Pioneer Floating Rate Trust | ||
| Schedule of Investments | February 28, 2021 | ||
Ticker Symbol: PHD | ||
Schedule of Investments | 2/28/2021 (unaudited)
| Principal Amount USD ($) | Value | ||||||
| UNAFFILIATED ISSUERS - 148.7% | |||||||
| SENIOR SECURED FLOATING RATE LOAN INTERESTS - 123.8% of Net Assets*(a) | |||||||
Aerospace & Defense - 5.1% | |||||||
| 662,075 | Delta Air Lines, Inc., Term Loan, 5.75% (LIBOR + 475 bps), 4/29/23 | $ | 668,541 | ||||
| 258,473 | JetBlue Airways Corp., Term Loan, 6.25% (LIBOR + 525 bps), 6/17/24 | 267,269 | |||||
| 773,063 | MAG DS Corp., Initial Term Loan, 6.5% (LIBOR + 550 bps), 4/1/27 | 759,534 | |||||
| 1,250,000 | Mileage Plus Holdings LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan, 6.25% (LIBOR + 525 bps), 6/21/27 | 1,337,735 | |||||
| 1,220,614 | MRO Holdings, Inc., Initial Term Loan, 5.254% (LIBOR + 500 bps), 6/4/26 | 1,159,583 | |||||
| 637,669 | (b) | Peraton Corp., Cov-Lite Delayed Draw Term Loan, 2/1/28 | 640,857 | ||||
| 362,331 | (b) | Peraton Corp., First Lien Term B Loan, 2/1/28 | 364,143 | ||||
| 700,000 | Spirit Aerosystems, Inc. (fka Mid-Western Aircraft Systems, Inc & Onex Wind Finance LP.), Initial Term Loan, 6.0% (LIBOR + 525 bps), 1/15/25 | 707,000 | |||||
| 1,556,805 | WP CPP Holdings LLC, First Lien Initial Term Loan, 4.75% (LIBOR + 375 bps), 4/30/25 | 1,503,095 | |||||
| Total Aerospace & Defense | $ | 7,407,757 | |||||
Airlines - 2.7% | |||||||
| 1,283,943 | Allegiant Travel Co., Replacement Term Loan, 3.198% (LIBOR + 300 bps), 2/5/24 | $ | 1,277,523 | ||||
| 1,170,000 | Grupo Aeromexico, SAB de CV, DIP Tranche 1 Term Loan, 9.0% (LIBOR + 800 bps), 12/31/21 | 1,191,937 | |||||
| 1,033,333 | Highline Aftermarket Acquisition LLC, First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 11/9/27 | 1,038,500 | |||||
| 340,000 | SkyMiles IP, Ltd. (Delta Air Lines, Inc.), Initial Term Loan, 4.75% (LIBOR + 375 bps), 10/20/27 | 359,945 | |||||
| Total Airlines | $ | 3,867,905 | |||||
All Other - 0.7% | |||||||
| 1,000,000 | (b) | Adevinta ASA Facility B2, Term Loan, 10/22/27 | $ | 1,008,542 | |||
| Total All Other | $ | 1,008,542 | |||||
Automobile - 5.5% | |||||||
| 1,776,272 | American Axle & Manufacturing, Inc., Tranche B Term Loan, 3.0% (LIBOR + 225 bps), 4/6/24 | $ | 1,778,493 | ||||
| 1,503,707 | Commercial Vehicle Group, Inc., Initial Term Loan, 7.0% (LIBOR + 600 bps), 4/12/23 | 1,486,790 | |||||
| 1,000,000 | Drive Chassis Holdco LLC, Second Lien Term B Loan, 8.484% (LIBOR + 825 bps), 4/10/26 | 1,016,667 | |||||
| 1,496,384 | IXS Holdings, Inc., Initial Term Loan, 5.0% (LIBOR + 425 bps), 3/5/27 | 1,509,477 | |||||
| 1,217,749 | Navistar, Inc., Tranche B Term Loan, 3.62% (LIBOR + 350 bps), 11/6/24 | 1,220,793 | |||||
| 750,000 | RVR Dealership Holdings LLC, Term Loan, 6.25% (PRIME + 300 bps), 2/8/28 | 749,063 | |||||
| 5,801 | Thor Industries, Inc., Initial USD Term Loan, 3.875% (LIBOR + 375 bps), 2/1/26 | 5,828 | |||||
| 210,908 | Wabash National Corp., Initial Term Loan, 4.0% (LIBOR + 325 bps), 9/28/27 | 211,171 | |||||
| Total Automobile | $ | 7,978,282 | |||||
Banking - 0.4% | |||||||
| 500,000 | Azalea TopCo, Inc., First Lien 2020 Incremental Term Loan, 4.75% (LIBOR + 400 bps), 7/24/26 | $ | 504,375 | ||||
| 24,227 | Nouryon Finance BV (aka AkzoNobel), Initial Dollar Term Loan, 3.111% (LIBOR + 300 bps), 10/1/25 | 24,199 | |||||
| Total Banking | $ | 528,574 | |||||
Building Materials - 1.8% | |||||||
| 763,083 | CPG International LLC (fka CPG International, Inc.), New Term Loan, 3.25% (LIBOR + 250 bps), 5/5/24 | $ | 766,230 | ||||
| 253,435 | (b) | Foundation Building Materials, Inc., First Lien Initial Term Loan, 1/31/28 | 253,316 | ||||
| 146,565 | (b) | Foundation Building Materials, Inc., First Lien Sailor Term Loan, 1/31/28 | 146,496 | ||||
| 1,447,500 | WKI Holding Co., Inc. (aka World Kitchen), Initial Term Loan, 5.0% (LIBOR + 400 bps), 5/1/24 | 1,451,119 | |||||
| Total Building Materials | $ | 2,617,161 | |||||
Buildings & Real Estate - 2.1% | |||||||
| 1,484,772 | Ply Gem Midco, Inc., Initial Term Loan, 3.86% (LIBOR + 375 bps), 4/12/25 | $ | 1,489,720 | ||||
| 1,510,069 | WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 6.0% (LIBOR + 500 bps), 9/29/23 | 1,478,924 | |||||
| Total Buildings & Real Estate | $ | 2,968,644 | |||||
Chemicals - 1.7% | |||||||
| 500,000 | CPC Acquisition Corp., First Lien Initial Term Loan, 4.5% (LIBOR + 375 bps), 12/29/27 | $ | 501,250 | ||||
| 710,254 | Graham Packaging Co., Inc. Initial Term Loan (2021), 3.75% (LIBOR + 300 bps), 8/4/27 | 712,676 | |||||
| 300,000 | INEOS Styrolution Group GmbH, 2026 Tranche B Dollar Term Loan, 3.25% (LIBOR + 275 bps), 1/29/26 | 300,723 | |||||
| 997,500 | Plaze, Inc., 2020-1 Term Loan, 5.25% (LIBOR + 425 bps), 8/3/26 | 997,916 | |||||
| Total Chemicals | $ | 2,512,565 | |||||
