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: November 30, 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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Performance | |||||
Average Annual Total Return | |||||
6 Months Ended 11/30/18 | 1 Year Ended 11/30/18 | 5 Years Ended 11/30/18 | 10 Years Ended 11/30/18 | Inception (5/25/04) to 11/30/18 | |
Fund Performance(3) | |||||
NAV | 0.54% | 3.27% | 4.52% | 10.95% | 4.26% |
Market Value | -6.14% | -2.87% | 1.98% | 12.02% | 2.88% |
Index Performance | |||||
S&P/LSTA Leveraged Loan Index | 1.00% | 3.47% | 3.68% | 8.52% | 4.71% |
(1) | Most recent distribution paid or declared through 11/30/2018. 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 11/30/2018. 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 | 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) – 136.5% | ||||||||
Aerospace & Defense – 1.3% | ||||||||
$631,487 | Science Applications International Corp., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.09% | 10/31/25 | $626,752 | ||||
2,807,715 | Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 06/09/23 | 2,734,012 | ||||
1,533,096 | Transdigm, Inc., Tranche E Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 05/30/25 | 1,492,285 | ||||
4,853,049 | ||||||||
Alternative Carriers – 0.7% | ||||||||
2,678,397 | Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 02/22/24 | 2,643,257 | ||||
Application Software – 8.2% | ||||||||
1,625,143 | CCC Information Services, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.35% | 04/26/24 | 1,603,203 | ||||
952,715 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 5.59% | 07/01/24 | 944,779 | ||||
4,740,660 | Infor (US), Inc. (fka Lawson Software, Inc.), Term Loan B-6, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.14% | 02/02/22 | 4,670,404 | ||||
2,798,615 | Informatica Corporation, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 08/06/22 | 2,782,299 | ||||
6,653 | Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 11/01/23 | 6,547 | ||||
2,641,212 | Kronos, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.54% | 11/01/23 | 2,599,243 | ||||
554,117 | Micro Focus International (MA Financeco, LLC), Miami Escrow TL B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 06/21/24 | 541,649 | ||||
3,742,087 | Micro Focus International (MA Financeco, LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 06/21/24 | 3,657,890 | ||||
6,992,532 | Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 11/30/24 | 6,880,652 | ||||
1,287,481 | Qlik Technologies (Project Alpha Intermediate Holding, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.94% | 04/26/24 | 1,268,980 | ||||
5,333,203 | RP Crown Parent (JDA Software Group), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 10/12/23 | 5,229,899 | ||||
30,185,545 | ||||||||
Asset Management & Custody Banks – 2.1% | ||||||||
800,000 | First Eagle Investment Management, Term Loan B, 2 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 12/01/24 | 794,336 | ||||
919,294 | Harbourvest Partners L.P., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 03/01/25 | 911,250 | ||||
210,396 | Mondrian Investment Partners Limited, Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 03/09/20 | 210,133 | ||||
1,614,103 | Victory Capital Holdings, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 02/15/25 | 1,611,085 | ||||
3,994,634 | Virtus Investment Partners, Term Loan B, 3 Mo. LIBOR + 2.50%, 0.75% Floor | 4.91% | 06/01/24 | 3,989,640 | ||||
7,516,444 | ||||||||
Auto Parts & Equipment – 2.5% | ||||||||
5,429,262 | Gates Global, LLC, Initial B-2 Dollar Term Loans, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 03/31/24 | 5,332,893 | ||||
950,395 | Lumileds (Bright Bidco B.V.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.84% | 06/30/24 | 907,627 | ||||
1,990,862 | Lumileds (Bright Bidco B.V.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/30/24 | 1,901,274 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Auto Parts & Equipment (Continued) | ||||||||
$1,057,707 | Tower Automotive Holdings USA, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.13% | 03/07/24 | $1,045,807 | ||||
9,187,601 | ||||||||
Automotive Retail – 0.3% | ||||||||
991,378 | KAR Auction Services, Inc. (Adesa), Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor | 4.94% | 03/09/23 | 981,772 | ||||
Broadcasting – 3.8% | ||||||||
2,671,036 | Cumulus Media Holdings, Inc., Exit Term Loan, 1 Mo. LIBOR + 4.50%, 1.00% Floor (d) | 6.85% | 05/15/22 | 2,577,550 | ||||
2,489,627 | Gray Television, Inc., Term C Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.85% | 11/01/25 | 2,465,776 | ||||
