UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-21654 Pioneer Floating Rate Trust (Exact name of registrant as specified in charter) 60 State Street, Boston, MA 02109 (Address of principal executive offices) (ZIP code) Terrence J. Cullen, Pioneer Investment Management, Inc., 60 State Street, Boston, MA 02109 (Name and address of agent for service) Registrant's telephone number, including area code: (617) 742-7825 Date of fiscal year end: November 30 Date of reporting period: February 28, 2017 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. <PAGE> ITEM 1. Schedule of Investments. File the schedules as of the close of the reporting period as set forth in ss. 210.12-12 12-14 of Regulation S-X [17 CFR 210.12-12 12-14]. The schedules need not be audited.
Pioneer Floating
|
||
Rate Trust
|
||
NQ | February 28, 2017
|
||
Ticker Symbol: PHD
|
Principal
Amount
USD ($)
|
Value
|
|||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 129.6% of Net Assets*(a)
|
||||
AUTOMOBILES & COMPONENTS - 5.7%
|
||||
Auto Parts & Equipment - 4.7%
|
||||
1,609,202
|
Allison Transmission, Inc., Term Loan B-3, 3.28%, 9/23/22
|
$1,628,220
|
||
2,358,000
|
BBB Industries US Holdings, Inc., First Lien Initial Term Loan, 6.0%, 11/3/21
|
2,373,445
|
||
1,103,568
|
Cooper-Standard Automotive, Inc., Additional Term B-1 Loan, 3.748%, 11/2/23
|
1,116,902
|
||
1,506,591
|
Electrical Components International, Inc., Term Loan, 5.75%, 5/28/21
|
1,519,774
|
||
1,672,055
|
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
|
1,659,306
|
||
905,545
|
Gates Global LLC, Initial Dollar Term Loan, 4.25%, 7/6/21
|
907,667
|
||
500,000
|
Innovative Xcessories & Services LLC, Term Loan, 5.75%, 11/29/22
|
505,625
|
||
1,629,271
|
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
|
1,634,669
|
||
1,338,538
|
TI Group Automotive Systems LLC, Initial US Term Loan, 3.531%, 6/30/22
|
1,349,413
|
||
2,033,162
|
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.063%, 4/23/20
|
2,036,974
|
||
$14,731,995
|
||||
Automobile Manufacturers - 0.7%
|
||||
363,636(b)
|
CH Hold Corp. (aka Caliber Collision), First Lien Initial Term Loan, 2/1/24
|
$368,182
|
||
351,939
|
Inteva Products LLC, Term B Loan, 9.75%, 9/8/21
|
353,918
|
||
850,000
|
Octavius Corp. (Winnebago Industries), Tranche B Term Loan, 5.5%, 11/8/23
|
862,750
|
||
466,667
|
Visteon Corp., Initial Term Loan, 3.929%, 4/9/21
|
471,042
|
||
$2,055,892
|
||||
Tires & Rubber - 0.3%
|
||||
1,000,000
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.78%, 4/30/19
|
$1,003,750
|
||
Total Automobiles & Components
|
$17,791,637
|
|||
BANKS - 0.2%
|
||||
Thrifts & Mortgage Finance - 0.2%
|
||||
760,000
|
Ocwen Loan Servicing LLC, Restatement Effective Date Term Loan, 6.0%, 12/7/20
|
$767,283
|
||
–
|
||||
Total Banks
|
$767,283
|
|||
CAPITAL GOODS - 13.9%
|
||||
Aerospace & Defense - 5.7%
|
||||
1,823,822
|
Accudyne Industries Borrower SCA/Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
|
$1,742,433
|
||
2,275,000
|
ADS Tactical, Inc., Term Loan, 8.498%, 12/31/22
|
2,252,250
|
||
1,231,250
|
Allion Science and Technology Corp., First Lien Term Loan, 5.5%, 8/19/21
|
1,233,559
|
||
1,571,455
|
BE Aerospace, Inc., Term Loan, 3.75%, 12/16/21
|
1,582,503
|
||
1,343,006
|
DAE Aviation Holdings, Inc., Initial Term Loan, 5.25%, 7/7/22
|
1,353,918
|
||
1,365,189
|
Digitalglobe, Inc., Term Loan, 3.531%, 1/15/24
|
1,373,438
|
||
1,500,000
|
DynCorp International, Inc., Term Loan B2, 7.75%, 7/7/20
|
1,455,000
|
||
539,775
|
Engility Corp. (fka TASC, Inc.), Term B2 Loan, 4.75%, 8/14/23
|
545,510
|
||
245,640
|
IAP Worldwide Services, Inc., First Lien Term Loan, 8.0%, 7/18/19
|
233,358
|
||
498,747
|
Transdigm, Inc., Tranche F Term Loan, 3.781%, 6/9/23
|
502,300
|
||
1,843,000
|
Turbocombustor Technology, Inc., Initial Term Loan, 5.5%, 12/2/20
|
1,723,205
|
||
1,478,976
|
Vencore, Inc. (fka SI Organization, Inc.), First Lien Initial Term Loan, 5.75%, 11/23/19
|
1,500,930
|
||
1,787,706
|
WP CPP Holdings LLC, First Lien Term B-3 Loan, 4.539%, 12/28/19
|
1,766,848
|
||
334,900
|
WP CPP Holdings LLC, Second Lien Term B-1 Loan, 8.789%, 4/30/21
|
319,830
|
||
$17,585,082
|
||||
Building Products - 2.4%
|
||||
1,156,263
|
Armstrong World Industries, Inc., Term Loan B, 4.0%, 3/31/23
|
$1,156,745
|
||
1,713,598
|
Builders FirstSource, Inc., Term Loan B, 4.0%, 2/29/24
|
1,718,525
|
||
306,968
|
NCI Building Systems, Inc., Tranche B Term Loan, 4.25%, 6/24/19
|
307,544
|
||
1,315,939
|
Quikrete Holdings, Inc., First Lien Initial Loan, 4.022%, 11/15/23
|
1,334,307
|
||
1,684,350
|
Summit Materials LLC, Restatement Effective Date Term Loan, 4.0%, 7/18/22
|
1,703,826
|
||
1,439,281
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
1,438,381
|
||
$7,659,328
|
||||
Construction Machinery & Heavy Trucks - 1.2%
|
||||
396,942
|
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
|
$402,400
|
||
951,923
|
Manitowoc Co., Inc., Term Loan, 5.75%, 3/3/23
|
964,120
|
||
1,599,750
|
Navistar, Inc., Tranche B Term Loan, 5.0%, 8/7/20
|
1,614,148
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Construction Machinery & Heavy Trucks - (continued)
|
||||
836,676
|
Terex Corp., US Term Loan, 3.539%, 1/31/24
|
$841,905
|
||
$3,822,573
|
||||
Electrical Components & Equipment - 1.3%
|
||||
1,961,122
|
Pelican Products, Inc., First Lien Term Loan, 5.25%, 4/10/20
|
$1,958,671
|
||
835,841
|
Southwire Company LLC, Initial Term Loan, 3.271%, 2/10/21
|
843,503
|
||
1,336,528
|
WireCo WorldGroup, Inc., First Lien Initial Term Loan B, 6.5%, 9/29/23
|
1,351,564
|
||
$4,153,738
|
||||
Industrial Conglomerates - 1.4%
|
||||
375,000
|
Culligan NewCo, Ltd., First Lien Tranche B-1 Term Loan, 5.0%, 12/13/23
|
$381,094
|
||
1,122,188
|
DTI Holdco, Inc., Initial Term Loan, 6.289%, 10/2/23
|
1,118,447
|
||
987,806
|
Filtration Group Corp., First Lien Term Loan, 4.304%, 11/23/20
|
997,993
|
||
927,161(b)
|
Milacron LLC, Term B Loan, 9/28/23
|
932,956
|
||
700,000
|
ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 5.056%, 11/20/23
|
709,844
|
||
$4,140,334
|
||||
Industrial Machinery - 1.8%
|
||||
189,050
|
Blount International, Inc., Initial Term Loan, 7.25%, 4/12/23
|
$191,177
|
||
500,000
|
Columbus McKinnon Corp., Initial Term Loan, 4.0%, 1/31/24
|
503,750
|
||
1,366,058
|
Gardner Denver, Inc., Initial Dollar Term Loan, 4.558%, 7/30/20
|
1,361,362
|
||
1,960,000
|
Mueller Water Products, Inc., Term Loan B, 3.279%, 11/25/21
|
1,980,417
|
||
1,727,930
|
NN, Inc., Tranche B Term Loan, 5.031%, 10/19/22
|
1,746,290
|
||
$5,782,996
|
||||
Trading Companies & Distributors - 0.1%
|
||||
528,035
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.778%, 12/12/19
|
$529,850
|
||
Total Capital Goods
|
$43,673,901
|
|||
COMMERCIAL & PROFESSIONAL SERVICES - 5.7%
|
||||
Diversified Support Services - 1.1%
|
||||
766,632
|
DH Publishing LP, Term B-4 Loan, 3.527%, 8/22/22
|
$771,873
|
||
1,053,947
|
InfoGroup, Inc., Term Loan B, 7.0%, 5/28/18
|
1,049,556
|
||
693,029
|
KAR Auction Services, Inc., Tranche B-2 Term Loan, 4.188%, 3/11/21
|
698,660
|
||
897,305
|
Ryan LLC, Tranche B Term Loan, 6.75%, 8/7/20
|
892,819
|
||
$3,412,908
|
||||
Environmental & Facilities Services - 2.9%
|
||||
894,503
|
Advanced Disposal Services, Inc. (fka ADS Waste Holdings, Inc.), Additional Term Loan, 3.5%, 11/10/23
|
$904,986
|
||
469,349
|
Granite Acquisition, Inc., First Lien Term B Loan, 5.0%, 12/17/21
|
474,384
|
||
21,073
|
Granite Acquisition, Inc., First Lien Term C Loan, 5.0%, 12/17/21
|
21,299
|
||
1,500,000
|
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
|
1,459,062
|
||
550,000(b)
|
Infiltrator Water Technologies, LLC, Term B-1 Loan, 5/27/22
