Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
February 28 2025 - 1:32PM
Edgar (US Regulatory)
STATEMENT OF INVESTMENTS
December 31, 2024 (Unaudited)
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Clear Channel Outdoor
Holdings, Inc., Sr. Scd.
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Clear Channel Outdoor
Holdings, Inc., Sr. Scd.
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Neptune BidCo US, Inc., Sr.
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Aerospace & Defense — 3.2%
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AAR Escrow Issuer LLC, Gtd.
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Bombardier, Inc., Sr. Unscd.
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Bombardier, Inc., Sr. Unscd.
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Goat Holdco LLC, Sr. Scd.
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TransDigm, Inc., Gtd. Notes(c)
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TransDigm, Inc., Sr. Scd.
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TransDigm, Inc., Sr. Scd.
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TransDigm, Inc., Sr. Scd.
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TransDigm, Inc., Sr. Scd.
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TransDigm, Inc., Sr. Scd.
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American Airlines,
Inc./Aadvantage Loyalty IP
Ltd., Sr. Scd. Notes(b),(c)
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JetBlue Airways Corp./JetBlue
Loyalty LP, Sr. Scd.
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STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Bonds and Notes — 116.1% (continued)
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Automobiles & Components — 1.1%
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IHO Verwaltungs GmbH, Sr.
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Real Hero Merger Sub 2, Inc.,
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Citigroup, Inc., Jr. Sub. Notes,
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Freedom Mortgage Corp., Sr.
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Building Materials — 3.3%
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Builders FirstSource, Inc., Gtd.
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Camelot Return Merger Sub,
Inc., Sr. Scd. Notes(b),(c)
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Cornerstone Building Brands,
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Eco Material Technologies,
Inc., Sr. Scd. Notes(b),(c)
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EMRLD Borrower LP/Emerald
Co-Issuer, Inc., Sr. Scd.
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Miter Brands Acquisition
Holdco, Inc./MIWD
Borrower LLC, Sr. Scd.
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Standard Industries, Inc., Sr.
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Celanese US Holdings LLC,
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Italmatch Chemicals SpA, Sr.
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Mativ Holdings, Inc., Sr. Unscd.
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NOVA Chemicals Corp., Sr.
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Bonds and Notes — 116.1% (continued)
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Chemicals — 3.7% (continued)
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Olympus Water US Holding
Corp., Sr. Scd. Notes(b),(c)
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Rain Carbon, Inc., Sr. Scd.
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WR Grace Holdings LLC, Sr.
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Collateralized Loan Obligations Debt — 2.5%
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Crown Point 8 Ltd. CLO, Ser.
2019-8A, Cl. ER, (3 Month
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Diameter Capital CLO 3 Ltd.,
Ser. 2022-3A, Cl. DR,
(3 Month TSFR
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Northwoods Capital 27 Ltd.
CLO, Ser. 2021-27A, Cl. E,
(3 Month TSFR
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Rockford Tower Ltd. CLO, Ser.
2022-2A, Cl. ER, (3 Month
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Trimaran Cavu Ltd., Ser. 2019-
1A, Cl. ER, (3 Month TSFR
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Commercial & Professional Services — 7.0%
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Adtalem Global Education,
Inc., Sr. Scd. Notes(b),(c)
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Albion Financing
1 Sarl/Aggreko Holdings,
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Albion Financing 2 Sarl, Sr.
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Allied Universal Holdco
LLC/Allied Universal
Finance Corp., Sr. Unscd.
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STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Bonds and Notes — 116.1% (continued)
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Commercial & Professional Services — 7.0% (continued)
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Allied Universal Holdco
LLC/Allied Universal
Finance Corp./Atlas Luxco
4 Sarl, Sr. Scd. Bonds(b)
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Belron UK Finance PLC, Sr.
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Herc Holdings, Inc., Gtd.
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House of HR Group BV, Sr. Scd.
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Prime Security Services
Borrower LLC/Prime
Finance, Inc., Scd.
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Raven Acquisition Holdings
LLC, Sr. Scd. Notes(b),(c)
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Shift4 Payments
LLC/Shift4 Payments
Finance Sub, Inc., Gtd.
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United Rentals North America,
Inc., Gtd. Notes
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Verisure Midholding AB, Gtd.
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Veritiv Operating Co., Sr. Scd.
