UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-22535 | |||||||
| ||||||||
Ares Dynamic Credit Allocation Fund, Inc. | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
| ||||||||
2000 Avenue of the Stars 12th Floor Los Angeles, California |
|
90067 | ||||||
(Address of principal executive offices) |
|
(Zip code) | ||||||
| ||||||||
Michael D. Weiner Daniel J. Hall 2000 Avenue of the Stars 12th Floor Los Angeles, California 90067 | ||||||||
(Name and address of agent for service) | ||||||||
| ||||||||
Registrants telephone number, including area code: |
(310) 201-4200 |
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Date of fiscal year end: |
October 31 |
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| ||||||||
Date of reporting period: |
January 31, 2018 |
| ||||||
ITEM 1. SCHEDULE OF INVESTMENTS.
Ares Dynamic Credit Allocation Fund, Inc.
Schedule of Investments
January 31, 2018 (Unaudited)
|
|
Principal Amount |
|
Value (a) |
| ||
Senior Loans 39.3% (b)(g)(k) |
|
|
|
|
| ||
Aerospace and Defense 3.1% |
|
|
|
|
| ||
Air Methods Corporation, Initial 1st Lien Term Loan, 3M LIBOR + 3.50%, 5.19%, 04/22/2024 |
|
$ |
2,618,943 |
|
$ |
2,632,038 |
|
Hensoldt Holding Germany GmbH, Facility 1st Lien Term Loan B-2 (Germany), Euribor + 3.75%, 3.75%, 02/28/2024 |
|
|
3,000,000 |
|
3,736,152 |
| |
Sequa Mezzanine Holdings LLC, Initial 1st Lien Term Loan, 3M LIBOR + 5.50%, 6.55%, 11/28/2021 |
|
$ |
1,882,812 |
|
1,908,700 |
| |
Sequa Mezzanine Holdings LLC, Initial 2nd Lien Term Loan, 3M LIBOR + 9.00%, 10.37%, 04/28/2022 |
|
1,291,251 |
|
1,313,848 |
| ||
StandardAero Aviation Holdings, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 3.75%, 5.32%, 07/07/2022 |
|
3,346,608 |
|
3,378,501 |
| ||
|
|
|
|
12,969,239 |
| ||
Automotive 1.2% |
|
|
|
|
| ||
CH Hold Corporation, Initial 2nd Lien Term Loan, L+ 7.25%, 02/03/2025 (c)(d) |
|
2,160,401 |
|
2,187,406 |
| ||
Navistar, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.50%, 5.06%, 11/06/2024 |
|
2,645,963 |
|
2,666,919 |
| ||
|
|
|
|
4,854,325 |
| ||
Banking, Finance, Insurance & Real Estate 2.3% |
|
|
|
|
| ||
Asurion, LLC, 1st Lien Term Loan B-5, 1M LIBOR + 3.00%, 4.57%, 11/03/2023 |
|
994,987 |
|
1,002,450 |
| ||
Asurion, LLC, 2nd Lien Term Loan B-2, 1M LIBOR + 6.00%, 7.57%, 08/04/2025 |
|
2,549,695 |
|
2,629,373 |
| ||
Financiere CEP, Facility 1st Lien Term Loan B, (France), L+ 4.25%, 01/31/2025 (d) |
|
|
3,000,000 |
|
3,670,540 |
| |
Tortoise Investments, LLC, 1st Lien Term Loan, L+ 4.00%, 11/20/2024 (c)(d) |
|
$ |
2,275,000 |
|
2,297,750 |
| |
|
|
|
|
9,600,113 |
| ||
Beverage, Food and Tobacco 0.4% |
|
|
|
|
| ||
Arbys Restaurant Group, Inc., 1st Lien Term Loan B, L+ 3.75%, 01/17/2025 (d) |
|
1,575,000 |
|
1,595,680 |
| ||
|
|
|
|
|
| ||
Chemicals, Plastics & Rubber 1.5% |
|
|
|
|
| ||
HII Holding Corporation, 1st Lien Term Loan, 3M LIBOR + 3.25%, 4.82%, 12/20/2019 |
|
986,541 |
|
986,541 |
| ||
HII Holding Corporation, 2nd Lien Term Loan, 3M LIBOR + 8.50%, 10.07%, 12/21/2020 (c) |
|
1,500,000 |
|
1,500,000 |
| ||
PQ Corporation, Tranche B-1 1st Lien Term Loan, 3M LIBOR + 3.25%, 5.02%, 11/04/2022 |
|
1,228,233 |
|
1,235,603 |
| ||
Tronox Pigments BV, Blocked Dollar 1st Lien Term Loan , (Netherlands), 3M LIBOR + 3.00%, 4.69%, 09/23/2024 |
|
481,155 |
|
485,451 |
| ||
Tronox Pigments BV, Initial Dollar 1st Lien Term Loan , (Netherlands), 3M LIBOR + 3.00%, 4.69%, 09/23/2024 |
|
1,110,357 |
|
1,120,272 |
| ||
Vantage Specialty Chemicals, Inc., 1st Lien Term Loan, 2M LIBOR + 4.00%, 5.65%, 10/28/2024 |
|
800,000 |
|
808,000 |
| ||
|
|
|
|
6,135,867 |
| ||
Construction & Building 1.3% |
|
|
|
|
| ||
Fairmount Santrol, Inc., 1st Lien Term Loan, 3M LIBOR + 6.00%, 7.69%, 11/01/2022 |
|
3,622,642 |
|
3,662,273 |
| ||
Forterra Finance, LLC, 1st Lien Term Loan, 1M LIBOR + 3.00%, 4.57%, 10/25/2023 |
|
2,086,296 |
|
1,978,935 |
| ||
|
|
|
|
5,641,208 |
| ||
Consumer Goods: Durable 0.6% |
|
|
|
|
| ||
Froneri International Plc, 1st Lien Term Loan B, (Great Britain), L+ 2.75%, 01/22/2025 (d) |
|
|
2,000,000 |
|
2,496,478 |
| |
|
|
|
|
|
| ||
Containers, Packaging & Glass 1.4% |
|
|
|
|
| ||
Albea Beauty Holdings S.A, Facility 1st Lien Term Loan B , (Luxembourg), 6M LIBOR + 3.75%, 5.41%, 04/22/2024 |
|
$ |
2,985,000 |
|
3,012,373 |
| |
Berlin Packaging, LLC, Initial 2nd Lien Term Loan, 1M LIBOR + 6.75%, 8.32%, 09/30/2022 |
|
750,000 |
|
755,250 |
| ||
Fort Dearborn Holding Company, Inc., Initial 2nd Lien Term Loan, 3M LIBOR + 8.50%, 10.20%, 10/21/2024 (c) |
|
625,000 |
|
609,375 |
| ||
Pregis Holding I Corporation, 1st Lien Term Loan, 3M LIBOR + 3.50%, 5.19%, 05/20/2021 |
|
1,344,483 |
|
1,347,844 |
| ||
|
|
|
|
5,724,842 |
| ||
Energy: Electricity 0.4% |
|
|
|
|
| ||
ExGen Renewables IV, LLC, 1st Lien Term Loan, 3M LIBOR + 3.00%, 4.47%, 11/28/2024 |
|
1,628,499 |
|
1,648,855 |
| ||
|
|
|
|
|
| ||
Energy: Oil & Gas 5.7% |
|
|
|
|
| ||
BCP Raptor, LLC, Initial 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.73%, 06/24/2024 |
|
1,064,500 |
|
1,072,484 |
| ||
California Resources Corporation, 1st Lien Term Loan, 1M LIBOR + 10.38%, 11.94%, 12/31/2021 |
|
1,925,000 |
|
2,180,062 |
| ||
California Resources Corporation, 1st Lien Term Loan B, 1M LIBOR + 4.75%, 6.31%, 12/31/2022 |
|
2,051,984 |
|
2,087,934 |
| ||
Chesapeake Energy Corp., Class A 1st Lien Term Loan, 3M LIBOR + 7.50%, 8.95%, 08/23/2021 |
|
4,750,000 |
|
5,079,555 |
| ||
Chief Exploration & Development, LLC, 2nd Lien Term Loan, 3M LIBOR + 6.50%, 7.96%, 05/16/2021 |
|
2,500,000 |
|
2,490,625 |
| ||
FTS International, Inc., Initial 1st Lien Term Loan, L+ 4.75%, 04/16/2021 (d) |
|
4,500,000 |
|
4,492,485 |
| ||
MEG Energy Corporation, Initial 1st Lien Term Loan, (Canada), 3M LIBOR + 3.50%, 5.20%, 12/31/2023 |
|
1,409,596 |
|
1,413,825 |
| ||
Summit Midstream Partners Holdings, LLC, Facility 1st Lien Term Loan, 1M LIBOR + 6.00%, 7.57%, 05/13/2022 |
|
2,305,764 |
|
2,344,686 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Senior Loans (b)(g)(k) (continued) |
|
|
|
|
| ||
Energy: Oil & Gas (continued) |
|
|
|
|
| ||
Traverse Midstream Partners, LLC, 1st Lien Term Loan B, 3M LIBOR + 4.00%, 5.85%, 09/27/2024 |
|
$ |
2,616,822 |
|
$ |
2,648,434 |
|
|
|
|
|
23,810,090 |
| ||
Healthcare & Pharmaceuticals 4.7% |
|
|
|
|
| ||
Albany Molecular Research, Inc., 1st Lien Term Loan B, 1M LIBOR + 3.25%, 4.82%, 08/30/2024 |
|
1,970,867 |
|
1,978,258 |
| ||
Albany Molecular Research, Inc., 2nd Lien Term Loan, 1M LIBOR + 7.00%, 8.57%, 08/30/2025 (c) |
|
2,223,068 |
|
2,223,068 |
| ||
Centene Corporation, Bridge Term Loan, L+ 3.50%, 09/13/2018 (c)(d)(e)(f) |
