STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% | | | | | |
Advertising - .7% | | | | | |
Advantage Sales & Marketing, Sr. Scd. Notes | | 6.50 | | 11/15/2028 | | 282,000 | c | 242,294 | |
Clear Channel Outdoor Holdings, Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 415,000 | c | 351,495 | |
CMG Media, Gtd. Notes | | 8.88 | | 12/15/2027 | | 586,000 | c | 464,554 | |
Outfront Media Capital, Gtd. Notes | | 6.25 | | 6/15/2025 | | 230,000 | c | 218,585 | |
| | 1,276,928 | |
Aerospace & Defense - .4% | | | | | |
Bombardier, Sr. Unscd. Notes | | 7.50 | | 12/1/2024 | | 200,000 | c | 188,270 | |
TransDigm, Gtd. Notes | | 4.88 | | 5/1/2029 | | 157,000 | | 128,076 | |
TransDigm, Sr. Scd. Notes | | 6.25 | | 3/15/2026 | | 410,000 | c | 396,482 | |
| | 712,828 | |
Airlines - .2% | | | | | |
Air Canada, Sr. Scd. Notes | | 3.88 | | 8/15/2026 | | 270,000 | c | 228,945 | |
Hawaiian Brand Intellectual Property, Sr. Scd. Notes | | 5.75 | | 1/20/2026 | | 250,000 | c | 224,669 | |
| | 453,614 | |
Automobiles & Components - .8% | | | | | |
Dealer Tire, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 685,000 | c | 592,669 | |
IHO Verwaltungs, Sr. Scd. Bonds | | 6.00 | | 5/15/2027 | | 200,000 | c,d | 178,336 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | EUR | 3.88 | | 5/15/2027 | | 410,000 | c,d | 336,106 | |
Standard Profil Automotive, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 490,000 | c | 315,417 | |
| | 1,422,528 | |
Building Materials - .3% | | | | | |
CP Atlas Buyer, Sr. Unscd. Notes | | 7.00 | | 12/1/2028 | | 429,000 | c | 310,420 | |
Eco Material Technologies, Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 387,000 | c | 344,450 | |
| | 654,870 | |
Chemicals - 1.2% | | | | | |
Consolidated Energy Finance, Gtd. Notes | | 5.63 | | 10/15/2028 | | 344,000 | c | 277,208 | |
Consolidated Energy Finance, Gtd. Notes | | 6.50 | | 5/15/2026 | | 445,000 | c | 410,627 | |
Herens Midco, Gtd. Notes | EUR | 5.25 | | 5/15/2029 | | 890,000 | c | 616,623 | |
Iris Holdings, Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 311,000 | c,d | 249,284 | |
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% | EUR | 4.75 | | 9/30/2024 | | 240,000 | c,e | 228,426 | |
Olympus Water US Holding, Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 380,000 | c | 264,575 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Chemicals - 1.2% (continued) | | | | | |
Polar US Borrower, Sr. Unscd. Notes | | 6.75 | | 5/15/2026 | | 261,000 | c | 182,649 | |
| | 2,229,392 | |
Collateralized Loan Obligations Debt - 56.1% | | | | | |
Adagio VIII CLO, Ser. 8A, Cl. E, 3 Month EURIBOR +6.03% | EUR | 6.03 | | 4/15/2032 | | 3,000,000 | c,e | 2,514,762 | |
Barings CLO, Ser. 2019-4A, CI. E, 3 Month LIBOR +7.39% | | 8.43 | | 1/15/2033 | | 3,000,000 | c,e | 2,855,700 | |
Barings Euro CLO, Ser. 2015-1A, CI. ERR, 3 Month EURIBOR +6.86% | EUR | 6.86 | | 7/25/2035 | | 1,500,000 | c,e | 1,242,335 | |
Barings Euro CLO, Ser. 2018-3A, Cl. E, 3 Month EURIBOR +5.79% | EUR | 5.79 | | 7/27/2031 | | 2,150,000 | c,e | 1,782,104 | |
Barings Euro CLO, Ser. 2019-1A, CI. ER, 3 Month EURIBOR +7.21% | EUR | 7.21 | | 4/15/2036 | | 1,500,000 | c,e | 1,272,330 | |
Birch Grove 2 CLO, Ser. 2021-2A, Cl. E, 3 Month LIBOR +6.95% | | 7.99 | | 10/19/2034 | | 1,250,000 | c,e | 1,089,216 | |
Birch Grove 3 CLO, Ser. 2021-3A, Cl. E, 1 Month LIBOR +6.98% | | 7.18 | | 1/19/2035 | | 2,000,000 | c,e | 1,747,062 | |
BlueMountain CLO, Ser. 2016-2A, CI. DR, 3 Month LIBOR +7.79% | | 9.27 | | 8/20/2032 | | 2,250,000 | c,e | 2,084,614 | |
Cairn VI CLO, Ser. 2016-6A, CL. FR, 3 Month EURIBOR +8.25% | EUR | 8.25 | | 7/25/2029 | | 2,700,000 | c,e | 2,389,773 | |
Capital Four CLO, Ser. 1A, CI. E, 3 Month EURIBOR +6.47% | EUR | 6.47 | | 1/15/2033 | | 1,000,000 | c,e | 854,480 | |
Carlyle Euro CLO, Ser. 2017-1A, Cl. DR, 3 Month EURIBOR +6.47% | EUR | 6.47 | | 7/15/2034 | | 1,000,000 | c,e | 831,492 | |
Carlyle Euro CLO, Ser. 2019-1A, CI. D, 3 Month EURIBOR +6.12% | EUR | 6.12 | | 3/15/2032 | | 4,200,000 | c,e | 3,545,416 | |
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 | 1,716,170 | |
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 | 765,707 | |
Carlyle Global Market Strategies Euro CLO, Ser. 2016-2, Cl. DRR, 3 Month EURIBOR +6.14% | EUR | 6.14 | | 4/15/2034 | | 1,500,000 | c,e | 1,220,108 | |
Cathedral Lake VIII CLO, Ser. 2021-8A, Cl. E, 3 Month LIBOR +7.49% | | 8.55 | | 1/20/2035 | | 1,000,000 | c,e | 879,773 | |
Contego VII CLO, Ser. 7A, Cl. F, 3 Month EURIBOR +8.76% | EUR | 8.76 | | 5/14/2032 | | 3,500,000 | c,e | 2,810,366 | |
Crown Point 8 CLO, Ser. 2019-8A, Cl. ER, 3 Month LIBOR +7.13% | | 8.19 | | 10/20/2034 | | 3,000,000 | c,e | 2,731,524 | |
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 | 2,553,844 | |
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 | 1,564,197 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Collateralized Loan Obligations Debt - 56.1% (continued) | | | | | |
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 | 1,657,773 | |
Dryden 69 Euro CLO, Ser. 2019-69A, Cl. ER, 3 Month EURIBOR +6.37% | EUR | 6.37 | | 10/18/2034 | | 2,600,000 | c,e | 2,079,555 | |
Dryden 89 Euro CLO, Ser. 2020-89A, Cl. E, 3 Month EURIBOR +6.16% | EUR | 6.16 | | 10/18/2034 | | 1,000,000 | c,e | 804,803 | |
Dryden Euro CLO, Ser. 2020-88A, Cl. E, 3 Month EURIBOR +6.01% | EUR | 6.01 | | 7/20/2034 | | 1,000,000 | c,e | 792,746 | |
Elevation CLO, Ser. 2013-1A, Cl. D1R2, 3 Month LIBOR +7.65% | | 9.06 | | 8/15/2032 | | 2,500,000 | c,e | 2,290,320 | |
Elm Park CLO, Ser. 1A, CI. DRR, 3 Month EURIBOR +6.16% | EUR | 6.16 | | 4/15/2034 | | 1,167,000 | c,e | 933,523 | |
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 | 799,427 | |
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 | 777,282 | |
Franklin Park Place I CLO, Ser. 2022-1A, Cl. E, 3 Month TSFR +7.50% | | 8.27 | | 4/14/2035 | | 1,300,000 | c,e | 1,088,612 | |
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 | 1,238,435 | |
Greywolf II CLO, Ser. 2013-1A, Cl. DRR, 3 Month LIBOR +7.05% | | 8.09 | | 4/15/2034 | | 2,000,000 | c,e | 1,802,272 | |
ICG Euro CLO, Ser. 2021-1A, Cl. E, 3 Month EURIBOR +6.46% | EUR | 6.46 | | 10/15/2034 | | 1,000,000 | c,e | 857,589 | |
KKR 24 CLO, Ser. 24, CI. E, 3 Month LIBOR +6.38% | | 7.44 | | 4/20/2032 | | 2,690,000 | c,e | 2,461,614 | |
KKR 27 CLO, Ser. 27A, CI. ER, 3 Month TSFR +6.50% | | 7.35 | | 10/15/2032 | | 3,000,000 | c,e | 2,719,201 | |
