, Inc., 2021 Term Loan,
3-month LIBOR + 4.250%, 4.750%, 12/29/2028(a)(d)		      5,316,045  
  20,448      Refficiency Holdings LLC, 2021 Delayed Draw Term Loan,
1-month LIBOR + 3.750%, 4.500%, 12/16/2027(a)(b)		      20,352  
  729,454      Refficiency Holdings LLC, 2021 Delayed Draw Term Loan,
4.500%, 12/16/2027(f)		      726,033  
  3,860,573      Refficiency Holdings LLC, 2021 Term Loan,
1-month LIBOR + 3.750%, 4.500%, 12/16/2027(a)(b)		      3,842,466  
  4,000,000      Safe Fleet Holdings LLC, 2022 Term Loan,
2/23/2029(g)		      3,952,520  
  2,647,436      Shape Technologies Group, Inc., Term Loan,
1-month LIBOR + 3.000%, 3.209%, 4/21/2025(a)(e)		      2,476,465  
  522,170      VT Topco, Inc., 2021 Delayed Draw Term Loan,
3.750%, 8/01/2025(f)		      518,907  
  2,976,370      VT Topco, Inc., 2021 Incremental Term Loan,
1-month LIBOR + 3.750%, 4.500%, 8/01/2025(a)(b)		      2,957,768  
  5,334,688      Watlow Electric Manufacturing Co., Term Loan B,
3-month LIBOR + 3.750%, 4.250%, 3/02/2028(a)(d)		      5,272,432  
  7,650,000      WireCo WorldGroup, Inc., 2021 Term Loan,
6-month LIBOR + 4.250%, 4.750%, 11/13/2028(a)(d)		      7,576,713  
     

 

 

  
        94,271,839  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Integrated Energy – 0.4%

 

$ 7,286,220      Matador Bidco S.a.r.l., Term Loan,
1-month LIBOR + 4.750%, 4.959%, 10/15/2026(a)(e)		    $ 7,274,489  
     

 

 

  
  

Internet & Data – 3.7%

 

  2,814,966      A&V Holdings Midco LLC, 2020 Term Loan B,
3-month LIBOR + 5.375%, 6.375%, 3/10/2027(a)(c)		      2,793,854  
  6,541,150      Castle U.S. Holding Corp., USD Term Loan B,
3-month LIBOR + 3.750%, 3.974%, 1/29/2027(a)(e)		      6,391,619  
  3,292,829      Crown Subsea Communications Holding, Inc., 2021 Term Loan,
1-month LIBOR + 4.750%, 5.500%, 4/27/2027(a)(b)		      3,290,096  
  3,000,000      Dodge Data & Analytics LLC, 2022 2nd Lien Term Loan,
2/25/2030(g)		      2,940,000  
  6,400,000      Dodge Data & Analytics LLC, 2022 Term Loan,
1-month SOFR + 4.750%, 4.750%, 2/23/2029(a)(d)		      6,224,000  
  6,344,000      Intelsat Jackson Holdings S.A., 2021 Exit Term Loan B,
6-month SOFR + 4.250%, 4.750%, 2/01/2029(a)(d)		      6,246,873  
  6,109,300      ION Trading Finance Ltd., 2021 USD Term Loan,
3-month LIBOR + 4.750%, 4.974%, 4/03/2028(a)(e)		      6,074,966  
  7,381,382      MH Sub I LLC, 2017 1st Lien Term Loan,
1-month LIBOR + 3.500%, 3.709%, 9/13/2024(a)(e)		      7,279,888  
  2,858,465      MH Sub I LLC, 2020 Incremental Term Loan,
1-month LIBOR + 3.750%, 4.750%, 9/13/2024(a)(c)		      2,835,826  
  5,400,000      MH Sub I LLC, 2021 2nd Lien Term Loan,
1-month LIBOR + 6.250%, 6.459%, 2/12/2029(a)(e)		      5,364,576  
  5,092,160      WeddingWire, Inc., 2022 Term Loan,
12/19/2025(g)		      5,049,743  
  5,457,000      Zacapa LLC, 2022 Term Loan,
2/10/2029(g)		      5,421,202  
     

 

 

  
        59,912,643  
     

 

 

  
  

Leisure – 2.3%

 

