AIG Senior Floating Rate Fund
PORTFOLIO OF INVESTMENTS—March 31, 2020 — (unaudited)
Industry Description | Ratings (1) | Principal | ||||||||||||||||||||||||||||
Type | Moody’s | S&P | Interest Rate | Reference Rate | Maturity Date (2) | Amount**/ Shares | Value (Note 1) | |||||||||||||||||||||||
LOANS (3) (4)-88.6% | ||||||||||||||||||||||||||||||
Aerospace & Defense-1.9% | ||||||||||||||||||||||||||||||
AI Convoy Luxembourg SARL | BTL-B | B1 | B | 5.34 | 3 ML+3.50% | 01/17/2027 | 245,000 | $ | 226,625 | |||||||||||||||||||||
AI Convoy Luxembourg SARL | BTL-B | B1 | B | TBD | 01/17/2027 | EUR 205,000 | 197,041 | |||||||||||||||||||||||
Dynasty Acquisition Co., Inc. | BTL-B1 | B2 | B | 4.95 | 3 ML+3.50% | 04/06/2026 | 649,125 | 497,879 | ||||||||||||||||||||||
Dynasty Acquisition Co., Inc. | BTL-B2 | B2 | B | 4.95 | 3 ML+3.50% | 04/06/2026 | 348,992 | 267,677 | ||||||||||||||||||||||
Maxar Technologies, Ltd. | BTL-B | B2 | B | 3.74 | 3 ML+2.75% | 10/04/2024 | 496,193 | 419,283 | ||||||||||||||||||||||
TransDigm Group, Inc. | BTL-E | Ba3 | B+ | 3.24 | 1 ML+2.25% | 05/30/2025 | 445,920 | 411,361 | ||||||||||||||||||||||
TransDigm Group, Inc. | BTL-F | Ba3 | B+ | 3.24 | 1 ML+2.25% | 12/09/2025 | 1,115,490 | 1,029,039 | ||||||||||||||||||||||
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3,048,905 | ||||||||||||||||||||||||||||||
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Auto Components-0.9% | ||||||||||||||||||||||||||||||
Adient US LLC | BTL-B | Ba3 | BB- | 5.45-5.74 | 3 ML+4.00% | 05/06/2024 | 570,687 | 495,785 | ||||||||||||||||||||||
Panther BF Aggregator 2 LP(10) | BTL-B | Ba3 | B | 3.75 | 1 ME+3.75% | 04/30/2026 | EUR 500,000 | 476,453 | ||||||||||||||||||||||
Panther BF Aggregator 2 LP | BTL-B | Ba3 | B | 4.44 | 1 ML+3.50% | 04/30/2026 | 497,500 | 452,725 | ||||||||||||||||||||||
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1,424,963 | ||||||||||||||||||||||||||||||
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Building Products-0.7% |
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Advanced Drainage Systems, Inc. | BTL-B | Ba1 | BB | 3.81 | 1 ML+2.25% | 07/31/2026 | 185,214 | 170,397 | ||||||||||||||||||||||
NCI Building Systems, Inc. | BTL-B | B2 | B+ | 4.56 | 1 ML+3.75% | 04/12/2025 | 253,906 | 218,359 | ||||||||||||||||||||||
TAMKO Building Products, Inc. | BTL-B | B2 | BB- | 4.24-4.25 | 1 ML+3.25% | 06/01/2026 | 383,075 | 356,260 | ||||||||||||||||||||||
Wilsonart LLC | BTL-D | B2 | B+ | 4.71 | 3 ML+3.25% | 12/19/2023 | 545,651 | 411,057 | ||||||||||||||||||||||
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1,156,073 | ||||||||||||||||||||||||||||||
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Capital Markets-2.1% | ||||||||||||||||||||||||||||||
Aretec Group, Inc. | 1st Lien | B2 | B | 5.24 | 1 ML+4.25% | 10/01/2025 | 611,505 | 403,593 | ||||||||||||||||||||||
Deerfield Dakota Holding LLC | BTL-B | B2 | B- | TBD | 04/09/2027 | EUR 1,000,000 | 871,291 | |||||||||||||||||||||||
Deerfield Dakota Holding LLC | BTL-B | B2 | B- | TBD | 04/09/2027 | 1,000,000 | 840,000 | |||||||||||||||||||||||
NFP Corp. | BTL | B2 | B | 4.24 | 1 ML+3.25% | 02/15/2027 | 673,359 | 579,089 | ||||||||||||||||||||||
Russell Investments U.S. Institutional Holdco, Inc. | BTL-B | Ba2 | BB- | 3.82 | 6 ML+2.75% | 06/01/2023 | 359,335 | 326,995 | ||||||||||||||||||||||
Victory Capital Management, Inc. | BTL-B | Ba3 | BB- | 4.02 | 1 ML+2.50% | 07/01/2026 | 289,390 | 251,046 | ||||||||||||||||||||||
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3,272,014 | ||||||||||||||||||||||||||||||
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Chemicals-4.3% | ||||||||||||||||||||||||||||||
Allnex (Lux) & Cy SCA | BTL-B2 | B2 | B | 4.86 | 3 ML+3.25% | 09/13/2023 | 256,884 | 174,681 | ||||||||||||||||||||||
Allnex USA, Inc. | BTL-B3 | B2 | B | 4.86 | 3 ML+3.25% | 09/13/2023 | 193,542 | 131,608 | ||||||||||||||||||||||
ASP Unifrax Holdings, Inc. | BTL-B1 | B3 | B- | 4.82 | 6 ML+3.75% | 12/12/2025 | 738,447 | 583,373 | ||||||||||||||||||||||
ASP Unifrax Holdings, Inc. | BTL-B2 | Caa2 | CCC+ | 9.27 | 3 ML+8.50% | 12/14/2026 | 375,000 | 243,750 | ||||||||||||||||||||||
Diamond (BC) BV(10) | BTL | B1 | B- | 3.25 | 3 ME+3.25% | 09/06/2024 | EUR 205,275 | 169,798 | ||||||||||||||||||||||
Diamond (BC) BV | BTL | B1 | B- | 4.78 | 3 ML+3.00% | 09/06/2024 | 894,412 | 670,809 | ||||||||||||||||||||||
CTC AcquiCo GmbH(10) | BTL-B1 | B2 | B | 2.50 | 3 ME+2.50% | 03/07/2025 | EUR 381,271 | 351,420 | ||||||||||||||||||||||
H.B. Fuller Company | BTL-B | Ba2 | BB+ | 2.77 | 1 ML+2.00% | 10/20/2024 | 529,612 | 466,059 | ||||||||||||||||||||||
Hexion, Inc. | BTL | Ba3 | B+ | 5.41 | 3 ML+3.50% | 07/01/2026 | 391,664 | 328,998 | ||||||||||||||||||||||
Messer Industries GmbH | BTL-B1 | B1 | BB- | 3.95 | 3 ML+2.50% | 03/01/2026 | 408,484 | 362,530 | ||||||||||||||||||||||
Messer Industries GmbH(10) | BTL-B2 | B1 | BB- | 2.50 | 3 ME+2.50% | 03/01/2026 | EUR 220,000 | 214,937 | ||||||||||||||||||||||
Minerals Technologies, Inc. | BTL-B1 | Ba2 | BB+ | 2.87-3.77 | 1 ML+2.25% | 02/14/2024 | 772,695 | 695,426 | ||||||||||||||||||||||
Minerals Technologies, Inc. | BTL-B1 | Ba2 | BB+ | 3.46 | 3 ML+2.25% | 02/14/2024 | 94,093 | 84,684 | ||||||||||||||||||||||
SCIH Salt Holdings, Inc. | BTL-B | B3 | B | TBD | 03/16/2027 | 400,000 | 347,000 | |||||||||||||||||||||||
Starfruit Finco BV(10) | BTL-B | B1 | B+ | 3.25 | 3 ME+3.25% | 10/01/2025 | EUR 165,000 | 164,387 | ||||||||||||||||||||||
Starfruit Finco BV | BTL-B | B1 | B+ | 3.86 | 1 ML+3.00% | 10/01/2025 | 400,332 | 360,298 | ||||||||||||||||||||||
Tronox Finance LLC | BTL-B | Ba3 | BB- | 3.74 | 1 ML+2.75% | 09/23/2024 | 473,971 | 417,095 | ||||||||||||||||||||||
Tronox Finance LLC | BTL-B | Ba3 | BB- | 4.20 | 3 ML+2.75% | 09/23/2024 | 334,438 | 294,305 | ||||||||||||||||||||||
U.S. Coating Acquisition, Inc. | BTL-B2 | Ba1 | BBB- | 3.20 | 3 ML+1.75% | 06/01/2024 | 394,010 | 365,772 | ||||||||||||||||||||||
WR Grace & Co. | BTL-B1 | Ba1 | BBB- | 3.20 | 3 ML+1.75% | 04/03/2025 | 183,262 | 156,383 | ||||||||||||||||||||||
WR Grace & Co. | BTL-B2 | Ba1 | BBB- | 3.20 | 3 ML+1.75% | 04/03/2025 | 314,163 | 268,086 | ||||||||||||||||||||||
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6,851,399 | ||||||||||||||||||||||||||||||
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Commercial Services &Supplies-5.2% | ||||||||||||||||||||||||||||||
ADS Waste Holdings, Inc. | BTL-B3 | Ba3 | BB+ | 3.00 | 1 WL+2.25% | 11/10/2023 | 960,767 | 951,159 | ||||||||||||||||||||||
Amentum Government Services Holdings LLC | BTL-B | Ba3 | B | 4.99 | 1 ML+4.00% | 02/01/2027 | 535,000 | 497,550 | ||||||||||||||||||||||
APX Group, Inc. | BTL | B2 | B- | 6.70 | 2 ML+5.00% | 12/31/2025 | 639,270 | 543,379 | ||||||||||||||||||||||
Brickman Group, Ltd. | BTL-B | B1 | BB- | 3.13-3.50 | 1 ML+2.50% | 08/15/2025 | 1,231,572 | 1,163,835 | ||||||||||||||||||||||
Clean Harbors, Inc. | BTL-B | Ba1 | BBB- | 2.74 | 1 ML+1.75% | 06/28/2024 | 537,773 | 486,684 | ||||||||||||||||||||||
Garda World Security Corp. | BTL-B | B1 | B | 6.39 | 3 ML+4.75% | 10/30/2026 | 281,697 | 264,795 | ||||||||||||||||||||||
Grizzly Acquisition, Inc. | BTL-B | Ba3 | BB+ | 5.16 | 3 ML+3.25% | 10/01/2025 | 596,804 | 453,571 | ||||||||||||||||||||||
KAR Auction Services, Inc. | BTL-B6 | Ba2 | B+ | 3.19 | 1 ML+2.25% | 09/19/2026 | 497,500 | 457,700 | ||||||||||||||||||||||
Pitney Bowes, Inc. | BTL-B | Ba1 | BBB- | 6.49 | 1 ML+5.50% | 01/17/2025 | 500,000 | 420,000 | ||||||||||||||||||||||
