STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
December 31, 2023 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% | | | | | |
Advertising - .6% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 271,000 | c | 258,875 | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 9.00 | | 9/15/2028 | | 260,000 | c | 271,489 | |
Summer BC Holdco B Sarl, Sr. Scd. Bonds | EUR | 5.75 | | 10/31/2026 | | 480,000 | c | 509,266 | |
| | 1,039,630 | |
Aerospace & Defense - .7% | | | | | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.50 | | 2/1/2029 | | 191,000 | c | 194,331 | |
Spirit AeroSystems, Inc., Sr. Scd. Notes | | 9.75 | | 11/15/2030 | | 176,000 | c | 189,415 | |
TransDigm, Inc., Gtd. Notes | | 5.50 | | 11/15/2027 | | 450,000 | | 441,253 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 90,000 | c | 92,190 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.88 | | 12/15/2030 | | 230,000 | c | 237,051 | |
| | 1,154,240 | |
Airlines - .1% | | | | | |
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 250,130 | c | 244,104 | |
Automobiles & Components - .7% | | | | | |
Grupo Antolin-Irausa SA, Sr. Scd. Bonds | EUR | 3.50 | | 4/30/2028 | | 390,000 | c | 329,090 | |
IHO Verwaltungs GmbH, Sr. Scd. Bonds | | 6.00 | | 5/15/2027 | | 200,000 | c,d | 195,080 | |
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 197,000 | c | 170,059 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 490,000 | c | 424,702 | |
| | 1,118,931 | |
Banks - .1% | | | | | |
Citigroup, Inc., Jr. Sub. Notes | | 3.88 | | 2/18/2026 | | 220,000 | e | 195,321 | |
Building Materials - .6% | | | | | |
Eco Material Technologies, Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 277,000 | c | 277,346 | |
Emerald Debt Merger Sub LLC, Sr. Scd. Notes | | 6.63 | | 12/15/2030 | | 336,000 | c | 343,600 | |
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2026 | | 210,000 | c | 170,087 | |
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes | | 7.25 | | 1/15/2031 | | 143,000 | c | 150,769 | |
| | 941,802 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Chemicals - 1.4% | | | | | |
INEOS Quattro Finance 2 PLC, Sr. Scd. Notes | EUR | 8.50 | | 3/15/2029 | | 200,000 | c | 233,669 | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 384,000 | c,d | 326,377 | |
Italmatch Chemicals SpA, Sr. Scd. Notes | EUR | 10.00 | | 2/6/2028 | | 297,000 | c | 339,736 | |
Mativ Holdings, Inc., Gtd. Notes | | 6.88 | | 10/1/2026 | | 91,000 | c | 87,393 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | EUR | 9.63 | | 11/15/2028 | | 600,000 | c | 712,008 | |
SCIL IV LLC/SCIL USA Holdings LLC, Sr. Scd. Bonds | EUR | 4.38 | | 11/1/2026 | | 260,000 | c | 279,923 | |
SCIL IV LLC/SCIL USA Holdings LLC, Sr. Scd. Bonds | EUR | 9.50 | | 7/15/2028 | | 120,000 | c | 141,604 | |
WR Grace Holdings LLC, Sr. Unscd. Notes | | 5.63 | | 8/15/2029 | | 240,000 | c | 211,466 | |
| | 2,332,176 | |
Collateralized Loan Obligations Debt - 52.2% | | | | | |
Adagio VIII DAC CLO, Ser. 8A, Cl. E, (3 Month EURIBOR +6.03%) | EUR | 10.00 | | 4/15/2032 | | 3,000,000 | c,f | 2,953,441 | |
Bain Capital Euro DAC CLO , Ser. 2021-2X Cl. E, (3 Month EURIBOR +6.22%) | EUR | 10.21 | | 7/17/2034 | | 1,500,000 | f | 1,518,614 | |
Barings Euro DAC CLO, Ser. 2015-1A, CI. ERR, (3 Month EURIBOR +6.86%) | EUR | 10.82 | | 7/25/2035 | | 1,500,000 | c,f | 1,572,493 | |
Barings Euro DAC CLO, Ser. 2018-3A, Cl. E, (3 Month EURIBOR +5.79%) | EUR | 9.73 | | 7/27/2031 | | 2,150,000 | c,f | 2,058,825 | |
Barings Euro DAC CLO, Ser. 2019-1A, CI. ER, (3 Month EURIBOR +7.21%) | EUR | 11.18 | | 4/15/2036 | | 1,500,000 | c,f | 1,566,360 | |
BBAM US II Ltd. CLO , Ser. 2023-2A, Cl.D, (3 Month TSFR +8.15%) | | 13.54 | | 10/15/2038 | | 2,000,000 | c,f | 2,004,294 | |
Birch Grove 2 Ltd. CLO, Ser. 2021-2A, Cl. E, (3 Month TSFR +7.21%) | | 12.61 | | 10/19/2034 | | 1,250,000 | c,f | 1,188,851 | |
Birch Grove 3 Ltd. CLO, Ser. 2021-3A, Cl. E, (3 Month TSFR +7.24%) | | 12.64 | | 1/19/2035 | | 2,000,000 | c,f | 1,963,926 | |
BlueMountain Ltd. CLO, Ser. 2016-2A, CI. DR, (3 Month TSFR +8.05%) | | 13.42 | | 8/20/2032 | | 2,250,000 | c,f | 2,158,036 | |
Capital Four I DAC CLO, Ser. 1A, CI. E, (3 Month EURIBOR +6.47%) | EUR | 10.44 | | 1/15/2033 | | 1,000,000 | c,f | 1,072,207 | |
Carlyle Euro DAC CLO, Ser. 2017-1A, Cl. DR, (3 Month EURIBOR +6.47%) | EUR | 10.44 | | 7/15/2034 | | 1,000,000 | c,f | 1,046,110 | |
Carlyle Euro DAC CLO, Ser. 2019-1A, CI. D, (3 Month EURIBOR +6.12%) | EUR | 10.05 | | 3/15/2032 | | 3,000,000 | c,f | 2,990,650 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Collateralized Loan Obligations Debt - 52.2% (continued) | | | | | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2015-1A, CI. ER, (3 Month EURIBOR +8.03%) | EUR | 12.00 | | 1/16/2033 | | 1,000,000 | c,f | 901,450 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2016-2A, Cl. DRR, (3 Month EURIBOR +6.14%) | EUR | 10.11 | | 4/15/2034 | | 1,500,000 | c,f | 1,520,219 | |
Cathedral Lake VIII Ltd. CLO, Ser. 2021-8A, Cl. E, (3 Month TSFR +7.75%) | | 13.16 | | 1/20/2035 | | 1,000,000 | c,f | 938,618 | |
Contego VII DAC CLO, Ser. 7A, Cl. F, (3 Month EURIBOR +8.76%) | EUR | 12.76 | | 5/14/2032 | | 3,500,000 | c,f | 3,622,291 | |
CQS US Ltd. CLO, Ser. 2022-2A, Cl. E1, (3 Month TSFR +6.85%) | | 12.27 | | 7/20/2031 | | 1,000,000 | c,f | 906,495 | |
Crown Point 8 Ltd. CLO, Ser. 2019-8A, Cl. ER, (3 Month TSFR +7.39%) | | 12.81 | | 10/20/2034 | | 3,000,000 | c,f | 2,931,705 | |
CVC Cordatus Loan Fund XIV DAC CLO, Ser. 14A, Cl. E, (3 Month EURIBOR +5.90%) | EUR | 9.86 | | 5/22/2032 | | 1,000,000 | c,f | 1,032,780 | |
CVC Cordatus Loan Fund XVIII DAC CLO, Ser. 18A, Cl. FR, (3 Month EURIBOR +8.85%) | EUR | 12.80 | | 7/29/2034 | | 2,000,000 | c,f | 2,097,571 | |
Dryden 66 Euro DAC CLO, Ser. 2018-66A, CI. E, (3 Month EURIBOR +5.41%) | EUR | 9.39 | | 1/18/2032 | | 2,000,000 | c,f | 1,950,477 | |
Dryden 88 Euro DAC CLO, Ser. 2020-88A, Cl. E, (3 Month EURIBOR +6.01%) | EUR | 10.00 | | 7/20/2034 | | 1,000,000 | c,f | 961,832 | |
Elevation Ltd. CLO, Ser. 2013-1A, Cl. D1R2, (3 Month TSFR +7.91%) | | 13.29 | | 8/15/2032 | | 1,300,000 | c,f | 1,267,156 | |
Elm Park DAC CLO, Ser. 1A, CI. DRR, (3 Month EURIBOR +6.16%) | EUR | 10.13 | | 4/15/2034 | | 1,167,000 | c,f | 1,205,045 | |
Fidelity Grand Harbour DAC CLO, Ser. 2021-1A, Cl. E, (3 Month EURIBOR +6.22%) | EUR | 10.19 | | 10/15/2034 | | 1,000,000 | c,f | 1,052,512 | |
Fidelity Grand Harbour DAC CLO, Ser. 2021-1A, Cl. F, (3 Month EURIBOR +9.15%) | EUR | 13.12 | | 10/15/2034 | | 1,000,000 | c,f | 1,063,352 | |
Franklin Park Place I LLC CLO, Ser. 2022-1A, Cl. E, (3 Month TSFR +7.50%) | | 12.89 | | 4/14/2035 | | 1,300,000 | c,f | 1,239,718 | |
GoldenTree Loan Management EUR 4 DAC CLO, Ser. 4A, Cl. ER, (3 Month EURIBOR +6.07%) | EUR | 10.06 | | 7/20/2034 | | 1,500,000 | c,f | 1,576,023 | |
Greywolf II Ltd. CLO, Ser. 2013-1A, Cl. DRR, (3 Month TSFR +7.31%) | | 12.70 | | 4/15/2034 | | 2,000,000 | c,f | 1,867,522 | |
