STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2020 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% | |||||||||
Advertising - 1.0% | |||||||||
Advantage Sales & Marketing, Sr. Scd. Notes | 6.50 | 11/15/2028 | 75,000 | c | 76,828 | ||||
Clear Channel International, Sr. Scd. Notes | 6.63 | 8/1/2025 | 365,000 | c | 381,881 | ||||
Outfront Media Capital, Gtd. Notes | 5.00 | 8/15/2027 | 255,000 | c | 261,474 | ||||
Terrier Media Buyer, Gtd. Notes | 8.88 | 12/15/2027 | 560,000 | c | 605,850 | ||||
1,326,033 | |||||||||
Aerospace & Defense - 1.2% | |||||||||
TransDigm, Gtd. Notes | 5.50 | 11/15/2027 | 550,000 | 568,425 | |||||
TransDigm, Gtd. Notes | 6.50 | 5/15/2025 | 1,005,000 | 1,029,497 | |||||
1,597,922 | |||||||||
Airlines - .2% | |||||||||
American Airlines, Sr. Scd. Notes | 11.75 | 7/15/2025 | 300,000 | c | 332,250 | ||||
Automobiles & Components - 2.5% | |||||||||
American Axle & Manufacturing, Gtd. Notes | 6.25 | 4/1/2025 | 485,000 | 503,188 | |||||
Clarios Global, Gtd. Notes | 8.50 | 5/15/2027 | 680,000 | c | 732,972 | ||||
Dealer Tire, Sr. Unscd. Notes | 8.00 | 2/1/2028 | 735,000 | c | 757,050 | ||||
Ford Motor, Sr. Unscd. Notes | 5.29 | 12/8/2046 | 135,000 | 135,591 | |||||
Ford Motor, Sr. Unscd. Notes | 8.50 | 4/21/2023 | 195,000 | 219,078 | |||||
Ford Motor, Sr. Unscd. Notes | 9.00 | 4/22/2025 | 480,000 | 583,927 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 5.11 | 5/3/2029 | 400,000 | 432,100 | |||||
3,363,906 | |||||||||
Building Materials - 1.2% | |||||||||
Cornerstone Building Brands, Gtd. Notes | 6.13 | 1/15/2029 | 60,000 | c | 63,413 | ||||
Cornerstone Building Brands, Gtd. Notes | 8.00 | 4/15/2026 | 740,000 | c | 780,256 | ||||
CP Atlas Buyer, Sr. Unscd. Notes | 7.00 | 12/1/2028 | 120,000 | c | 124,425 | ||||
Griffon, Gtd. Notes | 5.75 | 3/1/2028 | 395,000 | 418,996 | |||||
US Concrete, Gtd. Notes | 5.13 | 3/1/2029 | 245,000 | c | 252,546 | ||||
1,639,636 | |||||||||
Chemicals - 3.1% | |||||||||
Consolidated Energy Finance, Sr. Unscd. Notes | 6.88 | 6/15/2025 | 635,000 | c | 624,418 | ||||
CVR Partners, Scd. Notes | 9.25 | 6/15/2023 | 1,315,000 | c | 1,308,425 | ||||
Innophos Holdings, Sr. Unscd. Notes | 9.38 | 2/15/2028 | 770,000 | c | 847,481 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Chemicals - 3.1% (continued) | |||||||||
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% @ Floor | EUR | 4.75 | 9/30/2024 | 280,000 | c,d | 320,100 | |||
Venator Finance, Gtd. Notes | 5.75 | 7/15/2025 | 495,000 | c | 435,266 | ||||
Venator Finance, Sr. Scd. Notes | 9.50 | 7/1/2025 | 545,000 | c | 599,500 | ||||
4,135,190 | |||||||||
Collateralized Loan Obligations Debt - 27.5% | |||||||||
Ares European VIII CLO , Ser. 8X, Cl. ER, 3 Month EURIBOR +6.32% @ Floor | EUR | 6.32 | 4/17/2032 | 1,500,000 | d | 1,765,370 | |||
Avoca Designated Activity XVII CLO, Ser. 17X, Cl. ER, 3 Month EURIBOR +6.38% @ Floor | EUR | 6.38 | 10/15/2032 | 950,000 | d | 1,114,640 | |||
Battalion VII CLO, Ser. 2014-7A, Cl. DRR, 3 Month LIBOR +6.31% | 6.53 | 7/17/2028 | 375,000 | c,d | 358,525 | ||||
Cairn III CLO, Ser. 2013-3A, Cl. F, 6 Month EURIBOR +6.60% @ Floor | EUR | 6.60 | 10/20/2028 | 3,000,000 | c,d | 3,263,905 | |||
Carlyle Global Market Strategies Euro CLO, Ser. 2014-1X, Cl. FR, 3 Month EURIBOR +6.61% @ Floor | EUR | 6.61 | 7/15/2031 | 3,000,000 | d | 3,049,650 | |||
Carlyle Global Market Strategies Euro CLO, Ser. 2015-3A, Cl. ER, 3 Month EURIBOR +6.44% @ Floor | EUR | 6.44 | 7/15/2030 | 2,000,000 | c,d | 2,073,798 | |||
Carlyle Global Market Strategies Euro CLO, Ser. 2016-2A, Cl. E, 3 Month EURIBOR +7.75% @ Floor | EUR | 7.75 | 1/18/2030 | 2,000,000 | c,d | 2,016,485 | |||
CIFC Funding CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% | 5.22 | 4/18/2031 | 1,000,000 | c,d | 903,503 | ||||
Crosthwaite Park CLO, Ser. 1A, Cl. D, 3 Month EURIBOR +6.20% @ Floor | EUR | 6.20 | 3/15/2032 | 1,000,000 | c,d | 1,171,012 | |||
Crosthwaite Park CLO, Ser. 1X, Cl. D, 3 Month EURIBOR +6.20% @ Floor | EUR | 6.20 | 3/15/2032 | 1,000,000 | d | 1,171,012 | |||
Dryden Senior Loan Fund CLO, Ser. 2017-49A, Cl. E, 3 Month LIBOR +6.30% | 6.52 | 7/18/2030 | 1,350,000 | c,d | 1,306,012 | ||||
Euro-Galaxy IV CLO, Ser. 2015-4A, Cl. FR, 3 Month EURIBOR +6.85% @ Floor | EUR | 6.85 | 7/30/2030 | 2,000,000 | c,d | 2,246,138 | |||
KKR CLO, Ser. 23, Cl. E, 3 Month LIBOR +6.00% | 6.22 | 10/20/2031 | 800,000 | c,d | 746,075 | ||||
Madison Park Funding XXX CLO, Ser. 2018-30A, Cl. D, 3 Month LIBOR +2.50% | 2.74 | 4/15/2029 | 765,000 | c,d | 722,358 | ||||
Marble Point XII CLO , Ser. 2018-1A, Cl. E, 3 Month LIBOR +6.00% | 6.23 | 7/16/2031 | 750,000 | c,d | 635,080 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Collateralized Loan Obligations Debt - 27.5% (continued) | |||||||||
OCP CLO, Ser. 2014-6A, Cl. DR, 3 Month LIBOR +6.52% | 6.74 | 10/17/2030 | 1,000,000 | c,d | 922,915 | ||||
OZLM VI CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | 6.27 | 4/17/2031 | 2,000,000 | c,d | 1,696,939 | ||||
OZLM XIII CLO, Ser. 2015-13A, Cl. D, 3 Month LIBOR +5.45% | 5.66 | 7/30/2027 | 2,250,000 | c,d | 1,957,491 | ||||
OZLME III CLO, Ser. 3X, Cl. F, 3 Month EURIBOR +6.45% @ Floor | EUR | 6.45 | 8/24/2030 | 1,000,000 | d | 1,002,319 | |||
Rockford Tower CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.85% | 6.07 | 5/20/2031 | 375,000 | c,d | 342,489 | ||||
Rockford Tower Europe CLO, Ser. 2019-1A, Cl. E, 3 Month EURIBOR +6.03% @ Floor | EUR | 6.03 | 1/20/2033 | 1,000,000 | c,d | 1,154,628 | |||
St. Paul's V CLO, Ser. 5A, Cl. FR, 3 Month EURIBOR +6.60% @ Floor | EUR | 6.60 | 8/20/2030 | 4,000,000 | c,d | 4,297,651 | |||
Vibrant III CLO, Ser. 2015-3A, Cl. DRR, 3 Month LIBOR +6.35% | 6.57 | 10/20/2031 | 1,000,000 | c,d | 845,549 | ||||
Wellfleet X CLO, Ser. 2019-XA, CI. D, 3 Month LIBOR +7.03% | 7.25 | 4/20/2032 | 1,776,000 | c,d | 1,709,741 | ||||
