XAI Octagon Floating Rate & Alternative Income Term Trust
Schedule of Investments
June 30, 2020 (Unaudited)
Coupon(a) | Reference Rate & Spread | Maturity Date | Principal Amount | Value | ||||||||||||
CORPORATE BONDS - 2.48%* (1.72% of Total Investments) | ||||||||||||||||
Auto Manufacturers - 0.86% (0.60% of Total Investments) | ||||||||||||||||
Ford Motor Co., Senior Unsecured | 9.00% | N/A | 04/22/2025 | $ | 467,000 | $ | 505,084 | |||||||||
Ford Motor Co., Senior Unsecured | 9.63% | N/A | 04/22/2030 | 116,000 | 137,240 | |||||||||||
Total Auto Manufacturers | 583,000 | 642,324 | ||||||||||||||
Hotels, Restaurants & Leisure - 1.04% (0.72% of Total Investments) | ||||||||||||||||
AMC Entertainment Holdings, Inc., Senior Secured(b) | 10.50% | N/A | 04/15/2025 | 963,000 | 776,932 | |||||||||||
Wireless Telecommunication Services - 0.58% (0.40% of Total Investments) | ||||||||||||||||
Univision Communications, Inc., Senior Secured(b) | 6.63% | N/A | 06/01/2027 | 456,000 | 435,480 | |||||||||||
Total Corporate Bonds (Cost $1,983,290) | $ | 2,002,000 | $ | 1,854,736 | ||||||||||||
SECURED SECOND LIEN LOANS(c) - 6.27%* (4.36% of Total Investments) | ||||||||||||||||
Aerospace & Defense - 0.02% (0.02% of Total Investments) | ||||||||||||||||
New Constellis Borrower LLC, New Second Lien Term Loan | 12.00% | 1M US L + 11.00% | 03/27/2025 | 107,755 | 17,510 | |||||||||||
Commercial Services & Supplies - 0.64% (0.45% of Total Investments) | ||||||||||||||||
AVSC Holding Corp., Initial | 8.25% | 3M US L + 7.25% | 09/01/2025 | 805,556 | 481,319 | |||||||||||
Communications Equipment - 0.35% (0.24% of Total Investments) | ||||||||||||||||
Global Tel*Link Corp. | 8.43% | 1M US L + 8.25% | 11/29/2026 | 347,222 | 262,153 | |||||||||||
Diversified Financial Services - 0.61% (0.42% of Total Investments) | ||||||||||||||||
Edelman Financial Center LLC, Initial | 6.93% | 1M US L + 6.75% | 07/20/2026 | 500,000 | 454,065 | |||||||||||
Food Products - 0.39% (0.27% of Total Investments) | ||||||||||||||||
Froneri International, Ltd., Facility | 5.92% | 1M US L + 5.75% | 01/31/2028 | 309,478 | 293,230 | |||||||||||
Health Care Providers & Services - 0.16% (0.11% of Total Investments) | ||||||||||||||||
Albany Molecular Research, Inc., Initial | 8.00% | 3M US L + 7.00% | 08/30/2025 | 126,466 | 120,206 | |||||||||||
Hotels, Restaurants & Leisure - 0.52% (0.36% of Total Investments) | ||||||||||||||||
Affinity Gaming, Initial | 9.25% | 3M US L + 8.25% | 01/31/2025 | 313,580 | 235,185 | |||||||||||
NPC International, Inc., Initial(d)(e) | 4.50% | 1M US L + 3.50% | 04/19/2024 | 312,263 | 156,522 | |||||||||||
Total Hotels, Restaurants & Leisure | 625,843 | 391,707 | ||||||||||||||
Software - 3.58% (2.49% of Total Investments) | ||||||||||||||||
EagleView Technology Corp. | 8.57% | 3M US L + 7.50% | 08/14/2026 | 264,991 | 229,218 | |||||||||||
McAfee LLC, Initial | 9.50% | 1M US L + 8.50% | 09/29/2025 | 875,000 | 868,875 | |||||||||||
MH Sub I LLC, Amendment No. 2 Initial | 8.57% | 3M US L + 7.50% | 09/15/2025 | 1,000,000 | 946,880 | |||||||||||
Misys, Ltd., Dollar Term Loan | 8.25% | 3M US L + 7.25% | 06/13/2025 | 735,357 | 633,223 | |||||||||||
Total Software | 2,875,348 | 2,678,196 | ||||||||||||||
Total Secured Second Lien Loans (Cost $5,635,279) | $ | 5,697,668 | $ | 4,698,386 |
Coupon(a) | Reference Rate & Spread | Maturity Date | Principal Amount | Value | ||||||||||||
SENIOR SECURED FIRST LIEN LOANS(c) - 64.86%* (45.08% of Total Investments) | ||||||||||||||||
Aerospace & Defense - 0.21% (0.14% of Total Investments) | ||||||||||||||||
New Constellis Borrower LLC | ||||||||||||||||