Henley VII DAC CLO , Ser. 7A, Cl. E, (3 Month EURIBOR +7.14%) | EUR | 11.10 | | 4/25/2034 | | 1,000,000 | c,f | 1,095,781 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Collateralized Loan Obligations Debt - 52.2% (continued) | | | | | |
ICG Euro DAC CLO, Ser. 2021-1A, Cl. E, (3 Month EURIBOR +6.46%) | EUR | 10.43 | | 10/15/2034 | | 1,000,000 | c,f | 1,043,495 | |
MidOcean Credit X CLO, Ser. 2019-10A, CI. ER, (3 Month TSFR +7.42%) | | 12.83 | | 10/23/2034 | | 4,000,000 | c,f | 3,470,848 | |
Northwoods Capital 22 Ltd. CLO, Ser. 2020-22A, Cl. ER, (3 Month TSFR +8.19%) | | 13.57 | | 9/1/2031 | | 1,100,000 | c,f | 1,071,082 | |
Northwoods Capital 25 Ltd. CLO, Ser. 2021-25A, CI. E, (3 Month TSFR +7.40%) | | 12.82 | | 7/20/2034 | | 3,000,000 | c,f | 2,735,970 | |
Northwoods Capital 27 Ltd. CLO, Ser. 2021-27A, Cl. E, (3 Month TSFR +7.30%) | | 12.70 | | 10/17/2034 | | 1,150,000 | c,f | 1,029,950 | |
Purple Finance 2 DAC CLO, Ser. 2A, Cl. E, (3 Month EURIBOR +6.40%) | EUR | 10.39 | | 4/20/2032 | | 2,600,000 | c,f | 2,708,866 | |
Purple Finance 2 DAC CLO, Ser. 2A, Cl. F, (3 Month EURIBOR +8.84%) | EUR | 12.83 | | 4/20/2032 | | 2,300,000 | c,f | 2,357,342 | |
Rockford Tower Europe DAC CLO, Ser. 2019-1A, Cl. E, (3 Month EURIBOR +6.03%) | EUR | 10.02 | | 1/20/2033 | | 2,000,000 | c,f | 2,094,708 | |
Sound Point XXIII CLO, Ser. 2019-2A, Cl. ER, (3 Month TSFR +6.73%) | | 12.13 | | 7/15/2034 | | 4,750,000 | c,f | 3,911,953 | |
Toro European 2 DAC CLO, Ser. 2A, Cl. ERR, (3 Month EURIBOR +6.47%) | EUR | 10.43 | | 7/25/2034 | | 2,000,000 | c,f | 2,103,434 | |
Toro European 6 DAC CLO, Ser. 6A, Cl. F, (3 Month EURIBOR +8.49%) | EUR | 12.48 | | 1/12/2032 | | 1,500,000 | c,f | 1,408,541 | |
Trimaran CAVU Ltd. CLO, Ser. 2019-1A, CI. E, (3 Month TSFR +7.30%) | | 12.72 | | 7/20/2032 | | 2,100,000 | c,f | 2,035,778 | |
Trimaran CAVU Ltd. CLO, Ser. 2021-2A, CI. E, (3 Month TSFR +7.46%) | | 12.84 | | 10/25/2034 | | 2,000,000 | c,f | 1,899,302 | |
Trinitas Euro V DAC CLO , Ser. 5A, Cl. F, (3 Month EURIBOR +9.34%) | EUR | 13.44 | | 10/25/2037 | | 1,500,000 | c,f | 1,584,654 | |
Trinitas XI Ltd. CLO, Ser. 2019-11A, CI. ER, (3 Month TSFR +7.53%) | | 12.93 | | 7/15/2034 | | 2,000,000 | c,f | 1,713,716 | |
Venture 39 Ltd. CLO, Ser. 2020-39A, Cl. E, (3 Month TSFR +7.89%) | | 13.29 | | 4/15/2033 | | 2,350,000 | c,f | 2,185,979 | |
Venture 41 Ltd. CLO, Ser. 2021-41A, Cl. E, (3 Month TSFR +7.97%) | | 13.39 | | 1/20/2034 | | 2,000,000 | c,f | 1,892,962 | |
Wellfleet Ltd. CLO, Ser. 2021-3A, Cl. E, (3 Month TSFR +7.36%) | | 12.76 | | 1/15/2035 | | 1,000,000 | c,f | 898,911 | |
Wellfleet X Ltd. CLO, Ser. 2019-XA, Cl. DR, (3 Month TSFR +6.87%) | | 12.29 | | 7/20/2032 | | 4,000,000 | c,f | 3,375,412 | |
| | 88,847,257 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Collateralized Loan Obligations Equity - 2.7% | | | | | |
Blackrock European VIII DAC CLO, Ser. 8A, Cl. SUB | EUR | 17.46 | | 7/20/2032 | | 1,425,000 | c,g | 981,110 | |
Madison Park Funding X Ltd. CLO, Ser. 2012-10A, Cl. SUB | | 0.00 | | 1/20/2029 | | 5,000,000 | c,g | 300 | |
Providus II DAC CLO, Ser. 2A, Cl. SUB | EUR | 28.78 | | 7/15/2031 | | 1,000,000 | c,g | 525,629 | |
Wind River Ltd. CLO, Ser. 2016-1KRA, CI. SUB | | 2.82 | | 1/15/2029 | | 11,350,000 | c,g | 3,024,650 | |
| | 4,531,689 | |
Commercial & Professional Services - 4.3% | | | | | |
Adtalem Global Education, Inc., Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 139,000 | c | 133,851 | |
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 370,000 | c | 409,483 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Sr. Scd. Bonds, Ser. 144 | GBP | 4.88 | | 6/1/2028 | | 320,000 | c | 344,920 | |
APX Group, Inc., Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 207,000 | c | 206,774 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes | | 8.00 | | 2/15/2031 | | 420,000 | c | 419,784 | |
BCP V Modular Services Finance II PLC, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 470,000 | c | 483,378 | |
CPI CG, Inc., Sr. Scd. Notes | | 8.63 | | 3/15/2026 | | 279,000 | c | 271,067 | |
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | | 11/3/2029 | | 1,050,000 | c | 1,208,349 | |
La Financiere Atalian SASU, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 306,000 | c | 251,330 | |
La Financiere Atalian SASU, Gtd. Notes | GBP | 6.63 | | 5/15/2025 | | 600,000 | | 565,912 | |
Loxam SAS, Sr. Scd. Notes | EUR | 3.75 | | 7/15/2026 | | 256,000 | | 280,075 | |
Loxam SAS, Sr. Sub. Notes | EUR | 5.75 | | 7/15/2027 | | 430,000 | | 469,026 | |
Neptune BidCo US, Inc., Sr. Scd. Notes | | 9.29 | | 4/15/2029 | | 256,000 | c | 238,929 | |
Nexi SpA, Sr. Unscd. Notes | EUR | 2.13 | | 4/30/2029 | | 370,000 | | 361,608 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd. Notes | | 6.25 | | 1/15/2028 | | 786,000 | c | 782,030 | |
Signal Parent, Inc., Sr. Unscd. Notes | | 6.13 | | 4/1/2029 | | 180,000 | c | 128,879 | |
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 665,000 | c | 702,934 | |
| | 7,258,329 | |
Consumer Discretionary - 4.1% | | | | | |
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | EUR | 7.25 | | 4/30/2030 | | 425,000 | c | 495,080 | |
Allwyn International AS, Sr. Scd. Notes | EUR | 3.88 | | 2/15/2027 | | 710,000 | c | 756,371 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Consumer Discretionary - 4.1% (continued) | | | | | |
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | | 4.63 | | 4/1/2030 | | 190,000 | c | 170,537 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 719,000 | c | 692,376 | |
Carnival Corp., Gtd. Notes | | 7.63 | | 3/1/2026 | | 330,000 | c | 336,173 | |
Carnival Corp., Sr. Scd. Notes | | 7.00 | | 8/15/2029 | | 81,000 | c | 84,624 | |
Carnival Holdings Bermuda Ltd., Gtd. Notes | | 10.38 | | 5/1/2028 | | 125,000 | c | 136,149 | |
CCM Merger, Inc., Sr. Unscd. Notes | | 6.38 | | 5/1/2026 | | 265,000 | c | 258,986 | |
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 449,000 | c | 445,033 | |
Everi Holdings, Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 151,000 | c | 137,252 | |
Green Bidco SA, Sr. Scd. Bonds | EUR | 10.25 | | 7/15/2028 | | 180,000 | c | 174,837 | |
International Game Technology PLC, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 340,000 | c | 333,140 | |
Lottomatica SpA, Sr. Scd. Notes | EUR | 7.13 | | 6/1/2028 | | 350,000 | c | 408,455 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 454,000 | c | 443,945 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 152,000 | c | 150,783 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 8.13 | | 1/15/2029 | | 86,000 | c | 89,899 | |
Pinewood Finance Co. Ltd., Sr. Scd. Bonds | GBP | 3.63 | | 11/15/2027 | | 330,000 | c | 388,490 | |
Royal Caribbean Cruises Ltd., Gtd. Notes | | 7.25 | | 1/15/2030 | | 98,000 | c | 102,410 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 4.25 | | 7/1/2026 | | 47,000 | c | 45,425 | |
Scientific Games Holdings LP/Scientific Games US Finco, Inc., Sr. Unscd. Notes | | 6.63 | | 3/1/2030 | | 179,000 | c | 169,444 | |
Verde Purchaser LLC, Sr. Scd. Notes | | 10.50 | | 11/30/2030 | | 139,000 | c | 140,237 | |
