NPORT-EX 2 kcop_partf.htm KCOP PART F

 KKR Credit Opportunities Portfolio
July 31, 2020


         
(Unaudited)
Schedule of Investments
 
  
 
 
 
 
 
Par†
 
  
Value
Leveraged Loans - 38.0%
 
 
 
 
  
 
Aerospace & Defense - 3.3%
 
 
 
 
  
 
EaglePicher Technologies, LLC, TL 2L 02/18
 
 
 
 
  
 
7.411% (1 Month US LIBOR + 7.250%), 03/08/2026 (a)
 
 
62,000
 
  
57,789
Ontic Engineering & Manufacturing, Inc., TL 1L B 10/19
 
 
 
 
  
 
5.058% (3 Month US LIBOR + 4.750%), 10/30/2026 (a)
 
 
72,744
 
  
71,471
Ontic Engineering & Manufacturing, Inc., TL 1L B-DD 10/19
 
 
 
 
  
 
5.058% (3 Month US LIBOR + 4.750%), 10/31/2026 (a)
 
 
11,366
 
  
11,167
Sequa Corp., TL 1L B 06/20 ADD-ON
 
 
 
 
  
 
0.000%, 11/28/2023 (a)(d)(e)
 
 
403,860
 
  
387,706
Sequa Corp., TL 2L 04/17
 
 
 
 
  
 
11.250% (US LIBOR + 9.000%), 04/28/2022 (a)
 
 
894,000
 
  
687,263
Sequa Corp., TL 1l B 11/17
 
 
 
 
  
 
6.000% (3 Month US LIBOR + 5.000%), 11/28/2021 (a)
 
 
2,410,163
 
  
2,287,643
 
 
 
 
 
 
  
3,503,039
Auto Components - 1.0%
 
 
 
 
  
 
Innovative XCessories & Services LLC, TL 1L 02/20
 
 
 
 
  
 
6.000% (3 Month US LIBOR + 5.000%), 03/05/2027 (a)
 
 
1,136,819
 
  
1,089,931
 
 
 
 
 
 
  
 
Building Products - 0.4%
 
 
 
 
  
 
MI Windows and Doors, Inc., TL 1L 10/19
 
 
 
 
  
 
6.500% (3 Month US LIBOR + 5.500%), 11/06/2026 (a)
 
 
470,830
 
  
472,007
 
 
 
 
 
 
  
 
Chemicals - 1.8%
 
 
 
 
  
 
Diversey, Inc., TL 1L 07/17
 
 
 
 
  
 
3.260% (1 Month US LIBOR + 3.000%), 09/06/2024 (a)
 
 
348,837
 
  
331,046
Emerald Performance Materials LLC, TL 1L 07/14
 
 
 
 
  
 
4.500% (3 Month US LIBOR + 3.500%), 07/30/2021 (a)
 
 
214,111
 
  
213,442
Emerald Performance Materials, LLC, TL 2L 07/14
 
 
 
 
  
 
8.750% (1 Month US LIBOR + 6.750%), 08/01/2022 (a)
 
 
44,197
 
  
43,884
Invictus, TL 21 01/18
 
 
 
 
  
 
6.911% (1 Month US LIBOR + 6.750%), 03/30/2026 (a)
 
 
39,000
 
  
31,541
New Arclin US Holding Corp., TL 2L 02/17
 
 
 
 
  
 
9.750% (1 Month US LIBOR + 8.750%), 02/14/2025 (a)
 
 
9,000
 
  
7,695
SI Group, Inc., TL 1L 07/18
 
 
 
 
  
 
4.916% (1 Month US LIBOR + 4.750%), 10/15/2025 (a)
 
 
476,746
 
  
450,525
Vantage Specialty Chemicals, Inc., TL 2L 10/17
 
 
 
 
  
 
9.250% (6 Month US LIBOR + 8.250%), 10/27/2025 (a)
 
 
457,050
 
  
335,932
Vantage Specialty Chemicals, Inc., TL 1L B 10/17
 
 
 
 
  
 
4.500% (6 Month US LIBOR + 3.500%), 10/26/2024 (a)
 
 
597,254
 
  
528,038
 
 
 
 
 
 
  
1,942,103
Commercial Services & Supplies - 1.0%
 
 
 
 
  
 
Access CIG, LLC, TL 1L 02/18
 
 
 
 
  
 
3.911% (1 Month US LIBOR + 3.750%), 02/27/2025 (a)
 
 
38,801
 
  
37,561
Access CIG, LLC, TL 2L 02/18
 
 
 
 
  
 
7.911% (1 Month US LIBOR + 7.750%), 02/27/2026 (a)
 
 
143,000
 
  
130,130
Advantage Sales & Marketing, Inc., TL 1L B 06/14
 
 
 
 
  
 
4.250% (3 Month US LIBOR + 3.250%), 07/23/2021 (a)
 
 
309,359
 
  
294,568
Advantage Sales & Marketing, Inc., TL 2L 06/14
 
 
 
 
  
 
7.500% (3 Month US LIBOR + 6.500%), 07/25/2022 (a)
 
 
147,000
 
  
126,267
ASP Acuren Merger Sub Inc., TL 1L B 01/20
 
 
 
 
  
 
4.558%, (3 Month US LIBOR + 4.250%), 01/23/2027 (a)
 
 
59,850
 
  
59,401
Monitronics International, Inc., TL 1L EXIT 08/19
 
 
 
 
  
 
7.750% (1 Month US LIBOR + 6.500%), 03/29/2024 (a)
 
 
540,278
 
  
419,391
 
 
 
 
 
 
  
1,067,318
Construction & Engineering - 3.2%
 
 
 
 
  
 
Brand Energy & Infrastructure Services, Inc., TL 1L 05/17
 
 
 
 
  
 
5.250% (3 Month US LIBOR + 4.250%), 06/21/2024 (a)
 
 
1,080,978
 
  
990,338
Total Safety US, Inc., TL 1L B 07/19
 
 
 
 
  
 
7.000% (3 Month US LIBOR + 6.000%), 08/16/2025 (a)
 
 
1,306,836
 
  
1,212,091
Yak Access, LLC, TL 1L B 05/18
 
 
 
 
  