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Wand NewCo 3, Inc., Sr. Scd.
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Consumer Discretionary — 5.2%
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Allwyn Entertainment
Financing UK PLC, Sr. Scd.
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Ashton Woods USA
LLC/Ashton Woods Finance
Co., Sr. Unscd. Notes(b),(c)
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Carnival Corp., Gtd. Notes(b),(c)
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Dealer Tire LLC/DT
Issuer LLC, Sr. Unscd.
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Hilton Domestic Operating Co.,
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Bonds and Notes — 116.1% (continued)
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Consumer Discretionary — 5.2% (continued)
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Hilton Domestic Operating Co.,
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International Game
Technology PLC, Sr. Scd.
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Midwest Gaming Borrower
LLC/Midwest Gaming
Finance Corp., Sr. Scd.
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Royal Caribbean Cruises Ltd.,
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Station Casinos LLC, Gtd.
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Viking Ocean Cruises Ship VII
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Consumer Durables & Apparel — .3%
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S&S Holdings, Sr. Scd. Notes(b)
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Diversified Financials — 8.1%
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Ally Financial, Inc., Sub. Notes
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Encore Capital Group, Inc., Sr.
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Freedom Mortgage Holdings
LLC, Sr. Unscd. Notes(b),(c)
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Garfunkelux Holdco 3 SA, Sr.
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Icahn Enterprises LP/Icahn
Enterprises Finance Corp.,
Gtd. Notes
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Icahn Enterprises LP/Icahn
Enterprises Finance Corp.,
Gtd. Notes
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Icahn Enterprises LP/Icahn
Enterprises Finance Corp.,
Sr. Scd. Notes
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STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Bonds and Notes — 116.1% (continued)
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Diversified Financials — 8.1% (continued)
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Jane Street Group/JSG
Finance, Inc., Sr. Scd.
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Jane Street Group/JSG
Finance, Inc., Sr. Scd.
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Nationstar Mortgage Holdings,
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Nationstar Mortgage Holdings,
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Navient Corp., Sr. Unscd.
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OneMain Finance Corp., Gtd.
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OneMain Finance Corp., Gtd.
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PennyMac Financial Services,
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PennyMac Financial Services,
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PHH Escrow Issuer LLC, Sr.
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Rocket Mortgage LLC/Rocket
Mortgage Co-Issuer, Inc.,
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VFH Parent LLC/Valor Co-
Issuer, Inc., Sr. Scd.
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Electronic Components — .9%
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Sensata Technologies BV, Gtd.
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WESCO Distribution, Inc., Gtd.
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Aethon United BR LP/Aethon
United Finance Corp., Sr.
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Antero Resources Corp., Gtd.
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Bonds and Notes — 116.1% (continued)
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Energy — 14.3% (continued)
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Blue Racer Midstream
LLC/Blue Racer Finance
Corp., Sr. Unscd. Notes(b),(c)
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CITGO Petroleum Corp., Sr.
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Comstock Resources, Inc., Gtd.
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CQP Holdco LP/BIP-V Chinook
Holdco LLC, Sr. Scd.
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Encino Acquisition Partners
Holdings LLC, Gtd.
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Encino Acquisition Partners
Holdings LLC, Sr. Unscd.
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Energy Transfer LP, Jr. Sub.
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Gulfport Energy Operating
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Kraken Oil & Gas Partners
LLC, Sr. Unscd. Notes(b),(c)
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Matador Resources Co., Gtd.
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Moss Creek Resources
Holdings, Inc., Sr. Unscd.
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Noble Finance II LLC, Gtd.
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Northern Oil & Gas, Inc., Sr.
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Northriver Midstream Finance
LP, Sr. Scd. Notes(b),(c)
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Rockies Express Pipeline LLC,
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Sitio Royalties Operating
Partnership LP/Sitio
Finance Corp., Sr. Unscd.
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SM Energy Co., Sr. Unscd.
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STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Bonds and Notes — 116.1% (continued)
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Energy — 14.3% (continued)
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SM Energy Co., Sr. Unscd.
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Solaris Midstream Holdings
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Tallgrass Energy Partners
LP/Tallgrass Energy
Finance Corp., Gtd. Notes(b)
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TGNR Intermediate Holdings
LLC, Sr. Unscd. Notes(b),(c)
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Venture Global Calcasieu Pass
LLC, Sr. Scd. Notes(b),(c)
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Venture Global Calcasieu Pass
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Venture Global LNG, Inc., Sr.
