•
|
Daily, weekly and monthly data on share prices, net asset values, distributions and more
|
•
|
Portfolio overviews and performance analyses
|
•
|
Announcements, press releases and special notices
|
•
|
Fund and adviser contact information
|
(Unaudited)
|
May 31, 2020
|
DEAR SHAREHOLDER (Unaudited) continued
|
May 31, 2020
|
ECONOMIC AND MARKET OVERVIEW (Unaudited)
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited)
|
May 31, 2020
|
•
|
The Fund may invest without limitation in fixed-income securities rated below investment grade (commonly referred to as “junk bonds”); the Fund may invest in below-investment grade income securities of any
rating;
|
•
|
The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed-income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in
fixed-income securities of issuers located in emerging markets;
|
•
|
The Fund may invest up to 50% of its total assets in common equity securities, and the Fund may invest in ETFs or other investment funds that track equity market indices and/or through derivative instruments
that replicate the economic characteristics of exposure to Common Equity Securities; and
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
•
|
The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly, of which amount up to 30% of the Fund’s
total assets may be invested in investment funds that are registered as investment companies under the Investment Company Act of 1940 (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the
U.S. Securities and Exchange Commission.
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
Index
|
Total Return
|
Bloomberg Barclays U.S. Aggregate Bond Index
|
9.42%
|
Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index
|
4.43%
|
Bloomberg Barclays U.S. Corporate High Yield Index
|
1.32%
|
Credit Suisse Leveraged Loan Index
|
-3.35%
|
ICE Bank of America Merrill Lynch Asset Backed Security Master BBB-AA Index
|
-1.83%
|
S&P 500 Index
|
12.84%
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2020
|
FUND SUMMARY (Unaudited)
|
May 31, 2020
|
Fund Statistics
|
|
Share Price
|
$16.20
|
Net Asset Value
|
$15.29
|
Premium to NAV
|
5.95%
|
Net Assets ($000)
|
$648,892
|
|
||||
AVERAGE ANNUAL TOTAL RETURNS FOR THE
|
|
|||
PERIOD ENDED MAY 31, 2020
|
|
|||
|
||||
|
One
|
Three
|
Five
|
Ten
|
|
Year
|
Year
|
Year
|
Year
|
Guggenheim Strategic Opportunities Fund
|
|
|
|
|
NAV
|
(2.79%)
|
3.45%
|
7.18%
|
10.11%
|
Market
|
(7.96%)
|
3.05%
|
6.51%
|
10.59%
|
FUND SUMMARY (Unaudited) continued
|
May 31, 2020
|
Portfolio Breakdown
|
% of Net Assets
|
Investments
|
|
Senior Floating Rate Interests
|
38.0%
|
Corporate Bonds
|
29.2%
|
Asset-Backed Securities
|
19.5%
|
Collateralized Mortgage Obligations
|
10.5%
|
Closed-End Funds
|
5.6%
|
U.S. Treasury Bills
|
2.6%
|
Exchange-Traded Funds
|
1.7%
|
Other
|
2.3%
|
Total Investments
|
109.4%
|
Call Options Written
|
(0.5%)
|
Other Assets & Liabilities, net
|
(8.9%)
|
Net Assets
|
100.0%
|
|
|
Ten Largest Holdings
|
(% of Total Net Assets)
|
Morgan Stanley Finance LLC, 1.50%
|
2.0%
|
Delta Air Lines, Inc., 7.00%
|
1.8%
|
SPDR Bloomberg Barclays High Yield Bond ETF
|
1.7%
|
Boeing Co., 5.81%
|
1.6%
|
Aesf Vi Verdi LP, 1.80%
|
1.5%
|
BlackRock Taxable Municipal Bond Trust
|
1.0%
|
ViacomCBS, Inc., 4.95%
|
1.0%
|
VB-S1 Issuer LLC, 6.66%
|
1.0%
|
Nuveen Taxable Municipal Income Fund
|
0.9%
|
TSGE, 6.25%
|
0.8%
|
Top Ten Total
|
13.3%
|
FUND SUMMARY (Unaudited) continued
|
May 31, 2020
|
Portfolio Composition by Quality Rating1
|
|
|
|
|
% of Total
|
Rating
|
Investments
|
Investments
|
|
AAA
|
3.1%
|
AA
|
1.1%
|
A
|
8.9%
|
BBB
|
14.8%
|
BB
|
13.4%
|
B
|
25.1%
|
CCC
|
4.6%
|
CC
|
4.0%
|
C
|
0.5%
|
D
|
0.0%*
|
NR2
|
11.9%
|
Other Instruments
|
12.6%
|
Total Investments
|
100.0%
|
FUND SUMMARY (Unaudited) continued
|
May 31, 2020
|
SCHEDULE OF INVESTMENTS
|
May 31, 2020
|
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 0.2%
|
|
|
Utilities – 0.1%
|
|
|
TexGen Power LLC†††
|
22,219
|
$ 666,570
|
|
||
Consumer, Non-cyclical – 0.1%
|
|
|
Chef Holdings, Inc.*,†††,1
|
4,789
|
400,817
|
ATD New Holdings, Inc.*,††
|
13,571
|
198,476
|
Cengage Learning Holdings II, Inc.*,††
|
11,126
|
33,378
|
Targus Group International Equity, Inc.*,†††,1,2
|
12,989
|
23,091
|
Save-A-Lot*,†††,1
|
15,565
|
–
|
Total Consumer, Non-cyclical
|
|
655,762
|
|
||
Technology – 0.0%
|
|
|
Qlik Technologies, Inc. – Class A*,†††,1
|
56
|
68,267
|
Qlik Technologies, Inc. – Class B*,†††,1
|
13,812
|
–
|
Total Technology
|
|
68,267
|
|
||
Energy – 0.0%
|
|
|
SandRidge Energy, Inc.*
|
39,565
|
62,513
|
Titan Energy LLC*,3
|
9,603
|
288
|
Total Energy
|
|
62,801
|
|
||
Industrial – 0.0%
|
|
|
BP Holdco LLC*,†††,1,2
|
55,076
|
16,061
|
Vector Phoenix Holdings, LP*,†††,1
|
55,076
|
4,380
|
Total Industrial
|
|
20,441
|
Total Common Stocks
|
|
|
(Cost $3,252,487)
|
|
1,473,841
|
|
||
PREFERRED STOCKS†† – 0.6%
|
|
|
Government – 0.4%
|
|
|
Farmer Mac 5.75%
|
112,000
|
2,794,400
|
|
||
Financial – 0.2%
|
|
|
Public Storage 5.40%
|
41,000
|
1,055,750
|
AgriBank FCB 6.88%
|
4,000
|
401,000
|
Total Financial
|
|
1,456,750
|
Total Preferred Stocks
|
|
|
(Cost $4,143,000)
|
|
4,251,150
|
|
||
EXCHANGE-TRADED FUNDS† – 1.7%
|
|
|
SPDR Bloomberg Barclays High Yield Bond ETF
|
106,075
|
10,818,589
|
Total Exchange-Traded Funds
|
|
|
(Cost $10,333,095)
|
|
10,818,589
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Shares
|
Value
|
|
||
CLOSED-END FUNDS† – 5.6%
|
|
|
BlackRock Taxable Municipal Bond Trust
|
284,422
|
$ 6,794,842
|
Nuveen Taxable Municipal Income Fund
|
284,599
|
5,922,505
|
Nuveen AMT-Free Municipal Credit Income Fund
|
286,600
|
4,287,536
|
BlackRock Corporate High Yield Fund, Inc.
|
350,804
|
3,529,088
|
Invesco Municipal Opportunity Trust
|
223,701
|
2,626,250
|
Invesco Trust for Investment Grade Municipals
|
203,291
|
2,451,689
|
Invesco Municipal Trust
|
179,952
|
2,101,839
|
Invesco Advantage Municipal Income Trust II
|
158,081
|
1,644,042
|
BlackRock Credit Allocation Income Trust
|
113,944
|
1,541,663
|
BlackRock Municipal Income Trust
|
107,069
|
1,390,826
|
Blackstone / GSO Strategic Credit Fund
|
123,339
|
1,375,230
|
Eaton Vance Limited Duration Income Fund
|
80,135
|
903,923
|
Ares Dynamic Credit Allocation Fund, Inc.
|
62,013
|
729,893
|
Nuveen AMT-Free Quality Municipal Income Fund
|
28,751
|
398,776
|
BlackRock Debt Strategies Fund, Inc.
|
39,371
|
380,324
|
Nuveen Quality Municipal Income Fund
|
23,748
|
332,235
|
BlackRock MuniVest Fund, Inc.
|
23,221
|
194,128
|
Total Closed-End Funds
|
|
|
(Cost $36,956,533)
|
|
36,604,789
|
|
||
MONEY MARKET FUND† – 1.0%
|
|
|
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.10%4
|
6,469,422
|
6,469,422
|
Total Money Market Fund
|
|
|
(Cost $6,469,422)
|
|
6,469,422
|
|
Face
|
|
|
Amount~
|
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0%
|
|
|
Consumer, Cyclical – 8.3%
|
|
|
Samsonite IP Holdings SARL
|
|
|
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25
|
3,050,000
|
2,957,219
|
1-800 Contacts
|
|
|
4.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/22/23
|
2,569,994
|
2,499,319
|
Alexander Mann
|
|
|
4.43% (6 Month GBP LIBOR + 3.75%, Rate Floor: 3.75%) due 12/16/24†††,1
|
GBP 1,172,865
|
1,141,657
|
6.06% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25†††
|
1,300,000
|
1,014,000
|
World Triathlon Corp.
|
|
|
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 08/15/26†††
|
2,182,398
|
2,138,750
|
BCPE Empire Holdings, Inc.
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26
|
1,827,608
|
1,708,814
|
BGIS (BIFM CA Buyer, Inc.)
|
|
|
4.11% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26†††
|
1,736,875
|
1,671,742
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Consumer, Cyclical – 8.3% (continued)
|
|
|
Galls LLC
|
|
|
14.50% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%)
|
|
|
(in-kind rate was 7.25%) due 01/31/25†††,1,15
|
875,756
|
$ 845,104
|
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/24†††,1
|
112,782
|
103,790
|
7.32% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25†††,1
|
95,055
|
91,728
|
Blue Nile, Inc.
|
|
|
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23
|
1,725,000
|
997,619
|
Prime Security Services Borrower LLC (ADT)
|
|
|
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 09/23/26
|
995,000
|
968,573
|
EnTrans International, LLC
|
|
|
6.17% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24
|
1,368,750
|
958,125
|
Atkins Nutritionals, Inc.
|
|
|
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/08/24
|
969,489
|
952,523
|
Recorded Books, Inc.
|
|
|
due 08/29/25
|
900,000
|
843,750
|
CHG Healthcare Services, Inc.
|
|
|
4.07% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23
|
748,846
|
730,597
|
AT Home Holding III
|
|
|
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/03/22
|
1,092,746
|
710,285
|
Nellson Nutraceutical
|
|
|
5.70% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/21
|
813,965
|
681,696
|
Alterra Mountain Co.
|
|
|
due 08/01/26†††
|
600,000
|
594,000
|
EG Finco Ltd.
|
|
|
5.07% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25
|
293,286
|
277,155
|
8.75% (6 Month EURIBOR + 7.75%, Rate Floor: 8.75%) due 04/20/26
|
EUR 249,505
|
238,125
|
Checkers Drive-In Restaurants, Inc.
|
|
|
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24
|
997,731
|
498,866
|
NES Global Talent
|
|
|
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23†††
|
615,815
|
492,652
|
Mavis Tire Express Services Corp.
|
|
|
4.70% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25
|
496,661
|
448,649
|
Outcomes Group Holdings, Inc.
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25
|
495,734
|
442,031
|
American Tire Distributors, Inc.
|
|
|
7.20% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23
|
425,232
|
378,456
|
8.55% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%,
|
|
|
Rate Floor: 8.50%) due 09/02/24
|
82,449
|
50,019
|
Drive Chassis (DCLI)
|
|
|
9.56% (3 Month USD LIBOR + 8.25%, Rate Floor: 8.25%) due 04/10/26†††
|
500,000
|
427,500
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Consumer, Non-cyclical – 6.6% (continued)
|
|
|
Snacking Investments US LLC (Arnott's)
|
|
|
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 12/18/26
|
1,695,750
|
$ 1,648,405
|
Cambrex Corp.
|
|
|
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/04/26
|
1,695,750
|
1,634,279
|
Diamond (BC) BV
|
|
|
3.76% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%,
|
|
|
Rate Floor: 3.00%) due 09/06/24
|
1,739,210
|
1,606,160
|
MDVIP LLC
|
|
|
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24†††
|
1,697,372
|
1,578,556
|
PlayPower, Inc.
|
|
|
6.95% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 05/08/26
|
1,809,260
|
1,429,316
|
California Cryobank
|
|
|
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/06/25†††
|
1,529,361
|
1,376,425
|
Hearthside Group Holdings LLC
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25
|
1,431,875
|
1,373,412
|
Arctic Glacier Group Holdings, Inc.
|
|
|
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24
|
1,772,602
|
1,368,786
|
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
|
|
|
4.67% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25
|
1,619,965
|
1,360,770
|
Confluent Health LLC
|
|
|
5.44% (1 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%,
|
|
|
Rate Floor: 5.00%) due 06/24/26
|
1,588,000
|
1,349,800
|
EyeCare Partners LLC
|
|
|
4.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27
|
1,418,919
|
1,291,216
|
BCPE Eagle Buyer LLC
|
|
|
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24
|
1,456,462
|
1,270,763
|
Sierra Acquisition, Inc.
|
|
|
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24
|
1,421,222
|
1,211,591
|
Tecbid US, Inc.
|
|
|
5.20% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/25/24
|
988,890
|
979,001
|
CTI Foods Holding Co. LLC
|
|
|
8.77% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%)
|
|
|
(in-kind rate was 3.00%) due 05/03/24†††,1,15
|
468,586
|
431,099
|
10.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%)
|
|
|
(in-kind rate was 6.00%) due 05/03/24†††,15
|
192,379
|
171,218
|
Affordable Care Holdings Corp.
|
|
|
6.20% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/24/22
|
804,278
|
599,187
|
Certara, Inc.
|
|
|
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/15/24†††
|
608,054
|
565,490
|
Moran Foods LLC
|
|
|
12.18% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24†††,1
|
297,594
|
265,096
|
1.00% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/01/24†††,1
|
251,869
|
226,682
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Consumer, Non-cyclical – 6.6% (continued)
|
|
|
Examworks Group, Inc.
|
|
|
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 01/27/23†††,1
|
400,000
|
$ 383,255
|
4.32% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23
|
98,977
|
96,565
|
Kar Nut Products Company LLC
|
|
|
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 03/31/23†††,1
|
364,523
|
359,055
|
Hoffmaster Group, Inc.
|
|
|
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/21/23
|
422,558
|
304,241
|
Recess Holdings, Inc.
|
|
|
5.20% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24
|
297,710
|
240,648
|
Blue Ribbon LLC
|
|
|
5.04% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%,
|
|
|
Rate Floor: 5.00%) due 11/15/21
|
220,000
|
180,950
|
Total Consumer, Non-cyclical
|
|
42,733,399
|
|
||
Industrial – 6.4%
|
|
|
Alion Science & Technology Corp.
|
|
|
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/19/21
|
3,112,269
|
3,075,949
|
Capstone Logistics
|
|
|
5.57% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/07/21
|
2,613,814
|
2,463,520
|
American Bath Group LLC
|
|
|
5.00% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%,
|
|
|
Rate Floor: 5.00%) due 09/29/23
|
2,667,429
|
2,454,034
|
StandardAero
|
|
|
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/06/26
|
2,736,250
|
2,294,346
|
ILPEA Parent, Inc.
|
|
|
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 03/02/23†††
|
2,458,726
|
2,286,615
|
WP CPP Holdings LLC
|
|
|
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%,
|
|
|
Rate Floor: 4.75%) due 04/30/25
|
2,344,819
|
2,016,545
|
Tank Holdings Corp.
