NPORT-EX 2 kcop_partf.htm KCOP PART F

KKR Credit Opportunities Portfolio
 
 
 
 
 
  
July 31, 2021
 
 
 
 
 
 
 
 
 
  
(Unaudited)
Schedule of Investments
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
Par†
 
  
Value
Leveraged Loans - 67.2%
 
 
 
 
 
 
 
 
  
 
Aerospace & Defense - 3.7%
 
 
 
 
 
 
 
 
  
 
EaglePicher Technologies, LLC, TL 2L 02/18
 
 
 
 
 
 
 
 
  
 
7.342% (1 month US LIBOR + 7.250%), 03/08/2026 (a)
 
 
 
 
 
 
           2,506,459
 
 $
 2,461,819
Sequa Corp., TL 1L 07/20
 
 
 
 
 
 
 
 
  
 
11.750% (3 month US LIBOR + 10.750%), 04/28/2024 (a)
 
 
 
 
 
 
3,931,985
 
  
3,880,398
Sequa Corp., TL 1L B 06/20 Add-on
 
 
 
 
 
 
 
 
  
 
10.000% (3 month US LIBOR + 10.750%), 7/31/2025 (a)(d)(e)
 
 
 
 
 
 
396,887
 
  
418,511
Sequa Corp., TL 1L B 06/20 Add-on
 
 
 
 
 
 
 
 
  
 
7.750% (3 month US LIBOR + 6.750%), 11/28/2023 (a)
 
 
 
 
 
 
7,000,572
 
  
7,102,675
 
 
 
 
 
 
 
 
 
 
  
13,863,403
Auto Components - 4.2%
 
 
 
 
 
 
 
 
  
 
American Tire Distributors, Inc., TL 1L 04/15
 
 
 
 
 
 
 
 
  
 
8.500% (1 month US LIBOR + 7.500%), 09/02/2024 (a)
 
 
 
 
 
 
8,192,949
 
  
8,211,957
BBB Industries LLC, TL 1L 06/18
 
 
 
 
 
 
 
 
  
 
4.592% (1 month US LIBOR + 4.500%), 08/01/2025 (a)
 
 
 
 
 
 
4,968,356
 
  
4,944,135
Innovative XCessories & Services, TL 1L 02/20
 
 
 
 
 
 
 
 
  
 
5.000% (3 month US LIBOR + 4.250%), 03/05/2027 (a)
 
 
 
 
 
 
1,245,416
 
  
1,251,257
Rough Country LLC, TL 2L 07/21
 
 
 
 
 
 
 
 
  
 
7.500% (3 month US LIBOR + 6.750), 07/26/2029 (a)
 
 
 
 
 
 
861,230
 
  
862,307
Truck Hero, Inc., TL 1L 01/21
 
 
 
 
 
 
 
 
  
 
4.500% (1 month US LIBOR + 3.750%), 01/31/2028 (a)
 
 
 
 
 
 
549,754
 
  
548,759
 
 
 
 
 
 
 
 
 
 
  
15,818,415
Building Products - 1.1%
 
 
 
 
 
 
 
 
  
 
VC GB Holdings Inc., TL 2L 06/21
 
 
 
 
 
 
 
 
  
 
7.250% (1 month US LIBOR + 6.750%), 06/30/2029 (a)
 
 
 
 
 
 
4,110,401
 
  
4,172,057
 
 
 
 
 
 
 
 
 
 
  
 
Chemicals - 5.9%
 
 
 
 
 
 
 
 
  
 
Aruba Investments, Inc., TL 2L 10/20
 
 
 
 
 
 
 
 
  
 
8.500% (6 month US LIBOR + 7.750%), 11/24/2028 (a)
 
 
 
 
 
 
465,220
 
  
469,872
Flint Group GmbH, TL 1L B 04/14
 
 
 
 
 
 
 
 
  
 
0.750% (3 month EURIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
EUR
 
5,113,458
 
  
6,038,592
Flint Group GmbH, TL 1L B4 11/15
 
 
 
 
 
 
 
 
  
 
0.750% (3 month EURIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
EUR
 
907,912
 
  
1,072,172
Flint Group GmbH, TL 1L B5 02/17
 
 
 
 
 
 
 
 
  
 
0.750% (3 month EURIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
EUR
 
665,953
 
  
786,438
Flint Group GmbH, TL 1L B3 05/15
 
 
 
 
 
 
 
 
  
 
0.750% (3 month EURIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
EUR
 
104,851
 
  
123,820
Flint Group GmbH, TL 1L B6 03/17
 
 
 
 
 
 
 
 
  
 
0.750% (3 month EURIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
EUR
 
52,331
 
  
61,799
Flint Group GmbH, TL 1L B7 04/14
 
 
 
 
 
 
 
 
  
 
0.750% (3 month EURIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
EUR
 
116,093
 
  
137,097
Flint Group GmbH, TL 1L C 04/14
 
 
 
 
 
 
 
 
  
 
0.750% (3 month US LIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
 
 
283,282
 
  
282,221
Flint Group GmbH, TL 1L 01/17
 
 
 
 
 
 
 
 
  
 
0.750% (3 month US LIBOR + 4.250%), 09/21/2023 (a)(b)(h)
 
 
 
 
 
 
1,706,344
 
  
1,699,954
Invictus, TL 2L 01/18
 
 
 
 
 
 
 
 
  
 
6.842% (1 month US LIBOR + 6.750%), 03/30/2026 (a)
 
 
 
 
 
 
35,559
 
  
35,565
Vantage Specialty Chemicals, Inc., TL 1L B 10/17
 
 
 
 
 
 
 
 
  
 
4.500% (3 month US LIBOR + 3.500%), 10/26/2024 (a)
 
 
 
 
 
 
894,450
 
  
866,409
Vantage Specialty Chemicals, Inc., TL 2L 10/17
 
 
 
 
 
 
 
 
  
 
9.250% (3 month US LIBOR + 8.250%), 10/27/2025 (a)
 
 
 
 
 
 
11,189,313
 
  
10,928,266
 
 
 
 
 
 
 
 
 
 
  
22,502,205
Commercial Services & Supplies - 1.6%
 
 
 
 
 
 
 
 
  
 
Access CIG, LLC, TL 2L 02/18
 
 
 
 
 
 
 
 
  
 
7.842% (1 month US LIBOR + 7.750%), 02/27/2026 (a)
 
 
 
 
 
 
143,000
 
  
142,822
Monitronics International, Inc., TL 1L EXIT 08/19
 
 
 
 
 
 
 
 
  
 
7.750% (1 month US LIBOR + 6.500%), 03/29/2024 (a)
 
 
 
 
 
 
534,835
 
  
515,982
VFS Global Services Pvt Ltd., TL 1L B 06/17 GBP
 
 
 
 
 
 
 
 
  
 
4.114% (3 month LIBOR GBP + 4.000%), 07/29/2024 (a)(b)
 
 
 
