BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund (DCF)
Filed: 30 Jan 24, 7:33am
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2023 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% | |||||||||
Advertising - .5% | |||||||||
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | 5.13 | 8/15/2027 | 212,000 | c | 196,451 | ||||
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | 9.00 | 9/15/2028 | 200,000 | c | 202,200 | ||||
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes | 5.00 | 8/15/2027 | 210,000 | c | 198,177 | ||||
596,828 | |||||||||
Aerospace & Defense - 1.0% | |||||||||
Bombardier, Inc., Sr. Unscd. Notes | 7.88 | 4/15/2027 | 218,000 | c | 218,345 | ||||
Spirit AeroSystems, Inc., Sr. Scd. Notes | 9.75 | 11/15/2030 | 236,000 | c | 248,817 | ||||
TransDigm, Inc., Gtd. Notes | 4.88 | 5/1/2029 | 191,000 | 173,245 | |||||
TransDigm, Inc., Gtd. Notes | 5.50 | 11/15/2027 | 340,000 | 327,593 | |||||
TransDigm, Inc., Sr. Scd. Notes | 6.88 | 12/15/2030 | 260,000 | c | 260,513 | ||||
TransDigm, Inc., Sr. Scd. Notes | 7.13 | 12/1/2031 | 68,000 | c | 69,251 | ||||
1,297,764 | |||||||||
Airlines - .1% | |||||||||
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | 5.75 | 4/20/2029 | 169,849 | c | 162,833 | ||||
Automobiles & Components - 1.4% | |||||||||
Clarios Global LP/Clarios US Finance Co., Sr. Scd. Bonds | EUR | 4.38 | 5/15/2026 | 790,000 | c | 845,185 | |||
Grupo Antolin-Irausa SA, Sr. Scd. Bonds | EUR | 3.50 | 4/30/2028 | 360,000 | c | 276,653 | |||
IHO Verwaltungs GmbH, Sr. Scd. Bonds | 6.00 | 5/15/2027 | 400,000 | c,d | 381,346 | ||||
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | 6.25 | 2/1/2029 | 67,000 | c | 54,292 | ||||
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | 4/30/2026 | 294,000 | c | 246,575 | |||
1,804,051 | |||||||||
Banks - .4% | |||||||||
Citigroup, Inc., Jr. Sub. Notes | 3.88 | 2/18/2026 | 273,000 | e | 238,241 | ||||
JPMorgan Chase & Co., Jr. Sub. Bonds, Ser. FF | 5.00 | 8/1/2024 | 280,000 | e | 275,868 | ||||
514,109 | |||||||||
Building Materials - 1.1% | |||||||||
Builders FirstSource, Inc., Gtd. Notes | 4.25 | 2/1/2032 | 290,000 | c | 248,999 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Building Materials - 1.1% (continued) | |||||||||
Eco Material Technologies, Inc., Sr. Scd. Notes | 7.88 | 1/31/2027 | 591,000 | c | 581,422 | ||||
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | 4/15/2026 | 320,000 | c | 243,096 | |||
Standard Industries, Inc., Sr. Unscd. Notes | 4.75 | 1/15/2028 | 121,000 | c | 113,843 | ||||
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes | 7.25 | 1/15/2031 | 181,000 | 182,334 | |||||
1,369,694 | |||||||||
Chemicals - 2.6% | |||||||||
Iris Holdings, Inc., Sr. Unscd. Notes | 8.75 | 2/15/2026 | 389,000 | c,d | 348,052 | ||||
Italmatch Chemicals SPA, Sr. Scd. Notes | EUR | 10.00 | 2/6/2028 | 283,000 | c | 308,223 | |||
Mativ Holdings, Inc., Gtd. Notes | 6.88 | 10/1/2026 | 149,000 | c | 137,603 | ||||
NOVA Chemicals Corp., Sr. Unscd. Notes | 4.88 | 6/1/2024 | 188,000 | c | 186,006 | ||||
NOVA Chemicals Corp., Sr. Unscd. Notes | 5.00 | 5/1/2025 | 650,000 | c | 630,623 | ||||
Olympus Water US Holding Corp., Sr. Scd. Notes | EUR | 9.63 | 11/15/2028 | 720,000 | c | 805,937 | |||
Olympus Water US Holding Corp., Sr. Scd. Notes | 9.75 | 11/15/2028 | 200,000 | c | 205,961 | ||||
SCIL IV LLC/SCIL USA Holdings LLC, Sr. Scd. Bonds | EUR | 4.38 | 11/1/2026 | 300,000 | c | 308,794 | |||
SCIL IV LLC/SCIL USA Holdings LLC, Sr. Scd. Bonds | EUR | 9.50 | 7/15/2028 | 150,000 | c | 169,112 | |||
WR Grace Holdings LLC, Sr. Unscd. Notes | 5.63 | 8/15/2029 | 240,000 | c | 202,231 | ||||
3,302,542 | |||||||||
Collateralized Loan Obligations Debt - 29.2% | |||||||||
BBAM US II Ltd. CLO , Ser. 2023-2A, Cl.D, (3 Month TSFR +8.15%) | 13.54 | 10/15/2038 | 1,000,000 | c,f | 1,002,570 | ||||
BlackRock European CLO, Ser. 14A, Cl. F, (3 Month EURIBOR +10.22%) | EUR | 13.99 | 7/15/2036 | 1,000,000 | c,f | 1,057,552 | |||
Carlyle Euro DAC CLO, Ser. 2022-5A, Cl. D, (3 Month EURIBOR +7.63%) | EUR | 11.59 | 10/25/2035 | 855,000 | c,f | 896,818 | |||
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2014-1A, Cl. ER, (3 Month EURIBOR +4.93%) | EUR | 8.90 | 7/15/2031 | 1,500,000 | c,f | 1,453,160 | |||
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2014-1A, Cl. FR, (3 Month EURIBOR +6.61%) | EUR | 10.58 | 7/15/2031 | 3,000,000 | c,f | 2,565,012 | |||
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2015-3A, Cl. ER, (3 Month EURIBOR +6.44%) | EUR | 10.41 | 7/15/2030 | 2,000,000 | c,f | 1,806,574 | |||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Collateralized Loan Obligations Debt - 29.2% (continued) | |||||||||
CIFC European Funding II DAC CLO, Ser. 2A, Cl. F, (3 Month EURIBOR +7.70%) | EUR | 11.67 | 4/15/2033 | 1,000,000 | c,f | 956,305 | |||
CIFC Funding I Ltd. CLO, Ser. 2018-1A, Cl. E, (3 Month TSFR +5.26%) | 10.66 | 4/18/2031 | 1,000,000 | c,f | 931,278 | ||||
CQS US Ltd. CLO, Ser. 2022-2A, Cl. E1, (3 Month TSFR +6.85%) | 12.27 | 7/20/2031 | 2,000,000 | c,f | 1,802,002 | ||||
Crown Point 9 Ltd. CLO, Ser. 2020-9A, Cl. ER, (3 Month TSFR +7.02%) | 12.42 | 7/14/2034 | 2,375,000 | c,f | 2,242,057 | ||||
Dryden 91 Euro DAC CLO, Ser. 2021-91A, Cl. E, (3 Month EURIBOR +7.06%) | EUR | 11.04 | 4/18/2035 | 1,000,000 | c,f | 1,013,213 | |||
Euro-Galaxy IV DAC CLO, Ser. 2015-4A, CI. FRR, (3 Month EURIBOR +8.88%) | EUR | 12.83 | 7/30/2034 | 1,750,000 | c,f | 1,653,905 | |||
Fidelity Grand Harbour Designated Activity Co. CLO, Ser. 2022-1A, Cl. E, (3 Month EURIBOR +7.08%) | EUR | 11.05 | 10/15/2036 | 1,750,000 | c,f | 1,861,400 | |||
Franklin Park Place I LLC CLO, Ser. 2022-1A, Cl. E, (3 Month TSFR +7.50%) | 12.89 | 4/14/2035 | 1,000,000 | c,f | 964,561 | ||||
GoldenTree Loan Management EUR 2 DAC CLO, Ser. 2A, Cl. E, (3 Month EURIBOR +5.25%) | EUR | 9.24 | 1/20/2032 | 1,000,000 | c,f | 935,245 | |||
Hayfin Emerald IV DAC CLO, Ser. 4A, Cl. FR, (3 Month EURIBOR +8.68%) | EUR | 12.65 | 10/15/2034 | 740,000 | c,f | 587,507 | |||
ICG Euro DAC CLO, Ser. 2021-1A, Cl. F, (3 Month EURIBOR +8.82%) | EUR | 12.79 | 10/15/2034 | 1,000,000 | c,f | 955,521 | |||
