Monthly Portfolio Investments Report on Form N-port (public) (nport-p)
27 Mai 2022 - 03:21PM
Edgar (US Regulatory)
The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM NPORT-P
Monthly Portfolio Investments Report
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NPORT-P: Filer Information
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Confidential
| ☐ |
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Filer CIK
| 0001502573 |
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Filer CCC
| ******** |
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Filer Investment Company Type
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Is this a LIVE or TEST Filing?
| ☐ LIVE
☐ TEST
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Would you like a Return Copy?
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Is this an electronic copy of an official filing submitted in paper format?
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Submission Contact Information
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Name
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Phone
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E-Mail Address
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Notification Information
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Notify via Filing Website only?
| ☐ |
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Notification E-mail Address
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Series ID
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NPORT-P: Part A: General Information
Item A.1. Information about the Registrant.
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a. Name of Registrant
| Apollo Senior Floating Rate Fund Inc. |
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b. Investment Company Act file number for Registrant: (e.g., 811-______)
| 811-22481 |
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c. CIK number of Registrant
| 0001502573 |
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d. LEI of Registrant
| 5493005XHGCCBXT5YQ39 |
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e. Address and telephone number of Registrant:
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i. Street Address 1
| 9 West 57th Street |
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ii. Street Address 2
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iii. City
| New York |
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iv. State, if applicable
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v. Foreign country, if applicable
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vi. Zip / Postal Code
| 10019 |
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vii. Telephone number
| 877-864-4834 |
Item A.2. Information about the Series.
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a. Name of Series.
| Apollo Senior Floating Rate Fund Inc. |
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b. EDGAR series identifier (if any).
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c. LEI of Series.
| 5493005XHGCCBXT5YQ39 |
Item A.3. Reporting period.
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a. Date of fiscal year-end.
| 2022-12-31 |
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b. Date as of which information is reported.
| 2022-03-31 |
Item A.4. Final filing
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a. Does the Fund anticipate that this will be its final filing on Form N PORT?
| ☐ Yes
☒ No
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NPORT-P: Part B: Information About the Fund
| Report the following information for the Fund and its consolidated subsidiaries. |
Item B.1. Assets and liabilities. Report amounts in U.S. dollars.
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a. Total assets, including assets attributable to miscellaneous securities reported in Part D.
| 434007325.050000000000 |
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b. Total liabilities.
| 183372961.760000000000 |
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c. Net assets.
| 250634363.290000000000 |
Item B.2. Certain assets and liabilities. Report amounts in U.S. dollars.
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a. Assets attributable to miscellaneous securities reported in Part D.
| 0.000000000000 |
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b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
| 0.000000000000 |
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c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
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| Amounts payable within one year. |
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Banks or other financial institutions for borrowings.
| 130000000.000000000000 |
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Controlled companies.
| 0.000000000000 |
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Other affiliates.
| 0.000000000000 |
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Others.
| 0.000000000000 |
| Amounts payable after one year. |
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Banks or other financial institutions for borrowings.
| 0.000000000000 |
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Controlled companies.
| 0.000000000000 |
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Other affiliates.
| 0.000000000000 |
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Others.
| 0.000000000000 |
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d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
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(i) On a delayed delivery, when-issued, or other firm commitment basis:
| 312299.000000000000 |
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(ii) On a standby commitment basis:
| 0.000000000000 |
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e. Liquidation preference of outstanding preferred stock issued by the Fund.
| 0.000000000000 |
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f. Cash and cash equivalents not reported in Parts C and D.
| 18183392.770000000000 |
Item B.3. Portfolio level risk metrics.
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If the average value of the Fund's debt securities positions for the previous three months, in the aggregate,
exceeds 25% or more of the Fund's net asset value, provide:
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a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value,
provide the change in value of the portfolio resulting from a 1 basis point change in interest rates,
for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
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b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value,
provide the change in value of the portfolio resulting from a 100 basis point change in interest rates,
for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
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| Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years |
|---|
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#1 |
United States Dollar
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Interest Rate Risk (DV01)
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| 0.000000000000 | 0.000000000000 | 98.620000000000 | 391.150000000000 | 0.000000000000 |
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Interest Rate Risk (DV100)
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| 0.000000000000 | 0.000000000000 | 9862.410000000000 | 39114.980000000000 | 0.000000000000 |
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c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point
change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment
grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
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| Credit Spread Risk | 3 month | 1 year | 5 years | 10 years | 30 years |
|---|
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Investment grade
| 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 | 0.000000000000 |
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Non-Investment grade
| 0.000000000000 | 0.000000000000 | 1379.520000000000 | 1938.010000000000 | 0.000000000000 |
For purposes of Item B.3., calculate value as the sum of the absolute values of:
(i) the value of each debt security,
(ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate;
(iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and
(iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii).
Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity.
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Item B.4. Securities lending.
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a. For each borrower in any securities lending transaction, provide the following information:
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| Borrower Information Record | Name of borrower | LEI (if any) of borrower | Aggregate value of all securities on loan to the borrower |
|---|
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—
|
—
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—
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—
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b. Did any securities lending counterparty provide any non-cash collateral?
| ☐ Yes
☒ No
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Item B.5. Return information.
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a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund,
report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item
26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable.
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Monthly Total Return Record
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Monthly total returns of the Fund for each of the preceding three months
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Class identification number(s) (if any) of the Class(es) for which returns are reported
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Month 1
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Month 2
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Month 3
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#1 | 0.99 | -3.15 | -5.78 | |
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b. For each of the preceding three months, monthly net realized gain
(loss) and net change in unrealized appreciation (or depreciation)
attributable to derivatives for each of the following categories:
commodity contracts, credit contracts, equity contracts, foreign
exchange contracts, interest rate contracts, and other contracts.
Within each such asset category, further report the same information
for each of the following types of derivatives instrument: forward,
future, option, swaption, swap, warrant, and other. Report in U.S.
dollars. Losses and depreciation shall be reported as negative
numbers.
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Asset category
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Instrument type
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Month 1
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Month 2
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Month 3
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Monthly net realized gain(loss)
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Monthly net change in unrealized appreciation (or depreciation)
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Monthly net realized gain(loss)
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Monthly net change in unrealized appreciation (or depreciation)
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Monthly net realized gain(loss)
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Monthly net change in unrealized appreciation (or depreciation)
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| Commodity Contracts | |
—
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—
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—
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—
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—
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—
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| Credit Contracts | |
—
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—
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—
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—
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—
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—
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| Equity Contracts | | N/A | N/A | N/A | N/A | N/A | N/A |
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Forward
|
—
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—
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—
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—
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—
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—
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Future
|
—
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—
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—
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—
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—
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—
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Option
|
—
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—
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—
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—
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—
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—
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Swaption
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—
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—
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—
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—
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—
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—
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Swap
|
—
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—
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—
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—
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—
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—
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Warrant
| N/A | N/A | N/A | N/A | N/A | N/A |
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Other
|
—
|
—
|
—
|
—
|
—
|
—
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| Foreign Exchange Contracts | |
—
|
—
|
—
|
—
|
—
|
—
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| Interest Rate Contracts | |
—
|
—
|
—
|
—
|
—
|
—
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| Other Contracts | |
—
|
—
|
—
|
—
|
—
|
—
|
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c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation
(or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall
be reported as negative numbers.
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| Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
|---|
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Month 1
| 7951153.16 | -7244299.73 |
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Month 2
| -99325.03 | -3736843.06 |
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Month 3
| -2367910.74 | 502624.94 |
Item B.6. Flow information.
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a. Provide the aggregate dollar amounts for sales and
redemptions/repurchases of Fund shares during each of the preceding
three months. If shares of the Fund are held in omnibus accounts,
for purposes of calculating the Fund's sales, redemptions, and
repurchases, use net sales or redemptions/repurchases from such
omnibus accounts. The amounts to be reported under this Item should
be after any front-end sales load has been deducted and before any
deferred or contingent deferred sales load or charge has been
deducted. Shares sold shall include shares sold by the Fund to a
registered unit investment trust. For mergers and other
acquisitions, include in the value of shares sold any transaction in
which the Fund acquired the assets of another investment company or
of a personal holding company in exchange for its own shares. For
liquidations, include in the value of shares redeemed any
transaction in which the Fund liquidated all or part of its assets.
Exchanges are defined as the redemption or repurchase of shares of
one Fund or series and the investment of all or part of the proceeds
in shares of another Fund or series in the same family of investment
companies.
