Schedule of Investments High Yield Strategies Fund Inc.^
(Unaudited) January 31, 2021
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Loan Assignments(a) 6.1% | | | |
Chemicals & Plastics 0.5% | | | |
| | Solenis Holdings LLC | | | |
$ | 500,109 | | First Lien Term Loan, (3M USD LIBOR + 4.00%), 4.23%, due 6/26/2025 | | $ | 498,279 | |
390,000 | | Second Lien Term Loan, (3M USD LIBOR + 8.50%), 8.73%, due 6/26/2026 | | 389,349 | |
| | | | 887,628 | |
Containers & Glass Products 0.3% | | | |
552,127 | | BWAY Holding Company, Term Loan B, (1M USD LIBOR + 3.25%), 3.38%, due 4/3/2024 | | 541,200 | |
Diversified Insurance 0.4% | | | |
830,000 | | Gainwell Acquisition Corp., Term Loan B, (3M USD LIBOR + 4.00%), 4.75%, due 10/1/2027 | | 831,560 | |
Electronics - Electrical 1.0% | | | |
1,295,000 | | Ivanti Software, Inc., Term Loan B, (3M USD LIBOR + 4.75%), 5.75%, due 12/1/2027 | | 1,303,638 | (b)(c) |
463,838 | | Redstone Buyer LLC, Term Loan, (3M USD LIBOR + 5.00%), 6.00%, due 9/1/2027 | | 467,896 | |
| | | | 1,771,534 | |
Food Service 0.3% | | | |
600,000 | | Welbilt, Inc., Term Loan B, (1M USD LIBOR + 2.50%), 2.62%, due 10/23/2025 | | 571,200 | |
Health Care 0.6% | | | |
300,000 | | ADMI Corp., Term Loan, (1M USD LIBOR + 4.00%), 4.75%, due 12/23/2027 | | 302,100 | |
920,000 | | Team Health Holdings, Inc., First Lien Term Loan, (USD LIBOR + 2.75%), due 2/6/2024 | | 857,900 | (b)(c) |
| | | | 1,160,000 | |
Industrial Equipment 0.4% | | | |
686,313 | | Granite Holdings US Acquisition Co., Term Loan B, (3M USD LIBOR + 5.25%), 5.50%, due 9/30/2026 | | 686,313 | (d) |
Leisure Goods - Activities - Movies 0.3% | | | |
472,625 | | Carnival Corporation, Term Loan B, (1M USD LIBOR + 7.50%), 8.50%, due 6/30/2025 | | 485,920 | |
Oil & Gas 1.1% | | | |
375,000 | | Ascent Resources - Utica, Second Lien Term Loan, 10.00%, due 11/1/2025 | | 408,750 | (e) |
923,779 | | BCP Raptor, LLC, Term Loan B, (1M USD LIBOR + 4.25%), 5.25%, due 6/24/2024 | | 850,838 | |
891,417 | | Lower Cadence Holdings LLC, Term Loan B, (1M USD LIBOR + 4.00%), 4.12%, due 5/22/2026 | | 868,650 | |
| | | | 2,128,238 | |
Retailers (except food & drug) 0.9% | | | |
1,648,824 | | Bass Pro Group, LLC, Term Loan B, (1M USD LIBOR + 5.00%), 5.75%, due 9/25/2024 | | 1,649,994 | |
Utilities 0.3% | | | |
562,987 | | Granite Generation LLC, Term Loan B, (1M USD LIBOR + 3.75%, 3M USD LIBOR + 3.75%), 4.75%, due 11/9/2026 | | 562,143 | (f) |
| | Total Loan Assignments (Cost $11,133,673) | | 11,275,730 | |
Corporate Bonds 137.5% | | | |
Advertising 2.0% | | | |
335,000 | | Cars.com, Inc., 6.38%, due 11/1/2028 | | 354,263 | (g) |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
| | Nielsen Finance LLC/Nielsen Finance Co. | | | |
$ | 428,000 | | 5.00%, due 4/15/2022 | | $ | 428,000 | (g) |
1,755,000 | | 5.63%, due 10/1/2028 | | 1,875,516 | (g) |
970,000 | | 5.88%, due 10/1/2030 | | 1,077,597 | (g) |
| | | | 3,735,376 | |
Aerospace & Defense 4.0% | | | |
785,000 | | Spirit AeroSystems, Inc., 7.50%, due 4/15/2025 | | 842,077 | (g) |
| | TransDigm, Inc. | | | |
1,535,000 | | 6.38%, due 6/15/2026 | | 1,584,888 | |
2,265,000 | | 7.50%, due 3/15/2027 | | 2,423,550 | |
2,160,000 | | 5.50%, due 11/15/2027 | | 2,216,592 | |
430,000 | | 4.63%, due 1/15/2029 | | 427,046 | (g) |
| | | | 7,494,153 | |
Air Transportation 2.4% | | | |
510,000 | | American Airlines Group, Inc., 3.75%, due 3/1/2025 | | 390,787 | (g)(h) |
255,000 | | Delta Air Lines, Inc., 7.38%, due 1/15/2026 | | 292,951 | |
770,000 | | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, due 10/20/2028 | | 853,267 | (g) |
2,245,000 | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, due 6/20/2027 | | 2,455,469 | (g) |
305,000 | | United Airlines Holdings, Inc., 4.25%, due 10/1/2022 | | 305,000 | |
115,000 | | United Airlines Pass Through Trust, Ser. 2020-1, Class B, 4.88%, due 1/15/2026 | | 117,300 | (i) |
| | | | 4,414,774 | |
Auto Loans 0.6% | | | |
| | Ford Motor Credit Co. LLC | | | |
650,000 | | 4.39%, due 1/8/2026 | | 691,438 | |
465,000 | | 5.11%, due 5/3/2029 | | 511,796 | |
| | | | 1,203,234 | |
Auto Parts & Equipment 2.4% | | | |
935,000 | | American Axle & Manufacturing, Inc., 6.88%, due 7/1/2028 | | 982,825 | (h) |
510,000 | | Clarios Global L.P./Clarios U.S. Finance Co., 8.50%, due 5/15/2027 | | 540,090 | (g) |
1,115,000 | | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 2/1/2028 | | 1,184,688 | (g) |
985,000 | | Goodyear Tire & Rubber Co., 9.50%, due 5/31/2025 | | 1,103,200 | |
185,000 | | Panther BF Aggregator 2 L.P./Panther Finance Co., Inc., 6.25%, due 5/15/2026 | | 196,872 | (g) |
475,000 | | Tenneco, Inc., 7.88%, due 1/15/2029 | | 534,377 | (g) |
| | | | 4,542,052 | |
Automakers 3.7% | | | |
| | Ford Motor Co. | | | |
1,090,000 | | 9.63%, due 4/22/2030 | | 1,544,736 | |
300,000 | | 7.45%, due 7/16/2031 | | 383,250 | |
760,000 | | 4.75%, due 1/15/2043 | | 767,071 | |
3,055,000 | | 7.40%, due 11/1/2046 | | 3,695,633 | (j) |
525,000 | | 5.29%, due 12/8/2046 | | 553,051 | |
| | | | 6,943,741 | |
Building & Construction 1.6% | | | |
