SHARES | COST | FAIR VALUE | ||||||||||
Equities — 0.73%*: | ||||||||||||
Common Stocks — 0.56%*: | ||||||||||||
Boomerang Tube Holdings, Inc.¤ | 36,149 | $ | 3,510,832 | $ | 0 | |||||||
Fieldwood Energy LLC¤ | 167,574 | 4,057,567 | 167,574 | |||||||||
Jupiter Resources Inc.¤+ | 1,171,624 | 5,662,542 | 1,171,624 | |||||||||
Sabine Oil & Gas LLC¤ | 4,342 | 248,858 | 56,446 | |||||||||
Templar Energy LLC¤ | 135,392 | 734,072 | 0 | |||||||||
Templar Energy LLC¤ | 101,589 | 1,015,894 | 0 | |||||||||
Total Common Stocks | 1,616,670 | 15,229,765 | 1,395,644 | |||||||||
Preferred Stocks - 0.17%*: | ||||||||||||
Pinnacle Operating Corp.¤ | 452,660 | 407,393 | 407,394 | |||||||||
Pinnacle Operating Corp.¤ | 213,016 | 0 | 0 | |||||||||
Total Preferred Stocks | 665,676 | 407,393 | 407,394 | |||||||||
Warrants — 0.00%*: | ||||||||||||
Appvion Holdings Corp.¤ | 12,892 | 137,280 | 1,612 | |||||||||
Appvion Inc.¤ | 12,892 | 0 | 0 | |||||||||
Total Warrants | 25,784 | 137,280 | 1,612 | |||||||||
Total Equities | 2,308,130 | 15,774,438 | 1,804,650 |
EFFECTIVE INTEREST RATE‡ | DUE DATE | PRINCIPAL | COST | FAIR VALUE | ||||||||||
Fixed Income — 132.88%*: | ||||||||||||||
Asset-Backed Securities — 8.11%*: | ||||||||||||||
CDO/CLO — 8.11%*: | ||||||||||||||
Anchorage Capital CLO LTD 2015-6A, 3M LIBOR + 6.350%^~ | 8.18 | % | 7/15/2030 | 600,000 | $ | 609,989 | $ | 366,170 | ||||||
Anchorage Capital CLO LTD 2016-9A ER, 3M LIBOR + 6.410%^~ | 8.24 | 7/15/2032 | 1,500,000 | 1,455,000 | 822,828 | |||||||||
Anchorage Capital CLO LTD 2013-1R, 3M LIBOR + 6.800%^~ | 8.65 | 10/15/2030 | 1,000,000 | 977,213 | 580,512 | |||||||||
Ballyrock CLO LTD 2019-2A, 3M LIBOR + 7.740%^~ | 9.44 | 11/20/2030 | 2,000,000 | 1,960,000 | 1,301,954 | |||||||||
BlueMountain CLO LTD 2018-23A, 3M LIBOR + 5.650%^~ | 7.47 | 10/20/2031 | 1,000,000 | 1,000,000 | 596,165 | |||||||||
Canyon CLO LTD 2019-2A, 3M LIBOR + 7.150%^~ | 8.98 | 10/15/2032 | 1,000,000 | 1,000,000 | 578,405 | |||||||||
Carbone CLO, LTD 2017-1A, 3M LIBOR + 5.900%^~ | 7.73 | 1/21/2031 | 750,000 | 750,000 | 435,921 | |||||||||
Carlyle Global Market Strategies 2013-3A, 3M LIBOR + 7.750%^~ | 9.58 | 10/15/2030 | 1,000,000 | 1,000,000 | 527,284 | |||||||||
Carlyle Global Market Strategies 2017-5A, 3M LIBOR + 5.300%^~ | 7.12 | 1/22/2030 | 700,000 | 700,000 | 417,701 | |||||||||
Carlyle Global Market Strategies 2019-3 LTD, 3M LIBOR + 7.030%^~ | 8.86 | 10/20/2032 | 1,000,000 | 975,000 | 594,509 | |||||||||
Cedar Funding LTD 2016-6A, 3M LIBOR + 5.900%^~ | 7.72 | 10/20/2028 | 2,500,000 | 2,500,000 | 1,563,645 | |||||||||
Galaxy CLO LTD 2017-24A, 3M LIBOR + 5.500%^~ | 7.33 | 1/15/2031 | 1,000,000 | 1,000,000 | 549,502 | |||||||||
GoldenTree Loan Management 2018-3A, 3M LIBOR + 6.500%^~ | 8.32 | 4/22/2030 | 1,500,000 | 1,429,292 | 762,072 | |||||||||
GoldenTree Loan Opportunities XI LTD 2015-11A, 3M LIBOR + 5.400%^~ | 7.22 | 1/18/2031 | 500,000 | 500,000 | 307,044 | |||||||||
KKR Financial CLO LTD 2017-20, 3M LIBOR + 5.500%^~ | 7.34 | 10/16/2030 | 1,500,000 | 1,500,000 | 764,999 | |||||||||
LCM LTD 2019-30, 3M LIBOR + 6.950%^~ | 8.77 | 4/21/2031 | 1,100,000 | 1,100,000 | 746,183 | |||||||||
Madison Park Funding LTD 2015-19A, 3M LIBOR + 4.350%^~ | 6.15 | 1/24/2028 | 1,000,000 | 1,000,000 | 580,063 | |||||||||
Madison Park Funding LTD 2018-29A, 3M LIBOR + 7.570%^~# | 9.39 | 10/18/2030 | 2,000,000 | 1,960,000 | 1,029,774 | |||||||||
Madison Park Funding LTD 2019-32E, 3M LIBOR + 7.100%^~ | 8.90 | 1/22/2031 | 1,000,000 | 997,800 | 672,125 | |||||||||
Magnetite CLO LTD 2016-18A, 3M LIBOR + 7.600%^~ | 9.29 | 11/15/2028 | 1,400,000 | 1,386,000 | 844,648 | |||||||||
