NPORT-EX 2 fp0078839_nportex.htm

 

XAI Octagon Floating Rate & Alternative Income Term Trust

 

Schedule of Investments

June 30, 2022 (Unaudited)

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
COLLATERALIZED LOAN OBLIGATIONS DEBT(b)(c)- 21.80%* (12.74% of Total Investments)        
Anchorage Capital CLO 13 LLC, CLO 2021-13A, ER(d)  7.74%  3M US L + 6.70%  04/15/2034  $1,500,000   $1,337,357 
Anchorage Capital CLO 16, Ltd., CLO 2021-16A, ER(d)  8.39%  3M US L + 7.35%  01/19/2035   2,000,000    1,781,650 
Anchorage Capital CLO 17, Ltd., CLO 2021-17A, E(d)  7.90%  3M US L + 6.86%  07/15/2034   1,250,000    1,133,229 
Anchorage Capital CLO 19, Ltd., CLO 2021-19A, F(d)  8.29%  3M US L + 7.25%  10/15/2034   1,000,000    831,602 
Anchorage Capital CLO 21, Ltd., CLO 2021-21A, E(d)  8.41%  3M US L + 7.35%  10/20/2034   500,000    442,178 
Anchorage Capital CLO 4-R, Ltd., CLO 2018-4RA, E(d)  6.74%  3M US L + 5.50%  01/28/2031   2,000,000    1,780,020 
Anchorage Capital CLO 9, Ltd., CLO 2021-9A, ER2(d)  7.86%  3M US L + 6.82%  07/15/2032   2,000,000    1,784,545 
Apidos CLO XXVII, CLO 2017-27A, D(d)  7.44%  3M US L + 6.40%  07/17/2030   375,000    329,726 
Apidos CLO XXXII, CLO 2020-32A, E(d)  7.81%  3M US L + 6.75%  01/20/2033   250,000    221,038 
ARES LI CLO, Ltd., CLO 2021-51A, ER(d)  7.89%  3M US L + 6.85%  07/15/2034   250,000    226,361 
ARES Loan Funding III, Ltd., CLO 2022-ALF3A, E(d)  9.04%  3M SOFR + 7.58%  07/25/2035   1,000,000    989,600 
Ares LV CLO, Ltd., CLO 2021-55A, ER(d)  7.39%  3M US L + 6.35%  07/15/2034   1,525,000    1,425,080 
Atrium IX, CLO 2017-9A, ER(d)  8.05%  3M US L + 6.45%  05/28/2030   900,000    799,548 
Atrium XIV LLC, CLO 2018-14A, E(d)  6.69%  3M US L + 5.65%  08/23/2030   500,000    439,203 
Battalion CLO, Ltd., CLO 2021-21A, E(d)  7.50%  3M US L + 6.46%  07/15/2034   1,000,000    882,968 
Carlyle Global Market Strategies, CLO 2022-2A, D(d)  8.55%  3M SOFR + 7.40%  04/20/2035   300,000    293,226 
CIFC Funding 2015-I, Ltd., CLO 2015-1A, ERR(d)  7.14%  3M US L + 6.00%  01/22/2031   500,000    430,525 
CIFC Funding 2019-III, Ltd., CLO 2021-3A, DR(d)  7.84%  3M US L + 6.80%  10/16/2034   900,000    823,695 
CIFC Funding 2019-VI, Ltd., CLO 2019-6A, E(d)  8.44%  3M US L + 7.40%  01/16/2033   500,000    461,713 
CIFC Funding 2022-I, Ltd., CLO 2022-1A, E(d)  6.83%  3M SOFR + 6.40%  04/17/2035   2,000,000    1,797,894 
CIFC Funding 2022-III, Ltd., CLO 2022-3A, E(d)  8.58%  3M SOFR + 7.27%  04/21/2035   850,000    795,936 
Elmwood CLO 18, Ltd., CLO 2022-5A, E(d)  9.99%  3M SOFR + 7.76%  07/17/2033   600,000    594,000 
Elmwood CLO II, Ltd., CLO 2021-2A, DR(d)  4.06%  3M US L + 3.00%  04/20/2034   1,250,000    1,158,997 
Elmwood CLO VI, Ltd., CLO 2021-3A, ER(d)  7.56%  3M US L + 6.50%  10/20/2034   750,000    689,715 
Elmwood CLO XI, Ltd., CLO 2021-4A, E(d)  7.06%  3M US L + 6.00%  10/20/2034   750,000    668,844 
HPS Loan Management, Ltd., CLO 2017-11A, F(d)  9.26%  3M US L + 7.85%  05/06/2030   1,000,000    854,800 
Madison Park Funding XLVIII, Ltd., CLO 2021-48A, E(d)  7.29%  3M US L + 6.25%  04/19/2033   500,000    456,259 
Madison Park Funding XVII, Ltd., CLO 2015-17A, FR(d)  8.58%  3M US L + 7.48%  07/21/2030   1,000,000    872,254 
Madison Park Funding XXXVII, Ltd., CLO 2021-37A, ER(d)  7.19%  3M US L + 6.15%  07/15/2033   750,000    678,012 
Magnetite XXIV, Ltd., CLO 2022-24A, ER(d)  7.25%  3M SOFR + 6.40%  04/15/2035   500,000    441,663 
Neuberger Berman Loan Advisers CLO 24, Ltd., CLO 2017-24A, E(d)  7.06%  3M US L + 6.02%  04/19/2030   1,000,000    881,348 
OHA Credit Funding 11, Ltd., CLO 2022-11A, E(d)  8.61%  3M SOFR + 7.25%  07/19/2033   550,000    518,763 
OHA Credit Funding 2, Ltd., CLO 2021-2A, ER(d)  7.46%  3M US L + 6.36%  04/21/2034   1,000,000    931,283 
OHA Credit Funding 5, Ltd., CLO 2020-5A, E(d)  7.29%  3M US L + 6.25%  04/18/2033   1,000,000    897,345 
OHA Credit Funding 7, Ltd., CLO 2022-7A, ER(d)  7.10%  3M SOFR + 6.25%  02/24/2037   900,000    799,986 
OHA Credit Funding 9, Ltd., CLO 2021-9A, E(d)  7.29%  3M US L + 6.25%  07/19/2035   1,000,000    923,175 
Rad CLO 10, Ltd., CLO 2021-10A, E(d)  7.03%  3M US L + 5.85%  04/23/2034   2,000,000    1,789,861 
Rad CLO 11, Ltd., CLO 2021-11A, E(d)  7.29%  3M US L + 6.25%  04/15/2034   1,300,000    1,165,679 
Rad CLO 12, Ltd., CLO 2021-12A, E(d)  7.64%  3M US L + 6.35%  10/30/2034   2,000,000    1,757,470 
Regata XII Funding, Ltd., CLO 2021-1A, ER(d)  7.39%  3M US L + 6.35%  10/15/2032   500,000    458,685 
Regatta VII Funding, Ltd., CLO 2021-1A, ER2(d)  8.50%  3M US L + 6.40%  06/20/2034   1,000,000    877,989 
Regatta VIII Funding, Ltd., CLO 2017-1A, E(d)  7.14%  3M US L + 6.10%  10/17/2030   500,000    446,616 
Regatta XIV Funding, Ltd., CLO 2018-3A, E(d)  7.13%  3M US L + 5.95%  10/25/2031   750,000    626,929 
Regatta XIX Funding, Ltd., CLO 2022-1A, E(d)  7.96%  3M SOFR + 6.88%  04/20/2035   500,000    471,025 
Regatta XVI Funding, Ltd., CLO 2019-2A, E(d)  8.04%  3M US L + 7.00%  01/15/2033   1,000,000    934,507 
Regatta XXII Funding, Ltd., CLO 2022-2A, E(d)  9.12%  3M SOFR + 7.19%  07/20/2035   1,350,000    1,299,386 
Regatta XXIII Funding, Ltd., CLO 2021-4A, E(d)  7.76%  3M US L + 6.70%  01/20/2035   1,250,000    1,113,852 
Regatta XXIV Funding, Ltd., CLO 2021-5A, E(d)  7.86%  3M US L + 6.80%  01/20/2035   250,000    228,497 
RR 19, Ltd., CLO 2021-19A, D(d)  7.54%  3M US L + 6.50%  10/15/2035   500,000    461,110 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
COLLATERALIZED LOAN OBLIGATIONS DEBT(b)(c) (continued)      
Sound Point CLO II, Ltd., CLO 2013-1A, B2R(d)  6.71%  3M US L + 5.50%  01/26/2031  $250,000   $211,077 
Sound Point CLO XVIII, Ltd., CLO 2017-4A, D(d)  6.56%  3M US L + 5.50%  01/21/2031   500,000    420,966 
Symphony CLO XXI, Ltd., CLO 2019-21A ER, ER(d)  7.64%  3M US L + 6.60%  07/15/2032   1,000,000    905,671 
Symphony CLO XXIV, Ltd., CLO 2021-24A, E(d)  8.18%  3M US L + 7.00%  01/23/2032   1,000,000    940,124 
Symphony CLO XXV, Ltd., CLO 2021-25A, E(d)  7.54%  3M US L + 6.50%  04/19/2034   1,500,000    1,397,360 
THL Credit Wind River 2019-1 CLO, Ltd., CLO 2021-1A, ER(d)  7.66%  3M US L + 6.60%  07/20/2034   875,000    776,594 
THL Credit Wind River CLO, Ltd., CLO 2017-4A, E(d)  7.28%  3M US L + 5.80%  11/20/2030   500,000    443,408 
THL Credit Wind River CLO, Ltd., CLO 2021-1A, EE(d)  8.10%  3M US L + 7.06%  04/18/2036   1,500,000    1,306,234 
Voya CLO 2020-2, Ltd., CLO 2021-2A, ER(d)  7.44%  3M US L + 6.40%  07/19/2034   1,125,000    1,049,149 
Wind River 2021-3 CLO, Ltd., CLO 2021-3A, E(d)  7.66%  3M US L + 6.60%  07/20/2033   1,000,000    904,990 
Total Collateralized Loan Obligations Debt (Cost $54,921,109)           $55,800,000   $50,360,717 
                    
