| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | Description (1) | | | | | | | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | LONG-TERM INVESTMENTS – 138.9% (98.0% of Total Investments) | |
| |
| | | | CORPORATE BONDS – 98.1% (69.2% of Total Investments) | |
| | | | |
| | | Aerospace & Defense – 4.6% | | | | | | | | | | |
| | | | | | | |
$ | 3,000 | | | Bombardier Inc, 144A | | | | | | | | | | | 8.750% | | | | 12/01/21 | | | | B | | | $ | 3,240,000 | |
| 6,000 | | | Bombardier Inc, 144A | | | | | | | | | | | 6.000% | | | | 10/15/22 | | | | B | | | | 5,992,500 | |
| 3,000 | | | TransDigm Inc | | | | | | | | | | | 6.000% | | | | 7/15/22 | | | | B– | | | | 3,045,000 | |
| 12,000 | | | Total Aerospace & Defense | | | | | | | | 12,277,500 | |
| | | |
| | | Airlines – 1.3% | | | | | | | |
| | | | | | | |
| 3,250 | | | American Airlines Group Inc, 144A | | | | | | | | | | | 5.000% | | | | 6/01/22 | | | | BB– | | | | 3,374,637 | |
| | |
| | | Building Products – 0.2% | | | | |
| | | | | | | |
| 650 | | | Hillman Group Inc, 144A | | | | | | | | | | | 6.375% | | | | 7/15/22 | | | | CCC | | | | 609,375 | |
| | | | | | | |
| | | Chemicals – 1.6% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 2,250 | | | CF Industries Inc | | | | | | | | | | | 7.125% | | | | 5/01/20 | | | | BB+ | | | | 2,311,875 | |
| 2,000 | | | Kissner Holdings LP / Kissner Milling Co Ltd / BSC Holding Inc / Kissner USA, 144A | | | | | | | | | | | 8.375% | | | | 12/01/22 | | | | B | | | | 2,085,000 | |
| 4,250 | | | Total Chemicals | | | | | | | | 4,396,875 | |
| | | |
| | | Commercial Services & Supplies – 3.6% | | | | | | | |
| | | | | | | |
| 4,000 | | | ADT Security Corp | | | | | | | | | | | 6.250% | | | | 10/15/21 | | | | BB– | | | | 4,260,000 | |
| 502 | | | APX Group Inc | | | | | | | | | | | 8.750% | | | | 12/01/20 | | | | CCC | | | | 493,215 | |
| 4,000 | | | APX Group Inc | | | | | | | | | | | 7.875% | | | | 12/01/22 | | | | B2 | | | | 3,990,000 | |
| 715 | | | Tervita Corp, 144A | | | | | | | | | | | 7.625% | | | | 12/01/21 | | | | B+ | | | | 726,619 | |
| 9,217 | | | Total Commercial Services & Supplies | | | | | | | | 9,469,834 | |
| | | |
| | | Construction & Engineering – 0.8% | | | | | | | |
| | | | | | | |
| 2,000 | | | Great Lakes Dredge & Dock Corp | | | | | | | | | | | 8.000% | | | | 5/15/22 | | | | B | | | | 2,131,600 | |
| | | | | | | |
| | | Construction Materials – 0.5% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 1,431 | | | Gates Global LLC / Gates Global Co, 144A | | | | | | | | | | | 6.000% | | | | 7/15/22 | | | | B | | | | 1,425,634 | |
| | | | | | | |
| | | Consumer Finance – 1.6% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 2,000 | | | DAE Funding LLC, 144A | | | | | | | | | | | 4.500% | | | | 8/01/22 | | | | BBB– | | | | 2,030,000 | |
| 2,000 | | | Navient Corp | | | | | | | | | | | 6.500% | | | | 6/15/22 | | | | BB | | | | 2,130,000 | |
| 4,000 | | | Total Consumer Finance | | | | | | | | 4,160,000 | |
| | | |
| | | Containers & Packaging – 1.6% | | | | | | | |
| | | | | | | |
| 4,303 | | | Cascades Inc, 144A | | | | | | | | | | | 5.500% | | | | 7/15/22 | | | | BB– | | | | 4,356,787 | |
