NPORT-EX 2 fp0073524_nportex.htm

XAI Octagon Floating Rate & Alternative Income Term Trust

 

Schedule of Investments 

 

December 31, 2021 (Unaudited)

 

   Coupon(a)  

Reference Rate 

& Spread 

 

Maturity 

Date 

 

Principal 

Amount 

   Value 
COLLATERALIZED LOAN OBLIGATIONS DEBT(b)(c)- 16.18%* (9.69% of Total Investments)        
Anchorage Capital CLO 13 LLC, CLO 2021-13A, ER(d)   6.82%  3M US L + 6.70%  04/15/2034  $1,500,000   $1,500,031 
Anchorage Capital Clo 16, Ltd., CLO 2021-16A, ER(d)   7.47%  3M US L + 7.35%  01/19/2035   2,000,000    1,980,092 
Anchorage Capital CLO 17, Ltd., CLO 2021-17A, E(d)   7.01%  3M US L + 6.86%  07/15/2034   1,250,000    1,249,936 
Anchorage Capital CLO 19, Ltd., CLO 2021-19A, F(d)   7.41%  3M US L + 7.25%  10/15/2034   1,000,000    932,046 
Anchorage Capital CLO 4-R, Ltd., CLO 2018-4RA, E(d)   5.64%  3M US L + 5.50%  01/28/2031   2,000,000    1,913,989 
Anchorage Capital CLO 9, Ltd., CLO 2021-9A, ER2(d)   6.94%  3M US L + 6.82%  07/15/2032   2,000,000    1,981,474 
Apidos CLO XXVII, CLO 2017-27A, D(d)   6.52%  3M US L + 6.40%  07/17/2030   375,000    370,639 
Apidos CLO XXXII, CLO 2020-32A, E(d)   6.88%  3M US L + 6.75%  01/20/2033   250,000    249,987 
ARES LI CLO, Ltd., CLO 2021-51A, ER(d)   6.97%  3M US L + 6.85%  07/15/2034   250,000    247,411 
Atrium IX, CLO 2017-9A, ER(d)   6.63%  3M US L + 6.45%  05/28/2030   900,000    890,733 
Atrium XIV LLC, CLO 2018-14A, E(d)   5.77%  3M US L + 5.65%  08/23/2030   500,000    493,596 
Battalion CLO, Ltd., CLO 2021-21A, E(d)   6.59%  3M US L + 6.46%  07/15/2034   1,000,000    995,929 
Carlyle US CLO, Ltd., CLO 2020-4A, D(d)   7.77%  3M US L + 7.65%  01/15/2033   600,000    601,113 
CIFC Funding 2015-I, Ltd., CLO 2015-1A, ERR(d)   6.13%  3M US L + 6.00%  01/22/2031   500,000    489,806 
CIFC Funding 2019-III, Ltd., CLO 2021-3A, DR(d)   6.92%  3M US L + 6.80%  10/16/2034   900,000    903,232 
CIFC Funding 2019-VI, Ltd., CLO 2019-6A, E(d)   7.52%  3M US L + 7.40%  01/16/2033   500,000    500,705 
Elmwood CLO VI, Ltd., CLO 2021-3A, ER(d)   6.62%  3M US L + 6.50%  10/20/2034   750,000    742,602 
Elmwood CLO XI, Ltd., CLO 2021-4A, E(d)   6.14%  3M US L + 6.00%  10/20/2034   750,000    721,863 
HPS Loan Management, Ltd., CLO 2017-11A, F(d)   7.99%  3M US L + 7.85%  05/06/2030   1,000,000    855,939 
Madison Park Funding XLVIII, Ltd., CLO 2021-48A, E(d)   6.37%  3M US L + 6.25%  04/19/2033   500,000    500,036 
Madison Park Funding XVII, Ltd., CLO 2015-17A, FR(d)   7.61%  3M US L + 7.48%  07/21/2030   1,000,000    910,756 
Madison Park Funding XXXVI, Ltd., CLO 2019-36A, E(d)   7.37%  3M US L + 7.25%  01/15/2033   250,000    250,540 
Madison Park Funding XXXVII, Ltd., CLO 2021-37A, ER(d)   6.27%  3M US L + 6.15%  07/15/2033   750,000    740,934 
Magnetite XXIV, Ltd., CLO 2019-24A, E(d)   7.07%  3M US L + 6.95%  01/15/2033   500,000    501,006 
Neuberger Berman Loan Advisers CLO 24, Ltd., CLO 2017-24A, E(d)   6.14%  3M US L + 6.02%  04/19/2030   1,000,000    981,301 
OHA Credit Funding 2, Ltd., CLO 2021-2A, ER(d)   6.49%  3M US L + 6.36%  04/21/2034   1,000,000    979,488 
OHA Credit Funding 5, Ltd., CLO 2020-5A, E(d)   6.37%  3M US L + 6.25%  04/18/2033   1,000,000    980,572 
OHA Credit Funding 9, Ltd., CLO 2021-9A, E(d)   6.43%  3M US L + 6.25%  07/19/2035   1,000,000    974,654 
Rad CLO 11, Ltd., CLO 2021-11A, E(d)   6.37%  3M US L + 6.25%  04/15/2034   1,300,000    1,300,037 
Regata XII Funding, Ltd., CLO 2021-1A, ER(d)   6.47%  3M US L + 6.35%  10/15/2032   500,000    497,550 
Regatta VII Funding, Ltd., CLO 2021-1A, ER2(d)   6.61%  3M US L + 6.40%  06/20/2034   1,000,000    957,948 
Regatta VIII Funding, Ltd., CLO 2017-1A, E(d)   6.22%  3M US L + 6.10%  10/17/2030   500,000    498,802 
Regatta XIV Funding, Ltd., CLO 2018-3A, E(d)   6.07%  3M US L + 5.95%  10/25/2031   750,000    743,523 
Regatta XVI Funding, Ltd., CLO 2019-2A, E(d)   7.12%  3M US L + 7.00%  01/15/2033   1,000,000    1,001,414 
Regatta XXIII Funding, Ltd., CLO 2021-4A, E(d)   6.81%  3M US L + 6.70%  01/20/2035   1,250,000    1,237,522 
Regatta XXIV Funding, Ltd., CLO 2021-5A, E(d)   6.89%  3M US L + 6.80%  01/20/2035   250,000    250,000 
RR 19, Ltd., CLO 2021-19A, D(d)   6.62%  3M US L + 6.50%  10/15/2035   500,000    495,019 
Sound Point CLO II, Ltd., CLO 2013-1A, B2R(d)   5.62%  3M US L + 5.50%  01/26/2031   250,000    221,383 
Sound Point CLO XVIII, Ltd., CLO 2017-4A, D(d)   5.63%  3M US L + 5.50%  01/21/2031   500,000    462,382 
Symphony CLO XXI, Ltd., CLO 2019-21A ER, ER(d)   6.72%  3M US L + 6.60%  07/15/2032   1,000,000    1,000,708 
Symphony CLO XXIV, Ltd., CLO 2021-24A, E(d)   7.12%  3M US L + 7.00%  01/23/2032   1,000,000    1,003,350 
Symphony CLO XXV, Ltd., CLO 2021-25A, E(d)   6.62%  3M US L + 6.50%  04/19/2034   1,500,000    1,498,682 
THL Credit Wind River CLO, Ltd., CLO 2021-1A, EE(d)   7.18%  3M US L + 7.06%  04/18/2036   1,500,000    1,502,388 
THL Credit Wind River CLO, Ltd., CLO 2017-4A, E(d)   5.96%  3M US L + 5.80%  11/20/2030   500,000    478,584 
Voya CLO 2020-2, Ltd., CLO 2021-2A, ER(d)   6.52%  3M US L + 6.40%  07/19/2034   1,125,000    1,112,755 
Wind River 2021-3 CLO, Ltd., CLO 2021-3A, E(d)   6.71%  3M US L + 6.60%  07/20/2033   1,000,000    990,281 
Total Collateralized Loan Obligations Debt (Cost $39,851,818)         $40,450,000   $39,692,738 

 

 

   Coupon(a)  

Reference Rate 

& Spread 

 

Maturity 

Date 

 

