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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Pioneer Floating Rate Fund Inc | NYSE:PHD | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.11 | -1.11% | 9.80 | 9.85 | 9.79 | 9.85 | 28,825 | 01:00:00 |
|
|
|
1.
|
Prime Security Services Borrower LLC (aka Protection 1 Security Solutions),
|
|
|
First Lien 2019 Refinancing Term B-1 Loan, 4.25% (LIBOR + 325 bps), 9/23/26
|
1.19%
|
2.
|
Endo Luxembourg Finance Company I S.a.r.l., Initial Term Loan, 5.0%
|
|
|
(LIBOR + 425 bps), 4/29/24
|
1.09
|
3.
|
U.S. Renal Care, Inc., Initial Term Loan, 5.188% (LIBOR + 500 bps), 6/26/26
|
1.09
|
4.
|
Garda World Security Corp., Initial Term Loan, 4.93% (LIBOR + 475 bps), 10/30/26
|
1.08
|
5.
|
Bass Pro Group LLC, Initial Term Loan, 6.072% (LIBOR + 500 bps), 9/25/24
|
1.07
|
6.
|
SPDR Blackstone/GSO Senior Loan ETF
|
1.00
|
7.
|
Chobani LLC (Chobani Idaho LLC), First Lien New Term Loan, 4.5%
|
|
|
(LIBOR + 350 bps), 10/10/23
|
0.97
|
8.
|
Trico Group LLC, First Lien Tranche B-2 Term Loan, 8.45% (LIBOR + 700 bps), 2/2/24
|
0.97
|
9.
|
Rackspace Hosting, Inc., First Lien Term B Loan, 4.0% (LIBOR + 300 bps), 11/3/23
|
0.93
|
10.
|
Option Care Health, Inc., Term B Loan, 4.674% (LIBOR + 450 bps), 8/6/26
|
0.90
|
|
5/31/20
|
11/30/19
|
Market Value
|
$8.97
|
$10.53
|
Premium/(Discount)
|
(12.06)%
|
(10.99)%
|
|
5/31/20
|
11/30/19
|
Net Asset Value
|
$10.20
|
$11.83
|
|
Net Investment
|
Short-Term
|
Long-Term
|
|
Income
|
Capital Gains
|
Capital Gains
|
12/1/19–5/31/20
|
$0.3725
|
$ —
|
$ —
|
|
5/31/20
|
11/30/19
|
30-day SEC Yield
|
6.00%
|
5.25%
|
Average Annual Total Returns
|
|||
(As of May 31, 2020)
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|||
|
Net
|
|
|
|
Asset
|
|
S&P/LSTA
|
|
Value
|
Market
|
Leveraged
|
Period
|
(NAV)
|
Price
|
Loan Index
|
10 Years
|
5.27%
|
3.84%
|
4.01%
|
5 Years
|
1.97
|
1.34
|
2.57
|
1 Year
|
-8.52
|
-6.21
|
-2.86
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
UNAFFILIATED ISSUERS — 140.5%
|
|
|
|
SENIOR SECURED FLOATING RATE LOAN
|
||
|
INTERESTS — 118.0% of Net Assets*(a)
|
||
|
Aerospace & Defense — 4.0%
|
|
|
1,217,289
|
American Airlines, Inc., 2017 Class B Term Loan, 2.184%
|
|
|
|
(LIBOR + 200 bps), 12/15/23
|
$ 884,056
|
|
1,250,000
|
Delta Air Lines, Inc., Term Loan, 5.51% (LIBOR +
|
|
|
|
475 bps), 4/29/23
|
1,235,781
|
|
2,487,500
|
Jazz Acquisition, Inc., First Lien Initial Term Loan, 4.42%
|
|
|
|
(LIBOR + 425 bps), 6/19/26
|
1,865,625
|
|
2,486,237
|
MRO Holdings, Inc., Initial Term Loan, 6.45% (LIBOR +
|
|
|
|
500 bps), 6/4/26
|
1,715,504
|
|
1,954,923
|
Peraton Corp. (fka MHVC Acquisition Corp.), First Lien
|
|
|
|
Initial Term Loan, 6.25% (LIBOR + 525 bps), 4/29/24
|
1,896,276
|
|
2,974,799
|
WP CPP Holdings LLC, First Lien Initial Term Loan, 4.75%
|
|
|
|
(LIBOR + 375 bps), 4/30/25
|
2,573,201
|
|
|
Total Aerospace & Defense
|
$ 10,170,443
|
|
|
Airlines — 0.8%
|
|
|
2,468,750
|
Allegiant Travel Co., Replacement Term Loan, 3.434%
|
|
|
|
(LIBOR + 300 bps), 2/5/24
|
$ 2,036,719
|
|
|
Total Airlines
|
$ 2,036,719
|
|
|
Automobile — 6.7%
|
|
|
2,135,537
|
American Axle & Manufacturing, Inc., Tranche B Term
|
|
|
|
Loan, 3.0% (LIBOR + 225 bps), 4/6/24
|
$ 2,057,234
|
|
1,582,292
|
Commercial Vehicle Group, Inc., Initial Term Loan, 11.5%
|
|
|
|
(LIBOR + 1,050 bps), 4/12/23
|
1,431,974
|
|
621,391
|
CWGS Group LLC (aka Camping World, Inc.), Term Loan,
|
|
|
|
4.116% (LIBOR + 275 bps), 11/8/23
|
561,841
|
|
2,000,000
|
Drive Chassis Holdco LLC, Second Lien Term B Loan,
|
|
|
|
9.561% (LIBOR + 825 bps), 4/10/26
|
1,750,000
|
|
2,350,000
|
IXS Holdings, Inc., Initial Term Loan, 6.298% (LIBOR +
|
|
|
|
500 bps), 3/5/27
|
2,138,500
|
|
2,373,741
|
Navistar, Inc., Tranche B Term Loan, 3.68% (LIBOR +
|
|
|
|
350 bps), 11/6/24
|
2,290,660
|
|
818,028
|
Superior Industries International, Inc., Replacement Term
|
|
|
|
Loan, 4.174% (LIBOR + 400 bps), 5/22/24
|
662,603
|
|
1,724,014
|
Thor Industries, Inc., Initial USD Term Loan, 4.123%
|
|
|
|
(LIBOR + 375 bps), 2/1/26
|
1,674,448
|
|
1,012,827
|
TI Group Automotive Systems LLC, Initial US Term Loan,
|
|
|
|
3.25% (LIBOR + 250 bps), 6/30/22
|
973,580
|
|
3,601,687
|
Trico Group LLC, First Lien Tranche B-2 Term Loan, 8.45%
|
|
|
|
(LIBOR + 700 bps), 2/2/24
|
3,372,080
|
|
|
Total Automobile
|
$ 16,912,920
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Banking — 0.5%
|
|
|
1,196,898
|
Nouryon Finance BV (aka AkzoNobel), Initial Dollar Term
|
||
|
Loan, 3.222% (LIBOR + 300 bps), 10/1/25
|
$ 1,146,778
|
|
|
Total Banking
|
$ 1,146,778
|
|
|
Beverage, Food & Tobacco — 1.5%
|
|
|
3,486,874
|
Chobani LLC (Chobani Idaho LLC), First Lien New Term
|
|
|
|
Loan, 4.5% (LIBOR + 350 bps), 10/10/23
|
$ 3,406,676
|
|
500,000
|
Froneri International, Ltd., Second Lien Facility Term
|
|
|
|
Loan, 5.924% (LIBOR + 575 bps), 1/31/28
|
475,000
|
|
|
Total Beverage, Food & Tobacco
|
$ 3,881,676
|
|
|
Broadcasting & Entertainment — 2.0%
|
|
|
1,496,250
|
Creative Artists Agency LLC, Closing Date Term Loan,
|
|
|
|
3.924% (LIBOR + 375 bps), 11/27/26
|
$ 1,433,750
|
|
728,809
|
Gray Television, Inc., Term B-2 Loan, 2.58% (LIBOR +
|
|
|
|
225 bps), 2/7/24
|
701,934
|
|
467,304
|
Gray Television, Inc., Term C Loan, 2.83% (LIBOR +
|
|
|
|
250 bps), 1/2/26
|
456,497
|
|
2,020,977
|
Sinclair Television Group, Inc., Tranche B Term Loan,
|
|
|
|
2.43% (LIBOR + 225 bps), 1/3/24
|
1,970,453
|
|
492,500
|
Sinclair Television Group, Inc., Tranche B-2b Term Loan,
|
||
|
2.69% (LIBOR + 250 bps), 9/30/26
|
481,419
|
|
|
Total Broadcasting & Entertainment
|
$ 5,044,053
|
|
|
Building Materials — 1.8%
|
|
|
808,289
|
Circor International, Inc., New Term Loan, 4.25%
|
|
|
|
(LIBOR + 325 bps), 12/11/24
|
$ 719,377
|
|
2,500,000
|
CPG International LLC (fka CPG International, Inc.), New
|
||
|
Term Loan, 5.933% (LIBOR + 375 bps), 5/5/24
|
2,420,313
|
|
1,458,750
|
WKI Holding Co., Inc. (aka World Kitchen), Initial Term
|
|
|
|
Loan, 4.991% (LIBOR + 400 bps), 5/1/24
|
1,393,106
|
|
|
Total Building Materials
|
$ 4,532,796
|
|
|
Buildings & Real Estate — 2.0%
|
|
|
1,229,228
|
Beacon Roofing Supply, Inc., Initial Term Loan, 2.424%
|
||
|
(LIBOR + 225 bps), 1/2/25
|
$ 1,176,602
|
|
246,990
|
Builders FirstSource, Inc., Refinancing Term Loan, 4.0%
|
||
|
(LIBOR + 300 bps), 2/29/24
|
241,896
|
|
1,496,193
|
Ply Gem Midco, Inc., Initial Term Loan, 3.948% (LIBOR +
|
||
|
375 bps), 4/12/25
|
1,427,929
|
|
2,856,219
|
WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP),
|
||
|
First Lien Initial Term Loan, 6.072% (LIBOR +
|
||
|
500 bps), 9/29/23
|
2,199,882
|
|
|
Total Buildings & Real Estate
|
$ 5,046,309
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Business Services — 0.4%
|
|
|
1,142,920(b)
|
Gbt US LLC, Cov-Lite Term Loan, 2/26/27
|
$ 994,341
|
|
|
Total Business Services
|
$ 994,341
|
|
|
Chemicals — 0.1%
|
|
|
340,000
|
Innophos Holdings, Inc., Initial Term Loan, 3.972%
|
|
|
|
(LIBOR + 375 bps), 2/5/27
|
$ 332,350
|
|
|
Total Chemicals
|
$ 332,350
|
|
|
Chemicals, Plastics & Rubber — 4.3%
|
|
|
1,957,424
|
Core & Main LP, Initial Term Loan, 3.978% (LIBOR +
|
|
|
|
275 bps), 8/1/24
|
$ 1,888,914
|
|
1,985,000
|
