STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2022 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% | | | | | |
Advertising - .4% | | | | | |
Advantage Sales & Marketing Inc., Sr. Scd. Notes | | 6.50 | | 11/15/2028 | | 226,000 | c | 177,297 | |
Clear Channel Outdoor Holdings Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 365,000 | c | 315,104 | |
| | 492,401 | |
Aerospace & Defense - .7% | | | | | |
Bombardier Inc., Sr. Unscd. Notes | | 7.50 | | 3/15/2025 | | 46,000 | c | 46,139 | |
Spirit AeroSystems Inc., Sr. Scd. Notes | | 9.38 | | 11/30/2029 | | 102,000 | c | 107,483 | |
TransDigm Inc., Gtd. Notes | | 4.88 | | 5/1/2029 | | 191,000 | | 166,957 | |
TransDigm Inc., Gtd. Notes | | 5.50 | | 11/15/2027 | | 550,000 | | 519,307 | |
| | 839,886 | |
Airlines - .9% | | | | | |
Air Canada, Sr. Scd. Notes | | 3.88 | | 8/15/2026 | | 210,000 | c | 192,413 | |
American Airlines Inc., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 710,000 | c | 661,730 | |
Delta Air Lines Inc., Sr. Scd. Notes | | 4.75 | | 10/20/2028 | | 200,000 | c | 189,718 | |
| | 1,043,861 | |
Automobiles & Components - 2.1% | | | | | |
Clarios Global LP, Sr. Scd. Bonds | EUR | 4.38 | | 5/15/2026 | | 550,000 | c | 543,628 | |
Dealer Tire LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 422,000 | c | 364,513 | |
Ford Motor Co., Sr. Unscd. Notes | | 4.75 | | 1/15/2043 | | 450,000 | | 333,533 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | EUR | 3.63 | | 5/15/2025 | | 360,000 | c,d | 352,892 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | EUR | 3.88 | | 5/15/2027 | | 240,000 | c,d | 218,939 | |
Jaguar Land Rover Automotive PLC, Gtd. Notes | EUR | 5.88 | | 11/15/2024 | | 360,000 | c | 363,770 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 294,000 | c | 187,386 | |
| | 2,364,661 | |
Banks - .3% | | | | | |
Citigroup Inc., Jr. Sub. Notes , Ser. U | | 5.00 | | 9/12/2024 | | 215,000 | e | 194,038 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. HH | | 4.60 | | 2/1/2025 | | 160,000 | e | 142,400 | |
| | 336,438 | |
Beverage Products - .2% | | | | | |
Primo Water Holdings Inc., Gtd. Notes | | 4.38 | | 4/30/2029 | | 270,000 | c | 233,657 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Building Materials - .8% | | | | | |
Eco Material Technologies Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 381,000 | c | 363,017 | |
Griffon Corp., Gtd. Notes | | 5.75 | | 3/1/2028 | | 395,000 | | 368,002 | |
Standard Industries Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2028 | | 217,000 | c | 196,993 | |
| | 928,012 | |
Chemicals - 1.6% | | | | | |
Consolidated Energy Finance SA, Gtd. Notes | EUR | 5.00 | | 10/15/2028 | | 140,000 | c | 121,441 | |
Consolidated Energy Finance SA, Gtd. Notes | | 5.63 | | 10/15/2028 | | 435,000 | c | 380,799 | |
Iris Holdings Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 234,000 | c,d | 200,070 | |
Italmatch Chemicals SPA, Sr. Scd. Notes, 3 Month EURIBOR +4.75% | EUR | 5.94 | | 9/30/2024 | | 445,000 | c,f | 422,896 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 4.25 | | 10/1/2028 | | 279,000 | c | 226,542 | |
Olympus Water US Holding Corp., Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 320,000 | c | 231,446 | |
Trinseo Materials Finance Inc., Gtd. Bonds | | 5.13 | | 4/1/2029 | | 70,000 | c | 44,654 | |
Trinseo Materials Finance Inc., Gtd. Notes | | 5.38 | | 9/1/2025 | | 240,000 | c | 192,691 | |
| | 1,820,539 | |
Collateralized Loan Obligations Debt - 28.8% | | | | | |
Carlyle Euro DAC CLO, Ser. 2022-5A, Cl. D, 3 Month EURIBOR +7.63% | EUR | 9.74 | | 10/25/2035 | | 855,000 | c,f | 780,011 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2014-1A, Cl. ER, 3 Month EURIBOR +4.93% | EUR | 6.31 | | 7/15/2031 | | 1,500,000 | c,f | 1,206,492 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2014-1A, Cl. FR, 3 Month EURIBOR +6.61% | EUR | 7.99 | | 7/15/2031 | | 3,000,000 | c,f | 2,212,908 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2015-3A, Cl. ER, 3 Month EURIBOR +6.44% | EUR | 7.82 | | 7/15/2030 | | 2,000,000 | c,f | 1,509,801 | |
CIFC European Funding II DAC CLO, Ser. 2A, Cl. F, 3 Month EURIBOR +7.70% | EUR | 9.08 | | 4/15/2033 | | 1,000,000 | c,f | 750,831 | |
CIFC Funding Ltd. CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% | | 9.19 | | 4/18/2031 | | 1,000,000 | c,f | 839,044 | |
CQS US Ltd. CLO, Ser. 2022-2A, Cl. E1, 3 Month TSFR +6.85% | | 10.20 | | 7/20/2031 | | 2,000,000 | c,f | 1,835,908 | |
Crown Point 9 Ltd. CLO, Ser. 2020-9A, Cl. ER, 3 Month LIBOR +6.76% | | 10.77 | | 7/14/2034 | | 2,375,000 | c,f | 2,120,811 | |
Dryden 91 Euro DAC CLO, Ser. 2021-91A, Cl. E, 3 Month EURIBOR +7.06% | EUR | 8.46 | | 4/18/2035 | | 1,000,000 | c,f | 854,873 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Collateralized Loan Obligations Debt - 28.8% (continued) | | | | | |
Euro-Galaxy IV DAC CLO, Ser. 2015-4A, CI. FRR, 3 Month EURIBOR +8.88% | EUR | 10.46 | | 7/30/2034 | | 1,750,000 | c,f | 1,342,287 | |
Fidelity Grand Harbour Designated Activity Co. CLO, Ser. 2022-1A, Cl. E, 3 Month EURIBOR +7.08% | EUR | 8.93 | | 10/15/2036 | | 1,750,000 | c,f | 1,537,933 | |
Franklin Park Place I LLC CLO, Ser. 2022-1A, Cl. E, 3 Month TSFR +7.50% | | 11.33 | | 4/14/2035 | | 1,000,000 | c,f | 854,958 | |
GoldenTree Loan Management EUR 2 DAC CLO, Ser. 2A, Cl. E, 3 Month EURIBOR +5.25% | EUR | 6.71 | | 1/20/2032 | | 1,000,000 | c,f | 824,845 | |
Hayfin Emerald IV DAC CLO, Ser. 4A, Cl. FR, 3 Month EURIBOR +8.68% | EUR | 10.06 | | 10/15/2034 | | 740,000 | c,f | 552,176 | |
ICG Euro DAC CLO, Ser. 2021-1A, Cl. F, 3 Month EURIBOR +8.82% | EUR | 10.20 | | 10/15/2034 | | 1,000,000 | c,f | 758,961 | |
KKR 23 Ltd. CLO, Ser. 23, Cl. E, 3 Month LIBOR +6.00% | | 10.24 | | 10/20/2031 | | 1,000,000 | c,f | 822,803 | |