Principal 

Amount 

   Value 
COLLATERALIZED LOAN OBLIGATIONS EQUITY(c)(e)- 66.60%* (39.88% of Total Investments)
ALM 2020, Ltd., CLO 2020-1A, SUB(d)   N/A   Estimated yield of 15.14%  10/15/2029  $5,000,000   $4,078,500 
Anchorage Capital CLO 13 LLC, CLO 2019-13A, SUB(d)   N/A   Estimated yield of 14.88%  04/15/2034   7,000,000    5,611,162 
Anchorage Capital CLO 18, Ltd., CLO 2021-18A, SUB(d)   N/A   Estimated yield of 16.30%  04/15/2034   850,000    757,571 
Anchorage Capital CLO 19, Ltd., CLO 2021-19A, SUB(d)   N/A   Estimated yield of 23.05%  10/15/2034   7,000,000    5,934,164 
Anchorage Capital CLO 1-R, Ltd., CLO 2018-1RA, SUB(d)   N/A   Estimated yield of 17.31%  04/13/2031   4,150,000    2,892,857 
Anchorage Capital Clo 20, Ltd., CLO 2021-20A, SUB(d)   N/A   Estimated yield of 14.40%  01/20/2035   1,750,000    1,431,130 
Anchorage Capital CLO 3-R, Ltd., CLO 2014-3RA, SUB(d)   N/A   Estimated yield of 19.90%  01/28/2031   1,400,000    889,980 
Anchorage Capital CLO 4-R, Ltd., CLO 2018-4RA, SUB(d)   N/A   Estimated yield of 20.65%  01/28/2031   3,000,000    1,843,800 
Anchorage Capital CLO 7, Ltd., CLO 2015-7A, SUBA(d)   N/A   Estimated yield of 32.29%  01/28/2031   1,750,000    849,625 
Anchorage Capital CLO 9, Ltd., CLO 2016-9A, SUB(d)   N/A   Estimated yield of 22.33%  07/15/2032   2,500,000    1,247,142 
Apidos CLO XXVII, CLO 2017-27A, SUB(d)   N/A   Estimated yield of 10.02%  07/17/2030   1,300,000    595,920 
Apidos CLO XXVIII, CLO 2017-28A, SUB(d)   N/A   Estimated yield of 6.31%  01/20/2031   3,500,000    1,855,014 
ARES LI CLO, Ltd., CLO 2019-51A, INC(d)   N/A   Estimated yield of 19.24%  04/15/2031   1,699,959    1,161,598 
ARES LI CLO, Ltd., CLO 2019-51A, SUB(d)   N/A   Estimated yield of 19.18%  04/15/2031   2,646,041    1,808,065 
Battalion Clo XV, Ltd., CLO 2020-15A, SUB(d)   N/A   Estimated yield of 18.16%  01/17/2033   4,500,000    3,928,065 
Battalion Clo XVI, Ltd., CLO 2019-16A, SUB(d)   N/A   Estimated yield of 15.22%  12/19/2032   3,500,000    2,952,827 
Carbone Clo, Ltd., CLO 2017-1A, SUB(d)   N/A   Estimated yield of 19.07%  01/20/2031   7,850,000    5,150,087 
Carlyle Global Market Strategies CLO, Ltd., CLO 2013-1A, SUB(d)   N/A   Estimated yield of 8.53%  08/14/2030   3,500,000    1,342,250 
CARLYLE US CLO 2021-5, Ltd., CLO 2021-5A, SUB(d)   N/A   Estimated yield of 17.05%  07/20/2034   4,000,000    3,588,189 
Carlyle US CLO, Ltd., CLO 2018-2A, SUB(d)   N/A   Estimated yield of 12.38%  10/15/2031   933,000    582,223 
Carlyle US CLO, Ltd., CLO 2020-4A, SUBA(d)   N/A   Estimated yield of 16.72%  01/15/2033   4,000,000    2,916,886 
Catamaran CLO, Ltd., CLO 2015-1A, SUB(d)   N/A   Estimated yield of 0.00%  04/22/2027   750,000    75 
CIFC Funding 2017-III, Ltd., CLO 2017-3A, SUB(d)   N/A   Estimated yield of 12.23%  07/20/2030   1,400,000    745,360 
CIFC Funding 2017-V, Ltd., CLO 2017-5A, SUB(d)   N/A   Estimated yield of 13.00%  11/16/2030   4,500,000    2,551,050 
CIFC Funding 2018-I, Ltd., CLO 2018-1A, SUB(d)   N/A   Estimated yield of 12.70%  04/18/2031   3,250,000    2,318,745 
CIFC Funding 2018-III, Ltd., CLO 2018-3A, SUB(d)   N/A   Estimated yield of 19.77%  07/18/2031   3,000,000    1,926,462 
CIFC Funding 2019-III, Ltd., CLO 2019-3A, SUB(d)   N/A   Estimated yield of 17.93%  07/16/2032   750,000    565,450 
CIFC Funding 2019-V, Ltd., CLO 2019-5A, INC(d)   N/A   Estimated yield of 15.83%  01/15/2035   2,500,000    2,131,377 
CIFC Funding 2020-II, Ltd., CLO 2020-2A, INC(d)   N/A   Estimated yield of 25.37%  10/20/2034   1,000,000    981,839 
CIFC Funding 2020-III, Ltd., CLO 2020-3A, SUB(d)   N/A   Estimated yield of 20.56%  10/20/2034   150,000    147,118 
CIFC Funding 2021-II, CLO 2021-2A, SUB(d)   N/A   Estimated yield of 23.60%  04/15/2034   4,000,000    3,846,778 
Dryden 43 Senior Loan Fund, CLO 2016-43A, SUB(d)   N/A   Estimated yield of 15.12%  04/20/2034   5,000,000    3,347,798 
Dryden 87 CLO, Ltd., CLO 2021-87A, SUB(d)   N/A   Estimated yield of 16.05%  05/20/2034   2,000,000    1,791,814 
Dryden 95 CLO, Ltd., CLO 2021-95A, SUB(d)   N/A   Estimated yield of 15.76%  08/20/2034   3,500,000    3,101,336 
Elmwood CLO I, Ltd., CLO 2019-1A, SUB(d)   N/A   Estimated yield of 11.53%  10/20/2033   6,000,000    4,609,408 
Elmwood CLO II, Ltd., CLO 2019-2A, SUB(d)   N/A   Estimated yield of 13.71%  04/20/2034   5,500,000    4,637,000 
Elmwood CLO III, Ltd., CLO 2019-3A, SUB(d)   N/A   Estimated yield of 14.01%  10/20/2034   5,250,000    4,385,522 
Elmwood CLO VII, Ltd., CLO 2020-4A, SUB(d)   N/A   Estimated yield of 13.26%  01/17/2034   6,350,000    5,501,640 
Elmwood CLO VIII, Ltd., CLO 2021-1A, SUB(d)   N/A   Estimated yield of 13.86%  01/20/2034   5,000,000    4,386,233 
Invesco CLO, Ltd., CLO 2021-1A, SUB(d)   N/A   Estimated yield of 17.43%  04/15/2034   3,000,000    2,472,699 
Invesco CLO, Ltd., CLO 2021-2A, SUB(d)(f)   N/A   Estimated yield of 15.85%  07/15/2034   5,000,000    4,014,335 
Madison Park Funding XVIII, Ltd., CLO 2015-18A, SUB(d)   N/A   Estimated yield of 8.66%  10/21/2027   4,000,000    2,138,000 
Madison Park Funding XX, Ltd., CLO 2016-20A, SUB(d)   N/A   Estimated yield of 23.50%  07/27/2030   1,740,000    967,155 
Madison Park Funding XXIX, Ltd., CLO 2018-29A, SUB(d)   N/A   Estimated yield of 16.87%  10/18/2047   3,750,000    2,594,066 
Madison Park Funding XXVIII, Ltd., CLO 2018-28A, SUB(d)   N/A   Estimated yield of 17.67%  07/15/2030   5,000,000    3,628,445 
Madison Park Funding XXXVII, Ltd., CLO 2019-37A, SUB(d)   N/A   Estimated yield of 19.37%  07/15/2032   5,500,000    5,156,250 
Niagara Park Clo, Ltd., CLO 2019-1A, SUB(d)   N/A   Estimated yield of 21.08%  07/17/2032   2,648,000    2,256,869 
Oak Hill Credit Partners X-R, Ltd., CLO 2014-10RA, SUB(d)   N/A   Estimated yield of 17.58%  04/20/2034   6,673,000    3,066,518 
OHA Credit Partners XI, Ltd., CLO 2015-11A, SUB(d)   N/A   Estimated yield of 17.25%  01/20/2032   2,750,000    1,872,351 
OHA Credit Partners XII, Ltd., CLO 2016-12A, SUB(d)   N/A   Estimated yield of 20.74%  07/23/2030   1,500,000    1,136,871 
Recette Clo, Ltd., CLO 2015-1A, SUB(d)(f)   N/A   Estimated yield of 17.53%  04/20/2034   10,400,000    5,592,265 
Regatta XVIII Funding, Ltd., CLO 2021-1A, SUB(d)   N/A   Estimated yield of 14.60%  01/15/2034   4,175,322    3,732,814 
Regatta XXIV Funding, Ltd., CLO 2021-5A, SUB(d)   N/A   Estimated yield of 6.99%  01/20/2035   5,000,000    4,100,500 
Rockland Park CLO, Ltd., CLO 2021-1A, SUB(d)   N/A   Estimated yield of 13.28%  04/20/2034   9,000,000    7,392,229 

 

 

   Coupon(a)  

Reference Rate 

& Spread 

 

Maturity 

Date 

 

Principal 

Amount 

   Value 
COLLATERALIZED LOAN OBLIGATIONS EQUITY(c)(e) (continued)       
Rockland Park CLO, Ltd., CLO 2021-1A, M1(d)   N/A   Estimated yield of 23.61%  04/20/2034  $9,000,000   $33,462 
Rockland Park CLO, Ltd., CLO 2021-1A, M2(d)   N/A   Estimated yield of 27.14%  04/20/2034   9,000,000    198,108 
Sixth Street CLO XVII, Ltd., CLO 2021-17A, SUB(d)   N/A   Estimated yield of 13.70%  01/20/2034   1,100,000    1,029,284 
Sound Point CLO III, Ltd., CLO 2017-3A, SUB(d)   N/A   Estimated yield of 12.62%  10/20/2030   1,500,000    788,250 
Sound Point CLO VI-R, Ltd., CLO 2014-2RA, SUB(d)   N/A   Estimated yield of 8.06%  10/20/2031   2,000,000    358,222 
Thacher Park CLO, Ltd., CLO 2014-1A, SUB(d)   N/A   Estimated yield of 0.00%  10/20/2026   6,000,000    5,340 
THL Credit Wind River CLO, Ltd., CLO 2018-3A, SUB(d)   N/A   Estimated yield of 19.58%  01/20/2031   3,000,000    2,396,919 
THL Credit Wind River CLO, Ltd., CLO 2018-2A, SUB(d)   N/A   Estimated yield of 15.16%  07/15/2030   3,031,000    2,141,208 
Webster Park CLO, Ltd., CLO 2016-1A, SUB(d)   N/A   Estimated yield of 15.93%  07/20/2030   9,000,400    6,008,064 
Wind River CLO, Ltd., CLO 2016-1A, SUB(d)   N/A   Estimated yield of 26.53%  07/15/2028   4,000,000    1,943,200 
Total Collateralized Loan Obligations Equity (Cost $168,270,471)         $249,496,722   $163,415,484 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
CORPORATE BONDS - 4.05%* (2.43% of Total Investments)        
Automobiles - 0.03% (0.02% of Total Investments)        
Real Hero Merger Sub 2, Inc., Senior Unsecured(d)   6.25%  N/A  02/01/2029   80,000    79,987 
                      
