STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% | | | | | |
Advertising - .8% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 419,000 | c | 400,541 | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 9.00 | | 9/15/2028 | | 260,000 | c | 272,454 | |
Neptune BidCo US, Inc., Sr. Scd. Notes | | 9.29 | | 4/15/2029 | | 206,000 | c | 197,908 | |
Summer BC Holdco B Sarl, Sr. Scd. Bonds | EUR | 5.75 | | 10/31/2026 | | 480,000 | c | 509,478 | |
| | 1,380,381 | |
Aerospace & Defense - .3% | | | | | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.25 | | 7/1/2031 | | 46,000 | c | 47,287 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.50 | | 2/1/2029 | | 231,000 | c | 239,622 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.63 | | 3/1/2032 | | 106,000 | c | 107,199 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 90,000 | c | 91,213 | |
| | 485,321 | |
Airlines - .3% | | | | | |
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 540,130 | c | 525,981 | |
Automobiles & Components - .6% | | | | | |
Grupo Antolin-Irausa SA, Sr. Scd. Bonds | EUR | 3.50 | | 4/30/2028 | | 390,000 | c | 321,883 | |
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 505,000 | c | 433,304 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 255,000 | c | 252,112 | |
| | 1,007,299 | |
Banks - .3% | | | | | |
Barclays PLC, Jr. Sub. Notes | | 8.00 | | 9/15/2029 | | 280,000 | d | 284,995 | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 6.63 | | 1/15/2027 | | 202,000 | c | 195,282 | |
| | 480,277 | |
Beverage Products - .2% | | | | | |
Triton Water Holdings, Inc., Sr. Unscd. Notes | | 6.25 | | 4/1/2029 | | 430,000 | c | 415,101 | |
Building Materials - .6% | | | | | |
Eco Material Technologies, Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 230,000 | c | 230,785 | |
Emrld Borrower LP/Emerald Co-Issuer, Inc., Sr. Scd. Notes | | 6.63 | | 12/15/2030 | | 466,000 | c | 470,218 | |
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sr. Scd. Notes | | 6.75 | | 4/1/2032 | | 248,000 | c | 249,919 | |
| | 950,922 | |
Chemicals - 1.3% | | | | | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 384,000 | c,e | 316,102 | |
Italmatch Chemicals SpA, Sr. Scd. Notes | EUR | 10.00 | | 2/6/2028 | | 297,000 | c | 341,085 | |
Mativ Holdings, Inc., Gtd. Notes | | 6.88 | | 10/1/2026 | | 181,000 | c | 180,038 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | EUR | 9.63 | | 11/15/2028 | | 600,000 | c | 690,401 | |
Olympus Water US Holding Corp., Sr. Unscd. Notes | EUR | 5.38 | | 10/1/2029 | | 170,000 | c | 165,410 | |
Rain Carbon, Inc., Sr. Scd. Notes | | 12.25 | | 9/1/2029 | | 110,000 | c | 118,529 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Chemicals - 1.3% (continued) | | | | | |
SCIH Salt Holdings, Inc., Sr. Unscd. Notes | | 6.63 | | 5/1/2029 | | 240,000 | c | 226,022 | |
WR Grace Holdings LLC, Sr. Unscd. Notes | | 5.63 | | 8/15/2029 | | 200,000 | c | 184,550 | |
| | 2,222,137 | |
Collateralized Loan Obligations Debt - 53.1% | | | | | |
Adagio IX EUR DAC CLO, Ser. IX-A, Cl. E, (3 Month EURIBOR +6.02%) | EUR | 9.74 | | 9/15/2034 | | 1,000,000 | c,f | 1,036,328 | |
Adagio VIII DAC CLO, Ser. VIII-A, Cl. E, (3 Month EURIBOR +6.03%) | EUR | 9.94 | | 4/15/2032 | | 3,000,000 | c,f | 3,059,302 | |
Apidos XXXII CLO, Ser. 2019-32A, Cl. ER, (3 Month TSFR +5.50%) | | 10.84 | | 1/20/2033 | | 1,550,000 | c,f | 1,557,750 | |
Bain Capital Euro DAC CLO, Ser. 2021-2X Cl. E, (3 Month EURIBOR +6.22%) | EUR | 10.11 | | 7/17/2034 | | 1,500,000 | f | 1,565,397 | |
Barings Euro DAC CLO, Ser. 2015-1A, Cl. ERR, (3 Month EURIBOR +6.86%) | EUR | 10.74 | | 7/25/2035 | | 1,500,000 | c,f | 1,555,871 | |
Barings Euro DAC CLO, Ser. 2018-3A, Cl. E, (3 Month EURIBOR +5.79%) | EUR | 9.65 | | 7/27/2031 | | 2,150,000 | c,f | 2,272,368 | |
Barings Euro DAC CLO, Ser. 2019-1A, Cl. ER, (3 Month EURIBOR +7.21%) | EUR | 11.12 | | 4/15/2036 | | 1,500,000 | c,f | 1,587,196 | |
BBAM US II Ltd. CLO, Ser. 2023-2A, Cl. D, (3 Month TSFR +8.15%) | | 13.48 | | 10/15/2038 | | 1,000,000 | c,f | 1,041,668 | |
Birch Grove 2 Ltd. CLO, Ser. 2021-2A, Cl. E, (3 Month TSFR +7.21%) | | 12.54 | | 10/19/2034 | | 1,250,000 | c,f | 1,252,417 | |
Birch Grove 3 Ltd. CLO, Ser. 2021-3A, Cl. E, (3 Month TSFR +7.24%) | | 12.57 | | 1/19/2035 | | 2,000,000 | c,f | 2,016,118 | |
Blackrock European IX DAC CLO, Ser. 9A, Cl. E, (3 Month EURIBOR +6.32%) | EUR | 10.04 | | 12/15/2032 | | 1,354,000 | c,f | 1,435,812 | |
Capital Four I DAC CLO, Ser. 1A, Cl. E, (3 Month EURIBOR +6.47%) | EUR | 10.38 | | 1/15/2033 | | 1,000,000 | c,f | 1,071,177 | |
Carlyle Euro DAC CLO, Ser. 2017-1A, Cl. DR, (3 Month EURIBOR +6.47%) | EUR | 10.38 | | 7/15/2034 | | 1,000,000 | c,f | 1,065,841 | |
Carlyle Euro DAC CLO, Ser. 2019-1A, Cl. D, (3 Month EURIBOR +6.12%) | EUR | 9.84 | | 3/15/2032 | | 3,000,000 | c,f | 3,162,074 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2015-1A, Cl. ER, (3 Month EURIBOR +8.03%) | EUR | 11.95 | | 1/16/2033 | | 1,000,000 | c,f | 992,132 | |
Carlyle Global Market Strategies Euro DAC CLO, Ser. 2016-2A, Cl. DRR, (3 Month EURIBOR +6.14%) | EUR | 10.05 | | 4/15/2034 | | 1,500,000 | c,f | 1,551,781 | |
Cathedral Lake VIII Ltd. CLO, Ser. 2021-8A, Cl. E, (3 Month TSFR +7.75%) | | 13.08 | | 1/20/2035 | | 1,000,000 | c,f | 967,764 | |
Contego VII DAC CLO, Ser. 7A, Cl. F, (3 Month EURIBOR +8.76%) | EUR | 12.65 | | 5/14/2032 | | 3,500,000 | c,f | 3,722,640 | |
Crown Point 8 Ltd. CLO, Ser. 2019-8A, Cl. ER, (3 Month TSFR +7.39%) | | 12.72 | | 10/20/2034 | | 3,000,000 | c,f | 3,018,789 | |
CVC Cordatus Loan Fund XII DAC, Ser. 12A, Cl. F, (3 Month EURIBOR +7.11%) | EUR | 11.00 | | 1/23/2032 | | 750,000 | c,f | 772,918 | |
CVC Cordatus Loan Fund XIV DAC CLO, Ser. 14A, Cl. E, (3 Month EURIBOR +5.90%) | EUR | 9.72 | | 5/22/2032 | | 1,000,000 | c,f | 1,071,807 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Collateralized Loan Obligations Debt - 53.1% (continued) | | | | | |
CVC Cordatus Loan Fund XVIII DAC CLO, Ser. 18A, Cl. FR, (3 Month EURIBOR +8.85%) | EUR | 12.71 | | 7/29/2034 | | 2,000,000 | c,f | 2,109,827 | |
Dryden 66 Euro DAC CLO, Ser. 2018-66A, Cl. E, (3 Month EURIBOR +5.41%) | EUR | 9.31 | | 1/18/2032 | | 2,000,000 | c,f | 2,087,913 | |
Dryden 88 Euro DAC CLO, Ser. 2020-88A, Cl. E, (3 Month EURIBOR +6.01%) | EUR | 9.91 | | 7/20/2034 | | 1,000,000 | c,f | 1,039,299 | |
Elm Park DAC CLO, Ser. 1A, Cl. DRR, (3 Month EURIBOR +6.16%) | EUR | 10.07 | | 4/15/2034 | | 1,167,000 | c,f | 1,245,269 | |
Fidelity Grand Harbour DAC CLO, Ser. 2021-1A, Cl. E, (3 Month EURIBOR +6.22%) | EUR | 10.13 | | 10/15/2034 | | 1,000,000 | c,f | 1,066,728 | |
Fidelity Grand Harbour DAC CLO, Ser. 2021-1A, Cl. F, (3 Month EURIBOR +9.15%) | EUR | 13.06 | | 10/15/2034 | | 1,000,000 | c,f | 1,057,742 | |
Franklin Park Place I LLC CLO, Ser. 2022-1A, Cl. E, (3 Month TSFR +7.50%) | | 12.83 | | 4/14/2035 | | 1,300,000 | c,f | 1,296,847 | |
GoldenTree Loan Management EUR 1 DAC CLO, Ser. 1A, Cl. F, (3 Month EURIBOR +6.44%) | EUR | 10.34 | | 10/20/2030 | | 2,400,000 | c,f | 2,521,311 | |
GoldenTree Loan Management EUR 4 DAC CLO, Ser. 4A, Cl. ER, (3 Month EURIBOR +6.07%) | EUR | 9.97 | | 7/20/2034 | | 1,500,000 | c,f | 1,598,450 | |
Greywolf II Ltd. CLO, Ser. 2013-1A, Cl. DRR, (3 Month TSFR +7.31%) | | 12.64 | | 4/15/2034 | | 2,000,000 | c,f | 2,005,584 | |
Henley VII DAC CLO, Ser. 7A, Cl. E, (3 Month EURIBOR +7.14%) | EUR | 11.02 | | 4/25/2034 | | 1,000,000 | c,f | 1,086,592 | |
ICG Euro DAC CLO, Ser. 2021-1A, Cl. E, (3 Month EURIBOR +6.46%) | EUR | 10.37 | | 10/15/2034 | | 1,000,000 | c,f | 1,066,109 | |