|
552,750
|
||
1,471,313
|
Safway Group Holding LLC, Initial Term Loan, 5.75%, 8/21/23
|
1,492,768
|
||
852,529
|
US Ecology, Inc., Term Loan, 3.781%, 6/17/21
|
858,657
|
||
1,081,074
|
Waste Industries USA, Inc., Term B Loan, 3.531%, 2/27/20
|
1,087,696
|
||
605,280
|
Wastequip LLC, Term Loan, 5.5%, 8/9/19
|
607,172
|
||
1,737,447
|
WCA Waste Systems, Inc., Initial Term Loan, 3.522%, 8/11/23
|
1,749,663
|
||
$9,208,437
|
||||
Human Resource & Employment Services - 0.2%
|
||||
562,485
|
On Assignment, Inc., Tranche B-2 Term Loan, 3.031%, 6/3/22
|
$566,703
|
||
Office Services & Supplies - 0.2%
|
||||
646,754
|
West Corp., Refinanced Term B-12 Loan, 3.281%, 6/17/23
|
$650,089
|
||
Security & Alarm Services - 1.3%
|
||||
101,114
|
Allied Universal Holdco LLC (fka USAGM Holdco LLC), Amendment Delayed Draw Term Loan, 5.5%, 7/28/22
|
$101,999
|
||
832,351
|
Allied Universal Holdco LLC (fka USAGM Holdco LLC), Incremental Term Loan, 5.5%, 7/28/22
|
838,594
|
||
176,058
|
Garda Security, Term B Delayed Draw Loan, 4.0%, 11/6/20
|
177,086
|
||
1,391,873
|
Garda Security, Term B Loan, 4.0%, 11/6/20
|
1,399,995
|
||
1,610,414
|
Prime Security Services Borrower LLC, First Lien 2016-2 Refinancing Term B-1 Loan, 4.25%, 5/2/22
|
1,627,273
|
||
$4,144,947
|
||||
Total Commercial & Professional Services
|
$17,983,084
|
|||
CONSUMER DURABLES & APPAREL - 2.7%
|
||||
Homefurnishing Retail - 0.7%
|
||||
1,883,493
|
Serta Simmons Bedding LLC, First Lien Initial Term Loan,
4.538%, 11/8/23
|
$1,894,943
|
||
350,000
|
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 9.038%, 11/8/24
|
354,812
|
||
$2,249,755
|
||||
Principal
Amount
USD ($)
|
Value
|
|||
Housewares & Specialties - 1.4%
|
||||
790,000(b)
|
Prestige Brands, Inc., Term B-4 Loan, 1/26/24
|
$800,862
|
||
2,045,821
|
Reynolds Group Holdings Inc., Incremental US Term Loan,
3.781%, 2/5/23
|
2,059,637
|
||
1,486,545
|
World Kitchen LLC, US Term Loan, 5.5%, 3/4/19
|
1,487,014
|
||
$4,347,513
|
||||
Leisure Products - 0.6%
|
||||
1,000,000
|
Bass Pro Group LLC, Initial Term Loan, 5.97%, 12/15/23
|
$963,047
|
||
327,383
|
Bombardier Recreational Products, Inc., Term B Loan, 4.04%, 6/30/23
|
329,668
|
||
397,719
|
Marine Acquisition Corp., Term Loan, 4.75%, 1/30/21
|
398,879
|
||
$1,691,594
|
||||
Total Consumer Durables & Apparel
|
$8,288,862
|
|||
CONSUMER SERVICES - 9.7%
|
||||
Casinos & Gaming - 1.5%
|
||||
840,007
|
CityCenter Holdings LLC, Term B Loan, 3.75%, 10/16/20
|
$850,822
|
||
788,744
|
Eldorado Resorts, Inc., Initial Term Loan, 4.25%, 7/25/22
|
797,372
|
||
2,514,689
|
Scientific Games International, Inc., Initial Term B-3 Loan, 4.845%, 10/1/21
|
2,553,667
|
||
500,000
|
Station Casinos LLC, Term B Facility Loan, 3.28%, 6/8/23
|
503,904
|
||
$4,705,765
|
||||
Education Services - 3.7%
|
||||
3,396,416
|
Bright Horizons Family Solutions LLC, Incremental Effective Date Term Loan, 3.523%, 11/7/23
|
$3,439,720
|
||
1,831,810
|
Cengage Learning Acquisitions, Inc., 2016 Refinancing Term Loan, 5.25%, 6/7/23
|
1,734,923
|
||
1,728,169
|
KC MergerSub, Inc., Term B-1 Loan, 5.25%, 8/12/22
|
1,744,371
|
||
1,457,977
|
Laureate Education, Inc., Series 2021 Extended Term Loan, 8.509%, 3/17/21
|
1,473,695
|
||
500,000(b)
|
Learning Care Group, Inc., Term Loan, 5/5/21
|
505,625
|
||
2,499,370
|
Nord Anglia Education Finance LLC, Initial Term Loan, 4.554%, 3/31/21
|
2,532,174
|
||
$11,430,508
|
||||
Hotels, Resorts & Cruise Lines - 0.5%
|
||||
37,067
|
Hilton Worldwide Finance LLC, Series B-1 Term Loan, 3.5%, 10/26/20
|
$ 37,397
|
||
503,966
|
Hilton Worldwide Finance LLC, Series B-2 Term Loan, 3.278%, 10/25/23
|
509,041
|
||
948,503
|
Sabre, Inc., 2017 Incremental Term Loan, 3.529%, 2/22/24
|
957,158
|
||
$1,503,596
|
||||
Leisure Facilities - 1.6%
|
||||
842,076
|
Cedar Fair LP, US Term Facility, 3.281%, 3/6/20
|
$849,308
|
||
2,163,627
|
Fitness International LLC, Term B Loan, 6.0%, 7/1/20
|
2,184,452
|
||
860,188
|
Life Time Fitness, Inc., 2017 Refinancing Term Loan, 4.0%, 6/10/22
|
865,871
|
||
1,286,450
|
Six Flags Theme Parks, Inc., Tranche B Term Loan, 3.25%, 6/30/22
|
1,300,521
|
||
$5,200,152
|
||||
Restaurants - 1.9%
|
||||
747,512
|
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan, 3.25%, 2/16/24
|
$749,101
|
||
1,339,417
|
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.029%, 10/4/23
|
1,356,159
|
||
1,738,313
|
NPC International, Inc., Term Loan, 4.75%, 12/28/18
|
1,745,918
|
||
1,955,000
|
Red Lobster Management LLC, First Lien Initial Term Loan, 6.25%, 7/28/21
|
1,984,325
|
||
$5,835,503
|
||||
Specialized Consumer Services - 0.5%
|
||||
1,300,000(b)
|
Creative Artists Agency LLC, Term Loan B, 2/10/24
|
$1,313,542
|
||
378,890
|
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4.193%, 4/2/20
|
335,013
|
||
$1,648,555
|
||||
Total Consumer Services
|
$30,324,079
|
|||
DIVERSIFIED FINANCIALS - 3.5%
|
||||
Asset Management & Custody Banks - 0.5%
|
||||
1,491,211
|
Vistra Group, Ltd., USD Term Loan, 4.75%, 10/26/22
|
$1,487,483
|
||
Consumer Finance - 0.4%
|
||||
1,361,516
|
Trans Union LLC, Term B-2 Loan, 3.281%, 4/9/23
|
$1,371,387
|
||
Diversified Capital Markets - 0.2%
|
||||
500,000(b)
|
Freedom Mortgage Corp., Initial Term Loan, 2/23/22
|
$507,344
|
||
Investment Banking & Brokerage - 0.6%
|
||||
1,179,746
|
Duff & Phelps Corp., Initial Term Loan, 4.75%, 4/23/20
|
$1,190,511
|
||
635,298
|
Guggenheim Partners Investment Management Holdings LLC, Term B Loan, 3.529%, 7/21/23
|
641,122
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Investment Banking & Brokerage - (continued)
|
||||
103,459
|
LPL Holdings, Inc., 2021 Tranche B Term Loan, 4.281%, 3/29/21
|
$104,817
|
||
$1,936,450
|
||||
Other Diversified Financial Services - 1.4%
|
||||
1,107,955
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.78%, 7/16/18
|
$1,114,534
|
||
324,373
|
Delos Finance S.a.r.l., Term Loan, 3.248%, 10/6/23
|
327,617
|
||
755,737
|
Fly Funding II S.a.r.l., Term Loan, 3.79%, 2/9/22
|
762,034
|
||
1,978,250
|
Livingston International, Inc., First Lien Initial Term B-1 Loan, 5.5%, 4/18/19
|
1,964,649
|
||
$4,168,834
|
||||
Specialized Finance - 0.4%
|
||||
1,229,949
|
DBRS, Ltd., Initial Term Loan, 6.304%, 3/4/22
|
$1,183,826
|
||
Total Diversified Financials
|
$10,655,324
|
|||
ENERGY - 3.6%
|
||||
Oil & Gas Drilling - 1.0%
|
||||
500,000(b)
|
Gavilan Resources LLC, Second Lien Term Loan, 2/24/24
|
$501,250
|
||
2,600,000
|
Jonah Energy LLC, Second Lien Initial Term Loan, 7.5%, 5/12/21
|
2,541,500
|
||
$3,042,750
|
||||
Oil & Gas Equipment & Services - 0.3%
|
||||
1,638,809
|
FR Dixie Acquisition Corp., Term Loan, 5.804%, 12/18/20
|
$1,147,166
|
||
Oil & Gas Exploration & Production - 0.8%
|
||||
1,000,000
|
California Resources Corp., Term Loan, 11.375%, 12/31/21
|
$1,129,583
|
||
1,000,000
|
Chesapeake Energy Corp., Term Loan Class A, 8.553%, 8/23/21
|
1,086,563
|
||
250,000
|
MEG Energy Corp., Initial Term Loan, 4.54%, 12/31/23
|
251,741
|
||
$2,467,887
|
||||
Oil & Gas Refining & Marketing - 0.5%
|
||||
896,252
|
Pilot Travel Centers LLC, Initial Tranche B Term Loan, 2.772%, 5/25/23
|
$900,733
|
||
564,345
|
Western Refining, Inc., Term Loan 2013, 5.25%, 11/12/20
|
567,520
|
||
$1,468,253
|
||||
Oil & Gas Storage & Transportation - 1.0%
|
||||
1,000,000
|
Energy Transfer Equity LP, Term Loan, 3.529%, 2/2/24
|
$1,004,643
|
||
2,138,241
|
Gulf Finance LLC, Tranche B Term Loan, 6.25%, 8/25/23
|
2,178,333
|
||
$3,182,976
|
||||
Total Energy
|
$11,309,032
|
|||
FOOD & STAPLES RETAILING - 1.9%
|
||||
Food Distributors - 1.3%
|
||||
894,505
|
CTI Foods Holding Co., LLC, First Lien Term Loan, 4.5%, 6/29/20
|
$879,970