KKR 23 Ltd. CLO, Ser. 23, Cl. E, (3 Month TSFR +6.26%) | 11.68 | 10/20/2031 | 1,000,000 | c,f | 959,707 | ||||
Man GLG Euro I DAC CLO, Ser. 1A, Cl. ERR, (3 Month EURIBOR +4.85%) | EUR | 8.82 | 10/15/2030 | 1,000,000 | c,f | 958,422 | |||
OZLM VI Ltd. CLO, Ser. 2014-6A, Cl. DS, (3 Month TSFR +6.31%) | 11.71 | 4/17/2031 | 1,000,000 | c,f | 854,345 | ||||
OZLME III DAC CLO, Ser. 3A, Cl. F, (3 Month EURIBOR +6.45%) | EUR | 10.42 | 8/24/2030 | 1,000,000 | c,f | 935,615 | |||
St. Paul's V DAC CLO, Ser. 5A, Cl. FR, (3 Month EURIBOR +6.60%) | EUR | 10.60 | 8/20/2030 | 4,000,000 | c,f | 3,731,119 | |||
TIAA I Ltd. CLO, Ser. 2016-1A, CI. ER, (3 Month TSFR +6.46%) | 11.88 | 7/20/2031 | 2,131,000 | c,f | 1,782,087 | ||||
Tikehau DAC CLO, Ser. 2015-1A, Cl. FRR, (3 Month EURIBOR +8.75%) | EUR | 12.72 | 8/4/2034 | 2,000,000 | c,f | 1,983,168 | |||
Toro European 5 DAC CLO, Ser. 5A, Cl. F, (3 Month EURIBOR +5.75%) | EUR | 9.72 | 10/15/2030 | 1,000,000 | c,f | 924,408 | |||
Vibrant III Ltd. CLO, Ser. 2015-3A, Cl. DRR, (3 Month TSFR +6.61%) | 12.03 | 10/20/2031 | 1,000,000 | c,f | 822,275 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Collateralized Loan Obligations Debt - 29.2% (continued) | |||||||||
Wind River Ltd. CLO, Ser. 2016-1KRA, CI. FR2, (3 Month TSFR +8.16%) | 13.56 | 10/15/2034 | 1,500,000 | c,f | 1,125,375 | ||||
36,761,201 | |||||||||
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 - 4.7% | |||||||||
Adtalem Global Education, Inc., Sr. Scd. Notes | 5.50 | 3/1/2028 | 137,000 | c | 128,646 | ||||
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd. Notes | 6.13 | 10/15/2026 | 250,000 | c | 244,229 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Scd. Notes | 6.63 | 7/15/2026 | 240,000 | c | 233,472 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Sr. Scd. Bonds, Ser. 144 | GBP | 4.88 | 6/1/2028 | 860,000 | c | 888,358 | |||
APX Group, Inc., Sr. Scd. Notes | 6.75 | 2/15/2027 | 279,000 | c | 277,679 | ||||
BCP V Modular Services Finance II PLC, Sr. Scd. Bonds | EUR | 4.75 | 11/30/2028 | 420,000 | c | 408,650 | |||
CPI CG, Inc., Sr. Scd. Notes | 8.63 | 3/15/2026 | 178,000 | c | 169,306 | ||||
GTCR W-2 Merger Sub LLC, Sr. Scd. Notes | 7.50 | 1/15/2031 | 255,000 | c | 259,992 | ||||
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | 11/3/2029 | 470,000 | c | 519,888 | |||
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | 5/15/2025 | 129,000 | 103,991 | ||||
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | 5/15/2025 | 129,000 | c | 103,991 | |||
Loxam SAS, Sr. Sub. Notes | EUR | 5.75 | 7/15/2027 | 370,000 | 377,142 | ||||
Neptune Bidco US, Inc., Sr. Scd. Notes | 9.29 | 4/15/2029 | 230,000 | c | 213,754 | ||||
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd. Notes | 6.25 | 1/15/2028 | 346,000 | c | 332,553 | ||||
Signal Parent, Inc., Sr. Unscd. Notes | 6.13 | 4/1/2029 | 120,000 | c | 78,104 | ||||
United Rentals North America, Inc., Gtd. Notes | 3.75 | 1/15/2032 | 965,000 | 818,073 | |||||
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | 2/15/2029 | 740,000 | c | 739,097 | |||
5,896,925 | |||||||||
Consumer Discretionary - 6.1% | |||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | 4.63 | 4/1/2030 | 170,000 | c | 141,963 | ||||
Carnival Corp., Gtd. Notes | 6.00 | 5/1/2029 | 753,000 | c | 693,360 | ||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Consumer Discretionary - 6.1% (continued) | |||||||||
Carnival Corp., Gtd. Notes | 7.63 | 3/1/2026 | 658,000 | c | 662,149 | ||||
CCM Merger, Inc., Sr. Unscd. Notes | 6.38 | 5/1/2026 | 279,000 | c | 268,077 | ||||
Churchill Downs, Inc., Gtd. Notes | 4.75 | 1/15/2028 | 260,000 | c | 241,910 | ||||
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | 8.00 | 2/1/2028 | 352,000 | c | 334,057 | ||||
Everi Holdings, Inc., Gtd. Notes | 5.00 | 7/15/2029 | 621,000 | c | 544,859 | ||||
Green Bidco SA, Sr. Scd. Bonds | EUR | 10.25 | 7/15/2028 | 190,000 | c | 191,568 | |||
Hilton Domestic Operating Co., Inc., Gtd. Notes | 3.63 | 2/15/2032 | 620,000 | c | 521,308 | ||||
International Game Technology PLC, Sr. Scd. Notes | 5.25 | 1/15/2029 | 220,000 | c | 207,707 | ||||
KB Home, Gtd. Notes | 4.00 | 6/15/2031 | 324,000 | 274,305 | |||||
NCL Corp. Ltd., Gtd. Notes | 5.88 | 3/15/2026 | 608,000 | c | 576,536 | ||||
NCL Corp. Ltd., Sr. Scd. Notes | 5.88 | 2/15/2027 | 144,000 | c | 139,549 | ||||
NCL Corp. Ltd., Sr. Scd. Notes | 8.13 | 1/15/2029 | 141,000 | c | 143,691 | ||||
NCL Corp. Ltd., Sr. Unscd. Notes | 3.63 | 12/15/2024 | 280,000 | c | 270,755 | ||||
Pinewood Finance Co. Ltd., Sr. Scd. Bonds | GBP | 3.63 | 11/15/2027 | 240,000 | c | 274,448 | |||
Royal Caribbean Cruises Ltd., Gtd. Notes | 7.25 | 1/15/2030 | 162,000 | c | 165,142 | ||||
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | 4.25 | 7/1/2026 | 492,000 | c | 466,316 | ||||
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | 5.50 | 8/31/2026 | 579,000 | c | 563,678 | ||||
Scientific Games Holdings LP/Scientific Games US Finco, Inc., Sr. Unscd. Notes | 6.63 | 3/1/2030 | 170,000 | c | 152,280 | ||||
Taylor Morrison Communities, Inc., Sr. Unscd. Notes | 5.13 | 8/1/2030 | 138,000 | c | 127,413 | ||||
Verde Purchaser LLC, Sr. Scd. Notes | 10.50 | 11/30/2030 | 240,000 | c | 240,479 | ||||
Versuni Group BV, Sr. Scd. Bonds | EUR | 3.13 | 6/15/2028 | 450,000 | c | 418,418 | |||
7,619,968 | |||||||||
Consumer Staples - .4% | |||||||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC, Sr. Scd. Notes | 4.75 | 1/15/2029 | 360,000 | c | 335,426 | ||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., Sr. Scd. Notes | 5.00 | 12/31/2026 | 200,000 | c | 189,270 | ||||
524,696 | |||||||||
Diversified Financials - 4.8% | |||||||||
Blackstone Secured Lending Fund, Sr. Unscd. Notes | 2.85 | 9/30/2028 | 360,000 | 301,360 | |||||
Encore Capital Group, Inc., Sr. Scd. Bonds | GBP | 5.38 | 2/15/2026 | 110,000 | c | 129,455 | |||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Diversified Financials - 4.8% (continued) | |||||||||
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | 6/1/2028 | 525,000 | c | 549,352 | |||
