Investment Company Act file number | 811‑05845 | |
Invesco Senior Loan Fund | ||
(Exact name of registrant as specified in charter) | ||
1555 Peachtree Street, N.E., Suite 1800 Atlanta, Georgia 30309 | ||
(Address of principal executive offices) (Zip code) | ||
Sheri Morris 1555 Peachtree Street, N.E., Suite 1800 Atlanta, Georgia 30309 | ||
(Name and address of agent for service) |
Registrant’s telephone number, including area code: | (713) 626‑1919 | |||
Date of fiscal year end: | 2/28 | |||
Date of reporting period: | 2/28/23 |
ITEM 1. | REPORTS TO STOCKHOLDERS. |
![LOGO](https://capedge.com/proxy/N-CSR/0001193125-23-133728/g475926dsp001.jpg)
Annual Report to Shareholders | February 28, 2023 |
Performance summary | ||||
For the fiscal year ended February 28, 2023, Class A shares of Invesco Senior Loan Fund (the Fund), at net asset value (NAV), underperformed the Credit Suisse Leveraged Loan Index, the Fund’s style-specific benchmark. Your Fund’s long-term performance appears later in this report. | ||||
Fund vs. Indexes | ||||
Total returns, 2/28/22 to 2/28/23, at net asset value (NAV). Performance shown does not include applicable contingent deferred sales charges (CDSC) or front‑end sales charges, which would have reduced performance. | ||||
Class A Shares | -0.62 | % | ||
Class C Shares | -1.50 | |||
Class Y Shares | -0.37 | |||
Class IB Shares | -0.36 | |||
Class IC Shares | -0.51 | |||
Credit Suisse Leveraged Loan Indexq (Style-Specific Index) | 2.26 | |||
Source(s): qBloomberg LP |
1 | Source: Credit Suisse Leveraged Loan Index |
2 | Source: Morningstar LSTA US Leveraged Loan Index |
3 | Source: Credit Suisse High Yield Index |
4 | Source: JP Morgan |
5 | Source: Pitchbook LCD |
![LOGO](https://capedge.com/proxy/N-CSR/0001193125-23-133728/g475926page4.jpg)
Average Annual Total Returns | ||||
As of 2/28/23, including maximum applicable sales charges | ||||
Class A Shares | ||||
Inception (2/18/05) | 3.24 | % | ||
10 Years | 3.54 | |||
5 Years | 2.19 | |||
1 Year | -3.89 | |||
Class C Shares | ||||
Inception (2/18/05) | 2.66 | % | ||
10 Years | 3.10 | |||
5 Years | 2.10 | |||
1 Year | -2.41 | |||
Class Y Shares | ||||
Inception (11/8/13) | 3.84 | % | ||
5 Years | 3.14 | |||
1 Year | -0.37 | |||
Class IB Shares | ||||
Inception (10/4/89) | 4.71 | % | ||
10 Years | 4.13 | |||
5 Years | 3.14 | |||
1 Year | -0.36 | |||
Class IC Shares | ||||
Inception (6/13/03) | 4.06 | % | ||
10 Years | 3.99 | |||
5 Years | 2.99 | |||
1 Year | -0.51 |
∎ | Unless otherwise stated, information presented in this report is as of February 28, 2023, and is based on total net assets. |
∎ | Unless otherwise noted, all data is provided by Invesco. |
∎ | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
∎ | The Credit Suisse Leveraged Loan Index represents tradable, senior-secured, US‑dollar‑denominated, noninvestment-grade loans. |
∎ | The Fund is not managed to track the performance of any particular index, including the index(es) described here, and consequently, the performance of the Fund may deviate significantly from the performance of the index(es). |
∎ | A direct investment cannot be made in an index. Unless otherwise indicated, index results include reinvested dividends, and they do not reflect sales charges. Performance of the peer group, if applicable, reflects fund expenses; performance of a market index does not. |
This report must be accompanied or preceded by a currently effective Fund prospectus, which contains more complete information, including sales charges and expenses. Investors should read it carefully before investing. |
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
By credit quality | % of total investments | |
BBB- | 0.94% | |
BB+ | 2.06 | |
BB | 5.35 | |
BB- | 7.97 | |
B+ | 10.51 | |
B | 21.20 | |
B- | 19.81 | |
CCC+ | 6.23 | |
CCC | 2.50 | |
CCC- | 0.30 | |
CC | 0.06 | |
D | 0.46 | |
Non‑Rated | 13.41 | |
Equity | 9.20 |
% of total net assets | ||||
1. | NAS LLC (d.b.a. Nationwide Marketing Group) | 2.04% | ||
2. | Monitronics International, Inc. | 1.59 | ||
3. | Crown Finance US, Inc. | 1.38 | ||
4. | HotelBeds | 1.33 | ||
5. | Al Aqua Merger Sub, Inc. | 1.31 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Variable Rate Senior Loan Interests–100.89%(b)(c) | ||||||||||||||
Aerospace & Defense–3.83% | ||||||||||||||
Brown Group Holding LLC (Signature Aviation US Holdings, Inc.) | ||||||||||||||
Incremental Term Loan B‑2 (1 mo. SOFR+ 3.75%) | 8.37% | 07/01/2029 | $ 824 | $ 825,346 | ||||||||||
Term Loan (1 mo. USD LIBOR + 2.50%) | 7.13% | 06/07/2028 | 480 | 476,562 | ||||||||||
Castlelake Aviation Ltd. | ||||||||||||||
Term Loan (3 mo. USD LIBOR + 2.75%) | 7.52% | 10/22/2026 | 1,481 | 1,470,217 | ||||||||||
Term Loan(d) | - | 10/22/2027 | 1,066 | 1,056,063 | ||||||||||
CEP IV Investment 16 S.a.r.l. (ADB Safegate) (Luxembourg), Term Loan B (3 mo. EURIBOR + 4.75%) | 6.72% | 10/03/2026 | EUR 161 | 144,134 | ||||||||||
Dynasty Acquisition Co., Inc. | ||||||||||||||
Term Loan B‑1 (1 mo. USD LIBOR + 3.50%) | 8.22% | 04/08/2026 | 254 | 249,355 | ||||||||||
Term Loan B‑2 (1 mo. USD LIBOR + 3.50%) | 8.12% | 04/08/2026 | 136 | 133,176 | ||||||||||
Gogo Intermediate Holdings LLC, Term Loan B (3 mo. USD LIBOR + 3.75%) | 8.70% | 04/30/2028 | 676 | 673,886 | ||||||||||
Greenrock Finance, Inc. | ||||||||||||||
Delayed Draw Term Loan (3 mo. SOFR + 4.25%) | 9.25% | 06/21/2029 | 109 | 108,057 | ||||||||||
Term Loan B (3 mo. SOFR + 4.25%) | 8.93% | 06/21/2029 | 236 | 234,123 | ||||||||||
IAP Worldwide Services, Inc., Second Lien Term Loan (3 mo. USD LIBOR + 6.50%) (Acquired 07/18/2014‑02/08/2019; Cost $2,078,617)(e)(f) | 11.23% | 07/18/2023 | 2,085 | 2,085,084 | ||||||||||
KKR Apple Bidco LLC | ||||||||||||||
First Lien Term Loan (1 mo. SOFR + 2.75%) | 7.38% | 09/22/2028 | 520 | 517,915 | ||||||||||
First Lien Term Loan (1 mo. SOFR+ 4.00%) | 8.62% | 09/22/2028 | 204 | 204,123 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 5.75%) | 10.38% | 09/21/2029 | 212 | 207,905 | ||||||||||
Peraton Corp. | ||||||||||||||
First Lien Term Loan B (1 mo. USD LIBOR + 3.75%) | 8.38% | 02/01/2028 | 155 | 153,673 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 7.75%) | 12.65% | 02/01/2029 | 1,296 | 1,273,587 | ||||||||||
Propulsion (BC) Finco S.a.r.l. (Spain), Term Loan B (3 mo. SOFR + 4.00%) | 8.58% | 09/13/2029 | 353 | 350,889 | ||||||||||
Rand Parent LLC (Atlas Air), Term Loan B(d) | - | 02/09/2030 | 801 | 779,852 | ||||||||||
Spirit AeroSystems, Inc., First Lien Term Loan (3 mo. SOFR + 4.50%) | 9.18% | 01/14/2027 | 857 | 859,128 | ||||||||||
Transdigm, Inc. | ||||||||||||||
Term Loan H (1 mo. SOFR + 3.25%) | 7.83% | 02/28/2027 | 68 | 68,580 | ||||||||||
Term Loan I (1 mo. SOFR + 3.25%) | 7.82% | 08/10/2028 | 3,309 | 3,298,570 | ||||||||||
15,170,225 | ||||||||||||||
Air Transport–4.08% | ||||||||||||||
AAdvantage Loyalty IP Ltd. (American Airlines, Inc.), Term Loan (3 mo. USD LIBOR + 4.75%) | 9.56% | 04/20/2028 | 4,894 | 5,024,870 | ||||||||||
Air Canada (Canada), Term Loan (3 mo. USD LIBOR + 3.50%) | 8.37% | 08/11/2028 | 999 | 1,000,020 | ||||||||||
American Airlines, Inc., Term Loan(d) | - | 02/09/2028 | 856 | 834,789 | ||||||||||
Avolon TLB Borrower 1 (US) LLC, Term Loan B‑4 (1 mo. USD LIBOR + 1.50%) | 6.10% | 02/12/2027 | 185 | 183,434 | ||||||||||
eTraveli Group (Sweden), Term Loan B‑1 (3 mo. EURIBOR + 4.00%) | 6.20% | 08/02/2024 | EUR 405 | 424,390 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Term Loan (3 mo. USD LIBOR + 5.25%) | 10.00% | 06/21/2027 | 1,345 | 1,402,513 | ||||||||||
PrimeFlight Aviation Services, Inc., Term Loan (3 mo. SOFR + 5.50%)(e) | 10.30% | 05/09/2024 | 420 | 419,708 | ||||||||||
SkyMiles IP Ltd. (Delta Air Lines, Inc.), Term Loan (3 mo. USD LIBOR + 3.75%) | 8.56% | 10/20/2027 | 683 | 707,739 | ||||||||||
United Airlines, Inc., Term Loan B (3 mo. USD LIBOR + 3.75%) | 8.57% | 04/21/2028 | 4,601 | 4,605,397 | ||||||||||
WestJet Airlines Ltd. (Canada), Term Loan (1 mo. USD LIBOR + 3.00%) | 7.59% | 12/11/2026 | 1,606 | 1,534,155 | ||||||||||
16,137,015 | ||||||||||||||
Automotive–2.32% | ||||||||||||||
Adient PLC, Term Loan B‑1 (1 mo. USD LIBOR + 3.25%) | 7.88% | 04/10/2028 | 1,252 | 1,252,892 | ||||||||||
Autokiniton US Holdings, Inc., Term Loan B (1 mo. USD LIBOR + 4.50%) | 9.10% | 04/06/2028 | 1,900 | 1,888,518 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Automotive–(continued) | ||||||||||||||
BCA Marketplace (United Kingdom) | ||||||||||||||
Second Lien Term Loan B (6 mo. SONIA + 7.50%) | 11.43% | 07/27/2029 | GBP 481 | $ 305,561 | ||||||||||
Term Loan B (6 mo. SONIA + 4.75%) | 8.18% | 07/28/2028 | GBP 184 | 178,855 | ||||||||||
DexKo Global, Inc., First Lien Term Loan (1 mo. SOFR + 6.50%)(e) | 11.08% | 10/04/2028 | $ 184 | 175,361 | ||||||||||
Driven Holdings LLC, Term Loan B (1 mo. USD LIBOR + 3.00%) | 7.74% | 12/16/2028 | 307 | 300,818 | ||||||||||
First Brands Group Intermediate LLC | ||||||||||||||
Term Loan B (6 mo. SOFR + 5.00%) | 10.25% | 03/30/2027 | 175 | 171,274 | ||||||||||
Term Loan B (1 mo. SOFR + 5.00%) | 10.25% | 03/30/2027 | 1,232 | 1,180,291 | ||||||||||
Garrett Borrowing LLC, Term Loan (3 mo. USD LIBOR + 3.25%) | 8.08% | 04/30/2028 | 288 | 285,261 | ||||||||||
Highline Aftermarket Acquisition LLC, Term Loan (1 mo. USD LIBOR + 4.50%) | 9.13% | 11/09/2027 | 1,505 | 1,439,089 | ||||||||||
Mavis Tire Express Services TopCo L.P., First Lien Term Loan (1 mo. SOFR + 4.00%) | 8.73% | 05/04/2028 | 1,598 | 1,550,524 | ||||||||||
PowerStop LLC, Term Loan B (3 mo. USD LIBOR + 4.75%) | 9.70% | 01/24/2029 | 630 | 452,374 | ||||||||||
9,180,818 | ||||||||||||||
Beverage & Tobacco–1.82% | ||||||||||||||
AI Aqua Merger Sub, Inc. | ||||||||||||||
Delayed Draw Term Loan(d) | - | 07/31/2028 | 250 | 240,779 | ||||||||||
Incremental Term Loan B(d) | - | 07/31/2028 | 1,432 | 1,381,019 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 3.75%) | 8.32% | 07/31/2028 | 3,664 | 3,539,526 | ||||||||||
Arctic Glacier U.S.A., Inc., Term Loan (3 mo. USD LIBOR + 3.50%) | 8.23% | 03/20/2024 | 772 | 718,472 | ||||||||||
City Brewing Co. LLC, Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.33% | 03/31/2028 | 1,391 | 687,858 | ||||||||||
Naked Juice LLC (Tropicana), Second Lien Term Loan (3 mo. SOFR + 6.00%) | 10.68% | 01/20/2030 | 798 | 622,362 | ||||||||||
7,190,016 | ||||||||||||||
Brokers, Dealers & Investment Houses–0.27% | ||||||||||||||
AqGen Island Intermediate Holdings, Inc. | ||||||||||||||
Second Lien Term Loan B (3 mo. USD LIBOR + 3.50%) | 8.25% | 08/02/2028 | 524 | 509,099 | ||||||||||
Second Lien Term Loan B (3 mo. USD LIBOR + 6.50%) | 11.31% | 08/05/2029 | 21 | 18,641 | ||||||||||
Zebra Buyer LLC, Term Loan (3 mo. SOFR + 4.00%) | 8.33% | 11/01/2028 | 540 | 541,779 | ||||||||||
1,069,519 | ||||||||||||||
Building & Development–2.66% | ||||||||||||||
Brookfield Retail Holdings VII Sub 3 LLC, Term Loan B (3 mo. USD LIBOR + 2.50%) | 7.22% | 08/27/2025 | 156 | 155,013 | ||||||||||
Empire Today LLC, Term Loan B (1 mo. USD LIBOR + 5.00%) | 9.60% | 04/01/2028 | 1,677 | 1,359,070 | ||||||||||
Icebox Holdco III, Inc. | ||||||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 3.50%) | 8.23% | 12/22/2028 | 989 | 939,493 | ||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 6.75%)(e) | 11.48% | 12/21/2029 | 302 | 269,659 | ||||||||||
LBM Holdings LLC, First Lien Term Loan(d) | - | 12/17/2027 | 1 | 1,032 | ||||||||||
LHS Borrow LLC (Leaf Home Solutions), Term Loan (1 mo. SOFR + 4.75%) | 9.47% | 02/16/2029 | 2,003 | 1,654,924 | ||||||||||
Mayfair Mall LLC, Term Loan (1 mo. USD LIBOR + 3.25%)(e) | 7.37% | 04/20/2023 | 556 | 508,793 | ||||||||||
Oldcastle BuildingEnvelope, Inc., Term Loan B (3 mo. SOFR + 4.50%) | 9.18% | 04/29/2029 | 1,238 | 1,202,122 | ||||||||||
Quikrete Holdings, Inc. | ||||||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 2.63%) | 7.26% | 02/01/2027 | 611 | 606,306 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 3.00%) | 7.63% | 06/11/2028 | 1,285 | 1,282,352 | ||||||||||
Re/Max LLC, Term Loan (1 mo. USD LIBOR + 2.50%) | 7.19% | 07/21/2028 | 1,385 | 1,326,327 | ||||||||||
SRS Distribution, Inc., Term Loan (3 mo. SOFR + 3.50%) | 7.97% | 06/02/2028 | 191 | 184,460 | ||||||||||
TAMKO Building Products LLC, Term Loan (3 mo. USD LIBOR + 3.00%) | 7.73% | 05/29/2026 | 165 | 163,558 | ||||||||||
Werner FinCo L.P., Term Loan (3 mo. USD LIBOR + 4.00%) | 8.73% | 07/24/2024 | 906 | 850,201 | ||||||||||
10,503,310 | ||||||||||||||
Business Equipment & Services–12.00% | ||||||||||||||
Aegion Corp., Term Loan (1 mo. USD LIBOR + 4.75%) | 9.38% | 05/17/2028 | 485 | 473,815 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Business Equipment & Services–(continued) | ||||||||||||||
Allied Universal Holdco LLC (USAGM Holdco LLC/UNSEAM) | ||||||||||||||
Term Loan (1 mo. USD LIBOR + 3.75%) | 8.47% | 05/12/2028 | $ 1,269 | $ 1,224,411 | ||||||||||
Term Loan B (3 mo. EURIBOR + 3.75%) | 6.18% | 05/12/2028 | EUR 110 | 110,505 | ||||||||||
Asurion LLC (fka Asurion Corp.), Term Loan B‑7 (1 mo. USD LIBOR + 3.00%) | 7.63% | 11/03/2024 | 200 | 199,862 | ||||||||||
Camelot Finance L.P. | ||||||||||||||
Incremental Term Loan (1 mo. USD LIBOR + 3.00%) | 7.63% | 10/30/2026 | 1,637 | 1,633,665 | ||||||||||
Term Loan (1 mo. USD LIBOR + 3.00%) | 7.63% | 10/30/2026 | 1,154 | 1,151,429 | ||||||||||
Checkout Holding Corp., Term Loan(d) | - | 06/30/2023 | 18 | 18,241 | ||||||||||
Cimpress USA, Inc., Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.13% | 05/17/2028 | 741 | 673,442 | ||||||||||
Constant Contact | ||||||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 7.50%) | 12.31% | 02/15/2029 | 587 | 491,243 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 4.00%) | 8.81% | 02/10/2028 | 1,355 | 1,284,772 | ||||||||||
Corp. Service Co., Term Loan B (1 mo. SOFR + 3.25%) | 7.97% | 08/08/2029 | 749 | 750,518 | ||||||||||
CRCI Longhorn Holdings, Inc., Second Lien Term Loan (1 mo. USD LIBOR + 7.25%) | 11.88% | 08/08/2026 | 72 | 67,269 | ||||||||||
Creation Technologies, Inc., Term Loan B (3 mo. USD LIBOR + 5.50%)(e) | 10.28% | 10/05/2028 | 750 | 647,119 | ||||||||||
Dakota Holding Corp., Second Lien Term Loan (1 mo. USD LIBOR + 6.75%) | 11.38% | 04/07/2028 | 353 | 331,589 | ||||||||||
Dun & Bradstreet Corp. (The) | ||||||||||||||
Incremental Term Loan B‑2 (1 mo. SOFR + 3.25%) | 7.85% | 01/18/2029 | 412 | 410,666 | ||||||||||
Revolver Loan (1 mo. USD LIBOR + 3.00%)(e) | 4.06% | 09/11/2025 | 312 | 308,501 | ||||||||||
Revolver Loan(e)(g) | 0.00% | 09/11/2025 | 1,808 | 1,789,307 | ||||||||||
Term Loan (1 mo. USD LIBOR + 3.25%) | 7.87% | 02/06/2026 | 818 | 816,652 | ||||||||||
Garda World Security Corp. (Canada) | ||||||||||||||
Incremental Term Loan (1 mo. SOFR + 4.25%) | 8.81% | 02/01/2029 | 1,282 | 1,276,684 | ||||||||||
Term Loan B‑2 (1 mo. USD LIBOR + 4.25%) | 8.91% | 10/30/2026 | 1,714 | 1,714,913 | ||||||||||
GI Revelation Acquisition LLC, First Lien Term Loan (1 mo. USD LIBOR + 4.00%) | 8.63% | 05/12/2028 | 2,690 | 2,577,879 | ||||||||||
Grandir (The Education Group) (France) | ||||||||||||||
Delayed Draw Term Loan (3 mo. EURIBOR + 4.00%) | 6.70% | 09/29/2028 | EUR 35 | 35,772 | ||||||||||
Term Loan B‑1 (3 mo. EURIBOR + 4.00%) | 6.70% | 09/29/2028 | EUR 209 | 214,633 | ||||||||||
ION Trading Technologies S.a.r.l. (Luxembourg), Term Loan B (3 mo. EURIBOR + 4.25%) | 6.45% | 04/01/2028 | EUR 521 | 524,858 | ||||||||||
Karman Buyer Corp., First Lien Term Loan B‑1 (1 mo. USD LIBOR + 4.50%) | 9.29% | 10/28/2027 | 1,620 | 1,339,672 | ||||||||||
Konecta (Kronosnet CX Bidco 2022, S.L.) (Spain), Term Loan (3 mo. EURIBOR + 5.75%) | 8.20% | 09/30/2029 | EUR 102 | 100,725 | ||||||||||
Monitronics International, Inc. | ||||||||||||||
Term Loan (3 mo. USD LIBOR + 7.50%) (Acquired 08/30/2019‑01/28/2021; Cost $ 4,885,682)(f) | 12.33% | 03/29/2024 | 5,065 | 3,317,445 | ||||||||||
Term Loan (1 mo. USD LIBOR + 6.00%) (Acquired 08/28/2019‑04/27/2022; Cost $ 3,132,623)(e)(f) | 10.83% | 07/03/2024 | 3,129 | 2,972,275 | ||||||||||
NAS LLC (d.b.a. Nationwide Marketing Group) | ||||||||||||||
Incremental Term Loan (3 mo. SOFR + 6.50%)(e) | 11.23% | 06/03/2024 | 1,725 | 1,699,529 | ||||||||||
Revolver Loan (1 mo. SOFR + 6.50%)(e) | 0.50% | 06/03/2024 | 103 | 101,179 | ||||||||||
Revolver Loan(e)(g) | 0.00% | 06/03/2024 | 411 | 404,714 | ||||||||||
Term Loan (3 mo. SOFR + 6.50%)(e) | 11.23% | 06/03/2024 | 4,970 | 4,895,101 | ||||||||||
Term Loan (3 mo. SOFR + 6.50%)(e) | 11.23% | 06/03/2024 | 944 | 929,934 | ||||||||||
OCM System One Buyer CTB LLC, Term Loan (1 mo. USD LIBOR + 4.00%) | 8.73% | 03/02/2028 | 735 | 731,758 | ||||||||||
Orchid Merger Sub II LLC, Term Loan (6 mo. SOFR + 4.75%)(e) | 9.48% | 07/27/2027 | 1,618 | 1,399,470 | ||||||||||
Protect America, Revolver Loan(d)(e) | - | 09/01/2024 | 848 | 788,764 | ||||||||||
QA Group (IndigoCyan) (Jersey), Term Loan B (3 mo. GBP LIBOR + 4.75%) | 8.80% | 06/23/2024 | GBP 2,109 | 2,446,891 | ||||||||||
Sitel Worldwide Corp., Term Loan (1 mo. USD LIBOR + 3.75%) | 8.39% | 08/28/2028 | 204 | 203,944 | ||||||||||
Skillsoft Corp., Term Loan (1 mo. SOFR + 4.75%) | 9.93% | 07/14/2028 | 588 | 510,036 | ||||||||||
Solera (Polaris Newco LLC), Term Loan B (1 mo. SONIA + 5.25%) | 9.18% | 06/05/2028 | GBP 234 | 262,484 | ||||||||||
Spin Holdco, Inc., Term Loan (3 mo. USD LIBOR + 4.00%) | 8.77% | 03/04/2028 | 3,959 | 3,353,774 | ||||||||||
Tempo Acquisition LLC, Term Loan B (1 mo. SOFR + 3.00%) | 7.62% | 08/31/2028 | 33 | 32,544 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Business Equipment & Services–(continued) | ||||||||||||||
Thermostat Purchaser III, Inc. | ||||||||||||||
First Lien Delayed Draw Term Loan(e)(g) | 0.00% | 08/31/2028 | $ 78 | $ 74,968 | ||||||||||
Term Loan B(d)(e) | - | 08/30/2028 | 501 | 480,373 | ||||||||||
Thevelia (US) LLC, First Lien Term Loan B (3 mo. SOFR+ 4.00%) | 8.73% | 06/17/2029 | 769 | 753,060 | ||||||||||
UnitedLex Corp., Term Loan (1 mo. USD LIBOR + 5.75%)(e) | 10.35% | 03/20/2027 | 528 | 486,119 | ||||||||||
Virtusa Corp. | ||||||||||||||
Incremental Term Loan B (1 mo. SOFR + 3.75%) | 8.47% | 02/08/2029 | 204 | 202,888 | ||||||||||
Term Loan (1 mo. USD LIBOR + 3.75%) | 8.38% | 02/11/2028 | 654 | 651,957 | ||||||||||
WebHelp (France), Term Loan B (1 mo. USD LIBOR + 4.00%) | 8.05% | 08/04/2028 | 623 | 604,402 | ||||||||||
47,471,751 | ||||||||||||||
Cable & Satellite Television–1.75% | ||||||||||||||
Altice Financing S.A. (Luxembourg), Term Loan (3 mo. SOFR + 5.00%)(e) | 9.57% | 10/31/2027 | 322 | 321,330 | ||||||||||
Atlantic Broadband Finance LLC, Incremental Term Loan B (1 mo. USD LIBOR + 2.50%) | 7.13% | 09/01/2028 | 100 | 98,615 | ||||||||||
CSC Holdings LLC, Term Loan B (1 mo. SOFR + 4.50%) | 9.06% | 01/15/2028 | 926 | 869,158 | ||||||||||
Numericable‑SFR S.A. (France) | ||||||||||||||
Incremental Term Loan B‑13 (3 mo. USD LIBOR + 4.00%) | 8.86% | 08/14/2026 | 527 | 513,443 | ||||||||||
Term Loan B‑11 (3 mo. USD LIBOR + 2.75%) | 7.58% | 07/31/2025 | 151 | 149,503 | ||||||||||
ORBCOMM, Inc., Term Loan B (1 mo. USD LIBOR + 4.25%) | 8.88% | 09/01/2028 | 218 | 178,006 | ||||||||||
Telenet - LG, Term Loan AR (6 mo. USD LIBOR + 2.00%) | 6.59% | 04/30/2028 | 205 | 200,327 | ||||||||||
UPC - LG | ||||||||||||||
Term Loan AT (1 mo. USD LIBOR + 2.25%) | 6.84% | 04/30/2028 | 193 | 189,859 | ||||||||||
Term Loan AX (1 mo. USD LIBOR + 2.93%) | 7.51% | 01/31/2029 | 1,980 | 1,957,040 | ||||||||||
Virgin Media 02 - LG (United Kingdom), Term Loan Q (1 mo. USD LIBOR + 3.25%) | 7.84% | 01/31/2029 | 2,443 | 2,435,408 | ||||||||||
Vodafone Ziggo - LG, Term Loan I (1 mo. USD LIBOR + 2.50%) | 7.09% | 04/30/2028 | 27 | 26,198 | ||||||||||
6,938,887 | ||||||||||||||
Chemicals & Plastics–4.02% | ||||||||||||||
AkzoNoble Chemicals, Term Loan (3 mo. USD LIBOR + 2.75%) | 7.53% | 10/01/2025 | 850 | 846,581 | ||||||||||
Aruba Investments, Inc., Second Lien Term Loan (1 mo. USD LIBOR + 7.75%) | 12.38% | 11/24/2028 | 611 | 555,747 | ||||||||||
Arxada (Switzerland) | ||||||||||||||
Term Loan B (3 mo. EURIBOR + 4.00%) | 6.20% | 07/03/2028 | EUR 184 | 183,570 | ||||||||||
Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.73% | 07/03/2028 | 121 | 114,835 | ||||||||||
Ascend Performance Materials Operations LLC, Term Loan (6 mo. SOFR + 4.75%) | 8.83% | 08/27/2026 | 2,488 | 2,488,482 | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan B‑4 (1 mo. SOFR + 3.00%) | 7.51% | 12/20/2029 | 1,132 | 1,138,175 | ||||||||||
BASF Construction Chemicals (Germany), Term Loan B‑3 (3 mo. USD LIBOR + 3.50%) | 7.17% | 09/29/2027 | 547 | 546,667 | ||||||||||