PSAV Holdings LLC | 1st Lien | Caa2 | B- | 4.70-4.95 | 3 ML+3.25% | 03/03/2025 | 406,264 | 243,758 | ||||||||||||||||||||||
PSAV Holdings LLC | 1st Lien | Caa2 | B- | 4.83 | 1 ML+3.25% | 03/03/2025 | 386,752 | 232,051 | ||||||||||||||||||||||
PSAV Holdings LLC | 2nd Lien | Ca | CCC | 9.01 | 3 ML+7.25% | 09/01/2025 | 870,000 | 478,500 | ||||||||||||||||||||||
Techem Verwaltungsgesellschaft 675 mbH | BTL-B4 | B1 | B+ | TBD | 07/15/2025 | EUR 667,888 | 686,585 | |||||||||||||||||||||||
US Ecology, Inc. | BTL-B | Ba3 | BB+ | 3.49 | 1 ML+2.50% | 11/01/2026 | 324,188 | 307,978 | ||||||||||||||||||||||
Verisure Holding AB(10) | BTL-B | B1 | B | 3.50 | 3 ME+3.50% | 10/21/2022 | EUR 1,000,000 | 1,038,931 | ||||||||||||||||||||||
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8,226,476 | ||||||||||||||||||||||||||||||
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Construction &Engineering-0.9% | ||||||||||||||||||||||||||||||
Brand Energy & Infrastructure Services, Inc. | 1st Lien | B3 | B- | 5.70-6.12 | 3 ML+4.25% | 06/21/2024 | 1,000,828 | 800,663 | ||||||||||||||||||||||
Hamilton Holdco, LLC | BTL-B | Ba1 | BB+ | 3.46 | 3 ML+2.00% | 01/02/2027 | 718,469 | 668,176 | ||||||||||||||||||||||
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1,468,839 | ||||||||||||||||||||||||||||||
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Construction Materials-1.0% | ||||||||||||||||||||||||||||||
Quikrete Holdings, Inc. | 1st Lien | B1 | BB- | 3.49 | 1 ML+2.50% | 02/01/2027 | 1,001,337 | 856,143 | ||||||||||||||||||||||
Summit Materials LLC | BTL-B | Ba2 | BBB- | 2.99 | 1 ML+2.00% | 11/21/2024 | 889,525 | 771,663 | ||||||||||||||||||||||
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1,627,806 | ||||||||||||||||||||||||||||||
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Consumer Finance-0.4% | ||||||||||||||||||||||||||||||
GreenSky Holdings, Inc. | BTL-B | B1 | B+ | 4.25 | 1 ML+3.25% | 03/31/2025 | 744,946 | 595,957 | ||||||||||||||||||||||
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Containers & Packaging-3.2% | ||||||||||||||||||||||||||||||
Berlin Packaging LLC | BTL-B | B3 | B- | 4.46 | 3 ML+3.00% | 11/07/2025 | 6,976 | 6,002 | ||||||||||||||||||||||
Berlin Packaging LLC | BTL-B | B3 | B- | 4.59 | 1 ML+3.00% | 11/07/2025 | 513,183 | 441,594 | ||||||||||||||||||||||
Berry Plastics Holding Corp. | BTL-W | Ba2 | BBB- | 2.86 | 3 ML+2.00% | 10/01/2022 | 1,078,913 | 1,026,046 | ||||||||||||||||||||||
Berry Plastics Holding Corp. | BTL-Y | Ba2 | BBB- | 2.86 | 1 ML+2.00% | 07/01/2026 | 1,021,278 | 952,852 | ||||||||||||||||||||||
Flex Acquisition Co., Inc. | 1st Lien | B2 | B | 4.58 | 1 ML+3.00% | 12/29/2023 | 23,034 | 20,154 | ||||||||||||||||||||||
Flex Acquisition Co., Inc. | 1st Lien | B2 | B | 4.91 | 3 ML+3.00% | 12/29/2023 | 613,660 | 536,953 | ||||||||||||||||||||||
Flex Acquisition Co., Inc. | BTL | B2 | B | 5.16 | 3 ML+3.25% | 06/29/2025 | 489,259 | 429,732 | ||||||||||||||||||||||
Pregis TopCo Corporation | BTL | B2 | B | 4.99 | 1 ML+4.00% | 07/31/2026 | 399,000 | 345,135 | ||||||||||||||||||||||
ProAmpac PG Borrower LLC | 1st Lien | B3 | B- | 4.50 | 1 ML+3.50% | 11/20/2023 | 146,796 | 122,086 | ||||||||||||||||||||||
ProAmpac PG Borrower LLC | 1st Lien | B3 | B- | 5.19-5.29 | 3 ML+3.50% | 11/20/2023 | 251,780 | 209,397 | ||||||||||||||||||||||
ProAmpac PG Borrower LLC | 2nd Lien | Caa2 | CCC | 10.19 | 3 ML+8.50% | 11/18/2024 | 385,000 | 277,200 | ||||||||||||||||||||||
Reynolds Group Holdings, Inc. | BTL | B1 | B+ | 3.74 | 1 ML+2.75% | 02/05/2023 | 657,520 | 620,535 | ||||||||||||||||||||||
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4,987,686 | ||||||||||||||||||||||||||||||
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Diversified ConsumerServices-0.7% | ||||||||||||||||||||||||||||||
Belron Finance US LLC | BTL-B | Ba3 | BB | 4.27 | 3 ML+2.50% | 10/30/2026 | 149,625 | 140,647 | ||||||||||||||||||||||
Belron Finance US LLC | BTL-B | Ba3 | BB | 3.96 | 3 ML+2.25% | 11/13/2025 | 592,500 | 556,950 | ||||||||||||||||||||||
Weight Watchers International, Inc. | BTL-B | Ba2 | BB | 6.72 | 3 ML+4.75% | 11/29/2024 | 448,298 | 425,883 | ||||||||||||||||||||||
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1,123,480 | ||||||||||||||||||||||||||||||
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Diversified FinancialServices-2.9% | ||||||||||||||||||||||||||||||
EVO Payments International LLC | 1st Lien | B2 | B | 4.20 | 1 ML+3.25% | 12/22/2023 | 997,875 | 843,205 | ||||||||||||||||||||||
Financial & Risk US Holdings, Inc.(10) | BTL-B | B2 | B | 3.25 | 3 ME+3.25% | 10/01/2025 | EUR 484,823 | 507,784 | ||||||||||||||||||||||
Financial & Risk US Holdings, Inc. | BTL-B | B2 | B | 4.24 | 1 ML+3.25% | 10/01/2025 | 562,875 | 538,484 | ||||||||||||||||||||||
Millennium Trust Company, LLC | BTL-B | B2 | B | 5.99 | 1 ML+5.00% | 03/27/2026 | 420,750 | 345,015 | ||||||||||||||||||||||
MPH Acquisition Holdings LLC | BTL-B | B1 | B+ | 4.20 | 3 ML+2.75% | 06/07/2023 | 811,068 | 725,906 | ||||||||||||||||||||||
NAB Holdings LLC | BTL | B2 | B | 4.45 | 3 ML+3.00% | 07/01/2024 | 248,154 | 193,560 | ||||||||||||||||||||||
Nets Holding AS(10) | BTL-B | B1 | B | 3.25 | 3 ME+3.25% | 02/06/2025 | EUR 798,159 | 785,108 | ||||||||||||||||||||||
Trans Union LLC | BTL-B5 | Ba2 | BB+ | 2.74 | 1 ML+1.75% | 11/16/2026 | 707,844 | 675,401 | ||||||||||||||||||||||
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4,614,463 | ||||||||||||||||||||||||||||||
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Diversified Telecommunication Services-2.4% | ||||||||||||||||||||||||||||||
Altice France SA | BTL-B12 | B2 | B | 4.39 | 1 ML+3.69% | 01/31/2026 | 997,821 | 927,974 | ||||||||||||||||||||||
Centurylink, Inc. | BTL-B | Ba3 | BBB- | 3.24 | 1 ML+2.25% | 03/15/2027 | 394,012 | 358,798 | ||||||||||||||||||||||
MTN Infrastructure TopCo, Inc. | BTL-B | B2 | B | 4.00 | 1 ML+3.00% | 11/15/2024 | 1,000,161 | 885,143 | ||||||||||||||||||||||
Telenet Financing USD LLC | BTL-AR | Ba3 | BB- | 2.70 | 1 ML+2.00% | 04/30/2028 | 920,000 | 837,200 | ||||||||||||||||||||||
Zacapa SARL | BTL | B2 | B- | 5.57 | 3 ML+4.50% | 07/02/2025 | 526,975 | 476,912 | ||||||||||||||||||||||
Zayo Group Holdings, Inc.(10) | BTL | B1 | B | 3.25 | 3 ME+3.25% | 03/09/2027 | EUR 305,000 | 299,382 | ||||||||||||||||||||||
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3,785,409 | ||||||||||||||||||||||||||||||
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Electric Utilities-0.2% | ||||||||||||||||||||||||||||||
Pike Corp. | BTL-B | NR | B | 4.24 | 1 ML+3.25% | 07/24/2026 | 420,078 | 386,472 | ||||||||||||||||||||||
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Electronic Equipment, Instruments &Components-0.4% | ||||||||||||||||||||||||||||||
Avantor, Inc. | 1st Lien | Ba2 | B+ | 3.25 | 1 ML+2.25% | 11/21/2024 | 172,935 | 162,559 | ||||||||||||||||||||||
Lifescan Global Corporation | BTL-B | B2 | B | 8.06 | 6 ML+6.00% | 10/01/2024 | 684,375 | 537,234 | ||||||||||||||||||||||
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699,793 | ||||||||||||||||||||||||||||||
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Energy Equipment & Services-0.2% | ||||||||||||||||||||||||||||||
Philadelphia Energy Solutions | BTL-C | NR | NR | 6.99 | 3 ML+0.50% | 12/31/2022 | 808,137 | 242,441 | ||||||||||||||||||||||
Seadrill Partners Finco LLC | BTL-B | Caa3 | CCC | 7.45 | 3 ML+6.00% | �� | 02/21/2021 | 874,936 | 139,990 | |||||||||||||||||||||
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382,431 | ||||||||||||||||||||||||||||||
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Entertainment-1.6% | ||||||||||||||||||||||||||||||
