SCHEDULE OF INVESTMENTS | ||||
| Delaware Ivy High Income Opportunities Fund (in thousands) | DECEMBER 31, 2021 (UNAUDITED) | ||
COMMON STOCKS | Shares | Value | ||
Communication Services | ||||
Integrated Telecommunication Services – 1.5% | ||||
Frontier Communications Corp.(A)(B) | 128 | $3,789 | ||
Total Communication Services - 1.5% | 3,789 | |||
Consumer Discretionary | ||||
Apparel Retail – 0.6% | ||||
True Religion Apparel, Inc. | —* | 1,487 | ||
Casinos & Gaming – 0.8% | ||||
New Cotai Participation Corp., Class B(A)(C)(E)(F) | 971 | 1,242 | ||
Studio City International Holdings Ltd. ADR(A) | 108 | 577 | ||
Studio City International Holdings Ltd. ADR(A)(C) | 45 | 238 | ||
2,057 | ||||
Total Consumer Discretionary - 1.4% | 3,544 | |||
Energy | ||||
Coal & Consumable Fuels – 0.7% | ||||
Foresight Energy L.P.(A)(C)(F) | 74 | 1,710 | ||
Westmoreland Coal Co.(A)(D) | 13 | 33 | ||
1,743 | ||||
Oil & Gas Drilling – 0.4% | ||||
KCA Deutag UK Finance | 11 | 985 | ||
Vantage Drilling Co., Units(A) | —* | 2 | ||
987 | ||||
Oil & Gas Equipment & Services – 0.1% | ||||
Larchmont Resources | 2 | 152 | ||
Total Energy - 1.2% | 2,882 | |||
Industrials | ||||
Air Freight & Logistics – 0.0% | ||||
BIS Industries Ltd.(A)(C)(D)(F) | 804 | —* | ||
Total Industrials - 0.0% | —* | |||
TOTAL COMMON STOCKS – 4.1% | $10,215 | |||
(Cost: $19,169) | ||||
INVESTMENT FUNDS | ||||
Registered Investment Companies – 2.6% | ||||
iShares iBoxx $ High Yield Corporate Bond ETF(G) | 73 | 6,352 | ||
TOTAL INVESTMENT FUNDS – 2.6% | $6,352 | |||
(Cost: $6,315) | ||||
PREFERRED STOCKS | ||||
Consumer Discretionary | ||||
Apparel Retail – 0.1% | ||||
True Religion Apparel, | —* | 319 | ||
Total Consumer Discretionary - 0.1% | 319 |
Energy | ||||
Oil & Gas Exploration & Production – 1.4% | ||||
Targa Resources Corp., | 3 | 3,417 | ||
Total Energy - 1.4% | 3,417 | |||
TOTAL PREFERRED STOCKS – 1.5% | $3,736 | |||
(Cost: $4,572) | ||||
WARRANTS | ||||
Oil & Gas Exploration & Production – 0.0% | ||||
California Resources Corp., expires 10-27-24(H) | 3 | 39 | ||
TOTAL WARRANTS – 0.0% | $39 | |||
(Cost: $273) | ||||
CORPORATE DEBT SECURITIES | Principal | |||
Communication Services | ||||
Advertising – 2.4% | ||||
Advantage Sales & Marketing, Inc., | $2,185 | 2,292 | ||
Centerfield Media Holdings LLC, | 595 | 597 | ||
Midas OpCo Holdings LLC, | 2,991 | 3,067 | ||
5,956 | ||||
Broadcasting – 2.0% | ||||
Clear Channel International B.V., | 216 | 225 | ||
Clear Channel Outdoor Holdings, Inc., | 4,496 | 4,658 | ||
4,883 | ||||
Cable & Satellite – 8.8% | ||||
Altice Financing S.A., | 2,086 | 2,068 | ||
Altice France Holding S.A., | 4,582 | 4,932 | ||
Altice France S.A.: | ||||
8.125%, 2-1-27(B)(I) | 2,659 | 2,845 | ||
5.125%, 7-15-29(B)(I) | 866 | 846 | ||
5.500%, 10-15-29(I) | 469 | 463 | ||
