INVESTMENT PORTFOLIO (unaudited)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) 91.8% |
||||||||
AEROSPACE AND DEFENSE 3.1% |
||||||||
563,986 | TransDigm, Inc., Tranche E Refinancing Term Loan, 1st Lien, |
554,822 | ||||||
486,718 | TransDigm, Inc., Tranche F Refinancing Term Loan, 1st Lien, |
479,188 | ||||||
243,110 | TransDigm, Inc., Tranche G Refinancing Term Loan, 1st Lien, |
240,102 | ||||||
|
|
|||||||
1,274,112 | ||||||||
|
|
|||||||
BEVERAGE, FOOD AND TOBACCO 1.2% |
||||||||
498,731 | Froneri International Ltd., Facility B2, 1st Lien, |
490,716 | ||||||
|
|
|||||||
BROADCASTING 0.3% |
||||||||
297,716 | Diamond Sports Group, LLC, Term Loan, 1st Lien, |
104,449 | ||||||
|
|
|||||||
BROADCASTING AND ENTERTAINMENT 1.2% |
||||||||
500,000 | Telenet Financing USD, LLC, Term Loan AR Facility, 1st Lien, |
489,642 | ||||||
|
|
|||||||
BUILDING AND DEVELOPMENT 2.2% |
||||||||
598,485 | Brookfield WEC Holdings, Inc., Initial Term Loan (2021), 1st Lien, |
588,855 | ||||||
299,264 | CP Atlas Buyer, Inc., Term B Loan, |
291,409 | ||||||
|
|
|||||||
880,264 | ||||||||
|
|
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
BUILDING MATERIALS 2.3% |
||||||||
548,593 | American Builders & Contractors Supply Co., Inc., Restatement Effective Date Term
Loan, 1st Lien, |
542,595 | ||||||
405,535 | Quikrete Holdings, Inc., Term Loan B, 1st Lien, |
396,623 | ||||||
|
|
|||||||
939,218 | ||||||||
|
|
|||||||
BUSINESS EQUIPMENT AND SERVICES 3.2% |
||||||||
198,990 | Asplundh Tree Expert, Term Loan, 1st Lien, |
197,235 | ||||||
299,248 | Cengage Learning, Inc. Term B Loan, 1st Lien, |
297,229 | ||||||
299,248 | CHG Healthcare Services, Inc., Initial Term Loan, 1st Lien, |
297,004 | ||||||
498,750 | TK Elevator Midco GmbH, Facility B1 (USD), |
495,012 | ||||||
|
|
|||||||
1,286,480 | ||||||||
|
|
|||||||
CABLE AND SATELLITE TELEVISION 2.7% |
||||||||
620,750 | DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien, |
620,871 | ||||||
500,000 | Ziggo Financing Partnership, Term Loan I Facility, 1st Lien, |
493,437 | ||||||
|
|
|||||||
1,114,308 | ||||||||
|
|
|||||||
CARGO TRANSPORT 1.6% |
||||||||
249,375 | First Student Bidco Inc., Initial Term B Loan, 1st Lien, |
247,678 |
INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
CARGO TRANSPORT (continued) |
||||||||
397,970 | Genesee & Wyoming, Inc., Term Loan, 1st Lien, |
394,177 | ||||||
|
|
|||||||
641,855 | ||||||||
|
|
|||||||
CHEMICALS 0.6% |
||||||||
249,349 | Ineos U.S. Finance, LLC, Cov-Lite, Term Loan B, 1st
Lien, |
245,374 | ||||||
|
|
|||||||
CHEMICALS AND PLASTICS 0.7% |
||||||||
297,271 | SCIH Salt Holdings, Inc., Incremental Term B-1 Loan,
1st Lien, |
292,971 | ||||||
|
|
|||||||
COMPUTERS AND ELECTRONICS 1.9% |
||||||||
295,361 | MH Sub I, LLC (Micro Holding Corp.), Amendment No. 2 Initial Term Loan, 1st Lien, |
292,243 | ||||||
498,721 | UKG, Inc., Initial Term Loan, 1st Lien, |
497,475 | ||||||
|
|
|||||||
789,718 | ||||||||
|
|
|||||||
CONGLOMERATES 0.6% |
||||||||
248,750 | MPH Acquisition Holdings, LLC, Initial Term Loan, 1st Lien, |
242,268 | ||||||
|
|
|||||||
CONSTRUCTION 1.3% |
||||||||
548,560 | Brand Energy & Infrastructure Services, Inc. (fka FR Brand Acquisition Corp.), Initial
Term Loan, |
525,362 | ||||||
|
|