| | | | | | | |
| | | Diversified Financial Services – 0.8% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 2,000 | | | Avation Capital SA, 144A | | | | | | | | | | | 6.500% | | | | 5/15/21 | | | | BB– | | | | 2,070,000 | |
| | | | | | | |
| | | Diversified Telecommunication Services – 7.4% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 4,000 | | | CenturyLink Inc | | | | | | | | | | | 6.450% | | | | 6/15/21 | | | | BB | | | | 4,200,000 | |
| 3,000 | | | CenturyLink Inc | | | | | | | | | | | 5.800% | | | | 3/15/22 | | | | BB | | | | 3,161,250 | |
| 500 | | | Cogent Communications Group Inc, 144A | | | | | | | | | | | 5.625% | | | | 4/15/21 | | | | B– | | | | 504,375 | |
| 8,410 | | | Intelsat Luxembourg SA | | | | | | | | | | | 7.750% | | | | 6/01/21 | | | | Ca | | | | 7,989,500 | |
| 4,000 | | | Level 3 Parent LLC | | | | | | | | | | | 5.750% | | | | 12/01/22 | | | | BB | | | | 4,016,000 | |
| 19,910 | | | Total Diversified Telecommunication Services | | | | | | | | 19,871,125 | |
| | | |
| | | Electrical Equipment – 0.8% | | | | | | | |
| | | | | | | |
| 2,000 | | | Park Aerospace Holdings Ltd, 144A | | | | | | | | | | | 5.250% | | | | 8/15/22 | | | | BBB– | | | | 2,107,800 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | Description (1) | | | | | | | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | | | |
| | | Energy Equipment & Services – 4.2% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
$ | 8,600 | | | FTS International Inc | | | | | | | | | | | 6.250% | | | | 5/01/22 | | | | B | | | $ | 7,009,000 | |
| 4,500 | | | Nabors Industries Inc | | | | | | | | | | | 4.625% | | | | 9/15/21 | | | | BB | | | | 4,252,500 | |
| 13,100 | | | Total Energy Equipment & Services | | | | | | | | 11,261,500 | |
| | | |
| | | Equity Real Estate Investment Trust – 2.5% | | | | | | | |
| | | | | | | |
| 4,000 | | | iStar Inc | | | | | | | | | | | 6.000% | | | | 4/01/22 | | | | BB | | | | 4,118,400 | |
| 2,375 | | | SBA Communications Corp | | | | | | | | | | | 4.000% | | | | 10/01/22 | | | | BB– | | | | 2,422,500 | |
| 6,375 | | | Total Equity Real Estate Investment Trust | | | | | | | | 6,540,900 | |
| | | |
| | | Food Products – 1.9% | | | | | | | |
| | | | | | | |
| 5,000 | | | B&G Foods Inc | | | | | | | | | | | 4.625% | | | | 6/01/21 | | | | BB– | | | | 5,001,000 | |
| | | | | | | |
| | | Health Care Equipment & Supplies – 3.3% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 4,814 | | | Kinetic Concepts Inc / KCI USA Inc, 144A | | | | | | | | | | | 7.875% | | | | 2/15/21 | | | | B+ | | | | 4,912,206 | |
| 4,000 | | | Ortho-Clinical Diagnostics Inc / Ortho-Clinical Diagnostics SA, 144A | | | | | | | | | | | 6.625% | | | | 5/15/22 | | | | CCC | | | | 3,906,800 | |
| 8,814 | | | Total Health Care Equipment & Supplies | | | | | | | | 8,819,006 | |
| | | |
| | | Health Care Providers & Services – 5.5% | | | | | | | |
| | | | | | | |
| 1,000 | | | Acadia Healthcare Co Inc | | | | | | | | | | | 5.125% | | | | 7/01/22 | | | | B– | | | | 1,007,500 | |
| 4,000 | | | CHS/Community Health Systems Inc | | | | | | | | | | | 5.125% | | | | 8/01/21 | | | | BB | | | | 3,990,000 | |