BES (Discovery Purchaser Corp.) | ||||||||||||||
First Lien Term Loan (1 mo. SOFR + 7.00%) | 11.59% | 08/03/2030 | 347 | 318,673 | ||||||||||
Second Lien Term Loan (3 mo. SOFR + 4.38%) | 8.96% | 10/03/2029 | 420 | 403,180 | ||||||||||
Caldic (Pearls BidCo) (Netherlands), Term Loan B(d) | - | 02/26/2029 | 263 | 259,198 | ||||||||||
Charter NEX US, Inc., Term Loan B(d) | - | 12/01/2027 | 862 | 849,547 | ||||||||||
Colouroz Investment LLC (Germany) | ||||||||||||||
PIK First Lien Term Loan C, 0.75% PIK Rate, 8.57% Cash Rate(h) | 0.75% | 09/21/2023 | 1 | 1,013 | ||||||||||
PIK First Lien Term Loan, 0.75% PIK Rate, 5.75% Cash Rate(h) | 0.75% | 09/21/2023 | EUR 0 | 64 | ||||||||||
PIK Second Lien Term Loan B‑2, 5.75% PIK Rate, 9.07% Cash Rate(h) | 5.75% | 09/21/2024 | 26 | 13,502 | ||||||||||
Cyanco Intermediate 2 Corp., First Lien Term Loan (3 mo. USD LIBOR + 3.50%) | 8.13% | 03/16/2025 | 133 | 131,173 | ||||||||||
Eastman Tire Additives (River Buyer, Inc.), First Lien Term Loan (1 mo. USD LIBOR + 5.25%) | 9.98% | 11/01/2028 | 1,523 | 1,390,548 | ||||||||||
Fusion (Fusion UK Holding Ltd. & US HoldCo VAD, Inc.), Term Loan B (3 mo. SOFR+ 3.75%) | 8.30% | 05/28/2029 | 175 | 166,448 | ||||||||||
H.B. Fuller Co., Term Loan B(d) | - | 02/08/2030 | 354 | 356,936 | ||||||||||
ICP Group Holdings LLC, First Lien Term Loan (3 mo. USD LIBOR + 3.75%) | 8.48% | 12/29/2027 | 523 | 442,875 | ||||||||||
Ineos US Finance LLC | ||||||||||||||
Term Loan(d) | - | 11/08/2027 | 485 | 484,787 | ||||||||||
Term Loan(d) | - | 02/09/2030 | 755 | 750,448 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Chemicals & Plastics–(continued) | ||||||||||||||
Kersia International S.A.S. (Belgium), Term Loan B (3 mo. EURIBOR + 3.93%) | 6.13% | 12/23/2027 | EUR 187 | $ 184,915 | ||||||||||
Lummus Technology (Illuminate Buyer LLC), Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.13% | 06/30/2027 | $ 63 | 61,438 | ||||||||||
Nobian Finance B.V., Term Loan B (3 mo. EURIBOR + 3.20%) | 5.40% | 07/01/2026 | EUR 789 | 796,498 | ||||||||||
Potters Industries LLC, Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.73% | 12/14/2027 | 425 | 425,511 | ||||||||||
Proampac PG Borrower LLC, First Lien Term Loan (1 mo. USD LIBOR + 3.75%) | 8.58% | 11/03/2025 | 295 | 290,610 | ||||||||||
Quantix, Term Loan (3 mo. SOFR + 6.25%)(e) | 10.99% | 05/03/2025 | 2,014 | 1,973,694 | ||||||||||
Timber Servicios Empresariales S.A. (Spain), Term Loan B (3 mo. EURIBOR + 4.75%) | 6.61% | 02/17/2029 | EUR 173 | 160,336 | ||||||||||
W.R. Grace & Co., Term Loan B (3 mo. USD LIBOR + 3.75%) | 8.50% | 09/22/2028 | 570 | 567,760 | ||||||||||
15,903,211 | ||||||||||||||
Clothing & Textiles–0.95% | ||||||||||||||
ABG Intermediate Holdings 2 LLC | ||||||||||||||
First Lien Term Loan B‑1 (1 mo. SOFR + 3.50%) | 8.22% | 12/21/2028 | 2,266 | 2,229,004 | ||||||||||
Second Lien Term Loan (1 mo. SOFR + 6.00%) | 10.72% | 12/20/2029 | 405 | 376,490 | ||||||||||
BK LC Lux SPV S.a.r.l. (Birkenstock), Term Loan B (1 mo. USD LIBOR + 3.25%) | 8.06% | 04/28/2028 | 1,101 | 1,094,651 | ||||||||||
International Textile Group, Inc., First Lien Term Loan (3 mo. USD LIBOR + 5.00%) | 9.21% | 05/01/2024 | 117 | 74,687 | ||||||||||
3,774,832 | ||||||||||||||
Conglomerates–0.27% | ||||||||||||||
APi Group DE, Inc., Incremental Term Loan (1 mo. USD LIBOR + 2.75%) | 7.38% | 01/03/2029 | 474 | 474,151 | ||||||||||
CeramTec (CTEC III GmbH) (Germany), Term Loan B (3 mo. EURIBOR + 3.75%) | 6.45% | 03/16/2029 | EUR 234 | 239,497 | ||||||||||
Safe Fleet Holdings LLC | ||||||||||||||
Incremental First Lien Term Loan (1 mo. SOFR + 5.00%)(e) | 9.66% | 02/23/2029 | 170 | 168,880 | ||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 6.75%) | 11.39% | 02/02/2026 | 192 | 175,097 | ||||||||||
1,057,625 | ||||||||||||||
Containers & Glass Products–3.10% | ||||||||||||||
Berlin Packaging LLC, Term Loan B‑5 (1 mo. USD LIBOR + 3.75%) | 8.48% | 03/11/2028 | 994 | 976,390 | ||||||||||
Brook & Whittle Holding Corp., First Lien Term Loan (3 mo. SOFR + 4.00%) | 9.04% | 12/14/2028 | 603 | 553,305 | ||||||||||
Duran Group (Germany), Term Loan B‑2 (3 mo. USD LIBOR + 3.75%) (Acquired 03/24/2017‑03/03/2021; Cost $2,491,825)(e)(f) | 7.88% | 03/29/2024 | 2,498 | 2,413,269 | ||||||||||
Keter Group B.V. (Netherlands) | ||||||||||||||
Term Loan B‑1 (3 mo. EURIBOR + 4.25%) (Acquired 04/29/2022‑02/21/2023; Cost $822,770)(f) | 6.74% | 10/31/2023 | EUR 896 | 747,280 | ||||||||||
Term Loan B‑3 (3 mo. EURIBOR + 4.25%) (Acquired 02/21/2023; Cost $361,840)(f) | 6.20% | 10/31/2023 | EUR 425 | 354,757 | ||||||||||
LABL, Inc. (Multi-Color), Term Loan (1 mo. USD LIBOR + 5.00%) | 9.63% | 10/29/2028 | 2,095 | 2,049,633 | ||||||||||
Libbey Glass, Inc., First Lien Term Loan (3 mo. SOFR + 3.75%) (Acquired 11/22/2022‑02/22/2023; Cost $1,595,402)(f) | 4.75% | 11/22/2027 | 1,708 | 1,643,711 | ||||||||||
Logoplaste (Mar Bidco S.a.r.l.) (Portugal), Term Loan B (1 mo. USD LIBOR + 4.30%) | 9.03% | 07/07/2028 | 418 | 388,358 | ||||||||||
Mold-Rite Plastics LLC (Valcour Packaging LLC) | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 3.75%)(e) | 7.98% | 10/04/2028 | 542 | 475,284 | ||||||||||
Second Lien Term Loan (6 mo. USD LIBOR + 7.00%)(e) | 11.23% | 10/04/2029 | 224 | 156,688 | ||||||||||
Refresco Group N.V. (Netherlands), Term Loan B (3 mo. SOFR + 4.25%) | 9.01% | 07/12/2029 | 2,525 | 2,516,384 | ||||||||||
12,275,059 | ||||||||||||||
Cosmetics & Toiletries–1.53% | ||||||||||||||
Bausch and Lomb, Inc., Term Loan (1 mo. SOFR + 3.25%) | 7.84% | 05/10/2027 | 2,438 | 2,389,757 | ||||||||||
Coty, Inc., Term Loan B (3 mo. USD LIBOR + 2.25%) | 6.84% | 04/05/2025 | 2,747 | 2,744,000 | ||||||||||
Rodenstock (Germany), Term Loan B (3 mo. EURIBOR + 5.00%) | 7.49% | 06/29/2028 | EUR 765 | 693,376 | ||||||||||
Wella (Rainbow FinCo S.a.r.l.), Term Loan B (6 mo. EURIBOR + 3.50%) | 6.70% | 02/24/2029 | EUR 220 | 224,204 | ||||||||||
6,051,337 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Drugs–0.00% | ||||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B (1 mo. USD LIBOR + 2.00%) | 6.63% | 11/15/2027 | $ 5 | $ 4,641 | ||||||||||
Ecological Services & Equipment–1.22% | ||||||||||||||
Anticimex (Sweden) | ||||||||||||||
First Lien Term Loan (3 mo. SOFR + 4.75%) | 9.74% | 11/16/2028 | 236 | 233,519 | ||||||||||
Term Loan B‑4 (3 mo. USD LIBOR + 4.00%) | 8.95% | 11/16/2028 | 412 | 410,363 | ||||||||||
EnergySolutions LLC, Term Loan (3 mo. USD LIBOR + 3.75%) | 8.48% | 05/11/2025 | 1,031 | 998,691 | ||||||||||
GFL Environmental, Inc. (Canada), Term Loan B (1 mo. SOFR + 3.00%) | 7.72% | 05/28/2027 | 412 | 413,491 | ||||||||||
Groundworks LLC | ||||||||||||||
Delayed Draw Term Loan (3 mo. USD LIBOR + 4.75%)(e) | 9.48% | 01/17/2026 | 28 | 28,067 | ||||||||||
Delayed Draw Term Loan (3 mo. USD LIBOR + 4.75%)(e) | 9.48% | 01/17/2026 | 1,086 | 1,085,725 | ||||||||||
Delayed Draw Term Loan(e)(g) | 0.00% | 01/17/2026 | 223 | 223,250 | ||||||||||
Term Loan (3 mo. USD LIBOR + 4.75%)(e) | 9.48% | 01/17/2026 | 50 | 49,779 | ||||||||||
Term Loan(e)(g) | 0.00% | 03/14/2029 | 50 | 48,384 | ||||||||||
Term Loan(e)(g) | 0.00% | 03/14/2030 | 156 | 151,199 | ||||||||||
OGF (France), Term Loan B‑2 (6 mo. EURIBOR + 4.75%) | 7.11% | 12/31/2025 | EUR 166 | 163,536 | ||||||||||
Patriot Container Corp., First Lien Term Loan (1 mo. USD LIBOR + 3.75%) | 8.47% | 03/20/2025 | 437 | 411,714 | ||||||||||
TruGreen L.P., Second Lien Term Loan (1 mo. USD LIBOR + 8.50%)(e) | 13.33% | 11/02/2028 | 827 | 595,587 | ||||||||||
4,813,305 | ||||||||||||||
Electronics & Electrical–11.19% | ||||||||||||||
Altar BidCo, Inc. (Brooks Automation, Inc.), Second Lien Term Loan (6 mo. SOFR + 5.60%) | 10.49% | 02/01/2030 | 206 | 182,400 | ||||||||||
AppLovin Corp., Term Loan (3 mo. SOFR + 3.00%) | 9.50% | 10/25/2028 | 980 | 972,497 | ||||||||||
Boxer Parent Co., Inc., Term Loan B (1 mo. EURIBOR + 4.00%) | 6.43% | 10/02/2025 | EUR 20 | 20,799 | ||||||||||
Brave Parent Holdings, Inc., First Lien Term Loan (3 mo. USD LIBOR + 4.00%) | 8.63% | 04/18/2025 | 446 | 441,129 | ||||||||||
CDK Global, Inc., First Lien Term Loan (3 mo. SOFR+ 4.50%) | 9.08% | 07/06/2029 | 837 | 835,463 | ||||||||||
CommerceHub, Inc., Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.78% | 01/01/2028 | 767 | 733,839 | ||||||||||
CommScope, Inc., Term Loan (1 mo. USD LIBOR + 3.25%) | 7.88% | 04/06/2026 | 629 | 611,895 | ||||||||||
ConnectWise LLC, Term Loan (3 mo. USD LIBOR + 3.50%) | 8.13% | 10/01/2028 | 340 | 324,112 | ||||||||||
Cornerstone OnDemand, First Lien Term Loan (1 mo. USD LIBOR + 3.75%) (Acquired 09/21/2021; Cost $451,629)(f) | 8.38% | 10/16/2028 | 453 | 420,516 | ||||||||||
Delta Topco, Inc. (Infoblox, Inc.) | ||||||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 3.75%) | 8.15% | 12/01/2027 | 382 | 356,761 | ||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 7.25%) | 11.65% | 12/01/2028 | 358 | 315,589 | ||||||||||
Diebold Nixdorf, Inc. | ||||||||||||||
Term Loan (1 mo. SOFR + 5.25%) | 10.48% | 07/15/2025 | 782 | 534,503 | ||||||||||
Term Loan (1 mo. SOFR + 6.40%) | 11.63% | 07/15/2025 | 307 | 320,662 | ||||||||||
Digi International, Inc., Term Loan (6 mo. USD LIBOR + 5.00%)(e) | 9.63% | 11/01/2028 | 784 | 785,055 | ||||||||||
E2Open LLC, Term Loan (3 mo. USD LIBOR + 3.50%) | 8.08% | 02/04/2028 | 1,370 | 1,364,981 | ||||||||||
Emerald Technologies AcquisitionCo, Inc., Term Loan B (1 mo. SOFR + 6.25%) | 10.97% | 12/29/2027 | 196 | 184,114 | ||||||||||
ETA Australia Holdings III Pty. Ltd. (Australia), First Lien Term Loan (1 mo. USD LIBOR + 4.00%) | 8.62% | 05/06/2026 | 82 | 78,883 | ||||||||||
EverCommerce, Term Loan B (1 mo. USD LIBOR + 3.25%) | 7.88% | 07/01/2028 | 505 | 504,052 | ||||||||||
Forcepoint, Term Loan (3 mo. USD LIBOR + 4.25%) | 9.08% | 01/07/2028 | 292 | 275,869 | ||||||||||
Go Daddy Operating Co. LLC, Term Loan (1 mo. SOFR + 3.25%) | 8.06% | 11/09/2029 | 70 | 69,712 | ||||||||||
GoTo Group, Inc. (LogMeIn), First Lien Term Loan (1 mo. USD LIBOR + 4.75%) | 9.38% | 08/31/2027 | 3,666 | 2,033,969 | ||||||||||
Imperva, Inc., Second Lien Term Loan (3 mo. USD LIBOR + 7.75%) | 12.65% | 01/11/2027 | 988 | 740,683 | ||||||||||
Inetum (Granite Fin Bidco SAS) (France), Term Loan B (3 mo. EURIBOR + 5.00%) | 7.06% | 10/17/2028 | EUR 274 | 276,845 | ||||||||||
Infinite Electronics, Second Lien Term Loan (3 mo. USD LIBOR + 7.00%) | 11.73% | 03/02/2029 | 253 | 228,130 | ||||||||||
Informatica Corp., Term Loan (1 mo. USD LIBOR + 2.75%) | 7.44% | 10/15/2028 | 355 | 355,286 | ||||||||||
Learning Pool (Brook Bidco Ltd.) (United Kingdom) | ||||||||||||||
Term Loan (1 mo. SONIA + 7.25%)(e) | 10.80% | 08/17/2028 | GBP 319 | 375,519 | ||||||||||
Term Loan 2(d)(e) | - | 08/17/2028 | 411 | 394,283 | ||||||||||
Marcel Bidco LLC, Term Loan (1 mo. USD LIBOR + 4.00%)(e) | 8.42% | 12/31/2027 | 93 | 92,488 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Electronics & Electrical–(continued) | ||||||||||||||
Mavenir Systems, Inc., Term Loan B (3 mo. USD LIBOR + 4.75%) | 9.65% | 08/13/2028 | $ 1,661 | $ 1,121,294 | ||||||||||
Maverick Bidco, Inc. (Mitratech), Second Lien Term Loan (3 mo. USD LIBOR + 6.75%)(e) | 11.58% | 05/18/2029 | 49 | 44,265 | ||||||||||
McAfee Enterprise | ||||||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 8.25%) | 13.08% | 07/27/2029 | 628 | 495,594 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 4.75%) | 9.58% | 07/27/2028 | 605 | 517,511 | ||||||||||
McAfee LLC, Term Loan B‑1 (1 mo. SOFR + 4.50%) | 8.42% | 03/01/2029 | 2,363 | 2,220,170 | ||||||||||
Natel Engineering Co., Inc., Term Loan (3 mo. USD LIBOR + 6.25%) (Acquired 04/25/2019‑02/01/2022; Cost $2,054,868)(f) | 10.42% | 04/29/2026 | 2,084 | 1,870,370 | ||||||||||
Native Instruments (Germany), Term Loan (3 mo. EURIBOR + 6.00%)(e) | 7.98% | 03/03/2028 | EUR 784 | 782,298 | ||||||||||
NCR Corp., Term Loan B (3 mo. USD LIBOR + 2.50%) | 7.33% | 08/28/2026 | 645 | 641,563 | ||||||||||
Oberthur Tech, Term Loan B (3 mo. USD LIBOR + 4.50%) | 9.23% | 01/09/2026 | 1,289 | 1,278,061 | ||||||||||
Open Text Corp. (Canada), Incremental Term Loan B(d) | - | 08/27/2029 | 2,023 | 2,022,627 | ||||||||||
Optiv, Inc. | ||||||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 7.25%) | 11.42% | 01/31/2025 | 490 | 456,315 | ||||||||||
Term Loan (3 mo. USD LIBOR + 3.25%) | 7.42% | 02/01/2024 | 3,136 | 3,118,968 | ||||||||||
Project Accelerate Parent LLC, First Lien Term Loan (3 mo. USD LIBOR + 4.25%)(e) | 8.88% | 01/02/2025 | 1,188 | 1,158,591 | ||||||||||
Proofpoint, Inc., Term Loan B (3 mo. USD LIBOR + 3.25%) | 7.88% | 08/31/2028 | 712 | 693,646 | ||||||||||
Quest Software US Holdings, Inc. | ||||||||||||||
Second Lien Term Loan (3 mo. SOFR+ 7.50%) | 12.33% | 01/20/2030 | 136 | 88,094 | ||||||||||
Term Loan B (3 mo. SOFR + 4.25%) | 9.08% | 01/19/2029 | 3,035 | 2,622,905 | ||||||||||
RealPage, Inc., Term Loan B (1 mo. USD LIBOR + 3.00%) | 7.63% | 04/24/2028 | 1,283 | 1,244,860 | ||||||||||
Resideo Funding, Inc., Term Loan (1 mo. USD LIBOR + 2.25%) | 6.86% | 02/11/2028 | 0 | 11 | ||||||||||
Riverbed Technology, Inc., PIK Term Loan, 2.00% PIK Rate, 10.83% Cash Rate (Acquired 12/06/2021‑02/07/2023; Cost $3,931,221)(f)(h) | 2.00% | 12/08/2026 | 3,171 | 1,155,609 | ||||||||||
Sandvine Corp. | ||||||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 4.50%) | 9.33% | 10/31/2025 | 1,349 | 1,279,987 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 8.00%) | 12.83% | 11/02/2026 | 190 | 169,295 | ||||||||||
SmartBear (AQA Acquisition Holdings, Inc), Term Loan B (3 mo. USD LIBOR + 4.25%) | 9.20% | 03/03/2028 | 190 | 185,403 | ||||||||||
SonicWall U.S. Holdings, Inc., First Lien Term Loan (3 mo. USD LIBOR + 3.75%) | 8.71% | 05/16/2025 | 130 | 128,445 | ||||||||||
Ultimate Software Group, Inc. | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 3.75%) | 8.58% | 05/04/2026 | 1,561 | 1,543,548 | ||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 5.25%) | 10.03% | 05/03/2027 | 154 | 150,922 | ||||||||||
UST Holdings Ltd., Term Loan B (1 mo. USD LIBOR + 3.75%) | 8.48% | 11/19/2028 | 701 | 698,612 | ||||||||||
Utimaco (Germany) | ||||||||||||||
Term Loan B (3 mo. EURIBOR + 6.25%)(e) | 8.95% | 05/31/2029 | EUR 1,940 | 1,965,497 | ||||||||||
Term Loan B (3 mo. SOFR + 6.25%)(e) | 11.20% | 05/31/2029 | 1,089 | 1,051,655 | ||||||||||
Veritas US, Inc., Term Loan B (3 mo. USD LIBOR + 5.00%) | 9.73% | 09/01/2025 | 925 | 727,605 | ||||||||||
WebPros, Term Loan (3 mo. USD LIBOR + 5.25%) | 9.98% | 02/18/2027 | 1,039 | 1,021,093 | ||||||||||
44,284,848 | ||||||||||||||
Financial Intermediaries–0.80% | ||||||||||||||
Edelman Financial Center LLC (The) | ||||||||||||||
Incremental Term Loan (1 mo. USD LIBOR + 3.50%) | 8.13% | 04/07/2028 | 1,812 | 1,768,930 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 6.75%) | 11.38% | 07/20/2026 | 112 | 108,728 | ||||||||||
LendingTree, Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.75%) | 8.39% | 09/15/2028 | 925 | 856,573 | ||||||||||
Stiphout Finance LLC, Incremental Term Loan (1 mo. USD LIBOR + 3.75%) | 8.38% | 10/26/2025 | 122 | 121,380 | ||||||||||
Tegra118 Wealth Solutions, Inc., Term Loan (1 mo. USD LIBOR + 4.00%) | 8.56% | 02/18/2027 | 321 | 313,582 | ||||||||||
3,169,193 | ||||||||||||||
Food Products–2.80% | ||||||||||||||
Arnott’s (Snacking Investments US LLC), Term Loan (1 mo. USD LIBOR + 4.00%) | 8.56% | 12/18/2026 | 942 | 940,511 | ||||||||||
Biscuit Intl (Cookie Acq S.A.S., De Banketgroep Holding) (France), First Lien Term Loan (6 mo. EURIBOR + 4.00%) | 5.86% | 02/15/2027 | EUR 524 | 435,393 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Food Products–(continued) | ||||||||||||||
BrightPet (AMCP Pet Holdings, Inc.) | ||||||||||||||
Revolver Loan (3 mo. USD LIBOR + 6.25%)(e) | 11.06% | 10/05/2026 | $ 336 | $ 324,595 | ||||||||||
Term Loan B (3 mo. USD LIBOR + 6.25%)(e) | 10.98% | 10/05/2026 | 2,303 | 2,226,721 | ||||||||||
Florida Food Products LLC | ||||||||||||||
First Lien Term Loan (1 mo. SOFR + 5.00%)(e) | 9.62% | 10/18/2028 | 419 | 391,284 | ||||||||||
First Lien Term Loan (1 mo. SOFR + 5.00%)(e) | 9.63% | 10/18/2028 | 3,060 | 2,861,051 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 8.00%) | 12.63% | 10/08/2029 | 609 | 548,312 | ||||||||||
H‑Food Holdings LLC | ||||||||||||||
Incremental Term Loan B‑3 (1 mo. USD LIBOR + 5.00%) | 9.63% | 05/23/2025 | 749 | 678,568 | ||||||||||
Term Loan (3 mo. USD LIBOR + 3.69%) | 8.32% | 05/23/2025 | 571 | 514,898 | ||||||||||
Nomad Foods US LLC (United Kingdom), Term Loan B (1 mo. SOFR + 3.75%) | 8.23% | 11/10/2029 | 310 | 310,847 | ||||||||||
Panzani/Pimente (France), Term Loan B (3 mo. EURIBOR + 4.25%) | 6.45% | 12/02/2028 | EUR 174 | 180,313 | ||||||||||
Shearer’s Foods LLC | ||||||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 7.75%) | 12.39% | 09/22/2028 | 222 | 207,826 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.13% | 09/23/2027 | 132 | 129,280 | ||||||||||
Sigma Bidco B.V. (Netherlands) | ||||||||||||||
Term Loan B‑1 (3 mo. EURIBOR + 3.50%) | 6.24% | 07/02/2025 | EUR 427 | 421,492 | ||||||||||
Term Loan B‑2 (3 mo. USD LIBOR + 3.00%) | 7.46% | 07/02/2025 | 496 | 466,350 | ||||||||||
Valeo Foods (Jersey) Ltd. (United Kingdom), First Lien Term Loan B (6 mo. EURIBOR + 4.00%) | 7.24% | 09/29/2028 | EUR 492 | 442,821 | ||||||||||
11,080,262 | ||||||||||||||
Food Service–0.88% | ||||||||||||||
Euro Garages (Netherlands) | ||||||||||||||
Term Loan B (3 mo. USD LIBOR + 4.00%) | 9.15% | 02/07/2025 | 434 | 407,282 | ||||||||||
Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.73% | 02/07/2025 | 618 | 580,286 | ||||||||||
Term Loan B (3 mo. USD LIBOR + 4.25%) | 8.98% | 03/31/2026 | 310 | 290,383 | ||||||||||
Financiere Pax S.A.S., Term Loan B (6 mo. EURIBOR + 4.75%) | 7.19% | 07/01/2026 | EUR 1,400 | 1,353,528 | ||||||||||
WW International, Inc., Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.14% | 04/13/2028 | 1,457 | 846,609 | ||||||||||
3,478,088 | ||||||||||||||
Health Care–3.41% | ||||||||||||||
Acacium (Impala Bidco Ltd./ICS US, Inc.) (United Kingdom) | ||||||||||||||
Term Loan (1 mo. SONIA + 4.75%) | 8.68% | 06/08/2028 | GBP 295 | 341,855 | ||||||||||
Term Loan (1 mo. SOFR + 5.25%)(e) | 9.15% | 06/08/2028 | 590 | 552,040 | ||||||||||
Ascend Learning LLC, First Lien Term Loan (1 mo. USD LIBOR + 3.50%) | 8.12% | 12/11/2028 | 40 | 38,013 | ||||||||||
athenahealth Group, Inc. | ||||||||||||||
Term Loan (1 mo. SOFR + 3.50%) | 8.06% | 02/15/2029 | 2,630 | 2,440,555 | ||||||||||
Delayed Draw Term Loan(g) | 0.00% | 02/15/2029 | 322 | 299,063 | ||||||||||
Biogroup‑LCD (France), Term Loan B (3 mo. EURIBOR + 3.25%) | 5.85% | 02/09/2028 | EUR 292 | 290,227 | ||||||||||
Cerba (Chrome Bidco) (France), Term Loan (3 mo. EURIBOR + 4.00%) | 5.93% | 02/14/2029 | EUR 248 | 251,957 | ||||||||||
Certara Holdco, Inc., Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.13% | 08/14/2026 | 401 | 399,425 | ||||||||||
Cheplapharm Arzneimittel GmbH (Germany), Term Loan B (3 mo. EURIBOR + 4.00%) | 6.30% | 02/22/2029 | EUR 312 | 321,612 | ||||||||||
Dermatology Intermediate Holdings III, Inc. | ||||||||||||||
Delayed Draw Term Loan(d)(e) | - | 03/31/2029 | 12 | 11,522 | ||||||||||
Delayed Draw Term Loan(e)(g) | 0.00% | 03/31/2029 | 1 | 430 | ||||||||||
Term Loan B (1 mo. SOFR + 4.25%)(e) | 8.93% | 03/23/2029 | 65 | 63,624 | ||||||||||
Ethypharm (Financiere Verdi, Orphea Ltf) (France), Term Loan B (3 mo. SONIA + 4.50%) | 7.93% | 04/17/2028 | GBP 371 | 397,636 | ||||||||||
ExamWorks Group, Inc./Electron Bidco, Term Loan (1 mo. USD LIBOR + 3.00%) | 7.63% | 11/01/2028 | 275 | 273,039 | ||||||||||
Explorer Holdings, Inc., First Lien Term Loan (1 mo. USD LIBOR + 4.50%) | 9.13% | 02/04/2027 | 1,017 | 939,188 | ||||||||||
Gainwell Acquisition Corp., First Lien Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.73% | 10/01/2027 | 514 | 496,071 | ||||||||||
Global Medical Response, Inc. | ||||||||||||||
Term Loan (1 mo. USD LIBOR + 4.25%) | 9.20% | 03/14/2025 | 311 | 248,922 | ||||||||||
Term Loan (1 mo. USD LIBOR + 4.25%) | 8.83% | 10/02/2025 | 1,030 | 821,906 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Health Care–(continued) | ||||||||||||||
ICON PLC | ||||||||||||||
Term Loan (3 mo. USD LIBOR + 2.25%) | 7.00% | 07/03/2028 | $ 13 | $ 13,064 | ||||||||||
Term Loan (3 mo. USD LIBOR + 2.25%) | 7.00% | 07/03/2028 | 53 | 52,435 | ||||||||||
International SOS L.P., Term Loan B (3 mo. USD LIBOR + 3.75%)(e) | 8.50% | 09/07/2028 | 631 | 622,038 | ||||||||||