Banijay Entertainment S.A.S. | BTL | B1 | B | TBD | 03/04/2025 | EUR 170,000 | 161,713 | |||||||||||||||||||||||
Crown Finance US, Inc.(10) | BTL | B3 | B | 2.38 | 6 ME+2.38% | 02/28/2025 | EUR 132,409 | 94,922 | ||||||||||||||||||||||
Crown Finance US, Inc. | BTL | B3 | B | 3.32 | 6 ML+2.25% | 02/28/2025 | 586,476 | 380,037 | ||||||||||||||||||||||
Delta 2 (Lux) SARL | BTL-B | B2 | B+ | 3.50 | 1 ML+2.50% | 02/01/2024 | 850,951 | 752,028 | ||||||||||||||||||||||
NAI Entertainment Holdings LLC | BTL-B | B3 | B+ | 3.50 | 1 ML+2.50% | 05/08/2025 | 416,800 | 300,096 | ||||||||||||||||||||||
Nascar Holdings, Inc. | BTL-B | Ba2 | BB | 3.67 | 1 ML+2.75% | 10/19/2026 | 245,340 | 212,628 | ||||||||||||||||||||||
UFC Holdings LLC | BTL | B2 | B | 4.25 | 1 ML+3.25% | 04/29/2026 | 455,867 | 396,605 | ||||||||||||||||||||||
William Morris Endeavor Entertainment LLC | BTL-B | B2 | B | 3.74-4.37 | 1 ML+2.75% | 05/18/2025 | 297,182 | 233,783 | ||||||||||||||||||||||
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2,531,812 | ||||||||||||||||||||||||||||||
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Food & Staples Retailing-0.8% | ||||||||||||||||||||||||||||||
U.S. Foods, Inc. | BTL-B | Ba3 | BB | 2.74 | 1 ML+1.75% | 06/27/2023 | 772,899 | 716,220 | ||||||||||||||||||||||
U.S. Foods, Inc. | BTL-B | Ba3 | BB | 3.07 | 6 ML+2.00% | 09/13/2026 | 537,300 | 492,525 | ||||||||||||||||||||||
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1,208,745 | ||||||||||||||||||||||||||||||
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Food Products-2.4% | ||||||||||||||||||||||||||||||
Atkins Nutritionals, Inc. | BTL-B | B1 | B+ | 4.55 | 1 ML+3.75% | 07/07/2024 | 460,507 | 422,515 | ||||||||||||||||||||||
Bellring Brands LLC | BTL-B | B2 | B+ | 6.00 | 1 ML+5.00% | 10/21/2024 | 162,937 | 152,347 | ||||||||||||||||||||||
B&G Foods, Inc. | BTL-B | Ba2 | BB | 3.49 | 1 ML+2.50% | 10/10/2026 | 353,225 | 330,265 | ||||||||||||||||||||||
CHG PPC Parent LLC | BTL-B | B2 | B | 3.74 | 1 ML+2.75% | 03/31/2025 | 422,475 | 376,003 | ||||||||||||||||||||||
Froneri International PLC(10) | BTL | B1 | B+ | 2.63 | 6 ME+2.63% | 01/29/2027 | EUR 700,000 | 716,701 | ||||||||||||||||||||||
Froneri International PLC | BTL | B1 | B+ | 3.24 | 1 ML+2.25% | 01/29/2027 | 650,000 | 615,875 | ||||||||||||||||||||||
Froneri International PLC(10) | 2nd Lien | B3 | B- | 5.75 | 6 ME+5.75% | 01/31/2028 | EUR 100,000 | 100,731 | ||||||||||||||||||||||
Froneri International PLC | 2nd Lien | B3 | B- | 6.74 | 6 ML+5.75% | 01/31/2028 | 100,000 | 90,000 | ||||||||||||||||||||||
Hostess Brands LLC | BTL | B1 | BB- | 3.24 | 1 ML+2.25% | 08/03/2025 | 284,044 | 262,741 | ||||||||||||||||||||||
Hostess Brands LLC | BTL | B1 | BB- | 4.01-4.03 | 3 ML+2.25% | 08/03/2025 | 767,998 | 710,398 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
3,777,576 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Gas Utilities-0.3% | ||||||||||||||||||||||||||||||
UGI Energy Services LLC | BTL-B | Ba3 | NR | 4.74 | 1 ML+3.75% | 08/13/2026 | 497,723 | 420,576 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Health Care Equipment & Supplies-0.2% | ||||||||||||||||||||||||||||||
CPI Holdco LLC | BTL | B2 | B | 5.70 | 3 ML+4.25% | 11/04/2026 | 280,000 | 240,800 | ||||||||||||||||||||||
|
|
Health Care Providers & Services-5.7% |
| |||||||||||||||||||||||||||||
Air Medical Group Holdings, Inc. | BTL-B1 | B1 | B | 4.93 | 2 ML+3.25% | 04/28/2022 | 243,598 | 221,268 | ||||||||||||||||||||||
Catalent Pharma Solutions, Inc. | BTL-B2 | Ba2 | BB | 3.25 | 1 ML+2.25% | 05/18/2026 | 579,150 | 558,880 | ||||||||||||||||||||||
Change Healthcare Holdings, Inc. | BTL-B | B1 | B+ | 3.50 | 1 ML+2.50% | 03/01/2024 | 928,608 | 841,938 | ||||||||||||||||||||||
Dental Corp. Perfect Smile ULC | 1st Lien | B2 | B- | 4.75 | 1 ML+3.75% | 06/06/2025 | 600,341 | 463,763 | ||||||||||||||||||||||
DuPage Medical Group, Ltd. | 1st Lien | B1 | B | 3.74 | 1 ML+2.75% | 08/15/2024 | 408,279 | 326,624 | ||||||||||||||||||||||
DuPage Medical Group, Ltd. | 2nd Lien | Caa1 | CCC+ | 7.99 | 1 ML+7.00% | 08/15/2025 | 623,968 | 527,253 | ||||||||||||||||||||||
Envision Healthcare Corp. | 1st Lien | B2 | B | 4.74 | 1 ML+3.75% | 10/10/2025 | 355,484 | 179,519 | ||||||||||||||||||||||
Eyecare Partners LLC | BTL | B2 | B | 4.82 | 3 ML+3.75% | 02/05/2027 | 587,838 | 474,189 | ||||||||||||||||||||||
Eyecare Partners LLC(6) | Delayed Draw | B2 | B | 0.50 | 02/18/2027 | 137,162 | 110,644 | |||||||||||||||||||||||
Gentiva Health Services, Inc. | BTL-B | B1 | B | 4.25 | 1 ML+3.25% | 07/02/2025 | 995,821 | 931,092 | ||||||||||||||||||||||
Healogics, Inc. | 1st Lien | Caa2 | CCC- | 5.57 | 3 ML+4.25% | 07/01/2021 | 955,113 | 687,682 | ||||||||||||||||||||||
IQVIA, Inc.(10) | BTL-B | Ba1 | BBB- | 2.00 | 3 ME+2.00% | 06/11/2025 | EUR 1,164,262 | 1,218,792 | ||||||||||||||||||||||
LGC Group Holdings, Ltd. | BTL-B | B3 | NR | TBD | 01/22/2027 | EUR 595,000 | 555,917 | |||||||||||||||||||||||
MED ParentCo LLC | 1st Lien | B2 | B | 5.24 | 1 ML+4.25% | 08/31/2026 | 650,035 | 539,529 | ||||||||||||||||||||||
MED ParentCo LLC(6) | Delayed Draw | B2 | B | 4.25-5.24 | 1 ML+4.25% | 08/31/2026 | 162,759 | 135,090 | ||||||||||||||||||||||
Pharmaceutical Product Development, Inc. | BTL-B | Ba2 | B+ | 3.50 | 1 ML+2.50% | 08/18/2022 | 508,464 | 484,524 | ||||||||||||||||||||||
Sound Inpatient Physicians | 1st Lien | Ba3 | B | 3.74 | 1 ML+2.75% | 06/27/2025 | 565,680 | 496,384 | ||||||||||||||||||||||
Surgery Center Holdings, Inc. | 1st Lien | B2 | B- | 4.25 | 1 ML+3.25% | 09/03/2024 | 413,345 | 321,169 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
9,074,257 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Hotels, Restaurants & Leisure-6.1% |
| |||||||||||||||||||||||||||||
8th Avenue Food & Provisions, Inc. | 1st Lien | B2 | B- | 4.30 | 1 ML+3.50% | 10/01/2025 | 419,687 | 384,539 | ||||||||||||||||||||||
8th Avenue Food & Provisions, Inc. | 2nd Lien | Caa1 | CCC | 8.55 | 1 ML+7.75% | 10/01/2026 | 270,000 | 229,500 | ||||||||||||||||||||||
Aramark Services, Inc. | BTL-B1 | Ba1 | BBB- | 2.74 | 1 ML+1.75% | 03/11/2025 | 596,904 | 552,136 | ||||||||||||||||||||||
Aramark Services, Inc. | BTL-B4 | Ba1 | BBB- | 2.74 | 1 ML+1.75% | 01/15/2027 | 380,000 | 351,500 | ||||||||||||||||||||||
Boyd Gaming Corp. | BTL-B3 | Ba3 | BB | 2.93 | 1 WL+2.25% | 09/15/2023 | 628,730 | 544,900 | ||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | BTL-B | B1 | BB | 2.99 | 1 ML+2.00% | 10/07/2024 | 1,001,786 | 811,446 | ||||||||||||||||||||||
Caesars Resort Collection LLC | BTL-B | Ba3 | BB | 3.74 | 1 ML+2.75% | 12/23/2024 | 1,360,059 | 1,092,904 | ||||||||||||||||||||||
Carrols Restaurant Group, Inc. | BTL-B | B3 | B- | 4.21 | 1 ML+3.25% | 04/30/2026 | 635,200 | 470,048 | ||||||||||||||||||||||
CityCenter Holdings LLC | BTL-B | B2 | BB- | 3.24 | 1 ML+2.25% | 04/18/2024 | 848,672 | 738,345 | ||||||||||||||||||||||
Eldorado Resorts LLC | BTL-B | Ba1 | BB | 3.25 | 6 ML+2.25% | 04/17/2024 | 580,134 | 562,730 | ||||||||||||||||||||||
Four Seasons Holdings, Inc. | 1st Lien | Ba3 | BB+ | 2.99 | 1 ML+2.00% | 11/30/2023 | 599,850 | 542,436 | ||||||||||||||||||||||
Golden Entertainment, Inc. | 1st Lien | B1 | B+ | 3.96 | 1 ML+3.00% | 10/21/2024 | 1,005,875 | 754,406 | ||||||||||||||||||||||
Hilton Worldwide Finance LLC | BTL-B2 | Baa3 | BBB- | 2.70 | 1 ML+1.75% | 06/22/2026 | 591,190 | 547,836 | ||||||||||||||||||||||
IRB Holding Corp. | BTL-B | B2 | B+ | 3.75 | 1 ML+2.75% | 02/05/2025 | 378,229 | 291,236 | ||||||||||||||||||||||