KKR 14 Ltd. CLO, Ser. 14, Cl. ER, (3 Month TSFR +6.41%) | | 11.74 | | 7/15/2031 | | 1,500,000 | c,f | 1,506,852 | |
KKR 22 Ltd. CLO, Ser. 22A, Cl. E, (3 Month TSFR +6.26%) | | 11.59 | | 7/20/2031 | | 3,600,000 | c,f | 3,616,283 | |
Madison Park Funding XXVIII Ltd. CLO, Ser. 2018-28A, Cl. E, (3 Month TSFR +5.51%) | | 10.84 | | 7/15/2030 | | 792,470 | c,f | 796,383 | |
MidOcean Credit X CLO, Ser. 2019-10A, Cl. ER, (3 Month TSFR +7.42%) | | 12.75 | | 10/23/2034 | | 2,000,000 | c,f | 1,914,068 | |
Neuberger Berman Loan Advisers 28 Ltd. CLO, Ser. 2018-28A, Cl. E, (3 Month TSFR +5.86%) | | 11.19 | | 4/20/2030 | | 500,000 | c,f | 502,015 | |
Northwoods Capital 25 Ltd. CLO, Ser. 2021-25A, Cl. E, (3 Month TSFR +7.40%) | | 12.73 | | 7/20/2034 | | 3,000,000 | c,f | 3,002,991 | |
Northwoods Capital 27 Ltd. CLO, Ser. 2021-27A, Cl. E, (3 Month TSFR +7.30%) | | 12.62 | | 10/17/2034 | | 1,150,000 | c,f | 1,122,667 | |
Palmer Square European Loan Funding DAC CLO, Ser. 2021-1A, Cl. F, (3 Month EURIBOR +8.45%) | EUR | 12.36 | | 4/15/2031 | | 650,000 | c,f | 689,553 | |
Purple Finance 2 DAC CLO, Ser. 2A, Cl. E, (3 Month EURIBOR +6.40%) | EUR | 10.30 | | 4/20/2032 | | 2,600,000 | c,f | 2,785,305 | |
Purple Finance 2 DAC CLO, Ser. 2A, Cl. F, (3 Month EURIBOR +8.84%) | EUR | 12.74 | | 4/20/2032 | | 2,300,000 | c,f | 2,416,684 | |
Rockford Tower Europe DAC CLO, Ser. 2019-1A, Cl. E, (3 Month EURIBOR +6.03%) | EUR | 9.93 | | 1/20/2033 | | 2,000,000 | c,f | 2,142,373 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Collateralized Loan Obligations Debt - 53.1% (continued) | | | | | |
Sound Point XXIII CLO, Ser. 2019-2A, Cl. ER, (3 Month TSFR +6.73%) | | 12.06 | | 7/15/2034 | | 4,750,000 | c,f | 4,265,505 | |
Toro European 2 DAC CLO, Ser. 2A, Cl. ERR, (3 Month EURIBOR +6.47%) | EUR | 10.35 | | 7/25/2034 | | 2,000,000 | c,f | 2,137,503 | |
Toro European 6 DAC CLO, Ser. 6A, Cl. F, (3 Month EURIBOR +8.49%) | EUR | 12.40 | | 1/12/2032 | | 1,500,000 | c,f | 1,529,330 | |
Trimaran CAVU Ltd. CLO, Ser. 2019-1A, Cl. E, (3 Month TSFR +7.30%) | | 12.63 | | 7/20/2032 | | 2,100,000 | c,f | 2,107,852 | |
Trimaran CAVU Ltd. CLO, Ser. 2021-2A, Cl. E, (3 Month TSFR +7.46%) | | 12.79 | | 10/25/2034 | | 2,000,000 | c,f | 2,007,722 | |
Trinitas Euro V DAC CLO, Ser. 5A, Cl. F, (3 Month EURIBOR +9.34%) | EUR | 13.22 | | 10/25/2037 | | 1,500,000 | c,f | 1,610,304 | |
Wellfleet Ltd. CLO, Ser. 2021-3A, Cl. E, (3 Month TSFR +7.36%) | | 12.69 | | 1/15/2035 | | 1,000,000 | c,f | 942,446 | |
| | 89,054,657 | |
Collateralized Loan Obligations Equity - .8% | | | | | |
Blackrock European VIII DAC CLO, Ser. 8A, Cl. SUB | EUR | 14.96 | | 7/20/2032 | | 1,425,000 | c,g | 868,808 | |
Providus II DAC CLO, Ser. 2A, Cl. SUB | EUR | 20.25 | | 7/15/2031 | | 1,000,000 | c,g | 499,974 | |
| | 1,368,782 | |
Commercial & Professional Services - 2.3% | | | | | |
Adtalem Global Education, Inc., Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 253,000 | c | 243,658 | |
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 250,000 | c | 268,878 | |
Albion Financing 2 Sarl, Sr. Unscd. Notes | | 8.75 | | 4/15/2027 | | 311,000 | c | 313,714 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Unscd. Notes | | 6.00 | | 6/1/2029 | | 200,000 | c | 175,271 | |
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 | 365,009 | |
BCP V Modular Services Finance II PLC, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 240,000 | c | 240,013 | |
BCP V Modular Services Finance PLC, Gtd. Notes | EUR | 6.75 | | 11/30/2029 | | 270,000 | c | 245,060 | |
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | | 11/3/2029 | | 490,000 | c | 553,498 | |
La Financiere Atalian, Sr. Scd. Bonds | EUR | 8.50 | | 6/30/2028 | | 225,920 | c | 143,544 | |
La Financiere Atalian, Sr. Scd. Bonds | EUR | 8.50 | | 6/30/2028 | | 514,626 | | 326,980 | |
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 665,000 | c | 696,459 | |
Wand NewCo 3, Inc., Sr. Scd. Notes | | 7.63 | | 1/30/2032 | | 302,000 | c | 312,158 | |
| | 3,884,242 | |
Consumer Discretionary - 2.8% | | | | | |
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | EUR | 7.25 | | 4/30/2030 | | 425,000 | c | 482,073 | |
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | | 7.88 | | 4/30/2029 | | 205,000 | c | 211,942 | |
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | | 4.63 | | 4/1/2030 | | 190,000 | c | 170,037 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 399,000 | c | 394,389 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Consumer Discretionary - 2.8% (continued) | | | | | |
Carnival Holdings Bermuda Ltd., Gtd. Notes | | 10.38 | | 5/1/2028 | | 75,000 | c | 81,246 | |
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 449,000 | c | 434,057 | |
Green Bidco SA, Sr. Scd. Bonds | EUR | 10.25 | | 7/15/2028 | | 180,000 | c | 184,535 | |
Lottomatica SpA, Sr. Scd. Notes | EUR | 7.13 | | 6/1/2028 | | 350,000 | c | 396,385 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Sr. Scd. Notes | | 4.88 | | 5/1/2029 | | 180,000 | c | 167,813 | |
Miller Homes Group Finco PLC, Sr. Scd. Bonds | GBP | 7.00 | | 5/15/2029 | | 360,000 | c | 425,283 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 454,000 | c | 449,157 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 8.13 | | 1/15/2029 | | 86,000 | c | 90,173 | |
ONE Hotels GmbH, Sr. Scd. Bonds | EUR | 7.75 | | 4/2/2031 | | 140,000 | c | 156,631 | |
TUI Cruises GmbH, Sr. Unscd. Notes | EUR | 6.25 | | 4/15/2029 | | 150,000 | c | 164,619 | |
Verde Purchaser LLC, Sr. Scd. Notes | | 10.50 | | 11/30/2030 | | 109,000 | c | 115,339 | |
Versuni Group BV, Sr. Scd. Bonds | EUR | 3.13 | | 6/15/2028 | | 400,000 | c | 384,578 | |
Viking Cruises Ltd., Sr. Unscd. Notes | | 9.13 | | 7/15/2031 | | 215,000 | c | 233,033 | |
Windsor Holdings III LLC, Sr. Scd. Notes | | 8.50 | | 6/15/2030 | | 162,000 | c | 169,280 | |
| | 4,710,570 | |
Diversified Financials - 1.8% | | | | | |
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 580,000 | c | 638,140 | |
Freedom Mortgage Holdings LLC, Sr. Unscd. Notes | | 9.25 | | 2/1/2029 | | 104,000 | c | 104,023 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 455,000 | c | 384,901 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Notes | EUR | 6.75 | | 11/1/2025 | | 349,000 | c | 249,065 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 5.25 | | 5/15/2027 | | 71,000 | | 66,706 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 6.25 | | 5/15/2026 | | 82,000 | | 81,423 | |
Jane Street Group/JSG Finance, Inc., Sr. Scd. Notes | | 7.13 | | 4/30/2031 | | 316,000 | c | 324,304 | |
OneMain Finance Corp., Gtd. Notes | | 7.50 | | 5/15/2031 | | 73,000 | | 73,930 | |
OneMain Finance Corp., Gtd. Notes | | 7.88 | | 3/15/2030 | | 170,000 | | 175,415 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.13 | | 11/15/2030 | | 71,000 | c | 70,832 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.88 | | 12/15/2029 | | 229,000 | c | 236,317 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes | | 4.00 | | 10/15/2033 | | 193,000 | c | 162,791 | |
United Wholesale Mortgage LLC, Sr. Unscd. Notes | | 5.50 | | 4/15/2029 | | 238,000 | c | 226,312 | |
VFH Parent LLC/Valor Co-Issuer, Inc., Sr. Scd. Bonds | | 7.50 | | 6/15/2031 | | 169,000 | c | 169,951 | |
| | 2,964,110 | |
Energy - 2.6% | | | | | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | | 7.00 | | 7/15/2029 | | 153,000 | c | 155,909 | |
Comstock Resources, Inc., Gtd. Notes | | 6.75 | | 3/1/2029 | | 660,000 | c | 640,124 | |