 
GBP
 
1,360,050
 
  
1,810,920
VFS Global Services Pvt Ltd., TL 1L B 06/17 EUR
 
 
 
 
 
 
 
 
  
 
3.250% (6 month EURIBOR + 3.250%), 07/29/2024 (a)(b)
 
 
 
 
EUR
 
1,159,720
 
  
1,316,821
Viad Corp., TL 1L B 07/21
 
 
 
 
 
 
 
 
  
 
5.500% (3 month US LIBOR + 3.500%), 07/27/2028 (a)
 
 
 
 
 
 
2,495,660
 
  
2,470,703
 
 
 
 
 
 
 
 
 
 
  
6,257,248
Construction & Engineering - 4.2%
 
 
 
 
 
 
 
 
  
 
Brand Energy & Infrastructure Services, Inc., TL 1L 05/17
 
 
 
 
 
 
 
 
  
 
5.250% (3 month US LIBOR + 4.250%), 06/21/2024 (a)
 
 
 
 
 
 
1,069,834
 
 $
 1,052,203
Total Safety US, Inc., TL 1L B 07/19
 
 
 
 
 
 
 
 
  
 
7.000% (3 month US LIBOR + 6.000%), 08/16/2025 (a)
 
 
 
 
 
 
5,520,138
 
  
5,538,355
USIC Holdings, Inc., TL 2L 05/21
 
 
 
 
 
 
 
 
  
 
7.250% (1 month US LIBOR + 6.500%), 05/07/2029 (a)
 
 
 
 
 
 
2,682,939
 
  
2,721,506
Yak Access, LLC, TL 1L B 05/18
 
 
 
 
 
 
 
 
  
 
5.092% (1 month US LIBOR + 5.000%), 07/11/2025 (a)
 
 
 
 
 
 
7,109,484
 
  
6,562,303
 
 
 
 
 
 
 
 
 
 
  
15,874,367
Containers & Packaging - 0.7%
 
 
 
 
 
 
 
 
  
 
Anchor Glass Container Corp., TL 1L 07/17
 
 
 
 
 
 
 
 
  
 
3.750% (3 month US LIBOR + 2.750%), 12/07/2023 (a)
 
 
 
 
 
 
2,770,138
 
  
        2,584,417
 
 
 
 
 
 
 
 
 
 
  
 
Distributors - 0.1%
 
 
 
 
 
 
 
 
  
 
Distribution International, Inc., TL 1L 06/19
 
 
 
 
 
 
 
 
  
 
6.750% (3 month US LIBOR + 5.750%), 12/15/2023 (a)
 
 
 
 
 
 
448,141
 
  
433,576
 
 
 
 
 
 
 
 
 
 
  
 
Diversified Consumer Services - 2.8%
 
 
 
 
 
 
 
 
  
 
Jostens, Inc., TL 1L 12/18
 
 
 
 
 
 
 
 
  
 
5.685% (3 month US LIBOR + 5.500%), 12/19/2025 (a)
 
 
 
 
 
 
6,936,803
 
  
6,968,552
KinderCare Education LLC, TL 1L B 09/18
 
 
 
 
 
 
 
 
  
 
4.750% (3 month US LIBOR + 3.750%), 02/21/2025 (a)
 
 
 
 
 
 
2,634,430
 
  
2,585,219
Learning Care Group Inc., TL 1L B 05/20
 
 
 
 
 
 
 
 
  
 
9.500% (6 month US LIBOR + 8.500%), 03/13/2025 (a)(d)
 
 
 
 
 
 
279,041
 
  
281,832
Learning Care Group Inc., TL 2L 03/18
 
 
 
 
 
 
 
 
  
 
8.500%, (6 month US LIBOR + 7.500%), 03/13/2026 (a)
 
 
 
 
 
 
194,997
 
  
193,697
Learning Care Group Inc., TL 1L B 02/18
 
 
 
 
 
 
 
 
  
 
4.250% (3 month US LIBOR + 3.250%), 03/13/2025 (a)
 
 
 
 
 
 
809,168
 
  
792,224
 
 
 
 
 
 
 
 
 
 
  
10,821,524
Electronic Equipment, Instruments & Components - 1.0%
 
 
 
 
 
 
 
 
  
 
Excelitas Technologies Corp., TL 2L 10/17
 
 
 
 
 
 
 
 
  
 
8.500% (3 month US LIBOR + 7.500%), 12/01/2025 (a)
 
 
 
 
 
 
3,690,005
 
  
3,691,149
 
 
 
 
 
 
 
 
 
 
  
 
Energy Equipment & Services - 0.7%
 
 
 
 
 
 
 
 
  
 
Caprock Midstream, LLC, TL 1L B 10/18
 
 
 
 
 
 
 
 
  
 
4.842% (1 month US LIBOR + 4.750%), 11/03/2025 (a)
 
 
 
 
 
 
2,429,161
 
  
2,392,723
ChampionX Corp., TL 1L B 05/20
 
 
 
 
 
 
 
 
  
 
6.000% (6 month US LIBOR + 5.000%), 06/03/2027 (a)
 
 
 
 
 
 
78,736
 
  
80,262
 
 
 
 
 
 
 
 
 
 
  
2,472,985
Entertainment - 0.3%
 
 
 
 
 
 
 
 
  
 
Cast & Crew Entertainment, TL 1L 01/19
 
 
 
 
 
 
 
 
  
 
3.868% (1 month US LIBOR + 3.750%), 02/09/2026 (a)
 
 
 
 
 
 
1,051,900
 
  
1,046,077
 
 
 
 
 
 
 
 
 
 
  
 
Food Products - 0.2%
 
 
 
 
 
 
 
 
  
 
CSM Bakery Products TL 2L 07/13 08.750% 02/04/2022 (a)(c)
 
 
 
 
 
 
786,923
 
  
782,336
 
 
 
 
 
 
 
 
 
 
  
 
Health Care Equipment & Supplies - 3.2%
 
 
 
 
 
 
 
 
  
 
Drive DeVilbiss Healthcare LLC, TL 1L 03/21
 
 
 
 
 
 
 
 
  
 
10.500% (3 month US LIBOR + 5.500%), 06/01/2025 (a)
 
 
 
 
 
 
5,492,854
 
  
5,273,140
Orchid Orthopedic Solutions LLC, TL 1L 02/19
 
 
 
 
 
 
 
 
  
 
4.618% (3 month US LIBOR + 4.500%), 03/05/2026 (a)
 
 
 
 
 
 
7,019,811
 
  
6,747,793
 
 
 
 
 
 
 
 
 
 
  
12,020,933
Health Care Providers & Services - 1.3%
 
 
 
 
 
 
 
 
  
 
Affordable Care Inc., TL 1L 10/15
 
 
 
 
 
 
 
 
  
 
5.750% (3 month US LIBOR + 4.750%), 10/24/2022 (a)(c)
 
 
 
 
 
 
4,982,314
 
  
4,907,579
Paradigm Acquisition Corp, TL 2L 10/18 LC
 
 
 
 
 
 
 
 
  