| 6,800 | | | Molina Healthcare Inc | | | | | | | | | | | 5.375% | | | | 11/15/22 | | | | BB– | | | | 7,208,272 | |
| 2,900 | | | Polaris Intermediate Corp, (cash 8.500%, PIK 8.500%) | | | | | | | | | | | 8.500% | | | | 12/01/22 | | | | B– | | | | 2,465,000 | |
| 14,700 | | | Total Health Care Providers & Services | | | | | | | | 14,670,772 | |
| | | |
| | | Hotels, Restaurants & Leisure – 5.7% | | | | | | | |
| | | | | | | |
| 2,005 | | | CCM Merger Inc, 144A | | | | | | | | | | | 6.000% | | | | 3/15/22 | | | | BB– | | | | 2,055,125 | |
| 3,000 | | | International Game Technology PLC, 144A | | | | | | | | | | | 6.250% | | | | 2/15/22 | | | | BB+ | | | | 3,165,802 | |
| 2,750 | | | Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp, 144A | | | | | | | | | | | 6.750% | | | | 11/15/21 | | | | B+ | | | | 2,808,437 | |
| 4,000 | | | MGM Resorts International | | | | | | | | | | | 6.625% | | | | 12/15/21 | | | | BB | | | | 4,338,000 | |
| 2,727 | | | Scientific Games International Inc | | | | | | | | | | | 10.000% | | | | 12/01/22 | | | | B– | | | | 2,836,080 | |
| 14,482 | | | Total Hotels, Restaurants & Leisure | | | | | | | | 15,203,444 | |
| | | |
| | | Household Durables – 2.6% | | | | | | | |
| | | | | | | |
| 6,500 | | | Lennar Corp | | | | | | | | | | | 4.750% | | | | 11/15/22 | | | | BBB– | | | | 6,841,250 | |
| | | | | | | |
| | | Internet & Direct Marketing Retail – 0.8% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 2,000 | | | Netflix Inc | | | | | | | | | | | 5.500% | | | | 2/15/22 | | | | BB– | | | | 2,112,500 | |
| | | | | | | |
| | | Media – 9.6% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 439 | | | Altice Luxembourg SA, 144A | | | | | | | | | | | 7.750% | | | | 5/15/22 | | | | B– | | | | 448,329 | |
| 5,013 | | | Cablevision Systems Corp | | | | | | | | | | | 5.875% | | | | 9/15/22 | | | | B | | | | 5,401,507 | |
| 3,500 | | | CSC Holdings LLC, 144A | | | | | | | | | | | 5.125% | | | | 12/15/21 | | | | B | | | | 3,500,700 | |
| 8,000 | | | DISH DBS Corp | | | | | | | | | | | 5.875% | | | | 7/15/22 | | | | B1 | | | | 8,320,000 | |
| 7,000 | | | Nielsen Finance LLC / Nielsen Finance Co, 144A | | | | | | | | | | | 5.000% | | | | 4/15/22 | | | | BB | | | | 7,019,600 | |
| 1,000 | | | Sirius XM Radio Inc, 144A | | | | | | | | | | | 3.875% | | | | 8/01/22 | | | | BB | | | | 1,016,250 | |
| 24,952 | | | Total Media | | | | | | | | 25,706,386 | |
| | | |
| | | Metals & Mining – 2.2% | | | | | | | |
| | | | | | | |
| 5,900 | | | First Quantum Minerals Ltd, 144A | | | | | | | | | | | 7.250% | | | | 5/15/22 | | | | B | | | | 5,843,537 | |
| | | | | | | |
| | | Mortgage Real Estate Investment Trust – 0.8% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 2,000 | | | Starwood Property Trust Inc | | | | | | | | | | | 5.000% | | | | 12/15/21 | | | | BB– | | | | 2,080,000 | |
| | | | | | | |
| | | Oil, Gas & Consumable Fuels – 11.0% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 3,000 | | | California Resources Corp | | | | | | | | | | | 5.500% | | | | 9/15/21 | | | | CCC– | | | | 1,477,500 | |
