SCHEDULE OF INVESTMENTS | ||||
High Income (in thousands) | MARCH 31, 2021 (UNAUDITED) | |||
COMMON STOCKS | Shares | Value | ||||||
| ||||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.1% |
| |||||||
True Religion Apparel, Inc.(A)(B)(C) | — | * | $ | 298 | ||||
|
| |||||||
Casinos & Gaming – 2.1% |
| |||||||
New Cotai Participation | 3,073 | 11,307 | ||||||
Studio City International | 343 | 4,529 | ||||||
Studio City International | 141 | 1,866 | ||||||
|
| |||||||
17,702 | ||||||||
|
| |||||||
Education Services – 0.7% |
| |||||||
Laureate Education, Inc., Class A(A) | 443 | 6,016 | ||||||
|
| |||||||
Total Consumer Discretionary - 2.9% |
| 24,016 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.0% |
| |||||||
Pinnacle Agriculture Enterprises | 12 | — | * | |||||
|
| |||||||
Food Distributors – 0.0% |
| |||||||
ASG Warrant | 1 | — | ||||||
|
| |||||||
Total Consumer Staples - 0.0% |
| — | * | |||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.3% |
| |||||||
Foresight Energy | 186 | 2,827 | ||||||
Westmoreland Coal | 29 | 100 | ||||||
|
| |||||||
2,927 | ||||||||
|
| |||||||
Oil & Gas Drilling – 0.2% |
| |||||||
KCA Deutag UK Finance plc(A)(B)(C) | 27 | 1,752 | ||||||
Vantage Drilling Co., | — | * | 1 | |||||
|
| |||||||
1,753 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.0% |
| |||||||
Larchmont Resources LLC(A)(B)(C)(D)(E) | 1 | 40 | ||||||
McDermott International, Inc.(A) | 619 | 495 | ||||||
|
| |||||||
535 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.3% |
| |||||||
Bellatrix Exploration | 436 | — | * | |||||
California Resources | 37 | 893 | ||||||
EP Energy Corp.(A)(B)(D) | 21 | 1,573 | ||||||
Sabine Oil & Gas | — | * | 1 | |||||
|
| |||||||
2,467 | ||||||||
|
| |||||||
Total Energy - 0.8% |
| 7,682 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 0.0% |
| |||||||
BIS Industries | 1,605 | — | * | |||||
|
| |||||||
Total Industrials - 0.0% |
| — | * | |||||
TOTAL COMMON STOCKS – 3.7% |
| 31,698 | ||||||
(Cost: $57,967) |
| |||||||
Registered Investment Companies – 3.8% |
| |||||||
Invesco Senior Loan ETF | 424 | 9,387 | ||||||
iShares iBoxx $ High Yield Corporate Bond ETF(G) | 290 | 25,282 | ||||||
|
| |||||||
34,669 | ||||||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 3.8% |
| $34,669 | ||||||
(Cost: $33,375) |
| |||||||
PREFERRED STOCKS | ||||||||
| ||||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.0% |
| |||||||
True Religion Apparel, Inc.(A)(B) | — | * | 119 | |||||
|
| |||||||
Total Consumer Discretionary - 0.0% |
| 119 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.9% |
| |||||||
Targa Resources Corp., 9.500%(D) | 8 | 7,973 | ||||||
|
| |||||||
Total Energy – 0.9% |
| 7,973 | ||||||
TOTAL PREFERRED STOCKS – 0.9% |
| $8,092 | ||||||
(Cost: $8,808) |
| |||||||
WARRANTS | ||||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
California Resources Corp., expires 10-27-24(H) | 8 | 35 | ||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $35 | ||||||
(Cost: $674) |
| |||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
| ||||||||
Communication Services |
| |||||||
Advertising – 0.7% |
| |||||||
Advantage Sales & Marketing, Inc., 6.500%, 11-15-28(I) | $ | 5,840 | 6,074 | |||||
|
| |||||||
Broadcasting – 1.1% |
| |||||||
Clear Channel International B.V., 6.625%, 8-1-25(I) | 572 | 598 | ||||||
Clear Channel Outdoor Holdings, Inc.: | ||||||||
5.125%, 8-15-27(I) | 5,508 | 5,539 | ||||||
7.750%, 4-15-28(I) | 2,016 | 1,994 |
Clear Channel | 2,013 | 2,094 | ||||||
|
| |||||||
10,225 | ||||||||
|
| |||||||
Cable & Satellite – 5.9% |
| |||||||
Altice France Holding S.A.: | ||||||||
10.500%, 5-15-27(I) | 12,589 | 14,159 | ||||||
6.000%, 2-15-28(G)(I) | 10,750 | 10,592 | ||||||
Altice France S.A., | 7,213 | 7,906 | ||||||
CSC Holdings LLC, 5.750%, 1-15-30(I) | 1,372 | 1,445 | ||||||
