EFFECTIVE INTEREST RATE‡
|
DUE DATE
|
PRINCIPAL
|
COST
|
FAIR VALUE
|
||||||||||
Fixed Income — 129.62%*:
|
||||||||||||||
Bank Loans§ — 20.36%*:
|
||||||||||||||
Broadcasting and Entertainment — 0.44%*:
|
||||||||||||||
Learfield Communications Inc.
|
8.75
|
10/8/2021
|
1,800,000
|
$
|
1,814,621
|
$
|
1,786,500
|
|||||||
Total Broadcasting and Entertainment
|
1,800,000
|
1,814,621
|
1,786,500
|
|||||||||||
Cargo Transport — 1.11%*:
|
||||||||||||||
Direct ChassisLink Inc. (add on facility)
|
8.25
|
11/12/2019
|
637,866
|
637,866
|
626,703
|
|||||||||
Direct ChassisLink Inc.
|
8.25
|
11/12/2019
|
3,933,333
|
3,876,206
|
3,864,500
|
|||||||||
Total Cargo Transport
|
4,571,199
|
4,514,072
|
4,491,203
|
|||||||||||
Chemicals, Plastics and Rubber — 0.84%*:
|
||||||||||||||
Flint Group Holdings+
|
8.25
|
9/30/2022
|
3,451,145
|
3,436,877
|
3,390,750
|
|||||||||
Total Chemicals, Plastics and Rubber
|
3,451,145
|
3,436,877
|
3,390,750
|
|||||||||||
Diversified/Conglomerate Service — 1.62%*:
|
||||||||||||||
Redprarie Corporation
|
6.00
|
12/21/2018
|
2,925,394
|
2,885,195
|
2,596,287
|
|||||||||
Redprarie Corporation
|
11.25
|
12/14/2019
|
4,632,646
|
4,658,363
|
3,979,443
|
|||||||||
Total Diversified/Conglomerate Service
|
7,558,040
|
7,543,558
|
6,575,730
|
|||||||||||
Diversified Natural Resources, Precious Metals and Minerals — 1.31%*:
|
||||||||||||||
Caraustar Industries Inc.
|
8.00
|
5/1/2019
|
5,305,327
|
5,324,214
|
5,284,106
|
|||||||||
Total Diversified Natural Resources, Precious Metals and Minerals
|
5,305,327
|
5,324,214
|
5,284,106
|
|||||||||||
Electronics — 1.88%*:
|
||||||||||||||
Kronos, Inc.
|
9.75
|
4/30/2020
|
7,485,880
|
7,411,033
|
7,612,241
|
|||||||||
Total Electronics
|
7,485,880
|
7,411,033
|
7,612,241
|
|||||||||||
Farming and Agriculture — 1.51%*:
|
||||||||||||||
Allflex Holdings, Inc.
|
8.00
|
7/19/2021
|
6,232,322
|
6,230,328
|
6,131,047
|
|||||||||
Total Farming and Agriculture
|
6,232,322
|
6,230,328
|
6,131,047
|
|||||||||||
Finance — 1.02%*:
|
||||||||||||||
Cunningham Lindsey Group, Inc.
|
9.25
|
6/10/2020
|
5,504,015
|
$
|
5,514,053
|
$
|
4,128,011
|
|||||||
Total Finance
|
5,504,015
|
5,514,053
|
4,128,011
|
|||||||||||
Healthcare, Education and Childcare — 0.75%*:
|
||||||||||||||
Sage Products Holdings III, LLC
|
9.25
|
6/15/2020
|
3,011,585
|
2,966,428
|
3,016,614
|
|||||||||
Total Healthcare, Education and Childcare
|
3,011,585
|
2,966,428
|
3,016,614
|
|||||||||||
Leisure, Amusement, Motion Pictures and Entertainment — 0.19%*:
|
||||||||||||||
Exterion Media+
|
7.00
|
3/30/2018
|
700,000
|
772,618
|
782,184
|
|||||||||
Total Leisure, Amusement, Motion Pictures and Entertainment
|
700,000
|
772,618
|
782,184
|
|||||||||||
|
||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 1.11%*:
|
||||||||||||||
Boomerang Tube, LLC
|
11.19
|
12/31/2015
|
1,609,355
|
1,597,428
|
1,609,355
|
|||||||||
Boomerang Tube, LLC>
|
11.75
|
10/11/2017
|
5,089,201
|
5,056,255
|
2,544,601
|
|||||||||
Murray Energy Corp.