Encino Acquisition Partners Holdings LLC, Gtd. Notes | | 8.50 | | 5/1/2028 | | 210,000 | c | 214,179 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Energy - 2.6% (continued) | | | | | |
Encino Acquisition Partners Holdings LLC, Sr. Unscd. Notes | | 8.75 | | 5/1/2031 | | 52,000 | c | 54,263 | |
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | | 6.63 | | 2/15/2028 | | 526,000 | d | 512,419 | |
Matador Resources Co., Gtd. Notes | | 6.50 | | 4/15/2032 | | 131,000 | c | 131,107 | |
Noble Finance II LLC, Gtd. Notes | | 8.00 | | 4/15/2030 | | 150,000 | c | 156,223 | |
Northern Oil & Gas, Inc., Sr. Unscd. Notes | | 8.13 | | 3/1/2028 | | 150,000 | c | 151,805 | |
Northriver Midstream Finance LP, Sr. Scd. Notes | | 6.75 | | 7/15/2032 | | 154,000 | c | 154,366 | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 418,000 | c | 391,548 | |
Rockies Express Pipeline LLC, Sr. Unscd. Notes | | 4.80 | | 5/15/2030 | | 343,000 | c | 316,970 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes | | 6.00 | | 12/31/2030 | | 90,000 | c | 83,909 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 445,000 | c | 379,588 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 4.13 | | 8/15/2031 | | 180,000 | c | 161,644 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 6.25 | | 1/15/2030 | | 76,000 | c | 77,180 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 294,000 | c | 303,116 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.38 | | 6/1/2031 | | 414,000 | c | 429,722 | |
| | 4,314,072 | |
Environmental Control - .3% | | | | | |
Madison IAQ LLC, Sr. Scd. Notes | | 4.13 | | 6/30/2028 | | 54,000 | c | 50,408 | |
Madison IAQ LLC, Sr. Unscd. Notes | | 5.88 | | 6/30/2029 | | 336,000 | c | 312,933 | |
Reworld Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 223,000 | | 202,036 | |
| | 565,377 | |
Food Products - .6% | | | | | |
Bellis Acquisition Co. PLC, Sr. Scd. Bonds | GBP | 8.13 | | 5/14/2030 | | 210,000 | c | 265,574 | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 264,000 | c | 326,923 | |
Fiesta Purchaser, Inc., Sr. Scd. Notes | | 7.88 | | 3/1/2031 | | 159,000 | c | 164,434 | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 258,000 | | 219,575 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, Scd. Notes | | 4.63 | | 3/1/2029 | | 117,000 | c | 102,989 | |
| | 1,079,495 | |
Health Care - 2.9% | | | | | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Bonds | EUR | 4.38 | | 1/15/2028 | | 320,000 | c | 326,095 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 260,000 | c | 241,018 | |
CHS/Community Health Systems, Inc., Scd. Notes | | 6.88 | | 4/15/2029 | | 160,000 | c | 122,545 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 209,000 | c | 172,511 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 540,000 | c | 503,340 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 10.88 | | 1/15/2032 | | 141,000 | c | 146,927 | |
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 355,000 | c | 416,473 | |
Ephios Subco 3 Sarl, Sr. Scd. Bonds | EUR | 7.88 | | 1/31/2031 | | 260,000 | c | 296,795 | |
Global Medical Response, Inc., Sr. Scd. Notes | | 10.00 | | 10/31/2028 | | 244,000 | c,e | 238,278 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Health Care - 2.9% (continued) | | | | | |
LifePoint Health, Inc., Sr. Scd. Notes | | 9.88 | | 8/15/2030 | | 366,000 | c | 390,769 | |
LifePoint Health, Inc., Sr. Unscd. Notes | | 10.00 | | 6/1/2032 | | 105,000 | c | 107,485 | |
Medline Borrower LP, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 339,000 | c | 312,444 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 71,000 | c | 67,812 | |
Neopharmed Gentili SpA, Sr. Scd. Bonds | EUR | 7.13 | | 4/8/2030 | | 340,000 | c | 373,453 | |
Option Care Health, Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 401,000 | c | 368,425 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Scd. Notes | | 6.75 | | 5/15/2034 | | 250,000 | c | 249,966 | |
Ray Financing LLC, Sr. Scd. Bonds | EUR | 6.50 | | 7/15/2031 | | 160,000 | | 171,352 | |
Sotera Health Holdings LLC, Sr. Scd. Notes | | 7.38 | | 6/1/2031 | | 117,000 | c | 117,320 | |
Surgery Center Holdings, Inc., Gtd. Notes | | 7.25 | | 4/15/2032 | | 212,000 | c | 214,414 | |
| | 4,837,422 | |
Industrial - .9% | | | | | |
Artera Services LLC, Sr. Scd. Notes | | 8.50 | | 2/15/2031 | | 108,942 | c | 112,238 | |
Assemblin Caverion Group AB, Sr. Scd. Bonds | EUR | 6.25 | | 7/1/2030 | | 270,000 | c | 290,812 | |
Assemblin Caverion Group AB, Sr. Scd. Bonds, (3 Month EURIBOR +5.00%) | EUR | 8.86 | | 7/5/2029 | | 303,000 | c,f | 324,981 | |
GrafTech Finance, Inc., Sr. Scd. Notes | | 4.63 | | 12/15/2028 | | 219,000 | c | 139,090 | |
GrafTech Global Enterprises, Inc., Sr. Scd. Notes | | 9.88 | | 12/15/2028 | | 156,000 | c | 115,177 | |
Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC, Sr. Scd. Notes | | 9.00 | | 2/15/2029 | | 165,000 | c | 171,066 | |
TK Elevator Midco GmbH, Sr. Scd. Bonds | EUR | 4.38 | | 7/15/2027 | | 320,000 | c | 330,941 | |
| | 1,484,305 | |
Information Technology - 1.2% | | | | | |
AthenaHealth Group, Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 869,000 | c | 800,852 | |
Cloud Software Group, Inc., Scd. Bonds | | 9.00 | | 9/30/2029 | | 330,000 | c | 320,428 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 6.50 | | 3/31/2029 | | 208,000 | c | 199,900 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 8.25 | | 6/30/2032 | | 49,000 | c | 49,974 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 349,000 | c | 319,027 | |
UKG, Inc., Sr. Scd. Notes | | 6.88 | | 2/1/2031 | | 269,000 | c | 272,562 | |
| | 1,962,743 | |
Insurance - 1.9% | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 396,000 | c | 360,079 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 7.50 | | 11/6/2030 | | 144,000 | c | 144,211 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 6.00 | | 8/1/2029 | | 150,000 | c | 138,520 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 8.25 | | 2/1/2029 | | 181,000 | c | 182,033 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 6.75 | | 4/15/2028 | | 260,000 | c | 260,660 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 7.00 | | 1/15/2031 | | 190,000 | c | 192,098 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unscd. Notes | | 6.75 | | 10/15/2027 | | 150,000 | c | 148,090 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Insurance - 1.9% (continued) | | | | | |
Ardonagh Finco Ltd., Sr. Scd. Notes | | 7.75 | | 2/15/2031 | | 400,000 | c | 395,756 | |
Ardonagh Group Finance Ltd., Sr. Unscd. Notes | | 8.88 | | 2/15/2032 | | 200,000 | c | 195,521 | |
AssuredPartners, Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 430,000 | c | 402,596 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Scd. Notes | | 7.25 | | 2/15/2031 | | 200,000 | c | 198,660 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Unscd. Notes | | 8.13 | | 2/15/2032 | | 400,000 | c | 397,728 | |
Panther Escrow Issuer LLC, Sr. Scd. Notes | | 7.13 | | 6/1/2031 | | 132,000 | c | 133,611 | |
| | 3,149,563 | |
Internet Software & Services - .8% | | | | | |
Arches Buyer, Inc., Sr. Scd. Notes | | 4.25 | | 6/1/2028 | | 110,000 | c | 98,344 | |
Arches Buyer, Inc., Sr. Unscd. Notes | | 6.13 | | 12/1/2028 | | 333,000 | c | 276,580 | |
Match Group Holdings II LLC, Sr. Unscd. Notes | | 4.13 | | 8/1/2030 | | 340,000 | c | 301,176 | |
Newfold Digital Holdings Group, Inc., Sr. Scd. Notes | | 11.75 | | 10/15/2028 | | 60,000 | c | 62,244 | |
Newfold Digital Holdings Group, Inc., Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 116,000 | c | 83,841 | |