|
||
1,000,000
|
CTI Foods Holding Co., LLC, Second Lien Term Loan, 8.25%, 6/28/21
|
910,000
|
||
2,412,615
|
Mill US Acquisition, First Lien Term Loan, 5.0%, 7/3/20
|
2,257,805
|
||
$4,047,775
|
||||
Food Retail - 0.6%
|
||||
1,389,375
|
Albertson's LLC, 2016-1 Term B-6 Loan, 4.302%, 6/22/23
|
$1,411,523
|
||
490,022
|
Packers Holdings LLC, Term Loan, 4.75%, 12/2/21
|
498,597
|
||
$1,910,120
|
||||
Total Food & Staples Retailing
|
$5,957,895
|
|||
FOOD, BEVERAGE & TOBACCO - 3.9%
|
||||
Packaged Foods & Meats - 3.9%
|
||||
246,941
|
AdvancePierre Foods, Inc., Term Loan, 4.0%, 6/2/23
|
$250,594
|
||
1,645,875
|
Amplify Snack Brands, Inc., Term Loan, 6.5%, 9/2/23
|
1,620,500
|
||
1,000,000
|
Del Monte Foods, Inc., Second Lien Initial Term Loan, 8.31%, 8/18/21
|
722,500
|
||
1,236,551
|
Dole Food Co., Inc., Tranche B Term Loan, 4.549%, 11/1/18
|
1,244,434
|
||
1,496,250
|
Give and Go Prepared Foods Corp., First Lien Term Loan, 6.5%, 7/29/23
|
1,513,083
|
||
1,701,375
|
Hearthside Group Holdings LLC, 2017 Replacement Term Loan, 4.0%, 6/2/21
|
1,718,389
|
||
990,000(b)
|
JBS USA Lux SA (fka JBS USA, LLC), Initial Term Loan, 10/30/22
|
994,434
|
||
408,900
|
Maple Holdings Acquisition Corp. (aka Keuring Green Mountain, Inc.), Term Loan B, 5.27%, 3/3/23
|
415,245
|
||
1,945,801(b)
|
Pinnacle Foods Finance LLC, Initial Term Loan, 2/2/24
|
1,957,201
|
||
1,466,250
|
Shearer's Foods LLC, First Lien Term Loan, 4.938%, 6/30/21
|
1,468,083
|
||
Total Food, Beverage & Tobacco
|
$11,904,463
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 15.2%
|
||||
Health Care Equipment - 0.4%
|
||||
1,250,000
|
Cidron Healthcare, Ltd. (aka ConvaTec, Inc.), Term B Loan, 3.281%, 10/25/23
|
$1,259,896
|
||
Health Care Facilities - 4.1%
|
||||
420,750
|
Acadia Healthcare Co., Inc., Tranche B-2 Term Loan, 3.781%, 2/16/23
|
$425,010
|
||
796,000
|
ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 5.505%, 5/10/23
|
803,794
|
||
256,142
|
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 4.18%, 12/31/18
|
255,751
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Health Care Facilities - (continued)
|
||||
269,611
|
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
|
$267,841
|
||
496,080
|
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
|
488,484
|
||
1,556,280
|
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
|
1,555,169
|
||
1,978,061
|
Kindred Healthcare, Inc., Incremental Term Loan, 4.313%, 4/9/21
|
1,967,330
|
||
1,990,000
|
Prospect Medical Holdings, Inc., Term Loan, 7.125%, 6/30/22
|
1,990,000
|
||
1,052,833
|
Quorum Health Corp., Term Loan, 6.789%, 4/29/22
|
1,049,074
|
||
418,152
|
Select Medical Corp., Series E, Tranche B Term Loan, 6.025%, 6/1/18
|
419,198
|
||
992,500
|
Select Medical Corp., Series F, Tranche B Term Loan, 6.011%, 3/3/21
|
1,000,564
|
||
1,410,652(b)
|
Select Medical Corp., Term Loan B, 2/13/24
|
1,417,265
|
||
1,319,779
|
Vizient, Inc., Term B-2 Loan, 5.0%, 2/13/23
|
1,339,851
|
||
$12,979,331
|
||||
Health Care Services - 6.8%
|
||||
975,000
|
Aegis Toxicology Sciences Corp., First Lien Initial Term Loan, 5.5%, 2/24/21
|
$960,984
|
||
1,104,342
|
Alliance Healthcare Services, Inc., Initial Term Loan, 4.267%, 6/3/19
|
1,098,820
|
||
264,280
|
Ardent Legacy Acquisitions, Inc. (Ardent Mergeco LLC), Term Loan, 6.5%, 8/4/21
|
264,940
|
||
595,347(c)
|
Bioscrip, Inc., Initial Term B Loan, 9.25% (2.75% PIK 6.5% cash), 7/31/20
|
577,784
|
||
357,208(c)
|
Bioscrip, Inc., Term Loan, 9.25% (2.75% PIK 6.5% cash), 7/31/20
|
346,671
|
||
865,683
|
BSN Medical Luxembourg Holding S.a.r.l. (P & F Capital), Facility Term Loan B-1B, 4.0%, 8/28/19
|
867,847
|
||
1,407,790(c)
|
CCS Medical, Inc., Second Lien Term Loan, 12.75% (12.75% PIK 0% cash), 5/1/18
|
21,117
|
||
866,759
|
DaVita HealthCare Partners, Inc., Term Loan B2, 3.531%, 6/24/21
|
879,306
|
||
1,626,217
|
Envision Healthcare Corp. (fka Emergency Medical Services Corp.), Initial Term Loan, 4.0%, 12/1/23
|
1,642,188
|
||
897,750
|
ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan, 4.25%, 7/27/23
|
907,850
|
||
1,462,500
|
Genex Holdings, Inc., First Lien Term B Loan, 5.25%, 5/28/21
|
1,469,813
|
||
1,296,750
|
Genoa Healthcare Co., LLC, First Lien Initial Term Loan, 4.75%, 10/30/23
|
1,307,934
|
||
100,000
|
Genoa Healthcare Co., LLC, Second Lien Initial Term Loan, 9.0%, 10/28/24
|
101,000
|
||
740,662
|
Global Healthcare Exchange LLC, Initial Term Loan, 5.25%, 8/15/22
|
751,772
|
||
1,483,734
|
HC Group Holdings III, Inc., First Lien Initial Term Loan, 6.0%, 4/7/22
|
1,446,641
|
||
900,000
|
Inventiv Group Holdings, Inc., Initial Term Loan, 4.804%, 11/9/23
|
906,188
|
||
500,000(b)
|
MPH Acquisition Holdings LLC, Initial Term Loan, 6/7/23
|
508,125
|
||
1,237,506
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
|
1,241,219
|
||
350,222
|
National Surgical Hospitals, Inc., Term Loan, 4.5%, 6/1/22
|
351,307
|
||
1,318,875
|
nThrive, Inc. (fka Precyse Acquisition Corp.), First Lien Initial Term Loan, 6.5%, 10/20/22
|
1,336,460
|
||
933,010
|
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
|
938,841
|
||
1,113,268
|
Pharmaceutical Product Development, First Lien Term B Loan, 4.25%, 8/18/22
|
1,121,153
|
||
500,000
|
Team Health Holdings, Inc., Initial Term Loan, 3.75%, 2/6/24
|
499,141
|
||
1,778,916
|
US Renal Care, Inc., First Lien Initial Term Loan, 5.25%, 12/30/22
|
1,644,607
|
||
$21,191,708
|
||||
Health Care Supplies - 1.8%
|
||||
1,138,400
|
Alere, Inc., Term Loan B, 4.25%, 6/20/22
|
$1,140,713
|
||
1,336,500
|
Greatbatch, Ltd., Term B Loan, 5.25%, 10/27/22
|
1,346,357
|
||
559,300
|
Halyard Health, Inc., Term Loan, 3.531%, 11/1/21
|
565,592
|
||
675,000(b)
|
Kinetic Concepts, Inc., Term Loan B, 1/25/24
|
674,457
|
||
1,821,987
|
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4.25%, 5/16/22
|
1,825,382
|
||
$5,552,501
|
||||
Health Care Technology - 1.9%
|
||||
2,024,367
|
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Term B-2 Loan, 3.75%, 11/2/18
|
$2,027,846
|
||
195,500
|
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Term B-3 Loan, 3.75%, 11/2/18
|
195,775
|
||
1,586,158(b)
|
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.) Term Loan B, 2/3/24
|
1,592,106
|
||
1,125,775(d)
|
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
|
731,754
|
||
738,750
|
MJ Acquisition Corp., Term Loan, 4.0%, 6/1/22
|
743,669
|
||
650,000
|
Press Ganey Holdings, Inc., Initial Term Loan, 4.25%, 10/23/23
|
652,438
|
||
$5,943,588
|
||||
Principal
Amount
USD ($)
|
Value
|
|||
Managed Health Care - 0.2%
|
||||
355,653(e)
|
MMM Holdings, Inc., MMM Term Loan, 10.25%, 6/30/19
|
$350,318
|
||
258,558(e)
|
MSO of Puerto Rico, Inc., Term Loan, 10.25%, 6/30/19
|
254,679
|
||
$604,997
|
||||
Total Health Care Equipment & Services
|
$47,532,021
|
|||
HOUSEHOLD & PERSONAL PRODUCTS - 1.4%
|
||||
Household Products - 0.7%
|
||||
1,102,500
|
Redbox Automated Retail LLC, First Lien Term B Loan, 8.5%, 9/27/21
|
$1,101,122
|
||
667,496
|
Spectrum Brands Canada, Inc., 2016 Replacement USD Term Loan, 3.399%, 6/23/22
|
676,561
|
||
73,397
|
Wash Multifamily Parent, Inc., First Lien Initial Canadian Term Loan, 4.25%, 5/16/22
|
73,856
|
||
419,102
|
Wash Multifamily Parent, Inc., First Lien Initial US Term Loan, 4.25%, 5/16/22
|
421,721
|
||
$2,273,260
|
||||
Personal Products - 0.7%
|
||||
1,237,420
|
Nature's Bounty Co., (aka NBTY, Inc.), Dollar Term B-1 Loan, 4.5%, 5/5/23
|
$1,240,513
|
||
798,000
|
Revlon Consumer Products Corp., Initial Term Loan B, 4.281%, 9/7/23
|
804,028
|
||
$2,044,541
|
||||
Total Household & Personal Products
|
$4,317,801
|
|||
INSURANCE - 2.7%
|
||||
Insurance Brokers - 0.3%