Chemicals, Plastics & Rubber - 1.9% | |||||||
| 750,000 | Avantor Funding, Inc., Incremental B-4 Dollar Term Loan, 3.5% (LIBOR + 250 bps), 11/8/27 | $ | 755,273 | ||||
| 1,000,000 | Gemini HDPE LLC, 2027 Advance Term Loan, 3.5% (LIBOR + 300 bps), 12/31/27 | 999,062 | |||||
| 1,035,307 | Hexion, Inc., USD Term Loan, 3.74% (LIBOR + 350 bps), 7/1/26 | 1,032,719 | |||||
| Total Chemicals, Plastics & Rubber | $ | 2,787,054 | |||||
Computers & Electronics - 8.5% | |||||||
| 1,135,000 | Ahead DB Holdings LLC, First Lien Initial Term Loan, 6.0% (LIBOR + 500 bps), 10/18/27 | $ | 1,147,769 | ||||
| 984,704 | Applied Systems, Inc., Second Lien Initial Term Loan, 8.0% (LIBOR + 700 bps), 9/19/25 | 994,551 | |||||
| 1,311,855 | Cornerstone OnDemand, Inc. Term Loan, 4.361% (LIBOR + 425 bps), 4/22/27 | 1,321,858 | |||||
| 1,751,158 | Energy Acquisition LP (aka Electrical Components International), First Lien Initial Term Loan, 4.365% (LIBOR + 425 bps), 6/26/25 | 1,719,782 | |||||
| 1,250,000 | LogMeIn, Inc., First Lien Initial Term Loan, 4.874% (LIBOR + 475 bps), 8/31/27 | 1,252,214 | |||||
| 600,000 | (b) | Nielsen Consumer LLC, Term Loan, 2/5/28 | 601,687 | ||||
| 1,591,343 | Pitney Bowes, Inc., Incremental Tranche B Term Loan, 5.62% (LIBOR + 550 bps), 1/7/25 | 1,592,338 | |||||
| 2,205,447 | Signify Health LLC, Initial Term Loan, 5.5% (LIBOR + 450 bps), 12/23/24 | 2,213,717 | |||||
| 1,446,333 | Ultra Clean Holdings, Inc., Term B Loan, 4.615% (LIBOR + 450 bps), 8/27/25 | 1,449,949 | |||||
| Total Computers & Electronics | $ | 12,293,865 | |||||
| Principal Amount USD ($) | Value | ||||||
Construction & Building - 0.9% | |||||||
| 1,000,000 | CP Atlas Buyer, Inc. (aka American Bath), Term B Loan, 4.25% (LIBOR + 375 bps), 11/23/27 | $ | 1,001,042 | ||||
| 284,247 | Pike Corp., 2028 Initial Term Loan, 3.12% (LIBOR + 300 bps), 1/21/28 | 285,003 | |||||
| Total Construction & Building | $ | 1,286,045 | |||||
Consumer Nondurables - 0.5% | |||||||
| 784,091 | Sunshine Luxembourg VII S.a.r.l., Facility B1, 5.0% (LIBOR + 400 bps), 10/1/26 | $ | 788,072 | ||||
| Total Consumer Nondurables | $ | 788,072 | |||||
Consumer Services - 1.3% | |||||||
| 1,826,872 | Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), First Lien 2021 Refinancing Term B-1 Loan, 3.5% (LIBOR + 275 bps), 9/23/26 | $ | 1,830,982 | ||||
| Total Consumer Services | $ | 1,830,982 | |||||
Containers, Packaging & Glass - 0.6% | |||||||
| 795,341 | Pregis TopCo LLC, First Lien Initial Term Loan, 3.865% (LIBOR + 375 bps), 7/31/26 | $ | 797,661 | ||||
| Total Containers, Packaging & Glass | $ | 797,661 | |||||
Diversified & Conglomerate Manufacturing - 2.1% | |||||||
| 1,964,719 | Garda World Security Corp., Initial Term Loan, 4.99% (LIBOR + 475 bps), 10/30/26 | $ | 1,972,906 | ||||
| 1,000,049 | Pelican Products, Inc., First Lien Term Loan, 4.5% (LIBOR + 350 bps), 5/1/25 | 993,174 | |||||
| Total Diversified & Conglomerate Manufacturing | $ | 2,966,080 | |||||
Diversified & Conglomerate Service - 9.8% | |||||||
| 1,141,150 | Alion Science and Technology Corp., First Lien Replacement Term Loan, 3.5% (LIBOR + 275 bps), 7/23/24 | $ | 1,147,569 | ||||
| 1,991,274 | CB Poly Investments LLC, First Lien Closing Date Term Loan, 5.5% (LIBOR + 450 bps), 8/16/23 | 1,926,558 | |||||
| 997,228 | DG Investment Intermediate Holdings 2, Inc. (aka Convergint Technologies Holdings LLC), First Lien Initial Term Loan, 3.75% (LIBOR + 300 bps), 2/3/25 | 994,319 | |||||
| 2,261,459 | DTI Holdco, Inc., Replacement B-1 Term Loan, 5.75% (LIBOR + 475 bps), 9/29/23 | 2,161,308 | |||||
| 1,522,416 | First Brands Group LLC, First Lien Tranche B-3 Term Loan, 8.5% (LIBOR + 750 bps), 2/2/24 | 1,554,292 | |||||
| 1,153,115 | Gates Global LLC, Initial B-3 Dollar Term Loan, 3.5% (LIBOR + 275 bps), 3/31/27 | 1,154,920 | |||||
| 952,642 | Intrado Corp., Initial Term B Loan, 5.0% (LIBOR + 400 bps), 10/10/24 | 940,287 | |||||
| 500,000 | (b) | Ozark Holdings LLC (aka Royal Oak), 2020 Refinancing Term Loan, 12/16/27 | 502,917 | ||||
| 3,945,260 | Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24 | 3,696,488 | |||||
| Total Diversified & Conglomerate Service | $ | 14,078,658 | |||||
Electric & Electrical - 0.7% | |||||||
| 1,050,000 | Rackspace Technology Global, Inc., First Lien 2021 Term B Loan, 3.5% (LIBOR + 275 bps), 2/15/28 | $ | 1,051,378 | ||||
| Total Electric & Electrical | $ | 1,051,378 | |||||
Electronics - 2.9% | |||||||
| 2,307,003 | Natel Engineering Co., Inc., Initial Term Loan, 6.0% (LIBOR + 500 bps), 4/30/26 | $ | 2,206,071 | ||||
| 2,021,282 | Scientific Games International, Inc., Initial Term B-5 Loan, 2.865% (LIBOR + 275 bps), 8/14/24 | 1,992,016 | |||||
| Total Electronics | $ | 4,198,087 | |||||
Entertainment - 0.5% | |||||||
| 660,000 | (b) | Enterprise Development Authority, Term Loan B, 2/18/28 | $ | 664,950 | |||
