PORTFOLIO OF INVESTMENTS – as of August 31, 2020 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount | Description | Value (†) | ||||||
Senior Loans – 83.6% of Net Assets | ||||||||
Aerospace & Defense – 1.5% |
| |||||||
$ 5,451,874 | Advanced Integration Technology LP, 2017 Term Loan B, 1-month LIBOR + 4.750%, 5.750%, 4/03/2023(a) | $ | 4,525,055 | |||||
4,586,250 | DynCorp International, Inc., 2019 Term Loan B, 1-month LIBOR + 6.000%, 7.000%, 8/18/2025(a) | 4,540,388 | ||||||
9,725,564 | TransDigm, Inc., 2020 Term Loan F, 1-month LIBOR + 2.250%, 2.406%, 12/09/2025(a) | 9,207,386 | ||||||
|
| |||||||
18,272,829 | ||||||||
|
| |||||||
Airlines – 0.3% |
| |||||||
4,150,811 | Allegiant Travel Co., 2020 Term Loan, 3-month LIBOR + 3.000%, 3.254%, 2/05/2024(a) | 3,844,689 | ||||||
|
| |||||||
Automotive – 5.5% |
| |||||||
2,209,677 | American Axle & Manufacturing, Inc., Term Loan B, 1-month LIBOR + 2.250%, 3.000%, 4/06/2024(a) | 2,146,547 | ||||||
3,423,388 | Belron Finance U.S. LLC, 2019 USD Term Loan B, 3-month LIBOR + 2.500%, 2.768%, 10/30/2026(a) | 3,363,479 | ||||||
8,974,663 | Clarios Global LP, USD Term Loan B, 1-month LIBOR + 3.500%, 3.659%, 4/30/2026(a) | 8,786,733 | ||||||
9,236,280 | Dayco Products LLC, 2017 Term Loan B, 3-month LIBOR + 4.250%, 4.506%, 5/19/2023(a) | 5,757,251 | ||||||
10,717,702 | Holley Purchaser, Inc., Term Loan B, 3-month LIBOR + 5.000%, 5.261%, 10/24/2025(a) | 9,967,463 | ||||||
4,380,265 | IXS Holdings, Inc., 2020 Term Loan B, 3-month LIBOR + 5.000%, 6.000%, 3/05/2027(a) | 4,259,807 | ||||||
9,580,917 | Mister Car Wash Holdings, Inc., 2019 Term Loan B, 6-month LIBOR + 3.250%, 4.375%, 5/14/2026(a) | 8,985,559 | ||||||
7,884,229 | Trico Group LLC, 2020 Term Loan B, 2/02/2024(b) | 7,726,544 | ||||||
2,000,000 | Trico Group LLC, 2020 Term Loan B, 2-month LIBOR + 7.500%, 8.500%, 2/02/2024(a) | 1,960,000 | ||||||
8,311,413 | Truck Hero, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 3.906%, 4/22/2024(a) | 8,005,470 | ||||||
6,629,950 | Wand NewCo 3, Inc., 2020 Term Loan, 3-month LIBOR + 3.000%, 4.072%, 2/05/2026(a) | 6,368,929 | ||||||
|
| |||||||
67,327,782 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
997,468 | Edelman Financial Center LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.000%, 3.170%, 7/21/2025(a) | 965,050 | ||||||
3,852,045 | Edelman Financial Center LLC, 2018 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 6.920%, 7/20/2026(a) | 3,628,164 | ||||||
|
| |||||||
4,593,214 | ||||||||
|
| |||||||
Building Materials – 5.4% |
| |||||||
1,293,156 | American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1-month LIBOR + 2.000%, 2.156%, 1/15/2027(a) | 1,257,996 | ||||||
7,809,603 | Big Ass Fans LLC, 2018 Term Loan, 3-month LIBOR + 3.750%, 4.750%, 5/21/2024(a) | 6,950,547 | ||||||
4,000,000 | Floor & Decor Outlets of America, Inc., 2020 Incremental Term Loan B1, 1-month LIBOR + 4.000%, 5.000%, 2/15/2027(a) | 3,910,000 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Building Materials – continued |
| |||||||
$ 6,939,484 | Interior Logic Group Holdings IV LLC, 2018 Term Loan B, 1-month LIBOR + 4.000%, 4.156%, 5/30/2025(a) | $ | 6,592,510 | |||||
8,479,037 | Janus International Group LLC, 2018 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.822%, 2/12/2025(a) | 8,182,271 | ||||||
9,134,791 | Jeld-Wen, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 2.000%, 2.156%, 12/14/2024(a) | 8,910,988 | ||||||
7,291,653 | Mannington Mills, Inc., 2019 Term Loan B, 3-month LIBOR + 4.000%, 4.308%, 8/06/2026(a) | 6,943,039 | ||||||
10,390,874 | NCI Building Systems, Inc., 2018 Term Loan, 1-month LIBOR + 3.750%, 3.918%, 4/12/2025(a) | 10,183,056 | ||||||
6,810,406 | Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.500%, 2.656%, 2/01/2027(a) | 6,627,956 | ||||||
6,869,683 | Wilsonart LLC, 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.250%, 12/19/2023(a) | 6,780,926 | ||||||
|
| |||||||
66,339,289 | ||||||||
|
| |||||||
Cable Satellite – 1.9% |
| |||||||
8,626,687 | CSC Holdings LLC, 2019 Term Loan B5, 1-month LIBOR + 2.500%, 2.658%, 4/15/2027(a) | 8,337,089 | ||||||
1,500,000 | Terrier Media Buyer, Inc., 2020 Term Loan B, 1-month LIBOR + 4.250%, 4.406%, 12/17/2026(a) | 1,455,000 | ||||||
3,824,780 | Terrier Media Buyer, Inc., Term Loan B, 1-month LIBOR + 4.250%, 4.406%, 12/17/2026(a) | 3,744,689 | ||||||
2,676,000 | UPC Broadband Holding B.V., 2020 USD Term Loan B1, 1/31/2029(b) | 2,649,909 | ||||||
2,676,292 | UPC Broadband Holding B.V., 2020 USD Term Loan B2, 1/31/2029(b) | 2,650,199 | ||||||
5,000,000 | Virgin Media Bristol LLC, USD Term Loan N, 1/31/2028(b) | 4,861,100 | ||||||
|
| |||||||
23,697,986 | ||||||||
|
| |||||||
Chemicals – 1.7% |
| |||||||
3,639,000 | Aruba Investments, Inc., 2020 USD Term Loan B, 6-month LIBOR + 4.250%, 5.250%, 7/07/2025(a) | 3,625,354 | ||||||
3,971,519 | Hexion, Inc., USD Exit Term Loan, 3-month LIBOR + 3.500%, 3.800%, 7/01/2026(a) | 3,906,982 | ||||||
