·
|
Daily, weekly and monthly data on share prices, distributions and more
|
·
|
Portfolio overviews and performance analyses
|
·
|
Announcements, press releases and special notices
|
·
|
Fund and adviser contact information
|
(Unaudited)
|
November 30, 2018
|
DEAR SHAREHOLDER (Unaudited) continued
|
November 30, 2018
|
QUESTIONS & ANSWERS (Unaudited)
|
November 30, 2018
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2018
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2018
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2018
|
Index
|
Total Return
|
Bloomberg Barclays U.S. Aggregate Bond Index
|
-0.30%
|
Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index
|
0.75%
|
Bloomberg Barclays U.S. Corporate High Yield Index
|
0.30%
|
Credit Suisse Leveraged Loan Index
|
1.21%
|
ICE BofA/ML ABS Master BBB-AA Index
|
1.33%
|
S&P 500 Index
|
3.02%
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2018
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2018
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2018
|
FUND SUMMARY (Unaudited)
|
November 30, 2018
|
Fund Statistics
|
|
|
|
|
|
Share Price
|
|
|
|
|
$19.36
|
Net Asset Value
|
|
|
|
|
$19.99
|
Discount to NAV
|
|
|
|
|
(3.15%)
|
Net Assets ($000)
|
|
|
|
|
$147,496
|
AVERAGE ANNUAL TOTAL RETURNS
|
|
|
|
|
|
FOR THE PERIOD ENDED NOVEMBER 30, 2018
|
|
|
|
||
|
Six
|
|
|
|
Since
|
|
Month
|
One
|
Three
|
Five
|
Inception
|
|
(non-annualized)
|
Year
|
Year
|
Year
|
(06/26/13)
|
Guggenheim Credit Allocation Fund
|
|
|
|
|
|
NAV
|
(1.90%)
|
(1.12%)
|
9.43%
|
5.95%
|
6.23%
|
Market
|
(10.16%)
|
(2.02%)
|
11.42%
|
7.21%
|
4.84%
|
Portfolio Breakdown
|
% of Net Assets
|
Corporate Bonds
|
90.3%
|
Senior Floating Rate Interests
|
46.3%
|
Asset-Backed Securities
|
3.8%
|
Common Stocks
|
1.8%
|
Preferred Stocks
|
0.5%
|
Total Investments
|
142.7%
|
Other Assets & Liabilities, net
|
(42.7%)
|
Net Assets
|
100.0%
|
FUND SUMMARY (Unaudited) continued
|
November 30, 2018
|
FUND SUMMARY (Unaudited) continued
|
November 30, 2018
|
|
|
|
(% of
|
Ten Largest Holdings
|
Total Net Assets)
|
NES Global Talent, 8.03% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%)
|
2.8%
|
Altice France S.A., 7.38%
|
2.5%
|
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance, 7.88%
|
2.5%
|
Eldorado Gold Corp., 6.13%
|
2.4%
|
EIG Investors Corp., 10.88%
|
2.4%
|
Great Lakes Dredge & Dock Corp., 8.00%
|
2.4%
|
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc., 7.88%
|
2.4%
|
MDC Partners, Inc., 6.50%
|
2.4%
|
American Midstream Partners LP / American Midstream Finance Corp., 9.50%
|
2.3%
|
Nathan’s Famous, Inc., 6.63%
|
2.3%
|
Top Ten Total
|
24.4%
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
|
|
Portfolio Composition by Quality Rating*
|
|
% of Total
|
|
Rating
|
Investments
|
Fixed Income Instruments
|
|
AA
|
0.2%
|
A
|
0.7%
|
BBB
|
1.8%
|
BB
|
23.7%
|
B
|
46.3%
|
CCC
|
16.1%
|
C
|
0.4%
|
D
|
0.2%
|
NR**
|
9.0%
|
Other Instruments
|
|
Common Stock
|
1.3%
|
Preferred Stocks
|
0.3%
|
Total Investments
|
100.0%
|
*
|
Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
|
**
|
NR securities do not necessarily indicate low credit quality.
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 1.8%
|
|
|
Utilities – 1.3%
|
|
|
TexGen Power LLC*,††
|
46,457
|
$ 1,842,810
|
|
||
Energy – 0.4%
|
|
|
SandRidge Energy, Inc.*
|
57,766
|
566,107
|
Approach Resources, Inc.*
|
48,823
|
64,446
|
Titan Energy LLC*
|
27,133
|
10,853
|
Comstock Resources, Inc.*
|
1
|
8
|
Total Energy
|
|
641,414
|
|
||
Consumer, Non-cyclical – 0.1%
|
|
|
Targus Group International Equity, Inc.*,†††,1,2
|
32,060
|
83,083
|
|
||
Technology – 0.0%
|
|
|
Qlik Technologies, Inc. – Class A*,†††,1
|
56
|
57,049
|
Qlik Technologies, Inc.*,†††
|
3,600
|
—
|
Qlik Technologies, Inc. – Class B*,†††,1
|
13,812
|
—
|
Aspect Software, Inc.*,†††,1,2
|
200
|
—
|
Total Technology
|
|
57,049
|
|
||
Financials – 0.0%
|
|
|
Project Silverback Holdings B Escrow*,†††,1
|
1,922
|
1,444
|
|
||
Industrial – 0.0%
|
|
|
Ursa Insulation B.V.*,†††,1
|
135,131,158
|
—
|
Total Common Stocks
|
|
|
(Cost $6,808,110)
|
|
2,625,800
|
|
||
PREFERRED STOCKS†† – 0.5%
|
|
|
Industrial – 0.5%
|
|
|
Seaspan Corp. 6.38% due 04/30/19
|
26,795
|
676,574
|
Total Preferred Stocks
|
|
|
(Cost $669,875)
|
|
676,574
|
|
||
WARRANTS††† – 0.0%
|
|
|
Aspect Software, Inc.1,2
|
161,849
|
—
|
Total Warrants
|
|
|
(Cost $–)
|
|
—
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 90.3%
|
|
|
Financial – 21.8%
|
|
|
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|
|
7.38% due 04/01/203,4
|
1,700,000
|
$ 1,706,375
|
7.50% due 04/15/213,4
|
1,500,000
|
1,503,750
|
7.25% due 08/15/244
|
875,000
|
842,187
|
6.88% due 04/15/224
|
650,000
|
648,570
|
Barclays plc
|
|
|
7.75% (USD 5 Year Swap Rate + 4.84%) 3,5,6
|
3,000,000
|
2,792,640
|
HUB International Ltd.
|
|
|
7.00% due 05/01/264
|
2,750,000
|
2,619,375
|
Lincoln Finance Ltd.
|
|
|
6.88% due 04/15/21
|
EUR 1,750,000
|
2,031,435
|
7.38% due 04/15/214
|
450,000
|
460,125
|
Hunt Companies, Inc.
|
|
|
6.25% due 02/15/263,4
|
2,450,000
|
2,211,125
|
Fidelity & Guaranty Life Holdings, Inc.
|
|
|
5.50% due 05/01/253,4
|
2,250,000
|
2,193,750
|
AmWINS Group, Inc.
|
|
|
7.75% due 07/01/264
|
2,000,000
|
1,990,000
|
NFP Corp.
|
|
|
6.88% due 07/15/254
|
1,940,000
|
1,838,150
|
LoanCore Capital Markets LLC / JLC Finance Corp.
|
|
|
6.88% due 06/01/204
|
1,605,000
|
1,609,013
|
Newmark Group, Inc.
|
|
|
6.13% due 11/15/234
|
1,600,000
|
1,572,283
|
CoreCivic, Inc.
|
|
|
4.75% due 10/15/273
|
1,750,000
|
1,478,750
|
GEO Group, Inc.
|
|
|
6.00% due 04/15/26
|
1,075,000
|
954,063
|
5.88% due 10/15/24
|
350,000
|
315,000
|
Quicken Loans, Inc.
|
|
|
5.25% due 01/15/283,4
|
1,375,000
|
1,223,750
|
Springleaf Finance Corp.
|
|
|
7.13% due 03/15/26
|
1,100,000
|
1,034,000
|
Greystar Real Estate Partners LLC
|
|
|
5.75% due 12/01/253,4
|
1,000,000
|
950,000
|
American Equity Investment Life Holding Co.
|
|
|
5.00% due 06/15/273
|
750,000
|
731,829
|
Prosight Global Inc.
|
|
|
7.50% due 11/26/20†††,3
|
650,000
|
670,682
|
Assurant, Inc.
|
|
|
7.00% (3 Month USD LIBOR + 4.14%) due 03/27/485
|
400,000
|
386,000
|
USIS Merger Sub, Inc.
|
|
|
6.88% due 05/01/254
|
400,000
|
380,000
|
Total Financial
|
|
32,142,852
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 90.3% (continued)
|
|
|
Communications – 17.7%
|
|
|
Altice France S.A.
|
|
|
7.38% due 05/01/263,4
|
3,850,000
|
$ 3,696,000
|
8.13% due 02/01/274
|
1,300,000
|
1,274,000
|
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
|
|
|
7.88% due 05/15/243,4
|
4,465,000
|
3,650,137
|
EIG Investors Corp.