Versuni Group BV, Sr. Scd. Bonds | EUR | 3.13 | | 6/15/2028 | | 400,000 | c | 389,663 | |
Viking Cruises Ltd., Sr. Unscd. Notes | | 9.13 | | 7/15/2031 | | 215,000 | c | 229,252 | |
Windsor Holdings III LLC, Sr. Scd. Notes | | 8.50 | | 6/15/2030 | | 332,000 | c | 347,364 | |
| | 6,925,925 | |
Consumer Staples - .2% | | | | | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC, Sr. Scd. Notes | | 4.75 | | 1/15/2029 | | 280,000 | c | 267,298 | |
Diversified Financials - 2.6% | | | | | |
Encore Capital Group, Inc., Sr. Scd. Bonds | GBP | 5.38 | | 2/15/2026 | | 230,000 | c | 280,587 | |
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 580,000 | c | 635,291 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 455,000 | c | 448,760 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Diversified Financials - 2.6% (continued) | | | | | |
Garfunkelux Holdco 3 SA, Sr. Scd. Notes | EUR | 6.75 | | 11/1/2025 | | 1,170,000 | c | 1,031,089 | |
Intrum AB, Sr. Unscd. Notes | EUR | 4.88 | | 8/15/2025 | | 940,000 | c | 973,505 | |
Nationstar Mortgage Holdings, Inc., Gtd. Notes | | 5.00 | | 2/1/2026 | | 410,000 | c | 401,219 | |
Navient Corp., Sr. Unscd. Notes | | 5.00 | | 3/15/2027 | | 190,000 | | 183,615 | |
OneMain Finance Corp., Gtd. Notes | | 7.88 | | 3/15/2030 | | 84,000 | | 86,542 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.88 | | 12/15/2029 | | 229,000 | c | 236,054 | |
United Wholesale Mortgage LLC, Sr. Unscd. Notes | | 5.75 | | 6/15/2027 | | 188,000 | c | 184,453 | |
| | 4,461,115 | |
Energy - 3.1% | | | | | |
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | | 8.25 | | 2/15/2026 | | 517,000 | c | 520,112 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 500,000 | c | 497,448 | |
Chesapeake Energy Corp., Gtd. Notes | | 5.88 | | 2/1/2029 | | 156,000 | c | 153,043 | |
Comstock Resources, Inc., Gtd. Notes | | 6.75 | | 3/1/2029 | | 440,000 | c | 402,940 | |
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | | 6.63 | | 2/15/2028 | | 590,000 | e | 494,856 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 396,000 | | 392,619 | |
Moss Creek Resources Holdings, Inc., Gtd. Notes | | 7.50 | | 1/15/2026 | | 260,000 | c | 259,706 | |
Noble Finance II LLC, Gtd. Notes | | 8.00 | | 4/15/2030 | | 150,000 | c | 156,210 | |
Northern Oil & Gas, Inc., Sr. Unscd. Notes | | 8.13 | | 3/1/2028 | | 260,000 | c | 263,520 | |
Northriver Midstream Finance LP, Sr. Scd. Notes | | 5.63 | | 2/15/2026 | | 250,000 | c | 242,640 | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 418,000 | c | 395,617 | |
Rockies Express Pipeline LLC, Sr. Unscd. Notes | | 4.80 | | 5/15/2030 | | 343,000 | c | 314,287 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., Sr. Unscd. Notes | | 7.88 | | 11/1/2028 | | 221,000 | c | 229,190 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 445,000 | c | 377,648 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 4.13 | | 8/15/2031 | | 180,000 | c | 158,811 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 6.25 | | 1/15/2030 | | 76,000 | c | 75,689 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 274,000 | c | 276,961 | |
| | 5,211,297 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Environmental Control - .2% | | | | | |
Covanta Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 91,000 | | 77,653 | |
Madison IAQ LLC, Sr. Scd. Notes | | 4.13 | | 6/30/2028 | | 54,000 | c | 49,148 | |
Waste Pro USA, Inc., Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 236,000 | c | 227,417 | |
| | 354,218 | |
Food Products - .5% | | | | | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 264,000 | c | 301,174 | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 258,000 | | 218,452 | |
US Foods, Inc., Gtd. Notes | | 6.88 | | 9/15/2028 | | 252,000 | c | 259,714 | |
| | 779,340 | |
Health Care - 2.5% | | | | | |
Bausch Health Cos., Inc., Sr. Scd. Notes | | 11.00 | | 9/30/2028 | | 255,000 | c | 186,017 | |
Cheplapharm Arzneimittel GmbH, Sr. Scd. Bonds | EUR | 4.38 | | 1/15/2028 | | 320,000 | c | 345,349 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 260,000 | c | 246,132 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 332,000 | c | 278,125 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 670,000 | c | 623,397 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 8.00 | | 3/15/2026 | | 50,000 | c | 49,878 | |
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 255,000 | c | 307,637 | |
Ephios Subco 3 Sarl, Sr. Scd. Bonds | EUR | 7.88 | | 1/31/2031 | | 260,000 | c | 297,587 | |
LifePoint Health, Inc., Sr. Scd. Notes | | 9.88 | | 8/15/2030 | | 654,000 | c | 661,744 | |
Medline Borrower LP, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 282,000 | c | 255,310 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 71,000 | c | 67,018 | |
Option Care Health, Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 401,000 | c | 362,892 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Scd. Notes | | 4.13 | | 4/30/2028 | | 200,000 | c | 184,278 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.63 | | 6/15/2028 | | 180,000 | | 171,889 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 6.75 | | 5/15/2031 | | 260,000 | c | 266,058 | |
| | 4,303,311 | |
Industrial - .7% | | | | | |
Artera Services LLC, Sr. Scd. Notes | | 9.03 | | 12/4/2025 | | 200,000 | c | 189,385 | |
Assemblin Group AB, Sr. Scd. Bonds, (3 Month EURIBOR +5.00%) | EUR | 8.96 | | 7/5/2029 | | 303,000 | c,f | 340,310 | |
Husky III Holding Ltd., Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 245,000 | c,d | 244,539 | |
TK Elevator Midco GmbH, Sr. Scd. Bonds | EUR | 4.38 | | 7/15/2027 | | 320,000 | c | 342,737 | |
| | 1,116,971 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Information Technology - .9% | | | | | |
AthenaHealth Group, Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 867,000 | c | 787,680 | |
Central Parent, Inc./CDK Global, Inc., Sr. Scd. Notes | | 7.25 | | 6/15/2029 | | 285,000 | c | 290,869 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 6.50 | | 3/31/2029 | | 268,000 | c | 255,471 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 298,000 | c | 273,953 | |
| | 1,607,973 | |
Insurance - .7% | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 670,000 | c | 605,657 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 6.75 | | 4/15/2028 | | 360,000 | c | 368,516 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unscd. Notes | | 6.75 | | 10/15/2027 | | 260,000 | c | 259,350 | |
| | 1,233,523 | |
Internet Software & Services - .3% | | | | | |
The Very Group Funding PLC, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 469,000 | c | 522,833 | |
Materials - 1.6% | | | | | |
ARD Finance SA, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 370,000 | c,d | 205,974 | |
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | | 8.75 | | 4/15/2030 | | 460,000 | c | 429,445 | |
Clydesdale Acquisition Holdings, Inc., Sr. Scd. Notes | | 6.63 | | 4/15/2029 | | 230,000 | c | 226,386 | |