IRB Holding Corp. | BTL-B | B2 | B+ | 3.95 | 3 ML+2.75% | 02/05/2025 | 967 | 745 | ||||||||||||||||||||||
Penn National Gaming, Inc. | BTL-B | B1 | BB- | 3.24 | 1 ML+2.25% | 10/15/2025 | 696,187 | 521,754 | ||||||||||||||||||||||
Playtika Holding Corp. | BTL-B | B1 | B+ | 7.07 | 6 ML+6.00% | 12/10/2024 | 933,187 | 866,309 | ||||||||||||||||||||||
Station Casinos LLC | BTL-B | B1 | BB- | 3.24 | 1 ML+2.25% | 02/08/2027 | 406,021 | 335,374 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
9,598,144 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Household Durables-0.3% | ||||||||||||||||||||||||||||||
Installed Building Products, Inc. | BTL-B | Ba3 | BB+ | 3.24 | 1 ML+2.25% | 04/15/2025 | 500,000 | 417,500 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Household Products-0.4% | ||||||||||||||||||||||||||||||
Energizer Holdings, Inc. | BTL-B | Ba1 | BB+ | 3.88 | 1 ML+2.25% | 12/17/2025 | 95,617 | 90,837 | ||||||||||||||||||||||
Prestige Brands, Inc. | BTL-B4 | Ba3 | BB | 2.99 | 1 ML+2.00% | 01/26/2024 | 233,482 | 216,360 | ||||||||||||||||||||||
Reynolds Consumer Products, Inc. | BTL | Ba1 | BB+ | 3.50 | 3 ML+1.75% | 02/04/2027 | 370,000 | 346,412 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
653,609 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Industrial Conglomerates-0.1% | ||||||||||||||||||||||||||||||
Ameriforge Group, Inc. | BTL | NR | NR | 8.45 | 3 ML+7.00% | 06/08/2022 | 105,127 | 100,528 | ||||||||||||||||||||||
UTEX Industries, Inc. | 1st Lien | Caa1 | CCC | 5.00 | 1 ML+4.00% | 05/22/2021 | 303,397 | 91,019 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
191,547 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Insurance-4.2% | ||||||||||||||||||||||||||||||
Acrisure LLC | BTL-B | B2 | B | 5.21 | 3 ML+3.50% | 02/15/2027 | 445,000 | 369,350 | ||||||||||||||||||||||
Asurion LLC | BTL-B4 | Ba3 | B+ | 3.99 | 1 ML+3.00% | 08/04/2022 | 763,138 | 698,271 | ||||||||||||||||||||||
Asurion LLC | BTL-B6 | Ba3 | B+ | 3.99 | 1 ML+3.00% | 11/03/2023 | 634,110 | 602,405 | ||||||||||||||||||||||
Asurion LLC | 2nd Lien | B3 | B | 7.49 | 1 ML+6.50% | 08/04/2025 | 1,480,000 | 1,361,600 | ||||||||||||||||||||||
Asurion LLC | BTL-B7 | Ba3 | B+ | 3.99 | 1 ML+3.00% | 11/03/2024 | 505,938 | 468,836 | ||||||||||||||||||||||
Compass Investments, Inc. | BTL-B | B2 | B | 3.99 | 3 ML+3.00% | 05/16/2024 | 1,074,039 | 965,293 | ||||||||||||||||||||||
Hub International, Ltd. | BTL-B | B2 | B | 4.39-4.55 | 2 ML+2.75% | 04/25/2025 | 967,762 | 901,229 | ||||||||||||||||||||||
Sedgwick Claims Management Services, Inc. | BTL-B | B2 | B | 4.24 | 1 ML+3.25% | 12/31/2025 | 1,334,762 | 1,163,468 | ||||||||||||||||||||||
Sedgwick Claims Management Services, Inc. | BTL-B | B2 | B | 4.99 | 1 ML+4.00% | 09/03/2026 | 163,763 | 147,113 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
6,677,565 | ||||||||||||||||||||||||||||||
|
|
Internet & Direct Marketing Retail-1.2% | ||||||||||||||||||||||||||||||
Buzz Merger Sub Ltd. | BTL-B | B1 | B+ | 3.74 | 1 ML+2.75% | 01/29/2027 | 285,000 | 259,350 | ||||||||||||||||||||||
Go Daddy Operating Co. LLC | BTL-B1 | Ba1 | BB | 2.74 | 1 ML+1.75% | 02/15/2024 | 397,130 | 375,685 | ||||||||||||||||||||||
Rodan & Fields, LLC | BTL-B | B3 | B- | 4.70 | 1 ML+4.00% | 06/16/2025 | 356,628 | 153,350 | ||||||||||||||||||||||
Shutterfly, Inc. | BTL-B | B1 | B | 7.45 | 3 ML+6.00% | 09/25/2026 | 500,806 | 450,726 | ||||||||||||||||||||||
Terrier Media Buyer, Inc. | BTL-B | Ba3 | BB- | 5.70 | 3 ML+4.25% | 12/17/2026 | 768,075 | 654,784 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
1,893,895 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
IT Services-3.1% | ||||||||||||||||||||||||||||||
Blackhawk Network Holdings, Inc. | 1st Lien | B1 | B | 3.99 | 1 ML+3.00% | 06/15/2025 | 905,207 | 730,200 | ||||||||||||||||||||||
CCC Information Services, Inc. | 1st Lien | B3 | B- | 3.75 | 1 ML+2.75% | 04/29/2024 | 906,171 | 822,026 | ||||||||||||||||||||||
Science Applications International Corp. | BTL-B | Ba1 | BB+ | 3.24 | 1 ML+2.25% | 03/12/2027 | 515,000 | 481,525 | ||||||||||||||||||||||
Tempo Acquisition LLC | BTL-B | B1 | B | 3.74 | 1 ML+2.75% | 05/01/2024 | 1,113,751 | 985,670 | ||||||||||||||||||||||
Web.com Group, Inc. | 1st Lien | B2 | B+ | 4.95 | 3 ML+3.75% | 10/10/2025 | 263,425 | 215,679 | ||||||||||||||||||||||
Web.com Group, Inc. | BTL-B2 | Caa2 | CCC+ | 8.95 | 3 ML+7.75% | 10/09/2026 | 633,015 | 477,926 | ||||||||||||||||||||||
WEX, Inc. | BTL-B3 | Ba2 | BB- | 3.24 | 1 ML+2.25% | 05/15/2026 | 1,315,430 | 1,127,981 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
4,841,007 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Leisure Products-0.5% | ||||||||||||||||||||||||||||||
Hayward Industries, Inc. | 1st Lien | B3 | B | 4.49 | 1 ML+3.50% | 08/05/2024 | 388,363 | 306,159 | ||||||||||||||||||||||
SRAM LLC | BTL-B | B1 | BB- | 3.75 | 1 ML+2.75% | 03/15/2024 | 571,518 | 537,227 | ||||||||||||||||||||||
SRAM LLC | BTL-B | B1 | BB- | 5.00 | USFRBPLR+1.75% | 03/15/2024 | 17,269 | 16,233 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
859,619 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Life Sciences Tools & Services-0.3% | ||||||||||||||||||||||||||||||
Syneos Health, Inc. | BTL-B | Ba3 | BB | 2.74 | 1 ML+1.75% | 08/01/2024 | 552,656 | 530,550 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Machinery-3.0% | ||||||||||||||||||||||||||||||
Altra Industrial Motion Corp. | BTL-B | Ba2 | BB- | 2.99 | 1 ML+2.00% | 10/01/2025 | 486,840 | 438,156 | ||||||||||||||||||||||
Brookfield WEC Holdings, Inc. | BTL | B2 | B | 3.99 | 1 ML+3.00% | 08/01/2025 | 500,892 | 470,838 | ||||||||||||||||||||||
CIRCOR International, Inc. | BTL-B | B1 | B | 4.06 | 1 ML+3.25% | 12/11/2024 | 479,907 | 381,526 | ||||||||||||||||||||||
CTOS LLC | BTL-B | B2 | B+ | 5.00 | 1 ML+4.25% | 04/18/2025 | 507,593 | 430,185 | ||||||||||||||||||||||
Fluidra SA | BTL-B | Ba3 | BB | 2.99 | 1 ML+2.00% | 07/02/2025 | 373,943 | 336,549 | ||||||||||||||||||||||
Ingersoll-Rand Company Ltd.(10) | BTL-B | Ba2 | BB+ | 2.00 | 1 ME+2.00% | 03/01/2027 | EUR 827,352 | 842,529 | ||||||||||||||||||||||
Ingersoll-Rand Company Ltd. | BTL-B | Ba2 | BB+ | 2.74 | 1 ML+1.75% | 03/01/2027 | 594,905 | 556,236 | ||||||||||||||||||||||
Navistar International Corp. | BTL-B | Ba2 | BB- | 4.28 | 1 ML+3.50% | 11/06/2024 | 542,254 | 466,339 | ||||||||||||||||||||||
Pro Mach Group, Inc. | BTL-B | B2 | B- | 3.68 | 1 ML+2.75% | 03/07/2025 | 407,680 | 313,914 | ||||||||||||||||||||||
WireCo WorldGroup, Inc. | 1st Lien | B3 | B+ | 6.07 | 1 ML+5.00% | 09/30/2023 | 603,125 | 474,961 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
4,711,233 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Media-6.8% | ||||||||||||||||||||||||||||||
Advantage Sales & Marketing LLC | 1st Lien | B2 | B- | 4.70 | 3 ML+3.25% | 07/23/2021 | 254,118 | 206,788 | ||||||||||||||||||||||
Advantage Sales & Marketing LLC | 2nd Lien | Caa2 | CCC | 7.95 | 3 ML+6.50% | 07/25/2022 | 500,000 | 361,666 | ||||||||||||||||||||||
Altice Financing SA | 1st Lien | B2 | B | 3.67 | 1 ML+2.75% | 01/31/2026 | 496,838 | 450,880 | ||||||||||||||||||||||
Banijay Group US Holdings, Inc. | BTL | B1 | B | TBD | 03/04/2025 | 425,000 | 374,000 | |||||||||||||||||||||||
Charter Communications Operating LLC | BTL-B2 | Ba1 | BBB- | 2.74 | 1 ML+1.75% | 02/01/2027 | 649,049 | 620,383 | ||||||||||||||||||||||
Clear Channel Outdoor Holdings, Inc. | BTL-B | B1 | B+ | 4.49 | 1 ML+3.50% | 08/21/2026 | 735,677 | 656,591 | ||||||||||||||||||||||
