Principal
|
||||||||
Amount
|
Market Value
|
|||||||
FLOATING RATE LOAN INTERESTS(a) - 142.27%
|
||||||||
Aerospace and Defense - 4.01%
|
||||||||
Landmark Aviation FBO Canada Inc, Senior Secured First Lien 2013 Specified Refinancing Canadian Term Loan, 4.750%, 10/25/2019
|
$
|
92,817
|
$
|
92,440
|
||||
LM US Member LLC, Senior Secured First Lien 2013 Specified Refinancing US Term Loan, 4.750%, 10/25/2019
|
2,338,673
|
2,329,178
|
||||||
LM US Member LLC, Senior Secured Second Lien 2014 Specified Refinancing Term Loan, 8.250%, 01/25/2021
|
1,021,739
|
1,018,546
|
||||||
PRV Aerospace LLC, Senior Secured First Lien Term Loan, 6.500%, 05/09/2018
|
3,200,020
|
3,164,019
|
||||||
TurboCombustor Technology Inc, Senior Secured First Lien Initial Term Loan, 5.500%, 12/02/2020
|
4,086,477
|
3,984,315
|
||||||
10,588,498
|
||||||||
Automotive - 1.96%
|
||||||||
American Tire Distributors Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 09/01/2021
|
599,479
|
601,475
|
||||||
Dealer Tire LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 12/22/2021
|
686,060
|
691,638
|
||||||
Mitchell International Inc, Senior Secured Second Lien Term Loan, 8.500%, 10/11/2021
|
3,895,978
|
3,892,744
|
||||||
5,185,857
|
||||||||
Banking, Finance, Insurance and Real Estate - 8.15%
|
||||||||
Acrisure LLC, Senior Secured First Lien Term B Loan, 5.250%, 05/19/2022
|
810,000
|
787,725
|
||||||
Alliant Holdings Intermediate LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 08/12/2022
|
787,500
|
778,645
|
||||||
AmWins Group LLC, Senior Secured First Lien New Term Loan, 5.250%, 09/06/2019
|
2,646,673
|
2,660,992
|
||||||
AssuredPartners Capital Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 04/02/2021
|
1,558,041
|
1,559,014
|
||||||
Asurion LLC, Senior Secured Second Lien Term Loan, 8.500%, 03/03/2021
|
2,425,532
|
2,198,138
|
||||||
Confie Seguros Holding II Co, Senior Secured First Lien Term B Loan, 5.750%, 11/09/2018
|
672,424
|
674,106
|
||||||
Cunningham Lindsey US Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/10/2019
|
3,831,054
|
3,160,620
|
||||||
DTZ US Borrower LLC, Senior Secured First Lien 2015-1 Converted Term Loan, 4.250%, 11/04/2021
|
4,342,242
|
4,305,615
|
||||||
Hamilton Lane Advisors LLC, Senior Secured First Lien Initial Term Loan, 4.250%, 07/11/2022
|
941,176
|
941,177
|
||||||
Opal Acquisition Inc, Senior Secured First Lien Term B Loan, 5.000%, 11/27/2020
|
1,554,452
|
1,526,860
|
||||||
Victory Capital Operating LLC, Senior Secured First Lien Initial Term Loan, 7.000%, 10/29/2021
|
1,034,014
|
1,008,163
|
||||||
York Risk Services Holding Corp (Onex York Finance LP), Senior Secured First Lien Initial Term Loan, 4.750%, 10/01/2021
|
1,989,950
|
1,916,162
|
||||||
21,517,217
|
||||||||
Beverage, Food and Tobacco - 5.73%
|
||||||||
AdvancePierre Foods Inc, Senior Secured Second Lien Term Loan, 9.500%, 10/10/2017
|
2,160,000
|
2,162,700
|
||||||
CEC Entertainment Inc, Senior Secured First Lien Term B Loan, 4.000%, 02/15/2021
|
2,698,043
|
2,635,085
|
||||||
Fairway Group Acquisition Company, Senior Secured First Lien Term Loan, 5.000%, 08/17/2018
|
964,306
|
872,696
|
||||||
Supervalu Inc, Senior Secured First Lien New Term Loan, 4.500%, 03/21/2019
|
2,892,564
|
2,900,519
|
||||||
US Foods Inc, Senior Secured First Lien Incremental Term Loan, 4.500%, 03/29/2019
|
6,108,332
|
6,111,569
|
||||||
Winebow Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 07/01/2021
|
444,752
|
442,947
|
||||||
15,125,516
|
||||||||
Capital Equipment - 3.32%
|
||||||||
LTI Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 04/18/2022
|
2,992,500
|
2,972,854
|
||||||
Sensus USA Inc, Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018
|
5,594,538
|
5,566,565
|
||||||