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
CONSUMER PRODUCTS 0.3% |
||||||||
239,151 | Revlon Consumer Products Corp., 2016 Term Loan, 1st Lien, |
124,209 | ||||||
|
|
|||||||
CONTAINERS AND GLASS PRODUCTS 1.4% |
||||||||
299,250 | Pretium PKG Holdings, Inc., Initial Term Loan, 1st Lien, |
291,341 | ||||||
299,246 | Tricorbraun Holdings, Inc., Closing Date Initial Term Loan, 1st Lien, |
292,595 | ||||||
|
|
|||||||
583,936 | ||||||||
|
|
|||||||
DIVERSIFIED MEDIA 1.2% |
||||||||
296,206 | Crown Finance U.S., Inc., Second Amendment Dollar Tranche Term Loan, |
225,025 | ||||||
247,983 | William Morris Endeavor Entertainment, LLC (IMG Worldwide Holdings, LLC), Term B-1 Loan, 1st Lien, |
244,212 | ||||||
|
|
|||||||
469,237 | ||||||||
|
|
|||||||
DIVERSIFIED/CONGLOMERATE SERVICE 1.4% |
||||||||
569,987 | Trans Union, LLC, 2019 Replacement Term B-5 Loan, 1st
Lien, |
562,649 | ||||||
|
|
|||||||
ELECTRONICS 3.0% |
||||||||
498,553 | Boxer Parent Co., Inc., 2021 Replacement Dollar Term Loan, |
496,270 | ||||||
400,000 | Mitchell International, Inc., Initial Term Loan, 1st Lien, |
394,160 |
INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
ELECTRONICS (continued) |
||||||||
349,125 | Proofpoint, Inc., Initial Term Loan, 1st Lien, |
345,803 | ||||||
|
|
|||||||
1,236,233 | ||||||||
|
|
|||||||
ELECTRONICS/ELECTRICAL 6.4% |
||||||||
197,000 | Epicor Software Corp. (fka Eagle Parent Inc.), Term C Loan, 1st Lien, |
195,689 | ||||||
241,493 | Go Daddy Operating Co., LLC (GD Finance Co., Inc.), Tranche
B-2 Term Loan, 1st Lien, |
240,235 | ||||||
497,500 | Polaris Newco, LLC, Dollar Term Loan, 1st Lien, |
494,577 | ||||||
698,246 | RealPage, Inc., Initial Term Loan, 1st Lien, |
691,263 | ||||||
798,000 | UKG, Inc., 2021-2 Incremental Term Loan, 1st
Lien, |
792,650 | ||||||
198,492 | Zelis Cost Management Buyer, Inc., Term B-1 Loan, 1st
Lien, |
196,835 | ||||||
|
|
|||||||
2,611,249 | ||||||||
|
|
|||||||
FINANCIAL INTERMEDIARIES 2.3% |
||||||||
398,927 | Brown Group Holdings LLC, Initial Term Loan, 1st Lien, |
394,355 | ||||||
248,125 | Edelman Financial Engines Center, LLC, The, Initial Term Loan (2021), 1st Lien, |
245,696 |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
FINANCIAL INTERMEDIARIES (continued) |
||||||||
299,223 | Focus Financial Partners, LLC, Tranche B-3 Term Loan,
1st Lien, |
295,608 | ||||||
|
|
|||||||
935,659 | ||||||||
|
|
|||||||
FOOD SERVICE 1.8% |
||||||||
498,701 | IRB Holding Corp., 2020 Replacement Term B Loan, 1st Lien, |
495,507 | ||||||
249,375 | Whatabrands, LLC, Initial Term B Loan, 1st Lien, |
246,701 | ||||||
|
|
|||||||
742,208 | ||||||||
|
|
|||||||
FOOD/DRUG RETAILERS 0.7% |
||||||||
299,233 | U.S. Food, Inc. (aka U.S. Food Service, Inc.) Incremental
B-2019 Term Loan, 1st Lien, |
293,894 | ||||||
|
|
|||||||
GAMING/LEISURE 3.6% |
||||||||
441,211 | Crown Finance U.S., Inc., Initial Dollar Tranche Term Loan, |
341,681 | ||||||
349,404 | NASCAR Holdings, LLC, Initial Term Loan, |
347,024 | ||||||
299,228 | Station Casinos, LLC, Term B-1 Facility Loan, 1st
Lien, |
295,695 | ||||||
501,327 | UFC Holdings, LLC, Term B-3 Loan, 1st Lien, |
497,076 | ||||||
|
|
|||||||
1,481,476 | ||||||||
|
|
|||||||
HEALTHCARE 8.2% |
||||||||