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Venture Global LNG, Inc., Sr.
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Environmental Control — .7%
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Madison IAQ LLC, Sr. Unscd.
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Reworld Holding Corp., Gtd.
Notes
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Bellis Acquisition Co. PLC, Sr.
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Chobani LLC/Chobani Finance
Corp., Inc., Sr. Scd. Notes(b)
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Fiesta Purchaser, Inc., Sr. Scd.
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Fiesta Purchaser, Inc., Sr.
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Pilgrim’s Pride Corp., Gtd.
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Post Holdings, Inc., Gtd.
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Bonds and Notes — 116.1% (continued)
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Food Products — 3.4% (continued)
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Post Holdings, Inc., Gtd.
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Simmons Foods,
Inc./Simmons Prepared
Foods, Inc./Simmons Pet
Food, Inc./Simmons Feed
Ingredients, Inc., Scd.
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Bausch Health Cos., Inc., Gtd.
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Bausch Health Cos., Inc., Sr.
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Cerba Healthcare SACA, Sr.
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CHEPLAPHARM Arzneimittel
GmbH, Sr. Scd. Notes(b),(c)
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CHS/Community Health
Systems, Inc., Scd.
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CHS/Community Health
Systems, Inc., Sr. Scd.
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CHS/Community Health
Systems, Inc., Sr. Scd.
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Cidron Aida Finco Sarl, Sr. Scd.
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Global Medical Response, Inc.,
Sr. Scd. Notes(b),(c),(d)
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LifePoint Health, Inc., Sr. Scd.
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LifePoint Health, Inc., Sr.
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Medline Borrower LP, Sr. Scd.
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STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Bonds and Notes — 116.1% (continued)
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Health Care — 10.4% (continued)
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Option Care Health, Inc., Gtd.
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Organon & Co./Organon
Foreign Debt Co-Issuer BV,
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Organon & Co./Organon
Foreign Debt Co-Issuer BV,
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Radiology Partners, Inc., Scd.
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Radiology Partners, Inc., Sr.
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Ray Financing LLC, Sr. Scd.
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Select Medical Corp., Gtd.
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Sotera Health Holdings LLC,
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Surgery Center Holdings, Inc.,
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Tenet Healthcare Corp., Sr.
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Tenet Healthcare Corp., Sr.
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US Acute Care Solutions LLC,
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Artera Services LLC, Sr. Scd.
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Assemblin Caverion Group AB,
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Chart Industries, Inc., Sr. Scd.
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Dycom Industries, Inc., Gtd.
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Dynamo Newco II GmbH, Sr.
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GrafTech Finance, Inc., Sr. Scd.
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Bonds and Notes — 116.1% (continued)
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Industrial — 3.6% (continued)
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Husky Injection Molding
Systems Ltd. /Titan Co-
Borrower LLC, Sr. Scd.
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Mangrove Luxco III Sarl, Sr.
Scd. Bonds, (3 Month
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TK Elevator US Newco, Inc., Sr.
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Information Technology — 4.4%
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AthenaHealth Group, Inc., Sr.
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Cloud Software Group, Inc.,
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Cloud Software Group, Inc., Sr.
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Ellucian Holdings, Inc., Sr. Scd.
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SS&C Technologies, Inc., Gtd.
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SS&C Technologies, Inc., Gtd.
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UKG, Inc., Sr. Scd. Notes(b),(c)
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Acrisure LLC/Acrisure Finance,
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Acrisure LLC/Acrisure Finance,
Inc., Sr. Unscd. Notes(b),(c)
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Alliant Holdings Intermediate
LLC/Alliant Holdings Co-
Issuer, Sr. Scd. Notes(b),(c)
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Alliant Holdings Intermediate
LLC/Alliant Holdings Co-
Issuer, Sr. Scd. Notes(b),(c)
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Alliant Holdings Intermediate
LLC/Alliant Holdings Co-
Issuer, Sr. Unscd. Notes(b),(c)
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STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Bonds and Notes — 116.1% (continued)
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Insurance — 3.4% (continued)
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Ardonagh Finco Ltd., Sr. Scd.
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Ardonagh Finco Ltd., Sr. Scd.