| Total Entertainment | $ | 664,950 | |||||
Entertainment & Leisure - 0.8% | |||||||
| 1,100,000 | (b) | Great American Outdoors Group LLC, Term Loan B, 2/25/28 | $ | 1,104,466 | |||
| Total Entertainment & Leisure | $ | 1,104,466 | |||||
Finance - 1.0% | |||||||
| 1,500,000 | (b) | EFS Cogen Holdings I LLC, Advance Term B Loan, 10/1/27 | $ | 1,504,687 | |||
| Total Finance | $ | 1,504,687 | |||||
Financial Services - 1.2% | |||||||
| 655,075 | Cardtronics USA, Inc., Initial Term Loan, 5.0% (LIBOR + 400 bps), 6/29/27 | $ | 657,736 | ||||
| 1,016,067 | Everi Payments, Inc., Term B Loan, 3.5% (LIBOR + 275 bps), 5/9/24 | 1,011,621 | |||||
| 99,500 | Everi Payments, Inc., Term Loan, 11.5% (LIBOR + 1,050 bps), 5/9/24 | 104,475 | |||||
| Total Financial Services | $ | 1,773,832 | |||||
Forest Products - 2.8% | |||||||
| 1,745,625 | Chobani LLC, 2020 New Term Loan, 4.5% (LIBOR + 350 bps), 10/25/27 | $ | 1,758,172 | ||||
| 1,310,814 | ProAmpac PG Borrower LLC, First Lien 2020-1 Term Loan, 5.0% (LIBOR + 400 bps), 11/3/25 | 1,314,296 | |||||
| 1,000,000 | (b) | Schweitzer-Mauduit International, Inc., Term Loan B, 1/27/28 | 1,000,000 | ||||
| Total Forest Products | $ | 4,072,468 | |||||
Healthcare - 3.1% | |||||||
| 1,000,000 | (b) | ADMI Corp. (aka Aspen Dental), Amendment, No. 4 Refinancing Term Loan, 12/23/27 | $ | 998,047 | |||
| 879,118 | Milano Acquisition Corp., First Lien Term B Loan, 4.75% (LIBOR + 400 bps), 10/1/27 | 877,652 | |||||
| 1,000,000 | Option Care Health, Inc., Term B Loan, 3.865% (LIBOR + 375 bps), 8/6/26 | 1,002,500 | |||||
| 1,600,000 | Sotera Health Holdings LLC, Refinancing, First Lien Term Loan, 3.25% (LIBOR + 275 bps), 12/11/26 | 1,603,333 | |||||
| Total Healthcare | $ | 4,481,532 | |||||
Healthcare & Pharmaceuticals - 6.3% | |||||||
| 2,051,122 | Endo Luxembourg Finance Co. I S.a.r.l., Initial Term Loan, 5.0% (LIBOR + 425 bps), 4/29/24 | $ | 2,047,918 | ||||
| 1,485,000 | FC Compassus LLC, Term B-1 Loan, 5.0% (LIBOR + 425 bps), 12/31/26 | 1,494,281 | |||||
| 1,567,031 | Kindred Healthcare LLC, Closing Date Term Loan, 4.625% (LIBOR + 450 bps), 7/2/25 | 1,572,907 | |||||
| 1,262,455 | NMN Holdings III Corp., First Lien Closing Date Term Loan, 3.615% (LIBOR + 350 bps), 11/13/25 | 1,257,721 | |||||
| 218,069 | NMN Holdings III Corp., First Lien Delayed Draw Term Loan, 3.615% (LIBOR + 350 bps), 11/13/25 | 217,251 | |||||
| 250,000 | PetVet Care Centers LLC (fka Pearl Intermediate Parent LLC), 2021 First Lien Replacement Term Loan, 4.25% (LIBOR + 350 bps), 2/14/25 | 250,703 | |||||
| 1,481,269 | Upstream Newco, Inc., First Lien Initial Term Loan, 4.615% (LIBOR + 450 bps), 11/20/26 | 1,444,237 | |||||
| Principal Amount USD ($) | Value | ||||||
| Healthcare & Pharmaceuticals - (continued) | |||||||
| 750,000 | US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.), Initial Term Loan, 6.25% (LIBOR + 550 bps), 12/15/27 | $ | 757,266 | ||||
| Total Healthcare & Pharmaceuticals | $ | 9,042,284 | |||||
Healthcare, Education & Childcare - 4.9% | |||||||
| 11,964 | Alliance HealthCare Services, Inc., Second Lien Initial Term Loan, 12.0% (LIBOR + 1,100 bps), 4/24/24 | $ | 5,444 | ||||
| 1,536,259 | ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 4.5% (LIBOR + 350 bps), 5/10/23 | 1,537,538 | |||||
| 1,091,729 | KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare), Term B-3 Loan, 4.75% (LIBOR + 375 bps), 2/21/25 | 1,063,298 | |||||
| 1,805,211 | Quorum Health Corp., Exit Term Loan, 9.25% (LIBOR + 825 bps), 4/29/25 | 1,844,135 | |||||
| 535,950 | Surgery Center Holdings, Inc., 2020 Incremental Term Loan, 9.0% (LIBOR + 800 bps), 9/3/24 | 551,359 | |||||
| 2,075,438 | U.S. Renal Care, Inc., Initial Term Loan, 5.125% (LIBOR + 500 bps), 6/26/26 | 2,074,141 | |||||
| Total Healthcare, Education & Childcare | $ | 7,075,915 | |||||
Home Furnishings - 0.4% | |||||||
| 500,000 | (b) | Weber-Stephen Products LLC, Initial Term B Loan, 10/30/27 | $ | 502,902 | |||
| Total Home Furnishings | $ | 502,902 | |||||
Hotel, Gaming & Leisure - 3.8% | |||||||
| 2,114,988 | Caesars Resort Collection LLC, Term B Loan, 2.865% (LIBOR + 275 bps), 12/23/24 | $ | 2,098,392 | ||||
| 1,097,250 | Caesars Resort Collection LLC, Term B-1 Loan, 4.615% (LIBOR + 450 bps), 7/21/25 | 1,102,051 | |||||
| 18,875 | Golden Nugget Online Gaming, Inc., 2020 Initial Term Loan, 13.0% (LIBOR + 1,200 bps), 10/4/23 | 21,942 | |||||
| 2,211,085 | Golden Nugget, Inc. (aka Landry's, Inc.), Initial Term B Loan, 3.25% (LIBOR + 250 bps), 10/4/23 | 2,193,257 | |||||
| Total Hotel, Gaming & Leisure | $ | 5,415,642 | |||||
Insurance - 4.0% | |||||||
| 516,556 | Alliant Holdings Intermediate LLC, 2019 New Term Loan, 3.365% (LIBOR + 325 bps), 5/9/25 | $ | 513,876 | ||||
| 522,375 | AqGen Ascensus, Inc., First Lien Seventh Amendment Replacement Term Loan, 5.0% (LIBOR + 400 bps), 12/3/26 | 525,705 | |||||