 
5.308% (3 Month US LIBOR + 5.000%), 07/11/2025 (a)
 
 
1,506,224
 
  
1,238,869
 
 
 
 
 
 
  
3,441,298
Construction Materials - 0.1%
 
 
 
 
  
 
Quimper AB, TL 2L 02/19 EUR
 
 
 
 
  
 
8.250% (6 Month EURIBOR + 8.250%), 02/15/2027 (a)(b)
EUR
 
94,000
 
  
106,437
 
 
 
 
 
 
  
 


Distributors - 0.4%
 
 
 
 
  
 
Distribution International, Inc., TL 1L 06/19
 
 
 
 
  
 
6.750% (3 Month US LIBOR + 5.750%), 12/15/2023 (a)
 
 
452,714
 
  
380,279
 
 
 
 
 
 
  
 
Diversified Consumer Services - 1.3%
 
 
 
 
  
 
Airbnb, Inc., TL 1L 03/20
 
 
 
 
  
 
8.500% (3 Month US LIBOR + 7.500%), 04/17/2025 (a)
 
 
242,470
 
  
256,715
Jostens, Inc., TL 1L 12/18
 
 
 
 
  
 
6.572% (6 Month US LIBOR + 5.500%), 12/19/2025 (a)
 
 
869,230
 
  
843,292
Learning Care Group Inc., TL 1L B 05/20
 
 
 
 
  
 
8.860% (3 Month US LIBOR + 8.500%), 03/13/2025 (a)
 
 
281,860
 
  
284,443
 
 
 
 
 
 
  
1,384,450
Diversified Telecommunication Services - 0.2%
 
 
 
 
  
 
Peak 10 Holding Corp., TL 1L 07/17
 
 
 
 
  
 
3.808% (3 Month US LIBOR + 3.500%), 08/01/2024 (a)
 
 
316,373
 
  
258,240
 
 
 
 
 
 
  
 
Electronic Equipment, Instruments & Components - 1.4%
 
 
 
 
  
 
Excelitas Technologies Corp., TL 2L 10/17
 
 
 
 
  
 
8.500% (3 Month US LIBOR + 7.500%), 12/01/2025 (a)
 
 
1,476,100
 
  
1,427,020
 
 
 
 
 
 
  
 
Energy Equipment & Services - 0.2%
 
 
 
 
  
 
Caprock Midstream, LLC, TL 1L B 10/18
 
 
 
 
  
 
4.911% (1 Month US LIBOR + 4.750%), 11/03/2025 (a)
 
 
145,266
 
  
93,842
ChampionX Corp., TL 1L B 05/20
 
 
 
 
  
 
6.000%, (6 Month US LIBOR + 5.000%), 06/03/2027 (a)
 
 
82,880
 
  
81,948
 
 
 
 
 
 
  
175,790
Food & Staples Retailing - 0.2%
 
 
 
 
  
 
Froneri Ltd., TL 2L 01/20 USD
 
 
 
 
  
 
5.928% (1 Month US LIBOR + 5.750%), 01/31/2028 (a)(b)
 
 
60,000
 
  
58,750
Smart & Final Stores LLC, TL 1L B 05/19
 
 
 
 
  
 
6.911% (1 Month US LIBOR + 6.750%), 06/20/2025 (a)
 
 
195,015
 
  
195,015
 
 
 
 
 
 
  
253,765
Food Products - 0.5%
 
 
 
 
  
 
CSM Bakery Products, TL 1L B 07/13
 
 
 
 
  
 
7.250% (3 Month US LIBOR + 6.250%), 01/04/2022 (a)
 
 
489,038
 
  
456,945
CSM Bakery Products, TL 2L 07/13
 
 
 
 
  
 
11.000% (3 Month US LIBOR + 10.000%), 02/04/2022 (a)
 
 
75,000
 
  
61,375
 
 
 
 
 
 
  
518,320
Health Care Providers & Services - 0.4%
 
 
 
 
  
 
Affordable Care Inc., TL 1L 10/15
 
 
 
 
  
 
5.750% (3 Month US LIBOR + 4.750%), 10/24/2022 (a)
 
 
430,120
 
  
387,108
Paradigm Acquistion Corp., TL 2L 10/18 LC
 
 
 
 
  
 
7.808% (3 Month US LIBOR + 7.500%), 10/26/2026 (a)
 
 
30,000
 
  
26,550
US Anesthesia Partners, Inc., TL 1L B 01/18
 
 
 
 
  
 
4.000% (6 Month US LIBOR + 3.000%), 06/23/2024 (a)
 
 
55,547
 
  
51,780
 
 
 
 
 
 
  
465,438
Hotels, Restaurants & Leisure - 5.1%
 
 
 
 
  
 
Aimbridge Acquisition Co Inc., TL 1L B 10/19
 
 
 
 
  
 
3.917% (1 Month US LIBOR + 3.750%), 02/02/2026 (a)
 
 
1,222,754
 
  
1,054,625
B&B Hotels SAS, TL 1L B3A 01/20 EUR
 
 
 
 
  
 
3.875% (3 Month EURIBOR + 3.875%), 07/31/2026 (a)(b)
EUR
 
1,121,450
 
  
1,137,725
ClubCorp Club Operations, Inc., TL 1L B 08/17
 
 
 
 
  
 
3.058% (3 Month US LIBOR + 2.750%), 09/18/2024 (a)
 
 
1,026,224
 
  
889,536
Diamond Resorts International, Inc., TL 1L B 06/18
 
 
 
 
  
 
4.750% (1 Month US LIBOR + 3.750%), 09/02/2023 (a)
 
 
1,007,792
 
  
885,970
Life Time Fitness, Inc., TL 1L 01/17
 
 
 
 
  
 
3.750% (6 Month US LIBOR + 2.750%), 06/10/2022 (a)
 
 
1,519,573
 
  
1,377,918
 
 
 
 
 
 
  
5,345,774
Household Products - 1.0%
 
 
 
 
  
 
Piolin BidCo SAU, TL 1L B 05/20 EUR
 
 
 
 
  
 
7.500% (3 Month EURIBOR + 7.500%), 09/16/2026 (a)(b)
EUR
 
539,891
 
  
610,527
Steinhoff, TL 1L 07/19 (SFH Super Senior)
 
