CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
March 31, 2020 (Unaudited)
|
| Principal Amount |
| Value (a) |
| ||
Senior Loans 99.4% (b)(c)(d) |
|
|
|
|
| ||
Aerospace & Defense 1.6% |
|
|
|
|
| ||
Aero Operating LLC, Initial 1st Lien Term Loan, 1M LIBOR + 6.50%, 8.09%, 02/09/2026 (e)(f)(k) |
| $ | 2,930,051 |
| $ | 2,812,849 |
|
Aero Operating, LLC, 1st Lien Delayed Draw Term Loan, 02/09/2026 (e)(g)(k) |
| 838,503 |
| (33,540 | ) | ||
Dynasty Acquisition Co., Inc., 1st Lien Term Loan B-1, 1M LIBOR + 3.50%, 4.95%,04/06/2026 |
| 99,833 |
| 78,993 |
| ||
Dynasty Acquisition Co., Inc., 1st Lien Term Loan B-2, 1M LIBOR + 3.50%, 4.95%, 04/06/2026 |
| 53,674 |
| 42,469 |
| ||
Radius Aerospace Europe, Ltd., 1st Lien Term Loan, (Great Britain), 3M LIBOR + 5.75%, 7.20%, 03/29/2025 (e)(f)(k) |
| 1,622,579 |
| 1,573,901 |
| ||
Radius Aerospace Europe, Ltd., 1st Lien GBP Revolver, (Great Britain), 3M GBP LIBOR + 5.75%, 6.75%, 03/29/2025 (e)(g)(k) |
| £ | 185,714 |
| 99,686 |
| |
Radius Aerospace, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.75%, 7.12%, 03/29/2025 (e)(f)(k) |
| $ | 2,545,714 |
| 2,469,343 |
| |
Radius Aerospace, Inc., 1st Lien Revolver, 3M LIBOR + 5.75%, 7.46%, 03/29/2025 (e)(g)(k) |
| 428,571 |
| 244,285 |
| ||
SecurAmerica, LLC, 1st Lien Delayed Draw Term Loan A, 1M LIBOR + 6.25%, 7.25%, 12/21/2023 (e)(k) |
| 619,424 |
| 619,424 |
| ||
SecurAmerica, LLC, 1st Lien Delayed Draw Term Loan B, 1M LIBOR + 6.25%, 7.25%, 12/21/2023 (e)(k) |
| 111,180 |
| 111,180 |
| ||
SecurAmerica, LLC, 1st Lien Delayed Draw Term Loan C, 12/21/2023 (e)(g)(k) |
| 573,057 |
| — |
| ||
SecurAmerica, LLC, 1st Lien Revolver, 1M LIBOR + 3.00%, 4.00%, 06/21/2023 (e)(g)(h)(k) |
| 1,125 |
| 790 |
| ||
SecurAmerica, LLC, 1st Lien Term Loan, 1M LIBOR + 6.25%, 7.25%, 12/21/2023 (e)(f)(k) |
| 1,650,525 |
| 1,650,525 |
| ||
Sequa Mezzanine Holdings, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.00%, 6.74% 11/28/2021 |
| 13,618 |
| 10,860 |
| ||
|
|
|
| 9,680,765 |
| ||
Automotive 1.9% |
|
|
|
|
| ||
GB Auto Service, Inc., 1st Lien Delayed Draw Term Loan, 1M LIBOR + 6.50%, 7.50%, 10/19/2024 (e)(k) |
| 1,653,177 |
| 1,570,519 |
| ||
GB Auto Service, Inc., 1st Lien Delayed Draw Term Loan, 1M LIBOR + 6.00%, 7.00%, 10/19/2024 (e)(g)(k) |
| 6,003,882 |
| 203,077 |
| ||
GB Auto Service, Inc., 1st Lien Revolver, 1M LIBOR + 6.50%, 7.50%, 10/19/2024 (e)(k) |
| 264,159 |
| 250,951 |
| ||
GB Auto Service, Inc., 1st Lien Term Loan, 1M LIBOR + 6.50%, 7.50%, 10/19/2024 (e)(f)(k) |
| 1,203,889 |
| 1,143,694 |
| ||
Navistar, Inc., Tranche 1st Lien Term Loan B, 1M LIBOR + 3.50%, 4.28%, 11/06/2024 |
| 1,209,937 |
| 1,040,546 |
| ||
Panther BF Aggregator 2, LP, Initial 1st Lien Term Loan, 1M LIBOR + 3.50%, 4.44%, 04/30/2026 (e) |
| 1,623,033 |
| 1,476,960 |
| ||
Truck Hero, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 3.75%, 4.74%, 04/22/2024 |
| 384,076 |
| 286,521 |
| ||
Wand NewCo 3, Inc., Initial 2nd Lien Term Loan, 3M LIBOR + 7.25%, 8.11%, 02/05/2027 (e)(f)(k) |
| 3,000,000 |
| 2,790,000 |
| ||
Wand NewCo 3, Inc., Tranche 1st Lien Term Loan B-1, 3M LIBOR + 3.00%, 4.07%, 02/05/2026 |
| 2,709,872 |
| 2,411,786 |
| ||
|
|
|
| 11,174,054 |
| ||
Banking, Finance, Insurance & Real Estate 13.4% |
|
|
|
|
| ||
A.U.L. Corp., 1st Lien Revolver, 06/05/2023 (e)(g)(k) |
| 1,000 |
| — |
| ||
A.U.L. Corp., Initial 1st Lien Term Loan, 1M LIBOR + 4.50%, 5.50%, 06/05/2023 (e)(f)(k) |
| 41,445 |
| 41,445 |
| ||
Acrisure, LLC, 1st Lien Term Loan, 3M LIBOR + 3.50%, 4.96%, 02/15/2027 |
| 3,623,337 |
| 3,188,537 |
| ||
Affinipay Midco, LLC, 1st Lien Revolver, 3M LIBOR + 5.50%, 6.75%, 03/02/2026 (e)(g)(k) |
| 766,307 |
| 122,609 |
| ||
Affinipay Midco, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 5.50%, 6.95%, 03/02/2026 (e)(f)(k) |
| 7,250,308 |
| 6,960,295 |
| ||
Alliant Holdings Intermediate, LLC, 1st Lien Term Loan B, 1M LIBOR + 3.25%, 3.86%, 05/09/2025 |
| 3,752 |
| 3,405 |
| ||
Amynta Agency Borrower, Inc., 1st Lien Incremental Term Loan B, 1M LIBOR + 4.50%, 5.49%, 02/28/2025 (e)(f)(k) |
| 2,954,896 |
| 2,718,505 |
| ||
AQ Sunshine, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 5.50%, 7.36%, 04/15/2025 (e)(g)(k) |
| 139,106 |
| (6,956 | ) | ||
AQ Sunshine, Inc., Initial 1st Lien Revolver, 3M LIBOR + 5.50%, 7.42%, 04/15/2024 (e)(g)(k) |
| 136,423 |
| 115,960 |
| ||
AQ Sunshine, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.42%, 04/15/2025 (e)(f)(k) |
| 1,146,492 |
| 1,089,168 |
| ||
AQ Sunshine, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.42%, 04/15/2025 (e)(k) |
| 246,680 |
| 234,346 |
| ||
ARM Funding, LLC, 1st Lien Revolver B, 1M LIBOR + 7.95%, 9.53%, 02/29/2024 (e)(g)(k) |
| 2,500,000 |
| 466,711 |
| ||
Asurion, LLC, 2nd Lien Term Loan B-2, 08/04/2025 (h) |
| 963,051 |
| 877,580 |
| ||
Blackhawk Network Holdings, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.00%, 3.99, 06/15/2025 |
| 2,414,328 |
| 1,948,700 |
| ||
Blackhawk Network Holdings, Inc., 2nd Lien Term Loan, 1M LIBOR + 7.00%, 7.81%, 06/15/2026 |
| 150,000 |
| 118,500 |
| ||
Blackwood Bidco, Ltd., Facility 1st Lien Term Loan B-1, (Great Britain), 6M LIBOR + 7.30%, 8.11%, 10/08/2026 (e)(f)(k) |
| £ | 2,550,724 |
| 3,172,720 |
| |
Blackwood Bidco, Ltd., Facility 1st Lien Term Loan B-1, (Great Britain), 6M LIBOR + 7.30%, 9.25%, 10/08/2026 (e)(f)(k) |
| $ | 3,184,069 |
| 3,184,069 |
| |
Citadel Securities, LP, 1st Lien Repriced Term Loan, 1M LIBOR + 2.75%, 3.74%, 02/27/2026 (e) |
| 482,150 |
| 429,114 |
| ||
Forest City Enterprises, LP, Replacement 1st Lien Term Loan B, 1M LIBOR + 3.50%, 4.49%, 12/08/2025 (e) |
| 980,800 |
| 833,680 |
| ||
Foundation Risk Partners Corp., 1st Lien 1st Amendment Delayed Draw Term Loan, 3M LIBOR + 4.75%, 6.20%, 11/10/2023 (e)(g)(k) |
| 789,898 |
| 748,914 |
| ||
Foundation Risk Partners Corp., 1st Lien 1st Amendment Term Loan, 3M LIBOR + 4.75%, 6.20%, 11/10/2023 (e)(f)(k) |
| 630,595 |
| 599,065 |
| ||
|
| Principal Amount |
| Value (a) |
| ||||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| ||||
Banking, Finance, Insurance & Real Estate (continued) |
|
|
|
|
| ||||
Foundation Risk Partners Corp., 1st Lien 2nd Amendment Delayed Draw Term Loan, 3M LIBOR + 4.75%, 6.20%, 11/10/2023 (e)(g)(k) |
| $ | 3,233,511 |
| $ | 2,340,429 |
| ||
Foundation Risk Partners Corp., 1st Lien 3rd Amendment Delayed Draw Term Loan, 11/10/2023 (e)(g)(k) |
| 1,259,713 |
| (62,985 | ) | ||||
Foundation Risk Partners Corp., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.75%, 6.20%, 11/10/2023 (e)(f)(k) |
| 139,802 |
| 132,812 |
| ||||
Foundation Risk Partners Corp., 1st Lien Revolver, 1M LIBOR + 4.75%, 6.11%, 11/10/2023 (e)(g)(k) |
| 3,000 |
| 1,650 |
| ||||
Foundation Risk Partners Corp., 1st Lien Term Loan, 3M LIBOR + 4.75%, 6.20%, 11/10/2023 (e)(f)(k) |
| 619,394 |
| 588,424 |
| ||||
Foundation Risk Partners Corp., 2nd Lien 1st Amendment Delayed Draw Term Loan, 3M LIBOR + 8.50%, 9.95%, 11/10/2024 (e)(k) |
| 292,900 |
| 275,326 |
| ||||
Foundation Risk Partners Corp., 2nd Lien 1st Amendment Loan, 3M LIBOR + 8.50%, 9.95%, 11/10/2024 (e)(k) |
| 264,795 |
| 248,907 |
| ||||
Foundation Risk Partners Corp., 2nd Lien 2nd Amendment Delayed Draw Term Loan, 3M LIBOR + 8.50%, 9.95%, 11/10/2024 (e)(g)(k) |
| 1,007,133 |
| 616,485 |
| ||||
Foundation Risk Partners Corp., 2nd Lien 3rd Amendment Delayed Draw Term Loan, 11/10/2024 (e)(g)(k) |
| 720,610 |
| (43,236 | ) | ||||
Foundation Risk Partners Corp., 2nd Lien Term Loan, 3M LIBOR + 8.50%, 9.95%, 11/10/2024 (e)(k) |
| 221,778 |
| 208,471 |
| ||||
GRP UK Bidco, Ltd., Acquisition Capex Facility 1st Lien Term Loan, (Great Britain), 02/02/2027 (e)(g)(k) |
| £ | 4,096,386 |
| — |
| |||
GRP UK Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 02/02/2027 (e)(g)(k) |
| 12,903,614 |
| — |
| ||||
Gulf Finance, LLC, Tranche 1st Lien Term Loan B, 1M LIBOR + 5.25%, 6.84%, 08/25/2023 |
| $ | 197,997 |
| 98,801 |
| |||
Hammersmith Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 1M GBP LIBOR + 7.44%, 7.94%, 09/02/2026 (e)(f)(k) |
| £ | 4,112,437 |
| 5,115,258 |
| |||
Hammersmith Bidco, Ltd., Acquisition Capex Facility 1st Lien Term Loan, (Great Britain), 1M GBP LIBOR + 7.44%, 7.94%, 09/02/2026 (e)(g)(k) |
| 1,678,545 |
| 212,945 |
| ||||
Leo Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 6M GBP LIBOR + 6.25%, 7.00%, 03/30/2026 (e)(f)(k) |
| 500,000 |
| 621,925 |
| ||||
London Acquisition Bidco B.V., EUR Facility 1st Lien Term Loan B-1, (Netherlands), 3M EURIBOR + 6.50%, 7.00%, 02/09/2026 (e)(f)(k) |
| € | 476,852 |
| 514,818 |
| |||
NXTGenpay Intressenter Bidco AB, Facility 1st Lien Term Loan B, (Sweden), 3M STIBOR + 6.75%, 7.06%, 06/30/2025 (e)(k) |
| SEK | 5,500,000 |
| 554,111 |
| |||
NXTGenpay Intressenter Bidco AB, Facility 1st Lien Term Loan D, (Sweden), 06/30/2025 (e)(g)(h)(k) |
| 1,800,000 |
| — |
| ||||
NXTGenpay Intressenter Bidco AB, Facility 1st Lien Term Loan D, (Sweden), 3M STIBOR + 6.75%, 7.06%, 06/30/2025 (e)(k) |
| 2,700,000 |
| 272,018 |
| ||||
PI UK Holdco II, Ltd., Facility 1st Lien Term Loan B-1, (Great Britain), 3M GBP LIBOR + 3.25%, 4.70%, 01/03/2025 |
| $ | 776,009 |
| 648,937 |
| |||
Right Choice Holdings, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 6.75%, 7.61%, 06/06/2024 (e)(f)(k) |
| £ | 1,000,000 |
| 1,243,851 |
| |||
RSC Acquisition, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 5.50%, 5.50%, 10/30/2026 (e)(g)(k) |
| $ | 554,024 |
| (22,161 | ) | |||
RSC Acquisition, Inc., Initial 1st Lien Revolver, 10/30/2026 (e)(g)(k) |
| 1,000 |
| (40 | ) | ||||
RSC Acquisition, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.27%, 10/30/2026 (e)(f)(k) |
| 2,199,802 |
| 2,111,810 |
| ||||
RSC Acquisition, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.27%, 10/30/2026 (e)(k) |
| 484,772 |
| 465,381 |
| ||||
SaintMichelCo, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain), 3M GBP LIBOR + 7.00%, 7.50%, 09/09/2025 (e)(g)(k) |
| £ | 300,000 |
| 199,016 |
| |||
SaintMichelCo, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 6M GBP LIBOR + 7.00%, 7.50%, 09/09/2025 (e)(k) |
| 2,400,000 |
| 2,985,242 |
| ||||
SCM Insurance Services, Inc., 1st Lien Revolver, (Canada), CAD PRIME + 4.00%, 6.95%, 08/29/2022 (e)(k) |
| CAD | 1,000 |
| 653 |
| |||
SCM Insurance Services, Inc., 1st Lien Term Loan, (Canada), 3M LIBOR + 5.00%,6.33%, 08/29/2024 (e)(f)(k) |
| 122,188 |
| 79,802 |
| ||||
SCM Insurance Services, Inc., 2nd Lien Term Loan, (Canada), 1M CDOR + 9.00%, 10.33%, 03/01/2025 (e)(k) |
| 125,000 |
| 79,864 |
| ||||
Sedgwick Claims Management Services, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 3.25%, 4.24%, 12/31/2025 |
| $ | 2,874,626 |
| 2,527,284 |
| |||
Selectquote, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 6.00%, 7.00%, 11/05/2024 (e)(k) |
| 1,018,971 |
| 1,008,781 |
| ||||
SG Acquisition, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 5.75%, 6.71%, 01/27/2027 (e)(f)(k) |
| 3,380,687 |
| 3,245,459 |
| ||||
Staysure Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 7.00%, 7.80%, 07/01/2025 (e)(k) |
| £ | 1,000,000 |
| 1,243,851 |
| |||
Symbol Bidco I, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 6.50%, 7.04%, 12/21/2026 (e)(f)(k) |
| 571,429 |
| 710,772 |
| ||||
Symbol Bidco I, Ltd., Acquisition Capex Facility 1st Lien Term Loan (Great Britain), 12/21/2026 (e)(g)(k) |
| 428,571 |
| — |
| ||||
TA/WEG Holdings, LLC, Initial 1st Lien Term Loan, 12M LIBOR + 6.00%, 7.00%, 10/02/2025 (e)(f)(k) |
| $ | 3,546,752 |
| 3,369,414 |
| |||
TA/WEG Holdings, LLC, 1st Lien Revolver, 12M LIBOR + 6.00%, 7.00%, 10/02/2025 (e)(k) |
| 301,041 |
| 285,989 |
| ||||
TA/WEG Holdings, LLC, Initial 1st Lien Delayed Draw Term Loan, 12M LIBOR + 6.00%, 7.00%, 10/02/2025 (e)(g)(h)(k) |
| 2,186,891 |
| 188,868 |
| ||||
Tempo Acquisition, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 2.75%, 3.74%, 05/01/2024 |
| 1,514,228 |
| 1,347,663 |
| ||||
|
| Principal Amount |
| Value (a) |
| ||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| ||
Banking, Finance, Insurance & Real Estate (continued) |
|
|
|
|
| ||
Toscafund, Ltd., Facility 1st Lien Term Loan, (Great Britain), 6M GBP LIBOR + 7.00%, 7.83%, 04/02/2025 (e)(f)(k) |
| £ | 4,680,000 |
| 5,821,221 |
| |
True Potential LLP, Facility 1st Lien Term Loan B-2, (Great Britain), 6M GBP LIBOR + 7.17%, 8.03%, 10/16/2026 (e)(f)(k) |
| 8,112,754 |
| 10,091,055 |
| ||
True Potential LLP, Acquisition Facility 1st Lien Term Loan, (Great Britain), 6M GBP LIBOR + 7.17%, 8.03%, 10/16/2026 (e)(g)(k) |
| 1,943,174 |
| 618,740 |
| ||
Ultimus Group Midco, LLC (The), Initial 1st Lien Term Loan, 3M LIBOR + 4.50%,5.95%, 02/01/2026 (e)(f)(k) |
| $ | 2,577,736 |
| 2,448,849 |
| |
Ultimus Group Midco, LLC (The), Initial 1st Lien Term Loan, 3M LIBOR + 4.50%,5.95%, 02/01/2026 (e)(k) |
| 611,533 |
| 580,956 |
| ||
Ultimus Group Midco, LLC (The), 1st Lien Revolver, PRIME + 3.50%, 6.75%, 02/01/2024 (e)(g)(k) |
| 396,226 |
| 206,604 |
| ||
USI, Inc., 1st Lien Incremental Term Loan B, 1M LIBOR + 4.00%, 4.99%, 12/02/2026 |
| 498,750 |
| 445,548 |
| ||
|
|
|
| 80,475,935 |
| ||
Beverage, Food & Tobacco 4.7% |
|
|
|
|
| ||
CC Fly Holding II A/S, Facility 1st Lien Unitranche Term Loan A, (Denmark), 3M CIBOR + 7.50%, 8.00%, 05/09/2025 (e)(f)(k) |
| DKK | 2,500,000 |
| 368,960 |
| |
CC Fly Holding II A/S, Tranche Facility 1st Lien Term Loan B, (Denmark), 3M CIBOR + 7.50%, 8.55%, 05/09/2025 (e)(f)(k) |
| 2,500,000 |
| 368,960 |
| ||
CC Fly Holding II A/S, Accordian Facility 1st Lien Term Loan, (Denmark), 3M LIBOR + 7.50%, 8.00%, 05/09/2025 (e)(f)(k) |
| 520,833 |
| 76,867 |
| ||
CC Fly Holding II A/S, Accordian Facility 2 1st Lien Term Loan, (Denmark), 3M CIBOR + 7.50%, 8.55%, 05/09/2025 (e)(f)(k) |
| 520,833 |
| 76,867 |
| ||
CC Fly Holding II A/S, Accordian Facility 3 1st Lien Term Loan, (Denmark), 3M CIBOR + 7.50%, 8.00%, 05/09/2025 (e)(f)(k) |
| 1,041,666 |
| 153,733 |
| ||
CHG PPC Parent, LLC, 2nd Lien Term Loan, 1M LIBOR + 7.50%, 8.49%, 03/30/2026 (e)(f)(k) |
| 1,000,000 |
| 950,000 |
| ||
CHG PPC Parent, LLC, 2nd Lien Additional Term Loan, 1M LIBOR + 7.75%, 8.74%, 03/30/2026 (e)(f)(k) |
| 2,000,000 |
| 1,900,000 |
| ||
Ferraro Fine Foods Corp., 1st Lien 2nd Amendment Term Loan, 3M LIBOR + 4.25%, 5.32%, 05/09/2024 (e)(f)(k) |
| $ | 296,600 |
| 281,770 |
| |
Ferraro Fine Foods Corp., 1st Lien Incremental Term Loan, 3M LIBOR + 4.25%, 5.32%, 05/09/2024 (e)(k) |
| 53,980 |
| 51,281 |
| ||
Ferraro Fine Foods Corp., 1st Lien Revolver, 3M LIBOR + 4.25%, 4.25%, 05/09/2023 (e)(k) |
| 1,000 |
| 950 |
| ||
Ferraro Fine Foods Corp., 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.32%, 05/09/2024 (e)(f)(k) |
| 981,518 |
| 932,442 |
| ||
Froneri International, Ltd., Facility 1st Lien Term Loan B-2, (Great Britain), 1M LIBOR + 2.25%, 3.24%, 01/29/2027 (e) |
| 2,501,824 |
| 2,370,479 |
| ||
GPM Investments, LLC, 1st Lien Delayed Draw Term Loan A, 03/01/2027 (e)(g)(k) |
| 4,602,521 |
| (138,075 | ) | ||
GPM Investments, LLC, 1st Lien Delayed Draw Term Loan B, 03/01/2027 (e)(g)(k) |
| 1,704,638 |
| (51,140 | ) | ||
GPM Investments, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 4.75%, 6.25%, 03/01/2027 (e)(f)(k) |
| 5,523,026 |
| 5,357,335 |
| ||
Hometown Food Co., 1st Lien Revolver, 3M LIBOR + 5.25%, 6.50%, 08/31/2023 (e)(g)(k) |
| 1,000 |
| 847 |
| ||
Hometown Food Co., 1st Lien Term Loan, 1M LIBOR + 5.25%, 6.50%, 08/31/2023 (e)(f)(k) |
| 1,802,432 |
| 1,766,383 |
| ||
IRB Holding Corp., 1st Lien Replacement Term Loan B, 1M LIBOR + 2.75%, 3.74%, 02/05/2025 |
| 2,203,664 |
| 1,692,700 |
| ||
Jim N Nicks Management, LLC, 1st Lien Revolver, 3M LIBOR + 5.25%, 6.70%, 07/10/2023 (e)(k) |
| 1,000 |
| 910 |
| ||
Jim N Nicks Management, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.25%, 6.70, 07/10/2023 (e)(f)(k) |
| 48,625 |
| 44,249 |
| ||
Portillo’s Holdings, LLC, 2nd Lien Additional Term Loan B-3, 3M LIBOR + 9.50%, 10.95%, 12/06/2024 (e)(k) |
| 2,465,616 |
| 2,342,335 |
| ||
Reddy Ice Holdings, Inc., 1st Lien Delayed Draw Term Loan, PRIME + 4.50%, 7.75%, 07/01/2025 (e)(g)(k) |
| 955,102 |
| 439,347 |
| ||
Reddy Ice Holdings, Inc., 1st Lien Revolver, PRIME + 4.50%, 7.75%, 07/01/2024 (e)(g)(k) |
| 955,102 |
| 324,735 |
| ||
Reddy Ice Holdings, Inc., 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.02%, 07/01/2025 (e)(f)(k) |
| 7,393,922 |
| 7,024,226 |
| ||
SFE Intermediate Holdco, LLC, 1st Lien Incremental Term Loan, 3M LIBOR + 4.75%, 6.06%, 07/31/2024 (e)(f)(k) |
| 1,969,015 |
| 1,850,874 |
| ||
SFE Intermediate Holdco, LLC, 1st Lien Revolver, 3M LIBOR + 3.75%, 7.50%, 07/31/2023 (e)(k) |
| 2,000 |
| 1,880 |
| ||
SFE Intermediate Holdco, LLC, 1st Lien Term Loan, 3M LIBOR + 4.75%, 6.53%, 07/31/2024 (e)(f)(k) |
| 243,750 |
