PORTFOLIO OF INVESTMENTS – as of February 28, 2021 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount | Description | Value (†) | ||||||
Senior Loans – 87.9% of Net Assets | ||||||||
Aerospace & Defense – 1.9% |
| |||||||
$ 3,823,854 | Advanced Integration Technology LP, 2017 Term Loan B, 1-month LIBOR + 4.750%, 5.750%, 4/03/2023(a) | $ | 3,498,826 | |||||
3,731,203 | AI Convoy (Luxembourg) S.a.r.l., USD Term Loan B, 6-month LIBOR + 3.500%, 4.500%, 1/17/2027(a) | 3,725,196 | ||||||
3,039,383 | MAG DS Corp., Term Loan, 3-month LIBOR + 5.500%, 6.500%, 4/01/2027(a) | 2,978,595 | ||||||
3,252,749 | Peraton Holding Corp., Delayed Draw Term Loan B, 2/19/2028(b) | 3,264,947 | ||||||
2,436,000 | Spirit Aerosystems, Inc., 2020 Term Loan B, 1-month LIBOR + 5.250%, 6.000%, 1/15/2025(a) | 2,445,135 | ||||||
9,676,692 | TransDigm, Inc., 2020 Term Loan F, 1-month LIBOR + 2.250%, 2.365%, 12/09/2025(a) | 9,544,411 | ||||||
|
| |||||||
25,457,110 | ||||||||
|
| |||||||
Airlines – 0.5% |
| |||||||
4,129,741 | Allegiant Travel Co., 2020 Term Loan, 3-month LIBOR + 3.000%, 3.198%, 2/05/2024(a) | 4,080,721 | ||||||
2,474,000 | SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 3-month LIBOR + 3.750%, 4.750%, 10/20/2027(a) | 2,616,775 | ||||||
|
| |||||||
6,697,496 | ||||||||
|
| |||||||
Automotive – 5.7% |
| |||||||
5,837,067 | Clarios Global LP, 2021 USD Term Loan B, 4/30/2026(b) | 5,840,744 | ||||||
5,837,067 | Clarios Global LP, USD Term Loan B, 1-month LIBOR + 3.500%, 3.615%, 4/30/2026(a) | 5,840,744 | ||||||
3,074,216 | Dayco Products LLC, 2017 Term Loan B, 3-month LIBOR + 4.250%, 4.440%, 5/19/2023(a) | 2,766,794 | ||||||
6,163,298 | Holley Purchaser, Inc., Term Loan B, 3-month LIBOR + 5.000%, 5.212%, 10/24/2025(a) | 6,097,843 | ||||||
4,357,753 | IXS Holdings, Inc., 2020 Term Loan B, 1-month LIBOR + 4.250%, 5.250%, 3/05/2027(a) | 4,382,810 | ||||||
4,966,000 | Les Schwab Tire Centers, Term Loan B, 6-month LIBOR + 3.500%, 4.250%, 11/02/2027(a) | 4,972,208 | ||||||
2,608,000 | Mavis Tire Express Services Corp., 2020 Add-On Term Loan B, 3-month LIBOR + 4.000%, 5.000%, 3/20/2025(a) | 2,616,163 | ||||||
9,532,540 | Mister Car Wash Holdings, Inc., 2019 Term Loan B, 1-month LIBOR + 3.250%, 3.361%, 5/14/2026(a) | 9,404,423 | ||||||
5,084,000 | PAI Holdco, Inc., 2020 Term Loan B, 3-month LIBOR + 4.000%, 5.000%, 10/28/2027(a) | 5,122,130 | ||||||
3,781,350 | Rough Country LLC, 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.750%, 5/25/2023(a) | 3,771,897 | ||||||
9,760,479 | Trico Group LLC, 2020 Term Loan B, 3-month LIBOR + 7.500%, 8.500%, 2/02/2024(a) | 9,914,206 | ||||||
4,500,000 | Truck Hero, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 1/31/2028(a) | 4,503,195 | ||||||
5,798,649 | Wand NewCo 3, Inc., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.115%, 2/05/2026(a) | 5,756,203 | ||||||
3,550,000 | Wheel Pros LLC, 2020 Term Loan, 1-month LIBOR + 5.250%, 6.250%, 11/06/2027(a) | 3,541,125 | ||||||
|
| |||||||
74,530,485 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Brokerage – 1.4% |
| |||||||
$ 2,482,950 | Advisor Group, Inc., 2021 Term Loan, 1-month LIBOR + 4.500%, 4.615%, 7/31/2026(a) | $ | 2,486,401 | |||||
992,405 | Edelman Financial Center LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.000%, 3.115%, 7/21/2025(a) | 983,900 | ||||||
3,852,045 | Edelman Financial Center LLC, 2018 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 6.865%, 7/20/2026(a) | 3,835,673 | ||||||
5,458,819 | Jefferies Finance LLC, 2020 Incremental Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 9/30/2027(a) | 5,458,819 | ||||||
5,472,500 | Jefferies Finance LLC, 2021 Term Loan, 6/03/2026(b) | 5,461,774 | ||||||
|
| |||||||
18,226,567 | ||||||||
|
| |||||||
Building Materials – 4.1% |
| |||||||
836,000 | 84 Lumber Co., 2021 Term Loan B, 11/06/2026(b) | 836,627 | ||||||
5,269,156 | Big Ass Fans LLC, 2018 Term Loan, 3-month LIBOR + 3.750%, 4.750%, 5/21/2024(a) | 5,282,329 | ||||||
6,348,089 | Cornerstone Building Brands, Inc., 2018 Term Loan, 1-month LIBOR + 3.750%, 3.860%, 4/12/2025(a) | 6,348,089 | ||||||
50,000 | CP Atlas Buyer, Inc., 2021 Term Loan B, 11/23/2027(b) | 49,973 | ||||||
5,020,000 | CP Atlas Buyer, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.250%, 11/23/2027(a) | 5,017,289 | ||||||
4,000,000 | Floor & Decor Outlets of America, Inc., 2020 Term Loan B, 1-month LIBOR + 2.000%, 2.120%, 2/14/2027(a) | 4,000,000 | ||||||
6,904,168 | Interior Logic Group Holdings IV LLC, 2018 Term Loan B, 1-month LIBOR + 4.000%, 4.115%, 5/30/2025(a) | 6,895,538 | ||||||
6,980,783 | Janus International Group LLC, 2021 Term Loan B1, 3-month LIBOR + 3.250%, 4.250%, 2/12/2025(a) | 6,998,235 | ||||||
2,594,000 | Kodiak Building Partners Inc., Term Loan B, 3/12/2028(b) | 2,594,000 | ||||||
772,325 | LBM Acquisition LLC, Delayed Draw Term Loan, 12/17/2027(b) | 773,615 | ||||||
2,045,455 | LBM Acquisition LLC, Term Loan B, 12/17/2027(b) | 2,048,871 | ||||||
1,430,006 | LBM Acquisition LLC, Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 12/17/2027(a) | 1,432,394 | ||||||
4,416,165 | Mannington Mills, Inc., 2019 Term Loan B, 3-month LIBOR + 4.000%, 4.254%, 8/06/2026(a) | 4,401,459 | ||||||
4,139,000 | MI Windows & Doors LLC, 2020 Term Loan, 1-month LIBOR + 3.750%, 4.500%, 12/18/2027(a) | 4,166,607 | ||||||
1,245,000 | Park River Holdings, Inc., Term Loan, 3-month LIBOR + 3.250%, 4.000%, 1/22/2028(a) | 1,246,332 | ||||||
1,842,348 | White Cap Buyer LLC, Term Loan B, 6-month LIBOR + 4.000%, 4.500%, 10/19/2027(a) | 1,848,630 | ||||||
|
| |||||||
53,939,988 | ||||||||
|
| |||||||
Cable Satellite – 0.8% |
| |||||||
4,003,149 | CSC Holdings LLC, 2019 Term Loan B5, 1-month LIBOR + 2.500%, 2.611%, 4/15/2027(a) | 3,986,256 | ||||||
2,676,146 | UPC Broadband Holding BV, 2020 USD Term Loan B1, 1-month LIBOR + 3.500%, 3.612%, 1/31/2029(a) | 2,679,491 | ||||||
2,676,146 | UPC Broadband Holding BV, 2020 USD Term Loan B2, 1-month LIBOR + 3.500%, 3.612%, 1/31/2029(a) | 2,679,491 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Cable Satellite – continued |