 
7.647%, (3 month US LIBOR + 7.500%), 10/26/2026 (a)
 
 
 
 
 
 
11,538
 
  
11,272
 
 
 
 
 
 
 
 
 
 
  
4,918,851
Hotels, Restaurants & Leisure - 3.8%
 
 
 
 
 
 
 
 
  
 
Aimbridge Acquisition Co, Inc., TL 1L B 10/19
 
 
 
 
 
 
 
 
  
 
3.842% (1 month US LIBOR + 3.750%), 02/02/2026 (a)
 
 
 
 
 
 
4,222,730
 
  
4,093,409
ASM Global, TL 1L 01/20
 
 
 
 
 
 
 
 
  
 
2.618% (1 month US LIBOR + 2.500%), 01/23/2025 (a)
 
 
 
 
 
 
82,442
 
  
77,496
B&B Hotels SAS, TL 1L B3A 01/20 EUR
 
 
 
 
 
 
 
 
  
 
3.875% (6 month EURIBOR + 3.875%), 07/31/2026 (a)(b)
 
 
 
 
EUR
 
1,886,660
 
  
2,138,889
B&B HOTELS SAS, TL 1L B4 03/21 EUR
 
 
 
 
 
 
 
 
  
 
5.500% (6 month EURIBOR + 5.500%), 07/30/2026 (a)(b)
 
 
 
 
EUR
 
337,480
 
  
397,711
ClubCorp Club Operations, Inc., TL 1L B 08/17
 
 
 
 
 
 
 
 
  
 
2.897% (3 month US LIBOR + 2.750%), 09/18/2024 (a)
 
 
 
 
 
 
1,015,671
 
  
962,928
Life Time Fitness Inc., TL 1L 01/21
 
 
 
 
 
 
 
 
  
 
5.750% (3 month US LIBOR + 4.750%), 12/10/2024 (a)
 
 
 
 
 
 
1,051,765
 
  
1,052,427
Piolin BidCo SAU, TL 1L B 05/20 EUR
 
 
 
 
 
 
 
 
  
 
7.500% (3 month EURIBOR + 7.500%), 09/16/2026 (a)(b)
 
 
 
 
EUR
 
539,891
 
  
643,515
United PF Holdings LLC, TL 1L 06/20
 
 
 
 
 
 
 
 
  
 
9.500% (3 month US LIBOR + 8.500%), 12/30/2026 (a)
 
 
 
 
 
 
56,558
 
  
56,982
United PF Holdings LLC, TL 1L 01/20
 
 
 
 
 
 
 
 
  
 
4.118% (3 month US LIBOR + 4.000%), 12/30/2026 (a)
 
 
 
 
 
 
5,095,780
 
  
4,898,318
 
 
 
 
 
 
 
 
 
 
  
14,321,675
Household Products - 3.3%
 
 
 
 
 
 
 
 
  
 
Polyconcept North America Holdings, Inc., TL 1L B 08/16
 
 
 
 
 
 
 
 
  
 
5.500% (6 month US LIBOR +4.500%), 08/16/2023 (a)
 
 
 
 
 
 
13,069,576
 
 $
 12,606,717
 
 
 
 
 
 
 
 
 
 
  
 
Industrial Conglomerates - 0.2%
 
 
 
 
 
 
 
 
  
 
Unifrax I LLC / Unifrax Holding Co., TL 1L B 10/18 USD
 
 
 
 
 
 
 
 
  
 
3.868% (3 month US LIBOR +3.750%), 12/12/2025 (a)
 
 
 
 
 
 
739,676
 
  
727,656
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
 
  
28,791
 
 
 
 
 
 
 
 
 
 
  
756,447
IT Services - 1.7%
 
 
 
 
 
 
 
 
  
 
CoreLogic Inc., TL 2L 06/21
 
 
 
 
 
 
 
 
  
 
7.000% (1 month US LIBOR +6.500%), 06/04/2029 (a)
 
 
 
 
 
 
748,332
 
  
           757,686
PSAV Inc., TL 1L B1 12/20
 
 
 
 
 
 
 
 
  
 
4.500% (6 month US LIBOR +3.250%), 03/03/2025 (a)
 
 
 
 
 
 
4,447,442
 
  
3,996,449
PSAV, Inc., TL 1L B3 12/20
 
 
 
 
 
 
 
 
  
 
15.000%, 10/15/2026 (h)
 
 
 
 
 
 
567,932
 
  
676,691
PSAV, Inc., TL 2L 02/18
 
 
 
 
 
 
 
 
  
 
8.250%, (3 month US LIBOR +7.250%), 09/01/2025 (a)
 
 
 
 
 
 
1,403,630
 
  
1,098,340
 
 
 
 
 
 
 
 
 
 
  
6,529,166
Leisure Products - 2.9%
 
 
 
 
 
 
 
 
  
 
Areas Worldwide SASU, TL 1L B1 06/19
 
 
 
 
 
 
 
 
  
 
4.750% (6 month EURIBOR +4.750%), 07/01/2026 (a)(b)
 
 
 
 
EUR
 
10,328,214
 
  
10,973,091
 
 
 
 
 
 
 
 
 
 
  
 
Life Sciences Tools & Services - 1.5%
 
 
 
 
 
 
 
 
  
 
PAREXEL International Corp, TL 2L 07/21
 
 
 
 
 
 
 
 
  
 
7.000% (3 month US LIBOR + 6.500%), 07/27/2029 (a)(d)(e)
 
 
 
 
 
 
5,766,010
 
  
5,650,690
 
 
 
 
 
 
 
 
 
 
  
 
Machinery - 2.4%
 
 
 
 
 
 
 
 
  
 
Accuride Corp., TL 1L B 10/17
 
 
 
 
 
 
 
 
  
 
6.250% (3 month US LIBOR +5.250%), 11/17/2023 (a)
 
 
 
 
 
 
6,853,532
 
  
6,585,524
CPM Holdings, Inc., TL 2L 10/18
 
 
 
 
 
 
 
 
  
 
8.350% (1 month US LIBOR +8.250%), 11/16/2026 (a)
 
 
 
 
 
 
371,172
 
  
368,080
WireCo WorldGroup, Inc., TL 1L 07/16
 
 
 
 
 
 
 
 
  
 
6.000% (6 month US LIBOR +5.000%), 09/29/2023 (a)
 
 
 
 
 
 
2,108,769
 
  
2,111,784
 
 
 
 
 
 
 
 
 
 
  
9,065,388
Media - 3.0%
 
 
 
 
 
 
 
 
  
 
NEP Broadcasting, LLC, TL 1L 05/20
 
 
 
 
 
 
 
 
  
 
9.250% (3 month US LIBOR +8.250%), 06/01/2025 (a)(d)(e)
 
 
 
 
 
 
152,691
 
  
157,272
NEP Broadcasting, LLC, TL 2L 09/18
 
 
 
 
 
 
 
 
  
 
7.092%, (1 month US LIBOR +7.000%), 10/19/2026 (a)
 
