SCHEDULE OF INVESTMENTS | ||||
High Income (in thousands) | SEPTEMBER 30, 2021 (UNAUDITED) | |||
COMMON STOCKS | Shares | Value | ||||||
|
||||||||
Communication Services |
| |||||||
Integrated Telecommunication Services 1.0% |
| |||||||
Frontier Communications Corp.(A) |
325 | $9,050 | ||||||
|
|
|||||||
Total Communication Services - 1.0% |
|
9,050 | ||||||
|
||||||||
Consumer Discretionary |
| |||||||
Apparel Retail 0.1% |
| |||||||
True Religion Apparel, |
| * | 517 | |||||
|
|
|||||||
Casinos & Gaming 1.1% |
| |||||||
New Cotai Participation Corp., Class B(A)(B)(C)(E) |
3,073 | 6,601 | ||||||
Studio City International Holdings Ltd. ADR(A) |
343 | 2,803 | ||||||
Studio City International Holdings Ltd. ADR(A)(C) |
141 | 1,155 | ||||||
|
|
|||||||
10,559 | ||||||||
|
|
|||||||
Education Services 0.8% |
| |||||||
Laureate Education, Inc., Class A(A) |
443 | 7,520 | ||||||
|
|
|||||||
Total Consumer Discretionary - 2.0% |
|
18,596 | ||||||
|
||||||||
Consumer Staples |
| |||||||
Food Distributors 0.0% |
| |||||||
ASG Warrant |
1 | | ||||||
|
|
|||||||
Total Consumer Staples - 0.0% |
|
| ||||||
|
||||||||
Energy |
| |||||||
Coal & Consumable Fuels 0.4% |
| |||||||
Foresight Energy |
186 | 3,922 | ||||||
Westmoreland |
29 | 43 | ||||||
|
|
|||||||
3,965 | ||||||||
|
|
|||||||
Oil & Gas Drilling 0.2% |
| |||||||
KCA Deutag UK Finance plc(A)(D) |
27 | 2,217 | ||||||
Vantage Drilling Co., Units(A) |
| * | 1 | |||||
|
|
|||||||
2,218 | ||||||||
|
|
|||||||
Oil & Gas Equipment & Services 0.0% |
| |||||||
Larchmont Resources LLC(A)(C)(D)(E) |
1 | 2 | ||||||
|
|
|||||||
Oil & Gas Exploration & Production 0.0% |
| |||||||
Sabine Oil & Gas |
| * | 1 | |||||
|
|
|||||||
Total Energy - 0.6% |
|
6,186 | ||||||
|
||||||||
Industrials |
| |||||||
Air Freight & Logistics 0.0% |
| |||||||
BIS Industries Ltd.(B)(C)(D) |
1,605 | | * | |||||
|
|
|||||||
Total Industrials - 0.0% |
|
| * | |||||
|
||||||||
TOTAL COMMON STOCKS 3.6% |
|
$33,832 | ||||||
|
||||||||
(Cost: $56,977) |
|
INVESTMENT FUNDS |
| |||||||
|
||||||||
Registered Investment Companies 3.8% |
| |||||||
Invesco Senior Loan ETF |
424 | 9,378 | ||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
290 | 25,372 | ||||||
|
|
|||||||
34,750 | ||||||||
|
|
|||||||
TOTAL INVESTMENT FUNDS 3.8% |
|
$34,750 | ||||||
|
||||||||
(Cost: $33,375) |
| |||||||
PREFERRED STOCKS | ||||||||
|
||||||||
Consumer Discretionary |
| |||||||
Apparel Retail 0.0% |
| |||||||
True Religion Apparel, |
| * | 119 | |||||
|
|
|||||||
Total Consumer Discretionary - 0.0% |
|
119 | ||||||
|
||||||||
Energy |
| |||||||
Oil & Gas Exploration & Production 0.9% |
| |||||||
Targa Resources Corp., |
8 | 8,122 | ||||||
|
|
|||||||
Total Energy - 0.9% |
|
8,122 | ||||||
|
||||||||
TOTAL PREFERRED STOCKS 0.9% |
|
$8,241 | ||||||
|
||||||||
(Cost: $8,808) |
| |||||||
WARRANTS | ||||||||
|
||||||||
Oil & Gas Exploration & Production 0.0% |
| |||||||
California Resources Corp., expires 10-27-24(F) |
8 | 93 | ||||||
|
|
|||||||
TOTAL WARRANTS 0.0% |
|
$93 | ||||||
|
||||||||
(Cost: $674) |
| |||||||
CORPORATE DEBT SECURITIES |
Principal | |||||||
|
||||||||
Communication Services |
| |||||||
Advertising 1.8% |
| |||||||
Advantage Sales & Marketing, Inc., |
$5,940 | 6,199 | ||||||
Centerfield Media Holdings
LLC, |
1,634 | 1,685 | ||||||
Midas OpCo Holdings
LLC, |
8,171 | 8,465 | ||||||
|
|
|||||||
16,349 | ||||||||
|
|
|||||||
Broadcasting 1.2% |
| |||||||
Clear Channel International
B.V., |
572 | 598 | ||||||
Clear Channel Outdoor Holdings, Inc.: |
||||||||
5.125%, 8-15-27(G) |
5,583 | 5,785 | ||||||
7.750%, 4-15-28(G) |
2,016 | 2,124 | ||||||
7.500%, 6-1-29(G) |
2,657 | 2,767 | ||||||
|
|
|||||||
11,274 | ||||||||
|
|
|||||||
Cable & Satellite 6.4% |
| |||||||
Altice Financing
S.A., |
5,719 | 5,547 | ||||||
Altice France Holding S.A.: |
||||||||
10.500%, 5-15-27(G) |
4,453 | 4,875 | ||||||
6.000%, 2-15-28(G) |
10,750 | 10,341 | ||||||
Altice France S.A.: |
||||||||
5.125%, 7-15-29(G) |