|
|
|
10.88% due 02/01/24
|
3,300,000
|
3,539,250
|
MDC Partners, Inc.
|
|
|
6.50% due 05/01/243,4
|
4,085,000
|
3,472,250
|
Cengage Learning, Inc.
|
|
|
9.50% due 06/15/243,4
|
3,850,000
|
2,897,125
|
DISH DBS Corp.
|
|
|
7.75% due 07/01/263
|
1,450,000
|
1,283,250
|
5.88% due 11/15/243
|
950,000
|
807,500
|
CSC Holdings LLC
|
|
|
5.25% due 06/01/243
|
1,350,000
|
1,282,500
|
6.75% due 11/15/213
|
400,000
|
419,000
|
Ziggo BV
|
|
|
5.50% due 01/15/273,4
|
1,600,000
|
1,490,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
|
|
5.00% due 02/01/283,4
|
1,050,000
|
977,813
|
Telenet Finance Lux Note
|
|
|
5.50% due 03/01/28
|
1,000,000
|
915,000
|
Virgin Media Secured Finance plc
|
|
|
5.25% due 01/15/263,4
|
500,000
|
468,125
|
Total Communications
|
|
26,171,950
|
|
||
Consumer, Non-cyclical – 17.0%
|
|
|
Great Lakes Dredge & Dock Corp.
|
|
|
8.00% due 05/15/223
|
3,450,000
|
3,528,315
|
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
|
|
|
7.88% due 10/01/223,4
|
3,951,000
|
3,496,635
|
Nathan’s Famous, Inc.
|
|
|
6.63% due 11/01/253,4
|
3,500,000
|
3,447,500
|
Vector Group Ltd.
|
|
|
6.13% due 02/01/253,4
|
3,750,000
|
3,356,250
|
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
|
|
|
5.63% due 08/15/263,4
|
3,800,000
|
3,296,500
|
Beverages & More, Inc.
|
|
|
11.50% due 06/15/224
|
4,000,000
|
3,060,000
|
Flexi-Van Leasing, Inc.
|
|
|
10.00% due 02/15/234
|
2,024,000
|
1,664,740
|
KeHE Distributors LLC / KeHE Finance Corp.
|
|
|
7.63% due 08/15/218
|
1,075,000
|
999,750
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 90.3% (continued)
|
|
|
Consumer, Non-cyclical – 17.0% (continued)
|
|
|
Avanos Medical, Inc.
|
|
|
6.25% due 10/15/223
|
925,000
|
$ 936,563
|
Endo Finance LLC / Endo Finco, Inc.
|
|
|
5.38% due 01/15/233,4
|
950,000
|
781,375
|
Refinitiv US Holdings, Inc.
|
|
|
6.25% due 05/15/264
|
500,000
|
493,437
|
Total Consumer, Non-cyclical
|
|
25,061,065
|
|
||
Energy – 13.3%
|
|
|
American Midstream Partners LP / American Midstream Finance Corp.
|
|
|
9.50% due 12/15/213,4
|
3,565,000
|
3,449,137
|
Unit Corp.
|
|
|
6.63% due 05/15/213
|
3,571,000
|
3,446,015
|
Indigo Natural Resources LLC
|
|
|
6.88% due 02/15/263,4
|
2,850,000
|
2,650,500
|
Moss Creek Resources Holdings, Inc.
|
|
|
7.50% due 01/15/263,4
|
2,230,000
|
2,040,450
|
Exterran Energy Solutions LP / EES Finance Corp.
|
|
|
8.13% due 05/01/253
|
1,750,000
|
1,739,062
|
Bruin E&P Partners LLC
|
|
|
8.88% due 08/01/233,4
|
1,758,000
|
1,634,940
|
Parkland Fuel Corp.
|
|
|
6.00% due 04/01/263,4
|
1,150,000
|
1,115,500
|
Covey Park Energy LLC / Covey Park Finance Corp.
|
|
|
7.50% due 05/15/253,4
|
970,000
|
916,650
|
Gibson Energy, Inc.
|
|
|
5.25% due 07/15/244
|
CAD 1,200,000
|
905,703
|
Basic Energy Services, Inc.
|
|
|
10.75% due 10/15/234
|
575,000
|
544,813
|
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp.
|
|
|
7.88% due 12/15/24
|
750,000
|
534,375
|
Legacy Reserves LP / Legacy Reserves Finance Corp.
|
|
|
8.00% due 09/20/23
|
695,000
|
511,729
|
Trinidad Drilling Ltd.
|
|
|
6.63% due 02/15/254
|
200,000
|
201,280
|
Total Energy
|
|
19,690,154
|
|
||
Consumer, Cyclical – 7.7%
|
|
|
Ferrellgas LP / Ferrellgas Finance Corp.
|
|
|
6.75% due 01/15/22
|
990,000
|
836,550
|
6.50% due 05/01/21
|
950,000
|
809,875
|
6.75% due 06/15/233
|
750,000
|
630,000
|
AMC Entertainment Holdings, Inc.
|
|
|
6.13% due 05/15/273
|
2,500,000
|
2,212,500
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 90.3% (continued)
|
|
|
Consumer, Cyclical – 7.7% (continued)
|
|
|
Williams Scotsman International, Inc.
|
|
|
6.88% due 08/15/234
|
1,050,000
|
$ 1,031,625
|
7.88% due 12/15/224
|
525,000
|
530,250
|
Carrols Restaurant Group, Inc.
|
|
|
8.00% due 05/01/22
|
1,000,000
|
1,026,250
|
Delphi Technologies plc
|
|
|
5.00% due 10/01/253,4
|
715,000
|
619,762
|
JB Poindexter & Company, Inc.
|
|
|
7.13% due 04/15/263,4
|
650,000
|
619,125
|
Suburban Propane Partners LP / Suburban Energy Finance Corp.
|
|
|
5.88% due 03/01/273
|
650,000
|
585,000
|
Party City Holdings, Inc.
|
|
|
6.63% due 08/01/263,4
|
575,000
|
554,990
|
TVL Finance PLC
|
|
|
8.50% due 05/15/23
|
GBP 400,000
|
530,938
|
Pinnacle Bidco plc
|
|
|
6.38% due 02/15/25
|
GBP 400,000
|
512,330
|
American Tire Distributors, Inc.
|
|
|
10.25% due 03/01/223,4,9
|
2,700,000
|
472,500
|
Boyne USA, Inc.
|
|
|
7.25% due 05/01/254
|
350,000
|
364,000
|
Total Consumer, Cyclical
|
|
11,335,695
|
|
||
Industrial – 4.2%
|
|
|
Grinding Media Inc. / MC Grinding Media Canada Inc.
|
|
|
7.38% due 12/15/233,4
|
1,600,000
|
1,604,000
|
Summit Materials LLC / Summit Materials Finance Corp.
|
|
|
8.50% due 04/15/22
|
1,000,000
|
1,053,750
|
Intertape Polymer Group, Inc.
|
|
|
7.00% due 10/15/264
|
850,000
|
852,125
|
Cleaver-Brooks, Inc.
|
|
|
7.88% due 03/01/234
|
825,000
|
816,750
|
Ardagh Packaging Finance PLC
|
|
|
6.75% due 05/15/24
|
EUR 600,000
|
717,846
|
New Enterprise Stone & Lime Company, Inc.
|
|
|
6.25% due 03/15/264
|
650,000
|
599,625
|
Princess Juliana International Airport Operating Company N.V.
|
|
|
5.50% due 12/20/278
|
354,612
|
317,680
|
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
|
|
|
7.25% due 05/15/243,4
|
225,000
|
227,250
|
Total Industrial
|
|
6,189,026
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
CORPORATE BONDS†† – 90.3% (continued)
|
|
|
Basic Materials – 3.9%
|
|
|
Eldorado Gold Corp.
|
|
|
6.13% due 12/15/203,4
|
3,900,000
|
$ 3,597,750
|
Alcoa Nederland Holding B.V.
|
|
|
7.00% due 09/30/263,4
|
1,000,000
|
1,037,500
|
Big River Steel LLC / BRS Finance Corp.
|
|
|
7.25% due 09/01/253,4
|
700,000
|
714,000
|
Mirabela Nickel Ltd.
|
|
|
9.50% due 06/24/19
|
1,279,819
|
393,544
|
Total Basic Materials
|
|
5,742,794
|
|
||
Utilities – 3.4%
|
|
|
LBC Tank Terminals Holding Netherlands BV
|
|
|
6.88% due 05/15/233,8
|
2,000,000
|
1,850,000
|
Terraform Global Operating LLC
|
|
|
6.13% due 03/01/263,4
|
1,775,000
|
1,674,038
|
Superior Plus LP / Superior General Partner, Inc.
|
|
|
7.00% due 07/15/264
|
800,000
|
788,000
|
AmeriGas Partners, LP / AmeriGas Finance Corp.