CSC Holdings LLC: | ||||
5.750%, 1-15-30(B)(I) | 555 | 554 | ||
4.500%, 11-15-31(I) | 619 | 612 | ||
5.000%, 11-15-31(I) | 862 | 832 | ||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | 1,275 | 1,307 | ||
DISH DBS Corp.: | ||||
7.750%, 7-1-26(B) | 1,032 | 1,090 | ||
7.375%, 7-1-28 | 279 | 283 | ||
5.125%, 6-1-29 | 1,201 | 1,095 | ||
LCPR Senior Secured Financing Designated Activity Co., | 337 | 339 | ||
Telesat Canada and Telesat LLC, | 2,310 | 2,172 |
VTR Comunicaciones S.p.A., | 1,182 | 1,172 | ||
VTR Finance B.V., | 1,087 | 1,132 | ||
21,742 | ||||
Integrated Telecommunication Services – 4.9% | ||||
Cablevision Lightpath LLC, | 460 | 454 | ||
Consolidated Communications, Inc.: | ||||
5.000%, 10-1-28(I) | 417 | 422 | ||
6.500%, 10-1-28(B)(I) | 899 | 955 | ||
Frontier Communications Corp.: | ||||
5.875%, 10-15-27(I) | 121 | 128 | ||
5.875%, 11-1-29(B) | 456 | 456 | ||
West Corp., | 7,035 | 6,937 | ||
Windstream Escrow LLC, | 2,399 | 2,548 | ||
11,900 | ||||
Interactive Media & Services – 0.4% | ||||
Cars.com, Inc., | 881 | 940 | ||
Movies & Entertainment – 1.7% | ||||
Premier Entertainment Sub LLC and Premier Entertainment Finance Corp.: | ||||
5.625%, 9-1-29(B)(I) | 2,679 | 2,662 | ||
5.875%, 9-1-31(I) | 1,603 | 1,611 | ||
4,273 | ||||
Wireless Telecommunication Service – 4.9% | ||||
Digicel Group Ltd., | 385 | 395 | ||
Digicel Group Ltd. | 253 | 235 | ||
Digicel Group Ltd. | 221 | 193 | ||
Digicel International Finance Ltd.: | ||||
8.750%, 5-25-24(B)(I) | 6,862 | 7,049 | ||
8.000%, 12-31-26(B)(I) | 154 | 151 | ||
Digicel International Finance Ltd. | 219 | 225 | ||
Digicel International Finance Ltd. | 1,635 | 1,637 | ||
Digicel Ltd., | 2,128 | 2,059 | ||
11,944 | ||||
Total Communication Services - 25.1% | 61,638 | |||
Consumer Discretionary | ||||
Apparel Retail – 0.7% | ||||
Victoria’s Secret & Co., | 1,634 | 1,673 |
Automotive Retail – 1.6% | ||||
Asbury Automotive Group, Inc.: | ||||
4.500%, 3-1-28(B) | 936 | 956 | ||
4.625%, 11-15-29(I) | 31 | 32 | ||
4.750%, 3-1-30(B) | 964 | 981 | ||
5.000%, 2-15-32(I) | 31 | 32 | ||
Ken Garff Automotive LLC, | 290 | 291 | ||
Lithia Motors, Inc.: | ||||
3.875%, 6-1-29(I) | 602 | 616 | ||
4.375%, 1-15-31(I) | 466 | 498 | ||
Sonic Automotive, Inc.: | ||||
4.625%, 11-15-29(I) | 304 | 307 | ||
4.875%, 11-15-31(I) | 304 | 308 | ||
4,021 | ||||
Casinos & Gaming – 0.9% | ||||
Everi Holdings, Inc., | 594 | 601 | ||
Golden Nugget, Inc., | 1,570 | 1,572 | ||
2,173 | ||||
Education Services – 1.4% | ||||
Adtalem Global Education, Inc., | 3,551 | 3,476 | ||
Hotels, Resorts & Cruise Lines – 4.6% | ||||
Boyne USA, Inc., | 288 | 297 | ||
Carnival Corp.: | ||||
10.500%, 2-1-26(B)(I) | 1,458 | 1,666 | ||
7.625%, 3-1-26(I) | 295 | 310 | ||
5.750%, 3-1-27(B)(I) | 1,400 | 1,402 | ||
9.875%, 8-1-27(I) | 573 | 655 | ||
NCL Corp. Ltd.: | ||||