MedAssets Software Intermediate Holdings, Inc. (nThrive TSG) | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 4.00%) | 8.63% | 12/18/2028 | 998 | 935,448 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 6.75%) | 11.38% | 12/17/2029 | 401 | 286,772 | ||||||||||
MJH Healthcare Holdings LLC, Term Loan B (1 mo. SOFR + 3.50%) | 8.22% | 01/28/2029 | 107 | 105,359 | ||||||||||
Neuraxpharm (Cerebro BidCo/Blitz F20‑80 GmbH) (Germany) | ||||||||||||||
Term Loan B (3 mo. EURIBOR + 4.25%) | 6.74% | 12/15/2027 | EUR 138 | 144,081 | ||||||||||
Term Loan B‑2 (3 mo. EURIBOR + 4.25%) | 6.74% | 12/15/2027 | EUR 80 | 83,227 | ||||||||||
Nidda Healthcare Holding AG (Germany), Term Loan F (3 mo. SONIA + 4.50%) | 8.45% | 08/21/2026 | GBP 314 | 359,655 | ||||||||||
Summit Behavioral Healthcare LLC, First Lien Term Loan (3 mo. USD LIBOR + 4.75%) | 9.88% | 11/24/2028 | 914 | 886,757 | ||||||||||
TTF Holdings LLC (Soliant), Term Loan B (1 mo. USD LIBOR + 4.00%) | 8.69% | 03/31/2028 | 490 | 489,422 | ||||||||||
Verscend Holding Corp., Term Loan B‑1 (1 mo. USD LIBOR + 4.00%) | 8.63% | 08/27/2025 | 768 | 768,813 | ||||||||||
Women’s Care Holdings, Inc. LLC | ||||||||||||||
First Lien Term Loan (6 mo. USD LIBOR + 4.50%) | 9.33% | 01/15/2028 | 342 | 321,562 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 8.25%) | 13.08% | 01/15/2029 | 235 | 213,418 | ||||||||||
13,469,136 | ||||||||||||||
Home Furnishings–2.56% | ||||||||||||||
Hilding Anders AB (Sweden) | ||||||||||||||
Term Loan (6 mo. EURIBOR + 5.00%) (Acquired 10/04/2022‑10/31/2022; Cost $ 155,086)(e)(f) | 7.12% | 02/28/2026 | EUR 213 | 147,445 | ||||||||||
Term Loan (6 mo. EURIBOR) (Acquired 10/04/2022‑10/31/2022; Cost $ 1,725)(e)(f) | 1.70% | 02/26/2027 | EUR 193 | 0 | ||||||||||
Hunter Douglas Holding B.V., Term Loan B‑1 (3 mo. SOFR+ 3.50%) | 8.37% | 02/26/2029 | 2,617 | 2,415,242 | ||||||||||
Hunter Douglas, Inc., First Lien Term Loan (3 mo. EURIBOR + 4.00%) | 6.67% | 02/26/2029 | EUR 1,317 | 1,276,142 | ||||||||||
Mattress Holding Corp., Term Loan (6 mo. USD LIBOR + 4.25%) | 8.44% | 09/25/2028 | 2,145 | 2,030,093 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||||
First Lien Term Loan(i)(j) | 0.00% | 08/10/2023 | 1,073 | 1,060,977 | ||||||||||
Second Lien Term Loan(i)(j) | 0.00% | 08/10/2023 | 1,743 | 977,264 | ||||||||||
SIWF Holdings, Inc., Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.75% | 10/06/2028 | 1,374 | 1,186,460 | ||||||||||
TGP Holdings III LLC, Term Loan B (1 mo. USD LIBOR + 3.25%) | 8.08% | 06/29/2028 | 477 | 384,328 | ||||||||||
VC GB Holdings, Inc., Second Lien Term Loan (3 mo. USD LIBOR + 6.75%) | 11.38% | 07/01/2029 | 319 | 253,401 | ||||||||||
Weber-Stephen Products LLC | ||||||||||||||
Incremental Term Loan B (1 mo. SOFR + 4.25%) | 8.97% | 10/30/2027 | 112 | 98,244 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 3.25%) | 7.88% | 10/30/2027 | 356 | 312,660 | ||||||||||
10,142,256 | ||||||||||||||
Industrial Equipment–4.09% | ||||||||||||||
Chart Industries, Inc., Term Loan B (d) | - | 12/08/2029 | 920 | 920,804 | ||||||||||
CIRCOR International, Inc., Term Loan (1 mo. USD LIBOR + 5.50%) | 10.13% | 12/20/2028 | 685 | 679,819 | ||||||||||
Crosby US Acquisition Corp., First Lien Term Loan (1 mo. USD LIBOR + 4.75%) | 9.50% | 06/26/2026 | 228 | 222,937 | ||||||||||
Delachaux Group S.A. (France), Term Loan B‑2 (3 mo. USD LIBOR + 4.50%) | 9.28% | 04/16/2026 | 320 | 306,584 | ||||||||||
Deliver Buyer, Inc. (MHS Holdings), Term Loan B (3 mo. SOFR + 5.50%) | 10.08% | 06/08/2029 | 1,158 | 1,001,435 | ||||||||||
DXP Enterprises, Inc., Term Loan (1 mo. SOFR + 4.75%) | 10.17% | 12/23/2027 | 858 | 845,064 | ||||||||||
Engineered Machinery Holdings, Inc., Second Lien Incremental Term Loan (3 mo. USD LIBOR + 6.00%)(e) | 10.73% | 05/21/2029 | 117 | 109,069 | ||||||||||
Kantar (Summer BC Bidco) (United Kingdom) | ||||||||||||||
Term Loan B (3 mo. USD LIBOR + 5.00%)(e) | 9.77% | 12/04/2026 | 977 | 928,464 | ||||||||||
Term Loan B‑3 (3 mo. EURIBOR + 4.25%) | 6.22% | 12/04/2026 | EUR 700 | 705,343 | ||||||||||
Madison IAQ LLC, Term Loan (3 mo. USD LIBOR + 3.25%) | 7.99% | 06/21/2028 | 1,329 | 1,268,367 | ||||||||||
MKS Instruments, Inc., Term Loan B (1 mo. SOFR + 2.75%) | 7.41% | 08/17/2029 | 38 | 37,924 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Industrial Equipment–(continued) | ||||||||||||||
MX Holdings US, Inc., Term Loan B‑1‑C (1 mo. USD LIBOR + 2.50%) | 7.13% | 07/31/2025 | $ 260 | $ 260,292 | ||||||||||
New VAC US LLC, Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.73% | 03/08/2025 | 775 | 697,241 | ||||||||||
Robertshaw US Holding Corp. | ||||||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 3.50%) | 8.25% | 02/28/2025 | 2,967 | 1,658,932 | ||||||||||
Second Lien Term Loan (3 mo. USD LIBOR + 8.00%) | 12.75% | 02/28/2026 | 777 | 268,942 | ||||||||||
Tank Holding Corp. | ||||||||||||||
Revolver Loan (1 mo. SOFR + 6.00%)(e) | 12.25% | 03/31/2028 | 50 | 46,224 | ||||||||||
Revolver Loan(e)(g) | 0.00% | 03/31/2028 | 180 | 167,121 | ||||||||||
Term Loan (1 mo. SOFR + 6.00%) | 10.47% | 03/31/2028 | 3,431 | 3,296,036 | ||||||||||
Thyssenkrupp Elevators (Vertical Midco GmbH) (Germany), Term Loan B (6 mo. USD LIBOR + 3.50%) | 8.60% | 07/31/2027 | 1,994 | 1,953,596 | ||||||||||
Victory Buyer LLC (Vantage Elevator) | ||||||||||||||
Second Lien Term Loan B (1 mo. USD LIBOR + 7.00%)(e) | 11.59% | 11/19/2029 | 165 | 132,972 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 3.75%)(e) | 8.34% | 11/15/2028 | 768 | 675,971 | ||||||||||
16,183,137 | ||||||||||||||
Insurance–1.42% | ||||||||||||||
Acrisure LLC | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 3.50%) | 8.13% | 02/15/2027 | 1,152 | 1,103,154 | ||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 4.25%) | 8.88% | 02/15/2027 | 765 | 739,284 | ||||||||||
Term Loan (1 mo. SOFR+ 5.75%) | 10.45% | 02/15/2027 | 720 | 721,552 | ||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||||
Term Loan (1 mo. USD LIBOR + 3.25%) | 8.13% | 05/09/2025 | 37 | 36,665 | ||||||||||
Term Loan (1 mo. USD LIBOR + 3.50%) | 8.09% | 11/06/2027 | 857 | 848,266 | ||||||||||
AmWINS Group LLC, Term Loan B(d) | - | 02/19/2028 | 426 | 425,111 | ||||||||||
HUB International Ltd., Incremental Term Loan B‑3 (1 mo. USD LIBOR + 3.25%) | 7.23% | 04/25/2025 | 506 | 506,231 | ||||||||||
Sedgwick Claims Management Services, Inc., Term Loan B(d) | - | 02/21/2028 | 198 | 195,990 | ||||||||||
USI, Inc. | ||||||||||||||
Term Loan (1 mo. USD LIBOR + 3.25%) | 7.98% | 12/02/2026 | 334 | 333,511 | ||||||||||
Term Loan (3 mo. SOFR + 3.75%) | 8.65% | 11/22/2029 | 725 | 724,818 | ||||||||||
5,634,582 | ||||||||||||||
Leisure Goods, Activities & Movies–5.21% | ||||||||||||||
Carnival Corp. | ||||||||||||||
Incremental Term Loan (6 mo. USD LIBOR + 3.25%) | 7.88% | 10/18/2028 | 3,812 | 3,707,190 | ||||||||||
Term Loan (6 mo. USD LIBOR + 3.00%) | 7.63% | 06/30/2025 | 259 | 255,828 | ||||||||||
Crown Finance US, Inc. | ||||||||||||||
DIP Term Loan (1 mo. SOFR + 10.00%) | 14.80% | 09/07/2023 | 4,439 | 4,538,988 | ||||||||||
First Lien Term Loan (Acquired 10/18/2019‑12/23/2022; Cost $2,223,970)(f)(i)(j) | 0.00% | 09/30/2026 | 2,558 | 417,932 | ||||||||||
Revolver Loan(d)(i) | - | 03/02/2023 | 608 | 102,261 | ||||||||||
Term Loan (Acquired 08/28/2020‑11/30/2022; Cost $335,125)(f)(i)(j) | 0.00% | 02/28/2025 | EUR 441 | 76,196 | ||||||||||
Term Loan (Acquired 09/13/2021‑02/24/2022; Cost $1,370,670)(f)(i)(j) | 0.00% | 02/28/2025 | 1,642 | 270,041 | ||||||||||
CWGS Group LLC, Term Loan (1 mo. USD LIBOR + 2.50%) | 7.13% | 06/03/2028 | 801 | 717,848 | ||||||||||
Delta 2 Lux S.a.r.l. (United Kingdom), First Lien Term Loan (1 mo. SOFR + 3.25%) | 8.06% | 01/15/2030 | 784 | 787,685 | ||||||||||
Dorna Sports S.L. (Spain), Term Loan B (3 mo. EURIBOR + 3.50%) | 6.25% | 03/30/2029 | EUR 427 | 440,143 | ||||||||||
Eagle Midco Ltd. (United Kingdom), Term Loan (3 mo. SONIA + 4.25%) | 8.71% | 03/20/2028 | GBP 233 | 263,177 | ||||||||||
Fitness International LLC, Term Loan B (3 mo. USD LIBOR + 3.25%) | 8.08% | 04/18/2025 | 920 | 884,430 | ||||||||||
Lakeland Tours LLC | ||||||||||||||
PIK Term Loan, 13.25% PIK Rate (Acquired 09/25/2020‑09/27/2022; Cost $134,626)(f)(h) | 13.25% | 09/25/2027 | 325 | 219,277 | ||||||||||
Third Lien Term Loan B (3 mo. USD LIBOR + 6.00%) (Acquired 09/25/2020‑10/31/2022; Cost $210,427)(e)(f) | 10.42% | 09/25/2025 | 271 | 246,556 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Leisure Goods, Activities & Movies–(continued) | ||||||||||||||
Nord Anglia Education, Term Loan B(d) | - | 01/25/2028 | $ 339 | $ 339,395 | ||||||||||
OEG Borrower LLC (Opry Entertainment), Term Loan B (3 mo. SOFR+ 5.00%)(e) | 9.60% | 05/20/2029 | 850 | 847,552 | ||||||||||
Red Ventures LLC (New Imagitas, Inc.), Term Loan(d) | - | 02/24/2030 | 249 | 246,834 | ||||||||||
Royal Caribbean Cruises | ||||||||||||||
Revolver Loan(d)(e) | - | 04/05/2024 | 2,206 | 2,112,569 | ||||||||||
Revolver Loan(d) | - | 04/12/2024 | 465 | 444,634 | ||||||||||
Revolver Loan(e)(g) | 0.00% | 04/05/2024 | 68 | 65,300 | ||||||||||
Revolver Loan(g) | 0.00% | 04/12/2024 | 130 | 123,998 | ||||||||||
SeaWorld Parks & Entertainment, Inc., Term Loan B (1 mo. USD LIBOR + 3.00%) | 7.69% | 08/25/2028 | 460 | 459,427 | ||||||||||
Six Flags Theme Parks, Inc., Term Loan B (3 mo. USD LIBOR + 1.75%) | 6.39% | 04/17/2026 | 229 | 225,570 | ||||||||||
USF S&H Holdco LLC | ||||||||||||||
Term Loan A (3 mo. USD LIBOR + 8.00%)(e) | 18.67% | 06/30/2025 | 133 | 132,716 | ||||||||||
Term Loan A(e)(g) | 0.00% | 06/30/2025 | 162 | 162,334 | ||||||||||
Term Loan B (3 mo. USD LIBOR + 4.75%)(e) | 9.51% | 06/30/2025 | 1,698 | 1,698,291 | ||||||||||
Vue International Bidco PLC (United Kingdom) | ||||||||||||||
Term Loan (6 mo. EURIBOR + 8.00%) | 9.77% | 06/30/2027 | EUR 194 | 179,417 | ||||||||||
Term Loan (3 mo. EURIBOR + 8.00%) | 4.35% | 12/31/2027 | EUR 988 | 658,515 | ||||||||||
20,624,104 | ||||||||||||||
Lodging & Casinos–3.99% | ||||||||||||||
Aimbridge Acquisition Co., Inc. | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 3.75%) | 8.38% | 02/02/2026 | 915 | 870,155 | ||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 4.75%) | 9.34% | 02/02/2026 | 1,128 | 1,075,321 | ||||||||||
B&B Hotels S.A.S. (France) | ||||||||||||||
Second Lien Term Loan A‑1 (3 mo. EURIBOR + 8.50%) | 10.89% | 07/31/2027 | EUR 387 | 407,892 | ||||||||||
Term Loan B‑4 (6 mo. EURIBOR + 5.50%) | 7.89% | 07/31/2026 | EUR 401 | 422,119 | ||||||||||
Bally’s Corp., Term Loan B (1 mo. USD LIBOR + 3.25%) | 7.85% | 10/02/2028 | 1,079 | 1,030,404 | ||||||||||
Caesars Entertainment, Inc., Term Loan B(d) | - | 01/26/2030 | 1,807 | 1,807,281 | ||||||||||
Fertitta Entertainment LLC (Golden Nugget), Term Loan (1 mo. SOFR + 4.00%) | 8.62% | 01/31/2029 | 140 | 136,870 | ||||||||||
Flutter Financing B.V. (Stars Group), Term Loan B (1 mo. SOFR + 3.25%) | 8.09% | 07/04/2028 | 1,101 | 1,102,687 | ||||||||||
Four Seasons Holdings, Inc. (Canada), Term Loan (1 mo. SOFR + 3.25%) | 8.16% | 11/30/2029 | 228 | 229,277 | ||||||||||
GVC Finance LLC, First Lien Term Loan (1 mo. SOFR + 3.50%) | 8.18% | 10/31/2029 | 1,268 | 1,268,472 | ||||||||||
Hilton Grand Vacations Borrower LLC, Term Loan (1 mo. USD LIBOR + 3.00%) | 7.63% | 08/02/2028 | 516 | 515,700 | ||||||||||
HotelBeds (United Kingdom) | ||||||||||||||
Term Loan B (3 mo. EURIBOR + 4.25%) | 6.71% | 09/12/2025 | EUR 1,882 | 1,870,839 | ||||||||||
Term Loan D (6 mo. EURIBOR + 5.50%) | 7.75% | 09/12/2027 | EUR 3,398 | 3,414,916 | ||||||||||
PCI Gaming Authority, Term Loan B (3 mo. USD LIBOR + 2.50%) | 7.13% | 05/29/2026 | 63 | 63,028 | ||||||||||
Scientific Games Lottery | ||||||||||||||
Term Loan B (3 mo. EURIBOR + 4.00%) | 6.17% | 01/31/2029 | EUR 247 | 256,975 | ||||||||||
Term Loan B (3 mo. SOFR + 3.50%) | 8.10% | 04/04/2029 | 959 | 944,233 | ||||||||||
Travel + Leisure Co., Incremental Term Loan (1 mo. SOFR + 4.00%) | 8.61% | 12/14/2029 | 348 | 347,832 | ||||||||||
15,764,001 | ||||||||||||||
Nonferrous Metals & Minerals–1.32% | ||||||||||||||
American Rock Salt Co. LLC | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 4.00%) | 8.63% | 06/09/2028 | 374 | 362,573 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 7.25%)(e) | 11.88% | 06/11/2029 | 57 | 54,247 | ||||||||||
AZZ, Inc., Term Loan (1 mo. SOFR + 4.25%) | 8.97% | 05/13/2029 | 1,182 | 1,183,552 | ||||||||||
Corialis (United Kingdom), Term Loan B (1 mo. SONIA + 4.40%) | 8.36% | 07/06/2028 | GBP 109 | 118,529 | ||||||||||
Covia Holdings Corp., Term Loan (3 mo. USD LIBOR + 4.00%) | 8.78% | 07/31/2026 | 431 | 426,860 | ||||||||||
Form Technologies LLC | ||||||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 4.50%) | 9.46% | 07/19/2025 | 1,029 | 942,773 | ||||||||||
First Lien Term Loan (3 mo. USD LIBOR + 9.00%)(e) | 13.96% | 10/22/2025 | 545 | 441,306 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Nonferrous Metals & Minerals–(continued) | ||||||||||||||
SCIH Salt Holdings Inc. (Kissner Group), Incremental First Lien Term Loan B‑1 (1 mo. USD LIBOR + 4.00%) | 8.83% | 03/16/2027 | $ 1,714 | $ 1,672,869 | ||||||||||
5,202,709 | ||||||||||||||
Oil & Gas–3.69% | ||||||||||||||
Brazos Delaware II LLC, First Lien Term Loan (d) | - | 02/01/2030 | 1,007 | 1,001,814 | ||||||||||
Glass Mountain Pipeline Holdings LLC, Term Loan (3 mo. USD LIBOR + 4.50%) | 9.14% | 10/28/2027 | 150 | 127,279 | ||||||||||
Gulf Finance LLC, Term Loan (1 mo. USD LIBOR + 6.75%) | 11.48% | 08/25/2026 | 1,282 | 1,260,811 | ||||||||||
McDermott International Ltd. | ||||||||||||||
LOC(g) | 0.00% | 06/30/2024 | 2,136 | 1,740,930 | ||||||||||
LOC (3 mo. USD LIBOR + 4.00%)(e) | 5.48% | 06/30/2024 | 999 | 698,963 | ||||||||||
PIK Term Loan, 3.00% PIK Rate, 5.63% Cash Rate(h) | 3.00% | 06/30/2025 | 512 | 340,028 | ||||||||||
Term Loan (1 mo. USD LIBOR + 3.00%) | 7.63% | 06/30/2024 | 92 | 55,660 | ||||||||||
Par Petroleum LLC and Par Petroleum Finance Corp. (Par Pacific), Term Loan B(d) | - | 02/14/2030 | 1,167 | 1,154,810 | ||||||||||
Petroleum GEO‑Services ASA (Norway) | ||||||||||||||
Term Loan (3 mo. SOFR + 6.75%) (Acquired 05/23/2022; Cost $469,170)(e)(f) | 11.33% | 03/18/2024 | 469 | 476,208 | ||||||||||
Term Loan (1 mo. USD LIBOR + 7.50%) (Acquired 01/29/2021‑02/09/2021; Cost $3,105,810)(f) | 12.14% | 03/19/2024 | 3,486 | 3,433,881 | ||||||||||
QuarterNorth Energy, Inc., Second Lien Term Loan (1 mo. USD LIBOR + 8.00%) (Acquired 08/03/2021‑10/14/2022; Cost $2,814,967)(f) | 12.63% | 08/27/2026 | 2,865 | 2,859,630 | ||||||||||
TransMontaigne Partners LLC, Term Loan B (1 mo. USD LIBOR + 3.50%) | 8.09% | 11/17/2028 | 1,124 | 1,120,166 | ||||||||||
WhiteWater Whistler Holdings LLC, Term Loan B(d) | - | 01/25/2030 | 311 | 311,081 | ||||||||||
14,581,261 | ||||||||||||||
Publishing–4.02% | ||||||||||||||
Adtalem Global Education, Inc., Term Loan B (1 mo. USD LIBOR + 4.00%) | 8.63% | 08/12/2028 | 370 | 370,207 | ||||||||||
Cengage Learning, Inc., Term Loan B (6 mo. USD LIBOR + 4.75%) | 9.88% | 06/29/2026 | 2,664 | 2,525,460 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Term Loan B (3 mo. USD LIBOR + 3.50%) | 8.33% | 08/21/2026 | 2,304 | 2,187,299 | ||||||||||
Dotdash Meredith, Inc., Term Loan B (1 mo. SOFR + 4.00%)(e) | 8.67% | 12/01/2028 | 2,978 | 2,635,872 | ||||||||||
Harbor Purchaser, Inc. (Houghton Mifflin Harcourt) | ||||||||||||||
Second Lien Term Loan (1 mo. SOFR +8.50%)(e) | 13.12% | 04/08/2030 | 1,353 | 1,177,121 | ||||||||||
Term Loan B (1 mo. SOFR + 5.25%) | 9.97% | 04/09/2029 | 2,784 | 2,561,331 | ||||||||||
McGraw-Hill Education, Inc., Term Loan B (1 mo. USD LIBOR + 4.75%) | 9.38% | 07/30/2028 | 2,525 | 2,429,864 | ||||||||||
Micro Holding L.P., Term Loan (1 mo. USD LIBOR + 3.75%) | 8.38% | 09/13/2024 | 2,032 | 2,020,557 | ||||||||||
15,907,711 | ||||||||||||||
Radio & Television–0.97% | ||||||||||||||
Diamond Sports Holdings LLC, Second Lien Term Loan (1 mo. SOFR + 3.25%) (Acquired 03/01/2022; Cost $860,777)(f) | 8.03% | 08/24/2026 | 1,304 | 153,372 | ||||||||||
Gray Television, Inc. | ||||||||||||||
Term Loan C (1 mo. USD LIBOR + 2.50%) | 7.07% | 01/02/2026 | 11 | 10,680 | ||||||||||
Term Loan D (1 mo. USD LIBOR + 3.00%) | 7.57% | 12/01/2028 | 1,216 | 1,204,169 | ||||||||||
iHeartCommunications, Inc., Incremental Term Loan (1 mo. USD LIBOR + 3.25%) | 7.88% | 05/01/2026 | 220 | 214,891 | ||||||||||
Sinclair Television Group, Inc. | ||||||||||||||
Term Loan B‑2‑B (1 mo. USD LIBOR + 2.50%) | 7.14% | 09/30/2026 | 269 | 261,209 | ||||||||||
Term Loan B‑3 (1 mo. USD LIBOR + 3.00%) | 7.64% | 04/01/2028 | 578 | 557,836 | ||||||||||
Term Loan B‑4 (1 mo. SOFR + 3.75%) | 8.47% | 04/21/2029 | 1,202 | 1,174,375 | ||||||||||
Univision Communications, Inc., First Lien Term Loan (1 mo. USD LIBOR + 3.25%) | 7.88% | 05/05/2028 | 267 | 263,884 | ||||||||||
3,840,416 | ||||||||||||||
Retailers (except Food & Drug)–3.25% | ||||||||||||||
Bass Pro Group LLC, Term Loan B‑2 (1 mo. USD LIBOR + 3.75%) | 8.38% | 03/06/2028 | 3,112 | 3,072,079 | ||||||||||
CNT Holdings I Corp. (1‑800 Contacts), First Lien Term Loan (1 mo. USD LIBOR + 3.50%) | 8.13% | 11/08/2027 | 1,590 | 1,564,703 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Retailers (except Food & Drug)–(continued) | ||||||||||||||
Kirk Beauty One GmbH (Germany) | ||||||||||||||
Term Loan B‑1 (6 mo. EURIBOR + 5.50%) | 7.45% | 04/08/2026 | EUR 298 | $ 300,879 | ||||||||||
Term Loan B‑2 (6 mo. EURIBOR + 5.50%) | 7.45% | 04/08/2026 | EUR 171 | 173,196 | ||||||||||
Term Loan B‑3 (3 mo. EURIBOR + 5.25%) | 7.45% | 04/08/2026 | EUR 333 | 336,353 | ||||||||||
Term Loan B‑4 (6 mo. EURIBOR + 5.50%) | 7.45% | 04/08/2026 | EUR 526 | 531,570 | ||||||||||
Term Loan B‑5 (6 mo. EURIBOR + 5.50%) | 7.45% | 04/08/2026 | EUR 117 | 118,228 | ||||||||||
Petco Animal Supplies, Inc., First Lien Term loan (3 mo. SOFR + 3.25%) | 8.09% | 03/02/2028 | $ 1,472 | 1,459,093 | ||||||||||
PetSmart LLC, Term Loan (1 mo. SOFR + 3.75%) | 8.47% | 02/11/2028 | 4,563 | 4,556,908 | ||||||||||
Savers, Inc., Term Loan (3 mo. USD LIBOR + 5.50%) | 10.34% | 04/26/2028 | 748 | 741,430 | ||||||||||
12,854,439 | ||||||||||||||
Surface Transport–2.26% | ||||||||||||||
American Trailer World Corp., First Lien Term Loan (1 mo. SOFR + 3.75%) | 8.47% | 03/03/2028 | 732 | 650,747 | ||||||||||
Carriage Purchaser, Inc., Term Loan B (1 mo. USD LIBOR + 4.25%) | 8.88% | 09/30/2028 | 251 | 247,518 | ||||||||||
First Student Bidco, Inc. | ||||||||||||||
Delayed Draw Term Loan (3 mo. SOFR + 4.00%) | 8.68% | 07/21/2028 | 113 | 110,550 | ||||||||||
Incremental Term Loan B (3 mo. SOFR+ 4.00%) | 8.68% | 07/21/2028 | 1,630 | 1,591,915 | ||||||||||
Term Loan B (3 mo. USD LIBOR + 3.00%) | 7.73% | 07/21/2028 | 1,156 | 1,105,860 | ||||||||||
Term Loan C (3 mo. USD LIBOR + 3.00%) | 7.73% | 07/21/2028 | 431 | 412,327 | ||||||||||
Hurtigruten (Explorer II AS) (Norway) | ||||||||||||||
Term Loan B (3 mo. EURIBOR + 4.00%) (Acquired 04/16/2021‑05/25/2021; Cost $2,070,245)(f) | 7.20% | 02/24/2025 | EUR 1,769 | 1,704,985 | ||||||||||
Term Loan C (3 mo. EURIBOR + 8.00%) (Acquired 10/05/2021; Cost $1,164,099)(f) | 10.63% | 06/16/2023 | EUR 1,000 | 1,054,394 | ||||||||||
Novae LLC, Term Loan B (3 mo. SOFR+ 5.00%) | 9.70% | 12/22/2028 | 306 | 265,592 | ||||||||||
PODS LLC | ||||||||||||||
Term Loan (1 mo. SOFR + 4.00%)(e) | 8.68% | 04/01/2028 | 861 | 856,496 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 3.00%) | 7.73% | 04/01/2028 | 117 | 114,798 | ||||||||||
STG - XPOI Opportunity, Term Loan B (1 mo. SOFR + 6.00%) | 10.78% | 04/30/2028 | 864 | 828,015 | ||||||||||
8,943,197 | ||||||||||||||
Telecommunications–6.54% | ||||||||||||||
Avaya, Inc. | ||||||||||||||
DIP Term Loan(e)(i) | 12.56% | 08/15/2023 | 233 | 241,756 | ||||||||||
DIP Term Loan(e)(g)(i) | 0.00% | 08/15/2023 | 58 | 60,439 | ||||||||||
First Lien Term Loan(i)(j) | 0.00% | 12/15/2027 | 588 | 153,361 | ||||||||||
Term Loan B‑2(i)(j) | 0.00% | 12/15/2027 | 967 | 250,323 | ||||||||||
Cablevision Lightpath LLC, Term Loan (1 mo. USD LIBOR + 3.25%) | 7.84% | 11/30/2027 | 523 | 520,471 | ||||||||||
CCI Buyer, Inc. (Consumer Cellular), Term Loan(d) | - | 12/17/2027 | 2,832 | 2,791,196 | ||||||||||
CenturyLink, Inc. | ||||||||||||||
Term Loan A(d) | - | 01/31/2025 | 511 | 492,467 | ||||||||||
Term Loan B (1 mo. USD LIBOR + 2.25%) | 6.88% | 03/15/2027 | 2,083 | 1,736,956 | ||||||||||
Cincinnati Bell, Inc., Term Loan B‑2 (1 mo. SOFR + 3.25%) | 7.97% | 11/22/2028 | 18 | 18,214 | ||||||||||
Crown Subsea Communications Holding, Inc. | ||||||||||||||
Incremental Term Loan(d) | - | 04/27/2027 | 581 | 573,020 | ||||||||||
Term Loan (1 mo. SOFR + 4.75%) | 9.32% | 04/27/2027 | 858 | 845,786 | ||||||||||