34,603 | Nexstar Broadcasting, Inc., Mission Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.57% | 01/17/24 | 34,179 | ||||
205,711 | Nexstar Broadcasting, Inc., Nexstar Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.57% | 01/17/24 | 203,191 | ||||
8,495,601 | Tribune Media Company (fka Tribune Company), Extended Term Loan C, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 5.34% | 01/27/24 | 8,456,691 | ||||
45,522 | Tribune Media Company (fka Tribune Company), Term B Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 5.34% | 12/27/20 | 45,438 | ||||
13,782,825 | ||||||||
Building Products – 2.4% | ||||||||
188,861 | Beacon Roofing Supply, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.57% | 01/02/25 | 183,431 | ||||
62,263 | JELD-WEN, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.39% | 12/07/24 | 61,641 | ||||
8,475,412 | Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 11/15/23 | 8,292,259 | ||||
247,418 | Resideo Technologies, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.49% | 10/24/25 | 245,871 | ||||
8,783,202 | ||||||||
Cable & Satellite – 0.8% | ||||||||
980,786 | Cablevision (fka CSC Holdings, Inc.), January 2018 Term Loans B-2, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 01/25/26 | 965,201 | ||||
323,203 | Cablevision (fka CSC Holdings, Inc.), March 2017 Term Loan B-1, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 07/17/25 | 317,709 | ||||
407,359 | Mediacom Broadband, Term Loan N, 1 Week LIBOR + 1.75%, 0.00% Floor | 3.98% | 02/15/24 | 400,230 | ||||
1,329,500 | Virgin Media Investment Holdings Limited, Term Loan K, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 01/15/26 | 1,311,632 | ||||
2,994,772 | ||||||||
Casinos & Gaming – 13.5% | ||||||||
11,831,490 | Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 12/22/24 | 11,611,779 | ||||
5,569,340 | CityCenter Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.59% | 04/18/24 | 5,464,915 | ||||
143,386 | Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.09% | 10/04/23 | 140,984 | ||||
3,872,195 | Golden Nugget, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.19%-5.28% | 10/04/23 | 3,807,336 | ||||
3,255,311 | Las Vegas Sands, LLC, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.09% | 03/27/25 | 3,202,087 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Casinos & Gaming (Continued) | ||||||||
$1,467,748 | MGM Growth Properties Operating Partnership L.P., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 03/23/25 | $1,439,861 | ||||
1,266,951 | Penn National Gaming, Inc., Term Loan B, 2 Mo. LIBOR + 2.25%, 0.00% Floor | 4.58% | 10/01/25 | 1,254,813 | ||||
13,421,653 | Stars Group Holdings B.V. (Amaya), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 5.89% | 07/28/25 | 13,359,376 | ||||
5,411,459 | Station Casinos, Inc. (Red Rocks), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.85% | 06/08/23 | 5,322,657 | ||||
3,848,666 | VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.31% | 12/20/24 | 3,781,931 | ||||
49,385,739 | ||||||||
Coal & Consumable Fuels – 0.4% | ||||||||
1,031,219 | Arch Coal, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 03/07/24 | 1,022,196 | ||||
308,307 | Peabody Energy, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 03/31/25 | 306,183 | ||||
1,328,379 | ||||||||
Commercial Printing – 0.4% | ||||||||
1,355,230 | Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 10/31/24 | 1,334,901 | ||||
Construction & Engineering – 0.4% | ||||||||
175,813 | Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.85% | 03/23/25 | 175,285 | ||||
1,291,435 | Westinghouse Electric (Brookfield WEC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 6.09% | 07/31/25 | 1,286,993 | ||||
1,462,278 | ||||||||
Construction Materials – 0.4% | ||||||||
1,639,344 | Summit Materials, LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 11/10/24 | 1,606,557 | ||||
Diversified Chemicals – 0.1% | ||||||||
365,658 | Ineos US Finance, LLC, 2024 Dollar Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 03/31/24 | 358,231 | ||||
Diversified Support Services – 0.8% | ||||||||
3,033,497 | Brightview Landscapes, LLC (FKA - Brickman), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81%-4.84% | 08/15/25 | 3,014,538 | ||||
Electric Utilities – 0.9% | ||||||||
368,438 | Dayton Power & Light, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 4.35% | 08/24/22 | 366,828 | ||||
1,935,227 | Vistra Operations Company, LLC (TEX/TXU), 2016 Incremental Term Loan B2, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 12/14/23 | 1,912,256 | ||||