Marble Point XII Ltd. CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +6.00% | | 10.08 | | 7/16/2031 | | 750,000 | c,f | 542,575 | |
OZLM Funding II Ltd. CLO, Ser. 2012-2A, Cl. DR2, 3 Month LIBOR +5.90% | | 10.31 | | 7/30/2031 | | 2,250,000 | c,f | 1,766,947 | |
OZLM VI Ltd. CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | | 10.13 | | 4/17/2031 | | 2,000,000 | c,f | 1,646,764 | |
OZLME III DAC CLO, Ser. 3A, Cl. F, 3 Month EURIBOR +6.45% | EUR | 8.31 | | 8/24/2030 | | 1,000,000 | c,f | 753,025 | |
St. Paul's V DAC CLO, Ser. 5A, Cl. FR, 3 Month EURIBOR +6.60% | EUR | 8.40 | | 8/20/2030 | | 4,000,000 | c,f | 2,929,485 | |
TIAA I Ltd. CLO, Ser. 2016-1A, CI. ER, 3 Month LIBOR +6.20% | | 10.44 | | 7/20/2031 | | 2,131,000 | c,f | 1,750,834 | |
Tikehau DAC CLO, Ser. 2015-1A, Cl. FRR, 3 Month EURIBOR +8.75% | EUR | 10.48 | | 8/4/2034 | | 2,000,000 | c,f | 1,603,323 | |
Venture 45 Ltd. CLO, Ser. 2022-45A, CI. D1, 3 Month TSFR +4.00% | | 7.96 | | 7/20/2035 | | 1,500,000 | c,f | 1,265,943 | |
Vibrant III Ltd. CLO, Ser. 2015-3A, Cl. DRR, 3 Month LIBOR +6.35% | | 10.59 | | 10/20/2031 | | 1,000,000 | c,f | 794,152 | |
Wind River Ltd. CLO, Ser. 2016-1A, CI. FR2, 3 Month LIBOR +7.90% | | 11.98 | | 10/15/2034 | | 1,500,000 | c,f | 1,222,498 | |
| | 33,080,188 | |
Collateralized Loan Obligations Equity - .0% | | | | | |
KVK Ltd. CLO, Ser. 2018-1A, Cl. SUB1 | | 0.00 | | 5/20/2029 | | 4,000,000 | c,g | 46,896 | |
Madison Park Funding X Ltd. CLO, Ser. 2012-10A, Cl. SUB | | 0.00 | | 1/20/2029 | | 3,000,000 | c,g | 3,750 | |
| | 50,646 | |
Commercial & Professional Services - 3.8% | | | | | |
Albion Financing 1 SARL, Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 350,000 | c | 327,556 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Commercial & Professional Services - 3.8% (continued) | | | | | |
Allied Universal Holdco LLC, Sr. Scd. Notes | | 4.63 | | 6/1/2028 | | 240,000 | c | 203,820 | |
Allied Universal Holdco LLC, Sr. Scd. Notes | | 6.63 | | 7/15/2026 | | 570,000 | c | 542,520 | |
APX Group Inc., Gtd. Notes | | 5.75 | | 7/15/2029 | | 419,000 | c | 357,198 | |
BCP V Modular Services Finance II PLC, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 320,000 | c | 281,961 | |
HealthEquity Inc., Gtd. Notes | | 4.50 | | 10/1/2029 | | 374,000 | c | 328,129 | |
Kapla Holding SAS, Sr. Scd. Bonds | EUR | 3.38 | | 12/15/2026 | | 220,000 | c | 204,718 | |
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 129,000 | c | 117,055 | |
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 129,000 | | 117,055 | |
MPH Acquisition Holdings LLC, Sr. Scd. Notes | | 5.50 | | 9/1/2028 | | 290,000 | c | 231,967 | |
Neptune Bidco US Inc., Sr. Scd. Notes | | 9.29 | | 4/15/2029 | | 238,000 | c | 229,569 | |
Prime Security Services Borrower LLC, Scd. Notes | | 6.25 | | 1/15/2028 | | 346,000 | c | 322,306 | |
Prime Security Services Borrower LLC, Sr. Scd. Notes | | 5.75 | | 4/15/2026 | | 299,000 | c | 296,367 | |
United Rentals North America Inc., Sr. Scd. Notes | | 6.00 | | 12/15/2029 | | 184,000 | c | 185,271 | |
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 510,000 | c | 429,872 | |
Verscend Escrow Corp., Sr. Unscd. Notes | | 9.75 | | 8/15/2026 | | 218,000 | c | 218,371 | |
| | 4,393,735 | |
Consumer Discretionary - 5.4% | | | | | |
Banijay Entertainment SASU, Sr. Scd. Bonds | EUR | 3.50 | | 3/1/2025 | | 340,000 | c | 337,386 | |
Banijay Group SAS, Sr. Unscd. Notes | EUR | 6.50 | | 3/1/2026 | | 180,000 | c | 179,472 | |
Caesars Entertainment Inc., Sr. Scd. Notes | | 6.25 | | 7/1/2025 | | 130,000 | c | 128,657 | |
Caesars Entertainment Inc., Sr. Unscd. Notes | | 4.63 | | 10/15/2029 | | 238,000 | c | 199,639 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 90,000 | c | 64,014 | |
Carnival Corp., Sr. Unscd. Notes | | 7.63 | | 3/1/2026 | | 494,000 | c | 417,161 | |
Carnival Holdings Bermuda Ltd., Gtd. Notes | | 10.38 | | 5/1/2028 | | 279,000 | c | 290,933 | |
CCM Merger Inc., Sr. Unscd. Notes | | 6.38 | | 5/1/2026 | | 439,000 | c | 407,155 | |
Churchill Downs Inc., Gtd. Notes | | 4.75 | | 1/15/2028 | | 260,000 | c | 239,550 | |
Everi Holdings Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 271,000 | c | 235,274 | |
Hilton Domestic Operating Co., Gtd. Notes | | 3.63 | | 2/15/2032 | | 130,000 | c | 107,167 | |
Hilton Domestic Operating Co., Gtd. Notes | | 4.00 | | 5/1/2031 | | 100,000 | c | 84,246 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Consumer Discretionary - 5.4% (continued) | | | | | |
International Game Technology PLC, Sr. Scd. Notes | | 4.13 | | 4/15/2026 | | 310,000 | c | 292,113 | |
KB Home, Gtd. Notes | | 4.00 | | 6/15/2031 | | 145,000 | | 115,847 | |
Las Vegas Sands Corp., Sr. Unscd. Notes | | 3.20 | | 8/8/2024 | | 270,000 | | 258,148 | |
Maison Finco PLC, Sr. Scd. Bonds | GBP | 6.00 | | 10/31/2027 | | 208,000 | c | 183,895 | |
NCL Corp., Gtd. Notes | | 5.88 | | 3/15/2026 | | 118,000 | c | 96,950 | |
NCL Corp., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 204,000 | c | 181,901 | |
NCL Corp., Sr. Unscd. Notes | | 3.63 | | 12/15/2024 | | 630,000 | c | 550,897 | |
Nobel Bidco BV, Sr. Scd. Bonds | EUR | 3.13 | | 6/15/2028 | | 720,000 | c | 510,163 | |
Pinewood Finance Co., Sr. Scd. Bonds | GBP | 3.63 | | 11/15/2027 | | 240,000 | c | 254,446 | |
Royal Caribbean Cruises Ltd., Gtd. Notes | | 9.25 | | 1/15/2029 | | 33,000 | c | 33,819 | |
Royal Caribbean Cruises Ltd., Sr. Scd. Notes | | 8.25 | | 1/15/2029 | | 210,000 | c | 213,423 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 139,000 | c | 120,765 | |
Scientific Games Holdings LP, Sr. Unscd. Notes | | 6.63 | | 3/1/2030 | | 450,000 | c | 379,136 | |
Station Casinos LLC, Gtd. Notes | | 4.50 | | 2/15/2028 | | 180,000 | c | 159,070 | |