COLLATERALIZED LOAN OBLIGATIONS EQUITY(c)(e)- 62.40%* (36.50% of Total Investments)      
ALM 2020, Ltd., CLO 2020-1A, SUB(d)  N/A  Estimated yield of 6.41%  10/15/2029   5,000,000    2,840,500 
Anchorage Capital CLO 13 LLC, CLO 2019-13A, SUB(d)  N/A  Estimated yield of 17.41%  04/15/2034   7,000,000    4,858,000 
Anchorage Capital CLO 16, Ltd., CLO 2020-16A, SUB(d)  N/A  Estimated yield of 17.74%  01/19/2035   2,500,000    1,511,363 
Anchorage Capital CLO 18, Ltd., CLO 2021-18A, SUB(d)  N/A  Estimated yield of 18.22%  04/15/2034   850,000    634,610 
Anchorage Capital CLO 19, Ltd., CLO 2021-19A, SUB(d)  N/A  Estimated yield of 17.98%  10/15/2034   7,000,000    4,709,600 
Anchorage Capital CLO 1-R, Ltd., CLO 2018-1RA, SUB(d)  N/A  Estimated yield of 16.50%  04/13/2031   4,150,000    2,114,010 
Anchorage Capital CLO 20, Ltd., CLO 2021-20A, SUB(d)  N/A  Estimated yield of 16.36%  01/20/2035   1,750,000    1,192,738 
Anchorage Capital CLO 3-R, Ltd., CLO 2014-3RA, SUB(d)  N/A  Estimated yield of 15.76%  01/28/2031   1,400,000    446,880 
Anchorage Capital CLO 4-R, Ltd., CLO 2018-4RA, SUB(d)  N/A  Estimated yield of 16.43%  01/28/2031   3,000,000    934,800 
Anchorage Capital CLO 7, Ltd., CLO 2015-7A, SUBA(d)  N/A  Estimated yield of 29.82%  01/28/2031   1,750,000    432,075 
Anchorage Capital CLO 9, Ltd., CLO 2016-9A, SUB(d)  N/A  Estimated yield of 21.62%  07/15/2032   2,500,000    891,500 
Apidos CLO XXVII, CLO 2017-27A, SUB(d)  N/A  Estimated yield of 4.58%  07/17/2030   1,300,000    369,720 
Apidos CLO XXVIII, CLO 2017-28A, SUB(d)  N/A  Estimated yield of 5.35%  01/20/2031   3,500,000    1,423,800 
ARES LI CLO, Ltd., CLO 2019-51A, INC(d)  N/A  Estimated yield of 22.00%  07/15/2034   1,699,959    1,019,633 
ARES LI CLO, Ltd., CLO 2019-51A, SUB(d)  N/A  Estimated yield of 21.72%  07/15/2034   2,646,041    1,587,091 
Ares XLI CLO, Ltd., CLO 2016-41A, SUB(d)  N/A  Estimated yield of 21.42%  04/15/2034   2,343,500    1,081,101 
ARES XLIV CLO, Ltd., CLO 2017-44A, SUB(d)  N/A  Estimated yield of 21.58%  04/15/2034   2,845,572    1,098,451 
Battalion CLO XV, Ltd., CLO 2020-15A, SUB(d)  N/A  Estimated yield of 18.81%  01/17/2033   4,500,000    3,172,602 
Battalion CLO XVI, Ltd., CLO 2019-16A, SUB(d)  N/A  Estimated yield of 20.96%  12/19/2032   3,500,000    2,297,400 
Carbone CLO, Ltd., CLO 2017-1A, SUB(d)  N/A  Estimated yield of 17.68%  01/20/2031   7,850,000    3,849,640 
Carlyle Global Market Strategies CLO, Ltd., CLO 2013-1A, SUB(d)  N/A  Estimated yield of 14.19%  08/14/2030   3,500,000    770,350 
CARLYLE US CLO 2021-5, Ltd., CLO 2021-5A, SUB(d)  N/A  Estimated yield of 17.85%  07/20/2034   4,000,000    2,935,200 
CARLYLE US CLO 2021-6, Ltd., CLO 2021-6A, SUB(d)  N/A  Estimated yield of 22.26%  07/15/2034   1,000,000    632,938 
Carlyle US CLO, Ltd., CLO 2020-4A, SUBA(d)  N/A  Estimated yield of 13.50%  04/15/2035   8,740,000    7,161,851 
Carlyle US CLO, Ltd., CLO 2018-2A, SUB(d)  N/A  Estimated yield of 11.72%  10/15/2031   933,000    418,730 
Catamaran CLO, Ltd., CLO 2015-1A, SUB(d)  N/A  Estimated yield of 0.00%  04/22/2027   750,000    383 
CIFC Funding 2017-III, Ltd., CLO 2017-3A, SUB(d)  N/A  Estimated yield of 10.33%  07/20/2030   1,400,000    418,040 
CIFC Funding 2017-V, Ltd., CLO 2017-5A, SUB(d)  N/A  Estimated yield of 13.32%  11/16/2030   4,500,000    1,618,650 
CIFC Funding 2018-I, Ltd., CLO 2018-1A, SUB(d)  N/A  Estimated yield of 12.22%  04/18/2031   3,250,000    1,718,600 
CIFC Funding 2018-III, Ltd., CLO 2018-3A, SUB(d)  N/A  Estimated yield of 18.64%  07/18/2031   3,000,000    1,381,200 
CIFC Funding 2019-III, Ltd., CLO 2019-3A, SUB(d)  N/A  Estimated yield of 18.16%  10/16/2034   750,000    540,413 
CIFC Funding 2019-V, Ltd., CLO 2019-5A, INC(d)  N/A  Estimated yield of 19.00%  01/15/2035   2,500,000    1,828,348 
CIFC Funding 2020-II, Ltd., CLO 2020-2A, INC(d)  N/A  Estimated yield of 29.90%  10/20/2034   1,000,000    819,622 
CIFC Funding 2020-III, Ltd., CLO 2020-3A, SUB(d)  N/A  Estimated yield of 18.95%  10/20/2034   150,000    124,252 
CIFC Funding 2021-II, CLO 2021-2A, SUB(d)  N/A  Estimated yield of 19.16%  04/15/2034   4,000,000    3,197,948 
CIFC Funding 2021-VII, Ltd., CLO 2021-7A, SUB(d)  N/A  Estimated yield of 21.72%  01/23/2035   1,000,000    784,022 
Dryden 43 Senior Loan Fund, CLO 2016-43A, SUB(d)  N/A  Estimated yield of 15.85%  04/20/2034   5,000,000    2,882,536 
Dryden 87 CLO, Ltd., CLO 2021-87A, SUB(d)  N/A  Estimated yield of 16.28%  05/20/2034   2,000,000    1,608,930 
Dryden 95 CLO, Ltd., CLO 2021-95A, SUB(d)  N/A  Estimated yield of 17.35%  08/20/2034   3,500,000    2,709,021 
Elmwood CLO I, Ltd., CLO 2019-1A, SUB(d)  N/A  Estimated yield of 11.62%  10/20/2033   6,000,000    3,665,876 
Elmwood CLO II, Ltd., CLO 2019-2A, SUB(d)  N/A  Estimated yield of 15.08%  04/20/2034   5,500,000    3,953,272 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
COLLATERALIZED LOAN OBLIGATIONS EQUITY(c)(e) (continued)      
Elmwood CLO III, Ltd., CLO 2019-3A, SUB(d)  N/A  Estimated yield of 15.48%  10/20/2034  $5,250,000   $3,540,242 
Elmwood CLO VII, Ltd., CLO 2020-4A, SUB(d)  N/A  Estimated yield of 14.16%  01/17/2034   6,350,000    4,674,853 
Elmwood CLO VIII, Ltd., CLO 2021-1A, SUB(d)  N/A  Estimated yield of 14.49%  01/20/2034   5,000,000    3,722,113 
Invesco CLO, Ltd., CLO 2021-1A, SUB(d)  N/A  Estimated yield of 19.70%  04/15/2034   3,000,000    2,204,386 
Invesco CLO, Ltd., CLO 2021-2A, SUB(d)(f)  N/A  Estimated yield of 14.26%  07/15/2034   5,500,000    3,220,567 
Madison Park Funding XVIII, Ltd., CLO 2015-18A, SUB(d)  N/A  Estimated yield of 7.74%  10/21/2030   4,000,000    1,618,400 
Madison Park Funding XX, Ltd., CLO 2016-20A, SUB(d)  N/A  Estimated yield of 20.66%  07/27/2030   1,740,000    684,864 
Madison Park Funding XXIX, Ltd., CLO 2018-29A, SUB(d)  N/A  Estimated yield of 14.44%  10/18/2047   3,750,000    1,909,500 
Madison Park Funding XXVIII, Ltd., CLO 2018-28A, SUB(d)  N/A  Estimated yield of 16.70%  07/15/2030   5,000,000    2,751,000 
Madison Park Funding XXXVII, Ltd., CLO 2019-37A, SUB(d)  N/A  Estimated yield of 25.71%  07/15/2049   5,500,000    3,773,550 
Niagara Park CLO, Ltd., CLO 2019-1A, SUB(d)  N/A  Estimated yield of 21.99%  07/17/2032   2,648,000    1,647,321 
NYACK Park CLO, Ltd., CLO 2021-1A, SUB(d)  N/A  Estimated yield of 18.44%  10/20/2034   1,000,000    848,274 
Oak Hill Credit Partners X-R, Ltd., CLO 2014-10RA, SUB(d)  N/A  Estimated yield of 18.55%  04/20/2034   6,673,000    2,721,484 
OHA Credit Partners XI, Ltd., CLO 2015-11A, SUB(d)  N/A  Estimated yield of 15.72%  01/20/2032   2,750,000    1,349,975 
OHA Credit Partners XII, Ltd., CLO 2016-12A, SUB(d)  N/A  Estimated yield of 21.91%  07/23/2030   1,500,000    794,700 
Point Au Roche Park CLO, Ltd., CLO 2021-1A, SUB(d)  N/A  Estimated yield of 17.65%  07/20/2034   5,000,000    3,898,452 
Recette CLO, Ltd., CLO 2015-1A, SUB(d)(f)  N/A  Estimated yield of 18.41%  04/20/2034   20,800,000    4,518,568 
Regatta XVIII Funding, Ltd., CLO 2021-1A, SUB(d)  N/A  Estimated yield of 15.94%  01/15/2034   7,175,322    5,370,933 
Regatta XXIV Funding, Ltd., CLO 2021-5A, SUB(d)  N/A  Estimated yield of 15.69%  01/20/2035   5,000,000    3,301,510 
Rockland Park CLO, Ltd., CLO 2021-1A, SUB(d)  N/A  Estimated yield of 15.96%  04/20/2034   9,000,000    6,300,490 
Rockland Park CLO, Ltd., CLO 2021-1A, M1(d)  N/A  Estimated yield of 0.00%  04/20/2034   9,000,000    23,652 
Rockland Park CLO, Ltd., CLO 2021-1A, M2(d)  N/A  Estimated yield of 0.00%  04/20/2034   9,000,000    85,188 
Sixth Street CLO XVII, Ltd., CLO 2021-17A, SUB(d)  N/A  Estimated yield of 14.00%  01/20/2034   1,100,000    811,994 
Sound Point CLO III, Ltd., CLO 2017-3A, SUB(d)  N/A  Estimated yield of 4.66%  10/20/2030   1,500,000    499,200 
Sound Point CLO VI-R, Ltd., CLO 2014-2RA, SUB(d)  N/A  Estimated yield of 8.38%  10/20/2031   2,000,000    136,200 
Thacher Park CLO, Ltd., CLO 2014-1A, SUB(d)  N/A  Estimated yield of 0.00%  10/20/2026   6,000,000    3,600 
THL Credit Wind River CLO, Ltd., CLO 2018-3A, SUB(d)  N/A  Estimated yield of 26.31%  01/20/2031   3,000,000    1,768,800 
THL Credit Wind River CLO, Ltd., CLO 2018-2A, SUB(d)  N/A  Estimated yield of 16.36%  07/15/2030   3,031,000    1,512,469 
Webster Park CLO, Ltd., CLO 2016-1A, SUB(d)  N/A  Estimated yield of 16.76%  07/20/2030   9,000,400    4,278,790 
Wind River CLO, Ltd., CLO 2016-1A, SUB(d)  N/A  Estimated yield of 0.00%  07/15/2028   4,000,000    582,000 
Total Collateralized Loan Obligations Equity (Cost $176,629,386)           $283,825,794   $144,188,771 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
CORPORATE BONDS - 4.05%* (2.37% of Total Investments)        
Chemicals - 0.16% (0.09% of Total Investments)        
Herens Holdco S.a.r.l., Senior Secured(d)  4.75%  N/A  05/15/2028   444,000    368,925 
                    
