|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) – 108.2%
|
||||
|
|
Aerospace & Defense – 1.5%
|
|
|
|
|
$3,989,925
|
Transdigm, Inc., Term Loan H, 3 Mo. CME Term SOFR + 3.25%,
0.00% Floor
|
8.60
%
|
02/22/27
|
$4,004,009
|
|
399,646
|
Transdigm, Inc., Term Loan J, 3 Mo. CME Term SOFR + 3.25%,
0.00% Floor
|
8.60
%
|
02/28/31
|
401,530
|
|
|
|
4,405,539
|
||
|
|
Application Software – 19.3%
|
|
|
|
|
621,303
|
Applied Systems, Inc., 2024 Term Loan, 1 Mo. CME Term SOFR
+ 3.50%, 0.00% Floor
|
8.82
%
|
02/23/31
|
624,344
|
|
7,154,586
|
CCC Intelligent Solutions, Inc., Term Loan B, 1 Mo. CME Term
SOFR + CSA + 2.25%, 0.50% Floor
|
7.69
%
|
09/21/28
|
7,144,141
|
|
1,508,171
|
ConnectWise, LLC, Term Loan B, 3 Mo. CME Term SOFR + CSA
+ 3.50%, 0.50% Floor
|
8.96
%
|
09/30/28
|
1,507,937
|
|
3,073,312
|
Epicor Software Corp., First Lien Term Loan C, 1 Mo. CME Term
SOFR + CSA + 3.25%, 0.75% Floor
|
8.69
%
|
07/30/27
|
3,084,945
|
|
4,330,055
|
Gainwell Acquisition Corp. (fka Milano), Term Loan B, 3 Mo.
CME Term SOFR + CSA + 4.00%, 0.75% Floor
|
9.45
%
|
10/01/27
|
4,151,440
|
|
1,076,161
|
Genesys Cloud Services Holding II, LLC (f/k/a Greeneden), 2024
Incremental Term Loan, 1 Mo. CME Term SOFR + CSA +
3.75%, 0.75% Floor
|
9.19
%
|
12/01/27
|
1,080,869
|
|
2,665,156
|
Greeneden U.S. Holdings II, LLC (Genesys Telecommunications
Laboratories, Inc.), Initial Dollar Term Loan, 1 Mo. CME Term
SOFR + CSA + 4.00%, 0.75% Floor
|
9.44
%
|
12/01/27
|
2,677,376
|
|
4,508,563
|
Informatica Corp., Initial Term Loan B, 1 Mo. CME Term SOFR +
CSA + 2.75%, 0.00% Floor
|
8.19
%
|
10/29/28
|
4,518,436
|
|
1,814,654
|
Internet Brands, Inc. (Web MD/MH Sub I. LLC), 2023 New Term
Loan B, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor
|
9.58
%
|
05/03/28
|
1,787,661
|
|
1,265,863
|
Internet Brands, Inc. (Web MD/MH Sub I. LLC), 2nd Lien Term
Loan, 1 Mo. CME Term SOFR + 6.25%, 0.00% Floor
|
11.58
%
|
02/23/29
|
1,222,881
|
|
68,805
|
ION Trading Technologies Limited, Term Loan B, 3 Mo. CME
Term SOFR + CSA + 4.75%, 0.00% Floor
|
10.20
%
|
04/01/28
|
68,492
|
|
2,016,198
|
LogMeIn, Inc. (GoTo Group, Inc.), First Lien First Out TL, 1 Mo.
CME Term SOFR + CSA + 4.75%, 0.00% Floor
|
10.17
%
|
04/30/28
|
1,935,550
|
|
2,016,198
|
LogMeIn, Inc. (GoTo Group, Inc.), First Lien Second Out TL, 1
Mo. CME Term SOFR + CSA + 4.75%, 0.00% Floor
|
10.17
%
|
04/30/28
|
1,416,379
|
|
245,987
|
LogMeIn, Inc. (GoTo Group, Inc.), New Money First Out Term
Loan, 1 Mo. CME Term SOFR + 4.75%, 0.00% Floor
|
10.18
%
|
04/30/28
|
236,148
|
|
1,920,680
|
McAfee Corp. (Condor Merger Sub, Inc.), Tranche B-1 Term Loan,
1 Mo. CME Term SOFR + CSA + 3.75%, 0.50% Floor
|
9.18
%
|
02/28/29
|
1,916,561
|
|
356,614
|
N-Able, Inc., Term Loan B, 3 Mo. CME Term SOFR + CSA +
2.75%, 0.50% Floor
|
8.35
%
|
07/19/28
|
357,059
|
|
1,926,074
|
Open Text Corporation (GXS), 2023 Replacement Term Loan, 1
Mo. CME Term SOFR + CSA + 2.75%, 0.50% Floor
|
8.18
%
|
01/31/30
|
1,930,359
|
|
5,108,218
|
Open Text Corporation (GXS), Term Loan B, 1 Mo. CME Term
SOFR + CSA + 1.75%, 0.00% Floor
|
7.18
%
|
05/30/25
|
5,118,205
|
|
526,375
|
PowerSchool Holdings, Inc. (Severin), Extended Term Loan, 3 Mo.
