Item 1. |
Reports to Stockholders. |
Fund & Benchmark |
Performance |
|||
Total Return (based on NAV) 1 |
-14.86 | % | ||
Total Return (based on market value) 1 |
-16.69 | % | ||
ICE BofA US High Yield Constrained Index 2 |
-14.03 | % |
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Thomas J. Flannery Chief Investment Officer* |
John G. Popp Chief Executive Officer and President** |
1 |
Assuming reinvestment of distributions. |
2 |
The Index is an unmanaged index that tracks the performance of below investment-grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market, where each issuer’s allocation is limited to 2% of the Index. The Index does not have transaction costs and investors cannot invest directly in the Index. |
* | Thomas J. Flannery, Managing Director, is the Head of the Credit Suisse U.S. High Yield Management Team. Mr. Flannery joined Credit Suisse Asset Management, LLC (“Credit Suisse”) in June 2010. He is a portfolio manager for the Credit Investments Group (“CIG”) with responsibility for trading, directing investment decisions, originating and analyzing investment opportunities. Mr. Flannery is also a member of the CIG Credit Committee and is currently a high yield bond portfolio manager and trader for CIG. Mr. Flannery joined Credit Suisse AG in 2000 from First Dominion Capital, LLC where he was an Associate. Mr. Flannery holds a B.S. in Finance from Georgetown University. |
** | John G. Popp is a Managing Director of Credit Suisse and Group Head and Chief Investment Officer of CIG, with primary responsibility for making investment decisions and monitoring processes for CIG’s global investment strategies. Mr. Popp also serves as Trustee, Chief Executive Officer and President of the Credit Suisse Funds, as well as serving as Director, Chief Executive Officer and President for the Credit Suisse Asset Management Income Fund, Inc. and Trustee, Chief Executive Officer and President of the Credit Suisse High Yield Bond Fund. Mr. Popp has been associated with Credit Suisse since 1997. |
1 Year |
3 Years |
5 Years |
10 Years |
|||||||||||||
Net Asset Value (NAV) |
(13.50)% | 1.56% | 3.68% | 5.82% | ||||||||||||
Market Value |
(15.60)% | 4.48% | 4.48% | 4.95% |
BBB |
0.9 | % | ||
BB |
25.4 | |||
B |
39.4 | |||
CCC |
24.7 | |||
CC |
0.5 | |||
NR |
6.4 | |||
|
|
|||
Subtotal |
97.3 | |||
Equity and Other |
2.7 | |||
|
|
|||
Total |
100.0 | % | ||
|
|
* | Expressed as a percentage of total investments (excluding securities lending collateral, if applicable) and may vary over time. |
** | Credit Quality is based on ratings provided by the S&P Global Ratings Division of S&P Global Inc. (“S&P”). S&P is a main provider of ratings for credit assets classes and is widely used amongst industry participants. The NR category consists of securities that have not been rated by S&P. |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (99.5%) |
||||||||||||||||||
Aerospace & Defense (0.7%) |
||||||||||||||||||
$ |
250 |
KBR, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/30/23 @ 102.38) (1) |
(BB-, Ba3) |
09/30/28 |
4.750 |
$ |
221,076 |
|||||||||||
800 |
TransDigm, Inc., Global Company Guaranteed Notes (Callable 08/01/22 @ 103.75) |
(B-, B3) |
03/15/27 |
7.500 |
755,712 |
|||||||||||||
|
|
|||||||||||||||||
976,788 |
||||||||||||||||||
|
|
|||||||||||||||||
Auto Parts & Equipment (1.6%) |
||||||||||||||||||
2,205 |
Clarios U.S. Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.25) (1) |
(CCC+, Caa1) |
05/15/27 |
8.500 |
2,135,653 |
|||||||||||||
250 |
Tenneco, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/24 @ 103.94) (1) |
(B+, Ba3) |
01/15/29 |
7.875 |
241,982 |
|||||||||||||
|
|
|||||||||||||||||
2,377,635 |
||||||||||||||||||
|
|
|||||||||||||||||
Automakers (0.5%) |
||||||||||||||||||
200 |
Thor Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.00) (1) |
(BB-, B1) |
10/15/29 |
4.000 |
158,650 |
|||||||||||||
675 |
Winnebago Industries, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/23 @ 103.13) (1) |
(BB+, Ba3) |
07/15/28 |
6.250 |
619,313 |
|||||||||||||
|
|
|||||||||||||||||
777,963 |
||||||||||||||||||
|
|
|||||||||||||||||
Brokerage (0.6%) |
||||||||||||||||||
901 |
StoneX Group, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 104.31) (1) |
(BB-, Ba3) |
06/15/25 |
8.625 |
904,919 |
|||||||||||||
|
|
|||||||||||||||||
Building & Construction (2.8%) |
||||||||||||||||||
1,340 |
Adams Homes, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/18/22 @ 103.75) (1) |
(B+, B2) |
02/15/25 |
7.500 |
1,248,257 |
|||||||||||||
1,050 |
Installed Building Products, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.88) (1) |
(B+, B1) |
02/01/28 |
5.750 |
934,314 |
|||||||||||||
1,600 |
PGT Innovations, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.19) (1) |
(B+, B1) |
10/01/29 |
4.375 |
1,263,768 |
|||||||||||||
400 |
Pike Corp., Rule 144A, Company Guaranteed Notes (Callable 09/01/23 @ 102.75) (1) |
(CCC+, B3) |
09/01/28 |
5.500 |
320,588 |
|||||||||||||
350 |
TopBuild Corp., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 101.81) (1) |
(BB+, Ba2) |
03/15/29 |
3.625 |
276,182 |
|||||||||||||
|
|
|||||||||||||||||
4,043,109 |
||||||||||||||||||
|
|
|||||||||||||||||
Building Materials (5.6%) |
||||||||||||||||||
1,500 |
Advanced Drainage System, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/25 @ 103.19) (1) |
(B+, Ba2) |
06/15/30 |
6.375 |
1,469,272 |
|||||||||||||
200 |
Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/25 @ 102.50) (1) |
(BB-, Ba2) |
03/01/30 |
5.000 |
169,745 |
|||||||||||||
600 |
Builders FirstSource, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/27 @ 103.19) (1) |
(BB-, Ba2) |
06/15/32 |
6.375 |
536,805 |
|||||||||||||
750 |
Eco Material Technologies, Inc., Rule 144A, Senior Secured Notes (Callable 01/31/24 @ 103.94) (1) |
(B, B2) |
01/31/27 |
7.875 |
667,539 |
|||||||||||||
2,058 |
Foundation Building Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/01/24 @ 103.00) (1) |
(CCC+, Caa1) |
03/01/29 |
6.000 |
1,510,675 |
|||||||||||||
1,647 |
MIWD Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/25 @ 102.75) (1) |
(B, B3) |
02/01/30 |
5.500 |
1,327,446 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Building Materials |
||||||||||||||||||
$ |
1,175 |
Oscar Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/15/25 @ 104.75) (1) |
(CCC+, Caa1) |
04/15/30 |
9.500 |
$ |
933,292 |
|||||||||||
940 |
Park River Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 102.81) (1) |
(CCC, Caa1) |
02/01/29 |
5.625 |
587,149 |
|||||||||||||
650 |
Park River Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/24 @ 103.38) (1) |
(CCC, Caa1) |
08/01/29 |
6.750 |
422,485 |
|||||||||||||
800 |
Standard Industries, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/25 @ 102.19) (1) |
(BB, B1) |
07/15/30 |
4.375 |
632,468 |
|||||||||||||
|
|
|||||||||||||||||
8,256,876 |
||||||||||||||||||
|
|
|||||||||||||||||
Cable & Satellite TV (2.6%) |
||||||||||||||||||
685 |
CSC Holdings LLC, Global Senior Unsecured Notes |
(B+, B3) |
06/01/24 |
5.250 |
643,208 |
|||||||||||||
50 |
CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 102.75) (1) |
(BB, Ba3) |
04/15/27 |
5.500 |
44,842 |
|||||||||||||
850 |
CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.69) (1) |
(BB, Ba3) |
02/01/28 |
5.375 |
737,409 |
|||||||||||||
600 |
CSC Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.25) (1) |
(BB, Ba3) |
11/15/31 |
4.500 |
463,110 |
|||||||||||||
1,600 |
Telenet Finance Luxembourg Notes Sarl, Rule 144A, Senior Secured Notes (Callable 12/01/22 @ 102.75) (1) |
(BB-, Ba3) |
03/01/28 |
5.500 |
1,413,680 |
|||||||||||||
600 |
UPC Broadband Finco B.V., Rule 144A, Senior Secured Notes (Callable 07/15/26 @ 102.44) (1) |
(BB-, B1) |
07/15/31 |
4.875 |
490,791 |
|||||||||||||
|
|
|||||||||||||||||
3,793,040 |
||||||||||||||||||
|
|
|||||||||||||||||
Chemicals (3.9%) |
||||||||||||||||||
200 |
Avient Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 102.88) (1) |
(BB-, Ba3) |
05/15/25 |
5.750 |
191,872 |
|||||||||||||
800 |
Herens Holdco Sarl, Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38) (1) |
(B, B2) |
05/15/28 |
4.750 |
665,844 |
|||||||||||||
800 |
Herens Midco Sarl, Rule 144A, Company Guaranteed Notes (Callable 05/15/24 @ 102.63) (1),(2) |
(CCC+, Caa2) |
05/15/29 |
5.250 |
552,946 |
|||||||||||||
800 |
LSF11 A5 Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31) (1),(3) |
(B-, Caa1) |
10/15/29 |
6.625 |
675,112 |
|||||||||||||
350 |
Olympus Water U.S. Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 103.13) (1),(3) |
(CCC+, Caa2) |
10/01/29 |
6.250 |
244,160 |
|||||||||||||
276 |
Reichhold Industries, Inc., Rule 144A, Senior Secured Notes (1),(4),(5),(6),(7),(8) |
(NR, NR) |
05/01/18 |
0.000 |
3,730 |
|||||||||||||
1,200 |
Schenectady International Group, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/23 @ 103.38) (1) |
(CCC+, Caa2) |
05/15/26 |
6.750 |
840,084 |
|||||||||||||
400 |
Trinseo Materials Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/24 @ 102.56) (1) |
(B, B2) |
04/01/29 |
5.125 |
288,394 |
|||||||||||||
800 |
Tronox, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/24 @ 102.31) (1) |
(BB-, B1) |
03/15/29 |
4.625 |
645,549 |
|||||||||||||
2,215 |
Vibrantz Technologies, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 104.50) (1) |
(CCC+, Caa2) |
02/15/30 |
9.000 |
1,564,553 |
|||||||||||||
|
|
|||||||||||||||||
5,672,244 |
||||||||||||||||||
|
|
|||||||||||||||||