| 5,615 | | | Calumet Specialty Products Partners LP / Calumet Finance Corp | | | | | | | | | | | 6.500% | | | | 4/15/21 | | | | B– | | | | 5,622,299 | |
| 4,800 | | | Calumet Specialty Products Partners LP / Calumet Finance Corp | | | | | | | | | | | 7.625% | | | | 1/15/22 | | | | B– | | | | 4,632,000 | |
| 2,000 | | | Chesapeake Energy Corp | | | | | | | | | | | 6.125% | | | | 2/15/21 | | | | B+ | | | | 1,965,000 | |
| 2,675 | | | Denbury Resources Inc | | | | | | | | | | | 6.375% | | | | 8/15/21 | | | | Caa2 | | | | 1,952,750 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | Description (1) | | | | | | | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | | | |
| | | Oil, Gas & Consumable Fuels(continued) | | | | | | | | | | | | | | | | | | |
| | | | | | | |
$ | 3,000 | | | NGPL PipeCo LLC, 144A | | | | | | | | | | | 4.375% | | | | 8/15/22 | | | | BBB– | | | $ | 3,109,920 | |
| 7,000 | | | Peabody Energy Corp, 144A | | | | | | | | | | | 6.000% | | | | 3/31/22 | | | | BB | | | | 7,035,000 | |
| 1,800 | | | QEP Resources Inc | | | | | | | | | | | 5.375% | | | | 10/01/22 | | | | BB– | | | | 1,721,790 | |
| 2,000 | | | SM Energy Co | | | | | | | | | | | 6.125% | | | | 11/15/22 | | | | BB– | | | | 1,916,700 | |
| 31,890 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | 29,432,959 | |
| | | |
| | | Personal Products – 3.7% | | | | | | | |
| | | | | | | |
| 4,000 | | | Avon International Capital PLC, 144A | | | | | | | | | | | 6.500% | | | | 8/15/22 | | | | Ba1 | | | | 4,145,000 | |
| 6,550 | | | Revlon Consumer Products Corp | | | | | | | | | | | 5.750% | | | | 2/15/21 | | | | CCC | | | | 5,731,250 | |
| 10,550 | | | Total Personal Products | | | | | | | | 9,876,250 | |
| | | |
| | | Pharmaceuticals – 2.0% | | | | | | | |
| | | | | | | |
| 1,500 | | | Eagle Holding Co II LLC, 144A, (cash 7.625%, PIK 8.375%) | | | | | | | | | | | 7.625% | | | | 5/15/22 | | | | CCC+ | | | | 1,511,250 | |
| 3,950 | | | Teva Pharmaceutical Finance IV LLC | | | | | | | | | | | 2.250% | | | | 3/18/20 | | | | BBB | | | | 3,895,688 | |
| 5,450 | | | Total Pharmaceuticals | | | | | | | | 5,406,938 | |
| | | |
| | | Real Estate Management & Development – 1.5% | | | | | | | |
| | | | | | | |
| 4,000 | | | Realogy Group LLC / RealogyCo-Issuer Corp, 144A | | | | | | | | | | | 5.250% | | | | 12/01/21 | | | | B | | | | 3,980,000 | |
| | | | | | | |
| | | Road & Rail – 1.7% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 600 | | | DAE Funding LLC, 144A | | | | | | | | | | | 5.250% | | | | 11/15/21 | | | | BBB– | | | | 624,000 | |
| 4,000 | | | Hertz Corp | | | | | | | | | | | 6.250% | | | | 10/15/22 | | | | B– | | | | 4,035,000 | |
| 4,600 | | | Total Road & Rail | | | | | | | | 4,659,000 | |
| | | |
| | | Semiconductors & Semiconductor Equipment – 2.0% | | | | | | | |
| | | | | | | |
| 4,816 | | | Advanced Micro Devices Inc | | | | | | | | | | | 7.500% | | | | 8/15/22 | | | | BB– | | | | 5,448,100 | |
| | | | | | | |
| | | Software – 2.6% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 7,000 | | | Blackboard Inc, 144A | | | | | | | | | | | 9.750% | | | | 10/15/21 | | | | CCC– | | | | 6,930,000 | |
| | | | | | | |
