STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2021 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% | | | | | |
Advertising - .9% | | | | | |
Advantage Sales & Marketing, Sr. Scd. Notes | | 6.50 | | 11/15/2028 | | 515,000 | c | 543,843 | |
Clear Channel International, Sr. Scd. Notes | | 6.63 | | 8/1/2025 | | 415,000 | c | 437,551 | |
Clear Channel Outdoor Holdings, Gtd. Notes | | 7.50 | | 6/1/2029 | | 270,000 | c | 279,878 | |
Clear Channel Outdoor Holdings, Gtd. Notes | | 7.75 | | 4/15/2028 | | 330,000 | c | 346,106 | |
National CineMedia, Sr. Scd. Notes | | 5.88 | | 4/15/2028 | | 100,000 | c | 98,396 | |
Terrier Media Buyer, Gtd. Notes | | 8.88 | | 12/15/2027 | | 606,000 | c | 656,792 | |
| | 2,362,566 | |
Aerospace & Defense - .5% | | | | | |
TransDigm, Gtd. Notes | | 4.88 | | 5/1/2029 | | 485,000 | c | 490,214 | |
TransDigm, Gtd. Notes | | 5.50 | | 11/15/2027 | | 70,000 | | 73,063 | |
TransDigm, Sr. Scd. Notes | | 8.00 | | 12/15/2025 | | 750,000 | c | 812,467 | |
| | 1,375,744 | |
Airlines - .8% | | | | | |
American Airlines, Sr. Scd. Notes | | 11.75 | | 7/15/2025 | | 565,000 | c | 709,781 | |
American Airlines Group, Gtd. Notes | | 3.75 | | 3/1/2025 | | 765,000 | c | 705,839 | |
Hawaiian Brand Intellectual Property, Sr. Scd. Notes | | 5.75 | | 1/20/2026 | | 245,000 | c | 263,341 | |
United Airlines, Sr. Scd. Notes | | 4.63 | | 4/15/2029 | | 250,000 | c | 259,062 | |
| | 1,938,023 | |
Automobiles & Components - 1.6% | | | | | |
American Axle & Manufacturing, Gtd. Notes | | 6.88 | | 7/1/2028 | | 600,000 | | 656,154 | |
Clarios Global, Gtd. Notes | | 8.50 | | 5/15/2027 | | 1,025,000 | c | 1,118,736 | |
Dealer Tire, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 980,000 | c | 1,059,738 | |
Ford Motor, Sr. Unscd. Notes | | 5.29 | | 12/8/2046 | | 175,000 | | 195,675 | |
Ford Motor, Sr. Unscd. Notes | | 9.00 | | 4/22/2025 | | 390,000 | | 481,317 | |
Real Hero Merger Sub 2, Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 445,000 | c | 462,177 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 215,000 | c | 246,746 | |
| | 4,220,543 | |
Building Materials - .7% | | | | | |
Cornerstone Building Brands, Gtd. Notes | | 6.13 | | 1/15/2029 | | 235,000 | c | 252,517 | |
CP Atlas Buyer, Sr. Unscd. Notes | | 7.00 | | 12/1/2028 | | 945,000 | c | 981,949 | |
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2026 | | 285,000 | c | 345,622 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Building Materials - .7% (continued) | | | | | |
U.S. Concrete, Gtd. Notes | | 5.13 | | 3/1/2029 | | 140,000 | c | 153,381 | |
| | 1,733,469 | |
Chemicals - 2.0% | | | | | |
Consolidated Energy Finance, Gtd. Notes | | 6.50 | | 5/15/2026 | | 445,000 | c | 458,134 | |
Consolidated Energy Finance, Sr. Unscd. Notes | | 6.88 | | 6/15/2025 | | 345,000 | c | 352,131 | |
CVR Partners, Scd. Notes | | 9.25 | | 6/15/2023 | | 62,000 | c | 62,285 | |
Innophos Holdings, Sr. Unscd. Notes | | 9.38 | | 2/15/2028 | | 745,000 | c | 807,595 | |
Iris Holdings, Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 311,000 | c | 317,764 | |
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% @ Floor | EUR | 4.75 | | 9/30/2024 | | 860,000 | c,d | 985,549 | |
Polar US Borrower, Sr. Unscd. Notes | | 6.75 | | 5/15/2026 | | 480,000 | c | 481,570 | |
Trinseo Materials Finance, Gtd. Bonds | | 5.13 | | 4/1/2029 | | 325,000 | c | 332,779 | |
Venator Finance, Gtd. Notes | | 5.75 | | 7/15/2025 | | 295,000 | c | 290,925 | |
Venator Finance, Sr. Scd. Notes | | 9.50 | | 7/1/2025 | | 865,000 | c | 975,365 | |
| | 5,064,097 | |
Collateralized Loan Obligations Debt - 42.1% | | | | | |
Adagio VIII CLO, Ser. 8A, Cl. E, 3 Month EURIBOR +6.03% @ Floor | EUR | 6.03 | | 4/15/2032 | | 3,000,000 | c,d | 3,504,105 | |
Barings CLO, Ser. 2019-4A, CI. E, 3 Month LIBOR +7.39% | | 7.57 | | 1/15/2033 | | 3,000,000 | c,d | 3,010,857 | |
Barings Euro CLO, Ser. 2018-3A, Cl. E, 3 Month EURIBOR +5.79% @ Floor | EUR | 5.79 | | 7/27/2031 | | 2,150,000 | c,d | 2,476,813 | |
Barings Euro CLO, Ser. 2019-1A, CI. E, 3 Month EURIBOR +6.55% @ Floor | EUR | 6.55 | | 10/21/2032 | | 1,500,000 | c,d | 1,760,029 | |
Blackrock European VIII CLO, Ser. 8A, Cl. E, 3 Month EURIBOR +5.75% @ Floor | EUR | 5.75 | | 7/20/2032 | | 2,000,000 | c,d | 2,345,857 | |
BlueMountain CLO, Ser. 2016-2A, CI. DR, 3 Month LIBOR +7.79% | | 7.95 | | 8/20/2032 | | 2,250,000 | c,d | 2,254,324 | |
Cairn VI CLO, Ser. 2016-6A, CL. FR, 3 Month EURIBOR +8.25% @ Floor | EUR | 8.25 | | 7/25/2029 | | 2,700,000 | c,d | 3,207,473 | |
Carlyle Euro CLO, Ser. 2019-1A, CI. D, 3 Month EURIBOR +6.12% @ Floor | EUR | 6.12 | | 3/15/2032 | | 4,200,000 | c,d | 4,853,744 | |
Carlyle Global Market Strategies Euro CLO, Ser. 2014-2A, Cl. DRR, 3 Month EURIBOR +5.70% @ Floor | EUR | 5.70 | | 11/17/2031 | | 2,034,000 | c,d | 2,358,743 | |
Carlyle Global Market Strategies Euro CLO, Ser. 2015-1A, CI. ER, 3 Month EURIBOR +8.03% @ Floor | EUR | 8.03 | | 1/16/2033 | | 1,000,000 | c,d | 1,129,000 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Collateralized Loan Obligations Debt - 42.1% (continued) | | | | | |
Contego VII CLO, Ser. 7A, Cl. F, 3 Month EURIBOR +8.76% @ Floor | EUR | 8.76 | | 5/14/2032 | | 3,500,000 | c,d | 4,167,103 | |
Crown Point 8 CLO, Ser. 2019-8A, Cl. E, 3 Month LIBOR +7.10% | | 7.29 | | 10/20/2032 | | 3,000,000 | c,d | 2,987,346 | |
CVC Cordatus Loan Fund XIV CLO, Ser. 14A, Cl. E, 3 Month EURIBOR +5.90% @ Floor | EUR | 5.90 | | 5/22/2032 | | 3,000,000 | c,d | 3,555,891 | |
Dryden 66 Euro CLO, Ser. 2018-66A, CI. E, 3 Month EURIBOR +5.41% @ Floor | EUR | 5.41 | | 1/18/2032 | | 2,000,000 | c,d | 2,323,764 | |
Elevation CLO, Ser. 2013-1A, Cl. D1R2, 3 Month LIBOR +7.65% | | 7.81 | | 8/15/2032 | | 2,500,000 | c,d | 2,491,310 | |
Greywolf II CLO, Ser. 2013-1, Cl. A, 3 Month LIBOR +7.05% | | 7.23 | | 4/15/2034 | | 2,000,000 | c,d | 1,975,974 | |
Jamestown XIV CLO, Ser. 2019-14A, CI. D, 3 Month LIBOR +7.04% | | 7.23 | | 10/20/2032 | | 3,000,000 | c,d | 3,002,247 | |
KKR 24 CLO, Ser. 24, CI. E, 3 Month LIBOR +6.38% | | 6.57 | | 4/20/2032 | | 2,690,000 | c,d | 2,657,131 | |
KKR 27 CLO, Ser. 27A, Cl. E, 3 Month LIBOR +6.90% | | 7.08 | | 10/15/2032 | | 3,000,000 | c,d | 3,002,244 | |
KVK CLO, Ser. 2016-1A, CI. E, 3 Month LIBOR +7.90% | | 8.08 | | 1/15/2029 | | 4,000,000 | c,d | 3,969,624 | |
MidOcean Credit X CLO, Ser. 2019-10A, CI. E, 3 Month LIBOR +7.44% | | 7.61 | | 10/23/2032 | | 4,000,000 | c,d | 3,974,072 | |
Northwoods Capital 20 CLO, Ser. 2019-20A, Cl. ER, 3 Month LIBOR +7.85% | | 8.03 | | 1/25/2032 | | 2,437,500 | c,d | 2,440,025 | |
Northwoods Capital 25 CLO, Ser. 2021-25A, CI. E, 3 Month LIBOR +7.14% @ Floor | | 7.14 | | 7/20/2034 | | 3,000,000 | c,d | 2,880,000 | |
Ocean Trails VI CLO, Ser. 2016-6A, CI. ER, 3 Month LIBOR +7.45% | | 7.63 | | 7/15/2028 | | 1,500,000 | c,d | 1,503,997 | |
Octagon Investment Partners 20-R CLO, Ser. 2019-4A, Cl. E, 3 Month LIBOR +6.80% | | 6.97 | | 5/12/2031 | | 4,000,000 | c,d | 3,978,116 | |
Purple Finance 2 CLO, Ser. 2A, Cl. E, 3 Month EURIBOR +6.40% @ Floor | EUR | 6.40 | | 4/20/2032 | | 2,600,000 | c,d | 2,966,427 | |