Chemicals - 0.28% (0.17% of Total Investments)
Herens Holdco Sarl, Senior Secured(d)   4.75%  N/A  05/15/2028   444,000    435,120 
Unifrax Escrow Issuer Corp., Senior Secured(d)   5.25%  N/A  09/30/2028   241,000    243,410 
Total Chemicals              685,000    678,530 
                      
Diversified Telecommunication Services - 1.22% (0.73% of Total Investments)       
Altice Financing SA, Senior Secured(d)   5.75%  N/A  08/15/2029   1,197,000    1,184,276 
Altice France SA, Senior Secured(d)   5.50%  N/A  10/15/2029   667,000    662,414 
Consolidated Communications, Inc., Senior Secured(d)   5.00%  N/A  10/01/2028   1,125,000    1,146,600 
Total Diversified Telecommunication Services              2,989,000    2,993,290 
                      
Electronic Equipment, Instruments & Components - 0.06% (0.04% of Total Investments)       
II-VI, Inc., Senior Unsecured(d)   5.00%  N/A  12/15/2029   146,000    149,402 
                      
Health Care Equipment & Supplies - 0.32% (0.19% of Total Investments)
Mozart Debt Merger Sub, Inc., Senior Secured(d)   3.88%  N/A  04/01/2029   727,000    724,862 
Mozart Debt Merger Sub, Inc., Senior Unsecured(d)   5.25%  N/A  10/01/2029   62,000    62,871 
Total Health Care Equipment & Supplies              789,000    787,733 
                      
Hotels, Restaurants & Leisure - 0.87% (0.52% of Total Investments)       
CEC Entertainment LLC, Senior Secured(d)   6.75%  N/A  05/01/2026   470,000    461,540 
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, Senior Unsecured(d)   5.00%  N/A  06/01/2029   529,000    542,877 
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, Senior Unsecured(d)   4.88%  N/A  07/01/2031   500,000    502,186 
SeaWorld Parks & Entertainment, Inc., Senior Unsecured(d)   5.25%  N/A  08/15/2029   600,000    611,345 
Total Hotels, Restaurants & Leisure              2,099,000    2,117,948 
                      
Industrial Conglomerates - 0.21% (0.13% of Total Investments)       
MajorDrive Holdings IV LLC, Senior Unsecured(d)   6.38%  N/A  06/01/2029   545,000    527,469 
                      
IT Services - 0.15% (0.09% of Total Investments)       
Avaya, Inc., Senior Secured(d)   6.13%  N/A  09/15/2028   345,000    367,126 
                      
Media - 0.20% (0.12% of Total Investments)       
Audacy Capital Corp., Senior Secured(d)   6.75%  N/A  03/31/2029   390,000    380,589 

 

 

CORPORATE BONDS - 4.05%* (2.43% of Total Investments) (continued)
Media - 0.20% (0.12% of Total Investments) (continued)
Clear Channel Outdoor Holdings, Inc., Senior Unsecured(d)   7.75%  N/A  04/15/2028  $100,000   $107,482 
Total Media              490,000    488,071 
                      
Pharmaceuticals - 0.11% (0.06% of Total Investments)
Bausch Health Cos., Inc., Senior Secured(d)   4.88%  N/A  06/01/2028   260,000    265,200 
                      
Professional Services - 0.47% (0.28% of Total Investments)
Conduent Business Services LLC / Conduent State & Local Solutions, Inc., Senior Secured(d)   6.00%  N/A  11/01/2029   1,176,000    1,160,215 
                      
Transportation Infrastructure - 0.13% (0.08% of Total Investments)
Uber Technologies, Inc., Senior Unsecured(d)   6.25%  N/A  01/15/2028   305,000    326,995 
                      
Total Corporate Bonds (Cost $9,863,129)             $9,909,000   $9,941,966 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SECURED SECOND LIEN LOANS(b) - 4.13%* (2.47% of Total Investments)        
Aerospace & Defense - 0.82% (0.49% of Total Investments)        
Amentum Government Services Holdings LLC, TL(g)   N/A   L + 7.50%  02/01/2030   2,016,807    1,956,303 
New Constellis Borrower LLC, B   12.00%  3M US L + 11.00%  03/27/2025   107,755    64,653 
Total Aerospace & Defense              2,124,562    2,020,956 
                      
Air Freight & Logistics - 0.30% (0.18% of Total Investments)       
LaserShip, Inc., Initial   8.25%  3M US L + 7.50%  05/07/2029   745,852    749,119 
                      
Building Products - 0.26% (0.16% of Total Investments)       
DIVERSITECH HOLDINGS, INC. TL(g)   N/A   L + 6.75%  12/21/2029   468,750    468,459 
Visual Comfort Group, Inc. (fka VC GB Holdings, Inc.)(aka Visual Comfort Generation Brands), Initial 2nd Lien Term Loan   7.25%  3M US L + 6.75%  07/23/2029   169,492    167,692 
Total Building Products              638,242    636,151 
                      
Chemicals - 0.11% (0.06% of Total Investments)       
CP Iris Holdco I, Inc., Initial   7.50%  3M US L + 0.50%  10/01/2029   258,621    258,835 
                      
Commercial Services & Supplies - 0.26% (0.16% of Total Investments)       
AVSC Holding Corp., Initial   8.25%  3M US L + 7.25%  09/01/2025   805,556    643,099 
                      
Communications Equipment - 0.13% (0.08% of Total Investments)       
Global Tel*Link Corp., 2nd Lien   8.35%  1M US L + 8.25%  11/29/2026   347,222    322,917 
                      
Construction & Engineering - 0.12% (0.07% of Total Investments)       
DG Investment Intermediate Holdings 2, Inc., 2nd Lien   7.50%  1M US L + 6.75%  03/30/2029   292,804    292,072 
                      
Diversified Consumer Services - 0.25% (0.15% of Total Investments)       
Travelport Finance Luxembourg Sarl, 2021 Consented   6.97%  3M US L + 6.75%  05/29/2026   576,676    477,488 
TruGreen LP, Initial   9.25%  3M US L + 8.50%  11/02/2028   125,392    126,646 
Total Diversified Consumer Services              702,068    604,134 
                      
Diversified Financial Services - 0.36% (0.21% of Total Investments)       
Edelman Financial Center LLC, Initial   6.85%  1M US L + 6.75%  07/20/2026   626,984    628,031 
NEXUS BUYER LLC, TL   6.75%  1M US L + 6.25%  11/05/2029   245,536    245,229 
Total Diversified Financial Services              872,520    873,260 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SECURED SECOND LIEN LOANS(b)  (continued)        
Electronic Equipment, Instruments & Components - 0.03% (0.02% of Total Investments)        
Infinite Bidco LLC, Initial   7.50%  1M US L + 7.00%  03/02/2029  $69,869   $69,956 
                      
Health Care Providers & Services - 0.05% (0.03% of Total Investments)             
Verscend Holding Corp., Initial   7.50%  1M US L + 7.00%  04/02/2029   135,802    135,802 
                      
Insurance - 0.45% (0.27% of Total Investments)       
Asurion LLC, New B-4   5.35%  1M US L + 5.25%  01/20/2029   1,104,603    1,099,312 
                      
Professional Services - 0.07% (0.04% of Total Investments)       
National Intergovernmental Purchasing Alliance Co.   7.65%  3M US L + 7.50%  05/22/2026   169,492    168,644 
                      
Software - 0.77% (0.46% of Total Investments)       
Ascend Learning 11/21 2nd Lien TL   6.25%  1M US L + 5.75%  12/10/2029   462,963    463,736 
DCert Buyer, Inc., First Amendment Refinancing   7.10%  1M US L + 7.00%  02/19/2029   156,627    156,626 
EagleView Technology Corp., Term Loan 2nd Lien   8.50%  3M US L + 7.50%  08/14/2026   198,167    194,700 
MH Sub I LLC, 2021 Replacement   6.34%  3M US L + 6.25%  02/23/2029   1,000,000    1,004,580 
Ultimate Software 11/21 2nd Lien TL   5.75%  1M US L + 5.25%  05/03/2027   75,676    75,818 
Total Software              1,893,433    1,895,460 
                      
Textiles, Apparel & Luxury Goods - 0.15% (0.09% of Total Investments)       
ABG Intermediate Holdings 2, LLC TL 2L(g)   N/A   SOFR + 6.00%  12/20/2029   372,760    375,075 
                      
Total Secured Second Lien Loans (Cost $10,399,165)             $10,533,406   $10,144,792 
                      
SENIOR SECURED FIRST LIEN LOANS(b) - 73.47%* (44.00% of Total Investments)       
Aerospace & Defense - 2.11% (1.26% of Total Investments)       
Amentum Government Services Holdings LLC, Tranche 2   5.50%  3M US L + 4.75%  01/29/2027   1,324,424    1,321,390 
COBHAM ULTRA US CO-BORROWER LLC, TL   4.25%  6M US L + 3.75%  11/17/2028   417,409    415,714 
Constellis Holdings LLC, Priority   8.50%  3M US L + 7.50%  03/27/2024   119,765    116,172 
Peraton Corp., B   4.50%  1M US L + 3.75%  02/01/2028   1,133,024    1,132,617 
Vertex Aerospace 11/21   4.58%  1M US L + 4.00%  12/06/2028   763,763    761,663 
WP CPP Holdings LLC   4.75%  3M US L + 3.75%  04/30/2025   1,496,306    1,430,214 
Total Aerospace & Defense              5,254,691    5,177,770 
                      