CME Term SOFR + 3.25%, 0.00% Floor
|
8.56
%
|
08/01/27
|
527,596
|
|
405,613
|
Qlik Technologies (Project Alpha Intermediate Holding, Inc.), Term
Loan B, 3 Mo. CME Term SOFR + 4.75%, 0.50% Floor
|
10.06
%
|
10/31/30
|
407,245
|
|
912,941
|
RealPage, Inc., Second Lien Term Loan, 1 Mo. CME Term SOFR
+ CSA + 6.50%, 0.75% Floor
|
11.94
%
|
04/22/29
|
910,659
|
|
5,659,121
|
RealPage, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA +
3.00%, 0.50% Floor
|
8.44
%
|
04/24/28
|
5,515,181
|
|
3,050,397
|
SolarWinds Holdings, Inc., 2024 Refi Term Loan, 1 Mo. CME
Term SOFR + 3.25%, 0.00% Floor
|
8.58
%
|
02/05/27
|
3,058,404
|
|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
|
||||
|
|
Application Software (Continued)
|
|
|
|
|
$482,622
|
Solera Holdings, Inc. (Polaris Newco), Term Loan B, 3 Mo. CME
Term SOFR + CSA + 4.00%, 0.50% Floor
|
9.57
%
|
06/04/28
|
$473,544
|
|
1,933,773
|
Ultimate Kronos Group (UKG, Inc.), 2024 Term Loan B, 3 Mo.
CME Term SOFR + 3.50%, 0.00% Floor
|
8.81
%
|
02/10/31
|
1,938,608
|
|
1,989,664
|
Veeam Software Holdings Limited (VS Buyer, LLC), Term Loan
B, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.00% Floor
|
8.68
%
|
02/28/27
|
1,991,743
|
|
|
|
55,601,763
|
||
|
|
Asset Management & Custody Banks – 2.4%
|
|
|
|
|
3,289,218
|
Edelman Financial Engines Center, LLC, Term Loan B, 1 Mo.
CME Term SOFR + CSA + 3.50%, 0.75% Floor
|
8.94
%
|
04/07/28
|
3,283,363
|
|
3,529,299
|
Edelman Financial Engines Center, LLC, Term Loan Second Lien,
1 Mo. CME Term SOFR + CSA + 6.75%, 0.00% Floor
|
12.19
%
|
07/20/26
|
3,545,110
|
|
|
|
6,828,473
|
||
|
|
Automotive Parts & Equipment – 1.4%
|
|
|
|
|
2,023,683
|
Caliber Collision (Wand NewCo 3, Inc.), Term Loan B, 1 Mo.
CME Term SOFR + 3.75%, 0.00% Floor
|
9.08
%
|
01/31/31
|
2,029,379
|
|
2,000,000
|
Clarios Global LP (Power Solutions), 2024 Refi Term Loan B, 1
Mo. CME Term SOFR + 3.00%, 0.00% Floor
|
8.33
%
|
05/06/30
|
2,004,070
|
|
|
|
4,033,449
|
||
|
|
Automotive Retail – 1.0%
|
|
|
|
|
2,736,977
|
Mavis Tire Express Services Topco Corp., 2024 Term Loan B, 1
Mo. CME Term SOFR + 3.75%, 0.75% Floor
|
9.08
%
|
05/04/28
|
2,742,985
|
|
|
Broadcasting – 5.5%
|
|
|
|
|
309,937
|
E.W. Scripps Company, Tranche B-3 Term Loan, 1 Mo. CME Term
SOFR + CSA + 3.00%, 0.75% Floor
|
8.44
%
|
01/07/28
|
299,400
|
|
2,376,766
|
Gray Television, Inc., Term Loan E, 1 Mo. CME Term SOFR +
CSA + 2.50%, 0.00% Floor
|
7.94
%
|
01/02/26
|
2,361,174
|
|
3,101,009
|
iHeartCommunications, Inc., Second Amendment Incremental Term
Loan B, 1 Mo. CME Term SOFR + CSA + 3.23%, 0.50% Floor
|
8.69
%
|
05/01/26
|
2,656,697
|
|
1,199,070
|
iHeartCommunications, Inc., Term Loan B, 1 Mo. CME Term
SOFR + CSA + 3.00%, 0.00% Floor
|
8.44
%
|
05/01/26
|
1,061,176
|
|
6,412,128
|
Nexstar Broadcasting, Inc., Incremental Term Loan B-4, 1 Mo.
CME Term SOFR + CSA + 2.50%, 0.00% Floor
|
7.94
%
|
09/19/26
|
6,405,876
|
|
3,261,240
|
Sinclair Television Group, Inc., Term Loan B-2, 1 Mo. CME Term
SOFR + CSA + 2.50%, 0.00% Floor
|
7.94
%
|
09/30/26
|
3,136,905
|
|
11,469
|
Univision Communications, Inc., 2021 Replacement New First
Lien Term Loan, 1 Mo. CME Term SOFR + CSA + 3.25%,
0.75% Floor
|
8.69
%
|
03/15/26
|
11,474
|
|
|
|
15,932,702
|
||
|
|
Building Products – 0.1%
|
|
|
|
|
261,504
|
Hunter Douglas, Inc. (Solis), Term Loan B, 3 Mo. CME Term
SOFR + 3.50%, 0.50% Floor
|
8.82
%
|
02/25/29
|
259,026
|
|
|
Cable & Satellite – 0.1%
|
|
|
|
|
389,380
|
Charter Communications Operating, LLC, Term Loan B4, 3 Mo.