12.250%, 5-15-24(B)(I) | 1,522 | 1,805 | ||
10.250%, 2-1-26(I) | 446 | 519 | ||
5.875%, 3-15-26(I) | 295 | 294 | ||
Royal Caribbean Cruises Ltd., | 4,268 | 4,325 | ||
11,273 | ||||
Internet & Direct Marketing Retail – 0.7% | ||||
Arches Buyer, Inc., | 1,768 | 1,770 | ||
Leisure Facilities – 0.5% | ||||
Legends Hospitality Holding Co. | 178 | 179 | ||
Live Nation Entertainment, Inc., | 1,013 | 1,042 | ||
1,221 | ||||
Specialized Consumer Services – 0.7% | ||||
Nielsen Finance LLC and Nielsen Finance Co.: | ||||
5.625%, 10-1-28(B)(I) | 870 | 900 | ||
5.875%, 10-1-30(I) | 725 | 766 | ||
1,666 | ||||
Specialty Stores – 6.6% | ||||
Bed Bath & Beyond, Inc., | 713 | 593 | ||
Magic MergerCo, Inc., | 1,009 | 1,011 | ||
Party City Holdings, Inc. | 93 | 97 | ||
PetSmart, Inc. and PetSmart Finance Corp., | 1,485 | 1,527 | ||
Staples, Inc.: | ||||
7.500%, 4-15-26(B)(I) | 9,900 | 10,185 |
10.750%, 4-15-27(B)(I) | 2,982 | 2,814 | ||
16,227 | ||||
Total Consumer Discretionary - 17.7% | 43,500 | |||
Consumer Staples | ||||
Food Distributors – 0.8% | ||||
Performance Food Group, Inc., | 1,905 | 1,893 | ||
Packaged Foods & Meats – 1.0% | ||||
Pilgrim’s Pride Corp., | 1,372 | 1,443 | ||
Post Holdings, Inc., | 598 | 594 | ||
Simmons Foods, Inc., | 594 | 586 | ||
2,623 | ||||
Total Consumer Staples - 1.8% | 4,516 | |||
Energy | ||||
Oil & Gas Drilling – 0.3% | ||||
KCA Deutag UK Finance plc: | 670 | 724 | ||
724 | ||||
Oil & Gas Equipment & Services – 0.1% | ||||
Nine Energy Service, Inc., | 806 | 376 | ||
Oil & Gas Exploration & Production – 4.9% | ||||
Antero Resources Corp., | 241 | 258 | ||
Ascent Resources Utica Holdings LLC and ARU Finance Corp.: | ||||
7.000%, 11-1-26(B)(I) | 711 | 722 | ||
8.250%, 12-31-28(I) | 59 | 62 | ||
5.875%, 6-30-29(I) | 296 | 285 | ||
Bellatrix Exploration Ltd., | 418 | — | ||
Bellatrix Exploration Ltd. | 456 | — | ||
California Resources Corp., | 173 | 180 | ||
Chesapeake Escrow Issuer LLC: | ||||
5.500%, 2-1-26(I) | 594 | 626 | ||
5.875%, 2-1-29(I) | 446 | 478 | ||
Colgate Energy Partners III LLC, | 237 | 244 | ||
Crownrock L.P., | 2,820 | 2,887 | ||
CrownRock L.P. and CrownRock Finance, Inc., | 289 | 300 | ||
Laredo Petroleum, Inc.: | ||||
9.500%, 1-15-25(B) | 3,242 | 3,310 | ||
10.125%, 1-15-28(B) | 1,161 | 1,219 | ||
Murphy Oil Corp., | 238 | 253 | ||
Range Resources Corp., | 59 | 66 | ||
Vine Energy Holdings LLC, | 1,152 | 1,252 | ||
12,142 | ||||
Oil & Gas Refining & Marketing – 2.5% | ||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||
6.125%, 10-1-24 | 468 | 461 | ||
9.000%, 4-1-25(I) | 118 | 128 | ||
Comstock Resources, Inc.: | ||||
6.750%, 3-1-29(B)(I) | 1,360 | 1,477 | ||
5.875%, 1-15-30(I) | 717 | 736 |
CVR Energy, Inc., | 568 | 549 | ||
PBF Holding Co. LLC, | 3,018 | 2,874 | ||
6,225 | ||||
Oil & Gas Storage & Transportation – 1.9% | ||||
