Pioneer Floating Rate Trust | ||
Schedule of Investments | February 29, 2020 | ||
Ticker Symbol: PHD | ||
| Principal Amount USD ($) | Value | ||||
| UNAFFILIATED ISSUERS - 151.0% | |||||
| SENIOR SECURED FLOATING RATE LOAN INTERESTS - 119.5% of Net Assets*(a) | |||||
Aerospace & Defense - 4.6% | |||||
| 2,037,000 | American Airlines, Inc., 2017 Class B Term Loan, 3.603% (LIBOR + 200 bps), 4/28/23 | $1,976,739 | |||
| 1,217,289 | American Airlines, Inc., 2017 Class B Term Loan, 3.659% (LIBOR + 200 bps), 12/15/23 | 1,182,800 | |||
| 2,493,750 | Jazz Acquisition, Inc., First Lien Initial Term Loan, 6.19% (LIBOR + 425 bps), 6/19/26 | 2,475,047 | |||
| 1,000,000 | Kestrel Bidco, Inc. (aka WestJet Airlines), Term Loan, 4.653% (LIBOR + 300 bps), 12/11/26 | 966,500 | |||
| 2,492,500 | MRO Holdings, Inc., Initial Term Loan, 6.945% (LIBOR + 500 bps), 6/4/26 | 2,484,192 | |||
| 1,959,949 | Peraton Corp. (fka MHVC Acquisition Corp.), First Lien Initial Term Loan, 6.87% (LIBOR + 525 bps), 4/29/24 | 1,936,674 | |||
| 2,386,018 | WP CPP Holdings LLC, First Lien Initial Term Loan, 5.53% (LIBOR + 375 bps), 4/30/25 | 2,308,473 | |||
| Total Aerospace & Defense | $13,330,425 | ||||
Airlines - 0.5% | |||||
| 1,475,000 | Allegiant Travel Co., Replacement Term Loan, 4.707% (LIBOR + 300 bps), 2/5/24 | $1,408,625 | |||
| Total Airlines | $1,408,625 | ||||
Automobile - 5.3% | |||||
| 1,135,537 | American Axle & Manufacturing, Inc., Tranche B Term Loan, 3.88% (LIBOR + 225 bps), 4/6/24 | $1,112,472 | |||
| 1,581,701 | Commercial Vehicle Group, Inc., Initial Term Loan, 7.603% (LIBOR + 600 bps), 4/12/23 | 1,577,747 | |||
| 871,078 | Cooper-Standard Automotive, Inc., Additional Term B-1 Loan, 3.603% (LIBOR + 200 bps), 11/2/23 | 813,731 | |||
| 622,997 | CWGS Group LLC (aka Camping World, Inc.), Term Loan, 4.416% (LIBOR + 275 bps), 11/8/23 | 571,600 | |||
| 2,000,000 | Drive Chassis Holdco LLC, Second Lien Term B Loan, 10.588% (LIBOR + 825 bps), 4/10/26 | 1,860,000 | |||
| 272,286 | KAR Auction Services, Inc., Tranche B-6 Term Loan, 3.938% (LIBOR + 225 bps), 9/19/26 | 272,371 | |||
| 1,879,812 | Navistar, Inc., Tranche B Term Loan, 5.16% (LIBOR + 350 bps), 11/6/24 | 1,863,363 | |||
| 827,399 | Superior Industries International, Inc., Replacement Term Loan, 5.603% (LIBOR + 400 bps), 5/22/24 | 810,851 | |||
| 1,781,302 | Thor Industries, Inc., Initial USD Term Loan, 5.438% (LIBOR + 375 bps), 2/1/26 | 1,757,922 | |||
| 1,012,827 | TI Group Automotive Systems LLC, Initial US Term Loan, 4.103% (LIBOR + 250 bps), 6/30/22 | 1,003,542 | |||
| 3,142,499 | Trico Group LLC, First Lien Tranche B-2 Term Loan, 8.945% (LIBOR + 700 bps), 2/2/24 | 3,111,074 | |||
| 466,667 | Visteon Corp., New Term Loan, 3.355% (LIBOR + 175 bps), 3/25/24 | 463,459 | |||
| Total Automobile | $15,218,132 | ||||
Banking - 1.1% | |||||
| 1,496,250 | Azalea TopCo, Inc., First Lien Initial Term Loan, 5.103% (LIBOR + 350 bps), 7/24/26 | $1,487,522 | |||
| 490,716 | EWT Holdings III Corp. (fka WTG Holdings III Corp.), Refinancing 2020 First Lien Term Loan, 4.354% (LIBOR + 275 bps), 12/20/24 | 488,262 | |||
| 1,200,000 | Nouryon Finance BV (aka AkzoNobel), Initial Dollar Term Loan, 4.671% (LIBOR + 300 bps), 10/1/25 | 1,175,250 | |||
| Total Banking | $3,151,034 | ||||
Beverage, Food & Tobacco - 2.7% | |||||
| 598,500 | B&G Foods, Inc., Tranche B-4 Term Loan, 4.103% (LIBOR + 250 bps), 10/10/26 | $593,263 | |||
| 3,495,877 | Chobani LLC (Chobani Idaho LLC), First Lien New Term Loan, 5.103% (LIBOR + 350 bps), 10/10/23 | 3,457,639 | |||
| 1,300,000 | Froneri International, Ltd., First Lien Facility B2, 3.853% (LIBOR + 225 bps), 1/29/27 | 1,283,953 | |||
| 500,000 | Froneri International, Ltd., Second Lien Facility, 7.353% (LIBOR + 575 bps), 1/31/28 | 506,250 | |||
| 1,997,061 | JBS USA Lux SA (fka JBS USA LLC), New Term Loan, 3.603% (LIBOR + 200 bps), 5/1/26 | 1,970,860 | |||
| Total Beverage, Food & Tobacco | $7,811,965 | ||||
Broadcasting & Entertainment - 2.1% | |||||
| 1,500,000 | Creative Artists Agency LLC, Closing Date Term Loan, 5.353% (LIBOR + 375 bps), 11/27/26 | $1,495,312 | |||
| 728,809 | Gray Television, Inc., Term B-2 Loan, 3.912% (LIBOR + 225 bps), 2/7/24 | 721,521 | |||
| 467,304 | Gray Television, Inc., Term C Loan, 4.162% (LIBOR + 250 bps), 1/2/26 | 464,967 | |||
| 2,026,199 | Sinclair Television Group, Inc., Tranche B Term Loan, 3.86% (LIBOR + 225 bps), 1/3/24 | 2,003,404 | |||
| 1,496,250 | Sinclair Television Group, Inc., Tranche B-2b Term Loan, 4.16% (LIBOR + 250 bps), 9/30/26 | 1,485,028 | |||
| Total Broadcasting & Entertainment | $6,170,232 | ||||
Building Materials - 2.0% | |||||
| 808,289 | Circor International, Inc., New Term Loan, 4.908% (LIBOR + 325 bps), 12/11/24 | $806,773 | |||
| 2,500,000(b) | CPG International LLC (fka CPG International, Inc.), New Term Loan, 5/5/24 | 2,487,500 | |||
| 993,031 | Summit Materials LLC, New Term Loan, 3.603% (LIBOR + 200 bps), 11/21/24 | 989,722 | |||
| 1,462,500 | WKI Holding Co., Inc. (aka World Kitchen), Initial Term Loan, 5.587% (LIBOR + 400 bps), 5/1/24 | 1,460,672 | |||
| Total Building Materials | $5,744,667 | ||||
Buildings & Real Estate - 1.5% | |||||
| 2,234,915 | Beacon Roofing Supply, Inc., Initial Term Loan, 3.853% (LIBOR + 225 bps), 1/2/25 | $2,211,169 | |||
| 246,990 | Builders FirstSource, Inc., Refinancing Term Loan, 4.613% (LIBOR + 300 bps), 2/29/24 | 246,990 | |||
| 1,883,816 | WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 6.603% (LIBOR + 500 bps), 9/29/23 | 1,794,335 | |||
| Total Buildings & Real Estate | $4,252,494 | ||||
Business Services - 0.4% | |||||
| 1,142,920(b) | Gbt US LLC, Cov-Lite Term Loan, 2/26/27 | $1,121,491 | |||
| Total Business Services | $1,121,491 | ||||
Chemicals - 0.4% | |||||
| 340,000 | Innophos Holdings, Inc., Initial Term Loan, 5.421% (LIBOR + 375 bps), 2/5/27 | $337,875 | |||
| Principal Amount USD ($) | Value | ||||
| Chemicals - (continued) | |||||
| 997,500 | Tank Holding Corp., First Lien 2020 Refinancing Term Loan, 5.103% (LIBOR + 350 bps), 3/26/26 | $991,266 | |||
| Total Chemicals | $1,329,141 | ||||
Chemicals, Plastics & Rubber - 5.3% | |||||
| 943,270 | Berry Global, Inc. (fka Berry Plastics Corp.), Term W Loan, 3.671% (LIBOR + 200 bps), 10/1/22 | $932,658 | |||
| 1,962,443 | Core & Main LP, Initial Term Loan, 4.507% (LIBOR + 275 bps), 8/1/24 | 1,942,818 | |||
| 408,116 | Element Solutions, Inc. (Macdermid, Inc.), Tranche B-1 Term Loan, 3.603% (LIBOR + 200 bps), 1/31/26 | 402,505 | |||
| 1,990,000 | Hexion, Inc., USD Term Loan, 5.41% (LIBOR + 350 bps), 7/1/26 | 1,972,587 | |||
