|
Barings Global Short Duration High Yield Fund
|
||||||||||||||
|
SCHEDULE OF INVESTMENTS
|
||||||||||||||
|
September 30, 2021 (Unaudited)
|
||||||||||||||
|
SHARES
|
COST
|
FAIR VALUE
|
||||||||||||
|
Equities — 3.58%*:
|
||||||||||||||
|
Common Stocks — 3.52%*:
|
||||||||||||||
|
Boomerang Tube Holdings, Inc.¤
|
36,149
|
$
|
3,510,832
|
$
|
0
|
|||||||||
|
ESC CB 144A High Ridge¤
|
2,982
|
0
|
41,748
|
|||||||||||
|
Fieldwood Energy LLC¤
|
167,574
|
4,057,567
|
0
|
|||||||||||
|
Tourmaline Escrow Cash+¤
|
1,197,757
|
0
|
945,647
|
|||||||||||
|
Tourmaline Oil Corp+
|
276,778
|
3,948,373
|
9,669,530
|
|||||||||||
|
Sabine Oil & Gas LLC¤
|
4,342
|
248,858
|
56,446
|
|||||||||||
|
KCA Deutag Ordinary A Shares¤
|
23,585
|
990,570
|
1,963,451
|
|||||||||||
|
Travelex Private Equity+¤
|
13,615
|
1
|
0
|
|||||||||||
|
Total Common Stocks
|
1,722,782
|
12,756,202
|
12,676,822
|
|||||||||||
|
Warrants — 0.06%*:
|
||||||||||||||
|
|
Travelex Topco Limited Warrant+¤
|
2,218
|
0
|
224,140
|
||||||||||
|
Total Warrants
|
2,218
|
0
|
224,140
|
|||||||||||
|
Total Equities
|
1,725,000
|
12,756,202
|
12,900,962
|
|||||||||||
|
EFFECTIVE INTEREST RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
|
Fixed Income — 133.98%*:
|
||||||||||||||
|
Asset-Backed Securities — 13.04%*:
|
||||||||||||||
|
CDO/CLO — 13.04%*:
|
||||||||||||||
|
610 FDG 2016-2R CLO LTD, 3M LIBOR + 7.250%~+^
|
7.44
|
%
|
1/20/2032
|
$ |
1,550,000
|
$
|
1,534,190
|
$
|
1,560,036
|
|||||
|
Anchorage Capital CLO LTD 2015-6A, 3M LIBOR + 6.350%~+^
|
6.48
|
7/15/2030
|
600,000
|
607,131
|
594,043
|
|||||||||
|
Anchorage Capital 2016-9A ER2 + 8.820%~¤
|
6.92
|
7/15/2032
|
1,500,000
|
1,485,000
|
1,480,313
|
|||||||||
|
Anchorage Capital CLO LTD 2013-1R, 3M LIBOR + 6.800%~+^
|
6.93
|
10/15/2030
|
1,000,000
|
977,213
|
994,814
|
|||||||||
|
Ares CLO LTD 2013-27R2 + 6.750%+¤^
|
6.88
|
10/30/2034
|
1,700,000
|
1,683,000
|
1,683,000
|
|||||||||
|
Bain CAP CR CLO 2020-2R LTD + 6.610%~+^
|
6.74
|
7/19/2034
|
1,000,000
|
990,000
|
991,438
|
|||||||||
|
Ballyrock CLO LTD 2019-2R, 3M LIBOR + 6.500%~+^
|
6.63
|
11/20/2030
|
2,000,000
|
2,000,000
|
1,990,496
|
|||||||||
|
BlueMountain CLO LTD 2018-23A, 3M LIBOR + 5.650%~+^
|
5.78
|
10/20/2031
|
1,000,000
|
1,000,000
|
975,068
|
|||||||||
|
Canyon CLO LTD 2019-2A, 3M LIBOR + 7.150%~+^
|
7.28
|
10/15/2032
|
1,000,000
|
1,000,000
|
1,000,223
|
|||||||||
|
Carbone CLO, LTD 2017-1A, 3M LIBOR + 5.900%~+^
|
6.03
|
1/21/2031
|
750,000
|
750,000
|
729,334
|
|||||||||
|
Carlyle Global Market Strategies 2017-5A, 3M LIBOR + 5.300%~+^
|
5.43
|
1/22/2030
|
700,000
|
700,000
|
641,088
|
|||||||||
|
BAIN CAP CR CLO 2020-2R LTD + 7.030%~+^
|
7.16
|
10/20/2032
|
1,000,000
|
975,000
|
1,000,330
|
|||||||||
|
CIFC Funding 2020-1 LTD + 6.250%~+^
|
6.36
|
7/15/2036
|
1,900,000
|
1,900,000
|
1,899,949
|
|||||||||
|
Galaxy CLO LTD 2017-24A, 3M LIBOR + 5.500%~+^
|
5.63
|
1/15/2031
|
1,000,000
|
1,000,000
|
954,176
|
|||||||||
|
GoldenTree Loan Management 2018-3A, 3M LIBOR + 6.500%~+^
|
6.63
|
4/22/2030
|
1,500,000
|
1,448,966
|
1,288,160
|
|||||||||
|
GoldenTree Loan Opportunities XI LTD 2015-11A, 3M LIBOR + 5.400%~+^
|
5.53
|
1/18/2031
|
500,000
|
500,000
|
483,407
|
|||||||||
|
KKR Financial CLO LTD 2017-20, 3M LIBOR + 5.500%~+^
|
5.63
|
10/16/2030
|
1,500,000
|
1,500,000
|
1,419,435
|
|||||||||
|
KKR Financial CLO LTD 34-2, 3M LIBOR + 6.850%~
|
7.00
|
7/15/2034
|
2,000,000
|
1,980,000
|
1,992,232
|
|||||||||
|
KVK 2016-1A ER2 + 7.350%¤
|
7.35
|
10/15/2034
|
3,000,000
|
2,970,000
|
2,970,000
|
|||||||||
|
LCM LTD 2031-30, 3M LIBOR + 6.500%~
|
6.63
|
4/20/2031
|
1,100,000
|
1,100,000
|
1,094,765
|
|||||||||
|
Madison Park Funding LTD 2015-19A, 3M LIBOR + 4.350%~+^
|
4.49
|
1/24/2028
|
1,000,000
|
1,000,000
|
987,937
|
|||||||||
|
Madison Park Funding LTD 2018-29A, 3M LIBOR + 7.570%~+^#
|
7.70
|
10/18/2030
|
2,000,000
|
1,960,000
|
1,894,350
|
|||||||||
|
Madison Park Funding LTD XXXV 2019-35R E-R, 3M LIBOR + 6.100%~+^
|
6.23
|
4/20/2032
|
1,400,000
|
1,400,000
|
1,400,476
|
|||||||||
|
Madison Park Funding LTD 2019-32R E-R, 3M LIBOR + 6.200%~+^
|
6.34
|
1/22/2031
|
1,000,000
|
1,000,000
|
995,569
|
|||||||||
|
Magnetite CLO LTD 2016-18A, 3M LIBOR + 7.600%~+^
|
7.73
|
11/15/2028
|
1,400,000
|
1,386,000
|
1,330,297
|
|||||||||
|
OHA Credit Partners LTD 2015-11A, 3M LIBOR + 7.900%~+^
|
8.03
|
1/20/2032
|
2,000,000
|
1,970,323
|
1,839,788
|
|||||||||
|