Priority | 11.00% | 1M US L + 10.00% | 06/30/2021 | $ | 54,438 | $ | 53,350 | |||||||||
New First Lien Term Loans | 8.50% | 1M US L + 7.50% | 03/27/2024 | 119,765 | 102,997 | |||||||||||
Total Aerospace & Defense | 174,203 | 156,347 | ||||||||||||||
Airlines - 1.71% (1.19% of Total Investments) | ||||||||||||||||
Allegiant Travel Co., Replacement | 3.43% | 3M US L + 3.00% | 02/05/2024 | 387,848 | 344,460 | |||||||||||
Delta Air Lines, Inc. | 5.75% | 3M US L + 4.75% | 04/29/2023 | 528,965 | 518,058 | |||||||||||
JetBlue Airways Corp. | 6.25% | 3M US L + 5.25% | 06/12/2024 | 46,778 | 45,726 | |||||||||||
Mileage Plus Holdings LLC, B(f) | N/A | L + 5.25% | 06/25/2027 | 376,743 | 373,759 | |||||||||||
Total Airlines | 1,340,334 | 1,282,003 | ||||||||||||||
Auto Components - 1.90% (1.32% of Total Investments) | ||||||||||||||||
Dealer Tire LLC, B-1 | 4.42% | 1M US L + 4.25% | 12/12/2025 | 1,127,454 | 1,074,835 | |||||||||||
IXS Holdings, Inc., Initial | 6.00% | 3M US L + 5.00% | 03/05/2027 | 371,994 | 346,189 | |||||||||||
Total Auto Components | 1,499,448 | 1,421,024 | ||||||||||||||
Automobiles - 0.60% (0.42% of Total Investments) | ||||||||||||||||
Truck Hero, Inc., Initial | 3.93% | 1M US L + 3.75% | 04/22/2024 | 498,715 | 451,776 | |||||||||||
Chemicals - 1.48% (1.02% of Total Investments) | ||||||||||||||||
Ascend Performance Materials Operations LLC, Initial | 6.25% | 3M US L + 5.25% | 08/27/2026 | 695,884 | 681,389 | |||||||||||
Illuminate Buyer LLC(f) | N/A | L + 4.00% | 06/16/2027 | 52,791 | 51,920 | |||||||||||
INEOS Enterprises Holdings, Ltd., Refinancing Tranche B Dollar | 4.50% | 3M US L + 3.50% | 08/28/2026 | 218,211 | 208,756 | |||||||||||
Innovative Water Care Global Corp., Initial | 6.00% | 3M US L + 5.00% | 02/27/2026 | 223,021 | 163,084 | |||||||||||
Total Chemicals | 1,189,907 | 1,105,149 | ||||||||||||||
Commercial Services & Supplies - 2.08% (1.45% of Total Investments) | ||||||||||||||||
Belfor Holdings, Inc., Initial | 4.18% | 1M US L + 4.00% | 04/06/2026 | 646,590 | 636,083 | |||||||||||
Gbt US LLC, Cov-Lite(f) | N/A | L + 4.00% | 02/26/2027 | 486,666 | 437,999 | |||||||||||
Harland Clarke Holdings Corp., Initial | 5.75% | 3M US L + 4.75% | 11/03/2023 | 563,362 | 408,516 | |||||||||||
STG-Fairway Holdings LLC, Facility | 4.57% | 3M US L + 3.50% | 01/31/2027 | 81,536 | 75,794 | |||||||||||
Total Commercial Services & Supplies | 1,778,154 | 1,558,392 | ||||||||||||||
Communications Equipment - 1.46% (1.02% of Total Investments) | ||||||||||||||||
Global Tel*Link Corp. | 4.43% | 1M US L + 4.25% | 11/29/2025 | 456,827 | 392,382 | |||||||||||
Infoblox, Inc., New | 4.68% | 1M US L + 4.50% | 11/07/2023 | 575,700 | 564,663 | |||||||||||
MLN US HoldCo LLC, B | 4.68% | 1M US L + 4.50% | 11/30/2025 | 171,024 | 139,065 | |||||||||||
Total Communications Equipment | 1,203,551 | 1,096,110 | ||||||||||||||
Construction & Engineering - 0.35% (0.24% of Total Investments) | ||||||||||||||||
TRC Companies, Inc., 2019 Incremental | 6.00% | 1M US L + 5.00% | 06/21/2024 | 281,228 | 262,422 | |||||||||||
Containers & Packaging - 1.27% (0.88% of Total Investments) | ||||||||||||||||
Pregis TopCo LLC, Initial | 4.18% | 1M US L + 4.00% | 07/31/2026 | 486,207 | 467,770 | |||||||||||
Sabert Corp., Initial | 5.50% | 1M US L + 4.50% | 12/10/2026 | 498,750 | 484,620 | |||||||||||
Total Containers & Packaging | 984,957 | 952,390 | ||||||||||||||
Distributors - 0.82% (0.57% of Total Investments) | ||||||||||||||||
United Natural Foods, Inc., Initial | 4.43% | 1M US L + 4.25% | 10/22/2025 | 642,500 | 611,268 |
Coupon(a) | Reference Rate & Spread | Maturity Date | Principal Amount | Value | ||||||||||||