York 1 CLO, Ser. 2014-1A, Cl. DRR, 3 Month LIBOR +3.01% | 3.23 | 10/22/2029 | 570,000 | c,d | 541,290 | ||||
37,014,575 | |||||||||
Collateralized Loan Obligations Equity - 2.6% | |||||||||
Dryden Senior Loan Fund CLO, Ser. 2014-36A, Cl. SUB | 0.00 | 4/15/2029 | 2,450,931 | c,e | 1,074,221 | ||||
Dryden Senior Loan Fund CLO, Ser. 2014-36A, Cl. SUBR | 0.00 | 4/15/2029 | 484,569 | c,e | 212,382 | ||||
KVK CLO, Ser. 2018-1A, Cl. SUB1 | 5.15 | 5/20/2029 | 4,000,000 | c,e | 876,616 | ||||
Madison Park Funding X CLO, Ser. 2012-10A, Cl. SUB | 0.00 | 1/20/2029 | 3,000,000 | c,e | 1,296,003 | ||||
3,459,222 | |||||||||
Commercial & Professional Services - 3.1% | |||||||||
Allied Universal Holdco, Sr. Scd. Notes | 6.63 | 7/15/2026 | 140,000 | c | 150,675 | ||||
APX Group, Sr. Scd. Notes | 6.75 | 2/15/2027 | 450,000 | c | 486,563 | ||||
La Financiere Atalian, Gtd. Bonds | EUR | 5.13 | 5/15/2025 | 1,000,000 | 1,120,523 | ||||
MPH Acquisition Holdings, Gtd. Notes | 5.75 | 11/1/2028 | 83,000 | c | 81,444 | ||||
Nielsen Finance, Gtd. Notes | 5.88 | 10/1/2030 | 225,000 | c | 247,641 | ||||
Prime Security Services Borrower, Scd. Notes | 6.25 | 1/15/2028 | 470,000 | c | 494,717 | ||||
Sabre GLBL, Sr. Scd. Notes | 7.38 | 9/1/2025 | 160,000 | c | 172,640 | ||||
Verisure Midholding, Gtd. Bonds | EUR | 5.75 | 12/1/2023 | 610,000 | c | 737,430 | |||
Verscend Escrow, Sr. Unscd. Notes | 9.75 | 8/15/2026 | 605,000 | c | 658,316 | ||||
4,149,949 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Consumer Discretionary - 4.8% | |||||||||
Allen Media, Gtd. Notes | 10.50 | 2/15/2028 | 800,000 | c | 827,876 | ||||
Ashton Woods USA, Sr. Unscd. Notes | 6.63 | 1/15/2028 | 365,000 | c | 377,775 | ||||
Ashton Woods USA, Sr. Unscd. Notes | 6.75 | 8/1/2025 | 25,000 | c | 26,154 | ||||
Banijay Group, Sr. Unscd. Notes | EUR | 6.50 | 3/1/2026 | 960,000 | c | 1,153,530 | |||
Caesars Entertainment, Sr. Unscd. Notes | 8.13 | 7/1/2027 | 365,000 | c | 401,956 | ||||
Carnival, Sr. Scd. Bonds | EUR | 10.13 | 2/1/2026 | 250,000 | c | 349,501 | |||
Carnival, Sr. Unscd. Bonds | EUR | 7.63 | 3/1/2026 | 200,000 | c | 252,288 | |||
Carnival, Sr. Unscd. Notes | 7.63 | 3/1/2026 | 75,000 | c | 79,757 | ||||
CCM Merger, Sr. Unscd. Notes | 6.38 | 5/1/2026 | 55,000 | c | 57,618 | ||||
Core & Main Holdings, Sr. Unscd. Notes | 8.63 | 9/15/2024 | 880,000 | c | 903,742 | ||||
International Game Technology, Sr. Scd. Notes | 5.25 | 1/15/2029 | 660,000 | c | 699,257 | ||||
Lions Gate Capital Holdings, Gtd. Notes | 6.38 | 2/1/2024 | 655,000 | c | 675,125 | ||||
Scientific Games International, Gtd. Notes | 7.25 | 11/15/2029 | 60,000 | c | 63,788 | ||||
Scientific Games International, Gtd. Notes | 8.63 | 7/1/2025 | 230,000 | c | 248,685 | ||||
Scientific Games International, Sr. Scd. Notes | 5.00 | 10/15/2025 | 290,000 | c | 298,700 | ||||
6,415,752 | |||||||||
Diversified Financials - 3.2% | |||||||||
Cabot Financial Luxembourg, Sr. Scd. Notes | GBP | 7.50 | 10/1/2023 | 211,700 | 288,579 | ||||
Compass Group Diversified Holdings, Sr. Unscd. Notes | 8.00 | 5/1/2026 | 240,000 | c | 254,054 | ||||
Encore Capital Group, Sr. Scd. Bonds | GBP | 5.38 | 2/15/2026 | 150,000 | c | 202,722 | |||
FS Energy & Power Fund, Sr. Scd. Notes | 7.50 | 8/15/2023 | 1,165,000 | c | 1,103,960 | ||||
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | 11/1/2025 | 235,000 | c | 322,693 | |||
Garfunkelux Holdco 3, Sr. Scd. Notes | EUR | 6.75 | 11/1/2025 | 260,000 | c | 320,178 | |||
Icahn Enterprises, Gtd. Notes | 6.25 | 5/15/2026 | 285,000 | 298,475 | |||||
Nationstar Mortgage Holdings, Gtd. Notes | 5.50 | 8/15/2028 | 435,000 | c | 453,759 | ||||
Navient, Sr. Unscd. Notes | 5.88 | 10/25/2024 | 525,000 | 552,300 | |||||
Navient, Sr. Unscd. Notes | 7.25 | 9/25/2023 | 465,000 | 507,722 | |||||
4,304,442 | |||||||||
Electronic Components - .3% | |||||||||
Wesco Distribution, Gtd. Notes | 7.25 | 6/15/2028 | 380,000 | c | 427,441 | ||||
Energy - 7.7% | |||||||||
Antero Midstream Partners, Gtd. Notes | 5.38 | 9/15/2024 | 315,000 | 297,952 | |||||
Antero Midstream Partners, Gtd. Notes | 5.75 | 3/1/2027 | 180,000 | c | 164,363 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Energy - 7.7% (continued) | |||||||||
Antero Midstream Partners, Gtd. Notes | 7.88 | 5/15/2026 | 145,000 | c | 145,780 | ||||
Antero Resources, Gtd. Notes | 5.63 | 6/1/2023 | 90,000 | 80,663 | |||||
Apache, Sr. Unscd. Notes | 5.10 | 9/1/2040 | 235,000 | 241,609 | |||||
Apache, Sr. Unscd. Notes | 5.35 | 7/1/2049 | 55,000 | 53,488 | |||||
Blue Racer Midstream, Gtd. Notes | 6.13 | 11/15/2022 | 320,000 | c | 320,696 | ||||
Crestwood Midstream Partners, Gtd. Notes | 5.63 | 5/1/2027 | 110,000 | c | 106,003 | ||||
Crestwood Midstream Partners, Gtd. Notes | 5.75 | 4/1/2025 | 575,000 | 572,125 | |||||
CrownRock, Sr. Unscd. Notes | 5.63 | 10/15/2025 | 740,000 | c | 754,522 | ||||
CVR Energy, Gtd. Bonds | 5.25 | 2/15/2025 | 255,000 | c | 224,878 | ||||
CVR Energy, Gtd. Bonds | 5.75 | 2/15/2028 | 180,000 | c | 151,200 | ||||
DCP Midstream Operating, Gtd. Notes | 5.63 | 7/15/2027 | 225,000 | 243,788 | |||||
Double Eagle Finance, Sr. Unscd. Notes | 7.75 | 12/15/2025 | 230,000 | c | 236,900 | ||||
Endeavor Energy Resources, Sr. Unscd. Notes | 6.63 | 7/15/2025 | 57,000 | c | 60,844 | ||||
EQM Midstream Partners, Sr. Unscd. Notes | 5.50 | 7/15/2028 | 130,000 | 138,537 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 6.00 | 7/1/2025 | 195,000 | c | 207,919 | ||||
EQM Midstream Partners, Sr. Unscd. Notes | 6.50 | 7/1/2027 | 160,000 | c | 176,626 | ||||
EQT, Sr. Unscd. Notes | 5.00 | 1/15/2029 | 30,000 | 31,725 | |||||
EQT, Sr. Unscd. Notes | 7.88 | 2/1/2025 | 240,000 | 275,135 | |||||
Genesis Energy, Gtd. Bonds | 5.63 | 6/15/2024 | 1,110,000 | 1,045,481 | |||||
Genesis Energy, Gtd. Notes | 6.00 | 5/15/2023 | 175,000 | 170,288 | |||||
Laredo Petroleum, Gtd. Notes | 9.50 | 1/15/2025 | 170,000 | 115,865 | |||||