Unifrax I LLC, Senior Secured First Lien New Term Dollar Loan, 4.250%, 11/28/2018
|
239,776
|
238,577
|
||||||
8,777,996
|
||||||||
Chemicals, Plastics and Rubber - 4.87%
|
||||||||
Emerald Performance Materials LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 08/02/2021
|
3,060,000
|
3,049,489
|
Principal
|
||||||||
Amount
|
Market Value
|
|||||||
Chemicals, Plastics and Rubber (continued)
|
||||||||
Nexeo Solutions LLC, Senior Secured First Lien Initial Term Loan, 5.000%, 09/08/2017
|
$
|
3,183,333
|
$
|
3,052,021
|
||||
Pinnacle Operating Corporation, Senior Secured First Lien Term B Refinancing Loan, 4.750%, 11/15/2018
|
2,978,323
|
2,959,708
|
||||||
Royal Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 06/20/2022
|
1,336,683
|
1,333,509
|
||||||
Tekni-Plex Inc, Senior Secured First Lien Tranche B-1 Term Loan, 4.500%, 06/01/2022
|
743,478
|
742,363
|
||||||
Tekni-Plex Inc, Senior Seucred Second Lien Initial Term Loan, 8.750%, 06/01/2023
|
1,730,769
|
1,730,769
|
||||||
12,867,859
|
||||||||
Construction and Building - 9.36%
|
||||||||
Builders FirstSource Inc, Senior Secured First Lien Initial Term Loan, 6.000%, 07/22/2022
|
3,302,752
|
3,281,598
|
||||||
C.H.I. Overhead Doors Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 07/29/2022
|
853,448
|
854,242
|
||||||
C.H.I. Overhead Doors Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 07/28/2023
|
2,631,579
|
2,618,421
|
||||||
Jeld-Wen Inc, Senior Secured First Lien Initial Term Loan, L+4.25%, 10/15/2021(b)
|
5,140,385
|
5,140,386
|
||||||
Jeld-Wen Inc, Senior Secured First Lien Term B-1 Loan, 5.000%, 07/01/2022
|
977,011
|
975,795
|
||||||
Priso Acquisition Corporation, Senior Secured First Lien Initial Term Loan, 4.500%, 05/09/2022
|
1,379,324
|
1,367,255
|
||||||
SRS Distribution Inc, Senior Secured First Lien Tranche B-1 Loan, 5.250%, 08/25/2022
|
2,782,228
|
2,781,060
|
||||||
Stardust Finance Holdings Inc, Senior Secured First Lien Term Loan, 6.500%, 03/14/2022
|
3,962,845
|
3,935,600
|
||||||
US LBM Holdings LLC, Senior Secured First Lien Initial Term Loan, L+5.25%, 08/20/2022(b)
|
3,846,154
|
3,764,423
|
||||||
24,718,780
|
||||||||
Consumer Goods Durable - 1.84%
|
||||||||
Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020
|
1,041,262
|
1,016,970
|
||||||
Hercules Achievement Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/13/2021
|
1,860,938
|
1,869,777
|
||||||
MModal LLC, Senior Secured First Lien Term B Loan, 9.000%, 01/31/2020
|
2,131,023
|
1,974,744
|
||||||
4,861,491
|
||||||||
Consumer Goods Non Durable - 3.37%
|
||||||||
FGI Operating Company LLC, Senior Secured First Lien Term B Loan, 5.500%, 04/19/2019
|
3,969,359
|
3,607,156
|
||||||
Indra Holdings Corp, Senior Secured First Lien Initial Term Loan, 5.250%, 05/03/2021
|
994,962
|
965,113
|
||||||
Inmar Inc, Senior Secured First Lien Initial Term Loan, 4.250%, 01/27/2021
|
4,398,864
|
4,323,709
|
||||||
8,895,978
|
||||||||
Containers, Packaging and Glass - 3.69%
|
||||||||
Bway Holding Company, Senior Secured First Lien Initial Term Loan, 5.500%, 08/14/2020
|
4,477,330
|
4,468,935
|
||||||
Charter Nex US Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 02/07/2022
|
336,162
|
339,100
|
||||||
Multi Packaging Solutions Inc, Senior Secured First Lien Initial Dollar Tranche B Term Loan, 4.250%, 09/30/2020
|
3,044,243
|
3,027,499
|
||||||
Pelican Products Inc, Senior Secured First Lien New Term Loan, 5.250%, 04/10/2020
|
445,371
|
445,928
|
||||||
Reynolds Group Holdings Inc, Senior Secured First Lien Incremental US Term Loan, 4.500%, 12/01/2018
|
1,462,031
|
1,464,523
|
||||||
9,745,985
|
||||||||
Energy Electricity - 0.93%
|
||||||||
La Frontera Generation LLC, Senior Secured First Lien Term Loan, 4.500%, 09/30/2020
|