| 1,361,143 | Omnova Solutions, Inc., Term B-2 Loan, 4.853% (LIBOR + 325 bps), 8/25/23 | 1,347,531 | |||
| 549,862 | Orion Engineered Carbons GmbH, Initial Dollar Term Loan, 3.945% (LIBOR + 200 bps), 7/25/24 | 549,348 | |||
| 1,005,932 | PQ Corp., Third Amendment Tranche B-1 Term Loan, 4.027% (LIBOR + 225 bps), 2/7/27 | 1,005,723 | |||
| 1,984,447 | Reynolds Group Holdings, Inc., Incremental US Term Loan, 4.353% (LIBOR + 275 bps), 2/5/23 | 1,972,044 | |||
| 1,361,963 | Tata Chemicals North America, Term Loan, 4.438% (LIBOR + 275 bps), 8/7/20 | 1,361,963 | |||
| 1,610,951 | Tronox Finance LLC, First Lien Initial Dollar Term Loan, 4.495% (LIBOR + 275 bps), 9/23/24 | 1,574,704 | |||
| 1,320,234 | Twist Beauty International Holdings SA, Facility B2, 4.907% (LIBOR + 300 bps), 4/22/24 | 1,310,745 | |||
| 995,624 | Univar Solutions USA, Inc., Term B-3 Loan, 3.853% (LIBOR + 225 bps), 7/1/24 | 985,792 | |||
| Total Chemicals, Plastics & Rubber | $15,358,418 | ||||
Computers & Electronics - 3.9% | |||||
| 1,239,092 | Applied Systems, Inc., First Lien Closing Date Term Loan, 5.195% (LIBOR + 325 bps), 9/19/24 | $1,227,734 | |||
| 750,000 | Applied Systems, Inc., Second Lien Initial Term Loan, 8.945% (LIBOR + 700 bps), 9/19/25 | 768,750 | |||
| 1,228,125 | Chloe OX Parent LLC, Initial Term Loan, 6.445% (LIBOR + 450 bps), 12/23/24 | 1,220,449 | |||
| 1,769,118 | Energy Acquisition LP (aka Electrical Components International), First Lien Initial Term Loan, 6.195% (LIBOR + 425 bps), 6/26/25 | 1,660,207 | |||
| 496,212 | Iron Mountain Information Management LLC, Incremental Term B Loan, 3.353% (LIBOR + 175 bps), 1/2/26 | 485,978 | |||
| 997,500 | NCR Corp., Initial Term Loan, 4.11% (LIBOR + 250 bps), 8/28/26 | 998,279 | |||
| 2,200,000 | Pitney Bowes, Inc., Term Loan B, 7.16% (LIBOR + 550 bps), 1/17/25 | 2,182,125 | |||
| 230,000 | Presidio Holdings, Inc., Initial Term Loan, 5.28% (LIBOR + 350 bps), 1/22/27 | 227,125 | |||
| 1,928,571 | Ultra Clean Holdings, Inc., Term Loan B, 6.103% (LIBOR + 450 bps), 8/27/25 | 1,890,000 | |||
| 850,000(b) | VS Buyer LLC, Initial Term Loan, 2/28/27 | 845,750 | |||
| Total Computers & Electronics | $11,506,397 | ||||
Construction & Building - 0.4% | |||||
| 1,265,326 | Quikrete Holdings, Inc., First Lien Initial Term Loan, 4.103% (LIBOR + 250 bps), 2/1/27 | $1,265,063 | |||
| Total Construction & Building | $1,265,063 | ||||
Consumer Nondurables - 0.5% | |||||
| 1,500,000 | Sunshine Luxembourg VII S.a.r.l., Term Loan, 6.195% (LIBOR + 425 bps), 10/1/26 | $1,483,593 | |||
| Total Consumer Nondurables | $1,483,593 | ||||
Consumer Services - 1.1% | |||||
| 3,268,483 | Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), First Lien 2019 Refinancing Term B-1 Loan, 4.912% (LIBOR + 325 bps), 9/23/26 | $3,202,296 | |||
| Total Consumer Services | $3,202,296 | ||||
Containers, Packaging & Glass - 0.9% | |||||
| 1,254,673 | Plastipak Holdings, Inc., Tranche B Term Loan, 4.11% (LIBOR + 250 bps), 10/14/24 | $1,236,898 | |||
| 1,500,000 | Pregis TopCo LLC, First Lien Initial Term Loan, 5.603% (LIBOR + 400 bps), 7/31/26 | 1,489,687 | |||
| Total Containers, Packaging & Glass | $2,726,585 | ||||
Diversified & Conglomerate Manufacturing - 1.7% | |||||
| 870,846 | ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan, 4.853% (LIBOR + 325 bps), 7/27/23 | $870,482 | |||
| 1,854,092 | Garda World Security Corp., Initial Term Loan, 6.39% (LIBOR + 475 bps), 10/30/26 | 1,847,140 | |||
| 2,302,761 | Pelican Products, Inc., First Lien Term Loan, 5.159% (LIBOR + 350 bps), 5/1/25 | 2,233,678 | |||
| Total Diversified & Conglomerate Manufacturing | $4,951,300 | ||||
Diversified & Conglomerate Service - 11.9% | |||||
| 1,970,744 | Albany Molecular Research, Inc., First Lien Initial Term Loan, 4.853% (LIBOR + 325 bps), 8/30/24 | $1,940,361 | |||
| 1,000,000 | Albany Molecular Research, Inc., Second Lien Initial Term Loan, 8.603% (LIBOR + 700 bps), 8/30/25 | 995,625 | |||
| 1,542,173 | Alion Science and Technology Corp., First Lien Term Loan, 6.103% (LIBOR + 450 bps), 8/19/21 | 1,541,209 | |||
| 2,665,000 | Allied Universal Holdco LLC (f/k/a USAGM Holdco LLC), Initial Term Loan, 5.853% (LIBOR + 425 bps), 7/10/26 | 2,649,455 | |||
| 1,000,000 | AVSC Holding Corp. (aka PSAV, Inc.) 2019 First Lien Incremental Term Loan, 6.204% (LIBOR + 450 bps), 10/15/26 | 970,000 | |||
| 3,208,628 | AVSC Holding Corp. (aka PSAV, Inc.), First Lien Initial Term Loan, 4.932% (LIBOR + 325 bps), 3/3/25 | 3,112,369 | |||
| 2,143,235 | CB Poly Investments LLC, First Lien Closing Date Term Loan, 6.103% (LIBOR + 450 bps), 8/16/23 | 2,143,278 | |||
| 1,007,482 | DG Investment Intermediate Holdings 2, Inc. (aka Convergint Technologies Holdings LLC), First Lien Initial Term Loan, 4.603% (LIBOR + 300 bps), 2/3/25 | 982,295 | |||
| 1,940,076 | DTI Holdco, Inc., Replacement B-1 Term Loan, 6.527% (LIBOR + 475 bps), 9/29/23 | 1,822,459 | |||
| 1,135,625 | DynCorp International, Inc., Term Loan, 7.659% (LIBOR + 600 bps), 8/18/25 | 1,120,010 | |||
| 995,000 | Emerald 2, Ltd., First Lien Initial Term B-1 Loan, 5.695% (LIBOR + 375 bps), 7/10/26 | 998,421 | |||
| 788,871 | Filtration Group Corp., Initial Dollar Term Loan, 4.603% (LIBOR + 300 bps), 3/31/25 | 786,242 | |||
| 639,794 | Gates Global LLC, Initial B-2 Dollar Term Loan, 4.353% (LIBOR + 275 bps), 4/1/24 | 628,597 | |||
| 2,583,130 | GHX Ultimate Parent Corp., First Lien Initial Term Loan, 5.211% (LIBOR + 325 bps), 6/28/24 | 2,541,154 | |||
| Principal Amount USD ($) | Value | ||||
| Diversified & Conglomerate Service - (continued) | |||||
| 1,578,056 | Jaguar Holding Co. I LLC (fka Jaguar Holding Co. I) (aka Pharmaceutical Product Development LLC), 2018 Term Loan, 4.103% (LIBOR + 250 bps), 8/18/22 | $1,567,535 | |||
| 987,437 | Mitchell International, Inc., First Lien Initial Term Loan, 4.853% (LIBOR + 325 bps), 11/29/24 | 964,603 | |||
| 22,750 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), First Lien Initial Term C Loan, 5.61% (LIBOR + 400 bps), 3/9/26 | 22,832 | |||
| 408,913 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), First Lien Initial Term Loan, 5.61% (LIBOR + 400 bps), 3/9/26 | 410,383 | |||
| 192,345 | Sound Inpatient Physicians, Inc., First Lien Initial Term Loan, 4.353% (LIBOR + 275 bps), 6/27/25 | 192,345 | |||
| 1,000,000(b) | Sound Inpatient Physicians, Inc., Second Lien Initial Term Loan, 6/26/26 | 990,000 | |||
| 3,986,250 | Team Health Holdings, Inc., Initial Term Loan, 4.353% (LIBOR + 275 bps), 2/6/24 | 3,046,161 | |||
| 1,316,861 | Tempo Acquisition LLC, Initial Term Loan, 4.353% (LIBOR + 275 bps), 5/1/24 | 1,298,754 | |||