|
3,000,000 |
|
|
| ||
Concentra, Inc., 2nd Lien Term Loan, L+ 6.50%, 07/25/2023 (c)(d) |
|
3,000,000 |
|
3,000,000 |
| ||
Envigo Holdings, Inc., 1st Lien Term Loan, 1M LIBOR + 8.50%, 10.07%, 11/03/2021 |
|
1,142,412 |
|
1,142,412 |
| ||
Ethypharm SA, Facility 1st Lien Term Loan B, (France), Euribor + 3.50%, 3.50%, 07/21/2023 |
|
|
1,112,582 |
|
1,382,402 |
| |
Immucor, Inc., 1st Lien Term Loan, 2M LIBOR + 5.00%, 6.65%, 06/15/2021 |
|
$ |
2,913,725 |
|
2,968,357 |
| |
Nidda Healthcare Holding AG, Facility 1st Lien Term Loan B-2 , (Germany), 1M Euribor + 3.50%, 3.50%, 08/21/2024 |
|
|
402,630 |
|
501,220 |
| |
Nidda Healthcare Holding AG, Facility 1st Lien Term Loan B-1, (Germany), 1M Euribor + 3.50%, 3.50%, 08/21/2024 (f) |
|
1,996,018 |
|
869,671 |
| ||
Press Ganey Holdings, Inc., 1st Lien Term Loan, 1M LIBOR + 3.00%, 4.57%, 10/23/2023 |
|
$ |
1,906,842 |
|
1,925,910 |
| |
Press Ganey Holdings, Inc., Initial 2nd Lien Term Loan, 1M LIBOR + 6.50%, 8.07%, 10/21/2024 (c) |
|
474,755 |
|
481,876 |
| ||
Radnet Management, Inc., 1st Lien Term Loan B-1, 3M LIBOR + 3.75%, 5.47%, 06/30/2023 |
|
2,824,675 |
|
2,867,045 |
| ||
Valeant Pharmaceuticals International, Inc., Tranche B 1st Lien Term Loan, (Canada), 1M LIBOR + 3.50%, 5.06%, 04/01/2022 |
|
107,023 |
|
108,615 |
| ||
|
|
|
|
19,448,834 |
| ||
High Tech Industries 4.1% |
|
|
|
|
| ||
Applied Systems, Inc., Initial 1st Lien Term Loan, 3M LIBOR + 3.25%, 4.94%, 09/19/2024 |
|
2,288,382 |
|
2,310,946 |
| ||
Applied Systems, Inc., Initial 2nd Lien Term Loan, 3M LIBOR + 7.00%, 8.69%, 09/19/2025 |
|
516,129 |
|
533,874 |
| ||
Barracuda Networks, Inc., 1st Lien Term Loan, L+ 3.25%, 01/05/2025 (d) |
|
981,308 |
|
990,385 |
| ||
Colorado Buyer, Inc., Initial 2nd Lien Term Loan, 3M LIBOR + 7.25%, 8.63%, 05/01/2025 |
|
1,057,692 |
|
1,065,625 |
| ||
Cvent, Inc., 1st Lien Term Loan, 1M LIBOR + 3.75%, 5.32%, 11/29/2024 |
|
3,414,634 |
|
3,435,975 |
| ||
Integrated Device Technology, Inc., Initial 1st Lien Term Loan B, 1M LIBOR + 3.00%, 4.57%, 04/04/2024 (c) |
|
1,352,794 |
|
1,359,558 |
| ||
Kemet Corporation, Initial 1st Lien Term Loan, 1M LIBOR + 6.00%, 7.57%, 04/26/2024 (c) |
|
1,994,279 |
|
2,024,194 |
| ||
Rocket Software, Inc., 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.94%, 10/14/2023 |
|
1,240,232 |
|
1,253,155 |
| ||
Rocket Software, Inc., 2nd Lien Term Loan, 3M LIBOR + 9.50%, 11.19%, 10/14/2024 |
|
1,603,014 |
|
1,619,846 |
| ||
Tibco Software, Inc., 1st Lien Term Loan B-1, 1M LIBOR + 3.50%, 5.07%, 12/04/2020 |
|
997,481 |
|
1,003,097 |
| ||
Veritas, Ltd., 1st Lien Term Loan B, 3M LIBOR + 4.50%, 6.19%, 01/27/2023 |
|
1,488,750 |
|
1,496,506 |
| ||
|
|
|
|
17,093,161 |
| ||
Hotel, Gaming & Leisure 0.4% |
|
|
|
|
| ||
Golden Nugget, Inc., Initial 1st Lien Term Loan B, 2M LIBOR + 3.25%, 4.86%, 10/04/2023 |
|
829,132 |
|
838,377 |
| ||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B, 1M LIBOR + 4.00%, 5.57%, 10/13/2023 |
|
972,009 |
|
980,514 |
| ||
|
|
|
|
1,818,891 |
| ||
Industrials 0.6% |
|
|
|
|
| ||
CTC AcquiCo GmbH, 1st Lien Term Loan, (Germany), L+ 3.50%, 11/30/2024 (d) |
|
|
525,000 |
|
652,882 |
| |
Dynacast International, LLC, 1st Lien Term Loan B-2, 3M LIBOR + 3.25%, 4.94%, 01/28/2022 (c) |
|
$ |
1,062,807 |
|
1,073,435 |
| |
Wrangler Buyer Corporation, Initial 1st Lien Term Loan, 1M LIBOR + 3.00%, 4.57%, 09/27/2024 |
|
703,125 |
|
708,300 |
| ||
|
|
|
|
2,434,617 |
| ||
Media: Advertising, Printing & Publishing 1.3% |
|
|
|
|
| ||
Harland Clarke Holdings Corp., 1st Lien Term Loan, 3M LIBOR + 4.75%, 6.44%, 11/03/2023 |
|
2,283,791 |
|
2,308,341 |
| ||
Learfield Communications, LLC, 1st Lien Term Loan, L+ 3.25%, 12/01/2023 (c)(d) |
|
1,346,240 |
|
1,359,703 |
| ||
Learfield Communications, LLC, Initial 1st Lien Term Loan, L+ 3.25%, 12/01/2023 (c)(d) |
|
185,010 |
|
186,860 |
| ||
Lee Enterprises, Inc., 1st Lien Term Loan, 1M LIBOR + 6.25%, 7.82%, 03/31/2019 |
|
187,398 |
|
187,398 |
| ||
Tribune Publishing Company, Initial 1st Lien Term Loan, 1M LIBOR + 4.75%, 6.32%, 08/04/2021 (c) |
|
1,340,000 |
|
1,353,400 |
| ||
|
|
|
|
5,395,702 |
| ||
Media: Broadcasting & Subscription 0.2% |
|
|
|
|
| ||
Intelsat Jackson Holdings S.A., Tranche B-4 1st Lien Term Loan, (Luxembourg), L+ 4.50%, 01/02/2024 (d) |
|
703,125 |
|
711,738 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Senior Loans (b)(g)(k) (continued) |
|
|
|
|
| ||
Media: Diversified & Production 1.4% |
|
|
|
|
| ||
Equinox Holdings, Inc., 1st Lien Term Loan, 1M LIBOR + 3.00%, 4.57%, 03/08/2024 |
|
$ |
1,985,025 |
|
$ |
2,002,811 |
|
Equinox Holdings, Inc., Initial 2nd Lien Term Loan, 1M LIBOR + 7.00%, 8.57%, 09/06/2024 |
|
2,050,000 |
|
2,111,500 |
| ||
Meredith Corporation, 1st Lien Term Loan B, L+ 3.00%, 01/18/2025 (d) |
|
1,750,000 |
|
1,768,480 |
| ||
|
|
|
|
5,882,791 |
| ||
Metals & Mining 0.4% |
|
|
|
|
| ||
Murray Energy Holdings Co, 1st Lien Term Loan B-2, L+ 7.25%, 04/16/2020 (d) |
|
1,997,328 |
|
1,831,310 |
| ||
|
|
|
|
|
| ||
Printing and Publishing 0.6% |
|
|
|
|
| ||
Dex Media, Inc., 1st Lien Term Loan, 1M LIBOR + 10.00%, 11.57%, 07/29/2021 |
|
2,447,599 |
|
2,536,325 |
| ||
Retail 3.6% |
|
|
|
|
| ||
Academy, Ltd., Initial 1st Lien Term Loan, 1M LIBOR + 4.00%, 5.57%, 07/01/2022 |
|
1,491,840 |
|
1,197,201 |
| ||
BJs Wholesale Club, Inc., Initial 2nd Lien Term Loan, 1M LIBOR + 7.50%, 8.95%, 02/03/2025 |
|
1,724,138 |
|
1,727,810 |
| ||
GOBP Holdings, Inc., 1st Lien Term Loan, 3M LIBOR + 3.50%, 5.19%, 10/21/2021 |
|
2,195,442 |
|
2,206,419 |
| ||
GOBP Holdings, Inc., Initial 2nd Lien Term Loan, 3M LIBOR + 8.25%, 9.94%, 10/21/2022 |
|
2,500,000 |
|
2,500,000 |
| ||
Harbor Freight Tools USA, Inc., Initial 1st Lien Term Loan, 1M LIBOR + 2.50%, 4.07%, 08/18/2023 |
|
2,493,771 |
|
2,502,774 |
| ||
J.C. Penney Corp., Inc., 1st Lien Term Loan, 3M LIBOR + 4.25%, 5.73%, 06/23/2023 |
|
2,483,871 |
|
2,391,769 |
| ||
Petco Animal Supplies, Inc., 1st Lien Term Loan, 3M LIBOR+ 3.00%, 4.77%, 01/26/2023 |
|
3,271,635 |
|
2,470,902 |
| ||
|
|
|
|
14,996,875 |
| ||
Service & Equipment 0.2% |
|
|
|
|
| ||
TMK Hawk Parent, Corp., 1st Lien Delayed Draw Term Loan, L+ 3.50%, 08/28/2024 (d)(f) |
|
32,289 |
|
290 |
| ||
TMK Hawk Parent, Corp., Initial 1st Lien Term Loan, 3M LIBOR + 3.50%, 5.07%, 08/28/2024 |
|
721,459 |
|
727,952 |
| ||
|
|
|
|
728,242 |
| ||
Services: Business 1.0% |
|
|
|
|
| ||
Affinion Group, Inc., 1st Lien Term Loan, 1M LIBOR + 7.75%, 9.16%, 05/10/2022 |
|
1,994,975 |
|
2,059,812 |
| ||
CASMAR (Australia) PTY, Ltd., Initial 1st Lien Term Loan, (Australia), 3M LIBOR + 4.50%, 6.19%, 12/08/2023 (c) |
|
877,978 |
|
875,783 |
| ||