The Very Group Funding PLC, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 469,000 | c | 521,905 | |
| | 1,344,090 | |
Materials - 1.5% | | | | | |
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | | 8.75 | | 4/15/2030 | | 469,000 | c | 459,620 | |
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 390,000 | c | 368,686 | |
LABL, Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 71,000 | c | 70,177 | |
LABL, Inc., Sr. Scd. Notes | | 9.50 | | 11/1/2028 | | 281,000 | c | 283,565 | |
LABL, Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 357,000 | c | 349,728 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Bonds | | 7.88 | | 4/15/2027 | | 343,000 | c | 350,286 | |
Trivium Packaging Finance BV, Gtd. Notes | | 8.50 | | 8/15/2027 | | 200,000 | c | 198,714 | |
Trivium Packaging Finance BV, Sr. Scd. Bonds | EUR | 3.75 | | 8/15/2026 | | 420,000 | c | 441,084 | |
| | 2,521,860 | |
Media - 1.4% | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.25 | | 1/15/2034 | | 118,000 | c | 89,666 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.50 | | 5/1/2032 | | 108,000 | | 87,058 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 253,000 | c | 243,122 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.38 | | 6/1/2029 | | 121,000 | c | 110,193 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 280,000 | c | 227,389 | |
CSC Holdings LLC, Gtd. Notes | | 11.25 | | 5/15/2028 | | 400,000 | c | 348,846 | |
DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., Sr. Scd. Notes | | 5.88 | | 8/15/2027 | | 140,000 | c | 131,799 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 362,000 | c | 355,283 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Media - 1.4% (continued) | | | | | |
Paramount Global, Sr. Unscd. Notes | | 4.95 | | 1/15/2031 | | 292,000 | | 256,999 | |
Sunrise Finco I BV, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 200,000 | c | 181,762 | |
VZ Secured Financing BV, Sr. Scd. Notes | EUR | 3.50 | | 1/15/2032 | | 380,000 | c | 356,591 | |
| | 2,388,708 | |
Metals & Mining - .9% | | | | | |
Compass Minerals International, Inc., Gtd. Notes | | 6.75 | | 12/1/2027 | | 335,000 | c | 320,458 | |
First Quantum Minerals Ltd., Scd. Notes | | 9.38 | | 3/1/2029 | | 200,000 | c | 209,225 | |
FMG Resources August 2006 Pty Ltd., Gtd. Notes | | 4.38 | | 4/1/2031 | | 420,000 | c | 375,914 | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.00 | | 6/30/2031 | | 477,338 | e | 444,139 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 8.25 | | 5/1/2030 | | 206,000 | c | 210,999 | |
| | 1,560,735 | |
Real Estate - 1.7% | | | | | |
Anywhere Real Estate Group LLC/Realogy Co-Issuer Corp., Gtd. Notes | | 5.75 | | 1/15/2029 | | 153,000 | c | 94,321 | |
Diversified Healthcare Trust, Gtd. Notes | | 9.75 | | 6/15/2025 | | 182,000 | | 181,944 | |
Diversified Healthcare Trust, Sr. Unscd. Notes | | 4.75 | | 2/15/2028 | | 587,000 | | 484,257 | |
Emeria SASU, Sr. Scd. Bonds | EUR | 7.75 | | 3/31/2028 | | 970,000 | c | 950,483 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | | 4.25 | | 2/1/2027 | | 180,000 | c | 170,665 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Sr. Unscd. Notes | | 7.00 | | 7/15/2031 | | 290,000 | c | 292,738 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 8.00 | | 4/1/2029 | | 202,000 | c | 196,265 | |
RLJ Lodging Trust LP, Sr. Scd. Notes | | 4.00 | | 9/15/2029 | | 380,000 | c | 336,049 | |
Starwood Property Trust, Inc., Sr. Unscd. Notes | | 7.25 | | 4/1/2029 | | 159,000 | c | 160,903 | |
| | 2,867,625 | |
Retailing - 1.3% | | | | | |
Carvana Co., Sr. Scd. Notes | | 12.00 | | 12/1/2028 | | 99,545 | c,e | 107,130 | |
Carvana Co., Sr. Scd. Notes | | 13.00 | | 6/1/2030 | | 45,000 | c,e | 49,302 | |
Carvana Co., Sr. Scd. Notes | | 14.00 | | 6/1/2031 | | 96,000 | c,e | 108,067 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Gtd. Notes | | 6.75 | | 1/15/2030 | | 158,000 | c | 138,874 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 159,000 | c | 144,919 | |
Foundation Building Materials, Inc., Gtd. Notes | | 6.00 | | 3/1/2029 | | 400,000 | c | 355,422 | |
Nordstrom, Inc., Sr. Unscd. Notes | | 4.25 | | 8/1/2031 | | 80,000 | | 71,311 | |
Nordstrom, Inc., Sr. Unscd. Notes | | 4.38 | | 4/1/2030 | | 50,000 | | 45,516 | |
PetSmart, Inc./PetSmart Finance Corp., Gtd. Notes | | 7.75 | | 2/15/2029 | | 250,000 | c | 243,706 | |
Shiba Bidco SpA, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 354,000 | c | 368,923 | |
White Cap Buyer LLC, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 478,000 | c | 461,672 | |
White Cap Parent LLC, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 114,000 | c,e | 114,102 | |
| | 2,208,944 | |
Telecommunication Services - 1.9% | | | | | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 600,000 | c | 411,613 | |
C&W Senior Finance Ltd., Sr. Unscd. Notes | | 6.88 | | 9/15/2027 | | 400,000 | c | 384,171 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Bonds and Notes - 86.0% (continued) | | | | | |
Telecommunication Services - 1.9% (continued) | | | | | |
Consolidated Communications, Inc., Sr. Scd. Notes | | 6.50 | | 10/1/2028 | | 199,000 | c | 170,564 | |
Frontier Communications Holdings LLC, Scd. Notes | | 6.75 | | 5/1/2029 | | 180,000 | c | 165,286 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.63 | | 3/15/2031 | | 47,000 | c | 48,466 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 179,000 | c | 184,643 | |
Iliad Holding SASU, Sr. Scd. Bonds | | 8.50 | | 4/15/2031 | | 480,000 | c | 486,508 | |
Level 3 Financing, Inc., Sr. Scd. Notes | | 10.50 | | 4/15/2029 | | 370,000 | c | 370,925 | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.13 | | 4/15/2029 | | 122,825 | c | 80,458 | |
PLT VII Finance Sarl, Sr. Scd. Bonds, (3 Month EURIBOR +3.50%) | EUR | 7.24 | | 6/15/2031 | | 220,000 | c,f | 235,756 | |
Telecom Italia Capital SA, Gtd. Notes | | 7.72 | | 6/4/2038 | | 120,000 | | 117,211 | |
Vmed O2 UK Financing I PLC, Sr. Scd. Bonds | GBP | 4.50 | | 7/15/2031 | | 320,000 | c | 334,683 | |
Zayo Group Holdings, Inc., Sr. Scd. Notes | | 4.00 | | 3/1/2027 | | 246,000 | c | 197,045 | |
| | 3,187,329 | |
Utilities - .9% | | | | | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 370,000 | c | 343,605 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 187,000 | c | 174,644 | |
NextEra Energy Operating Partners LP, Sr. Unscd. Notes | | 7.25 | | 1/15/2029 | | 362,000 | c | 371,495 | |
NRG Energy, Inc., Gtd. Notes | | 3.88 | | 2/15/2032 | | 120,000 | c | 103,166 | |
NRG Energy, Inc., Jr. Sub. Bonds | | 10.25 | | 3/15/2028 | | 300,000 | c,d | 328,396 | |
Vistra Corp., Jr. Sub. Bonds | | 7.00 | | 12/15/2026 | | 100,000 | c,d | 99,227 | |
Vistra Operations Co. LLC, Gtd. Notes | | 6.88 | | 4/15/2032 | | 69,000 | c | 70,100 | |
| | 1,490,633 | |
Total Bonds and Notes
(cost $143,624,545) | | 144,412,681 | |
| | | | | | | | | |
Floating Rate Loan Interests - 55.0% | | | | | |
Advertising - .4% | | | | | |
CB Poly US Holdings, Inc., Initial Term Loan, (3 Month TSFR +5.50%) | | 10.83 | | 5/21/2029 | | 223,449 | f | 219,147 | |
Dotdash Meredith, Inc., Term Loan B, (1 Month TSFR +4.10%) | | 9.43 | | 12/1/2028 | | 198,675 | f | 199,006 | |
Neptune BidCo US, Inc., Dollar Term Loan B, (3 Month TSFR +5.10%) | | 10.41 | | 4/11/2029 | | 239,412 | f | 225,945 | |
| | 644,098 | |
Aerospace & Defense - .4% | | | | | |
Dynasty Acquisition I Co., 2024 Refinancing Term Loan B-1, (1 Month TSFR +3.50%) | | 8.84 | | 8/24/2028 | | 275,027 | f | 276,339 | |