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| Month | Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) | Total net asset value of shares sold in connection with reinvestments of dividends and distributions | Total net asset value of shares redeemed or repurchased, including exchanges |
|---|
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Month 1
| .000000000000 | .000000000000 | .000000000000 |
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Month 2
| .000000000000 | .000000000000 | .000000000000 |
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Month 3
| .000000000000 | .000000000000 | .000000000000 |
Item B.7. Highly Liquid Investment Minimum information.
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a. If applicable, provide the Fund's current Highly Liquid Investment Minimum.
|
—
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b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period.
|
—
|
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c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period?
| ☐ Yes
☐ No
☐ N/A
|
Item B.8. Derivatives Transactions.
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For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral
in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]:
|
| (1) Moderately Liquid Investments |
| (2) Less Liquid Investments |
| (3) Illiquid Investments |
| For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments. |
Item B.9. Derivatives Exposure for limited derivatives users.
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If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the
following information:
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a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value.
|
—
|
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b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
|
—
|
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c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
|
—
|
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d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets
during the reporting period.
|
—
|
Item B.10. VaR information.
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For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine
the fund’s compliance with the applicable VaR test at least once each business day:
|
|
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value.
|
—
|
|
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide:
| |
|
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio.
|
—
|
|
ii. As applicable, the index identifier for the Fund’s Designated Index.
|
—
|
|
iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio.
|
—
|
|
c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during
the reporting period.
|
—
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NPORT-P: Part C: Schedule of Portfolio Investments
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For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
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|
Schedule of Portfolio Investments Record: 1 |
Item C.1. Identification of investment.
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a. Name of issuer (if any).
| Advantage Sales & Marketing, Inc. |
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b. LEI (if any) of issuer.
(1) | N/A |
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c. Title of the issue or description of the investment.
| Advantage Sales & Marketing 6.5% 11/15/28 |
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d. CUSIP (if any).
| 00775PAA5 |
|
At least one of the following other identifiers:
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Item C.2. Amount of each investment.
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a. Balance
| 3250000 |
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b. Units
|
Principal amount
|
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c. Description of other units.
| |
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d. Currency.
(3) |
United States Dollar
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e. Value.
(4) | 3082235 |
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f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.2297735073 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
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a. Asset type.
(6) |
Debt
|
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b. Issuer type.
(7) |
Corporate
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Item C.5. Country of investment or issuer.
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a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
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b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
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a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
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a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-11-15 |
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i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 6.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 2 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| CSC Holdings, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| CSC Holdings 4.125% 12/1/2030 |
|
d. CUSIP (if any).
| 126307BB2 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2000000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1756410.01 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7007857929 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Debt
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2030-12-01 |
|
i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 4.125 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 3 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| ERP Iron Ore, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| ERP Iron Ore Floating 12/31/19 |
|
d. CUSIP (if any).
| 26886EAB9 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| 26886EAB9 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 18878.94 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 0 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0000000000 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Debt
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2019-12-31 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 0 |
|
c. Currently in default?
| ☒ Yes
☐ No
|
|
d. Are there any interest payments in arrears?
(14) | ☒ Yes
☐ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 4 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Embecta Corp. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Embecta 5% 2/15/2030 |
|
d. CUSIP (if any).
| 29082KAA3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1063000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1003870.63 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.4005319210 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Debt
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2030-02-15 |
|
i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 5 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Embecta Corp |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Embecta 6.75% 2/15/2030 |
|
d. CUSIP (if any).
| 29082KAB1 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 269000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 270191.67 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.1078031226 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Debt
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2030-02-15 |
|
i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 6.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 6 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Varsity Brands Holding Co., Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Varsity Brands Holding (Hercules) T/L |
|
d. CUSIP (if any).
| 42703UAG0 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1983184.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1906544.3 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7606875111 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2024-12-16 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 7 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Electro Rent Corporation |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Electro Rent T/L |
|
d. CUSIP (if any).
| 28521VAF9 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2796072.25 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2797833.72 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.1163009267 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2024-01-31 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 6 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 8 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Associated Asphalt Partners, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Associated Asphalt T/L B |
|
d. CUSIP (if any).
| 04546DAB0 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 6721391.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 5539132.4 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.2100450741 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2024-04-05 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 6.25 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 9 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Archroma Finance SARL |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Archroma Finance T/L B-2 |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX166297 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 3904876 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3875589.33 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.5463120376 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
LUXEMBOURG
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2024-08-12 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.50886 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 10 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Anchor Glass Container Corporation |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Anchor Glass T/L (07/17) |
|
d. CUSIP (if any).