Diversified Telecommunication Services - 1.02% (0.60% of Total Investments)      
Altice Financing SA, Senior Secured(d)  5.75%  N/A  08/15/2029   1,197,000    959,296 
Altice France SA, Senior Secured(d)  5.50%  N/A  10/15/2029   667,000    509,004 
Consolidated Communications, Inc., Senior Secured(d)  5.00%  N/A  10/01/2028   1,125,000    899,291 
Total Diversified Telecommunication Services            2,989,000    2,367,591 
                    
Electronic Equipment, Instruments & Components - 0.06% (0.03% of Total Investments)      
II-VI, Inc., Senior Unsecured(d)  5.00%  N/A  12/15/2029   146,000    128,414 
                    
Health Care Equipment & Supplies - 0.29% (0.17% of Total Investments)      
Medline Borrower LP, Senior Unsecured(d)  5.25%  N/A  10/01/2029   62,000    51,305 
Mozart Debt Merger Sub, Inc., Senior Secured(d)  3.88%  N/A  04/01/2029   727,000    619,913 
Total Health Care Equipment & Supplies            789,000    671,218 
                    
Health Care Technology - 0.51% (0.30% of Total Investments)      
Minerva Merger Sub, Inc., Senior Unsecured(d)  6.50%  N/A  02/15/2030   1,411,000    1,171,130 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
CORPORATE BONDS - 4.05%* (2.37% of Total Investments) (continued)      
Hotels, Restaurants & Leisure - 0.76% (0.45% of Total Investments)      
CEC Entertainment LLC, Senior Secured(d)  6.75%  N/A  05/01/2026  $470,000   $413,354 
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., Senior Unsecured(d)  6.75%  N/A  01/15/2030   328,000    251,740 
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, Senior Unsecured(d)  5.00%  N/A  06/01/2029   529,000    428,490 
Scientific Games Holdings LP/Scientific Games US FinCo, Inc., Senior Unsecured(d)  6.63%  N/A  03/01/2030   205,000    174,250 
SeaWorld Parks & Entertainment, Inc., Senior Unsecured(d)  5.25%  N/A  08/15/2029   600,000    504,980 
Total Hotels, Restaurants & Leisure            2,132,000    1,772,814 
                    
Industrial Conglomerates - 0.16% (0.09% of Total Investments)      
MajorDrive Holdings IV LLC, Senior Unsecured(d)  6.38%  N/A  06/01/2029   545,000    373,325 
                    
IT Services - 0.10% (0.06% of Total Investments)      
Avaya, Inc., Senior Secured(d)  6.13%  N/A  09/15/2028   345,000    225,112 
                    
Media - 0.09% (0.05% of Total Investments)      
Audacy Capital Corp., Senior Secured(d)  6.75%  N/A  03/31/2029   390,000    209,625 
                    
Pharmaceuticals - 0.09% (0.05% of Total Investments)      
Bausch Health Cos., Inc., Senior Secured(d)  4.88%  N/A  06/01/2028   260,000    203,460 
                    
Professional Services - 0.42% (0.25% 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    970,200 
                    
Software - 0.39% (0.23% of Total Investments)      
Condor Merger Sub, Inc., Senior Unsecured(d)  7.38%  N/A  02/15/2030   1,102,000    895,673 
                    
Total Corporate Bonds (Cost $11,685,490)           $11,729,000   $9,357,487 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SECURED SECOND LIEN LOANS(b) - 4.42%* (2.59% of Total Investments)        
Aerospace & Defense - 0.85% (0.49% of Total Investments)        
Amentum Government Services Holdings LLC, TL  8.53%  3M US L + 7.75%  02/15/2030   2,016,807    1,908,404 
New Constellis Borrower LLC, Series B  12.67%  3M US L + 11.00%  03/27/2025   107,755    46,065 
Total Aerospace & Defense            2,124,562    1,954,469 
                    
Air Freight & Logistics - 0.29% (0.17% of Total Investments)      
LaserShip, Inc., Initial  10.38%  3M US L + 7.50%  05/07/2029   745,852    678,725 
                    
Building Products - 0.26% (0.15% of Total Investments)      
Diversitech Holdings, INC. TL  9.00%  6M US L + 6.75%  12/21/2029   468,750    440,625 
Visual Comfort Group, Inc. (fka VC GB Holdings, Inc.)(aka Visual Comfort Generation Brands), Initial 2nd Lien Term Loan  9.63%  3M US L + 6.75%  07/23/2029   169,492    151,483 
Total Building Products            638,242    592,108 
                    
Chemicals - 0.10% (0.06% of Total Investments)      
CP Iris Holdco I, Inc., Initial  8.67%  1M US L + 7.00%  10/01/2029   258,621    239,547 
                    