Ovation Parent, Inc., Term Loan, (3 Month TSFR +3.50%) | | 8.83 | | 4/21/2031 | | 209,091 | f | 210,398 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Aerospace & Defense - .4% (continued) | | | | | |
Spirit AeroSystems, Inc., New Initial Term Loan, (3 Month TSFR +4.25%) | | 9.58 | | 1/15/2027 | | 146,643 | f | 147,780 | |
Standard Aero Ltd., 2024 Refinancing Term Loan B-2, (1 Month TSFR +3.50%) | | 8.84 | | 8/24/2028 | | 106,043 | f | 106,549 | |
| | 741,066 | |
Automobiles & Components - .9% | | | | | |
Clarios Global LP, First Lien Amendment No. 1 Euro Term Loan, (1 Month EURIBOR +3.25%) | EUR | 6.90 | | 4/30/2026 | | 664,804 | f | 712,545 | |
First Brands Group LLC, 2021 First Lien Term Loan, (3 Month TSFR +5.26%) | | 10.59 | | 3/30/2027 | | 128,670 | f | 128,047 | |
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month TSFR +5.26%) | | 10.59 | | 3/30/2027 | | 309,367 | f | 308,013 | |
IXS Holdings, Inc., Initial Term Loan, (1 Month LIBOR +5.00%) | | 9.48 | | 3/5/2027 | | 72,000 | f | 70,200 | |
IXS Holdings, Inc., Initial Term Loan, (3 Month TSFR +4.35%) | | 9.70 | | 3/5/2027 | | 164,479 | f | 160,367 | |
Realtruck Group, Inc., Initial Term Loan, (1 Month TSFR +3.61%) | | 8.96 | | 1/31/2028 | | 168,261 | f | 167,989 | |
Realtruck Group, Inc., Second Amendment Incremental Term Loan, (1 Month TSFR +5.11%) | | 10.46 | | 1/31/2028 | | 39,900 | f | 39,850 | |
| | 1,587,011 | |
Banks - .1% | | | | | |
Chrysaor Bidco Sarl, Delayed Draw Term Loan, (1 Month TSFR +3.50%) | | 4.00 | | 5/16/2031 | | 7,116 | f,h | 7,156 | |
Chrysaor Bidco Sarl, Term Loan B, (1 Month TSFR +3.50%) | | 4.00 | | 5/16/2031 | | 96,218 | f | 96,759 | |
| | 103,915 | |
Beverage Products - .3% | | | | | |
Triton Water Holdings, Inc., 2024 Incremental Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 3/31/2028 | | 34,825 | f | 34,981 | |
Triton Water Holdings, Inc., First Lien Initial Term Loan, (3 Month TSFR +3.51%) | | 8.85 | | 3/31/2028 | | 488,703 | f | 489,436 | |
| | 524,417 | |
Building Materials - 1.4% | | | | | |
BME Group Holding BV, Facility Term Loan B-2, (3 Month EURIBOR +4.75%) | EUR | 8.62 | | 12/27/2029 | | 1,000,000 | f | 1,032,128 | |
Cornerstone Building Brands, Inc., Facility Term Loan B, (1 Month TSFR +3.35%) | | 8.68 | | 4/12/2028 | | 233,809 | f | 228,695 | |
Cornerstone Building Brands, Inc., Tranche Term Loan C, (1 Month TSFR +4.50%) | | 9.83 | | 5/15/2031 | | 46,000 | f | 45,808 | |
LSF10 XL Bidco SCA, Facility Term Loan B-4, (3 Month EURIBOR +4.18%) | EUR | 7.90 | | 4/10/2028 | | 853,470 | f | 850,499 | |
MIWD Holdco II LLC, 2024 Incremental Term Loan, (1 Month TSFR +3.50%) | | 8.84 | | 3/28/2031 | | 196,044 | f | 197,474 | |
| | 2,354,604 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Chemicals - 3.3% | | | | | |
Aruba Investment Holdings LLC, Euro Term Loan B, (1 Month EURIBOR +4.00%) | EUR | 7.65 | | 11/24/2027 | | 967,500 | f | 1,008,951 | |
Derby Buyer LLC, 2024 Refinancing Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 11/1/2030 | | 98,875 | f | 99,462 | |
Flint Group Packaging Inks North America Holdings, USD Term Loan B, (3 Month TSFR +4.51%) | | 9.84 | | 12/31/2026 | | 864,594 | e,f | 832,172 | |
Flint Group Topco Ltd., Facility Term Loan, (3 Month EURIBOR +0.10%) | EUR | 3.99 | | 12/31/2027 | | 95,957 | e,f | 18,541 | |
Flint Group Topco Ltd., Term Loan 2, (3 Month TSFR +0.36%) | | 5.69 | | 12/31/2027 | | 2,268,531 | e,f | 414,007 | |
Flint Group Topco Ltd., USD Term Loan, (3 Month TSFR +0.36%) | | 5.69 | | 12/31/2027 | | 447,154 | e,f | 389,024 | |
Herens Holdco Sarl, Euro Term Loan, (3 Month EURIBOR +3.93%) | EUR | 7.65 | | 7/3/2028 | | 1,000,000 | f | 1,025,772 | |
Hexion Holdings Corp., First Lien Initial Term Loan, (3 Month TSFR +4.65%) | | 9.98 | | 3/15/2029 | | 208,405 | f | 207,977 | |
INEOS Finance PLC, Term Loan B, (3 Month EURIBOR +3.50%) | EUR | 3.50 | | 6/5/2031 | | 1,500,000 | f | 1,598,562 | |
| | 5,594,468 | |
Commercial & Professional Services - 6.8% | | | | | |
Albion Financing 3 Sarl, 2023 & 2026 Term Loan, (3 Month EURIBOR +5.25%) | EUR | 9.15 | | 8/17/2026 | | 2,000,000 | f | 2,150,821 | |
American Auto Auction, First Lien Tranche Term Loan B, (3 Month TSFR +5.15%) | | 10.48 | | 12/30/2027 | | 299,338 | f | 299,562 | |
CIBT Global, Inc., First Lien Term Loan, (3 Month TSFR +1.26%) | | 6.60 | | 6/30/2027 | | 1,112,396 | f | 528,388 | |
Division Holding Corp., Term Loan B, (1 Month TSFR +4.86%) | | 10.21 | | 5/30/2028 | | 143,667 | f | 143,128 | |
Envalior Finance GmbH, USD Term Loan, (3 Month TSFR +5.50%) | | 10.83 | | 4/3/2030 | | 158,603 | f | 150,316 | |
Europa University Education Group SL, Term Loan B, (6 Month EURIBOR +4.50%) | EUR | 8.42 | | 11/2/2029 | | 1,000,000 | f | 1,074,586 | |
Infinitas Learning Finco, Term Loan B, (6 Month EURIBOR +4.45%) | EUR | 8.31 | | 9/29/2028 | | 1,000,000 | f | 1,073,333 | |
Inspired Finco Holdings Ltd., Facility Term Loan B-5, (3 Month EURIBOR +4.00%) | EUR | 4.00 | | 2/20/2031 | | 263,482 | f,h,i | 282,935 | |
Inspired Finco Holdings Ltd., Term Loan, (1 Month EURIBOR +4.00%) | EUR | 7.65 | | 2/20/2031 | | 1,236,518 | f | 1,327,811 | |
KUEHG Corp., Term Loan B, (3 Month TSFR +4.50%) | | 9.83 | | 6/12/2030 | | 297,245 | f | 298,751 | |
Modulaire Group Holdings Ltd., Term Loan B, (3 Month EURIBOR +4.18%) | EUR | 7.90 | | 12/15/2028 | | 1,000,000 | f | 1,066,736 | |
Prometric Holdings, Inc., Term Loan B, (1 Month TSFR +4.86%) | | 10.21 | | 1/31/2028 | | 95,521 | f | 96,213 | |
Ren10 Holding AB, Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 8.28 | | 7/8/2030 | | 1,000,000 | f | 1,072,958 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Commercial & Professional Services - 6.8% (continued) | | | | | |
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, (1 Month TSFR +4.36%) | | 9.71 | | 7/10/2028 | | 169,917 | f | 167,307 | |
Signal Parent, Inc., Initial Term Loan, (1 Month TSFR +3.60%) | | 8.94 | | 4/3/2028 | | 179,537 | f | 164,894 | |
Spring Education Group, Inc., Initial Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 10/4/2030 | | 207,990 | f | 209,268 | |
Trevise Holdings 1 SAS, Term Loan B, (1 Month EURIBOR +4.20%) | EUR | 7.80 | | 7/31/2029 | | 1,000,000 | f | 1,072,733 | |
Vaco Holdings LLC, Initial Term Loan, (3 Month TSFR +5.25%) | | 10.73 | | 1/22/2029 | | 187,201 | f | 186,186 | |
| | 11,365,926 | |
Consumer Discretionary - 3.4% | | | | | |
AI Aqua Merger Sub, Inc., Initial Term Loan B, (1 Month TSFR +4.00%) | | 9.33 | | 7/31/2028 | | 360,403 | f | 361,452 | |
Ammega Group BV, 2023 Facility Term Loan B-2, (3 Month EURIBOR +5.00%) | EUR | 8.72 | | 12/1/2028 | | 1,500,000 | f | 1,609,742 | |
Awaze Ltd., Facility Term Loan B-3, (1 Month EURIBOR +5.00%) | EUR | 8.58 | | 5/9/2028 | | 623,154 | f | 663,473 | |
Bally's Corp., Facility Term Loan B, (3 Month TSFR +3.51%) | | 9.10 | | 10/2/2028 | | 188,550 | f | 179,495 | |
Cirque Du Soleil Holding USA Newco, Inc., Term Loan B, (3 Month TSFR +3.75%) | | 9.08 | | 3/8/2030 | | 153,450 | f | 153,546 | |
Compass III Limited, Facility Term Loan B-4, (1 Month EURIBOR +5.00%) | EUR | 8.58 | | 5/9/2028 | | 376,846 | f | 401,228 | |
Crown Finance US, Inc., Initial Term Loan, (1 Month TSFR +1.61%) | | 6.96 | | 7/31/2028 | | 211,960 | e,f | 214,974 | |
ECL Entertainment LLC, Term Loan B, (1 Month TSFR +4.00%) | | 9.34 | | 8/30/2030 | | 152,566 | f | 153,425 | |
Fitness International LLC, New Term Loan B, (3 Month TSFR +5.25%) | | 10.58 | | 2/12/2029 | | 244,632 | f | 246,161 | |
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan, (1 Month TSFR +4.36%) | | 9.71 | | 4/26/2028 | | 232,813 | f,h | 232,667 | |