Purple Finance 2 CLO, Ser. 2A, Cl. F, 3 Month EURIBOR +8.84% @ Floor | EUR | 8.84 | | 4/20/2032 | | 2,300,000 | c,d | 2,672,522 | |
Rockford Tower Europe CLO, Ser. 2019-1A, Cl. E, 3 Month EURIBOR +6.03% @ Floor | EUR | 6.03 | | 1/20/2033 | | 2,000,000 | c,d | 2,355,798 | |
Sound Point XXIII CLO, Ser. 2019-2A, Cl. ER, 3 Month LIBOR +6.47% | | 6.62 | | 7/15/2034 | | 4,750,000 | c,d | 4,657,826 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Collateralized Loan Obligations Debt - 42.1% (continued) | | | | | |
THL Credit Wind River CLO, Ser. 2019-3A, Cl. E, 3 Month LIBOR +6.55% | | 6.73 | | 4/15/2031 | | 3,000,000 | c,d | 2,982,285 | |
Toro European 3 CLO, Ser. 3A, CI. E, 3 Month EURIBOR +5.60% @ Floor | EUR | 5.60 | | 4/15/2030 | | 3,000,000 | c,d | 3,535,746 | |
Toro European 6 CLO, Ser. 6A, Cl. E, 3 Month EURIBOR +6.49% @ Floor | EUR | 6.49 | | 1/12/2032 | | 1,385,000 | c,d | 1,611,517 | |
Toro European 6 CLO, Ser. 6A, Cl. F, 3 Month EURIBOR +8.49% @ Floor | EUR | 8.49 | | 1/12/2032 | | 2,745,000 | c,d | 3,219,324 | |
Trimaran CAVU CLO, Ser. 2019-1A, CI. E, 3 Month LIBOR +7.04% | | 7.23 | | 7/20/2032 | | 2,100,000 | c,d | 2,096,104 | |
Trimaran CAVU CLO, Ser. 2019-2A, Cl. D, 3 Month LIBOR +6.95% | | 7.14 | | 11/26/2032 | | 1,750,000 | c,d | 1,713,252 | |
Venture 39 CLO, Ser. 2021-39A, Cl. E, 3 Month LIBOR +7.63% | | 7.81 | | 4/15/2033 | | 2,350,000 | c,d | 2,355,588 | |
Venture 41 CLO, Ser. 2021-41A, Cl. E, 3 Month LIBOR +7.71% | | 7.91 | | 1/20/2034 | | 2,000,000 | c,d | 2,001,164 | |
Wellfleet X CLO, Ser. 2019-XA, Cl. DR, 3 Month LIBOR +6.61% | | 6.78 | | 7/20/2032 | | 4,000,000 | c,d | 3,974,468 | |
| | 107,951,810 | |
Collateralized Loan Obligations Equity - 4.4% | | | | | |
Blackrock European VIII CLO, Ser. 8A, Cl. SUB | EUR | 3.25 | | 7/20/2032 | | 1,425,000 | c,e | 1,267,688 | |
BlueMountain Fuji III CLO, Ser. 3A, CI. SUB | EUR | 8.65 | | 1/15/2031 | | 3,000,000 | c,e | 2,422,754 | |
KVK CLO, Ser. 2016-1A, CI. SUB | | 39.04 | | 1/15/2029 | | 10,000,000 | c,e | 4,513,280 | |
Madison Park Funding X CLO, Ser. 2012-10A, Cl. SUB | | 28.89 | | 1/20/2029 | | 5,000,000 | c,e | 2,298,290 | |
Providus II CLO, Ser. 2A, Cl. SUB | EUR | 6.85 | | 7/15/2031 | | 1,000,000 | c,e | 792,938 | |
| | 11,294,950 | |
Commercial & Professional Services - 1.9% | | | | | |
Adtalem Global Education, Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 745,000 | c | 758,075 | |
APX Group, Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 550,000 | c | 587,188 | |
La Financiere Atalian, Gtd. Notes | GBP | 6.63 | | 5/15/2025 | | 600,000 | | 836,682 | |
MPH Acquisition Holdings, Gtd. Notes | | 5.75 | | 11/1/2028 | | 155,000 | c | 155,966 | |
Prime Security Services Borrower, Scd. Notes | | 6.25 | | 1/15/2028 | | 525,000 | c | 559,135 | |
Team Health Holdings, Gtd. Notes | | 6.38 | | 2/1/2025 | | 1,035,000 | c | 986,490 | |
The House of Finance, Sr. Scd. Notes | EUR | 4.38 | | 7/15/2026 | | 100,000 | c | 120,751 | |
Verisure Midholding, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 665,000 | c | 812,179 | |
| | 4,816,466 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Consumer Discretionary - 3.3% | | | | | |
Allen Media, Gtd. Notes | | 10.50 | | 2/15/2028 | | 1,111,000 | c | 1,184,543 | |
AMC Entertainment Holdings, Scd. Notes | | 12.00 | | 6/15/2026 | | 143,100 | c | 146,678 | |
AMC Entertainment Holdings, Sr. Scd. Notes | | 10.50 | | 4/15/2025 | | 55,000 | c | 59,785 | |
Ashton Woods USA, Sr. Unscd. Notes | | 6.63 | | 1/15/2028 | | 435,000 | c | 465,100 | |
Ashton Woods USA, Sr. Unscd. Notes | | 6.75 | | 8/1/2025 | | 25,000 | c | 25,997 | |
Banijay Group, Sr. Unscd. Notes | EUR | 6.50 | | 3/1/2026 | | 1,010,000 | c | 1,239,373 | |
Boyd Gaming, Sr. Unscd. Notes | | 4.75 | | 6/15/2031 | | 315,000 | c | 327,206 | |
Caesars Entertainment, Sr. Unscd. Notes | | 8.13 | | 7/1/2027 | | 465,000 | c | 517,754 | |
Carnival, Gtd. Bonds | EUR | 7.63 | | 3/1/2026 | | 365,000 | c | 480,315 | |
Carnival, Sr. Unscd. Notes | | 5.75 | | 3/1/2027 | | 240,000 | c | 251,700 | |
Cinemark USA, Gtd. Notes | | 5.88 | | 3/15/2026 | | 330,000 | c | 346,376 | |
Core & Main Holdings, Sr. Unscd. Notes | | 8.63 | | 9/15/2024 | | 330,000 | c | 337,877 | |
Deuce Finco, Sr. Scd. Bonds | GBP | 5.50 | | 6/15/2027 | | 330,000 | c | 457,394 | |
Everi Holdings, Gtd. Notes | | 5.00 | | 7/15/2029 | | 225,000 | | 225,000 | |
Gamma Bidco, Sr. Scd. Notes | EUR | 5.13 | | 7/15/2025 | | 300,000 | c | 367,980 | |
NCL, Gtd. Notes | | 5.88 | | 3/15/2026 | | 280,000 | c | 293,920 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 3.70 | | 3/15/2028 | | 365,000 | | 349,152 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 4/1/2028 | | 275,000 | c | 288,351 | |
Scientific Games International, Gtd. Notes | EUR | 5.50 | | 2/15/2026 | | 260,000 | c | 315,232 | |
Scientific Games International, Gtd. Notes | | 7.25 | | 11/15/2029 | | 237,000 | c | 267,963 | |
Scientific Games International, Gtd. Notes | | 8.25 | | 3/15/2026 | | 565,000 | c | 606,657 | |
| | 8,554,353 | |
Diversified Financials - 2.1% | | | | | |
Compass Group Diversified Holdings, Gtd. Notes | | 5.25 | | 4/15/2029 | | 450,000 | c | 468,562 | |
Encore Capital Group, Sr. Scd. Bonds | GBP | 5.38 | | 2/15/2026 | | 330,000 | c | 482,588 | |
Encore Capital Group, Sr. Scd. Bonds, 3 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 1/15/2028 | | 350,000 | c,d | 426,488 | |
FS Energy & Power Fund, Sr. Scd. Notes | | 7.50 | | 8/15/2023 | | 875,000 | c | 906,412 | |
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 455,000 | c | 656,686 | |
Garfunkelux Holdco 3, Sr. Scd. Notes | EUR | 6.75 | | 11/1/2025 | | 500,000 | c | 618,519 | |
Icahn Enterprises, Gtd. Notes | | 6.25 | | 5/15/2026 | | 635,000 | | 674,814 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.13 | | 12/15/2030 | | 35,000 | c | 34,895 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Diversified Financials - 2.1% (continued) | | | | | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.50 | | 8/15/2028 | | 790,000 | c | 798,003 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 6.00 | | 1/15/2027 | | 235,000 | c | 243,996 | |
| | 5,310,963 | |
Energy - 5.2% | | | | | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 1/15/2028 | | 320,000 | c | 337,178 | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 3/1/2027 | | 545,000 | c | 568,460 | |
Antero Midstream Partners, Gtd. Notes | | 7.88 | | 5/15/2026 | | 200,000 | c | 224,180 | |
Antero Resources, Gtd. Notes | | 5.38 | | 3/1/2030 | | 160,000 | c | 163,501 | |
Antero Resources, Gtd. Notes | | 7.63 | | 2/1/2029 | | 330,000 | c | 366,729 | |
Antero Resources, Gtd. Notes | | 8.38 | | 7/15/2026 | | 149,000 | c | 169,674 | |
Apache, Sr. Unscd. Notes | | 5.10 | | 9/1/2040 | | 306,000 | | 320,917 | |
Archrock Partners, Gtd. Notes | | 6.25 | | 4/1/2028 | | 470,000 | c | 491,578 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 960,000 | c | 1,006,762 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 185,000 | c | 200,725 | |