CME Term SOFR + 2.00%, 0.00% Floor
|
7.33
%
|
12/07/30
|
383,539
|
|
|
Casinos & Gaming – 1.1%
|
|
|
|
|
677,497
|
Caesars Entertainment, Inc. (f/k/a Eldorado Resorts), 2024 Term
Loan, 3 Mo. CME Term SOFR + 2.75%, 0.50% Floor
|
8.04
%
|
02/06/31
|
677,782
|
|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
|
||||
|
|
Casinos & Gaming (Continued)
|
|
|
|
|
$2,388,363
|
Golden Nugget, Inc. (Fertitta Entertainment, LLC), Initial Term
Loan B, 1 Mo. CME Term SOFR + 4.00%, 0.50% Floor
|
9.33
%
|
01/27/29
|
$2,393,069
|
|
214,692
|
Scientific Games Holdings L.P. (Scientific Games Lottery), Initial
Dollar Term Loan, 3 Mo. CME Term SOFR + 3.25%, 0.50%
Floor
|
8.58
%
|
04/04/29
|
214,481
|
|
|
|
3,285,332
|
||
|
|
Commercial Printing – 1.2%
|
|
|
|
|
3,474,960
|
Multi-Color Corp. (LABL, Inc.), Initial Dollar Term Loan, 1 Mo.
CME Term SOFR + CSA + 5.00%, 0.50% Floor
|
10.43
%
|
10/29/28
|
3,375,055
|
|
|
Construction & Engineering – 0.2%
|
|
|
|
|
506,848
|
APi Group DE, Inc., Initial Term Loan, 1 Mo. CME Term SOFR +
CSA + 2.25%, 0.00% Floor
|
7.69
%
|
10/01/26
|
507,798
|
|
|
Diversified Support Services – 0.6%
|
|
|
|
|
1,645,960
|
Consilio (Skopima Consilio Parent, LLC), Term Loan B, 1 Mo.
CME Term SOFR + CSA + 4.00%, 0.50% Floor
|
9.44
%
|
05/17/28
|
1,640,232
|
|
|
Education Services – 1.2%
|
|
|
|
|
3,408,169
|
Ascensus Holdings, Inc. (Mercury), First Lien Term Loan, 1 Mo.
CME Term SOFR + CSA + 3.50%, 0.50% Floor
|
8.94
%
|
08/02/28
|
3,390,276
|
|
|
Electronic Equipment & Instruments – 0.7%
|
|
|
|
|
1,350,813
|
Chamberlain Group, Inc. (Chariot), Term Loan B, 1 Mo. CME
Term SOFR + CSA + 3.25%, 0.50% Floor
|
8.68
%
|
11/03/28
|
1,349,631
|
|
858,760
|
Verifone Systems, Inc., Term Loan B, 3 Mo. CME Term SOFR +
CSA + 4.00%, 0.00% Floor
|
9.59
%
|
08/20/25
|
751,415
|
|
|
|
2,101,046
|
||
|
|
Environmental & Facilities Services – 1.1%
|
|
|
|
|
3,227,493
|
GFL Environmental, Inc., 2023 Refinancing Term Loan, 3 Mo.
CME Term SOFR + 2.50%, 0.50% Floor
|
7.82
%
|
05/31/27
|
3,235,982
|
|
|
Food Distributors – 0.3%
|
|
|
|
|
811,131
|
US Foods, Inc., Incremental B-2019 Term Loan, 1 Mo. CME Term
SOFR + CSA + 2.00%, 0.00% Floor
|
7.44
%
|
09/13/26
|
812,550
|
|
|
Health Care Facilities – 2.7%
|
|
|
|
|
2,483,918
|
Ardent Health Services, Inc. (AHP Health Partners, Inc.), Term
Loan B, 1 Mo. CME Term SOFR + CSA + 3.50%, 0.50% Floor
|
8.94
%
|
08/24/28
|
2,490,748
|
|
637,187
|
Gentiva Health Services, Inc. (Kindred at Home/Charlotte Buyer),
Initial Term B Loan, 1 Mo. CME Term SOFR + 5.25%, 0.50%
Floor
|
10.57
%
|
02/11/28
|
639,758
|
|
4,759,348
|
Select Medical Corp., Tranche B-1, 1 Mo. CME Term SOFR +
3.00%, 0.00% Floor
|
8.33
%
|
03/06/27
|
4,762,347
|
|
|
|
7,892,853
|
||
|
|
Health Care Services – 3.5%
|
|
|
|
|
2,603,538
|
CHG Healthcare Services, Inc., Term Loan B, 1 Mo. CME Term
SOFR + CSA + 3.25%, 0.50% Floor
|
8.69
%
|
09/30/28
|
2,602,574
|
|
2,623,091
|
DaVita, Inc., Tranche B-1 Term Loan, 1 Mo. CME Term SOFR +
CSA + 1.75%, 0.00% Floor
|
7.19
%
|
08/12/26
|
2,623,957
|
|
2,589,099
|
ExamWorks Group, Inc. (Electron Bidco), Term Loan B, 1 Mo.
CME Term SOFR + CSA + 3.00%, 0.50% Floor
|
8.44
%
|
11/01/28
|
2,588,490
|
|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
|
||||
|
|
Health Care Services (Continued)
|
|
|
|
|
$2,150,000
|
Surgery Centers Holdings, Inc., Term Loan B, 1 Mo. CME Term
SOFR + 3.50%, 0.00% Floor
|
8.82
%
|
12/19/30
|
$2,157,020
|
|
|
|
9,972,041
|
||
|
|
Health Care Supplies – 1.8%
|
|
|
|
|
5,234,362
|
Medline Borrower, L.P. (Mozart), Initial Dollar Term Loan, 1 Mo.
