PORTFOLIO OF INVESTMENTS as of February 28, 2023 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount |
Description |
Value () | ||||||
Senior Loans 82.1% of Net Assets |
||||||||
Aerospace & Defense 0.1% |
| |||||||
$ | 615,458 | Spirit Aerosystems, Inc., 2022 Term Loan, |
$ | 615,199 | ||||
|
|
|||||||
Airlines 2.1% |
| |||||||
6,345,000 | American Airlines, Inc., 2021 Term Loan, |
6,493,536 | ||||||
3,602,801 | LifeMiles Ltd., 2021 Term Loan B, |
3,424,462 | ||||||
2,250,000 | Mileage Plus Holdings LLC, 2020 Term Loan B, |
2,340,563 | ||||||
2,912,383 | SkyMiles IP Ltd., 2020 SkyMiles Term Loan B, |
3,012,511 | ||||||
6,051,751 | United Airlines, Inc., 2021 Term Loan B, |
6,032,870 | ||||||
|
|
|||||||
21,303,942 | ||||||||
|
|
|||||||
Automotive 2.0% |
| |||||||
1,345,000 | American Axle & Manufacturing, Inc., 2022 Term Loan B, |
1,342,310 | ||||||
4,000,000 | First Brands Group LLC, 2021 2nd Lien Term Loan, |
3,602,520 | ||||||
5,538,001 | First Brands Group LLC, 2021 Term Loan, |
5,359,733 | ||||||
5,405,703 | IXS Holdings, Inc., 2020 Term Loan B, |
4,389,430 | ||||||
7,367,751 | Wheel Pros LLC, 2021 Term Loan, |
5,250,112 | ||||||
|
|
|||||||
19,944,105 | ||||||||
|
|
|||||||
Banking 0.5% |
| |||||||
5,478,600 | Novae LLC, 1st Lien Term Loan, |
4,670,507 | ||||||
|
|
|||||||
Brokerage 4.3% |
| |||||||
3,589,449 | AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, |
3,206,562 | ||||||
4,482,325 | Astra Acquisition Corp., 2021 1st Lien Term Loan, |
3,872,729 | ||||||
3,574,750 | DRW Holdings LLC, 2021 Term Loan, |
3,490,958 | ||||||
8,852,045 | Edelman Financial Center LLC, 2018 2nd Lien Term Loan, |
8,599,407 | ||||||
4,125,123 | Eisner Advisory Group LLC, Term Loan, |
4,094,184 | ||||||
4,978,042 | HighTower Holdings LLC, 2021 Term Loan B, |
4,766,475 | ||||||
6,348,775 | LHS Borrower LLC, 2022 Term Loan B, |
5,205,996 | ||||||
4,035,506 | Resolute Investment Managers, Inc., 2020 Term Loan C, |
3,167,872 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Brokerage continued |
| |||||||
$ | 7,135,031 | Teneo Holdings LLC, Term Loan, |
$ | 7,036,925 | ||||
|
|
|||||||
43,441,108 | ||||||||
|
|
|||||||
Building Materials 3.4% |
| |||||||
4,500,876 | ACProducts, Inc., 2021 Term Loan B, |
3,777,360 | ||||||
5,286,650 | Chamberlain Group, Inc., Term Loan B, |
5,086,762 | ||||||
2,686,329 | Cornerstone Building Brands, Inc., 2021 Term Loan B, |
2,480,664 | ||||||
5,337,999 | CP Atlas Buyer, Inc., 2021 Term Loan B, |
4,877,596 | ||||||
3,392,352 | Foley Products Co. LLC, 2021 Term Loan, |
3,338,074 | ||||||
3,323,152 | LBM Acquisition LLC, Term Loan B, |
3,031,346 | ||||||
1,994,158 | Mannington Mills, Inc., 2021 Term Loan B, |
1,621,509 | ||||||
5,228,895 | Oscar AcquisitionCo. LLC, Term Loan B, |
5,055,139 | ||||||
4,453,079 | Specialty Building Products Holdings LLC, 2021 Term Loan B, |
4,239,465 | ||||||
|
|
|||||||
33,507,915 | ||||||||
|
|
|||||||
Cable Satellite 1.7% |
| |||||||
11,671,295 | DirecTV Financing LLC, Term Loan, |
11,338,429 | ||||||
2,023,585 | Intelsat Jackson Holdings SA, 2021 Exit Term Loan B, |
1,998,290 | ||||||
3,795,377 | ViaSat, Inc., Term Loan, |
3,742,394 | ||||||
|
|
|||||||
17,079,113 | ||||||||
|
|
|||||||
Chemicals 3.8% |
| |||||||
3,275,000 | Aruba Investments, Inc., 2020 2nd Lien Term Loan, |
2,947,500 | ||||||
4,094,916 | Bakelite U.S. Holdco, Inc., 2022 Term Loan, |
3,869,696 | ||||||
1,923,650 | GEON Performance Solutions LLC, 2021 Term Loan, |
1,913,435 | ||||||
6,627,864 | Groupe Solmax, Inc., Term Loan, |
5,716,533 | ||||||
3,143,648 | Hyperion Materials & Technologies, Inc., 2021 Term Loan B, |