2,000,000 | Momentive Performance Materials, Inc., Term Loan B, 5/15/2024(b) | 1,897,500 | ||||||
1,546,096 | Momentive Performance Materials, Inc., Term Loan B, 1-month LIBOR + 3.250%, 3.410%, 5/15/2024(a) | 1,466,858 | ||||||
5,140,403 | Natgasoline LLC, Term Loan B, 3-month LIBOR + 3.500%, 3.813%, 11/14/2025(a) | 4,780,575 | ||||||
2,700,000 | Univar, Inc., 2017 USD Term Loan B3, 7/01/2024(b) | 2,643,597 | ||||||
2,277,555 | Univar, Inc., 2019 USD Term Loan B5, 1-month LIBOR + 2.000%, 2.156%, 7/01/2026(a) | 2,209,228 | ||||||
|
| |||||||
20,530,094 | ||||||||
|
| |||||||
Construction Machinery – 0.4% |
| |||||||
3,405,729 | CTOS LLC, 2020 Term Loan B, 1-month LIBOR + 4.250%, 4.433%, 4/18/2025(a) | 3,365,303 | ||||||
3,266,549 | Onsite Rental Group Pty Ltd., Note, 6.100%, 10/26/2023(c)(d)(e)(f) | 1,698,606 | ||||||
|
| |||||||
5,063,909 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Consumer Cyclical Services – 7.0% |
| |||||||
$ 11,577,803 | Access CIG LLC, 2018 1st Lien Term Loan, LIBOR + 3.750%, 3.906%, 2/27/2025(g) | $ | 11,163,549 | |||||
6,975,000 | Access CIG LLC, 2018 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 7.906%, 2/27/2026(a) | 6,335,602 | ||||||
16,382,672 | ASP MCS Acquisition Corp., Term Loan B, 6-month LIBOR + 4.750%, 5.750%, 5/18/2024(a)(d)(e)(h) | 7,536,029 | ||||||
6,671,598 | BIFM CA Buyer, Inc., Term Loan B, 3-month LIBOR + 3.750%, 4.006%, 6/01/2026(a) | 6,554,845 | ||||||
6,174,011 | Boing U.S. Holdco, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.250%, 10/03/2024(a) | 5,981,567 | ||||||
7,920,667 | Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 7.500%, 8.500%, 10/03/2025(a) | 7,287,013 | ||||||
1,000,000 | Creative Artists Agency LLC, 2019 Term Loan B, 11/27/2026(b) | 952,500 | ||||||
5,647,575 | Creative Artists Agency LLC, 2019 Term Loan B, 1-month LIBOR + 3.750%, 3.906%, 11/27/2026(a) | 5,379,315 | ||||||
9,102,186 | Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, 1-month LIBOR + 2.750%, 2.906%, 8/21/2025(a) | 8,700,142 | ||||||
1,890,000 | DG Investment Intermediate Holdings 2, Inc., 2018 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 7.500%, 2/02/2026(a) | 1,701,000 | ||||||
1,283,593 | National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan, 5/23/2025(b) | 1,244,020 | ||||||
5,145,850 | Sterling Midco Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.500%, 6/19/2024(a) | 4,484,917 | ||||||
2,000,000 | STG-Fairway Holdings LLC, Term Loan B, 3-month LIBOR + 3.250%, 4.322%, 1/31/2027(a) | 1,925,000 | ||||||
3,605,955 | Thoughtworks, Inc., 2020 Term Loan, 3-month LIBOR + 3.750%, 4.750%, 10/11/2024(a) | 3,529,329 | ||||||
2,493,606 | West Corp., 2017 Term Loan, 3-month LIBOR + 4.000%, 5.000%, 10/10/2024(a) | 2,225,294 | ||||||
6,532,619 | William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 2.750%, 2.910%, 5/18/2025(a) | 5,275,090 | ||||||
5,753,941 | Xerox Business Services LLC, USD Term Loan B, 1-month LIBOR + 2.500%, 2.656%, 12/07/2023(a) | 5,400,073 | ||||||
|
| |||||||
85,675,285 | ||||||||
|
| |||||||
Consumer Products – 7.2% |
| |||||||
21,246,740 | Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 7.500%, 7/25/2022(a) | 18,644,014 | ||||||
2,088,751 | Anastasia Parent LLC, 2018 Term Loan B, 3-month LIBOR + 3.750%, 4.058%, 8/11/2025(a) | 860,732 | ||||||
8,976,571 | Augusta Sportswear Group, Inc., Term Loan B, 3-month LIBOR + 4.500%, 5.500%, 10/26/2023(a) | 7,125,153 | ||||||
8,260,811 | CWGS Group LLC, 2016 Term Loan, 1-month LIBOR + 2.750%, 3.500%, 11/08/2023(a) | 7,993,656 | ||||||
8,249,040 | Highline Aftermarket Acquisition LLC, 2018 Term Loan B, 6-month LIBOR + 3.500%, 4.625%, 4/26/2025(a) | 7,362,269 | ||||||
8,508,235 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.072%, 5/01/2024(a) | 7,943,033 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Consumer Products – continued |
| |||||||
$ 6,464,328 | Polyconcept Investments BV, USD 2016 Term Loan B, 3-month LIBOR + 4.500%, 5.500%, 8/16/2023(a) | $ | 5,090,658 | |||||
4,213,286 | Serta Simmons Bedding LLC, 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.500%, 11/08/2023(a)(d)(h) | 1,060,611 | ||||||
8,706,238 | SIWF Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.250%, 5.322%, 6/15/2025(a) | 8,212,855 | ||||||
6,916,384 | Strategic Partners Acquisition Corp., 2016 Term Loan, 1-month LIBOR + 3.750%, 4.750%, 6/30/2023(a) | 6,812,638 | ||||||
4,112,628 | Thor Industries, Inc., USD Term Loan B, 1-month LIBOR + 3.750%, 3.938%, 2/01/2026(a) | 4,061,220 | ||||||
5,923,417 | Weight Watchers International, Inc., 2017 Term Loan B, 1-month LIBOR + 4.750%, 5.500%, 11/29/2024(a) | 5,886,395 | ||||||
6,783,987 | Wellness Merger Sub, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 4.256%, 6/30/2024(a) | 6,634,197 | ||||||
|
| |||||||
87,687,431 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.9% |