Taylor Morrison Communities Inc., Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 69,000 | c | 60,357 | |
TUI Cruises GmbH, Sr. Unscd. Notes | EUR | 6.50 | | 5/15/2026 | | 189,000 | c | 162,747 | |
| | 6,264,331 | |
Consumer Staples - .6% | | | | | |
Kronos Acquisition Holdings Inc., Sr. Scd. Notes | | 5.00 | | 12/31/2026 | | 450,000 | c | 410,994 | |
Newell Brands Inc., Sr. Unscd. Notes | | 4.45 | | 4/1/2026 | | 197,000 | | 186,090 | |
Newell Brands Inc., Sr. Unscd. Notes | | 5.63 | | 4/1/2036 | | 110,000 | | 94,355 | |
| | 691,439 | |
Diversified Financials - 3.0% | | | | | |
Ally Financial Inc., Gtd. Notes | | 8.00 | | 11/1/2031 | | 229,000 | | 246,047 | |
Compass Group Diversified Holdings LLC, Gtd. Notes | | 5.25 | | 4/15/2029 | | 215,000 | c | 188,225 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 375,000 | c | 357,478 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 500,000 | | 476,638 | |
Icahn Enterprises LP, Gtd. Notes | | 4.38 | | 2/1/2029 | | 330,000 | | 278,183 | |
Navient Corp., Sr. Unscd. Notes | | 6.75 | | 6/15/2026 | | 465,000 | | 443,698 | |
NFP Corp., Sr. Scd. Notes | | 4.88 | | 8/15/2028 | | 94,000 | c | 81,593 | |
NFP Corp., Sr. Unscd. Notes | | 6.88 | | 8/15/2028 | | 70,000 | c | 59,304 | |
OneMain Finance Corp., Gtd. Notes | | 6.13 | | 3/15/2024 | | 270,000 | | 263,669 | |
OneMain Finance Corp., Gtd. Notes | | 6.63 | | 1/15/2028 | | 250,000 | | 230,250 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Diversified Financials - 3.0% (continued) | | | | | |
PennyMac Financial Services Inc., Gtd. Notes | | 5.38 | | 10/15/2025 | | 240,000 | c | 219,745 | |
PennyMac Financial Services Inc., Gtd. Notes | | 5.75 | | 9/15/2031 | | 399,000 | c | 319,812 | |
Rocket Mortgage LLC, Gtd. Notes | | 3.63 | | 3/1/2029 | | 280,000 | c | 225,901 | |
| | 3,390,543 | |
Electronic Components - .4% | | | | | |
Energizer Gamma Acquisition BV, Gtd. Bonds | EUR | 3.50 | | 6/30/2029 | | 240,000 | c | 201,155 | |
TTM Technologies Inc., Gtd. Notes | | 4.00 | | 3/1/2029 | | 250,000 | c | 212,496 | |
| | 413,651 | |
Energy - 4.1% | | | | | |
Aethon United Finance Corp., Sr. Unscd. Notes | | 8.25 | | 2/15/2026 | | 187,000 | c | 186,307 | |
Antero Midstream Partners LP, Gtd. Notes | | 5.75 | | 3/1/2027 | | 330,000 | c | 315,496 | |
Archrock Partners LP, Gtd. Notes | | 6.25 | | 4/1/2028 | | 254,000 | c | 235,990 | |
Blue Racer Midstream LLC, Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 290,000 | c | 283,036 | |
Blue Racer Midstream LLC, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 375,000 | c | 378,863 | |
Centennial Resource Production LLC, Gtd. Notes | | 5.38 | | 1/15/2026 | | 70,000 | c | 65,062 | |
CQP Holdco LP, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 500,000 | c | 459,358 | |
Crestwood Midstream Partners LP, Gtd. Notes | | 5.63 | | 5/1/2027 | | 25,000 | c | 23,565 | |
Crestwood Midstream Partners LP, Gtd. Notes | | 5.75 | | 4/1/2025 | | 180,000 | | 175,777 | |
CVR Energy Inc., Gtd. Bonds | | 5.25 | | 2/15/2025 | | 418,000 | c | 401,238 | |
EnLink Midstream LLC, Gtd. Notes | | 6.50 | | 9/1/2030 | | 176,000 | c | 178,972 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 4.00 | | 8/1/2024 | | 187,000 | | 178,888 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 4.75 | | 1/15/2031 | | 125,000 | c | 105,382 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 239,000 | | 221,744 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 7.50 | | 6/1/2027 | | 69,000 | c | 69,808 | |
PDC Energy Inc., Gtd. Notes | | 5.75 | | 5/15/2026 | | 170,000 | | 162,591 | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 514,000 | c | 472,222 | |
Targa Resources Partners LP, Gtd. Notes | | 4.88 | | 2/1/2031 | | 350,000 | | 319,256 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 340,000 | c | 277,100 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Energy - 4.1% (continued) | | | | | |
Western Midstream Operating LP, Sr. Unscd. Notes | | 4.30 | | 2/1/2030 | | 280,000 | | 249,893 | |
| | 4,760,548 | |
Environmental Control - .9% | | | | | |
Covanta Holding Corp., Gtd. Notes | | 4.88 | | 12/1/2029 | | 312,000 | c | 264,050 | |
Covanta Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 155,000 | | 132,764 | |
GFL Environmental Inc., Sr. Scd. Notes | | 5.13 | | 12/15/2026 | | 280,000 | c | 269,951 | |
Harsco Corp., Gtd. Notes | | 5.75 | | 7/31/2027 | | 315,000 | c | 254,890 | |
Waste Pro USA Inc., Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 170,000 | c | 157,151 | |
| | 1,078,806 | |
Food Products - .4% | | | | | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 310,000 | c | 249,924 | |
Post Holdings Inc., Gtd. Notes | | 4.63 | | 4/15/2030 | | 195,000 | c | 171,386 | |
United Natural Foods Inc., Gtd. Notes | | 6.75 | | 10/15/2028 | | 54,000 | c | 52,446 | |
| | 473,756 | |
Health Care - 3.2% | | | | | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 470,000 | c | 391,394 | |
Chrome Bidco SASU, Sr. Scd. Bonds | EUR | 3.50 | | 5/31/2028 | | 420,000 | c | 385,698 | |
Cidron Aida Finco SARL, Sr. Scd. Bonds | EUR | 5.00 | | 4/1/2028 | | 640,000 | c | 559,706 | |
Cidron Aida Finco SARL, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 453,000 | c | 442,242 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 160,000 | c | 130,580 | |
Nidda Healthcare Holding GmbH, Sr. Scd. Notes | EUR | 3.50 | | 9/30/2024 | | 650,000 | c | 650,958 | |
Option Care Health Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 275,000 | c | 234,607 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 450,000 | c | 399,825 | |
Prime Healthcare Services Inc., Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 323,000 | c | 276,414 | |