3,100,423 | ||||||
3,611,000 | Ineos U.S. Finance LLC, 2022 USD Term Loan B, |
3,595,509 | ||||||
855,508 | Ineos U.S. Finance LLC, 2023 USD Term Loan B, |
848,287 | ||||||
3,092,000 | LSF11 A5 Holdco LLC, 2023 Incremental Term Loan B, |
3,024,996 | ||||||
5,930,166 | Luxembourg Investment Co. 428 Sarl, Term Loan B, |
4,719,404 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Chemicals continued |
| |||||||
$ | 1,994,975 | Olympus Water U.S. Holding Corp., 2022 Incremental Term Loan, |
$ | 1,964,551 | ||||
4,588,500 | PMHC II, Inc., 2022 Term Loan B, |
3,935,098 | ||||||
2,000,000 | SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, |
1,945,620 | ||||||
|
|
|||||||
37,581,052 | ||||||||
|
|
|||||||
Construction Machinery 0.2% |
| |||||||
3,029,050 | ASP Blade Holdings, Inc., Initial Term Loan, |
2,522,441 | ||||||
|
|
|||||||
Consumer Cyclical Services 4.2% |
| |||||||
2,512,438 | Galaxy U.S. Opco, Inc., Term Loan, |
2,267,475 | ||||||
743,000 | Go Daddy Operating Co. LLC, 2022 Term Loan B5, |
743,097 | ||||||
5,255,856 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, |
5,129,400 | ||||||
2,500,000 | Inmar Holdings, Inc., 2017 2nd Lien Term Loan, |
2,362,500 | ||||||
1,821,000 | Kingpin Intermediate Holdings LLC, 2023 Term Loan B, |
1,814,171 | ||||||
4,592,462 | Latham Pool Products, Inc., 2022 Term Loan B, |
4,316,915 | ||||||
6,640,137 | SurveyMonkey, Inc., 2018 Term Loan B, |
6,499,034 | ||||||
3,271,076 | Sweetwater Borrower LLC, Term Loan B, |
3,074,811 | ||||||
4,069,206 | The Knot Worldwide, Inc., 2022 Term Loan, |
4,059,033 | ||||||
4,977,188 | Vaco Holdings LLC, 2022 Term Loan, |
4,910,842 | ||||||
11,338,759 | WW International, Inc., 2021 Term Loan B, |
6,441,889 | ||||||
|
|
|||||||
41,619,167 | ||||||||
|
|
|||||||
Consumer Products 3.8% |
| |||||||
2,500,000 | 19th Holdings Golf LLC, 2022 Term Loan B, |
2,379,700 | ||||||
2,603,472 | AI Aqua Merger Sub, Inc., 2021 1st Lien Term Loan B, |
2,500,270 | ||||||
2,616,850 | AI Aqua Merger Sub, Inc., 2021 1st Lien Term Loan B, |
2,513,118 | ||||||
1,496,250 | Bombardier Recreational Products, Inc., 2022 Incremental Term Loan B,
|
1,488,021 | ||||||
1,753,605 | Bombardier Recreational Products, Inc., 2022 Incremental Term Loan B, |
1,743,960 | ||||||
1,812,488 | Callaway Golf Co., Term Loan B, |
1,811,365 | ||||||
4,168,778 | Illuminate Merger Sub Corp., 1st Lien Term Loan, |
3,919,526 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Consumer Products continued |
| |||||||
$ | 4,138,934 | Mattress Firm, Inc., 2021 Term Loan B, |
$ | 3,895,772 | ||||
8,169,681 | Solis IV BV, USD Term Loan B1, |
7,478,199 | ||||||
5,235,450 | Springs Windows Fashions LLC, 2021 Term Loan B, |
4,480,655 | ||||||
2,716,473 | Weber-Stephen Products LLC, 2022 Incremental Term Loan B, |
2,370,122 | ||||||
3,338,094 | Weber-Stephen Products LLC, Term Loan B, |
2,904,142 | ||||||
|
|
|||||||
37,484,850 | ||||||||
|
|
|||||||
Diversified Manufacturing 3.4% |
| |||||||
5,765,993 | Alliance Laundry Systems LLC, Term Loan B, |
5,709,544 | ||||||
4,068,400 | Arcline FM Holdings LLC, 2021 1st Lien Term Loan, |
3,861,604 | ||||||
3,588,225 | Chart Industries, Inc., 2022 Term Loan B, |
3,581,515 | ||||||
3,359,469 | CMBF LLC, Term Loan, |
3,040,319 | ||||||
3,000,000 | Infinite Bidco LLC, 2nd Lien Term Loan, |
2,677,500 | ||||||
4,728,150 | Project Castle, Inc., Term Loan B, |
4,060,299 | ||||||
2,620,002 | Shape Technologies Group, Inc., Term Loan, |
2,413,205 | ||||||
3,096,951 | U.S. Farathane LLC, 2021 Term Loan B, |
2,859,508 | ||||||