Solera, LLC, 1st Lien Term Loan, 3M LIBOR + 3.25%, 4.82%, 03/03/2023 |
|
1,473,750 |
|
1,483,978 |
| ||
|
|
|
|
4,419,573 |
| ||
Services: Consumer 1.1% |
|
|
|
|
| ||
General Nutrition Centers, Inc., Tranche B 1st Lien Term Loan, 1M LIBOR + 2.50%, 4.08%, 03/04/2019 |
|
3,914,133 |
|
3,492,268 |
| ||
University Support Services, LLC, 1st Lien Term Loan, 1M LIBOR + 4.25%, 5.33%, 07/06/2022 |
|
1,159,436 |
|
1,174,659 |
| ||
|
|
|
|
4,666,927 |
| ||
Technology 0.6% |
|
|
|
|
| ||
Allflex Holdings III, Inc., (U.S.), Initial 2nd Lien Term Loan, 3M LIBOR + 7.00%, 8.75%, 07/19/2021 |
|
2,339,623 |
|
2,346,454 |
| ||
|
|
|
|
|
| ||
Telecommunications 1.0% |
|
|
|
|
| ||
Coral-US Co-Borrower, LLC, 1st Lien Term Loan B-3, 1M LIBOR + 3.50%, 5.07%, 01/31/2025 |
|
2,500,000 |
|
2,510,725 |
| ||
Paysafe Group PLC, Facility 1st Lien Term Loan, L+ 3.50%, 12/20/2024 (c)(d) |
|
1,518,152 |
|
1,525,742 |
| ||
|
|
|
|
4,036,467 |
| ||
Utilities: Oil & Gas 0.2% |
|
|
|
|
| ||
Medallion Midland Acquisition LP, 1st Lien Term Loan, 1M LIBOR + 3.25%, 4.82%, 10/30/2024 (c) |
|
975,000 |
|
979,875 |
| ||
Total Senior Loans (Cost: $161,346,039) |
|
|
|
163,804,479 |
| ||
Corporate Bonds 65.9% |
|
|
|
|
| ||
Aerospace and Defense 3.2% |
|
|
|
|
| ||
Air Methods Corp., 144A, 8.00%, 05/15/2025 (k) |
|
2,491,000 |
|
2,382,019 |
| ||
Bombardier, Inc., 144A, (Canada), 7.50%, 12/01/2024 (k) |
|
2,000,000 |
|
2,102,500 |
| ||
Bombardier, Inc., 144A, (Canada), 8.75%, 12/01/2021 (k) |
|
2,250,000 |
|
2,500,313 |
| ||
Engility Corporation, 8.88%, 09/01/2024 |
|
3,175,000 |
|
3,422,967 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Corporate Bonds (continued) |
|
|
|
|
| ||
Aerospace and Defense (continued) |
|
|
|
|
| ||
Leidos, Inc., 7.13%, 07/01/2032 |
|
$ |
2,500,000 |
|
$ |
2,831,250 |
|
|
|
|
|
13,239,049 |
| ||
Automotive 0.4% |
|
|
|
|
| ||
Dana Financing Luxembourg Sarl, 144A, (Luxembourg), 6.50%, 06/01/2026 (k) |
|
1,500,000 |
|
1,621,875 |
| ||
|
|
|
|
|
| ||
Banking, Finance, Insurance & Real Estate 2.9% |
|
|
|
|
| ||
Acrisure, LLC, 144A, 7.00%, 11/15/2025 (k) |
|
3,000,000 |
|
2,977,500 |
| ||
Ally Financial, Inc., 7.50%, 09/15/2020 |
|
2,500,000 |
|
2,750,000 |
| ||
Summit Materials, LLC, 8.50%, 04/15/2022 |
|
5,750,000 |
|
6,325,000 |
| ||
|
|
|
|
12,052,500 |
| ||
Beverage, Food and Tobacco 0.7% |
|
|
|
|
| ||
Arbys Restaurant Group, Inc., 144A, 6.75%, 02/15/2026 (j)(k) |
|
3,000,000 |
|
3,037,500 |
| ||
|
|
|
|
|
| ||
Capital Equipment 1.1% |
|
|
|
|
| ||
Welbilt, Inc., 9.50%, 02/15/2024 |
|
3,988,000 |
|
4,506,440 |
| ||
|
|
|
|
|
| ||
Chemicals, Plastics & Rubber 4.0% |
|
|
|
|
| ||
Aruba Investments, Inc., 144A, 8.75%, 02/15/2023 (k) |
|
2,500,000 |
|
2,625,000 |
| ||
GCP Applied Technologies, 144A, 9.50%, 02/01/2023 (k) |
|
5,875,000 |
|
6,477,187 |
| ||
Kraton Polymers, LLC, 144A, 7.00%, 04/15/2025 (k) |
|
909,000 |
|
961,268 |
| ||
Kraton Polymers, LLC, 144A, 10.50%, 04/15/2023 (k) |
|
4,315,000 |
|
4,832,800 |
| ||
Tronox Finance, LLC, 144A, 7.50%, 03/15/2022 (k) |
|
1,750,000 |
|
1,815,625 |
| ||
|
|
|
|
16,711,880 |
| ||
Consumer Goods: Durable 1.9% |
|
|
|
|
| ||
Manitowoc Co, Inc., 144A, 12.75%, 08/15/2021 (k) |
|
4,370,000 |
|
4,970,875 |
| ||
Spectrum Brands, Inc., 6.63%, 11/15/2022 |
|
2,975,000 |
|
3,082,844 |
| ||
|
|
|
|
8,053,719 |
| ||
Containers, Packaging & Glass 2.6% |
|
|
|
|
| ||
Ardagh Packaging Finance PLC, 144A, (Ireland), 7.25%, 05/15/2024 (k) |
|
3,000,000 |
|
3,224,100 |
| ||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/2026 |
|
3,350,000 |
|
3,860,875 |
| ||
Guala Closures SpA, 144A, (Italy), 3M Euribor + 4.75%, 4.75%, 11/15/2021 (g)(k) |
|
|
3,000,000 |
|
3,735,556 |
| |
|
|
|
|
10,820,531 |
| ||
Energy: Oil & Gas 9.2% |
|
|
|
|
| ||
Calfrac Holdings, L.P., 144A, 7.50%, 12/01/2020 (k) |
|
$ |
4,125,000 |
|
4,083,750 |
| |
Denbury Resources, Inc., 144A, 9.00%, 05/15/2021 (k) |
|
3,750,000 |
|
3,834,375 |
| ||
Energy Transfer Equity, L.P., 7.50%, 10/15/2020 |
|
4,130,000 |
|
4,539,159 |
| ||
Extraction Oil and Gas, Inc., 144A, 5.63%, 02/01/2026 (k) |
|
1,313,000 |
|
1,314,313 |
| ||
Extraction Oil and Gas, Inc., 144A, 7.38%, 05/15/2024 (k) |
|
1,143,000 |
|
1,237,298 |
| ||
FTS International, Inc., 6.25%, 05/01/2022 |
|
500,000 |
|
505,000 |
| ||
FTS International, Inc., 144A, 3M LIBOR + 7.50%, 9.09%, 06/15/2020 (g)(k) |
|
1,637,000 |
|
1,661,555 |
| ||
Great Western Petroleum, LLC / Great Western Finance Corporation, 144A, 9.00%, 09/30/2021 (k) |
|
3,150,000 |
|
3,315,375 |
| ||
MEG Energy Corp., 144A, (Canada), 6.50%, 01/15/2025 (k) |
|
780,000 |
|
762,450 |
| ||
MEG Energy Corp., 144A, (Canada), 7.00%, 03/31/2024 (k) |
|
1,000,000 |
|
866,250 |
| ||
Newfield Exploration Co, 5.63%, 07/01/2024 |
|
2,000,000 |
|
2,140,000 |
| ||
Rowan Cos, Inc., 7.38%, 06/15/2025 |
|
2,000,000 |
|
2,049,380 |
| ||
Targa Resources Partners L.P., 6.75%, 03/15/2024 |
|
1,500,000 |
|
1,601,250 |
| ||
Weatherford International, Ltd., (Bermuda), 9.63%, 03/01/2019 |
|
1,000,000 |
|
1,070,000 |
| ||
Weatherford International, Ltd., (Bermuda), 9.88%, 02/15/2024 |
|
2,516,000 |
|
2,742,440 |
| ||
Williams Cos, Inc., 7.88%, 09/01/2021 |
|
1,250,000 |
|
1,440,625 |
| ||
Williams Cos, Inc., 8.75%, 03/15/2032 |
|
2,500,000 |
|
3,382,000 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Corporate Bonds (continued) |
|
|
|
|
| ||
Energy: Oil & Gas (continued) |
|
|
|
|
| ||
WPX Energy, Inc., 7.50%, 08/01/2020 |
|
$ |
1,832,000 |
|
$ |
1,978,560 |
|
|
|
|
|
38,523,780 |
| ||
Healthcare & Pharmaceuticals 8.1% |
|
|
|
|
| ||
Acadia Healthcare Co, Inc., 5.63%, 02/15/2023 |
|
875,000 |
|
885,675 |
| ||
Acadia Healthcare Co, Inc., 6.50%, 03/01/2024 |
|
167,000 |
|
174,515 |
| ||
DJO Finance Corp., 10.75%, 04/15/2020 |
|
750,000 |
|
675,000 |
| ||
DJO Finance Corp., 144A, 8.13%, 06/15/2021 (k) |
|
3,663,000 |
|
3,534,795 |
| ||
Envision Healthcare Corporation, 144A, 6.25%, 12/01/2024 (k) |
|
2,500,000 |
|
2,646,875 |
| ||
Greatbatch, Ltd., 144A, 9.13%, 11/01/2023 (k) |
|
1,500,000 |
|
1,631,565 |
| ||
HCA, Inc., 5.25%, 04/15/2025 |
|
1,500,000 |
|
1,573,740 |
| ||
HCA, Inc., 7.69%, 06/15/2025 |
|
3,000,000 |
|
3,394,980 |
| ||
Immucor, Inc., 144A, 11.13%, 02/15/2022 (k) |
|
2,750,000 |
|
2,887,500 |
| ||
MPH Acquisition Holdings, LLC, 144A, 7.13%, 06/01/2024 (k) |
|
1,250,000 |
|
1,342,188 |
| ||
Surgery Center Holdings, Inc., 144A, 8.88%, 04/15/2021 (k) |
|
1,500,000 |
|
1,565,625 |
| ||
Tenet Healthcare Corporation, 8.13%, 04/01/2022 |
|
2,125,000 |
|
2,192,745 |
| ||
Tenet Healthcare Corporation, 144A, 7.00%, 08/01/2025 (k) |
|
375,000 |
|
367,500 |
| ||
