UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21539
First Trust Senior Floating Rate
Income Fund II
(Exact name of registrant as specified in charter)
120 East Liberty Drive
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive
Wheaton, IL 60187
(Name and address of agent for service)
registrant's telephone number, including area code: 630-765-8000
Date of fiscal year end: May 31
Date of reporting period: May 31, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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• | The S&P 500® Index did something it had never previously done, finishing 2017 with 12 months of gains; |
• | The Dow Jones Industrial Average achieved a milestone as well, closing above 24,000 for the first time ever on November 30; and |
• | The Nasdaq Composite set a record by having 11 months of gains in 2017 (June was the only down month, and by just 0.86%). |
Performance | ||||
Average Annual Total Return | ||||
1 Year Ended 5/31/18 | 5 Years Ended 5/31/18 | 10 Years Ended 5/31/18 | Inception (5/25/04) to 5/31/18 | |
Fund Performance(3) | ||||
NAV | 4.24% | 4.91% | 4.70% | 4.38% |
Market Value | 1.05% | 2.96% | 4.99% | 3.45% |
Index Performance | ||||
S&P/LSTA Leveraged Loan Index | 4.20% | 3.85% | 5.20% | 4.81% |
(1) | Most recent distribution paid or declared through 5/31/2018. Subject to change in the future. |
(2) | Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of 5/31/2018. Subject to change in the future. |
(3) | Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. From inception to October 12, 2010, Four Corners Capital Management, LLC served as the Fund’s sub-advisor. Effective October 12, 2010, the Leveraged Finance Team of First Trust Advisors L.P. assumed the day-to-day responsibility for management of the Fund’s portfolio. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results. |
(4) | The ratings are by Standard & Poor’s except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(5) | Percentages are based on long-term positions. Money market funds are excluded. |
(6) | Represents Senior Loans privately rated upon issuance. The rating agency does not provide ongoing surveillance on the rating. |
1 | High-Yield Bonds are represented by the ICE BofAML US High Yield Constrained Index, Preferred Securities are represented by the ICE BofAML Fixed Rate Preferred Securities Index, Investment Grade Bonds are represented by the ICE BofAML US Corporate Index and the US Aggregate Index is represented by the Bloomberg Barclays US Aggregate Bond Index. |
2 | Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results. |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) – 137.9% | ||||||||
Aerospace & Defense – 1.2% | ||||||||
$1,540,800 | Transdigm, Inc., Incremental TLE, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 05/30/25 | $1,535,222 | ||||
2,821,824 | Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 06/09/23 | 2,814,431 | ||||
4,349,653 | ||||||||
Alternative Carriers – 0.7% | ||||||||
2,678,397 | Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.21% | 02/22/24 | 2,679,897 | ||||
Application Software – 6.7% | ||||||||
1,633,372 | CCC Information Resources, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.99% | 04/26/24 | 1,635,707 | ||||
859,054 | Hyland Software, Term-3 Loans, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 5.23% | 07/01/22 | 864,887 | ||||
984,481 | Infor (US), Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 02/02/22 | 983,929 | ||||
2,230,934 | Informatica Corp. (Ithacalux S.A.R.L), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.23% | 08/06/22 | 2,244,877 | ||||
5,360,344 | JDA Software Group (RP Crown Parent, Inc.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 10/12/23 | 5,373,745 | ||||
6,653 | Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.06% | 11/01/23 | 6,681 | ||||
2,654,517 | Kronos, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.36% | 11/01/23 | 2,665,587 | ||||
438,736 | LANDesk Software, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.24% | 01/18/24 | 431,971 | ||||
331,146 | Micro Focus International (MA Finance LLC), MA Finance TLB3, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 06/21/24 | 329,845 | ||||
2,236,314 | Micro Focus International (MA Finance LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 06/21/24 | 2,227,525 | ||||
524,453 | Mitchell International, Inc., Delayed Draw Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.22% | 11/30/24 | 524,264 | ||||
6,503,217 | Mitchell International, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.23% | 11/30/24 | 6,500,876 | ||||
1,294,000 | Qlik Technologies (Project Alpha Intermediate Holdings, Inc.), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor | 5.99% | 04/26/24 | 1,289,148 | ||||
25,079,042 | ||||||||
Asset Management & Custody Banks – 2.3% | ||||||||
748,487 | American Beacon Advisors, Inc. (Resolute Investment Managers), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 04/30/22 | 750,358 | ||||