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | 11/1/2025 | 375,000 | c | 367,373 | |||
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | 11/1/2025 | 500,000 | 489,831 | ||||
Garfunkelux Holdco 3 SA, Sr. Scd. Notes | EUR | 6.75 | 11/1/2025 | 360,000 | c | 310,723 | |||
Intrum AB, Sr. Unscd. Notes | EUR | 4.88 | 8/15/2025 | 1,100,000 | c | 1,085,410 | |||
Jane Street Group/JSG Finance, Inc., Sr. Scd. Notes | 4.50 | 11/15/2029 | 61,000 | c | 54,639 | ||||
Nationstar Mortgage Holdings, Inc., Gtd. Notes | 5.00 | 2/1/2026 | 665,000 | c | 634,600 | ||||
Navient Corp., Sr. Unscd. Notes | 5.00 | 3/15/2027 | 235,000 | 219,313 | |||||
Navient Corp., Sr. Unscd. Notes | 5.88 | 10/25/2024 | 270,000 | 267,769 | |||||
NFP Corp., Sr. Unscd. Notes | 6.88 | 8/15/2028 | 215,000 | c | 191,660 | ||||
PennyMac Financial Services, Inc., Gtd. Notes | 5.38 | 10/15/2025 | 988,000 | c | 961,502 | ||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes | 4.00 | 10/15/2033 | 351,000 | c | 284,052 | ||||
United Wholesale Mortgage LLC, Sr. Unscd. Notes | 5.75 | 6/15/2027 | 210,000 | c | 197,614 | ||||
6,044,653 | |||||||||
Electronic Components - .3% | |||||||||
Sensata Technologies, Inc., Gtd. Notes | 4.38 | 2/15/2030 | 370,000 | c | 330,013 | ||||
Energy - 6.4% | |||||||||
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | 8.25 | 2/15/2026 | 937,000 | c | 942,580 | ||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes | 5.75 | 3/1/2027 | 330,000 | c | 323,120 | ||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | 6.63 | 7/15/2026 | 400,000 | c | 392,886 | ||||
Chesapeake Energy Corp., Gtd. Notes | 5.88 | 2/1/2029 | 156,000 | c | 149,915 | ||||
Comstock Resources, Inc., Gtd. Notes | 6.75 | 3/1/2029 | 410,000 | c | 377,910 | ||||
CVR Energy, Inc., Gtd. Bonds | 5.25 | 2/15/2025 | 744,000 | c | 733,598 | ||||
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | 6.63 | 2/15/2028 | 412,000 | e | 334,975 | ||||
EQM Midstream Partners LP, Sr. Unscd. Notes | 4.00 | 8/1/2024 | 120,000 | 117,575 | |||||
EQM Midstream Partners LP, Sr. Unscd. Notes | 5.50 | 7/15/2028 | 239,000 | 232,493 | |||||
Moss Creek Resources Holdings, Inc., Gtd. Notes | 7.50 | 1/15/2026 | 700,000 | c | 684,891 | ||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Energy - 6.4% (continued) | |||||||||
New Fortress Energy, Inc., Sr. Scd. Notes | 6.75 | 9/15/2025 | 365,000 | c | 354,192 | ||||
Northern Oil & Gas, Inc., Sr. Unscd. Notes | 8.13 | 3/1/2028 | 320,000 | c | 323,583 | ||||
Northriver Midstream Finance LP, Sr. Scd. Notes | 5.63 | 2/15/2026 | 320,000 | c | 311,456 | ||||
Rockcliff Energy II LLC, Sr. Unscd. Notes | 5.50 | 10/15/2029 | 668,000 | c | 620,801 | ||||
Rockies Express Pipeline LLC, Sr. Unscd. Notes | 4.80 | 5/15/2030 | 540,000 | c | 484,016 | ||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., Sr. Unscd. Notes | 7.88 | 11/1/2028 | 269,000 | c | 270,255 | ||||
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | 3.88 | 11/1/2033 | 713,000 | c | 584,025 | ||||
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | 4.13 | 8/15/2031 | 160,000 | c | 138,114 | ||||
Venture Global LNG, Inc., Sr. Scd. Notes | 8.13 | 6/1/2028 | 711,000 | c | 705,569 | ||||
8,081,954 | |||||||||
Environmental Control - .8% | |||||||||
Covanta Holding Corp., Gtd. Notes | 4.88 | 12/1/2029 | 72,000 | c | 59,822 | ||||
Covanta Holding Corp., Gtd. Notes | 5.00 | 9/1/2030 | 95,000 | 77,726 | |||||
GFL Environmental, Inc., Sr. Scd. Notes | 4.25 | 6/1/2025 | 590,000 | c | 576,895 | ||||
Madison IAQ LLC, Sr. Scd. Notes | 4.13 | 6/30/2028 | 69,000 | c | 61,350 | ||||
Waste Pro USA, Inc., Sr. Unscd. Notes | 5.50 | 2/15/2026 | 230,000 | c | 217,253 | ||||
993,046 | |||||||||
Food Products - .9% | |||||||||
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | 11/30/2025 | 346,000 | c | 358,914 | |||
Pilgrim's Pride Corp., Gtd. Notes | 3.50 | 3/1/2032 | 637,000 | 516,206 | |||||
US Foods, Inc., Gtd. Notes | 6.88 | 9/15/2028 | 298,000 | c | 302,509 | ||||
1,177,629 | |||||||||
Health Care - 4.0% | |||||||||
Bausch & Lomb Escrow Corp., Sr. Scd. Notes | 8.38 | 10/1/2028 | 232,000 | c | 237,510 | ||||
Bausch Health Cos., Inc., Sr. Scd. Notes | 11.00 | 9/30/2028 | 370,000 | c | 232,175 | ||||
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | 5.50 | 1/15/2028 | 235,000 | c | 218,091 | ||||
CHS/Community Health Systems, Inc., Sr. Scd. Notes | 5.25 | 5/15/2030 | 364,000 | c | 286,744 | ||||
CHS/Community Health Systems, Inc., Sr. Scd. Notes | 5.63 | 3/15/2027 | 990,000 | c | 884,410 | ||||
CHS/Community Health Systems, Inc., Sr. Scd. Notes | 8.00 | 3/15/2026 | 120,000 | c | 115,670 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Health Care - 4.0% (continued) | |||||||||
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | 4/1/2028 | 273,000 | c | 314,492 | |||
Encompass Health Corp., Gtd. Notes | 4.63 | 4/1/2031 | 230,000 | 202,043 | |||||
HealthEquity, Inc., Gtd. Notes | 4.50 | 10/1/2029 | 298,000 | c | 268,718 | ||||
Jazz Securities DAC, Sr. Scd. Notes | 4.38 | 1/15/2029 | 280,000 | c | 252,154 | ||||
LifePoint Health, Inc., Sr. Scd. Notes | 9.88 | 8/15/2030 | 466,000 | c | 453,744 | ||||
Medline Borrower LP, Sr. Scd. Notes | 3.88 | 4/1/2029 | 107,000 | c | 95,049 | ||||
Medline Borrower LP, Sr. Unscd. Notes | 5.25 | 10/1/2029 | 374,000 | c | 338,722 | ||||
Option Care Health, Inc., Gtd. Notes | 4.38 | 10/31/2029 | 434,000 | c | 383,220 | ||||
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Scd. Notes | 4.13 | 4/30/2028 | 200,000 | c | 177,795 | ||||
Tenet Healthcare Corp., Sr. Scd. Notes | 4.25 | 6/1/2029 | 470,000 | 421,531 | |||||
Tenet Healthcare Corp., Sr. Scd. Notes | 4.63 | 6/15/2028 | 210,000 | 195,779 | |||||
5,077,847 | |||||||||
Industrial - .8% | |||||||||
Artera Services LLC, Sr. Scd. Notes | 9.03 | 12/4/2025 | 220,000 | c | 201,103 | ||||
Dycom Industries, Inc., Gtd. Notes | 4.50 | 4/15/2029 | 149,000 | c | 134,875 | ||||
TK Elevator Midco GmbH, Sr. Scd. Bonds | EUR | 4.38 | 7/15/2027 | 620,000 | c | 640,390 | |||
976,368 | |||||||||
Information Technology - 1.8% | |||||||||