| 37712UAE4 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3247944.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2780143.01 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.1092425530 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-12-07 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 3.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 11 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Safe Fleet Holdings LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Safe Fleet Holdings 2nd Lien T/L |
|
d. CUSIP (if any).
| 78638JAG9 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1403846 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1400336.39 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.5587168382 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-02-02 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 7.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 12 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Advantage Sales & Marketing, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Advantage Sales & Marketing T/L B1 (10/21) |
|
d. CUSIP (if any).
| 00769EAZ3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4278215 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4246128.28 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.6941524794 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-10-28 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.25 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 13 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| DTI Holdco, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| DTI Holdco T/L B-1 (Epiq) |
|
d. CUSIP (if any).
| 23358EAD1 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 9276274 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 9079152.94 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 3.6224693298 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-09-29 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 14 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| ABG Intermediate Holdings 2 LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| ABG Intermediate T/L B1 (12/21) (Authentic Brands) |
|
d. CUSIP (if any).
| 00076VAZ3 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX201335 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 4383562 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4323288.03 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.7249382620 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-12-21 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 3.71 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 15 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Charming Charlie LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Charming Charlie T/L B |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX173376 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 1063663.38 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 0 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0000000000 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-04-24 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 0 |
|
c. Currently in default?
| ☒ Yes
☐ No
|
|
d. Are there any interest payments in arrears?
(14) | ☒ Yes
☐ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 16 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Charming Charlie LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Charming Charlie T/L A |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX173375 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 868743.13 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 0 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0000000000 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-04-24 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 0 |
|
c. Currently in default?
| ☒ Yes
☐ No
|
|
d. Are there any interest payments in arrears?
(14) | ☒ Yes
☐ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 17 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Bausch Health Companies, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Bausch Health Companies T/L B (05/18) |
|
d. CUSIP (if any).
| C9413PAZ6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2500000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2484375 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.9912347882 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2025-06-02 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 3.45743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 18 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Firstlight Holdco Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Firstlight T/L (Flight Bidco) |
|
d. CUSIP (if any).
| 33941LAC0 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3732372.75 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3627399.77 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.4472874838 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2025-07-23 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 3.96 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 19 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Edelman Financial Center, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| The Edelman Financial T/L 2nd Lien |
|
d. CUSIP (if any).
| 27943TAB5 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4931379.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4875285.29 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.9451783171 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-07-20 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 7.20743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 20 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| MLN US HoldCo LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| MLN US HoldCo T/L |
|
d. CUSIP (if any).
| 55292HAB9 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 5000000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4821875 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.9238682744 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2025-11-30 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.74243 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 21 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Travel Leaders Group, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Travel Leaders Group T/L B (08/18) |
|
d. CUSIP (if any).
| 89416FAQ0 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3966478.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3757008.74 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.4989998541 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2024-01-25 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.45743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 22 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Peraton Corp. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Peraton T/L B |
|
d. CUSIP (if any).
| 71360HAB3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 7584401.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 7546479.36 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 3.0109515954 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-02-01 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 23 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Charming Charlie LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Charming Charlie Vendor T/L (1st Amendment) |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX176248 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 35262.66 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2476.17 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0009879611 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2020-05-15 |
|
i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 0 |
|
c. Currently in default?
| ☒ Yes
☐ No
|
|
d. Are there any interest payments in arrears?
(14) | ☒ Yes
☐ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 24 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Frontier Communications Holdings, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Frontier 5% 5/1/2028 |
|
d. CUSIP (if any).
| 35906ABF4 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3042000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2924046.45 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.1666582394 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Debt
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-05-01 |
|
i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 25 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Imperva, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Imperva T/L |
|
d. CUSIP (if any).
| 45321NAD8 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4680926 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4632361.57 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.8482547681 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-01-12 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 26 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Charming Charlie LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Charming Charlie DD T/L (2nd Amendment) |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX179299 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 196012.97 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 13764.17 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0054917330 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2022-05-28 |
|
i. Coupon category.
(13) | Fixed |
|
ii. Annualized rate.
| 0 |
|
c. Currently in default?
| ☒ Yes
☐ No
|
|
d. Are there any interest payments in arrears?