 
 
 
 
 
1,340,190
 
  
1,299,314
NEP Broadcasting, LLC, TL 1L B 09/18 EUR
 
 
 
 
 
 
 
 
  
 
3.500% (3 month EURIBOR +3.500%), 10/20/2025 (a)
 
 
 
 
EUR
 
3,793,816
 
  
4,369,444
NEP Broadcasting, LLC, TL 1L B 09/18
 
 
 
 
 
 
 
 
  
 
3.342% (1 month US LIBOR +3.250%), 10/20/2025 (a)
 
 
 
 
 
 
5,834,558
 
  
5,637,642
 
 
 
 
 
 
 
 
 
 
  
11,463,672
Metals & Mining - 0.0%
 
 
 
 
 
 
 
 
  
 
Foresight Energy LLC, TL 1L A 06/20 (Exit)
 
 
 
 
 
 
 
 
  
 
9.500% (1 month US LIBOR +8.000%), 06/30/2027 (a)(c)(d)(e)
 
 
 
 
 
 
149,278
 
  
149,278
 
 
 
 
 
 
 
 
 
 
  
 
Multiline Retail - 0.3%
 
 
 
 
 
 
 
 
  
 
Belk, Inc., TL 1L EXIT 02/21 PIK Toggle (FLSO)
 
 
 
 
 
 
 
 
  
 
0.000%, 07/31/2025 (c)(d)(g)
 
 
 
 
 
 
904,814
 
  
692,183
Belk, Inc., TL 1L 02/21 (FLFO)
 
 
 
 
 
 
 
 
  
 
8.500% (3 month US LIBOR +7.500%), 07/31/2025 (a)(c)(d)
 
 
 
 
 
 
53,180
 
  
53,413
 
 
 
 
 
 
 
 
 
 
  
745,596
Oil, Gas & Consumable Fuels - 1.3%
 
 
 
 
 
 
 
 
  
 
Eagleclaw Midstream Ventures, TL 1L 05/17
 
 
 
 
 
 
 
 
  
 
5.250% (1 month US LIBOR +4.250%), 06/24/2024 (a)
 
 
 
 
 
 
963,303
 
  
953,939
Lucid Energy Group II Borrower LLC, TL 1L 01/18
 
 
 
 
 
 
 
 
  
 
4.000% (1 month US LIBOR +3.000%), 02/17/2025 (a)
 
 
 
 
 
 
2,450,084
 
  
2,411,287
Navitas Midstream Midland Basin LLC, TL 1L B 12/17
 
 
 
 
 
 
 
 
  
 
4.750% (3 month US LIBOR + 4.500%), 12/13/2024 (a)
 
 
 
 
 
 
1,551,280
 
  
1,547,014
 
 
 
 
 
 
 
 
 
 
  
4,912,240
Personal Products - 0.2%
 
 
 
 
 
 
 
 
  
 
Coty Inc., TL 1L B 04/18 USD
 
 
 
 
 
 
 
 
  
 
2.352% (1 month US LIBOR +2.250%), 04/07/2025 (a)
 
 
 
 
 
 
712,904
 
  
686,809
 
 
 
 
 
 
 
 
 
 
  
 
Professional Services - 0.3%
 
 
 
 
 
 
 
 
  
 
SIRVA Worldwide, Inc., TL 2L 07/18
 
 
 
 
 
 
 
 
  
 
9.656% (3 month US LIBOR +9.500%), 08/03/2026 (a)
 
 
 
 
 
 
59,000
 
  
52,313
SIRVA Worldwide, Inc., TL 1L 07/18
 
 
 
 
 
 
 
 
  
 
5.605% (3 month US LIBOR +5.500%), 08/04/2025 (a)
 
 
 
 
 
 
421,894
 
  
398,690
TMF Group Holding BV, TL 2L 12/17
 
 
 
 
 
 
 
 
  
 
6.875% (6 month EURIBOR +6.875%), 06/08/2026 (a)(b)
 
 
 
 
EUR
 
693,210
 
  
822,837
 
 
 
 
 
 
 
 
 
 
  
1,273,840
Road & Rail - 0.0%
 
 
 
 
 
 
 
 
  
 
Transplace, TL 2L 09/17
 
 
 
 
 
 
 
 
  
 
9.750% (6 month US LIBOR +8.750%), 10/06/2025 (a)
 
 
 
 
 
 
180,000
 
  
180,225
 
 
 
 
 
 
 
 
 
 
  
 
Software - 9.9%
 
 
 
 
 
 
 
 
  
 
Applied Systems, Inc., TL 2L 02/21 (Reprice)
 
 
 
 
 
 
 
 
  
 
6.250% (1 month US LIBOR + 5.500%), 09/19/2025 (a)
 
 
 
 
 
 
1,533,408
 
 $
  1,555,589
Misys Ltd., TL 2L 04/17 USD
 
 
 
 
 
 
 
 
  
 
8.250% (6 month US LIBOR +7.250%), 06/13/2025 (a)
 
 
 
 
 
 
12,160,683
 
  
12,263,318
Misys Ltd., TL 1L 04/17
 
 
 
 
 
 
 
 
  
 
4.500% (6 month US LIBOR +3.500%), 06/13/2024 (a)
 
 
 
 
 
 
4,897,089
 
  
4,827,526
Solera LLC, TL 2L 06/21
 
 
 
 
 
 
 
 
  
 
9.000% (6 month US LIBOR +8.000%), 06/04/2029 (a)
 
 
 
 
 
 
9,608,634
 
  
9,836,839
TIBCO Software, Inc., TL 2L 02/20
 
 
 
 
 
 
 
 
  
 
7.350% (1 month US LIBOR +7.250%), 03/03/2028(a)
 
 
 
 
 
 
8,959,772
 
  
9,054,970
 
 
 
 
 
 
 
 
 
 
  
37,538,242
Specialty Retail - 0.1%
 
 
 
 
 
 
 
 
  
 
Douglas Holding AG, TL 1L B 03/21
 
 
 
 
 
 
 
 
  
 
5.500%, (6 month EURIBOR + 5.500%), 03/26/2026 (a)(b)
 
 
 
 
EUR
 
62,379
 
  
             73,634
Douglas Holding AG, TL 1L B2 03/21
 
 
 
 
 
 
 
 
  
 
5.500%, (6 month EURIBOR + 5.500%), 04/08/2026 (a)(b)
 
 
 
 
EUR
 
35,995
 
  
42,490
Douglas Holding AG, TL 1L B3 03/21
 
 
 
 
 
 
 
 
  
 
5.500% (6 month EURIBOR + 5.500%), 03/26/2026 (a)(b)
 
 
 
 
EUR
 
47,341
 
  
55,884
Douglas Holding AG, TL 1L B4 03/21
 
 
 
 
 
 
 
 
  
 
5.500%, (6 month EURIBOR + 5.500%), 04/08/2026 (a)(b)
 
 
 
 
EUR
 
110,002
 
  
129,851
Douglas Holding AG, TL 1L B5 03/21
 
 
 
