Eaton Vance Senior Floating Rate Trust

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21411

Investment Company Act File Number

Eaton Vance Senior Floating-Rate Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

January 31, 2016

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments


Eaton Vance

Senior Floating-Rate Trust

January 31, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 141.6%(1)

 

                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Aerospace and Defense — 1.8%

     

BE Aerospace, Inc.

     

Term Loan, 4.00%, Maturing December 16, 2021

     962       $ 963,194   

IAP Worldwide Services, Inc.

     

Revolving Loan, Maturing July 18, 2018(2)

     311         281,416   

Term Loan - Second Lien, 8.00%, Maturing July 18, 2019(3)

     424         339,352   

Silver II US Holdings, LLC

     

Term Loan, 4.00%, Maturing December 13, 2019

     1,767         1,470,689   

Transdigm, Inc.

     

Term Loan, 3.75%, Maturing February 28, 2020

     4,178         4,090,986   

Term Loan, 3.75%, Maturing June 4, 2021

     1,798         1,747,440   
     

 

 

 
      $ 8,893,077   
     

 

 

 

Air Transport — 0.4%

     

Virgin America, Inc.

     

Term Loan, 4.50%, Maturing April 4, 2019

     2,350       $ 1,935,460   
     

 

 

 
      $ 1,935,460   
     

 

 

 

Automotive — 3.9%

     

Affinia Group Intermediate Holdings, Inc.

     

Term Loan, 4.75%, Maturing April 27, 2020

     1,031       $ 1,031,162   

Allison Transmission, Inc.

     

Term Loan, 3.50%, Maturing August 23, 2019

     2,778         2,771,775   

Chrysler Group, LLC

     

Term Loan, 3.50%, Maturing May 24, 2017

     2,846         2,835,012   

Term Loan, 3.25%, Maturing December 31, 2018

     2,063         2,050,613   

CS Intermediate Holdco 2, LLC

     

Term Loan, 4.00%, Maturing April 4, 2021

     640         614,640   

Dayco Products, LLC

     

Term Loan, 5.25%, Maturing December 12, 2019

     983         972,061   

Federal-Mogul Holdings Corporation

     

Term Loan, 4.75%, Maturing April 15, 2021

     3,866         3,124,312   

Horizon Global Corporation

     

Term Loan, 7.00%, Maturing May 11, 2022

     463         446,916   

MPG Holdco I, Inc.

     

Term Loan, 3.75%, Maturing October 20, 2021

     2,102         2,026,719   

Schaeffler AG

     

Term Loan, 4.25%, Maturing May 15, 2020

     347         347,863   

TI Group Automotive Systems, LLC

     

Term Loan, 4.50%, Maturing June 30, 2022

   EUR 798         853,668   

Term Loan, 4.50%, Maturing June 30, 2022

       1,197         1,165,579   

Tower Automotive Holdings USA, LLC

     

Term Loan, 4.00%, Maturing April 23, 2020

     646         619,963   

Visteon Corporation

     

Term Loan, 3.50%, Maturing April 9, 2021

     627         623,458   
     

 

 

 
      $ 19,483,741   
     

 

 

 

Beverage and Tobacco — 0.4%

     

Flavors Holdings, Inc.

     

Term Loan, 6.75%, Maturing April 3, 2020

     1,231       $ 1,115,385   

Term Loan - Second Lien, 11.00%, Maturing October 3, 2021

     1,000         875,000   
     

 

 

 
      $ 1,990,385   
     

 

 

 

 

1

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Brokerage/Securities Dealers/Investment Houses — 0.3%

     

Astro AB Borrower, Inc.

     

Term Loan, 5.50%, Maturing April 30, 2022

     323       $ 320,950   

Term Loan - Second Lien, 9.75%, Maturing March 3, 2023

     275         259,875   

Salient Partners L.P.

     

Term Loan, 7.50%, Maturing May 19, 2021

     788         764,360   
     

 

 

 
      $ 1,345,185   
     

 

 

 

Building and Development — 3.1%

     

ABC Supply Co., Inc.

     

Term Loan, 3.50%, Maturing April 16, 2020

     991       $ 983,010   

Auction.com, LLC

     

Term Loan, 6.00%, Maturing May 8, 2022

     1,017         1,008,411   

CPG International, Inc.

     

Term Loan, 4.75%, Maturing September 30, 2020

     611         574,281   

DTZ U.S. Borrower, LLC

     

Term Loan, 4.25%, Maturing November 4, 2021

     2,587         2,521,246   

Gates Global, Inc.

     

Term Loan, 4.25%, Maturing July 5, 2021

     4,466         4,034,409   

Headwaters, Incorporated

     

Term Loan, 4.50%, Maturing March 24, 2022

     199         199,000   

Quikrete Holdings, Inc.

     

Term Loan, 4.00%, Maturing September 28, 2020

     922         915,519   

Term Loan - Second Lien, 7.00%, Maturing March 26, 2021

     1,350         1,346,625   

RE/MAX International, Inc.

     

Term Loan, 4.25%, Maturing July 31, 2020

     1,498         1,479,017   

Realogy Corporation

     

Term Loan, 3.75%, Maturing March 5, 2020

     973         967,989   

Summit Materials Companies I, LLC

     

Term Loan, 4.25%, Maturing July 17, 2022

     622         613,584   

WireCo WorldGroup, Inc.

     

Term Loan, 6.00%, Maturing February 15, 2017

     572         556,496   
     

 

 

 
      $ 15,199,587   
     

 

 

 

Business Equipment and Services — 9.8%

     

Acosta Holdco, Inc.

     

Term Loan, 4.25%, Maturing September 26, 2021

     3,308       $ 3,159,379   

AlixPartners, LLP

     

Term Loan, 4.50%, Maturing July 28, 2022

     599         594,759   

Altisource Solutions S.a.r.l.

     

Term Loan, 4.50%, Maturing December 9, 2020

     2,260         1,910,061   

BakerCorp International, Inc.

     

Term Loan, 4.25%, Maturing February 14, 2020

     814         695,934   

Brickman Group Ltd., LLC

     

Term Loan, 4.00%, Maturing December 18, 2020

     809         785,719   

Brock Holdings III, Inc.

     

Term Loan, 6.00%, Maturing March 16, 2017

     1,033         961,030   

CCC Information Services, Inc.

     

Term Loan, 4.00%, Maturing December 20, 2019

     413         403,443   

Ceridian, LLC

     

Term Loan, 4.50%, Maturing September 15, 2020

     612         537,020   

Corporate Capital Trust, Inc.

     

Term Loan, 4.00%, Maturing May 15, 2019

     933         914,708   

CPM Holdings, Inc.

     

Term Loan, 6.00%, Maturing April 11, 2022

     274         270,889   

Crossmark Holdings, Inc.

     

Term Loan, 4.50%, Maturing December 20, 2019

     1,156         843,823   

Education Management, LLC

     

Term Loan, 5.50%, Maturing July 2, 2020(3)

     266         122,250   

Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020(3)

     473         116,888   

 

2

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

EIG Investors Corp.

     

Term Loan, 5.00%, Maturing November 9, 2019

     4,638       $ 4,509,745   

Emdeon Business Services, LLC

     

Term Loan, 3.75%, Maturing November 2, 2018

     1,401         1,380,318   

Extreme Reach, Inc.

     

Term Loan, 7.25%, Maturing February 7, 2020

     1,541         1,510,078   

Garda World Security Corporation

     

Term Loan, 4.00%, Maturing November 6, 2020

     110         104,650   

Term Loan, 4.00%, Maturing November 6, 2020

     976         930,642   

Term Loan, 4.75%, Maturing November 6, 2020

   CAD 1,344         910,078   

IG Investment Holdings, LLC

     

Term Loan, 6.00%, Maturing October 29, 2021

     1,858         1,846,296   

IMS Health Incorporated

     

Term Loan, 3.50%, Maturing March 17, 2021

     1,933         1,901,336   

Information Resources, Inc.

     

Term Loan, 4.75%, Maturing September 30, 2020

     1,173         1,172,191   

ION Trading Finance Limited

     

Term Loan, 4.25%, Maturing June 10, 2021

     474         460,783   

Term Loan, 4.50%, Maturing June 10, 2021

   EUR   1,025         1,108,648   

KAR Auction Services, Inc.

     

Term Loan, 3.50%, Maturing March 11, 2021

     2,673         2,669,301   

Kronos Incorporated

     

Term Loan, 4.50%, Maturing October 30, 2019

     2,325         2,290,304   

Term Loan - Second Lien, 9.75%, Maturing April 30, 2020

     1,073         1,066,963   

MCS AMS Sub-Holdings, LLC

     

Term Loan, 7.50%, Maturing October 15, 2019

     914         776,688   

Monitronics International, Inc.

     

Term Loan, 4.25%, Maturing March 23, 2018

     527         510,774   

Term Loan, 4.50%, Maturing April 2, 2022

     670         629,741   

PGX Holdings, Inc.

     

Term Loan, 5.75%, Maturing September 29, 2020

     549         546,175   

RCS Capital Corporation

     

DIP Loan, Maturing February 2, 2017(2)

     700         693,000   

Term Loan, 7.50%, Maturing April 29, 2019(3)

     2,251         1,575,966   

Term Loan - Second Lien, 11.50%, Maturing April 29, 2021(3)

     1,000         172,600   

Sensus USA, Inc.

     

Term Loan, 4.50%, Maturing May 9, 2017

     643         620,474   

Term Loan - Second Lien, 8.50%, Maturing May 9, 2018

     1,000         980,000   

ServiceMaster Company

     

Term Loan, 4.25%, Maturing July 1, 2021

     3,390         3,370,583   

TNS, Inc.

     

Term Loan, 5.00%, Maturing February 14, 2020

     629         619,844   

Travelport Finance (Luxembourg) S.a.r.l.

     

Term Loan, 5.75%, Maturing September 2, 2021

     1,188         1,152,360   

WASH Multifamily Laundry Systems, LLC

     

Term Loan, 4.25%, Maturing May 14, 2022

     44         43,206   

Term Loan, 4.25%, Maturing May 14, 2022

     254         246,712   

West Corporation

     

Term Loan, 3.25%, Maturing June 30, 2018

     3,217         3,162,468   
     

 

 

 
      $ 48,277,827   
     

 

 

 

Cable and Satellite Television — 3.2%

     

Altice US Finance I Corporation

     

Term Loan, 4.25%, Maturing December 14, 2022

     1,087       $ 1,069,335   

MCC Iowa, LLC

     

Term Loan, 3.75%, Maturing June 30, 2021

     862         857,700   

Neptune Finco Corp.

     

Term Loan, 5.00%, Maturing October 9, 2022

     3,900         3,898,916   

 

3

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Numericable Group SA

     

Term Loan, 4.56%, Maturing July 29, 2022

   EUR 698       $ 743,177   

Term Loan, 4.56%, Maturing July 31, 2022

     374         357,113   

Numericable U.S., LLC

     

Term Loan, 4.50%, Maturing May 21, 2020

     1,033         995,881   

Term Loan, 4.50%, Maturing May 21, 2020

     1,194         1,151,126   

Virgin Media Investment Holdings Limited

     

Term Loan, 3.50%, Maturing June 30, 2023

     2,629         2,578,840   

Term Loan, 4.25%, Maturing June 30, 2023

   GBP   1,475         2,065,867   

Ziggo B.V.

     

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 382         405,339   

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 593         629,200   

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 1,074         1,138,862   
     

 

 

 
      $ 15,891,356   
     

 

 

 

Chemicals and Plastics — 7.3%

     

Allnex (Luxembourg) & Cy S.C.A.

     

Term Loan, 4.50%, Maturing October 3, 2019

     273       $ 269,639   

Allnex USA, Inc.

     

Term Loan, 4.50%, Maturing October 3, 2019

     141         139,903   

Aruba Investments, Inc.

     

Term Loan, 4.50%, Maturing February 2, 2022

     300         291,736   

Axalta Coating Systems US Holdings, Inc.

     

Term Loan, 3.75%, Maturing February 1, 2020

     3,552         3,525,849   

Chemours Company (The)

     

Term Loan, 3.75%, Maturing May 12, 2022

     2,512         2,240,202   

ECO Services Operations, LLC

     

Term Loan, 4.75%, Maturing December 4, 2021

     1,190         1,172,135   

Emerald Performance Materials, LLC

     

Term Loan, 4.50%, Maturing August 1, 2021

     509         502,054   

Term Loan - Second Lien, 7.75%, Maturing August 1, 2022

     550         520,552   

Flint Group GmbH

     

Term Loan, 4.50%, Maturing September 7, 2021

     147         141,943   

Flint Group US, LLC

     

Term Loan, 4.50%, Maturing September 7, 2021

     890         860,124   

GCP Applied Technologies, Inc.