| 229,125 |
| ||
|
|
|
| 28,418,040 |
| ||
Capital Equipment 1.5% |
|
|
|
|
| ||
Blue Angel Buyer 1, LLC, 1st Lien Amendment Term Loan, 1M LIBOR + 4.50%, 5.50%, 01/02/2026 (e)(f)(k) |
| 1,116,721 |
| 1,116,721 |
| ||
Blue Angel Buyer 1, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.25%, 5.70%, 01/02/2026 (e)(g)(k) |
| 641,557 |
| 281,814 |
| ||
Blue Angel Buyer 1, LLC, 1st Lien Revolver, 3M LIBOR + 4.25%, 5.45%, 01/02/2025 (e)(g)(k) |
| 321,199 |
| 118,844 |
| ||
Blue Angel Buyer 1, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.70%, 01/02/2026 (e)(f)(k) |
| 2,016,039 |
| 2,016,039 |
| ||
Dynacast International, LLC, 1st Lien Term Loan B-2, 3M LIBOR + 3.25%, 4.70%, 01/28/2022 (e) |
| 493,507 |
| 320,779 |
| ||
Flow Control Solutions, Inc., 1st Lien Delayed Draw Term Loan, 11/21/2024 (e)(g)(k) |
| 994,201 |
| (1 | ) | ||
Flow Control Solutions, Inc., 1st Lien Revolver, 3M LIBOR + 5.25%, 6.48%, 11/21/2024 (e)(g)(k) |
| 372,825 |
| 149,130 |
| ||
Flow Control Solutions, Inc., 1st Lien Term Loan, 3M LIBOR + 5.25%, 6.70%, 11/21/2024 (e)(f)(k) |
| 1,290,963 |
| 1,290,963 |
| ||
IMIA Holdings, Inc., 1st Lien Revolver, 1M LIBOR + 4.50%, 5.50%, 10/26/2024 (e)(g)(k) |
| 408,163 |
| 204,082 |
| ||
IMIA Holdings, Inc., 1st Lien Term Loan, 1M LIBOR + 4.50%, 5.95%, 10/26/2024 (e)(f)(k) |
| 2,559,439 |
| 2,559,439 |
| ||
Welbilt, Inc., 1st Lien Term Loan B, 1M LIBOR + 2.50%, 3.49%, 10/23/2025 |
| 902,256 |
| 692,860 |
| ||
|
|
|
| 8,750,670 |
| ||
Chemicals, Plastics & Rubber 1.9% |
|
|
|
|
| ||
Atlas Intermediate III, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.11%, 04/29/2025 (e)(f)(k) |
| 1,155,852 |
| 1,121,177 |
| ||
Atlas Intermediate III, LLC, 1st Lien Revolver, 3M LIBOR + 5.50%, 6.70%, 04/29/2025 (e)(g)(k) |
| 226,621 |
| 144,282 |
| ||
DCG Acquisition Corp., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.50%, 5.87%, 09/30/2026 (e) |
| 300,600 |
| 267,534 |
| ||
DCG Acquisition Corp., Initial 1st Lien Term Loan, 3M LIBOR + 4.50%, 5.36%, 09/30/2026 (e) |
| 1,856,594 |
| 1,652,369 |
| ||
|
| Principal Amount |
| Value (a) |
| |||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| |||
Chemicals, Plastics & Rubber (continued) |
|
|
|
|
| |||
Laboratories Bidco, LLC, 1st Lien Term Loan, 3M CDOR + 6.00%, 7.27%, 06/25/2024 (e)(f)(k) |
| CAD | 1,802,319 |
| $ | 1,241,081 |
| |
Laboratories Bidco, LLC, 1st Lien Revolver, 06/25/2024 (e)(g)(k) |
| $ | 513,489 |
| (15,405 | ) | ||
Laboratories Bidco, LLC, 1st Lien Term Loan, 3M LIBOR + 5.75%, 7.69%, 06/25/2024 (e)(f)(k) |
| 1,925,992 |
| 1,868,212 |
| |||
Plaskolite PPC Intermediate II, LLC, 2nd Lien Term Loan, 1M LIBOR + 7.75%, 8.75%, 12/14/2026 (e)(f)(k) |
| 3,000,000 |
| 2,790,000 |
| |||
Plaskolite PPC Intermediate II, LLC, 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.25%, 12/15/2025 (e)(k) |
| 993 |
| 933 |
| |||
Starfruit Finco B.V., Initial 1st Lien Term Loan, (Netherlands), 1M LIBOR + 3.00%, 3.86%, 10/01/2025 (e) |
| 1,941,354 |
| 1,727,805 |
| |||
Trident TPI Holdings, Inc., Tranche 1st Lien Term Loan B-1, 3M LIBOR + 3.25%, 4.32%, 10/17/2024 |
| 693,227 |
| 568,446 |
| |||
|
|
|
| 11,366,434 |
| |||
Construction & Building 1.1% |
|
|
|
|
| |||
Kene Acquisition, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.25%, 5.70%, 08/10/2026 (e)(g)(k) |
| 634,323 |
| 460,355 |
| |||
Kene Acquisition, Inc., 1st Lien Revolver, 3M LIBOR + 4.25%, 5.30%, 08/08/2024 (e)(g)(k) |
| 675,812 |
| 471,378 |
| |||
Kene Acquisition, Inc., 1st Lien Term Loan, 2M LIBOR + 4.25%, 5.70%, 08/10/2026 (e)(f)(k) |
| 2,906,492 |
| 2,790,233 |
| |||
SRS Distribution, Inc., 1st Lien 1st Amendment Incremental Term Loan, 3M LIBOR + 4.50%, 5.57%, 05/23/2025 |
| 2,493,750 |
| 2,132,156 |
| |||
The Hillman Group, Inc., Initial 1st Lien Term Loan, 6M LIBOR + 4.00%, 5.07%, 05/30/2025 |
| 899,655 |
| 698,357 |
| |||
|
|
|
| 6,552,479 |
| |||
Consumer goods: Durable 1.7% |
|
|
|
|
| |||
AI Aqua Merger Sub, Inc., 1st Lien 5th Amendment Incremental Term Loan, 3M LIBOR + 4.25%, 6.16%, 12/13/2023 (e) |
| 2,493,750 |
| 2,169,562 |
| |||
AI Aqua Merger Sub, Inc., Tranche 1st Lien Term Loan B-1, 3M LIBOR + 3.25%, 4.32%, 12/13/2023 (e) |
| 1,984,655 |
| 1,686,956 |
| |||
DecoPac, Inc., Initial 1st Lien Revolver, 1M LIBOR + 4.25%, 5.25%, 09/29/2023 (e)(g)(k) |
| 1,000 |
| 600 |
| |||
DecoPac, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.25%, 09/30/2024 (e)(f)(k) |
| 478,790 |
| 478,790 |
| |||
DRS Holdings III, Inc., 1st Lien Term Loan, 1M LIBOR + 5.75%, 6.75%, 11/01/2025 (e)(f)(k) |
| 2,026,685 |
| 1,965,885 |
| |||
DRS Holdings III, Inc., 1st Lien Revolver, 2M LIBOR + 5.75%, 6.75%, 11/01/2025 (e)(g)(k) |
| 1,000 |
| 770 |
| |||
Sigma Electric Manufacturing Corp., Tranche 1st Lien 3rd Amendment Term Loan A-2, 3M LIBOR + 4.75%, 5.83%, 10/31/2023 (e)(f)(k) |
| 132,631 |
| 126,000 |
| |||
Sigma Electric Manufacturing Corp., 1st Lien Revolver, 3M LIBOR + 4.75%, 5.75%, 10/31/2022 (e)(g)(k) |
| 1,333 |
| 1,045 |
| |||
Sigma Electric Manufacturing Corp., 1st Lien Term Loan A-2, 3M LIBOR + 4.75%, 5.83%, 10/31/2023 (e)(f)(k) |
| 357,875 |
| 339,981 |
| |||
Star US Bidco, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.25%, 03/17/2027 |
| 4,144,583 |
| 3,533,257 |
| |||
|
|
|
| 10,302,846 |
| |||
Consumer goods: Non-Durable 0% |
|
|
|
|
| |||
Movati Athletic Group, Inc., 1st Lien Delayed Draw Term Loan, (Canada), 3M CDOR + 4.75%, 6.82%, 10/05/2022 (e)(g)(k) |
| CAD | 252,277 |
| 91,144 |
| ||
Movati Athletic Group, Inc., 1st Lien Term Loan A, (Canada), 3M CDOR + 4.75%, 6.82%, 10/05/2022 (e)(f)(k) |
| 241,149 |
| 160,920 |
| |||
|
|
|
| 252,064 |
| |||
Containers, Packaging & Glass 2.4% |
|
|
|
|
| |||
Anchor Packaging, LLC, 1st Lien Delayed Draw Term Loan, 07/18/2026 (e)(g) |
| $ | 574,359 |
| (109,128 | ) | ||
Anchor Packaging, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 4.00%, 4.99%, 07/18/2026 (e) |
| 2,612,513 |
| 2,116,135 |
| |||
Charter NEX U.S., Inc., Initial 1st Lien Term Loan, 05/16/2024 (h) |
| 315,212 |
| 266,354 |
| |||
IntraPac Canada Corp., 1st Lien Term Loan, (Canada), 6M LIBOR + 5.50%, 6.57%, 01/11/2026 (e)(f)(k) |
| 808,630 |
| 768,199 |
| |||
IntraPac International, LLC, 1st Lien Revolver, 6M LIBOR + 5.50%, 6.57%, 01/11/2025 (e)(g)(k) |
| 415,407 |
| 146,431 |
| |||
IntraPac International, LLC, 1st Lien Term Loan, 6M LIBOR + 5.50%, 6.57%, 01/11/2026 (e)(f)(k) |
| 1,586,930 |
| 1,507,584 |
| |||
Pregis TopCo LLC, Initial 1st Lien Term Loan, 1M LIBOR + 4.00%, 4.99%, 07/31/2026 (e) |
| 2,939,689 |
| 2,542,831 |
| |||
Reynolds Group Holdings, Inc., 1st Lien Incremental Term Loan, 1M LIBOR + 2.75%, 3.74%, 02/05/2023 |
| 1,233,393 |
| 1,162,473 |
| |||
Ring Container Technologies Group, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 2.75%, 3.74%, 10/31/2024 (e) |
| 1,470,832 |
| 1,250,207 |
| |||
Tank Holding Corp., 1st Lien Refinancing Term Loan, 1M LIBOR + 3.50%, 4.49%, 03/26/2026 |
| 5,970,527 |
| 5,074,948 |
| |||
|
|
|
| 14,726,034 |
| |||
Energy: Oil & Gas 3.7% |
|
|
|
|
| |||
Birch Permian, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 8.00%, 9.83%, 04/12/2023 (e)(k) |
| 6,981,049 |
| 4,747,113 |
| |||
Blackstone CQP Holding Co., LP, Initial 1st Lien Term Loan, 3M LIBOR + 3.50%, 4.62%, 09/30/2024 |
| 2,493,719 |
| 1,940,113 |
| |||
Cheyenne Petroleum Co., LP, 2nd Lien Term Loan, 3M LIBOR + 8.50%, 10.50%, 01/10/2024 (e)(k) |
| 7,244,000 |
| 5,577,880 |
| |||
Drilling Info Holdings, Inc., 2nd Lien Incremental Term Loan, 1M LIBOR + 8.25%, 9.24%, 07/30/2026 (e)(f)(k) |
| 8,077,000 |
| 7,753,920 |
| |||
|
| Principal Amount |
| Value (a) |
| |||||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| |||||
Energy: Oil & Gas (continued) |
|
|
|
|
| |||||
Penn Virginia Holding Corp., 2nd Lien Term Loan, 1M LIBOR + 7.00%, 8.00%, 09/29/2022 (e)(k) |
| 500,000 |
| 340,000 |
| |||||
Sundance Energy, Inc., 2nd Lien Term Loan, 3M LIBOR + 8.00%, 9.00%, 04/23/2023 (e)(k) |
| $ |
| 1,000,000 |
| $ |
| 730,000 |
| |
Traverse Midstream Partners, LLC, 1st Lien Term Loan, 1M LIBOR + 4.00%, 5.00%, 09/27/2024 |
| 1,516,148 |
| 833,882 |
| |||||
|
|
|
| 21,922,908 |
| |||||
Environmental Industries 1.0% |
|
|
|
|
| |||||
Core & Main, LP, Initial 1st Lien Term Loan, 1M LIBOR + 2.75%, 4.33%, 08/01/2024 (e) |
| 4,055,976 |
| 3,609,819 |
| |||||
Restaurant Technologies, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 3.25%, 4.70%, 10/01/2025 |
| 1,681,674 |
| 1,374,769 |
| |||||
VLS Recovery Services, LLC, 1st Lien 2nd Amendment Incremental Term Loan, 1M LIBOR + 6.00%, 7.58%, 10/17/2023 (e)(f)(k) |
| 731,309 |
| 731,309 |
| |||||
VLS Recovery Services, LLC, 1st Lien Delayed Draw Term Loan, 1M LIBOR + 6.00%, 7.58%, 10/17/2023 (e)(f)(k) |
| 43,802 |
| 43,802 |
| |||||
VLS Recovery Services, LLC, 1st Lien Delayed Draw Term Loan B, 1M LIBOR + 6.00%, 7.58% 10/17/2023 (e)(k) |
| 89,783 |
| 89,783 |
| |||||
VLS Recovery Services, LLC, 1st Lien Delayed Draw Term Loan C, 10/17/2023 (e)(g)(k) |
| 1,070,365 |
| — |
| |||||
VLS Recovery Services, LLC, 1st Lien Revolver, 1M LIBOR + 6.00%, 7.00%, 10/17/2023 (e)(g)(k) |
| 1,000 |
| 970 |
| |||||
VLS Recovery Services, LLC, 1st Lien Term Loan, 1M LIBOR + 6.00%, 7.58%, 10/17/2023 (e)(f)(k) |
| 260,525 |
| 260,525 |
| |||||
|
|
|
| 6,110,977 |
| |||||
Healthcare & Pharmaceuticals 19.5% |
|
|
|
|
| |||||
Athenahealth, Inc., 1st Lien Revolver, 02/12/2024 (e)(g)(k) |
| 232,108 |
| (6,963 | ) | |||||
Athenahealth, Inc., 1st Lien Term Loan B, 3M LIBOR + 4.50%, 5.28%, 02/11/2026 (e)(f)(k) |
| 229,380 |
| 222,499 |
| |||||
Athenahealth, Inc., 2nd Lien Term Loan, 3M LIBOR + 8.50%, 9.50%, 02/11/2027 (e)(f)(k) |
| 2,187,621 |
| 2,121,992 |
| |||||
Auris Luxembourg III SARL, Facility B-2 1st Lien Term Loan, (Luxembourg), 3M LIBOR + 3.75%, 4.74%, 02/27/2026 |
| 1,219,788 |
| 905,693 |
| |||||
Bausch Health Companies Inc., 1st Lien Term Loan B, (Canada), 1M LIBOR + 3.00%, 3.61%, 06/02/2025 |
| 2,796,123 |
| 2,645,831 |
| |||||
Bearcat Buyer, Inc., 1st Lien Incremental Term Loan, 3M LIBOR + 4.25%, 5.70%, 07/09/2026 (e)(f)(k) |
| 830,584 |
| 805,666 |
| |||||
Bearcat Buyer, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.25%, 5.70%, 07/09/2026 (e)(g)(k) |
| 1,014,196 |
| 291,565 |
| |||||
Bearcat Buyer, Inc., 1st Lien Revolver, 1M LIBOR + 4.25%, 4.86%, 07/09/2024 (e)(g)(k) |
| 580,465 |
| 272,818 |
| |||||
Bearcat Buyer, Inc., 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.70%, 07/09/2026 (e)(f)(k) |
| 4,909,284 |
| 4,762,005 |
| |||||
Bearcat Buyer, Inc., 2nd Lien Delayed Draw Term Loan, 3M LIBOR + 8.25%, 9.70%, 07/09/2027 (e)(g)(k) |
| 580,465 |
| 172,689 |
| |||||
Bearcat Buyer, Inc., 2nd Lien Incremental Term Loan, 3M LIBOR + 8.25%, 9.70%, 07/09/2027 (e)(k) |
| 617,308 |
| 604,961 |
| |||||
Bearcat Buyer, Inc., 2nd Lien Term Loan, 3M LIBOR + 8.25%, 9.70%, 07/09/2027 (e)(f)(k) |
| 2,249,302 |
| 2,204,316 |
| |||||
Cambrex Corp., Initial 1st Lien Term Loan, 1M LIBOR + 5.00%, 6.00%, 12/04/2026 (e) |
| 3,491,250 |
| 2,915,194 |
| |||||
CEP V I 5 UK, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain), 02/18/2027 (e)(g)(k) |
| 6,346,154 |
| — |
| |||||
CEP V I 5 UK, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M LIBOR + 7.00%, 8.71%, 02/18/2027 (e)(f)(k) |
| 26,653,846 |
| 26,653,846 |
| |||||
Comprehensive EyeCare Partners, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.50%, 5.95%, 02/14/2024 (e)(g)(k) |
| 419,707 |
| 315,731 |
| |||||
Comprehensive EyeCare Partners, LLC, 1st Lien Revolver, 3M LIBOR + 4.50%, 5.70%, 02/14/2024 (e)(g)(k) |
| 1,000 |
| 855 |
| |||||
Comprehensive EyeCare Partners, LLC, 1st Lien Term Loan, 3M LIBOR + 4.50%, 5.95%, 02/14/2024 (e)(f)(k) |
| 565,350 |
| 531,429 |
| |||||
Convey Health Solutions, Inc., 1st Lien Term Loan, 6M LIBOR + 5.25%, 7.01%, 09/04/2026 (e)(f)(k) |
| 3,143,534 |
| 3,049,228 |
| |||||
CPI Holdco, LLC, 1st Lien Revolver, 3M LIBOR + 4.00%, 5.27%, 11/04/2024 (e)(g)(k) |
| 3,435,381 |
| 3,091,774 |
| |||||
CPI Holdco, LLC, 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.70%, 11/04/2026 (e) |
| 1,193,569 |
| 1,026,469 |
| |||||
CVP Holdco, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 5.75%, 7.34%, 10/31/2025 (e)(g)(k) |
| 2,727,249 |
| 645,026 |
| |||||
CVP Holdco, Inc., 1st Lien Revolver, 1M LIBOR + 5.75%, 6.75%, 10/31/2024 (e)(g)(k) |
| 326,487 |
| 302,001 |
| |||||
CVP Holdco, Inc., 1st Lien Term Loan, 3M LIBOR + 5.75%, 7.34%, 10/31/2025 (e)(f)(k) |
| 3,784,114 |
| 3,557,067 |
| |||||
Emerus Holdings, Inc., 1st Lien Fixed Rate Term Loan, 14.00%, 02/28/2022 (e)(k) |
| 18,512 |
| 18,512 |
| |||||
Envision Healthcare Corp., Initial 1st Lien Term Loan, 1M LIBOR + 3.75%, 4.74%, 10/10/2025 |
| 1,583,571 |
| 799,704 |
| |||||
Evolent Health, LLC, 1st Lien Delayed Draw Term Loan, 12/30/2024 (e)(g)(k) |
| 3,518,192 |
| (316,637 | ) | |||||
Evolent Health, LLC, 1st Lien Term Loan, 3M LIBOR + 8.00%, 9.45%, 12/30/2024 (e)(k) |
| 5,277,288 |
| 4,802,332 |
| |||||
Floss Bidco, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain), 3M GBP LIBOR + 7.25%, 7.85%, 09/07/2026 (e)(g)(k) |
| £ |
| 1,194,102 |
| 321,369 |
| |||
Floss Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 7.75%, 8.35%, 09/07/2026 (e)(f)(k) |
| 805,970 |
| 1,002,506 |
| |||||
Gentiva Health Services, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.25%, 4.25%, 07/02/2025 (e) |
| $ |
| 2,188,081 |
| 2,045,856 |
| |||
Grifols Worldwide Operations USA, Inc., Tranche 1st Lien Term Loan B, 11/15/2027 (h) |
| 55,000 |
| 51,838 |
| |||||
Immucor, Inc., 1st Lien Term Loan B-3, 3M LIBOR + 5.00%, 6.45%, 06/15/2021 |
| 1,593,511 |
| 1,362,452 |
| |||||
|
| Principal Amount |
| Value (a) |
| |||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| |||
Healthcare & Pharmaceuticals (continued) |
|
|
|
|
| |||
Jaguar Holding Co., 1st Lien Term Loan, 08/18/2022 (h) |
| $ | 250,000 |
| $ |
| 237,948 |
|
JDC Healthcare Management, LLC, 1st Lien Term Loan, 3M LIBOR + 7.75%, 8.75%,04/10/2023 (e)(f)(i)(k) |
| 108,015 |
| 86,412 |
| |||
Just Childcare, Ltd., Facility 1st Lien Unitranche Term Loan, (Great Britain), 3M LIBOR + 7.00%, 7.75%, 10/16/2026 (e)(f)(k) |
| £ | 861,006 |
| 1,070,963 |
| ||
Just Childcare, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain), 10/16/2026 (e)(g)(k) |
| 426,945 |
| — |
| |||
Kedleston Schools, Ltd., Facility 1st Lien Term Loan B-2, (Great Britain), 3M GBP LIBOR + 8.00%, 9.00%, 05/30/2024 (e)(f)(k) |
| 1,000,000 |
| 1,243,851 |
| |||
MB2 Dental Solutions, LLC, 1st Lien Revolver, PRIME + 4.00%, 7.25%, 09/29/2023 (e)(g)(k) |
| $ | 1,333 |
| 1,239 |
| ||
MB2 Dental Solutions, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.00%, 6.96%, 09/29/2023 (e)(f)(k) |
| 525,953 |
| 489,136 |
| |||
MB2 Dental Solutions, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.00%, 6.96%, 09/29/2023 (e)(k) |
| 57,682 |
| 53,644 |
| |||
National Mentor Holdings, Inc., Initial 1st Lien Term Loan, 03/09/2026 (h) |
| 2,168,689 |
| 1,930,133 |
| |||
National Mentor Holdings, Inc., Initial 1st Lien Term Loan C, 03/09/2026 (h) |
| 133,897 |
| 119,168 |
| |||
Nelipak European Holdings Co., 1st Lien EUR Revolver, (Netherlands), 1M EURIBOR + 4.50%, 4.50%, 07/02/2024 (e)(g)(k) |
| € | 581,751 |
| 240,601 |
| ||
Nelipak European Holdings Co., 1st Lien Term Loan, (Netherlands), 6M EURIBOR + 4.50%, 4.50%, 07/02/2026 (e)(f)(k) |
| 820,350 |
| 876,626 |
| |||
Nelipak Holding Co., 1st Lien Incremental Term Loan, 1M LIBOR + 4.25%, 5.25%, 07/02/2026 (e)(f)(k) |
| 303,988 |
| 294,868 |
| |||
Nelipak Holding Co., 1st Lien Revolver, 3M LIBOR + 4.25%, 5.25%, 07/02/2024 (e)(k) |
| 604,780 |
| 586,637 |
| |||
Nelipak Holding Co., 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.25%, 07/02/2026 (e)(f)(k) |
| 2,718,689 |
| 2,637,128 |
| |||
Nuehealth Performance, LLC, 1st Lien Incremental Delayed Draw Term Loan, 3M LIBOR + 6.50%, 7.50%, 09/27/2023 (e)(f)(k) |
| $ | 290,559 |
| 281,842 |
| ||
Nuehealth Performance, LLC, 1st Lien Revolver, 09/27/2023 (e)(g)(k) |
| 1,000 |
| (30 | ) | |||
Nuehealth Performance, LLC, 1st Lien Term Loan, 3M LIBOR + 6.50%, 7.50%, 09/27/2023 (e)(f)(k) |
| 1,937,059 |
| 1,878,947 |
| |||
Olympia Acquisition, Inc., 1st Lien Term Loan, 1M LIBOR + 5.50%, 6.50%, 09/24/2026 (e)(f)(k) |
| 2,533,687 |
| 2,356,329 |
| |||
Olympia Acquisition, Inc., 1st Lien Delayed Draw Term Loan, 09/24/2026 (e)(g)(k) |
| 2,425,161 |
| (169,761 | ) | |||
Olympia Acquisition, Inc., 1st Lien Revolver, 3M LIBOR + 5.50%, 6.50%, 09/24/2024 (e)(g)(k) |
| 640,539 |
| 552,998 |
| |||
OMH-HealthEdge Holdings, LLC, 1st Lien Revolver, 10/24/2024 (e)(g)(k) |
| 1,000 |
| (30 | ) | |||
OMH-HealthEdge Holdings, LLC, 1st Lien Term Loan, 3M LIBOR + 5.50%, 6.50%, 10/24/2025 (e)(f)(k) |
| 1,430,790 |
| 1,387,866 |
| |||