Commercial Services & Supplies - 0.28% (0.16% of Total Investments)      
AVSC Holding Corp., Initial  8.58%  3M US L + 7.25%  09/01/2025   805,556    638,000 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SECURED SECOND LIEN LOANS(b)  (continued)        
Communications Equipment - 0.13% (0.08% of Total Investments)        
Global Tel*Link Corp., 2nd Lien  11.63%  3M US L + 10.00%  11/29/2026  $347,222   $305,122 
                    
Construction & Engineering - 0.12% (0.07% of Total Investments)      
DG Investment Intermediate Holdings 2, Inc., 2nd Lien  8.42%  1M US L + 6.75%  03/30/2029   292,804    281,092 
                    
Diversified Consumer Services - 0.58% (0.34% of Total Investments)      
KUEHG Corp.  10.50%  3M US L + 8.25%  08/22/2025   800,000    765,336 
Travelport Finance Luxembourg Sarl, 2021 Consented  7.25%  3M US L + 6.75%  05/29/2026   580,309    446,478 
TruGreen LP, Initial  10.55%  3M US L + 8.50%  11/02/2028   125,392    119,749 
Total Diversified Consumer Services            1,505,701    1,331,563 
                    
Diversified Financial Services - 0.35% (0.20% of Total Investments)      
Edelman Financial Center LLC, Initial  8.42%  1M US L + 6.75%  07/20/2026   626,984    570,750 
Nexus Buyer LLC, TL  7.44%  1M US L + 6.25%  11/05/2029   245,536    229,166 
Total Diversified Financial Services            872,520    799,916 
                    
Electronic Equipment, Instruments & Components - 0.03% (0.02% of Total Investments)      
Infinite Bidco LLC, Initial  9.25%  3M US L + 7.00%  03/02/2029   69,869    65,677 
                    
Health Care Providers & Services - 0.05% (0.03% of Total Investments)      
Verscend Holding Corp., Initial  8.67%  1M US L + 7.00%  04/02/2029   135,802    127,654 
                    
Insurance - 0.40% (0.24% of Total Investments)      
Asurion LLC, New B-4  6.92%  1M US L + 5.25%  01/20/2029   1,104,603    933,389 
                    
Professional Services - 0.07% (0.04% of Total Investments)      
National Intergovernmental Purchasing Alliance Co.  9.75%  3M US L + 7.50%  05/22/2026   169,482    163,551 
                    
Software - 0.76% (0.45% of Total Investments)      
Ascend Learning 11/21 2nd Lien TL  7.42%  3M US L + 5.75%  12/10/2029   462,963    423,611 
DCert Buyer, Inc., First Amendment Refinancing  8.67%  1M US L + 7.00%  02/19/2029   156,627    144,879 
EagleView Technology Corp., Term Loan 2nd Lien  9.17%  1M US L + 7.50%  08/14/2026   198,167    184,296 
MH Sub I LLC, 2021 Replacement  7.92%  1M US L + 6.25%  02/23/2029   1,000,000    938,330 
Ultimate Software 11/21 2nd Lien TL  6.21%  3M US L + 5.25%  05/03/2027   75,676    69,622 
Total Software            1,893,433    1,760,738 
                    
Textiles, Apparel & Luxury Goods - 0.15% (0.09% of Total Investments)      
ABG Intermediate Holdings 2, LLC TL 2L  8.15%  1M US L + 6.00%  12/20/2029   372,760    342,939 
                    
Total Secured Second Lien Loans (Cost $11,210,034)           $11,337,029   $10,214,490 
                    
SENIOR SECURED FIRST LIEN LOANS(b) - 77.61%* (45.39% of Total Investments)      
Aerospace & Defense - 3.05% (1.78% of Total Investments)      
Amentum Government Services Holdings LLC TLD 1L  5.08%  3M US L + 4.00%  02/15/2029   1,878,094    1,783,024 
Constellis Holdings LLC, Priority  9.17%  3M US L + 7.50%  03/27/2024   119,765    98,806 
Maxar Technologies TLB 1L(h)  N/A  L + 6.48%  06/14/2029   1,686,771    1,598,924 
Peraton Corp., B  5.42%  1M US L + 3.75%  02/01/2028   1,109,750    1,039,792 
Vertex Aerospace 11/21  5.67%  1M US L + 4.00%  12/06/2028   1,358,763    1,286,586 
WP CPP Holdings LLC  4.99%  3M US L + 3.75%  04/30/2025   1,492,612    1,230,345 
Total Aerospace & Defense            7,645,755    7,037,477 
                    
Air Freight & Logistics - 0.63% (0.37% of Total Investments)      
Brown Group Holding TLB2 1L (h)  N/A  L + 5.98%  07/15/2029   286,763    274,813 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Air Freight & Logistics (continued)      
LaserShip, Inc., Initial  7.38%  3M US L + 4.50%  05/07/2028  $1,334,508   $1,184,376 
Total Air Freight & Logistics            1,621,271    1,459,189 
                    
Airlines - 0.74% (0.43% of Total Investments)      
United AirLines, Inc., Class B  5.39%  1M US L + 3.75%  04/21/2028   1,831,735    1,697,798 
                    
Auto Components - 1.84% (1.07% of Total Investments)      
Burgess Point Purchaser Corp., TL 1L(h)  N/A  L + 7.48%  07/06/2029   288,528    288,528 
Dealer Tire LLC, B-1  5.92%  1M US L + 4.25%  12/12/2025   1,107,624    1,057,316 
First Brands Group, LLC, Refinanced  6.29%  3M US L + 5.00%  03/30/2027   574,372    543,356 
Gopher Resource, Llc Tlb  4.92%  1M US L + 3.25%  03/06/2025   496,187    405,280 
IXS Holdings, Inc., Initial  5.92%  1M US L + 4.25%  03/05/2027   1,628,075    1,309,070 
LS Group Opco Acquisition LLC, Initial  4.00%  3M US L + 3.25%  11/02/2027   323,992    301,717 
LTR Intermediate Holdings, Inc., Initial  6.75%  3M US L + 4.50%  05/05/2028   370,095    338,019 
Total Auto Components            4,788,873    4,243,286 
                    
Automobiles - 0.41% (0.24% of Total Investments)      
Driven Holdings LLC, TLB  3.52%  3M US L + 3.00%  12/17/2028   98,668    92,008 
RVR Dealership Holdings LLC, B  5.17%  3M US L + 3.75%  02/08/2028   1,012,443    848,761 
Total Automobiles            1,111,111    940,769 
                    
Beverages - 0.11% (0.07% of Total Investments)      
Triton Water Holdings, Inc., Initial  5.75%  3M US L + 3.50%  03/31/2028   296,915    261,817 
                    
Building Products - 1.74% (1.02% of Total Investments)      
Cornerstone Building Brands, Inc., Tranche B  4.57%  1M US L + 3.25%  04/12/2028   385,395    317,951 
Foundation Building Materials, Inc., Initial  4.49%  3M US L + 3.25%  01/31/2028   224,475    195,293 
Kodiak BP LLC, Initial  5.50%  3M US L + 3.25%  03/12/2028   189,685    165,145 
LHR Borrower, LLC TLB 1L  6.38%  1M US L + 4.75%  02/16/2029   918,051    789,524 
Osmosis Buyer, Ltd., Initial B  4.83%  1M US L + 3.75%  07/31/2028   292,900    266,173 
Park River Holdings, Inc., Initial  4.22%  3M US L + 3.25%  12/28/2027   95,349    77,591 
Snap One 11/21 Cov-Lite TLB  7.38%  3M US L + 4.50%  12/08/2028   762,256    690,795 
Visual Comfort Group, Inc. (fka VC GB Holdings, Inc.)(aka Visual Comfort Generation Brands), Initial 1st Lien Term Loan  6.38%  3M US L + 3.50%  07/21/2028   323,863    281,965 
White Cap Buyer LLC, Initial Closing Date  5.28%  1M US L + 3.75%  10/19/2027   219,232    201,420 
Wilsonart LLC, Tranche E  5.51%  3M US L + 3.25%  12/31/2026   1,167,104    1,030,704 
Total Building Products            4,578,310    4,016,561 
                    
Capital Markets - 0.70% (0.41% of Total Investments)      
Hudson River Trading LLC, Term Loan  4.64%  3M US L + 3.00%  03/20/2028   1,738,765    1,621,833 
                    
Chemicals - 2.45% (1.44% of Total Investments)      
Ascend Performance Materials Operations LLC, 2021 Refinancing  7.00%  3M US L + 4.75%  08/27/2026   683,724    664,921 
CP Iris Holdco I, Inc., Initial(g)  5.17%  1M US L + 3.50%  10/02/2028   273,466    204,985 
CPC Acquisition Corp., Initial  6.00%  3M US L + 3.75%  12/29/2027   133,023    115,841 
Herens Holdco S.a r.l., Facility B  6.25%  3M US L + 4.00%  07/03/2028   606,053    539,387 
Hexion Holdings Corp. TL 1L  5.92%  1M US L + 4.50%  03/15/2029   852,586    760,934 
LSF11 A5 HoldCo, LLC TLB 1L  5.14%  1M US L + 3.50%  10/15/2028   552,353    515,417 
Lummus Technology Holdings V LLC, 2021 Refinancing B  5.17%  1M US L + 3.50%  06/30/2027   49,619    45,738 
Olympus Water US Holding Corp.  6.65%  3M SOFR + 4.50%  11/09/2028   334,251    312,107 
Olympus Water US Holding Corporation TLB  6.06%  3M US L + 3.75%  11/09/2028   348,519    323,795 
PMHC II, Inc. TL  5.29%  6M US L + 4.25%  04/21/2029   1,614,367    1,401,141 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Chemicals (continued)                   
Polar US Borrower LLC, Initial  6.00%  1M US L + 4.75%  10/15/2025  $860,805   $785,485 
Total Chemicals            6,308,766    5,669,751 
                    