OHA Credit Partners LTD 2015-11A, 3M LIBOR + 7.900%^~ | 9.72 | 1/20/2032 | 2,000,000 | 1,970,323 | 939,202 | |||||||||
OHA Loan Funding LTD 2013-1A, 3M LIBOR + 7.900%^~ | 9.71 | 7/23/2031 | 1,500,000 | 1,477,500 | 826,375 | |||||||||
Sound Point CLO XVIII 2018-18D, 3M LIBOR + 5.500%^~ | 7.32 | 1/21/2031 | 2,000,000 | 2,000,000 | 1,069,860 | |||||||||
Steele Creek CLO LTD 2017-1A, 3M LIBOR + 6.200%^~ | 8.03 | 1/15/2030 | 800,000 | 800,000 | 465,873 | |||||||||
TICP CLO LTD 2018-10A, 3M LIBOR + 5.500%^~ | 7.32 | 4/20/2031 | 1,000,000 | 921,732 | 573,774 | |||||||||
Voya CLO LTD 2019-4A, 3M LIBOR + 7.480%^~ | 9.31 | 1/18/2033 | 1,400,000 | 1,358,585 | 827,669 | |||||||||
Wellfleet CLO LTD 2017-3A, 3M LIBOR + 5.550%^~ | 7.39 | 1/17/2031 | 1,500,000 | 1,500,000 | 840,225 | |||||||||
Wind River CLO LTD 2017-4A, 3M LIBOR + 5.800%^~ | 7.49 | 11/20/2030 | 1,000,000 | 1,000,000 | 576,569 | |||||||||
Total CDO/CLO | 35,250,000 | 34,828,434 | 20,161,051 | |||||||||||
Total Asset-Backed Securities | 35,250,000 | 34,828,434 | 20,161,051 |
EFFECTIVE INTEREST RATE‡ | DUE DATE | PRINCIPAL | COST | FAIR VALUE | ||||||||||
Bank Loans§ — 14.67%*: | ||||||||||||||
Automotive — 0.69%*: | ||||||||||||||
Dexko Global Inc, 3M LIBOR + 8.250%~ | 9.70 | % | 7/24/2025 | 2,000,000 | $ | 2,000,000 | $ | 1,720,000 | ||||||
Total Automotive | 2,000,000 | 2,000,000 | 1,720,000 | |||||||||||
Broadcasting and Entertainment — 1.72%*: | ||||||||||||||
Endemol, 3M LIBOR + 5.750%+~ | 7.66 | 8/11/2021 | 4,444,065 | 4,358,287 | 4,280,212 | |||||||||
Total Broadcasting and Entertainment | 4,444,065 | 4,358,287 | 4,280,212 | |||||||||||
Cargo Transport — 1.07%*: | ||||||||||||||
PS Logistics, 1M LIBOR + 4.750%~ | 5.75 | 3/6/2025 | 2,955,000 | 2,974,835 | 2,659,500 | |||||||||
Total Cargo Transport | 2,955,000 | 2,974,835 | 2,659,500 | |||||||||||
Chemicals, Plastics and Rubber — 0.43%*: | ||||||||||||||
Colouroz Investment 2 LLC, 3M LIBOR + 7.250%+~ | 9.05 | 9/7/2022 | 2,033,201 | 2,025,452 | 1,077,596 | |||||||||
Total Chemicals, Plastics and Rubber | 2,033,201 | 2,025,452 | 1,077,596 | |||||||||||
Diversified/Conglomerate Manufacturing — 1.16%*: | ||||||||||||||
Averys, 3M LIBOR + 8.250%+~ | 8.25 | 8/7/2026 | 500,000 | 571,943 | 468,733 | |||||||||
Commercial Vehicle Group Inc., 1M LIBOR + 6.000%~ | 6.99 | 4/12/2023 | 573,047 | 565,488 | 487,090 | |||||||||
SunSource, Inc., 1M LIBOR + 8.000%~ | 9.00 | 4/30/2026 | 2,500,000 | 2,517,436 | 1,912,500 | |||||||||
Total Diversified/Conglomerate Manufacturing | 3,573,047 | 3,654,867 | 2,868,323 | |||||||||||
Diversified/Conglomerate Service — 4.67%*: | ||||||||||||||
Misys (Finastra), 3M LIBOR + 7.250%~ | 9.03 | 6/16/2025 | 15,630,136 | 15,500,887 | 11,597,561 | |||||||||
Total Diversified/Conglomerate Service | 15,630,136 | 15,500,887 | 11,597,561 | |||||||||||
Healthcare, Education and Childcare — 1.33%*: | ||||||||||||||
ADVANZ PHARMA Corp., 1M LIBOR + 5.500%+~ | 6.57 | 9/6/2024 | 3,880,000 | 3,817,412 | 3,307,700 | |||||||||
Total Healthcare, Education and Childcare | 3,880,000 | 3,817,412 | 3,307,700 | |||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.70%*: | ||||||||||||||
Serta Simmons Beddings LLC, 1M LIBOR + 8.000%~ | 9.00 | 11/8/2024 | 7,933,333 | 7,216,844 | 1,745,333 | |||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 7,933,333 | 7,216,844 | 1,745,333 | |||||||||||
Insurance — 1.10%*: | ||||||||||||||
Asurion, 1M LIBOR + 6.500%~ | 7.49 | 8/4/2025 | 3,000,000 | 3,059,522 | 2,733,750 | |||||||||
Total Insurance | 3,000,000 | 3,059,522 | 2,733,750 | |||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.88%*: | ||||||||||||||