Consumer/Commercial/Lease Financing (1.2%) |
||||||||||||||||||
1,950 |
Cargo Aircraft Management, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 102.38) (1) |
(BB, Ba2) |
02/01/28 |
4.750 |
1,781,266 |
|||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Diversified Capital Goods (1.6%) |
||||||||||||||||||
$ |
1,150 |
Atkore, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.13) (1) |
(BB, Ba2) |
06/01/31 |
4.250 |
$ |
956,800 |
|||||||||||
1,698 |
GrafTech Finance, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/23 @ 102.31) (1) |
(BB, Ba3) |
12/15/28 |
4.625 |
1,377,585 |
|||||||||||||
|
|
|||||||||||||||||
2,334,385 |
||||||||||||||||||
|
|
|||||||||||||||||
Electronics (1.6%) |
||||||||||||||||||
875 |
Central Parent, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/25 @ 103.63) (1),(3) |
(B+, B1) |
06/15/29 |
7.250 |
846,514 |
|||||||||||||
431 |
II-VI, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/14/24 @ 102.50)(1) |
(B+, B2) |
12/15/29 |
5.000 |
377,076 |
|||||||||||||
235 |
Sensata Technologies B.V., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00) (1) |
(BB+, Ba3) |
04/15/29 |
4.000 |
199,818 |
|||||||||||||
1,200 |
Synaptics, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/24 @ 102.00) (1) |
(B+, Ba3) |
06/15/29 |
4.000 |
976,188 |
|||||||||||||
|
|
|||||||||||||||||
2,399,596 |
||||||||||||||||||
|
|
|||||||||||||||||
Energy - Exploration & Production (1.8%) |
||||||||||||||||||
150 |
CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 105.44) (1) |
(BB, B1) |
03/14/27 |
7.250 |
147,206 |
|||||||||||||
550 |
CNX Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/24 @ 104.50) (1),(3) |
(BB, B1) |
01/15/29 |
6.000 |
512,495 |
|||||||||||||
595 |
Northern Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 03/01/24 @ 104.06) (1) |
(B+, B3) |
03/01/28 |
8.125 |
561,665 |
|||||||||||||
600 |
Rockcliff Energy II LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.75) (1) |
(B+, B3) |
10/15/29 |
5.500 |
546,861 |
|||||||||||||
880 |
W&T Offshore, Inc., Rule 144A, Secured Notes (Callable 08/01/22 @ 102.44) (1) |
(B, Caa2) |
11/01/23 |
9.750 |
839,450 |
|||||||||||||
|
|
|||||||||||||||||
2,607,677 |
||||||||||||||||||
|
|
|||||||||||||||||
Environmental (0.4%) |
||||||||||||||||||
400 |
Darling Ingredients, Inc. Rule 144A, Company Guaranteed Notes (Callable 06/15/25 @ 103.00) (1) |
(BB+, Ba3) |
06/15/30 |
6.000 |
399,570 |
|||||||||||||
200 |
Stericycle, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/23 @ 101.94) (1) |
(BB-, NR) |
01/15/29 |
3.875 |
163,771 |
|||||||||||||
|
|
|||||||||||||||||
563,341 |
||||||||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (0.5%) |
||||||||||||||||||
800 |
U.S. Foods, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/25 @ 102.31) (1),(3) |
(B+, B3) |
06/01/30 |
4.625 |
682,390 |
|||||||||||||
|
|
|||||||||||||||||
Gaming (2.6%) |
||||||||||||||||||
325 |
Boyd Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/26 @ 102.38) (1) |
(BB-, B3) |
06/15/31 |
4.750 |
275,275 |
|||||||||||||
800 |
CDI Escrow Issuer, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/25 @ 102.88) (1) |
(B+, B1) |
04/01/30 |
5.750 |
737,920 |
|||||||||||||
231 |
Churchill Downs, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/23 @ 102.38) (1) |
(B+, B1) |
01/15/28 |
4.750 |
206,493 |
|||||||||||||
1,200 |
Fertitta Entertainment Finance Co., Inc, Rule 144A, Senior Secured Notes (Callable 01/15/25 @ 102.31) (1) |
(B, B2) |
01/15/29 |
4.625 |
1,026,402 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Gaming |
||||||||||||||||||
$ |
1,475 |
Jacobs Entertainment, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.38) (1) |
(B, B2) |
02/15/29 |
6.750 |
$ |
1,249,411 |
|||||||||||
320 |
Peninsula Pacific Entertainment Finance, Rule 144A, Senior Unsecured Notes (Callable 11/15/23 @ 104.25) (1) |
(B, B3) |
11/15/27 |
8.500 |
336,478 |
|||||||||||||
|
|
|||||||||||||||||
3,831,979 |
||||||||||||||||||
|
|
|||||||||||||||||
Gas Distribution (4.9%) |
||||||||||||||||||
800 |
CNX Midstream Partners LP, Rule 144A, Company Guaranteed Notes (Callable 04/15/25 @ 102.38) (1) |
(BB, B1) |
04/15/30 |
4.750 |
673,016 |
|||||||||||||
750 |
Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 08/01/22 @ 100.00) |
(B, B2) |
06/15/24 |
5.625 |
704,355 |
|||||||||||||
425 |
Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 08/01/22 @ 103.25) |
(B, B2) |
10/01/25 |
6.500 |
392,636 |
|||||||||||||
675 |
Genesis Energy Finance Corp., Company Guaranteed Notes (Callable 08/01/22 @ 103.13) |
(B, B2) |
05/15/26 |
6.250 |
604,044 |
|||||||||||||
1,200 |
Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 102.56) (1) |
(BB+, Ba2) |
06/15/28 |
5.125 |
1,079,280 |
|||||||||||||
400 |
Hess Midstream Operations LP, Rule 144A, Company Guaranteed Notes (Callable 10/15/25 @ 102.75) (1) |
(BB+, Ba2) |
10/15/30 |
5.500 |
359,676 |
|||||||||||||
400 |
Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 103.19) (1) |
(BB+, Ba3) |
04/15/27 |
6.375 |
377,808 |
|||||||||||||
950 |
New Fortress Energy, Inc., Rule 144A, Senior Secured Notes (Callable 03/31/23 @ 103.25) (1) |
(BB-, B1) |
09/30/26 |
6.500 |
861,687 |
|||||||||||||
1,180 |
Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 04/15/29 @ 100.00) (1) |
(BB+, Ba2) |
07/15/29 |
4.950 |
1,010,930 |
|||||||||||||
610 |
Rockies Express Pipeline LLC, Rule 144A, Senior Unsecured Notes (Callable 02/15/30 @ 100.00) (1) |
(BB+, Ba2) |
05/15/30 |
4.800 |
508,877 |
|||||||||||||
200 |
Suburban Energy Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/26 @ 102.50) (1) |
(BB-, B1) |
06/01/31 |
5.000 |
168,123 |
|||||||||||||
500 |
Tallgrass Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 105.63) (1) |
(BB-, B1) |
10/01/25 |
7.500 |
484,781 |
|||||||||||||
|
|
|||||||||||||||||
7,225,213 |
||||||||||||||||||
|
|
|||||||||||||||||
Health Facility (0.1%) |
||||||||||||||||||
200 |
Option Care Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/31/24 @ 102.19) (1) |
(B-, B3) |
10/31/29 |
4.375 |
171,799 |
|||||||||||||
|
|
|||||||||||||||||
Health Services (4.2%) |
||||||||||||||||||
1,060 |
AMN Healthcare, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.00) (1) |
(BB-, Ba3) |
04/15/29 |
4.000 |
897,635 |
|||||||||||||
1,000 |
MEDNAX, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 102.69) (1),(3) |
(B+, Ba3) |
02/15/30 |
5.375 |
858,380 |
|||||||||||||
1,600 |
Minerva Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/25 @ 103.25) (1),(3) |
(CCC, Caa2) |
02/15/30 |
6.500 |
1,332,728 |
|||||||||||||
1,138 |
Owens & Minor, Inc., Global Senior Secured Notes (Callable 09/15/24 @ 100.00) |
(BB-, Ba3) |
12/15/24 |
4.375 |
1,113,797 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Health Services |
||||||||||||||||||
$ |
1,850 |
Radiology Partners, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.63) (1) |
(CCC, Caa2) |
02/01/28 |
9.250 |
$ |
1,384,488 |
|||||||||||
235 |
RP Escrow Issuer LLC, Rule 144A, Senior Secured Notes (Callable 12/15/22 @ 102.63) (1) |
(B-, B2) |
12/15/25 |
5.250 |
203,452 |
|||||||||||||
393 |
Service Corp., International, Global Senior Unsecured Notes (Callable 05/15/26 @ 102.00) |
(BB, Ba3) |
05/15/31 |
4.000 |
336,345 |
|||||||||||||
|
|
|||||||||||||||||
6,126,825 |
||||||||||||||||||
|
|
|||||||||||||||||
Insurance Brokerage (4.5%) |
||||||||||||||||||
1,301 |
Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 101.75) (1) |
(CCC+, Caa2) |
11/15/25 |
7.000 |
1,173,746 |
|||||||||||||
1,000 |
Acrisure Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 107.59) (1) |
(CCC+, Caa2) |
08/01/26 |
10.125 |
972,941 |
|||||||||||||
181 |
Alliant Holdings Co-Issuer, Rule 144A, Senior Unsecured Notes(Callable 10/15/22 @ 103.38) (1) |
(CCC+, Caa2) |
10/15/27 |
6.750 |
161,094 |
|||||||||||||
780 |
GTCR AP Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 104.00) (1) |
(CCC+, Caa2) |
05/15/27 |
8.000 |
731,203 |
|||||||||||||
625 |
NFP Corp., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.44) (1) |
(B, B1) |
08/15/28 |
4.875 |
536,237 |
|||||||||||||
2,712 |
NFP Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/23 @ 103.44) (1) |
(CCC+, Caa2) |
08/15/28 |
6.875 |
2,264,032 |
|||||||||||||
800 |
Ryan Specialty Group LLC, Rule 144A, Senior Secured Notes (Callable 02/01/25 @ 102.19) (1) |
(BB-, B1) |
02/01/30 |
4.375 |
697,000 |
|||||||||||||
|
|
|||||||||||||||||
6,536,253 |
||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (3.1%) |
||||||||||||||||||
1,385 |
AG Issuer LLC, Rule 144A, Senior Secured Notes (Callable 03/01/23 @ 103.13) (1) |
(B-, B2) |
03/01/28 |
6.250 |
1,210,595 |
|||||||||||||
1,700 |
Armor Holdco, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 104.25) (1) |
(CCC+, Caa1) |
11/15/29 |
8.500 |
1,407,839 |
|||||||||||||
1,200 |
Compass Group Diversified Holdings LLC, Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.63) (1) |
(B+, B1) |
04/15/29 |
5.250 |
992,586 |
|||||||||||||
800 |
Compass Group Diversified Holdings LLC, Rule 144A, Senior Unsecured Notes (Callable 01/15/27 @ 102.50) (1) |
(B+, B1) |
01/15/32 |
5.000 |
619,941 |
|||||||||||||
136 |
CPI CG, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/23 @ 104.31) (1) |
(B, B3) |
03/15/26 |
8.625 |
128,691 |
|||||||||||||
200 |
Paysafe Holdings U.S. Corp., Rule 144A, Senior Secured Notes (Callable 06/15/24 @ 102.00) (1),(3) |
(B, B1) |
06/15/29 |
4.000 |
144,455 |
|||||||||||||
|
|
|||||||||||||||||
4,504,107 |
||||||||||||||||||
|
|
|||||||||||||||||
Machinery (4.8%) |