DISH DBS Corp.: | ||||||||
5.875%, 11-15-24 | 1,610 | 1,684 | ||||||
7.750%, 7-1-26 | 2,821 | 3,114 | ||||||
7.375%, 7-1-28 | 741 | 777 | ||||||
LCPR Senior Secured Financing Designated Activity Co., | 913 | 929 | ||||||
Ligado Networks LLC (15.500% Cash or 15.500% PIK), | 6,511 | 6,513 | ||||||
Ligado Networks LLC (17.500% Cash or 17.500% PIK), | 466 | 377 | ||||||
VTR Comunicaciones S.p.A., | 3,166 | 3,179 | ||||||
VTR Finance B.V., | 2,826 | 3,052 | ||||||
|
| |||||||
53,766 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 5.8% |
| |||||||
Cablevision Lightpath LLC, 5.625%, 9-15-28(I) | 1,225 | 1,243 | ||||||
Consolidated Communications, Inc.: | ||||||||
5.000%, 10-1-28(I) | 1,116 | 1,125 | ||||||
6.500%, 10-1-28(I) | 2,423 | 2,617 | ||||||
Frontier | ||||||||
6.875%, 1-15-25(F) | 6,315 | 4,089 | ||||||
11.000%, 9-15-25(F) | 8,236 | 5,631 | ||||||
5.875%, 10-15-27(I) | 3,860 | 4,092 | ||||||
6.750%, 5-1-29(I) | 1,507 | 1,589 | ||||||
Northwest Fiber LLC, 10.750%, 6-1-28(I) | 1,310 | 1,480 | ||||||
Northwest Fiber LLC | 1,682 | 1,678 | ||||||
West Corp., | 19,462 | 19,730 | ||||||
Windstream Escrow LLC, | 9,205 | 9,375 | ||||||
|
| |||||||
52,649 | ||||||||
|
|
Interactive Media & Services – 0.3% |
| |||||||
Cars.com, Inc., | 2,355 | 2,455 | ||||||
|
| |||||||
Publishing – 0.4% |
| |||||||
MDC Partners, Inc., 7.500%, 5-1-24(I)(K) | 4,106 | 4,168 | ||||||
|
| |||||||
Wireless Telecommunication Service – 3.5% |
| |||||||
Digicel Group Ltd., 8.750%, 5-25-24(I) | 1,651 | 1,702 | ||||||
Digicel Group Ltd. (5.000% Cash and 3.000% PIK), | 1,261 | 1,041 | ||||||
Digicel Group Ltd. (7.000% Cash or 7.000% PIK), | 543 | 396 | ||||||
Digicel International Finance Ltd.: | ||||||||
8.750%, 5-25-24(I) | �� | 11,226 | 11,577 | |||||
8.000%, 12-31-26(I) | 1,474 | 1,422 | ||||||
Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK), 13.000%, 12-31-25(I)(J) | 716 | 720 | ||||||
Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK), 10.000%, 4-1-24(J) | 7,152 | 6,959 | ||||||
Digicel Ltd., | 8,194 | 7,498 | ||||||
|
| |||||||
31,315 | ||||||||
|
| |||||||
Total Communication Services |
| 160,613 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.6% |
| |||||||
Abercrombie & Fitch Management Co. (GTD by Abercrombie & Fitch Co.), 8.750%, 7-15-25(I) | 2,594 | 2,866 | ||||||
L Brands, Inc.: | ||||||||
9.375%, 7-1-25(I) | 673 | 838 | ||||||
6.625%, 10-1-30(I) | 1,541 | 1,759 | ||||||
|
| |||||||
5,463 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.0% |
| |||||||
Tenneco, Inc., | 157 | 176 | ||||||
|
| |||||||
Automotive Retail – 1.1% |
| |||||||
Asbury Automotive Group, Inc.: | ||||||||
4.500%, 3-1-28 | 2,532 | 2,590 | ||||||
4.750%, 3-1-30 | 4,451 | 4,598 | ||||||
Ken Garff Automotive LLC, | 770 | 769 | ||||||
Lithia Motors, Inc., 4.375%, 1-15-31(I) | 1,236 | 1,283 | ||||||
Sonic Automotive, Inc., 6.125%, 3-15-27 | 1,198 | 1,246 | ||||||
|
| |||||||
10,486 | ||||||||
|
| |||||||
Casinos & Gaming – 2.6% |
| |||||||
Boyd Gaming Corp., 4.750%, 12-1-27 | 2,089 | 2,129 | ||||||
Colt Merger Sub, Inc.: | ||||||||
6.250%, 7-1-25(I) | 2,963 | 3,158 | ||||||
8.125%, 7-1-27(I) | 4,631 | 5,107 | ||||||
Everi Payments, Inc., 7.500%, 12-15-25(I) | 3,511 | 3,653 |
Gateway Casinos & Entertainment Ltd., | 115 | 110 | ||||||
Golden Nugget, Inc., | 7,326 | 7,408 | ||||||
Wynn Macau Ltd.: | ||||||||
4.875%, 10-1-24(I) | 111 | 112 | ||||||
5.500%, 10-1-27(I) | 2,301 | 2,402 | ||||||
|
| |||||||
24,079 | ||||||||
|
| |||||||
Department Stores – 0.6% |
| |||||||
NMG Holding Co. and Nieman Marcus Group LLC, 7.125%, 4-1-26(I) | 829 | 845 | ||||||
Nordstrom, Inc.: | ||||||||
4.375%, 4-1-30(G) | 2,223 | 2,276 | ||||||
5.000%, 1-15-44 | 2,125 | 2,064 | ||||||
|
| |||||||
5,185 | ||||||||
|
| |||||||
Education Services – 1.0% |
| |||||||