997,500 | Vistra Operations Company, LLC (TEX/TXU), 2018 Incremental Term Loan B3, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30%-4.34% | 12/31/25 | 981,919 | ||||
3,261,003 | ||||||||
Environmental & Facilities Services – 0.9% | ||||||||
2,947,422 | Packers Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.32% | 12/04/24 | 2,895,842 | ||||
512,991 | Servicemaster Company (The), LLC, Tranche C Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 11/08/23 | 511,493 | ||||
3,407,335 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Food Retail – 1.5% | ||||||||
$2,834,601 | Albertson’s, LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.38% | 12/21/22 | $2,787,207 | ||||
2,842,856 | Albertson’s, LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.69% | 06/22/23 | 2,786,880 | ||||
5,574,087 | ||||||||
Health Care Equipment – 2.9% | ||||||||
197,500 | Acelity L.P., Inc. (Kinetic Concepts), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.64% | 01/31/24 | 196,513 | ||||
5,210,491 | DJO Finance, LLC (ReAble Therapeutics Finance, LLC), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 06/08/20 | 5,199,653 | ||||
5,224,689 | DJO Finance, LLC (ReAble Therapeutics Finance, LLC), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.65% | 06/08/20 | 5,213,821 | ||||
10,609,987 | ||||||||
Health Care Facilities – 1.3% | ||||||||
1,036,830 | Acadia Healthcare Company, Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 02/11/22 | 1,025,165 | ||||
1,186,642 | Acadia Healthcare Company, Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 02/16/23 | 1,173,292 | ||||
1,699,735 | Concentra, Inc. (fka MJ Acquisitions), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.07% | 06/01/22 | 1,679,559 | ||||
957,435 | Gentiva Health Services, Inc. (Kindred at Home), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.13% | 06/30/25 | 955,042 | ||||
4,833,058 | ||||||||
Health Care Services – 10.9% | ||||||||
4,136,711 | 21st Century Oncology Holdings, Inc. (21st Century Oncology, Inc.), Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor | 8.57% | 01/16/23 | 3,800,603 | ||||
934,198 | Air Medical Group Holdings, Inc. (Global Medical Response), 2018 New Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.56% | 03/14/25 | 905,593 | ||||
612,981 | Air Medical Group Holdings, Inc. (Global Medical Response), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.57% | 04/28/22 | 584,784 | ||||
2,839,084 | Air Methods Corp. (a/k/a ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 04/21/24 | 2,412,625 | ||||
4,563,609 | CDRH Parent, Inc. (Healogics, Inc.), Initial Term Loan (First Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.58% | 07/01/21 | 4,152,884 | ||||
1,254,848 | CHG Healthcare Services, Inc., Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 06/07/23 | 1,250,142 | ||||
2,235,579 | CHG Healthcare Services, Inc., Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.53% | 06/07/23 | 2,227,195 | ||||
3,638,642 | Dupage Medical Group (Midwest Physician), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.09% | 08/15/24 | 3,556,773 | ||||
4,189,768 | Envision Healthcare Corporation, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.09% | 10/10/25 | 4,021,424 | ||||
810,723 | Exam Works (Gold Merger Co, Inc.), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 07/27/23 | 808,696 | ||||
5,236,532 | Surgery Centers Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.60% | 08/31/24 | 5,143,583 | ||||
5,377,052 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 02/06/24 | 5,007,380 | ||||
5,257,533 | U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.64% | 12/30/22 | 5,174,727 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Health Care Services (Continued) | ||||||||
$845,792 | Verscend Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 6.84% | 08/27/25 | $844,380 | ||||
39,890,789 | ||||||||
Health Care Supplies – 0.1% | ||||||||
408,670 | ConvaTec, Inc., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.64% | 10/31/23 | 403,562 | ||||
Health Care Technology – 1.5% | ||||||||
5,418,260 | Change Healthcare Holdings, Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 03/01/24 | 5,348,581 | ||||
Hotels, Resorts & Cruise Lines – 0.1% | ||||||||
442,125 | Four Seasons, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 11/30/23 | 436,678 | ||||
Household Appliances – 0.9% | ||||||||
3,524,891 | Traeger Grills (TGP Holdings III, LLC), Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.64% | 09/25/24 | 3,445,581 | ||||
Household Products – 1.0% | ||||||||