| 500,000 | (b) | Asurion LLC (fka Asurion Corp.), New B-9 Term Loan, 7/31/27 | 498,875 | ||||
| 1,590,930 | Confie Seguros Holding II Co., Term B Loan, 5.75% (LIBOR + 475 bps), 4/19/22 | 1,573,529 | |||||
| 1,243,241 | Integro Parent, Inc., First Lien Initial Term Loan, 6.75% (LIBOR + 575 bps), 10/31/22 | 1,212,160 | |||||
| 1,246,875 | Navicure, Inc., First Lien 2020 Incremental Term Loan, 4.75% (LIBOR + 400 bps), 10/22/26 | 1,253,109 | |||||
| 248,750 | Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), 2020 Term Loan, 5.25% (LIBOR + 425 bps), 9/3/26 | 250,927 | |||||
| Total Insurance | $ | 5,828,181 | |||||
Leasing - 1.1% | |||||||
| 1,530,625 | Fly Funding II S.a.r.l., Term B Loan, 7.0% (LIBOR + 600 bps), 10/8/25 | $ | 1,534,452 | ||||
| Total Leasing | $ | 1,534,452 | |||||
Leisure & Entertainment - 2.2% | |||||||
| 1,068,987 | AMC Entertainment Holdings, Inc. (fka AMC Entertainment, Inc.), Term B-1 Loan, 3.23% (LIBOR + 300 bps/PRIME + 200 bps), 4/22/26 | $ | 916,657 | ||||
| 1,641,750 | Carnival Corp., Initial Advance, 8.5% (LIBOR + 750 bps), 6/30/25 | 1,703,316 | |||||
| 500,000 | (b) | E.W. Scripps Co., Tranche B-3 Term Loan, 1/7/28 | 501,562 | ||||
| Total Leisure & Entertainment | $ | 3,121,535 | |||||
Machinery - 1.5% | |||||||
| 762,584 | Blount International, Inc., New Refinancing Term Loan, 4.75% (LIBOR + 375 bps), 4/12/23 | $ | 764,014 | ||||
| 1,237,499 | MHI Holdings LLC, Initial Term Loan, 5.115% (LIBOR + 500 bps), 9/21/26 | 1,247,554 | |||||
| 97,196 | NN, Inc., Tranche B Term Loan, 6.5% (LIBOR + 575 bps), 10/19/22 | 97,165 | |||||
| Total Machinery | $ | 2,108,733 | |||||
Media - 1.4% | |||||||
| 1,972,152 | Altice France SA, USD TLB-13 Incremental Term Loan, 4.198% (LIBOR + 400 bps), 8/14/26 | $ | 1,976,836 | ||||
| Total Media | $ | 1,976,836 | |||||
Metals & Mining - 2.4% | |||||||
| 884,680 | Atkore International, Inc., First Lien Initial Incremental Term Loan, 3.75% (LIBOR + 275 bps), 12/22/23 | $ | 889,288 | ||||
| 1,517,840 | Phoenix Services International LLC, Term B Loan, 4.75% (LIBOR + 375 bps), 3/1/25 | 1,515,943 | |||||
| 11,160 | TMS International Corp. (aka Tube City IMS Corp.), Term B-2 Loan, 3.75% (LIBOR + 275 bps), 8/14/24 | 11,174 | |||||
| 1,000,000 | TMS International Corp., Term Loan B3, 3.75% (LIBOR + 275 bps), 8/14/24 | 1,001,250 | |||||
| Total Metals & Mining | $ | 3,417,655 | |||||
Oil & Gas - 2.7% | |||||||
| 1,609,222 | +(b) | Summit Midstream Partners Holdings LLC, Term Loan Credit Facility (LIBOR + 600 bps), 5/13/22 | $ | 362,075 | |||
| 3,552,554 | Traverse Midstream Partners LLC, Advance, 6.5% (LIBOR + 550 bps), 9/27/24 | 3,531,458 | |||||
| Total Oil & Gas | $ | 3,893,533 | |||||
Personal, Food & Miscellaneous Services - 2.1% | |||||||
| 1,334,447 | IRB Holding Corp. (aka Arby's/Buffalo Wild Wings), 2020 Replacement Term B Loan, 3.75% (Libor + 275 bps), 2/5/25 | $ | 1,335,178 | ||||
| 989,507 | Knowlton Development Corp., Inc., Initial Term Loan, 3.865% (LIBOR + 375 bps), 12/22/25 | 986,260 | |||||
| 750,000 | Kronos Acquisition Holdings Inc., Tranche B-1 Term Loan, 4.25% (LIBOR + 375 bps), 12/22/26 | 749,906 | |||||
| Total Personal, Food & Miscellaneous Services | $ | 3,071,344 | |||||
Printing & Publishing - 0.3% | |||||||
| 454,779 | Trader Corp., First Lien 2017 Refinancing Term Loan, 4.0% (LIBOR + 300 bps), 9/28/23 | $ | 457,622 | ||||
| Total Printing & Publishing | $ | 457,622 | |||||
Professional & Business Services - 10.3% | |||||||
| 1,800,000 | Amentum Government Services Holdings LLC, First Lien Tranche 2 Term Loan, 5.5% (LIBOR + 475 bps), 1/29/27 | $ | 1,822,500 | ||||
| Principal Amount USD ($) | Value | ||||||
| Professional & Business Services - (continued) | |||||||
| 1,488,750 | APX Group, Inc., Initial Loan, 5.116% (LIBOR + 500 bps/PRIME + 400 bps), 12/31/25 | $ | 1,496,061 | ||||
| 1,532,052 | Athenahealth, Inc., First Lien Term B-1 Loan, 4.453% (LIBOR + 425 bps), 2/11/26 | 1,543,543 | |||||
| 985,000 | Blackstone CQP Holdco LP, Initial Term Loan, 3.736% (LIBOR + 350 bps), 9/30/24 | 986,847 | |||||
| 2,102,140 | Clear Channel Outdoor Holdings, Inc., Term B Loan, 3.711% (LIBOR + 350 bps), 8/21/26 | 2,049,150 | |||||
| 500,000 | (b) | eResearch Technology, Inc., First Lien Initial Term Loan, 2/4/27 | 502,947 | ||||
| 333,333 | First Advantage Holdings LLC, First Lien Term B-1 Loan, 3.123% (LIBOR + 300 bps), 1/31/27 | 332,917 | |||||
| 1,050,000 | PAE Incorporated, First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 10/19/27 | 1,058,367 | |||||
| 104,167 | PPD, Inc., Initial Term Loan, 2.75% (LIBOR + 225 bps), 1/13/28 | 104,655 | |||||
| 1,133,915 | SIWF Holdings, Inc. (aka Spring Window Fashions), First Lien Initial Term Loan, 4.365% (LIBOR + 425 bps), 6/15/25 | 1,132,781 | |||||
| 1,915,396 | Verscend Holding Corp., Term B Loan, 4.615% (LIBOR + 450 bps), 8/27/25 | 1,926,170 | |||||