|
7.50
|
4/9/2020
|
449,201
|
436,511
|
348,005
|
|||||||||
Total Mining, Steel, Iron and Non-Precious Metals
|
7,147,757
|
7,090,194
|
4,501,961
|
|||||||||||
Oil and Gas — 7.07%*:
|
||||||||||||||
Caelus Energy Alaska
|
8.75
|
4/2/2021
|
17,863,828
|
17,333,106
|
12,593,999
|
|||||||||
Fieldwood Energy LLC
|
8.38
|
9/30/2020
|
16,407,298
|
12,427,780
|
4,512,007
|
|||||||||
Jonah Energy LLC
|
7.50
|
5/12/2021
|
1,963,216
|
1,978,504
|
1,570,573
|
|||||||||
MD America Energy, LLC
|
9.50
|
7/2/2019
|
6,922,738
|
6,632,317
|
6,230,465
|
|||||||||
NFR Energy LLC>
|
8.75
|
12/31/2018
|
7,684,465
|
7,774,974
|
1,287,148
|
|||||||||
Templar Energy
|
8.50
|
9/30/2021
|
5,580,408
|
5,429,793
|
2,464,699
|
|||||||||
Total Oil and Gas
|
56,421,953
|
51,576,474
|
28,658,891
|
|||||||||||
Printing and Publishing — 0.80%*:
|
||||||||||||||
Springer+
|
8.00
|
8/14/2021
|
2,850,000
|
3,271,891
|
3,256,260
|
|||||||||
Total Printing and Publishing
|
2,850,000
|
3,271,891
|
3,256,260
|
|||||||||||
Retail Store — 0.71%*:
|
||||||||||||||
FleetPride
|
9.25
|
5/19/2020
|
3,000,000
|
2,951,779
|
2,880,000
|
|||||||||
Total Retail Store
|
3,000,000
|
2,951,779
|
2,880,000
|
|||||||||||
Total Bank Loans
|
115,039,223
|
110,418,140
|
82,495,498
|
|||||||||||
Corporate Bonds — 109.26%*:
|
||||||||||||||
Aerospace and Defense — 1.37%*:
|
||||||||||||||
CPI International Inc.#
|
8.75
|
2/15/2018
|
5,550,000
|
5,670,012
|
5,536,125
|
|||||||||
Total Aerospace and Defense
|
5,550,000
|
5,670,012
|
5,536,125
|
|||||||||||
Automobile — 9.34%*:
|
||||||||||||||
Accuride Corp#
|
9.50
|
8/1/2018
|
11,210,000
|
11,283,435
|
11,266,050
|
|||||||||
Affinia#
|
7.75
|
5/1/2021
|
3,240,000
|
3,321,984
|
3,402,000
|
|||||||||
Allied Specialty Vehicles#^
|
8.50
|
11/1/2019
|
6,000,000
|
5,965,020
|
6,240,000
|
|||||||||
J.B. Poindexter & Co. Inc.#^
|
9.00
|
4/1/2022
|
8,235,000
|
8,579,676
|
8,667,338
|
|||||||||
International Automotive Components Group, S.A.#^
|
9.13
|
6/1/2018
|
8,125,000
|
8,219,114
|
8,246,875
|
|||||||||
Total Automobile
|
36,810,000
|
37,369,229
|
37,822,263
|
|||||||||||
Banking — 0.59%*:
|
||||||||||||||
Lock AS+^
|
7.00
|
8/15/2021
|
2,050,000
|
2,664,670
|
2,394,129
|
|||||||||
Total Banking
|
2,050,000
|
2,664,670
|
2,394,129
|
|||||||||||
Beverage, Food and Tobacco — 2.56%*:
|
||||||||||||||
Boparan Finance PLC+^
|
5.50
|
7/15/2021
|
650,000
|
936,064
|
860,865
|
|||||||||
EWOS+^
|
6.75
|
11/1/2020
|
2,000,000
|
2,730,090
|
2,391,249
|
|||||||||
Findus+^
|
9.13
|
7/1/2018
|
1,850,000
|
2,420,260
|
2,150,096
|
|||||||||
Findus+^
|
9.50
|
7/1/2018
|
1,500,000
|
2,589,481
|
2,376,900
|
|||||||||
Pizza Express+^
|
6.63
|
8/1/2021
|
1,700,000
|
2,857,058
|
2,599,962
|
|||||||||
Total Beverage, Food and Tobacco
|
7,700,000
|
11,532,953
|
10,379,072
|
|||||||||||
Broadcasting and Entertainment — 2.97%*:
|
||||||||||||||
Arqiva Finance#+^
|
9.50
|
3/31/2020
|
5,000,000
|
7,877,774
|
8,172,604
|
|||||||||
RCN Cable#^
|
8.50
|
8/15/2020
|
3,733,000
|
3,846,401
|
3,854,323
|
|||||||||
Total Broadcasting and Entertainment
|
8,733,000
|
11,724,175
|
