STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
May 31, 2023 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% | | | | | |
Advertising - .3% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 298,000 | c | 263,095 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes | | 5.00 | | 8/15/2027 | | 160,000 | c | 143,542 | |
| | 406,637 | |
Aerospace & Defense - 1.0% | | | | | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.88 | | 4/15/2027 | | 250,000 | c | 247,469 | |
Rolls-Royce PLC, Gtd. Bonds | | 3.63 | | 10/14/2025 | | 210,000 | c | 198,143 | |
TransDigm, Inc., Gtd. Notes | | 4.88 | | 5/1/2029 | | 191,000 | | 169,997 | |
TransDigm, Inc., Gtd. Notes | | 5.50 | | 11/15/2027 | | 550,000 | | 517,617 | |
| | 1,133,226 | |
Airlines - .7% | | | | | |
Air Canada, Sr. Scd. Notes | | 3.88 | | 8/15/2026 | | 210,000 | c | 195,169 | |
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 710,000 | c | 680,970 | |
| | 876,139 | |
Automobiles & Components - 2.5% | | | | | |
Clarios Global LP/Clarios US Finance Co., Sr. Scd. Bonds | EUR | 4.38 | | 5/15/2026 | | 550,000 | c | 564,747 | |
Clarios Global LP/Clarios US Finance Co., Sr. Scd. Notes | | 6.75 | | 5/15/2028 | | 74,000 | c | 74,073 | |
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 422,000 | c | 386,765 | |
Ford Motor Co., Sr. Unscd. Notes | | 5.29 | | 12/8/2046 | | 900,000 | | 712,408 | |
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | | 3.63 | | 6/17/2031 | | 450,000 | | 364,444 | |
Grupo Antolin-Irausa SA, Sr. Scd. Bonds | EUR | 3.50 | | 4/30/2028 | | 360,000 | c | 281,869 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | EUR | 3.88 | | 5/15/2027 | | 420,000 | c,d | 400,441 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 294,000 | c | 212,123 | |
| | 2,996,870 | |
Banks - .9% | | | | | |
Citigroup, Inc., Jr. Sub. Notes | | 3.88 | | 2/18/2026 | | 113,000 | e | 94,366 | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 8.13 | | 11/15/2024 | | 260,000 | c | 255,148 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. HH | | 4.60 | | 2/1/2025 | | 164,000 | e | 151,853 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Banks - .9% (continued) | | | | | |
Lloyds Banking Group PLC, Jr. Sub. Bonds | | 7.50 | | 6/27/2024 | | 200,000 | e | 192,725 | |
Societe Generale SA, Jr. Sub. Bonds | | 7.88 | | 12/18/2023 | | 400,000 | c,e | 390,000 | |
| | 1,084,092 | |
Building Materials - 1.2% | | | | | |
Eco Material Technologies, Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 381,000 | c | 362,481 | |
Emerald Debt Merger Sub LLC, Sr. Scd. Notes | | 6.63 | | 12/15/2030 | | 320,000 | c | 317,840 | |
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2026 | | 210,000 | c | 186,583 | |
Standard Industries, Inc., Sr. Unscd. Notes | | 4.38 | | 7/15/2030 | | 546,000 | c | 461,589 | |
Standard Industries, Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2028 | | 121,000 | c | 111,136 | |
| | 1,439,629 | |
Chemicals - 2.0% | | | | | |
INEOS Quattro Finance 1 PLC, Sr. Unscd. Notes | EUR | 3.75 | | 7/15/2026 | | 670,000 | c | 634,739 | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 234,000 | c,d | 219,959 | |
Italmatch Chemicals SPA, Sr. Scd. Notes | EUR | 10.00 | | 2/6/2028 | | 283,000 | c | 296,450 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | EUR | 9.63 | | 11/15/2028 | | 410,000 | c | 440,166 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 9.75 | | 11/15/2028 | | 240,000 | c | 238,500 | |
SCIH Salt Holdings, Inc., Sr. Scd. Notes | | 4.88 | | 5/1/2028 | | 120,000 | c | 106,447 | |
SCIH Salt Holdings, Inc., Sr. Unscd. Notes | | 6.63 | | 5/1/2029 | | 170,000 | c | 141,002 | |
WR Grace Holdings LLC, Sr. Scd. Notes | | 7.38 | | 3/1/2031 | | 110,000 | c | 107,899 | |
WR Grace Holdings LLC, Sr. Unscd. Notes | | 5.63 | | 8/15/2029 | | 210,000 | c | 174,581 | |
| | 2,359,743 | |
Collateralized Loan Obligations Debt - 29.3% | | | | | |
Carlyle Euro DAC CLO, Ser. 2022-5A, Cl. D, 3 Month EURIBOR +7.63% | EUR | 10.89 | | 10/25/2035 | | 855,000 | c,f | 897,205 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2014-1A, Cl. ER, 3 Month EURIBOR +4.93% | EUR | 8.11 | | 7/15/2031 | | 1,500,000 | c,f | 1,359,998 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2014-1A, Cl. FR, 3 Month EURIBOR +6.61% | EUR | 9.79 | | 7/15/2031 | | 3,000,000 | c,f | 2,479,704 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2015-3A, Cl. ER, 3 Month EURIBOR +6.44% | EUR | 9.62 | | 7/15/2030 | | 2,000,000 | c,f | 1,646,483 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Collateralized Loan Obligations Debt - 29.3% (continued) | | | | | |
CIFC European Funding II DAC CLO, Ser. 2A, Cl. F, 3 Month EURIBOR +7.70% | EUR | 10.88 | | 4/15/2033 | | 1,000,000 | c,f | 871,174 | |
CIFC Funding I Ltd. CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% | | 10.26 | | 4/18/2031 | | 1,000,000 | c,f | 858,485 | |
CQS US Ltd. CLO, Ser. 2022-2A, Cl. E1, 3 Month TSFR +6.85% | | 11.90 | | 7/20/2031 | | 2,000,000 | c,f | 1,819,296 | |
Crown Point 9 Ltd. CLO, Ser. 2020-9A, Cl. ER, 3 Month LIBOR +6.76% | | 12.01 | | 7/14/2034 | | 2,375,000 | c,f | 2,165,299 | |
Dryden 91 Euro DAC CLO, Ser. 2021-91A, Cl. E, 3 Month EURIBOR +7.06% | EUR | 10.24 | | 4/18/2035 | | 1,000,000 | c,f | 967,632 | |
Euro-Galaxy IV DAC CLO, Ser. 2015-4A, CI. FRR, 3 Month EURIBOR +8.88% | EUR | 12.12 | | 7/30/2034 | | 1,750,000 | c,f | 1,631,954 | |
Fidelity Grand Harbour Designated Activity Co. CLO, Ser. 2022-1A, Cl. E, 3 Month EURIBOR +7.08% | EUR | 10.26 | | 10/15/2036 | | 1,750,000 | c,f | 1,767,597 | |
Franklin Park Place I LLC CLO, Ser. 2022-1A, Cl. E, 3 Month TSFR +7.50% | | 12.49 | | 4/14/2035 | | 1,000,000 | c,f | 902,362 | |
GoldenTree Loan Management EUR 2 DAC CLO, Ser. 2A, Cl. E, 3 Month EURIBOR +5.25% | EUR | 8.45 | | 1/20/2032 | | 1,000,000 | c,f | 898,012 | |