     

Term Loan, Maturing February 3, 2022(2)

     550         552,063   

Gemini HDPE, LLC

     

Term Loan, 4.75%, Maturing August 7, 2021

     2,217         2,186,538   

Huntsman International, LLC

     

Term Loan, 3.75%, Maturing October 1, 2021

     988         975,175   

Ineos Finance PLC

     

Term Loan, 4.25%, Maturing March 31, 2022

   EUR 422         441,653   

Ineos Group Holdings S.A.

     

Term Loan, 4.00%, Maturing December 15, 2020

   EUR 987         1,030,635   

Ineos US Finance, LLC

     

Term Loan, 3.75%, Maturing May 4, 2018

     4,124         4,015,434   

Term Loan, 4.25%, Maturing March 31, 2022

     695         666,632   

Kronos Worldwide, Inc.

     

Term Loan, 4.00%, Maturing February 18, 2020

     295         264,722   

MacDermid, Inc.

     

Term Loan, 5.50%, Maturing June 7, 2020

     549         511,479   

Term Loan, 5.50%, Maturing June 7, 2020

     594         553,657   

Term Loan, 5.50%, Maturing June 7, 2020

     1,299         1,211,467   

Minerals Technologies, Inc.

     

Term Loan, 3.75%, Maturing May 9, 2021

     1,254         1,238,173   

Orion Engineered Carbons GmbH

     

Term Loan, 5.00%, Maturing July 25, 2021

     524         521,176   

Term Loan, 5.00%, Maturing July 25, 2021

   EUR 853         929,475   

 

4

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

OXEA Finance, LLC

     

Term Loan, 4.25%, Maturing January 15, 2020

     684       $ 667,144   

PolyOne Corporation

     

Term Loan, 3.75%, Maturing November 11, 2022

     500         501,250   

PQ Corporation

     

Term Loan, 4.00%, Maturing August 7, 2017

     1,140         1,131,291   

Solenis International L.P.

     

Term Loan, 4.25%, Maturing July 31, 2021

     296         284,122   

Term Loan, 4.50%, Maturing July 31, 2021

   EUR 963         1,036,496   

Sonneborn Refined Products B.V.

     

Term Loan, 4.75%, Maturing December 10, 2020

     71         70,009   

Sonneborn, LLC

     

Term Loan, 4.75%, Maturing December 10, 2020

     400         396,715   

Trinseo Materials Operating S.C.A.

     

Term Loan, 4.25%, Maturing November 5, 2021

     323         315,412   

Tronox Pigments (Netherlands) B.V.

     

Term Loan, 4.25%, Maturing March 19, 2020

     2,944         2,585,204   

Univar, Inc.

     

Term Loan, 4.25%, Maturing July 1, 2022

     3,242         3,149,251   

Zep, Inc.

     

Term Loan, 5.75%, Maturing June 27, 2022

     1,343         1,328,978   
     

 

 

 
      $ 36,228,288   
     

 

 

 

Clothing/Textiles — 0.3%

     

Ascena Retail Group, Inc.

     

Term Loan, 5.25%, Maturing August 21, 2022

     1,625       $ 1,539,281   
     

 

 

 
      $ 1,539,281   
     

 

 

 

Conglomerates — 1.0%

     

Bestway UK Holdco Limited

     

Term Loan, 5.26%, Maturing October 6, 2021

   GBP   1,103       $ 1,571,760   

Match Group, Inc.

     

Term Loan, 5.50%, Maturing November 16, 2022

     1,150         1,147,844   

RGIS Services, LLC

     

Term Loan, 5.50%, Maturing October 18, 2017

     2,798         2,049,878   
     

 

 

 
      $ 4,769,482   
     

 

 

 

Containers and Glass Products — 2.9%

     

Berry Plastics Holding Corporation

     

Term Loan, 3.50%, Maturing February 8, 2020

     2,115       $ 2,089,541   

Term Loan, 3.75%, Maturing January 6, 2021

     612         605,211   

Term Loan, 4.00%, Maturing October 1, 2022

     1,095         1,092,253   

Hilex Poly Co., LLC

     

Term Loan, 6.00%, Maturing December 5, 2021

     1,485         1,486,856   

Libbey Glass, Inc.

     

Term Loan, 3.75%, Maturing April 9, 2021

     394         382,180   

Onex Wizard Acquisition Company I S.a.r.l.

     

Term Loan, 4.25%, Maturing March 13, 2022

   EUR 1,985         2,152,463   

Onex Wizard US Acquisition, Inc.

     

Term Loan, 4.25%, Maturing March 13, 2022

     1,216         1,203,749   

Pelican Products, Inc.

     

Term Loan, 5.25%, Maturing April 10, 2020

     369         355,755   

Reynolds Group Holdings, Inc.

     

Term Loan, 4.50%, Maturing December 1, 2018

     2,770         2,761,833   

TricorBraun, Inc.

     

Term Loan, 4.00%, Maturing May 3, 2018

     574         561,032   

Verallia

     

Term Loan, 5.00%, Maturing July 24, 2022

   EUR 1,650         1,787,649   
     

 

 

 
      $ 14,478,522   
     

 

 

 

 

5

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Cosmetics/Toiletries — 1.8%

     

Coty, Inc.

     

Term Loan, 3.75%, Maturing October 27, 2022

     875       $ 873,359   

Galleria Co.

     

Term Loan, 3.75%, Maturing September 22, 2022

     1,725         1,719,609   

KIK Custom Products, Inc.

     

Term Loan, 6.00%, Maturing August 26, 2022

     1,571         1,513,130   

Prestige Brands, Inc.

     

Term Loan, 3.50%, Maturing September 3, 2021

     719         718,208   

Revlon Consumer Products Corporation

     

Term Loan, 4.00%, Maturing October 8, 2019

     1,179         1,176,518   

Sun Products Corporation (The)

     

Term Loan, 5.50%, Maturing March 23, 2020

     3,111         2,969,245   
     

 

 

 
      $ 8,970,069   
     

 

 

 

Drugs — 3.6%

     

Alkermes, Inc.

     

Term Loan, 3.50%, Maturing September 18, 2019

     364       $ 360,539   

AMAG Pharmaceuticals, Inc.

     

Term Loan, 4.75%, Maturing August 13, 2021

     1,062         1,027,062   

DPx Holdings B.V.

     

Term Loan, 4.25%, Maturing March 11, 2021

     1,361         1,307,885   

Term Loan, 4.50%, Maturing March 11, 2021

   EUR 695         750,887   

Endo Luxembourg Finance Company I S.a.r.l.

     

Term Loan, 3.75%, Maturing September 26, 2022

       2,625         2,595,469   

Horizon Pharma, Inc.

     

Term Loan, 4.50%, Maturing May 7, 2021

     1,219         1,167,073   

Mallinckrodt International Finance S.A.

     

Term Loan, 3.25%, Maturing March 19, 2021

     1,498         1,451,490   

Valeant Pharmaceuticals International, Inc.

     

Term Loan, 3.75%, Maturing December 11, 2019

     2,561         2,465,138   

Term Loan, 3.75%, Maturing August 5, 2020

     3,125         3,003,975   

Term Loan, 4.00%, Maturing April 1, 2022

     3,589         3,454,172   
     

 

 

 
      $ 17,583,690   
     

 

 

 

Ecological Services and Equipment — 1.1%

     

ADS Waste Holdings, Inc.

     

Term Loan, 3.75%, Maturing October 9, 2019

     3,703       $ 3,606,215   

EnergySolutions, LLC

     

Term Loan, 6.75%, Maturing May 29, 2020

     2,197         1,845,630   
     

 

 

 
      $ 5,451,845   
     

 

 

 

Electronics/Electrical — 15.6%

     

Answers Corporation

     

Term Loan, 6.25%, Maturing October 3, 2021

     2,081       $ 1,399,796   

Avago Technologies Cayman Ltd.

     

Term Loan, 3.75%, Maturing May 6, 2021

     5,307         5,285,189   

Term Loan, Maturing February 1, 2023(2)

     8,775         8,647,034   

Campaign Monitor Finance Pty. Limited

     

Term Loan, 6.25%, Maturing March 18, 2021

     707         696,784   

CommScope, Inc.

     

Term Loan, 3.83%, Maturing December 29, 2022

     923         919,948   

CompuCom Systems, Inc.

     

Term Loan, 4.25%, Maturing May 11, 2020

     1,195         752,687   

Dell International, LLC

     

Term Loan, 4.00%, Maturing April 29, 2020

     5,856         5,845,584   

Deltek, Inc.

     

Term Loan, 5.00%, Maturing June 25, 2022

     293         288,379   

Term Loan - Second Lien, 9.50%, Maturing June 25, 2023

     400         394,000   

Entegris, Inc.

     

Term Loan, 3.50%, Maturing April 30, 2021

     336         333,608   

 

6

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Excelitas Technologies Corp.

     

Term Loan, 6.00%, Maturing October 31, 2020

     822       $ 724,100   

Eze Castle Software, Inc.

     

Term Loan, 4.00%, Maturing April 6, 2020

     1,485         1,460,259   

Go Daddy Operating Company, LLC

     

Term Loan, 4.25%, Maturing May 13, 2021

     4,477         4,461,849   

Hyland Software, Inc.

     

Term Loan, 4.75%, Maturing July 1, 2022

     587         578,404   

Term Loan - Second Lien, 8.25%, Maturing July 1, 2023

     550         512,875   

Infor (US), Inc.

     

Term Loan, 3.75%, Maturing June 3, 2020

     5,171         4,877,284   

Informatica Corporation

     

Term Loan, 4.50%, Maturing August 5, 2022

     3,416         3,270,385   

Lattice Semiconductor Corporation

     

Term Loan, 5.25%, Maturing March 10, 2021

     571         539,300   

M/A-COM Technology Solutions Holdings, Inc.

     

Term Loan, 4.50%, Maturing May 7, 2021

     517         517,125   

MA FinanceCo., LLC

     

Term Loan, 4.50%, Maturing November 20, 2019

     1,018         1,004,527   

Term Loan, 5.25%, Maturing November 19, 2021

     1,954         1,933,485   

Magic Newco, LLC

     

Term Loan, 5.00%, Maturing December 12, 2018

     1,355         1,354,030   

MH Sub I, LLC

     

Term Loan, 4.75%, Maturing July 8, 2021

     1,234         1,209,725   

Microsemi Corporation

     

Term Loan, 5.25%, Maturing January 15, 2023

     1,425         1,416,688   

NXP B.V.

     

Term Loan, 3.75%, Maturing December 7, 2020

     1,750         1,747,968   

Orbotech, Inc.

     

Term Loan, 5.00%, Maturing August 6, 2020

     359         355,858   

Renaissance Learning, Inc.

     

Term Loan, 4.50%, Maturing April 9, 2021

     2,176         2,090,238   

Term Loan - Second Lien, 8.00%, Maturing April 11, 2022

     225         205,312   

Rocket Software, Inc.

     

Term Loan, 5.75%, Maturing February 8, 2018

     1,189         1,184,437   

Term Loan - Second Lien, 10.25%, Maturing February 8, 2019

     1,750         1,742,708   

RP Crown Parent, LLC

     

Term Loan, 6.00%, Maturing December 21, 2018

     5,686         5,032,503   

SGS Cayman L.P.

     

Term Loan, 6.00%, Maturing April 23, 2021

     200         199,947   

SkillSoft Corporation

     

Term Loan, 5.75%, Maturing April 28, 2021

     3,556         2,662,870   

Smart Technologies ULC

     

Term Loan, 10.50%, Maturing January 31, 2018

     540         516,539   

SS&C Technologies, Inc.

     

Term Loan, 4.01%, Maturing July 8, 2022

     1,967         1,959,793   

Term Loan, 4.02%, Maturing July 8, 2022

     283         281,578   

SunEdison Semiconductor B.V.

     

Term Loan, 6.50%, Maturing May 27, 2019

     1,877         1,858,503   

SurveyMonkey, Inc.

     

Term Loan, 6.25%, Maturing February 5, 2019

     2,017         1,976,623   

Sutherland Global Services, Inc.

     

Term Loan, 6.00%, Maturing April 23, 2021

     861         858,962   

Sybil Software, LLC

     

Term Loan, 4.25%, Maturing March 20, 2020

     1,601         1,594,956   

Vertafore, Inc.

     

Term Loan, 4.25%, Maturing October 3, 2019

     913         907,651   

Wall Street Systems Delaware, Inc.