Ortho-Clinical Diagnostics, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.25%,4.77%, 06/30/2025 |
| 5,115,973 |
| 4,329,392 |
| |||
PAKNK Netherlands Treasury B.V., 1st Lien Incremental Term Loan, (Netherlands), 1M EURIBOR + 4.50%, 4.50%, 07/02/2026 (e)(f)(k) |
| € | 5,347,984 |
| 5,714,861 |
| ||
PetVet Care Centers, LLC, 1st Lien Delayed Draw Term Loan, 1M LIBOR + 4.25%, 5.24%, 02/14/2025 (e)(f)(k) |
| $ | 3,307,878 |
| 3,076,326 |
| ||
Premise Health Holding Corp., 1st Lien Delayed Draw Term Loan, 07/10/2025 (e)(g)(k) |
| 1,103 |
| (55 | ) | |||
Premise Health Holding Corp., 1st Lien Revolver, 2M LIBOR + 3.25%, 3.98%, 07/10/2023 (e)(g)(k) |
| 1,000 |
| 905 |
| |||
Premise Health Holding Corp., 1st Lien Term Loan, 3M LIBOR + 3.50%, 4.95%, 07/10/2025 (e)(f)(k) |
| 13,689 |
| 13,004 |
| |||
Premise Health Holding Corp., 2nd Lien Term Loan, 3M LIBOR + 7.50%, 8.95%, 07/10/2026 (e)(f)(k) |
| 2,000,000 |
| 1,920,000 |
| |||
Provation Medical, Inc., 1st Lien Last Out Term Loan, 3M LIBOR + 7.00%, 8.85%, 03/08/2024 (e)(f)(k) |
| 982,500 |
| 972,675 |
| |||
RegionalCare Hospital Partners Holdings, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.75%, 4.74%, 11/16/2025 |
| 5,756,654 |
| 5,314,140 |
| |||
RTI Surgical, Inc., 2nd Lien Term Loan, 1M LIBOR + 8.75%, 9.75%, 12/05/2023 (e)(f)(i)(k) |
| 3,174,618 |
| 3,174,618 |
| |||
SCSG EA Acquisition Co., Inc., 1st Lien Revolver, 1M LIBOR + 4.00%, 5.00%, 09/01/2022 (e)(g)(k) |
| 1,000 |
| 212 |
| |||
SCSG EA Acquisition Co., Inc., Initial 1st Lien Term Loan, 2M LIBOR + 3.50%, 5.24%, 09/01/2023 (e)(f)(k) |
| 341,148 |
| 337,736 |
| |||
SiroMed Physician Services, Inc., 1st Lien Revolver, 03/26/2024 (e)(g)(k) |
| 1,000 |
| (40 | ) | |||
SiroMed Physician Services, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 4.75%, 6.20%, 03/26/2024 (e)(f)(k) |
| 976,064 |
| 937,022 |
| |||
Teligent, Inc., 1st Lien Revolver, 3M LIBOR + 3.75%, 4.75%, 06/13/2024 (e)(g)(k) |
| 1,100 |
| 912 |
| |||
Teligent, Inc., 2nd Lien Delayed Draw Term Loan A, 3M LIBOR + 8.75%, 10.20%, 06/13/2024 (e)(i)(k) |
| 690,216 |
| 634,999 |
| |||
Teligent, Inc., 2nd Lien Term Loan, 3M LIBOR + 8.75%, 9.75%, 06/13/2024 (e)(i)(k) |
| 1,208,556 |
| 1,111,872 |
| |||
TerSera Therapeutics, LLC, 1st Lien Term Loan, 3M LIBOR + 5.25%, 6.70%, 03/30/2023 (e)(f)(k) |
| 48,625 |
| 48,625 |
| |||
United Digestive MSO Parent, LLC, 1st Lien Delayed Draw Term Loan, 12/16/2024 (e)(g)(k) |
| 1,022,727 |
| — |
| |||
United Digestive MSO Parent, LLC, 1st Lien Revolver, 3M LIBOR + 4.50%, 5.50%, 12/14/2023 (e)(k) |
| 511,364 |
| 511,364 |
| |||
United Digestive MSO Parent, LLC, 1st Lien Term Loan, 3M LIBOR + 4.50%, 6.28%, 12/16/2024 (e)(f)(k) |
| 1,447,585 |
| 1,447,585 |
| |||
WSHP FC Acquisition, LLC,1st Lien 1st Amendment Delayed Draw Term Loan, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(k) |
| 1,105,556 |
| 1,094,500 |
| |||
WSHP FC Acquisition, LLC, 1st Lien 1st Amendment Term Loan, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(f)(k) |
| 877,778 |
| 869,000 |
| |||
WSHP FC Acquisition, LLC, 1st Lien 2nd Amendment Term Loan, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(f)(k) |
| 558,596 |
| 553,011 |
| |||
WSHP FC Acquisition, LLC, 1st Lien 3rd Amendment Term Loan, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(f)(k) |
| 597,996 |
| 592,016 |
| |||
WSHP FC Acquisition, LLC, 1st Lien Delayed Draw Term Loan, 03/30/2024 (e)(g)(k) |
| 350,877 |
| (3,509 | ) | |||
WSHP FC Acquisition, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(f)(k) |
| 169,675 |
| 167,978 |
| |||
WSHP FC Acquisition, LLC, 1st Lien Revolver, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(g)(k) |
| 88,719 |
| 52,344 |
| |||
WSHP FC Acquisition, LLC, 1st Lien Term Loan, 3M LIBOR + 6.25%, 7.70%, 03/30/2024 (e)(f)(k) |
| 812,290 |
| 804,167 |
| |||
|
|
|
| 117,011,799 |
| |||
High Tech Industries 17.5% |
|
|
|
|
| |||
Almonde, Inc., 1st Lien Term Loan, 3M LIBOR + 3.50%, 5.28%, 06/13/2024 |
| 585,234 |
| 497,449 |
| |||
Anaqua Parent Holdings, Inc., 1st Lien Delayed Draw Term Loan, 04/08/2026 (e)(g)(k) |
| 1,153,846 |
| — |
| |||
Anaqua Parent Holdings, Inc., 1st Lien EUR Facility Term Note B, 3M EURIBOR + 5.50%, 5.50%, 04/10/2026 (e)(k) |
| € | 678,833 |
| 747,837 |
| ||
Anaqua Parent Holdings, Inc., 1st Lien Revolver, 3M LIBOR + 5.25%, 6.25%, 10/08/2025 (e)(g)(k) |
| $ | 230,769 |
| 76,923 |
| ||
|
| Principal Amount |
| Value (a) |
| |||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| |||
High Tech Industries (continued) |
|
|
|
|
| |||
Anaqua Parent Holdings, Inc., Facility 1st Lien Term Loan B, 6M LIBOR + 5.25%, 7.08%,04/08/2026 (e)(f)(k) |
| $ | 1,832,308 |
| $ | 1,832,308 |
| |
Applied Systems, Inc., 2nd Lien Term Loan, 3M LIBOR + 7.00%, 8.45%, 09/19/2025 |
| 1,000,000 |
| 901,430 |
| |||
Applied Systems, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 3.25%, 4.70%, 09/19/2024 |
| 1,945,943 |
| 1,787,017 |
| |||
Atlanta Bidco, Ltd., EUR Facility 1st Lien Term Loan A, (Great Britain), 6M EURIBOR + 7.00%, 7.75%, 08/23/2024 (e)(f)(k) |
| € | 1,000,000 |
| 1,079,617 |
| ||
Cority Software Inc., 1st Lien Revolver, (Canada), 07/02/2025 (e)(g)(k) |
| $ | 230,579 |
| (6,917 | ) | ||
Cority Software Inc., 1st Lien Term Loan, (Canada), 3M LIBOR + 5.75%, 7.66%, 07/02/2026 (e)(f)(k) |
| 1,759,074 |
| 1,706,302 |
| |||
Creation Holdings, Inc., 1st Lien Term Loan, 1M LIBOR + 5.75%, 6.75%, 08/15/2025 (e)(f)(k) |
| 2,384,423 |
| 2,289,046 |
| |||
Creation Holdings, Inc., 1st Lien Delayed Draw Term Loan, 08/15/2025 (e)(g)(k) |
| 449,326 |
| (17,973 | ) | |||
Creation Holdings, Inc., 1st Lien Revolver, 1M LIBOR + 5.75%, 6.75%, 08/15/2024 (e)(g)(k) |
| 544,813 |
| 341,416 |
| |||
Cvent, Inc., 1st Lien Term Loan, 1M LIBOR + 3.75%, 4.74%, 11/29/2024 |
| 2,636,175 |
| 1,862,906 |
| |||
Datix Bidco, Ltd., 1st Lien Term Loan B-3, (Great Britain), 6M LIBOR + 4.50%, 6.43%, 04/28/2025 (e)(f)(k) |
| 1,384,627 |
| 1,343,088 |
| |||
Datix Bidco, Ltd., Additional Facility 1st Lien Term Loan, (Great Britain), 3M LIBOR + 4.50%, 6.43%, 04/28/2025 (e)(f)(k) |
| 466,003 |
| 452,023 |
| |||
Datix Bidco, Ltd., Facility 1st Lien Term Loan B-1, (Great Britain), 6M LIBOR + 4.50%, 6.43%, 04/28/2025 (e)(f)(k) |
| 1,000,000 |
| 970,000 |
| |||
Doxim, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 6.00%, 7.00%, 02/28/2024 (e)(k) |
| 327,399 |
| 320,851 |
| |||
Doxim, Inc., 1st Lien Term Loan, 3M LIBOR + 6.00%, 7.94%, 02/28/2024 (e)(f)(k) |
| 714,286 |
| 700,000 |
| |||
DRB Holdings, LLC, 1st Lien Revolver, 10/06/2023 (e)(g)(k) |
| 1,000 |
| (30 | ) | |||
DRB Holdings, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.75%, 7.67%, 10/06/2023 (e)(f)(k) |
| 489,020 |
| 474,349 |
| |||
Elemica Parent, Inc., 1st Lien Delayed Draw Term Loan, 09/18/2025 (e)(g)(k) |
| 561,538 |
| (16,846 | ) | |||
Elemica Parent, Inc., 1st Lien Revolver, 3M LIBOR + 5.50%, 6.73%, 09/18/2025 (e)(g)(k) |
| 478,712 |
| 336,296 |
| |||
Elemica Parent, Inc., 1st Lien Term Loan, 3M LIBOR + 5.50%, 6.39%, 09/18/2025 (e)(k) |
| 2,886,773 |
| 2,800,170 |
| |||
Ellie Mae, Inc., 1st Lien Term Loan, 3M LIBOR + 3.75%, 5.20%, 04/17/2026 |
| 1,257,315 |
| 1,095,435 |
| |||
eResearch Technology, Inc., 2nd Lien Delayed Draw Term Loan, 02/04/2028 (e)(g)(k) |
| 1,343,232 |
| (53,729 | ) | |||
eResearch Technology, Inc., Initial 2nd Lien Term Loan, 2M LIBOR + 8.00%, 9.45%, 02/04/2028 (e)(f)(k) |
| 5,305,768 |
| 5,093,537 |
| |||
Frontline Technologies Intermediate Holdings, LLC, 1st Lien Delayed Draw Term Loan, 1M LIBOR + 5.75%, 6.75%, 09/18/2023 (e)(k) |
| 56,864 |
| 56,295 |
| |||
Frontline Technologies Intermediate Holdings, LLC, 1st Lien Term Loan, 1M LIBOR + 5.75%, 6.75%, 09/18/2023 (e)(f)(k) |
| 462,303 |
| 457,680 |
| |||
GlobalFoundries, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 4.75%, 6.25%, 06/05/2026 (e) |
| 1,994,975 |
| 1,695,729 |
| |||
GraphPAD Software, LLC, 1st Lien Revolver, 12/21/2023 (e)(g)(k) |
| 1,000 |
| — |
| |||
GraphPAD Software, LLC, 1st Lien Term Loan, 3M LIBOR + 6.00%, 7.45%, 12/21/2023 (e)(f)(k) |
| 1,594,933 |
| 1,594,933 |
| |||
Greeneden U.S. Holdings I, LLC, 1st Lien Term Loan B, 1M LIBOR + 3.25%, 4.24%, 12/01/2023 |
| 786,474 |
| 731,421 |
| |||
Huskies Parent, Inc., 1st Lien Closing Date Term Loan, 3M LIBOR + 4.00%, 5.78, 07/31/2026 (e) |
| 2,735,745 |
| 2,380,098 |
| |||
Idera, Inc., Initial 1st Lien Term Loan, 6M LIBOR + 4.00%, 5.08%, 06/28/2024 |
| 2,585,127 |
| 2,216,746 |
| |||
Infoblox, Inc., 1st Lien Term Loan, 11/07/2023 (h) |
| 2,355,178 |
| 2,037,229 |
| |||
Informatica, LLC, 1st Lien Term Loan, 1M LIBOR + 3.25%, 4.24%, 02/25/2027 |
| 971,910 |
| 837,466 |
| |||
Informatica, LLC, Initial 2nd Lien Term Loan, 7.13%, 02/25/2025 (e) |
| 1,411,898 |
| 1,242,470 |
| |||
Invoice Cloud, Inc., 1st Lien Delayed Draw Term Loan, 3M LIBOR + 6.50%, 7.95%, 02/11/2024 (e)(g)(k) |
| 1,191,489 |
| 755,745 |
| |||
Invoice Cloud, Inc., 1st Lien Revolver, 02/11/2024 (e)(g)(k) |
| 255,319 |
| (7,659 | ) | |||
Invoice Cloud, Inc., 1st Lien Term Loan, 3M LIBOR + 6.50%, 8.21%, 02/11/2024 (e)(i)(k) |
| 2,638,841 |
| 2,559,675 |
| |||
IQS, Inc., 1st Lien Incremental Term Loan, 3M LIBOR + 5.75%, 7.56%, 07/02/2026 (e)(f)(k) |
| 1,107,565 |
| 1,074,338 |
| |||
IQS, Inc., 1st Lien Incremental Term Loan, 3M LIBOR + 5.75%, 7.66%, 07/02/2026 (e)(f)(k) |
| 547,267 |
| 530,849 |
| |||
Ishtar Bidco Norway AS, Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 7.25%, 8.00%, 11/26/2025 (e)(f)(k) |
| £ | 1,000,000 |
| 1,243,851 |
| ||
MH Sub I, LLC, Initial 1st Lien Term Loan, 6M LIBOR + 3.75%, 4.82%, 09/13/2024 |
| $ | 4,556,331 |
| 3,831,874 |
| ||
Micromeritics Instrument Corp., 1st Lien Revolver, 3M LIBOR + 5.00%, 6.07%, 12/18/2025 (e)(g)(k) |
| 331,039 |
| 303,452 |
| |||
Micrometrics Instrument Corp., 1st Lien Term Loan, 3M LIBOR + 5.00%, 6.07%, 12/18/2025 (e)(f)(k) |
| 2,632,466 |
| 2,500,843 |
| |||
Mitchell International, Inc., Initial 1st Lien Term Loan, 11/29/2024 (h) |
| 4,585,556 |
| 3,790,741 |
| |||
MRI Software, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 5.50%, 5.50%, 02/10/2026 (e)(g)(k) |
| 1,007,317 |
| (40,293 | ) | |||
MRI Software, LLC, 1st Lien Revolver, 3M LIBOR + 5.50%, 6.57%, 02/10/2026 (e)(g)(k) |
| 507,673 |
| 233,530 |
| |||
MRI Software, LLC, Tranche 1st Lien Term Loan B, 3M LIBOR + 5.50%, 6.57%, 02/10/2026 (e)(f)(k) |
| 5,537,005 |
| 5,315,524 |
| |||
MRI Software, LLC, Tranche 1st Lien Term Loan B, 3M LIBOR + 5.50%, 6.57%, 02/10/2026 (e)(k) |
| 256,425 |
| 246,168 |
| |||
Oakley Ekomid, Ltd., CAR Facility 1st Lien Term Loan, (Great Britain), 06/23/2025 (e)(g)(k) |
| € |
| 750,000 |
| — |
| |
Oakley Ekomid, Ltd., Unitranche Facility 1st Lien Term Loan, (Great Britain), 6M EURIBOR + 6.25%, 6.50%, 06/23/2025 (e)(k) |
| 750,000 |
| 826,238 |
| |||
PDI TA Holdings, Inc., 1st Lien Revolver, 3M LIBOR + 4.50%, 5.50%, 10/24/2024 (e)(k) |
| $ |
| 205,023 |
| 196,822 |
| |
PDI TA Holdings, Inc., 2nd Lien Term Loan, 3M LIBOR + 8.50%, 9.50%, 10/24/2025 (e)(k) |
| 1,106,612 |
| 1,051,281 |
| |||
|
| Principal Amount |
| Value (a) |
| |||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| |||
High Tech Industries (continued) |
|
|
|
|
| |||
PDI TA Holdings, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 4.50%, 5.55%, 10/24/2024 (e)(f)(k) |
| $ | 2,407,765 |
| $ | 2,311,455 |
| |
Perforce Software, Inc., 1st Lien Term Loan, 07/01/2026 (h) |
| 1,465,296 |
| 1,221,075 |
| |||
Project Boost Purchaser, LLC, 1st Lien Term Loan, 1M LIBOR + 3.50%, 4.49%, 06/01/2026 |
| 4,324,471 |
| 3,560,466 |
| |||
QF Holdings, Inc., 1st Lien Delayed Draw Term Loan, 09/19/2024 (e)(g)(k) |
| 262,533 |
| (7,877 | ) | |||
QF Holdings, Inc., 1st Lien Revolver, 3M LIBOR + 7.00%, 8.20%, 09/19/2024 (e)(g)(k) |
| 1,000 |
| 637 |
| |||
QF Holdings, Inc., 1st Lien Term Loan, 3M LIBOR + 7.00%, 8.00%, 09/19/2024 (e)(k) |
| 1,312,663 |
| 1,273,283 |
| |||
Raptor Technologies, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 6.00%, 7.45%, 12/17/2024 (e)(g)(k) |
| 1,029,174 |
| 605,425 |
| |||
Raptor Technologies, LLC, 1st Lien Revolver, 1M LIBOR + 6.00%, 7.00%, 12/17/2023 (e)(k) |
| 1,000 |
| 1,000 |
| |||
Raptor Technologies, LLC, 1st Lien Term Loan, 3M LIBOR + 6.00%, 7.54%, 12/17/2024 (e)(f)(k) |
| 1,940,301 |
| 1,843,286 |
| |||
Sophia, LP, 1st Lien Term Loan B, 09/30/2022 (h) |
| 495,000 |
| 469,012 |
| |||
SpareFoot, LLC, 1st Lien Bader Incremental Term Loan, 3M LIBOR + 4.25%, 5.32%, 04/13/2024 (e)(f)(k) |
| 97,395 |
| 96,421 |
| |||
SpareFoot, LLC, 1st Lien SBOA Incremental Term Loan, 3M LIBOR + 4.25%, 5.32%, 04/13/2024 (e)(f)(k) |
| 101,127 |
| 100,115 |
| |||
SpareFoot, LLC, 2nd Lien Term Loan, 3M LIBOR + 8.25%, 9.32%, 04/13/2025 (e)(f)(k) |
| 285,429 |
| 282,574 |
| |||
SpareFoot, LLC, 1st Lien Incremental Term Loan, 6M LIBOR + 4.25%, 5.32%, 04/13/2024 (e)(f)(k) |
| 133,885 |
| 132,546 |
| |||
SpareFoot, LLC, 1st Lien Incremental Term Loan, 3M LIBOR + 4.25%, 5.32%, 04/13/2024 (e)(k) |
| 74,300 |
| 73,557 |
| |||
SpareFoot, LLC, 1st Lien Revolver, 6M LIBOR + 4.25%, 5.32%, 04/13/2023 (e)(g)(k) |
| 1,000 |
| 819 |
| |||
SpareFoot, LLC, 1st Lien StorSmart Incremental Term Loan, 3M LIBOR + 4.25%, 5.32%, 04/13/2024 (e)(f)(k) |
| 194,790 |
| 192,842 |
| |||
SpareFoot, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.32%, 04/13/2024 (e)(f)(k) |
| 702,868 |
| 695,839 |
| |||
SpareFoot, LLC, 2nd Lien Bader Incremental Term Loan, 3M LIBOR + 8.25%, 10.31%, 04/13/2025 (e)(f)(k) |
| 59,527 |
| 58,932 |
| |||
SpareFoot, LLC, 2nd Lien Incremental Term Loan, 3M LIBOR + 8.25%, 9.32%, 04/13/2025 (e)(f)(k) |
| 195,750 |
| 193,792 |
| |||
SpareFoot, LLC, 2nd Lien StorSmart Incremental Term Loan, 3M LIBOR + 8.25%, 10.31%, 04/13/2025 (e)(f)(k) |
| 119,054 |
| 117,864 |
| |||
Sunk Rock Foundry Partners, LP, 1st Lien Term Loan A-1, 3M LIBOR + 4.75%, 5.83%, 10/31/2023 (e)(f)(k) |
| 226,608 |
| 215,278 |
| |||
Surf Holdings, LLC, 2nd Lien Term Loan, 3M LIBOR + 8.00%, 9.00%, 03/06/2028 (e)(f)(k) |
| 6,649,000 |
| 6,649,000 |
| |||
TGG TS Acquisition Co., 1st Lien Term Loan B, 1M LIBOR + 6.50%, 7.42%, 12/14/2025 (e) |
| 197,156 |
| 159,696 |
| |||
TIBCO Software, Inc., 1st Lien Term Loan B-3, 1M LIBOR + 3.75%, 4.74%, 06/30/2026 (e) |
| 4,325,668 |
| 4,066,128 |
| |||
TIBCO Software, Inc., 2nd Lien Term Loan, 1M LIBOR + 7.25%, 8.24%, 03/03/2028 (e) |
| 1,209,817 |
| 1,125,130 |
| |||
TimeClock Plus, LLC, 1st Lien Term Loan, 2M LIBOR + 5.25%, 6.71%, 08/28/2026 (e)(f)(k) |
| 2,364,930 |
| 2,341,281 |
| |||
TimeClock Plus, LLC, 1st Lien Delayed Draw Term Loan, 08/28/2026 (e)(g)(k) |
| 495,170 |
| (4,952 | ) | |||
TimeClock Plus, LLC, 1st Lien Revolver, 2M LIBOR + 5.25%, 6.51%, 08/29/2025 (e)(k) |
| 458,311 |
| 453,728 |
| |||
Ultimate Software Group, Inc. (The), 1st Lien Revolver, 1M LIBOR + 3.50%, 4.45%, 05/03/2024 (e)(g)(k) |
| 1,000 |
| 861 |
| |||
Ultimate Software Group, Inc. (The), 2nd Lien Term Loan, 1M LIBOR + 8.00%, 8.99%, 05/03/2027 (e)(f)(k) |
| 3,000,000 |
| 2,910,000 |
| |||
Visolit Finco A/S, 1st Lien Committed Accordion Term Loan, (Norway), 1.75%, 07/02/2026 (e)(g)(k) |
| NOK | 11,180,680 |
| — |
| ||
Visolit Finco A/S, NOK Facility 1st Lien Term Loan B-1, (Norway), 6M NIBOR + 6.00%, 7.86%, 07/02/2026 (e)(i)(k) |
| 33,795,887 |
| 3,246,311 |
| |||
Visual Edge Technology, Inc., 1st Lien Delayed Draw Term Loan, 1M LIBOR + 7.00%, 8.61%, 08/31/2022 (e)(f)(i)(k) |
| $ | 1,971,519 |
| 1,872,943 |
| ||
Visual Edge Technology, Inc., 1st Lien Term Loan, 3M LIBOR + 7.00%, 8.61%, 08/31/2022 (e)(f)(i)(k) |
| 160,696 |
| 152,661 |
| |||
WebPT, Inc., 1st Lien Delayed Draw Term Loan, 08/28/2024 (e)(g)(k) |
| 255,205 |
| (7,656 | ) | |||
WebPT, Inc., 1st Lien Revolver, 3M LIBOR + 6.75%, 7.95%, 08/28/2024 (e)(k) |
| 216,015 |
| 209,535 |
| |||
WebPT, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 6.75%, 8.36%, 08/28/2024 (e)(k) |
| 2,041,641 |
| 1,980,392 |
| |||
Wildcat Buyerco, Inc., 1st Lien Delayed Draw Term Loan, 02/27/2026 (e)(g)(k) |
| 1,080,793 |
| (43,232 | ) | |||
Wildcat Buyerco, Inc., 1st Lien Revolver, 02/27/2026 (e)(g)(k) |
| 255,015 |
| (10,201 | ) | |||
Wildcat Buyerco, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 7.14%, 02/27/2026 (e)(f)(k) |
| 2,063,332 |
| 1,980,799 |
| |||
|
|
|
| 104,796,316 |
| |||
Hotel, Gaming & Leisure 4.2% |
|
|
|
|
| |||
Aimbridge Acquisition Co., Inc., Initial 2nd Lien Term Loan, 1M LIBOR + 7.50%, 9.08%, 02/01/2027 (e)(f)(k) |
| 4,788,079 |
| 4,309,271 |
| |||
Caesars Resort Collection, LLC, 1st Lien Term Loan B, 1M LIBOR + 2.75%, 3.74%, 12/23/2024 |
| 2,817,195 |
| 2,265,024 |
| |||
Canopy Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 7.25%, 7.92%, 12/18/2024 (e)(f)(k) |
| £ | 500,000 |
| 621,925 |
| ||