(14) | ☒ Yes
☐ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 27 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| UKG, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| UKG (Ultimate Software) T/L (5/19) |
|
d. CUSIP (if any).
| 90385KAB7 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 5977021 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 5962078.7 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.3787953981 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-05-04 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.756 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 28 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| CHG Healthcare Services, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| CHG Healthcare T/L (9/21) |
|
d. CUSIP (if any).
| 12541HAT0 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX198337 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 3960957.75 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3931250.51 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.5685201576 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-09-29 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.998469522613066 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 29 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Electronics for Imaging, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Electronics for Imaging T/L |
|
d. CUSIP (if any).
| 28608EAE6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4982843 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4863902.67 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.9406367930 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-07-23 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.45743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 30 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Ensemble RCM, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Ensemble RCM T/L |
|
d. CUSIP (if any).
| 29359BAB7 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4334665.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4317955.53 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.7228106606 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-08-03 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.049 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 31 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| DCert Buyer, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| DCert Buyer T/L (Digicert) |
|
d. CUSIP (if any).
| 24022KAB5 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4948210 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4919683.53 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.9628926638 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-10-16 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.45743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 32 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| eResearchTechnology, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| eResearchTechnology T/L B (11/19) (Explorer Holdings) |
|
d. CUSIP (if any).
| 29481PAH4 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1126084.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1123624.07 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.4483120572 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-02-04 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 33 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Dynasty Acquisition Co., Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Dynasty Acquisition Co T/L B (2/20) (Standard Aero) |
|
d. CUSIP (if any).
| 26812CAE6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1905014.63 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1877230.03 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7489914812 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-04-06 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.506 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 34 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Dynasty Acquisition Co., Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Dynasty Acquisition T/L (Standard Aero) 2/20 (CAD) |
|
d. CUSIP (if any).
| 26812CAF3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1024201.44 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1009263.46 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.4026835932 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-04-06 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.506 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 35 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Deerfield Dakota Holding, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Deerfield Dakota Holding T/L (04/20) |
|
d. CUSIP (if any).
| 24440EAB3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 6318330 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 6295299.5 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.5117463613 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-04-09 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 36 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Carestream Health, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Onex Carestream T/L (2023 EXTENDED TERM) |
|
d. CUSIP (if any).
| 14173VAN3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 121839.01 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 120620.62 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0481261302 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-05-08 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 7.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 37 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| CareStream Health, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Carestream Health 2nd Lien Extended T/L PIK (5/20) |
|
d. CUSIP (if any).
| 14173VAM5 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2580135.25 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2122161.22 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.8467159858 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-08-08 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 13.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☒ Yes
☐ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 38 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Caesars Resort Collection, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Caesars Resort Collection T/L B-1 |
|
d. CUSIP (if any).
| 12769LAD1 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4287084 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4278509.94 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.7070723598 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2025-07-21 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 3.95743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 39 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Gainwell Acquisition Corp. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Milano Acquisition T/L B |
|
d. CUSIP (if any).
| 59909TAC8 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 8629421 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 8629421.18 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 3.4430319397 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-10-01 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.006 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 40 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Greeneden U.S. Holdings II, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Greeneden U.S. Holdings II T/L B4 |
|
d. CUSIP (if any).
| 39479UAQ6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2215507 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2214820.21 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.8836857727 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-12-01 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.9085857123109955 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 41 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Anchor Glass Container Corporation |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Anchor Glass (10/20) Incremental T/L |
|
d. CUSIP (if any).
| 37712UAF1 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1291992.38 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1094963.56 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.4368768694 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-12-07 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 6 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 42 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Trugreen Limited Partnership |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| TruGreen Limited Partnership T/L |
|
d. CUSIP (if any).
| 89787RAH5 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1464783.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1458074.82 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.5817537551 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-11-02 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 43 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Imprivata, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Imprivata T/L (11/20) |
|
d. CUSIP (if any).
| 45323KAB6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 500000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 497342.5 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.1984334843 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-12-01 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 44 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| LBM Acquisition, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| LBM Acquisition T/L B |
|
d. CUSIP (if any).
| 50179JAB4 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 6568500 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 6420741.79 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.5617962779 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-12-17 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 45 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Flexera Software LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Flexera Software T/L B (12/20) |
|
d. CUSIP (if any).