| | Shea Homes L.P./Shea Homes Funding Corp. | | | |
300,000 | | 4.75%, due 2/15/2028 | | 307,500 | (g) |
280,000 | | 4.75%, due 4/1/2029 | | 288,400 | (g) |
| | Taylor Morrison Communities, Inc. | | | |
1,185,000 | | 5.75%, due 1/15/2028 | | 1,336,088 | (g) |
385,000 | | 5.13%, due 8/1/2030 | | 422,162 | (g) |
| | TRI Pointe Group, Inc. | | | |
270,000 | | 5.25%, due 6/1/2027 | | 293,220 | |
240,000 | | 5.70%, due 6/15/2028 | | 269,400 | |
| | | | 2,916,770 | |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Building Materials 2.8% | | | |
$ | 465,000 | | Cornerstone Building Brands, Inc., 6.13%, due 1/15/2029 | | $ | 485,925 | (g) |
300,000 | | Forterra Finance LLC/FRTA Finance Corp., 6.50%, due 7/15/2025 | | 319,500 | (g) |
| | Jeld-Wen, Inc. | | | |
455,000 | | 4.63%, due 12/15/2025 | | 464,100 | (g) |
1,775,000 | | 4.88%, due 12/15/2027 | | 1,863,750 | (g) |
1,370,000 | | Masonite Int’l Corp., 5.38%, due 2/1/2028 | | 1,466,736 | (g) |
595,000 | | Ply Gem Midco LLC, 8.00%, due 4/15/2026 | | 621,775 | (g) |
| | | | 5,221,786 | |
Cable & Satellite Television 4.7% | | | |
| | CSC Holdings LLC | | | |
430,000 | | 5.50%, due 4/15/2027 | | 453,521 | (g) |
430,000 | | 7.50%, due 4/1/2028 | | 476,763 | (g) |
535,000 | | 6.50%, due 2/1/2029 | | 595,351 | (g) |
2,320,000 | | 5.75%, due 1/15/2030 | | 2,490,392 | (g) |
880,000 | | 4.63%, due 12/1/2030 | | 897,600 | (g) |
| | DISH DBS Corp. | | | |
595,000 | | 7.75%, due 7/1/2026 | | 645,530 | |
505,000 | | 7.38%, due 7/1/2028 | | 525,831 | |
| | Radiate Holdco LLC/Radiate Finance, Inc. | | | |
355,000 | | 4.50%, due 9/15/2026 | | 361,344 | (g) |
925,000 | | 6.50%, due 9/15/2028 | | 973,563 | (g) |
400,000 | | Virgin Media Finance PLC, 5.00%, due 7/15/2030 | | 411,812 | (g) |
800,000 | | Virgin Media Vendor Financing Notes IV DAC, 5.00%, due 7/15/2028 | | 836,000 | (g) |
| | | | 8,667,707 | |
Chemicals 3.5% | | | |
| | CF Industries, Inc. | | | |
135,000 | | 4.95%, due 6/1/2043 | | 160,988 | |
16,000 | | 5.38%, due 3/15/2044 | | 20,240 | |
640,000 | | Hexion, Inc., 7.88%, due 7/15/2027 | | 684,000 | (g) |
325,000 | | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 7/1/2028 | | 362,278 | (g) |
940,000 | | INEOS Group Holdings SA, 5.63%, due 8/1/2024 | | 956,647 | (g) |
1,050,000 | | Nouryon Holding BV, 8.00%, due 10/1/2026 | | 1,114,785 | (g) |
| | NOVA Chemicals Corp. | | | |
730,000 | | 4.88%, due 6/1/2024 | | 748,250 | (g) |
786,000 | | 5.25%, due 6/1/2027 | | 811,765 | (g) |
440,000 | | Olin Corp., 5.63%, due 8/1/2029 | | 470,800 | |
430,000 | | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.38%, due 9/1/2025 | | 440,750 | (g) |
765,000 | | Tronox, Inc., 6.50%, due 4/15/2026 | | 788,906 | (g) |
| | | | 6,559,409 | |
Consumer - Commercial Lease Financing 2.4% | | | |
715,000 | | AerCap Global Aviation Trust, 6.50%, due 6/15/2045 | | 743,600 | (g)(k) |
2,207,487 | | Global Aircraft Leasing Co. Ltd., 6.50% Cash/7.25% PIK, 6.50%, due 9/15/2024 | | 1,975,701 | (g)(l) |
| | Springleaf Finance Corp. | | | |
815,000 | | 6.13%, due 3/15/2024 | | 890,648 | |
240,000 | | 8.88%, due 6/1/2025 | | 268,344 | |
440,000 | | 7.13%, due 3/15/2026 | | 514,800 | |
| | | | 4,393,093 | |
Diversified Capital Goods 0.3% | | | |
505,000 | | Resideo Funding, Inc., 6.13%, due 11/1/2026 | | 536,563 | (g) |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Electric - Generation 1.6% | | | |
| | Calpine Corp. | | | |
$ | 915,000 | | 5.13%, due 3/15/2028 | | $ | 947,025 | (g) |
890,000 | | 4.63%, due 2/1/2029 | | 898,900 | (g) |
625,000 | | 5.00%, due 2/1/2031 | | 642,187 | (g) |
540,000 | | NRG Energy, Inc., 3.63%, due 2/15/2031 | | 561,600 | (g) |
| | | | 3,049,712 | |
Electric - Integrated 2.1% | | | |
| | FirstEnergy Corp. | | | |
100,000 | | Ser. C, 7.38%, due 11/15/2031 | | 140,195 | |
115,000 | | Ser. C, 5.35%, due 7/15/2047 | | 139,067 | |
| | Talen Energy Supply LLC | | | |
645,000 | | 10.50%, due 1/15/2026 | | 593,400 | (g) |
1,075,000 | | 7.25%, due 5/15/2027 | | 1,136,813 | (g) |
1,550,000 | | 6.63%, due 1/15/2028 | | 1,612,000 | (g) |
290,000 | | 7.63%, due 6/1/2028 | | 312,475 | (g) |
| | | | 3,933,950 | |
Electronics 1.0% | | | |
1,760,000 | | Amkor Technology, Inc., 6.63%, due 9/15/2027 | | 1,916,200 | (g) |
Energy - Exploration & Production 6.4% | | | |
| | Antero Resources Corp. | | | |
155,000 | | 8.38%, due 7/15/2026 | | 163,558 | (g) |
200,000 | | 7.63%, due 2/1/2029 | | 204,438 | (g) |
| | Ascent Resources Utica Holdings LLC/ARU Finance Corp. | | | |
1,480,000 | | 7.00%, due 11/1/2026 | | 1,413,400 | (g) |
515,000 | | 9.00%, due 11/1/2027 | | 580,343 | (g) |
245,000 | | 8.25%, due 12/31/2028 | | 249,339 | (g) |
715,000 | | Comstock Escrow Corp., 9.75%, due 8/15/2026 | | 760,581 | |
550,000 | | Comstock Resources, Inc., 9.75%, due 8/15/2026 | | 585,750 | |
655,000 | | Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, due 12/15/2025 | | 677,925 | (g) |
760,000 | | EQT Corp., 5.00%, due 1/15/2029 | | 826,500 | |
| | Hilcorp Energy I L.P./Hilcorp Finance Co. | | | |
520,000 | | 6.25%, due 11/1/2028 | | 548,600 | (g) |