Hexion, Inc., USD Term Loan, 4.94% (LIBOR +
|
|
|
|
350 bps), 7/1/26
|
1,904,359
|
|
1,979,313
|
Reynolds Group Holdings, Inc., Incremental US Term
|
|
|
|
Loan, 2.924% (LIBOR + 275 bps), 2/5/23
|
1,922,407
|
|
1,361,963
|
Tata Chemicals North America, Term Loan, 3.75%
|
|
|
|
(LIBOR + 275 bps), 8/7/20
|
1,327,914
|
|
2,610,951
|
Tronox Finance LLC, First Lien Initial Dollar Term Loan,
|
|
|
|
3.452% (LIBOR + 275 bps), 9/23/24
|
2,512,387
|
|
1,316,875
|
Twist Beauty International Holdings SA, Facility B2, 4.0%
|
|
|
|
(LIBOR + 300 bps), 4/22/24
|
1,185,187
|
|
|
Total Chemicals, Plastics & Rubber
|
$ 10,741,168
|
|
|
Computers & Electronics — 5.4%
|
|
|
235,924
|
Applied Systems, Inc., First Lien Closing Date Term Loan,
|
|
|
|
4.7% (LIBOR + 325 bps), 9/19/24
|
$ 229,797
|
|
2,750,000
|
Applied Systems, Inc., Second Lien Initial Term Loan,
|
|
|
|
8.45% (LIBOR + 700 bps), 9/19/25
|
2,722,500
|
|
2,222,455
|
Chloe OX Parent LLC, Initial Term Loan, 5.95% (LIBOR +
|
|
|
|
450 bps), 12/23/24
|
1,927,980
|
|
798,317
|
CornerStone OnDemand, Inc., Term Loan, 5.348%
|
|
|
|
(LIBOR + 425 bps), 4/22/27
|
789,336
|
|
1,764,628
|
Energy Acquisition LP (aka Electrical Components
|
|
|
|
International), First Lien Initial Term Loan,
|
|
|
|
4.424% (LIBOR + 425 bps), 6/26/25
|
1,411,702
|
|
995,000
|
NCR Corp., Initial Term Loan, 2.68% (LIBOR +
|
|
|
|
250 bps), 8/28/26
|
960,175
|
|
3,200,000
|
Pitney Bowes, Inc., Incremental Tranche B Term Loan,
|
|
|
|
5.91% (LIBOR + 550 bps), 1/7/25
|
2,562,666
|
|
230,000
|
Presidio Holdings, Inc., Initial Term Loan, 4.27% (LIBOR +
|
|
|
|
350 bps), 1/22/27
|
224,825
|
|
2,764,509
|
Ultra Clean Holdings, Inc., Term Loan B, 4.674% (LIBOR +
|
|
|
|
450 bps), 8/27/25
|
2,695,396
|
|
|
Total Computers & Electronics
|
$ 13,524,377
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Construction & Building — 0.5%
|
|
|
1,262,163
|
QUIKRETE Holdings, Inc., First Lien Initial Term Loan,
|
|
|
|
2.674% (LIBOR + 250 bps), 2/1/27
|
$ 1,205,050
|
|
|
Total Construction & Building
|
$ 1,205,050
|
|
|
Consumer Nondurables — 0.6%
|
|
|
1,496,250
|
Sunshine Luxembourg VII S.a.r.l., Facility Term Loan B1,
|
|
|
|
5.322% (LIBOR + 425 bps), 10/1/26
|
$ 1,439,393
|
|
|
Total Consumer Nondurables
|
$ 1,439,393
|
|
|
Consumer Services — 1.7%
|
|
|
4,257,785
|
Prime Security Services Borrower LLC (aka Protection 1
|
|
|
|
Security Solutions), First Lien 2019 Refinancing
|
||
|
Term B-1 Loan, 4.25% (LIBOR + 325 bps), 9/23/26
|
$ 4,157,727
|
|
|
Total Consumer Services
|
$ 4,157,727
|
|
|
Containers, Packaging & Glass — 0.9%
|
|
|
754,673
|
Plastipak Holdings, Inc., Tranche B Term Loan, 2.68%
|
|
|
|
(LIBOR + 250 bps), 10/14/24
|
$ 733,920
|
|
1,496,250
|
Pregis TopCo LLC, First Lien Initial Term Loan, 4.174%
|
|
|
|
(LIBOR + 400 bps), 7/31/26
|
1,418,943
|
|
|
Total Containers, Packaging & Glass
|
$ 2,152,863
|
|
|
Diversified & Conglomerate Manufacturing — 3.0%
|
|
|
868,601
|
ExamWorks Group, Inc. (fka Gold Merger Co., Inc.),
|
|
|
|
Term B-1 Loan, 4.323% (LIBOR + 325 bps), 7/27/23
|
$ 849,275
|
|
3,854,092
|
Garda World Security Corp., Initial Term Loan, 4.93%
|
|
|
|
(LIBOR + 475 bps), 10/30/26
|
3,778,618
|
|
3,294,378
|
Pelican Products, Inc., First Lien Term Loan, 4.5%
|
|
|
|
(LIBOR + 350 bps), 5/1/25
|
2,956,704
|
|
|
Total Diversified & Conglomerate Manufacturing
|
$ 7,584,597
|
|
|
Diversified & Conglomerate Service — 11.8%
|
||
1,965,704
|
Albany Molecular Research, Inc., First Lien Initial Term
|
|
|
|
Loan, 4.25% (LIBOR + 325 bps), 8/30/24
|
$ 1,917,381
|
|
1,000,000
|
Albany Molecular Research, Inc., Second Lien Initial Term
|
|
|
|
Loan, 8.0% (LIBOR + 700 bps), 8/30/25
|
935,000
|
|
1,542,173
|
Alion Science & Technology Corp., First Lien Term Loan,
|
|
|
|
5.5% (LIBOR + 450 bps), 8/19/21
|
1,530,607
|
|
3,157,088
|
Allied Universal Holdco LLC (f/k/a USAGM Holdco LLC),
|
|
|
|
Initial Term Loan, 4.424% (LIBOR + 425 bps), 7/10/26
|
3,051,192
|
|
997,500
|
AVSC Holding Corp. (aka PSAV, Inc.), 2019 First Lien
|
|
|
|
Incremental Term Loan, 5.5% (LIBOR +
|
|
|
|
450 bps), 10/15/26
|
700,744
|
|
3,200,464
|
AVSC Holding Corp. (aka PSAV, Inc.), First Lien Initial Term
|
|
|
|
Loan, 4.26% (LIBOR + 325 bps), 3/3/25
|
2,276,330
|
|
3,137,704
|
CB Poly Investments LLC, First Lien Closing Date Term
|
|
|
|
Loan, 5.95% (LIBOR + 450 bps), 8/16/23
|
2,541,540
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Diversified & Conglomerate Service — (continued)
|
||
1,004,919
|
DG Investment Intermediate Holdings 2, Inc. (aka
|
|
|
|
Convergint Technologies Holdings LLC), First Lien Initial
|
|
|
|
Term Loan, 3.75% (LIBOR + 300 bps), 2/3/25
|
$ 945,880
|
|
1,935,057
|
DTI Holdco, Inc., Replacement B-1 Term Loan, 5.75%
|
|
|
|
(LIBOR + 475 bps), 9/29/23
|
1,619,401
|
|
1,121,250
|
DynCorp International, Inc., Term Loan, 7.0% (LIBOR +
|
|
|
|
600 bps), 8/18/25
|
1,070,794
|
|
992,500
|
Emerald 2, Ltd., First Lien Initial Term B-1 Loan, 5.2%
|
|
|
|
(LIBOR + 375 bps), 7/10/26
|
935,431
|
|
786,784
|
Filtration Group Corporation, Initial Dollar Term Loan,
|
|
|
|
3.17% (LIBOR + 300 bps), 3/31/25
|
764,409
|
|
638,157
|
Gates Global LLC, Initial B-2 Dollar Term Loan, 3.75%
|
|
|
|
(LIBOR + 275 bps), 4/1/24
|
613,110
|
|
1,575,879
|
GHX Ultimate Parent Corp., First Lien Initial Term Loan,
|
|
|
|
4.625% (LIBOR + 325 bps), 6/28/24
|
1,508,904
|
|
1,984,925
|
Mitchell International, Inc., First Lien Initial Term Loan,
|
|
|
|
3.424% (LIBOR + 325 bps), 11/29/24
|
1,877,407
|
|
18,708
|
National Mentor Holdings, Inc. (aka Civitas Solutions,
|
|
|
|
Inc.), First Lien Initial Term C Loan, 5.71%
|
|
|
|
(LIBOR + 425 bps), 3/9/26
|
18,209
|
|
411,915
|
National Mentor Holdings, Inc. (aka Civitas Solutions,
|
|
|
|
Inc.), First Lien Initial Term Loan, 4.792%
|
|
|
|
(LIBOR + 425 bps), 3/9/26
|
400,931
|
|
807,655
|
Sound Inpatient Physicians, Inc., Second Lien Initial Term
|
|
|
|
Loan, 6.924% (LIBOR + 675 bps), 6/26/26
|
753,811
|
|
3,976,003
|
Team Health Holdings, Inc., Initial Term Loan, 3.75%
|
|
|
|
(LIBOR + 275 bps), 2/6/24
|
2,943,661
|
|
313,484
|
Tempo Acquisition LLC, Initial Term Loan, 2.924%
|
|
|
|
(LIBOR + 275 bps), 5/1/24
|
302,251
|
|
1,331,011
|
West Corp., Incremental Term B-1 Loan, 4.95% (LIBOR +
|
|
|
|
350 bps), 10/10/24
|
1,077,010
|
|
2,403,817
|
West Corp., Initial Term B Loan, 5.45% (LIBOR +
|
|
|
|
400 bps), 10/10/24
|
1,966,322
|
|
|
Total Diversified & Conglomerate Service
|
$ 29,750,325
|
|
|
Electric & Electrical — 1.3%
|
|
|
3,316,404
|
Rackspace Hosting, Inc., First Lien Term B Loan, 4.0%
|
|
|
|
(LIBOR + 300 bps), 11/3/23
|
$ 3,235,795
|
|
|
Total Electric & Electrical
|
$ 3,235,795
|
|
|
Electronics — 2.3%
|
|
|
3,778,197
|
Natel Engineering Co., Inc., Initial Term Loan, 6.072%
|
|
|
|
(LIBOR + 500 bps), 4/30/26
|
$ 2,833,647
|
|
640,796
|
nThrive, Inc. (fka Precyse Acquisition Corp.), Additional
|
|
|
|
Term B-2 Loan, 5.5% (LIBOR + 450 bps), 10/20/22
|
519,045
|
|
2,777,137
|
Scientific Games International, Inc., Initial Term B-5 Loan,
|
|
|
|
3.476% (LIBOR + 275 bps), 8/14/24
|
2,501,737
|
|
|
Total Electronics
|
$ 5,854,429
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Healthcare & Pharmaceuticals — (continued)
|
