STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
December 31, 2021 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% | | | | | |
Advertising - 1.0% | | | | | |
Advantage Sales & Marketing, Sr. Scd. Notes | | 6.50 | | 11/15/2028 | | 685,000 | c | 718,678 | |
Clear Channel International, Sr. Scd. Notes | | 6.63 | | 8/1/2025 | | 415,000 | c | 432,017 | |
Clear Channel Outdoor Holdings, Gtd. Notes | | 7.50 | | 6/1/2029 | | 270,000 | c | 288,689 | |
Clear Channel Outdoor Holdings, Gtd. Notes | | 7.75 | | 4/15/2028 | | 210,000 | c | 225,021 | |
Terrier Media Buyer, Gtd. Notes | | 8.88 | | 12/15/2027 | | 606,000 | c | 655,874 | |
| | 2,320,279 | |
Aerospace & Defense - .5% | | | | | |
Bombardier, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 162,000 | c | 162,721 | |
TransDigm, Gtd. Notes | | 4.88 | | 5/1/2029 | | 286,000 | | 287,660 | |
TransDigm, Gtd. Notes | | 5.50 | | 11/15/2027 | | 70,000 | | 72,224 | |
TransDigm, Sr. Scd. Notes | | 8.00 | | 12/15/2025 | | 750,000 | c | 792,176 | |
| | 1,314,781 | |
Airlines - .3% | | | | | |
American Airlines, Sr. Scd. Notes | | 11.75 | | 7/15/2025 | | 252,000 | c | 311,244 | |
American Airlines Group, Gtd. Notes | | 3.75 | | 3/1/2025 | | 271,000 | c | 253,682 | |
United Airlines, Sr. Scd. Notes | | 4.63 | | 4/15/2029 | | 250,000 | c | 258,333 | |
| | 823,259 | |
Automobiles & Components - 1.1% | | | | | |
Clarios Global, Gtd. Notes | | 8.50 | | 5/15/2027 | | 375,000 | c | 397,982 | |
Dealer Tire, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 980,000 | c | 1,021,488 | |
Ford Motor, Sr. Unscd. Notes | | 5.29 | | 12/8/2046 | | 175,000 | | 205,943 | |
Ford Motor, Sr. Unscd. Notes | | 9.00 | | 4/22/2025 | | 390,000 | | 477,307 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 490,000 | c | 459,611 | |
| | 2,562,331 | |
Building Materials - .6% | | | | | |
Cornerstone Building Brands, Gtd. Notes | | 6.13 | | 1/15/2029 | | 235,000 | c | 251,506 | |
CP Atlas Buyer, Sr. Unscd. Notes | | 7.00 | | 12/1/2028 | | 745,000 | c | 742,322 | |
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2026 | | 285,000 | c | 335,829 | |
PGT Innovations, Gtd. Notes | | 4.38 | | 10/1/2029 | | 96,000 | c | 96,645 | |
| | 1,426,302 | |
Chemicals - 2.8% | | | | | |
Consolidated Energy Finance, Gtd. Notes | | 5.63 | | 10/15/2028 | | 344,000 | c | 336,743 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Chemicals - 2.8% (continued) | | | | | |
Consolidated Energy Finance, Gtd. Notes | | 6.50 | | 5/15/2026 | | 445,000 | c | 453,807 | |
Herens Midco, Gtd. Notes | EUR | 5.25 | | 5/15/2029 | | 890,000 | c | 955,209 | |
Innophos Holdings, Sr. Unscd. Notes | | 9.38 | | 2/15/2028 | | 745,000 | c | 812,583 | |
Iris Holdings, Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 311,000 | c,d | 314,880 | |
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% | EUR | 4.75 | | 9/30/2024 | | 450,000 | c,e | 498,236 | |
Kobe US Midco 2, Sr. Unscd. Notes | | 9.25 | | 11/1/2026 | | 77,000 | c,d | 78,733 | |
Olympus Water US Holding, Sr. Scd. Notes | | 4.25 | | 10/1/2028 | | 621,000 | c | 618,451 | |
Olympus Water US Holding, Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 380,000 | c | 371,034 | |
Polar US Borrower, Sr. Unscd. Notes | | 6.75 | | 5/15/2026 | | 261,000 | c | 256,704 | |
SCIL IV, Sr. Scd. Notes | | 5.38 | | 11/1/2026 | | 200,000 | c | 205,500 | |
Trinseo Materials Finance, Gtd. Bonds | | 5.13 | | 4/1/2029 | | 475,000 | c | 485,217 | |
Unifrax Escrow Issuer, Sr. Scd. Notes | | 5.25 | | 9/30/2028 | | 310,000 | c | 313,937 | |
Unifrax Escrow Issuer, Sr. Unscd. Notes | | 7.50 | | 9/30/2029 | | 96,000 | c | 97,096 | |
Venator Finance, Gtd. Notes | | 5.75 | | 7/15/2025 | | 600,000 | c | 576,624 | |
Venator Finance, Sr. Scd. Notes | | 9.50 | | 7/1/2025 | | 225,000 | c | 246,197 | |
| | 6,620,951 | |
Collateralized Loan Obligations Debt - 48.2% | | | | | |
Adagio VIII CLO, Ser. 8A, Cl. E, 3 Month EURIBOR +6.03% | EUR | 6.03 | | 4/15/2032 | | 3,000,000 | c,e | 3,328,166 | |
Barings CLO, Ser. 2019-4A, CI. E, 3 Month LIBOR +7.39% | | 7.51 | | 1/15/2033 | | 3,000,000 | c,e | 3,001,848 | |
Barings Euro CLO, Ser. 2018-3A, Cl. E, 3 Month EURIBOR +5.79% | EUR | 5.79 | | 7/27/2031 | | 2,150,000 | c,e | 2,384,707 | |
Barings Euro CLO, Ser. 2019-1A, CI. E, 3 Month EURIBOR +6.55% | EUR | 6.55 | | 10/21/2032 | | 1,500,000 | c,e | 1,708,372 | |
Birch Grove 2 CLO, Ser. 2021-2A, Cl. E, 3 Month LIBOR +6.95% | | 7.06 | | 10/19/2034 | | 1,250,000 | c,e | 1,212,194 | |
Birch Grove CLO, Ser. 2021-3A, Cl. E, 1 Month LIBOR +6.98% | | 6.98 | | 1/19/2035 | | 2,000,000 | c,e | 1,966,530 | |
Blackrock European VIII CLO, Ser. 8A, Cl. E, 3 Month EURIBOR +5.75% | EUR | 5.75 | | 7/20/2032 | | 2,000,000 | c,e | 2,237,121 | |
BlueMountain CLO, Ser. 2016-2A, CI. DR, 3 Month LIBOR +7.79% | | 7.95 | | 8/20/2032 | | 2,250,000 | c,e | 2,266,121 | |
Cairn VI CLO, Ser. 2016-6A, CL. FR, 3 Month EURIBOR +8.25% | EUR | 8.25 | | 7/25/2029 | | 2,700,000 | c,e | 3,061,530 | |
Carlyle Euro CLO, Ser. 2019-1A, CI. D, 3 Month EURIBOR +6.12% | EUR | 6.12 | | 3/15/2032 | | 4,200,000 | c,e | 4,670,662 | |
Carlyle Global Market Strategies Euro CLO, Ser. 2014-2A, Cl. DRR, 3 Month EURIBOR +5.70% | EUR | 5.70 | | 11/17/2031 | | 2,034,000 | c,e | 2,232,760 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Collateralized Loan Obligations Debt - 48.2% (continued) | | | | | |
Carlyle Global Market Strategies Euro CLO, Ser. 2015-1A, CI. ER, 3 Month EURIBOR +8.03% | EUR | 8.03 | | 1/16/2033 | | 1,000,000 | c,e | 1,066,573 | |
Contego VII CLO, Ser. 7A, Cl. F, 3 Month EURIBOR +8.76% | EUR | 8.76 | | 5/14/2032 | | 3,500,000 | c,e | 3,955,510 | |
Crown Point 8 CLO, Ser. 2019-8A, Cl. ER, 3 Month LIBOR +7.13% | | 7.26 | | 10/20/2034 | | 3,000,000 | c,e | 2,905,836 | |
CVC Cordatus Loan Fund XIV CLO, Ser. 14A, Cl. E, 3 Month EURIBOR +5.90% | EUR | 5.90 | | 5/22/2032 | | 3,000,000 | c,e | 3,388,439 | |
CVC Cordatus Loan Fund XVIII CLO, Ser. 18A, Cl. FR, 3 Month EURIBOR +8.85% | EUR | 8.85 | | 7/29/2034 | | 2,000,000 | c,e | 2,208,061 | |
Dryden 66 Euro CLO, Ser. 2018-66A, CI. E, 3 Month EURIBOR +5.41% | EUR | 5.41 | | 1/18/2032 | | 2,000,000 | c,e | 2,213,000 | |
Dryden 69 Euro CLO, Ser. 2019-69A, Cl. ER, 3 Month EURIBOR +6.37% | EUR | 6.37 | | 10/18/2034 | | 1,900,000 | c,e | 2,112,580 | |
Elevation CLO, Ser. 2013-1A, Cl. D1R2, 3 Month LIBOR +7.65% | | 7.81 | | 8/15/2032 | | 2,500,000 | c,e | 2,464,410 | |
Fidelity Grand Harbour CLO, Ser. 2021-1A, Cl. E, 3 Month EURIBOR +6.22% | EUR | 6.22 | | 10/15/2034 | | 1,000,000 | c,e | 1,114,158 | |
Fidelity Grand Harbour CLO, Ser. 2021-1A, Cl. F, 3 Month EURIBOR +9.15% | EUR | 9.15 | | 10/15/2034 | | 1,000,000 | c,e | 1,110,791 | |
GoldenTree Loan Management EUR 4 CLO, Ser. 4A, Cl. ER, 3 Month EURIBOR +6.07% | EUR | 6.07 | | 7/20/2034 | | 1,500,000 | c,e | 1,666,614 | |
Greywolf II CLO, Ser. 2013-1A, Cl. DRR, 3 Month LIBOR +7.05% | | 7.17 | | 4/15/2034 | | 2,000,000 | c,e | 1,958,526 | |
ICG Euro CLO, Ser. 2021-1A, Cl. E, 3 Month EURIBOR +6.46% | EUR | 6.46 | | 10/15/2034 | | 1,000,000 | c,e | 1,106,499 | |
KKR 24 CLO, Ser. 24, CI. E, 3 Month LIBOR +6.38% | | 6.51 | | 4/20/2032 | | 2,690,000 | c,e | 2,649,128 | |