Hayfin Emerald IV DAC CLO, Ser. 4A, Cl. FR, 3 Month EURIBOR +8.68% | EUR | 11.86 | | 10/15/2034 | | 740,000 | c,f | 555,054 | |
ICG Euro DAC CLO, Ser. 2021-1A, Cl. F, 3 Month EURIBOR +8.82% | EUR | 12.00 | | 10/15/2034 | | 1,000,000 | c,f | 877,997 | |
KKR 23 Ltd. CLO, Ser. 23, Cl. E, 3 Month LIBOR +6.00% | | 11.25 | | 10/20/2031 | | 1,000,000 | c,f | 854,414 | |
OZLM Funding II Ltd. CLO, Ser. 2012-2A, Cl. DR2, 3 Month LIBOR +5.90% | | 11.20 | | 7/30/2031 | | 2,250,000 | c,f | 1,785,333 | |
OZLM VI Ltd. CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | | 11.31 | | 4/17/2031 | | 1,000,000 | c,f | 781,529 | |
OZLME III DAC CLO, Ser. 3A, Cl. F, 3 Month EURIBOR +6.45% | EUR | 9.86 | | 8/24/2030 | | 1,000,000 | c,f | 827,487 | |
St. Paul's V DAC CLO, Ser. 5A, Cl. FR, 3 Month EURIBOR +6.60% | EUR | 9.98 | | 8/20/2030 | | 4,000,000 | c,f | 3,387,679 | |
TIAA I Ltd. CLO, Ser. 2016-1A, CI. ER, 3 Month LIBOR +6.20% | | 11.45 | | 7/20/2031 | | 2,131,000 | c,f | 1,697,431 | |
Tikehau DAC CLO, Ser. 2015-1A, Cl. FRR, 3 Month EURIBOR +8.75% | EUR | 12.02 | | 8/4/2034 | | 2,000,000 | c,f | 1,830,898 | |
Trinitas XI Ltd. CLO, Ser. 2019-11A, CI. ER, 3 Month LIBOR +7.27% | | 12.53 | | 7/15/2034 | | 750,000 | c,f | 623,503 | |
Venture 45 Ltd. CLO, Ser. 2022-45A, CI. D1, 3 Month TSFR +4.00% | | 9.05 | | 7/20/2035 | | 1,500,000 | c,f | 1,268,721 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Collateralized Loan Obligations Debt - 29.3% (continued) | | | | | |
Vibrant III Ltd. CLO, Ser. 2015-3A, Cl. DRR, 3 Month LIBOR +6.35% | | 11.60 | | 10/20/2031 | | 1,000,000 | c,f | 709,612 | |
Wind River Ltd. CLO, Ser. 2016-1KRA, CI. FR2, 3 Month LIBOR +7.90% | | 13.16 | | 10/15/2034 | | 1,500,000 | c,f | 1,113,490 | |
| | 34,578,349 | |
Collateralized Loan Obligations Equity - .0% | | | | | |
Madison Park Funding X Ltd. CLO, Ser. 2012-10A, Cl. SUB | | 0.00 | | 1/20/2029 | | 3,000,000 | c,g | 180 | |
Commercial & Professional Services - 4.0% | | | | | |
Adtalem Global Education, Inc., Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 250,000 | c | 233,931 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Sr. Scd. Bonds | GBP | 4.88 | | 6/1/2028 | | 860,000 | c | 832,752 | |
APX Group, Inc., Gtd. Notes | | 5.75 | | 7/15/2029 | | 226,000 | c | 193,377 | |
APX Group, Inc., Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 198,000 | c | 195,286 | |
BCP V Modular Services Finance II PLC, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 420,000 | c | 374,863 | |
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | | 11/3/2029 | | 470,000 | c | 488,258 | |
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 129,000 | c | 96,453 | |
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 129,000 | | 96,453 | |
Loxam SAS, Sr. Sub. Notes | EUR | 5.75 | | 7/15/2027 | | 370,000 | | 356,925 | |
MPH Acquisition Holdings LLC, Sr. Scd. Notes | | 5.50 | | 9/1/2028 | | 340,000 | c | 271,422 | |
Neptune Bidco US, Inc., Sr. Scd. Notes | | 9.29 | | 4/15/2029 | | 307,000 | c | 281,316 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd. Notes | | 6.25 | | 1/15/2028 | | 346,000 | c | 318,152 | |
The Hertz Corp., Gtd. Notes | | 4.63 | | 12/1/2026 | | 390,000 | c | 348,211 | |
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 740,000 | c | 675,682 | |
| | 4,763,081 | |
Consumer Discretionary - 5.0% | | | | | |
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | | 4.63 | | 4/1/2030 | | 170,000 | c | 140,599 | |
Carnival Corp., Gtd. Bonds | EUR | 7.63 | | 3/1/2026 | | 415,000 | c | 415,259 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 540,000 | c | 449,508 | |
Carnival Corp., Gtd. Notes | | 7.63 | | 3/1/2026 | | 193,000 | c | 183,166 | |
CCM Merger, Inc., Sr. Unscd. Notes | | 6.38 | | 5/1/2026 | | 439,000 | c | 424,834 | |
Churchill Downs, Inc., Gtd. Notes | | 4.75 | | 1/15/2028 | | 260,000 | c | 240,859 | |
Everi Holdings, Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 271,000 | c | 240,602 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Consumer Discretionary - 5.0% (continued) | | | | | |
Hilton Domestic Operating Co., Inc., Gtd. Notes | | 3.63 | | 2/15/2032 | | 190,000 | c | 157,275 | |
Hilton Domestic Operating Co., Inc., Gtd. Notes | | 4.00 | | 5/1/2031 | | 100,000 | c | 86,408 | |
International Game Technology PLC, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 220,000 | c | 208,366 | |
Jacobs Entertainment, Inc., Sr. Unscd. Notes | | 6.75 | | 2/15/2029 | | 54,000 | | 47,464 | |
KB Home, Gtd. Notes | | 4.00 | | 6/15/2031 | | 324,000 | | 275,495 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 228,000 | c | 207,080 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 214,000 | c | 204,014 | |
NCL Corp. Ltd., Sr. Unscd. Notes | | 3.63 | | 12/15/2024 | | 630,000 | c | 603,008 | |
Nobel Bidco BV, Sr. Scd. Bonds | EUR | 3.13 | | 6/15/2028 | | 720,000 | c | 607,696 | |
Pinewood Finance Co. Ltd., Sr. Scd. Bonds | GBP | 3.63 | | 11/15/2027 | | 240,000 | c | 266,282 | |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, Sr. Scd. Notes | | 4.88 | | 11/1/2026 | | 59,000 | c | 55,369 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 579,000 | c | 544,934 | |
Scientific Games Holdings LP/Scientific Games US Finco, Inc., Sr. Unscd. Notes | | 6.63 | | 3/1/2030 | | 450,000 | c | 396,076 | |
Taylor Morrison Communities, Inc., Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 138,000 | c | 128,527 | |
| | 5,882,821 | |
Consumer Staples - .3% | | | | | |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., Sr. Scd. Notes | | 5.00 | | 12/31/2026 | | 200,000 | c | 182,786 | |
Newell Brands, Inc., Sr. Unscd. Notes | | 4.70 | | 4/1/2026 | | 152,000 | | 141,171 | |
| | 323,957 | |