2,375 | 2,332 | ||||||
5.500%, 10-15-29(G) |
1,292 | 1,281 |
CSC Holdings LLC: |
||||||||
5.750%, 1-15-30(G) |
1,372 | 1,397 | ||||||
5.000%, 11-15-31(G) |
2,381 | 2,285 | ||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., |
1,552 | 1,622 | ||||||
DISH DBS Corp.: |
||||||||
7.750%, 7-1-26 |
2,868 | 3,242 | ||||||
7.375%, 7-1-28 |
751 | 798 | ||||||
5.125%, 6-1-29 |
3,322 | 3,259 | ||||||
LCPR Senior Secured Financing Designated Activity Co., |
913 | 942 | ||||||
Ligado Networks LLC (15.000% Cash or 15.000% PIK), |
7,651 | 6,938 | ||||||
Ligado Networks LLC (17.500% Cash or 17.500% PIK), |
551 | 378 | ||||||
Telesat Canada and Telesat LLC: |
||||||||
5.625%, 12-6-26(G) |
6,406 | 6,158 | ||||||
6.500%, 10-15-27(G) |
1,130 | 981 | ||||||
VTR Comunicaciones
S.p.A., |
3,166 | 3,267 | ||||||
VTR Finance
B.V., |
2,826 | 3,050 | ||||||
|
|
|||||||
58,693 | ||||||||
|
|
|||||||
Integrated Telecommunication Services 4.7% |
| |||||||
Cablevision Lightpath
LLC, |
1,225 | 1,231 | ||||||
Consolidated Communications, Inc.: |
||||||||
5.000%, 10-1-28(G)(I) |
1,129 | 1,167 | ||||||
6.500%, 10-1-28(G) |
2,423 | 2,635 | ||||||
Frontier Communications Corp.: |
||||||||
5.875%, 10-15-27(G) |
316 | 336 | ||||||
6.750%, 5-1-29(G) |
3,287 | 3,469 | ||||||
5.875%, 11-1-29 |
1,011 | 1,025 | ||||||
Northwest Fiber
LLC, |
1,327 | 1,495 | ||||||
Northwest Fiber LLC and Nortwest Fiber Finance Sub, Inc., |
1,703 | 1,696 | ||||||
West
Corp., |
19,709 | 19,609 | ||||||
Windstream Escrow
LLC, |
10,631 | 11,120 | ||||||
|
|
|||||||
43,783 | ||||||||
|
|
|||||||
Interactive Media & Services 0.3% |
| |||||||
Cars.com, Inc., 6.375%, 11-1-28(G) |
2,355 | 2,487 | ||||||
|
|
|||||||
Movies & Entertainment 1.5% |
| |||||||
Premier Entertainment Sub LLC and Premier Entertainment Finance Corp.: |
||||||||
5.625%, 9-1-29(G) |
8,169 | 8,262 | ||||||
5.875%, 9-1-31(G) |
5,224 | 5,285 | ||||||
|
|
|||||||
13,547 | ||||||||
|
|
|||||||
Wireless Telecommunication Service 3.8% |
| |||||||
Digicel Group
Ltd., |
1,651 | 1,711 |
Digicel Group Ltd. (5.000% |
1,312 | 1,170 | ||||||
Digicel Group Ltd. (7.000% Cash or 7.000% PIK), |
562 | 462 | ||||||
Digicel International Finance Ltd.: |
||||||||
8.750%, 5-25-24(G) |
11,226 | 11,636 | ||||||
8.000%, 12-31-26(G) |
1,474 | 1,433 | ||||||
Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK), |
741 | 748 | ||||||
Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK), |
7,510 | 7,519 | ||||||
Digicel Ltd., |
10,833 | 10,227 | ||||||
|
|
|||||||
34,906 | ||||||||
|
|
|||||||
Total Communication Services - 19.7% |
|
181,039 | ||||||
|
||||||||
Consumer Discretionary |
| |||||||
Apparel Retail 0.5% |
| |||||||
Victorias Secret & Co., |
4,478 | 4,570 | ||||||
|
|
|||||||
Automotive Retail 1.4% |
| |||||||
Asbury Automotive Group, Inc.: |
||||||||
4.500%, 3-1-28 |
2,577 | 2,648 | ||||||
4.750%, 3-1-30 |
4,451 | 4,651 | ||||||
Ken Garff Automotive LLC, |
781 | 804 | ||||||
Lithia Motors, Inc.: |
||||||||
3.875%, 6-1-29(G) |
1,666 | 1,731 | ||||||
4.375%, 1-15-31(G) |
1,271 | 1,359 | ||||||
Sonic Automotive, Inc., |
1,225 | 1,275 | ||||||
|
|
|||||||
12,468 | ||||||||
|
|
|||||||
Casinos & Gaming 0.2% |
| |||||||
Everi Holdings, Inc., |
1,625 | 1,667 | ||||||
|
|
|||||||
Education Services 1.1% |
| |||||||
Adtalem Global Education, Inc., |
9,502 | 9,604 | ||||||
|
|
|||||||
Homefurnishing Retail 0.1% |
| |||||||
Ambience Merger Sub, Inc.: |
||||||||
4.875%, 7-15-28(G) |
488 | 489 | ||||||
7.125%, 7-15-29(G) |
864 | 857 | ||||||
|
|
|||||||
1,346 | ||||||||
|
|
|||||||
Hotels, Resorts & Cruise Lines 1.8% |
| |||||||
Boyne USA, Inc., |
801 | 828 | ||||||
Carnival Corp.: |
||||||||
11.500%, 4-1-23(G) |
304 | 340 | ||||||
10.500%, 2-1-26(G) |
394 | 457 | ||||||
7.625%, 3-1-26(G) |
793 | 847 | ||||||
5.750%, 3-1-27(G) |
2,535 | 2,624 | ||||||
9.875%, 8-1-27(G) |
1,550 | 1,791 | ||||||
NCL Corp. Ltd.: |
||||||||
12.250%, 5-15-24(G) |
2,960 | 3,496 | ||||||
10.250%, 2-1-26(G) |