12,026,927
|
|||||||||||
Buildings and Real Estate — 5.63%*:
|
||||||||||||||
Forestar Real Estate Group Inc.#^
|
8.50
|
6/1/2022
|
6,591,000
|
$
|
6,798,314
|
$
|
6,821,685
|
|||||||
Keystone Financing+^
|
9.50
|
10/15/2019
|
3,900,000
|
6,222,072
|
6,253,687
|
|||||||||
Lyon Williams Homes, Inc.#
|
8.50
|
11/15/2020
|
8,000,000
|
8,042,722
|
8,580,000
|
|||||||||
Paroc Group+^
|
6.25
|
5/15/2020
|
1,050,000
|
1,444,431
|
1,141,011
|
|||||||||
Total Buildings and Real Estate
|
19,541,000
|
22,507,539
|
22,796,383
|
|||||||||||
Cargo Transport — 3.63%*:
|
||||||||||||||
Kenan Advantage Group, Inc.^
|
7.88
|
7/31/2023
|
7,000,000
|
7,000,000
|
7,105,000
|
|||||||||
Moto Hospitality Limited+^
|
6.38
|
9/1/2020
|
2,400,000
|
3,584,497
|
3,674,518
|
|||||||||
World Flight Services, Inc.+^
|
9.50
|
7/15/2022
|
1,250,000
|
1,417,941
|
1,410,725
|
|||||||||
XPO Logistics, Inc.^
|
6.50
|
6/15/2022
|
3,000,000
|
3,000,000
|
2,536,875
|
|||||||||
Total Cargo Transport
|
13,650,000
|
15,002,438
|
14,727,118
|
|||||||||||
Chemicals, Plastics and Rubber — 9.18%*:
|
||||||||||||||
Associated Asphalt Partners LLC#^
|
8.50
|
2/15/2018
|
1,839,000
|
1,839,000
|
1,802,220
|
|||||||||
Chemours Co.#^
|
7.00
|
5/15/2025
|
5,962,000
|
5,488,087
|
3,920,015
|
|||||||||
Ciech Group Finance#+^
|
9.50
|
11/30/2019
|
2,100,000
|
2,790,141
|
2,515,973
|
|||||||||
Consolidated Energy Finance S.A.#+^
|
6.75
|
10/15/2019
|
4,630,000
|
4,535,842
|
4,375,350
|
|||||||||
Cornerstone Chemical Co.#^
|
9.38
|
3/15/2018
|
4,725,000
|
4,822,236
|
4,914,000
|
|||||||||
LSB Industries, Inc.#
|
7.75
|
8/1/2019
|
4,000,000
|
3,987,684
|
3,795,000
|
|||||||||
Omnova Solutions, Inc.#
|
7.88
|
11/1/2018
|
4,154,000
|
4,242,606
|
4,112,460
|
|||||||||
Pinnacle Operating Corp.#^
|
9.00
|
11/15/2020
|
2,635,000
|
2,641,488
|
2,555,950
|
|||||||||
TPC Group, Inc.#^
|
8.75
|
12/15/2020
|
8,398,000
|
8,413,825
|
7,180,290
|
|||||||||
Univar USA Inc.^
|
6.75
|
7/15/2023
|
2,172,000
|
2,172,000
|
2,014,530
|
|||||||||
Total Chemicals, Plastics and Rubber
|
40,615,000
|
40,932,909
|
37,185,788
|
|||||||||||
Containers, Packaging and Glass — 5.39%*:
|
||||||||||||||
Coveris Holdings S.A.#^
|
7.88
|
11/1/2019
|
7,600,000
|
7,655,001
|
7,201,000
|
|||||||||
Horizon Holdings+^
|
7.25
|
8/1/2023
|
3,750,000
|
4,116,582
|
4,199,993
|
|||||||||
Multi Packaging Solutions, Inc.#^
|
8.50
|
8/15/2021
|
6,105,000
|
6,132,568
|
6,333,938
|
|||||||||
Onex Wizard Acquisition Co+^
|
7.75
|
2/15/2023
|
3,600,000
|
4,134,082
|
4,123,228
|
|||||||||
Total Containers, Packaging and Glass
|
21,055,000
|
22,038,233
|
21,858,159
|
|||||||||||
Diversified/Conglomerate Manufacturing — 3.43%*:
|
||||||||||||||
Appvion Inc.#^
|
9.00
|
6/1/2020
|
13,200,000
|
13,416,714
|
6,600,000
|
|||||||||
Carlisle Transportation Products#^
|
8.25
|
12/15/2019
|
3,950,000
|
4,042,079
|
4,196,875
|
|||||||||
StoneMor Partners L.P.#
|
7.88
|
6/1/2021
|
3,000,000
|
2,944,274
|
3,082,500
|
|||||||||
Total Diversified/Conglomerate Manufacturing
|
20,150,000
|
20,403,067
|
13,879,375
|
|||||||||||
Diversified/Conglomerate Service — 1.64%*:
|
||||||||||||||
Carlson Travel Holdings Inc.#^
|
7.50
|
8/15/2019
|
2,690,000
|
2,725,787
|
2,696,725
|
|||||||||
Verisure Holdings#+^
|
6.47
|
9/1/2018
|
3,500,000
|
4,474,946
|
3,944,163
|
|||||||||
Total Diversified/Conglomerate Service
|
6,190,000
|
7,200,733
|
6,640,888
|
|||||||||||
Diversified Natural Resources, Precious Metals and Minerals — 0.83%*:
|
||||||||||||||
Lecta S.A.#+^
|
8.88
|
5/15/2019
|
1,090,000
|
1,418,992
|
1,291,660
|
|||||||||
Lecta S.A.#+^
|
5.49
|
5/15/2018
|
1,900,000
|
2,396,577
|
2,081,841
|
|||||||||
Total Diversified Natural Resources, Precious Metals and Minerals
|
2,990,000
|
3,815,569
|
3,373,501
|
|||||||||||
Electronics — 2.02%*:
|
||||||||||||||
International Wire Group, Inc.#^
|
8.50
|
10/15/2017
|
8,086,000
|
8,173,310
|
8,166,860
|
|||||||||
Total Electronics
|
8,086,000
|
8,173,310
|
8,166,860
|
|||||||||||
Farming and Agriculture — 0.42%*:
|
||||||||||||||
Chiquita Brands International Inc.#
|
7.88
|
2/1/2021
|
1,602,000
|
1,590,369
|
1,702,125
|
|||||||||
Total Farming and Agriculture
|
1,602,000
|
1,590,369
|
1,702,125
|
Finance — 10.15%*:
|
||||||||||||||
Cabot Financial+^
|
6.50
|
4/1/2021
|
300,000
|
$
|
494,821
|
$
|
443,476
|
|||||||
Cabot Financial#+^
|
10.38
|
10/1/2019
|
3,750,000
|
6,241,683
|
6,091,048
|
|||||||||
Equiniti Newco+^
|
7.13
|
12/15/2018
|
1,700,000
|
2,668,927
|
2,623,614
|
|||||||||
First Data Corp.#
|
11.25
|
1/15/2021
|
3,896,000
|
3,888,500
|
4,256,380
|
|||||||||
Galaxy Bidco Ltd.+^
|
6.38
|
11/15/2020
|
650,000
|
1,053,229
|
987,217
|
|||||||||
Galaxy Finco Ltd.+^
|
7.88
|
11/15/2021
|
3,900,000
|
6,351,890
|
5,811,209
|
|||||||||
Lowell Group Financing PLC#+^
|
10.75
|
4/1/2019
|
3,000,000
|
5,080,432
|
4,880,871
|
|||||||||
Lowell Group Financing PLC+^
|
5.88
|
4/1/2019
|
650,000
|
1,083,586
|
991,642
|
|||||||||
Marlin Financial+^
|
10.50
|
8/1/2020
|
1,850,000
|
2,939,147
|
3,078,436
|
|||||||||
National Financial Partners Corp.^
|
9.00
|
7/15/2021
|
1,720,000
|
1,711,400
|
1,659,800
|
|||||||||
TMF Group Holding+^
|
9.88
|
12/1/2019
|
5,000,000
|
6,261,653
|
5,923,145
|
|||||||||
Travelex+^
|
8.00
|
8/1/2018
|
2,800,000
|
4,347,230
|
4,383,935
|
|||||||||
Total Finance
|
29,216,000
|
42,122,498
|
41,130,773
|
|||||||||||
Grocery — 1.02%*:
|
||||||||||||||
Post Holdings^
|
7.75
|
3/15/2024
|
1,882,000
|
1,882,000
|
1,929,050
|
|||||||||
Post Holdings^
|
8.00
|
7/15/2025
|
1,232,000
|
1,232,000
|
1,268,960
|
|||||||||
Premier Foods Finance+^
|
6.50
|
3/15/2021
|
700,000
|
1,163,161
|
944,579
|
|||||||||
Total Grocery
|
3,814,000
|
4,277,161
|
4,142,589
|
|||||||||||
Healthcare, Education and Childcare — 10.46%*:
|
||||||||||||||
Cerba+^
|
8.25
|
2/1/2020
|
3,450,000
|
3,896,434
|
3,883,963
|
|||||||||
Cognita Financing+^
|
7.75
|
8/15/2021
|
1,900,000
|
2,967,127
|
2,917,328
|
|||||||||
Crown Newco PLC#+^
|
8.88
|
2/15/2019
|
6,600,000
|
10,867,589
|
10,308,600
|
|||||||||
Ephios Bondco PLC+^
|
6.25
|
7/1/2022
|
250,000
|
290,926
|
278,932
|
|||||||||
HomeVi SAS+^
|
6.88
|
8/15/2021
|
1,200,000
|
1,606,856
|
1,382,790
|
|||||||||