SENIOR SECURED FIRST LIEN LOANS(c) (continued) | ||||||||||||||||
Diversified Consumer Services - 3.17% (2.20% of Total Investments) | ||||||||||||||||
Learning Care Group No. 2, Inc., 2020 Incremental | 9.50% | 3M US L + 8.50% | 03/13/2025 | $ | 391,952 | $ | 392,932 | |||||||||
Sotheby's, B | 6.50% | 1M US L + 5.50% | 01/15/2027 | 425,421 | 396,352 | |||||||||||
Staples, Inc., 2019 Refinancing New B-1 | 5.69% | 3M US L + 5.00% | 04/16/2026 | 987,752 | 846,997 | |||||||||||
Travelport Finance S.à.r.l., Initial | 6.07% | 3M US L + 5.00% | 05/29/2026 | 1,128,370 | 737,932 | |||||||||||
Total Diversified Consumer Services | 2,933,495 | 2,374,213 | ||||||||||||||
Diversified Telecommunication Services - 3.55% (2.47% of Total Investments) | ||||||||||||||||
Altice France S.A., USD TLB-13 Incremental | 4.18% | 1M US L + 4.00% | 08/14/2026 | 554,647 | 532,161 | |||||||||||
LCPR Loan Financing LLC, Initial | 5.18% | 1M US L + 5.00% | 10/15/2026 | 1,242,661 | 1,230,234 | |||||||||||
Northwest Fiber LLC, B(f) | N/A | L + 5.50% | 04/30/2027 | 217,293 | 215,120 | |||||||||||
Syniverse Holdings, Inc., Tranche C | 6.87% | 3M US L + 5.00% | 03/09/2023 | 613,924 | 434,462 | |||||||||||
Xplornet Communications, Inc., Initial | 4.93% | 1M US L + 4.75% | 06/10/2027 | 262,069 | 249,621 | |||||||||||
Total Diversified Telecommunication Services | 2,890,594 | 2,661,598 | ||||||||||||||
Electonic Equipment, Instruments & Components - 0.04% (0.03% of Total Investments) | ||||||||||||||||
Cardtronics USA, Inc., Initial(f) | N/A | L + 4.00% | 06/29/2027 | 32,568 | 31,917 | |||||||||||
Electric Utilities - 0.28% (0.19% of Total Investments) | ||||||||||||||||
PG&E Corp. | 5.50% | 3M US L + 4.50% | 06/23/2025 | 214,447 | 210,426 | |||||||||||
Electronic Equipment, Instruments & Components - 2.78% (1.93% of Total Investments) | ||||||||||||||||
Corsair Gaming, Inc. | 5.25% | 1M US L + 4.25% | 08/28/2024 | 104,403 | 98,661 | |||||||||||
Mavenir Systems, Inc., Initial | 7.00% | 3M US L + 6.00% | 05/08/2025 | 913,353 | 904,219 | |||||||||||
Mirion Technologies LLC, Initial Dollar | 5.07% | 3M US L + 4.00% | 03/06/2026 | 497,487 | 483,030 | |||||||||||
Triton Solar US Acquisition Co., Initial | 7.07% | 3M US L + 6.00% | 10/29/2024 | 284,109 | 238,651 | |||||||||||
Xperi Holding Corp., Initial B | 4.17% | 1M US L + 4.00% | 06/02/2025 | 376,790 | 357,009 | |||||||||||
Total Electronic Equipment, Instruments & Components | 2,176,142 | 2,081,570 | ||||||||||||||
Energy Equipment & Services - 2.39% (1.66% of Total Investments) | ||||||||||||||||
ChampionX Holding, Inc. | 6.00% | 1M US L + 5.00% | 06/03/2027 | 178,869 | 175,739 | |||||||||||
McDermott International, Inc. | 9.25% | 3M US L + 7.00% | 05/09/2025 | 275,005 | 94,363 | |||||||||||
McDermott Technology Americas, Inc., Refinanced | 10.00% | 3M US L + 9.00% | 10/21/2020 | 165,489 | 163,999 | |||||||||||
McDermott Technology, Inc., Facility (Superpriority DIP) | 10.02% | 3M US L + 9.00% | 10/21/2020 | 798,335 | 791,150 | |||||||||||
WaterBridge Midstream Operating LLC, Initial | 6.75% | 3M US L + 5.75% | 06/22/2026 | 697,317 | 567,441 | |||||||||||
Total Energy Equipment & Services | 2,115,015 | 1,792,692 | ||||||||||||||
Food Products - 0.08% (0.06% of Total Investments) | ||||||||||||||||
H-Food Holdings LLC, 2020 Incremental B-3 | 6.00% | 1M US L + 5.00% | 05/23/2025 | 62,500 | 60,781 | |||||||||||
Health Care Providers & Services - 5.84% (4.06% of Total Investments) | ||||||||||||||||
BW NHHC Holdco, Inc., Initial | 5.38% | 3M US L + 5.00% | 05/15/2025 | 345,858 | 268,148 | |||||||||||