Air Freight & Logistics - 0.70% (0.42% of Total Investments)       
KKR Apple Bidco LLC, Initial   3.50%  1M US L + 3.00%  09/22/2028   376,652    375,081 
LaserShip, Inc., Initial   5.25%  3M US L + 4.50%  05/07/2028   1,337,861    1,337,861 
Total Air Freight & Logistics              1,714,513    1,712,942 
                      
Airlines - 1.22% (0.73% of Total Investments)       
Air Canada, B   4.25%  6M US L + 3.50%  08/11/2028   1,780,000    1,772,684 
Allegiant Travel Company, Replacement   3.16%  3M US L + 3.00%  02/05/2024   381,957    379,188 
United AirLines, Inc., Class B   4.50%  3M US L + 3.75%  04/21/2028   833,835    834,969 
Total Airlines              2,995,792    2,986,841 
                      
Auto Components - 1.78% (1.07% of Total Investments)       
Dealer Tire LLC, B-1   4.35%  1M US L + 4.25%  12/12/2025   1,110,457    1,108,791 
First Brands Group, LLC, Refinanced   6.00%  3M US L + 5.00%  03/30/2027   458,111    459,486 
Gopher Resource, Llc Tlb   4.25%  3M US L + 3.25%  03/06/2025   497,506    464,277 
IXS Holdings, Inc., Initial   5.00%  3M US L + 4.25%  03/05/2027   1,852,216    1,816,338 
LS Group Opco Acquisition LLC, Initial   4.00%  3M US L + 3.25%  11/02/2027   324,812    323,864 
LTR Intermediate Holdings, Inc., Initial   5.50%  3M US L + 4.50%  05/05/2028   207,695    206,009 
Total Auto Components              4,450,797    4,378,765 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Automobiles - 0.74% (0.44% of Total Investments)        
Driven Holdings LLC, TLB   3.75%  6M US L + 3.25%  11/17/2028  $98,668   $98,422 
RVR Dealership Holdings LLC, B   4.75%  3M US L + 4.00%  02/08/2028   651,320    649,288 
Truck Hero, Inc., Initial   4.00%  1M US L + 3.25%  01/31/2028   1,074,451    1,067,488 
Total Automobiles              1,824,439    1,815,198 
                      
Beverages - 0.23% (0.14% of Total Investments)       
Triton Water Holdings, Inc., Initial   4.00%  3M US L + 3.50%  03/31/2028   565,879    559,191 
                      
Building Products - 1.88% (1.13% of Total Investments)       
CHARIOT BUYER LLC TLB 1L   4.00%  1M US L + 3.50%  11/03/2028   1,073,616    1,072,274 
Cornerstone Building Brands, Inc., Tranche B   3.75%  1M US L + 3.25%  04/12/2028   386,368    384,919 
Foundation Building Materials, Inc., Initial   3.75%  3M US L + 3.25%  01/31/2028   225,040    223,272 
Kodiak BP LLC, Initial   4.00%  3M US L + 3.25%  03/12/2028   244,918    242,878 
Osmosis Buyer, Ltd., Initial B(h)   4.50%  1M US L + 4.00%  07/31/2028   260,356    260,727 
Park River Holdings, Inc., Initial   4.00%  3M US L + 3.25%  12/28/2027   95,831    94,858 
QUIKRETE Holdings, Inc., B-1 Fourth Amendment(g)   N/A   L + 3.00%  06/09/2028   877,869    875,429 
Snap One 11/21 Cov-Lite TLB   5.00%  6M US L + 4.50%  12/08/2028   762,256    757,492 
Visual Comfort Group, Inc. (fka VC GB Holdings, Inc.)(aka Visual Comfort Generation Brands), Initial 1st Lien Term Loan   4.00%  3M US L + 3.50%  07/21/2028   324,675    321,733 
White Cap Buyer LLC, Initial Closing Date   4.50%  1M US L + 4.00%  10/19/2027   220,338    220,363 
Wilsonart LLC, Tranche E   4.50%  3M US L + 3.50%  12/31/2026   167,526    167,386 
Total Building Products              4,638,793    4,621,331 
                      
Capital Markets - 0.80% (0.48% of Total Investments)
Hudson River Trading LLC, Term Loan   3.10%  1M US L + 3.00%  03/20/2028   1,440,177    1,428,094 
Jane Street Group LLC, Dollar   2.85%  1M US L + 2.75%  01/26/2028   530,824    526,291 
Total Capital Markets              1,971,001    1,954,385 
                      
Chemicals - 1.60% (0.96% of Total Investments)       
Ascend Performance Materials Operations LLC, 2021 Refinancing   5.50%  3M US L + 4.75%  08/27/2026   685,455    688,539 
CP Iris Holdco I, Inc., Initial(h)   4.25%  1M US L + 3.75%  10/02/2028   227,888    227,204 
CPC Acquisition Corp., Initial   4.50%  3M US L + 3.75%  12/29/2027   133,359    131,359 
Herens Holdco S.a r.l., Facility B   4.75%  6M US L + 4.00%  07/03/2028   383,787    383,266 
INEOS Enterprises Holdings, Ltd., Refinancing Tranche B Dollar   4.50%  3M US L + 3.50%  08/28/2026   214,922    215,057 
INEOS Styrolution Group GmbH, 2026 Tranche B Dollar   3.25%  1M US L + 2.75%  01/29/2026   127,620    127,168 
INEOS US Finance LLC(g)   N/A   L + 2.50%  11/09/2028   185,070    183,991 
Kraton Polymer 11/21 (USD) TLB   3.75%  6M US L + 3.25%  11/18/2028   285,826    285,291 
LSF11 A5 HoldCo, LLC TLB 1L   4.25%  3M US L + 3.75%  10/15/2028   552,353    551,431 
Lummus Technology Holdings V LLC, 2021 Refinancing B   3.60%  1M US L + 3.50%  06/30/2027   49,751    49,405 
Polar US Borrower LLC, Initial   4.87%  3M US L + 4.75%  10/16/2025   860,805    860,805 
Sparta U.S. Holdco LLC, Initial Term Loans   4.25%  3M US L + 3.50%  08/02/2028   91,471    91,499 
W. R. Grace Holdings LLC, Initial   4.25%  3M US L + 3.75%  09/22/2028   122,247    122,339 
Total Chemicals              3,920,554    3,917,354 
                      
Commercial Services & Supplies - 1.74% (1.04% of Total Investments)       
Allied Universal Holdco LLC, Initial U.S. Dollar   4.25%  3M US L + 3.75%  05/12/2028   487,084    484,955 
Ankura Consulting Group LLC, Closing Date   5.25%  1M US L + 4.50%  03/17/2028   178,300    178,523 
Belfor Holdings, Inc., Initial   3.85%  1M US L + 3.75%  04/06/2026   636,793    636,793 
CLARKE AMERICAN CORP. TL, 2021 Extended   8.75%  3M US L + 7.75%  06/16/2026   313,879    284,061 
Divisions Holding Corp., B   5.50%  3M US L + 4.75%  05/27/2028   1,136,779    1,137,495 
First Advantage Holdings LLC, B-1   2.85%  1M US L + 2.75%  01/31/2027   59,760    59,461 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)
Commercial Services & Supplies (continued)
Viad Corp, Initial   5.50%  3M US L + 5.00%  07/30/2028  $1,496,250   $1,491,582 
Total Commercial Services & Supplies              4,308,845    4,272,870 
                      
Communications Equipment - 1.30% (0.78% of Total Investments)
Casa Systems, Inc., Initial   5.00%  3M US L + 4.00%  12/20/2023   906,908    880,835 
CCI Buyer, Inc., Initial   4.50%  3M US L + 3.75%  12/17/2027   139,375    139,375 
Global Tel*Link Corp., 2018   4.35%  1M US L + 4.25%  11/29/2025   449,203    435,727 
Gogo Intermediate Holdings LLC, Initial   4.50%  3M US L + 3.75%  04/30/2028   1,600,011    1,598,587 
MLN US HoldCo LLC, B   4.60%  1M US L + 4.50%  11/30/2025   137,414    132,464 
Total Communications Equipment              3,232,911    3,186,988 
                      
Construction & Engineering - 0.64% (0.38% of Total Investments)
DG Investment Intermediate Holdings 2, Inc., Initial   4.25%  1M US L + 3.50%  03/31/2028   171,861    171,646 
TRC Companies 11/21 TL   4.25%  3M US L + 3.75%  12/08/2028   1,399,798    1,391,483 
Total Construction & Engineering              1,571,659    1,563,129 
                      
Construction Materials - 0.34% (0.20% of Total Investments)
Schweitzer-Mauduit International, Inc., B   4.50%  1M US L + 3.75%  04/20/2028   832,881    827,675 
                      