KKR 27 CLO, Ser. 27A, Cl. E, 3 Month LIBOR +6.90% | | 7.02 | | 10/15/2032 | | 3,000,000 | c,e | 3,001,431 | |
MidOcean Credit X CLO, Ser. 2019-10A, Cl. ER, 3 Month LIBOR +7.16% | | 7.28 | | 10/23/2034 | | 4,000,000 | c,e | 3,838,292 | |
Northwoods Capital 20 CLO, Ser. 2019-20A, Cl. ER, 3 Month LIBOR +7.85% | | 7.97 | | 1/25/2032 | | 2,437,500 | c,e | 2,399,168 | |
Northwoods Capital 25 CLO, Ser. 2021-25A, CI. E, 3 Month LIBOR +7.14% | | 7.26 | | 7/20/2034 | | 3,000,000 | c,e | 2,860,068 | |
Northwoods Capital 27 CLO, Ser. 2021-27A, Cl. E, 3 Month LIBOR +7.04% | | 7.16 | | 10/17/2034 | | 1,150,000 | c,e | 1,125,251 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Collateralized Loan Obligations Debt - 48.2% (continued) | | | | | |
Ocean Trails VI CLO, Ser. 2016-6A, CI. ER, 3 Month LIBOR +7.45% | | 7.57 | | 7/15/2028 | | 1,500,000 | c,e | 1,501,585 | |
Octagon Investment Partners 20-R CLO, Ser. 2019-4A, Cl. E, 3 Month LIBOR +6.80% | | 6.95 | | 5/12/2031 | | 4,000,000 | c,e | 3,933,904 | |
Purple Finance 2 CLO, Ser. 2A, Cl. E, 3 Month EURIBOR +6.40% | EUR | 6.40 | | 4/20/2032 | | 2,600,000 | c,e | 2,828,352 | |
Purple Finance 2 CLO, Ser. 2A, Cl. F, 3 Month EURIBOR +8.84% | EUR | 8.84 | | 4/20/2032 | | 2,300,000 | c,e | 2,533,507 | |
Rockford Tower Europe CLO, Ser. 2019-1A, Cl. E, 3 Month EURIBOR +6.03% | EUR | 6.03 | | 1/20/2033 | | 2,000,000 | c,e | 2,239,484 | |
Sound Point XXIII CLO, Ser. 2019-2A, Cl. ER, 3 Month LIBOR +6.47% | | 6.59 | | 7/15/2034 | | 4,750,000 | c,e | 4,605,139 | |
Toro European 2 CLO, Ser. 2A, Cl. ERR, 3 Month EURIBOR +6.47% | EUR | 6.47 | | 7/25/2034 | | 1,000,000 | c,e | 1,117,850 | |
Toro European 3 CLO, Ser. 3A, Cl. ERR, 3 Month EURIBOR +6.30% | EUR | 6.30 | | 7/15/2034 | | 2,000,000 | c,e | 2,218,183 | |
Toro European 6 CLO, Ser. 6A, Cl. E, 3 Month EURIBOR +6.49% | EUR | 6.49 | | 1/12/2032 | | 1,385,000 | c,e | 1,570,449 | |
Toro European 6 CLO, Ser. 6A, Cl. F, 3 Month EURIBOR +8.49% | EUR | 8.49 | | 1/12/2032 | | 2,745,000 | c,e | 3,051,597 | |
Trimaran CAVU CLO, Ser. 2019-1A, CI. E, 3 Month LIBOR +7.04% | | 7.17 | | 7/20/2032 | | 2,100,000 | c,e | 2,041,607 | |
Trimaran CAVU CLO, Ser. 2019-2A, Cl. D, 3 Month LIBOR +6.95% | | 7.07 | | 11/26/2032 | | 1,750,000 | c,e | 1,702,563 | |
Trimaran CAVU CLO, Ser. 2021-2A, CI. E, 3 Month LIBOR +7.20% | | 7.33 | | 10/25/2034 | | 2,000,000 | c,e | 1,959,406 | |
Trimaran CAVU CLO, Ser. 2021-3A, Cl. E, 3 Month LIBOR +7.37% | | 7.47 | | 1/18/2035 | | 2,000,000 | c,e | 1,970,000 | |
Trinitas XI CLO, Ser. 2019-11A, CI. ER, 3 Month LIBOR +7.27% | | 7.39 | | 7/15/2034 | | 2,000,000 | c,e | 1,945,298 | |
Venture 39 CLO, Ser. 2021-39A, Cl. E, 3 Month LIBOR +7.63% | | 7.75 | | 4/15/2033 | | 2,350,000 | c,e | 2,309,227 | |
Venture 41 CLO, Ser. 2021-41A, Cl. E, 3 Month LIBOR +7.71% | | 7.84 | | 1/20/2034 | | 2,000,000 | c,e | 1,968,630 | |
Wellfleet CLO, Ser. 2021-3A, Cl. E, 3 Month LIBOR +7.1% | | 7.21 | | 1/15/2035 | | 1,000,000 | c,e | 989,633 | |
Wellfleet X CLO, Ser. 2019-XA, Cl. DR, 3 Month LIBOR +6.61% | | 6.74 | | 7/20/2032 | | 4,000,000 | c,e | 3,939,716 | |
| | 115,640,476 | |
Collateralized Loan Obligations Equity - 5.1% | | | | | |
Blackrock European VIII CLO, Ser. 8A, Cl. SUB | EUR | 6.77 | | 7/20/2032 | | 1,425,000 | c,f | 1,194,090 | |
BlueMountain Fuji III CLO, Ser. 3A, CI. SUB | EUR | 14.34 | | 1/15/2031 | | 3,000,000 | c,f | 2,314,691 | |
Madison Park Funding X CLO, Ser. 2012-10A, Cl. SUB | | 29.40 | | 1/20/2029 | | 5,000,000 | c,f | 2,241,545 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Collateralized Loan Obligations Equity - 5.1% (continued) | | | | | |
Providus II CLO, Ser. 2A, Cl. SUB | EUR | 13.19 | | 7/15/2031 | | 1,000,000 | c,f | 742,097 | |
Wind River CLO, Ser. 2016-1A, CI. SUB | | 15.69 | | 1/15/2029 | | 11,350,000 | c,f | 5,657,124 | |
| | 12,149,547 | |
Commercial & Professional Services - 2.8% | | | | | |
Adtalem Global Education, Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 640,000 | c | 626,502 | |
Albion Financing 1, Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 130,000 | c | 149,645 | |
APX Group, Gtd. Notes | | 5.75 | | 7/15/2029 | | 512,000 | c | 505,042 | |
APX Group, Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 294,000 | c | 309,022 | |
HealthEquity, Gtd. Notes | | 4.50 | | 10/1/2029 | | 421,000 | c | 417,316 | |
La Financiere Atalian, Gtd. Notes | GBP | 6.63 | | 5/15/2025 | | 600,000 | | 808,090 | |
La Financiere Atalian SASU, Gtd. Bonds | EUR | 4.00 | | 5/15/2024 | | 330,000 | c | 370,465 | |
PECF USS Intermediate Holding III, Sr. Unscd. Notes | | 8.00 | | 11/15/2029 | | 359,000 | c | 372,297 | |
Prime Security Services Borrower, Scd. Notes | | 6.25 | | 1/15/2028 | | 525,000 | c | 548,244 | |
Team Health Holdings, Gtd. Notes | | 6.38 | | 2/1/2025 | | 911,000 | c | 858,426 | |
The ADT Security, Sr. Scd. Notes | | 4.88 | | 7/15/2032 | | 220,000 | c | 224,950 | |
The Hertz, Gtd. Notes | | 4.63 | | 12/1/2026 | | 292,000 | c | 294,215 | |
The Hertz, Gtd. Notes | | 5.00 | | 12/1/2029 | | 70,000 | c | 70,186 | |
The House of Finance, Sr. Scd. Notes | EUR | 4.38 | | 7/15/2026 | | 100,000 | c | 115,808 | |
Verisure Midholding, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 665,000 | c | 770,086 | |
WW International, Sr. Scd. Notes | | 4.50 | | 4/15/2029 | | 190,000 | c | 182,155 | |
| | 6,622,449 | |
Consumer Discretionary - 4.2% | | | | | |
Allen Media, Gtd. Notes | | 10.50 | | 2/15/2028 | | 935,000 | c | 976,813 | |
Ashton Woods USA, Sr. Unscd. Notes | | 4.63 | | 8/1/2029 | | 317,000 | c | 313,518 | |
Ashton Woods USA, Sr. Unscd. Notes | | 6.63 | | 1/15/2028 | | 435,000 | c | 460,456 | |
Banijay Group, Sr. Unscd. Notes | EUR | 6.50 | | 3/1/2026 | | 1,010,000 | c | 1,198,647 | |
Boyd Gaming, Gtd. Notes | | 4.75 | | 6/15/2031 | | 315,000 | c | 321,850 | |
Caesars Entertainment, Sr. Unscd. Notes | | 8.13 | | 7/1/2027 | | 465,000 | c | 515,520 | |
Carnival, Gtd. Bonds | EUR | 7.63 | | 3/1/2026 | | 365,000 | c | 438,356 | |
Carnival, Gtd. Notes | | 6.00 | | 5/1/2029 | | 216,000 | c | 215,347 | |
Carnival, Sr. Unscd. Notes | | 5.75 | | 3/1/2027 | | 240,000 | c | 240,360 | |
Carnival, Sr. Unscd. Notes | | 7.63 | | 3/1/2026 | | 540,000 | c | 566,760 | |
Cinemark USA, Gtd. Notes | | 5.88 | | 3/15/2026 | | 330,000 | c | 334,538 | |
Deuce Finco, Sr. Scd. Bonds | GBP | 5.50 | | 6/15/2027 | | 330,000 | c | 444,699 | |
Everi Holdings, Gtd. Notes | | 5.00 | | 7/15/2029 | | 465,000 | c | 470,415 | |
Gamma Bidco, Sr. Scd. Notes | EUR | 5.13 | | 7/15/2025 | | 300,000 | c | 344,905 | |
Maison Finco, Sr. Scd. Bonds | GBP | 6.00 | | 10/31/2027 | | 252,000 | c | 348,198 | |
NCL, Gtd. Notes | | 5.88 | | 3/15/2026 | | 185,000 | c | 184,422 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Consumer Discretionary - 4.2% (continued) | | | | | |
NCL Finance, Gtd. Notes | | 6.13 | | 3/15/2028 | | 168,000 | c | 165,761 | |
Ritchie Bros Holdings, Gtd. Notes | | 4.75 | | 12/15/2031 | | 35,000 | c | 36,599 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 3.70 | | 3/15/2028 | | 191,000 | | 179,318 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 230,000 | c | 234,122 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 4/1/2028 | | 495,000 | c | 501,574 | |