2,747,590
|
2,463,667
|
||||||
Energy, Oil and Gas - 7.23%
|
||||||||
American Energy Marcellus LLC, Senior Secured First Lien Term Loan, 5.250%, 08/04/2020
|
1,481,481
|
855,556
|
||||||
CITGO Holding Inc, Senior Secured First Lien Term Loan, 9.500%, 05/12/2018
|
3,818,727
|
3,771,012
|
||||||
Crestwood Holdings LLC, Senior Secured First Lien Tranche B-1 Term Loan, 7.000%, 06/19/2019
|
2,443,221
|
2,186,682
|
||||||
Drillships Ocean Ventures Inc, Senior Secured First Lien Term Loan, 5.500%, 07/26/2021
|
997,388
|
670,743
|
||||||
Jonah Energy Inc, Senior Secured Second Lien Initial Term Loan, 7.500%, 05/12/2021
|
2,000,000
|
1,620,000
|
||||||
Penn Products Terminals LLC, Senior Secured First Lien Tranche B Term Loan, 4.750%, 04/13/2022
|
995,000
|
982,563
|
||||||
Sheridan Investment Partners I LLC, Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 10/01/2019
|
5,084,797
|
3,813,598
|
||||||
Sheridan Production Partners I-A LP, Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 10/01/2019
|
673,777
|
505,333
|
Principal
|
||||||||
Amount
|
Market Value
|
|||||||
Energy, Oil and Gas (continued)
|
||||||||
Sheridan Production Partners I-M LP, Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 10/01/2019
|
$
|
411,547
|
$
|
308,660
|
||||
Templar Energy LLC, Senior Secured Second Lien Term Loan, 8.500%, 11/25/2020
|
3,000,000
|
1,362,510
|
||||||
Utex Industries Inc, Senior Secured First Lien New Initial Term Loan, 5.000%, 05/24/2021
|
1,899,038
|
1,642,668
|
||||||
W3 Co, Senior Secured First Lien Term Loan, 5.750%, 03/13/2020
|
1,629,037
|
1,387,394
|
||||||
19,106,719
|
||||||||
Environmental Industries - 0.98%
|
||||||||
EnergySolutions LLC, Senior Secured First Lien Advance Term Loan, 6.750%, 05/29/2020
|
2,046,234
|
2,015,540
|
||||||
Infiltrator Water Technologies LLC, Senior Secured First Lien Term B Loan, 5.250%, 05/27/2022
|
570,000
|
570,476
|
||||||
2,586,016
|
||||||||
Forest Products and Paper - 0.14%
|
||||||||
W/S Packaging Group Inc, Senior Secured First Lien Term Loan, 5.000%, 08/09/2019
|
403,020
|
382,365
|
||||||
Healthcare and Pharmaceuticals - 8.37%
|
||||||||
Accellent Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 03/12/2021
|
2,402,439
|
2,402,439
|
||||||
Alvogen Pharma US Inc, Senior Secured First Lien Term Loan, 6.000%, 04/01/2022
|
1,966,406
|
1,961,490
|
||||||
CT Technologies Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 12/01/2021
|
250,916
|
250,498
|
||||||
Curo Health Services Holding Inc, Senior Secured First Lien Term B Loan, 6.500%, 02/07/2022
|
1,421,429
|
1,426,169
|
||||||
Genoa a QoL Healthcare Company LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 04/29/2022
|
1,341,960
|
1,340,290
|
||||||
Medpace Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 04/01/2021
|
976,033
|
972,983
|
||||||
National Mentor Holdings Inc, Senior Secured First Lien Initial Tranche B Term Loan, 4.250%, 01/29/2021
|
1,071,762
|
1,065,063
|
||||||
Onex Carestream Finance LP, Senior Secured Second Lien Term Loan, 9.500%, 12/09/2019
|
4,628,218
|
4,483,587
|
||||||
Onex Schumacher Finance LP, Senior Secured First Lien Term Loan, L+3.50%, 08/01/2022(b)
|
719,101
|
717,303
|
||||||
Physio-Control International Inc, Senior Secured First Lien Initial Term Loan, 5.500%, 06/06/2022
|
1,506,276
|
1,498,752
|
||||||
Progressive Solutions LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 10/22/2020
|
1,524,490
|
1,532,120
|
||||||
Progressive Solutions LLC, Senior Secured Second Lien Initial Term Loan, 9.500%, 10/22/2021
|
1,000,000
|
995,625
|
||||||
Smile Brands Group Inc, Senior Secured First Lien Term B Loan, 8.500%, 08/16/2019
|
3,975,207
|
2,797,552
|
||||||
Surgery Center Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 11/03/2020