MidOcean Credit X CLO, Ser. 2019-10A, Cl. ER, 3 Month LIBOR +7.16% | | 8.34 | | 10/23/2034 | | 4,000,000 | c,e | 3,439,364 | |
Northwoods Capital 20 CLO, Ser. 2019-20A, Cl. ER, 3 Month LIBOR +7.85% | | 9.03 | | 1/25/2032 | | 2,437,500 | c,e | 2,254,290 | |
Northwoods Capital 22 CLO, Ser. 2020-22A, Cl. ER, 3 Month TSFR +8.19% | | 9.62 | | 9/1/2031 | | 1,100,000 | c,e | 1,067,854 | |
Northwoods Capital 25 CLO, Ser. 2021-25A, CI. E, 3 Month LIBOR +7.14% | | 8.20 | | 7/20/2034 | | 3,000,000 | c,e | 2,522,853 | |
Northwoods Capital 27 CLO, Ser. 2021-27A, Cl. E, 3 Month LIBOR +7.04% | | 8.08 | | 10/17/2034 | | 1,150,000 | c,e | 988,231 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Collateralized Loan Obligations Debt - 56.1% (continued) | | | | | |
Octagon Investment Partners 20-R CLO, Ser. 2019-4A, Cl. E, 3 Month LIBOR +6.80% | | 8.20 | | 5/12/2031 | | 4,000,000 | c,e | 3,580,360 | |
Purple Finance 2 CLO, Ser. 2A, Cl. E, 3 Month EURIBOR +6.40% | EUR | 6.40 | | 4/20/2032 | | 2,600,000 | c,e | 2,180,504 | |
Purple Finance 2 CLO, Ser. 2A, Cl. F, 3 Month EURIBOR +8.84% | EUR | 8.84 | | 4/20/2032 | | 2,300,000 | c,e | 1,867,214 | |
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 | 1,696,855 | |
Sound Point XXIII CLO, Ser. 2019-2A, Cl. ER, 3 Month LIBOR +6.47% | | 7.51 | | 7/15/2034 | | 4,750,000 | c,e | 4,135,820 | |
Toro European 2 CLO, Ser. 2A, Cl. ERR, 3 Month EURIBOR +6.47% | EUR | 6.47 | | 7/25/2034 | | 2,000,000 | c,e | 1,650,393 | |
Toro European 3 CLO, Ser. 3A, Cl. ERR, 3 Month EURIBOR +6.30% | EUR | 6.30 | | 7/15/2034 | | 2,000,000 | c,e | 1,605,885 | |
Toro European 6 CLO, Ser. 6A, Cl. E, 3 Month EURIBOR +6.49% | EUR | 6.49 | | 1/12/2032 | | 1,385,000 | c,e | 1,180,846 | |
Toro European 6 CLO, Ser. 6A, Cl. F, 3 Month EURIBOR +8.49% | EUR | 8.49 | | 1/12/2032 | | 2,745,000 | c,e | 2,185,264 | |
Trimaran CAVU CLO, Ser. 2019-1A, CI. E, 3 Month LIBOR +7.04% | | 8.10 | | 7/20/2032 | | 2,100,000 | c,e | 1,863,248 | |
Trimaran CAVU CLO, Ser. 2019-2A, Cl. D, 3 Month LIBOR +6.95% | | 7.99 | | 11/26/2032 | | 1,750,000 | c,e | 1,541,269 | |
Trimaran CAVU CLO, Ser. 2021-2A, CI. E, 3 Month LIBOR +7.20% | | 8.38 | | 10/25/2034 | | 2,000,000 | c,e | 1,737,374 | |
Trimaran CAVU CLO, Ser. 2021-3A, Cl. E, 3 Month LIBOR +7.37% | | 8.41 | | 1/18/2035 | | 2,000,000 | c,e | 1,805,440 | |
Trinitas XI CLO, Ser. 2019-11A, CI. ER, 3 Month LIBOR +7.27% | | 8.31 | | 7/15/2034 | | 2,000,000 | c,e | 1,732,672 | |
Venture 39 CLO, Ser. 2021-39A, Cl. E, 3 Month LIBOR +7.63% | | 8.67 | | 4/15/2033 | | 2,350,000 | c,e | 1,988,206 | |
Venture 41 CLO, Ser. 2021-41A, Cl. E, 3 Month LIBOR +7.71% | | 8.77 | | 1/20/2034 | | 2,000,000 | c,e | 1,761,766 | |
Wellfleet CLO, Ser. 2021-3A, Cl. E, 3 Month LIBOR +7.1% | | 8.14 | | 1/15/2035 | | 1,000,000 | c,e | 875,236 | |
Wellfleet X CLO, Ser. 2019-XA, Cl. DR, 3 Month LIBOR +6.61% | | 7.67 | | 7/20/2032 | | 4,000,000 | c,e | 3,521,044 | |
| | 103,936,113 | |
Collateralized Loan Obligations Equity - 3.7% | | | | | |
Blackrock European VIII CLO, Ser. 8A, Cl. SUB | EUR | 10.29 | | 7/20/2032 | | 1,425,000 | c,f | 738,702 | |
BlueMountain Fuji III CLO, Ser. 3A, CI. SUB | EUR | 14.39 | | 1/15/2031 | | 3,000,000 | c,f | 1,149,998 | |
Madison Park Funding X CLO, Ser. 2012-10A, Cl. SUB | | 0.00 | | 1/20/2029 | | 5,000,000 | c,f | 165,250 | |
Providus II CLO, Ser. 2A, Cl. SUB | EUR | 16.70 | | 7/15/2031 | | 1,000,000 | c,f | 431,868 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Collateralized Loan Obligations Equity - 3.7% (continued) | | | | | |
Wind River CLO, Ser. 2016-1A, CI. SUB | | 9.63 | | 1/15/2029 | | 11,350,000 | c,f | 4,398,863 | |
| | 6,884,681 | |
Commercial & Professional Services - 3.0% | | | | | |
Albion Financing 1 Sarl/Aggreko Holdings, Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 410,000 | c | 360,127 | |
Allied Universal Holdco, Sr. Scd. Notes | | 6.63 | | 7/15/2026 | | 240,000 | c | 220,697 | |
APX Group, Gtd. Notes | | 5.75 | | 7/15/2029 | | 512,000 | c | 397,259 | |
BCP V Modular Services Finance II, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 370,000 | c | 309,263 | |
Castor, Sr. Scd. Bonds, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 2/15/2029 | | 380,000 | c,e | 368,853 | |
HealthEquity, Gtd. Notes | | 4.50 | | 10/1/2029 | | 331,000 | c | 290,039 | |
Kapla Holding, Sr. Scd. Bonds | EUR | 3.38 | | 12/15/2026 | | 260,000 | c | 215,546 | |
La Financiere Atalian, Gtd. Bonds | EUR | 4.00 | | 5/15/2024 | | 330,000 | c | 269,033 | |
La Financiere Atalian, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 640,000 | c | 517,101 | |
La Financiere Atalian, Gtd. Notes | GBP | 6.63 | | 5/15/2025 | | 600,000 | | 561,428 | |
PECF USS Intermediate Holding III, Sr. Unscd. Notes | | 8.00 | | 11/15/2029 | | 297,000 | c | 235,788 | |
Prime Security Services Borrower, Scd. Notes | | 6.25 | | 1/15/2028 | | 525,000 | c | 440,620 | |
Prime Security Services Borrower, Sr. Scd. Notes | | 5.75 | | 4/15/2026 | | 430,000 | c | 401,839 | |
The Hertz, Gtd. Notes | | 4.63 | | 12/1/2026 | | 392,000 | c | 328,198 | |
The Hertz, Gtd. Notes | | 5.00 | | 12/1/2029 | | 70,000 | c | 54,089 | |
Verisure Midholding, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 665,000 | c | 533,021 | |
| | 5,502,901 | |
Consumer Discretionary - 3.3% | | | | | |
Allen Media, Gtd. Notes | | 10.50 | | 2/15/2028 | | 405,000 | c | 209,664 | |
Ashton Woods Finance, Sr. Unscd. Notes | | 6.63 | | 1/15/2028 | | 435,000 | c | 370,305 | |
Banijay Entertainment, Sr. Scd. Bonds | EUR | 3.50 | | 3/1/2025 | | 160,000 | c | 150,144 | |
Banijay Group, Sr. Unscd. Notes | EUR | 6.50 | | 3/1/2026 | | 400,000 | c | 351,920 | |
Caesars Entertainment, Sr. Unscd. Notes | | 4.63 | | 10/15/2029 | | 247,000 | c | 192,711 | |
Caesars Entertainment, Sr. Unscd. Notes | | 8.13 | | 7/1/2027 | | 465,000 | c | 450,271 | |
Carnival, Gtd. Bonds | EUR | 7.63 | | 3/1/2026 | | 365,000 | c | 301,097 | |
Carnival, Sr. Unscd. Notes | | 7.63 | | 3/1/2026 | | 565,000 | c | 438,934 | |
CCM Merger, Sr. Unscd. Notes | | 6.38 | | 5/1/2026 | | 180,000 | c | 164,125 | |
CDI Escrow Issuer, Sr. Unscd. Notes | | 5.75 | | 4/1/2030 | | 180,000 | c | 164,180 | |
Everi Holdings, Gtd. Notes | | 5.00 | | 7/15/2029 | | 120,000 | c | 101,561 | |
Las Vegas Sands, Sr. Unscd. Notes | | 3.20 | | 8/8/2024 | | 162,000 | | 153,199 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Consumer Discretionary - 3.3% (continued) | | | | | |
Melco Resorts Finance, Sr. Unscd. Notes | | 4.88 | | 6/6/2025 | | 240,000 | c | 179,702 | |