OHA Loan Funding LTD 2013-1A, 3M LIBOR + 7.900%~+^
|
8.04
|
7/23/2031
|
1,500,000
|
1,477,500
|
1,413,128
|
|||||||||
|
Sound Point CLO XVIII 2018-18D, 3M LIBOR + 5.500%~+^
|
5.63
|
1/21/2031
|
2,000,000
|
2,000,000
|
1,803,406
|
|||||||||
|
Sound Point CLO Ltd Series 2020-1A Class ER, 3M LIBOR + 6.860%~+^
|
7.00
|
7/20/2034
|
1,600,000
|
1,584,000
|
1,576,254
|
|||||||||
|
TICP CLO LTD 2018-10A, 3M LIBOR + 5.500%~+^
|
5.63
|
4/20/2031
|
1,000,000
|
943,768
|
982,930
|
|||||||||
|
Voya CLO LTD 2019-4A, 3M LIBOR + 7.480%~+^
|
7.72
|
1/18/2033
|
1,400,000
|
1,358,585
|
1,403,970
|
|||||||||
|
Wellfleet CLO LTD 2020-2R + 7.250%~+¤^
|
7.35
|
7/17/2034
|
1,300,000
|
1,300,000
|
1,303,686
|
|||||||||
|
Wellfleet CLO LTD 2017-3A, 3M LIBOR + 5.550%~+^
|
5.68
|
1/17/2031
|
1,500,000
|
1,500,000
|
1,415,564
|
|||||||||
|
Wind River 2017-1A ER, 3M LIBOR + 7.060%~
|
7.25
|
4/18/2036
|
2,000,000
|
1,960,000
|
1,997,130
|
|||||||||
|
Wind River CLO LTD 2017-4A, 3M LIBOR + 5.800%~+^
|
5.93
|
11/20/2030
|
1,000,000
|
1,000,000
|
951,160
|
|||||||||
|
Total CDO/CLO
|
48,400,000
|
47,940,675
|
47,037,950
|
|||||||||||
|
Total Asset-Backed Securities
|
48,400,000
|
47,940,675
|
47,037,950
|
|||||||||||
|
EFFECTIVE INTEREST RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
|
Bank Loans§ — 18.60%*:
|
||||||||||||||
|
Automotive — 0.55%*:
|
||||||||||||||
|
Dexko Global Inc, 3M LIBOR + 8.250%~
|
9.25
|
%
|
7/24/2025
|
$ |
2,000,000
|
$
|
2,000,000
|
$
|
1,997,500
|
|||||
|
Total Automotive
|
2,000,000
|
2,000,000
|
1,997,500
|
|||||||||||
|
Building Materials — 0.93%*:
|
||||||||||||||
|
CP Iris Holdco I 2nd LIEN T/L (IPS)
|
7.50
|
9/21/2029
|
3,398,058
|
3,364,078
|
3,364,078
|
|||||||||
|
Total Building Materials
|
3,398,058
|
3,364,078
|
3,364,078
|
|||||||||||
|
Chemicals, Plastics and Rubber — 0.59%*:
|
||||||||||||||
|
Colouroz Investment 2 LLC, 3M LIBOR + 7.250%~
|
5.50
|
9/21/2021
|
2,141,464
|
2,133,715
|
2,130,757
|
|||||||||
|
Total Chemicals, Plastics and Rubber
|
2,141,464
|
2,133,715
|
2,130,757
|
|||||||||||
|
Diversified/Conglomerate Manufacturing — 0.84%*:
|
||||||||||||||
|
Averys, 3M LIBOR + 8.250%~+
|
8.25
|
9/25/2026
|
500,000
|
571,943
|
579,173
|
|||||||||
|
SunSource, Inc., 1M LIBOR + 8.000%~
|
9.00
|
4/30/2026
|
2,500,000
|
2,513,018
|
2,441,675
|
|||||||||
|
Total Diversified/Conglomerate Manufacturing
|
3,000,000
|
3,084,961
|
3,020,848
|
|||||||||||
|
Diversified/Conglomerate Service — 7.03%*:
|
||||||||||||||
|
Syncsort Incorporated (Precisely) 2ND Lien T/L, 3M LIBOR + 7.250%
|
8.00
|
3/19/2029
|
9,009,009
|
8,918,919
|
9,005,225
|
|||||||||
|
Misys (Finastra), 3M LIBOR + 7.250%~
|
8.25
|
6/16/2025
|
16,290,136
|
16,178,486
|
16,366,048
|
|||||||||
|
Total Diversified/Conglomerate Service
|
25,299,145
|
25,097,405
|
25,371,274
|
|||||||||||
|
Electronics — 2.93%*:
|
||||||||||||||
|
McAfee Enterprise 2ND Lien T/L, 3M LIBOR + 7.500%~
|
9.00
|
5/3/2029
|
10,567,000
|
10,484,433
|
10,553,791
|
|||||||||
|
Total Healthcare, Education and Childcare
|
10,567,000
|
10,484,433
|
10,553,791
|
|||||||||||
|
Leisure, Amusement, Entertainment — 0.10%*:
|
||||||||||||||
|
Odeon Cinemas Group T/L B 2 +
|
10.75
|
8/11/2023
|
195,134
|
228,476
|
230,553
|
|||||||||
|
Odeon Cinemas Group T/L B+
|
10.75
|
8/11/2023
|
92,227
|
123,134
|
126,751
|
|||||||||
|
Total Leisure, Amusement, Entertainment
|
287,361
|
351,610
|
357,305
|
|||||||||||
|
Lodging — 0.30%*:
|
||||||||||||||
|
Motel 6 T/L B
|
5.75
|
8/19/2026
|
1,084,337
|
1,073,494
|
1,087,048
|
|||||||||
|
Total Lodging
|
1,084,337
|
1,073,494
|
1,087,048
|
|||||||||||
|
Mining, Steel, Iron and Non-Precious Metals — 0.00%*:
|
||||||||||||||
|
Boomerang Tube, LLC, 3M LIBOR + 6.500%~¤
|
0.00
|
6/30/2022
|
2,608,648
|
2,608,648
|
0
|
|||||||||
|
Total Mining, Steel, Iron and Non-Precious Metals
|
2,608,648
|
2,608,648
|
0
|
|||||||||||
|
Packaging and Containers — 2.22%*:
|
||||||||||||||
|
Pretium Package Holdings 2nd LIEN T/L (9/21)
|
7.25
|
9/21/2029
|
3,033,898
|
3,028,559
|
3,041,483
|
|||||||||
|
Valcour Packaging (MOLD-RITE) T/L 2nd LIEN
|
7.50
|
9/30/2029
|
5,000,000
|
4,950,000
|
4,950,000
|
|||||||||
|
Total Packaging and Containers
|
8,033,898
|
7,978,559
|
7,991,483
|
|||||||||||
|
Personal Transportation — 0.09%*:
|
||||||||||||||
|
Naviera Armas Bridge, 1M LIBOR + 2.500%~+¤
|
5.00
|
11/30/2021
|
100,492
|
121,399
|
116,404
|
|||||||||
|