 
 
 
  
 
10.000%, 12/31/2021 (b)(h)
EUR
 
9,455
 
  
10,998
Steinhoff, TL 1L 08/19 (SFH A1)
 
 
 
 
  
 
0.000% (3 Month EURIBOR + 0.000%), 12/31/2021 (b)(g)(h)
EUR
 
635,586
 
  
417,395
 
 
 
 
 
 
  
1,038,920
Industrial Conglomerates - 0.1%
 
 
 
 
  
 
Unifrax I LLC / Unifrax Holding Co., TL 1L B 10/18 USD
 
 
 
 
  
 
4.000% (3 Month US LIBOR + 3.750%), 12/12/2025 (a)
 
 
110,439
 
  
94,806
Unifrax I LLC / Unifrax Holding Co., TL 1L B 11/18 EUR
 
 
 
 
  
 
3.750% (3 Month EURIBOR + 3.750%), 12/12/2025 (a)
EUR
 
25,000
 
  
25,164
 
 
 
 
 
 
  
119,970
IT Services - 0.7%
 
 
 
 
  
 
PSAV, Inc., TL 2L 02/18
 
 
 
 
  
 
8.250% (3 Month US LIBOR + 7.250%), 09/01/2025 (a)
 
 
189,000
 
  
51,975
Sutherland Global Services, Inc., TL 1L 10/14_US Borrower
 
 
 
 
  
 
6.375% (3 Month US LIBOR + 5.000%), 04/23/2021 (a)
 
 
638,613
 
  
548,144
Sutherland Global Services, Inc., TL 1L 10/14_Cayman Borrower
 
 
 
 
  
 
6.375% (3 Month US LIBOR + 5.000%), 04/23/2021 (a)
 
 
148,572
 
  
127,525
 
 
 
 
 
 
  
727,644


Leisure Products - 0.8%
 
 
 
 
  
 
Camping World Good Sam, TL 1L B 03/18
 
 
 
 
  
 
3.500% (1 Month US LIBOR + 2.750%), 11/08/2023 (a)
 
 
778,661
 
  
738,209
 
 
 
 
 
 
  
 
Life Sciences Tools & Services - 0.8%
 
 
 
 
  
 
Albany Molecular Research, Inc., TL 1L 07/17
 
 
 
 
  
 
4.250% (3 Month US LIBOR + 3.250%), 08/30/2024 (a)
 
 
308,046
 
  
303,733
Albany Molecular Research, Inc., TL 12L 07/17
 
 
 
 
  
 
8.000% (US LIBOR + 7.000%), 08/30/2025 (a)
 
 
301,530
 
  
290,675
BioClinica-Synowledge Holdings, TL 1L 10/16
 
 
 
 
  
 
5.000% (1 Month US LIBOR + 4.500%), 10/20/2023 (a)
 
 
237,468
 
  
223,072
 
 
 
 
 
 
  
817,480
Machinery - 1.3%
 
 
 
 
  
 
Accuride Corp., TL 1L B 10/17
 
 
 
 
  
 
6.250% (3 Month US LIBOR + 5.250%), 11/17/2023 (a)
 
 
523,080
 
  
355,694
CPM Holdings, Inc., TL 2L 10/18
 
 
 
 
  
 
8.452% (1 Month US LIBOR + 8.250%), 11/16/2026 (a)
 
 
92,000
 
  
79,925
Utility One Source LP, TL 1L B 02/20
 
 
 
 
  
 
4.426% (1 Month US LIBOR + 4.250%), 04/18/2025 (a)
 
 
628,327
 
  
624,007
Welbilt, Inc. (Manitowoc Foodservice Inc), TL 1L B 10/18
 
 
 
 
  
 
2.661% (1 Month US LIBOR + 2.500%), 10/23/2025 (a)
 
 
94,270
 
  
82,958
WireCo WorldGroup, Inc., TL 1L )7/16
 
 
 
 
  
 
6.072% (6 Month US LIBOR + 5.000%), 09/29/2023 (a)
 
 
87,692
 
  
74,579
WireCo WorldGroup, Inc., TL 2L 07/16
 
 
 
 
  
 
10.072% (6 Month US LIBOR + 9.000%), 09/30/2024 (a)
 
 
239,000
 
  
182,835
 
 
 
 
 
 
  
1,399,998
Media - 2.4%
 
 
 
 
  
 
Emerald Expositions Holding, Inc., TL 1L B 11/17
 
 
 
 
  
 
2.911% (1 Month US LIBOR + 2.750%), 05/22/2024 (a)
 
 
8,392
 
  
7,637
NEP Broadcasting, LLC, TL 1L 05/20 DD
 
 
 
 
  
 
0.000%, 06/01/2025 (a)(d)(e)
 
 
30,815
 
  
(1,951)
NEP Broadcasting, LLC, TL 1L 05/20
 
 
 
 
  
 
9.250%, (1 Month US LIBOR + 8.2500%), 06/01/2025 (a)(d)(e)
 
 
123,260
 
  
115,458
NEP Broadcasting, LLC, TL 1L B 09/18 EUR
 
 
 
 
  
 
3.500% (3 Month EURIBOR + 3.500%), 10/20/2025 (a)(b)
EUR
 
1,223,056
 
  
1,209,948
NEP Broadcasting, LLC, TL 1L B 09/18
 
 
 
 
  
 
3.411% (1 Month US LIBOR + 3.250%), 10/20/2025 (a)
 
 
1,072,282
 
  
895,355
NEP Broadcasting, LLC, TL 2L 09/18
 
 
 
 
  
 
7.161% (1 Month US LIBOR + 7.000%), 10/19/2026 (a)
 
 
393,000
 
  
296,715
 
 
 
 
 
 
  
2,523,162
Metals & Mining - 0.2%
 
 
 
 
  
 
Foresight Energy LLC, TL 1L A 06/20 (Exit)
 
 
 
 
  
 
9.500% (1 Month US LIBOR + 8.000%), 06/30/2027 (a)(c)(d)(e)
 
 
150,786
 
  
150,786
Foresight Energy LLC, TL 1L B 06/20 (Exit)
 