497,455 | DaVita, Inc., Tranche B-1 Term Loan, 1st Lien, |
494,279 |
INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
HEALTHCARE (continued) |
||||||||
1,154,606 | Envision Healthcare Corp., Initial Term Loan, 1st Lien, |
771,664 | ||||||
672,875 | Grifols Worldwide Operations Ltd., Dollar Tranche B Term Loan, 1st Lien, |
662,530 | ||||||
119,315 | Icon Public Ltd. Co., U.S. Dollar Term Loan, |
118,905 | ||||||
397,000 | Jazz Pharmaceuticals Public Ltd. Co., Initial Dollar Term Loan, 1st Lien, |
396,033 | ||||||
299,244 | Petco Health and Wellness Co., Inc., Initial Term Loan, 1st Lien, |
296,867 | ||||||
600,000 | Regionalcare Hospital Partners Holdings, Inc., Term B Loan, 1st Lien, |
597,405 | ||||||
|
|
|||||||
3,337,683 | ||||||||
|
|
|||||||
|
HEALTHCARE, EDUCATION AND |
| ||||||
199,577 | Castle U.S Holding Corp., Initial U.S. Dollar Term Loan, |
193,403 | ||||||
478,889 | Icon Public Ltd. Co., Lux Term Loan, 1st Lien, |
477,244 | ||||||
198,995 | Phoenix Guarantor, Inc., Tranche B-3 Term Loan, 1st
Lien, |
197,182 | ||||||
298,500 | U.S. Anesthesia Partners, Inc., Initial Term Loan, 1st Lien, |
296,952 | ||||||
|
|
|||||||
1,164,781 | ||||||||
|
|
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
HOME FURNISHINGS 1.9% |
||||||||
299,250 | Diamond (BC) B.V., Amendment No. 3 Refinancing Term Loan, |
293,938 | ||||||
199,495 | Pactiv Evergreen, Inc., Tranche B-2 U.S. Term
Loan, |
194,841 | ||||||
276,427 | Reynolds Consumer Products, LLC, Initial Term Loan, 1st Lien, |
272,478 | ||||||
|
|
|||||||
761,257 | ||||||||
|
|
|||||||
HOTELS, MOTELS, INNS AND GAMING 0.7% |
||||||||
299,250 | Ballys Corp., Term B Facility Loan, 1st Lien, |
298,011 | ||||||
|
|
|||||||
INDUSTRIAL EQUIPMENT 2.2% |
||||||||
280,024 | Pro Mach Group, Inc., Closing Date Initial Term Loan, 1st Lien, |
279,149 | ||||||
19,274 | Pro Mach Group, Inc., Delayed Draw Term Loan, 1st Lien, |
19,214 | ||||||
598,493 | Triton Water Holdings, Inc., Initial Term Loan, 1st Lien, |
584,919 | ||||||
|
|
|||||||
883,282 | ||||||||
|
|
|||||||
INSURANCE 5.1% |
||||||||
247,495 | AmWINS Group, Inc, Term Loan, 1st Lien, |
243,782 | ||||||
598,485 | Hub International Ltd., B-3 Incremental Term Loan, 1st
Lien, |
595,492 | ||||||
832,324 | Hub International Ltd., Initial Term Loan, 1st Lien, |
824,001 |
INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
INSURANCE (continued) |
||||||||
396,923 | Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), Initial Term
Loan, 1st Lien, |
393,522 | ||||||
|
|
|||||||
2,056,797 | ||||||||
|
|
|||||||
LEISURE GOODS/ACTIVITIES/MOVIES 1.6% |
||||||||
720,741 | AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, |
645,092 | ||||||
|
|
|||||||
LODGING AND CASINOS 2.2% |
||||||||
247,500 | Playtika Holding Corp., Term B-1 Loan, 1st
Lien, |
244,294 | ||||||
670,603 | Scientific Games International, Inc., Initial Term B-5
Loan, 1st Lien, |
668,899 | ||||||
|
|
|||||||
913,193 | ||||||||
|
|
|||||||
MEDIA/TELECOMMUNICATIONS 5.0% |
||||||||
398,958 | Charter Communications Operating, LLC, Term B-1 Loan,
1st Lien, |
397,899 | ||||||
448,864 | CMG Media Corp., 2021 Term B Loan, 1st Lien, |
442,620 | ||||||
299,206 | Cogeco Communications Finance (USA) LP, Term B Loan, |
296,878 | ||||||