794,000 | First Eagle Investment Management, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.30% | 12/01/22 | 798,963 | ||||
988,886 | Harbourvest Partners L.P., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.00% Floor | 4.55% | 02/28/25 | 988,065 | ||||
210,396 | Mondrian Investment Partners Ltd. (MIPL Group Ltd.), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 03/09/20 | 210,922 | ||||
1,758,219 | Victory Capital Holdings (VCH Holdings LLC), Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 02/15/25 | 1,762,615 | ||||
635,808 | Virtus Investment Partners, Inc., Delayed Draw Term Loan (d) | 2.50% (e) | 06/01/24 | 635,808 | ||||
3,612,700 | Virtus Investment Partners, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.43% | 06/01/24 | 3,620,214 | ||||
8,766,945 | ||||||||
Auto Parts & Equipment – 2.1% | ||||||||
5,456,683 | Gates Global, Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 03/31/24 | 5,478,837 | ||||
1,279,000 | Lumileds, Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.80% | 06/30/24 | 1,274,524 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Auto Parts & Equipment (Continued) | ||||||||
$1,237,267 | Tower Automotive Holdings USA LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.69% | 03/06/24 | $1,240,360 | ||||
7,993,721 | ||||||||
Automotive Retail – 0.3% | ||||||||
996,972 | KAR Auction Services, Inc., Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 03/09/23 | 1,000,093 | ||||
Broadcasting – 1.5% | ||||||||
2,672,150 | Cumulus Media Holdings, Inc., Term Loan, Prime Rate + 2.25%, 1.00% Floor (f) | 7.00% | 12/23/20 | 2,320,308 | ||||
33,483 | Nexstar Broadcasting, Inc., Mission Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.41% | 01/17/24 | 33,539 | ||||
260,087 | Nexstar Broadcasting, Inc., Nexstar Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.41% | 01/17/24 | 260,518 | ||||
567,379 | Tribune Media Co., Extended Term Loan C, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 4.98% | 01/27/24 | 566,670 | ||||
45,522 | Tribune Media Co., Term B Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 4.98% | 12/27/20 | 45,522 | ||||
2,340,003 | Univision Communications, Inc., Term Loan C5, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 03/15/24 | 2,255,178 | ||||
5,481,735 | ||||||||
Building Products – 1.9% | ||||||||
189,810 | Beacon Roofing Supply, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.18% | 01/02/25 | 189,708 | ||||
62,578 | Jeld-Wen, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 12/07/24 | 62,636 | ||||
7,013,986 | Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 11/15/23 | 7,013,986 | ||||
7,266,330 | ||||||||
Cable & Satellite – 1.2% | ||||||||
985,714 | Cablevision Systems Corp. (CSC Holdings, Inc.), New Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.42% | 01/25/26 | 983,250 | ||||
324,844 | Cablevision Systems Corp. (CSC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.17% | 07/17/25 | 323,424 | ||||
409,406 | Mediacom Broadband LLC, Term Loan N, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.51% | 02/15/24 | 409,406 | ||||
1,404,305 | UnityMedia, Term Loan E, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.80% | 05/31/23 | 1,402,844 | ||||
1,107,692 | UPC Financing Partnership, Term Loan AR, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.42% | 01/15/26 | 1,103,716 | ||||
340,000 | Virgin Media Finance PLC, Term Loan K, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.42% | 01/31/26 | 338,878 | ||||
4,561,518 | ||||||||
Casinos & Gaming – 11.3% | ||||||||
13,701,131 | Amaya Holdings B.V., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.32% | 04/06/25 | 13,703,871 | ||||
9,587,026 | Caesars Resorts Collection, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 12/22/24 | 9,585,684 | ||||
4,798,514 | CityCenter Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.23% | 04/18/24 | 4,797,746 | ||||
2,559,634 | Golden Nugget, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 4.73% | 10/04/23 | 2,573,507 | ||||
1,475,271 | MGM Growth Properties Operating Partnership LP, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.75% | 03/23/25 | 1,474,253 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Casinos & Gaming (Continued) | ||||||||
$810,416 | Penn National Gaming, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.48% | 01/19/24 | $815,075 | ||||
5,439,382 | Station Casinos, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.49% | 06/08/23 | 5,437,098 | ||||
3,848,666 | VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.96% | 12/20/24 | 3,846,511 | ||||
42,233,745 | ||||||||
Coal & Consumable Fuels – 0.4% | ||||||||
1,036,453 | Arch Coal, Inc., Term Loan, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 03/07/24 | 1,036,132 | ||||
309,857 | Peabody Energy Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 03/31/25 | 309,092 | ||||
1,345,224 | ||||||||
Commercial Printing – 0.4% | ||||||||
1,362,057 | Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.23% | 11/01/24 | 1,367,165 | ||||