EyeCare Partners LLC, Initial Term Loan(e) | 4.82% | 3M US L + 3.75% | 02/18/2027 | 474,292 | 425,795 | |||||||||||
Global Medical Response, Inc., 2018 New | 5.25% | 3M US L + 4.25% | 03/14/2025 | 492,427 | 469,653 | |||||||||||
Pathway Vet Alliance LLC Delayed Tl(f) | N/A | L + 4.30% | 06/24/2027 | 8,994 | 8,724 | |||||||||||
Pathway Vet Alliance LLC Tl(f) | N/A | L + 4.30% | 06/24/2027 | 110,660 | 107,340 | |||||||||||
Radiology Partners, Inc., B | 5.67% | 3M US L + 4.25% | 07/09/2025 | 754,358 | 699,131 | |||||||||||
Verscend Holding Corp., B | 4.68% | 1M US L + 4.50% | 08/27/2025 | 1,246,676 | 1,202,107 | |||||||||||
WCG Purchaser Corp., Initial | 5.24% | 3M US L + 4.00% | 01/08/2027 | 456,956 | 443,819 | |||||||||||
WP CityMD Bidco LLC, Initial | 5.54% | 3M US L + 4.50% | 08/13/2026 | 766,101 | 753,292 | |||||||||||
Total Health Care Providers & Services | 4,656,322 | 4,378,009 |
Coupon(a) | Reference Rate & Spread | Maturity Date | Principal Amount | Value | ||||||||||||
SENIOR SECURED FIRST LIEN LOANS(c) (continued) | ||||||||||||||||
Health Care Technology - 2.10% (1.46% of Total Investments) | ||||||||||||||||
athenahealth, Inc., B | 4.82% | 3M US L + 4.50% | 02/11/2026 | $ | 735,129 | $ | 710,627 | |||||||||
Zelis Cost Management Buyer, Inc., B | 4.93% | 1M US L + 4.75% | 09/30/2026 | 885,025 | 866,218 | |||||||||||
Total Health Care Technology | 1,620,154 | 1,576,845 | ||||||||||||||
Hotels, Restaurants & Leisure - 3.16% (2.20% of Total Investments) | ||||||||||||||||
Alterra Mountain Co., Additional | 5.50% | 1M US L + 4.50% | 08/01/2026 | 296,817 | 290,881 | |||||||||||
Caesars Resort Collection LLC(f) | N/A | L + 4.50% | 06/19/2025 | 141,732 | 132,963 | |||||||||||
Carnival Corp., B(f) | N/A | L + 7.50% | 06/26/2025 | 195,545 | 188,212 | |||||||||||
Casablanca US Holdings, Inc., Amendment No. 2 Initial | 4.76% | 3M US L + 4.00% | 03/29/2024 | 827,181 | 537,081 | |||||||||||
CEC Entertainment, Inc., B(d) | 9.41% | 3M US L + 8.50% | 08/30/2026 | 217,026 | 121,535 | |||||||||||
NPC International, Inc., Incremental Priority(d)(e) | 4.23% | 1M US L + 4.23% | 01/21/2021 | 24,181 | 23,938 | |||||||||||
Red Lobster Management LLC, Initial | 6.25% | 3M US L + 5.25% | 07/28/2021 | 310,939 | 259,634 | |||||||||||
United PF Holdings LLC | ||||||||||||||||
Incremental Term Loan | 9.50% | 3M US L + 8.50% | 12/30/2026 | 360,000 | 360,000 | |||||||||||
Initial | 4.31% | 3M US L + 4.00% | 12/30/2026 | 518,631 | 457,261 | |||||||||||
Total Hotels, Restaurants & Leisure | 2,892,052 | 2,371,505 | ||||||||||||||
Household Durables - 0.62% (0.43% of Total Investments) | ||||||||||||||||
Samsonite International S.A., 2020 Incremental Tranche B | 5.50% | 1M US L + 4.50% | 04/25/2025 | 483,247 | 468,146 | |||||||||||
Industrial Conglomerates - 0.43% (0.30% of Total Investments) | ||||||||||||||||
Star US Bidco LLC, Initial | 5.25% | 1M US L + 4.25% | 03/17/2027 | 352,860 | 319,338 | |||||||||||
Internet Software & Services - 5.94% (4.13% of Total Investments) | ||||||||||||||||
Castle US Holding Corp., Initial Dollar | 4.06% | 3M US L + 3.75% | 01/29/2027 | 1,496,875 | 1,362,156 | |||||||||||
GTT Communications, Inc., Closing Date U.S. | 2.93% | 1M US L + 2.75% | 05/31/2025 | 45,654 | 33,461 | |||||||||||
Imperva, Inc. | 5.00% | 3M US L + 4.00% | 01/12/2026 | 412,688 | 391,435 | |||||||||||
Playtika Holding Corp., B | 7.07% | 3M US L + 6.00% | 12/10/2024 | 1,952,733 | 1,947,852 | |||||||||||
Shutterfly, Inc., B | 7.00% | 3M US L + 6.00% | 09/25/2026 | 738,045 | 672,942 | |||||||||||
Ultimate Software Group, Inc., 2020 Incremental(f) | N/A | L + 4.00% | 05/04/2026 | 43,239 | 42,651 | |||||||||||