CME Term SOFR + CSA + 3.25%, 0.50% Floor
|
8.44
%
|
10/21/28
|
5,240,905
|
|
|
Health Care Technology – 9.4%
|
|
|
|
|
4,813,592
|
athenahealth, Inc. (Minerva Merger Sub, Inc.), Term Loan B, 1
Mo. CME Term SOFR + 3.50%, 0.50% Floor
|
8.58
%
|
02/15/29
|
4,784,253
|
|
995,977
|
Ciox Health (Healthport/CT Technologies Intermediate Holdings,
Inc.), New Term Loan B, 1 Mo. CME Term SOFR + CSA +
4.25%, 0.75% Floor
|
9.69
%
|
12/16/25
|
981,924
|
|
1,696,219
|
Ensemble RCM, LLC (Ensemble Health), 2024 Refi Loan, 3 Mo.
CME Term SOFR + 3.00%, 0.00% Floor
|
8.32
%
|
08/01/29
|
1,688,536
|
|
393,107
|
Mediware (Wellsky/Project Ruby Ultimate Parent Corp.), 2024
Incremental Term Loan, 1 Mo. CME Term SOFR + CSA +
3.50%, 0.00% Floor
|
8.94
%
|
03/10/28
|
394,090
|
|
4,217,422
|
Mediware (Wellsky/Project Ruby Ultimate Parent Corp.), Term
Loan B, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.75% Floor
|
8.69
%
|
03/10/28
|
4,198,232
|
|
5,241,699
|
Navicure, Inc. (Waystar Technologies, Inc.), 2024 Refi Term Loan,
1 Mo. CME Term SOFR + 4.00%, 0.00% Floor
|
9.33
%
|
10/31/29
|
5,254,803
|
|
1,497,687
|
R1 RCM Holdco, Inc., Term Loan B, 1 Mo. CME Term SOFR +
3.00%, 0.50% Floor
|
8.33
%
|
06/21/29
|
1,500,181
|
|
3,368,724
|
Verscend Technologies, Inc. (Cotiviti), Floating Rate Loan, 1 Mo.
CME Term SOFR + 3.25%, 0.00% Floor
|
8.58
%
|
02/28/31
|
3,360,302
|
|
4,979,138
|
Zelis Payments Buyer, Inc., Term Loan B-2, 3 Mo. CME Term
SOFR + 2.75%, 0.00% Floor
|
8.07
%
|
09/28/29
|
4,983,494
|
|
|
|
27,145,815
|
||
|
|
Hotels, Resorts & Cruise Lines – 0.3%
|
|
|
|
|
454,848
|
Alterra Mountain Co., Term Loan B-2, 1 Mo. CME Term SOFR +
CSA + 3.50%, 0.50% Floor
|
8.94
%
|
08/17/28
|
456,056
|
|
394,972
|
Wyndham Hotels & Resorts, Inc., Extended Term Loan B, 1 Mo.
CME Term SOFR + CSA + 2.25%, 0.00% Floor
|
7.68
%
|
05/25/30
|
396,208
|
|
|
|
852,264
|
||
|
|
Industrial Machinery & Supplies & Components – 1.2%
|
|
|
|
|
944,248
|
Filtration Group Corp., 2021 Incremental Term Loan B, 1 Mo.
CME Term SOFR + CSA + 3.50%, 0.50% Floor
|
8.94
%
|
10/21/28
|
945,754
|
|
1,761,750
|
Filtration Group Corp., 2023 Extended Term Loan, 1 Mo. CME
Term SOFR + CSA + 4.25%, 0.50% Floor
|
9.69
%
|
10/21/28
|
1,765,441
|
|
610,979
|
TK Elevator Newco GMBH (Vertical U.S. Newco, Inc.), New
Term Loan B1 (USD), 3 Mo. CME Term SOFR + CSA + 3.50%,
0.50% Floor
|
9.08
%
|
07/31/27
|
612,611
|
|
|
|
3,323,806
|
||
|
|
Insurance Brokers – 19.0%
|
|
|
|
|
6,812,779
|
Alliant Holdings I, LLC, Term Loan B-6, 1 Mo. CME Term SOFR
+ 3.50%, 0.50% Floor
|
8.82
%
|
11/06/30
|
6,823,237
|
|
3,702,681
|
Amwins Group, Inc., Feb. 2023 Incremental Term Loan, 1 Mo.