Containers & Packaging - 1.80% (1.08% of Total Investments)
Kleopatra Finco S.a r.l., Facility B   5.25%  3M US L + 4.75%  02/12/2026   679,776    660,022 
LABL, INC. TL 1L   5.50%  1M US L + 5.00%  10/29/2028   971,879    969,449 
Pactiv Evergreen Group Holdings, Inc., Tranche B-3 U.S.   4.00%  1M US L + 3.50%  09/24/2028   81,471    81,280 
PELICAN PRODUCTS, INC. TL   4.75%  6M US L + 4.25%  11/16/2028   491,266    488,810 
Pregis TopCo LLC, Initial   4.10%  1M US L + 4.00%  07/31/2026   1,129,666    1,124,018 
Pretium PKG Holdings, Inc., Initial   4.50%  6M US L + 4.00%  10/02/2028   357,995    356,967 
ProAmpac PG Borrower LLC, 2020-1   4.50%  3M US L + 3.75%  11/03/2025   91,245    91,244 
RLG Holdings LLC                     
Closing Date Initial   5.00%  3M US L + 4.25%  07/07/2028   138,347    137,915 
Delayed Draw   5.00%  3M US L + 4.25%  07/07/2028   35,024    34,915 
Sabert Corp., Initial   5.50%  1M US L + 4.50%  12/10/2026   467,413    466,539 
Total Containers & Packaging              4,444,082    4,411,159 
                      
Distributors - 0.57% (0.34% of Total Investments)
American Tire Distributors, Inc., TLB   7.00%  3M US L + 6.25%  10/20/2028   501,458    503,519 
BCPE Empire Holdings, Inc., Initial   4.50%  1M US L + 4.00%  06/11/2026   337,158    335,893 
Ingram Micro, Inc., Initial   4.00%  3M US L + 3.50%  06/30/2028   547,481    547,207 
Total Distributors              1,386,097    1,386,619 
                      
Diversified Consumer Services - 4.08% (2.44% of Total Investments)
Anticimex International AB   4.00%  6M US L + 3.50%  11/08/2028   559,552    557,627 
Entertainment Partners 10/21 Cov-Lite   4.00%  3M US L + 3.50%  11/06/2028   425,659    425,553 
KUEHG Corp, B-3   4.75%  3M US L + 3.75%  02/21/2025   1,983,946    1,940,061 
Learning Care Group No. 2, Inc., 2020 Incremental   9.50%  3M US L + 8.50%  03/13/2025   386,073    385,108 
LifeMiles, Ltd., Initial   6.25%  3M US L + 5.25%  08/30/2026   82,281    81,932 
Pug LLC, B-2   4.75%  1M US L + 4.25%  02/12/2027   1,527,045    1,517,501 
Sabre GLBL, Inc.                     
2021 Other B-1   4.00%  1M US L + 3.50%  12/17/2027   181,651    179,153 
2021 Other B-2   4.00%  1M US L + 3.50%  12/17/2027   289,562    285,581 
Seren BidCo AB TL 1L(g)   N/A   L + 3.50%  11/16/2028   137,139    137,310 
SkyMiles IP, Ltd., Initial   4.75%  3M US L + 3.75%  10/20/2027   95,123    100,474 
Sotheby's, 2021 Second Refinancing   5.00%  3M US L + 4.50%  01/15/2027   435,192    435,192 
Spin Holdco, Inc., Initial   4.75%  3M US L + 4.00%  03/04/2028   1,442,750    1,446,155 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)       
Diversified Consumer Services (continued)                     
St. George's University Scholastic Services LLC (St. George's University Scholastic Services LLC), Initial Term Loans(g)   N/A   L + 3.25%  06/29/2028  $73,202   $72,836 
Staples, Inc., 2019 Refinancing New B-1   5.13%  3M US L + 5.00%  04/16/2026   972,786    938,301 
The Knot Worldwide, Inc., Initial   4.63%  3M US L + 4.50%  12/19/2025   498,970    498,970 
Travelport Finance S.a r.l., Initial (Priority)   9.75%  3M US L + 8.75%  02/28/2025   793,903    814,925 
TruGreen LP, Second Refinancing   4.75%  1M US L + 4.00%  11/02/2027   181,911    181,967 
Total Diversified Consumer Services              10,066,745    9,998,646 
                      
Diversified Financial Services - 1.69% (1.01% of Total Investments)       
Edelman Financial Center LLC, Initial (2021)   4.25%  1M US L + 3.50%  04/07/2028   428,375    427,733 
Focus Financial Partners LLC                     
Delayed   4.75%  3M US L + 1.50%  06/30/2028   89,149    88,608 
Term Loan   3.00%  1M US L + 2.50%  06/30/2028   385,349    383,009 
HighTower Holding LLC, Initial   4.75%  3M US L + 4.00%  04/21/2028   563,125    561,717 
MERCURY BORROWER, INC., TL   4.00%  3M US L + 3.50%  08/02/2028   256,682    255,334 
Nexus Buyer LLC, B   3.85%  1M US L + 3.75%  11/09/2026   349,639    347,702 
Paysafe Holdings US Corp., Facility B1   3.25%  1M US L + 2.75%  06/28/2028   147,278    142,814 
VeriFone Systems, Inc., Initial   4.18%  3M US L + 4.00%  08/20/2025   1,986,055    1,949,313 
Total Diversified Financial Services              4,205,652    4,156,230 
                      
Diversified Telecommunication Services - 3.63% (2.18% of Total Investments)       
Altice France S.A., USD TLB-13 Incremental   4.12%  3M US L + 4.00%  08/14/2026   1,283,598    1,275,896 
Cincinnati Bell Inc.   3.75%  1M SOFR + 3.25%  11/22/2028   128,818    128,657 
Consolidated Communications, Inc., B-1   4.25%  1M US L + 3.50%  10/02/2027   700,484    698,845 
DIRECTV Financing LLC, Closing Date   5.75%  3M US L + 5.00%  08/02/2027   1,599,240    1,599,704 
LCPR Loan Financing LLC, 2021 Additional   3.86%  1M US L + 3.75%  10/16/2028   583,258    585,445 
MetroNet Systems Holdings LLC, 2021   4.50%  1M US L + 3.75%  06/02/2028   99,428    99,353 
Northwest Fiber LLC, B-2   3.85%  1M US L + 3.75%  04/30/2027   101,497    101,041 
Radiate Holdco, LLC TLB 1L   4.00%  1M US L + 3.25%  09/25/2026   1,625,314    1,618,716 
Sorenson Communications LLC, 2021   6.25%  3M US L + 5.50%  03/17/2026   201,395    201,522 
Syniverse Holdings, Inc., Tranche C   6.00%  3M US L + 5.00%  03/09/2023   604,503    600,223 
Voyage US LLC (Vocus Group), Initial U.S. Term Loans   4.00%  3M US L + 3.50%  07/20/2028   218,897    218,692 
Windstream Services II LLC, Initial   7.25%  1M US L + 6.25%  09/21/2027   1,448,688    1,450,948 
Xplornet Communications, Inc. TL 1L   4.50%  1M US L + 4.00%  10/02/2028   338,672    337,967 
Total Diversified Telecommunication Services              8,933,792    8,917,009 
                      
Electric Utilities - 0.22% (0.13% of Total Investments)       
Generation Bridge Acquisition LLC                     
B   5.75%  3M US L + 5.00%  12/01/2028   362,859    363,766 
C   5.75%  3M US L + 5.00%  12/01/2028   7,560    7,578 
PG&E Corporation, Loan   3.50%  3M US L + 3.00%  06/23/2025   161,357    159,421 
Total Electric Utilities              531,776    530,765 
                      
Electrical Equipment - 0.36% (0.22% of Total Investments)       
Energy Acquisition LP                     
Initial   4.35%  1M US L + 4.25%  06/26/2025   715,490    708,335 
Tranche B(i)   7.50%  7.50%  06/26/2025   186,080    185,149 
Total Electrical Equipment              901,570    893,484 
                      
Electronic Equipment, Instruments & Components - 1.44% (0.86% of Total Investments)       
Infinite Bidco LLC, Initial   4.25%  1M US L + 3.75%  03/02/2028   1,250,174    1,245,098 
Mavenir Systems, Inc., Initial   5.25%  3M US L + 4.75%  08/18/2028   489,989    488,558 
Natel Engineering Company, Inc., Initial   7.25%  6M US L + 6.25%  04/30/2026   511,185    497,127 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)       
Electronic Equipment, Instruments & Components (continued)       
Triton Solar US Acquisition Co., Initial   6.22%  3M US L + 6.00%  10/29/2024  $259,597   $255,919 
Ultra Clean Holdings, Inc., Refinanced   3.85%  1M US L + 3.75%  08/27/2025   740,642    740,953 
Xperi Holding Corp., Initial B   3.60%  1M US L + 3.50%  06/08/2028   301,112    300,284 
Total Electronic Equipment, Instruments & Components          3,552,699    3,527,939 
                      
Energy Equipment & Services - 0.44% (0.27% of Total Investments)       
ChampionX, Term Loan   6.00%  3M US L + 5.00%  06/03/2027   165,454    167,458 
Lealand Finance Company B.V.                     
Make-Whole   3.09%  3M US L + 3.00%  06/28/2024   8,469    4,827 
Take-Back   4.15%  1M US L + 4.00%  06/30/2025   46,500    20,266 
Par Petroleum LLC, Closing Date   6.88%  3M US L + 6.75%  01/12/2026   321,660    319,248 
WaterBridge Midstream Operating LLC, Initial   6.75%  6M US L + 5.75%  06/22/2026   592,501    576,764 
Total Energy Equipment & Services              1,134,584    1,088,563 
                      
Food & Staples Retailing - 0.46% (0.27% of Total Investments)       
BW Gas & Convenience Holdings LLC, Initial   4.00%  1M US L + 3.50%  03/31/2028   14,702    14,665 
Rent-A-Center, Inc.   3.75%  1M US L + 3.25%  02/17/2028   1,116,723    1,113,239 
Total Food & Staples Retailing              1,131,425    1,127,904 
                      