Centennial Resource Production, Gtd. Notes | | 6.88 | | 4/1/2027 | | 225,000 | c | 230,409 | |
Crestwood Midstream Partners, Gtd. Notes | | 5.63 | | 5/1/2027 | | 35,000 | c | 36,022 | |
Crestwood Midstream Partners, Gtd. Notes | | 6.00 | | 2/1/2029 | | 1,030,000 | c | 1,080,212 | |
CrownRock, Sr. Unscd. Notes | | 5.00 | | 5/1/2029 | | 285,000 | c | 299,707 | |
CrownRock, Sr. Unscd. Notes | | 5.63 | | 10/15/2025 | | 185,000 | c | 192,001 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 170,000 | | 184,039 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 6.50 | | 7/1/2027 | | 205,000 | c | 229,174 | |
Genesis Energy, Gtd. Notes | | 6.25 | | 5/15/2026 | | 750,000 | | 753,375 | |
Genesis Energy, Gtd. Notes | | 6.50 | | 10/1/2025 | | 48,000 | | 48,577 | |
Genesis Energy, Gtd. Notes | | 7.75 | | 2/1/2028 | | 210,000 | | 217,308 | |
Genesis Energy, Gtd. Notes | | 8.00 | | 1/15/2027 | | 220,000 | | 231,412 | |
Indigo Natural Resources, Sr. Unscd. Notes | | 5.38 | | 2/1/2029 | | 780,000 | c | 816,106 | |
Laredo Petroleum, Gtd. Notes | | 9.50 | | 1/15/2025 | | 205,000 | | 216,267 | |
Laredo Petroleum, Gtd. Notes | | 10.13 | | 1/15/2028 | | 20,000 | | 22,020 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.13 | | 1/1/2031 | | 200,000 | | 235,556 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.38 | | 9/1/2028 | | 167,000 | | 195,208 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Energy - 5.2% (continued) | | | | | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.45 | | 9/15/2036 | | 210,000 | | 251,351 | |
Occidental Petroleum, Sr. Unscd. Notes | | 7.50 | | 5/1/2031 | | 430,000 | | 542,355 | |
Occidental Petroleum, Sr. Unscd. Notes | | 8.88 | | 7/15/2030 | | 740,000 | | 990,634 | |
PDC Energy, Gtd. Notes | | 5.75 | | 5/15/2026 | | 280,000 | | 292,860 | |
Precision Drilling, Gtd. Notes | | 6.88 | | 1/15/2029 | | 105,000 | c | 108,281 | |
Precision Drilling, Gtd. Notes | | 7.13 | | 1/15/2026 | | 390,000 | c | 402,494 | |
Southwestern Energy, Gtd. Notes | | 7.50 | | 4/1/2026 | | 590,000 | | 625,400 | |
Southwestern Energy, Gtd. Notes | | 8.38 | | 9/15/2028 | | 155,000 | | 175,359 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 9/1/2027 | | 1,040,000 | | 1,113,091 | |
| | 13,338,922 | |
Environmental Control - .1% | | | | | |
Waste Pro USA, Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 335,000 | c | 347,006 | |
Food Products - .2% | | | | | |
United Natural Foods, Gtd. Notes | | 6.75 | | 10/15/2028 | | 465,000 | c | 501,358 | |
Food Service - .1% | | | | | |
TKC Holdings, Sr. Unscd. Notes | | 10.50 | | 5/15/2029 | | 206,000 | c | 223,621 | |
Forest Products & Paper - .4% | | | | | |
Fabric BC, Sr. Scd. Notes, 3 Month EURIBOR +4.13% @ Floor | EUR | 4.13 | | 11/30/2024 | | 600,000 | d | 713,302 | |
SPA Holdings 3, Sr. Scd. Bonds | | 4.88 | | 2/4/2028 | | 395,000 | c | 399,325 | |
| | 1,112,627 | |
Health Care - 3.3% | | | | | |
Air Methods, Sr. Unscd. Notes | | 8.00 | | 5/15/2025 | | 1,260,000 | c | 1,192,275 | |
Bausch Health, Gtd. Notes | | 5.25 | | 1/30/2030 | | 205,000 | c | 190,906 | |
Bausch Health, Gtd. Notes | | 6.25 | | 2/15/2029 | | 105,000 | c | 103,982 | |
Bausch Health, Gtd. Notes | | 7.25 | | 5/30/2029 | | 520,000 | c | 532,847 | |
Bausch Health, Sr. Scd. Notes | | 4.88 | | 6/1/2028 | | 158,000 | c | 161,911 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 440,000 | c | 451,550 | |
Chrome Holdco, Gtd. Notes | EUR | 5.00 | | 5/31/2029 | | 240,000 | c | 292,068 | |
Cidron Aida Finco, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 340,000 | c | 480,904 | |
Community Health Systems, Scd. Notes | | 6.13 | | 4/1/2030 | | 480,000 | c | 487,800 | |
Community Health Systems, Scd. Notes | | 6.88 | | 4/15/2029 | | 305,000 | c | 320,062 | |
Community Health Systems, Sr. Scd. Notes | | 4.75 | | 2/15/2031 | | 230,000 | c | 231,150 | |
Community Health Systems, Sr. Scd. Notes | | 6.63 | | 2/15/2025 | | 226,000 | c | 239,275 | |
Laboratoire Eimer Selas, Gtd. Notes | EUR | 5.00 | | 2/1/2029 | | 190,000 | c | 230,119 | |
LifePoint Health, Gtd. Notes | | 5.38 | | 1/15/2029 | | 250,000 | c | 244,104 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Health Care - 3.3% (continued) | | | | | |
Nidda BondCo GmbH, Gtd. Notes | EUR | 5.00 | | 9/30/2025 | | 245,000 | | 292,361 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 590,000 | c | 608,555 | |
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | | 7.25 | | 2/1/2028 | | 381,000 | c | 416,909 | |
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | | 7.38 | | 6/1/2025 | | 210,000 | c | 226,341 | |
Prime Healthcare Services, Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 325,000 | c | 352,264 | |
Surgery Center Holdings, Gtd. Notes | | 6.75 | | 7/1/2025 | | 205,000 | c | 209,619 | |
Surgery Center Holdings, Gtd. Notes | | 10.00 | | 4/15/2027 | | 330,000 | c | 363,337 | |
Tenet Healthcare, Gtd. Notes | | 6.13 | | 10/1/2028 | | 435,000 | c | 464,793 | |
Tenet Healthcare, Scd. Notes | | 6.25 | | 2/1/2027 | | 305,000 | c | 318,725 | |
| | 8,411,857 | |
Industrial - 1.5% | | | | | |
Bombardier, Sr. Unscd. Notes | | 7.13 | | 6/15/2026 | | 310,000 | c | 324,957 | |
Bombardier, Sr. Unscd. Notes | | 7.50 | | 12/1/2024 | | 205,000 | c | 214,482 | |
Gates Global, Gtd. Notes | | 6.25 | | 1/15/2026 | | 705,000 | c | 740,877 | |
Husky III Holding, Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 595,000 | c | 647,824 | |
Norican A/S, Sr. Scd. Bonds | EUR | 4.50 | | 5/15/2023 | | 315,000 | | 369,763 | |
Titan Acquisition, Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 1,205,000 | c | 1,252,091 | |
VM Consolidated, Gtd. Notes | | 5.50 | | 4/15/2029 | | 290,000 | c | 296,107 | |
| | 3,846,101 | |
Information Technology - .4% | | | | | |
Boxer Parent, Sr. Scd. Notes | EUR | 6.50 | | 10/2/2025 | | 180,000 | c | 226,769 | |
Cedacri Mergeco, Sr. Scd. Notes, 3 Month EURIBOR +4.63% @ Floor | EUR | 4.63 | | 5/15/2028 | | 300,000 | d | 361,061 | |
Rackspace Technology Global, Gtd. Notes | | 5.38 | | 12/1/2028 | | 455,000 | c | 466,944 | |
| | 1,054,774 | |
Insurance - .9% | | | | | |
Alliant Holdings Intermediate, Sr. Unscd. Notes | | 6.75 | | 10/15/2027 | | 220,000 | c | 231,491 | |
AmWINS Group, Gtd. Notes | | 7.75 | | 7/1/2026 | | 940,000 | c | 998,891 | |
GTCR AP Finance, Sr. Unscd. Notes | | 8.00 | | 5/15/2027 | | 985,000 | c | 1,052,468 | |
| | 2,282,850 | |
Internet Software & Services - .6% | | | | | |
Endure Digital, Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 700,000 | c | 693,983 | |
HSE Finance, Sr. Scd. Notes | EUR | 5.63 | | 10/15/2026 | | 165,000 | c | 201,577 | |
Northwest Fiber, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 695,000 | c | 697,488 | |
| | 1,593,048 | |
Materials - 2.2% | | | | | |
ARD Finance, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 320,000 | c | 389,989 | |
ARD Finance, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 610,000 | c | 641,769 | |
Graham Packaging, Gtd. Notes | | 7.13 | | 8/15/2028 | | 490,000 | c | 529,352 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Materials - 2.2% (continued) | | | | | |