NCL, Gtd. Notes | | 5.88 | | 3/15/2026 | | 375,000 | c | 295,434 | |
NCL, Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 408,000 | c | 349,607 | |
NCL Finance, Gtd. Notes | | 6.13 | | 3/15/2028 | | 168,000 | c | 122,453 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.38 | | 7/15/2027 | | 310,000 | c | 226,086 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 4/1/2028 | | 330,000 | c | 230,127 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 350,000 | c | 260,890 | |
Scientific Games Holdings, Sr. Unscd. Notes | | 6.63 | | 3/1/2030 | | 404,000 | c | 344,034 | |
Scientific Games International, Gtd. Notes | | 7.25 | | 11/15/2029 | | 237,000 | c | 222,588 | |
Tempur Sealy International, Gtd. Notes | | 3.88 | | 10/15/2031 | | 260,000 | c | 195,590 | |
TUI Cruises, Sr. Unscd. Notes | EUR | 6.50 | | 5/15/2026 | | 486,000 | c | 359,930 | |
Wynn Las Vegas, Gtd. Notes | | 5.50 | | 3/1/2025 | | 330,000 | c | 302,603 | |
| | 6,137,155 | |
Consumer Staples - .3% | | | | | |
Kronos Acquisition Holdings, Sr. Scd. Notes | | 5.00 | | 12/31/2026 | | 620,000 | c | 530,878 | |
Newell Brands, Sr. Unscd. Notes | | 4.45 | | 4/1/2026 | | 23,000 | | 21,978 | |
| | 552,856 | |
Diversified Financials - 1.8% | | | | | |
Compass Group Diversified Holdings, Gtd. Notes | | 5.25 | | 4/15/2029 | | 261,000 | c | 215,887 | |
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 455,000 | c | 497,344 | |
Icahn Enterprises, Gtd. Notes | | 6.25 | | 5/15/2026 | | 205,000 | | 192,329 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.50 | | 8/15/2028 | | 360,000 | c | 289,308 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 6.00 | | 1/15/2027 | | 235,000 | c | 204,154 | |
Navient, Sr. Unscd. Notes | | 5.00 | | 3/15/2027 | | 480,000 | | 395,508 | |
Navient, Sr. Unscd. Notes | | 5.50 | | 3/15/2029 | | 453,000 | | 349,963 | |
OneMain Finance, Gtd. Notes | | 6.13 | | 3/15/2024 | | 130,000 | | 124,469 | |
OneMain Finance, Gtd. Notes | | 6.63 | | 1/15/2028 | | 260,000 | | 232,842 | |
PennyMac Financial Services, Gtd. Notes | | 5.38 | | 10/15/2025 | | 230,000 | c | 200,789 | |
PennyMac Financial Services, Gtd. Notes | | 5.75 | | 9/15/2031 | | 862,000 | c | 644,482 | |
| | 3,347,075 | |
Electronic Components - .2% | | | | | |
Energizer Gamma Acquisition, Gtd. Bonds | EUR | 3.50 | | 6/30/2029 | | 260,000 | c | 195,078 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Electronic Components - .2% (continued) | | | | | |
TTM Technologies, Gtd. Notes | | 4.00 | | 3/1/2029 | | 300,000 | c | 252,863 | |
| | 447,941 | |
Energy - 4.3% | | | | | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 1/15/2028 | | 320,000 | c | 291,899 | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 3/1/2027 | | 545,000 | c | 507,766 | |
Antero Midstream Partners, Gtd. Notes | | 7.88 | | 5/15/2026 | | 200,000 | c | 200,139 | |
Antero Resources, Gtd. Notes | | 5.38 | | 3/1/2030 | | 160,000 | c | 146,144 | |
Antero Resources, Gtd. Notes | | 7.63 | | 2/1/2029 | | 274,000 | c | 279,195 | |
Archrock Partners, Gtd. Notes | | 6.25 | | 4/1/2028 | | 779,000 | c | 690,864 | |
Blue Racer Midstream/Blue Racer Finance, Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 960,000 | c | 865,924 | |
Blue Racer Midstream/Blue Racer Finance, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 185,000 | c | 175,184 | |
Colgate Energy Partners III, Sr. Unscd. Notes | | 5.88 | | 7/1/2029 | | 310,000 | c | 272,061 | |
CQP Holdco, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 500,000 | c | 427,260 | |
Crestwood Midstream Partners, Gtd. Notes | | 5.63 | | 5/1/2027 | | 25,000 | c | 22,292 | |
Crestwood Midstream Partners, Gtd. Notes | | 6.00 | | 2/1/2029 | | 715,000 | c | 625,157 | |
CrownRock, Sr. Unscd. Notes | | 5.00 | | 5/1/2029 | | 186,000 | c | 167,100 | |
CrownRock, Sr. Unscd. Notes | | 5.63 | | 10/15/2025 | | 62,000 | c | 58,448 | |
CVR Energy, Gtd. Bonds | | 5.25 | | 2/15/2025 | | 349,000 | c | 321,368 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 396,000 | | 342,641 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 6.50 | | 7/1/2027 | | 205,000 | c | 190,974 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 7.50 | | 6/1/2027 | | 64,000 | c | 61,862 | |
Genesis Energy, Gtd. Notes | | 6.25 | | 5/15/2026 | | 250,000 | | 223,720 | |
Genesis Energy, Gtd. Notes | | 6.50 | | 10/1/2025 | | 318,000 | | 293,784 | |
Matador Resources, Gtd. Notes | | 5.88 | | 9/15/2026 | | 279,000 | | 268,716 | |
Rockcliff Energy II, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 655,000 | c | 596,970 | |
Southwestern Energy, Gtd. Notes | | 5.38 | | 3/15/2030 | | 110,000 | | 101,423 | |
Southwestern Energy, Gtd. Notes | | 8.38 | | 9/15/2028 | | 155,000 | | 163,602 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 9/1/2027 | | 460,000 | | 408,892 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 4/1/2026 | | 210,000 | | 191,301 | |
| | 7,894,686 | |
Environmental Control - .4% | | | | | |
Harsco, Gtd. Notes | | 5.75 | | 7/31/2027 | | 500,000 | c | 400,725 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Environmental Control - .4% (continued) | | | | | |
Waste Pro USA, Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 340,000 | c | 302,483 | |
| | 703,208 | |
Food Products - .1% | | | | | |
Post Holdings, Gtd. Notes | | 4.63 | | 4/15/2030 | | 250,000 | c | 211,365 | |
Health Care - 2.4% | | | | | |
CHEPLAPHARM Arzneimittel, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 260,000 | c | 217,554 | |
Chrome Bidco, Sr. Scd. Bonds | EUR | 3.50 | | 5/31/2028 | | 420,000 | c | 362,209 | |
Cidron Aida Finco, Sr. Scd. Bonds | EUR | 5.00 | | 4/1/2028 | | 760,000 | c | 665,778 | |
Cidron Aida Finco, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 480,000 | c | 480,590 | |
Community Health Systems, Scd. Notes | | 6.13 | | 4/1/2030 | | 431,000 | c | 264,005 | |
Community Health Systems, Scd. Notes | | 6.88 | | 4/15/2029 | | 272,000 | c | 176,232 | |
Community Health Systems, Sr. Scd. Notes | | 4.75 | | 2/15/2031 | | 230,000 | c | 169,021 | |
Medline Borrower, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 471,000 | c | 388,302 | |
Nidda Healthcare Holding GmbH, Sr. Scd. Notes | EUR | 3.50 | | 9/30/2024 | | 630,000 | c | 586,267 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 387,000 | c | 335,324 | |
Prime Healthcare Services, Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 516,000 | c | 441,980 | |
Tenet Healthcare, Gtd. Notes | | 6.13 | | 10/1/2028 | | 520,000 | c | 446,612 | |
| | 4,533,874 | |