||
1,500,000
|
Alphabet Holding Co., Inc. (aka Nature’s Bounty),
|
|
|
|
Second Lien Initial Term Loan, 7.924% (LIBOR +
|
||
|
775 bps), 9/26/25
|
$ 1,288,500
|
|
498,741
|
Auris Luxembourg III S.a r.l., Facility B2, 3.924% (LIBOR +
|
|
|
|
375 bps), 2/27/26
|
458,841
|
|
1,990,000
|
Curium BidCo S.a.r.l., Facility B, 5.072% (LIBOR +
|
|
|
|
400 bps), 7/9/26
|
1,950,200
|
|
4,058,046
|
Endo Luxembourg Finance Co. I S.a.r.l., Initial Term Loan,
|
|
|
|
5.0% (LIBOR + 425 bps), 4/29/24
|
3,817,099
|
|
1,496,250
|
FC Compassus LLC, Initial Term Loan, 6.072% (LIBOR +
|
|
|
|
500 bps), 12/31/26
|
1,413,956
|
|
2,971,178
|
Kindred Healthcare LLC, Closing Date Term Loan, 5.188%
|
|
|
|
(LIBOR + 500 bps), 7/2/25
|
2,836,227
|
|
2,542,651
|
NMN Holdings III Corp., First Lien Closing Date Term Loan,
|
|
|
|
3.924% (LIBOR + 375 bps), 11/13/25
|
2,390,092
|
|
750,000
|
Parexel International Corp., Initial Term Loan, 2.924%
|
|
|
|
(LIBOR + 275 bps), 9/27/24
|
714,141
|
|
2,245,000
|
Sotera Health Holdings LLC, First Lien Initial Term Loan,
|
|
|
|
5.5% (LIBOR + 450 bps), 12/11/26
|
2,190,278
|
|
2,000,000
|
Upstream Newco, Inc., First Lien Initial Term Loan,
|
|
|
|
4.674% (LIBOR + 450 bps), 11/20/26
|
1,950,000
|
|
|
Total Healthcare & Pharmaceuticals
|
$ 23,098,470
|
|
|
Healthcare, Education & Childcare — 5.6%
|
|
|
1,500,000
|
Alliance HealthCare Services, Inc., Second Lien Initial
|
|
|
|
Term Loan, 11.0% (LIBOR + 1,000 bps), 4/24/24
|
$ 525,000
|
|
2,402,314
|
ATI Holdings Acquisition, Inc., First Lien Initial Term
|
|
|
|
Loan, 4.572% (LIBOR + 350 bps), 5/10/23
|
2,093,016
|
|
2,718,058
|
KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare),
|
|
|
|
Term B-3 Loan, 5.2% (LIBOR + 375 bps), 2/21/25
|
2,349,987
|
|
1,832,393
|
Life Time Fitness, Inc., 2017 Refinancing Term Loan,
|
|
|
|
3.75% (LIBOR + 275 bps), 6/10/22
|
1,637,243
|
|
1,413,103
|
LifePoint Health, Inc. (fka Regionalcare Hospital Partners
|
|
|
|
Holdings, Inc.), First Lien Term B Loan, 3.924%
|
||
|
(LIBOR + 375 bps), 11/16/25
|
1,357,335
|
|
1,941,193
|
Quorum Health Corp., Term Loan, 7.75% (LIBOR +
|
|
|
|
675 bps), 4/29/22
|
1,732,515
|
|
540,000
|
Surgery Center Holdings, Inc., 2020 Incremental Term
|
|
|
|
Loan, 9.0% (LIBOR + 800 bps), 9/3/24
|
550,800
|
|
3,987,494
|
U.S. Renal Care, Inc., Initial Term Loan, 5.188% (LIBOR +
|
|
|
|
500 bps), 6/26/26
|
3,813,870
|
|
|
Total Healthcare, Education & Childcare
|
$ 14,059,766
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Hotel, Gaming & Leisure — 2.9%
|
|
|
1,404,039
|
Boyd Gaming Corp., Refinancing Term B Loan, 2.345%
|
|
|
|
(LIBOR + 225 bps), 9/15/23
|
$ 1,349,281
|
|
2,230,356
|
Caesars Resort Collection LLC (fka Caesars Growth
|
|
|
|
Properties Holdings LLC), Term B Loan, 2.924% (LIBOR +
|
|
|
|
275 bps), 12/23/24
|
2,039,183
|
|
528,387
|
Eldorado Resorts, Inc., Term Loan, 3.25% (LIBOR +
|
|
|
|
225 bps), 4/17/24
|
523,103
|
|
2,000,000
|
Golden Nugget, Inc. (aka Landry’s, Inc.), Initial Term B
|
|
|
|
Loan, 3.455% (LIBOR + 250 bps), 10/4/23
|
1,734,850
|
|
1,000,000
|
Hanjin International Corp. (aka Wilshire Grand Center),
|
|
|
|
Initial Term Loan, 2.674% (LIBOR + 250 bps), 10/19/20
|
885,000
|
|
444,375
|
Penn National Gaming, Inc., Term B-1 Facility Loan, 3.0%
|
|
|
|
(LIBOR + 225 bps), 10/15/25
|
422,712
|
|
435,043
|
Stars Group Holdings BV, USD Term Loan, 4.95% (LIBOR +
|
|
|
|
350 bps), 7/10/25
|
430,693
|
|
|
Total Hotel, Gaming & Leisure
|
$ 7,384,822
|
|
|
Insurance — 3.9%
|
|
|
997,487
|
Alliant Holdings Intermediate LLC, 2019 New Term Loan,
|
|
|
|
3.421% (LIBOR + 325 bps), 5/9/25
|
$ 961,329
|
|
885,049
|
Alliant Holdings Intermediate LLC, Initial Term Loan,
|
|
|
|
2.924% (LIBOR + 275 bps), 5/9/25
|
849,331
|
|
2,299,881
|
Confie Seguros Holding II Co., Term B Loan, 5.75%
|
|
|
|
(LIBOR + 475 bps), 4/19/22
|
1,951,065
|
|
1,256,891
|
Integro Parent, Inc., First Lien Initial Term Loan, 6.75%
|
|
|
|
(LIBOR + 575 bps), 10/31/22
|
1,225,468
|
|
1,385,220
|
MPH Acquisition Holdings LLC, Initial Term Loan, 4.2%
|
|
|
|
(LIBOR + 275 bps), 6/7/23
|
1,334,660
|
|
1,736,875
|
Sedgwick Claims Management Services, Inc. (Lightning
|
|
|
|
Cayman Merger Sub, Ltd.), 2019 Term Loan, 4.174%
|
|
|
|
(LIBOR + 400 bps), 9/3/26
|
1,678,980
|
|
250,000(b)
|
Sedgwick Claims Management Services, Inc. (Lightning
|
|
|
|
Cayman Merger Sub, Ltd.), 2020 Term Loan, 9/3/26
|
245,000
|
|
1,628,250
|
USI, Inc. (fka Compass Investors, Inc.), 2017 New Term
|
|
|
|
Loan, 3.174% (LIBOR + 300 bps), 5/16/24
|
1,567,191
|
|
|
Total Insurance
|
$ 9,813,024
|
|
|
Leasing — 0.5%
|
|
|
1,470,000
|
IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche
|
|
|
|
B-1 Term Loan, 4.639% (LIBOR + 375 bps), 9/11/23
|
$ 1,337,700
|
|
|
Total Leasing
|
$ 1,337,700
|
|
|
Leisure & Entertainment — 0.8%
|
|
|
1,479,968
|
24 Hour Fitness Worldwide, Inc., Term Loan, 4.95%
|
|
|
|
(LIBOR + 350 bps), 5/30/25
|
$ 483,457
|
|
1,000,000
|
AMC Entertainment Holdings, Inc. (fka AMC Entertainment,
|
|
|
|
Inc.), Term B-1 Loan, 4.08% (LIBOR + 300 bps), 4/22/26
|
762,500
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Leisure & Entertainment — (continued)
|
|
|
291,750
|
CityCenter Holdings LLC, Term B Loan, 3.0% (LIBOR +
|
|
|
|
225 bps), 4/18/24
|
$ 274,537
|
|
928,057
|
Fitness International LLC, Term B Loan, 4.322% (LIBOR +
|
|
|
|
325 bps), 4/18/25
|
541,754
|
|
|
Total Leisure & Entertainment
|
$ 2,062,248
|
|
|
Machinery — 2.2%
|
|
|
428,415
|
Blount International, Inc., New Refinancing Term Loan,
|
|
|
|
4.75% (LIBOR + 375 bps), 4/12/23
|
$ 411,993
|
|
851,429
|
CTC AcquiCo GmbH, Facility B2, 3.113% (LIBOR +
|
|
|
|
275 bps), 3/7/25
|
772,671
|
|
1,246,875
|
MHI Holdings LLC, Initial Term Loan, 5.174% (LIBOR +
|
|
|
|
500 bps), 9/21/26
|
1,153,359
|
|
1,068,874
|
NN, Inc., Tranche B Term Loan, 6.5% (LIBOR +
|
|
|
|
575 bps), 10/19/22
|
880,931
|
|
2,220,761
|
Shape Technologies Group, Inc., Initial Term Loan, 4.043%
|
|
|
|
(LIBOR + 300 bps), 4/21/25
|
1,426,839
|
|
1,035,865
|
Welbilt, Inc. (fka Manitowoc Foodservice, Inc.), Term B
|
|
|
|
Loan, 2.674% (LIBOR + 250 bps), 10/23/25
|
893,434
|
|
|
Total Machinery
|
$ 5,539,227
|
|
|
Media — 1.8%
|
|
|
1,994,937
|
Altice France SA, USD TLB-13, Incremental Term Loan,
|
|
|
|
4.184% (LIBOR + 400 bps), 8/14/26
|
$ 1,925,114
|
|
1,990,000
|
Diamond Sports Group LLC, Term Loan, 3.42% (LIBOR +
|
|
|
|
325 bps), 8/24/26
|
1,727,983
|
|
831,718
|
Quincy Media, Inc. (fka Quincy Newspapers, Inc.), Term
|
|
|
|
Loan B, 4.003% (LIBOR + 300 bps/PRIME +
|
|
|
|
200 bps), 11/2/22
|
779,735
|
|
|
Total Media
|
$ 4,432,832
|
|
|
Metals & Mining — 3.9%
|
|
|
1,815,745
|
Atkore International, Inc., First Lien Initial Incremental
|
|
|
|
Term Loan, 4.02% (LIBOR + 275 bps), 12/22/23
|
$ 1,785,113
|
|
2,552,595
|
Big River Steel LLC, Closing Date Term Loan, 6.45%
|
|
|
|
(LIBOR + 500 bps), 8/23/23
|
2,297,335
|
|
1,922,455
|
BWay Holding Co., Initial Term Loan, 4.561% (LIBOR +
|
|
|
|
325 bps), 4/3/24
|
1,772,504
|
|
887,500
|
Oxbow Carbon LLC, First Lien Tranche B Term Loan,
|
|
|
|
3.924% (LIBOR + 375 bps), 1/4/23
|
825,375
|
|
2,902,513
|
Phoenix Services International LLC, Term B Loan, 4.75%
|
|
|
|
(LIBOR + 375 bps), 3/1/25