1,865 | 2,143 | ||||||
5.875%, 3-15-26(G) |
784 | 805 | ||||||
Royal Caribbean Cruises Ltd.: |
||||||||
11.500%, 6-1-25(G) |
293 | 335 | ||||||
5.500%, 4-1-28(G) |
3,167 | 3,244 | ||||||
|
|
|||||||
16,910 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail 1.0% |
| |||||||
Arches Buyer, Inc.: |
||||||||
4.250%, 6-1-28(G) |
4,746 | 4,818 |
6.125%, 12-1-28(G) |
3,964 | 4,046 | ||||||
|
|
|||||||
8,864 | ||||||||
|
|
|||||||
Leisure Facilities 0.4% |
| |||||||
Legends Hospitality Holding Co. LLC, |
479 | 492 | ||||||
Live Nation Entertainment, Inc., |
2,724 | 2,772 | ||||||
|
|
|||||||
3,264 | ||||||||
|
|
|||||||
Leisure Products 0.7% |
| |||||||
MajorDrive Holdings IV LLC, 6.375%, 6-1-29(G) |
6,450 | 6,242 | ||||||
|
|
|||||||
Specialized Consumer Services 1.1% |
| |||||||
Nielsen Finance LLC and Nielsen Finance Co.: |
||||||||
5.625%, 10-1-28(G) |
2,343 | 2,434 | ||||||
5.875%, 10-1-30(G) |
1,926 | 2,030 | ||||||
StoneMor, Inc., 8.500%, 5-15-29(G) |
5,085 | 5,231 | ||||||
|
|
|||||||
9,695 | ||||||||
|
|
|||||||
Specialty Stores 5.9% |
| |||||||
Bed Bath & Beyond,
Inc., |
1,921 | 1,657 | ||||||
Magic MergerCo, Inc.: |
||||||||
5.250%, 5-1-28(G) |
2,801 | 2,893 | ||||||
7.875%, 5-1-29(G) |
6,793 | 7,068 | ||||||
Party City Holdings,
Inc., |
7,848 | 8,221 | ||||||
Party City Holdings, Inc. (5.000% Cash and 5.000% PIK), |
226 | 223 | ||||||
Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps), |
389 | 365 | ||||||
PetSmart, Inc. and PetSmart Finance Corp.: |
||||||||
4.750%, 2-15-28(G) |
3,959 | 4,073 | ||||||
7.750%, 2-15-29(G) |
868 | 948 | ||||||
Staples, Inc.: |
||||||||
7.500%, 4-15-26(G) |
20,079 | 20,390 | ||||||
10.750%, 4-15-27(G) |
8,805 | 8,585 | ||||||
|
|
|||||||
54,423 | ||||||||
|
|
|||||||
Total Consumer Discretionary - 14.2% |
|
129,053 | ||||||
|
||||||||
Consumer Staples |
| |||||||
Food Distributors 0.6% |
| |||||||
Performance Food Group,
Inc., |
5,216 | 5,235 | ||||||
|
|
|||||||
Packaged Foods & Meats 0.8% |
| |||||||
Pilgrims Pride
Corp., |
3,775 | 4,061 | ||||||
Post Holdings,
Inc., |
1,618 | 1,601 | ||||||
Simmons Foods, Inc., 4.625%, 3-1-29(G) |
1,590 | 1,604 | ||||||
|
|
|||||||
7,266 | ||||||||
|
|
|||||||
Total Consumer Staples - 1.4% |
|
12,501 | ||||||
|
||||||||
Energy |
| |||||||
Oil & Gas Drilling 0.3% |
| |||||||
KCA Deutag UK Finance plc: |
||||||||
9.875%, 12-1-25 |
1,654 | 1,806 | ||||||
Offshore Drilling Holding S.A., |
8,682 | 832 | ||||||
|
|
|||||||
2,638 | ||||||||
|
|
|||||||
Oil & Gas Equipment & Services 0.1% |
| |||||||
Nine Energy Service, Inc., |
1,917 | 923 | ||||||
|
|
Oil & Gas Exploration & Production 3.1% |
| |||||||
Antero Resources Corp., |
666 | 702 | ||||||
Ascent Resources Utica Holdings LLC and ARU Finance Corp.: |
||||||||
7.000%, 11-1-26(G) |
1,898 | 1,965 | ||||||
8.250%, 12-31-28(G) |
157 | 171 | ||||||
5.875%, 6-30-29(G) |
809 | 828 | ||||||
California Resources Corp., |
481 | 508 | ||||||
Chesapeake Escrow Issuer LLC: |
||||||||
5.500%, 2-1-26(G) |
1,603 | 1,677 | ||||||
5.875%, 2-1-29(G) |
1,202 | 1,286 | ||||||
Colgate Energy Partners III LLC, |
646 | 652 | ||||||
Crownrock L.P., |
5,764 | 5,906 | ||||||
CrownRock L.P. and CrownRock Finance, Inc., |
792 | 828 | ||||||
Endeavor Energy Resources L.P., |
2,349 | 2,450 | ||||||
Laredo Petroleum, Inc.: |
||||||||
9.500%, 1-15-25 |
4,315 | 4,477 | ||||||
10.125%, 1-15-28(I) |
2,876 | 3,113 | ||||||
Murphy Oil Corp., |
643 | 681 | ||||||
Range Resources Corp., |
158 | 178 | ||||||
Vine Energy Holdings LLC, |
3,165 | 3,420 | ||||||
|
|
|||||||
28,842 | ||||||||
|
|
|||||||
Oil & Gas Refining & Marketing 1.7% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): |
||||||||
6.125%, 10-1-24(I) |
1,081 | 1,064 | ||||||
9.000%, 4-1-25(G) |
317 | 343 | ||||||
Comstock Resources, Inc.: |
||||||||
6.750%, 3-1-29(G) |
3,716 | 4,018 | ||||||
5.875%, 1-15-30(G) |
1,937 | 2,017 | ||||||
CVR Energy, Inc., |
1,531 | 1,518 | ||||||
PBF Holding Co. LLC, |
7,266 | 6,895 | ||||||