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/26/26
|
1,990,000
|
1,874,958
|
STS Operating, Inc. (SunSource)
|
|
|
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24
|
2,043,043
|
1,820,004
|
Foundation Building Materials Holding Company LLC
|
|
|
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/13/25
|
1,728,125
|
1,630,918
|
NA Rail Hold Co LLC (Patriot)
|
|
|
6.27% (2 Month USD LIBOR + 5.25%, Rate Floor: 5.25%) due 10/19/26†††
|
1,700,000
|
1,606,500
|
AI Convoy Luxembourg SARL
|
|
|
4.65% (3 Month USD LIBOR + 3.50% and 6 Month USD LIBOR + 3.50%,
|
|
|
Rate Floor: 4.50%) due 01/18/27
|
1,500,000
|
1,428,750
|
Pelican Products, Inc.
|
|
|
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25
|
1,607,500
|
1,422,637
|
API Holdings III Corp.
|
|
|
4.42% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/11/26
|
1,588,000
|
1,338,557
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Industrial – 6.4% (continued)
|
|
|
National Technical
|
|
|
7.43% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 06/12/21†††,1
|
1,358,790
|
$ 1,304,438
|
Anchor Packaging LLC
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26
|
1,347,077
|
1,279,723
|
Transcendia Holdings, Inc.
|
|
|
4.57% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24
|
1,764,587
|
1,182,273
|
Avison Young (Canada), Inc.
|
|
|
5.85% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 01/31/26
|
1,283,750
|
1,146,954
|
Charter Nex US, Inc.
|
|
|
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/16/24
|
1,177,049
|
1,142,479
|
Fortis Solutions Group LLC
|
|
|
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/15/23†††,1
|
1,144,766
|
1,106,646
|
Diversitech Holdings, Inc.
|
|
|
8.95% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25
|
1,000,000
|
900,000
|
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/03/24†††
|
99,235
|
94,273
|
SLR Consulting Ltd.
|
|
|
4.98% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1
|
793,980
|
740,358
|
4.97% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1
|
207,744
|
193,714
|
4.98% (1 Month USD LIBOR + 4.00% and 6 Month USD LIBOR + 4.00%,
|
|
|
Rate Floor: 4.00%) due 06/23/25†††,1
|
39,120
|
45,041
|
Bhi Investments LLC
|
|
|
10.67% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††,1
|
1,000,000
|
950,000
|
Duran, Inc.
|
|
|
6.15% (6 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/20/24†††,1
|
539,701
|
480,805
|
6.12% (6 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/29/24†††,1
|
492,255
|
438,536
|
ProAmpac PG Borrower LLC
|
|
|
9.50% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/18/24
|
1,000,000
|
810,000
|
Savage Enterprises LLC
|
|
|
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/01/25
|
780,000
|
767,325
|
YAK MAT (YAK ACCESS LLC)
|
|
|
11.20% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26
|
1,000,000
|
650,000
|
BWAY Holding Co.
|
|
|
4.56% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24
|
695,803
|
632,749
|
Thermon Group Holdings, Inc.
|
|
|
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/30/24†††
|
639,180
|
594,437
|
TricorBraun Holdings, Inc.
|
|
|
5.20% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/30/23
|
586,325
|
547,481
|
Dimora Brands, Inc.
|
|
|
4.57% (2 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%,
|
|
|
Rate Floor: 4.50%) due 08/24/24†††
|
486,563
|
440,340
|
Titan Acquisition Ltd. (Husky)
|
|
|
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25
|
296,123
|
267,357
|
Hayward Industries, Inc.
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24
|
155,528
|
150,279
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Industrial – 6.4% (continued)
|
|
|
CPM Holdings, Inc.
|
|
|
3.97% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/17/25
|
99,496
|
$ 80,915
|
Total Industrial
|
|
41,659,456
|
|
||
Technology – 6.4%
|
|
|
Cologix Holdings, Inc.
|
|
|
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 03/20/24
|
3,150,000
|
3,012,975
|
Planview, Inc.
|
|
|
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 01/27/23†††,1
|
2,639,375
|
2,590,912
|
Datix Bidco Ltd.
|
|
|
5.36% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††,1
|
2,001,644
|
1,987,670
|
8.61% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††,1
|
300,111
|
290,051
|
Emerald TopCo, Inc. (Press Ganey)
|
|
|
4.26% (1 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%,
|
|
|
Rate Floor: 3.50%) due 07/24/26
|
2,288,500
|
2,193,527
|
GlobalFoundries, Inc.
|
|
|
6.25% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/05/26
|
2,332,375
|
2,180,771
|
Ministry Brands LLC
|
|
|
5.00% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22†††
|
2,162,540
|
2,054,414
|
II-VI, Inc.
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/24/26
|
1,990,000
|
1,913,723
|
Upland Software, Inc.
|
|
|
3.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26
|
1,990,000
|
1,890,500
|
EIG Investors Corp.
|
|
|
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%,
|
|
|
Rate Floor: 4.75%) due 02/09/23
|
1,915,395
|
1,854,735
|
Brave Parent Holdings, Inc.
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25
|
1,866,750
|
1,792,080
|
Dun & Bradstreet
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/06/26
|
1,750,000
|
1,701,140
|
Cvent, Inc.
|
|
|
3.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/29/24
|
1,960,000
|
1,700,300
|
TIBCO Software, Inc.
|
|
|
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26
|
1,750,000
|
1,681,103
|
Park Place Technologies LLC
|
|
|
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/29/25†††
|
1,066,060
|
1,002,096
|
9.00% (3 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 03/30/26†††
|
680,723
|
592,229
|
Project Boost Purchaser LLC
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26
|
1,691,500
|
1,582,956
|
Aston FinCo SARL
|
|
|
4.47% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26
|
1,700,000
|
1,553,800
|
Misys Ltd.
|
|
|
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24
|
1,687,691
|
1,530,179
|
Navicure, Inc.
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26†††
|
1,541,667
|
1,491,563
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Technology – 6.4% (continued)
|
|
|
24-7 Intouch, Inc.
|
|
|
4.92% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25†††
|
1,477,500
|
$ 1,344,525
|
Transact Holdings, Inc.
|
|
|
4.92% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26
|
1,343,250
|
1,185,418
|
Informatica LLC
|
|
|
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27
|
1,200,000
|
1,142,004
|
Aspect Software, Inc.
|
|
|
6.00% (2 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24†††
|
1,012,442
|
911,198
|
6.23% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 07/17/23†††,1
|
90,707
|
89,747
|
CCC Information Services, Inc.
|
|
|
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/27/22†††,1
|
890,411
|
848,097
|
Greenway Health LLC
|
|
|
4.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24
|
979,849
|
734,887
|
Apttus Corp.
|
|
|
4.20% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/02/21†††,1
|
425,000
|
416,695
|
EXC Holdings III Corp.
|
|
|
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24
|
99,491
|
95,014
|
Total Technology
|
|
41,364,309
|
|
||
Communications – 3.0%
|
|
|
Xplornet Communications Inc.
|
|
|
due 06/10/27
|
3,250,000
|
3,103,750
|
Trader Interactive
|
|
|
7.57% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/17/24†††,1
|
2,697,388
|
2,508,571
|
7.72% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/15/23†††,1
|
46,154
|
42,640
|
Conterra Ultra Broadband Holdings, Inc.
|
|
|
4.68% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/30/26
|
1,985,000
|
1,890,713
|
Market Track LLC
|
|
|
5.25% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%,
|
|
|
Rate Floor: 5.25%) due 06/05/24
|
2,090,875
|
1,735,426
|
Zayo Group Holdings, Inc.
|
|
|
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27
|
1,750,000
|
1,681,103
|
ProQuest, LLC
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/23/26
|
1,645,875
|
1,589,817
|
Flight Bidco, Inc.
|
|
|
7.67% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26†††
|
1,300,000
|
1,105,000
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25
|
445,477
|
416,521
|
Resource Label Group LLC
|
|
|
5.95% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23†††
|
1,305,130
|
1,213,771
|
Liberty Cablevision Of Puerto Rico LLC
|
|
|
5.18% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/15/26
|
1,200,000
|
1,196,004
|
Authentic Brands
|
|
|
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 09/27/24
|
1,250,000
|
1,091,150
|
Internet Brands, Inc.
|
|
|
4.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24
|
1,041,797
|
1,006,470
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Communications – 3.0% (continued)
|
|
|
Houghton Mifflin Co.
|
|
|
7.25% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 11/22/24
|
691,250
|
$ 639,406
|
McGraw-Hill Global Education Holdings LLC
|
|
|
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22
|
467,805
|
397,634
|
Cengage Learning Acquisitions, Inc.
|
|
|
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23
|
187,472
|
151,008
|
Total Communications
|
|
19,768,984
|
|
||
Financial – 2.8%
|
|
|
Nexus Buyer LLC
|
|
|
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26
|
1,695,750
|
1,661,835
|
NFP Corp.
|
|
|
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27
|
1,694,864
|
1,588,935
|
Teneo Holdings LLC
|
|
|
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25
|
1,741,250
|
1,584,537
|
Situs AMC Holdings Corp.
|
|
|
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/28/25†††
|
1,459,243
|
1,439,316
|
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25†††
|
129,730
|
127,958
|
Aretec Group, Inc.
|
|
|
4.42% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25
|
1,678,750
|
1,544,450
|
StepStone Group LP
|
|
|
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/27/25†††
|
1,470,000
|
1,418,550
|
Jefferies Finance LLC
|
|
|
3.19% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/03/26
|
1,534,500
|
1,407,428
|
Claros Mortgage Trust, Inc.
|
|
|
3.47% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 08/10/26
|
1,492,500
|
1,343,250
|
Alliant Holdings Intermediate LLC
|
|
|
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25
|
992,500
|
948,334
|
2.92% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/09/25
|
197,985
|
188,602
|
HUB International Ltd.
|
|
|
5.00% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%,
|
|
|
Rate Floor: 5.00%) due 04/25/25
|
997,500
|
975,086
|
4.02% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25
|
99,242
|
95,410
|
Virtu Financial, Inc.
|
|
|
3.22% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/01/26
|
1,087,568
|
1,067,176
|
USI, Inc.
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 12/02/26
|
598,500
|
579,797
|
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24
|
247,462
|
237,378
|
AmeriLife Holdings LLC
|
|
|
4.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27
|
750,000
|
690,000
|
Jane Street Group LLC
|
|
|
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/25
|
494,991
|
482,616
|
Citadel Securities LP
|
|
|
2.92% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/27/26
|
399,000
|
390,190
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Financial – 2.8% (continued)
|
|
|
Assetmark Financial Holdings, Inc.
|
|
|
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/14/25
|
358,875
|
$ 349,903
|
Northstar Financial Services LLC
|
|
|
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 05/26/25
|
392,341
|
347,222
|
Total Financial
|
|
18,467,973
|
|
||
Basic Materials – 2.7%
|
|
|
ICP Industrial, Inc.
|
|
|
5.07% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/03/23†††
|
2,447,915
|
2,239,843
|
American Rock Salt Company LLC
|
|
|
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/21/25
|
1,896,892
|
1,830,501
|
PetroChoice Holdings
|
|
|
6.00% (2 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%,
|
|
|
Rate Floor: 6.00%) due 08/19/22
|
2,013,931
|
1,654,786
|
DCG Acquisition Corp.
|
|
|
4.68% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26
|
1,741,858
|
1,567,672
|
Pregis TopCo Corp.
|
|
|
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/31/26
|
1,645,875
|
1,550,727
|
Ascend Performance Materials Operations LLC
|
|
|
6.70% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 08/27/26
|
1,495,000
|
1,422,119
|
GrafTech Finance, Inc.
|
|
|
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 02/12/25
|
1,483,194
|
1,416,451
|
Niacet Corp.
|
|
|
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24†††
|
1,572,965
|
1,415,669
|
Big River Steel LLC
|
|
|
6.45% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/23/23
|
1,524,209
|
1,387,030
|
LTI Holdings, Inc.
|
|
|
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25
|
985,000
|
862,614
|
Niacet B.V.
|
|
|
5.50% (1 Month EURIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24†††
|
EUR 740,219
|
739,315
|
Vectra Co.
|
|
|
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25
|
545,085
|
507,202
|
ASP Chromaflo Dutch I B.V.
|
|
|
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23†††
|
447,700
|
402,930
|
Alpha 3 BV
|
|
|
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/31/24
|
400,000
|
384,376
|
ASP Chromaflo Intermediate Holdings, Inc.
|
|
|
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23†††
|
344,300
|
309,870
|
Noranda Aluminum Acquisition Corp.
|
|
|
due 02/28/19†††,5
|
517,932
|
31,076
|
Total Basic Materials
|
|
17,722,181
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued)
|
|
|
Utilities – 1.5%
|
|
|
Oregon Clean Energy LLC
|
|
|
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/02/26
|
2,401,356
|
$ 2,269,281
|
Panda Power
|
|
|
7.95% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 08/21/20
|
2,338,549
|
2,148,542
|
UGI Energy Services, Inc.
|
|
|
3.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/13/26
|
1,637,625
|
1,551,650
|
Carroll County Energy LLC
|
|
|
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/16/26
|
1,492,521
|
1,414,164
|
Franklin Energy (KAMC Holdings, Inc.)
|
|
|
4.36% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%,
|
|
|
Rate Floor: 4.00%) due 08/14/26
|
1,641,750
|
1,362,652
|
EIF Channelview Cogeneration LLC
|
|
|
5.25% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%,
|
|
|
Rate Floor: 5.25%) due 05/03/25
|
800,197
|
797,197
|
Total Utilities
|
|
9,543,486
|
|
||
Energy – 0.3%
|
|
|
SeaPort Financing LLC
|
|
|
5.68% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25†††
|
1,476,914
|
1,255,377
|
Summit Midstream Partners, LP
|
|
|
7.00% (1 Month USD LIBOR + 6.00% and 3 Month USD LIBOR + 6.00%,
|
|
|
Rate Floor: 7.00%) due 05/13/22
|
1,094,653
|
192,659
|
Permian Production Partners LLC
|
|
|
due 05/20/24†††,5
|
1,805,000
|
90,250
|
Gavilan Resources LLC
|
|
|
due 03/01/245
|
990,000
|
84,150
|
Total Energy
|
|
1,622,436
|
Total Senior Floating Rate Interests
|
|
|
(Cost $272,472,835)
|
|
246,748,706
|
|
||
CORPORATE BONDS†† – 29.2%
|
|
|
Financial – 9.6%
|
|
|
Morgan Stanley Finance LLC
|
|
|
1.50% due 10/23/2916
|
13,500,000
|
13,216,500
|
Markel Corp.
|
|
|
6.00%7,8
|
4,770,000
|
4,770,000
|
QBE Insurance Group Ltd.
|
|
|
7.50% due 11/24/433,8,9
|
3,000,000
|
3,273,000
|
5.88%7,8,9
|
950,000
|
972,325
|
Cushman & Wakefield US Borrower LLC
|
|
|
6.75% due 05/15/289
|
3,150,000
|
3,292,380
|
Bank of America Corp.
|
|
|
6.50%7,8
|
2,000,000
|
2,155,320
|
6.30%7,8
|
1,000,000
|
1,095,000
|
Charles Schwab Corp.
|
|
|
5.38%7,8
|
3,000,000
|
3,178,350
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 29.2% (continued)
|
|
|
Financial – 9.6% (continued)
|
|
|
American Equity Investment Life Holding Co.
|
|
|
5.00% due 06/15/273
|
2,950,000
|
$ 2,924,502
|
Lincoln National Corp.
|
|
|
4.38% due 06/15/503
|
2,560,000
|
2,765,166
|
BBC Military Housing-Navy Northeast LLC
|
|
|
6.30% due 10/15/49
|
2,800,000
|
2,745,986
|
Citizens Financial Group, Inc.
|
|
|
5.33% (3 Month USD LIBOR + 3.96%)6,7
|
2,500,000
|
2,122,550
|
Assurant, Inc.
|
|
|
4.90% due 03/27/283
|
1,950,000
|
2,086,799
|
Fort Knox Military Housing Privatization Project
|
|
|
5.82% due 02/15/529
|
1,908,377
|
1,984,637
|
First American Financial Corp.
|
|
|
4.00% due 05/15/303
|
1,740,000
|
1,864,440
|
Atlas Mara Ltd.
|
|
|
8.00% due 12/31/2010
|
2,200,000
|
1,738,000
|
NFP Corp.
|
|
|
7.00% due 05/15/259
|
1,600,000
|
1,660,000
|
Hunt Companies, Inc.
|
|
|
6.25% due 02/15/263,9
|
1,675,000
|
1,474,000
|
Springleaf Finance Corp.
|
|
|
6.13% due 03/15/24
|
1,500,000
|
1,455,450
|
Newmark Group, Inc.
|
|
|
6.13% due 11/15/23
|
1,450,000
|
1,332,071
|
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|
|
7.25% due 08/15/243,9
|
1,500,000
|
1,305,000
|
CNB Financial Corp.