Tenet Healthcare Corp., Gtd. Notes | | 6.13 | | 10/1/2028 | | 290,000 | c | 256,382 | |
| | 3,727,806 | |
Industrial - 1.2% | | | | | |
Norican A/S, Sr. Scd. Bonds | EUR | 4.50 | | 5/15/2023 | | 545,000 | | 538,204 | |
Promontoria Holding 264 BV, Sr. Scd. Bonds | EUR | 6.38 | | 3/1/2027 | | 272,000 | c | 263,626 | |
Titan Acquisition Ltd., Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 50,000 | c | 44,462 | |
TK Elevator US Newco Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 580,000 | c | 527,217 | |
| | 1,373,509 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Information Technology - .9% | | | | | |
Athenahealth Group Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 800,000 | c | 600,086 | |
Boxer Parent Co., Sr. Scd. Notes | EUR | 6.50 | | 10/2/2025 | | 230,000 | c | 229,938 | |
MSCI Inc., Gtd. Notes | | 3.25 | | 8/15/2033 | | 185,000 | c | 145,589 | |
| | 975,613 | |
Insurance - .7% | | | | | |
Acrisure LLC, Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 310,000 | c | 253,295 | |
Acrisure LLC, Sr. Unscd. Notes | | 7.00 | | 11/15/2025 | | 110,000 | c | 103,632 | |
AssuredPartners Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 165,000 | c | 140,415 | |
AssuredPartners Inc., Sr. Unscd. Notes | | 7.00 | | 8/15/2025 | | 280,000 | c | 269,101 | |
| | 766,443 | |
Internet Software & Services - 2.0% | | | | | |
Cogent Communications Group Inc., Gtd. Notes | | 7.00 | | 6/15/2027 | | 385,000 | c | 375,797 | |
Gen Digital Inc., Gtd. Notes | | 6.75 | | 9/30/2027 | | 280,000 | c | 281,523 | |
Match Group Holdings II LLC, Sr. Unscd. Notes | | 3.63 | | 10/1/2031 | | 310,000 | c | 237,237 | |
Northwest Fiber LLC, Sr. Scd. Notes | | 4.75 | | 4/30/2027 | | 152,000 | c | 134,784 | |
Northwest Fiber LLC, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 350,000 | c | 276,727 | |
United Group BV, Sr. Scd. Bonds | EUR | 3.13 | | 2/15/2026 | | 880,000 | c | 766,403 | |
United Group BV, Sr. Scd. Notes | EUR | 4.00 | | 11/15/2027 | | 240,000 | c | 195,349 | |
| | 2,267,820 | |
Materials - 2.7% | | | | | |
ARD Finance SA, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 270,000 | c,d | 198,982 | |
ARD Finance SA, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 365,000 | c,d | 270,792 | |
Ardagh Packaging Finance PLC, Gtd. Notes | GBP | 4.75 | | 7/15/2027 | | 250,000 | c | 213,559 | |
Ball Corp., Gtd. Notes | | 3.13 | | 9/15/2031 | | 450,000 | | 358,062 | |
Graham Packaging Co., Gtd. Notes | | 7.13 | | 8/15/2028 | | 170,000 | c | 143,929 | |
Kleopatra Finco SARL, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 440,000 | c | 383,929 | |
LABL Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 265,000 | c | 253,423 | |
LABL Inc., Sr. Unscd. Notes | | 8.25 | | 11/1/2029 | | 304,000 | c | 248,801 | |
LABL Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 56,000 | c | 51,598 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2024 | | 295,000 | | 297,653 | |
Mauser Packaging Solutions Holding Co., Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 808,000 | c | 738,504 | |
| | 3,159,232 | |
Media - 5.0% | | | | | |
Altice Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 610,000 | c | 499,517 | |
Altice Finco SA, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 860,000 | c | 691,434 | |
CCO Holdings LLC, Sr. Unscd. Notes | | 4.75 | | 3/1/2030 | | 306,000 | c | 263,450 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Media - 5.0% (continued) | | | | | |
CSC Holdings LLC, Gtd. Notes | | 5.38 | | 2/1/2028 | | 320,000 | c | 286,873 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 380,000 | c | 348,646 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 390,000 | c | 266,196 | |
DISH DBS Corp., Gtd. Notes | | 5.13 | | 6/1/2029 | | 350,000 | | 231,000 | |
DISH DBS Corp., Gtd. Notes | | 5.88 | | 11/15/2024 | | 280,000 | | 266,448 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 150,000 | c | 154,362 | |
Gray Television Inc., Gtd. Notes | | 4.75 | | 10/15/2030 | | 379,000 | c | 281,047 | |
iHeartCommunications Inc., Sr. Scd. Notes | | 6.38 | | 5/1/2026 | | 270,000 | | 255,822 | |
Nexstar Media Inc., Gtd. Notes | | 5.63 | | 7/15/2027 | | 300,000 | c | 283,271 | |
Radiate Holdco LLC, Sr. Scd. Notes | | 4.50 | | 9/15/2026 | | 190,000 | c | 155,719 | |
Radiate Holdco LLC, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 167,000 | c | 90,433 | |
Sinclair Television Group Inc., Gtd. Notes | | 5.50 | | 3/1/2030 | | 330,000 | c | 252,996 | |
TEGNA Inc., Gtd. Notes | | 5.00 | | 9/15/2029 | | 159,000 | | 148,878 | |
UPC Broadband Finco BV, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 320,000 | c | 274,016 | |
UPC Holding BV, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 240,000 | c | 213,974 | |
Virgin Media Finance PLC, Gtd. Notes | | 5.00 | | 7/15/2030 | | 290,000 | c | 241,786 | |
Ziggo Bond Co. BV, Gtd. Notes | | 5.13 | | 2/28/2030 | | 330,000 | c | 268,269 | |
Ziggo BV, Sr. Scd. Notes | | 4.88 | | 1/15/2030 | | 370,000 | c | 315,109 | |
| | 5,789,246 | |
Metals & Mining - .2% | | | | | |
Arconic Corp., Scd. Notes | | 6.13 | | 2/15/2028 | | 300,000 | c | 282,119 | |
Real Estate - 1.7% | | | | | |
Blackstone Mortgage Trust Inc., Sr. Scd. Notes | | 3.75 | | 1/15/2027 | | 230,000 | c | 200,802 | |
Brookfield Property REIT Inc., Sr. Scd. Notes | | 4.50 | | 4/1/2027 | | 280,000 | c | 245,644 | |
Iron Mountain Inc., Gtd. Notes | | 5.25 | | 7/15/2030 | | 380,000 | c | 342,481 | |
Ladder Capital Finance Corp., Gtd. Notes | | 5.25 | | 10/1/2025 | | 480,000 | c | 456,643 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 180,000 | c | 162,822 | |
SBA Communications Corp., Sr. Unscd. Notes | | 3.13 | | 2/1/2029 | | 300,000 | | 250,781 | |