AthenaHealth Group, Inc., Sr. Unscd. Notes | 6.50 | 2/15/2030 | 1,229,000 | c | 1,066,119 | ||||
Boxer Parent Co., Inc., Sr. Scd. Notes | 7.13 | 10/2/2025 | 70,000 | c | 69,973 | ||||
Central Parent, Inc./CDK Global, Inc., Sr. Scd. Notes | 7.25 | 6/15/2029 | 315,000 | c | 314,942 | ||||
Cloud Software Group, Inc., Sr. Scd. Notes | 6.50 | 3/31/2029 | 285,000 | c | 262,663 | ||||
Elastic NV, Sr. Unscd. Notes | 4.13 | 7/15/2029 | 355,000 | c | 317,156 | ||||
SS&C Technologies, Inc., Gtd. Notes | 5.50 | 9/30/2027 | 260,000 | c | 251,859 | ||||
2,282,712 | |||||||||
Insurance - 1.1% | |||||||||
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | 4.25 | 2/15/2029 | 610,000 | c | 533,157 | ||||
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | 7.00 | 11/15/2025 | 510,000 | c | 503,999 | ||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | 6.75 | 4/15/2028 | 300,000 | c | 300,025 | ||||
1,337,181 | |||||||||
Internet Software & Services - 1.5% | |||||||||
Arches Buyer, Inc., Sr. Scd. Notes | 4.25 | 6/1/2028 | 175,000 | c | 152,663 | ||||
Arches Buyer, Inc., Sr. Unscd. Notes | 6.13 | 12/1/2028 | 125,000 | c | 107,150 | ||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Internet Software & Services - 1.5% (continued) | |||||||||
The Very Group Funding PLC, Sr. Scd. Bonds | GBP | 6.50 | 8/1/2026 | 358,000 | c | 391,765 | |||
United Group BV, Sr. Scd. Bonds | EUR | 3.13 | 2/15/2026 | 1,180,000 | c | 1,220,298 | |||
1,871,876 | |||||||||
Materials - 2.6% | |||||||||
ARD Finance SA, Sr. Scd. Notes | EUR | 5.00 | 6/30/2027 | 370,000 | c,d | 214,212 | |||
Ball Corp., Gtd. Bonds | 4.88 | 3/15/2026 | 270,000 | 264,790 | |||||
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | 8.75 | 4/15/2030 | 468,000 | c | 420,346 | ||||
Clydesdale Acquisition Holdings, Inc., Sr. Scd. Notes | 6.63 | 4/15/2029 | 120,000 | c | 115,549 | ||||
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | 3/1/2026 | 400,000 | c | 353,911 | |||
LABL, Inc., Sr. Scd. Notes | 6.75 | 7/15/2026 | 280,000 | c | 266,372 | ||||
LABL, Inc., Sr. Scd. Notes | 9.50 | 11/1/2028 | 158,000 | c | 152,668 | ||||
LABL, Inc., Sr. Unscd. Notes | 10.50 | 7/15/2027 | 276,000 | c | 251,055 | ||||
Mauser Packaging Solutions Holding Co., Scd. Notes | 9.25 | 4/15/2027 | 90,000 | c | 81,996 | ||||
Mauser Packaging Solutions Holding Co., Sr. Scd. Notes | 7.88 | 8/15/2026 | 551,000 | c | 547,852 | ||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, Sr. Scd. Notes | 4.00 | 10/15/2027 | 280,000 | c | 256,465 | ||||
Trivium Packaging Finance BV, Sr. Scd. Bonds | EUR | 3.75 | 8/15/2026 | 380,000 | c | 392,929 | |||
3,318,145 | |||||||||
Media - 4.8% | |||||||||
Altice Financing SA, Sr. Scd. Bonds | 5.75 | 8/15/2029 | 210,000 | c | 172,904 | ||||
Altice Finco SA, Scd. Notes | EUR | 4.75 | 1/15/2028 | 190,000 | c | 160,966 | |||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 4.25 | 1/15/2034 | 150,000 | c | 117,124 | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 4.50 | 5/1/2032 | 282,000 | 232,473 | |||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 5.13 | 5/1/2027 | 248,000 | c | 236,244 | ||||
CSC Holdings LLC, Gtd. Notes | 5.38 | 2/1/2028 | 220,000 | c | 187,271 | ||||
CSC Holdings LLC, Gtd. Notes | 5.50 | 4/15/2027 | 380,000 | c | 336,320 | ||||
CSC Holdings LLC, Gtd. Notes | 11.25 | 5/15/2028 | 200,000 | c | 199,842 | ||||
CSC Holdings LLC, Sr. Unscd. Bonds | 5.25 | 6/1/2024 | 600,000 | 572,188 | |||||
CSC Holdings LLC, Sr. Unscd. Notes | 5.75 | 1/15/2030 | 200,000 | c | 113,159 | ||||
DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., Sr. Scd. Notes | 5.88 | 8/15/2027 | 885,000 | c | 797,249 | ||||
DISH DBS Corp., Gtd. Notes | 7.75 | 7/1/2026 | 306,000 | 182,941 | |||||
DISH Network Corp., Sr. Scd. Notes | 11.75 | 11/15/2027 | 855,000 | c | 849,735 | ||||
Gray Television, Inc., Gtd. Notes | 5.88 | 7/15/2026 | 225,000 | c | 210,554 | ||||
Gray Television, Inc., Gtd. Notes | 7.00 | 5/15/2027 | 127,000 | c | 115,539 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Media - 4.8% (continued) | |||||||||
iHeartCommunications, Inc., Sr. Scd. Notes | 6.38 | 5/1/2026 | 625,000 | 532,609 | |||||
Summer BidCo BV, Sr. Unscd. Bonds | EUR | 9.00 | 11/15/2025 | 750,032 | c,d | 807,735 | |||
Ziggo Bond Co. BV, Gtd. Notes | 5.13 | 2/28/2030 | 330,000 | c | 258,187 | ||||
6,083,040 | |||||||||
Metals & Mining - 1.6% | |||||||||
Arsenal AIC Parent LLC, Sr. Scd. Notes | 8.00 | 10/1/2030 | 280,000 | c | 286,037 | ||||
Cleveland-Cliffs, Inc., Gtd. Notes | 6.75 | 4/15/2030 | 203,000 | c | 197,738 | ||||
FMG Resources August 2006 Pty Ltd., Gtd. Notes | 4.38 | 4/1/2031 | 390,000 | c | 340,557 | ||||
Novelis Corp., Gtd. Notes | 3.25 | 11/15/2026 | 400,000 | c | 367,328 | ||||
Taseko Mines Ltd., Sr. Scd. Notes | 7.00 | 2/15/2026 | 816,000 | c | 763,715 | ||||
1,955,375 | |||||||||
Real Estate - 3.6% | |||||||||
Diversified Healthcare Trust, Gtd. Notes | 4.38 | 3/1/2031 | 114,000 | 80,359 | |||||
Diversified Healthcare Trust, Gtd. Notes | 9.75 | 6/15/2025 | 132,000 | 131,063 | |||||
Diversified Healthcare Trust, Sr. Unscd. Notes | 4.75 | 5/1/2024 | 230,000 | 217,514 | |||||
Diversified Healthcare Trust, Sr. Unscd. Notes | 4.75 | 2/15/2028 | 224,000 | 163,396 | |||||
Emeria SASU, Sr. Scd. Bonds | EUR | 7.75 | 3/31/2028 | 310,000 | c | 318,876 | |||
Greystar Real Estate Partners LLC, Sr. Scd. Notes | 7.75 | 9/1/2030 | 230,000 | c | 234,140 | ||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | 5.25 | 10/1/2025 | 980,000 | c | 947,662 | ||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Scd. Notes | 4.88 | 5/15/2029 | 390,000 | c | 347,350 | ||||
Rithm Capital Corp., Sr. Unscd. Notes | 6.25 | 10/15/2025 | 1,020,000 | c | 982,597 | ||||
RLJ Lodging Trust LP, Sr. Scd. Notes | 4.00 | 9/15/2029 | 380,000 | c | 328,738 | ||||
SBA Communications Corp., Sr. Unscd. Notes | 3.13 | 2/1/2029 | 280,000 | 244,073 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.50 | 3/15/2025 | 210,000 | 202,687 | |||||
Starwood Property Trust, Inc., Sr. Unscd. Notes | 3.75 | 12/31/2024 | 320,000 | c | 309,790 | ||||
4,508,245 | |||||||||