 
 
 
  
 
9.500%, 06/30/2027 (a)(c)(d)(e)(h)
 
 
75,990
 
  
93,145
 
 
 
 
 
 
  
243,931
Multiline Retail - 0.5%
 
 
 
 
  
 
Belk, Inc., TL 1L B 10/19
 
 
 
 
  
 
7.750% (6 Month US LIBOR + 6.750%), 07/31/2025 (a)
 
 
1,203,171
 
  
524,883
 
 
 
 
 
 
  
 
Oil, Gas & Consumable Fuels - 0.2%
 
 
 
 
  
 
Eagleclaw Midstream Ventures, TL 1L 05/17
 
 
 
 
  
 
5.250% (3 Month US LIBOR + 4.250%), 06/24/2024 (a)
 
 
220,862
 
  
170,431
Oryx Midstream Services, LLC, TL 1L B 04/19
 
 
 
 
  
 
4.161% (3 Month US LIBOR + 4.000%), 05/08/2026 (a)
 
 
10,945
 
  
9,723
 
 
 
 
 
 
  
180,154
Personal Products - 1.3%
 
 
 
 
  
 
Coty Inc., TL 1L A 04/18 USD
 
 
 
 
  
 
1.916% (1 Month US LIBOR + 1.500%), 04/05/2023 (a)
 
 
232,275
 
  
211,370
Coty Inc., TL 1L B 03/18 EUR
 
 
 
 
  
 
2.500% (1 Month EURIBOR + 2.500%), 04/05/2025 (a)
EUR
 
49,165
 
  
51,060
Coty Inc., TL 1L B 04/18 USD
 
 
 
 
  
 
2.416% (1 Month US LIBOR + 2.250%), 04/07/2025 (a)
 
 
1,153,596
 
  
1,000,745
Coty, Inc., TL 1L 04/18 EUR
 
 
 
 
  
 
1.750% (1 Month EuriBOR + 1.750%), 04/05/2023 (a)
EUR
 
107,840
 
  
113,692
 
 
 
 
 
 
  
1,376,867
Professional Services - 0.3%
 
 
 
 
  
 
SIRVA Worldwide, Inc., TL 1L 07/18
 
 
 
 
  
 
5.712% (3 Month US LIBOR + 5.500%), 08/04/2025 (a)
 
 
433,829
 
  
323,203
SIRVA Worldwide, Inc., TL 2L 07/18
 
 
 
 
  
 
9.810% (3 Month US LIBOR + 9.500%), 08/03/2026 (a)
 
 
59,000
 
  
37,170
 
 
 
 
 
 
  
360,373
Road & Rail - 2.3%
 
 
 
 
  
 
Kenan Advantage Group, Inc./The, TL 1L B1 07/15
 
 
 
 
  
 
4.000% (1 Month US LIBOR + 3.000%), 07/31/2022 (a)
 
 
1,979,158
 
  
1,840,617
Kenan Advantage Group, Inc./The, TL 1L B2 07/15 Canadian Borrower
 
 
 
 
  
 
4.000% (1 Month US LIBOR + 3.000%), 07/31/2022 (a)
 
 
470,646
 
  
437,701
Transplace, TL 2L 09/17
 
 
 
 
  
 
9.822% (6 Month US LIBOR + 8.750%), 10/06/2025 (a)
 
 
180,000
 
  
156,600
 
 
 
 
 
 
  
2,434,918


Software - 4.0%
 
 
 
 
  
 
Applied Systems, Inc., TL 2L 09/17
 
 
 
 
  
 
8.000% (3 Month US LIBOR + 7.000%), 09/19/2025 (a)
 
 
236,000
 
  
239,023
Gigamon, Inc., TL 1L 11/17
 
 
 
 
  
 
5.250% (6 Month US LIBOR + 4.500%), 12/27/2024 (a)
 
 
344,750
 
  
339,579
Misys Ltd., TL 1L 04/17
 
 
 
 
  
 
4.500% (6 Month US LIBOR + 3.500%), 06/13/2024 (a)
 
 
235,799
 
  
218,932
Misys Ltd., TL 2L 04/17
 
 
 
 
  
 
8.250% (6 Month US LIBOR + 7.250%), 06/16/2025 (a)
 
 
226,000
 
  
208,344
Syncsort, Inc., TL 1L B 10/19
 
 
 
 
  
 
7.000% (3 Month US LIBOR + 6.000%), 08/16/2024 (a)
 
 
214,920
 
  
210,454
Syncsort, Inc., TL 1L B 11/18
 
 
 
 
  
 
6.613% (3 Month US LIBOR + 6.250%), 08/16/2024 (a)
 
 
154,215
 
  
150,109
TIBCO Software Inc, TL 2L 02/20
 
 
 
 
  
 
7.430% (1 Month US LIBOR + 7.750%), 03/03/2028 (a)
 
 
1,243,520
 
  
1,199,996
Vertafore Inc., TL 2L 07/18
 
 
 
 
  
 
7.411% (1 Month US LIBOR + 7.250%), 07/02/2026 (a)(c)(d)
 
 
1,513,926
 
  
1,502,308
Vertafore, Inc., TL 1L 05/18
 
 
 
 
  
 
3.411% (1 Month US LIBOR + 3.250%), 06/04/2025 (a)(c)(d)
 
 
224,276
 
  
214,174
 
 
 
 
 
 
  
4,282,919
Specialty Retail - 0.4%
 
 
 
 
  
 
Jo-Ann Stores, Inc., TL 1L B 10/16
 
 
 
 
  
 
6.000% (6 Month US LIBOR + 5.000%), 10/20/2023 (a)
 
 
358,037
 
  
266,639
Talbots, Inc., TL 1L B 11/18
 
 
 
 
  
 
7.308% (3 Month US LIBOR + 7.000%), 11/28/2022 (a)
 
 
212,000
 
  
171,720
 
 
 
 
 
 
  
438,359
Technology Hardware, Storage, & Peripherals - 0.1%
 
 
 
 
  
 
Electronics For Imaging, Inc., TL 1L 06/19
 
 
 
 
  
 
5.161% (1 Month US LIBOR + 5.000%), 07/02/2026 (a)
 