LABL Escrow Issuer, Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 310,000 | c | 331,309 | |
LABL Escrow Issuer, Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 460,000 | c | 508,070 | |
Mauser Packaging Solutions Holding, Sr. Scd. Notes | | 8.50 | | 4/15/2024 | | 255,000 | c | 265,171 | |
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 1,645,000 | c | 1,615,390 | |
Trivium Packaging Finance, Gtd. Notes | | 8.50 | | 8/15/2027 | | 1,135,000 | c | 1,236,878 | |
| | 5,517,928 | |
Media - 1.2% | | | | | |
Altice Finco, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 970,000 | c | 1,126,869 | |
Diamond Sports Group, Sr. Scd. Notes | | 5.38 | | 8/15/2026 | | 140,000 | c | 90,832 | |
DISH DBS, Gtd. Notes | | 7.38 | | 7/1/2028 | | 265,000 | | 285,506 | |
Radiate Holdco, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 759,000 | c | 798,472 | |
Summer BidCo, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 328,580 | c | 398,803 | |
Summer BidCo, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 178,288 | c | 216,390 | |
Townsquare Media, Sr. Scd. Notes | | 6.88 | | 2/1/2026 | | 210,000 | c | 224,963 | |
| | 3,141,835 | |
Metals & Mining - .5% | | | | | |
Arconic, Scd. Notes | | 6.13 | | 2/15/2028 | | 435,000 | c | 467,936 | |
Hudbay Minerals, Gtd. Notes | | 4.50 | | 4/1/2026 | | 400,000 | c | 402,000 | |
Hudbay Minerals, Gtd. Notes | | 6.13 | | 4/1/2029 | | 353,000 | c | 376,386 | |
Kaiser Aluminum, Gtd. Notes | | 4.50 | | 6/1/2031 | | 40,000 | c | 41,117 | |
| | 1,287,439 | |
Real Estate - 1.1% | | | | | |
Apollo Commercial Real Estate Finance, Sr. Scd. Notes | | 4.63 | | 6/15/2029 | | 125,000 | c | 123,419 | |
Flamingo Lux II, Sr. Unscd. Notes | EUR | 5.00 | | 3/31/2029 | | 572,000 | c | 675,217 | |
Ladder Capital Finance Holdings, Gtd. Notes | | 5.25 | | 10/1/2025 | | 1,050,000 | c | 1,069,687 | |
Park Intermediate Holdings, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 240,000 | c | 248,568 | |
Starwood Property Trust, Sr. Unscd. Notes | | 5.50 | | 11/1/2023 | | 340,000 | c | 356,575 | |
XHR, Sr. Scd. Notes | | 4.88 | | 6/1/2029 | | 300,000 | c | 310,125 | |
| | 2,783,591 | |
Retailing - 4.5% | | | | | |
BCPE Ulysses Intermediate, Sr. Unscd. Notes | | 7.75 | | 4/1/2027 | | 715,000 | c | 733,851 | |
LBM Acquisition, Gtd. Notes | | 6.25 | | 1/15/2029 | | 480,000 | c | 484,296 | |
Macy's Retail Holdings, Gtd. Notes | | 4.50 | | 12/15/2034 | | 505,000 | | 477,546 | |
Park River Holdings, Gtd. Notes | | 5.63 | | 2/1/2029 | | 605,000 | c | 589,497 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 85.9% (continued) | | | | | |
Retailing - 4.5% (continued) | | | | | |
Park River Holdings, Sr. Unscd. Notes | | 6.75 | | 8/1/2029 | | 463,000 | c | 469,748 | |
Punch Finance, Sr. Scd. Bonds | GBP | 6.13 | | 6/30/2026 | | 195,000 | c | 273,634 | |
SRS Distribution, Gtd. Notes | | 6.13 | | 7/1/2029 | | 455,000 | c | 469,301 | |
Staples, Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 560,000 | c | 580,720 | |
Staples, Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 740,000 | c | 754,485 | |
The Very Group Funding, Sr. Scd. Notes | GBP | 7.75 | | 11/15/2022 | | 4,000,000 | | 5,580,050 | |
White Cap Buyer, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 695,000 | c | 744,786 | |
White Cap Parent, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 444,000 | c | 460,965 | |
| | 11,618,879 | |
Technology Hardware & Equipment - .6% | | | | | |
Banff Merger Sub, Sr. Unscd. Notes | EUR | 8.38 | | 9/1/2026 | | 650,000 | c | 809,525 | |
Banff Merger Sub, Sr. Unscd. Notes | | 9.75 | | 9/1/2026 | | 410,000 | c | 432,037 | |
Diebold Nixdorf, Gtd. Notes | | 8.50 | | 4/15/2024 | | 375,000 | | 384,375 | |
| | 1,625,937 | |
Telecommunication Services - 2.1% | | | | | |
Altice France Holding, Gtd. Notes | | 6.00 | | 2/15/2028 | | 210,000 | c | 209,408 | |
Altice France Holding, Sr. Scd. Notes | EUR | 8.00 | | 5/15/2027 | | 570,000 | c | 730,434 | |
Altice France Holding, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 340,000 | c | 378,255 | |
Cincinnati Bell, Gtd. Notes | | 8.00 | | 10/15/2025 | | 650,000 | c | 684,635 | |
CommScope, Gtd. Notes | | 8.25 | | 3/1/2027 | | 305,000 | c | 326,365 | |
Connect Finco, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 985,000 | c | 1,042,879 | |
Intrado, Gtd. Notes | | 8.50 | | 10/15/2025 | | 800,000 | c | 783,000 | |
Plantronics, Gtd. Notes | | 4.75 | | 3/1/2029 | | 820,000 | c | 815,096 | |
ViaSat, Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 218,000 | c | 222,856 | |
ViaSat, Sr. Unscd. Notes | | 6.50 | | 7/15/2028 | | 280,000 | c | 298,995 | |
| | 5,491,923 | |
Utilities - .7% | | | | | |
Calpine, Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 650,000 | c | 648,050 | |
Energia Group ROI Holdings, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 380,000 | | 531,436 | |
Pike, Gtd. Notes | | 5.50 | | 9/1/2028 | | 505,000 | c | 526,642 | |
| | 1,706,128 | |
Total Bonds and Notes
(cost $205,135,641) | | 220,508,808 | |
| | | | | | | | | |
Floating Rate Loan Interests - 43.3% | | | | | |
Advertising - .8% | | | | | |
ABG Intermediate Holdings 2, 2021 Refinancing Term Loan, 1 Month LIBOR +3.25% | | 4.00 | | 12/4/2024 | | 354,905 | d | 355,102 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Advertising - .8% (continued) | | | | | |
ABG Intermediate Holdings 2, First Lien Incremental Amendment No. 5 Term Loan, 3 Month LIBOR +5.25% | | 6.25 | | 9/29/2024 | | 51,610 | d | 51,739 | |
Advantage Sales & Marketing, First Lien Initial Term Loan, 3 Month LIBOR +5.25% | | 6.00 | | 10/28/2027 | | 425,778 | d | 430,911 | |
Clear Channel Outdoor Holdings, Term Loan B, 3 Month LIBOR +3.50% | | 3.69 | | 8/21/2026 | | 395,752 | d | 386,848 | |
Polyconcept North America, First Lien Closing Date Term Loan, 3 Month LIBOR +4.50% | | 5.50 | | 8/16/2023 | | 195,107 | d | 190,047 | |
Red Ventures, First Lien Term Loan B-3, 1 Month LIBOR +3.50% | | 4.25 | | 11/8/2024 | | 105,984 | d | 105,984 | |
Summer BC Holdco B, Term Loan, 1 Month LIBOR +4.50% | | 5.25 | | 12/25/2026 | | 570,605 | d | 571,438 | |
| | 2,092,069 | |
Airlines - .5% | | | | | |
American Airlines, 2017 Replacement Class Term Loan B, 1 Month LIBOR +2.00% | | 2.07 | | 12/14/2023 | | 160,746 | d | 157,191 | |
American Airlines, 2018 Replacement Term Loan, 1 Month LIBOR +1.75% | | 1.85 | | 6/27/2025 | | 118,776 | d | 114,174 | |
American Airlines, 2020 Replacement Term Loan, 1 Month LIBOR +1.75% | | 1.85 | | 1/29/2027 | | 547,020 | d | 524,207 | |
American Airlines, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 4/20/2028 | | 399,327 | d | 416,823 | |
| | 1,212,395 | |
Building Materials - .9% | | | | | |
BME Group Holding, Facility Term Loan B, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 10/31/2026 | | 1,000,000 | d | 1,187,143 | |
LSF10 XL Bidco, Facility Term Loan B-4, 3 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 4/9/2028 | | 1,000,000 | d | 1,183,159 | |
| | 2,370,302 | |