Retailing - 3.1% | |||||||||
1011778 BC ULC/New Red Finance, Inc., Sr. Scd. Notes | 3.88 | 1/15/2028 | 353,000 | c | 325,211 | ||||
Advance Auto Parts, Inc., Gtd. Notes | 5.95 | 3/9/2028 | 330,000 | 315,970 | |||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Retailing - 3.1% (continued) | |||||||||
Beacon Roofing Supply, Inc., Gtd. Notes | 4.13 | 5/15/2029 | 201,000 | c | 177,656 | ||||
Beacon Roofing Supply, Inc., Sr. Scd. Notes | 4.50 | 11/15/2026 | 200,000 | c | 190,926 | ||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Scd. Notes | 4.63 | 1/15/2029 | 270,000 | c | 240,099 | ||||
Foundation Building Materials, Inc., Gtd. Notes | 6.00 | 3/1/2029 | 180,000 | c | 154,480 | ||||
PetSmart, Inc./PetSmart Finance Corp., Gtd. Notes | 7.75 | 2/15/2029 | 500,000 | c | 471,748 | ||||
QVC, Inc., Sr. Scd. Notes | 4.85 | 4/1/2024 | 580,000 | 569,890 | |||||
Shiba Bidco SPA, Sr. Scd. Bonds | EUR | 4.50 | 10/31/2028 | 291,000 | c | 290,203 | |||
SRS Distribution, Inc., Gtd. Notes | 6.00 | 12/1/2029 | 288,000 | c | 250,795 | ||||
Staples, Inc., Sr. Scd. Notes | 7.50 | 4/15/2026 | 245,000 | c | 217,056 | ||||
White Cap Buyer LLC, Sr. Unscd. Notes | 6.88 | 10/15/2028 | 487,000 | c | 444,766 | ||||
White Cap Parent LLC, Sr. Unscd. Notes | 8.25 | 3/15/2026 | 90,000 | c,d | 88,117 | ||||
Yum! Brands, Inc., Sr. Unscd. Notes | 5.38 | 4/1/2032 | 175,000 | 165,731 | |||||
3,902,648 | |||||||||
Technology Hardware & Equipment - .7% | |||||||||
Crowdstrike Holdings, Inc., Gtd. Notes | 3.00 | 2/15/2029 | 180,000 | 158,176 | |||||
McAfee Corp., Sr. Unscd. Notes | 7.38 | 2/15/2030 | 370,000 | c | 319,922 | ||||
Western Digital Corp., Gtd. Notes | 4.75 | 2/15/2026 | 431,000 | 416,262 | |||||
894,360 | |||||||||
Telecommunication Services - 4.4% | |||||||||
Altice France Holding SA, Sr. Scd. Notes | EUR | 8.00 | 5/15/2027 | 550,000 | c | 293,351 | |||
Altice France Holding SA, Sr. Scd. Notes | 10.50 | 5/15/2027 | 1,059,000 | c | 563,496 | ||||
Altice France SA, Sr. Scd. Notes | 5.50 | 1/15/2028 | 800,000 | c | 613,039 | ||||
Altice France SA, Sr. Scd. Notes | 5.50 | 10/15/2029 | 200,000 | c | 144,546 | ||||
C&W Senior Financing DAC, Sr. Unscd. Notes | 6.88 | 9/15/2027 | 400,000 | c | 365,394 | ||||
Eolo SPA, Sr. Scd. Bonds | EUR | 4.88 | 10/21/2028 | 240,000 | c | 185,931 | |||
Frontier Communications Holdings LLC, Scd. Notes | 6.75 | 5/1/2029 | 170,000 | c | 144,218 | ||||
Frontier Communications Holdings LLC, Sr. Scd. Notes | 5.88 | 10/15/2027 | 587,000 | c | 552,048 | ||||
Frontier Communications Holdings LLC, Sr. Scd. Notes | 8.75 | 5/15/2030 | 331,000 | c | 330,380 | ||||
Iliad Holding SASU, Sr. Scd. Notes | 6.50 | 10/15/2026 | 870,000 | c | 849,576 | ||||
Lorca Telecom Bondco SA, Sr. Scd. Bonds | EUR | 4.00 | 9/18/2027 | 450,000 | c | 467,222 | |||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Bonds and Notes - 93.8% (continued) | |||||||||
Telecommunication Services - 4.4% (continued) | |||||||||
Lumen Technologies, Inc., Sr. Scd. Notes | 4.00 | 2/15/2027 | 274,000 | c | 145,049 | ||||
TalkTalk Telecom Group Ltd., Gtd. Notes | GBP | 3.88 | 2/20/2025 | 290,000 | 287,992 | ||||
Telecom Italia Capital SA, Gtd. Notes | 7.72 | 6/4/2038 | 220,000 | 219,689 | |||||
Telesat Canada/Telesat LLC, Sr. Scd. Notes | 5.63 | 12/6/2026 | 287,000 | c | 173,906 | ||||
Zayo Group Holdings, Inc., Sr. Scd. Notes | 4.00 | 3/1/2027 | 232,000 | c | 177,263 | ||||
5,513,100 | |||||||||
Utilities - 3.1% | |||||||||
Calpine Corp., Sr. Unscd. Notes | 4.63 | 2/1/2029 | 155,000 | c | 140,520 | ||||
Calpine Corp., Sr. Unscd. Notes | 5.00 | 2/1/2031 | 1,060,000 | c | 938,419 | ||||
Clearway Energy Operating LLC, Gtd. Notes | 3.75 | 1/15/2032 | 250,000 | c | 201,153 | ||||
NextEra Energy Operating Partners LP, Gtd. Notes | 3.88 | 10/15/2026 | 274,000 | c | 253,287 | ||||
NRG Energy, Inc., Gtd. Notes | 3.88 | 2/15/2032 | 310,000 | c | 253,651 | ||||
NRG Energy, Inc., Gtd. Notes | 5.25 | 6/15/2029 | 180,000 | c | 167,859 | ||||
NRG Energy, Inc., Jr. Sub. Bonds | 10.25 | 3/15/2028 | 300,000 | c,e | 297,400 | ||||
PG&E Corp., Sr. Scd. Notes | 5.00 | 7/1/2028 | 319,000 | 303,699 | |||||
Pike Corp., Gtd. Notes | 5.50 | 9/1/2028 | 185,000 | c | 168,682 | ||||
Pike Corp., Sr. Unscd. Notes | 8.63 | 1/31/2031 | 90,000 | c | 91,114 | ||||
Solaris Midstream Holdings LLC, Gtd. Notes | 7.63 | 4/1/2026 | 575,000 | c | 558,890 | ||||
Vistra Corp., Jr. Sub. Bonds | 7.00 | 12/15/2026 | 82,000 | c,e | 77,962 | ||||
Vistra Operations Co. LLC, Gtd. Notes | 4.38 | 5/1/2029 | 126,000 | c | 113,847 | ||||
Vistra Operations Co. LLC, Gtd. Notes | 7.75 | 10/15/2031 | 270,000 | c | 276,582 | ||||
3,843,065 | |||||||||
Total Bonds and Notes | 118,042,048 | ||||||||
| |||||||||
Floating Rate Loan Interests - 38.5% | |||||||||
Advertising - .4% | |||||||||
CB Poly US Holdings, Inc., Initial Term Loan, (1 Month TSFR +5.50%) | 10.85 | 5/20/2029 | 131,148 | f | 125,137 | ||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 Month TSFR +3.50%) | 9.14 | 8/21/2026 | 219,900 | f | 216,167 | ||||
Dotdash Meredith, Inc., Term Loan B, (1 Month TSFR +4.10%) | 9.42 | 12/1/2028 | 119,695 | f | 118,498 | ||||
459,802 | |||||||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Automobiles & Components - .3% | |||||||||
Burgess Point Purchaser, Initial Term Loan, (1 Month TSFR +5.35%) | 10.70 | 7/25/2029 | 92,245 | f | 81,983 | ||||
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month TSFR +5.43%) | 10.88 | 3/30/2027 | 195,065 | f | 192,220 | ||||
Realtruck Group, Inc., Initial Term Loan, (1 Month TSFR +3.50%) | 8.96 | 1/29/2028 | 119,693 | f | 115,246 | ||||
Realtruck Group, Inc., Second Amendment Incremental Term Loan, (1 Month TSFR +5.11%) | 10.44 | 1/29/2028 | 30,000 | f | 29,400 | ||||
418,849 | |||||||||
Building Materials - 1.3% | |||||||||
Cornerstone Building, New Term Loan B, (1 Month TSFR +3.35%) | 8.67 | 4/12/2028 | 429,190 | f | 419,831 | ||||
LSF10 XL Bidco SCA, Facility Term Loan B-4, (3 Month EURIBOR +4.18%) | EUR | 8.15 | 4/9/2028 | 1,280,206 | f | 1,190,094 | |||
1,609,925 | |||||||||
Chemicals - 1.0% | |||||||||