| |||||||
4,974,747 | Engineered Machinery Holdings, Inc., 2018 Incremental Term Loan, 3-month LIBOR + 4.250%, 5.250%, 7/19/2024(a) | 4,844,160 | ||||||
1,668,465 | Granite Holdings U.S. Acquisition Co., Term Loan B, 3-month LIBOR + 5.250%, 6.322%, 9/30/2026(a) | 1,610,069 | ||||||
4,525,000 | Vertical U.S. Newco, Inc., USD Term Loan B, 7/30/2027(b) | 4,482,601 | ||||||
|
| |||||||
10,936,830 | ||||||||
|
| |||||||
Electric – 2.0% |
| |||||||
8,350,611 | CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.656%, 8/08/2025(a) | 7,863,520 | ||||||
5,191,765 | KAMC Holdings, Inc., 2019 Term Loan, LIBOR + 4.000%, 4.256%, 8/14/2026(g) | 4,555,774 | ||||||
2,314,750 | Oregon Clean Energy LLC, Term Loan, 1-month LIBOR + 3.750%, 4.750%, 3/01/2026(a) | 2,276,163 | ||||||
4,597,919 | Revere Power LLC, Term Loan B, 1-month LIBOR + 4.250%, 4.406%, 3/29/2026(a) | 4,222,407 | ||||||
331,985 | Revere Power LLC, Term Loan C, 1-month LIBOR + 4.250%, 4.406%, 3/29/2026(a) | 304,872 | ||||||
5,279,095 | West Deptford Energy Holdings LLC, Term Loan B, 1-month LIBOR + 3.750%, 3.906%, 8/03/2026(a) | 4,856,767 | ||||||
|
| |||||||
24,079,503 | ||||||||
|
| |||||||
Environmental – 0.5% |
| |||||||
6,617,854 | EnergySolutions LLC, 2018 Term Loan B, 3-month LIBOR + 3.750%, 4.750%, 5/09/2025(a) | 6,118,736 | ||||||
|
| |||||||
Financial Other – 3.4% |
| |||||||
17,508,486 | Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 4.500%, 4.656%, 2/28/2025(a) | 15,741,180 | ||||||
329 | AqGen Ascensus, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 4.000%, 5.072%, 12/03/2022(a) | 329 | ||||||
4,750,000 | AqGen Ascensus, Inc., 2020 Term Loan, 12/13/2026(b) | 4,714,375 | ||||||
2,701,000 | GT Polaris, Inc., Term Loan B, 8/04/2027(b) | 2,677,366 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Financial Other – continued |
| |||||||
$ 5,685,270 | LifeMiles Ltd., Term Loan B, 3-month LIBOR + 5.500%, 6.500%, 8/18/2022(a) | $ | 5,145,170 | |||||
2,992,347 | NAB Holdings LLC, 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 4.000%, 7/01/2024(a) | 2,819,120 | ||||||
10,698,158 | Teneo Holdings LLC, Term Loan, 1-month LIBOR + 5.250%, 6.250%, 7/11/2025(a) | 10,270,231 | ||||||
|
| |||||||
41,367,771 | ||||||||
|
| |||||||
Gaming – 0.8% |
| |||||||
4,987,212 | Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1-month LIBOR + 2.750%, 2.906%, 12/23/2024(a) | 4,678,654 | ||||||
1,471,000 | Caesars Resort Collection LLC, 2020 Term Loan B1, 3-month LIBOR + 4.500%, 4.726%, 7/21/2025(i) | 1,424,119 | ||||||
2,400,000 | PCI Gaming Authority, Term Loan, 5/29/2026(b) | 2,321,328 | ||||||
1,317,404 | PCI Gaming Authority, Term Loan, 1-month LIBOR + 2.500%, 2.656%, 5/29/2026(a) | 1,274,219 | ||||||
|
| |||||||
9,698,320 | ||||||||
|
| |||||||
Health Insurance – 0.8% |
| |||||||
4,015,463 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, 1-month LIBOR + 3.250%, 3.406%, 12/31/2025(a) | 3,878,255 | ||||||
5,871,133 | Sedgwick Claims Management Services, Inc., 2019 Term Loan B, 1-month LIBOR + 4.000%, 4.156%, 9/03/2026(a) | 5,778,897 | ||||||
|
| |||||||
9,657,152 | ||||||||
|
| |||||||
Healthcare – 3.6% |
| |||||||
4,753,994 | Carestream Dental Equipment, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.322%, 9/01/2024(a) | 4,040,895 | ||||||
2,350,000 | DuPage Medical Group Ltd., 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 7.750%, 8/15/2025(a) | 2,091,500 | ||||||
6,529,622 | Gentiva Health Services, Inc., 2020 Term Loan, 1-month LIBOR + 3.250%, 3.438%, 7/02/2025(a) | 6,464,326 | ||||||
7,792,817 | Global Education Management Systems Establishment, Term Loan, 3-month LIBOR + 5.000%, 6.000%, 7/31/2026(a) | 7,471,364 | ||||||
5,444,000 | Milano Acquisition Corp., Term Loan, 8/13/2027(b) | 5,396,365 | ||||||
4,684,196 | National Mentor Holdings, Inc., 2019 Term Loan B, 1-month LIBOR + 4.250%, 4.410%, 3/09/2026(a) | 4,635,013 | ||||||
213,277 | National Mentor Holdings, Inc., 2019 Term Loan C, 1-month LIBOR + 4.250%, 4.410%, 3/09/2026(a) | 211,037 | ||||||
4,987,179 | Surgery Center Holdings, Inc., 2017 Term Loan B, 1-month LIBOR + 3.250%, 4.250%, 9/03/2024(a) | 4,701,314 | ||||||
249,375 | Surgery Center Holdings, Inc., 2020 Incremental Term Loan, 1-month LIBOR + 8.000%, 9.000%, 9/03/2024(a) | 251,557 | ||||||
8,635,662 | Verscend Holding Corp., 2018 Term Loan B, 1-month LIBOR + 4.500%, 4.656%, 8/27/2025(a) | 8,563,727 | ||||||
|
| |||||||
43,827,098 | ||||||||
|
| |||||||
Home Construction – 0.2% |
| |||||||
2,349,854 | Hayward Industries, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.656%, 8/05/2024(a) | 2,308,731 | ||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Independent Energy – 0.0% |
| |||||||
$ 23,593,712 | Gavilan Resources LLC, 2nd Lien Term Loan, 3/01/2024(d)(h)(j) | $ | 117,969 | |||||
|
| |||||||
Industrial Other – 3.8% |
| |||||||
7,934,593 | ABG Intermediate Holdings 2 LLC, 2017 1st Lien Add-On Term Loan, 3-month LIBOR + 3.500%, 4.500%, 9/27/2024(a) | 7,765,983 | ||||||