Newfield Exploration, Gtd. Notes | 5.63 | 7/1/2024 | 175,000 | 185,964 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 5.88 | 9/1/2025 | 45,000 | 45,495 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.38 | 9/1/2028 | 121,000 | 123,586 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.45 | 9/15/2036 | 175,000 | 171,290 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.95 | 7/1/2024 | 155,000 | 163,913 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 7.50 | 5/1/2031 | 360,000 | 379,350 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 8.88 | 7/15/2030 | 595,000 | 672,722 | |||||
Ovintiv, Gtd. Notes | 6.63 | 8/15/2037 | 90,000 | 95,270 | |||||
PBF Holding, Sr. Scd. Notes | 9.25 | 5/15/2025 | 527,000 | c | 525,116 | ||||
PDC Energy, Gtd. Notes | 6.13 | 9/15/2024 | 350,000 | 356,680 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Energy - 7.7% (continued) | |||||||||
Precision Drilling, Gtd. Notes | 7.75 | 12/15/2023 | 600,000 | 484,335 | |||||
Southwestern Energy, Gtd. Notes | 6.45 | 1/23/2025 | 330,000 | 338,044 | |||||
Southwestern Energy, Gtd. Notes | 7.50 | 4/1/2026 | 125,000 | 130,400 | |||||
Southwestern Energy, Gtd. Notes | 8.38 | 9/15/2028 | 125,000 | 137,891 | |||||
USA Compression Partners, Gtd. Notes | 6.88 | 9/1/2027 | 460,000 | 485,673 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.50 | 3/1/2028 | 215,000 | 218,225 | |||||
10,330,341 | |||||||||
Environmental Control - .7% | |||||||||
Covanta Holding, Gtd. Notes | 5.00 | 9/1/2030 | 86,000 | 91,698 | |||||
GFL Environmental, Sr. Unscd. Notes | 8.50 | 5/1/2027 | 320,000 | c | 354,200 | ||||
Harsco, Gtd. Notes | 5.75 | 7/31/2027 | 425,000 | c | 450,243 | ||||
896,141 | |||||||||
Food Products - .3% | |||||||||
United Natural Foods, Gtd. Notes | 6.75 | 10/15/2028 | 360,000 | c | 373,950 | ||||
Forest Products & Paper - .5% | |||||||||
Fabric BC, Sr. Scd. Notes, 3 Month EURIBOR +4.13% @ Floor | EUR | 4.13 | 11/30/2024 | 300,000 | d | 357,408 | |||
Mercer International, Sr. Unscd. Notes | 7.38 | 1/15/2025 | 350,000 | 362,469 | |||||
719,877 | |||||||||
Health Care - 4.3% | |||||||||
Bausch Health, Gtd. Notes | 5.25 | 2/15/2031 | 70,000 | c | 70,825 | ||||
Bausch Health, Gtd. Notes | 5.25 | 1/30/2030 | 125,000 | c | 127,929 | ||||
Bausch Health, Gtd. Notes | 6.13 | 4/15/2025 | 335,000 | c | 345,013 | ||||
Bausch Health, Gtd. Notes | 6.25 | 2/15/2029 | 500,000 | c | 530,720 | ||||
CHEPLAPHARM Arzneimittel, Sr. Scd. Notes | 5.50 | 1/15/2028 | 405,000 | c | 419,256 | ||||
Community Health Systems, Sr. Scd. Notes | 6.63 | 2/15/2025 | 725,000 | c | 739,355 | ||||
Community Health Systems, Sr. Scd. Notes | 8.63 | 1/15/2024 | 120,000 | c | 125,025 | ||||
LifePoint Health, Gtd. Notes | 5.38 | 1/15/2029 | 120,000 | c | 120,000 | ||||
Nidda BondCo GmbH, Gtd. Notes | EUR | 5.00 | 9/30/2025 | 290,000 | 349,922 | ||||
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | 7.25 | 2/1/2028 | 920,000 | c | 981,539 | ||||
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | 7.38 | 6/1/2025 | 125,000 | c | 133,984 | ||||
Prime Healthcare Services, Sr. Scd. Notes | 7.25 | 11/1/2025 | 235,000 | c | 246,047 | ||||
Surgery Center Holdings, Gtd. Notes | 6.75 | 7/1/2025 | 140,000 | c | 142,538 | ||||
Surgery Center Holdings, Gtd. Notes | 10.00 | 4/15/2027 | 260,000 | c | 285,188 | ||||
Tenet Healthcare, Gtd. Notes | 6.13 | 10/1/2028 | 330,000 | c | 335,156 | ||||
Tenet Healthcare, Sr. Scd. Notes | 7.50 | 4/1/2025 | 290,000 | c | 317,840 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Health Care - 4.3% (continued) | |||||||||
West Street Merger Sub, Sr. Unscd. Notes | 6.38 | 9/1/2025 | 460,000 | c | 472,938 | ||||
5,743,275 | |||||||||
Industrial - 2.2% | |||||||||
Bombardier, Sr. Unscd. Notes | 6.00 | 10/15/2022 | 360,000 | c | 343,197 | ||||
Brand Industrial Services, Sr. Unscd. Notes | 8.50 | 7/15/2025 | 560,000 | c | 558,600 | ||||
Gates Global, Gtd. Notes | 6.25 | 1/15/2026 | 720,000 | c | 755,402 | ||||
General Electric, Jr. Sub. Debs., Ser. D | 5.00 | 1/21/2021 | 270,000 | f | 240,776 | ||||
Heathrow Finance, Sr. Scd. Bonds | GBP | 4.38 | 9/1/2029 | 190,000 | 250,702 | ||||
Husky III Holding, Sr. Unscd. Notes | 13.00 | 2/15/2025 | 410,000 | c | 442,031 | ||||
Titan Acquisition, Sr. Unscd. Notes | 7.75 | 4/15/2026 | 400,000 | c | 416,000 | ||||
3,006,708 | |||||||||
Information Technology - 1.2% | |||||||||
Ascend Learning, Sr. Unscd. Notes | 6.88 | 8/1/2025 | 520,000 | c | 537,495 | ||||
Ascend Learning, Sr. Unscd. Notes | 6.88 | 8/1/2025 | 9,000 | c | 9,325 | ||||
Boxer Parent, Sr. Scd. Notes | EUR | 6.50 | 10/2/2025 | 140,000 | c | 177,433 | |||
Genesys Telecommunications Laboratories, Gtd. Notes | 10.00 | 11/30/2024 | 305,000 | c | 320,936 | ||||
Rackspace Technology Global, Sr. Unscd. Notes | 5.38 | 12/1/2028 | 140,000 | c | 146,679 | ||||
The Dun & Bradstreet, Gtd. Notes | 10.25 | 2/15/2027 | 384,000 | c | 431,929 | ||||
1,623,797 | |||||||||
Insurance - 1.5% | |||||||||
AmWINS Group, Gtd. Notes | 7.75 | 7/1/2026 | 565,000 | c | 612,211 | ||||
GTCR AP Finance, Sr. Unscd. Notes | 8.00 | 5/15/2027 | 675,000 | c | 731,531 | ||||
HUB International, Sr. Unscd. Notes | 7.00 | 5/1/2026 | 640,000 | c | 668,643 | ||||
2,012,385 | |||||||||
Materials - 2.9% | |||||||||
ARD Finance, Sr. Scd. Notes | EUR | 5.00 | 6/30/2027 | 335,000 | 407,718 | ||||
ARD Finance, Sr. Scd. Notes | 6.50 | 6/30/2027 | 365,000 | c | 385,075 | ||||
Graham Packaging, Gtd. Notes | 7.13 | 8/15/2028 | 490,000 | c | 526,444 | ||||
LABL Escrow Issuer, Sr. Unscd. Notes | 10.50 | 7/15/2027 | 715,000 | c | 794,097 | ||||
Mauser Packaging Solutions Holding, Sr. Scd. Notes | 8.50 | 4/15/2024 | 175,000 | c | 183,750 | ||||
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | 7.25 | 4/15/2025 | 1,340,000 | c | 1,346,633 | ||||
Trivium Packaging Finance, Gtd. Notes | 8.50 | 8/15/2027 | 235,000 | c | 254,805 | ||||