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Ardonagh Group Finance Ltd.,
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Howden UK Refinance
PLC/Howden UK Refinance
2 PLC/Howden US
Refinance LLC, Sr. Scd.
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HUB International Ltd., Sr. Scd.
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Panther Escrow Issuer LLC, Sr.
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Internet Software & Services — 1.1%
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Arches Buyer, Inc., Sr. Scd.
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Arches Buyer, Inc., Sr. Unscd.
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Cogent Communications
Group LLC, Gtd. Notes(b),(c)
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Match Group Holdings II LLC,
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Clydesdale Acquisition
Holdings, Inc., Gtd.
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Clydesdale Acquisition
Holdings, Inc., Sr. Scd.
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Mauser Packaging Solutions
Holding Co., Scd. Notes(b)
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Bonds and Notes — 116.1% (continued)
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Materials — 2.8% (continued)
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Mauser Packaging Solutions
Holding Co., Sr. Scd.
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CCO Holdings LLC/CCO
Holdings Capital Corp., Sr.
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CCO Holdings LLC/CCO
Holdings Capital Corp., Sr.
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CCO Holdings LLC/CCO
Holdings Capital Corp., Sr.
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CCO Holdings LLC/CCO
Holdings Capital Corp., Sr.
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Charter Communications
Operating LLC/Charter
Communications Operating
Capital Corp., Sr. Scd.
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|
|
|
|
|
|
|
|
|
|
|
|
CSC Holdings LLC, Sr. Unscd.
|
|
|
|
|
|
DISH Network Corp., Sr. Scd.
|
|
|
|
|
|
Paramount Global, Sr. Unscd.
|
|
|
|
|
|
Scripps Escrow, Inc., Gtd.
|
|
|
|
|
|
Sunrise FinCo I BV, Sr. Scd.
|
|
|
|
|
|
Virgin Media Finance PLC, Gtd.
|
|
|
|
|
|
STATEMENT OF INVESTMENTS (Unaudited) (continued)
|
|
|
|
|
|
|
Bonds and Notes — 116.1% (continued)
|
|
|
Virgin Media Secured Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arsenal AIC Parent LLC, Sr.
|
|
|
|
|
|
Cleveland-Cliffs, Inc., Gtd.
|
|
|
|
|
|
Cleveland-Cliffs, Inc., Gtd.
|
|
|
|
|
|
Compass Minerals
International, Inc., Gtd.
|
|
|
|
|
|
First Quantum Minerals Ltd.,
|
|
|
|
|
|
FMG Resources August
2006 Pty Ltd., Sr. Unscd.
|
|
|
|
|
|
Samarco Mineracao SA, Sr.
|
|
|
|
|
|
Samarco Mineracao SA, Sr.
|
|
|
|
|
|
Taseko Mines Ltd., Sr. Scd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anywhere Real Estate Group
LLC/Anywhere Co-
Issuer Corp., Scd. Notes(b),(c)
|
|
|
|
|
|
Emeria SASU, Sr. Scd. Bonds(b)
|
|
|
|
|
|
Greystar Real Estate Partners
LLC, Sr. Scd. Notes(b),(c)
|
|
|
|
|
|
Iron Mountain, Inc., Gtd.
|
|
|
|
|
|
Ladder Capital Finance
Holdings LLP / Ladder
Capital Finance Corp., Gtd.
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds and Notes — 116.1% (continued)
|
Real Estate — 5.7% (continued)
|
Park Intermediate Holdings
LLC/PK Domestic Property
LLC/PK Finance Co-Issuer,
|
|
|
|
|
|
RHP Hotel Properties LP/RHP
Finance Corp., Gtd.
|
|
|
|
|
|
Rithm Capital Corp., Sr. Unscd.
|
|
|
|
|
|
RLJ Lodging Trust LP, Sr. Scd.
|
|
|
|
|
|
Starwood Property Trust, Inc.,
|
|
|
|
|
|
Uniti Group LP/Uniti Group
Finance, Inc./CSL Capital
LLC, Sr. Scd. Notes(b),(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beacon Roofing Supply, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fertitta Entertainment
LLC/Fertitta Entertainment
Finance Co., Inc., Gtd.
|
|
|
|
|
|
Fertitta Entertainment
LLC/Fertitta Entertainment
Finance Co., Inc., Sr. Scd.
|
|
|
|
|
|
Foundation Building
Materials, Inc., Gtd.