|
|
|
5.75% due 05/20/273
|
750,000
|
677,587
|
Total Utilities
|
|
4,989,625
|
|
||
Technology – 1.3%
|
|
|
Infor US, Inc.
|
|
|
6.50% due 05/15/223
|
1,700,000
|
1,691,500
|
Ascend Learning LLC
|
|
|
6.88% due 08/01/254
|
250,000
|
242,500
|
Total Technology
|
|
1,934,000
|
Total Corporate Bonds
|
|
|
(Cost $142,865,302)
|
|
133,257,161
|
|
||
SENIOR FLOATING RATE INTERESTS††,5 – 46.3%
|
|
|
Consumer, Cyclical – 12.6%
|
|
|
NES Global Talent
|
|
|
8.03% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23
|
4,149,139
|
4,149,139
|
Accuride Corp.
|
|
|
7.64% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23
|
3,411,424
|
3,292,024
|
Alexander Mann
|
|
|
6.23% (1 Month GBP LIBOR + 5.50%, Rate Floor: 5.50%) due 08/11/25
|
GBP 1,150,000
|
1,410,661
|
7.80% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 08/11/25
|
1,300,000
|
1,248,000
|
ABRA Auto Body
|
|
|
9.58% (3 Month USD LIBOR + 7.25%, Rate Floor: 8.25%) due 09/19/22
|
2,350,000
|
2,344,125
|
Comet Bidco Ltd.
|
|
|
7.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 09/30/24
|
2,039,750
|
2,001,505
|
EnTrans International, LLC
|
|
|
8.34% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24
|
1,400,000
|
1,386,000
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,5 – 46.3% (continued)
|
|
|
Consumer, Cyclical – 12.6% (continued)
|
|
|
Acosta, Inc.
|
|
|
7.5% (1 Month USD LIBOR + 3.25%) due 09/26/19
|
755,556
|
$ 522,708
|
5.56% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/26/19
|
444,444
|
307,476
|
SHO Holding I Corp.
|
|
|
7.53% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/27/22
|
598,462
|
562,554
|
Blue Nile, Inc.
|
|
|
8.84% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23
|
445,313
|
440,859
|
American Tire Distributors, Inc.
|
|
|
11.25% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 10/05/19
|
375,696
|
373,817
|
SMG US Midco 2, Inc.
|
|
|
9.34% (1 Month USD LIBOR + 7.00%, Rate Floor: 7.00%) due 01/23/26
|
300,000
|
299,751
|
CH Holding Corp.
|
|
|
9.59% (1 Month USD LIBOR + 7.25%, Rate Floor: 8.25%) due 02/03/25
|
200,000
|
199,500
|
Total Consumer, Cyclical
|
|
18,538,119
|
|
||
Technology – 10.3%
|
|
|
Lytx, Inc.
|
|
|
9.09% (1 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 08/31/23†††,1
|
3,444,508
|
3,377,076
|
24-7 Intouch, Inc.
|
|
|
6.57% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 08/25/25
|
2,450,000
|
2,364,250
|
Advanced Computer Software
|
|
|
7.07% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 05/31/24
|
2,346,186
|
2,346,185
|
Bullhorn, Inc.
|
|
|
9.40% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 11/21/22†††,1
|
2,246,797
|
2,235,695
|
9.23% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 11/21/22†††,1
|
58,033
|
52,268
|
Planview, Inc.
|
|
|
12.09% (1 Month USD LIBOR + 9.75%, Rate Floor: 10.75%) due 07/27/23†††,1
|
2,000,000
|
1,978,580
|
Aspect Software, Inc.
|
|
|
13.34% (3 Month USD LIBOR + 11.00%, Rate Floor: 12.00%) due 05/25/202
|
1,263,670
|
1,052,461
|
6.48% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/25/202
|
540,111
|
449,837
|
Cologix Holdings, Inc.
|
|
|
9.34% (1 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 03/20/25
|
750,000
|
746,250
|
Park Place Technologies LLC
|
|
|
10.34% (1 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 03/29/26
|
680,723
|
673,916
|
Targus Group International, Inc.
|
|
|
due 05/24/16†††,1,2,9
|
383,723
|
–
|
Total Technology
|
|
15,276,518
|
|
||
Industrial – 6.2%
|
|
|
Bhi Investments LLC
|
|
|
11.25% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††,1
|
3,000,000
|
2,970,000
|
YAK MAT (YAK ACCESS LLC)
|
|
|
12.32% (1 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26
|
2,300,000
|
2,070,000
|
Diversitech Holdings, Inc.
|
|
|
9.89% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25
|
1,000,000
|
995,000
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,5 – 46.3% (continued)
|
|
|
Industrial – 6.2% (continued)
|
|
|
Bioplan USA, Inc.
|
|
|
7.09% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/23/21
|
855,084
|
$ 810,192
|
National Technical
|
|
|
8.55% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/12/21†††,1
|
728,638
|
710,422
|
PT Intermediate Holdings III LLC
|
|
|
10.39% (3 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 12/08/25
|
450,000
|
448,875
|
STS Operating, Inc. (SunSource)
|
|
|
6.59% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24
|
374,058
|
371,252
|
Wencor Group
|
|
|
5.84% (1 Month LIBOR + 3.50%) due 06/19/19
|
353,846
|
342,789
|
ProAmpac PG Borrower LLC
|
|
|
11.14% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/18/24
|
250,000
|
250,158
|
Advanced Integration Technology LP
|
|
|
7.46% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 04/03/23
|
154,170
|
153,399
|
Total Industrial
|
|
9,122,087
|
|
||
Communications – 5.9%
|
|
|
Houghton Mifflin Co.
|
|
|
5.35% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/28/21
|
3,392,938
|
3,124,896
|
Flight Bidco, Inc.
|
|
|
9.84% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26
|
2,300,000
|
2,277,000
|
Cengage Learning Acquisitions, Inc.
|
|
|
6.56% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23
|
2,250,609
|
2,006,260
|
Resource Label Group LLC
|
|
|
10.90% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/26/23
|
850,000
|
843,625
|
Mcgraw-Hill Global Education Holdings LLC
|
|
|
6.34% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22
|
293,226
|
270,134
|
Imagine Print Solutions LLC
|
|
|
7.10% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/21/22
|
270,875
|
258,686
|
Total Communications
|
|
8,780,601
|
|
||
Energy – 5.1%
|
|
|
Gavilan Resources LLC
|
|
|
8.31% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 03/01/24
|
3,280,000
|
2,777,077
|
SeaPort Financing LLC
|
|
|
7.85% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25
|
2,300,000
|
2,288,500
|
Permian Production Partners
|
|
|
8.31% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/20/24
|
2,073,750
|
2,047,828
|
Summit Midstream Partners, LP
|
|
|
8.34% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/13/22
|
379,167
|
378,219
|
Total Energy
|
|
7,491,624
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
SENIOR FLOATING RATE INTERESTS††,5 – 46.3% (continued)
|
|
|
Consumer, Non-cyclical – 4.8%
|
|
|
Springs Window Fashions
|
|
|
10.80% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26
|
2,900,000
|
$ 2,726,000
|
CTI Foods Holding Co. LLC
|
|
|
9.85% (3 Month USD LIBOR + 7.25%, Rate Floor: 8.25%) due 06/28/21
|
3,430,000
|
766,022
|
6.10% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/29/20
|
630,000
|
517,860
|
Immucor, Inc.
|
|
|
7.39% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21
|
1,185,000
|
1,187,962
|
IHC Holding Corp.
|
|
|
9.14% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 04/30/21†††,1
|
1,155,600
|
1,148,622
|
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
|
|
|
6.81% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25
|
647,250
|
641,587
|
Examworks Group, Inc.
|
|
|
5.55% (3 Month USD LIBOR + 3.25%) due 07/27/21†††,1
|
66,667
|
62,467
|
Total Consumer, Non-cyclical
|
|
7,050,520
|
|
||
Utilities – 0.7%
|
|
|
MRP Generation Holding
|
|
|
9.39% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 10/18/22
|
735,000
|
712,950
|
Stonewall
|
|
|
7.89% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/13/21
|
326,402
|
324,091
|
Total Utilities
|
|
1,037,041
|
|
||
Basic Materials – 0.6%
|
|
|
Ranpak
|
|
|
9.56% (1 Month USD LIBOR + 7.25%, Rate Floor: 8.25%) due 10/03/22
|
536,667
|
532,642
|
Big River Steel LLC
|
|
|
7.39% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/23/23
|
346,500
|
344,767
|
Total Basic Materials
|
|
877,409
|
|
||
Financial – 0.1%
|
|
|
JZ Capital Partners Ltd.
|
|
|
8.08% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 06/14/21†††,1
|
100,000
|
99,578
|
Total Senior Floating Rate Interests
|
|
|
(Cost $72,514,930)
|
|
68,273,497
|
|
||
ASSET-BACKED SECURITIES†† – 3.8%
|
|
|
Collateralized Loan Obligations – 1.6%
|
|
|
Monroe Capital CLO Ltd.