Starwood Property Trust Inc., Sr. Unscd. Notes | | 3.75 | | 12/31/2024 | | 320,000 | c | 302,741 | |
| | 1,961,914 | |
Retailing - 2.5% | | | | | |
B&M European Value Retail SA, Sr. Scd. Notes | GBP | 3.63 | | 7/15/2025 | | 320,000 | | 348,149 | |
eG Global Finance PLC, Sr. Scd. Notes | EUR | 4.38 | | 2/7/2025 | | 370,000 | c | 338,396 | |
Macy's Retail Holdings LLC, Gtd. Notes | | 4.50 | | 12/15/2034 | | 515,000 | | 369,227 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Retailing - 2.5% (continued) | | | | | |
Macy's Retail Holdings LLC, Gtd. Notes | | 5.88 | | 4/1/2029 | | 190,000 | c | 176,953 | |
New Red Finance Inc., Sr. Scd. Notes | | 3.88 | | 1/15/2028 | | 353,000 | c | 315,422 | |
Shiba Bidco SPA, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 291,000 | c | 257,716 | |
Staples Inc., Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 450,000 | c | 402,219 | |
Staples Inc., Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 150,000 | c | 109,958 | |
The Very Group Funding PLC, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 358,000 | c | 318,712 | |
Yum! Brands Inc., Sr. Unscd. Notes | | 5.38 | | 4/1/2032 | | 240,000 | | 222,908 | |
| | 2,859,660 | |
Telecommunication Services - 4.2% | | | | | |
Altice France Holding SA, Gtd. Notes | EUR | 4.00 | | 2/15/2028 | | 130,000 | c | 91,750 | |
Altice France Holding SA, Gtd. Notes | | 6.00 | | 2/15/2028 | | 350,000 | c | 235,352 | |
Altice France Holding SA, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 470,000 | c | 372,179 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 200,000 | c | 166,966 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 226,000 | c | 181,510 | |
CommScope Inc., Gtd. Notes | | 8.25 | | 3/1/2027 | | 354,000 | c | 304,440 | |
Connect Finco SARL, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 715,000 | c | 676,844 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 5.88 | | 10/15/2027 | | 140,000 | c | 133,392 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 200,000 | c | 207,138 | |
Lorca Telecom Bondco SA, Sr. Scd. Bonds | EUR | 4.00 | | 9/18/2027 | | 450,000 | c | 425,888 | |
PLT VII Finance SARL, Sr. Scd. Notes | EUR | 4.63 | | 1/5/2026 | | 530,000 | c | 520,244 | |
TalkTalk Telecom Group Ltd., Gtd. Notes | GBP | 3.88 | | 2/20/2025 | | 290,000 | | 276,123 | |
Telecom Italia SPA, Sr. Unscd. Notes | | 5.30 | | 5/30/2024 | | 200,000 | c | 193,977 | |
ViaSat Inc., Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 800,000 | c | 744,668 | |
Vmed O2 UK Financing I PLC, Sr. Scd. Bonds | EUR | 3.25 | | 1/31/2031 | | 360,000 | c | 304,537 | |
| | 4,835,008 | |
Transportation - .2% | | | | | |
First Student Bidco Inc., Sr. Scd. Notes | | 4.00 | | 7/31/2029 | | 211,000 | c | 175,537 | |
Utilities - 2.4% | | | | | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 155,000 | c | 134,024 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 545,000 | c | 472,001 | |
Energia Group Ni Financeco PLC, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 505,000 | | 562,592 | |
Energia Group Ni Financeco PLC, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 690,000 | c | 768,689 | |
NRG Energy Inc., Gtd. Notes | | 3.63 | | 2/15/2031 | | 290,000 | c | 232,242 | |
Pike Corp., Gtd. Notes | | 5.50 | | 9/1/2028 | | 145,000 | c | 129,768 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 81.3% (continued) | | | | | |
Utilities - 2.4% (continued) | | | | | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 75,000 | c | 73,962 | |
Vistra Corp., Jr. Sub. Notes | | 7.00 | | 12/15/2026 | | 365,000 | c,e | 326,952 | |
| | 2,700,230 | |
Total Bonds and Notes
(cost $111,065,061) | | 93,531,235 | |
| | | | | | | | | |
Floating Rate Loan Interests - 50.4% | | | | | |
Advertising - 1.6% | | | | | |
CB Poly US Holdings Inc., Initial Term Loan, 1 Month Term SOFR +5.50% | | 9.59 | | 5/20/2029 | | 192,908 | f | 181,140 | |
Clear Channel Outdoor Holdings, Term Loan B, 3 Month LIBOR +3.50% | | 7.74 | | 8/21/2026 | | 278,622 | f | 255,714 | |
Summer BC Holdco B SARL, Additional Term Loan B-3, 3 Month EURIBOR +4.25% | EUR | 5.83 | | 12/4/2026 | | 1,000,000 | f | 992,118 | |
Summer BC Holdco B SARL, USD Additional Facility Term Loan B-2, 3 Month LIBOR +4.50% | | 8.17 | | 12/4/2026 | | 504,986 | f | 467,192 | |
| | 1,896,164 | |
Building Materials - 2.2% | | | | | |
BME Group Holding BV, Facility Term Loan B, 3 Month EURIBOR +3.50% | EUR | 5.11 | | 10/31/2026 | | 1,000,000 | f | 968,538 | |
Cornerstone Building, New Term Loan B, 1 Month LIBOR +3.25% | | 7.12 | | 4/12/2028 | | 553,897 | f | 495,824 | |
LSF10 XL Bidco SCA, Facility Term Loan B-4, 3 Month EURIBOR +3.68% | EUR | 4.87 | | 4/9/2028 | | 1,280,206 | f | 1,092,116 | |
| | 2,556,478 | |
Chemicals - 1.0% | | | | | |
Aruba Investment Holding, First Lien Initial Dollar Term Loan, 1 Month LIBOR +4.00% | | 8.04 | | 11/24/2027 | | 167,324 | f | 162,443 | |
Flexsys Holdings Inc., Initial Term Loan, 1 Month LIBOR +5.25% | | 9.32 | | 11/1/2028 | | 467,650 | f | 367,105 | |
LSF11 Skyscraper Holdco, USD Facility Term Loan B-3, 3 Month LIBOR +3.50% | | 7.17 | | 9/30/2027 | | 511,396 | f | 501,169 | |
Polar US Borrower LLC, Initial Term Loan, 3 Month LIBOR +4.75% | | 9.02 | | 10/15/2025 | | 77,734 | f | 63,094 | |
| | 1,093,811 | |
Commercial & Professional Services - 8.6% | | | | | |
Albion Acquisitions Ltd., Term Loan B, 3 Month EURIBOR +5.25% | EUR | 6.75 | | 7/31/2026 | | 1,000,000 | f | 1,017,967 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Commercial & Professional Services - 8.6% (continued) | | | | | |
American Auto Auction, First Lien Tranche Term Loan B, 3 Month Term SOFR +5.15% | | 8.70 | | 12/30/2027 | | 585,575 | f | 502,620 | |
APX Group Inc., Initial Term Loan, 3 Month LIBOR +3.25% & 3 Month PRIME +2.25% | | 7.99 | | 7/9/2028 | | 364,039 | f | 348,481 | |