| 1,915,396 | (b) | Verscend Holding Corp., Term Loan B, 8/27/25 | 1,929,761 | ||||
| Total Professional & Business Services | $ | 14,885,699 | |||||
Retail - 7.2% | |||||||
| 939,459 | Bass Pro Group LLC, Initial Term Loan, 5.75% (LIBOR + 500 bps), 9/25/24 | $ | 942,787 | ||||
| 972,563 | Harbor Freight Tools USA, Inc., Initial Term Loan, 4.0% (LIBOR + 325 bps), 10/19/27 | 978,033 | |||||
| 1,500,000 | Mattress Firm, Inc. Term Loan, 6.25% (LIBOR + 525 bps), 11/26/27 | 1,530,000 | |||||
| 1,137,607 | Michaels Stores, Inc., 2020 Refinancing Term B Loan, 4.25% (LIBOR + 350 bps), 10/1/27 | 1,140,024 | |||||
| 500,000 | (b) | Petco Animal Supplies, Inc., Term Loan B, 2/25/28 | 500,313 | ||||
| 1,050,000 | PetSmart LLC, Initial Term Loan, 4.5% (LIBOR + 375 bps), 2/11/28 | 1,058,694 | |||||
| 500,000 | Rent-A-Center, Inc., Initial Term Loan, 4.75 (LIBOR + 400 bps), 3/17/21 | 504,375 | |||||
| 788,060 | (b) | Service Logic Acquisition, Inc., First Lien Closing Date Initial Term Loan, 10/29/27 | 794,463 | ||||
| 204,478 | (b) | Service Logic Acquisition, Inc., First Lien Delayed Draw Term Loan, 10/29/27 | 206,139 | ||||
| 2,132,501 | Staples, Inc., 2019 Refinancing New Term B-2 Loan, 4.705% (LIBOR + 450 bps), 9/12/24 | 2,111,709 | |||||
| 650,000 | TruGreen LP, First Lien Second Refinancing Term Loan, 4.75% (LIBOR + 400 bps), 11/2/27 | 655,687 | |||||
| Total Retail | $ | 10,422,224 | |||||
Securities & Trusts - 2.5% | |||||||
| 1,510,403 | KSBR Holding Corp., Initial Term Loan, 3.365% (LIBOR + 325 bps), 4/15/26 | $ | 1,513,243 | ||||
| 1,861,004 | Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25 | 1,921,486 | |||||
| 138,996 | Spectacle Gary Holdings LLC, Delayed Draw Term Loan, 11.0% (LIBOR + 900 bps/PRIME + 800), 12/23/25 | 143,514 | |||||
| Total Securities & Trusts | $ | 3,578,243 | |||||
Telecommunications - 3.3% | |||||||
| 798,000 | Consolidated Communications, Inc., Initial Term Loan, 5.75% (LIBOR + 475 bps), 10/2/27 | $ | 804,650 | ||||
| 675,000 | Frontier Communications Corp., Initial Term Loan, 5.75% (LIBOR + 475 bps), 10/8/21 | 681,750 | |||||
| 500,000 | (b) | Virgin Media Bristol LLC, Term Q Loan, 1/31/29 | 501,289 | ||||
| 795,994 | Windstream Services II LLC, Initial Term Loan, 7.25% (LIBOR + 625 bps), 9/21/27 | 799,974 | |||||
| 1,993,466 | Xplornet Communications, Inc., Initial Term Loan, 4.865% (LIBOR + 475 bps), 6/10/27 | 2,007,795 | |||||
| Total Telecommunications | $ | 4,795,458 | |||||
Textile & Apparel - 1.2% | |||||||
| 1,309,560 | Adient US LLC, Initial Term Loan, 4.384% (LIBOR + 425 bps), 5/6/24 | $ | 1,307,923 | ||||
| 350,000 | Canada Goose, Inc., 2020 Refinancing Term Loan, 5.0% (LIBOR + 425 bps), 10/7/27 | 352,625 | |||||
| Total Textile & Apparel | $ | 1,660,548 | |||||
Transport - 0.8% | |||||||
| 1,115,128 | Patriot Container Corp. (aka Wastequip), First Lien Closing Date Term Loan, 4.5% (LIBOR + 350 bps), 3/20/25 | $ | 1,113,734 | ||||
| Total Transport | $ | 1,113,734 | |||||
Transportation - 0.7% | |||||||
| 1,180,279 | Envision Healthcare Corp., Initial Term Loan, 3.865% (LIBOR + 375 bps), 10/10/25 | $ | 1,018,833 | ||||
| Total Transportation | $ | 1,018,833 | |||||
Utilities - 6.1% | |||||||
| 1,149,313 | Compass Power Generation LLC, Tranche B-1 Term Loan, 4.5% (LIBOR + 350 bps), 12/20/24 | $ | 1,148,595 | ||||
| 1,929,719 | Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 4.75% (LIBOR + 375 bps), 10/2/25 | 1,831,855 | |||||
| 1,946,408 | Edgewater Generation LLC, Term Loan, 3.865% (LIBOR + 375 bps), 12/13/25 | 1,939,870 | |||||
| 1,250,000 | (b) | Exgen Renewables IV LLC, Term Loan, 12/15/27 | 1,258,594 | ||||
| 995,000 | Hamilton Projects Acquiror LLC, Term Loan, 5.75% (LIBOR + 475 bps), 6/17/27 | 1,005,448 | |||||
| 1,447,725 | PG&E Corp., Term Loan, 3.5% (LIBOR + 300 bps), 6/23/25 | 1,455,567 | |||||
| 215,753 | Pike Corp., 2028 Delayed Draw Term Loan, 0.0%, 1/15/28 | 216,327 | |||||
| Total Utilities | $ | 8,856,256 | |||||
| TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||||||
| (Cost $175,195,560) | $ | 178,346,876 | |||||
| Shares | Value | ||||||
| COMMON STOCKS - 1.0% of Net Assets | |||||||
Energy Equipment & Services - 0.9% | |||||||
| 72,091 | (c) | FTS International, Inc. | $ | 1,380,542 | |||
| Total Energy Equipment & Services | $ | 1,380,542 | |||||
Specialty Retail - 0.1% | |||||||
| 91,346 | +^(c) | Targus Cayman SubCo., Ltd. | $ | 120,577 | |||
| Total Specialty Retail | $ | 120,577 | |||||
| TOTAL COMMON STOCKS | |||||||
| (Cost $2,065,469) | $ | 1,501,119 | |||||
| Principal Amount USD ($) | Value | ||||||
| ASSET BACKED SECURITIES - 2.7% of Net Assets | |||||||
| 1,000,000 | (a) | 522 Funding CLO, Ltd., Series 2019-4A, Class E, 7.224% (3 Month USD LIBOR + 700 bps), 4/20/30 (144A) | $ | 981,201 | |||