Adtalem Global Education, Inc., | 9,502 | 9,381 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.8% |
| |||||||
Boyne USA, Inc., | 931 | 968 | ||||||
Carnival Corp.: | ||||||||
11.500%, 4-1-23(I) | 1,783 | 2,044 | ||||||
10.500%, 2-1-26(I) | 339 | 399 | ||||||
7.625%, 3-1-26(I) | 788 | 846 | ||||||
9.875%, 8-1-27(I) | 1,525 | 1,795 | ||||||
NCL Corp. Ltd.: | ||||||||
12.250%, 5-15-24(I) | 2,920 | 3,537 | ||||||
10.250%, 2-1-26(I) | 1,805 | 2,118 | ||||||
5.875%, 3-15-26(I) | 784 | 792 | ||||||
POWDR Corp., | 756 | 797 | ||||||
Royal Caribbean Cruises Ltd., 5.500%, 4-1-28(I) | 3,131 | 3,147 | ||||||
|
| |||||||
16,443 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.0% |
| |||||||
Arches Buyer, Inc.: | ||||||||
4.250%, 6-1-28(I) | 4,719 | 4,711 | ||||||
6.125%, 12-1-28(I) | 4,179 | 4,304 | ||||||
|
| |||||||
9,015 | ||||||||
|
| |||||||
Leisure Facilities – 0.8% |
| |||||||
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC: | ||||||||
5.375%, 4-15-27 | 2,451 | 2,512 | ||||||
6.500%, 10-1-28(I) | 1,235 | 1,328 | ||||||
Legends Hospitality Holding Co. LLC, | 473 | 481 | ||||||
Live Nation Entertainment, Inc., | 2,679 | 2,699 | ||||||
Six Flags Theme Parks, Inc., 7.000%, 7-1-25(I) | 297 | 321 | ||||||
|
| |||||||
7,341 | ||||||||
|
| |||||||
Specialized Consumer Services – 0.5% |
| |||||||
Nielsen Finance LLC and Nielsen Finance Co.: | ||||||||
5.625%, 10-1-28(I) | 2,311 | 2,430 | ||||||
5.875%, 10-1-30(I) | 1,926 | 2,087 | ||||||
|
| |||||||
4,517 | ||||||||
|
| |||||||
Specialty Stores – 5.6% |
| |||||||
Academy Ltd., | 3,902 | 4,107 |
Bed Bath & Beyond, Inc., 5.165%, 8-1-44 | 1,584 | 1,443 | ||||||
Michaels Stores, Inc.: | ||||||||
8.000%, 7-15-27(I) | 1,972 | 2,179 | ||||||
4.750%, 10-1-27(I) | 771 | 839 | ||||||
Party City Holdings, Inc., 8.750%, 2-15-26(I) | 3,701 | 3,812 | ||||||
Party City Holdings, Inc. (5.000% Cash and 5.000% PIK), | 216 | 211 | ||||||
Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps), | 389 | 357 | ||||||
PetSmart, Inc. and PetSmart Finance Corp.: | ||||||||
4.750%, 2-15-28(I) | 3,959 | 4,049 | ||||||
7.750%, 2-15-29(I) | 3,367 | 3,645 | ||||||
Staples, Inc.: | ||||||||
7.500%, 4-15-26(I) | 19,824 | 20,909 | ||||||
10.750%, 4-15-27(I) | 8,805 | 8,695 | ||||||
|
| |||||||
50,246 | ||||||||
|
| |||||||
Total Consumer Discretionary - 15.6% |
| 142,332 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 1.2% |
| |||||||
JBS USA Lux S.A. and JBS USA Finance, Inc., 6.750%, 2-15-28(I) | 3,115 | 3,411 | ||||||
Pilgrim’s Pride Corp., 4.250%, 4-15-31(I) | 4,705 | 4,687 | ||||||
Post Holdings, Inc., 4.500%, 9-15-31(I) | 1,599 | 1,582 | ||||||
Simmons Foods, Inc., 4.625%, 3-1-29(I) | 1,590 | 1,604 | ||||||
|
| |||||||
11,284 | ||||||||
|
| |||||||
Total Consumer Staples - 1.2% |
| 11,284 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.2% |
| |||||||
KCA Deutag UK Finance plc, | 1,339 | 1,474 | ||||||
Offshore Drilling Holding S.A., | 8,682 | 781 | ||||||
|
| |||||||
2,255 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
Nine Energy Service, Inc., 8.750%, 11-1-23(I) | 1,917 | 575 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 3.4% |
| |||||||
Ascent Resources Utica Holdings LLC and ARU Finance Corp.: | ||||||||
7.000%, 11-1-26(I) | 1,898 | 1,897 | ||||||
8.250%, 12-31-28(I) | 157 | 163 | ||||||
Bellatrix Exploration Ltd., 8.500%, 9-11-23(F) | 1,022 | — | * | |||||
Bellatrix Exploration Ltd. (3.000% Cash or 9.500% PIK), | 1,113 | — | * | |||||
Chesapeake Escrow Issuer LLC: | ||||||||
5.500%, 2-1-26(I) | 1,583 | 1,648 | ||||||
5.875%, 2-1-29(I) | 1,187 | 1,258 |
Continental Resources, Inc., 5.750%, 1-15-31(I) | 1,574 | 1,778 | ||||||
Crownrock L.P., | 8,707 | 8,883 | ||||||
Endeavor Energy Resources L.P., 5.500%, 1-30-26(I) | 2,453 | 2,546 | ||||||
Endeavor Energy Resources L.P. and EER Finance, Inc., | 1,803 | 1,927 | ||||||