Derby Buyer LLC, Initial Term Loan, (3 Month TSFR +4.25%) | 9.57 | 11/1/2030 | 69,174 | f | 69,117 | ||||
Hexion Holdings Corp., First Lien Initial Term Loan, (3 Month TSFR +4.65%) | 10.02 | 3/15/2029 | 150,000 | f | 140,146 | ||||
OXEA Holding, Tranche Term Loan B-1, (3 Month EURIBOR +3.75%) | EUR | 7.47 | 10/12/2024 | 1,000,000 | f | 1,048,362 | |||
1,257,625 | |||||||||
Commercial & Professional Services - 5.0% | |||||||||
Albion Financing 3 Sarl, 2023 & 2026 Term Loan, (3 Month EURIBOR +5.25%) | EUR | 9.25 | 8/17/2026 | 1,000,000 | f | 1,091,515 | |||
American Auto Auction, First Lien Tranche Term Loan B, (3 Month TSFR +5.00%) | 10.39 | 12/30/2027 | 360,233 | f | 351,588 | ||||
CIBT Global, Inc., First Lien Term Loan, (3 Month TSFR +1.26%) | 6.65 | 6/1/2024 | 1,088,168 | f | 687,363 | ||||
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.61%) | 8.96 | 6/2/2028 | 254,351 | f | 239,901 | ||||
Electro Rent Corp., Extended Term Loan, (3 Month TSFR +5.60%) | 11.00 | 11/1/2024 | 215,159 | f | 206,419 | ||||
Galaxy US Opco, Inc., Initial Term Loan, (3 Month TSFR +4.75%) | 10.13 | 5/2/2029 | 119,073 | f | 110,937 | ||||
Indy US Bidco LLC, 2021 Refinancing Term Loan, (1 Month EURIBOR +3.75%) | EUR | 7.60 | 3/5/2028 | 994,924 | f | 1,035,253 | |||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Commercial & Professional Services - 5.0% (continued) | |||||||||
Indy US Holdco LLC, Fifth Amendment Incremental Term Loan, (1 Month TSFR +6.25%) | 11.60 | 3/5/2028 | 304,238 | f | 293,589 | ||||
KUEHG Corp., Term Loan, (3 Month TSFR +5.00%) | 10.39 | 6/12/2030 | 270,000 | f | 270,828 | ||||
Modulaire Group Holdings, Facility Term Loan B, (3 Month EURIBOR +4.43%) | EUR | 8.40 | 12/31/2028 | 1,000,000 | f | 1,028,023 | |||
Neptune BidCo US, Inc., Dollar Term Loan B, (3 Month TSFR +5.10%) | 10.51 | 4/11/2029 | 490,723 | f | 441,650 | ||||
Prometric Holdings, Inc., First Lien Initial Term Loan, (1 Month TSFR +5.36%) | 10.71 | 1/29/2025 | 131,371 | f | 130,263 | ||||
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, (1 Month TSFR +4.36%) | 9.71 | 7/8/2028 | 214,406 | f | 195,557 | ||||
Signal Parent, Inc., Initial Term Loan, (1 Month TSFR +3.60%) | 8.95 | 4/1/2028 | 225,386 | f | 188,761 | ||||
Spring Education Group, Inc., Initial Term Loan, (3 Month TSFR +4.50%) | 9.91 | 10/4/2030 | 17,302 | f | 17,297 | ||||
6,288,944 | |||||||||
Consumer Discretionary - 2.9% | |||||||||
Ammega Group BV, 2023 Facility Term Loan B-2, (3 Month EURIBOR +5.00%) | EUR | 8.97 | 12/1/2028 | 1,150,000 | f | 1,251,487 | |||
Bally's Corp., Facility Term Loan B, (3 Month TSFR +3.51%) | 8.93 | 10/2/2028 | 120,000 | f | 110,875 | ||||
Crown Finance US, Inc., Initial Term Loan, (1 Month TSFR +3.00%) | 13.96 | 7/31/2028 | 129,781 | d,f | 132,685 | ||||
ECL Entertainment LLC, Facility Term Loan B, (3 Month TSFR +4.75%) | 10.14 | 8/31/2030 | 101,333 | f | 101,127 | ||||
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan, (1 Month TSFR +4.36%) | 9.71 | 4/26/2028 | 60,714 | f | 58,741 | ||||
J&J Ventures Gaming LLC, 2023 Delayed Term Loan, (1 Month TSFR +4.25%) | 9.69 | 4/26/2028 | 109,286 | f | 105,734 | ||||
Recess Holdings, Inc., New Term Loan, (3 Month TSFR +4.00%) | 9.39 | 3/24/2027 | 174,865 | f | 175,303 | ||||
Stage Entertainment BV, Facility Term Loan B-2, (3 Month EURIBOR +3.25%) | EUR | 7.22 | 5/4/2026 | 1,000,000 | f | 1,078,638 | |||
Tecta America Corp., First Lien Initial Term Loan, (1 Month TSFR +4.11%) | 9.46 | 4/10/2028 | 436,987 | f | 437,942 | ||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Consumer Discretionary - 2.9% (continued) | |||||||||
Verde Purchaser LLC, Term Loan B, (1 Month TSFR +5.00%) | 9.84 | 12/2/2030 | 150,000 | f | 145,289 | ||||
3,597,821 | |||||||||
Consumer Staples - .6% | |||||||||
Hunter Douglas, Inc., Tranche Term Loan B-1, (3 Month TSFR +3.50%) | 8.88 | 2/26/2029 | 342,801 | f | 332,331 | ||||
Kronos Acquisition Holdings, Inc., Tranche Term Loan B-1, (3 Month TSFR +4.01%) | 9.25 | 12/22/2026 | 444,025 | f | 440,808 | ||||
773,139 | |||||||||
Diversified Financials - 1.0% | |||||||||
BHN Merger Sub, Inc., Second Lien Term Loan, (1 Month TSFR +7.10%) | 12.42 | 6/15/2026 | 175,000 | f | 173,031 | ||||
Edelman Financial Center, 2021 Refinancing Term Loan, (1 Month TSFR +3.61%) | 8.96 | 4/7/2028 | 327,487 | f | 324,733 | ||||
Edelman Financial Center, Second Lien Initial Term Loan, (1 Month TSFR +6.86%) | 12.21 | 7/20/2026 | 90,000 | f | 89,775 | ||||
Hudson River Trading LLC, Term Loan, (1 Month TSFR +3.11%) | 8.46 | 3/18/2028 | 267,939 | f | 266,517 | ||||
Russell Investments US, 2025 New Term Loan, (1 Month TSFR +3.60%) | 8.95 | 5/30/2025 | 424,333 | f | 398,979 | ||||
1,253,035 | |||||||||
Electronic Components - 1.1% | |||||||||
ADB Safegate BVBA, Facility Term Loan B, (3 Month EURIBOR +4.75%) | EUR | 8.55 | 10/2/2024 | 1,000,000 | f | 973,527 | |||
Roper Industrial Product, Initial Dollar Term Loan, (3 Month TSFR +4.50%) | 9.89 | 11/22/2029 | 354,493 | f | 355,158 | ||||
1,328,685 | |||||||||
Energy - .9% | |||||||||
Freeport LNG Investments, Initial Term Loan B, (3 Month TSFR +3.76%) | 9.18 | 12/21/2028 | 491,387 | f | 485,923 | ||||
Gulf Finance LLC, Term Loan, (1-6 Month TSFR +7.02%) | 12.41 | 8/25/2026 | 464,303 | f | 466,915 | ||||
WaterBridge Midstream Operating, Initial Term Loan, (3 Month TSFR +6.01%) | 11.36 | 6/21/2026 | 192,831 | f | 193,313 | ||||
1,146,151 | |||||||||
Financials - .1% | |||||||||
Jump Financial LLC, Term Loan, (3 Month TSFR +4.76%) | 10.15 | 8/6/2028 | 158,785 | f | 152,830 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Food Products - 1.7% | |||||||||
Biscuit Holding SASU, Facility Term Loan B, (6 Month EURIBOR +4.00%) | EUR | 8.14 | 2/14/2027 | 1,000,000 | f | 940,420 | |||
Max US Bidco, Inc., Initial Term Loan, (3 Month TSFR +5.00%) | 10.39 | 10/2/2030 | 185,000 | f | 174,594 | ||||
ZF Invest SAS, Term Loan B, (3 Month EURIBOR +3.73%) | EUR | 7.71 | 7/12/2028 | 1,000,000 | f | 1,041,694 | |||
2,156,708 | |||||||||
Food Service - .8% | |||||||||
Telfer Investments SL, Facility Term Loan B-1, (6 Month EURIBOR +4.75%) | EUR | 8.49 | 7/1/2026 | 1,000,000 | f | 1,053,184 | |||