4,453,676 | Vertiv Group Corp., 2021 Term Loan B, |
4,395,912 | ||||||
1,807,000 | Watlow Electric Manufacturing Co., 2022 Incremental Term Loan B, |
1,795,706 | ||||||
|
|
|||||||
34,395,112 | ||||||||
|
|
|||||||
Electric 0.3% |
| |||||||
3,930,990 | KAMC Holdings, Inc., 2019 Term Loan, |
3,400,306 | ||||||
|
|
|||||||
Environmental 0.7% |
| |||||||
4,320,102 | Liberty Tire Recycling Holdco LLC, 2021 Term Loan, |
3,938,507 | ||||||
3,086,393 | Northstar Group Services, Inc., 2020 Term Loan B, |
3,018,246 | ||||||
|
|
|||||||
6,956,753 | ||||||||
|
|
|||||||
Finance Companies 0.2% |
| |||||||
1,777,000 | Castlelake Aviation Ltd., 2023 Incremental Term Loan B, |
1,754,041 | ||||||
|
|
|||||||
Financial Other 1.1% |
| |||||||
6,161,008 | GT Polaris, Inc., 2021 Term Loan, |
5,842,668 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Financial Other continued |
| |||||||
$ | 1,081,000 | Intrado Corp., 2023 Term Loan B, |
$ | 1,072,439 | ||||
1,150,000 | Mariner Wealth Advisors LLC, 2022 Incremental Term Loan, |
1,144,250 | ||||||
1,339,000 | Mariner Wealth Advisors LLC, 2022 Incremental Term Loan, |
1,332,305 | ||||||
2,109,485 | Mermaid BidCo, Inc., 2021 USD Term Loan, |
2,067,295 | ||||||
|
|
|||||||
11,458,957 | ||||||||
|
|
|||||||
Food & Beverage 1.5% |
| |||||||
6,996,735 | City Brewing Co. LLC, Closing Date Term Loan, |
3,346,748 | ||||||
4,466,295 | Del Monte Foods, Inc., 2022 Term Loan, |
4,369,510 | ||||||
5,000,000 | Naked Juice LLC, 2nd Lien Term Loan, |
3,800,000 | ||||||
775,000 | Nomad Foods Europe Midco Ltd., 2022 Term Loan B, |
775,512 | ||||||
3,065,027 | Triton Water Holdings, Inc., Term Loan, |
2,847,043 | ||||||
|
|
|||||||
15,138,813 | ||||||||
|
|
|||||||
Gaming 1.2% |
| |||||||
3,750,000 | Ballys Corp., 2021 Term Loan B, |
3,569,288 | ||||||
902,000 | Caesars Entertainment Corp., Term Loan B, |
899,871 | ||||||
3,630,480 | Fertitta Entertainment LLC, 2022 Term Loan B, |
3,528,391 | ||||||
3,596,789 | GVC Holdings (Gibraltar) Ltd., 2022 USD Term Loan B2, |
3,593,408 | ||||||
|
|
|||||||
11,590,958 | ||||||||
|
|
|||||||
Healthcare 5.7% |
| |||||||
8,500,000 | Aveanna Healthcare LLC, 2021 2nd Lien Term Loan, |
5,588,750 | ||||||
936,374 | Carestream Dental Equipment, Inc., 2021 Term Loan, |
867,710 | ||||||
3,500,000 | Charlotte Buyer, Inc., 1st Lien Term Loan, |
3,397,205 | ||||||
17,680 | Dermatology Intermediate Holdings III, Inc., 2022 Delayed Draw Term Loan, |
17,326 | ||||||
474,258 | Dermatology Intermediate Holdings III, Inc., 2022 Delayed Draw Term Loan, |
464,773 | ||||||
2,829,654 | Dermatology Intermediate Holdings III, Inc., 2022 Term Loan B, |
2,773,060 | ||||||
1,074,316 | Element Materials Technology Group U.S. Holdings, Inc., 2022 USD Delayed Draw Term Loan,
|
1,064,249 | ||||||
2,327,684 | Element Materials Technology Group U.S. Holdings, Inc., 2022 USD Term Loan, |
2,305,874 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Healthcare continued |
| |||||||
$ | 2,992,462 | Embecta Corp., Term Loan B, |
$ | 2,942,907 | ||||
2,923,359 | EyeCare Partners LLC, 2021 Incremental Term Loan, |
2,407,211 | ||||||
4,000,000 | Gainwell Acquisition Corp., Term Loan B, |
3,851,000 | ||||||
3,730,868 | Heartland Dental LLC, 2021 Incremental Term Loan, |
3,527,238 | ||||||
1,000,000 | MDVIP, Inc., 2021 2nd Lien Term Loan, |
880,000 | ||||||
907,976 | Midwest Physician Administrative Services LLC, 2021 Term Loan, |
857,183 | ||||||
3,291,795 | Midwest Veterinary Partners LLC, Term Loan, |
2,984,572 | ||||||
4,867,829 | NAPA Management Services Corp., Term Loan B, |
3,708,702 | ||||||
6,480,497 | National Mentor Holdings, Inc., 2021 Term Loan, |