     

Term Loan, 4.50%, Maturing April 30, 2021

     1,215         1,200,295   

 

7

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Zebra Technologies Corporation

     

Term Loan, 4.75%, Maturing October 27, 2021

     1,966       $ 1,968,355   
     

 

 

 
      $ 76,768,141   
     

 

 

 

Financial Intermediaries — 4.8%

     

Armor Holding II, LLC

     

Term Loan, 5.75%, Maturing June 26, 2020

     1,977       $ 1,917,544   

Term Loan - Second Lien, 10.25%, Maturing December 26, 2020

     1,525         1,483,063   

Citco Funding, LLC

     

Term Loan, 4.25%, Maturing June 29, 2018

     1,988         1,981,313   

First Data Corporation

     

Term Loan, 3.93%, Maturing March 24, 2018

     4,961         4,903,518   

Term Loan, 3.93%, Maturing September 24, 2018

     1,875         1,853,906   

Term Loan, 4.18%, Maturing July 8, 2022

     750         738,348   

Grosvenor Capital Management Holdings, LLP

     

Term Loan, 3.75%, Maturing January 4, 2021

     1,119         1,079,992   

Guggenheim Partners, LLC

     

Term Loan, 4.25%, Maturing July 22, 2020

     1,323         1,315,048   

Hamilton Lane Advisors, LLC

     

Term Loan, 4.25%, Maturing July 9, 2022

     499         496,048   

Harbourvest Partners, LLC

     

Term Loan, 3.25%, Maturing February 4, 2021

     754         748,797   

Medley, LLC

     

Term Loan, 6.50%, Maturing June 15, 2019

     497         500,166   

MIP Delaware, LLC

     

Term Loan, 4.00%, Maturing March 9, 2020

     437         435,371   

NXT Capital, Inc.

     

Term Loan, 6.25%, Maturing September 4, 2018

     123         122,802   

Term Loan, 6.25%, Maturing September 4, 2018

     670         669,860   

Term Loan, 6.25%, Maturing September 4, 2018

     733         733,125   

Ocwen Financial Corporation

     

Term Loan, 5.50%, Maturing February 15, 2018

     985         985,362   

Sesac Holdco II, LLC

     

Term Loan, 5.25%, Maturing February 8, 2019

     960         951,105   

Starwood Property Trust, Inc.

     

Term Loan, 3.50%, Maturing April 17, 2020

     267         263,927   

Walker & Dunlop, Inc.

     

Term Loan, 5.25%, Maturing December 11, 2020

     626         627,164   

Walter Investment Management Corp.

     

Term Loan, 4.75%, Maturing December 19, 2020

     2,311         1,805,421   
     

 

 

 
      $ 23,611,880   
     

 

 

 

Food Products — 4.5%

     

AdvancePierre Foods, Inc.

     

Term Loan, 5.75%, Maturing July 10, 2017

     3,598       $ 3,597,709   

Term Loan - Second Lien, 9.50%, Maturing October 10, 2017

     700         692,125   

Blue Buffalo Company Ltd.

     

Term Loan, 3.75%, Maturing August 8, 2019

     1,258         1,258,066   

Charger OpCo B.V.

     

Term Loan, 4.25%, Maturing July 2, 2022

   EUR 552         598,541   

Term Loan, 4.25%, Maturing July 2, 2022

       2,110         2,101,842   

Clearwater Seafoods Limited Partnership

     

Term Loan, 4.75%, Maturing June 26, 2019

     901         900,672   

Del Monte Foods, Inc.

     

Term Loan, 4.25%, Maturing February 18, 2021

     1,191         1,143,376   

Term Loan - Second Lien, 8.25%, Maturing August 18, 2021

     1,500         1,230,000   

Diamond Foods, Inc.

     

Term Loan, 4.25%, Maturing August 20, 2018

     192         191,941   

Dole Food Company, Inc.

     

Term Loan, 4.50%, Maturing November 1, 2018

     1,271         1,248,522   

 

8

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

High Liner Foods Incorporated

     

Term Loan, 4.25%, Maturing April 24, 2021

     835       $ 823,642   

JBS USA, LLC

     

Term Loan, 3.75%, Maturing May 25, 2018

     862         857,738   

Term Loan, 3.75%, Maturing September 18, 2020

     1,540         1,497,225   

Term Loan, 4.00%, Maturing October 30, 2022

     675         657,914   

NBTY, Inc.

     

Term Loan, 3.50%, Maturing October 1, 2017

     5,199         5,136,378   

Post Holdings, Inc.

     

Term Loan, 3.75%, Maturing June 2, 2021

     266         265,664   
     

 

 

 
      $ 22,201,355   
     

 

 

 

Food Service — 4.0%

     

1011778 B.C. Unlimited Liability Company

     

Term Loan, 3.75%, Maturing December 10, 2021

     4,688       $ 4,665,243   

Aramark Services, Inc.

     

Term Loan, 3.93%, Maturing July 26, 2016

     20         19,953   

Term Loan, 3.93%, Maturing July 26, 2016

     36         35,895   

Centerplate, Inc.

     

Term Loan, 4.75%, Maturing November 26, 2019

     1,005         997,361   

Landry’s, Inc.

     

Term Loan, 4.00%, Maturing April 24, 2018

     2,052         2,046,527   

NPC International, Inc.

     

Term Loan, 4.75%, Maturing December 28, 2018

     1,637         1,623,568   

P.F. Chang’s China Bistro, Inc.

     

Term Loan, 4.25%, Maturing July 2, 2019

     402         383,801   

Seminole Hard Rock Entertainment, Inc.

     

Term Loan, 3.50%, Maturing May 14, 2020

     268         263,433   

US Foods, Inc.

     

Term Loan, 4.50%, Maturing March 31, 2019

     4,851         4,789,992   

Weight Watchers International, Inc.

     

Term Loan, 4.00%, Maturing April 2, 2020

     6,735         4,673,786   
     

 

 

 
      $ 19,499,559   
     

 

 

 

Food/Drug Retailers — 2.8%

     

Albertsons, LLC

     

Term Loan, 5.50%, Maturing March 21, 2019

     2,311       $ 2,290,900   

Term Loan, 5.13%, Maturing August 25, 2019

     3,128         3,067,127   

Term Loan, 5.50%, Maturing August 25, 2021

     893         875,943   

Rite Aid Corporation

     

Term Loan - Second Lien, 5.75%, Maturing August 21, 2020

     1,450         1,453,625   

Term Loan - Second Lien, 4.88%, Maturing June 21, 2021

     1,500         1,499,766   

Supervalu, Inc.

     

Term Loan, 4.50%, Maturing March 21, 2019

     4,754         4,593,925   
     

 

 

 
      $ 13,781,286   
     

 

 

 

Health Care — 15.4%

     

Acadia Healthcare Company, Inc.

     

Term Loan, 4.25%, Maturing February 11, 2022

     248       $ 246,159   

ADMI Corp.

     

Term Loan, 5.50%, Maturing April 30, 2022

     323         323,914   

Akorn, Inc.

     

Term Loan, 6.00%, Maturing April 16, 2021

     1,037         1,020,026   

Albany Molecular Research, Inc.

     

Term Loan, 5.75%, Maturing July 16, 2021

     698         693,013   

Alere, Inc.

     

Term Loan, 4.25%, Maturing June 18, 2022

     1,600         1,585,679   

Alliance Healthcare Services, Inc.

     

Term Loan, 4.25%, Maturing June 3, 2019

     1,205         1,114,639   

Amneal Pharmaceuticals, LLC

     

Term Loan, 4.50%, Maturing November 1, 2019

     1,718         1,695,811   

 

9

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

AmSurg Corp.

     

Term Loan, 3.50%, Maturing July 16, 2021

     591       $ 588,168   

Ardent Legacy Acquisitions, Inc.

     

Term Loan, 6.50%, Maturing July 21, 2021

     499         496,880   

ATI Holdings, Inc.

     

Term Loan, 5.25%, Maturing December 20, 2019

     931         925,151   

Auris Luxembourg III S.a.r.l.

     

Term Loan, 4.25%, Maturing January 15, 2022

     769         765,511   

BSN Medical, Inc.

     

Term Loan, 4.00%, Maturing August 28, 2019

     569         561,766   

CareCore National, LLC

     

Term Loan, 5.50%, Maturing March 5, 2021

     3,026         2,602,507   

CeramTec Acquisition Corporation

     

Term Loan, 4.25%, Maturing August 30, 2020

     33         32,515   

CHG Healthcare Services, Inc.

     

Term Loan, 4.25%, Maturing November 19, 2019

     1,146         1,136,601   

Community Health Systems, Inc.

     

Term Loan, 3.75%, Maturing December 31, 2019

     2,583         2,489,592   

Term Loan, 4.00%, Maturing January 27, 2021

     4,753         4,584,453   

Concentra, Inc.

     

Term Loan, 4.00%, Maturing June 1, 2022

     299         294,396   

Convatec, Inc.

     

Term Loan, 4.25%, Maturing June 15, 2020

     1,313         1,298,356   

CPI Buyer, LLC

     

Term Loan, 5.50%, Maturing August 18, 2021

     1,012         969,172   

DaVita HealthCare Partners, Inc.

     

Term Loan, 3.50%, Maturing June 24, 2021

     3,177         3,175,037   

DJO Finance, LLC

     

Term Loan, 4.25%, Maturing June 8, 2020

     2,139         2,073,291   

Envision Healthcare Corporation

     

Term Loan, 4.25%, Maturing May 25, 2018

     1,972         1,970,060   

Faenza Acquisition GmbH

     

Term Loan, 4.25%, Maturing August 30, 2020

     95         94,976   

Term Loan, 4.25%, Maturing August 30, 2020

     314         312,107   

Global Healthcare Exchange, LLC

     

Term Loan, 5.50%, Maturing August 15, 2022

     1,072         1,066,281   

Greatbatch Ltd.

     

Term Loan, 5.25%, Maturing September 22, 2022

     950         942,875   

Iasis Healthcare, LLC

     

Term Loan, 4.50%, Maturing May 3, 2018

     1,596         1,579,024   

Indivior Finance S.a.r.l.

     

Term Loan, 7.00%, Maturing December 19, 2019

     974         893,416   

inVentiv Health, Inc.

     

Term Loan, 7.75%, Maturing May 15, 2018

     2,007         1,994,385   

Term Loan, 7.75%, Maturing May 15, 2018

     2,378         2,362,681   

Jaguar Holding Company II

     

Term Loan, 4.25%, Maturing August 18, 2022

     4,378         4,302,479   

Kindred Healthcare, Inc.

     

Term Loan, 4.25%, Maturing April 9, 2021

     1,478         1,429,481   

Kinetic Concepts, Inc.

     

Term Loan, 4.50%, Maturing May 4, 2018

     4,428         4,319,290   

Knowledge Universe Education, LLC

     

Term Loan, 6.00%, Maturing July 28, 2022

     1,122         1,108,160   

LHP Hospital Group, Inc.

     

Term Loan, 9.00%, Maturing July 3, 2018

     1,667         1,633,865   

MMM Holdings, Inc.

     

Term Loan, 9.75%, Maturing December 12, 2017(3)

     526         289,437   

MSO of Puerto Rico, Inc.

     

Term Loan, 9.75%, Maturing December 12, 2017(3)

     383         210,420   

 

10

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

National Mentor Holdings, Inc.

     

Term Loan, 4.25%, Maturing January 31, 2021

     516       $ 508,398   

New Millennium HoldCo, Inc.

     

Term Loan, 7.50%, Maturing December 21, 2020

     2,100         1,908,554   

Onex Carestream Finance L.P.

     

Term Loan, 5.00%, Maturing June 7, 2019

     3,578         3,130,423   

Opal Acquisition, Inc.

     

Term Loan, 5.00%, Maturing November 27, 2020

     3,113         2,572,209   

Ortho-Clinical Diagnostics, Inc.

     

Term Loan, 4.75%, Maturing June 30, 2021

     3,078         2,726,064   

Physio-Control International, Inc.

     

Term Loan, 5.50%, Maturing June 6, 2022

     449         441,020   

PRA Holdings, Inc.

     

Term Loan, 4.50%, Maturing September 23, 2020

     987         983,596   

Radnet Management, Inc.

     

Term Loan, 4.27%, Maturing October 10, 2018

     1,888         1,870,354   

RCHP, Inc.

     

Term Loan, 6.00%, Maturing April 23, 2019

     2,198         2,168,531   

Sage Products Holdings III, LLC

     

Term Loan, 4.25%, Maturing December 13, 2019

     1,079         1,071,202   

Select Medical Corporation

     

Term Loan, 5.00%, Maturing June 1, 2018

     1,110         1,093,716   

Sterigenics-Nordion Holdings, LLC

     

Term Loan, 4.25%, Maturing May 15, 2022

     698         679,048   

Steward Health Care System, LLC

     

Term Loan, 6.75%, Maturing April 12, 2020

     341         329,306   

Tecomet, Inc.

     

Term Loan, 5.75%, Maturing December 5, 2021

     1,139         1,013,265   

Truven Health Analytics, Inc.