| 1,334,397 | West Corp., Incremental Term B-1 Loan, 5.103% (LIBOR + 350 bps), 10/10/24 | 1,050,838 | |||
| 2,409,965 | West Corp., Initial Term B Loan, 5.603% (LIBOR + 400 bps), 10/10/24 | 1,933,997 | |||
| 723,905 | WEX, Inc., Term B-3 Loan, 3.853% (LIBOR + 225 bps), 5/15/26 | 716,666 | |||
| Total Diversified & Conglomerate Service | $34,425,589 | ||||
Electric & Electrical - 1.1% | |||||
| 3,324,929 | Rackspace Hosting, Inc., First Lien Term B Loan, 4.763% (LIBOR + 300 bps), 11/3/23 | $3,154,527 | |||
| Total Electric & Electrical | $3,154,527 | ||||
Electronics - 2.9% | |||||
| 1,091,750 | Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), Initial Dollar Term Loan, 5.945% (LIBOR + 400 bps), 3/6/26 | $1,091,295 | |||
| 3,787,737 | Natel Engineering Co., Inc., Initial Term Loan, 6.603% (LIBOR + 500 bps), 4/30/26 | 3,513,126 | |||
| 1,279,110 | nThrive, Inc. (fka Precyse Acquisition Corp.), Additional Term B-2 Loan, 6.103% (LIBOR + 450 bps), 10/20/22 | 1,163,990 | |||
| 2,784,222 | Scientific Games International, Inc., Initial Term B-5 Loan, 4.366% (LIBOR + 275 bps), 8/14/24 | 2,719,489 | |||
| Total Electronics | $8,487,900 | ||||
Entertainment & Leisure - 1.0% | |||||
| 1,767,677 | Motion Acquisition, Ltd. Facility B1, 4.939% (LIBOR + 325 bps), 11/12/26 | $1,754,971 | |||
| 232,323 | Motion Acquisition, Ltd. Facility B2, 4.902% (LIBOR + 325 bps), 11/12/26 | 225,499 | |||
| 1,114,792 | Sabre GLBL, Inc. (fka Sabre, Inc.), 2018 Other Term B Loan, 3.603% (LIBOR + 200 bps), 2/22/24 | 1,073,916 | |||
| Total Entertainment & Leisure | $3,054,386 | ||||
Environmental Services - 1.3% | |||||
| 829,531 | Advanced Disposal Services, Inc. (fka ADS Waste Holdings, Inc.), Additional Term Loan, 3.833% (LIBOR + 225 bps), 11/10/23 | $829,358 | |||
| 2,032,883 | GFL Environmental, Inc., Effective Date Incremental Term Loan, 5.298% (LIBOR + 300 bps/PRIME + 200 bps), 5/30/25 | 2,000,865 | |||
| 835,000(b) | Terra Bidco BC, Ltd., Term Loan 12/30/99 | 837,088 | |||
| Total Environmental Services | $3,667,311 | ||||
Farming & Agriculture - 0.4% | |||||
| 1,159,267 | Dole Food Co., Inc., Tranche B Term Loan, 4.382% (LIBOR + 275 bps), 4/6/24 | $1,143,327 | |||
| Total Farming & Agriculture | $1,143,327 | ||||
Financial Services - 1.1% | |||||
| 1,446,043 | Baring Private Equity Asia VI Holding (2), Ltd., First Lien Initial Dollar Term Loan, 4.603% (LIBOR + 300 bps), 10/26/22 | $1,439,268 | |||
| 886,500 | Blackhawk Network Holdings, Inc., First Lien Term Loan, 4.603% (LIBOR + 300 bps), 6/15/25 | 879,575 | |||
| 905,288 | Everi Payments, Inc., Term B loan, 4.353% (LIBOR + 275 bps), 5/9/24 | 896,235 | |||
| Total Financial Services | $3,215,078 | ||||
Forest Products - 0.4% | |||||
| 1,321,028 | ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 5.21% (LIBOR + 350 bps), 11/20/23 | $1,268,187 | |||
| Total Forest Products | $1,268,187 | ||||
Gaming and Hotels - 0.2% | |||||
| 439,135 | PCI Gaming Authority, Term B Facility Loan, 4.103% (LIBOR + 250 bps), 5/29/26 | $437,352 | |||
| Total Gaming and Hotels | $437,352 | ||||
Healthcare - 2.1% | |||||
| 1,499,603 | Gentiva Health Services, Inc., First Lien Term B Loan, 4.875% (LIBOR + 325 bps), 7/2/25 | $1,490,231 | |||
| 442,616 | Horizon Therapeutics USA, Inc., Seventh Amendment Refinancing Term Loan, 3.938% (LIBOR + 225 bps), 5/22/26 | 444,737 | |||
| 1,000,000(b) | LGC, Ltd., Term Loan, 1/22/27 | 994,062 | |||
| 1,750,000 | Option Care Health, Inc., Term B Loan, 6.103% (LIBOR + 450 bps), 8/6/26 | 1,752,917 | |||
| 1,393,000 | Phoenix Guarantor, Inc. (aka Brightspring), First Lien Tranche B-1 Term Loan, 4.921% (LIBOR + 325 bps), 3/5/26 | 1,379,941 | |||
| Total Healthcare | $6,061,888 | ||||
Healthcare & Pharmaceuticals - 8.1% | |||||
| 1,425,104 | Acadia Healthcare Co., Inc., Tranche B-4 Term Loan, 4.103% (LIBOR + 250 bps), 2/16/23 | $1,414,416 | |||
| 630,238 | Agiliti Health, Inc., Initial Term Loan, 4.688% (LIBOR + 300 bps), 1/4/26 | 624,723 | |||
| 1,049,994 | Alkermes, Inc., 2023 Term Loan, 3.91% (LIBOR + 225 bps), 3/27/23 | 1,048,026 | |||
| 3,236,837 | Alphabet Holding Co., Inc. (aka Nature's Bounty), First Lien Initial Term Loan, 5.103% (LIBOR + 350 bps), 9/26/24 | 3,104,935 | |||
| 1,500,000 | Alphabet Holding Co., Inc. (aka Nature's Bounty), Second Lien Initial Term Loan, 9.353% (LIBOR + 775 bps), 9/26/25 | 1,341,000 | |||
| 500,000(b) | Auris Luxembourg III S.a.r.l., Facility B2, 2/27/26 | 471,250 | |||
| 1,995,000 | Curium BidCo S.a.r.l., Facility B, 5.945% (LIBOR + 400 bps), 7/9/26 | 1,992,506 | |||
| 2,567,192 | Endo Luxembourg Finance Company I S.a.r.l., Initial Term Loan, 5.875% (LIBOR + 425 bps), 4/29/24 | 2,468,784 | |||
| Principal Amount USD ($) | Value | ||||
| Healthcare & Pharmaceuticals - (continued) | |||||
| 1,500,000 | FC Compassus LLC, Initial Term Loan, 6.603% (LIBOR + 500 bps), 12/31/26 | $1,492,500 | |||
| 735,303 | Greatbatch, Ltd., New Term B Loan, 4.17% (LIBOR + 250 bps), 10/27/22 | 731,627 | |||
| 2,978,719 | Kindred Healthcare LLC, Closing Date Term Loan, 6.625% (LIBOR + 500 bps), 7/2/25 | 2,941,485 | |||
| 1,724,939 | NMN Holdings III Corp., First Lien Closing Date Term Loan, 5.353% (LIBOR + 375 bps), 11/13/25 | 1,699,065 | |||
| 2,245,000 | Sotera Health Holdings LLC, First Lien Initial Term Loan, 6.103% (LIBOR + 450 bps), 12/11/26 | 2,236,581 | |||
| 2,000,000 | Upstream Newco, Inc., First Lien Initial Term Loan, 6.103% (LIBOR + 450 bps), 11/20/26 | 2,000,000 | |||
| Total Healthcare & Pharmaceuticals | $23,566,898 | ||||
Healthcare, Education & Childcare - 5.9% | |||||
| 1,500,000 | Alliance HealthCare Services, Inc., Second Lien Initial Term Loan, 11.603% (LIBOR + 1,000 bps), 4/24/24 | $1,350,000 | |||
| 1,405,956 | ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 5.103% (LIBOR + 350 bps), 5/10/23 | 1,384,867 | |||
| 212,500 | Bausch Health Co., Inc. (fka Valeant Pharmaceuticals International, Inc.), First Incremental Term Loan, 4.409% (LIBOR + 275 bps), 11/27/25 | 212,832 | |||
| 2,211,263 | Bausch Health Co., Inc. (fka Valeant Pharmaceuticals International, Inc.), Initial Term Loan, 4.659% (LIBOR + 300 bps), 6/2/25 | 2,202,971 | |||
| 1,973,066 | KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare), Term B-3 Loan, 5.695% (LIBOR + 375 bps), 2/21/25 | 1,943,470 | |||
| 834,527 | Life Time Fitness, Inc., 2017 Refinancing Term Loan, 4.363% (LIBOR + 275 bps), 6/10/22 | 822,705 | |||
| 1,413,103 | LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.), First Lien Term B Loan, 5.353% (LIBOR + 375 bps), 11/16/25 | 1,413,103 | |||
| 1,941,193 | Quorum Health Corp., Term Loan, 8.527% (LIBOR + 675 bps), 4/29/22 | 1,921,781 | |||