| 33937KAV6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 5464710 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 5411046.45 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.1589403699 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-03-03 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 46 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Asurion, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Asurion T/L B9 |
|
d. CUSIP (if any).
| 04649VAY6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1994962.25 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1957556.68 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7810408175 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-07-31 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 3.70743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 47 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Asurion, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Asurion 2nd Lien T/L B3 |
|
d. CUSIP (if any).
| 04649VAZ3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1940970.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1906033.06 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7604835327 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-01-31 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.70743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 48 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| PetSmart, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| PetSmart T/L (1/21) |
|
d. CUSIP (if any).
| 71677HAL9 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX192365 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 4774791 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4765838.41 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.9015103705 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-02-11 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 49 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Bleriot US Bidco Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Bleriot T/L B (02/21) |
|
d. CUSIP (if any).
| 09353TAG5 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 5863612 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 5843470.3 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.3314721187 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-10-30 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.006 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 50 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| DCert Buyer, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| DCert Buyer (Digicert) 2nd Lien T/L (02/21) |
|
d. CUSIP (if any).
| 24022KAJ8 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX192846 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 3927400.75 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3892211.14 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.5529439335 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2029-02-19 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 7.45743 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 51 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Enterprise Development Authority |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Enterprise Development Authority T/L |
|
d. CUSIP (if any).
| 29372LAC6 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX192685 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 2066465.63 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2054841.77 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.8198563609 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-02-28 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 52 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Petco Health and Wellness Company, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Petco Health and Wellness Company T/L |
|
d. CUSIP (if any).
| 71601HAB2 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX192745 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 3996061 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3964312.4 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.5817114413 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-03-03 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.256 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 53 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Ingenovis Health, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| CCRR Parent T/L B (Trustaff) |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX192894 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 3993959.75 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3981478.62 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.5885605500 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-03-06 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.76 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 54 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Ahlstrom-Munksjo Holding 3 Oy |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Spa Holdings 3 (Ahlstrom) T/L B |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX193268 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 2683804.25 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2609999.7 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.0413574842 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
FINLAND
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-02-04 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 55 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Endo Luxembourg Finance Company I SARL |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Endo Pharmaceuticals T/L (3/21) |
|
d. CUSIP (if any).
| L2968EAE2 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 4443039.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 4174146.63 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.6654326945 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
LUXEMBOURG
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-03-27 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.75 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 56 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Garda World Security Corporation |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Garda World Security T/L B-2 |
|
d. CUSIP (if any).
| C4000KAD6 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 8539602 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 8457280.51 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 3.3743499491 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
CANADA (FEDERAL LEVEL)
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-10-30 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.71 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 57 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Dispatch Acquisition Holdings, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Dispatch Acquisition Holdings T/L B (Denali Water Solutions) (3/21) |
|
d. CUSIP (if any).
| 25471MAC2 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2977500 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2929115.63 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.1686807793 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-03-27 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.256 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 58 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| The Edelman Financial Engines Centre, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| The Edelman Financial Engines Centre T/L B |
|
d. CUSIP (if any).
| 27943UAK2 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 5249009.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 5197621.87 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.0737866116 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-04-07 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.25 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 59 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Anuvu Holdings 2, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Anuvu Holdings 2 (GEE Holdings 2) Priority T/L |
|
d. CUSIP (if any).
| 36167BAC2 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2479046.75 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2454256.34 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.9792178167 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2025-03-24 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 9 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 60 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Anuvu Holdings 2, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Anuvu Holdings 2 (GEE Holdings 2) Takeback T/L |
|
d. CUSIP (if any).
| 36167BAE8 |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX189273 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 1972518.13 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1656915.19 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.6610885947 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2026-03-23 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 9.25 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☒ Yes
☐ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 61 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Anuvu Holdings 2, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Anuvu Holdings 2 (GEE Holdings 2) DD T/L |
|
d. CUSIP (if any).
| 36167BAB4 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 74319.72 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 72461.73 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.0289113309 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☐ 2
☒ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2023-09-25 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 8 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 62 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Loire Finco Luxembourg S.a r.l. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Loire Finco USD T/L B (LGC) (3/21) |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX193899 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 1980074.88 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1959452.4 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7817971863 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
LUXEMBOURG
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2027-04-21 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 63 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Frontier Communications Holdings, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Frontier Communications T/L B (04/21) |
|
d. CUSIP (if any).