|
|
|
|
|
|
PetSmart, Inc./PetSmart
Finance Corp., Sr. Scd.
|
|
|
|
|
|
STATEMENT OF INVESTMENTS (Unaudited) (continued)
|
|
|
|
|
|
|
Bonds and Notes — 116.1% (continued)
|
Retailing — 3.3% (continued)
|
Specialty Building Products
Holdings LLC/SBP Finance
Corp., Sr. Scd. Notes(b),(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 1.0%
|
Entegris, Inc., Gtd. Notes(b),(c)
|
|
|
|
|
|
Synaptics, Inc., Gtd. Notes(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware & Equipment — .5%
|
Virtusa Corp., Sr. Unscd.
|
|
|
|
|
|
Telecommunication Services — 7.9%
|
Altice Financing SA, Sr. Scd.
|
|
|
|
|
|
Altice France SA, Sr. Scd.
|
|
|
|
|
|
C&W Senior Finance Ltd., Sr.
|
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated
Communications, Inc., Sr.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Frontier Communications
Holdings LLC, Scd. Notes
|
|
|
|
|
|
Frontier Communications
Holdings LLC, Scd. Notes(b)
|
|
|
|
|
|
Frontier Communications
Holdings LLC, Scd.
|
|
|
|
|
|
Frontier Communications
Holdings LLC, Sr. Scd.
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds and Notes — 116.1% (continued)
|
Telecommunication Services — 7.9% (continued)
|
Frontier Communications
Holdings LLC, Sr. Scd.
|
|
|
|
|
|
Iliad Holding SASU, Sr. Scd.
|
|
|
|
|
|
Iliad Holding SASU, Sr. Scd.
|
|
|
|
|
|
Level 3 Financing, Inc., Scd.
|
|
|
|
|
|
Level 3 Financing, Inc., Sr. Scd.
|
|
|
|
|
|
Level 3 Financing, Inc., Sr. Scd.
|
|
|
|
|
|
Lumen Technologies, Inc., Sr.
|
|
|
|
|
|
Lumen Technologies, Inc., Sr.
|
|
|
|
|
|
Lumen Technologies, Inc., Sr.
Unscd. Bonds, Ser. P
|
|
|
|
|
|
Optics BidCo SpA, Sr. Scd.
|
|
|
|
|
|
Windstream Escrow
LLC/Windstream Escrow
Finance Corp., Sr. Scd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California Buyer
Ltd./Atlantica Sustainable
Infrastructure PLC, Sr.
|
|
|
|
|
|
Calpine Corp., Sr. Unscd.
|
|
|
|
|
|
Calpine Corp., Sr. Unscd.
|
|
|
|
|
|
Clearway Energy Operating
|
|
|
|
|
|
NextEra Energy Operating
Partners LP, Gtd. Notes(b),(c)
|
|
|
|
|
|
NextEra Energy Operating
Partners LP, Sr. Unscd.
|
|
|
|
|
|
STATEMENT OF INVESTMENTS (Unaudited) (continued)
|
|
|
|
|
|
|
Bonds and Notes — 116.1% (continued)
|
Utilities — 5.4% (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NRG Energy, Inc., Jr. Sub.
|
|
|
|
|
|
PG&E Corp., Sr. Scd. Notes(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
Vistra Operations Co. LLC, Gtd.
|
|
|
|
|
|
Vistra Operations Co. LLC, Gtd.
|
|
|
|
|
|
Vistra Operations Co. LLC, Gtd.