Boomerang Tube, LLC, 3M LIBOR + 6.500%¤~ | 5.99 | 6/30/2022 | 2,540,684 | 2,540,684 | 2,184,988 | |||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 2,540,684 | 2,540,684 | 2,184,988 | |||||||||||
Oil and Gas — 0.92%*: | ||||||||||||||
Fieldwood Energy LLC, 1M LIBOR + 5.250%~ | 7.03 | 4/11/2022 | 5,751,171 | 5,285,428 | 1,797,241 | |||||||||
Fieldwood Energy LLC, 1M LIBOR + 7.250%~ | 9.03 | 4/11/2023 | 7,481,592 | 2,831,277 | 478,822 | |||||||||
Total Oil and Gas | 13,232,763 | 8,116,705 | 2,276,063 | |||||||||||
Total Bank Loans | 61,222,229 | 55,265,495 | 36,451,026 |
EFFECTIVE INTEREST RATE‡ | DUE DATE | PRINCIPAL | COST | FAIR VALUE | ||||||||||
Corporate Bonds — 110.10%*: | ||||||||||||||
Aerospace and Defense — 4.29%*: | ||||||||||||||
Avolon Holdings^# | 6.50 | % | 9/15/2024 | 2,741,000 | $ | 2,760,586 | $ | 1,765,204 | ||||||
TransDigm Group, Inc.# | 7.50 | 3/15/2027 | 3,000,000 | 2,977,500 | 2,891,100 | |||||||||
Triumph Group, Inc.# | 7.75 | 8/15/2025 | 8,289,000 | 8,293,634 | 6,009,525 | |||||||||
Total Aerospace and Defense | 14,030,000 | 14,031,720 | 10,665,829 | |||||||||||
Automotive — 3.44%*: | ||||||||||||||
Garrett Motion+^# | 5.13 | 10/15/2026 | 1,070,000 | 1,101,772 | 739,689 | |||||||||
Power Solutions^# | 8.50 | 5/15/2027 | 8,965,000 | 9,067,871 | 7,821,066 | |||||||||
Total Automotive | 10,035,000 | 10,169,643 | 8,560,755 | |||||||||||
Beverage, Food and Tobacco — 2.51%*: | ||||||||||||||
Boparan Finance plc+^# | 5.50 | 7/15/2021 | 800,000 | 1,035,540 | 685,638 | |||||||||
Kehe Distributors, LLC^# | 8.63 | 10/15/2026 | 1,287,000 | 1,287,000 | 1,293,435 | |||||||||
Manitowoc Foodservice# | 9.50 | 2/15/2024 | 3,074,000 | 3,220,427 | 2,612,900 | |||||||||
Refresco Group N.V.+^# | 6.50 | 5/15/2026 | 1,600,000 | 1,931,926 | 1,649,939 | |||||||||
Total Beverage, Food and Tobacco | 6,761,000 | 7,474,893 | 6,241,912 | |||||||||||
Broadcasting and Entertainment — 7.62%*: | ||||||||||||||
Arqiva Broadcast+^# | 6.75 | 9/30/2023 | 2,400,000 | 3,041,174 | 2,981,033 | |||||||||
Banijay+^# | 6.50 | 3/1/2026 | 3,750,000 | 4,141,679 | 3,231,361 | |||||||||
Clear Channel Worldwide Holdings Inc.^# | 9.25 | 2/15/2024 | 5,546,000 | 5,908,384 | 4,755,695 | |||||||||
Cox Media Group^# | 8.88 | 12/15/2027 | 1,837,000 | 1,854,912 | 1,552,265 | |||||||||
Dish DBS Corp.# | 7.75 | 7/1/2026 | 4,094,000 | 3,859,493 | 4,206,585 | |||||||||
Intelsat Jackson Holdings Ltd.^# | 9.75 | 7/15/2025 | 3,341,000 | 3,457,018 | 2,205,060 | |||||||||
Total Broadcasting and Entertainment | 20,968,000 | 22,262,660 | 18,931,999 | |||||||||||
Buildings and Real Estate — 2.63%*: | ||||||||||||||
Realogy Group^# | 9.38 | 4/1/2027 | 7,763,000 | 7,671,575 | 6,542,579 | |||||||||
Total Buildings and Real Estate | 7,763,000 | 7,671,575 | 6,542,579 | |||||||||||
Cargo Transport — 3.38%*: | ||||||||||||||
Kenan Advantage^# | 7.88 | 7/31/2023 | 10,000,000 | 10,041,754 | 8,393,750 | |||||||||
Total Cargo Transport | 10,000,000 | 10,041,754 | 8,393,750 | |||||||||||
Chemicals, Plastics and Rubber — 4.11%*: | ||||||||||||||
Carlyle Group^# | 8.75 | 6/1/2023 | 3,000,000 | 2,970,300 | 2,700,000 | |||||||||
Consolidated Energy Finance S.A.^# | 6.88 | 6/15/2025 | 1,779,000 | 1,770,105 | 1,538,835 | |||||||||
CVR Partners LP^# | 9.25 | 6/15/2023 | 6,213,000 | 6,155,689 | 4,980,962 | |||||||||
Diversey^# | 5.63 | 8/15/2025 | 1,500,000 | 1,617,438 | 985,993 | |||||||||
Total Chemicals, Plastics and Rubber | 12,492,000 | 12,513,532 | 10,205,790 | |||||||||||
Containers, Packaging, and Glass — 3.50%*: | ||||||||||||||
Appvion Inc.¤ | 9.00 | 6/1/2020 | 13,200,000 | 0 | 0 | |||||||||