 
154,718
 
  
118,746
 
 
 
 
 
 
  
 
Textiles, Apparel & Luxury Goods - 0.8%
 
 
 
 
  
 
Varsity Brands Holding Co, Inc., TL 1L 11/17
 
 
 
 
  
 
4.500% (1 Month US LIBOR + 3.500%), 12/16/2024 (a)
 
 
1,069,051
 
  
867,412
 
 
 
 
 
 
  
 
Transportation Infrastructure - 0.1%
 
 
 
 
  
 
Direct ChassisLink, Inc., TL 2L 04/19
 
 
 
 
  
 
8.518% (3 Month US LIBOR + 8.250%), 04/10/2026 (a)
 
 
155,000
 
  
133,300
TOTAL LEVERAGED LOANS (amortized cost $41,292,189)
 
 
 
 
  
40,158,454
 
 
 
 
 
 
  
 
High Yield Securities - 51.0%
 
 
 
 
  
 
Aerospace & Defense - 2.6%
 
 
 
 
  
 
Avolon Holdings Funding Ltd.
 
 
 
 
  
 
4.375%, 05/01/2026 (b)(f)
 
 
889,000
 
  
787,402
TransDigm, Inc.
 
 
 
 
  
 
6.500%, 07/15/2024
 
 
918,000
 
  
922,627
8.000%, 12/15/2025 (f)
 
 
963,000
 
  
1,048,225
 
 
 
 
 
 
  
2,758,254
Auto Components - 0.4%
 
 
 
 
  
 
BBB Industries, LLC
 
 
 
 
  
 
9.250%, 08/01/2025 (f)
 
 
425,000
 
  
406,937
 
 
 
 
 
 
  
 
Building Products - 0.7%
 
 
 
 
  
 
SRS Distribution, Inc.
 
 
 
 
  
 
8.250%, 07/01/2026 (f)
 
 
687,000
 
  
716,926
 
 
 
 
 
 
  
 
Chemicals - 0.1%
 
 
 
 
  
 
Cornerstone Chemical Co.
 
 
 
 
  
 
6.750%, 08/15/2024 (f)
 
 
168,000
 
  
155,172
WR Grace & Co-Conn
 
 
 
 
  
 
4.875%, 06/15/2027 (f)
 
 
72,000
 
  
76,857
 
 
 
 
 
 
  
232,029
Commercial Services & Supplies - 0.3%
 
 
 
 
  
 
Iron Mountain, Inc.
 
 
 
 
  
 
5.625%, 07/15/2032 (f)
 
 
79,000
 
  
84,934
5.250%, 07/15/2030 (f)
 
 
238,000
 
  
250,049
Multi-Color Corp
 
 
 
 
  
 
10.500%, 07/15/2027 (f)
 
 
858,000
 
  
938,978
6.750%, 07/15/2026 (f)
 
 
273,000
 
  
295,480
Vivint, Inc.
 
 
 
 
  
 
7.875%, 12/01/2022
 
 
541,000
 
  
546,743
7.625%, 09/01/2023
 
 
1,015,000
 
  
975,562
 
 
 
 
 
 
  
3,091,746
Construction & Engineering - 2.6%
 
 
 
 
  
 
Maxim Crane Works LP / Maxim Finance Corp.
 
 
 
 
  
 
10.125%, 08/01/2024 (f)
 
 
2,296,000
 
  
2,253,191
Mason Finance Sub, Inc.
 
 
 
 
  
 
6.125%, 06/15/2025 (f)
 
 
38,000
 
  
40,430
thyssenkrupp Elevator AG
 
 
 
 
  
 
5.250%, 07/15/2027 (b)(f)
 
 
414,000
 
  
439,875
 
 
 
 
 
 
  
2,733,496


Construction Materials - 0.4%
 
 
 
 
  
 
Cemex Materials LLC
 
 
 
 
  
 
7.700%, 07/21/2025 (f)
 
 
363,000
 
  
387,458
Plastipak Holdings, Inc.
 
 
 
 
  
 
6.250%, 10/15/2025 (f)
 
 
207,000
 
  
207,388
 
 
 
 
 
 
  
 
Diversified Consumer Services - 2.4%
 
 
 
 
  
 
Expedia Group Inc.
 
 
 
 
  
 
7.000%, 05/01/2025 (f)
 
 
254,000
 
  
275,307
6.250%, 05/01/2025 (f)
 
 
1,618,000
 
  
1,771,535
4.625%, 08/01/2027 (f)
 
 
502,000
 
  
516,515
 
 
 
 
 
 
  
2,563,357
Diversified Telecommunication Services - 1.9%
 
 
 
 
  
 
Zayo Group LLC
 
 
 
 
  
 
6.125%, 03/01/2028 (f)
 
 
1,972,000
 
  
2,037,017
 
 
 
 
 
 
  
 
Electronic Equipment, Instruments & Components - 3.7%
 
 
 
 
  
 
CommScope, Inc.
 
 
 
 
  
 
6.000%, 06/15/2025 (f)
 
 
706,000
 
  
722,344
8.250%, 03/01/2027 (f)
 
 
2,727,000
 
  
2,944,219
Sensata Technologies, Inc.
 
 
 
 
  
 
4.375%, 02/15/2030 (f)
 
 
230,000
 
  
246,381
 
 
 
 
 
 
  
3,912,944
Energy Equipment & Services - 0.1%
 
 
 
 
  
 
Transocean Inc.
 
 
 
 
  
 
7.250%, 11/01/2025 (f)
 
 
193,000
 
  
95,535
 
 
 
 
 
 
  
 
Entertainment - 0.3%
 
 
 
 
  
 
Live Nation Entertainment, Inc.
 
 
 
 
  
 
6.500%, 05/15/2027 (f)
 
 
333,000
 
  
358,401
 
 
 
 
 
 
  
 
Health Care Equipment & Supplies - 0.8%
 
 
 
 
  
 
Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics SA
 
 
 
 
  
 
7.375%, 06/01/2025 (f)
 
 
281,000
 
  
299,792
7.250%, 02/01/2028 (f)
 
 
534,000
 
  
559,699
 
 
 
 
 
 
  
859,491
Health Care Providers & Services - 1.8%
 
 
 
 
  
 
CHS/Community Health Systems, Inc.
 