|
676,705
|
677,655
|
||||||
22,121,526
|
||||||||
High Tech Industries - 24.77%
|
||||||||
Ascend Learning LLC, Senior Secured First Lien Term Loan, 5.500%, 07/31/2019
|
465,541
|
465,890
|
||||||
Aspect Software Inc, Senior Secured First Lien Tranche B Non-PIK Term Loan, 7.500%, 05/09/2016
|
6,481,700
|
6,352,066
|
||||||
Blackboard Inc, Senior Secured First Lien Term B-3 Loan, 4.750%, 10/04/2018
|
1,421,429
|
1,416,447
|
||||||
Blue Coat Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 05/20/2022
|
1,780,415
|
1,768,175
|
||||||
BMC Software Finance Inc, Senior Secured First Lien Initial US Term Loan, 5.000%, 09/10/2020
|
3,882,088
|
3,541,435
|
||||||
Compuware Corporation, Senior Secured First Lien Tranche B-2 Term Loan, 6.250%, 12/15/2021
|
997,487
|
963,822
|
||||||
Compuware Corporation, Senior Secured Second Lien Term Loan, 9.250%, 12/15/2022
|
5,500,000
|
4,977,500
|
||||||
Epicor Software Corporation, Senior Secured First Lien Term B Loan, 4.750%, 06/01/2022
|
2,855,588
|
2,841,310
|
||||||
Freescale Semiconductor Inc, Senior Secured First Lien Tranche B-4 Term Loan, 4.250%, 02/28/2020
|
977,574
|
977,980
|
||||||
Global Healthcare Exchange LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 08/15/2022
|
1,172,414
|
1,176,810
|
||||||
Hyland Software Inc, Senior Secured First Lien Term Loan, 4.750%, 07/01/2022
|
199,947
|
199,698
|
||||||
Informatica Corp, Senior Secured First Lien Dollar Term Loan, 4.500%, 08/05/2022
|
3,245,570
|
3,231,127
|
||||||
Kronos Incorporated, Senior Secured Second Lien Initial Term Loan, 9.750%, 04/30/2020
|
1,000,000
|
1,021,255
|
||||||
Lattice Semiconductor Corporation, Senior Secured First Lien Term Loan, 5.250%, 03/10/2021
|
2,416,429
|
2,295,607
|
||||||
MA FinanceCo LLC, Senior Secured First Lien Initial Tranche B Term Loan, 5.250%, 11/19/2021
|
3,508,979
|
3,512,277
|
||||||
MSC Software Corporation, Senior Secured Second Lien Term Loan, 8.500%, 05/31/2021
|
1,500,000
|
1,458,750
|
Principal
|
||||||||
Amount
|
Market Value
|
|||||||
High Tech Industries (continued)
|
||||||||
P2 Upstream Acquisition Co, Senior Secured First Lien Term Loan, 5.000%, 10/30/2020
|
$
|
2,807,143
|
$
|
2,765,036
|
||||
Peak 10 Inc, Senior Secured First Lien Term Loan, 5.000%, 06/17/2021
|
2,693,182
|
2,689,802
|
||||||
Peak 10 Inc, Senior Secured Second Lien Initial Term Loan, 8.250%, 06/17/2022
|
875,000
|
835,625
|
||||||
ProQuest LLC, Senior Secured First Lien Initial Term Loan, 5.250%, 10/24/2021
|
1,786,478
|
1,790,945
|
||||||
Rocket Software Inc, Senior Secured First Lien Term Loan, 5.750%, 02/08/2018
|
548,200
|
550,143
|
||||||
Ship Luxco 3 Sarl - WorldPay US Finance LLC, Senior Secured First Lien Facility B2A-II Term Loan, 5.250%, 11/29/2019
|
1,522,144
|
1,529,283
|
||||||
Sophia LP, Senior Secured First Lien Term B Loan, L+3.75%, 09/16/2022(b)
|
2,000,000
|
1,998,440
|
||||||
Sungard Availability Services Capital Inc, Senior Secured First Lien Tranche B Term Loan, 6.000%, 03/29/2019
|
2,227,874
|
1,902,048
|
||||||
Tech Finance & Co SCA, Senior Secured First Lien US Term Loan, 5.000%, 07/13/2020
|
3,116,047
|
3,110,859
|
||||||
Telx Group Inc (The), Senior Secured First Lien Initial Term Loan, 4.500%, 04/09/2020
|
1,975,000
|
1,972,531
|
||||||
TIBCO Software Inc, Senior Secured First Lien Term Loan, 6.500%, 12/04/2020
|
1,729,257
|
1,716,288
|
||||||
TTM Technologies Inc, Senior Secured First Lien Term B Loan, 6.000%, 05/31/2021
|
4,055,838
|
3,792,208
|
||||||
Vertafore Inc, Senior Secured First Lien New Term Loan, 4.250%, 10/03/2019
|
1,552,950
|
1,553,765
|
||||||
Vertafore Inc, Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017
|
3,000,000
|
3,024,375
|
||||||
65,431,497
|
||||||||
Hotels, Gaming and Leisure - 5.28%