CSC Holdings, Inc. | BTL-B | Ba3 | BB | 2.86 | 1 ML+2.25% | 07/17/2025 | 496,583 | 476,720 | ||||||||||||||||||||||
CSC Holdings, Inc. | BTL-B5 | Ba3 | BB | 3.11 | 1 ML+2.50% | 04/15/2027 | 1,281,250 | 1,221,458 | ||||||||||||||||||||||
E.W. Scripps Co. | BTL-B2 | Ba2 | NR | 3.49 | 1 ML+2.50% | 05/01/2026 | 633,616 | 586,095 | ||||||||||||||||||||||
Gray Television, Inc. | BTL-C | Ba2 | BB | 4.02 | 1 ML+2.50% | 01/02/2026 | 1,282,627 | 1,218,495 | ||||||||||||||||||||||
Houghton Mifflin Harcourt Publishing Company | BTL-B | B3 | B | 7.24 | 3 ML+6.25% | 11/22/2024 | 493,750 | 435,734 | ||||||||||||||||||||||
ION Media Networks, Inc. | BTL-B | B1 | BB- | 4.00 | 1 ML+3.00% | 12/18/2024 | 1,293,916 | 1,158,055 | ||||||||||||||||||||||
NEP Group, Inc. | 1st Lien | Caa1 | B | 4.70 | 3 ML+3.25% | 10/20/2025 | 197,500 | 120,475 | ||||||||||||||||||||||
NEP Group, Inc. | 2nd Lien | Ca | CCC | 8.45 | 3 ML+7.00% | 10/19/2026 | 595,000 | 267,750 | ||||||||||||||||||||||
Nexstar Broadcasting, Inc. | BTL-B4 | Ba3 | BB | 4.33 | 1 ML+2.75% | 09/18/2026 | 1,292,041 | 1,199,983 | ||||||||||||||||||||||
Univision Communications, Inc. | BTL-C5 | B2 | B | 3.75 | 1 ML+2.75% | 03/15/2024 | 494,005 | 411,670 | ||||||||||||||||||||||
Ziggo Secured Finance Partnership | BTL-I | B1 | B+ | 3.20 | 1 ML+2.50% | 04/30/2028 | 1,000,000 | 920,000 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
10,686,743 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Metals & Mining-0.8% | ||||||||||||||||||||||||||||||
American Rock Salt Co. LLC | 1st Lien | B2 | B | 4.50 | 1 ML+3.50% | 03/21/2025 | 1,000,597 | 850,507 | ||||||||||||||||||||||
Arconic Rolled Products Corp. | BTL-B | Ba1 | BB+ | TBD | 03/25/2027 | 440,000 | 396,000 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
1,246,507 | ||||||||||||||||||||||||||||||
|
|
Multiline Retail-0.1% | ||||||||||||||||||||||||||||||
Neiman Marcus Group Ltd. LLC | BTL | Caa2 | CCC+ | 7.50 | 1 ML+6.00% | 10/25/2023 | 302,416 | 114,918 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels-1.7% | ||||||||||||||||||||||||||||||
BCP Renaissance Parent LLC | BTL-B | B1 | B+ | 4.95 | 3 ML+3.50% | 10/31/2024 | 490,195 | 265,523 | ||||||||||||||||||||||
California Resources Corp. | 2nd Lien | Caa1 | B | 11.99 | 3 ML+10.38% | 12/31/2021 | 500,000 | 21,667 | ||||||||||||||||||||||
Foresight Energy LLC(12) | 1st Lien | C | D | 7.36 | 3 ML+5.75% | 03/28/2022 | 1,234,656 | 154,332 | ||||||||||||||||||||||
Medallion Midland Acquisition LLC | 1st Lien | B2 | B- | 4.25 | 1 ML+3.25% | 10/30/2024 | 701,882 | 386,035 | ||||||||||||||||||||||
Oryx Midstream Services LLC | BTL-B | B2 | B- | 4.99 | 1 ML+4.00% | 05/22/2026 | 574,453 | 348,502 | ||||||||||||||||||||||
Power Buyer LLC | 1st Lien | B3 | B- | 4.70 | 3 ML+3.25% | 03/06/2025 | 1,007,203 | 835,978 | ||||||||||||||||||||||
Power Buyer LLC | 2nd Lien | Caa2 | CCC | 8.70 | 3 ML+7.25% | 03/06/2026 | 585,000 | 456,300 | ||||||||||||||||||||||
Traverse Midstream Partners LLC | BTL-B | B2 | B+ | 5.00 | 1 ML+4.00% | 09/27/2024 | 290,151 | 161,517 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
2,629,854 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Personal Products-1.2% | ||||||||||||||||||||||||||||||
Coty, Inc.(10) | BTL-B | Ba3 | B+ | 2.50 | 1 ME+2.50% | 04/07/2025 | EUR 810,562 | 712,196 | ||||||||||||||||||||||
Revlon Consumer Products Corp. | BTL-B | B3 | CCC- | 4.95-5.11 | 3 ML+3.50% | 09/07/2023 | 763,046 | 289,958 | ||||||||||||||||||||||
Sunshine Luxembourg VII SARL | BTL-B1 | B2 | B | 5.32 | 3 ML+4.25% | 10/01/2026 | 997,500 | 902,738 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
1,904,892 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Pharmaceuticals-2.3% | ||||||||||||||||||||||||||||||
Elanco Animal Health, Inc. | BTL-B | Baa3 | BB+ | TBD | 02/04/2027 | 1,195,000 | 1,132,262 | |||||||||||||||||||||||
Endo Luxembourg Finance Co. I SARL | BTL-B | B1 | B+ | 5.25 | 1 ML+4.25% | 04/29/2024 | 502,097 | 443,519 | ||||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. | BTL-B | Ba2 | BB | 3.36 | 1 ML+2.75% | 11/27/2025 | 1,038,750 | 981,619 | ||||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. | BTL-B | Ba2 | BB | 3.61 | 1 ML+3.00% | 06/02/2025 | 1,058,108 | 1,005,202 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
3,562,602 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Professional Services-1.9% | ||||||||||||||||||||||||||||||
AlixPartners LLP | BTL-B | B2 | B+ | 3.50 | 1 ML+2.50% | 04/04/2024 | 1,290,407 | 1,215,134 | ||||||||||||||||||||||
AlixPartners LLP(10) | BTL-B | B2 | NR | 3.25 | 3 ME+3.25% | 04/04/2024 | EUR 247,500 | 241,576 | ||||||||||||||||||||||
Dun & Bradstreet Corporation | BTL | B2 | B- | 4.96 | 1 ML+4.00% | 02/06/2026 | 1,385,000 | 1,253,425 | ||||||||||||||||||||||
Team Health Holdings, Inc. | 1st Lien | B2 | B- | 3.75 | 1 ML+2.75% | 02/06/2024 | 484,380 | 300,316 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
3,010,451 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Real Estate Investment Trusts-0.5% | ||||||||||||||||||||||||||||||
VICI Properties 1 LLC | BTL | Ba2 | BBB- | 2.67 | 1 ML+1.75% | 12/20/2024 | 853,864 | 777,016 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Road & Rail-1.5% | ||||||||||||||||||||||||||||||
Fly Funding II SARL | BTL-B | NR | BBB- | 3.48 | 3 ML+1.75% | 08/11/2025 | 1,052,528 | 897,280 | ||||||||||||||||||||||
Genesee & Wyoming, Inc. | BTL | Ba2 | BB+ | 3.45 | 3 ML+2.00% | 12/30/2026 | 500,000 | 476,875 | ||||||||||||||||||||||
Savage Enterprises LLC | BTL-B | B1 | BB | TBD | 08/01/2025 | 1,079,758 | 942,089 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
2,316,244 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Semiconductors & SemiconductorEquipment-1.1% | ||||||||||||||||||||||||||||||
Cabot Microelectronics Corp. | BTL-B1 | Ba2 | BB+ | 3.00 | 1 ML+2.00% | 11/17/2025 | 464,212 | 443,323 | ||||||||||||||||||||||
Entegris, Inc. | BTL-B | Baa3 | BBB- | 2.99 | 1 ML+2.00% | 11/06/2025 | 987,500 | 898,625 | ||||||||||||||||||||||
Microchip Technology, Inc. | BTL-B | Baa3 | BB+ | 2.99 | 1 ML+2.00% | 05/29/2025 | 413,394 | 386,523 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
1,728,471 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Software-6.9% | ||||||||||||||||||||||||||||||
Almonde, Inc. | 1st Lien | B2 | B- | 5.28 | 3 ML+3.50% | 06/13/2024 | 495,570 | 423,093 | ||||||||||||||||||||||
Almonde, Inc. | 2nd Lien | Caa2 | CCC | 9.03 | 3 ML+7.25% | 06/13/2025 | 230,000 | 171,350 | ||||||||||||||||||||||
Ceridian HCM Holding, Inc. | BTL-B | B2 | B+ | 3.49 | 1 ML+2.50% | 04/30/2025 | 576,387 | 533,158 | ||||||||||||||||||||||
Dcert Buyer, Inc. | BTL-B | B2 | B- | 4.99 | 1 ML+4.00% | 10/16/2026 | 500,000 | 443,333 | ||||||||||||||||||||||
Emerald Topco, Inc. | BTL | B2 | B | 4.49 | 1 ML+3.50% | 07/24/2026 | 442,775 | 396,284 | ||||||||||||||||||||||
Epicore Software Co. | 1st Lien | B2 | B- | 4.25 | 1 ML+3.25% | 06/01/2022 | 1,090,771 | 992,601 | ||||||||||||||||||||||
Hyland Software, Inc. | 1st Lien | B1 | B- | 4.49 | 1 ML+3.50% | 07/01/2024 | 964,907 | 887,714 | ||||||||||||||||||||||
Hyland Software, Inc. | 2nd Lien | Caa1 | CCC | 7.99 | 1 ML+7.00% | 07/07/2025 | 535,000 | 492,200 | ||||||||||||||||||||||
Infor US, Inc. | BTL-B6 | Ba3 | B | 3.75 | 1 ML+2.75% | 02/01/2022 | 673,961 | 645,992 |
MA FinanceCo. LLC | BTL-B3 | B1 | BB- | 3.49 | 1 ML+2.50% | 06/21/2024 | 91,076 | 81,361 | ||||||||||||||||||||||
McAfee LLC | BTL-B1 | B2 | B | 4.69 | 1 ML+3.75% | 09/30/2024 | 183,141 | 168,795 | ||||||||||||||||||||||
RP Crown Parent LLC | BTL-B | B1 | B | 3.75 | 1 ML+2.75% | 10/12/2023 | 761,589 | 723,510 | ||||||||||||||||||||||