|
|
|||||||
15,855 | ||||||||
|
|
|||||||
Oil & Gas Storage & Transportation 0.6% |
| |||||||
Crestwood Midstream Partners L.P.: |
||||||||
5.750%, 4-1-25 |
801 | 819 | ||||||
5.625%, 5-1-27(G) |
1,636 | 1,686 | ||||||
6.000%, 2-1-29(G) |
320 | 335 | ||||||
Hess Midstream Operations L.P., |
654 | 662 | ||||||
Rattler Midstream L.P., |
1,528 | 1,593 | ||||||
|
|
|||||||
5,095 | ||||||||
|
|
|||||||
Total Energy - 5.8% |
|
53,353 | ||||||
|
||||||||
Financials |
| |||||||
Insurance Brokers 2.9% |
| |||||||
Ardonagh Midco 2 plc, |
7,105 | 7,787 | ||||||
NFP Corp., |
18,324 | 18,735 | ||||||
|
|
|||||||
26,522 | ||||||||
|
|
|||||||
Investment Banking & Brokerage 0.4% |
| |||||||
INTL FCStone, Inc., |
3,835 | 4,127 | ||||||
|
|
Property & Casualty Insurance 0.5% |
| |||||||
Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond
Co-Issuer, Inc. (7.625% Cash or 8.375% PIK), |
3,896 | 4,142 | ||||||
|
|
|||||||
Specialized Finance 1.7% |
| |||||||
BCPE Cycle Merger Sub II, Inc., 10.625%, 7-15-27(G) |
8,340 | 8,875 | ||||||
Compass Group Diversified Holdings LLC, |
6,378 | 6,681 | ||||||
|
|
|||||||
15,556 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.7% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., 6.375%, 6-15-25(G) |
6,187 | 6,305 | ||||||
|
|
|||||||
Total Financials - 6.2% |
|
56,652 | ||||||
|
||||||||
Health Care |
| |||||||
Health Care Services 0.4% |
| |||||||
Heartland Dental LLC, |
509 | 528 | ||||||
ModivCare Escrow Issuer, Inc., |
3,472 | 3,603 | ||||||
|
|
|||||||
4,131 | ||||||||
|
|
|||||||
Health Care Supplies 0.8% |
| |||||||
Mozart Debt Merger Sub, Inc.: |
||||||||
3.875%, 4-1-29(G) |
6,644 | 6,644 | ||||||
5.250%, 10-1-29(G) |
884 | 884 | ||||||
|
|
|||||||
7,528 | ||||||||
|
|
|||||||
Pharmaceuticals 0.9% |
| |||||||
P&L Development LLC and PLD Finance Corp., |
4,958 | 5,158 | ||||||
Par Pharmaceutical, Inc., 7.500%, 4-1-27(G) |
2,936 | 2,995 | ||||||
|
|
|||||||
8,153 | ||||||||
|
|
|||||||
Total Health Care - 2.1% |
|
19,812 | ||||||
|
||||||||
Industrials |
| |||||||
Aerospace & Defense 3.0% |
| |||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): |
||||||||
7.500%, 3-15-27 |
2,709 | 2,841 | ||||||
5.500%, 11-15-27 |
7,030 | 7,232 | ||||||
4.625%, 1-15-29 |
1,597 | 1,597 | ||||||
Wolverine Escrow LLC: |
||||||||
8.500%, 11-15-24(G)(I) |
7,126 | 6,636 | ||||||
9.000%, 11-15-26(G) |
9,546 | 8,830 | ||||||
13.125%, 11-15-27(G) |
858 | 573 | ||||||
|
|
|||||||
27,709 | ||||||||
|
|
|||||||
Building Products 0.2% |
| |||||||
CP Atlas Buyer, Inc., 7.000%, 12-1-28(G) |
1,146 | 1,150 | ||||||
Park River Holdings, Inc., 5.625%, 2-1-29(G) |
1,046 | 1,015 | ||||||
|
|
|||||||
2,165 | ||||||||
|
|
|||||||
Diversified Support Services 1.1% |
| |||||||
Ahern Rentals, Inc., |
3,526 | 3,385 | ||||||
Deluxe Corp., |
2,083 | 2,180 | ||||||
Nesco Holdings II, Inc., |
4,712 | 4,893 | ||||||
|
|
|||||||
10,458 | ||||||||
|
|
Security & Alarm Services 0.3% |
| |||||||
Prime Security Services Borrower LLC and Prime Finance, Inc., 6.250%, 1-15-28(G) |
2,158 | 2,234 | ||||||
|
|
|||||||
Total Industrials - 4.6% |
|
42,566 | ||||||
|
||||||||
Information Technology |
| |||||||
Application Software 2.0% |
| |||||||
J2 Global, Inc., |
939 | 999 | ||||||
Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc.: |
||||||||
5.000%, 12-31-26(G) |
2,411 | 2,411 | ||||||
7.000%, 12-31-27(G) |
1,757 | 1,687 | ||||||
NCR Corp.: |
||||||||
5.750%, 9-1-27(G) |
772 | 815 | ||||||
5.000%, 10-1-28(G) |
2,287 | 2,340 | ||||||
5.125%, 4-15-29(G) |
8,677 | 8,959 | ||||||
6.125%, 9-1-29(G) |
983 | 1,068 | ||||||
5.250%, 10-1-30(G) |
782 | 821 | ||||||
|
|
|||||||
19,100 | ||||||||
|
|
|||||||
Data Processing & Outsourced Services 0.1% |
| |||||||
MoneyGram International, Inc., |
815 | 828 | ||||||
|
|
|||||||
Internet Services & Infrastructure 0.3% |
| |||||||
Consensus Cloud Solutions, Inc.: |
||||||||
6.000%, 10-15-26(G) |
830 | 855 | ||||||
6.500%, 10-15-28(G) |
1,992 | 2,072 | ||||||