Kindred Healthcare, Inc.#^
|
8.75
|
1/15/2023
|
3,199,000
|
3,199,000
|
3,466,916
|
|||||||||
Prospect Medical Holdings Inc.#^
|
8.38
|
5/1/2019
|
5,000,000
|
5,061,814
|
5,225,000
|
|||||||||
Tenet Healthcare Corporation#
|
8.13
|
4/1/2022
|
3,700,000
|
3,700,000
|
3,932,730
|
|||||||||
Unilabs+^
|
7.25
|
7/15/2018
|
2,600,000
|
3,580,226
|
2,874,750
|
|||||||||
Unilabs+^
|
8.50
|
7/15/2018
|
2,450,000
|
3,205,638
|
2,833,462
|
|||||||||
Valeant^
|
6.13
|
4/15/2025
|
2,006,000
|
2,006,000
|
1,910,715
|
|||||||||
Valeant#+^
|
7.50
|
7/15/2021
|
3,260,000
|
3,260,000
|
3,357,800
|
|||||||||
Total Healthcare, Education and Childcare
|
35,615,000
|
43,641,610
|
42,372,986
|
|||||||||||
Hotels, Motels, Inns and Gaming — 0.79%*:
|
||||||||||||||
Gala Group Finance#+^
|
8.88
|
9/1/2018
|
2,025,000
|
3,254,289
|
3,204,221
|
|||||||||
Total Hotels, Motels, Inns and Gaming
|
2,025,000
|
3,254,289
|
3,204,221
|
|||||||||||
Insurance — 2.92%*:
|
||||||||||||||
Hastings Insurance Group+^
|
8.00
|
10/21/2020
|
3,550,000
|
5,718,312
|
5,724,680
|
|||||||||
Onex York Acquisition Corp.#^
|
8.50
|
10/1/2022
|
3,524,000
|
3,524,000
|
2,995,400
|
|||||||||
Towergate Finance PLC+^
|
8.50
|
3/2/2020
|
66,825
|
100,361
|
105,264
|
|||||||||
Towergate Finance PLC+^
|
8.75
|
4/2/2020
|
2,165,054
|
3,550,797
|
3,004,972
|
|||||||||
Total Insurance
|
9,305,879
|
12,893,470
|
11,830,316
|
|||||||||||
Leisure, Amusement, Motion Pictures and Entertainment — 3.45%*:
|
||||||||||||||
CPUK Finance Ltd+^
|
7.00
|
2/28/2042
|
2,100,000
|
3,277,154
|
3,176,764
|
|||||||||
Odeon & UCI Finco+^
|
9.00
|
8/1/2018
|
500,000
|
795,967
|
780,765
|
|||||||||
Palace Entertainment Holdings#^
|
8.88
|
4/15/2017
|
4,324,000
|
4,402,134
|
4,259,140
|
|||||||||
Vue Cinimas+^
|
7.88
|
7/15/2020
|
3,650,000
|
5,858,331
|
5,763,251
|
|||||||||
Total Leisure, Amusement, Motion Pictures and Entertainment
|
10,574,000
|
14,333,586
|
13,979,920
|
|||||||||||
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 1.92%*:
|
||||||||||||||
KM Germany Holding#+^
|
8.75
|
12/15/2020
|
1,160,000
|
1,501,268
|
1,380,391
|
|||||||||
|
Xerium Technologies#
|
8.88
|
6/15/2018
|
6,324,000
|
6,354,467
|
6,418,860
|
||||||||
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
|
7,484,000
|
7,855,735
|
7,799,251
|
|||||||||||
Mining, Steel, Iron and Non-Precious Metals — 2.62%*:
|
||||||||||||||
|
Constellium Holdco B.V.#^
|
7.00
|
1/15/2023
|
2,950,000
|
$
|
3,538,250
|
$
|
2,890,897
|
||||||
|
Hecla Mining Company#
|
6.88
|
5/1/2021
|
4,388,000
|
4,360,020
|
3,532,340
|
||||||||
|
Murray Energy Corp.^
|
11.25
|
4/15/2021 |
8,000,000
|
7,762,112
|
4,200,000
|
||||||||
Total Mining, Steel, Iron and Non-Precious Metals
|
15,338,000
|
15,660,382
|
10,623,237
|
|||||||||||
Oil and Gas — 16.06%*:
|
||||||||||||||
Baytex Energy Ltd.#+^
|
5.63
|
6/1/2024
|
4,000,000
|
3,293,858
|
3,160,000
|
|||||||||
Calumet Specialty Products#
|
7.63
|
1/15/2022
|
1,135,000
|
1,117,907
|
1,055,550
|
|||||||||
Calumet Specialty Products#
|
6.50
|
4/15/2021 |
6,000,000
|
5,929,892
|
5,400,000
|
|||||||||
CHC Helicopter#