Food Products - 0.99% (0.59% of Total Investments)       
Chill Merger Sub, Inc.   4.50%  3M US L + 3.50%  03/20/2024   1,250,000    1,176,112 
H-Food Holdings LLC, 2020 Incremental B-3   6.00%  3M US L + 5.00%  05/23/2025   61,681    61,611 
Pacific Bells LLC                     
Delayed Draw(h)   5.00%  3M US L + 4.50%  11/10/2028   15,133    15,038 
Initial Term   5.00%  3M US L + 4.50%  11/10/2028   348,055    346,315 
Primary Products Finance, LLC TL 1L(g)   N/A   L + 4.00%  01/05/2029   721,121    721,121 
Whole Earth Brands, Inc., Term Loan   5.50%  3M US L + 4.50%  02/05/2028   100,360    99,607 
Total Food Products              2,496,350    2,419,804 
                      
Health Care Equipment & Supplies - 1.67% (1.00% of Total Investments)       
Curium BidCo S.a r.l., Term Loan   5.00%  3M US L + 4.25%  12/02/2027   104,947    105,078 
Insulet Corp., B   3.75%  1M US L + 3.25%  05/04/2028   1,492,500    1,491,575 
Medplast Holdings, Inc., Initial Term Loan (Late June/Early July)   3.85%  1M US L + 3.75%  07/02/2025   989,770    932,858 
Mozart Debt Merger Sub, Inc. TLB 1L   3.75%  1M US L + 3.25%  10/23/2028   1,575,286    1,574,593 
Total Health Care Equipment & Supplies              4,162,503    4,104,104 
                      
Health Care Providers & Services - 7.44% (4.46% of Total Investments)       
ADMI Corp., Amendment No. 5 Incremental   4.00%  1M US L + 3.50%  12/23/2027   1,304,078    1,300,609 
AEA International Holdings S.a.r.l., Initial   4.25%  3M US L + 3.75%  09/07/2028   217,234    217,234 
BW NHHC Holdco, Inc., Initial   5.16%  3M US L + 5.00%  05/15/2025   340,565    289,225 
Cambrex Corp., Tranche B-2 Dollar   4.25%  1M US L + 3.50%  12/04/2026   402,518    402,349 
CityMD/Summit Health 11/21 TLB   3.75%  3M US L + 3.25%  12/22/2028   1,205,093    1,203,394 
Curia Global, Inc., 2021   4.50%  3M US L + 3.75%  08/30/2026   153,651    153,699 
ELECTRON BIDCO INC. TL 1L   3.75%  3M US L + 3.25%  11/01/2028   429,010    427,555 
Envision Healthcare Corp., Initial   3.85%  1M US L + 3.75%  10/10/2025   989,796    793,539 
Eyecare Partners LLC                     
Amendment No. 1   4.25%  3M US L + 3.75%  11/15/2028   226,785    225,708 
Delayed Draw(h)   6.00%  3M US L + 2.75%  11/15/2028   38,656    38,387 
Initial   3.97%  3M US L + 3.75%  02/18/2027   577,031    573,246 
Global Medical Response, Inc.                     
2018 New   5.25%  3M US L + 4.25%  03/14/2025   652,199    649,055 
2020 Refinancing   5.25%  3M US L + 4.25%  10/02/2025   1,131,655    1,125,714 
Heartland Dental LLC, 2021 Incremental   4.10%  1M US L + 4.00%  04/30/2025   805,704    803,690 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
 Date		  Principal
 Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)       
Health Care Providers & Services (continued)       
Heartland Dental, LLC, Initial   3.60%  1M US L + 3.50%  04/30/2025  $493,611   $488,266 
Hunter Holdco 3, Ltd., Initial Dollar   4.75%  3M US L + 4.25%  08/19/2028   647,960    647,558 
Icon Public, Ltd. Company                     
Lux   2.75%  3M US L + 2.50%  07/03/2028   868,956    868,591 
U.S.   2.75%  3M US L + 2.25%  07/03/2028   216,501    216,410 
Ingenovis Health, Inc., Initial   4.50%  3M US L + 3.75%  03/06/2028   1,065,847    1,063,854 
Mamba Purchaser, Inc.   4.25%  1M US L + 3.75%  10/16/2028   97,965    97,801 
Maravai Intermediate Holdings LLC, Initial   4.75%  1M US L + 3.75%  10/19/2027   68,520    68,777 
Midwest Veterinary Partners LLC, Initial   4.75%  1M US L + 4.00%  04/27/2028   941,985    937,275 
Parexel International Corp.   4.00%  1M US L + 3.50%  11/15/2028   754,489    754,149 
Pathway Vet Alliance LLC, 2021 Replacement   3.85%  3M US L + 3.75%  03/31/2027   337,008    335,623 
Radiology Partners, Inc., B   4.36%  1M US L + 4.25%  07/09/2025   1,104,358    1,086,876 
Radnet Management, Inc., Initial   3.75%  3M US L + 3.00%  04/23/2028   181,883    181,712 
Sharp MidCo, LLC TL 1L(g)   N/A   L + 4.00%  12/31/2028   350,905    350,028 
Southern Veterinary Partners LLC                     
Delayed Draw Term Loan (First Lien)   5.00%  3M US L + 4.00%  10/05/2027   8,193    8,204 
Initial   5.00%  3M US L + 4.00%  10/05/2027   59,085    59,158 
Summit Behavioral 11/21   5.50%  3M US L + 4.75%  11/24/2028   417,700    409,346 
UWH PLLC, Initial   5.00%  1M US L + 4.25%  12/20/2027   219,155    219,046 
Verscend Holding Corp., B-1   4.10%  1M US L + 4.00%  08/27/2025   1,728,475    1,726,314 
WCG Purchaser Corp., Initial   5.00%  3M US L + 4.00%  01/08/2027   541,261    541,094 
Total Health Care Providers & Services              18,577,832    18,263,486 
                      
Health Care Technology - 2.26% (1.35% of Total Investments)       
athenahealth, Inc., B-1   4.40%  3M US L + 4.25%  02/11/2026   2,062,977    2,060,914 
Gainwell Acquisition Corp., B   4.75%  3M US L + 4.00%  10/01/2027   1,001,235    1,002,737 
TTF Holdings LLC, Initial   5.00%  1M US L + 4.25%  03/31/2028   790,700    790,701 
Waystar Technologies, Inc., Initial   4.10%  1M US L + 4.00%  10/22/2026   814,851    813,490 
Zelis Payments Buyer, Inc., Amendment No. 2(h)   3.60%  1M US L + 3.50%  09/30/2026   883,849    877,071 
Total Health Care Technology              5,553,612    5,544,913 
                      
Hotels, Restaurants & Leisure - 2.63% (1.58% of Total Investments)       
Aimbridge Hsp Incre CL TLB   5.50%  1M US L + 4.75%  02/02/2026   250,000    248,125 
Alterra Mountain Co., Series B-2   4.00%  1M US L + 3.50%  08/17/2028   530,626    529,299 
Arcis 11/21 Cov-Lite TLB   4.75%  3M US L + 4.25%  11/24/2028   309,607    310,381 
Bally's Corp., B   3.75%  3M US L + 3.25%  10/02/2028   500,031    499,821 
Caesars Resort Collection LLC, B-1   3.60%  1M US L + 3.50%  07/21/2025   625,712    625,556 
Carnival Corp., Initial Advance   3.75%  3M US L + 3.00%  06/30/2025   64,793    64,145 
CARNIVAL CORPORATION TLB 1L   4.00%  6M US L + 3.25%  10/18/2028   1,224,252    1,212,010 
Cinemark USA, Inc., Additional   1.86%  1M US L + 1.75%  03/31/2025   498,313    477,678 
Herschend Entertainment Company LLC, Initial (2021)   4.25%  6M US L + 3.75%  08/27/2028   133,067    132,679 
Hilton Grand Vacations Borrower LLC, Initial Term Loans   3.50%  1M US L + 3.00%  08/02/2028   58,825    58,869 
Kingpin Intermediate Holdings LLC, 2018 Refinancing   4.50%  1M US L + 3.50%  07/03/2024   675,483    671,052 
Seaworld Parks & Entertainment, Inc., B   3.50%  1M US L + 3.00%  08/25/2028   786,289    782,357 
United PF Holdings LLC                     
Incremental Term Loan   9.50%  3M US L + 8.50%  12/30/2026   355,500    354,611 
Initial   4.22%  3M US L + 4.00%  12/30/2026   510,833    491,998 
Total Hotels, Restaurants & Leisure              6,523,331    6,458,581 
                      
Household Durables - 1.26% (0.76% of Total Investments)       
At Home Group, Inc., Initial   4.75%  1M US L + 4.25%  07/24/2028   423,908    423,696 
Conair Holdings LLC, Initial   4.25%  3M US L + 3.75%  05/17/2028   767,623    767,209 
Hunter Fan Company, Initial   5.75%  3M US L + 5.00%  05/08/2028   818,420    818,420 
Mattress Firm, Inc., 2021   5.00%  3M US L + 4.25%  09/25/2028   619,681    613,998 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
Date		  Principal
Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Household Durables (continued)                     
Samsonite International S.A., 2020 Incremental Tranche B   3.75%  1M US L + 3.00%  04/25/2025  $477,225   $474,142 
Total Household Durables              3,106,857    3,097,465 
                      
Household Products - 0.83% (0.50% of Total Investments)                 
American Greetings Corp., Initial   5.50%  1M US L + 4.50%  04/06/2024   993,945    994,442 
Sunshine Luxembourg VII Sarl, Facility B3   4.50%  3M US L + 3.75%  10/01/2026   1,047,027    1,050,304 
Total Household Products              2,040,972    2,044,746 
                      
Independent Power/Renewable Electricity Producers - 0.03% (0.02% of Total Investments)          
Array Tech, Inc., Initial   3.75%  3M US L + 3.25%  10/14/2027   66,777    66,026 
                      