654,883 | Energizer Spinco, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.60% | 06/30/25 | 638,511 | ||||
1,004,025 | Spectrum Brands, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.35% | 06/23/22 | 991,474 | ||||
1,334,529 | Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%, 0.00% Floor | 4.33%-4.40% | 06/23/22 | 1,317,848 | ||||
753,019 | Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.59% | 06/23/22 | 743,606 | ||||
3,691,439 | ||||||||
Human Resource & Employment Services – 1.1% | ||||||||
4,094,358 | Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 05/01/24 | 4,056,485 | ||||
Hypermarkets & Super Centers – 2.1% | ||||||||
7,686,131 | BJ’s Wholesale Club, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.32% | 02/03/24 | 7,634,865 | ||||
Independent Power Producers & Energy Traders – 0.5% | ||||||||
1,935,000 | Calpine Corporation, New Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor | 4.89% | 01/15/24 | 1,896,571 | ||||
Industrial Conglomerates – 1.5% | ||||||||
103,999 | Accudyne Industries, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 08/18/24 | 102,353 | ||||
4,677,967 | Gardner Denver, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 07/30/24 | 4,647,747 | ||||
807,880 | Messer Industries USA, Inc., Initial Term B-1, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.85% | 09/30/25 | 795,261 | ||||
5,545,361 | ||||||||
Industrial Machinery – 0.3% | ||||||||
1,043,685 | Douglas Dynamics, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.35% | 12/31/21 | 1,039,771 | ||||
Insurance Brokers – 4.5% | ||||||||
6,537,219 | Amwins Group, Inc., Term Loan B (First Lien), 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.07%-5.09% | 01/25/24 | 6,471,847 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Insurance Brokers (Continued) | ||||||||
$6,177 | HUB International Limited, Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.36% | 04/25/25 | $6,061 | ||||
2,458,332 | HUB International Limited, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.49% | 04/25/25 | 2,412,238 | ||||
2,123,253 | National Financial Partners Corp. (NFP), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 01/06/24 | 2,075,480 | ||||
5,770,535 | USI, Inc. (fka Compass Investors Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 05/15/24 | 5,619,059 | ||||
16,584,685 | ||||||||
Integrated Telecommunication Services – 1.3% | ||||||||
4,827,756 | Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 01/31/25 | 4,685,965 | ||||
Leisure Facilities – 1.5% | ||||||||
5,669,962 | ClubCorp Club Operations, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 09/18/24 | 5,468,678 | ||||
Life Sciences Tools & Services – 7.6% | ||||||||
2,134,184 | Immucor, Inc., Term Loan B-3, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 7.39% | 06/15/21 | 2,139,520 | ||||
6,526,055 | Ortho-Clinical Diagnostics Holdings Luxembourg, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.58% | 05/31/25 | 6,356,769 | ||||
9,750,650 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 09/27/24 | 9,458,130 | ||||
3,606,347 | Pharmaceutical Product Development, Inc. (PPDI), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.84% | 08/18/22 | 3,545,256 | ||||
1,861,335 | Quintiles IMS, Inc. (IQVIA), Term Loan B3, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 4.14% | 06/15/25 | 1,839,241 | ||||
4,584,874 | Sotera Health Holdings, LLC (Sterigenics), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 05/15/22 | 4,534,440 | ||||
27,873,356 | ||||||||
Managed Health Care – 5.4% | ||||||||
15,428,493 | Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.14% | 06/07/23 | 15,123,163 | ||||
4,730,669 | Versant Health (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 12/02/24 | 4,646,416 | ||||
19,769,579 | ||||||||
Metal & Glass Containers – 0.6% | ||||||||
1,701,867 | Berlin Packaging, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30%-5.35% | 11/07/25 | 1,668,680 | ||||
193,412 | Berlin Packaging, LLC, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 11/07/25 | 189,640 | ||||
179,107 | Crown Americas, LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.32% | 04/03/25 | 178,631 | ||||
2,036,951 | ||||||||
Movies & Entertainment – 1.0% | ||||||||
379,900 | AMC Entertainment, Inc., 2016 Incremental Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 12/15/23 | 373,966 | ||||
274,833 | AMC Entertainment, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 12/15/22 | 271,054 | ||||
1,925,325 | Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 02/05/25 | 1,887,897 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Movies & Entertainment (Continued) | ||||||||