|
|
|
2017-1A, 6.07% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/264,5
|
1,000,000
|
1,001,030
|
FDF I Ltd.
|
|
|
2015-1A, 6.88% due 11/12/304
|
500,000
|
499,418
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2018
|
|
||
|
||
|
||
|
Face
|
|
|
Amount~
|
Value
|
|
||
ASSET-BACKED SECURITIES†† – 3.8% (continued)
|
|
|
Collateralized Loan Obligations – 1.6% (continued)
|
|
|
Dryden 41 Senior Loan Fund
|
|
|
2015-41A, (WAC) due 04/15/314,5,10
|
600,000
|
$ 447,095
|
Treman Park CLO Ltd.
|
|
|
2015-1A, due 10/20/284,124,10
|
500,000
|
412,455
|
Babson CLO Ltd.
|
|
|
2012-2A, (WAC) due 05/15/234,5,10
|
1,000,000
|
53,608
|
Total Collateralized Loan Obligations
|
|
2,413,606
|
|
||
Collateralized Debt Obligations – 0.7%
|
|
|
Anchorage Credit Funding 1 Ltd.
|
|
|
2015-1A, 6.30% due 07/28/304
|
1,000,000
|
1,006,840
|
|
||
Whole Business – 0.7%
|
|
|
TSGE
|
|
|
2017-1, 6.25% due 09/25/31†††,1
|
1,000,000
|
1,002,981
|
|
||
Transport-Aircraft – 0.5%
|
|
|
Apollo Aviation Securitization Equity Trust
|
|
|
2016-2, 7.87% due 11/15/41
|
328,550
|
328,061
|
2016-1A, 9.20% due 03/17/364,11
|
39,029
|
39,012
|
Rise Ltd.
|
|
|
2014-1B, 6.50% due 02/12/39
|
271,903
|
266,721
|
Turbine Engines Securitization Ltd.
|
|
|
2013-1A, 6.38% due 12/13/488
|
214,360
|
176,432
|
Total Transport-Aircraft
|
|
810,226
|
|
||
Financial – 0.3%
|
|
|
NCBJ
|
|
|
2015-1A, 5.88% due 07/08/22†††,1
|
388,320
|
389,139
|
Total Asset-Backed Securities
|
|
|
(Cost $5,502,774)
|
|
5,622,792
|
Total Investments – 142.7%
|
|
|
(Cost $228,360,991)
|
|
$ 210,455,824
|
Other Assets & Liabilities, net – (42.7)%
|
|
(62,959,784)
|
Total Net Assets – 100.0%
|
|
$ 147,496,040
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
|
|
|
|
|
||
|
|
|
|
|
Value at
|
Net
|
|
|
|
Settlement
|
Settlement
|
November 30,
|
Unrealized
|
Counterparty
|
Contracts to Sell
|
Currency
|
Date
|
Value
|
2018
|
Appreciation
|
Goldman Sachs
|
4,186,000
|
GBP
|
12/12/18
|
$ 5,485,678
|
$ 5,337,739
|
$ 147,939
|
Goldman Sachs
|
2,477,000
|
EUR
|
12/12/18
|
2,829,091
|
2,807,305
|
21,786
|
Morgan Stanley
|
1,224,000
|
CAD
|
12/12/18
|
934,340
|
921,748
|
12,592
|
|
|
|
|
|
|
$ 182,317
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2018
|
|
|
|
|
|
Value at
|
Net
|
|
|
|
Settlement
|
Settlement
|
November 30,
|
Unrealized
|
Counterparty
|
Contracts to Buy
|
Currency
|
Date
|
Value
|
2018
|
Depreciation
|
Citigroup
|
31,000
|
GBP
|
12/12/18
|
$ 39,620
|
$ 39,529
|
$ (91)
|
Goldman Sachs
|
2,200,000
|
GBP
|
12/12/18
|
2,806,406
|
2,805,309
|
(1,097)
|
|
|
|
|
|
|
$ (1,188)
|
~
|
The face amount is denominated in U.S. dollars unless otherwise indicated.
|
*
|
Non-income producing security.
|
†
††
†††
|
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 November 30, 2018. The total market value of fair valued securities amounts to $14,168,404, (cost $16,248,703) or 9.6% of total net assets.
|
2
|
Affiliated issuer.
|
3
|
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements and unfunded loan commitments. As of November 30, the total value of securities segregated was $85,015,192.
|
4
|
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 $92,534,562 (cost $100,518,394), or 62.7% of total net assets.
|
5
|
Variable rate security. Rate indicated is the rate effective at November 30, 2018. 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.
|
6
|
Perpetual maturity.
|
7
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
8
|
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 $3,343,862 (cost $3,657,496), or 2.3% of total net assets — See Note 12.
|
9
|
Security is in default of interest and/or principal obligations.
|
10
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
|
11
|
Security is a step up bond, with a 9.2% coupon rate until 03/15/2023, and then accrues at a 11.75% coupon rate until maturity.
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2018
|
CAD
|
Canadian Dollar
|
EUR
|
Euro
|
GBP
|
British Pound
|
LIBOR
|
London Interbank Offered Rate
|
plc
|
Public Limited Company
|
WAC
|
Weighted Average Coupon
|
|
Level 2
|
Level 3
|
||||||||||||||
|
Significant
|
Significant
|
||||||||||||||
|
Level 1
|
Observable
|
Unobservable
|
|||||||||||||
Investments in Securities (Assets)
|
Quoted Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Common Stocks
|
$
|
641,414
|
$
|
1,842,810
|
$
|
141,576
|
*
|
$
|
2,625,800
|
|||||||
Preferred Stocks
|
—
|
676,574
|
—
|
676,574
|
||||||||||||
Warrants
|
—
|
—
|
—
|
*
|
—
|
|||||||||||
Corporate Bonds
|
—
|
132,586,479
|
670,682
|
133,257,161
|
||||||||||||
Senior Floating Rate Interests
|
—
|
55,638,789
|
12,634,708
|
68,273,497
|
||||||||||||
Asset-Backed Securities
|
—
|
4,230,672
|
1,392,120
|
5,622,792
|
||||||||||||
Forward Foreign Currency Exchange Contracts**
|
—
|
182,317
|
—
|
182,317
|
||||||||||||
Total Assets
|
$
|
641,414
|
$
|
195,157,641
|
$
|
14,839,086
|
$
|
210,638,141
|
||||||||
|
Level 2
|
Level 3
|
||||||||||||||
|
Significant
|
Significant
|
||||||||||||||
|
Level 1
|
Observable
|
Unobservable
|
|||||||||||||
Investments in Securities (Liabilities)
|
Quoted Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Forward Foreign Currency Exchange Contracts**
|
$
|
—
|
$
|
1,188
|
$
|
—
|
$
|
1,188
|
||||||||
Unfunded Loan Commitments (Note 11)
|
—
|
342,461
|
295,382
|
637,843
|
||||||||||||
Total Liabilities
|
$
|
—
|
$
|
343,649
|
$
|
295,382
|
$
|
639,031
|
*
|
Includes securities with a market value of $0.
|
**
|
This derivative is reported as unrealized appreciation/depreciation at period end.