3,898,522 | |||||||||
Media - 2.9% | |||||||||
Altice Finco, Scd. Notes | EUR | 4.75 | 1/15/2028 | 750,000 | c | 856,599 | |||
Diamond Sports Group, Sr. Scd. Notes | 5.38 | 8/15/2026 | 25,000 | c | 19,422 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Media - 2.9% (continued) | |||||||||
DISH DBS, Gtd. Notes | 5.88 | 11/15/2024 | 510,000 | 543,150 | |||||
DISH DBS, Gtd. Notes | 7.38 | 7/1/2028 | 325,000 | 353,031 | |||||
iHeartCommunications, Sr. Scd. Notes | 4.75 | 1/15/2028 | 225,000 | c | 227,770 | ||||
Meredith, Sr. Scd. Notes | 6.50 | 7/1/2025 | 159,000 | c | 170,229 | ||||
Radiate Holdco, Sr. Unscd. Notes | 6.50 | 9/15/2028 | 318,000 | c | 338,638 | ||||
Scripps Escrow, Gtd. Notes | 5.88 | 7/15/2027 | 180,000 | c | 181,575 | ||||
Summer Bidco, Sr. Unscd. Bonds | EUR | 9.00 | 11/15/2025 | 424,744 | c | 527,531 | |||
Tele Columbus, Sr. Scd. Notes | EUR | 3.88 | 5/2/2025 | 435,000 | c | 499,911 | |||
The EW Scripps Company, Gtd. Notes | 5.13 | 5/15/2025 | 155,000 | c | 155,678 | ||||
3,873,534 | |||||||||
Metals & Mining - .6% | |||||||||
Hudbay Minerals, Gtd. Notes | 6.13 | 4/1/2029 | 101,000 | c | 108,858 | ||||
Hudbay Minerals, Gtd. Notes | 7.63 | 1/15/2025 | 710,000 | c | 737,956 | ||||
846,814 | |||||||||
Real Estate - .8% | |||||||||
Ladder Capital Finance Holdings, Gtd. Notes | 5.25 | 10/1/2025 | 880,000 | c | 848,650 | ||||
Starwood Property Trust, Sr. Unscd. Notes | 5.50 | 11/1/2023 | 250,000 | c | 252,813 | ||||
1,101,463 | |||||||||
Retailing - 2.0% | |||||||||
Golden Nugget, Gtd. Notes | 8.75 | 10/1/2025 | 140,000 | c | 141,750 | ||||
Macy's, Sr. Scd. Notes | 8.38 | 6/15/2025 | 535,000 | c | 583,894 | ||||
Staples, Sr. Scd. Notes | 7.50 | 4/15/2026 | 575,000 | c | 580,273 | ||||
The Very Group Funding, Sr. Scd. Notes | GBP | 7.75 | 11/15/2022 | 570,000 | c | 768,615 | |||
White Cap Buyer, Sr. Unscd. Notes | 6.88 | 10/15/2028 | 550,000 | c | 586,196 | ||||
2,660,728 | |||||||||
Technology Hardware & Equipment - .9% | |||||||||
Banff Merger Sub, Sr. Unscd. Notes | EUR | 8.38 | 9/1/2026 | 495,000 | c | 611,717 | |||
Banff Merger Sub, Sr. Unscd. Notes | 9.75 | 9/1/2026 | 355,000 | c | 380,791 | ||||
Everi Payments, Gtd. Notes | 7.50 | 12/15/2025 | 250,000 | c | 257,786 | ||||
1,250,294 | |||||||||
Telecommunication Services - 5.1% | |||||||||
Altice France Holding, Sr. Scd. Notes | EUR | 8.00 | 5/15/2027 | 270,000 | c | 348,425 | |||
Altice France Holding, Sr. Scd. Notes | 10.50 | 5/15/2027 | 780,000 | c | 880,678 | ||||
CenturyLink, Sr. Unscd. Debs., Ser. G | 6.88 | 1/15/2028 | 485,000 | 558,264 | |||||
Cincinnati Bell, Gtd. Notes | 8.00 | 10/15/2025 | 505,000 | c | 541,650 | ||||
CommScope, Gtd. Notes | 7.13 | 7/1/2028 | 225,000 | c | 240,172 | ||||
CommScope, Gtd. Notes | 8.25 | 3/1/2027 | 770,000 | c | 830,641 | ||||
Connect Finco, Sr. Scd. Notes | 6.75 | 10/1/2026 | 665,000 | c | 690,170 | ||||
DKT Finance, Sr. Scd. Notes | 9.38 | 6/17/2023 | 1,240,000 | c | 1,283,710 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 85.1% (continued) | |||||||||
Telecommunication Services - 5.1% (continued) | |||||||||
Embarq, Sr. Unscd. Notes | 8.00 | 6/1/2036 | 655,000 | 788,014 | |||||
Intrado, Gtd. Notes | 8.50 | 10/15/2025 | 370,000 | c | 354,506 | ||||
ViaSat, Sr. Unscd. Notes | 5.63 | 9/15/2025 | 165,000 | c | 168,094 | ||||
ViaSat, Sr. Unscd. Notes | 6.50 | 7/15/2028 | 230,000 | c | 242,430 | ||||
6,926,754 | |||||||||
Utilities - .8% | |||||||||
Pike, Sr. Unscd. Notes | 5.50 | 9/1/2028 | 395,000 | c | 414,750 | ||||
Viridian Group FinanceCo, Sr. Scd. Notes | GBP | 4.75 | 9/15/2024 | 505,000 | 682,498 | ||||
1,097,248 | |||||||||
Total Bonds and Notes | 114,528,149 | ||||||||
Floating Rate Loan Interests - 47.6% | |||||||||
Advertising - 1.6% | |||||||||
ABG Intermediate Holdings 2, First Lien Incremental Amendment No. 5 Term Loan, 3 Month LIBOR +5.25% | 6.25 | 9/29/2024 | 71,000 | d | 70,823 | ||||
ABG Intermediate Holdings 2, First Lien Initial Term Loan, 3 Month LIBOR +3.50% | 3.71 | 9/29/2024 | 566,558 | d | 559,983 | ||||
Advantage Sales & Marketing, Term Loan B, 1 Month LIBOR +5.25% | 6.00 | 10/28/2027 | 252,574 | d | 250,882 | ||||
Clear Channel Outdoor Holdings, Term Loan B, 3 Month LIBOR +3.50% | 3.65 | 8/21/2026 | 235,476 | d | 222,230 | ||||
Polyconcept North America Holdings, First Lien Closing Date Term Loan, 3 Month LIBOR +4.50% | 5.50 | 8/16/2023 | 727,460 | d | 672,900 | ||||
Red Ventures, Term Loan B, 1 Month LIBOR +3.50% | 4.25 | 11/8/2024 | 148,950 | d | 147,833 | ||||
Terrier Media Buyer, Term Loan, 1 Month LIBOR +4.25% | 4.40 | 12/17/2026 | 201,628 | d | 199,533 | ||||
2,124,184 | |||||||||
Airlines - .2% | |||||||||
American Airlines, Term Loan B, 3 Month LIBOR +2.00% | 2.16 | 12/14/2023 | 229,299 | d | 204,196 | ||||
JetBlue Airways, Term Loan, 3 Month LIBOR +5.25% | 6.25 | 6/17/2024 | 112,233 | d | 114,361 | ||||
318,557 | |||||||||
Automobiles & Components - .4% | |||||||||
Clarios Global, First Lien Initial Dollar Term Loan, 1 Month LIBOR +3.50% | 3.72 | 4/30/2026 | 413,967 | d | 410,639 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Automobiles & Components - .4% (continued) | |||||||||
CTOS, Term Loan B, 1 Month LIBOR +4.25% | 4.40 | 4/18/2025 | 205,583 | d | 205,326 | ||||
615,965 | |||||||||
Beverage Products - .0% | |||||||||
Arterra Wines Canada, Term Loan B-1, 1 Month LIBOR +3.50% | 4.25 | 11/25/2027 | 39,460 | d | 39,534 | ||||
Building Materials - 1.5% | |||||||||
BME Group Holding, Facility Term Loan B, 3 Month EURIBOR +4.50% | EUR | 5.00 | 11/1/2026 | 1,000,000 | d | 1,199,315 | |||
Cornerstone Building, Initial Term Loan, 1 Month LIBOR +3.75% | 3.97 | 4/12/2025 | 565,223 | d | 562,131 | ||||
Forterra Finance, Replacement Term Loan, 1 Month LIBOR +3.00% | 4.00 | 10/25/2023 | 283,846 | d | 283,070 | ||||
2,044,516 | |||||||||
Chemicals - .8% | |||||||||