Diversified Financials - 5.6% | | | | | |
Advisor Group Holdings, Inc., Sr. Unscd. Notes | | 10.75 | | 8/1/2027 | | 300,000 | c | 289,128 | |
Ally Financial, Inc., Jr. Sub. Notes, Ser. B | | 4.70 | | 5/15/2026 | | 661,000 | e | 469,789 | |
Blackstone Secured Lending Fund, Sr. Unscd. Notes | | 2.85 | | 9/30/2028 | | 360,000 | | 294,107 | |
Compass Group Diversified Holdings LLC, Gtd. Notes | | 5.25 | | 4/15/2029 | | 215,000 | c | 190,133 | |
Encore Capital Group, Inc., Sr. Scd. Bonds | EUR | 4.88 | | 10/15/2025 | | 350,000 | c | 343,868 | |
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 525,000 | c | 498,059 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 375,000 | c | 335,423 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Diversified Financials - 5.6% (continued) | | | | | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 500,000 | | 447,231 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 4.75 | | 9/15/2024 | | 204,000 | | 191,115 | |
Intrum AB, Sr. Unscd. Bonds | EUR | 3.13 | | 7/15/2024 | | 343,933 | c | 351,501 | |
Intrum AB, Sr. Unscd. Notes | EUR | 4.88 | | 8/15/2025 | | 520,000 | c | 487,781 | |
Jane Street Group/JSG Finance, Inc., Sr. Scd. Notes | | 4.50 | | 11/15/2029 | | 80,000 | c | 68,313 | |
Nationstar Mortgage Holdings, Inc., Gtd. Notes | | 5.75 | | 11/15/2031 | | 540,000 | c | 439,031 | |
Navient Corp., Sr. Unscd. Notes | | 6.75 | | 6/25/2025 | | 290,000 | | 280,920 | |
Navient Corp., Sr. Unscd. Notes | | 6.75 | | 6/15/2026 | | 465,000 | | 441,285 | |
NFP Corp., Sr. Unscd. Notes | | 6.88 | | 8/15/2028 | | 130,000 | c | 107,941 | |
OneMain Finance Corp., Gtd. Notes | | 6.63 | | 1/15/2028 | | 330,000 | | 299,085 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 5.38 | | 10/15/2025 | | 780,000 | c | 725,772 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 5.75 | | 9/15/2031 | | 399,000 | c | 321,651 | |
| | 6,582,133 | |
Electronic Components - .5% | | | | | |
Energizer Gamma Acquisition BV, Gtd. Bonds | EUR | 3.50 | | 6/30/2029 | | 240,000 | c | 205,677 | |
Sensata Technologies, Inc., Gtd. Notes | | 4.38 | | 2/15/2030 | | 370,000 | c | 330,914 | |
TTM Technologies, Inc., Gtd. Notes | | 4.00 | | 3/1/2029 | | 129,000 | c | 109,477 | |
| | 646,068 | |
Energy - 4.5% | | | | | |
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | | 8.25 | | 2/15/2026 | | 287,000 | c | 278,082 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes | | 5.75 | | 3/1/2027 | | 330,000 | c | 316,653 | |
Apache Corp., Sr. Unscd. Notes | | 5.10 | | 9/1/2040 | | 500,000 | | 412,010 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 290,000 | c | 287,755 | |
Chesapeake Energy Corp., Gtd. Notes | | 5.88 | | 2/1/2029 | | 35,000 | c | 33,011 | |
Comstock Resources, Inc., Gtd. Notes | | 6.75 | | 3/1/2029 | | 340,000 | c | 297,570 | |
CQP Holdco LP/Bip-V Chinook Holdco LLC, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 310,000 | c | 276,684 | |
CVR Energy, Inc., Gtd. Bonds | | 5.25 | | 2/15/2025 | | 698,000 | c | 664,960 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 4.75 | | 1/15/2031 | | 125,000 | c | 107,476 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 239,000 | | 224,416 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Energy - 4.5% (continued) | | | | | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 7.50 | | 6/1/2027 | | 69,000 | c | 69,504 | |
New Fortress Energy, Inc., Sr. Scd. Notes | | 6.50 | | 9/30/2026 | | 77,000 | c | 68,316 | |
New Fortress Energy, Inc., Sr. Scd. Notes | | 6.75 | | 9/15/2025 | | 360,000 | c | 331,806 | |
Northern Oil & Gas, Inc., Sr. Unscd. Notes | | 8.75 | | 6/15/2031 | | 150,000 | | 147,698 | |
PDC Energy, Inc., Gtd. Notes | | 5.75 | | 5/15/2026 | | 170,000 | | 169,635 | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 568,000 | c | 522,571 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 743,000 | c | 609,455 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 4.13 | | 8/15/2031 | | 160,000 | c | 138,116 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 99,000 | c | 99,608 | |
Western Midstream Operating LP, Sr. Unscd. Notes | | 4.30 | | 2/1/2030 | | 250,000 | | 222,576 | |
| | 5,277,902 | |
Environmental Control - .6% | | | | | |
Covanta Holding Corp., Gtd. Notes | | 4.88 | | 12/1/2029 | | 312,000 | c | 271,086 | |
Covanta Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 155,000 | | 133,685 | |
Waste Pro USA, Inc., Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 300,000 | c | 276,467 | |
| | 681,238 | |
Food Products - .6% | | | | | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 172,000 | c | 142,812 | |
Chobani LLC/Chobani Finance Corp., Gtd. Notes | | 7.50 | | 4/15/2025 | | 190,000 | c | 189,006 | |
Pilgrim's Pride Corp., Gtd. Notes | | 6.25 | | 7/1/2033 | | 196,000 | | 191,124 | |
Post Holdings, Inc., Gtd. Notes | | 4.63 | | 4/15/2030 | | 195,000 | c | 170,936 | |
| | 693,878 | |
Health Care - 4.1% | | | | | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 235,000 | c | 210,642 | |
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 273,000 | c | 298,705 | |
Community Health Systems, Inc., Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 411,000 | c | 309,079 | |
Community Health Systems, Inc., Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 350,000 | c | 299,940 | |
HealthEquity, Inc., Gtd. Notes | | 4.50 | | 10/1/2029 | | 298,000 | c | 264,987 | |
Jazz Securities DAC, Sr. Scd. Notes | | 4.38 | | 1/15/2029 | | 280,000 | c | 251,127 | |
Legacy LifePoint Health LLC, Sr. Scd. Notes | | 6.75 | | 4/15/2025 | | 440,000 | c | 392,915 | |
LifePoint Health, Inc., Gtd. Notes | | 5.38 | | 1/15/2029 | | 135,000 | c | 67,338 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Health Care - 4.1% (continued) | | | | | |