|
2,532,443
|
|
750,445
|
TMS International Corp. (aka Tube City IMS Corp.),
|
|
|
|
Term B-2 Loan, 3.75% (LIBOR + 275 bps), 8/14/24
|
705,419
|
|
|
Total Metals & Mining
|
$ 9,918,189
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Oil & Gas — 3.6%
|
|
|
543,125
|
Centurion Pipeline Co. LLC (fka Lotus Midstream LLC),
|
|
|
|
Initial Term Loan, 3.424% (LIBOR + 325 bps), 9/29/25
|
$ 505,219
|
|
1,000,000(b)
|
ChampionX Holding, Inc., Term Loan, 5/28/27
|
955,000
|
|
615,625
|
NorthRiver Midstream Finance LP, Initial Term B Loan,
|
|
|
|
4.683% (LIBOR + 325 bps), 10/1/25
|
572,531
|
|
2,473,462
|
Prairie ECI Acquiror LP, Initial Term Loan, 6.2% (LIBOR +
|
|
|
|
475 bps), 3/11/26
|
2,250,232
|
|
1,625,547
|
St. Joseph Energy Center LLC, Term B Loan Advance,
|
|
|
|
4.5% (LIBOR + 350 bps), 4/10/25
|
1,503,631
|
|
1,640,369
|
Summit Midstream Partners Holdings LLC, Term Loan
|
|
|
|
Credit Facility, 7.0% (LIBOR + 600 bps), 5/13/22
|
328,074
|
|
3,721,804
|
Traverse Midstream Partners LLC, Advance Term Loan,
|
|
|
|
5.0% (LIBOR + 400 bps), 9/27/24
|
3,072,814
|
|
|
Total Oil & Gas
|
$ 9,187,501
|
|
|
Personal, Food & Miscellaneous Services — 2.5%
|
||
1,523,925
|
IRB Holding Corp. (aka Arby’s/Buffalo Wild Wings), 2020
|
|
|
|
Replacement Term B Loan, 3.751% (LIBOR +
|
||
|
275 bps), 2/5/25
|
$ 1,434,121
|
|
2,002,169
|
Knowlton Development Corp., Inc., Initial Term Loan,
|
|
|
|
3.924% (LIBOR + 375 bps), 12/22/25
|
1,892,049
|
|
1,462,061
|
Parfums Holding Co., Inc., First Lien Initial Term Loan,
|
|
|
|
5.25% (LIBOR + 425 bps), 6/30/24
|
1,346,010
|
|
2,000,000
|
Parfums Holding Co., Inc., Second Lien Initial Term Loan,
|
|
|
|
10.21% (LIBOR + 875 bps), 6/30/25
|
1,760,000
|
|
|
Total Personal, Food & Miscellaneous Services
|
$ 6,432,180
|
|
|
Printing & Publishing — 1.3%
|
|
|
1,400,000(b)
|
Nielsen Finance LLC (VNU, Inc.), Term B-5 Loan, 6/6/25
|
$ 1,401,750
|
|
2,049,911
|
Trader Corp., First Lien 2017 Refinancing Term Loan, 4.0%
|
|
|
|
(LIBOR + 300 bps), 9/28/23
|
1,926,917
|
|
|
Total Printing & Publishing
|
$ 3,328,667
|
|
|
Professional & Business Services — 6.8%
|
|
|
1,000,000
|
AI Convoy (Luxembourg) S.a.r.l., Facility B, 4.65%
|
|
|
|
(LIBOR + 350 bps), 1/18/27
|
$ 957,501
|
|
500,000
|
APX Group, Inc., Initial Loan, 5.174% (LIBOR +
|
|
|
|
500 bps), 12/31/25
|
466,250
|
|
2,985,000
|
athenahealth, Inc., First Lien Term B Loan, 5.284%
|
|
|
|
(LIBOR + 450 bps), 2/11/26
|
2,887,988
|
|
992,500
|
Blackstone CQP Holdco LP, Initial Term Loan, 4.616%
|
|
|
|
(LIBOR + 350 bps), 9/30/24
|
954,041
|
|
2,495,000
|
Clear Channel Outdoor Holdings, Inc., Term B Loan, 4.26%
|
|
|
|
(LIBOR + 350 bps), 8/21/26
|
2,330,330
|
|
1,492,500
|
Ensemble RCM LLC, Closing Date Term Loan, 4.437%
|
|
|
|
(LIBOR + 375 bps), 8/3/26
|
1,468,247
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Professional & Business Services — (continued)
|
||
1,488,750
|
MYOB US Borrower LLC, First Lien Initial US Term Loan,
|
|
|
|
4.174% (LIBOR + 400 bps), 5/6/26
|
$ 1,429,200
|
|
2,005,630
|
Pre-Paid Legal Services, Inc. (aka LegalShield), First Lien
|
|
|
|
Initial Term Loan, 3.424% (LIBOR + 325 bps), 5/1/25
|
1,920,391
|
|
2,967,637
|
SIWF Holdings, Inc. (aka Spring Window Fashions), First
|
|
|
|
Lien Initial Term Loan, 5.322% (LIBOR +
|
|
|
|
425 bps), 6/15/25
|
2,670,873
|
|
350,000
|
STG-Fairway Holdings LLC, First Lien Term Loan Facility,
|
|
|
|
4.572% (LIBOR + 350 bps), 1/31/27
|
321,125
|
|
1,926,248
|
Verscend Holding Corp., Term B Loan, 4.674% (LIBOR +
|
|
|
|
450 bps), 8/27/25
|
1,864,849
|
|
|
Total Professional & Business Services
|
$ 17,270,795
|
|
|
Retail — 5.4%
|
|
|
3,964,783
|
Bass Pro Group LLC, Initial Term Loan, 6.072% (LIBOR +
|
|
|
|
500 bps), 9/25/24
|
$ 3,746,720
|
|
3,241,875
|
Dealer Tire LLC, Term B-1 Loan, 4.424% (LIBOR +
|
|
|
|
425 bps), 12/12/25
|
3,027,101
|
|
250,000
|
Landry’s Finance Acquisition Co., Term B Loan, 13.0%
|
|
|
|
(LIBOR + 1,200 bps), 10/4/23
|
260,000
|
|
1,101,878
|
Men’s Wearhouse, Inc., Tranche B-2 Term Loan, 4.335%
|
|
|
|
(LIBOR + 325 bps), 4/9/25
|
291,998
|
|
1,220,857
|
Michaels Stores, Inc., 2018 New Replacement Term B
|
|
|
|
Loan, 3.534% (LIBOR + 250 bps), 1/30/23
|
1,066,419
|
|
958,481
|
PetSmart, Inc., Amended Term Loan, 5.0% (LIBOR +
|
|
|
|
400 bps), 3/11/22
|
944,037
|
|
3,209,957
|
Staples, Inc., 2019 Refinancing New Term B-2 Loan,
|
|
|
|
5.187% (LIBOR + 450 bps), 9/12/24
|
2,888,961
|
|
1,500,000
|
United Natural Foods, Inc., Initial Term Loan, 4.424%
|
|
|
|
(LIBOR + 425 bps), 10/22/25
|
1,415,391
|
|
|
Total Retail
|
$ 13,640,627
|
|
|
Securities & Trusts — 2.7%
|
|
|
2,728,111
|
KSBR Holding Corp., Initial Term Loan, 4.494% (LIBOR +
|
|
|
|
350 bps), 4/15/26
|
$ 2,672,416
|
|
1,481,288
|
Pug LLC, USD Term B Loan, 3.674% (LIBOR +
|
|
|
|
350 bps), 2/12/27
|
1,307,236
|
|
1,857,143
|
Spectacle Gary Holdings LLC, Closing Date Term Loan,
|
|
|
|
11.0% (LIBOR + 900 bps), 12/23/25
|
1,680,714
|
|
1,272,436
|
Stonepeak Lonestar Holdings LLC, Initial Term Loan,
|
|
|
|
5.635% (LIBOR + 450 bps), 10/19/26
|
1,186,547
|
|
|
Total Securities & Trusts
|
$ 6,846,913
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Telecommunications — 3.4%
|
|
|
995,000
|
CenturyLink, Inc., Term B Loan, 2.424% (LIBOR +
|
|
|
|
225 bps), 3/15/27
|
$ 958,398
|
|
2,776,434
|
Commscope, Inc., Initial Term Loan, 3.424% (LIBOR +
|
|
|
|
325 bps), 4/6/26
|
2,680,647
|
|
2,040,217
|
Windstream Services LLC (fka Windstream Corp.),
|
|
|
|
Tranche B-6 Term Loan, 8.25% (PRIME +
|
|
|
|
500 bps), 3/29/21
|
1,030,309
|
|
1,750,000
|
Windstream Services LLC (fka Windstream Corp.),
|
|
|
|
Tranche B-7 Term Loan, 7.5% (PRIME +
|
|
|
|
425 bps), 2/17/24
|
883,750
|
|
3,050,000(b)
|
Xplornet Communications, Inc., Term Loan, 5/29/27
|
2,928,000
|
|
|
Total Telecommunications
|
$ 8,481,104
|
|
|
Textile & Apparel — 0.9%
|
|
|
2,488,750
|
Adient US LLC, Initial Term Loan, 5.204% (LIBOR +
|
|
|
|
400 bps), 5/6/24
|
$ 2,233,653
|
|
|
Total Textile & Apparel
|
$ 2,233,653
|
|
|
Transport — 0.4%
|
|
|
1,123,728
|
Patriot Container Corp. (aka Wastequip), First Lien Closing
|
|
|
|
Date Term Loan, 4.5% (LIBOR + 350 bps), 3/20/25
|
$ 1,067,541
|
|
|
Total Transport
|
$ 1,067,541
|
|
|
Transportation — 0.6%
|
|
|
2,212,150
|
Envision Healthcare Corp., Initial Term Loan, 3.924%
|
|
|
|
(LIBOR + 375 bps), 10/10/25
|
$ 1,467,624
|
|
249,844
|
Syncreon Group BV, Second Out Term Loan, 7.45%
|
|
|
|
(LIBOR + 600 bps), 4/1/25
|
156,152
|
|
|
Total Transportation
|
$ 1,623,776
|
|
|
Utilities — 1.8%
|
|
|
679,651
|
Compass Power Generation LLC, Tranche B-1 Term Loan,
|
|
|
|
4.5% (LIBOR + 350 bps), 12/20/24
|
$ 644,182
|
|
2,159,596
|
Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II
|
|
|
|
LC LLC), Term Loan, 4.75% (LIBOR + 375 bps), 10/2/25
|
2,136,650
|
|
1,989,937
|
Edgewater Generation LLC, Term Loan, 3.924% (LIBOR +
|
|
|
|
375 bps), 12/13/25
|
1,873,526
|
|
|
Total Utilities
|
$ 4,654,358
|
|
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|
|
|
(Cost $324,076,949)
|
$ 297,737,041
|
Shares
|
|
Value
|
|
|
COMMON STOCKS — 0.0%† of Net Assets
|
||
|
Specialty Retail — 0.0%†
|
|
|
91,346+^(c)
|
Targus Cayman SubCo., Ltd.