 
 
 
  
 
8.000%, 03/15/2026 (f)
 
 
443,000
 
  
454,195
LifePoint Hospitals, Inc.
 
 
 
 
  
 
9.750%, 12/01/2026 (f)
 
 
295,000
 
  
328,439
Quorum Health Corp.
 
 
 
 
  
 
0.000%, 04/15/2023 (c)(d)(g)
 
 
212,000
 
  
30,453
Radiology Partners Inc.
 
 
 
 
  
 
9.250%, 02/01/2028 (f)
 
 
849,000
 
  
855,368
Team Health, Inc.
 
 
 
 
  
 
6.375%, 02/01/2025 (f)
 
 
210,000
 
  
122,850
Tenet Healthcare Corp.
 
 
 
 
  
 
4.625%, 06/15/2028 (f)
 
 
75,000
 
  
79,052
 
 
 
 
 
 
  
1,870,357
Health Care Technology - 0.4%
 
 
 
 
  
 
Verscend Holding Corp.
 
 
 
 
  
 
9.750%, 08/15/2026 (f)
 
 
386,000
 
  
428,504
 
 
 
 
 
 
  
 
Hotels, Restaurants & Leisure - 15.0%
 
 
 
 
  
 
Boyd Gaming Corp.
 
 
 
 
  
 
6.375%, 04/01/2026
 
 
663,000
 
  
678,839
6.000%, 08/15/2026
 
 
808,000
 
  
820,976
ClubCorp Club Operations, Inc.
 
 
 
 
  
 
8.500%, 09/15/2025 (f)
 
 
1,094,000
 
  
914,742
Diamond Resorts International, Inc.
 
 
 
 
  
 
10.750%, 09/01/2024 (f)
 
 
591,000
 
  
526,667
7.750%, 09/01/2023 (f)
 
 
1,330,000
 
  
1,294,243
Enterprise Development Authority/The
 
 
 
 
  
 
12.000%, 07/15/2024 (f)
 
 
1,252,000
 
  
1,241,176
Marriott International Inc
 
 
 
 
  
 
5.750%, 05/01/2025 (c)(d)
 
 
1,914,000
 
  
2,126,751
Marriott International Inc/MD
 
 
 
 
  
 
4.625%, 06/15/2030 (c)(d)
 
 
13,000
 
  
13,963
Marriott Ownership Resorts, Inc.
 
 
 
 
  
 
6.125%, 09/15/2025 (f)
 
 
426,000
 
  
456,321
Merlin Entertainments PLC
 
 
 
 
  
 
7.000%, 06//2026 (b)(f)
EUR
 
783,000
 
  
950,008
5.750%, 06/15/2026 (b)(f)
 
 
690,000
 
  
657,956
6.625%, 11/15/2027 (b)(f)
 
 
1,267,000
 
  
1,094,739
Powdr Corp.
 
 
 
 
  
 
6.000%, 08/01/2025 (f)
 
 
443,000
 
  
454,629
Six Flags Entertainment Corp.
 
 
 
 
  
 
4.875%, 07/31/2024 (f)
 
 
86,000
 
  
81,823
7.000%, 07/01/2025 (f)
 
 
653,000
 
  
702,239


Station Casinos LLC
 
 
 
 
  
 
5.000%, 10/01/2025 (f)
 
 
1,442,000
 
  
1,368,999
4.500%, 02/15/2028 (f)
 
 
1,246,000
 
  
1,119,064
Vail Resorts, Inc.
 
 
 
 
  
 
6.250%, 05/15/2025 (f)
 
 
319,000
 
  
344,121
Viking Cruises Ltd.
 
 
 
 
  
 
13.000%, 05/15/2025 (f)
 
 
592,000
 
  
646,568
Wyndham Hotels & Resorts, Inc.
 
 
 
 
  
 
5.375%, 04/15/2026 (f)
 
 
40,000
 
  
40,916
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
 
 
 
 
  
 
7.750%, 04/15/2025 (f)
 
 
239,000
 
  
251,360
 
 
 
 
 
 
  
15,786,100
Insurance - 2.7%
 
 
 
 
  
 
Hub International Ltd.
 
 
 
 
  
 
7.000%, 05/01/2026 (f)
 
 
750,000
 
  
786,379
National Financial Partners Corp
 
 
 
 
  
 
7.000%, 05/15/2025 (f)
 
 
69,000
 
  
74,994
6.875%, 08/15/2028 (f)
 
 
346,000
 
  
348,163
NMI Holdings, Inc.
 
 
 
 
  
 
7.375%, 06/01/2025 (f)
 
 
40,000
 
  
43,542
Radian Group, Inc.
 
 
 
 
  
 
6.625%, 03/15/2025
 
 
709,000
 
  
757,761
 
 
 
 
 
 
  
 
IT Services - 0.3%
 
 
 
 
  
 
Dun & Bradstreet Corp./The
 
 
 
 
  
 
10.250%, 02/15/2027 (f)
 
 
56,000
 
  
63,714
Sabre, Inc.
 
 
 
 
  
 
5.375%, 04/15/2023 (f)
 
 
535,000
 
  
526,363
9.250%, 04/15/2025 (f)
 
 
193,000
 
  
212,903
 
 
 
 
 
 
  
2,813,819
Machinery - 0.5%
 
 
 
 
  
 
Cleaver-Brooks, Inc.
 
 
 
 
  
 
7.875%, 03/01/2023 (f)
 
 
235,000
 
  
225,869
Hillenbrand, Inc.
 
 
 
 
  
 
5.750%, 06/15/2025
 
 
124,000
 
  
133,533
Welbilt, Inc. (Manitowoc Foodservice, Inc.)
 
 
 
 
  
 
9.500%, 02/15/2024
 
 
155,000
 
  
147,250
 
 
 
 
 
 
  
506,652
Media - 0.9%
 
 
 
 
  
 
Intelsat Jackson Holdings SA
 
 
 
 
  
 
0.000%, 08/01/2023 (b)(g)
 
 
207,000
 
  
130,156
Outfront Media Capital LLC / Outfront Media Capital Corp.
 