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2018
|
|
Ending Balance at
|
Valuation
|
Unobservable
|
Input
|
Weighted
|
|
Category
|
November 30, 2018
|
Technique
|
Inputs
|
Range
|
Average
|
|
Assets:
|
|
|
|
|
|
|
Asset-Backed Securities
|
$ 1,002,981
|
Model Price
|
Market Comparable Yield
|
6.4%
|
—
|
|
Asset-Backed Securities
|
389,139
|
Yield Analysis
|
Yield
|
6.4%
|
—
|
|
Common Stocks
|
|
140,132
|
Enterprise Value
|
Valuation Multiple
|
5.4x-9.1x
|
6.9x
|
Common Stocks
|
|
1,444
|
Model Price
|
Liquidation Value
|
—
|
—
|
Corporate Bonds
|
|
670,682
|
Option Adjusted
|
Indicative Quote
|
—
|
—
|
|
|
|
Spread off the
|
|
|
|
|
|
|
prior month end
|
|
|
|
|
|
|
broker mark over
|
|
|
|
|
|
|
the 3 month LIBOR
|
|
|
|
Senior Floating Rate Interests
|
8,839,551
|
Yield Analysis
|
Yield
|
8.3%-12.1%
|
10.1%
|
|
Senior Floating Rate Interests
|
2,970,000
|
Enterprise Value
|
Valuation Multiple
|
9.0x
|
—
|
|
Senior Floating Rate Interests
|
710,422
|
Model Price
|
Market Comparable Yields
|
6.7%
|
—
|
|
Senior Floating Rate Interests
|
114,735
|
Model Price
|
Purchase Price
|
—
|
—
|
|
Total
|
|
$14,839,086
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Unfunded Loan Commitments
|
$ 295,382
|
Model Price
|
Purchase Price
|
—
|
—
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2018
|
|
Assets
|
Liabilities
|
||||||||||||||||||||||
|
Senior
|
|||||||||||||||||||||||
|
Asset-
|
Floating
|
Unfunded
|
|||||||||||||||||||||
|
Backed
|
Corporate
|
Rate
|
Common
|
Total
|
Loan
|
||||||||||||||||||
|
Securities
|
Bonds
|
Interests
|
Stocks
|
Assets
|
Commitments
|
||||||||||||||||||
Assets:
|
||||||||||||||||||||||||
Beginning Balance
|
$
|
1,430,016
|
$
|
687,359
|
$
|
11,750,092
|
$
|
283,937
|
$
|
14,151,404
|
$
|
(175,354
|
)
|
|||||||||||
Purchases/(Receipts)
|
–
|
87
|
1,003,798
|
–
|
1,003,885
|
(553,918
|
)
|
|||||||||||||||||
(Sales, maturities and
|
||||||||||||||||||||||||
paydowns)/Fundings
|
(45,652
|
)
|
(5,824
|
)
|
(2,203,557
|
)
|
–
|
(2,255,033
|
)
|
135,759
|
||||||||||||||
Amortization of
|
||||||||||||||||||||||||
discount/premiums
|
–
|
–
|
45,639
|
–
|
45,639
|
(13,750
|
)
|
|||||||||||||||||
Total realized gains
|
||||||||||||||||||||||||
(losses) included
|
||||||||||||||||||||||||
in earnings
|
–
|
5,262
|
(34,112
|
)
|
(259
|
)
|
(29,109
|
)
|
512,501
|
|||||||||||||||
Total change in unrealized
|
||||||||||||||||||||||||
appreciation (depreciation)
|
||||||||||||||||||||||||
included in earnings
|
7,756
|
(16,202
|
)
|
(104,526
|
)
|
(142,102
|
)
|
(255,074
|
)
|
(296,537
|
)
|
|||||||||||||
Transfers into Level 3
|
–
|
–
|
2,970,000
|
–
|
2,970,000
|
–
|
||||||||||||||||||
Transfers out of Level 3
|
–
|
–
|
(792,626
|
)
|
–
|
(792,626
|
)
|
95,917
|
||||||||||||||||
Ending Balance
|
$
|
1,392,120
|
$
|
670,682
|
$
|
12,634,708
|
$
|
141,576
|
$
|
14,839,086
|
$
|
(295,382
|
)
|
|||||||||||
Net change in unrealized
|
||||||||||||||||||||||||
appreciation (depreciation)
|
||||||||||||||||||||||||
for investments in Level 3
|
||||||||||||||||||||||||
securities still held at
|
||||||||||||||||||||||||
November 30, 2018
|
$
|
7,756
|
$
|
(10,939
|
)
|
$
|
(2,464
|
)
|
$
|
(142,102
|
)
|
$
|
(147,749
|
)
|
$
|
30,582
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2018
|
|
Change in
|
Shares/
|
Interest and
|
|||||||||||||||||||||||||||||
|
Realized
|
Unrealized
|
Face
|
Amortization
|
||||||||||||||||||||||||||||
|
Value
|
Gain
|
Appreciation
|
Value
|
Amount
|
Included in
|
||||||||||||||||||||||||||
Security Name
|
05/31/18
|
Additions
|
Reductions
|
(Loss)
|
(Depreciation)
|
11/30/18
|
11/30/18
|
Income
|
||||||||||||||||||||||||
Warrant
|
||||||||||||||||||||||||||||||||
Aspect Software, Inc.1
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
**
|
–
|
$
|
–
|
||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||||||
Aspect Software, Inc.*,1
|
141,720
|
–
|
(258
|
)
|
–
|
(141,462
|
)
|
–
|
**
|
200
|
–
|
|||||||||||||||||||||
Targus Group International
|
||||||||||||||||||||||||||||||||
Equity, Inc.*,1
|
83,725
|
–
|
–
|
–
|
(642
|
)
|
83,083
|
32,060
|
–
|
|||||||||||||||||||||||
Senior Floating Rate Interests
|
||||||||||||||||||||||||||||||||
Aspect Software, Inc.
|
||||||||||||||||||||||||||||||||
13.34% (3 Month USD
|
||||||||||||||||||||||||||||||||
LIBOR + 11.00%)
|
||||||||||||||||||||||||||||||||
due 05/25/202
|
1,199,287
|
24,939
|
(28,879
|
)
|
12,469
|
(155,355
|
)
|
1,052,461
|
1,263,670
|
106,721
|
||||||||||||||||||||||
Aspect Software, Inc. 6.48%
|
||||||||||||||||||||||||||||||||
(3 Month USD LIBOR +
|
||||||||||||||||||||||||||||||||
4.00%) due 05/25/202
|
536,250
|
546,594
|
(542,733
|
)
|
–
|
(90,274
|
)
|
449,837
|
540,111
|
31,561
|
||||||||||||||||||||||
Targus Group International, Inc.
|
||||||||||||||||||||||||||||||||
due 05/24/161,3
|
–
|
–
|
–
|
–
|
–
|
–
|
383,723
|
–
|
||||||||||||||||||||||||
|
$
|
1,960,982
|
$
|
571,533
|
$
|
(571,870
|
)
|
$
|
12,469
|
$
|
(387,733
|
)
|
$
|
1,585,381
|
$
|
138,282
|
*
|
Non-income producing security.
|
**
|
$0 Market Value
|
1
|
Security was fair valued by the Valuation Committee at November 30, 2018. The total market value of fair valued securities amounts to $83,083, (cost $1,893,135) or 0.0% of total net assets.
|
2
|
Variable rate security. Rate indicated is the rate effective at November 30, 2018. 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.
|
3
|
Security is in default of interest and/or principal obligations.
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
|
November 30, 2018
|
ASSETS:
|
||||
Investments in unaffiliated issuers, at value (cost $224,664,075)
|
$
|
208,870,443
|
||
Investments in affiliated issuers, at value (cost $3,696,916)
|
1,585,381
|
|||
Cash
|
485,015
|
|||
Unrealized appreciation on forward foreign currency exchange contracts
|
182,317
|
|||
Prepaid expenses
|
5,118
|
|||
Receivables:
|
||||
Interest
|
3,108,839
|
|||
Investments sold
|
645,260
|
|||
Tax reclaims
|
15,978
|
|||
Total assets
|
214,898,351
|
|||
LIABILITIES:
|
||||
Reverse repurchase agreements (Note 7)
|
66,429,392
|
|||
Unfunded loan commitments, at value (Note 11) (commitment fees received $578,769)
|
637,843
|
|||
Unrealized depreciation on forward foreign currency exchange contracts
|
1,188
|
|||
Payable for:
|
||||
Investment advisory fees
|
184,904
|
|||
Professional fees
|
60,813
|
|||
Printing fees
|
27,708
|
|||
Trustees’ fees and expenses*
|
15,441
|
|||
Investments purchased
|
9,088
|
|||
Offering costs
|
1,119
|
|||
Accrued expenses and other liabilities
|
34,815
|
|||
Total liabilities
|
67,402,311
|
|||
NET ASSETS
|
$
|
147,496,040
|
||
NET ASSETS CONSIST OF:
|
||||
Common stock, $0.01 par value per share; unlimited number of shares authorized,
|
||||
7,377,218 shares issued and outstanding
|
$
|
73,772
|
||
Additional paid-in capital
|
174,361,622
|
|||
Total distributable earnings (loss)
|
(26,939,354
|
)
|
||
NET ASSETS
|
$
|
147,496,040
|
||
Shares outstanding ($0.01 par value with unlimited amount authorized)
|
7,377,218
|
|||
Net asset value
|
$
|
19.99
|
STATEMENT OF OPERATIONS (Unaudited)
|
November 30, 2018
|
For the Six Months Ended November 30, 2018
|
|
INVESTMENT INCOME:
|
||||
Interest from unaffiliated issuers
|
$
|
8,964,381
|
||
Interest from affiliated issuers
|
138,282
|
|||
Dividends
|
161,420
|
|||
Total investment income
|
9,264,083
|
|||
EXPENSES:
|
||||
Investment advisory fees
|
1,139,846
|
|||
Interest expense
|
918,181
|
|||
Professional fees
|
71,829
|
|||
Fund accounting fees
|
37,540
|
|||
Trustees’ fees and expenses*
|
33,123
|
|||
Administration fees
|
30,317
|
|||
Printing fees
|
22,876
|
|||
Custodian fees
|
15,549
|
|||
Registration and filing fees
|
12,993
|
|||
Transfer agent fees
|
8,965
|
|||
Insurance
|
3,654
|
|||
Other expenses
|
5,894
|
|||
Total expenses
|
2,300,767
|
|||
Net investment income
|
6,963,316
|
|||
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
||||
Net realized gain (loss) on:
|
||||
Investments in unaffiliated issuers
|
(416,495
|
)
|
||
Investments in affiliated issuers
|
12,469
|
|||
Foreign currency transactions
|
(66,395
|
)
|
||
Forward foreign currency exchange contracts
|
395,562
|
|||
Net realized gain
|
(74,859
|
)
|
||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments in unaffiliated issuers
|
(9,377,426
|
)
|
||
Investments in affiliated issuers
|
(387,733
|
)
|
||
Foreign currency translations
|
(52,043
|
)
|
||
Forward foreign currency exchange contracts
|
62,988
|
|||
Net change in unrealized appreciation (depreciation)
|
(9,754,214
|
)
|
||
Net realized and unrealized loss
|
(9,829,073
|
)
|
||
Net decrease in net assets resulting from operations
|
$
|
(2,865,757
|
)
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
November 30, 2018
|
|
Period Ended
|
|||||||
November 30, 2018
|
Year Ended
|
|||||||
|
(Unaudited)
|
May 31, 2018
|
||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
Net investment income
|
$
|
6,963,316
|
$
|
15,004,221
|
||||
Net realized gain (loss) on investments
|
(74,859
|
)
|
(1,459,536
|
)
|
||||
Net change in unrealized appreciation (depreciation) on investments
|
(9,754,214
|
)
|
(6,160,635
|
)
|
||||
Net increase (decrease) in net assets resulting from operations
|
(2,865,757
|
)
|
7,384,050
|
|||||
Distributions to shareholders
|
(8,021,078
|
)
|
(15,894,021
|
)1
|
||||
SHAREHOLDER TRANSACTIONS:
|
||||||||
Net proceeds from shares issued through at-the-market offering
|
–
|
7,861,417
|
||||||
Reinvestments
|
149,334
|
270,101
|
||||||
Cost of shares offering costs charged to paid-in-capital
|
–
|
(50,569
|
)
|
|||||
Net increase in net assets resulting from shareholder transactions
|
149,334
|
8,080,949
|
||||||
Net decrease in net assets
|
(10,737,501
|
)
|
(429,022
|
)
|
||||
NET ASSETS:
|
||||||||
Beginning of period
|
158,233,541
|
158,662,563
|
||||||
End of period
|
$
|
147,496,040
|
$
|
158,233,541
|
1
|
For the year ended May 31, 2018, the total distributions to shareholders were all from net investment income (see Note 15).