Medline Borrower LP, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 107,000 | c | 92,399 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 964,000 | c | 825,837 | |
Option Care Health, Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 334,000 | c | 288,437 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 450,000 | c | 382,397 | |
Prime Healthcare Services, Inc., Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 100,000 | c | 93,892 | |
Tenet Healthcare Corp., Gtd. Notes | | 6.13 | | 10/1/2028 | | 870,000 | | 825,421 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 6.75 | | 5/15/2031 | | 250,000 | c | 250,065 | |
| | 4,853,181 | |
Industrial - .2% | | | | | |
Dycom Industries, Inc., Gtd. Notes | | 4.50 | | 4/15/2029 | | 310,000 | c | 280,315 | |
Information Technology - 1.5% | | | | | |
AthenaHealth Group, Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 919,000 | c | 757,791 | |
Black Knight InfoServ LLC, Gtd. Notes | | 3.63 | | 9/1/2028 | | 270,000 | c | 243,000 | |
Central Parent, Inc./CDK Global, Inc., Sr. Scd. Notes | | 7.25 | | 6/15/2029 | | 290,000 | c | 284,110 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 235,000 | c | 203,506 | |
SS&C Technologies, Inc., Gtd. Notes | | 5.50 | | 9/30/2027 | | 260,000 | c | 248,414 | |
| | 1,736,821 | |
Insurance - 1.0% | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 610,000 | c | 514,156 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 7.00 | | 11/15/2025 | | 110,000 | c | 104,372 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 6.75 | | 4/15/2028 | | 180,000 | c | 176,802 | |
AssuredPartners, Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 165,000 | c | 142,942 | |
Global Atlantic Financial Co., Gtd. Notes | | 3.13 | | 6/15/2031 | | 260,000 | c | 194,943 | |
| | 1,133,215 | |
Internet Software & Services - 1.4% | | | | | |
Arches Buyer, Inc., Sr. Scd. Notes | | 4.25 | | 6/1/2028 | | 149,000 | c | 126,379 | |
Match Group Holdings II LLC, Sr. Unscd. Notes | | 3.63 | | 10/1/2031 | | 530,000 | c | 432,334 | |
United Group BV, Sr. Scd. Bonds | EUR | 3.13 | | 2/15/2026 | | 1,180,000 | c | 1,111,522 | |
| | 1,670,235 | |
Materials - 3.3% | | | | | |
ARD Finance SA, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 400,000 | c,d | 311,352 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Materials - 3.3% (continued) | | | | | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., Gtd. Notes | GBP | 4.75 | | 7/15/2027 | | 380,000 | c | 383,658 | |
Ball Corp., Gtd. Notes | | 3.13 | | 9/15/2031 | | 352,000 | | 290,373 | |
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | | 8.75 | | 4/15/2030 | | 308,000 | c | 266,730 | |
Clydesdale Acquisition Holdings, Inc., Sr. Scd. Notes | | 6.63 | | 4/15/2029 | | 120,000 | c | 113,770 | |
Graham Packaging Co., Inc., Gtd. Notes | | 7.13 | | 8/15/2028 | | 170,000 | c | 144,311 | |
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 640,000 | c | 591,052 | |
LABL, Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 158,000 | c | 152,104 | |
LABL, Inc., Sr. Unscd. Notes | | 8.25 | | 11/1/2029 | | 108,000 | c | 87,868 | |
LABL, Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 396,000 | c | 369,457 | |
Mauser Packaging Solutions Holding Co., Scd. Notes | | 9.25 | | 4/15/2027 | | 206,000 | c | 188,209 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Notes | | 7.88 | | 8/15/2026 | | 307,000 | c | 304,614 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, Sr. Scd. Notes | | 4.00 | | 10/15/2027 | | 280,000 | c | 247,083 | |
Trivium Packaging Finance BV, Sr. Scd. Notes | | 5.50 | | 8/15/2026 | | 420,000 | c | 399,715 | |
| | 3,850,296 | |
Media - 4.4% | | | | | |
Altice Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 610,000 | c | 465,705 | |
Altice Finco SA, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 860,000 | c | 616,294 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.50 | | 5/1/2032 | | 213,000 | | 166,914 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.75 | | 3/1/2030 | | 588,000 | c | 496,606 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 420,000 | c | 389,618 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.38 | | 6/1/2029 | | 320,000 | c | 288,444 | |
CSC Holdings LLC, Gtd. Notes | | 5.38 | | 2/1/2028 | | 220,000 | c | 173,386 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 380,000 | c | 310,569 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 200,000 | c | 88,309 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 7.50 | | 4/1/2028 | | 200,000 | c | 108,619 | |
DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., Sr. Scd. Notes | | 5.88 | | 8/15/2027 | | 250,000 | c | 220,486 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 748,000 | c | 716,750 | |
Gray Escrow II, Inc., Gtd. Notes | | 5.38 | | 11/15/2031 | | 317,000 | c | 202,013 | |
Summer BidCo BV, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 715,167 | c,d | 669,430 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Media - 4.4% (continued) | | | | | |
Ziggo Bond Co. BV, Gtd. Notes | | 5.13 | | 2/28/2030 | | 330,000 | c | 253,438 | |
| | 5,166,581 | |
Metals & Mining - .8% | | | | | |
FMG Resources August 2006 Pty Ltd., Gtd. Notes | | 4.38 | | 4/1/2031 | | 390,000 | c | 329,957 | |
Novelis Corp., Gtd. Notes | | 3.25 | | 11/15/2026 | | 400,000 | c | 361,675 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 7.00 | | 2/15/2026 | | 246,000 | c | 220,742 | |
| | 912,374 | |
Real Estate - 2.0% | | | | | |
Diversified Healthcare Trust, Sr. Unscd. Notes | | 4.75 | | 2/15/2028 | | 60,000 | | 40,892 | |
Diversified Healthcare Trust, Sr. Unscd. Notes | | 4.75 | | 5/1/2024 | | 230,000 | | 210,102 | |