|
||||
980,011
|
NFP Corp., Term B Loan, 4.5%, 1/8/24
|
$991,240
|
||
Life & Health Insurance - 0.5%
|
||||
1,633,970
|
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
|
$1,638,055
|
||
Multi-Line Insurance - 0.2%
|
||||
659,164
|
Alliant Holdings I LLC, Term Loan B, 4.503%, 8/12/22
|
$666,322
|
||
Property & Casualty Insurance - 1.7%
|
||||
850,000
|
Acrisure LLC, First Lien Term B Loan, 5.75%, 11/22/23
|
$862,219
|
||
500,000
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
498,333
|
||
2,403,380
|
Confie Seguros Holding II Co., Term B Loan, 5.75%, 4/19/22
|
2,423,660
|
||
1,414,903
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
1,420,209
|
||
$5,204,421
|
||||
Total Insurance
|
$8,500,038
|
|||
MATERIALS - 14.5%
|
||||
Commodity Chemicals - 0.3%
|
||||
1,043,273
|
Tronox Pigments (Netherlands) BV, Closing Date Term Loan, 4.5%, 3/19/20
|
$1,050,337
|
||
Construction Materials - 1.7%
|
||||
1,010,000
|
84 Lumber Co., Initial Term Loan, 6.75%, 10/25/23
|
$1,018,838
|
||
452,830(b)
|
American Bath Group LLC, First Lien Initial Incremental Term Loan, 9/30/23
|
458,491
|
||
748,125
|
American Bath Group LLC, First Lien Replacement Term Loan, 6.25%, 9/30/23
|
755,606
|
||
500,000
|
American Builders & Contractors Supply Co., Inc., Restatement Effective Date Term Loan, 3.531%, 10/31/23
|
504,444
|
||
238,699
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.304%, 8/30/20
|
239,594
|
||
781,983
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.304%, 8/30/20
|
784,915
|
||
91,248
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.304%, 8/30/20
|
91,590
|
||
586,808
|
Headwaters, Inc., Term B-1 Loan, 4.0%, 3/24/22
|
589,815
|
||
586,500
|
Penn Engineering & Manufacturing Corp., Incremental Tranche B Term Loan, 4.0%, 8/27/21
|
589,432
|
||
$5,032,725
|
||||
Diversified Chemicals - 2.8%
|
||||
298,671
|
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA),
Tranche B-2 Term Loan, 5.287%, 9/13/23
|
$302,218
|
||
225,016
|
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA),
Tranche B-3 Term Loan, 5.287%, 9/13/23
|
227,688
|
||
1,269,420
|
Axalta Coating Systems Dutch Holding B BV & Axalta Coating Systems US Holdings, Inc., Term B-1 Dollar Loan, 3.498%, 2/1/23
|
1,286,184
|
||
1,223,914
|
Azelis Finance SA (Azelis US Holdings, Inc.), First Lien Dollar Term Loan, 5.25%, 12/16/22
|
1,237,173
|
||
1,691,500
|
Nexeo Solutions LLC, Term Loan B, 5.263%, 6/9/23
|
1,707,887
|
||
570,862
|
Orion Engineered Carbons GmbH (OEC Finance US LLC), Initial Dollar Term Loan, 3.998%, 7/25/21
|
574,311
|
||
618,753
|
Plaskolite LLC, First Lien Term Loan, 5.75%, 11/3/22
|
626,487
|
||
179,310
|
Royal Holdings, Inc., Second Lien Initial Term Loan, 8.5%, 6/19/23
|
179,983
|
||
835,698
|
Tata Chemicals North America, Term Loan, 3.75%, 8/7/20
|
837,787
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Diversified Chemicals - (continued)
|
||||
1,812,063
|
Univar USA Inc., Term B-2 Loan, 3.608%, 7/1/22
|
$1,815,743
|
||
$8,795,461
|
||||
Diversified Metals & Mining - 1.5%
|
||||
1,007,490
|
FMG Resources (August 2006) Pty, Ltd. (FMG America Finance, Inc.), Term Loan, 3.75%, 6/30/19
|
$1,014,230
|
||
1,745,625
|
Global Brass and Copper, Inc., Initial Term Loan, 5.25%, 7/18/23
|
1,772,857
|
||
972,500
|
Hi-Crush Partners LP, Advance, 4.75%, 4/28/21
|
955,076
|
||
992,985
|
US Silica Co., Term Loan, 4.0%, 7/23/20
|
992,985
|
||
$4,735,148
|
||||
Fertilizers & Agricultural Chemicals - 0.6%
|
||||
1,723,750
|
Methanol Holdings (Trinidad), Ltd. (Methanol Holdings (Delaware) LLC), Initial Term Loan, 4.281%, 6/30/22
|
$1,698,928
|
||
Forest Products - 0.3%
|
||||
1,022,438
|
Expera Specialty Solutions LLC, Term Loan B, 5.75%, 11/3/23
|
$1,031,384
|
||
Metal & Glass Containers - 2.0%
|
||||
1,156,991
|
Berry Plastics Corp., Term I Loan, 3.281%, 10/1/22
|
$1,166,572
|
||
1,165,798
|
BWay Intermediate Co., Inc., Initial Term Loan, 4.75%, 8/14/23
|
1,169,545
|
||
166,653
|
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 4.25%, 4/28/20
|
168,528
|
||
389,968
|
Kleopatra Holdings 2 SCA, Initial US Dollar Term Loan, 4.25%, 4/28/20
|
394,355
|
||
1,400,320
|
Tank Holding Corp., Initial Term Loan, 5.25%, 3/16/22
|
1,401,637
|
||
1,920,750
|
Tekni-Plex, Inc., USD Term Loan, 4.539%, 6/1/22
|
1,926,032
|
||
$6,226,669
|
||||
Paper Packaging - 0.9%
|
||||
1,278,249
|
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
|
$1,296,624
|
||
399,845
|
Caraustar Industries, Inc., Term Loan, 8.0%, 5/1/19
|
405,593
|
||
1,168,563
|
Onex Wizard Acquisition Co. I S.a.r.l. (aka SIG Combibloc Group), Term Loan, 4.0%, 3/11/22
|
1,178,462
|
||
$2,880,679
|
||||
Paper Products - 1.0%
|
||||
1,653,881
|
Appvion, Inc., Term Commitment, 7.75%, 6/28/19
|
$1,609,777
|
||
946,457
|
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
|
954,738
|
||
500,000
|
Ranpak Corp., Second Lien Initial Term Loan, 8.25%, 10/3/22
|
482,500
|
||
196,950
|
Ranpak Corp., Tranche B-1 USD Term Loan, 4.25%, 10/1/21
|
196,950
|
||
$3,243,965
|
||||
Specialty Chemicals - 1.9%
|
||||
1,465,677(b)
|
Ferro Corp., US Dollar Term Loan, 2/14/24
|
$1,478,961
|
||
59,310
|
Huntsman International LLC, 2015 Extended Term B Dollar Loan, 3.603%, 4/19/19
|
59,631
|
||
1,405,263
|
MacDermid, Inc., Tranche B-4 Term Loan, 5.0%, 6/7/23
|
1,423,620
|
||
1,592,000
|
Omnova Solutions, Inc., Term B-2 Loan, 5.25%, 8/25/23
|
1,605,930
|
||
1,358,761
|
PQ Corp., First Amendment Tranche B-1 Term Loan, 5.289%, 11/4/22
|
1,377,687
|
||
$5,945,829
|
||||
Steel - 1.5%
|
||||
1,980,234
|
Atkore International, Inc., First Lien Initial Incremental Term Loan, 4.0%, 12/22/23
|
$2,002,099
|
||
647,124
|
TMS International Corp., Term B Loan, 4.557%, 10/16/20
|
650,360
|
||
1,968,625
|
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), Term Loan, 4.75%, 6/14/21
|
1,990,158
|
||
$4,642,617
|
||||
Total Materials
|
$45,283,742
|
|||
MEDIA - 12.3%
|
||||
Advertising - 2.2%
|
||||
3,523,984
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
$3,520,052
|
||
1,197,000
|
CB Poly Investments LLC, First Lien Closing Date Term Loan, 6.25%, 8/16/23
|
1,214,955
|
||
611,200
|
Checkout Holding Corp., First Lien Term B Loan, 4.5%, 4/9/21
|
554,664
|
||
1,968,000
|
Crossmark Holdings, Inc., First Lien Term Loan, 4.5%, 12/20/19
|
1,600,639
|
||
$6,890,310
|
||||
Broadcasting - 4.1%
|
||||
766,021
|
A-L Parent LLC (aka Learfield Communications), First Lien Initial Term Loan, 4.25%, 12/1/23
|
$776,075
|
||
1,122,642
|
Beasley Mezzanine Holdings LLC, Initial Term Loan, 7.0%, 11/1/23
|
1,122,642
|
||
342,128
|
CBS Outdoor Americas Capital LLC (CBS Outdoor Americas Capital Corp.), Term Loan, 3.031%, 2/1/21
|
343,767
|
||
377,943
|
Entercom Radio LLC, Term B Loan, 4.5%, 11/1/23
|
380,825
|
||
532,752(b)
|
Gray Television, Inc., Term B-2 Loan, 2/7/24
|
537,813
|
||
752,847
|
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
|
753,161
|
||
1,852,800
|
MCC Iowa LLC, Tranche H Term Loan, 3.25%, 1/29/21
|
1,867,843
|
||
2,639,250
|
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
|
2,396,769
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Broadcasting - (continued)
|
||||
1,987,599
|
Sinclair Television Group, Inc., Tranche B Term Loan, 3.04%, 1/3/24
|
$1,994,639
|
||
500,000
|
Townsquare Media, Inc., Additional Term B Loan, 4.0%, 4/1/22
|
503,750
|
||
2,122,402
|
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
|
2,132,948
|
||
$12,810,232
|
||||
Cable & Satellite - 1.7%
|
||||
1,973,425
|
Charter Communications Operating LLC (aka CCO Safari LLC), Term F-1 Loan, 2.79%, 1/3/21
|
$1,986,377
|
||
425,000
|
Telenet Financing USD LLC, Term Loan AF Facility, 3.77%, 1/31/25