Laredo Petroleum, Inc.: | ||||||||
9.500%, 1-15-25 | 4,262 | 4,103 | ||||||
10.125%, 1-15-28(G) | 2,841 | 2,723 | ||||||
Murphy Oil Corp., | 635 | 635 | ||||||
Range Resources Corp., 8.250%, 1-15-29(I) | 158 | 169 | ||||||
Vine Energy Holdings LLC, 6.750%, 4-15-29 | 3,129 | 3,129 | ||||||
|
| |||||||
30,859 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 2.6% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10-1-24 | 1,081 | 919 | ||||||
9.000%, 4-1-25(I) | 317 | 321 | ||||||
Comstock Escrow Corp., 9.750%, 8-15-26 | 11,276 | 12,263 | ||||||
Comstock Resources, Inc., 6.750%, 3-1-29(I) | 2,389 | 2,449 | ||||||
CVR Energy, Inc., | 1,512 | 1,477 | ||||||
PBF Holding Co. LLC, 9.250%, 5-15-25(I) | 5,567 | 5,684 | ||||||
|
| |||||||
23,113 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.3% |
| |||||||
Crestwood Midstream Partners L.P.: | ||||||||
5.750%, 4-1-25 | 791 | 796 | ||||||
6.000%, 2-1-29(I) | 316 | 311 | ||||||
Rattler Midstream L.P., 5.625%, 7-15-25(I) | 1,506 | 1,572 | ||||||
|
| |||||||
2,679 | ||||||||
|
| |||||||
Total Energy - 6.6% |
| 59,481 | ||||||
Financials |
| |||||||
Insurance Brokers – 2.9% |
| |||||||
Ardonagh Midco 2 plc, 11.500%, 1-15-27(I) | 6,679 | 7,147 | ||||||
NFP Corp., | 18,109 | 18,788 | ||||||
|
| |||||||
25,935 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.4% |
| |||||||
INTL FCStone, Inc., | 3,787 | 4,000 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.8% |
| |||||||
Amwins Group, Inc., | 2,530 | 2,707 | ||||||
Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond Co-Issuer, Inc. (7.625% Cash or 8.375% PIK), | 3,896 | 4,179 | ||||||
|
| |||||||
6,886 | ||||||||
|
| |||||||
Specialized Finance – 2.4% |
| |||||||
BCPE Cycle Merger Sub II, Inc., | 5,496 | 6,045 |
Compass Group Diversified Holdings LLC: | ||||||||
8.000%, 5-1-26(I) | 8,003 | 8,372 | ||||||
5.250%, 4-15-29(I) | 6,378 | 6,687 | ||||||
|
| |||||||
21,104 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.7% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., 6.375%, 6-15-25(I) | 5,937 | 5,923 | ||||||
|
| |||||||
Total Financials - 7.2% |
| 63,848 | ||||||
Health Care |
| |||||||
Health Care Facilities – 2.3% |
| |||||||
Community Health Systems, Inc., | 671 | 702 | ||||||
Providence Service Corp. (The), | 2,329 | 2,451 | ||||||
RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc., 9.750%, 12-1-26(I) | 8,103 | 8,772 | ||||||
Surgery Center Holdings, Inc., 10.000%, 4-15-27(G)(I) | 7,296 | 8,044 | ||||||
|
| |||||||
19,969 | ||||||||
|
| |||||||
Health Care Services – 0.5% |
| |||||||
Heartland Dental LLC, | 4,714 | 4,891 | ||||||
|
| |||||||
Health Care Technology – 1.0% |
| |||||||
Verscend Holding Corp., 9.750%, 8-15-26(I) | 8,552 | 9,169 | ||||||
|
| |||||||
Pharmaceuticals – 1.5% |
| |||||||
Advanz Pharma Corp., 8.000%, 9-6-24 | 430 | 441 | ||||||
Bausch Health Cos., Inc., 8.500%, 1-31-27(I) | 5,239 | 5,812 | ||||||
P&L Development LLC and PLD Finance Corp., | 3,902 | 4,175 | ||||||
Par Pharmaceutical, Inc., 7.500%, 4-1-27(I) | 2,871 | 3,045 | ||||||
|
| |||||||
13,473 | ||||||||
|
| |||||||
Total Health Care - 5.3% |
| 47,502 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 4.2% |
| |||||||
TransDigm UK Holdings plc, 6.875%, 5-15-26 | 2,821 | 2,969 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.375%, 6-15-26 | 2,490 | 2,574 | ||||||
7.500%, 3-15-27 | 2,673 | 2,847 | ||||||
5.500%, 11-15-27 | 6,936 | 7,180 | ||||||
4.625%, 1-15-29(I) | 1,577 | 1,555 | ||||||
Wolverine Escrow LLC: | ||||||||
8.500%, 11-15-24(I) | 8,660 | 8,638 | ||||||
9.000%, 11-15-26(I) | 11,111 | 11,101 | ||||||
13.125%, 11-15-27(I) | 847 | 728 | ||||||
|
| |||||||
37,592 | ||||||||
|
| |||||||
Building Products – 0.3% |
| |||||||
CP Atlas Buyer, Inc., | 1,146 | 1,205 |
Park River Holdings, Inc., 5.625%, 2-1-29(I) | 1,715 | 1,661 | ||||||
|
| |||||||