     

Term Loan, 4.50%, Maturing June 6, 2019

     2,093         2,014,277   
     

 

 

 
      $ 75,691,537   
     

 

 

 

Home Furnishings — 0.3%

     

Serta Simmons Holdings, LLC

     

Term Loan, 4.25%, Maturing October 1, 2019

     1,461       $ 1,455,228   
     

 

 

 
      $ 1,455,228   
     

 

 

 

Industrial Equipment — 4.5%

     

Apex Tool Group, LLC

     

Term Loan, 4.50%, Maturing January 31, 2020

     1,702       $ 1,628,724   

Delachaux S.A.

     

Term Loan, 4.50%, Maturing October 28, 2021

     433         425,662   

Doosan Infracore International, Inc.

     

Term Loan, 4.50%, Maturing May 28, 2021

     999         960,178   

Filtration Group Corporation

     

Term Loan - Second Lien, 8.25%, Maturing November 21, 2021

     262         254,451   

Gardner Denver, Inc.

     

Term Loan, 4.25%, Maturing July 30, 2020

     3,191         2,881,599   

Term Loan, 4.75%, Maturing July 30, 2020

   EUR 391         378,831   

Husky Injection Molding Systems Ltd.

     

Term Loan, 4.25%, Maturing June 30, 2021

     2,751         2,636,372   

Term Loan - Second Lien, 7.25%, Maturing June 30, 2022

     430         397,496   

Milacron, LLC

     

Term Loan, 4.50%, Maturing September 28, 2020

     1,122         1,100,718   

Paladin Brands Holding, Inc.

     

Term Loan, 7.25%, Maturing August 16, 2019

     663         596,710   

Rexnord, LLC

     

Term Loan, 4.00%, Maturing August 21, 2020

     4,521         4,326,912   

Signode Industrial Group US, Inc.

     

Term Loan, 3.75%, Maturing May 1, 2021

     983         945,924   

 

11

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

STS Operating, Inc.

     

Term Loan, 4.75%, Maturing February 12, 2021

     295       $ 278,539   

Tank Holding Corp.

     

Term Loan, 5.25%, Maturing March 16, 2022

     741         725,931   

Terex Corporation

     

Term Loan, 3.50%, Maturing August 13, 2021

   EUR   1,555         1,684,871   

Term Loan, Maturing December 7, 2022(2)

     1,500         1,470,000   

Unifrax Corporation

     

Term Loan, 4.25%, Maturing November 28, 2018

     268         257,024   

VAT Lux III S.a.r.l.

     

Term Loan, 4.25%, Maturing February 11, 2021

     332         325,750   

Wittur GmbH

     

Term Loan, 6.00%, Maturing February 10, 2022

   EUR 900         951,327   
     

 

 

 
      $ 22,227,019   
     

 

 

 

Insurance — 5.1%

     

Alliant Holdings I, Inc.

     

Term Loan, 4.50%, Maturing August 12, 2022

     1,891       $ 1,845,011   

AmWINS Group, LLC

     

Term Loan, 5.25%, Maturing September 6, 2019

     4,686         4,691,478   

AssuredPartners, Inc.

     

Term Loan, 5.75%, Maturing October 21, 2022

     750         737,812   

Term Loan - Second Lien, 10.00%, Maturing October 20, 2023

     700         675,500   

Asurion, LLC

     

Term Loan, 5.00%, Maturing May 24, 2019

     4,003         3,778,990   

Term Loan, 5.00%, Maturing August 4, 2022

     5,075         4,674,883   

Term Loan - Second Lien, 8.50%, Maturing March 3, 2021

     2,300         1,953,850   

CGSC of Delaware Holding Corporation

     

Term Loan, 5.00%, Maturing April 16, 2020

     463         446,047   

Cunningham Lindsey U.S., Inc.

     

Term Loan, 5.00%, Maturing December 10, 2019

     856         575,591   

Term Loan - Second Lien, 9.25%, Maturing June 10, 2020

     1,000         545,000   

Hub International Limited

     

Term Loan, 4.00%, Maturing October 2, 2020

     2,762         2,657,260   

USI, Inc.

     

Term Loan, 4.25%, Maturing December 27, 2019

     2,729         2,677,563   
     

 

 

 
      $ 25,258,985   
     

 

 

 

Leisure Goods/Activities/Movies — 6.0%

     

AMC Entertainment, Inc.

     

Term Loan, 4.00%, Maturing December 15, 2022

     2,170       $ 2,174,019   

Ancestry.com, Inc.

     

Term Loan, 5.00%, Maturing August 17, 2022

     1,521         1,511,205   

Bombardier Recreational Products, Inc.

     

Term Loan, 3.75%, Maturing January 30, 2019

     3,225         3,185,876   

Bright Horizons Family Solutions, Inc.

     

Term Loan, 4.00%, Maturing January 30, 2020

     873         873,542   

CDS U.S. Intermediate Holdings, Inc.

     

Term Loan, 5.00%, Maturing July 8, 2022

     424         397,092   

ClubCorp Club Operations, Inc.

     

Term Loan, 4.25%, Maturing December 15, 2022

     1,900         1,886,542   

Emerald Expositions Holding, Inc.

     

Term Loan, 4.75%, Maturing June 17, 2020

     939         928,119   

Fender Musical Instruments Corporation

     

Term Loan, 5.75%, Maturing April 3, 2019

     251         247,349   

Lindblad Expeditions, Inc.

     

Term Loan, 5.50%, Maturing May 8, 2021

     136         135,775   

Term Loan, 5.50%, Maturing May 8, 2021

     1,058         1,052,255   

Live Nation Entertainment, Inc.

     

Term Loan, 3.50%, Maturing August 16, 2020

     2,514         2,510,711   

 

12

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

LTF Merger Sub, Inc.

     

Term Loan, 4.25%, Maturing June 10, 2022

     1,343       $ 1,310,508   

Nord Anglia Education Finance, LLC

     

Term Loan, 5.00%, Maturing March 31, 2021

     1,726         1,683,324   

Sabre, Inc.

     

Term Loan, 4.00%, Maturing February 19, 2019

     1,164         1,152,724   

SeaWorld Parks & Entertainment, Inc.

     

Term Loan, 3.00%, Maturing May 14, 2020

     2,743         2,590,523   

Sonifi Solutions, Inc.

     

Term Loan, 6.75%, Maturing March 28, 2018(3)

     1,083         189,596   

SRAM, LLC

     

Term Loan, 4.03%, Maturing April 10, 2020

     1,672         1,363,111   

Steinway Musical Instruments, Inc.

     

Term Loan, 4.75%, Maturing September 19, 2019

     1,982         1,962,244   

Town Sports International, Inc.

     

Term Loan, 4.50%, Maturing November 15, 2020

     1,174         456,288   

WMG Acquisition Corp.

     

Term Loan, 3.75%, Maturing July 1, 2020

     1,031         992,960   

Zuffa, LLC

     

Term Loan, 3.75%, Maturing February 25, 2020

     2,813         2,753,259   
     

 

 

 
      $ 29,357,022   
     

 

 

 

Lodging and Casinos — 5.8%

     

Affinity Gaming, LLC

     

Term Loan, 5.25%, Maturing November 9, 2017

     388       $ 389,183   

Amaya Holdings B.V.

     

Term Loan, 5.00%, Maturing August 1, 2021

     3,338         3,087,455   

Term Loan - Second Lien, 8.00%, Maturing August 1, 2022

     1,997         1,983,895   

Boyd Gaming Corporation

     

Term Loan, 4.00%, Maturing August 14, 2020

     406         403,816   

Caesars Entertainment Operating Company

     

Term Loan, 0.00%, Maturing March 1, 2017(4)

     978         852,832   

CityCenter Holdings, LLC

     

Term Loan, 4.25%, Maturing October 16, 2020

     776         773,057   

Four Seasons Holdings, Inc.

     

Term Loan - Second Lien, 6.25%, Maturing December 27, 2020

     3,577         3,561,985   

Gala Group Finance PLC

     

Term Loan, 5.51%, Maturing May 27, 2018

   GBP   3,125         4,452,534   

Golden Nugget, Inc.

     

Term Loan, 5.50%, Maturing November 21, 2019

     134         133,001   

Term Loan, 5.50%, Maturing November 21, 2019

     313         310,336   

Hilton Worldwide Finance, LLC

     

Term Loan, 3.50%, Maturing October 26, 2020

     4,364         4,361,798   

La Quinta Intermediate Holdings, LLC

     

Term Loan, 3.75%, Maturing April 14, 2021

     778         755,184   

MGM Resorts International

     

Term Loan, 3.50%, Maturing December 20, 2019

     2,425         2,407,065   

Pinnacle Entertainment, Inc.

     

Term Loan, 3.75%, Maturing August 13, 2020

     260         260,105   

Playa Resorts Holding B.V.

     

Term Loan, 4.00%, Maturing August 9, 2019

     489         474,088   

Scientific Games International, Inc.

     

Term Loan, 6.00%, Maturing October 18, 2020

     3,577         3,216,106   

Term Loan, 6.00%, Maturing October 1, 2021

     842         751,940   

Tropicana Entertainment, Inc.

     

Term Loan, 4.00%, Maturing November 27, 2020

     367         362,897   
     

 

 

 
      $ 28,537,277   
     

 

 

 

 

13

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Nonferrous Metals/Minerals — 2.5%

     

Alpha Natural Resources, LLC

     

DIP Loan, 10.00%, Maturing January 31, 2017

     400       $ 380,000   

Term Loan, 3.50%, Maturing May 22, 2020

     2,557         946,260   

Arch Coal, Inc.

     

DIP Loan, Maturing January 12, 2017(2)

     825         783,750   

Term Loan, 6.25%, Maturing May 16, 2018

     3,529         1,049,933   

Dynacast International, LLC

     

Term Loan, 4.50%, Maturing January 28, 2022

     596         583,590   

Fairmount Santrol, Inc.

     

Term Loan, 4.50%, Maturing September 5, 2019

     2,998         1,399,469   

Murray Energy Corporation

     

Term Loan, 7.00%, Maturing April 16, 2017

     298         208,829   

Term Loan, 7.50%, Maturing April 16, 2020

     1,865         883,761   

Noranda Aluminum Acquisition Corporation

     

Term Loan, 5.75%, Maturing February 28, 2019

     987         312,000   

Novelis, Inc.

     

Term Loan, 4.00%, Maturing June 2, 2022

     2,637         2,452,178   

Oxbow Carbon, LLC

     

Term Loan, 4.25%, Maturing July 19, 2019

     1,375         1,237,076   

Term Loan - Second Lien, 8.00%, Maturing January 17, 2020

     2,125         1,646,875   

United Central Industrial Supply Company, LLC

     

Term Loan - Second Lien, 12.50%, Maturing April 9, 2019(3)

     500         308,400   
     

 

 

 
      $ 12,192,121   
     

 

 

 

Oil and Gas — 3.9%

     

Ameriforge Group, Inc.

     

Term Loan, 5.00%, Maturing December 19, 2019

     1,122       $ 456,170   

Bronco Midstream Funding, LLC

     

Term Loan, 5.00%, Maturing August 15, 2020

     1,914         1,521,534   

CITGO Holding, Inc.

     

Term Loan, 9.50%, Maturing May 12, 2018

     940         931,999   

CITGO Petroleum Corporation

     

Term Loan, 4.50%, Maturing July 29, 2021

     963         931,521   

Crestwood Holdings, LLC

     

Term Loan, 7.00%, Maturing June 19, 2019

     1,735         849,968   

Drillships Ocean Ventures, Inc.

     

Term Loan, 5.50%, Maturing July 25, 2021

     2,049         813,127   

Energy Transfer Equity L.P.

     

Term Loan, 4.00%, Maturing December 2, 2019

     395         306,125   

Fieldwood Energy, LLC

     

Term Loan, 3.88%, Maturing September 28, 2018

     1,027         691,512   

Term Loan - Second Lien, 8.38%, Maturing September 30, 2020

     1,700         282,625   

Floatel International, Ltd.

     

Term Loan, 6.00%, Maturing June 27, 2020

     2,192         891,308   

MEG Energy Corp.

     

Term Loan, 3.75%, Maturing March 31, 2020

     7,282         5,720,176   

Paragon Offshore Finance Company

     

Term Loan, 3.75%, Maturing July 18, 2021

     839         190,958   

Samson Investment Company

     

Term Loan - Second Lien, 0.00%, Maturing September 25, 2018(4)

     1,850         50,875   

Seadrill Partners Finco, LLC

     

Term Loan, 4.00%, Maturing February 21, 2021

     4,616         1,840,452   

Sheridan Investment Partners II L.P.