ColourOZ Investment 2, First Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | 5.25 | 9/7/2021 | 422,807 | d | 393,608 | ||||
ColourOZ Investment 2, First Lien Initial Term Loan C, 3 Month LIBOR +4.25% | 5.25 | 9/7/2021 | 69,895 | d | 65,068 | ||||
Polar US Borrower, Initial Term Loan, 1 Month LIBOR +4.75% | 4.97 | 10/16/2025 | 582,228 | d | 572,767 | ||||
1,031,443 | |||||||||
Commercial & Professional Services - 9.1% | |||||||||
Amentum Government Services Holdings, Term Loan B, 1 Month LIBOR +4.75% | 5.50 | 1/31/2027 | 220,262 | d | 219,023 | ||||
APX Group, Term Loan, 1 Month LIBOR +5.00% and 3 Month PRIME +4.00% | 5.14 | 12/31/2025 | 370,578 | d | 368,077 | ||||
Boels Topholding, Facility Term Loan B, 1 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | 2/5/2027 | 1,000,000 | d | 1,195,999 | |||
Cast & Crew Payroll, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | 3.90 | 2/7/2026 | 269,370 | d | 262,214 | ||||
Eagle Bidco, Term Loan B, 1 Month GBPLIBOR +3.89% | GBP | 4.79 | 5/12/2022 | 1,000,000 | d | 1,312,200 | |||
Electro Rent, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | 6.00 | 1/31/2024 | 222,081 | d | 220,971 | ||||
Employbridge, Refinancing Term Loan, 3 Month LIBOR +4.50% | 5.50 | 4/18/2025 | 105,294 | d | 101,279 | ||||
Galileo Global Education, Second Lien Term Loan, 3 Month EURIBOR +6.00% @ Floor | EUR | 6.00 | 11/12/2027 | 1,000,000 | d | 1,174,957 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Commercial & Professional Services - 9.1% (continued) | |||||||||
Indigocyan Holdco 3, Facility Term Loan B, 6 Month GBPLIBOR +4.75% | GBP | 5.06 | 12/31/2024 | 2,000,000 | d | 2,343,011 | |||
Minerva Bidco, Term Loan B, 3 Month GBPLIBOR +4.50% | GBP | 5.04 | 8/31/2025 | 1,000,000 | d | 1,292,042 | |||
National Intergovernment, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | 3.97 | 5/23/2025 | 285,625 | d | 281,341 | ||||
Pi Lux Finco, Second Lien Facility 1 Term Loan, 3 Month LIBOR +7.25% | 8.25 | 1/1/2026 | 1,000,000 | d | 985,965 | ||||
Pre-Paid Legal Services, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | 3.47 | 5/1/2025 | 550,483 | d | 537,899 | ||||
Team Health Holdings, Initial Term Loan, 1 Month LIBOR +2.75% | 3.75 | 2/6/2024 | 243,022 | d | 213,139 | ||||
Verscend Holding, Term Loan B, 1 Month LIBOR +4.50% | 4.73 | 8/27/2025 | 782,799 | d | 781,821 | ||||
Weight Watchers International, Initial Term Loan, 1 Month LIBOR +4.75% | 5.50 | 11/29/2024 | 912,447 | d | 915,964 | ||||
12,205,902 | |||||||||
Consumer Discretionary - 2.4% | |||||||||
Allen Media, Initial Term Loan, 3 Month LIBOR +5.50% | 5.64 | 2/10/2027 | 376,569 | d | 374,639 | ||||
Caesars Resort Collection, Term Loan B-1, 1-3 Month LIBOR +4.50% | 4.65 | 7/20/2025 | 374,000 | d | 371,311 | ||||
Dealer Tire, Term Loan B-1, 1 Month LIBOR +4.25% | 4.40 | 2/5/2027 | 568,936 | d | 566,091 | ||||
Golden Nugget, Term Loan B, 1 Month LIBOR +2.50% | 3.25 | 10/4/2023 | 125,952 | d | 120,509 | ||||
Landry's Finance Acquisition, 2020 Buy Back Term Loan, 1 Month LIBOR +12.00% | 13.00 | 10/4/2023 | 224,521 | d | 255,954 | ||||
Landry's Finance Acquisition, 2020 Initial Term Loan, 3 Month LIBOR +12.00% | 13.00 | 10/4/2023 | 18,336 | d | 20,720 | ||||
Scientific Games International, Initial Term Loan B-5, 1-3 Month LIBOR +2.75% | 2.89 | 8/14/2024 | 243,142 | d | 235,468 | ||||
Silk Bidco, Facility Term Loan C, 3 Month EURIBOR +8.00% @ Floor | EUR | 8.00 | 6/16/2023 | 1,000,000 | d | 1,104,877 | |||
William Morris Endeavor, Term Loan B, 3 Month LIBOR +2.75% | 2.90 | 5/18/2025 | 149,463 | d | 136,460 | ||||
3,186,029 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Consumer Staples - .3% | |||||||||
KIK Custom Products, Term Loan B-3, 1 Month LIBOR +4.00% | 5.00 | 5/15/2023 | 387,819 | d | 387,567 | ||||
Diversified Financials - .6% | |||||||||
Blackhawk Network Holdings, First Lien Term Loan, 1 Month LIBOR +3.00% | 3.25 | 6/15/2025 | 209,651 | d | 201,439 | ||||
Fiserv Investment Solutions, Initial Term Loan, 3 Month LIBOR +4.75% | 4.90 | 2/18/2027 | 369,075 | d | 368,614 | ||||
Russell Investments US, Term Loan B, 1 Month LIBOR +3.00% | 4.00 | 5/30/2025 | 220,000 | d | 218,464 | ||||
788,517 | |||||||||
Electronic Components - .1% | |||||||||
1A Smart Start, Initial Term Loan, 1 Month LIBOR +4.75% | 5.75 | 8/19/2027 | 199,462 | d | 200,085 | ||||
Energy - 1.6% | |||||||||
BCP Renaissance Parent, Initial Term Loan, 2 Month LIBOR +3.50% | 4.50 | 11/1/2024 | 425,407 | d | 400,719 | ||||
Brazos Delaware II, Initial Term Loan, 1 Month LIBOR +4.00% | 4.23 | 5/29/2025 | 294,697 | d | 240,862 | ||||
GIP III Stetson I, Initial Term Loan, 1 Month LIBOR +4.25% | 4.47 | 7/18/2025 | 185,991 | d | 162,510 | ||||
Granite Acquisition, Second Lien Term Loan B, 3 Month LIBOR +7.25% | 8.25 | 12/19/2022 | 507,267 | d | 505,682 | ||||
Traverse Midstream Partners, Advance Term Loan, 1 Month LIBOR +4.00% | 6.50 | 9/27/2024 | 260,789 | d | 247,134 | ||||
WaterBridge Midstream Operating, Initial Term Loan, 6 Month LIBOR +5.75% | 6.75 | 6/21/2026 | 727,650 | d | 624,611 | ||||
2,181,518 | |||||||||
Environmental Control - .4% | |||||||||
EnergySolutions, Initial Term Loan, 3 Month LIBOR +3.75% | 4.75 | 5/11/2025 | 288,044 | d | 283,364 | ||||
Packers Holdings, Term Loan, 1 Month LIBOR +4.75% @ Floor | 4.75 | 12/4/2024 | 204,918 | d | 204,406 | ||||
487,770 | |||||||||
Food Products - .4% | |||||||||
Froneri US, Second Lien Facility USD Term Loan, 1 Month LIBOR +5.75% | 5.90 | 1/31/2028 | 558,293 | d | 558,991 | ||||
Shearer's Foods, First Lien Term Loan, 3 Month LIBOR +4.00% | 4.75 | 9/23/2027 | 31,920 | d | 31,890 | ||||
590,881 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Food Service - .2% | |||||||||
TKC Holdings, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | 4.75 | 2/1/2023 | 297,659 | d | 280,916 | ||||
Forest Products & Paper - .0% | |||||||||