 
 
 
 
 
  
 
5.500%, (6 month EURIBOR + 5.500%), 04/08/2026 (a)(b)
 
 
 
 
EUR
 
24,523
 
  
28,948
Talbots, Inc., TL 1L B 11/18
 
 
 
 
 
 
 
 
  
 
7.147%, (3 month US LIBOR +7.000%), 11/28/2022 (a)
 
 
 
 
 
 
211,558
 
  
200,980
 
 
 
 
 
 
 
 
 
 
  
531,787
Textiles, Apparel & Luxury Goods - 3.6%
 
 
 
 
 
 
 
 
  
 
Varsity Brands, Inc., TL 1L 11/17
 
 
 
 
 
 
 
 
  
 
4.500% (1 month US LIBOR +3.500%), 12/16/2024 (a)
 
 
 
 
 
 
14,043,826
 
  
13,696,663
 
 
 
 
 
 
 
 
 
 
  
 
Trading Companies & Distributors - 0.2%
 
 
 
 
 
 
 
 
  
 
FleetPride Corporation, TL 1L 12/18
 
 
 
 
 
 
 
 
  
 
4.592% (1 month US LIBOR +4.500%), 02/04/2026 (a)
 
 
 
 
 
 
724,374
 
  
723,240
 
 
 
 
 
 
 
 
 
 
  
 
Transportation Infrastructure - 1.5%
 
 
 
 
 
 
 
 
  
 
Direct ChassisLink, Inc., TL 2L B 04/19
 
 
 
 
 
 
 
 
  
 
7.119% (3 month US LIBOR +7.000%), 04/10/2026 (a)
 
 
 
 
 
 
5,418,720
 
  
5,538,365
TOTAL LEVERAGED LOANS (amortized cost $251,857,169)
 
 
 
 
 
 
 
 
  
254,602,674
 
 
 
 
 
 
 
 
 
  
 
High Yield Securities - 57.9%
 
 
 
 
 
 
 
 
  
 
Auto Components - 2.9%
 
 
 
 
 
 
 
 
  
 
BBB Industries, LLC
 
 
 
 
 
 
 
 
  
 
9.250%, 08/01/2025 (f)
 
 
 
 
 
 
3,456,000
 
  
3,754,080
Truck Hero, Inc.
 
 
 
 
 
 
 
 
  
 
6.250%, 02/01/2029 (f)
 
 
 
 
 
 
341,000
 
  
352,986
Wheel Pros, Inc.
 
 
 
 
 
 
 
 
  
 
6.500%, 05/15/2029 (f)
 
 
 
 
 
 
6,741,000
 
  
6,858,496
 
 
 
 
 
 
 
 
 
 
  
10,965,562
Biotechnology - 1.6%
 
 
 
 
 
 
 
 
  
 
Intercept Pharmaceuticals, Inc.
 
 
 
 
 
 
 
 
  
 
3.250%, 07/01/2023
 
 
 
 
 
 
1,941,000
 
  
1,747,923
Intercept Pharmaceuticals, Inc.
 
 
 
 
 
 
 
 
  
 
2.000%, 05/15/2026
 
 
 
 
 
 
2,531,000
 
  
1,721,586
Radius Health, Inc.
 
 
 
 
 
 
 
 
  
 
3.000%, 09/01/2024
 
 
 
 
 
 
2,953,000
 
  
2,684,115
 
 
 
 
 
 
 
 
 
 
  
6,153,624
Building Products - 8.3%
 
 
 
 
 
 
 
 
  
 
Acproducts Inc.
 
 
 
 
 
 
 
 
  
 
6.375%, 05/15/2029 (f)
 
 
 
 
 
 
6,724,000
 
  
6,771,740
LBM Borrower LLC
 
 
 
 
 
 
 
 
  
 
7.750%, 04/01/2027 (f)
 
 
 
 
 
 
9,806,000
 
  
9,870,082
LBM Borrower LLC
 
 
 
 
 
 
 
 
  
 
6.250%, 01/15/2029 (f)
 
 
 
 
 
 
9,872,000
 
  
9,903,887
PrimeSource Building Products
 
 
 
 
 
 
 
 
  
 
6.750%, 08/01/2029 (f)
 
 
 
 
 
 
3,520,000
 
  
3,560,040
PrimeSource Building Products
 
 
 
 
 
 
 
 
  
 
5.625%, 02/01/2029 (f)
 
 
 
 
 
 
1,394,000
 
  
1,369,598
 
 
 
 
 
 
 
 
 
 
  
31,475,347
Chemicals - 4.6%
 
 
 
 
 
 
 
 
  
 
Consolidated Energy Finance SA
 
 
 
 
 
 
 
 
  
 
6.875%, 06/15/2025 (b)(f)
 
 
 
 
 
 
2,032,000
 
  
2,069,775
Consolidated Energy Finance SA
 
 
 
 
 
 
 
 
  
 
6.500%, 05/15/2026 (b)(f)
 
 
 
 
 
 
1,646,000
 
  
1,670,534
Consolidated Energy Finance SA
 
 
 
 
 
 
 
 
  
 
3.869% (3 month US LIBOR + 3.750%), 06/15/2022 (a)(b)(f)
 
 
 
 
 
 
741,000
 
  
734,754
Cornerstone Chemical Co.
 
 
 
 
 
 
 
 
  
 
6.750%, 08/15/2024 (f)
 
 
 
 
 
 
8,764,000
 
  
7,943,515
SI Group Inc.
 
 
 
 
 
 
 
 
  
 
6.750%, 05/15/2026 (c)(d)(f)
 
 
 
 
 
 
4,943,000
 
  
5,041,069
 
 
 
 
 
 
 
 
 
 
  
17,459,647
Commercial Services & Supplies - 1.4%
 
 
 
 
 
 
 
 
  
 
Multi-Color Corp
 
 
 
 
 
 
 
 
  
 
10.500%, 07/15/2027 (f)
 
 
 
 
 
 
4,947,000
 
 $
 5,448,477
 
 
 
 
 
 
 
 
 
 
  
 
Construction & Engineering - 0.7%
 
 
 
 
 
 
 
 
  
 
Maxim Crane Works LP / Maxim Finance Corp.
 
 
 
 
 
 
 
 
  
 
10.125%, 08/01/2024 (f)
 
 
 
 
 
 
2,484,000
 
  
2,558,619
 
 
 
 
 
 
 
 
 
 
  
 
Construction Materials - 0.2%
 
 
 
 
 
 
 
 
  
 
Cemex Materials LLC
 
 
 
 
 
 
 
 
  
 
7.700%, 07/21/2025 (f)
 
 
 
 
 
 
554,000
 
  
638,762
 
 
 
 
 
 
 
 
 
 
  
 
Diversified Telecommunication Services - 0.9%
 
 
 
 
 
 
 
 
  
 
Zayo Group LLC
 
 
 
 
 
 
 
 
  
 
6.125%, 03/01/2028 (f)
 
 
 
 
 
 
3,507,000
 
  
3,573,317
 
 
 
 
 
 
 
 
 
 
  
 
Electronic Equipment, Instruments & Components - 3.1%
 
 
 
 
 
 
 
 
  
 
CommScope, Inc.
 