||||||||||||||||||
1,225 |
Arcosa., Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.19) (1) |
(BB, Ba2) |
04/15/29 |
4.375 |
1,032,590 |
|||||||||||||
1,680 |
ATS Automation Tooling Systems, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/23 @ 102.06) (1) |
(B+, B2) |
12/15/28 |
4.125 |
1,405,261 |
|||||||||||||
1,400 |
Dornoch Debt Merger Sub, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 103.31) (1) |
(CCC, Caa1) |
10/15/29 |
6.625 |
1,030,750 |
|||||||||||||
1,700 |
Granite U.S. Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/22 @ 105.50) (1) |
(CCC+, Caa1) |
10/01/27 |
11.000 |
1,600,253 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Machinery |
||||||||||||||||||
$ |
1,838 |
Harsco Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 102.88) (1),(3) |
(B+, B1) |
07/31/27 |
5.750 |
$ |
1,473,065 |
|||||||||||
400 |
Hillenbrand, Inc., Global Company Guaranteed Notes (Callable 08/01/22 @ 102.88) |
(BB+, Ba1) |
06/15/25 |
5.750 |
408,666 |
|||||||||||||
|
|
|||||||||||||||||
6,950,585 |
||||||||||||||||||
|
|
|||||||||||||||||
Managed Care (0.4%) |
||||||||||||||||||
705 |
HealthEquity, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.25) (1) |
(B, B3) |
10/01/29 |
4.500 |
617,756 |
|||||||||||||
|
|
|||||||||||||||||
Media - Diversified (0.1%) |
||||||||||||||||||
200 |
News Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/27 @ 102.56) (1) |
(BB+, Ba1) |
02/15/32 |
5.125 |
177,480 |
|||||||||||||
|
|
|||||||||||||||||
Media Content (0.8%) |
||||||||||||||||||
980 |
Diamond Sports Finance Co., Rule 144A, Company Guaranteed Notes (Callable 08/15/22 @ 103.31) (1) |
(CCC-, Ca) |
08/15/27 |
6.625 |
122,500 |
|||||||||||||
491 |
Diamond Sports Finance Co., Rule 144A, Secured Notes (Callable 08/15/22 @ 102.69) (1) |
(CCC+, Caa3) |
08/15/26 |
5.375 |
123,364 |
|||||||||||||
200 |
Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.00) (1) |
(BB, Ba3) |
07/15/28 |
4.000 |
173,709 |
|||||||||||||
800 |
Sirius XM Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/01/24 @ 102.75) (1) |
(BB, Ba3) |
07/01/29 |
5.500 |
730,956 |
|||||||||||||
|
|
|||||||||||||||||
1,150,529 |
||||||||||||||||||
|
|
|||||||||||||||||
Medical Products (1.7%) |
||||||||||||||||||
675 |
Embecta Corp., Rule 144A, Senior Secured Notes (Callable 02/15/27 @ 101.25) (1) |
(B+, Ba3) |
02/15/30 |
5.000 |
567,706 |
|||||||||||||
800 |
Medline Borrower LP, Rule 144A, Senior secured Notes (Callable 10/01/24 @ 101.94) (1) |
(B+, B1) |
04/01/29 |
3.875 |
684,888 |
|||||||||||||
1,400 |
Medline Borrower LP, Rule 144A, Senior Unsecured Notes (Callable 10/01/24 @ 102.63) (1),(3) |
(B-, Caa1) |
10/01/29 |
5.250 |
1,162,448 |
|||||||||||||
|
|
|||||||||||||||||
2,415,042 |
||||||||||||||||||
|
|
|||||||||||||||||
Metals & Mining - Excluding Steel (3.4%) |
||||||||||||||||||
250 |
Canpack U.S. LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 101.94) (1) |
(BB, NR) |
11/15/29 |
3.875 |
195,412 |
|||||||||||||
1,600 |
ERO Copper Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/25 @ 103.25) (1) |
(B, B1) |
02/15/30 |
6.500 |
1,285,984 |
|||||||||||||
1,500 |
First Quantum Minerals Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/11/22 @ 103.44) (1) |
(B+, NR) |
03/01/26 |
6.875 |
1,384,455 |
|||||||||||||
400 |
Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/23 @ 102.31) (1) |
(BB, B1) |
03/01/28 |
4.625 |
333,574 |
|||||||||||||
400 |
Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/26 @ 102.25) (1) |
(BB, B1) |
06/01/31 |
4.500 |
304,492 |
|||||||||||||
110 |
Novelis Corp., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.38) (1) |
(BB, B1) |
01/30/30 |
4.750 |
91,640 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Metals & Mining - Excluding Steel |
||||||||||||||||||
$ |
1,129 |
SunCoke Energy, Inc., Rule 144A, Senior Secured Notes (Callable 06/30/24 @ 102.44) (1) |
(BB, B1) |
06/30/29 |
4.875 |
$ |
893,494 |
|||||||||||
550 |
Taseko Mines Ltd., Rule 144A, Senior Secured Notes (Callable 02/15/23 @ 103.50) (1) |
(B-, B3) |
02/15/26 |
7.000 |
468,944 |
|||||||||||||
|
|
|||||||||||||||||
4,957,995 |
||||||||||||||||||
|
|
|||||||||||||||||
Packaging (2.2%) |
||||||||||||||||||
460 |
Ardagh Metal Packaging Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 101.50) (1),(2) |
(B+, B3) |
09/01/29 |
3.000 |
359,968 |
|||||||||||||
400 |
Intelligent Packaging Ltd. Co-Issuer LLC, Rule 144A, Senior Secured Notes(Callable 09/15/22 @ 103.00) (1) |
(B-, B3) |
09/15/28 |
6.000 |
332,120 |
|||||||||||||
525 |
Pactiv Evergreen Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/23 @ 102.00) (1) |
(B+, B1) |
10/15/27 |
4.000 |
449,941 |
|||||||||||||
2,380 |
TriMas Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/24 @ 102.06) (1) |
(BB-, Ba3) |
04/15/29 |
4.125 |
2,036,292 |
|||||||||||||
|
|
|||||||||||||||||
3,178,321 |
||||||||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (1.2%) |
||||||||||||||||||
800 |
Diamond BC B.V., Rule 144A, Company Guaranteed Notes (Callable 10/01/24 @ 102.31) (1),(3) |
(B, Caa1) |
10/01/29 |
4.625 |
640,868 |
|||||||||||||
1,350 |
High Ridge Brands Co., Rule 144A, Senior Unsecured Notes (Callable 08/08/22 @ 100.00) (1),(4),(5),(7),(8) |
(NR, NR) |
03/15/25 |
0.000 |
13,500 |
|||||||||||||
1,600 |
MajorDrive Holdings IV LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.19) (1) |
(CCC+, Caa2) |
06/01/29 |
6.375 |
1,098,896 |
|||||||||||||
|
|
|||||||||||||||||
1,753,264 |
||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (3.0%) |
||||||||||||||||||
500 |
Bausch Health Americas, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.63) (1) |
(B-, B3) |
04/01/26 |
9.250 |
358,877 |
|||||||||||||
250 |
Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 08/02/22 @ 104.50) (1) |
(B-, B3) |
12/15/25 |
9.000 |
181,933 |
|||||||||||||
500 |
Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/30/24 @ 103.63) (1) |
(B-, B3) |
05/30/29 |
7.250 |
272,023 |
|||||||||||||
700 |
Bausch Health Cos., Inc., Rule 144A, Company Guaranteed Notes (Callable 01/30/25 @ 102.63) (1) |
(B-, B3) |
01/30/30 |
5.250 |
363,426 |
|||||||||||||
400 |
Bausch Health Cos., Inc., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.44) (1) |
(BB-, Ba3) |
06/01/28 |
4.875 |
312,092 |
|||||||||||||
708 |
Emergent BioSolutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/23 @ 101.94) (1) |
(BB-, B1) |
08/15/28 |
3.875 |
502,862 |
|||||||||||||
650 |
Endo Finance LLC, Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 100.00) (1) |
(CC, Caa2) |
10/15/24 |
5.875 |
497,250 |
|||||||||||||
400 |
Endo U.S., Inc., Rule 144A, Senior Secured Notes (Callable 04/01/24 @ 104.59) (1),(3) |
(CC, Caa2) |
04/01/29 |
6.125 |
302,836 |
|||||||||||||
940 |
Grifols Escrow Issuer S.A., Rule 144A, Senior Unsecured Notes (Callable 10/15/24 @ 102.38) (1) |
(B, B3) |
10/15/28 |
4.750 |
816,653 |
|||||||||||||
900 |
Jazz Securities DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.19) (1) |
(BB-, Ba2) |
01/15/29 |
4.375 |
800,168 |
|||||||||||||
|
|
|||||||||||||||||
4,408,120 |
||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Real Estate Development & Management (0.6%) |
||||||||||||||||||
$ |
1,135 |
WeWork Cos., Inc., Rule 144A, Company Guaranteed Notes (1),(3) |
(CCC+, Wr) |
05/01/25 |
7.875 |
$ |
832,205 |
|||||||||||
|
|
|||||||||||||||||
Real Estate Investment Trusts (2.2%) |
||||||||||||||||||
1,271 |
Global Net Lease Operating Partnership LP, Rule 144A, Company Guaranteed Notes (Callable 09/15/27 @ 100.00) (1) |
(BBB-, Ba3) |
12/15/27 |
3.750 |
1,064,931 |
|||||||||||||
1,400 |
iStar, Inc., Global Senior Unsecured Notes (Callable 08/15/22 @ 102.75) |
(BB, Ba2) |
02/15/26 |
5.500 |
1,319,717 |
|||||||||||||
200 |
iStar, Inc., Senior Unsecured Notes (Callable 07/01/24 @ 100.00) |
(BB, Ba2) |
10/01/24 |
4.750 |
188,643 |
|||||||||||||
750 |
VICI Note Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/26 @ 100.00) (1) |
(BBB-, Ba1) |
02/01/27 |
5.750 |
713,029 |
|||||||||||||
|
|
|||||||||||||||||
3,286,320 |
||||||||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (5.2%) |
||||||||||||||||||
800 |
Boyne U.S.A., Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.38) (1) |
(B, B1) |
05/15/29 |
4.750 |
694,008 |
|||||||||||||
1,227 |
Merlin Entertainments Ltd., Rule 144A, Secured Notes (Callable 03/17/26 @ 100.00) (1) |
(B, B2) |
06/15/26 |
5.750 |
1,121,299 |
|||||||||||||
500 |
Motion Bondco DAC, Rule 144A, Company Guaranteed Notes (Callable 11/15/22 @ 103.31) (1),(3) |
(CCC, Caa2) |
11/15/27 |
6.625 |
396,547 |
|||||||||||||
589 |
Powdr Corp., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.00) (1) |
(B, B1) |
08/01/25 |
6.000 |
587,572 |
|||||||||||||
1,775 |
SeaWorld Parks & Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.63) (1),(3) |
(B-, Caa1) |
08/15/29 |
5.250 |
1,504,667 |
|||||||||||||
300 |
SeaWorld Parks & Entertainment, Inc., Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 104.38) (1) |
(BB-, Ba3) |
05/01/25 |
8.750 |
311,069 |
|||||||||||||
1,150 |
Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 100.00) (1) |
(B-, B3) |
07/31/24 |
4.875 |
1,095,680 |
|||||||||||||
2,115 |
Speedway Funding II, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/22 @ 102.44) (1) |
(BB-, B2) |
11/01/27 |
4.875 |
1,875,080 |
|||||||||||||
|
|
|||||||||||||||||
7,585,922 |
||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.8%) |
||||||||||||||||||
1,225 |
Yum Brands, Inc., Global Senior Unsecured Notes (Callable 04/01/27 @ 102.69) |
(BB, Ba3) |
04/01/32 |