  3,166,825      Arcis Golf LLC, Term Loan B,
3-month LIBOR + 4.250%, 4.750%, 11/24/2028(a)(d)		      3,156,945  
  5,257,981      Kingpin Intermediate Holdings LLC, 2018 Term Loan B,
1-month LIBOR + 3.500%, 4.500%, 7/03/2024(a)(c)		      5,223,804  
  5,624,735      MajorDrive Holdings IV LLC, Term Loan B,
3-month LIBOR + 4.000%, 4.563%, 5/12/2028(a)(d)		      5,577,881  
  1,863,947      Playpower, Inc., 2019 Term Loan,
3-month LIBOR + 5.500%, 5.718%, 5/08/2026(a)(e)		      1,776,957  
  8,752,641      PUG LLC, USD Term Loan,
1-month LIBOR + 3.500%, 3.709%, 2/12/2027(a)(e)		      8,577,588  
  5,609,614      Recess Holdings, Inc., 2017 1st Lien Term Loan,
LIBOR + 3.750%, 4.226%, 9/30/2024(c)(h)		      5,560,530  
  7,505,700      Thunder Finco Pty Ltd., Term Loan B,
1-month LIBOR + 4.250%, 5.000%, 11/26/2026(a)(b)		      7,261,765  
     

 

 

  
        37,135,470  
     

 

 

  
  

Lodging – 1.0%

 

  6,837,165      Aimbridge Acquisition Co., Inc., 2019 Term Loan B,
1-month LIBOR + 3.750%, 3.959%, 2/02/2026(a)(e)		      6,640,597  
  9,075,000      Fertitta Entertainment LLC, 2022 Term Loan B,
1-month SOFR + 4.000%, 4.500%, 1/27/2029(a)(d)		      9,026,539  
     

 

 

  
        15,667,136  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Media Entertainment – 2.0%

 

$ 1,300,000      Cengage Learning, Inc., 2021 Term Loan B,
7/14/2026(g)		    $ 1,296,750  
  6,384,000      Cengage Learning, Inc., 2021 Term Loan B,
3-month LIBOR + 4.750%, 5.750%, 7/14/2026(a)(c)		      6,368,040  
  3,337,420      Diamond Sports Group LLC, Term Loan,
PRIME + 2.250%, 5.500%, 8/24/2026(a)(j)		      1,238,183  
  2,705,864      Emerald Expositions Holding, Inc., 2017 Term Loan B,
1-month LIBOR + 2.500%, 2.709%, 5/22/2024(a)(e)		      2,609,805  
  6,241,358      McGraw-Hill Global Education Holdings LLC, 2021 Term Loan,
LIBOR + 4.750%, 5.553%, 7/28/2028(d)(h)		      6,178,944  
  9,700,000      Metro-Goldwyn-Mayer, Inc., 2018 2nd Lien Term Loan,
1-month LIBOR + 4.500%, 5.500%, 7/03/2026(a)(c)		      9,651,500  
  252,705      National CineMedia LLC, 2021 Incremental Term Loan,
1-month LIBOR + 8.000%, 9.000%, 12/20/2024(a)(c)		      238,806  
  5,890,238      Summer (BC) Holdco B S.a.r.l., 2021 USD Term Loan B2,
1-month LIBOR + 4.500%, 5.250%, 12/04/2026(a)(b)		      5,843,587  
     

 

 

  
        33,425,615  
     

 

 

  
  

Metals & Mining – 1.2%

 

  7,000,000      AMG Advanced Metallurgical Group NV, 2018 Term Loan B,
1-month LIBOR + 3.500%, 4.000%, 11/30/2028(a)(d)		      6,877,500  
  747,128      Grinding Media, Inc., 2021 Term Loan B,
3-month LIBOR + 4.000%, 4.750%, 10/12/2028(a)(b)		      735,921  
  6,107,490      SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B,
6-month LIBOR + 4.000%, 4.750%, 3/16/2027(a)(b)		      6,008,243  
  5,435,860      U.S. Silica Co., 2018 Term Loan B,
1-month LIBOR + 4.000%, 5.000%, 5/01/2025(a)(c)		      5,350,083  
     

 

 

  
        18,971,747  
     

 

 

  
  

Midstream – 0.5%

 

  2,640,935      AL NGPL Holdings LLC, Term Loan B,
3-month LIBOR + 3.750%, 4.750%, 4/14/2028(a)(c)		      2,622,237  
  6,500,000      Lucid Energy Group II Borrower LLC, 2021 Term Loan,
3-month LIBOR + 4.250%, 5.000%, 11/24/2028(a)(b)		      6,456,645  
     

 

 

  
        9,078,882  
     

 

 

  
  

Natural Gas – 0.5%

 