500,000 | Nexstar Broadcasting, Inc., Term B-4 Loan, 1st
Lien, |
498,705 |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
MEDIA/TELECOMMUNICATIONS (continued) |
||||||||
398,964 | SBA Senior Finance II, LLC, Initial Term Loan, 1st Lien, |
394,781 | ||||||
|
|
|||||||
2,030,883 | ||||||||
|
|
|||||||
OIL AND GAS 4.1% |
||||||||
648,359 | Buckeye Partners LP, 2021 Tranche B-1 Term
Loan, |
644,511 | ||||||
397,000 | CQP Holdco LP, Initial Term Loan, 1st Lien, |
395,605 | ||||||
650,000 | Messer Industries GmbH, Initial Term B-1 Loan, 1st
Lien, |
642,596 | ||||||
|
|
|||||||
1,682,712 | ||||||||
|
|
|||||||
PRINTING AND PUBLISHING 1.0% |
||||||||
398,977 | Clear Channel Outdoor Holdings, Inc., Term B Loan, |
392,869 | ||||||
|
|
|||||||
RETAILERS (EXCEPT FOOD AND DRUG) 5.0% |
||||||||
597,000 | Allied Universal Holdco, LLC (fka USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st
Lien, |
588,630 | ||||||
548,489 | Harbor Freight Tools USA, Inc., Initial Loan (2021), 1st Lien, |
538,035 | ||||||
298,496 | Michaels Companies, Inc. The, Term B Loan, 1st Lien, |
280,752 | ||||||
396,992 | Prime Security Services Borrower, LLC, 2021 Refinancing Term
B-1 Loan, 1st Lien, |
394,678 |
INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) (continued) |
||||||||
RETAILERS (EXCEPT FOOD AND DRUG) (continued) |
||||||||
248,087 | Staples, Inc., 2019 Refinancing New Term B-1
Loan, |
235,010 | ||||||
|
|
|||||||
2,037,105 | ||||||||
|
|
|||||||
SERVICE 1.5% |
||||||||
600,000 | Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Term Loan, |
597,525 | ||||||
|
|
|||||||
TELECOMMUNICATIONS 3.6% |
||||||||
598,500 | Radiate Holdco, LLC, Amendment No. 6 Term Loan, 1st Lien, |
594,275 | ||||||
889,112 | Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1st Lien, |
866,515 | ||||||
|
|
|||||||
1,460,790 | ||||||||
|
|
|||||||
UTILITIES 1.8% |
||||||||
198,992 | Calpine Corp., 2020 Term Loan, 1st Lien, |
197,713 | ||||||
249,361 | Calpine Corp., Term Loan B-10, |
246,286 | ||||||
283,983 | Lightstone Holdco, LLC, Refinancing Term B Loan, 1st Lien, |
258,424 | ||||||
16,017 | Lightstone Holdco, LLC, Refinancing Term C Loan, 1st Lien, |
14,576 | ||||||
|
|
|||||||
716,999 | ||||||||
|
|
|||||||
Total US Senior Loans |
37,336,466 | |||||||
|
|
Principal Amount ($) |
Value ($) | |||||||
Foreign Domiciled Senior Loans (a) 2.7% |
||||||||
NETHERLANDS 1.0% |
||||||||
USD |
||||||||
398,000 | Flutter Entertainment plc, USD Term Loan, 1st Lien, |
395,264 | ||||||
|
|
|||||||
UNITED KINGDOM 1.7% |
||||||||
USD |
||||||||
727,177 | Misys Limited, Dollar Term Loan, 1st Lien, |
719,080 | ||||||
|
|
|||||||
719,080 | ||||||||
|
|
|||||||
Total Foreign Domiciled Senior Loans |
1,114,344 | |||||||
|
|
|||||||
Cash Equivalent (c) 24.0% |
||||||||
9,784,363 | Dreyfus Treasury Obligation Cash Management, Institutional Shares, 0.150% |
9,784,363 | ||||||
|
|
|||||||
Total Cash Equivalents |
9,784,363 | |||||||
|
|
|||||||
Total Investments 118.5% |
48,235,173 | |||||||
|
|
|||||||
(Cost $48,864,642) | ||||||||
Other Assets & Liabilities, Net - (18.5)% |
(7,543,730 | ) | ||||||
|
|
|||||||
Net Assets - 100.0% |
40,691,443 | |||||||
|
|
INVESTMENT PORTFOLIO (unaudited) (concluded)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