Industrial - 1.2% | | | | | |
Husky III Holding, Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 595,000 | c,d | 580,063 | |
Norican A/S, Sr. Scd. Bonds | EUR | 4.50 | | 5/15/2023 | | 315,000 | | 291,135 | |
Promontoria Holding 264, Sr. Scd. Bonds | EUR | 6.38 | | 3/1/2027 | | 323,000 | c | 283,635 | |
Titan Acquisition, Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 1,092,000 | c | 1,005,273 | |
| | 2,160,106 | |
Information Technology - .2% | | | | | |
Minerva Merger Sub, Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 409,000 | c | 341,329 | |
Insurance - .7% | | | | | |
AmWINS Group, Sr. Unscd. Notes | | 4.88 | | 6/30/2029 | | 300,000 | c | 246,055 | |
AssuredPartners, Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 165,000 | c | 132,315 | |
GTCR AP Finance, Sr. Unscd. Notes | | 8.00 | | 5/15/2027 | | 985,000 | c | 923,379 | |
| | 1,301,749 | |
Internet Software & Services - .8% | | | | | |
Northwest Fiber, Sr. Scd. Notes | | 4.75 | | 4/30/2027 | | 123,000 | c | 101,458 | |
Northwest Fiber, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 695,000 | c | 500,467 | |
TripAdvisor, Gtd. Notes | | 7.00 | | 7/15/2025 | | 88,000 | c | 85,305 | |
Uber Technologies, Gtd. Notes | | 4.50 | | 8/15/2029 | | 250,000 | c | 206,094 | |
United Group, Sr. Scd. Bonds | EUR | 5.25 | | 2/1/2030 | | 310,000 | c | 241,129 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Internet Software & Services - .8% (continued) | | | | | |
United Group, Sr. Scd. Notes | EUR | 4.00 | | 11/15/2027 | | 340,000 | c | 271,187 | |
| | 1,405,640 | |
Materials - 1.5% | | | | | |
ARD Finance, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 220,000 | c,d | 167,090 | |
ARD Finance, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 410,000 | c,d | 304,786 | |
Graham Packaging, Gtd. Notes | | 7.13 | | 8/15/2028 | | 214,000 | c | 172,029 | |
Kleopatra Finco, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 520,000 | c | 448,344 | |
LABL, Sr. Scd. Notes | | 5.88 | | 11/1/2028 | | 151,000 | c | 122,205 | |
LABL, Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 314,000 | c | 283,192 | |
LABL, Sr. Unscd. Notes | | 8.25 | | 11/1/2029 | | 297,000 | c | 224,792 | |
LABL, Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 74,000 | c | 64,478 | |
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 1,184,000 | c | 1,035,378 | |
| | 2,822,294 | |
Media - 3.1% | | | | | |
Altice Financing, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 490,000 | c | 394,614 | |
Altice Finco, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 970,000 | c | 741,866 | |
CSC Holdings, Gtd. Notes | | 5.38 | | 2/1/2028 | | 400,000 | c | 347,016 | |
CSC Holdings, Gtd. Notes | | 6.50 | | 2/1/2029 | | 280,000 | c | 253,434 | |
CSC Holdings, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 710,000 | c | 518,463 | |
DISH DBS, Gtd. Notes | | 5.88 | | 11/15/2024 | | 430,000 | | 363,746 | |
DISH DBS, Sr. Scd. Bonds | | 5.25 | | 12/1/2026 | | 169,000 | c | 132,786 | |
DISH DBS, Sr. Scd. Notes | | 5.75 | | 12/1/2028 | | 169,000 | c | 125,446 | |
Nexstar Media, Gtd. Notes | | 5.63 | | 7/15/2027 | | 310,000 | c | 283,526 | |
Radiate Holdco, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 328,000 | c | 254,423 | |
Scripps Escrow II, Sr. Unscd. Notes | | 5.38 | | 1/15/2031 | | 523,000 | c | 417,759 | |
Sinclair Television Group, Gtd. Notes | | 5.50 | | 3/1/2030 | | 460,000 | c | 339,293 | |
Summer Bidco, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 178,288 | c,d | 152,104 | |
Summer BidCo, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 328,580 | c,d | 279,773 | |
TEGNA, Gtd. Notes | | 5.00 | | 9/15/2029 | | 388,000 | | 368,018 | |
UPC Broadband Finco, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 380,000 | c | 310,834 | |
Virgin Media Finance, Gtd. Notes | | 5.00 | | 7/15/2030 | | 330,000 | c | 262,413 | |
Ziggo Bond, Sr. Unscd. Notes | | 6.00 | | 1/15/2027 | | 310,000 | c | 274,733 | |
| | 5,820,247 | |
Metals & Mining - .1% | | | | | |
Arconic, Scd. Notes | | 6.13 | | 2/15/2028 | | 235,000 | c | 219,926 | |
Real Estate - .8% | | | | | |
Flamingo Lux II, Sr. Unscd. Notes | EUR | 5.00 | | 3/31/2029 | | 527,000 | c | 410,444 | |
Iron Mountain, Gtd. Notes | | 5.25 | | 7/15/2030 | | 450,000 | c | 392,085 | |
Ladder Capital Finance Holdings, Gtd. Notes | | 5.25 | | 10/1/2025 | | 780,000 | c | 707,230 | |
| | 1,509,759 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Retailing - 1.8% | | | | | |
Asbury Automotive Group, Gtd. Notes | | 4.75 | | 3/1/2030 | | 190,000 | | 156,455 | |
BCPE Ulysses Intermediate, Sr. Unscd. Notes | | 7.75 | | 4/1/2027 | | 696,000 | c,d | 428,948 | |
eG Global Finance, Sr. Scd. Notes | EUR | 4.38 | | 2/7/2025 | | 160,000 | c | 149,923 | |
Fertitta Entertainment, Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 129,000 | c | 110,338 | |
LBM Acquisition, Gtd. Notes | | 6.25 | | 1/15/2029 | | 165,000 | c | 106,481 | |
Macy's Retail Holdings, Gtd. Notes | | 4.50 | | 12/15/2034 | | 234,000 | | 167,074 | |
Macy's Retail Holdings, Gtd. Notes | | 5.88 | | 3/15/2030 | | 85,000 | c | 71,468 | |
Shiba Bidco, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 354,000 | c | 306,842 | |
Staples, Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 560,000 | c | 465,864 | |
The Michaels Companies, Sr. Scd. Notes | | 5.25 | | 5/1/2028 | | 330,000 | c | 260,035 | |
The Michaels Companies, Sr. Unscd. Notes | | 7.88 | | 5/1/2029 | | 331,000 | c | 219,125 | |
The Very Group Funding, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 469,000 | c | 437,057 | |
White Cap Parent, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 498,000 | c,d | 415,354 | |
| | 3,294,964 | |
Technology Hardware & Equipment - .2% | | | | | |
Banff Merger Sub, Sr. Unscd. Notes | EUR | 8.38 | | 9/1/2026 | | 380,000 | c | 355,870 | |
Telecommunication Services - 2.0% | | | | | |
Altice France, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 332,000 | c | 254,639 | |
Altice France, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 200,000 | c | 161,722 | |
Altice France Holding, Gtd. Notes | EUR | 4.00 | | 2/15/2028 | | 140,000 | c | 100,082 | |
Altice France Holding, Gtd. Notes | | 6.00 | | 2/15/2028 | | 420,000 | c | 298,895 | |
Altice France Holding, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 200,000 | c | 168,212 | |
CommScope, Gtd. Notes | | 7.13 | | 7/1/2028 | | 335,000 | c | 255,102 | |
CommScope, Gtd. Notes | | 8.25 | | 3/1/2027 | | 137,000 | c | 108,640 | |