Construction & Engineering – 0.0% | ||||||||
185,406 | Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.49% | 03/23/25 | 187,260 | ||||
Diversified Chemicals – 0.1% | ||||||||
367,500 | Ineos US Finance LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.98% | 03/31/24 | 367,548 | ||||
Diversified Support Services – 1.0% | ||||||||
2,968,516 | Brickman Group Holdings, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.94%-4.98% | 12/18/20 | 2,982,260 | ||||
788,774 | Brickman Group Holdings, Inc., Second Lien Term Loan, 1 Mo. LIBOR + 6.50%, 1.00% Floor | 8.44% | 12/18/21 | 792,292 | ||||
3,774,552 | ||||||||
Education Services – 0.1% | ||||||||
243,169 | Bright Horizons Family Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.75% Floor | 3.73% | 11/07/23 | 243,701 | ||||
Electric Utilities – 0.9% | ||||||||
370,312 | Dayton Power & Light Co., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 3.99% | 08/24/22 | 371,546 | ||||
1,945,076 | Vistra Energy Corp. (f/k/a TXU), Term Loan B-2, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.19%-4.23% | 12/14/23 | 1,948,557 | ||||
1,000,000 | Vistra Energy Corp. (TXU), Term Loan B3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.19% | 12/31/25 | 997,360 | ||||
3,317,463 | ||||||||
Environmental & Facilities Services – 0.8% | ||||||||
1,105,670 | PSSI (Packers Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.17% | 12/04/24 | 1,103,824 | ||||
500,000 | Servicemaster Company, LLC, The, Tranche C Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 11/08/23 | 502,345 | ||||
1,361,465 | WTG Holdings III Corp. (EWT Holdings III Corp.), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 12/20/24 | 1,369,974 | ||||
2,976,143 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Food Distributors – 0.5% | ||||||||
$643,500 | TKC Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.23% | 01/31/23 | $646,718 | ||||
1,179,000 | US Foods, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 06/27/23 | 1,183,020 | ||||
1,829,738 | ||||||||
Food Retail – 2.3% | ||||||||
1,798,062 | Albertsons LLC, FILO ABL TL, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.98% | 05/31/23 | 1,799,411 | ||||
2,848,954 | Albertsons LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.29% | 12/21/22 | 2,818,270 | ||||
4,228,163 | Albertsons LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.32% | 06/22/23 | 4,177,341 | ||||
8,795,022 | ||||||||
Health Care Equipment – 2.1% | ||||||||
3,799,398 | DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 06/08/20 | 3,808,099 | ||||
3,849,075 | DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.56% | 06/08/20 | 3,857,889 | ||||
198,500 | Kinetic Concepts, Inc. (Acelity L.P., Inc.), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 01/31/24 | 199,542 | ||||
7,865,530 | ||||||||
Health Care Facilities – 4.2% | ||||||||
1,042,097 | Acadia Healthcare Co., Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 02/11/22 | 1,048,932 | ||||
1,192,670 | Acadia Healthcare Co., Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 02/16/23 | 1,200,494 | ||||
1,519,588 | CHS/Community Health Systems, Inc., Term Loan G, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.31% | 12/31/19 | 1,511,428 | ||||
1,699,735 | Concentra, Inc. (MJ Acquisition Corp.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.66% | 06/01/22 | 1,703,984 | ||||
6,551,265 | Kindred Healthcare, Inc., New Term Loan, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.88% | 04/09/21 | 6,543,076 | ||||
3,672,236 | National Veterinary Associates (NVA Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 02/02/25 | 3,674,550 | ||||
15,682,464 | ||||||||
Health Care Services – 10.8% | ||||||||
4,157,551 | 21st Century Oncology, Inc., Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor | 8.48% | 01/16/23 | 3,982,934 | ||||
289,408 | Air Medical Group, New Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.18% | 03/14/25 | 290,010 | ||||
2,839,084 | Air Methods Corp. (ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.80% | 04/30/24 | 2,821,340 | ||||
5,550 | CHG Healthcare Services, Inc, Term Loan B, 2 Mo. LIBOR + 3.00%, 1.00% Floor | 5.06% | 06/07/23 | 5,586 | ||||
2,203,245 | CHG Healthcare Services, Inc, Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.36% | 06/07/23 | 2,217,566 | ||||
3,580,216 | Curo Health Services Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 4.00%, 1.00% Floor | 6.09% | 02/05/22 | 3,582,472 | ||||
2,855,635 | DuPage Medical Group (Midwest Physician), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 4.71% | 08/15/24 | 2,837,730 | ||||
4,603,882 | Envision Healthcare Corp. (Emergency Medical Services Corp.), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 4.99% | 12/01/23 | 4,608,532 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Health Care Services (Continued) | ||||||||
$814,823 | ExamWorks Group, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 07/27/23 | $819,663 | ||||