Mauser Packaging Solutions^# | 7.25 | 4/15/2025 | 2,575,000 | 2,440,031 | 2,047,125 | |||||||||
Tekni-Plex^# | 9.25 | 8/1/2024 | 8,000,000 | 7,897,972 | 6,640,000 | |||||||||
Total Containers, Packaging, and Glass | 23,775,000 | 10,338,003 | 8,687,125 | |||||||||||
Diversified/Conglomerate Manufacturing — 3.30%*: | ||||||||||||||
Heat Exchangers+^ | 7.78 | 10/9/2025 | 625,000 | 653,572 | 641,102 | |||||||||
Manitowoc Cranes^# | 9.00 | 4/1/2026 | 8,538,000 | 8,564,728 | 7,556,130 | |||||||||
Total Diversified/Conglomerate Manufacturing | 9,163,000 | 9,218,300 | 8,197,232 |
EFFECTIVE INTEREST RATE‡ | DUE DATE | PRINCIPAL | COST | FAIR VALUE | ||||||||||
Corporate Bonds (continued) | ||||||||||||||
Diversified/Conglomerate Service — 4.88%*: | ||||||||||||||
Algeco Scotsman+^# | 6.50 | % | 2/15/2023 | 1,750,000 | $ | 2,135,838 | $ | 1,428,179 | ||||||
Carlson Travel Holdings Inc.^# | 9.50 | 12/15/2024 | 6,040,000 | 6,050,931 | 3,986,400 | |||||||||
Endurance International Group LLC# | 10.88 | 2/1/2024 | 1,490,000 | 1,556,213 | 1,266,500 | |||||||||
Truck Hero Inc.^# | 8.50 | 4/21/2024 | 6,118,000 | 6,144,406 | 5,446,917 | |||||||||
Total Diversified/Conglomerate Service | 15,398,000 | 15,887,388 | 12,127,996 | |||||||||||
Electronics — 8.39%*: | ||||||||||||||
International Wire Group Inc.^# | 10.75 | 8/1/2021 | 7,389,000 | 7,193,121 | 6,169,815 | |||||||||
Veritas Bermuda Ltd.^# | 10.50 | 2/1/2024 | 16,957,000 | 14,843,709 | 14,286,272 | |||||||||
Presidio Inc.^# | 8.25 | 2/1/2028 | 430,000 | 430,000 | 378,937 | |||||||||
24,776,000 | 22,466,830 | 20,835,024 | ||||||||||||
Finance — 2.60%*: | ||||||||||||||
Galaxy Bidco Ltd.+^# | 6.50 | 7/31/2026 | 1,500,000 | 1,865,092 | 1,680,557 | |||||||||
Lowell+^# | 8.50 | 11/1/2022 | 5,575,000 | 7,662,077 | 4,778,037 | |||||||||
Total Finance | 7,075,000 | 9,527,169 | 6,458,594 | |||||||||||
Healthcare, Education and Childcare — 14.69%*: | ||||||||||||||
Advanz Pharma Corp.+# | 8.00 | 9/6/2024 | 3,743,000 | 3,670,587 | 3,293,840 | |||||||||
Avantor Performance Materials Holdings, Inc.^# | 9.00 | 10/1/2025 | 5,180,000 | 5,265,585 | 5,452,986 | |||||||||
Bausch Health Companies Inc.^# | 9.00 | 12/15/2025 | 11,045,000 | 11,287,654 | 11,643,639 | |||||||||
Bausch Health Companies Inc.^# | 9.25 | 4/1/2026 | 3,397,000 | 3,397,000 | 3,589,950 | |||||||||
Bausch Health Companies Inc.^# | 8.50 | 1/31/2027 | 317,000 | 317,000 | 331,265 | |||||||||
Endo International^# | 7.50 | 4/1/2027 | 1,890,000 | 1,890,000 | 1,880,550 | |||||||||
Envision Healthcare Corp.^# | 8.75 | 10/15/2026 | 12,551,000 | 11,643,228 | 3,074,995 | |||||||||
Ortho-Clinical Diagnostics Inc.^# | 7.25 | 2/1/2028 | 2,063,000 | 2,063,000 | 1,773,974 | |||||||||
Radiology Partners Inc.^# | 9.25 | 2/1/2028 | 586,000 | 586,000 | 507,329 | |||||||||
Synlab+^# | 8.25 | 7/1/2023 | 2,000,000 | 2,505,273 | 2,051,395 | |||||||||
Verscend Technologies, Inc.^# | 9.75 | 8/15/2026 | 2,915,000 | 3,087,408 | 2,909,520 | |||||||||
Total Healthcare, Education and Childcare | 45,687,000 | 45,712,735 | 36,509,443 | |||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.09%*: | ||||||||||||||
Balta+^# | 7.75 | 9/15/2022 | 4,171,500 | 4,845,575 | 2,699,757 | |||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 4,171,500 | 4,845,575 | 2,699,757 | |||||||||||
Hotels, Motels, Inns and Gaming — 1.70%*: | ||||||||||||||
Boyne USA, Inc.^# | 7.25 | 5/1/2025 | 950,000 | 950,000 | 907,250 | |||||||||
Golden Nugget Inc.^# | 8.75 | 10/1/2025 | 6,500,000 | 6,652,733 | 3,315,000 | |||||||||
Total Hotels, Motels, Inns and Gaming | 7,450,000 | 7,602,733 | 4,222,250 | |||||||||||
Insurance — 5.82%*: | ||||||||||||||