338,000 | | 5.75%, due 2/1/2029 | | 343,685 | (g) |
373,000 | | 6.00%, due 2/1/2031 | | 378,595 | (g) |
900,000 | | Matador Resources Co., 5.88%, due 9/15/2026 | | 859,500 | |
| | Occidental Petroleum Corp. | | | |
475,000 | | 5.88%, due 9/1/2025 | | 497,895 | |
225,000 | | 7.50%, due 5/1/2031 | | 259,313 | |
1,025,000 | | 7.88%, due 9/15/2031 | | 1,171,370 | |
1,040,000 | | PDC Energy, Inc., 5.75%, due 5/15/2026 | | 1,059,479 | |
| | Range Resources Corp. | | | |
375,000 | | 4.88%, due 5/15/2025 | | 367,006 | (h) |
770,000 | | 9.25%, due 2/1/2026 | | 839,138 | |
| | | | 11,786,415 | |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Food - Wholesale 3.0% | | | |
| | Kraft Heinz Foods Co. | | | |
$ | 205,000 | | 5.20%, due 7/15/2045 | | $ | 238,420 | |
820,000 | | 4.88%, due 10/1/2049 | | 927,804 | |
| | Performance Food Group, Inc. | | | |
240,000 | | 6.88%, due 5/1/2025 | | 258,072 | (g) |
1,390,000 | | 5.50%, due 10/15/2027 | | 1,462,975 | (g) |
| | Post Holdings, Inc. | | | |
400,000 | | 5.75%, due 3/1/2027 | | 419,500 | (g) |
865,000 | | 4.63%, due 4/15/2030 | | 896,547 | (g) |
| | U.S. Foods, Inc. | | | |
635,000 | | 6.25%, due 4/15/2025 | | 677,862 | (g) |
595,000 | | 4.75%, due 2/15/2029 | | 596,488 | (g)(i) |
| | | | 5,477,668 | |
Gaming 4.0% | | | |
| | Boyd Gaming Corp. | | | |
1,335,000 | | 6.38%, due 4/1/2026 | | 1,384,208 | |
270,000 | | 6.00%, due 8/15/2026 | | 279,150 | |
1,225,000 | | 4.75%, due 12/1/2027 | | 1,255,411 | |
325,000 | | Caesars Entertainment, Inc., 8.13%, due 7/1/2027 | | 356,687 | (g) |
740,000 | | Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, due 10/15/2025 | | 736,378 | (g) |
550,000 | | Churchill Downs, Inc., 5.50%, due 4/1/2027 | | 575,437 | (g) |
| | Scientific Games Int’l, Inc. | | | |
400,000 | | 5.00%, due 10/15/2025 | | 412,032 | (g) |
475,000 | | 8.25%, due 3/15/2026 | | 502,258 | (g) |
1,240,000 | | 7.00%, due 5/15/2028 | | 1,314,400 | (g) |
540,000 | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 3/1/2025 | | 556,346 | (g) |
| | | | 7,372,307 | |
Gas Distribution 12.4% | | | |
| | Antero Midstream Partners L.P./Antero Midstream Finance Corp. | | | |
530,000 | | 5.38%, due 9/15/2024 | | 528,675 | |
560,000 | | 7.88%, due 5/15/2026 | | 599,270 | (g) |
| | Buckeye Partners L.P. | | | |
485,000 | | 4.13%, due 3/1/2025 | | 491,669 | (g) |
1,275,000 | | 3.95%, due 12/1/2026 | | 1,284,295 | |
2,495,000 | | 4.13%, due 12/1/2027 | | 2,552,510 | |
495,000 | | 4.50%, due 3/1/2028 | | 511,295 | (g) |
460,000 | | 5.85%, due 11/15/2043 | | 458,850 | |
1,055,000 | | Cheniere Energy Partners L.P., 4.50%, due 10/1/2029 | | 1,134,125 | |
1,170,000 | | Cheniere Energy, Inc., 4.63%, due 10/15/2028 | | 1,224,112 | (g) |
920,000 | | DCP Midstream LLC, 5.85%, due 5/21/2043 | | 814,200 | (g)(k) |
| | DCP Midstream Operating L.P. | | | |
685,000 | | 5.63%, due 7/15/2027 | | 746,650 | |
595,000 | | 5.60%, due 4/1/2044 | | 621,775 | |
225,000 | | EnLink Midstream LLC, 5.63%, due 1/15/2028 | | 224,578 | (g) |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
| | EQM Midstream Partners L.P. | | | |
$ | 345,000 | | 6.00%, due 7/1/2025 | | $ | 360,894 | (g) |
250,000 | | 6.50%, due 7/1/2027 | | 267,699 | (g) |
320,000 | | 4.50%, due 1/15/2029 | | 308,870 | (g) |
320,000 | | 4.75%, due 1/15/2031 | | 308,922 | (g) |
| | EQT Midstream Partners L.P. | | | |
450,000 | | 4.13%, due 12/1/2026 | | 435,825 | |
1,095,000 | | 5.50%, due 7/15/2028 | | 1,134,135 | |
| | Genesis Energy L.P./Genesis Energy Finance Corp. | | | |
165,000 | | 6.50%, due 10/1/2025 | | 152,675 | |
520,000 | | 6.25%, due 5/15/2026 | | 466,097 | |
275,000 | | 8.00%, due 1/15/2027 | | 261,333 | |
| | Global Partners L.P./GLP Finance Corp. | | | |
160,000 | | 7.00%, due 8/1/2027 | | 169,000 | |
270,000 | | 6.88%, due 1/15/2029 | | 288,900 | (g) |
625,000 | | Harvest Midstream I L.P., 7.50%, due 9/1/2028 | | 656,406 | (g) |
| | NuStar Logistics L.P. | | | |
400,000 | | 5.75%, due 10/1/2025 | | 424,000 | |
355,000 | | 6.00%, due 6/1/2026 | | 377,188 | |
435,000 | | 5.63%, due 4/28/2027 | | 456,750 | |
920,000 | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75%, due 4/15/2025 | | 719,900 | |
| | Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp. | | | |
202,000 | | 5.50%, due 9/15/2024 | | 205,642 | (g) |
375,000 | | 7.50%, due 10/1/2025 | | 399,375 | (g) |
500,000 | | 6.00%, due 3/1/2027 | | 505,000 | (g) |
405,000 | | 5.50%, due 1/15/2028 | | 400,950 | (g) |
405,000 | | 6.00%, due 12/31/2030 | | 406,012 | (g) |
| | Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | | | |
176,000 | | 5.38%, due 2/1/2027 | | 181,889 | |
1,010,000 | | 5.50%, due 3/1/2030 | | 1,073,751 | |
| | Western Midstream Operating L.P. | | | |
360,000 | | 4.10%, due 2/1/2025 | | 372,805 | (m) |
1,270,000 | | 5.05%, due 2/1/2030 | | 1,397,000 | (m) |
| | | | 22,923,022 | |
Health Facilities 5.9% | | | |
| | Acadia Healthcare Co., Inc. | | | |
730,000 | | 5.50%, due 7/1/2028 | | 777,450 | (g) |
270,000 | | 5.00%, due 4/15/2029 | | 284,175 | (g) |
| | CHS/Community Health Systems, Inc. | | | |