|
||||||||
Alpha Topco Limited - Delta 2 (Lux) Sarl, Senior Secured Second Lien Term Loan, 7.750%, 07/29/2022
|
3,812,600
|
3,682,343
|
||||||
Caesars Entertainment Resort Properties LLC, Senior Secured First Lien Term B Loan, 7.000%, 10/11/2020
|
4,067,093
|
3,809,992
|
||||||
Corner Investment Propco LLC, Senior Secured First Lien Term B Loan, 11.000%, 11/04/2019
|
1,924,575
|
1,895,706
|
||||||
Scientific Games International Inc, Senior Secured First Lien B-2 Term Loan, 6.000%, 10/01/2021
|
2,752,311
|
2,721,774
|
||||||
SMG, Senior Secured First Lien Term Loan, 4.500%, 02/27/2020
|
1,853,792
|
1,845,682
|
||||||
13,955,497
|
||||||||
Media Advertising, Printing and Publishing - 1.82%
|
||||||||
Penton Media Inc, Senior Secured First Lien B-1 Term Loan, 5.000%, 10/03/2019
|
1,990,362
|
1,986,640
|
||||||
Southern Graphics Inc, Senior Secured First Lien New Term Loan, 4.250%, 10/17/2019
|
2,852,083
|
2,834,258
|
||||||
4,820,898
|
||||||||
Media Broadcasting and Subscription - 4.35%
|
||||||||
Altice Financing SA, Senior Secured First Lien Dollar Denominated Tranche Loan, 5.250%, 02/04/2022
|
1,420,588
|
1,417,924
|
||||||
CCO Safari III LLC, Senior Secured First Lien Term I Loan, 3.500%, 01/24/2023
|
1,119,194
|
1,114,768
|
||||||
Neptune Finco Corp, Senior Secured First Lien Term B Loan, L+4.00%, 09/23/2022(b)
|
2,739,726
|
2,728,082
|
||||||
SESAC Holdco II LLC, Senior Secured First Lien Term Loan, 5.250%, 02/08/2019
|
4,886,842
|
4,886,842
|
||||||
Univision Communications Inc, Senior Secured First Lien 2013 Incremental Term Loan, 4.000%, 03/01/2020
|
1,338,517
|
1,331,724
|
||||||
11,479,340
|
||||||||
Metals and Mining - 2.14%
|
||||||||
Arch Coal Inc, Senior Secured First Lien Term Loan, 6.250%, 05/16/2018
|
2,468,185
|
1,409,605
|
||||||
McJunkin Red Man Corporation, Senior Secured First Lien 2013 Term Loan, 4.750%, 11/08/2019
|
873,880
|
855,677
|
||||||
Murray Energy Corporation, Senior Secured First Lien Term B-1 Loan, 7.000%, 04/17/2017
|
2,608,846
|
2,321,873
|
||||||
Murray Energy Corporation, Senior Secured First Lien Term B-2 Loan, 7.500%, 04/16/2020
|
1,375,862
|
1,075,085
|
||||||
5,662,240
|
||||||||
Retail - 8.08%
|
||||||||
Albertson's LLC, Senior Secured First Lien Term B-2 Loan, 5.375%, 03/21/2019
|
974,883
|
976,233
|
||||||
Ascena Retail Group Inc, Senior Secured First Lien Term B Loan, 5.250%, 08/19/2022
|
2,445,652
|
2,350,883
|
||||||
DBP Holding Corp, Senior Secured First Lien Initial Term Loan, 5.250%, 10/11/2019
|
3,246,234
|
2,845,860
|
||||||
Jill Acquisition LLC, Senior Secured First Lien Initial Term Loan, 6.000%, 05/09/2022
|
1,286,486
|
1,283,270
|
||||||
Neiman Marcus Group Ltd LLC, Senior Secured First Lien Other Term Loan, 4.250%, 10/26/2020
|
1,743,212
|
1,709,437
|
||||||
New Albertson's Inc, Senior Secured First Lien Term B Loan, 4.750%, 06/28/2021
|
1,323,571
|
1,323,737
|
||||||
Nine West Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 10/08/2019
|
2,172,500
|
1,792,312
|
||||||
Payless Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 03/11/2021
|
1,984,383
|
1,587,507
|
Principal
|
||||||||
Amount
|
Market Value
|
|||||||
Retail (continued)
|
||||||||
Spencer Gifts LLC, Senior Secured First Lien B-1 Term Loan, 5.250%, 07/16/2021
|
$
|
3,979,975
|
$
|
3,935,220
|
||||
Sports Authority (The), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017
|
4,611,833
|
3,539,582
|
||||||
21,344,041
|
||||||||
Services - Business - 11.06%
|
||||||||
BarBri Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 07/17/2019
|
2,776,837
|
2,600,980
|
||||||
Crossmark Holdings Inc, Senior Secured First Lien Term Loan, 4.500%, 12/20/2019
|
6,135,409
|
5,417,566
|
||||||
eResearch Technology Inc, Senior Secured First Lien Term Loan, 5.500%, 05/08/2022