Acrisure LLC^# | 7.00 | 11/15/2025 | 1,311,000 | 1,257,453 | 1,127,460 | |||||||||
Acrisure LLC^# | 10.13 | 8/1/2026 | 9,575,000 | 9,769,176 | 8,904,750 | |||||||||
Acrisure LLC^# | 8.13 | 2/15/2024 | 4,564,000 | 4,687,694 | 4,445,564 | |||||||||
Total Insurance | 15,450,000 | 15,714,323 | 14,477,774 |
EFFECTIVE INTEREST RATE‡ | DUE DATE | PRINCIPAL | COST | FAIR VALUE | ||||||||||
Corporate Bonds (continued) | ||||||||||||||
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 3.32%*: | ||||||||||||||
Apex Tool Group LLC^# | 9.00 | % | 2/15/2023 | 10,627,000 | $ | 10,422,687 | $ | 6,907,550 | ||||||
Sarens+^# | 5.75 | 2/21/2027 | 1,900,000 | 2,085,826 | 1,353,700 | |||||||||
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic) | 12,527,000 | 12,508,513 | 8,261,250 | |||||||||||
Mining, Steel, Iron and Non-Precious Metals — 10.90%*: | ||||||||||||||
Alliance Resources Partners, L.P.^# | 7.50 | 5/1/2025 | 556,000 | 556,000 | 333,600 | |||||||||
Consol Energy Inc.^# | 11.00 | 11/15/2025 | 10,316,000 | 10,727,943 | 4,126,400 | |||||||||
First Quantum Minerals+^# | 7.25 | 4/1/2023 | 2,000,000 | 1,929,156 | 1,683,750 | |||||||||
First Quantum Minerals+^# | 7.50 | 4/1/2025 | 9,775,000 | 9,381,558 | 8,134,657 | |||||||||
Northwest Acquisitions ULC+^# | 7.13 | 11/1/2022 | 16,122,000 | 12,787,733 | 7,899,780 | |||||||||
SunCoke Energy Inc.^# | 7.50 | 6/15/2025 | 5,743,000 | 5,723,881 | 4,134,960 | |||||||||
Warrior Met Coal Inc.^# | 8.00 | 11/1/2024 | 914,000 | 914,000 | 758,620 | |||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 45,426,000 | 42,020,271 | 27,071,767 | |||||||||||
Oil and Gas — 9.52%*: | ||||||||||||||
Calumet Specialty Products# | 7.63 | 1/15/2022 | 4,398,000 | 4,187,763 | 3,408,450 | |||||||||
Calumet Specialty Products^# | 11.00 | 4/15/2025 | 3,500,000 | 3,536,583 | 2,521,225 | |||||||||
Calumet Specialty Products# | 7.75 | 4/15/2023 | 2,550,000 | 2,397,282 | 1,759,500 | |||||||||
Globe Luxembourg SA+^# | 9.63 | 4/1/2023 | 4,238,000 | 4,282,057 | 1,504,490 | |||||||||
Globe Luxembourg SA+^# | 9.88 | 4/1/2022 | 3,103,000 | 3,155,178 | 1,124,838 | |||||||||
Jonah Energy LLC^# | 7.25 | 10/15/2025 | 5,714,000 | 5,047,653 | 257,130 | |||||||||
Jupiter Resources Inc.+¤ | 10.00 | 1/31/2024 | 1,418,049 | 1,418,049 | 1,418,049 | |||||||||
Laredo Petroleum Inc. | 9.50 | 1/15/2025 | 622,000 | 622,000 | 248,800 | |||||||||
Laredo Petroleum Inc. | 10.13 | 1/15/2028 | 3,765,000 | 3,661,993 | 1,430,700 | |||||||||
MEG Energy Corp.+^# | 7.13 | 2/1/2027 | 898,000 | 898,000 | 443,720 | |||||||||
Vine Oil & Gas^# | 9.75 | 4/15/2023 | 17,662,000 | 15,616,595 | 4,172,647 | |||||||||
Welltec A/S+^# | 9.50 | 12/1/2022 | 5,713,000 | 5,686,209 | 5,370,220 | |||||||||
Total Oil and Gas | 53,581,049 | 50,509,362 | 23,659,769 | |||||||||||
Personal and Non Durable Consumer Products — 0.01%*: | ||||||||||||||
High Ridge Brands Co.^ | 8.88 | 3/15/2025 | 2,982,000 | 2,982,000 | 29,820 | |||||||||
Total Personal and Non Durable Consumer Products | 2,982,000 | 2,982,000 | 29,820 | |||||||||||
Personal Transportation — 0.44%*: | ||||||||||||||
Hertz Corporation^# | 7.63 | 6/1/2022 | 1,014,000 | 1,010,618 | 821,340 | |||||||||
Naviera Armas, 3M EURIBOR + 4.250%+^~ | 4.25 | 11/15/2024 | 150,000 | 124,814 | 60,053 | |||||||||
Naviera Armas, 3M EURIBOR + 6.500%+^~ | 6.50 | 7/31/2023 | 525,000 | 608,732 | 208,448 | |||||||||
Total Personal Transportation | 1,689,000 | 1,744,164 | 1,089,841 |
EFFECTIVE INTEREST RATE‡ | DUE DATE | PRINCIPAL | COST | FAIR VALUE | ||||||||||
Corporate Bonds (continued) | ||||||||||||||
Printing and Publishing — 1.80%*: | ||||||||||||||