| | | Technology Hardware, Storage & Peripherals – 1.9% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 3,600 | | | Dell International LLC / EMC Corp, 144A | | | | | | | | | | | 5.875% | | | | 6/15/21 | | | | BB+ | | | | 3,657,600 | |
| 1,395 | | | Seagate HDD Cayman | | | | | | | | | | | 4.250% | | | | 3/01/22 | | | | Baa3 | | | | 1,437,089 | |
| 4,995 | | | Total Technology Hardware, Storage & Peripherals | | | | | | | | 5,094,689 | |
| | | |
| | | Thrifts & Mortgage Finance – 1.3% | | | | | | | |
| | | | | | | |
| 1,000 | | | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp, 144A | | | | | | | | | | | 5.250% | | | | 3/15/22 | | | | BB | | | | 1,040,850 | |
| 2,493 | | | Nationstar Mortgage LLC / Nationstar Capital Corp | | | | | | | | | | | 6.500% | | | | 7/01/21 | | | | B | | | | 2,499,233 | |
| 3,493 | | | Total Thrifts & Mortgage Finance | | | | | | | | 3,540,083 | |
| | | |
| | | Wireless Telecommunication Services – 6.5% | | | | | | | |
| | | | | | | |
| 3,000 | | | Hughes Satellite Systems Corp | | | | | | | | | | | 7.625% | | | | 6/15/21 | | | | BB | | | | 3,232,500 | |
| 4,000 | | | Inmarsat Finance PLC, 144A | | | | | | | | | | | 4.875% | | | | 5/15/22 | | | | BB | | | | 4,048,760 | |
| 2,000 | | | Sprint Communications Inc | | | | | | | | | | | 6.000% | | | | 11/15/22 | | | | B+ | | | | 2,125,000 | |
| 7,500 | | | Sprint Corp | | | | | | | | | | | 7.250% | | | | 9/15/21 | | | | B+ | | | | 8,003,250 | |
| 16,500 | | | Total Wireless Telecommunication Services | | | | | | | | 17,409,510 | |
$ | 262,128 | | | Total Corporate Bonds (cost $262,994,619) | | | | | | | | 262,108,991 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | Description (1) | | Coupon (3) | | | Reference Rate (3) | | | Spread (3) | | | Maturity (4) | | | Ratings (2) | | | Value | |
| |
| | | | VARIABLE RATE SENIOR LOAN INTERESTS – 40.8% (28.8% of Total Investments) (3) | |
| |
| | | Aerospace & Defense – 2.3% | |
| | | | | | | |
$ | 4,676 | | | Sequa Corporation, Term Loan B | | | 7.187% | | | | 3-Month LIBOR | | | | 5.000% | | | | 11/28/21 | | | | B– | | | $ | 4,643,443 | |
| 1,542 | | | Sequa Corporation, Term Loan, Second Lien | | | 11.266% | | | | 3-Month LIBOR | | | | 9.000% | | | | 4/28/22 | | | | Caa2 | | | | 1,522,187 | |
| 6,218 | | | Total Aerospace & Defense | | | | | | | | 6,165,630 | |
| | | |
| | | Commercial Services��& Supplies – 1.9% | | | | | | | |
| | | | | | | |
| 5,641 | | | iQor US, Inc., Term Loan, First Lien | | | 7.319% | | | | 3-Month LIBOR | | | | 5.000% | | | | 4/01/21 | | | | Caa1 | | | | 5,018,437 | |
| | |
| | | Diversified Consumer Services – 1.8% | | | | |
| | | | | | | |
| 4,977 | | | Houghton Mifflin, Term Loan B, First Lien | | | 5.044% | | | | 1-Month LIBOR | | | | 3.000% | | | | 5/29/21 | | | | B | | | | 4,847,052 | |
| | |
| | | Diversified Financial Services – 0.3% | | | | |
| | | | | | | |
| 2,159 | | | Walter Investment Management Corporation, Term Loan B, First Lien, (5) | | | 0.000% | | | | N/A | | | | N/A | | | | 6/30/22 | | | | Ca | | | | 893,447 | |
| | |
| | | Energy Equipment & Services – 1.7% | | | | |
| | | | | | | |
| 4,974 | | | PGS Finance, Inc., Term Loan | | | 4.604% | | | | 3-Month LIBOR | | | | 2.500% | | | | 3/11/21 | | | | B3 | | | | 4,634,852 | |