4,994,065 | ||||||
177,172 | National Mentor Holdings, Inc., 2021 Term Loan C, |
136,534 | ||||||
5,772,671 | Onex TSG Intermediate Corp., 2021 Term Loan B, |
5,126,132 | ||||||
1,000,000 | Pearl Intermediate Parent LLC, 2018 2nd Lien Term Loan, |
891,250 | ||||||
1,000,000 | Southern Veterinary Partners LLC, 2nd Lien Term Loan, |
910,000 | ||||||
4,853,496 | Southern Veterinary Partners LLC, Term Loan, |
4,707,891 | ||||||
2,269,963 | U.S. Anesthesia Partners, Inc., 2021 Term Loan, |
2,174,352 | ||||||
|
|
|||||||
56,577,984 | ||||||||
|
|
|||||||
Independent Energy 0.6% |
| |||||||
5,772,375 | Matador Bidco Sarl, Term Loan, |
5,721,867 | ||||||
|
|
|||||||
Industrial Other 1.3% |
| |||||||
5,054,760 | Colibri Group LLC, 2022 Term Loan, |
4,852,570 | ||||||
3,403,597 | Gloves Buyer, Inc., 2021 Term Loan, |
3,207,891 | ||||||
4,678,188 | Service Logic Acquisition, Inc., Term Loan, |
4,608,015 | ||||||
|
|
|||||||
12,668,476 | ||||||||
|
|
|||||||
Leisure 1.0% |
| |||||||
2,500,000 | Carnival Corp., USD Term Loan B, |
2,455,625 | ||||||
7,410,450 | Thunder Finco Pty. Ltd., Term Loan B, |
7,104,769 | ||||||
|
|
|||||||
9,560,394 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Media Entertainment 8.4% |
| |||||||
$ | 6,191,000 | ABG Intermediate Holdings 2 LLC, 2021 2nd Lien Term Loan, |
$ | 5,695,720 | ||||
7,035,406 | Advantage Sales & Marketing, Inc., 2021 Term Loan, |
5,764,038 | ||||||
2,677,500 | AP Core Holdings II LLC, Amortization Term Loan B1, |
2,573,747 | ||||||
2,856,000 | AP Core Holdings II LLC, High-Yield Term Loan B2, |
2,744,130 | ||||||
1,200,000 | Cengage Learning, Inc., 2021 Term Loan B, |
1,131,816 | ||||||
5,612,018 | Cengage Learning, Inc., 2021 Term Loan B, |
5,293,143 | ||||||
5,089,822 | CMG Media Corp., 2021 Term Loan, |
4,774,253 | ||||||
802,382 | Creative Artists Agency LLC, 2023 Term Loan B, |
799,879 | ||||||
6,963,504 | Dotdash Meredith, Inc., Term Loan B, |
6,127,884 | ||||||
2,404,675 | Emerald Expositions Holding, Inc., 2017 Term Loan B, |
2,364,589 | ||||||
6,463,350 | Gray Television, Inc., 2021 Term Loan D, |
6,383,722 | ||||||
2,750,000 | iHeartCommunications, Inc., 2020 Term Loan, |
2,660,625 | ||||||
4,581,336 | McGraw-Hill Global Education Holdings LLC, 2021 Term Loan, |
4,393,501 | ||||||
7,400,000 | MH Sub I LLC, 2021 2nd Lien Term Loan, |
6,801,858 | ||||||
10,004,415 | PUG LLC, USD Term Loan, |
7,878,477 | ||||||
4,975,000 | Sinclair Television Group, Inc., 2022 Term Loan B4, |
4,833,511 | ||||||
4,085,607 | Summer (BC) Holdco B Sarl, 2021 USD Term Loan B2, |
3,866,005 | ||||||
1,647,250 | Syndigo LLC, 2020 2nd Lien Term Loan, |
1,268,382 | ||||||
3,045,750 | Syndigo LLC, 2020 Term Loan, |
2,802,090 | ||||||
1,960,150 | Univision Communications, Inc., 2022 First Lien Term Loan B, |
1,956,073 | ||||||
3,853,371 | Voyage Digital Ltd., USD Term Loan B, |
3,795,570 | ||||||
|
|
|||||||
83,909,013 | ||||||||
|
|
|||||||
Midstream 0.6% |
| |||||||
2,500,000 | Freeport LNG Investments LLLP, Term Loan B, |
2,438,675 | ||||||
1,500,000 | Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, |
1,490,205 | ||||||
1,875,000 | Whitewater Whistler Holdings LLC, 2023 Term Loan B, |
1,870,313 | ||||||
|
|
|||||||
5,799,193 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Oil Field Services 0.2% |
| |||||||
$ | 2,000,000 | Brazos Delaware II LLC, 2023 Term Loan B, |
$ | 1,986,260 | ||||
|
|
|||||||
Packaging 0.2% |
| |||||||
1,865,000 | Mauser Packaging Solutions Holding Co., Term Loan B, |
1,846,686 | ||||||
|
|
|||||||
Paper 1.4% |
| |||||||