5.375 |
1,127,809 |
|||||||||||||
|
|
|||||||||||||||||
Software - Services (5.6%) |
||||||||||||||||||
635 |
CA Magnum Holdings, Rule 144A, Senior Secured Notes (Callable 10/31/23 @ 102.69) (1) |
(NR, B1) |
10/31/26 |
5.375 |
551,899 |
|||||||||||||
610 |
CDK Global, Inc., Global Senior Unsecured Notes (Callable 08/01/22 @ 102.44) |
(B-, Caa1) |
06/01/27 |
4.875 |
596,150 |
|||||||||||||
500 |
CDK Global, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/24 @ 102.63) (1) |
(B-, Caa1) |
05/15/29 |
5.250 |
493,073 |
|||||||||||||
2,100 |
Elastic NV, Rule 144A, Senior Unsecured Notes (Callable 07/15/24 @ 102.06) (1) |
(B+, B1) |
07/15/29 |
4.125 |
1,755,684 |
|||||||||||||
1,775 |
Endurance International Group Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/15/24 @ 103.00) (1) |
(CCC+, Caa2) |
02/15/29 |
6.000 |
1,286,772 |
|||||||||||||
257 |
GD Finance Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 102.63) (1) |
(BB-, Ba3) |
12/01/27 |
5.250 |
235,650 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Software - Services |
||||||||||||||||||
$ |
425 |
Open Text Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/26 @ 102.06) (1) |
(BB, Ba2) |
12/01/31 |
4.125 |
$ |
351,251 |
|||||||||||
787 |
Presidio Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/01/23 @ 104.13) (1) |
(CCC+, Caa1) |
02/01/28 |
8.250 |
692,804 |
|||||||||||||
2,305 |
Virtusa Corp., Rule 144A, Senior Unsecured Notes (Callable 12/15/23 @ 103.56) (1) |
(CCC+, Caa2) |
12/15/28 |
7.125 |
1,856,274 |
|||||||||||||
400 |
ZoomInfo Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/24 @ 101.94) (1) |
(B+, B1) |
02/01/29 |
3.875 |
337,920 |
|||||||||||||
|
|
|||||||||||||||||
8,157,477 |
||||||||||||||||||
|
|
|||||||||||||||||
Specialty Retail (3.8%) |
||||||||||||||||||
40 |
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/23 @ 102.25) (3) |
(BB, B1) |
03/01/28 |
4.500 |
34,755 |
|||||||||||||
491 |
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/01/25 @ 102.38) |
(BB, B1) |
03/01/30 |
4.750 |
404,312 |
|||||||||||||
200 |
Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31) (1) |
(BB, B1) |
11/15/29 |
4.625 |
165,536 |
|||||||||||||
200 |
Asbury Automotive Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.50) (1) |
(BB, B1) |
02/15/32 |
5.000 |
163,796 |
|||||||||||||
950 |
eG Global Finance PLC, Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 104.25) (1) |
(B-, B3) |
10/30/25 |
8.500 |
921,647 |
|||||||||||||
400 |
LCM Investments Holdings II LLC, Rule 144A, Senior Unsecured Notes (Callable 05/01/24 @ 102.44) (1) |
(BB-, B2) |
05/01/29 |
4.875 |
305,594 |
|||||||||||||
200 |
Murphy Oil U.S.A., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/26 @ 101.88) (1) |
(BB+, Ba2) |
02/15/31 |
3.750 |
170,319 |
|||||||||||||
400 |
Penske Automotive Group, Inc., Company Guaranteed Notes (Callable 06/15/24 @ 101.88) |
(BB-, Ba3) |
06/15/29 |
3.750 |
334,607 |
|||||||||||||
51 |
Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 05/01/23 @ 101.88) (1) |
(NR, NR) |
05/01/25 |
7.500 |
34,894 |
|||||||||||||
1,850 |
Ruyi U.S. Finance LLC, Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.75) (1) |
(NR, Caa1) |
05/01/25 |
7.500 |
1,325,321 |
|||||||||||||
600 |
Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/24 @ 102.31) (1) |
(BB-, B1) |
11/15/29 |
4.625 |
465,693 |
|||||||||||||
1,150 |
Sonic Automotive, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/26 @ 102.44) (1),(3) |
(BB-, B1) |
11/15/31 |
4.875 |
866,727 |
|||||||||||||
450 |
Wolverine World Wide, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/24 @ 102.00) (1),(3) |
(BB-, Ba2) |
08/15/29 |
4.000 |
361,652 |
|||||||||||||
|
|
|||||||||||||||||
5,554,853 |
||||||||||||||||||
|
|
|||||||||||||||||
Support - Services (7.9%) |
||||||||||||||||||
782 |
Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31) (1) |
(B, B2) |
06/01/28 |
4.625 |
638,541 |
|||||||||||||
318 |
Allied Universal Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/01/24 @ 102.31) (1) |
(B, B2) |
06/01/28 |
4.625 |
263,945 |
|||||||||||||
1,300 |
Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 06/01/24 @ 103.00) (1) |
(CCC+, Caa1) |
06/01/29 |
6.000 |
950,542 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Support - Services |
||||||||||||||||||
$ |
905 |
Allied Universal Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/22 @ 104.88) (1) |
(CCC+, Caa1) |
07/15/27 |
9.750 |
$ |
768,313 |
|||||||||||
400 |
APi Escrow Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/24 @ 102.38) (1) |
(B, B1) |
10/15/29 |
4.750 |
321,886 |
|||||||||||||
475 |
APi Group DE, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/24 @ 102.06) (1) |
(B, B1) |
07/15/29 |
4.125 |
377,917 |
|||||||||||||
400 |
Clarivate Science Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 06/30/24 @ 102.44) (1),(3) |
(CCC+, Caa1) |
07/01/29 |
4.875 |
329,606 |
|||||||||||||
1,600 |
CoreLogic, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/24 @ 102.25) (1) |
(B-, B2) |
05/01/28 |
4.500 |
1,234,576 |
|||||||||||||
2,035 |
GEMS Education Delaware LLC, Rule 144A, Senior Secured Notes (Callable 08/01/22 @ 103.56) (1) |
(B-, B3) |
07/31/26 |
7.125 |
1,922,696 |
|||||||||||||
2,000 |
GYP Holdings III Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/24 @ 102.31) (1) |
(B, B2) |
05/01/29 |
4.625 |
1,562,520 |
|||||||||||||
200 |
Pegasystems, Inc., Senior Unsecured Notes |
(NR, NR) |
03/01/25 |
0.750 |
162,300 |
|||||||||||||
500 |
WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 103.56) (1) |
(BB, B1) |
06/15/25 |
7.125 |
498,125 |
|||||||||||||
500 |
WESCO Distribution, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/23 @ 103.63) (1) |
(BB, B1) |
06/15/28 |
7.250 |
495,710 |
|||||||||||||
1,231 |
White Cap Buyer LLC, Rule 144A, Senior Unsecured Notes (Callable 10/15/23 @ 103.44) (1) |
(CCC+, Caa1) |
10/15/28 |
6.875 |
986,499 |
|||||||||||||
595 |
Williams Scotsman International, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/23 @ 102.31) (1) |
(B+, B2) |
08/15/28 |
4.625 |
508,094 |
|||||||||||||
700 |
ZipRecruiter, Inc., Rule 144A, Senior Unsecured Notes (Callable 01/15/25 @ 102.50) (1) |
(BB-, B2) |
01/15/30 |
5.000 |
588,882 |
|||||||||||||
|
|
|||||||||||||||||
11,610,152 |
||||||||||||||||||
|
|
|||||||||||||||||
Tech Hardware & Equipment (4.6%) |
||||||||||||||||||
1,200 |
Ciena Corp., Rule 144A, Company Guaranteed Notes (Callable 01/31/25 @ 102.00) (1) |
(BB, Ba1) |
01/31/30 |
4.000 |
1,037,178 |
|||||||||||||
759 |
CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 07/11/22 @ 101.00) (1) |
(CCC+, Caa1) |
06/15/25 |
6.000 |
658,004 |
|||||||||||||
340 |
CommScope Technologies LLC, Rule 144A, Company Guaranteed Notes (Callable 07/11/22 @ 102.50) (1) |
(CCC+, Caa1) |
03/15/27 |
5.000 |
251,548 |
|||||||||||||
650 |
CommScope, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 104.13) (1) |
(CCC+, Caa1) |
03/01/27 |
8.250 |
515,443 |
|||||||||||||
685 |
CommScope, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/24 @ 102.38) (1) |
(B, B1) |
09/01/29 |
4.750 |
554,507 |
|||||||||||||
1,350 |
Entegris Escrow Corp., Rule 144A, Senior Secured Notes (Callable 01/15/29 @ 100.00) (1) |
(BB+, Baa3) |
04/15/29 |
4.750 |
1,261,204 |
|||||||||||||
1,600 |
Imola Merger Corp., Rule 144A, Senior Secured Notes (Callable 05/15/24 @ 102.38) (1) |
(BB-, B1) |
05/15/29 |
4.750 |
1,343,984 |
|||||||||||||
1,320 |
Vertiv Group Corp., Rule 144A, Senior Secured Notes (Callable 11/15/24 @ 102.06) (1) |
(BB-, B1) |
11/15/28 |
4.125 |
1,073,767 |
|||||||||||||
|
|
|||||||||||||||||
6,695,635 |
||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (2.7%) |
||||||||||||||||||
1,656 |
Altice France S.A., Rule 144A, Senior Secured Notes (Callable 09/15/23 @ 102.56) (1) |
(B, B2) |
01/15/29 |
5.125 |
1,256,862 |
|||||||||||||
200 |
Altice France S.A., Rule 144A, Senior Secured Notes (Callable 04/15/24 @ 102.56) (1) |
(B, B2) |
07/15/29 |
5.125 |
151,629 |
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
CORPORATE BONDS (continued) |
||||||||||||||||||
Telecom - Wireline Integrated & Services |
||||||||||||||||||
$ |
200 |
Altice France S.A., Rule 144A, Senior Secured Notes (Callable 10/15/24 @ 102.75) (1) |
(B, B2) |
10/15/29 |
5.500 |
$ |
153,375 |
|||||||||||
2,651 |
GTT Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 101.97) (1),(4) |
(NR, Wr) |
12/31/24 |
0.000 |
212,204 |
|||||||||||||
1,193 |
LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 10/15/22 @ 103.38) (1) |
(B+, B1) |
10/15/27 |
6.750 |
1,116,034 |
|||||||||||||
200 |
LCPR Senior Secured Financing DAC, Rule 144A, Senior Secured Notes (Callable 07/15/24 @ 102.56) (1) |
(B+, B1) |
07/15/29 |
5.125 |
167,381 |
|||||||||||||
500 |
Virgin Media Secured Finance PLC, Rule 144A, Senior Secured Notes (Callable 07/11/22 @ 102.50) (1),(9) |
(BB-, Ba3) |
04/15/27 |
5.000 |
551,767 |
|||||||||||||
400 |
Vmed O2 UK Financing I PLC, Rule 144A, Senior Secured Notes (Callable 01/31/26 @ 102.13) (1) |
(BB-, Ba3) |
01/31/31 |
4.250 |
322,654 |
|||||||||||||
|
|
|||||||||||||||||
3,931,906 |
||||||||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (2.9%) |
||||||||||||||||||
1,538 |
AMC Entertainment Holdings, Inc., 10.00% Cash, 12.00% PIK, Rule 144A, Secured Notes (Callable 06/15/23 @ 106.00) (1),(10) |
(CCC-, Caa3) |
06/15/26 |
10.000 |
1,025,503 |
|||||||||||||
1,025 |
Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 101.22) (1) |
(B-, B3) |
11/01/24 |
4.875 |
980,787 |
|||||||||||||