|
|
|||||||
2,927 | ||||||||
|
|
|||||||
IT Consulting & Other Services 0.1% |
| |||||||
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.): |
||||||||
9.250%, 4-15-25(G) |
756 | 875 | ||||||
7.375%, 9-1-25(G) |
313 | 334 | ||||||
|
|
|||||||
1,209 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals |
| |||||||
Brightstar Escrow Corp., |
2,165 | 2,325 | ||||||
|
|
|||||||
Total Information Technology - 2.8% |
|
26,389 | ||||||
|
||||||||
Materials |
| |||||||
Commodity Chemicals 0.9% |
| |||||||
LSF9 Atlantis Holdings LLC and Victra Finance Corp., |
4,013 | 4,166 | ||||||
NOVA Chemicals Corp.: |
||||||||
5.250%, 6-1-27(G) |
1,655 | 1,741 | ||||||
4.250%, 5-15-29(G) |
1,591 | 1,593 | ||||||
|
|
|||||||
7,500 | ||||||||
|
|
|||||||
Metal & Glass Containers 0.3% |
| |||||||
ARD Finance S.A. (6.500% Cash or 7.250% PIK), |
2,463 | 2,620 | ||||||
|
|
|||||||
Total Materials - 1.2% |
|
10,120 | ||||||
|
||||||||
Real Estate |
| |||||||
Specialized REITs 0.0% |
| |||||||
Uniti Group L.P., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.), |
394 | 403 | ||||||
|
|
|||||||
Total Real Estate - 0.0% |
|
403 | ||||||
|
||||||||
TOTAL CORPORATE DEBT SECURITIES 58.0% |
|
$531,888 | ||||||
|
||||||||
(Cost: $525,230) |
|
LOANS(J) |
||||||||
|
||||||||
Communication Services |
| |||||||
Advertising 0.8% |
| |||||||
Advantage Sales & Marketing, Inc. (1-Month ICE LIBOR plus
525 bps), |
295 | 297 | ||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 525 bps), |
7,572 | 7,624 | ||||||
|
|
|||||||
7,921 | ||||||||
|
|
|||||||
Broadcasting 0.7% |
| |||||||
Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps), |
6,482 | 6,357 | ||||||
|
|
|||||||
Cable & Satellite 0.5% |
| |||||||
DIRECTV Financing LLC (1-Month ICE LIBOR plus 500 bps), |
4,574 | 4,583 | ||||||
|
|
|||||||
Integrated Telecommunication Services 1.7% |
| |||||||
West Corp. (3-Month ICE LIBOR plus 400 bps), |
14,537 | 14,345 | ||||||
Windstream Services LLC (ICE LIBOR plus 625 bps), |
1,272 | 1,279 | ||||||
|
|
|||||||
15,624 | ||||||||
|
|
|||||||
Wireless Telecommunication Service 0.8% |
| |||||||
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), |
7,786 | 7,535 | ||||||
|
|
|||||||
Total Communication Services - 4.5% |
|
42,020 | ||||||
|
||||||||
Consumer Discretionary |
| |||||||
Apparel Retail 0.5% |
| |||||||
Torrid LLC (1-Month ICE LIBOR plus 550 bps), |
5,003 | 5,034 | ||||||
|
|
|||||||
Casinos & Gaming 0.1% |
| |||||||
New Cotai LLC (14.000% Cash or 14.000% PIK), |
926 | 917 | ||||||
|
|
|||||||
Homefurnishing Retail 0.4% |
| |||||||
Ambience Merger Sub, Inc. (1-Month ICE LIBOR plus 425
bps), |
3,251 | 3,254 | ||||||
|
|
|||||||
Internet & Direct Marketing Retail 0.4% |
| |||||||
CNT Holdings I Corp. (ICE LIBOR plus 375 bps), |
1,930 | 1,934 | ||||||
CNT Holdings I Corp. (ICE LIBOR plus 675 bps), |
2,060 | 2,101 | ||||||
|
|
|||||||
4,035 | ||||||||
|
|
|||||||
Leisure Facilities 0.5% |
| |||||||
United PF Holdings LLC (ICE LIBOR plus 400 bps), |
4,210 | 4,099 |
United PF Holdings LLC (ICE LIBOR plus 850 bps), |
934 | 938 | ||||||
|
|
|||||||
5,037 | ||||||||
|
|
|||||||
Leisure Products 0.4% |
| |||||||
MajorDrive Holdings IV LLC (1-Month ICE LIBOR plus 400
bps), |
3,857 | 3,870 | ||||||
|
|
|||||||
Specialty Stores 2.9% |
| |||||||
Bass Pro Group LLC (ICE LIBOR plus 425 bps), |
672 | 676 | ||||||
Jo-Ann Stores, Inc.
(1-Month ICE LIBOR plus 475 bps), |
8,775 | 8,561 | ||||||
Michaels Cos., Inc. (The) (1-Month ICE LIBOR plus 425
bps), |
3,158 | 3,166 | ||||||
PetSmart, Inc. (ICE LIBOR plus 375 bps), |
7,210 | 7,237 | ||||||
Staples, Inc. (ICE LIBOR plus 500 bps), |
5,954 | 5,694 | ||||||
Woof Holdings LLC (1-Month ICE LIBOR plus 725 bps), |
544 | 552 | ||||||
Woof Holdings LLC (ICE LIBOR plus 375 bps), |
876 | 879 | ||||||
|
|
|||||||
26,765 | ||||||||
|
|
|||||||
Textiles 0.4% |
| |||||||
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), |
4,144 | 4,148 | ||||||
|
|
|||||||