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 390,000 | c | 356,934 | |
LABL, Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 240,000 | c | 233,647 | |
LABL, Inc., Sr. Scd. Notes | | 9.50 | | 11/1/2028 | | 169,000 | c | 170,901 | |
LABL, Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 284,000 | c | 272,690 | |
Mauser Packaging Solutions Holding Co., Scd. Notes | | 9.25 | | 4/15/2027 | | 91,000 | c | 89,420 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Notes | | 7.88 | | 8/15/2026 | | 343,000 | c | 349,373 | |
Trivium Packaging Finance BV, Sr. Scd. Bonds | EUR | 3.75 | | 8/15/2026 | | 420,000 | c | 450,468 | |
| | 2,785,238 | |
Media - 4.0% | | | | | |
Altice Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 200,000 | c | 177,749 | |
Altice Finco SA, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 160,000 | c | 147,232 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.25 | | 1/15/2034 | | 90,000 | c | 73,257 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.50 | | 5/1/2032 | | 288,000 | | 247,043 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Media - 4.0% (continued) | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 733,000 | c | 708,660 | |
CSC Holdings LLC, Gtd. Notes | | 5.38 | | 2/1/2028 | | 310,000 | c | 274,125 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 280,000 | c | 258,991 | |
CSC Holdings LLC, Gtd. Notes | | 11.25 | | 5/15/2028 | | 200,000 | c | 206,213 | |
CSC Holdings LLC, Sr. Unscd. Bonds | | 5.25 | | 6/1/2024 | | 390,000 | | 382,060 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 410,000 | c | 255,651 | |
DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., Sr. Scd. Notes | | 5.88 | | 8/15/2027 | | 475,000 | c | 446,689 | |
DISH DBS Corp., Gtd. Notes | | 7.75 | | 7/1/2026 | | 234,000 | | 163,224 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 839,000 | c | 876,480 | |
Gray Television, Inc., Gtd. Notes | | 5.88 | | 7/15/2026 | | 80,000 | c | 77,891 | |
Gray Television, Inc., Gtd. Notes | | 7.00 | | 5/15/2027 | | 90,000 | c | 85,631 | |
iHeartCommunications, Inc., Sr. Scd. Notes | | 6.38 | | 5/1/2026 | | 370,000 | | 315,811 | |
Nexstar Media, Inc., Gtd. Notes | | 4.75 | | 11/1/2028 | | 290,000 | c | 267,463 | |
Scripps Escrow, Inc., Gtd. Notes | | 5.88 | | 7/15/2027 | | 251,000 | c | 223,231 | |
Summer BidCo BV, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 397,493 | c,d | 438,129 | |
Summer BidCo BV, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 215,679 | c,d | 237,729 | |
TEGNA, Inc., Gtd. Notes | | 4.75 | | 3/15/2026 | | 230,000 | c | 223,894 | |
Virgin Media Secured Finance PLC, Sr. Scd. Bonds | GBP | 5.00 | | 4/15/2027 | | 300,000 | c | 373,485 | |
VZ Secured Financing BV, Sr. Scd. Notes | EUR | 3.50 | | 1/15/2032 | | 380,000 | c | 371,607 | |
| | 6,832,245 | |
Metals & Mining - .7% | | | | | |
Arsenal AIC Parent LLC, Sr. Scd. Notes | | 8.00 | | 10/1/2030 | | 220,000 | c | 229,814 | |
Cleveland-Cliffs, Inc., Gtd. Notes | | 6.75 | | 4/15/2030 | | 132,000 | c | 134,024 | |
FMG Resources August 2006 Pty Ltd., Gtd. Notes | | 4.38 | | 4/1/2031 | | 420,000 | c | 384,759 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 7.00 | | 2/15/2026 | | 516,000 | c | 490,396 | |
| | 1,238,993 | |
Real Estate - 2.3% | | | | | |
Diversified Healthcare Trust, Gtd. Notes | | 4.38 | | 3/1/2031 | | 178,000 | | 133,810 | |
Diversified Healthcare Trust, Gtd. Notes | | 9.75 | | 6/15/2025 | | 206,000 | | 202,402 | |
Diversified Healthcare Trust, Sr. Unscd. Notes | | 4.75 | | 2/15/2028 | | 473,000 | | 363,983 | |
Diversified Healthcare Trust, Sr. Unscd. Notes | | 4.75 | | 5/1/2024 | | 370,000 | | 369,001 | |
Emeria SASU, Sr. Scd. Bonds | EUR | 7.75 | | 3/31/2028 | | 1,000,000 | | 1,072,625 | |
Emeria SASU, Sr. Scd. Bonds | EUR | 7.75 | | 3/31/2028 | | 510,000 | c | 547,039 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Real Estate - 2.3% (continued) | | | | | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | | 5.25 | | 10/1/2025 | | 300,000 | c | 296,215 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 420,000 | c | 389,231 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 412,000 | c | 406,014 | |
Service Properties Trust, Sr. Unscd. Notes | | 4.50 | | 3/15/2025 | | 170,000 | | 166,177 | |
| | 3,946,497 | |
Retailing - 1.4% | | | | | |
Advance Auto Parts, Inc., Gtd. Notes | | 5.95 | | 3/9/2028 | | 155,000 | | 154,342 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 230,000 | c | 208,899 | |
Foundation Building Materials, Inc., Gtd. Notes | | 6.00 | | 3/1/2029 | | 180,000 | c | 162,029 | |
PetSmart, Inc./PetSmart Finance Corp., Gtd. Notes | | 7.75 | | 2/15/2029 | | 500,000 | c | 486,824 | |
Shiba Bidco SpA, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 354,000 | c | 368,388 | |
SRS Distribution, Inc., Gtd. Notes | | 6.00 | | 12/1/2029 | | 319,000 | c | 297,808 | |
Staples, Inc., Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 210,000 | c | 195,561 | |
Staples, Inc., Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 60,000 | c | 43,780 | |
White Cap Buyer LLC, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 478,000 | c | 463,307 | |
White Cap Parent LLC, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 80,000 | c,d | 79,733 | |
| | 2,460,671 | |
Technology Hardware & Equipment - .4% | | | | | |
McAfee Corp., Sr. Unscd. Notes | | 7.38 | | 2/15/2030 | | 310,000 | c | 283,522 | |
Western Digital Corp., Gtd. Notes | | 4.75 | | 2/15/2026 | | 340,000 | | 333,781 | |
| | 617,303 | |
Telecommunication Services - 2.2% | | | | | |
Altice France Holding SA, Sr. Scd. Notes | EUR | 8.00 | | 5/15/2027 | | 1,150,000 | c | 732,822 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 800,000 | c | 659,492 | |
C&W Senior Financing DAC, Sr. Unscd. Notes | | 6.88 | | 9/15/2027 | | 400,000 | c | 373,076 | |
Frontier Communications Holdings LLC, Scd. Notes | | 6.75 | | 5/1/2029 | | 110,000 | c | 98,477 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 5.88 | | 10/15/2027 | | 86,000 | c | 83,156 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 289,000 | c | 297,528 | |
Iliad Holding SASU, Sr. Scd. Notes | | 6.50 | | 10/15/2026 | | 407,000 | c | 406,495 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 93.9% (continued) | | | | | |
Telecommunication Services - 2.2% (continued) | | | | | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.00 | | 2/15/2027 | | 289,000 | c | 186,784 | |
TalkTalk Telecom Group Ltd., Gtd. Notes | GBP | 3.88 | | 2/20/2025 | | 160,000 | | 160,861 | |
Telecom Italia Capital SA, Gtd. Notes | | 7.72 | | 6/4/2038 | | 170,000 | | 173,326 | |
Telesat Canada/Telesat LLC, Sr. Scd. Notes | | 5.63 | | 12/6/2026 | | 270,000 | c | 165,838 | |
Vmed O2 UK Financing I PLC, Sr. Scd. Bonds | GBP | 4.50 | | 7/15/2031 | | 320,000 | c | 353,837 | |
| | 3,691,692 | |
Utilities - 2.1% | | | | | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 370,000 | c | 344,025 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 485,000 | c | 445,243 | |