Chemicals - 3.0% | | | | | |
Aruba Investments Holdings, First Lien Euro Term Loan B-1, 6 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 11/24/2027 | | 997,500 | d | 1,188,700 | |
ColourOZ Investment 1 GmbH, New First Lien Initial Term Loan, 3 Month EURIBOR +4.25% | EUR | 5.00 | | 9/7/2021 | | 148,750 | d | 175,775 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Chemicals - 3.0% (continued) | | | | | |
ColourOZ Investment 1 GmbH, Second Lien Initial Euro Term Loan, 3 Month EURIBOR +4.25% | EUR | 5.25 | | 9/7/2022 | | 122,253 | d | 130,466 | |
ColourOZ Investment 2, First Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2021 | | 1,688,579 | d | 1,686,477 | |
ColourOZ Investment 2, First Lien Initial Term Loan C, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2023 | | 279,142 | d | 278,795 | |
ColourOZ Investment 2, Second Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2022 | | 2,081,234 | d | 1,862,059 | |
Flint Group GmbH, First Lien Euro Term Loan B-5, 3 Month EURIBOR +4.25% | EUR | 5.00 | | 9/7/2021 | | 843,209 | d | 996,401 | |
Flint Group GmbH, First LienTerm Loan B-8, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2021 | | 491,172 | d | 490,561 | |
LSF11 Skyscraper Holdco, USD Facility Term Loan B-3, 3 Month LIBOR +3.50% | | 4.25 | | 9/30/2027 | | 312,466 | d | 313,638 | |
Polar US Borrower, Initial Term Loan, 1-3 Month LIBOR +4.75% | | 4.86 | | 10/16/2025 | | 395,893 | d | 397,873 | |
Sparta US HoldCo, Term Loan, 1 Month LIBOR +3.50% | | 4.25 | | 4/30/2028 | | 194,864 | d | 195,351 | |
| | 7,716,096 | |
Commercial & Professional Services - 4.4% | | | | | |
Amentum Government Services, First Lien Tranche 2 Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 1/31/2027 | | 153,798 | d | 155,528 | |
APX Group, Term Loan, 3 Month PRIME +4.00% | | 7.25 | | 12/31/2025 | | 426,877 | d | 428,745 | |
AVSC Holding, Term Loan B-1, 3 Month LIBOR +3.50% | | 4.50 | | 3/1/2025 | | 221,520 | d | 204,303 | |
Axiom Global, Initial Term Loan, 1-3 Month LIBOR +4.75% | | 5.50 | | 10/1/2026 | | 4,925,000 | d | 4,962,227 | |
Boels Topholding, Facility Term Loan B, 3 Month EURIBOR +3.75% @ Floor | EUR | 3.75 | | 2/5/2027 | | 1,000,000 | d | 1,182,454 | |
Cast & Crew Payroll, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 3.85 | | 2/7/2026 | | 67,794 | d | 67,518 | |
Electro Rent, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | | 6.00 | | 1/31/2024 | | 198,958 | d | 200,451 | |
Employbridge, Refinancing Term Loan, 1 Month LIBOR +4.50% | | 5.50 | | 4/18/2025 | | 344,138 | d | 344,623 | |
Galileo Global Education, Second Lien Term Loan, 1 Month EURIBOR +6.00% @ Floor | EUR | 6.00 | | 11/12/2027 | | 1,000,000 | d | 1,185,750 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Commercial & Professional Services - 4.4% (continued) | | | | | |
Praesidiad, Facility B Term Loan, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 10/4/2024 | | 1,000,000 | d | 1,000,477 | |
Sabre GLBL, 2020 Other Term Loan B, 1 Month LIBOR +4.00% | | 4.75 | | 12/17/2027 | | 77,908 | d | 78,525 | |
Team Health Holdings, Initial Term Loan, 1 Month LIBOR +2.75% | | 3.75 | | 2/6/2024 | | 188,809 | d | 183,932 | |
The Hertz, Initial Term Loan B, 1 Month LIBOR +3.50% | | 4.00 | | 6/30/2028 | | 169,725 | d | 169,795 | |
The Hertz, Initial Term Loan C, 1 Month LIBOR +3.50% | | 4.00 | | 6/30/2028 | | 31,987 | d | 32,000 | |
Verscend Holding, New Term Loan B, 1 Month LIBOR +4.00% | | 4.10 | | 8/27/2025 | | 491,182 | d | 493,112 | |
WW International, Initial Term Loan, 1 Month LIBOR +3.50% | | 4.00 | | 4/13/2028 | | 480,392 | d | 482,393 | |
| | 11,171,833 | |
Consumer Discretionary - 4.1% | | | | | |
Allen Media, Initial Term Loan, 3 Month LIBOR +5.50% | | 5.65 | | 2/10/2027 | | 279,986 | d | 280,642 | |
AMC Entertainment Holdings, Term Loan B-1, 3 Month LIBOR +3.00% | | 3.18 | | 4/22/2026 | | 245,605 | d | 231,405 | |
AP Gaming I, First Lien Incremental Term Loan B, 3 Month LIBOR +3.50% | | 4.50 | | 2/15/2024 | | 169,130 | d | 167,897 | |
AP Gaming I, Term Loan B-1, 3 Month LIBOR +13.00% | | 14.00 | | 2/15/2024 | | 30,079 | d | 31,282 | |
Caesars Resort Collection, Term Loan B-1, 1 Month LIBOR +4.50% | | 4.60 | | 7/20/2025 | | 273,930 | d | 275,128 | |
Center Parcs Europe, Facility Term Loan B-1, 3 Month EURIBOR +2.00% @ Floor | EUR | 2.00 | | 9/23/2022 | | 1,946,407 | d | 2,130,090 | |
Crown Finance US, Initial Dollar Tranche Term Loan, 6 Month LIBOR +2.50% | | 3.50 | | 2/28/2025 | | 377,655 | d | 333,774 | |
Dealer Tire, Term Loan B-1, 1 Month LIBOR +4.25% | | 4.35 | | 12/12/2025 | | 406,939 | d | 407,855 | |
Freshworld Holding IV GmbH, Facility Term Loan B-2, 3 Month EURIBOR +3.75% @ Floor | EUR | 3.75 | | 10/2/2026 | | 1,000,000 | d | 1,184,511 | |
Landry's Finance Acquisition, 2020 Initial Term Loan, 3 Month LIBOR +12.00% | | 13.00 | | 10/4/2023 | | 16,448 | d | 18,422 | |
Raptor Acquisition, Term Loan B, 1 Month LIBOR +4.00% | | 4.75 | | 11/1/2026 | | 261,969 | d | 262,733 | |
Silk Bidco, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 3.75 | | 2/22/2025 | | 1,000,000 | d | 1,109,198 | |
Stage Entertainment, Facility Term Loan B-2, 3 Month EURIBOR +3.25% @ Floor | EUR | 3.25 | | 5/2/2026 | | 1,000,000 | d | 1,128,538 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Consumer Discretionary - 4.1% (continued) | | | | | |
Tecta America, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 5.00 | | 4/9/2028 | | 759,699 | d | 762,073 | |
Travel Leaders Group, 2018 Refinancing Term Loan, 1 Month LIBOR +4.00% | | 4.10 | | 1/25/2024 | | 139,002 | d | 134,189 | |
Vacalians Holding, Facility Term Loan B, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 11/30/2025 | | 1,000,000 | d | 1,112,631 | |
Varsity Brands Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 4.50 | | 12/15/2024 | | 677,834 | d | 663,782 | |
William Morris Endeavor, New Term Loan B-1, 1 Month LIBOR +2.75% | | 2.86 | | 5/18/2025 | | 257,927 | d | 253,817 | |
| | 10,487,967 | |
Consumer Staples - .2% | | | | | |
Kronos Acquisition Holdings, Tranche Term Loan B-1, 3 Month LIBOR +3.75% | | 4.25 | | 12/22/2026 | | 573,763 | d | 570,475 | |
Diversified Financials - .2% | | | | | |
Paysafe Holdings US, Facility Term Loan B-1, 1 Month LIBOR +2.75% | | 3.25 | | 6/24/2028 | | 85,292 | d | 84,972 | |
Tegra118 Wealth Solutions, Initial Term Loan, 3 Month LIBOR +4.00% | | 4.16 | | 2/18/2027 | | 277,200 | d | 278,032 | |
| | 363,004 | |
Electronic Components - .5% | | | | | |
1A Smart Start, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.75 | | 8/19/2027 | | 138,417 | d | 138,764 | |
IDEMIA Identity & Security France, Term Loan B-3, 3 Month EURIBOR +4.50% @ Floor | EUR | 4.50 | | 1/10/2026 | | 1,000,000 | d | 1,189,527 | |
| | 1,328,291 | |
Energy - .7% | | | | | |
BCP Renaissance Parent, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 11/1/2024 | | 255,999 | d | 252,066 | |
Brazos Delaware II, Initial Term Loan, 1 Month LIBOR +4.00% | | 4.09 | | 5/29/2025 | | 296,921 | d | 290,372 | |