Eagle Broadband Investments LLC (Mega Broadband), Term Loan (3 mo. USD LIBOR + 3.00%) | 7.75% | 11/12/2027 | 109 | 107,894 | ||||||||||
Frontier Communications Corp., Term Loan B (3 mo. USD LIBOR + 3.75%) | 8.50% | 05/01/2028 | 237 | 232,835 | ||||||||||
Inmarsat Finance PLC (United Kingdom), Term Loan (1 mo. USD LIBOR + 3.50%) | 8.14% | 12/11/2026 | 1,142 | 1,124,991 | ||||||||||
Intelsat Jackson Holdings S.A. (Luxembourg), Term Loan B (6 mo. SOFR + 4.25%) | 9.08% | 02/01/2029 | 3,308 | 3,275,647 | ||||||||||
Iridium Satellite LLC, Term Loan B (1 mo. USD LIBOR + 2.50%) | 7.22% | 11/04/2026 | 25 | 25,318 | ||||||||||
Level 3 Financing, Inc., Term Loan B (1 mo. USD LIBOR + 1.75%) | 6.38% | 03/01/2027 | 92 | 83,695 |
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||
Telecommunications–(continued) | ||||||||||||||
MLN US HoldCo LLC (dba Mitel) | ||||||||||||||
First Lien Term Loan (6 mo. USD LIBOR + 4.50%) | 8.25% | 11/30/2025 | $ 23 | $ 6,824 | ||||||||||
First Lien Term Loan (6 mo. SOFR + 6.70%)(e) | 11.15% | 11/01/2027 | 3,429 | 2,486,136 | ||||||||||
First Lien Term Loan (6 mo. SOFR + 9.25%) | 13.70% | 11/01/2027 | 1,357 | 1,037,691 | ||||||||||
Term Loan (6 mo. SOFR + 6.44%) | 10.89% | 11/01/2027 | 1,459 | 1,429,874 | ||||||||||
Radiate Holdco LLC, Term Loan B (1 mo. USD LIBOR + 3.25%) | 7.88% | 09/25/2026 | 1,167 | 972,068 | ||||||||||
SBA Senior Finance II LLC, Term Loan (3 mo. USD LIBOR + 1.75%) | 6.41% | 04/11/2025 | 11 | 11,317 | ||||||||||
Telesat LLC, Term Loan B‑5 (1 mo. USD LIBOR + 2.75%) | 7.58% | 12/07/2026 | 2,239 | 1,210,815 | ||||||||||
U.S. Telepacific Corp., Term Loan (3 mo. SOFR + 1.15%) | 7.25% | 05/01/2026 | 2,954 | 945,297 | ||||||||||
Viasat, Inc., Term Loan (1 mo. SOFR + 3.75%) | 9.23% | 03/02/2029 | 631 | 625,735 | ||||||||||
Voyage Digital (NC) Ltd., Term Loan B (3 mo. SOFR + 4.50%)(e) | 9.30% | 05/10/2029 | 841 | 834,402 | ||||||||||
Windstream Services LLC, Term Loan (1 mo. SOFR + 6.25%) | 10.97% | 09/21/2027 | 2,165 | 1,949,487 | ||||||||||
Zayo Group LLC, Incremental Term Loan (1 mo. SOFR + 4.25%) | 8.87% | 03/09/2027 | 2,117 | 1,811,774 | ||||||||||
25,855,789 | ||||||||||||||
Utilities–2.67% | ||||||||||||||
APLP Holdings L.P. (Canada), Term Loan (3 mo. USD LIBOR + 3.75%) | 8.48% | 05/14/2027 | 315 | 315,439 | ||||||||||
Brookfield WEC Holdings, Inc. | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 2.75%) | 7.38% | 08/01/2025 | 341 | 340,668 | ||||||||||
Incremental Term Loan (1 mo. SOFR+ 3.75%) | 8.37% | 08/01/2025 | 1,064 | 1,065,300 | ||||||||||
Eastern Power LLC, Term Loan (3 mo. USD LIBOR + 3.75%) | 8.48% | 10/02/2025 | 1,079 | 984,561 | ||||||||||
Generation Bridge LLC | ||||||||||||||
Term Loan B (3 mo. USD LIBOR + 5.00%) | 9.73% | 12/01/2028 | 748 | 747,227 | ||||||||||
Term Loan C (1 mo. USD LIBOR + 5.00%) | 9.73% | 12/01/2028 | 16 | 16,445 | ||||||||||
Granite Generation LLC, Term Loan (1 mo. USD LIBOR + 3.75%) | 8.38% | 11/09/2026 | 1,842 | 1,768,932 | ||||||||||
Innio Group Holding GmbH, Term Loan B (3 mo. EURIBOR + 3.75%) | 5.48% | 10/31/2025 | EUR 300 | 309,924 | ||||||||||
KAMC Holdings, Inc. (Franklin Energy Group), First Lien Term Loan B (3 mo. USD LIBOR + 4.00%) | 8.95% | 08/14/2026 | 728 | 636,666 | ||||||||||
Lightstone Holdco LLC | ||||||||||||||
Term Loan B (1 mo. SOFR + 5.75%) | 10.37% | 02/01/2027 | 2,462 | 2,103,113 | ||||||||||
Term Loan C (1 mo. SOFR + 5.75%) | 10.37% | 02/01/2027 | 139 | 118,951 | ||||||||||
Nautilus Power LLC, Term Loan (3 mo. USD LIBOR + 4.25%) (Acquired 04/28/2017‑05/22/2019; Cost $1,183,078)(f) | 8.88% | 05/16/2024 | 1,185 | 881,119 | ||||||||||
Pike Corp., Term Loan (1 mo. SOFR+ 3.50%) | 8.12% | 01/21/2028 | 221 | 220,883 | ||||||||||
Urbaser (Spain), Term Loan B (6 mo. EURIBOR + 4.18%) | 6.55% | 10/23/2028 | EUR 643 | 677,236 | ||||||||||
USIC Holding, Inc. | ||||||||||||||
First Lien Term Loan (1 mo. USD LIBOR + 3.50%) | 8.13% | 05/12/2028 | 231 | 224,517 | ||||||||||
Second Lien Term Loan (1 mo. USD LIBOR + 6.50%) | 11.13% | 05/14/2029 | 172 | 159,870 | ||||||||||
10,570,851 | ||||||||||||||
Total Variable Rate Senior Loan Interests (Cost $431,760,909) | 399,127,531 | |||||||||||||
Shares | ||||||||||||||
Common Stocks & Other Equity Interests–10.34%(k) | ||||||||||||||
Aerospace & Defense–0.84% | ||||||||||||||
IAP Worldwide Services, Inc. (Acquired 07/18/2014‑02/08/2019; Cost $587,458)(e)(f) | 342 | 3,305,240 | ||||||||||||
Automotive–0.01% | ||||||||||||||
ThermaSys Corp. (Acquired 12/31/2018; Cost $474,958)(e)(f) | 676,996 | 20,310 | ||||||||||||
Building & Development–0.00% | ||||||||||||||
Haya (Holdco2 PLC/Real Estate SAU) (Acquired 06/14/2022; Cost $0)(e)(f) | 298 | 0 | ||||||||||||
Lake at Las Vegas Joint Venture LLC, Class A (Acquired 07/15/2010; Cost $7,938,060)(e)(f) | 780 | 0 | ||||||||||||
Lake at Las Vegas Joint Venture LLC, Class B (Acquired 07/15/2010; Cost $93,975)(e)(f) | 9 | 0 | ||||||||||||
0 |
Shares | Value | |||||||||||
Business Equipment & Services–1.02% | ||||||||||||
Checkout Holding Corp. (Acquired 02/15/2019; Cost $2,251,966)(f) | 6,741 | $ 2,106 | ||||||||||
My Alarm Center LLC, Class A (Acquired 03/09/2021‑12/03/2021; Cost $3,381,699)(e)(f) | 25,611 | 4,033,698 | ||||||||||
4,035,804 | ||||||||||||
Containers & Glass Products–0.02% | ||||||||||||
Libbey Glass, Inc. (Acquired 11/13/2020‑02/10/2022; Cost $32,297)(f) | 7,940 | 68,482 | ||||||||||
Electronics & Electrical–0.00% | ||||||||||||
Riverbed Technology, Inc. (Acquired 12/06/2021; Cost $316,609)(e)(f) | 18,902 | 4,820 | ||||||||||
Financial Intermediaries–0.06% | ||||||||||||
RJO Holdings Corp.(e) | 2,851 | 136,875 | ||||||||||
RJO Holdings Corp., Class A(e) | 2,314 | 111,065 | ||||||||||
RJO Holdings Corp., Class B(e) | 3,000 | 30 | ||||||||||
247,970 | ||||||||||||
Health Care–0.01% | ||||||||||||
Envigo RMS Holding Corp. (Acquired 04/29/2014; Cost $0)(e)(f) | 7,462 | 53,167 | ||||||||||
Leisure Goods, Activities & Movies–0.50% | ||||||||||||
Crown Finance US, Inc., Wts., expiring 11/23/2025 (Acquired 12/09/2020; Cost $0)(f)(i) | 171,770 | 0 | ||||||||||
USF S&H Holdco LLC (Acquired 12/02/2019; Cost $1,287,958)(e)(f) | 1,785 | 1,977,944 | ||||||||||
Vue International Bidco PLC(d)(e) | 987,581 | 0 | ||||||||||
1,977,944 | ||||||||||||
Lodging & Casinos–0.47% | ||||||||||||
Bally’s Corp.(l) | 72,757 | 1,436,950 | ||||||||||
Caesars Entertainment, Inc.(l) | 8,413 | 427,044 | ||||||||||
1,863,994 | ||||||||||||
Oil & Gas–5.67% | ||||||||||||
Aquadrill LLC (Acquired 05/27/2021; Cost $1,529,106)(f) | 49,326 | 2,778,706 | ||||||||||
HGIM Corp. (Acquired 07/02/2018‑08/31/2021; Cost $769,269)(e)(f) | 8,544 | 192,240 | ||||||||||
HGIM Corp., Wts., expiring 07/02/2043 (Acquired 07/02/2018; Cost $487,931)(e)(f) | 5,420 | 121,950 | ||||||||||
McDermott International Ltd.(l) | 210,471 | 81,978 | ||||||||||
McDermott International Ltd.(e) | 657,235 | 255,993 | ||||||||||
NexTier Oilfield Solutions, Inc.(l) | 44,006 | 401,775 | ||||||||||
Noble Corp. PLC(l) | 929 | 38,730 | ||||||||||
QuarterNorth Energy, Inc. (Acquired 06/02/2021‑10/29/2021; Cost $3,240,271)(e)(f) | 78,026 | 15,565,407 | ||||||||||
QuarterNorth Energy, Inc., Wts., expiring 08/27/2029 (Acquired 08/27/2021; Cost $133,695)(e)(f) | 14,855 | 496,157 | ||||||||||
QuarterNorth Energy, Inc., Wts., expiring 08/27/2029 (Acquired 08/27/2021; Cost $171,654)(e)(f) | 28,609 | 288,093 | ||||||||||
Samson Investment Co., Class A (Acquired 03/01/2017; Cost $3,246,273)(e)(f) | 84,254 | 52,659 | ||||||||||
Southcross Energy Partners L.P. (Acquired 08/05/2014‑10/29/2020; Cost $759,465)(e)(f) | 73,367 | 550 | ||||||||||
Transocean Ltd.(l) | 191,873 | 1,341,192 | ||||||||||
Tribune Resources LLC (Acquired 04/03/2018; Cost $1,947,502)(f) | 382,888 | 801,768 | ||||||||||
Tribune Resources LLC, Wts., expiring 04/03/2023 (Acquired 04/03/2018; Cost $8,198)(e)(f) | 99,132 | 2,478 | ||||||||||
22,419,676 | ||||||||||||
Radio & Television–0.19% | ||||||||||||
iHeartMedia, Inc., Class A(l) | 101,257 | 735,126 | ||||||||||
iHeartMedia, Inc., Class B(e) | 17 | 123 | ||||||||||
735,249 |
Shares | Value | |||||||||||||||||||
Retailers (except Food & Drug)–0.09% | ||||||||||||||||||||
Claire’s Stores, Inc. (Acquired 10/12/2018; Cost $716,681)(f) | 446 | $ | 221,142 | |||||||||||||||||
Toys ’R’ Us‑Delaware, Inc.(e) | 17 | 41,827 | ||||||||||||||||||
Vivarte S.A.S.(e) | 233,415 | 109,725 | ||||||||||||||||||
372,694 | ||||||||||||||||||||
Surface Transport–0.08% | ||||||||||||||||||||
Commercial Barge Line Co. (Acquired 02/15/2018‑02/06/2020; Cost $420,320)(f) | 4,992 | 147,264 | ||||||||||||||||||
Commercial Barge Line Co., Series A, Wts., expiring 08/18/2030 (Acquired 02/03/2023; Cost $0)(f) | 19,526 | 9,153 | ||||||||||||||||||
Commercial Barge Line Co., Series B, Wts., expiring 04/30/2045 (Acquired 02/03/2023; Cost $0)(f) | 15,443 | 9,652 | ||||||||||||||||||
Commercial Barge Line Co., Wts., expiring 04/27/2045 (Acquired 02/15/2018‑02/06/2020; Cost $441,875)(f) | 5,248 | 154,816 | ||||||||||||||||||
320,885 | ||||||||||||||||||||
Utilities–1.38% | ||||||||||||||||||||
Vistra Corp. | 227,983 | 5,013,346 | ||||||||||||||||||
Vistra Operations Co. LLC, Rts., expiring 12/31/2046 | 366,133 | 451,625 | ||||||||||||||||||
5,464,971 | ||||||||||||||||||||
Total Common Stocks & Other Equity Interests (Cost $45,201,414) | 40,891,206 | |||||||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)(a) | ||||||||||||||||||
U.S. Dollar Denominated Bonds & Notes–3.34% | ||||||||||||||||||||
Aerospace & Defense–0.43% | ||||||||||||||||||||
Maxar Technologies, Inc. (m) | 7.75 | % | 06/15/2027 | $ | 530 | 554,690 | ||||||||||||||
Rand Parent LLC(m) | 8.50 | % | 02/15/2030 | 693 | 666,146 | |||||||||||||||
Spirit AeroSystems, Inc.(m) | 9.38 | % | 11/30/2029 | 446 | 471,645 | |||||||||||||||
1,692,481 | ||||||||||||||||||||
Air Transport–0.08% | ||||||||||||||||||||
Mesa Airlines, Inc., Class B (Acquired 11/25/2015; Cost $568,104)(e)(f) | 5.75 | % | 07/15/2025 | 341 | 330,366 | |||||||||||||||
Building & Development–0.70% | ||||||||||||||||||||
APCOA Parking Holdings GmbH (Germany) (m) | 4.63 | % | 01/15/2027 | EUR | 147 | 134,336 | ||||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC (Acquired 09/22/2021‑12/17/2021; Cost $1,041,663)(f)(m) | 4.50 | % | 04/01/2027 | 1,045 | 896,511 | |||||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC (Acquired 10/13/2020‑11/19/2020; Cost $1,699,494)(f)(m) | 5.75 | % | 05/15/2026 | 1,873 | 1,726,334 | |||||||||||||||
2,757,181 | ||||||||||||||||||||
Cable & Satellite Television–0.53% | ||||||||||||||||||||
Altice Financing S.A. (Luxembourg) (m) | 5.75 | % | 08/15/2029 | 22 | 18,016 | |||||||||||||||
Altice Financing S.A. (Luxembourg)(m) | 5.00 | % | 01/15/2028 | 693 | 575,731 | |||||||||||||||
Altice France Holding S.A. (Luxembourg)(m) | 8.00 | % | 05/15/2027 | EUR | 336 | 283,658 | ||||||||||||||
Altice France S.A. (France)(m) | 5.50 | % | 01/15/2028 | 328 | 270,505 | |||||||||||||||
Altice France S.A. (France)(m) | 5.50 | % | 10/15/2029 | 305 | 239,023 | |||||||||||||||
Virgin Media Secured Finance PLC (United Kingdom)(m) | 4.50 | % | 08/15/2030 | 849 | 699,689 | |||||||||||||||
2,086,622 | ||||||||||||||||||||
Chemicals & Plastics–0.21% | ||||||||||||||||||||
SK Invictus Intermediate II S.a.r.l. (Luxembourg) (m) | 5.00 | % | 10/30/2029 | 1,067 | 850,111 | |||||||||||||||
Food Service–0.12% | ||||||||||||||||||||
eG Global Finance PLC (United Kingdom) (m) | 6.75 | % | 02/07/2025 | 412 | 372,325 | |||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||||||||
Food Service–(continued) | ||||||||||||||||||||
WW International, Inc.(m) | 4.50 | % | 04/15/2029 | $ | 225 | $ | 115,005 | |||||||||||||
487,330 | ||||||||||||||||||||
Health Care–0.06% | ||||||||||||||||||||
Global Medical Response, Inc. (m) | 6.50 | % | 10/01/2025 | 298 | 223,834 | |||||||||||||||
Industrial Equipment–0.02% | ||||||||||||||||||||
Chart Industries, Inc. (m) | 7.50 | % | 01/01/2030 | 93 | 94,511 | |||||||||||||||
Lodging & Casinos–0.06% | ||||||||||||||||||||
Caesars Entertainment, Inc. (m) | 7.00 | % | 02/15/2030 | 218 | 219,891 | |||||||||||||||
Publishing–0.44% | ||||||||||||||||||||
McGraw-Hill Education, Inc. (m) | 5.75 | % | 08/01/2028 | 1,990 | 1,744,648 | |||||||||||||||
Radio & Television–0.10% | ||||||||||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. (Acquired 07/18/2019‑10/16/2020; Cost $773,023)(f)(m) | 5.38 | % | 08/15/2026 | 825 | 93,596 | |||||||||||||||
iHeartCommunications, Inc.(m) | 4.75 | % | 01/15/2028 | 194 | 163,315 | |||||||||||||||
Univision Communications, Inc.(m) | 7.38 | % | 06/30/2030 | 133 | 126,275 | |||||||||||||||
383,186 | ||||||||||||||||||||
Retailers (except Food & Drug)–0.30% | ||||||||||||||||||||
Evergreen Acqco 1 L.P./TVI, Inc. (m) | 9.75 | % | 04/26/2028 | 1,216 | 1,204,016 | |||||||||||||||
Telecommunications–0.29% | ||||||||||||||||||||
Connect Finco S.a.r.l./Connect US Finco LLC (United Kingdom) (m) | 6.75 | % | 10/01/2026 | 352 | 326,001 | |||||||||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.(m) | 7.75 | % | 08/15/2028 | 1,007 | 824,114 | |||||||||||||||
1,150,115 | ||||||||||||||||||||
Total U.S. Dollar Denominated Bonds & Notes (Cost $15,198,421) | 13,224,292 | |||||||||||||||||||
Non‑U.S. Dollar Denominated Bonds & Notes–3.34%(n) | ||||||||||||||||||||
Automotive–0.27% | ||||||||||||||||||||
Cabonline Group Holding AB (Sweden) (3 mo. STIBOR + 9.50%)(m)(o) | 12.37 | % | 04/19/2026 | SEK | 10,000 | 878,869 | ||||||||||||||
Leather 2 S.p.A. (Italy) (3 mo. EURIBOR + 4.50%)(m)(o) | 6.70 | % | 09/30/2028 | EUR | 206 | 175,255 | ||||||||||||||
1,054,124 | ||||||||||||||||||||
Building & Development–0.10% | ||||||||||||||||||||
APCOA Parking Holdings GmbH (Germany) (3 mo. EURIBOR + 5.00%)(m)(o) | 7.29 | % | 01/15/2027 | EUR | 272 | 281,638 | ||||||||||||||
Haya (Holdco2 PLC/Real Estate SAU) (Spain) (Acquired 06/14/2022; Cost $179,969)(f)(o) | 10.95 | % | 11/30/2025 | EUR | 246 | 102,012 | ||||||||||||||
383,650 | ||||||||||||||||||||
Business Equipment & Services–0.18% | ||||||||||||||||||||
Paganini Bidco S.p.A. (Italy) (3 mo. EURIBOR + 4.25%)(m)(o) | 6.73 | % | 10/30/2028 | EUR | 694 | 720,280 | ||||||||||||||
Cable & Satellite Television–0.21% | ||||||||||||||||||||
Altice Financing S.A. (Luxembourg)(m) | 3.00 | % | 01/15/2028 | EUR | 260 | 219,719 | ||||||||||||||
Altice Finco S.A. (Luxembourg)(m) | 4.75 | % | 01/15/2028 | EUR | 756 | 620,474 | ||||||||||||||
840,193 | ||||||||||||||||||||
Chemicals & Plastics–0.09% | ||||||||||||||||||||
Herens Midco S.a.r.l. (Luxembourg)(m) | 5.25 | % | 05/15/2029 | EUR | 506 | 369,954 | ||||||||||||||
Electronics & Electrical–0.34% | ||||||||||||||||||||
Castor SpA (Italy) | 6.25 | % | 02/15/2029 | EUR | 660 | 680,162 | ||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)(a) | Value | |||||||||||||||||
Electronics & Electrical–(continued) | ||||||||||||||||||||
Nobel Bidco B.V. (Netherlands)(m) | 3.13 | % | 06/15/2028 | EUR | 891 | $ | 662,310 | |||||||||||||
1,342,472 | ||||||||||||||||||||
Financial Intermediaries–1.00% | ||||||||||||||||||||
AnaCap Financial Europe S.A. SICAV-RAIF (Italy) (3 mo. EURIBOR + 5.00%)(m)(o) | 7.48 | % | 08/01/2024 | EUR | 1,101 | 971,891 | ||||||||||||||
Garfunkelux Holdco 3 S.A. (Luxembourg) (3 mo. EURIBOR + 6.25%)(m)(o) | 8.73 | % | 05/01/2026 | EUR | 632 | 589,687 | ||||||||||||||
Garfunkelux Holdco 3 S.A. (Luxembourg)(m) | 6.75 | % | 11/01/2025 | EUR | 909 | 791,494 | ||||||||||||||
Kane Bidco Ltd. (United Kingdom)(m) | 5.00 | % | 02/15/2027 | EUR | 139 | 137,380 | ||||||||||||||
Kane Bidco Ltd. (United Kingdom)(m) | 6.50 | % | 02/15/2027 | GBP | 174 | 191,070 | ||||||||||||||
Sherwood Financing PLC (United Kingdom)(m) | 4.50 | % | 11/15/2026 | EUR | 200 | 186,618 | ||||||||||||||
Sherwood Financing PLC (United Kingdom)(m) | 6.00 | % | 11/15/2026 | GBP | 202 | 202,642 | ||||||||||||||
Sherwood Financing PLC (United Kingdom) (3 mo. EURIBOR + 4.63%)(m)(o) | 7.28 | % | 11/15/2027 | EUR | 891 | 897,528 | ||||||||||||||
3,968,310 | ||||||||||||||||||||
Health Care–0.13% | ||||||||||||||||||||
Kepler S.p.A. (Italy) (3 mo. EURIBOR + 5.75%)(m)(o) | 7.80 | % | 05/15/2029 | EUR | 486 | 508,388 | ||||||||||||||
Home Furnishings–0.32% | ||||||||||||||||||||
Ideal Standard International S.A. (Belgium)(m) | 6.38 | % | 07/30/2026 | EUR | 316 | 188,810 | ||||||||||||||
Very Group Funding PLC (The) (United Kingdom)(m) | 6.50 | % | 08/01/2026 | GBP | 1,101 | 1,067,747 | ||||||||||||||
1,256,557 | ||||||||||||||||||||
Industrial Equipment–0.10% | ||||||||||||||||||||
Summer (BC) Holdco A S.a.r.l. (Luxembourg)(m) | 9.25 | % | 10/31/2027 | EUR | 450 | 397,045 | ||||||||||||||
Leisure Goods, Activities & Movies–0.11% | ||||||||||||||||||||
Deuce Finco PLC (United Kingdom) (3 mo. EURIBOR + 4.75%)(m)(o) | 6.80 | % | 06/15/2027 | EUR | 211 | 211,487 | ||||||||||||||
Deuce Finco PLC (United Kingdom)(m) | 5.50 | % | 06/15/2027 | GBP | 211 | 215,555 | ||||||||||||||
427,042 | ||||||||||||||||||||
Retailers (except Food & Drug)–0.34% | ||||||||||||||||||||
Douglas GmbH (Germany)(m) | 6.00 | % | 04/08/2026 | EUR | 788 | 735,322 | ||||||||||||||
Kirk Beauty SUN GmbH (Germany)(m) | 8.25 | % | 10/01/2026 | EUR | 734 | 592,791 | ||||||||||||||
1,328,113 | ||||||||||||||||||||
Surface Transport–0.15% | ||||||||||||||||||||
Zenith Finco PLC (United Kingdom)(m) | 6.50 | % | 06/30/2027 | GBP | 632 | 603,429 | ||||||||||||||
Total Non‑U.S. Dollar Denominated Bonds & Notes (Cost $16,712,518) | 13,199,557 | |||||||||||||||||||
Shares | ||||||||||||||||||||
Preferred Stocks–0.75%(k) | ||||||||||||||||||||
Automotive–0.00% | ||||||||||||||||||||
ThermaSys Corp., Series A, Pfd. (Acquired 12/31/2018; Cost $151,015)(e)(f) | 144,220 | 4,327 | ||||||||||||||||||
Electronics & Electrical–0.00% | ||||||||||||||||||||
Riverbed Technology, Inc., Pfd. (Acquired 12/06/2021; Cost $0)(e)(f) | 27,194 | 6,934 | ||||||||||||||||||
Riverbed Technology, Inc., Pfd.(e) | 8,195 | 2,090 | ||||||||||||||||||
9,024 | ||||||||||||||||||||
Financial Intermediaries–0.05% | ||||||||||||||||||||
RJO Holdings Corp., Series A‑2, Pfd.(e) | 584 | 208,492 | ||||||||||||||||||
Oil & Gas–0.10% | ||||||||||||||||||||
McDermott International Ltd., Pfd.(e) | 564 | 366,547 | ||||||||||||||||||
Shares | Value | |||||||||||||||
Oil & Gas–(continued) | ||||||||||||||||
Southcross Energy Partners L.P., Series A, Pfd. (Acquired 05/07/2019‑08/23/2019; Cost $291,940)(e)(f) | 292,193 | $ | 16,070 | |||||||||||||
382,617 | ||||||||||||||||
Surface Transport–0.60% | ||||||||||||||||
Commercial Barge Line Co., Series A, Pfd. (Acquired 02/15/2018‑02/06/2020; Cost $938,463)(f) | 18,575 | 399,362 | ||||||||||||||
Commercial Barge Line Co., Series A, Pfd., Wts., expiring 04/27/2045 (Acquired 02/15/2018‑02/06/2020; Cost $986,469)(f) | 19,526 | 419,809 | ||||||||||||||
Commercial Barge Line Co., Series B, Pfd. (Acquired 02/05/2020‑10/27/2020; Cost $505,738)(f) | 21,989 | 901,549 | ||||||||||||||
Commercial Barge Line Co., Series B, Pfd., Wts., expiring 04/27/2045 (Acquired 02/05/2020‑10/27/2020; Cost $355,189)(f) | 15,443 | 633,163 | ||||||||||||||
2,353,883 | ||||||||||||||||
Total Preferred Stocks (Cost $3,474,663) | 2,958,343 | |||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)(a) | ||||||||||||||
Municipal Obligations–0.45% | ||||||||||||||||
Arizona–0.45% | ||||||||||||||||
Arizona (State of) Industrial Development Authority,(NewLife Forest Restoration, LLC), Series 2022, RB (Acquired 02/22/2022; Cost $1,966,830) (Cost $1,069,699)(f)(m) | 9.00 | % | 01/01/2028 | $ | 2,154 | 1,794,300 | ||||||||||
TOTAL INVESTMENTS IN SECURITIES(p)-119.11% (Cost $513,417,624) | 471,195,229 | |||||||||||||||
BORROWINGS-(20.85)% | (82,500,000 | ) | ||||||||||||||
OTHER ASSETS LESS LIABILITIES-1.74% | 6,910,032 | |||||||||||||||
NET ASSETS-100.00% | $ | 395,605,261 | ||||||||||||||
Investment Abbreviations: | ||
DIP | – Debtor‑in‑Possession | |
EUR | – Euro | |
EURIBOR | – Euro Interbank Offered Rate | |
GBP | – British Pound Sterling | |
LIBOR | – London Interbank Offered Rate | |
LOC | – Letter of Credit | |
Pfd. | – Preferred | |
PIK | – Pay‑in‑Kind | |
RB | – Revenue Bonds | |
Rts. | – Rights | |
SEK | – Swedish Krona | |
SOFR | – Secured Overnight Financing Rate | |
SONIA | – Sterling Overnight Index Average | |
STIBOR | – Stockholm Interbank Offered Rate | |
USD | – U.S. Dollar | |
Wts. | – Warrants |
(a) | Principal amounts are denominated in U.S. dollars unless otherwise noted. |
(b) | Variable rate senior loan interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with any accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the variable rate senior loan interests will have an expected average life of three to five years. |