590,000 | | 8.13%, due 6/30/2024 | | 619,500 | (g) |
760,000 | | 8.00%, due 12/15/2027 | | 827,450 | (g) |
640,000 | | 6.88%, due 4/15/2029 | | 647,200 | (g)(i) |
480,000 | | 4.75%, due 2/15/2031 | | 480,000 | (g)(i) |
825,000 | | Columbia/HCA Corp., 7.50%, due 11/15/2095 | | 1,080,750 | |
635,000 | | Select Medical Corp., 6.25%, due 8/15/2026 | | 678,497 | (g) |
| | Tenet Healthcare Corp. | | | |
1,215,000 | | 6.75%, due 6/15/2023 | | 1,318,275 | |
320,000 | | 4.63%, due 6/15/2028 | | 334,750 | (g) |
3,795,000 | | 6.13%, due 10/1/2028 | | 3,963,821 | (g) |
| | | | 11,011,868 | |
Health Services 3.1% | | | |
785,000 | | Envision Healthcare Corp., 8.75%, due 10/15/2026 | | 529,529 | (g) |
845,000 | | Jaguar Holding Co. II/PPD Development L.P., 5.00%, due 6/15/2028 | | 895,886 | (g) |
834,000 | | Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 7.25%, due 2/1/2028 | | 892,380 | (g) |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
$ | 1,445,000 | | Team Health Holdings, Inc., 6.38%, due 2/1/2025 | | $ | 1,300,500 | (g) |
550,000 | | Vizient, Inc., 6.25%, due 5/15/2027 | | 584,375 | (g) |
1,436,000 | | West Street Merger Sub, Inc., 6.38%, due 9/1/2025 | | 1,479,080 | (g) |
| | | | 5,681,750 | |
Hotels 2.0% | | | |
| | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer | | | |
490,000 | | 7.50%, due 6/1/2025 | | 527,975 | (g) |
1,895,000 | | 5.88%, due 10/1/2028 | | 1,985,012 | (g) |
| | Wyndham Hotels & Resorts, Inc. | | | |
410,000 | | 5.38%, due 4/15/2026 | | 419,738 | (g) |
825,000 | | 4.38%, due 8/15/2028 | | 833,250 | (g) |
| | | | 3,765,975 | |
Insurance Brokerage 6.4% | | | |
1,295,000 | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, due 10/15/2027 | | 1,369,463 | (g) |
1,425,000 | | AmWINS Group, Inc., 7.75%, due 7/1/2026 | | 1,527,429 | (g) |
| | AssuredPartners, Inc. | | | |
1,515,000 | | 7.00%, due 8/15/2025 | | 1,560,450 | (g) |
815,000 | | 5.63%, due 1/15/2029 | | 827,225 | (g) |
2,605,000 | | GTCR AP Finance, Inc., 8.00%, due 5/15/2027 | | 2,806,887 | (g) |
3,555,000 | | HUB Int’l Ltd., 7.00%, due 5/1/2026 | | 3,688,312 | (g) |
| | | | 11,779,766 | |
Machinery 0.9% | | | |
180,000 | | Automation Tooling Systems, Inc., 4.13%, due 12/15/2028 | | 182,250 | (g) |
245,000 | | Granite U.S. Holdings Corp., 11.00%, due 10/1/2027 | | 275,013 | (g)(h) |
630,000 | | Harsco Corp., 5.75%, due 7/31/2027 | | 652,837 | (g) |
235,000 | | Vertical Holdco GmbH, 7.63%, due 7/15/2028 | | 253,506 | (g) |
360,000 | | Vertical U.S. Newco, Inc., 5.25%, due 7/15/2027 | | 376,105 | (g) |
| | | | 1,739,711 | |
Managed Care 1.2% | | | |
790,000 | | Centene Corp., 3.38%, due 2/15/2030 | | 827,525 | |
390,000 | | Molina Healthcare, Inc., 3.88%, due 11/15/2030 | | 416,812 | (g) |
1,000,000 | | MPH Acquisition Holdings LLC, 5.75%, due 11/1/2028 | | 991,250 | (g)(h) |
| | | | 2,235,587 | |
Media Content 1.4% | | | |
265,000 | | Scripps Escrow II, Inc., 5.38%, due 1/15/2031 | | 267,650 | (g) |
| | Sirius XM Radio, Inc. | | | |
375,000 | | 5.38%, due 7/15/2026 | | 389,437 | (g) |
1,855,000 | | 5.50%, due 7/1/2029 | | 2,018,472 | (g) |
| | | | 2,675,559 | |
Metals - Mining Excluding Steel 4.5% | | | |
255,000 | | Alcoa Nederland Holding BV, 5.50%, due 12/15/2027 | | 274,194 | (g) |
380,000 | | Constellium SE, 5.63%, due 6/15/2028 | | 406,600 | (g) |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
| | First Quantum Minerals Ltd. | | | |
$ | 805,000 | | 6.88%, due 3/1/2026 | | $ | 838,206 | (g) |
1,020,000 | | 6.88%, due 10/15/2027 | | 1,100,254 | (g) |
| | Freeport-McMoRan, Inc. | | | |
380,000 | | 4.38%, due 8/1/2028 | | 402,676 | |
290,000 | | 5.25%, due 9/1/2029 | | 323,350 | |
385,000 | | 4.63%, due 8/1/2030 | | 427,456 | |
790,000 | | 5.40%, due 11/14/2034 | | 981,575 | |
430,000 | | 5.45%, due 3/15/2043 | | 537,500 | |
| | Hudbay Minerals, Inc. | | | |
1,077,000 | | 7.63%, due 1/15/2025 | | 1,121,103 | (g) |
560,000 | | 6.13%, due 4/1/2029 | | 593,600 | (g) |
| | Novelis Corp. | | | |
380,000 | | 5.88%, due 9/30/2026 | | 398,050 | (g) |
900,000 | | 4.75%, due 1/30/2030 | | 945,000 | (g) |
| | | | 8,349,564 | |
Oil Field Equipment & Services 1.3% | | | |
840,000 | | Archrock Partners L.P./Archrock Partners Finance Corp., 6.25%, due 4/1/2028 | | 857,850 | (g) |
365,000 | | TechnipFMC PLC, 6.50%, due 2/1/2026 | | 380,206 | (g) |
| | USA Compression Partners L.P./USA Compression Finance Corp. | | | |
890,000 | | 6.88%, due 4/1/2026 | | 930,228 | |
290,000 | | 6.88%, due 9/1/2027 | | 307,400 | |
| | | | 2,475,684 | |
Packaging 2.0% | | | |
108,000 | | Berry Global Escrow Corp., 5.63%, due 7/15/2027 | | 114,885 | (g) |
655,000 | | BWAY Holding Co., 7.25%, due 4/15/2025 | | 648,122 | (g) |
655,000 | | Graham Packaging Co., Inc., 7.13%, due 8/15/2028 | | 708,219 | (g) |
625,000 | | Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, due 9/15/2028 | | 645,313 | (g) |
1,270,000 | | Trident TPI Holdings, Inc., 9.25%, due 8/1/2024 | | 1,344,612 | (g) |
200,000 | | Trivium Packaging Finance BV, 8.50%, due 8/15/2027 | | 217,254 | (g) |
| | | | 3,678,405 | |