|
$ 108,702
|
|
|
Total Specialty Retail
|
$ 108,702
|
|
|
Transportation Infrastructure — 0.0%†
|
|
|
9,505(c)
|
Syncreon Group
|
$ 61,388
|
|
|
Total Transportation Infrastructure
|
$ 61,388
|
|
|
TOTAL COMMON STOCKS
|
|
|
|
(Cost $365,273)
|
$ 170,090
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
|
|
|
ASSET BACKED SECURITIES — 1.2% of Net Assets
|
|
|
1,000,000(a)
|
Assurant CLO IV, Ltd., Series 2019-1A, Class E, 8.135%
|
|
|
|
(3 Month USD LIBOR + 700 bps), 4/20/30 (144A)
|
$ 729,228
|
|
1,000,000(a)
|
Goldentree Loan Management US CLO 2, Ltd., Series
|
|
|
|
2017-2A, Class E, 5.835% (3 Month USD LIBOR +
|
||
|
470 bps), 11/28/30 (144A)
|
761,091
|
|
1,000,000(a)
|
Madison Park Funding XXII, Ltd., Series 2016-22A,
|
|
|
|
Class ER, 7.919% (3 Month USD LIBOR + 670 bps),
|
||
|
1/15/33 (144A)
|
805,547
|
|
1,000,000(a)
|
Octagon Investment Partners XXI, Ltd., Series 2014-1A,
|
|
|
|
Class DRR, 7.424% (3 Month USD LIBOR + 700 bps),
|
|
|
|
2/14/31 (144A)
|
808,295
|
|
|
TOTAL ASSET BACKED SECURITIES
|
|
|
|
(Cost $3,931,442)
|
$ 3,104,161
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS —
|
|
|
|
1.3% of Net Assets
|
|
|
4,100,000(a)
|
Connecticut Avenue Securities Trust, Series 2019-HRP1,
|
|
|
|
Class B1, 9.418% (1 Month USD LIBOR +
|
|
|
|
925 bps), 11/25/39 (144A)
|
$ 2,768,853
|
|
760,000(a)
|
Freddie Mac Stacr Trust, Series 2019-HQA1, Class B2,
|
|
|
|
12.418% (1 Month USD LIBOR +
|
|
|
|
1,225 bps), 2/25/49 (144A)
|
494,758
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
||
|
(Cost $4,860,000)
|
$ 3,263,611
|
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
|
|
|
|
0.4% of Net Assets
|
|
|
249,967(a)
|
FREMF Mortgage Trust, Series 2020-KF74, Class C, 6.56%
|
|
|
|
(1 Month USD LIBOR + 623 bps), 1/25/27 (144A)
|
$ 210,429
|
|
625,000(a)
|
Morgan Stanley Capital I Trust, Series 2019-BPR,
|
|
|
|
Class D, 4.184% (1 Month USD LIBOR +
|
|
|
|
400 bps), 5/15/36 (144A)
|
478,626
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
COMMERCIAL MORTGAGE-BACKED
|
|
|
|
SECURITIES — (continued)
|
|
|
1,000,000
|
Wells Fargo Commercial Mortgage Trust, Series 2015-C28,
|
|
|
|
Class E, 3.0%, 5/15/48 (144A)
|
$ 359,003
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|
|
|
(Cost $1,639,953)
|
$ 1,048,058
|
|
|
CORPORATE BONDS — 14.5% of Net Assets
|
||
|
Advertising — 0.4%
|
|
|
1,250,000
|
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
|
$ 975,000
|
|
|
Total Advertising
|
$ 975,000
|
|
|
Aerospace & Defense — 0.0%†
|
|
|
105,000
|
Spirit AeroSystems, Inc., 7.5%, 4/15/25 (144A)
|
$ 104,410
|
|
|
Total Aerospace & Defense
|
$ 104,410
|
|
|
Banks — 0.6%
|
|
|
1,000,000(d)(e)
|
Citigroup, Inc., 4.7% (SOFRRATE + 323 bps)
|
$ 872,500
|
|
700,000(d)(e)
|
Credit Suisse Group AG, 7.5% (5 Year USD Swap
|
|
|
|
Rate + 460 bps) (144A)
|
719,740
|
|
|
Total Banks
|
$ 1,592,240
|
|
|
Building Materials — 0.4%
|
|
|
996,000
|
Patrick Industries, Inc., 7.5%, 10/15/27 (144A)
|
$ 998,490
|
|
|
Total Building Materials
|
$ 998,490
|
|
|
Chemicals — 0.4%
|
|
|
1,000,000
|
OCI NV, 6.625%, 4/15/23 (144A)
|
$ 1,020,000
|
|
|
Total Chemicals
|
$ 1,020,000
|
|
|
Coal — 0.6%
|
|
|
2,000,000
|
SunCoke Energy Partners LP/SunCoke Energy Partners
|
|
|
|
Finance Corp., 7.5%, 6/15/25 (144A)
|
$ 1,513,760
|
|
|
Total Coal
|
$ 1,513,760
|
|
|
Commercial Services — 1.0%
|
|
|
1,380,000
|
Allied Universal Holdco LLC/Allied Universal Finance
|
|
|
|
Corp., 9.75%, 7/15/27 (144A)
|
$ 1,466,250
|
|
495,000
|
Garda World Security Corp., 4.625%, 2/15/27 (144A)
|
499,331
|
|
574,000
|
Sotheby’s, 7.375%, 10/15/27 (144A)
|
522,340
|
|
|
Total Commercial Services
|
$ 2,487,921
|
|
|
Diversified Financial Services — 1.0%
|
|
|
1,700,000
|
Avation Capital SA, 6.5%, 5/15/21 (144A)
|
$ 1,428,000
|
|
1,000,000
|
Nationstar Mortgage Holdings, Inc., 9.125%,
|
|
|
|
7/15/26 (144A)
|
1,025,000
|
|
|
Total Diversified Financial Services
|
$ 2,453,000
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Entertainment — 0.6%
|
|
|
1,500,000
|
Enterprise Development Authority, 12.0%,
|
|
|
|
7/15/24 (144A)
|
$ 1,474,065
|
|
|
Total Entertainment
|
$ 1,474,065
|
|
|
Environmental Control — 0.3%
|
|
|
1,000,000
|
Tervita Corp., 7.625%, 12/1/21 (144A)
|
$ 772,500
|
|
|
Total Environmental Control
|
$ 772,500
|
|
|
Forest Products & Paper — 0.6%
|
|
|
1,515,000
|
Schweitzer-Mauduit International, Inc., 6.875%,
|
|
|
|
10/1/26 (144A)
|
$ 1,516,318
|
|
|
Total Forest Products & Paper
|
$ 1,516,318
|
|
|
Healthcare-Services — 0.6%
|
|
|
1,000,000
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint
|
|
|
|
Health, Inc., 9.75%, 12/1/26 (144A)
|
$ 1,082,500
|
|
395,000
|
West Street Merger Sub, Inc., 6.375%, 9/1/25 (144A)
|
389,075
|
|
|
Total Healthcare-Services
|
$ 1,471,575
|
|
|
Holding Companies-Diversified — 0.5%
|
|
|
1,520,000
|
VistaJet Malta Finance plc/XO Management Holding, Inc.,
|
|
|
|
10.5%, 6/1/24 (144A)
|
$ 1,212,200
|
|
|
Total Holding Companies-Diversified
|
$ 1,212,200
|
|
|
Home Builders — 0.4%
|
|
|
1,000,000
|
Taylor Morrison Communities, Inc./Taylor Morrison
|
|
|
|
Holdings II, Inc., 5.875%, 4/15/23 (144A)
|
$ 997,500
|
|
|
Total Home Builders
|
$ 997,500
|
|
|
Iron & Steel — 0.7%
|
|
|
1,645,000
|
Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A)
|
$ 1,698,200
|
|
|
Total Iron & Steel
|
$ 1,698,200
|
|
|
Lodging — 0.3%
|
|
|
1,000,000
|
Station Casinos LLC, 4.5%, 2/15/28 (144A)
|
$ 881,250
|
|
|
Total Lodging
|
$ 881,250
|
|
|
Machinery-Diversified — 0.4%
|
|
|
1,000,000
|
Maxim Crane Works Holdings Capital LLC, 10.125%,
|
|
|
|
8/1/24 (144A)
|
$ 975,000
|
|
|
Total Machinery-Diversified
|
$ 975,000
|
|
|
Media — 0.7%
|
|
|
1,500,000
|
Diamond Sports Group LLC/Diamond Sports Finance Co.,
|
|
|
|
6.625%, 8/15/27 (144A)
|
$ 904,500
|
|
1,000,000
|
Sinclair Television Group, Inc., 5.5%, 3/1/30 (144A)
|
915,000
|
|
|
Total Media
|
$ 1,819,500
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|||
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Mining — 0.7%
|
|
|
1,000,000
|
Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A)
|
$ 909,090
|
|
1,000,000
|
Novelis Corp., 4.75%, 1/30/30 (144A)
|
952,500
|
|
|
Total Mining
|
$ 1,861,590
|
|
|
Miscellaneous Manufacturers — 0.4%
|
|
|
1,000,000
|
Koppers, Inc., 6.0%, 2/15/25 (144A)
|
$ 920,000
|
|
|
Total Miscellaneous Manufacturers
|
$ 920,000
|
|
|
Oil & Gas — 0.5%
|
|
|
1,500,000
|
MEG Energy Corp., 7.125%, 2/1/27 (144A)
|
$ 1,365,930
|
|
|
Total Oil & Gas
|
$ 1,365,930
|
|
|
Oil & Gas Services — 0.3%
|
|
|
2,500,000
|
FTS International, Inc., 6.25%, 5/1/22
|
$ 625,000
|
|
|
Total Oil & Gas Services
|
$ 625,000
|
|
|
Pharmaceuticals — 0.4%
|
|
|
1,000,000
|
Bausch Health Cos., Inc., 5.5%, 11/1/25 (144A)
|
$ 1,033,020
|
|
|
Total Pharmaceuticals
|
$ 1,033,020
|
|
|
REITs — 0.8%
|
|
|
1,000,000
|
iStar, Inc., 4.75%, 10/1/24
|
$ 900,000
|
|
1,065,000
|
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital
|
|
|
|
LLC, 7.875%, 2/15/25 (144A)
|
1,082,306
|
|
|
Total REITS
|
$ 1,982,306
|
|
|
Retail — 0.8%
|
|
|
1,000,000
|
Beacon Roofing Supply, Inc., 4.875%, 11/1/25 (144A)
|
$ 944,700
|
|
1,250,000
|
Michaels Stores, Inc., 8.0%, 7/15/27 (144A)
|
1,006,250
|
|
|
Total Retail
|
$ 1,950,950
|
|
|
Telecommunications — 0.6%
|
|
|
1,000,000(f)
|
Frontier Communications Corp., 11.0%, 9/15/25
|
$ 350,000
|
|
2,000,000
|
Windstream Services LLC/Windstream Finance Corp.,
|
|
|
|
8.625%, 10/31/25 (144A)
|
1,191,390
|
|
|
Total Telecommunications
|
$ 1,541,390
|
|
|
Transportation — 0.5%
|
|
|
1,000,000(a)
|
Golar LNG Partners LP, 6.624% (3 Month USD LIBOR +
|
|
|
|
625 bps), 11/22/21
|
$ 750,000
|
|
800,000(a)
|
Golar LNG Partners LP, 8.394% (3 Month USD LIBOR +
|
|
|
|
810 bps), 11/15/22 (144A)
|
600,000
|
|
|
Total Transportation
|
$ 1,350,000
|
|
|
TOTAL CORPORATE BONDS
|
|
|
|
(Cost $41,189,366)
|
$ 36,593,115
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
INSURANCE-LINKED SECURITIES — 1.6% of
|
||
|
Net Assets(g)
|
|
|
|
Event-linked Bond — 0.1%
|
|
|
|
Windstorm – U.S. Regional — 0.1%
|
|
|
250,000(a)
|
Matterhorn Re, 7.107% (3 Month U.S. Treasury Bill +
|
|
|
|
700 bps), 12/7/21 (144A)
|
$ 249,500
|
|
|
Total Event-linked Bond
|
$ 249,500
|
Face
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
|
|
|
Collateralized Reinsurance — 0.2%
|
|
|
|
Multiperil – U.S. Regional — 0.1%
|
|
|
250,000+(c)(h)
|
Ocean View Re 2019, 6/30/20
|
$ 259,810
|
|
|
Multiperil – Worldwide — 0.1%
|
|
|
242,000+(c)(h)
|
Limestone Re 2019-2, 3/1/23 (144A)
|
$ 255,939
|
|
300,000+(c)(h)
|
Resilience Re, 4/6/21
|
30
|
|
|
|
$ 255,969
|
|
|
Windstorm – Florida — 0.0%†
|
|
|
250,000+(c)(h)
|
Formby Re 2018, 2/28/21
|
$ 47,130
|
|
|
Total Collateralized Reinsurance
|
$ 562,909
|
|
|
Reinsurance Sidecars — 1.3%
|
|
|
|
Multiperil – U.S. — 0.0%†
|
|
|
250,000+(c)(h)
|