Crestwood Midstream Partners L.P.: | ||||
5.750%, 4-1-25 | 297 | 304 | ||
5.625%, 5-1-27(I) | 597 | 609 | ||
6.000%, 2-1-29(I) | 119 | 124 | ||
Genesis Energy L.P. and Genesis Energy Finance Corp.: | ||||
8.000%, 1-15-27 | 1,722 | 1,776 | ||
7.750%, 2-1-28 | 1,100 | 1,110 | ||
Hess Midstream Operations L.P., | 238 | 237 | ||
Rattler Midstream L.P., | 572 | 595 | ||
4,755 | ||||
Total Energy - 9.7% | 24,222 | |||
Financials | ||||
Insurance Brokers – 2.7% | ||||
NFP Corp., 6.875%, | 6,566 | 6,595 | ||
Investment Banking & Brokerage – 0.6% | ||||
INTL FCStone, Inc., | 1,423 | 1,513 | ||
Property & Casualty Insurance – 1.3% | ||||
Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond Co-Issuer, Inc. | 1,518 | 1,611 | ||
Hub International Ltd., | 1,525 | 1,573 | ||
3,184 | ||||
Specialized Finance – 1.9% | ||||
BCPE Cycle Merger Sub II, Inc., | 2,224 | 2,260 | ||
Compass Group Diversified Holdings LLC, | 2,380 | 2,497 | ||
4,757 | ||||
Thrifts & Mortgage Finance – 0.9% | ||||
Provident Funding Associates L.P. and PFG Finance Corp., | 2,236 | 2,279 | ||
Total Financials - 7.4% | 18,328 | |||
Health Care | ||||
Health Care Facilities – 0.6% | ||||
Tenet Healthcare Corp., | 1,385 | 1,405 | ||
Health Care Services – 0.7% | ||||
Heartland Dental LLC, | 369 | 381 | ||
ModivCare Escrow Issuer, Inc., 5.000%, 10-1-29(I) | 1,270 | 1,299 | ||
1,680 | ||||
Health Care Supplies – 0.7% | ||||
Mozart Debt Merger Sub, Inc., | 1,805 | 1,802 |
Pharmaceuticals – 1.2% | ||||
P&L Development LLC and PLD Finance Corp., | 1,818 | 1,822 | ||
Par Pharmaceutical, Inc., | 1,188 | 1,216 | ||
3,038 | ||||
Total Health Care - 3.2% | 7,925 | |||
Industrials | ||||
Aerospace & Defense – 4.4% | ||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||
7.500%, 3-15-27(B) | 1,094 | 1,144 | ||
5.500%, 11-15-27(B) | 2,821 | 2,911 | ||
4.625%, 1-15-29 | 592 | 591 | ||
Wolverine Escrow LLC: | ||||
8.500%, 11-15-24(B)(I) | 2,535 | 2,354 | ||
9.000%, 11-15-26(B)(G)(I) | 3,810 | 3,624 | ||
13.125%, 11-15-27(G)(I) | 343 | 220 | ||
10,844 | ||||
Diversified Support Services – 1.6% | ||||
Ahern Rentals, Inc., | 1,507 | 1,441 | ||
Deluxe Corp., 8.000%, 6-1-29(I) | 752 | 787 | ||
Nesco Holdings II, Inc., | 1,675 | 1,733 | ||
3,961 | ||||
Security & Alarm Services – 0.4% | ||||
Prime Security Services Borrower LLC and Prime Finance, Inc., | 867 | 905 | ||
Total Industrials - 6.4% | 15,710 | |||
Information Technology | ||||
Application Software – 2.6% | ||||
J2 Global, Inc., | 349 | 359 | ||
Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc., | 875 | 865 | ||
NCR Corp.: | ||||
5.750%, 9-1-27(I) | 307 | 321 | ||
5.000%, 10-1-28(I) | 856 | 883 | ||
5.125%, 4-15-29(B)(I) | 3,172 | 3,289 | ||
6.125%, 9-1-29(I) | 393 | 422 | ||
5.250%, 10-1-30(I) | 285 | 293 | ||
6,432 | ||||