Total Internet Software & Services | 4,689,234 | 4,450,497 | ||||||||||||||
IT Services - 0.69% (0.48% of Total Investments) | ||||||||||||||||
West Corp., Initial B | 5.00% | 3M US L + 4.00% | 10/10/2024 | 609,078 | 517,443 | |||||||||||
Media - 9.42% (6.55% of Total Investments) | ||||||||||||||||
Ancestry.com Operations, Inc., Extended | 4.43% | 1M US L + 4.25% | 08/27/2026 | 990,053 | 936,838 | |||||||||||
Banijay Group S.A.S, Cov-Lite TL(f) | N/A | L + 3.75% | 03/04/2025 | 660,104 | 623,798 | |||||||||||
Creative Artists Agency LLC | ||||||||||||||||
Closing Date | 3.93% | 1M US L + 3.75% | 11/27/2026 | 682,782 | 644,205 | |||||||||||
Incremental B-1 | 5.25% | 1M US L + 4.25% | 11/27/2026 | 375,469 | 354,255 | |||||||||||
Cumulus Media New Holdings, Inc., Initial | 4.82% | 3M US L + 3.75% | 03/31/2026 | 1,069,050 | 994,217 | |||||||||||
Houghton Mifflin Harcourt Publishers, Inc., B | 7.25% | 1M US L + 6.25% | 11/22/2024 | 975,000 | 909,187 | |||||||||||
MediArena Acquisition B.V., Dollar B | 7.20% | 3M US L + 5.75% | 08/13/2021 | 240,630 | 234,915 | |||||||||||
Recorded Books, Inc., Initial | 4.44% | 1M US L + 4.25% | 08/29/2025 | 994,940 | 956,386 | |||||||||||
Terrier Media Buyer, Inc., B | 4.43% | 1M US L + 4.25% | 12/17/2026 | 889,513 | 846,523 | |||||||||||
UFC Holdings LLC, B-2(f) | N/A | L + 3.25% | 04/29/2026 | 81,522 | 78,057 | |||||||||||
William Morris Endeavor Entertainment LLC, B-2 | 9.50% | 1M US L + 8.50% | 05/18/2025 | 498,750 | 483,788 | |||||||||||
Total Media | 7,457,813 | 7,062,169 |
Coupon(a) | Reference Rate & Spread | Maturity Date | Principal Amount | Value | ||||||||||||
SENIOR SECURED FIRST LIEN LOANS(c) (continued) | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.03% (0.02% of Total Investments) | ||||||||||||||||
Permian Production Partners LLC, Initial Advances(d) | 10.25% | 3M US L + 8.00% | 05/20/2024 | $ | 433,088 | $ | 21,654 | |||||||||
Personal Products - 1.27% (0.88% of Total Investments) | ||||||||||||||||
Knowlton Development Corp., Inc., Initial (2020) | 4.06% | 3M US L + 3.75% | 12/22/2025 | 994,962 | 949,572 | |||||||||||
Pharmaceuticals - 0.30% (0.21% of Total Investments) | ||||||||||||||||
Amneal Pharmaceuticals, LLC, Initial Term Loan | 3.69% | 1M US L + 3.50% | 05/04/2025 | 247,258 | 225,314 | |||||||||||
Professional Services - 1.47% (1.02% of Total Investments) | ||||||||||||||||
AQ Carver Buyer, Inc., Initial | 6.00% | 3M US L + 5.00% | 09/23/2025 | 464,381 | 408,655 | |||||||||||
IG Investments Holdings, LLC (fka Igloo Merger Sub, LLC), Refinancing Term Loan | 5.00% | 3M US L + 4.00% | 05/23/2025 | 746,193 | 690,975 | |||||||||||
Total Professional Services | 1,210,574 | 1,099,630 | ||||||||||||||
Software - 6.63% (4.61% of Total Investments) | ||||||||||||||||
Cambium Learning Group, Inc., Initial | 4.81% | 3M US L + 4.50% | 12/18/2025 | 994,950 | 941,889 | |||||||||||
Conservice Midco LLC, Initial | 4.56% | 3M US L + 4.25% | 05/13/2027 | 123,077 | 119,692 | |||||||||||
CornerStone OnDemand, Inc. | 5.35% | 3M US L + 4.25% | 04/22/2027 | 320,802 | 315,390 | |||||||||||
DCert Buyer, Inc., B | 4.18% | 1M US L + 4.00% | 10/16/2026 | 296,000 | 285,270 | |||||||||||
DiscoverOrg LLC, Initial | 3.93% | 1M US L + 3.75% | 02/02/2026 | 866,118 | 844,465 | |||||||||||
EagleView Technology Corp. | 3.86% | 3M US L + 3.50% | 08/14/2025 | 281,729 | 265,077 | |||||||||||
Fiserv Investment Solutions, Inc., Initial | 5.14% | 3M US L + 4.75% | 02/18/2027 | 447,573 | 439,741 | |||||||||||
Micro Holding Corp. & MH Sub I, LLC, Term Loan | 4.06% | 1M US L + 3.50% | 09/13/2024 | 247,449 | 237,692 | |||||||||||