|
|
|
5.75% due 10/15/268,10
|
1,000,000
|
1,028,878
|
Fort Benning Family Communities LLC
|
|
|
6.09% due 01/15/519
|
721,603
|
829,309
|
Pacific Beacon LLC
|
|
|
5.63% due 07/15/519
|
690,331
|
728,102
|
Bank of New York Mellon Corp.
|
|
|
4.70%7,8
|
670,000
|
689,262
|
Macquarie Bank Ltd.
|
|
|
3.62% due 06/03/309
|
640,000
|
652,351
|
Greystar Real Estate Partners LLC
|
|
|
5.75% due 12/01/259
|
450,000
|
423,000
|
Fort Gordon Housing LLC
|
|
|
6.32% due 05/15/519
|
200,000
|
235,872
|
USI, Inc.
|
|
|
6.88% due 05/01/253,9
|
150,000
|
153,688
|
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc.
|
|
|
6.38% due 12/15/223,9
|
41,000
|
38,950
|
Total Financial
|
|
62,190,888
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 29.2% (continued)
|
|
|
Consumer, Cyclical – 6.1%
|
|
|
Delta Air Lines, Inc.
|
|
|
7.00% due 05/01/253,9
|
11,050,000
|
$ 11,418,447
|
Marriott International, Inc.
|
|
|
4.63% due 06/15/30
|
2,320,000
|
2,368,394
|
5.75% due 05/01/253
|
490,000
|
531,073
|
Live Nation Entertainment, Inc.
|
|
|
6.50% due 05/15/279
|
2,400,000
|
2,548,500
|
HP Communities LLC
|
|
|
6.16% due 09/15/539
|
1,000,000
|
1,188,655
|
6.82% due 09/15/539
|
952,899
|
1,102,420
|
Wolverine World Wide, Inc.
|
|
|
6.38% due 05/15/259
|
2,075,000
|
2,163,188
|
Sabre GLBL, Inc.
|
|
|
5.38% due 04/15/233,9
|
900,000
|
850,500
|
9.25% due 04/15/259
|
750,000
|
805,312
|
5.25% due 11/15/239
|
475,000
|
448,875
|
Aramark Services, Inc.
|
|
|
6.38% due 05/01/253,9
|
1,750,000
|
1,831,883
|
5.00% due 02/01/289
|
110,000
|
108,350
|
Hyatt Hotels Corp.
|
|
|
5.75% due 04/23/303
|
1,690,000
|
1,781,294
|
Six Flags Theme Parks, Inc.
|
|
|
7.00% due 07/01/259
|
1,575,000
|
1,673,437
|
Williams Scotsman International, Inc.
|
|
|
6.88% due 08/15/233,9
|
1,650,000
|
1,670,625
|
LBC Tank Terminals Holding Netherlands BV
|
|
|
6.88% due 05/15/233,9
|
1,575,000
|
1,539,893
|
Exide Technologies
|
|
|
due 10/31/24†††,5,10,15
|
2,695,392
|
1,296,340
|
JB Poindexter & Company, Inc.
|
|
|
7.13% due 04/15/263,9
|
1,100,000
|
1,094,918
|
Exide International Holdings, LP
|
|
|
15.25% (in-kind rate was 4.50%) due 10/31/21†††,10,15
|
761,242
|
643,249
|
Vail Resorts, Inc.
|
|
|
6.25% due 05/15/259
|
600,000
|
630,000
|
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
|
|
|
5.75% due 03/01/253
|
575,000
|
572,125
|
Ferguson Finance plc
|
|
|
3.25% due 06/02/309
|
490,000
|
494,528
|
United Airlines Class AA Pass Through Trust
|
|
|
3.45% due 12/01/27
|
529,198
|
489,626
|
Performance Food Group, Inc.
|
|
|
6.88% due 05/01/259
|
450,000
|
471,375
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 29.2% (continued)
|
|
|
Consumer, Cyclical – 6.1% (continued)
|
|
|
Reliance Intermediate Holdings, LP
|
|
|
6.50% due 04/01/239
|
400,000
|
$ 403,000
|
Superior Plus Limited Partnership / Superior General Partner, Inc.
|
|
|
7.00% due 07/15/263,9
|
395,000
|
402,900
|
Brookfield Residential Properties Incorporated / Brookfield Residential US Corp.
|
|
|
4.88% due 02/15/303,9
|
325,000
|
276,152
|
Boyd Gaming Corp.
|
|
|
8.63% due 06/01/259
|
250,000
|
267,065
|
Yum! Brands, Inc.
|
|
|
7.75% due 04/01/259
|
200,000
|
221,000
|
Boyne USA, Inc.
|
|
|
7.25% due 05/01/259
|
150,000
|
158,625
|
Party City Holdings, Inc.
|
|
|
6.63% due 08/01/2610
|
544,000
|
83,640
|
Total Consumer, Cyclical
|
|
39,535,389
|
|
||
Industrial – 4.2%
|
|
|
Boeing Co.
|
|
|
5.81% due 05/01/503
|
9,400,000
|
10,665,188
|
Encore Capital Group, Inc.
|
|
|
5.63% due 08/11/24†††
|
3,400,000
|
3,373,380
|
Great Lakes Dredge & Dock Corp.
|
|
|
8.00% due 05/15/223
|
1,776,000
|
1,811,520
|
Intertape Polymer Group, Inc.
|
|
|
7.00% due 10/15/263,9
|
1,450,000
|
1,479,000
|
JELD-WEN, Inc.
|
|
|
6.25% due 05/15/259
|
1,350,000
|
1,390,500
|
Grinding Media Inc. / MC Grinding Media Canada Inc.
|
|
|
7.38% due 12/15/233,9
|
1,280,000
|
1,273,664
|
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC
|
|
|
4.72% (3 Month USD LIBOR + 3.50%) due 07/15/213,6,9
|
1,225,000
|
1,215,812
|
Princess Juliana International Airport Operating Company N.V.
|
|
|
5.50% due 12/20/27†††,1,3,10
|
1,388,504
|
1,145,807
|
Mauser Packaging Solutions Holding Co.
|
|
|
8.50% due 04/15/249
|
950,000
|
959,500
|
Howmet Aerospace, Inc.
|
|
|
6.88% due 05/01/25
|
800,000
|
850,019
|
Cleaver-Brooks, Inc.
|
|
|
7.88% due 03/01/233,9
|
950,000
|
795,825
|
PowerTeam Services LLC
|
|
|
9.03% due 12/04/259
|
690,000
|
697,887
|
GATX Corp.
|
|
|
4.00% due 06/30/303
|
560,000
|
579,875
|
Harsco Corp.
|
|
|
5.75% due 07/31/273,9
|
500,000
|
489,345
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 29.2% (continued)
|
|
|
Industrial – 4.2% (continued)
|
|
|
Standard Industries, Inc.
|
|
|
5.38% due 11/15/249
|
400,000
|
$ 407,000
|
Glenn Pool Oil & Gas Trust
|
|
|
6.00% due 08/02/21†††
|
225,111
|
171,075
|
EnPro Industries, Inc.
|
|
|
5.75% due 10/15/26
|
115,000
|
112,988
|
Hillman Group, Inc.
|
|
|
6.38% due 07/15/229
|
40,000
|
36,029
|
Total Industrial
|
|
27,454,414
|
|
||
Consumer, Non-cyclical – 2.6%
|
|
|
Kraft Heinz Foods Co.
|
|
|
5.20% due 07/15/45
|
1,250,000
|
1,283,817
|
4.38% due 06/01/46
|
850,000
|
802,043
|
US Foods, Inc.
|
|
|
6.25% due 04/15/259
|
1,950,000
|
2,020,687
|
Nathan's Famous, Inc.
|
|
|
6.63% due 11/01/253,9
|
2,050,000
|
2,019,250
|
Vector Group Ltd.
|
|
|
6.13% due 02/01/259
|
1,725,000
|
1,686,188
|
Nielsen Finance LLC / Nielsen Finance Co.
|
|
|
5.00% due 04/15/229
|
1,650,000
|
1,647,442
|
Sotheby's
|
|
|
7.38% due 10/15/273,9
|
1,700,000
|
1,547,000
|
Avanos Medical, Inc.
|
|
|
6.25% due 10/15/223
|
1,360,000
|
1,353,200
|
Jaguar Holding Company II / PPD Development, LP
|
|
|
5.00% due 06/15/289
|
700,000
|
726,250
|
Endo Finance LLC / Endo Finco, Inc.
|
|
|
7.25% due 01/15/229
|
800,000
|
696,000
|
Acadia Healthcare Company, Inc.
|
|
|
5.63% due 02/15/233
|
600,000
|
598,374
|
KeHE Distributors LLC / KeHE Finance Corp.
|
|
|
8.63% due 10/15/263,9
|
550,000
|
580,250
|
Carriage Services, Inc.
|
|
|
6.63% due 06/01/263,9
|
475,000
|
496,375
|
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
|
|
|
7.88% due 10/01/229
|
600,000
|
444,000
|
Beverages & More, Inc.
|
|
|
11.50% due 06/15/223,10
|
650,000
|
419,250
|
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
|
|
|
5.63% due 08/15/269
|
200,000
|
189,000
|
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
|
|
|
6.00% due 07/15/239
|
140,000
|
107,800
|
Total Consumer, Non-cyclical
|
|
16,616,926
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 29.2% (continued)
|
|
|
Communications – 2.3%
|
|
|
ViacomCBS, Inc.
|
|
|
4.95% due 05/19/503
|
6,390,000
|
$ 6,573,808
|
Walt Disney Co.
|
|
|
3.80% due 05/13/603
|
2,820,000
|
3,216,259
|
Altice France S.A.
|
|
|
7.38% due 05/01/263,9
|
1,660,000
|
1,747,150
|
Cengage Learning, Inc.
|
|
|
9.50% due 06/15/249
|
1,416,000
|
955,800
|
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
|
|
|
7.88% due 05/15/249
|
1,126,000
|
757,471
|
Houghton Mifflin Harcourt Publishers, Inc.
|
|
|
9.00% due 02/15/253,9
|
700,000
|
623,000
|
LCPR Senior Secured Financing DAC
|
|
|
6.75% due 10/15/273,9
|
500,000
|
520,185
|
Ziggo Bond Company BV
|
|
|
5.13% due 02/28/303,9
|
500,000
|
512,500
|
Total Communications
|
|
14,906,173
|
|
||
Energy – 1.8%
|
|
|
Hess Corp.
|
|
|
5.60% due 02/15/41
|
1,550,000
|
1,540,029
|
6.00% due 01/15/40
|
1,000,000
|
993,946
|
7.13% due 03/15/33
|
500,000
|
543,894
|
CVR Energy, Inc.
|
|
|
5.25% due 02/15/253,9
|
1,750,000
|
1,575,000
|
Husky Energy, Inc.
|
|
|
4.00% due 04/15/243
|
900,000
|
899,568
|
3.95% due 04/15/223
|
600,000
|
604,364
|
Global Partners Limited Partnership / GLP Finance Corp.
|
|
|
7.00% due 08/01/273
|
1,625,000
|
1,413,263
|
Sunoco Logistics Partners Operations, LP
|
|
|
4.25% due 04/01/243
|
1,000,000
|
1,042,910
|
Indigo Natural Resources LLC
|
|
|
6.88% due 02/15/269
|
895,000
|
865,912
|
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
|
|
|
9.50% due 12/15/219
|
895,000
|
805,500
|
Buckeye Partners, LP
|
|
|
4.35% due 10/15/243
|
750,000
|
731,250
|
Antero Resources Corp.
|
|
|
5.13% due 12/01/22
|
221,000
|
154,700
|
5.63% due 06/01/23
|
250,000
|
145,000
|
FLNG Liquefaction 2 LLC
|
|
|
4.13% due 03/31/3810
|
266,970
|
225,898
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 29.2% (continued)
|
|
|
Energy – 1.8% (continued)
|
|
|
Basic Energy Services, Inc.
|
|
|
10.75% due 10/15/233,10
|
500,000
|
$ 205,075
|
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
|
|
|
5.50% due 08/15/22
|
200,000
|
96,000
|
Schahin II Finance Co. SPV Ltd.
|
|
|
due 09/25/225,9
|
1,216,133
|
76,008
|
Unit Corp.
|
|
|
due 05/15/215
|
343,000
|
34,300
|
Total Energy
|
|
11,952,617
|
|
||
Basic Materials – 1.6%
|
|
|
United States Steel Corp.
|
|
|
12.00% due 06/01/259
|
4,780,000
|
4,785,975
|
BHP Billiton Finance USA Ltd.
|
|
|
6.75% due 10/19/753,8,9
|
2,450,000
|
2,809,832
|
Neon Holdings, Inc.
|
|
|
10.13% due 04/01/263,9
|
1,153,000
|
1,109,763
|
Kaiser Aluminum Corp.
|
|
|
6.50% due 05/01/259
|
1,050,000
|
1,077,562
|
Arconic Corp.
|
|
|
6.00% due 05/15/259
|
350,000
|
362,617
|
Mirabela Nickel Ltd.
|
|
|
due 06/24/195,10
|
1,388,176
|
69,409
|
Total Basic Materials
|
|
10,215,158
|
|
||
Utilities – 0.6%
|
|
|
Terraform Global Operating LLC
|
|
|
6.13% due 03/01/269
|
1,630,000
|
1,605,550
|
AES Corp.
|
|
|
3.95% due 07/15/309
|
1,430,000
|
1,435,649
|
Petershill II Senior Secured Notes
|
|
|
5.00% due 12/02/39†††,1
|
1,000,000
|
903,181
|
Total Utilities
|
|
3,944,380
|
|
||
Technology – 0.4%
|
|
|
NCR Corp.
|
|
|
6.13% due 09/01/299
|
600,000
|
597,222
|
8.13% due 04/15/259
|
525,000
|
565,031
|
6.38% due 12/15/233
|
200,000
|
204,478
|
Boxer Parent Company, Inc.
|
|
|
7.13% due 10/02/259
|
1,100,000
|
1,161,875
|
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.
|
|
|
5.75% due 03/01/259
|
400,000
|
399,428
|
Total Technology
|
|
2,928,034
|
Total Corporate Bonds
|
|
|
(Cost $191,659,248)
|
|
189,743,979
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
ASSET-BACKED SECURITIES†† – 19.5%
|
|
|
Collateralized Loan Obligations – 10.9%
|
|
|
Golub Capital Partners CLO Ltd.
|
|
|
2018-36A, 2.64% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/316,9
|
5,000,000
|
$ 4,087,527
|
2018-39A, 3.34% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/286,9
|
2,500,000
|
2,394,172
|
2018-25A, 2.44% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 05/05/306,9
|
2,500,000
|
2,263,682
|
2017-16A, 3.99% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 07/25/296,9
|
1,500,000
|
1,352,415
|
Diamond CLO Ltd.
|
|
|
2018-1A, 4.80% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/306,9
|
3,000,000
|
2,533,696
|
2018-1A, 3.70% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/306,9
|
2,500,000
|
2,280,627
|
Mountain Hawk II CLO Ltd.
|
|
|
2018-2A, 3.49% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 07/20/246,9
|
3,000,000
|
2,849,179
|
2013-2A, 4.29% (3 Month USD LIBOR + 3.15%, Rate Floor: 0.00%) due 07/22/246,9
|
1,750,000
|
1,575,625
|
LoanCore Issuer Ltd.
|
|
|
2019-CRE2, 1.68% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/366,9
|
4,750,000
|
4,276,439
|
Fortress Credit Opportunities IX CLO Ltd.
|
|
|
2017-9A, 3.04% (3 Month USD LIBOR + 2.65%, Rate Floor: 0.00%) due 11/15/296,9
|
4,000,000
|
3,551,868
|
Marathon CRE Ltd.
|
|
|
2018-FL1, 3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/286,9
|
3,000,000
|
2,681,070
|
Monroe Capital CLO Ltd.
|
|
|
2017-1A, 4.70% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/266,9
|
1,750,000
|
1,511,753
|
2017-1A, 3.50% (3 Month USD LIBOR + 2.40%, Rate Floor: 0.00%) due 10/22/266,9
|
1,250,000
|
1,155,821
|
FDF I Ltd.
|
|
|
2015-1A, 6.88% due 11/12/309
|
2,000,000
|
1,738,520
|
2015-1A, 7.50% due 11/12/3010
|
1,000,000
|
860,467
|
FDF II Ltd.
|
|
|
2016-2A, 7.70% due 05/12/3110
|
3,000,000
|
2,582,872
|
Denali Capital CLO XI Ltd.