     

Term Loan, 4.25%, Maturing December 16, 2020

     35         17,081   

Term Loan, 4.25%, Maturing December 16, 2020

     94         45,800   

Term Loan, 4.25%, Maturing December 16, 2020

     679         329,242   

Sheridan Production Partners I, LLC

     

Term Loan, 4.25%, Maturing October 1, 2019

     204         117,482   

Term Loan, 4.25%, Maturing October 1, 2019

     335         192,339   

Term Loan, 4.25%, Maturing October 1, 2019

     2,524         1,451,527   

 

14

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Southcross Holdings Borrower L.P.

     

Term Loan, 6.00%, Maturing August 4, 2021

     394       $ 83,725   

Targa Resources Corp.

     

Term Loan, 5.75%, Maturing February 25, 2022

     260         220,093   

Tervita Corporation

     

Term Loan, 6.25%, Maturing May 15, 2018

     1,883         1,464,359   
     

 

 

 
      $ 19,399,998   
     

 

 

 

Publishing — 2.8%

     

682534 N.B., Inc.

     

Term Loan, 12.00%, (8.00% Cash, 4.00% PIK), Maturing October 1, 2020(3)

     324       $ 258,724   

Ascend Learning, LLC

     

Term Loan, 5.50%, Maturing July 31, 2019

     1,744         1,739,361   

Getty Images, Inc.

     

Term Loan, 4.75%, Maturing October 18, 2019

     5,370         3,464,668   

Laureate Education, Inc.

     

Term Loan, 5.00%, Maturing June 15, 2018

     3,896         3,073,358   

McGraw-Hill Global Education Holdings, LLC

     

Term Loan, 4.75%, Maturing March 22, 2019

     687         679,420   

Merrill Communications, LLC

     

Term Loan, 6.25%, Maturing June 1, 2022

     596         500,986   

Multi Packaging Solutions, Inc.

     

Term Loan, 4.25%, Maturing September 30, 2020

     299         294,509   

Penton Media, Inc.

     

Term Loan, 4.75%, Maturing October 3, 2019

     608         603,197   

ProQuest, LLC

     

Term Loan, 5.75%, Maturing October 24, 2021

     1,663         1,621,623   

Springer Science+Business Media Deutschland GmbH

     

Term Loan, 4.75%, Maturing August 14, 2020

     1,422         1,365,542   
     

 

 

 
      $ 13,601,388   
     

 

 

 

Radio and Television — 3.8%

     

ALM Media Holdings, Inc.

     

Term Loan, 5.50%, Maturing July 31, 2020

     412       $ 373,305   

AP NMT Acquisition B.V.

     

Term Loan, 6.75%, Maturing August 13, 2021

     1,960         1,712,774   

Block Communications, Inc.

     

Term Loan, 4.00%, Maturing November 7, 2021

     222         220,799   

CCO Safari III, LLC

     

Term Loan, 3.50%, Maturing January 24, 2023

     2,075         2,076,513   

Cumulus Media Holdings, Inc.

     

Term Loan, 4.25%, Maturing December 23, 2020

     4,137         3,054,347   

Entercom Radio, LLC

     

Term Loan, 4.00%, Maturing November 23, 2018

     356         354,698   

Gray Television, Inc.

     

Term Loan, 3.75%, Maturing June 10, 2021

     245         242,805   

Hubbard Radio, LLC

     

Term Loan, 4.25%, Maturing May 27, 2022

     646         600,367   

iHeartCommunications, Inc.

     

Term Loan, 7.18%, Maturing January 30, 2019

     2,132         1,420,763   

Term Loan, 7.93%, Maturing July 30, 2019

     364         242,218   

MGOC, Inc.

     

Term Loan, 4.00%, Maturing July 31, 2020

     1,332         1,328,381   

Mission Broadcasting, Inc.

     

Term Loan, 3.75%, Maturing October 1, 2020

     629         624,454   

Nexstar Broadcasting, Inc.

     

Term Loan, 3.75%, Maturing October 1, 2020

     714         708,141   

Raycom TV Broadcasting, LLC

     

Term Loan, 3.75%, Maturing August 4, 2021

     838         832,902   

 

15

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Sinclair Television Group, Inc.

     

Term Loan, 3.00%, Maturing April 9, 2020

     486       $ 479,383   

Univision Communications, Inc.

     

Term Loan, 4.00%, Maturing March 1, 2020

     4,713         4,610,478   
     

 

 

 
      $ 18,882,328   
     

 

 

 

Retailers (Except Food and Drug) — 8.5%

     

99 Cents Only Stores

     

Term Loan, 4.50%, Maturing January 11, 2019

     1,902       $ 1,199,663   

B&M Retail Limited

     

Term Loan, 3.34%, Maturing May 21, 2019

   GBP 350         494,455   

Term Loan, 3.84%, Maturing April 28, 2020

   GBP 275         388,629   

Bass Pro Group, LLC

     

Term Loan, 4.00%, Maturing June 5, 2020

     2,346         2,256,121   

CDW, LLC

     

Term Loan, 3.25%, Maturing April 29, 2020

     4,839         4,762,411   

David’s Bridal, Inc.

     

Term Loan, 5.25%, Maturing October 11, 2019

     621         536,423   

Dollar Tree, Inc.

     

Term Loan, 3.50%, Maturing July 6, 2022

     2,011         2,008,898   

Evergreen Acqco 1 L.P.

     

Term Loan, 5.00%, Maturing July 9, 2019

     651         456,001   

Harbor Freight Tools USA, Inc.

     

Term Loan, 4.75%, Maturing July 26, 2019

     996         998,612   

J. Crew Group, Inc.

     

Term Loan, 4.00%, Maturing March 5, 2021

     2,849         1,929,350   

Jo-Ann Stores, Inc.

     

Term Loan, 4.00%, Maturing March 16, 2018

     1,807         1,697,008   

Men’s Wearhouse, Inc. (The)

     

Term Loan, 4.50%, Maturing June 18, 2021

     1,509         1,355,815   

Michaels Stores, Inc.

     

Term Loan, 3.75%, Maturing January 28, 2020

     2,504         2,481,232   

Term Loan, 4.00%, Maturing January 28, 2020

     809         804,234   

Neiman Marcus Group, Inc. (The)

     

Term Loan, 4.25%, Maturing October 25, 2020

     4,203         3,662,925   

Party City Holdings, Inc.

     

Term Loan, 4.25%, Maturing August 19, 2022

     2,693         2,630,408   

Pep Boys-Manny, Moe & Jack (The)

     

Term Loan, 5.50%, Maturing October 11, 2018

     461         460,606   

PetSmart, Inc.

     

Term Loan, 4.25%, Maturing March 11, 2022

     4,714         4,574,910   

PFS Holding Corporation

     

Term Loan, 4.50%, Maturing January 31, 2021

     1,702         1,549,053   

Pier 1 Imports (U.S.), Inc.

     

Term Loan, 4.50%, Maturing April 30, 2021

     517         473,169   

Pilot Travel Centers, LLC

     

Term Loan, 3.75%, Maturing October 1, 2021

     1,473         1,476,300   

Rent-A-Center, Inc.

     

Term Loan, 3.75%, Maturing March 19, 2021

     491         459,613   

Spin Holdco, Inc.

     

Term Loan, 4.25%, Maturing November 14, 2019

     2,568         2,447,911   

Toys ‘R’ Us Property Company I, LLC

     

Term Loan, 6.00%, Maturing August 21, 2019

     778         701,675   

Vivarte SA

     

Term Loan, 11.00%, (4.00% Cash, 7.00% PIK), Maturing October 29, 2019(5)

   EUR 631         683,365   

Term Loan, 5.00%, (1.25% Cash, 3.75% PIK), Maturing October 29, 2020(6)

   EUR 945         708,876   

Term Loan, 0.10%, (0.10% Cash, 0.00% PIK), Maturing October 29, 2021(3)

   EUR 204         0   

Wilton Brands, LLC

     

Term Loan, 8.50%, Maturing August 30, 2018

     501         472,138   
     

 

 

 
      $ 41,669,801   
     

 

 

 

 

16

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

Steel — 1.5%

     

FMG Resources (August 2006) Pty. Ltd.

     

Term Loan, 4.25%, Maturing June 30, 2019

     8,970       $ 6,267,572   

JMC Steel Group, Inc.

     

Term Loan, 4.75%, Maturing April 1, 2017

     599         582,659   

Neenah Foundry Company

     

Term Loan, 6.76%, Maturing April 26, 2017

     381         379,512   
     

 

 

 
      $ 7,229,743   
     

 

 

 

Surface Transport — 0.7%

     

Hertz Corporation (The)

     

Term Loan, 3.75%, Maturing March 11, 2018

     1,746       $ 1,742,181   

Kenan Advantage Group, Inc.

     

Term Loan, 1.50%, Maturing January 31, 2017(7)

     48         47,334   

Term Loan, 4.00%, Maturing July 31, 2022

     109         107,838   

Term Loan, 4.00%, Maturing July 31, 2022

     342         338,086   

Stena International S.a.r.l.

     

Term Loan, 4.00%, Maturing March 3, 2021

     1,547         1,237,950   
     

 

 

 
      $ 3,473,389   
     

 

 

 

Telecommunications — 4.0%

     

Intelsat Jackson Holdings S.A.

     

Term Loan, 3.75%, Maturing June 30, 2019

     7,550       $ 7,247,215   

IPC Corp.

     

Term Loan, 5.50%, Maturing August 6, 2021

     2,159         2,012,976   

Mitel US Holdings, Inc.

     

Term Loan, 5.50%, Maturing April 29, 2022

     718         717,243   

Syniverse Holdings, Inc.

     

Term Loan, 4.00%, Maturing April 23, 2019

     1,776         1,242,975   

Term Loan, 4.00%, Maturing April 23, 2019

     1,988         1,391,364   

Telesat Canada

     

Term Loan, 3.50%, Maturing March 28, 2019

     6,588         6,444,801   

Windstream Corporation

     

Term Loan, 3.50%, Maturing August 8, 2019

     883         861,307   
     

 

 

 
      $ 19,917,881   
     

 

 

 

Utilities — 4.2%

     

Calpine Construction Finance Company L.P.

     

Term Loan, 3.00%, Maturing May 3, 2020

     1,024       $ 964,032   

Term Loan, 3.25%, Maturing January 31, 2022

     390         368,247   

Calpine Corporation

     

Term Loan, 4.00%, Maturing October 9, 2019

     798         779,563   

Term Loan, 3.50%, Maturing May 27, 2022

     3,159         3,001,826   

Dynegy Holdings, Inc.

     

Term Loan, 4.00%, Maturing April 23, 2020

     945         913,402   

EFS Cogen Holdings I, LLC

     

Term Loan, 3.75%, Maturing December 17, 2020

     425         413,367   

Electrical Components International, Inc.

     

Term Loan, 5.75%, Maturing May 28, 2021

     864         855,718   

Energy Future Intermediate Holding Co., LLC

     

DIP Loan, 4.25%, Maturing June 19, 2016

     1,725         1,722,844   

EWT Holdings III Corp.

     

Term Loan, 4.75%, Maturing January 15, 2021

     392         384,160   

Term Loan - Second Lien, 8.50%, Maturing January 15, 2022

     1,800         1,674,000   

Granite Acquisition, Inc.

     

Term Loan, 5.00%, Maturing December 19, 2021

     109         99,029   

Term Loan, 5.00%, Maturing December 19, 2021

     2,442         2,228,152   

Invenergy Thermal Operating I, LLC

     

Term Loan, 6.50%, Maturing October 7, 2022

     200         191,520   

 

17

 

 


                                                 
Borrower/Tranche Description    Principal
Amount*
(000’s omitted)
     Value  

La Frontera Generation, LLC

     

Term Loan, 4.50%, Maturing September 30, 2020

     2,523       $ 2,452,271   

Lonestar Generation, LLC

     

Term Loan, 5.25%, Maturing February 20, 2021(3)

     1,312         892,235   

Longview Power, LLC

     

Term Loan, 7.00%, Maturing April 13, 2021

     2,761         2,305,539   

TPF II Power, LLC

     

Term Loan, 5.50%, Maturing October 2, 2021

     1,328         1,273,706   
     

 

 

 
      $ 20,519,611   
     

 

 

 

Total Senior Floating-Rate Loans
(identified cost $763,071,614)

      $ 697,313,344   
     

 

 

 

Corporate Bonds & Notes — 9.7%

     
Security    Principal
Amount*
(000’s omitted)
     Value  

Aerospace and Defense — 0.1%

     

Aerojet Rocketdyne Holdings, Inc.

     

7.125%, 3/15/21

     70       $ 71,400   

CBC Ammo, LLC/CBC FinCo, Inc.

     

7.25%, 11/15/21(8)

     75         61,500   

Huntington Ingalls Industries, Inc.

     

5.00%, 11/15/25(8)

     15         15,487   

Orbital ATK, Inc.

     

5.25%, 10/1/21

     45         45,675   

TransDigm, Inc.