Commercial Services & Supplies - 2.21% (1.29% of Total Investments)      
Allied Universal Holdco LLC, Initial U.S. Dollar  5.42%  1M US L + 3.75%  05/12/2028   984,528    900,430 
Ankura Consulting Group LLC, Closing Date  6.14%  1M US L + 4.50%  03/17/2028   177,915    168,129 
BRIGHTVIEW LANDSCAPES, LLC TLB1L  4.78%  1M US L + 3.25%  04/20/2029   1,275,522    1,211,746 
Garda World Security Corporation TLB 1L  5.75%  1M US L + 4.25%  02/01/2029   1,299,187    1,192,004 
Vericast Corp., 2021 Extended  10.00%  3M US L + 7.75%  06/16/2026   308,779    238,788 
Viad Corp, Initial  6.67%  1M US L + 5.00%  07/30/2028   1,492,500    1,395,488 
Total Commercial Services & Supplies            5,538,431    5,106,585 
                    
Communications Equipment - 1.13% (0.66% of Total Investments)      
Casa Systems, Inc., Initial  6.25%  3M US L + 5.00%  12/20/2023   904,464    847,374 
Global Tel*Link Corp., 2018  5.92%  1M US L + 4.25%  11/29/2025   448,953    415,915 
Gogo Intermediate Holdings LLC, Initial  4.99%  3M US L + 3.75%  04/30/2028   1,323,372    1,249,263 
MLN US HoldCo LLC, B  5.62%  1M US L + 4.50%  11/30/2025   136,980    88,626 
Total Communications Equipment            2,813,769    2,601,178 
                    
Construction & Engineering - 0.84% (0.49% of Total Investments)      
BROOKFIELD WEC HOLDINGS INC.TL 1L(h)  N/A  L + 5.25%  08/01/2025   305,631    293,189 
DG Investment Intermediate Hlgds, Inc. TL 1L  5.78%  3M SOFR + 5.00%  03/31/2028   226,215    216,035 
DG Investment Intermediate Hlgds, Inc. TL-DD 1L  4.98%  1M US L + 4.25%  03/31/2028   83,783    36,446 
DG Investment Intermediate Holdings 2, Inc., Initial(g)  5.42%  1M US L + 3.75%  03/31/2028   85,715    79,902 
TRC Companies 11/21 TL  6.00%  3M US L + 3.75%  12/08/2028   1,399,798    1,311,149 
Total Construction & Engineering            2,101,142    1,936,721 
                    
Construction Materials - 0.48% (0.28% of Total Investments)      
Schweitzer-Mauduit International, Inc., B  5.44%  1M US L + 3.75%  04/20/2028   830,788    780,941 
Smyrna Ready Mix Concrete, LLC TLB 1L  5.88%  1M SOFR + 4.25%  04/02/2029   362,827    334,708 
Total Construction Materials            1,193,615    1,115,649 
                    
Containers & Packaging - 3.34% (1.96% of Total Investments)      
Clydesdale Acquisition Holdings, Inc.  5.88%  4M US L + 4.35%  04/13/2029   2,061,790    1,923,588 
LABL, INC. TL 1L  6.67%  1M US L + 5.00%  10/29/2028   969,449    893,512 
Pactiv Evergreen Group Holdings, Inc., Tranche B-3 U.S.  5.17%  1M US L + 3.50%  09/24/2028   81,267    75,940 
Pelican Products, Inc. TL  6.50%  3M US L + 4.25%  12/29/2028   490,038    455,735 
Pregis TopCo LLC, Initial  5.67%  1M US L + 4.00%  07/31/2026   1,126,784    1,062,929 
Pretium PKG Holdings, Inc., Initial  5.04%  1M US L + 4.00%  10/02/2028   357,100    320,276 
ProAmpac PG Borrower LLC, 2020-1  5.01%  3M US L + 3.75%  11/03/2025   77,915    71,915 
RLG Holdings LLC, Closing Date Initial  5.92%  1M US L + 4.25%  07/07/2028   1,669,188    1,553,730 
Sabert Corp., Initial  6.19%  1M US L + 4.50%  12/10/2026   1,441,611    1,365,927 
Total Containers & Packaging            8,275,142    7,723,552 
                    
Distributors - 0.61% (0.35% of Total Investments)      
American Tire Distributors, Inc., TLB  7.00%  3M US L + 6.25%  10/20/2028   501,458    472,624 
BCPE Empire Holdings, Inc. (h)  N/A  L + 6.25%  06/11/2026   102,074    95,524 
BCPE Empire Holdings, Inc., Initial  5.67%  1M US L + 4.00%  06/11/2026   336,907    316,693 
Ingram Micro, Inc., Initial  5.75%  3M US L + 3.50%  06/30/2028   546,105    515,387 
Total Distributors            1,486,544    1,400,228 
                    
Diversified Consumer Services - 3.60% (2.10% of Total Investments)      
KUEHG Corp, B-3  6.00%  3M US L + 3.75%  02/21/2025   1,978,807    1,836,748 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Diversified Consumer Services (continued)      
Learning Care Group No. 2, Inc., 2020 Incremental  9.82%  3M US L + 8.50%  03/13/2025  $385,093   $377,391 
LifeMiles, Ltd., Initial  6.82%  3M US L + 5.25%  08/30/2026   79,885    74,759 
Pug LLC, B-2  5.92%  1M US L + 4.25%  02/12/2027   1,523,218    1,405,169 
Sabre GLBL Inc.TLB 1L  5.88%  1M US L + 4.25%  06/30/2028   64,427    60,441 
Sabre GLBL, Inc.                   
2021 Other B-1  5.17%  1M US L + 3.50%  12/17/2027   181,194    169,078 
2021 Other B-2  5.17%  1M US L + 3.50%  12/17/2027   288,835    269,520 
SkyMiles IP, Ltd., Initial  4.75%  3M US L + 3.75%  10/20/2027   95,123    94,439 
Spin Holdco, Inc., Initial  5.61%  3M US L + 4.00%  03/04/2028   1,435,500    1,318,507 
St. George's University Scholastic Services LLC (St. George's University Scholastic Services LLC), Initial Term Loans  4.92%  1M US L + 3.25%  02/10/2029   73,019    68,638 
Staples, Inc., 2019 Refinancing New B-1  6.29%  3M US L + 5.00%  04/16/2026   967,798    839,022 
The Knot WorldWide Inc. Tl 1L  6.13%  1M US L + 4.50%  12/19/2025   852,105    813,760 
Travelport Finance S.a r.l., Initial (Priority)  11.00%  3M US L + 8.75%  02/28/2025   823,268    812,360 
TruGreen LP, Second Refinancing  5.67%  1M US L + 4.00%  11/02/2027   181,452    172,076 
Total Diversified Consumer Services            8,929,724    8,311,908 
                    
Diversified Financial Services - 2.19% (1.28% of Total Investments)      
Edelman Financial Center LLC, Initial (2021)  5.17%  1M US L + 3.50%  04/07/2028   427,299    394,504 
Galaxy US Opco Inc. TL  6.28%  6M US L + 4.75%  04/29/2029   770,480    721,362 
HighTower Holding LLC, Initial  5.10%  3M US L + 4.00%  04/21/2028   560,310    519,222 
Mercury Borrower, Inc., TL  5.81%  3M US L + 3.50%  08/02/2028   256,682    238,714 
Nexus Buyer LLC, B  5.42%  1M US L + 3.75%  11/09/2026   348,747    328,171 
Paysafe Holdings US Corp., Facility B1  4.42%  1M US L + 2.75%  06/28/2028   146,540    134,543 
VeriFone Systems, Inc., Initial  5.52%  3M US L + 4.00%  08/20/2025   2,970,663    2,655,772 
VFH Parent LLC TLB 1L  4.43%  1M US L + 3.00%  01/13/2029   75,641    71,512 
Total Diversified Financial Services            5,556,362    5,063,800 
                    
Diversified Telecommunication Services - 4.65% (2.72% of Total Investments)      
Altice Financing S.A. TL1L  3.79%  3M US L + 2.75%  01/31/2026   498,695    449,448 
Altice France S.A., USD TLB-13 Incremental  5.41%  3M US L + 4.00%  08/14/2026   2,274,398    2,073,250 
Altice France SA  4.73%  3M US L + 3.69%  01/31/2026   498,039    451,971 
Consolidated Communications, Inc., B-1  5.19%  1M US L + 3.50%  10/02/2027   700,484    617,596 
DIRECTV Financing LLC, Closing Date  6.67%  1M US L + 5.00%  08/02/2027   2,062,429    1,893,145 
Intelsat Jackson Holdings S.A.(h)  N/A  L + 4.92%  02/01/2029   950,303    869,356 
LCPR Loan Financing LLC, 2021 Additional  5.07%  1M US L + 3.75%  10/16/2028   583,258    562,114 
Sorenson Communications LLC, 2021  7.75%  3M US L + 5.50%  03/17/2026   196,813    191,401 
Syniverse Holdings, Inc.TL 1L(h)  N/A  L + 8.29%  05/13/2027   430,552    378,348 
Windstream Services II LLC, Initial  7.92%  1M US L + 6.25%  09/21/2027   1,444,949    1,345,970 
Xplornet Communications, Inc. TL 1L  5.67%  1M US L + 4.00%  10/02/2028   244,056    222,264 
Zacapa S.a.r.l.  TL 1L  6.30%  6M US L + 4.25%  03/22/2029   311,647    290,143 
Ziggo Financing Partnership TLI 1L(h)  N/A  L + 3.82%  04/30/2028   1,500,000    1,395,465 
Total Diversified Telecommunication Services            11,695,623    10,740,471 
                    