| 2,783,998 | Select Medical Corp., Tranche B Term Loan, 4.58% (LIBOR + 250 bps), 3/6/25 | 2,752,678 | |||
| 1,995,000 | U.S. Renal Care, Inc., Initial Term Loan, 6.625% (LIBOR + 500 bps), 6/26/26 | 1,974,218 | |||
| 744,375 | Vizient, Inc., Term B-6 Loan, 3.603% (LIBOR + 200 bps), 5/6/26 | 746,820 | |||
| Total Healthcare, Education & Childcare | $16,725,445 | ||||
Hotel, Gaming & Leisure - 2.4% | |||||
| 1,240,431 | 1011778 B.C. Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-4 Loan, 3.353% (LIBOR + 175 bps), 11/19/26 | $1,227,241 | |||
| 1,404,039 | Boyd Gaming Corp., Refinancing Term B Loan, 3.829% (LIBOR + 225 bps), 9/15/23 | 1,390,876 | |||
| 2,236,060 | Caesars Resort Collection LLC (fka Caesars Growth Properties Holdings LLC), Term B Loan, 4.353% (LIBOR + 275 bps), 12/23/24 | 2,167,860 | |||
| 528,387 | Eldorado Resorts, Inc., Term Loan, 3.889% (LIBOR + 225 bps), 4/17/24 | 526,736 | |||
| 1,000,000 | Hanjin International Corp. (aka Wilshire Grand Center), Initial Term Loan, 4.103% (LIBOR + 250 bps), 10/19/20 | 995,000 | |||
| 445,500 | Penn National Gaming, Inc., Term B-1 Facility Loan, 3.853% (LIBOR + 225 bps), 10/15/25 | 441,936 | |||
| 436,356 | Stars Group Holdings BV, USD Term Loan, 5.445% (LIBOR + 350 bps), 7/10/25 | 435,060 | |||
| Total Hotel, Gaming & Leisure | $7,184,709 | ||||
Insurance - 4.5% | |||||
| 1,000,000(b) | Alliant Holdings Intermediate LLC, 2019 New Term Loan, 5/9/25 | $991,250 | |||
| 887,301 | Alliant Holdings Intermediate LLC, Initial Term Loan, 4.603% (LIBOR + 300 bps), 5/9/25 | 872,050 | |||
| 2,044,136 | Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 4.603% (LIBOR + 300 bps), 11/3/24 | 2,035,833 | |||
| 283,846 | Asurion LLC (fka Asurion Corp.), Replacement B-6 Term Loan, 4.603% (LIBOR + 300 bps), 11/3/23 | 282,604 | |||
| 675,000 | Asurion LLC (fka Asurion Corp.), Second Lien Replacement B-2 Term Loan, 8.103% (LIBOR + 650 bps), 8/4/25 | 678,375 | |||
| 2,299,881 | Confie Seguros Holding II Co., Term B Loan, 6.363% (LIBOR + 475 bps), 4/19/22 | 2,248,134 | |||
| 1,262,466 | Integro Parent, Inc., First Lien Initial Term Loan, 7.36% (LIBOR + 575 bps), 10/31/22 | 1,249,841 | |||
| 1,385,220 | MPH Acquisition Holdings LLC, Initial Term Loan, 4.695% (LIBOR + 275 bps), 6/7/23 | 1,335,006 | |||
| 1,741,250 | Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), 2019 Term Loan, 5.603% (LIBOR + 400 bps), 9/3/26 | 1,743,427 | |||
| 1,632,425 | USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 4.945% (LIBOR + 300 bps), 5/16/24 | 1,591,614 | |||
| Total Insurance | $13,028,134 | ||||
Leasing - 0.8% | |||||
| 989,501 | Hertz Corp., Tranche Term B-1 Loan, 4.36% (LIBOR + 275 bps), 6/30/23 | $985,378 | |||
| 1,473,750 | IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche B-1 Term Loan, 5.649% (LIBOR + 375 bps), 9/11/23 | 1,469,145 | |||
| Total Leasing | $2,454,523 | ||||
Leisure & Entertainment - 1.2% | |||||
| 1,483,734 | 24 Hour Fitness Worldwide, Inc., Term Loan, 5.103% (LIBOR + 350 bps), 5/30/25 | $1,094,254 | |||
| 1,109,001 | AMC Entertainment Holdings, Inc. (fka AMC Entertainment, Inc.), Term B-1 Loan, 4.61% (LIBOR + 300 bps), 4/22/26 | 1,082,663 | |||
| 292,500 | CityCenter Holdings LLC, Term B Loan, 3.853% (LIBOR + 225 bps), 4/18/24 | 289,575 | |||
| 928,057 | Fitness International LLC, Term B Loan, 4.853% (LIBOR + 325 bps), 4/18/25 | 921,097 | |||
| Total Leisure & Entertainment | $3,387,589 | ||||
Machinery - 3.2% | |||||
| 625,098 | Advanced Drainage Systems, Inc., Initial Term Loan, 3.938% (LIBOR + 225 bps), 7/31/26 | $625,098 | |||
| 429,503 | Blount International, Inc., New Refinancing Term Loan, 5.353% (LIBOR + 375 bps), 4/12/23 | 428,697 | |||
| 395,673 | Clark Equipment Co. (aka Doosan Bobcat, Inc.), Repriced 2019 Term Loan, 3.695% (LIBOR + 175 bps), 5/18/24 | 391,551 | |||
| 851,429 | CTC AcquiCo GmbH, Facility B2, 4.363% (LIBOR + 275 bps), 3/7/25 | 823,757 | |||
| 834,754 | Gardner Denver, Inc., 2020 GDI Tranche B-2 Dollar Term Loan, 3.353% (LIBOR + 175 bps), 3/1/27 | 827,189 | |||
| 1,250,000 | MHI Holdings LLC, Initial Term Loan, 6.603% (LIBOR + 500 bps), 9/21/26 | 1,242,969 | |||
| 1,071,801 | NN, Inc., Tranche B Term Loan, 6.853% (LIBOR + 525 bps), 10/19/22 | 1,045,006 | |||
| Principal Amount USD ($) | Value | ||||
| Machinery - (continued) | |||||
| 2,226,412 | Shape Technologies Group, Inc., Initial Term Loan, 4.806% (LIBOR + 300 bps), 4/21/25 | $2,053,865 | |||
| 813,667 | Terex Corp., Incremental US Term Loan, 3.603% (LIBOR + 200 bps), 1/31/24 | 810,616 | |||
| 1,035,865 | Welbilt, Inc. (fka Manitowoc Foodservice, Inc.), Term B Loan, 4.103% (LIBOR + 250 bps), 10/23/25 | 1,020,327 | |||
| Total Machinery | $9,269,075 | ||||
Media - 1.9% | |||||
| 678,237 | Cogeco Communications (USA) II LP, Term B Loan, 3.603% (LIBOR + 200 bps), 1/3/25 | $679,811 | |||
| 486,250 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), March 2017 Refinancing Term Loan, 3.909% (LIBOR + 225 bps), 7/17/25 | 480,172 | |||
| 311,403 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), October 2018 Incremental Term Loan, 3.909% (LIBOR + 225 bps), 1/15/26 | 308,674 | |||
| 498,750 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), September 2019 Initial Term Loan, 4.159% (LIBOR + 250 bps), 4/15/27 | 493,762 | |||
| 1,995,000 | Diamond Sports Group LLC, Term Loan, 4.88% (LIBOR + 325 bps), 8/24/26 | 1,812,956 | |||
| 1,844,222 | Quincy Media, Inc. (fka Quincy Newspapers, Inc.), Term Loan B, 4.631% (LIBOR + 300 bps/PRIME + 200 bps), 11/2/22 | 1,849,985 | |||
| Total Media | $5,625,360 | ||||
Metals & Mining - 4.8% | |||||
| 1,576,000 | Aleris International, Inc., Initial Term Loan, 6.353% (LIBOR + 475 bps), 2/27/23 | $1,574,030 | |||
| 975,000(b) | Arconic Rolled Products Corp., Term Loan B, 2/4/27 | 973,781 | |||
| 1,815,745 | Atkore International, Inc., First Lien Initial Incremental Term Loan, 4.7% (LIBOR + 275 bps), 12/22/23 | 1,803,261 | |||
| 1,556,576 | Big River Steel LLC, Closing Date Term Loan, 6.945% (LIBOR + 500 bps), 8/23/23 | 1,565,332 | |||
| 1,927,397 | BWay Holding Co., Initial Term Loan, 5.084% (LIBOR + 325 bps), 4/3/24 | 1,851,907 | |||
| 900,000 | Oxbow Carbon LLC, First Lien Tranche B Term Loan, 5.353% (LIBOR + 375 bps), 1/4/23 | 899,813 | |||
| 2,909,917 | Phoenix Services International LLC, Term B Loan, 5.389% (LIBOR + 375 bps), 3/1/25 | 2,804,433 | |||
| 752,597 | TMS International Corp. (aka Tube City IMS Corp.), Term B-2 Loan, 4.459% (LIBOR + 275 bps), 8/14/24 | 742,249 | |||