2,866 | ||||||||
|
| |||||||
Diversified Support Services – 0.9% |
| |||||||
Ahern Rentals, Inc., | 3,901 | 3,511 | ||||||
Nesco Holdings II, Inc., 5.500%, 4-15-29(I) | 4,657 | 4,777 | ||||||
|
| |||||||
8,288 | ||||||||
|
| |||||||
Security & Alarm Services – 0.5% |
| |||||||
APX Group, Inc. (GTD by APX Group Holdings, Inc.), 7.625%, 9-1-23 | 2,172 | 2,243 | ||||||
Prime Security Services Borrower LLC and Prime Finance, Inc., | 2,132 | 2,219 | ||||||
|
| |||||||
4,462 | ||||||||
|
| |||||||
Total Industrials - 5.9% |
| 53,208 | ||||||
Information Technology |
| |||||||
Application Software – 1.0% |
| |||||||
J2 Global, Inc., | 926 | 935 | ||||||
Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc.: | ||||||||
5.000%, 12-31-26(I) | 2,411 | 2,411 | ||||||
7.000%, 12-31-27(I) | 5,974 | 5,725 | ||||||
|
| |||||||
9,071 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 1.5% |
| |||||||
NCR Corp.: | ||||||||
5.750%, 9-1-27(I) | 755 | 799 | ||||||
5.000%, 10-1-28(I) | 2,287 | 2,310 | ||||||
5.125%, 4-15-29(I) | 8,600 | 8,664 | ||||||
6.125%, 9-1-29(I) | 966 | 1,023 | ||||||
5.250%, 10-1-30(I) | 762 | 772 | ||||||
|
| |||||||
13,568 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.): | ||||||||
9.250%, 4-15-25(I) | 739 | 881 | ||||||
7.375%, 9-1-25(I) | 306 | 334 | ||||||
|
| |||||||
1,215 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals |
| |||||||
Brightstar Escrow Corp., 9.750%, 10-15-25(I) | 2,136 | 2,318 | ||||||
|
| |||||||
Total Information Technology - 2.9% |
| 26,172 | ||||||
Materials |
| |||||||
Commodity Chemicals – 1.0% |
| |||||||
LSF9 Atlantis Holdings LLC and Victra Finance Corp., 7.750%, 2-15-26(I) | 3,963 | 4,056 | ||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6-1-24(I) | 2,943 | 3,075 | ||||||
5.250%, 6-1-27(I) | 1,655 | 1,737 | ||||||
|
| |||||||
8,868 | ||||||||
|
|
Metal & Glass Containers – 0.2% |
| |||||||
ARD Finance S.A. (6.500% Cash or 7.250% PIK), 6.500%, 6-30-27(I)(J) | 2,110 | 2,215 | ||||||
|
| |||||||
Total Materials - 1.2% |
| 11,083 | ||||||
| ||||||||
TOTAL CORPORATE DEBT SECURITIES – 63.6% |
| $575,523 | ||||||
| ||||||||
(Cost: $563,297) |
| |||||||
LOANS(L) |
| |||||||
| ||||||||
Communication Services |
| |||||||
Advertising – 0.6% |
| |||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 525 bps), 5.469%, 10-28-27 | 5,392 | 5,378 | ||||||
|
| |||||||
Broadcasting – 0.7% |
| |||||||
Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps), 3.712%, 8-21-26 | 6,515 | 6,249 | ||||||
|
| |||||||
Integrated Telecommunication Services – 2.0% |
| |||||||
Consolidated Communications, Inc. (ICE LIBOR plus 475 bps), 5.750%, 10-2-27 | 2,203 | 2,201 | ||||||
West Corp. (3-Month ICE LIBOR plus 400 bps), 5.000%, 10-10-24 | 14,729 | 14,242 | ||||||
Windstream Services LLC (ICE LIBOR plus 625 bps), 7.250%, 9-21-27 | 1,278 | 1,277 | ||||||
|
| |||||||
17,720 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.8% |
| |||||||
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), | 7,826 | 7,422 | ||||||
|
| |||||||
Total Communication Services |
| 36,769 | ||||||
Consumer Discretionary |
| |||||||
Automotive Retail – 0.1% |
| |||||||
Midas Intermediate Holdco II LLC (ICE LIBOR plus 675 bps), | 626 | 641 | ||||||
|
| |||||||
Casinos & Gaming – 0.1% |
| |||||||
New Cotai LLC (14.000% Cash or 14.000% PIK), 14.000%, 9-10-25(J) | 861 | 882 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.4% |
| |||||||
CNT Holdings I Corp. (ICE LIBOR plus 375 bps), 4.500%, 11-8-27 | 1,940 | 1,934 | ||||||
CNT Holdings I Corp. (ICE LIBOR plus 675 bps), 7.500%, 11-6-28(C) | 2,060 | 2,081 | ||||||
|
| |||||||
4,015 | ||||||||
|
|
Leisure Facilities – 0.6% |
| |||||||
United PF Holdings LLC (ICE LIBOR plus 400 bps), 4.203%, 12-30-26 | 4,231 | 4,076 | ||||||
United PF Holdings LLC (ICE LIBOR plus 850 bps), 9.500%, 11-12-26(C) | 938 | 941 | ||||||