Connect Finco, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 985,000 | c | 888,475 | |
eircom Finance, Sr. Scd. Bonds | EUR | 2.63 | | 2/15/2027 | | 370,000 | | 310,162 | |
Eolo, Sr. Scd. Bonds | EUR | 4.88 | | 10/21/2028 | | 228,000 | c | 202,511 | |
Lorca Telecom Bondco, Sr. Scd. Bonds | EUR | 4.00 | | 9/18/2027 | | 360,000 | c | 316,374 | |
TalkTalk Telecom Group, Gtd. Notes | GBP | 3.88 | | 2/20/2025 | | 160,000 | | 158,758 | |
Telecom Italia, Sr. Unscd. Notes | | 5.30 | | 5/30/2024 | | 200,000 | c | 192,676 | |
ViaSat, Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 300,000 | c | 243,051 | |
| | 3,659,299 | |
Transportation - .1% | | | | | |
First Transit Bidco, Sr. Scd. Notes | | 4.00 | | 7/31/2029 | | 300,000 | c | 240,490 | |
Utilities - .9% | | | | | |
Energia Group Ni Financeco, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 630,000 | c | 706,418 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 92.6% (continued) | | | | | |
Utilities - .9% (continued) | | | | | |
Energia Group ROI Holdings, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 380,000 | | 426,093 | |
Pike, Gtd. Notes | | 5.50 | | 9/1/2028 | | 145,000 | c | 117,926 | |
Vistra, Jr. Sub. Notes | | 7.00 | | 12/15/2026 | | 393,000 | c,g | 357,432 | |
| | 1,607,869 | |
Total Bonds and Notes
(cost $205,468,303) | | 171,641,557 | |
| | | | | | | | | |
Floating Rate Loan Interests - 51.4% | | | | | |
Advertising - 1.1% | | | | | |
ABG Intermediate Holdings 2, 2021 Refinancing Term Loan, 3 Month LIBOR +3.25% | | 4.31 | | 9/29/2024 | | 354,905 | e | 341,153 | |
ABG Intermediate Holdings 2, Second Lien Initial Term Loan, 3 Month Term SOFR +6.00% | | 7.51 | | 12/20/2029 | | 80,000 | e | 74,800 | |
Advantage Sales & Marketing, Term Loan B-1, 3 Month LIBOR +4.50% | | 5.56 | | 10/28/2027 | | 421,499 | e | 388,938 | |
CB Poly Holdings, Initial Term Loan, 3 Month Term SOFR +5.50% | | 7.55 | | 5/20/2029 | | 208,333 | e | 197,267 | |
Clear Channel Outdoor Holdings, Term Loan B, 3 Month LIBOR +3.50% | | 4.74 | | 8/21/2026 | | 257,290 | e | 222,362 | |
Summer BC Holdco B, USD Additional Facility Term Loan B-2, 3 Month LIBOR +4.50% | | 6.75 | | 12/4/2026 | | 566,326 | e | 532,349 | |
Terrier Media Buyer, 2021 Refinancing Term Loan B, 1 Month LIBOR +3.50% | | 5.17 | | 12/17/2026 | | 321,793 | e | 297,405 | |
| | 2,054,274 | |
Airlines - .1% | | | | | |
AAdvantage Loyalty, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.81 | | 4/20/2028 | | 189,805 | e | 181,569 | |
Building Materials - ..9% | | | | | |
BME Group Holding, Facility Term Loan B, 3 Month EURIBOR +3.75% | EUR | 3.50 | | 10/31/2026 | | 1,000,000 | e | 935,950 | |
LSF10 XL Bidco, Facility Term Loan B-4, 1-3 Month EURIBOR +4.00% | EUR | 3.68 | | 4/9/2028 | | 853,470 | e | 770,717 | |
| | 1,706,667 | |
Chemicals - 3.2% | | | | | |
Albaugh, Term Loan B, 1 Month Term SOFR +3.75% | | 4.75 | | 4/6/2029 | | 329,006 | e | 316,669 | |
Aruba Investment Holding, Euro Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 11/24/2027 | | 987,500 | e | 962,411 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Chemicals - 3.2% (continued) | | | | | |
Aruba Investment Holding, First Lien Initial Dollar Term Loan, 6 Month LIBOR +3.75% | | 5.63 | | 11/24/2027 | | 118,820 | e | 109,909 | |
ColourOZ Investment 1 GmbH, Second Lien Initial Euro Term Loan, 3 Month EURIBOR +4.25% | EUR | 5.25 | | 9/7/2022 | | 129,538 | e | 125,568 | |
ColourOZ Investment 2, First Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2023 | | 1,159,569 | e | 1,020,420 | |
ColourOZ Investment 2, First Lien Initial Term Loan C, 3 Month LIBOR +4.25% | | 5.25 | | 9/7/2023 | | 191,564 | e | 168,577 | |
ColourOZ Investment 2, Second Lien Initial Term Loan B-2, 3 Month LIBOR +4.25% | | 5.25 | | 9/21/2024 | | 2,205,246 | d,e | 1,984,721 | |
Flexsys Holdings, Initial Term Loan, 3 Month LIBOR +5.25% | | 6.00 | | 11/1/2028 | | 339,150 | e | 316,257 | |
Flint Group GmbH, First Lien Initial Term Loan B-8, 3 Month LIBOR +4.25% | | 5.25 | | 7/22/2022 | | 337,357 | e | 296,874 | |
LSF11 Skyscraper Holdco, USD Facility Term Loan B-3, 3 Month LIBOR +3.50% | | 4.51 | | 9/30/2027 | | 309,115 | e | 298,296 | |
Polar US Borrower, Initial Term Loan, 3 Month LIBOR +4.75% | | 6.00 | | 10/16/2025 | | 343,969 | e | 315,592 | |
| | 5,915,294 | |
Commercial & Professional Services - 7.0% | | | | | |
Albion Acquisitions, Term Loan B, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 7/31/2026 | | 1,000,000 | e | 984,884 | |
American Auto Auction, First Lien Tranche Term Loan B, 3 Month Term SOFR +5.00% | | 7.05 | | 12/30/2027 | | 388,050 | e | 364,404 | |
APX Group, Initial Term Loan, 1 Month LIBOR +3.50% & 3 Month PRIME +3.50% | | 5.01 | | 7/9/2028 | | 265,986 | e | 251,918 | |
AVSC Holding, Term Loan B-1, 3 Month LIBOR +3.50% | | 5.11 | | 3/1/2025 | | 150,317 | e | 130,118 | |
Axiom Global, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 10/1/2026 | | 4,887,500 | e | 4,740,875 | |
Boels Topholding, Facility Term Loan B-2, 3 Month EURIBOR +3.25% | EUR | 3.25 | | 2/5/2027 | | 1,000,000 | e | 969,574 | |
Cast & Crew, First Lien Incremental Facility No. 2 Incremental Term Loan, 1 Month Term SOFR +3.75% | | 5.28 | | 12/30/2028 | | 27,983 | e | 26,654 | |
Cast & Crew, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 5.17 | | 2/7/2026 | | 67,100 | e | 63,892 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Commercial & Professional Services - 7.0% (continued) | | | | | |
CIBT Global, First Lien Term Loan, 3 Month LIBOR +1.00% | | 2.01 | | 6/1/2024 | | 1,010,861 | e | 792,626 | |
Electro Rent, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | | 6.10 | | 1/31/2024 | | 196,875 | e | 191,953 | |
Element Materials Technology, Delayed Draw Term Loan, 1 Month LIBOR +4.25% | | 5.98 | | 5/10/2029 | | 99,741 | e,h | 95,969 | |
Element Materials Technology, Term Loan, 1 Month LIBOR +4.25% | | 5.98 | | 5/10/2029 | | 216,105 | e | 207,934 | |
Employbridge, Term Loan B, 3 Month LIBOR +4.75% | | 7.00 | | 7/19/2028 | | 206,892 | e | 189,048 | |
Infinitas Learning Finco, Term Loan B, 6 Month EURIBOR +4.50% | EUR | 4.50 | | 9/30/2028 | | 1,000,000 | e | 969,354 | |
Praesidiad, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/4/2024 | | 1,000,000 | e | 894,687 | |
Pre-Paid Legal Services, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 5.42 | | 12/15/2028 | | 173,547 | e | 162,429 | |
RLG Holdings, First Lien Closing Date Initial Term Loan, 3 Month LIBOR +4.25% | | 5.92 | | 7/8/2028 | | 158,250 | e | 148,359 | |