|
STATEMENT OF CASH FLOWS (Unaudited)
|
November 30, 2018
|
For the Six Months Ended November 30, 2018
|
|
Cash flow from Operating Activities:
|
||||
Net decrease in net assets resulting from operations
|
$
|
(2,865,757
|
)
|
|
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to
|
||||
Net Cash Provided by Operating and Investing Activities:
|
||||
Net change in unrealized (appreciation) depreciation on investments
|
9,765,159
|
|||
Net change in unrealized (appreciation) depreciation on
|
||||
forward foreign currency exchange contracts
|
(62,988
|
)
|
||
Net realized gain on investments
|
404,026
|
|||
Net accretion of discount and amortization of premium
|
(545,440
|
)
|
||
Purchase of long-term investments
|
(55,377,875
|
)
|
||
Proceeds from sales of long-term investments
|
50,838,219
|
|||
Paydowns received on mortgage and asset-backed securities and bonds
|
17,751,145
|
|||
Corporate actions in other payments
|
13,764
|
|||
Net sales of short-term investments
|
1,647,954
|
|||
Increase in interest receivable
|
(9,774
|
)
|
||
Decrease in investments sold receivable
|
1,401,524
|
|||
Increase in tax reclaims receivable
|
(13,432
|
)
|
||
Decrease in prepaid expenses
|
1,524
|
|||
Decrease in investments purchased payable
|
(9,856,490
|
)
|
||
Decrease in segregated cash due to broker
|
(240,000
|
)
|
||
Commitment fees received and repayments of unfunded commitments
|
512,212
|
|||
Loan commitment fundings
|
(181,079
|
)
|
||
Increase in printing fees payable
|
27,708
|
|||
Increase in trustees’ fees and expenses payable*
|
4,003
|
|||
Decrease in investment advisory fees payable
|
(14,233
|
)
|
||
Decrease in professional fees payable
|
(9,596
|
)
|
||
Increase in accrued expenses and other liabilities
|
12,241
|
|||
Net Cash Provided by Operating and Investing Activities
|
13,202,815
|
|||
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
(7,871,744
|
)
|
||
Proceeds from reverse repurchase agreements
|
416,684,539
|
|||
Payments made on reverse repurchase agreements
|
(422,174,004
|
)
|
||
Offering costs in connection with the issuance of common shares
|
(24,000
|
)
|
||
Net Cash Used in Financing Activities
|
(13,385,209
|
)
|
||
Net decrease in cash
|
(182,394
|
)
|
||
Cash at Beginning of Period
|
667,409
|
|||
Cash at End of Period
|
$
|
485,015
|
||
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
|
$
|
915,117
|
||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$
|
149,334
|
FINANCIAL HIGHLIGHTS
|
November 30, 2018
|
|
Period Ended
|
|||||||||||||||||||||||
|
November 30, 2018
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Period Ended
|
||||||||||||||||||
|
(Unaudited)
|
May 31, 2018 |
May 31, 2017
|
May 31, 2016
|
May 31, 2015
|
May 31, 2014(a)
|
||||||||||||||||||
Per Share Data:
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$
|
21.47
|
$
|
22.62
|
$
|
20.53
|
$
|
23.34
|
$
|
24.71
|
$
|
23.82
|
||||||||||||
Income from investment operations:
|
||||||||||||||||||||||||
Net investment income(b)
|
0.94
|
2.05
|
1.91
|
2.02
|
1.95
|
1.64
|
||||||||||||||||||
Net gain (loss) on investments (realized and unrealized)
|
(1.33
|
)
|
(1.02
|
)
|
2.36
|
(2.65
|
)
|
(1.16
|
)
|
0.71
|
||||||||||||||
Total from investment operations
|
(0.39
|
)
|
1.03
|
4.27
|
(0.63
|
)
|
0.79
|
2.35
|
||||||||||||||||
Less distributions from:
|
||||||||||||||||||||||||
Net investment income
|
(1.09
|
)
|
(2.18
|
)
|
(2.18
|
)
|
(2.18
|
)
|
(1.57
|
)
|
(1.46
|
)
|
||||||||||||
Capital gains
|
—
|
—
|
—
|
—
|
(0.59
|
)
|
—
|
|||||||||||||||||
Total distributions to shareholders
|
(1.09
|
)
|
(2.18
|
)
|
(2.18
|
)
|
(2.18
|
)
|
(2.16
|
)
|
(1.46
|
)
|
||||||||||||
Net asset value, end of period
|
$
|
19.99
|
$
|
21.47
|
$
|
22.62
|
$
|
20.53
|
$
|
23.34
|
$
|
24.71
|
||||||||||||
Market value, end of period
|
$
|
19.36
|
$
|
22.70
|
$
|
23.18
|
$
|
19.86
|
$
|
23.07
|
$
|
24.68
|
||||||||||||
Total Return(c)
|
||||||||||||||||||||||||
Net asset value
|
(1.90
|
)%
|
4.68
|
%
|
21.55
|
%
|
(2.31
|
)%
|
3.45
|
%
|
10.12
|
%
|
||||||||||||
Market value
|
(10.16
|
)%
|
7.99
|
%
|
28.83
|
%
|
(4.00
|
)%
|
2.54
|
%
|
5.08
|
%
|
||||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
147,496
|
$
|
158,234
|
$
|
158,663
|
$
|
136,142
|
$
|
154,753
|
$
|
163,815
|
||||||||||||
Ratio to average net assets of:
|
||||||||||||||||||||||||
Net investment income, including interest expense
|
8.94
|
%(h)
|
9.24
|
%
|
8.67
|
%
|
9.68
|
%
|
8.23
|
%
|
7.28
|
%
|
||||||||||||
Total expenses, including interest expense(d)
|
2.95
|
%(h)
|
2.61
|
%
|
2.52
|
%
|
2.27
|
%
|
2.04
|
%
|
1.73
|
%
|
||||||||||||
Portfolio turnover rate(e)
|
23
|
%
|
46
|
%
|
47
|
%
|
63
|
%
|
55
|
%
|
54
|
%
|
FINANCIAL HIGHLIGHTS continued
|
November 30, 2018
|
|
Period Ended
|
|
|
|
|
|
|
November 30, 2018
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Period Ended
|
|
(Unaudited)
|
May 31, 2018
|
May 31, 2017
|
May 31, 2016
|
May 31, 2015
|
May 31, 2014(a)
|
Senior Indebtedness:
|
|
|
|
|
|
|
Borrowings – committed facility agreement (in thousands)
|
N/A
|
N/A
|
$ 4,500
|
N/A
|
N/A
|
N/A
|
Asset Coverage per $1,000 of borrowings(f)
|
N/A
|
N/A
|
$ 36,258
|
N/A
|
N/A
|
N/A
|
Supplemental asset coverage per $1,000 of borrowings(g)
|
N/A
|
N/A
|
$ 49,871
|
N/A
|
N/A
|
N/A
|
(a)
|
Since commencement of operations: June 26, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
|
(b)
|
Based on average shares outstanding.
|
(c)
|
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 distribution 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 investment return does not reflect brokerage commissions.
|
(d)
|
Excluding interest expense, the annualized operation expense ratio would be 1.78%, 1.75%, 1.88%, 1.82%, 1.76% and 1.55% for the period ended November 30, 2018 and the years ended May 31, 2018, May 31, 2017, May 31, 2016, May 31, 2015 and May 31, 2014, respectively.
|
(e)
|
Portfolio turnover is not annualized for periods of less than 1 year.
|
(f)
|
Calculated by subtracting the Fund’s total liabilities (not including borrowings) from the Fund’s total assets and dividing by the borrowings.
|
(g)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings or reverse repurchase agreements) from the Fund’s total assets and dividing by the borrowings.
|
(h)
|
Annualized.