|
| |||||||
5,017 | ||||||||
|
| |||||||
Restaurants – 0.1% |
| |||||||
Zaxby’s Operating Co. L.P. (1-Month ICE LIBOR plus 650 bps), | 1,335 | 1,348 | ||||||
|
| |||||||
Specialized Consumer Services – 0.1% |
| |||||||
Asurion LLC (ICE LIBOR plus 525 bps), | 963 | 980 | ||||||
|
| |||||||
Specialty Stores – 2.6% |
| |||||||
Bass Pro Group LLC (ICE LIBOR plus 425 bps), 5.000%, 3-5-28 | 675 | 676 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), 6.000%, 10-16-23 | 8,582 | 8,544 | ||||||
PetSmart, Inc. (ICE LIBOR plus 375 bps), | 7,210 | 7,193 | ||||||
Staples, Inc. (ICE LIBOR plus 500 bps), | 5,984 | 5,830 | ||||||
Woof Holdings LLC (1-Month ICE LIBOR plus 725 bps), 8.000%, 12-21-28 | 544 | 551 | ||||||
Woof Holdings LLC (ICE LIBOR plus 375 bps), 4.500%, 12-21-27 | 880 | 876 | ||||||
|
| |||||||
23,670 | ||||||||
|
| |||||||
Textiles – 0.5% |
| |||||||
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), 4.359%, 6-15-25 | 4,165 | 4,143 | ||||||
|
| |||||||
Total Consumer Discretionary - 4.5% |
| 40,696 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.4% |
| |||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps), 9.500%, 6-29-27 | 1,552 | 1,909 | ||||||
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), 9.250%, 3-15-22 | 265 | 261 | ||||||
Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK), 15.000%, 3-15-29(J) | 2,254 | 1,157 | ||||||
|
| |||||||
3,327 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
Larchmont Resources LLC (9.000% Cash or 9.000% PIK), | 778 | 331 |
McDermott Technology Americas, Inc. (1.115% Cash or 1.115% PIK), 1.115%, 6-30-25(J) | 1,422 | 773 | ||||||
|
| |||||||
1,104 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.1% |
| |||||||
Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900 bps), | 740 | 818 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.5% |
| |||||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), | 5,970 | 4,333 | ||||||
|
| |||||||
Total Energy - 1.1% |
| 9,582 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.7% |
| |||||||
Edelman Financial Holdings II, Inc., | 829 | 827 | ||||||
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), | 5,658 | 5,646 | ||||||
|
| |||||||
6,473 | ||||||||
|
| |||||||
Insurance Brokers – 0.8% |
| |||||||
Navacord Corp.: | ||||||||
0.000%, 3-16-28(C)(M) | CAD6,278 | 5,008 | ||||||
0.000%, 3-16-29(C)(M) | 2,846 | 2,270 | ||||||
|
| |||||||
7,278 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.9% |
| |||||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), | $8,761 | 8,637 | ||||||
|
| |||||||
Specialized Finance – 0.5% |
| |||||||
Gulf Finance LLC (ICE LIBOR plus 525 bps), | 5,986 | 4,943 | ||||||
Lealand Finance Co. B.V., | 23 | 18 | ||||||
Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps), | 72 | 57 | ||||||
|
| |||||||
5,018 | ||||||||
|
| |||||||
Total Financials - 2.9% |
| 27,406 | ||||||
Health Care |
| |||||||
Health Care Facilities – 0.3% |
| |||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps), | 3,245 | 3,210 | ||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 800 bps), | 335 | 341 | ||||||
|
| |||||||
3,551 | ||||||||
|
| |||||||
Health Care Services – 2.1% |
| |||||||
Heartland Dental LLC, | 1,446 | 1,420 | ||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | 6,739 | 6,615 |
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), | 10,802 | 10,731 | ||||||
|
| |||||||
18,766 | ||||||||
|
| |||||||
Pharmaceuticals – 0.2% |
| |||||||
Concordia International Corp. (ICE LIBOR plus 550 bps), | 1,422 | 1,420 | ||||||
|
| |||||||
Total Health Care - 2.6% |
| 23,737 | ||||||
Industrials |
| |||||||
Building Products – 0.6% |
| |||||||
CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps), 4.250%, 11-23-27 | 4,451 | 4,418 | ||||||