|
429,449
|
||
1,075,000
|
UPC Financing Partnership , Facility AP, 3.52%, 4/15/25
|
1,083,230
|
||
1,117,713
|
Virgin Media Bristol LLC, Facility I , 3.52%, 1/31/25
|
1,125,397
|
||
723,188
|
WideOpenWest Finance LLC, New Term B Loan, 4.554%, 8/18/23
|
728,702
|
||
$5,353,155
|
||||
Movies & Entertainment - 2.2%
|
||||
1,143,435
|
AMC Entertainment, Inc., Initial Term Loan, 3.521%, 12/15/22
|
$1,156,775
|
||
1,236,231
|
CDS US Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.), First Lien Initial Term Loan, 5.0%, 7/8/22
|
1,248,439
|
||
1,000,000
|
CDS US Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.), Second Lien Initial Term Loan, 9.25%, 7/10/23
|
994,063
|
||
470,588
|
Kasima LLC, Term Loan, 3.486%, 5/17/21
|
474,902
|
||
478,016
|
Live Nation Entertainment, Inc., Term B-2 Loan, 3.313%, 10/31/23
|
484,290
|
||
1,061,500
|
Seminole Hard Rock Entertainment, Inc., Term Loan, 3.52%, 5/14/20
|
1,069,682
|
||
1,275,132
|
WMG Acquisition Corp., Tranche C Term Loan, 3.75%, 11/1/23
|
1,283,557
|
||
$6,711,708
|
||||
Publishing - 2.1%
|
||||
863,616
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
|
$809,640
|
||
118,156
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
118,746
|
||
2,985,000
|
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.0%, 5/4/22
|
2,943,956
|
||
761,328
|
Quincy Newspapers, Inc., Term Loan B, 7.0%, 11/2/22
|
769,893
|
||
1,375,500
|
Springer SBM Two GmbH, Initial Term B9 Loan, 4.5%, 8/14/20
|
1,380,085
|
||
600,000
|
Trader Corp., Term Loan, 5.0%, 9/28/23
|
608,250
|
||
$6,630,570
|
||||
Total Media
|
$38,395,975
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.4%
|
||||
Biotechnology - 0.5%
|
||||
902,510
|
Alkermes, Inc., 2021 Term Loan, 3.53%, 9/25/21
|
$905,894
|
||
698,897
|
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
|
699,596
|
||
$1,605,490
|
||||
Life Sciences Tools & Services - 0.8%
|
||||
1,975,000
|
Albany Molecular Research, Inc., Term Loan B, 6.006%, 7/16/21
|
$1,994,750
|
||
434,598
|
Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Dollar Term Loan, 3.75%, 5/20/21
|
439,895
|
||
$2,434,645
|
||||
Pharmaceuticals - 2.1%
|
||||
1,683,995
|
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
|
$1,381,477
|
||
1,638,385
|
Endo Luxembourg Finance Company I S.a.r.l., Term Loan B, 3.813%, 9/26/22
|
1,646,918
|
||
400,000
|
Horizon Pharma, Inc., Incremental Term B-1 Loan, 5.5%, 5/7/21
|
404,000
|
||
609,794
|
Mallinckrodt International Finance SA, Initial Term B Loan, 3.338%, 3/19/21
|
611,509
|
||
1,048,125
|
Patheon, Inc., Term Loan, 4.25%, 3/11/21
|
1,054,785
|
||
817,776
|
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 5.28%, 12/11/19
|
822,815
|
||
614,336
|
Valeant Pharmaceuticals International, Inc., Series D-2 Tranche B Term Loan, 5.03%, 2/13/19
|
617,517
|
||
$6,539,021
|
||||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$10,579,156
|
|||
REAL ESTATE - 2.7%
|
||||
Diversified REIT - 0.2%
|
||||
448,875
|
ESH Hospitality, Inc., Initial Term Loan, 3.781%, 8/30/23
|
$450,639
|
||
Hotel & Resort REIT - 0.4%
|
||||
1,354,763
|
MGM Growth Properties Operating Partnership LP, Term B Loan, 3.281%, 4/25/23
|
$1,365,431
|
||
Real Estate Services - 0.8%
|
||||
1,469,045
|
Altisource Solutions S.a.r.l, Term Loan B, 4.5%, 12/9/20
|
$1,439,664
|
||
1,181,359
|
GCA Services Group, Inc., Term Loan, 5.75%, 3/1/23
|
1,189,974
|
||
$2,629,638
|
||||
Principal
Amount
USD ($)
|
Value
|
|||
Retail REITs - 0.7%
|
||||
1,997,528
|
DTZ US Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
|
$2,012,760
|
||
85,106
|
DTZ US Borrower LLC, Second Lien Initial Term Loan, 9.289%, 11/4/22
|
85,505
|
||
$2,098,265
|
||||
k
|
||||
Specialized REIT - 0.6%
|
||||
1,970,063
|
Communications Sales & Leasing, Inc. (CSL Capital LLC), Shortfall Term Loan, 4.0%, 10/24/22
|
$1,978,179
|
||
Total Real Estate
|
$8,522,152
|
|||
RETAILING - 2.5%
|
||||
Apparel Retail - 0.5%
|
||||
518,433
|
Hudson's Bay Co., Term Loan B, 4.25%, 9/30/22
|
$509,749
|
||
1,228,974
|
Men's Wearhouse, Inc., Term Loan B, 4.528%, 6/18/21
|
1,205,418
|
||
$1,715,167
|
||||
Automotive Retail - 0.5%
|
||||
1,106,331
|
CWGS Group LLC, Term Loan, 4.523%, 11/8/23
|
$1,117,222
|
||
563,127
|
Hertz Corp., Tranche Term B-1 Loan, 3.531%, 6/30/23
|
565,371
|
||
$1,682,593
|
||||
Computer & Electronics Retail - 0.1%
|
||||
105,433(c)
|
Targus Group International, Inc., Tranche A-2 Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
|
$101,742
|
||
316,299(c)
|
Targus Group International, Inc., Tranche B Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
|
245,132
|
||
$346,874
|
||||
Home Improvement Retail - 0.5%
|
||||
1,427,444
|
Apex Tool Group LLC, Term Loan, 4.5%, 1/31/20
|
$1,418,523
|
||
Specialty Stores - 0.9%
|
||||
730,427
|
Party City Holdings, Inc., 2016 Replacement Term Loan, 3.75%, 8/19/22
|
$727,949
|
||
2,064,746
|
PetSmart, Inc., Tranche B-2 Loan, 4.0%, 3/11/22
|
2,036,649
|
||
$2,764,598
|
||||
Total Retailing
|
$7,927,755
|
|||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
|
||||
Semiconductor Equipment - 0.2%
|
||||
452,449
|
Entegris, Inc., Tranche B Term Loan, 3.531%, 4/30/21
|
$456,785
|
||
Semiconductors - 0.9%
|
||||
1,733,715
|
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan, 4.521%, 5/7/21
|
$1,761,888
|
||
317,994
|
Microsemi Corp., Term B Loan, 3.031%, 1/15/23
|
320,634
|
||
847,875
|
ON Semiconductor Corp., 2016 New Replacement Term Loan, 4.031%, 3/31/23
|
857,885
|
||
$2,940,407
|
||||
Total Semiconductors & Semiconductor Equipment
|
$3,397,192
|
|||
SOFTWARE & SERVICES - 9.4%
|
||||
Application Software - 2.6%
|
||||
940,582
|
Applied Systems, Inc., First Lien Term Loan, 4.0%, 1/25/21
|
$947,538
|
||
977,215
|
Applied Systems, Inc., Second Lien Term Loan, 7.5%, 1/24/22
|
985,765
|
||
600,000
|
Greeneden US Holdings I LLC, Tranche B-1 Dollar Term Loan, 5.025%, 12/1/23
|
608,550
|
||
766,746
|
Infor (US), Inc. (fka Lawson Software Inc.), Tranche B-6 Term Loan, 3.75%, 2/1/22
|
768,390
|
||
523,688
|
Quest Software US Holdings, Inc., First Lien Initial Term Loan, 7.0%, 10/31/22
|
532,798
|
||
1,714,134
|
STG-Fairway Acquisitions, Inc., First Lien Term Loan, 6.25%, 6/30/22
|
1,675,566
|
||
1,200,000
|
Synchronoss Technologies, Inc., Initial Term Loan, 4.082%, 1/19/24
|
1,205,550
|
||
1,401,102
|
Verint Systems, Inc., Tranche B Incremental Term Loan, 3.655%, 9/6/19
|
1,410,909
|
||
$8,135,066
|
||||
Data Processing & Outsourced Services - 1.1%
|
||||
975,542
|
First Data Corp., 2021C New Dollar Term Loan, 3.779%, 3/24/21
|
$988,789
|
||
1,632,668
|
First Data Corp., 2022C New Dollar Term Loan, 3.779%, 7/8/22
|
1,649,903
|
||
746,250
|
WEX, Inc., Term B Loan, 4.281%, 6/30/23
|
757,977
|
||
$3,396,669
|
||||
Home Entertainment Software - 0.4%
|
||||
1,241,064
|
MA Financeco LLC, Initial Tranche B-2 Term Loan, 4.789%, 11/19/21
|
$1,255,248
|
||
Internet Software & Services - 1.3%
|
||||
966,349
|
Avast Software BV, Initial Dollar Term Loan, 5.0%, 9/30/22
|
$979,536
|
||
908,093
|
Match Group, Inc., Term B-1 Loan, 4.201%, 11/16/22
|
922,849
|
||
1,650,000
|
Rackspace Hosting, Inc., First Lien Term B Loan, 4.5%, 11/3/23
|
1,670,625
|
||
140,575(b)
|
Zayo Group LLC (Zayo Capital, Inc.), 2017 Incremental Acquisition Term Loan, 1/19/24
|
142,069
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Internet Software & Services - (continued)
|
||||
291,963
|
Zayo Group LLC (Zayo Capital, Inc.), 2017 Incremental Refinancing B-2 Term Loan, 3.5%, 1/19/24
|
$295,066
|
||
$4,010,145
|
||||
IT Consulting & Other Services - 2.8%
|
||||
778,537
|
Booz Allen Hamilton, Inc., New Refinancing Tranche B Term Loan, 3.027%, 6/30/23
|
$784,538