  7,750,000      Freeport LNG Investments, LLLP, Term Loan B,
3-month LIBOR + 3.500%, 4.000%, 12/21/2028(a)(d)		      7,668,625  
     

 

 

  
   Packaging – 1.2%   
  4,734,783      Pretium PKG Holdings, Inc., 2021 1st Lien Term Loan,
3-month LIBOR + 4.000%, 4.500%, 10/02/2028(a)(d)		      4,676,450  
  2,805,660      Reynolds Group Holdings, Inc., 2020 Term Loan B2,
1-month LIBOR + 3.250%, 3.459%, 2/05/2026(a)(e)		      2,758,329  
  2,793,000      Reynolds Group Holdings, Inc., 2021 Term Loan B,
1-month LIBOR + 3.500%, 4.000%, 9/20/2028(a)(d)		      2,756,523  
  4,383,057      Ring Container Technologies Group LLC, 2021 Term Loan B,
LIBOR + 3.750%, 4.269%, 8/12/2028(d)(h)		      4,347,467  
  4,828,000      RLG Holdings LLC, 2021 Term Loan,
3-month LIBOR + 4.250%, 5.000%, 7/07/2028(a)(b)		      4,788,797  
     

 

 

  
        19,327,566  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Paper – 0.5%

 

$ 1,114,550      Domtar Corp., 2021 Term Loan B,
11/30/2028(g)		    $ 1,109,902  
  4,613,226      Domtar Corp., 2021 Term Loan B,
1-month LIBOR + 5.500%, 6.250%, 11/30/2028(a)(b)		      4,593,989  
  2,671,860      Spa Holdings 3 Oy, USD Term Loan B,
3-month LIBOR + 4.000%, 4.750%, 2/04/2028(a)(b)		      2,658,501  
     

 

 

  
        8,362,392  
     

 

 

  
  

Pharmaceuticals – 1.7%

 

  1,652,511      Akorn, Inc., 2020 Take Back Term Loan,
3-month LIBOR + 7.500%, 8.500%, 10/01/2025(a)(c)		      1,664,492  
  2,693,345      Amneal Pharmaceuticals LLC, 2018 Term Loan B,
1-month LIBOR + 3.500%, 3.750%, 5/04/2025(a)(e)		      2,638,131  
  9,756,000      Bausch Health Companies, Inc., 2022 Term Loan B,
1/27/2027(g)		      9,642,147  
  3,000,000      LSCS Holdings, Inc., 2021 1st Lien Term Loan,
12/16/2028(g)		      2,979,990  
  4,358,000      LSCS Holdings, Inc., 2021 1st Lien Term Loan,
3-month LIBOR + 4.500%, 5.000%, 12/16/2028(a)(d)		      4,328,932  
  2,000,000      LSCS Holdings, Inc., 2021 2nd Lien Term Loan,
3-month LIBOR + 8.000%, 8.500%, 11/23/2029(a)(d)		      1,980,000  
  4,580,000      MJH Healthcare Holdings LLC, 2021 Term Loan B,
3-month SOFR + 3.600%, 4.100%, 1/28/2029(a)(d)		      4,534,200  
     

 

 

  
        27,767,892  
     

 

 

  
  

Property & Casualty Insurance – 1.6%

 

  2,623,030      Alliant Holdings Intermediate LLC, 2021 Term Loan B4,
1-month LIBOR + 3.500%, 4.000%, 11/06/2027(a)(d)		      2,597,901  
  2,000,000      AssuredPartners, Inc., 2022 Term Loan,
2/12/2027(g)		      1,967,500  
  2,044,000      AssuredPartners, Inc., 2022 Term Loan,
1-month SOFR + 3.500%, 4.000%, 2/12/2027(a)(d)		      2,010,785  
  5,465,248      Baldwin Risk Partners LLC, 2021 Term Loan B,
1-month LIBOR + 3.500%, 4.000%, 10/14/2027(a)(d)		      5,393,544  
  867,328      Belfor Holdings, Inc., Term Loan B,
1-month LIBOR + 3.750%, 3.959%, 4/06/2026(a)(e)		      862,992  
  3,500,000      Broadstreet Partners, Inc., 2021 Term Loan B2,
1/27/2027(g)		      3,443,125  
  3,863,318      Broadstreet Partners, Inc., 2021 Term Loan B2,
1-month LIBOR + 3.250%, 3.750%, 1/27/2027(a)(d)		      3,800,538  
  4,403,000      Hyperion Insurance Group Ltd., 2021 Term Loan B,
11/12/2027(g)		      4,350,428  
  2,244,332      Hyperion Insurance Group Ltd., 2021 Term Loan B,
1-month LIBOR + 3.250%, 4.000%, 11/12/2027(a)(b)		      2,217,535  
     