(c) | Variable rate senior loan interests are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended (the “1933 Act”) and may be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Fund���s portfolio generally have variable rates which adjust to a base, such as the London Interbank Offered Rate (“LIBOR”), on set dates, typically every 30 days, but not greater than one year, and/or have interest rates that float at margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. |
(d) | This variable rate interest will settle after February 28, 2023, at which time the interest rate will be determined. |
(e) | Security valued using significant unobservable inputs (Level 3). See Note 3. |
(f) | Restricted security. The aggregate value of these securities at February 28, 2023 was $66,553,487, which represented 16.82% of the Fund’s Net Assets. |
(g) | All or a portion of this holding is subject to unfunded loan commitments. Interest rate will be determined at the time of funding. See Note 7. |
(h) | All or a portion of this security is Pay‑in‑Kind. Pay‑in‑Kind securities pay interest income in the form of securities. |
(i) | The borrower has filed for protection in federal bankruptcy court. |
(j) | Defaulted security. Currently, the issuer is in default with respect to principal and/or interest payments. The aggregate value of these securities at February 28, 2023 was $3,206,094, which represented less than 1% of the Fund’s Net Assets. |
(k) | Securities acquired through the restructuring of senior loans. |
(l) | Non‑income producing security. |
(m) | Security purchased or received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at February 28, 2023 was $27,105,609, which represented 6.85% of the Fund’s Net Assets. |
(n) | Foreign denominated security. Principal amount is denominated in the currency indicated. |
(o) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on February 28, 2023. |
(p) | Calculated as a percentage of net assets. Amounts in excess of 100% are due to the Fund’s use of leverage. |
Open Forward Foreign Currency Contracts | ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||
Settlement | Contract to | Appreciation | ||||||||||||||||||||
Date | Counterparty | Deliver | Receive | (Depreciation) | ||||||||||||||||||
Currency Risk | ||||||||||||||||||||||
04/28/2023 | Barclays Bank PLC | EUR | 667,080 | USD | 714,307 | $ | 6,376 | |||||||||||||||
04/28/2023 | Barclays Bank PLC | GBP | 2,058,048 | USD | 2,493,921 | 15,790 | ||||||||||||||||
03/31/2023 | BNP Paribas S.A. | EUR | 13,568,951 | USD | 14,822,583 | 445,778 | ||||||||||||||||
03/31/2023 | BNP Paribas S.A. | GBP | 2,341,688 | USD | 2,890,499 | 72,316 | ||||||||||||||||
04/28/2023 | BNP Paribas S.A. | EUR | 13,974,222 | USD | 14,939,644 | 109,687 | ||||||||||||||||
04/28/2023 | Canadian Imperial Bank of Commerce | GBP | 2,089,231 | USD | 2,535,419 | 19,740 | ||||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | EUR | 13,911,575 | USD | 15,212,181 | 472,354 | ||||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | GBP | 167,600 | USD | 205,236 | 3,532 | ||||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | USD | 43,167 | GBP | 35,884 | 18 | ||||||||||||||||
04/28/2023 | Morgan Stanley and Co. International PLC | EUR | 13,951,215 | USD | 14,917,272 | 111,730 | ||||||||||||||||
04/28/2023 | Morgan Stanley and Co. International PLC | SEK | 9,160,630 | USD | 889,647 | 11,871 | ||||||||||||||||
03/31/2023 | Royal Bank of Canada | EUR | 14,233,570 | USD | 15,545,004 | 464,010 | ||||||||||||||||
03/31/2023 | Royal Bank of Canada | GBP | 2,380,546 | USD | 2,931,809 | 66,863 | ||||||||||||||||
04/28/2023 | Royal Bank of Canada | EUR | 13,974,222 | USD | 14,951,048 | 121,092 | ||||||||||||||||
03/31/2023 | State Street Bank & Trust Co. | SEK | 9,309,201 | USD | 912,098 | 21,450 | ||||||||||||||||
03/31/2023 | Toronto-Dominion Bank (The) | GBP | 2,341,688 | USD | 2,889,440 | 71,258 | ||||||||||||||||
04/28/2023 | Toronto-Dominion Bank (The) | GBP | 2,089,231 | USD | 2,538,435 | 22,757 | ||||||||||||||||
Subtotal-Appreciation | 2,036,622 | |||||||||||||||||||||
Currency Risk | ||||||||||||||||||||||
03/31/2023 | Bank of America, N.A | USD | 28,300 | SEK | 287,602 | (784 | ) | |||||||||||||||
03/31/2023 | Barclays Bank PLC | USD | 2,476,192 | GBP | 2,044,609 | (15,539 | ) | |||||||||||||||
03/31/2023 | BNP Paribas S.A. | USD | 14,915,538 | EUR | 13,974,222 | (109,333 | ) | |||||||||||||||
03/31/2023 | Canadian Imperial Bank of Commerce | USD | 2,517,404 | GBP | 2,075,588 | (19,468 | ) | |||||||||||||||
04/28/2023 | Deutsche Bank AG | USD | 595,062 | EUR | 556,435 | (4,553 | ) | |||||||||||||||
04/28/2023 | J.P. Morgan Chase Bank, N.A. | USD | 2,132,517 | EUR | 2,000,000 | (10,043 | ) | |||||||||||||||
Open Forward Foreign Currency Contracts-(continued) | ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||
Settlement | Contract to | Appreciation | ||||||||||||||||||||
Date | Counterparty | Deliver | Receive | (Depreciation) | ||||||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | GBP | 88,280 | USD | 106,164 | $ | (79 | ) | ||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | SEK | 95,704 | USD | 9,032 | (124 | ) | |||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | USD | 14,694,833 | EUR | 13,765,652 | (109,616 | ) | |||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | USD | 1,343,564 | GBP | 1,088,133 | (34,015 | ) | |||||||||||||||
03/31/2023 | Morgan Stanley and Co. International PLC | USD | 884,106 | SEK | 9,117,302 | (11,818 | ) | |||||||||||||||
03/31/2023 | Royal Bank of Canada | USD | 14,926,984 | EUR | 13,974,222 | (120,779 | ) | |||||||||||||||
03/31/2023 | Toronto-Dominion Bank (The) | USD | 2,520,399 | GBP | 2,075,588 | (22,463 | ) | |||||||||||||||
Subtotal-Depreciation | (458,614 | ) | ||||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 1,578,008 | ||||||||||||||||||||
Assets: | ||||
Investments in unaffiliated securities, at value (Cost $513,417,624) | $ | 471,195,229 | ||
Other investments: | ||||
Unrealized appreciation on forward foreign currency contracts outstanding | 2,036,622 | |||
Cash | 13,684,856 | |||
Foreign currencies, at value (Cost $657,648) | 655,785 | |||
Receivable for: | ||||
Investments sold | 16,342,335 | |||
Fund shares sold | 53,526 | |||
Interest | 5,098,154 | |||
Investments matured, at value (Cost $15,329,350) | 605,497 | |||
Investment for trustee deferred compensation and retirement plans | 27,014 | |||
Other assets | 48,638 | |||
Total assets | 509,747,656 | |||
Liabilities: | ||||
Other investments: | ||||
Unrealized depreciation on forward foreign currency contracts outstanding | 458,614 | |||
Payable for: | ||||
Borrowings | 82,500,000 | |||
Investments purchased | 22,773,530 | |||
Dividends | 1,024,114 | |||
Fund shares reacquired | 365 | |||
Accrued fees to affiliates | 264,386 | |||
Accrued interest expense | 854,468 | |||
Accrued trustees’ and officers’ fees and benefits | 1,639 | |||
Accrued other operating expenses | 557,147 | |||
Trustee deferred compensation and retirement plans | 73,276 | |||
Unfunded loan commitments | 5,634,856 | |||
Total liabilities | 114,142,395 | |||
Net assets applicable to common shares | $ | 395,605,261 |
Net assets applicable to common shares consist of: | ||||
Shares of beneficial interest | $ | 676,651,967 | ||
Distributable earnings (loss) | (281,046,706 | ) | ||
$ | 395,605,261 | |||
Net Assets: | ||||
Class A | $ | 50,489,486 | ||
Class C | $ | 36,107,573 | ||
Class Y | $ | 983,009 | ||
Class IB | $ | 285,766,551 | ||
Class IC | $ | 22,258,642 | ||
Common shares outstanding, no par value, with an unlimited number of common shares authorized: | ||||
Class A | 8,599,125 | |||
Class C | 6,133,878 | |||
Class Y | 167,387 | |||
Class IB | 48,672,774 | |||
Class IC | 3,791,607 | |||
Class A: | ||||
Net asset value per share | $ | 5.87 | ||
Maximum offering price per share (Net asset value of $5.87 ÷ 96.75%) | $ | 6.07 | ||
Class C: | ||||
Net asset value and offering price per share | $ | 5.89 | ||
Class Y: | ||||
Net asset value and offering price per share | $ | 5.87 | ||
Class IB: | ||||
Net asset value and offering price per share | $ | 5.87 | ||
Class IC: | ||||
Net asset value and offering price per share | $ | 5.87 | ||
Investment income: | ||||
Interest | $ | 36,910,148 | ||
Dividends | 1,289,722 | |||
Other income | 202,966 | |||
Total investment income | 38,402,836 | |||
Expenses: | ||||
Advisory fees | 3,737,059 | |||
Administrative services fees | 1,032,833 | |||
Custodian fees | 75,687 | |||
Distribution fees: | ||||
Class A | 134,732 | |||
Class C | 395,647 | |||
Class IC | 34,762 | |||
Interest, facilities and maintenance fees | 3,301,076 | |||
Transfer agent fees | 401,253 | |||
Trustees’ and officers’ fees and benefits | 22,058 | |||
Registration and filing fees | 45,825 | |||
Reports to shareholders | 507,386 | |||
Professional services fees | 177,482 | |||
Other | 15,972 | |||
Total expenses | 9,881,772 | |||
Net investment income | 28,521,064 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Unaffiliated investment securities | (11,183,905 | ) | ||
Foreign currencies | 298,991 | |||
Forward foreign currency contracts | 4,876,764 | |||
(6,008,150 | ) | |||
Change in net unrealized appreciation (depreciation) of: | ||||
Unaffiliated investment securities | (26,780,625 | ) | ||
Foreign currencies | (481,813 | ) | ||
Forward foreign currency contracts | 1,075,007 | |||
(26,187,431 | ) | |||
Net realized and unrealized gain (loss) | (32,195,581 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (3,674,517 | ) | |
2023 | 2022 | |||||||
Operations: | ||||||||
Net investment income | $ | 28,521,064 | $ | 18,670,145 | ||||
Net realized gain (loss) | (6,008,150 | ) | (6,971,428 | ) | ||||
Change in net unrealized appreciation (depreciation) | (26,187,431 | ) | 13,682,358 | |||||
Net increase from payments by affiliates | – | 874,000 | ||||||
Net increase (decrease) in net assets resulting from operations | (3,674,517 | ) | 26,255,075 | |||||
Distributions to shareholders from distributable earnings: | ||||||||
Class A | (4,428,637 | ) | (2,897,166 | ) | ||||
Class C | (2,947,658 | ) | (1,908,129 | ) | ||||
Class Y | (89,041 | ) | (76,822 | ) | ||||
Class IB | (25,369,125 | ) | (17,186,111 | ) | ||||
Class IC | (1,934,890 | ) | (1,318,835 | ) | ||||
Total distributions from distributable earnings | (34,769,351 | ) | (23,387,063 | ) | ||||
Return of capital: | ||||||||
Class A | (340,351 | ) | – | |||||
Class C | (226,534 | ) | – | |||||
Class Y | (6,843 | ) | – | |||||
Class IB | (1,949,671 | ) | – | |||||
Class IC | (148,700 | ) | – | |||||
Total return of capital | (2,672,099 | ) | – | |||||
Total distributions | (37,441,450 | ) | (23,387,063 | ) | ||||
Share transactions–net: | ||||||||
Class A | (3,195,720 | ) | (1,018,745 | ) | ||||
Class C | (4,666,346 | ) | (3,400,425 | ) | ||||
Class Y | 8,802 | 36,695 | ||||||
Class IB | (9,101,956 | ) | (23,134,255 | ) | ||||
Class IC | (794,905 | ) | (2,253,511 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (17,750,125 | ) | (29,770,241 | ) | ||||
Net increase (decrease) in net assets | (58,866,092 | ) | (26,902,229 | ) | ||||
Net assets: | ||||||||
Beginning of year | 454,471,353 | 481,373,582 | ||||||
End of year | $ | 395,605,261 | $ | 454,471,353 | ||||
Cash provided by operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | (3,674,517 | ) | |
Adjustments to reconcile the change in net assets from operations to net cash provided by operating activities: | ||||
Purchases of investments | (212,136,154 | ) | ||
Proceeds from sales of investments | 227,014,916 | |||
Proceeds from sales of short-term investments, net | 3,698,325 | |||
Amortization of premium on investment securities | 529,120 | |||
Accretion of discount on investment securities | (2,903,057 | ) | ||
Net realized loss from investment securities | 11,183,905 | |||
Net change in unrealized depreciation on investment securities | 26,780,625 | |||
Net change in unrealized appreciation of forward foreign currency contracts | (1,075,007 | ) | ||
Change in operating assets and liabilities: | ||||
Increase in receivables and other assets | (883,462 | ) | ||
Increase in accrued expenses and other payables | 679,678 | |||
Net cash provided by operating activities | 49,214,372 | |||
Cash provided by (used in) financing activities: | ||||
Dividends paid to shareholders from distributable earnings | (10,245,943 | ) | ||
Return of capital | (2,672,099 | ) | ||
Proceeds from shares of beneficial interest sold | 7,279,513 | |||
Disbursements from shares of beneficial interest reacquired | (49,159,850 | ) | ||
Net cash provided by (used in) financing activities | (54,798,379 | ) | ||
Net decrease in cash and cash equivalents | (5,584,007 | ) | ||
Cash and cash equivalents at beginning of period | 19,924,648 | |||
Cash and cash equivalents at end of period | $ | 14,340,641 | ||
Non‑cash financing activities: | ||||
Value of shares of beneficial interest issued in reinvestment of dividends paid to shareholders | $ | 24,099,096 | ||
Supplemental disclosure of cash flow information: | ||||
Cash paid during the period for taxes | $ | 11,707 | ||
Cash paid during the period for interest, facilities and maintenance fees | $ | 2,515,193 | ||
Net asset value, beginning of period | Net investment income(a) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends from net investment income | Return of capital | Total distributions | Net asset value, end of period | Total return (b) | Net assets, end of period (000’s omitted) | Ratio of expenses to average net assets with fee waivers and/or expenses absorbed | Ratio of expenses to average net assets without fee waivers and/or expenses absorbed | Supplemental ratio of expenses to average net assets with fee waivers (excluding interest, facilities and maintenance fees) | Ratio of net investment income to average net assets | Portfolio turnover (c) | Total borrowings (000’s omitted) | Asset Coverage per $1,000 unit of senior indebtedness (d) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/23 | $6.46 | $0.41 | $(0.46 | ) | $(0.05 | ) | $(0.50 | ) | $(0.04 | ) | $(0.54 | ) | $5.87 | (0.46 | )% | $ 50,489 | 2.50 | % | 2.50 | % | 1.70 | % | 6.75 | % | 24 | % | $ 82,500 | $5,795 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/22 | 6.43 | 0.25 | 0.10 | 0.35 | (0.32 | ) | – | (0.32 | ) | 6.46 | 5.49 | (e)(f) | 59,134 | 1.97 | (f) | 1.97 | (f) | 1.73 | (f) | 3.86 | (f) | 79 | 82,500 | 6,509 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/21 | 6.34 | 0.23 | 0.11 | 0.34 | (0.24 | ) | (0.01 | ) | (0.25 | ) | 6.43 | 5.77 | (f) | 59,821 | 2.05 | (f) | 2.05 | (f) | 1.71 | (f) | 3.80 | (f) | 64 | 82,500 | 6,835 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/29/20 | 6.61 | 0.30 | (0.26 | ) | 0.04 | (0.31 | ) | – | (0.31 | ) | 6.34 | 0.58 | (f) | 74,640 | 2.41 | (f) | 2.41 | (f) | 1.66 | (f) | 4.62 | (f) | 55 | 115,000 | 5,677 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/19 | 6.72 | 0.28 | (0.10 | ) | 0.18 | (0.29 | ) | – | (0.29 | ) | 6.61 | 3.19 | (f) | 90,789 | 2.46 | (f) | 2.46 | (f) | 1.71 | (f) | 4.25 | (f) | 44 | 160,000 | 5,009 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/23 | 6.48 | 0.37 | (0.46 | ) | (0.09 | ) | (0.46 | ) | (0.04 | ) | (0.50 | ) | 5.89 | (1.18 | ) | 36,108 | 3.25 | 3.25 | 2.45 | 6.00 | 24 | 82,500 | 5,795 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/22 | 6.44 | 0.20 | 0.11 | 0.31 | (0.27 | ) | ��� | (0.27 | ) | 6.48 | 4.86 | (e)(f) | 44,805 | 2.72 | (f) | 2.72 | (f) | 2.48 | (f) | 3.11 | (f) | 79 | 82,500 | 6,509 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/21 | 6.36 | 0.18 | 0.10 | 0.28 | (0.19 | ) | (0.01 | ) | (0.20 | ) | 6.44 | 4.81 | (f) | 47,919 | 2.80 | (f) | 2.80 | (f) | 2.46 | (f) | 3.05 | (f) | 64 | 82,500 | 6,835 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/29/20 | 6.63 | 0.25 | (0.26 | ) | (0.01 | ) | (0.26 | ) | – | (0.26 | ) | 6.36 | (0.16 | )(f) | 58,449 | 3.16 | (f) | 3.16 | (f) | 2.41 | (f) | 3.87 | (f) | 55 | 115,000 | 5,677 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/19 | 6.73 | 0.23 | (0.09 | ) | 0.14 | (0.24 | ) | – | (0.24 | ) | 6.63 | 2.50 | (f) | 77,951 | 3.21 | (f) | 3.21 | (f) | 2.46 | (f) | 3.50 | (f) | 44 | 160,000 | 5,009 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/23 | 6.46 | 0.42 | (0.45 | ) | (0.03 | ) | (0.52 | ) | (0.04 | ) | (0.56 | ) | 5.87 | (0.21 | ) | 983 | 2.25 | 2.25 | 1.45 | 7.00 | 24 | 82,500 | 5,795 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/22 | 6.43 | 0.27 | 0.10 | 0.37 | (0.34 | ) | – | (0.34 | ) | 6.46 | 5.75 | (e) | 1,077 | 1.72 | 1.72 | 1.48 | 4.11 | 79 | 82,500 | 6,509 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/21 | 6.34 | 0.24 | 0.11 | 0.35 | (0.25 | ) | (0.01 | ) | (0.26 | ) | 6.43 | 6.04 | 1,045 | 1.80 | 1.80 | 1.46 | 4.05 | 64 | 82,500 | 6,835 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/29/20 | 6.61 | 0.32 | (0.26 | ) | 0.06 | (0.33 | ) | – | (0.33 | ) | 6.34 | 0.83 | 2,436 | 2.16 | 2.16 | 1.41 | 4.87 | 55 | 115,000 | 5,677 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/19 | 6.72 | 0.30 | (0.10 | ) | 0.20 | (0.31 | ) | – | (0.31 | ) | 6.61 | 3.47 | 2,894 | 2.21 | 2.21 | 1.46 | 4.50 | 44 | 160,000 | 5,009 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class IB | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/23 | 6.46 | 0.42 | (0.45 | ) | (0.03 | ) | (0.52 | ) | (0.04 | ) | (0.56 | ) | 5.87 | (0.21 | ) | 285,767 | 2.25 | 2.25 | 1.45 | 7.00 | 24 | 82,500 | 5,795 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/22 | 6.43 | 0.27 | 0.10 | 0.37 | (0.34 | ) | – | (0.34 | ) | 6.46 | 5.75 | (e) | 324,116 | 1.72 | 1.72 | 1.48 | 4.11 | 79 | 82,500 | 6,509 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/21 | 6.34 | 0.24 | 0.11 | 0.35 | (0.25 | ) | (0.01 | ) | (0.26 | ) | 6.43 | 6.04 | 345,166 | 1.80 | 1.80 | 1.46 | 4.05 | 64 | 82,500 | 6,835 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/29/20 | 6.61 | 0.32 | (0.26 | ) | 0.06 | (0.33 | ) | – | (0.33 | ) | 6.34 | 0.83 | 372,576 | 2.16 | 2.16 | 1.41 | 4.87 | 55 | 115,000 | 5,677 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/19 | 6.72 | 0.30 | (0.10 | ) | 0.20 | (0.31 | ) | – | (0.31 | ) | 6.61 | 3.46 | 432,894 | 2.21 | 2.21 | 1.46 | 4.50 | 44 | 160,000 | 5,009 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class IC | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/23 | 6.46 | 0.41 | (0.45 | ) | (0.04 | ) | (0.51 | ) | (0.04 | ) | (0.55 | ) | 5.87 | (0.36 | ) | 22,259 | 2.40 | 2.40 | 1.60 | 6.85 | 24 | 82,500 | 5,795 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/22 | 6.43 | 0.26 | 0.10 | 0.36 | (0.33 | ) | – | (0.33 | ) | 6.46 | 5.60 | (e)(f) | 25,339 | 1.87 | (f) | 1.87 | (f) | 1.63 | (f) | 3.96 | (f) | 79 | 82,500 | 6,509 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/21 | 6.34 | 0.23 | 0.12 | 0.35 | (0.25 | ) | (0.01 | ) | (0.26 | ) | 6.43 | 5.88 | (f) | 27,422 | 1.95 | (f) | 1.95 | (f) | 1.61 | (f) | 3.90 | (f) | 64 | 82,500 | 6,835 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/29/20 | 6.61 | 0.31 | (0.26 | ) | 0.05 | (0.32 | ) | – | (0.32 | ) | 6.34 | 0.68 | (f) | 29,779 | 2.31 | (f) | 2.31 | (f) | 1.56 | (f) | 4.72 | (f) | 55 | 115,000 | 5,677 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 02/28/19 | 6.72 | 0.29 | (0.10 | ) | 0.19 | (0.30 | ) | – | (0.30 | ) | 6.61 | 3.30 | (f) | 36,854 | 2.36 | (f) | 2.36 | (f) | 1.61 | (f) | 4.35 | (f) | 44 | 160,000 | 5,009 |
(a) | Calculated using average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Does not include sales charges and is not annualized for periods less than one year, if applicable. |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. |
(d) | Calculated by subtracting the Fund’s total liabilities (not including the Borrowings) from the Fund’s total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
(e) | Amount includes the effect of the Adviser pay‑in for an economic loss of $0.01 per share. Had the pay‑in not been made, the total return would have been 5.32%, 4.70%, 5.59%, 5.59% and 5.43% for Class A, Class C, Class Y, Class IB and Class IC shares, respectively. |
(f) | The total return, ratio of expenses to average net assets and ratio of net investment income to average net assets reflect actual 12b‑1 fees of 0.25% for Class A shares, 1.00% for Class C shares and 0.15% for Class IC shares for each of the years ended February 28, 2023, February 28, 2022, February 28, 2021, February 29, 2020 and February 28, 2019, respectively. |