Scientific Games International, Gtd. Notes | EUR | 5.50 | | 2/15/2026 | | 260,000 | c | 303,411 | |
Scientific Games International, Gtd. Notes | | 7.25 | | 11/15/2029 | | 237,000 | c | 264,647 | |
Scientific Games International, Gtd. Notes | | 8.25 | | 3/15/2026 | | 565,000 | c | 595,383 | |
TUI Cruises GmbH, Sr. Unscd. Notes | EUR | 6.50 | | 5/15/2026 | | 486,000 | c | 552,274 | |
| | 10,207,893 | |
Diversified Financials - 2.8% | | | | | |
Compass Group Diversified Holdings, Gtd. Notes | | 5.25 | | 4/15/2029 | | 360,000 | c | 377,752 | |
Compass Group Diversified Holdings, Sr. Unscd. Notes | | 5.00 | | 1/15/2032 | | 113,000 | c | 115,995 | |
Encore Capital Group, Sr. Scd. Bonds | GBP | 5.38 | | 2/15/2026 | | 330,000 | c | 463,980 | |
Encore Capital Group, Sr. Scd. Bonds, 3 Month EURIBOR +4.25% | EUR | 4.25 | | 1/15/2028 | | 350,000 | c,e | 405,847 | |
FS Energy & Power Fund, Sr. Scd. Notes | | 7.50 | | 8/15/2023 | | 875,000 | c | 913,386 | |
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 455,000 | c | 641,655 | |
Garfunkelux Holdco 3, Sr. Scd. Notes | EUR | 6.75 | | 11/1/2025 | | 500,000 | c | 591,721 | |
Icahn Enterprises, Gtd. Notes | | 4.38 | | 2/1/2029 | | 390,000 | | 380,841 | |
Icahn Enterprises, Gtd. Notes | | 6.25 | | 5/15/2026 | | 635,000 | | 662,181 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.50 | | 8/15/2028 | | 790,000 | c | 806,993 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 6.00 | | 1/15/2027 | | 235,000 | c | 245,057 | |
Navient, Sr. Unscd. Notes | | 5.50 | | 3/15/2029 | | 453,000 | | 452,590 | |
PennyMac Financial Services, Gtd. Notes | | 5.38 | | 10/15/2025 | | 288,000 | c | 296,245 | |
PennyMac Financial Services, Gtd. Notes | | 5.75 | | 9/15/2031 | | 322,000 | c | 325,672 | |
| | 6,679,915 | |
Energy - 4.7% | | | | | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 1/15/2028 | | 320,000 | c | 336,029 | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 3/1/2027 | | 545,000 | c | 565,301 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Energy - 4.7% (continued) | | | | | |
Antero Midstream Partners, Gtd. Notes | | 7.88 | | 5/15/2026 | | 200,000 | c | 220,609 | |
Antero Resources, Gtd. Notes | | 5.38 | | 3/1/2030 | | 160,000 | c | 171,310 | |
Antero Resources, Gtd. Notes | | 7.63 | | 2/1/2029 | | 274,000 | c | 304,574 | |
Antero Resources, Gtd. Notes | | 8.38 | | 7/15/2026 | | 97,000 | c | 110,564 | |
Apache, Sr. Unscd. Notes | | 5.10 | | 9/1/2040 | | 306,000 | | 346,263 | |
Archrock Partners, Gtd. Notes | | 6.25 | | 4/1/2028 | | 779,000 | c | 813,385 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 960,000 | c | 991,680 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 185,000 | c | 196,292 | |
Centennial Resource Production, Gtd. Notes | | 6.88 | | 4/1/2027 | | 191,000 | c | 195,011 | |
Colgate Energy Partners III, Sr. Unscd. Notes | | 5.88 | | 7/1/2029 | | 240,000 | c | 247,541 | |
Crestwood Midstream Partners, Gtd. Notes | | 5.63 | | 5/1/2027 | | 25,000 | c | 25,494 | |
Crestwood Midstream Partners, Gtd. Notes | | 6.00 | | 2/1/2029 | | 715,000 | c | 743,707 | |
CrownRock, Sr. Unscd. Notes | | 5.00 | | 5/1/2029 | | 285,000 | c | 296,121 | |
CrownRock, Sr. Unscd. Notes | | 5.63 | | 10/15/2025 | | 185,000 | c | 189,379 | |
Endeavor Energy Resources, Sr. Unscd. Notes | | 5.75 | | 1/30/2028 | | 330,000 | c | 352,275 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 170,000 | | 185,966 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 6.50 | | 7/1/2027 | | 205,000 | c | 229,858 | |
Genesis Energy, Gtd. Notes | | 6.25 | | 5/15/2026 | | 250,000 | | 244,010 | |
Genesis Energy, Gtd. Notes | | 6.50 | | 10/1/2025 | | 188,000 | | 185,846 | |
Genesis Energy, Gtd. Notes | | 8.00 | | 1/15/2027 | | 220,000 | | 226,970 | |
Matador Resources, Gtd. Notes | | 5.88 | | 9/15/2026 | | 80,000 | | 82,508 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.13 | | 1/1/2031 | | 200,000 | | 243,336 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.45 | | 9/15/2036 | | 210,000 | | 268,170 | |
Occidental Petroleum, Sr. Unscd. Notes | | 7.50 | | 5/1/2031 | | 430,000 | | 566,327 | |
Occidental Petroleum, Sr. Unscd. Notes | | 8.88 | | 7/15/2030 | | 740,000 | | 999,281 | |
Rockcliff Energy II, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 425,000 | c | 438,458 | |
Southwestern Energy, Gtd. Notes | | 5.38 | | 2/1/2029 | | 429,000 | | 454,275 | |
Southwestern Energy, Gtd. Notes | | 5.38 | | 3/15/2030 | | 110,000 | | 118,056 | |
Southwestern Energy, Gtd. Notes | | 8.38 | | 9/15/2028 | | 155,000 | | 173,233 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 9/1/2027 | | 732,000 | | 773,944 | |
| | 11,295,773 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Environmental Control - .4% | | | | | |
Covanta Holding, Gtd. Notes | | 4.88 | | 12/1/2029 | | 143,000 | c | 145,362 | |
Harsco, Gtd. Notes | | 5.75 | | 7/31/2027 | | 500,000 | c | 509,875 | |
Verde Bidco, Sr. Scd. Notes | EUR | 4.63 | | 10/1/2026 | | 164,000 | c | 191,522 | |
| | 846,759 | |
Food Products - .2% | | | | | |
United Natural Foods, Gtd. Notes | | 6.75 | | 10/15/2028 | | 465,000 | c | 498,608 | |
Food Service - .1% | | | | | |
TKC Holdings, Sr. Scd. Notes | | 6.88 | | 5/15/2028 | | 320,000 | c | 327,542 | |
Forest Products & Paper - .5% | | | | | |
Ahlstrom-Munksjo Holding 3, Sr. Scd. Bonds | | 4.88 | | 2/4/2028 | | 595,000 | c | 587,687 | |
Fabric BC, Sr. Scd. Notes, 3 Month EURIBOR +4.13% | EUR | 4.13 | | 11/30/2024 | | 537,931 | e | 614,201 | |
| | 1,201,888 | |
Health Care - 3.3% | | | | | |
Air Methods, Sr. Unscd. Notes | | 8.00 | | 5/15/2025 | | 685,000 | c | 587,244 | |
Bausch Health, Gtd. Notes | | 5.25 | | 1/30/2030 | | 115,000 | c | 101,378 | |
Bausch Health, Gtd. Notes | | 6.25 | | 2/15/2029 | | 55,000 | c | 52,353 | |
Bausch Health, Gtd. Notes | | 7.25 | | 5/30/2029 | | 660,000 | c | 654,327 | |
Bausch Health, Sr. Scd. Notes | | 4.88 | | 6/1/2028 | | 158,000 | c | 161,446 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 660,000 | c | 669,187 | |
Chrome Holdco, Gtd. Notes | EUR | 5.00 | | 5/31/2029 | | 240,000 | c | 274,265 | |
Cidron Aida Finco, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 480,000 | c | 644,831 | |
Community Health Systems, Scd. Notes | | 6.13 | | 4/1/2030 | | 480,000 | c | 475,601 | |
Community Health Systems, Scd. Notes | | 6.88 | | 4/15/2029 | | 405,000 | c | 413,213 | |
Community Health Systems, Sr. Scd. Notes | | 4.75 | | 2/15/2031 | | 230,000 | c | 232,385 | |
Community Health Systems, Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 226,000 | c | 239,458 | |
Grifols Escrow Issuer, Sr. Unscd. Notes | | 4.75 | | 10/15/2028 | | 207,000 | c | 211,527 | |
Mozart Debt Merger Sub, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 615,000 | c | 624,668 | |
Nidda BondCo GmbH, Gtd. Notes | EUR | 5.00 | | 9/30/2025 | | 330,000 | c | 374,407 | |
Nidda BondCo GmbH, Gtd. Notes | EUR | 5.00 | | 9/30/2025 | | 245,000 | | 277,969 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 590,000 | c | 617,420 | |