|
|
|
2018-1A, 3.29% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/286,9
|
2,400,000
|
2,194,013
|
Hull Street CLO Ltd.
|
|
|
2017-1A, 3.84% (3 Month USD LIBOR + 2.70%, Rate Floor: 0.00%) due 10/18/266,9
|
2,200,000
|
2,086,268
|
Newstar Commercial Loan Funding LLC
|
|
|
2017-1A, 6.22% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 03/20/276,9
|
2,000,000
|
1,826,493
|
2017-1A, 4.62% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/276,9
|
250,000
|
238,474
|
Avery Point VI CLO Ltd.
|
|
|
2018-6A, 2.54% (3 Month USD LIBOR + 2.00%, Rate Floor: 0.00%) due 08/05/276,9
|
2,000,000
|
1,956,644
|
MP CLO VIII Ltd.
|
|
|
2018-2A, 2.79% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 10/28/276,9
|
2,000,000
|
1,897,247
|
Marathon CLO V Ltd.
|
|
|
2017-5A, 2.22% (3 Month USD LIBOR + 1.85%) due 11/21/276,9
|
2,017,730
|
1,777,033
|
2013-5A, due 11/21/279,11
|
3,566,667
|
88,090
|
NewStar Clarendon Fund CLO LLC
|
|
|
2015-1A, 5.34% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/276,9
|
1,500,000
|
1,338,158
|
2019-1A, 4.04% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/276,9
|
550,000
|
518,571
|
Exantas Capital Corporation Ltd.
|
|
|
2018-RSO6, 2.68% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 06/15/356,9
|
1,800,000
|
1,689,209
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
ASSET-BACKED SECURITIES†† – 19.5% (continued)
|
|
|
Collateralized Loan Obligations – 10.9% (continued)
|
|
|
Hunt CRE Ltd.
|
|
|
2017-FL1, 3.48% (1 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 08/15/346,9
|
1,800,000
|
$ 1,679,508
|
Cent CLO 19 Ltd.
|
|
|
2013-19A, 4.14% (3 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 10/29/256,9
|
1,750,000
|
1,611,445
|
Avery Point II CLO Ltd.
|
|
|
2013-3X COM, due 01/18/2511
|
2,350,912
|
1,550,415
|
Dryden 50 Senior Loan Fund
|
|
|
2017-50A, due 07/15/309,11
|
3,555,000
|
1,494,614
|
Treman Park CLO Ltd.
|
|
|
2015-1A, due 10/20/289,11
|
2,000,000
|
1,438,335
|
OHA Credit Partners IX Ltd.
|
|
|
2013-9A, due 10/20/259,11
|
1,823,852
|
1,386,641
|
Dryden Senior Loan Fund
|
|
|
due 01/15/3111
|
2,998,799
|
1,335,830
|
Atlas Senior Loan Fund IX Ltd.
|
|
|
2018-9A, 2.94% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/286,9
|
700,000
|
639,934
|
2018-9A, due 04/20/283,9,11
|
2,600,000
|
477,381
|
Voya CLO Ltd.
|
|
|
2013-1A, due 10/15/309,11
|
3,000,000
|
983,016
|
Jackson Mill CLO Ltd.
|
|
|
2018-1A, 3.07% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/276,9
|
1,000,000
|
945,523
|
MMCF CLO LLC
|
|
|
2019-2A, 3.62% (3 Month USD LIBOR + 2.40%) due 04/15/296,9
|
950,000
|
903,013
|
Dryden 41 Senior Loan Fund
|
|
|
2015-41A, due 04/15/319,11
|
1,250,000
|
578,069
|
Great Lakes CLO Ltd.
|
|
|
2014-1A, due 10/15/299,11
|
1,153,846
|
475,822
|
Dryden 37 Senior Loan Fund
|
|
|
2015-37A, due 01/15/319,11
|
1,050,000
|
467,728
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
2012-3A, due 01/14/329,11
|
2,600,000
|
436,628
|
Venture XIII CLO Ltd.
|
|
|
2013-13A, due 09/10/299,11
|
1,500,000
|
310,665
|
KVK CLO Ltd.
|
|
|
2013-1A, due 01/14/283,9,11
|
2,300,000
|
295,327
|
A10 Permanent Asset Financing LLC
|
|
|
2017-II, 6.24% (WAC) due 06/15/51†††,1,6,9
|
250,000
|
233,809
|
Babson CLO Ltd.
|
|
|
2014-IA, due 07/20/259,11
|
3,000,000
|
116,400
|
West CLO Ltd.
|
|
|
2013-1A, due 11/07/259,11
|
1,350,000
|
15,255
|
Total Collateralized Loan Obligations
|
|
70,681,291
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
ASSET-BACKED SECURITIES†† – 19.5% (continued)
|
|
|
Transport-Aircraft – 2.5%
|
|
|
AASET Trust
|
|
|
2019-2, 4.46% due 10/16/399
|
3,857,403
|
$ 2,023,379
|
2020-1A, 4.34% due 01/16/409
|
1,959,012
|
1,018,700
|
2019-1, 4.95% due 05/15/399
|
1,785,783
|
941,895
|
2019-1, 3.84% due 05/15/399
|
886,971
|
734,404
|
Castlelake Aircraft Securitization Trust
|
|
|
2018-1, 4.13% due 06/15/439
|
3,649,896
|
2,934,811
|
due 12/31/30†††,1
|
3,054,105
|
490,173
|
AASET US Ltd.
|
|
|
2018-2A, 5.43% due 11/18/389
|
2,630,693
|
1,400,691
|
GAIA Aviation Ltd.
|
|
|
2019-1, 3.97% due 12/15/449,12
|
1,702,056
|
1,341,174
|
KDAC Aviation Finance Ltd.
|
|
|
2017-1A, 4.21% due 12/15/429
|
1,540,441
|
1,265,889
|
Falcon Aerospace Ltd.
|
|
|
2017-1, 6.30% due 02/15/429
|
1,191,926
|
837,515
|
2019-1, 3.60% due 09/15/399
|
332,045
|
257,083
|
Sapphire Aviation Finance II Ltd.
|
|
|
2020-1A, 4.34% due 03/15/409
|
2,000,000
|
941,245
|
Stripes Aircraft Ltd.
|
|
|
2013-1 A1, 3.67% due 03/20/23†††
|
862,804
|
855,824
|
Sapphire Aviation Finance I Ltd.
|
|
|
2018-1A, 4.25% due 03/15/409
|
946,574
|
785,389
|
Turbine Engines Securitization Ltd.
|
|
|
2013-1A, 6.38% due 12/13/4810
|
455,390
|
249,267
|
MAPS Ltd.
|
|
|
2019-1A, 4.46% due 03/15/449
|
225,860
|
183,757
|
Airplanes Pass Through Trust
|
|
|
2001-1A, due 03/15/19†††,5,10
|
6,677,317
|
668
|
Total Transport-Aircraft
|
|
16,261,864
|
|
||
Financial – 2.4%
|
|
|
Aesf Vi Verdi LP
|
|
|
1.80% due 11/25/24†††
|
EUR 9,000,000
|
9,551,486
|
Madison Avenue Secured Funding Trust
|
|
|
2019-1, 1.72% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/11/20†††,6,9
|
3,300,000
|
3,300,000
|
Nassau LLC
|
|
|
2019-1, 3.98% due 08/15/349
|
2,029,251
|
1,916,394
|
NCBJ
|
|
|
2015-1A, 5.88% due 07/08/22†††,1
|
729,298
|
699,401
|
Total Financial
|
|
15,467,281
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
ASSET-BACKED SECURITIES†† – 19.5% (continued)
|
|
|
Infrastructure – 1.2%
|
|
|
VB-S1 Issuer LLC
|
|
|
2020-1A, 6.66% due 06/15/509
|
6,300,000
|
$ 6,319,132
|
Secured Tenant Site Contract Revenue Notes Series
|
|
|
2018-1A, 5.92% due 06/15/489
|
1,933,683
|
1,698,342
|
Total Infrastructure
|
|
8,017,474
|
|
||
Whole Business – 1.1%
|
|
|
TSGE
|
|
|
2017-1, 6.25% due 09/25/31†††,1
|
5,000,000
|
4,997,012
|
Taco Bell Funding LLC
|
|
|
2018-1A, 4.32% due 11/25/489
|
985,000
|
1,004,976
|
Wingstop Funding LLC
|
|
|
2018-1, 4.97% due 12/05/489
|
990,000
|
1,002,988
|
Total Whole Business
|
|
7,004,976
|
|
||
Net Lease – 0.4%
|
|
|
CARS-DB4, LP
|
|
|
2020-1A, 4.95% due 02/15/509
|
2,750,000
|
2,414,977
|
|
||
Transport-Container – 0.3%
|
|
|
Textainer Marine Containers V Ltd.
|
|
|
2017-1A, 3.72% due 05/20/429
|
1,555,402
|
1,524,152
|
Global SC Finance II SRL
|
|
|
2013-1A, 2.98% due 04/17/289
|
583,333
|
579,989
|
Total Transport-Container
|
|
2,104,141
|
|
||
Insurance – 0.3%
|
|
|
LTCG Securitization Issuer LLC
|
|
|
2018-A, 4.59% due 06/15/489
|
1,769,902
|
1,767,448
|
CBC Insurance Revenue Securitization LLC
|
|
|
2016-1, 5.25% due 07/15/4610
|
329,978
|
310,628
|
Total Insurance
|
|
2,078,076
|
|
||
Diversified Payment Rights – 0.2%
|
|
|
Bib Merchant Voucher Receivables Ltd.
|
|
|
4.18% due 04/07/28†††,1
|
1,100,000
|
1,039,554
|
|
||
Collateralized Debt Obligations – 0.1%
|
|
|
Anchorage Credit Funding 4 Ltd.
|
|
|
2016-4A, 5.50% due 02/15/359
|
1,000,000
|
840,438
|
|
||
Automotive – 0.1%
|
|
|
Hertz Vehicle Financing LLC
|
|
|
3.29% due 02/25/24
|
250,000
|
241,297
|
2016-2A, 2.95% due 03/25/229
|
150,000
|
144,842
|
Total Automotive
|
|
386,139
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
ASSET-BACKED SECURITIES†† – 19.5% (continued)
|
|
|
Transport-Rail – 0.0%
|
|
|
Trinity Rail Leasing, LP
|
|
|
2009-1A, 6.66% due 11/16/399
|
148,703
|
$ 160,424
|
Total Asset-Backed Securities
|
|
|
(Cost $150,757,255)
|
|
126,456,635
|
|
||
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 10.5%
|
|
|
Residential Mortgage Backed Securities – 8.0%
|
|
|
WaMu Asset-Backed Certificates WaMu Series
|
|
|
2007-HE4, 0.34% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/476
|
2,169,540
|
1,620,142
|
2007-HE2, 0.42% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 04/25/376
|
3,183,738
|
1,474,757
|
2007-HE2, 0.53% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/376
|
2,037,592
|
968,785
|
2007-HE4, 0.42% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/476
|
1,270,737
|
819,997
|
2007-HE2, 0.36% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/376
|
1,655,544
|
755,820
|
Lehman XS Trust Series
|
|
|
2006-18N, 0.35% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 12/25/366
|
4,228,144
|
3,895,517
|
2006-16N, 0.38% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/466
|
1,782,491
|
1,647,261
|
LSTAR Securities Investment Limited
|
|
|
2019-5, 1.87% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/01/246,9
|
4,386,578
|
4,295,996
|
Ameriquest Mortgage Securities Trust
|
|
|
2006-M3, 0.34% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/366
|
4,381,682
|
2,672,510
|
2006-M3, 0.27% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/366
|
2,221,413
|
898,153
|
Morgan Stanley ABS Capital I Incorporated Trust
|
|
|
2006-HE8, 0.39% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/366
|
3,376,068
|
1,708,953
|
2007-HE4, 0.40% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/376
|
3,638,824
|
1,432,922
|
RALI Series Trust
|
|
|
2006-QO6, 0.35% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/466
|
6,478,684
|
2,215,543
|
2006-QO6, 0.40% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 06/25/466
|
2,049,741
|
724,764
|
LSTAR Securities Investment Trust
|
|
|
2019-1, 2.07% (1 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 03/01/246,9
|
2,885,499
|
2,868,025
|
Long Beach Mortgage Loan Trust
|
|
|
2006-8, 0.26% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.09%) due 09/25/366
|
4,601,492
|
1,668,566
|
2006-1, 0.36% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 02/25/366
|
1,356,463
|
1,115,551
|
ACE Securities Corporation Home Equity Loan Trust Series
|
|
|
2005-HE2, 1.19% (1 Month USD LIBOR + 1.02%, Rate Floor: 0.68%) due 04/25/356
|
2,000,000
|
1,921,248
|
2007-ASP1, 0.37% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/376
|
1,526,722
|
842,961
|
Morgan Stanley IXIS Real Estate Capital Trust
|
|
|
2006-2, 0.39% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/366
|
3,131,392
|
1,379,080
|
2006-2, 0.32% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/366
|
2,066,718
|
897,340
|
Home Equity Mortgage Loan Asset-Backed Trust Series INABS
|
|
|
2006-E, 0.38% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 04/25/376
|
3,162,006
|
2,243,408
|
JP Morgan Mortgage Acquisition Trust
|
|
|
2006-WMC3, 0.41% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 08/25/366
|
2,605,669
|
1,946,671
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
2007-AMC3, 0.52% (1 Month USD LIBOR + 0.35%, Rate Floor: 0.35%) due 03/25/376
|
2,298,458
|
1,932,872
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 10.5% (continued)
|
|
|
Residential Mortgage Backed Securities – 8.0% (continued)
|
|
|
GSAA Home Equity Trust
|
|
|
2006-16, 0.34% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 10/25/366
|
4,754,600
|
$ 1,857,324
|
American Home Mortgage Assets Trust
|
|
|
2006-6, 0.38% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/466
|
2,298,035
|
1,778,836
|
Master Asset Backed Securities Trust
|
|
|
2006-WMC3, 0.33% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/366
|
3,718,969
|
1,578,618
|
IXIS Real Estate Capital Trust
|
|
|
2007-HE1, 0.28% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/376
|
2,505,571
|
746,693
|
2007-HE1, 0.23% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/376
|
2,520,277
|
740,092
|
Morgan Stanley Mortgage Loan Trust
|
|
|
2006-9AR, 0.32% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/366
|
3,559,027
|
1,451,343
|
First NLC Trust
|
|
|
2007-1, 0.45% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/376,9
|
1,498,874
|
844,334
|
GSAA Trust
|
|
|
2007-3, 0.34% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 03/25/476
|
1,751,944
|
703,070
|
TBW Mortgage Backed Pass-Through Certificates
|
|
|
2006-6, 6.04% due 01/25/37
|
9,153
|
3,731
|
Total Residential Mortgage Backed Securities
|
|
51,650,883
|
|
||
Military Housing – 2.3%
|
|
|
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
|
|
|
2015-R1, 5.49% (WAC) due 11/25/526,10
|
3,672,621
|
3,311,434
|
2015-R1, 1.94% (WAC) due 11/25/556,9,13
|
41,885,749
|
3,000,272
|
2015-R1, 0.65% (WAC) due 11/25/526,9,13
|
34,428,637
|
2,090,744
|
GMAC Commercial Mortgage Asset Corp.