4,442,600 | APi Group DE, Inc., Term Loan B, 1-month LIBOR + 2.500%, 2.656%, 10/01/2026(a) | 4,357,435 | ||||||
7,455,981 | CIBT Global, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.750%, 6/03/2024(a) | 4,594,749 | ||||||
6,288,664 | Harland Clarke Holdings Corp., Term Loan B7, 3-month LIBOR + 4.750%, 5.750%, 11/03/2023(a) | 4,426,465 | ||||||
3,509,205 | Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, 1-month LIBOR + 1.750%, 1.906%, 3/01/2027(a) | 3,397,893 | ||||||
6,463,616 | International Textile Group, Inc., 1st Lien Term Loan, 3-month LIBOR + 5.000%, 5.366%, 5/01/2024(i) | 4,718,439 | ||||||
7,828,000 | International Textile Group, Inc., 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 9.367%, 5/01/2025(a)(d)(h) | 3,522,600 | ||||||
10,598,336 | NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B, 3-month LIBOR + 5.500%, 6.500%, 5/11/2023(a) | 8,955,594 | ||||||
2,959,650 | Ventia Deco LLC, 2016 Term Loan B, 5/21/2026(b) | 2,937,453 | ||||||
1,483,562 | Ventia Deco LLC, 2016 Term Loan B, 3-month LIBOR + 4.000%, 5.000%, 5/21/2026(a) | 1,472,435 | ||||||
|
| |||||||
46,149,046 | ||||||||
|
| |||||||
Integrated Energy – 0.6% |
| |||||||
7,397,460 | Matador Bidco S.a.r.l., Term Loan, 1-month LIBOR + 4.750%, 4.906%, 10/15/2026(a) | 7,101,562 | ||||||
|
| |||||||
Internet & Data – 3.4% |
| |||||||
4,363,000 | A&V Holdings Midco LLC, 2020 Term Loan B, 3-month LIBOR + 5.375%, 6.375%, 3/10/2027(a) | 3,948,515 | ||||||
4,139,134 | CareerBuilder LLC, Term Loan, 3-month LIBOR + 6.750%, 7.750%, 7/31/2023(a) | 3,739,004 | ||||||
5,290,779 | Castle U.S. Holding Corp., USD Term Loan B, 3-month LIBOR + 3.750%, 4.058%, 1/29/2027(a) | 5,085,762 | ||||||
9,502,172 | MH Sub I LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.572%, 9/13/2024(a) | 9,246,183 | ||||||
8,830,000 | MH Sub I LLC, 2017 2nd Lien Term Loan, 6-month LIBOR + 7.500%, 8.572%, 9/15/2025(a) | 8,719,625 | ||||||
2,901,995 | MH Sub I LLC, 2020 Incremental Term Loan, 1-month LIBOR + 3.750%, 4.750%, 9/13/2024(a) | 2,867,548 | ||||||
8,269,765 | WeddingWire, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.500%, 4.808%, 12/19/2025(a) | 7,897,626 | ||||||
|
| |||||||
41,504,263 | ||||||||
|
| |||||||
Leisure – 2.8% |
| |||||||
5,114,935 | Crown Finance U.S., Inc., 2018 USD Term Loan, 3-month LIBOR + 2.250%, 3.322%, 2/28/2025(a) | 3,996,043 | ||||||
4,009,700 | Crown Finance U.S., Inc., 2019 Incremental Term Loan, 6-month LIBOR + 2.500%, 3.572%, 9/30/2026(a) | 3,077,445 | ||||||
7,852,287 | Kingpin Intermediate Holdings LLC, 2018 Term Loan B, 1-month LIBOR + 3.500%, 4.500%, 7/03/2024(a) | 6,471,620 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Leisure – continued |
| |||||||
$ 3,788,759 | Playpower, Inc., 2019 Term Loan, 3-month LIBOR + 5.500%, 5.808%, 5/08/2026(a) | $ | 3,343,580 | |||||
6,871,420 | PUG LLC, USD Term Loan, 1-month LIBOR + 3.500%, 3.656%, 2/12/2027(a) | 5,817,825 | ||||||
5,697,493 | Recess Holdings, Inc., 2017 1st Lien Term Loan, LIBOR + 3.750%, 4.750%, 9/30/2024(g) | 4,864,235 | ||||||
7,600,950 | Thunder Finco Pty Ltd., Term Loan B, 1-month LIBOR + 4.000%, 4.750%, 11/26/2026(a) | 6,384,798 | ||||||
|
| |||||||
33,955,546 | ||||||||
|
| |||||||
Lodging – 0.8% |
| |||||||
4,164,094 | Aimbridge Acquisition Co., Inc., 2019 Term Loan B, 1-month LIBOR + 3.750%, 3.906%, 2/02/2026(a) | 3,591,531 | ||||||
7,184,064 | Golden Nugget, Inc., 2017 Incremental Term Loan B, LIBOR + 2.500%, 3.250%, 10/04/2023(g) | 6,409,118 | ||||||
|
| |||||||
10,000,649 | ||||||||
|
| |||||||
Media Entertainment – 3.1% |
| |||||||
3,388,634 | Diamond Sports Group LLC, Term Loan, 1-month LIBOR + 3.250%, 3.410%, 8/24/2026(a) | 2,859,160 | ||||||
4,000,000 | iHeartCommunications, Inc., 2020 Incremental Term Loan, 3-month LIBOR + 4.000%, 4.750%, 5/01/2026(a) | 3,856,680 | ||||||
2,848,022 | iHeartCommunications, Inc., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.156%, 5/01/2026(a) | 2,697,475 | ||||||
7,205,717 | ION Media Networks, Inc., 2019 Term Loan B, 1-month LIBOR + 3.000%, 3.188%, 12/18/2024(a) | 7,025,574 | ||||||
3,989,232 | McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B, 3-month LIBOR + 4.000%, 5.000%, 5/04/2022(a) | 3,434,050 | ||||||
4,868,000 | Meredith Corp., 2020 Incremental Term Loan B, 1-month LIBOR + 4.250%, 5.250%, 1/31/2025(a) | 4,786,851 | ||||||
2,945,285 | Meredith Corp., 2020 Term Loan B2, 1-month LIBOR + 2.500%, 2.668%, 1/31/2025(a) | 2,830,684 | ||||||
9,700,000 | Metro-Goldwyn-Mayer, Inc., 2018 2nd Lien Term Loan, 1-month LIBOR + 4.500%, 5.500%, 7/03/2026(a) | 9,312,000 | ||||||
973,379 | Project Sunshine IV PTY Ltd., 2017 Term Loan B, 1-month LIBOR + 7.000%, 8.000%, 8/21/2022(a)(e)(f) | 973,379 | ||||||
|
| |||||||
37,775,853 | ||||||||
|
| |||||||
Metals & Mining – 1.0% |
| |||||||