| 1,464,703 | Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), 2020 Term Loan, 3.853% (LIBOR + 225 bps), 1/24/27 | 1,454,634 | |||
| Total Metals & Mining | $13,669,440 | ||||
Oil & Gas - 5.1% | |||||
| 2,537,250 | BCP Raptor II LLC, Initial Term Loan, 6.353% (LIBOR + 475 bps), 11/3/25 | $2,241,237 | |||
| 544,500 | Centurion Pipeline Co. LLC (fka Lotus Midstream LLC), Initial Term Loan, 4.853% (LIBOR + 325 bps), 9/29/25 | 543,479 | |||
| 1,375,534 | Delek US Holdings, Inc., Initial Term Loan, 3.853% (LIBOR + 225 bps), 3/31/25 | 1,362,638 | |||
| 698,816 | Encino Acquisition Partners Holdings LLC, Second Lien Initial Term Loan, 8.353% (LIBOR + 675 bps), 10/29/25 | 478,689 | |||
| 997,738 | Gulf Finance LLC, Tranche B Term Loan, 7.019% (LIBOR + 525 bps), 8/25/23 | 751,629 | |||
| 617,188 | NorthRiver Midstream Finance LP, Initial Term B Loan, 5.159% (LIBOR + 325 bps), 10/1/25 | 607,930 | |||
| 2,473,462 | Prairie ECI Acquiror LP, Initial Term Loan, 6.695% (LIBOR + 475 bps), 3/11/26 | 2,378,646 | |||
| 1,645,659 | St. Joseph Energy Center LLC, Term B Loan Advance, 5.11% (LIBOR + 350 bps), 4/10/25 | 1,618,917 | |||
| 1,674,545 | Summit Midstream Partners Holdings LLC, Term Loan Credit Facility, 7.603% (LIBOR + 600 bps), 5/13/22 | 1,414,990 | |||
| 3,731,250 | Traverse Midstream Partners LLC, Advance Term Loan, 5.61% (LIBOR + 400 bps), 9/27/24 | 3,131,142 | |||
| Total Oil & Gas | $14,529,297 | ||||
Personal, Food & Miscellaneous Services - 2.4% | |||||
| 1,527,812 | IRB Holding Corp. (aka Arby's/Buffalo Wild Wings), 2020 Replacement Term B Loan, 4.379% (LIBOR + 275 bps), 2/5/25 | $1,497,893 | |||
| 2,007,237 | Knowlton Development Corp., Inc., Initial Term Loan, 5.353% (LIBOR + 375 bps), 12/22/25 | 1,997,201 | |||
| 1,510,526 | Parfums Holding Co., Inc., First Lien Initial Term Loan, 5.863% (LIBOR + 425 bps), 6/30/24 | 1,503,729 | |||
| 2,000,000 | Parfums Holding Co., Inc., Second Lien Initial Term Loan, 10.7% (LIBOR + 875 bps), 6/30/25 | 1,980,000 | |||
| Total Personal, Food & Miscellaneous Services | $6,978,823 | ||||
Printing & Publishing - 0.2% | |||||
| 549,911 | Trader Corp., First Lien 2017 Refinancing Term Loan, 4.603% (LIBOR + 300 bps), 9/28/23 | $544,069 | |||
| Total Printing & Publishing | $544,069 | ||||
Professional & Business Services - 5.5% | |||||
| 1,000,000 | AI Convoy (Luxembourg) S.a.r.l., Facility B, 5.34% (LIBOR + 350 bps), 1/18/27 | $993,125 | |||
| 2,500,000 | APi Group DE, Inc., Initial Term Loan, 4.103% (LIBOR + 250 bps), 10/1/26 | 2,487,500 | |||
| 500,000 | APX Group, Inc., Initial Loan, 6.704% (LIBOR + 500 bps), 12/31/25 | 492,813 | |||
| 1,488,750 | athenahealth, Inc., First Lien Term B Loan, 6.158% (LIBOR + 450 bps), 2/11/26 | 1,481,306 | |||
| 995,000 | Blackstone CQP Holdco LP, Initial Term Loan, 5.408% (LIBOR + 350 bps), 9/30/24 | 975,515 | |||
| 997,500 | Clear Channel Outdoor Holdings, Inc., Term B Loan, 5.103% (LIBOR + 350 bps), 8/21/26 | 987,109 | |||
| 1,496,250 | Ensemble RCM LLC, Closing Date Term Loan, 5.513% (LIBOR + 375 bps), 8/3/26 | 1,486,898 | |||
| 1,492,500 | MYOB US Borrower LLC, First Lien Initial US Term Loan, 5.603% (LIBOR + 400 bps), 5/6/26 | 1,487,836 | |||
| 2,019,692 | Pre-Paid Legal Services, Inc. (aka LegalShield), First Lien Initial Term Loan, 4.853% (LIBOR + 325 bps), 5/1/25 | 1,999,495 | |||
| 1,471,372 | SIWF Holdings, Inc. (aka Spring Window Fashions), First Lien Initial Term Loan, 5.853% (LIBOR + 425 bps), 6/15/25 | 1,458,497 | |||
| 350,000 | STG-Fairway Holdings LLC, First Lien Term Facility, 5.103% (LIBOR + 350 bps), 1/31/27 | 349,563 | |||
| 1,185,000 | Verscend Holding Corp., Term B Loan, 6.103% (LIBOR + 450 bps), 8/27/25 | 1,181,297 | |||
| 844,545 | Victory Capital Holdings, Inc., Tranche B-1 Term Loan, 4.155% (LIBOR + 250 bps), 7/1/26 | 841,378 | |||
| Total Professional & Business Services | $16,222,332 | ||||
| Principal Amount USD ($) | Value | ||||
Real Estate - 0.4% | |||||
| 1,185,000 | Cushman & Wakefield US Borrower LLC, Replacement Term Loan, 4.353% (LIBOR + 275 bps), 8/21/25 | $1,168,706 | |||
| Total Real Estate | $1,168,706 | ||||
Retail - 4.6% | |||||
| 3,474,949 | Bass Pro Group LLC, Initial Term Loan, 6.603% (LIBOR + 500 bps), 9/25/24 | $3,353,326 | |||
| 1,750,000 | Dealer Tire LLC, Term B-1 Loan, 5.853% (LIBOR + 425 bps), 12/12/25 | 1,739,063 | |||
| 2,427,430 | Global Appliance, Inc. (aka SharkNinja Operating LLC), Tranche B Term Loan, 5.61% (LIBOR + 400 bps), 9/29/24 | 2,403,156 | |||
| 1,104,704 | Men's Wearhouse, Inc., Tranche B-2 Term Loan, 4.905% (LIBOR + 325 bps), 4/9/25 | 767,770 | |||
| 1,224,349 | Michaels Stores, Inc., 2018 New Replacement Term B Loan, 4.106% (LIBOR + 250 bps), 1/30/23 | 1,118,749 | |||
| 1,167,933 | PetSmart, Inc., Amended Term Loan, 5.66% (LIBOR + 400 bps), 3/11/22 | 1,156,820 | |||
| 2,918,063 | Staples, Inc., 2019 Refinancing New Term B-2 Loan, 6.155% (LIBOR + 450 bps), 9/12/24 | 2,852,406 | |||
| Total Retail | $13,391,290 | ||||
Securities & Trusts - 2.5% | |||||
| 1,985,000 | KSBR Holding Corp., Initial Term Loan, 5.879% (LIBOR + 425 bps), 4/15/26 | $1,988,101 | |||
| 400,000 | LCPR Loan Financing LLC, Initial Term Loan, 6.659% (LIBOR + 500 bps), 10/15/26 | 402,000 | |||
| 1,485,000 | Pug LLC, USD Term B Loan, 5.168% (LIBOR + 350 bps), 2/12/27 | 1,421,888 | |||
| 1,857,143 | Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25 | 1,903,571 | |||
| 1,600,256 | Stonepeak Lonestar Holdings LLC, Initial Term Loan, 6.336% (LIBOR + 450 bps), 10/19/26 | 1,572,252 | |||
| Total Securities & Trusts | $7,287,812 | ||||
Telecommunications - 5.2% | |||||
| 2,000,000 | CenturyLink, Inc., Term B Loan, 3.853% (LIBOR + 225 bps), 3/15/27 | $1,955,000 | |||
| 2,783,410 | Commscope, Inc., Initial Term Loan, 4.853% (LIBOR + 325 bps), 4/6/26 | 2,765,980 | |||
| 1,571,095 | Frontier Communications Corp., Term B-1 Loan, 5.35% (LIBOR + 375 bps), 6/15/24 | 1,583,193 | |||
| 346,500 | Sprint Communications, Inc., 2019 Incremental Term Loan, 4.625% (LIBOR + 300 bps), 2/2/24 | 344,767 | |||
| 3,503,984 | Sprint Communications, Inc., Initial Term Loan, 4.125% (LIBOR + 250 bps), 2/2/24 | 3,484,274 | |||
| 1,117,713 | Virgin Media Bristol LLC, N Facility, 4.159% (LIBOR + 250 bps), 1/31/28 | 1,107,374 | |||
| 2,040,217 | Windstream Services LLC (fka Windstream Corp.), Tranche B-6 Term Loan, 9.75% (PRIME + 500 bps), 3/29/21 | 1,885,501 | |||
| 1,750,000 | Windstream Services LLC (fka Windstream Corp.), Tranche B-7 Term Loan, 9.0% (PRIME + 425 bps), 2/17/24 | 1,642,083 | |||
| Total Telecommunications | $14,768,172 | ||||
Textile & Apparel - 0.5% | |||||
| 1,492,500 | Adient US LLC, Initial Term Loan, 5.894% (LIBOR + 400 bps), 5/6/24 | $1,489,079 | |||