Ontario Gaming GTA LP, Term Loan B, (3 Month TSFR +4.25%) | | 9.58 | | 8/1/2030 | | 279,180 | f | 280,880 | |
Recess Holdings, Inc., Initial Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 2/20/2030 | | 294,444 | f | 296,653 | |
Tecta America Corp., First Lien Initial Term Loan, (1 Month TSFR +4.12%) | | 9.46 | | 4/10/2028 | | 470,343 | f | 473,038 | |
Verde Purchaser LLC, Initial Term Loan, (3 Month TSFR +4.50%) | | 9.83 | | 12/2/2030 | | 190,000 | f | 190,071 | |
Windsor Holdings III LLC, 2024 Term Loan B, (1 Month TSFR +4.00%) | | 9.34 | | 8/1/2030 | | 301,062 | f | 303,395 | |
| | 5,760,200 | |
Consumer Durables & Apparel - .1% | | | | | |
S&S Holdings LLC, First Lien Initial Term Loan, (1 Month TSFR +5.10%) | | 10.43 | | 3/13/2028 | | 158,100 | f | 158,495 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Consumer Staples - .5% | | | | | |
Hunter Douglas, Inc., Tranche Term Loan B-1, (3 Month TSFR +3.50%) | | 8.84 | | 2/26/2029 | | 390,696 | f | 388,675 | |
Kronos Acquisition Holdings, Inc., Tranche Term Loan B-1, (3 Month TSFR +4.01%) | | 9.36 | | 12/22/2026 | | 408,799 | f | 408,952 | |
| | 797,627 | |
Diversified Financials - .8% | | | | | |
Blackhawk Network Holdings, Inc., Term Loan B, (1 Month TSFR +5.00%) | | 10.34 | | 3/12/2029 | | 98,456 | f | 98,795 | |
Edelman Financial Engines, Term Loan, (1 Month TSFR +5.25%) | | 10.59 | | 10/31/2028 | | 77,000 | f | 77,289 | |
Edelman Financial Engines, Term Loan B, (3 Month TSFR +3.25%) | | 8.59 | | 4/7/2028 | | 521,949 | f | 523,296 | |
Nexus Buyer LLC, Amendment No. 5 Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 12/13/2028 | | 269,325 | f | 269,897 | |
Russell Investments US Institutional Holdco, Inc., 2027 Term Loan, (3 Month TSFR +5.00%) | | 10.33 | | 6/1/2027 | | 434,610 | e,f | 387,755 | |
| | 1,357,032 | |
Electronic Components - .9% | | | | | |
ADB Safegate Luxembourg 2 Sarl, Facility Term Loan B, (6 Month EURIBOR +4.75%) | EUR | 8.51 | | 10/3/2026 | | 1,000,000 | f | 1,037,488 | |
Roper Industrial Products Investment Co., Term Loan, (3 Month TSFR +3.25%) | | 8.58 | | 11/23/2029 | | 450,814 | f | 453,162 | |
| | 1,490,650 | |
Energy - 1.1% | | | | | |
Freeport LNG Investments LLLP, Initial Term Loan B, (3 Month TSFR +3.76%) | | 9.09 | | 12/21/2028 | | 575,916 | f | 575,994 | |
Gulf Finance LLC, Term Loan, (1 Month TSFR +6.36%) | | 11.69 | | 8/25/2026 | | 330,109 | f | 332,585 | |
NGL Energy Operating LLC, Intial Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 2/3/2031 | | 107,730 | f | 108,240 | |
Oregon Clean Energy LLC, Term Loan B, (1 Month TSFR +4.25%) | | 5.00 | | 6/26/2030 | | 56,000 | f | 56,280 | |
Traverse Midstream Partners LLC, Term Loan B, (3 Month TSFR +3.50%) | | 8.83 | | 2/16/2028 | | 309,274 | f | 310,917 | |
WaterBridge Midstream Operating LLC, Term Loan B, (1 Month TSFR +4.75%) | | 4.75 | | 6/27/2029 | | 343,311 | f | 341,594 | |
WaterBridge NDB Operating LLC, Term Loan, (3 Month TSFR +4.50%) | | 9.83 | | 5/10/2029 | | 166,667 | f | 167,778 | |
| | 1,893,388 | |
Environmental Control - .1% | | | | | |
Win Waste Innovations Holdings, Initial Term Loan, (1 Month TSFR +2.86%) | | 8.21 | | 3/27/2028 | | 99,743 | f | 93,129 | |
Financials - .1% | | | | | |
Jump Financial LLC, Term Loan, (3 Month TSFR +4.76%) | | 10.10 | | 8/7/2028 | | 157,167 | f | 156,970 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Food Products - 2.8% | | | | | |
Biscuit Holding SASU, Facility Term Loan B, (6 Month EURIBOR +4.00%) | EUR | 7.86 | | 2/14/2027 | | 1,000,000 | f | 1,022,757 | |
Chobani LLC, 2023 Additional Term Loan, (1 Month TSFR +3.75%) | | 9.08 | | 10/25/2027 | | 86,234 | f | 86,732 | |
Fiesta Purchaser, Inc., Term Loan B, (1 Month TSFR +4.00%) | | 9.34 | | 2/12/2031 | | 144,444 | f | 145,627 | |
Max US Bidco, Inc., Initial Term Loan, (1 Month TSFR +5.00%) | | 10.34 | | 10/2/2030 | | 259,350 | f | 245,410 | |
Upfield BV, Facility Term Loan B-6, (3 Month EURIBOR +5.00%) | EUR | 8.94 | | 1/3/2028 | | 1,000,000 | f | 1,068,428 | |
ZF Invest SAS, Term Loan B, (2 Month EURIBOR +3.48%) | EUR | 7.35 | | 7/12/2028 | | 1,000,000 | f | 1,054,618 | |
ZF Invest SAS, Term Loan B, (3 Month EURIBOR +3.48%) | EUR | 7.39 | | 7/12/2028 | | 1,000,000 | f | 1,053,879 | |
| | 4,677,451 | |
Food Service - .5% | | | | | |
PAX Holdco Spain SL, Facility Term Loan B-1, (6 Month EURIBOR +4.75%) | EUR | 8.49 | | 7/1/2026 | | 396,659 | f | 424,537 | |
PAX Holdco Spain SL, Term Loan B-3, (3 Month EURIBOR +4.75%) | EUR | 8.58 | | 12/24/2029 | | 334,041 | f | 356,623 | |
| | 781,160 | |
Health Care - 8.1% | | | | | |
Alvogen Pharma US, Inc., 2022 New Extended June Term Loan, (3 Month TSFR +7.65%) | | 12.98 | | 6/30/2025 | | 415,328 | f | 380,804 | |
Auris Luxembourg III SA, Facility Term Loan B-3, (6 Month EURIBOR +4.50%) | EUR | 8.27 | | 2/8/2029 | | 1,500,000 | f | 1,604,056 | |
Auris Luxembourg III SA, Facility Term Loan B-4, (6 Month TSFR +4.68%) | | 9.56 | | 2/8/2029 | | 278,886 | f | 279,932 | |
Chrome BidCo SASU, Incremental TLC Facility Term Loan, (1 Month EURIBOR +3.95%) | EUR | 7.60 | | 2/16/2029 | | 1,000,000 | f | 972,374 | |
eResearchTechnology, Inc., Tranche Term Loan B-1, (1 Month TSFR +4.00%) | | 9.34 | | 2/4/2027 | | 433,736 | f | 436,369 | |
Financiere Verdi I SASU, Facility Term Loan B, (3 Month SONIA +4.50%) | GBP | 9.77 | | 4/15/2028 | | 1,500,000 | f | 1,790,089 | |
Gainwell Acquisition Corp., Term Loan B, (3 Month TSFR +4.10%) | | 9.43 | | 10/1/2027 | | 521,009 | f | 505,811 | |
GHX Ultimate Parent Corp., Initial Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 6/30/2027 | | 168,304 | f | 169,567 | |
Global Medical Response, Inc., 2024 Extended Term Loan, (1 Month TSFR +5.50%) | | 10.82 | | 10/2/2028 | | 180,000 | e,f | 174,690 | |
Inovie SASU, Senior Facility Term Loan B, (3 Month EURIBOR +4.00%) | EUR | 7.72 | | 3/3/2028 | | 1,000,000 | f | 1,047,020 | |
Inula Natural Health Group, Senior Facility Term Loan B, (3 Month EURIBOR +3.75%) | EUR | 7.47 | | 12/11/2025 | | 903,382 | f | 948,127 | |
LifePoint Health, Inc., 2024 Incremental Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 5/14/2031 | | 40,000 | f | 40,106 | |
LifePoint Health, Inc., 2024 Repricing Term Loan B, (3 Month TSFR +4.75%) | | 10.06 | | 11/16/2028 | | 259,350 | f | 261,085 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Health Care - 8.1% (continued) | | | | | |
Midwest Physician Adminstrative Services LLC, First Lien Term Loan, (3 Month TSFR +3.51%) | | 8.85 | | 3/13/2028 | | 89,768 | f | 78,884 | |
Neuraxpharm Arzneimittel, Facility Term Loan B-1, (3 Month EURIBOR +3.75%) | EUR | 7.62 | | 12/11/2027 | | 633,857 | f | 680,296 | |
Neuraxpharm Arzneimittel, Facility Term Loan B-2, (3 Month EURIBOR +3.75%) | EUR | 7.62 | | 12/11/2027 | | 366,143 | f | 392,968 | |
Pique Bidco SL, Term Loan, (1 Month EURIBOR +4.75%) | EUR | 8.40 | | 12/18/2030 | | 1,000,000 | f | 1,074,629 | |
Radiology Partners, Inc., Term Loan C, (3 Month TSFR +3.76%) | | 9.09 | | 1/31/2029 | | 284,154 | e,f | 270,231 | |
Resonetics LLC, Term Loan B, (3 Month TSFR +3.75%) | | 9.08 | | 6/6/2031 | | 37,000 | f | 37,116 | |
Sirona BidCo SASU, Facility Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 8.22 | | 12/16/2028 | | 1,000,000 | f | 960,690 | |
US Anesthesia Partners, Initial Term Loan, (1 Month TSFR +4.36%) | | 9.69 | | 10/2/2028 | | 187,068 | f | 179,923 | |
VetStrategy Canada Holdings, Inc., Facility Term Loan B-10, (3 Month TSFR +4.75%) | | 10.08 | | 12/6/2028 | | 995,006 | f | 998,116 | |