     

7.50%, 7/15/21

     10         10,250   

6.00%, 7/15/22

     85         83,725   

6.50%, 7/15/24

     80         78,600   
     

 

 

 
      $ 366,637   
     

 

 

 

Automotive — 0.1%

     

American Axle & Manufacturing, Inc.

     

5.125%, 2/15/19

     20       $ 19,750   

General Motors Financial Co., Inc.

     

4.75%, 8/15/17

     70         71,995   

3.25%, 5/15/18

     10         10,032   

Navistar International Corp.

     

8.25%, 11/1/21

     30         18,863   

ZF North America Capital, Inc.

     

4.50%, 4/29/22(8)

     150         144,937   
     

 

 

 
      $ 265,577   
     

 

 

 

Beverage and Tobacco — 0.1%

     

Constellation Brands, Inc.

     

6.00%, 5/1/22

     105       $ 117,075   

4.25%, 5/1/23

     105         107,756   
     

 

 

 
      $ 224,831   
     

 

 

 

Brokerage/Securities Dealers/Investment Houses — 0.0%(9)

     

Alliance Data Systems Corp.

     

6.375%, 4/1/20(8)

     55       $ 55,688   
     

 

 

 
      $ 55,688   
     

 

 

 

Building and Development — 0.2%

     

Builders FirstSource, Inc.

     

10.75%, 8/15/23(8)

     35       $ 32,944   

 

18

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Building Materials Corp. of America

     

5.375%, 11/15/24(8)

     75       $ 74,250   

6.00%, 10/15/25(8)

     55         56,512   

Greystar Real Estate Partners, LLC

     

8.25%, 12/1/22(8)

     50         51,625   

HD Supply, Inc.

     

7.50%, 7/15/20

     110         114,950   

5.25%, 12/15/21(8)

     40         41,300   

Hillman Group, Inc. (The)

     

6.375%, 7/15/22(8)

     75         63,000   

Nortek, Inc.

     

8.50%, 4/15/21

     40         41,500   

Reliance Intermediate Holdings, L.P.

     

6.50%, 4/1/23(8)

     120         123,276   

TRI Pointe Holdings, Inc.

     

4.375%, 6/15/19

     45         43,875   

5.875%, 6/15/24

     60         58,350   

USG Corp.

     

5.875%, 11/1/21(8)

     35         36,225   

5.50%, 3/1/25(8)

     5         5,069   
     

 

 

 
      $ 742,876   
     

 

 

 

Business Equipment and Services — 0.3%

     

Acosta, Inc.

     

7.75%, 10/1/22(8)

     140       $ 115,500   

Audatex North America, Inc.

     

6.00%, 6/15/21(8)

     70         70,788   

FTI Consulting, Inc.

     

6.00%, 11/15/22

     40         41,550   

IMS Health, Inc.

     

6.00%, 11/1/20(8)

     75         77,662   

National CineMedia, LLC

     

6.00%, 4/15/22

     790         812,712   

ServiceMaster Co., LLC (The)

     

7.45%, 8/15/27

     45         44,550   

United Rentals North America, Inc.

     

7.625%, 4/15/22

     40         41,300   

6.125%, 6/15/23

     35         33,863   
     

 

 

 
      $ 1,237,925   
     

 

 

 

Cable and Satellite Television — 0.8%

     

AMC Networks, Inc.

     

7.75%, 7/15/21

     45       $ 47,925   

Cable One, Inc.

     

5.75%, 6/15/22(8)

     20         20,250   

CCO Holdings, LLC/CCO Holdings Capital Corp.

     

5.25%, 9/30/22

     155         157,325   

5.75%, 1/15/24

     10         10,313   

5.375%, 5/1/25(8)

     95         94,288   

CSC Holdings, LLC

     

8.625%, 2/15/19

     15         16,013   

5.25%, 6/1/24

     10         8,850   

DISH DBS Corp.

     

6.75%, 6/1/21

     185         189,162   

5.875%, 7/15/22

     35         33,031   

5.875%, 11/15/24

     25         22,313   

IAC/InterActiveCorp

     

4.875%, 11/30/18

     55         55,825   

Numericable-SFR SAS

     

4.875%, 5/15/19(8)

     390         389,512   

 

19

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Virgin Media Secured Finance PLC

     

5.375%, 4/15/21(8)

     833       $ 854,353   

6.00%, 4/15/21(8)

   GBP 855         1,266,624   

5.50%, 1/15/25(8)

     550         554,125   
     

 

 

 
      $ 3,719,909   
     

 

 

 

Chemicals and Plastics — 0.8%

     

Hexion, Inc.

     

6.625%, 4/15/20

     4,450       $ 3,471,000   

Platform Specialty Products Corp.

     

10.375%, 5/1/21(8)

     15         14,062   

6.50%, 2/1/22(8)

     60         47,400   

Scotts Miracle-Gro Co. (The)

     

6.00%, 10/15/23(8)

     15         15,750   

Tronox Finance, LLC

     

6.375%, 8/15/20

     130         80,925   

7.50%, 3/15/22(8)

     20         12,100   

W.R. Grace & Co.

     

5.125%, 10/1/21(8)

     30         30,225   

5.625%, 10/1/24(8)

     10         9,988   
     

 

 

 
      $ 3,681,450   
     

 

 

 

Commercial Services — 0.0%(9)

     

CEB, Inc.

     

5.625%, 6/15/23(8)

     15       $ 15,038   

ExamWorks Group, Inc.

     

5.625%, 4/15/23

     35         35,299   
     

 

 

 
      $ 50,337   
     

 

 

 

Conglomerates — 0.0%(9)

     

Belden, Inc.

     

5.50%, 9/1/22(8)

     20       $ 19,200   

Spectrum Brands, Inc.

     

6.375%, 11/15/20

     50         53,000   

6.625%, 11/15/22

     30         32,100   

5.75%, 7/15/25(8)

     70         72,100   

TMS International Corp.

     

7.625%, 10/15/21(8)

     45         34,988   
     

 

 

 
      $ 211,388   
     

 

 

 

Consumer Products — 0.0%(9)

     

Central Garden & Pet Co.

     

6.125%, 11/15/23

     50       $ 51,375   
     

 

 

 
      $ 51,375   
     

 

 

 

Containers and Glass Products — 0.8%

     

Berry Plastics Corp.

     

6.00%, 10/15/22(8)

     25       $ 25,625   

Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer, Inc.

     

5.625%, 12/15/16(8)

     15         14,850   

Owens-Brockway Glass Container, Inc.

     

5.875%, 8/15/23(8)

     35         34,410   

6.375%, 8/15/25(8)

     15         14,803   

Reynolds Group Holdings, Inc.

     

5.75%, 10/15/20

     3,875         3,889,531   
     

 

 

 
      $ 3,979,219   
     

 

 

 

Cosmetics/Toiletries — 0.1%

     

Alphabet Holding Co., Inc.

     

7.75%, 11/1/17(10)

     235       $ 230,300   
     

 

 

 
      $ 230,300   
     

 

 

 

 

20

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Distribution & Wholesale — 0.0%(9)

     

American Tire Distributors, Inc.

     

10.25%, 3/1/22(8)

     50       $ 41,750   
     

 

 

 
      $ 41,750   
     

 

 

 

Diversified Financial Services — 0.0%(9)

     

Quicken Loans, Inc.

     

5.75%, 5/1/25(8)

     35       $ 32,944   
     

 

 

 
      $ 32,944   
     

 

 

 

Drugs — 0.2%

     

ConvaTec Finance International SA

     

8.25%, 1/15/19(8)(10)

     200       $ 178,750   

Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC

     

4.875%, 4/15/20(8)

     30         28,838   

5.625%, 10/15/23(8)

     85         80,112   

5.50%, 4/15/25(8)

     30         26,850   

Valeant Pharmaceuticals International, Inc.

     

6.375%, 10/15/20(8)

     200         194,000   

7.50%, 7/15/21(8)

     50         49,750   

5.50%, 3/1/23(8)

     30         26,850   

5.875%, 5/15/23(8)

     120         108,000   

6.125%, 4/15/25(8)

     110         99,137   
     

 

 

 
      $ 792,287   
     

 

 

 

Ecological Services and Equipment — 0.0%(9)

     

ADS Waste Holdings, Inc.

     

8.25%, 10/1/20

     50       $ 46,500   

Clean Harbors, Inc.

     

5.25%, 8/1/20

     50         51,187   

5.125%, 6/1/21

     25         25,250   

Covanta Holding Corp.

     

5.875%, 3/1/24

     25         21,938   
     

 

 

 
      $ 144,875   
     

 

 

 

Electric Utilities — 0.0%(9)

     

Dynegy, Inc.

     

6.75%, 11/1/19

     80       $ 77,700   

7.375%, 11/1/22

     65         57,850   

7.625%, 11/1/24

     55         48,675   

NRG Yield Operating, LLC

     

5.375%, 8/15/24

     25         21,125   
     

 

 

 
      $ 205,350   
     

 

 

 

Electronics/Electrical — 0.2%

     

Alcatel-Lucent USA, Inc.

     

4.625%, 7/1/17(8)

     35       $ 36,575   

8.875%, 1/1/20(8)

     260         279,500   

Anixter, Inc.

     

5.50%, 3/1/23(8)

     45         44,213   

CommScope, Inc.

     

4.375%, 6/15/20(8)

     20         20,400   

Freescale Semiconductor, Inc.

     

6.00%, 1/15/22(8)

     55         57,750   

Infor (US), Inc.

     

5.75%, 8/15/20(8)

     35         35,350   

6.50%, 5/15/22(8)

     50         43,750   

Nuance Communications, Inc.

     

5.375%, 8/15/20(8)

     120         120,300   

 

21

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

SS&C Technologies Holdings, Inc.

     

5.875%, 7/15/23(8)

     65       $ 67,437   

Zebra Technologies Corp.

     

7.25%, 10/15/22

     100         104,250   
     

 

 

 
      $ 809,525   
     

 

 

 

Equipment Leasing — 0.2%

     

International Lease Finance Corp.

     

6.75%, 9/1/16(8)

     350       $ 357,437   

7.125%, 9/1/18(8)

     350         379,750   
     

 

 

 
      $ 737,187   
     

 

 

 

Financial Intermediaries — 0.3%

     

CIT Group, Inc.

     

5.50%, 2/15/19(8)

     45       $ 46,575   

5.375%, 5/15/20

     10         10,375   

First Data Corp.

     

6.75%, 11/1/20(8)

     962         1,016,112   

7.00%, 12/1/23(8)

     155         156,937   

5.00%, 1/15/24(8)

     50         50,375   

Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.

     

3.50%, 3/15/17

     45         44,775   

6.00%, 8/1/20

     40         37,696   

JPMorgan Chase & Co.

     

6.75%, to 2/1/24, 1/29/49(11)

     80         86,700   

Navient Corp.

     

5.50%, 1/15/19

     140         131,600   

5.00%, 10/26/20

     25         21,688   

5.875%, 10/25/24

     30         23,828   
     

 

 

 
      $ 1,626,661   
     

 

 

 

Food Products — 0.8%

     

Dean Foods Co.

     

6.50%, 3/15/23(8)

     45       $ 46,462   

Iceland Bondco PLC

     

4.841%, 7/15/20(8)(12)

   GBP   3,000         3,633,493   

Pilgrim’s Pride Corp.

     

5.75%, 3/15/25(8)

     45         43,425   

Post Holdings, Inc.

     

6.75%, 12/1/21(8)

     20         20,972   

6.00%, 12/15/22(8)

     35         34,869   

7.75%, 3/15/24(8)

     35         37,362   

8.00%, 7/15/25(8)

     15         16,163   

WhiteWave Foods Co. (The)

     

5.375%, 10/1/22

     25         26,625   
     

 

 

 
      $ 3,859,371   
     

 

 

 

Food Service — 0.0%(9)

     

1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.

     

4.625%, 1/15/22(8)

     65       $ 65,487   

6.00%, 4/1/22(8)

     125         129,922   

Yum! Brands, Inc.

     

5.30%, 9/15/19

     10         10,338   

3.75%, 11/1/21

     15         13,650   

3.875%, 11/1/23

     5         4,369   
     

 

 

 
      $ 223,766   
     

 

 

 

Food/Drug Retailers — 0.0%(9)

     

Rite Aid Corp.

     

6.125%, 4/1/23(8)

     115       $ 121,756   
     

 

 

 
      $ 121,756   
     

 

 

 

 

22

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Health Care — 1.1%

     

Alere, Inc.

     

7.25%, 7/1/18

     10       $ 10,399   

6.50%, 6/15/20

     35         34,300   

6.375%, 7/1/23(8)

     65         61,588   

AmSurg Corp.