Total Consumer Discretionary - 5.6% |
|
53,060 | ||||||
|
||||||||
Energy |
| |||||||
Coal & Consumable Fuels 0.2% |
| |||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps), |
1,283 | 1,283 | ||||||
Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK), |
2,429 | 504 | ||||||
|
|
|||||||
1,787 | ||||||||
|
|
|||||||
Oil & Gas Equipment & Services 0.1% |
| |||||||
Larchmont Resources LLC (9.000% Cash or 9.000% PIK), |
760 | 722 | ||||||
|
|
|||||||
Oil & Gas Exploration & Production 0.2% |
| |||||||
Ascent Resources Utica Holdings LLC, |
493 | 543 | ||||||
Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900
bps), |
740 | 814 | ||||||
|
|
|||||||
1,357 | ||||||||
|
|
|||||||
Oil & Gas Storage & Transportation 0.4% |
| |||||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), |
5,538 | 4,192 | ||||||
|
|
|||||||
Total Energy - 0.9% |
|
8,058 | ||||||
|
Financials |
| |||||||
Asset Management & Custody Banks 0.7% |
| |||||||
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), |
6,487 | 6,556 | ||||||
|
|
|||||||
Insurance Brokers 0.8% |
| |||||||
Navacord Corp., |
CAD260 | 206 | ||||||
Navacord Corp. (1-Month Canadian Bankers Acceptances plus 425
bps), |
1,162 | 928 | ||||||
Navacord Corp. (1-Month CDOR plus 425 bps), |
5,116 | 4,084 | ||||||
Navacord Corp. (1-Month CDOR plus 750 bps), |
2,586 | 2,047 | ||||||
|
|
|||||||
7,265 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.9% |
| |||||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), |
$8,694 | 8,694 | ||||||
|
|
|||||||
Specialized Finance 0.8% |
| |||||||
Gulf Finance LLC (ICE LIBOR plus 525 bps), |
5,956 | 5,741 | ||||||
Lealand Finance Co. B.V., 0.000%, 6-30-24(B)(M) |
23 | 14 | ||||||
Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps), |
72 | 43 | ||||||
Sunset Debt Merger Sub, Inc., |
1,660 | 1,650 | ||||||
|
|
|||||||
7,448 | ||||||||
|
|
|||||||
Total Financials - 3.2% |
|
29,963 | ||||||
|
||||||||
Health Care |
| |||||||
Health Care Facilities 0.4% |
| |||||||
Surgery Center Holdings, Inc. (1-Month ICE LIBOR plus 375
bps), |
3,229 | 3,238 | ||||||
|
|
|||||||
Health Care Services 1.7% |
| |||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), |
4,723 | 4,691 | ||||||
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), |
10,747 | 10,742 | ||||||
|
|
|||||||
15,433 | ||||||||
|
|
|||||||
Total Health Care - 2.1% |
|
18,671 | ||||||
|
||||||||
Industrials |
| |||||||
Building Products 0.5% |
| |||||||
CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps), |
4,429 | 4,424 | ||||||
|
|
|||||||
Construction & Engineering 0.2% |
| |||||||
WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575
bps), |
1,998 | 1,954 | ||||||
|
|
Industrial Conglomerates 1.7% |
| |||||||
PAE Holding Corp. (ICE LIBOR plus 450 bps), |
15,445 | 15,453 | ||||||
|
|
|||||||
Industrial Machinery 1.3% |
| |||||||
Form Technologies LLC (ICE LIBOR plus 475 bps), |
12,034 | 12,094 | ||||||
|
|
|||||||
Research & Consulting Services 0.2% |
| |||||||
Ankura Consulting Group LLC (ICE LIBOR plus 450 bps), |
1,571 | 1,577 | ||||||
|
|
|||||||
Total Industrials - 3.9% |
|
35,502 | ||||||
|
||||||||
Information Technology |
| |||||||
Application Software 0.5% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 550 bps), |
4,178 | 4,245 | ||||||
|
|
|||||||
Communications Equipment 1.3% |
| |||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps): |
||||||||
0.000%, 11-30-25(M) |
1,399 | 1,276 | ||||||
4.583%, 11-30-25 |
9,431 | 8,601 | ||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), |
2,920 | 1,900 | ||||||
|
|
|||||||
11,777 | ||||||||
|
|
|||||||
Data Processing & Outsourced Services 1.3% |
| |||||||
CommerceHub, Inc. (1-Month ICE LIBOR plus 475 bps), |
3,112 | 3,182 | ||||||
CommerceHub, Inc. (ICE LIBOR plus 400 bps), |
2,913 | 2,922 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), |
4,509 | 4,483 | ||||||
MoneyGram International, Inc., |
1,305 | 1,307 | ||||||
|
|
|||||||
11,894 | ||||||||
|
|
|||||||