Cimpress N.V.^# | 7.00 | % | 6/15/2026 | 2,069,000 | $ | 2,069,000 | $ | 1,820,720 | ||||||
Houghton Mifflin Harcourt Publishers Inc.^# | 9.00 | 2/15/2025 | 3,000,000 | 2,942,534 | 2,640,000 | |||||||||
Total Printing and Publishing | 5,069,000 | 5,011,534 | 4,460,720 | |||||||||||
Retail Store — 0.97%*: | ||||||||||||||
Ken Garff Automotive^# | 7.50 | 8/15/2023 | 1,034,000 | 1,034,000 | 940,940 | |||||||||
Maxeda DIY+^ | 6.13 | 7/15/2022 | 750,000 | 855,530 | 412,215 | |||||||||
Travelex+^# | 8.00 | 5/15/2022 | 4,600,000 | 5,097,230 | 1,063,708 | |||||||||
Total Retail Store | 6,384,000 | 6,986,760 | 2,416,863 | |||||||||||
Telecommunications — 7.76%*: | ||||||||||||||
BMC Software^# | 9.75 | 9/1/2026 | 8,000,000 | 7,735,880 | 7,040,000 | |||||||||
Commscope Inc.^# | 8.25 | 3/1/2027 | 11,673,000 | 11,692,162 | 11,251,605 | |||||||||
Digicel Limited+^# | 8.25 | 9/30/2020 | 2,500,000 | 2,491,458 | 1,000,000 | |||||||||
Total Telecommunications | 22,173,000 | 21,919,500 | 19,291,605 | |||||||||||
Utilities — 1.43%*: | ||||||||||||||
Techem+^# | 6.00 | 7/30/2026 | 3,500,000 | 3,990,790 | 3,551,340 | |||||||||
Total Utilities | 3,500,000 | 3,990,790 | 3,551,340 | |||||||||||
Total Corporate Bonds | 388,325,549 | 373,151,727 | 273,590,784 | |||||||||||
Total Fixed Income | 484,797,778 | 463,245,656 | 330,202,861 | |||||||||||
Total Investments | 487,105,908 | 479,020,094 | 332,007,511 | |||||||||||
Other assets and liabilities — (33.61)% | (83,518,573) | |||||||||||||
Net Assets — 100% | $ | 248,488,938 | ||||||||||||
‡ | The effective interest rates are based on settled commitment amount. | |||||||||||||
* | Calculated as a percentage of net assets applicable to common shareholders. | |||||||||||||
¤ | Value determined using significant unobservable inputs, security is categorized as Level 3. | |||||||||||||
+ | Foreign security. | |||||||||||||
^ | Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||||||||||
~ | Variable rate security. The interest rate shown is the rate in effect at March 31, 2020. | |||||||||||||
# | All or a portion of the security is segregated as collateral for the credit facility. | |||||||||||||
§ | Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at December 31, 2019. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. | |||||||||||||
Distributions of investments by country of risk. Percentage of assets are expressed by market value excluding cash and accrued income as of March 31, 2020. | ||||||||||||||
United States | 78.5% | |||||||||||||
United Kingdom | 6.2% | |||||||||||||
Canada | 3.3% | |||||||||||||
Zambia | 3.0% | |||||||||||||
Germany | 2.2% | |||||||||||||
Netherlands | 1.9% | |||||||||||||
Denmark | 1.6% | |||||||||||||
France | 1.5% | |||||||||||||
Belgium | 1.2% | |||||||||||||
(Individually less than 1%) | 0.6% | |||||||||||||
100.0% |
A summary of outstanding derivatives at March 31, 2020 is as follows: | |||||||||
Schedule of Open Forward Currency Contracts | |||||||||
March 31, 2020 | |||||||||
Forward | Unrealized | ||||||||
Currency to be | Currency to be | Counterparty of | Settlement | Appreciation / | |||||
Received | Delivered(1) | Contract | Date | (Depreciation) | |||||
30,199,805 | USD | (29,173,626) | EUR | Bank of New York | 4/15/2020 | 1,026,179 | |||
8,554,995 | EUR | (8,493,844) | USD | Morgan Stanley | 4/15/2020 | 61,152 | |||
17,319,166 | USD | (16,375,717) | GBP | Bank of New York | 4/15/2020 | 943,450 | |||
6,043,101 | GBP | (6,011,940) | USD | JP Morgan Chase | 4/15/2020 | 31,163 | |||
$ | 2,061,944 | ||||||||
(1) Values are listed in U.S. dollars. |
Schedule of Investments.