Neenah, Term Loan, 3 Month LIBOR +4.00% | 5.00 | 6/30/2027 | 58,177 | d | 58,541 | ||||
Health Care - 6.6% | |||||||||
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% | 4.50 | 4/21/2024 | 413,588 | d | 388,477 | ||||
Albany Molecular Research, First Lien Initial Term Loan, 3 Month LIBOR +3.25% | 4.25 | 8/30/2024 | 491,139 | d | 490,464 | ||||
Albany Molecular Research, Term Loan B, 1 Month LIBOR +3.50% | 4.50 | 8/30/2024 | 117,289 | d | 117,337 | ||||
Alphabet Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | 3.72 | 9/28/2024 | 528,718 | d | 518,939 | ||||
Alphabet Holding, Second Lien Initial Term Loan, 1 Month LIBOR +7.75% | 7.97 | 8/15/2025 | 110,000 | d | 107,800 | ||||
Auris Luxembourg III, Facility Term Loan B-2, 1 Month LIBOR +3.75% | 3.98 | 2/21/2026 | 625,429 | d | 595,721 | ||||
CPI Holdco, First Lien Closing Date Term Loan, 1 Month LIBOR +4.25% | 4.40 | 11/4/2026 | 413,282 | d | 411,216 | ||||
Da Vinci Purchaser, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | 5.00 | 1/8/2027 | 463,859 | d | 464,246 | ||||
Dentalcorp Health Service, Initial Term Loan, 1 Month LIBOR +3.75% | 3.98 | 6/6/2025 | 414,380 | d | 404,195 | ||||
Femur Buyer, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | 4.73 | 3/5/2026 | 521,362 | d | 480,089 | ||||
Global Medical Response, 2017-2 New Term Loan, 3 Month LIBOR +4.25% | 5.25 | 3/14/2025 | 291,997 | d | 288,073 | ||||
Global Medical Response, Term Loan, 1 Month LIBOR +4.75% | 5.75 | 10/2/2025 | 240,000 | d | 237,400 | ||||
MED ParentCo, First Lien Delayed Draw Term Loan, 1 Month LIBOR +4.25% | 4.40 | 8/31/2026 | 137,565 | d | 132,622 | ||||
MED ParentCo, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | 4.40 | 8/31/2026 | 548,579 | d | 528,866 | ||||
MED ParentCo, First Lien Second Amendment Additional Term Loan, 1 Month LIBOR +6.25% | 7.25 | 8/31/2026 | 71,000 | d | 70,468 | ||||
Milano Acquisition, Term Loan B, 1 Month LIBOR +4.00% | 4.75 | 10/1/2027 | 291,889 | d | 289,944 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Health Care - 6.6% (continued) | |||||||||
Ortho-Clinical Diagnostics, Refinancing Term Loan, 1 Month LIBOR +3.25% | 3.48 | 6/30/2025 | 658,473 | d | 646,291 | ||||
Pathway Vet Alliance, First Lien Initial Delayed Draw Term Loan, 3 Month LIBOR +4.00% | 4.15 | 3/31/2027 | 13,778 | d | 13,629 | ||||
Pathway Vet Alliance, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | 4.15 | 3/31/2027 | 168,680 | d | 166,853 | ||||
PetVet Care Centers, Second Lien Initial Term Loan, 1 Month LIBOR +6.25% | 6.47 | 2/15/2026 | 400,000 | d | 389,800 | ||||
Seqens Group Bidco, Facility Term Loan B, 6 Month EURIBOR +3.50% @ Floor | EUR | 3.50 | 6/22/2023 | 1,000,000 | d | 1,178,238 | |||
Surgery Center Holdings, 2020 Incremental Term Loan, 1 Month LIBOR +8.00% | 9.00 | 8/31/2024 | 99,500 | d | 101,764 | ||||
Surgery Center Holdings, Initial Term Loan, 1 Month LIBOR +3.25% | 4.25 | 8/31/2024 | 425,350 | d | 417,450 | ||||
US Anesthesia Partners, First Lien Initial Term Loan, 3 Month LIBOR +3.00% | 4.00 | 6/23/2024 | 405,233 | d | 393,113 | ||||
8,832,995 | |||||||||
Industrial - 1.9% | |||||||||
Brand Industrial Services, Initial Term Loan, 3 Month LIBOR +4.25% | 5.25 | 6/21/2024 | 283,943 | d | 273,401 | ||||
Pro Mach Group, First Lien Third Amendment Delayed Draw Term Loan, 3 Month LIBOR +3.50% | 4.50 | 3/7/2025 | 39,803 | d | 41,196 | ||||
Pro Mach Group, First Lien Third Amendment Incremental Term Loan, 3 Month LIBOR +3.50% | 4.50 | 3/7/2025 | 120,591 | d | 118,330 | ||||
Qualtek USA, Tranche Term Loan B, 3 Month LIBOR +6.25% | 7.25 | 7/18/2025 | 310,117 | d | 293,835 | ||||
Titan Acquisition, Initial Term Loan, 3 Month LIBOR +3.00% | 3.22 | 3/28/2025 | 593,227 | d | 572,633 | ||||
VAC Germany Holding, Term Loan B, 3 Month LIBOR +4.00% | 5.00 | 3/8/2025 | 341,497 | d | 254,416 | ||||
Ventia Deco, 2019 Refinancing Term Loan B, 3 Month LIBOR +4.00% | 5.00 | 5/21/2026 | 160,667 | d | 158,659 | ||||
Yak Access, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | 5.22 | 7/11/2025 | 925,000 | d | 812,071 | ||||
2,524,541 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Information Technology - 4.9% | |||||||||
AI Avocado, Facility Term Loan B-3, 1 Month EURIBOR +4.50% @ Floor | EUR | 4.50 | 9/30/2023 | 1,880,465 | d | 0 | |||
Ascend Learning, Term Loan B, 1 Month LIBOR +3.75% | 4.75 | 7/12/2024 | 179,727 | d | 179,784 | ||||
Boxer Parent, Initial Dollar Term Loan, 1 Month LIBOR +4.25% | 4.48 | 10/2/2025 | 561,429 | d | 556,137 | ||||
Camelia Bidco, Facility Term Loan B-1, 6 Month GBPLIBOR +4.75% | GBP | 4.79 | 10/5/2024 | 2,000,000 | d | 2,597,989 | |||
DCert Buyer, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | 4.22 | 10/16/2026 | 280,137 | d | 278,415 | ||||
Finastra USA, First Lien Dollar Term Loan, 3 Month LIBOR +3.50% | 4.50 | 6/13/2024 | 512,914 | d | 498,342 | ||||
Greeneden US Holdings II, Term Loan B, 1 Month LIBOR +4.00% | 4.75 | 10/8/2027 | 244,181 | d | 243,723 | ||||
Ivanti Software, Delayed Draw Term Loan 1-DD, 1 Month LIBOR +4.75% | 5.75 | 11/20/2027 | 84,268 | d | 83,566 | ||||
Ivanti Software, Delayed Draw Term Loan 2-DD, 1 Month LIBOR +4.75% | 5.75 | 11/20/2027 | 56,451 | d | 55,981 | ||||
Ivanti Software, Term Loan B, 1 Month LIBOR +4.75% | 5.75 | 11/20/2027 | 147,265 | d | 146,038 | ||||
Mitchell International, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | 3.47 | 12/1/2024 | 343,477 | d | 333,173 | ||||
Navicure, Term Loan B, 1 Month LIBOR +4.00% | 4.75 | 10/23/2026 | 74,906 | d | 74,625 | ||||
Quest Software US Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | 4.47 | 5/18/2025 | 514,790 | d | 499,668 | ||||
Software Luxembourg Acquisition, Second Out Term Loan, 1 Month LIBOR +6.50% | 8.50 | 4/27/2025 | 298,016 | d | 296,029 | ||||
Software Luxembourg Acquisition, Senior Secured Term Loan, 3 Month LIBOR +7.50% | 8.50 | 12/27/2024 | 90,587 | d | 91,191 | ||||