Naviera Armas Bridge, 1M LIBOR + 2.500%~+¤
|
5.00
|
11/30/2021
|
63,244
|
77,535
|
73,258
|
|||||||||
|
Naviera Armas Bridge, 1M LIBOR + 2.500%~+¤
|
4.33
|
11/30/2021
|
5,879
|
7,113
|
6,810
|
|||||||||
|
Naviera Armas Bridge, 1M LIBOR + 2.500%~+¤
|
5.00
|
11/30/2021 |
112,737
|
127,882
|
130,588
|
|||||||||
|
Total Personal Transportation
|
282,351
|
333,930
|
327,060
|
|||||||||||
|
Software — 0.94%*:
|
||||||||||||||
|
Cloudera 2nd LIEN T/L (7/21)
|
6.50
|
9/28/2029
|
3,400,000
|
3,383,000
|
3,383,000
|
|||||||||
|
Total Software
|
3,400,000
|
3,383,000
|
3,383,000
|
|||||||||||
|
Telecommunications — 0.39%*:
|
||||||||||||||
|
Syniverse Holdings T/L, 3M LIBOR + 5.000%
|
6.00
|
3/9/2023
|
1,416,351
|
1,327,285
|
1,415,261
|
|||||||||
|
Total Telecommunications
|
1,416,351
|
1,327,285
|
1,415,261
|
|||||||||||
|
Transportation — 1.69%*:
|
||||||||||||||
|
Kenan Advantage Group 2ND LIEN T/L (8/21)
|
8.00
|
9/1/2027
|
3,171,806
|
3,108,829
|
3,140,088
|
|||||||||
|
Worldwide Express TL (7/21) 2ND LIEN
|
7.25
|
7/26/2029
|
3,000,000
|
2,955,227
|
2,966,250
|
|||||||||
|
Total Transportation
|
6,171,806
|
6,064,056
|
6,106,338
|
|||||||||||
|
Total Bank Loans
|
69,690,420
|
69,285,172
|
67,105,742
|
|||||||||||
|
EFFECTIVE INTEREST
RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
|
Corporate Bonds — 102.34%*:
|
||||||||||||||
|
Aerospace and Defense — 5.17%*:
|
||||||||||||||
|
American Airlines^#
|
11.75
|
7/15/2025
|
$ |
3,337,000
|
$
|
3,356,174
|
$
|
4,129,538
|
||||||
|
TransDigm Group, Inc.#
|
7.50
|
%
|
3/15/2027
|
6,000,000
|
6,018,994
|
6,317,025
|
||||||||
|
Triumph Group, Inc.#
|
7.75
|
8/15/2025
|
8,289,000
|
8,292,468
|
8,185,388
|
|||||||||
|
Total Aerospace and Defense
|
17,626,000
|
17,667,635
|
18,631,950
|
|||||||||||
|
Automotive — 4.94%*:
|
||||||||||||||
|
AA Bond Co. Ltd.+
|
6.50
|
1/31/2026
|
1,350,000
|
1,843,683
|
1,907,972
|
|||||||||
|
Aston Martin Capital Holdings Ltd+^#
|
10.50
|
11/30/2025
|
850,000
|
919,824
|
946,688
|
|||||||||
|
Ford Motor Company#
|
9.63
|
4/22/2030 |
2,000,000
|
2,565,312
|
2,835,625
|
|||||||||
|
Ford Motor Company#
|
7.45
|
7/16/2031
|
2,000,000
|
2,309,658
|
2,600,000
|
|||||||||
|
Power Solutions+^#
|
8.50
|
5/15/2027
|
8,965,000
|
9,050,802
|
9,536,519
|
|||||||||
|
Total Automotive
|
15,165,000
|
16,689,279
|
17,826,803
|
|||||||||||
|
Beverage, Food and Tobacco — 1.96%*:
|
||||||||||||||
|
Boparan Finance PLC+
|
7.63
|
11/30/2025
|
750,000
|
1,037,046
|
889,284
|
|||||||||
|
Kehe Distributors, LLC^#
|
8.63
|
10/15/2026
|
1,029,000
|
1,029,000
|
1,111,320
|
|||||||||
|
Manitowoc Foodservice#
|
9.50
|
2/15/2024
|
3,074,000
|
3,168,414
|
3,159,457
|
|||||||||
|
Refresco Group N.V.+#
|
6.50
|
5/15/2026
|
1,600,000
|
1,931,832
|
1,911,345
|
|||||||||
|
Total Beverage, Food and Tobacco
|
6,453,000
|
7,166,292
|
7,071,406
|
|||||||||||
|
Broadcasting and Entertainment — 4.80%*:
|
||||||||||||||
|
Banijay+#
|
6.50
|
3/1/2026
|
2,500,000
|
2,761,119
|
3,019,402
|
|||||||||
|
Beasley Mezzanine Holdings LLC^#
|
8.63
|
2/1/2026
|
1,801,000
|
1,801,000
|
1,837,020
|
|||||||||
|
Clear Channel Worldwide Holdings Inc.^#
|
7.75
|
4/15/2028
|
2,568,000
|
2,594,359
|
2,702,820
|
|||||||||
|
Clear Channel Worldwide Holdings Inc.^#
|
7.50
|
6/1/2029
|
2,127,000
|
2,127,000
|
2,212,080
|
|||||||||
|
Cox Media Group^#
|
8.88
|
12/15/2027
|
4,263,000
|
4,438,518
|
4,507,611
|
|||||||||
|
iHeartCommunications, Inc.#
|
8.38
|
5/1/2027
|
570,000
|
606,889
|
609,188
|
|||||||||
|
Univision Communications Inc.^#
|
9.50
|
5/1/2025
|
2,234,000
|
2,443,632
|
2,423,890
|
|||||||||
|
Total Broadcasting and Entertainment
|
16,063,000
|
16,772,518
|
17,312,011
|
|||||||||||
|
Buildings and Real Estate — 4.31%*:
|
||||||||||||||
|
New Enterprise Stone & Lime Co.^#
|
9.75
|
7/15/2028
|
5,025,000
|
5,502,966
|
5,464,688
|
|||||||||
|
Realogy Group^#
|
9.38
|
4/1/2027
|
3,763,000
|
3,600,655
|
4,134,596
|
|||||||||
|
Realogy Group^#
|
7.63
|
6/15/2025
|
329,000
|
329,000
|
350,796
|
|||||||||
|
Service Properties Trust#
|
4.38
|
2/15/2030
|
400,000
|
351,257
|
380,294
|
|||||||||
|
Stl Hldg Co LLC^#
|
7.50
|
2/15/2026
|
4,981,000
|
5,018,874
|
5,230,050
|
|||||||||
|
Total Buildings and Real Estate
|
14,498,000
|
14,802,752
|
15,560,424
|
|||||||||||
|
Chemicals, Plastics and Rubber — 2.68%*:
|
||||||||||||||
|
Consolidated Energy Finance S.A.+^#
|
6.88
|
6/15/2025
|
3,208,000
|
3,094,447
|
3,320,280
|
|||||||||