Park River Holdings, Inc. (1-Month ICE LIBOR plus 325 bps), | 1,033 | 1,026 | ||||||
|
| |||||||
5,444 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% |
| |||||||
WaterBridge Midstream Operating LLC, | 475 | 449 | ||||||
WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575 bps), 6.750%, 6-21-26 | 1,529 | 1,447 | ||||||
|
| |||||||
1,896 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.7% |
| |||||||
PAE Holding Corp. (ICE LIBOR plus 450 bps), 5.250%, 10-19-27 | 15,484 | 15,471 | ||||||
|
| |||||||
Industrial Machinery – 1.1% |
| |||||||
Form Technologies LLC: | ||||||||
0.000%, 1-28-22(M) | — | * | — | * | ||||
0.000%, 7-22-25(M) | 5,207 | 5,175 | ||||||
Form Technologies LLC (ICE LIBOR plus 475 bps), 5.750%, 7-22-25 | 4,896 | 4,865 | ||||||
|
| |||||||
10,040 | ||||||||
|
| |||||||
Research & Consulting Services – 0.4% |
| |||||||
Ankura Consulting Group LLC (ICE LIBOR plus 450 bps), | 3,151 | 3,124 | ||||||
Ankura Consulting Group LLC (ICE LIBOR plus 800 bps), | 419 | 419 | ||||||
|
| |||||||
3,543 | ||||||||
|
| |||||||
Total Industrials - 4.0% |
| 36,394 | ||||||
Information Technology |
| |||||||
Application Software – 0.5% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 550 bps), | 4,224 | 4,245 | ||||||
Ultimate Software Group, Inc. (The) (ICE LIBOR plus 675 bps), | 744 | 761 | ||||||
|
| |||||||
5,006 | ||||||||
|
| |||||||
Communications Equipment – 1.0% |
| |||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps), 4.603%, 11-30-25 | 9,129 | 7,997 |
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), 8.853%, 11-30-26 | 2,920 | 1,426 | ||||||
|
| |||||||
9,423 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.9% |
| |||||||
Cardtronics USA, Inc. (ICE LIBOR plus 400 bps), | 2,369 | 2,363 | ||||||
CommerceHub, Inc. (1-Month ICE LIBOR plus 475 bps), | 3,112 | 3,178 | ||||||
CommerceHub, Inc. (ICE LIBOR plus 400 bps), 4.750%, 12-2-27 | 2,928 | 2,929 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps), | 3,429 | 3,395 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), | 5,244 | 5,014 | ||||||
|
| |||||||
16,879 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 0.5% |
| |||||||
Informatica LLC, | 4,147 | 4,232 | ||||||
|
| |||||||
IT Consulting & Other Services – 1.2% |
| |||||||
Gainwell Acquisition Corp., 0.000%, 10-1-27(M) | 2,692 | 2,679 | ||||||
Gainwell Acquisition Corp. (ICE LIBOR plus 400 bps), | 4,986 | 4,961 | ||||||
Ivanti Software, Inc. (1-Month ICE LIBOR plus 400 bps), | 748 | 744 | ||||||
Ivanti Software, Inc. (1-Month ICE LIBOR plus 475 bps), | 1,870 | 1,875 | ||||||
|
| |||||||
10,259 | ||||||||
|
| |||||||
Total Information Technology - 5.1% |
| 45,799 | ||||||
Materials |
| |||||||
Construction Materials – 0.7% |
| |||||||
Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps), | 5,936 | 5,926 | ||||||
|
| |||||||
Specialty Chemicals – 0.1% |
| |||||||
NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps), | 790 | 789 | ||||||
NIC Acquisition Corp. (1-Month ICE LIBOR plus 775 bps), | 504 | 509 | ||||||
|
| |||||||
1,298 | ||||||||
|
| |||||||
Total Materials - 0.8% |
| 7,224 | ||||||
TOTAL LOANS – 25.1% |
| $227,607 | ||||||
(Cost: $230,645) |
|
SHORT-TERM SECURITIES | Shares | |||||||
| ||||||||
Money Market Funds(O) - 7.4% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(N) | 28,740 | 28,740 | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.040% | 38,501 | 38,502 | ||||||
|
| |||||||
67,242 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.4% |
| $67,242 | ||||||
(Cost: $67,242) |
| |||||||
TOTAL INVESTMENT SECURITIES – 104.5% |
| $944,866 | ||||||
(Cost: $962,008) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (4.5)% |
| (40,613 | ) | |||||
NET ASSETS – 100.0% |
| $904,253 | ||||||
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) No dividends were paid during the preceding 12 months.