| |||||||
$ 1,600,000 | Virgin Media Bristol LLC, 2020 USD Term Loan Q, 1/31/2029(b) | $ | 1,599,808 | |||||
|
| |||||||
10,945,046 | ||||||||
|
| |||||||
Chemicals – 2.1% |
| |||||||
1,575,000 | Aruba Investments, Inc., 2020 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.500%, 11/24/2028(a) | 1,581,568 | ||||||
1,953,000 | Aruba Investments, Inc., 2020 USD Term Loan, 3-month LIBOR + 4.000%, 4.750%, 11/24/2027(a) | 1,972,530 | ||||||
2,500,000 | Consolidated Energy Finance S.A., Term Loan B, 1-month LIBOR + 2.500%, 2.618%, 5/07/2025(a) | 2,450,000 | ||||||
4,948,929 | Hexion, Inc., USD Exit Term Loan, 3-month LIBOR + 3.500%, 3.740%, 7/01/2026(a) | 4,924,185 | ||||||
1,152,000 | INEOS Styrolution U.S. Holding LLC, 2021 USD Term Loan B, 1-month LIBOR + 2.750%, 3.250%, 1/29/2026(a) | 1,156,320 | ||||||
4,525,655 | Momentive Performance Materials, Inc., Term Loan B, 1-month LIBOR + 3.250%, 3.370%, 5/15/2024(a) | 4,474,741 | ||||||
4,216,600 | Natgasoline LLC, Term Loan B, 1-month LIBOR + 3.500%, 3.625%, 11/14/2025(a) | 4,206,058 | ||||||
4,782,000 | NIC Acquisition Corp., Term Loan, 3-month LIBOR + 3.750%, 4.500%, 12/29/2027(a) | 4,778,031 | ||||||
1,874,000 | Ravago Holdings America, Inc., 2021 Term Loan B, 2/18/2028(b) | 1,872,838 | ||||||
|
| |||||||
27,416,271 | ||||||||
|
| |||||||
Construction Machinery – 0.4% |
| |||||||
3,388,615 | CTOS LLC, 2020 Term Loan B, 1-month LIBOR + 4.250%, 4.365%, 4/18/2025(a) | 3,385,430 | ||||||
3,266,549 | Onsite Rental Group Pty Ltd., Note, 6.100%, 10/26/2023(c)(d)(e)(f) | 1,737,804 | ||||||
|
| |||||||
5,123,234 | ||||||||
|
| |||||||
Consumer Cyclical Services – 6.4% |
| |||||||
11,518,626 | Access CIG LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.750%, 3.873%, 2/27/2025(a) | 11,480,845 | ||||||
6,975,000 | Access CIG LLC, 2018 2nd Lien Term Loan, 1-month LIBOR + 7.750%, 7.873%, 2/27/2026(a) | 6,931,406 | ||||||
3,450,000 | American Residential Services LLC, 2020 Term Loan B, 3-month LIBOR + 3.500%, 4.250%, 10/15/2027(a) | 3,465,111 | ||||||
6,637,903 | BIFM CA Buyer, Inc., Term Loan B, 1-month LIBOR + 3.500%, 3.615%, 6/01/2026(a) | 6,633,787 | ||||||
6,614,170 | Creative Artists Agency LLC, 2019 Term Loan B, 1-month LIBOR + 3.750%, 3.865%, 11/27/2026(a) | 6,557,685 | ||||||
9,056,561 | Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, 1-month LIBOR + 2.750%, 2.865%, 8/21/2025(a) | 8,990,267 | ||||||
997,494 | Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 1-month LIBOR + 3.750%, 4.750%, 4/09/2027(a) | 1,002,661 | ||||||
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) | 1,861,650 | ||||||
3,000,000 | First Advantage Holdings LLC, 2021 Term Loan B, 1/31/2027(b) | 2,985,000 | ||||||
1,990,000 | First Advantage Holdings LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.123%, 1/31/2027(a) | 1,980,050 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Consumer Cyclical Services – continued |
| |||||||
$ 923,912 | Lender MCS Acquisition Corp., 2020 Take Back Term Loan, 3-month LIBOR + 6.000%, 7.000%, 10/02/2025(a) | $ | 905,433 | |||||
2,577,490 | National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.004%, 5/23/2025(a) | 2,576,407 | ||||||
837,313 | Service Logic Acquisition, Inc., Delayed Draw Term Loan, 2.000%, 10/29/2027(g) | 840,981 | ||||||
31,716 | Service Logic Acquisition, Inc., Delayed Draw Term Loan, 2-month LIBOR + 4.000%, 4.750%, 10/29/2027(a) | 31,855 | ||||||
3,380,970 | Service Logic Acquisition, Inc., Term Loan, 3-month LIBOR + 4.000%, 4.750%, 10/29/2027(a) | 3,395,779 | ||||||
5,119,325 | Sterling Midco Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.500%, 6/19/2024(a) | 5,079,650 | ||||||
3,587,557 | Thoughtworks, Inc., 2020 Term Loan, 3-month LIBOR + 3.750%, 4.750%, 10/11/2024(a) | 3,590,535 | ||||||
2,480,818 | West Corp., 2017 Term Loan, LIBOR + 4.000%, 5.000%, 10/10/2024(h) | 2,444,996 | ||||||
8,247,857 | William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, LIBOR + 2.750%, 2.903%, 5/18/2025(h) | 7,806,019 | ||||||
5,424,907 | Xerox Business Services LLC, USD Term Loan B, 1-month LIBOR + 2.500%, 2.615%, 12/07/2023(a) | 5,343,533 | ||||||
|
| |||||||
83,903,650 | ||||||||
|
| |||||||
Consumer Products – 6.0% |
| |||||||
5,922,000 | Advantage Sales & Marketing, Inc., 2020 Term Loan B, 3-month LIBOR + 5.250%, 6.000%, 10/28/2027(a) | 5,951,610 | ||||||
2,078,121 | Anastasia Parent LLC, 2018 Term Loan B, 3-month LIBOR + 3.750%, 4.004%, 8/11/2025(a) | 1,424,157 | ||||||
5,211,257 | Augusta Sportswear Group, Inc., Term Loan B, 3-month LIBOR + 4.500%, 5.500%, 10/26/2023(a) | 4,999,575 | ||||||
1,415,000 | Canada Goose Inc., Term Loan, 3-month LIBOR + 4.250%, 5.000%, 10/07/2027(a) | 1,421,198 | ||||||
1,713,000 | CBI Buyer, Inc., Term Loan, 1/06/2028(b) | 1,714,079 | ||||||
4,299,000 | CBI Buyer, Inc., Term Loan, 3-month LIBOR + 3.250%, 3.750%, 1/06/2028(a) | 4,301,708 | ||||||
7,223,190 | CWGS Group LLC, 2016 Term Loan, 1-month LIBOR + 2.750%, 3.500%, 11/08/2023(a) | 7,211,488 | ||||||
6,469,546 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.000%, 5/01/2024(a) | 6,430,470 | ||||||
3,220,000 | Mattress Firm, Inc., 2020 Term Loan B, 6-month LIBOR + 5.250%, 6.250%, 11/26/2027(a) | 3,272,325 | ||||||
4,400,000 | Ozark Holdings LLC, 2020 Term Loan B, 1-month LIBOR + 4.000%, 4.750%, 12/16/2027(a) | 4,411,000 | ||||||
5,682,740 | Polyconcept Investments BV, USD 2016 Term Loan B, 3-month LIBOR + 4.500%, 5.500%, 8/16/2023(a) | 5,462,534 | ||||||
3,416,000 | RV Retailer LLC, Term Loan B, Prime + 3.000%, 6.250%, 2/08/2028(a) | 3,403,190 | ||||||
4,191,456 | Serta Simmons Bedding LLC, 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.500%, 11/08/2023(a) | 2,367,879 | ||||||
8,661,818 | SIWF Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.250%, 4.365%, 6/15/2025(a) | 8,620,328 | ||||||