5,848,387 | GrafTech Finance, Inc., 2018 Term Loan B, 1-month LIBOR + 3.500%, 4.500%, 2/12/2025(a) | 5,760,662 | ||||||
8,451,486 | U.S. Silica Co., 2018 Term Loan B, 1-month LIBOR + 4.000%, 5.000%, 5/01/2025(a) | 6,755,188 | ||||||
|
| |||||||
12,515,850 | ||||||||
|
| |||||||
Midstream – 1.6% |
| |||||||
8,315,776 | Lower Cadence Holdings LLC, Term Loan B, 1-month LIBOR + 4.000%, 4.000%, 5/22/2026(a) | 7,629,724 | ||||||
12,732,305 | Prairie ECI Acquiror LP, Term Loan B, 1-month LIBOR + 4.750%, 4.906%, 3/11/2026(a) | 11,411,328 | ||||||
|
| |||||||
19,041,052 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Packaging – 0.1% |
| |||||||
$ 1,250,000 | Titan Acquisition Ltd., 2018 Term Loan B, 3/28/2025(b) | $ | 1,178,125 | |||||
|
| |||||||
Pharmaceuticals – 0.5% |
| |||||||
5,237,949 | Akorn, Inc., Term Loan B, 1-month LIBOR + 14.500%, 15.500%, (0.750% PIK, 14.750% Cash), 4/16/2021(a)(k) | 4,646,060 | ||||||
947,027 | Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%, 2.933%, 11/27/2025(a) | 926,903 | ||||||
|
| |||||||
5,572,963 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.5% |
| |||||||
758,858 | AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, 1-month LIBOR + 4.500%, 5.500%, 2/12/2027(a) | 756,331 | ||||||
3,813,910 | AssuredPartners, Inc., 2020 Term Loan B, 1-month LIBOR + 3.500%, 3.656%, 2/12/2027(a) | 3,715,854 | ||||||
1,673,000 | Broadstreet Partners, Inc., 2020 Incremental Term Loan B, 1-month LIBOR + 3.750%, 4.750%, 1/27/2027(a) | 1,647,905 | ||||||
4,351,690 | Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 4.500%, 12/20/2024(a) | 4,303,952 | ||||||
5,485,897 | USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 3.308%, 5/16/2024(a) | 5,329,330 | ||||||
2,578,045 | USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 4.000%, 4.308%, 12/02/2026(a) | 2,535,610 | ||||||
|
| |||||||
18,288,982 | ||||||||
|
| |||||||
Refining – 0.5% |
| |||||||
6,975,836 | Delek U.S. Holdings, Inc., 2018 Term Loan B, 1-month LIBOR + 2.250%, 2.406%, 3/31/2025(a) | 6,568,517 | ||||||
|
| |||||||
REITs – Retail – 1.1% |
| |||||||
6,116,960 | Brookfield Property REIT, Inc., 1st Lien Term Loan B, 1-month LIBOR + 2.500%, 2.656%, 8/27/2025(a) | 4,892,161 | ||||||
8,639,000 | Forest City Enterprises LP, 2019 Term Loan B, 1-month LIBOR + 3.500%, 3.656%, 12/08/2025(a) | 8,390,629 | ||||||
|
| |||||||
13,282,790 | ||||||||
|
| |||||||
Restaurants – 3.1% |
| |||||||
1,494,737 | 1011778 B.C. Unlimited Liability Co., Term Loan B4, 11/19/2026(b) | 1,436,816 | ||||||
4,451,530 | Bojangles’ Restaurants, Inc., Term Loan, 1-month LIBOR + 4.750%, 4.906%, 1/28/2026(a) | 4,362,499 | ||||||
2,984,925 | Carrols Restaurant Group, Inc., Term Loan B, LIBOR + 3.250%, 3.483%, 4/30/2026(g) | 2,777,054 | ||||||
7,209,804 | Flynn Restaurant Group LP, 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.656%, 6/27/2025(a) | 6,813,265 | ||||||
7,618,397 | Portillo’s Holdings LLC, 2019 1st Lien Term Loan B3, 3-month LIBOR + 5.500%, 6.500%, 9/06/2024(a) | 7,189,862 | ||||||
16,994,617 | Red Lobster Management LLC, Term Loan B, 3-month LIBOR + 5.250%, 6.250%, 7/28/2021(a) | 14,615,370 | ||||||
|
| |||||||
37,194,866 | ||||||||
|
| |||||||
Retailers – 2.5% |
| |||||||
6,527,060 | Array Canada, Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.000%, 2/10/2023(a) | 3,263,530 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Retailers – continued |
| |||||||
$ 16,003,324 | BDF Acquisition Corp., 1st Lien Term Loan, 3-month LIBOR + 5.250%, 6.250%, 8/14/2023(a) | $ | 14,402,992 | |||||
4,182,193 | EG Group Ltd., 2018 USD Term Loan B, 6-month LIBOR + 4.000%, 5.072%, 2/07/2025(a) | 4,047,568 | ||||||
4,729,740 | Kontoor Brands, Inc., Term Loan B, 3-month LIBOR + 4.250%, 4.420%, 5/15/2026(a) | 4,635,145 | ||||||
5,741,689 | Talbots, Inc. (The), 2018 Term Loan B, 3-month LIBOR + 7.000%, 8.000%, 11/28/2022(a) | 4,540,700 | ||||||
|
| |||||||
30,889,935 | ||||||||
|
| |||||||
Supermarkets – 1.2% |
| |||||||
14,969,094 | BI-LO Holding LLC, Exit Term Loan B, LIBOR + 8.000%, 9.000%, 5/31/2024(g) | 14,924,186 | ||||||
|
| |||||||
Technology – 9.7% |
| |||||||
6,425,068 | Aptean, Inc., 2019 Term Loan, 1-month LIBOR + 4.250%, 4.406%, 4/23/2026(a) | 6,268,489 | ||||||
1,587,000 | Cardtronics USA, Inc., Term Loan B, 1-month LIBOR + 4.000%, 5.000%, 6/29/2027(a) | 1,582,049 | ||||||
4,873,546 | CommScope, Inc., 2019 Term Loan B, 1-month LIBOR + 3.250%, 3.406%, 4/06/2026(a) | 4,762,137 | ||||||
6,193,496 | Corel Corp., 2019 Term Loan, 3-month LIBOR + 5.000%, 5.256%, 7/02/2026(a) | 5,887,723 | ||||||
8,975,703 | Finastra USA, Inc., USD 1st Lien Term Loan, LIBOR + 3.500%, 4.500%, 6/13/2024(g) | 8,438,866 | ||||||
5,000,000 | GlobalLogic Holdings, Inc., 2020 Incremental Term Loan B2, 8/13/2027(b) | 4,975,000 | ||||||
10,168,504 | Helios Software Holdings, Inc., USD Term Loan, 6-month LIBOR + 4.250%, 5.322%, 10/24/2025(a) | 10,066,819 | ||||||