Canopy Bidco, Ltd., Senior Capex Facility 1st Lien Term Loan, (Great Britain), 3M GBP LIBOR + 7.25%, 7.92%, 12/18/2024 (e)(f)(g)(k) |
| 500,000 |
| 160,513 |
| |||
Concert Golf Partners Holdco, LLC, 1st Lien Delayed Draw Term Loan, 2M LIBOR + 4.50%, 6.26%, 08/20/2025 (e)(g)(k) |
| $ | 573,782 |
| 126,232 |
| ||
Concert Golf Partners Holdco, LLC, 1st Lien Revolver, 3M LIBOR + 4.50%, 5.95%, 08/20/2025 (e)(g)(k) |
| 764,512 |
| 183,483 |
| |||
Concert Golf Partners Holdco, LLC, 1st Lien Term Loan, 3M LIBOR + 4.50%, 5.95%, 08/20/2025 (e)(f)(k) |
| 3,425,481 |
| 3,322,717 |
| |||
Equinox Holdings, Inc., 1st Lien Term Loan B-1, 6M LIBOR + 3.00%, 4.07%, 03/08/2024 |
| 2,619,637 |
| 1,900,887 |
| |||
Equinox Holdings, Inc., Initial 2nd Lien Term Loan, 6M LIBOR + 7.00%,8.07%, 09/06/2024 (h) |
| 3,736,111 |
| 2,559,236 |
| |||
EuroParcs (Top) Holding B.V., Acquisition Facility 1st Lien Term Loan, (Netherlands), 3M EURIBOR + 6.50%, 6.50%, 07/03/2026 (e)(k) |
| € | 312,500 |
| 344,266 |
| ||
EuroParcs (Top) Holding B.V., EUR Facility 1st Lien Term Loan B, (Netherlands), 3M EURIBOR+ 6.50%, 6.50%, 07/03/2026 (e)(k) |
| 2,187,500 |
| 2,409,860 |
| |||
Golden Nugget, Inc., Initial 1st Lien Term Loan B, 3M LIBOR + 2.50%, 3.49%, 10/04/2023 |
| $ | 3,688,082 |
| 2,858,264 |
| ||
Life Time Fitness, Inc., 1st Lien Refinancing Term Loan B, 2M LIBOR + 2.75%, 4.36%, 06/10/2022 |
| 487,500 |
| 357,703 |
| |||
|
| Principal Amount |
| Value (a) |
| ||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| ||
Hotel, Gaming & Leisure (continued) |
|
|
|
|
| ||
Scientific Games International, Inc., 1st Lien Term Loan B-5, 1M LIBOR + 2.75%, 4.37%, 08/14/2024 |
| $ | 1,003,748 |
| $ | 806,341 |
|
UFC Holdings, LLC, 1st Lien Term Loan, 1M LIBOR + 3.25%, 4.25%, 04/29/2026 |
| 3,700,150 |
| 3,219,131 |
| ||
|
|
|
| 25,444,853 |
| ||
Media: Advertising, Printing & Publishing 1.0% |
|
|
|
|
| ||
Merrill Communications, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 5.00%, 6.91%, 10/05/2026 (e) |
| 1,492,500 |
| 1,313,400 |
| ||
Red Ventures, LLC, 1st Lien Term Loan B-2, 1M LIBOR + 2.50%, 3.49%, 11/08/2024 |
| 3,989,873 |
| 3,298,309 |
| ||
Terrier Media Buyer, Inc., 1st Lien Term Loan B, 3M LIBOR + 4.25%, 5.70%, 12/17/2026 |
| 1,671,070 |
| 1,474,719 |
| ||
|
|
|
| 6,086,428 |
| ||
Media: Broadcasting & Subscription 2.6% |
|
|
|
|
| ||
Charter Communications Operating, LLC, 1st Lien Term Loan B-2, 1M LIBOR + 1.75%, 2.74%, 02/01/2027 |
| 1,000,000 |
| 955,830 |
| ||
Commify, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 6M LIBOR + 7.50%, 7.75%, 09/14/2026 (e)(f)(k) |
| € | 2,739,130 |
| 3,017,564 |
| |
Commify, Ltd., 1st Lien Acquisition Term Loan, (Great Britain), 09/14/2026 (e)(g)(k) |
| 760,870 |
| — |
| ||
Diamond Sports Group, LLC, 1st Lien Term Loan, 1M LIBOR + 3.25%, 4.18%, 08/24/2026 (e) |
| $ | 1,230,556 |
| 947,528 |
| |
iHeartCommunications, Inc., 1st Lien Term Loan, 1M LIBOR + 3.00%, 3.99%, 05/01/2026 |
| 3,990,000 |
| 3,341,625 |
| ||
Nexstar Broadcasting, Inc., 1st Lien Term Loan B-4, 1M LIBOR + 2.75%, 4.33%, 09/18/2026 |
| 1,369,833 |
| 1,269,835 |
| ||
Production Resource Group, LLC, 1st Lien Term Loan, 3M LIBOR + 7.00%, 8.20%, 08/21/2024 (e)(f)(j)(k) |
| 2,000,000 |
| 1,400,000 |
| ||
Sinclair Television Group, Inc., Tranche 1st Lien Term Loan B-2, 1M LIBOR + 2.50%, 3.21%, 09/30/2026 |
| 1,221,358 |
| 1,148,077 |
| ||
Telesat Canada, 1st Lien Term Loan B-5, (Canada), 1M LIBOR + 2.75%, 3.74%, 12/07/2026 |
| 3,578,553 |
| 3,399,625 |
| ||
Virgin Media Bristol, LLC, Facility 1st Lien Term Loan, 1M LIBOR + 2.50%,3.20%, 01/31/2028 (h) |
| 463,604 |
| 438,106 |
| ||
|
|
|
| 15,918,190 |
| ||
Media: Diversified & Production 0.8% |
|
|
|
|
| ||
Cast and Crew Payroll, LLC, 1st Lien Incremental Term Loan B, 02/09/2026 (e)(h) |
| 480,000 |
| 369,600 |
| ||
Cast and Crew Payroll, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 3.75%,4.74%, 02/09/2026 |
| 4,352,176 |
| 3,394,698 |
| ||
Sapphire Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M GBP LIBOR + 6.00%, 7.00%, 03/15/2023 (e)(f)(k) |
| £ | 833,333 |
| 1,036,542 |
| |
|
|
|
| 4,800,840 |
| ||
Retail 0.9% |
|
|
|
|
| ||
Bass Pro Group, LLC, 1st Lien Term Loan B, 1M LIBOR + 5.00%, 6.07% 09/25/2024 (h) |
| $ | 1,248,082 |
| 1,042,148 |
| |
FWR Holding Corp., Initial 1st Lien Delayed Draw Term Loan 4, 3M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(k) |
| 42,701 |
| 40,139 |
| ||
FWR Holding Corp., 1st Lien 2nd Amendment Delayed Draw Term Loan, 1M LIBOR + 5.50%, 6.50%, 08/21/2023 (e)(g)(k) |
| 114,125 |
| 106,137 |
| ||
FWR Holding Corp., 1st Lien New Delayed Draw Term Loan, 1M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(k) |
| 32,106 |
| 30,180 |
| ||
FWR Holding Corp., Initial 1st Lien Delayed Draw Term Loan 1, 3M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(f)(k) |
| 385 |
| 362 |
| ||
FWR Holding Corp., Initial 1st Lien Delayed Draw Term Loan 2, 3M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(k) |
| 606 |
| 570 |
| ||
FWR Holding Corp., Initial 1st Lien Delayed Draw Term Loan 3, 3M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(k) |
| 31,945 |
| 30,029 |
| ||
FWR Holding Corp., Initial 1st Lien Revolver, 1M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(g)(k) |
| 1,000 |
| 615 |
| ||
FWR Holding Corp., Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 6.77%, 08/21/2023 (e)(f)(k) |
| 341,250 |
| 320,775 |
| ||
Mister Car Wash Holdings, Inc., 1st Lien Delayed Draw Term Loan 1M LIBOR + 3.25%, 3.86% 05/14/2026 (g)(h) |
| 106,721 |
| 87,455 |
| ||
Mister Car Wash Holdings, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 3.25%, 3.86% 05/14/2026 (h) |
| 4,315,174 |
| 3,541,506 |
| ||
Staples, Inc., 1st Lien Term Loan, 04/16/2026 (h) |
| 3,479 |
| 2,731 |
| ||
|
|
|
| 5,202,647 |
| ||
Services: Business 10.5% |
|
|
|
|
| ||
Alpha Luxco 2 SARL, Facility 1st Lien Term Loan B, (Luxembourg), 3M EURIBOR + 5.00%, 5.50%, 01/09/2025 (e)(f)(k) |
| € | 1,000,000 |
| 1,101,650 |
| |
AMCP Clean Intermediate, LLC, 1st Lien 2nd Incremental Term Loan, 3M LIBOR + 5.50%, 7.24%, 10/01/2024 (e)(f)(k) |
| $ | 180,621 |
| 175,203 |
| |
AMCP Clean Intermediate, LLC, 1st Lien 3rd Incremental Term Loan, 3M LIBOR + 5.50%,, 7.32%, 10/01/2024 (e)(f)(k) |
| 135,389 |
| 131,327 |
| ||
AMCP Clean Intermediate, LLC, 1st Lien Incremental Term Loan, 3M LIBOR + 5.50%, 6.57%, 10/01/2024 (e)(k) |
| 451,089 |
| 437,556 |
| ||
AMCP Clean Intermediate, LLC, 1st Lien Revolver, 3M LIBOR + 5.50%, 6.50%, 10/01/2024 (e)(g)(k) |
| 1,100 |
| 548 |
| ||
|
| Principal Amount |
| Value (a) |
| ||||||||||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| ||||||||||
Services: Business (continued) |
|
|
|
|
| ||||||||||
AMCP Clean Intermediate, LLC, 1st Lien Term Loan, 1M LIBOR + 5.50%, 6.57%, 10/01/2024 (e)(f)(k) |
| $ | 1,969,127 |
| $ | 1,910,054 |
| ||||||||
AVSC Holding Corp., 1st Lien Incremental Term Loan, 3M LIBOR + 4.50%, 6.20%, 10/15/2026 (e) |
| 3,500,000 |
| 2,100,000 |
| ||||||||||
AVSC Holding Corp., 1st Lien Term Loan, 3M LIBOR + 3.25%, 4.95%, 03/03/2025 |
| 2,599,429 |
| 1,624,643 |
| ||||||||||
Capnor Connery Bidco APS, EUR Facility 1st Lien Term Loan B, (Denmark), 3M EURIBOR + 7.63%, 7.63%, 04/30/2026 (e)(f)(k) |
| €$ | 2,954,439 |
| $ | 3,254,759 |
| ||||||||
Capnor Connery Bidco APS, Facility 1st Lien Term Loan B, (Denmark), 3M CIBOR + 7.63%, 7.63%, 04/30/2026 (e)(f)(k) |
| DKK | 12,809,677 |
| 1,890,504 |
| |||||||||
Capnor Connery Bidco APS, Facility 1st Lien Term Loan D, (Denmark), 3M EURIBOR + 7.63%, 7.63%, 04/30/2026 (e)(f)(g)(k) |
| 45,967,742 |
| 598,171 |
| ||||||||||
Capnor Connery Bidco APS, NOK Facility 1st Lien Term Loan B, (Denmark), 3M NIBOR + 7.63%, 9.43%, 04/30/2026 (e)(f)(k) |
| NOK | 2,551,246 |
| 245,064 |
| |||||||||
Capnor Connery Bidco APS, SEK Facility 1st Lien Term Loan B, (Denmark), 1M STIBOR + 7.63%, 7.82%, 04/30/2026 (e)(f)(k) |
| SEK | 4,209,615 |
| 424,108 |
| |||||||||
Conscia Nederland B.V., Facility 1st Lien Term Loan B, (Denmark), 1M NIBOR + 7.63%, 7.63%, 04/30/2026 (e)(f)(k) |
| DKK | 9,254,839 |
| 1,365,867 |
| |||||||||
Dun & Bradstreet Corp., Initial 1st Lien Term Loan, 1M LIBOR + 4.00%, 4.96%, 02/06/2026 (h) |
| 5,830,349 |
| 5,225,451 |
| ||||||||||
IQVIA, Inc., 1st Lien Term Loan B-2, 1M LIBOR + 1.75%, 2.74% 01/17/2025 |
| $ | 294,884 |
| 265,888 |
| |||||||||
IRI Holdings, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 4.50%, 6.11%,12/01/2025 (e)(f)(k) |
| 1,509,048 |
| 1,418,505 |
| ||||||||||
IRI Holdings, Inc., Initial 2nd Lien Term Loan, 3M LIBOR + 8.00%, 9.61%, 11/30/2026 (e)(f)(k) |
| 1,471,850 |
| 1,368,820 |
| ||||||||||
Kellermeyer Bergensons Services, LLC, 1st Lien Delayed Draw Term Loan, 11/07/2026 (e)(g)(k) |
| 540,079 |
| (21,604 | ) | ||||||||||
Kellermeyer Bergensons Services, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 6.50%, 8.33%,11/07/2026 (e)(k) |
| 395,067 |
| 379,265 |
| ||||||||||
Kellermeyer Bergensons Services, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 6.50%, 8.24%, 11/07/2026 (e)(f)(k) |
| 1,800,262 |
| 1,728,251 |
| ||||||||||
Lavatio Midco SARL, Acqusition Facility 1st Lien Term Loan, (Luxembourg), 6M EURIBOR + 7.00%, 7.25%, 11/30/2026 (e)(g)(k) |
| € | 973,913 |
| 665,972 |
| |||||||||
Lavatio Midco SARL, Facility 1st Lien Term Loan B, (Luxembourg), 6M EURIBOR + 7.00%, 7.25%, 11/30/2026 (e)(f)(k) |
| 782,609 |
| 862,161 |
| ||||||||||
Lineage Logistics, LLC, 1st Lien Term Loan, 6M LIBOR + 3.00%, 4.00%, 02/27/2025 |
| $ | 3,509,085 |
| 3,324,858 |
| |||||||||
MPLC Debtco Ltd., GBP Tranche Facility 1st Lien Term Loan B, (Great Britain), 6M GBP LIBOR + 7.25%, 8.05%, 01/07/2027 (e)(f)(k) |
| £ | 1,051,604 |
| 1,308,038 |
| |||||||||
MPLC Debtco Ltd., Tranche Facility 1st Lien Term Loan B, (Great Britain), 6M LIBOR + 7.25%, 9.12%, 01/07/2027 (e)(f)(k) |
| $ | 2,100,000 |
| 2,100,000 |
| |||||||||
P27 Bidco, Ltd., Capex Facility 1st Lien Term Loan, (Great Britain), 6M GBP LIBOR + 6.75%, 7.50%, 07/31/2026 (e)(g)(k) |
| £ | 325,380 | �� | 68,803 |
| |||||||||
P27 Bidco, Ltd., Facility 1st Lien Term Loan B-1, (Great Britain), 6M GBP LIBOR + 6.75%, 7.57%, 07/31/2026 (e)(k) |
| 1,705,510 |
| 2,057,758 |
| ||||||||||
P27 Bidco, Ltd., Facility 1st Lien Term Loan B-2, (Great Britain), 6M LIBOR + 6.75%, 8.53%, 07/31/2026 (e)(k) |
| $ | 609,527 |
| 591,241 |
| |||||||||
Packers Holdings, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 3.25%, 4.25%, 12/04/2024 |
| 2,346,082 |
| 1,964,844 |
| ||||||||||
Petroleum Service Group, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 5.25%, 6.45%, 07/23/2025 (e)(g)(k) |
| 1,314,230 |
| 55,855 |
| ||||||||||
Petroleum Service Group, LLC, 1st Lien Revolver, 3M LIBOR + 5.25%, 6.48%, 07/23/2025 (e)(g)(k) |
| 2,105,660 |
| 1,917,156 |
| ||||||||||
Petroleum Service Group, LLC, 1st Lien Term Loan, 3M LIBOR + 5.25%, 7.06%, 07/23/2025 (e)(f)(k) |
| 5,768,157 |
| 5,537,431 |
| ||||||||||
Project Accelerate Parent, LLC, 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.25%,, 01/02/2025 (e) |
| 3,749,424 |
| 2,812,068 |
| ||||||||||
Project Farm Bidco 2016, Ltd., Acquisition Capex Facility 1st Lien Term Loan, (Great Britain), 3M LIBOR + 6.25%, 7.32%, 06/26/2026 (e)(k) |
| 93,750 |
| 93,750 |
| ||||||||||
Project Farm Bidco 2016, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 1M LIBOR + 6.25%, 7.32%, 06/26/2026 (e)(k) |
| 1,406,250 |
| 1,406,250 |
| ||||||||||
Puerto Rico Waste Investment, LLC, 1st Lien Term Loan, (Puerto Rico), 1M LIBOR + 7.00%, 8.50%, 09/20/2024 (e)(f)(k) |
| 1,671,348 |
| 1,604,494 |
| ||||||||||
Puerto Rico Waste Investment, LLC, 1st Lien Revolver, (Puerto Rico), 09/20/2024 (e)(g)(k) |
| 157,737 |
| (6,309 | ) | ||||||||||
Revint Intermediate II, LLC, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 4.50%, 5.95%, 12/13/2023 (e)(f)(k) |
| 2,070,449 |
| 2,008,335 |
| ||||||||||
Revint Intermediate II, LLC, 1st Lien Incremental Term Loan, 3M LIBOR + 5.25%, 6.70%, 12/12/2023 (e)(f)(k) |
| 1,246,642 |
| 1,209,243 |
| ||||||||||
Revint Intermediate II, LLC, 1st Lien Revolver, 3M LIBOR + 4.50%, 5.95%, 12/13/2023 (e)(g)(k) |
| 1,000 |
| 866 |
| ||||||||||
Revint Intermediate II, LLC, 1st Lien Term Loan, 3M LIBOR + 4.50%, 5.95%, 12/13/2023 (e)(f)(k) |
| 390,609 |
| 378,891 |
| ||||||||||
RSK Group, Ltd., Acquisition 1st Lien Term Loan, (Great Britain), 10/27/2025 (e)(g)(h)(k) |
| £ | 250,000 |
| — |
| |||||||||
RSK Group, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain), 3M GBP LIBOR + 7.00%, 7.50%, 10/27/2025 (e)(f)(g)(i)(k) |
| 505,404 |
| 614,512 |
| ||||||||||
RSK Group, Ltd., Facility 1st Lien Term Loan B, (Great Britain), 3M LIBOR + 7.00%, 7.50%, 10/27/2025 (e)(f)(i)(k) |
| 513,564 |
| 638,797 |
| ||||||||||
Saldon Holdings, Inc., 1st Lien 1st Amendment Term Loan, 1M LIBOR + 5.65%, 6.65%, 03/13/2025 (e)(f)(k) |
| $ | 580,799 |
| 551,759 |
| |||||||||
Saldon Holdings, Inc., 1st Lien Revolver, 1M LIBOR + 5.65%, 6.65%, 03/13/2024 (e)(k) |
| 380,952 |
| 361,905 |
| ||||||||||
Saldon Holdings, Inc., 1st Lien Term Loan, 1M LIBOR + 5.65%, 6.65%, 03/13/2025 (e)(f)(k) |
| 3,591,905 |
| 3,412,310 |
| ||||||||||
Travelport Finance Lux SARL, 1st Lien Initial Term Loan, (Luxembourg), 3M LIBOR + 5.00%, 6.07%, 05/29/2026 |
| 2,992,481 |
| 1,916,684 |
| ||||||||||
|
|
|
| 63,081,702 |
| ||||||||||
Services: Consumer 1.7% |
|
|
|
|
| ||||||||||
Centric Brands, Inc., 1st Lien Revolver, 1M LIBOR + 5.50%, 7.78%, 04/29/2023 (e)(g)(k) |
| 1,333 |
| 800 |
| ||||||||||
|
| Principal Amount |
| Value (a) |
| |||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| |||
Services: Consumer (continued) |
|
|
|
|
| |||
Centric Brands, Inc., 1st Lien Term Loan, 3M LIBOR + 6.00%, 7.75%, 10/30/2023 (e)(f)(k) |
| $ | 1,939,030 |
| $ | 1,745,127 |
| |
Goldcup 16786 AB, Unitranche Facility 1st Lien Term Loan, (Sweden), 3M STIBOR + 7.00%, 7.50%, 06/02/2025 (e)(f)(k) |
| SEK | 10,000,000 |
| 947,027 |
| ||
LegalZoom.com, Inc., 1st Lien Term Loan, 1M LIBOR + 4.50%, 5.49%, 11/21/2024 |
| 453,225 |
| 390,906 |
| |||
NMC Skincare Intermediate Holdings II, LLC, 1st Lien Delayed Draw Term Loan, 1M LIBOR + 4.75%, 5.75%,10/31/2024 (e)(k) |
| $ | 665,283 |
| 638,672 |
| ||
NMC Skincare Intermediate Holdings II, LLC, 1st Lien Revolver, 1M LIBOR + 4.75%, 5.75%, 10/31/2024 (e)(g)(k) |
| 333,333 |
| 200,000 |
| |||
NMC Skincare Intermediate Holdings II, LLC, 1st Lien Term Loan, 1M LIBOR + 4.75%, 5.75%, 10/31/2024 (e)(f)(k) |
| 1,975,000 |
| 1,896,000 |
| |||
Spectra Finance, LLC, Initial 1st Lien Revolver, 1M LIBOR + 4.00%, 5.00%, 04/03/2023 (e)(g)(k) |
| 1,000 |
| 902 |
| |||
Spectra Finance, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.70%, 04/02/2024 (e)(f)(k) |
| 981,518 |
| 912,811 |
| |||
Sunshine Sub, LLC, 1st Lien Delayed Draw Term Loan, 1M LIBOR + 4.75%, 5.75%, 05/27/2024 (e)(k) |
| 414,123 |
| 385,135 |
| |||
Sunshine Sub, LLC, 1st Lien Revolver, 1M LIBOR + 4.75%, 5.75%, 05/27/2024 (e)(k) |
| 144,269 |
| 134,171 |
| |||
Sunshine Sub, LLC, 1st Lien Term Loan, 1M LIBOR + 4.75%, 5.75%, 05/27/2024 (e)(f)(k) |
| 705,034 |
| 655,681 |
| |||
United PF Holdings, LLC, Initial 1st Lien Delayed Draw Term Loan, 12/30/2026 (g) |
| 440,678 |
| (123,390 | ) | |||
United PF Holdings, LLC, Initial 1st Lien Term Loan, 3M LIBOR + 4.00%, 5.45%, 12/30/2026 |
| 3,559,322 |
| 2,562,712 |
| |||
|
|
|
| 10,346,554 |
| |||
Telecommunications 3.3% |
|
|
|
|
| |||
CB-SDG, Ltd., GBP Acquisition Facility 1st Lien Term Loan, (Great Britain), 04/03/2026 (e)(f)(g)(k) |
| £ | 317,460 |
| (19,744 | ) | ||
CB-SDG, Ltd., GBP Facility 1st Lien Term Loan B-1, (Great Britain), 3M GBP LIBOR + 7.13%, 7.92%, 04/03/2026 (e)(f)(i)(k) |
| 2,354,763 |
| 2,782,524 |
| |||
CB-SDG, Ltd., GBP Facility 1st Lien Term Loan B-2, (Great Britain), 3M GBP LIBOR + 7.13%, 7.92%, 04/03/2026 (e)(f)(i)(k) |
| 370,955 |
| 438,342 |
| |||
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.50%, 4.49%, 08/21/2026 |
| $ | 3,493,434 |
| 3,117,890 |
| ||
Coral-US Co-Borrower, LLC, 1st Lien Term Loan B-5, 1M LIBOR + 2.25%, 3.24%, 01/31/2028 |
| 1,460,000 |
| 1,359,625 |
| |||
Frontier Communications Corp., 1st Lien Term Loan B-1, 3M LIBOR + 3.75%, 5.35%, 06/15/2024 |
| 49,152 |
| 46,502 |
| |||
Glide Holdings, Ltd. (fka Cablecom Networking Holdings, Ltd.), 1st Lien Capex Facility Term Loan, (Great Britain), 6M GBP LIBOR + 7.00%, 7.83%, 12/14/2023 (e)(f)(k) |
| £ | 438,596 |
| 545,548 |
| ||
Glide Holdings, Ltd. (fka Cablecom Networking Holdings, Ltd.), Facility 1st Lien Term Loan A-2, (Great Britain), 6M GBP LIBOR + 5.00%, 5.73%, 12/14/2023 (e)(f)(k) |
| 561,404 |
| 698,303 |
| |||
Glide Holdings, Ltd. (fka Cablecom Networking Holdings, Ltd.), GBP Accordian Facility 1st Lien Term Loan, (Great Britain), 6M GBP LIBOR + 7.00%, 7.87%, 12/14/2023 (e)(g)(k) |