 

 

  
        26,644,348  
     

 

 

  
  

REITs - Other – 0.4%

 

  5,955,000      Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1,
1-month LIBOR + 3.500%, 4.000%, 3/11/2028(a)(d)		      5,895,450  
   Restaurants – 1.0%   
  2,180,373      Carrols Restaurant Group, Inc., Term Loan B,
1-month LIBOR + 3.250%, 3.440%, 4/30/2026(a)(e)		      2,111,560  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Restaurants – continued

 

$ 5,125,025      Flynn Restaurant Group LP, 1st Lien Term Loan,
1-month LIBOR + 3.500%, 3.590%, 6/27/2025(a)		    $ 5,086,588  
  2,160,000      Flynn Restaurant Group LP, 2021 Term Loan B,
3-month LIBOR + 4.250%, 4.425%, 12/01/2028(a)(d)		      2,134,620  
  2,843,280      IRB Holding Corp., 2022 Term Loan B,
12/15/2027(g)		      2,813,425  
  5,041,040      Portillo’s Holdings LLC, 2019 1st Lien Term Loan B3,
1-month LIBOR + 5.500%, 6.500%, 9/06/2024(a)(c)		      5,024,254  
     

 

 

  
        17,170,447  
     

 

 

  
  

Retailers – 3.5%

 

  5,954,078      At Home Group, Inc., Term Loan B,
3-month LIBOR + 4.250%, 4.750%, 7/24/2028(a)(d)		      5,772,954  
  5,335,715      BDF Acquisition Corp., 1st Lien Term Loan,
1-month LIBOR + 5.250%, 6.250%, 8/14/2023(a)(c)		      5,249,010  
  3,774,860      Container Store, Inc. (The), 2020 Term Loan B3,
3-month LIBOR + 4.750%, 5.750%, 1/31/2026(a)(c)		      3,774,860  
  8,542,000      Crocs, Inc., Term Loan B,
3-month SOFR + 3.500%, 4.200%, 1/26/2029(a)(d)		      8,435,225  
  6,612,428      Evergreen Acqco 1 LP, 2021 USD Term Loan,
3-month LIBOR + 5.500%, 6.250%, 4/26/2028(a)(b)		      6,554,569  
  5,196,975      Great Outdoors Group LLC, 2021 Term Loan B1,
3-month LIBOR + 3.750%, 4.500%, 3/06/2028(a)(b)		      5,165,793  
  6,873,729      Michaels Companies, Inc., 2021 Term Loan B,
3-month LIBOR + 4.250%, 5.000%, 4/15/2028(a)(b)		      6,377,308  
  7,950,918      Petco Health & Wellness Company, Inc., 2021 Term Loan B,
3-month LIBOR + 3.250%, 4.000%, 3/03/2028(a)(b)		      7,888,344  
  2,543,220      PetSmart, Inc., 2021 Term Loan B,
3-month LIBOR + 3.750%, 4.500%, 2/11/2028(a)(b)		      2,528,927  
  6,285,133      Sweetwater Borrower LLC, Term Loan B,
1-month LIBOR + 4.750%, 5.500%, 8/07/2028(a)(b)		      6,222,282  
     

 

 

  
        57,969,272  
     

 

 

  
  

Technology – 11.1%

 

  1,260,000      Altar BidCo, Inc., 2021 2nd Lien Term Loan,
1-month LIBOR + 5.600%, 6.100%, 2/01/2030(a)(d)		      1,258,954  
  2,820,300      AP Core Holdings II LLC, Amortization Term Loan B1,
1-month LIBOR + 5.500%, 6.250%, 9/01/2027(a)(b)		      2,806,198  
  2,856,000      AP Core Holdings II LLC, High-Yield Term Loan B2,
1-month LIBOR + 5.500%, 6.250%, 9/01/2027(a)(b)		      2,845,290  
  6,239,346      Aptean, Inc., 2019 Term Loan,
1-month LIBOR + 4.250%, 4.459%, 4/23/2026(a)(e)		      6,179,574  
  7,550,000      Astra Acquisition Corp., 2021 1st Lien Term Loan,
1-month LIBOR + 5.250%, 5.750%, 10/25/2028(a)(d)		      7,361,250  
  10,670,156      CommScope, Inc., 2019 Term Loan B,
1-month LIBOR + 3.250%, 3.459%, 4/06/2026(a)(e)		      10,396,787  
  5,917,353      Corel Corp., 2019 Term Loan,
3-month LIBOR + 5.000%, 5.508%, 7/02/2026(a)(e)		      5,870,014  
  7,244,843      CoreLogic, Inc., Term Loan,
1-month LIBOR + 3.500%, 4.000%, 6/02/2028(a)(d)		      7,145,226  
  6,100,000      Cornerstone OnDemand, Inc., 2021 Term Loan,
3-month LIBOR + 3.750%, 4.250%, 10/16/2028(a)(d)		      6,035,218  
  8,831,125      Endure Digital, Inc., Term Loan,
3-month LIBOR + 3.500%, 4.250%, 2/10/2028(a)(b)		      8,499,958  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Technology – continued