9,523,669 | Hyland Software, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 7.750%, 7/07/2025(a) | 9,511,764 | ||||||
8,474,347 | IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 9.750%, 4/01/2022(a)(d)(h) | 227,790 | ||||||
10,755,500 | McAfee LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 9.500%, 9/29/2025(a) | 10,829,498 | ||||||
3,663,915 | Project Alpha Intermediate Holding, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 4.250%, 4.520%, 4/26/2024(a) | 3,627,276 | ||||||
8,958,939 | Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 4.250%, 4.511%, 5/16/2025(a)(d)(h) | 8,759,244 | ||||||
3,482,000 | Redstone Buyer LLC, Term Loan, 6/29/2027(b) | 3,473,295 | ||||||
3,600,000 | Rocket Software, Inc., 2018 Term Loan, 11/28/2025(b) | 3,467,016 | ||||||
5,307,313 | S2P Acquisition Borrower, Inc., Term Loan, 3-month LIBOR + 4.000%, 5.072%, 8/14/2026(a) | 5,224,412 | ||||||
6,888,997 | Sirius Computer Solutions, Inc., 2020 Term Loan, 1-month LIBOR + 3.500%, 3.656%, 7/01/2026(a) | 6,729,723 | ||||||
10,893,561 | SurveyMonkey, Inc., 2018 Term Loan B, 1 Week LIBOR + 3.750%, 3.860%, 10/10/2025(a) | 10,798,243 | ||||||
500,000 | Ultimate Software Group, Inc. (The), 2020 2nd Lien Incremental Term Loan, 3-month LIBOR + 6.750%, 7.500%, 5/03/2027(a) | 509,375 | ||||||
7,872,238 | Verifone Systems, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 4.000%, 4.253%, 8/20/2025(a) | 7,071,868 | ||||||
6,025,389 | Web.com Group, Inc., 2018 Term Loan B, 1-month LIBOR + 3.750%, 3.933%, 10/10/2025(a) | 5,812,995 | ||||||
|
| |||||||
118,023,582 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Transportation Services – 1.7% |
| |||||||
$ 6,665,253 | Deliver Buyer, Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.000%, 5/01/2024(a) | $ | 6,531,948 | |||||
8,138,971 | Uber Technologies, Inc., 2018 Term Loan, 1-month LIBOR + 4.000%, 5.000%, 4/04/2025(a) | 8,041,629 | ||||||
5,654,105 | Verra Mobility Corp., 2020 Term Loan B, 3-month LIBOR + 3.250%, 3.558%, 2/28/2025(a) | 5,512,752 | ||||||
|
| |||||||
20,086,329 | ||||||||
|
| |||||||
Utility Other – 0.4% |
| |||||||
5,003,390 | Pacific Gas & Electric Co., 2020 Term Loan, 3-month LIBOR + 4.500%, 5.500%, 6/23/2025(a) | 4,918,983 | ||||||
|
| |||||||
Wireless – 0.3% |
| |||||||
3,886,640 | Asurion LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.500%, 6.656%, 8/04/2025(a) | 3,892,470 | ||||||
|
| |||||||
Wirelines – 0.4% |
| |||||||
3,229,590 | Avaya, Inc., 2018 Term Loan B, 1-month LIBOR + 4.250%, 4.412%, 12/15/2024(a) | 3,134,059 | ||||||
2,000,000 | Coral-U.S. Co-Borrower LLC, 2020 Term Loan B2, 1-month LIBOR + 2.250%, 2.406%, 1/31/2028(a) | 1,929,000 | ||||||
|
| |||||||
5,063,059 | ||||||||
|
| |||||||
Total Senior Loans (Identified Cost $1,126,721,921) | 1,019,073,226 | |||||||
|
| |||||||
Bonds and Notes – 6.6% | ||||||||
Non-Convertible Bonds – 6.3% | ||||||||
Aerospace & Defense – 0.7% |
| |||||||
3,500,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 3,532,795 | ||||||
5,500,000 | TransDigm, Inc., 6.500%, 7/15/2024 | 5,527,500 | ||||||
|
| |||||||
9,060,295 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
5,000,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.250%, 6/03/2026, 144A | 5,050,000 | ||||||
|
| |||||||
Building Materials – 0.4% |
| |||||||
4,250,000 | Beacon Roofing Supply, Inc., 4.875%, 11/01/2025, 144A | 4,213,322 | ||||||
|
| |||||||
Chemicals – 0.6% |
| |||||||
5,814,000 | Atotech Alpha 2 BV, 9.500% PIK or 8.750% Cash, 6/01/2023, 144A(l) | 5,901,210 | ||||||
1,715,000 | Avient Corp., 5.750%, 5/15/2025, 144A | 1,822,187 | ||||||
|
| |||||||
7,723,397 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Gaming – 0.4% |
| |||||||
$ 4,235,000 | Colt Merger Sub, Inc., 6.250%, 7/01/2025, 144A | $ | 4,489,058 | |||||
|
| |||||||
Lodging – 0.1% |
| |||||||
1,000,000 | Wyndham Destinations, Inc., 3.900%, 3/01/2023 | 990,000 | ||||||
|
| |||||||
Media Entertainment – 0.5% |
| |||||||
5,750,000 | AMC Networks, Inc., 4.750%, 8/01/2025 | 5,951,250 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 0.4% |
| |||||||
6,133,071 | Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.088%, 8/15/2024, 144A(a) | 5,162,647 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.4% |
| |||||||
4,000,000 | NMI Holdings, Inc., 7.375%, 6/01/2025, 144A | 4,318,440 | ||||||
|
| |||||||
REITs – Hotels – 0.3% |
| |||||||
50,000 | Service Properties Trust, 3.950%, 1/15/2028 | 43,015 | ||||||
550,000 | Service Properties Trust, 4.350%, 10/01/2024 | 516,830 | ||||||
20,000 | Service Properties Trust, 4.500%, 6/15/2023 | 19,664 | ||||||
3,040,000 | Service Properties Trust, 4.750%, 10/01/2026 | 2,789,200 | ||||||
100,000 | Service Properties Trust, 4.950%, 2/15/2027 | 91,500 | ||||||
|
| |||||||
3,460,209 | ||||||||
|
| |||||||
REITs – Mortgage – 0.5% |
| |||||||
5,000,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A | 4,950,000 | ||||||
1,750,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 1,662,500 | ||||||