| 146,199 |
| 118,202 |
| |||
Iridium Satellite, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 3.75%, 4.75%, 11/04/2026 |
| $ | 1,716,275 |
| 1,613,299 |
| ||
Sprint Communications, Inc., 1st Lien Incremental Term Loan, 1M LIBOR + 3.00%, 4.00%, 02/02/2024 |
| 4,532,454 |
| 4,498,461 |
| |||
Sprint Communications, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 2.50%, 3.50%, 02/02/2024 (e) |
| 1,645,916 |
| 1,633,572 |
| |||
Zayo Group Holdings, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 3.00%, 3.99%, 03/09/2027 |
| 2,328,431 |
| 2,188,725 |
| |||
|
|
|
| 19,021,249 |
| |||
Transportation: Cargo 0.3% |
|
|
|
|
| |||
Genesee & Wyoming, Inc., Initial 1st Lien Term Loan, 12/30/2026 (h) |
| 231,622 |
| 220,766 |
| |||
Neovia Logistics, LP, Initial 1st Lien Term Loan, 1M LIBOR + 6.50%, 7.30%, 05/08/2024 (e)(k) |
| 689,000 |
| 644,930 |
| |||
Neovia Logistics, LP, Initial 2nd Lien Term Loan, 1M LIBOR + 10.25%, 10.87%, 11/08/2024 (e)(i)(k) |
| 1,234,213 |
| 1,129,829 |
| |||
|
|
|
| 1,995,525 |
| |||
Transportation: Consumer 0.2% |
|
|
|
|
| |||
APG Intermediate Holdings Corporation, 1st Lien Delayed Draw Term Loan, 3M LIBOR + 5.25%, 6.75%, 01/03/2025 (e)(g)(k) |
| 804,480 |
| 16,090 |
| |||
APG Intermediate Holdings Corporation, 1st Lien Revolver, 3M LIBOR + 5.25%, 6.75%, 01/03/2025 (e)(g)(k) |
| 1,000 |
| 256 |
| |||
APG Intermediate Holdings Corporation, Initial 1st Lien Term Loan, 3M LIBOR + 5.25%, 6.75%, 01/03/2025 (e)(k) |
| 1,017,667 |
| 987,137 |
| |||
|
|
|
| 1,003,483 |
| |||
|
| Principal Amount |
| Value (a) |
| ||
Senior Loans(b)(c)(d) (continued) |
|
|
|
|
| ||
Utilities: Electric 1.0% |
|
|
|
|
| ||
Brookfield WEC Holdings, Inc., Facility 1st Lien Term Loan, 1M LIBOR + 3.00%, 3.99%, 08/01/2025 |
| $ | 6,396,213 |
| $ | 6,012,440 |
|
|
|
|
|
|
| ||
Utilities: Water 0.3% |
|
|
|
|
| ||
Storm U.S. Holdco, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 5.25%, 6.70%, 05/05/2023 (e)(f)(k) |
| 45,670 |
| 45,670 |
| ||
TWH Infrastructure Industries, Inc., 1st Lien Revolver, PRIME + 4.50%, 7.75%, 04/09/2025 (e)(k) |
| 463,581 |
| 449,673 |
| ||
TWH Infrastructure Industries, Inc., 1st Lien Term Loan, 3M LIBOR + 5.50%, 6.95%, 04/09/2025 (e)(f)(k) |
| 1,362,194 |
| 1,321,329 |
| ||
|
|
|
| 1,816,672 |
| ||
Wholesale 0.7% |
|
|
|
|
| ||
Pet IQ, LLC, 1st Lien Term Loan, 1M LIBOR + 4.50%, 5.50%, 07/08/2025 (e)(f)(k) |
| 4,310,457 |
| 4,181,143 |
| ||
Total Senior Loans (Cost: $643,427,649) |
|
|
| 596,453,047 |
| ||
|
|
|
|
|
| ||
Subordinated Loans 1.4% (b)(c)(d)(e) |
|
|
|
|
| ||
Banking, Finance, Insurance & Real Estate 1.2% |
|
|
|
|
| ||
AffiniPay Intermediate Holdings, LLC, Subordinated Term Loan, 12.75%, 02/28/2028 (k) |
| 2,423,783 |
| 2,302,594 |
| ||
Global Merchant Financial Group Corp., Subordinated Delayed Draw Term Loan, (Canada), 1M LIBOR + 8.50%, 10.11%, 01/31/2025 (g)(k) |
| 3,379,572 |
| 2,223,758 |
| ||
Global Merchant Financial Group Corp., Subordinated Term Loan, (Canada), 1M LIBOR + 8.50%, 10.08%, 01/31/2025 (k) |
| 2,872,637 |
| 2,786,458 |
| ||
Preservation Capital I LLP, 2nd Lien Term Loan, (Guernsey), 1M LIBOR + 11.00%, 11.80%, 02/23/2026 (k) |
| £ | 163,246 |
| 203,054 |
| |
|
|
|
| 7,515,864 |
| ||
Healthcare & Pharmaceuticals 0.2% |
|
|
|
|
| ||
Air Medical Group Holdings, Inc., Initial Unsecured Term Loan, 3M LIBOR + 7.88%, 9.49%, 03/13/2026 (f)(k) |
| 1,000,000 |
| 970,000 |
| ||
|
|
|
|
|
| ||
High Tech Industries 0.0% |
|
|
|
|
| ||
Visual Edge Technology, Inc., 1st Lien Term Loan, 15.00%, 09/03/2024 (i)(k) |
| $ | 176,840 |
| 166,230 |
| |
Total Subordinated Loans (Cost: $8,816,153) |
|
|
| 8,652,094 |
| ||
|
|
|
|
|
| ||
Corporate Bonds 2.9% |
|
|
|
|
| ||
Banking, Finance, Insurance & Real Estate 0.0% |
|
|
|
|
| ||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 144A, (Canada), 4.88%, 02/15/2030 (d) |
| 125,000 |
| 94,963 |
| ||
|
|
|
|
|
| ||
Beverage, Food & Tobacco 0.2% |
|
|
|
|
| ||
IRB Holding Corp., 144A, 6.75%, 02/15/2026 (d) |
| 1,487,000 |
| 1,189,600 |
| ||
Post Holdings, Inc., 144A, 4.63%, 04/15/2030 (d) |
| 125,000 |
| 119,688 |
| ||
|
|
|
| 1,309,288 |
| ||
Chemicals, Plastics & Rubber 0.5% |
|
|
|
|
| ||
Kraton Polymers, LLC, 144A, 7.00%, 04/15/2025 (d) |
| 14,000 |
| 12,390 |
| ||
Trident TPI Holdings, Inc., 144A, 9.25%, 08/01/2024 (d) |
| 3,541,000 |
| 2,939,030 |
| ||
|
|
|
| 2,951,420 |
| ||
Construction & Building 0.4% |
|
|
|
|
| ||
The Hillman Group, Inc., 144A, 6.38%, 07/15/2022 (d) |
| 2,829,000 |
| 2,196,011 |
| ||
Tutor Perini Corp., 144A, 6.88%, 05/01/2025 (d) |
| 414,000 |
| 343,620 |
| ||
|
|
|
| 2,539,631 |
| ||
Energy: Oil & Gas 0.4% |
|
|
|
|
| ||
Exterran Energy Solutions, LP, 8.13%, 05/01/2025 |
| 2,229,000 |
| 1,471,140 |
| ||
Extraction Oil & Gas, Inc., 144A, 7.38%, 05/15/2024 (d) |
| 1,473,000 |
| 261,457 |
| ||
Great Western Petroleum, LLC, 144A, 9.00%, 09/30/2021 (d) |
| 490,000 |
| 313,600 |
| ||
Summit Midstream Holdings, LLC, 5.75%, 04/15/2025 |
| 1,033,000 |
| 113,630 |
| ||
Vine Oil and Gas, LP, 144A, 9.75%, 04/15/2023 (d) |
| 232,000 |
| 54,810 |
| ||
|
|
|
| 2,214,637 |
| ||
Healthcare & Pharmaceuticals 0.8% |
|
|
|
|
| ||
Immucor, Inc., 144A, 11.13%, 02/15/2022 (d) |
| 5,500,000 |
| 4,950,000 |
| ||
|
| Principal Amount |
| Value (a) |
| ||
Corporate Bonds (continued) |
|
|
|
|
| ||
Healthcare & Pharmaceuticals (continued) |
|
|
|
|
| ||
LifePoint Health, Inc., 144A, 4.38%, 02/15/2027 (d) |
| $ | 125,000 |
| $ | 117,750 |
|
|
|
|
| 5,067,750 |
| ||
Media: Broadcasting & Subscription 0.5% |
|
|
|
|
| ||
Cumulus Media New Holdings, Inc., 144A, 6.75%, 07/01/2026 (d) |
| 144,000 |
| 128,880 |
| ||
Townsquare Media, Inc., 144A, 6.50%, 04/01/2023 (d) |
| 3,083,000 |
| 2,959,680 |
| ||
|
|
|
| 3,088,560 |
| ||
Retail 0.1% |
|
|
|
|
| ||
PetSmart, Inc., 144A, 7.13%, 03/15/2023 (d) |
| 296,000 |
| 275,650 |
| ||
|
|
|
|
|
| ||
Utilities: Electric 0.0% |
|
|
|
|
| ||
NextEra Energy Partners, LP, 144A, 1.50%, 09/15/2020 (d) |
| 96,000 |
| 94,888 |
| ||
Total Corporate Bonds (Cost: $22,279,322) |
|
|
| 17,636,787 |
| ||
|
|
|
|
|
| ||
Collateralized Loan Obligations 18.4% (d)(e)(l) |
|
|
|
|
| ||
Collateralized Loan Obligations - Debt 8.6% (c) |
|
|
|
|
| ||
AMMC CLO XI, Ltd., (Cayman Islands), 3M LIBOR + 5.80%, 7.57%, 04/30/2031 |
| 1,500,000 |
| 855,000 |
| ||
AMMC CLO XIV, Ltd., (Cayman Islands), 3M LIBOR + 7.35%, 9.14%, 07/25/2029 |
| 250,000 |
| 180,507 |
| ||
AMMC CLO XXII, Ltd., (Cayman Islands), 3M LIBOR + 5.50%, 7.29%, 04/25/2031 |
| 750,000 |
| 463,588 |
| ||
Apidos CLO XX, Ltd., (Cayman Islands), 3M LIBOR + 8.70%, 10.54%, 07/16/2031 |
| 250,000 |
| 136,250 |
| ||
Atlas Senior Loan Fund VII, Ltd., (Cayman Islands), 3M LIBOR + 8.05%, 9.69%, 11/27/2031 |
| 1,750,000 |
| 1,144,904 |
| ||
Barings CLO, Ltd. 2019-II, (Cayman Islands), 3M LIBOR + 3.85%, 5.68%, 04/15/2031 |
| 750,000 |
| 575,614 |
| ||
Barings CLO, Ltd. 2019-II, (Cayman Islands), 3M LIBOR + 6.69%, 8.52%, 04/15/2031 |
| 1,250,000 |
| 793,382 |
| ||
Canyon Capital CLO, Ltd. 2018-1, (Cayman Islands), 3M LIBOR + 5.75%, 7.58%, 07/15/2031 |
| 850,000 |
| 524,633 |
| ||
Canyon Capital CLO, Ltd. 2019-1, (Cayman Islands), 3M LIBOR + 6.68%, 8.51%, 04/15/2032 |
| 500,000 |
| 295,000 |
| ||
Carlyle Global Market Strategies CLO, Ltd. 2019-2, (Cayman Islands), 3M LIBOR + 6.60%, 8.43%, 07/15/2032 |
| 3,000,000 |
| 1,885,560 |
| ||
CBAM, Ltd. 2017-3, (Cayman Islands), 3M LIBOR + 6.50%, 8.34%, 10/17/2029 |
| 950,000 |
| 647,633 |
| ||
Cedar Funding CLO VII, Ltd., (Cayman Islands), 3M LIBOR + 2.55%, 4.37%, 01/20/2031 |
| 500,000 |
| 352,603 |
| ||
CIFC Funding 2015-II, Ltd., (Cayman Islands), 3M LIBOR + 6.81%, 8.19%, 04/15/2030 |
| 6,000,000 |
| 4,177,680 |
| ||
CIFC Funding 2017-2A, Ltd., (Cayman Islands), 3M LIBOR + 5.95%, 7.77%, 04/20/2030 |
| 1,000,000 |
| 606,276 |
| ||
CIFC Funding, Ltd. 2013-IV, (Cayman Islands), 3M LIBOR + 2.80%, 4.59%, 04/27/2031 |
| 500,000 |
| 365,479 |
| ||
CIFC Funding, Ltd. 2018-IV, (Cayman Islands), 3M LIBOR + 5.90%, 7.74%, 10/17/2031 |
| 1,000,000 |
| 607,896 |
| ||
Cook Park CLO, Ltd., (Cayman Islands), 3M LIBOR + 5.40%, 7.24%, 04/17/2030 |
| 1,250,000 |
| 755,391 |
| ||
Crestline Denali CLO XIV, Ltd., (Cayman Islands), 3M LIBOR + 6.35%, 8.16%, 10/23/2031 |
| 750,000 |
| 457,538 |
| ||
Crestline Denali CLO XIV, Ltd., (Cayman Islands), 3M LIBOR + 8.10%, 9.91%, 10/23/2031 |
| 250,000 |
| 106,759 |
| ||
Crestline Denali CLO XVI, Ltd., (Cayman Islands), 3M LIBOR + 2.60%, 4.42%, 01/20/2030 (k) |
| 1,500,000 |
| 1,044,157 |
| ||
Denali Capital CLO XII, Ltd., (Cayman Islands), 3M LIBOR + 5.90%, 7.73%, 04/15/2031 |
| 750,000 |
| 472,717 |
| ||
Dewolf Park CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.20%, 8.03%, 10/15/2030 |
| 2,500,000 |
| 1,510,437 |
| ||
Dryden 55 Senior Loan Fund, (Cayman Islands), 3M LIBOR + 5.40%, 7.23%, 04/15/2031 |
| 375,000 |
| 225,426 |
| ||
Dryden 57 Senior Loan Fund, (Cayman Islands), 3M LIBOR + 5.20%, 6.89%, 05/15/2031 |
| 750,000 |
| 394,800 |
| ||
Dryden 58 Senior Loan Fund, (Cayman Islands), 3M LIBOR + 5.35%, 7.19%, 07/17/2031 |
| 1,000,000 |
| 586,858 |
| ||
Dryden Senior Loan Fund 2018-64A, (Cayman Islands), 3M LIBOR + 5.60%, 7.42%, 04/18/2031 |
| 750,000 |
| 434,992 |
| ||
Dryden XXVIII Senior Loan Fund, (Cayman Islands), 3M USD LIBOR + 6.45%, 8.14%, 08/15/2030 |
| 1,000,000 |
| 611,852 |
| ||
Goldentree Loan Opportunities X, Ltd., (Cayman Islands), 3M LIBOR + 5.65%, 7.47%, 07/20/2031 |
| 750,000 |
| 472,467 |
| ||
ICG CLO, Ltd. 2018-1X, (Cayman Islands), 3M LIBOR + 5.15%, 6.97%, 04/21/2031 |
| 500,000 |
| 260,661 |
| ||
INGIM, Ltd. 2013-3, (Cayman Islands), 3M LIBOR + 5.90%, 7.72%, 10/18/2031 |
| 1,250,000 |
| 768,655 |
| ||
KKR CLO 24, Ltd., (Cayman Islands), 3M LIBOR + 6.38%, 8.20%, 04/20/2032 |
| 2,000,000 |
| 1,100,876 |
| ||
LCM 30, Ltd., (Cayman Islands), 3M LIBOR + 6.95%, 8.77%, 04/20/2031 |
| 2,000,000 |
| 1,356,696 |
| ||
Madison Park Funding XIV, Ltd., (Cayman Islands), 3M LIBOR + 7.77%, 9.57%, 10/22/2030 |
| 1,000,000 |
| 642,825 |
| ||
Madison Park Funding XXII, Ltd., (Cayman Islands), 3M USD LIBOR + 6.70%, 8.36%, 01/15/2033 |
| 5,250,000 |
| 3,149,202 |
| ||
Madison Park Funding XXIII, Ltd., (Cayman Islands), 3M LIBOR + 6.25%, 8.04%, 07/27/2030 |
| 500,000 |
| 318,491 |
| ||
Madison Park Funding XXXIV, Ltd., (Cayman Islands), 3M LIBOR + 6.75%, 8.54%, 04/25/2031 |
| 1,500,000 |
| 942,111 |
| ||
Madison Park Funding XXXVI, Ltd., (Cayman Islands), 3M LIBOR + 7.25%, 9.19%, 01/15/2033 |
| 2,500,000 |
| 1,505,775 |
| ||
Madison Park Funding XXXVII, Ltd., (Cayman Islands), 3M LIBOR + 6.55%, 8.38%, 07/15/2032 |
| 1,000,000 |
| 632,739 |
| ||
Magnetite CLO XV, Ltd., (Cayman Islands), 3M LIBOR + 2.75%, 4.54%, 07/25/2031 |
| 500,000 |
| 360,512 |
| ||
Magnetite CLO XV, Ltd. 2019 22A, (Cayman Islands), 3M LIBOR + 6.75%, 8.58%, 04/15/2031 |
| 1,000,000 |
| 639,292 |
| ||
Mariner CLO 5, Ltd., (Cayman Islands), 3M USD LIBOR + 5.65%, 7.44%, 04/25/2031 |
| 250,000 |
| 144,833 |
| ||
Mariner CLO, LLC 2019 1A E, (Cayman Islands), 3M LIBOR + 6.89%, 8.66%, 04/30/2032 |
| 1,250,000 |
| 821,930 |
| ||
|
| Principal Amount |
| Value (a) |
| ||
Collateralized Loan Obligations (d)(e)(l) (continued) |
|
|
|
|
| ||
Collateralized Loan Obligations — Debt (continued) |
|
|
|
|
| ||
Niagara Park CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.45%, 8.29%, 07/17/2032 |
| $ | 1,000,000 |
| $ | 623,994 |
|
Northwoods Capital XII-B, Ltd., (Cayman Islands), 3M LIBOR + 5.79%, 6.53%, 06/15/2031 |
| 750,000 |
| 461,014 |
| ||
Oaktree CLO, Ltd. 2015-11, (Cayman Islands), 3M LIBOR + 5.75%, 7.57%, 01/20/2032 |
| 1,250,000 |
| 740,750 |
| ||
Octagon Investment Partners 20-R, Ltd., (Cayman Islands), 3M LIBOR + 6.80%, 8.51%, 05/12/2031 |
| 750,000 |
| 446,475 |
| ||
Octagon Investment Partners 35, Ltd., (Cayman Islands), 3M LIBOR + 5.20%, 7.02%, 01/20/2031 |
| 1,500,000 |
| 811,786 |
| ||
Octagon Investment Partners 41, Ltd., (Cayman Islands), 3M LIBOR + 6.90%, 8.73%, 04/15/2031 |
| 3,000,000 |
| 1,807,500 |
| ||
Octagon Investment Partners XXI, Ltd., (Cayman Islands), 3M LIBOR + 7.00%, 8.70%, 02/14/2031 |
| 925,000 |
| 609,268 |
| ||
OHA Credit Funding 3, Ltd., (Cayman Islands), 3M USD LIBOR + 5.50%, 7.32%, 07/20/2032 |
| 2,500,000 |
| 1,394,730 |
| ||
OHA Loan Funding 2016-1, Ltd., (Cayman Islands), 3M USD LIBOR + 6.35%, 8.08%, 01/20/2033 |
| 4,000,000 |
| 2,607,616 |
| ||
OZLM XXIII, Ltd. 2019-23A, (Cayman Islands), 3M LIBOR + 6.80%, 8.63%, 04/15/2032 |
| 2,250,000 |
| 1,497,235 |
| ||
Steele Creek CLO, Ltd. 2016-1, (Cayman Islands), 3M LIBOR + 5.75%, 6.49%, 06/15/2031 |
| 750,000 |
| 396,561 |
| ||
TCI-Symphony CLO, Ltd. 2017-1, (Cayman Islands), 3M LIBOR + 6.45%, 8.28%, 07/15/2030 |
| 2,000,000 |
| 1,308,462 |
| ||
TICP CLO V 2016-5, Ltd., (Cayman Islands), 3M LIBOR + 5.75%, 7.59%, 07/17/2031 |
| 2,000,000 |
| 1,094,962 |
| ||
TICP CLO XI, Ltd., (Cayman Islands), 3M LIBOR + 6.00%, 7.82%, 10/20/2031 |
| 300,000 |
| 194,993 |
| ||
TICP CLO XI, Ltd. 2018-11X, (Cayman Islands), 3M LIBOR + 6.00%, 7.82%, 10/20/2031 |
| 500,000 |
| 324,989 |
| ||
Venture 28A CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.16%, 7.98%, 10/20/2029 |
| 1,000,000 |
| 658,233 |
| ||
Venture 37 CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.95%, 8.78%, 07/15/2032 |
| 3,000,000 |
| 1,678,776 |
| ||
Venture XXXVI CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.92%, 8.74%, 04/20/2032 |
| 300,000 |
| 191,474 |
| ||
Voya CLO, Ltd. 2017-3, (Cayman Islands), 3M LIBOR + 6.20%, 8.02%, 07/20/2030 |
| 733,000 |
| 483,674 |
| ||
Voya CLO, Ltd. 2019-2, (Cayman Islands), 3M LIBOR + 6.60%, 8.42%, 07/20/2032 |
| 1,000,000 |
| 579,800 |
| ||
Wellfleet CLO 2020-1, Ltd., (Cayman Islands), 3M USD LIBOR + 7.24%, 8.42%, 04/15/2033 |
| 650,000 |
| 630,500 |
| ||
|
|
|
| 51,872,789 |
| ||
Collateralized Loan Obligations - Equity 9.8% |
|
|
|
|
| ||
Allegro CLO VIII, Ltd., (Cayman Islands), 15.55%, 07/15/2031 |
| 1,650,000 |
| 771,114 |
| ||
AMMC CLO 22, Ltd., (Cayman Islands), 12.99%, 04/25/2031 |
| 1,500,000 |
| 832,814 |
| ||
AMMC CLO XXI, Ltd., (Cayman Islands), 18.07%, 11/02/2030 |
| 124,950 |
| 65,327 |
| ||
Atlas Senior Loan Fund I, Ltd., (Cayman Islands), 0.00%, 11/17/2027 |
| 250,000 |
| 25,000 |
| ||
Atrium XV, (Cayman Islands), 12.98%, 01/23/2048 |
| 4,080,000 |
| 2,241,389 |
| ||
Bain Capital Credit CLO 2019-1, (Cayman Islands), 16.31%, 04/18/2032 |
| 1,400,000 |
| 640,011 |
| ||
Bain Capital Credit CLO, Ltd. 2018-1, (Cayman Islands), 15.94%, 04/23/2031 |
| 920,000 |
| 487,980 |
| ||
Bain Capital Credit CLO, Ltd. 2019-2A, (Cayman Islands), 9.82%, 10/17/2032 |
| 810,000 |
| 489,552 |
| ||
Canyon Capital CLO, Ltd. 2016-1, (Cayman Islands), 17.90%, 07/15/2031 |
| 1,000,000 |
| 500,000 |
| ||
Canyon Capital CLO, Ltd. 2019-1, (Cayman Islands), 12.69%, 04/15/2032 |
| 2,797,500 |
| 1,342,775 |
| ||
Carlyle Global Market Strategies CLO, Ltd. 2013-1, (Cayman Islands), 16.95%, 08/14/2030 |
| 500,000 |
| 148,727 |
| ||
Carlyle Global Market Strategies CLO, Ltd. 2018-3, (Cayman Islands), 12.64%, 10/15/2030 |
| 500,000 |
| 224,791 |
| ||
Carlyle Global Market Strategies CLO, Ltd. 2018-4, (Cayman Islands), 16.57%, 01/20/2031 |
| 2,310,000 |
| 1,416,760 |
| ||
Carlyle Global Market Strategies CLO, Ltd. 2019-3, (Cayman Islands), 11.17%, 10/20/2032 |
| 3,875,000 |
| 2,941,768 |
| ||
Cedar Funding CLO V, Ltd., (Cayman Islands), 14.90%, 07/17/2031 |
| 2,300,000 |
| 1,078,258 |
| ||
Cedar Funding CLO VIII, Ltd., (Cayman Islands), 10.25%, 10/17/2030 |
| 250,000 |
| 110,159 |
| ||
Crestline Denali CLO XVI, Ltd. 2018-1A, (Cayman Islands), 12.91%, 01/20/2030 |
| 500,000 |
| 250,000 |
| ||
Dryden 28 Senior Loan Fund, (Cayman Islands), 16.92%, 08/15/2030 |
| 1,406,251 |
| 351,584 |
| ||
Dryden 33 Senior Loan Fund, (Cayman Islands), 22.05%, 04/15/2029 |
| 500,000 |
| 163,386 |
| ||
Dryden 38 Senior Loan Fund, (Cayman Islands), 16.01%, 07/15/2030 |
| 650,000 |
| 280,112 |
| ||
Dryden 41 Senior Loan Fund, (Cayman Islands), 16.93%, 04/15/2031 |
| 850,000 |
| 377,913 |
| ||
Dryden 43 Senior Loan Fund, (Cayman Islands), 26.29%, 07/20/2029 |
| 1,000,000 |
| 350,000 |
| ||
Dryden 57 Senior Loan Fund, (Cayman Islands), 16.13%, 05/15/2031 |
| 717,000 |
| 467,684 |
| ||
Dryden 58 Senior Loan Fund, (Cayman Islands), 18.02%, 07/17/2031 |
| 3,125,000 |
| 1,819,303 |
| ||
Dryden 68 CLO, Ltd., (Cayman Islands), 12.99%, 07/15/2049 |
| 500,000 |
| 272,367 |
| ||
Dryden 78 CLO, Ltd., (Cayman Islands), 12.99%, 04/17/2033 (k) |
| 10,250,000 |
| 9,071,250 |
| ||
Eastland Investors Corp., (Cayman Islands), 0.00%, 05/01/2022 (k) |
| 300 |
| 138,000 |
| ||
Elmwood CLO I, Ltd., (Cayman Islands), 15.75%, 04/20/2030 |
| 1,250,000 |
| 787,500 |