Industrial Conglomerates - 1.19% (0.71% of Total Investments)             
CIRCOR INTERNATIONAL, INC. TLB(g)   N/A   L + 4.50%  12/20/2028   326,878    324,223 
Madison IAQ LLC, Initial   3.75%  3M US L + 3.25%  06/21/2028   502,359    501,591 
Majordrive Holdings IV LLC, Initial   4.50%  3M US L + 4.00%  06/01/2028   254,758    254,439 
Star US Bidco LLC, Initial   5.25%  1M US L + 4.25%  03/17/2027   347,567    346,483 
TK Elevator US Newco, Inc., Facility B1   4.00%  6M US L + 3.50%  07/14/2027   1,488,787    1,488,579 
Total Industrial Conglomerates              2,920,349    2,915,315 
                      
Insurance - 2.51% (1.50% of Total Investments)            
Acrisure LLC                     
11/21 Incremental   4.75%  3M US L + 4.25%  02/15/2027   296,419    295,924 
2020   3.72%  3M US L + 3.50%  02/15/2027   809,630    799,509 
2021-1 Additional   4.25%  3M US L + 3.75%  02/15/2027   688,275    686,265 
Asurion LLC, New B-9   3.35%  1M US L + 3.25%  07/31/2027   1,321,498    1,312,248 
Baldwin Risk Partners LLC   4.00%  1M US L + 3.50%  10/14/2027   424,402    421,219 
Howden Group Holdings, Ltd., 2021 Dollar Refinancing   4.00%  1M US L + 3.25%  11/12/2027   198,411    197,377 
Hyperion Ins/Howden 11/21 Incremental Cov-Lite(g)   N/A   L + 3.25%  11/12/2027   564,608    561,435 
IMA Financial Group, Inc., TL(g)   N/A   L + 3.75%  11/01/2028   270,333    269,206 
OneDigital Borrower, LLC TL 1L   4.75%  3M SOFR + 4.25%  11/22/2027   1,329,702    1,325,128 
Ryan Specialty Group LLC, Initial   3.75%  1M US L + 3.00%  09/01/2027   277,918    277,501 
Total Insurance              6,181,196    6,145,812 
                      
Internet and Catalog Retail - 0.46% (0.27% of Total Investments)            
Shutterfly LLC, 2021 Refinancing B   5.75%  3M US L + 5.00%  09/25/2026   673,261    664,846 
TITAN ACQUISITIONCO NEW ZEALAND LIMITED TL 1L   4.50%  3M US L + 4.00%  10/18/2028   466,178    464,234 
Total Internet and Catalog Retail              1,139,439    1,129,080 
                      
Internet Software & Services - 0.79% (0.47% of Total Investments)
Constant Contact, Inc.   4.75%  3M US L + 4.00%  02/10/2028   176,537    176,317 
Informatica LLC, TLB   2.88%  1M US L + 2.75%  10/27/2028   1,766,982    1,759,101 
Total Internet Software & Services              1,943,519    1,935,418 
                      
IT Services - 1.68% (1.01% of Total Investments)             
Avaya, Inc.                     
Tranche B-1   4.36%  1M US L + 4.25%  12/15/2027   87,209    87,373 
Tranche B-2   4.11%  1M US L + 4.00%  12/15/2027   912,791    911,422 
Endurance International Group Holdings, Inc., Initial   4.25%  3M US L + 3.50%  02/10/2028   234,143    231,949 
ESCAPE VELOCITY HOLDINGS, INC. TL   4.75%  3M US L + 4.25%  10/08/2028   283,497    281,371 
Imprivata, Inc., Initial   4.00%  3M US L + 3.50%  12/01/2027   205,605    205,221 
Intrado Corp., Initial B   5.00%  3M US L + 4.00%  10/10/2024   212,319    201,077 
ION Trading Finance, Ltd., Initial Dollar (2021)   4.97%  3M US L + 4.75%  04/01/2028   1,017,868    1,019,282 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
Date		  Principal
Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
IT Services (continued)                     
Virtusa Corp.   4.50%  1M US L + 3.75%  02/11/2028  $1,191,689   $1,194,668 
Total IT Services              4,145,121    4,132,363 
                      
Life Sciences Tools & Services - 0.02% (0.01% of Total Investments)            
Precision Medicine Group LLC, Amendment No. 1 Refinancing(h)   3.75%  3M US L + 3.00%  11/18/2027   56,376    56,033 
                      
Machinery - 0.33% (0.20% of Total Investments)            
ASP BLADE HOLDINGS, INC. TLB 1L   4.50%  1M US L + 4.00%  10/13/2028   226,426    226,238 
Pro Mach Group, Inc.                     
Closing Date Initial   5.00%  3M US L + 4.00%  08/31/2028   564,426    565,837 
Delayed Draw(h)   5.00%  3M US L + 2.00%  08/31/2028   18,326    18,555 
Total Machinery              809,178    810,630 
                      
Media - 3.16% (1.89% of Total Investments)            
AppLovin Corp.   3.50%  1M US L + 3.00%  10/25/2028   576,843    575,280 
Banijay Entertainment S.A.S., Facility B   3.84%  1M US L + 3.75%  03/01/2025   839,266    835,069 
Castle US Holding Corp., Initial Dollar   3.97%  3M US L + 3.75%  01/29/2027   1,478,125    1,462,930 
Cimpress plc, Tranche B-1   4.00%  1M US L + 3.50%  05/17/2028   165,265    165,058 
Creative Artists Agency LLC                     
Closing Date   3.85%  1M US L + 3.75%  11/27/2026   672,489    670,330 
Incremental B-1   5.25%  1M US L + 4.25%  11/27/2026   369,837    368,650 
Cumulus Media New Holdings, Inc., Initial   4.75%  3M US L + 3.75%  03/31/2026   729,052    727,987 
Gray Television 10/21 Cov-Lite   3.10%  1M US L + 3.00%  12/01/2028   722,343    718,190 
Recorded Books, Inc., 2021 Replacement   4.10%  1M US L + 4.00%  08/29/2025   938,541    936,861 
UFC Holdings LLC   3.50%  3M US L + 2.75%  04/29/2026   543,280    540,270 
United Talent Agency LLC, B   4.75%  3M US L + 4.00%  07/07/2028   750,338    746,587 
Total Media              7,785,379    7,747,212 
                      
Oil, Gas & Consumable Fuels - 1.51% (0.91% of Total Investments)         
BCP Raptor LLC, Initial   5.25%  1M US L + 4.25%  06/24/2024   494,764    493,597 
Brazos Delaware II LLC, Initial   4.10%  1M US L + 4.00%  05/21/2025   675,716    657,133 
CITGO Holding, Inc.   8.00%  3M US L + 7.00%  08/01/2023   1,371,059    1,349,808 
ITT Holdings LLC, Initial   3.25%  1M US L + 2.75%  07/10/2028   107,381    106,737 
Oryx Midstream Services Permian Basin, LLC TLB 1L   3.75%  3M US L + 3.25%  10/05/2028   692,314    687,232 
Permian Production Partners, LLC, Initial   9.00%  1M US L + 8.00%  11/24/2025   76,653    68,987 
Traverse Midstream Partners LLC   5.25%  3M SOFR + 4.25%  09/27/2024   351,061    349,088 
Total Oil, Gas & Consumable Fuels              3,768,948    3,712,582 
                      
Personal Products - 0.39% (0.23% of Total Investments)
KDC/ONE Development Corp., Inc., Initial (2020)   3.85%  1M US L + 3.75%  12/22/2025   979,849    964,544 
                      
Pharmaceuticals - 1.28% (0.77% of Total Investments)
Alvogen Pharma US, Inc., 1/1/2020 12:00:00 AM   6.25%  3M US L + 5.25%  12/31/2023   1,669,357    1,590,062 
Amneal Pharmaceuticals, LLC, Initial Term Loan   3.63%  1M US L + 3.50%  05/04/2025   980,481    969,450 
Endo Luxembourg Finance Company I S.a r.l., 2021   5.75%  1M US L + 5.00%  03/27/2028   603,707    585,898 
Total Pharmaceuticals              3,253,545    3,145,410 
                      
Professional Services - 0.77% (0.46% of Total Investments)      
AQ Carver Buyer, Inc., Initial   6.00%  3M US L + 5.00%  09/23/2025   458,532    458,532 
Conduent Business Services, LLC TLB 1L   4.75%  1M US L + 4.25%  10/16/2028   415,171    414,341 
Equiniti Group PLC, TLB   5.00%  3M US L + 4.50%  12/11/2028   336,680    337,242 
Tempo Acquisition LLC, Third Incremental   3.50%  1M US L + 3.00%  08/31/2028   102,839    103,097 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity
Date		  Principal
Amount		   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)     
Professional Services (continued)                     
UST Global, Inc.   4.25%  1M US L + 3.75%  11/17/2028  $570,627   $567,774 
Total Professional Services              1,883,849    1,880,986 
                      
Real Estate Management & Development - 0.52% (0.31% of Total Investments)         
Forest City Enterprises LP, Replacement   3.60%  1M US L + 3.50%  12/08/2025   1,302,857    1,283,314 
                      
Road & Rail - 0.12% (0.07% of Total Investments)            
Savage Enterprises LLC, Initial   3.75%  1M US L + 3.25%  09/15/2028   301,819    301,207 
                      