Carnoustie Re 2016, 11/30/20
|
$ 6,750
|
|
250,000+(c)(h)
|
Carnoustie Re 2017, 11/30/21
|
32,950
|
|
250,000+(c)(i)
|
Harambee Re 2018, 12/31/21
|
19,500
|
|
250,000+(i)
|
Harambee Re 2019, 12/31/22
|
23,950
|
|
|
|
$ 83,150
|
|
|
Multiperil – Worldwide — 1.3%
|
|
|
3,037+(c)(h)
|
Alturas Re 2019-2, 3/10/22
|
$ 26,460
|
|
246,000+(c)(h)
|
Alturas Re 2020-2, 3/10/23
|
253,085
|
|
250,000+(c)(h)
|
Bantry Re 2016, 3/31/21
|
20,150
|
|
1,270,809+(c)(h)
|
Berwick Re 2018-1, 12/31/21
|
154,657
|
|
907,913+(c)(h)
|
Berwick Re 2019-1, 12/31/22
|
979,832
|
|
20,000+(h)
|
Eden Re II, 3/22/22 (144A)
|
12,474
|
|
3,800+(c)(h)
|
Eden Re II, 3/22/23 (144A)
|
33,711
|
|
250,000+(c)(h)
|
Gleneagles Re 2016, 11/30/20
|
7,800
|
|
300,000+(c)(i)
|
Lorenz Re 2018, 7/1/21
|
22,440
|
|
199,590+(c)(i)
|
Lorenz Re 2019, 6/30/22
|
178,773
|
|
300,000+(c)(h)
|
Merion Re 2018-2, 12/31/21
|
326,820
|
|
400,000+(h)
|
Pangaea Re 2016-1, 11/30/20
|
888
|
|
400,000+(c)(h)
|
Pangaea Re 2017-1, 11/30/21
|
6,440
|
|
400,000+(c)(h)
|
Pangaea Re 2018-1, 12/31/21
|
23,520
|
|
400,000+(c)(h)
|
Pangaea Re 2018-3, 7/1/22
|
8,297
|
Schedule of Investments | 5/31/20 (unaudited) (continued)
|
|
|
|
|
|
|||
Face
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Multiperil – Worldwide — (continued)
|
|
|
327,699+(c)(h)
|
Pangaea Re 2019-1, 2/1/23
|
$ 6,828
|
|
294,125+(c)(h)
|
Pangaea Re 2019-3, 7/1/23
|
295,881
|
|
324,259+(c)(h)
|
Pangaea Re 2020-1, 2/1/24
|
332,656
|
|
150,000+(c)(h)
|
Sector Re V, Series 8, Class C, 12/1/23 (144A)
|
110,505
|
|
100,000+(c)(h)
|
Sector Re V, Series 9, Class D, 12/1/24 (144A)
|
98,649
|
|
400,000+(c)(h)
|
St. Andrews Re 2017-1, 2/1/21
|
27,120
|
|
347,597+(c)(h)
|
St. Andrews Re 2017-4, 6/1/20
|
34,204
|
|
253,645+(c)(h)
|
Woburn Re 2018, 12/31/21
|
33,934
|
|
244,914+(c)(h)
|
Woburn Re 2019, 12/31/22
|
143,237
|
|
|
|
$ 3,138,361
|
|
|
Total Reinsurance Sidecars
|
$ 3,221,511
|
|
|
TOTAL INSURANCE-LINKED SECURITIES
|
|
|
|
(Cost $4,267,364)
|
$ 4,033,920
|
Shares
|
|
|
|
|
INVESTMENT COMPANY — 1.4% of Net Assets
|
|
|
80,752
|
SPDR Blackstone/GSO Senior Loan ETF
|
$ 3,482,026
|
|
|
TOTAL INVESTMENT COMPANY
|
|
|
|
(Cost $3,201,327)
|
$ 3,482,026
|
|
|
TEMPORARY CASH INVESTMENTS — 2.1%
|
||
|
of Net Assets
|
|
|
|
REPURCHASE AGREEMENTS — 2.1%
|
|
|
1,750,000
|
$1,750,000 Merrill Lynch, Pierce, Fenner &
|
|
|
|
Smith, Inc., 0.07%, dated 5/31/20 plus
|
|
|
|
accrued interest on 6/1/20 collateralized by
|
|
|
|
$1,785,000 Government National Mortgage
|
|
|
|
Association, 3.0%, 11/20/49 - 4/20/50.
|
$ 1,750,000
|
|
1,750,000
|
$1,750,000 RBC Capital Markets LLC, 0.06%, dated
|
|
|
|
5/31/20 plus accrued interest on 6/1/20 collateralized
|
|
|
|
by $1,785,009 Government National Mortgage
|
||
|
Association, 4.5%, 9/20/46 - 4/20/50.
|
1,750,000
|
|
1,750,000
|
$1,750,000 ScotiaBank, 0.06%, dated 5/31/20 plus
|
|
|
|
accrued interest on 6/1/20 collateralized by the following:
|
|
|
|
$964 Federal National Mortgage Association,
|
|
|
|
3.5%, 7/1/42
|
|
|
|
$1,801,573 U.S. Treasury Notes, 2.1%, 2/15/41.
|
1,750,000
|
|
|
|
$ 5,250,000
|
|
|
TOTAL TEMPORARY CASH INVESTMENTS
|
|
|
|
(Cost $5,250,000)
|
$ 5,250,000
|
|
|
TOTAL INVESTMENTS IN UNAFFILIATED
|
|
|
|
ISSUERS — 140.5%
|
|
|
|
(Cost $388,781,674)
|
$ 354,682,022
|
|
|
OTHER ASSETS AND LIABILITIES — (40.5)%
|
$(102,278,843)
|
|
|
NET ASSETS — 100.0%
|
$ 252,403,179
|
bps
|
Basis Points.
|
FREMF
|
Freddie Mac Multifamily Fixed-Rate Mortgage Loans.
|
LIBOR
|
London Interbank Offered Rate.
|
PRIME
|
U.S. Federal Funds Rate.
|
REIT
|
Real Estate Investment Trust.
|
SOFRRATE
|
Secured Overnight Financing Rate.
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At May 31,
2020, the value of these securities amounted to $41,272,223, or 16.4% of net assets.
|
†
|
Amount rounds to less than 0.1%.
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending
rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending
rates used by commercial lenders. The interest rate shown is the rate accruing at May 31, 2020.
|
^
|
Security is valued using fair value methods (other than supplied by independent pricing services).
|
+
|
Security that used significant unobservable inputs to determine its value.
|
(a)
|
Floating rate note. Coupon rate, reference index and spread shown at May 31, 2020.
|
(b)
|
This term loan will settle after May 31, 2020, at which time the interest rate will be determined.
|
(c)
|
Non-income producing security.
|
(d)
|
The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at May 31, 2020.
|
(e)
|
Security is perpetual in nature and has no stated maturity date.
|
(f)
|
Security is in default.
|
(g)
|
Securities are restricted as to resale.
|
(h)
|
Issued as participation notes.
|
(i)
|
Issued as preference shares.
|
|
Purchases
|
Sales
|
||||||
Long-Term U.S. Government Securities
|
$
|
5,005,332
|
$
|
4,997,093
|
||||
Other Long-Term Securities
|
$
|
166,920,665
|
$
|
195,502,948
|
Aggregate gross unrealized appreciation for all investments in which
|
||||
there is an excess of value over tax cost
|
$
|
1,926,946
|
||
Aggregate gross unrealized depreciation for all investments in which
|
||||
there is an excess of tax cost over value
|
(37,369,786
|
)
|
||
Net unrealized depreciation
|
$
|
(35,442,840
|
)
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Senior Secured Floating Rate
|
||||||||||||||||
Loan Interests
|
$
|
—
|
$
|
297,737,041
|
$
|
—
|
$
|
297,737,041
|
||||||||
Common Stocks
|
||||||||||||||||
Specialty Retail
|
—
|
—
|
108,702
|
108,702
|
||||||||||||
Transportation Infrastructure
|
—
|
61,388
|
—
|
61,388
|
||||||||||||
Asset Backed Securities
|
—
|
3,104,161
|
—
|
3,104,161
|
||||||||||||
Collateralized Mortgage Obligations
|
—
|
3,263,611
|
—
|
3,263,611
|
||||||||||||
Commercial Mortgage-Backed
|
||||||||||||||||
Securities
|
—
|
1,048,058
|
—
|
1,048,058
|
||||||||||||
Corporate Bonds
|
—
|
36,593,115
|
—
|
36,593,115
|
||||||||||||
Insurance-Linked Securities
|
||||||||||||||||
Collateralized Reinsurance
|
||||||||||||||||
Multiperil – U.S. Regional
|
—
|
—
|
259,810
|
259,810
|
||||||||||||
Multiperil – Worldwide
|
—
|
—
|
255,969
|
255,969
|
||||||||||||
Windstorm – Florida
|
—
|
—
|
47,130
|
47,130
|
||||||||||||
Reinsurance Sidecars
|
||||||||||||||||
Multiperil – U.S.
|
—
|
—
|
83,150
|
83,150
|
||||||||||||
Multiperil – Worldwide
|
—
|
—
|
3,138,361
|
3,138,361
|
||||||||||||
All Other Insurance-Linked
|
||||||||||||||||
Securities
|
—
|
249,500
|
—
|
249,500
|
||||||||||||
Investment Company
|
3,482,026
|
—
|
—
|
3,482,026
|
||||||||||||
Repurchase Agreements
|
—
|
5,250,000
|
—
|
5,250,000
|
||||||||||||
Total Investments in Securities
|
$
|
3,482,026
|
$
|
347,306,874
|
$
|
3,893,122
|
$
|
354,682,022
|
|
Change in
|
|||||||||||||||||||||||||||
|
Balance
|
Realized
|
unrealized
|
Accrued
|
Balance
|
|||||||||||||||||||||||
|
as of
|
gain
|
appreciation
|
discounts/
|
as of
|
|||||||||||||||||||||||
|
11/30/19
|
(loss)(1)
|
(depreciation)(2)
|
Purchases
|
Sales
|
premiums
|
5/31/20
|
|||||||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||
Health Care
|
||||||||||||||||||||||||||||
Technology
|
$
|
2,096
|
$
|
312,341
|
$
|
—
|
$
|
—
|
$
|
(314,437
|
)
|
$
|
—
|
$
|
—
|
|||||||||||||
Specialty Retail
|
108,702
|
—
|
—
|
—
|
—
|
—
|
108,702
|
|||||||||||||||||||||
Insurance-Linked
|
||||||||||||||||||||||||||||
Securities
|
||||||||||||||||||||||||||||
Collateralized
|
||||||||||||||||||||||||||||
Reinsurance
|
||||||||||||||||||||||||||||
Multiperil –
|
||||||||||||||||||||||||||||
U.S. Regional
|
248,379
|
—
|
11,431
|
—
|
—
|
—
|
259,810
|
|||||||||||||||||||||
Multiperil –
|
||||||||||||||||||||||||||||
Worldwide
|
397,211
|
(32,920
|
)
|
49,091
|
—
|
(157,413
|
)
|
—
|
255,969
|
|||||||||||||||||||
Windstorms –
|
||||||||||||||||||||||||||||
Florida
|
79,929
|
—
|
(1,912
|
)
|
—
|
(30,887
|
)
|
—
|
47,130
|
|||||||||||||||||||
Reinsurance
|
||||||||||||||||||||||||||||
Sidecars
|
||||||||||||||||||||||||||||
Multiperil – U.S.
|
386,450
|
—
|
(2,344
|
)
|
—
|
(300,956
|
)
|
—
|
83,150
|
|||||||||||||||||||
Multiperil –
|
||||||||||||||||||||||||||||
Worldwide
|
3,710,611
|
—
|
65,254
|
670,259
|
(1,307,763
|
)
|
—
|
3,138,361
|
||||||||||||||||||||
Total
|
$
|
4,933,378
|
$
|
279,421
|
$
|
121,520
|
$
|
670,259
|
$
|
(2,111,456
|
)
|
$
|
—
|
$
|
3,893,122
|
(1)
|
Realized gain (loss) on these securities is included in the realized gain (loss) from investments on the Statement of Operations.
|
(2)
|
Unrealized appreciation (depreciation) on these securities is included in the change in unrealized appreciation (depreciation) from investments on the Statement of Operations.
|
*
|
Transfers are calculated on the beginning of period value. For the six months ended May 31, 2020, there were no transfers between Levels 1, 2 and 3.