| | |
| | | Health Care Providers & Services – 3.2% | | | | |
| | | | | | | |
| 3,740 | | | Air Medical Group Holdings, Inc., Term Loan B | | | 5.307% | | | | 1-Month LIBOR | | | | 3.250% | | | | 4/28/22 | | | | B1 | | | | 3,510,611 | |
| 4,939 | | | Pharmaceutical Product Development, Inc., Term Loan B | | | 4.544% | | | | 1-Month LIBOR | | | | 2.500% | | | | 8/18/22 | | | | Ba3 | | | | 4,948,028 | |
| 8,679 | | | Total Health Care Providers & Services | | | | | | | | 8,458,639 | |
| | | |
| | | Health Care Technology – 0.5% | | | | | | | |
| | | | | | | |
| 1,518 | | | Onex Carestream Finance LP, Term Loan, First Lien | | | 7.794% | | | | 1-Month LIBOR | | | | 5.750% | | | | 2/28/21 | | | | B1 | | | | 1,453,686 | |
| | | | |
| | | Hotels, Restaurants & Leisure – 1.9% | | | | | | | | | | |
| | | | | | | |
| 4,972 | | | Life Time Fitness, Inc., Term Loan B | | | 4.874% | | | | 3-Month LIBOR | | | | 2.750% | | | | 6/15/22 | | | | BB– | | | | 4,979,758 | |
| | | | | | | |
| | | Machinery – 2.6% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 1,507 | | | NN, Inc., Term Loan | | | 5.794% | | | | 1-Month LIBOR | | | | 3.750% | | | | 10/19/22 | | | | B+ | | | | 1,485,686 | |
| 5,916 | | | TNT Crane and Rigging Inc., Initial Term Loan, First Lien | | | 6.604% | | | | 3-Month LIBOR | | | | 4.500% | | | | 11/27/20 | | | | CCC+ | | | | 5,423,341 | |
| 7,423 | | | Total Machinery | | | | | | | | 6,909,027 | |
| | | |
| | | Media – 2.4% | | | | | | | |
| | | | | | | |
| 648 | | | Affinion Group Holdings, Inc., Term Loan, First Lien, (cash 8.054%, PIK 1.750%) | | | 9.804% | | | | 1-Month LIBOR | | | | 7.750% | | | | 5/10/22 | | | | N/R | | | | 635,602 | |
| 4,357 | | | McGraw-Hill Education Holdings LLC, Term Loan B | | | 6.044% | | | | 1-Month LIBOR | | | | 4.000% | | | | 5/04/22 | | | | B+ | | | | 4,111,821 | |
| 1,632 | | | Springer Science & Business Media, Inc., Term Loan B13, First Lien | | | 5.544% | | | | 1-Month LIBOR | | | | 3.500% | | | | 8/24/22 | | | | B | | | | 1,636,632 | |
| 6,637 | | | Total Media | | | | | | | | 6,384,055 | |
| | | |
| | | Metals & Mining – 1.9% | | | | | | | |
| | | | | | | |
| 5,000 | | | Zekelman Industries, Term Loan B | | | 4.304% | | | | 1-Month LIBOR | | | | 2.250% | | | | 6/14/21 | | | | BB– | | | | 5,005,225 | |
| | | |
| | | Multiline Retail – 1.4% | | | | | | | |
| | | | | | | |
| 778 | | | 99 Cents Only Stores, Term Loan B2, Second Lien, (cash 7.030%, PIK 1.500%) | | | 8.535% | | | | 6-Month LIBOR | | | | 6.500% | | | | 1/13/22 | | | | CCC+ | | | | 681,922 | |
| 1,037 | | | 99 Cents Only Stores, Term Loan B2, Second Lien, (cash 7.104%, PIK 1.500%) | | | 8.604% | | | | 3-Month LIBOR | | | | 6.500% | | | | 1/13/22 | | | | CCC+ | | | | 908,649 | |
| 2,647 | | | Neiman Marcus Group, Inc., Term Loan | | | 5.307% | | | | 1-Month LIBOR | | | | 3.250% | | | | 10/25/20 | | | | Ca | | | | 2,039,291 | |
| 4,462 | | | Total Multiline Retail | | | | | | | | 3,629,862 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | Description (1) | | Coupon (3) | | | Reference Rate (3) | | | Spread (3) | | | Maturity (4) | | | Ratings (2) | | | Value | |