Valuation of Instruments
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. For example, market participants would consider the risk inherent in a particular valuation technique used to measure fair value, such as a pricing model, and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed 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 risk, etc.)
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used as of March 31, 2020 in valuing the Fund’s investments:
Description | Level 1 | Level 2 | Level 3 | Total Investments | ||||||||||||
Assets: | ||||||||||||||||
Equities: | ||||||||||||||||
Common Stocks | $ | - | $ | $ | 1,395,644 | $ | 1,395,644 | |||||||||
Preferred Stocks | - | - | 407,394 | 407,394 | ||||||||||||
Warrants | - | - | 1,612 | 1,612 | ||||||||||||
Total Equities: | - | 1,804,650 | 1,804,650 | |||||||||||||
Fixed Income: | ||||||||||||||||
Asset-Backed | $ | - | $ | 20,161,051 | $ | $ | 20,161,051 | |||||||||
Securities Bank Loans | - | 34,266,039 | 2,184,988 | 36,451,027 | ||||||||||||
Corporate Bonds | - | 272,172,739 | 1,418,049 | 273,590,785 | ||||||||||||
Total Fixed Income | $ | - | $ | 326,599,825 | $ | 3,603,037 | $ | 330,202,862 | ||||||||
Derivative Securities: | ||||||||||||||||
Foreign Exchange Contracts: | $ | - | $ | 2,061,944 | $ | - | $ | 2,061,944 | ||||||||
Total Derivative Securities | $ | - | $ | 2,061,944 | $ | - | $ | 2,061,944 | ||||||||
Total Assets | $ | - | $ | 328,6617,68 | $ | 5,407,687 | $ | 334,069,455 |
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of March 31, 2020:
Type of Assets | Fair Value as of March 31, 2020 | Valuation Technique(s) | Unobservable Input |
Equities | |||
Appvion Holdings Corp. | $1,612 | Broker Quote | $0.50; pricing source depth of 1. |
Appvion Inc. | $0 | Broker Quote | $0.125; pricing source depth of 1. |
Boomerang Tube Holdings, Inc. | $0 | Broker Quote | Average Enterprise Valuation Multiple:5.0x; EBITDA: $71.1 million; Discount rate 15% |
Fieldwood Energy LLC | $167,574 | Vendor Price | $1.00; Barings sourced vendor price |
Jupiter Resources Inc. | $1,171,624 | Vendor Price | $1.00; Barings sourced vendor price |
Pinnacle Operating Corp. | $407,394 | Priced at Cost | Priced at cost |
Pinnacle Operating Corp. | $0 | Zero Value | Priced at Zero Value |
Sabine Oil & Gas LLC | $56,446 | Vendor Price | $13.00; Barings sourced vendor price |
Templar Energy LLC | $0 | Broker Quote | $0.00; pricing source depth of 1. |
Templar Energy LLC | $0 | Broker Quote | $0.00; pricing source depth of 1. |
Bank Loans | |||
Boomerang Tube, LLC | $2,184,988 | Discounted Cash Flow | Average Enterprise Valuation Multiple:5.0x; EBITDA: $71.1 million; Discount rate 15% |
Corporate Bonds | |||
Appvion Inc. | $0 | Zero Value | Priced at Zero Value |
Jupiter Resources Inc. | $1,418,049 | Priced at Cost | Priced at cost |
Although the Fund believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
The Fund discloses transfers between levels based on valuations at the end of the reporting period. Based on end of period market values, $0 was transferred from Level 3 to Level 2 for the period from January 1, 2020 through March 31, 2020. The following is a reconciliation of Level 3 investments based upon the inputs used to determine fair value:
BALANCE AT DECEMBER 31, 2018 | TRANSFERS INTO LEVEL 3 | TRANSFERS OUT OF LEVEL 3 | PURCHASES | SALES | ACCRETION OF DISCOUNT | REALIZED GAIN / (LOSS) | CHANGE IN UNREALIZED | BALANCE AT DECEMBER 31, 2019 | TRANSFERS INTO LEVEL 3 | TRANSFERS OUT OF LEVEL 3 | PURCHASES | SALES | ACCRETION OF DISCOUNT | REALIZED GAIN / (LOSS) | CHANGE IN UNREALIZED | BALANCE AT MARCH 31, 2020 | CHANGE IN UNREALIZED APPRECIATION / (DEPRECIATION) FROM INVESTMENTS HELD AS OF March 31, 2020 | |