Personal & Household Products 0.6% | | | |
575,000 | | Energizer Holdings, Inc., 4.75%, due 6/15/2028 | | 599,265 | (g) |
470,000 | | Spectrum Brands, Inc., 5.50%, due 7/15/2030 | | 505,250 | (g) |
| | | | 1,104,515 | |
Pharmaceuticals 1.4% | | | |
365,000 | | Bausch Health Americas, Inc., 8.50%, due 1/31/2027 | | 404,237 | (g) |
2,060,000 | | Valeant Pharmaceuticals Int’l, Inc., 6.13%, due 4/15/2025 | | 2,110,594 | (g) |
| | | | 2,514,831 | |
Rail 0.3% | | | |
525,000 | | Watco Cos. LLC/Watco Finance Corp., 6.50%, due 6/15/2027 | | 563,063 | (g) |
| | | | | |
Real Estate Development & Management 2.1% | | | |
| | Realogy Group LLC/Realogy Co-Issuer Corp. | | | |
860,000 | | 4.88%, due 6/1/2023 | | 887,950 | (g) |
1,160,000 | | 7.63%, due 6/15/2025 | | 1,260,050 | (g) |
1,400,000 | | 9.38%, due 4/1/2027 | | 1,552,250 | (g) |
266,000 | | 5.75%, due 1/15/2029 | | 271,652 | (g) |
| | | | 3,971,902 | |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Real Estate Investment Trusts 7.7% | | | |
$ | 485,000 | | Communications Sales & Leasing, Inc./CSL Capital LLC, 7.13%, due 12/15/2024 | | $ | 499,404 | (g) |
| | EPR Properties | | | |
430,000 | | 4.50%, due 6/1/2027 | | 439,292 | |
290,000 | | 4.95%, due 4/15/2028 | | 301,085 | |
305,000 | | 3.75%, due 8/15/2029 | | 298,505 | |
| | ESH Hospitality, Inc. | | | |
100,000 | | 5.25%, due 5/1/2025 | | 102,000 | (g) |
1,195,000 | | 4.63%, due 10/1/2027 | | 1,221,864 | (g) |
| | Iron Mountain, Inc. | | | |
2,605,000 | | 5.25%, due 3/15/2028 | | 2,736,878 | (g) |
245,000 | | 5.00%, due 7/15/2028 | | 257,480 | (g) |
2,120,000 | | 4.88%, due 9/15/2029 | | 2,201,355 | (g) |
905,000 | | 5.63%, due 7/15/2032 | | 977,400 | (g) |
| | Outfront Media Capital LLC/Outfront Media Capital Corp. | | | |
145,000 | | 5.00%, due 8/15/2027 | | 149,466 | (g) |
415,000 | | 4.63%, due 3/15/2030 | | 413,962 | (g) |
1,345,000 | | RHP Hotel Properties L.P./RHP Finance Corp., 4.75%, due 10/15/2027 | | 1,371,900 | |
1,285,000 | | Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, due 2/15/2025 | | 1,379,390 | (g) |
1,820,000 | | Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC , 6.00%, due 4/15/2023 | | 1,858,675 | (g) |
| | | | 14,208,656 | |
Recreation & Travel 6.6% | | | |
| | Carnival Corp. | | | |
735,000 | | 11.50%, due 4/1/2023 | | 833,924 | (g) |
1,155,000 | | 10.50%, due 2/1/2026 | | 1,339,800 | (g) |
205,000 | | 7.63%, due 3/1/2026 | | 216,788 | (g) |
410,000 | | 9.88%, due 8/1/2027 | | 470,475 | (g) |
| | Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | | | |
1,005,000 | | 5.50%, due 5/1/2025 | | 1,044,265 | (g) |
260,000 | | 6.50%, due 10/1/2028 | | 274,300 | (g) |
900,000 | | Motion Bondco DAC, 6.63%, due 11/15/2027 | | 898,668 | (g)(h) |
335,000 | | NCL Corp. Ltd., 5.88%, due 3/15/2026 | | 331,442 | (g) |
| | Royal Caribbean Cruises Ltd. | | | |
785,000 | | 5.25%, due 11/15/2022 | | 773,347 | |
1,095,000 | | 10.88%, due 6/1/2023 | | 1,234,612 | (g) |
1,245,000 | | 11.50%, due 6/1/2025 | | 1,435,522 | (g) |
1,295,000 | | SeaWorld Parks & Entertainment, Inc., 9.50%, due 8/1/2025 | | 1,388,887 | (g) |
| | Six Flags Entertainment Corp. | | | |
555,000 | | 4.88%, due 7/31/2024 | | 550,838 | (g) |
365,000 | | 5.50%, due 4/15/2027 | | 368,376 | (g)(h) |
925,000 | | Six Flags Theme Parks, Inc., 7.00%, due 7/1/2025 | | 996,688 | (g) |
| | | | 12,157,932 | |
Software - Services 3.1% | | | |
530,000 | | Endurance Acquisition Merger Sub, 6.00%, due 2/15/2029 | | 520,725 | (g)(i) |
430,000 | | Granite Merger Sub 2, Inc., 11.00%, due 7/15/2027 | | 494,500 | (g) |
| | Presidio Holdings, Inc. | | | |
295,000 | | 4.88%, due 2/1/2027 | | 309,859 | (g) |
925,000 | | 8.25%, due 2/1/2028 | | 1,027,906 | (g) |
695,000 | | Rackspace Technology Global, Inc., 5.38%, due 12/1/2028 | | 724,538 | (g) |
1,770,000 | | Solera LLC/Solera Finance, Inc., 10.50%, due 3/1/2024 | | 1,817,295 | (g) |
530,000 | | SS&C Technologies, Inc., 5.50%, due 9/30/2027 | | 561,275 | (g) |
225,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, due 2/1/2029 | | 227,250 | (g)(i) |
| | | | 5,683,348 | |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Specialty Retail 2.2% | | | |
| | Asbury Automotive Group, Inc. | | | |
$ | 274,000 | | 4.50%, due 3/1/2028 | | $ | 281,535 | |
243,000 | | 4.75%, due 3/1/2030 | | 255,563 | |
| | L Brands, Inc. | | | |
290,000 | | 9.38%, due 7/1/2025 | | 358,150 | (g) |
290,000 | | 5.25%, due 2/1/2028 | | 306,327 | |
645,000 | | 6.63%, due 10/1/2030 | | 722,029 | (g) |
1,290,000 | | Penske Automotive Group, Inc., 5.50%, due 5/15/2026 | | 1,337,795 | |
| | Petsmart, Inc./Petsmart Finance Corp. | | | |
365,000 | | 4.75%, due 2/15/2028 | | 365,000 | (g)(i)(n) |
410,000 | | 7.75%, due 2/15/2029 | | 410,000 | (g)(i)(n) |
| | | | 4,036,399 | |
Steel Producers - Products 0.8% | | | |
| | ArcelorMittal | | | |
305,000 | | 7.25%, due 10/15/2039 | | 436,409 | |
310,000 | | 7.00%, due 3/1/2041 | | 442,980 | |
25,000 | | Carpenter Technology Corp., 6.38%, due 7/15/2028 | | 27,345 | |
493,000 | | Joseph T Ryerson & Son, Inc., 8.50%, due 8/1/2028 | | 556,079 | (g) |