7,362,628 | Thor Industries, Inc., USD Term Loan B, 1-month LIBOR + 3.750%, 3.875%, 2/01/2026(a) | 7,369,548 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Consumer Products – continued |
| |||||||
$ 5,740,610 | Weight Watchers International, Inc., 2017 Term Loan B, 1-month LIBOR + 4.750%, 5.500%, 11/29/2024(a) | $ | 5,739,175 | |||||
4,783,987 | Wellness Merger Sub, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.000%, 4.115%, 6/30/2024(a) | 4,758,585 | ||||||
|
| |||||||
78,858,849 | ||||||||
|
| |||||||
Diversified Manufacturing – 1.3% |
| |||||||
2,705,220 | Engineered Machinery Holdings, Inc., 2018 Incremental Term Loan, 3-month LIBOR + 4.250%, 5.250%, 7/19/2024(a) | 2,700,702 | ||||||
3,439,879 | Granite Holdings U.S. Acquisition Co., 2021 Term Loan B, 3-month LIBOR + 4.000%, 4.169%, 9/30/2026(a) | 3,444,179 | ||||||
6,000,000 | Schweitzer-Mauduit International, Inc., 2021 Term Loan B, 1/27/2028(b) | 5,985,000 | ||||||
4,513,688 | Vertical Midco GmbH, USD Term Loan B, 6-month LIBOR + 4.250%, 4.478%, 7/30/2027(a) | 4,548,669 | ||||||
|
| |||||||
16,678,550 | ||||||||
|
| |||||||
Electric – 2.1% |
| |||||||
4,318,318 | CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.615%, 8/08/2025(a) | 4,293,142 | ||||||
5,165,610 | KAMC Holdings, Inc., 2019 Term Loan, LIBOR + 4.000%, 4.190%, 8/14/2026(h) | 4,907,330 | ||||||
2,239,848 | Mirion Technologies, Inc., 2019 Term Loan B, 3-month LIBOR + 4.000%, 4.257%, 3/06/2026(i) | 2,242,648 | ||||||
2,297,215 | Oregon Clean Energy LLC, Term Loan, 1-month LIBOR + 3.750%, 4.750%, 3/01/2026(a) | 2,298,363 | ||||||
4,978,373 | Pacific Gas & Electric Co., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.500%, 6/23/2025(a) | 4,992,362 | ||||||
574,336 | Pike Corp., 2021 Incremental Term Loan B, 1/21/2028(b) | 574,158 | ||||||
756,664 | Pike Corp., 2021 Incremental Term Loan B, 1-month LIBOR + 3.000%, 3.120%, 1/21/2028(a) | 756,430 | ||||||
2,567,344 | Revere Power LLC, Term Loan B, 1-month LIBOR + 4.250%, 4.365%, 3/27/2026(a) | 2,460,363 | ||||||
122,893 | Revere Power LLC, Term Loan C, 1-month LIBOR + 4.250%, 4.365%, 3/27/2026(a) | 117,772 | ||||||
5,221,670 | West Deptford Energy Holdings LLC, Term Loan B, 1-month LIBOR + 3.750%, 3.865%, 8/03/2026(a) | 4,908,369 | ||||||
|
| |||||||
27,550,937 | ||||||||
|
| |||||||
Environmental – 0.7% |
| |||||||
2,810,787 | Array Technologies, Inc., 2021 Term Loan, 10/14/2027(b) | 2,816,633 | ||||||
3,093,041 | EnergySolutions LLC, 2018 Term Loan B, 3-month LIBOR + 3.750%, 4.750%, 5/09/2025(a) | 3,073,710 | ||||||
3,800,000 | Northstar Group Services, Inc., 2020 Term Loan B, 3-month LIBOR + 5.500%, 6.500%, 11/09/2026(a) | 3,809,500 | ||||||
|
| |||||||
9,699,843 | ||||||||
|
| |||||||
Financial Other – 3.2% |
| |||||||
2,500,000 | Acrisure LLC, 2020 Term Loan B, 1-month LIBOR + 3.500%, 3.615%, 2/15/2027(a) | 2,482,300 | ||||||
6,821,345 | Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 4.500%, 4.615%, 2/28/2025(a) | 6,727,552 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Financial Other – continued |
| |||||||
$ 3,230,009 | AqGen Ascensus, Inc., 2020 Term Loan, 3-month LIBOR + 4.000%, 5.000%, 12/13/2026(a) | $ | 3,242,122 | |||||
3,150,000 | DRW Holdings LLC, 2021 Term Loan, 2/24/2028(b) | 3,142,125 | ||||||
2,694,248 | GT Polaris, Inc., Term Loan B, 3-month LIBOR + 4.000%, 5.000%, 9/24/2027(a) | 2,705,186 | ||||||
5,293,183 | LifeMiles Ltd., Term Loan B, 3-month LIBOR + 5.500%, 6.500%, 8/18/2022(a) | 5,031,858 | ||||||
2,695,000 | Mermaid BidCo, Inc., USD Term Loan B, 2-month LIBOR + 4.250%, 5.000%, 12/22/2027(a) | 2,703,435 | ||||||
2,977,041 | NAB Holdings LLC, 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 4.000%, 7/01/2024(a) | 2,982,102 | ||||||
3,666,241 | Resolute Investment Managers, Inc., 2020 Term Loan, 1-month LIBOR + 3.750%, 4.750%, 4/30/2024(a) | 3,675,407 | ||||||
9,726,586 | Teneo Holdings LLC, Term Loan, 1-month LIBOR + 5.250%, 6.250%, 7/11/2025(a) | 9,738,744 | ||||||
|
| |||||||
42,430,831 | ||||||||
|
| |||||||
Food & Beverage – 1.3% |
| |||||||
1,737,000 | Arterra Wines Canada, Inc., 2020 Term Loan, 3-month LIBOR + 3.500%, 4.250%, 11/24/2027(a) | 1,746,415 | ||||||
2,586,000 | Proampac PG Borrower LLC, 2020 Term Loan, 1-month LIBOR + 4.000%, 5.000%, 11/03/2025(a) | 2,592,465 | ||||||
4,469,798 | Shearer’s Foods, Inc., 2020 Term Loan B, 3-month LIBOR + 4.000%, 4.750%, 9/23/2027(a) | 4,489,107 | ||||||
3,600,000 | Whole Earth Brands, Inc., Term Loan B, 3-month LIBOR + 4.500%, 5.500%, 2/05/2028(a) | 3,564,000 | ||||||
4,196,000 | WOOF Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.500%, 12/21/2027(a) | 4,203,007 | ||||||
|
| |||||||
16,594,994 | ||||||||
|
| |||||||
Gaming – 0.5% |
| |||||||
4,961,637 | Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1-month LIBOR + 2.750%, 2.865%, 12/23/2024(a) | 4,915,146 | ||||||
1,467,323 | Caesars Resort Collection LLC, 2020 Term Loan B1, 1-month LIBOR + 4.500%, 4.615%, 7/21/2025(a) | 1,470,844 | ||||||
|
| |||||||
6,385,990 | ||||||||
|
| |||||||
Health Insurance – 0.7% |
| |||||||
3,995,080 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, 1-month LIBOR + 3.250%, 3.365%, 12/31/2025(a) | 3,963,439 | ||||||
5,841,481 | Sedgwick Claims Management Services, Inc., 2019 Term Loan B, 9/03/2026(b) | 5,840,137 | ||||||
|
| |||||||
9,803,576 | ||||||||
|
| |||||||
Healthcare – 7.4% |
| |||||||
6,723,150 | Ascend Learning LLC, 2020 Incremental Term Loan, 1-month LIBOR + 3.750%, 4.750%, 7/12/2024(a) | 6,734,378 | ||||||
3,500,000 | Athenahealth, Inc., 2021 Term Loan B1, 3-month LIBOR + 4.250%, 4.453%, 2/11/2026(a) | 3,519,040 | ||||||
3,500,000 | ATI Holdings Acquisition, Inc., 2016 Term Loan, 6-month LIBOR + 3.500%, 4.500%, 5/10/2023(a) | 3,495,625 | ||||||
4,729,552 | Carestream Dental Equipment, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.250%, 9/01/2024(a) | 4,646,785 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Healthcare – continued |
| |||||||
$ 3,593,000 | CT Technologies Intermediate Holdings, Inc., 2020 Term Loan, 1-month LIBOR + 5.000%, 6.000%, 12/09/2025(a) | $ | 3,606,474 | |||||