4,587,378 | Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.28% | 07/01/21 | 4,166,853 | ||||
4,539,411 | Surgery Centers Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 3.25%, 1.00% Floor | 5.35% | 08/31/24 | 4,530,922 | ||||
5,404,347 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 02/06/24 | 5,210,709 | ||||
5,284,564 | U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.55% | 12/30/22 | 5,255,922 | ||||
40,330,239 | ||||||||
Health Care Supplies – 0.1% | ||||||||
410,207 | ConvaTec, Inc., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.55% | 10/31/23 | 410,978 | ||||
Health Care Technology – 2.0% | ||||||||
5,558,629 | Change Healthcare Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 03/01/24 | 5,554,460 | ||||
2,031,036 | Cotiviti Corp., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 09/28/23 | 2,028,497 | ||||
7,582,957 | ||||||||
Hotels, Resorts & Cruise Lines – 0.5% | ||||||||
1,352,212 | Extended Stay America (ESH Hospitality, Inc.), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.98% | 08/30/23 | 1,353,267 | ||||
444,375 | Four Seasons Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.98% | 11/30/23 | 445,548 | ||||
1,798,815 | ||||||||
Household Appliances – 0.9% | ||||||||
3,477,628 | Traeger Grills, Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.23% | 09/25/24 | 3,501,553 | ||||
Household Products – 1.9% | ||||||||
5,303,611 | Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%, 0.00% Floor | 4.06%-4.10% | 06/23/22 | 5,296,133 | ||||
1,696,389 | Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.36% | 06/23/22 | 1,693,997 | ||||
6,990,130 | ||||||||
Human Resource & Employment Services – 0.5% | ||||||||
1,992,500 | Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.98% | 05/01/24 | 1,992,918 | ||||
Hypermarkets & Super Centers – 2.6% | ||||||||
8,227,403 | BJ’s Wholesale Club, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.42% | 01/31/24 | 8,233,985 | ||||
1,451,165 | BJ’s Wholesale Club, Inc., 2nd Lien Term Loan, 1 Mo. LIBOR + 7.50%, 1.00% Floor | 9.42% | 02/03/25 | 1,463,863 | ||||
9,697,848 | ||||||||
Independent Power Producers & Energy Traders – 0.5% | ||||||||
1,945,000 | Calpine Corp., Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 01/15/24 | 1,945,000 | ||||
Industrial Conglomerates – 1.2% | ||||||||
112,174 | Accudyne Industries, Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 08/18/24 | 112,414 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Industrial Conglomerates (Continued) | ||||||||
$4,423,232 | Gardner Denver, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 07/30/24 | $4,439,819 | ||||
4,552,233 | ||||||||
Industrial Machinery – 0.3% | ||||||||
1,049,536 | Douglas Dynamics LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.99% | 12/31/21 | 1,052,821 | ||||
Insurance Brokers – 4.6% | ||||||||
2,865,115 | Amwins Group, Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.61%-4.73% | 01/25/24 | 2,866,462 | ||||
6,588,494 | HUB International Ltd., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.36% | 04/25/25 | 6,574,790 | ||||
2,100,298 | National Financial Partners Corp., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.98% | 01/06/24 | 2,097,673 | ||||
5,799,680 | USI, Inc. (Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 05/15/24 | 5,787,616 | ||||
17,326,541 | ||||||||
Integrated Telecommunication Services – 2.0% | ||||||||
5,825,782 | Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 01/31/25 | 5,750,047 | ||||
1,739,429 | Numericable U.S. LLC (Altice France S.A.), Term Loan B12, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.35% | 01/31/26 | 1,711,407 | ||||
107,284 | Zayo Group LLC, Term Loan B2, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 4.23% | 01/19/24 | 107,820 | ||||
7,569,274 | ||||||||
Leisure Facilities – 2.3% | ||||||||
5,669,962 | ClubCorp Club Operations, Inc., Term Loan B, 2 Mo. LIBOR + 2.75%, 0.00% Floor | 4.89% | 09/18/24 | 5,654,030 | ||||
2,526,994 | Planet Fitness Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 4.73% | 03/31/21 | 2,540,690 | ||||
590,262 | Planet Fitness Holdings LLC, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.05% | 03/31/21 | 593,461 | ||||
8,788,181 | ||||||||
Life Sciences Tools & Services – 7.0% | ||||||||
2,144,991 | Immucor, Inc., Term Loan B First Lien, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 7.30% | 06/15/21 | 2,179,846 | ||||
7,375,565 | Ortho-Clinical Diagnostics, Inc. (Crimson Merger Sub, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 5.73% | 06/30/21 | 7,377,409 | ||||
6,945,084 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 09/27/24 | 6,934,250 | ||||
2,028,543 | Pharmaceutical Product Development, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.48% | 08/18/22 | 2,026,514 | ||||
2,235,684 | Pharmaceutical Product Development, Inc., Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 4.80% | 08/18/22 | 2,233,449 | ||||
5,537,778 | Sterigenics International (STHI Intermediate Holding Corp.), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.98% | 05/15/22 | 5,549,906 | ||||