| | | | 1,462,813 | |
Support - Services 12.6% | | | |
825,000 | | ADT Corp., 4.88%, due 7/15/2032 | | 892,815 | (g) |
| | APX Group, Inc. | | | |
505,000 | | 7.63%, due 9/1/2023 | | 524,569 | (h) |
645,000 | | 6.75%, due 2/15/2027 | | 686,925 | (g) |
| | Aramark Services, Inc. | | | |
1,660,000 | | 6.38%, due 5/1/2025 | | 1,764,746 | (g) |
630,000 | | 5.00%, due 2/1/2028 | | 656,838 | (g) |
1,060,000 | | ASGN, Inc., 4.63%, due 5/15/2028 | | 1,095,955 | (g) |
1,445,000 | | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.25%, due 3/15/2025 | | 1,445,000 | (g) |
2,805,000 | | Beacon Roofing Supply, Inc., 4.88%, due 11/1/2025 | | 2,839,221 | (g) |
690,000 | | frontdoor, Inc., 6.75%, due 8/15/2026 | | 736,575 | (g) |
1,810,000 | | Garda World Security Corp., 8.75%, due 5/15/2025 | | 1,873,350 | (g) |
430,000 | | GW B-CR Security Corp., 9.50%, due 11/1/2027 | | 471,925 | (g) |
785,000 | | IAA Spinco, Inc., 5.50%, due 6/15/2027 | | 824,328 | (g) |
2,925,000 | | KAR Auction Services, Inc., 5.13%, due 6/1/2025 | | 3,001,781 | (g) |
790,000 | | Korn/Ferry Int’l, 4.63%, due 12/15/2027 | | 830,685 | (g) |
| | Prime Security Services Borrower LLC/Prime Finance, Inc. | | | |
965,000 | | 5.75%, due 4/15/2026 | | 1,056,482 | (g) |
990,000 | | 6.25%, due 1/15/2028 | | 1,054,350 | (g) |
1,375,000 | | Staples, Inc., 7.50%, due 4/15/2026 | | 1,402,624 | (g) |
538,000 | | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, due 6/1/2025 | | 553,387 | (g) |
1,140,000 | | Univar Solutions USA, Inc., 5.13%, due 12/1/2027 | | 1,197,000 | (g) |
360,000 | | White Cap Buyer LLC, 6.88%, due 10/15/2028 | | 374,188 | (g) |
| | | | 23,282,744 | |
Technology Hardware & Equipment 2.5% | | | |
| | CommScope Finance LLC | | | |
345,000 | | 6.00%, due 3/1/2026 | | 365,269 | (g) |
510,000 | | 8.25%, due 3/1/2027 | | 549,239 | (g) |
| | CommScope Technologies LLC | | | |
1,354,000 | | 6.00%, due 6/15/2025 | | 1,382,637 | (g) |
960,000 | | 5.00%, due 3/15/2027 | | 951,600 | (g) |
660,000 | | CommScope, Inc., 7.13%, due 7/1/2028 | | 702,244 | (g) |
490,000 | | Dell Int’l LLC/EMC Corp., 6.20%, due 7/15/2030 | | 626,518 | (g) |
| | | | 4,577,507 | |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
Telecom - Satellite 0.6% | | | |
$ | 1,180,000 | | Intelsat Jackson Holdings SA, 8.00%, due 2/15/2024 | | $ | 1,209,500 | (g) |
Telecom - Wireless 0.5% | | | |
225,000 | | Sprint Capital Corp., 8.75%, due 3/15/2032 | | 343,688 | |
410,000 | | Sprint Corp., 7.63%, due 3/1/2026 | | 505,325 | |
| | | | 849,013 | |
Telecom - Wireline Integrated & Services 5.3% | | | |
| | Altice France Holding SA | | | |
1,155,000 | | 10.50%, due 5/15/2027 | | 1,295,044 | (g) |
1,730,000 | | 6.00%, due 2/15/2028 | | 1,742,975 | (g) |
| | Altice France SA | | | |
1,960,000 | | 8.13%, due 2/1/2027 | | 2,160,900 | (g) |
675,000 | | 5.50%, due 1/15/2028 | | 702,844 | (g) |
| | Frontier Communications Corp. | | | |
690,000 | | 5.88%, due 10/15/2027 | | 741,543 | (g) |
485,000 | | 5.00%, due 5/1/2028 | | 502,884 | (g) |
235,000 | | 6.75%, due 5/1/2029 | | 246,826 | (g) |
650,000 | | Lumen Technologies, Inc., 4.50%, due 1/15/2029 | | 667,199 | (g) |
1,110,000 | | Numericable-SFR SA, 7.38%, due 5/1/2026 | | 1,161,005 | (g) |
620,000 | | Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC , 6.50%, due 2/15/2029 | | 620,000 | (g)(i) |
| | | | 9,841,220 | |
Theaters & Entertainment 1.6% | | | |
| | Live Nation Entertainment, Inc. | | | |
285,000 | | 4.88%, due 11/1/2024 | | 286,425 | (g) |
655,000 | | 6.50%, due 5/15/2027 | | 727,646 | (g) |
1,930,000 | | 4.75%, due 10/15/2027 | | 1,934,825 | (g) |
| | | | 2,948,896 | |
| | Total Corporate Bonds (Cost $243,308,252) | | 254,894,140 | |
Convertible Bonds 0.9% | | | |
Media 0.9% | | | |
1,892,000 | | DISH Network Corp., 3.38%, due 8/15/2026 (Cost $1,722,631) | | 1,744,599 | |
Asset-Backed Securities 3.1% | | | |
500,000 | | Ares LIV CLO Ltd., Ser. 2019-54A, Class E, (3M USD LIBOR + 7.34%), 7.58%, due 10/15/2032 | | 500,010 | (a)(g) |
250,000 | | Barings CLO Ltd., Ser. 2017-1A, Class E, (3M USD LIBOR + 6.00%), 6.22%, due 7/18/2029 | | 243,463 | (a)(g) |
500,000 | | Carlyle U.S. CLO Ltd., Ser. 2019-2A, Class D, (3M USD LIBOR + 6.60%), 6.84%, due 7/15/2032 | | 500,014 | (a)(g) |
500,000 | | Catskill Park CLO Ltd., Ser. 2017-2A, Class D, (3M USD LIBOR + 6.00%), 6.22%, due 4/20/2029 | | 484,137 | (a)(g) |
350,000 | | Cedar Funding X CLO Ltd., Ser. 2019-10A, Class E, (3M USD LIBOR + 7.00%), 7.22%, due 10/20/2032 | | 350,013 | (a)(g) |
250,000 | | Crown City CLO II, Ser. 2020-A, Class D, (3M USD LIBOR + 7.17%), 7.42%, due 1/20/2032 | | 249,978 | (a)(g) |
250,000 | | Galaxy XXIV CLO Ltd., Ser. 2017-24A, Class E, (3M USD LIBOR + 5.50%), 5.74%, due 1/15/2031 | | 234,646 | (a)(g) |
650,000 | | Gulf Stream Meridian 2 Ltd., Ser. 2020-IIA, Class D, (3M USD LIBOR + 6.85%), 7.09%, due 10/15/2029 | | 651,664 | (a)(g) |
1,000,000 | | Magnetite XV Ltd., Ser. 2015-15A, Class ER, (3M USD LIBOR + 5.20%), 5.42%, due 7/25/2031 | | 942,517 | (a)(g) |
| | | | | | | |
See Notes to Schedule of Investments
PRINCIPAL