$982,575 | Creative Artists Agency, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 02/15/24 | $974,390 | ||||
3,507,307 | ||||||||
Oil & Gas Equipment & Services – 0.1% | ||||||||
231,636 | NorthRiver Midsteam Finance L.P. (Grizzly/Enbridge), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 5.65% | 09/30/25 | 228,624 | ||||
Oil & Gas Exploration & Production – 0.0% | ||||||||
166,667 | Ascent Resources - Marcellus, LLC, EXIT Term Loan B, 1 Mo. LIBOR + 6.50%, 1.00% Floor | 8.82% | 03/30/23 | 166,667 | ||||
Oil & Gas Storage & Transportation – 0.4% | ||||||||
1,292,065 | Lotus Midstream (Centurion Pipeline Company, LLC), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 5.64% | 09/30/25 | 1,294,494 | ||||
Other Diversified Financial Services – 7.8% | ||||||||
12,361,372 | AlixPartners, LLP, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 04/04/24 | 12,222,307 | ||||
8,605,006 | Duff & Phelps Corporation (Deerfield Dakota), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 02/13/25 | 8,484,535 | ||||
1,585,579 | Financial & Risk US Holdings, Inc. (Refinitiv), Initial Dollar Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.09% | 10/01/25 | 1,542,832 | ||||
3,242,527 | First Data Corporation, 2024A New Dollar Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.32% | 04/26/24 | 3,179,719 | ||||
3,128,000 | Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 07/01/23 | 3,099,504 | ||||
28,528,897 | ||||||||
Packaged Foods & Meats – 2.3% | ||||||||
2,680,776 | Hostess Brands, LLC (HB Holdings), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.59% | 08/03/22 | 2,609,575 | ||||
16,650 | Hostess Brands, LLC (HB Holdings), Term Loan B, 2 Mo. LIBOR + 2.25%, 0.75% Floor | 4.64% | 08/03/22 | 16,208 | ||||
3,912,760 | Hostess Brands, LLC (HB Holdings), Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.78% | 08/03/22 | 3,808,836 | ||||
2,055,555 | Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.32% | 05/24/24 | 2,042,194 | ||||
8,476,813 | ||||||||
Paper Packaging – 3.5% | ||||||||
13,130,368 | Reynolds Group Holdings, Inc., U.S. Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 02/05/23 | 12,956,390 | ||||
Personal Products – 0.1% | ||||||||
277,959 | Rodan & Fields, LLC, Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 6.31% | 06/15/25 | 254,333 | ||||
Pharmaceuticals – 11.4% | ||||||||
1,682,692 | Akorn, Inc., Loan, 1 Mo. LIBOR + 5.50%, 1.00% Floor | 7.88% | 04/16/21 | 1,407,572 | ||||
19,159,651 | Bausch Health Companies, Inc. (Valeant), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.31% | 06/01/25 | 18,946,787 | ||||
1,234,794 | Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 4.59% | 05/20/24 | 1,225,088 | ||||
3,283,000 | Concordia Healthcare, Dollar Term Loan, 1 Mo. LIBOR + 5.50%, 1.00% Floor | 7.82% | 09/06/24 | 3,167,570 | ||||
7,252,739 | Endo, LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor | 6.63% | 04/29/24 | 7,210,456 | ||||
1,603,387 | GoodRX, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.32% | 10/15/25 | 1,592,692 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$1,488,665 | Grifols Worldwide Operations Limited, Tranche B Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.47% | 01/31/25 | $1,475,639 | ||||
5,094,142 | Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.38% | 03/29/24 | 5,038,972 | ||||
965,970 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.14% | 09/24/24 | 922,202 | ||||
966,019 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.62% | 02/24/25 | 928,586 | ||||
41,915,564 | ||||||||
Research & Consulting Services – 1.8% | ||||||||
5,753,686 | Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 07/23/21 | 5,190,918 | ||||
797,940 | Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 07/25/21 | 718,648 | ||||
558,400 | TransUnion, LLC, Term Loan B4, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 06/30/25 | 553,018 | ||||
6,462,584 | ||||||||
Restaurants – 4.4% | ||||||||
630,405 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.57% | 01/18/25 | 623,181 | ||||
8,341,454 | Portillo’s Holdings, LLC, Second Lien Term Loan, 3 Mo. LIBOR + 8.00%, 1.00% Floor | 10.39% | 08/15/22 | 8,258,039 | ||||
7,425,139 | Portillo’s Holdings, LLC, Term B Loan (First Lien), 3 Mo. LIBOR + 4.50%, 1.00% Floor | 6.89% | 08/02/21 | 7,415,857 | ||||
16,297,077 | ||||||||
Security & Alarm Services – 0.3% | ||||||||
1,185,013 | Garda World Security Corporation, Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.82% | 05/26/24 | 1,172,179 | ||||