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Bonds and Notes
(cost $227,192,797)
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests — 17.3%
|
|
|
|
|
Neptune BidCo US, Inc., Term Loan
B, (3 Month SOFR +5.10%)(f)
|
|
|
|
|
|
|
|
|
|
JetBlue Airways Corp., Initial Term
Loan, (3 Month SOFR +5.50%)(f)
|
|
|
|
|
|
Automobiles & Components — .8%
|
|
|
First Brands Group LLC, 2021 First
Lien Term Loan, (3 Month SOFR
|
|
|
|
|
|
First Brands Group LLC,
2022 Incremental Term Loan,
|
|
|
|
|
|
IXS Holdings, Inc., Initial Term
Loan, (3 Month SOFR +4.35%)(f)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hexion Holdings Corp.,
2024 Refinancing Term Loan,
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests — 17.3% (continued)
|
Commercial & Professional Services — 1.5%
|
|
|
Albion Financing 3 Sarl, 2024 New
Amended USD Term Loan,
|
|
|
|
|
|
American Auto Auction Group LLC,
Tranche Term Loan B, (3 Month
|
|
|
|
|
|
Catawba Nation Gaming Authority,
Term Loan B, (1 Month SOFR
|
|
|
|
|
|
Envalior Finance GmbH, Facility
Term Loan B-1, (3 Month SOFR
|
|
|
|
|
|
Vaco Holdings LLC, Initial Term
Loan, (3 Month SOFR +5.00%)(f)
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary — .2%
|
|
|
Fitness International LLC, Term
Loan B, (1 Month SOFR
|
|
|
|
|
|
Diversified Financials — .9%
|
|
|
Blackhawk Network Holdings, Inc.,
Term Loan B, (1 Month SOFR
|
|
|
|
|
|
Nexus Buyer LLC, Refinancing
Term Loan, (1 Month SOFR
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WaterBridge Midstream Operating
LLC, Term Loan B, (3 Month
|
|
|
|
|
|
WaterBridge NDB Operating LLC,
Initial Term Loan, (3 Month
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Jump Financial LLC, Term Loan,
|
|
|
|
|
|
STATEMENT OF INVESTMENTS (Unaudited) (continued)
|
|
|
|
|
|
|
Floating Rate Loan Interests — 17.3% (continued)
|
|
|
|
|
Golden State Foods LLC, Initial
Term Loan, (1 Month SOFR
|
|
|
|
|
|
Max US BidCo, Inc., Initial Term
Loan, (1 Month SOFR +5.00%)(f)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Alvogen Pharma US, Inc., 2022 New
Extended Term Loan, (1 Month
|
|
|
|
|
|
Bella Holding Co. LLC, First Lien
Initial Term Loan, (1 Month
|
|
|
|
|
|
Inovie SASU, Senior Facility Term
Loan B, (3 Month EURIBOR
|
|
|
|
|
|
Radiology Partners, Inc., Term
Loan C, (2 Month SOFR
|
|
|
|
|
|
Team Health Holdings, Inc.,
Extended Term Loan, (3 Month
|
|
|
|
|
|
US Anesthesia Partners, Inc., Initial
Term Loan, (1 Month SOFR
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GrafTech Global Enterprises, Inc.,
Delayed Draw Term Loan,
(1 Month SOFR +6.00%)(f),(g)
|
|
|
|
|
|
GrafTech Global Enterprises, Inc.,
Initial Term Loan, (1 Month
|
|
|
|
|
|
Revere Power LLC, Term Loan B,
|
|
|
|
|
|
Revere Power LLC, Term Loan C,
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests — 17.3% (continued)
|
Industrial — 1.3%(continued)
|
|
|
Swissport Stratosphere USA LLC,
USD Facility Term Loan B-2,
|
|
|
|
|
|
Victory Buyer LLC, Initial Term
Loan, (1 Month SOFR +3.86%)(f)
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology — 1.9%
|
|
|
Ascend Learning LLC, Second Lien
Initial Term Loan, (1 Month
|
|
|
|
|
|
HS Purchaser LLC, First Lien 7th
Amendment Refinancing Term
Loan, (1-3 Month SOFR
|
|
|
|
|
|
Inmar, Inc., Initial Term Loan, (1-
|
|
|
|
|
|
Polaris Newco LLC, First Lien Euro
Term Loan, (3 Month EURIBOR
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OneDigital Borrower LLC, Second
Lien Initial Term Loan, (1 Month
|
|
|
|
|
|
Internet Software & Services — .9%
|
|
|
MH Sub I LLC, 2023 May New Term
Loan, (1 Month SOFR +4.25%)(f)
|
|
|
|
|
|
MH Sub I LLC, 2023 May New Term
Loan, (1 Month SOFR +6.25%)(f)
|
|
|
|
|
|
StubHub Holdco Sub LLC, USD
Extended Term Loan B, (1 Month
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LABL, Inc., Initial Euro Term Loan,
(1 Month EURIBOR +5.00%)(f)
|
|
|
|
|
|
STATEMENT OF INVESTMENTS (Unaudited) (continued)
|
|
|
|
|
|
|
Floating Rate Loan Interests — 17.3% (continued)
|
|
|
|
|
DIRECTV Financing LLC, Closing
Date Term Loan, (3 Month SOFR