Sophia, Term Loan, 1 Month LIBOR +3.75% | 4.50 | 10/7/2027 | 43,463 | d | 43,246 | ||||
TIBCO Software, Term Loan B-3, 1 Month LIBOR +3.75% | 3.90 | 7/3/2026 | 280,679 | d | 275,591 | ||||
Ultimate Software Group, 2020 Incremental Term Loan, 3 Month LIBOR +4.00% | 4.75 | 5/3/2026 | 90,571 | d | 90,864 | ||||
Ultimate Software Group, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | 3.97 | 5/3/2026 | 205,031 | d | 204,147 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Information Technology - 4.9% (continued) | |||||||||
Ultimate Software Group, Second Lien Initial Term Loan, 3 Month LIBOR +6.75% | 7.50 | 5/3/2027 | 13,393 | d | 13,694 | ||||
6,562,203 | |||||||||
Insurance - 2.9% | |||||||||
AssuredPartners, 2020 February Refinancing Term Loan, 1 Month LIBOR +3.50% | 3.64 | 2/13/2027 | 585,447 | d | 574,745 | ||||
AssuredPartners, 2020 June Incremental Term Loan, 1 Month LIBOR +4.50% | 5.50 | 2/13/2027 | 77,124 | d | 77,317 | ||||
Asurion, Second Lien Replacement Term Loan B-2, 1 Month LIBOR +6.50% | 6.72 | 8/4/2025 | 2,079,761 | d | 2,097,751 | ||||
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | 4.72 | 2/28/2025 | 323,985 | d | 310,080 | ||||
Sedgwick CMS, 2019 New Term Loan, 1 Month LIBOR +4.00% | 4.23 | 9/3/2026 | 224,375 | d | 222,331 | ||||
Sedgwick CMS, 2020 Term Loan, 1 Month LIBOR +4.25% | 5.25 | 9/3/2026 | 18,658 | d | 18,697 | ||||
Sedgwick CMS, Term Loan, 1 Month LIBOR +3.25% | 3.48 | 12/31/2025 | 589,570 | d | 577,286 | ||||
3,878,207 | |||||||||
Internet Software & Services - 1.5% | |||||||||
ION Trading Finance, Initial Dollar Term Loan, 3 Month LIBOR +4.00% | 5.00 | 11/21/2024 | 144,621 | d | 143,054 | ||||
PUG, Term Loan B, 1 Month LIBOR +3.50% | 3.65 | 2/13/2027 | 214,000 | d | 200,893 | ||||
Trader, Senior Secured First Lien Term Loan, 1 Month LIBOR +3.00% | 4.00 | 9/28/2023 | 220,000 | d | 218,350 | ||||
Web.com Group, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | 3.97 | 10/11/2025 | 835,290 | d | 819,031 | ||||
WeddingWire, First Lien Initial Term Loan, 1 Month LIBOR +4.50% | 4.72 | 12/21/2025 | 596,046 | d | 587,105 | ||||
1,968,433 | |||||||||
Materials - 3.9% | |||||||||
Ball Metalpack Finco, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | 4.72 | 7/31/2025 | 738,602 | d | 717,371 | ||||
Charter NEX US, Term Loan, 1 Month LIBOR +5.00% @ Floor | 5.00 | 11/24/2027 | 68,914 | d | 68,957 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Materials - 3.9% (continued) | |||||||||
Fort Dearborn Holding, First Lien Initial Term Loan, 1-3 Month LIBOR +4.00% | 5.00 | 10/19/2023 | 245,536 | d | 241,699 | ||||
Graham Packaging, Initial Term Loan, 1 Month LIBOR +3.75% | 4.50 | 8/4/2027 | 126,360 | d | 126,368 | ||||
Klockner Pentaplast of America, Euro Term Loan, 6 Month EURIBOR +4.75% @ Floor | EUR | 4.75 | 6/30/2022 | 1,000,000 | d | 1,182,114 | |||
LABL, Initial Dollar Term Loan, 1 Month LIBOR +4.50% | 4.65 | 7/2/2026 | 349,686 | d | 349,030 | ||||
Mauser Packaging Solutions Holding, Initial Term Loan, 3 Month LIBOR +3.25% | 3.48 | 4/3/2024 | 152,606 | d | 145,754 | ||||
Murray Energy, Superpriority Term Loan B-2, 3 Month LIBOR +7.25% | 7.40 | 10/17/2022 | 488,400 | d,g | 6,105 | ||||
Plaze, 2020-1 Additional Term Loan, 1 Month LIBOR +4.25% | 5.25 | 8/3/2026 | 262,825 | d | 260,087 | ||||
Plaze, Initial Term Loan, 1 Month LIBOR +3.50% | 3.72 | 8/3/2026 | 218,640 | d | 213,858 | ||||
Proampac PG Borrower, Term Loan B, 1 Month LIBOR +4.00% | 5.00 | 10/30/2025 | 225,836 | d | 223,648 | ||||
Tecostar Holdings, 2017 First Lien Term Loan, 3 Month LIBOR +3.50% | 4.25 | 5/1/2024 | 598,812 | d | 583,985 | ||||
Tosca Services, New First Lien Term Loan, 1 Month LIBOR +4.25% | 5.25 | 8/18/2027 | 212,437 | d | 213,323 | ||||
TricorBraun, First Lien Closing Date Term Loan, 3 Month LIBOR +3.75% | 4.75 | 11/30/2023 | 962,298 | d | 954,840 | ||||
5,287,139 | |||||||||
Media - 1.3% | |||||||||
Banijay Group US Holding, Facility USD Term Loan B, 1 Month LIBOR +3.75% | 3.90 | 3/1/2025 | 268,664 | d | 261,444 | ||||
Diamond Sports Group, Term Loan, 1 Month LIBOR +3.25% | 3.40 | 8/24/2026 | 113,246 | d | 95,127 | ||||
iHeartCommunications, Second Amendment Incremental Term Loan, 1 Month LIBOR +4.00% | 4.75 | 5/1/2026 | 173,843 | d | 172,031 | ||||
Meredith, Tranche Term Loan B-3, 3 Month LIBOR +4.25% | 5.25 | 1/31/2025 | 291,898 | d | 292,537 | ||||
NEP Group, First Lien Initial Dollar Term Loan, 1 Month LIBOR +3.25% | 3.46 | 10/20/2025 | 184,063 | d | 173,224 | ||||
Univision Communications, 2017 Replacement Term Loan, 1 Month LIBOR +2.75% | 3.75 | 3/15/2024 | 100,000 | d | 98,422 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Media - 1.3% (continued) | |||||||||
WideOpenWest Finance, Refinancing Term Loan B, 1 Month LIBOR +3.25% | 4.25 | 8/19/2023 | 674,772 | d | 668,072 | ||||
1,760,857 | |||||||||
Retailing - .8% | |||||||||
Bass Pro Group, Initial Term Loan, 3 Month LIBOR +5.00% | 5.75 | 9/25/2024 | 624,412 | d | 625,248 | ||||
New Look, Term Loan, GBPLIBOR | GBP | 12.00 | 9/24/2029 | 24,012 | d | 18,944 | |||
Staples, 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | 5.22 | 4/12/2026 | 241,815 | d | 233,895 | ||||
Talbots, First Lien Initial Term Loan, 3 Month LIBOR +7.00% | 7.23 | 11/28/2022 | 208,663 | d | 158,062 | ||||
1,036,149 | |||||||||
Semiconductors & Semiconductor Equipment - .6% | |||||||||
Natel Engineering, Initial Term Loan, 6 Month LIBOR +5.00% | 6.00 | 4/30/2026 | 522,351 | d | 462,934 | ||||
Ultra Clean Holdings, Term Loan B, 1 Month LIBOR +4.50% | 4.73 | 8/27/2025 | 311,591 | d | 311,591 | ||||
774,525 | |||||||||
Technology Hardware & Equipment - 1.2% | |||||||||
Access CIG, First Lien Term Loan B, 1 Month LIBOR +3.75% | 4.00 | 2/27/2025 | 223,284 | d | 219,539 | ||||
Everi Payments, Term Loan, 1 Month LIBOR +10.50% | 11.50 | 5/9/2024 | 365,945 | d | 381,498 | ||||