|
1,773,333
|
1,769,175
|
||||||
FHC Health Systems Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/23/2021
|
1,560,784
|
1,542,258
|
||||||
PowerTeam Services LLC, Senior Secured First Lien Initial Term Loan, 4.250%, 05/06/2020
|
2,868,566
|
2,843,466
|
||||||
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Incremental Term Loan, 6.750%, 02/28/2022
|
2,075,472
|
1,966,509
|
||||||
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Initial Term Loan, 6.750%, 02/28/2022
|
1,818,182
|
1,722,727
|
||||||
SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 6.250%, 02/07/2019
|
2,347,367
|
2,294,551
|
||||||
Transaction Network Services, Senior Secured First Lien Initial Term Loan, 5.000%, 02/14/2020
|
1,717,835
|
1,719,450
|
||||||
Transaction Network Services, Senior Secured Second Lien Initial Term Loan, 9.000%, 08/14/2020
|
500,000
|
495,835
|
||||||
TravelCLICK Inc, Senior Secured First Lien Initial Term Loan, 5.500%, 05/12/2021
|
1,228,724
|
1,222,580
|
||||||
TravelCLICK Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 11/08/2021
|
2,750,000
|
2,712,187
|
||||||
Truven Health Analytics Inc, Senior Secured First Lien New Tranche B Term Loan, 4.500%, 06/06/2019
|
1,994,885
|
1,982,417
|
||||||
US Security Associates Holdings Inc, Senior Secured First Lien Delayed Draw Term Loan, 6.250%, 07/28/2017
|
102,242
|
102,306
|
||||||
US Security Associates Holdings Inc, Senior Secured First Lien Term B Loan, 6.250%, 07/28/2017
|
811,019
|
811,526
|
||||||
29,203,533
|
||||||||
Services - Consumer - 2.92%
|
||||||||
Learning Care Group (US) No. 2 Inc, Senior Secured First Lien Term Loan, 5.000%, 05/05/2021
|
1,462,963
|
1,464,331
|
||||||
Monitronics International Inc, Senior Secured First Lien Term B-1 Loan, 4.500%, 04/11/2022
|
769,779
|
767,135
|
||||||
Nord Anglia Education Finance LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 03/31/2021
|
938,800
|
924,136
|
||||||
NVA Holdings Inc, Senior Secured First Lien Delayed Draw Term Loan, 1.875%, 08/14/2021
|
28,259
|
28,289
|
||||||
NVA Holdings Inc, Senior Secured First Lien Term Loan, 4.750%, 08/14/2021
|
511,220
|
511,751
|
||||||
NVA Holdings Inc, Senior Secured Second Lien Term Loan, 8.000%, 08/14/2022
|
652,088
|
648,012
|
||||||
Renaissance Learning Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 04/09/2021
|
1,382,456
|
1,345,593
|
||||||
Spin Holdco Inc, Senior Secured First Lien Initial Term Loan, 4.250%, 11/14/2019
|
2,069,667
|
2,033,458
|
||||||
7,722,705
|
||||||||
Telecommunications - 6.32%
|
||||||||
Avaya Inc, Senior Secured First Lien Term B-7 Loan, 6.250%, 05/29/2020
|
10,808,170
|
8,531,699
|
||||||
ConvergeOne Holdings Corporation, Senior Secured First Lien Initial Term Loan, 6.000%, 06/17/2020
|
2,510,734
|
2,496,611
|
||||||
Fairpoint Communications Inc, Senior Secured First Lien Term Loan, 7.500%, 02/14/2019
|
3,912,342
|
3,937,205
|
||||||
Nextgen Finance LLC, Senior Secured First Lien Term B Loan, 5.000%, 05/31/2021
|
1,980,000
|
1,722,600
|
||||||
16,688,115
|
||||||||
Transportation Cargo - 0.64%
|
||||||||
Navistar International Corporation, Senior Secured First Lien Tranche B Term Loan, 6.500%, 08/06/2020
|
1,714,286
|
1,678,569
|
||||||
Transportation Consumer - 2.07%
|
||||||||
Lineage Logistics LLC, Senior Secured First Lien Term Loan, 4.500%, 04/07/2021
|
4,282,111
|
4,148,295
|
||||||
Sabre Inc, Senior Secured First Lien Incremental Term Loan, 4.000%, 02/19/2019
|
1,314,091
|
1,314,091
|
||||||
5,462,386
|
||||||||
Utilities Electric - 8.87%
|
||||||||
Atlantic Power Limited Partnership, Senior Secured First Lien Term Loan, 4.750%, 02/24/2021
|
906,005
|
902,607
|
Principal
|
||||||||
Amount
|
Market Value
|
|||||||
Utilities Electric (continued)