Internet Services & Infrastructure 0.2% |
| |||||||
Informatica LLC, |
1,669 | 1,696 | ||||||
|
|
|||||||
IT Consulting & Other Services 1.1% |
| |||||||
Gainwell Acquisition Corp. (ICE LIBOR plus 400 bps), |
7,639 | 7,668 | ||||||
Ivanti Software, Inc. (1-Month ICE LIBOR plus 400 bps), |
744 | 747 | ||||||
Ivanti Software, Inc. (1-Month U.S. LIBOR plus 475 bps), |
1,861 | 1,868 | ||||||
|
|
|||||||
10,283 | ||||||||
|
|
|||||||
Total Information Technology - 4.4% |
|
39,895 | ||||||
|
||||||||
Materials |
| |||||||
Commodity Chemicals 0.3% |
| |||||||
ASP Unifrax Holdings, Inc. (1-Month ICE LIBOR plus 375
bps), |
3,246 | 3,212 | ||||||
|
|
Specialty Chemicals 0.1% |
| |||||||
NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps), |
786 | 785 | ||||||
NIC Acquisition Corp. (1-Month ICE LIBOR plus 775 bps), |
504 | 506 | ||||||
|
|
|||||||
1,291 | ||||||||
|
|
|||||||
Total Materials - 0.4% |
|
4,503 | ||||||
|
||||||||
TOTAL LOANS 25.0% |
|
$231,672 | ||||||
|
||||||||
(Cost: $233,818) |
| |||||||
SHORT-TERM SECURITIES |
Shares | |||||||
|
||||||||
Money Market Funds(P) - 12.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(O) |
21,944 | 21,944 | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.030% |
89,206 | 89,206 | ||||||
|
|
|||||||
111,150 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM SECURITIES 12.1% |
|
$111,150 | ||||||
|
||||||||
(Cost: $111,150) |
| |||||||
TOTAL INVESTMENT SECURITIES 103.4% |
|
$951,626 | ||||||
|
||||||||
(Cost: $970,032) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS (3.4)% |
|
(31,318) | ||||||
|
||||||||
NET ASSETS 100.0% |
|
$920,308 | ||||||
|
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities whose value was determined using significant unobservable inputs. |
(C) | Restricted securities. At September 30, 2021, the Fund owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||
ASG Warrant Corp. |
5-31-18 | 1 | $ | 72 | $ | | * | |||||||||
BIS Industries Ltd. |
12-22-17 | 1,605 | 151 | | * | |||||||||||
Foresight Energy L.P. |
6-30-20 | 186 | 3,639 | 3,922 | ||||||||||||
Larchmont Resources LLC |
12-8-16 | 1 | 340 | 1 | ||||||||||||
New Cotai Participation Corp., Class B |
9-29-20 | 3,073 | 28,520 | 6,602 | ||||||||||||
Sabine Oil & Gas Corp. |
12-7-16 | | * | 11 | 1 | |||||||||||
Studio City International Holdings Ltd. ADR |
8-5-20 | 141 | 2,200 | 1,155 | ||||||||||||
Targa Resources Corp., 9.500% |
10-24-17 | 8 | 8,416 | 8,122 | ||||||||||||
Principal | ||||||||||||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps), 9.500%, 06-29-27 |
12-31-20 | $1,283 | 1,283 | 1,283 | ||||||||||||
New Cotai LLC (14.000% Cash or 14.000% PIK), 14.000%, 09-10-25 |
9-10-20 to 3-16-21 | 926 | 926 | 917 | ||||||||||||
|
|
|||||||||||||||
$ | 45,558 | $ | 22,003 | |||||||||||||
|
|
The total value of these securities represented 2.4% of net assets at September 30, 2021. |
(D) | Listed on an exchange outside the United States. |
(E) | Deemed to be an affiliate due to the Fund owning at least 5% of the voting securities. |
(F) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(G) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021 the total value of these securities amounted to $479,108 or 52.1% of net assets. |
(H) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(I) | All or a portion of securities with an aggregate value of $21,422 are on loan. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
(K) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(L) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2021. |
(M) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(N) | Principal amounts are denominated in the indicated foreign currency, where applicable (CAD - Canadian Dollar). |
(O) | Investment made with cash collateral received from securities on loan. |
(P) | Rate shown is the annualized 7-day yield at September 30, 2021. |
Each Portfolios investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.