Team Health Holdings, Extended Term Loan, 1 Month Term SOFR +5.25% | | 6.28 | | 2/17/2027 | | 187,298 | e | 158,501 | |
Vaco Holdings, Initial Term Loan, 3 Month Term SOFR +5.00% | | 7.20 | | 1/21/2029 | | 193,554 | e,h | 186,780 | |
Verscend Holding, New Term Loan B, 1 Month LIBOR +4.00% | | 5.06 | | 8/27/2025 | | 486,228 | e | 466,779 | |
WP/AP Holdings, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 11/18/2028 | | 1,000,000 | e | 972,629 | |
| | 12,969,367 | |
Consumer Discretionary - 6.3% | | | | | |
Allen Media, Term Loan B, 3 Month LIBOR +5.50% | | 7.70 | | 2/10/2027 | | 363,738 | e | 325,864 | |
AP Gaming I, Term Loan B, 3 Month Term SOFR +4.00% | | 6.20 | | 2/15/2029 | | 265,131 | e | 254,194 | |
Banijay Entertainment, Facility Term Loan B, 3 Month EURIBOR +3.75% | EUR | 3.75 | | 3/1/2025 | | 1,000,000 | e | 985,733 | |
Center Parcs Europe, Facility Term Loan B-1, 3 Month EURIBOR +2.00% | EUR | 2.00 | | 9/23/2022 | | 2,149,634 | e | 2,252,709 | |
Center Parcs Europe, Facility Term Loan B-2, 3 Month EURIBOR +2.00% | EUR | 2.00 | | 9/23/2022 | | 1,240,879 | e | 1,300,379 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Consumer Discretionary - 6.3% (continued) | | | | | |
Freshworld Holding IV GmbH, Facility Term Loan B-2, 6 Month EURIBOR +3.75% | EUR | 3.75 | | 10/2/2026 | | 1,000,000 | e | 965,162 | |
Great Canadian Gaming, Term Loan B, 3 Month LIBOR +4.00% | | 6.10 | | 11/1/2026 | | 261,969 | e | 247,299 | |
Scientific Games Holdings, Term Loan B-2, 1 Month Term SOFR +3.50% | | 4.18 | | 4/4/2029 | | 303,047 | e | 281,391 | |
Scientific Games International, Initial Term B Loan, 1 Month Term SOFR +3.00% | | 4.36 | | 4/14/2029 | | 246,457 | e | 234,699 | |
Silk Bidco, Facility Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 2/22/2025 | | 2,000,000 | e | 1,540,486 | |
Stage Entertainment, Facility Term Loan B-2, 6 Month EURIBOR +3.25% | EUR | 3.25 | | 5/2/2026 | | 1,000,000 | e | 930,925 | |
Tecta America, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 5.92 | | 4/9/2028 | | 752,102 | e | 705,095 | |
Vacalians Holding, Facility Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 11/30/2025 | | 1,000,000 | e | 982,453 | |
Varsity Brands Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 4.56 | | 12/15/2024 | | 670,817 | e | 630,148 | |
| | 11,636,537 | |
Consumer Staples - .3% | | | | | |
Kronos Acquisition Holdings, Tranche Term Loan B-1, 3 Month LIBOR +3.75% | | 5.42 | | 12/22/2026 | | 567,997 | e | 518,013 | |
Diversified Financials - .5% | | | | | |
Polystorm Bidco, Delayed Draw Term Loan, 3-4 Month EURIBOR +2.50% | EUR | 4.00 | | 10/1/2028 | | 113,402 | e,h | 110,744 | |
Polystorm Bidco, Facility Term Loan B-1, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/1/2028 | | 886,598 | e | 865,815 | |
| | 976,559 | |
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 | 974,882 | |
Energy - 1.2% | | | | | |
AL GCX Holdings, Term Loan B, 1 Month LIBOR +3.75% | | 5.48 | | 4/22/2029 | | 81,112 | e | 79,220 | |
Brazos Delaware II, Initial Term Loan, 1 Month LIBOR +4.00% | | 5.60 | | 5/29/2025 | | 249,328 | e | 240,788 | |
GIP III Stetson I, Initial Term Loan, 1 Month LIBOR +4.25% | | 5.31 | | 7/18/2025 | | 426,988 | e | 404,772 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Energy - 1.2% (continued) | | | | | |
Lucid Energy Group II, First Lien Term Loan, 1 Month LIBOR +4.25% | | 5.87 | | 11/24/2028 | | 533,194 | e | 527,769 | |
Traverse Midstream Partners, Advance Term Loan, 3 Month Term SOFR +4.25% | | 5.38 | | 9/27/2024 | | 624,956 | e | 597,877 | |
WaterBridge Midstream Operating, Initial Term Loan, 3 Month LIBOR +5.75% | | 7.39 | | 6/21/2026 | | 340,900 | e | 323,258 | |
| | 2,173,684 | |
Environmental Control - .5% | | | | | |
Northstar Group Services, Term Loan B, 1 Month LIBOR +5.50% | | 7.17 | | 11/12/2026 | | 253,301 | e | 244,119 | |
Waterlogic USA Holdings, Facility Term Loan B-2, 3 Month LIBOR +4.75% | | 5.76 | | 8/12/2028 | | 626,219 | e | 609,781 | |
| | 853,900 | |
Food Products - 1.9% | | | | | |
Alphia, Term Loan, 3 Month LIBOR +6.00% | | 7.56 | | 3/5/2027 | | 1,570,483 | e | 1,523,369 | |
Biscuit Holding, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 2/14/2027 | | 1,000,000 | e | 780,435 | |
Sovos Brands Intermediate, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.25 | | 6/8/2028 | | 380,518 | e | 360,067 | |
ZF Invest, Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 7/12/2028 | | 1,000,000 | e | 847,530 | |
| | 3,511,401 | |
Food Service - .1% | | | | | |
TKC Holdings, Term Loan, 6 Month LIBOR +5.50% | | 7.00 | | 5/14/2028 | | 206,300 | e | 195,599 | |
Health Care - 7.7% | | | | | |
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% | | 5.75 | | 4/21/2024 | | 301,279 | e | 268,515 | |
Auris Luxembourg III, Facility Term Loan B-1, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 2/21/2026 | | 2,000,000 | e | 1,886,310 | |
Baart Programs, Delayed Draw Term Loan, 3 Month LIBOR +5.00% | | 6.67 | | 6/11/2027 | | 923,728 | e,h | 909,872 | |
Baart Programs, Term Loan, 3 Month LIBOR +5.00% | | 6.67 | | 6/11/2027 | | 1,064,438 | e | 1,048,471 | |
Cerebro Bidco GmbH, Facility Term Loan B-1, 6 Month EURIBOR +4.25% | EUR | 4.25 | | 12/11/2027 | | 633,857 | e | 601,147 | |
Cerebro BidCo GmbH, Facility Term Loan B-2, 6 Month EURIBOR +4.25% | EUR | 4.25 | | 12/11/2027 | | 366,143 | e | 347,248 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Health Care - 7.7% (continued) | | | | | |
eResearchTechnology, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | | 6.17 | | 2/4/2027 | | 103,247 | e | 95,654 | |
Financiere Verdi I, Facility Term Loan B, 12 Month SONIA +4.50% | GBP | 5.69 | | 4/15/2028 | | 1,500,000 | e | 1,584,012 | |
Gainwell Acquisition, Term Loan B, 3 Month LIBOR +4.00% | | 5.01 | | 10/1/2027 | | 340,971 | e | 323,391 | |
Global Medical Response, 2017-2 New Term Loan, 3 Month LIBOR +4.25% | | 5.92 | | 3/14/2025 | | 104,524 | e | 97,524 | |
Global Medical Response, 2020 Term Loan, 3 Month LIBOR +4.25% | | 5.25 | | 10/2/2025 | | 177,300 | e | 165,388 | |
Inovie, Senior Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 3/3/2028 | | 1,000,000 | e | 951,015 | |
Inula Natural Health Group, Senior Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.50 | | 12/11/2025 | | 903,382 | e | 870,963 | |
IWH UK Midco, Facility Term Loan B, 1 Month EURIBOR +4.00% | EUR | 3.75 | | 2/1/2025 | | 1,500,000 | e | 1,548,346 | |