Boels Topholding BV, Facility Term Loan B-2, 3 Month EURIBOR +3.25% | EUR | 5.01 | | 2/5/2027 | | 1,000,000 | f | 1,006,780 | |
CIBT Global Inc., First Lien Term Loan, 3 Month LIBOR +1.00% | | 4.67 | | 6/1/2024 | | 1,043,791 | f | 748,920 | |
Electro Rent Corp., First Lien Initial Term Loan, 3 Month LIBOR +5.00% | | 9.28 | | 1/31/2024 | | 217,467 | f | 213,117 | |
Element Materials Technology, Delayed Draw Term Loan B, 3 Month Term SOFR +4.35% | | 7.90 | | 6/24/2029 | | 25,277 | f | 24,856 | |
Element Materials Technology, Initial USD Term Loan B, 3 Month Term SOFR +4.25% | | 7.90 | | 6/24/2029 | | 54,767 | f | 53,855 | |
Indigocyan Holdco 3 Ltd., Facility Term Loan B, 12 Month SONIA +4.87% | GBP | 7.81 | | 12/31/2024 | | 2,000,000 | f | 2,229,712 | |
Minerva Bidco Ltd., Term Loan B, 12 Month SONIA +4.62% | GBP | 7.55 | | 7/31/2025 | | 1,000,000 | f | 1,122,889 | |
Modulaire Group Holdings, Facility B Term Loan, 3 Month EURIBOR +4.50% | EUR | 5.69 | | 12/31/2028 | | 1,000,000 | f | 969,345 | |
Neptune Bidco US Inc., Term Loan B, 1 Month Term SOFR +5.00% | | 9.18 | | 4/11/2029 | | 330,189 | f | 297,583 | |
Praesidiad Ltd., Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.78 | | 10/4/2024 | | 1,000,000 | f | 887,111 | |
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, 1 Month LIBOR +4.00% | | 8.07 | | 7/8/2028 | | 216,588 | f | 204,767 | |
Vaco Holdings LLC, Initial Term Loan, 1-3 Month Term SOFR +5.00% | | 8.94 | | 1/21/2029 | | 289,602 | f | 278,109 | |
| | 9,906,112 | |
Consumer Discretionary - 5.5% | | | | | |
Allen Media LLC, Term Loan B, 3 Month Term SOFR +5.50% | | 9.20 | | 2/10/2027 | | 246,175 | f | 206,402 | |
Ammega Group BV, Facility Term Loan B, 1 Month EURIBOR +3.75% | EUR | 5.30 | | 9/11/2025 | | 1,150,000 | f | 1,128,521 | |
Banijay Entertainment, Facility Term Loan B, 3 Month EURIBOR +3.75% | EUR | 4.92 | | 3/1/2025 | | 1,000,000 | f | 1,027,072 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Consumer Discretionary - 5.5% (continued) | | | | | |
Carnival Corp., 2021 Advance Incremental Term Loan B, 6 Month LIBOR +3.25% | | 6.13 | | 10/18/2028 | | 244,878 | f | 230,593 | |
Scientific Games Holdings, Term Loan B-2, 1 Month Term SOFR +3.50% | | 7.10 | | 4/4/2029 | | 762,903 | f | 730,586 | |
Silk Bidco AS, Facility Term Loan C, 6 Month EURIBOR +8.00% | EUR | 8.27 | | 6/16/2023 | | 1,000,000 | f | 936,800 | |
Stage Entertainment BV, Facility Term Loan B-2, 3 Month EURIBOR +3.25% | EUR | 5.04 | | 5/2/2026 | | 1,000,000 | f | 961,259 | |
Tecta America Corp., First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 8.45 | | 4/9/2028 | | 1,145,020 | f | 1,100,364 | |
| | 6,321,597 | |
Consumer Staples - .6% | | | | | |
Kronos Acquisition Holdings, Tranche Term Loan B-1, 3 Month LIBOR +3.75% | | 8.48 | | 12/22/2026 | | 761,345 | f | 725,063 | |
Diversified Financials - .9% | | | | | |
BHN Merger Sub Inc., First Lien Term Loan, 3 Month Term SOFR +3.00% | | 7.08 | | 6/15/2025 | | 290,079 | f | 283,371 | |
Russell Investments US, New 2025 Term Loan, 1 Month LIBOR +3.50% | | 7.57 | | 5/30/2025 | | 431,075 | f | 406,019 | |
Tegra118 Wealth Solution, Initial Term Loan, 1 Month LIBOR +4.00% | | 7.91 | | 2/18/2027 | | 361,675 | f | 344,315 | |
| | 1,033,705 | |
Electronic Components - .7% | | | | | |
ADB Safegate BVBA, Facility Term Loan B, 3 Month EURIBOR +4.75% | EUR | 5.51 | | 10/2/2024 | | 1,000,000 | f | 814,790 | |
Energy - .5% | | | | | |
Freeport LNG Investments, Initial Term Loan B, 3 Month LIBOR +3.50% | | 7.74 | | 12/21/2028 | | 622,065 | f | 591,910 | |
Environmental Control - .2% | | | | | |
Packers Holdings LLC, Initial Term Loan, 1 Month LIBOR +3.25% | | 7.13 | | 3/9/2028 | | 219,807 | f | 193,430 | |
Food Products - .9% | | | | | |
Sovos Brands Intermediate, First Lien Initial Term Loan, 3 Month LIBOR +3.50% | | 7.91 | | 6/8/2028 | | 230,856 | f | 224,507 | |
ZF Invest SAS, Term Loan B, 3 Month EURIBOR +3.93% | EUR | 5.24 | | 7/12/2028 | | 1,000,000 | f | 867,455 | |
| | 1,091,962 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Health Care - 9.4% | | | | | |
Aenova Holding GmbH, Facility Term Loan B-2, 6 Month EURIBOR +4.50% | EUR | 5.03 | | 3/31/2026 | | 1,000,000 | f | 932,898 | |
Albany Molecular Research, Term Loan, 1-3 Month LIBOR +3.75% | | 7.99 | | 8/30/2026 | | 481,250 | f | 403,776 | |
Auris Luxembourg III SA, Facility Term Loan B-1, 6 Month EURIBOR +4.00% | EUR | 6.44 | | 2/21/2026 | | 1,000,000 | f | 934,917 | |
Baart Programs Inc., Delayed Draw Term Loan, 1-3 Month LIBOR +3.50% | | 5.54 | | 6/11/2027 | | 485,889 | f,h | 468,883 | |
Baart Programs Inc., Term Loan, 1 Month LIBOR +5.00% | | 9.12 | | 6/11/2027 | | 530,875 | f | 512,294 | |
Chrome Bidco SASU, Facility B Term Loan, 3 Month EURIBOR +3.25% | EUR | 5.22 | | 6/1/2028 | | 1,000,000 | f | 971,306 | |
Diaverum Holding SARL, Facility Term Loan B, 6 Month EURIBOR +3.25% | EUR | 3.48 | | 7/31/2024 | | 1,000,000 | f | 975,375 | |
Financiere Mendel SASU, Term Loan, 3 Month EURIBOR +4.25% | EUR | 5.44 | | 4/12/2026 | | 1,000,000 | f | 1,027,592 | |
Financiere Verdi I SASU, Facility Term Loan B, 12 Month SONIA +4.50% | GBP | 7.44 | | 4/15/2028 | | 1,000,000 | f | 991,318 | |
Gainwell Acquisition Corp., Term Loan B, 3 Month LIBOR +4.00% | | 7.67 | | 10/1/2027 | | 562,725 | f | 550,767 | |
HomeVi, Senior Facility Term Loan B-1, 3 Month EURIBOR +3.25% | EUR | 4.97 | | 10/31/2026 | | 1,000,000 | f | 909,552 | |
Inovie SASU, Senior Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 5.19 | | 3/3/2028 | | 1,000,000 | f | 985,708 | |
Pathway Vet Alliance LLC, 2021 Replacement Term Loan, 3 Month LIBOR +3.75% | | 7.42 | | 3/31/2027 | | 226,328 | f | 199,978 | |