Clearway Energy Operating LLC, Gtd. Notes | | 3.75 | | 1/15/2032 | | 210,000 | c | 183,195 | |
Energia Group Roi Financeco DAC, Sr. Scd. Bonds | EUR | 6.88 | | 7/31/2028 | | 540,000 | c | 620,515 | |
NextEra Energy Operating Partners LP, Gtd. Notes | | 3.88 | | 10/15/2026 | | 163,000 | c | 155,319 | |
NextEra Energy Operating Partners LP, Sr. Unscd. Notes | | 7.25 | | 1/15/2029 | | 182,000 | c | 190,651 | |
NRG Energy, Inc., Gtd. Notes | | 3.88 | | 2/15/2032 | | 120,000 | c | 102,867 | |
NRG Energy, Inc., Gtd. Notes | | 5.25 | | 6/15/2029 | | 180,000 | c | 174,513 | |
NRG Energy, Inc., Jr. Sub. Bonds | | 10.25 | | 3/15/2028 | | 300,000 | c,e | 312,624 | |
Pike Corp., Sr. Unscd. Notes | | 8.63 | | 1/31/2031 | | 173,000 | c | 182,012 | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 495,000 | c | 502,278 | |
Vistra Corp., Jr. Sub. Bonds | | 7.00 | | 12/15/2026 | | 93,000 | c,e | 91,732 | |
Vistra Operations Co. LLC, Gtd. Notes | | 4.38 | | 5/1/2029 | | 72,000 | c | 67,293 | |
Vistra Operations Co. LLC, Gtd. Notes | | 7.75 | | 10/15/2031 | | 230,000 | c | 239,048 | |
| | 3,611,315 | |
Total Bonds and Notes
(cost $164,719,302) | | 159,631,237 | |
| | | | | | | | | |
Floating Rate Loan Interests - 47.4% | | | | | |
Advertising - .4% | | | | | |
CB Poly US Holdings, Inc., Initial Term Loan, (3 Month TSFR +5.50%) | | 10.85 | | 5/20/2029 | | 224,586 | f | 222,996 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 Month TSFR +3.76%) | | 9.14 | | 8/21/2026 | | 267,030 | f | 264,748 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Advertising - .4% (continued) | | | | | |
Dotdash Meredith, Inc., Term Loan B, (1 Month TSFR +4.10%) | | 9.44 | | 12/1/2028 | | 159,592 | f | 158,794 | |
| | 646,538 | |
Aerospace & Defense - .4% | | | | | |
Dynasty Acquisition I Co., Term Loan B-1, (1 Month TSFR +4.00%) | | 9.36 | | 8/24/2028 | | 414,417 | f | 416,007 | |
Spirit AeroSystems, Inc., New Initial Term Loan, (3 Month TSFR +4.25%) | | 9.63 | | 1/15/2027 | | 147,389 | f | 148,064 | |
Standard Aero Ltd., Refinancing Term Loan B-2, (1 Month TSFR +4.00%) | | 9.36 | | 8/24/2028 | | 177,608 | f | 178,289 | |
| | 742,360 | |
Automobiles & Components - .8% | | | | | |
Burgess Point Purchaser, Initial Term Loan, (1 Month TSFR +5.35%) | | 10.71 | | 7/25/2029 | | 109,035 | f | 103,640 | |
Clarios Global LP, First Lien Amendment No. 1 Euro Term Loan, (1 Month EURIBOR +3.25%) | EUR | 7.09 | | 4/30/2026 | | 664,804 | f | 736,549 | |
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month TSFR +5.43%) | | 10.88 | | 3/30/2027 | | 251,324 | f | 249,911 | |
First Brands Group LLC, First Lien 2021 Term Loan, (6 Month TSFR +5.43%) | | 10.88 | | 3/30/2027 | | 129,335 | f | 128,527 | |
Realtruck Group, Inc., Initial Term Loan, (1 Month TSFR +3.50%) | | 8.97 | | 1/29/2028 | | 169,130 | f | 167,298 | |
Realtruck Group, Inc., Second Amendment Incremental Term Loan, (1 Month TSFR +5.00%) | | 10.47 | | 1/29/2028 | | 40,000 | f | 40,000 | |
| | 1,425,925 | |
Banks - .1% | | | | | |
Ascensus Holdings, Inc., Second Lien Initial Term Loan, (3 Month TSFR +6.76%) | | 12.18 | | 8/2/2029 | | 98,446 | f | 95,062 | |
Beverage Products - .3% | | | | | |
Triton Water Holdings, Inc., First Lien Initial Term Loan, (3 Month TSFR +3.51%) | | 8.86 | | 3/31/2028 | | 491,222 | f | 487,538 | |
Building Materials - 1.4% | | | | | |
BME Group Holding BV, Facility B2, (3 Month EURIBOR +4.75%) | EUR | 8.70 | | 12/31/2029 | | 1,000,000 | f | 1,057,181 | |
Cornerstone Building, New Term Loan B, (1 Month TSFR +3.35%) | | 8.71 | | 4/12/2028 | | 508,991 | f | 509,999 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Building Materials - 1.4% (continued) | | | | | |
LSF10 XL Bidco SCA, Facility Term Loan B-4, (3 Month EURIBOR +4.18%) | EUR | 8.10 | | 4/9/2028 | | 853,470 | f | 833,517 | |
| | 2,400,697 | |
Chemicals - 2.5% | | | | | |
Aruba Investment Holding, Euro Term Loan B, (1 Month EURIBOR +4.00%) | EUR | 7.84 | | 11/24/2027 | | 972,500 | f | 1,019,912 | |
Aruba Investment Holding, First Lien Initial Dollar Term Loan, (1 Month TSFR +4.10%) | | 9.46 | | 11/24/2027 | | 94,345 | f | 93,313 | |
Derby Buyer LLC, Initial Term Loan, (1 Month TSFR +4.25%) | | 9.59 | | 11/1/2030 | | 99,123 | f | 99,371 | |
Flint Group Packaging Inks North America Holdings, Term Loan B, (3 Month TSFR +5.26%) | | 10.67 | | 12/31/2026 | | 861,307 | d,f | 790,250 | |
Flint Group Topco Ltd., Facility Term Loan, (3 Month EURIBOR +0.10%) | EUR | 4.10 | | 12/31/2027 | | 90,862 | d,f | 12,371 | |
Flint Group Topco Ltd., Term Loan 2, (3 Month TSFR +7.26%) | | 12.67 | | 12/31/2027 | | 2,130,704 | d,f | 262,790 | |
Flint Group Topco Ltd., USD Term Loan, (3 Month TSFR +7.26%) | | 12.67 | | 12/31/2027 | | 419,987 | d,f | 308,690 | |
Herens Holdco Sarl, Term Loan, (3 Month EURIBOR +3.93%) | EUR | 7.85 | | 7/3/2028 | | 1,000,000 | f | 1,016,556 | |
Hexion Holdings Corp., First Lien Initial Term Loan, (3 Month TSFR +4.65%) | | 10.02 | | 3/15/2029 | | 209,468 | f | 201,801 | |
SCIH Salt Holdings, Inc., First Lien Incremental Term Loan B-1, (1 Month TSFR +4.11%) | | 9.47 | | 3/16/2027 | | 400,026 | f | 401,182 | |
| | 4,206,236 | |
Commercial & Professional Services - 6.1% | | | | | |
Albion Financing 3 Sarl, 2023 & 2026 Term Loan, (3 Month EURIBOR +5.25%) | EUR | 9.25 | | 8/17/2026 | | 1,000,000 | f | 1,108,559 | |
Albion Financing 3 SARL, 2023 Incremental Term Loan B, (3 Month EURIBOR +5.25%) | EUR | 9.25 | | 8/17/2026 | | 1,000,000 | f | 1,108,785 | |
American Auto Auction, First Lien Tranche Term Loan B, (3 Month TSFR +5.15%) | | 10.50 | | 12/30/2027 | | 601,640 | f | 594,619 | |
CIBT Global, Inc., First Lien Term Loan, (3 Month TSFR +1.26%) | | 4.75 | | 6/1/2024 | | 1,089,118 | f | 687,702 | |
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.61%) | | 8.97 | | 6/2/2028 | | 183,500 | f | 179,066 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Commercial & Professional Services - 6.1% (continued) | | | | | |
Division Holding Corp., Term Loan B, (1 Month TSFR +4.86%) | | 10.22 | | 5/27/2028 | | 155,901 | f | 155,122 | |
Europa University Education Group SL, Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 4.50 | | 11/2/2029 | | 1,000,000 | f,h | 1,096,222 | |
Indy US Holdco LLC, 2023 Incremental Dollar Term Loan, (1 Month TSFR +6.25%) | | 11.61 | | 3/6/2028 | | 1,023,940 | f | 1,004,101 | |
Infinitas Learning Finco, Term Loan B, (6 Month EURIBOR +4.45%) | EUR | 8.59 | | 9/30/2028 | | 1,000,000 | f | 1,099,021 | |
KUEHG Corp., Term Loan, (3 Month TSFR +5.00%) | | 10.35 | | 6/12/2030 | | 329,175 | f | 331,027 | |
Modulaire Group Holdings, Facility Term Loan B, (3 Month EURIBOR +4.43%) | EUR | 8.35 | | 12/31/2028 | | 1,000,000 | f | 1,058,346 | |
Neptune BidCo US, Inc., Dollar Term Loan B, (3 Month TSFR +5.10%) | | 10.51 | | 4/11/2029 | | 411,479 | f | 376,960 | |
OMNIA Partners LLC, Delayed Draw Term Loan, (1 Month TSFR +4.25%) | | 4.25 | | 7/25/2030 | | 23,615 | f | 23,792 | |
OMNIA Partners LLC, Initial Term Loan, (3 Month TSFR +4.25%) | | 9.63 | | 7/25/2030 | | 251,385 | f | 253,272 | |