Electric Utilities - 0.16% (0.09% of Total Investments)      
Generation Bridge Acquisition LLC                   
B  7.25%  3M US L + 5.00%  12/01/2028   361,952    352,299 
C  7.25%  3M US L + 5.00%  12/01/2028   7,560    7,358 
Total Electric Utilities            369,512    359,657 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Electrical Equipment - 0.35% (0.21% of Total Investments)        
Energy Acquisition LP                   
Initial  5.92%  3M US L + 4.25%  06/26/2025  $713,307   $645,842 
Tranche B(i)  7.50%  7.50%  04/01/2028   185,147    168,484 
Total Electrical Equipment            898,454    814,326 
                    
Electronic Equipment, Instruments & Components - 1.13% (0.66% of Total Investments)      
Infinite Bidco LLC, Initial  5.50%  3M US L + 3.25%  03/02/2028   1,247,033    1,153,505 
Mavenir Systems, Inc., Initial  6.21%  3M US L + 4.75%  08/18/2028   488,764    452,107 
Natel Engineering Company, Inc., Initial  7.74%  3M US L + 6.25%  04/30/2026   508,318    486,399 
Triton Solar US Acquisition Co., Initial  7.52%  3M US L + 6.00%  10/29/2024   254,026    243,865 
Xperi Holding Corp., Initial B  5.17%  1M US L + 3.50%  06/08/2028   297,252    283,784 
Total Electronic Equipment, Instruments & Components            2,795,393    2,619,660 
                    
Energy Equipment & Services - 0.38% (0.22% of Total Investments)      
Lealand Finance Company B.V.                   
Make-Whole  4.67%  3M US L + 3.00%  06/30/2024   8,469    5,081 
Take-Back  2.67%  1M US L + 1.00%  06/30/2025   46,849    23,503 
Par Petroleum LLC, Closing Date  7.77%  3M US L + 6.75%  01/11/2026   312,337    296,720 
WaterBridge Midstream Operating LLC, Initial  7.39%  3M US L + 5.75%  06/22/2026   590,986    557,595 
Total Energy Equipment & Services            958,641    882,899 
                    
Food & Staples Retailing - 0.43% (0.25% of Total Investments)      
Rent-A-Center, Inc.  4.94%  1M US L + 3.25%  02/17/2028   1,113,910    999,044 
                    
Food Products - 0.66% (0.38% of Total Investments)      
Chill Merger Sub, Inc.  5.75%  3M US L + 3.50%  03/20/2024   1,250,000    1,086,613 
Pacific Bells LLC, Initial Term  6.82%  3M US L + 4.76%  11/10/2028   366,063    337,693 
Whole Earth Brands, Inc., Term Loan  6.13%  3M US L + 4.50%  02/05/2028   100,107    93,600 
Total Food Products            1,716,170    1,517,906 
                    
Health Care Equipment & Supplies - 0.74% (0.43% of Total Investments)      
Bausch & Lomb Inc TL 1L  4.55%  1M SOFR + 3.25%  05/10/2027   441,732    410,369 
Curium BidCo S.a r.l., Term Loan  6.28%  3M US L + 4.25%  12/02/2027   423,304    401,081 
Medplast Holdings, Inc., Initial Term Loan (Late June/Early July)  5.42%  1M US L + 3.75%  07/02/2025   987,212    904,533 
Total Health Care Equipment & Supplies            1,852,248    1,715,983 
                    
Health Care Providers & Services - 6.02% (3.52% of Total Investments)      
Accelerated Health Systems, LLC TLB 1L(h)  N/A  L + 5.16%  02/15/2029   308,154    291,785 
AEA International Holdings S.a.r.l., Initial  6.06%  3M US L + 3.75%  09/07/2028   216,691    206,398 
Cambrex Corp., Tranche B-2 Dollar  5.13%  1M US L + 3.60%  12/04/2026   248,594    235,309 
Curia Global, Inc., 2021  4.99%  3M US L + 3.75%  08/30/2026   153,265    144,357 
Envision Healthcare Corp., Initial  5.42%  1M US L + 3.75%  10/10/2025   987,245    324,804 
Eyecare Partners LLC                   
Amendment No. 1  6.00%  3M US L + 3.75%  11/15/2028   1,283,482    1,179,738 
Initial  6.00%  3M US L + 3.75%  02/18/2027   575,574    530,967 
Global Medical Response, Inc.                   
2018 New  5.92%  1M US L + 4.25%  03/14/2025   650,517    603,764 
2020 Refinancing  5.25%  3M US L + 4.25%  10/02/2025   1,128,797    1,047,671 
Heartland Dental LLC, 2021 Incremental  5.64%  1M US L + 4.00%  04/30/2025   803,680    750,235 
Heartland Dental, LLC, Initial  5.17%  1M US L + 3.50%  04/30/2025   492,334    456,024 
Hunter Holdco 3, Ltd., Initial Dollar  6.50%  3M US L + 4.25%  08/19/2028   474,011    449,125 
Midwest Veterinary Partners LLC, Initial  5.67%  1M US L + 4.00%  04/27/2028   1,536,890    1,452,362 
Organon & Co.  4.63%  1M US L + 3.00%  06/02/2028   1,500,000    1,440,630 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Health Care Providers & Services (continued)      
Pathway Vet Alliance LLC, 2021 Replacement  6.00%  3M US L + 3.75%  03/31/2027  $299,565   $277,472 
Radiology Partners, Inc., B  5.87%  1M US L + 4.25%  07/09/2025   944,844    844,218 
Sharp MidCo, LLC TL 1L  6.25%  3M US L + 4.00%  12/31/2028   350,905    328,096 
Southern Veterinary Partners LLC, Initial  5.00%  3M US L + 4.00%  10/05/2027   90,787    86,096 
Summit Behavioral 11/21  6.26%  3M US L + 4.75%  11/24/2028   731,780    698,850 
UWH PLLC, Initial  5.31%  3M US L + 4.25%  12/18/2027   1,492,500    1,405,756 
Verscend Holding Corp., B-1  5.67%  1M US L + 4.00%  08/27/2025   676,718    646,266 
WCG Purchaser Corp., Initial  6.25%  3M US L + 4.00%  01/08/2027   539,657    509,976 
Total Health Care Providers & Services            15,485,990    13,909,899 
                    
Health Care Technology - 3.15% (1.84% of Total Investments)      
Athenahealth Group Inc. TLB 1L(g)  5.01%  1M US L + 3.50%  02/15/2029   3,837,605    2,967,246 
Gainwell Acquisition Corp., B  6.25%  3M US L + 4.00%  10/01/2027   1,998,707    1,886,280 
MJH Healthcare Holdings, LLC L1  5.11%  1M US L + 3.50%  01/28/2029   231,006    217,145 
TTF Holdings LLC, Initial  5.94%  1M US L + 4.25%  03/31/2028   752,182    720,214 
Waystar Technologies, Inc., Initial  5.67%  1M US L + 4.00%  10/22/2026   812,778    769,091 
Zelis Cost Management Buyer, Inc., B-1  4.56%  1M US L + 3.50%  09/30/2026   763,608    717,318 
Total Health Care Technology            8,395,886    7,277,294 
                    
Hotels, Restaurants & Leisure - 2.75% (1.61% of Total Investments)      
20th Holdings Golf, LLC TLB 1L  4.49%  1M US L + 3.56%  02/07/2029   944,859    892,892 
Aimbridge Hsp Incre CL TLB  6.26%  1M US L + 4.75%  02/02/2026   248,738    223,865 
Alterra Mountain Co., Series B-2  5.17%  1M US L + 3.50%  08/17/2028   529,296    502,169 
Arcis 11/21 Cov-Lite TLB  5.92%  1M US L + 4.25%  11/24/2028   309,607    297,997 
Cinemark USA, Inc., Additional  3.31%  1M US L + 1.75%  03/31/2025   496,006    465,968 
Fertitta Entertainment, LLC TLB 1L  5.53%  1M US L + 4.00%  01/27/2029   1,593,136    1,465,095 
Herschend Entertainment Company LLC, Initial (2021)  5.44%  3M US L + 3.75%  08/27/2028   132,734    126,263 
Hilton Grand Vacations Borrower LLC, Initial Term Loans  4.67%  1M US L + 3.00%  08/02/2028   1,000,000    934,380 
Kingpin Intermediate Holdings LLC, 2018 Refinancing  5.17%  1M US L + 3.50%  07/03/2024   673,738    641,567 
United PF Holdings LLC                   
Incremental Term Loan  10.75%  3M US L + 8.50%  12/30/2026   354,600    345,735 
Initial  6.25%  3M US L + 4.00%  12/30/2026   509,533    464,312 
Total Hotels, Restaurants & Leisure            6,792,247    6,360,243 
                    