MED ParentCo, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 5.92 | | 8/31/2026 | | 601,972 | e | 546,290 | |
One Call, First Lien Term Loan B, 3 Month LIBOR +5.50% | | 6.69 | | 4/22/2027 | | 649,139 | e | 522,557 | |
Pathway Vet Alliance, 2021 Replacement Term Loan, 1 Month LIBOR +3.75% | | 6.00 | | 3/31/2027 | | 171,477 | e | 159,688 | |
PetVet Care Centers, Second Lien Initial Term Loan, 1 Month LIBOR +6.25% | | 7.92 | | 2/15/2026 | | 301,948 | e | 295,533 | |
Pluto Acquisition I, 2021 First Lien Term Loan, 3 Month LIBOR +4.00% | | 6.08 | | 6/20/2026 | | 86,764 | e | 76,027 | |
Resonetics, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.24 | | 4/28/2028 | | 58,814 | e | 56,020 | |
Sharp Midco, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 6.25 | | 1/20/2029 | | 152,603 | e | 143,447 | |
Sirona BidCo, Facility Term Loan B, 3 Month EURIBOR +4.50% | EUR | 4.50 | | 12/17/2028 | | 1,000,000 | e | 964,114 | |
Surgery Center Holdings, 2021 New Term Loan, 1 Month LIBOR +3.75% | | 4.95 | | 8/31/2026 | | 438,173 | e | 409,556 | |
WCG Purchaser, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.62 | | 1/8/2027 | | 383,832 | e | 364,401 | |
| | 14,235,489 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Industrial - 3.3% | | | | | |
Osmose Utilities Services, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | | 4.92 | | 6/22/2028 | | 232,205 | e | 208,260 | |
Pro Mach Group, Delayed Draw Term Loan, 3 Month LIBOR +4.00% | | 4.00 | | 8/31/2028 | | 9,143 | e,h | 8,649 | |
Pro Mach Group, Initial Term Loan, 3 Month LIBOR +4.00% | | 5.67 | | 8/31/2028 | | 182,487 | e | 172,622 | |
Qualtek USA, Tranche Term Loan B, 3 Month LIBOR +6.25% | | 7.49 | | 7/18/2025 | | 4,811,146 | e | 4,081,463 | |
Radar Bidco, Initial Term Loan, 6 Month EURIBOR +10.00% | EUR | 10.00 | | 12/16/2024 | | 1,109,299 | e | 1,167,093 | |
SPX FLOW, Term Loan, 1 Month Term SOFR +4.50% | | 6.13 | | 4/5/2029 | | 240,503 | e | 224,750 | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 6.25 | | 3/8/2025 | | 262,462 | e | 248,683 | |
| | 6,111,520 | |
Information Technology - 4.3% | | | | | |
Boxer Parent, 2021 Replacement Dollar Term Loan, 3 Month LIBOR +3.75% | | 5.42 | | 10/2/2025 | | 647,442 | e | 604,821 | |
Boxer Parent, 2021 Replacement EURO Term Loan, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/2/2025 | �� | 988,394 | e | 959,114 | |
Camelia Bidco, Facility Term Loan B-1, 3 Month GBPLIBOR +4.75% | GBP | 5.96 | | 10/5/2024 | | 1,500,000 | e | 1,746,640 | |
Concorde Lux, Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 3/1/2028 | | 1,000,000 | e | 985,073 | |
CT Technologies, 2021 Reprice Term Loan, 1 Month LIBOR +4.25% | | 5.92 | | 12/16/2025 | | 151,726 | e | 142,496 | |
DCert Buyer, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 5.67 | | 10/16/2026 | | 426,100 | e | 408,447 | |
DCert Buyer, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% | | 8.67 | | 2/16/2029 | | 200,000 | e | 187,000 | |
DTI Holdco, Initial Term Loan, 3 Month Term SOFR +4.75% | | 6.28 | | 4/26/2029 | | 320,000 | e | 300,456 | |
ECL Entertainment, Term Loan B, 3 Month LIBOR +7.50% | | 9.75 | | 4/30/2028 | | 168,300 | e | 164,619 | |
EP Purchaser, Closing Date Term Loan, 3 Month LIBOR +3.50% | | 5.75 | | 11/4/2028 | | 319,200 | e | 304,571 | |
Finthrive Software Intermediate, Term Loan, 6 Month LIBOR +4.00% | | 4.50 | | 12/17/2028 | | 235,197 | e | 218,733 | |
Greeneden US Holdings II, Initial Euro Term Loan B-4, 1 Month EURIBOR +4.25% | EUR | 4.25 | | 12/1/2027 | | 1,000,000 | e | 985,733 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Information Technology - 4.3% (continued) | | | | | |
Ivanti Software, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.85 | | 12/1/2027 | | 373,812 | e | 323,037 | |
Mitchell International, Second Lien Initial Term Loan, 1 Month LIBOR +6.50% | | 8.10 | | 10/15/2029 | | 107,692 | e | 101,685 | |
Mitnick Corporate Purchaser, Initial Term Loan, 3 Month Term SOFR +4.85% | | 5.92 | | 5/2/2029 | | 320,000 | e | 304,800 | |
UKG, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 5.42 | | 5/3/2026 | | 295,760 | e | 280,308 | |
| | 8,017,533 | |
Insurance - 4.4% | | | | | |
Alliant Holdings Intermediate, 2021-2 New Term Loan, 1 Month LIBOR +3.50% | | 5.01 | | 11/12/2027 | | 319,445 | e | 298,122 | |
Asurion, New Term Loan B-4, 1 Month LIBOR +5.25% | | 6.92 | | 1/15/2029 | | 71,244 | e | 60,878 | |
Asurion, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 6.92 | | 2/3/2028 | | 1,083,367 | e | 930,341 | |
BidCo SB, Term Loan, 6 Month EURIBOR +4.00% | EUR | 4.00 | | 11/16/2028 | | 1,000,000 | e | 963,464 | |
Hestia Holding, Facility Term Loan B-1, 3 Month EURIBOR +4.00% | EUR | 4.23 | | 6/1/2027 | | 1,000,000 | e | 972,629 | |
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | | 6.17 | | 2/28/2025 | | 570,239 | e | 547,429 | |
Sedgwick Claims Management Services, 2019 New Term Loan, 1 Month LIBOR +3.75% | | 4.81 | | 9/3/2026 | | 765,421 | e | 730,020 | |
Sedgwick Claims Management Services, 2020 Term Loan, 1 Month LIBOR +4.25% | | 5.92 | | 9/3/2026 | | 6,942 | e | 6,721 | |
Selectquote, Initial Term Loan, 1 Month LIBOR +5.00% | | 6.67 | | 11/5/2024 | | 3,804,412 | e,i | 3,652,235 | |
| | 8,161,839 | |
Internet Software & Services - 1.9% | | | | | |
Endure Digital, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.62 | | 2/10/2028 | | 405,900 | e | 365,986 | |
ION Trading Finance, Initial Dollar Term Loan, 1 Month LIBOR +4.75% | | 7.00 | | 4/1/2028 | | 128,700 | e | 119,088 | |
ION Trading Finance, Initial Euro Term Loan, 3 Month EURIBOR +4.25% | EUR | 4.25 | | 4/1/2028 | | 1,980,000 | e | 1,894,421 | |
Proofpoint, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.82 | | 8/31/2028 | | 486,243 | e | 453,162 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Internet Software & Services - 1.9% (continued) | | | | | |
Weddingwire, Amendment No. 3 Term Loan, 1 Month Term SOFR +4.50% | | 6.13 | | 12/21/2025 | | 731,156 | e | 701,910 | |
| | 3,534,567 | |
Materials - 1.1% | | | | | |
Berlin Packaging, Tranche Term Loan B-5, 1 Month LIBOR +3.75% | | 4.82 | | 3/11/2028 | | 207,462 | e | 193,631 | |
Charter Nex US, 2021 Refinancing Term Loan, 1 Month LIBOR +3.75% | | 5.42 | | 12/1/2027 | | 78,772 | e | 74,390 | |
Clydesdale Acquisition, Term Loan, 1 Month Term SOFR +4.25% | | 5.88 | | 4/13/2029 | | 286,979 | e | 269,043 | |
Grinding Media, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 4.80 | | 10/12/2028 | | 431,965 | e | 395,248 | |