CME Term SOFR + CSA + 2.75%, 0.75% Floor
|
8.19
%
|
02/19/28
|
3,706,976
|
|
1,979,604
|
Amwins Group, Inc., Term Loan B, 1 Mo. CME Term SOFR +
CSA + 2.25%, 0.75% Floor
|
7.69
%
|
02/19/28
|
1,973,823
|
|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
|
||||
|
|
Insurance Brokers (Continued)
|
|
|
|
|
$469,437
|
AssuredPartners, Inc., 2021 Term Loan B, 1 Mo. CME Term SOFR
+ CSA + 3.50%, 0.50% Floor
|
8.94
%
|
02/12/27
|
$470,082
|
|
1,795,653
|
AssuredPartners, Inc., Incremental Term Loan 2022, 1 Mo. CME
Term SOFR + 3.50%, 0.50% Floor
|
8.83
%
|
02/12/27
|
1,798,122
|
|
6,362,624
|
AssuredPartners, Inc., Term Loan B, 1 Mo. CME Term SOFR +
CSA + 3.50%, 0.00% Floor
|
8.94
%
|
02/12/27
|
6,374,554
|
|
106,823
|
AssuredPartners, Inc., Term Loan B-4, 1 Mo. CME Term SOFR +
3.75%, 0.50% Floor
|
9.08
%
|
02/13/27
|
107,103
|
|
823,668
|
BroadStreet Partners, Inc., 2023 Term B Loan, 1 Mo. CME Term
SOFR + 3.75%, 0.00% Floor
|
9.08
%
|
01/26/29
|
824,998
|
|
6,418,181
|
BroadStreet Partners, Inc., Initial Term Loan B, 1 Mo. CME Term
SOFR + CSA + 3.00%, 0.00% Floor
|
8.44
%
|
01/27/27
|
6,418,534
|
|
7,534,108
|
HUB International Limited, 2024 Refi Term Loan B, 3 Mo. CME
Term SOFR + 3.25%, 0.75% Floor
|
8.57
%
|
06/20/30
|
7,534,485
|
|
130,043
|
Hyperion Insurance Group Limited (aka - Howden Group), 2023
USD Term Loan, 1 Mo. CME Term SOFR + 4.00%,
0.50% Floor
|
9.33
%
|
04/18/30
|
130,189
|
|
1,595,929
|
IMA Financial Group, Inc., Term Loan B-1, 1 Mo. CME Term
SOFR + CSA + 3.75%, 0.50% Floor
|
9.19
%
|
11/01/28
|
1,593,934
|
|
2,734,151
|
National Financial Partners Corp. (NFP), Term Loan B, 1 Mo.
CME Term SOFR + CSA + 3.25%, 0.00% Floor
|
8.69
%
|
02/13/27
|
2,741,301
|
|
4,898,051
|
OneDigital Borrower, LLC, Term Loan B, 1 Mo. CME Term SOFR
+ CSA + 4.25%, 0.50% Floor
|
9.68
%
|
11/16/27
|
4,907,260
|
|
3,443,489
|
Ryan Specialty Group, LLC, 2024 Term Loan, 1 Mo. CME Term
SOFR + 2.75%, 0.75% Floor
|
8.08
%
|
09/01/27
|
3,451,375
|
|
4,380,878
|
USI, Inc., 2023 Refi Tranche, 3 Mo. CME Term SOFR + 3.25%,
0.00% Floor
|
8.60
%
|
09/30/30
|
4,386,705
|
|
1,708,181
|
USI, Inc., 2023-B New Term Loan, 3 Mo. CME Term SOFR +
3.00%, 0.00% Floor
|
8.35
%
|
11/22/29
|
1,709,556
|
|
|
|
54,952,234
|
||
|
|
Integrated Telecommunication Services – 2.9%
|
|
|
|
|
3,336,193
|
Numericable (Altice France SA or SFR), Term Loan B-11, 3 Mo.
LIBOR + 2.75%, 0.00% Floor
|
8.32
%
|
07/31/25
|
3,306,117
|
|
994,975
|
Numericable (Altice France SA or SFR), Term Loan B-12, 3 Mo.
LIBOR + 3.69%, 0.00% Floor
|
9.26
%
|
01/31/26
|
980,050
|
|
1,223,457
|
Zayo Group Holdings, Inc., Incremental Term Loan B-2, 1 Mo.
CME Term SOFR + 4.25%, 0.50% Floor
|
9.65
%
|
03/09/27
|
1,107,896
|
|
3,255,695
|
Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1 Mo. CME
Term SOFR + CSA + 3.00%, 0.00% Floor
|
8.44
%
|
03/09/27
|
2,939,616
|
|
|
|
8,333,679
|
||
|
|
IT Consulting & Other Services – 0.2%
|
|
|
|
|
575,530
|
CDK Global, Inc. (Central Parent, Inc.), Term Loan B, 3 Mo. CME
Term SOFR + 4.00%, 0.00% Floor
|
9.35
%
|
07/06/29
|
577,521
|
|
|
Leisure Products – 0.1%
|
|
|
|
|
199,731
|
Amer Sports Company, Term Loan B, 3 Mo. CME Term SOFR +
3.25%, 0.00% Floor
|
8.58
%
|
02/16/31
|
199,731
|
|
|
Life Sciences Tools & Services – 0.4%
|
|
|
|
|
1,245,388
|
WCG Purchaser Corp. (WIRB- Copernicus Group), Term Loan B,
1 Mo. CME Term SOFR + CSA + 4.00%, 1.00% Floor
|
9.44
%
|
01/08/27
|
1,246,957
|
|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
|
||||
|
|
Managed Health Care – 0.3%
|
|
|
|
|
$821,549
|
Multiplan, Inc. (MPH), Term Loan B, 3 Mo. CME Term SOFR +
CSA + 4.25%, 0.50% Floor
|
9.85
%
|
08/31/28
|
$796,615
|
|
|
Metal, Glass & Plastic Containers – 0.7%
|
|
|
|
|
2,049,584
|
ProAmpac PG Borrower, LLC, First Lien Term Loan, 3 Mo. CME
Term SOFR + 4.50%, 0.75% Floor
|
9.80%-9.82%
|
09/15/28
|
2,055,221
|
|
|
Other Specialty Retail – 0.7%
|
|
|
|
|
2,189,725
|
Petco Health and Wellness Company, Inc., Initial Term Loan B, 3
Mo. CME Term SOFR + CSA + 3.25%, 0.75% Floor
|
8.86
%
|
03/04/28
|
2,097,625
|
|
|
Packaged Foods & Meats – 0.6%
|
|
|
|
|
1,473,591
|
Shearer’s Foods, LLC (Fiesta Purchaser, Inc.), Term Loan B, 2 Mo.