700 |
Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/01/22 @ 102.81) (1) |
(B-, B3) |
03/15/26 |
5.625 |
665,840 |
|||||||||||||
325 |
Live Nation Entertainment, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/22 @ 103.56) (1),(3) |
(B-, B3) |
10/15/27 |
4.750 |
291,866 |
|||||||||||||
800 |
Technicolor S.A., Rule 144A (1),(2),(5) |
(NR, NR) |
05/31/29 |
4.500 |
877,592 |
|||||||||||||
400 |
Technicolor S.A., Tranche 2 Notes (2) |
(NR, NR) |
06/30/24 |
6.000 |
433,862 |
|||||||||||||
|
|
|||||||||||||||||
4,275,450 |
||||||||||||||||||
|
|
|||||||||||||||||
Transport Infrastructure/Services (0.4%) |
||||||||||||||||||
622 |
Navios Maritime Finance II U.S., Inc., Rule 144A, Senior Secured Notes (Callable 07/11/22 @ 100.00) (1) |
(B, Caa1) |
08/15/22 |
11.250 |
618,683 |
|||||||||||||
|
|
|||||||||||||||||
Trucking & Delivery (0.4%) |
||||||||||||||||||
800 |
XO Management Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/25 @ 103.19) (1) |
(B-, Caa1) |
02/01/30 |
6.375 |
642,112 |
|||||||||||||
|
|
|||||||||||||||||
TOTAL CORPORATE BONDS (Cost $174,374,002) |
145,495,021 |
|||||||||||||||||
|
|
|||||||||||||||||
BANK LOANS (32.4%) |
||||||||||||||||||
Aerospace & Defense (1.4%) |
||||||||||||||||||
1,050 |
Amentum Government Services Holdings LLC, LIBOR 3M + 8.750% (5),(11) |
(NR, NR) |
01/31/28 |
11.000 |
1,002,750 |
|||||||||||||
300 |
Amentum Government Services Holdings LLC, SOFR 6M + 4.000%, SOFR 3M + 4.000% (11) |
(B, B1) |
02/15/29 |
4.777 – 5.597 |
286,502 |
|||||||||||||
728 |
Peraton Corp., LIBOR 1M + 7.750% (11) |
(NR, NR) |
02/01/29 |
9.005 |
680,779 |
|||||||||||||
|
|
|||||||||||||||||
1,970,031 |
||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Auto Parts & Equipment (1.0%) |
||||||||||||||||||
$ |
722 |
Dayco Products LLC, LIBOR 3M + 4.250% (11) |
(CCC, Caa2) |
05/19/23 |
5.825 |
$ |
663,078 |
|||||||||||
238 |
Jason Group, Inc., LIBOR 1M + 1.000% Cash, 9.000% PIK (10),(11) |
(NR, Caa3) |
03/02/26 |
11.666 |
234,807 |
|||||||||||||
329 |
Jason Group, Inc., LIBOR 3M + 6.000% Cash, 4.000% PIK (10),(11) |
(NR, Caa1) |
08/28/25 |
11.666 |
314,195 |
|||||||||||||
357 |
U.S. Farathane LLC, LIBOR 3M + 4.250% (5),(11) |
(CCC+, B2) |
12/23/24 |
6.500 |
311,989 |
|||||||||||||
|
|
|||||||||||||||||
1,524,069 |
||||||||||||||||||
|
|
|||||||||||||||||
Banking (0.6%) |
||||||||||||||||||
889 |
Citco Funding LLC, LIBOR 3M + 2.500% (11) |
(NR, Ba3) |
09/28/23 |
4.750 |
866,762 |
|||||||||||||
|
|
|||||||||||||||||
Chemicals (5.7%) |
||||||||||||||||||
1,459 |
Ascend Performance Materials Operations LLC, LIBOR 3M + 4.750% (11) |
(BB-, Ba3) |
08/27/26 |
7.000 |
1,426,202 |
|||||||||||||
3,568 |
Atotech B.V., LIBOR 1M + 2.500% (11) |
(B+, B1) |
03/18/28 |
4.166 |
3,417,812 |
|||||||||||||
1,452 |
Polar U.S. Borrower LLC, LIBOR 1M + 4.750% (5),(11) |
(B-, B3) |
10/15/25 |
6.005 |
1,331,775 |
|||||||||||||
1,750 |
Vantage Specialty Chemicals, Inc., LIBOR 3M + 8.250% (6),(11) |
(CCC-, Caa2) |
10/27/25 |
9.825 |
1,685,110 |
|||||||||||||
544 |
Zep, Inc., LIBOR 3M + 4.000% (11) |
(CCC+, B2) |
08/12/24 |
6.250 |
480,252 |
|||||||||||||
|
|
|||||||||||||||||
8,341,151 |
||||||||||||||||||
|
|
|||||||||||||||||
Diversified Capital Goods (0.8%) |
||||||||||||||||||
1,031 |
Electrical Components International, Inc., PRIME + 7.500% (5),(11) |
(B-, B2) |
06/26/25 |
12.250 |
948,835 |
|||||||||||||
244 |
GrafTech Finance, Inc., LIBOR 1M + 3.000% (11) |
(BB, Ba3) |
02/12/25 |
4.666 |
237,558 |
|||||||||||||
|
|
|||||||||||||||||
1,186,393 |
||||||||||||||||||
|
|
|||||||||||||||||
Electronics (2.5%) |
||||||||||||||||||
750 |
CPI International, Inc., LIBOR 3M + 7.250% (5),(6),(11) |
(CCC, NRcaa2) |
07/26/25 |
8.489 |
730,794 |
|||||||||||||
1,550 |
EXC Holdings III Corp., LIBOR 3M + 7.500% (5),(11) |
(CCC+, Caa1) |
12/01/25 |
8.500 |
1,495,750 |
|||||||||||||
1,534 |
Idemia Group, LIBOR 3M + 4.500% (11) |
(B-, B2) |
01/09/26 |
6.750 |
1,435,754 |
|||||||||||||
|
|
|||||||||||||||||
3,662,298 |
||||||||||||||||||
|
|
|||||||||||||||||
Food & Drug Retailers (0.7%) |
||||||||||||||||||
1,000 |
WOOF Holdings, Inc., LIBOR 3M + 7.250% (5),(11) |
(CCC, Caa2) |
12/21/28 |
9.313 |
965,000 |
|||||||||||||
|
|
|||||||||||||||||
Food - Wholesale (0.4%) |
||||||||||||||||||
518 |
United Natural Foods, Inc., LIBOR 1M + 3.250% (11) |
(BB-, B1) |
10/22/25 |
4.890 |
500,891 |
|||||||||||||
|
|
|||||||||||||||||
Gas Distribution (0.7%) |
||||||||||||||||||
1,111 |
Traverse Midstream Partners LLC, SOFR 3M + 4.250%, SOFR 6M + 4.250% (11) |
(B+, B3) |
09/27/24 |
5.384 – 5.950 |
1,063,172 |
|||||||||||||
|
|
|||||||||||||||||
Health Services (1.4%) |
||||||||||||||||||
541 |
Carestream Health, Inc., LIBOR 3M + 6.750% (11) |
(B-, B1) |
05/08/23 |
9.500 |
538,334 |
|||||||||||||
1,616 |
U.S. Radiology Specialists, Inc., LIBOR 3M + 5.250% (11) |
(B-, B3) |
12/15/27 |
7.563 |
1,437,934 |
|||||||||||||
|
|
|||||||||||||||||
1,976,268 |
||||||||||||||||||
|
|
|||||||||||||||||
Investments & Misc. Financial Services (1.6%) |
||||||||||||||||||
1,500 |
AqGen Ascensus, Inc., LIBOR 3M + 6.500% (5),(11) |
(CCC, Caa2) |
08/02/29 |
7.500 |
1,406,250 |
|||||||||||||
865 |
Deerfield Dakota Holding LLC, LIBOR 1M + 6.750% (11) |
(CCC, Caa2) |
04/07/28 |
8.416 |
847,354 |
|||||||||||||
570 |
Ditech Holding Corp. (4),(8) |
(NR, NR) |
06/30/23 |
0.000 |
113,618 |
|||||||||||||
|
|
|||||||||||||||||
2,367,222 |
||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Life Insurance (0.5%) |
||||||||||||||||||
$ |
960 |
Vida Capital, Inc., LIBOR 1M + 6.000% (5),(11) |
(CCC, B2) |
10/01/26 |
7.666 |
$ |
777,397 |
|||||||||||
|
|
|||||||||||||||||
Machinery (1.1%) |
||||||||||||||||||
487 |
Granite Holdings U.S. Acquisition Co., LIBOR 3M + 4.000% (11) |
(B, B1) |
09/30/26 |
6.250 |
460,843 |
|||||||||||||
798 |
LTI Holdings, Inc., LIBOR 1M + 6.750% (6),(11) |
(CCC+, Caa2) |
09/06/26 |
8.416 |
729,913 |
|||||||||||||
438 |
LTI Holdings, Inc., LIBOR 1M + 3.500% (11) |
(B-, B2) |
09/06/25 |
5.166 |
408,242 |
|||||||||||||
|
|
|||||||||||||||||
1,598,998 |
||||||||||||||||||
|
|
|||||||||||||||||
Media Content (0.1%) |
||||||||||||||||||
118 |
Diamond Sports Group, LLC, SOFR 1M + 8.000% (11) |
(B, B2) |
05/26/26 |
9.181 |
117,484 |
|||||||||||||
|
|
|||||||||||||||||
Medical Products (0.8%) |
||||||||||||||||||
615 |
Femur Buyer, Inc., LIBOR 3M + 5.500% (5),(11) |
(NR, NR) |
03/05/24 |
7.750 |
517,211 |
|||||||||||||
689 |
Viant Medical Holdings, Inc., LIBOR 1M + 6.250% (5),(11) |
(CCC+, B3) |
07/02/25 |
7.916 |
684,197 |
|||||||||||||
|
|
|||||||||||||||||
1,201,408 |
||||||||||||||||||
|
|
|||||||||||||||||
Packaging (0.2%) |
||||||||||||||||||
540 |
Strategic Materials, Inc., LIBOR 3M + 7.750% (6),(11) |
(CC, C) |
10/31/25 |
9.036 |
270,000 |
|||||||||||||
|
|
|||||||||||||||||
Personal & Household Products (1.6%) |
||||||||||||||||||
800 |
ABG Intermediate Holdings 2 LLC, SOFR 1M + 6.000% (5),(11) |
(CCC+, Caa1) |
12/20/29 |
7.673 |
748,000 |
|||||||||||||
1,109 |
Serta Simmons Bedding LLC, LIBOR 1M + 7.500% (11) |
(B, B2) |
08/10/23 |
9.009 |
1,083,523 |
|||||||||||||
747 |
Serta Simmons Bedding LLC, LIBOR 1M + 7.500% (11) |
(B-, Caa2) |
08/10/23 |
9.009 |
530,506 |
|||||||||||||
|
|
|||||||||||||||||
2,362,029 |
||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.3%) |
||||||||||||||||||
490 |
Akorn, Inc., LIBOR 3M + 7.500% (11) |
(CCC+, Caa2) |
10/01/25 |
8.500 |
478,726 |
|||||||||||||
|
|
|||||||||||||||||
Recreation & Travel (1.9%) |
||||||||||||||||||
763 |
Bulldog Purchaser, Inc., LIBOR 3M + 7.750% (11) |
(CCC-, Caa3) |
09/04/26 |
9.325 |
699,839 |
|||||||||||||
976 |
Bulldog Purchaser, Inc., LIBOR 3M + 3.750% (11) |
(B-, B3) |
09/05/25 |
5.325 |
898,637 |
|||||||||||||
529 |
Hornblower Sub LLC, LIBOR 3M + 4.500% (11) |
(CCC-, Caa2) |
04/27/25 |
7.377 |
400,007 |
|||||||||||||
773 |
Hornblower Sub LLC, LIBOR 3M + 8.125% (11) |
(NR, NR) |
11/10/25 |
10.057 |
789,626 |
|||||||||||||
|
|
|||||||||||||||||
2,788,109 |
||||||||||||||||||
|
|
|||||||||||||||||
Restaurants (0.1%) |
||||||||||||||||||
200 |
Tacala LLC, LIBOR 1M + 7.500% (11) |
(CCC, Caa2) |
02/04/28 |
9.166 |
187,667 |
|||||||||||||
|
|
|||||||||||||||||
Software - Services (4.5%) |
||||||||||||||||||
1,203 |
Aston FinCo Sarl, LIBOR 1M + 4.250% (11) |
(B-, B2) |
10/09/26 |
5.916 |
1,143,706 |
|||||||||||||
904 |
Astra Acquisition Corp., LIBOR 1M + 5.250% (11) |
(B-, B2) |
10/25/28 |
6.916 |
789,900 |
|||||||||||||
600 |
CommerceHub, Inc., LIBOR 3M + 7.000% (5),(11) |
(CCC, Caa2) |
12/29/28 |
9.250 |
516,000 |
|||||||||||||
1,250 |
Epicor Software Corp., LIBOR 1M + 7.750% (11) |
(CCC, Caa2) |
07/31/28 |
9.416 |
1,221,250 |
|||||||||||||
465 |
Finastra U.S.A., Inc., LIBOR 3M + 3.500% (11) |
(B-, B2) |
06/13/24 |
4.739 |
420,814 |
|||||||||||||
2,361 |
Finastra U.S.A., Inc., LIBOR 3M + 7.250% (11) |
(CCC, Caa2) |
06/13/25 |
8.489 |
2,047,034 |
|||||||||||||
475 |
Project Leopard Holdings, Inc., LIBOR 3M + 4.500% (11) |
(B, B2) |
07/07/24 |
6.166 |
473,276 |
|||||||||||||
|
|
|||||||||||||||||
6,611,980 |
||||||||||||||||||
|
|
Par (000) |
Ratings† (S&P/Moody’s) |
Maturity |
Rate% |
Value |
||||||||||||||
BANK LOANS (continued) |
||||||||||||||||||
Support - Services (2.0%) |
||||||||||||||||||
$ |
2,260 |
Change Healthcare Holdings LLC, LIBOR 1M + 2.500% (11) |
(B+, B1) |
03/01/24 |
4.166 |
$ |
2,205,805 |
|||||||||||
400 |
LaserShip, Inc. (5),(12) |
(CCC, Caa2) |
05/07/29 |
0.000 |
390,000 |
|||||||||||||
400 |
TruGreen Limited Partnership, LIBOR 1M + 8.500% (5),(11) |