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
November 30, 2018
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
|
Average Settlement
|
|
Use
|
Purchased
|
Sold
|
Hedge
|
$10,540,417
|
$ 1,422,419
|
Derivative Investment Type
|
Asset Derivatives
|
Liability Derivatives
|
Currency contracts
|
Unrealized appreciation
|
Unrealized depreciation
|
|
on forward foreign
|
on forward foreign
|
|
currency exchange contracts
|
currency exchange contracts
|
|
|
Forward Foreign Currency
|
|
Primary Risk Exposure
|
Exchange Risk
|
Asset Derivative Investments Value
|
Foreign Currency Exchange Risk
|
$ 182,317
|
Liability Derivative Investments Value
|
Foreign Currency Exchange Risk
|
$ 1,188
|
Derivative Investment Type
|
Location of Gain (Loss) on Derivatives |
Currency contracts
|
Net realized gain (loss) on forward foreign currency exchange contracts Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
|
Realized Gain(Loss) on Derivative Investments Recognized on the Statement of Operations
|
|
Forward Foreign
|
|
Currency Exchange Risk
|
|
$ 395,562
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
|
|
Forward Foreign
|
|
Currency Exchange Risk
|
|
$ 62,988
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
|
|
|
Net Amount
|
|
|
|
|
Gross Amounts
|
of Assets
|
Gross Amounts Not Offset
|
|
|
Gross
|
Offset in the
|
Presented in the
|
in the Statement of
|
|
|
Amounts of
|
Statement of
|
Statement of
|
Assets and Liabilities
|
|
Investment
|
Recognized
|
Assets and
|
Assets and
|
Financial
|
|
Type
|
Assets
|
Liabilities
|
Liabilities
|
Instruments
|
Net Amount
|
Forward
|
|
|
|
|
|
foreign
|
|
|
|
|
|
currency
|
|
|
|
|
|
exchange
|
|
|
|
|
|
contracts
|
$ 182,317
|
$ –
|
$ 182,317
|
$ (1,097)
|
$ 181,220
|
|
|
|
Net Amount
|
|
|
|
|
Gross Amounts
|
of Liabilities
|
Gross Amounts Not Offset
|
|
|
Gross
|
Offset in the
|
Presented in the
|
in the Statement of
|
|
|
Amounts of
|
Statement of
|
Statement of
|
Assets and Liabilities
|
|
Investment
|
Recognized
|
Assets and
|
Assets and
|
Financial
|
|
Type
|
Liabilities
|
Liabilities
|
Liabilities
|
Instruments
|
Net Amount
|
|
|||||
Forward
|
|
|
|
|
|
foreign
|
|
|
|
|
|
currency
|
|
|
|
|
|
exchange
|
|
|
|
|
|
contracts
|
$ 1,188
|
$ –
|
$ 1,188
|
$ (1,097)
|
$ 91
|
Reverse
|
|
|
|
|
|
repurchase
|
|
|
|
|
|
agreements
|
66,429,392
|
–
|
66,429,392
|
(66,429,392)
|
–
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
|
Overnight and
|
|
|
Greater than
|
|
|
Continuous
|
Up to 30 days
|
31-90 days
|
90 days
|
Total
|
Corporate Bonds
|
$3,361,246
|
$ 63,068,146
|
$ –
|
$ –
|
$ 66,429,392
|
Gross amount of
|
|
|
|
|
|
recognized liabilities
|
|
|
|
|
|
for reverse
|
|
|
|
|
|
repurchase
|
|
|
|
|
|
agreements
|
$ 3,361,246
|
$ 63,068,146
|
$ –
|
$ –
|
$ 66,429,392
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
Counterparty
|
Interest Rates
|
Maturity Dates
|
Face Value
|
Barclays
|
0%-2.85%*
|
Open Maturity 12/21/18
|
$ 3,665,236
|
BNP Paribas Securities corp.
|
2.8%-2.94%
|
12/03/18 - 12/06/18
|
22,361,682
|
Bank of America
|
2.76%-2.82%
|
12/03/18-12/28/18
|
7,694,593
|
CIBC World Markets
|
2.82%
|
12/03/18
|
1,293,412
|
J.P. Morgan Chase & Co.
|
2.25%-2.75%
|
12/06/18 -12/21/18
|
7,305,080
|
HSBC Securities, Inc.
|
2.90%
|
12/10/18
|
6,835,405
|
RBC Capital Markets
|
2.86%-2.94%
|
12/17/18-12/26/18
|
3,646,510
|
Nomura Securities Co.
|
2.71%
|
12/17/18
|
8,106,153
|
Societe General Group
|
2.85%-2.87%
|
12/19/18
|
5,521,321
|
|
|
|
$66,429,392
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
|
|
|
Net Unrealized
|
|
Tax Unrealized
|
Tax Unrealized
|
Appreciation
|
Tax Cost
|
Appreciation
|
Depreciation
|
(Depreciation)
|
$228,378,395
|
$2,775,185
|
$(20,516,627)
|
$(17,741,442)
|
Undistributed
|
Undistributed
|
Net Unrealized
|
Accumulated
|
|
Ordinary
|
Long-Term
|
Appreciation
|
Capital and
|
|
Income
|
Capital Gain
|
(Depreciation)
|
Other Losses
|
Total
|
$677,162
|
$0
|
$(9,319,354)
|
$(7,410,327)
|
$(16,052,519)
|
|
Long-Term
|
Total
|
Ordinary Income
|
Capital Gain
|
Distributions
|
$15,894,021
|
$0
|
$15,894,021
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
Purchases
|
Sales
|
$55,377,875
|
$50,838,219
|
Purchases
|
Sales
|
Realized Gain
|
$10,699,841
|
$910,250
|
$11,388
|
The unfunded loan commitments as of November 30, 2018, were as follows:
|
|
Borrower
|
Maturity Date
|
Face Amount*
|
Value
|
Acosta, Inc.
|
09/26/19
|
800,000
|
$ 246,544
|
Advantage Sales & Marketing, Inc.
|
07/25/19
|
900,000
|
91,350
|
Alexander Mann
|
08/09/24
|
GBP 1,250,000
|
211,339
|
Bullhorn, Inc.
|
11/21/22
|
179,632
|
4,151
|
Cypress Intermediate Holdings III, Inc.
|
04/27/22
|
450,000
|
37,937
|
Examworks Group, Inc.
|
01/27/23
|
433,333
|
27,147
|
Lumentum Holdings, Inc.
|
03/11/19
|
1,750,000
|
–
|
Lytx, Inc.
|
08/31/22
|
157,895
|
14,808
|
Wencor Group
|
06/19/19
|
146,154
|
4,567
|
|
|
|
$ 637,843
|
* The face amount is denominated in U.S. dollars unless otherwise indicated.
|
|
||
GBP – British Pound
|
|
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
KeHE Distributors LLC / KeHE Finance Corp.
|
|
|
|
7.63% due 08/15/21
|
07/30/13
|
$ 1,080,972
|
$ 999,750
|
LBC Tank Terminals Holding Netherlands BV
|
|
|
|
6.88% due 05/15/23
|
01/12/16
|
2,014,416
|
1,850,000
|
Princess Juliana International Airport
|
|
|
|
Operating Company N.V.
|
|
|
|
5.50% due 12/20/27
|
02/05/14
|
350,692
|
317,680
|
Turbine Engines Securitization Ltd.
|
|
|
|
2013-1A, 6.38% due 12/13/48
|
11/27/13
|
211,416
|
176,432
|
|
|
$ 3,657,496
|
$ 3,343,862
|
Transactions in common shares were as follows:
|
|
|
|
Period ended
|
Year ended
|
|
November 30, 2018
|
May 31, 2018
|
Beginning Shares
|
7,370,148
|
7,013,806
|
Common shares issued through at-the-market offering
|
–
|
344,230
|
Shares issued through dividend reinvestment
|
7,070
|
12,112
|
Ending Shares
|
7,377,218
|
7,370,148
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2018
|
OTHER INFORMATION (Unaudited)
|
November 30, 2018
|
|
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
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees:
|
|
|
|
|
|
Randall C. Barnes
|
Trustee
|
Since 2013
|
Current: Private Investor (2001-present).
|
49
|
Current: Trustee, Purpose Investments
|
(1951)
|
|
|
|
|
Funds (2013-present).