Equities | ||||||||||||||||||
Boomerang Tube Holdings, Inc. | $3,514,819 | $0 | $0 | $0 | $0 | $0 | $0 | ($1,073,316) | $2,441,503 | $0 | $0 | $0 | $0 | $0 | $0 | ($2,441,503) | $0 | ($2,441,503) |
Fieldwood Energy LLC | $0 | $3,044,317 | $0 | $0 | $0 | $0 | $0 | $0 | $3,044,317 | $0 | $0 | $0 | $0 | $0 | $0 | ($2,876,743) | $167,574 | ($2,876,743) |
Jupiter Resources Inc. | $0 | $1,171,624 | $0 | $0 | $0 | $0 | $0 | $0 | $1,171,624 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $1,171,624 | $0 |
Sabine Oil & Gas LLC | $187,528 | $0 | $0 | $0 | $0 | $0 | $0 | $59,966 | $247,494 | $0 | $0 | $0 | $0 | $0 | $0 | ($191,048) | $56,446 | ($191,048) |
Templar Energy LLC | $81,235 | $0 | $0 | $0 | $0 | $0 | $0 | ($81,235) | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 |
Templar Energy LLC | $216,426 | $0 | $0 | $150,190 | $0 | $0 | $0 | ($366,616) | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 |
Common Stocks | $4,000,008 | $4,215,941 | $0 | $150,190 | $0 | $0 | $0 | ($1,461,201) | $6,904,938 | $0 | $0 | $0 | $0 | $0 | $0 | ($5,509,294) | $1,395,644 | ($5,509,294) |
Pinnacle Operating Corp. | $136,835 | $0 | $0 | $0 | $0 | $0 | $0 | ($136,835) | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 |
Pinnacle Operating Corp. | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $407,394 | $0 | $0 | $0 | $0 | $407,394 | $0 |
Pinnacle Operating Corp. | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 |
Preferred Stocks | $136,835 | $0 | $0 | $0 | $0 | $0 | $0 | ($136,835) | $0 | $0 | $0 | $407,394 | $0 | $0 | $0 | $0 | $407,394 | $0 |
Appvion Holdings Corp | $137,279 | $0 | $0 | $0 | $0 | $0 | $0 | ($134,056) | $3,223 | $0 | $0 | $0 | $0 | $0 | $0 | ($1,611) | $1,612 | ($1,611) |
Appvion Inc. | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $1,612 | $1,612 | $0 | $0 | $0 | $0 | $0 | $0 | ($1,612) | $0 | ($1,612) |
Sabine Oil & Gas LLC | $20,268 | $0 | $0 | $0 | $0 | $0 | $0 | $156,587 | $176,855 | $0 | $0 | $0 | ($60,669) | $0 | $107,548 | ($223,735) | $0 | ($223,735) |
Warrants | $157,547 | $0 | $0 | $0 | $0 | $0 | $0 | $24,143 | $181,690 | $0 | $0 | $0 | ($60,669) | $0 | $107,548 | ($226,958) | $1,612 | ($226,958) |
Total Equities | $4,294,390 | $4,215,941 | $0 | $150,190 | $0 | $0 | $0 | ($1,573,893) | $7,086,628 | $0 | $0 | $407,394 | ($60,669) | $0 | $107,548 | ($5,736,252) | $1,804,650 | ($5,736,252) |
Boomerang Tube, LLC | $2,540,684 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $2,540,684 | $0 | $0 | $0 | $0 | $0 | $0 | ($355,696) | $2,184,988 | ($355,696) |
Bank Loans | $2,540,684 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $2,540,684 | $0 | $0 | $0 | $0 | $0 | $0 | ($355,696) | $2,184,988 | ($355,696) |
Appvion Inc. | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 |
Jupiter Resources Inc. | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $1,418,049 | $0 | $0 | $0 | $0 | $1,418,049 | $0 |
Corporate Bonds | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $1,418,049 | $0 | $0 | $0 | $0 | $1,418,049 | $0 |
Total Fixed Income | $2,540,684 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $2,540,684 | $0 | $0 | $1,418,049 | $0 | $0 | $0 | ($355,696) | $3,603,037 | ($355,696) |
Total | $6,835,074 | $4,215,941 | $0 | $150,190 | $0 | $0 | $0 | ($1,573,893) | $9,627,312 | $0 | $0 | $1,825,443 | ($60,669) | $0 | $107,548 | ($6,091,947) | $5,407,687 | ($6,045,068) |