Valeant Pharmaceuticals International, Inc., 144A, (Canada), 5.63%, 12/01/2021 (k) |
|
1,000,000 |
|
963,800 |
| ||
Valeant Pharmaceuticals International, Inc., 144A, (Canada), 6.75%, 08/15/2021 (k) |
|
1,250,000 |
|
1,237,500 |
| ||
Valeant Pharmaceuticals International, Inc., 144A, (Canada), 7.50%, 07/15/2021 (k) |
|
2,250,000 |
|
2,258,437 |
| ||
Valeant Pharmaceuticals International, Inc., 144A, (Canada), 9.00%, 12/15/2025 (k) |
|
738,000 |
|
758,066 |
| ||
Vizient, Inc., 144A, 10.38%, 03/01/2024 (k) |
|
5,000,000 |
|
5,637,500 |
| ||
|
|
|
|
33,728,006 |
| ||
High Tech Industries 4.1% |
|
|
|
|
| ||
Dell International, LLC, 144A, 6.02%, 06/15/2026 (k) |
|
2,000,000 |
|
2,187,199 |
| ||
Diebold Nixdorf, Inc., 8.50%, 04/15/2024 |
|
1,100,000 |
|
1,162,150 |
| ||
Genesys Telecommunications Laboratories Inc, 144A, 10.00%, 11/30/2024 (k) |
|
4,250,000 |
|
4,696,250 |
| ||
Microsemi Corporation, 144A, 9.13%, 04/15/2023 (k) |
|
2,931,000 |
|
3,275,393 |
| ||
TIBCO Software, Inc., 144A, 11.38%, 12/01/2021 (k) |
|
1,000,000 |
|
1,088,800 |
| ||
Veritas US, Inc., 144A, 10.50%, 02/01/2024 (k) |
|
2,000,000 |
|
2,035,000 |
| ||
Western Digital Corporation, 10.50%, 04/01/2024 |
|
1,500,000 |
|
1,753,500 |
| ||
Western Digital Corporation, 144A, 7.38%, 04/01/2023 (k) |
|
1,000,000 |
|
1,088,750 |
| ||
|
|
|
|
17,287,042 |
| ||
Hotel, Gaming & Leisure 3.6% |
|
|
|
|
| ||
Golden Nugget, Inc., 144A, 8.75%, 10/01/2025 (k) |
|
2,500,000 |
|
2,668,750 |
| ||
Jack Ohio Finance, LLC, 144A, 6.75%, 11/15/2021 (k) |
|
1,000,000 |
|
1,052,500 |
| ||
Jack Ohio Finance, LLC, 144A, 10.25%, 11/15/2022 (k) |
|
1,865,000 |
|
2,074,812 |
| ||
MGM Resorts International, 8.63%, 02/01/2019 |
|
3,250,000 |
|
3,420,625 |
| ||
Mohegan Tribal Gaming Authority, 144A, 7.88%, 10/15/2024 (k) |
|
2,222,000 |
|
2,277,550 |
| ||
Scientific Games International, Inc., 6.63%, 05/15/2021 |
|
2,625,000 |
|
2,716,875 |
| ||
Scientific Games International, Inc., 144A, 5.00%, 10/15/2025 (j)(k) |
|
1,000,000 |
|
1,001,250 |
| ||
|
|
|
|
15,212,362 |
| ||
Industrials 0.2% |
|
|
|
|
| ||
Wrangler Buyer Corporation, 144A, 6.00%, 10/01/2025 (k) |
|
795,000 |
|
820,837 |
| ||
|
|
|
|
|
| ||
Media: Advertising, Printing & Publishing 2.2% |
|
|
|
|
| ||
EMI Music Publishing Group North America Holdings, Inc., 144A, 7.63%, 06/15/2024 (k) |
|
2,900,000 |
|
3,190,000 |
| ||
Harland Clarke Holdings Corporation, 144A, 9.25%, 03/01/2021 (k) |
|
1,250,000 |
|
1,290,625 |
| ||
Lee Enterprises, Inc., 144A, 9.50%, 03/15/2022 (k) |
|
4,375,000 |
|
4,550,000 |
| ||
|
|
|
|
9,030,625 |
| ||
Media: Broadcasting & Subscription 4.9% |
|
|
|
|
| ||
Belo Corp., 7.25%, 09/15/2027 |
|
5,000,000 |
|
5,550,000 |
| ||
CSC Holdings, LLC, 8.63%, 02/15/2019 |
|
2,000,000 |
|
2,110,000 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Corporate Bonds (continued) |
|
|
|
|
| ||
Media: Broadcasting & Subscription (continued) |
|
|
|
|
| ||
CSC Holdings, LLC, 144A, 10.13%, 01/15/2023 (k) |
|
$ |
1,000,000 |
|
$ |
1,128,125 |
|
CSC Holdings, LLC, 144A, 10.88%, 10/15/2025 (k) |
|
1,760,000 |
|
2,096,072 |
| ||
Intelsat Jackson Holdings SA, 144A, (Luxembourg), 8.00%, 02/15/2024 (k) |
|
1,400,000 |
|
1,470,000 |
| ||
Lamar Media Corp., 5.38%, 01/15/2024 |
|
2,000,000 |
|
2,060,000 |
| ||
Radiate Holdco, LLC, 144A, 6.88%, 02/15/2023 (k) |
|
1,000,000 |
|
1,005,000 |
| ||
Sinclair Broadcast Group, Inc., 6.13%, 10/01/2022 |
|
2,000,000 |
|
2,057,500 |
| ||
Tribune Media Co, 5.88%, 07/15/2022 |
|
3,000,000 |
|
3,086,250 |
| ||
|
|
|
|
20,562,947 |
| ||
Media: Diversified & Production 0.7% |
|
|
|
|
| ||
Life Time Fitness, Inc., 144A, 8.50%, 06/15/2023 (k) |
|
2,745,000 |
|
2,895,975 |
| ||
|
|
|
|
|
| ||
Metals & Mining 6.7% |
|
|
|
|
| ||
Anglo American Capital PLC, 144A, (Great Britain), 9.38%, 04/08/2019 (k) |
|
6,000,000 |
|
6,460,620 |
| ||
First Quantum Minerals, Ltd., 144A, (Canada), 7.25%, 04/01/2023 (k) |
|
2,500,000 |
|
2,646,875 |
| ||
First Quantum Minerals, Ltd., 144A, (Canada), 7.50%, 04/01/2025 (k) |
|
1,500,000 |
|
1,606,950 |
| ||
FMG Resources Pty, Ltd., 144A, (Australia), 9.75%, 03/01/2022 (k) |
|
5,250,000 |
|
5,789,700 |
| ||
Freeport-McMoRan, Inc., 5.40%, 11/14/2034 |
|
500,000 |
|
521,500 |
| ||
Freeport-McMoRan, Inc., 6.88%, 02/15/2023 |
|
1,500,000 |
|
1,646,250 |
| ||
Grinding Media, Inc., 144A, 7.38%, 12/15/2023 (k) |
|
1,100,000 |
|
1,171,500 |
| ||
Hudbay Minerals, Inc., 144A, (Canada), 7.63%, 01/15/2025 (k) |
|
2,000,000 |
|
2,200,000 |
| ||
Murray Energy Holdings Co., 144A, 11.25%, 04/15/2021 (k) |
|
1,250,000 |
|
675,000 |
| ||
Peabody Energy Corporation, 144A, 6.00%, 03/31/2022 (k) |
|
960,000 |
|
997,162 |
| ||
Peabody Energy Corporation, 144A, 6.38%, 03/31/2025 (k) |
|
350,000 |
|
367,500 |
| ||
Teck Resources, Ltd., 144A, (Canada), 8.50%, 06/01/2024 (k) |
|
1,500,000 |
|
1,693,125 |
| ||
Zekelman Industries, Inc., 144A, 9.88%, 06/15/2023 (k) |
|
1,850,000 |
|
2,072,000 |
| ||
|
|
|
|
27,848,182 |
| ||
Retail 1.3% |
|
|
|
|
| ||
JC Penney Corporation, Inc., 8.13%, 10/01/2019 |
|
923,000 |
|
964,535 |
| ||
L Brands, Inc., 8.50%, 06/15/2019 |
|
4,000,000 |
|
4,320,000 |
| ||
|
|
|
|
5,284,535 |
| ||
Services: Business 1.8% |
|
|
|
|
| ||
Conduent Finance, Inc., 144A, 10.50%, 12/15/2024 (k) |
|
1,750,000 |
|
2,043,125 |
| ||
Entegris, Inc., 144A, 4.63%, 02/10/2026 (k) |
|
1,364,000 |
|
1,369,115 |
| ||
Solera, LLC, 144A, 10.50%, 03/01/2024 (k) |
|
3,479,000 |
|
3,900,829 |
| ||
|
|
|
|
7,313,069 |
| ||
Services: Consumer 0.5% |
|
|
|
|
| ||
Dole Food Co, Inc., 144A, 7.25%, 06/15/2025 (k) |
|
2,000,000 |
|
2,125,000 |
| ||
|
|
|
|
|
| ||
Telecommunications 3.2% |
|
|
|
|
| ||
Altice Financing S.A., 144A, (Luxembourg), 7.50%, 05/15/2026 (k) |
|
1,500,000 |
|
1,558,125 |
| ||
Altice Finco SA, 144A, (Luxembourg), 8.13%, 01/15/2024 (k) |
|
1,500,000 |
|
1,545,000 |
| ||
Digicel Group, Ltd., 144A, (Bermuda), 8.25%, 09/30/2020 (k) |
|
4,000,000 |
|
3,965,000 |
| ||
Level 3 Financing, Inc., 5.38%, 01/15/2024 |
|
1,250,000 |
|
1,243,750 |
| ||
SFR Group SA, 144A, (France), 7.38%, 05/01/2026 (k) |
|
2,500,000 |
|
2,462,500 |
| ||
Sprint Capital Corp., 6.90%, 05/01/2019 |
|
1,000,000 |
|
1,042,500 |
| ||
Sprint Corp., 7.63%, 02/15/2025 |
|
500,000 |
|
518,750 |
| ||
T-Mobile USA, Inc., 4.75%, 02/01/2028 |
|
925,000 |
|
928,469 |
| ||
|
|
|
|
13,264,094 |
| ||
Transportation: Cargo 0.7% |
|
|
|
|
| ||
XPO Logistics, Inc., 144A, 6.50%, 06/15/2022 (k) |
|
3,000,000 |
|
3,123,000 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Corporate Bonds (continued) |
|
|
|
|
| ||
Transportation: Consumer 0.5% |
|
|
|
|
| ||