 

$ 9,130,973      Finastra USA, Inc., USD 1st Lien Term Loan,
3-month LIBOR + 3.500%, 4.500%, 6/13/2024(a)(c)		    $ 8,990,721  
  5,894,460      Flexera Software LLC, 2021 Term Loan B,
3-month LIBOR + 3.750%, 4.500%, 3/03/2028(a)(b)		      5,848,424  
  7,246,974      GoTo Group, Inc., Term Loan B,
1-month LIBOR + 4.750%, 4.887%, 8/31/2027(a)(e)		      7,116,094  
  6,581,520      Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4,
1-month LIBOR + 4.000%, 4.750%, 12/01/2027(a)(b)		      6,567,436  
  8,380,829      Hyland Software, Inc., 2021 2nd Lien Term Loan,
1-month LIBOR + 6.250%, 7.000%, 7/07/2025(a)(b)		      8,401,781  
  5,111,375      IGT Holding IV AB, 2021 USD Term Loan B2,
3-month LIBOR + 3.500%, 4.000%, 3/31/2028(a)(d)		      5,069,871  
  1,000,000      Magenta Buyer LLC, 2021 USD 1st Lien Term Loan,
7/27/2028(g)		      989,750  
  5,232,885      Magenta Buyer LLC, 2021 USD 1st Lien Term Loan,
3-month LIBOR + 5.000%, 5.750%, 7/27/2028(a)(b)		      5,179,248  
  9,819,000      McAfee LLC, 2022 USD Term Loan B,
3/01/2029(g)		      9,671,715  
  5,645,805      Peraton Corp., Term Loan B,
1-month LIBOR + 3.750%, 4.500%, 2/01/2028(a)(b)		      5,610,519  
  4,662,765      Project Ruby Ultimate Parent Corp., 2021 Term Loan,
1-month LIBOR + 3.250%, 4.000%, 3/03/2028(a)(b)		      4,618,748  
  1,276,000      Quest Software US Holdings Inc., 2022 Term Loan,
2/01/2029(g)		      1,256,069  
  4,854,000      Quest Software US Holdings Inc., 2022 Term Loan,
3-month SOFR + 4.250%, 4.750%, 2/01/2029(a)(d)		      4,778,181  
  4,389,000      Redstone Holdco 2 LP, 2021 Term Loan,
3-month LIBOR + 4.750%, 5.500%, 4/27/2028(a)(b)		      4,090,021  
  6,019,871      Rocket Software, Inc., 2018 Term Loan,
1-month LIBOR + 4.250%, 4.459%, 11/28/2025(a)(e)		      5,959,672  
  6,217,000      Seattle Spinco, Inc., 2022 USD Term Loan B5,
1-month SOFR + 4.000%, 4.500%, 2/26/2027(a)(d)		      6,123,745  
  7,724,714      SurveyMonkey, Inc., 2018 Term Loan B,
3-month LIBOR + 3.750%, 3.960%, 10/10/2025(a)(e)		      7,608,844  
  1,028,043      SurveyMonkey, Inc., 2018 Term Loan B,
PRIME + 2.750%, 6.000%, 10/10/2025(a)		      1,012,622  
  1,000,000      Syndigo LLC, 2020 2nd Lien Term Loan,
6-month LIBOR + 8.000%, 8.750%, 12/15/2028(a)(b)		      990,000  
  3,076,750      Syndigo LLC, 2020 Term Loan,
6-month LIBOR + 4.500%, 5.250%, 12/15/2027(a)(b)		      3,053,674  
  1,110,000      Ultimate Software Group, Inc. (The), 2021 2nd Lien Term Loan,
3-month LIBOR + 5.250%, 5.750%, 5/03/2027(a)(d)		      1,104,272  
  3,935,170      Verifone Systems, Inc., 2018 1st Lien Term Loan,
3-month LIBOR + 4.000%, 4.498%, 8/20/2025(a)(e)		      3,856,466  
  2,000,000      Virtusa Corp., 2022 Incremental Term Loan,
2/11/2028(g)		      1,977,500  
  4,460,467      Virtusa Corp., First Lien Term Loan B,
1-month LIBOR + 3.750%, 4.500%, 2/11/2028(a)(b)		      4,397,753  
  1,000,000      Vision Solutions, Inc., 2021 2nd Lien Term Loan,
4/23/2029(g)		      988,440  
  2,000,000      Vision Solutions, Inc., 2021 2nd Lien Term Loan,
3-month LIBOR + 7.250%, 8.000%, 4/23/2029(a)(b)		      1,976,880  