An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:
Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.
Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.
The following forward foreign currency contracts were outstanding at September 30, 2021:
Currency to be Delivered |
Currency to be Received |
Settlement Date |
Counterparty | Unrealized Appreciation |
Unrealized Depreciation | |||||||||
Canadian Dollar |
9,213 | U.S. Dollar | 7,188 | 11-19-21 | Morgan Stanley International | $ | $85 |
The following futures contracts were outstanding at September 30, 2021 (contracts unrounded):
Description | Type | Number of Contracts |
Expiration Date | Notional Amount |
Value | Unrealized Appreciation |
||||||||||||||||||
U.S. Treasury Long Bond |
Short | 6 | 12-21-21 | 600 | $(956) | $26 | ||||||||||||||||||
U.S. Treasury Ultra Long Bond |
Short | 3 | 12-21-21 | 300 | (573) | 21 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$(1,529) | $47 | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolios investments by the fair value hierarchy levels as of September 30, 2021:
Level 1 | Level 2 | Level 3 | ||||||||||
Assets |
||||||||||||
Investments in Securities |
||||||||||||
Common Stocks |
||||||||||||
Communication Services |
$ | 9,050 | $ | | $ | | ||||||
Consumer Discretionary |
11,478 | | 7,118 | |||||||||
Energy |
| 2,264 | 3,922 | |||||||||
Industrials |
| | | |||||||||
|
|
|||||||||||
Total Common Stocks |
$ | 20,528 | $ | 2,264 | $ | 11,040 |
Investment Funds |
34,750 | | | |||||||||
Preferred Stocks |
| 8,241 | | |||||||||
Warrants |
93 | | | |||||||||
Corporate Debt Securities |
| 531,888 | | |||||||||
Loans |
| 200,224 | 31,448 | |||||||||
Short-Term Securities |
111,150 | | | |||||||||
|
|
|||||||||||
Total |
$ | 166,521 | $ | 742,617 | $ | 42,488 | ||||||
|
|
|||||||||||
Futures Contracts |
$ | 47 | $ | | $ | | ||||||
|
|
|||||||||||
Liabilities |
||||||||||||
Forward Foreign Currency Contracts |
$ | | $ | 85 | $ | | ||||||
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks |
Loans | |||||||
Beginning Balance 1-1-21 |
$14,325 | $17,036 | ||||||
Net realized gain (loss) |
(753) | 19 | ||||||
Net unrealized appreciation (depreciation) |
(2,429) | 3,017 | ||||||
Purchases |
- | 33,626 | ||||||
Sales |
- | (22,444) | ||||||
Amortization/Accretion of premium/discount |
- | 34 | ||||||
Transfers into Level 3 during the period |
1,039 | 3,120 | ||||||
Transfers out of Level 3 during the period |
(1,142) | (2,960) | ||||||
|
|
|||||||
Ending Balance 9-30-21 |
$11,040 | $31,448 | ||||||
|
|
|||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9-30-21 | $(3,182 | ) | $857 | |||||
|
|
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
Information about Level 3 fair value measurements:
Fair Value at 9-30-21 |
Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | |||||||
Assets |
||||||||||
Common Stocks |
$517 | Market approach | Revenue multiple | 0.67x | ||||||
Adjusted EBITDA multiple | 4.62x | |||||||||
3,922 | Market approach | Illiquidity discount | 30.00% | |||||||
6,601 | Market approach | Financials | N/A | |||||||
Premium | 20.00% | |||||||||
Loans |
31,448 | Third-party vendor pricing service | Broker quotes | N/A |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment in Kind
REIT = Real Estate Investment Trust
For Federal income tax purposes, cost of investments owned at September 30, 2021 and the related unrealized appreciation (depreciation) were as follows:
Cost |
$970,032 | |||
|
|
|||
Gross unrealized appreciation |
27,362 | |||
Gross unrealized depreciation |
(45,768) | |||
|
|
|||
Net unrealized depreciation |
$(18,406) |