Air Medical Group Holdings, Inc., 144A, 6.38%, 05/15/2023 (k) |
|
$ |
2,000,000 |
|
$ |
1,892,500 |
|
|
|
|
|
|
| ||
Utilities: Electric 1.4% |
|
|
|
|
| ||
Dynegy, Inc., 7.63%, 11/01/2024 |
|
1,250,000 |
|
1,350,500 |
| ||
Dynegy, Inc., 144A, 8.00%, 01/15/2025 (k) |
|
1,500,000 |
|
1,627,500 |
| ||
NRG Energy, Inc., 7.25%, 05/15/2026 |
|
2,500,000 |
|
2,722,750 |
| ||
|
|
|
|
5,700,750 |
| ||
Total Corporate Bonds (Cost: $267,553,941) |
|
|
|
274,656,198 |
| ||
|
|
|
|
|
| ||
Collateralized Loan Obligations 37.3% (k)(c)(h) |
|
|
|
|
| ||
Collateralized Loan Obligations - Debt 28.3% (g) |
|
|
|
|
| ||
AMMC CLO XIII, Ltd., (Cayman Islands), 3M LIBOR + 6.95%, 8.69%, 07/24/2029 |
|
2,000,000 |
|
2,054,904 |
| ||
AMMC CLO XIV, Ltd., (Cayman Islands), 3M LIBOR + 7.35%, 9.10%, 07/25/2029 |
|
1,250,000 |
|
1,295,945 |
| ||
AMMC CLO XIX, Ltd., (Cayman Islands), 3M LIBOR + 7.00%, 8.72%, 10/15/2028 |
|
2,000,000 |
|
2,065,594 |
| ||
Apidos CLO XI, Ltd., (Cayman Islands), 3M LIBOR + 7.65%, 9.38%, 01/17/2028 |
|
1,500,000 |
|
1,538,234 |
| ||
Babson CLO, Ltd. 2016-1, (Cayman Islands), 3M LIBOR + 6.55%, 8.30%, 04/23/2027 |
|
2,000,000 |
|
2,014,822 |
| ||
Bain Capital Credit CLO 2016-2, (Cayman Islands), 3M LIBOR + 7.04%, 8.76%, 01/15/2029 |
|
2,000,000 |
|
2,066,344 |
| ||
Benefit Street Partners CLO IV, Ltd., (Cayman Islands), 3M LIBOR + 7.25%, 9.00%, 01/20/2029 |
|
2,500,000 |
|
2,588,667 |
| ||
Bluemountain CLO, Ltd. 2016-3, (Cayman Islands), 3M LIBOR + 6.85%, 8.27%, 11/15/2027 |
|
1,500,000 |
|
1,542,047 |
| ||
California Street CLO IX, L.P. 2012-9A, (Cayman Islands), 3M LIBOR + 7.18%, 8.90%, 10/16/2028 |
|
2,000,000 |
|
2,055,608 |
| ||
Carlyle Global Market Strategies CLO 2012-4, Ltd., (Cayman Islands), 3M LIBOR + 7.51%, 9.26%, 01/20/2029 |
|
2,000,000 |
|
2,090,384 |
| ||
Cent CLO 18, Ltd., (Cayman Islands), 3M LIBOR + 4.60%, 6.35%, 07/23/2025 |
|
3,000,000 |
|
2,911,143 |
| ||
Crestline Denali CLO XV, Ltd., (Cayman Islands), 3M LIBOR + 7.35%, 9.10%, 04/20/2030 |
|
3,875,000 |
|
3,935,969 |
| ||
Denali Capital CLO XI, Ltd., 2015-1A D, (Cayman Islands), 3M LIBOR + 5.45%, 7.20%, 04/20/2027 |
|
1,000,000 |
|
1,000,296 |
| ||
Denali Capital CLO XI, Ltd., 2015-1A E, (Cayman Islands), 3M LIBOR + 5.95%, 7.70%, 04/20/2027 |
|
2,000,000 |
|
1,892,102 |
| ||
Denali Capital CLO XI, Ltd., 2015-1X D, (Cayman Islands), 3M LIBOR + 5.45%, 7.20%, 04/20/2027 |
|
460,000 |
|
460,136 |
| ||
Denali Capital CLO XII, Ltd., 2016-1A E, (Cayman Islands), 3M LIBOR + 7.75%, 9.47%, 04/15/2028 |
|
5,000,000 |
|
5,022,795 |
| ||
Dorchester Park CLO, Ltd., (Ireland), 3M LIBOR + 6.25%, 8.00%, 01/20/2027 |
|
4,000,000 |
|
4,001,588 |
| ||
Dryden XLII Senior Loan Fund, (Cayman Islands), 3M LIBOR + 7.25%, 8.97%, 07/15/2027 |
|
1,500,000 |
|
1,526,373 |
| ||
Galaxy XX CLO, Ltd., (Cayman Islands), 3M LIBOR + 5.50%, 7.25%, 07/20/2027 |
|
3,500,000 |
|
3,509,390 |
| ||
Halcyon Loan Advisors Funding 2015-1, Ltd., (Cayman Islands), 3M LIBOR + 5.65%, 7.40%, 04/20/2027 |
|
750,000 |
|
750,302 |
| ||
Halcyon Loan Advisors Funding 2015-3, Ltd., (Cayman Islands), 3M LIBOR + 5.95%, 7.68%, 10/18/2027 |
|
2,500,000 |
|
2,502,162 |
| ||
Highbridge Loan Management 2013-2, Ltd., (Cayman Islands), 3M LIBOR + 8.25%, 10.00%, 10/20/2029 |
|
2,250,000 |
|
2,259,488 |
| ||
Highbridge Loan Management 2015-7, Ltd., (Cayman Islands), 3M LIBOR + 7.50%, 8.92%, 11/15/2026 |
|
650,000 |
|
650,133 |
| ||
Highbridge Loan Management 2014-4, Ltd., (Cayman Islands), 3M LIBOR + 7.36%, 9.12%, 01/28/2030 (e) |
|
2,000,000 |
|
1,920,000 |
| ||
Jamestown CLO VI, Ltd., (Cayman Islands), 3M LIBOR + 4.75%, 6.19%, 02/20/2027 |
|
900,000 |
|
895,538 |
| ||
LCM XV, L.P., (Cayman Islands), 3M LIBOR + 6.50%, 8.25%, 07/20/2030 |
|
1,850,000 |
|
1,919,723 |
| ||
LCM XXIII, L.P., (Cayman Islands), 3M LIBOR + 7.05%, 8.80%, 10/20/2029 |
|
3,000,000 |
|
3,110,589 |
| ||
Magnetite XIV, Ltd., (Cayman Islands), 3M LIBOR + 6.50%, 8.23%, 07/18/2028 |
|
4,000,000 |
|
4,000,888 |
| ||
Mountain Hawk III CLO, Ltd., (Cayman Islands), 3M LIBOR + 4.85%, 6.58%, 04/18/2025 |
|
2,000,000 |
|
1,891,046 |
| ||
Neuberger Berman CLO XVII, Ltd. 2014-17A, (Cayman Islands), 3M LIBOR + 6.55%, 8.30%, 04/22/2029 |
|
1,000,000 |
|
1,024,183 |
| ||
Oaktree CLO 2014-1, (Cayman Islands), 3M LIBOR + 6.30%, 7.71%, 05/13/2029 |
|
5,000,000 |
|
5,033,405 |
| ||
Octagon Investment Partners XV, Ltd., (Cayman Islands), 3M LIBOR + 7.00%, 8.74%, 07/19/2030 |
|
1,500,000 |
|
1,541,840 |
| ||
Octagon Investment Partners XXVIII, Ltd., (Cayman Islands), 3M LIBOR + 6.50%, 8.24%, 10/24/2027 |
|
2,000,000 |
|
2,047,716 |
| ||
OHA Credit Partners VII, Ltd., (Cayman Islands), 3M LIBOR + 7.50%, 8.94%, 11/20/2027 |
|
2,850,000 |
|
2,928,572 |
| ||
OHA Credit Partners XI, Ltd., (Cayman Islands), 3M LIBOR + 8.10%, 9.85%, 10/20/2028 |
|
2,000,000 |
|
2,012,396 |
| ||
OZLM XI, Ltd., (Cayman Islands), 3M LIBOR + 7.00%, 8.77%, 10/30/2030 |
|
2,750,000 |
|
2,900,560 |
| ||
OZLM XIV, Ltd., (Cayman Islands), 3M LIBOR + 6.35%, 8.07%, 01/15/2029 |
|
4,500,000 |
|
4,619,943 |
| ||
OZLM XIX, Ltd., (Cayman Islands), 3M LIBOR + 6.60%, 7.97%, 11/22/2030 |
|
2,000,000 |
|
2,048,976 |
| ||
Silver Creek CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.40%, 8.15%, 07/20/2030 |
|
1,000,000 |
|
1,016,082 |
| ||
Steele Creek CLO 2015-1, Ltd., (Cayman Islands), 3M LIBOR + 8.85%, 10.29%, 05/21/2029 |
|
3,000,000 |
|
3,023,454 |
| ||
Steele Creek CLO 2016-1, Ltd., (Cayman Islands), 3M LIBOR + 6.75%, 8.34%, 06/15/2028 |
|
3,000,000 |
|
3,016,269 |
| ||
TCI-Cent CLO 2016-1, Ltd., (Cayman Islands), 3M LIBOR + 6.75%, 8.51%, 12/21/2029 |
|
2,000,000 |
|
2,063,166 |
| ||
THL Credit Wind River 2015-2 CLO, Ltd., (Cayman Islands), 3M LIBOR + 7.80%, 9.52%, 10/15/2027 |
|
2,000,000 |
|
2,033,490 |
| ||
THL Credit Wind River 2016-1 CLO, Ltd., (Cayman Islands), 3M LIBOR + 7.50%, 9.22%, 07/15/2028 |
|
3,500,000 |
|
3,568,435 |
| ||
|
|
Principal Amount |
|
Value (a) |
| ||
Collateralized Loan Obligations (k)(c)(h) (continued) |
|
|
|
|
| ||
Collateralized Loan Obligations - Debt (g) (continued) |
|
|
|
|
| ||
THL Credit Wind River 2016-2 CLO, Ltd., (Cayman Islands), 3M LIBOR + 6.48%, 7.86%, 11/01/2028 |
|
$ |
1,750,000 |
|
$ |
1,789,697 |
|
TICP CLO III, Ltd, (Cayman Islands), 3M LIBOR + 5.55%, 7.30%, 01/20/2027 |
|
4,000,000 |
|
4,002,480 |
| ||
Venture XXVIII CLO, Ltd. 2017-28A, (Cayman Islands), 3M LIBOR + 6.16%, 7.91%, 10/20/2029 |
|
1,000,000 |
|
1,012,199 |
| ||
Venture XXIV CLO, Ltd. 2016-24A, (Cayman Islands), 3M LIBOR + 6.72%, 8.47%, 10/20/2028 |
|
700,000 |
|
716,085 |
| ||
Venture XXVI CLO, Ltd. 2017-26A, (Cayman Islands), 3M LIBOR + 6.80%, 8.55%, 01/20/2029 |