|
Consolidated Energy Finance S.A.+^#
|
6.50
|
5/15/2026
|
2,638,000
|
1,992,029
|
2,730,330
|
|||||||||
|
CVR Partners LP^#
|
9.25
|
6/15/2023
|
582,000
|
583,805
|
583,455
|
|||||||||
|
ITT Holdings LLC^#
|
6.50
|
8/1/2029
|
2,218,000
|
2,218,000
|
2,237,408
|
|||||||||
|
LSF11 A5 HOLDCO LLC^
|
6.63
|
10/15/2029
|
784,000
|
784,000
|
784,000
|
|||||||||
|
Total Chemicals, Plastics and Rubber
|
9,430,000
|
8,672,281
|
9,655,473
|
|||||||||||
|
Commercial Services — 0.13%*:
|
||||||||||||||
|
Apcoa Parking Holdings+
|
4.63
|
1/15/2027
|
385,000
|
455,648
|
450,988
|
|||||||||
|
Total Cargo Transport
|
385,000
|
455,648
|
450,988
|
|||||||||||
|
Containers, Packaging, and Glass — 3.74%*:
|
||||||||||||||
|
Mauser Packaging Solutions^#
|
7.25
|
4/15/2025
|
4,067,000
|
3,966,454
|
4,042,212
|
|||||||||
|
Tekni-Plex^#
|
9.25
|
8/1/2024
|
9,000,000
|
8,965,193
|
9,457,740
|
|||||||||
|
Total Containers, Packaging, and Glass
|
13,067,000
|
12,931,647
|
13,499,952
|
|||||||||||
|
Diversified/Conglomerate Manufacturing — 1.54%*:
|
||||||||||||||
|
Heat Exchangers+
|
7.78
|
10/9/2025
|
625,000
|
662,306
|
676,908
|
|||||||||
|
Manitowoc Cranes^#
|
9.00
|
4/1/2026
|
4,538,000
|
4,545,071
|
4,860,516
|
|||||||||
|
Total Diversified/Conglomerate Manufacturing
|
5,163,000
|
5,207,377
|
5,537,424
|
|||||||||||
|
EFFECTIVE INTEREST RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
|
Corporate Bonds (continued)
|
||||||||||||||
|
Diversified/Conglomerate Service — 3.67%*:
|
||||||||||||||
|
Algeco Scotsman+#
|
6.50
|
%
|
2/15/2023
|
$ |
1,750,000
|
$
|
2,148,965
|
$
|
2,060,046
|
|||||
|
Libra Group Bhd+
|
5.00
|
5/15/2027
|
700,000
|
850,082
|
833,140
|
|||||||||
|
Powerteam Services LLC^#
|
9.03
|
12/4/2025
|
2,750,000
|
2,957,775
|
2,983,750
|
|||||||||
|
Summer BC Holdco+
|
9.25
|
10/31/2027
|
2,477,880
|
3,078,040
|
3,118,517
|
|||||||||
|
Verisure Midholding+
|
5.25
|
2/15/2029
|
3,575,000
|
4,325,008
|
4,248,258
|
|||||||||
|
Total Diversified/Conglomerate Service
|
11,252,880
|
13,359,870
|
13,243,711
|
|||||||||||
|
Electronics — 0.58%*:
|
||||||||||||||
|
Veritas Bermuda Ltd.^#
|
7.50
|
9/1/2025
|
2,024,000
|
2,024,000
|
2,104,960
|
|||||||||
|
Total Electronics
|
2,024,000
|
2,024,000
|
2,104,960
|
|||||||||||
|
Finance — 4.60%*:
|
||||||||||||||
|
Alliance Data Systems Corp.^#
|
7.00
|
1/15/2026
|
2,000,000
|
1,992,500
|
2,140,000
|
|||||||||
|
Aretec Escrow Issuer Inc.^#
|
7.50
|
4/1/2029
|
1,195,000
|
1,195,000
|
1,230,850
|
|||||||||
|
Avolon Holdings+^#
|
6.50
|
9/15/2024
|
8,512,391
|
6,958,162
|
8,363,424
|
|||||||||
|
Galaxy Bidco Ltd.+#
|
6.50
|
7/31/2026
|
500,000
|
671,529
|
704,110
|
|||||||||
|
Garfunkelux Holdco+
|
6.75
|
11/1/2025
|
250,000
|
296,574
|
302,299
|
|||||||||
|
Travelex+¤
|
12.50
|
8/5/2025
|
1,890,534
|
2,334,571
|
3,820,959
|
|||||||||
|
Travelex+¤#
|
8.00
|
5/15/2022
|
4,600,000
|
5,097,344
|
0
|
|||||||||
|
Total Finance
|
18,947,925
|
18,545,679
|
16,561,641
|
|||||||||||
|
Forest Products and Paper — 0.82%*:
|
||||||||||||||
|
Sylvamo Corp.^
|
7.00
|
9/1/2029
|
2,885,000
|
2,885,000
|
2,951,701
|
|||||||||
|
Total Insurance
|
2,885,000
|
2,885,000
|
2,951,701
|
|||||||||||
|
Healthcare, Education and Childcare — 7.65%*:
|
||||||||||||||
|
Bausch Health Companies Inc.+^#
|
9.00
|
12/15/2025
|
11,045,000
|
11,232,524
|
11,693,894
|
|||||||||
|
Bausch Health Companies Inc.+^#
|
6.25
|
2/15/2029
|
1,222,000
|
1,197,116
|
1,209,193
|
|||||||||
|
Bausch Health Companies Inc.+^#
|
5.25
|
2/15/2031
|
1,000,000
|
928,419
|
919,610
|
|||||||||
|
Chrom Holdco S.A.S+
|
5.00
|
5/31/2029
|
1,100,000
|
1,328,422
|
1,306,035
|
|||||||||
|
Cidron Aida Finco+
|
6.25
|
4/1/2028
|
1,650,000
|
2,275,266
|
2,246,665
|
|||||||||
|
Community Health System Inc.^#
|
6.88
|
4/15/2029
|
286,000
|
286,000
|
286,319
|
|||||||||
|
Endo International^#
|
7.50
|
4/1/2027
|
1,890,000
|
1,890,000
|
1,925,438
|
|||||||||
|
Radiology Partners Inc.^#
|
9.25
|
2/1/2028
|
4,586,000
|
4,912,474
|
4,931,899
|
|||||||||
|
Verscend Technologies, Inc.^#
|
9.75
|
8/15/2026
|
2,915,000
|
3,054,608
|
3,071,681
|
|||||||||
|
Total Healthcare, Education and Childcare
|
25,694,000
|
27,104,829
|
27,590,734
|
|||||||||||
|
Home and Office Furnishings, Housewares, and Durable Consumer Products — 2.43%*:
|
||||||||||||||
|
Balta+
|
8.75
|
12/31/2024
|
949,900
|
1,053,406
|
1,102,788
|
|||||||||
|
BCPE Ulysses Intermediate Inc^#
|
7.75