| 1,000,000 | (a) | Goldentree Loan Management US CLO 2, Ltd., Series 2017-2A, Class E, 4.924% (3 Month USD LIBOR + 470 bps), 11/28/30 (144A) | 927,684 | ||||
| 1,000,000 | (a) | Madison Park Funding XXII, Ltd., Series 2016-22A, Class ER, 6.941% (3 Month USD LIBOR + 670 bps), 1/15/33 (144A) | 999,925 | ||||
| 1,000,000 | (a) | Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class DRR, 7.194% (3 Month USD LIBOR + 700 bps), 2/14/31 (144A) | 1,000,434 | ||||
| TOTAL ASSET BACKED SECURITIES | |||||||
| (Cost $3,937,580) | $ | 3,909,244 | |||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - 3.5% of Net Assets | |||||||
| 4,100,000 | (a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 9.38% (1 Month USD LIBOR + 925 bps), 11/25/39 (144A) | $ | 4,141,065 | |||
| 760,000 | (a) | Freddie Mac Stacr Trust, Series 2019-HQA1, Class B2, 12.368% (1 Month USD LIBOR + 1,225 bps), 2/25/49 (144A) | 884,503 | ||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||||||
| (Cost $4,860,000) | $ | 5,025,568 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.9% of Net Assets | |||||||
| 211,445 | (a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 6.35% (1 Month USD LIBOR + 623 bps), 1/25/27 (144A) | $ | 208,010 | |||
| 625,000 | (a) | Morgan Stanley Capital I Trust, Series 2019-BPR, Class D, 4.112% (1 Month USD LIBOR + 400 bps), 5/15/36 (144A) | 426,323 | ||||
| 1,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.0%, 5/15/48 (144A) | 667,682 | |||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | |||||||
| (Cost $1,608,366) | $ | 1,302,015 | |||||
| CORPORATE BONDS - 16.0% of Net Assets | |||||||
Advertising - 0.9% | |||||||
| 1,250,000 | (d) | MDC Partners, Inc., 7.5%, 5/1/24 (144A) | $ | 1,259,375 | |||
| Total Advertising | $ | 1,259,375 | |||||
Banks - 0.7% | |||||||
| 1,000,000 | (e)(f) | Citigroup, Inc., 4.7% (SOFRRATE + 323 bps) | $ | 1,010,200 | |||
| Total Banks | $ | 1,010,200 | |||||
Building Materials - 0.8% | |||||||
| 996,000 | Patrick Industries, Inc., 7.5%, 10/15/27 (144A) | $ | 1,086,885 | ||||
| Total Building Materials | $ | 1,086,885 | |||||
Chemicals - 0.7% | |||||||
| 1,000,000 | Hexion, Inc., 7.875%, 7/15/27 (144A) | $ | 1,060,000 | ||||
| Total Chemicals | $ | 1,060,000 | |||||
Coal - 1.4% | |||||||
| 2,000,000 | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A) | $ | 2,075,600 | ||||
| Total Coal | $ | 2,075,600 | |||||
Computers - 0.1% | |||||||
| 100,000 | Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) | $ | 111,750 | ||||
| Total Computers | $ | 111,750 | |||||
Diversified Financial Services - 1.1% | |||||||
| 1,520,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A) | $ | 1,618,800 | ||||
| Total Diversified Financial Services | $ | 1,618,800 | |||||
Engineering & Construction - 0.8% | |||||||
| 1,000,000 | PowerTeam Services LLC, 9.033%, 12/4/25 (144A) | $ | 1,107,500 | ||||
| Total Engineering & Construction | $ | 1,107,500 | |||||
Entertainment - 1.0% | |||||||
| 892,000 | Enterprise Development Authority, 12.0%, 7/15/24 (144A) | $ | 1,007,068 | ||||
| 505,000 | Mohegan Gaming & Entertainment, 8.0%, 2/1/26 (144A) | 498,122 | |||||
| Total Entertainment | $ | 1,505,190 | |||||
Healthcare-Products - 0.3% | |||||||
| 380,000 | Varex Imaging Corp., 7.875%, 10/15/27 (144A) | $ | 418,000 | ||||
| Total Healthcare-Products | $ | 418,000 | |||||
Healthcare-Services - 0.7% | |||||||
| 1,000,000 | RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26 (144A) | $ | 1,077,720 | ||||
| Total Healthcare-Services | $ | 1,077,720 | |||||
Iron & Steel - 0.9% | |||||||
| 1,087,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A) | $ | 1,270,431 | ||||
| Total Iron & Steel | $ | 1,270,431 | |||||
Leisure Time - 0.1% | |||||||
| 105,000 | Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A) | $ | 115,238 | ||||
| Total Leisure Time | $ | 115,238 | |||||
Lodging - 0.7% | |||||||
| 1,000,000 | Station Casinos LLC, 4.5%, 2/15/28 (144A) | $ | 996,250 | ||||
| Total Lodging | $ | 996,250 | |||||
Media - 0.7% | |||||||
| 1,000,000 | Sinclair Television Group, Inc., 5.5%, 3/1/30 (144A) | $ | 1,003,960 | ||||
| Total Media | $ | 1,003,960 | |||||
Mining - 0.3% | |||||||
| 331,000 | Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A) | $ | 362,445 | ||||
| Total Mining | $ | 362,445 | |||||
| Principal Amount USD ($) | Value | ||||||
Miscellaneous Manufacturers - 0.7% | |||||||
| 1,000,000 | Koppers, Inc., 6.0%, 2/15/25 (144A) | $ | 1,031,250 | ||||
| Total Miscellaneous Manufacturers | $ | 1,031,250 | |||||
Oil & Gas - 1.1% | |||||||
| 1,500,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | $ | 1,584,045 | ||||
| Total Oil & Gas | $ | 1,584,045 | |||||
REITs - 1.5% | |||||||
| 1,000,000 | iStar, Inc., 4.75%, 10/1/24 | $ | 1,026,250 | ||||
| 1,065,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A) | 1,147,537 | |||||
| Total REITs | $ | 2,173,787 | |||||