2,350,000 | DuPage Medical Group Ltd., 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 7.750%, 8/15/2025(a) | 2,348,049 | ||||||
5,834,000 | Ensemble RCM LLC, Term Loan, 3-month LIBOR + 3.750%, 3.962%, 8/03/2026(a) | 5,842,226 | ||||||
2,190,000 | Gainwell Acquisition Corp., Term Loan B, 10/01/2027(b) | 2,182,707 | ||||||
5,444,000 | Gainwell Acquisition Corp., Term Loan B, 3-month LIBOR + 4.000%, 4.750%, 10/01/2027(a) | 5,425,871 | ||||||
5,675,992 | Gentiva Health Services, Inc., 2020 Term Loan, 1-month LIBOR + 2.750%, 2.875%, 7/02/2025(a) | 5,679,568 | ||||||
5,415,637 | Global Education Management Systems Establishment, Term Loan, 3-month LIBOR + 5.000%, 6.000%, 7/31/2026(a) | 5,422,407 | ||||||
2,774,816 | National Mentor Holdings, Inc., 2019 Term Loan B, LIBOR + 4.250%, 4.411%, 3/09/2026(h) | 2,770,904 | ||||||
108,618 | National Mentor Holdings, Inc., 2019 Term Loan C, 3-month LIBOR + 4.250%, 4.510%, 3/09/2026(a) | 108,465 | ||||||
416,300 | National Mentor Holdings, Inc., 2021 Delayed Draw Term Loan, 2/18/2028(b) | 415,468 | ||||||
3,784,548 | National Mentor Holdings, Inc., 2021 Term Loan, 2/18/2028(b) | 3,776,979 | ||||||
126,152 | National Mentor Holdings, Inc., 2021 Term Loan C, 2/18/2028(b) | 125,899 | ||||||
4,317,000 | nThrive, Inc., 2021 1st Lien Term Loan, 6-month LIBOR + 3.750%, 4.500%, 1/28/2028(a) | 4,324,555 | ||||||
4,450,000 | Onex TSG Intermediate Corp., 2021 Term Loan B, 2/23/2028(b) | 4,380,491 | ||||||
4,455,000 | Pearl Intermediate Parent LLC, 2018 1st Lien Term Loan, 2/14/2025(b) | 4,406,752 | ||||||
217,000 | PetVet Care Centers LLC, 2021 Term Loan B3, 1-month LIBOR + 3.500%, 4.250%, 2/14/2025(a) | 216,933 | ||||||
1,000,000 | Southern Veterinary Partners LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.750%, 10/05/2028(a) | 1,005,000 | ||||||
441,333 | Southern Veterinary Partners LLC, Delayed Draw Term Loan, 4.000%, 10/05/2027(g) | 442,715 | ||||||
3,199,667 | Southern Veterinary Partners LLC, Term Loan, 6-month LIBOR + 4.000%, 5.000%, 10/05/2027(a) | 3,209,682 | ||||||
4,263,343 | Surgery Center Holdings, Inc., 2017 Term Loan B, 1-month LIBOR + 3.250%, 4.250%, 9/03/2024(a) | 4,245,053 | ||||||
248,125 | Surgery Center Holdings, Inc., 2020 Incremental Term Loan, 1-month LIBOR + 8.000%, 9.000%, 9/03/2024(a) | 253,864 | ||||||
4,620,000 | Symplr Software, Inc., 2020 Term Loan, 6-month LIBOR + 4.500%, 5.250%, 12/22/2027(a) | 4,635,015 | ||||||
7,095,541 | Verscend Holding Corp., 2018 Term Loan B, 1-month LIBOR + 4.500%, 4.615%, 8/27/2025(a) | 7,128,890 | ||||||
7,095,541 | Verscend Holding Corp., 2021 Term Loan B, 8/27/2025(b) | 7,128,890 | ||||||
|
| |||||||
97,478,685 | ||||||||
|
| |||||||
Home Construction – 0.2% |
| |||||||
2,332,887 | Hayward Industries, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.615%, 8/05/2024(a) | 2,330,461 | ||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Industrial Other – 4.8% |
| |||||||
$ 7,908,417 | ABG Intermediate Holdings 2 LLC, 2021 Term Loan B, 3-month LIBOR + 3.250%, 4.000%, 9/27/2024(a) | $ | 7,896,079 | |||||
2,970,000 | Alliance Laundry Systems LLC, Term Loan B, 3-month LIBOR + 3.500%, 4.250%, 10/08/2027(a) | 2,978,494 | ||||||
4,024,765 | CIBT Global, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.750%, 6/03/2024(a) | 3,394,205 | ||||||
3,000,000 | Connect Finco S.a.r.l., 2021 Term Loan B, 12/11/2026(b) | 3,009,630 | ||||||
4,000,000 | Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, 6/28/2024(b) | 3,949,360 | ||||||
3,620,690 | Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, 3-month LIBOR + 3.500%, 4.500%, 6/28/2024(a) | 3,574,853 | ||||||
5,361,563 | Filtration Group Corp., 2020 Incremental Term Loan, 1-month LIBOR + 3.750%, 4.500%, 3/29/2025(a) | 5,378,988 | ||||||
3,000,000 | Infinite Bidco LLC, 2nd Lien Term Loan, 3/02/2029(b) | 3,000,000 | ||||||
2,784,000 | Infinite Bidco LLC, Term Loan, 2/24/2028(b) | 2,784,000 | ||||||
4,648,349 | International Textile Group, Inc., 1st Lien Term Loan, 6-month LIBOR + 5.000%, 5.260%, 5/01/2024(a) | 4,365,078 | ||||||
7,828,000 | International Textile Group, Inc., 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 9.260%, 5/01/2025(a) | 4,305,400 | ||||||
10,543,603 | NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B, 3-month LIBOR + 5.500%, 6.500%, 5/11/2023(a) | 9,700,115 | ||||||
2,674,871 | Shape Technologies Group, Inc., Term Loan, 4/21/2025(b) | 2,420,758 | ||||||
2,000,000 | Ventia Deco LLC, 2016 Term Loan B, 5/21/2026(b) | 2,005,000 | ||||||
4,450,686 | Ventia Deco LLC, 2016 Term Loan B, 3-month LIBOR + 4.000%, 5.000%, 5/21/2026(a) | 4,461,813 | ||||||
|
| |||||||
63,223,773 | ||||||||
|
| |||||||
Integrated Energy – 0.6% |
| |||||||
7,360,380 | Matador Bidco S.a.r.l., Term Loan, 1-month LIBOR + 4.750%, 4.865%, 10/15/2026(a) | 7,336,459 | ||||||
|
| |||||||
Internet & Data – 2.4% |
| |||||||
2,969,211 | A&V Holdings Midco LLC, 2020 Term Loan B, 6-month LIBOR + 5.375%, 6.375%, 3/10/2027(a) | 2,924,673 | ||||||
849,000 | Adevinta ASA, USD Term Loan B, 10/13/2027(b) | 854,306 | ||||||
3,159,542 | CareerBuilder LLC, Term Loan, 3-month LIBOR + 6.750%, 7.750%, 7/31/2023(a) | 3,007,884 | ||||||
5,268,688 | Castle U.S. Holding Corp., USD Term Loan B, 3-month LIBOR + 3.750%, 4.004%, 1/29/2027(a) | 5,228,225 | ||||||
7,458,472 | MH Sub I LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.615%, 9/13/2024(a) | 7,429,459 | ||||||
2,887,485 | MH Sub I LLC, 2020 Incremental Term Loan, 1-month LIBOR + 3.750%, 4.750%, 9/13/2024(a) | 2,892,913 | ||||||
4,000,000 | MH Sub I LLC, 2021 2nd Lien Term Loan, 2/12/2029(b) | 4,035,000 | ||||||
5,235,420 | WeddingWire, Inc., 1st Lien Term Loan, LIBOR + 4.500%, 4.711%, 12/19/2025(h) | 5,176,522 | ||||||
|
| |||||||
31,548,982 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Leisure – 2.3% |
| |||||||
$ 1,500,000 | AMC Entertainment Holdings, Inc., 2019 Term Loan B, 4/22/2026(b) | $ | 1,283,940 | |||||