|
| |||||||
6,612,500 | ||||||||
|
| |||||||
Supermarkets – 0.5% |
| |||||||
5,750,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A | 6,051,875 | ||||||
|
| |||||||
Technology – 1.1% |
| |||||||
4,500,000 | Cardtronics, Inc./Cardtronic USA, Inc., 5.500%, 5/01/2025, 144A | 4,545,000 | ||||||
6,000,000 | EIG Investors Corp., 10.875%, 2/01/2024 | 6,210,000 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ 2,235,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | $ | 2,343,353 | |||||
710,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 789,875 | ||||||
|
| |||||||
13,888,228 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $74,361,679) | 76,971,221 | |||||||
|
| |||||||
Convertible Bonds – 0.3% | ||||||||
REITs – Mortgage – 0.3% |
| |||||||
3,250,000 | Blackstone Mortgage Trust, Inc., 4.375%, 5/05/2022 (Identified Cost $3,105,396) | 3,120,000 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $77,467,075) | 80,091,221 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 0.2% | ||||||||
Chemicals – 0.1% |
| |||||||
193,746 | Hexion Holdings Corp., Class B(m) | 1,646,841 | ||||||
|
| |||||||
Energy Equipment & Services – 0.1% |
| |||||||
61,854 | Ameriforge Group, Inc.(d)(e)(f)(m) | 454,627 | ||||||
|
| |||||||
Specialty Retail – 0.0% |
| |||||||
1,790,513 | Onsite Rental Group Pty Ltd.(c)(d)(e)(f)(m) | — | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $7,580,893) | 2,101,468 | |||||||
|
| |||||||
Exchange-Traded Funds – 1.5% | ||||||||
835,000 | Invesco Senior Loan ETF (Identified Cost $18,250,875) | 18,261,450 | ||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 7.4% | ||||||||
$ 89,937,152 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2020 at 0.000% to be repurchased at $89,937,152 on 9/01/2020 collateralized by $75,802,400 U.S. Treasury Note, 2.125% due 11/30/2024 valued at $82,259,668; $9,065,500 U.S. Treasury Note, 2.375% due 3/15/2022 valued at $9,476,357 including accrued interest(n) (Identified Cost $89,937,152) | 89,937,152 | ||||||
|
|
Description | Value (†) | |||||
Total Investments – 99.3% (Identified Cost $1,319,957,916) | $ | 1,209,464,517 | ||||
Other assets less liabilities – 0.7% | 8,724,326 | |||||
|
| |||||
Net Assets – 100.0% | $ | 1,218,188,843 | ||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of August 31, 2020, securities held by the Fund were fair valued as follows:
Securities classified as fair valued | Percentage of Net Assets | Securities fair valued by the Fund’s adviser | Percentage of Net Assets | |||||||||
$21,224,243 | 1.7 | % | $ | 3,126,612 | 0.3 | % |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Variable rate security. Rate as of August 31, 2020 is disclosed. |
(b) | Position is unsettled. Contract rate was not determined at August 31, 2020 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Securities subject to restriction on resale. At August 31, 2020, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||
Onsite Rental Group Pty Ltd. | 11/03/2017 | $ | — | $ | — | — | ||||||||
Onsite Rental Group Pty Ltd., Note | 11/03/2017 | 2,384,581 | 1,698,606 | 0.1 | % |
(d) | Illiquid security. | |
(e) | Level 3 security. Value has been determined using significant unobservable inputs. | |
(f) | Fair valued by the Fund’s adviser. At August 31, 2020, the value of these securities amounted to $3,126,612 or 0.3% of net assets. | |
(g) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2020. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |
(h) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At August 31, 2020, the value of these securities amounted to $21,224,243 or 1.7% of net assets. | |
(i) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2020. | |
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
(k) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended August 31, 2020, interest payments were made in cash and principal. | |
(l) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended August 31, 2020, interest payments were made in cash. | |
(m) | Non-income producing security. | |
(n) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of August 31, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. | |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2020, the value of Rule 144A holdings amounted to $54,832,262 or 4.5% of net assets. | |
ETF | Exchange-Traded Fund | |
LIBOR | London Interbank Offered Rate | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts |
Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of August 31, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans | ||||||||||||||||
Construction Machinery | $ | — | $ | 3,365,303 | $ | 1,698,606 | (a) | $ | 5,063,909 | |||||||
Consumer Cyclical Services | — | 78,139,256 | 7,536,029 | (b) | 85,675,285 | |||||||||||
Media Entertainment | — | 36,802,474 | 973,379 | (a) | 37,775,853 | |||||||||||