Retail - 1.1% | |||||||
| 1,250,000 | Michaels Stores, Inc., 8.0%, 7/15/27 (144A) | $ | 1,334,375 | ||||
| 221,000 | Party City Holdings, Inc., 8.75%, 2/15/26 (144A) | 225,420 | |||||
| Total Retail | $ | 1,559,795 | |||||
Transportation - 0.4% | |||||||
| 612,565 | (a) | Golar LNG Partners LP, 8.294% (3 Month USD LIBOR + 810 bps), 11/15/22 (144A) | $ | 603,377 | |||
| Total Transportation | $ | 603,377 | |||||
| TOTAL CORPORATE BONDS | |||||||
| (Cost $20,598,986) | $ | 23,031,598 | |||||
| INSURANCE-LINKED SECURITIES - 0.8% of Net Assets# | |||||||
Event Linked Bonds - 0.2% | |||||||
| Windstorm - U.S. Regional - 0.2% | |||||||
| 250,000 | (a) | Matterhorn Re, 7.035% (3 Month U.S. Treasury Bill + 700 bps), 12/7/21 (144A) | $ | 255,275 | |||
| Total Event Linked Bonds | $ | 255,275 | |||||
| Face Amount USD ($) | Value | ||||||
Collateralized Reinsurance - 0.1% | |||||||
| Multiperil - Worldwide - 0.0%† | |||||||
| 27,000 | +(c)(g) | Limestone Re 2019-2, 3/1/23 (144A) | $ | 44,131 | |||
| 300,000 | +(c)(g) | Resilience Re, 4/6/21 | 30 | ||||
| $ | 44,161 | ||||||
| Windstorm - Florida - 0.1% | |||||||
| 250,000 | +(c)(g) | Formby Re 2018, 2/28/22 | $ | 44,229 | |||
| Total Collateralized Reinsurance | $ | 88,390 | |||||
Reinsurance Sidecars - 0.5% | |||||||
| Multiperil - U.S. - 0.0%† | |||||||
| 250,000 | +(c)(g) | Carnoustie Re 2017, 11/30/21 | $ | 32,950 | |||
| 250,000 | +(c)(h) | Harambee Re 2018, 12/31/21 | 4,625 | ||||
| 250,000 | +(h) | Harambee Re 2019, 12/31/22 | 2,750 | ||||
| $ | 40,325 | ||||||
| Multiperil - Worldwide - 0.5% | |||||||
| 3,037 | +(h) | Alturas Re 2019-2, 3/10/22 | $ | 14,103 | |||
| 29,558 | +(h) | Alturas Re 2020-2, 3/10/23 | 37,060 | ||||
| 250,000 | +(c)(g) | Bantry Re 2016, 3/31/21 | 20,150 | ||||
| 1,270,809 | +(c)(g) | Berwick Re 2018-1, 12/31/21 | 122,102 | ||||
| 907,913 | +(c)(g) | Berwick Re 2019-1, 12/31/22 | 108,496 | ||||
| 20,000 | +(g) | Eden Re II, 3/22/22 (144A) | 16,300 | ||||
| 3,800 | +(g) | Eden Re II, 3/22/23 (144A) | 21,982 | ||||
| 250,000 | +(c)(g) | Gleneagles Re 2016, 11/30/21 | 7,800 | ||||
| 300,000 | +(c)(h) | Lorenz Re 2018, 7/1/21 | 4,140 | ||||
| 199,590 | +(c)(h) | Lorenz Re 2019, 6/30/22 | 10,658 | ||||
| 300,000 | +(c)(g) | Merion Re 2018-2, 12/31/21 | 49,650 | ||||
| 400,000 | +(c)(g) | Pangaea Re 2018-1, 12/31/21 | 8,422 | ||||
| 400,000 | +(c)(g) | Pangaea Re 2018-3, 7/1/22 | 8,297 | ||||
| 327,699 | +(c)(g) | Pangaea Re 2019-1, 2/1/23 | 6,828 | ||||
| 294,125 | +(c)(g) | Pangaea Re 2019-3, 7/1/23 | 10,580 | ||||
| 324,259 | +(g) | Pangaea Re 2020-1, 2/1/24 | 6,881 | ||||
| 150,000 | +(g) | Sector Re V, 12/1/23 (144A) | 60,125 | ||||
| 10,000 | +(c)(g) | Sector Re V, 12/1/24 (144A) | 23,747 | ||||
| 400,000 | +(c)(g) | St. Andrews Re 2017-1, 2/1/22 | 27,120 | ||||
| 347,597 | +(c)(g) | St. Andrews Re 2017-4, 6/1/21 | 34,204 | ||||
| 253,645 | +(c)(g) | Woburn Re 2018, 12/31/21 | 23,370 | ||||
| 244,914 | +(c)(g) | Woburn Re 2019, 12/31/22 | 82,465 | ||||
| $ | 704,480 | ||||||
| Total Reinsurance Sidecars | $ | 744,805 | |||||
| TOTAL INSURANCE-LINKED SECURITIES | |||||||
| (Cost $1,360,601) | $ | 1,088,470 | |||||
| TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 148.7% | |||||||
| (Cost $209,626,562) | $ | 214,204,890 | |||||
| OTHER ASSETS AND LIABILITIES - (48.7)% | $ | (70,127,733 | ) | ||||
| NET ASSETS - 100.0% | $ | 144,077,157 | |||||
| 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. |
| SOFRRATE | Secured Overnight Financing Rate. |
| (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 28, 2021, the value of these securities amounted to $31,653,535, or 22.0% 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 (h) 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 28, 2021. |
| ^ | Security is valued using fair value methods (other than supplied by independent pricing services). |
| + | Security that used significant unobservable inputs to determine its value. |
| (a) | Floating rate note. Coupon rate, reference index and spread shown at February 28, 2021. |
| (b) | This term loan will settle after February 28, 2021, at which time the interest rate will be determined. |
| (c) | Non-income producing security. |
| (d) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at February 28, 2021. |
| (e) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at February 28, 2021. |
| (f) | Security is perpetual in nature and has no stated maturity date. |
| (g) | Issued as participation notes. |
| (h) | Issued as preference shares. |
| # | Securities are restricted as to resale. |
| Restricted Securities | Acquisition date | Cost | Value | ||||||
| Alturas Re 2019-2 | 12/19/2018 | $ | 3,037 | $ | 14,103 | ||||
| Alturas Re 2020-2 | 1/1/2020 | 29,558 | 37,060 | ||||||
| Bantry Re 2016 | 2/6/2019 | 20,150 | 20,150 | ||||||