Software - 7.94% (4.76% of Total Investments)       
Apex Group Treasury LLC, 2021 USD Term Loan(g)   N/A   L + 3.75%  07/27/2028   158,790    158,393 
Apex Group Treasury, Ltd., USD   4.25%  3M US L + 3.75%  07/27/2028   877,800    875,605 
Ascend Learning 11/21 TLB(g)   N/A   L + 3.50%  11/18/2028   1,145,671    1,143,047 
ASTRA ACQUISITION CORP. TL 1L   5.75%  1M US L + 5.25%  10/25/2028   1,100,677    1,376,651 
Cardinal Parent, Inc., Initial   5.25%  3M US L + 4.50%  11/12/2027   240,235    239,689 
CommerceHub, Inc., Initial   4.75%  3M US L + 4.00%  12/29/2027   825,389    815,848 
Conservice Midco LLC, Initial   4.47%  3M US L + 4.25%  05/13/2027   1,114,001    1,110,982 
Cornerstone OnDemand, Inc., Initial   4.25%  6M US L + 3.75%  10/16/2028   640,307    637,791 
CT Technologies Intermediate Holdings, Inc., 2021   5.00%  1M US L + 4.25%  12/16/2025   415,880    415,534 
Cvent, Inc., Term B Loan   3.85%  1M US L + 3.75%  11/29/2024   519,154    518,017 
DCert Buyer, Inc., Initial   4.10%  1M US L + 4.00%  10/16/2026   1,094,595    1,091,738 
EagleView Technology Corp., Term Loan   3.72%  3M US L + 3.50%  08/14/2025   798,181    782,050 
Fiserv Investment Solutions, Inc., Initial   4.16%  3M US L + 4.00%  02/18/2027   440,859    440,529 
Flexera Software LLC, B-1   4.50%  3M US L + 3.75%  03/03/2028   23,260    23,257 
Greeneden U.S. Holdings I LLC, Initial Dollar (2020)   4.75%  1M US L + 4.00%  12/01/2027   1,437,384    1,441,582 
Idera, Inc., B-1   4.50%  3M US L + 3.75%  03/02/2028   158,367    158,120 
IGT Holding IV AB, Term Loan   4.00%  3M US L + 3.50%  03/31/2028   177,013    176,461 
Imperva, Inc., Term Loan   5.00%  3M US L + 4.00%  01/12/2026   406,436    405,354 
Magenta Buyer LLC, Initial   5.75%  3M US L + 5.00%  07/27/2028   2,169,920    2,162,455 
MH Sub I LLC, 2020 June New   4.75%  1M US L + 3.75%  09/13/2024   1,174,353    1,175,575 
N-able International Holdings II LLC, Initial   3.50%  3M US L + 3.00%  07/19/2028   511,710    508,834 
Planview Parent, Inc., Closing Date   4.75%  3M US L + 4.00%  12/17/2027   960,794    960,390 
Polaris Newco LLC, Dollar   4.50%  3M US L + 4.00%  06/02/2028   723,515    722,835 
Project Alpha Intermediate Holding, Inc., 2021 Refinancing   5.00%  1M US L + 4.00%  04/26/2024   581,762    582,128 
Project Leopard Holdings, Inc.                     
2018 Repricing   5.75%  3M US L + 4.75%  07/05/2024   17,206    17,189 
2019 Incremental   5.75%  3M US L + 4.75%  07/05/2024   86,045    86,009 
Skillsoft Finance II, Inc., Initial   5.50%  3M US L + 4.75%  07/14/2028   244,814    245,120 
Ultimate Software 11/21 TL   3.75%  3M US L + 3.25%  05/04/2026   246,676    245,211 
Upland Software, Inc., Initial   3.85%  1M US L + 3.75%  08/06/2026   977,500    974,323 
Total Software              19,268,294    19,490,717 
                      
Specialty Retail - 1.87% (1.12% of Total Investments)
Bass Pro/Great American 11/21 TLB   4.50%  3M US L + 3.75%  03/06/2028   1,181,635    1,181,883 
FENDER MUSICAL INSTRUMENTS CORPORATION   4.50%  3M SOFR + 4.00%  11/16/2028   203,650    203,395 
Franchise Group, Inc., Initial   5.50%  3M US L + 4.75%  03/10/2026   1,139,798    1,136,949 
Franchise Group, Inc. TL 1L   4.95%  3M SOFR + 4.75%  11/22/2023   24,192    24,071 
Jo-Ann Stores LLC, Additional B-1   5.50%  3M US L + 4.75%  07/07/2028   1,126,797    1,113,422 
Petco Health and Wellness Company, Inc., Initial   4.00%  3M US L + 3.25%  03/03/2028   367,293    366,489 
Rising Tide Holdings, Inc., Initial   5.50%  1M US L + 4.75%  06/01/2028   251,742    250,798 
Torrid LLC, Closing Date   6.25%  1M US L + 5.50%  06/14/2028   315,155    316,731 
Total Specialty Retail              4,610,262    4,593,738 

 

 

   Coupon(a)   Reference Rate
& Spread		  Maturity Date  Principal Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Textiles, Apparel & Luxury Goods - 1.47% (0.88% of Total Investments)        
ABG INTERMEDIATE HOLDINGS 2 LLC TLB1(g)(h)   N/A   SOFR + 3.50%  01/31/2029  $290,542   $289,453 
BK LC Lux SPV S.a r.l., Facility B   3.75%  3M US L + 3.25%  04/28/2028   1,123,056    1,118,845 
Champ Acquisition Corp., Initial   5.69%  3M US L + 5.50%  12/19/2025   495,188    497,168 
Elevate Textiles, Inc., Initial   5.13%  3M US L + 5.00%  05/01/2024   1,157,037    1,066,406 
Fanatics Commerce 11/21 TLB   3.75%  1M US L + 3.25%  11/24/2028   463,605    460,707 
Tory Burch LLC, Initial B   3.50%  1M US L + 3.00%  04/16/2028   165,774    165,360 
Total Textiles, Apparel & Luxury Goods              3,695,202    3,597,939 
                      
Transportation Infrastructure - 0.12% (0.07% of Total Investments)       
Grab Holdings, Inc., Initial   5.50%  3M US L + 4.50%  01/29/2026   302,215    302,593 
                      
Wireless Telecommunication Services - 0.46% (0.27% of Total Investments)       
Coral-US Co-Borrower LLC, B-6   3.14%  3M US L + 3.00%  10/15/2029   1,122,105    1,117,718 
                      
Total Senior Secured First Lien Loans (Cost $179,837,108)        $181,568,913   $180,274,493 

 

   Shares   Value 
COMMON STOCK - 0.08%* (0.05% of Total Investments)          
Aerospace & Defense - 0.00%(j) (0.00% of Total Investments)          
New Constellis Borrower LLC(k)   6,795   $7,930 
           
Food & Staples Retailing - 0.08% (0.05% of Total Investments)          
CEC Brands, LLC(k)   10,454    185,559 
           
Oil, Gas & Consumable Fuels - 0.00%(j) (0.00% of Total Investments)          
Permian Production Partners(k)   18,995    1,899 
           
Total Common Stock (Cost $94,507)   36,244   $195,388 
           

 

   Shares   Value 
MONEY MARKET MUTUAL FUNDS - 2.30%* (1.37% of Total Investments)          

Invesco Short Term Investments Trust Treasury Portfolio,

Institutional Class

          
(0.010% 7-Day Yield)   5,631,937   $5,631,937 
Total Money Market Mutual Funds (Cost $5,631,937)   5,631,937   $5,631,937 
           
Total Investments - 166.81% (Cost $413,948,135)       $409,296,798 
Liabilities in Excess of Other Assets - (2.14)%        (5,259,079)
Series 2026 Term Preferred Shares (Net of $1,108,590 Deferred Financing Costs) - (15.81)%        (38,791,410)
Leverage Facility (Net of $275,864 Deferred Leverage Costs) - (48.86)%        (119,874,136)
Net Assets Applicable to Common Shareholders - 100.00%       $245,372,173 

* Amounts above are shown as a percentage of net assets applicable to common shareholder as of December 31, 2021.
(a) The rate shown is the coupon as of the end of the reporting period.
(b) Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Leveraged loans and CLO debt securities typically have reference rate floors (“floors”) embedded in their loan agreements and organizational documents. Leveraged loans generally have floors of 0% or more, while CLO debt securities often set floors at 0%. Floors serve to establish a minimum base rate to be paid by the borrower before the fixed spread. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(c) As a result of the use of significant unobservable inputs to determine fair value, this investments has been classified as a Level 3 asset.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $213,501,829, which represents approximately 87.01% of the Trust's net assets as of December 31, 2021. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.

 

 

(e) CLO subordinated notes, income notes, Y notes and M notes are considered CLO equity positions. CLO equity positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment. Effective yields for the CLO equity positions are updated generally once a quarter or on a transaction such as an add-on purchase, refinancing or reset. The estimated yield and investment cost may ultimately not be realized. Estimated yields shown are based on rates that existed as of December 31, 2021.
(f) Fair value includes the Trust's interest in fee rebates on CLO subordinated notes.
(g) When-issued or delivery-delayed security. All or a portion of this position has not settled as of December 31, 2021. The interest rate shown represents the stated spread over the applicable floor; the Trust will not accrue interest until the settlement date, at which point the floor will be established.  The total cost of securities purchased on a when-issued or delivery-delayed basis was $7,117,606 as of December 31, 2021.
(h) This investment has an unfunded commitment as of December 31, 2021.
(i) Fixed rate.
(j) Less than 0.005%.
(k) Non-income producing security.

 

All securities held as of December 31, 2021 are pledged as collateral for the leverage facility.  

 

1M SOFR - 1 Month SOFR (Secured Overnight Financing Rate)
3M SOFR - 3 Month SOFR (Secured Overnight Financing Rate)
1M US L - 1 Month LIBOR (London Interbank Offered Rate)
3M US L - 3 Month LIBOR (London Interbank Offered Rate)
6M US L - 6 Month LIBOR (London Interbank Offered Rate)