GIP III Stetson I, Initial Term Loan, 1 Month LIBOR +4.25% | | 4.35 | | 7/18/2025 | | 203,509 | d | 196,725 | |
Traverse Midstream Partners, Advance Term Loan, 1 Month LIBOR +5.50% | | 6.50 | | 9/27/2024 | | 654,573 | d | 658,668 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Energy - .7% (continued) | | | | | |
WaterBridge Midstream Operating, Initial Term Loan, 6 Month LIBOR +5.75% | | 6.75 | | 6/21/2026 | | 344,405 | d | 331,122 | |
| | 1,728,953 | |
Environmental Control - .1% | | | | | |
EnergySolutions, Initial Term Loan, 3 Month LIBOR +3.75% | | 4.75 | | 5/11/2025 | | 210,784 | d | 209,894 | |
Packers Holdings, Initial Term Loan, 6 Month LIBOR +3.25% | | 4.00 | | 3/9/2028 | | 147,172 | d | 146,590 | |
| | 356,484 | |
Food Products - 1.6% | | | | | |
CJ Foods, Term Loan, 2 Month LIBOR +6.00% | | 7.00 | | 3/5/2027 | | 2,474,937 | d | 2,476,484 | |
Labeyrie Fine Foods, Facility Term Loan B, 3 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 5/23/2023 | | 1,000,000 | d | 1,188,216 | |
Sovos Brands Intermediate, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 5.00 | | 6/8/2028 | | 459,027 | d | 461,322 | |
| | 4,126,022 | |
Forest Products & Paper - .1% | | | | | |
SPA US HoldCo, USD Facility Term Loan B, 3 Month LIBOR +4.00% | | 4.75 | | 3/18/2028 | | 336,509 | d | 338,298 | |
Health Care - 6.0% | | | | | |
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 4/21/2024 | | 304,450 | d | 300,696 | |
Albany Molecular Research, First Lien Initial Term Loan, 3 Month LIBOR +3.25% | | 4.25 | | 8/30/2024 | | 327,115 | d | 327,991 | |
Alphabet Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 3.60 | | 9/26/2024 | | 171,125 | d | 171,131 | |
Alphabet Holding, Second Lien Initial Term Loan, 1 Month LIBOR +7.75% | | 7.85 | | 8/15/2025 | | 37,188 | d | 37,356 | |
Auris Luxembourg III, Facility Term Loan B-1, 6 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 2/21/2026 | | 1,000,000 | d | 1,179,021 | |
Auris Luxembourg III, Facility Term Loan B-2, 1 Month LIBOR +3.75% | | 3.85 | | 2/21/2026 | | 510,777 | d | 506,104 | |
Baart Programs, Delayed Draw Term Loan, 1 Month LIBOR +5.00% | | 6.25 | | 6/11/2027 | | 250,000 | d,f | 247,500 | |
Baart Programs, Term Loan, 1 Month LIBOR +5.00% | | 6.25 | | 6/11/2027 | | 1,000,000 | d | 995,000 | |
Cerebro Bidco GmbH, Facility Term Loan B-1, 3 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 12/11/2027 | | 633,857 | d | 755,828 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Health Care - 6.0% (continued) | | | | | |
Cerebro BidCo GmbH, Facility Term Loan B-2, 3 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 12/11/2027 | | 366,143 | d | 436,598 | |
CPI Holdco, First Lien Term Loan B-1, 1 Month LIBOR +3.75% | | 3.85 | | 11/4/2026 | | 191,298 | d | 191,726 | |
eResearchTechnology, First Liem Initial Term Loan, 1 Month LIBOR +4.50% | | 5.50 | | 2/4/2027 | | 155,186 | d | 156,084 | |
Financiere Verdi I, Facility Term Loan B, 3 Month SONIA +4.50% | GBP | 4.55 | | 4/15/2028 | | 1,500,000 | d | 2,065,094 | |
Gainwell Acquisition, Term Loan B, 3 Month LIBOR +4.00% | | 4.75 | | 10/1/2027 | | 344,433 | d | 346,155 | |
Global Medical Response, 2020 Term Loan, 3 Month LIBOR +4.75% | | 5.75 | | 10/2/2025 | | 179,100 | d | 180,107 | |
Hera, Facility Term Loan B, 3 Month EURIBOR +3.50% @ Floor | EUR | 3.50 | | 9/20/2024 | | 2,000,000 | d | 2,315,841 | |
IWH UK Midco, Facility Term Loan B, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 2/1/2025 | | 1,500,000 | d | 1,775,299 | |
MED ParentCo, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 4.35 | | 8/31/2026 | | 608,162 | d | 609,613 | |
MED ParentCo, First Lien Second Amendment Additional Term Loan, 1 Month LIBOR +6.25% | | 7.25 | | 8/31/2026 | | 51,610 | d | 51,868 | |
One Call, First Lien Term Loan B, 3 Month LIBOR +5.50% | | 6.25 | | 4/22/2027 | | 800,000 | d | 810,000 | |
Pathway Vet Alliance, 2021 Replacement Term Loan, 1 Month LIBOR +3.75% | | 3.85 | | 3/31/2027 | | 173,218 | d | 173,037 | |
PetVet Care Centers, 2021 First Lien New Term Loan, 1 Month LIBOR +3.50% | | 4.25 | | 2/15/2025 | | 278,072 | d | 279,251 | |
Pluto Acquisition I, 2021 First Lien Term Loan, 1 Month LIBOR +4.00% | | 4.10 | | 6/20/2026 | | 87,640 | d | 87,832 | |
Radnet Management, First Lien Initial Term Loan, 3 Month LIBOR +3.00% | | 3.75 | | 4/23/2028 | | 64,368 | d | 64,448 | |
Surgery Center Holdings, 2021 New Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 8/31/2026 | | 442,610 | d | 444,996 | |
Tivity Health, Term Loan B, 1 Month LIBOR +4.25% | | 4.35 | | 6/24/2028 | | 78,060 | d | 78,353 | |
US Anesthesia Partners, First Lien Initial Term Loan, 6 Month LIBOR +3.00% | | 4.00 | | 6/23/2024 | | 297,350 | d | 295,700 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Health Care - 6.0% (continued) | | | | | |
WCG Purchaser, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.00 | | 1/8/2027 | | 386,659 | d | 388,410 | |
| | 15,271,039 | |
Industrial - 3.0% | | | | | |
Brand Industrial Services, Initial Term Loan, 3 Month LIBOR +4.25% | | 5.25 | | 6/21/2024 | | 219,405 | d | 216,148 | |
Osmose Utilities Services, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | | 3.75 | | 6/17/2028 | | 233,960 | d | 233,375 | |
Pro Mach Group, First Lien Third Amendment Incremental Term Loan, 3-6 Month LIBOR +3.50% | | 4.50 | | 3/7/2025 | | 112,439 | d | 112,615 | |
Qualtek USA, Tranche Term Loan B, 3 Month LIBOR +6.25% | | 7.25 | | 7/18/2025 | | 4,943,867 | d | 4,915,019 | |
Radar Bidco, Initial Term Loan, 6 Month EURIBOR +9.00% @ Floor | EUR | 9.00 | | 12/16/2024 | | 1,050,556 | d | 1,274,659 | |
Titan Acquisition, Initial Term Loan, 3 Month LIBOR +3.00% | | 3.17 | | 3/28/2025 | | 347,365 | d | 342,062 | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 5.00 | | 3/8/2025 | | 265,203 | d | 242,661 | |
Ventia Deco, 2019 Refinancing Term Loan B, 3 Month LIBOR +4.00% | | 5.00 | | 5/21/2026 | | 119,310 | d | 119,758 | |
Yak Access, First Lien Initial Term Loan, 1 Month LIBOR +5.00% | | 5.10 | | 7/11/2025 | | 274,374 | d | 254,330 | |
| | 7,710,627 | |
Information Technology - 4.0% | | | | | |
AI Avocado, Facility Term Loan B-4, 3 Month EURIBOR +4.50% @ Floor | EUR | 4.50 | | 9/18/2024 | | 946,081 | d | 1,124,093 | |
Ascend Learning, Incremental Term Loan, 1 Month LIBOR +3.75% | | 4.75 | | 7/12/2024 | | 125,821 | d | 126,037 | |
Athenahealth, Additional Term Loan B-1, 3 Month LIBOR +4.25% | | 4.41 | | 2/11/2026 | | 131,035 | d | 131,567 | |
Boxer Parent, 2021 Replacement Dollar Term Loan, 1 Month LIBOR +3.75% | | 3.85 | | 10/2/2025 | | 654,979 | d | 652,052 | |
Boxer Parent, 2021 Replacement EURO Term Loan, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 10/2/2025 | | 996,131 | d | 1,185,521 | |
Concorde Lux, Term Loan B, 6 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 3/1/2028 | | 1,000,000 | d | 1,187,973 | |
CT Technologies, Retired Initial Term Loan, 1 Month LIBOR +5.00% | | 6.00 | | 12/16/2025 | | 153,263 | d | 153,810 | |
DCert Buyer, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 4.10 | | 10/16/2026 | | 430,460 | d | 431,536 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Information Technology - 4.0% (continued) | | | | | |
