| (a)
| Non-income producing investment.
|
| (b)
| Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At July 31, 2020, the total value of these securities amounted to $9,525, which
represents less than 0.01% of total net assets.
|
| (c)
| Valuation based on significant unobservable inputs.
|
| (d)
| Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section
4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At July 31, 2020, the total value of these securities amounted to $247,905,636, which represents 20.48% of total
net assets.
|
| (e)
| Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash.
|
| (f)
| Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then
increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of July 31, 2020.
|
| (g)
| Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At July 31, 2020, the total value of these securities
amounted to $445,303, which represents 0.04% of total net assets.
|
| (h)
| Represents a security purchased on a when-issued basis.
|
| (i)
| Represents a security purchased on a forward commitment basis.
|
| (j)
| Principal and interest may not be guaranteed by a governmental entity.
|
| (k)
| The stated interest rate represents the weighted average interest rate at July 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily
determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending
rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed.
Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining
maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.
|
| (l)
| Variable rate security. The interest rate shown was the current rate as of July 31, 2020.
|
| (m)
| The rate shown is the seven-day current annualized yield at July 31, 2020.
|
| (n)
| As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company
which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended July 31, 2020 are as follows:
|