Household Durables - 1.73% (1.01% of Total Investments)      
At Home Group, Inc., Initial  4.97%  3M US L + 4.25%  07/24/2028   421,788    324,988 
Conair Holdings LLC, Initial  6.00%  3M US L + 3.75%  05/17/2028   765,699    638,080 
Hunter Douglas Inc. TLB 1L  4.84%  3M US L + 3.50%  02/26/2029   2,252,086    1,932,582 
Mattress Firm, Inc., 2021  5.64%  3M US L + 4.25%  09/25/2028   618,128    531,590 
Weber-Stephen Products LLC, Initial B  4.92%  1M US L + 3.25%  10/30/2027   497,115    449,889 
Weber-Stephen Products LLC TLB 1L  5.88%  1M US L + 4.25%  10/30/2027   137,383    129,140 
Total Household Durables            4,692,199    4,006,269 
                    
Household Products - 1.16% (0.68% of Total Investments)      
Olaplex, Inc. TL 1L  4.80%  3M US L + 3.75%  02/23/2029   1,360,245    1,282,030 
Sunshine Luxembourg VII Sarl, Facility B3  6.00%  3M US L + 3.75%  10/01/2026   1,500,000    1,384,815 
Total Household Products            2,860,245    2,666,845 
                    
Industrial Conglomerates - 1.04% (0.61% of Total Investments)      
Circor International, Inc. TLB  7.14%  3M US L + 4.50%  12/20/2028   319,538    292,377 
Madison IAQ LLC, Initial  5.35%  3M US L + 3.25%  06/21/2028   501,097    455,161 
Majordrive Holdings IV LLC, Initial  5.63%  3M US L + 4.00%  06/01/2028   254,118    227,514 
MajorDrive Holdings IV LLC  7.05%  3M US L + 5.50%  06/01/2029   297,469    273,672 
Redwood Star Merger Sub, Inc.  6.13%  1M US L + 4.50%  04/05/2029   889,723    826,998 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Industrial Conglomerates (continued)      
Star US Bidco LLC, Initial  5.92%  1M US L + 4.25%  03/17/2027  $345,687   $329,267 
Total Industrial Conglomerates            2,607,632    2,404,989 
                    
Insurance - 2.06% (1.20% of Total Investments)      
Acrisure LLC                   
11/21 Incremental  5.92%  1M US L + 4.25%  02/15/2027   295,678    278,431 
2020  5.17%  1M US L + 3.50%  02/15/2027   807,570    738,926 
2021-1 Additional  5.42%  1M US L + 3.75%  02/15/2027   686,550    641,066 
Asurion LLC, New B-9  4.92%  1M US L + 3.25%  07/31/2027   1,318,170    1,189,648 
Baldwin Risk Partners LLC  4.69%  1M US L + 3.50%  10/14/2027   422,275    400,633 
IMA Financial Group, Inc., TL  5.42%  1M US L + 3.75%  11/01/2028   269,657    254,152 
OneDigital Borrower, LLC TL 1L  5.88%  1M US L + 4.25%  11/16/2027   1,326,377    1,252,326 
Total Insurance            5,126,277    4,755,182 
                    
Internet and Catalog Retail - 0.42% (0.25% of Total Investments)      
Shutterfly LLC, 2021 Refinancing B  7.25%  3M US L + 5.00%  09/25/2026   671,941    538,897 
Titan Acquisition Co New Zealand Limited TL 1L  6.25%  3M US L + 4.00%  10/18/2028   466,178    438,986 
Total Internet and Catalog Retail            1,138,119    977,883 
                    
IT Services - 2.56% (1.50% of Total Investments)      
Avaya Inc. TL 1L(h)  N/A  L + 12.23%  02/15/2027   260,870    236,087 
Avaya, Inc.                   
Tranche B-1  5.57%  1M US L + 4.25%  12/15/2027   87,209    65,407 
Tranche B-2  5.32%  1M US L + 4.00%  12/15/2027   912,791    689,157 
Constant Contact, Inc.  5.01%  3M US L + 4.00%  02/10/2028   1,675,840    1,481,024 
Endurance International Group Holdings, Inc., Initial  4.62%  1M US L + 3.50%  02/10/2028   847,765    759,453 
Escape Velocity Holdings, Inc. TL  7.13%  3M US L + 4.25%  10/08/2028   283,497    265,070 
Intrado Corp., Initial B  5.67%  1M US L + 4.00%  10/10/2024   208,535    176,443 
ION Trading Finance, Ltd., Initial Dollar (2021)  7.00%  3M US L + 4.75%  04/01/2028   1,015,310    933,456 
Virtusa Corp.  5.42%  1M US L + 3.75%  02/11/2028   1,188,687    1,119,600 
Virtusa Corporation TL 1L  5.38%  1M US L + 3.85%  02/15/2029   190,106    179,017 
Total IT Services            6,670,610    5,904,714 
                    
Machinery - 0.54% (0.31% of Total Investments)      
ELEMENT MTRL TECH GP HLDG TL(g)(h)  N/A  SOFR + 4.25%  04/12/2029   1,022,180    655,944 
Pro Mach Group, Inc., Closing Date Initial(g)  5.06%  1M US L + 4.00%  08/31/2028   654,519    584,912 
Total Machinery            1,676,699    1,240,856 
                    
Media - 1.86% (1.09% of Total Investments)      
Castle US Holding Corp., Initial Dollar  5.42%  1M US L + 3.75%  01/29/2027   1,055,878    922,838 
Cimpress plc, Tranche B-1  5.17%  1M US L + 3.50%  05/17/2028   164,849    152,279 
Creative Artists Agency LLC                   
Closing Date  5.42%  1M US L + 3.75%  11/27/2026   670,773    634,552 
Incremental B-1  5.92%  1M US L + 4.25%  11/27/2026   368,899    348,978 
Cumulus Media New Holdings, Inc., Initial  4.75%  3M US L + 3.75%  03/31/2026   699,859    665,887 
Recorded Books, Inc., 2021 Replacement  6.00%  3M US L + 4.00%  08/29/2025   938,541    888,095 
United Talent Agency LLC, B  6.25%  3M US L + 4.00%  07/07/2028   746,587    690,593 
Total Media            4,645,386    4,303,222 
                    
Oil, Gas & Consumable Fuels - 1.30% (0.76% of Total Investments)      
Brazos Delaware II LLC, Initial  5.60%  1M US L + 4.00%  05/21/2025   673,903    647,958 
CITGO Holding, Inc.  8.67%  3M US L + 7.00%  08/01/2023   1,357,460    1,337,384 
Oryx Midstream Services Permian Basin, LLC TLB 1L  4.71%  3M US L + 3.25%  10/05/2028   690,575    655,618 
Permian Production Partners, LLC, Initial  7.67%  1M US L + 6.00%  11/20/2025   41,278    41,174 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Oil, Gas & Consumable Fuels (continued)      
Traverse Midstream Partners LLC  5.94%  3M US L + 4.97%  09/27/2024  $340,971   $324,492 
Total Oil, Gas & Consumable Fuels            3,104,187    3,006,626 
                    
Personal Products - 0.39% (0.23% of Total Investments)      
KDC/ONE Development Corp., Inc., Initial (2020)  5.42%  1M US L + 3.75%  12/22/2025   974,811    909,011 
                    
Pharmaceuticals - 1.18% (0.69% of Total Investments)      
Alvogen Pharma US, Inc., 1/1/2020 12:00:00 AM  7.50%  3M US L + 5.25%  12/31/2023   1,638,583    1,430,483 
Amneal Pharmaceuticals, LLC, Initial Term Loan  5.50%  1M US L + 3.50%  05/04/2025   977,926    882,578 
Endo Luxembourg Finance Company I S.a r.l., 2021  6.69%  1M US L + 5.00%  03/27/2028   529,241    403,493 
Total Pharmaceuticals            3,145,750    2,716,554 
                    
Professional Services - 1.23% (0.72% of Total Investments)      
AQ Carver Buyer, Inc., Initial  7.25%  3M US L + 5.00%  09/23/2025   456,193    440,226 
Conduent Business Services, LLC TLB 1L  5.92%  1M US L + 4.25%  10/16/2028   310,312    301,003 
Equiniti Group PLC, TLB  6.75%  3M US L + 4.50%  12/11/2028   335,838    317,367 
UST Global, Inc.  5.39%  3M US L + 3.75%  11/20/2028   567,774    537,256 
Vaco Holdings, LLC TL 1L  7.20%  3M US L + 5.00%  01/21/2029   1,297,966    1,244,970 
Total Professional Services            2,968,083    2,840,822 
                    
Real Estate Management & Development - 0.80% (0.47% of Total Investments)      
Forest City Enterprises LP, Replacement  5.17%  1M US L + 3.50%  12/08/2025   1,939,248    1,845,932 
                    
Road & Rail - 0.12% (0.07% of Total Investments)      
Savage Enterprises LLC, Initial  4.90%  1M US L + 3.25%  09/15/2028   301,061    286,198 
                    