CME Term SOFR + 4.00%, 0.00% Floor
|
9.32
%
|
02/12/31
|
1,473,783
|
|
269,478
|
Utz Quality Foods, LLC, 2021 New Term Loan, 1 Mo. CME Term
SOFR + 3.00%, 0.00% Floor
|
8.44
%
|
01/20/28
|
269,898
|
|
|
|
1,743,681
|
||
|
|
Paper & Plastic Packaging Products & Materials – 3.1%
|
|
|
|
|
4,982,668
|
Graham Packaging Company L.P., Term Loan B, 1 Mo. CME Term
SOFR + CSA + 3.00%, 0.75% Floor
|
8.44
%
|
08/04/27
|
4,984,113
|
|
1,101,662
|
Pactiv LLC/Evergreen Packaging, LLC (fka Reynolds Group
Holdings), Term Loan B-2, 1 Mo. CME Term SOFR + CSA +
3.25%, 0.00% Floor
|
8.69
%
|
02/05/26
|
1,105,105
|
|
2,942,761
|
Pactiv LLC/Evergreen Packaging, LLC (fka Reynolds Group
Holdings), Tranche B-3 U.S. Term Loan, 1 Mo. CME Term
SOFR + CSA + 3.25%, 0.50% Floor
|
8.69
%
|
09/24/28
|
2,950,353
|
|
|
|
9,039,571
|
||
|
|
Pharmaceuticals – 0.7%
|
|
|
|
|
246,827
|
Nestle Skin Health (Sunshine Lux VII SARL/Galderma), 2021
Term Loan B-3, 3 Mo. CME Term SOFR + 3.60%, 0.75% Floor
|
8.95
%
|
10/02/26
|
247,462
|
|
1,778,816
|
Parexel International Corp. (Phoenix Newco), First Lien Term
Loan, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor
|
8.69
%
|
11/15/28
|
1,779,376
|
|
|
|
2,026,838
|
||
|
|
Property & Casualty Insurance – 1.6%
|
|
|
|
|
4,456,927
|
Sedgwick Claims Management Services, Inc., 2023 Term Loan B,
1 Mo. CME Term SOFR + 3.75%, 0.00% Floor
|
9.08
%
|
02/24/28
|
4,468,582
|
|
|
Research & Consulting Services – 6.8%
|
|
|
|
|
3,128,157
|
AlixPartners, LLP, Term Loan B, 1 Mo. CME Term SOFR + CSA
+ 2.75%, 0.50% Floor
|
7.94
%
|
02/04/28
|
3,131,488
|
|
7,782,419
|
Clarivate Analytics PLC (Camelot), 2024 Term Loan B, 1 Mo.
CME Term SOFR + 2.75%, 0.00% Floor
|
8.08
%
|
01/31/31
|
7,767,827
|
|
6,896,564
|
Dun & Bradstreet Corp., 2024 Refi Term Loan, 1 Mo. CME Term
SOFR + 2.75%, 0.00% Floor
|
8.07
%
|
01/18/29
|
6,888,805
|
|
714,419
|
J.D. Power (Project Boost Purchaser, LLC), 2021 Incremental Term
Loan B, 1 Mo. CME Term SOFR + CSA + 3.50%, 0.50% Floor
|
8.94
%
|
05/30/26
|
715,502
|
|
989,664
|
J.D. Power (Project Boost Purchaser, LLC), Term Loan B, 1 Mo.
CME Term SOFR + CSA + 3.50%, 0.00% Floor
|
8.94
%
|
05/30/26
|
990,748
|
|
139,000
|
Veritext Corporation (VT TopCo, Inc.), Initial Term Loan B, 1 Mo.
CME Term SOFR + 4.25%, 0.50% Floor
|
9.58
%
|
08/10/30
|
139,673
|
|
|
|
19,634,043
|
||
|
Principal
Value
|
Description
|
Rate (a)
|
Stated
Maturity (b)
|
Value
|
|
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
|
||||
|
|
Restaurants – 5.6%
|
|
|
|
|
$6,587,009
|
1011778 B.C. Unlimited Liability Company (Restaurant Brands)
(aka Burger King/Tim Horton’s), Term B-5 Loan, 1 Mo. CME
Term SOFR + 2.25%, 0.00% Floor
|
7.58
%
|
09/21/30
|
$6,567,610
|
|
6,539,975
|
IRB Holding Corp. (Arby’s/Inspire Brands), 2024 Replacement
Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.75%
Floor
|
8.18
%
|
12/15/27
|
6,540,205
|
|
3,093,283
|
Whatabrands, LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA
+ 3.25%, 0.50% Floor
|
8.69
%
|
08/03/28
|
3,091,798
|
|
|
|
16,199,613
|
||
|
|
Security & Alarm Services – 1.6%
|
|
|
|
|
4,549,406
|
Garda World Security Corp., 2024 Refi Term Loan, 3 Mo. CME
Term SOFR + 4.25%, 0.00% Floor
|
9.62
%
|
02/01/29
|
4,555,912
|
|
|
Specialized Consumer Services – 0.3%
|
|
|
|
|
914,614
|
Asurion, LLC, New B-8 Term Loan, 1 Mo. CME Term SOFR +
CSA + 3.25%, 0.00% Floor
|
8.69
%
|
12/23/26
|
910,549
|
|
|
Specialized Finance – 0.2%
|
|
|
|
|
839,596
|
Radiate Holdco, LLC (Astound), Amendment No. 6 Term Loan, 1
Mo. CME Term SOFR + CSA + 3.25%, 0.75% Floor
|
8.69
%
|
09/25/26
|
691,617
|
|
|
Systems Software – 3.9%
|
|
|
|
|
1,499,656
|
Gen Digital, Inc. (fka NortonLifeLock, Inc.), Term Loan B, 1 Mo.