26,301,374 | ||||||||
Managed Health Care – 5.2% | ||||||||
3,555,654 | Davis Vision/Superior Vision (Wink Holdco), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.98% | 12/02/24 | 3,536,809 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Managed Health Care (Continued) | ||||||||
$16,032,456 | MultiPlan, Inc. (MPH Acquisition Holdings LLC), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 06/07/23 | $16,054,581 | ||||
19,591,390 | ||||||||
Metal & Glass Containers – 0.6% | ||||||||
1,900,029 | Berlin Packaging LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.92%-4.98% | 11/07/25 | 1,901,606 | ||||
198,600 | Crown Holdings, Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.31% | 04/03/25 | 199,655 | ||||
2,101,261 | ||||||||
Movies & Entertainment – 1.0% | ||||||||
381,833 | AMC Entertainment, Inc., 2016 Incremental Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.17% | 12/15/23 | 382,429 | ||||
276,250 | AMC Entertainment, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.17% | 12/15/22 | 276,664 | ||||
1,935,000 | Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 02/05/25 | 1,926,544 | ||||
987,525 | Creative Artists Agency LLC (CAA Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.92% | 02/15/24 | 991,643 | ||||
3,577,280 | ||||||||
Oil & Gas Exploration & Production – 0.0% | ||||||||
166,667 | Ascent Resources - Marcellus, LLC, EXIT Term Loan B, 1 Mo. LIBOR + 6.50%, 1.00% Floor (g) | 8.41% | 03/30/23 | 166,667 | ||||
Other Diversified Financial Services – 7.0% | ||||||||
12,424,120 | AlixPartners, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 04/04/24 | 12,447,478 | ||||
6,249,242 | Duff & Phelps Corp., Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 02/13/25 | 6,241,430 | ||||
3,863,684 | First Data Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.97% | 04/26/24 | 3,860,941 | ||||
725,473 | iPayment, Inc., Term Loan, 1 Mo. LIBOR + 5.00%, 1.00% Floor | 6.94% | 04/11/23 | 726,380 | ||||
3,144,000 | Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.23% | 07/01/23 | 3,152,363 | ||||
26,428,592 | ||||||||
Packaged Foods & Meats – 3.4% | ||||||||
9,139,780 | Hostess Brands LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.23% | 08/03/22 | 9,162,629 | ||||
3,427,495 | Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.97% | 05/24/24 | 3,428,112 | ||||
12,590,741 | ||||||||
Paper Packaging – 3.5% | ||||||||
13,197,189 | Reynolds Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 02/05/23 | 13,219,228 | ||||
Pharmaceuticals – 9.8% | ||||||||
1,682,692 | Akorn, Inc., Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.25% | 04/16/21 | 1,636,418 | ||||
1,953,062 | Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 4.23% | 05/20/24 | 1,959,702 | ||||
5,182,926 | Concordia Healthcare Corp., Initial Dollar Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor (f) | 6.23% | 10/21/21 | 4,663,183 | ||||
7,289,462 | Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor | 6.25% | 04/29/24 | 7,204,831 | ||||
1,496,222 | Grifols Worldwide Operations Limited, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.00% | 01/31/25 | 1,500,366 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$5,240,323 | Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.25% | 03/29/24 | $5,249,441 | ||||
970,874 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 6 Mo. LIBOR + 3.00%, 0.75% Floor | 5.52% | 02/24/25 | 945,388 | ||||
970,874 | Mallinckrodt International Finance S.A., Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor | 5.20% | 09/24/24 | 941,748 | ||||
12,471,436 | Valeant Pharmaceuticals International, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.98% | 06/01/25 | 12,491,765 | ||||
36,592,842 | ||||||||
Research & Consulting Services – 4.4% | ||||||||
4,970,864 | Acosta, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 09/26/21 | 3,933,743 | ||||
7,647,321 | Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 07/23/21 | 7,268,779 | ||||
801,980 | Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 07/23/21 | 763,485 | ||||
4,603,500 | Information Resources, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.57% | 01/18/24 | 4,623,663 | ||||
16,589,670 | ||||||||
Restaurants – 4.3% | ||||||||
175,200 | IRB Holding Corp. (Arby’s), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.17% | 01/18/25 | 175,769 | ||||
219,000 | IRB Holding Corp. (Arby’s), Term Loan B, 2 Mo. LIBOR + 3.25%, 1.00% Floor | 5.25% | 01/18/25 | 219,712 | ||||
8,341,454 | Portillo’s Holdings LLC, Second Lien Term Loan, 3 Mo. LIBOR + 8.00%, 1.00% Floor | 10.30% | 08/15/22 | 8,341,454 | ||||
7,463,811 | Portillo’s Holdings LLC, Term B Loan (First Lien), 3 Mo. LIBOR + 4.50%, 1.00% Floor | 6.80% | 08/02/21 | 7,449,854 | ||||
16,186,789 | ||||||||
Security & Alarm Services – 0.3% | ||||||||
1,191,028 | Garda World Security Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.51% | 05/26/24 | 1,197,352 | ||||
Semiconductors – 1.0% | ||||||||