A. | Security Valuations – Variable rate senior loan interests are fair valued using quotes provided by an independent pricing service. Quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution‑size trading in similar groups of securities and other market data. |
B. | Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on an accrual basis from settlement date and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Pay‑in‑kind interest income and non‑cash dividend income received in the form of securities in‑lieu of cash are recorded at the fair value of the securities received. Facility fees received may be amortized over the life of the loan. Dividend income (net of withholding tax, if any) is recorded on the ex‑dividend date. |
C. | Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues, the country that has the primary market for the issuer’s securities and its “country of risk” as determined by a third party service provider, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
D. | Distributions – Distributions from net investment income, if any, are declared daily and paid monthly. Distributions from net realized capital gain, if any, are generally declared and paid annually and recorded on the ex‑dividend date. The Fund may elect to treat a portion of the proceeds from redemptions as distributions for federal income tax purposes. |
E. | Federal Income Taxes – The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
F. | Interest, Facilities and Maintenance Fees – Interest, Facilities and Maintenance Fees include interest and related borrowing costs such as commitment fees, administrative expenses and other expenses associated with establishing and maintaining the line of credit. |
G. | Accounting Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period‑end date and before the date the financial statements are released to print. |
H. | Indemnifications – Under the Fund’s organizational documents, each Trustee, officer, employee or other agent of the Fund is indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements, that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. |
I. | Cash and Cash Equivalents – For the purposes of the Statement of Cash Flows, the Fund defines Cash and Cash Equivalents as cash (including foreign currency), money market funds and other investments held in lieu of cash and excludes investments made with cash collateral received. |
J. | Securities Purchased on a When-Issued and Delayed Delivery Basis – The Fund may purchase and sell interests in corporate loans and corporate debt securities and other portfolio securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities prior to the settlement date. |
K. | Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. |
L. | Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk. |
M. | Industry Focus – To the extent that the Fund invests a greater amount of its assets in securities of issuers in the banking and financial services industries, the Fund’s performance will depend to a greater extent on the overall condition of those industries. The value of these securities can be sensitive to changes in government regulation, interest rates and economic downturns in the U.S. and abroad. |
N. | Bank Loan Risk – Although the resale, or secondary market for floating rate loans has grown substantially over the past decade, both in overall size and number of market participants, there is no organized exchange or board of trade on which floating rate loans are traded. Instead, the secondary market for floating rate loans is a private, unregulated interdealer or interbank resale market. Such a market may therefore be subject to irregular trading activity, wide bid/ask spreads, and extended trade settlement periods, which may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. Similar to other asset classes, bank loan funds may be exposed to |
counterparty credit risk, or the risk than an entity with which the Fund has unsettled or open transactions may fail to or be unable to perform on its commitments. The Fund seeks to manage counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. |
O. | LIBOR Risk – The Fund may have investments in financial instruments that utilize the London Interbank Offered Rate (“LIBOR”) as the reference or benchmark rate for variable interest rate calculations. LIBOR is intended to measure the rate generally at which banks can lend and borrow from one another in the relevant currency on an unsecured basis. The UK Financial Conduct Authority (“FCA”), the regulator that oversees LIBOR, announced that the majority of LIBOR rates would cease to be published or would no longer be representative on January 1, 2022. Although the publication of most LIBOR rates ceased at the end of 2021, a selection of widely used USD LIBOR rates continues to be published until June 2023 to allow for an orderly transition away from these rates. |
P. | Leverage Risk – The Fund may utilize leverage to seek to enhance the yield of the Fund by borrowing. There are risks associated with borrowing in an effort to increase the yield and distributions on the common shares, including that the costs of the financial leverage may exceed the income from investments purchased with such leverage proceeds, the higher volatility of the net asset value of the shares, and that fluctuations in the interest rates on the borrowing may affect the yield and distributions to the common shareholders. There can be no assurance that the Fund’s leverage strategy will be successful. |
Q. | Other Risks - The Fund may invest all or substantially all of its assets in senior secured floating rate loans and senior secured debt securities that are determined to be rated below investment grade. These securities are generally considered to have speculative characteristics and are subject to greater risk of loss of principal and interest than higher rated securities. The value of lower quality debt securities and floating rate loans can be more volatile due to increased sensitivity to adverse issuer, political, regulatory, market or economic developments. |
R. | COVID‑19 Risk - The COVID‑19 strain of coronavirus has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain its spread have resulted in travel restrictions, disruptions of healthcare systems, business operations (including business closures) and supply chains, layoffs, lower consumer demand and employee availability, and defaults and credit downgrades, among other significant economic impacts that have disrupted global economic activity across many industries. Such economic impacts may exacerbate other pre‑existing political, social and economic risks locally or globally and cause general concern and uncertainty. The full economic impact and ongoing effects of COVID‑19 (or other future epidemics or pandemics) at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on the Fund’s performance. |
Average Daily Net Assets | Rate | |
First $500 million | 0.900% | |
Next $1 billion | 0.850% | |
Next $1 billion | 0.825% | |
Next $500 million | 0.800% | |
Over $3 billion | 0.775% |
Level 1 - | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 - | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 - | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Adviser’s assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||
Variable Rate Senior Loan Interests | $ | – | $ | 339,861,951 | $ | 59,265,580 | $399,127,531 | |||||||||||||||||||
Common Stocks & Other Equity Interests | 9,476,141 | 4,644,714 | 26,770,351 | 40,891,206 | ||||||||||||||||||||||
U.S. Dollar Denominated Bonds & Notes | – | 12,893,926 | 330,366 | 13,224,292 | ||||||||||||||||||||||
Non‑U.S. Dollar Denominated Bonds & Notes | – | 13,199,557 | – | 13,199,557 | ||||||||||||||||||||||
Preferred Stocks | – | 2,353,883 | 604,460 | 2,958,343 | ||||||||||||||||||||||
Municipal Obligations | – | 1,794,300 | – | 1,794,300 | ||||||||||||||||||||||
Total Investments in Securities | 9,476,141 | 374,748,331 | 86,970,757 | 471,195,229 | ||||||||||||||||||||||
Other Investments - Assets* | ||||||||||||||||||||||||||
Investments Matured | – | 158,341 | 447,156 | 605,497 | ||||||||||||||||||||||
Forward Foreign Currency Contracts | – | 2,036,622 | – | 2,036,622 | ||||||||||||||||||||||
– | 2,194,963 | 447,156 | 2,642,119 |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
Other Investments - Liabilities* | ||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | (458,614 | ) | $ | – | $ | (458,614 | ) | ||||||||||||||||||
Total Other Investments | – | 1,736,349 | 447,156 | 2,183,505 | ||||||||||||||||||||||||
Total Investments | $ | 9,476,141 | $ | 376,484,680 | $ | 87,417,913 | $ | 473,378,734 | ||||||||||||||||||||
* | Forward foreign currency contracts are valued at unrealized appreciation (depreciation). Investments matured are shown at value. |
Change in | ||||||||||||||||||||||||||||||||||
Accrued | Realized | Unrealized | Transfers | Transfers | ||||||||||||||||||||||||||||||
Value | Purchases | Proceeds | Discounts/ | Gain | Appreciation | into | out of | Value | ||||||||||||||||||||||||||
02/28/22 | at Cost | from Sales | Premiums | (Loss) | (Depreciation) | Level 3* | Level 3* | 02/28/23 | ||||||||||||||||||||||||||
Variable Rate Senior Loan Interests | $ | 62,917,390 | $ | 17,331,103 | $ | (18,433,742 | ) | $ | 453,594 | $ | (271,341 | ) | $ | (3,158,261 | ) | $ | 13,536,186 | $ | (13,109,349 | ) | $59,265,580 | |||||||||||||
Common Stocks & Other Equity Interests | 16,171,029 | – | – | – | (140,769 | ) | 6,488,882 | 6,708,493 | (2,457,284 | ) | 26,770,351 | |||||||||||||||||||||||
Preferred Stocks | 993,999 | 154,688 | (654,635 | ) | – | 314,569 | (673,065 | ) | 468,904 | – | 604,460 | |||||||||||||||||||||||
Investments Matured | 447,156 | – | – | – | – | – | – | – | 447,156 | |||||||||||||||||||||||||
U.S. Dollar Denominated Bonds & Notes | 877,623 | – | (454,266 | ) | – | – | (92,991 | ) | – | – | 330,366 | |||||||||||||||||||||||
Total | $ | 81,407,197 | $ | 17,485,791 | $ | (19,542,643 | ) | $ | 453,594 | $ | (97,541 | ) | $ | 2,564,565 | $ | 20,713,583 | $ | (15,566,633 | ) | $87,417,913 |
* | Transfers into and out of level 3 are due to increases or decreases in market activity impacting the available market inputs to determine the price. |
Range of | ||||||||||||
Fair Value | Valuation | Unobservable | Unobservable | Unobservable | ||||||||
at 02/28/23 | Technique | Inputs | Inputs | Input Used | ||||||||
QuarterNorth Energy, Inc. | $15,565,407 | Bid Offer | Bid Offer Price | N/A | $199.49 | (a) | ||||||
NAS LLC (d.b.a. Nationwide Marketing Group), Term Loan | 4,895,101 | Valuation Service | N/A | N/A | N/A | (b) |
(a) | QuarterNorth Energy, Inc. publicly announced that it has engaged a financial advisor to pursue a sale of the company. The Adviser values the common shares at the first round of bids for the sale of the business. The Adviser periodically reviews the financial statements and monitors such investments for additional market information of the occurrence of a significant event which would warrant a re‑evaluation of the security’s fair valuation. |
(b) | Securities classified as Level 3 whose unadjusted values were provided by a pricing service and for which such inputs are unobservable. The valuations are based on certain methods used to determine market yields in order to establish a discount rate of return given market conditions and prevailing lending standards. Future expected cash flows are discounted back to the present value using these discount rates in the discounted cash flow analysis. The Adviser reviews the valuation reports provided by the valuation service on an on‑going basis and monitors such investments for additional information or the occurrence of a market event which would warrant a re‑evaluation of the security’s fair valuation. |
Value | ||
Currency | ||
Derivative Assets | Risk | |
Unrealized appreciation on forward foreign currency contracts outstanding | $2,036,622 | |
Derivatives not subject to master netting agreements | – | |
Total Derivative Assets subject to master netting agreements | $2,036,622 |
Value | ||||
Currency | ||||
Derivative Liabilities | Risk | |||
Unrealized depreciation on forward foreign currency contracts outstanding | $ | (458,614 | ) | |
Derivatives not subject to master netting agreements | – | |||
Total Derivative Liabilities subject to master netting agreements | $ | (458,614 | ) | |
Financial | Financial | |||||||||||||||||||
Derivative | Derivative | Collateral | ||||||||||||||||||
Assets | Liabilities | (Received)/Pledged | ||||||||||||||||||
Forward Foreign | Forward Foreign | Net Value of | Net | |||||||||||||||||
Counterparty | Currency Contracts | Currency Contracts | Derivatives | Non‑Cash | Cash | Amount | ||||||||||||||
Bank of America, N.A | $ | – | $ | (784) | $ | (784 | ) | $– | $– | $ | (784 | ) | ||||||||
Barclays Bank PLC | 22,166 | (15,539) | 6,627 | – | – | 6,627 | ||||||||||||||
BNP Paribas S.A. | 627,781 | (109,333) | 518,448 | – | – | 518,448 | ||||||||||||||
Canadian Imperial Bank of Commerce | 19,740 | (19,468) | 272 | – | – | 272 | ||||||||||||||
Deutsche Bank AG | – | (4,553) | (4,553 | ) | – | – | (4,553 | ) | ||||||||||||
J.P. Morgan Chase Bank, N.A. | – | (10,043) | (10,043 | ) | – | – | (10,043 | ) | ||||||||||||
Morgan Stanley and Co. International PLC | 599,505 | (155,652) | 443,853 | – | – | 443,853 | ||||||||||||||
Royal Bank of Canada | 651,965 | (120,779) | 531,186 | – | – | 531,186 | ||||||||||||||
State Street Bank & Trust Co. | 21,450 | – | 21,450 | – | – | 21,450 | ||||||||||||||
Toronto-Dominion Bank (The) | 94,015 | (22,463) | 71,552 | – | – | 71,552 | ||||||||||||||
Total | $ | 2,036,622 | $ | (458,614) | $ | 1,578,008 | $– | $– | $ | 1,578,008 | ||||||||||
Location of Gain on | ||||
Statement of Operations | ||||
Currency | ||||
Risk | ||||
Realized Gain: | ||||
Forward foreign currency contracts | $4,876,764 | |||
Change in Net Unrealized Appreciation: | ||||
Forward foreign currency contracts | 1,075,007 | |||
Total | $5,951,771 |
Forward | ||||
Foreign Currency | ||||
Contracts | ||||
Average notional value | $175,374,866 |
Unrealized | ||||||||||||||
Unfunded Loan | Appreciation | |||||||||||||
Borrower | Type | Commitment | (Depreciation) | |||||||||||
athenahealth Group, Inc. | Delayed Draw Term Loan | $ | 322,296 | $ | (23,233 | ) | ||||||||
Avaya, Inc. | DIP Term Loan | 56,255 | 4,184 | |||||||||||
Dermatology Intermediate Holdings III, Inc. | Delayed Draw Term Loan | 437 | (7 | ) | ||||||||||
Dun & Bradstreet Corp. (The) | Revolver Loan | 1,686,902 | 102,405 | |||||||||||
Groundworks LLC | Delayed Draw Term Loan | 221,743 | 1,507 | |||||||||||
Groundworks LLC | Term Loan | 151,199 | 0 | |||||||||||
Groundworks LLC | Term Loan | 48,384 | 0 | |||||||||||
McDermott International Ltd. | LOC | 2,136,110 | (395,180 | ) | ||||||||||
NAS LLC (d.b.a. Nationwide Marketing Group) | Revolver Loan | 408,693 | (3,979 | ) | ||||||||||
Royal Caribbean Cruises | Revolver Loan | 65,365 | (65 | ) | ||||||||||
Royal Caribbean Cruises | Revolver Loan | 120,514 | 3,484 | |||||||||||
Tank Holding Corp. | Revolver Loan | 176,430 | (9,309 | ) | ||||||||||
Thermostat Purchaser III, Inc. | First Lien Delayed Draw Term Loan | 78,194 | (3,226 | ) | ||||||||||
USF S&H Holdco LLC | Term Loan A | 162,334 | 0 | |||||||||||
$ | 5,634,856 | $ | (323,419 | ) | ||||||||||
2023 | 2022 | |||||||||
Ordinary income* | $ | 34,769,351 | $23,387,063 | |||||||
Return of capital | 2,672,099 | – | ||||||||
Total distributions | $ | 37,441,450 | $23,387,063 |
* | Includes short-term capital gain distributions, if any. |
2023 | ||||
Net unrealized appreciation (depreciation) – investments | $ | (58,138,371 | ) | |
Net unrealized appreciation (depreciation) – foreign currencies | (340,727 | ) | ||
Temporary book/tax differences | (66,043 | ) | ||
Capital loss carryforward | (222,501,565 | ) | ||
Shares of beneficial interest | 676,651,967 | |||
Total net assets | $ | 395,605,261 | ||
Capital Loss Carryforward* | ||||||||||||||||||
Expiration | Short-Term | Long-Term | Total | |||||||||||||||
Not subject to expiration | $ | 14,393,756 | $ | 208,107,809 | $222,501,565 |
* | Capital loss carryforward is reduced for limitations, if any, to the extent required by the Internal Revenue Code and may be further limited depending upon a variety of factors, including the realization of net unrealized gains or losses as of the date of any reorganization. |
Unrealized Appreciation (Depreciation) of Investments on a Tax Basis | ||||
Aggregate unrealized appreciation of investments | $ | 28,543,162 | ||
Aggregate unrealized (depreciation) of investments | (86,681,533 | ) | ||
Net unrealized appreciation (depreciation) of investments | $ | (58,138,371 | ) | |
Principal | ||||||||||
Selling Participant | Amount | Value | ||||||||
Bank of America, N.A. | $ | 3,268,872 | $3,156,485 | |||||||
Barclays Bank PLC | 2,136,110 | 1,772,971 |
Amount Per Share | ||||
Share Class | Record Date | Payable March 31, 2023 | ||
Class A | Daily | $0.0420 | ||
Class C | Daily | $0.0384 | ||
Class Y | Daily | $0.0432 | ||
Class IB | Daily | $0.0432 | ||
Class IC | Daily | $0.0425 | ||
Percentage of | ||||||||||
outstanding shares the | Percentage of | |||||||||
Fund offered to | Number of shares | outstanding shares | ||||||||
Repurchase request deadlines | repurchase | tendered (all classes) | tendered (all classes) | |||||||
March 18, 2022 | 6.0% | 448,202 | 0.6% | |||||||
April 14, 2022 | 6.0 | 464,507 | 0.7 | |||||||
May 20, 2022 | 6.0 | 689,657 | 1.0 | |||||||
June 17, 2022 | 6.0 | 815,499 | 1.2 | |||||||
July 15, 2022 | 6.0 | 860,495 | 1.2 | |||||||
August 19, 2022 | 6.0 | 627,865 | 0.9 | |||||||
September 16, 2022 | 6.0 | 537,162 | 0.8 | |||||||
October 21, 2022 | 6.0 | 819,520 | 1.2 | |||||||
November 18, 2022 | 6.0 | 709,649 | 1.0 | |||||||
December 16, 2022 | 6.0 | 914,612 | 1.4 | |||||||
January 20, 2023 | 6.0 | 683,703 | 1.0 | |||||||
February 17, 2023 | 6.0 | 563,872 | 0.8 |
Summary of Share Activity | ||||||||||||||||||||
Year ended | Year ended | |||||||||||||||||||
February 28, 2023(a) | February 28, 2022 | |||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Sold: | ||||||||||||||||||||
Class A | 895,123 | $ | 5,540,443 | 1,138,902 | $ | 7,385,925 | ||||||||||||||
Class C | 197,424 | 1,238,609 | 411,282 | 2,694,961 | ||||||||||||||||
Class Y | 50,849 | 308,647 | 189,487 | 1,239,653 | ||||||||||||||||
Class IB | 36,722 | 218,373 | 47,195 | 301,816 | ||||||||||||||||
Class IC | 747 | 4,438 | 4,523 | 29,293 | ||||||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||||||
Class A | 515,781 | 3,057,598 | 268,472 | 1,749,239 | ||||||||||||||||
Class C | 357,480 | 2,121,998 | 185,441 | 1,211,276 | ||||||||||||||||
Class Y | 7,073 | 42,038 | 8,284 | 54,002 | ||||||||||||||||
Class IB | 2,943,496 | 17,440,366 | 1,673,065 | 10,761,089 | ||||||||||||||||
Class IC | 242,618 | 1,437,096 | 134,002 | 873,114 | ||||||||||||||||
Reacquired: | ||||||||||||||||||||
Class A | (1,962,024 | ) | (11,793,761 | ) | (1,563,896 | ) | (10,153,909 | ) | ||||||||||||
Class C | (1,336,433 | ) | (8,026,953 | ) | (1,117,433 | ) | (7,306,662 | ) | ||||||||||||
Class Y | (57,202 | ) | (341,883 | ) | (193,584 | ) | (1,256,960 | ) | ||||||||||||
Class IB | (4,459,744 | ) | (26,760,695 | ) | (5,264,266 | ) | (34,197,160 | ) | ||||||||||||
Class IC | (373,120 | ) | (2,236,439 | ) | (483,427 | ) | (3,155,918 | ) | ||||||||||||
Net increase (decrease) in share activity | (2,941,210 | ) | $ | (17,750,125 | ) | (4,561,953 | ) | $ | (29,770,241 | ) | ||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 42% of the outstanding shares of the Fund. IDI has an agreement with these entities to sell Fund shares. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, distribution, third party record keeping and account servicing. The Fund has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
HYPOTHETICAL | ||||||||||||||
(5% annual return before | ||||||||||||||
ACTUAL | expenses) | |||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||
(09/01/22) | (02/28/23)1 | Period2 | (02/28/23) | Period2 | Ratio | |||||||||
Class A | $1,000.00 | $1,036.20 | $14.19 | $1,010.86 | $14.01 | 2.81% | ||||||||
Class C | 1,000.00 | 1,030.70 | 17.92 | 1,007.14 | 17.72 | 3.56 | ||||||||