Health Care - 8.6% | |||||||||
Aenova Holding GmbH, Facility Term Loan B-2, (3 Month EURIBOR +4.50%) | EUR | 8.49 | 3/31/2026 | 1,000,000 | f | 1,082,551 | |||
Auris Luxembourg III SA, Facility Term Loan B-1, (6 Month EURIBOR +4.00%) | EUR | 8.03 | 2/21/2026 | 1,000,000 | f | 1,066,730 | |||
Auris Luxembourg III SA, Facility Term Loan B-2, (3 Month TSFR +3.75%) | 9.53 | 2/21/2026 | 994,793 | f | 976,638 | ||||
Chrome Bidco SASU, Facility Term Loan B, (1 Month EURIBOR +3.70%) | EUR | 7.55 | 6/1/2028 | 1,000,000 | f | 988,184 | |||
eResearchTechnology, Inc., First Lien Initial Term Loan, (1 Month TSFR +4.61%) | 9.96 | 2/4/2027 | 342,831 | f | 338,055 | ||||
Financiere Verdi I SASU, Facility Term Loan B, (3 Month SONIA +4.50%) | GBP | 9.73 | 4/15/2028 | 1,000,000 | f | 1,128,990 | |||
Gainwell Acquisition Corp., Term Loan B, (3 Month TSFR +4.10%) | 9.49 | 10/1/2027 | 556,997 | f | 538,430 | ||||
HomeVi, Senior Facility Term Loan B-1, (3 Month EURIBOR +3.25%) | EUR | 7.20 | 10/31/2026 | 1,000,000 | f | 954,380 | |||
Inovie SASU, Senior Facility Term Loan B, (3 Month EURIBOR +4.00%) | EUR | 7.97 | 3/3/2028 | 2,000,000 | f | 2,004,081 | |||
LifePoint Health, Inc., Term Loan B, (3 Month TSFR +5.76%) | 11.17 | 11/16/2028 | 120,000 | f | 115,069 | ||||
Sirona BidCo SASU, Facility Term Loan B, (3 Month EURIBOR +4.00%) | EUR | 7.87 | 12/16/2028 | 1,000,000 | f | 1,031,354 | |||
Star Parent, Inc., Term Loan, (3 Month TSFR +4.00%) | 9.39 | 9/30/2030 | 150,000 | f | 146,959 | ||||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Health Care - 8.6% (continued) | |||||||||
WCG Purchaser Corp., First Lien Initial Term Loan, (1 Month TSFR +4.11%) | 9.46 | 1/8/2027 | 476,050 | f | 469,385 | ||||
10,840,806 | |||||||||
Industrial - 1.4% | |||||||||
CPM Holdings, Inc., Initial Term Loan, (1 Month TSFR +4.50%) | 9.83 | 9/28/2028 | 172,449 | f | 172,683 | ||||
DXP Enterprises, Inc./TX, Initial Term Loan, (6 Month TSFR +4.85%) | 10.29 | 10/6/2030 | 190,476 | f | 190,714 | ||||
KP Germany Erste GmbH, Facility Term Loan B, (6 Month EURIBOR +4.73%) | EUR | 8.67 | 2/9/2026 | 1,000,000 | f | 991,700 | |||
LSF12 Badger Bidco LLC, Initial Term Loan, (1 Month TSFR +6.00%) | 11.35 | 7/10/2030 | 150,000 | f | 149,812 | ||||
Powerteam Services LLC, First Lien Initial Term Loan, (3 Month TSFR +3.35%) | 8.74 | 3/6/2025 | 129,657 | f | 118,564 | ||||
Revere Power LLC, Term Loan B, (1 Month TSFR +4.35%) | 9.70 | 3/30/2026 | 143,690 | f | 126,476 | ||||
Revere Power LLC, Term Loan C, (1 Month TSFR +4.35%) | 9.70 | 3/30/2026 | 12,584 | f | 11,077 | ||||
1,761,026 | |||||||||
Information Technology - 3.2% | |||||||||
Fintrax International Holdings, New Facility Term Loan B-1, (6 Month EURIBOR +5.25%) | EUR | 9.36 | 5/27/2026 | 598,086 | f | 637,996 | |||
Fintrax International Holdings, New Facility Term Loan B-2, (6 Month EURIBOR +5.25%) | EUR | 9.36 | 5/27/2026 | 20,096 | f | 21,437 | |||
Fintrax International Holdings, New Facility Term Loan B-3, (6 Month EURIBOR +5.25%) | EUR | 9.36 | 5/27/2026 | 231,101 | f | 246,522 | |||
Fintrax International Holdings, New Facility Term Loan B-4, (6 Month EURIBOR +5.25%) | EUR | 9.36 | 5/27/2026 | 150,718 | f | 160,775 | |||
HireRight Holdings Corp., Term Loan B, (3 Month TSFR +4.00%) | 9.39 | 9/28/2030 | 154,675 | f | 154,265 | ||||
HS Purchaser LLC, First Lien 7th Amendment Refinancing Term Loan, (3 Month TSFR +4.10%) | 9.48 | 11/30/2026 | 209,457 | f | 198,499 | ||||
Idera, Inc., First Lien Initial Term Loan, (3 Month TSFR +3.90%) | 9.28 | 3/2/2028 | 258,015 | f | 255,620 | ||||
Mitchell International, Second Lien Initial Term Loan, (3 Month TSFR +6.76%) | 12.15 | 10/15/2029 | 158,974 | f | 150,943 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Information Technology - 3.2% (continued) | |||||||||
Polaris Newco LLC, First Lien Dollar Term Loan, (1 Month TSFR +4.11%) | 9.46 | 6/5/2028 | 368,244 | f | 359,130 | ||||
Polaris Newco LLC, Sterling Term Loan, (1 Month SONIA +5.25%) | GBP | 10.44 | 6/5/2028 | 980,000 | f | 1,166,062 | |||
Project Alpha Intermediate Holding, Inc., Term Loan B, (1 Month TSFR +4.75%) | 10.09 | 10/26/2030 | 158,333 | f | 155,958 | ||||
Quest Software, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.40%) | 9.78 | 2/1/2029 | 286,283 | f | 210,525 | ||||
Tibco Software, Inc., Term Loan, (3 Month TSFR +4.60%) | 9.99 | 10/2/2028 | 193,973 | f | 185,851 | ||||
UKG, Inc., 2021 Second Lien Incremental Term Loan, (3 Month TSFR +5.35%) | 10.76 | 5/3/2027 | 65,000 | f | 65,198 | ||||
West Technology Group LLC, Term Loan B-3, (3 Month TSFR +4.25%) | 9.63 | 4/10/2027 | 108,038 | f | 101,529 | ||||
4,070,310 | |||||||||
Insurance - 1.7% | |||||||||
Acrisure LLC, 2023 Term Loan B, (3 Month TSFR +4.50%) | 9.89 | 11/6/2030 | 388,045 | f | 388,290 | ||||
Amynta Agency Borrower, 2023 Refinancing Term Loan, (1 Month TSFR +5.10%) | 10.45 | 2/28/2028 | 403,390 | f | 404,903 | ||||
Asurion LLC, Second Lien Term Loan B-3, (1 Month TSFR +5.36%) | 10.71 | 2/3/2028 | 1,068,450 | f | 963,512 | ||||
Asurion LLC, Term Loan B-4, (1 Month TSFR +5.36%) | 10.71 | 1/20/2029 | 414,791 | f | 368,334 | ||||
2,125,039 | |||||||||
Internet Software & Services - 2.0% | |||||||||
Endure Digital, Inc., Initial Term Loan, (6 Month TSFR +3.93%) | 9.42 | 2/10/2028 | 185,973 | f | 180,012 | ||||
ION Trading Finance Ltd., Initial Dollar Term Loan, (3 Month TSFR +4.85%) | 10.24 | 4/1/2028 | 215,050 | f | 214,051 | ||||
MH Sub I LLC, 2023 May New Term Loan, (1 Month TSFR +4.25%) | 9.60 | 5/3/2028 | 179,550 | f | 174,163 | ||||
Proofpoint, Inc., Initial Term Loan, (1 Month TSFR +3.36%) | 8.71 | 8/31/2028 | 429,971 | f | 427,602 | ||||
PUG LLC, USD Term Loan B, (1 Month TSFR +3.61%) | 8.96 | 2/16/2027 | 234,521 | f | 227,926 | ||||
THG Operations Holdings, Facility Term Loan B, (6 Month EURIBOR +4.50%) | EUR | 8.26 | 12/11/2026 | 1,000,000 | f | 1,036,421 | |||
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Internet Software & Services - 2.0% (continued) | |||||||||
Weddingwire, Inc., Term Loan, (3 Month TSFR +4.50%) | 9.89 | 1/31/2028 | 250,000 | f | 247,812 | ||||