|
9.38
|
6/1/2021
|
1,950,000
|
2,032,286
|
741,000
|
|||||||||
CITGO Holding Inc.#^
|
10.75
|
2/15/2020
|
7,584,000
|
7,403,811
|
7,413,360
|
|||||||||
Eclipse Resources Corp.^
|
8.88
|
7/15/2023
|
2,181,000
|
2,124,027
|
1,755,705
|
|||||||||
Ferrellgas Partners LP#
|
8.63
|
6/15/2020
|
7,135,000
|
7,032,300
|
7,135,000
|
|||||||||
Jupiter Resources Inc.#+^
|
8.50
|
10/1/2022
|
10,025,000
|
9,581,569
|
5,639,063
|
|||||||||
Kosmos Energy Ltd. #+^
|
7.88
|
8/1/2021
|
5,070,000
|
4,619,854
|
4,309,500
|
|||||||||
Kosmos Energy Ltd. #^
|
7.88
|
8/1/2021
|
1,085,000
|
1,003,550
|
922,250
|
|||||||||
Magnum Hunter Resources Corp.
|
9.75
|
5/15/2020
|
2,000,000
|
1,738,292
|
900,000
|
|||||||||
Millennium Offshore#+^
|
9.50
|
2/15/2018
|
6,000,000
|
6,000,000
|
5,116,302
|
|||||||||
Pbf Holding Company LLC#
|
8.25
|
2/15/2020
|
6,000,000
|
6,200,449
|
6,138,000
|
|||||||||
Pbf Logistics LP^
|
6.88
|
5/15/2023
|
1,117,000
|
1,117,000
|
968,998
|
|||||||||
Seventy Seven Energy Inc.^
|
6.50
|
7/15/2022
|
7,500,000
|
4,947,627
|
2,925,000
|
|||||||||
Topaz Marine SA#+^
|
8.63
|
11/1/2018
|
6,877,000
|
6,910,349
|
6,077,549
|
|||||||||
Welltec#+^
|
8.00
|
2/1/2019
|
5,951,000
|
6,029,596
|
5,400,533
|
|||||||||
Total Oil and Gas
|
81,610,000
|
77,082,367
|
65,057,810
|
|||||||||||
Personal, Food and Miscellaneous — 2.87%*:
|
||||||||||||||
Brake Brothers Acquisition PLC+^
|
7.13
|
12/15/2018
|
5,000,000
|
8,301,115
|
7,790,636
|
|||||||||
Carrols Corp.#
|
8.00
|
5/1/2022
|
709,000
|
733,856
|
746,223
|
|||||||||
Teamsystem S.P.A.+^
|
7.38
|
5/15/2020
|
2,680,000
|
3,549,312
|
3,085,984
|
|||||||||
Total Personal, Food and Miscellaneous
|
8,389,000
|
12,584,283
|
11,622,843
|
Printing and Publishing — 0.63%*:
|
||||||||||||||
Cimpress N.V.#^
|
7.00
|
4/1/2022
|
1,560,000
|
$
|
1,560,000
|
$
|
1,505,400
|
|||||||
McGraw-Hill Education^
|
8.50
|
8/1/2019
|
1,044,000
|
1,034,614
|
1,038,780
|
|||||||||
Total Printing and Publishing
|
2,604,000
|
2,594,614
|
2,544,180
|
|||||||||||
Retail Store — 4.26%*:
|
||||||||||||||
Boing Group Finance+^
|
6.63
|
7/15/2019
|
3,050,000
|
4,166,165
|
3,216,383
|
|||||||||
Brighthouse Group PLC#+^
|
7.88
|
5/15/2018
|
2,000,000
|
3,112,360
|
2,860,298
|
|||||||||
Douglas Holding+^
|
6.25
|
7/15/2022
|
2,150,000
|
2,401,644
|
2,480,838
|
|||||||||
HD Supply, Inc.#
|
11.50
|
7/15/2020
|
5,000,000
|
5,218,936
|
5,650,000
|
|||||||||
HSS Financing PLC+^
|
6.75
|
8/1/2019
|
306,000
|
506,522
|
454,221
|
|||||||||
Takko Fashion+^
|
9.88
|
4/15/2019
|
3,800,000
|
4,983,913
|
2,590,147
|
|||||||||
Total Retail Store
|
16,306,000
|
20,389,540
|
17,251,887
|
|||||||||||
Telecommunications — 2.53%*:
|
||||||||||||||
Altice Financing#+^
|
6.63
|
2/15/2023
|
661,000
|
661,000
|
635,799
|
|||||||||
Altice S.A.#+^
|
7.75
|
5/15/2022
|
3,240,000
|
3,240,000
|
2,948,400
|
|||||||||
Eircom Finance Ltd#+^
|
9.25
|
5/15/2020
|
1,450,000
|
2,126,000
|
1,736,947
|
|||||||||
Frontier Communications^
|
10.50
|
9/15/2022
|
1,706,000
|
1,706,000
|
1,663,350
|
|||||||||
Sprint Nextel Corporation#
|
7.25
|
9/15/2021
|
2,650,000