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | | 7.25 | | 2/1/2028 | | 381,000 | c | 410,135 | |
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | | 7.38 | | 6/1/2025 | | 210,000 | c | 221,763 | |
Prime Healthcare Services, Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 325,000 | c | 344,882 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Health Care - 3.3% (continued) | | | | | |
Tenet Healthcare, Scd. Notes | | 6.25 | | 2/1/2027 | | 305,000 | c | 316,088 | |
| | 7,904,547 | |
Industrial - 1.6% | | | | | |
Gates Global, Gtd. Notes | | 6.25 | | 1/15/2026 | | 705,000 | c | 728,685 | |
Husky III Holding, Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 595,000 | c,d | 625,440 | |
Norican A/S, Sr. Scd. Bonds | EUR | 4.50 | | 5/15/2023 | | 315,000 | | 355,490 | |
Promontoria Holding 264, Sr. Scd. Notes | EUR | 6.75 | | 8/15/2023 | | 430,000 | | 490,218 | |
Titan Acquisition, Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 1,205,000 | c | 1,224,328 | |
VM Consolidated, Gtd. Notes | | 5.50 | | 4/15/2029 | | 398,000 | c | 400,555 | |
| | 3,824,716 | |
Information Technology - .2% | | | | | |
Boxer Parent, Sr. Scd. Notes | EUR | 6.50 | | 10/2/2025 | | 180,000 | c | 215,363 | |
Cedacri Mergeco, Sr. Scd. Notes, 3 Month EURIBOR +4.63% | EUR | 4.63 | | 5/15/2028 | | 300,000 | e | 343,075 | |
| | 558,438 | |
Insurance - .7% | | | | | |
AmWINS Group, Sr. Unscd. Notes | | 4.88 | | 6/30/2029 | | 470,000 | c | 475,506 | |
AssuredPartners, Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 160,000 | c | 155,868 | |
GTCR AP Finance, Sr. Unscd. Notes | | 8.00 | | 5/15/2027 | | 985,000 | c | 1,022,923 | |
| | 1,654,297 | |
Internet Software & Services - .8% | | | | | |
Endure Digital, Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 857,000 | c | 798,214 | |
HSE Finance, Sr. Scd. Notes | EUR | 5.63 | | 10/15/2026 | | 165,000 | c | 193,007 | |
Northwest Fiber, Sr. Scd. Notes | | 4.75 | | 4/30/2027 | | 221,000 | c | 219,011 | |
Northwest Fiber, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 695,000 | c | 682,212 | |
| | 1,892,444 | |
Materials - 2.2% | | | | | |
ARD Finance, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 320,000 | c,d | 374,932 | |
ARD Finance, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 610,000 | c,d | 628,934 | |
Graham Packaging, Gtd. Notes | | 7.13 | | 8/15/2028 | | 490,000 | c | 507,885 | |
LABL, Sr. Scd. Notes | | 5.88 | | 11/1/2028 | | 247,000 | c | 255,028 | |
LABL, Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 143,000 | c | 147,525 | |
LABL, Sr. Unscd. Notes | | 8.25 | | 11/1/2029 | | 817,000 | c | 823,066 | |
LABL, Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 74,000 | c | 77,682 | |
Mauser Packaging Solutions Holding, Sr. Scd. Notes | | 8.50 | | 4/15/2024 | | 222,000 | c | 230,699 | |
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 1,664,000 | c | 1,670,074 | |
Titan Holdings II, Sr. Unscd. Notes | EUR | 5.13 | | 7/15/2029 | | 480,000 | c | 544,854 | |
| | 5,260,679 | |
Media - 2.4% | | | | | |
Altice Financing, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 490,000 | c | 485,842 | |
Altice Finco, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 970,000 | c | 1,054,199 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Media - 2.4% (continued) | | | | | |
CSC Holdings, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 710,000 | c | 708,733 | |
DISH DBS, Sr. Scd. Bonds | | 5.25 | | 12/1/2026 | | 169,000 | c | 171,985 | |
DISH DBS, Sr. Scd. Notes | | 5.75 | | 12/1/2028 | | 169,000 | c | 171,007 | |
Radiate Holdco, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 808,000 | c | 812,888 | |
Scripps Escrow II, Sr. Unscd. Notes | | 5.38 | | 1/15/2031 | | 713,000 | c | 725,652 | |
Sinclair Television Group, Gtd. Notes | | 5.50 | | 3/1/2030 | | 460,000 | c | 446,846 | |
Summer Bidco, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 178,287 | c,d | 207,918 | |
Summer BidCo, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 328,580 | c,d | 383,188 | |
Townsquare Media, Sr. Scd. Notes | | 6.88 | | 2/1/2026 | | 270,000 | c | 286,818 | |
UPC Broadband Finco, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 380,000 | c | 388,214 | |
| | 5,843,290 | |
Metals & Mining - .4% | | | | | |
Arconic, Scd. Notes | | 6.13 | | 2/15/2028 | | 235,000 | c | 250,482 | |
Hudbay Minerals, Gtd. Notes | | 4.50 | | 4/1/2026 | | 400,000 | c | 400,460 | |
Hudbay Minerals, Gtd. Notes | | 6.13 | | 4/1/2029 | | 353,000 | c | 374,837 | |
| | 1,025,779 | |
Real Estate - 1.0% | | | | | |
Flamingo Lux II, Sr. Unscd. Notes | EUR | 5.00 | | 3/31/2029 | | 672,000 | c | 749,331 | |
Ladder Capital Finance Holdings, Gtd. Notes | | 5.25 | | 10/1/2025 | | 1,050,000 | c | 1,062,983 | |
Park Intermediate Holdings, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 240,000 | c | 245,765 | |
XHR, Sr. Scd. Notes | | 4.88 | | 6/1/2029 | | 300,000 | c | 305,763 | |
| | 2,363,842 | |
Retailing - 2.8% | | | | | |
Asbury Automotive Group, Gtd. Notes | | 4.63 | | 11/15/2029 | | 100,000 | c | 102,042 | |
Asbury Automotive Group, Gtd. Notes | | 4.75 | | 3/1/2030 | | 190,000 | | 193,375 | |
BCPE Ulysses Intermediate, Sr. Unscd. Notes | | 7.75 | | 4/1/2027 | | 1,005,000 | c,d | 993,443 | |
Foundation Building Materials, Gtd. Notes | | 6.00 | | 3/1/2029 | | 120,000 | c | 118,069 | |
LBM Acquisition, Gtd. Notes | | 6.25 | | 1/15/2029 | | 260,000 | c | 257,442 | |
Macy's Retail Holdings, Gtd. Notes | | 4.50 | | 12/15/2034 | | 505,000 | | 499,453 | |
Park River Holdings, Gtd. Notes | | 5.63 | | 2/1/2029 | | 219,000 | c | 209,453 | |
Park River Holdings, Sr. Unscd. Notes | | 6.75 | | 8/1/2029 | | 463,000 | c | 454,247 | |
Shiba Bidco, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 354,000 | c | 408,571 | |
Staples, Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 560,000 | c | 576,128 | |
Staples, Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 740,000 | c | 698,220 | |
The Michaels Companies, Sr. Scd. Notes | | 5.25 | | 5/1/2028 | | 290,000 | c | 290,608 | |
The Michaels Companies, Sr. Unscd. Notes | | 7.88 | | 5/1/2029 | | 380,000 | c | 374,948 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.7% (continued) | | | | | |
Retailing - 2.8% (continued) | | | | | |
The Very Group Funding, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 469,000 | c | 635,037 | |
White Cap Buyer, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 495,000 | c | 516,740 | |
White Cap Parent, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 428,000 | c,d | 439,751 | |
| | 6,767,527 | |
Technology Hardware & Equipment - .3% | | | | | |
Banff Merger Sub, Sr. Unscd. Notes | EUR | 8.38 | | 9/1/2026 | | 650,000 | c | 771,962 | |
Telecommunication Services - 1.7% | | | | | |
Altice France, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 532,000 | c | 524,927 | |
Altice France Holding, Gtd. Notes | | 6.00 | | 2/15/2028 | | 210,000 | c | 200,928 | |
CommScope, Gtd. Notes | | 7.13 | | 7/1/2028 | | 550,000 | c | 541,153 | |
CommScope, Gtd. Notes | | 8.25 | | 3/1/2027 | | 305,000 | c | 313,821 | |
Connect Finco, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 985,000 | c | 1,036,811 | |