|
4/1/2027
|
4,315,000
|
4,347,455
|
4,282,638
|
|||||||||
|
Staples Inc.^#
|
10.75
|
4/15/2027
|
3,478,000
|
3,588,311
|
3,386,703
|
|||||||||
|
Total Home and Office Furnishings, Housewares, and Durable Consumer Products
|
8,742,900
|
8,989,172
|
8,772,128
|
|||||||||||
|
Hotels, Motels, Inns and Gaming — 1.30%*:
|
||||||||||||||
|
Scientific Games International Inc.^#
|
8.63
|
7/1/2025
|
4,325,000
|
4,402,328
|
4,683,691
|
|||||||||
|
Total Hotels, Motels, Inns and Gaming
|
4,325,000
|
4,402,328
|
4,683,691
|
|||||||||||
|
Insurance — 1.41%*:
|
||||||||||||||
|
Acrisure LLC^#
|
10.13
|
8/1/2026
|
4,575,000
|
4,713,612
|
5,101,125
|
|||||||||
|
Total Insurance
|
4,575,000
|
4,713,612
|
5,101,125
|
|||||||||||
|
EFFECTIVE INTEREST RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
|
Corporate Bonds (continued)
|
||||||||||||||
|
Internet — 0.36%*:
|
||||||||||||||
|
Millenium Escrow Corporation SR SEC 144A NT26^
|
6.63
|
8/1/2026
|
$ |
1,260,000
|
1,273,293
|
1,297,737
|
||||||||
|
Total Insurance
|
1,260,000
|
1,273,293
|
1,297,737
|
|||||||||||
|
Leisure, Amusement, Entertainment — 3.14%*:
|
||||||||||||||
|
AMC Entertainment Holdings Inc^#
|
10.50
|
%
|
4/15/2025
|
227,000
|
$
|
226,433
|
$
|
242,890
|
||||||
|
AMC Entertainment Holdings Inc^#
|
10.50
|
4/24/2026
|
1,482,000
|
1,534,627
|
1,591,298
|
|||||||||
|
Carnival Corp.+
|
7.63
|
3/1/2026
|
1,000,000
|
1,185,944
|
1,248,697
|
|||||||||
|
Center Parcs+
|
6.50
|
8/28/2026
|
1,150,000
|
1,608,388
|
1,632,796
|
|||||||||
|
Eldorado Resorts^#
|
8.13
|
7/1/2027
|
4,000,000
|
3,901,503
|
4,495,000
|
|||||||||
|
Motion Finco+
|
7.00
|
5/15/2025
|
1,750,000
|
1,930,169
|
2,127,852
|
|||||||||
|
Total Leisure, Amusement, Entertainment
|
9,609,000
|
10,387,063
|
11,338,533
|
|||||||||||
|
Lodging — 0.27%*:
|
||||||||||||||
|
SANI/IKOS Financial Holdings+
|
5.63
|
12/15/2026
|
815,000
|
962,674
|
962,933
|
|||||||||
|
Total Insurance
|
815,000
|
962,674
|
962,933
|
|||||||||||
|
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 4.01%*:
|
||||||||||||||
|
Diebold Nixdorf Inc.^#
|
9.38
|
7/15/2025
|
5,577,000
|
5,892,788
|
6,103,357
|
|||||||||
|
Diebold Nixdorf Inc.+
|
9.00
|
7/15/2025
|
815,000
|
957,338
|
1,023,056
|
|||||||||
|
Diebold Nixdorf Inc.#
|
8.50
|
4/15/2024
|
2,260,000
|
2,300,861
|
2,308,025
|
|||||||||
|
Granite Holdings US Acquisition Co.^#
|
11.00
|
10/1/2027
|
1,000,000
|
1,115,314
|
1,095,000
|
|||||||||
|
Sarens+#
|
5.75
|
2/21/2027
|
1,625,000
|
1,783,930
|
1,894,077
|
|||||||||
|
Titan Acquisition Ltd / Titan Co-Borrower LLC+^#
|
7.75
|
4/15/2026
|
2,000,000
|
2,066,898
|
2,042,860
|
|||||||||
|
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
|
13,277,000
|
14,117,130
|
14,466,375
|
|||||||||||
|
Mining, Steel, Iron and Non-Precious Metals — 14.53%*:
|
||||||||||||||
|
Cleveland-Cliffs Inc.^#
|
9.88
|
10/17/2025
|
3,970,000
|
4,307,607
|
4,555,575
|
|||||||||
|
Consol Energy Inc.^#
|
11.00
|
11/15/2025
|
10,316,000
|
10,638,241
|
10,625,480
|
|||||||||
|
Coronado Global Resources Inc.+^#
|
10.75
|
5/15/2026
|
6,064,000
|
6,448,458
|
6,609,760
|
|||||||||
|
First Quantum Minerals+^#
|
7.25
|
4/1/2023
|
2,000,000
|
1,962,340
|
2,035,000
|
|||||||||
|
First Quantum Minerals+^#
|
7.50
|
4/1/2025
|
9,775,000
|
9,473,703
|
10,027,488
|
|||||||||
|
First Quantum Minerals+^#
|
6.88
|
10/15/2027
|
200,000
|
200,000
|
211,625
|
|||||||||
|
Hecla Mining Company#
|
7.25
|
2/15/2028
|
4,699,000
|
5,073,842
|
5,061,575
|
|||||||||
|
Perenti Finance Pty Ltd+^#
|
6.50
|
10/7/2025
|
2,500,000
|
2,500,000
|
2,618,836
|
|||||||||
|
PIC AU Holdings LLC^#
|
10.00
|
12/31/2024
|
7,043,000
|
6,413,587
|
7,109,204
|
|||||||||
|
Warrior Met Coal Inc.^#
|
8.00
|
11/1/2024
|
3,513,000
|
3,574,963
|
3,565,695
|
|||||||||
|
Total Mining, Steel, Iron and Non-Precious Metals
|
50,080,000
|
50,592,740
|
52,420,239
|
|||||||||||
|
Oil and Gas — 17.41%*:
|
||||||||||||||
|
Antero Resources Corp.^#
|
8.38
|
7/15/2026
|
293,000
|
294,432
|
331,890
|
|||||||||
|
Antero Resources Corp.^#
|
7.63
|
2/1/2029
|
1,907,000
|
2,018,216
|
2,132,026
|
|||||||||
|
Calumet Specialty Products^#
|
9.25
|
7/15/2024
|
2,850,000
|
2,766,733
|
3,092,250
|
|||||||||
|
CGG SA+
|
7.75
|
4/1/2027
|
1,500,000
|
1,787,033
|
1,765,145
|
|||||||||
|
CVR Energy Inc.^#
|
5.75
|
2/15/2028
|
3,850,000
|
3,348,190
|
3,814,811
|
|||||||||
|
Enlink Midstream Partners LP#
|
5.60
|
4/1/2044
|
5,413,000