2,927,425 | Domtar Corp., 2021 Term Loan B, |
2,873,765 | ||||||
7,196,935 | Schweitzer-Mauduit International, Inc., 2021
Term Loan B, |
7,052,996 | ||||||
4,321,415 | Spa Holdings 3 Oy, USD Term Loan B, |
4,220,596 | ||||||
|
|
|||||||
14,147,357 | ||||||||
|
|
|||||||
Pharmaceuticals 0.9% |
| |||||||
818,508 | Akorn, Inc., 2020 Take Back Term Loan, |
77,758 | ||||||
2,929,875 | Bausch Health Cos., Inc., 2022 Term Loan B, |
2,305,285 | ||||||
5,289,458 | LSCS Holdings, Inc., 2021 1st Lien Term Loan, |
5,147,330 | ||||||
2,000,000 | LSCS Holdings, Inc., 2021 2nd Lien Term Loan, |
1,800,000 | ||||||
|
|
|||||||
9,330,373 | ||||||||
|
|
|||||||
Property & Casualty Insurance 2.1% |
| |||||||
2,942,358 | Acrisure LLC, 2021 First Lien Term Loan B, |
2,828,341 | ||||||
571,000 | AmWINS Group, Inc., 2023 Incremental Term Loan B, |
568,145 | ||||||
8,100,000 | Amynta Agency Borrower, Inc., 2023 Term Loan B, |
7,897,500 | ||||||
1,998,092 | Asurion LLC, 2020 Term Loan B8, |
1,898,906 | ||||||
4,686,000 | Asurion LLC, 2021 2nd Lien Term Loan B3, |
3,987,786 | ||||||
2,836,945 | Asurion LLC, 2023 Term Loan B11, |
2,668,147 | ||||||
5,013 | Broadstreet Partners, Inc., 2021 Term Loan B2, |
4,944 | ||||||
904,000 | Hub International Ltd., 2022 Term Loan B, |
902,644 | ||||||
|
|
|||||||
20,756,413 | ||||||||
|
|
|||||||
Refining 0.5% |
| |||||||
4,822,000 | Delek U.S. Holdings, Inc., 2022 Term Loan B, |
4,731,588 | ||||||
|
|
|||||||
REITs - Mortgage 0.4% |
| |||||||
4,124,000 | Starwood Property Trust, Inc., 2022 Term Loan B, |
4,089,193 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
REITs - Other 0.2% |
| |||||||
$ | 2,300,000 | Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1,
|
$ | 2,173,500 | ||||
|
|
|||||||
Restaurants 0.5% |
| |||||||
4,888,423 | Dave & Busters, Inc., 2022 Term Loan B, |
4,901,866 | ||||||
|
|
|||||||
Retailers 5.7% |
| |||||||
5,894,388 | At Home Group, Inc., Term Loan B, |
4,826,855 | ||||||
2,772,337 | Canada Goose, Inc., 2021 Term Loan, |
2,726,122 | ||||||
3,622,120 | Container Store, Inc., 2020 Term Loan B3, |
3,314,240 | ||||||
3,573,347 | Crocs, Inc., Term Loan B, |
3,561,448 | ||||||
2,992,386 | CWGS Group LLC, 2021 Term Loan B, |
2,656,999 | ||||||
4,686,688 | Evergreen Acqco 1 LP, 2021 USD Term Loan, |
4,620,278 | ||||||
2,893,051 | Great Outdoors Group LLC, 2021 Term Loan B1, |
2,846,936 | ||||||
7,828,000 | International Textile Group, Inc., 2nd Lien Term Loan, |
1,017,640 | ||||||
3,916,407 | Michaels Cos., Inc., 2021 Term Loan B, |
3,578,617 | ||||||
4,688,395 | Olaplex, Inc., 2022 Term Loan, |
4,184,392 | ||||||
5,518,118 | PetSmart, Inc., 2021 Term Loan B, |
5,498,584 | ||||||
3,740,482 |
Rent-A-Center, Inc., 2021 First Lien
Term Loan B, |
3,649,327 | ||||||
3,990,000 | Restoration Hardware, Inc., 2022 Incremental Term Loan, |
3,855,337 | ||||||
4,176,822 | RVR Dealership Holdings LLC, Term Loan B, |
3,553,766 | ||||||
5,295,675 | S&S Holdings LLC, Term Loan, |
5,060,706 | ||||||
2,321,680 | Tory Burch LLC, Term Loan B, |
2,215,022 | ||||||
|
|
|||||||
57,166,269 | ||||||||
|
|
|||||||
Technology 14.9% |
| |||||||
6,975,000 | Access CIG LLC, 2018 2nd Lien Term Loan, |
6,347,250 | ||||||
4,860,000 | Altar Bidco, Inc., 2021 2nd Lien Term Loan, |
4,246,425 | ||||||
3,500,000 | Applied Systems, Inc., 2021 2nd Lien Term Loan, |
3,504,375 | ||||||
4,180,352 | Aptean, Inc., 2019 Term Loan, |
3,988,767 | ||||||
6,545,880 | Byjus Alpha, Inc., Term Loan B, |
5,584,487 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Technology continued |
| |||||||
$ | 4,200,440 | Castle U.S. Holding Corp., USD Term Loan B, |