7,812,327 | Kingpin Intermediate Holdings LLC, 2018 Term Loan B, 1-month LIBOR + 3.500%, 4.500%, 7/03/2024(a) | 7,678,033 | ||||||
1,972,043 | Playpower, Inc., 2019 Term Loan, 3-month LIBOR + 5.500%, 5.740%, 5/08/2026(a) | 1,937,533 | ||||||
6,836,890 | PUG LLC, USD Term Loan, 1-month LIBOR + 3.500%, 3.615%, 2/12/2027(a) | 6,631,783 | ||||||
5,668,200 | Recess Holdings, Inc., 2017 1st Lien Term Loan, LIBOR + 3.750%, 4.750%, 9/30/2024(h) | 5,606,814 | ||||||
7,562,850 | Thunder Finco Pty Ltd., Term Loan B, 1-month LIBOR + 4.250%, 5.000%, 11/26/2026(a) | 6,995,636 | ||||||
|
| |||||||
30,133,739 | ||||||||
|
| |||||||
Lodging – 0.8% |
| |||||||
4,143,116 | Aimbridge Acquisition Co., Inc., 2019 Term Loan B, 1-month LIBOR + 3.750%, 3.865%, 2/02/2026(a) | 3,984,310 | ||||||
6,005,179 | Golden Nugget, Inc., 2017 Incremental Term Loan B, 2-month LIBOR + 2.500%, 3.250%, 10/04/2023(a) | 5,947,649 | ||||||
|
| |||||||
9,931,959 | ||||||||
|
| |||||||
Media Entertainment – 4.7% |
| |||||||
4,297,038 | Cambium Learning Group, Inc., Term Loan B, 3-month LIBOR + 4.500%, 4.754%, 12/18/2025(a) | 4,298,843 | ||||||
6,492,167 | Cengage Learning, Inc., 2016 Term Loan B, 3-month LIBOR + 4.250%, 5.250%, 6/07/2023(a) | 6,392,058 | ||||||
3,371,563 | Diamond Sports Group LLC, Term Loan, 1-month LIBOR + 3.250%, 3.370%, 8/24/2026(a) | 2,528,672 | ||||||
8,870,000 | E.W. Scripps Co. (The), 2020 Term Loan B3, 1-month LIBOR + 3.000%, 3.750%, 1/07/2028(a) | 8,876,919 | ||||||
2,735,288 | Emerald Expositions Holding, Inc., 2017 Term Loan B, 1-month LIBOR + 2.500%, 2.615%, 5/22/2024(a) | 2,640,537 | ||||||
3,980,000 | iHeartCommunications, Inc., 2020 Incremental Term Loan, 1-month LIBOR + 4.000%, 4.750%, 5/01/2026(a) | 3,988,716 | ||||||
2,833,710 | iHeartCommunications, Inc., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.115%, 5/01/2026(a) | 2,804,664 | ||||||
2,000,000 | McGraw-Hill Global Education Holdings LLC, 2021 Term Loan B, 11/01/2024(b) | 1,995,500 | ||||||
5,802,165 | McGraw-Hill Global Education Holdings LLC, 2021 Term Loan B, 3-month LIBOR + 4.750%, 5.750%, 11/01/2024(a) | 5,789,110 | ||||||
3,843,660 | Meredith Corp., 2020 Incremental Term Loan B, 3-month LIBOR + 4.250%, 5.250%, 1/31/2025(a) | 3,906,927 | ||||||
9,700,000 | Metro-Goldwyn-Mayer, Inc., 2018 2nd Lien Term Loan, 1-month LIBOR + 4.500%, 5.500%, 7/03/2026(a) | 9,690,882 | ||||||
3,719,000 | Nielsen Finance LLC, 2021 USD Term Loan B, 2/04/2028(b) | 3,723,649 | ||||||
5,298,060 | Terrier Media Buyer, Inc., 2021 Term Loan, 1-month LIBOR + 3.500%, 3.615%, 12/17/2026(a) | 5,291,437 | ||||||
|
| |||||||
61,927,914 | ||||||||
|
| |||||||
Metals & Mining – 0.8% |
| |||||||
2,725,176 | GrafTech Finance, Inc., 2018 Term Loan B, 1-month LIBOR + 3.250%, 3.500%, 2/12/2025(a) | 2,726,021 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Metals & Mining – continued |
| |||||||
$ 8,407,908 | U.S. Silica Co., 2018 Term Loan B, 1-month LIBOR + 4.000%, 5.000%, 5/01/2025(a) | $ | 7,945,473 | |||||
|
| |||||||
10,671,494 | ||||||||
|
| |||||||
Midstream – 0.8% |
| |||||||
3,685,391 | Oryx Midstream Holdings LLC, Term Loan B, 1-month LIBOR + 4.000%, 4.115%, 5/22/2026(a) | 3,613,231 | ||||||
6,832,305 | Prairie ECI Acquiror LP, Term Loan B, 1-month LIBOR + 4.750%, 4.865%, 3/11/2026(a) | 6,701,329 | ||||||
|
| |||||||
10,314,560 | ||||||||
|
| |||||||
Packaging – 1.4% |
| |||||||
2,577,000 | Altium Packaging LLC, 2021 Term Loan B, 3-month LIBOR + 2.750%, 3.250%, 1/29/2028(a) | 2,571,846 | ||||||
4,950,000 | Pretium PKG Holdings, Inc., 2020 Term Loan, 3-month LIBOR + 4.000%, 4.750%, 11/05/2027(a) | 4,964,454 | ||||||
2,834,000 | Reynolds Group Holdings, Inc., 2020 Term Loan B2, 1-month LIBOR + 3.250%, 3.365%, 2/05/2026(a) | 2,822,182 | ||||||
3,548,224 | Titan Acquisition Ltd., 2018 Term Loan B, 6-month LIBOR + 3.000%, 3.267%, 3/28/2025(a) | 3,484,924 | ||||||
881,408 | TricorBraun Holdings, Inc., 2021 Delayed Draw Term Loan, 2/03/2028(b) | 880,033 | ||||||
3,918,592 | TricorBraun Holdings, Inc., 2021 Term Loan, 2/03/2028(b) | 3,912,479 | ||||||
|
| |||||||
18,635,918 | ||||||||
|
| |||||||
Pharmaceuticals – 0.9% |
| |||||||
2,264,552 | Akorn, Inc., 2020 Take Back Term Loan, 3-month LIBOR + 7.500%, 8.500%, 10/01/2025(a) | 2,275,875 | ||||||
2,735,966 | Amneal Pharmaceuticals LLC, 2018 Term Loan B, 1-month LIBOR + 3.500%, 3.625%, 5/04/2025(a) | 2,694,489 | ||||||
�� | 887,838 | Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%, 2.865%, 11/27/2025(a) | 887,145 | |||||
6,000,000 | Parexel International Corp., Term Loan B, 9/27/2024(b) | 5,964,660 | ||||||
|
| |||||||
11,822,169 | ||||||||
|
| |||||||
Property & Casualty Insurance – 2.2% |
| |||||||
755,054 | AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, 1-month LIBOR + 4.500%, 5.500%, 2/12/2027(a) | 759,018 | ||||||
3,794,745 | AssuredPartners, Inc., 2020 Term Loan B, 1-month LIBOR + 3.500%, 3.623%, 2/12/2027(a) | 3,781,691 | ||||||
4,148,603 | Baldwin Risk Partners LLC, Term Loan B, 3-month LIBOR + 4.000%, 4.750%, 10/14/2027(a) | 4,169,346 | ||||||
1,664,635 | Broadstreet Partners, Inc., 2020 Incremental Term Loan B, 1-month LIBOR + 3.750%, 4.750%, 1/27/2027(a) | 1,671,926 | ||||||
3,300,000 | Broadstreet Partners, Inc., 2020 Term Loan B, 1/27/2027(b) | 3,278,286 | ||||||
3,887,991 | Hyperion Insurance Group Ltd., 2020 Delayed Draw Term Loan, 1-month LIBOR + 3.750%, 4.750%, 11/12/2027(a) | 3,891,645 | ||||||
3,220,937 | Hyperion Insurance Group Ltd., 2020 Incremental Term Loan B, 1-month LIBOR + 3.750%, 4.750%, 11/12/2027(a) | 3,223,964 | ||||||
5,457,692 | USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 3.254%, 5/16/2024(a) | 5,413,813 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Property & Casualty Insurance – continued |
| |||||||
$ 2,565,090 | USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 4.000%, 4.254%, 12/02/2026(a) | $ | 2,549,520 | |||||
|
| |||||||
28,739,209 | ||||||||
|
| |||||||
Refining – 0.3% |
| |||||||