Seattle Spinco, Inc. | BTL-B3 | B1 | BB- | 3.49 | 1 ML+2.50% | 06/21/2024 | 615,059 | 549,453 | ||||||||||||||||||||||
SS&C Technologies, Inc. | BTL-B3 | Ba2 | BB+ | 2.74 | 1 ML+1.75% | 04/16/2025 | 513,598 | 482,782 | ||||||||||||||||||||||
SS&C Technologies, Inc. | BTL-B4 | Ba2 | BB+ | 2.74 | 1 ML+1.75% | 04/16/2025 | 366,487 | 344,498 | ||||||||||||||||||||||
SS&C Technologies, Inc. | BTL-B5 | Ba2 | BB+ | 2.74 | 1 ML+1.75% | 04/16/2025 | 1,159,594 | 1,086,540 | ||||||||||||||||||||||
Surf Holdings, LLC | BTL | B2 | B- | TBD | 03/05/2027 | EUR 170,000 | 156,244 | |||||||||||||||||||||||
Surf Holdings, LLC | BTL | B2 | B- | TBD | 03/05/2027 | 320,000 | 283,200 | |||||||||||||||||||||||
Ultimate Software Group, Inc. | BTL-B | B2 | B | 4.74 | 1 ML+3.75% | 05/04/2026 | 676,600 | 630,930 | ||||||||||||||||||||||
VS Buyer LLC | BTL-B | B1 | B- | 4.86 | 3 ML+3.25% | 02/28/2027 | 470,000 | 448,850 | ||||||||||||||||||||||
Zelis Payments Buyer, Inc. | BTL-B | B2 | B | 5.74 | 1 ML+4.75% | 09/30/2026 | 997,500 | 909,388 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
10,851,276 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Specialty Retail-2.1% | ||||||||||||||||||||||||||||||
At Home Holding III, Inc. | BTL | Caa1 | CCC+ | 5.28 | 3 ML+3.50% | 06/03/2022 | 669,700 | 455,396 | ||||||||||||||||||||||
Bass Pro Group LLC | BTL-B | B1 | B+ | 5.99 | 1 ML+5.00% | 09/25/2024 | 857,291 | 720,124 | ||||||||||||||||||||||
Foundation Building Materials Holding Co. LLC | BTL-B | B2 | BB- | 3.99 | 1 ML+3.00% | 08/13/2025 | 493,750 | 425,859 | ||||||||||||||||||||||
J. Crew Group, Inc. | BTL-B | Caa2 | CC | 4.37-4.78 | 3 ML+3.00% | 03/05/2021 | 707,391 | 468,646 | ||||||||||||||||||||||
PetSmart, Inc. | BTL-B2 | B2 | B | 5.00 | 6 ML+4.00% | 03/11/2022 | 510,981 | 489,903 | ||||||||||||||||||||||
SRS Distribution, Inc. | BTL-B | B3 | B | 5.49 | 1 ML+4.50% | 05/23/2025 | 888 | 801 | ||||||||||||||||||||||
SRS Distribution, Inc. | BTL-B | B3 | B | 5.57 | 3 ML+4.50% | 05/23/2025 | 353,225 | 318,786 | ||||||||||||||||||||||
Staples, Inc. | BTL-B | B1 | B+ | 6.52 | 1 ML+5.00% | 04/16/2026 | 502,563 | 396,396 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
3,275,911 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Trading Companies & Distributors-2.3% | ||||||||||||||||||||||||||||||
ABC Supply Co., Inc. | BTL-B | B1 | BB+ | 2.99 | 1 ML+2.00% | 01/15/2027 | 995,000 | 890,525 | ||||||||||||||||||||||
Beacon Roofing Supply, Inc. | BTL-B | B1 | BB | 3.24 | 1 ML+2.25% | 01/02/2025 | 441,000 | 396,018 | ||||||||||||||||||||||
HD Supply, Inc. | BTL-B5 | Ba1 | BBB- | 2.74 | 1 ML+1.75% | 10/17/2023 | 1,060,329 | 985,046 | ||||||||||||||||||||||
HD Supply Waterworks, Ltd. | BTL-B | B2 | B+ | 4.33 | 1 ML+2.75% | 08/01/2024 | 441,810 | 383,270 | ||||||||||||||||||||||
Resideo Funding, Inc. | BTL-B | Ba2 | BBB- | 3.71 | 3 ML+2.25% | 10/24/2025 | 301,188 | 271,069 | ||||||||||||||||||||||
Sage Borrowco LLC | BTL-B | B2 | B | 5.74 | 1 ML+4.75% | 06/20/2026 | 251,717 | 229,062 | ||||||||||||||||||||||
Univar USA, Inc. | BTL-B3 | Ba3 | BB+ | 3.70 | 3 ML+2.25% | 07/01/2024 | 413,296 | 380,232 | ||||||||||||||||||||||
Univar USA, Inc. | BTL-B5 | Ba3 | BB+ | 3.45 | 3 ML+2.00% | 07/01/2026 | 169,575 | 152,618 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
3,687,840 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Wireless Telecommunication Services-1.8% | ||||||||||||||||||||||||||||||
Sprint Communications, Inc. | BTL-B | Ba2 | BB- | 3.50 | 1 ML+2.50% | 02/02/2024 | 2,186,193 | 2,169,796 | ||||||||||||||||||||||
Sprint Communications, Inc. | BTL-B | Ba2 | BB- | 4.00 | 1 ML+3.00% | 02/02/2024 | 607,313 | 597,697 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
2,767,493 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Loans | 139,840,819 | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
U.S. CORPORATE BONDS & NOTES-3.7% | ||||||||||||||||||||||||||||||
Building Products-0.1% | ||||||||||||||||||||||||||||||
Advanced Drainage Systems, Inc.* | | Senior Notes | | B1 | B | 5.00 | 09/30/2027 | 220,000 | 195,800 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Construction & Engineering-0.1% | ||||||||||||||||||||||||||||||
Brand Energy & Infrastructure Services, Inc.* | | Senior Notes | | Caa2 | CCC | 8.50 | 07/15/2025 | 250,000 | 196,300 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Containers & Packaging-0.8% | ||||||||||||||||||||||||||||||
Reynolds Group Issuer, Inc. FRS* | | Senior Sec. Notes | | B1 | B+ | 5.33 | 3 ML+3.50% | 07/15/2021 | 1,245,000 | 1,213,875 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Food Products-0.1% | ||||||||||||||||||||||||||||||
Darling Ingredients, Inc.* | | Senior Notes | | Ba3 | BB+ | 5.25 | 04/15/2027 | 130,000 | 126,061 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Health Care Providers & Services-0.3% | ||||||||||||||||||||||||||||||
Centene Corp.* | | Senior Notes | | Ba1 | BBB- | 4.63 | 12/15/2029 | 465,000 | 467,325 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Hotels, Restaurants & Leisure-0.1% | ||||||||||||||||||||||||||||||
Boyd Gaming Corp.* | | Company Guar. Notes | | Caa1 | B+ | 4.75 | 12/01/2027 | 400,000 | 330,000 | |||||||||||||||||||||
Yum Brands, Inc.* | | Senior Notes | | B1 | B+ | 7.75 | 04/01/2025 | 95,000 | 99,750 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
429,750 |
Insurance-0.4% | ||||||||||||||||||||||||||||||||
Acrisure LLC / Acrisure Finance, Inc.* | Senior Sec. Notes | B2 | B | 8.13 | 02/15/2024 | 670,000 | 652,613 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Media-0.2% | ||||||||||||||||||||||||||||||||
Houghton Mifflin Harcourt Publishers, Inc.* | Senior Notes | B3 | B | 9.00 | 02/15/2025 | 400,000 | 352,000 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Multi Utilities-0.0% | ||||||||||||||||||||||||||||||||
Texas Competitive Electric Holdings Co. LLC* | Escrow Notes | NR | NR | 6.25 | 10/01/2020 | 4,174,956 | 6,262 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels-0.1% | ||||||||||||||||||||||||||||||||
Chesapeake Energy Corp.* | Sec. Notes | Caa2 | B- | 11.50 | 01/01/2025 | 310,000 | 52,700 | |||||||||||||||||||||||||
Foresight Energy/Finance*†(12) | Sec. Notes | NR | D | 11.50 | 04/01/2023 | 715,000 | 894 | |||||||||||||||||||||||||
Vine Oil & Gas LP / Vine Oil & Gas Finance Corp.* | | Company Guar. Notes | | Ca | C | 8.75 | 04/15/2023 | 775,000 | 170,500 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
224,094 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Personal Products-0.1% | ||||||||||||||||||||||||||||||||
Revlon Consumer Products Corp. | | Company Guar. Notes | | Caa3 | CC | 6.25 | 08/01/2024 | 505,000 | 116,150 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Software-0.7% | ||||||||||||||||||||||||||||||||
SS&C Technologies, Inc.* | | Company Guar. Notes | | B2 | B+ | 5.50 | 09/30/2027 | 1,000,000 | 1,042,210 | |||||||||||||||||||||||
|
|
Specialty Retail-0.3% | ||||||||||||||||||||||||||||
Lithia Motors, Inc.* | | Company Guar. Notes | | Ba2 | BB | 4.63 | 12/15/2027 | 500,000 | 450,050 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Trading Companies & Distributors-0.2% | ||||||||||||||||||||||||||||
Performance Food Group, Inc.* | Senior Notes | B1 | B | 5.50 | 10/15/2027 | 315,000 | 292,163 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total U.S. Corporate Bonds & Notes | 5,764,653 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
FOREIGN CORPORATE BONDS & NOTES-2.1% | ||||||||||||||||||||||||||||
Auto Components-0.3% | ||||||||||||||||||||||||||||