|
||
3,412,500
|
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
|
3,132,037
|
||
1,000,000
|
Evergreen Skills Lux S.a.r.l., Second Lien Initial Term Loan, 9.25%, 4/28/22
|
708,750
|
||
429,429(b)
|
Go Daddy Operating Co., LLC, Initial Term Loan, 2/15/24
|
430,798
|
||
475,000
|
Kronos, Inc., First Lien Initial Term Loan, 5.034%, 11/1/23
|
480,690
|
||
700,000
|
Rocket Software, Inc., Second Lien Term Loan, 10.5%, 10/14/24
|
708,750
|
||
492,006
|
Science Applications International Corp., Incremental Tranche B Loan, 3.563%, 5/4/22
|
496,004
|
||
1,357,813
|
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.563%, 9/18/21
|
1,353,994
|
||
750,000
|
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
|
759,375
|
||
$8,854,936
|
||||
Systems Software - 1.2%
|
||||
898,000
|
EZE Software Group LLC, First Lien Term B-2 Loan, 4.0%, 4/6/20
|
$901,367
|
||
325,000
|
Ivanti Software, Inc. (fka LANDesk Group, Inc.), First Lien Term Loan, 5.25%, 1/20/24
|
327,600
|
||
1,243,125
|
MSC.Software Corp., Term Loan, 5.0%, 5/29/20
|
1,246,233
|
||
1,238,703
|
Rovi Solutions Corp., Term B Loan, 3.29%, 7/2/21
|
1,244,897
|
||
$3,720,097
|
||||
Total Software & Services
|
$29,372,161
|
|||
TECHNOLOGY HARDWARE & EQUIPMENT - 3.1%
|
||||
Communications Equipment - 0.5%
|
||||
899,737
|
Audio Visual Services Group, Inc., First Lien Term Loan, 4.5%, 1/25/21
|
$901,986
|
||
493,750
|
Commscope, Inc., Tranche 5 Term Loan, 3.281%, 12/29/22
|
497,659
|
||
$1,399,645
|
||||
Electronic Components - 0.6%
|
||||
653,600
|
Generac Power Systems, Inc., 2016 New Term Loan, 3.748%, 5/31/23
|
$661,668
|
||
1,203,563
|
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 5.75%, 3/31/22
|
1,205,317
|
||
$1,866,985
|
||||
Electronic Manufacturing Services - 0.6%
|
||||
1,884,894
|
4L Technologies, Inc. (fka Clover Holdings, Inc.), Term Loan, 5.278%, 5/8/20
|
$1,822,457
|
||
Technology Distributors - 0.6%
|
||||
792,922
|
CDW LLC (fka CDW Corp.), Term Loan, 3.0%, 8/17/23
|
$797,680
|
||
96,823
|
SS&C European Holdings S.a.r.l., Term B-2 Loan, 4.031%, 7/8/22
|
97,534
|
||
1,008,926
|
SS&C Technologies, Inc., Term B-1 Loan, 4.031%, 7/8/22
|
1,016,335
|
||
$1,911,549
|
||||
Technology Hardware, Storage & Peripherals - 0.8%
|
||||
1,246,875
|
Dell International LLC, Term Loan B, 4.04%, 9/7/23
|
$1,256,648
|
||
558,250
|
Diebold, Inc., Dollar Term B Loan, 5.313%, 11/6/23
|
569,059
|
||
796,000
|
Western Digital Corp., US Term B-1 Loan, 4.529%, 4/29/23
|
802,530
|
||
$2,628,237
|
||||
Total Technology Hardware & Equipment
|
$9,628,873
|
|||
TELECOMMUNICATION SERVICES - 2.1%
|
||||
Integrated Telecommunication Services - 0.7%
|
||||
1,227,807
|
GCI Holdings, Inc., New Term B Loan, 3.781%, 2/2/22
|
$1,236,248
|
||
307,323
|
Securus Technologies Holdings, Inc., First Lien Initial Term Loan, 4.75%, 4/30/20
|
307,835
|
||
615,358
|
Windstream Services LLC (fka Windstream Corp.), 2016 Term Loan Tranche B-6, 4.78%, 3/29/21
|
623,178
|
||
$2,167,261
|
||||
Wireless Telecommunication Services - 1.4%
|
||||
2,526,479
|
Altice US Finance I Corp., 2016 Refinancing Term Loan, 3.781%, 1/15/25
|
$2,557,006
|
||
720,343
|
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75%, 6/30/19
|
714,716
|
||
1,250,000
|
Sprint Communications, Inc., Initial Term Loan, 3.313%, 2/2/24
|
1,252,969
|
||
$4,524,691
|
||||
Total Telecommunication Services
|
$6,691,952
|
|||
TRANSPORTATION - 4.3%
|
||||
Airlines - 2.7%
|
||||
490,000
|
Air Canada, Term Loan, 3.755%, 10/6/23
|
$496,002
|
||
2,910,656
|
American Airlines, Inc., 2015 New Term Loan, 3.278%, 6/27/20
|
2,929,939
|
||
1,254,938
|
American Airlines, Inc., Class B Term Loan, 3.27%, 12/14/23
|
1,261,997
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Airlines - (continued)
|
||||
2,100,000
|
American Airlines, Inc., Replacement Class B Term Loan, 3.281%, 4/28/23
|
$2,112,396
|
||
1,440,000
|
Delta Air Lines, Inc., 2014 Term B-1 Loan, 3.273%, 10/18/18
|
1,453,051
|
||
240,625
|
United Air Lines, Inc. (fka Continental Airlines, Inc.), Class B Term Loan, 3.281%, 4/1/19
|
242,355
|
||
$8,495,740
|
||||
Marine - 0.7%
|
||||
1,657,242
|
Commercial Barge Line Co., Initial Term Loan, 9.75%, 11/12/20
|
$1,584,737
|
||
566,748
|
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
|
566,040
|
||
$2,150,777
|
||||
Trucking - 0.9%
|
||||
402,816
|
PODS LLC, Tranche B-2 Term Loan, 4.25%, 2/2/22
|
$405,669
|
||
776,000
|
Syncreon Global Finance, Inc., Term Loan, 5.25%, 10/28/20
|
689,994
|
||
1,554,408
|
YRC Worldwide, Inc., Initial Term Loan, 8.5%, 2/13/19
|
1,547,801
|
||
$2,643,464
|
||||
Total Transportation
|
$13,289,981
|
|||
UTILITIES - 4.1%
|
||||
Electric Utilities - 2.3%
|
||||
1,348,782
|
APLH Holdings, Ltd., Partnership, Term Loan, 6.0%, 4/13/23
|
$1,362,269
|
||
2,171,250
|
Calpine Construction Finance Co., LP, Term B-1 Loan, 3.03%, 5/3/20
|
2,176,678
|
||
919,823
|
ExGen Renewables LLC, Term Loan, 5.272%, 2/8/21
|
925,285
|
||
1,725,000
|
Talen Energy Supply LLC, Initial Term Loan, 6.06%, 12/6/23
|
1,757,884
|
||
473,873
|
TPF II Power LLC (TPF II Covert Midco LLC), Term Loan, 5.0%, 10/2/21
|
479,169
|
||
102,143
|
Vistra Operations Co., LLC (fka Tex Operations Co., LLC), Initial Term C Loan, 3.531%, 8/4/23
|
102,643
|
||
447,857
|
Vistra Operations Co., LLC (fka Tex Operations Co., LLC), Initial Term Loan, 3.531%, 8/4/23
|
450,050
|
||
$7,253,978
|
||||
Independent Power Producers & Energy Traders - 1.4%
|
||||
1,635,100
|
Calpine Corp., Term Loan B, 3.75%, 1/15/24
|
$1,645,064
|
||
1,201,563
|
NRG Energy, Inc., Term Loan, 3.031%, 6/30/23
|
1,206,446
|
||
1,381,147
|
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.5%, 6/27/22
|
1,394,958
|
||
$4,246,468
|
||||
Multi-Utilities - 0.1%
|
||||
429,369
|
EFS Cogen Holdings I LLC, Term B Advance, 4.5%, 6/28/23
|
$434,066
|
||
Water Utilities - 0.3%
|
||||
840,667
|
WTG Holdings III Corp., First Lien Term Loan, 4.75%, 1/15/21
|
$844,870
|
||
Total Utilities
|
$12,779,382
|
|||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
||||
(Cost $405,621,767)
|
$404,873,741
|
|||
COLLATERALIZED LOAN OBLIGATIONS - 1.5% of Net Assets
|
||||
BANKS - 1.5%
|
||||
Diversified Banks - 0.6%
|
||||
1,000,000(a)
|
Primus, Ltd., Series 2007-2A, Class D, 3.423%, 7/15/21 (144A)
|
$988,308
|
||
951,289(a)
|
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 5.552%, 2/27/21 (144A)
|
939,808
|
||
$1,928,116
|
||||
Thrifts & Mortgage Finance - 0.9%
|
||||
700,000(a)
|
NCF Dealer Floorplan Master Trust, Series 2016-1A, Class C, 9.279%, 3/21/22 (144A)
|
$703,516
|
||
2,000,000(a)
|
Stone Tower, Ltd., Series 2007-6A, Class C, 2.373%, 4/17/21 (144A)
|
1,999,905
|
||
$2,703,421
|
||||
Total Banks
|
$4,631,537
|
|||
TOTAL COLLATERALIZED LOAN OBLIGATIONS
|
||||
(Cost $4,364,080)
|
$4,631,537
|
|||
CORPORATE BONDS & NOTES - 5.6% of Net Assets
|
||||
AUTOMOBILES & COMPONENTS - 0.3%
|
||||
Auto Parts & Equipment - 0.3%
|
||||
1,000,000
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$1,001,250
|
||
–
|
||||
Total Automobiles & Components
|
$1,001,250
|
|||
BANKS - 0.4%
|
||||
Diversified Banks - 0.4%
|
||||
1,100,000(f)(g)
|
BNP Paribas SA, 7.625% (144A)
|
$1,161,600
|
||
–
|
||||
Total Banks
|
$1,161,600
|
|||
Principal
Amount
USD ($)
|
Value
|
|||
CAPITAL GOODS - 0.3%
|
||||
Trading Companies & Distributors - 0.3%
|
||||
900,000
|
United Rentals North America, Inc., 4.625%, 7/15/23
|
$923,859
|
||
–
|
||||
Total Capital Goods
|
$923,859
|
|||
ENERGY - 0.6%
|
||||
Oil & Gas Exploration & Production - 0.3%
|
||||
500,000
|
Gulfport Energy Corp., 6.625%, 5/1/23
|
$508,750
|
||
625,000
|
WPX Energy, Inc., 7.5%, 8/1/20
|
673,437
|
||
$1,182,187
|
||||