(CCC+, Caa1) |
11/02/28 |
10.166 |
386,000 |
|||||||||||||
|
|
|||||||||||||||||
2,981,805 |
||||||||||||||||||
|
|
|||||||||||||||||
Telecom - Wireline Integrated & Services (0.6%) |
||||||||||||||||||
875 |
TVC Albany, Inc., LIBOR 1M + 7.500% (6),(11) |
(CCC, Caa2) |
07/23/26 |
9.170 |
794,062 |
|||||||||||||
|
|
|||||||||||||||||
Theaters & Entertainment (1.9%) |
||||||||||||||||||
515 |
Technicolor S.A., LIBOR 6M + 6.000% Cash, 6.000% PIK (10),(11) |
(B, Caa1) |
06/30/24 |
12.446 |
526,369 |
|||||||||||||
846 |
TopGolf International, Inc., LIBOR 1M + 6.250% (11) |
(B, B3) |
02/09/26 |
7.892 |
835,448 |
|||||||||||||
1,564 |
William Morris Endeavor Entertainment LLC, LIBOR 1M + 2.750% (11) |
(B, B3) |
05/18/25 |
4.420 |
1,477,124 |
|||||||||||||
|
|
|||||||||||||||||
2,838,941 |
||||||||||||||||||
|
|
|||||||||||||||||
TOTAL BANK LOANS (Cost $51,027,298) |
47,431,863 |
|||||||||||||||||
|
|
|||||||||||||||||
ASSET BACKED SECURITIES (7.1%) |
||||||||||||||||||
Collateralized Debt Obligations (7.1%) |
||||||||||||||||||
650 |
Anchorage Capital CLO 15 Ltd., 2020-15A, Rule 144A, LIBOR 3M + 7.400% (1),(11) |
(NR, Ba3) |
07/20/34 |
8.463 |
602,950 |
|||||||||||||
1,000 |
Anchorage Capital CLO 25 Ltd., 2022-25A, Rule 144A, SOFR 3M + 7.170% (1),(11) |
(NR, Ba3) |
04/20/35 |
7.411 |
908,987 |
|||||||||||||
500 |
Anchorage Credit Funding Ltd., 2016-4A, Rule 144A (1) |
(NR, Ba3) |
04/27/39 |
6.659 |
405,560 |
|||||||||||||
750 |
Battalion CLO 18 Ltd., 2020-18A, Rule 144A, LIBOR 3M + 6.710% (1),(11) |
(BB-, NR) |
10/15/36 |
7.754 |
664,933 |
|||||||||||||
1,000 |
Battalion CLO XV Ltd., 2020-15A, Rule 144A, LIBOR 3M + 6.350% (1),(11) |
(BB-, NR) |
01/17/33 |
7.394 |
908,518 |
|||||||||||||
1,000 |
Cedar Funding VI CLO Ltd., 2016-6A, Rule 144A, LIBOR 3M + 6.720%(1),(11) |
(BB-, NR) |
04/20/34 |
7.783 |
887,761 |
|||||||||||||
1,000 |
KKR CLO Ltd., 14, Rule 144A, LIBOR 3M + 6.150% (1),(11) |
(NR, B1) |
07/15/31 |
7.194 |
875,348 |
|||||||||||||
1,000 |
KKR CLO Ltd., 16, Rule 144A, LIBOR 3M + 7.110% (1),(11) |
(BB-, NR) |
10/20/34 |
8.173 |
897,892 |
|||||||||||||
1,000 |
Marble Point CLO XXIII Ltd., 2021-4A, Rule 144A, LIBOR 3M + 5.750%(1),(11) |
(NR, Ba1) |
01/22/35 |
6.886 |
845,214 |
|||||||||||||
400 |
MP CLO III Ltd., 2013-1A, Rule 144A, LIBOR 3M + 3.050%(1),(11) |
(NR, Ba1) |
10/20/30 |
4.113 |
330,608 |
|||||||||||||
1,000 |
Oaktree CLO Ltd., 2019-4A, Rule 144A, LIBOR 3M + 7.230%(1),(11) |
(BB-, NR) |
10/20/32 |
8.293 |
864,923 |
|||||||||||||
1,000 |
Palmer Square Credit Funding Ltd., 2019-1A, Rule 144A(1) |
(NR, Baa2) |
04/20/37 |
5.459 |
878,949 |
|||||||||||||
1,000 |
Venture 41 CLO Ltd., 2021-41A, Rule 144A, LIBOR 3M + 7.710%(1),(11) |
(BB-, NR) |
01/20/34 |
8.773 |
880,883 |
|||||||||||||
400 |
Vibrant Clo VII Ltd., 2017-7A, Rule 144A, LIBOR 3M + 3.600%(1),(11) |
(NR, Baa3) |
09/15/30 |
4.663 |
360,165 |
|||||||||||||
|
|
|||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $11,464,793) |
10,312,691 |
|||||||||||||||||
|
|
|||||||||||||||||
Shares |
||||||||||||||||||
COMMON STOCKS (0.8%) |
||||||||||||||||||
Auto Parts & Equipment (0.1%) |
||||||||||||||||||
18,270 |
Jason Group, Inc. (8) |
196,405 |
||||||||||||||||
|
|
|||||||||||||||||
Chemicals (0.5%) |
||||||||||||||||||
2,794 |
Project Investor Holdings LLC (5),(6),(7),(8) |
28 |
Shares |
Value |
|||||||||||||||||
COMMON STOCKS (continued) |
||||||||||||||||||
Chemicals |
||||||||||||||||||
$ |
46,574 |
Proppants Holdings LLC (5),(6),(7),(8) |
$ |
932 |
||||||||||||||
10,028 |
UTEX Industries, Inc. (5),(8) |
671,876 |
||||||||||||||||
|
|
|||||||||||||||||
672,836 |
||||||||||||||||||
|
|
|||||||||||||||||
Pharmaceuticals (0.2%) |
||||||||||||||||||
45,583 |
Akorn Holding Company LLC (8) |
262,102 |
||||||||||||||||
|
|
|||||||||||||||||
Support - Services (0.0%) |
||||||||||||||||||
800 |
LTR Holdings LLC (5),(6),(7),(8) |
8 |
||||||||||||||||
433 |
Sprint Industrial Holdings LLC, Class G (5),(6),(7),(8) |
— |
||||||||||||||||
39 |
Sprint Industrial Holdings LLC, Class H (5),(6),(7),(8) |
— |
||||||||||||||||
96 |
Sprint Industrial Holdings LLC, Class I (5),(6),(7),(8) |
500 |
||||||||||||||||
|
|
|||||||||||||||||
508 |
||||||||||||||||||
|
|
|||||||||||||||||
TOTAL COMMON STOCKS (Cost $1,639,154) |
1,131,851 |
|||||||||||||||||
|
|
|||||||||||||||||
WARRANT (0.0%) |
||||||||||||||||||
Chemicals (0.0%) |
||||||||||||||||||
11,643 |
Project Investor Holdings LLC, expires 02/20/2022 (5),(6),(7),(8) (Cost $6,054) |
— |
||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS (9.7%) |
||||||||||||||||||
4,598,129 |
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.45% |
4,598,129 |
||||||||||||||||
9,654,683 |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56% (13) |
9,654,683 |
||||||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,252,812) |
14,252,812 |
|||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS AT VALUE (149.5%) (Cost $252,764,113) |
218,624,238 |
|||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-49.5%) |
(72,355,222 |
) | ||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS (100.0%) |
$ |
146,269,016 |
||||||||||||||||
|
|
† | Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
(1) |
Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, these securities amounted to a value of $146,246,795 or 100.0% of net assets. |
(2) |
This security is denominated in Euro. |
(3) |
Security or portion thereof is out on loan (See Note 2-K). |
(4) |
Bond is currently in default. |
(5) |
Security is valued using significant unobservable inputs. |
(6) |
Illiquid security. |
(7) |
Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors. |
(8) |
Non-income producing security. |
(9) |
This security is denominated in British Pound. |
(10) |
PIK: Payment-in-kind |
(11) |
Variable rate obligation - The interest rate shown is the rate in effect as of June 30, 2022. The rate may be subject to a cap and floor. |
(12) |
The rates on 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. The interest rate shown is the rate in effect as of June 30, 2022. |
(13) |
Represents security purchased with cash collateral received for securities on loan. |
Forward Currency to be Purchased (Local) |
Forward Currency to be Sold (Local) |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Unrealized Appreciation |
||||||||||||||||||||||
GBP |
21,284 | USD | 25,882 | 10/12/22 | JPMorgan Chase | $ | 25,882 | $ | 25,900 | $ | 18 | |||||||||||||||||
USD |
531,853 | EUR | 479,991 | 10/12/22 | Barclays Bank PLC | (531,853 | ) | (505,452 | ) | 26,401 | ||||||||||||||||||
USD |
2,365,021 | EUR | 2,079,062 | 10/12/22 | Deutsche Bank AG | (2,365,021 | ) | (2,189,347 | ) | 175,674 | ||||||||||||||||||
USD |
733,738 | GBP | 540,767 | 10/12/22 | Deutsche Bank AG | (733,738 | ) | (658,047 | ) | 75,691 | ||||||||||||||||||
$ | 277,784 | |||||||||||||||||||||||||||
Forward Currency to be Purchased (Local) |
Forward Currency to be Sold (Local) |
Expiration Date |
Counterparty |
Value on Settlement Date |
Current Value/Notional |
Unrealized Depreciation |
||||||||||||||||||||||
EUR |
204,744 | USD | 223,646 | 10/12/22 | Deutsche Bank AG | $ | 223,646 | $ | 215,604 | $ | (8,042 | ) | ||||||||||||||||
EUR |
179,722 | USD | 190,222 | 10/12/22 | JPMorgan Chase | 190,222 | 189,255 | (967 | ) | |||||||||||||||||||
EUR |
19,172 | USD | 22,069 | 10/12/22 | Morgan Stanley | 22,069 | 20,189 | (1,880 | ) | |||||||||||||||||||
GBP |
23,578 | USD | 29,404 | 10/12/22 | Barclays Bank PLC | 29,404 | 28,691 | (713 | ) | |||||||||||||||||||
GBP |
23,155 | USD | 30,381 | 10/12/22 | Deutsche Bank AG | 30,381 | 28,176 | (2,205 | ) | |||||||||||||||||||
$ | (13,807 | ) | ||||||||||||||||||||||||||
Total Net Unrealized Appreciation |
$ | 263,977 | ||||||||||||||||||||||||||
Assets |
||||
Investments at value, including collateral for securities on loan of $9,654,683 (Cost $252,764,113) (Note 2) |
$ |
218,624,238 |
1 | |
Cash |
27 |
|||
Foreign currency at value (Cost $857,383) |
816,348 |
|||
Interest receivable |
3,178,670 |
|||
Receivable for investments sold |
185,884 |
|||
Deferred offering costs (Note 7) |
438,311 |
|||
Unrealized appreciation on forward foreign currency contracts (Note 2) |
277,784 |
|||
Prepaid expenses and other assets |
19,160 |
|||
Total assets |
223,540,422 |
|||
Liabilities |
||||
Investment advisory fee payable (Note 3) |
186,384 |
|||
Administrative services fee payable (Note 3) |
16,099 |
|||
Loan payable (Note 4) |
65,500,000 |
|||
Payable upon return of securities loaned (Note 2) |
9,654,683 |
|||
Payable for investments purchased |
1,668,151 |
|||
Directors’ fee payable |
47,125 |
|||
Offering costs (Note 7) |
18,212 |
|||
Unrealized depreciation on forward foreign currency contracts (Note 2) |
13,807 |
|||
Interest payable (Note 4) |
105,462 |
|||
Accrued expenses |
61,483 |
|||
Total liabilities |
77,271,406 |
|||
Net Assets |
||||
Applicable to |
$ |
146,269,016 |
||
Net Assets |
||||
Capital stock, $.001 par value (Note 6) |
52,339 |
|||
Paid-in capital (Note 6) |
194,908,210 |
|||
Total distributable earnings (loss) |
(48,691,533 |
) | ||
Net assets |
$ |
146,269,016 |
||
Net Asset Value Per Share |
$2.79 |
|||
Market Price Per Share |
$2.73 |
|||
1 |
Includes $9,415,695 of securities on loan. |
Investment Income |
||||
Interest |
$ |
7,022,313 |
||
Securities lending (net of rebates) |
10,300 |
|||
Total investment income |
7,032,613 |
|||
Expenses |
||||
Investment advisory fees (Note 3) |
394,260 |
|||
Administrative services fees (Note 3) |