| ||
Highbridge Loan Management 3-2014, (Cayman Islands), 17.59%, 07/18/2029 |
| 3,077,500 |
| 694,890 |
| ||
ICG U.S. CLO, Ltd. 2018-2, (Cayman Islands), 21.87%, 07/22/2031 |
| 1,650,000 |
| 926,331 |
| ||
LCM XVIII, LP, (Cayman Islands), 23.78%, 04/20/2031 |
| 1,400,000 |
| 414,309 |
| ||
Madison Park Funding XXVII, Ltd., (Cayman Islands), 13.01%, 01/20/2047 |
| 250,000 |
| 131,273 |
| ||
Madison Park Funding XXVIII, Ltd., (Cayman Islands), 15.03%, 07/15/2030 |
| 2,000,000 |
| 1,017,868 |
| ||
Madison Park Funding XXXI, Ltd., (Cayman Islands), 14.12%, 01/23/2048 |
| 4,250,000 |
| 2,574,960 |
| ||
Madison Park Funding XXXII, Ltd., (Cayman Islands), 14.00%, 01/22/2048 |
| 1,510,000 |
| 866,855 |
| ||
|
| Principal Amount |
| Value (a) |
| ||
Collateralized Loan Obligations (d)(e)(l) (continued) |
|
|
|
|
| ||
Collateralized Loan Obligations — Equity (continued) |
|
|
|
|
| ||
Madison Park Funding XXXVII, Ltd., (Cayman Islands), 12.99%, 07/15/2049 |
| $ | 7,500,000 |
| $ | 5,097,597 |
|
Magnetite CLO, Ltd. 2012-6, (Cayman Islands), 0.00%, 09/15/2023 (k) |
| 1,241,000 |
| 496 |
| ||
Mariner CLO, Ltd. 2018-5, (Cayman Islands), 13.19%, 04/25/2031 |
| 500,000 |
| 254,976 |
| ||
Oaktree CLO, Ltd. 2018-1, (Cayman Islands), 14.34%, 10/20/2030 |
| 2,250,000 |
| 1,043,850 |
| ||
Oaktree CLO, Ltd. 2019-2, (Cayman Islands), 12.64%, 04/15/2031 |
| 3,860,000 |
| 1,189,119 |
| ||
Oaktree CLO, Ltd. 2019-3, (Cayman Islands), 13.35%, 07/20/2031 |
| 4,750,000 |
| 2,499,192 |
| ||
Octagon Investment Partners 35, Ltd., (Cayman Islands), 21.22%, 01/20/2031 |
| 600,000 |
| 270,000 |
| ||
OHA Credit Partners XI, Ltd., (Cayman Islands), 13.39%, 01/20/2032 |
| 300,000 |
| 179,635 |
| ||
OHA Credit Partners XV, Ltd., (Cayman Islands), 13.93%, 01/20/2030 |
| 1,360,000 |
| 870,446 |
| ||
OHA Loan Funding, Ltd. 2013-1, (Cayman Islands), 14.34%, 07/23/2031 |
| 876,000 |
| 397,197 |
| ||
OZLM XIX, Ltd. 2017-19A, (Cayman Islands), 12.06%, 11/22/2030 |
| 1,000,000 |
| 367,610 |
| ||
OZLM XIX, Ltd. 2017-19X, (Cayman Islands), 16.82%, 11/22/2030 |
| 500,000 |
| 183,805 |
| ||
OZLM XVI, Ltd., (Cayman Islands), 26.22%, 05/16/2030 |
| 562,500 |
| 145,653 |
| ||
OZLM XXI, Ltd. 2017-21A, (Cayman Islands), 13.92%, 01/20/2031 |
| 800,000 |
| 275,249 |
| ||
Steele Creek CLO, Ltd. 2017-1, (Cayman Islands), 17.91%, 01/15/2030 (k) |
| 250,000 |
| 80,000 |
| ||
Stewart Park CLO, Ltd., (Cayman Islands), 12.98%, 01/15/2030 (k) |
| 13,000,000 |
| 2,275,000 |
| ||
Symphony CLO XI, Ltd., (Cayman Islands), 0.00%, 01/17/2025 (k) |
| 1,000 |
| 160 |
| ||
Venture XVIII CLO, Ltd., (Cayman Islands), 11.69%, 10/15/2029 (k) |
| 250,000 |
| 50,000 |
| ||
Wellfleet CLO 2020-1, Ltd., (Cayman Islands), 12.99%, 04/15/2033 (k) |
| 5,955,000 |
| 4,994,459 |
| ||
Wellfleet CLO, Ltd. 2017-3, (Cayman Islands), 17.48%, 01/17/2031 (k) |
| 250,000 |
| 109,205 |
| ||
Wellfleet CLO, Ltd. 2018-3, (Cayman Islands), 15.21%, 01/20/2032 (k) |
| 2,400,000 |
| 1,152,000 |
| ||
York CLO-7, Ltd., (Cayman Islands), 12.99%, 01/22/2033 |
| 4,000,000 |
| 3,041,620 |
| ||
|
|
|
| 58,749,279 |
| ||
Total Collateralized Loan Obligations (Cost: $160,348,375) |
|
|
| 110,622,068 |
| ||
|
| Shares |
|
|
|
Common Stocks 0.4% (d) |
|
|
|
|
|
Automotive 0.0% |
|
|
|
|
|
GB Auto Servivce Holdings, LLC (e)(k)(m) |
| 22,076 |
| 19,896 |
|
Banking, Finance, Insurance & Real Estate 0.0% |
|
|
|
|
|
First Trust Senior Floating Rate Income Fund II (m) |
| 4,011 |
| 38,145 |
|
The Ultimus Group Aggregator, LP/Blocker, Class B (e)(k)(m) |
| 182 |
| — |
|
The Ultimus Group, LLC, Class A (e)(k) |
| 1 |
| 885 |
|
The Ultimus Group, LLC, Class B (e)(k)(m) |
| 254 |
| — |
|
The Ultimus Group, LLC/Co., Class B (e)(k)(m) |
| 1,355 |
| — |
|
|
|
|
| 39,030 |
|
Beverage, Food & Tobacco 0.0% |
|
|
|
|
|
GPM Investments, LLC, Class F (e)(k)(m) |
| — |
| 975 |
|
Italian Fine Foods Holdings, LP, Class A (e)(k)(m) |
| 25,000 |
| 30,523 |
|
|
|
|
| 31,498 |
|
Chemicals, Plastics & Rubber 0.0% |
|
|
|
|
|
Plaskolite PPC Blocker, LLC (e)(k)(m) |
| 10 |
| 717 |
|
Construction & Building 0.0% |
|
|
|
|
|
Kene Holdings, LP, Class A (e)(k)(m) |
| 50,000 |
| 50,926 |
|
Consumer goods: Durable 0.0% |
|
|
|
|
|
DRS Holdings I, Inc. (e)(k)(m) |
| 50 |
| 39,685 |
|
Containers, Packaging & Glass 0.0% |
|
|
|
|
|
Berry Global Group, Inc. (m) |
| 2,600 |
| 87,646 |
|
Energy: Oil & Gas 0.0% |
|
|
|
|
|
FTS International, Inc. (m) |
| 10,750 |
| 2,397 |
|
Healthcare & Pharmaceuticals 0.1% |
|
|
|
|
|
Bearcat Parent, Inc. (e)(k)(m) |
| 51 |
| 64,569 |
|
Coherus Biosciences, Inc. (m) |
| 2,456 |
| 39,836 |
|
|
| Shares |
| Value (a) |
| ||
Common Stocks (d) (continued) |
|
|
|
|
| ||
Healthcare & Pharmaceuticals (continued) |
|
|
|
|
| ||
KNPAK Holdings, LP Class A (e)(k)(m) |
| $ | 100,000 |
| $ | 87,857 |
|
Olympia TopCo, LP Class A (e)(k)(m) |
| 50,000 |
| 38,530 |
| ||
OMERS Wildcats Holdings, Inc. Class A (e)(k)(m) |
| 162 |
| 52,191 |
| ||
OMERS Bluejay Investment Holdings, LP, Class A (e)(k)(m) |
| 25 |
| 27,187 |
| ||
SiroMed Equity Holdings, LLC (e)(k)(m) |
| 3,703 |
| 16,139 |
| ||
Virence Holdings, LLC, Class A (e)(k)(m) |
| — |
| 36,337 |
| ||
|
|
|
| 362,646 |
| ||
High Tech Industries 0.3% |
|
|
|
|
| ||
Astorg VII Co-Invest ERT (Luxembourg), (e)(m)(k) |
| 1,000,000 |
| 1,214,900 |
| ||
Frontline Technologies Group Holding, LLC, Class B (e)(k)(m) |
| 2,728 |
| 19,276 |
| ||
H&F Unite Partners, LP (e)(k)(m) |
| 50,032 |
| 50,055 |
| ||
Insight PDI Holdings, LLC, Class A (e)(k)(m) |
| 25,000 |
| 23,157 |
| ||
Project Falcon Parent, Inc. (Canada) (e)(k)(m) |
| 47,536 |
| 523 |
| ||
Rocket Parent, LLC, Class A (e)(k)(m) |
| 50,000 |
| 34,478 |
| ||
Wildcat Parent, LP (e)(k) |
| 500 |
| 48,162 |
| ||
|
|
|
| 1,390,551 |
| ||
Services: Business 0.0% |
|
|
|
|
| ||
Fastsigns Holdings, Inc., (e)(k)(m) |
| 50 |
| 49,966 |
| ||
IRI Parent, LP, Class A-1 (e)(k)(m) |
| 250 |
| 20,368 |
| ||
|
|
|
| 70,334 |
| ||
Services: Consumer 0.0% |
|
|
|
|
| ||
Centric Brands, Inc., (e)(k)(m) |
| 3,125 |
| 3,288 |
| ||
Transportation: Consumer 0.0% |
|
|
|
|
| ||
APG Holdings, LLC, Class A (e)(k)(m) |
| 50,000 |
| 50,000 |
| ||
Total Common Stocks (Cost: $2,174,790) |
|
|
| 2,148,614 |
| ||
|
|
|
|
|
| ||
Preferred Stocks 0.1% (d)(e)(k) |
|
|
|
|
| ||
Capital Equipment 0.0%". |
|
|
|
|
| ||
Blue Angel Holdco, LLC, Class A |
| 243 |
| 32,165 |
| ||
Energy: Oil & Gas 0.0% |
|
|
|
|
| ||
Titan DI Preferred Holdings, Inc. |
| — |
| 48,499 |
| ||
Healthcare & Pharmaceuticals 0.0% |
|
|
|
|
| ||
Virence Intermediate Holding Corp. |
| 25 |
| 28,095 |
| ||
High Tech Industries 0.1% |
|
|
|
|
| ||
EZ Elemica Holdings, Inc.(m) |
| 50 |
| 47,229 |
| ||
Frontline Technologies Group Holding, LLC, Class A (e) |
| 25 |
| 31,423 |
| ||
Peachtree Parent, Inc., Series A |
| 25 |
| 28,668 |
| ||
Project Falcon Parent, Inc., Class A-1 (Canada) |
| 50 |
| 52,956 |
| ||
|
|
|
| 160,276 |
| ||
Services: Business 0.0% |
|
|
|
|
| ||
IRI Holdings, Inc., Series A-1 |
| 25 |
| 29,650 |
| ||
Total Preferred Stocks (Cost: $299,413) |
|
|
| 298,685 |
| ||
|
| Principal Amount |
|
|
| |
Private Asset-Backed Debt 1.5% (d)(e)(g)(k) |
|
|
|
|
| |
Banking, Finance, Insurance & Real Estate 1.5% |
|
|
|
|
| |
BFS Receivables I, LLC, 1st Lien Revolver, 1M LIBOR + 6.00%, 6.00%, 02/09/2022 (n) |
| $ | 500,000 |
| 263,929 |
|
BFS Receivables I, LLC, 1st Lien Revolver, 1M LIBOR + 6.00%, 6.00%, 02/09/2022 |
| 500,000 |
| 263,929 |
| |
|
| Principal Amount |
| Value (a) |
| ||
Private Asset-Backed Debt (d)(e)(g) (continued) |
|
|
|
|
| ||
Banking, Finance, Insurance & Real Estate (continued) |
|
|
|
|
| ||
DFC Funding No. 1, Ltd., Mezzanine Revolver, (Great Britain), 1M GBP LIBOR + 9.75%, 10.50%, 12/12/2020 |
| £ | 1,100,000 |
| $ | 1,116,514 |
|
DFC Global Facility Borrower III, LLC, 1st Lien Revolver, 1M LIBOR + 10.75%, 12.40%, 09/27/2024 |
| $ | 10,000,000 |
| 7,724,255 |
| |
FinFit SP, LLC, 1st Lien Revolver, 1M LIBOR + 9.25%, 10.83%, 10/18/2023 |
| 500,000 |
| 190,000 |
| ||
NSF Funding 2020, Ltd., 1st Lien Revolver, (Great Britain), 03/10/2026 (o) |
| £ | 6,900,000 |
| (429,128 | ) | |
NSF Funding 2020, Ltd., 1st Lien Revolver, (Great Britain), 1M GBP LIBOR + 4.40%, 4.40%, 06/10/2026 |
| 4,600,000 |
| (286,086 | ) | ||
Total Private Asset-Backed Debt (Cost: $10,085,541) |
|
|
| 8,843,413 |
| ||
|
|
|
|
|
| ||
Real Estate Debt 0.9% (d)(e)(k) |
|
|
|
|
| ||
Banking, Finance, Insurance & Real Estate 0.6% |
|
|
|
|
| ||
285 Mezz, LLC, Junior Mezzanine Extension Upsize Term Loan, 1M LIBOR + 14.00%, 16.28%, 04/06/2020 |
| $ | 869,750 |
| 852,355 |
| |
285 Mezz, LLC, Mezzanine Construction Term Loan, 1M LIBOR + 14.00%, 16.28%, 03/31/2020 (g)(i) |
| 2,482,089 |
| 1,923,947 |
| ||
CHDG Phase 1A1 Manager LLC, Mezzanine Construction Term Loan, 1M LIBOR + 12.25%, 13.75%, 11/25/2021 (g)(i) |
| 1,128,904 |
| 946,326 |
| ||
|
|
|
| 3,722,628 |
| ||
Hotel, Gaming & Leisure 0.3% |
|
|
|
|
| ||
Mandarin Oriental Honolulu, Extension Upsize Term Loan, 14.00%, 03/31/2020 |
| 775,833 |
| 760,316 |
| ||
Mandarin Oriental Honolulu, Mezzanine Land Term Loan, 14.00%, 03/31/2020 |
| 999,974 |
| 979,975 |
| ||
|
|
|
| 1,740,291 |
| ||
Total Real Estate Debt (Cost: $5,553,324) |
|
|
| 5,462,919 |
| ||
|
| Shares |
|
|
| |
Warrants 0.1% (d)(e)(k)(m) |
|
|
|
|
| |
Healthcare & Pharmaceuticals 0.1% |
|
|
|
|
| |
Air Medical Buyer Corp. |
| 122 |
| 1,302 |
| |
Evolent Health, Inc. |
| 106,484 |
| 464,585 |
| |
|
|
|
| 465,887 |
| |
High Tech Industries 0.0% |
|
|
|
|
| |
Visual Edge Technology, Inc. (Common) |
| 4,540 |
| — |
| |
Visual Edge Technology, Inc. (Preferred) |
| 5,176 |
| 3,476 |
| |
|
|
|
| 3,476 |
| |
Transportation: Cargo 0.0% |
|
|
|
|
| |
Neovia Logistics Holdings, Ltd. |
| 194,454 |
| — |
| |
Total Warrants (Cost: $11,261) |
|
|
| 469,363 |
| |
Total Investments - 125.1% (Cost: $852,995,828) |
|
|
| $ | 750,586,990 |
|
Liabilities in Excess of Other Assets - (25.1%) |
|
|
| (150,516,636 | ) | |
Net Assets - 100.0% |
|
|
| $ | 600,070,354 |
|
Footnotes:
(a) | Investment holdings in foreign currencies are converted to U.S. Dollars using period end spot rates. All investments are in United States enterprises unless otherwise noted. |
(b) | Variable rate loans bear interest at a rate that may be determined by reference to either the London Interbank Offered Rate (“LIBOR”) or an alternate base rate such as the Canadian Dollar Offered Rate (“CDOR”), Copenhagen Interbank Offered Rate (“CIBOR”), Euro Interbank Offered Rate (“EURIBOR”), Norwegian Interbank Offered Rate (“NIBOR”), Prime Rate (“PRIME”), or Stockholm Interbank Offered Rate (“STIBOR”), at the borrower’s option. Stated interest rates in this schedule represents the “all-in” rate as of March 31, 2020. |
(c) | Variable rate coupon rate shown as of March 31, 2020. |
(d) | All of CION Ares Diversified Credit Fund (the “Fund”) Senior Loans, Subordinated Loans, Collateralized Loan Obligations, Common Stocks, Corporate Bonds issued as 144A, Preferred Stock, Private Asset Backed Debt, Real Estate Debt, and Warrants, which as of March 31, 2020 represented 124.8% of the Fund’s net assets or 89.7% of the Fund’s total assets, are subject to legal restrictions on sales. |
(e) | Investments whose values were determined using significant unobservable inputs (Level 3) (See Note 3 of the Notes to Financial Statements). |
(f) | These assets are held at CADEX Credit Financing, LLC, a wholly owned special purpose financing vehicle, and are pledged as collateral for a secured revolving credit facility (see “Note 1 - Organization”). |
(g) | As of March 31, 2020, the Fund had entered into the following commitments to fund various revolving and delayed draw senior secured and subordinated loans. Such commitments are subject to the satisfaction of certain conditions set forth in the documents governing these loans and there can be no assurance that such conditions will be satisfied. See Note 2 of the Notes to Financial Statements for further information on revolving and delayed draw loan commitments. |
Unfunded Security |
| Total revolving and delayed |
| Less: drawn |
| Total undrawn |
| |||
285 Mezz, LLC, Mezzanine Construction Term Loan |
| $ | 2,482,089 |
| $ | 1,973,589 |
| $ | 508,500 |
|
A.U.L. Corp., 1st Lien Revolver |
| 1,000 |
| — |
| 1,000 |
| |||
Aero Operating, LLC, 1st Lien Delayed Draw Term Loan |
| 838,503 |
| — |
| 838,503 |
| |||
Affinipay Midco, LLC, 1st Lien Revolver |
| 766,307 |
| 153,261 |
| 613,046 |
| |||
AMCP Clean Intermediate, LLC, 1st Lien Revolver |
| 1,100 |
| 581 |
| 519 |
| |||
Anaqua Parent Holdings, Inc., 1st Lien Delayed Draw Term Loan |
| 1,153,846 |
| — |
| 1,153,846 |
| |||
Anaqua Parent Holdings, Inc., 1st Lien Revolver |
| 230,769 |
| 76,923 |
| 153,846 |
| |||
Anchor Packaging, LLC, 1st Lien Delayed Draw Term Loan |
| 574,359 |
| — |
| 574,359 |
| |||
APG Intermediate Holdings Corporation |
| 804,480 |
| 40,224 |
| 764,256 |
| |||
APG Intermediate Holdings Corporation |
| 1,000 |
| 286 |
| 714 |
| |||
AQ Sunshine, Inc., 1st Lien Delayed Draw Term Loan |
| 139,106 |
| — |
| 139,106 |
| |||
AQ Sunshine, Inc., Initial 1st Lien Revolver |
| 136,423 |
| 122,781 |
| 13,642 |
| |||
ARM Funding, LLC, 1st Lien Revolver B |
| 2,500,000 |
| 554,211 |
| 1,945,789 |
| |||
Athenahealth, Inc., 1st Lien Revolver |
| 232,108 |
| — |
| 232,108 |
| |||
Atlas Intermediate III, LLC, 1st Lien Revolver |
| 226,620 |
| 151,080 |
| 75,540 |
| |||
Bearcat Buyer, Inc., 1st Lien Delayed Draw Term Loan |
| 1,014,196 |
| 321,991 |
| 692,205 |
| |||
Bearcat Buyer, Inc., 1st Lien Revolver, 1M LIBOR |
| 580,466 |
| 290,233 |
| 290,233 |
| |||
Bearcat Buyer, Inc., 2nd Lien Delayed Draw Term Loan |
| 580,465 |
| 184,298 |
| 396,167 |
| |||
BFS Receivables I, LLC, 1st Lien Revolver |
| 500,000 |
| 271,429 |
| 228,571 |
| |||
BFS Receivables I, LLC, 1st Lien Revolver |
| 500,000 |
| 271,429 |
| 228,571 |
| |||
Blue Angel Buyer 1, LLC, 1st Lien Delayed Draw Term Loan |
| 641,557 |
| 281,814 |
| 359,743 |
| |||
Blue Angel Buyer 1, LLC, 1st Lien Revolver |
| 321,199 |
| 128,480 |
| 192,719 |
| |||
Canopy Bidco, Ltd., Senior Capex Facility 1st Lien Term Loan, (Great Britain) |
| 621,926 |
| 160,513 |
| 461,413 |
| |||
Capnor Connery Bidco APS, Facility 1st Lien Term Loan D, (Denmark) |
| 6,784,105 |
| 598,171 |
| 6,185,934 |
| |||
CB-SDG, Ltd., GBP Acquisition Facility 1st Lien Term Loan, (Great Britain) |
| 394,873 |
| — |
| 394,873 |
| |||
Centric Brands, Inc., 1st Lien Revolver |
| 1,333 |
| 933 |
| 400 |
| |||
CEP V I 5 UK, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain) |
| 6,346,154 |
| — |
| 6,346,154 |
| |||
CHDG Phase 1A1 Manager LLC, Mezzanine Construction Term Loan |
| 1,128,904 |
| 968,904 |
| 160,000 |
| |||
Commify, Ltd., 1st Lien Acquisition Term Loan, (Great Britain) |
| 838,213 |
| — |
| 838,213 |
| |||
Comprehensive EyeCare Partners, LLC, 1st Lien Delayed Draw Term Loan |
| 419,706 |
| 340,912 |
| 78,794 |
| |||
Comprehensive EyeCare Partners, LLC, 1st Lien Revolver |
| 1,000 |
| 915 |
| 85 |
| |||
Concert Golf Partners Holdco, LLC, 1st Lien Delayed Draw Term Loan |
| 573,783 |
| 143,446 |
| 430,337 |
| |||
Concert Golf Partners Holdco, LLC, 1st Lien Revolver |
| 764,512 |
| 206,418 |
| 558,094 |
| |||
Cority Software Inc., 1st Lien Revolver |
| 230,579 |
| — |
| 230,579 |
| |||
CPI Holdco, LLC, 1st Lien Revolver |
| 3,435,381 |
| 3,366,605 |
| 68,776 |
| |||
Creation Holdings, Inc., 1st Lien Delayed Draw Term Loan |
| 449,326 |
| — |
| 449,326 |
| |||
Unfunded Security |
| Total revolving and delayed |
| Less: drawn |
| Total undrawn |
| |||
Creation Holdings, Inc., 1st Lien Revolver |
| $ | 544,813 |
| $ | 363,209 |
| $ | 181,604 |
|
CVP Holdco, Inc., 1st Lien Delayed Draw Term Loan |
| 2,727,249 |
| 808,661 |
| 1,918,588 |
| |||
CVP Holdco, Inc., 1st Lien Revolver |
| 326,487 |
| 321,590 |
| 4,897 |
| |||
DecoPac, Inc., Initial 1st Lien Revolver |
| 1,000 |
| 600 |
| 400 |
| |||
DFC Funding No. 1, Ltd., Mezzanine Revolver, (Great Britain |
| 1,368,236 |
| 1,143,879 |
| 224,357 |
| |||
DFC Global Facility Borrower III, LLC, 1st Lien Revolver |
| 10,000,000 |
| 7,924,255 |
| 2,075,745 |
| |||
DRB Holdings, LLC, 1st Lien Revolver, 6.75%, 10/06/2023 |
| 1,000 |
| — |
| 1,000 |
| |||
DRS Holdings III, Inc., 1st Lien Revolver |
| 1,000 |
| 800 |
| 200 |
| |||
Elemica Parent, Inc., 1st Lien Delayed Draw Term Loan |
| 561,538 |
| — |
| 561,538 |
| |||
Elemica Parent, Inc., 1st Lien Revolver |
| 478,712 |
| 350,657 |
| 128,055 |
| |||
eResearch Technology, Inc., 2nd Lien Delayed Draw Term Loan |
| 1,343,232 |
| — |
| 1,343,232 |
| |||
Evolent Health, LLC, 1st Lien Delayed Draw Term Loan |
| 3,518,192 |
| — |
| 3,518,192 |
| |||
FinFit SP, LLC, 1st Lien Revolver |