|
||||||||
Chief Power Finance LLC, Senior Secured First Lien Term B Advance Loan, 5.750%, 12/31/2020
|
$
|
1,634,663
|
$
|
1,634,663
|
||||
Exgen Texas Power LLC, Senior Secured First Lien Term Loan, 5.750%, 09/20/2021
|
2,260,138
|
1,906,992
|
||||||
Granite Acquisition Inc, Senior Secured Second Lien Term B Loan, 8.250%, 12/19/2022
|
2,030,075
|
1,895,583
|
||||||
Moxie Patriot LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 6.750%, 12/18/2020
|
1,481,481
|
1,414,815
|
||||||
Panda Liberty LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 7.500%, 08/21/2020
|
3,470,588
|
3,331,765
|
||||||
Panda Sherman Power LLC, Senior Secured First Lien Term Loan, 9.000%, 09/14/2018
|
3,969,934
|
3,632,490
|
||||||
Panda Temple Power II LLC, Senior Secured First Lien Construction Term Loan, 7.250%, 04/03/2019
|
2,647,273
|
2,382,545
|
||||||
Pike Corporation, Senior Secured First Lien Initial Term Loan, 5.500%, 12/22/2021
|
1,568,414
|
1,572,335
|
||||||
Sandy Creek Energy Associates LP, Senior Secured First Lien Term Loan, 5.000%, 11/09/2020
|
4,226,571
|
3,740,515
|
||||||
TPF II Power LLC, Senior Secured First Lien Term Loan, 5.500%, 10/02/2021
|
1,015,682
|
1,016,850
|
||||||
23,431,160
|
||||||||
TOTAL FLOATING RATE LOAN INTERESTS
|
||||||||
(Cost $393,715,631)
|
375,825,451
|
|||||||
CORPORATE BONDS - 7.16%
|
||||||||
Banking, Finance, Insurance and Real Estate - 0.75%
|
||||||||
HUB Holdings LLC, Senior Unsecured Bond, 8.125%, 07/15/2019(c)(d)
|
1,400,000
|
1,358,000
|
||||||
National Financial Partners Corp, Senior Unsecured Bond, 9.000%, 07/15/2021(c)
|
650,000
|
629,687
|
||||||
1,987,687
|
||||||||
Containers, Packaging and Glass - 1.34%
|
||||||||
Coveris Holdings SA, Senior Unsecured Bond, 7.875%, 11/01/2019(c)
|
3,700,000
|
3,524,250
|
||||||
Energy, Oil and Gas - 0.52%
|
||||||||
Oneok Inc, Senior Unsecured Bond, 7.500%, 09/01/2023
|
750,000
|
724,215
|
||||||
Sanchez Energy Corp, Senior Unsecured Bond, 6.125%, 01/15/2023
|
950,000
|
641,250
|
||||||
1,365,465
|
||||||||
Healthcare and Pharmaceuticals - 0.95%
|
||||||||
Aurora Diagnostics Holdings LLC, Senior Unsecured Bond, 10.750%, 01/15/2018
|
500,000
|
393,750
|
||||||
JLL / Delta Dutch Pledgeco BV, Senior Unsecured Bond, 8.750%, 05/01/2020(c)(d)
|
2,100,000
|
2,118,375
|
||||||
2,512,125
|
||||||||
Media Broadcasting and Subscription - 0.98%
|
||||||||
Entercom Radio LLC, Senior Unsecured Bond, 10.500%, 12/01/2019
|
1,300,000
|
1,368,250
|
||||||
Neptune Finco Corp, Senior Unsecured Bond, 6.625%, 10/15/2025(c)
|
1,200,000
|
1,209,000
|
||||||
2,577,250
|
||||||||
Retail - 1.46%
|
||||||||
Nine West Holdings Inc, Senior Unsecured Bond, 8.250%, 03/15/2019(c)
|
1,800,000
|
837,000
|
||||||
Petco Holdings Inc, Senior Unsecured Bond, 8.500%, 10/15/2017(c)(d)
|
3,000,000
|
3,030,000
|
||||||
3,867,000
|
||||||||
Services - Consumer - 0.34%
|
||||||||
Monitronics International Inc, Senior Unsecured Bond, 9.125%, 04/01/2020
|
1,000,000
|
905,000
|
||||||
Telecommunications - 0.82%
|
||||||||
Avaya Inc, Senior Secured Bond, 10.500%, 03/01/2021(c)
|
700,000
|
325,500
|
Principal
|
||||||||
Amount
|
Market Value
|
|||||||
Telecommunications (continued)
|
||||||||
Intelsat Jackson Hldg, Senior Unsecured Bond, 7.250%, 10/15/2020
|
$
|
2,000,000
|
$
|
1,842,500
|
||||
2,168,000
|
||||||||
TOTAL CORPORATE BONDS
|
||||||||
(Cost $20,729,053)
|
18,906,777
|
|||||||
Shares
|
Market Value
|
|||||||
COMMON STOCK - 0.18%
|
||||||||
Consumer Goods Durable - 0.18%
|
||||||||
New MMI Holdings Inc(e)
|
28,009
|
$
|
472,652
|
|||||
TOTAL COMMON STOCK
|
||||||||
(Cost $1,125,088)
|
472,652
|
|||||||
Total Investments - 149.61%
|
||||||||
(Cost $415,569,772)
|
395,204,880
|
|||||||
Assets in Excess of Other Liabilities - 0.13%
|