(B) Listed on an exchange outside the United States.
(C) Securities whose value was determined using significant unobservable inputs.
(D) Restricted securities. At March 31, 2021, the Portfolio owned the following restricted securities:
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||
ASG Warrant Corp. | 6-14-18 | 1 | $ | 72 | $ | – | * | |||||||||
BIS Industries Ltd. | 12-22-17 | 1,605 | 151 | – | * | |||||||||||
EP Energy Corp. | 10-1-20 | 21 | 410 | 1,573 | ||||||||||||
Foresight Energy L.P. | 6-30-20 - 9-8-20 | 186 | 3,639 | 2,827 | ||||||||||||
Larchmont Resources LLC | 12-8-16 | 1 | 340 | 40 | ||||||||||||
New Cotai Participation Corp., Class B | 9-29-20 | 3,073 | 28,520 | 11,307 | ||||||||||||
Pinnacle Agriculture Enterprises LLC | 7-17-20 | 12 | 2,083 | – | * | |||||||||||
Sabine Oil & Gas Corp. | 12-7-16 | - | * | 11 | 1 | |||||||||||
Studio City International Holdings Ltd. ADR | 8-5-20 | 141 | 2,200 | 1,866 | ||||||||||||
Targa Resources Corp., 9.500% | 10-24-17 | 8 | 8,416 | 7,973 | ||||||||||||
|
| |||||||||||||||
$ | 45,842 | $ | 25,587 | |||||||||||||
|
|
The total value of these securities represented 2.8% of net assets at March 31, 2021.
(E) | Deemed to be an affiliate due to the Portfolio owning at least 5% of the voting securities. |
(F) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(G) | All or a portion of securities with an aggregate value of $39,331 are on loan. |
(H) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(I) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021 the total value of these securities amounted to $488,535 or 54.0% of net assets. |
(J) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(K) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at March 31, 2021. |
(L) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
(M) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(N) | Investment made with cash collateral received from securities on loan. |
(O) | Rate shown is the annualized 7-day yield at March 31, 2021. |
Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:
• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.
• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2021:
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Consumer Discretionary | $ | 12,411 | $ | — | $ | 11,605 | ||||||
Consumer Staples | — | — | — | * | ||||||||
Energy | 1,388 | 1,675 | 4,619 | |||||||||
Industrials | — | — | — | * | ||||||||
|
|
|
|
|
| |||||||
Total Common Stocks | $ | 13,799 | $ | 1,675 | $ | 16,224 | ||||||
Investment Funds | 34,669 | — | — | |||||||||
Preferred Stocks | — | 8,092 | — | |||||||||
Warrants | 35 | — | — | |||||||||
Corporate Debt Securities | — | 575,523 | — | |||||||||
Loans | — | 213,689 | 13,918 | |||||||||
Short-Term Securities | 67,242 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 115,745 | $ | 798,979 | $ | 30,142 | ||||||
|
|
|
|
|
| |||||||
Forward Foreign Currency Contracts | $ | — | $ | 54 | $ | — | ||||||
|
|
|
|
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Loans | |||||||
Beginning Balance 1-1-21 | $ | 19,246 | $ | 17,036 | ||||
Net realized gain (loss) | (88 | ) | 2 | |||||
Net unrealized appreciation (depreciation) | (5,055 | ) | 2,268 | |||||
Purchases | - | 18,147 | ||||||
Sales | - | (21,025 | ) | |||||
Amortization/Accretion of premium/discount | - | 18 | ||||||
Transfers into Level 3 during the period | 2,125 | - | ||||||
Transfers out of Level 3 during the period | (4 | ) | (2,528 | ) | ||||
|
| |||||||
Ending Balance 3-31-21 | $ | 16,224 | $ | 13,918 | ||||
|
| |||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 3-31-21 | $ | (5,055 | ) | $ | 75 | |||
|
|
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
Information about Level 3 fair value measurements:
| Fair Value 3-31-21 | Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | ||||||
Assets | ||||||||||
Common Stocks | $40 | Third-party valuation service | Broker quote | N/A | ||||||
298 | Market approach | Adjusted EBITDA multiple | 8.23x | |||||||
1,752 | Market approach | Broker quote | N/A | |||||||
2,827 | Market approach | Illiquidity discount | 30.00% | |||||||
11,307 | Market approach | Market premium | 20.00% | |||||||
Loans | 13,918 | Third-party vendor pricing service | Broker quotes | N/A |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment in Kind
For Federal income tax purposes, cost of investments owned at March 31, 2021
and the related unrealized appreciation (depreciation) were as follows:
Cost | $962,008 | |||
|
| |||
Gross unrealized appreciation | 35,456 | |||
Gross unrealized depreciation | (52,598) | |||
|
| |||
Net unrealized depreciation | $(17,142) |