3,748,480 | Delek U.S. Holdings, Inc., 2018 Term Loan B, 1-month LIBOR + 2.250%, 2.365%, 3/31/2025(a) | 3,670,399 | ||||||
|
| |||||||
REITs - Mortgage – 0.1% |
| |||||||
968,000 | Starwood Property Trust, Inc., 2020 Incremental Term Loan B2, 3-month LIBOR + 3.500%, 4.250%, 7/26/2026(a) | 968,000 | ||||||
|
| |||||||
REITs - Retail – 0.5% |
| |||||||
6,085,829 | Brookfield Property REIT, Inc., 1st Lien Term Loan B, 1-month LIBOR + 2.500%, 2.615%, 8/27/2025(a) | 5,921,877 | ||||||
|
| |||||||
Restaurants – 1.8% |
| |||||||
5,310,595 | Carrols Restaurant Group, Inc., Term Loan B, LIBOR + 3.250%, 3.427%, 4/30/2026(h) | 5,249,736 | ||||||
5,178,135 | Flynn Restaurant Group LP, 1st Lien Term Loan, 1-month LIBOR + 3.500%, 3.615%, 6/27/2025(a) | 5,119,104 | ||||||
2,872,000 | IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, 3-month LIBOR + 3.250%, 4.250%, 12/15/2027(a) | 2,881,736 | ||||||
1,772,051 | IRB Holding Corp., 2020 Term Loan B, 6-month LIBOR + 2.750%, 3.750%, 2/05/2025(a) | 1,780,911 | ||||||
5,092,611 | Portillo’s Holdings LLC, 2019 1st Lien Term Loan B3, 3-month LIBOR + 5.500%, 6.500%, 9/06/2024(a) | 5,081,458 | ||||||
3,550,000 | Zaxby’s Operating Company LLC, 1st Lien Term Loan, 1-month LIBOR + 3.750%, 4.500%, 12/28/2027(a) | 3,570,697 | ||||||
|
| |||||||
23,683,642 | ||||||||
|
| |||||||
Retailers – 3.2% |
| |||||||
6,438,257 | Array Canada, Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.000%, 2/10/2023(a) | 3,690,473 | ||||||
2,748,773 | Bass Pro Group LLC, 2021 Term Loan B, 2/26/2028(b) | 2,735,029 | ||||||
5,393,398 | BDF Acquisition Corp., 1st Lien Term Loan, 1-month LIBOR + 5.250%, 6.250%, 8/14/2023(a) | 5,352,948 | ||||||
4,364,000 | Container Store, Inc. (The), 2020 Term Loan B3, 3-month LIBOR + 4.750%, 5.750%, 1/31/2026(a) | 4,349,468 | ||||||
2,490,096 | EG Group Ltd., 2018 USD Term Loan B, 3-month LIBOR + 4.000%, 4.254%, 2/07/2025(a) | 2,478,542 | ||||||
5,028,398 | Harbor Freight Tools USA, Inc., 2020 Term Loan B, 1-month LIBOR + 3.250%, 4.000%, 10/19/2027(a) | 5,049,366 | ||||||
3,351,116 | Kontoor Brands, Inc., Term Loan B, 1-month LIBOR + 4.250%, 4.365%, 5/15/2026(a) | 3,351,116 | ||||||
2,891,000 | Petco Animal Supplies, Inc., 2021 Term Loan B, 2/24/2028(b) | 2,887,386 | ||||||
2,556,000 | PetSmart, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 2/11/2028(a) | 2,572,767 | ||||||
5,650,000 | Rent-A-Center, Inc., 2021 Term Loan B, 2/17/2028(b) | 5,685,313 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Retailers – continued |
| |||||||
$ 5,741,689 | Talbots, Inc. (The), 2018 Term Loan B, 3-month LIBOR + 7.000%, 8.000%, 11/28/2022(a) | $ | 4,306,266 | |||||
|
| |||||||
42,458,674 | ||||||||
|
| |||||||
Technology – 11.4% |
| |||||||
4,896,343 | Aptean, Inc., 2019 Term Loan, 1-month LIBOR + 4.250%, 4.365%, 4/23/2026(a) | 4,892,279 | ||||||
1,579,065 | Cardtronics USA, Inc., Term Loan B, 1-month LIBOR + 4.000%, 5.000%, 6/29/2027(a) | 1,580,060 | ||||||
4,848,994 | CommScope, Inc., 2019 Term Loan B, 1-month LIBOR + 3.250%, 3.365%, 4/06/2026(a) | 4,837,648 | ||||||
6,114,598 | Corel Corp., 2019 Term Loan, 3-month LIBOR + 5.000%, 5.190%, 7/02/2026(a) | 6,072,590 | ||||||
2,000,000 | Dun & Bradstreet Corp. (The), Term Loan, 2/06/2026(b) | 2,002,500 | ||||||
391,000 | Dun & Bradstreet Corp. (The), Term Loan, 1-month LIBOR + 3.250%, 3.365%, 2/06/2026(a) | 391,489 | ||||||
6,825,503 | Endure Digital Inc., Term Loan, 2/10/2028(b) | 6,774,312 | ||||||
2,122,000 | Epicor Software Corp., 2020 Term Loan, 7/30/2027(b) | 2,131,995 | ||||||
6,416,384 | Finastra USA, Inc., USD 1st Lien Term Loan, LIBOR + 3.500%, 4.500%, 6/13/2024(h) | 6,346,895 | ||||||
5,954,000 | Flexera Software LLC, 2020 Incremental Term Loan, 1/26/2028(b) | 5,983,770 | ||||||
4,987,500 | GlobalLogic Holdings, Inc., 2020 Incremental Term Loan B2, 1-month LIBOR + 3.750%, 4.500%, 9/14/2027(a) | 5,012,437 | ||||||
6,648,000 | Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, 1-month LIBOR + 4.000%, 4.750%, 12/01/2027(a) | 6,672,930 | ||||||
5,134,492 | Helios Software Holdings, Inc., USD Term Loan, 6-month LIBOR + 4.250%, 4.519%, 10/24/2025(a) | 5,140,910 | ||||||
8,380,829 | Hyland Software, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 7.750%, 7/07/2025(a) | 8,436,729 | ||||||
6,285,000 | LogMeIn, Inc., Term Loan B, 1-month LIBOR + 4.750%, 4.874%, 8/31/2027(a) | 6,279,783 | ||||||
1,848,251 | Peraton Holding Corp., Term Loan B, 2/01/2028(b) | 1,855,182 | ||||||
5,627,411 | Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, 3-month LIBOR + 4.000%, 4.150%, 4/26/2024(a) | 5,629,155 | ||||||
8,913,346 | Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 4.250%, 4.462%, 5/16/2025(a)(d)(j) | 8,922,883 | ||||||
3,707,000 | RealPage, Inc., Term Loan, 2/17/2028(b) | 3,708,557 | ||||||
3,473,295 | Redstone Buyer LLC, Term Loan, 3-month LIBOR + 5.000%, 6.000%, 9/01/2027(a) | 3,513,828 | ||||||
3,581,772 | Rocket Software, Inc., 2018 Term Loan, 1-month LIBOR + 4.250%, 4.365%, 11/28/2025(a) | 3,586,715 | ||||||
425,000 | S2P Acquisition Borrower, Inc., Term Loan, 8/14/2026(b) | 424,788 | ||||||
5,280,576 | S2P Acquisition Borrower, Inc., Term Loan, 1-month LIBOR + 4.000%, 4.115%, 8/14/2026(a) | 5,277,935 | ||||||
1,008,000 | Sabre GLBL, Inc., 2020 Term Loan B, 1-month LIBOR + 4.000%, 4.750%, 12/17/2027(a) | 1,018,715 |
Principal Amount | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Technology – continued |
| |||||||
$ 6,854,379 | Sirius Computer Solutions, Inc., 2020 Term Loan, 1-month LIBOR + 3.500%, 3.615%, 7/01/2026(a) | $ | 6,856,846 | |||||
6,155,834 | Sophia L.P., 2020 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.500%, 10/07/2027(a) | 6,169,316 | ||||||
4,475,000 | Storable, Inc., Term Loan B, 2/26/2028(b) | 4,475,000 | ||||||
8,843,225 | SurveyMonkey, Inc., 2018 Term Loan B, 1 Week LIBOR + 3.750%, 3.840%, 10/10/2025(a) | 8,806,349 | ||||||
1,000,000 | Syndigo LLC, 2020 2nd Lien Term Loan, 6-month LIBOR + 8.000%, 8.750%, 12/15/2028(a) | 1,000,000 | ||||||