Data Processing & Outsourced Services – 0.1% | ||||
MoneyGram International, Inc., | 298 | 303 | ||
Internet Services & Infrastructure – 0.4% | ||||
Consensus Cloud Solutions, Inc.: | ||||
6.000%, 10-15-26(I) | 301 | 313 | ||
6.500%, 10-15-28(I) | 722 | 756 | ||
1,069 | ||||
IT Consulting & Other Services – 0.2% | ||||
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.): | ||||
9.250%, 4-15-25(I) | 288 | 326 | ||
7.375%, 9-1-25(I) | 114 | 119 | ||
445 | ||||
Technology Hardware, Storage & Peripherals – 0.4% | ||||
Brightstar Escrow Corp., | 804 | 863 | ||
Total Information Technology - 3.7% | 9,112 |
Materials |
| |||||
Commodity Chemicals – 1.1% |
| |||||
LSF9 Atlantis Holdings LLC and Victra Finance Corp., | 1,485 | 1,503 | ||||
NOVA Chemicals Corp.: | ||||||
5.250%, 6-1-27(B)(I) | 666 | 710 | ||||
4.250%, 5-15-29(I) | 576 | 579 | ||||
2,792 | ||||||
Metal & Glass Containers – 0.4% |
| |||||
ARD Finance S.A. | 859 | 886 | ||||
Total Materials - 1.5% | 3,678 | |||||
Real Estate |
| |||||
Specialized REITs – 1.4% |
| |||||
Iron Mountain, Inc., | 3,255 | 3,338 | ||||
Uniti Group L.P., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.), | 144 | 143 | ||||
3,481 | ||||||
Total Real Estate - 1.4% | 3,481 | |||||
Utilities |
| |||||
Electric Utilities – 1.1% |
| |||||
Vistra Corp.: | ||||||
8.000%, 4-15-70(I) | 775 | 821 | ||||
7.000%, 6-15-70(I) | 1,780 | 1,806 | ||||
2,627 | ||||||
Total Utilities - 1.1% | 2,627 | |||||
TOTAL CORPORATE DEBT SECURITIES – 79.0% | $ | 194,737 | ||||
(Cost: $189,912) |
| |||||
MUNICIPAL BONDS | ||||||
Puerto Rico – 0.5% |
| |||||
Cmnwlth of PR, GO Bonds of 2014, Ser A, | 1,415 | 1,259 | ||||
TOTAL MUNICIPAL BONDS – 0.5% | $ | 1,259 | ||||
(Cost: $1,266) |
| |||||
MUNICIPAL BONDS - TAXABLE | ||||||
Puerto Rico – 0.7% |
| |||||
Cmnwlth of PR, Pub Impvt Rfdg GO Bonds, Ser 2012A, 7.500%, 8-20-40 | 1,700 | 1,624 | ||||
TOTAL MUNICIPAL BONDS - TAXABLE – 0.7% | $ | 1,624 | ||||
(Cost: $1,610) |
| |||||
LOANS (P) |
| |||||
Communication Services |
| |||||
Advertising – 1.2% |
| |||||
Advantage Sales & Marketing, Inc. | 2,966 | 2,973 | ||||
Broadcasting – 1.1% |
| |||||
Clear Channel Outdoor Holdings, Inc. | 2,631 | 2,598 |
Cable & Satellite – 0.7% | ||||
DIRECTV Financing LLC (1-Month ICE LIBOR plus 500 bps), | 1,627 | 1,631 | ||
Integrated Telecommunication Services – 2.6% | ||||
West Corp. (3-Month ICE LIBOR plus 400 bps), | 6,269 | 5,969 | ||
Windstream Services LLC (ICE LIBOR plus 625 bps), | 528 | 530 | ||
6,499 | ||||
Wireless Telecommunication Service – 1.2% | ||||
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), | 3,147 | 3,068 | ||
Total Communication Services - 6.8% | 16,769 | |||
Consumer Discretionary | ||||
Apparel Retail – 0.8% | ||||
Torrid LLC (1-Month ICE LIBOR plus 550 bps), | 1,805 | 1,821 | ||
Casinos & Gaming – 0.1% | ||||