 
 
 
 
 
 
 
  
 
8.250%, 03/01/2027 (f)
 
 
 
 
 
 
577,000
 
  
           611,640
CommScope, Inc.
 
 
 
 
 
 
 
 
  
 
6.000%, 06/15/2025 (f)
 
 
 
 
 
 
10,783,000
 
  
10,958,223
 
 
 
 
 
 
 
 
 
 
  
11,569,863
Energy Equipment & Services - 0.1%
 
 
 
 
 
 
 
 
  
 
Archrock Partners LP / Archrock Partners Finance Corp
 
 
 
 
 
 
 
 
  
 
6.875%, 04/01/2027 (f)
 
 
 
 
 
 
324,000
 
  
340,910
 
 
 
 
 
 
 
 
 
 
  
 
Health Care Equipment & Services - 0.7%
 
 
 
 
 
 
 
 
  
 
Haemonetics Corp.
 
 
 
 
 
 
 
 
  
 
0.000%, 03/01/2026 (f)
 
 
 
 
 
 
3,264,000
 
  
2,798,359
 
 
 
 
 
 
 
 
 
 
  
 
Health Care Equipment & Supplies - 0.1%
 
 
 
 
 
 
 
 
  
 
AHP Health Partners, Inc.
 
 
 
 
 
 
 
 
  
 
5.750%, 07/15/2029 (f)
 
 
 
 
 
 
341,000
 
  
345,276
 
 
 
 
 
 
 
 
 
 
  
 
Health Care Providers & Services - 2.9%
 
 
 
 
 
 
 
 
  
 
CHS/Community Health Systems, Inc.
 
 
 
 
 
 
 
 
  
 
6.875%, 04/15/2029 (f)
 
 
 
 
 
 
599,000
 
  
           632,448
CHS/Community Health Systems, Inc.
 
 
 
 
 
 
 
 
  
 
6.875%, 04/01/2028 (f)
 
 
 
 
 
 
882,000
 
  
873,131
CHS/Community Health Systems, Inc.
 
 
 
 
 
 
 
 
  
 
6.125%, 04/01/2030 (f)
 
 
 
 
 
 
2,234,000
 
  
2,266,114
LifePoint Hospitals, Inc.
 
 
 
 
 
 
 
 
  
 
5.375%, 01/15/2029 (f)
 
 
 
 
 
 
518,000
 
  
516,068
Radiology Partners Inc.
 
 
 
 
 
 
 
 
  
 
9.250%, 02/01/2028 (f)
 
 
 
 
 
 
6,056,000
 
  
6,547,263
 
 
 
 
 
 
 
 
 
 
  
10,835,024
Hotels, Restaurants & Leisure - 10.9%
 
 
 
 
 
 
 
 
  
 
Carnival Corp.
 
 
 
 
 
 
 
 
  
 
5.750%, 03/01/2027 (f)
 
 
 
 
 
 
8,506,000
 
  
8,654,855
ClubCorp Club Operations, Inc.
 
 
 
 
 
 
 
 
  
 
8.500%, 09/15/2025 (f)
 
 
 
 
 
 
2,276,000
 
  
2,244,705
Life Time Fitness Inc.
 
 
 
 
 
 
 
 
  
 
5.750%, 01/15/2026 (f)
 
 
 
 
 
 
3,450,000
 
  
3,514,636
Merlin Entertainments PLC
 
 
 
 
 
 
 
 
  
 
6.625%, 11/15/2027 (b)(f)
 
 
 
 
 
 
1,267,000
 
  
1,290,902
Merlin Entertainments PLC
 
 
 
 
 
 
 
 
  
 
5.750%, 06/15/2026 (b)(f)
 
 
 
 
 
 
469,000
 
  
490,124
NCL Corp Ltd.
 
 
 
 
 
 
 
 
  
 
6.125%, 03/15/2028 (f)
 
 
 
 
 
 
4,731,000
 
  
4,784,413
Royal Caribbean Cruises Ltd.
 
 
 
 
 
 
 
 
  
 
5.500%, 04/01/2028 (f)
 
 
 
 
 
 
10,340,000
 
  
10,557,347
Viking Cruises Ltd.
 
 
 
 
 
 
 
 
  
 
7.000%, 02/15/2029 (f)
 
 
 
 
 
 
9,844,000
 
  
9,919,159
 
 
 
 
 
 
 
 
 
 
  
41,456,141
Insurance - 4.2%
 
 
 
 
 
 
 
 
  
 
Alliant Holdings I, Inc.
 
 
 
 
 
 
 
 
  
 
6.750%, 10/15/2027 (f)
 
 
 
 
 
 
1,969,000
 
  
2,057,704
Aspen Insurance Holdings Ltd
 
 
 
 
 
 
 
 
  
 
7.625%, 10/15/2025 (f)
 
 
 
 
 
 
2,907,000
 
  
3,088,019
National Financial Partners Corp
 
 
 
 
 
 
 
 
  
 
6.875%, 08/15/2028 (f)
 
 
 
 
 
 
10,428,000
 
  
10,866,810
 
 
 
 
 
 
 
 
 
 
  
16,012,533
IT Services - 1.3%
 
 
 
 
 
 
 
 
  
 
West Corp.
 
 
 
 
 
 
 
 
  
 
8.500%, 10/15/2025 (f)
 
 
 
 
 
 
4,940,000
 
  
4,821,366
 
 
 
 
 
 
 
 
 
 
  
 
Leisure Products - 0.1%
 
 
 
 
 
 
 
 
  
 
Club Car LLC
 
 
 
 
 
 
 
 
  
 
6.375%, 06/01/2029 (f)
 
 
 
 
 
 
235,000
 
 $
 231,772
 
 
 
 
 
 
 
 
 
 
  
 
Media - 0.7%
 
 
 
 
 
 
 
 
  
 
Intelsat Jackson Holdings SA
 
 
 
 
 
 
 
 
  
 
0.000%, 08/01/2023 (b)(g)
 
 
 
 
 
 
207,000
 
  
113,591
Spotify USA, Inc.
 
 
 
 
 
 
 
 
  
 
0.000%, 03/15/2026 (f)
 
 
 
 
 
 
2,656,000
 
  
2,399,696
 
 
 
 
 
 
 
 
 
 
  
2,513,287
Multiline Retail - 0.0%
 
 
 
 
 
 
 
 
  
 
JC Penney Corp, Inc.
 