3,100,000 | Syndigo LLC, 2020 Term Loan, 6-month LIBOR + 4.500%, 5.250%, 12/15/2027(a) | 3,084,500 | ||||||
3,000,000 | Tech Data Corp., ABL Term Loan, 6/30/2025(b) | 3,018,750 | ||||||
500,000 | Ultimate Software Group, Inc. (The), 2020 2nd Lien Incremental Term Loan, 3-month LIBOR + 6.750%, 7.500%, 5/03/2027(a) | 515,625 | ||||||
6,086,640 | Verifone Systems, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 4.000%, 4.182%, 8/20/2025(a) | 5,938,309 | ||||||
3,719,000 | Virtusa Corp., Term Loan B, 12/09/2027(b) | 3,739,455 | ||||||
|
| |||||||
150,098,235 | ||||||||
|
| |||||||
Transportation Services – 1.1% |
| |||||||
4,137,356 | Deliver Buyer, Inc., Term Loan B, 3-month LIBOR + 5.000%, 5.254%, 5/01/2024(a) | 4,129,619 | ||||||
5,105,118 | Uber Technologies, Inc., 2021 1st Lien Term Loan B, 4/04/2025(b) | 5,108,947 | ||||||
5,624,530 | Verra Mobility Corp., 2020 Term Loan B, 1-month LIBOR + 3.250%, 3.365%, 2/28/2025(a) | 5,623,349 | ||||||
|
| |||||||
14,861,915 | ||||||||
|
| |||||||
Wireless – 0.8% |
| |||||||
2,441,826 | Asurion LLC, 2020 Term Loan B8, 1-month LIBOR + 3.250%, 3.365%, 12/23/2026(a) | 2,433,817 | ||||||
1,686,000 | Asurion LLC, 2021 2nd Lien Term Loan B3, 1-month LIBOR + 5.250%, 5.365%, 1/31/2028(a) | 1,731,843 | ||||||
2,561,000 | Asurion LLC, 2021 Term Loan B9, 7/31/2027(b) | 2,551,396 | ||||||
3,683,000 | CCI Buyer, Inc., Term Loan, 3-month LIBOR + 4.000%, 4.750%, 12/17/2027(a) | 3,708,339 | ||||||
|
| |||||||
10,425,395 | ||||||||
|
| |||||||
Wirelines – 0.3% |
| |||||||
3,051,000 | Frontier Communications Corp., 2020 DIP Exit Term Loan, 1-month LIBOR + 4.750%, 5.750%, 10/08/2021(a) | 3,071,991 | ||||||
1,455,000 | Zayo Group Holdings, Inc., USD Term Loan, 3/09/2027(b) | 1,452,221 | ||||||
|
| |||||||
4,524,212 | ||||||||
|
| |||||||
Total Senior Loans (Identified Cost $1,162,690,838) | 1,154,951,088 | |||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 5.2% | ||||||||
Non-Convertible Bonds – 5.0% | ||||||||
Aerospace & Defense – 0.3% |
| |||||||
$ 3,500,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | $ | 3,702,300 | |||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
5,000,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.250%, 6/03/2026, 144A | 5,200,000 | ||||||
|
| |||||||
Building Materials – 0.3% |
| |||||||
4,250,000 | Beacon Roofing Supply, Inc., 4.875%, 11/01/2025, 144A | 4,287,698 | ||||||
|
| |||||||
Chemicals – 0.4% |
| |||||||
1,715,000 | Avient Corp., 5.750%, 5/15/2025, 144A | 1,818,243 | ||||||
2,985,000 | Iris Holdings, Inc., 9.500% PIK or 8.750% Cash, 2/15/2026, 144A(k) | 3,022,313 | ||||||
|
| |||||||
4,840,556 | ||||||||
|
| |||||||
Gaming – 0.3% |
| |||||||
4,235,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A | 4,483,785 | ||||||
|
| |||||||
Media Entertainment – 0.8% |
| |||||||
5,750,000 | AMC Networks, Inc., 4.750%, 8/01/2025 | 5,913,846 | ||||||
3,000,000 | McGraw Hill LLC/McGraw-Hill Global Education Finance, Inc., 8.000%, 11/30/2024, 144A | 3,011,250 | ||||||
1,845,000 | Townsquare Media, Inc., 6.875%, 2/01/2026, 144A | 1,929,584 | ||||||
|
| |||||||
10,854,680 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 0.3% |
| |||||||
3,895,469 | Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.039%, 8/15/2024, 144A(a) | 3,747,280 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.4% |
| |||||||
4,000,000 | NMI Holdings, Inc., 7.375%, 6/01/2025, 144A | 4,520,000 | ||||||
|
| |||||||
REITs - Hotels – 0.3% |
| |||||||
50,000 | Service Properties Trust, 3.950%, 1/15/2028 | 46,250 | ||||||
550,000 | Service Properties Trust, 4.350%, 10/01/2024 | 545,875 | ||||||
20,000 | Service Properties Trust, 4.500%, 6/15/2023 | 20,150 | ||||||
3,040,000 | Service Properties Trust, 4.750%, 10/01/2026 | 2,994,400 | ||||||
100,000 | Service Properties Trust, 4.950%, 2/15/2027 | 99,035 | ||||||
|
| |||||||
3,705,710 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
REITs - Mortgage – 0.5% |
| |||||||
$ 5,000,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A | $ | 5,025,000 | |||||
1,750,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 1,739,062 | ||||||
|
| |||||||
6,764,062 | ||||||||
|
| |||||||
Supermarkets – 0.5% |
| |||||||
5,750,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A | 5,952,458 | ||||||
|
| |||||||
Technology – 0.5% |
| |||||||
4,500,000 | Cardtronics, Inc./Cardtronics USA, Inc., 5.500%, 5/01/2025, 144A | 4,646,250 | ||||||
2,235,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | 2,419,857 | ||||||
|
| |||||||
7,066,107 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $60,610,415) | 65,124,636 | |||||||
|
| |||||||
Convertible Bonds – 0.2% | ||||||||
REITs - Mortgage – 0.2% |
| |||||||
3,250,000 | Blackstone Mortgage Trust, Inc., 4.375%, 5/05/2022 (Identified Cost $3,146,686) | 3,300,580 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $63,757,101) | 68,425,216 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 0.9% | ||||||||
Chemicals – 0.2% |
| |||||||
193,746 | Hexion Holdings Corp., Class B(d)(j)(l) | 2,970,707 | ||||||
|
| |||||||
Energy Equipment & Services – 0.0% | ||||||||
61,854 | Ameriforge Group, Inc.(d)(e)(f)(l) | 149,068 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
192,793 | Akorn, Inc.(c)(l) | 2,976,338 | ||||||
|
| |||||||
Real Estate Management & Development – 0.4% |
| |||||||
36,956 | Lender MCS Holdings, Inc.(c)(d)(j)(l) | 5,173,840 | ||||||
|
| |||||||
Software – 0.0% |
| |||||||
21,186 | iQor Holdings, Inc.(d)(j)(l) | 280,715 | ||||||
|
| |||||||
Specialty Retail – 0.0% |
| |||||||
1,790,513 | Onsite Rental Group Pty Ltd.(c)(d)(e)(f)(l) | — | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $13,855,482) | 11,550,668 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Exchange-Traded Funds – 1.4% | ||||||||
835,000 | Invesco Senior Loan ETF (Identified Cost $18,320,945) | $ | 18,537,000 | |||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 16.0% | ||||||||