Embarq, Sr. Unscd. Notes | | 8.00 | | 6/1/2036 | | 520,000 | | 583,253 | |
Intrado, Gtd. Notes | | 8.50 | | 10/15/2025 | | 347,000 | c | 342,156 | |
WP/AP Telecom Holdings III, Sr. Unscd. Notes | EUR | 5.50 | | 1/15/2030 | | 220,000 | c | 255,185 | |
Zayo Group Holdings, Sr. Unscd. Notes | | 6.13 | | 3/1/2028 | | 140,000 | c | 138,114 | |
Zoncolan Bidco, Sr. Scd. Bonds | EUR | 4.88 | | 10/21/2028 | | 228,000 | c | 261,687 | |
| | 4,198,035 | |
Utilities - 1.0% | | | | | |
Calpine, Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 650,000 | c | 651,004 | |
Energia Group Ni Financeco, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 630,000 | c | 855,273 | |
Energia Group ROI Holdings, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 380,000 | | 515,879 | |
Pike, Gtd. Notes | | 5.50 | | 9/1/2028 | | 415,000 | c | 416,536 | |
| | 2,438,692 | |
Total Bonds and Notes
(cost $217,018,041) | | 225,043,001 | |
| | | | | | | | | |
Floating Rate Loan Interests - 45.7% | | | | | |
Advertising - .9% | | | | | |
ABG Intermediate Holdings 2, 2021 Refinancing Term Loan, 3 Month LIBOR +3.25% | | 4.00 | | 12/4/2024 | | 354,905 | e | 354,114 | |
ABG Intermediate Holdings 2, Second Lien Initial Term Loan, 3 Month Term SOFR +6.15% | | 6.65 | | 12/10/2029 | | 38,647 | e | 38,841 | |
Advantage Sales & Marketing, Term Loan B-1, 3 Month LIBOR +4.50% | | 5.25 | | 10/28/2027 | | 423,638 | e | 424,644 | |
Clear Channel Outdoor Holdings, Term Loan B, 3 Month LIBOR +3.50% | | 3.63 | | 8/21/2026 | | 393,738 | e | 388,858 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Advertising - .9% (continued) | | | | | |
Polyconcept North America, First Lien Closing Date Term Loan, 3 Month LIBOR +4.50% | | 5.50 | | 8/16/2023 | | 254,433 | e | 253,798 | |
Red Ventures, First Lien Term Loan B-3, 1 Month LIBOR +3.50% | | 4.25 | | 11/8/2024 | | 105,451 | e | 105,584 | |
Summer BC Holdco B, USD Additional Facility Term Loan B-2, 3 Month LIBOR +4.50% | | 5.25 | | 12/25/2026 | | 569,179 | e | 569,534 | |
| | 2,135,373 | |
Airlines - .2% | | | | | |
AAdvantage Loyalty, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 4/20/2028 | | 399,327 | e | 414,479 | |
Building Materials - ..9% | | | | | |
BME Group Holding, Facility Term Loan B, 3 Month EURIBOR +3.75% | EUR | 3.75 | | 10/31/2026 | | 1,000,000 | e | 1,137,936 | |
LSF10 XL Bidco, Facility Term Loan B-4, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 4/9/2028 | | 1,000,000 | e | 1,141,466 | |
| | 2,279,402 | |
Chemicals - 3.0% | | | | | |
Aruba Investment Holding, Euro Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 11/24/2027 | | 992,500 | e | 1,130,430 | |
Aruba Investment Holding, First Lien Initial Dollar Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 11/24/2027 | | 119,718 | e | 120,018 | |
ColourOZ Investment 1 GmbH, Second Lien Initial Euro Term Loan, 3 Month EURIBOR +4.25% | EUR | 5.25 | | 9/7/2022 | | 125,853 | e | 143,306 | |
ColourOZ Investment 2, First Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2023 | | 1,686,023 | e | 1,679,523 | |
ColourOZ Investment 2, First Lien Initial Term Loan C, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2023 | | 278,720 | e | 277,645 | |
ColourOZ Investment 2, Second Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2022 | | 2,142,511 | e | 2,144,654 | |
Flexsys, Initial Term Loan, 3 Month LIBOR +5.25% | | 6.00 | | 11/1/2028 | | 340,000 | e | 341,700 | |
Flint Group GmbH, First Lien Term Loan B-8, 3 Month LIBOR +4.25% | | 5.25 | | 9/21/2023 | | 490,494 | e | 488,604 | |
LSF11 Skyscraper Holdco, USD Facility Term Loan B-3, 3 Month LIBOR +3.50% | | 4.25 | | 9/30/2027 | | 310,666 | e | 310,860 | |
Polar US Borrower, Initial Term Loan, 1-3 Month LIBOR +4.75% | | 4.87 | | 10/16/2025 | | 395,893 | e | 396,635 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Chemicals - 3.0% (continued) | | | | | |
Sparta US HoldCo, First Lien Initial Term Loan, 3 Month LIBOR +3.50% | | 4.25 | | 8/2/2028 | | 194,864 | e | 195,351 | |
| | 7,228,726 | |
Commercial & Professional Services - 6.2% | | | | | |
Adtalem Global Education, Term Loan B, 3 Month LIBOR +4.50% | | 5.25 | | 8/12/2028 | | 653,000 | e | 655,517 | |
Albion Acquisitions, Term Loan B, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 7/31/2026 | | 1,000,000 | e | 1,142,240 | |
Amentum Government Services, First Lien Tranche 2 Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 1/31/2027 | | 153,027 | e | 153,314 | |
APX Group, Initial Term Loan, 1 Month LIBOR +3.50% and 3 Month PRIME +2.50% | | 4.88 | | 7/9/2028 | | 267,996 | e | 267,940 | |
AVSC Holding, Term Loan B-1, 6 Month LIBOR +3.50% | | 4.50 | | 3/1/2025 | | 220,662 | e | 203,781 | |
Axiom Global, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 10/1/2026 | | 4,900,000 | e | 4,851,625 | |
Boels Topholding, Facility Term Loan B-2, 3 Month EURIBOR +3.25% | EUR | 3.25 | | 2/5/2027 | | 1,000,000 | e | 1,136,809 | |
Cast & Crew Payroll, First Lien Initial Term Loan, 3 Month LIBOR +3.50% | | 3.60 | | 2/7/2026 | | 67,447 | e | 67,525 | |
CIBT Global, First Lien Term Loan, 3 Month LIBOR +1.00% | | 4.25 | | 6/1/2024 | | 1,000,000 | e | 816,000 | |
Electro Rent, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | | 6.00 | | 1/31/2024 | | 197,917 | e | 198,443 | |
Employbridge, Term Loan B, 3 Month LIBOR +4.75% | | 5.50 | | 7/19/2028 | | 207,935 | e | 206,479 | |
Infinitas Learning Finco, Term Loan B, 3 Month EURIBOR +4.50% | EUR | 4.50 | | 9/30/2028 | | 1,000,000 | e | 1,143,748 | |
PECF USS Intermediate Holding, Initial Term Loan, 3 Month LIBOR +4.25% | | 4.75 | | 12/17/2028 | | 107,080 | e | 107,329 | |
Praesidiad, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/4/2024 | | 1,000,000 | e | 1,012,855 | |
Pre-Paid Legal Services, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 4.25 | | 12/15/2028 | | 173,982 | e | 173,184 | |
RLG Holdings, First Lien Closing Date Initial Term Loan, 3 Month LIBOR +4.25% | | 5.00 | | 7/8/2028 | | 332,938 | e | 332,834 | |
RLG Holdings, First Lien Delayed Draw Term Loan, 3 Month LIBOR +4.25% | | 5.00 | | 7/8/2028 | | 78,460 | e | 78,436 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Commercial & Professional Services - 6.2% (continued) | | | | | |
Team Health Holdings, Initial Term Loan, 1 Month LIBOR +2.75% | | 3.75 | | 2/6/2024 | | 187,823 | e | 180,123 | |
The Hertz, Initial Term Loan B, 1 Month LIBOR +3.25% | | 3.75 | | 6/30/2028 | | 168,876 | e | 169,240 | |
The Hertz, Initial Term Loan C, 1 Month LIBOR +3.75% | | 4.25 | | 6/30/2028 | | 31,987 | e | 32,056 | |
Verscend Holding, New Term Loan B, 1 Month LIBOR +4.00% | | 4.10 | | 8/27/2025 | | 488,726 | e | 489,214 | |
WP/AP Holdings, Term Loan, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 11/18/2028 | | 1,000,000 | e | 1,140,282 | |
WW International, Initial Term Loan, 1 Month LIBOR +3.50% | | 4.00 | | 4/13/2028 | | 213,570 | e | 211,801 | |
| | 14,770,775 | |
Consumer Discretionary - 5.2% | | | | | |
Allen Media, 2021 Incremental Term Loan, 3 Month LIBOR +5.50% | | 5.50 | | 2/10/2027 | | 45,587 | e | 45,627 | |