2,507,987 | |||||||||
Materials - .8% | |||||||||
Berlin Packaging LLC, Tranche Term Loan B-5, (1-3 Month TSFR +3.94%) | 9.29 | 3/11/2028 | 286,789 | f | 284,280 | ||||
Crosby US Acquisition Corp., First Amendment Term Loan, (1 Month TSFR +5.00%) | 10.33 | 6/27/2026 | 116,129 | f | 116,184 | ||||
MAR Bidco Sarl, USD Facility Term Loan B, (3 Month TSFR +4.30%) | 9.61 | 6/29/2028 | 178,085 | f | 168,291 | ||||
Proampac PG Borrower LLC, Term Loan, (3 Month TSFR +4.50%) | 9.88 | 9/15/2028 | 419,358 | f | 417,261 | ||||
986,016 | |||||||||
Metals & Mining - .1% | |||||||||
Arsenal AIC Parent LLC, Term Loan B, (1 Month TSFR +4.50%) | 9.85 | 8/18/2030 | 76,000 | f | 76,166 | ||||
Real Estate - .2% | |||||||||
Cushman & Wakefield US Borrower LLC, 2023-2 Refinancing Term Loan, (1 Month TSFR +4.00%) | 9.35 | 1/31/2030 | 200,000 | f | 196,500 | ||||
Retailing - .2% | |||||||||
New Look Corporate Ltd., Term Loan, (1 Month GBPLIBOR +0.00%) | GBP | 5.76 | 11/9/2029 | 24,012 | f,h | 758 | |||
Staples, Inc., 2019 Refinancing New Term Loan B-1, (1 Month LIBOR +5.00%) | 10.43 | 4/12/2026 | 234,450 | f | 214,913 | ||||
215,671 | |||||||||
Technology Hardware & Equipment - 1.7% | |||||||||
Atlas CC Acquisition Corp., First Lien Term Loan B, (3 Month TSFR +4.51%) | 9.90 | 5/25/2028 | 203,049 | f | 188,977 | ||||
Atlas CC Acquisition Corp., First Lien Term Loan C, (3 Month TSFR +4.51%) | 9.90 | 5/25/2028 | 41,298 | f | 38,436 | ||||
Expleo Services SAS, Term Loan B, (6 Month EURIBOR +5.00%) | EUR | 9.14 | 9/28/2027 | 1,000,000 | f | 1,064,161 | |||
McAfee Corp., Tranche Term Loan B-1, (1 Month TSFR +3.85%) | 9.17 | 3/1/2029 | 441,843 | f | 437,663 | ||||
Perforce Software, Inc., Term Loan, (1 Month TSFR +3.85%) | 9.20 | 7/1/2026 | 189,508 | f | 184,815 | ||||
VeriFone Systems, Inc., Initial Term Loan, (3 Month TSFR +4.00%) | 9.64 | 8/20/2025 | 257,963 | f | 245,533 | ||||
2,159,585 | |||||||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a,b | Value ($) | ||||
Floating Rate Loan Interests - 38.5% (continued) | |||||||||
Telecommunication Services - .8% | |||||||||
CCI Buyer, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.00%) | 9.39 | 12/17/2027 | 189,105 | f | 188,109 | ||||
Consolidated Communications, Term Loan B-1, (1 Month TSFR +3.61%) | 8.96 | 10/4/2027 | 200,000 | f | 184,833 | ||||
Frontier Communications Holdings LLC, New Term Loan B, (1 Month TSFR +3.86%) | 9.21 | 10/8/2027 | 180,000 | f | 176,991 | ||||
Level 3 Financing, Inc., 2027 Tranche Term Loan B (1 Month SOFR +1.75%) | 7.19 | 3/1/2027 | 45,000 | f | 42,094 | ||||
Lumen Technologies, Inc., Term Loan B, (1 Month TSFR +2.36%) | 7.71 | 3/15/2027 | 239,891 | f | 145,306 | ||||
Telesat LLC, Term Loan B-5, (3 Month TSFR +3.01%) | 8.43 | 12/6/2026 | 250,000 | f | 170,913 | ||||
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (1 Month TSFR +3.00%) | 8.46 | 3/9/2027 | 190,000 | f | 162,935 | ||||
1,071,181 | |||||||||
Transportation - .1% | |||||||||
Odyssey Logistics & Technology Corp., Initial Term Loan, (3 Month TSFR +4.50%) | 9.85 | 10/12/2027 | 24,000 | f | 23,362 | ||||
PODS LLC, Term Loan, (1 Month TSFR +3.11%) | 8.46 | 3/31/2028 | 165,000 | f | 157,487 | ||||
180,849 | |||||||||
Utilities - .6% | |||||||||
Eastern Power LLC, Term Loan, (1 Month TSFR +3.86%) | 9.21 | 10/2/2025 | 457,330 | f | 449,706 | ||||
Hamilton Projects Acquiror, Term Loan, (1 Month TSFR +4.61%) | 9.96 | 6/26/2027 | 280,671 | f | 281,704 | ||||
731,410 | |||||||||
Total Floating Rate Loan Interests | 48,419,244 | ||||||||
Description | Shares |
| Value ($) | ||||||
Common Stocks - .0% | |||||||||
Media - .0% | |||||||||
Altice USA, Inc., Cl. A | 2,000 | i | 4,600 | ||||||
Retailing - .0% | |||||||||
New Look, Cl. B | 611,628 | h,i | 0 | ||||||
Description | 1-Day | Shares |
| Value ($) | |||||
Investment Companies - 1.7% | |||||||||
Registered Investment Companies - 1.7% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 5.41 | 2,200,707 | j | 2,200,707 | |||||
Total Investments (cost $175,278,816) | 134.0% | 168,666,599 | |||||||
Liabilities, Less Cash and Receivables | (34.0%) | (42,775,075) | |||||||
Net Assets | 100.0% | 125,891,524 | |||||||
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
SONIA—Sterling Overnight Index Average
TSFR—Term 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, 2023, these securities were valued at $106,633,153 or 84.7% 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 The fund held Level 3 securities at November 30, 2023. These securities were valued at $758 or .0% of net assets.
i Non-income producing security.
j Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Forward Foreign Currency Exchange Contracts | |||||
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation ($) |
Citigroup Global Markets Inc. | |||||
United States Dollar | 7,626,194 | British Pound | 6,025,000 | 1/12/2024 | 17,053 |
United States Dollar | 24,007,493 | Euro | 21,820,000 | 1/12/2024 | 209,632 |
United States Dollar | 36,979,459 | Euro | 33,610,000 | 1/12/2024 | 322,902 |
Gross Unrealized Appreciation | 549,587 | ||||
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2023 (Unaudited)
The following is a summary of the inputs used as of November 30, 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 | - | 36,761,381 | - | 36,761,381 | ||
Corporate Bonds | - | 81,280,667 | - | 81,280,667 | ||
Equity Securities - Common Stocks | 4,600 | - | - | 4,600 | ||
Floating Rate Loan Interests | - | 48,418,486 | 758 | 48,419,244 | ||
Investment Companies | 2,200,707 | - | - | 2,200,707 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 549,587 | - | 549,587 | ||
† 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 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, 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 November 30, 2023, accumulated net unrealized depreciation on investments was $6,062,630, consisting of $4,480,833 gross unrealized appreciation and $10,543,463 gross unrealized depreciation.
At November 30, 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.