| Total Textile & Apparel | $1,489,079 | ||||
Transport - 0.2% | |||||
| 500,000(b) | Patriot Container Corp. (aka Wastequip), First Lien Closing Date Term Loan, 3/20/25 | $497,500 | |||
| Total Transport | $497,500 | ||||
Transportation - 1.3% | |||||
| 648,724 | Dynasty Acquisition Co., Inc., 2020 Term B-1 Loan, 5.213% (LIBOR + 350 bps), 4/6/26 | $636,831 | |||
| 348,776 | Dynasty Acquisition Co., Inc., 2020 Term B-2 Loan, 5.213% (LIBOR + 350 bps), 4/6/26 | 342,382 | |||
| 2,217,750 | Envision Healthcare Corp., Initial Term Loan, 5.353% (LIBOR + 375 bps), 10/10/25 | 1,789,447 | |||
| 249,844 | Syncreon Group BV, Second Out Term Loan, 7.603% (LIBOR + 600 bps), 4/1/25 | 204,872 | |||
| 1,147,125 | Travelport Finance (Luxembourg) S.a.r.l., First Lien Initial Term Loan, 6.945% (LIBOR + 500 bps), 5/29/26 | 893,802 | |||
| Total Transportation | $3,867,334 | ||||
Utilities - 2.0% | |||||
| 919,733 | APLP Holdings, Ltd. Partnership, Term Loan, 4.103% (LIBOR + 250 bps), 4/14/25 | $913,410 | |||
| 1,421,000 | Calpine Construction Finance Co. LP, Term B Loan, 3.603% (LIBOR + 200 bps), 1/15/25 | 1,405,013 | |||
| 681,457 | Compass Power Generation LLC, Tranche B-1 Term Loan, 5.103% (LIBOR + 350 bps), 12/20/24 | 673,791 | |||
| 2,159,596 | Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 5.353% (LIBOR + 375 bps), 10/2/25 | 2,136,650 | |||
| 994,975 | Edgewater Generation LLC, Term Loan, 5.353% (LIBOR + 375 bps), 12/13/25 | 966,784 | |||
| Total Utilities | $6,095,648 | ||||
| TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||||
(Cost $353,191,747) | $346,698,638 | ||||
| Shares | Value | ||||
| COMMON STOCKS - 0.1% of Net Assets | |||||
Specialty Retail - 0.1% | |||||
| 91,346+^(c) | Targus Cayman SubCo., Ltd. | $108,702 | |||
| Total Specialty Retail | $108,702 | ||||
Transportation Infrastructure - 0.0%† | |||||
| 9,505(c) | Syncreon Group | $99,208 | |||
| Total Transportation Infrastructure | $99,208 | ||||
| TOTAL COMMON STOCKS | |||||
(Cost $365,273) | $207,910 | ||||
| Principal Amount USD ($) | Value | ||||
| ASSET BACKED SECURITIES - 1.3% of Net Assets | |||||
| 1,000,000(a) | Assurant CLO IV, Ltd., Series 2019-1A, Class E, 8.819% (3 Month USD LIBOR + 700 bps), 4/20/30 (144A) | $977,938 | |||
| Principal Amount USD ($) | Value | ||||
| ASSET BACKED SECURITIES - (continued) | |||||
| 1,000,000(a) | Goldentree Loan Management US Clo 2, Ltd., Series 2017-2A, Class E, 6.519% (3 Month USD LIBOR + 470 bps), 11/28/30 (144A) | $905,189 | |||
| 1,000,000(a) | Madison Park Funding XXII, Ltd., Series 2016-22A, Class ER, 0.0% (3 Month USD LIBOR + 670 bps), 1/15/33 (144A) | 989,287 | |||
| 1,000,000(a) | Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class DRR, 8.704% (3 Month USD LIBOR + 700 bps), 2/14/31 (144A) | 962,235 | |||
| TOTAL ASSET BACKED SECURITIES | |||||
(Cost $3,929,201) | $3,834,649 | ||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - 2.0% of Net Assets | |||||
| 4,100,000(a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 10.911% (1 Month USD LIBOR + 925 bps), 11/25/39 (144A) | $4,814,065 | |||
| 760,000(a) | Freddie Mac Stacr Trust, Series 2019-HQA1, Class B2, 13.877% (1 Month USD LIBOR + 1,225 bps), 2/25/49 (144A) | 1,051,929 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||||
(Cost $4,860,000) | $5,865,994 | ||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.6% of Net Assets | |||||
| 250,000(a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 7.912% (1 Month USD LIBOR + 623 bps), 1/25/27 (144A) | $249,993 | |||
| 625,000(a) | Morgan Stanley Capital I Trust, Series 2019-BPR, Class D, 5.659% (1 Month USD LIBOR + 400 bps), 5/15/36 (144A) | 621,856 | |||
| 1,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.0%, 5/15/48 (144A) | 779,349 | |||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | |||||
(Cost $1,637,350) | $1,651,198 | ||||
| CORPORATE BONDS - 11.2% of Net Assets | |||||
Advertising - 0.4% | |||||
| 1,250,000 | MDC Partners, Inc., 6.5%, 5/1/24 (144A) | $1,140,625 | |||
| Total Advertising | $1,140,625 | ||||
Aerospace & Defense - 0.3% | |||||
| 1,000,000 | Bombardier, Inc., 6.0%, 10/15/22 (144A) | $980,000 | |||
| Total Aerospace & Defense | �� | $980,000 | |||
Banks - 0.2% | |||||
| 690,000(d)(e) | BNP Paribas SA, 7.625% (5 Year USD Swap Rate + 631 bps) (144A) | $715,013 | |||
| Total Banks | $715,013 | ||||
Chemicals - 0.7% | |||||
| 1,000,000 | OCI NV, 6.625%, 4/15/23 (144A) | $1,036,000 | |||
| 758,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A) | 727,680 | |||
| Total Chemicals | $1,763,680 | ||||
Coal - 0.6% | |||||
| 2,000,000 | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A) | $1,800,000 | |||
| Total Coal | $1,800,000 | ||||
Commercial Services - 1.2% | |||||
| 2,495,000 | Garda World Security Corp., 4.625%, 2/15/27 (144A) | $2,463,812 | |||
| 1,000,000 | Sotheby's, 7.375%, 10/15/27 (144A) | 997,500 | |||
| Total Commercial Services | $3,461,312 | ||||
Distribution/Wholesale - 0.3% | |||||
| 845,000 | Wolverine Escrow LLC, 8.5%, 11/15/24 (144A) | $824,044 | |||
| Total Distribution/Wholesale | $824,044 | ||||
Diversified Financial Services - 1.0% | |||||
| 1,700,000 | Avation Capital SA, 6.5%, 5/15/21 (144A) | $1,690,140 | |||
| 1,000,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/26 (144A) | 1,083,020 | |||
| Total Diversified Financial Services | $2,773,160 | ||||
Entertainment - 0.6% | |||||
| 1,500,000 | Enterprise Development Authority, 12.0%, 7/15/24 (144A) | $1,717,500 | |||
| Total Entertainment | $1,717,500 | ||||
Environmental Control - 0.3% | |||||
| 1,000,000 | Tervita Corp., 7.625%, 12/1/21 (144A) | $1,010,000 | |||
| Total Environmental Control | $1,010,000 | ||||
Forest Products & Paper - 0.6% | |||||
| 1,515,000 | Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A) | $1,624,838 | |||
| Total Forest Products & Paper | $1,624,838 | ||||
Holding Companies-Diversified - 0.5% | |||||
| 1,520,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A) | $1,421,200 | |||
| Total Holding Companies-Diversified | $1,421,200 | ||||
Home Builders - 0.4% | |||||
| 1,000,000 | Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.875%, 4/15/23 (144A) | $1,070,000 | |||
| Total Home Builders | $1,070,000 | ||||
Media - 0.4% | |||||
| 1,500,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A) | $1,209,975 | |||
| Total Media | $1,209,975 | ||||
Mining - 0.3% | |||||
| 1,000,000 | Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A) | $966,250 | |||
| Total Mining | $966,250 | ||||
Oil & Gas - 0.3% | |||||