Prometric Holdings, Inc., First Lien Term Loan, (1 Month TSFR +5.36%) | | 10.72 | | 1/29/2025 | | 189,681 | f | 189,830 | |
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, (1 Month TSFR +4.36%) | | 9.72 | | 7/10/2028 | | 170,788 | f | 161,053 | |
Safe Fleet Holdings LLC, Second Lien Initial Term Loan, (1 Month TSFR +6.85%) | | 12.21 | | 2/1/2026 | | 96,800 | f | 94,670 | |
Signal Parent, Inc., Initial Term Loan, (1 Month TSFR +3.60%) | | 8.96 | | 4/1/2028 | | 351,174 | f | 314,652 | |
Spring Education Group, Inc., Initial Term Loan, (3 Month TSFR +4.50%) | | 9.85 | | 10/4/2030 | | 209,035 | f | 209,897 | |
Vaco Holdings LLC, Initial Term Loan, (6 Month TSFR +5.00%) | | 10.43 | | 1/21/2029 | | 29,924 | f | 29,606 | |
Verscend Holding Corp., New Term Loan B, (1 Month TSFR +4.11%) | | 9.47 | | 8/27/2025 | | 333,291 | f | 334,817 | |
| | 10,411,119 | |
Consumer Discretionary - 3.3% | | | | | |
AI Aqua Merger Sub, Inc., Initial Term Loan B, (1 Month TSFR +3.75%) | | 9.09 | | 7/31/2028 | | 362,242 | f | 362,970 | |
Ammega Group BV, 2023 Facility Term Loan B-2, (3 Month EURIBOR +5.00%) | EUR | 8.93 | | 12/1/2028 | | 1,500,000 | f | 1,657,167 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Consumer Discretionary - 3.3% (continued) | | | | | |
AP Gaming I LLC, Term Loan B, (1 Month TSFR +4.10%) | | 9.46 | | 2/15/2029 | | 236,333 | f | 237,588 | |
Awaze Ltd., Facility B3, (3 Month EURIBOR +5.00%) | EUR | 8.93 | | 9/25/2028 | | 623,154 | f | 672,886 | |
Bally's Corp., Facility Term Loan B, (3 Month TSFR +3.51%) | | 8.93 | | 10/2/2028 | | 186,425 | f | 177,193 | |
Cirque Du Soleil Holding, Initial Term Loan, (3 Month TSFR +4.25%) | | 9.60 | | 3/8/2030 | | 154,223 | f | 153,886 | |
Compass III Limited, Term Loan B, (3 Month EURIBOR +5.00%) | EUR | 8.93 | | 5/9/2028 | | 376,846 | f | 406,921 | |
Crown Finance US, Inc., Initial Term Loan, (3 Month TSFR +1.50%) | | 7.38 | | 7/31/2028 | | 202,305 | d,f | 205,846 | |
ECL Entertainment LLC, Facility Term Loan B, (1 Month TSFR +4.75%) | | 10.11 | | 9/2/2030 | | 152,950 | f | 153,561 | |
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan, (1 Month TSFR +4.25%) | | 9.72 | | 4/26/2028 | | 222,938 | f | 219,873 | |
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan, (1 Month TSFR +4.36%) | | 9.72 | | 4/26/2028 | | 123,854 | f | 122,151 | |
Ontario Gaming GTA LP, Term Loan B, (3 Month TSFR +4.25%) | | 9.60 | | 7/20/2030 | | 258,333 | f | 259,763 | |
Tecta America Corp., First Lien Initial Term Loan, (1 Month TSFR +4.11%) | | 9.47 | | 4/10/2028 | | 472,767 | f | 474,689 | |
Verde Purchaser LLC, Initial Term Loan, (1 Month TSFR +5.00%) | | 10.35 | | 12/2/2030 | | 210,000 | f | 204,357 | |
Windsor Holdings III LLC, USD 2023 Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 8/1/2030 | | 302,575 | f | 305,222 | |
| | 5,614,073 | |
Consumer Durables & Apparel - .1% | | | | | |
S&S Holdings LLC, First Lien Initial Term Loan, (3 Month TSFR +5.10%) | | 10.50 | | 3/11/2028 | | 158,917 | f | 155,838 | |
Consumer Staples - .5% | | | | | |
Hunter Douglas, Inc., Tranche Term Loan B-1, (3 Month TSFR +3.50%) | | 8.88 | | 2/26/2029 | | 460,863 | f | 459,941 | |
Kronos Acquisition Holdings, Inc., Tranche Term Loan B-1, (3 Month TSFR +4.01%) | | 9.36 | | 12/22/2026 | | 410,917 | f | 411,315 | |
| | 871,256 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Diversified Financials - 1.5% | | | | | |
BHN Merger Sub, Inc., Second Lien Term Loan, (1 Month TSFR +7.10%) | | 12.46 | | 6/15/2026 | | 145,000 | f | 143,550 | |
Edelman Financial Center, Term Loan, (1 Month TSFR +3.75%) | | 8.97 | | 4/7/2028 | | 523,291 | f | 524,683 | |
Edelman Financial Center, Term Loan B, (1 Month TSFR +6.75%) | | 12.22 | | 7/20/2026 | | 120,000 | f | 120,225 | |
Nexus Buyer LLC, Amendment No. 5 Term Loan, (1 Month TSFR +4.50%) | | 9.86 | | 12/13/2028 | | 180,000 | f | 179,101 | |
Russell Investments US, 2025 New Term Loan, (1 Month TSFR +3.60%) | | 8.96 | | 5/30/2025 | | 492,179 | f | 462,341 | |
Trevise Holdings 1, Term Loan, (1 Month EURIBOR +4.90%) | EUR | 8.76 | | 7/31/2029 | | 1,000,000 | f | 1,117,197 | |
| | 2,547,097 | |
Electronic Components - .3% | | | | | |
Roper Industrial Products Investment Co., First Lien Term Loan, (3 Month TSFR +4.00%) | | 9.35 | | 11/22/2029 | | 453,079 | f | 454,638 | |
Energy - 1.0% | | | | | |
Freeport LNG Investments, Initial Term Loan B, (3 Month TSFR +3.76%) | | 9.18 | | 12/21/2028 | | 578,885 | f | 579,455 | |
Gulf Finance LLC, Term Loan, (1-12 Month TSFR +7.02%) | | 12.43 | | 8/25/2026 | | 508,011 | f | 509,281 | |
Traverse Midstream Partners, Advance Term Loan, (3 Month TSFR +3.85%) | | 9.24 | | 9/27/2024 | | 314,193 | f | 315,109 | |
WaterBridge Midstream Operating, Initial Term Loan, (3 Month TSFR +6.01%) | | 11.39 | | 6/21/2026 | | 344,210 | f | 345,158 | |
| | 1,749,003 | |
Financials - .1% | | | | | |
Jump Financial LLC, Term Loan, (3 Month TSFR +4.76%) | | 10.11 | | 8/6/2028 | | 197,975 | f | 196,985 | |
Food Products - 1.4% | | | | | |
Biscuit Holding SASU, Facility Term Loan B, (6 Month EURIBOR +4.00%) | EUR | 8.14 | | 2/14/2027 | | 1,000,000 | f | 997,143 | |
Chobani LLC, 2023 Additional Term Loan, (1 Month TSFR +3.75%) | | 9.11 | | 10/25/2027 | | 86,667 | f | 86,920 | |
Max US Bidco, Inc., Initial Term Loan, (3 Month TSFR +5.00%) | | 10.35 | | 10/2/2030 | | 260,000 | f | 243,685 | |
ZF Invest SAS, Term Loan B, (3 Month EURIBOR +3.73%) | EUR | 7.71 | | 7/12/2028 | | 1,000,000 | f | 1,076,202 | |
| | 2,403,950 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Food Service - .6% | | | | | |
Telfer Investments SL, Facility Term Loan B-1, (6 Month EURIBOR +4.75%) | EUR | 8.70 | | 7/1/2026 | | 1,000,000 | f | 1,088,842 | |
Foreign Governmental - .7% | | | | | |
WP/AP Holdings, Facility Term Loan B, (3 Month EURIBOR +3.80%) | EUR | 7.73 | | 11/18/2028 | | 1,000,000 | f | 1,105,959 | |
Health Care - 7.9% | | | | | |
Auris Luxembourg III SA, Facility Term Loan B-1, (6 Month EURIBOR +4.00%) | EUR | 8.03 | | 2/21/2026 | | 2,000,000 | f | 2,175,345 | |
Auris Luxembourg III SA, Facility Term Loan B-2, (3-6 Month TSFR +3.75%) | | 9.61 | | 2/21/2026 | | 313,355 | f | 310,143 | |
Chrome BidCo SASU, Incremental TLC Facility Term Loan, (1 Month EURIBOR +4.00%) | EUR | 7.84 | | 2/16/2029 | | 1,000,000 | f | 996,315 | |
eResearchTechnology, Inc., First Lien Initial Term Loan, (1 Month TSFR +4.61%) | | 9.96 | | 2/4/2027 | | 435,995 | f | 436,098 | |
Financiere Verdi I SASU, Facility Term Loan B, (3 Month SONIA +4.50%) | GBP | 9.75 | | 4/15/2028 | | 1,500,000 | f | 1,759,017 | |
Gainwell Acquisition Corp., Term Loan B, (3 Month TSFR +4.10%) | | 9.45 | | 10/1/2027 | | 523,709 | f | 510,616 | |
GHX Ultimate Parent Corp., 2023 Term Loan, (3 Month TSFR +4.75%) | | 10.12 | | 6/28/2027 | | 169,150 | f | 169,820 | |
Inovie SASU, Senior Facility Term Loan B, (3 Month EURIBOR +4.00%) | EUR | 7.93 | | 3/3/2028 | | 1,000,000 | f | 1,011,340 | |
Inula Natural Health Group, Senior Facility Term Loan B, (3 Month EURIBOR +3.75%) | EUR | 7.68 | | 12/11/2025 | | 903,382 | f | 966,123 | |