 
 
 
  
 
4.625%, 03/15/2030 (f)
 
 
822,000
 
  
769,598
 
 
 
 
 
 
  
899,754
Multiline Retail - 0.0%
 
 
 
 
  
 
JC Penney Corp, Inc.
 
 
 
 
  
 
8.625%, 03/15/2025 (c)(d)(f)
 
 
98,000
 
  
1,960
 
 
 
 
 
 
  
 
Oil, Gas & Consumable Fuels - 6.1%
 
 
 
 
  
 
Global Partners LP / GLP Finance Corp
 
 
 
 
  
 
7.000%, 08/01/2027
 
 
414,000
 
  
401,760
Indigo Natural Resources, LLC
 
 
 
 
  
 
6.875%, 02/15/2026 (f)
 
 
1,010,000
 
  
976,513
Parsley Energy, Inc.
 
 
 
 
  
 
5.625%, 10/15/2027 (f)
 
 
166,000
 
  
174,196
5.375%, 01/15/2025 (f)
 
 
1,084,000
 
  
1,119,567
PBF Holding Co. LLC / PBF Finance Corp.
 
 
 
 
  
 
6.000%, 02/15/2028 (f)
 
 
110,000
 
  
88,756
Plains All American Pipeline LP
 
 
 
 
  
 
3.800%, 09/15/2030
 
 
9,000
 
  
9,021
Rockies Express Pipeline LLC
 
 
 
 
  
 
4.800%, 05/15/2030 (f)
 
 
31,000
 
  
29,624
3.600%, 05/15/2025 (f)
 
 
533,000
 
  
519,342
Sunoco LP
 
 
 
 
  
 
4.875%, 01/15/2023
 
 
33,000
 
  
33,657
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
 
 
 
 
  
 
6.000%, 03/01/2027 (f)
 
 
211,000
 
  
192,221
4.750%, 10/01/2023 (f)
 
 
1,559,000
 
  
1,507,374
Viper Energy Partners LP
 
 
 
 
  
 
5.375%, 11/01/2027 (f)
 
 
1,081,000
 
  
1,126,066
WPX Energy, Inc.
 
 
 
 
  
 
5.250%, 10/15/2027
 
 
275,000
 
  
271,684
 
 
 
 
 
 
  
6,449,781
Road & Rail - 0.7%
 
 
 
 
  
 
Kenan Advantage Group, Inc./The
 
 
 
 
  
 
7.875%, 07/31/2023 (f)
 
 
760,000
 
  
694,370
 
 
 
 
 
 
  
 
Software - 2.2%
 
 
 
 
  
 
Solera Holdings, Inc.
 
 
 
 
  
 
10.500%, 03/01/2024 (f)
 
 
2,226,000
 
  
2,357,891
 
 
 
 
 
 
  
 


Textiles, Apparel & Luxury Goods - 0.9%
 
 
 
 
  
 
Lycra
 
 
 
 
  
 
5.375%, 05/01/2023 (b)(f)
EUR
 
736,000
 
  
572,203
7.500%, 05/01/2025 (b)(f)
 
 
335,000
 
  
236,175
Varsity Brands, Inc.
 
 
 
 
  
 
9.000% (3 Month US LIBOR + 8.000%), 12/22/2024 (a)(c)(d)(f)
 
 
203,000
 
  
193,358
 
 
 
 
 
 
  
1,001,736
Trading Companies and Distributors - 0.6%
 
 
 
 
  
 
Neon Holdings, Inc.
 
 
 
 
  
 
10.125%, 04/01/2026 (f)
 
 
555,000
 
  
566,100
TruckPro LLC
 
 
 
 
  
 
11.000%, 10/15/2024 (f)
 
 
58,000
 
  
57,130
 
 
 
 
 
 
  
623,230
TOTAL HIGH YIELD SECURITIES (amortized cost $51,259,051)
 
 
 
 
  
53,795,133
 
 
 
 
 
  
 
Collateralized Loan Obligations - 1.2%
 
 
 
 
  
 
Diversified Financial Services - 1.2%
 
 
 
 
  
 
TICP CLO Ltd., TICP 2017-9A E
 
 
 
 
  
 
5.872% (3 Month US LIBOR + 5.600%), 01/20/2031 (a)(e)(f)
 
 
738,460
 
  
635,928
TRESTLES CLO, LLC, TREST 2017-1A D
 
 
 
 
  
 
6.925% (3 Month US LIBOR + 6.680%), 07/25/2029 (a)(e)(f)
 
 
693,640
 
  
643,638
TOTAL COLLATERALIZED LOAN OBLIGATIONS (amortized cost $1,216,586)
 
 
 
 
  
1,279,566
 
 
 
 
 
  
 
Common Stocks - 0.5%
 
 
 
 
  
 
Hotels, Restaurants & Leisure - 0.4%
 
 
 
 
  
 
Six Flags Entertainment Corp.
 
 
10,937
 
  
190,194
VICI Properties, Inc.
 
 
10,112
 
  
219,532
 
 
 
 
 
 
  
409,726
Metals & Mining - 0.1%
 
 
 
 
  
 
Foresight Energy LLC(c)(d)(e)(g)
 
 
9,630
 
  
106,613
TOTAL COMMON STOCKS (cost $563,108)
 
 
 
 
  
516,339
 
 
 
 
 
  
 
TOTAL INVESTMENTS (cost $94,330,934) (i) - 90.7%
 
 
 
 
  
95,749,492
ASSETS IN EXCESS OF LIABILITIES, NET - 9.3%
 
 
 
 
  
9,782,615
NET ASSETS - 100.0%
 
 
 
 
 $
        105,532,107
 
 
 
 
 
 
 
  
 
†
In U.S. Dollars unless otherwise indicated.
 
 
 
 
  
 
EUR
Euro
 
 
 
 
  
 
TL
Term Loan
 
 
 
 
  
 
(a)
Variable rate security, the coupon rate shown is the effective rate as of July 31, 2020.
 
  
 
(b)
Non-U.S. security.
 
 
 
 
  
 
(c)
Security considered restricted due to the Adviser's knowledge of material non-public information. The total value
 
of these securities as of July 31, 2020 was $4,433,511 and represented 4.2% of net assets.
 