 
 
 
 
 
 
 
  
 
0.000%, 03/15/2025 (d)(e)(f)(g)
 
 
 
 
 
 
97,819
 
  
                    -
 
 
 
 
 
 
 
 
 
 
  
 
Oil, Gas & Consumable Fuels - 2.9%
 
 
 
 
 
 
 
 
  
 
Genesis Energy
 
 
 
 
 
 
 
 
  
 
6.500%, 10/01/2025
 
 
 
 
 
 
982,000
 
  
           977,974
Genesis Energy
 
 
 
 
 
 
 
 
  
 
5.625%, 06/15/2024
 
 
 
 
 
 
2,158,000
 
  
2,149,443
Global Partners LP / GLP Finance Corp.
 
 
 
 
 
 
 
 
  
 
7.000%, 08/01/2027
 
 
 
 
 
 
415,000
 
  
435,269
Global Partners LP / GLP Finance Corp.
 
 
 
 
 
 
 
 
  
 
6.875%, 01/15/2029
 
 
 
 
 
 
133,000
 
  
140,316
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.
 
 
 
 
 
 
 
 
  
 
6.000%, 12/31/2030 (f)
 
 
 
 
 
 
273,000
 
  
287,239
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.
 
 
 
 
 
 
 
 
  
 
6.000%, 03/01/2027 (f)
 
 
 
 
 
 
211,000
 
  
218,396
Vine Oil & Gas LP
 
 
 
 
 
 
 
 
  
 
6.750%, 04/15/2029 (f)
 
 
 
 
 
 
6,615,000
 
  
6,912,675
 
 
 
 
 
 
 
 
 
 
  
11,121,312
Road & Rail - 1.8%
 
 
 
 
 
 
 
 
  
 
Kenan Advantage Group, Inc./The
 
 
 
 
 
 
 
 
  
 
7.875%, 07/31/2023 (c)(f)
 
 
 
 
 
 
6,958,000
 
  
6,980,614
 
 
 
 
 
 
 
 
 
 
  
 
Specialty Retail - 4.6%
 
 
 
 
 
 
 
 
  
 
Douglas Holding AG
 
 
 
 
 
 
 
 
  
 
8.250%, 10/01/2026 (b)(f)
 
 
 
 
EUR
 
6,303,000
 
  
7,375,091
Douglas Holding AG
 
 
 
 
 
 
 
 
  
 
6.000%, 04/08/2026 (b)(f)
 
 
 
 
EUR
 
8,654,000
 
  
10,237,506
 
 
 
 
 
 
 
 
 
 
  
17,612,597
Textiles, Apparel & Luxury Goods - 0.6%
 
 
 
 
 
 
 
 
  
 
Varsity Brands, Inc.
 
 
 
 
 
 
 
 
  
 
9.000% (3 Month LIBOR USD + 8.000%), 12/22/2024  (a)(f)
 
 
 
 
 
 
2,104,000
 
  
2,109,260
 
 
 
 
 
 
 
 
 
 
  
 
Trading Companies & Distributors - 3.3%
 
 
 
 
 
 
 
 
  
 
Neon Holdings Inc.
 
 
 
 
 
 
 
 
  
 
10.125%, 04/01/2026 (f)
 
 
 
 
 
 
3,207,000
 
  
3,483,170
TruckPro LLC
 
 
 
 
 
 
 
 
  
 
11.000%, 10/15/2024 (f)
 
 
 
 
 
 
3,746,000
 
  
4,109,437
White Cap Buyer LLC
 
 
 
 
 
 
 
 
  
 
6.875%, 10/15/2028 (f)
 
 
 
 
 
 
2,443,000
 
  
2,611,030
White Cap Parent LLC
 
 
 
 
 
 
 
 
  
 
8.250%, 03/15/2026 (f)
 
 
 
 
 
 
2,452,000
 
  
2,531,825
 
 
 
 
 
 
 
 
 
 
  
12,735,462
TOTAL HIGH YIELD SECURITIES (amortized cost $221,903,560)
 
 
 
 
 
 
 
 
  
219,757,131
 
 
 
 
 
 
 
 
 
  
 
Collateralized Loan Obligations - 2.0%
 
 
 
 
 
 
 
 
  
 
Diversified Financial Services - 2.0%
 
 
 
 
 
 
 
 
  
 
ALM Loan Funding Ltd., ALM 2020-1A D
 
 
 
 
 
 
 
 
  
 
6.126% (3 month US LIBOR + 6.000%), 10/15/2029 (a)(d)(e)(f)
 
 
 
 
 
 
865,360
 
  
870,994
Ballyrock CLO Ltd., BALLY 2019-1A DR
 
 
 
 
 
 
 
 
  
 
6.876% (3 month US LIBOR + 6.750%), 07/15/2032 (a)(d)(e)(f)
 
 
 
 
 
 
431,180
 
  
431,179
CarVal CLO, CARVL 2021-1A E
 
 
 
 
 
 
 
 
  
 
6.738% (3 month US LIBOR + 6.600%), 07/20/2034 (a)(d)(e)(f)
 
 
 
 
 
 
2,000,000
 
  
1,999,959
Elmwood CLO, ELMW5 2020-2A ER
 
 
 
 
 
 
 
 
  
 
0.000% (3 month US LIBOR + 6.100%), 10/20/2034 (a)(d)(e)(f)
 
 
 
 
 
 
1,000,000
 
  
999,974
Octagon Investment Partners 48 Ltd., OCT48 2020-3A E
 
 
 
 
 
 
 
 
  
 
7.794% (3 month US LIBOR + 7.660%), 10/20/2031 (a)(d)(e)(f)
 
 
 
 
 
 
53,100
 
  
53,600
Palmer Square CLO Ltd., PFIXD 2019-1A E
 
 
 
 
 
 
 
 
  
 
7.108%, 04/20/2037 (d)(e)(f)
 
 
 
 
 
 
333,610
 
  
329,688
Post CLO, POST 2021-1A E
 
 
 
 
 
 
 
 
  
 
0.000%, 10/15/2034 (a)(e)(f)
 
 
 
 
 
 
250,000
 
  
250,000
Sound Point CLO Ltd., SNDPT 2021-1A E
 
 
 
 
 
 
 
 
  
 
6.990% (3 month US LIBOR + 6.850%), 04/25/2034 (a)(d)(e)(f)
 
 
 
 
 
 
290,000
 
  
289,964
Symphony CLO Ltd., SYMP 2020-22A E
 
 
 
 
 
 
 
 
  
 
6.440% (3 month US LIBOR + 6.250%), 04/18/2033 (a)(d)(e)(f)
 
 
 
 
 
 
598,680
 
  
600,941
TICP CLO Ltd., TICP 2017-9A E
 
 
 
 
 
 
 
 
  
 
5.734% (3 month US LIBOR + 5.600%), 01/20/2031 (a)(d)(e)(f)
 
 
 
 
 
 
738,460
 
  
716,198
 
 
 
 
 
 
 
 
 
 
  
6,542,497
TOTAL COLLATERALIZED LOAN OBLIGATIONS (amortized cost $5,056,444)
 
 
 
 
 
  
6,542,497
 
 
 
 
 
 
 
Shares
 
  
 
Common Stocks - 0.5%
 
 
 
 
 
 
 
 
  