| Berwick Re 2018-1 | 1/10/2018 | 209,553 | 122,102 | ||||||
| Berwick Re 2019-1 | 12/31/2018 | 108,488 | 108,496 | ||||||
| Carnoustie Re 2017 | 1/5/2017 | 59,439 | 32,950 | ||||||
| Eden Re II | 12/15/2017 | 1,195 | 16,300 | ||||||
| Eden Re II | 1/22/2019 | 446 | 21,982 | ||||||
| Formby Re 2018 | 7/9/2018 | 37,013 | 44,229 | ||||||
| Gleneagles Re 2016 | 1/14/2016 | – | 7,800 | ||||||
| Harambee Re 2018 | 12/19/2017 | 16,457 | 4,625 | ||||||
| Harambee Re 2019 | 12/20/2018 | – | 2,750 | ||||||
| Limestone Re | 6/20/2018 | 24,542 | 44,131 | ||||||
| Lorenz Re 2018 | 6/26/2018 | 68,985 | 4,140 | ||||||
| Lorenz Re 2019 | 6/26/2019 | 64,926 | 10,658 | ||||||
| Matterhorn Re | 4/30/2020 | 250,000 | 255,275 | ||||||
| Merion Re 2018-2 | 12/28/2017 | 12,346 | 49,650 | ||||||
| Pangaea Re 2018-1 | 12/26/2017 | 57,203 | 8,422 | ||||||
| Pangaea Re 2018-3 | 5/31/2018 | 96,345 | 8,297 | ||||||
| Pangaea Re 2019-1 | 1/9/2019 | 3,440 | 6,828 | ||||||
| Pangaea Re 2019-3 | 7/25/2019 | 8,824 | 10,580 | ||||||
| Pangaea Re 2020-1 | 1/21/2020 | – | 6,881 | ||||||
| Resilience Re | 4/13/2017 | 980 | 30 | ||||||
| Sector Re V | 1/1/2020 | 10,000 | 23,747 | ||||||
| Sector Re V, Series 8, Class C | 12/4/2018 | 82,093 | 60,125 | ||||||
| St. Andrews Re 2017-1 | 1/5/2017 | 27,099 | 27,120 | ||||||
| St. Andrews Re 2017-4 | 3/31/2017 | – | 34,204 | ||||||
| Woburn Re 2018 | 3/20/2018 | 94,515 | 23,370 | ||||||
| Woburn Re 2019 | 1/30/2019 | 73,967 | 82,465 | ||||||
| Total Restricted Securities | $ | 1,088,470 | |||||||
| % of Net assets | 0.8 | % | |||||||
| 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 - 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 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 28, 2021, in valuing the Trust's investments: | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Senior Secured Floating Rate Loan Interests | ||||||||||||||||
| Oil & Gas | $ | – | $ | 3,531,458 | $ | 362,075 | $ | 3,893,533 | ||||||||
| All Other Senior Secured Floating Rate Loan Interests | – | 174,453,343 | – | 174,453,343 | ||||||||||||
| Common Stocks | ||||||||||||||||
| Specialty Retail | – | – | 120,577 | 120,577 | ||||||||||||
| All Other Common Stock | 1,380,542 | – | – | 1,380,542 | ||||||||||||
| Asset Backed Securities | – | 3,909,244 | – | 3,909,244 | ||||||||||||
| Collateralized Mortgage Obligations | – | 5,025,568 | – | 5,025,568 | ||||||||||||
| Commercial Mortgage-Backed Securities | – | 1,302,015 | – | 1,302,015 | ||||||||||||
| Corporate Bonds | – | 23,031,598 | – | 23,031,598 | ||||||||||||
| Insurance-Linked Securities | ||||||||||||||||
| Collateralized Reinsurance | ||||||||||||||||
| Multiperil - Worldwide | – | – | 44,161 | 44,161 | ||||||||||||
| Windstorm - Florida | – | – | 44,229 | 44,229 | ||||||||||||
| Reinsurance Sidecars | ||||||||||||||||
| Multiperil - U.S. | – | – | 40,325 | 40,325 | ||||||||||||
| Multiperil - Worldwide | – | – | 704,480 | 704,480 | ||||||||||||
| All Other Insurance-Linked Security | – | 255,275 | – | 255,275 | ||||||||||||
| Total Investments in Securities | $ | 1,380,542 | $ | 211,508,501 | $ | 1,315,847 | $ | 214,204,890 | ||||||||
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
Balance as of 11/30/20 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Purchases | Sales | Accrued discounts/ premiums | Transfer in to Level 3* | Balance as of 2/28/21 | |||||||||||||||||||||||||
Senior Secured Floating Rate Loan Interests | ||||||||||||||||||||||||||||||||
Oil & Gas | $ | – | $ | – | $ | (243 | ) | $ | – | $ | – | $ | 243 | $ | 362,075 | $ | 362,075 | |||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||
| Specialty Retail | 120,576 | – | 1 | – | – | – | 120,577 | |||||||||||||||||||||||||
Insurance-Linked Securities Collateralized | ||||||||||||||||||||||||||||||||
| Reinsurance | ||||||||||||||||||||||||||||||||
Multiperil - Worldwide | 42,442 | – | 4,177 | – | (2,458 | ) | – | – | 44,161 | |||||||||||||||||||||||
Windstorm - Florida | 44,229 | – | – | – | – | – | 44,229 | |||||||||||||||||||||||||
Reinsurance Sidecars | ||||||||||||||||||||||||||||||||
| Multiperil - U.S. | 41,662 | – | 1,719 | – | (3,056 | ) | – | – | 40,325 | |||||||||||||||||||||||
Multiperil - Worldwide | 1,690,975 | – | (23,049 | ) | – | (963,446 | ) | 704,480 | ||||||||||||||||||||||||
| Total | $ | 1,939,884 | $ | – | $ | (17,395 | ) | $ | – | $ | (968,960 | ) | $ | 243 | $ | 362,075 | $ | 1,315,847 | ||||||||||||||
| * Transfers are calculated on the beginning of period values. For the three months ended February 28, 2021, securities with an aggregate market value of $362,075 transferred from Level 2 to Level 3 as there were no longer observable inputs available to determine their value. There were no other transfers in or out of Level 3. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at February 28, 2021: $(17,395). |