Class Y | 1,000.00 | 1,037.50 | 12.93 | 1,012.10 | 12.77 | 2.56 | ||||||||
Class IB | 1,000.00 | 1,037.50 | 12.93 | 1,012.10 | 12.77 | 2.56 | ||||||||
Class IC | 1,000.00 | 1,036.80 | 13.69 | 1,011.36 | 13.51 | 2.71 |
1 | The actual ending account value is based on the actual total return of the Fund for the period September 1, 2022 through February 28, 2023, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||||||||
Qualified Dividend Income* | 4.19 | % | ||||||||
Corporate Dividends Received Deduction* | 4.19 | % | ||||||||
U.S. Treasury Obligations* | 0.00 | % | ||||||||
Qualified Business Income* | 0.00 | % | ||||||||
Business Interest Income* | 85.92 | % | ||||||||
* The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Name, Year of Birth and Position(s) Held with the Trust | Trustee and/or Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorship(s) Held by Trustee During Past 5 Years | ||||
Interested Trustee | ||||||||
Martin L. Flanagan1 - 1960 Trustee and Vice Chair | 2014 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Trustee and Vice Chair, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Chairman and Chief Executive Officer, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, Invesco Holding Company (US), Inc. (formerly IVZ Inc.) (holding company), Invesco Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co‑Chief Executive Officer, Co‑President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 175 | None |
1 | Mr. Flanagan is considered an interested person (within the meaning of Section 2(a)(19) of the 1940 Act) of the Trust because he is an officer of the Adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the Adviser. |
Name, Year of Birth and Position(s) Held with the Trust | Trustee and/or Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorship(s) Held by Trustee During Past 5 Years | ||||
Independent Trustees | ||||||||
Beth Ann Brown - 1968 Trustee (2019) and Chair (August 2022) | 2019 | Independent Consultant Formerly: Head of Intermediary Distribution, Managing Director, Strategic Relations, Managing Director, Head of National Accounts, Senior Vice President, National Account Manager and Senior Vice President, Key Account Manager, Columbia Management Investment Advisers LLC; Vice President, Key Account Manager, Liberty Funds Distributor, Inc.; and Trustee of certain Oppenheimer Funds | 175 | Director, Board of Directors of Caron Engineering Inc.; Advisor, Board of Advisors of Caron Engineering Inc.; President and Director, Acton Shapleigh Youth Conservation Corps (non‑profit) Formerly: President and Director Director of Grahamtastic Connection (non‑profit) | ||||
Cynthia Hostetler - 1962 Trustee | 2017 | Non‑Executive Director and Trustee of a number of public and private business corporations Formerly: Director, Aberdeen Investment Funds (4 portfolios); Director, Artio Global Investment LLC (mutual fund complex); Director, Edgen Group, Inc. (specialized energy and infrastructure products distributor); Director, Genesee & Wyoming, Inc. (railroads); Head of Investment Funds and Private Equity, Overseas Private Investment Corporation; President, First Manhattan Bancorporation, Inc.; and Attorney, Simpson Thacher & Bartlett LLP | 175 | Resideo Technologies, Inc. (smart home technology); Vulcan Materials Company (construction materials company); Trilinc Global Impact Fund; Textainer Group Holdings, (shipping container leasing company); Investment Company Institute (professional organization); and Independent Directors Council (professional organization) | ||||
Eli Jones - 1961 Trustee | 2016 | Professor and Dean Emeritus, Mays Business School-Texas A&M University Formerly: Dean of Mays Business School - Texas A&M University; Professor and Dean, Walton College of Business, University of Arkansas and E.J. Ourso College of Business, Louisiana State University; and Director, Arvest Bank | 175 | Insperity, Inc. (formerly known as Administaff) (human resources provider); Board Member of the regional board, First Financial Bank Texas; and Boad Member, First Financial Bankshares, Inc. Texas (FFIN) | ||||
Elizabeth Krentzman - 1959 Trustee | 2019 | Formerly: Principal and Chief Regulatory Advisor for Asset Management Services and U.S. Mutual Fund Leader of Deloitte & Touche LLP; General Counsel of the Investment Company Institute (trade association); National Director of the Investment Management Regulatory Consulting Practice, Principal, Director and Senior Manager of Deloitte & Touche LLP; Assistant Director of the Division of Investment Management - Office of Disclosure and Investment Adviser Regulation of the U.S. Securities and Exchange Commission and various positions with the Division of Investment Management - Office of Regulatory Policy of the U.S. Securities and Exchange Commission; Associate at Ropes & Gray LLP; and Trustee of certain Oppenheimer Funds | 175 | Formerly: Member of the Cartica Funds Board of Directors (private investment fund); Trustee of the University of Florida National Board Foundation; and Member of the University of Florida Law Center Association, Inc. Board of Trustees, Audit Committee and Membership Committee | ||||
Anthony J. LaCava, Jr. - 1956 Trustee | 2019 | Formerly: Director and Member of the Audit Committee, Blue Hills Bank (publicly traded financial institution) and Managing Partner, KPMG LLP | 175 | Blue Hills Bank; Member and Chairman, Bentley University, Business School Advisory Council; and Nominating Committee, KPMG LLP | ||||
Prema Mathai-Davis - 1950 Trustee | 2014 | Retired Formerly: Co‑Founder & Partner of Quantalytics Research, LLC, (a FinTech Investment Research Platform for the Self-Directed Investor); Trustee of YWCA Retirement Fund; CEO of YWCA of the USA; Board member of the NY Metropolitan Transportation Authority; Commissioner of the NYC Department of Aging; and Board member of Johns Hopkins Bioethics Institute | 175 | Member of Board of Positive Planet US (non‑profit) and HealthCare Chaplaincy Network (non‑profit) |
Name, Year of Birth and Position(s) Held with the Trust | Trustee and/or Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorship(s) Held by Trustee During Past 5 Years | ||||
Independent Trustees–(continued) | ||||||||
Joel W. Motley - 1952 Trustee | 2019 | Director of Office of Finance, Federal Home Loan Bank System; Managing Director of Carmona Motley Inc. (privately held financial advisor); Member of the Council on Foreign Relations and its Finance and Budget Committee; Chairman Emeritus of Board of Human Rights Watch and Member of its Investment Committee; and Member of Investment Committee Board of Historic Hudson Valley (non‑profit cultural organization); Member of the Board, Blue Ocean Acquisition Corp.; and Member of the Vestry and the Investment Committee of Trinity Church Wall Street. Formerly: Managing Director of Public Capital Advisors, LLC (privately held financial advisor); Managing Director of Carmona Motley Hoffman, Inc. (privately held financial advisor); Trustee of certain Oppenheimer Funds; and Director of Columbia Equity Financial Corp. (privately held financial advisor) | 175 | Member of Board of Trust for Mutual Understanding (non‑profit promoting the arts and environment); Member of Board of Greenwall Foundation (bioethics research foundation) and its Investment Committee; Member of Board of Friends of the LRC (non-profit legal advocacy); and Board Member and Investment Committee Member of Pulitzer Center for Crisis Reporting (non‑profit journalism) | ||||
Teresa M. Ressel - 1962 Trustee | 2017 | Non‑executive director and trustee of a number of public and private business corporations Formerly: Chief Executive Officer, UBS Securities LLC (investment banking); Chief Operating Officer, UBS AG Americas (investment banking); Sr. Management Team Olayan America, The Olayan Group (international investor/commercial/industrial); and Assistant Secretary for Management & Budget and Designated Chief Financial Officer, U.S. Department of Treasury | 175 | None | ||||
Robert C. Troccoli - 1949 Trustee | 2016 | Retired Formerly: Adjunct Professor, University of Denver - Daniels College of Business; and Managing Partner, KPMG LLP | 175 | None | ||||
Daniel S. Vandivort -1954 Trustee | 2019 | President, Flyway Advisory Services LLC (consulting and property management) Formerly: President and Chief Investment Officer, previously Head of Fixed Income, Weiss Peck and Greer/Robeco Investment Management; Trustee and Chair, Weiss Peck and Greer Funds Board; and various capacities at CS First Boston including Head of Fixed Income at First Boston Asset Management. | 175 | Formerly: Trustee and Governance Chair, Oppenheimer Funds; Treasurer, Chairman of the Audit and Finance Committee, Huntington Disease Foundation of America |
Name, Year of Birth and Position(s) Held with the Trust | Trustee and/or Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorship(s) Held by Trustee During Past 5 Years | ||||
Officers | ||||||||
Sheri Morris - 1964 President and Principal Executive Officer | 2010 | Director, Invesco Trust Company; Head of Global Fund Services, Invesco Ltd.; President and Principal Executive Officer, The Invesco Funds; Vice President, Invesco Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust II, Invesco India Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Commodity Fund Trust and Invesco Exchange-Traded Self-Indexed Fund Trust; and Vice President, OppenheimerFunds, Inc. Formerly: Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; Vice President, Invesco AIM Advisers, Inc., Invesco AIM Capital Management, Inc. and Invesco AIM Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds; Vice President and Assistant Vice President, Invesco Advisers, Inc.; Assistant Vice President, Invesco AIM Capital Management, Inc. and Invesco AIM Private Asset Management, Inc.; Treasurer, Invesco Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust II, Invesco India Exchange-Traded Fund Trust and Invesco Actively Managed Exchange-Traded Fund Trust; and Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) | N/A | N/A | ||||
Melanie Ringold - 1975 Senior Vice President, Chief Legal Officer and Secretary | 2023 | Head of Legal of the Americas, Invesco Ltd.; Senior Vice President and Secretary, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Secretary, Invesco Distributors, Inc. (formerly known as Invesco AIM Distributors, Inc.); Secretary, Invesco Investment Services, Inc. (formerly known as Invesco AIM Investment Services, Inc.); Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Secretary, Invesco Investment Advisers LLC, Invesco Capital Markets, Inc.; Chief Legal Officer, Invesco Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust II, Invesco India Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Commodity Fund Trust and Invesco Exchange-Traded Self-Indexed Fund Trust;Secretary and Vice President, Harbourview Asset Management Corporation; Secretary and Senior Vice President, OppenheimerFunds, Inc. and Invesco Managed Accounts, LLC; Secretary and Senior Vice President, OFI SteelPath, Inc.; Secretary and Senior Vice President, Oppenheimer Acquisition Corp.; Secretary, SteelPath Funds Remediation LLC; and Secretary and Senior Vice President, Trinity Investment Management Corporation Formerly: Assistant Secretary, Invesco Distributors, Inc.; Invesco Advisers, Inc. Invesco Investment Services, Inc., Invesco Capital Markets, Inc., Invesco Capital Management LLC and Invesco Investment Advisers LLC; and Assistant Secretary and Investment Vice President, Invesco Funds | N/A | N/A | ||||
Andrew R. Schlossberg - 1974 Senior Vice President | 2019 | Senior Vice President, Invesco Group Services, Inc.; Head of the Americas and Senior Managing Director, Invesco Ltd.; Director and Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco AIM Investment Services, Inc.) (registered transfer agent); Senior Vice President, The Invesco Funds; and Director, Invesco Investment Advisers LLC (formerly known as Van Kampen Asset Management) Formerly: Director, President and Chairman, Invesco Insurance Agency, Inc.; Director, Invesco UK Limited; Director and Chief Executive, Invesco Asset Management Limited and Invesco Fund Managers Limited; Assistant Vice President, The Invesco Funds; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director and Chief Executive, Invesco Administration Services Limited and Invesco Global Investment Funds Limited; Director, Invesco Distributors, Inc.; Head of EMEA, Invesco Ltd.; President, Invesco Actively Managed Exchange-Traded Commodity Fund Trust, Invesco Actively Managed Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust II and Invesco India Exchange-Traded Fund Trust; and Managing Director and Principal Executive Officer, Invesco Capital Management LLC | N/A | N/A |
Name, Year of Birth and Position(s) Held with the Trust | Trustee and/or Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorship(s) Held by Trustee During Past 5 Years | ||||
Officers–(continued) | ||||||||
John M. Zerr - 1962 Senior Vice President | 2010 | Chief Operating Officer of the Americas; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President, Invesco Distributors, Inc. (formerly known as Invesco AIM Distributors, Inc.); Director and Vice President, Invesco Investment Services, Inc. (formerly known as Invesco AIM Investment Services, Inc.) Senior Vice President, The Invesco Funds; Managing Director, Invesco Capital Management LLC; Director, Invesco Investment Advisers LLC (formerly known as Van Kampen Asset Management); Senior Vice President, Invesco Capital Markets, Inc. (formerly known as Van Kampen Funds Inc.); Manager, Invesco Indexing LLC; Manager, Invesco Specialized Products, LLC; Member, Invesco Canada Funds Advisory Board; Director, President and Chief Executive Officer, Invesco Corporate Class Inc. (corporate mutual fund company); and Director, Chairman, President and Chief Executive Officer, Invesco Canada Ltd. (formerly known as Invesco Trimark Ltd./Invesco Trimark Ltèe) (registered investment adviser and registered transfer agent); President, Invesco, Inc.; President, Invesco Global Direct Real Estate Feeder GP Ltd.; President, Invesco IP Holdings (Canada) Ltd; President, Invesco Global Direct Real Estate GP Ltd.; President, Invesco Financial Services Ltd. / Services Financiers Invesco Ltée; and Director and Chairman, Invesco Trust Company Formerly: President, Trimark Investments Ltd/Services Financiers Invesco Ltee; Director and Senior Vice President, Invesco Insurance Agency, Inc.; Director and Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco AIM Management Group, Inc.); Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco AIM Management Group, Inc.); Secretary, Invesco Investment Services, Inc. (formerly known as Invesco AIM Investment Services, Inc.); Chief Legal Officer and Secretary, The Invesco Funds; Secretary and General Counsel, Invesco Investment Advisers LLC (formerly known as Van Kampen Asset Management); Secretary and General Counsel, Invesco Capital Markets, Inc. (formerly known as Van Kampen Funds Inc.); Chief Legal Officer, Invesco Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust II, Invesco India Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Commodity Fund Trust and Invesco Exchange-Traded Self-Indexed Fund Trust; Secretary, Invesco Indexing LLC; Director, Secretary, General Counsel and Senior Vice President, Van Kampen Exchange Corp.; Director, Vice President and Secretary, IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Director and Vice President, Van Kampen Advisors Inc.; Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.;Director and Secretary, Invesco Distributors, Inc. (formerly known as Invesco AIM Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco AIM Advisers, Inc. and Van Kampen Investments Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco AIM Capital Management, Inc.; and Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser) | N/A | N/A | ||||
Gregory G. McGreevey - 1962 Senior Vice President | 2012 | Senior Managing Director, Invesco Ltd.; Director, Chairman, President, and Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Invesco Mortgage Capital, Inc. and Invesco Senior Secured Management, Inc.; Senior Vice President, The Invesco Funds; President, SNW Asset Management Corporation and Invesco Managed Accounts, LLC; Chairman and Director, Invesco Private Capital, Inc.; Chairman and Director, INVESCO Private Capital Investments, Inc.; Chairman and Director, INVESCO Realty, Inc.; and Senior Vice President, Invesco Group Services, Inc. Formerly: Senior Vice President, Invesco Management Group, Inc. and Invesco Advisers, Inc.; Assistant Vice President, The Invesco Funds | N/A | N/A | ||||
Adrien Deberghes- 1967 Principal Financial Officer, Treasurer and Vice President | 2020 | Head of the Fund Office of the CFO and Fund Administration; Vice President, Invesco Advisers, Inc.; Principal Financial Officer, Treasurer and Vice President, The Invesco Funds; Vice President, Invesco Exchange-Traded Fund Trust, Invesco Exchange-Traded Fund Trust II, Invesco India Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Fund Trust, Invesco Actively Managed Exchange-Traded Commodity Fund Trust and Invesco Exchange-Traded Self-Indexed Fund Trust Formerly: Senior Vice President and Treasurer, Fidelity Investments | N/A | N/A | ||||
Crissie M. Wisdom - 1969 Anti-Money Laundering Compliance Officer | 2013 | Anti-Money Laundering and OFAC Compliance Officer for Invesco U.S. entities including: Invesco Advisers, Inc. and its affiliates, Invesco Capital Markets, Inc., Invesco Distributors, Inc., Invesco Investment Services, Inc., The Invesco Funds, Invesco Capital Management, LLC, Invesco Trust Company; and Fraud Prevention Manager for Invesco Investment Services, Inc. | N/A | N/A |
Name, Year of Birth and Position(s) Held with the Trust | Trustee and/or Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorship(s) Held by Trustee During Past 5 Years | ||||
Officers–(continued) | ||||||||
Todd F. Kuehl - 1969 Chief Compliance Officer and Senior Vice President | 2020 | Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser); and Chief Compliance Officer and Senior Vice President, The Invesco Funds Formerly: Managing Director and Chief Compliance Officer, Legg Mason (Mutual Funds); Chief Compliance Officer, Legg Mason Private Portfolio Group (registered investment adviser) | N/A | N/A | ||||
James Bordewick, Jr. - 1959 Senior Vice President and Senior Officer | 2022 | Senior Vice President and Senior Officer, The Invesco Funds Formerly: Chief Legal Officer, KingsCrowd, Inc. (research and analytical platform for investment in private capital markets); Chief Operating Officer and Head of Legal and Regulatory, Netcapital (private capital investment platform); Managing Director, General Counsel of asset management and Chief Compliance Officer for asset management and private banking, Bank of America Corporation; Chief Legal Officer, Columbia Funds and BofA Funds; Senior Vice President and Associate General Counsel, MFS Investment Management; Chief Legal Officer, MFS Funds; Associate, Ropes & Gray; and Associate, Gaston Snow & Ely Bartlett | N/A | N/A |
Office of the Fund | Investment Adviser | Distributor | Auditors | |||
1331 Spring Street NW, Suite 2500 | Invesco Advisers, Inc. | Invesco Distributors, Inc. | PricewaterhouseCoopers LLP | |||
Atlanta, GA 30309 | 1331 Spring Street NW, Suite 2500 | 11 Greenway Plaza, Suite 1000 | 1000 Louisiana Street, Suite 5800 | |||
Atlanta, GA 30309 | Houston, TX 77046-1173 | Houston, TX 77002-5021 | ||||
Counsel to the Fund | Investment Sub‑Adviser | Transfer Agent | Custodian | |||
Stradley Ronon Stevens & Young, LLP | Invesco Senior Secured Management, Inc. | Invesco Investment Services, Inc. | State Street Bank and Trust Company | |||
2005 Market Street, Suite 2600 | 225 Liberty Street | 11 Greenway Plaza, Suite 1000 | 225 Franklin Street | |||
Philadelphia, PA 19103-7018 | New York, NY 10281 | Houston, TX 77046-1173 | Boston, MA 02110-2801 | |||
Counsel to the Independent Trustees | ||||||
Sidley Austin LLP | ||||||
787 Seventh Avenue | ||||||
New York, NY 10019 |
![LOGO](https://capedge.com/proxy/N-CSR/0001193125-23-133728/g475926dsp52a.jpg)
![LOGO](https://capedge.com/proxy/N-CSR/0001193125-23-133728/g475926page52.jpg)
SEC file number(s): 811‑05845 | Invesco Distributors, Inc. | VK‑SLO‑AR‑1 |
(b) Not applicable.