WCG Intermediate Corp., First Lien Initial Term Loan, (1 Month TSFR +4.00%) | | 9.43 | | 1/8/2027 | | 375,042 | f | 375,746 | |
| | 13,658,629 | |
Industrial - 2.9% | | | | | |
Artera Services LLC, Tranche Term Loan C, (3 Month TSFR +4.50%) | | 9.83 | | 2/10/2031 | | 157,106 | f | 158,130 | |
CPM Holdings, Inc., First Lien Term Loan, (1 Month TSFR +4.50%) | | 9.83 | | 9/28/2028 | | 242,252 | f | 240,915 | |
DXP Enterprises, Inc., Initial Term Loan, (6 Month TSFR +4.85%) | | 10.16 | | 10/7/2030 | | 267,817 | f | 269,865 | |
Eleda Management AB, Delayed Draw Tem Loan, (3 Month EURIBOR +4.50%) | EUR | 4.50 | | 4/2/2031 | | 250,000 | f,h | 267,681 | |
Eleda Management AB, Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 8.22 | | 4/2/2031 | | 1,250,000 | f | 1,338,406 | |
First Eagle Holdings, Inc., Term Loan, (3 Month TSFR +3.00%) | | 8.33 | | 3/5/2029 | | 263,797 | f | 262,972 | |
LSF12 Badger Bidco LLC, Initial Term Loan, (1 Month TSFR +6.00%) | | 11.34 | | 7/10/2030 | | 112,216 | f | 112,216 | |
Michael Baker International LLC, Term Loan B, (1 Month TSFR +4.75%) | | 5.50 | | 12/1/2028 | | 102,667 | f | 103,052 | |
Radar Bidco Sarl, Facility Term Loan B, (3 Month EURIBOR +4.25%) | EUR | 8.13 | | 3/31/2031 | | 1,000,000 | f | 1,074,522 | |
Revere Power LLC, Term Loan B, (3 Month TSFR +4.40%) | | 9.73 | | 3/30/2026 | | 181,640 | f | 167,427 | |
Revere Power LLC, Term Loan C, (3 Month TSFR +4.40%) | | 9.73 | | 3/30/2026 | | 15,939 | f | 14,692 | |
STS Operating, Inc., First Refinancing Term Loan, (1 Month TSFR +4.10%) | | 9.44 | | 3/25/2031 | | 212,195 | f | 212,859 | |
Swissport Stratosphere USA LLC, USD Facility Term Loan B, (3 Month TSFR +4.25%) | | 9.56 | | 3/31/2031 | | 117,857 | f | 118,336 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Industrial - 2.9% (continued) | | | | | |
Titan Acquisition Ltd., Amendment No. 5 Refinancing Term Loan, (6 Month TSFR +5.00%) | | 10.33 | | 4/24/2029 | | 148,717 | f | 149,245 | |
Touchdown Acquirer, Inc., Delayed Draw Tem Loan, (3 Month TSFR +2.00%) | | 2.00 | | 2/21/2031 | | 35,928 | f,h | 36,142 | |
Touchdown Acquirer, Inc., Initial Dollar Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 2/21/2031 | | 164,072 | f | 165,046 | |
TRC Cos. LLC, Term Loan, (1 Month TSFR +3.86%) | | 9.21 | | 12/11/2028 | | 99,745 | f | 100,082 | |
Victory Buyer LLC, First Lien Initial Term Loan, (3 Month TSFR +4.01%) | | 9.34 | | 11/20/2028 | | 111,262 | f | 107,368 | |
| | 4,898,956 | |
Information Technology - 4.1% | | | | | |
AI Silk Midco Ltd., Facility Term Loan B, (3 Month EURIBOR +5.00%) | EUR | 8.79 | | 3/24/2031 | | 2,000,000 | f | 2,125,857 | |
Azalea Topco, Inc., Initial Term Loan, (3 Month TSFR +3.50%) | | 8.84 | | 4/24/2031 | | 108,000 | f | 108,056 | |
Boxer Parent Co., Inc., 2028 Dollar Extended Term Loan, (1 Month TSFR +4.00%) | | 9.34 | | 12/29/2028 | | 388,264 | f | 389,546 | |
Cloud Software Group, Inc., Term Loan B, (3 Month TSFR +4.00%) | | 9.33 | | 3/29/2029 | | 277,722 | f | 277,844 | |
Cotiviti, Inc., Initial Floating Rate Term Loan, (1 Month TSFR +3.25%) | | 8.58 | | 4/30/2031 | | 299,250 | f | 298,502 | |
Dedalus Finance GmbH, Additional Term Loan B-2, (6 Month EURIBOR +3.75%) | EUR | 7.61 | | 7/17/2027 | | 1,000,000 | f | 1,060,380 | |
HS Purchaser LLC, First Lien 7th Amendment Refinancing Term Loan, (3 Month TSFR +4.10%) | | 9.43 | | 11/30/2026 | | 110,026 | f | 99,367 | |
Idera, Inc., 2024 Term Loan B-2, (3 Month TSFR +3.50%) | | 8.83 | | 3/2/2028 | | 315,929 | f | 314,152 | |
Mitchell International, Inc., Second Lien Term Loan, (1 Month TSFR +5.25%) | | 10.59 | | 6/17/2032 | | 80,000 | f | 79,950 | |
Mitchell International, Inc., Term Loan, (1 Month TSFR +3.25%) | | 8.59 | | 6/17/2031 | | 250,000 | f | 248,185 | |
Project Alpha Intermediate Holding, Inc., 2024 Refinancing Term Loan, (3 Month TSFR +3.75%) | | 9.07 | | 10/28/2030 | | 232,750 | f | 233,752 | |
Quest Software, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.40%) | | 9.73 | | 2/1/2029 | | 201,963 | f | 150,519 | |
RealPage, Inc., Second Lien Initial Term Loan, (3 Month TSFR +6.61%) | | 11.96 | | 4/23/2029 | | 23,653 | f | 23,147 | |
West Technology Group LLC, Term Loan B-3, (3 Month TSFR +4.25%) | | 9.58 | | 4/12/2027 | | 141,409 | f | 137,750 | |
Zellis Holdings Ltd., Term Loan B-2, (3 Month SONIA +5.75%) | GBP | 5.75 | | 1/31/2028 | | 1,000,000 | f | 1,267,260 | |
| | 6,814,267 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Insurance - 3.5% | | | | | |
Acrisure LLC, Repriced Term loan B-6, (3 Month TSFR +3.25%) | | 8.59 | | 11/6/2030 | | 385,471 | f | 385,473 | |
Amynta Agency Borrower, Inc., 2023 Repricing Term Loan, (1 Month TSFR +4.25%) | | 9.19 | | 2/28/2028 | | 542,019 | f | 544,003 | |
Asurion LLC, Second Lien Term Loan B-3, (1 Month TSFR +5.36%) | | 10.71 | | 2/3/2028 | | 939,367 | f | 877,721 | |
OneDigital Borrower LLC, 2021 Term Loan B, (3 Month TSFR +4.35%) | | 9.69 | | 11/16/2027 | | 269,360 | f | 269,023 | |
OneDigital Borrower LLC, First Lien Term Loan, (1 Month TSFR +3.25%) | | 3.75 | | 6/13/2031 | | 235,000 | f | 234,707 | |
OneDigital Borrower LLC, Second Lien Term Loan, (1 Month TSFR +5.25%) | | 5.75 | | 6/14/2032 | | 61,000 | f | 60,848 | |
Selectquote, Inc., Initial Term Loan, (1 Month TSFR +6.00%) | | 11.13 | | 5/15/2025 | | 3,669,499 | f,j | 3,486,024 | |
| | 5,857,799 | |
Internet Software & Services - 3.4% | | | | | |
Delivery Hero Finco LLC, Extended Dollar Term Loan, (3 Month TSFR +5.00%) | | 10.32 | | 12/12/2029 | | 118,696 | f | 119,912 | |
Endure Digital, Inc., Initial Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 2/10/2028 | | 191,777 | f | 178,593 | |
ION Trading Finance Ltd., Initial Euro Term Loan, (3 Month EURIBOR +4.25%) | EUR | 7.97 | | 4/3/2028 | | 1,940,000 | f | 1,988,699 | |
MH Sub I LLC, 2023 May New Term Loan, (1 Month TSFR +4.25%) | | 9.59 | | 5/3/2028 | | 429,861 | f | 429,949 | |
StubHub Holdco Sub LLC, Extended USD Term Loan B, (1 Month TSFR +4.75%) | | 10.09 | | 3/15/2030 | | 328,560 | f | 329,074 | |
THG Operations Holdings, Facility Term Loan B, (6 Month EURIBOR +4.50%) | EUR | 8.25 | | 12/11/2026 | | 1,000,000 | f | 1,017,402 | |
Weddingwire, Inc., Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 1/31/2028 | | 359,100 | f | 360,895 | |
ZPG Ltd., First Lien Facility Term Loan B-3, (1 Month SONIA +5.50%) | GBP | 10.70 | | 7/31/2028 | | 1,000,000 | f | 1,273,846 | |
| | 5,698,370 | |
Materials - .9% | | | | | |
Anchor Packaging LLC, Amendment No. 4 Term Loan, (1 Month TSFR +3.75%) | | 9.09 | | 4/17/2029 | | 160,253 | f | 160,567 | |
Berlin Packaging LLC, 2024 Replacement Term Loan, (3 Month TSFR +3.86%) | | 9.19 | | 5/12/2031 | | 203,804 | f | 204,499 | |
Clydesdale Acquisition Holdings, Inc., Facility Term Loan B, (1 Month TSFR +3.78%) | | 9.12 | | 4/13/2029 | | 330,132 | f | 331,266 | |
Crosby US Acquisition Corp., Amendment No. 3 Replacement Term Loan, (1 Month TSFR +4.00%) | | 9.34 | | 8/16/2029 | | 159,200 | f | 160,278 | |
Pregis TopCo LLC, First Lien Initial Term Loan, (1 Month TSFR +4.00%) | | 9.34 | | 7/31/2026 | | 134,297 | f | 134,590 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Materials - .9% (continued) | | | | | |
Proampac PG Borrower LLC, 2024 Term Loan B, (3 Month TSFR +4.00%) | | 9.33 | | 9/15/2028 | | 466,606 | f | 468,297 | |
SupplyOne, Inc., Term Loan B, (3 Month TSFR +4.25%) | | 9.59 | | 4/21/2031 | | 142,144 | f | 142,544 | |
| | 1,602,041 | |
Real Estate - .7% | | | | | |
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.61%) | | 8.96 | | 6/2/2028 | | 182,562 | f | 180,149 | |