Allen Media, Delayed Draw Term Loan B, 1 Month LIBOR +5.50% | | 5.50 | | 2/10/2027 | | 41,446 | e | 41,482 | |
Allen Media, Term Loan B, 3 Month LIBOR +5.50% | | 5.63 | | 2/10/2027 | | 278,568 | e | 278,811 | |
AP Gaming I, First Lien Incremental Term Loan B, 1 Month LIBOR +3.50% | | 4.50 | | 2/15/2024 | | 168,261 | e | 167,577 | |
AP Gaming I, Term Loan B-1, 1 Month LIBOR +13.00% | | 14.00 | | 2/15/2024 | | 29,927 | e | 30,675 | |
Caesars Resort Collection, Term Loan B-1, 1 Month LIBOR +3.50% | | 3.60 | | 7/20/2025 | | 272,550 | e | 273,095 | |
Center Parcs Europe, Facility Term Loan B-1, 3 Month EURIBOR +2.00% | EUR | 2.00 | | 9/23/2022 | | 3,198,119 | e,g | 3,641,058 | |
Dealer Tire, Term Loan B-1, 1 Month LIBOR +4.25% | | 4.35 | | 12/12/2025 | | 404,874 | e | 405,329 | |
Freshworld Holding IV GmbH, Facility Term Loan B-2, 6 Month EURIBOR +3.25% | EUR | 3.25 | | 10/2/2026 | | 1,000,000 | e | 1,134,851 | |
Great Canadian Gaming, Term Loan B, 3 Month LIBOR +4.00% | | 4.75 | | 11/1/2026 | | 261,969 | e | 262,870 | |
Silk Bidco, Facility Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 2/22/2025 | | 2,000,000 | e | 2,133,390 | |
Stage Entertainment, Facility Term Loan B-2, 6 Month EURIBOR +3.25% | EUR | 3.25 | | 5/2/2026 | | 1,000,000 | e | 1,084,990 | |
Tecta America, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 5.00 | | 4/9/2028 | | 755,900 | e | 757,318 | |
Travel Leaders Group, 2018 Refinancing Term Loan, 1 Month LIBOR +4.00% | | 4.10 | | 1/25/2024 | | 138,286 | e | 126,863 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Consumer Discretionary - 5.2% (continued) | | | | | |
Vacalians Holding, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 11/30/2025 | | 1,000,000 | e | 1,113,242 | |
Varsity Brands Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 4.50 | | 12/15/2024 | | 674,325 | e | 662,946 | |
William Morris Endeavor, New Term Loan B-1, 1 Month LIBOR +2.75% | | 2.85 | | 5/18/2025 | | 256,540 | e | 251,633 | |
| | 12,411,757 | |
Consumer Staples - .2% | | | | | |
Kronos Acquisition Holdings, Tranche Term Loan B-1, 3 Month LIBOR +3.75% | | 4.25 | | 12/22/2026 | | 570,880 | e | 555,629 | |
Diversified Financials - .1% | | | | | |
Tegra118 Wealth Solutions, Initial Term Loan, 3 Month LIBOR +4.00% | | 4.16 | | 2/18/2027 | | 275,800 | e | 276,283 | |
Electronic Components - .5% | | | | | |
IDEMIA Identity & Security France, Term Loan B-3, 3 Month EURIBOR +4.50% | EUR | 4.50 | | 1/10/2026 | | 1,000,000 | e | 1,144,819 | |
Energy - .8% | | | | | |
BCP Renaissance Parent, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 11/1/2024 | | 230,321 | e | 230,141 | |
Brazos Delaware II, Initial Term Loan, 1 Month LIBOR +4.00% | | 4.10 | | 5/29/2025 | | 295,336 | e | 288,291 | |
GIP III Stetson I, Initial Term Loan, 1 Month LIBOR +4.25% | | 4.35 | | 7/18/2025 | | 200,522 | e | 193,985 | |
Lucid Energy Group II, First Lien Term Loan, 3 Month LIBOR +4.25% | | 5.00 | | 11/22/2028 | | 186,340 | e | 184,383 | |
Traverse Midstream Partners, Advance Term Loan, 3 Month SOFR +4.25% | | 5.25 | | 9/27/2024 | | 643,449 | e | 641,844 | |
WaterBridge Midstream Operating, Initial Term Loan, 3 Month LIBOR +5.75% | | 6.75 | | 6/21/2026 | | 342,653 | e | 334,729 | |
| | 1,873,373 | |
Environmental Control - .4% | | | | | |
Northstar Group Services, Term Loan B, 1 Month LIBOR +5.50% | | 6.50 | | 11/12/2026 | | 256,634 | e | 257,517 | |
Packers Holdings, Initial Term Loan, 6 Month LIBOR +3.25% | | 4.00 | | 3/9/2028 | | 158,483 | e | 157,691 | |
Waterlogic USA Holdings, Facility Term Loan B-2, 3 Month LIBOR +4.75% | | 4.97 | | 8/12/2028 | | 629,374 | e | 630,947 | |
| | 1,046,155 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Food Products - 1.7% | | | | | |
CJ Foods, Term Loan, 3 Month LIBOR +6.00% | | 7.00 | | 3/5/2027 | | 2,462,406 | e | 2,456,250 | |
Sovos Brands Intermediate, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 6/8/2028 | | 380,517 | e | 380,953 | |
ZF Invest, Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 7/1/2028 | | 1,000,000 | e | 1,142,644 | |
| | 3,979,847 | |
Food Service - .1% | | | | | |
TKC Holdings, Term Loan, 1 Month LIBOR +5.50% | | 6.50 | | 5/14/2028 | | 208,150 | e | 208,670 | |
Forest Products & Paper - .1% | | | | | |
SPA US HoldCo, USD Facility Term Loan B, 3 Month LIBOR +4.00% | | 4.75 | | 2/4/2028 | | 334,829 | e | 335,666 | |
Health Care - 7.5% | | | | | |
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 4/21/2024 | | 302,864 | e | 288,478 | |
Auris Luxembourg III, Facility Term Loan B-1, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 2/21/2026 | | 1,000,000 | e | 1,137,880 | |
Auris Luxembourg III, Facility Term Loan B-2, 1 Month LIBOR +3.75% | | 3.85 | | 2/21/2026 | | 352,639 | e | 350,546 | |
Baart Programs, Delayed Draw Term Loan, 3 Month LIBOR +5.00% | | 6.00 | | 6/11/2027 | | 1,000,000 | e,h | 995,000 | |
Baart Programs, Term Loan, 3 Month LIBOR +5.00% | | 6.00 | | 6/11/2027 | | 995,000 | e | 990,025 | |
Cerebro Bidco GmbH, Facility Term Loan B-1, 3 Month EURIBOR +4.25% | EUR | 4.25 | | 12/11/2027 | | 633,857 | e | 725,424 | |
Cerebro BidCo GmbH, Facility Term Loan B-2, 3 Month EURIBOR +4.25% | EUR | 4.25 | | 12/11/2027 | | 366,143 | e | 419,036 | |
eResearchTechnology, First Lien Initial Term Loan, 1 Month LIBOR +4.50% | | 5.50 | | 2/4/2027 | | 154,402 | e | 155,121 | |
Financiere Verdi I, Facility Term Loan B, 12 Month SONIA +4.50% | GBP | 4.69 | | 4/15/2028 | | 1,500,000 | e | 2,018,590 | |
Gainwell Acquisition, Term Loan B, 3 Month LIBOR +4.00% | | 4.75 | | 10/1/2027 | | 342,702 | e | 344,030 | |
Global Medical Response, 2017-2 New Term Loan, 6 Month LIBOR +4.25% | | 5.25 | | 3/14/2025 | | 105,066 | e | 104,822 | |
Global Medical Response, 2020 Term Loan, 6 Month LIBOR +4.25% | | 5.25 | | 10/2/2025 | | 178,200 | e | 177,710 | |
Hera, Facility Term Loan B, 3 Month EURIBOR +3.50% | EUR | 3.50 | | 9/20/2024 | | 2,000,000 | e | 2,273,801 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Health Care - 7.5% (continued) | | | | | |
Inovie , Term Loan, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 12/15/2028 | | 1,000,000 | e | 1,138,073 | |
Inula Natural Health Group, Senior Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 12/11/2025 | | 903,382 | e | 1,023,039 | |
IWH UK Midco, Facility Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 2/1/2025 | | 1,500,000 | e | 1,708,817 | |
MED ParentCo, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 4.34 | | 8/31/2026 | | 605,067 | e | 605,234 | |
One Call, First Lien Term Loan B, 3 Month LIBOR +5.50% | | 6.25 | | 4/22/2027 | | 796,000 | e | 799,733 | |
Pathway Vet Alliance, 2021 Replacement Term Loan, 1 Month LIBOR +3.75% | | 3.85 | | 3/31/2027 | | 172,348 | e | 172,024 | |
PetVet Care Centers, Second Lien Initial Term Loan, 1 Month LIBOR +6.25% | | 6.35 | | 2/15/2026 | | 301,948 | e | 303,648 | |
Pluto Acquisition I, 2021 First Lien Term Loan, 3 Month LIBOR +4.00% | | 4.18 | | 6/20/2026 | | 87,202 | e | 87,039 | |
Resonetics, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.01 | | 4/28/2028 | | 59,110 | e | 59,184 | |
Sharp Midco, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 4.50 | | 12/14/2028 | | 45,266 | e | 45,323 | |