Ladder Capital Finance Holdings LLP/Ladder Capital Finance Corp., Gtd. Notes | | 5.25 | | 10/1/2025 | | 290,000 | c | 271,946 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 390,000 | c | 335,872 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 740,000 | c | 668,602 | |
RLJ Lodging Trust LP, Sr. Scd. Notes | | 4.00 | | 9/15/2029 | | 380,000 | c | 318,261 | |
SBA Communications Corp., Sr. Unscd. Notes | | 3.13 | | 2/1/2029 | | 220,000 | | 185,531 | |
Starwood Property Trust, Inc., Sr. Unscd. Notes | | 3.75 | | 12/31/2024 | | 320,000 | c | 300,622 | |
| | 2,331,828 | |
Retailing - 3.1% | | | | | |
1011778 BC ULC/New Red Finance, Inc., Sr. Scd. Notes | | 3.88 | | 1/15/2028 | | 353,000 | c | 324,076 | |
B&M European Value Retail SA, Sr. Scd. Notes | GBP | 3.63 | | 7/15/2025 | | 320,000 | | 378,597 | |
eG Global Finance PLC, Sr. Scd. Notes | EUR | 4.38 | | 2/7/2025 | | 370,000 | c | 381,524 | |
Macy's Retail Holdings LLC, Gtd. Notes | | 4.50 | | 12/15/2034 | | 515,000 | | 356,478 | |
Macy's Retail Holdings LLC, Gtd. Notes | | 5.88 | | 4/1/2029 | | 190,000 | c | 168,205 | |
PetSmart, Inc./Petsmart Finance Corp., Gtd. Notes | | 7.75 | | 2/15/2029 | | 250,000 | c | 243,120 | |
Shiba Bidco SPA, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 291,000 | c | 267,862 | |
SRS Distribution, Inc., Gtd. Notes | | 6.00 | | 12/1/2029 | | 288,000 | c | 236,830 | |
SRS Distribution, Inc., Sr. Scd. Notes | | 4.63 | | 7/1/2028 | | 73,000 | c | 64,506 | |
Staples, Inc., Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 295,000 | c | 242,798 | |
Staples, Inc., Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 170,000 | c | 104,443 | |
The Very Group Funding PLC, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 358,000 | c | 344,150 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Retailing - 3.1% (continued) | | | | | |
White Cap Buyer LLC, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 418,000 | c | 361,945 | |
Yum! Brands, Inc., Sr. Unscd. Notes | | 5.38 | | 4/1/2032 | | 175,000 | | 165,973 | |
| | 3,640,507 | |
Technology Hardware & Equipment - .6% | | | | | |
Ahead DB Holdings LLC, Gtd. Notes | | 6.63 | | 5/1/2028 | | 157,000 | c | 127,720 | |
Presidio Holdings, Inc., Gtd. Notes | | 8.25 | | 2/1/2028 | | 131,000 | c | 120,665 | |
Presidio Holdings, Inc., Sr. Scd. Notes | | 4.88 | | 2/1/2027 | | 40,000 | c | 37,432 | |
Seagate HDD Cayman, Gtd. Notes | | 8.25 | | 12/15/2029 | | 80,000 | c | 81,883 | |
Virtusa Corp., Sr. Unscd. Notes | | 7.13 | | 12/15/2028 | | 150,000 | c | 119,771 | |
Western Digital Corp., Gtd. Notes | | 4.75 | | 2/15/2026 | | 261,000 | | 248,923 | |
| | 736,394 | |
Telecommunication Services - 4.9% | | | | | |
Altice France Holding SA, Sr. Scd. Notes | EUR | 8.00 | | 5/15/2027 | | 170,000 | c | 104,149 | |
Altice France Holding SA, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 659,000 | c | 394,431 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 400,000 | c | 303,750 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 200,000 | c | 145,320 | |
CommScope, Inc., Gtd. Notes | | 7.13 | | 7/1/2028 | | 75,000 | c | 50,519 | |
CommScope, Inc., Gtd. Notes | | 8.25 | | 3/1/2027 | | 354,000 | c | 278,184 | |
Connect Finco Sarl/Connect US Finco LLC, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 715,000 | c | 690,253 | |
Eolo SPA, Sr. Scd. Bonds | EUR | 4.88 | | 10/21/2028 | | 240,000 | c | 193,524 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 5.88 | | 10/15/2027 | | 190,000 | c | 169,522 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 170,000 | c | 159,117 | |
Iliad Holding SASU, Sr. Scd. Notes | | 6.50 | | 10/15/2026 | | 400,000 | c | 376,984 | |
Level 3 Financing, Inc., Gtd. Notes | | 4.63 | | 9/15/2027 | | 142,000 | c | 88,882 | |
Level 3 Financing, Inc., Sr. Scd. Notes | | 10.50 | | 5/15/2030 | | 221,000 | c | 210,218 | |
Lorca Telecom Bondco SA, Sr. Scd. Bonds | EUR | 4.00 | | 9/18/2027 | | 450,000 | c | 439,571 | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.00 | | 2/15/2027 | | 370,000 | c | 242,450 | |
PLT VII Finance Sarl, Sr. Scd. Notes | EUR | 4.63 | | 1/5/2026 | | 530,000 | c | 544,194 | |
TalkTalk Telecom Group Ltd., Gtd. Notes | GBP | 3.88 | | 2/20/2025 | | 290,000 | | 279,623 | |
Telecom Italia Capital SA, Gtd. Notes | | 6.00 | | 9/30/2034 | | 200,000 | | 168,523 | |
ViaSat, Inc., Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 800,000 | c | 769,640 | |
Zayo Group Holdings, Inc., Sr. Scd. Notes | | 4.00 | | 3/1/2027 | | 315,000 | c | 220,396 | |
| | 5,829,250 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 89.0% (continued) | | | | | |
Transportation - .1% | | | | | |
First Student Bidco, Inc./First Transit Parent, Inc., Sr. Scd. Notes | | 4.00 | | 7/31/2029 | | 211,000 | c | 175,335 | |
Utilities - 2.6% | | | | | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 155,000 | c | 131,248 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 1,060,000 | c | 856,801 | |
Energia Group Ni Financeco PLC/Energia Group ROI Holdings DAC, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 450,000 | c | 553,620 | |
NRG Energy, Inc., Gtd. Notes | | 5.25 | | 6/15/2029 | | 250,000 | c | 225,725 | |
NRG Energy, Inc., Jr. Sub. Bonds | | 10.25 | | 3/15/2028 | | 180,000 | c,e | 170,712 | |
PG&E Corp., Sr. Scd. Notes | | 5.00 | | 7/1/2028 | �� | 228,000 | | 210,519 | |
Pike Corp., Gtd. Notes | | 5.50 | | 9/1/2028 | | 185,000 | c | 165,386 | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 260,000 | c | 252,439 | |
UGI International LLC, Gtd. Notes | EUR | 2.50 | | 12/1/2029 | | 330,000 | c | 285,232 | |
Vistra Corp., Jr. Sub. Notes | | 7.00 | | 12/15/2026 | | 272,000 | c,e | 239,503 | |
| | 3,091,185 | |
Total Bonds and Notes
(cost $116,993,159) | | 105,133,460 | |
| | | | | | | | | |
Floating Rate Loan Interests - 45.5% | | | | | |
Advertising - .2% | | | | | |