| 245,000 | Gulfport Energy Corp., 6.625%, 5/1/23 | $128,012 | |||
| Principal Amount USD ($) | Value | ||||
| Oil & Gas - (continued) | |||||
| 1,000,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | $943,270 | |||
| Total Oil & Gas | $1,071,282 | ||||
Oil & Gas Services - 0.6% | |||||
| 2,500,000 | FTS International, Inc., 6.25%, 5/1/22 | $1,660,940 | |||
| Total Oil & Gas Services | $1,660,940 | ||||
Pharmaceuticals - 0.4% | |||||
| 1,000,000 | Bausch Health Cos., Inc., 5.5%, 11/1/25 (144A) | $1,029,580 | |||
| Total Pharmaceuticals | $1,029,580 | ||||
REITs - 0.0%† | |||||
| 65,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A) | $67,002 | |||
| Total REITs | $67,002 | ||||
Retail - 0.4% | |||||
| 1,250,000 | Michaels Stores, Inc., 8.0%, 7/15/27 (144A) | $1,042,000 | |||
| Total Retail | $1,042,000 | ||||
Telecommunications - 1.1% | |||||
| 1,000,000 | Frontier Communications Corp., 8.5%, 4/1/26 (144A) | $1,012,500 | |||
| 1,000,000 | Frontier Communications Corp., 11.0%, 9/15/25 | 457,500 | |||
| 2,000,000(f) | Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/25 (144A) | 1,821,660 | |||
| Total Telecommunications | $3,291,660 | ||||
Transportation - 0.6% | |||||
| 1,000,000(a) | Golar LNG Partners LP, 6.083% (3 Month USD LIBOR + 440 bps), 5/22/20 | $990,000 | |||
| 800,000(a) | Golar LNG Partners LP, 7.942% (3 Month USD LIBOR + 625 bps), 5/18/21 (144A) | 760,278 | |||
| Total Transportation | $1,750,278 | ||||
| TOTAL CORPORATE BONDS | |||||
(Cost $33,503,153) | $32,390,339 | ||||
| INSURANCE-LINKED SECURITIES - 1.7% of Net Assets(g) | |||||
| Event-linked Bonds - 0.3% | |||||
| Earthquakes - California - 0.2% | |||||
| 250,000(a) | Ursa Re, 4.767% (3 Month U.S. Treasury Bill + 350 bps), 5/27/20 (144A) | $248,900 | |||
| 250,000(a) | Ursa Re, 7.017% (3 Month U.S. Treasury Bill + 575 bps), 12/10/22 (144A) | 249,500 | |||
| $498,400 | |||||
| Multiperil - U.S. - 0.1% | |||||
| 400,000(a) | Kilimanjaro II Re, 7.909% (6 Month USD LIBOR + 630 bps), 4/20/21 (144A) | $401,400 | |||
| Total Event-linked Bonds | $899,800 | ||||
| Face Amount USD ($) | Value | ||||
Collateralized Reinsurance - 0.3% | |||||
| Multiperil - U.S. Regional - 0.1% | |||||
| 250,000+(c)(h) | Ocean View Re 2019, 6/30/20 | $254,094 | |||
| Multiperil - Worldwide - 0.2% | |||||
| 307,363+(c)(h) | Kilarney Re 2018, 4/15/20 | $155,157 | |||
| 242,000+(c)(h) | Limestone Re 2019-2, 3/1/23 (144A) | 250,857 | |||
| 300,000+(c)(h) | Resilience Re, 4/6/20 | 30 | |||
| $406,044 | |||||
| Windstorm - Florida - 0.0%† | |||||
| 250,000+(c)(h) | Formby Re 2018, 2/28/21 | $47,130 | |||
| Total Collateralized Reinsurance | $707,268 | ||||
Reinsurance Sidecars - 1.1% | |||||
| Multiperil - U.S. - 0.0%† | |||||
| 250,000+(c)(h) | Carnoustie Re 2016, 11/30/20 | $6,750 | |||
| 250,000+(c)(h) | Carnoustie Re 2017, 11/30/21 | 33,963 | |||
| 250,000+(c)(i) | Harambee Re 2018, 12/31/21 | 16,250 | |||
| 250,000+(i) | Harambee Re 2019, 12/31/22 | 18,000 | |||
| $74,963 | |||||
| Multiperil - Worldwide - 1.1% | |||||
| 3,037+(c)(h) | Alturas Re 2019-2, 3/10/22 | $26,460 | |||
| 246,000+(c)(h) | Alturas Re 2020-2, 3/10/23 | 248,780 | |||
| 250,000+(c)(h) | Bantry Re 2016, 3/31/21 | 20,150 | |||
| 1,270,809+(c)(h) | Berwick Re 2018-1, 12/31/21 | 154,657 | |||
| 907,913+(c)(h) | Berwick Re 2019-1, 12/31/22 | 968,393 | |||
| 20,000+(c)(h) | Eden Re II, 3/22/22 (144A) | 26,731 | |||
| 3,800+(c)(h) | Eden Re II, 3/22/23 (144A) | 31,985 | |||
| 250,000+(h) | Gleneagles Re 2016, 11/30/20 | 7,800 | |||
| 8,000+(h) | Limestone Re 2018, 3/1/22 | 17,541 | |||
| 300,000+(c)(i) | Lorenz Re 2018, 7/1/21 | 30,450 | |||
| 199,590+(c)(i) | Lorenz Re 2019, 6/30/22 | 178,034 | |||
| 300,000+(c)(h) | Merion Re 2018-2, 12/31/21 | 320,700 | |||
| 400,000+(h) | Pangaea Re 2016-1, 11/30/20 | 888 | |||
| 400,000+(c)(h) | Pangaea Re 2017-1, 11/30/21 | 6,440 | |||
| 400,000+(c)(h) | Pangaea Re 2018-1, 12/31/21 | 23,520 | |||
| 400,000+(c)(h) | Pangaea Re 2018-3, 7/1/22 | 8,297 | |||
| 327,699+(c)(h) | Pangaea Re 2019-1, 2/1/23 | 6,828 | |||
| 294,125+(c)(h) | Pangaea Re 2019-3, 7/1/23 | 295,810 | |||
| Face Amount USD ($) | Value | ||||
| Multiperil - Worldwide - (continued) | |||||
| 324,259+(c)(h) | Pangaea Re 2020-1, 2/1/24 | $328,640 | |||
| 150,000+(c)(h) | Sector Re V, Series 8, Class C, 12/1/23 (144A) | 107,149 | |||
| 100,000+(c)(h) | Sector Re V, Series 9, Class D, 12/1/24 (144A) | 103,472 | |||
| 400,000+(c)(h) | St. Andrews Re 2017-1, 2/1/21 | 27,120 | |||
| 347,597+(c)(h) | St. Andrews Re 2017-4, 6/1/20 | 34,204 | |||
| 253,645+(c)(h) | Woburn Re 2018, 12/31/21 | 50,780 | |||
| 244,914+(c)(h) | Woburn Re 2019, 12/31/22 | 253,364 | |||
| $3,278,193 | |||||
| Total Reinsurance Sidecars | $3,353,156 | ||||
| TOTAL INSURANCE-LINKED SECURITIES | |||||
(Cost $5,513,368) | $4,960,224 | ||||
| Principal Amount USD ($) | Value | ||||
| U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 9.8% of Net Assets | |||||
| 6,500,000(j) | U.S. Treasury Bills, 3/3/20 | $6,499,736 | |||
| 5,000,000(j) | U.S. Treasury Bills, 3/10/20 | 4,998,415 | |||
| 9,000,000(j) | U.S. Treasury Bills, 3/17/20 | 8,994,486 | |||
| 3,000,000(j) | U.S. Treasury Bills, 3/24/20 | 2,997,362 | |||
| 5,000,000(a) | U.S. Treasury Floating Rate Note, 1.665% (3 Month U.S. Treasury Bill Money Market Yield + 15 bps), 1/31/22 | 4,998,934 | |||
| TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||
(Cost $28,493,635) | $28,488,933 | ||||
| Shares | Value | ||||
| INVESTMENT COMPANIES - 2.0% of Net Assets | |||||
| 40,000 | BlackRock Floating Rate Income Strategies Fund, Inc. | $500,400 | |||
| 30,000 | Eaton Vance Floating-Rate Income Trust | 388,200 | |||
| 50,000 | First Trust Senior Floating Rate Income Fund II | 589,000 | |||
| 37,155 | Invesco Senior Income Trust | 149,735 | |||
| 137,800 | Invesco Senior Loan ETF (formerly, PowerShares Senior Loan Portfolio) | 3,030,222 | |||
| 15,500 | iShares iBoxx High Yield Corporate Bond ETF | 1,333,620 | |||
| TOTAL INVESTMENT COMPANIES | |||||
(Cost $6,315,002) | $5,991,177 | ||||
| Principal Amount USD ($) | Value | ||||
| TEMPORARY CASH INVESTMENTS - 2.8% of Net Assets | |||||
| REPURCHASE AGREEMENTS - 2.8% | |||||
| 4,000,000 | $4,000,000 RBC Capital Markets LLC, 1.61%, dated 2/29/20 plus accrued interest on 3/2/20 collateralized by the following: $2,550,253 Federal National Mortgage Association, 3.5%, 8/1/44 - 10/1/49, $1,530,295 Government National Mortgage Association, 3.5%, 11/20/49. | $4,000,000 | |||
| 2,000,000 | $2,000,000 ScotiaBank, 1.59%, dated 2/29/20 plus accrued interest on 3/2/20 collateralized by the following: $1,531,009 Freddie Mac Giant, 5.0%, 5/1/49 - 6/1/49, $514,315 U.S. Treasury Notes, 2.25%, 8/15/46. | 2,000,000 | |||