New Cotai LLC (14.000% Cash or 14.000% PIK), | 304 | 296 | ||
Leisure Facilities – 0.9% | ||||
United PF Holdings LLC (ICE LIBOR plus 400 bps), | 1,768 | 1,707 | ||
United PF Holdings LLC (ICE LIBOR plus 850 bps), | 394 | 395 | ||
2,102 | ||||
Leisure Products – 0.5% | ||||
MajorDrive Holdings IV LLC (1-Month ICE LIBOR plus 400 bps), | 1,338 | 1,340 | ||
Specialized Consumer Services – 0.3% | ||||
Pre-Paid Legal Services, Inc., | 820 | 819 | ||
Specialty Stores – 3.4% | ||||
Jo-Ann Stores, Inc. (1-Month ICE LIBOR plus 475 bps), | 3,014 | 2,989 | ||
Michaels Cos., Inc. (The) (1-Month ICE LIBOR plus 425 bps), | 963 | 956 | ||
PetSmart, Inc. (ICE LIBOR plus 375 bps), | 2,711 | 2,720 | ||
Staples, Inc. (ICE LIBOR plus 500 bps), | 1,806 | 1,749 | ||
8,414 | ||||
Total Consumer Discretionary - 6.0% | 14,792 |
Energy | ||||
Coal & Consumable Fuels – 0.2% | ||||
Foresight Energy LLC (ICE LIBOR plus 800 bps), | 511 | 511 | ||
Oil & Gas Exploration & Production – 0.4% | ||||
Ascent Resources Utica Holdings LLC, | 180 | 195 | ||
Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900 bps), | 625 | 677 | ||
872 | ||||
Oil & Gas Storage & Transportation – 0.7% | ||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), | 2,209 | 1,734 | ||
Total Energy - 1.3% | 3,117 | |||
Financials | ||||
Asset Management & Custody Banks – 0.7% | ||||
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), | 1,703 | 1,712 | ||
Property & Casualty Insurance – 1.3% | ||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), | 3,262 | 3,258 | ||
Specialized Finance – 1.0% | ||||
Gulf Finance LLC (1-Month U.S. LIBOR plus 675 bps), | 1,925 | 1,802 | ||
Lealand Finance Co. B.V., | 10 | 6 | ||
Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps), | 30 | 18 | ||
Sunset Debt Merger Sub, Inc., | 602 | 597 | ||
2,423 | ||||
Total Financials - 3.0% | 7,393 | |||
Health Care | ||||
Health Care Facilities – 0.2% | ||||
Surgery Center Holdings, Inc. (1-Month ICE LIBOR plus 375 bps), | 418 | 419 | ||
Health Care Services – 3.0% | ||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | 367 | 364 | ||
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), | 7,176 | 6,998 | ||
7,362 | ||||
Total Health Care - 3.2% | 7,781 | |||
Industrials | ||||
Building Products – 0.7% | ||||
CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps), | 1,730 | 1,724 |
Construction & Engineering – 0.3% | ||||
WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575 bps), | 743 | 727 | ||
Industrial Conglomerates – 2.4% | ||||
PAE Holding Corp. (ICE LIBOR plus 450 bps), | 5,788 | 5,803 | ||
Industrial Machinery – 1.5% | ||||
Form Technologies LLC (ICE LIBOR plus 475 bps), | 3,746 | 3,751 | ||
Research & Consulting Services – 0.2% | ||||
Ankura Consulting Group LLC (ICE LIBOR plus 450 bps), | 583 | 586 | ||