Sirona BidCo, Facility Term Loan B, 3 Month EURIBOR +4.50% | EUR | 4.50 | | 12/17/2028 | | 1,000,000 | e | 1,138,927 | |
Surgery Center Holdings, 2021 New Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 8/31/2026 | | 440,391 | e | 440,805 | |
WCG Purchaser, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.00 | | 1/8/2027 | | 384,809 | e | 385,771 | |
| | 17,888,080 | |
Industrial - 3.5% | | | | | |
Brand Industrial Services, Initial Term Loan, 3 Month LIBOR +4.25% | | 5.25 | | 6/21/2024 | | 71,251 | e | 69,866 | |
Osmose Utilities Services, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | | 3.75 | | 6/22/2028 | | 233,375 | e | 232,383 | |
Polystorm Bidco, Delayed Draw Term Loan, 4 Month EURIBOR +1.00% | EUR | 1.00 | | 10/1/2028 | | 113,402 | e,h | 129,547 | |
Polystorm Bidco, Facility Term Loan B-1, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/1/2028 | | 886,598 | e | 1,012,819 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Industrial - 3.5% (continued) | | | | | |
Pro Mach Group, Delayed Draw Term Loan, 3 Month LIBOR +4.00% | | 5.00 | | 8/31/2028 | | 21,513 | e,h | 21,614 | |
Pro Mach Group, Initial Term Loan, 3 Month LIBOR +4.00% | | 5.00 | | 8/31/2028 | | 171,026 | e | 171,834 | |
Qualtek USA, Tranche Term Loan B, 3 Month LIBOR +6.25% | | 7.25 | | 7/18/2025 | | 4,877,506 | e | 4,822,634 | |
Radar Bidco, Initial Term Loan, 6 Month EURIBOR +10.00% | EUR | 10.00 | | 12/16/2024 | | 1,109,299 | e | 1,280,302 | |
Titan Acquisition, Initial Term Loan, 3 Month LIBOR +3.00% | | 3.35 | | 3/28/2025 | | 345,569 | e | 340,410 | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 5.00 | | 3/8/2025 | | 263,832 | e | 257,896 | |
| | 8,339,305 | |
Information Technology - 3.7% | | | | | |
Athenahealth, Additional Term Loan B-1, 3 Month LIBOR +4.25% | | 4.40 | | 2/11/2026 | | 130,378 | e | 130,557 | |
Boxer Parent, 2021 Replacement Dollar Term Loan, 3 Month LIBOR +3.75% | | 3.97 | | 10/2/2025 | | 651,211 | e | 647,955 | |
Boxer Parent, 2021 Replacement EURO Term Loan, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/2/2025 | | 992,263 | e | 1,131,809 | |
Camelia Bidco, Facility Term Loan B-1, 3 Month GBPLIBOR +4.75% | GBP | 5.01 | | 10/5/2024 | | 1,500,000 | e | 2,015,727 | |
Concorde Lux, Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 3/1/2028 | | 1,000,000 | e | 1,143,720 | |
CT Technologies, 2021 Reprice Term Loan, 1 Month LIBOR +4.25% | | 5.00 | | 12/16/2025 | | 152,494 | e | 152,780 | |
DCert Buyer, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 4.10 | | 10/16/2026 | | 428,280 | e | 428,012 | |
DCert Buyer, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% | | 7.10 | | 2/16/2029 | | 200,000 | e | 200,833 | |
ECL Entertainment, Term Loan B, 1 Month LIBOR +7.50% | | 8.25 | | 4/30/2028 | | 169,150 | e | 172,533 | |
EP Purchaser, Closing Date Term Loan, 3 Month LIBOR +3.50% | | 4.00 | | 11/4/2028 | | 320,000 | e | 320,520 | |
Finastra USA, First Lien Dollar Term Loan, 6 Month LIBOR +3.50% | | 4.50 | | 6/13/2024 | | 721,711 | e | 719,456 | |
Greeneden US Holdings II, Dollar Term Loan B-4, 1 Month LIBOR +4.00% | | 4.75 | | 12/1/2027 | | 175,630 | e | 176,454 | |
Ivanti Software, First Amendment Term Loan, 3 Month LIBOR +4.00% | | 4.75 | | 12/1/2027 | | 173,478 | e | 172,864 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Information Technology - 3.7% (continued) | | | | | |
Ivanti Software, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.25 | | 12/1/2027 | | 479,181 | e | 480,527 | |
MedAssets Software Intermediate Holdings, Term Loan, 6 Month LIBOR +4.00% | | 4.50 | | 12/17/2028 | | 207,215 | e | 207,538 | |
Mitchell International, Second Lien Initial Term Loan, 1 Month LIBOR +6.50% | | 7.00 | | 10/15/2029 | | 107,692 | e | 108,581 | |
Quest Software US Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 4.38 | | 5/18/2025 | | 360,834 | e | 360,971 | |
Thoughtworks, Initial Term Loan, 1 Month LIBOR +3.00% | | 3.50 | | 3/26/2028 | | 58,879 | e | 58,857 | |
TIBCO Software, Term Loan B-3, 1 Month LIBOR +3.75% | | 3.86 | | 7/3/2026 | | 254,288 | e | 252,699 | |
| | 8,882,393 | |
Insurance - 3.6% | | | | | |
Asurion, New Term Loan B-4, 1 Month LIBOR +5.25% | | 5.35 | | 1/15/2029 | | 71,243 | e | 71,043 | |
Asurion, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 5.35 | | 2/3/2028 | | 1,083,367 | e | 1,088,107 | |
BidCo SB, Term Loan, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 11/16/2028 | | 1,000,000 | e | 1,140,350 | |
Hestia Holding, Facility Term Loan B-1, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 6/1/2027 | | 1,000,000 | e | 1,142,843 | |
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | | 4.60 | | 2/28/2025 | | 573,208 | e | 572,136 | |
Sedgwick Claims Management Services, 2019 New Term Loan, 1 Month LIBOR +3.75% | | 3.85 | | 9/3/2026 | | 769,367 | e | 769,632 | |
Sedgwick Claims Management Services, 2020 Term Loan, 3 Month LIBOR +4.25% | | 5.25 | | 9/3/2026 | | 7,014 | e | 7,034 | |
Selectquote, Initial Term Loan, 6 Month LIBOR +5.00% | | 5.00 | | 11/5/2024 | | 3,823,529 | e,g | 3,842,647 | |
| | 8,633,792 | |
Internet Software & Services - 1.7% | | | | | |
Endure Digital, Initial Term Loan, 6 Month LIBOR +3.50% | | 4.25 | | 2/10/2028 | | 407,950 | e | 405,082 | |
ION Trading Finance, Initial Dollar Term Loan, 3 Month LIBOR +4.75% | | 4.97 | | 4/1/2028 | | 129,350 | e | 129,853 | |
ION Trading Finance, Initial Euro Term Loan, 3 Month EURIBOR +4.25% | EUR | 4.25 | | 4/1/2028 | | 1,990,000 | e | 2,273,239 | |
Proofpoint, Initial Term Loan, 3 Month LIBOR +3.25% | | 3.75 | | 8/31/2028 | | 488,687 | e | 487,428 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Internet Software & Services - 1.7% (continued) | | | | | |
Trader, Senior Secured First Lien Term Loan, 1 Month LIBOR +3.00% | | 4.00 | | 9/28/2023 | | 170,000 | e | 170,000 | |
WeddingWire, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | | 4.63 | | 12/21/2025 | | 731,156 | e | 733,287 | |
| | 4,198,889 | |
Materials - 1.2% | | | | | |
Ball Metalpack Finco, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | | 4.68 | | 7/31/2025 | | 256,048 | e | 256,688 | |
Berlin Packaging, Tranche Term Loan B-5, 1-3 Month LIBOR +3.75% | | 4.25 | | 3/11/2028 | | 208,508 | e | 208,534 | |
Charter Nex US, 2021 Refinancing Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 12/1/2027 | | 78,971 | e | 79,237 | |
IFCO Management GmbH, Facility Term Loan B-1A, 6 Month EURIBOR +3.25% | EUR | 3.25 | | 5/31/2026 | | 1,000,000 | e | 1,134,669 | |
MAR Bidco, USD Facility Term Loan B, 3 Month LIBOR +4.25% | | 4.75 | | 6/28/2028 | | 102,590 | e | 102,761 | |
Mauser Packaging Solutions, Initial Term Loan, 1 Month LIBOR +3.25% | | 3.35 | | 4/3/2024 | | 111,253 | e | 109,991 | |
Proampac PG Borrower, 2020-1 Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 11/3/2025 | | 335,904 | e | 336,692 | |
Tecostar Holdings, 2017 First Lien Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 5/1/2024 | | 225,952 | e | 215,666 | |
Tosca Services, 2021 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 4.25 | | 8/18/2027 | | 157,734 | e | 157,636 | |