Perforce Software, Term Loan, 1 Month LIBOR +3.75% | 3.90 | 7/1/2026 | 346,507 | d | 339,822 | ||||
Redstone Buyer, Term Loan, 3 Month LIBOR +5.00% | 6.00 | 9/1/2027 | 235,616 | d | 235,321 | ||||
Surf Holdings, Senior Secured First Lien Dollar Tranche Term Loan, 3 Month LIBOR +3.50% | 3.65 | 3/5/2027 | 232,875 | d | 228,342 | ||||
VeriFone Systems, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | 4.21 | 8/20/2025 | 277,029 | d | 263,682 | ||||
1,668,204 | |||||||||
Telecommunication Services - 1.0% | |||||||||
Connect Finco, Initial Term Loan, 1 Month LIBOR +4.50% | 5.50 | 12/12/2026 | 376,950 | d | 376,871 | ||||
Cyxtera DC Holdings, Term Loan B, 3 Month LIBOR +3.00% | 4.00 | 5/1/2024 | 174,000 | d | 161,947 | ||||
MTN Infrastructure TopCo, 2020 Incremental Term Loan, 1 Month LIBOR +4.00% | 5.00 | 11/17/2024 | 44,399 | d | 44,399 | ||||
West, Initial Term Loan B, 1 Month LIBOR +4.00% | 5.00 | 10/10/2024 | 758,273 | d | 724,579 | ||||
1,307,796 |
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 47.6% (continued) | |||||||||
Utilities - 1.4% | |||||||||
Eastern Power, Term Loan B, 1-3 Month LIBOR +3.75% | 4.75 | 10/2/2025 | 566,182 | d | 565,794 | ||||
EFS Cogen Holdings I, Advance Term Loan B, 1 Month LIBOR +3.50% | 4.50 | 9/24/2027 | 387,105 | d | 386,718 | ||||
Helix Gen Funding, Term Loan, 1 Month LIBOR +3.75% | 4.75 | 6/3/2024 | 954,307 | d | 947,942 | ||||
1,900,454 | |||||||||
Total Floating Rate Loan Interests | 64,043,428 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - .4% | |||||||||
Information Technology - .4% | |||||||||
SkillSoft, Cl. A | 2,791 | h,i | 495,403 | ||||||
Description | Annualized | Maturity Date | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - .2% | |||||||||
U.S. Government Securities | |||||||||
U.S. Treasury Bills | 0.14 | 1/14/2021 | 260,000 | j | 259,980 | ||||
Description | 1-Day | Shares | Value ($) | ||||||
Investment Companies - 4.5% | |||||||||
Registered Investment Companies - 4.5% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.10 | 6,019,834 | k | 6,019,834 | |||||
Total Investments (cost $183,781,459) | 137.8% | 185,346,794 | |||||||
Liabilities, Less Cash and Receivables | (37.8%) | (50,871,659) | |||||||
Net Assets | 100.0% | 134,475,135 |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security, or portion thereof, has been pledged as collateral for the fund’s Revolving Credit and Security Agreement.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2020, these securities were valued at $87,525,613 or 65.09% of net assets.
d Variable rate security—rate shown is the interest rate in effect at period end.
e Collateralized Loan Obligations equity positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the current projection of the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment. The estimated yield and investment cost may ultimately not be realized.
f Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
g Non-income producing—security in default.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
h Non-income producing security.
i The fund held Level 3 securities at November 30, 2020, these securities were valued at $495,403 or .37% of net assets.
j Security is a discount security. Income is recognized through the accretion of discount.
k Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2020 (Unaudited)
The following is a summary of the inputs used as of November 30, 2020 in valuing the fund’s investments:
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) | ||||
Investments in Securities: † | ||||
Collateralized Loan Obligations | − | 40,473,797 | − | 40,473,797 |
Corporate Bonds | − | 74,054,352 | − | 74,054,352 |
Equity Securities-Common Stocks | − | − | 495,403 | 495,403 |
Floating Rate Loan Interests | − | 64,043,428 | − | 64,043,428 |
Investment Companies | 6,019,834 | − | − | 6,019,834 |
U.S. Treasury Securities | − | 259,980 | − | 259,980 |
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts†† | − | 15,748 | − | 15,748 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts†† | − | (338,345) | − | (338,345) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2020 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital | |||||
Euro | 860,000 | United States Dollar | 1,020,725 | 12/31/2020 | 6,304 |
United States Dollar | 9,581,923 | Euro | 8,073,343 | 12/31/2020 | (59,424) |
Citigroup | |||||
United States Dollar | 11,380,000 | British Pound | 8,538,782 | 12/31/2020 | (10,480) |
United States Dollar | 7,674,339 | British Pound | 5,800,000 | 1/25/2021 | (63,622) |
United States Dollar | 27,754,647 | Euro | 23,400,000 | 1/25/2021 | (204,819) |
Goldman Sachs | |||||
British Pound | 6,210,000 | United States Dollar | 8,274,510 | 12/31/2020 | 9,444 |
Gross Unrealized Appreciation | 15,748 | ||||
Gross Unrealized Depreciation | (338,345) |
See notes to financial statements.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount 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 (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, 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 inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services
(each, a “Service”) approved by the Board Members (“Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates and are
generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest on the loans adjust periodically by reference to a base lending rate, such as the London Interbank Offered Rate (“LIBOR”) plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at November 30, 2020 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At November 30, 2020, accumulated net unrealized appreciation on investments was $1,565,335, consisting of $8,426,120 gross unrealized appreciation and $6,860,785 gross unrealized depreciation.
At November 30, 2020, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.