|
|
|
2004-POKA, 6.36% due 09/10/44†††,9
|
3,500,000
|
4,210,076
|
Capmark Military Housing Trust
|
|
|
2007-AETC, 5.75% due 02/10/529
|
1,579,329
|
1,537,445
|
2007-AET2, 6.06% due 10/10/529
|
472,741
|
515,846
|
Total Military Housing
|
|
14,665,817
|
|
||
Commercial Mortgage Backed Securities – 0.2%
|
|
|
GS Mortgage Securities Corporation Trust
|
|
|
2020-DUNE, 2.68% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/366,9
|
2,000,000
|
1,571,717
|
Total Collateralized Mortgage Obligations
|
|
|
(Cost $77,223,813)
|
|
67,888,417
|
|
||
U.S. TREASURY BILLS†† – 2.6%
|
|
|
U.S. Treasury Bills
|
|
|
0.01% due 08/20/203,14
|
6,000,000
|
5,998,033
|
0.04% due 12/31/203,14
|
4,000,000
|
3,995,888
|
0.01% due 09/24/203,14
|
3,000,000
|
2,998,395
|
0.11% due 03/25/2114
|
3,000,000
|
2,995,112
|
0.17% due 08/06/203,14
|
600,000
|
599,841
|
1.46% due 06/25/203,14
|
200,000
|
199,984
|
Total U.S. Treasury Bills
|
|
|
(Cost $16,795,651)
|
|
16,787,253
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FIXED RATE INTERESTS†† – 0.1%
|
|
|
Communications – 0.1%
|
|
|
MHGE Parent LLC
|
|
|
11.00% due 04/20/22†††,1
|
900,000
|
$ 584,338
|
Total Senior Fixed Rate Interests
|
|
|
(Cost $889,334)
|
|
584,338
|
|
||
MUNICIPAL BONDS†† – 0.1%
|
|
|
Oklahoma – 0.1%
|
|
|
Oklahoma Development Finance Authority Revenue Bonds
|
|
|
5.45% due 08/15/28
|
400,000
|
463,184
|
Total Municipal Bonds
|
|
|
(Cost $400,000)
|
|
463,184
|
|
Notional Value/
|
|
|
Contracts
|
|
|
||
OTC OPTIONS PURCHASED†† – 0.3%
|
|
|
Put options on:
|
|
|
Citibank N.A., New York 2Y-10 CMS CAP
|
|
|
Expiring July 2022 with strike price of $0.40
|
441,000,000
|
1,203,930
|
Bank of America, N.A 2Y-10 CMS CAP
|
|
|
Expiring July 2022 with strike price of $0.61
|
165,000,000
|
288,750
|
Bank of America, N.A. 2Y-10 CMS CAP
|
|
|
Expiring July 2022 with strike price of $0.40
|
53,000,000
|
144,690
|
Total OTC Options Purchased
|
|
|
(Cost $1,391,950)
|
|
1,637,370
|
Total Investments – 109.4%
|
|
|
(Cost $772,744,623)
|
|
$ 709,927,673
|
|
||
LISTED OPTIONS WRITTEN† – (0.5)%
|
|
|
Call options on:
|
|
|
S&P 500 Index
|
|
|
Expiring June 2020 with strike price of $2,840.00 (Notional Value $44,142,495)
|
145
|
(3,378,500)
|
Total Listed Options Written
|
|
|
(Premiums received $1,435,172)
|
|
(3,378,500)
|
Other Assets & Liabilities, net – (8.9)%
|
|
(57,657,102)
|
Total Net Assets – 100.0%
|
|
$ 648,892,071
|
|
|
|
|
Value and
|
|
Number of
|
|
Notional
|
Unrealized
|
Description
|
Contracts
|
Expiration Date
|
Amount
|
Appreciation**
|
|
||||
EQUITY FUTURES CONTRACTS PURCHASED†
|
|
|
|
|
S&P 500 Index Mini Futures Contracts
|
290
|
Jun 2020
|
$44,058,250
|
$ 8,269,276
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
|
|
Protection
|
|
|
|
|
Upfront
|
|
|
|
|
Premium
|
Payment
|
Maturity
|
Notional
|
|
Premiums
|
Unrealized
|
Counterparty
|
Exchange
|
Index
|
Rate
|
Frequency |
Date
|
Amount
|
Value
|
Received
|
Appreciation** |
BofA Securities,
|
|
|
|
|
|
|
|
|
|
Inc.
|
ICE
|
CDX.NA.HY.34.V3
|
5.00%
|
Quarterly
|
06/20/25
|
$15,876,000
|
$ (292,118)
|
$ (327,639)
|
$ 35,521
|
BofA Securities,
|
|
|
|
|
|
|
|
|
|
Inc.
|
ICE
|
CDX.NA.HY.33.V6
|
5.00%
|
Quarterly
|
12/20/24
|
24,225,000
|
(491,005)
|
(1,985,749)
|
1,494,744
|
|
|
|
|
|
|
|
$ (783,123)
|
$(2,313,388)
|
$1,530,265
|
|
|
|
|
|
Value at
|
Unrealized
|
|
|
|
Settlement
|
Settlement
|
May 31,
|
Appreciation
|
Counterparty
|
Contracts to Sell
|
Currency
|
Date
|
Value
|
2020
|
(Depreciation)
|
Citibank N.A., New York
|
11,240,000
|
BRL
|
07/01/21
|
$ 2,716,437
|
$ 2,101,052
|
$ 615,385
|
Goldman Sachs International
|
5,420,000
|
BRL
|
07/01/20
|
1,407,427
|
1,015,244
|
392,183
|
Citibank N.A., New York
|
4,440,000
|
BRL
|
07/01/20
|
1,143,623
|
831,676
|
311,947
|
Goldman Sachs International
|
5,700,000
|
BRL
|
07/01/21
|
1,335,364
|
1,065,480
|
269,884
|
JPMorgan Chase Bank, N.A.
|
3,000,000
|
BRL
|
07/01/21
|
712,674
|
560,779
|
151,895
|
JPMorgan Chase Bank, N.A.
|
407,203,500
|
JPY
|
09/01/20
|
3,870,645
|
3,781,451
|
89,194
|
Goldman Sachs International
|
16,654,900
|
ILS
|
04/30/21
|
4,882,148
|
4,804,034
|
78,114
|
Citibank N.A., New York
|
379,189,500
|
JPY
|
06/01/20
|
3,587,277
|
3,516,223
|
71,054
|
Goldman Sachs International
|
5,707,550
|
ILS
|
01/31/22
|
1,691,893
|
1,653,303
|
38,590
|
Bank of America, N.A.
|
4,363,200
|
ILS
|
04/30/21
|
1,293,950
|
1,258,546
|
35,404
|
Bank of America, N.A.
|
166,083,000
|
JPY
|
06/22/20
|
1,570,821
|
1,540,562
|
30,259
|
Bank of America, N.A.
|
749,320
|
EUR
|
06/15/20
|
861,699
|
831,782
|
29,917
|
Morgan Stanley Capital Services LLC
|
9,018,000
|
EUR
|
06/30/20
|
10,041,273
|
10,013,494
|
27,779
|
Goldman Sachs International
|
660,240
|
EUR
|
06/15/20
|
759,659
|
732,899
|
26,760
|
Goldman Sachs International
|
4,841,027
|
ILS
|
02/01/21
|
1,410,169
|
1,391,672
|
18,497
|
JPMorgan Chase Bank, N.A.
|
60,430,200
|
JPY
|
06/01/20
|
571,147
|
560,369
|
10,778
|
Goldman Sachs International
|
6,723,951
|
JPY
|
06/22/20
|
63,634
|
62,370
|
1,264
|
Goldman Sachs International
|
136,000
|
GBP
|
06/16/20
|
166,150
|
167,938
|
(1,788)
|
Bank of America, N.A.
|
1,138,000
|
GBP
|
06/16/20
|
1,397,276
|
1,405,242
|
(7,966)
|
JPMorgan Chase Bank, N.A.
|
864,000
|
EUR
|
06/16/20
|
938,355
|
959,102
|
(20,747)
|
|
|
|
|
|
|
$ 2,168,403
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
|
|
|
|
Value at
|
Unrealized
|
|
|
|
Settlement
|
Settlement
|
May 31,
|
Appreciation
|
Counterparty
|
Contracts to Buy
|
Currency
|
Date
|
Value
|
2020
|
(Depreciation)
|
Goldman Sachs International
|
21,018,100
|
ILS
|
04/30/21
|
$ 5,892,376
|
$ 6,062,580
|
$ 170,204
|
Goldman Sachs International
|
5,707,550
|
ILS
|
01/31/22
|
1,554,802
|
1,653,304
|
98,502
|
Goldman Sachs International
|
4,841,027
|
ILS
|
02/01/21
|
1,354,445
|
1,391,672
|
37,227
|
Bank of America, N.A.
|
166,083,000
|
JPY
|
06/22/20
|
1,517,988
|
1,540,563
|
22,575
|
JPMorgan Chase Bank, N.A.
|
375,000
|
EUR
|
06/30/20
|
411,246
|
416,396
|
5,150
|
JPMorgan Chase Bank, N.A.
|
6,723,951
|
JPY
|
06/22/20
|
60,752
|
62,370
|
1,618
|
Barclays Bank plc
|
1,409,560
|
EUR
|
06/15/20
|
1,578,235
|
1,564,681
|
(13,554)
|
Citibank N.A., New York
|
4,930,000
|
BRL
|
07/01/20
|
961,670
|
923,460
|
(38,210)
|
Morgan Stanley Capital Services LLC
|
4,930,000
|
BRL
|
07/01/20
|
983,482
|
923,460
|
(60,022)
|
Citibank N.A., New York
|
19,940,000
|
BRL
|
07/01/21
|
3,831,370
|
3,727,310
|
(104,060)
|
Citibank N.A., New York
|
439,619,700
|
JPY
|
06/01/20
|
4,220,558
|
4,076,592
|
(143,966)
|
JPMorgan Chase Bank, N.A.
|
407,203,500
|
JPY
|
09/01/20
|
3,944,471
|
3,781,451
|
(163,020)
|
|
|
|
|
|
|
$ (187,556)
|
|
|
~
|
The face amount is denominated in U.S. dollars unless otherwise indicated.
|
*
|
Non-income producing security.
|
**
|
Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
|
†
|
Value determined based on Level 1 inputs, unless otherwise noted — See Note 6.
|
††
|
Value determined based on Level 2 inputs, unless otherwise noted — See Note 6.
|
†††
|
Value determined based on Level 3 inputs — See Note 6.
|
1
|
Security was fair valued by the Valuation Committee at May 31, 2020. The total market value of fair valued securities amounts to $31,281,118, (cost $33,531,939) or 4.8% of total net assets.
|
2
|
Affiliated issuer.
|
3
|
All or a portion of these securities have been physically segregated in connection with futures contracts, options, borrowings, reverse repurchase agreements and unfunded loan commitments. As
of May 31, 2020, the total value of segregated securities was $99,311,185.
|
4
|
Rate indicated is the 7-day yield as of May 31, 2020.
|
5
|
Security is in default of interest and/or principal obligations.
|
6
|
Variable rate security. Rate indicated is the rate effective at May 31, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the
issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying
reference rates and spread amounts are shown, the effective rate is based on a weighted average.
|
7
|
Perpetual maturity.
|
8
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
9
|
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or
Section 4(a)(2) securities is $216,672,292 (cost $233,432,637), or 33.4% of total net assets.
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
10
|
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market
value of 144A or Section 4(a)(2) illiquid and restricted securities is $14,170,882 (cost $24,286,712), or 2.2% of total net assets — See Note 12.
|
11
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
|
12
|
Security is a step down bond, with a 3.97% coupon rate until November 14, 2026. Future rate is 2.00% with a reset date of November 15, 2026.
|
13
|
Security is an interest-only strip.
|
14
|
Rate indicated is the effective yield at the time of purchase.
|
15
|
Payment in-kind security
|
16
|
Variable rate security. Rate indicated is the rate effective at May 31, 2020. The rate is linked to the volatility- adjusted performance of the series 1 securities due 2069 of the underlying
company, Alphas Managed Accounts Platform LXXIX Limited.
|
BofA
|
Bank of America
|
BRL
|
Brazilian Real
|
CDX.NA.HY.33.V6
|
Credit Default Swap North American High Yield Series 33 Index
|
CDX.NA.HY.34.V3
|
Credit Default Swap North American High Yield Series 34 Index
|
CMS
|
Constant Maturity Swap
|
EURIBOR
|
European Interbank Offered Rate
|
EUR
|
Euro
|
GBP
|
British Pound
|
ICE
|
Intercontinental Exchange
|
ILS
|
Israeli New Shekel
|
JPY
|
Japanese Yen
|
LIBOR
|
London Interbank Offered Rate
|
plc
|
Public Limited Company
|
SARL
|
Société à Responsabilité Limitée
|
WAC
|
Weighted Average Coupon
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
Country Diversification
|
|
|
% of Long-Term
|
Country
|
Investments
|
United States
|
92.0%
|
Cayman Islands
|
4.7%
|
Netherlands
|
1.0%
|
Canada
|
0.9%
|
Australia
|
0.6%
|
United Kingdom
|
0.3%
|
France
|
0.2%
|
Other
|
0.3%
|
Total Long-Term Investments
|
100.0%
|
|
Level 2
|
Level 3
|
||||||||||||||
|
Significant
|
Significant
|
||||||||||||||
Investments in
|
Level 1
|
Observable
|
Unobservable
|
|||||||||||||
Securities (Assets)
|
Quoted Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Common Stocks
|
$
|
62,801
|
$
|
231,854
|
$
|
1,179,186
|
$
|
1,473,841
|
||||||||
Preferred Stocks
|
—
|
4,251,150
|
—
|
4,251,150
|
||||||||||||
Exchange-Traded Funds
|
10,818,589
|
—
|
—
|
10,818,589
|
||||||||||||
Closed-End Funds
|
36,604,789
|
—
|
—
|
36,604,789
|
||||||||||||
Money Market Fund
|
6,469,422
|
—
|
—
|
6,469,422
|
||||||||||||
Senior Floating Rate Interests
|
—
|
188,744,476
|
58,004,230
|
246,748,706
|
||||||||||||
Corporate Bonds
|
—
|
182,210,947
|
7,533,032
|
189,743,979
|
||||||||||||
Asset-Backed Securities
|
—
|
105,288,708
|
21,167,927
|
126,456,635
|
||||||||||||
Collateralized Mortgage Obligations
|
—
|
63,678,341
|
4,210,076
|
67,888,417
|
||||||||||||
U.S. Treasury Bills
|
—
|
16,787,253
|
—
|
16,787,253
|
||||||||||||
Senior Fixed Rate Interests
|
—
|
—
|
584,338
|
584,338
|
||||||||||||
Municipal Bonds
|
—
|
463,184
|
—
|
463,184
|
||||||||||||
Options Purchased
|
—
|
1,637,370
|
—
|
1,637,370
|
||||||||||||
Futures Contracts*
|
8,269,276
|
—
|
—
|
8,269,276
|
||||||||||||
Credit Default Swap Agreements*
|
—
|
1,530,265
|
—
|
1,530,265
|
||||||||||||
Total Return Swap Agreements*
|
—
|
898,744
|
—
|
898,744
|
||||||||||||
Forward Foreign Currency Exchange Contracts*
|
—
|
2,534,180
|
—
|
2,534,180
|
||||||||||||
Total Assets
|
$
|
62,224,877
|
$
|
568,256,472
|
$
|
92,678,789
|
$
|
723,160,138
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Level 2
|
Level 3
|
||||||||||||||
|
Significant
|
Significant
|
||||||||||||||
Investments in
|
Level 1
|
Observable
|
Unobservable
|
|||||||||||||
Securities (Liabilities)
|
Quoted Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Options Written
|
$
|
3,378,500
|
$
|
—
|
$
|
—
|
$
|
3,378,500
|
||||||||
Forward Foreign Currency Exchange Contracts*
|
—
|
553,333
|
—
|
553,333
|
||||||||||||
Unfunded Loan Commitments (Note 11)
|
—
|
—
|
266,911
|
266,911
|
||||||||||||
Total Liabilities
|
$
|
3,378,500
|
$
|
553,333
|
$
|
266,911
|
$
|
4,198,744
|
|
|||||
|
Ending Balance
|
Valuation
|
Unobservable
|
Input
|
Weighted
|
Category
|
at May 31, 2020
|
Technique
|
Inputs
|
Range
|
Average*
|
Assets:
|
|
|
|
|
|
Asset-Backed Securities
|
$12,851,486
|
Third Party Pricing
|
Broker Quote
|
—
|
—
|
Asset-Backed Securities
|
7,459,949
|
Yield Analysis
|
Yield
|
4.0%-13.0%
|
6.6%
|
Asset-Backed Securities
|
856,492
|
Option Adjusted Spread
|
Broker Quote
|
—
|
—
|
|
|
off prior month end
|
|
|
|
|
|
broker quote
|
|
|
|
Collateralized Mortgage
|
4,210,076
|
Option Adjusted Spread
|
Broker Quote
|
—
|
—
|
Obligations
|
|
off prior month end
|
|
|
|
|
|
broker quote
|
|
|
|
Common Stocks
|
666,570
|
Third Party Pricing
|
Broker Quote
|
—
|
—
|
Common Stocks
|
512,616
|
Enterprise Value
|
Valuation Multiple
|
1.6x-15.8x
|
10.1x
|
Corporate Bonds
|
5,484,044
|
Option Adjusted Spread
|
Broker Quote
|
—
|
—
|
|
|
off prior month end
|
|
|
|
|
|
broker quote
|
|
|
|
Corporate Bonds
|
2,048,988
|
Yield Analysis
|
Yield
|
6.4%-10.0%
|
8.4%
|
Senior Fixed Rate Interests
|
584,338
|
Model Price
|
Market Comparable Yields
|
11.6%
|
—
|
Senior Floating Rate Interests
|
37,329,003
|
Third Party Pricing
|
Broker Quote
|
—
|
—
|
Senior Floating Rate Interests
|
8,971,447
|
Yield Analysis
|
Yield
|
4.2%-15.1%
|
6.5%
|
Senior Floating Rate Interests
|
5,893,551
|
Model Price
|
Market Comparable Yields
|
5.8%-12.3%
|
8.6%
|
Senior Floating Rate Interests
|
4,991,038
|
Model Price
|
Purchase Price
|
—
|
—
|
Senior Floating Rate Interests
|
819,191
|
Enterprise Value
|
Valuation Multiple
|
9.5x-9.8x
|
9.7x
|
Total Assets
|
$92,678,789
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
Unfunded Loan Commitments
|
$ 266,911 |
Model Price
|
Purchase Price
|
—
|
—
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
SCHEDULE OF INVESTMENTS continued
|
May 31, 2020
|
|
Change in
|
Shares/
|
||||||||||||||||||||||||||
|
Realized
|
Unrealized
|
Face
|
|||||||||||||||||||||||||
|
Value
|
Gain
|
Appreciation
|
Value
|
Amount
|
|||||||||||||||||||||||
Security Name
|
05/31/19
|
Additions
|
Reductions
|
(Loss)
|
(Depreciation)
|
05/31/20
|
05/31/20
|
|||||||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||
BP Holdco LLC*,1
|
$
|
19,447
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
(3,386
|
)
|
$
|
16,061
|
55,076
|
||||||||||||||
Targus Group
|
||||||||||||||||||||||||||||
International Equity, Inc*,1
|
28,515
|
–
|
(7,652
|
)
|
–
|
2,228
|
23,091
|
12,989
|
||||||||||||||||||||
Senior Floating Rate Interests
|
||||||||||||||||||||||||||||
Targus Group
|
||||||||||||||||||||||||||||
International, Inc.