CB Poly US Holdings, Inc., Initial Term Loan, 1 Month Term SOFR +5.50% | | 10.65 | | 5/20/2029 | | 131,810 | f | 122,485 | |
Clear Channel Outdoor Holdings, Term Loan B, 1-3 Month Term SOFR +3.50% | | 8.79 | | 8/21/2026 | | 142,535 | f | 134,428 | |
| | 256,913 | |
Automobiles & Components - .1% | | | | | |
Burgess Point Purchaser, Initial Term Loan, 1 Month Term SOFR +5.35% | | 10.50 | | 7/25/2029 | | 123,331 | f | 116,625 | |
Building Materials - 2.2% | | | | | |
BME Group Holding BV, Facility Term Loan B, 3 Month EURIBOR +3.50% | EUR | 6.74 | | 10/31/2026 | | 1,000,000 | f | 1,032,969 | |
Cornerstone Building, New Term Loan B, 1 Month Term SOFR +3.35% | | 8.41 | | 4/12/2028 | | 431,391 | f | 393,732 | |
LSF10 XL Bidco SCA, Facility Term Loan B-4, 3 Month EURIBOR +3.93% | EUR | 6.94 | | 4/9/2028 | | 1,280,206 | f | 1,231,742 | |
| | 2,658,443 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Commercial & Professional Services - 9.1% | | | | | |
Albion Financing 3 Sarl, 2023 & 2026 Term Loan, 3 Month EURIBOR +5.25% | EUR | 8.46 | | 8/17/2026 | | 1,000,000 | f | 1,070,241 | |
American Auto Auction, First Lien Tranche Term Loan B, 3 Month Term SOFR +5.00% | | 10.05 | | 12/30/2027 | | 582,625 | f | 541,841 | |
AVS Group GmbH, Facility Term Loan B-2, 3 Month EURIBOR +3.75% | EUR | 6.93 | | 9/10/2026 | | 1,000,000 | f | 1,039,174 | |
CIBT Global, Inc., First Lien Term Loan, 3 Month LIBOR +1.00% | | 6.16 | | 6/1/2024 | | 1,066,088 | f | 796,367 | |
Electro Rent Corp., Extended Term Loan, 3 Month Term SOFR +5.50% | | 10.27 | | 11/1/2024 | | 216,313 | f | 204,416 | |
Element Materials Technology, Delayed Draw Term Loan B, 3 Month Term SOFR +4.35% | | 9.25 | | 6/24/2029 | | 25,214 | f,h | 24,048 | |
Element Materials Technology, USD Initial Term Loan B, 3 Month Term SOFR +4.35% | | 9.25 | | 6/24/2029 | | 54,630 | f | 52,104 | |
Galaxy US Opco, Inc., Initial Term Loan, 1 Month Term SOFR +4.75% | | 9.90 | | 5/2/2029 | | 139,649 | f | 125,335 | |
Indigocyan Holdco 3 Ltd., Facility Term Loan B, 3 Month SONIA +4.87% | GBP | 9.30 | | 12/31/2024 | | 2,000,000 | f | 2,411,198 | |
Indy US Bidco LLC, 2021 Refinancing Term Loan, 1 Month EURIBOR +3.75% | EUR | 6.95 | | 3/5/2028 | | 1,000,000 | f | 935,287 | |
Minerva Bidco Ltd., Term Loan B, 3 Month SONIA +4.62% | GBP | 9.11 | | 7/31/2025 | | 1,000,000 | f | 1,198,341 | |
Modulaire Group Holdings, Facility Term Loan B, 3 Month EURIBOR +4.50% | EUR | 7.52 | | 12/31/2028 | | 1,000,000 | f | 1,015,081 | |
Neptune Bidco US, Inc., Dollar Term Loan B, 3 Month Term SOFR +5.10% | | 9.99 | | 4/11/2029 | | 493,189 | f | 443,049 | |
Praesidiad Ltd., Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 6.85 | | 10/4/2024 | | 1,000,000 | f | 664,503 | |
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, 1 Month LIBOR +4.25% | | 9.40 | | 7/8/2028 | | 215,497 | f | 198,257 | |
| | 10,719,242 | |
Consumer Discretionary - 2.7% | | | | | |
Ammega Group BV, Facility Term Loan B, 3 Month EURIBOR +3.75% | EUR | 6.77 | | 9/11/2025 | | 1,150,000 | f | 1,223,310 | |
Carnival Corp., 2021 Advance Incremental Term Loan B, 1 Month LIBOR +3.25% | | 8.40 | | 10/18/2028 | | 243,644 | f | 237,045 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Consumer Discretionary - 2.7% (continued) | | | | | |
Scientific Games Holdings, Term Loan B-2, 3 Month Term SOFR +3.50% | | 8.42 | | 4/4/2029 | | 284,088 | f | 274,613 | |
Stage Entertainment BV, Facility Term Loan B-2, 3 Month EURIBOR +3.25% | EUR | 6.56 | | 5/2/2026 | | 1,000,000 | f | 1,027,256 | |
Tecta America Corp., First Lien Initial Term Loan, 1 Month Term SOFR +4.00% | | 9.27 | | 4/9/2028 | | 439,222 | f | 432,634 | |
| | 3,194,858 | |
Consumer Staples - .6% | | | | | |
Hunter Douglas, Inc., Tranche Term Loan B-1, 3 Month Term SOFR +3.50% | | 8.67 | | 2/25/2029 | | 264,334 | f | 243,947 | |
Kronos Acquisition Holdings, Inc., Tranche Term Loan B-1, 1-3 Month LIBOR +3.75% | | 8.90 | | 12/22/2026 | | 446,308 | f | 428,375 | |
| | 672,322 | |
Diversified Financials - 1.4% | | | | | |
BHN Merger Sub, Inc., First Lien Term Loan, 3 Month Term SOFR +3.00% | | 8.26 | | 6/15/2025 | | 288,564 | f | 281,783 | |
BHN Merger Sub, Inc., Second Lien Term Loan, 3 Month LIBOR +7.00% | | 12.25 | | 6/15/2026 | | 175,000 | f | 166,863 | |
Edelman Financial Center, 2021 Refinancing Term Loan, 1 Month LIBOR +3.75% | | 8.90 | | 4/7/2028 | | 329,162 | f | 316,483 | |
Hudson River Trading LLC, Term Loan, 1 Month Term SOFR +3.11% | | 8.10 | | 3/18/2028 | | 269,313 | f | 254,977 | |
Russell Investments US, 2025 New Term Loan, 1 Month LIBOR +3.60% | | 8.58 | | 5/30/2025 | | 424,332 | f | 403,010 | |
Tegra118 Wealth Solution, Initial Term Loan, 3 Month Term SOFR +4.00% | | 9.13 | | 2/18/2027 | | 184,825 | f | 176,970 | |
| | 1,600,086 | |
Electronic Components - 1.2% | | | | | |
ADB Safegate BVBA, Facility Term Loan B, 3 Month EURIBOR +4.75% | EUR | 7.53 | | 10/2/2024 | | 1,000,000 | f | 958,894 | |
Roper Industrial Product, Initial Dollar Term Loan, 3 Month Term SOFR +4.50% | | 9.40 | | 11/22/2029 | | 461,538 | f | 457,283 | |
| | 1,416,177 | |
Energy - .8% | | | | | |
Freeport LNG Investments, Initial Term Loan B, 3 Month LIBOR +3.50% | | 8.75 | | 12/21/2028 | | 618,907 | f | 593,476 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Energy - .8% (continued) | | | | | |
Gulf Finance LLC, Term Loan B, 1 Month LIBOR +6.75% | | 11.89 | | 8/25/2026 | | 350,000 | f | 338,187 | |
| | 931,663 | |
Environmental Control - .0% | | | | | |
Packers Holdings LLC, Initial Term Loan, 3 Month Term SOFR +3.25% | | 8.42 | | 3/9/2028 | | 129,092 | f | 59,189 | |
Financials - .1% | | | | | |
Jump Financial LLC, Term Loan, 3 Month Term SOFR +4.76% | | 9.66 | | 8/6/2028 | | 159,595 | f | 146,428 | |
Food Products - 1.6% | | | | | |