|
1,000,000 |
|
1,030,019 |
| ||
Venture XXVII CLO, Ltd. 2017-27A, (Cayman Islands), 3M LIBOR + 6.35%, 8.10%, 07/20/2030 |
|
2,025,000 |
|
2,071,976 |
| ||
Voya CLO 2017-3, Ltd., (Cayman Islands), 3M LIBOR + 6.20%, 7.95%, 07/20/2030 |
|
1,950,000 |
|
1,974,521 |
| ||
Wellfleet CLO 2016-2, Ltd., (Cayman Islands), 3M LIBOR + 7.00%, 8.75%, 10/20/2028 |
|
1,000,000 |
|
1,018,464 |
| ||
Wellfleet CLO 2017-2, Ltd., (Cayman Islands), 3M LIBOR + 6.75%, 8.13%, 10/20/2029 |
|
2,000,000 |
|
2,049,584 |
| ||
|
|
|
|
118,015,722 |
| ||
Collateralized Loan Obligations - Equity 9.0% |
|
|
|
|
| ||
Allegro CLO 2017-1A, Ltd., (Cayman Islands), 10/16/2030 |
|
2,000,000 |
|
1,952,948 |
| ||
AMMC CLO XXI, Ltd., (Cayman Islands), 11/02/2030 |
|
500,000 |
|
454,139 |
| ||
Atlas Senior Loan Fund III, Ltd., (Cayman Islands), 11/17/2027 |
|
1,800,000 |
|
952,555 |
| ||
Atrium CLO VII, (Cayman Islands), 11/16/2022 |
|
1,600,000 |
|
9,600 |
| ||
Carlyle Global Market Strategies CLO 2013-4, Ltd., (Cayman Islands), 01/15/2031 |
|
1,259,000 |
|
792,710 |
| ||
Carlyle Global Market Strategies CLO 2017-3, Ltd., (Cayman Islands), 07/20/2029 |
|
1,750,000 |
|
1,528,485 |
| ||
Cedar Funding IV CLO, Ltd., (Cayman Islands), 07/23/2030 |
|
4,000,000 |
|
3,481,692 |
| ||
Cedar Funding V CLO, Ltd., (Cayman Islands), 07/17/2028 |
|
1,500,000 |
|
1,277,068 |
| ||
Cedar Funding VI CLO, Ltd., (Cayman Islands), 10/20/2028 |
|
2,000,000 |
|
1,866,124 |
| ||
Cedar Funding VIII CLO 2017-8, Ltd., (Cayman Islands), 10/17/2030 |
|
2,000,000 |
|
1,759,726 |
| ||
Crestline Denali CLO XVI, Ltd. 2018-1A, (Cayman Islands), 01/20/2030 (e)(j) |
|
2,000,000 |
|
1,800,000 |
| ||
Dryden XXXVII Senior Loan Fund, (Cayman Islands), 01/15/2031 |
|
1,000,000 |
|
898,337 |
| ||
Halcyon Loan Advisors Funding 2017-1, Ltd., (Cayman Islands), 06/25/2029 |
|
1,750,000 |
|
1,470,742 |
| ||
LCM XII, L.P., (Cayman Islands), 10/19/2022 |
|
1,000,000 |
|
100 |
| ||
LCM XIII, L.P., (Cayman Islands), 01/19/2023 |
|
2,175,000 |
|
1,305,826 |
| ||
LCM XV, L.P., (Cayman Islands), 08/25/2024 |
|
5,875,000 |
|
3,309,752 |
| ||
LCM XXIII, L.P., (Cayman Islands), 10/20/2029 |
|
3,100,000 |
|
2,380,009 |
| ||
Madison Park Funding XII, Ltd., (Cayman Islands), 07/20/2026 |
|
4,000,000 |
|
2,510,484 |
| ||
Oaktree CLO, Ltd. 2015-1A, (Cayman Islands), 10/20/2027 |
|
4,000,000 |
|
3,351,728 |
| ||
OHA Credit Partners VII, Ltd., (Cayman Islands), 11/20/2027 |
|
2,000,000 |
|
1,455,518 |
| ||
OZLM XIX, Ltd. 2017-19A, (Cayman Islands), 11/22/2030 |
|
900,000 |
|
825,854 |
| ||
OZLM XXI, Ltd. 2017-21A, (Cayman Islands), 01/20/2031 (e) |
|
1,750,000 |
|
1,583,750 |
| ||
Vibrant CLO VI, Ltd., (Cayman Islands), 06/20/2029 |
|
1,500,000 |
|
1,336,695 |
| ||
Voya CLO 2017-2, (Cayman Islands), 06/07/2030 |
|
1,000,000 |
|
907,115 |
| ||
West CLO 2013-1, Ltd., (Cayman Islands), 11/07/2025 |
|
500,000 |
|
197,505 |
| ||
|
|
|
|
37,408,462 |
| ||
Total Collateralized Loan Obligations (Cost: $146,030,179) |
|
|
|
155,424,184 |
| ||
|
|
|
|
|
| ||
|
|
Shares |
|
|
| ||
Common Stocks 1.4% (i) |
|
|
|
|
| ||
Energy: Oil & Gas 1.1% |
|
|
|
|
| ||
Halcon Resources Corp. |
|
292,519 |
|
2,337,227 |
| ||
Templar Energy, LLC, Class A Common Equity (c) |
|
145,457 |
|
145,457 |
| ||
Templar Energy, LLC, Class A Preferred Equity (c) |
|
235,016 |
|
2,115,147 |
| ||
|
|
|
|
4,597,831 |
| ||
Services: Business 0.3% |
|
|
|
|
| ||
Affinion Group Holdings, Inc. |
|
87,683 |
|
1,183,720 |
| ||
Total Common Stocks (Cost: $14,686,417) |
|
|
|
5,781,551 |
| ||
Total Investments - 143.9% |
|
|
|
$ |
599,666,412 |
|
Liabilities in Excess of Other Assets - (43.9%) |
|
|
|
(182,822,800 |
) | |
Net Assets - 100.0% |
|
|
|
$ |
416,843,612 |
|
Footnotes: | ||
(a) |
|
Investment holdings in foreign currencies are converted to U.S. Dollars using period end spot rates. All investments are in United States enterprises unless otherwise noted. |
(b) |
|
Interest rates on floating rate term loans adjust periodically based upon a predetermined schedule. Stated interest rates in this schedule represent the all-in rate as of January 31, 2018. |
(c) |
|
Investments categorized as a significant unobservable input (Level 3) (See Note 3 of the Notes to Financial Statements). |
(d) |
|
This position or a portion of this position represents an unsettled loan purchase. The interest rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (LIBOR or L) or the applicable LIBOR floor plus a spread which was determined at the time of purchase. |
(e) |
|
Security valued at fair value using methods determined in good faith by or under the direction of the board of directors. |
(f) |
|
Reported net of unfunded commitments, reduced by any upfront payments received if purchased at a discount, see Note 2. |
(g) |
|
Variable rate coupon rate shown as of January 31, 2018. |
(h) |
|
Collateralized Loan Obligations are all issued as 144A securities. |
(i) |
|
Non-income producing security as of January 31, 2018. |
(j) |
|
When-Issued or delayed delivery security based on typical market settlement convention for such security. |
(k) |
|
All of the companys Senior Loans, Collateralized Loan Obligations, and Corporate Bonds issued as 144A, which as of January 31, 2018 represented 119.4% of the companys net assets or 79.1% of the companys total assets, are subject to legal restrictions on sales. |
|
|
|
|
|
As of January 31, 2018, the aggregate cost of securities for Federal income tax purposes was $589,635,290. Unrealized appreciation and depreciation on investments for Federal income tax purposes are as follows: |
Gross unrealized appreciation |
|
$ |
22,100,230 |
|
Gross unrealized depreciation |
|
(12,069,108 |
) | |
Net unrealized appreciation |
|
$ |
10,031,122 |
|
Abbreviations: | ||
144A |
|
Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
CDO |
|
Collateralized Debt Obligation |
CLO |
|
Collateralized Loan Obligation |
Currencies: | ||
|
|
Euro Currency |
£ |
|
British Pounds |
$ |
|
US Dollars |
Ares Dynamic Credit Allocation Fund, Inc.
Notes to Schedule of Investments
January 31, 2018 (Unaudited)
(1) Organization
Ares Dynamic Credit Allocation Fund, Inc. (NYSE: ARDC) (ARDC or Fund) is a corporation incorporated under the laws of the State of Maryland and registered with the U.S. Securities and Exchange Commission (the SEC) under the Investment Company Act of 1940, as amended (the Investment Company Act), as a closed-end, non-diversified, management investment company, and intends to qualify each year to be treated as a Regulated Investment Company (RIC), under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund commenced operations on November 27, 2012. Ares Capital Management II LLC (the Adviser) was registered as a Registered Investment Adviser with the SEC on June 9, 2011 and serves as the investment adviser to the Fund.