|
||||||||||||||||||||||||||||
due 05/24/16
|
–
|
**
|
–
|
–
|
(145,383
|
)
|
145,383
|
–
|
–
|
|||||||||||||||||||
|
$
|
47,962
|
$
|
–
|
$
|
(7,652
|
)
|
$
|
(145,383
|
)
|
$
|
144,225
|
$
|
39,152
|
STATEMENT OF ASSETS AND LIABILITIES
|
May 31, 2020
|
|
ASSETS:
|
||||
Investments in unaffiliated issuers, at value (cost $772,719,347)
|
$
|
709,888,521
|
||
Investments in affiliated issuers, at value (cost $25,276)
|
39,152
|
|||
Cash
|
985,434
|
|||
Restricted cash
|
6,548,485
|
|||
Unrealized appreciation on forward foreign currency exchange contracts
|
2,534,180
|
|||
Unrealized appreciation on OTC swap agreements
|
898,744
|
|||
Prepaid expenses
|
32,819
|
|||
Receivables:
|
||||
Investments sold
|
7,615,569
|
|||
Interest
|
3,540,922
|
|||
Fund shares sold
|
1,338,986
|
|||
Protection fees on credit default swap agreements
|
406,580
|
|||
Swap settlement
|
156,878
|
|||
Variation margin on credit default swap agreements
|
100,596
|
|||
Dividends
|
65,791
|
|||
Variation margin on futures contracts
|
5,800
|
|||
Tax reclaims
|
3,940
|
|||
Total assets
|
734,162,397
|
|||
LIABILITIES:
|
||||
Reverse repurchase agreements (Note 7)
|
42,445,822
|
|||
Borrowings (Note 8)
|
19,300,000
|
|||
Unfunded loan commitments, at value (Note 11) (Commitment fees received $538,127)
|
266,911
|
|||
Options written, at value (proceeds $1,435,172)
|
3,378,500
|
|||
Unamortized upfront premiums received on credit default swap agreements
|
2,313,388
|
|||
Unrealized depreciation on forward foreign currency exchange contracts
|
553,333
|
|||
Interest due on borrowings
|
21,774
|
|||
Segregated cash due to broker
|
3,850,000
|
|||
Payable for:
|
||||
Investments purchased
|
11,891,937
|
|||
Investment advisory fees
|
598,822
|
|||
Offering costs
|
385,041
|
|||
Professional fees
|
166,775
|
|||
Trustees’ fees and expenses*
|
2,897
|
|||
Other liabilities
|
95,126
|
|||
Total liabilities
|
85,270,326
|
|||
NET ASSETS
|
$
|
648,892,071
|
||
NET ASSETS CONSIST OF:
|
||||
Common stock, $0.01 par value per share; unlimited number of shares
|
||||
authorized, 42,426,020 shares issued and outstanding
|
$
|
424,260
|
||
Additional paid-in capital
|
$
|
749,269,831
|
||
Total distributable earnings (loss)
|
(100,802,020
|
)
|
||
NET ASSETS
|
$
|
648,892,071
|
||
Shares outstanding ($0.01 par value with unlimited amount authorized)
|
42,426,020
|
|||
Net asset value
|
$
|
15.29
|
STATEMENT OF OPERATIONS
|
May 31, 2020
|
For the Year Ended May 31, 2020
|
|
INVESTMENT INCOME:
|
||||
Interest from securities of unaffiliated issuers
|
$
|
41,130,094
|
||
Dividends from securities of unaffiliated issuers
|
1,723,588
|
|||
Total investment income
|
42,853,682
|
|||
EXPENSES:
|
||||
Investment advisory fees
|
6,687,147
|
|||
Professional fees
|
254,124
|
|||
Interest expense
|
148,314
|
|||
Fund accounting fees
|
140,927
|
|||
Administration fees
|
140,307
|
|||
Trustees' fees and expenses*
|
118,418
|
|||
Printing fees
|
114,038
|
|||
Custodian fees
|
91,370
|
|||
Registration and filing fees
|
61,165
|
|||
Short sales interest expense
|
55,055
|
|||
Transfer agent fees
|
20,780
|
|||
Insurance
|
13,665
|
|||
Miscellaneous
|
110,711
|
|||
Total expenses
|
7,956,021
|
|||
Net investment income
|
34,897,661
|
|||
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
||||
Net realized gain (loss) on:
|
||||
Investments in unaffiliated issuers
|
(16,302,535
|
)
|
||
Investments in affiliated issuers
|
(145,383
|
)
|
||
Investments sold short
|
78,848
|
|||
Swap agreements
|
(634,548
|
)
|
||
Futures contracts
|
(3,863,382
|
)
|
||
Options purchased
|
(749,134
|
)
|
||
Options written
|
(6,587,530
|
)
|
||
Forward foreign currency exchange contracts
|
1,110,176
|
|||
Foreign currency transactions
|
46,546
|
|||
Net realized loss
|
(27,046,942
|
)
|
||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments in unaffiliated issuers
|
(47,967,902
|
)
|
||
Investments in affiliated issuers
|
144,225
|
|||
Investments sold short
|
133,496
|
|||
Swap agreements
|
3,095,680
|
|||
Futures contracts
|
8,287,445
|
|||
Options purchased
|
(125,028
|
)
|
||
Options written
|
(1,922,987
|
)
|
||
Forward foreign currency exchange contracts
|
2,169,283
|
|||
Foreign currency translations
|
(65
|
)
|
||
Net change in unrealized appreciation (depreciation)
|
(36,185,853
|
)
|
||
Net realized and unrealized loss
|
(63,232,795
|
)
|
||
Net decrease in net assets resulting from operations
|
$
|
(28,335,134
|
)
|
STATEMENTS OF CHANGES IN NET ASSETS
|
May 31, 2020
|
|
|
Year Ended
|
Year Ended
|
||||||
|
May 31, 2020
|
May 31, 2019
|
||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
Net investment income
|
$
|
34,897,661
|
$
|
30,692,430
|
||||
Net realized loss on investments
|
(27,046,942
|
)
|
(9,560,369
|
)
|
||||
Net change in unrealized appreciation (depreciation)
|
||||||||
on investments
|
(36,185,853
|
)
|
(2,624,459
|
)
|
||||
Net increase (decrease) in net assets resulting from operations
|
(28,335,134
|
)
|
18,507,602
|
|||||
DISTRIBUTIONS:
|
||||||||
Distributions to shareholders
|
(33,846,511
|
)
|
(40,514,482
|
)
|
||||
Return of capital
|
(52,158,126
|
)
|
(28,880,612
|
)
|
||||
Total distributions
|
(86,004,637
|
)
|
(69,395,094
|
)
|
||||
SHAREHOLDER TRANSACTIONS:
|
||||||||
Proceeds from shares issued through at-the-market offering
|
112,581,936
|
155,705,147
|
||||||
Reinvestments of distributions
|
9,101,002
|
6,817,561
|
||||||
Common shares offering costs charged to paid-in capital
|
(275,710
|
)
|
(61,023
|
)
|
||||
Net increase in net assets resulting from shareholder transactions
|
121,407,228
|
162,461,685
|
||||||
Net increase in net assets
|
7,067,457
|
111,574,193
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
641,824,614
|
530,250,421
|
||||||
End of period
|
$
|
648,892,071
|
$
|
641,824,614
|
STATEMENT OF CASH FLOWS
|
May 31, 2020
|
For the Year Ended May 31, 2020
|
|
Cash Flows from Operating Activities:
|
||||
Net decrease in net assets resulting from operations
|
$
|
(28,335,134
|
)
|
|
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to
|
||||
Net Cash Used in Operating and Investing Activities:
|
||||
Net change in unrealized (appreciation) depreciation on investments
|
47,690,181
|
|||
Net change in unrealized (appreciation) depreciation on options purchased
|
125,028
|
|||
Net change in unrealized (appreciation) depreciation on options written
|
1,922,987
|
|||
Net change in unrealized (appreciation) depreciation on OTC swap agreements
|
(1,040,794
|
)
|
||
Net change in unrealized (appreciation) depreciation on forward foreign
|
||||
currency exchange contracts
|
(2,169,283
|
)
|
||
Net realized loss on investments
|
16,369,070
|
|||
Net realized loss on options purchased
|
749,134
|
|||
Net realized loss on option written
|
6,587,530
|
|||
Net realized gain on OTC swap agreements
|
(520,712
|
)
|
||
Purchase of long-term investments
|
(439,867,408
|
)
|
||
Proceeds from sale of long-term investments
|
252,361,578
|
|||
Net proceeds from sale of short-term investments
|
74,194,470
|
|||
Return of capital distributions received from invested companies
|
58,088
|
|||
Net accretion of bond discount and amortization of bond premium
|
(10,929,975
|
)
|
||
Corporate actions and other payments
|
49,015
|
|||
Premiums received on options written
|
7,225,144
|
|||
Cost of closing options written
|
(12,563,691
|
)
|
||
Commitment fees received and repayments of unfunded loan commitments
|
(741,647
|
)
|
||
Increase in dividends receivable
|
(65,791
|
)
|
||
Increase in interest receivable
|
(404,777
|
)
|
||
Increase in investments sold receivable
|
(7,121,955
|
)
|
||
Increase in swap settlement receivable
|
(156,878
|
)
|
||
Increase in variation margin on futures contracts receivable
|
(21,160
|
)
|
||
Decrease in variation margin on credit default swap agreements
|
20,704
|
|||
Increase in prepaid expenses
|
(3,997
|
)
|
||
Increase in tax reclaims
|
(1,959
|
)
|
||
Increase in protection fees on credit default swap agreements
|
(645,331
|
)
|
||
Increase in investments purchased payable
|
490,753
|
|||
Increase in interest payable on borrowings
|
21,774
|
|||
Decrease in professional fees payable
|
(37,955
|
)
|
||
Increase in segregated cash due to broker
|
3,850,000
|
|||
Increase in investment advisory fees payable
|
38,251
|
|||
Decrease in trustees’ fees and expenses payable*
|
(21,024
|
)
|
||
Increase in other liabilities
|
21,067
|
|||
Net Cash Used in Operating and Investing Activities
|
$
|
(92,874,697
|
)
|
STATEMENT OF CASH FLOWS continued
|
May 31, 2020
|
For the Year Ended May 31, 2020
|
|
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
$
|
(76,903,635
|
)
|
|
Proceeds from the issuance of common shares
|
111,969,293
|
|||
Proceeds from borrowings
|
40,000,000
|
|||
Payments made on borrowings
|
(20,700,000
|
)
|
||
Proceeds from reverse repurchase agreements
|
70,945,293
|
|||
Payments made on reverse repurchase agreements
|
(28,499,471
|
)
|
||
Offering costs in connection with the issuance of common shares
|
(326,463
|
)
|
||
Net Cash Provided by Financing Activities
|
$
|
96,485,017
|
||
Net increase in cash
|
3,610,320
|
|||
Cash at Beginning of Year (including foreign currency and restricted cash)
|
3,923,599
|
|||
Cash at End of Year (including restricted cash)
|
$
|
7,533,919
|
||
Supplemental Disclosure of Cash Flow Information:
|
||||
Cash paid during the year for interest
|
$
|
164,226
|
||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$
|
9,101,002
|
FINANCIAL HIGHLIGHTS
|
May 31, 2020
|
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
|||||||||||||||
|
May 31,
|
May 31,
|
May 31,
|
May 31,
|
May 31,
|
|||||||||||||||
|
2020
|
2019
|
2018
|
2017
|
2016
|
|||||||||||||||
Per Share Data:
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
17.91
|
$
|
19.12
|
$
|
19.78
|
$
|
17.50
|
$
|
19.61
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment income(a)
|
0.89
|
0.97
|
1.23
|
1.61
|
1.40
|
|||||||||||||||
Net gain (loss) on investments (realized and unrealized)
|
(1.32
|
)
|
0.01
|
0.30
|
2.86
|
(1.33
|
)
|
|||||||||||||
Total from investment operations
|
(0.43
|
)
|
0.98
|
1.53
|
4.47
|
0.07
|
||||||||||||||
Less distributions from:
|
||||||||||||||||||||
Net investment income
|
(0.86
|
)
|
(1.12
|
)
|
(2.01
|
)
|
(2.18
|
)
|
(1.82
|
)
|
||||||||||
Capital gains
|
—
|
(0.16
|
)
|
(0.18
|
)
|
(0.01
|
)
|
(0.36
|
)
|
|||||||||||
Return of capital
|
(1.33
|
)
|
(0.91
|
)
|
—
|
—
|
—
|
|||||||||||||
Total distributions to shareholders
|
(2.19
|
)
|
(2.19
|
)
|
(2.19
|
)
|
(2.19
|
)
|
(2.18
|
)
|
||||||||||
Net asset value, end of period
|
$
|
15.29
|
$
|
17.91
|
$
|
19.12
|
$
|
19.78
|
$
|
17.50
|
||||||||||
Market value, end of period
|
$
|
16.20
|
$
|
19.96
|
$
|
21.29
|
$
|
20.94
|
$
|
17.61
|
||||||||||
Total Return(b)
|
||||||||||||||||||||
Net asset value
|
(2.79
|
%)
|
5.43
|
%
|
8.02
|
%
|
26.76
|
%
|
0.80
|
%
|
||||||||||
Market value
|
(7.96
|
%)
|
4.94
|
%
|
13.31
|
%
|
33.33
|
%
|
(6.07
|
%)
|
||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
648,892
|
$
|
641,825
|
$
|
530,250
|
$
|
410,465
|
$
|
310,246
|
||||||||||
Ratio to average net assets of:
|
||||||||||||||||||||
Net investment income, including interest expense
|
5.29
|
%
|
5.26
|
%
|
6.27
|
%
|
8.55
|
%
|
7.79
|
%
|
||||||||||
Total expenses, including interest expense(c)(d)
|
1.21
|
%
|
1.17
|
%
|
1.52
|
%
|
2.35
|
%
|
2.38
|
%
|
||||||||||
Portfolio turnover rate
|
41
|
%
|
38
|
%
|
48
|
%
|
41
|
%
|
116
|
%
|
FINANCIAL HIGHLIGHTS continued
|
May 31, 2020
|
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
|||||||||||||||
|
May 31,
|
May 31,
|
May 31,
|
May 31,
|
May 31,
|
|||||||||||||||
|
2020
|
2019
|
2018
|
2017
|
2016
|
|||||||||||||||
Senior Indebtedness:
|
||||||||||||||||||||
Borrowings-committed facility agreement (in thousands)
|
$
|
19,300
|
N/A
|
N/A
|
$
|
16,705
|
$
|
9,355
|
||||||||||||
Asset Coverage per $1,000 of borrowings(e)
|
$
|
34,621
|
N/A
|
N/A
|
$
|
25,571
|
$
|
34,164
|
(a)
|
Based on average shares outstanding.