LifePoint Health, Inc., Term Loan B, (3 Month TSFR +5.76%) | | 11.17 | | 11/16/2028 | | 260,000 | f | 259,708 | |
Neuraxpharm Arzneimittel, Facility Term Loan B-1, (3 Month EURIBOR +3.75%) | EUR | 7.70 | | 12/11/2027 | | 633,857 | f | 695,373 | |
Neuraxpharm Arzneimittel, Facility Term Loan B-2, (3 Month EURIBOR +3.75%) | EUR | 7.70 | | 12/11/2027 | | 366,143 | f | 401,677 | |
Pique Bidco SL, Term Loan, (3 Month EURIBOR +4.75%) | EUR | 8.68 | | 12/18/2030 | | 1,000,000 | f | 1,099,810 | |
Sirona BidCo SASU, Facility Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 8.43 | | 12/16/2028 | | 1,000,000 | f | 966,298 | |
Star Parent, Inc., Term Loan, (3 Month TSFR +4.00%) | | 9.35 | | 9/30/2030 | | 150,000 | f | 148,604 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Health Care - 7.9% (continued) | | | | | |
US Anesthesia Partners, Initial Term Loan, (1 Month TSFR +4.36%) | | 9.71 | | 10/2/2028 | | 158,030 | f | 145,037 | |
VetStrategy Canada Holdings, Inc., Facility Term Loan B-9, (3 Month TSFR +5.50%) | | 10.87 | | 11/20/2028 | | 1,000,000 | f | 1,005,415 | |
WCG Purchaser Corp., First Lien Initial Term Loan, (1 Month TSFR +4.11%) | | 9.47 | | 1/8/2027 | | 376,996 | f | 378,293 | |
| | 13,435,032 | |
Industrial - .6% | | | | | |
CPM Holdings, Inc., Initial Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 9/28/2028 | | 243,469 | f | 244,586 | |
DXP Enterprises, Inc./TX, Initial Term Loan, (6 Month TSFR +4.85%) | | 10.29 | | 10/7/2030 | | 269,167 | f | 270,849 | |
LSF12 Badger Bidco LLC, Initial Term Loan, (1 Month TSFR +6.00%) | | 11.36 | | 7/10/2030 | | 190,000 | f | 189,881 | |
Powerteam Services LLC, First Lien Initial Term Loan, (3 Month TSFR +3.35%) | | 8.70 | | 3/6/2025 | | 179,050 | f | 169,042 | |
Revere Power LLC, Term Loan B, (1 Month TSFR +4.25%) | | 9.71 | | 3/30/2026 | | 182,007 | f | 161,440 | |
Revere Power LLC, Term Loan C, (1 Month TSFR +4.25%) | | 9.71 | | 3/30/2026 | | 15,939 | f | 14,138 | |
| | 1,049,936 | |
Information Technology - 3.1% | | | | | |
Boxer Parent Co., Inc., 2021 Replacement Dollar Term Loan, (1 Month TSFR +3.75%) | | 9.11 | | 10/2/2025 | | 390,215 | f | 392,045 | |
Dedalus Finance GmbH, Additional Term Loan B-2, (3 Month EURIBOR +3.75%) | EUR | 7.71 | | 5/31/2027 | | 1,000,000 | f | 1,052,429 | |
HireRight Holdings Corp., Term Loan B, (1 Month TSFR +4.00%) | | 9.36 | | 9/30/2030 | | 216,082 | f | 215,888 | |
HS Purchaser LLC, First Lien 7th Amendment Refinancing Term Loan, (3 Month TSFR +4.10%) | | 9.48 | | 11/30/2026 | | 273,579 | f | 259,998 | |
Idera, Inc., First Lien Initial Term Loan, (3 Month TSFR +3.90%) | | 9.28 | | 3/2/2028 | | 316,743 | f | 315,753 | |
Mitchell International, First Lien Initial Term Loan, (3 Month TSFR +4.01%) | | 9.40 | | 10/15/2028 | | 315,980 | f | 316,299 | |
Mitchell International, Second Lien Initial Term Loan, (3 Month TSFR +6.76%) | | 12.15 | | 10/15/2029 | | 107,692 | f | 106,044 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Information Technology - 3.1% (continued) | | | | | |
Polaris Newco LLC, First Lien Dollar Term Loan, (1 Month TSFR +4.11%) | | 9.47 | | 6/5/2028 | | 306,755 | f | 303,035 | |
Project Alpha Intermediate Holding, Inc., Term Loan B, (1 Month TSFR +4.75%) | | 10.11 | | 10/26/2030 | | 233,333 | f | 235,059 | |
Quest Software, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.40%) | | 9.78 | | 2/1/2029 | | 396,040 | f | 304,511 | |
Tibco Software, Inc., Term Loan, (2-3 Month TSFR +4.60%) | | 9.95 | | 10/2/2028 | | 278,509 | f | 272,308 | |
UKG, Inc., 2021 Second Lien Incremental Term Loan, (3 Month TSFR +5.35%) | | 10.76 | | 5/3/2027 | | 70,000 | f | 70,269 | |
West Technology Group LLC, Term Loan B-3, (3 Month TSFR +4.25%) | | 9.63 | | 4/10/2027 | | 124,976 | f | 119,430 | |
Zellis Holdings Ltd., Term Loan B-2, (3 Month SONIO +5.75%) | GBP | 5.75 | | 1/31/2028 | | 1,000,000 | f | 1,261,904 | |
| | 5,224,972 | |
Insurance - 3.5% | | | | | |
Acrisure LLC, 2023 Term Loan B, (3 Month TSFR +4.50%) | | 9.89 | | 11/6/2030 | | 486,822 | f | 488,648 | |
Amynta Agency Borrower, 2023 Refinancing Term Loan, (1 Month TSFR +5.10%) | | 10.44 | | 2/28/2028 | | 544,743 | f | 546,105 | |
Asurion LLC, Second Lien Term Loan B-3, (1 Month TSFR +5.36%) | | 10.72 | | 2/3/2028 | | 1,083,367 | f | 1,035,515 | |
Asurion LLC, Term Loan B-4, (1 Month TSFR +5.36%) | | 10.72 | | 1/20/2029 | | 71,244 | f | 67,408 | |
OneDigital Borrower LLC, 2021 Term Loan B, (1 Month TSFR +4.35%) | | 9.71 | | 11/16/2027 | | 257,374 | f | 257,536 | |
Selectquote, Inc., Initial Term Loan, (1 Month TSFR +9.60%) | | 14.96 | | 11/5/2024 | | 3,730,202 | f,h | 3,543,692 | |
| | 5,938,904 | |
Internet Software & Services - 3.6% | | | | | |
Endure Digital, Inc., Initial Term Loan, (6 Month TSFR +3.93%) | | 9.42 | | 2/10/2028 | | 192,766 | f | 189,363 | |
ION Trading Finance Ltd., Initial Dollar Term Loan, (3 Month TSFR +4.85%) | | 10.20 | | 4/3/2028 | | 126,750 | f | 127,057 | |
ION Trading Finance Ltd., Initial Euro Term Loan, (3 Month EURIBOR +4.25%) | EUR | 8.18 | | 4/3/2028 | | 1,950,000 | f | 2,082,740 | |
Magnite, Inc., Initial Term Loan, (1-3 Month TSFR +5.21%) | | 10.59 | | 5/1/2028 | | 237,563 | f | 238,703 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Internet Software & Services - 3.6% (continued) | | | | | |
MH Sub I LLC, 2023 May New Term Loan, (1 Month TSFR +4.25%) | | 9.61 | | 5/3/2028 | | 432,032 | f | 425,551 | |
PUG LLC, USD Term Loan B, (1 Month TSFR +3.61%) | | 8.97 | | 2/16/2027 | | 333,497 | f | 328,980 | |
THG Operations Holdings, Facility Term Loan B, (6 Month EURIBOR +4.50%) | EUR | 8.46 | | 12/11/2026 | | 1,000,000 | f | 1,066,890 | |
Weddingwire, Inc., Term Loan, (1-3 Month TSFR +4.50%) | | 9.89 | | 1/31/2028 | | 359,100 | f | 359,100 | |
ZPG Ltd., First Lien Facility B3, (3 Month SONIO +6.00%) | GBP | 11.19 | | 7/31/2028 | | 1,000,000 | f | 1,260,310 | |
| | 6,078,694 | |
Materials - .8% | | | | | |
Berlin Packaging LLC, Tranche Term Loan B-5, (3 Month TSFR +3.94%) | | 9.28 | | 3/11/2028 | | 204,327 | f | 204,803 | |
Clydesdale Acquisition, Term Loan B, (1 Month TSFR +4.28%) | | 9.63 | | 4/13/2029 | | 451,816 | f | 454,357 | |
Crosby US Acquisition Corp., First Amendment Term Loan, (1 Month TSFR +5.00%) | | 10.36 | | 6/29/2026 | | 164,103 | f | 164,616 | |
MAR Bidco Sarl, USD Facility Term Loan B, (3 Month SOFR +4.20%) | | 9.51 | | 6/29/2028 | | 107,848 | f | 102,635 | |
Proampac PG Borrower LLC, Term Loan, (3 Month TSFR +4.50%) | | 9.88 | | 9/15/2028 | | 468,948 | f | 470,413 | |
| | 1,396,824 | |
Media - 1.3% | | | | | |
Altice Financing SA, September 2023 Incremental Euro Loan, (3 Month EURIBOR +5.00%) | EUR | 8.93 | | 11/1/2027 | | 1,000,000 | f | 1,077,179 | |
Cengage Learning, Inc., 2021 Refinancing Term Loan, (3 Month TSFR +5.01%) | | 10.41 | | 7/14/2026 | | 306,405 | f | 307,764 | |
NEP Europe Finco BV, Initial Euro Term Loan, (3 Month EURIBOR +3.50%) | EUR | 7.47 | | 10/20/2025 | | 914,573 | f | 872,079 | |
| | 2,257,022 | |
Metals & Mining - .2% | | | | | |