|
|
|
|
|
|
Gray Television, Inc, Term Loan F,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CoreLogic, Inc., First Lien Initial
Term Loan, (1 Month SOFR
|
|
|
|
|
|
|
|
|
|
Staples, Inc., Closing Date Term
Loan, (2 Month SOFR +5.75%)(f)
|
|
|
|
|
|
Technology Hardware & Equipment — 1.4%
|
|
|
Clover Holdings 2 LLC, Initial
Floating Rate Term Loan,
|
|
|
|
|
|
Indy US Holdco LLC, Ninth
Amendment Dollar Term Loan,
|
|
|
|
|
|
Peraton Corp., First Lien Term
Loan B, (1 Month SOFR
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services — .7%
|
|
|
Lumen Technologies, Inc., Term
Loan B-2, (1 Month SOFR
|
|
|
|
|
|
Zayo Group Holdings, Inc., Initial
Dollar Term Loan, (1 Month
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PODS LLC, Term Loan, (3 Month
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests — 17.3% (continued)
|
|
|
|
|
Nautilus Power LLC, Term Loan B,
|
|
|
|
|
|
Total Floating Rate Loan
Interests
(cost $34,233,541)
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Funds — 1.1%
|
Registered Investment Companies — 1.1%
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
|
|
|
|
|
iShares iBoxx $ Investment Grade Corporate Bond ETF
|
|
|
|
|
|
SPDR Bloomberg High Yield Bond ETF
|
|
|
|
|
|
Total Exchange-Traded Funds
(cost $2,153,790)
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Companies — 1.3%
|
Registered Investment Companies — 1.3%
|
Dreyfus Institutional Preferred Government
Plus Money Market Fund, Institutional
(cost $2,532,427)
|
|
|
|
|
|
Total Investments (cost $266,112,555)
|
|
|
|
|
|
Liabilities, Less Cash and Receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EURIBOR—Euro Interbank Offered Rate
|
|
|
SOFR—Secured Overnight Financing Rate
|
SPDR—Standard & Poor’s Depository Receipt
|
TSFR—Term Secured Overnight Financing Rate Reference Rates
|
|
|
|
|
Amount stated in U.S. Dollars unless otherwise noted above.
|
|
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At
December 31, 2024, these securities amounted to $211,424,134 or 106.3% of net assets
applicable to
Common Stockholders.
|
|
|
Security, or a portion thereof, has been pledged as collateral for the Fund’s Revolving Credit and Security
Agreement.
|
|
|
Payment-in-kind security and interest may be paid in additional par.
|
STATEMENT OF INVESTMENTS (Unaudited) (continued)
|
|
Security is a perpetual bond with no specified maturity date. Maturity date shown
is next reset date of the
bond.
|
|
|
Variable rate security—Interest rate resets periodically and the rate shown is the interest rate in effect at
period end. Security description also includes the reference rate and spread if published
and available.
|
|
|
Investment, or portion of investment, represents an unfunded floating note loan interest
outstanding.
|
|
|
Investment in affiliated issuer. The investment objective of this investment company
is publicly available
and can be found within the investment company’s prospectus.
|
Forward Foreign Currency Exchange Contracts
|
Counterparty/
Purchased
Currency
|
Purchased
Currency
Amounts
|
|
|
|
Unrealized
Appreciation ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Unrealized Appreciation
|
|
See notes to statement of investments.
Statement of Investments
BNY Mellon High Yield Strategies Fund
December 31, 2024 (Unaudited)
The following is a summary of the inputs used as of December 31, 2024 in valuing the
fund’s investments:
|
|
Level 1 -
Unadjusted
Quoted Prices
|
Level 2- Other
Significant
Observable Inputs
|
Level 3-
Significant
Unobservable
Inputs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Loan
Obligations
|
|
|
|
|
Corporate Bonds and
Notes
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan
Interests
|
|
|
|
|
|
|
|
|
|
|
Other Financial
Instruments:
|
|
|
|
|
Forward Foreign
Currency Exchange
|
|
|
|
|
|
|
See Statement of Investments for additional detailed categorizations, if any.
|
|
|
Amount shown represents unrealized appreciation (depreciation) at period end.
|
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.