AMOUNT | | | | VALUE | |
| | | | | |
$ | 500,000 | | OCP CLO Ltd., Ser. 2019-17A, Class E, (3M USD LIBOR + 6.66%), 6.88%, due 7/20/2032 | | $ | 498,535 | (a)(g) |
250,000 | | Palmer Square Loan Funding Ltd., Ser. 2020-1A, Class D, (3M USD LIBOR + 4.85%), 5.07%, due 2/20/2028 | | 242,531 | (a)(g) |
500,000 | | TCW CLO AMR Ltd., Ser. 2019-1A, Class E, (3M USD LIBOR + 6.75%), 6.97%, due 2/15/2029 | | 500,017 | (a)(g) |
250,000 | | Voya CLO Ltd., Ser. 2019-2, Class E, (3M USD LIBOR + 6.60%), 6.82%, due 7/20/2032 | | 250,010 | (a)(g) |
| | Total Asset-Backed Securities (Cost $5,381,585) | | 5,647,535 | |
| | | | | |
NUMBER OF
SHARES | | | | | |
| | | | | |
Short-Term Investments 5.0% | | | |
Investment Companies 5.0% | | | |
4,480,635 | | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(o) | | 4,480,635 | (j) |
4,717,318 | | State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(o) | | 4,717,318 | (p) |
| | Total Short-Term Investments (Cost $9,197,953) | | 9,197,953 | |
| | Total Investments 152.6% (Cost $270,744,094) | | 282,759,957 | |
| | Liabilities Less Other Assets (11.6)% | | (21,425,299 | )(q) |
| | Liquidation Value of Mandatory Redeemable Preferred Shares (41.0)% | | (76,000,000 | ) |
| | Net Assets Applicable to Common Stockholders 100.0% | | $ | 185,334,658 | |
| | | | | | | |
(a) | | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2021 and changes periodically. |
(b) | | All or a portion of this security was purchased on a delayed delivery basis. |
(c) | | All or a portion of this security had not settled as of January 31, 2021 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
(d) | | Value determined using significant unobservable inputs. |
(e) | | Fixed coupon. |
(f) | | The stated interest rates represent the range of rates at January 31, 2021 of the underlying contracts within the Loan Assignment. |
(g) | | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2021, these securities amounted to $197,986,178, which represents 106.8% of net assets applicable to common stockholders of the Fund. |
(h) | | The security or a portion of this security is on loan at January 31, 2021. Total value of all such securities at January 31, 2021 amounted to approximately $4,635,974 for the Fund. |
(i) | | When-issued security. Total value of all such securities at January 31, 2021 amounted to $3,983,963, which represents 2.1% of net assets applicable to common stockholders of the Fund. |
(j) | | All or a portion of this security is segregated in connection with obligations for swap contracts, when-issued securities and/or delayed delivery securities with a total value of $8,176,268. |
(k) | | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(l) | | Payment-in-kind (PIK) security. |
(m) | | Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2021. |
See Notes to Schedule of Investments
(n) | | Security fair valued as of January 31, 2021 in accordance with procedures approved by the Board of Directors. Total value of all such securities at January 31, 2021 amounted to $775,000, which represents 0.4% of net assets applicable to common stockholders of the Fund. |
(o) | | Represents 7-day effective yield as of January 31, 2021. |
(p) | | Represents investment of cash collateral received from securities lending. |
(q) | | Includes the impact of the Fund’s open positions in derivatives at January 31, 2021. |
See Notes to Schedule of Investments
POSITIONS BY COUNTRY
Country | | Investments at
Value | | Percentage of
Net Assets | |
United States | | $ | 242,212,512 | | 130.7 | % |
Cayman Islands | | 7,623,236 | | 4.1 | % |
Luxembourg | | 6,083,555 | | 3.3 | % |
Canada | | 4,732,853 | | 2.6 | % |
France | | 4,024,749 | | 2.2 | % |
Zambia | | 1,938,460 | | 1.0 | % |
Peru | | 1,714,703 | | 0.9 | % |
United Kingdom | | 1,690,686 | | 0.9 | % |
Ireland | | 1,579,600 | | 0.9 | % |
Netherlands | | 1,332,039 | | 0.7 | % |
Germany | | 629,611 | | 0.3 | % |
Liquidation Value of Mandatory Redeemable Preferred Shares | | (76,000,000 | ) | (41.0 | )% |
Short-Term Investments and Other Liabilities -Net | | (12,227,346 | ) | (6.6 | )% |
| | $ | 185,334,658 | | 100.0 | % |
See Notes to Schedule of Investments
Derivative Instruments
Interest rate swap contracts (“interest rate swaps”)
At January 31, 2021, the Fund had outstanding interest rate swaps as follows:
Centrally cleared interest rate swaps
Clearinghouse | | Notional
Amount | | Fund
Receives/
Pays
Floating
Rate | | Floating Rate
Index | | Annual
Fixed-Rate | | Frequency
of Fund
Receipt/
Payment | | Maturity
Date | | Unrealized
Appreciation/
(Depreciation) | | Accrued Net
Interest
Receivable/
(Payable) | | Value | |
CME | | USD | 25,000,000 | | Receive | | 3M LIBOR | | 1.14 | % | 3M/6M | | 6/17/2021 | | $ | (90,729 | ) | $ | (27,465 | ) | $ | (118,194 | ) |
CME | | USD | 20,000,000 | | Receive | | 3M LIBOR | | 0.99 | % | 3M/6M | | 6/29/2021 | | (66,705 | ) | (12,930 | ) | (79,635 | ) |
Total | | | | | | | | | | | | | | | $ | (157,434 | ) | $ | (40,395 | ) | $ | (197,829 | ) |