$ 210,327,135 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/26/2021 at 0.000% to be repurchased at $210,327,135 on 3/01/2021 collateralized by $13,755,700 U.S. Treasury Note, 0.250% due 8/31/2025 valued at $13,486,847; $174,959,500 U.S. Treasury Inflation Indexed Note, 0.125% due 10/15/2025 valued at $190,573,592; $4,945,400 U.S. Treasury Bills, Zero Coupon due 8/12/2021 valued at $4,944,312; $4,693,100 U.S. Treasury Inflation Indexed Note, 0.625% due 7/15/2021 valued at $5,528,996 including accrued interest(m) (Identified Cost $210,327,135) | 210,327,135 | ||||||
|
| |||||||
Total Investments – 111.4% (Identified Cost $1,468,951,501) | 1,463,791,107 | |||||||
Other assets less liabilities – (11.4)% | (150,154,081 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,313,637,026 | ||||||
|
|
(†) | 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 February 28, 2021, 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 | |||
$17,348,145 | 1.3% | $1,886,872 | 0.1% |
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 February 28, 2021 is disclosed. |
(b) | Position is unsettled. Contract rate was not determined at February 28, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Securities subject to restriction on resale. At February 28, 2021, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
Akorn, Inc. | 10/06/2020 | $ | 2,530,723 | * | $ | 2,976,338 | 0.3 | % | ||||||||
Lender MCS Holdings, Inc. | 9/30/2020 | 3,510,820 | ** | 5,173,840 | 0.4 | % | ||||||||||
Onsite Rental Group Pty Ltd. | 11/03/2017 | — | — | — | ||||||||||||
Onsite Rental Group Pty Ltd., Note | 11/03/2017 | 2,384,581 | 1,737,804 | 0.1 | % |
* | Represents basis carried over in a non-taxable restructuring |
** | Represents basis assigned upon receipt in a taxable restructuring |
(d) | Illiquid security. |
(e) | Level 3 security. Value has been determined using significant unobservable inputs. | |
(f) | Fair valued by the Fund’s adviser. At February 28, 2021, the value of these securities amounted to $1,886,872 or 0.1% of net assets. | |
(g) | Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. | |
(h) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2021. 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. | |
(i) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2021. | |
(j) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At February 28, 2021, the value of these securities amounted to $17,348,145 or 1.3% of net assets. | |
(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 February 28, 2021, interest payments were made in cash. | |
(l) | Non-income producing security. | |
(m) | 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 February 28, 2021, 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 February 28, 2021, the value of Rule 144A holdings amounted to $55,505,080 or 4.2% of net assets. | |
DIP | Debtor In Possession | |
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 February 28, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans | ||||||||||||||||
Construction Machinery | $ | — | $ | 3,385,430 | $ | 1,737,804 | (a) | $ | 5,123,234 | |||||||
All Other Senior Loans* | — | 1,149,827,854 | — | 1,149,827,854 | ||||||||||||
|
|
|
|
|
| |||||||||||
Total Senior Loans | — | 1,153,213,284 | 1,737,804 | 1,154,951,088 | ||||||||||||
|
|
|
|
|
| |||||||||||
Bonds and Notes* | — | 68,425,216 | — | 68,425,216 | ||||||||||||
Common Stocks | ||||||||||||||||
Energy Equipment & Services | — | — | 149,068 | (a) | 149,068 | |||||||||||
Specialty Retail | — | — | — | (b) | — | |||||||||||
All Other Common Stocks* | — | 11,401,600 | — | 11,401,600 | ||||||||||||
|
|
|
|
|
| |||||||||||
Total Common Stocks | — | 11,401,600 | 149,068 | 11,550,668 | ||||||||||||
|
|
|
|
|
| |||||||||||
Exchange-Traded Funds | 18,537,000 | — | — | 18,537,000 | ||||||||||||
Short-Term Investments | — | 210,327,135 | — | 210,327,135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18,537,000 | $ | 1,443,367,235 | $ | 1,886,872 | $ | 1,463,791,107 | ||||||||
|
|
|
|
|
|
|
|
* | 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) | 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, 2020 and/or February 28, 2021:
Asset Valuation Inputs
Investments in Securities | Balance as of November 30, 2020 | 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 February 28, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at February 28, 2021 | ||||||||||||||||||||||||||||||
Senior Loans | ||||||||||||||||||||||||||||||||||||||||
Construction Machinery | $ | 1,737,804 | $ | 36,674 | $ | — | $ | (36,674 | ) | $ | — | $ | — | $ | — | $ | — | $ | 1,737,804 | $ | (36,674 | ) | ||||||||||||||||||
Independent Energy | — | (a) | 1,077 | (23,663,261 | ) | 23,662,184 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy Equipment & Services | 297,518 | — | — | (148,450 | ) | — | — | — | — | 149,068 | (148,450 | ) | ||||||||||||||||||||||||||||
Specialty Retail | — | (a) | — | — | — | — | — | — | — | — | (a) | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 2,035,322 | $ | 37,751 | $ | (23,663,261 | ) | $ | 23,477,060 | $ | — | $ | — | $ | — | $ | — | $ | 1,886,872 | $ | (185,124 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Fair valued at zero. |
Industry Summary at February 28, 2021 (Unaudited)
Technology | 11.9 | % | ||
Healthcare | 7.4 | |||
Consumer Cyclical Services | 6.4 | |||
Consumer Products | 6.0 | |||
Automotive | 5.7 | |||
Media Entertainment | 5.5 | |||
Industrial Other | 4.8 | |||
Building Materials | 4.4 | |||
Retailers | 3.2 | |||
Financial Other | 3.2 | |||
Chemicals | 2.7 | |||
Property & Casualty Insurance | 2.6 | |||
Internet & Data | 2.4 | |||
Leisure | 2.3 | |||
Aerospace & Defense | 2.2 | |||
Electric | 2.1 | |||
Other Investments, less than 2% each | 21.2 | |||
Short-Term Investments | 16.0 | |||
Exchange-Traded Funds | 1.4 | |||
|
| |||
Total Investments | 111.4 | |||
Other assets less liabilities | (11.4 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|