        Principal         
Amount

     

Description

            Value (†)          
  Senior Loans – continued  
  

Technology – continued

 

$ 6,396,908      Vision Solutions, Inc., 2021 Incremental Term Loan,
3-month LIBOR + 4.000%, 4.750%, 4/24/2028(a)(b)		    $ 6,321,744  
     

 

 

  
        181,958,659  
     

 

 

  
  

Transportation Services – 1.9%

 

  4,519,673      AIT Worldwide Logistics, Inc., 2021 Term Loan,
3-month LIBOR + 4.750%, 5.500%, 4/06/2028(a)(b)		      4,480,125  
  5,705,852      Carriage Purchaser, Inc., 2021 Term Loan B,
1-month LIBOR + 4.250%, 5.000%, 9/30/2028(a)(b)		      5,686,224  
  5,665,693      Deliver Buyer, Inc., Term Loan B,
3-month LIBOR + 5.000%, 5.224%, 5/01/2024(a)(e)		      5,619,688  
  4,455,000      Kenan Advantage Group, Inc., 2021 Term Loan B1,
3-month LIBOR + 3.750%, 4.500%, 3/24/2026(a)(b)		      4,422,701  
  6,604,448      LaserShip, Inc., 2021 Term Loan,
3-month LIBOR + 4.500%, 5.250%, 5/07/2028(a)(b)		      6,579,681  
  4,550,000      Michael Baker International LLC, 2021 Term Loan,
1-month LIBOR + 5.000%, 5.750%, 11/02/2028(a)(b)		      4,527,250  
     

 

 

  
        31,315,669  
     

 

 

  
  

Utility Other – 0.9%

 

  5,853,585      Artera Services LLC, Incremental Term Loan,
3-month LIBOR + 3.500%, 4.500%, 3/06/2025(a)(c)		      5,636,183  
  5,482,462      Tiger Acquisition LLC, 2021 Term Loan,
3-month LIBOR + 3.250%, 3.758%, 6/01/2028(a)(d)		      5,321,442  
  3,490,253      USIC Holdings, Inc., 2021 Term Loan,
1-month LIBOR + 3.500%, 4.250%, 5/12/2028(a)(b)		      3,434,618  
     

 

 

  
        14,392,243  
     

 

 

  
  

Wireless – 0.9%

 

  4,686,000      Asurion LLC, 2021 2nd Lien Term Loan B3,
1-month LIBOR + 5.250%, 5.459%, 1/31/2028(a)(e)		      4,626,254  
  2,933,742      Asurion LLC, 2021 Term Loan B9,
1-month LIBOR + 3.250%, 3.459%, 7/31/2027(a)(e)		      2,876,916  
  3,300,000      CCI Buyer, Inc., Term Loan,
12/17/2027(g)		      3,261,852  
  3,655,378      CCI Buyer, Inc., Term Loan,
3-month LIBOR + 3.750%, 4.500%, 12/17/2027(a)(b)		      3,613,121  
     

 

 

  
        14,378,143  
     

 

 

  
  

Wirelines – 0.3%

 

  2,660,000      Frontier Communications Corp., 2021 DIP Term Loan B,
5/01/2028(g)		      2,635,900  
  3,028,118      Frontier Communications Corp., 2021 DIP Term Loan B,
3-month LIBOR + 3.750%, 4.500%, 5/01/2028(a)(b)		      3,000,683  
     

 

 

  
        5,636,583  
     

 

 