(a) | Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which the Highland/iBoxx Senior Loan ETF (the Fund) invests generally pay interest at rates which are periodically determined by reference to a base lending rate plus a spread. (Unless otherwise denoted as a fixed rate loan, all senior loans carry a variable interest rate.) These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR) or (iii) the Certificate of Deposit rate. As of March 31, 2022, the LIBOR USD 1 Month, LIBOR USD 3 Month and LIBOR USD 6 Month rates were 0.452%, 0.962% and 1.470%, respectively. Senior loans, while exempt from registration under the Securities Act of 1933, as amended (the 1933 Act), contain certain restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy and the actual remaining maturity may be substantially less than the stated maturity shown. |
(b) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(c) | The rate shown is the 7-day effective yield as of March 31, 2022. |
LLC Limited Liability Company
L.P. Limited Partnership
Ltd. Limited
PLC Public Limited Company
USD U.S. Dollar
Foreign Domiciled Senior Loans Industry Concentration Table: (% of Net Assets) |
||||
Electronics/Electrical |
1.7 | % | ||
Gaming/Leisure |
1.0 | % | ||
|
|
|||
2.7 | % | |||
|
|
NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Organization
Highland Funds I (the Trust) was organized as a Delaware statutory trust on February 28, 2006. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Trust is currently comprised of three funds, each of which is non-diversified. The financial statements herein are those of the Highland/iBoxx Senior Loan ETF (the Fund). The Fund is a non-diversified exchange-traded fund (ETF). The financial statements of the remaining funds of the Trust are presented separately.
Valuation of Investments
In computing the Funds net assets attributable to shares, securities with readily available market quotations on the New York Stock Exchange, National Association of Securities Dealers Automatic Quotation System (NASDAQ) or other nationally recognized exchange use the closing quotations on the respective exchange for valuation of those securities. Securities for which there are no readily available market quotations will be valued pursuant to policies adopted by the Funds Board of Trustees (the Board). Typically, such securities will be valued at the mean between the most recently quoted bid and ask prices provided by the principal market makers. If there is more than one such principal market maker, the value shall be the average of such means. Securities without a sale price or quotations from principal market makers on the valuation day may be priced by an independent pricing service. Investments in mutual funds are valued at their respective net asset values as determined by those mutual funds each business day. Generally, the Funds loan and bond positions are not traded on exchanges and consequently are valued based on a mean of the bid and ask price from the third-party pricing services or broker-dealer sources that Highland Capital Management Fund Advisors, L.P. (the Investment Adviser) has determined to have the capability to provide appropriate pricing services and have been approved by the Board.