     

5.625%, 11/30/20

     50         50,875   

5.625%, 7/15/22

     45         45,388   

Capsugel SA

     

7.00%, 5/15/19(8)(10)

     25         24,734   

Centene Corp.

     

4.75%, 5/15/22

     20         19,300   

CHS/Community Health Systems, Inc.

     

5.125%, 8/15/18

     2,190         2,211,900   

7.125%, 7/15/20

     120         115,200   

6.875%, 2/1/22

     95         86,794   

DJO Finco, Inc./DJO Finance, LLC/DJO Finance Corp.

     

8.125%, 6/15/21(8)

     35         29,575   

HCA Holdings, Inc.

     

6.25%, 2/15/21

     85         90,100   

HCA, Inc.

     

6.50%, 2/15/20

     15         16,575   

4.75%, 5/1/23

     1,050         1,055,250   

5.875%, 2/15/26

     25         25,563   

HealthSouth Corp.

     

5.75%, 11/1/24(8)

     15         14,881   

Hill-Rom Holdings, Inc.

     

5.75%, 9/1/23(8)

     25         25,594   

Hologic, Inc.

     

5.25%, 7/15/22(8)

     70         72,712   

Jaguar Holding Co. II/Pharmaceutical Product Development, LLC

     

6.375%, 8/1/23(8)

     140         138,250   

Kinetic Concepts, Inc./KCI USA, Inc.

     

10.50%, 11/1/18

     45         43,875   

MPH Acquisition Holdings, LLC

     

6.625%, 4/1/22(8)

     160         160,600   

Opal Acquisition, Inc.

     

8.875%, 12/15/21(8)

     60         47,925   

Surgical Care Affiliates, Inc.

     

6.00%, 4/1/23(8)

     35         33,950   

Teleflex, Inc.

     

5.25%, 6/15/24

     20         20,100   

Tenet Healthcare Corp.

     

6.00%, 10/1/20

     55         58,575   

4.375%, 10/1/21

     600         594,750   

8.125%, 4/1/22

     105         106,050   

6.75%, 6/15/23

     15         13,856   

WellCare Health Plans, Inc.

     

5.75%, 11/15/20

     120         122,550   
     

 

 

 
      $ 5,331,209   
     

 

 

 

Holding Company - Diversified — 0.0%(9)

     

Argos Merger Sub, Inc.

     

7.125%, 3/15/23(8)

     80       $ 80,800   

HRG Group, Inc.

     

7.875%, 7/15/19

     70         73,238   

7.875%, 7/15/19(8)

     40         41,850   
     

 

 

 
      $ 195,888   
     

 

 

 

 

23

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Home Furnishings — 0.0%(9)

     

Tempur Sealy International, Inc.

     

6.875%, 12/15/20

     40       $ 42,500   

5.625%, 10/15/23(8)

     35         35,875   
     

 

 

 
      $ 78,375   
     

 

 

 

Industrial Equipment — 0.0%(9)

     

BlueLine Rental Finance Corp.

     

7.00%, 2/1/19(8)

     70       $ 55,300   

Erickson Air-Crane, Inc., Promissory Note

     

6.00%, 11/2/20(3)(13)

     59         26,229   

Manitowoc Co., Inc. (The)

     

5.875%, 10/15/22

     40         42,600   

Vander Intermediate Holding II Corp.

     

9.75%, 2/1/19(8)(10)

     55         26,812   
     

 

 

 
      $ 150,941   
     

 

 

 

Insurance — 0.0%(9)

     

Hub Holdings, LLC/Hub Holdings Finance, Inc.

     

8.125%, 7/15/19(8)(10)

     45       $ 38,025   

Hub International, Ltd.

     

7.875%, 10/1/21(8)

     60         52,800   

USI, Inc.

     

7.75%, 1/15/21(8)

     100         90,125   

Wayne Merger Sub, LLC

     

8.25%, 8/1/23(8)

     40         34,995   
     

 

 

 
      $ 215,945   
     

 

 

 

Internet Software & Services — 0.0%(9)

     

Netflix, Inc.

     

5.50%, 2/15/22(8)

     80       $ 82,800   

5.875%, 2/15/25(8)

     115         119,169   
     

 

 

 
      $ 201,969   
     

 

 

 

Leisure Goods/Activities/Movies — 0.1%

     

Activision Blizzard, Inc.

     

6.125%, 9/15/23(8)

     35       $ 37,537   

NCL Corp., Ltd.

     

5.25%, 11/15/19(8)

     25         25,250   

4.625%, 11/15/20(8)

     45         43,987   

Regal Entertainment Group

     

5.75%, 3/15/22

     30         30,300   

Royal Caribbean Cruises, Ltd.

     

7.25%, 6/15/16

     25         25,469   

7.25%, 3/15/18

     50         54,000   

Sabre GLBL, Inc.

     

5.375%, 4/15/23(8)

     25         25,188   

5.25%, 11/15/23(8)

     40         39,800   

Viking Cruises, Ltd.

     

8.50%, 10/15/22(8)

     90         84,150   

6.25%, 5/15/25(8)

     40         33,600   
     

 

 

 
      $ 399,281   
     

 

 

 

Lodging and Casinos — 0.7%

     

Buffalo Thunder Development Authority

     

11.00%, 12/9/22(8)

     224       $ 114,206   

Caesars Entertainment Operating Co., Inc.

     

8.50%, 2/15/20(4)

     2,100         1,585,500   

9.00%, 2/15/20(4)

     1,675         1,247,437   

GLP Capital, L.P./GLP Financing II, Inc.

     

4.875%, 11/1/20

     75         73,688   

 

24

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp.

     

5.625%, 10/15/21

     110       $ 113,850   

MGM Resorts International

     

6.625%, 12/15/21

     90         92,925   

7.75%, 3/15/22

     30         31,913   

6.00%, 3/15/23

     65         64,959   

RHP Hotel Properties, L.P./RHP Finance Corp.

     

5.00%, 4/15/23

     30         30,038   

Station Casinos, LLC

     

7.50%, 3/1/21

     55         56,925   

Tunica-Biloxi Gaming Authority

     

9.00%, 11/15/15(4)(8)

     310         159,650   
     

 

 

 
      $ 3,571,091   
     

 

 

 

Media — 0.2%

     

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH

     

5.50%, 1/15/23(8)

     1,000       $ 1,049,330   
     

 

 

 
      $ 1,049,330   
     

 

 

 

Nonferrous Metals/Minerals — 0.1%

     

Eldorado Gold Corp.

     

6.125%, 12/15/20(8)

     120       $ 101,100   

IAMGOLD Corp.

     

6.75%, 10/1/20(8)

     65         41,519   

Imperial Metals Corp.

     

7.00%, 3/15/19(8)

     25         22,000   

Kissner Milling Co., Ltd.

     

7.25%, 6/1/19(8)

     95         84,550   

New Gold, Inc.

     

6.25%, 11/15/22(8)

     70         52,675   

SunCoke Energy Partners, L.P./SunCoke Energy Partners Finance Corp.

     

7.375%, 2/1/20

     45         25,762   

7.375%, 2/1/20(8)

     10         5,725   
     

 

 

 
      $ 333,331   
     

 

 

 

Oil and Gas — 0.6%

     

Antero Resources Corp.

     

6.00%, 12/1/20

     15       $ 13,200   

5.375%, 11/1/21

     100         85,250   

5.625%, 6/1/23(8)

     30         25,050   

Blue Racer Midstream, LLC/Blue Racer Finance Corp.

     

6.125%, 11/15/22(8)

     15         11,288   

Bonanza Creek Energy, Inc.

     

6.75%, 4/15/21

     70         27,825   

Canbriam Energy, Inc.

     

9.75%, 11/15/19(8)

     25         21,250   

CITGO Petroleum Corp.

     

6.25%, 8/15/22(8)

     700         673,750   

Concho Resources, Inc.

     

5.50%, 4/1/23

     240         219,000   

CrownRock, L.P./CrownRock Finance, Inc.

     

7.125%, 4/15/21(8)

     90         80,100   

7.75%, 2/15/23(8)

     60         53,700   

CVR Refining, LLC/Coffeyville Finance, Inc.

     

6.50%, 11/1/22

     130         126,750   

Denbury Resources, Inc.

     

5.50%, 5/1/22

     20         7,100   

Endeavor Energy Resources, L.P./EER Finance, Inc.

     

7.00%, 8/15/21(8)

     95         81,225   

8.125%, 9/15/23(8)

     25         21,938   

 

25

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Energy Transfer Equity, L.P.

     

5.875%, 1/15/24

     85       $ 66,512   

EP Energy, LLC/Everest Acquisition Finance, Inc.

     

7.75%, 9/1/22

     65         23,075   

Gulfport Energy Corp.

     

7.75%, 11/1/20

     175         154,875   

6.625%, 5/1/23

     60         48,300   

Matador Resources Co.

     

6.875%, 4/15/23

     40         34,600   

Memorial Resource Development Corp.

     

5.875%, 7/1/22

     140         105,700   

Newfield Exploration Co.

     

5.625%, 7/1/24

     120         101,100   

Noble Energy, Inc.

     

5.625%, 5/1/21

     27         27,030   

Paramount Resources, Ltd.

     

6.875%, 6/30/23(8)

     25         16,063   

PBF Holding Co., LLC/PBF Finance Corp.

     

8.25%, 2/15/20

     20         20,525   

PBF Logistics, L.P./PBF Logistics Finance Corp.

     

6.875%, 5/15/23

     45         38,362   

Precision Drilling Corp.

     

6.50%, 12/15/21

     5         3,275   

RSP Permian, Inc.

     

6.625%, 10/1/22

     80         71,600   

Sabine Pass Liquefaction, LLC

     

5.625%, 2/1/21

     170         156,400   

5.625%, 4/15/23

     100         88,250   

5.625%, 3/1/25

     100         86,375   

Sabine Pass LNG, L.P.

     

6.50%, 11/1/20

     100         103,875   

Seven Generations Energy, Ltd.

     

8.25%, 5/15/20(8)

     140         125,475   

6.75%, 5/1/23(8)

     60         50,100   

Seventy Seven Energy, Inc.

     

6.50%, 7/15/22

     35         1,925   

SM Energy Co.

     

6.125%, 11/15/22

     25         14,422   

6.50%, 1/1/23

     80         46,600   

Sunoco, L.P./Sunoco Finance Corp.

     

6.375%, 4/1/23(8)

     45         41,737   

Tesoro Corp.

     

5.375%, 10/1/22

     90         86,850   

Tesoro Logistics, L.P./Tesoro Logistics Finance Corp.

     

5.50%, 10/15/19(8)

     15         14,006   

6.25%, 10/15/22(8)

     35         31,850   

Triangle USA Petroleum Corp.

     

6.75%, 7/15/22(8)

     35         6,125   

Williams Partners, L.P./ACMP Finance Corp.

     

4.875%, 3/15/24

     10         7,512   
     

 

 

 
      $ 3,019,945   
     

 

 

 

Publishing — 0.1%

     

Laureate Education, Inc.

     

9.25%, 9/1/19(8)

     565       $ 311,456   

McGraw-Hill Global Education Holdings, LLC/McGraw-Hill Global Education Finance

     

9.75%, 4/1/21

     145         154,788   

MHGE Parent, LLC/MHGE Parent Finance, Inc.

     

8.50%, 8/1/19(8)(10)

     30         29,625   

 

26

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Tribune Media Co.

     

5.875%, 7/15/22(8)

     60       $ 60,000   
     

 

 

 
      $ 555,869   
     

 

 

 

Radio and Television — 0.4%

     

CCOH Safari, LLC

     

5.75%, 2/15/26(8)

     45       $ 44,882   

Clear Channel Worldwide Holdings, Inc.

     

Series A, 6.50%, 11/15/22

     50         44,688   

Series B, 6.50%, 11/15/22

     90         83,700   

iHeartCommunications, Inc.

     

9.00%, 12/15/19

     953         657,570   

11.25%, 3/1/21

     45         30,206   

Nielsen Co. Luxembourg S.a.r.l. (The)

     

5.50%, 10/1/21(8)

     35         36,094   

Sirius XM Radio, Inc.

     

5.875%, 10/1/20(8)

     25         26,125   

6.00%, 7/15/24(8)

     85         89,250   

Starz, LLC/Starz Finance Corp.

     

5.00%, 9/15/19

     70         71,575   

Univision Communications, Inc.

     

6.75%, 9/15/22(8)

     746         771,177   

5.125%, 5/15/23(8)

     30         29,250   
     

 

 

 
      $ 1,884,517   
     

 

 

 

Real Estate Investment Trusts (REITs) — 0.0%(9)

     

Communications Sales & Leasing, Inc./CSL Capital LLC

     

8.25%, 10/15/23

     10       $ 8,875   

ESH Hospitality, Inc.