$ | 2,942,660 | ||||
3,938,000 | CDK Global, Inc., 2022 USD Term Loan B, |
3,922,839 | ||||||
5,046,685 | Conduent Business Services LLC, 2021 Term Loan B, |
4,917,389 | ||||||
4,381,916 | Constant Contact, Inc., Term Loan, |
4,131,796 | ||||||
5,601,760 | Corel Corp., 2019 Term Loan, |
5,234,845 | ||||||
1,703,275 | CoreLogic, Inc., Term Loan, |
1,455,874 | ||||||
4,757,516 | Cornerstone OnDemand, Inc., 2021 Term Loan, |
4,379,294 | ||||||
6,125,667 | CT Technologies Intermediate Holdings, Inc., 2021 Term Loan B, |
5,926,583 | ||||||
3,000,000 | Dodge Data & Analytics LLC, 2022 2nd Lien Term Loan, |
2,223,750 | ||||||
4,478,206 | Dodge Data & Analytics LLC, 2022 Term Loan, |
3,714,135 | ||||||
5,650,218 | Endure Digital, Inc., Term Loan, |
5,223,627 | ||||||
6,791,316 | Finastra USA, Inc., USD 1st Lien Term Loan, |
6,392,326 | ||||||
1,953,116 | Global Client Solutions LLC, Term Loan B, |
1,865,226 | ||||||
8,166,177 | GoTo Group, Inc., Term Loan B, |
4,452,118 | ||||||
1,396,438 | Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, |
1,382,473 | ||||||
8,380,829 | Hyland Software, Inc., 2021 2nd Lien Term Loan, |
8,012,659 | ||||||
3,000,000 | Ingram Micro, Inc., 2021 Term Loan B, |
2,981,250 | ||||||
5,678,575 | Loyalty Ventures, Inc., Term Loan B, |
1,703,572 | ||||||
8,066,865 | Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, |
6,839,168 | ||||||
3,852,289 | McAfee LLC, 2022 USD Term Loan B, |
3,606,705 | ||||||
3,000,000 | MedAssets Software Intermediate Holdings, Inc., 2021 Term Loan, |
2,797,500 | ||||||
4,854,766 | NCR Corp., 2019 Term Loan, |
4,808,257 | ||||||
4,514,000 | Open Text Corp., 2022 Term Loan B, |
4,504,837 | ||||||
4,831,440 | Physician Partners LLC, Term Loan, |
4,626,104 | ||||||
3,740,636 | Quest Software U.S. Holdings, Inc., 2022 Term Loan, |
3,209,690 | ||||||
4,345,000 | Redstone Holdco 2 LP, 2021 Term Loan, |
3,537,091 | ||||||
4,100,000 | Sabre GLBL Inc., 2022 1st Lien Term Loan B, |
3,751,500 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Technology continued |
| |||||||
$ | 5,110,000 | Ultimate Software Group, Inc., 2021 2nd Lien Term Loan, |
$ | 4,960,941 | ||||
3,000,000 | Vision Solutions, Inc., 2021 2nd Lien Term Loan, |
2,401,620 | ||||||
5,287,197 | Vision Solutions, Inc., 2021 Incremental Term Loan, |
4,803,419 | ||||||
4,309,463 | WebHelp, 2021 USD Term Loan, |
4,152,167 | ||||||
|
|
|||||||
148,532,719 | ||||||||
|
|
|||||||
Transportation Services 1.7% |
| |||||||
3,476,888 | AIT Worldwide Logistics, Inc., 2021 Term Loan, |
3,347,965 | ||||||
3,013,874 | Carriage Purchaser, Inc., 2021 Term Loan B, |
2,961,131 | ||||||
4,750,000 | KKR Apple Bidco LLC, 2021 2nd Lien Term Loan, |
4,624,125 | ||||||
2,623,237 | LaserShip, Inc., 2021 Term Loan, |
2,180,566 | ||||||
4,562,523 | St. George Warehousing & Trucking Co. of California, Inc., 2022 Term Loan, |
4,351,506 | ||||||
|
|
|||||||
17,465,293 | ||||||||
|
|
|||||||
Wireless 1.1% |
| |||||||
2,500,000 | Altice France SA, 2023 USD Term Loan B14, |
2,418,750 | ||||||
3,804,276 | CCI Buyer, Inc., Term Loan, |
3,736,104 | ||||||
3,576,368 | Crown Subsea Communications Holding, Inc., 2021 Term Loan, |
3,509,311 | ||||||
1,384,000 | Crown Subsea Communications Holding, Inc., 2023 Incremental Term
Loan, |
1,358,050 | ||||||
|
|
|||||||
11,022,215 | ||||||||
|
|
|||||||
Wirelines 0.2% |
| |||||||
2,527,848 | Zacapa Sarl, 2022 Term Loan, |
2,449,383 | ||||||
|
|
|||||||
Total Senior Loans |
819,300,381 | |||||||
|
|
|||||||
Bonds and Notes 6.5% |
||||||||
Airlines 0.9% | ||||||||
4,205,000 | Allegiant Travel Co., |
4,131,412 | ||||||