|
2,650,000
|
2,169,688
|
|||||||||
UPC Broadband+^
|
6.75
|
3/15/2023
|
430,000
|
454,018
|
473,768
|
|||||||||
Wind Acquisition+^
|
7.00
|
4/23/2021
|
550,000
|
758,861
|
613,037
|
|||||||||
Total Telecommunications
|
10,687,000
|
11,595,879
|
10,240,989
|
|||||||||||
Textiles & Leather — 0.58%*:
|
||||||||||||||
Perry Ellis International Inc#
|
7.88
|
4/1/2019
|
2,334,000
|
2,394,266
|
2,357,340
|
|||||||||
Total Textiles & Leather
|
2,334,000
|
2,394,266
|
2,357,340
|
|||||||||||
Total Corporate Bonds
|
430,023,879
|
481,304,886
|
442,647,055
|
|||||||||||
Total Fixed Income
|
545,063,102
|
591,723,026
|
525,142,553
|
|||||||||||
Other assets and liabilities — (29.62)%
|
(120,010,736)
|
|||||||||||||
Net Assets — 100%
|
$
|
405,131,817
|
||||||||||||
‡
|
The effective interest rates are based on settled commitment amount.
|
|||||||||||||
*
|
Calculated as a percentage of net assets applicable to common shareholders.
|
|||||||||||||
>
|
Defaulted security.
|
|||||||||||||
+
|
Foreign security.
|
|||||||||||||
#
|
All or a portion of the security is segregated as collateral for the credit facility. See Note 8 to the financial statements for further disclosure.
|
|||||||||||||
^
|
Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
|||||||||||||
§
|
Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at September 30, 2015. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.
|
|||||||||||||
Distributions of investments by country of risk. Percentage of assets are expressed by market value excluding cash and accrued income as of September 30, 2015.
|
||||||||||||||
|
United States
|
60.2%
|
||||||||||||
United Kingdom
|
20.3%
|
|||||||||||||
France
|
2.7%
|
|||||||||||||
Germany
|
2.5%
|
|||||||||||||
Canada
|
2.3%
|
|||||||||||||
Sweden
|
1.8%
|
|||||||||||||
Azerbaijan
|
1.2%
|
|||||||||||||
Netherlands
|
1.1%
|
|||||||||||||
Denmark
|
1.0%
|
|||||||||||||
(Individually less than 1%)
|
6.9%
|
|||||||||||||
100.0%
|
||||||||||||||
FORWARD FOREIGN EXCHANGE CONTRACTS at September 30, 2015 (Unaudited)
|
||||||
Counterparty
|
Currency
|
Contract Type
|
Delivery Date
|
Value
|
Aggregate Face
Value
|
Unrealized
Appreciation /
(Depreciation)
|
J.P. Morgan
|
||||||
British pounds
|
Buy
|
10/14/2015
|
$ 128,806
|
$ 128,575
|
$ (231)
|
|
British pounds
|
Sell
|
10/2/2015
|
(128,814)
|
(128,582)
|
232
|
|
British pounds
|
Sell
|
10/14/2015
|
(105,739,289)
|
(103,945,612)
|
1,793,677
|
|
Euros
|
Sell
|
10/14/2015
|
(68,045,725)
|
(68,129,804)
|
(84,079)
|
|
U.S. Dollars
|
Buy
|
10/2/2015
|
128,814
|
128,814
|
-
|
|
U.S. Dollars
|
Buy
|
10/14/2015
|
173,785,014
|
173,785,014
|
-
|
|
U.S. Dollars
|
Sell
|
10/14/2015
|
(128,806)
|
(128,806)
|
-
|
|
-
|
1,709,599
|
1,709,599
|
||||
Morgan Stanley
|
||||||
Euros
|
Buy
|
10/2/2015
|
$ 771,082
|
$ 771,030
|
$ (52)
|
|
Euros
|
Sell
|
10/14/2015
|
(771,211)
|
(771,164)
|
47
|
|
Swiss francs
|
Sell
|
10/14/115
|
(500,196)
|
(501,492)
|
(1,296)
|
|
U.S. Dollars
|
Buy
|
10/14/2015
|
1,271,407
|
1,271,407
|
-
|
|
U.S. Dollars
|
Sell
|
10/2/2015
|
(771,082)
|
(771,082)
|
-
|
|
-
|
(1,301)
|
(1,301)