351,330
|
|||||||
Leverage Facility - (49.74)%
|
(131,400,000
|
)
|
||||||
Net Assets - 100.00%
|
$
|
264,156,210
|
(a)
|
The interest rate shown represents the rate at period end. |
(b)
|
All or a portion of this position has not settled as of September 30, 2015. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point LIBOR will be established. |
(c)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $13,031,812, which represents approximately 4.93% of net assets as of September 30, 2015. |
(d)
|
Option to convert to pay-in-kind security. |
(e)
|
Non-income producing security. |
Investments in Securities at Value*
|
Level 1 - Quoted Prices
|
Level 2 - Significant Observable Inputs
|
Level 3 - Significant Unobservable Inputs
|
Total
|
||||||||||||
Floating Rate Loan Interests
|
||||||||||||||||
Aerospace and Defense
|
$
|
–
|
$
|
6,604,183
|
$
|
3,984,315
|
$
|
10,588,498
|
||||||||
Capital Equipment
|
–
|
3,211,431
|
5,566,565
|
8,777,996
|
||||||||||||
Chemicals, Plastics and Rubber
|
–
|
9,908,151
|
2,959,708
|
12,867,859
|
||||||||||||
Consumer Goods Non Durable
|
–
|
7,930,865
|
965,113
|
8,895,978
|
||||||||||||
Energy, Oil and Gas
|
–
|
16,504,156
|
2,602,563
|
19,106,719
|
||||||||||||
Healthcare and Pharmaceuticals
|
–
|
21,404,223
|
717,303
|
22,121,526
|
||||||||||||
High Tech Industries
|
–
|
55,872,497
|
9,559,000
|
65,431,497
|
||||||||||||
Hotels, Gaming and Leisure
|
–
|
12,059,791
|
1,895,706
|
13,955,497
|
||||||||||||
Media Broadcasting and Subscription
|
–
|
6,592,498
|
4,886,842
|
11,479,340
|
||||||||||||
Services - Business
|
–
|
24,196,795
|
5,006,738
|
29,203,533
|
||||||||||||
Utilities Electric
|
–
|
15,052,090
|
8,379,070
|
23,431,160
|
||||||||||||
Other
|
–
|
149,965,848
|
–
|
149,965,848
|
||||||||||||
Corporate Bonds
|
–
|
18,906,777
|
–
|
18,906,777
|
||||||||||||
Common Stock
|
–
|
472,652
|
–
|
472,652
|
||||||||||||
Total
|
$
|
–
|
$
|
348,681,957
|
$
|
46,522,923
|
$
|
395,204,880
|
*
|
Refer to the Fund’s Portfolio of Investments for a listing of securities by type.
|
Floating Rate
Loan Interests
|
Total
|
|||||||
Balance as of December 31, 2014
|
$
|
29,982,000
|
$
|
29,982,000
|
||||
Accrued discount/ premium
|
97,576
|
97,576
|
||||||
Realized Gain/(Loss)
|
36,740
|
36,740
|
||||||
Change in Unrealized Appreciation/(Depreciation)
|
(1,218,624
|
)
|
(1,218,624
|
)
|
||||
Purchases
|
28,236,348
|
28,236,348
|
||||||
Sales Proceeds
|
(8,522,234
|
)
|
(8,522,234
|
)
|
||||
Transfer into Level 3
|
14,130,588
|
14,130,588
|
||||||
Transfer out of Level 3
|
(16,219,471
|
)
|
(16,219,471
|
)
|
||||
Balance as of September 30, 2015
|
$
|
46,522,923
|
$
|
46,522,923
|
||||
Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at September 30, 2015
|
$
|
(1,274,685
|
)
|
$
|
(1,274,685
|
)
|
Fair Value at
3/31/15
|
Valuation Technique(s)
|
Unobservable Input(s)
|
||||
Floating Rate Loan Interests
|
$
|
46,522,923
|
Third-party vendor pricing service
|
Vendor quotes
|
(a) | The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this Report. |
(b) | There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
By:
|
/s/ Daniel H. Smith, Jr.
|
|
Daniel H. Smith, Jr. (Principal Executive Officer)
|
||
Chairman, Chief Executive Officer and President
|
||
Date:
|
November 24, 2015
|
|
By:
|
/s/ Eric Rosenberg
|
|
Eric Rosenberg (Principal Financial Officer)
|
||
Treasurer and Chief Financial Officer
|
||
Date:
|
November 24, 2015
|
By:
|
/s/ Daniel H. Smith, Jr.
|
|
Daniel H. Smith, Jr. (Principal Executive Officer)
|
||
Chairman, Chief Executive Officer and President
|
||
Date:
|
November 24, 2015
|
|
By:
|
/s/ Eric Rosenberg
|
|
Eric Rosenberg (Principal Financial Officer)
|
||
Treasurer and Chief Financial Officer
|
||
Date:
|
November 24, 2015
|