Emeria SASU, Term Loan B, (3 Month EURIBOR +5.25%) | EUR | 5.25 | | 3/27/2028 | | 1,000,000 | f | 1,001,911 | |
Forest City Enterprises LP, Term Loan B, (1 Month TSFR +3.61%) | | 8.96 | | 12/8/2025 | | 76,000 | f | 70,799 | |
| | 1,252,859 | |
Retailing - .9% | | | | | |
Breitling Financing Sarl, Term Loan B, (6 Month EURIBOR +3.90%) | EUR | 7.57 | | 10/23/2028 | | 1,000,000 | f | 1,069,392 | |
Foundation Building Materials, Inc., 2024 Incremental Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 1/29/2031 | | 169,575 | f | 169,104 | |
Staples, Inc., Closing Date Term Loan, (3 Month TSFR +5.75%) | | 11.08 | | 9/10/2029 | | 192,800 | f | 177,328 | |
White Cap Supply Holdings LLC, Tranche Term Loan C, (1 Month TSFR +3.25%) | | 8.59 | | 10/19/2029 | | 58,000 | f | 58,165 | |
| | 1,473,989 | |
Semiconductors & Semiconductor Equipment - .6% | | | | | |
TIC Bidco Ltd., Delayed Term Loan, (3 Month TSFR +4.25%) | GBP | 4.25 | | 6/12/2031 | | 112,676 | f,h | 140,777 | |
TIC Bidco Ltd., Term Loan, (3 Month EURIBOR +4.25%) | EUR | 4.25 | | 6/16/2031 | | 887,324 | f | 949,838 | |
| | 1,090,615 | |
Technology Hardware & Equipment - 2.3% | | | | | |
Expleo Services SAS, Term Loan B, (3 Month EURIBOR +5.00%) | EUR | 8.86 | | 9/28/2027 | | 1,000,000 | f | 1,069,611 | |
Indy US Holdco LLC, 2023 Incremental Dollar Term Loan, (1 Month TSFR +6.25%) | | 11.59 | | 3/6/2028 | | 1,217,789 | f | 1,220,834 | |
Kronosnet CX Bidco, Term Loan B, (6 Month EURIBOR +5.75%) | EUR | 9.64 | | 10/25/2029 | | 1,000,000 | f | 923,694 | |
Mcafee Corp., Tranche Term Loan B-1, (1 Month TSFR +3.25%) | | 8.58 | | 3/1/2029 | | 191,389 | f | 191,434 | |
Perforce Software, Inc., Term Loan, (1 Month TSFR +3.85%) | | 9.19 | | 7/1/2026 | | 255,979 | f | 255,659 | |
VeriFone Systems, Inc., Initial Term Loan, (3 Month TSFR +4.26%) | | 9.60 | | 8/20/2025 | | 154,000 | f | 126,687 | |
| | 3,787,919 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 55.0% (continued) | | | | | |
Telecommunication Services - 2.8% | | | | | |
Altice Financing SA, 2023 September Incremental Euro Term Loan, (3 Month EURIBOR +5.00%) | EUR | 8.91 | | 11/1/2027 | | 995,000 | f | 931,559 | |
Altice France SA, USD Term Loan B-14, (3 Month TSFR +5.50%) | | 10.83 | | 8/31/2028 | | 203,042 | f | 149,744 | |
CCI Buyer, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 12/17/2027 | | 299,813 | f | 300,492 | |
Consolidated Communications, Inc., Term Loan B-1, (1 Month TSFR +3.61%) | | 8.96 | | 10/4/2027 | | 282,043 | f | 269,567 | |
Crown Subsea Communications Holding, Inc., Intial Term Loan, (3 Month TSFR +4.75%) | | 10.08 | | 1/30/2031 | | 111,858 | f | 112,300 | |
Frontier Communications Holdings LLC, New Term Loan B, (1 Month TSFR +3.86%) | | 9.21 | | 10/8/2027 | | 258,000 | f | 258,193 | |
Level 3 Financing, Inc., Term Loan B-1, (1 Month TSFR +6.56%) | | 11.90 | | 4/16/2029 | | 107,000 | f | 105,011 | |
Lorca Finco PLC, Euro Term Loan, (6 Month EURIBOR +3.50%) | EUR | 7.20 | | 4/18/2031 | | 1,000,000 | f | 1,072,289 | |
Lumen Technologies, Inc., Term Loan B-1, (1 Month TSFR +2.35%) | | 7.81 | | 4/16/2029 | | 137,367 | f | 95,184 | |
Lumen Technologies, Inc., Term Loan B-2, (1 Month TSFR +2.46%) | | 7.81 | | 4/15/2030 | | 137,367 | f | 92,594 | |
WP/AP Telecom Holdings, Facility Term Loan B, (3 Month EURIBOR +3.90%) | EUR | 7.62 | | 3/29/2029 | | 1,000,000 | f | 1,072,813 | |
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (1 Month TSFR +4.33%) | | 8.46 | | 3/9/2027 | | 212,553 | f | 185,630 | |
| | 4,645,376 | |
Transportation - .1% | | | | | |
PODS LLC, Term Loan, (3 Month TSFR +3.26%) | | 8.59 | | 3/31/2028 | | 243,125 | f | 230,695 | |
Utilities - .8% | | | | | |
Compass Power Generation, Tranche Term Loan B-2, (1 Month TSFR +4.36%) | | 9.71 | | 4/16/2029 | | 166,306 | f | 167,840 | |
Eastern Power LLC, Term Loan B, (1 Month TSFR +3.75%) | | 9.19 | | 10/2/2025 | | 648,116 | f | 646,350 | |
Hamilton Projects Acquiror LLC, First Lien Term Loan, (1 Month TSFR +3.75%) | | 9.09 | | 5/30/2031 | | 241,000 | f | 242,851 | |
Potomac Energy Center LLC, Term Loan, (3 Month TSFR +6.26%) | | 11.60 | | 9/30/2026 | | 218,172 | f | 212,718 | |
| | 1,269,759 | |
Total Floating Rate Loan Interests
(cost $97,007,818) | | 92,362,881 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .0% | | | | | |
Chemicals - .0% | | | | | |
Colouroz/Flint Ordinary
(cost $2) | | | | | | 1,955,210 | j,k | 0 | |
| | | | | | | | | | |
| |
| | | | | | | | | |
Exchange-Traded Funds - .1% | | | | | |
Registered Investment Companies - .1% | | | | | |
ProShares Ultra VIX Short-Term Futures ETF
(cost $263,146) | | | | | | 7,262 | k | 170,947 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.3% | | | | | |
Registered Investment Companies - 1.3% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $2,130,523) | | 5.42 | | | | 2,130,523 | l | 2,130,523 | |
Total Investments (cost $243,026,034) | | 142.4% | 239,077,032 | |
Liabilities, Less Cash and Receivables | | (42.4%) | (71,207,126) | |
Net Assets | | 100.0% | 167,869,906 | |
ETF—Exchange-Traded Fund
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.
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, 2024, these securities were valued at $139,044,018 or 82.83% of net assets.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Payment-in-kind security and interest may be paid in additional par.
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 Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
i Security purchased on a when-issued or delayed basis for which the fund has not taken delivery as of June 30, 2024.
j The fund held Level 3 securities at June 30, 2024. These securities were valued at $3,486,024 or 2.1% of net assets.
k Non-income producing security.
l Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs & Co. LLC |
Euro | 1,000,000 | United States Dollar | 1,070,023 | 7/30/2024 | 2,596 |
United States Dollar | 44,668,319 | Euro | 41,640,000 | 7/30/2024 | 4,457 |
United States Dollar | 57,232,658 | Euro | 53,340,000 | 7/24/2024 | 36,133 |
United States Dollar | 14,229,713 | Euro | 13,265,000 | 7/30/2024 | 1,420 |
British Pound | 250,000 | United States Dollar | 316,138 | 7/30/2024 | (50) |
United States Dollar | 8,903,714 | British Pound | 7,020,000 | 7/30/2024 | 27,959 |
Gross Unrealized Appreciation | | | 72,565 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Gross Unrealized Depreciation | | | (50) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Multi-Strategy Credit Fund
June 30, 2024 (Unaudited)
The following is a summary of the inputs used as of June 30, 2024 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 90,423,439 | | - | 90,423,439 | |
Corporate Bonds | - | 53,989,242 | | - | 53,989,242 | |
Equity Securities - Common Stocks | - | - | | 0 | 0 | |
Exchange-Traded Funds | 170,947 | - | | - | 170,947 | |
Floating Rate Loan Interests | - | 88,876,857 | | 3,486,024 | 92,362,881 | |
Investment Companies | 2,130,523 | - | | - | 2,130,523 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 72,565 | | - | 72,565 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (50) | | - | (50) | |
† 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 June 30, 2024 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 June 30, 2024, accumulated net unrealized depreciation on investments was $3,876,487, consisting of $5,078,345 gross unrealized appreciation and $8,954,832 gross unrealized depreciation.
At June 30, 2024, 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.