Pluto Acquisition I Inc., 2021 First Lien Term Loan, 3 Month LIBOR +4.00% | | 8.73 | | 6/20/2026 | | 119,831 | f | 89,874 | |
Sharp Midco LLC, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 7.67 | | 1/20/2029 | | 228,331 | f | 219,198 | |
Team Health Holdings Inc., Extended Term Loan, 1 Month Term SOFR +5.25% | | 9.34 | | 2/2/2027 | | 287,737 | f | 201,416 | |
WCG Purchaser Corp., First Lien Initial Term Loan, 1-3 Month LIBOR +4.00% | | 7.87 | | 1/8/2027 | | 480,970 | f | 455,118 | |
| | 10,829,970 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Industrial - 1.1% | | | | | |
Osmose Utilities Services, First Lien Initial Term Loan, 3 Month LIBOR +3.25% | | 7.27 | | 6/22/2028 | | 315,845 | f | 298,643 | |
Qualtek USA LLC, Tranche Term Loan B, 3 Month LIBOR +6.25% | | 10.66 | | 7/18/2025 | | 181,018 | f | 128,885 | |
Titan Acquisition Ltd., Initial Term Loan, 6 Month LIBOR +3.00% | | 5.88 | | 3/28/2025 | | 581,724 | f | 548,502 | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 7.67 | | 3/8/2025 | | 334,492 | f | 303,829 | |
| | 1,279,859 | |
Information Technology - 7.3% | | | | | |
Ascend Learning LLC, Initial Term Loan, 1 Month LIBOR +3.50% | | 7.57 | | 12/10/2028 | | 196,211 | f | 186,141 | |
Camelia Bidco Ltd., Facility Term Loan B-1, 3 Month GBPLIBOR +4.77% | GBP | 6.96 | | 10/5/2024 | | 2,000,000 | f | 2,122,759 | |
CT Technologies, 2021 Reprice Term Loan, 1 Month LIBOR +4.25% | | 8.32 | | 12/16/2025 | | 242,147 | f | 225,197 | |
DCert Buyer Inc., Second Lien Initial Term Loan, 6 Month LIBOR +7.00% | | 11.70 | | 2/16/2029 | | 300,000 | f | 274,877 | |
Finthrive Software Intermediate, Term Loan, 1 Month LIBOR +4.00% | | 8.07 | | 12/17/2028 | | 335,604 | f | 303,722 | |
Fintrax International Holdings, Facility New Term Loan B-1, 3 Month EURIBOR +5.25% | EUR | 6.71 | | 5/27/2026 | | 598,086 | f | 598,252 | |
Fintrax International Holdings, New Facility Term Loan B-2, 3 Month EURIBOR +5.25% | EUR | 6.71 | | 5/27/2026 | | 20,096 | f | 20,101 | |
Fintrax International Holdings, New Facility Term Loan B-3, 3 Month EURIBOR +5.25% | EUR | 6.71 | | 5/27/2026 | | 231,101 | f | 231,164 | |
Fintrax International Holdings, New Facility Term Loan B-4, 3 Month EURIBOR +5.25% | EUR | 6.71 | | 5/27/2026 | | 150,718 | f | 150,759 | |
Genesys Cloud Services, Initial Euro Term Loan B-4, 3 Month EURIBOR +4.25% | EUR | 5.86 | | 12/1/2027 | | 994,937 | f | 1,006,052 | |
ION Corporate Solutions, Initial Euro Term Loan, 3 Month EURIBOR +3.75% | EUR | 5.72 | | 3/11/2028 | | 1,000,000 | f | 998,981 | |
Mitchell International, Second Lien Initial Term Loan, 3 Month LIBOR +6.50% | | 11.23 | | 10/15/2029 | | 158,974 | f | 133,986 | |
Mitnick Corporate Purchaser, Initial Term Loan, 3 Month Term SOFR +4.75% | | 8.94 | | 5/2/2029 | | 430,000 | f | 410,650 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Information Technology - 7.3% (continued) | | | | | |
Open Text Corp., Term Loan B, 1 Month Term SOFR +3.50% | | 7.68 | | 11/16/2029 | | 330,000 | f | 321,270 | |
Polaris Newco LLC, Sterling Term Loan, 1 Month SONIA +5.25% | GBP | 8.18 | | 6/4/2028 | | 990,000 | f | 1,074,874 | |
SolarWinds Holdings Inc., 2022 Refinancing Term Loan, 1 Month Term SOFR +4.25% | | 7.81 | | 2/17/2027 | | 288,462 | f | 284,256 | |
| | 8,343,041 | |
Insurance - 1.9% | | | | | |
Asurion LLC, New Term Loan B-4, 1 Month LIBOR +5.25% | | 9.32 | | 1/15/2029 | | 414,791 | f | 321,982 | |
Asurion LLC, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 9.32 | | 2/3/2028 | | 1,068,450 | f | 833,391 | |
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | | 8.57 | | 2/28/2025 | | 765,967 | f | 724,509 | |
Sedgwick Claims Management Services Inc., 2020 Term Loan, 1 Month LIBOR +4.25% | | 8.32 | | 9/3/2026 | | 8,978 | f | 8,862 | |
Sedgwick CMS Inc., Term Loan, 1 Month LIBOR +3.25% | | 7.32 | | 12/31/2025 | | 287,037 | f | 279,701 | |
| | 2,168,445 | |
Internet Software & Services - 1.1% | | | | | |
Endure Digital Inc., Initial Term Loan, 1 Month LIBOR +3.50% | | 7.35 | | 2/10/2028 | | 651,750 | f | 593,092 | |
ION Trading Finance Ltd., Initial Dollar Term Loan, 3 Month LIBOR +4.75% | | 8.42 | | 4/1/2028 | | 217,250 | f | 208,334 | |
Proofpoint Inc., Initial Term Loan, 3 Month LIBOR +3.25% | | 7.98 | | 8/31/2028 | | 434,348 | f | 419,215 | |
| | 1,220,641 | |
Materials - 1.3% | | | | | |
Berlin Packaging LLC, Tranche Term Loan B-5, 1-3 Month LIBOR +3.75% | | 7.48 | | 3/11/2028 | | 289,716 | f | 278,055 | |
Grinding Media Inc., First Lien Initial Term Loan, 3-6 Month LIBOR +4.00% | | 7.14 | | 10/12/2028 | | 430,712 | f | 398,409 | |
MAR Bidco SARL, USD Facility Term Loan B, 3 Month LIBOR +4.30% | | 7.97 | | 6/28/2028 | | 179,903 | f | 164,311 | |
Proampac PG Borrower LLC, 2020-1 Term Loan, 1-6 Month LIBOR +3.75% | | 7.98 | | 11/3/2025 | | 423,637 | f | 410,752 | |
Valcour Packaging LLC, Second Lien Initial Term Loan, 3 Month LIBOR +7.00% | | 11.23 | | 9/30/2029 | | 350,000 | f | 288,750 | |
| | 1,540,277 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Media - 1.2% | | | | | |
DIRECTV Financing LLC, Closing Date Term Loan, 1 Month LIBOR +5.00% | | 9.07 | | 8/2/2027 | | 888,298 | f | 853,068 | |
Sinclair Television Group, Term Loan B-2, 1 Month LIBOR +2.50% | | 6.58 | | 9/30/2026 | | 315,364 | f | 302,949 | |
Sinclair Television Group, Term Loan B4, 1 Month Term SOFR +3.75% | | 7.94 | | 4/21/2029 | | 262,509 | f | 250,778 | |
| | 1,406,795 | |
Retailing - .4% | | | | | |
Great Outdoors Group LLC, Term Loan B-2, 1 Month LIBOR +3.75% | | 7.82 | | 3/5/2028 | | 200,408 | f | 193,194 | |
New Look Corporate Ltd., Term Loan, 6 Month GBPLIBOR +0.00% | GBP | 0.00 | | 11/9/2029 | | 24,012 | f | 2,171 | |
Staples Inc., 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | | 9.44 | | 4/12/2026 | | 236,905 | f | 211,930 | |