Panther BF Aggregator 2 LP* | | Company Guar. Notes | | B3 | CCC+ | 8.50 | 05/15/2027 | 560,000 | 488,544 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Containers & Packaging-0.2% | ||||||||||||||||||||||||||||
Ardagh Packaging Finance PLC* | | Senior Sec. Notes | | Ba3 | BB | 4.13 | 08/15/2026 | 390,000 | 388,050 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Hotels, Restaurants & Leisure-0.2% | ||||||||||||||||||||||||||||
1011778 BC ULC / New Red Finance, Inc.* | Senior Notes | Ba2 | BB+ | 3.88 | 01/15/2028 | 375,000 | 356,250 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Metals & Mining-0.2% | ||||||||||||||||||||||||||||
Costellium NV* | | Company Guar. Notes | | B2 | B | 6.63 | 03/01/2025 | 405,000 | 364,500 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Pharmaceuticals-1.1% | ||||||||||||||||||||||||||||
Bausch Health Cos, Inc.* | | Company Guar. Notes | | B3 | B | 5.00 | 01/30/2028 | 485,000 | 459,150 | |||||||||||||||||||
Endo, Ltd./Endo Finance LLC* | | Company Guar. Notes | | Caa2 | CCC+ | 6.00 | 07/15/2023 | 250,000 | 181,095 | |||||||||||||||||||
Valeant Pharmaceuticals* | | Senior Sec. Notes | | Ba2 | BB | 7.00 | 03/15/2024 | 630,000 | 641,806 | |||||||||||||||||||
Valeant Pharmaceuticals* | | Company Guar. Notes | | B3 | B | 9.00 | 12/15/2025 | 385,000 | 405,867 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
1,687,918 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Foreign Corporate Bonds & Notes | 3,285,262 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
COMMON STOCKS-0.6% | ||||||||||||||||||||||||||||
Energy Equipment & Services-0.0% | ||||||||||||||||||||||||||||
Philadelphia Energy Solutions LLC, Class A†(7) | 35,161 | 4,395 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Industrial Conglomerates-0.5% | ||||||||||||||||||||||||||||
AFG Holdings, Inc.†(7) | 14,309 | 715,450 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels-0.1% | ||||||||||||||||||||||||||||
Ascent Resources Marcellus LLC, Class A†(5)(7) | 187,384 | 222,987 | ||||||||||||||||||||||||||
TE Holdcorp LLC, Class A†(5)(7) | 44,278 | 0 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
222,987 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Common Stocks | 942,832 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
WARRANTS-0.0% | ||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels-0.0% | ||||||||||||||||||||||||||||
Ascent Resources Marcellus LLC†(5)(7) | ||||||||||||||||||||||||||||
Expires 03/30/2023 | ||||||||||||||||||||||||||||
(strike price $6.15) | ||||||||||||||||||||||||||||
(cost $4,625) | 48,515 | 970 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
ESCROWS AND LITIGATION TRUSTS-0.0% | ||||||||||||||||||||||||||||
Paragon Offshore, Ltd.(5)† | ||||||||||||||||||||||||||||
(cost $2,882) | Escrow Holding | NR | NR | 6.00 | 07/18/2021 | 4,516 | 0 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Long-Term Investment Securities | 149,834,536 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
SHORT-TERM INVESTMENT SECURITIES-2.2% | ||||||||||||||||||||||||||||
Registered Investment Companies-2.2% | ||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Administration Class 0.57%(8) | ||||||||||||||||||||||||||||
(cost $3,452,423) | 3,453,355 | 3,450,247 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
REPURCHASE AGREEMENTS-0.4% | ||||||||||||||||||||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(9) | 115,000 | 115,000 | ||||||||||||||||||||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(9) | 140,000 | 140,000 | ||||||||||||||||||||||||||
BNP Paribas SA Joint Repurchase Agreement(9) | 165,000 | 165,000 | ||||||||||||||||||||||||||
Deutsche Bank AG Joint Repurchase Agreement(9) | 140,000 | 140,000 | ||||||||||||||||||||||||||
RBS Securities, Inc. Joint Repurchase Agreement(9) | 130,000 | 130,000 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Repurchase Agreements | 690,000 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||||||||||||||
(cost $183,191,358) | 97.6 | % | 153,974,783 | |||||||||||||||||||||||||
Other assets less liabilities | 2.4 | % | 3,869,168 | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
NET ASSETS | 100.0 | % | $ | 157,843,951 | ||||||||||||||||||||||||
|
|
|
|
BTL—Bank Term Loan | ||
EUR—Euro Currency | ||
NR—Security not rated | ||
FRS—Floating Rate Security | ||
The rates shown on FRS are the current interest rates as of March 31, 2020 and unless noted otherwise, the dates shown are the original maturity dates. | ||
TBD - Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement. | ||
† | Non-income producing security | |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no rights to demand registration of these securities. At March 31, 2020, the aggregate value of these securities was $8,933,765, representing 5.7% of net assets. | |
** | Denominated in United States Dollars unless otherwise noted. | |
(1) | Bank loans rated below Baa by Moody’s Investor Service, Inc. or BBB by Standard & Poor’s Group are considered below investment grade. Ratings provided are as of March 31, 2020. | |
(2) | Based on the stated maturity, the weighted average to maturity of the loans held in the portfolio is approximately 58 months. Loans in the Fund’s portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. | |
(3) | The Fund invests in senior loans which generally pay interest at rates which are periodicallyre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. | |
(4) | All loans in the portfolio were purchased through assignment agreements unless otherwise indicated. | |
(5) | Security classified as Level 3 (see Note 1). | |
(6) | All or a portion of this holding is subject to unfunded loan commitments (see Note 3). | |
(7) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2020, the Fund held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
AFG Holdings, Inc. | 01/22/2013 | 14,309 | $ | 911,111 | $ | 715,450 | $ | 50.00 | 0.45 | % | ||||||||||||||
Ascent Resources Marcellus LLC, Class A | 03/30/2018 | 187,384 | 567,151 | 222,987 | 1.19 | 0.14 | ||||||||||||||||||
Philadelphia Energy Solutions LLC, Class A | 04/04/2018 | 35,161 | 185,574 | 4,395 | 0.12 | 0.00 | ||||||||||||||||||
TE Holdcorp LLC, Class A | 11/21/2013 | 44,278 | 1,638,216 | 0 | 0.00 | 0.00 | ||||||||||||||||||
Warrants | ||||||||||||||||||||||||
Ascent Resources Marcellus LLC | 03/30/2018 | 48,515 | 4,625 | 970 | 0.02 | 0.00 | ||||||||||||||||||
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$ | 943,802 | 0.59 | % | |||||||||||||||||||||
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(8) | The rate shown is the7-day yield as of March 31, 2020. | |
(9) | See Note 2 for details of the Joint Repurchase Agreement. | |
(10) | The referenced Index is less than 0.00% at the period end. The loan has an interest rate floor whereby the floating rate used in the coupon rate calculation cannot be less than zero. | |
(11) | Security in default of interest. | |
(12) | Company has filed for bankruptcy protection. |
Index Legend
1 ME—1 Month Euribor
1 ML—1 Month USD LIBOR
1 WL—1 Week USD LIBOR
2 ML—2 Month USD LIBOR
3 ME—3 Month Euribor
3 ML—3 Month USD LIBOR
6 ME—6 Month Euribor
6 ML—6 Month USD LIBOR
USFRBPLR—US Federal Reserve Bank Prime Loan Rate
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Morgan Stanley and Co. International Plc | EUR | 11,314,363 | USD | 12,172,840 | 04/30/2020 | $ | — | $ | (319,086 | ) | ||||||||||||||||||
USD | 35,504 | EUR | 33,000 | 04/30/2020 | 931 | — | ||||||||||||||||||||||