5,000,000 | American Airlines, Inc., |
4,883,000 | ||||||
|
|
|||||||
9,014,412 | ||||||||
|
|
|||||||
Cable Satellite 0.4% |
| |||||||
5,000,000 | DISH DBS Corp., |
3,881,250 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Chemicals 1.0% |
| |||||||
$ | 2,985,000 | Iris Holdings, Inc., |
$ | 2,701,927 | ||||
3,405,000 | Kobe U.S. Midco 2, Inc., |
2,555,146 | ||||||
5,000,000 | Olympus Water U.S. Holding Corp., |
4,800,000 | ||||||
|
|
|||||||
10,057,073 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.3% |
| |||||||
3,500,000 | WASH Multifamily Acquisition, Inc., |
3,255,805 | ||||||
|
|
|||||||
Consumer Products 0.3% |
| |||||||
1,250,000 | Coty, Inc., |
1,225,875 | ||||||
1,965,000 | Newell Brands, Inc., |
1,954,251 | ||||||
|
|
|||||||
3,180,126 | ||||||||
|
|
|||||||
Finance Companies 0.3% |
| |||||||
3,370,000 | Oxford Finance LLC/Oxford Finance Co-Issuer II,
Inc., |
3,176,199 | ||||||
|
|
|||||||
Independent Energy 0.1% |
| |||||||
960,000 | Crescent Energy Finance LLC, |
935,856 | ||||||
|
|
|||||||
Media Entertainment 1.0% |
| |||||||
5,500,000 | iHeartCommunications, Inc., |
4,840,000 | ||||||
4,650,000 | Millennium Escrow Corp., |
3,106,526 | ||||||
1,845,000 | Townsquare Media, Inc., |
1,690,523 | ||||||
|
|
|||||||
9,637,049 | ||||||||
|
|
|||||||
Packaging 0.1% |
| |||||||
1,025,000 | Sealed Air Corp., |
1,009,574 | ||||||
|
|
|||||||
REITs - Hotels 0.4% |
| |||||||
1,200,000 | Service Properties Trust, |
1,041,000 | ||||||
3,760,000 | Service Properties Trust, |
3,241,494 | ||||||
|
|
|||||||
4,282,494 | ||||||||
|
|
|||||||
REITs - Mortgage 0.6% |
| |||||||
4,000,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., |
3,737,645 | ||||||
2,000,000 | Starwood Property Trust, Inc., |
1,733,906 | ||||||
|
|
|||||||
5,471,551 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Retailers 0.2% |
| |||||||
$ | 2,370,000 | Evergreen Acqco 1 LP/TVI, Inc., |
$ | 2,343,717 | ||||
|
|
|||||||
Supermarkets 0.5% |
| |||||||
5,750,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, |
5,405,000 | ||||||
|
|
|||||||
Technology 0.4% |
| |||||||
7,500,000 | GoTo Group, Inc., |
3,591,712 | ||||||
|
|
|||||||
Total Bonds and Notes |
65,241,818 | |||||||
|
|
|||||||
Shares |
||||||||
Common Stocks 0.0% |
||||||||
Oil, Gas & Consumable Fuels 0.0% |
| |||||||
61,854 | Ameriforge Group, Inc.(i)(n) |
5,691 | ||||||
|
|
|||||||
Pharmaceuticals 0.0% |
| |||||||
192,793 | Akorn, Inc.(n)(o) |
| ||||||
|
|
|||||||
Total Common Stocks |
5,691 | |||||||
|
|
|||||||
Exchange-Traded Funds 2.9% |
||||||||
Exchange-Traded Funds 2.9% |
| |||||||
348,000 | SPDR® Blackstone Senior Loan ETF |
14,542,920 | ||||||
585,000 | SPDR® Bloomberg Short Term High Yield Bond ETF |
14,414,400 | ||||||
|
|
|||||||
Total Exchange-Traded Funds |
28,957,320 | |||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 12.6% |
||||||||
$ | 59,227,156 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2023 at 1.950% to be repurchased at $59,230,364 on 3/01/2023 collateralized by $61,249,100 U.S. Treasury Note, 4.00% due 2/15/2026 valued at $60,411,702 including accrued interest(p) |
59,227,156 | |||||
67,000,000 | U.S. Treasury Bills, |
66,832,863 | ||||||
|
|
|||||||
Total Short-Term Investments |
126,060,019 | |||||||
|
|
Description |
Value () | |||||||
Total Investments 104.1% |
$ | 1,039,565,229 | ||||||
Other assets less liabilities (4.1)% |
(40,907,753 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 998,657,476 | ||||||
|
|
() | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Boards oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.