  
 
(d)
Security considered illiquid, as defined by the Securities and Exchange Commission.  The total value of these
 
securities as of July 31, 2020 was $4,934,724 and represented 4.7% of net assets.
 
 
  
 
(e)
Value determined using significant unobservable inputs.
 
 
 
 
  
 
(f)
Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended.  These
 
securities may only be resold to qualified institutional buyers in transactions exempt from registration.  The total
 
value of these securities as of July 31, 2020 was $47,073,963, which represent 44.6% of net assets.
 
  
 
(g)
Non-income producing security.
 
 
 
 
  
 
(h)
Represents a payment-in-kind ("PIK") security which may pay interest/dividend in additional par/shares.
 
  
 
(i)
All investments are held as collateral for the Fund’s credit facility.
 
 
 
 
  
 

 
The following are the details of the restricted securities held by the Fund:
                                

 
Issuer (1)
Par/Shares
  
Acquisition date(s)
  
Amortized Cost
  
Value
  
% of Net
Assets
 
Foresight Energy, LLC Common Stock
             9,630
 
06/30/20
  
              106,613
 
            106,613
 
0.1%
 
Foresight Energy, LLC
         150,786
 
06/30/20
  
              150,786
 
            150,786
 
0.2%
 
Foresight Energy, LLC
           75,990
 
06/30/20
  
                92,838
 
              93,146
 
0.1%
 
JC Penney Corp., Inc.
           98,000
 
02/28/20
  
                56,835
 
               1,960
 
0.0%
 
Marriott International, Inc.
       1,914,000
 
4/14/20 - 5/6/20
  
           2,000,627
 
         2,126,751
 
2.0%
 
Marriott International, Inc.
           13,000
 
05/28/20
  
                12,919
 
              13,963
 
0.0%
 
Quorum
         212,000
  
02/28/20
  
              182,078
 
              30,453
 
0.0%
 
Varsity Brands, Inc.
         203,000
 
06/11/20
  
              197,013
 
            193,358
 
0.2%
 
Vertafore, Inc.
       1,513,926
 
2/28/20 - 5/4/20
  
           1,493,222
 
         1,502,307
 
1.4%
 
Vertafore, Inc.
         224,276
 
2/28/20 - 3/24/20
  
              184,354
 
            214,174
 
0.2%
  (1) Refer to the Schedule of Investments for more details on securities listed.                

The following table represents the Fund's investments categorized by country of risk as of July 31, 2020:

 
Country:
% of Net Assets
                
 
United States
83.8%
                
 
United Kingdom
2.6%
                
 
France
1.1%
                
 
Netherlands
0.8%
                
 
Ireland
0.8%
                
 
Spain
0.6%
                
 
Luxembourg
0.5%
                
 
Germany
0.4%
                
 
Sweden
0.1%
                
   
90.7%
                
 
Assets in Excess of Liabilities
9.3%
                
   
100.0%
                


The following table presents information about the Fund's assets measured on a recurring basis as of July 31, 2020 and indicates the fair value hierarchy of the inputs utilized by the Fund to determine such fair value:
          

Investments in Securities
  
Level 1
  
Level 2
  
Level 3
  
Total
  
Leveraged Loans
        
39,413,310
    
745,144
    
40,158,454
  
High Yield Securities
        
53,795,133
          
53,795,133
  
Collateralized Loan Obligations
              
1,279,566
    
1,279,566
  
Common Stocks
    
409,726
          
106,613
    
516,339
  
Cash and cash equivalents
    
10,543,515
                
10,543,515
  
Total Investments in securities and cash equivalents
    
10,953,241
    
93,208,443
    
2,131,323
    
106,293,007
  


The following is a reconciliation of the investments in which significant unobservable inputs (level 3) were used in determining value.
                          

   
Leveraged Loans
    
Collateralized Loan
Obligations
    
Common Stocks
  
Balance at February 28, 2020
  
$
-
    
$
-
    
$
-
  
Purchases
    
757,232
      
1,199,997
      
106,613
  
Sales and paydowns
    
(2,210
)
    
-
      
-
  
Settlements
    
951
      
16,589
      
-
  
Net change in appreciation/(depreciation)
    
(11,475
)
    
62,980
      
-
  
Net realized gain/(loss)
    
647
      
-
      
-
  
Balance as of July 31, 2020
  
$
745,144
    
$
1,279,566
    
$
106,613
  
                         
Net change in appreciation/(depreciation) on investments held at July 31, 2020
  
$
(11,475
)
  
$
62,980
    
$
-
  

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of July 31, 2020:
          

Financial
  Asset
Fair Value
Valuation
Technique(1)
Unobservable
Inputs (2)
Range
(Weighted Average)(3)
Leveraged Loans
 $
  745,144  
Yield Analysis
  
Yield
  
9% - 12% (11%)
           
EBITDA Multiple
2.5x -7.0x (5.5x)
           
Net Leverage
  
0.6x - 6.6x (4.4x)
Collateralized Loan Obligations
 $
  1,279,566  
Yield analysis
  
Discount margin
8%
       
Discounted cash flows
Probability of default
2%
           
Constant prepayment rate
20%
Common Stocks
 $
  106,613  
Market Comparables
FWD EBITDA Multple
2.5
           
Illiquidity Discount
10%

(1)
For the assets that have more than one valuation technique, the Fund may rely on the techniques individually or in aggregate based on a weight ascribed to each one ranging from 0-100%. When determining the weighting ascribed to each valuation methodology, the Fund considers, among other factors, the availability of direct market comparables, the applicability of a discounted cash flow analysis and the expected hold period and manner of realization for the investment. These factors can result in different weightings among the investments and in certain instances, may result in up to a 100% weighting to a single methodology.
(2)
The significant unobservable inputs used in the fair value measurement of the Fund’s assets and liabilities may include the last twelve months (“LTM”) EBITDA multiple, weighted average cost of capital, discount margin, probability of default, loss severity and constant prepayment rate. In determining certain of these inputs, management evaluates a variety of factors including economic, industry and market trends and developments, market valuations of comparable companies, and company specific developments including potential exit strategies and realization opportunities.
(3)
Weighted average amounts are based on the estimated fair values.