|
3,569,642
|
5,169,415
|
|||||||||
|
Enlink Midstream Partners LP#
|
5.45
|
6/1/2047
|
1,000,000
|
855,253
|
964,840
|
|||||||||
|
Genesis Energy LP#
|
7.75
|
2/1/2028
|
3,408,000
|
3,134,736
|
3,416,213
|
|||||||||
|
Genesis Energy LP#
|
8.00
|
1/15/2027
|
1,639,000
|
1,636,951
|
1,663,913
|
|||||||||
|
Harvest Midstream I L P^#
|
7.50
|
9/1/2028
|
458,000
|
458,000
|
487,839
|
|||||||||
|
Hilcorp Energy I L P^#
|
6.25
|
11/1/2028
|
3,202,000
|
2,808,524
|
3,317,976
|
|||||||||
|
KCA Deutag+
|
9.88
|
12/1/2025
|
1,179,286
|
1,179,286
|
1,283,662
|
|||||||||
|
Laredo Petroleum Inc.#
|
10.13
|
1/15/2028
|
2,765,000
|
2,675,275
|
2,989,933
|
|||||||||
|
MEG Energy Corp.+^#
|
7.13
|
2/1/2027
|
2,698,000
|
2,538,929
|
2,832,387
|
|||||||||
|
Neptune Energy Bondco PLC+^#
|
6.63
|
5/15/2025
|
4,856,000
|
4,514,461
|
4,995,610
|
|||||||||
|
NGL Energy Finance Corp^#
|
7.50
|
2/1/2026
|
3,031,000
|
3,120,411
|
3,087,831
|
|||||||||
|
Occidental Pete Corp.#
|
8.50
|
7/15/2027
|
4,523,000
|
4,568,705
|
5,664,741
|
|||||||||
|
Occidental Pete Corp.#
|
7.88
|
9/15/2031
|
2,500,000
|
2,651,341
|
3,333,178
|
|||||||||
|
Occidental Pete Corp.#
|
4.50
|
7/15/2044
|
586,000
|
437,938
|
588,819
|
|||||||||
|
Range Resources Corp^#
|
8.25
|
1/15/2029
|
494,000
|
500,951
|
555,775
|
|||||||||
|
Southwestern Energy Co.#
|
8.38
|
9/15/2028
|
449,000
|
449,000
|
508,596
|
|||||||||
|
Transocean Inc.+^
|
8.00
|
2/1/2027
|
3,000,000
|
2,506,414
|
2,360,490
|
|||||||||
|
Tullow Oil PLC+^#
|
10.25
|
5/15/2026
|
1,000,000
|
1,000,000
|
1,044,260
|
|||||||||
|
Waldorf Production UK LD+
|
9.75
|
10/1/2024
|
700,000
|
700,000
|
714,000
|
|||||||||
|
Weatherford Internatinoal Ltd Bermuda SR SEC Global 28+^
|
6.50
|
9/15/2028
|
972,000
|
972,000
|
1,001,160
|
|||||||||
|
Welltec A/S+^#
|
9.50
|
12/1/2022
|
5,713,000
|
5,677,036
|
5,684,435
|
|||||||||
|
Total Oil and Gas
|
59,986,286
|
56,169,458
|
62,801,195
|
|||||||||||
|
Transportation — 0.21%*:
|
||||||||||||||
|
Titan Holdings II+
|
5.13
|
7/15/2029
|
633,000
|
749,885
|
744,190
|
|||||||||
|
Total Insurance
|
633,000
|
749,885
|
744,190
|
|||||||||||
|
Personal Transportation — 0.17%*:
|
||||||||||||||
|
Naviera Armas, 3M EURIBOR + 4.250%~+
|
4.25
|
11/15/2024
|
150,000
|
127,479
|
133,789
|
|||||||||
|
Naviera Armas, 3M EURIBOR + 6.500%~+
|
6.50
|
7/31/2023
|
525,000
|
608,346
|
469,478
|
|||||||||
|
Total Personal Transportation
|
675,000
|
735,825
|
603,267
|
|||||||||||
|
EFFECTIVE INTEREST RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
|
Corporate Bonds (continued)
|
||||||||||||||
|
Printing and Publishing — 1.48%*:
|
||||||||||||||
|
Cimpress N.V.+^#
|
7.00
|
%
|
6/15/2026
|
$ |
2,069,000
|
$
|
2,069,000
|
$
|
2,157,801
|
|||||
|
Houghton Mifflin Harcourt Publishers Inc.^#
|
9.00
|
2/15/2025
|
3,000,000
|
2,957,565
|
3,190,650
|
|||||||||
|
Total Printing and Publishing
|
5,069,000
|
5,026,565
|
5,348,451
|
|||||||||||
|
Retail Store — 3.20%*:
|
||||||||||||||
|
Afflelou SAS+
|
8.00
|
5/19/2027
|
1,300,000
|
1,569,489
|
1,539,731
|
|||||||||
|
Casino Guichard Perracho+
|
6.63
|
1/15/2026
|
1,050,000
|
1,279,474
|
1,266,568
|
|||||||||
|
Constellation Auto+
|
4.88
|
7/15/2027
|
1,061,000
|
1,460,105
|
1,418,298
|
|||||||||
|
Marcolin S.p.A+
|
6.13
|
11/15/2026
|
700,000
|
852,141
|
831,421
|
|||||||||
|
Magic MergeCo, Inc.^#
|
7.88
|
5/1/2029
|
2,024,000
|
2,024,000
|
2,097,370
|
|||||||||
|
Stonegate Pub Co.+
|
8.25
|
7/31/2025
|
590,000
|
856,136
|
835,509
|
|||||||||
|
Stonegate Pub Co.+
|
8.25
|
7/31/2025
|
225,000
|
320,189
|
319,122
|
|||||||||
|
Stonegate Pub Co.+
|
5.75
|
7/31/2025
|
700,000
|
829,604
|
808,410
|
|||||||||
|
Stonegate Pub Comp.+
|
8.00
|
7/13/2025
|
1,350,000
|
1,945,919
|
1,884,474
|
|||||||||
|
Wheel Bidco Ltd+
|
6.75
|
7/15/2026
|
403,000
|
555,494
|
545,039
|
|||||||||
|
Total Retail Store
|
9,403,000
|
11,692,552
|
11,545,942
|
|||||||||||
|
Telecommunications — 5.50%*:
|
||||||||||||||
|
Altice France Holding S.A.+^#
|
10.50
|
5/15/2027
|
2,000,000
|
2,227,254
|
2,180,000
|
|||||||||
|
Commscope Inc.^#
|
8.25
|
3/1/2027
|
11,673,000
|
11,688,204
|
12,198,285
|
|||||||||
|
Consolidated Communications^#
|
6.50
|
10/1/2028
|
832,000
|
832,000
|
903,760
|
|||||||||
|
Digicel Limited +¤^#
|
8.25
|
9/30/2020
|
2,500,000
|
2,491,364
|
0
|
|||||||||
|
Northwest Fiber LLC^#
|
10.75
|
6/1/2028
|
1,856,000
|
2,055,200
|
2,088,000
|
|||||||||
|