Arsenal AIC Parent LLC, Term Loan B, (1 Month TSFR +4.50%) | | 9.86 | | 8/19/2030 | | 242,392 | f | 243,756 | |
Real Estate - .2% | | | | | |
Cushman & Wakefield US Borrower LLC, 2023-2 Refinancing Term Loan, (1 Month TSFR +4.00%) | | 9.36 | | 1/31/2030 | | 255,000 | f | 255,319 | |
Forest City Enterprises LP, Term Loan B, (1 Month TSFR +3.61%) | | 8.86 | | 12/8/2025 | | 95,000 | f | 90,428 | |
| | 345,747 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Retailing - .7% | | | | | |
Breitling Financing Sarl, Term Loan B, (6 Month EURIBOR +3.93%) | EUR | 7.81 | | 10/22/2028 | | 1,000,000 | f | 1,070,677 | |
Staples, Inc., 2019 Refinancing New Term Loan B-1, (1 Month LIBOR +5.00%) | | 10.46 | | 4/12/2026 | | 190,491 | f | 181,077 | |
| | 1,251,754 | |
Technology Hardware & Equipment - 1.4% | | | | | |
Atlas CC Acquisition Corp., First Lien Term Loan B, (3 Month TSFR +4.51%) | | 9.90 | | 5/25/2028 | | 288,759 | f | 269,695 | |
Atlas CC Acquisition Corp., First Lien Term Loan C, (3 Month TSFR +4.51%) | | 9.90 | | 5/25/2028 | | 58,730 | f | 54,853 | |
Kronosnet CX Bidco, Term Loan B, (3 Month EURIBOR +5.75%) | EUR | 9.72 | | 10/14/2029 | | 1,000,000 | f | 1,042,891 | |
McAfee Corp., Term Loan B, (1 Month TSFR +3.85%) | | 9.19 | | 3/1/2029 | | 342,977 | f | 342,478 | |
Optiv Parent, Inc., Term Loan, (3 Month TSFR +5.25%) | | 10.63 | | 8/26/2026 | | 213,585 | f | 204,721 | |
Perforce Software, Inc., Term Loan, (1 Month TSFR +3.85%) | | 9.21 | | 7/1/2026 | | 257,320 | f | 255,390 | |
VeriFone Systems, Inc., Initial Term Loan, (3 Month TSFR +4.00%) | | 9.64 | | 8/20/2025 | | 168,042 | f | 163,106 | |
| | 2,333,134 | |
Telecommunication Services - 1.7% | | | | | |
Altice France SA, USD Term Loan B-14, (3 Month TSFR +5.50%) | | 10.89 | | 8/31/2028 | | 324,370 | f | 292,338 | |
CCI Buyer, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.00%) | | 9.35 | | 12/17/2027 | | 268,635 | f | 268,251 | |
Consolidated Communications, Term Loan B-1, (1 Month TSFR +3.61%) | | 8.97 | | 10/4/2027 | | 282,043 | f | 263,282 | |
Frontier Communications Holdings LLC, New Term Loan B, (1 Month TSFR +3.86%) | | 9.22 | | 10/8/2027 | | 259,333 | f | 258,361 | |
Level 3 Financing, Inc., 2027 Tranche Term Loan B, (1 Month TSFR +1.75%) | | 7.22 | | 3/1/2027 | | 65,000 | f | 62,725 | |
Lorca Finco PLC, Facility Term Loan B, (6 Month EURIBOR +4.20%) | EUR | 8.10 | | 9/18/2027 | | 1,000,000 | f | 1,106,114 | |
Lumen Technologies, Inc., Term Loan B, (1 Month TSFR +2.36%) | | 7.72 | | 3/15/2027 | | 324,843 | f | 225,225 | |
Telesat LLC, Term Loan B-5, (3 Month TSFR +3.01%) | | 8.40 | | 12/7/2026 | | 355,000 | f | 229,642 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 47.4% (continued) | | | | | |
Telecommunication Services - 1.7% (continued) | | | | | |
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (1 Month TSFR +3.11%) | | 8.47 | | 3/9/2027 | | 270,000 | f | 232,783 | |
| | 2,938,721 | |
Transportation - .1% | | | | | |
PODS LLC, Term Loan, (1 Month TSFR +3.11%) | | 8.47 | | 3/31/2028 | | 244,375 | f | 239,924 | |
Utilities - .8% | | | | | |
Compass Power Generation, Tranche Term Loan B-2, (1 Month TSFR +4.36%) | | 9.72 | | 4/14/2029 | | 171,056 | f | 172,082 | |
Eastern Power LLC, Term Loan, (1 Month TSFR +3.86%) | | 9.22 | | 10/2/2025 | | 648,116 | f | 638,848 | |
Hamilton Projects Acquiror, Term Loan, (1 Month TSFR +4.61%) | | 9.97 | | 6/26/2027 | | 413,003 | f | 415,423 | |
Potomac Energy Center LLC, Term Loan, (1 Month TSFR +6.26%) | | 11.47 | | 9/30/2026 | | 164,290 | f | 152,790 | |
| | 1,379,143 | |
Total Floating Rate Loan Interests
(cost $84,198,065) | | 80,716,679 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .0% | | | | | |
Chemicals - .0% | | | | | |
Colouroz/Flint Ordinary A Shares | | | | | | 1,955,210 | i | 0 | |
Media - .0% | | | | | |
Altice USA, Inc., Cl. A | | | | | | 2,500 | i | 8,125 | |
Total Common Stocks
(cost $48,539) | | 8,125 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - .5% | | | | | |
Registered Investment Companies - .5% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $873,115) | | 5.43 | | | | 873,115 | j | 873,115 | |
Total Investments (cost $249,839,021) | | 141.8% | 241,229,156 | |
Liabilities, Less Cash and Receivables | | (41.8%) | (71,163,564) | |
Net Assets | | 100.0% | 170,065,592 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
SONIA—Sterling Overnight Index Average
TSFR—Term 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.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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, 2023, these securities were valued at $149,935,356 or 88.16% of net assets.
d Payment-in-kind security and interest may be paid in additional par.
e Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f 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.
g 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.
h The fund held Level 3 securities at December 31, 2023. These securities were valued at $4,639,914 or 2.7% of net assets.
i Non-income producing security.
j Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs & Co. LLC |
United States Dollar | 7,171,771 | British Pound | 5,665,000 | 1/12/2024 | (49,694) |
United States Dollar | 100,314,554 | Euro | 91,155,000 | 1/12/2024 | (373,103) |
Euro | 900,000 | United States Dollar | 984,472 | 1/12/2024 | 9,647 |
United States Dollar | 1,227,134 | Euro | 1,115,000 | 1/12/2024 | (4,469) |
Gross Unrealized Appreciation | | | 9,647 |
Gross Unrealized Depreciation | | | (427,266) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
December 31, 2023 (Unaudited)
The following is a summary of the inputs used as of December 31, 2023 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 93,378,946 | | - | 93,378,946 | |
Corporate Bonds | - | 66,252,291 | | - | 66,252,291 | |
Equity Securities - Common Stocks | 8,125 | - | | - | 8,125 | |
Floating Rate Loan Interests | - | 76,076,765 | | 4,639,914 | 80,716,679 | |
Investment Companies | 873,115 | - | | - | 873,115 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 9,647 | | - | 9,647 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (427,266) | | - | (427,266) | |
† 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:
The fund’s Board of Directors (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
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 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. The Services are engaged under the general supervision of the Board. 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.
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, 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, 2023 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 non-performance 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, 2023, accumulated net unrealized depreciation on investments was $9,027,484, consisting of $5,771,433 gross unrealized appreciation and $14,798,917 gross unrealized depreciation.
At December 31, 2023, 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.