Valcour Packaging, Second Lien Initial Term Loan, 3 Month LIBOR +7.00% | | 7.50 | | 9/30/2029 | | 240,000 | e | 240,000 | |
| | 2,841,874 | |
Media - 1.3% | | | | | |
Banijay Group US Holding, USD Facility Term Loan B, 1 Month LIBOR +3.75% | | 3.84 | | 3/1/2025 | | 210,672 | e | 210,145 | |
DIRECTV Financing, Closing Date Term Loan, 3 Month LIBOR +5.00% | | 5.75 | | 8/2/2027 | | 755,836 | e | 757,507 | |
NEP Europe Finco, Initial Euro Term Loan, 3 Month EURIBOR +3.50% | EUR | 3.50 | | 10/20/2025 | | 1,949,749 | e | 2,190,654 | |
| | 3,158,306 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Metals & Mining - .0% | | | | | |
American Rock Salt, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 4.75 | | 6/11/2028 | | 98,047 | e | 97,925 | |
Retailing - .9% | | | | | |
Academy, Refinancing Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 11/6/2027 | | 253,722 | e | 254,713 | |
Great Outdoors Group, Term Loan B-2, 3 Month LIBOR +3.75% | | 4.50 | | 3/5/2028 | | 591,465 | e | 592,881 | |
LBM Acquisition, Amendment No. 1 Delayed Draw Term Loan, 1 Month LIBOR +3.75% | | 4.50 | | 12/18/2027 | | 132,701 | e,h | 131,717 | |
LBM Acquisition, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 12/18/2027 | | 264,074 | e | 262,114 | |
Park River Holdings, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.00 | | 12/28/2027 | | 202,159 | e | 200,580 | |
PetSmart, Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 2/12/2028 | | 125,286 | e | 125,639 | |
Staples, 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | | 5.13 | | 4/12/2026 | | 194,480 | e | 188,381 | |
Woof Holdings, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 12/21/2027 | | 358,516 | e | 359,301 | |
| | 2,115,326 | |
Semiconductors & Semiconductor Equipment - .5% | | | | | |
Bright Bidco, 2018 Refinancing Term Loan B, 3-6 Month LIBOR +3.50% | | 4.50 | | 6/30/2024 | | 406,810 | e | 315,257 | |
Natel Engineering, Initial Term Loan, 1-6 Month LIBOR +6.25% | | 7.25 | | 4/30/2026 | | 670,360 | e | 657,372 | |
Ultra Clean Holdings, Second Amendment Term Loan B, 3 Month LIBOR +3.75% | | 3.84 | | 8/27/2025 | | 239,028 | e | 239,626 | |
| | 1,212,255 | |
Technology Hardware & Equipment - .6% | | | | | |
Access CIG, First Lien Term Loan B, 3 Month LIBOR +3.75% | | 3.84 | | 2/27/2025 | | 171,426 | e | 170,584 | |
Atlas CC Acquisition, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.00 | | 5/25/2028 | | 723,840 | e | 726,384 | |
Atlas CC Acquisition, First Lien Term Loan C, 3 Month LIBOR +4.25% | | 5.00 | | 5/25/2028 | | 147,222 | e | 147,739 | |
Marnix SAS, Additional Term Loan B, 3 Month LIBOR +4.00% | | 4.50 | | 8/2/2028 | | 93,090 | e | 92,974 | |
VeriFone Systems, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.18 | | 8/20/2025 | | 201,082 | e | 197,915 | |
| | 1,335,596 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 45.7% (continued) | | | | | |
Telecommunication Services - .6% | | | | | |
CCI Buyer, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 12/17/2027 | | 449,042 | e | 450,084 | |
Connect Finco, Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 4.50 | | 12/12/2026 | | 261,868 | e | 262,218 | |
Crown Subsea Communications, Initial Term Loan, 1 Month LIBOR +4.75% | | 5.50 | | 4/27/2027 | | 270,264 | e | 272,403 | |
Cyxtera DC Holdings, First Lien Initial Term Loan, 6 Month LIBOR +3.00% | | 4.00 | | 5/1/2024 | | 161,996 | e | 160,651 | |
West, Initial Term Loan B, 3 Month LIBOR +4.00% | | 5.00 | | 10/10/2024 | | 423,009 | e | 402,594 | |
| | 1,547,950 | |
Transportation - .2% | | | | | |
First Student Bidco, Initial Term Loan B, 3 Month LIBOR +3.00% | | 3.50 | | 7/21/2028 | | 150,534 | e | 150,095 | |
First Student Bidco, Initial Term Loan C, 3 Month LIBOR +3.00% | | 3.50 | | 7/21/2028 | | 55,566 | e | 55,404 | |
OLA Netherlands, Term Loan, 3 Month Term SOFR +6.25% | | 7.00 | | 12/3/2026 | | 148,729 | e | 150,217 | |
Worldwide Express, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 5.00 | | 7/26/2028 | | 95,057 | e | 95,433 | |
| | 451,149 | |
Utilities - .1% | | | | | |
Eastern Power, Term Loan B, 3 Month LIBOR +3.75% | | 4.75 | | 10/2/2025 | | 299,983 | e | 234,582 | |
Total Floating Rate Loan Interests
(cost $109,352,999) | | 109,598,376 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .4% | | | | | |
Information Technology - .4% | | | | | |
Skillsoft | | | | | | 104,668 | i | 957,712 | |
Media - .0% | | | | | |
Altice USA, Cl. A | | | | | | 2,500 | i | 40,450 | |
Total Common Stocks
(cost $1,158,018) | | 998,162 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 2.2% | | | | | |
Registered Investment Companies - 2.2% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $5,366,737) | | 0.07 | | | | 5,366,737 | j | 5,366,737 | |
Total Investments (cost $332,895,795) | | 142.0% | 341,006,276 | |
| | | | | |
Liabilities, Less Cash and Receivables | | (42.0%) | (100,933,809) | |
Net Assets | | 100.0% | 240,072,467 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
SOFR—Secured Overnight Financing 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 December 31, 2021, these securities were valued at $212,775,749 or 88.63% of net assets.
d Payment-in-kind security and interest may be paid in additional par.
e 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.
f 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.
g The fund held Level 3 securities at December 31, 2021. These securities were valued at $7,483,705 or 3.12% of net assets.
h Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
i Non-income producing security.
j Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
December 31, 2021 (Unaudited)
The following is a summary of the inputs used as of December 31, 2021 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 127,790,023 | | - | 127,790,023 | |
Corporate Bonds | - | 97,252,978 | | - | 97,252,978 | |
Equity Securities - Common Stocks | 998,162 | - | | - | 998,162 | |
Floating Rate Loan Interests | - | 102,114,671 | | 7,483,705 | 109,598,376 | |
Investment Companies | 5,366,737 | - | | - | 5,366,737 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (1,108,665) | | - | (1,108,665) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchange-traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
December 31, 2021 (Unaudited)
| | | | | | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized (Depreciation) ($) |
Goldman Sachs |
United States Dollar | 4,848,004 | British Pound | 3,635,000 | 1/31/2022 | (71,790) |
United States Dollar | 5,049,964 | British Pound | 3,820,000 | 1/24/2022 | (120,307) |
United States Dollar | 16,187,919 | Euro | 14,315,000 | 1/31/2022 | (119,829) |
United States Dollar | 98,955,210 | Euro | 87,575,000 | 1/24/2022 | (796,739) |
Gross Unrealized Depreciation | | | (1,108,665) |
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 December 31, 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 December 31, 2021, accumulated net unrealized appreciation on investments was $8,110,481, consisting of $11,323,440 gross unrealized appreciation and $3,212,959 gross unrealized depreciation.
At December 31, 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.