The fund is an investment company and applies the accounting and reporting guidance of
the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell
an asset or paid to transfer a liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that
prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs
(Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity
in a market has decreased significantly and whether such a decrease in activity results
in transactions that are not orderly. GAAP requires enhanced disclosures around valuation
inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication
of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level
within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The fund’s Board of Trustees (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Investments in debt securities and floating rate loan interests, excluding short-term
investments (other than U.S. Treasury Bills) and forward foreign currency exchange
contracts (“forward contracts”), are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market
in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained
by a Service from dealers in such securities) and asked prices (as calculated by a Service
based upon its evaluation of the market for such securities). Securities are valued as determined
by a Service, based on methods which include consideration of the following: yields
or prices of securities of comparable quality, coupon, maturity and type; indications
as to values from dealers; and general market conditions. The Services are engaged under
the general supervision of the Board. These securities are generally categorized within
Level 2 of the fair value hierarchy.
Investments in equity securities and exchange-traded funds are valued at the last
sales price on the securities exchange or national securities market on which such securities
are primarily traded. Securities listed on the National Market System for which market
quotations are available are valued at the official closing price or, if there is
no official closing price that day, at the last sales price. For open short positions, asked prices
are used for valuation purposes. Bid price is used when no asked price is available. Registered
investment companies that are not traded on an exchange are valued at their net asset
value. All of the preceding securities are generally categorized within Level 1 of
the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities
for which there were no transactions, are valued at the average of the most recent bid
and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid
prices and asked prices by the Service. These securities are generally categorized within
Level 2 of the fair value hierarchy.
Fair valuing of securities may be determined with the assistance of a Service using
calculations based on indices of domestic securities and other appropriate indicators,
such as prices of relevant American Depositary Receipts and futures. Utilizing these techniques
may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are
determined not to accurately reflect fair value, such as when the value of a security
has been significantly affected by events after the close of the exchange or market on which
the security is principally traded (for example, a foreign exchange or market), but before
the fund calculates its net asset value, the fund may value these investments at fair
value as determined in accordance with the procedures approved by the Board. Certain factors
may be considered when fair valuing investments such as: fundamental analytical data,
the nature and duration of restrictions on disposition, an evaluation of the forces that
influence the market in which the securities are purchased and sold, and public trading
in
similar securities of the issuer or comparable issuers. These securities are either
categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity
and risk are used and such securities are generally categorized within Level 3 of the
fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the
prevailing rates of exchange.
Forward contracts are valued at the forward rate and are generally categorized within
Level 2 of the fair value hierarchy.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest
on the loans adjust periodically by reference to a base lending rate, plus a premium or credit
spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not
to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series
or tranche may have varying terms and carry different associated risks.
The fund may enter into certain credit agreements all or a portion of which may be
unfunded. The fund is obligated to fund these commitments at the borrower’s discretion. The commitments are disclosed in the accompanying Statement of Investments. At December 31, 2024, the fund had sufficient cash and/or securities to cover these commitments.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by
the fund at December 31, 2024 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its
foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment
strategy. When executing forward contracts, the fund is obligated to buy or sell a
foreign currency at a specified rate on a certain date in the future. With respect to sales
of forward contracts, the fund incurs a loss if the value of the contract increases between the
date the forward contract is opened and the date the forward contract is closed. The fund realizes
a gain if the value of the contract decreases between those dates. With respect to purchases
of forward contracts, the fund incurs a loss if the value of the contract decreases between
the date the forward contract is opened and the date the forward contract is closed. The
fund realizes a gain if the value of the contract increases between those dates. Any realized
or unrealized gains or losses which occurred during the period are reflected in the Statement
of Operations. The fund is exposed to foreign currency risk as a result of changes
in value of underlying financial instruments. The fund is also exposed to credit risk associated
with
counterparty non-performance on these forward contracts, which is generally limited
to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral,
if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at December 31, 2024 are set forth in the Statement of Investments.
At December 31, 2024, accumulated net unrealized appreciation on investments inclusive
of derivative contracts was $4,295,780, consisting of $6,832,990 gross unrealized
appreciation and $2,537,210 gross unrealized depreciation.
At December 31, 2024, the cost of investments for federal income tax purposes was
substantially the same as the cost for financial reporting purposes (see the Statement
of Investments).
Additional investment related disclosures are hereby incorporated by reference to
the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
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