| 500,000 |
| 200,000 |
| 300,000 |
| |||
Floss Bidco, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain |
| 1,485,284 |
| 321,368 |
| 1,163,916 |
| |||
Flow Control Solutions, Inc., 1st Lien Delayed Draw Term Loan |
| 994,201 |
| — |
| 994,201 |
| |||
Flow Control Solutions, Inc., 1st Lien Revolver |
| 372,825 |
| 149,130 |
| 223,695 |
| |||
Foundation Risk Partners Corp., 1st Lien 1st Amendment Delayed Draw Term Loan |
| 789,898 |
| 788,409 |
| 1,489 |
| |||
Foundation Risk Partners Corp., 1st Lien 2nd Amendment Delayed Draw Term Loan |
| 3,233,510 |
| 2,502,104 |
| 731,406 |
| |||
Foundation Risk Partners Corp., 1st Lien 3rd Amendment Delayed Draw Term Loan |
| 1,259,713 |
| — |
| 1,259,713 |
| |||
Foundation Risk Partners Corp., 1st Lien Revolver |
| 3,000 |
| 1,800 |
| 1,200 |
| |||
Foundation Risk Partners Corp., 2nd Lien 2nd Amendment Delayed Draw Term Loan |
| 1,007,133 |
| 676,913 |
| 330,220 |
| |||
Foundation Risk Partners Corp., 2nd Lien 3rd Amendment Delayed Draw Term Loan |
| 720,610 |
| — |
| 720,610 |
| |||
FWR Holding Corp., Initial 1st Lien Revolver |
| 1,000 |
| 675 |
| 325 |
| |||
FWR Holding Corp., 1st Lien 2nd Amendment Delayed Draw Term Loan |
| 114,125 |
| 112,984 |
| 1,141 |
| |||
GB Auto Service, Inc., 1st Lien Delayed Draw Term Loan |
| 6,003,882 |
| 503,271 |
| 5,500,611 |
| |||
Glide Holdings, Ltd. (fka Cablecom Networking Holdings, Ltd.), GBP Accordian Facility 1st Lien Term Loan, (Great Britain) |
| 181,850 |
| 118,202 |
| 63,648 |
| |||
Global Merchant Financial Group Corp., Subordinated Delayed Draw Term Loan, (Canada) |
| 3,379,573 |
| 2,325,146 |
| 1,054,427 |
| |||
GPM Investments, LLC, 1st Lien Delayed Draw Term Loan A |
| 4,602,521 |
| — |
| 4,602,521 |
| |||
GPM Investments, LLC, 1st Lien Delayed Draw Term Loan B |
| 1,704,638 |
| — |
| 1,704,638 |
| |||
GraphPAD Software, LLC, 1st Lien Revolver |
| 1,000 |
| — |
| 1,000 |
| |||
GRP UK Bidco, Ltd., Acquisition Capex Facility 1st Lien Term Loan, (Great Britain) |
| 5,095,293 |
| — |
| 5,095,293 |
| |||
GRP UK Bidco, Ltd., Facility 1st Lien Term Loan B, (Great Britain) |
| 16,050,169 |
| — |
| 16,050,169 |
| |||
Hammersmith Bidco, Ltd., Acquisition Capex Facility 1st Lien Term Loan, (Great Britain) |
| 2,087,860 |
| 212,945 |
| 1,874,915 |
| |||
Hometown Food Co., 1st Lien Revolver |
| 1,000 |
| 867 |
| 133 |
| |||
IMIA Holdings, Inc., 1st Lien Revolver |
| 408,164 |
| 204,082 |
| 204,082 |
| |||
Unfunded Security |
| Total revolving and delayed |
| Less: drawn |
| Total undrawn |
| |||
IntraPac International, LLC, 1st Lien Revolver |
| $ | 415,406 |
| $ | 167,201 |
| $ | 248,205 |
|
Invoice Cloud, Inc., 1st Lien Delayed Draw Term Loan |
| 1,191,489 |
| 791,489 |
| 400,000 |
| |||
Invoice Cloud, Inc., 1st Lien Revolver |
| 255,319 |
| — |
| 255,319 |
| |||
Just Childcare, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain) |
| 531,056 |
| — |
| 531,056 |
| |||
Kellermeyer Bergensons Services, LLC, 1st Lien Delayed Draw Term Loan |
| 540,079 |
| — |
| 540,079 |
| |||
Kene Acquisition, Inc., 1st Lien Delayed Draw Term Loan |
| 634,323 |
| 485,728 |
| 148,595 |
| |||
Kene Acquisition, Inc., 1st Lien Revolver |
| 675,812 |
| 498,411 |
| 177,401 |
| |||
Laboratories Bidco, LLC, 1st Lien Revolver |
| 513,489 |
| — |
| 513,489 |
| |||
Lavatio Midco SARL, Acqusition Facility 1st Lien Term Loan, (Luxembourg) |
| 1,072,912 |
| 665,972 |
| 406,940 |
| |||
MB2 Dental Solutions, LLC, 1st Lien Revolver |
| 1,334 |
| 1,333 |
| 1 |
| |||
Micromeritics Instrument Corp., 1st Lien Revolver |
| 331,039 |
| 320,004 |
| 11,035 |
| |||
Mister Car Wash Holdings, Inc., 1st Lien Delayed Draw Term Loan |
| 106,721 |
| 106,589 |
| 132 |
| |||
Movati Athletic Group, Inc., 1st Lien Delayed Draw Term Loan, (Canada) |
| 179,092 |
| 101,890 |
| 77,202 |
| |||
MRI Software, LLC, 1st Lien Delayed Draw Term Loan |
| 1,007,317 |
| — |
| 1,007,317 |
| |||
MRI Software, LLC, 1st Lien Revolver |
| 507,672 |
| 253,836 |
| 253,836 |
| |||
Nelipak European Holdings Co., 1st Lien EUR Revolver, (Netherlands) |
| 640,885 |
| 259,826 |
| 381,059 |
| |||
NMC Skincare Intermediate Holdings II, LLC, 1st Lien Revolver |
| 333,333 |
| 213,333 |
| 120,000 |
| |||
NSF Funding 2020, Ltd., 1st Lien Revolver, (Great Britain) |
| 5,721,713 |
| — |
| 5,721,713 |
| |||
NSF Funding 2020, Ltd., 1st Lien Revolver, (Great Britain) |
| 8,582,570 |
| — |
| 8,582,570 |
| |||
Nuehealth Performance, LLC, 1st Lien Revolver |
| 1,000 |
| — |
| 1,000 |
| |||
NXTGenpay Intressenter Bidco AB, Facility 1st Lien Term Loan D, (Sweden) |
| 181,346 |
| — |
| 181,346 |
| |||
Oakley Ekomid, Ltd., CAR Facility 1st Lien Term Loan, (Great Britain) |
| 826,238 |
| — |
| 826,238 |
| |||
Olympia Acquisition, Inc., 1st Lien Delayed Draw Term Loan |
| 2,425,161 |
|
|
| 2,425,161 |
| |||
Olympia Acquisition, Inc., 1st Lien Revolver |
| 640,539 |
| 597,836 |
| 42,703 |
| |||
OMH-HealthEdge Holdings, LLC, 1st Lien Revolver |
| 1,000 |
| — |
| 1,000 |
| |||
P27 Bidco, Ltd., Capex Facility 1st Lien Term Loan, (Great Britain) |
| 404,724 |
| 80,945 |
| 323,779 |
| |||
Petroleum Service Group, LLC, 1st Lien Delayed Draw Term Loan |
| 1,314,230 |
| 108,424 |
| 1,205,806 |
| |||
Petroleum Service Group, LLC, 1st Lien Revolver |
| 2,105,660 |
| 2,001,383 |
| 104,277 |
| |||
Premise Health Holding Corp., 1st Lien Delayed Draw Term Loan |
| 1,103 |
| — |
| 1,103 |
| |||
Premise Health Holding Corp., 1st Lien Revolver |
| 1,000 |
| 955 |
| 45 |
| |||
Puerto Rico Waste Investment, LLC, 1st Lien Revolver, (Puerto Rico) |
| 157,737 |
| — |
| 157,737 |
| |||
QF Holdings, Inc., 1st Lien Delayed Draw Term Loan |
| 262,533 |
| — |
| 262,533 |
| |||
QF Holdings, Inc., 1st Lien Revolver |
| 1,000 |
| 667 |
| 333 |
| |||
Radius Aerospace Europe, Ltd., 1st Lien GBP Revolver, (Great Britain) |
| 231,000 |
| 106,615 |
| 124,385 |
| |||
Radius Aerospace, Inc., 1st Lien Revolver |
| 428,572 |
| 257,143 |
| 171,429 |
| |||
Raptor Technologies, LLC, 1st Lien Delayed Draw Term Loan |
| 1,029,174 |
| 656,884 |
| 372,290 |
| |||
Reddy Ice Holdings, Inc., 1st Lien Delayed Draw Term Loan |
| 955,102 |
| 487,102 |
| 468,000 |
| |||
Reddy Ice Holdings, Inc., 1st Lien Revolver |
| 955,102 |
| 372,490 |
| 582,612 |
| |||
Revint Intermediate II, LLC, 1st Lien Revolver |
| 1,000 |
| 896 |
| 104 |
| |||
Unfunded Security |
| Total revolving and delayed |
| Less: drawn |
| Total undrawn |
| |||
RSC Acquisition, Inc., 1st Lien Delayed Draw Term Loan |
| $ | 554,024 |
| $ | — |
| $ | 554,024 |
|
RSC Acquisition, Inc., Initial 1st Lien Revolver |
| 1,000 |
| — |
| 1,000 |
| |||
RSK Group, Ltd., Acquisition 1st Lien Term Loan, (Great Britain) |
| 310,963 |
| — |
| 310,963 |
| |||
RSK Group, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain) |
| 628,647 |
| 614,512 |
| 14,135 |
| |||
SaintMichelCo, Ltd., Acquisition Facility 1st Lien Term Loan, (Great Britain) |
| 373,155 |
| 199,016 |
| 174,139 |
| |||
SCSG EA Acquisition Co., Inc., 1st Lien Revolver |
| 1,000 |
| 222 |
| 778 |
| |||
SecurAmerica, LLC, 1st Lien Delayed Draw Term Loan C |
| 573,057 |
| — |
| 573,057 |
| |||
SecurAmerica, LLC, 1st Lien Revolver |
| 1,125 |
| 790 |
| 335 |
| |||
Sigma Electric Manufacturing Corp., 1st Lien Revolver |
| 1,333 |
| 1,111 |
| 222 |
| |||
SiroMed Physician Services, Inc., 1st Lien Revolver |
| 1,000 |
| — |
| 1,000 |
| |||
SpareFoot, LLC, 1st Lien Revolver |
| 1,000 |
| 829 |
| 171 |
| |||
Spectra Finance, LLC, Initial 1st Lien Revolver |
| 1,000 |
| 972 |
| 28 |
| |||
Symbol Bidco I, Ltd., Acquisition Capex Facility 1st Lien Term Loan (Great Britain) |
| 533,078 |
| — |
| 533,078 |
| |||
TA/WEG Holdings, LLC, Initial 1st Lien Delayed Draw Term Loan |
| 2,186,890 |
| 298,212 |
| 1,888,678 |
| |||
Teligent, Inc., 1st Lien Revolver |
| 1,100 |
| 1,000 |
| 100 |
| |||
TimeClock Plus, LLC, 1st Lien Delayed Draw Term Loan |
| 495,170 |
| — |
| 495,170 |
| |||
True Potential LLP, Acquisition Facility 1st Lien Term Loan, (Great Britain) |
| 2,417,019 |
| 618,740 |
| 1,798,279 |
| |||
Ultimate Software Group, Inc. (The), 1st Lien Revolver |
| 1,000 |
| 891 |
| 109 |
| |||
Ultimus Group Midco, LLC (The), 1st Lien Revolver |
| 396,226 |
| 226,415 |
| 169,811 |
| |||
United Digestive MSO Parent, LLC, 1st Lien Delayed Draw Term Loan |
| 1,022,727 |
| — |
| 1,022,727 |
| |||
United PF Holdings, LLC, Initial 1st Lien Delayed Draw Term Loan |
| 440,678 |
| — |
| 440,678 |
| |||
Visolit Finco A/S, 1st Lien Committed Accordion Term Loan, (Norway) |
| 1,073,976 |
| — |
| 1,073,976 |
| |||
VLS Recovery Services, LLC, 1st Lien Delayed Draw Term Loan C |
| 1,070,365 |
| — |
| 1,070,365 |
| |||
VLS Recovery Services, LLC, 1st Lien Revolver |
| 1,000 |
| 970 |
| 30 |
| |||
WebPT, Inc., 1st Lien Delayed Draw Term Loan |
| 255,205 |
| — |
| 255,205 |
| |||
Wildcat Buyerco, Inc., 1st Lien Delayed Draw Term Loan |
| 1,080,793 |
| — |
| 1,080,793 |
| |||
Wildcat Buyerco, Inc., 1st Lien Revolver |
| 255,015 |
| — |
| 255,015 |
| |||
WSHP FC Acquisition, LLC, 1st Lien Delayed Draw Term Loan |
| 350,877 |
| — |
| 350,877 |
| |||
WSHP FC Acquisition, LLC, 1st Lien Revolver |
| 88,720 |
| 53,232 |
| 35,488 |
| |||
Total |
| $ | 156,366,021 |
| $ | 40,194,838 |
| $ | 116,171,183 |
|
(h) | This position or a portion of this position represents an unsettled loan purchase. The interest rate will be determined at the time of settlement and will be based upon the applicable base rate or floor plus a spread which was determined at the time of purchase. |
(i) | Includes a Payment-In-Kind (“PIK”) provision. |
(j) | Loan was on non-accrual status as of March 31, 2020. |
(k) | Security valued at fair value using methods determined in good faith by or under the direction of the board of trustees. |
(l) | Collateralized Loan Obligations are all issued as 144A securities. |
(m) | Non-income producing security as of March 31, 2020. |
(n) | The Fund sold a participating interest of $500,000 of aggregate principal amount of the portfolio company’s first lien revolver. As the transaction did not qualify as a “true sale” in accordance with U.S. generally accepted accounting principles, the Fund recorded a corresponding $263,929 secured borrowing for the $263,929 that has been funded thus far |
(o) | The Fund sold a participating interest of £6,900,000 of aggregate principal amount of the portfolio company’s first lien revolver. As the transaction did not qualify as a “true sale” in accordance with U.S. generally accepted accounting principles, the Fund recorded no corresponding secured borrowing as the position was fully unfunded as of March 31, 2020. |
As of March 31, 2020, the aggregate cost of securities for Federal income tax purposes was $853,501,518.
Unrealized appreciation and depreciation on investments for Federal income tax purposes are as follows:
Gross unrealized appreciation |
| $ | 3,866,928 |
|
Gross unrealized depreciation |
| (106,781,456 | ) | |
Net unrealized depreciation |
| $ | (102,914,528 | ) |
Foreign Forward Currency Contracts
On March 31, 2020, CION Ares Diversified Credit Fund had entered into forward foreign currency contracts that obligate the Fund to deliver currencies at specified future dates. Unrealized appreciation and depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts were as follows:
Description |
| Notional Amount |
| Notional Amount |
| Counterparty |
| Settlement Date |
| Unrealized |
| Unrealized |
| |||||
Foreign currency forward contract |
| $ | (632,233 | ) | NOK | (537,963 | ) | Goldman Sachs |
| April 17, 2020 |
| $ | 94,269 |
| $ | — |
| |
Foreign currency forward contract |
| $ | (1,914,704 | ) | SEK | (1,839,327 | ) | Goldman Sachs |
| April 17, 2020 |
| 75,377 |
| — |
| |||
Foreign currency forward contract |
| $ | (3,513,467 | ) | NOK | (3,263,962 | ) | Goldman Sachs |
| April 17, 2020 |
| 249,505 |
| — |
| |||
Foreign currency forward contract |
| $ | (1,228,270 | ) | £ | (1,248,851 | ) | Goldman Sachs |
| April 17, 2020 |
| — |
| (20,580 | ) | |||
Foreign currency forward contract |
| $ | (11,181,742 | ) | £ | (11,765,082 | ) | Goldman Sachs |
| April 20, 2020 |
| — |
| (583,340 | ) | |||
Foreign currency forward contract |
| £ | 9,897,227 |
| $ | 10,347,929 |
| Goldman Sachs |
| April 20, 2020 |
| 450,702 |
| — |
| |||
Foreign currency forward contract |
| £ | 1,409,983 |
| $ | 1,417,153 |
| Goldman Sachs |
| April 20, 2020 |
| 7,170 |
| — |
| |||
Total |
|
|
|
|
|
|
|
|
| $ | 877,023 |
| $ | (603,920 | ) | |||
Purchased options outstanding as of March 31, 2020 were as follows:
Credit Default Swaptions on Credit Indices — Buy Protection
Description |
| Exercise |
| Expiration Date |
| Counterparty |
| Notional Amount |
| Premium |
| Fair Value |
| ||||
Call-Markit CDX North America High Yield |
| $ | 97 |
| June 17, 2020 |
| Barclays Capital Inc. |
| $ | 500,000 |
| $ | 3,185 |
| $ | 9,991 |
|
Put-Markit CDX North America High Yield |
| 88 |
| April 15, 2020 |
| Goldman Sachs |
| 5,000,000 |
| 46,550 |
| 44,227 |
| ||||
Total Purchased Options |
|
|
|
|
|
|
|
|
| $ | 49,735 |
| $ | 54,218 |
| ||
Written options outstanding as of March 31, 2020 were as follows:
Credit Default Swaptions on Credit Indices — Sell Protection
Description |
| Exercise |
| Expiration Date |
| Counterparty |
| Notional Amount |
| Premium |
| Fair Value |
| ||||
Put-Markit CDX North America High Yield |
| $ | 101 |
| June 17, 2020 |
| Goldman Sachs |
| $ | 500,000 |
| $ | 245 |
| $ | (3,493 | ) |
Total Written Options |
|
|
|
|
|
|
|
|
| $ | 245 |
| $ | (3,493 | ) | ||
Swap Agreements outstanding as of March 31, 2020 were as follows:
Swap Agreements: Centrally Cleared or Exchange Traded
Credit Default Swaps on Credit Indices — Buy Protection (1)
Description |
| Payment |
| Fixed Deal |
| Expiration Date |
| Exchange |
| Notional |
| Value (3) |
| Upfront |
| Unrealized |
| ||||
CDX.NA.HY S33 5Y |
| Q |
| 5.00% |
| December 20, 2024 |
| ICE |
| $ | 1,751,400 |
| $ | 108,097 |
| $ | 70,721 |
| $ | 37,376 |
|
Swap Agreements: Over the Counter
Credit Default Swaps on Credit Indices — Buy Protection (1)
Description |
| Payment |
| Fixed Deal |
| Expiration Date |
| Counterparty |
| Notional |
| Value (3) |
| Upfront |
| Unrealized |
| ||||
CDX.NA.HY S27 Tranche 0-15 |
| Q |
| 5.00% |
| December 20, 2021 |
| Goldman Sachs |
| $ | 87,806 |
| $ | 64,707 |
| $ | 31,830 |
| $ | 32,877 |
|
CDX.NA.HY S31 Tranche 15-25 |
| Q |
| 5.00% |
| December 20, 2023 |
| Goldman Sachs |
| 2,784,000 |
| 632,005 |
| (160,313 | ) | 792,318 |
| ||||
CDX.NA.HY S31 Tranche 25-35 |
| Q |
| 5.00% |
| December 20, 2023 |
| Goldman Sachs |
| 500,000 |
| (6,430 | ) | 56,250 |
| (62,680 | ) | ||||
JWN CDS USD SR 5Y D14 |
| Q |
| 1.00% |
| June 20, 2024 |
| Goldman Sachs |
| 210,000 |
| 26,861 |
| 11,722 |
| 15,139 |
| ||||
CDX.NA.HY S33 Tranche 15-25 |
| Q |
| 5.00% |
| December 20, 2024 |
| Goldman Sachs |
| 137,500 |
| 37,687 |
| 37,400 |
| 287 |
| ||||
CMBX.NA.BBB-.9 |
| M |
| 3.00% |
| September 17, 2058 |
| Goldman Sachs |
| 750,000 |
| 190,801 |
| 124,998 |
| 65,803 |
| ||||
Total Swap Agreements: Over the Counter |
|
|
|
|
|
|
|
|
|
|
| $ | 945,631 |
| $ | 101,887 |
| $ | 843,744 |
| |
Total Swap Agreements |
|
|
|
|
|
|
|
|
|
|
| $ | 1,053,728 |
| $ | 172,608 |
| $ | 881,120 |
| |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
|
|
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Abbreviations: | |
| |
144A | Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
CLO | Collateralized Loan Obligation |
| |
Currencies: | |
€ | Euro Currency |
£ | British Pounds |
$ | U.S. Dollars |
CAD | Canadian Dollars |
DKK | Danish Krone |
GBP | British Pound |
NOK | Norwegian Krone |
SEK | Swedish Krone |
USD | U.S. Dollars |
CION Ares Diversified Credit Fund
Notes to Financial Statements
March 31, 2020 (Unaudited)
(1) Organization
CION Ares Diversified Credit Fund (the “Fund”) is a diversified, closed-end management investment company that is registered under the Investment Company Act of 1940. The Fund is structured as an interval fund and continuously offers its shares. The Fund was organized as a Delaware statutory trust on June 21, 2016. CION Ares Management, LLC (the “Adviser”) serves as the investment Adviser to the Fund and was registered as an investment adviser with the Securities and Exchange Commission (“SEC”) under the Investment Advisers Act of 1940 (the “Advisers Act”) on January 4, 2017. The Adviser is a joint venture between affiliates of Ares Management Corporation (“Ares”) and CION Investment Group, LLC (“CION”) and is controlled by Ares. The Adviser oversees the management of the Fund’s activities and is responsible for making investment decisions for the Fund’s portfolio.