32,897 |
|||
Interest expense (Note 4) |
423,171 |
|||
Directors’ fees |
66,671 |
|||
Custodian fees |
41,952 |
|||
Commitment fees (Note 4) |
40,425 |
|||
Printing fees |
34,667 |
|||
Transfer agent fees |
26,420 |
|||
Audit and tax fees |
24,497 |
|||
Stock exchange listing fees |
8,325 |
|||
Legal fees |
7,779 |
|||
Insurance expense |
414 |
|||
Miscellaneous expense |
5,170 |
|||
Total expenses |
1,106,648 |
|||
Net investment income |
5,925,965 |
|||
Net Realized and Unrealized Gain (Loss) from Investments, Foreign Currency and Forward Foreign Currency Contracts |
||||
Net realized loss from investments |
(994,128 |
) | ||
Net realized loss from foreign currency transactions |
(14,836 |
) | ||
Net change in unrealized appreciation (depreciation) from investments |
(31,443,802 |
) | ||
Net change in unrealized appreciation (depreciation) from foreign currency translations |
9,974 |
|||
Net change in unrealized appreciation (depreciation) from forward foreign currency contracts |
237,826 |
|||
Net realized and unrealized loss from investments, foreign currency transactions and forward foreign currency contracts |
(32,204,966 |
) | ||
Net decrease in net assets resulting from operations |
$ |
(26,279,001 |
) | |
For the Six Months Ended June 30, 2022 (unaudited) |
For the Year Ended December 31, 2021 |
|||||||
From Operations |
||||||||
Net investment income |
$ |
5,925,965 |
$ |
12,159,108 |
||||
Net realized gain (loss) from investments, foreign currency transactions and forward foreign currency contracts |
(1,008,964 |
) |
1,603,243 |
|||||
Net change in unrealized appreciation (depreciation) from investments, foreign currency translations and forward foreign currency contracts |
(31,196,002 |
) |
1,217,360 |
|||||
Net increase (decrease) in net assets resulting from operations |
(26,279,001 |
) |
14,979,711 |
|||||
From Distributions |
||||||||
From distributable earnings |
(7,065,764 |
) |
(12,783,466 |
) | ||||
Return of capital |
— |
(1,341,529 |
) | |||||
Net decrease in net assets resulting from distributions |
(7,065,764 |
) |
(14,124,995 |
) | ||||
From Capital Share Transactions (Note 6) |
||||||||
Reinvestment of distributions |
— |
117,849 |
||||||
Net increase in net assets from capital share transactions |
— |
117,849 |
||||||
Net increase (decrease) in net assets |
(33,344,765 |
) |
972,565 |
|||||
Net Assets |
||||||||
Beginning of period |
179,613,781 |
178,641,216 |
||||||
End of period |
$ |
146,269,016 |
$ |
179,613,781 |
||||
Reconciliation of Net Decrease in Net Assets from Operations to Net Cash Provided by Operating Activities |
||||||||
Net decrease in net assets resulting from operations |
$ |
(26,279,001 |
) | |||||
Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Provided by Operating Activities |
||||||||
Increase in interest receivable |
$ |
(86,911 |
) |
|||||
Decrease in accrued expenses |
(175,757 |
) |
||||||
Increase in payable upon return of securities loaned |
5,747,818 |
|||||||
Increase in interest payable |
46,480 |
|||||||
Increase in prepaid expenses and other assets |
(17,777 |
) |
||||||
Decrease in advisory fees payable |
(40,217 |
) |
||||||
Net amortization of a premium or accretion of a discount on investments |
(36,142 |
) |
||||||
Purchases of long-term securities, net of change in payable for investments purchased |
(60,551,271 |
) |
||||||
Sales of long-term securities, net of change in receivable for investments sold |
52,801,763 |
|||||||
Net proceeds from sales (purchases) of short-term securities |
(2,784,313 |
) |
||||||
Net change in unrealized (appreciation) depreciation from investments and forward foreign currency contracts |
31,205,976 |
|||||||
Net realized loss from investments |
994,128 |
|||||||
Total adjustments |
27,103,777 |
|||||||
Net cash provided by operating activities 1 |
$ |
824,776 |
||||||
Cash Flows From Financing Activities |
||||||||
Borrowings on revolving credit facility |
7,000,000 |
|||||||
Cash distributions paid |
(7,065,764 |
) |
||||||
Net cash used in financing activities |
(65,764 |
) | ||||||
Net increase in cash |
759,012 |
|||||||
Cash — beginning of period |
57,363 |
|||||||
Cash — end of period |
$ |
816,375 |
||||||
1 |
Included in net cash provided by operating activities is cash of $376,691 paid for interest on borrowings. |
For the Six Months Ended June 30, 2022 (unaudited) |
For the Year Ended December 31, |
|||||||||||||||||||||||
2021 |
2020 |
2019 |
2018 |
2017 |
||||||||||||||||||||
Per share operating performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ |
3.43 |
$ |
3.42 |
$ |
3.48 |
$ |
3.21 |
$ |
3.58 |
$ |
3.48 |
||||||||||||
INVESTMENT OPERATIONS |
||||||||||||||||||||||||
Net investment income 1 |
0.11 |
0.23 |
0.27 |
0.26 |
0.27 |
0.24 |
||||||||||||||||||
Net gain (loss) from investments, foreign currency transactions and forward foreign currency contracts (both realized and unrealized) |
(0.61 |
) |
0.05 |
(0.06 |
) |
0.28 |
(0.37 |
) |
0.12 |
|||||||||||||||
Total from investment activities |
(0.50 |
) |
0.28 |
0.21 |
0.54 |
(0.10 |
) |
0.36 |
||||||||||||||||
LESS DIVIDENDS AND DISTRIBUTIONS |
||||||||||||||||||||||||
Dividends from net investment income |
(0.14 |
) |
(0.24 |
) |
(0.27 |
) |
(0.27 |
) |
(0.27 |
) |
(0.24 |
) | ||||||||||||
Return of capital |
— |
(0.03 |
) |
— |
(0.00 |
) 2 |
— |
(0.02 |
) | |||||||||||||||
Total dividends and distributions |
(0.14 |
) |
(0.27 |
) |
(0.27 |
) |
(0.27 |
) |
(0.27 |
) |
(0.26 |
) | ||||||||||||
Net asset value, end of period |
$ |
2.79 |
$ |
3.43 |
$ |
3.42 |
$ |
3.48 |
$ |
3.21 |
$ |
3.58 |
||||||||||||
Per share market value, end of period |
$ |
2.73 |
$ |
3.43 |
$ |
3.15 |
$ |
3.22 |
$ |
2.77 |
$ |
3.31 |
||||||||||||
TOTAL INVESTMENT RETURN 3 |
||||||||||||||||||||||||
Net asset value |
(14.86 |
)% |
8.51 |
% |
8.08 |
% |
18.17 |
% |
(2.39 |
)% |
11.34 |
% | ||||||||||||
Market value |
(16.69 |
)% |
17.82 |
% |
7.58 |
% |
26.71 |
% |
(8.89 |
)% |
13.37 |
% | ||||||||||||
RATIOS AND SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$ |
146,269 |
$ |
179,614 |
$ |
178,641 |
$ |
182,030 |
$ |
167,897 |
$ |
187,472 |
||||||||||||
Ratio of net expenses to average net assets |
1.34 |
% 4 |
1.07 |
% |
1.25 |
% |
1.92 |
% |
1.82 |
% |
1.06 |
% | ||||||||||||
Ratio of net expenses to average net assets excluding interest expense |
0.83 |
% 4 |
0.80 |
% |
0.75 |
% |
0.78 |
% |
0.78 |
% |
0.90 |
% | ||||||||||||
Ratio of net investment income to average net assets |
7.18 |
% 4 |
6.70 |
% |
8.55 |
% |
7.59 |
% |
7.83 |
% |
6.75 |
% | ||||||||||||
Asset Coverage per $1,000 of Indebtedness |
$ |
3,233 |
$ |
4,070 |
$ |
4,162 |
$ |
4,021 |
$ |
3,373 |
$ |
5,075 |
||||||||||||
Portfolio turnover rate 5 |
24 |
% |
53 |
% |
36 |
% |
35 |
% |
39 |
% |
64 |
% |
1 |
Per share information is calculated using the average shares outstanding method. |
2 |
This amount represents less than $(0.01) per share. |
3 |
Total investment return at net asset value is based on the change in the net asset value of Fund shares and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Total investment return at market value is based on the change in the market price at which the Fund’s shares traded on the stock exchange during the period and assumes reinvestment of dividends and distributions, if any, at actual prices pursuant to the Fund’s dividend reinvestment program. Because the Fund’s shares trade in the stock market based on investor demand, the Fund may trade at a price higher or lower than its NAV. Therefore, returns are calculated based on NAV and share price. Total returns for periods less than one year are not annualized. |
4 |
Annualized. |
5 |
Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
• | Level 1 — quoted prices in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Assets |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Investments in Securities |
||||||||||||||||
Corporate Bonds |
$ | — | $ | 144,600,199 | $ | 894,822 | $ | 145,495,021 | ||||||||
Bank Loans |
— | 35,219,915 | 12,211,948 | 47,431,863 | ||||||||||||
Asset Backed Securities |
— | 10,312,691 | — | 10,312,691 | ||||||||||||
Common Stocks |
— | 458,507 | 673,344 | 1,131,851 | ||||||||||||
Warrants |
— | — | 0 | (1) |
0 | (1) | ||||||||||
Short-term Investments |
4,598,129 | 9,654,683 | — | 14,252,812 | ||||||||||||
$ | 4,598,129 | $ | 200,245,995 | $ | 13,780,114 | $ | 218,624,238 | |||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | — | $ | 277,784 | $ | — | $ | 277,784 | ||||||||
Liabilities |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Contracts |
$ | — | $ | 13,807 | $ | — | $ | 13,807 |
(1) |
Includes zero valued security. |
* | Other financial instruments include unrealized appreciation (depreciation) on forward foreign currency contracts. |
Corporate Bonds |
Bank Loans |
Common Stocks |
Warrant |
Total |
||||||||||||||||
Balance as of December 31, 2021 |
$ | 18,917 | $ | 8,217,766 | $ | 5,700 | $ | 0 | (1) |
$ | 8,242,383 | |||||||||
Accrued discounts (premiums) |
630 | 25,889 | — | — | 26,519 | |||||||||||||||
Purchases |
866,892 | 996,629 | — | — | 1,863,521 | |||||||||||||||
Sales |
— | (2,269,321 | ) | — | — | (2,269,321 | ) | |||||||||||||
Realized gain (loss) |
— | 15,585 | (44,986 | ) | — | (29,401 | ) | |||||||||||||
Change in unrealized appreciation (depreciation) |
8,383 | (388,698 | ) | 40,754 | — | (339,561 | ) | |||||||||||||
Transfers into Level 3 |
— | 6,678,161 | 671,876 | — | 7,350,037 | |||||||||||||||