Biscuit Holding SASU, Facility Term Loan B, 6 Month EURIBOR +4.00% | EUR | 7.27 | | 2/14/2027 | | 1,000,000 | f | 906,930 | |
ZF Invest SAS, Term Loan B, 3 Month EURIBOR +3.98% | EUR | 7.05 | | 7/12/2028 | | 1,000,000 | f | 1,004,937 | |
| | 1,911,867 | |
Food Service - .8% | | | | | |
Telfer Investments, Facility Term Loan B-1, 6 Month EURIBOR +4.75% | EUR | 7.19 | | 7/1/2026 | | 1,000,000 | f | 981,811 | |
Health Care - 10.2% | | | | | |
Aenova Holding GmbH, Facility Term Loan B-2, 6 Month EURIBOR +4.50% | EUR | 7.33 | | 3/31/2026 | | 1,000,000 | f | 1,029,388 | |
Auris Luxembourg III SA, Facility Term Loan B-1, 6 Month EURIBOR +4.00% | EUR | 7.78 | | 2/21/2026 | | 2,000,000 | f | 2,025,565 | |
Chrome Bidco SASU, Facility Term Loan B, 1 Month EURIBOR +3.20% | EUR | 3.25 | | 6/1/2028 | | 1,000,000 | f | 988,813 | |
Community Care Health Network LLC, Term Loan, 3 Month LIBOR +4.75% | | 5.75 | | 2/16/2025 | | 29,210 | f | 25,121 | |
Diaverum Holding Sarl, Facility Term Loan B, 1 Month EURIBOR +3.25% | EUR | 6.41 | | 7/31/2024 | | 1,000,000 | f | 1,064,806 | |
eResearchTechnology, Inc., First Lien Initial Term Loan, 1 Month LIBOR +4.61% | | 9.77 | | 2/4/2027 | | 154,603 | f | 143,092 | |
Financiere Verdi I SASU, Facility Term Loan B, 3 Month SONIA +4.50% | GBP | 8.96 | | 4/15/2028 | | 1,000,000 | f | 1,094,676 | |
Gainwell Acquisition Corp., Term Loan B, 3 Month LIBOR +4.00% | | 8.90 | | 10/1/2027 | | 559,861 | f | 530,992 | |
HomeVi, Senior Facility Term Loan B-1, 3 Month EURIBOR +3.25% | EUR | 6.49 | | 10/31/2026 | | 1,000,000 | f | 941,637 | |
Inovie SASU, Senior Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 7.02 | | 3/3/2028 | | 2,000,000 | f | 1,933,063 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Health Care - 10.2% (continued) | | | | | |
LifePoint Health, Inc., First Lien Term Loan B, 3 Month LIBOR +3.75% | | 9.02 | | 11/16/2025 | | 320,000 | f | 281,667 | |
Radiology Partners, Inc., Replacement Term Loan B, 1 Month Term SOFR +4.36% | | 9.52 | | 7/9/2025 | | 240,000 | f | 174,060 | |
Sirona BidCo SASU, Facility Term Loan B, 3 Month EURIBOR +4.25% | EUR | 7.00 | | 12/16/2028 | | 1,000,000 | f | 1,039,062 | |
Sotera Health Holdings LLC, Initial Term Loan, 6 Month Term SOFR +3.75% | | 8.82 | | 12/13/2026 | | 335,000 | f | 332,906 | |
WCG Purchaser Corp., First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 8.95 | | 1/8/2027 | | 478,510 | f | 455,482 | |
| | 12,060,330 | |
Industrial - 1.9% | | | | | |
Assystem Technologies Services, Term Loan B, 3 Month EURIBOR +4.75% | EUR | 4.75 | | 9/28/2024 | | 1,000,000 | f | 1,004,499 | |
KP Germany Erste GmbH, Facility Term Loan B, 6 Month EURIBOR +4.75% | EUR | 7.98 | | 2/9/2026 | | 1,000,000 | f | 972,699 | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 9.16 | | 3/8/2025 | | 332,741 | f | 296,140 | |
| | 2,273,338 | |
Information Technology - 5.5% | | | | | |
Ascend Learning LLC, Initial Term Loan, 1 Month Term SOFR +3.60% | | 8.58 | | 12/10/2028 | | 195,222 | f | 175,639 | |
Camelia Bidco Ltd., Facility Term Loan B-1, 3 Month SONIA +4.75% | GBP | 9.21 | | 10/5/2024 | | 2,000,000 | f | 2,409,531 | |
CT Technologies, 2021 Reprice Term Loan, 1 Month LIBOR +4.25% | | 9.40 | | 12/16/2025 | | 168,887 | f | 158,618 | |
Finastra USA, Inc., First Lien Dollar Term Loan, 6 Month LIBOR +3.50% | | 8.66 | | 6/13/2024 | | 179,498 | f | 171,213 | |
Finthrive Software Intermediate, Term Loan, 1 Month LIBOR +4.00% | | 9.15 | | 12/17/2028 | | 193,488 | f | 162,983 | |
Fintrax International Holdings, New Facility Term Loan B-1, 6 Month EURIBOR +5.25% | EUR | 8.86 | | 5/27/2026 | | 598,086 | f | 624,913 | |
Fintrax International Holdings, New Facility Term Loan B-2, 6 Month EURIBOR +5.25% | EUR | 8.86 | | 5/27/2026 | | 20,096 | f | 20,997 | |
Fintrax International Holdings, New Facility Term Loan B-3, 6 Month EURIBOR +5.25% | EUR | 8.86 | | 5/27/2026 | | 231,101 | f | 241,467 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Information Technology - 5.5% (continued) | | | | | |
Fintrax International Holdings, New Facility Term Loan B-4, 6 Month EURIBOR +5.25% | EUR | 8.86 | | 5/27/2026 | | 150,718 | f | 157,478 | |
Hyland Software, Inc., 2021-1 Incremental Facility Term Loan, 1 Month LIBOR +6.25% | | 11.40 | | 7/10/2025 | | 120,000 | f | 114,793 | |
Idera, Inc., First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 8.88 | | 3/2/2028 | | 259,338 | f | 249,695 | |
Mitchell International, Second Lien Initial Term Loan, 1 Month LIBOR +6.50% | | 11.65 | | 10/15/2029 | | 158,974 | f | 136,421 | |
Mitnick Corporate Purchaser, Initial Term Loan, 3 Month Term SOFR +4.75% | | 9.90 | | 5/2/2029 | | 299,495 | f | 284,240 | |
Polaris Newco LLC, First Lien Dollar Term Loan, 3 Month LIBOR +4.00% | | 9.16 | | 6/4/2028 | | 170,123 | f | 152,984 | |
Polaris Newco LLC, Sterling Term Loan, 1 Month SONIA +5.25% | GBP | 9.71 | | 6/4/2028 | | 985,000 | f | 1,058,853 | |
Quest Software, Inc., First Lien Initial Term Loan, 1-3 Month Term SOFR +4.40% | | 9.45 | | 2/1/2029 | | 432,732 | f | 367,920 | |
| | 6,487,745 | |
Insurance - 1.4% | | | | | |
Amynta Agency Borrower, 2023 Refinancing Term Loan, 1 Month Term SOFR +5.10% | | 10.25 | | 2/28/2028 | | 404,401 | f | 387,129 | |
Asurion LLC, New Term Loan B-4, 1 Month LIBOR +5.25% | | 10.40 | | 1/20/2029 | | 414,791 | f | 340,562 | |
Asurion LLC, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 10.40 | | 2/3/2028 | | 1,068,450 | f | 882,812 | |
| | 1,610,503 | |
Internet Software & Services - 1.5% | | | | | |
Endure Digital, Inc., Initial Term Loan, 6 Month LIBOR +3.50% | | 8.79 | | 2/10/2028 | | 312,693 | f | 286,066 | |
ION Trading Finance Ltd., Initial Dollar Term Loan, 3 Month LIBOR +4.75% | | 9.91 | | 4/1/2028 | | 216,150 | f | 207,662 | |
Proofpoint, Inc., Initial Term Loan, 1 Month LIBOR +3.25% | | 8.40 | | 8/31/2028 | | 432,159 | f | 418,233 | |