|
(b)
|
Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are
assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total return does not reflect brokerage commissions. A return calculated for a period of less than
one year is not annualized.
|
(c)
|
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were
included in the expense ratios, the expense ratios would increase by 0.08%, 0.00%*, 0.00%*, 0.00%*, and 0.02% for the years ended May 31, 2020, 2019, 2018, 2017 and 2016, respectively.
|
(d)
|
Excluding interest expense, the operating expense ratios for the years ended May 31 would be:
|
2020
|
2019
|
2018
|
2017
|
2016
|
1.17%
|
1.15%
|
1.33%
|
1.62%
|
1.74%
|
(e)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the borrowings.
|
*
|
Less than 0.01%.
|
NOTES TO FINANCIAL STATEMENTS
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Average Notional Amount
|
|
Use
|
Call
|
Put
|
Hedge
|
$—
|
$606,878,005
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Average Notional Amount
|
|
Use
|
Call
|
Put
|
Hedge, Income
|
$14,466,669
|
$–*
|
|
Average Notional Amount
|
|
Use
|
Long
|
Short
|
Index Exposure
|
$14,449,716
|
$–
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Average Notional Amount
|
|
Use
|
Long
|
Short
|
Income
|
$4,704,960
|
$–
|
|
Average Notional Amount
|
|
Use
|
Pay
|
Receive
|
|
Floating Rate
|
Floating Rate
|
Hedge
|
$–
|
$–*
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Average Notional Amount
|
|
|
Protection
|
Protection
|
Use
|
Sold
|
Purchased
|
Hedge, Index Exposure
|
$11,276,533
|
$88,305,000
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Average Value
|
|
Use
|
Purchased
|
Sold
|
Hedge,Income
|
$14,395,866
|
$60,715,872
|
Derivative Investment Type
|
Asset Derivatives
|
Liability Derivatives
|
Equity contracts
|
Variation margin on
|
Options written, at value
|
|
futures contracts
|
|
|
||
Interest rate contracts
|
Investments in unaffiliated
|
|
|
issuers, at value
|
|
|
Unrealized appreciation on
|
|
|
OTC swap agreements
|
|
|
||
Credit contracts
|
Variation margin on credit
|
Unamortized upfront
|
|
default swap agreements
|
premiums received on credit
|
|
|
default swap agreements
|
|
||
Currency contracts
|
Unrealized appreciation on
|
Unrealized depreciation on
|
|
forward foreign currency
|
forward foreign currency
|
|
exchange contracts
|
exchange contracts
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
Derivative Investment Type
|
Location of Gain (Loss) on Derivatives
|
Equity contracts
|
Net realized gain (loss) on futures contracts
|
|
Net change in unrealized appreciation
|
|
(depreciation) on futures contracts
|
|
Net realized gain (loss) on options written
|
|
Net change in unrealized appreciation
|
|
(depreciation) on options written
|
|
|
Interest Rate contracts
|
Net realized gain (loss) on options purchased
|
|
Net change in unrealized appreciation
|
|
(depreciation) on options purchased
|
|
Net realized gain (loss) on swap agreements
|
|
Net change in unrealized appreciation
|
|
(depreciation) on swap agreements
|
|
|
Credit contracts
|
Net realized gain (loss) on swap agreements
|
|
Net change in unrealized appreciation
|
|
(depreciation) on swap agreements
|
|
|
Currency contracts
|
Net realized gain (loss) on forward foreign
|
|
currency exchange contracts
|
|
Net change in unrealized appreciation
|
|
(depreciation) on forward foreign currency
|
|
exchange contracts
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Net Amount
|
Gross Amounts Not Offset
|
||||||||||||||||||||||
|
Gross Amounts
|
of Assets
|
in the Statement of
|
|||||||||||||||||||||
|
Gross
|
Offset in the
|
Presented on the
|
Assets and Liabilities
|
||||||||||||||||||||
|
Amounts of
|
Statement of
|
Statement of
|
Cash
|
||||||||||||||||||||
|
Recognized
|
Assets and
|
Assets and
|
Financial
|
Collateral
|
|||||||||||||||||||
Instrument
|
Assets1
|
Liabilities
|
Liabilities
|
Instruments
|
Received
|
Net Amount
|
||||||||||||||||||
Total return swap
|
||||||||||||||||||||||||
agreements
|
$
|
898,744
|
$
|
–
|
$
|
898,744
|
$
|
–
|
$
|
(898,744
|
)
|
$
|
–
|
|||||||||||
Forward foreign
|
||||||||||||||||||||||||
currency
|
||||||||||||||||||||||||
exchange
|
||||||||||||||||||||||||
contracts
|
2,534,180
|
–
|
2,534,180
|
(507,536
|
)
|
(1,823,406
|
)
|
203,238
|
||||||||||||||||
Options purchased
|
||||||||||||||||||||||||
contracts
|
1,637,370
|
–
|
1,637,370
|
–
|
(1,127,850
|
)
|
509,520
|
|
Net Amount
|
Gross Amounts Not Offset
|
||||||||||||||||||||||
|
Gross Amounts
|
of Liabilities
|
in the Statement of
|
|||||||||||||||||||||
|
Gross
|
Offset in the
|
Presented on the
|
Assets and Liabilities
|
||||||||||||||||||||
|
Amounts of
|
Statement of
|
Statement of
|
Cash
|
||||||||||||||||||||
|
Recognized
|
Assets and
|
Assets and
|
Financial
|
Collateral
|
|||||||||||||||||||
Instrument
|
Liabilities1
|
Liabilities
|
Liabilities
|
Instruments
|
Pledged
|
Net Amount
|
||||||||||||||||||
Forward foreign
|
||||||||||||||||||||||||
currency
|
||||||||||||||||||||||||
exchange
|
||||||||||||||||||||||||
contracts
|
$
|
553,333
|
$
|
–
|
$
|
553,333
|
$
|
(507,536
|
)
|
$
|
–
|
$
|
45,797
|
|||||||||||
Reverse
|
||||||||||||||||||||||||
repurchase
|
||||||||||||||||||||||||
agreements
|
42,445,822
|
–
|
42,445,822
|
(42,445,822
|
)
|
–
|
–
|
|
1 Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.
|
Counterparty
|
Asset Type
|
Cash Pledged
|
Cash Received
|
||||||
BofA Securities, Inc.
|
Credit default swap agreements
|
$
|
1,945,626
|
$
|
–
|
||||
BofA Securities, Inc.
|
Interest rate swap agreements
|
4,602,859
|
–
|
||||||
Citibank, N.A., New York
|
Forward foreign currency exchange contracts
|
–
|
1,840,000
|
||||||
Goldman Sachs International
|
Forward foreign currency exchange contracts,
|
||||||||
|
Total return swap agreements
|
–
|
2,010,000
|
||||||
|
|
$
|
6,548,485
|
$
|
3,850,000
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
Counterparty
|
Interest Rate(s)
|
Maturity Date(s)
|
Face Value
|
BMO Capital Markets Corp.
|
0.75% - 0.95%
|
06/05/20 – 08/13/20
|
$ 22,445,690
|
BMO Capital Markets Corp.
|
0.80%*
|
Open Maturity
|
5,053,762
|
BNP Paribas
|
0.75% - 0.85%
|
07/13/20 – 08/13/20
|
13,479,297
|
Citibank, N.A.
|
0.60%*
|
Open Maturity
|
1,467,073
|
Total
|
|
|
$ 42,445,822
|
|
Overnight
|
|
|
|
Asset Type
|
and Continuous
|
Up to 30 days
|
31-90 days
|
Total
|
Corporate Bonds
|
$ 6,520,835
|
$ 4,295,559
|
$ 31,629,428
|
$ 42,445,822
|
Gross amount of recognized liabilities for
|
|
|
|
|
reverse repurchase agreements
|
$ 6,520,835
|
$ 4,295,559
|
$ 31,629,428
|
$ 42,445,822
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
Ordinary
|
Long-Term
|
Return of
|
Total
|
Income
|
Capital Gain
|
Capital
|
Distributions
|
$33,846,511
|
$–
|
$52,158,126
|
$86,004,637
|
Ordinary
|
Long-Term
|
Return of
|
Total
|
Income
|
Capital Gain
|
Capital
|
Distributions
|
$38,174,878
|
$2,339,604
|
$28,880,612
|
$69,395,094
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
Net Unrealized
|
Accumulated
|
|
Appreciation
|
Capital and
|
|
(Depreciation)
|
Other Losses
|
Total
|
$(71,440,791)
|
$(29,361,229)
|
$(100,802,020)
|
|
|
Total
|
|
Unlimited
|
Capital Loss
|
||
Short-Term
|
Long-Term
|
Carryforward
|
|
$(5,285,429)
|
$(24,075,800) |
$(29,361,229)
|
|
|
|
Net Unrealized
|
|
Tax Unrealized
|
Tax Unrealized
|
Appreciation/
|
Tax Cost
|
Appreciation
|
Depreciation
|
(Depreciation)
|
$782,634,209
|
$15,559,444
|
$(87,272,144)
|
$(71,712,700)
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
Purchases
|
Sales
|
$439,867,408
|
$252,361,578
|
Purchases
|
Sales
|
Realized Gain (Loss)
|
$6,540,984
|
$–
|
$–
|
Borrower
|
Maturity Date
|
Face Amount*
|
Value
|
Alexander Mann
|
12/16/24
|
GBP 77,135
|
$ 20,160
|
AmeriLife Holdings LLC
|
03/18/27
|
100,000
|
7,000
|
Anchor Packaging LLC
|
07/18/26
|
296,154
|
14,808
|
Aspect Software, Inc.
|
07/15/23
|
120,943
|
1,280
|
BCPE Empire Holdings, Inc.
|
06/11/26
|
63,734
|
4,143
|
Cypress Intermediate Holdings III, Inc.
|
04/27/22
|
359,589
|
17,088
|
Examworks Group, Inc.
|
01/27/23
|
1,100,000
|
46,049
|
EyeCare Partners LLC
|
02/18/27
|
331,081
|
33,108
|
Galls LLC
|
01/31/25
|
349,651
|
12,237
|
Galls LLC
|
01/31/24
|
26,053
|
2,077
|
OEConnection LLC
|
09/25/26
|
147,186
|
12,143
|
Packaging Coordinators Midco, Inc.
|
07/01/21
|
161,538
|
6,058
|
SHO Holding I Corp.
|
10/27/21
|
25,280
|
5,309
|
Solera LLC
|
03/03/21
|
2,033,000
|
80,181
|
Trader Interactive
|
06/15/23
|
69,231
|
5,270
|
|
|
|
$ 266,911
|
* The face amount is denominated in U.S. dollars unless otherwise indicated.
|
GBP – British Pound
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
Airplanes Pass Through Trust
|
|
|
|
2001-1A, due 03/15/192,3
|
10/14/09
|
$ 5,384,675
|
$ 668
|
Atlas Mara Ltd.
|
|
|
|
8.00% due 12/31/20
|
10/01/15
|
2,144,742
|
1,738,000
|
Basic Energy Services, Inc.
|
|
|
|
10.75% due 10/15/235
|
09/25/18
|
496,517
|
205,075
|
Beverages & More, Inc.
|
|
|
|
11.50% due 06/15/225
|
06/16/17
|
631,881
|
419,250
|
CBC Insurance Revenue Securitization LLC
|
|
|
|
2016-1, 5.25% due 07/15/46
|
08/09/19
|
321,202
|
310,628
|
CNB Financial Corp.
|
|
|
|
5.75% due 10/15/264
|
09/14/16
|
1,000,000
|
1,028,878
|
Exide International Holdings, LP
|
|
|
|
15.25% (in-kind rate was 4.50%) due 10/31/216
|
05/31/19
|
714,412
|
643,249
|
Exide Technologies
|
|
|
|
due 10/31/242,6
|
07/02/19
|
2,085,195
|
1,296,340
|
FDF I Ltd.
|
|
|
|
2015-1A, 7.50% due 11/12/30
|
04/22/16
|
989,464
|
860,467
|
FDF II Ltd.
|
|
|
|
2016-2A, 7.70% due 05/12/31
|
04/15/16
|
2,984,159
|
2,582,872
|
FLNG Liquefaction 2 LLC
|
|
|
|
4.13% due 03/31/38
|
07/23/19
|
231,416
|
225,898
|
Freddie Mac Military Housing Bonds
|
|
|
|
Resecuritization Trust Certificates
|
|
|
|
2015-R1, 5.49% (WAC) due 11/25/521
|
09/10/19
|
3,672,621
|
3,311,434
|
Mirabela Nickel Ltd.
|
|
|
|
due 06/24/192
|
12/31/13
|
1,259,370
|
69,409
|
Party City Holdings, Inc.
|
|
|
|
6.63% due 08/01/26
|
02/28/19
|
537,531
|
83,640
|
Princess Juliana International
|
|
|
|
Airport Operating Company N.V.
|
|
|
|
5.50% due 12/20/273,5
|
12/17/12
|
1,383,289
|
1,145,807
|
Turbine Engines Securitization Ltd.
|
|
|
|
2013-1A, 6.38% due 12/13/48
|
11/27/13
|
450,238
|
249,267
|
|
|
$ 24,286,712
|
$ 14,170,882
|
1 Variable rate security. Rate indicated is the rate effective at May 31, 2020. In some instances, the effective rate is limited by a
minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact
the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective
rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a
weighted average.
|
2 Security is in default of interest and/or principal obligations.
|
3 Security was fair valued by the Valuation Committee at May 31, 2020. The total market value of fair valued and restricted se-
curities amounts to $1,146,475, (cost $6,767,964) or 0.2% of total net assets.
|
4 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
5 All or a portion of these securities have been physically segregated in connection with borrowings.
|
6 Payment in-kind security.
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
|
Year Ended
|
Year Ended
|
|
May 31, 2020
|
May 31, 2019
|
Beginning shares
|
35,845,939
|
27,733,512
|
Shares issues through at-the-market offering
|
6,052,385
|
7,758,097
|
Shares issued through dividend reinvestment
|
527,696
|
354,330
|
Ending shares
|
42,426,020
|
35,845,939
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2020
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
May 31, 2020
|
OTHER INFORMATION (Unaudited)
|
May 31, 2020
|
Qualified
|
Dividend
|
Qualified
|
Dividend
|
Received
|
Interest
|
Income
|
Deduction
|
Income
|
0.67%
|
0.67%
|
90.65%
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
# of Shares in Favor
|
# of Shares Against
|
# of Shares Abstain
|
Randall C. Barnes
|
31,896,007
|
723,302
|
575,118
|
Angela Brock-Kyle
|
30,986,068
|
1,642,502
|
565,857
|
Donald A. Chubb, Jr.
|
31,834,485
|
782,872
|
577,070
|
Roman Friedrich III
|
31,065,986
|
1,546,871
|
581,570
|
Amy J. Lee
|
31,831,346
|
793,133
|
569,948
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
|
Held
|
and Length
|
|
Portfolios in
|
|
Name, Address*
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
Fund
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees***
|
Independent Trustees:
|
|
|
|||
Randall C. Barnes
(1951)
|
Trustee and
Chair of the
Valuation
Oversight
Committee
|
Since 2007
|
Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).
|
157
|
Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
|
Angela Brock-Kyle
(1959)
|
Trustee
|
Since 2019
|
Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012).
|
156
|
Current: Hunt Companies, Inc.
(2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018).
|
Donald A. Chubb, Jr.
(1946)
|
Trustee |
Since 2014
|
Current: Retired
Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017).
|
156
|
Former: MidlandCare, Inc. (2011-2016).
|
Jerry B. Farley
(1946)
|
Trustee
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
156
|
Current: CoreFirstBank & Trust (2000-present).
Former: WestarEnergy, Inc. (2004-2018).
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
|
Held
|
and Length
|
|
Portfolios in
|
|
Name, Address*
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
Fund
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees***
|
Independent Trustees continued:
|
|
|
|||
Roman Friedrich III
(1946)
|
Trustee
|
Since 2010
|
Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present).
|
156
|
Former: Zincore Metals, Inc.
(2009-2019).
|
Thomas F. Lydon, Jr.