Oil & Gas Storage & Transportation - 0.3%
|
||||
800,000(a)
|
Golar LNG Partners LP, 7.289%, 5/15/21 (144A)
|
$800,000
|
||
Total Energy
|
$1,982,187
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 0.4%
|
||||
Health Care Facilities - 0.4%
|
||||
201,000
|
CHS/Community Health Systems, Inc., 5.125%, 8/15/18
|
$202,256
|
||
1,000,000
|
CHS/Community Health Systems, Inc., 6.875%, 2/1/22
|
877,500
|
||
Total Health Care Equipment & Services
|
$1,079,756
|
|||
INSURANCE - 1.4%
|
||||
Reinsurance - 1.4%
|
||||
500,000(a)
|
Alamo Re, Ltd., 6.288%, 6/7/18 (144A) (Cat Bond)
|
$518,900
|
||
400,000(h)(i)
|
Berwick Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 2/1/18
|
50,680
|
||
250,000(h)(i)
|
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
|
29,925
|
||
250,000(h)(i)
|
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
|
250,500
|
||
250,000(h)(i)
|
Gleneagles Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
|
42,050
|
||
400,000(h)(i)
|
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 11/30/20
|
16,760
|
||
400,000(h)(i)
|
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 11/30/21
|
403,400
|
||
250,000(a)
|
Kilimanjaro Re, Ltd., Series 2015-1, Class D, 9.758%, 12/6/19 (144A) (Cat Bond)
|
260,525
|
||
250,000(a)
|
Kilimanjaro Re, Ltd., Series 2015-1, Class E, 7.258%, 12/6/19 (144A) (Cat Bond)
|
255,700
|
||
250,000(h)(i)
|
Madison Re, Variable Rate Notes, 3/31/19
|
269,525
|
||
400,000(h)(i)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
|
55,600
|
||
400,000(h)(i)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2017-1, Variable Rate Notes, 11/30/21
|
406,840
|
||
400,000(h)(i)
|
Pinehurst Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 1/16/18
|
380,840
|
||
300,000(h)(i)
|
Portrush 2016 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 6/15/17
|
68,490
|
||
300,000(a)
|
Resilience Re Ltd., 5.008%, 1/8/19 (144A) (Cat Bond)
|
300,000
|
||
350,000(j)
|
Resilience Re, Ltd., 4/7/17 (Cat Bond)
|
352,800
|
||
400,000(h)(i)
|
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/18
|
56,240
|
||
400,000(h)(i)
|
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/19
|
404,720
|
||
300,000(h)(i)
|
Sunningdale 2017 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 1/16/18
|
272,160
|
||
Total Insurance
|
$4,395,655
|
|||
MATERIALS - 0.7%
|
||||
Commodity Chemicals - 0.4%
|
||||
1,230,000
|
Rain CII Carbon LLC / CII Carbon Corp., 8.0%, 12/1/18 (144A)
|
$1,228,462
|
||
Metal & Glass Containers - 0.3%
|
||||
1,000,000(a)
|
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 4.289%, 5/15/21 (144A)
|
$1,026,250
|
||
Total Materials
|
$2,254,712
|
|||
MEDIA - 0.1%
|
||||
Broadcasting - 0.1%
|
||||
300,000
|
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
|
$308,625
|
||
Total Media
|
$308,625
|
|||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
|
||||
Semiconductors - 0.2%
|
||||
750,000
|
Micron Technology, Inc., 5.25%, 8/1/23 (144A)
|
$756,563
|
||
Total Semiconductors & Semiconductor Equipment
|
$756,563
|
|||
SOFTWARE & SERVICES - 0.3%
|
||||
Internet Software & Services - 0.3%
|
||||
920,000
|
j2 Cloud Services, Inc., 8.0%, 8/1/20
|
$956,800
|
||
Total Software & Services
|
$956,800
|
|||
Principal
Amount
USD ($)
|
Value
|
|||
TELECOMMUNICATION SERVICES - 0.5%
|
||||
Integrated Telecommunication Services - 0.5%
|
||||
500,000
|
CenturyLink, Inc., 6.45%, 6/15/21
|
$532,815
|
||
1,000,000
|
Frontier Communications Corp., 10.5%, 9/15/22
|
1,039,680
|
||
Total Telecommunication Services
|
$1,572,495
|
|||
UTILITIES - 0.4%
|
||||
Independent Power Producers & Energy Traders - 0.4%
|
||||
1,125,000
|
NRG Energy, Inc., 6.25%, 7/15/22
|
$1,144,688
|
||
Total Utilities
|
$1,144,688
|
|||
TOTAL CORPORATE BONDS & NOTES
|
||||
(Cost $16,704,165)
|
$17,538,190
|
|||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 5.0% of Net Assets
|
||||
3,270,000(a)
|
U.S. Treasury Notes, 0.684%, 10/31/17
|
$3,273,401
|
||
8,980,000(a)
|
U.S. Treasury Notes, 0.706%, 4/30/18
|
8,995,356
|
||
3,365,000(a)
|
U.S. Treasury Notes, 0.788%, 1/31/18
|
3,372,877
|
||
$15,641,634
|
||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
||||
(Cost $15,625,894)
|
$15,641,634
|
|||
TAX EXEMPT OBLIGATIONS - 2.1% of Net Assets (k)
|
||||
Massachusetts - 0.4%
|
||||
100,000(f)
|
Massachusetts Health & Educational Facilities Authority, Children's Hospital Corp., Series N-4, 0.58%, 10/1/49
|
$100,000
|
||
1,200,000(f)
|
Massachusetts Health & Educational Facilities Authority, Harvard University, Series R, 0.41%, 11/1/49
|
1,200,000
|
||
$1,300,000
|
||||
Mississippi - 0.1%
|
||||
235,000(f)
|
Mississippi Business Finance Corp., Chevron USA, Inc., Project, Series C, 0.58%, 12/1/30
|
$235,000
|
||
Pennsylvania - 0.7%
|
||||
2,300,000(f)
|
Geisinger Authority, Geisinger Health System, Series B, 0.55%, 8/1/22
|
$2,300,000
|
||
Texas - 0.9%
|
||||
430,000(f)
|
Harris County Health Facilities Development Corp., The Methodist Hospital System, Series A-1, 0.57%, 12/1/41
|
$430,000
|
||
1,790,000(f)
|
Harris County Health Facilities Development Corp., The Methodist Hospital System, Series A-2, 0.57%, 12/1/41
|
1,790,000
|
||
420,000(f)
|
Lower Neches Valley Authority Industrial Development Corp., Exxon Capital Ventures, Inc., 0.56%, 11/1/38
|
420,000
|
||
$2,640,000
|
||||
TOTAL TAX EXEMPT OBLIGATIONS
|
||||
(Cost $6,475,000)
|
$6,475,000
|
|||
Shares
|
||||
EXCHANGE-TRADED FUNDS - 1.7% of Net Assets
|
||||
DIVERSIFIED FINANCIALS - 1.7%
|
||||
Asset Management & Custody Banks - 0.6%
|
||||
40,000
|
BlackRock Floating Rate Income Strategies Fund, Inc.
|
$589,600
|
||
30,000
|
Eaton Vance Floating-Rate Income Trust
|
459,000
|
||
50,000
|
First Trust Senior Floating Rate Income Fund II
|
693,500
|
||
50,000
|
Invesco Senior Income Trust
|
236,000
|
||
$1,978,100
|
||||
Other Diversified Financial Services - 1.1%
|
||||
27,000
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
$2,383,830
|
||
42,000
|
PowerShares Senior Loan Portfolio
|
981,540
|
||
$3,365,370
|
||||
Total Diversified Financials
|
$5,343,470
|
|||
TOTAL EXCHANGE-TRADED FUNDS
|
||||
(Cost $5,127,287)
|
$5,343,470
|
|||
COMMON STOCKS - 0.2% of Net Assets
|
||||
CONSUMER DURABLES & APPAREL - 0.0%†
|
||||
Homebuilding - 0.0%†
|
||||
31,348(l)
|
WAICCS Las Vegas 3 LLC
|
$100,000
|
||
Total Consumer Durables & Apparel
|
$100,000
|
|||
CONSUMER SERVICES - 0.1%
|
||||
Education Services - 0.1%
|
||||
14,548(l)
|
Cengage Learning Acquisitions, Inc.
|
$170,939
|
||
Total Consumer Services
|
$170,939
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 0.0%†
|
||||
Health Care Technology - 0.0%†
|
||||
209,625(d)(l)
|
Medical Card System, Inc.
|
$ 2,096
|
||
Total Health Care Equipment & Services
|
$ 2,096
|
|||
Shares
|
Value
|
|||
INDUSTRIALS - 0.0%†
|
||||
Diversified Support Services - 0.0%†
|
||||
31(l)
|
IAP Worldwide Services, Inc.
|
$ 42,515
|
||
Total Industrials
|
$ 42,515
|
|||
MEDIA - 0.0%†
|
||||
Publishing - 0.0%†
|
||||
497(l)
|
Solocal Group SA
|
$ 1,562
|
||
Total Media
|
$ 1,562
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.0%†
|
||||
Biotechnology - 0.0%†
|
||||
2,454(l)
|
Progenics Pharmaceuticals, Inc.
|
$ 27,583
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 27,583
|
|||
RETAILING - 0.0%†
|
||||
Computer & Electronics Retail - 0.0%†
|
||||
91,346(d)(l)
|
Targus Cayman SubCo., Ltd.
|
$ 88,606
|
||
Total Retailing
|
$ 88,606
|
|||
TRANSPORTATION - 0.1%
|
||||
Air Freight & Logistics - 0.1%
|
||||
710(l)
|
CEVA Holdings LLC
|
$140,824
|
||
Total Transportation
|
$140,824
|
|||
UTILITIES - 0.0%†
|
||||
Independent Power Producers & Energy Traders - 0.0%†
|
||||
775
|
NRG Energy, Inc.