THG Operations Holdings, Facility Term Loan B, 6 Month EURIBOR +4.50% | EUR | 6.97 | | 12/11/2026 | | 1,000,000 | f | 906,224 | |
| | 1,818,185 | |
Materials - 1.1% | | | | | |
Berlin Packaging LLC, Tranche Term Loan B-5, 1-3 Month LIBOR +3.75% | | 8.85 | | 3/11/2028 | | 288,253 | f | 279,493 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Materials - 1.1% (continued) | | | | | |
MAR Bidco Sarl, USD Facility Term Loan B, 3 Month LIBOR +4.30% | | 9.46 | | 6/28/2028 | | 178,994 | f | 169,597 | |
Mauser Packaging Solutions, Initial Term Loan, 1 Month Term SOFR +4.00% | | 8.80 | | 8/10/2026 | | 233,347 | f | 228,681 | |
Proampac PG Borrower LLC, 2020-1 Term Loan, 3 Month LIBOR +3.75%, 3 Month PRIME +2.75% & 3 Month Term SOFR +3.75% | | 9.01 | | 11/3/2025 | | 421,498 | f | 413,279 | |
Valcour Packaging LLC, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% | | 12.09 | | 9/30/2029 | | 350,000 | f | 215,250 | |
| | 1,306,300 | |
Media - .4% | | | | | |
DIRECTV Financing LLC, Closing Date Term Loan, 1 Month LIBOR +5.00% | | 10.15 | | 8/2/2027 | | 449,639 | f | 427,930 | |
Retailing - .2% | | | | | |
New Look Corporate Ltd., Term Loan, 6 Month GBPLIBOR +0.00% | GBP | 0.00 | | 11/9/2029 | | 24,012 | f,i | 1,344 | |
Staples, Inc., 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | | 10.30 | | 4/12/2026 | | 235,677 | f | 201,327 | |
| | 202,671 | |
Semiconductors & Semiconductor Equipment - .4% | | | | | |
Natel Engineering Co., Inc., Initial Term Loan, 1 Month LIBOR +6.25% | | 11.41 | | 4/30/2026 | | 487,886 | f | 434,219 | |
Technology Hardware & Equipment - .7% | | | | | |
Atlas CC Acquisition Corp., First Lien Term Loan B, 3 Month Term SOFR +4.51% | | 9.78 | | 5/25/2028 | | 204,088 | f | 181,496 | |
Atlas CC Acquisition Corp., First Lien Term Loan C, 3 Month Term SOFR +4.51% | | 9.78 | | 5/25/2028 | | 41,509 | f | 36,914 | |
Mcafee Corp., Tranche Term Loan B-1, 1 Month Term SOFR +3.85% | | 8.84 | | 3/1/2029 | | 444,080 | f | 417,251 | |
VeriFone Systems, Inc., First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 9.48 | | 8/20/2025 | | 259,321 | f | 227,068 | |
| | 862,729 | |
Telecommunication Services - .7% | | | | | |
CCI Buyer, Inc., First Lien Initial Term Loan, 3 Month Term SOFR +4.00% | | 8.90 | | 12/17/2027 | | 722,793 | f | 688,988 | |
Lumen Technologies, Inc., Term Loan B, 1 Month LIBOR +2.25% | | 7.34 | | 3/15/2027 | | 140,000 | f | 97,018 | |
| | 786,006 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.5% (continued) | | | | | |
Transportation - .3% | | | | | |
OLA Netherlands BV, Term Loan, 1 Month Term SOFR +6.35% | | 11.43 | | 12/3/2026 | | 216,335 | f | 205,338 | |
WWEX UNI Topco Holdings, First Lien Initial Term Loan, 3 Month Term SOFR +4.26% | | 9.16 | | 7/26/2028 | | 131,416 | f | 120,222 | |
| | 325,560 | |
Utilities - .4% | | | | | |
Eastern Power LLC, Term Loan B, 3 Month LIBOR +3.75% | | 8.91 | | 10/2/2025 | | 447,421 | f | 426,768 | |
Total Floating Rate Loan Interests
(cost $56,787,789) | | 53,687,908 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .0% | | | | | |
Information Technology - .0% | | | | | |
Skillsoft Corp. | | | | | | 17,443 | j | 27,037 | |
Media - .0% | | | | | |
Altice USA, Inc., Cl. A | | | | | | 2,000 | j | 5,120 | |
Total Common Stocks
(cost $223,725) | | 32,157 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 2.5% | | | | | |
Registered Investment Companies - 2.5% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $2,974,119) | | 5.19 | | | | 2,974,119 | k | 2,974,119 | |
Total Investments (cost $176,978,792) | | 137.0% | 161,827,644 | |
Liabilities, Less Cash and Receivables | | (37.0%) | (43,726,063) | |
Net Assets | | 100.0% | 118,101,581 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
SOFR—Secured Overnight Financing Rate
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 May 31, 2023, these securities were valued at $94,559,997 or 80.07% 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
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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 The fund held Level 3 securities at May 31, 2023. These securities were valued at $1,344 or .0% of net assets.
j Non-income producing security.
k Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
United States Dollar | 14,355,163 | Euro | 13,250,000 | 6/26/2023 | 170,248 |
Euro | 1,000,000 | United States Dollar | 1,074,358 | 6/26/2023 | (3,798) |
Citigroup Global Markets Inc. |
United States Dollar | 45,315,112 | Euro | 41,825,000 | 6/26/2023 | 538,956 |
United States Dollar | 14,412,846 | British Pound | 11,570,000 | 6/26/2023 | 12,079 |
Gross Unrealized Appreciation | | | 721,283 |
Gross Unrealized Depreciation | | | (3,798) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
May 31, 2023 (Unaudited)
The following is a summary of the inputs used as of May 31, 2023 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 34,578,529 | | - | 34,578,529 | |
Corporate Bonds | - | 70,554,931 | | - | 70,554,931 | |
Equity Securities - Common Stocks | 32,157 | - | | - | 32,157 | |
Floating Rate Loan Interests | - | 53,686,564 | | 1,344 | 53,687,908 | |
Investment Companies | 2,974,119 | - | | - | 2,974,119 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 721,283 | | - | 721,283 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
†† | - | (3,798) | | - | (3,798) | |
† 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 May 31, 2023 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 May 31, 2023, accumulated net unrealized depreciation on investments was $14,433,663, consisting of $2,589,289 gross unrealized appreciation and $17,022,952 gross unrealized depreciation.
At May 31, 2023, 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.