2,246,400 | Microchip Technology, Initial Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.97% | 05/29/25 | 2,258,194 | ||||
1,669,540 | Western Digital Corp., Term Loan B, 2 Mo. LIBOR + 1.75%, 0.00% Floor | 3.71% | 04/29/23 | 1,672,328 | ||||
3,930,522 | ||||||||
Specialized Consumer Services – 1.5% | ||||||||
500,000 | Asurion LLC, Term Loan (Second Lien), 1 Mo. LIBOR + 6.00%, 0.00% Floor | 7.98% | 07/31/25 | 511,750 | ||||
1,377,671 | Asurion LLC, Term Loan B4, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.73% | 08/04/22 | 1,382,149 | ||||
3,679,523 | Asurion LLC, Term Loan B6, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.73% | 11/03/23 | 3,693,321 | ||||
5,587,220 | ||||||||
Specialized Finance – 0.1% | ||||||||
280,500 | Alliant Holdings I, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.93% | 05/09/25 | 280,149 | ||||
Specialty Chemicals – 1.7% | ||||||||
5,162,659 | H.B. Fuller, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.95% | 10/20/24 | 5,164,104 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Specialty Chemicals (Continued) | ||||||||
$1,082,905 | Platform Specialty Products Corp. (fka: Macdermid, Inc.), Term Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.98% | 06/07/23 | $1,086,067 | ||||
6,250,171 | ||||||||
Specialty Stores – 0.8% | ||||||||
305,550 | Party City Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 4.74% | 08/19/22 | 306,696 | ||||
298,491 | Party City Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 2.75%, 0.75% Floor | 4.81% | 08/19/22 | 299,611 | ||||
297,551 | Party City Holdings, Inc., Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor | 5.28% | 08/19/22 | 298,667 | ||||
2,811,036 | Toys "R" US-Delaware, Inc., Term B-2 Loan, Prime Rate + 2.75%, 1.50% Floor (f) (h) | 7.50% | 05/25/18 | 1,076,627 | ||||
1,991,346 | Toys "R" US-Delaware, Inc., Term B-4 Loan, Prime Rate + 7.75%, 1.00% Floor (f) (h) | 12.25% | 04/25/20 | 866,235 | ||||
2,847,836 | ||||||||
Systems Software – 10.2% | ||||||||
743,464 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 09/13/24 | 748,230 | ||||
511,161 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor | 9.30% | 09/13/25 | 528,095 | ||||
1,222,656 | Avast Software B.V. (Sybil Software LLC), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.49% | 09/30/23 | 1,227,413 | ||||
14,512,065 | BMC Software Finance, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.23% | 09/10/22 | 14,524,690 | ||||
7,096,469 | Compuware Corp., Term Loan B3, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.48% | 12/15/21 | 7,148,274 | ||||
3,836,180 | Misys Financial Software Ltd. (Almonde, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.81% | 06/13/24 | 3,772,883 | ||||
2,010,793 | Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.24% | 04/24/22 | 1,993,198 | ||||
3,165,218 | SS&C European Holdings, S.a.r.l, Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 04/16/25 | 3,181,044 | ||||
1,185,058 | SS&C European Holdings, S.a.r.l, Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.48% | 04/16/25 | 1,190,983 | ||||
4,053,316 | Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.23% | 06/30/23 | 4,054,573 | ||||
38,369,383 | ||||||||
Technology Hardware, Storage & Peripherals – 3.4% | ||||||||
12,622,113 | Dell, Inc. (Diamond 1 Finance Corp.), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 3.99% | 09/07/23 | 12,606,336 | ||||
Wireless Telecommunication Services – 0.5% | ||||||||
1,888,000 | SBA Senior Finance II LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.99% | 04/11/25 | 1,884,847 | ||||
Total Senior Floating-Rate Loan Interests | 517,003,627 | |||||||
(Cost $522,540,837) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (c) – 3.5% | ||||||||
Cable & Satellite – 0.5% | ||||||||
1,022,000 | Altice US Finance I Corp. (i) | 5.50% | 05/15/26 | 983,982 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (c) (Continued) | ||||||||
Cable & Satellite (Continued) | ||||||||
$1,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp. | 5.75% | 01/15/24 | $1,005,000 | ||||
1,988,982 | ||||||||
Health Care Facilities – 2.7% | ||||||||
1,000,000 | Select Medical Corp. | 6.38% | 06/01/21 | 1,017,500 | ||||
800,000 | Tenet Healthcare Corp. | 6.00% | 10/01/20 | 829,000 | ||||
5,776,000 | Tenet Healthcare Corp. (i) | 7.50% | 01/01/22 | 6,073,175 | ||||
2,136,000 | Tenet Healthcare Corp. | 8.13% | 04/01/22 | 2,242,800 | ||||
10,162,475 | ||||||||
Life Sciences Tools & Services – 0.3% | ||||||||
894,000 | Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A. (i) | 6.63% | 05/15/22 | 887,894 | ||||
Total Corporate Bonds and Notes | 13,039,351 | |||||||
(Cost $13,032,550) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES (c) – 0.3% | ||||||||
Pharmaceuticals – 0.3% | ||||||||
774,000 | Valeant Pharmaceuticals International, Inc. (i) | 6.75% | 08/15/21 | 782,456 | ||||
500,000 | Valeant Pharmaceuticals International, Inc. (i) | 5.50% | 11/01/25 | 492,500 | ||||
Total Foreign Corporate Bonds and Notes | 1,274,956 | |||||||
(Cost $1,278,165) |