Uniti Group LP / Uniti Group Finance Inc.^#
|
6.50
|
2/15/2029
|
330,000
|
330,000
|
339,459
|
|||||||||
|
Viasat^#
|
6.50
|
7/15/2028
|
790,000
|
790,000
|
832,044
|
|||||||||
|
Windstream Escrow LLC^#
|
7.75
|
8/15/2028
|
1,251,000
|
1,246,000
|
1,306,607
|
|||||||||
|
Total Telecommunications
|
21,232,000
|
21,660,022
|
19,848,155
|
|||||||||||
|
Transportation — 0.33%*:
|
||||||||||||||
|
Carriage Purchaser Inc.^
|
7.88
|
10/15/2029
|
1,201,000
|
1,201,000
|
1,197,427
|
|||||||||
|
Total Insurance
|
1,201,000
|
1,201,000
|
1,197,427
|
|||||||||||
|
Total Corporate Bonds
|
348,276,990
|
355,684,835
|
369,130,566
|
|||||||||||
|
Total Fixed Income
|
466,367,411
|
472,910,681
|
483,274,257
|
|||||||||||
|
Total Investments
|
468,092,410
|
485,666,883
|
496,175,220
|
|||||||||||
|
Other assets and liabilities — (37.56)%
|
(135,467,096)
|
|||||||||||||
|
Net Assets — 100%
|
$
|
360,708,123
|
||||||||||||
|
‡
|
The effective interest rates are based on settled commitment amount.
|
|||||||||||||
|
*
|
Calculated as a percentage of net assets applicable to common shareholders.
|
|||||||||||||
|
¤
|
Value determined using significant unobservable inputs, security is categorized as Level 3.
|
|||||||||||||
|
+
|
Foreign security.
|
|||||||||||||
|
^
|
Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
|||||||||||||
|
~
|
Variable rate security. The interest rate shown is the rate in effect at September 30, 2021.
|
|||||||||||||
|
#
|
All or a portion of the security is segregated as collateral for the credit facility.
|
|||||||||||||
|
§
|
Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust
periodically. The interest rates shown for bank loans are the current interest rates at September 30, 2021. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may
be substantially less than the stated maturity shown.
|
|||||||||||||
|
Distributions of investments by country of risk. Percentage of assets are expressed by market value excluding cash and accrued income as of September 30, 2021.
|
||||||||||||||
|
United States
|
62.5%
|
|||||||||||||
|
Canada
|
10.3%
|
|||||||||||||
|
Cayman Islands
|
9.7%
|
|||||||||||||
|
United Kingdom
|
5.4%
|
|||||||||||||
|
Luxembourg
|
3.8%
|
|||||||||||||
|
Australia
|
1.9%
|
|||||||||||||
|
France
|
1.8%
|
|||||||||||||
|
Denmark
|
1.1%
|
|||||||||||||
|
(Individually less than 1%)
|
3.5%
|
|||||||||||||
|
100.0%
|
||||||||||||||
|
A summary of outstanding derivatives at September 30, 2021 is as follows:
|
||||||||
|
Schedule of Open Forward Currency Contracts
|
||||||||
|
September 30, 2021
|
||||||||
|
Forward
|
Unrealized
|
|||||||
|
Currency to be
|
Currency to be
|
Counterparty of
|
Settlement
|
Appreciation /
|
||||
|
Received
|
Delivered(1)
|
Contract
|
Date
|
(Depreciation)
|
||||
|
36,942,283
|
USD
|
(31,198,130)
|
EUR
|
Morgan Stanley
|
7/15/2021
|
793,289
|
||
|
17,598,952
|
USD
|
(12,725,381)
|
GBP
|
Morgan Stanley
|
7/15/2021
|
452,455
|
||
|
11,057,225
|
USD
|
(14,027,016)
|
CAD
|
JP Morgan Chase
|
7/15/2021
|
(17,036)
|
||
|
530,611
|
CAD
|
(414,783)
|
USD
|
JP Morgan Chase
|
7/15/2021
|
115,828
|
||
|
$ 1,344,535
|
||||||||
|
(1) Values are listed in U.S. dollars.
|
||||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total Investments
|
||||||||||||
|
Assets:
|
||||||||||||||||
|
Equities:
|
||||||||||||||||
|
Common Stocks
|
$
|
9,669,530
|
$
|
$
|
3,007,292
|
$
|
12,676,822
|
|||||||||
|
Preferred Stocks
|
-
|
-
|
-
|
-
|
||||||||||||
|
Warrants
|
-
|
-
|
224,140
|
224,140
|
||||||||||||
|
Total Equities:
|
9,669,530
|
3,231,432
|
12,900,962
|
|||||||||||||
|
Fixed Income:
|
||||||||||||||||
|
Asset-Backed
|
$
|
-
|
$
|
34,516,824
|
$
|
2,986,686
|
$
|
37,503,510
|
||||||||
|
Securities
Bank Loans
|
-
|
66,778,682
|
327,060
|
67,105,742
|
||||||||||||
|
Corporate Bonds
|
-
|
365,309,607
|
3,820,959
|
369,130,566
|
||||||||||||
|
Total Fixed Income
|
$
|
-
|
$
|
466,605,113
|
$
|
7,134,705
|
$
|
473,739,818
|
||||||||
|
Derivative Securities:
|
||||||||||||||||
|
Foreign Exchange Contracts:
|
$
|
-
|
$
|
1,344,535 |
$
|
-
|
$
|
1,344,535 | ||||||||
|
Total Derivative Securities
|
$
|
-
|
$
|
1,344,535 |
$
|
-
|
$
|
1,344,535 | ||||||||
|
Total Assets
|
$
|
9,669,530
|
$
|
467,949,648
|
$
|
10,366,137
|
$
|
487,985,315
|
||||||||
|
Type of Assets
|
Fair Value as of
September 30, 2021
|
Valuation Technique(s)
|
Unobservable Input
|
|
Equities
|
|||
|
Boomerang Tube Holdings, Inc.