Securities for which market quotations are not readily available, for which the Fund has determined the price received from a pricing service or broker-dealer is stale or otherwise does not represent fair value (such as when events materially affecting the value of securities occur between the time when market price is determined and calculation of the Funds NAV), will be valued by the Fund at fair value, as determined by the Board or its designee in good faith in accordance with procedures approved by the Board, taking into account factors reasonably determined to be relevant, including, among other things: (i) the fundamental analytical data relating to the investment; (ii) the nature and duration of restrictions on disposition of the securities; and (iii) an evaluation of the forces that influence the market in which these securities are purchased and sold. In these cases, the Funds NAV will reflect the affected portfolio securities fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Determination of fair value is uncertain because it involves subjective judgments and estimates.
There can be no assurance that the Funds valuation of a security will not differ from the amount that it realizes upon the sale of such security. Those differences could have a material impact on the Fund.
The NAV shown in the Funds financial statements may vary from the NAV published by the Fund as of the end of the reporting period because portfolio securities transactions are accounted for on the trade date (rather than the day following the trade date) for financial statement purposes.
NOTES TO INVESTMENT PORTFOLIOS (unaudited) (continued)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
Fair Value Measurements
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Funds investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the lowest level input that is significant to that investments valuation. The three levels of the fair value hierarchy are described below:
Level 1 | Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement; | |
Level 2 | Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active, but are valued based on executed trades; broker quotations that constitute an executable price; and alternative pricing sources supported by observable inputs are classified within Level 2. Level 2 inputs are either directly or indirectly observable for the asset in connection with market data at the measurement date; and | |
Level 3 | Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Funds own assumptions that market participants would use to price the asset or liability based on the best available information. |
The Investment Adviser has established policies and procedures, as described above and approved by the Board, to ensure that valuation methodologies for investments and financial instruments that are categorized within all levels of the fair value hierarchy are fair and consistent. A Pricing Committee has been established to provide oversight of the valuation policies, processes and procedures, and is comprised of personnel from the Investment Adviser. The Pricing Committee meets monthly to review the proposed valuations for investments and financial instruments and is responsible for evaluating the overall fairness and consistent application of established policies.
As of March 31, 2022, the Funds investments consisted of senior loans and cash equivalent. The fair value of the Funds loans is generally based on quotes received from brokers or independent pricing services. Loans with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets. Loans that are priced using quotes derived from implied values, indicative bids, or a limited number of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable.
At the end of each calendar quarter, management evaluates the Level 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
NOTES TO INVESTMENT PORTFOLIO (unaudited) (concluded)
As of March 31, 2022 | Highland/iBoxx Senior Loan ETF |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out of the levels are recognized at the value of the security at the end of the period. A summary of the levels of inputs used to value the Funds assets as of March 31, 2022 is as follows:
Total Market Fair Value at 03/31/22 |
Level 1 Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
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Highland/iBoxx Senior Loan ETF |
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Assets |
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US Senior Loans* |
$ | 37,336,466 | $ | | $ | 37,336,466 | $ | | ||||||||
Foreign Domiciled Senior Loans* |
1,114,344 | | 1,114,344 | | ||||||||||||
Cash Equivalent* |
9,784,363 | 9,784,363 | | | ||||||||||||
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Total |
$ | 48,235,173 | $ | 9,784,363 | $ | 38,450,810 | $ | | ||||||||
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* | Please refer to the Investment Portfolio for industry/country breakout. |
For more information with regard to significant accounting policies, see the most recent annual or semi-annual report filed with the U.S. Securities and Exchange Commission.
HFI-QH-001-1800