Project Alpha Intermediate Holding, Inc., 2019 Incremental | 6.13% | 3M US L + 4.25% | 04/26/2024 | 590,621 | 568,473 | |||||||||||
Upland Software, Inc., Initial | 3.93% | 1M US L + 3.75% | 08/06/2026 | 992,500 | 952,800 | |||||||||||
Total Software | 5,160,819 | 4,970,489 | ||||||||||||||
Specialty Retail - 1.61% (1.12% of Total Investments) | ||||||||||||||||
Bass Pro Group LLC, Initial | 6.07% | 3M US L + 5.00% | 09/25/2024 | 1,253,276 | 1,202,694 | |||||||||||
Textiles, Apparel & Luxury Goods - 1.18% (0.82% of Total Investments) | ||||||||||||||||
Champ Acquisition Corp., Initial | 6.57% | 3M US L + 5.50% | 12/19/2025 | 534,245 | 503,862 | |||||||||||
Elevate Textiles, Inc., Initial | 5.54% | 3M US L + 5.00% | 05/01/2024 | 694,519 | 381,986 | |||||||||||
Total Textiles, Apparel & Luxury Goods | 1,228,764 | 885,848 | ||||||||||||||
Total Senior Secured First Lien Loans (Cost $52,483,690) | $ | 53,307,259 | $ | 48,609,231 | ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS DEBT(c)(g)- 12.05%* (8.37% of Total Investments) | ||||||||||||||||
Anchorage Capital CLO 2018-10, Ltd., CLO 2018-10A(b) | 6.97% | 3M US L + 5.75% | 10/15/2031 | 500,000 | 410,831 | |||||||||||
Apidos CLO XXXII, CLO 2020-32A(b) | 8.43% | 3M US L + 6.75% | 01/20/2033 | 250,000 | 220,434 | |||||||||||
Atrium XIV LLC, CLO 2018-14A(b) | 6.83% | 3M US L + 5.65% | 08/23/2030 | 500,000 | 433,367 | |||||||||||
Carlyle US CLO 2019-4, Ltd., CLO 2020-4A(b) | 9.53% | 3M US L + 7.65% | 01/15/2033 | 600,000 | 566,228 | |||||||||||
CIFC Funding 2015-I, Ltd., CLO 2015-1A(b) | 7.10% | 3M US L + 6.00% | 01/22/2031 | 500,000 | 409,228 | |||||||||||
GoldenTree Loan Management US CLO 1, Ltd., CLO 2017-1A(b) | 6.74% | 3M US L + 5.60% | 04/20/2029 | 1,000,000 | 544,925 | |||||||||||
HPS Loan Management 11-2017, Ltd., CLO 2017-11A(b) | 8.35% | 3M US L + 7.85% | 05/06/2030 | 1,000,000 | 601,533 | |||||||||||
Madison Park Funding XVII, Ltd., CLO 2015-17A(b) | 8.59% | 3M US L + 7.48% | 07/21/2030 | 1,000,000 | 606,996 | |||||||||||
Magnetite XXIV, Ltd., CLO 2019-24A(b) | 8.86% | 3M US L + 6.95% | 01/15/2033 | 500,000 | 455,189 | |||||||||||
OHA Credit Funding 5, Ltd., CLO 2020-5A(b) | 7.56% | 3M US L + 6.25% | 04/18/2033 | 1,000,000 | 839,563 | |||||||||||
Regatta XIV Funding, Ltd., CLO 2018-3A(b) | 6.94% | 3M US L + 5.95% | 10/25/2031 | 750,000 | 570,052 | |||||||||||
Regatta XVI Funding, Ltd., CLO 2019-2A(b) | 8.90% | 3M US L + 7.00% | 01/15/2033 | 1,000,000 | 856,382 | |||||||||||
Sound Point CLO II, Ltd., CLO 2013-1A(b) | 6.49% | 3M US L + 5.50% | 01/26/2031 | 250,000 | 193,061 |
Coupon(a) | Reference Rate & Spread | Maturity Date | Principal Amount | Value | ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS DEBT(c)(g) (continued) | ||||||||||||||||
Sound Point CLO XVIII, Ltd., CLO 2017-4A(b) | 6.64% | 3M US L + 5.50% | 01/20/2031 | $ | 500,000 | $ | 380,992 | |||||||||
Symphony CLO XXI, Ltd., CLO 2019-21A(b) | 7.97% | 3M US L + 6.75% | 07/15/2032 | 1,000,000 | 872,736 | |||||||||||
THL Credit Wind River 2017-4 CLO, Ltd., CLO 2017-4A(b) | 6.18% | 3M US L + 5.80% | 11/20/2030 | 500,000 | 415,549 | |||||||||||
THL Credit Wind River 2019-1 CLO, Ltd., CLO 2019-1A(b) | 7.86% | 3M US L + 6.72% | 04/20/2031 | 750,000 | 651,537 | |||||||||||
Total Collateralized Loan Obligations Debt (Cost $11,404,925) | $ | 11,600,000 | $ | 9,028,603 | ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS EQUITY(g)(h)- 56.38%* (39.19% of Total Investments) | ||||||||||||||||
Anchorage Capital CLO 1-R, Ltd., CLO 2018-1RA(b) | N/A | Estimated yield of 18.36% | 04/13/2031 | 4,150,000 | 2,271,270 | |||||||||||