DCert Buyer, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% | | 7.10 | | 2/16/2029 | | 200,000 | d | 202,334 | |
Ecl Entertainment, Term Loan B, 1 Month LIBOR +7.50% | | 8.25 | | 4/30/2028 | | 170,000 | d | 174,038 | |
Finastra USA, First Lien Dollar Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 6/13/2024 | | 725,683 | d | 715,458 | |
Greeneden US Holdings II, Dollar Term Loan B-4, 1 Month LIBOR +4.00% | | 4.75 | | 12/1/2027 | | 176,515 | d | 177,146 | |
Ivanti Software, First Amendment Term Loan, 3 Month LIBOR +4.00% | | 4.75 | | 12/1/2027 | | 174,352 | d | 173,844 | |
Ivanti Software, First Lien Initial Term Loan, 3 Month LIBOR +4.75% | | 5.75 | | 12/1/2027 | | 480,385 | d | 481,819 | |
Mitchell International, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | | 3.35 | | 12/1/2024 | | 265,203 | d | 263,132 | |
Quest Software US Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 4.44 | | 5/18/2025 | | 362,694 | d | 363,021 | |
Software Luxembourg Acquisition, Second Out Term Loan, 3 Month LIBOR +7.50% | | 8.50 | | 4/27/2025 | | 1,870,848 | d,f | 1,875,525 | |
Software Luxembourg Acquisition, Senior Secured Term Loan, 3 Month LIBOR +7.50% | | 8.50 | | 12/27/2024 | | 541,313 | d,f | 542,666 | |
Thoughtworks, Initial Term Loan, 1 Month LIBOR +3.25% | | 3.75 | | 3/26/2028 | | 82,398 | d | 82,529 | |
TIBCO Software, Term Loan B-3, 1 Month LIBOR +3.75% | | 3.86 | | 7/3/2026 | | 255,579 | d | 255,259 | |
Ultimate Software Group, Second Lien Initial Term Loan, 3 Month LIBOR +6.75% | | 7.50 | | 5/3/2027 | | 10,045 | d | 10,250 | |
| | 10,309,610 | |
Insurance - 2.9% | | | | | |
Asurion, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 5.35 | | 2/3/2028 | | 1,083,367 | d | 1,093,524 | |
Hestia Holding, Facility Term Loan B-1, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | | 6/1/2027 | | 1,000,000 | d | 1,191,679 | |
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | | 4.60 | | 2/28/2025 | | 576,177 | d | 575,820 | |
Sedgwick Claims Management Services, 2019 New Term Loan, 1 Month LIBOR +3.75% | | 3.85 | | 9/3/2026 | | 773,312 | d | 773,045 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Insurance - 2.9% (continued) | | | | | |
Sedgwick Claims Management Services, 2020 Term Loan, 1 Month LIBOR +4.25% | | 5.25 | | 9/3/2026 | | 7,086 | d | 7,114 | |
Selectquote, Initial Term Loan, 1 Month LIBOR +5.00% | | 5.75 | | 11/5/2024 | | 3,823,529 | d,g | 3,842,647 | |
| | 7,483,829 | |
Internet Software & Services - 2.8% | | | | | |
Endure Digital, Initial Term Loan, 6 Month LIBOR +3.50% | | 4.25 | | 2/10/2028 | | 410,000 | d | 408,803 | |
Infinitas Learning, Facility Term Loan B-4, 6 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 5/3/2024 | | 2,000,000 | d | 2,373,729 | |
ION Trading Finance, Initial Dollar Term Loan, 3 Month LIBOR +4.75% | | 4.92 | | 4/1/2028 | | 130,000 | d | 130,731 | |
ION Trading Finance, Initial Euro Term Loan, 3 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 4/1/2028 | | 2,000,000 | d | 2,381,377 | |
Proofpoint, Term Loan, 1 Month LIBOR +3.25% | | 3.75 | | 6/10/2028 | | 488,687 | d | 486,551 | |
PUG, USD Term Loan B, 1 Month LIBOR +3.50% | | 3.60 | | 2/13/2027 | | 557,829 | d | 546,675 | |
Trader, Senior Secured First Lien Term Loan, 1 Month LIBOR +3.00% | | 3.10 | | 9/28/2023 | | 170,000 | d | 170,000 | |
WeddingWire, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | | 4.69 | | 12/21/2025 | | 734,925 | d | 735,388 | |
| | 7,233,254 | |
Materials - 2.1% | | | | | |
Ball Metalpack Finco, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | | 4.64 | | 7/31/2025 | | 430,712 | d | 428,740 | |
Charter Nex US, 2021 Refinancing Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 12/1/2027 | | 79,419 | d | 79,704 | |
Fort Dearborn Holding, First Lien Initial Term Loan, 1-3 Month LIBOR +4.00% | | 5.00 | | 10/19/2023 | | 173,187 | d | 173,647 | |
Graham Packaging, New Term Loan, 1 Month LIBOR +3.00% | | 3.75 | | 8/4/2027 | | 87,465 | d | 87,490 | |
IFCO Management GmbH, Facility Term Loan B-1A, 6 Month EURIBOR +3.25% @ Floor | EUR | 3.25 | | 5/31/2026 | | 1,000,000 | d | 1,183,675 | |
LABL, Facility Euro Term Loan B, 1 Month EURIBOR +4.25% @ Floor | EUR | 4.25 | | 7/2/2026 | | 2,000,000 | d | 2,376,682 | |
MAR Bidco, USD Term Loan, 1 Month LIBOR +4.25% | | 4.75 | | 4/21/2028 | | 110,330 | d | 111,019 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Materials - 2.1% (continued) | | | | | |
Mauser Packaging Solutions, Initial Term Loan, 1 Month LIBOR +3.25% | | 3.35 | | 4/3/2024 | | 111,835 | d | 109,345 | |
Proampac PG Borrower, 2020-1 Term Loan, 1-3 Month LIBOR +3.75% | | 4.50 | | 11/3/2025 | | 274,655 | d | 274,895 | |
Tecostar Holdings, 2017 First Lien Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 5/1/2024 | | 489,136 | d | 485,570 | |
Tosca Services, 2021 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 4.25 | | 8/18/2027 | | 158,531 | d | 158,729 | |
| | 5,469,496 | |
Media - 1.9% | | | | | |
Banijay Group US Holding, USD Facility Term Loan B, 1 Month LIBOR +3.75% | | 3.84 | | 3/1/2025 | | 211,738 | d | 211,297 | |
Gamma Infrastructure III, Facility Term Loan B, 1 Month EURIBOR +3.50% @ Floor | EUR | 3.50 | | 1/9/2025 | | 1,000,000 | d | 1,181,677 | |
iHeartCommunications, Second Amendment Incremental Term Loan, 1 Month LIBOR +4.00% | | 4.75 | | 5/1/2026 | | 129,402 | d | 129,661 | |
Meredith, Tranche Term Loan B-3, 3 Month LIBOR +4.25% | | 5.25 | | 1/31/2025 | | 213,411 | d | 218,379 | |
NEP Europe Finco, Initial Euro Term Loan, 3 Month EURIBOR +3.50% @ Floor | EUR | 3.50 | | 10/20/2025 | | 1,959,799 | d | 2,254,837 | |
WideOpenWest Finance, Refinancing Term Loan B, 1 Month LIBOR +3.25% | | 4.25 | | 8/19/2023 | | 765,300 | d | 765,460 | |
| | 4,761,311 | |
Metals & Mining - .0% | | | | | |
American Rock Salt, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.75 | | 6/11/2028 | | 98,540 | d | 98,910 | |
Retailing - 1.4% | | | | | |
BBD Bidco, Facility Term Loan B-1, 1 Month GBPLIBOR +4.75% | GBP | 4.81 | | 11/7/2026 | | 1,000,000 | d | 1,380,948 | |
Great Outdoors Group, Term Loan B-1, 6 Month LIBOR +4.25% | | 5.00 | | 3/5/2028 | | 594,440 | d | 597,321 | |
LBM Acquisition, Amendment No. 1 Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 12/18/2027 | | 265,403 | d | 263,578 | |
LBM Acquisition, Delayed Draw Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 12/18/2027 | | 132,701 | d,f | 131,789 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Retailing - 1.4% (continued) | | | | | |
LBM Acquisition, First Lien Initial Delayed Draw Term Loan, 3 Month LIBOR +3.75% | | 4.13 | | 12/17/2027 | | 28,569 | d,f | 28,405 | |
LBM Acquisition, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 12/17/2027 | | 128,237 | d | 127,503 | |
Park River Holdings, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.00 | | 12/28/2027 | | 203,176 | d | 202,414 | |
PetSmart, Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 2/12/2028 | | 125,600 | d | 125,851 | |