Transfers out of Level 3 |
— | (1,064,063 | ) | — | — | (1,064,063 | ) | |||||||||||||
Balance as of June 30, 2022 |
$ | 894,822 | $ | 12,211,948 | $ | 673,344 | $ | 0 | (1) |
$ | 13,780,114 | |||||||||
Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2022 |
$ | 8,383 | $ | (264,954 | ) | $ | (4,232 | ) | — | $ | (260,803 | ) |
(1) |
Includes zero valued security. |
Asset Class |
Fair Value At 06/30/2022 |
Valuation Technique |
Unobservable Input |
Range (Weighted Average)* |
||||||||||||
Bank Loans |
$ | 12,211,948 | Vendor pricing | Single Broker Quote | $ | 0.81 - $0.99 ($0.93 |
) | |||||||||
Common Stocks |
$ | 1,468 | Income Approach | Expected Remaining Distribution | $ | 0.00 - $5.22 ($1.79 |
) | |||||||||
671,876 | Vendor pricing | Single Broker Quote | $ | 67.00 (N/A | ) | |||||||||||
Corporate Bonds |
$ | 881,322 | Income Approach | Expected Remaining Distribution | $ | 0.01 - $1.10 ($1.09 |
) | |||||||||
13,500 | Vendor pricing | Single Broker Quote | $ | 0.01 (N/A | ) | |||||||||||
Warrants |
$ | 0 | Income Approach | Expected Remaining Distribution | $ | 0.00 (N/A | ) |
* | Weighted by relative fair value |
Primary Underlying Risk |
Derivative Assets |
Derivative Liabilities |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
||||||||||||
Foreign currency exchange rate forward contracts |
$ | 277,784 | $ | 13,807 | $ | — | $ | 237,826 |
Counterparty |
Gross Amount of Derivative Assets Presented in Statement of Assets and Liabilities (a) |
Financial Instruments and Derivatives Available for Offset |
Non-Cash Collateral Received |
Cash Collateral Received |
Net Amount of Derivative Assets |
|||||||||||||||
Barclays Bank PLC |
$ | 26,401 | $ | (713 | ) | $ | — | $ | — | $ | 25,688 | |||||||||
Deutsche Bank AG |
251,365 | (10,247 | ) | — | — | 241,118 | ||||||||||||||
JPMorgan Chase |
18 | (18 | ) | — | — | — | ||||||||||||||
$ | 277,784 | $ | (10,978 | ) | $ | — | $ | — | $ | 266,806 | ||||||||||
Counterparty |
Gross Amount of Derivative Liabilities Presented in Statement of Assets and Liabilities (a) |
Financial Instruments and Derivatives Available for Offset |
Non-Cash Collateral Pledged |
Cash Collateral Pledged |
Net Amount of Derivative Liabilities |
|||||||||||||||
Barclays Bank PLC |
$ | 713 | $ | (713 | ) | $ | — | $ | — | $ | — | |||||||||
Deutsche Bank AG |
10,247 | (10,247 | ) | — | — | — | ||||||||||||||
JPMorgan Chase |
967 | (18 | ) | — | — | 949 | ||||||||||||||
Morgan Stanley |
1,880 | — | — | — | 1,880 | |||||||||||||||
$ | 13,807 | $ | (10,978 | ) | $ | — | $ | — | $ | 2,829 | ||||||||||
(a) |
Forward foreign currency contracts are included. |
Market Value of Loaned Securities |
Market Value of Cash Collateral |
Total Collateral |
||||||
$9,415,695 | $ | 9,654,683 | $ | 9,654,683 |
Gross Asset Amounts Presented in the Statement of Assets and Liabilities (a) |
Collateral Received (b) |
Net Amount |
||||||
$9,415,695 | $ | (9,415,695 | ) | $ | — |
(a) |
Represents market value of loaned securities at period end. |
(b) |
The actual collateral received is greater than the amount shown here due to collateral requirements of the security lending agreement. |
Average Daily Loan Balance |
Weighted Average Interest Rate |
Maximum Daily Loan Outstanding |
Interest Expense |
Number of Days Outstanding |
||||||||||||||
$ | 64,107,735 | 1.31 | % | $ | 65,500,000 | $ | 423,171 | 181 |
Investment Securities |
U.S. Government/ Agency Obligations |
|||||||||||
Purchases |
Sales |
Purchases |
Sales |
|||||||||
$56,841,540 | $ | 52,586,978 | $ | 0 | $ | 0 |
For the Six Months Ended June 30, 2022 |
For the Year Ended December 31, 2021 |
|||||||
Shares issued through reinvestment of distributions |
— | 34,063 | ||||||
Net increase |
— | 34,063 | ||||||
NOMINEE |
“FOR” NOMINEE |
WITHHELD | ||
Laura A. DeFelice | 31,513,561 | 3,512,348 |
Shares |
% of total shares outstanding |
% of total shares voted |
||||||||||
For |
10,366,023 | 19.81 | % | 29.60 | % | |||||||
Against |
5,012,322 | 9.58 | % | 14.31 | % | |||||||
Abstain |
881,278 | 1.68 | % | 2.52 | % | |||||||
Broker Non-votes |
18,766,299 | 53.58 | % | 53.58 | % |
Shares |
% of total shares outstanding |
% of total shares voted |
||||||||||
For |
8,621,804 | 16.47 | % | 24.62 | % | |||||||
Against |
6,906,335 | 13.20 | % | 19.72 | % | |||||||
Abstain |
731,480 | 1.40 | % | 2.09 | % | |||||||
Broker Non-votes |
18,766,290 | 53.58 | % | 53.58 | % |
Shares |
% of total shares outstanding |
% of total shares voted |
||||||||||
For |
8,421,768 | 16.09 | % | 24.04 | % | |||||||
Against |
6,955,320 | 13.29 | % | 19.86 | % | |||||||
Abstain |
882,535 | 1.69 | % | 2.52 | % | |||||||
Broker Non-votes |
18,766,290 | 53.58 | % | 53.58 | % |
• | Information we receive from you on applications, forms, agreements, questionnaires, Credit Suisse websites and other websites that are part of our investment program, or in the course of establishing or maintaining a customer relationship, such as your name, address, e-mail address, Social Security number, assets, income, financial situation; and |
• | Information we obtain from your transactions and experiences with us, our affiliates, or others, such as your account balances or other investment information, assets purchased and sold, and other parties to a transaction, where applicable. |
• | We do not disclose nonpublic personal information about our individual investors, except as permitted or required by law or regulation. Whether you are an individual investor or institutional investor, we may share the information described above with our affiliates that perform services on our behalf, and with our asset management and private banking affiliates; as well as with unaffiliated third parties that perform services on our behalf, such as our accountants, auditors, attorneys, broker-dealers, fund administrators, and other service providers. |
• | We want our investors to be informed about additional products or services. We do not disclose nonpublic personal information relating to individual investors to our affiliates for marketing purposes, nor do we use such information received from our affiliates to solicit individual investors for such purposes. Whether you are an individual investor or an institutional investor, we may disclose information, including nonpublic personal information, regarding our transactions and experiences with you to our affiliates. |
• | In addition, whether you are an individual investor or an institutional investor, we reserve the right to disclose information, including nonpublic personal information, about you to any person or s organization having jurisdiction over us or our affiliates, if (i) we determine in our discretion that such disclosure is necessary or advisable pursuant to or in connection with any United States federal, state or local, or non-U.S., court order (or other legal process), law, rule, regulation, or executive order or policy, including without limitation any anti-money laundering law or the USA PATRIOT Act of 2001; and (ii) such disclosure is not otherwise prohibited by law, rule, regulation, or executive order or policy. |
• | To protect nonpublic personal information about individual investors, we restrict access to those employees and agents who need to know that information to provide products or services to us and to our investors. We maintain physical, electronic, and procedural safeguards to protect nonpublic personal information. |
• | By calling 1-800-293-1232 |
• | On the Fund’s website, www.credit-suisse.com/us/funds |
• | On the website of the Securities and Exchange Commission, www.sec.gov |
Credit Suisse Commodity Return Strategy Fund | Credit Suisse Strategic Income Fund | |
Credit Suisse Floating Rate High Income Fund | Credit Suisse Managed Futures Strategy Fund | |
Credit Suisse Multialternative Strategy Fund |
By Internet: | www.computershare.com |
By phone: | (800) 730-6001 (U.S. and Canada) |
(781) 575-3100 (Outside U.S. and Canada) |
By mail: | Credit Suisse Asset Management Income Fund, Inc. |
c/o Computershare |
P.O. Box 30170 |
College Station, TX 77842-3170 |
Computershare |
211 Quality Circle, Suite 210 |
College Station, TX 77845 |
Item 2. | Code of Ethics. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 3. | Audit Committee Financial Expert. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 4. | Principal Accountant Fees and Services. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 5. | Audit Committee of Listed Registrants. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 6. | Schedule of Investments. |
(a) | This schedule is included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors since the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g) of Schedule 14A in its definitive proxy statement dated March 29, 2022.
Item 11. | Controls and Procedures. |
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
This item is inapplicable to a semi-annual report on Form N-CSR.
Item 13. | Exhibits. |
(a)(1) Not applicable.
(a)(3) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. | ||
/s/ John G. Popp | ||
Name: | John G. Popp | |
Title: | Chief Executive Officer and President | |
Date: | August 22, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ John G. Popp | ||
Name: | John G. Popp | |
Title: | Chief Executive Officer and President | |
Date: | August 22, 2022 | |
/s/ Omar Tariq | ||
Name: | Omar Tariq | |
Title: | Chief Financial Officer and Treasurer | |
Date: | August 22, 2022 |