|
$ 12,834
|
||
Total Utilities
|
$ 12,834
|
|||
TOTAL COMMON STOCKS
|
||||
(Cost $2,069,782)
|
$586,959
|
|||
Principal
Amount
USD ($)
|
||||
TEMPORARY CASH INVESTMENTS - 5.1% of Net Assets
|
||||
CERTIFICATE OF DEPOSIT - 0.4%
|
||||
1,145,000
|
Sumitomo Mitsui Bank, 1.26%, 4/3/17
|
$1,145,598
|
||
COMMERCIAL PAPER - 1.4%
|
||||
792,000
|
Amphenol Corp., 0.88%, 3/1/17
|
$791,979
|
||
1,145,000
|
Natixis SA, 0.56%, 3/1/17
|
1,144,981
|
||
1,145,000
|
Prudential Funding LLC, 0.6%, 3/1/17
|
1,144,980
|
||
1,145,000
|
Societe Generale SA, 0.52%, 3/1/17
|
1,144,980
|
||
$4,226,920
|
||||
REPURCHASE AGREEMENT - 2.4%
|
||||
7,500,000
|
$7,500,000 TD Securities USA LLC, 0.52%, dated 2/28/17,
plus accrued interest on 3/1/17 collateralized
by the following:
$7,650,029 U.S. Treasury Notes, 1.375%, 8/31/23.
|
$7,500,000
|
||
TREASURY BILL - 0.9%
|
||||
2,865,000(j)
|
U.S. Treasury Bill, 3/15/17
|
$2,864,542
|
||
TOTAL TEMPORARY CASH INVESTMENTS
|
||||
(Cost $15,736,499)
|
$15,737,060
|
|||
TOTAL INVESTMENTS IN SECURITIES - 150.8%
|
||||
(Cost - $471,724,474) (m)
|
$470,827,591
|
|||
OTHER ASSETS AND LIABILITIES - (50.8)%
|
$(158,535,656)
|
|||
NET ASSETS - 100.0%
|
$312,291,935
|
|||
REIT
|
Real Estate Investment Trust.
|
||
(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 February 28, 2017, the value of these securities amounted to $12,249,412, or 3.9% of total net assets.
|
||
(Cat Bond)
|
Catastrophe or event-linked bond. At February 28, 2017, the value of these securities amounted to $1,687,925 or 0.5% 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 (London InterBank Offered Rate), (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 February 28, 2017.
|
||
(a)
|
Floating rate note. The rate shown is the coupon rate at February 28, 2017.
|
||
(b)
|
This term loan will settle after February 28, 2017, at which time the interest rate will be determined.
|
||
(c)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
||
(d)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services).
|
||
(e)
|
Security is in default.
|
||
(f)
|
The interest rate is subject to change periodically. The interest rate shown is the rate at February 28, 2017.
|
||
(g)
|
Security is perpetual in nature and has no stated maturity date.
|
||
(h)
|
Structured reinsurance investment. At February 28, 2017, the value of these securities amounted to $2,707,730, or 0.9% of total net assets.
|
||
(i)
|
Rate to be determined.
|
||
(j)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
||
(k)
|
Consists of Revenue Bonds unless otherwise indicated.
|
||
(l)
|
Non-income producing.
|
||
(m)
|
At February 28, 2017, the net unrealized depreciation on investments based on cost for federal tax purposes of $471,928,028 was as follows:
|
||
Aggregate gross unrealized appreciation for all investments in which there
|
|||
is an excess of value over tax cost
|
$ 6,298,841
|
||
Aggregate gross unrealized depreciation for all investments in which there
|
|||
is an excess of tax cost over value
|
(7,399,278)
|
||
Net unrealized depreciation
|
$ (1,100,437)
|
||
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION
|
||||||||
Notional
Principal ($)(1)
|
Exchange
|
Obligation Entity/Index
|
Coupon
|
Credit Rating(2)
|
Expiration
Date
|
Premiums
Paid/
(Received)
|
Unrealized Appreciation
|
|
1,067,000
|
Chicago Mercantile Exchange
|
Markit CDX North
America High Yield
Index Series 24
|
5.00%
|
B+
|
6/20/20
|
$64,230
|
$38,151
|
|
1,092,700
|
Chicago Mercantile Exchange
|
Markit CDX North
America High Yield
Index Series 25
|
5.00%
|
B+
|
12/20/20
|
(10,391)
|
108,580
|
|
$53,839
|
$146,731
|
|||||||
(1)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
|
|||||||
(2)
|
Based on Standard & Poor's rating of the issuer or weighted average of all the underlying securities of the index.
|
|||||||
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
Level 1 - quoted prices in active markets for identical securities.
|
||||||||||||||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
||||||||||||||||
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
||||||||||||||||
The following is a summary of the inputs used as of February 28, 2017, in valuing the Trust's investments.
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Senior Secured Floating Rate Loan Interests
|
||||||||||||||||
Health Care Equipment & Services
|
||||||||||||||||
Health Care Technology
|
$ | – | $ | 5,211,834 | $ | 731,754 | $ | 5,943,588 | ||||||||
All Other Senior Secured Floating Rate Loan Interests
|
– | 398,930,153 | – | 398,930,153 | ||||||||||||
Collateralized Loan Obligations
|
– | 4,631,537 | – | 4,631,537 | ||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||
Insurance
|
||||||||||||||||
Reinsurance
|
– | 1,035,125 | 3,360,530 | 4,395,655 | ||||||||||||
All Other Corporate Bonds & Notes
|
– | 13,142,535 | – | 13,142,535 | ||||||||||||
U.S. Government and Agency Obligations
|
– | 15,641,634 | – | 15,641,634 | ||||||||||||
Tax Exempt Obligations
|
– | 6,475,000 | – | 6,475,000 | ||||||||||||
Exchange-Traded Funds
|
5,343,470 | – | – | 5,343,470 | ||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Durables & Apparel
|
||||||||||||||||
Homebuilding
|
– | 100,000 | – | 100,000 | ||||||||||||
Consumer Services
|
||||||||||||||||
Education Services
|
– | 170,939 | – | 170,939 | ||||||||||||
Health Care Equipment & Services
|
||||||||||||||||
Health Care Technology
|
– | – | 2,096 | 2,096 | ||||||||||||
Industrials
|
||||||||||||||||
Diversified Support Services
|
– | 42,515 | – | 42,515 | ||||||||||||
Retailing
|
||||||||||||||||
Computer & Electronics Retail
|
– | – | 88,606 | 88,606 | ||||||||||||
Transportation
|
||||||||||||||||
Air Freight & Logistics
|
– | 140,824 | – | 140,824 | ||||||||||||
All Other Common Stocks
|
41,979 | – | – | 41,979 | ||||||||||||
Certificate of Deposit
|
– | 1,145,598 | – | 1,145,598 | ||||||||||||
Commercial Paper
|
– | 4,226,920 | – | 4,226,920 | ||||||||||||
Repurchase Agreement
|
– | 7,500,000 | – | 7,500,000 | ||||||||||||
Treasury Bill
|
– | 2,864,542 | – | 2,864,542 | ||||||||||||
Total Investments in Securities
|
$ | 5,385,449 | $ | 461,259,156 | $ | 4,182,986 | $ | 470,827,591 |
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Other Financial Instruments
|
||||||||||||||||
Unrealized Appreciation
on Centrally Cleared
Credit Default
Swap Agreements
|
$ | – | $ | 146,731 | $ | – | $ | 146,731 | ||||||||
Total Other
Financial Instruments
|
$ | – | $ | 146,731 | $ | – | $ | 146,731 |
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
|||||||||
Change in
|
|||||||||
Balance
|
Realized
|
unrealized
|
Accrued
|
Changes
|
Balance
|
||||
as of
|
gain
|
appreciation
|
discounts/
|
Between
|
as of
|
||||
11/30/16
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
2/28/17
|
||
Senior Secured
Floating Rate
Loan Interests
|
|||||||||
Health Care
Equipment &
Services
|
|||||||||
Health Care
Technology
|
$731,754
|
$ –
|
$(10,769)
|
$ –
|
$ –
|
$10,769
|
$ –
|
$731,754
|
|
Corporate Bonds
& Notes
|
|||||||||
Insurance
|
|||||||||
Reinsurance
|
3,255,179
|
–
|
41,856
|
65,840
|
–
|
(2,345)
|
–
|
3,360,530
|
|
Common Stocks
|
|||||||||
Health Care
Equipment &
Services
|
|||||||||
Health Care
Technology
|
2,096
|
–
|
–
|
–
|
–
|
–
|
–
|
2,096
|
|
Retailing
|
|||||||||
Computer &
Electronics
Retail
|
88,606
|
–
|
–
|
–
|
–
|
–
|
–
|
88,606
|
|
Total
|
$4,077,635
|
$ –
|
$31,087
|
$65,840
|
$ –
|
$8,424
|
$ –
|
$4,182,986
|
|
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
||||||||||||||||||||||||||||||||
Change in
|
||||||||||||||||||||||||||||||||
Balance
|
Realized
|
unrealized
|
Accrued
|
Changes
|
Balance
|
|||||||||||||||||||||||||||
as of
|
gain
|
appreciation
|
discounts/
|
Between
|
as of
|
|||||||||||||||||||||||||||
11/30/16
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
2/28/17
|
|||||||||||||||||||||||||
Senior Secured
Floating Rate
Loan Interests
|
||||||||||||||||||||||||||||||||
Health Care
Equipment &
Services
|
||||||||||||||||||||||||||||||||
Health Care
Technology
|
$ | 731,754 | $ | – | $ | (10,769 | ) | $ | – | $ | – | $ | 10,769 | $ | – | $ | 731,754 | |||||||||||||||
Corporate Bonds
& Notes
|
||||||||||||||||||||||||||||||||
Insurance
|
||||||||||||||||||||||||||||||||
Reinsurance
|
3,255,179 | – | 41,856 | 65,840 | – | (2,345 | ) | – | 3,360,530 | |||||||||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||||||
Health Care
Equipment &
Services
|
||||||||||||||||||||||||||||||||
Health Care
Technology
|
2,096 | – | – | – | – | – | – | 2,096 | ||||||||||||||||||||||||
Retailing
|
||||||||||||||||||||||||||||||||
Computer &
Electronics
Retail
|
88,606 | – | – | – | – | – | – | 88,606 | ||||||||||||||||||||||||
Total
|
$ | 4,077,635 | $ | – | $ | 31,087 | $ | 65,840 | $ | – | $ | 8,424 | $ | – | $ | 4,182,986 | ||||||||||||||||
*Transfers are calculated on the beginning of period value. For the three months ended February 28, 2017, there were no transfers between Levels 1, 2 and 3.
|
|
Net change in unrealized depreciation of Level 3 investments still held and considered Level 3 at February 28, 2017: $(31,087).
|