CME Term SOFR + CSA + 2.00%, 0.50% Floor
|
7.43
%
|
09/12/29
|
1,497,684
|
|
2,365,720
|
Idera, Inc., Initial Term Loan, 3 Mo. CME Term SOFR + CSA +
3.75%, 0.75% Floor
|
9.21
%
|
03/02/28
|
2,356,849
|
|
874,713
|
Proofpoint, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA +
3.25%, 0.50% Floor
|
8.69
%
|
08/31/28
|
874,350
|
|
544,523
|
SS&C Technologies Holdings, Inc., Term Loan B-3, 1 Mo. CME
Term SOFR + CSA + 1.75%, 0.00% Floor
|
7.19
%
|
04/16/25
|
544,717
|
|
509,596
|
SS&C Technologies Holdings, Inc., Term Loan B-4, 1 Mo. CME
Term SOFR + CSA + 1.75%, 0.00% Floor
|
7.19
%
|
04/16/25
|
509,777
|
|
5,024,481
|
SS&C Technologies Holdings, Inc., Term Loan B-5, 1 Mo. CME
Term SOFR + 1.75%, 0.00% Floor
|
7.19
%
|
04/16/25
|
5,026,892
|
|
408,867
|
SUSE (Marcel Bidco, LLC), New Term Loan B3, Daily CME
Term SOFR + 4.50%, 0.50% Floor
|
9.81%-9.83%
|
10/31/30
|
410,271
|
|
|
|
11,220,540
|
||
|
|
Trading Companies & Distributors – 0.8%
|
|
|
|
|
2,296,629
|
SRS Distribution, Inc., 2021 Refinancing Term Loan, 1 Mo. CME
Term SOFR + CSA + 3.50%, 0.50% Floor
|
8.94
%
|
06/04/28
|
2,296,629
|
|
111,886
|
SRS Distribution, Inc., 2022 Refinancing Term Loan, 1 Mo. CME
Term SOFR + CSA + 3.50%, 0.50% Floor
|
8.68
%
|
06/04/28
|
111,903
|
|
|
|
2,408,532
|
||
|
|
Transaction & Payment Processing Services – 0.5%
|
|
|
|
|
1,492,000
|
Worldpay (GTCR W Merger Sub, LLC/Boost Newco, LLC), Initial
USD Term Loan, 1 Mo. CME Term SOFR + 3.00%, 0.50% Floor
|
8.33
%
|
12/31/30
|
1,499,460
|
|
|
Wireless Telecommunication Services – 1.6%
|
|
|
|
|
4,612,647
|
SBA Senior Finance II, LLC, 2024 Refi Term Loan B, 1 Mo. CME
Term SOFR + 2.00%, 0.00% Floor
|
7.33
%
|
01/25/31
|
4,615,530
|
|
|
Total Senior Floating-Rate Loan Interests
|
312,237,482
|
||
|
|
(Cost $312,130,726)
|
|
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
CORPORATE BONDS AND NOTES (c) – 5.4%
|
||||
|
|
Application Software – 0.1%
|
|
|
|
|
$238,000
|
GoTo Group, Inc. (d)
|
5.50
%
|
05/01/28
|
$205,573
|
|
238,000
|
GoTo Group, Inc. (d)
|
5.50
%
|
05/01/28
|
141,610
|
|
|
|
347,183
|
||
|
|
Broadcasting – 2.7%
|
|
|
|
|
1,000,000
|
Gray Television, Inc. (d)
|
5.88
%
|
07/15/26
|
950,000
|
|
2,000,000
|
Gray Television, Inc. (d)
|
7.00
%
|
05/15/27
|
1,809,780
|
|
3,043,000
|
Nexstar Media, Inc. (d)
|
5.63
%
|
07/15/27
|
2,887,075
|
|
2,395,000
|
Sirius XM Radio, Inc. (d)
|
3.13
%
|
09/01/26
|
2,235,553
|
|
|
|
7,882,408
|
||
|
|
Cable & Satellite – 1.2%
|
|
|
|
|
2,137,000
|
CCO Holdings, LLC / CCO Holdings Capital Corp. (d)
|
5.13
%
|
05/01/27
|
2,022,393
|
|
1,465,000
|
CSC Holdings, LLC (d)
|
7.50
%
|
04/01/28
|
1,043,080
|
|
374,000
|
CSC Holdings, LLC (d)
|
11.25
%
|
05/15/28
|
386,252
|
|
|
|
3,451,725
|
||
|
|
Casinos & Gaming – 0.4%
|
|
|
|
|
572,000
|
Fertitta Entertainment, LLC / Fertitta Entertainment Finance Co.,
Inc. (d)
|
4.63
%
|
01/15/29
|
519,656
|
|
572,000
|
VICI Properties, L.P. / VICI Note Co., Inc. (d)
|
4.25
%
|
12/01/26
|
547,754
|
|
|
|
1,067,410
|
||
|
|
Insurance Brokers – 0.1%
|
|
|
|
|
346,000
|
AmWINS Group, Inc. (d)
|
4.88
%
|
06/30/29
|
319,514
|
|
|
Integrated Telecommunication Services – 0.2%
|
|
|
|
|
769,000
|
Zayo Group Holdings, Inc. (d)
|
4.00
%
|
03/01/27
|
641,092
|
|
|
Systems Software – 0.7%
|
|
|
|
|
2,000,000
|
Boxer Parent Co., Inc. (d)
|
9.13
%
|
03/01/26
|
1,999,750
|
|
|
Total Corporate Bonds and Notes
|
15,709,082
|
||
|
|
(Cost $16,523,437)
|
|
|
|
|
FOREIGN CORPORATE BONDS AND NOTES (c) – 0.6%
|
||||
|
|
Application Software – 0.0%
|
|
|
|
|
22,000
|
Open Text Corp. (d)
|
3.88
%
|
02/15/28
|
20,238
|
|
|
Environmental & Facilities Services – 0.6%
|
|
|
|
|
1,554,000
|
GFL Environmental, Inc. (d)
|
3.75
%
|
08/01/25
|
1,510,250
|
|
305,000
|
GFL Environmental, Inc. (d)
|
4.00
%