Anchorage Capital CLO 3-R, Ltd., CLO 2014-3RA(b) | N/A | Estimated yield of 16.90% | 01/28/2031 | 1,400,000 | 825,660 | |||||||||||
Anchorage Capital CLO 4-R, Ltd., CLO 2018-4RA(b) | N/A | Estimated yield of 17.40% | 01/28/2031 | 3,000,000 | 1,874,733 | |||||||||||
Anchorage Capital CLO 9, Ltd., CLO 2016-9A(b) | N/A | Estimated yield of 19.59% | 07/15/2032 | 2,500,000 | 916,297 | |||||||||||
Apidos CLO XXVII, CLO 2017-27A(b) | N/A | Estimated yield of 16.33% | 07/17/2030 | 1,300,000 | 529,637 | |||||||||||
Apidos CLO XXVIII, CLO 2017-28A(b) | N/A | Estimated yield of 11.83% | 01/20/2031 | 3,500,000 | 1,593,168 | |||||||||||
ARES LI CLO, Ltd., CLO 2019-51A(b) | N/A | Estimated yield of 15.61% | 04/15/2031 | 4,000,000 | 1,650,764 | |||||||||||
Battalion Clo XV, Ltd., CLO 2020-15A(b) | N/A | Estimated yield of 16.63% | 01/17/2033 | 4,500,000 | 3,522,870 | |||||||||||
Carlyle Global Market Strategies CLO 2013-1, Ltd., CLO 2013-1A(b) | N/A | Estimated yield of 10.48% | 08/14/2030 | 3,500,000 | 1,040,224 | |||||||||||
Carlyle Global Market Strategies CLO 2016-1, Ltd., CLO 2016-1A(b) | N/A | Estimated yield of 0.00% | 04/20/2027 | 598,000 | 182,929 | |||||||||||
Carlyle US CLO 2018-2, Ltd., CLO 2018-2A(b) | N/A | Estimated yield of 12.74% | 10/15/2031 | 933,000 | 424,629 | |||||||||||
Carlyle US CLO 2019-4, Ltd., CLO 2020-4A(b) | N/A | Estimated yield of 14.21% | 01/15/2033 | 4,000,000 | 2,236,944 | |||||||||||
Catamaran CLO 2015-1, Ltd., CLO 2015-1A(b) | N/A | Estimated yield of 0.00% | 04/22/2027 | 750,000 | 16,575 | |||||||||||
CIFC Funding 2017-III, Ltd., CLO 2017-3A(b) | N/A | Estimated yield of 13.40% | 07/30/2030 | 1,400,000 | 601,510 | |||||||||||
CIFC Funding 2017-V, Ltd., CLO 2017-5A(b) | N/A | Estimated yield of 10.99% | 11/16/2030 | 3,000,000 | 1,466,826 | |||||||||||
CIFC Funding 2018-I, Ltd., CLO 2018-1A(b) | N/A | Estimated yield of 13.52% | 04/18/2031 | 3,250,000 | 1,910,213 | |||||||||||
CIFC Funding 2018-III, Ltd., CLO 2018-3A(b) | N/A | Estimated yield of 18.90% | 07/18/2031 | 3,000,000 | 1,779,502 | |||||||||||
CIFC Funding 2019-III, Ltd., CLO 2019-3A(b) | N/A | Estimated yield of 11.71% | 07/16/2032 | 750,000 | 371,194 | |||||||||||
Dryden 34 Senior Loan Fund, CLO 2014-34A(b) | N/A | Estimated yield of 0.00% | 10/15/2026 | 5,000,000 | 40,500 | |||||||||||
Madison Park Funding XVIII, Ltd., CLO 2015-18A(b) | N/A | Estimated yield of 7.13% | 10/21/2027 | 4,000,000 | 1,758,972 | |||||||||||
Madison Park Funding XX, Ltd., CLO 2016-20A(b) | N/A | Estimated yield of 19.84% | 07/27/2030 | 1,740,000 | 866,922 | |||||||||||
Madison Park Funding XXXVII, Ltd., CLO 2019-37A(b) | N/A | Estimated yield of 14.58% | 07/15/2032 | 5,500,000 | 3,578,228 | |||||||||||
Niagara Park Clo, Ltd., CLO 2019-1A(b) | N/A | Estimated yield of 16.76% | 07/17/2032 | 2,648,000 | 1,570,516 | |||||||||||
Oak Hill Credit Partners X-R, Ltd., CLO 2014-10RA(b) | N/A | Estimated yield of 15.19% | 12/20/2030 | 4,800,000 | 1,332,341 | |||||||||||
OHA Credit Partners XI, Ltd., CLO 2015-11A(b) | N/A | Estimated yield of 14.49% | 01/20/2032 | 2,750,000 | 1,396,192 | |||||||||||
OHA Credit Partners XII, Ltd., CLO 2016-12A(b) | N/A | Estimated yield of 18.09% | 07/23/2030 | 1,500,000 | 867,968 | |||||||||||
Sound Point CLO III, Ltd., CLO 2017-3A(b) | N/A | Estimated yield of 11.36% | 10/20/2030 | 1,500,000 | 729,590 | |||||||||||
Sound Point CLO III-R, Ltd., CLO 2013-2RA(b) | N/A | Estimated yield of 0.00% | 04/15/2029 | 1,000,000 | 143,273 | |||||||||||
Sound Point CLO VI-R, Ltd., CLO 2014-2RA(b) | N/A | Estimated yield of 6.17% | 10/20/2031 | 2,000,000 | 199,634 | |||||||||||