|
|
|
|
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997);
|
|
|
|
|
|
President, Pizza Hut International (1991-1993); Senior Vice President,
|
|
Former: Managed Duration Investment
|
|
|
|
Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).
|
|
Grade Municipal Fund (2003-2016).
|
Donald A. Chubb, Jr.
|
Trustee and |
Since 2014
|
Current: Retired.
|
48
|
Former: Midland Care, Inc. (2011-2016).
|
(1946)
|
Chairman of
|
|
|
|
|
|
the Valuation
|
|
Former: Business broker and manager of commercial real estate, Griffith &
|
|
|
|
Oversight
|
|
Blair, Inc. (1997-2017).
|
|
|
|
Committee
|
|
|
|
|
Jerry B. Farley
|
Trustee and
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
48
|
Current: CoreFirst Bank & Trust
|
(1946)
|
Chairman of
|
|
|
|
(2000-present).
|
|
the Audit
|
|
|
|
|
|
Committee
|
|
|
|
Former: Westar Energy, Inc. (2004-2018)
|
Roman Friedrich III
|
Trustee and
|
Since 2013
|
Current: Founder and Managing Partner, Roman Friedrich & Company
|
48
|
Current: Zincore Metals, Inc.
|
(1946)
|
Chairman of
|
|
(1998-present).
|
|
(2009-present).
|
|
the Contracts
|
|
|
|
|
|
Review Committee
|
|
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2018
|
|
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
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
|
|
|
|
|
|
|||||
Ronald A. Nyberg
|
Trustee and
|
Since 2013
|
Current: Partner, Momkus LLC (2016-present).
|
49
|
Current: PPM Funds (February
|
(1953)
|
Chairman of
|
|
|
|
2018-present); Edward-Elmhurst
|
|
the Nominating
|
|
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice
|
|
Healthcare System (2012-present);
|
|
and Governance
|
|
President, General Counsel, and Corporate Secretary, Van Kampen
|
|
Western Asset Inflation-Linked
|
|
Committee
|
|
Investments (1982-1999).
|
|
Opportunities & Income Fund (2004-
|
|
|
|
|
|
present); Western Asset Inflation-Linked
|
|
|
|
|
|
Income Fund (2003-present).
|
|
|||||
|
|
|
|
|
Former: Managed Duration Investment
|
|
|
|
|
|
Grade Municipal Fund (2003-2016).
|
Maynard F. Oliverius Trustee
|
Since 2014
|
Current: Retired.
|
48
|
Current: Defense Orientation
|
|
(1943)
|
|
|
|
|
Conference Association (January 2019-
|
|
|
|
Former: President and CEO, Stormont-Vail HealthCare (1996-2012).
|
|
present); Robert J. Dole Institute of
|
|
|
|
|
|
Politics (2016-present); Stormont-Vail
|
|
|
|
|
|
Foundation (2013-present); University of
|
|
|
|
|
|
Minnesota MHA Alumni Philanthropy
|
|
|
|
|
|
Committee (2009-present); Fort Hays
|
|
|
|
|
|
State University Foundation (1999-
|
|
|
|
|
|
present).
|
|
|||||
|
|
|
|
|
Former: Stormont-Vail Foundation
|
|
|
|
|
|
(2013-2018); Topeka Community
|
|
|
|
|
|
Foundation (2009-2014).
|
Ronald E. Toupin, Jr.
|
Trustee and
|
Since 2013
|
Current: Portfolio Consultant (2010-present); Member, Governing Council,
|
48
|
Current: Western Asset Inflation-Linked
|
(1958)
|
Chairman of
|
|
Independent Directors Council (2013-present); Governor, Board of
|
|
Opportunities & Income Fund (2004-
|
|
the Board
|
|
Governors, Investment Company Institute (2016-2018).
|
|
present); Western Asset Inflation-Linked
|
|
|
|
|
|
Income Fund (2003-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);
|
|
Former: Managed Duration Investment
|
|
|
|
Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999);
|
|
Grade Municipal Fund (2003-2016);
|
|
|
|
and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment
|
|
Bennett Group of Funds (2011-2013).
|
|
|
|
Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2018
|
|
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
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
INTERESTED TRUSTEE:
|
|
|
|
|
|
Amy J. Lee***
|
Trustee, Vice
|
Since 2018
|
Current: Interested Trustee, certain other funds in the Fund Complex
|
157
|
None.
|
(1961)
|
President and
|
(Trustee)
|
(2018-present); President and Chief Executive Officer (2017-present)
|
|
|
|
Chief Legal
|
|
and Chief Legal Officer, certain other funds in the Fund Complex
|
|
|
|
Officer
|
|
(2014-present); Vice President, certain other funds in the Fund
|
|
|
|
|
Since 2014
|
Complex (2007-present); Senior Managing Director, Guggenheim
|
|
|
|
|
(Chief Legal
|
Investments (2012-present).
|
|
|
|
|
Officer)
|
|
|
|
|
|
|
Former: President and Chief Executive Officer (2017-2018); Vice President,
|
|
|
|
|
Since 2013
|
Associate General Counsel and Assistant Secretary, Security Benefit
|
|
|
|
|
(Vice President)
|
Life Insurance Company and Security Benefit Corporation (2004-2012).
|
|
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
|
**
|
This is the period for which the Trustee began serving the Fund. After a Trustee’s initial term, each Trustee is expected to serve a three-year term concurrent with the class of Trustees for which he or she serves:
|
|
|
-
|
Messrs. Oliverius, Toupin and Ms. Lee are Class III Trustees. Class III Trustees are expected to stand for re-election at the Fund’s annual meeting of share- holders for the fiscal year ended May 31, 2019.
|
|
-
|
Messrs. Barnes, Chubb and Ms. Lee 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, 2020.
|
|
-
|
Messrs. Farley, Friedrich and Nyberg 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.
|
***
|
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 Adviser and/or the parent of the Adviser.
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2018
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers:
|
|
|
|
Brian E. Binder
|
President and
|
Since February
|
Current: President and Chief Executive Officer, certain other funds in the Fund Complex (February 2018-present); President and Chief Executive
|
(1972)
|
Chief Executive
|
2018
|
Officer, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (January 2018-present); Senior Managing Director and Chief
|
|
Officer
|
|
Administrative Officer, Guggenheim Investments (January 2018-present).
|
|
|||
|
|
|
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset
|
|
|
|
Management (2013-January 2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
|
Joanna M. Catalucci
|
Chief
|
Since 2013
|
Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments
|
(1966)
|
Compliance
|
|
(2012-present).
|
|
Officer
|
|
|
|
|
|
Former: AML Officer, certain funds in the Fund Complex (2016-2017); Chief Compliance Officer and Secretary, certain other funds in the Fund
|
|
|
|
Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief
|
|
|
|
Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
|
James M. Howley
|
Assistant
|
Since 2013
|
Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex
|
(1972)
|
Treasurer
|
|
(2006-present).
|
|
|||
|
|
|
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004).
|
Keith D. Kemp
|
Assistant
|
Since 2016
|
Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim
|
(1960)
|
Treasurer
|
|
Investments (2015-present).
|
|
|||
|
|
|
Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); Managing Director and Director, Transparent Value,
|
|
|
|
LLC (2010-2015); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquire Capital
|
|
|
|
Investment Management (2007-2009).
|
Mark E. Mathiasen
|
Secretary
|
Since 2013
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
|
(1978)
|
|
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2018
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers continued:
|
|
|
|
Glenn McWhinnie
|
Assistant
|
Since 2016
|
Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
|
(1969)
|
Treasurer
|
|
|
|
|
|
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
|
Michael P. Megaris
|
Assistant
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
|
(1984)
|
Secretary
|
|
|
Adam J. Nelson
|
Assistant
|
Since 2015
|
Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
|
(1979)
|
Treasurer
|
|
|
|
|
|
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant
|
|
|
|
Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
|
Kimberly J. Scott
|
Assistant
|
Since 2013
|
Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
|
(1974)
|
Treasurer
|
|
|
|
|
|
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, 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
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
|
(1979)
|
|
|
|
|
|
|
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
|
John L. Sullivan
|
Chief Financial
|
Since 2013
|
Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior
|
(1955)
|
Officer, Chief
|
|
Managing Director, Guggenheim Investments (2010-present).
|
|
Accounting
|
|
|
|
Officer and
|
|
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010);
|
|
Treasurer
|
|
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
|
November 30, 2018
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers continued:
|
|
|
|
Jon Szafran
|
Assistant
|
Since 2017
|
Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
|
(1989)
|
Treasurer
|
|
|
|
|
|
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).
|
*
|
The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The date reflects the commencement date upon which the officer held any officer position with the Fund.
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
November 30, 2018
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued
|
November 30, 2018
|
FUND INFORMATION
|
November 30, 2018
|
FUND INFORMATION continued
|
November 30, 2018
|
ABOUT THE FUND MANAGERS
|
November 30, 2018
|
Guggenheim Funds Distributors, LLC
227 West Monroe Street
Chicago, IL 60606 Member FINRA/SIPC (01/19) |