| 1,000,000 | $1,000,000 TD Securities USA LLC, 1.59%, dated 2/29/20 plus accrued interest on 3/2/20 collateralized by $1,020,017 U.S. Treasury Notes, 2.25%, 11/15/27. | 1,000,000 | |||
| 1,000,000 | $1,000,000 TD Securities USA LLC, 1.61%, dated 2/29/20 plus accrued interest on 3/2/20 collateralized by $1,020,000 Federal National Mortgage Association, 3.50%, 8/1/49. | 1,000,000 | |||
| $8,000,000 | |||||
| TOTAL TEMPORARY CASH INVESTMENTS | |||||
(Cost $8,000,000) | $8,000,000 | ||||
| TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 151.0% | |||||
(Cost $445,808,729) | $438,089,062 | ||||
| OTHER ASSETS AND LIABILITIES - (51.0)% | $(147,942,873) | ||||
| NET ASSETS - 100.0% | $290,146,189 | ||||
bps | Basis Points. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
LIBOR | London Interbank Offered Rate. |
PRIME | U.S. Federal Funds Rate. |
REIT | Real Estate Investment Trust. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At February 29, 2020, the value of these securities amounted to $41,925,722, or 14.4% of net assets. |
† | Amount rounds to less than 0.1%. |
* | Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at February 29, 2020. |
+ | Security that used significant unobservable inputs to determine its value. |
^ | Security is valued using fair value methods (other than supplied by independent pricing services). |
(a) | Floating rate note. Coupon rate, reference index and spread shown at February 29, 2020. |
(b) | This term loan will settle after February 29, 2020, at which time the interest rate will be determined. |
(c) | Non-income producing security. |
(d) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at February 29, 2020. |
(e) | Security is perpetual in nature and has no stated maturity date. |
(f) | Security is in default. |
(g) | Securities are restricted as to resale. |
(h) | Issued as participation notes. |
(i) | Issued as preference shares. |
(j) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
| SWAP CONTRACTS | |||||||
| CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | |||||||
Notional Amount ($)(1) | Reference Obligation/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | Market Value |
4,187,700 | Markit CDX North America High Yield Index | Receive | 5.00% | 12/20/24 | $ (16,867) | $266,038 | $249,171 |
1,001,000 | Markit CDX North America High Yield Index Series 24 | Receive | 5.00% | 6/20/20 | 53,459 | (43,140) | 10,319 |
1,036,950 | Markit CDX North America High Yield Index Series 25 | Receive | 5.00% | 12/20/20 | 57,504 | (38,952) | 18,552 |
10,074,400 | Markit CDX North America High Yield Index Series 32 | Receive | 5.00% | 6/20/24 | 618,736 | 40,141 | 658,877 |
| TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | $712,832 | $224,087 | $936,919 | ||||
| TOTAL SWAP CONTRACTS | $712,832 | $224,087 | $936,919 | ||||
(1) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
(2) | Receives quarterly. |
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below. | ||||||||||||||||
| Level 1 - 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 risks, etc.). | ||||||||||||||||
| Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments). | ||||||||||||||||
The following is a summary of the inputs used as of February 29, 2020, in valuing the Trust's investments: | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Senior Secured Floating Rate Loan Interests | $ | – | $ | 346,698,638 | $ | – | $ | 346,698,638 | ||||||||
Common Stocks | ||||||||||||||||
| Specialty Retail | – | – | 108,702 | 108,702 | ||||||||||||
| Transportation Infrastructure | – | 99,208 | – | 99,208 | ||||||||||||
Asset Backed Securities | – | 3,834,649 | – | 3,834,649 | ||||||||||||
Collateralized Mortgage Obligations | – | 5,865,994 | – | 5,865,994 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 1,651,198 | – | 1,651,198 | ||||||||||||
Corporate Bonds | – | 32,390,339 | – | 32,390,339 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
| Collateralized Reinsurance | ||||||||||||||||
| Multiperil - U.S. Regional | – | – | 254,094 | 254,094 | ||||||||||||
| Multiperil - Worldwide | – | – | 406,044 | 406,044 | ||||||||||||
| Windstorm - Florida | – | – | 47,130 | 47,130 | ||||||||||||
| Reinsurance Sidecars | ||||||||||||||||
| Multiperil - U.S. | – | – | 74,963 | 74,963 | ||||||||||||
| Multiperil - Worldwide | – | – | 3,278,193 | 3,278,193 | ||||||||||||
| All Other Insurance-Linked Securities | – | 899,800 | – | 899,800 | ||||||||||||
U.S. Government and Agency Obligations | – | 28,488,933 | – | 28,488,933 | ||||||||||||
Investment Companies | 5,991,177 | – | – | 5,991,177 | ||||||||||||
Repurchase Agreements | – | 8,000,000 | – | 8,000,000 | ||||||||||||
| Total Investments in Securities | $ | 5,991,177 | $ | 427,928,759 | $ | 4,169,126 | $ | 438,089,062 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Swap contracts, at value | $ | – | $ | 936,919 | $ | – | $ | 936,919 | ||||||||
| Total Other Financial Instruments | $ | – | $ | 936,919 | $ | – | $ | 936,919 | ||||||||
| Balance as of 11/30/19 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Purchases | Sales | Accrued discounts/ premiums | Balance as of 2/29/20 | ||||||||||||||||||||||
| Common Stocks | ||||||||||||||||||||||||||||
Health Care Technology | $ | 2,096 | $ | 312,342 | $ | – | $ | – | $ | (314,438 | ) | $ | – | $ | – | |||||||||||||
Specialty Retail | 108,702 | – | – | – | – | – | 108,702 | |||||||||||||||||||||
Insurance-Linked Securities Collateralized | ||||||||||||||||||||||||||||
| Reinsurance | ||||||||||||||||||||||||||||
Multiperil - U.S. Regional | 248,379 | – | 5,715 | – | – | – | 254,094 | |||||||||||||||||||||
Multiperil - Worldwide | 397,211 | – | 8,833 | – | – | – | 406,044 | |||||||||||||||||||||
Windstorm - Florida | 79,929 | – | (1,912 | ) | – | (30,887 | ) | – | 47,130 | |||||||||||||||||||
Reinsurance Sidecars | ||||||||||||||||||||||||||||
Multiperil - U.S. | 386,450 | – | (261,163 | ) | – | (50,324 | ) | – | 74,963 | |||||||||||||||||||
Multiperil - Worldwide | 3,710,611 | – | 50,047 | 670,259 | (1,152,724 | ) | – | 3,278,193 | ||||||||||||||||||||
| Total | $ | 4,933,378 | $ | 312,342 | $ | (198,480 | ) | $ | 670,259 | $ | (1,548,373 | ) | $ | – | $ | 4,169,126 | ||||||||||||
| * Transfers are calculated on the beginning of period values. For the three months ended February 29, 2020, there were no transfers between Levels 1, 2 and 3. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at February 29, 2020: $(196,568). |