Total Industrials - 5.1% | 12,591 | |||
Information Technology | ||||
Application Software – 0.8% | ||||
UKG, Inc., | 2,040 | 2,053 | ||
Communications Equipment – 1.3% | ||||
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps), | 2,058 | 1,995 | ||
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), | 1,214 | 1,110 | ||
3,105 | ||||
Data Processing & Outsourced Services – 1.2% | ||||
CommerceHub, Inc. (ICE LIBOR plus 400 bps), | 1,122 | 1,112 | ||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), | 1,394 | 1,381 | ||
MoneyGram International, Inc. (1-Month U.S. LIBOR plus 425 bps), | 458 | 459 | ||
2,952 | ||||
IT Consulting & Other Services – 1.3% | ||||
Gainwell Acquisition Corp. (ICE LIBOR plus 400 bps), | 2,962 | 2,974 | ||
Ivanti Software, Inc. (1-Month ICE LIBOR plus 400 bps), | 153 | 152 | ||
3,126 | ||||
Total Information Technology - 4.6% | 11,236 | |||
Materials | ||||
Specialty Chemicals – 0.1% | ||||
NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps), | 294 | 292 | ||
Total Materials - 0.1% | 292 | |||
TOTAL LOANS – 30.1% | $73,971 | |||
(Cost: $73,683) |
SHORT-TERM SECURITIES | Shares | |||
Money Market Funds(N) - 17.2% | ||||
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(M) | 6,229 | 6,229 | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 36,054 | 36,054 | ||
42,283 | ||||
TOTAL SHORT-TERM SECURITIES – 17.2% | $42,283 | |||
(Cost: $42,283) | ||||
TOTAL INVESTMENT SECURITIES – 135.7% | $334,216 | |||
(Cost: $339,083) | ||||
BORROWINGS(O) – (35.3)% | (87,000) | |||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.4)% | (1,016) | |||
NET ASSETS – 100.0% | $246,200 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $92,212 have been pledged as collateral on open borrowings. |
(C) | Restricted securities. At December 31, 2021, the Fund owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||
BIS Industries Ltd. | 12-22-17 | 804 | $ | 76 | $ | – | * | |||||||||
Foresight Energy L.P. | 6-30-20 to 9-8-20 | 74 | 1,453 | 1,710 | ||||||||||||
Larchmont Resources LLC | 12-8-16 | 2 | 115 | 152 | ||||||||||||
New Cotai Participation Corp., Class B | 9-29-20 | 971 | 8,782 | 1,243 | ||||||||||||
Studio City International Holdings Ltd. ADR | 8-5-20 | 45 | 694 | 238 | ||||||||||||
True Religion Apparel, Inc. | 1-22-21 | – | * | 2,779 | 1,487 | |||||||||||
Targa Resources Corp., 9.500% | 10-24-17 | 3 | 3,523 | 3,417 | ||||||||||||
True Religion Apparel, Inc. | 1-22-21 | – | * | 1,049 | 319 | |||||||||||
Principal | ||||||||||||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps) | 12-31-20 | $511 | 511 | 511 | ||||||||||||
New Cotai LLC (14.000% Cash or 14.000% PIK) | 9-10-20 to 3-16-21 | 304 | 304 | 296 | ||||||||||||
$ | 19,286 | $ | 9,373 |
The total value of these securities represented 3.8% of net assets at December 31, 2021.