| | | |
| | | Oil, Gas & Consumable Fuels – 0.8% | | | | | | | |
| | | | | | | |
$ | 2,500 | | | Fieldwood Energy LLC, Exit Term Loan | | | 7.506% | | | | 3-Month LIBOR | | | | 5.250% | | | | 4/11/22 | | | | B+ | | | $ | 2,178,812 | |
| |
| | | Professional Services – 1.5% | |
| | | | | | | |
| 4,903 | | | Skillsoft Corporation, Initial Term Loan, First Lien | | | 6.946% | | | | 6-Month LIBOR | | | | 4.750% | | | | 4/28/21 | | | | CCC+ | | | | 3,985,219 | |
| |
| | | Real Estate Management & Development – 1.5% | |
| | | | | | | |
| 3,970 | | | GGP, Initial Term Loan A1 | | | 4.294% | | | | 1-Month LIBOR | | | | 2.250% | | | | 8/24/21 | | | | BB+ | | | | 3,962,222 | |
| | | | | | | |
| | | Software – 11.4% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 5,638 | | | Blackboard, Inc., Term Loan B4 | | | 7.300% | | | | 3-Month LIBOR | | | | 5.000% | | | | 6/18/21 | | | | B– | | | | 5,630,395 | |
| 7,647 | | | Ellucian, Term Loan B, First Lien | | | 5.354% | | | | 3-Month LIBOR | | | | 3.250% | | | | 9/30/22 | | | | B | | | | 7,658,760 | |
| 5,616 | | | Epicor Software Corporation, Term Loan B | | | 5.300% | | | | 1-Month LIBOR | | | | 3.250% | | | | 6/01/22 | | | | B2 | | | | 5,624,620 | |
| 2,494 | | | Infor (US), Inc., Term Loan B | | | 4.854% | | | | 3-Month LIBOR | | | | 2.750% | | | | 2/01/22 | | | | Ba3 | | | | 2,500,040 | |
| 3,337 | | | Informatica, Term Loan B | | | 5.294% | | | | 1-Month LIBOR | | | | 3.250% | | | | 8/06/22 | | | | B1 | | | | 3,354,400 | |
| 5,649 | | | Micro Focus International PLC, Term Loan B2 | | | 4.294% | | | | 1-Month LIBOR | | | | 2.250% | | | | 11/30/21 | | | | BB– | | | | 5,651,276 | |
| 30,381 | | | Total Software | | | | | | | | | | | | | | | | | | | | | | | 30,419,491 | |
| | | | | | | |
| | | Specialty Retail – 3.7% | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| 10,172 | | | Petsmart Inc., Term Loan B, First Lien | | | 6.040% | | | | 1-Month LIBOR | | | | 4.000% | | | | 3/11/22 | | | | B | | | | 9,942,230 | |
$ | 114,586 | | | Total Variable Rate Senior Loan Interests (cost $112,125,960) | | | | | | | | 108,867,644 | |
| | | | Total Long-Term Investments (cost $375,120,579) | | | | | | | | 370,976,635 | |
| | | | | | | |
Shares | | | Description (1), (6) | | | | | | | | Coupon | | | | | | | | | Value | |
| | |
| | | | SHORT-TERM INVESTMENTS – 2.8% (2.0% of Total Investments) | | | | | |
| | |
| | | | INVESTMENT COMPANIES – 2.8% (2.0% of Total Investments) | | | | | |
| | | | | | |
| 7,546,274 | | | BlackRock Liquidity FundsT-Fund Portfolio | | | | | | | | 1.773% (7) | | | | | | | | | | | $ | 7,546,274 | |
| | | | Total Short-Term Investments (cost $7,546,274) | | | | | | | | | | | | 7,546,274 | |
| | | | Total Investments (cost $382,666,853) – 141.7% | | | | | | | | | | | | 378,522,909 | |
| | | | Borrowings – (41.2)% (8), (9) | | | | | | | | | | | | (110,000,000 | ) |
| | | | Other Assets Less Liabilities – (0.5)% | | | | | | | | | | | | (1,464,102 | ) |
| | | | Net Assets Applicable to Common Shares – 100% | | | | | | | | | | | $ | 267,058,807 | |
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications into sectors for reporting ease.