|
08/01/28
|
279,913
|
|
|
|
1,790,163
|
||
|
|
Total Foreign Corporate Bonds and Notes
|
1,810,401
|
||
|
|
(Cost $1,808,698)
|
|
|
|
|
Shares
|
Description
|
Value
|
|
COMMON STOCKS (c) – 0.0%
|
||
|
|
Pharmaceuticals – 0.0%
|
|
|
150,392
|
Akorn, Inc. (e) (f) (g)
|
8,272
|
|
|
(Cost $1,724,086)
|
|
|
RIGHTS (c) – 0.0%
|
||
|
|
Life Sciences Tools & Services – 0.0%
|
|
|
1
|
New Millennium Holdco, Inc., Corporate Claim Trust, no expiration date (g) (h) (i) (j)
|
0
|
|
Shares
|
Description
|
Value
|
|
RIGHTS (c) (Continued)
|
||
|
|
Life Sciences Tools & Services (Continued)
|
|
|
1
|
New Millennium Holdco, Inc., Lender Claim Trust, no expiration date (g) (h) (i) (j)
|
$0
|
|
|
Total Rights
|
0
|
|
|
(Cost $0)
|
|
|
|
Total Investments – 114.2%
|
329,765,237
|
|
|
(Cost $332,186,947)
|
|
|
|
Outstanding Loans – (13.9)%
|
(40,000,000
)
|
|
|
Net Other Assets and Liabilities – (0.3)%
|
(1,123,369
)
|
|
|
Net Assets – 100.0%
|
$288,641,868
|
|
(a)
|
Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically
predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate
offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the
Treasury’s Office of Financial Research or another major financial institution, (iii) the prime rate offered by one or more
United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that
establishes a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund holds more than one contract within
the same tranche with identical LIBOR or SOFR period, spread and floor, but different LIBOR or SOFR reset dates.
|
|
(b)
|
Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of
Senior
Loans may be substantially less than the stated maturities shown.
|
|
(c)
|
All of these securities are available to serve as collateral for the outstanding loans.
|
|
(d)
|
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in
periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors
and
assumptions, which require subjective judgment. At February 29, 2024, securities noted as such amounted to $17,519,483 or
6.1%
of net assets.
|
|
(e)
|
This issuer has filed for protection in bankruptcy court.
|
|
(f)
|
Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an
exemption from registration under the 1933 Act, typically to qualified institutional buyers (see Restricted Securities table).
|
|
(g)
|
Non-income producing security.
|
|
(h)
|
This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Fund’s Board of
Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At
February 29, 2024, securities noted as such are valued at $0 or 0.0% of net assets.
|
|
(i)
|
Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
|
|
(j)
|
This security’s value was determined using significant unobservable inputs (see Valuation Inputs section).
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
CME
|
– Chicago Mercantile Exchange
|
|
CSA
|
– Credit Spread Adjustment
|
|
LIBOR
|
– London Interbank Offered Rate
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
|
Total
Value at
2/29/2024
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Senior Floating-Rate Loan Interests*
|
$312,237,482
|
$—
|
$312,237,482
|
$—
|
|
Corporate Bonds and Notes*
|
15,709,082
|
—
|
15,709,082
|
—
|
|
Foreign Corporate Bonds and Notes*
|
1,810,401
|
—
|
1,810,401
|
—
|
|
Common Stocks*
|
8,272
|
—
|
8,272
|
—
|
|
Rights*
|
—
**
|
—
|
—
|
—
**
|
|
Total Investments
|
$329,765,237
|
$—
|
$329,765,237
|
$—
**
|
|
*
|
See Portfolio of Investments for industry breakout.
|
|
**
|
Investments are valued at $0.
|
|
Security
|
Acquisition
Date
|
Shares
|
Current
Price
|
Carrying
Cost
|
Value
|
% of
Net Assets
|
|
Akorn, Inc.
|
10/15/2020
|
150,392
|
$0.06
|
$1,724,086
|
$8,272
|
0.00
%†
|
|
† Amount is less than 0.01%
|
|
|
|
|
|
|