All Other Senior Loans* | — | 890,558,179 | — | 890,558,179 | ||||||||||||
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Total Senior Loans | — | 1,008,865,212 | 10,208,014 | 1,019,073,226 | ||||||||||||
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Bonds and Notes* | — | 80,091,221 | — | 80,091,221 | ||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 1,646,841 | — | 1,646,841 | ||||||||||||
Energy Equipment & Services | — | — | 454,627 | (a) | 454,627 | |||||||||||
Specialty Retail | — | — | — | (c) | — | |||||||||||
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Total Common Stocks | — | 1,646,841 | 454,627 | 2,101,468 | ||||||||||||
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Exchange-Traded Funds | 18,261,450 | — | — | 18,261,450 | ||||||||||||
Short-Term Investments | — | 89,937,152 | — | 89,937,152 | ||||||||||||
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Total | $ | 18,261,450 | $ | 1,180,540,426 | $ | 10,662,641 | $ | 1,209,464,517 | ||||||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser. |
(b) | Valued using broker-dealer bid prices. |
(c) | Fair valued at zero by the Fund’s adviser using level 3 inputs. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2019 and/or August 31, 2020:
Asset Valuation Inputs
Investments in Securities | Balance as of November 30, 2019 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of August 31, 2020 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at August 31, 2020 | ||||||||||||||||||||||||||||||
Senior Loans | ||||||||||||||||||||||||||||||||||||||||
Construction Machinery | $ | — | $ | 107,061 | $ | — | $ | (1,577,008 | ) | $ | — | $ | — | $ | 3,168,553 | $ | — | $ | 1,698,606 | $ | (1,577,008 | ) | ||||||||||||||||||
Consumer Cyclical Services | — | 163,186 | 281 | 67,270 | — | (84,230 | ) | 7,389,522 | — | 7,536,029 | 67,270 | |||||||||||||||||||||||||||||
Internet & Data | 8,911,883 | 1,790 | (2,244,669 | ) | 1,613,805 | — | (8,282,809 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Leisure | 6,672,769 | 5,793 | (957,783 | ) | 1,077,808 | — | (6,798,587 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Media Entertainment | — | — | (12,499 | ) | 28,932 | — | (2,313,207 | ) | 3,270,153 | — | 973,379 | 28,932 | ||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Independent Energy | 2,207,400 | (a) | 111,614 | (6,457,526 | ) | 4,138,512 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy Equipment & Services | — | — | — | (2,885,489 | ) | — | — | 3,340,116 | — | 454,627 | (2,885,489 | ) | ||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | (b) | — | (1,853,525 | ) | 1,853,525 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Specialty Retail | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||||||
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Total | $ | 17,792,052 | $ | 389,444 | $ | (11,525,721 | ) | $ | 4,317,355 | $ | — | $ | (17,478,833 | ) | $ | 17,168,344 | $ | — | $ | 10,662,641 | $ | (4,366,295 | ) | |||||||||||||||||
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(a) | Includes a security fair valued at zero using Level 3 inputs. |
(b) | Fair valued at zero. |
A debt security valued at $3,168,553 was transferred from Level 2 to Level 3 during the period ended August 31,2020. At November 30, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
A debt security valued at $7,389,522 was transferred from Level 2 to Level 3 during the period ended August 31, 2020. At November 30, 2020, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
A debt security valued at $3,270,153 was transferred from Level 2 to Level 3 during the period ended August 31,2020. At November 30, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.
A common stock valued at $3,340,116 was transferred from Level 2 to Level 3 during the period ended August 31, 2020. At November 30 2019, this security was valued on the basis of closing bid quotations furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At August 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
Industry Summary at August 31, 2020 (Unaudited)
Technology | 10.8 | % | ||
Consumer Products | 7.2 | |||
Consumer Cyclical Services | 7.0 | |||
Building Materials | 5.8 | |||
Automotive | 5.5 | |||
Industrial Other | 3.8 | |||
Healthcare | 3.6 | |||
Media Entertainment | 3.6 | |||
Internet & Data | 3.4 | |||
Financial Other | 3.4 | |||
Restaurants | 3.1 | |||
Leisure | 2.8 | |||
Retailers | 2.5 | |||
Chemicals | 2.4 | |||
Aerospace & Defense | 2.2 | |||
Electric | 2.0 | |||
Other Investments, less than 2% each | 21.3 | |||
Short-Term Investments | 7.4 | |||
Exchange-Traded Funds | 1.5 | |||
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Total Investments | 99.3 | |||
Other assets less liabilities | 0.7 | |||
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Net Assets | 100.0 | % | ||
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