 
Health Care Providers & Services - 0.0%
 
 
 
 
 
 
 
 
  
 
Quorum Health Corp., Trade Claim (c)(d)(e)
 
 
 
 
 
 
212,000
 
 $
 20,901
 
 
 
 
 
 
 
 
 
 
  
 
Hotels, Restaurants & Leisure - 0.4%
 
 
 
 
 
 
 
 
  
 
Hilton Grand Vacations, Inc., Common Stock
 
 
 
 
 
 
40,347
 
  
1,640,913
 
 
 
 
 
 
 
 
 
 
  
 
Metals & Mining - 0.1%
 
 
 
 
 
 
 
 
  
 
Foresight Energy LLC, Common Stock (Exit) (c)(d)(e)
 
 
 
 
 
 
17,979
 
  
258,164
TOTAL COMMON STOCKS (cost $1,917,067)
 
 
 
 
 
 
 
 
  
1,919,978
 
 
 
 
 
 
 
 
 
  
 
Preferred Stock - 0.2%
 
 
 
 
 
 
 
 
  
 
Commercial  & Professional Services - 0.2%
 
 
 
 
 
 
 
 
  
 
Clarivate Analytics US LLC
 
 
 
 
 
 
 
 
  
 
5.250%, 06/01/2024
 
 
 
 
 
 
6,440
 
  
585,396
TOTAL PREFERRED STOCK (cost $644,000)
 
 
 
 
 
 
 
 
  
585,396
 
 
 
 
 
 
 
 
 
  
 
TOTAL INVESTMENTS (cost $480,236,240)(i) - 127.5%
 
 
 
 
 
 
 
 
  
483,407,676
LIABILITIES EXCEEDING OTHER ASSETS, NET - (27.5)%
 
 
 
 
 
 
 
 
  
(104,140,206)
NET ASSETS - 100.0%
 
 
 
 
 
 
 
 
 $
 379,267,470
 
 
 
 
 
 
 
 
 
 
  
 
†
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, 2021.
 
 
 
 
 
 
  
 
(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, 2021
  
 
 
was $18,885,537 and represented 5.0% 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, 2021
 
  
 
 
was $19,015,810 and represented 5.0% 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, 2021 was $216,329,411, which represent 57.0% of net assets.
(g)
Non-income producing securities.
 
 
 
 
 
 
 
 
  
 
(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
  
   
Affordable Care Inc., TL 1L 10/15
    
4,982,314
  
02/28/2021
    
4,930,369
    
4,907,579
    
1.3
%
   
Belk, Inc., TL 1L 02/21 (FLFO)
    
53,180
  
02/24/2021
    
78,139
    
53,413
    
0.0
%
   
Belk, Inc., TL 1L EXIT 02/21 PIK Toggle (FLSO)
    
904,814
  
02/24/2021
    
454,610
    
692,183
    
0.2
%
   
CSM Bakery Products
    
786,923
  
02/28/2020 - 01/14/2021
    
782,607
    
782,336
    
0.2
%
   
Foresight Energy, LLC
    
17,979
  
06/30/2020 - 08/27/2020
    
200,230
    
258,164
    
0.1
%
   
Foresight Energy, LLC, TL 1L EXIT 08/19
    
149,278
  
06/30/2020
    
149,278
    
149,278
    
0.1
%
   
Kenan Advantage Group, Inc.
    
6,958,000
  
02/28/2020 - 07/13/2021
    
6,961,772
    
6,980,614
    
1.8
%
   
Quorum Health Corp.
    
212,000
  
07/07/2020
    
90,722
    
20,901
    
0.0
%
   
SI Group, Inc.
    
4,943,000
  
05/11/2021
    
4,943,000
    
5,041,069
    
1.3
%
   
(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, 2021:
                    
   
 
                              
   
Country:
  
% of Net Assets
                        
   
United States
    
113.6
%
                      
   
Germany
    
7.4
%
                      
   
France
    
3.6
%
                      
   
Switzerland
    
1.2
%
                      
   
Sweden
    
0.8
%
                      
   
United Kingdom
    
0.5
%
                      
   
Netherlands
    
0.2
%
                      
   
Spain
    
0.2
%
                      
   
 
    
127.5
%
                      
   
Liabilities Exceeding Other Assets, Net
    
(27.5
)%
                      
   
 
    
100.0
%
                      
   
 
                              
The following table presents information about the Fund’s assets measured on a recurring basis as of July 31, 2021 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
  
$
-
  
$
248,226,922
  
$
6,375,752
  
$
254,602,674
        
High Yield Securities
    
-
    
219,757,131
    
-
    
219,757,131
        
Collateralized Loan Obligations
    
-
    
-
    
6,542,497
    
6,542,497
        
Common Stocks
    
1,640,913
    
-
    
279,065
    
1,919,978
        
Preferred Stocks
    
585,396
    
-
    
-
    
585,396
        
Cash and cash equivalents
    
4,703,462
    
-
    
-
    
4,703,462
        
Total Investments in securities and cash equivalents
  
$
6,929,771
  
$
467,984,053
  
$
13,197,314
  
$
488,111,138
        
   
 
                                
   
 
                                
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 October 31, 2020
        
$
683,566
  
$
1,365,802
  
$
305,554
        
Purchases
          
5,692,224
    
5,776,931
    
-
        
Sales and paydowns
          
(19,898
)
  
(29,435
)
  
(14,624
        
Settlements
          
2,084
    
(668,641
)
  
-
        
Net change in appreciation
          
17,403
    
23,394
    
69,796
        
Net realized gain/(loss)
          
373
    
74,446
    
(81,661
        
Balance as of July 31, 2021
        
$
6,375,752
  
$
6,542,497
  
$
279,065
        
   
 
                                
Net change in appreciation on investments held at July 31, 2021
        
$
17,403
  
$
23,394
  
$
69,796
        
   
 
                                
   
 
                                
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, 2021:
  
   
 
                                
Financial
   Asset
  
Fair Value
  
Valuation
Technique(1)
  
Unobservable
Inputs (2)
  
Range
(Weighted
Average)(3)
        
Leveraged Loans(4)
  
$
6,375,752
  
Yield Analysis
  
Yield
    
7% - 10% (9%)
        
   
 
              
Discount Margin
    
3%
        
   
 
              
EBITDA Multiple
    
2.8x -11.2x(8.4x)
        
   
 
              
Net Leverage
    
0.7x - 11.0x(6.4x)
        
Collateralized Loan Obligations
  
$
6,542,497
  
Yield analysis
  
Discount margin
    
5% - 7% (7%)
        
   
 
        
Discounted cash flows
  
Probability of default
    
2%
        
   
 
              
Constant prepayment rate
    
20%
        
Common Stocks(5)
  
$
279,065
  
Market comparables
  
FWD EBITDA Multple
    
2.8x
        
   
 
              
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.
(4) 
Of the total $281,958 of common stocks, $245,996 and $19,201 were valued solely on an appraisal based on market comparables and discounted cash flows analysis, respectively.