MAR Bidco, USD Facility Term Loan B, 3 Month LIBOR +4.25% | | 5.92 | | 6/28/2028 | | 109,502 | e | 101,837 | |
Mauser Packaging Solutions, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.31 | | 4/3/2024 | | 110,670 | e | 104,422 | |
Pretium PKG Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.97 | | 10/1/2028 | | 157,492 | e | 142,629 | |
Proampac PG Borrower, 2020-1 Term Loan, 3 Month LIBOR +3.75% | | 4.71 | | 11/3/2025 | | 334,220 | e | 310,491 | |
Tecostar Holdings, 2017 First Lien Term Loan, 3 Month LIBOR +3.50% | | 4.75 | | 5/1/2024 | | 268,966 | e | 234,673 | |
Valcour Packaging, Second Lien Initial Term Loan, 3 Month LIBOR +7.00% | | 8.47 | | 9/30/2029 | | 240,000 | e | 212,400 | |
| | 2,038,764 | |
Media - 1.4% | | | | | |
DIRECTV Financing, Closing Date Term Loan, 1 Month LIBOR +5.00% | | 6.67 | | 8/2/2027 | | 769,472 | e | 710,642 | |
NEP Europe Finco, Initial Euro Term Loan, 3 Month EURIBOR +3.50% | EUR | 3.50 | | 10/20/2025 | | 1,939,698 | e | 1,863,311 | |
| | 2,573,953 | |
Retailing - .6% | | | | | |
Great Outdoors Group, Term Loan B-2, 1 Month LIBOR +3.75% | | 4.81 | | 3/5/2028 | | 588,500 | e | 538,330 | |
PetSmart, Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 2/12/2028 | | 124,658 | e | 117,708 | |
Staples, 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | | 6.29 | | 4/12/2026 | | 193,483 | e | 169,163 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 51.4% (continued) | | | | | |
Retailing - .6% (continued) | | | | | |
Woof Holdings, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 5.81 | | 12/21/2027 | | 356,710 | e | 334,415 | |
| | 1,159,616 | |
Semiconductors & Semiconductor Equipment - .4% | | | | | |
Natel Engineering, Initial Term Loan, 1-6 Month LIBOR +6.25% | | 7.74 | | 4/30/2026 | | 666,600 | e | 643,273 | |
Technology Hardware & Equipment - 1.3% | | | | | |
Access CIG, First Lien Term Loan B, 1 Month LIBOR +3.75% | | 5.32 | | 2/27/2025 | | 170,507 | e | 161,513 | |
Atlas CC Acquisition, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.82 | | 5/25/2028 | | 720,203 | e | 667,541 | |
Atlas CC Acquisition, First Lien Term Loan C, 3 Month LIBOR +4.25% | | 5.82 | | 5/25/2028 | | 146,482 | e | 135,771 | |
Marnix, Facility Term Loan B, 3 Month EURIBOR +3.00% | EUR | 3.00 | | 11/19/2026 | | 1,000,000 | e | 950,690 | |
Mcafee, Tranche Term Loan B-1, 1 Month Term SOFR +4.00% | | 5.15 | | 3/1/2029 | | 429,950 | e | 392,688 | |
VeriFone Systems, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.52 | | 8/20/2025 | | 200,045 | e | 180,941 | |
| | 2,489,144 | |
Telecommunication Services - 1.2% | | | | | |
CCI Buyer, First Lien Initial Term Loan, 3 Month Term SOFR +4.00% | | 6.05 | | 12/17/2027 | | 718,425 | e | 657,359 | |
Connect Finco, Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 5.17 | | 12/12/2026 | | 260,536 | e | 240,507 | |
Crown Subsea Communications, Initial Term Loan, 1 Month LIBOR +4.75% | | 5.55 | | 4/27/2027 | | 270,264 | e | 259,453 | |
Lorca Finco, Facility Term Loan B, 3 Month EURIBOR +4.25% | EUR | 4.25 | | 9/18/2027 | | 1,000,000 | e | 963,621 | |
| | 2,120,940 | |
Transportation - .1% | | | | | |
OLA Netherlands, Term Loan, 1 Month Term SOFR +6.25% | | 7.63 | | 12/3/2026 | | 147,986 | e | 126,775 | |
Worldwide Express, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 6.25 | | 7/26/2028 | | 94,582 | e | 86,415 | |
| | 213,190 | |
Utilities - .1% | | | | | |
Eastern Power, Term Loan B, 3 Month LIBOR +3.75% | | 6.00 | | 10/2/2025 | | 299,983 | e | 254,752 | |
Total Floating Rate Loan Interests
(cost $105,815,276) | | 95,222,326 | |
| | | | | | | | | | |
| |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .2% | | | | | |
Information Technology - .2% | | | | | |
Skillsoft | | | | | | 104,668 | j | 368,431 | |
Media - .0% | | | | | |
Altice USA, Cl. A | | | | | | 2,500 | j | 23,125 | |
Total Common Stocks
(cost $1,158,018) | | 391,556 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.2% | | | | | |
Registered Investment Companies - 1.2% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $2,234,103) | | 1.48 | | | | 2,234,103 | k | 2,234,103 | |
Total Investments (cost $314,675,700) | | 145.4% | 269,489,542 | |
Liabilities, Less Cash and Receivables | | (45.4%) | (84,197,173) | |
Net Assets | | 100.0% | 185,292,369 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Index Average
TSFR—Term SOFR (Secured Overnight Financing Rate) Reference Rates
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, 2022, these securities were valued at $165,246,245 or 89.18% 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 Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
h Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
i The fund held Level 3 securities at June 30, 2022. These securities were valued at $3,652,235 or 1.97% of net assets.
j Non-income producing security.
k Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2022 (Unaudited)
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs |
Euro | 500,000 | United States Dollar | 525,125 | 7/25/2022 | (292) |
United States Dollar | 91,015,654 | Euro | 86,030,000 | 7/25/2022 | 712,888 |
United States Dollar | 4,162,503 | British Pound | 3,390,000 | 7/25/2022 | 34,111 |
United States Dollar | 13,530,106 | Euro | 12,785,000 | 7/29/2022 | 106,547 |
United States Dollar | 3,280,501 | British Pound | 2,680,000 | 7/29/2022 | 16,503 |
Gross Unrealized Appreciation | | | 870,049 |
Gross Unrealized Depreciation | | | (292) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2022 (Unaudited)
The following is a summary of the inputs used as of June 30, 2022 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 110,820,794 | | - | 110,820,794 | |
Corporate Bonds | - | 60,820,763 | | - | 60,820,763 | |
Equity Securities - Common Stocks | 391,556 | - | | - | 391,556 | |
Floating Rate Loan Interests | - | 91,570,091 | | 3,652,235 | 95,222,326 | |
Investment Companies | 2,234,103 | - | | - | 2,234,103 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 870,049 | | - | 870,049 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (292) | | - | (292) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
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, 2022 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, 2022, accumulated net unrealized depreciation on investments was $45,186,158, consisting of $933,804 gross unrealized appreciation and $46,119,962 gross unrealized depreciation.
At June 30, 2022, 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.