| 35906EAQ3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 2233000.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2203223.38 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.8790587815 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-05-01 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.8125 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 64 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| United Airlines, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| United Airlines T/L B (4/21) |
|
d. CUSIP (if any).
| 90932RAJ3 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 6982008 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 6911699.28 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 2.7576822225 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-04-21 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 65 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Resonetics, LLC |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Resonetics T/L (04/21) |
|
d. CUSIP (if any).
| 76118EAE8 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3980000 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3947662.5 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.5750683379 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-04-28 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4.00299 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 66 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| MAR Bidco SARL |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Logoplaste Parent T/L (04/21) |
|
d. CUSIP (if any).
| N/A |
|
At least one of the following other identifiers:
|
|
-
Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
| LX194152 |
|
Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
|
a. Balance
| 2926077.5 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 2893159.1 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.1543345701 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
LUXEMBOURG
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-07-07 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.256 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 67 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Jazz Pharmaceuticals, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Jazz Pharmaceuticals T/L (USD) |
|
d. CUSIP (if any).
| G5080AAF9 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 1994974.88 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 1990117.11 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.7940320249 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-05-05 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 4 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 68 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| LTR Intermediate Holdings, Inc. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| LTR Intermediate Holdings T/L (Liberty Tire) |
|
d. CUSIP (if any).
| 50219UAB1 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3243244 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3186487.23 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.2713688531 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-05-05 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5.5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 69 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Atlas CC Acquisition Corp. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Atlas CC Acquisition T/L B |
|
d. CUSIP (if any).
| 04921TAB0 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 3215653 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 3207115.39 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 1.2795992329 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-05-25 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|
d. Are there any interest payments in arrears?
(14) | ☐ Yes
☒ No
|
|
e. Is any portion of the interest paid in kind?
(15) | ☐ Yes
☒ No
|
|
f. For convertible securities, also provide:
|
|
i. Mandatory convertible?
| ☐ Yes
☐ No
|
|
ii. Contingent convertible?
| ☐ Yes
☐ No
|
|
iii. Description of the reference instrument.
(16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|
|
—
|
—
|
—
|
—
|
|
iv. Conversion ratio per US$1000 notional.
(17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|
|
—
|
—
|
—
|
|
v. Delta (if applicable).
| |
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
|
a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities?
| ☐ Yes
☒ No
|
|
b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities?
| ☐ Yes
☒ No
|
|
c. Is any portion of this investment on loan by the Fund?
| ☐ Yes
☒ No
|
|
Schedule of Portfolio Investments Record: 70 |
Item C.1. Identification of investment.
|
a. Name of issuer (if any).
| Atlas CC Acquisition Corp. |
|
b. LEI (if any) of issuer.
(1) | N/A |
|
c. Title of the issue or description of the investment.
| Atlas CC Acquisition T/L C |
|
d. CUSIP (if any).
| 04921TAC8 |
|
At least one of the following other identifiers:
|
Item C.2. Amount of each investment.
|
a. Balance
| 654031.13 |
|
b. Units
|
Principal amount
|
|
c. Description of other units.
| |
|
d. Currency.
(3) |
United States Dollar
|
|
e. Value.
(4) | 652294.67 |
|
f. Exchange rate.
| |
|
g. Percentage value compared to net assets of the Fund.
| 0.2602574768 |
Item C.3. Payoff profile.
|
a. Payoff profile.
(5) | ☒ Long
☐ Short
☐ N/A
|
Item C.4. Asset and issuer type.
|
a. Asset type.
(6) |
Loan
|
|
b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
|
a. ISO country code.
(8) |
UNITED STATES OF AMERICA
|
|
b. Investment ISO country code.
(9) | |
Item C.6. Is the investment a Restricted Security?
|
a. Is the investment a Restricted Security?
| ☐ Yes
☒ No
|
Item C.7. Liquidity classification information.
|
a. Liquidity classification information.
(10) |
Item C.8. Fair value level.
|
a. Level within the fair value hierarchy
(12) | ☐ 1
☒ 2
☐ 3
☐ N/A
|
Item C.9. Debt securities.
|
For debt securities, also provide:
|
|
a. Maturity date.
| 2028-05-25 |
|
i. Coupon category.
(13) | Floating |
|
ii. Annualized rate.
| 5 |
|
c. Currently in default?
| ☐ Yes
☒ No
|
|