On August 2, 2018, the Fund formed a wholly owned special purpose financing vehicle, CADEX Credit Financing, LLC (the “Financing Sub”), a Delaware limited liability company.
Investment Objective and Policies
The Fund’s investment objective is to provide superior risk-adjusted returns across various market cycles by investing in a diversified portfolio of liquid and illiquid asset classes. The Fund seeks to capitalize on market inefficiencies and relative value opportunities throughout the entire global credit spectrum.
(2) Significant Accounting Policies
Basis of Presentation
The accompanying consolidated Schedule of investments has been prepared on an accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“GAAP”), and includes the accounts of the Fund and its consolidated subsidiaries. The Fund is an investment company following accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. The Adviser makes estimates and assumptions that affect the reported amounts and disclosures in the consolidated Schedule of investments. Actual results may differ from those estimates and such differences may be material.
Investments Valuation
All investments in securities are recorded at their fair value. See Note 3 for more information on the Fund’s valuation process.
Interest Income
Interest income is recorded on the accrual basis to the extent that such amounts are expected to be collected and adjusted for accretion of discounts and amortization of premiums. The Fund may have investments that contain payment-in-kind (“PIK”) provisions. The PIK interest, computed at the contractual rate specified, may be added to the principal balance and adjusted cost of the investments and recorded as interest income. The PIK interest added to the principal balance is generally collected upon repayment of the outstanding principal. The PIK interest for the period ended March 31, 2020 was $316,954 recorded as interest income.
Loans are generally placed on non-accrual status when principal or interest payments are past due 30 days or more or when there is reasonable doubt that principal or interest will be collected in full. Accrued and unpaid interest is generally reversed when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current. The Fund may make exceptions to this policy if the loan has sufficient collateral value (i.e., typically measured as enterprise value of the portfolio company) and is in the process of collection.
Discounts and Premiums
Discounts and premiums on securities purchased are accreted/amortized over the life of the respective security using the effective interest method. The adjusted cost of investments represents the original cost adjusted for PIK interest, the accretion of discounts, and amortization of premiums.
CION Ares Diversified Credit Fund
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Cash and Cash Equivalents
The Fund considers all highly liquid investments with original maturities of 90 days or less to be cash equivalents. The Fund’s cash and cash equivalents are maintained with a major United States financial institution, which is a member of the Federal Deposit Insurance Corporation. While the Fund’s current cash balance exceeds insurance limits, the risk of loss is remote.
Investment Transactions, Related Investment Income and Expenses
Investment transactions are accounted for on the trade date. Investments for which market quotations are readily available are typically valued at such market quotations. In order to validate market quotations, the Fund looks at a number of factors to determine if the quotations are representative of fair value, including the source and nature of the quotations. Debt and equity securities that are not publicly traded or whose market prices are not readily available are valued at fair value as determined in good faith by the Adviser in accordance with the Fund’s valuation policy (the “Valuation Policy”). The Valuation Policy is reviewed and approved at least annually by the Fund’s board of trustees (the “Board”). The Adviser has been authorized by the Board to utilize independent third-party pricing and valuation services to assist in the valuation of each portfolio investment without a readily available market quotation at least once during a trailing 12-month period (with certain de minimis exceptions) in accordance with the Valuation Policy and a consistently applied valuation process. As part of the valuation process for investments that do not have readily available market prices, the Adviser may take into account the following types of factors, if relevant, in determining the fair value of the Fund’s investments: the enterprise value of a portfolio company (the entire value of the portfolio company to a market participant, including the sum of the values of debt and equity securities used to capitalize the enterprise at a point in time), the nature and realizable value of any collateral, the portfolio company’s ability to make payments and its earnings and discounted cash flow, the markets in which the portfolio company does business, a comparison of the portfolio company’s securities to any similar publicly traded securities, changes in the interest rate environment and the credit markets, which may affect the price at which similar investments would trade in their principal markets and other relevant factors. When an external event such as a purchase transaction, public offering or subsequent equity sale occurs, the Adviser considers the pricing indicated by the external event to corroborate its valuation.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of the Fund’s investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that the Fund may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If the Fund was required to liquidate a portfolio investment in a forced or liquidation sale, the Fund could realize significantly less than the value at which the Fund has recorded it.
In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected in the valuations currently assigned.
See Note 3 for more information on the Fund’s valuation process.
Interest income, adjusted for amortization of premiums and accretion of discounts on investments, is earned from settlement date and is recorded on the accrual basis. Realized gains and losses are reported on the specific identification method. Expenses are recorded on the accrual basis as incurred.
Realized and unrealized gains and losses and net investment income, excluding class specific expenses are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Differences in per share distributions by class are generally due to differences in class specific expenses.
Foreign Currency Transactions and Forward Foreign Currency Contracts
Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates effective on the date of valuation; and (ii) purchases and sales of investments and income and expense items denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates prevailing on transaction dates.
CION Ares Diversified Credit Fund
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
The Fund does not isolate that portion of the results of operations resulting from the changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates of securities transactions, and the difference between the amounts of income and expense items recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from the changes in fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.
Investments in foreign companies and securities of foreign governments may involve special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include, among other things, revaluation of currencies, less reliable information about issuers, different transaction clearance and settlement practices, and potential future adverse political and economic developments. Moreover, investments in foreign companies and securities of foreign governments and their markets may be less liquid and their prices more volatile than those of comparable U.S. companies and the U.S. government.
The Fund may enter into forward foreign currency exchange contracts for operational purposes and to protect against adverse exchange rate fluctuations. A forward foreign currency contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date. The Fund may also enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one currency to another. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using foreign currency exchange rates from an independent pricing service. The Fund is subject to the credit risk that the other party will not complete the obligations of the contract. The fair values of the forward foreign currency exchange contracts are obtained from an independent pricing source.
Commitments and Contingencies
In the normal course of business, the Fund’s investment activities involve executions, settlement and financing of various transactions resulting in receivables from, and payables to, brokers, dealers and the Fund’s custodian. These activities may expose the Fund to risk in the event that such parties are unable to fulfill contractual obligations. Management does not anticipate any material losses from counterparties with whom it conducts business. Consistent with standard business practice, the Fund enters into contracts that contain a variety of indemnifications, and is engaged from time to time in various legal actions. The maximum exposure of the Fund under these arrangements and activities is unknown. However, the Fund expects the risk of material loss to be remote.
Commitments to extend credit include loan proceeds the Fund is obligated to advance, such as delayed draws or revolving credit arrangements. Commitments generally have fixed expiration dates or other termination clauses. Unrealized gains or losses associated with unfunded commitments are recorded in the consolidated financial statements and reflected as an adjustment to the fair value of the related security in the consolidated Schedule of Investments. The par amount of the unfunded commitments is not recognized by the Fund until it becomes funded. As of March 31, 2020, the value of loans disclosed in the consolidated Schedule of Investments does not include unfunded commitments, which total $116,171,183.
(3) Investments
Fair Value Measurements
The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures under U.S. GAAP, which among other matters, requires enhanced disclosures about investments that are measured and reported at fair value. This standard defines fair value and establishes a hierarchal disclosure framework, which prioritizes and ranks the level of market price observability used in measuring investments at fair value and expands disclosures about assets and liabilities measured at fair value. ASC 820 defines “fair value” as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The hierarchal disclosure framework establishes a three-tier hierarchy to maximize the use of observable data and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would
CION Ares Diversified Credit Fund
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique.
Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances. The three tier hierarchy of inputs is summarized in the three broad levels listed below.
· Level 1 — Valuations based on quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
· Level 2 — Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
· Level 3 — Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
In addition to using the above inputs in investment valuations, the Fund continues to employ a valuation policy that is consistent with the provisions of ASC 820. Consistent with the Fund’s valuation policy, it evaluates the source of inputs, including any markets in which the Fund’s investments are trading (or any markets in which securities with similar attributes are trading), in determining fair value. The Fund’s valuation policy considers the fact that because there may not be a readily available market value for the investments in the Fund’s portfolio, therefore, the fair value of the investments may be determined using unobservable inputs.
The assets and liabilities classified as Level 1 or Level 2 are typically valued based on quoted market prices, forward foreign exchange rates, dealer quotations or alternative pricing sources supported by observable inputs. The Adviser obtains prices from independent pricing services which generally utilize broker quotes and may use various other pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. The Adviser is responsible for all inputs and assumptions related to the pricing of securities. The Adviser has internal controls in place that support its reliance on information received from third-party pricing sources. As part of its internal controls, the Adviser obtains, reviews, and tests information to corroborate prices received from third-party pricing sources. For any security, if market or dealer quotations are not readily available, or if the Adviser determines that a quotation of a security does not represent a fair value, then the security is valued at a fair value as determined in good faith by the Adviser and will be classified as Level 3. In such instances, the Adviser will use valuation techniques consistent with the market or income approach to measure fair value and will give consideration to all factors which might reasonably affect the fair value.
The assets and liabilities classified as Level 3 (other than as described below in the following paragraph) are typically valued using two different valuation techniques. The first valuation technique is an analysis of the enterprise value (“EV”) of the portfolio company. Enterprise value means the entire value of the portfolio company to a market participant, including the sum of the values of debt and equity securities used to capitalize the enterprise at a point in time. The primary method for determining EV uses a multiple analysis whereby appropriate multiples are applied to the portfolio company’s EBITDA (generally defined as net income before net interest expense, income tax expense, depreciation and amortization). EBITDA multiples are typically determined based upon review of market comparable transactions and publicly traded comparable companies, if any. The Fund may also employ other valuation multiples to determine EV, such as revenues. The Fund may also use industry specific valuation analyses to determine enterprise value, such as capitalization rate analysis used in the real estate industry. The second method for determining EV uses a discounted cash flow analysis whereby future expected cash flows of the portfolio company are discounted to determine a present value using estimated discount rates (typically a weighted average cost of capital based on costs of debt and equity consistent with current market conditions). The EV analysis is performed to determine the value of equity investments, the value of debt investments in portfolio companies where the Fund has control or could gain control through an option or warrant security, and to determine if there is credit impairment for debt investments. If debt investments are credit impaired, an EV analysis may be used to value such debt investments; however, in addition to the methods outlined above, other methods such as a liquidation or wind down analysis may be utilized to estimate enterprise value. The second valuation technique is a yield analysis, which is typically performed for non-credit impaired debt investments in portfolio companies where the Fund does not own a controlling equity position. To determine fair value using a yield analysis, a current price is imputed for the investment based upon an assessment of the expected market yield for a similarly structured investment with a similar level of risk. In the yield analysis, the Fund considers the current contractual interest rate, the
CION Ares Diversified Credit Fund
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
maturity and other terms of the investment relative to risk of the company and the specific investment. A key determinant of risk, among other things, is the leverage through the investment relative to the enterprise value of the portfolio company. As debt investments held by the Fund are substantially illiquid with no active transaction market, the Fund depends on primary market data, including newly funded transactions, as well as secondary market data with respect to high yield debt instruments and syndicated loans, as inputs in determining the appropriate market yield, as applicable.
The fair value of CLOs is estimated based on various valuation models from third-party pricing services as well as internal models. The valuation models generally utilize discounted cash flows and take into consideration prepayment and loss assumptions, based on historical experience and projected performance, economic factors, the characteristics and condition of the underlying collateral, comparable yields for similar securities and recent trading activity. These securities are classified as Level 3.
Private asset-backed securities classified as Level 3 are typically valued using two different valuation techniques. The first valuation technique is an analysis of the forecasted cash flows of the security. The forecasted cash flows take into consideration prepayment and loss assumptions, based on historical experience and projected performance, economic factors, and the characteristics and condition of the underlying collateral. For equity securities, the projected cash flows are present valued using a market discount rate to determine the fair value. For debt securities, the analysis is used to determine if the borrower has the ability to repay its obligations. If it is determined that the borrower does have the ability to repay its obligations, the second valuation technique that is utilized is a yield analysis. To determine fair value using a yield analysis, a current price is imputed for the investment based upon an assessment of the expected market yield for a similarly structured investment with a similar level of risk. In the yield analysis, the Fund considers the current contractual interest rate, the maturity and other terms of the investment relative to risk of the borrower and the specific investment. As the debt investments are substantially illiquid with no active transaction market, the Fund depends on primary market data, including newly funded transactions, as inputs in determining the appropriate market yield, as applicable.
The following is a summary of the inputs used as of March 31, 2020, in valuing the Fund’s investments carried at fair value:
|
| Level 1 - Quoted |
| Level 2 - Other |
| Level 3 - Significant |
| Total |
| ||||
Senior Loans |
| $ | — |
| $ | 151,154,565 |
| $ | 445,298,482 |
| $ | 596,453,047 |
|
Subordinated Loans |
| — |
| — |
| 8,652,094 |
| 8,652,094 |
| ||||
Corporate Bonds |
| — |
| 17,636,787 |
| — |
| 17,636,787 |
| ||||
Collateralized Loan Obligations |
| — |
| — |
| 110,622,068 |
| 110,622,068 |
| ||||
Common Stocks |
| 168,024 |
| — |
| 1,980,590 |
| 2,148,614 |
| ||||
Preferred Stocks |
| — |
| — |
| 298,685 |
| 298,685 |
| ||||
Private Asset-Backed Debt |
| — |
| — |
| 8,843,413 |
| 8,843,413 |
| ||||
Real Estate Debt |
| — |
| — |
| 5,462,919 |
| 5,462,919 |
| ||||
Warrants |
| — |
| — |
| 469,363 |
| 469,363 |
| ||||
Total Investments |
| $ | 168,024 |
| $ | 168,791,352 |
| $ | 581,627,614 |
| $ | 750,586,990 |
|
Derivative Assets: |
|
|
|
|
|
|
|
|
| ||||
Foreign Forward Currency Contracts |
| $ | — |
| $ | 877,023 |
| $ | — |
| $ | 877,023 |
|
Credit Default Purchased Options |
| — |
| 54,218 |
| — |
| 54,218 |
| ||||
Credit Default Swaps |
| — |
| 1,060,158 |
| — |
| 1,060,158 |
| ||||
Derivative Liabilities: |
|
|
|
|
|
|
|
|
| ||||
Foreign Forward Currency Contracts |
| $ | — |
| $ | (603,920 | ) | $ | — |
| $ | (603,920 | ) |
Credit Default Written Options |
| — |
| (3,493 | ) | — |
| (3,493 | ) | ||||
Credit Default Swaps |
| — |
| (6,430 | ) | — |
| (6,430 | ) |
The following is a reconciliation of the Fund’s investments in which significant unobservable inputs (Level 3) were used in determining fair value.
For the period ended March 31, 2020:
|
| Senior Loans |
| Subordinated |
| Collateralized |
| Common |
| Preferred |
| Private Asset |
| Real Estate |
| Warrants ($) |
| Total ($) |
| |||||||||
Balance as of December 31, 2019 |
| $ | 336,700,275 |
| $ | 1,150,157 |
| $ | 118,100,940 |
| $ | 803,875 |
| $ | 268,294 |
| $ | 9,800,576 |
| $ | 5,510,966 |
| $ | 467,292 |
| $ | 472,802,375 |
|
Purchases(a) |
| 125,304,920 |
| 7,714,822 |
| 53,119,930 |
| 1,210,024 |
| 48,500 |
| 357,488 |
| 77,084 |
| — |
| 187,832,768 |
| |||||||||
Sales(b) |
| (15,424,483 | ) | (27,996 | ) | (12,320,646 | ) | (76,867 | ) | — |
| — |
| — |
| — |
| (27,849,992 | ) | |||||||||
CION Ares Diversified Credit Fund
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Net Realized and Unrealized Gains (Loss) |
| (26,001,210 | ) | (190,700 | ) | (48,306,830 | ) | 43,558 |
| (18,109 | ) | (1,320,825 | ) | (126,646 | ) | 2,071 |
| (75,918,691 | ) | |||||||||
Accrued Discounts/ (Premiums) |
| 428,349 |
| 5,811 |
| 28,674 |
| — |
| — |
| 6,174 |
| 1,515 |
| — |
| 470,523 |
| |||||||||
Transfers in to Level 3 |
| 25,915,274 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 25,915,274 |
| |||||||||
Transfers out of Level 3 |
| (1,624,643 | ) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| (1,624,643 | ) | |||||||||
Balance as of March 31, 2020 |
| $ | 445,298,482 |
| $ | 8,652,094 |
| $ | 110,622,068 |
| $ | 1,980,590 |
| $ | 298,685 |
| $ | 8,843,413 |
| $ | 5,462,919 |
| $ | 469,363 |
| $ | 581,627,614 |
|
Net Change in Unrealized appreciation/ (depreciation) from investments held at March 31, 2020 |
| $ | (25,244,320 | ) | $ | (191,775 | ) | $ | (48,155,478 | ) | $ | 16,691 |
| $ | (18,109 | ) | $ | (1,320,825 | ) | $ | (126,646 | ) | $ | 2,070 |
| $ | (75,038,392 | ) |
(a) Purchases include PIK interest and securities received from restructure.
(b) Sales include principal redemptions.
Investments were transferred into and out of Level 3 and out of and into Level 2 during the period ended March 31, 2020 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by the Adviser.
The following table summarizes the quantitative inputs and assumptions used for investments in securities at fair value categorized as Level 3 in the fair value hierarchy as of March 31, 2020.
|
| Fair Value |
| Valuation Technique |
| Unobservable Inputs |
| Range |
| Weighted |
| |
Assets |
|
|
|
|
|
|
|
|
|
|
| |
Investments in securities |
|
|
|
|
|
|
|
|
| |||
Senior Loans |
| $ | 466,711 |
| Income (Other) |
| Constant Default Rate (CDR), Constant Prepayment Rate (CPR) , Recovery Rate |
| 25.9%, 0%, 25.0% |
| 25.9%, 0%, 25.0% |
|
Senior Loans |
| 48,178,039 |
| Broker Quotes and/or 3rd Party Pricing Services |
| N/A |
| N/A |
| N/A |
| |
Senior Loans |
| 396,653,732 |
| Yield Analysis |
| Market Yield |
| 5.3% - 25.5% |
| 9.1% |
| |
Subordinated Loans |
| 8,652,094 |
| Yield Analysis |
| Market Yield |
| 10.5% – 18.7% |
| 12.2% |
| |
Collateralized Loan Obligation |
| 656 |
| Other |
| Estimated Liquidation Value |
| $160 – $496 |
| $310 |
| |
Collateralized Loan Obligations |
| 92,501,499 |
| Broker Quotes and/or 3rd Party Pricing Services |
| N/A |
| N/A |
| N/A |
| |
Collateralized Loan Obligations |
| 14,065,708 |
| Other |
| Recent Transaction Price |
| 0.84 - 0.89 |
| 0.87 |
| |
Collateralized Loan Obligations |
| 4,054,205 |
| Yield Analysis |
| Market Yield |
| 17.0% - 30.0% |
| 17.0% - 30.0% |
| |
Common Stocks |
| 1,980,590 |
| EV Market Multiple Analysis |
| EBITDA Multiple |
| 7.5x – 26.5x |
| 16.9x |
| |
Preferred Stocks |
| 298,685 |
| EV Market Multiple Analysis |
| EBITDA Multiple |
| 9.0x – 22.0x |
| 16.2x |
| |
Private Asset-Backed Debt |
| 527,858 |
| Income (Other) |
| Cumulative Collection Rate |
| 1.12 |
| 1.12 |
| |
CION Ares Diversified Credit Fund
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Private Asset-Backed Debt |
| 7,724,255 |
| Income (Other) |
| MPL: Constant Default Rate (CDR), Constant Prepayment Rate (CPR), Recovery Rate; SPL: Collection Rate |
| CAD MPL: 18.0% / 30.0% / 0.0%; US MPL: 33.8% / 16.0% / 0.0%; US SPL: 88.3%; CAD SPL: 89.1% |
| CAD MPL: 18.0% / 30.0% / 0.0%; US MPL: 33.8% / 16.0% / 0.0%; US SPL: 88.3%; CAD SPL: 89.1% |
| |
Private Asset-Backed Debt |
| 1,306,514 |
| Income (Other) |
| Constant Default (CDR), Constant Prepayment Rate (CPR), Recovery Rate |
| 15.0% - 70.0%, 0.0%, 0.0% |
| 15.0% - 70.0%, 0.0%, 0.0% |
| |
Private Asset-Backed Debt |
| (715,214) |
| Yield Analysis |
| Market Yield |
| 9.5% - 13.1% |
| 9.5% - 13.1% |
| |
Real Estate Debt |
| 5,462,919 |
| Yield Analysis |
| Market Yield |
| 14.0% – 20.0% |
| 15.7% |
| |
Warrants |
| 469,363 |
| EV Market Multiple Analysis |
| EBITDA Multiple |
| 7.0x – 28.8x |
| 28.6x |
| |
Total Level 3 Investments |
| $ | 581,627,614 |
|
|
|
|
|
|
|
|
|
Changes in market yields or discount rates, each in isolation, may change the fair value of certain of the investments. Generally, an increase in market yields or discount rates may result in a decrease in the fair value of certain of the investments.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the investments may fluctuate from period to period. Additionally, the fair value of the investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that the Fund may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If the Fund was required to liquidate a portfolio investment in a forced or liquidation sale, it could realize significantly less than the value at which the Fund has recorded it.
In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected in the values currently assigned.