|
$0
|
Analyst Priced
|
Default, priced at zero
|
|
ESC CB 144A High Ridge
|
$41,748
|
Broker Quote
|
$14.00; Broker quote depth of 1
|
|
Fieldwood Energy LLC
|
$0
|
Broker Quote
|
$0.01; Price taken from Barings sourced via Markit
|
|
Travelex Topco Limited Warrants
|
$224,140
|
Broker Quote
|
$72.50; Price taken from Barings sourced via Markit
|
|
KCA Deutag Ordinary A Shares
|
$1,963,451
|
Broker Quote
|
$69.00; Price taken from Barings sourced via Markit
|
|
Sabine Oil & Gas LLC
|
$56,446
|
Withholding Tax Reclaim
|
Priced at value of the withholding tax reclaim
|
|
Tourmaline Escrow Cash
|
$953,097
|
Withholding Tax Reclaim
|
Priced at value of the withholding tax reclaim
|
|
Travelex Private Equity
|
$0
|
Zero Value
|
Valued at Zero.
|
|
Bank Loans
|
|||
|
Boomerang Tube, LLC
|
$0
|
Analyst Priced
|
Default, priced at zero
|
|
Naviera Armas Bridge, 1M LIBOR + 2.500%
|
$6,810
|
Priced at Cost
|
98.00; Priced at restructure cost less OID
|
|
Naviera Armas Bridge, 1M LIBOR + 2.500%
|
$73,258
|
Priced at Cost
|
98.00; Priced at restructure cost less OID
|
|
Naviera Armas Bridge, 1M LIBOR + 2.500%
|
$116,404
|
Priced at Cost
|
98.00; Priced at restructure cost less OID
|
|
Naviera Armas Bridge, 1M LIBOR + 2.500%Corporate Bonds
|
$130,588
|
Priced at Cost
|
98.00; Priced at restructure cost less OID
|
|
Digicel Limited
Travelex Financing
|
$0
$0
|
Zero Value
Zero Value
|
Valued at Zero
Valued at Zero
|
|
Travelex
|
$3,200,273
|
Broker Quote
|
$175.00; Price taken from Barings sourced via Markit
|
|
BALANCE AT DECEMBER 31, 2020
|
TRANSFERS
INTO
LEVEL 3
|
TRANSFERS
OUT OF
LEVEL 3
|
PURCHASES
|
SALES
|
ACCRETION OF DISCOUNT
|
REALIZED
GAIN / (LOSS)
|
CHANGE IN UNREALIZED
|
BALANCE AT September 30, 2021
|
CHANGE IN UNREALIZED APPRECIATION / (DEPRECIATION)
FROM INVESTMENTS
HELD AS OF
September 30, 2021
|
||
|
Equities
|
|||||||||||
|
Boomerang Tube Holdings, Inc.
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
|
|
ESC CB 144A High Ridge
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$41,748
|
$41,748
|
$41,748
|
|
|
Fieldwood Energy LLC
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
|
|
Jupiter Resources Inc.
|
$1,446,037
|
$0
|
$0
|
$0
|
($1,461,112)
|
($5)
|
$15,510
|
($430)
|
$0
|
($430)
|
|
|
KCA Deutag Ordinary A Shares¤+
|
$955,193
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$1,008,259
|
$1,963,451
|
$1,008,259
|
|
|
Sabine Oil & Gas LLC
|
$56,446
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$56,446
|
$0
|
|
|
Tourmaline Escrow Cash
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$945,647
|
$945,647
|
$945,647
|
|
|
Travelex Private Equity
|
$0
|
$0
|
$0
|
$1
|
($1)
|
$0
|
$1
|
($1)
|
$0
|
($1)
|
|
|
Common Stocks
|
$2,457,676
|
$0
|
$0
|
$0
|
($1,461,113)
|
($5)
|
$15,511
|
$1,995,223
|
$3,007,293
|
$1,995,223
|
|
|
Travelex Topco Limited Warrant¤+
|
$250,232
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
($26,092)
|
$224,140
|
($26,092)
|
|
|
Warrants
|
$250,232
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
($26,092)
|
$224,140
|
($26,092)
|
|
|
Total Equities
|
$2,707,907
|
$0
|
$0
|
$0
|
($1,461,113)
|
($5)
|
$15,511
|
$1,969,130
|
$3,231,432
|
$1,969,130
|
|
|
Fixed Income
|
|||||||||||
|
Boomerang Tube, LLC
|
$104,346
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
($104,346)
|
($0)
|
($104,346)
|
|
|
Naviera Armas Bridge
|
$127,521
|
$0
|
$0
|
($5,803)
|
($1,430)
|
$329
|
($2)
|
($4,211)
|
$116,404
|
($4,211)
|
|
|
Naviera Armas Bridge
|
$68,751
|
$0
|
$0
|
$3,232
|
$0
|
$5,217
|
$0
|
($3,941)
|
$73,258
|
($3,941)
|
|
|
Naviera Armas Bridge
|
$0
|
$0
|
$0
|
$127,560
|
$0
|
$322
|
$0
|
$2,706
|
$130,588
|
$2,706
|
|
|
Naviera Armas Bridge
|
$0
|
$0
|
$0
|
$7,113
|
$0
|
$0
|
$0
|
($303)
|
$6,810
|
($303)
|
|
|
Bank Loans
|
$300,618
|
$0
|
$0
|
$124,989
|
($1,430)
|
$5,868
|
($2)
|
($109,792)
|
$320,250
|
($109,792)
|
|
|
Digicel Limited
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
|
|
KCA Deutag
|
$1,223,509
|
$0
|
($1,223,509)
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
|
|
Travelex
|
$4,959,932
|
$0
|
$0
|
$1,499,211
|
($3,203,708)
|
$36,903
|
$1,726,915
|
($1,198,294)
|
$3,820,959
|
($1,198,294)
|
|
|
Travelex
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
$0
|
|
|
Corporate Bonds
|
$6,183,441
|
$0
|
($1,223,509)
|
$1,499,211
|
($3,203,708)
|
$36,903
|
$1,726,915
|
($1,198,294)
|
$3,820,959
|
($1,198,294)
|
|
|
Total Fixed Income
|
$6,484,059
|
$0
|
($1,223,509)
|
$1,624,200
|
($3,205,137)
|
$42,770
|
$1,726,912
|
($1,308,086)
|
$4,141,209
|
($1,308,086)
|
|
|
Total
|
$9,191,966
|
$0
|
($1,223,509)
|
$1,624,200
|
($4,666,250)
|
$42,765
|
$1,742,424
|
$661,044
|
$7,372,641
|
$661,044
|
|