Shares | Description | Value | ||
COMMON STOCKS (c) – 0.9% | ||||
Commodity Chemicals – 0.0% | ||||
20 | LyondellBasell Industries N.V., Class A | 2,242 | ||
Electric Utilities – 0.7% | ||||
106,607 | Vistra Energy Corp. (j) | 2,615,070 | ||
Oil & Gas Exploration & Production – 0.2% | ||||
119,734 | American Energy Marcellus, Class A (g) (j) (k) | 396,140 | ||
3,699 | Fieldwood Energy Equity (j) (k) (l) | 168,304 | ||
564,444 | ||||
Total Common Stocks | 3,181,756 | |||
(Cost $3,031,424) | ||||
RIGHTS (c) – 0.0% | ||||
Electric Utilities – 0.0% | ||||
106,607 | Vistra Energy Corp. (j) | 58,634 | ||
175,375 | Vistra Energy Corp. Claim (j) (m) (n) | 0 | ||
58,634 | ||||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust (j) (m) (n) (o) | 0 | ||
1 | New Millennium Holdco, Inc., Lender Claim Trust (j) (m) (n) (o) | 0 | ||
0 | ||||
Total Rights | 58,634 | |||
(Cost $178,763) | ||||
WARRANTS (c) – 0.0% | ||||
Oil & Gas Exploration & Production – 0.0% | ||||
31,000 | American Energy Marcellus First Lien Warrants (g) (j) | 2,015 | ||
(Cost $3,100) |
Shares | Description | Value | ||
MONEY MARKET FUNDS (c) – 2.1% | ||||
8,000,000 | Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 1.61% (p) | $8,000,000 | ||
(Cost $8,000,000) | ||||
Total Investments – 144.7% | 542,560,339 | |||
(Cost $548,064,839) (q) | ||||
Outstanding Loans – (41.3)% | (155,000,000) | |||
Net Other Assets and Liabilities – (3.4)% | (12,545,033) | |||
Net Assets – 100.0% | $375,015,306 |
(a) | Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined 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 the LIBOR, (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset dates. |
(b) | Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown. |
(c) | All of these securities are available to serve as collateral for the outstanding loans. |
(d) | Delayed Draw Term Loan (See Note 2C - Unfunded Loan Commitments in the Notes to Financial Statements). |
(e) | Represents commitment fee rate on unfunded loan commitment. The commitment fee rate steps up at predetermined time intervals. |
(f) | This issuer has filed for protection in federal bankruptcy court. |
(g) | On March 30, 2018, American Energy Marcellus Holdings LLC, also known as Ascent Resources - Marcellus LLC, completed a Bankruptcy Plan of Reorganization. In connection with the Plan of Reorganization, the Fund received a portion of a new exit term loan and a share of the newly issued common equity shares in the re-organized company. The Fund also received equity warrants entitling it to purchase additional common equity shares. |
(h) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
(i) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At May 31, 2018, securities noted as such amounted to $9,220,007 or 2.5% of net assets. |
(j) | Non-income producing security. |
(k) | Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At May 31, 2018, securities noted as such amounted to $564,444 or 0.2% of net assets. |
(l) | On April 11, 2018, Fieldwood Energy, LLC completed a Bankruptcy Plan of Reorganization. In connection with the Plan of Reorganization, the Fund received a pro rata share of the newly issued common equity shares in the re-organized company. |
(m) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At May 31, 2018, securities noted as such are valued at $0 or 0.0% of net assets. |
(n) | This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements). |
(o) | Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(p) | Rate shown reflects yield as of May 31, 2018. |
(q) | Aggregate cost for federal income tax purposes was $548,121,334. As of May 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,014,481 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,575,476. The net unrealized depreciation was $5,560,995. |
LIBOR | London Interbank Offered Rate |
Total Value at 5/31/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 517,003,627 | $ — | $ 517,003,627 | $ — |
Corporate Bonds and Notes* | 13,039,351 | — | 13,039,351 | — |
Foreign Corporate Bonds and Notes* | 1,274,956 | — | 1,274,956 | — |
Common Stocks: | ||||
Oil & Gas Exploration & Production | 564,444 | — | 564,444 | — |
Other industry categories* | 2,617,312 | 2,617,312 | — | — |
Rights: | ||||
Electric Utilities | 58,634 | — | 58,634 | —** |
Life Sciences Tools & Services | —** | — | — | —** |
Warrants* | 2,015 | — | 2,015 | — |
Money Market Funds | 8,000,000 | 8,000,000 | — | — |
Total Investments | $ 542,560,339 | $ 10,617,312 | $ 531,943,027 | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
Beginning Balance at May 31, 2017 | |
Senior Floating-Rate Loan Interests | $90,379 |
Rights | —** |
Net Realized Gain (Loss) | |
Senior Floating-Rate Loan Interests | (19,479) |
Rights | — |
Net Change in Unrealized Appreciation/Depreciation | |
Senior Floating-Rate Loan Interests | 104,498 |
Rights | — |
Purchases | |
Senior Floating-Rate Loan Interests | — |
Rights | — |
Sales | |
Senior Floating-Rate Loan Interests | (175,398) |
Rights | — |