|
Net change in unrealized appreciation (depreciation) of Level 3 investments
|
||||
still held and considered Level 3 at May 31, 2020:
|
$
|
107,661
|
|
ASSETS:
|
||||
Investments in unaffiliated issuers, at value (cost $388,781,674)
|
$
|
354,682,022
|
||
Cash
|
2,163,943
|
|||
Receivables —
|
||||
Investment securities sold
|
15,179,921
|
|||
Interest
|
2,132,596
|
|||
Dividends
|
33,525
|
|||
Other assets
|
33
|
|||
Total assets
|
$
|
374,192,040
|
||
LIABILITIES:
|
||||
Payables —
|
||||
Credit agreement
|
$
|
103,450,000
|
||
Investment securities purchased
|
17,951,159
|
|||
Trustees’ fees
|
8,611
|
|||
Interest expense
|
16,508
|
|||
Unrealized depreciation on unfunded loan commitments
|
144,191
|
|||
Due to affiliates
|
24,897
|
|||
Accrued expenses
|
193,495
|
|||
Total liabilities
|
$
|
121,788,861
|
||
NET ASSETS:
|
||||
Paid-in capital
|
$
|
344,939,989
|
||
Distributable earnings (loss)
|
(92,536,810
|
)
|
||
Net assets
|
$
|
252,403,179
|
||
NET ASSET VALUE PER SHARE:
|
||||
No par value
|
||||
based on $252,403,179/24,738,174 shares
|
$
|
10.20
|
Statement of Operations (unaudited)
|
FOR THE SIX MONTHS ENDED 5/31/20
|
INVESTMENT INCOME:
|
||||||||
Interest from unaffiliated issuers
|
$
|
11,505,189
|
||||||
Dividends from unaffiliated issuers
|
168,704
|
|||||||
Total investment income
|
$
|
11,673,893
|
||||||
EXPENSES:
|
||||||||
Management fees
|
$
|
1,386,146
|
||||||
Administrative expense
|
92,591
|
|||||||
Transfer agent fees
|
5,143
|
|||||||
Custodian fees
|
62,887
|
|||||||
Professional fees
|
85,549
|
|||||||
Printing expense
|
14,420
|
|||||||
Pricing fees
|
21,137
|
|||||||
Trustees’ fees
|
10,415
|
|||||||
Interest expense
|
1,359,600
|
|||||||
Miscellaneous
|
129,148
|
|||||||
Total expenses
|
$
|
3,167,036
|
||||||
Net investment income
|
$
|
8,506,857
|
||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
|
||||||||
Net realized gain (loss) on:
|
||||||||
Investments in unaffiliated issuers
|
$
|
(8,335,948
|
)
|
|||||
Swap contracts
|
(2,327,585
|
)
|
||||||
Other assets and liabilities denominated in
|
||||||||
foreign currencies
|
(3,831
|
)
|
$
|
(10,667,364
|
)
|
|||
Change in net unrealized appreciation (depreciation) on:
|
||||||||
Investments in unaffiliated issuers
|
$
|
(28,553,469
|
)
|
|||||
Swap contracts
|
(261,360
|
)
|
||||||
Unfunded loan commitments
|
(139,788
|
)
|
||||||
Other assets and liabilities denominated in foreign currencies
|
2,989
|
(28,951,628
|
)
|
|||||
Net realized and unrealized gain (loss) on investments
|
$
|
(39,618,992
|
)
|
|||||
Net decrease in net assets resulting from operations
|
$
|
(31,112,135
|
)
|
Statements of Changes in Net Assets
|
|
|
Six Months
|
|||||||
|
Ended
|
Year
|
||||||
|
5/31/20
|
Ended
|
||||||
|
(unaudited)
|
11/30/19
|
||||||
FROM OPERATIONS:
|
||||||||
Net investment income (loss)
|
$
|
8,506,857
|
$
|
17,994,475
|
||||
Net realized gain (loss) on investments
|
(10,667,364
|
)
|
(9,886,339
|
)
|
||||
Change in net unrealized appreciation (depreciation)
|
||||||||
on investments
|
(28,951,628
|
)
|
4,901,558
|
|||||
Net increase (decrease) in net assets resulting
|
||||||||
from operations
|
$
|
(31,112,135
|
)
|
$
|
13,009,724
|
|||
DISTRIBUTIONS TO SHAREOWNERS:
|
||||||||
($0.37 and $0.74 per share, respectively)
|
$
|
(9,214,970
|
)
|
$
|
(18,182,558
|
)
|
||
Total distributions to shareowners
|
$
|
(9,214,970
|
)
|
$
|
(18,182,558
|
)
|
||
Net decrease in net assets
|
$
|
(40,327,105
|
)
|
$
|
(5,172,834
|
)
|
||
NET ASSETS:
|
||||||||
Beginning of period
|
$
|
292,730,284
|
$
|
297,903,118
|
||||
End of period
|
$
|
252,403,179
|
$
|
292,730,284
|
Statement of Cash Flows (unaudited)
|
|
FOR THE SIX MONTHS ENDED 5/31/20
|
|
Cash Flows From Operating Activities:
|
||||
Net decrease in net assets resulting from operations
|
$
|
(31,112,135
|
)
|
|
Adjustments to reconcile net decrease in net assets resulting from operations
|
||||
to net cash, restricted cash and foreign currencies from operating activities:
|
||||
Purchases of investment securities
|
$
|
(227,559,145
|
)
|
|
Proceeds from disposition and maturity of investment securities
|
259,247,885
|
|||
Net sales of temporary cash investments
|
5,770,000
|
|||
Net accretion and amortization of discount/premium on investment securities
|
(739,767
|
)
|
||
Change in unrealized depreciation on investments in unaffiliated issuers
|
28,553,469
|
|||
Change in unrealized depreciation on unfunded loan commitments
|
139,788
|
|||
Change in unrealized appreciation on swap contracts
|
261,360
|
|||
Change in unrealized depreciation on other assets and liabilities denominated
|
||||
in foreign currencies
|
(2,990
|
)
|
||
Net realized loss on investments in unaffiliated issuers
|
8,335,948
|
|||
Net premiums received on swap contracts
|
877,234
|
|||
Increase in interest receivable
|
(799,807
|
)
|
||
Decrease in due to affiliates
|
(33,130
|
)
|
||
Increase in trustees’ fees payable
|
1,811
|
|||
Decrease in accrued expenses payable
|
(31,139
|
)
|
||
Decrease in interest expense payable
|
(98,105
|
)
|
||
Decrease in cash due to broker
|
(1,133,779
|
)
|
||
Decrease in variation margin for swap contracts
|
(1,464
|
)
|
||
Net cash, restricted cash and foreign currencies provided by operating activities
|
$
|
41,676,034
|
||
Cash Flows Used in Financing Activities:
|
||||
Borrowings received
|
$
|
6,000,000
|
||
Borrowings repaid
|
(42,000,000
|
)
|
||
Distributions to shareowners
|
(9,214,970
|
)
|
||
Net cash, restricted cash and foreign currencies used in financing activities
|
$
|
(45,214,970
|
)
|
|
Effect of Foreign Exchange Fluctuations on Cash:
|
||||
Effect of foreign exchange fluctuations on cash
|
$
|
2,990
|
||
Cash, Restricted Cash and Foreign Currencies:
|
||||
Beginning of period*
|
$
|
5,699,889
|
||
End of period*
|
$
|
2,163,943
|
||
Cash Flow Information:
|
||||
Cash paid for interest
|
$
|
1,457,705
|
|
Six Months
|
|||||||
|
Ended
|
|||||||
|
5/31/20
|
Year Ended
|
||||||
|
(unaudited)
|
11/30/19
|
||||||
Cash
|
$
|
2,163,943
|
$
|
4,920,837
|
||||
Foreign currencies, at value
|
—
|
31,145
|
||||||
Swaps collateral
|
—
|
747,907
|
||||||
Total cash, restricted cash and foreign currencies
|
||||||||
shown in the Statement of Cash Flows
|
$
|
2,163,943
|
$
|
5,699,889
|
|
Six Months
|
|||||||||||||||||||||||
|
Ended
|
Year
|
Year
|
Year
|
Year
|
Year
|
||||||||||||||||||
|
5/31/20
|
Ended
|
Ended
|
Ended
|
Ended
|
Ended
|
||||||||||||||||||
|
(unaudited)
|
11/30/19
|
11/30/18
|
11/30/17
|
11/30/16*
|
11/30/15*
|
||||||||||||||||||
Per Share Operating Performance
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$
|
11.83
|
$
|
12.04
|
$
|
12.42
|
$
|
12.50
|
$
|
12.30
|
$
|
12.82
|
||||||||||||
Increase (decrease) from investment operations: (a)
|
||||||||||||||||||||||||
Net investment income
|
$
|
0.34
|
$
|
0.73
|
$
|
0.74
|
$
|
0.71
|
$
|
0.77
|
$
|
0.76
|
||||||||||||
Net realized and unrealized gain (loss) on investments
|
(1.60
|
)
|
(0.20
|
)
|
(0.40
|
)
|
(0.06
|
)
|
0.15
|
(0.58
|
)
|
|||||||||||||
Net increase (decrease) from investment operations
|
$
|
(1.26
|
)
|
$
|
0.53
|
$
|
0.34
|
$
|
0.65
|
$
|
0.92
|
$
|
0.18
|
|||||||||||
Distributions to shareowners from:
|
||||||||||||||||||||||||
Net investment income and previously undistributed net
|
||||||||||||||||||||||||
investment income
|
$
|
(0.37
|
)(b)
|
$
|
(0.74
|
)(b)
|
$
|
(0.72
|
)
|
$
|
(0.73
|
)(b)
|
$
|
(0.72
|
)
|
$
|
(0.70
|
)
|
||||||
Net increase (decrease) in net asset value
|
$
|
(1.63
|
)
|
$
|
(0.21
|
)
|
$
|
(0.38
|
)
|
$
|
(0.08
|
)
|
$
|
0.20
|
$
|
(0.52
|
)
|
|||||||
Net asset value, end of period
|
$
|
10.20
|
$
|
11.83
|
$
|
12.04
|
$
|
12.42
|
$
|
12.50
|
$
|
12.30
|
||||||||||||
Market value, end of period
|
$
|
8.97
|
$
|
10.53
|
$
|
10.40
|
$
|
11.47
|
$
|
11.78
|
$
|
10.83
|
||||||||||||
Total return at net asset value (c)
|
(10.29
|
)%(d)
|
5.38
|
%
|
3.34
|
%
|
5.55
|
%
|
8.31
|
%
|
1.96
|
%
|
||||||||||||
Total return at market value (c)
|
(11.37
|
)%(d)
|
8.59
|
%
|
(3.34
|
)%
|
3.43
|
%
|
15.92
|
%
|
1.31
|
%
|
||||||||||||
Ratios to average net assets of shareowners:
|
||||||||||||||||||||||||
Total expenses plus interest expense (e)(f)
|
2.34
|
%(g)
|
2.90
|
%
|
2.56
|
%
|
2.21
|
%
|
1.96
|
%
|
1.81
|
%
|
||||||||||||
Net investment income before preferred share distributions
|
6.29
|
%(g)
|
6.08
|
%
|
5.98
|
%
|
5.62
|
%
|
6.32
|
%
|
6.00
|
%
|
||||||||||||
Net investment income available to shareowners
|
6.29
|
%(g)
|
6.08
|
%
|
5.98
|
%
|
5.62
|
%
|
6.32
|
%
|
6.00
|
%
|
||||||||||||
Portfolio turnover rate
|
45
|
%(d)
|
48
|
%
|
34
|
%
|
75
|
%
|
52
|
%
|
38
|
%
|
||||||||||||
Net assets, end of period (in thousands)
|
$
|
252,403
|
$
|
292,730
|
$
|
297,903
|
$
|
307,195
|
$
|
309,308
|
$
|
304,357
|
|
Six Months
|
|||||||||||||||||||||||
|
Ended
|
Year
|
Year
|
Year
|
Year
|
Year
|
||||||||||||||||||
|
5/31/20
|
Ended
|
Ended
|
Ended
|
Ended
|
Ended
|
||||||||||||||||||
|
(unaudited)
|
11/30/19
|
11/30/18
|
11/30/17
|
11/30/16*
|
11/30/15*
|
||||||||||||||||||
Total amount of debt outstanding (in thousands)
|
$
|
103,450
|
$
|
139,450
|
$
|
143,450
|
$
|
143,450
|
$
|
143,450
|
$
|
143,450
|
||||||||||||
Asset coverage per $1,000 of indebtedness
|
$
|
3,440
|
$
|
3,099
|
$
|
3,077
|
$
|
3,141
|
$
|
3,156
|
$
|
3,023
|
|
2019
|
|||
Distributions paid from:
|
||||
Ordinary income
|
$
|
18,182,558
|
||
Total
|
$
|
18,182,558
|
|
2019
|
|||
Distributable earnings:
|
||||
Undistributed ordinary income
|
$
|
693,150
|
||
Capital loss carryforward
|
(47,144,686
|
)
|
||
Unrealized depreciation
|
(5,758,169
|
)
|
||
Total
|
$
|
(52,209,705
|
)
|
Statement of Operations
|
||||||||||||||||||||
|
Foreign
|
|||||||||||||||||||
|
Interest
|
Credit
|
Exchange
|
Equity
|
Commodity
|
|||||||||||||||
|
Rate Risk
|
Risk
|
Rate Risk
|
Risk
|
Risk
|
|||||||||||||||
Net realized
|
||||||||||||||||||||
gain (loss) on:
|
||||||||||||||||||||
Swap contracts
|
$
|
—
|
$
|
(2,327,585
|
)
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||
Total Value
|
$
|
—
|
$
|
(2,327,585
|
)
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||
Change in net
|
||||||||||||||||||||
unrealized
|
||||||||||||||||||||
appreciation
|
||||||||||||||||||||
(depreciation) on:
|
||||||||||||||||||||
Swap contracts
|
$
|
—
|
$
|
(261,360
|
)
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||
Total Value
|
$
|
—
|
$
|
(261,360
|
)
|
$
|
—
|
$
|
—
|
$
|
—
|
|
Unrealized
|
|||||||||||||||
|
Appreciation
|
|||||||||||||||
Loan
|
Principal
|
Cost
|
Value
|
(Depreciation)
|
||||||||||||
Gbt US LLC
|
$
|
957,080
|
$
|
938,563
|
$
|
832,659
|
$
|
(105,904
|
)
|
|||||||
NMN Holdings III Corp.