At January 31, 2021, the Fund had $276,179 deposited in a segregated account to cover margin requirements for centrally cleared swaps.
See Notes to Schedule of Investments
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of January 31, 2021:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
Investments: | | | | | | | | | |
Loan Assignments | | | | | | | | | |
Industrial Equipment | | $ | — | | $ | — | | $ | 686,313 | | $ | 686,313 | |
Other Loan Assignments(a) | | — | | 10,589,417 | | — | | 10,589,417 | |
Total Loan Assignments | | — | | 10,589,417 | | 686,313 | | 11,275,730 | |
Corporate Bonds(a) | | — | | 254,894,140 | | — | | 254,894,140 | |
Convertible Bonds(a) | | — | | 1,744,599 | | — | | 1,744,599 | |
Asset-Backed Securities | | — | | 5,647,535 | | — | | 5,647,535 | |
Short-Term Investments | | — | | 9,197,953 | | — | | 9,197,953 | |
Total Investments | | $ | — | | $ | 282,073,644 | | $ | 686,313 | | $ | 282,759,957 | |
(a) | The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
| |
(b) | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
| | Beginning
balance, as
of
11/1/2020 | | Accrued
discounts/
(premiums) | | Realized
gain/(loss) | | Change
in unrealized
appreciation/
(depreciation) | | Purchases | | Sales | | Transfers
into
Level 3 | | Transfers
out of
Level 3 | | Balance,
as of
1/31/2021 | | Net change
in unrealized
appreciation/
(depreciation)
from
investments
still held as of
1/31/2021 | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | | |
Loan Assignments(c) | | $ | 643,327 | | $ | 626 | | $ | (2,874 | ) | $ | 46,972 | | $ | 665,723 | | $ | (667,461 | ) | $ | — | | $ | — | | $ | 686,313 | | $ | 20,589 | |
Total | | $ | 643,327 | | $ | 626 | | $ | (2,874 | ) | $ | 46,972 | | $ | 665,723 | | $ | (667,461 | ) | $ | — | | $ | — | | $ | 686,313 | | $ | 20,589 | |
(c) | Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation. |
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund’s derivatives as of January 31, 2020:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
Swaps Liabilities | | $ | — | | $ | (197,829 | ) | $ | — | | $ | (197,829 | ) |
Total | | $ | — | | $ | (197,829 | ) | $ | — | | $ | (197,829 | ) |
^ A balance indicated with a “—”, reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
January 31, 2021
Notes to Schedule of Investments High Yield Strategies Fund Inc.
(Unaudited)
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman High Yield Strategies Fund Inc. (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
· Level 1 — unadjusted quoted prices in active markets for identical investments
· Level 2 — other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
· Level 3 — unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund’s investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available (“Other Market Information”).
Asset-Backed Securities. Inputs used to value asset-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, conversion premiums, listed bond and preferred stock prices and Other Market Information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available.
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of interest rate swaps is determined by Management primarily by obtaining valuations from independent pricing services based on references to the underlying rates including the local overnight index swap rate and the respective interbank offered forward rate to produce the daily price. The present value is calculated based off of expected cash flows based on swap parameters along with reference to the underlying yield curve and reference rate (Level 2 inputs).
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent stockholder reports.
Notes to Schedule of Investments High Yield Strategies Fund Inc.
(Unaudited) (cont’d)
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with readily determinable fair value are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Fund’s Board of Directors has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security’s disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company’s or issuer’s financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries, which is a rapidly evolving situation, has, among other things, disrupted global travel and supply chains, and has adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility, in ways that cannot necessarily be foreseen at the present time. The rapid development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on economic and market conditions and trigger a period of global economic slowdown. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Fund.
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent stockholder reports.
Notes to Schedule of Investments High Yield Strategies Fund Inc.
(Unaudited) (cont’d)
Legend
Benchmarks |
LIBOR = London Interbank Offered Rate |
|
Currency Abbreviations: |
USD = United States Dollar |
|
Clearinghouses: |
CME = CME Group, Inc. |
|
Index Periods/Payment Frequencies: |
1M = 1 Month |
3M = 3 Months |
6M = 6 Months |
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent stockholder reports.