(D) | Listed on an exchange outside the United States. |
(E) | Deemed to be an affiliate due to the Fund owning at least 5% of the voting securities. |
(F) | Securities whose value was determined using significant unobservable inputs. |
(G) | All or a portion of securities with an aggregate value of $6,102 are on loan. |
(H) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(I) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021 the total value of these securities amounted to $172,649 or 70.1% of net assets. |
(J) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(K) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(L) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(M) | Investment made with cash collateral received from securities on loan. |
(N) | Rate shown is the annualized 7-day yield at December 31, 2021. |
(O) | Borrowings payable as a percentage of total investment securities is 26.0%. |
(P) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
The Fund’s investments are reported at fair value. Fair value is defined as the price that the Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for the Fund.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:
• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.
• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of December 31, 2021:
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ 3,789 | $ — | $ — | |||||||||
Consumer Discretionary | 815 | — | 2,729 | |||||||||
Energy | — | 1,020 | 1,862 | |||||||||
Industrials | — | — | — | * | ||||||||
Total Common Stocks | $ 4,604 | $ 1,020 | $ 4,591 | |||||||||
Investment Funds | 6,352 | — | — | |||||||||
Preferred Stocks | — | 3,736 | — | |||||||||
Warrants | 39 | — | — | |||||||||
Corporate Debt Securities | — | 194,737 | — | |||||||||
Municipal Bonds | — | 2,883 | — | |||||||||
Loans | — | 66,575 | 7,396 | |||||||||
Short-Term Securities | 42,283 | — | — | |||||||||
Total | $ 53,278 | $ 268,951 | $ 11,987 |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Loans | |||||||
Beginning Balance 10-1-21 | $5,036 | $7,801 | ||||||
Net realized gain (loss) | — | 22 | ||||||
Net change in unrealized appreciation (depreciation) | (1) | 33 | ||||||
Purchases | — | 812 | ||||||
Sales | (446) | (1,265) | ||||||
Amortization/Accretion of premium/discount | — | 5 | ||||||
Transfers into Level 3 during the period | 2 | 587 | ||||||
Transfers out of Level 3 during the period | — | (599) | ||||||
Ending Balance 12-31-21 | $4,591 | $7,396 | ||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 12-31-21 | $(1) | $(17) |
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
Information about Level 3 fair value measurements:
Fair Value 12-31-21 | Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | $1,710 | Market approach | Illiquidity discount | 30.00% | ||||||||||||
1,487 | Market approach | Revenue multiple | 0.64x | |||||||||||||
Adjusted EBITDA multiple | 4.43x | |||||||||||||||
1,242 | Market approach | Financials | N/A | |||||||||||||
Premium | 20.00% | |||||||||||||||
152 | Market approach | Pending transaction | N/A | |||||||||||||
Loans | 7,396 | Third-party vendor pricing service | Broker quotes | N/A |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment in Kind
REIT = Real Estate Investment Trust
For Federal income tax purposes, cost of investments owned at December 31, 2021 and the related unrealized appreciation (depreciation) were as follows:
Cost | $339,083 | |||
|
| |||
Gross unrealized appreciation | 8,693 | |||
Gross unrealized depreciation | (13,560) | |||
|
| |||
Net unrealized depreciation | $(4,867) |