  
   Total Senior Loans
(Identified Cost $1,488,839,964)		      1,472,820,743  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Bonds and Notes – 4.4%  
  Non-Convertible Bonds – 4.2%   
  

Airlines – 0.3%

 

$ 5,750,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd.,
5.500%, 4/20/2026, 144A		    $ 5,885,355  
     

 

 

  
   Chemicals – 0.5%   
  1,715,000      Avient Corp.,
5.750%, 5/15/2025, 144A		      1,760,019  
  2,985,000      Iris Holdings, Inc.,
9.500% PIK or 8.750% Cash, 2/15/2026, 144A(k)		      2,992,462  
  3,405,000      Kobe U.S. Midco 2, Inc.,
10.000% PIK or 9.250% Cash, 11/01/2026, 144A(l)		      3,439,731  
     

 

 

  
        8,192,212  
     

 

 

  
  

Consumer Cyclical Services – 0.3%

 

  5,500,000      WASH Multifamily Acquisition, Inc.,
5.750%, 4/15/2026, 144A		      5,543,945  
     

 

 

  
  

Consumer Products – 0.2%

 

  3,250,000      Coty, Inc.,
6.500%, 4/15/2026, 144A		      3,316,625  
     

 

 

  
  

Finance Companies – 0.2%

 

  3,370,000      Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.,
6.375%, 2/01/2027, 144A		      3,448,993  
     

 

 

  
  

Financial Other – 0.3%

 

  4,400,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
5.250%, 5/15/2027		      4,369,200  
     

 

 

  
  

Gaming – 0.3%

 

  4,235,000      Caesars Entertainment, Inc.,
6.250%, 7/01/2025, 144A		      4,391,271  
     

 

 

  
  

Media Entertainment – 0.4%

 

  4,650,000      Millennium Escrow Corp.,
6.625%, 8/01/2026, 144A		      4,498,875  
  1,845,000      Townsquare Media, Inc.,
6.875%, 2/01/2026, 144A		      1,881,900  
     

 

 

  
        6,380,775  
     

 

 

  
  

Property & Casualty Insurance – 0.3%

 

  4,000,000      NMI Holdings, Inc.,
7.375%, 6/01/2025, 144A		      4,299,420  
     

 

 

  
  

REITs - Hotels – 0.3%

 

  50,000      Service Properties Trust,
3.950%, 1/15/2028		      43,375  
  1,200,000      Service Properties Trust,
4.750%, 10/01/2026		      1,109,772  
  3,710,000      Service Properties Trust,
4.950%, 2/15/2027		      3,450,300  
     

 

 

  
        4,603,447  
     

 

 

  

        Principal         
Amount

     

Description

            Value (†)          
  Bonds and Notes – continued  
  Non-Convertible Bonds – continued   
  

REITs - Mortgage – 0.8%

 

$ 4,000,000      Blackstone Mortgage Trust, Inc.,
3.750%, 1/15/2027, 144A		    $ 3,780,000  
  1,750,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
5.250%, 10/01/2025, 144A		      1,754,375  
  5,750,000      Starwood Property Trust, Inc.,
3.625%, 7/15/2026, 144A		      5,440,938  
  2,000,000      Starwood Property Trust, Inc.,
4.375%, 1/15/2027, 144A		      1,941,076  
     

 

 

  
        12,916,389  
     

 

 

  
  

Supermarkets – 0.3%

 

  5,750,000      Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC,
4.625%, 1/15/2027, 144A		      5,775,228  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $69,298,569)		      69,122,860  
     

 

 

  
  Convertible Bonds – 0.2%   
  

REITs - Mortgage – 0.2%

 

  3,250,000      Blackstone Mortgage Trust, Inc.,
4.375%, 5/05/2022
(Identified Cost $3,233,865)		      3,250,000  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $72,532,434)		      72,372,860  
     

 

 

  
          Shares                
  Common Stocks – 0.5%   
  

Chemicals – 0.4%

 

  193,746      Hexion Holdings Corp., Class B(m)      5,708,726  
     

 

 

  
   Energy Equipment & Services – 0.0%   
  61,854      Ameriforge Group, Inc.(m)(n)(o)(p)      8,814  
     

 

 

  
   Pharmaceuticals – 0.1%   
  192,793      Akorn, Inc.(j)(m)      1,622,739  
     

 

 

  
   Total Common Stocks
(Identified Cost $10,111,615)		      7,340,279  
     

 

 

  
  Exchange-Traded Funds – 1.3%   
  1,010,000      Invesco Senior Loan ETF
(Identified Cost $22,207,205)		      21,987,700  
     