ITEM 2. | CODE OF ETHICS. |
There were no amendments to the Code of Ethics (the “Code”) that applies to the Registrant’s Principal Executive Officer (“PEO”) and Principal Financial Officer (“PFO”) during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the PEO or PFO during the period covered by this report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its Audit Committee. The Audit Committee financial experts are Cynthia Hostetler, Anthony J. LaCava, Jr., and Robert C. Troccoli. Cynthia Hostetler, Anthony J. LaCava, Jr., and Robert C. Troccoli are “independent” within the meaning of that term as used in Form N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Pursuant to PCAOB Rule 3526, Communication with Audit Committees Concerning Independence, PricewaterhouseCoopers LLC (“PwC”) advised the Registrant’s Audit Committee of the following two matters identified since the previous annual Form N-CSR filing that may be reasonably thought to bear on PwC’s independence. PwC advised the Audit Committee that one PwC Partner held a financial interest directly in an investment company within the complex that includes the Funds as well as all registered investment companies advised by the Adviser and its affiliates, including other subsidiaries of the Adviser’s parent company, Invesco Ltd. (collectively the “Invesco Funds Investment Company Complex”) that was inconsistent with the requirements of Rule 2-01(c)(1) of SEC Regulation S-X. In reporting the matter to the Audit Committee, PwC noted, among other things, that the impermissible holding was disposed of by the individual, the individual was not in the chain of command of the audit or the audit partners of the Funds, the financial interest was not material to the net worth of the individual or his or her respective immediate family members and the Funds’ audit engagement team was unaware of the impermissible holdings until after the matter was confirmed to be an independence exception . In addition, PwC considered that the PwC Partner provided non-audit services that were not relied upon by the audit engagement team in the audits of the financial statements of the Funds. Based on the mitigating factors noted above, PwC advised the Audit Committee that it concluded that its objectivity and impartiality with respect to all issues encompassed within the audit engagement has not been impaired and it believes that a reasonable investor with knowledge of all relevant facts and circumstances for the violations would conclude PwC is capable of exercising objective and impartial judgment on all issues encompassed within the audits of the financial statements of the Funds in the Registrant for the impacted periods.
(a) to (d)
Fees Billed by PwC Related to the Registrant
PwC billed the Registrant aggregate fees for services rendered to the Registrant for the last two fiscal years as shown in the following table. The Audit Committee pre-approved all audit and non-audit services provided to the Registrant.
Fees Billed for Services Rendered to the Registrant for fiscal year end 2023 | Fees Billed for Services Rendered to the Registrant for fiscal year end 2022 | |||
| ||||
Audit Fees | $ 106,683 | $ 103,075 | ||
Audit-Related Fees(1) | $ 14,500 | $ 14,500 | ||
Tax Fees(2) | $ 15,053 | $ 18,020 | ||
All Other Fees | $ 0 | $ 0 | ||
Total Fees | $ 136,236 | $ 135,595 |
(1) | Audit-Related Fees for the fiscal years ended February 28, 2023 and February 28, 2022 includes fees billed for reviewing regulatory filings. |
(2) | Tax Fees for the fiscal years ended February 28, 2023 and February 28, 2022 includes fees billed for preparation of U.S. Tax Returns and Taxable Income calculations, including excise tax and year-to-date estimates for various book-to-tax differences. |
Fees Billed by PwC Related to Invesco and Invesco Affiliates
PwC billed Invesco Advisers, Inc. (“Invesco”), the Registrant’s adviser, and any entity controlling, controlled by or under common control with Invesco that provides ongoing services to the Registrant (“Invesco Affiliates”) aggregate fees for pre-approved non-audit services rendered to Invesco and Invesco Affiliates for the last two fiscal years as shown in the following table. The Audit Committee pre-approved all non-audit services provided to Invesco and Invesco Affiliates that were required to be pre-approved.
Fees Billed for Non-Audit to be Pre-Approved by the Registrant’s Audit Committee | Fees Billed for Non-Audit 2022 That Were Required to be Pre-Approved by the Registrant’s Audit Committee | |||
Audit-Related Fees(1) | $ 874,000 | $ 801,000 | ||
Tax Fees | $ 0 | $ 0 | ||
All Other Fees | $ 0 | $ 0 | ||
Total Fees | $ 874,000 | $ 801,000 |
(1) | Audit-Related Fees for the fiscal years ended 2023 and 2022 include fees billed related to reviewing controls at a service organization. |
(e)(1)
PRE-APPROVAL OF AUDIT AND NON-AUDIT SERVICES
POLICIES AND PROCEDURES
As adopted by the Audit Committees
of the Invesco Funds (the “Funds”)
Last Amended March 29, 2017
I. | Statement of Principles |
The Audit Committees (the “Audit Committee”) of the Boards of Trustees of the Funds (the “Board”) have adopted these policies and procedures (the “Procedures”) with respect to the pre-approval of audit and non-audit services to be provided by the Funds’ independent auditor (the “Auditor”) to the Funds, and to the Funds’ investment adviser(s) and any entity controlling, controlled by, or under common control with the investment adviser(s) that provides ongoing services to the Funds (collectively, “Service Affiliates”).
Under Section 202 of the Sarbanes-Oxley Act of 2002, all audit and non-audit services provided to the Funds by the Auditor must be preapproved by the Audit Committee. Rule 2-01 of Regulation S-X requires that the Audit Committee also pre-approve a Service Affiliate’s engagement of the Auditor for non-audit services if the engagement relates directly to the operations and financial reporting of the Funds (a “Service Affiliate’s Covered Engagement”).
These Procedures set forth the procedures and the conditions pursuant to which the Audit Committee may pre-approve audit and non-audit services for the Funds and a Service Affiliate’s Covered Engagement pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”) and other organizations and regulatory bodies applicable to the Funds (“Applicable Rules”).1 They address both general pre-approvals without consideration of specific case-by-case services (“general pre-approvals”) and pre-approvals on a case-by-case basis (“specific pre-approvals”). Any services requiring pre-approval that are not within the scope of general pre-approvals hereunder are subject to specific pre-approval. These Procedures also address the delegation by the Audit Committee of pre-approval authority to the Audit Committee Chair or Vice Chair.
II. | Pre-Approval of Fund Audit Services |
The annual Fund audit services engagement, including terms and fees, is subject to specific pre-approval by the Audit Committee. Audit services include the annual financial statement audit and other procedures required to be performed by an independent auditor to be able to form an opinion on the Funds’ financial statements. The Audit Committee will receive, review and consider sufficient information concerning a proposed Fund audit engagement to make a reasonable evaluation of the Auditor’s qualifications and independence. The Audit Committee will oversee the Fund audit services engagement as necessary, including approving any changes in terms, audit scope, conditions and fees.
In addition to approving the Fund audit services engagement at least annually and specifically approving any changes, the Audit Committee may generally or specifically pre-approve engagements for other audit services, which are those services that only an independent auditor reasonably can provide. Other audit services may include services associated with SEC registration statements, periodic reports and other documents filed with the SEC.
1 Applicable Rules include, for example, New York Stock Exchange (“NYSE”) rules applicable to closed-end funds managed by Invesco and listed on NYSE.
III. | General and Specific Pre-Approval of Non-Audit Fund Services |
The Audit Committee will consider, at least annually, the list of General Pre-Approved Non-Audit Services which list may be terminated or modified at any time by the Audit Committee. To inform the Audit Committee’s review and approval of General Pre-Approved Non-Audit Services, the Funds’ Treasurer (or his or her designee) and Auditor shall provide such information regarding independence or other matters as the Audit Committee may request.
Any services or fee ranges that are not within the scope of General Pre-Approved Non-Audit Services have not received general pre-approval and require specific pre-approval. Each request for specific pre-approval by the Audit Committee for services to be provided by the Auditor to the Funds must be submitted to the Audit Committee by the Funds’ Treasurer (or his or her designee) and must include detailed information about the services to be provided, the fees or fee ranges to be charged, and other relevant information sufficient to allow the Audit Committee to consider whether to pre-approve such engagement, including evaluating whether the provision of such services will impair the independence of the Auditor and is otherwise consistent with Applicable Rules.
IV. | Non-Audit Service Types |
The Audit Committee may provide either general or specific pre-approval of audit-related, tax or other services, each as described in more detail below.
a. | Audit-Related Services |
“Audit-related services” are assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements or that are traditionally performed by an independent auditor. Audit-related services include, among others, accounting consultations related to accounting, financial reporting or disclosure matters not classified as “Audit services”; assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; services related to mergers, acquisitions or dispositions; compliance with ratings agency requirements and interfund lending activities; and assistance with internal control reporting requirements.
b. | Tax Services |
“Tax services” include, but are not limited to, the review and signing of the Funds’ federal tax returns, the review of required distributions by the Funds and consultations regarding tax matters such as the tax treatment of new investments or the impact of new regulations. The Audit Committee will not approve proposed services of the Auditor which the Audit Committee believes are to be provided in connection with a service or transaction initially recommended by the Auditor, the sole business purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee will consult with the Funds’ Treasurer (or his or her designee) and may consult with outside counsel or advisers as necessary to ensure the consistency of tax services rendered by the Auditor with the foregoing policy. The Auditor shall not represent any Fund or any Service Affiliate before a tax court, district court or federal court of claims.
Each request to provide tax services under either the general or specific pre-approval of the Audit Committee will include a description from the Auditor in writing of (i) the scope of the service, the fee structure for the engagement, and any side letter or other amendment to the engagement letter, or any other agreement (whether oral, written, or otherwise) between the Auditor and the Funds, relating to the service;
and (ii) any compensation arrangement or other agreement, such as a referral agreement, a referral fee or fee-sharing arrangement, between the Auditor (or an affiliate of the Auditor) and any person (other than the Funds or Service Affiliates receiving the services) with respect to the promoting, marketing, or recommending of a transaction covered by the service. The Auditor will also discuss with the Audit Committee the potential effects of the services on the independence of the Auditor, and document the substance of its discussion with the Audit Committee.
c. | Other Services |
The Audit Committee may pre-approve other non-audit services so long as the Audit Committee believes that the service will not impair the independence of the Auditor. Appendix I includes a list of services that the Auditor is prohibited from performing by the SEC rules. Appendix I also includes a list of services that would impair the Auditor’s independence unless the Audit Committee reasonably concludes that the results of the services will not be subject to audit procedures during an audit of the Funds’ financial statements.
V. | Pre-Approval of Service Affiliate’s Covered Engagements |
Rule 2-01 of Regulation S-X requires that the Audit Committee pre-approve a Service Affiliate’s engagement of the Auditor for non-audit services if the engagement relates directly to the operations and financial reporting of the Funds, defined above as a “Service Affiliate’s Covered Engagement”.
The Audit Committee may provide either general or specific pre-approval of any Service Affiliate’s Covered Engagement, including for audit-related, tax or other services, as described above, if the Audit Committee believes that the provision of the services to a Service Affiliate will not impair the independence of the Auditor with respect to the Funds. Any Service Affiliate’s Covered Engagements that are not within the scope of General Pre-Approved Non-Audit Services have not received general pre-approval and require specific pre-approval.
Each request for specific pre-approval by the Audit Committee of a Service Affiliate’s Covered Engagement must be submitted to the Audit Committee by the Funds’ Treasurer (or his or her designee) and must include detailed information about the services to be provided, the fees or fee ranges to be charged, a description of the current status of the pre-approval process involving other audit committees in the Invesco investment company complex (as defined in Rule 2-201 of Regulation S-X) with respect to the proposed engagement, and other relevant information sufficient to allow the Audit Committee to consider whether the provision of such services will impair the independence of the Auditor from the Funds. Additionally, the Funds’ Treasurer (or his or her designee) and the Auditor will provide the Audit Committee with a statement that the proposed engagement requires pre-approval by the Audit Committee, the proposed engagement, in their view, will not impair the independence of the Auditor and is consistent with Applicable Rules, and the description of the proposed engagement provided to the Audit Committee is consistent with that presented to or approved by the Invesco audit committee.
Information about all Service Affiliate engagements of the Auditor for non-audit services, whether or not subject to pre-approval by the Audit Committee, shall be provided to the Audit Committee at least quarterly, to allow the Audit Committee to consider whether the provision of such services is compatible with maintaining the Auditor’s independence from the Funds. The Funds’ Treasurer and Auditor shall provide the Audit Committee with sufficiently detailed information about the scope of services provided and the fees for such services, to ensure that the Audit Committee can adequately consider whether the provision of such services is compatible with maintaining the Auditor’s independence from the Funds.
VI. | Pre-Approved Fee Levels or Established Amounts |
Pre-approved fee levels or ranges for audit and non-audit services to be provided by the Auditor to the Funds, and for a Service Affiliate’s Covered Engagement, under general pre-approval or specific pre-approval will be set periodically by the Audit Committee. Any proposed fees exceeding 110% of the maximum pre-approved fee levels or ranges for such services or engagements will be promptly presented to the Audit Committee and will require specific pre-approval by the Audit Committee before payment of any additional fees is made.
VII. | Delegation |
The Audit Committee hereby delegates, subject to the dollar limitations set forth below, specific authority to its Chair, or in his or her absence, Vice Chair, to pre-approve audit and non-audit services proposed to be provided by the Auditor to the Funds and/or a Service Affiliate’s Covered Engagement, between Audit Committee meetings. Such delegation does not preclude the Chair or Vice Chair from declining, on a case by case basis, to exercise his or her delegated authority and instead convening the Audit Committee to consider and pre-approve any proposed services or engagements.
Notwithstanding the foregoing, the Audit Committee must pre-approve: (a) any non-audit services to be provided to the Funds for which the fees are estimated to exceed $500,000; (b) any Service Affiliate’s Covered Engagement for which the fees are estimated to exceed $500,000; or (c) any cost increase to any previously approved service or engagement that exceeds the greater of $250,000 or 50% of the previously approved fees up to a maximum increase of $500,000.
VIII. | Compliance with Procedures |
Notwithstanding anything herein to the contrary, failure to pre-approve any services or engagements that are not required to be pre-approved pursuant to the de minimis exception provided for in Rule 2-01(c)(7)(i)(C) of Regulation S-X shall not constitute a violation of these Procedures. The Audit Committee has designated the Funds’ Treasurer to ensure services and engagements are pre-approved in compliance with these Procedures. The Funds’ Treasurer will immediately report to the Chair of the Audit Committee, or the Vice Chair in his or her absence, any breach of these Procedures that comes to the attention of the Funds’ Treasurer or any services or engagements that are not required to be pre-approved pursuant to the de minimis exception provided for in Rule 2-01(c)(7)(i)(C) of Regulation S-X.
On at least an annual basis, the Auditor will provide the Audit Committee with a summary of all non-audit services provided to any entity in the investment company complex (as defined in section 2-01(f)(14) of Regulation S-X, including the Funds and Service Affiliates) that were not pre-approved, including the nature of services provided and the associated fees.
IX. | Amendments to Procedures |
All material amendments to these Procedures must be approved in advance by the Audit Committee. Non-material amendments to these Procedures may be made by the Legal and Compliance Departments and will be reported to the Audit Committee at the next regularly scheduled meeting of the Audit Committee.
Appendix I
Non-Audit Services That May Impair the Auditor’s Independence
The Auditor is not independent if, at any point during the audit and professional engagement, the Auditor provides the following non-audit services:
● | Management functions; |
● | Human resources; |
● | Broker-dealer, investment adviser, or investment banking services; |
● | Legal services; |
● | Expert services unrelated to the audit; |
● | Any service or product provided for a contingent fee or a commission; |
● | Services related to marketing, planning, or opining in favor of the tax treatment of confidential transactions or aggressive tax position transactions, a significant purpose of which is tax avoidance; |
● | Tax services for persons in financial reporting oversight roles at the Fund; and |
● | Any other service that the Public Company Oversight Board determines by regulation is impermissible. |
An Auditor is not independent if, at any point during the audit and professional engagement, the Auditor provides the following non-audit services unless it is reasonable to conclude that the results of the services will not be subject to audit procedures during an audit of the Funds’ financial statements:
● | Bookkeeping or other services related to the accounting records or financial statements of the audit client; |
● | Financial information systems design and implementation; |
● | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports; |
● | Actuarial services; and |
● | Internal audit outsourcing services. |
(e)(2) There were no amounts that were pre-approved by the Audit Committee pursuant to the de minimus exception under Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) In addition to the amounts shown in the tables above, PwC billed Invesco and Invesco Affiliates aggregate fees of $8,440,000 for the fiscal year ended February 28, 2023 and $5,931,000 for the fiscal year ended February 28, 2022. In total, PwC billed the Registrant, Invesco and Invesco Affiliates aggregate non-audit fees of $9,329,053 for the fiscal year ended February 28, 2023 and $6,750,020 for the fiscal year ended February 28, 2022.
PwC provided audit services to the Investment Company complex of approximately $32 million.
(h) The Audit Committee also has considered whether the provision of non-audit services that were rendered to Invesco and Invesco Affiliates that were not required to be pre-approved pursuant to SEC regulations, if any, is compatible with maintaining PwC’s independence.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Investments in securities of unaffiliated issuers is included as part of the reports to stockholders filed under Item 1 of this Form.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Proxy Voting
1 Invesco entities with specific conflicts of interest policies
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT COMPANIES. |
As of February 28, 2023, the following individuals are jointly and primarily responsible for the day-to-day management of the Trust:
● | Scott Baskind, Portfolio Manager, who has been responsible for the Trust since 2013 and has been associated with Invesco Senior Secured and/or its affiliates since 1999. |
● | Thomas Ewald, Portfolio Manager, who has been responsible for the Trust since 2010 and has been associated with Invesco Senior Secured and/or its affiliates since 2000. |
● | Philip Yarrow, Portfolio Manager, who has been responsible for the Trust (or the predecessor Trust) since 2007 and has been associated with Invesco Senior Secured and/or its affiliates since 2010. |
Portfolio Manager Fund Holdings and Information on Other Managed Accounts
Invesco’s portfolio managers develop investment models which are used in connection with the management of certain Invesco Funds as well as other mutual funds for which Invesco or an affiliate acts as sub-adviser, other pooled investment vehicles that are not registered mutual funds, and other accounts managed for organizations and individuals. The ‘Investments’ chart reflects the portfolio managers’ investments in the Fund(s) that they manage and includes investments in the Fund’s shares beneficially owned by a portfolio manager, as determined in accordance with Rule 16a-1(a)(2) under the Securities Exchange Act of 1934, as amended (beneficial ownership includes ownership by a portfolio manager’s immediate family members sharing the same household). The ‘Assets Managed’ chart reflects information regarding accounts other than the Funds for which each portfolio manager has day-to-day management responsibilities. Accounts are grouped into three categories: (i) other registered investment companies; (ii) other pooled investment vehicles; and (iii) other accounts. To the extent that any of these accounts pay advisory fees that are based on account performance (performance-based fees), information on those accounts is specifically noted. In addition, any assets denominated in foreign currencies have been converted into U.S. dollars using the exchange rates as of the applicable date.
Investments
The following information is as of February 28, 2023 (unless otherwise noted):
Portfolio Managers | Dollar Range of Investments in the Fund
| |||
Invesco Senior Loan Fund
| ||||
Scott Baskind | None | |||
Thomas Ewald | None | |||
Philip Yarrow | None |
Assets Managed
The following information is as of February 28, 2023 (unless otherwise noted):
Portfolio Managers | Other Registered Investment Companies Managed | Other Pooled Investment Vehicles Managed | Other Accounts Managed | |||||||||||
Number of Accounts | Assets (in millions) | Number of Accounts | Assets (in millions) | Number of Accounts | Assets (in millions) | |||||||||
Invesco Senior Loan Fund | ||||||||||||||
Scott Baskind | 5 | $8,738.2 | 6 | $5,002.5 | 16 | $6,896.9 | ||||||||
Thomas Ewald | 5 | $8,045.8 | 4 | $4,648.6 | 15 | $6,791.0 | ||||||||
Philip Yarrow | 5 | $8,045.8 | 4 | $4,648.6 | 16 | $6,896.9 |
Potential Conflicts of Interest
Actual or apparent conflicts of interest may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one Fund or other account. More specifically, portfolio managers who manage multiple Funds and/or other accounts may be presented with one or more of the following potential conflicts:
Ø | The management of multiple Funds and/or other accounts may result in a portfolio manager devoting unequal time and attention to the management of each Fund and/or other account. The Adviser and each Sub-Adviser seek to manage such competing interests for the time and attention of portfolio managers by having portfolio managers focus on a particular investment discipline. Most other accounts managed by a portfolio manager are managed using the same investment models that are used in connection with the management of the Funds. |
Ø | If a portfolio manager identifies a limited investment opportunity which may be suitable for more than one Fund or other account, a Fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible Funds and other accounts. To deal with these situations, the Adviser, each Sub-Adviser and the Funds have adopted procedures for allocating portfolio transactions across multiple accounts. |
Ø | The Adviser and each Sub-Adviser determine which broker to use to execute each order for securities transactions for the Funds, consistent with its duty to seek best execution of the transaction. However, for certain other accounts (such as mutual funds for which Invesco or an affiliate acts as sub-adviser, other pooled investment vehicles that are not registered mutual funds, and other accounts managed for organizations and individuals), the Adviser and each Sub-Adviser may be limited by the client with respect to the selection of brokers or may be instructed to direct trades through a particular broker. In these cases, trades for a Fund in a particular security may be placed separately from, rather than aggregated with, such other accounts. Having separate transactions with respect to a security may temporarily affect the market price of the security or the execution of the transaction, or both, to the possible detriment of the Fund or other account(s) involved. |
Ø | Finally, the appearance of a conflict of interest may arise where the Adviser or Sub-Adviser has an incentive, such as a performance-based management fee, which relates to the management of one Fund or account but not all Funds and accounts for which a portfolio manager has day-to-day management responsibilities. None of the Invesco Fund accounts managed have a performance fee. |
The Adviser, each Sub-Adviser, and the Funds have adopted certain compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.
Description of Compensation Structure
For the Adviser and each Sub-Adviser
The Adviser and each Sub-Adviser seek to maintain a compensation program that is competitively positioned to attract and retain high-caliber investment professionals. Portfolio managers receive a base salary, an incentive cash bonus opportunity and a deferred compensation opportunity. Portfolio manager compensation is reviewed and may be modified each year as appropriate to reflect changes in the market, as well as to adjust the factors used to determine bonuses to promote competitive Fund performance. The Adviser and each Sub-Adviser evaluate competitive market compensation by reviewing compensation survey results conducted by an independent third party of investment industry compensation. Each portfolio manager’s compensation consists of the following three elements:
Base Salary. Each portfolio manager is paid a base salary. In setting the base salary, the Adviser and each Sub-Adviser’s intention is to be competitive in light of the particular portfolio manager’s experience and responsibilities.
Annual Bonus. The portfolio managers are eligible, along with other employees of the Adviser and each Sub-Adviser, to participate in a discretionary year-end bonus pool. The Compensation Committee of Invesco Ltd. reviews and approves the firm-wide bonus pool based upon progress against strategic objectives and annual operating plan, including investment performance and financial results. In addition, while having no direct impact on individual bonuses, assets under management are considered when determining the starting bonus funding levels. Each portfolio manager is eligible to receive an annual cash bonus which is based on quantitative (i.e. investment performance) and non-quantitative factors (which may include, but are not limited to, individual performance, risk management and teamwork).
Each portfolio manager’s compensation is linked to the pre-tax investment performance of the Funds/accounts managed by the portfolio manager as described in Table 1 below.
Table 1
Sub-Adviser | Performance time period1 | |
Invesco 2 Invesco Canada2 Invesco Deutschland2 Invesco Hong Kong2 Invesco Asset Management2 Invesco India2 Invesco Listed Real Assets Division2 | One-, Three- and Five-year performance against Fund peer group | |
Invesco Senior Secured2,3 Invesco Capital2,4 | Not applicable | |
Invesco Japan | One-, Three- and Five-year performance |
High investment performance (against applicable peer group and/or benchmarks) would deliver compensation generally associated with top pay in the industry (determined by reference to the third-party provided compensation survey information) and poor investment performance (versus applicable peer group) would result in low bonus compared to the applicable peer group or no bonus at all. These decisions are reviewed and approved collectively by senior leadership which has responsibility for executing the compensation approach across the organization.
With respect to Invesco Capital, there is no policy regarding, or agreement with, the Portfolio Managers or any other senior executive of the Adviser to receive bonuses or any other compensation in connection with the performance of any of the accounts managed by the Portfolio Managers.
Deferred / Long Term Compensation. Portfolio managers may be granted a deferred compensation award based on a firm-wide bonus pool approved by the Compensation Committee of Invesco Ltd. Deferred compensation awards may take the form of annual deferral awards or long-term equity awards. Annual deferral awards may be granted as an annual stock deferral award or an annual fund deferral award. Annual stock deferral awards are settled in Invesco Ltd. common shares. Annual fund deferral awards are notionally invested in certain Invesco Funds selected by the Portfolio Manager and are settled in cash. Long-term equity awards are settled in Invesco Ltd. common shares. Both annual deferral awards and long-term equity awards have a four-year ratable vesting schedule. The vesting period aligns the interests of the Portfolio Managers with the long-term interests of clients and shareholders and encourages retention.
Retirement and health and welfare arrangements. Portfolio managers are eligible to participate in retirement and health and welfare plans and programs that are available generally to all employees.
1 Rolling time periods based on calendar year-end.
2 Portfolio Managers may be granted an annual deferral award that vests on a pro-rata basis over a four-year period.
3 Invesco Senior Secured’s bonus is based on annual measures of equity return and standard tests of collateralization performance.
4 Portfolio Managers for Invesco Capital base their bonus on Invesco results as well as overall performance of Invesco Capital.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
None.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | As of April 19, 2023, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (“PEO”) and Principal Financial Officer (“PFO”), to assess the effectiveness of the Registrant’s disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (“Act”), as amended. Based on that evaluation, the Registrant’s officers, including the PEO and PFO, concluded that, as of April 19, 2023, the Registrant’s disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. |
(b) | There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | EXHIBITS. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: Invesco Senior Loan Fund
By: | /s/ Sheri Morris | |
Sheri Morris | ||
Principal Executive Officer | ||
Date: | May 3, 2023 |
Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Sheri Morris | |
Sheri Morris | ||
Principal Executive Officer | ||
Date: | May 3, 2023 | |
By: | /s/ Adrien Deberghes | |
Adrien Deberghes | ||
Principal Financial Officer | ||
Date: | May 3, 2023 |