Semiconductors – 0.5% | ||||||||
1,095,495 | Microchip Technology, Initial Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.35% | 05/29/25 | 1,082,830 | ||||
666,192 | Western Digital Corporation, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.06% | 04/29/23 | 646,207 | ||||
1,729,037 | ||||||||
Specialized Consumer Services – 2.9% | ||||||||
724,000 | Asurion, LLC (fka Asurion Corporation), Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor | 8.84% | 07/31/25 | 737,271 | ||||
1,370,522 | Asurion, LLC (fka Asurion Corporation), Term Loan B4, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 08/04/22 | 1,356,817 | ||||
3,660,526 | Asurion, LLC (fka Asurion Corporation), Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 11/03/23 | 3,620,113 | ||||
5,000,000 | Asurion, LLC (fka Asurion Corporation), Term Loan B7, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 11/03/24 | 4,943,750 | ||||
10,657,951 | ||||||||
Specialized Finance – 0.8% | ||||||||
3,080,604 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.06% | 05/09/25 | 3,021,981 | ||||
Specialty Chemicals – 1.8% | ||||||||
1,135,333 | Akzonobel Specialty Chemicals (Starfruit), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.55% | 10/01/25 | 1,118,303 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Specialty Chemicals (Continued) | ||||||||
$4,625,418 | H.B. Fuller Company, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 10/20/24 | $4,552,197 | ||||
1,082,905 | MacDermid, Incorporated (Platform Specialty Products Corporation), Term Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 06/07/23 | 1,082,321 | ||||
6,752,821 | ||||||||
Specialty Stores – 0.6% | ||||||||
2,371,479 | Toys “R” Us-Delaware, Inc., Term B-2 Loan, Prime Rate + 2.75%, 1.50% Floor (e) (f) | 8.00% | 05/25/18 | 1,154,128 | ||||
1,926,651 | Toys “R” Us-Delaware, Inc., Term B4 Loan, Prime Rate + 7.75%, 1.00% Floor (e) (f) | 13.00% | 04/25/20 | 963,325 | ||||
2,117,453 | ||||||||
Systems Software – 6.8% | ||||||||
892,867 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 09/13/24 | 881,707 | ||||
511,161 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor | 9.39% | 09/13/25 | 512,438 | ||||
1,192,090 | Avast Software B.V. (Sybil), Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 4.89% | 09/30/23 | 1,180,539 | ||||
3,853,346 | BMC Software Finance, Inc. (Boxer Parent), Term Loan B, 3 Mo. LIBOR + 4.25%, 0.00% Floor | 6.65% | 10/02/25 | 3,800,362 | ||||
3,126,727 | Dynatrace, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 08/22/25 | 3,115,001 | ||||
3,636,947 | Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/13/24 | 3,512,891 | ||||
3,283,520 | Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.60% | 04/24/22 | 3,151,260 | ||||
2,908,001 | SS&C European Holdings, S.a.r.l, Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 04/16/25 | 2,835,824 | ||||
1,107,591 | SS&C European Holdings, S.a.r.l, Term Loan B-4, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 04/16/25 | 1,080,101 | ||||
1,762,032 | SS&C European Holdings, S.a.r.l, Term Loan B-5, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 04/16/25 | 1,714,122 | ||||
808,790 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.60% | 09/30/25 | 803,736 | ||||
2,403,762 | Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 06/15/25 | 2,360,687 | ||||
24,948,668 | ||||||||
Technology Hardware, Storage & Peripherals – 3.4% | ||||||||
12,558,686 | Dell International, LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 4.35% | 09/07/23 | 12,395,799 | ||||
Trading Companies & Distributors – 0.1% | ||||||||
317,491 | Reece International Pty Ltd. (Hamilton), Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.40% | 07/02/25 | 314,317 | ||||
Total Senior Floating-Rate Loan Interests | 500,112,413 | |||||||
(Cost $511,557,146) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (c) – 3.7% | ||||||||
Auto Parts & Equipment – 0.3% | ||||||||
1,093,000 | American Axle & Manufacturing, Inc. | 6.63% | 10/15/22 | 1,095,732 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (c) (Continued) | ||||||||
Cable & Satellite – 0.4% | ||||||||
$1,000,000 | CCO Holdings, LLC / CCO Holdings Capital Corp. | 5.75% | 01/15/24 | $1,007,700 | ||||
557,000 | CSC Holdings, LLC (g) | 5.50% | 05/15/26 | 540,812 | ||||
1,548,512 | ||||||||
Health Care Facilities – 2.8% | ||||||||
1,000,000 | Select Medical Corp. | 6.38% | 06/01/21 | 1,010,950 | ||||
800,000 | Tenet Healthcare Corp. | 6.00% | 10/01/20 | 818,200 | ||||
5,776,000 | Tenet Healthcare Corp. (g) | 7.50% | 01/01/22 | 5,999,820 | ||||