| | 407,295 | |
Semiconductors & Semiconductor Equipment - .4% | | | | | |
Natel Engineering Co., Initial Term Loan, 1-6 Month LIBOR +6.25% | | 10.36 | | 4/30/2026 | | 490,669 | f | 458,368 | |
Technology Hardware & Equipment - 1.8% | | | | | |
Access CIG LLC, First Lien Term Loan B, 3 Month LIBOR +3.75% | | 7.82 | | 2/27/2025 | | 218,643 | f | 212,061 | |
Atlas CC Acquisition Corp., First Lien Term Loan B, 3 Month LIBOR +4.25% | | 8.98 | | 5/25/2028 | | 230,925 | f | 201,002 | |
Atlas CC Acquisition Corp., First Lien Term Loan C, 3 Month LIBOR +4.25% | | 8.98 | | 5/25/2028 | | 46,968 | f | 40,882 | |
Marnix SAS, Facility Term Loan B, 3 Month EURIBOR +3.00% | EUR | 4.46 | | 11/19/2026 | | 1,000,000 | f | 989,990 | |
Mcafee Corp., Tranche Term Loan B-1, 1 Month Term SOFR +3.75% | | 7.64 | | 3/1/2029 | | 679,567 | f | 647,716 | |
| | 2,091,651 | |
Telecommunication Services - 1.2% | | | | | |
CCI Buyer Inc., First Lien Initial Term Loan, 3 Month Term SOFR +4.00% | | 7.55 | | 12/17/2027 | | 1,058,995 | f | 1,026,167 | |
Connect Finco SARL, Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 7.58 | | 12/12/2026 | | 369,373 | f | 365,402 | |
| | 1,391,569 | |
Transportation - .3% | | | | | |
OLA Netherlands BV, Term Loan, 1 Month Term SOFR +6.25% | | 10.21 | | 12/3/2026 | | 220,098 | f | 209,093 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 50.4% (continued) | | | | | |
Transportation - .3% (continued) | | | | | |
Worldwide Express Inc., First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 7.67 | | 7/26/2028 | | 132,082 | f | 120,616 | |
| | 329,709 | |
Utilities - .3% | | | | | |
Eastern Power LLC, Term Loan B, 3 Month LIBOR +3.75% | | 7.42 | | 10/2/2025 | | 342,535 | f | 291,797 | |
Total Floating Rate Loan Interests
(cost $63,161,488) | | 57,984,439 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .0% | | | | | |
Information Technology - .0% | | | | | |
Skillsoft Corp. | | | | | | 17,443 | i | 33,491 | |
Media - .0% | | | | | |
Altice USA Inc., Cl. A | | | | | | 2,000 | i | 9,120 | |
Total Common Stocks
(cost $223,725) | | 42,611 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 4.6% | | | | | |
Registered Investment Companies - 4.6% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $5,250,086) | | 3.94 | | | | 5,250,086 | j | 5,250,086 | |
Total Investments (cost $179,700,360) | | 136.3% | 156,808,371 | |
Liabilities, Less Cash and Receivables | | (36.3%) | (41,797,448) | |
Net Assets | | 100.0% | 115,010,923 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
REIT—Real Estate Investment Trust
SONIA—Sterling Overnight Index Average
TSFR—Term SOFR (Secured Overnight Financing Rate) Reference Rates
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, 2022, these securities were valued at $83,530,258 or 72.63% of net assets.
d Payment-in-kind security and interest may be paid in additional par.
e Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
g Collateralized Loan Obligations equity positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the current projection of the amount and timing of these recurring distributions in addition to the estimated
amount of terminal principal payment. The estimated yield and investment cost may ultimately not be realized.
h Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
i Non-income producing security.
j Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2022 (Unaudited)
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
United States Dollar | 4,524,433 | British Pound | 3,740,000 | 1/31/2023 | 7,654 |
United States Dollar | 14,068,732 | Euro | 13,505,000 | 1/31/2023 | (53,622) |
Citigroup Global Markets Inc. |
United States Dollar | 7,578,699 | British Pound | 6,255,000 | 1/23/2023 | 26,056 |
United States Dollar | 32,104,627 | Euro | 30,750,000 | 1/23/2023 | (33,857) |
Gross Unrealized Appreciation | | | 33,710 |
Gross Unrealized Depreciation | | | (87,479) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2022 (Unaudited)
The following is a summary of the inputs used as of November 30, 2022 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 33,130,834 | | - | 33,130,834 | |
Corporate Bonds | - | 60,400,401 | | - | 60,400,401 | |
Equity Securities - Common Stocks | 42,611 | - | | - | 42,611 | |
Floating Rate Loan Interests | - | 57,984,439 | | - | 57,984,439 | |
Investment Companies | 5,250,086 | - | | - | 5,250,086 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 33,710 | | - | 33,710 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (87,479) | | - | (87,479) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
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 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:
The Company's Board of Directors (the "Board") has designated the Adviser as the fund’s valuation designee, effective September 8, 2022, to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
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. 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 a 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. The Services are engaged under the general supervision of the Board. 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.
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, 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, 2022 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 non-performance 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, 2022, accumulated net unrealized depreciation on investments was $22,891,989, consisting of $1,356,070 gross unrealized appreciation and $24,248,059 gross unrealized depreciation.
At November 30, 2022, 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.