Software - 9.84% (5.76% of Total Investments)      
Apex Group Treasury LLC, 2021 USD Term Loan  5.32%  3M US L + 3.75%  07/27/2028   158,790    150,057 
Apex Group Treasury, Ltd., USD  6.00%  3M US L + 3.75%  07/27/2028   875,600    827,442 
Ascend Learning 11/21 TLB  5.17%  1M US L + 3.50%  12/11/2028   1,142,807    1,052,811 
Astra Acquisition Corp. TL 1L  6.92%  3M US L + 5.25%  10/25/2028   1,097,925    949,705 
Cardinal Parent, Inc., Initial  6.13%  1M US L + 4.50%  11/12/2027   239,630    226,450 
CDK GLOBAL, INC. TLB 1L(h)  N/A  SOFR + 4.50%  07/01/2029   258,696    243,854 
CommerceHub, Inc., Initial  6.25%  3M US L + 4.00%  12/29/2027   823,305    722,450 
Conservice Midco LLC, Initial  5.92%  1M US L + 4.25%  05/13/2027   1,111,180    1,050,766 
Cornerstone OnDemand, Inc., Initial  5.42%  1M US L + 3.75%  10/16/2028   640,307    570,943 
CT Technologies Intermediate Holdings, Inc., 2021  5.92%  1M US L + 4.25%  12/16/2025   381,169    355,440 
DCert Buyer, Inc., Initial  5.67%  1M US L + 4.00%  10/16/2026   1,091,810    1,040,724 
EagleView Technology Corp., Term Loan  5.75%  3M US L + 3.50%  08/14/2025   796,124    727,458 
Fiserv Investment Solutions, Inc., Initial  5.46%  3M US L + 4.00%  02/18/2027   439,740    416,104 
Greeneden U.S. Holdings I LLC, Initial Dollar (2020)  5.67%  1M US L + 4.00%  12/01/2027   1,430,143    1,363,642 
Idera, Inc., B-1  4.82%  1M US L + 3.75%  03/02/2028   196,944    181,066 
IGT Holding IV AB, Term Loan  5.65%  3M US L + 3.40%  03/31/2028   104,461    97,149 
Imperva, Inc., Term Loan  5.40%  3M US L + 4.00%  01/12/2026   405,394    362,016 
Magenta Buyer LLC, Initial  6.23%  3M US L + 5.00%  07/27/2028   2,164,481    1,939,527 
MCAFEE CORP. TLB 1L  5.15%  1M US L + 4.00%  03/01/2029   3,686,591    3,345,581 
MH Sub I LLC, 2020 June New  5.42%  1M US L + 3.75%  09/13/2024   1,171,373    1,100,798 
Planview Parent, Inc., Closing Date  5.67%  1M US L + 4.00%  12/17/2027   958,368    900,866 
Playtika Holding Corp., B-1  4.42%  1M US L + 2.75%  03/13/2028   1,500,000    1,410,945 
Project Alpha Intermediate Holding, Inc., 2021 Refinancing  5.67%  1M US L + 4.00%  04/26/2024   1,577,768    1,511,706 
Skillsoft Finance II, Inc., Initial  6.19%  3M US L + 5.25%  07/14/2028   377,778    349,822 

 

 

      Reference Rate  Maturity  Principal     
   Coupon(a)  & Spread  Date  Amount   Value 
SENIOR SECURED FIRST LIEN LOANS(b)  (continued)        
Software (continued)                   
SS&C Technologies, Inc.                   
Term B-6 Loan  3.88%  1M US L + 2.25%  03/22/2029  $306,646   $291,467 
Term B-7 Loan  3.88%  1M US L + 2.25%  03/22/2029   420,401    399,591 
Ultimate Software 11/21 TL  4.21%  3M US L + 3.25%  05/04/2026   246,060    229,913 
Upland Software, Inc., Initial  5.42%  1M US L + 3.75%  08/06/2026   975,000    922,594 
Total Software            24,578,491    22,740,887 
                    
Specialty Retail - 2.11% (1.24% of Total Investments)                   
Bass Pro/Great American 11/21 TLB  5.42%  1M US L + 3.75%  03/06/2028   2,178,673    1,980,414 
Fender Musical Instruments Corporation  5.23%  1M US L + 4.00%  12/01/2028   202,695    191,294 
Franchise Group, Inc., Initial  6.50%  3M US L + 4.75%  03/10/2026   1,139,798    1,036,270 
Harbor Freight Tools USA, Inc.(h)  N/A  L + 4.42%  10/19/2027   441,176    388,588 
Jo-Ann Stores LLC, Additional B-1  5.96%  3M US L + 4.75%  07/07/2028   1,121,149    779,199 
Rising Tide Holdings, Inc., Initial  6.42%  1M US L + 4.75%  06/01/2028   251,109    217,837 
Torrid LLC, Closing Date  6.74%  3M US L + 5.50%  06/14/2028   307,276    288,840 
Total Specialty Retail            5,641,876    4,882,442 
                    
Textiles, Apparel & Luxury Goods - 2.44% (1.43% of Total Investments)                   
ABG Intermediate Holdings 2 LLC, Tranche TLB-1 Term Loans  5.13%  6M US L + 3.50%  12/21/2028   1,216,647    1,134,523 
ABG INTERMEDIATE HOLDINGS 2 LLC TLB 1L(h)  N/A  L + 4.92%  09/29/2024   1,000,000    956,750 
BK LC Lux SPV S.a r.l., Facility B  5.10%  3M US L + 3.25%  04/28/2028   890,901    813,321 
Champ Acquisition Corp., Initial  6.51%  6M US L + 5.50%  12/19/2025   469,693    455,603 
Crocs, Inc.TLB 1L  4.45%  6M US L + 3.50%  02/20/2029   1,489,019    1,352,223 
Elevate Textiles, Inc., Initial  5.97%  3M US L + 5.00%  05/01/2024   1,149,112    925,035 
Total Textiles, Apparel & Luxury Goods            6,215,372    5,637,455 
                    
Transportation Infrastructure - 0.12% (0.07% of Total Investments)                   
Grab Holdings, Inc., Initial  5.50%  3M US L + 4.50%  01/29/2026   301,454    274,323 
                    
Wireless Telecommunication Services - 0.22% (0.13% of Total Investments)                   
LSF9 ATLANTIS HOLDINGS, LLC  9.30%  3M SOFR + 7.25%  03/31/2029   567,029    514,862 
                    
Total Senior Secured First Lien Loans (Cost $193,304,410)           $197,044,833   $179,320,556 

 

   Shares   Value 
COMMON STOCK - 0.10%* (0.06% of Total Investments)          
Aerospace & Defense - 0.00%(j) (0.00% of Total Investments)          
New Constellis Borrower LLC(k)   6,795   $2,463 
           
Food & Staples Retailing - 0.09% (0.06% of Total Investments)          
CEC Brands, LLC(k)   10,454    210,821 
           
Oil, Gas & Consumable Fuels - 0.01% (0.00)%(j) of Total Investments)          
Permian Production Partners(k)   18,995    12,347 
           
Total Common Stock (Cost $94,507)   36,244   $225,631 

 

   Shares   Value 
MONEY MARKET MUTUAL FUNDS - 0.60%* (0.35% of Total Investments)          
Invesco Short Term Investments Trust Treasury Portfolio, Institutional Class          
(1.350% 7-Day Yield)   1,393,284   $1,393,284 
Total Money Market Mutual Funds (Cost $1,393,284)   1,393,284   $1,393,284 
           
Total Investments - 170.98% (Cost $449,238,220)       $395,060,936 
Liabilities in Excess of Other Assets - (2.22)%        (5,139,140)
Preferred Shares (Net of $1,293,075 Deferred Financing Costs) - (21.04)%        (48,606,925)
Leverage Facility (Net of $397,607 Deferred Leverage Costs) - (47.72)%        (110,252,393)
Net Assets Applicable to Common Shareholders - 100.00%       $231,062,478 

 

 

* Amounts above are shown as a percentage of net assets applicable to common shareholder as of June 30, 2022.
(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 June 30, 2022. 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 (“Rate Floors”) embedded in their loan agreements and organizational documents. Leveraged loans generally have Rate Floors of 0% or more, while CLO debt securities often set Rate Floors at 0%. Rate 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 investment 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 $203,906,975, which represents approximately 88.25% of the Trust's net assets as of June 30, 2022. 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 June 30, 2022.
(f) Fair value includes the Trust's interest in fee rebates on CLO subordinated notes.
(g) This investment has an unfunded commitment as of June 30, 2022.
(h) When-issued or delivery-delayed security. All or a portion of this position has not settled as of June 30, 2022. 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 reference rate floor will be established.  The total cost of securities purchased on a when-issued or delivery-delayed basis was $8,125,918 as of June 30, 2022.
(i) Fixed rate.
(j) Less than 0.005%.
(k) Non-income producing security.

 

All securities held as of June 30, 2022 are pledged as collateral for the Trust's credit facility. 

 

Abbreviations:

1M US L- 1 Month LIBOR (London Interbank Offered Rate)

1M SOFR - 1 Month SOFR (Secured Overnight Financing Rate)

3M SOFR – 3 Month SOFR (Secured Overnight Financing Rate)

3M US L- 3 Month LIBOR (London Interbank Offered Rate

6M US L -6 Month LIBOR (London Interbank Offered Rate)

SARL – Societe Anonyme a Responsabilite Limitee (French: Limited Liability Company)