2,136,000 | Tenet Healthcare Corp. | 8.13% | 04/01/22 | 2,229,450 | ||||
10,058,420 | ||||||||
Health Care Services – 0.1% | ||||||||
438,000 | DaVita, Inc. | 5.13% | 07/15/24 | 422,123 | ||||
Industrial Machinery – 0.1% | ||||||||
325,000 | SPX FLOW, Inc. (g) | 5.63% | 08/15/24 | 315,250 | ||||
Total Corporate Bonds and Notes | 13,440,037 | |||||||
(Cost $13,438,332) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES (c) – 0.4% | ||||||||
Pharmaceuticals – 0.4% | ||||||||
1,601,000 | Bausch Health Companies, Inc. (Valeant) (g) | 5.27% | 12/01/21 | 1,605,003 | ||||
(Cost $1,579,583) |
Shares | Description | Value | ||
COMMON STOCKS (c) – 0.9% | ||||
Broadcasting – 0.1% | ||||
25,815 | Cumulus Media New Holdings (d) (h) | 387,225 | ||
Electric Utilities – 0.7% | ||||
106,607 | Vistra Energy Corp. (h) | 2,503,132 | ||
Oil & Gas Exploration & Production – 0.1% | ||||
119,734 | American Energy Marcellus, Class A (h) (i) | 354,233 | ||
3,699 | Fieldwood Energy Equity (h) (i) | 154,125 | ||
508,358 | ||||
Total Common Stocks | 3,398,715 | |||
(Cost $3,357,338) | ||||
RIGHTS (c) – 0.0% | ||||
Electric Utilities – 0.0% | ||||
106,607 | Vistra Energy Corp. (h) | 85,605 | ||
175,376 | Vistra Energy Corp. Claim (h) (j) (k) | 0 | ||
85,605 | ||||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust (h) (j) (k) (l) | 0 | ||
1 | New Millennium Holdco, Inc., Lender Claim Trust (h) (j) (k) (l) | 0 | ||
0 | ||||
Total Rights | 85,605 | |||
(Cost $178,763) |
Shares | Description | Value | ||
WARRANTS (c) – 0.0% | ||||
Oil & Gas Exploration & Production – 0.0% | ||||
31,000 | American Energy Marcellus First Lien Warrants (h) | $930 | ||
(Cost $3,100) | ||||
MONEY MARKET FUNDS (c) – 2.2% | ||||
8,000,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.10% (m) | 8,000,000 | ||
(Cost $8,000,000) | ||||
Total Investments – 143.7% | 526,642,703 | |||
(Cost $538,114,262) (n) | ||||
Outstanding Loans – (42.6)% | (156,000,000) | |||
Net Other Assets and Liabilities – (1.1)% | (4,113,111) | |||
Net Assets – 100.0% | $366,529,592 |
(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) | On June 4, 2018, Cumulus Media Holdings, Inc. 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. |
(e) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
(f) | This issuer has filed for protection in bankruptcy court. |
(g) | 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 November 30, 2018, securities noted as such amounted to $8,460,885 or 2.3% of net assets. |
(h) | Non-income producing security. |
(i) | 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 November 30, 2018, securities noted as such amounted to $508,358 or 0.1% of net assets. |
(j) | 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 November 30, 2018, securities noted as such are valued at $0 or 0.0% of net assets. |
(k) | This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements). |
(l) | Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(m) | Rate shown reflects yield as of November 30, 2018. |
(n) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of November 30, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,056,991 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $12,528,550. The net unrealized depreciation was $11,471,559. |
LIBOR | London Interbank Offered Rate |
Total Value at 11/30/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 500,112,413 | $ — | $ 500,112,413 | $ — |
Corporate Bonds and Notes* | 13,440,037 | — | 13,440,037 | — |
Foreign Corporate Bonds and Notes* | 1,605,003 | — | 1,605,003 | — |
Common Stocks: | ||||
Electric Utilities | 2,503,132 | 2,503,132 | — | — |
Other industry categories* | 895,583 | — | 895,583 | — |
Rights: | ||||
Electric Utilities | 85,605 | — | 85,605 | —** |
Life Sciences Tools & Services | —** | — | — | —** |
Warrants* | 930 | — | 930 | — |
Money Market Funds | 8,000,000 | 8,000,000 | — | — |
Total Investments | $ 526,642,703 | $ 10,503,132 | $ 516,139,571 | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
ASSETS: | |
Investments, at value (Cost $538,114,262) | $ 526,642,703 |
Cash | 527,120 |
Receivables: | |
Interest | 2,209,166 |
Investment securities sold | 708,342 |
Prepaid expenses | 7,688 |
Total Assets | 530,095,019 |
LIABILITIES: | |
Outstanding loans | 156,000,000 |
Payables: | |
Investment securities purchased | 6,816,978 |
Investment advisory fees | 320,592 |
Interest and fees on loans | 170,057 |
Administrative fees | 119,397 |
Legal fees | 47,352 |
Audit and tax fees | 41,582 |
Custodian fees | 16,891 |
Shareholder reporting fees | 12,588 |
Transfer agent fees | 3,304 |
Trustees’ fees and expenses | 2,807 |