The Fund may also fair value investments 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 issuers 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 a Funds investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Funds net asset value (NAV) is calculated. Fair valuation by the Funds valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
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, 2023 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 floor rate of 0.50%, 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 floor rate of 0.75%, 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 floor rate of 1.00%, 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 floor rate of 0.00%, to which the spread is added. |
(f) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2023. 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. |
(g) | Position is unsettled. Contract rate was not determined at February 28, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(h) | 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. |
(i) | Level 3 security. Value has been determined using significant unobservable inputs. |
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(k) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2023. |
(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 February 28, 2023, interest payments were made in cash. |
(m) | 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. |
(n) | Non-income producing security. |
(o) | Securities subject to restriction on resale. At February 28, 2023, 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 | * | $ | | |
* | Represents basis carried over in a non-taxable restructuring. |
(p) | 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 Funds 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 Funds ability to dispose of the underlying securities. As of February 28, 2023, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(q) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
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, 2023, the value of Rule 144A holdings amounted to $50,283,823 or 5.0% of net assets. |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
SPDR® | Standard & Poors Depositary Receipt |
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 Funds 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 Funds 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 Funds pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Funds valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds investments as of February 28, 2023, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans |
||||||||||||||||
Pharmaceuticals |
$ | | $ | 9,252,615 | $ | 77,758 | $ | 9,330,373 | ||||||||
All Other Senior Loans* |
| 809,970,008 | | 809,970,008 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Senior Loans |
| 819,222,623 | 77,758 | 819,300,381 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes* |
| 65,241,818 | | 65,241,818 | ||||||||||||
Common Stocks* |
| | 5,691 | 5,691 | ||||||||||||
Exchange-Traded Funds |
28,957,320 | | | 28,957,320 | ||||||||||||
Short-Term Investments |
| 126,060,019 | | 126,060,019 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 28,957,320 | $ | 1,010,524,460 | $ | 83,449 | $ | 1,039,565,229 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
The Funds 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 Funds 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 Funds 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, 2022 and/or February 28, 2023:
Asset Valuation Inputs
Investments in Securities |
Balance as of November 30, 2022 |
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, 2023 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at February 28, 2023 |
||||||||||||||||||||||||||||||
Senior Loans |
||||||||||||||||||||||||||||||||||||||||
Pharmaceuticals |
$ | | $ | | $ | | $ | (694,365 | ) | $ | | $ | | $ | 772,123 | $ | | $ | 77,758 | $ | (694,365 | ) | ||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
5,691 | | | | | | | | 5,691 | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 5,691 | $ | | $ | | $ | (694,365 | ) | $ | | $ | | $ | 772,123 | $ | | $ | 83,449 | $ | (694,365 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $772,123 was transferred from Level 2 to Level 3 during the period ended February 28, 2023. At November 30, 2022, this security was fair valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At February 28, 2023, this security was fair 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.
Industry Summary at February 28, 2023 (Unaudited)
Technology |
15.3 | % | ||
Media Entertainment |
9.4 | |||
Retailers |
5.9 | |||
Healthcare |
5.7 | |||
Chemicals |
4.8 | |||
Consumer Cyclical Services |
4.5 | |||
Brokerage |
4.3 | |||
Consumer Products |
4.1 | |||
Diversified Manufacturing |
3.4 | |||
Building Materials |
3.4 | |||
Airlines |
3.0 | |||
Cable Satellite |
2.1 | |||
Property & Casualty Insurance |
2.1 | |||
Automotive |
2.0 | |||
Other Investments, less than 2% each |
18.6 | |||
Short-Term Investments |
12.6 | |||
Exchange-Traded Funds |
2.9 | |||
|
|
|||
Total Investments |
104.1 | |||
Other assets less liabilities |
(4.1 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|