(1960)
|
Trustee and
Chair of the
Contracts
Review
Committee
|
Since 2019
|
Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).
|
156
|
Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019).
|
Ronald A. Nyberg
(1953)
|
Trustee and
Chair of the
Nominating
and Governance
Committee
|
Since 2007
|
Current: Partner, Momkus LLC (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).
|
157
|
Current: PPM Funds (9) (2018 - present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004- April 2020); Western Asset Inflation-Linked Income Fund (2003- April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
|
Held
|
and Length
|
|
Portfolios in
|
|
Name, Address*
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
Fund
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees***
|
Independent Trustees continued:
|
|
|
|||
Sandra G. Sponem
(1958)
|
Trustee and
Chair of the
Audit
Committee
|
Since 2019
|
Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson- Companies, Inc. (2007-2017).
|
156
|
Current: SPDR Series Trust (78) (2018- present); SPDR Index Shares Funds (31) (2018-present); SSGA Active Trust (12) (2018-present); and SSGA Master Trust (1) (2018-present).
|
Ronald E. Toupin, Jr.
(1958)
|
Trustee, Chair
of the Board
and Chair of
the Executive
Committee
|
Since 2007
|
Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice
President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
156
|
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004- April 2020); Western Asset Inflation- Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund
(2003-2016).
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
|
Held
|
and Length
|
|
Portfolios in
|
|
Name, Address*
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
Fund
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees***
|
Interested Trustee:
|
|
|
|||
Amy J. Lee****
(1961)
|
Trustee, Vice
President and
Chief Legal
Officer
|
Since 2018
(Trustee) Since
2014 (Chief
Legal Officer)
Since 2012
(Vice President)
|
Current: Interested Trustee,certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior
Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation
(2004-2012).
|
156
|
None.
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
|
**
|
Each Trustee serves an indefinite term, until his or her successor is elected and qualified:
|
|
—Messrs. Farley, Nyberg, Lydon, Jr., Toupin, Jr. and Ms. Sponem are Class II Trustees. Class II Trustees are expected to stand for re-election at the Fund’s annual
meeting of shareholders for the fiscal year ended May 31, 2021.
|
|
—Messrs. Barnes, Chubb, Jr., and Friedrich and Mses. Lee and Brock-Kyle are Class I Trustees. Class I Trustees are expected to stand for re-election at the Fund’s annual
meeting of shareholders for the fiscal year ended May 31, 2022.
|
***
|
Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable
Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex
Variable Funds and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
|
****
|
This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
|
|
|
Held
|
Term of Office
|
|
Name, Address*
|
with
|
and Length of
|
|
and Year of Birth
|
Fund
|
Time Served**
|
Principal Occupation(s) During Past Five Years
|
Officers:
|
|
||
Brian E. Binder
(1972)
|
President and
Chief Executive
Officer
|
Since 2018
|
Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment
Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief
Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd.
(2010-2012).
|
Joanna M. Catalucci
(1966)
|
Chief
Compliance
Officer
|
Since 2012
|
Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present).
Former: AML Officer, certain other funds in the Fund Complex (2016-2017); Chief Compliance Officer and Secretary certain other funds in the Fund Complex (2008-2012); Senior Vice President and Chief Compliance Officer, Security Investor,
LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
|
James M. Howley
(1972)
|
Assistant
Treasurer
|
Since 2006
|
Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
|
Mark E. Mathiasen
(1978)
|
Secretary
|
Since 2008
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
|
Glenn McWhinnie
(1969)
|
Assistant
Treasurer
|
Since 2016
|
Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
|
|
|
Held
|
Term of Office
|
|
Name, Address*
|
with
|
and Length of
|
|
and Year of Birth
|
Fund
|
Time Served**
|
Principal Occupation(s) During Past Five Years
|
Officers continued:
|
|||
Michael P. Megaris
(1984)
|
Assistant
Secretary
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
|
William Rehder
(1967)
|
Assistant
Vice President
|
Since 2018
|
Current: Managing Director, Guggenheim Investments (2002-present).
|
Kimberly J. Scott
(1974)
|
Assistant
Treasurer
|
Since 2012
|
Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund
Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
|
Bryan Stone
(1979)
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
|
John L. Sullivan
(1955)
|
Chief Financial
Officer, Chief
Accounting
Officer and
Treasurer
|
Since 2010
|
Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management
(2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
|
OTHER INFORMATION (Unaudited) continued
|
May 31, 2020
|
|
Position(s)
|
|
|
|
Held
|
Term of Office
|
|
Name, Address*
|
with
|
and Length of
|
|
and Year of Birth
|
Fund
|
Time Served**
|
Principal Occupation(s) During Past Five Years
|
Officers continued:
|
|||
Jon Szafran
(1989)
|
Assistant
Treasurer
|
Since 2017
|
Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate
of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF)
|
May 31, 2020
|
1
|
On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered man- agement investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease
2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the
period from March 13, 2020 to June 15, 2020, and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreements at a meeting of the Board held
by video conference on May 18, 2020.
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
2
|
Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Advisory Agreements.
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
3
|
Contractual advisory fee rankings represent the percentile ranking of the Fund’s contractual advisory fee relative to peers as- suming that the contractual advisory fee for each fund in the peer group is calculated on the basis of the
Fund’s average managed assets.
|
4
|
The “net effective management fee” for the Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
APPROVAL OF ADVISORY AGREEMENTS —
|
|
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF) continued
|
May 31, 2020
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
May 31, 2020
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued
|
May 31, 2020
|
FUND INFORMATION
|
May 31, 2020
|
Board of Trustees
Randall C. Barnes
Angela Brock-Kyle
Donald A. Chubb, Jr.
Jerry B. Farley
Roman Friedrich III
Amy J. Lee*
Thomas F. Lydon Jr.
Ronald A. Nyberg
Sandra G. Sponem
Ronald E. Toupin, Jr.,
Chairman
* This Trustee is an “interested person” (as
defined in Section 2(a)(19) of the 1940 Act)
(“Interested Trustee”) of the Fund because of
her affiliation with Guggenheim Investments.
Principal Executive Officers
Brian E. Binder
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Vice President and Chief Legal Officer
Mark E. Mathiasen
Secretary
John L. Sullivan
Chief Financial Officer, Chief Accounting
Officer and Treasurer
|
Investment Adviser
Guggenheim Funds Investment
Advisors, LLC
Chicago, IL
Investment Sub-Adviser
Guggenheim Partners Investment
Management, LLC
Santa Monica, CA
Administrator and Accounting Agent
MUFG Investor Services (US), LLC
Rockville, MD
Custodian
The Bank of New York Mellon Corp.
New York, NY
Legal Counsel
Dechert LLP
Washington, D.C.
Independent Registered Public
Accounting Firm
Ernst & Young LLP
Tysons, VA
|
FUND INFORMATION continued
|
May 31, 2020
|
•
|
If your shares are held in a Brokerage Account, contact your Broker.
|
•
|
If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:Computershare Trust Company, N.A., P.O. Box 30170
College Station, TX 77842-3170; (866) 488-3559 or online at www.computershare.com/investor
|
(a)
|
The categories of services to be reviewed and considered for pre-approval include the following (collectively, “Identified Services”):
|
•
|
Annual financial statement audits
|
•
|
Seed audits (related to new product filings, as required)
|
•
|
SEC and regulatory filings and consents
|
•
|
Accounting consultations
|
•
|
Fund merger/reorganization support services
|
•
|
Other accounting related matters
|
•
|
Agreed upon procedures reports
|
•
|
Attestation reports
|
•
|
Other internal control reports
|
•
|
Recurring tax services:
|
o
|
Preparation of Federal and state income tax returns, including extensions
|
o
|
Preparation of calculations of taxable income, including fiscal year tax designations
|
o
|
Preparation of annual Federal excise tax returns (if applicable)
|
o
|
Preparation of calendar year excise distribution calculations
|
o
|
Calculation of tax equalization on an as-needed basis
|
o
|
Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis
|
o
|
Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes
|
o
|
Provision of tax compliance services in India for Funds with direct investments in India
|
o
|
Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes
|
•
|
Permissible non-recurring tax services upon request:
|
o
|
Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards
|
o
|
Assistance with calendar year shareholder reporting designations on Form 1099
|
o
|
Assistance with corporate actions and tax treatment of complex securities and structured products
|
o
|
Assistance with IRS ruling requests and calculation of deficiency dividends
|
o
|
Conduct training sessions for the Adviser’s internal tax resources
|
o
|
Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions
|
o
|
Tax services related to amendments to Federal, state and local returns and sales and use tax compliance
|
o
|
RIC qualification reviews
|
o
|
Tax distribution analysis and planning
|
o
|
Tax authority examination services
|
o
|
Tax appeals support services
|
o
|
Tax accounting methods studies
|
o
|
Fund merger, reorganization and liquidation support services
|
o
|
Tax compliance, planning and advice services and related projects
|
(b)
|
The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.
|
(c)
|
For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such services on behalf
of the Committee.
|
(d)
|
For Identified Services with estimated fees of $50,000 or more, such services require pre-approval by the Committee.
|
(e)
|
All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Chief Accounting Officer (“CAO”) of the Trust by the independent
auditor using the pre-approval request form attached as Appendix C to the Audit Committee Charter. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of
the Committee.
|
(f)
|
The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular quarterly meetings all audit, audit-related and
permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description
of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained).
|
(a)
|
The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the
Trust) relating directly to the operations and financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee
meeting.
|
(b)
|
For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations and financial reporting of the Trust for which the
estimated fees are $25,000 or more, such services require pre-approval by the Committee.
|
Name
|
Since
|
Professional Experience During the Last Five Years
|
|
Scott Minerd - CIO
|
2007
|
Guggenheim Partners Investment Management, LLC: Global CIO – 2005–Present; Guggenheim Partners, LLC: Managing Partner – Insurance Advisory – 1998–Present.
|
|
Anne B. Walsh, CFA, FLMI – Senior Managing Director and Assistant CIO
|
2007
|
Guggenheim Partners Investment Management, LLC: Senior Managing Director and Assistant CIO – 2007–Present.
|
|
Steven Brown – Senior Managing Director
|
2017
|
Guggenheim Partners Investment Management, LLC - Senior Managing Director – 2019 to Present; Managing Director – 2016 to Present; Guggenheim Partners Investment Management, LLC – Director 2014 to 2016;
Guggenheim Partners Investment Management, LLC – Vice President 2013 to 2014; Senior Associate 2012 to 2013.
|
|
Adam Bloch – Managing Director
|
2018
|
Guggenheim Partners Investment Management, LLC: Managing Director – 2019 to Present; Director – 2015-Present; Vice
President – 2014-2015; Senior Associate – 2013-2014; Associate – 2012-2013. Bank of America Merrill Lynch: Associate – 2011-2012.
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investments companies
|
12
|
$25,039,674,689
|
0
|
$0
|
Other pooled investment vehicles
|
63
|
$15,112,230,727
|
39 |
$10,342,452,743
|
Other accounts
|
130
|
$157,982,999,073
|
13
|
$4,373,907,829
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investments companies
|
16
|
$28,697,835,784
|
0
|
$0
|
Other pooled investment vehicles
|
6
|
$2,889,837,013
|
2
|
$1,986,417,505
|
Other accounts
|
85
|
$147,830,685,915
|
4
|
$270,724,800
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investments companies
|
13
|
$27,683,297,089
|
0
|
$0
|
Other pooled investment vehicles
|
6
|
$2,889,837,013
|
3
|
$1,986,417,505
|
Other accounts
|
20
|
$13,541,358,753
|
4
|
$270,724,800
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investments companies
|
19
|
$27,841,351,068
|
0
|
$0
|
Other pooled investment vehicles
|
6
|
$2,889,837,013
|
3
|
$1,986,417,505
|
Other accounts
|
20
|
$13,541,358,753
|
4
|
$270,724,800
|
Name of Portfolio Manager
|
Dollar Amount of Equity Securities in Fund
|
Scott Minerd
|
None
|
Anne B. Walsh
|
$100,001-$500,000
|
Steven Brown
|
None
|
Adam Bloch
|
None
|
•
|
honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
|
•
|
full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (“SEC”) and in
other public communications made by the Company;
|
•
|
compliance with applicable laws and governmental rules and regulations;
|
•
|
the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and
|
•
|
accountability for adherence to the Code.
|
•
|
not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Company whereby the Covered Officer would benefit
personally to the detriment of the Company;
|
•
|
not cause the Company to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Company;
|
•
|
report at least annually his or her affiliations or other relationships which may give rise to conflicts of interest with the Funds (provided that annual completion of the Funds’ /Trustees
and Officers Questionnaire shall satisfy the requirements of this bullet point).
|
•
|
service as a director on the board of any public company;
|
•
|
the receipt of any non de minimis gifts;
|
•
|
the receipt of any entertainment from any company with which the Company has current or prospective business dealings unless such entertainment is business-related, reasonable in cost,
appropriate as to time and place, and not so frequent as to raise any question of impropriety;
|
•
|
any ownership interest in, or any consulting or employment relationship with, any of the Company’s service providers, other than its investment adviser, principal underwriter,
administrator or any affiliated person thereof;
|
•
|
a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Company for effecting portfolio transactions or for selling or redeeming shares other
than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.
|
•
|
Each Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Company;
|
•
|
each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Company to others, whether within or outside the Company, including to the
Company’s directors and auditors, and to governmental regulators and self-regulatory organizations;
|
•
|
each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of
promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and
|
•
|
it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.
|
|
1 |
Any activity or relationship that would present a conflict for a Covered Officer would likely also present a conflict for the Covered Officer if a member of the Covered Officer’s family engages in such an activity or has such a
relationship.
|
•
|
upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he or she has received, read, and understands the Code;
|
•
|
annually thereafter affirm to the Board that he or she has complied with the requirements of the Code;
|
•
|
not retaliate against any other Covered Officer or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and
|
•
|
notify the Secretary promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.
|
•
|
the Secretary or other designated senior legal officer will take all appropriate action to investigate any potential violations reported to him or her;
|
•
|
if, after such investigation, the Secretary believes that no violation has occurred, the Secretary is not required to take any further action;
|
•
|
any matter that the Secretary believes is a violation will be reported to the Committee;
|
•
|
if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and
appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer as an officer of the Funds;
|
•
|
the Board will be responsible for granting waivers, as appropriate; and
|
•
|
any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.
|
|
2 |
The Secretary or other designated senior legal officer is authorized to consult, as appropriate, with counsel to the Company and counsel to the Independent Trustees, and is encouraged to do so.
|
|
3 |
Item 2 of Form N-CSR defines “waiver” as “the approval by the registrant of a material departure from a provision of the code of ethics” and “implicit waiver,” which must also be disclosed, as “the registrant’s failure to take action
within a reasonable period of time regarding a material departure from a provision of the code of ethics that has been made known to an executive officer” of the registrant.
|
(1)
|
the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer.
|
Table of Contents
|
|
||
|
|||
1.
|
Policy Statement
|
2
|
|
2.
|
Procedures
|
3
|
|
|
2.1.
|
Overview
|
3
|
|
2.2.
|
Resolving Potential Conflicts of Interest
|
3
|
|
2.3.
|
Special Situations (As Applicable)
|
4
|
|
2.4.
|
Undue Influence
|
6
|
|
2.5.
|
Recordkeeping
|
6
|
|
2.6.
|
Disclosure
|
7
|
3.
|
APPPENDIX A
|
7
|
Confidential
|
2
|
Confidential
|
3
|
◾ |
Refer Proposal to the Client – GPIM may refer the proposal to the client and obtain instructions from the client on how to vote
the proxy relating to that proposal.
|
◾ |
Obtain Client Ratification – If GPIM is in a position to disclose the conflict to the client (i.e.,
such information is not confidential), GPIM may determine how it proposes to vote the proposal on which it has a conflict, fully disclose the nature of the conflict to the client, and obtain the client’s consent for how GPIM will vote
on the proposal (or otherwise obtain instructions from the client on how the proxy on the proposal should be voted).
|
◾ |
Use an Independent Third Party for All Proposals – Subject to any client imposed proxy voting policies, GPIM may vote all
proposals in a proxy according to the policies of an independent third party (or to have the third party vote such proxies).
|
◾ |
Use an Independent Third Party to Vote the Specific Proposals that Involve a Conflict –
Subject to any client imposed proxy voting policies, GPIM may use an independent third party to recommend how the proxy for specific proposals that involve a conflict should be voted (or to have the third party vote such proxies).
|
◾ |
Abstaining
|
Confidential
|
4
|
Confidential
|
5
|
Confidential
|
6
|
Confidential
|
7
|