Financial reporting fees | 771 |
Other liabilities | 13,108 |
Total Liabilities | 163,565,427 |
NET ASSETS | $366,529,592 |
NET ASSETS consist of: | |
Paid-in capital | $ 403,582,854 |
Par value | 266,970 |
Accumulated distributable earnings (loss) | (37,320,232) |
NET ASSETS | $366,529,592 |
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) | $13.73 |
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) | 26,696,982 |
INVESTMENT INCOME: | ||
Interest | $ 13,788,581 | |
Dividends | 20 | |
Other | 372,596 | |
Total investment income | 14,161,197 | |
EXPENSES: | ||
Investment advisory fees | 1,948,951 | |
Interest and fees on loans | 2,201,704 | |
Administrative fees | 177,165 | |
Shareholder reporting fees | 51,364 | |
Legal fees | 43,510 | |
Custodian fees | 36,111 | |
Audit and tax fees | 31,932 | |
Transfer agent fees | 14,735 | |
Listing expense | 13,547 | |
Trustees’ fees and expenses | 8,275 | |
Financial reporting fees | 4,625 | |
Other | 2,072 | |
Total expenses | 4,533,991 | |
NET INVESTMENT INCOME (LOSS) | 9,627,206 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (2,534,948) | |
Net change in unrealized appreciation (depreciation) on investments | (5,967,059) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (8,502,007) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 1,125,199 |
Six Months Ended 11/30/2018 (Unaudited) | Year Ended 5/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 9,627,206 | $ 18,615,034 | |
Net realized gain (loss) | (2,534,948) | (4,502,205) | |
Net change in unrealized appreciation (depreciation) | (5,967,059) | (52,148) | |
Net increase (decrease) in net assets resulting from operations | 1,125,199 | 14,060,681 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (9,610,913) | ||
Net investment income | (18,612,204) | ||
Return of capital | — | (1,730,896) | |
Total distributions to shareholders | (9,610,913) | (20,343,100) | |
Total increase (decrease) in net assets | (8,485,714) | (6,282,419) | |
NET ASSETS: | |||
Beginning of period | 375,015,306 | 381,297,725 | |
End of period | $ 366,529,592 | $ 375,015,306 | |
Accumulated net investment income (loss) at end of period | $92,009 | ||
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 | $1,125,199 | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||
Purchases of investments | (283,668,355) | |
Sales, maturities and paydown of investments | 282,991,774 | |
Net amortization/accretion of premiums/discounts on investments | 9,883 | |
Net realized gain/loss on investments | 2,534,948 | |
Net change in unrealized appreciation/depreciation on investments | 5,967,059 | |
Changes in assets and liabilities: | ||
Increase in interest receivable | (220,345) | |
Increase in prepaid expenses | (4,645) | |
Decrease in interest and fees payable on loans | (11,078) | |
Decrease in investment advisory fees payable | (14,126) | |
Decrease in audit and tax fees payable | (25,068) | |
Increase in legal fees payable | 14,016 | |
Decrease in shareholder reporting fees payable | (15,524) | |
Increase in administrative fees payable | 11,119 | |
Increase in custodian fees payable | 4,994 | |
Increase in transfer agent fees payable | 1,254 | |
Increase in Trustees’ fees and expenses payable | 93 | |
Increase in financial reporting fees payable | 1 | |
Increase in other liabilities payable | 9,663 | |
Cash provided by operating activities | $8,710,862 | |
Cash flows from financing activities: | ||
Distributions to Common Shareholders from investment operations | (9,610,913) | |
Repayment of borrowings | (60,000,000) | |
Proceeds from borrowings | 61,000,000 | |
Cash used in financing activities | (8,610,913) | |
Increase in cash | 99,949 | |
Cash at beginning of period | 427,171 | |
Cash at end of period | $527,120 | |
Supplemental disclosure of cash flow information: | ||
Cash paid during the period for interest and fees | $2,212,782 |
Six Months Ended 11/30/2018 (Unaudited) | Year Ended May 31, | ||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $ 14.05 | $ 14.28 | $ 14.03 | $ 14.71 | $ 14.95 | $ 15.14 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.36 | 0.70 | 0.78 | 0.83 | 0.87 | 0.84 | |||||
Net realized and unrealized gain (loss) | (0.32) | (0.17) | 0.30 | (0.63) | (0.27) | (0.08) | |||||
Total from investment operations | 0.04 | 0.53 | 1.08 | 0.20 | 0.60 | 0.76 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.36) | (0.70) | (0.78) | (0.88) | (0.84) | (0.95) | |||||
Return of capital | — | (0.06) | (0.05) | — | — | — | |||||
Total distributions paid to Common Shareholders | (0.36) | (0.76) |