|
439,183
|
435,524
|
412,832
|
(22,692
|
)
|
|||||||||||
Spectacle Gary Holdings LLC
|
142,857
|
144,881
|
129,286
|
(15,595
|
)
|
|||||||||||
Total Value
|
$
|
1,539,120
|
$
|
1,518,968
|
$
|
1,374,777
|
$
|
(144,191
|
)
|
|
5/31/20
|
11/30/19
|
Shares outstanding at beginning of period
|
24,738,174
|
24,738,174
|
Shares outstanding at end of period
|
24,738,174
|
24,738,174
|
Trustees
|
Officers
|
Thomas J. Perna, Chairman
|
Lisa M. Jones, President and
|
John E. Baumgardner, Jr.
|
Chief Executive Officer
|
Diane Durnin
|
Mark E. Bradley, Treasurer and
|
Benjamin M. Friedman
|
Chief Financial and
|
Lisa M. Jones
|
Accounting Officer
|
Lorraine H. Monchak
|
Christopher J. Kelley, Secretary and
|
Marguerite A. Piret
|
Chief Legal Officer
|
Fred J. Ricciardi
|
|
Kenneth J. Taubes
|
|
Account Information
|
1-800-710-0935
|
|
|
Or write to AST:
|
|
For
|
Write to
|
|
|
General inquiries, lost dividend checks,
|
American Stock
|
change of address, lost stock certificates,
|
Transfer & Trust
|
stock transfer
|
Operations Center
|
|
6201 15th Ave.
|
|
Brooklyn, NY 11219
|
|
|
Dividend reinvestment plan (DRIP)
|
American Stock
|
|
Transfer & Trust
|
|
Wall Street Station
|
|
P.O. Box 922
|
|
New York, NY 10269-0560
|
|
|
Website
|
www.amstock.com
|
SECTION II - POLICY
|
|||
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PRE-APPROVED SERVICE SUBCATEGORIES
|
|
I. AUDIT SERVICES
|
Services that are directly
|
o Accounting research assistance
|
|
related to performing the
|
o SEC consultation, registration
|
||
independent audit of the Funds
|
statements, and reporting
|
||
o Tax accrual related matters
|
|||
o Implementation of new accounting standards
|
|||
o Compliance letters (e.g. rating agency letters)
|
|||
o Regulatory reviews and assistance
|
|||
regarding financial matters
|
|||
o Semi-annual reviews (if requested)
|
|||
o Comfort letters for closed end offerings
|
|||
II. AUDIT-RELATED
|
Services which are not
|
o AICPA attest and agreed-upon procedures
|
|
SERVICES
|
prohibited under Rule
|
o Technology control assessments
|
|
210.2-01(C)(4) (the “Rule”)
|
o Financial reporting control assessments
|
||
and are related extensions of
|
o Enterprise security architecture
|
||
the audit services support the
|
assessment
|
||
audit, or use the knowledge/expertise
|
|||
gained from the audit procedures as a
|
|||
foundation to complete the project.
|
|||
In most cases, if the Audit-Related
|
|||
Services are not performed by the
|
|||
Audit firm, the scope of the Audit
|
|||
Services would likely increase.
|
|||
The Services are typically well-defined
|
|||
and governed by accounting
|
|||
professional standards (AICPA,
|
|||
SEC, etc.)
|
|||
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
||
o “One-time” pre-approval
|
o A summary of all such
|
||
for the audit period for all
|
services and related fees
|
||
pre-approved specific service
|
reported at each regularly
|
||
subcategories. Approval of the
|
scheduled Audit Committee
|
||
independent auditors as
|
meeting.
|
||
auditors for a Fund shall
|
|||
constitute pre approval for
|
|||
these services.
|
|||
o “One-time” pre-approval
|
o A summary of all such
|
||
for the fund fiscal year within
|
services and related fees
|
||
a specified dollar limit
|
(including comparison to
|
||
for all pre-approved
|
specified dollar limits)
|
||
specific service subcategories
|
reported quarterly.
|
||
o Specific approval is
|
|||
needed to exceed the
|
|||
pre-approved dollar limit for
|
|||
these services (see general
|
|||
Audit Committee approval policy
|
|||
below for details on obtaining
|
|||
specific approvals)
|
|||
o Specific approval is
|
|||
needed to use the Fund’s
|
|||
auditors for Audit-Related
|
|||
Services not denoted as
|
|||
“pre-approved”, or
|
|||
to add a specific service
|
|||
subcategory as “pre-approved”
|
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PRE-APPROVED SERVICE
|
SUBCATEGORIES
|
||
III. TAX SERVICES
|
Services which are not
|
o Tax planning and support
|
prohibited by the Rule,
|
o Tax controversy assistance
|
|
if an officer of the Fund
|
o Tax compliance, tax returns, excise
|
|
determines that using the
|
tax returns and support
|
|
Fund’s auditor to provide
|
o Tax opinions
|
|
these services creates
|
||
significant synergy in
|
||
the form of efficiency,
|
||
minimized disruption, or
|
||
the ability to maintain a
|
||
desired level of
|
||
confidentiality.
|
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
o “One-time” pre-approval
|
o A summary of
|
for the fund fiscal year
|
all such services and
|
within a specified dollar limit
|
related fees
|
(including comparison
|
|
to specified dollar
|
|
limits) reported
|
|
quarterly.
|
|
o Specific approval is
|
|
needed to exceed the
|
|
pre-approved dollar limits for
|
|
these services (see general
|
|
Audit Committee approval policy
|
|
below for details on obtaining
|
|
specific approvals)
|
|
o Specific approval is
|
|
needed to use the Fund’s
|
|
auditors for tax services not
|
|
denoted as pre-approved, or to
|
|
add a specific service subcategory as
|
|
“pre-approved”
|
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PRE-APPROVED SERVICE
|
SUBCATEGORIES
|
||
IV. OTHER SERVICES
|
Services which are not
|
o Business Risk Management support
|
prohibited by the Rule,
|
o Other control and regulatory
|
|
A. SYNERGISTIC,
|
if an officer of the Fund
|
compliance projects
|
UNIQUE QUALIFICATIONS
|
determines that using the
|
|
Fund’s auditor to provide
|
||
these services creates
|
||
significant synergy in
|
||
the form of efficiency,
|
||
minimized disruption,
|
||
the ability to maintain a
|
||
desired level of
|
||
confidentiality, or where
|
||
the Fund’s auditors
|
||
posses unique or superior
|
||
qualifications to provide
|
||
these services, resulting
|
||
in superior value and
|
||
results for the Fund.
|
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
o “One-time” pre-approval
|
o A summary of
|
for the fund fiscal year within
|
all such services and
|
a specified dollar limit
|
related fees
|
(including comparison
|
|
to specified dollar
|
|
limits) reported
|
|
quarterly.
|
|
o Specific approval is
|
|
needed to exceed the
|
|
pre-approved dollar limits for
|
|
these services (see general
|
|
Audit Committee approval policy
|
|
below for details on obtaining
|
|
specific approvals)
|
|
o Specific approval is
|
|
needed to use the Fund’s
|
|
auditors for “Synergistic” or
|
|
“Unique Qualifications” Other
|
|
Services not denoted as
|
|
pre-approved to the left, or to
|
|
add a specific service
|
|
subcategory as “pre-approved”
|
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PROHIBITED SERVICE
|
SUBCATEGORIES
|
||
PROHIBITED SERVICES
|
Services which result
|
1. Bookkeeping or other services
|
in the auditors losing
|
related to the accounting records or
|
|
independence status
|
financial statements of the audit
|
|
under the Rule.
|
client*
|
|
2. Financial information systems design
|
||
and implementation*
|
||
3. Appraisal or valuation services,
|
||
fairness* opinions, or
|
||
contribution-in-kind reports
|
||
4. Actuarial services (i.e., setting
|
||
actuarial reserves versus actuarial
|
||
audit work)*
|
||
5. Internal audit outsourcing services*
|
||
6. Management functions or human
|
||
resources
|
||
7. Broker or dealer, investment
|
||
advisor, or investment banking services
|
||
8. Legal services and expert services
|
||
unrelated to the audit
|
||
9. Any other service that the Public
|
||
Company Accounting Oversight Board
|
||
determines, by regulation, is
|
||
impermissible
|
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
o These services are not to be
|
o A summary of all
|
performed with the exception of the(*)
|
services and related
|
services that may be permitted
|
fees reported at each
|
if they would not be subject to audit
|
regularly scheduled
|
procedures at the audit client (as
|
Audit Committee meeting
|
defined in rule 2-01(f)(4)) level
|
will serve as continual
|
the firm providing the service.
|
confirmation that has
|
not provided any
|
|
restricted services.
|
1 Year Pioneer Floating Rate Chart |
1 Month Pioneer Floating Rate Chart |
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