 

 

  
 
         Principal        
Amount
 		      
  Short-Term Investments – 11.0%   
  179,208,824      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2022 at 0.000% to be repurchased at $179,208,824 on 3/01/2022 collateralized by $182,678,900 U.S. Treasury Note, 1.875% due 2/28/2027 valued at $182,793,073 including accrued interest(q)
(Identified Cost $179,208,824)		      179,208,824  
     

 

 

  

                              

     

Description

            Value (†)          
   Total Investments – 107.3%
(Identified Cost $1,772,900,042)		    $ 1,753,730,406  
   Other assets less liabilities – (7.3)%      (119,090,736 ) 
     

 

 

  
   Net Assets – 100.0%    $ 1,634,639,670  
     

 

 

  

 

(†)

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 February 28, 2022, securities held by the Fund were fair valued as follows:

 

Securities fair valued by

the Fund’s adviser

  

Percentage of Net

Assets

$8,814

   Less than 0.1%

 

    

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 February 28, 2022 is disclosed.

(b)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.

(c)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added.

(d)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added.

(e)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.00%, to which the spread is added.

(f)

Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.

(g)

Position is unsettled. Contract rate was not determined at February 28, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(h)

Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2022. 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.

(i)

Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2022.

(j)

Securities subject to restriction on resale. At February 28, 2022, the restricted securities held by the Fund are as follows:

 

     Acquisition Date      Acquisition Cost      Value      % of Net Assets  

Akorn, Inc.

      10/06/2020      $ 2,530,723 *     $ 1,622,739        0.1 % 

Diamond Sports Group LLC, Term Loan

      9/30/2019        3,354,107        1,238,183        0.1 % 

 

*

Represents basis carried over in a non-taxable restructuring.

(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 February 28, 2022, interest payments were made in cash.

(l)

Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period.

(m)

Non-income producing security.

(n)

Illiquid security.

(o)

Level 3 security. Value has been determined using significant unobservable inputs.

(p)

Fair valued by the Fund’s adviser. At February 28, 2022, the value of this security amounted to $8,814 or less than 0.1% of net assets.

(q)

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 February 28, 2022, 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 February 28, 2022, the value of Rule 144A holdings amounted to $60,150,213 or 3.7% of net assets.

DIP

Debtor In Possession

ETF

Exchange-Traded Fund

LIBOR

London Interbank Offered Rate

PIK

Payment-in-Kind

REITs

Real Estate Investment Trusts

SOFR

Secured Overnight Financing Rate

SOFRTE

Term SOFR

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 February 28, 2022, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Senior Loans*

    $ —        $ 1,472,820,743      $ —       $ 1,472,820,743  

Bonds and Notes*

      —          72,372,860        —         72,372,860  

Common Stocks

           

Energy Equipment & Services

      —          —          8,814 (a)      8,814  

All Other Common Stocks*

      —          7,331,465        —         7,331,465  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      —          7,331,465        8,814       7,340,279  
  

 

 

     

 

 

     

 

 

    

 

 

  

Exchange-Traded Funds

      21,987,700        —          —         21,987,700  

Short-Term Investments

      —          179,208,824        —         179,208,824  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 21,987,700      $ 1,731,733,892      $ 8,814     $ 1,753,730,406  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

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.

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, 2021 and/or February 28, 2022:

Asset Valuation Inputs

 

Investments in Securities

    Balance as of
November 30,
2021		      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
February 28,
2022		      Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
February 28,
2022		  

Common Stocks
Energy Equipment & Services

    $ 8,814      $ —        $ —        $ —        $ —        $ —        $ —        $ —        $ 8,814      $ —    
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Industry Summary at February 28, 2022 (Unaudited)

 

Technology

      11.1 % 

Healthcare

      9.3  

Consumer Products

      6.8  

Industrial Other

      5.8  

Consumer Cyclical Services

      5.1  

Automotive

      4.4  

Building Materials

      4.3  

Chemicals

      4.1  

Financial Other

      4.0  

Internet & Data

      3.7  

Retailers

      3.5  

Food & Beverage

      3.5  

Media Entertainment

      2.4  

Leisure

      2.3  

Other Investments, less than 2% each

      24.7  

Short-Term Investments

      11.0  

Exchange-Traded Funds

      1.3  
  

 

 

  

Total Investments

      107.3  

Other assets less liabilities

      (7.3 ) 
  

 

 

  

Net Assets

      100.0 %