Staples, 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | | 5.18 | | 4/12/2026 | | 195,477 | d | 190,836 | |
Talbots, First Lien Initial Term Loan, 3 Month LIBOR +7.00% | | 7.15 | | 11/28/2022 | | 283,410 | d | 267,823 | |
Woof Holdings, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 12/21/2027 | | 360,322 | d | 360,924 | |
| | 3,677,392 | |
Semiconductors & Semiconductor Equipment - .5% | | | | | |
Bright Bidco, 2018 Refinancing Term Loan B, 3 Month LIBOR +3.50% | | 4.50 | | 6/30/2024 | | 408,937 | d | 343,633 | |
Natel Engineering, Initial Term Loan, 1-6 Month LIBOR +5.00% | | 6.00 | | 4/30/2026 | | 674,119 | d | 644,626 | |
Ultra Clean Holdings, Second Amendment Term Loan B, 1 Month LIBOR +3.75% | | 3.84 | | 8/27/2025 | | 256,187 | d | 257,040 | |
| | 1,245,299 | |
Technology Hardware & Equipment - .6% | | | | | |
Access CIG, First Lien Term Loan B, 1 Month LIBOR +3.75% | | 3.84 | | 2/27/2025 | | 172,330 | d | 171,517 | |
Atlas CC Acquisition, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.00 | | 5/25/2028 | | 727,477 | d | 730,660 | |
Atlas CC Acquisition, First Lien Term Loan C, 3 Month LIBOR +4.25% | | 5.00 | | 5/25/2028 | | 147,961 | d | 148,609 | |
Everi Payments, Term Loan, 3 Month LIBOR +10.50% | | 11.50 | | 5/9/2024 | | 282,352 | d | 295,058 | |
VeriFone Systems, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.15 | | 8/20/2025 | | 202,118 | d | 199,003 | |
| | 1,544,847 | |
Telecommunication Services - .7% | | | | | |
CCI Buyer, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.75 | | 12/17/2027 | | 451,304 | d | 452,552 | |
Connect Finco, Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 4.50 | | 12/12/2026 | | 263,201 | d | 263,860 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 43.3% (continued) | | | | | |
Telecommunication Services - .7% (continued) | | | | | |
Crown Subsea Communications, Initial Term Loan, 3 Month LIBOR +5.00% | | 5.75 | | 4/27/2027 | | 323,393 | d | 326,356 | |
Cyxtera DC Holdings, First Lien Initial Term Loan, 6 Month LIBOR +3.00% | | 4.00 | | 5/1/2024 | | 162,845 | d | 158,906 | |
MTN Infrastructure TopCo, 2020 Incremental Term Loan, 1 Month LIBOR +4.00% | | 5.00 | | 11/17/2024 | | 35,252 | d | 35,370 | |
West, Initial Term Loan B, 3 Month LIBOR +4.00% | | 5.00 | | 10/10/2024 | | 423,009 | d | 414,618 | |
| | 1,651,662 | |
Utilities - .3% | | | | | |
Astoria Energy, Advance Term Loan B, 3 Month LIBOR +3.50% | | 4.50 | | 12/10/2027 | | 109,319 | d | 109,388 | |
Eastern Power, Term Loan B, 3 Month LIBOR +3.75% | | 4.75 | | 10/2/2025 | | 246,743 | d | 221,051 | |
EFS Cogen Holdings I, Advance Term Loan B, 3 Month LIBOR +3.50% | | 4.50 | | 10/1/2027 | | 274,265 | d | 274,484 | |
Helix Gen Funding, Term Loan, 1 Month LIBOR +3.75% | | 4.75 | | 6/3/2024 | | 170,764 | d | 166,522 | |
| | 771,445 | |
Total Floating Rate Loan Interests
(cost $108,490,570) | | 111,090,910 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .4% | | | | | |
Information Technology - .4% | | | | | |
Skillsoft
(cost $1,109,481) | | | | | | 104,668 | h | 1,030,980 | |
| | | | | | | | | |
Exchange-Traded Funds - .2% | | | | | |
Registered Investment Companies - .2% | | | | | |
SPDR Blackstone Senior Loan ETF
(cost $443,884) | | | | | | 9,610 | | 444,847 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 7.5% | | | | | |
Registered Investment Companies - 7.5% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $19,337,756) | | 0.05 | | | | 19,337,756 | i | 19,337,756 | |
Total Investments (cost $334,517,332) | | 137.3% | 352,413,301 | |
Liabilities, Less Cash and Receivables | | (37.3%) | (95,795,461) | |
Net Assets | | 100.0% | 256,617,840 | |
ETF—Exchange-Traded Fund
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
SONIA—Sterling Overnight Index Average
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security, or portion thereof, has been pledged as collateral for the fund’s Revolving Credit and Security Agreement.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities were valued at $201,605,822 or 78.56% of net assets.
d Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
e Collateralized Loan Obligations Equity Positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the current projection of the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment. The estimated yield and investment cost may ultimately not be realized.
f Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
g The fund held Level 3 securities at June 30, 2021. These securities were valued at $3,842,647 or 1.5% of net assets.
h Non-income producing security.
i Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2021 (Unaudited)
The following is a summary of the inputs used as of June 30, 2021 in valuing the fund’s investments:
| | | | | |
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) | | | | |
Investments in Securities: † | | | | |
Collateralized Loan Obligations | - | 119,246,760 | - | 119,246,760 |
Corporate Bonds | - | 101,262,048 | - | 101,262,048 |
Equity Securities – Common Stocks | 1,030,980 | - | - | 1,030,980 |
Exchange-Traded Funds | 444,847 | - | - | 444,847 |
Floating Rate Loan Interests | - | 107,248,263 | 3,842,647 | 111,090,910 |
Investment Companies | 19,337,756 | - | - | 19,337,756 |
Other Financial Instruments: | | | | |
Forward Foreign Currency Exchange Contracts†† | - | 2,662,970 | - | 2,662,970 |
Liabilities ($) | | | | |
Other Financial Instruments: | | | | |
Forward Foreign Currency Exchange Contracts†† | - | (294,720) | - | (294,720) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2021 (Unaudited)
| | | | | | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs |
Euro | 11,000,000 | United States Dollar | 13,339,750 | 7/19/2021 | (291,331) |
United States Dollar | 110,790,119 | Euro | 91,430,000 | 7/19/2021 | 2,334,031 |
British Pound | 450,000 | United States Dollar | 625,932 | 7/30/2021 | (3,389) |
United States Dollar | 3,742,464 | British Pound | 2,680,000 | 7/30/2021 | 34,872 |
United States Dollar | 13,768,487 | British Pound | 9,800,000 | 7/19/2021 | 211,363 |
United States Dollar | 12,908,877 | Euro | 10,810,000 | 7/30/2021 | 82,704 |
Gross Unrealized Appreciation | | | 2,662,970 |
Gross Unrealized Depreciation | | | (294,720) |
See notes to financial statements.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), financial futures and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing
services (each, a “Service”) approved by the fund's Board Members (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest on
the loans adjust periodically by reference to a base lending rate, such as the London Interbank Offered Rate (“LIBOR”) plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at June 30, 2021 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At June 30, 2021, accumulated net unrealized appreciation on investments was $17,895,969, consisting of $18,509,821 gross unrealized appreciation and $613,852 gross unrealized depreciation.
At June 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