Transfers In | |
Senior Floating-Rate Loan Interests | — |
Rights | — |
Transfers Out | |
Senior Floating-Rate Loan Interests | — |
Rights | — |
Ending Balance at May 31, 2018 | |
Senior Floating-Rate Loan Interests | — |
Rights | —** |
Total Level 3 holdings | $—** |
ASSETS: | |
Investments, at value (Cost $548,064,839) | $ 542,560,339 |
Cash | 427,171 |
Receivables: | |
Investment securities sold | 18,622,202 |
Interest | 1,988,821 |
Prepaid expenses | 3,043 |
Total Assets | 563,601,576 |
LIABILITIES: | |
Outstanding loans | 155,000,000 |
Payables: | |
Investment securities purchased | 32,177,357 |
Unfunded loan commitments | 635,808 |
Investment advisory fees | 334,718 |
Interest and fees on loans | 181,135 |
Administrative fees | 108,278 |
Audit and tax fees | 66,650 |
Legal fees | 33,336 |
Printing fees | 28,112 |
Custodian fees | 11,897 |
Trustees’ fees and expenses | 2,714 |
Transfer agent fees | 2,050 |
Financial reporting fees | 770 |
Other liabilities | 3,445 |
Total Liabilities | 188,586,270 |
NET ASSETS | $375,015,306 |
NET ASSETS consist of: | |
Paid-in capital | $ 403,582,854 |
Par value | 266,970 |
Accumulated net investment income (loss) | 92,009 |
Accumulated net realized gain (loss) on investments | (23,422,027) |
Net unrealized appreciation (depreciation) on investments | (5,504,500) |
NET ASSETS | $375,015,306 |
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) | $14.05 |
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) | 26,696,982 |
INVESTMENT INCOME: | ||
Interest | $ 26,306,037 | |
Dividends | 74 | |
Other | 472,674 | |
Total investment income | 26,778,785 | |
EXPENSES: | ||
Investment advisory fees | 3,934,418 | |
Interest and fees on loans | 3,415,428 | |
Administrative fees | 350,787 | |
Legal fees | 106,705 | |
Printing fees | 98,665 | |
Custodian fees | 75,686 | |
Audit and tax fees | 56,085 | |
Transfer agent fees | 27,593 | |
Listing expense | 23,327 | |
Trustees’ fees and expenses | 16,655 | |
Financial reporting fees | 9,250 | |
Other | 49,152 | |
Total expenses | 8,163,751 | |
NET INVESTMENT INCOME (LOSS) | 18,615,034 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (4,502,205) | |
Net change in unrealized appreciation (depreciation) on investments | (52,148) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (4,554,353) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 14,060,681 |
Year Ended 5/31/2018 | Year Ended 5/31/2017 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 18,615,034 | $ 20,738,542 | |
Net realized gain (loss) | (4,502,205) | (3,792,004) | |
Net change in unrealized appreciation (depreciation) | (52,148) | 11,725,535 | |
Net increase (decrease) in net assets resulting from operations | 14,060,681 | 28,672,073 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net investment income | (18,612,204) | (20,842,660) | |
Return of capital | (1,730,896) | (1,217,056) | |
Total distributions to shareholders | (20,343,100) | (22,059,716) | |
Total increase (decrease) in net assets | (6,282,419) | 6,612,357 | |
NET ASSETS: | |||
Beginning of period | 381,297,725 | 374,685,368 | |
End of period | $ 375,015,306 | $ 381,297,725 | |
Accumulated net investment income (loss) at end of period | $92,009 | $(151,020) | |
COMMON SHARES: | |||
Common Shares at end of period | 26,696,982 | 26,696,982 |
Cash flows from operating activities: | ||
Net increase (decrease) in net assets resulting from operations | $14,060,681 | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||
Purchases of investments | (715,082,485) | |
Sales, maturities and paydown of investments | 708,582,868 | |
Net amortization/accretion of premiums/discounts on investments | (415,572) | |
Net realized gain/loss on investments | 4,502,205 | |
Net change in unrealized appreciation/depreciation on investments | 52,148 | |
Changes in assets and liabilities: | ||
Decrease in interest receivable | 11,139 | |
Decrease in prepaid expenses | 18,353 | |
Decrease in interest and fees payable on loans | (74,813) | |
Decrease in investment advisory fees payable | (3,541) | |
Decrease in audit and tax fees payable | (8,550) | |
Decrease in legal fees payable | (14,563) | |
Increase in printing fees payable | 775 | |
Decrease in administrative fees payable | (2,348) | |
Decrease in custodian fees payable | (7,740) | |
Decrease in transfer agent fees payable | (14,853) | |
Decrease in Trustees’ fees and expenses payable | (160) | |
Decrease in financial reporting fees payable | (1) | |
Increase in other liabilities payable | 238 | |
Cash provided by operating activities | $11,603,781 | |
Cash flows from financing activities: | ||
Distributions to Common Shareholders from net investment income | (18,612,204) | |
Distributions to Common Shareholders from return of capital | (1,730,896) | |
Repayment of borrowings | (123,000,000) | |
Proceeds from borrowings | 132,000,000 | |
Cash used in financing activities | (11,343,100) | |
Increase in cash | 260,681 | |
Cash at beginning of period | 166,490 | |
Cash at end of period | $427,171 | |