|
||||
-
|
1,708,298
|
1,708,298
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total Investments
|
||||||||||||
Assets:
|
||||||||||||||||
Fixed Income:
|
||||||||||||||||
Bank Loans
|
$ | - | $ | 76,394,940 | $ | 6,100,558 | $ | 82,495,498 | ||||||||
Bonds
|
- | 442,647,055 | - | 442,647,055 | ||||||||||||
Total Fixed Income
|
$ | - | $ | 519,041,995 | $ | 6,100,558 | $ | 525,142,553 | ||||||||
Derivative Securities:
|
||||||||||||||||
Foreign Exchange Contracts:
|
$ | - | $ | 1,793,956 | $ | - | $ | 1,793,956 | ||||||||
Total Derivative Securities
|
- | 1,793,956 | - | 1,793,956 | ||||||||||||
Total Assets
|
$ | - | $ | 520,835,951 | $ | 6,100,558 | $ | 526,936,509 | ||||||||
Liabilities:
|
||||||||||||||||
Foreign Exchange Contracts
|
$ | - | $ | 85,658 | $ | - | $ | 85,658 | ||||||||
Total Liabilities:
|
$ | - | $ | 85,658 | $ | - | $ | 85,658 |
Type of Assets
|
Fair value as of September 30, 2015
|
Valuation Techniques(s)
|
Unobservable Input
|
|
|||
Second Lien
Term Loans
|
|||||||
Boomerang Tube, LLC
|
$ | 1,609,355 |
Market Comparables
|
Average of broker quotes for
comparable securities: $100.00;
Discount for lack of marketability: 1%.
|
|
||
Direct ChassisLink, Inc.
|
$ | 4,491,203 |
Market Comparables
|
Average of broker quotes for
comparable securities: $98.13;
Discount for lack of marketability: 1%.
|
.
|
Balance
as of
December 31, 2014
|
Purchases
|
Sales
|
Accretion
of
Discount
|
Net
Realized
Gain
(Loss)
|
Change in Unrealized Appreciation / Depreciation
|
Balance as
of
September 30, 2015
|
Change in Unrealized Appreciation / Depreciation
from
Investments
Held as of
September 30, 2015
|
|||||||||||||||||||||||||
Fixed Income
|
||||||||||||||||||||||||||||||||
Bank Loan
|
$ | 4,477,282 | $ | 1,609,355 | $ | (28,572 | ) | $ | (16,772 | ) | $ | 415 | $ | 58,850 | $ | 6,100,558 | $ | 58,850 |
Statement of Assets and
Liabilities Location
|
Fair Value
|
||||
Derivatives
|
|||||
Forward Foreign Exchange Contracts
|
Unrealized Appreciation
|
$ | 1,793,956 | ||
Total Asset Derivatives
|
$ | 1,793,956 | |||
Liability Derivatives
|
|||||
Forward Foreign Exchange Contracts
|
Unrealized Depreciation
|
$ | 85,658 | ||
Total Liability Derivatives
|
$ | 85,658 |
Forward Foreign
Exchange Contracts
|
|||||
Derivatives | |||||
Forward Foreign Exchange Contracts
|
$ | 6,956,867 | |||
Total
|
$ | 6,956,867 | |||
Change in Unrealized Appreciation/(Depreciation) on Derivatives |
|
||||
Forward Foreign
Exchange Contracts
|
|||||
Derivatives
|
|||||
Forward Foreign Exchange Contracts
|
$ | 462,732 | |||
Total
|
$ | 462,732 |
J.P. MORGAN
|
MORGAN
STANLEY
|
|||||||
Assets:
|
||||||||
Forward foreign exchange contracts
|
$ | 1,793,909 | $ | 47 | ||||
Total Assets
|
$ | 1,793,909 | $ | 47 | ||||
Liabilities:
|
||||||||
Forward foreign exchange contracts
|
$ | 84,310 | $ | 1,348 | ||||
Total Liabilities
|
$ | 84,310 | $ | 1,348 | ||||
Net Exposure
|
$ | 1,709,599 | $ | (1,301 | ) |
(a)
|
The Registrant’s President and Treasurer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
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