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Net Unrealized Appreciation (Depreciation) | $ | 931 | $ | (319,086 | ) | |||||||||||||||||||||||
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EUR—Euro Currency
USD—United States Dollar
The following is a summary of the inputs used to value the Fund’s net assets as of March 31, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2- Other Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Loans: | ||||||||||||||||
Energy Equipment & Services | $ | — | $ | 139,990 | $ | 242,441 | $ | 382,431 | ||||||||
Other Industries | — | 139,458,388 | — | 139,458,388 | ||||||||||||
U.S. Corporate Bonds & Notes | — | 5,764,653 | — | 5,764,653 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 3,285,262 | — | 3,285,262 | ||||||||||||
Common Stocks: | ||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | 222,987 | 222,987 | ||||||||||||
Other Industries | — | 719,845 | — | 719,845 | ||||||||||||
Warrants | — | — | 970 | 970 | ||||||||||||
Escrows and Litigation Trusts | — | — | 0 | 0 | ||||||||||||
Short-Term Investment Securities | 3,450,247 | — | — | 3,450,247 | ||||||||||||
Repurchase Agreements | — | 690,000 | — | 690,000 | ||||||||||||
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Total Investments at Value | $ | 3,450,247 | $ | 150,058,138 | $ | 466,398 | $ | 153,974,783 | ||||||||
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Other Financial Instruments:@ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 931 | $ | — | $ | 931 | ||||||||
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LIABILITIES: | ||||||||||||||||
Other Financial Instruments:@ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 319,086 | $ | — | $ | 319,086 | ||||||||
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* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
@ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS — March 31, 2020 — (unaudited)
Note 1.Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. generally accepted accounting principals (“GAAP”), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Directors (the “Board”), etc.)
Level 3 — Significant unobservable inputs (includes inputs that reflect the Fund’s own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of the Fund’s assets and liabilities classified in the fair value hierarchy as of March 31, 2020, is reported on a schedule at the end of the Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than
one exchange, the Fund uses the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Fund’s shares, and the Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If the Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Fund may also fair value securities in other situations, for example, when a particular foreign market is closed but the Fund is open. For foreign equity securities and foreign equity futures contracts, the Fund uses an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures, and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior secured floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Investments in registered investment companies are generally categorized as Level 1.
Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in theover-the-counter (“OTC”) market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 pm Eastern time forward rate and are generally categorized as Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Fund, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Fund’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Derivative Instruments:
Forward Foreign Currency Contracts:During the period, the Fund used forward contracts to protect against uncertainty in the level of future exchange rates.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market
daily using the forward rate and the cumulative change in market value is recorded by the Fund as unrealized appreciation or depreciation. On the settlement date, the Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to the Fund of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, the Fund’s loss will generally consist of the net amount of contractual payments that the Fund has not yet received though the Fund’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Fund’s Portfolio of Investments.
Master Agreements: The Fund holds derivative instruments and other financial instruments whereby the Fund may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Fund and applicable counterparty. Collateral requirements are generally determined based on the Fund’s net position with each counterparty. Master Agreements may also include certain provisions that require the Fund to post additional collateral upon the occurrence of certain events, such as when a Fund’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to the Fund may also occur upon a decline in the Fund’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Fund’s counterparties to elect early termination could cause the Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to the Fund’s financial statements.
Note 2.Repurchase Agreements
As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:
Percentage Ownership | Principal Amount | |||||||
AIG Senior Floating Rate Fund | 0.35 | % | $ | 115,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $32,850,000, a repurchase price of $32,850,009, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 3.00 | % | 11/15/2045 | $ | 24,215,000 | $ | 33,830,214 |
As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:
Percentage Ownership | Principal Amount | |||||||
AIG Senior Floating Rate Fund | 0.35 | % | $ | 140,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $40,000,000, a repurchase price of $40,000,011, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 3.00 | % | 05/15/2047 | $ | 29,066,000 | $ | 40,993,466 |
As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with BNP Paribas SA:
Percentage Ownership | Principal Amount | |||||||
AIG Senior Floating Rate Fund | 0.37 | % | $ | 165,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $45,000,000, a repurchase price of $45,000,013, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.50 | % | 09/30/2024 | $ | 43,649,400 | $ | 45,874,580 |
As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:
Percentage Ownership | Principal Amount | |||||||
AIG Senior Floating Rate Fund | 0.35 | % | $ | 140,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $40,000,000, a repurchase price of $40,000,006, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.88 | % | 01/31/2022 | $ | 39,506,000 | $ | 40,829,203 |
As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:
Percentage Ownership | Principal Amount | |||||||
AIG Senior Floating Rate Fund | 0.34 | % | $ | 130,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $38,000,000, a repurchase price of $38,000,005, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.00 | % | 04/30/2024 | $ | 36,075,000 | $ | 38,797,829 |
Note 3.Unfunded Loan Commitments
At March 31, 2020, the Fund had the following unfunded loan commitments which could be extended at the option of the Borrower:
Borrower | Type | Maturity Date | Principal Amount | Value | ||||||||||||||||
Eyecare Partners LLC | Delayed Draw | 02/18/2027 | $ | 137,162 | $ | 110,644 | ||||||||||||||
MED ParentCo LP | Delayed Draw | 08/31/2026 | 48,708 | 40,428 |
ADDITIONAL INFORMATION
Additional information is available in the Fund’s Annual and Semiannual reports which may be obtained without charge from the EDGAR database on the Security and Exchange Commission’s website at www.sec.gov.