Investment Objective and Policies
The Funds investment objective is to seek an attractive risk adjusted level of total return, primarily through current income and, secondarily, through capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in a broad, dynamically managed portfolio of (i) senior secured loans (Senior Loans) made primarily to companies whose debt is rated below investment grade, (ii) corporate bonds (Corporate Bonds) that are primarily high yield issues rated below investment grade, (iii) other fixed-income instruments of a similar nature that may be represented by derivatives, and (iv) securities issued by entities commonly referred to as collateralized loan obligations (CLOs) and other asset-backed securities. The Funds investments in CLOs may include investments in subordinated tranches of CLO securities. The Adviser will dynamically allocate the Funds portfolio among investments in the various targeted credit markets, to seek to manage interest rate and credit risk and the duration of the Funds portfolio.
(2) Significant Accounting Policies
Basis of Presentation
In October 2016, the SEC adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting and disclosure of information by RICs. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017, and the Investment Adviser has implemented the applicable requirements into this report.
The accompanying financial statements have been prepared on an accrual basis of accounting in conformity with U.S. generally accepted accounting principles (GAAP), and includes the accounts of the Fund. The Fund is an investment company following accounting and reporting guidance in Financial Accounting Standards (FASB) Accounting Standards Codification (ASC) Topic 946, Financial Services Investment Companies. The Adviser makes estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates and such differences may be material.
Investments Valuation
All investments in securities are recorded at their estimated value, as described in more detail in Note 3.
Revolving loan, bridge loan and delayed draw term loan agreements
For investment purposes, the Fund has entered into certain loan commitments which may include revolving loan, bridge loan, partially unfunded term loan and delayed draw term loan agreements (unfunded loan commitments). Unfunded loan commitments purchased at a discount/premium may include cash received/paid for the amounts representing such discounts/premiums. Unfunded loan commitments are agreements to participate in the lending of up to a specified maximum amount for a specified period. As of January 31, 2018, the fair value of the loans disclosed in the Schedule of Investments does not include unfunded loan commitments, which total $4,333,362.
Discounts and Premiums
Discounts and premiums on securities purchased are accreted/amortized over the life of the respective security using the effective interest method. The adjusted cost of investments represents the original cost adjusted for PIK interest and the accretion of discounts and amortization of premiums.
Ares Dynamic Credit Allocation Fund, Inc.
Notes to Schedule of Investments (Continued)
January 31, 2018 (Unaudited)
Investment Transactions
Investment transactions are accounted for on the trade date.
Foreign Currency Transactions
Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates effective on the date of valuation; and (ii) purchases and sales of investments and income and expense items denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates prevailing on transaction dates.
The Fund does not isolate that portion of the results of operations resulting from the changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included within the net realized and unrealized gain on investments in the Statements of Operations.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates of securities transactions, and the difference between the amounts of income and expense items recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from the changes in fair values of assets and liabilities, other than investments in securities at year end, resulting from changes in exchange rates.
Investments in foreign companies and securities of foreign governments may involve special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include, among other things, revaluation of currencies, less reliable information about issuers, different transaction clearance and settlement practices, and potential future adverse political and economic developments. Moreover, investments in foreign companies and securities of foreign governments and their markets may be less liquid and their prices more volatile than those of comparable U.S. companies and the U.S. government.
Commitments and Contingencies
In the normal course of business, the Funds investment activities involve executions, settlement and financing of various transactions resulting in receivables from, and payables to, brokers, dealers and the Funds custodian. These activities may expose the Fund to risk in the event that such parties are unable to fulfill contractual obligations. Management does not anticipate any material losses from counterparties with whom it conducts business. Consistent with standard business practice, the Fund enters into contracts that contain a variety of indemnifications, and is engaged from time to time in various legal actions. The maximum exposure of the Fund under these arrangements and activities is unknown. However, the Fund expects the risk of material loss to be remote.
Recently Issued Accounting Pronouncements
In October 2016, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. The Fund has adopted the amendments related to Regulation S-X, which have had no material impact to the Funds financial statements or disclosures.
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount, which continue to be amortized to maturity. The ASU is effective for fiscal years and for interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers (Topic 606). The guidance in this ASU supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The amendments in ASU No. 2014-09 are effective for annual reporting periods beginning after December 15, 2017, including interim periods within that reporting period. In March 2016,
Ares Dynamic Credit Allocation Fund, Inc.