Symphony CLO XVI, Ltd., CLO 2015-16A(b) | N/A | Estimated yield of 24.15% | 10/15/2031 | 5,750,000 | 1,893,274 | |||||||||||
Thacher Park CLO, Ltd., CLO 2014-1A(b) | N/A | Estimated yield of 0.00% | 10/20/2026 | 6,000,000 | 385,800 | |||||||||||
THL Credit Wind River 2016-1 CLO, Ltd., CLO 2016-1A(b) | N/A | Estimated yield of 0.00% | 07/15/2028 | 4,000,000 | 1,009,228 | |||||||||||
THL Credit Wind River 2018-2 CLO, Ltd., CLO 2018-2A(b) | N/A | Estimated yield of 13.68% | 07/15/2030 | 2,500,000 | 1,171,010 | |||||||||||
THL Credit Wind River 2018-3 CLO, Ltd., CLO 2018-3A(b) | N/A | Estimated yield of 16.44% | 01/20/2031 | 3,000,000 | 2,094,432 | |||||||||||
Total Collateralized Loan Obligations Equity (Cost $67,044,328) | $ | 99,219,000 | $ | 42,252,825 |
Value | ||||||||
COMMON STOCK - 0.06%* (0.04% of Total Investments) | ||||||||
Aerospace & Defense - 0.00%(i) (0.00% of Total Investments) | ||||||||
New Constellis Borrower LLC(j) | 6,795 | 2,548 |
Shares | Value | |||||||
COMMON STOCK (continued) | ||||||||
Specialty Retail - 0.06% (0.04% of Total Investments) | ||||||||
Payless Holdings LLC(g)(j) | 32,500 | 41,438 | ||||||
Total Common Stock (Cost $165,106) | $ | 39,295 | $ | 43,986 | ||||
MONEY MARKET MUTUAL FUNDS - 1.78%* (1.24% of Total Investments) | ||||||||
Invesco Short Term Investments Trust Treasury Portfolio, Institutional Class (0.079% 7-Day Yield) | 1,333,950 | $ | 1,333,950 | |||||
Total Money Market Mutual Funds (Cost $1,333,950) | 1,333,950 | $ | 1,333,950 | |||||
Total Investments - 143.88% (Cost $140,050,568) | $ | 107,821,717 | ||||||
Liabilities in Excess of Other Assets - (3.72)% | (2,784,217 | ) | ||||||
Leverage Facility (Net of $51,731 Deferred Leverage Costs) - (40.16)% | (30,098,269 | ) | ||||||
Net Assets - 100.00% | $ | 74,939,231 |
* | Amounts above are shown as a percentage of net assets as of June 30, 2020. |
(a) | The rate shown is the coupon as of the end of the reporting period. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $52,493,840, which represents approximately 70.05% of the Trust's net assets as of June 30, 2020. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
(c) | Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(d) | Issuer was in default and is non-income producing. Partial or no payments were paid on the last payment date. The aggregate value of these securities represented 0.43% of the Trust’s net assets. |
(e) | This investment has an unfunded commitment as of June 30, 2020. The aggregate amount of the unfunded commitments as of June 30, 2020 is $135,126. |
(f) | When-issued or delivery-delayed security. All or a portion of this position has not settled as of June 30, 2020. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Trust will not accrue interest until the settlement date, at which point LIBOR will be established. The total cost of securities purchased on a when-issued or delivery-delayed basis was $2,407,857 as of June 30, 2020. |
(g) | As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as Level 3 assets. |
(h) | CLO subordinated notes are considered CLO equity positions. CLO equity positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment. Effective yields for the CLO equity positions are updated generally once a quarter or on a transaction such as an add-on purchase, refinancing or reset. The estimated yield and investment cost may ultimately not be realized. Estimated yields shown as of June 30, 2020. |
(i) | Less than 0.005%. |
(j) | Non-income producing security. |
All securities held as of June 30, 2020 are pledged as collateral for the leverage facility.