Notes to Schedule of Investments (Continued)
January 31, 2018 (Unaudited)
the FASB issued ASU No. 2016-08, Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations, which clarifies the guidance in ASU No. 2014-09 and has the same effective date as the original standard. In April 2016, the FASB issued ASU No. 2016-10, Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, an update on identifying performance obligations and accounting for licenses of intellectual property. In May 2016, the FASB issued ASU No. 2016-12, Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients, which includes amendments for enhanced clarification of the guidance. In December 2016, the FASB issued ASU No. 2016-20, Technical Corrections and Improvements to Revenue from Contracts with Customers (Topic 606), the amendments in this update are of a similar nature to the items typically addressed in the technical corrections and improvements project. Additionally, in February 2017, the FASB issued ASU No. 2017-05, Other Income Gains and Losses from the Derecognition of Nonfinancial Assets (subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets, an update clarifying that a financial asset is within the scope of Subtopic 610-20 if it is deemed an in-substance non-financial asset. The application of this guidance is not expected to have a material impact on our consolidated financial statements.
(3) Investments
Fair Value Measurements
The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures under U.S. GAAP, which among other matters, requires enhanced disclosures about investments that are measured and reported at fair value. This standard defines fair value and establishes a hierarchal disclosure framework, which prioritizes and ranks the level of market price observability used in measuring investments at fair value and expands disclosures about assets and liabilities measured at fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The hierarchal disclosure framework establishes a three-tier hierarchy to maximize the use of observable data and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique.
Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
· Level 1 Valuations based on quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
· Level 2 Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable either directly or indirectly.
· Level 3 Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
In addition to using the above inputs in investment valuations, the Fund continues to employ a valuation policy that is consistent with the provisions of ASC 820. Consistent with its valuation policy, the Fund evaluates the source of inputs, including any markets in which the Funds investments are trading (or any markets in which securities with similar attributes are trading), in determining fair value. The Funds valuation policy considers the fact that because there may not be a readily available market value for the investments in the Funds portfolio, therefore, the fair value of the investments may be determined using unobservable inputs.
The investments classified as Level 1 or Level 2 are typically valued based on quoted market prices, forward foreign exchange rates, dealer quotations or alternative pricing sources supported by observable inputs. The Adviser obtains prices from independent pricing services which generally utilize broker quotes and may use various other pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. The Adviser is responsible for all inputs and assumptions related to the pricing of securities. The Adviser has internal controls in place that support its reliance on information received from third-party pricing sources. As part of its internal controls, the Adviser obtains, reviews, and tests
Ares Dynamic Credit Allocation Fund, Inc.
Notes to Schedule of Investments (Continued)
January 31, 2018 (Unaudited)
information to corroborate prices received from third-party pricing sources. For any security, if market or dealer quotations are not readily available, or if the Adviser determines that a quotation of a security does not represent a fair value, then the security is valued at a fair value as determined in good faith by the Adviser and will be classified as Level 3. In such instances, the Adviser will use valuation techniques consistent with the market or income approach to measure fair value and will give consideration to all factors which might reasonably affect the fair value.
Bank loans and corporate debts: The fair value of bank loans and corporate debt is estimated based on quoted market prices, forward foreign exchange rates, dealer quotations or alternative pricing sources supported by observable inputs and are generally classified within Level 2 or 3. The Adviser obtains prices from independent pricing services which generally utilize broker quotes and may use various other pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. If the pricing services are only able to obtain a single broker quote or utilize a pricing model the securities will be classified as Level 3. If the pricing services are unable to provide prices, the Adviser will attempt to obtain one or more broker quotes directly from a dealer and price such securities at the last bid price obtained; such securities are classified as Level 3.
Collateralized loan obligations: The fair value of CLOs is estimated based on various valuation models from third-party pricing services as well as internal models. The valuation models generally utilize discounted cash flows and take into consideration prepayment and loss assumptions, based on historical experience and projected performance, economic factors, the characteristics and condition of the underlying collateral, comparable yields for similar securities and recent trading activity. These securities are classified as Level 3.
The following is a summary of the inputs used as of January 31, 2018, in valuing the Funds investments carried at fair value:
|
|
Level 1 - Quoted |
|
Level 2 - Other |
|
Level 3 - |
|
Total |
| ||||
Senior Loans |
|
$ |
|
|
$ |
140,766,454 |
|
$ |
23,038,025 |
|
$ |
163,804,479 |
|
Corporate Bonds |
|
|
|
274,656,198 |
|
|
|
274,656,198 |
| ||||
Collateralized Loan Obligations |
|
|
|
|
|
155,424,184 |
|
155,424,184 |
| ||||
Common Stocks |
|
2,337,227 |
|
1,183,720 |
|
2,260,604 |
|
5,781,551 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Total Investments |
|
$ |
2,337,227 |
|
$ |
416,606,372 |
|
$ |
180,722,813 |
|
$ |
599,666,412 |
|
The following is a reconciliation of the Funds investments in which significant unobservable inputs (Level 3) were used in determining fair value
for the period from October 31, 2017 through January 31, 2018:
|
|
Senior Loans |
|
Collateralized |
|
Common |
|
Warrants |
|
Total |
| |||||
Balance as of 10/31/17 |
|
$ |
13,356,837 |
|
$ |
147,531,396 |
|
$ |
2,384,970 |
|
$ |
2,146 |
|
$ |
163,275,349 |
|
Purchases (a) |
|
8,105,111 |
|
16,855,200 |
|
180,669 |
|
|
|
25,140,980 |
| |||||
Sales (b) |
|
(88,855 |
) |
(11,484,015 |
) |
|
|
(89 |
) |
(11,572,959 |
) | |||||
Net realized and unrealized gain/ (loss) |
|
177,707 |
|
2,416,458 |
|
(305,035 |
) |
(2,057 |
) |
2,287,073 |
| |||||
Net Accrued discounts |
|
8,331 |
|
105,145 |
|
|
|
|
|
113,476 |
| |||||
Transfers in to Level 3 (c) |
|
5,965,785 |
|
|
|
|
|
|
|
5,965,785 |
| |||||
Transfers out of Level 3 (c) |
|
(4,486,891 |
|
|
|
|
|
|
|
(4,486,891 |
) | |||||
Balance as of 1/31/18 |
|
$ |
23,038,025 |
|
$ |
155,424,184 |
|
$ |
2,260,604 |
|
$ |
|
|
$ |
180,722,813 |
|
Net change in unrealized appreciation/(depreciation) from Investments held as of 1/31/18 |
|
$ |
730,500 |
|
$ |
488,885 |
|
$ |
(241,760 |
) |
$ |
|
|
$ |
977,625 |
|
Ares Dynamic Credit Allocation Fund, Inc.
Notes to Schedule of Investments (Continued)
January 31, 2018 (Unaudited)
(a) Purchases include PIK interest and securities received from restructure.
(b) Sales include principal redemptions.
(c) Investments were transferred into and out of Level 3 and into and out of Level 2 during the period ended January 31, 2018 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by the Adviser.
The valuation techniques used by the Adviser to measure fair value as of January 31, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs. The valuation techniques and significant amounts of unobservable inputs used in the valuation of the Funds Level 3 securities are outlined in the table below.
|
|
Fair Value |
|
Valuation Technique |
|
Unobservable Inputs |
|
Range |
| |
Assets |
|
|
|
|
|
|
|
|
| |
Investments in securities |
|
|
|
|
|
|
|
|
| |
Senior Loans |
|
$ |
23,038,025 |
|
Broker Quotes and/or 3rd Party Pricing Services |
|
N/A |
|
N/A |
|
Collateralized Loan Obligations |
|
150,120,434 |
|
Broker Quotes and/or 3rd Party Pricing Services |
|
N/A |
|
N/A |
| |
Collateralized Loan Obligations |
|
5,303,750 |
|
Other |
|
Recent Transaction Price |
|
$90-96 |
| |
Common Stock |
|
2,260,604 |
|
Broker Quotes and/or 3rd Party Pricing Services |
|
N/A |
|
N/A |
| |
Total Level 3 Investments |
|
$ |
180,722,813 |
|
|
|
|
|
|
|
There were no transfers between Level 1 and 2 during the period. It is the Funds policy to recognize transfers into and out of all levels at the end of the reporting period.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective at a reasonable level of assurance based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report on Form N-Q as required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no significant changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
The following exhibits are attached to this Form N-Q:
EXHIBIT NO. |
|
DESCRIPTION OF EXHIBIT |
|
|
|
3 (a) (1) |
|
Certification of Principal Executive Officer pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 |
3 (a) (2) |
|
Certification of Principal Financial Officer pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 |
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): Ares Dynamic Credit Allocation Fund, Inc.
By: |
/s/ Seth J. Brufsky |
|
|
Seth J. Brufsky |
|
|
President and Chief Executive Officer |
|
|
| |
|
| |
Date: March 18, 2018 |
|
Pursuant to the requirements of the Securities 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/ Seth J. Brufsky |
|
|
Seth J. Brufsky |
|
|
President and Chief Executive Officer |
|
|
|
|
|
|
|
Date: March 18, 2018 |
| |
|
| |
|
| |
By: |
/s/ Scott Lem |
|
|
Scott Lem |
|
|
Chief Financial Officer |
|
|
|
|
|
|
|
Date: March 18, 2018 |
|
Exhibit 99.CERT
Exhibit 3 (a) (1)
CERTIFICATIONS
I, Seth J. Brufsky, certify that:
1. I have reviewed this report on Form N-Q of Ares Dynamic Credit Allocation Fund, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
|
/s/ Seth J. Brufsky |
|
|
Seth J. Brufsky |
|
|
President and Chief Executive Officer |
|
Date: March 18, 2018
Exhibit 3 (a) (2)
CERTIFICATIONS
I, Scott Lem, certify that:
1. I have reviewed this report on Form N-Q of Ares Dynamic Credit Allocation Fund, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
|
/s/ Scott Lem |
|
|
Scott Lem |
|
|
Chief Financial Officer |
|
Date: March 18, 2018