     

5.25%, 5/1/25(8)

     30         29,044   
     

 

 

 
      $ 37,919   
     

 

 

 

Retailers (Except Food and Drug) — 0.2%

     

Chinos Intermediate Holdings A, Inc.

     

7.75%, 5/1/19(8)(10)

     35       $ 8,239   

Dollar Tree, Inc.

     

5.25%, 3/1/20(8)

     45         47,475   

5.75%, 3/1/23(8)

     105         111,169   

Hot Topic, Inc.

     

9.25%, 6/15/21(8)

     150         135,000   

L Brands, Inc.

     

6.875%, 11/1/35(8)

     65         67,437   

Michaels Stores, Inc.

     

5.875%, 12/15/20(8)

     45         46,463   

Murphy Oil USA, Inc.

     

6.00%, 8/15/23

     135         141,345   

Party City Holdings, Inc.

     

6.125%, 8/15/23(8)

     65         63,375   

Petco Holdings, Inc.

     

8.50%, 10/15/17(8)(10)

     120         122,406   

Radio Systems Corp.

     

8.375%, 11/1/19(8)

     60         61,950   

Sally Holdings, LLC/Sally Capital, Inc.

     

5.75%, 6/1/22

     50         52,437   

Vista Outdoor, Inc.

     

5.875%, 10/1/23(8)

     35         35,788   
     

 

 

 
      $ 893,084   
     

 

 

 

Road & Rail — 0.0%(9)

     

Florida East Coast Holdings Corp.

     

6.75%, 5/1/19(8)

     25       $ 22,938   

 

27

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Watco Cos., LLC/Watco Finance Corp.

     

6.375%, 4/1/23(8)

     35       $ 33,775   
     

 

 

 
      $ 56,713   
     

 

 

 

Software and Services — 0.0%(9)

     

IHS, Inc.

     

5.00%, 11/1/22

     60       $ 60,825   

Infor Software Parent, LLC/Infor Software Parent, Inc.

     

7.125%, 5/1/21(8)(10)

     65         46,556   

Italics Merger Sub, Inc.

     

7.125%, 7/15/23(8)

     45         40,500   

SunGard Availability Services Capital, Inc.

     

8.75%, 4/1/22(8)

     70         41,650   
     

 

 

 
      $ 189,531   
     

 

 

 

Steel — 0.0%(9)

     

ArcelorMittal

     

7.25%, 2/25/22

     25       $ 20,438   

JMC Steel Group, Inc.

     

8.25%, 3/15/18(8)

     65         48,750   
     

 

 

 
      $ 69,188   
     

 

 

 

Surface Transport — 0.1%

     

Hertz Corp. (The)

     

6.25%, 10/15/22

     65       $ 63,538   

XPO Logistics, Inc.

     

7.875%, 9/1/19(8)

     190         190,237   

6.50%, 6/15/22(8)

     75         67,406   
     

 

 

 
      $ 321,181   
     

 

 

 

Technology — 0.0%(9)

     

Micron Technology, Inc.

     

5.25%, 8/1/23(8)

     50       $ 40,687   

5.625%, 1/15/26(8)

     25         19,438   
     

 

 

 
      $ 60,125   
     

 

 

 

Telecommunications — 0.7%

     

Avaya, Inc.

     

9.00%, 4/1/19(8)

     45       $ 30,712   

10.50%, 3/1/21(8)

     330         82,406   

CenturyLink, Inc.

     

6.75%, 12/1/23

     50         47,500   

CommScope Technologies Finance, LLC

     

6.00%, 6/15/25(8)

     60         58,500   

Frontier Communications Corp.

     

6.25%, 9/15/21

     40         33,888   

10.50%, 9/15/22(8)

     15         14,719   

7.625%, 4/15/24

     30         25,425   

6.875%, 1/15/25

     45         35,944   

11.00%, 9/15/25(8)

     80         77,400   

Intelsat Jackson Holdings SA

     

7.25%, 10/15/20

     160         138,400   

7.50%, 4/1/21

     10         8,675   

Intelsat Luxembourg SA

     

7.75%, 6/1/21

     95         41,800   

8.125%, 6/1/23

     90         37,575   

Level 3 Financing, Inc.

     

5.375%, 1/15/24(8)

     25         25,312   

Plantronics, Inc.

     

5.50%, 5/31/23(8)

     55         55,550   

 

28

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

SBA Telecommunications, Inc.

     

5.75%, 7/15/20

     145       $ 150,981   

Sprint Communications, Inc.

     

7.00%, 8/15/20

     655         484,700   

6.00%, 11/15/22

     5         3,387   

Sprint Corp.

     

7.25%, 9/15/21

     60         43,500   

7.875%, 9/15/23

     250         180,000   

7.625%, 2/15/25

     45         30,966   

T-Mobile USA, Inc.

     

6.25%, 4/1/21

     40         41,000   

6.633%, 4/28/21

     50         51,937   

6.731%, 4/28/22

     20         20,650   

6.625%, 4/1/23

     40         41,100   

6.375%, 3/1/25

     35         35,219   

6.50%, 1/15/26

     115         115,000   

Wind Acquisition Finance SA

     

5.091%, 4/30/19(8)(12)

   EUR 500         541,943   

6.50%, 4/30/20(8)

     475         491,625   

3.856%, 7/15/20(8)(12)

   EUR 475         502,990   

Windstream Corp.

     

6.375%, 8/1/23

     40         29,100   

Windstream Services, LLC

     

7.75%, 10/1/21

     80         63,600   
     

 

 

 
      $ 3,541,504   
     

 

 

 

Utilities — 0.4%

     

AES Corp. (The)

     

5.50%, 3/15/24

     25       $ 22,594   

Air Medical Merger Sub Corp.

     

6.375%, 5/15/23(8)

     45         39,825   

Calpine Corp.

     

5.375%, 1/15/23

     50         45,750   

7.875%, 1/15/23(8)

     1,930         2,069,925   

5.75%, 1/15/25

     15         13,537   
     

 

 

 
      $ 2,191,631   
     

 

 

 

Total Corporate Bonds & Notes
(identified cost $53,551,178)

      $ 47,761,551   
     

 

 

 

Asset-Backed Securities — 6.7%

     
Security    Principal
Amount
(000’s omitted)
     Value  

ALM Loan Funding, Ltd.

     

Series 2015-16A, Class D, 5.972%, 7/15/27(8)(12)

   $ 1,000       $ 819,046   

Apidos CLO XIX

     

Series 2014-19A, Class E, 6.07%, 10/17/26(8)(12)

     2,100         1,655,638   

Apidos CLO XVII

     

Series 2014-17A, Class B, 3.47%, 4/17/26(8)(12)

     450         420,503   

Series 2014-17A, Class C, 3.92%, 4/17/26(8)(12)

     1,000         847,640   

Series 2014-17A, Class D, 5.37%, 4/17/26(8)(12)

     1,000         685,040   

Apidos CLO XXI

     

Series 2015-21A, Class D, 6.17%, 7/18/27(8)(12)

     1,000         741,364   

Ares CLO, Ltd.

     

Series 2014-32A, Class D, 6.062%, 11/15/25(8)(12)

     2,000         1,523,632   

Series 2015-2A, Class E2, 5.524%, 7/29/26(8)(12)

     1,000         758,119   

Babson CLO, Ltd.

     

Series 2013-IA, Class C, 3.324%, 4/20/25(8)(12)

     450         430,622   

 

29

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Series 2013-IA, Class D, 4.124%, 4/20/25(8)(12)

     350       $ 308,266   

Series 2013-IA, Class E, 5.024%, 4/20/25(8)(12)

     225         168,218   

Birchwood Park CLO, Ltd.

     

Series 2014-1A, Class C1, 3.722%, 7/15/26(8)(12)

     500         486,607   

Series 2014-1A, Class E1, 5.722%, 7/15/26(8)(12)

     500         356,102   

Carlyle Global Market Strategies CLO, Ltd.

     

Series 2014-4A, Class E, 5.822%, 10/15/26(8)(12)

     2,000         1,536,384   

Series 2015-5A, Class D, 6.592%, 1/20/28(8)(12)

     500         427,793   

Cent CLO, LP

     

Series 2014-22A, Class D, 5.644%, 11/7/26(8)(12)

     1,000         693,958   

Centurion CDO IX Ltd.

     

Series 2005-9A, Class D1, 5.37%, 7/17/19(8)(12)

     750         704,346   

CIFC Funding, Ltd.

     

Series 2013-2A, Class A3L, 3.27%, 4/21/25(8)(12)

     2,650         2,449,390   

Cumberland Park CLO, Ltd.

     

Series 2015-2A, Class E, 5.624%, 7/20/26(8)(12)

     1,600         1,196,037   

Dryden XL Senior Loan Fund

     

Series 2015-40A, Class E, 6.312%, 8/15/28(8)(12)

     1,000         809,620   

Dryden XXVIII Senior Loan Fund

     

Series 2013-28A, Class A3L, 3.062%, 8/15/25(8)(12)

     1,500         1,423,575   

Series 2013-28A, Class B1L, 3.562%, 8/15/25(8)(12)

     640         546,296   

Series 2013-28A, Class B2L, 4.262%, 8/15/25(8)(12)

     430         288,543   

Galaxy CLO, Ltd.

     

Series 2015-21A, Class E1, 6.17%, 1/20/28(8)(12)

     1,000         816,927   

Golub Capital Partners CLO, Ltd.

     

Series 2015-23A, Class E, 6.036%, 5/5/27(8)(12)

     2,000         1,475,552   

Oak Hill Credit Partners, Ltd.

     

Series 2013-8A, Class C, 3.324%, 4/20/25(8)(12)

     400         380,013   

Series 2013-8A, Class D, 4.124%, 4/20/25(8)(12)

     450         391,217   

Series 2015-11A, Class E, 7.016%, 10/20/28(8)(12)

     1,000         835,782   

Octagon Investment Partners XVI Ltd.

     

Series 2013-1A, Class C1, 3.37%, 7/17/25(8)(12)

     925         858,924   

Series 2013-1A, Class D, 3.97%, 7/17/25(8)(12)

     925         787,489   

Series 2013-1A, Class E, 5.12%, 7/17/25(8)(12)

     1,125         740,526   

Octagon Investment Partners XXIII, Ltd.

     

Series 2015-1A, Class E2, 7.122%, 7/15/27(8)(12)

     2,000         1,752,742   

Palmer Square CLO, Ltd.

     

Series 2015-2A, Class D, 6.074%, 7/20/27(8)(12)

     1,200         925,532   

Race Point CLO, Ltd.

     

Series 2012-7A, Class D, 4.594%, 11/8/24(8)(12)

     1,750         1,587,031   

Recette CLO, LLC

     

Series 2015-1A, Class E, 6.115%, 10/20/27(8)(12)

     1,000         737,573   

Schiller Park CLO, Ltd.

     

Series 2007-1A, Class D, 3.119%, 4/25/21(8)(12)

     1,000         956,664   

Ziggurat CLO, Ltd.

     

Series 2014-1A, Class E, 5.62%, 10/17/26(8)(12)

     2,000         1,324,840   
     

 

 

 

Total Asset-Backed Securities
(identified cost $38,380,183)

      $ 32,847,551   
     

 

 

 

Common Stocks — 0.8%

     
Security    Shares      Value  

Aerospace and Defense — 0.0%(9)

     

IAP Global Services, LLC(3)(13)(14)

     55       $ 116,377   
     

 

 

 
      $ 116,377   
     

 

 

 

Automotive — 0.1%

     

Dayco Products, LLC(3)(13)(14)

     18,702       $ 635,868   
     

 

 

 
      $ 635,868   
     

 

 

 

 

30

 

 


                                                 
Security    Shares      Value  

Building and Development — 0.1%

     

Panolam Holdings Co.(3)(14)(15)

     253       $ 220,118   
     

 

 

 
      $ 220,118   
     

 

 

 

Business Equipment and Services — 0.0%

     

Education Management Corp.(3)(13)(14)

     3,185,850       $ 0   
     

 

 

 
      $ 0   
     

 

 

 

Health Care — 0.1%

     

New Millennium HoldCo, Inc.(3)(13)(14)

     61,354       $ 532,555   
     

 

 

 
      $ 532,555   
     

 

 

 

Lodging and Casinos — 0.1%

     

Tropicana Entertainment, Inc.(13)(14)

     35,670       $ 570,720   
     

 

 

 
      $ 570,720   
     

 

 

 

Publishing — 0.4%

     

ION Media Networks, Inc.(3)(13)(14)

     3,990       $ 1,664,030   

MediaNews Group, Inc.(3)(13)(14)

     10,718         348,332   

Nelson Education, Ltd.(3)(13)(14)

     54,585         0   
     

 

 

 
      $ 2,012,362   
     

 

 

 

Total Common Stocks
(identified cost $1,858,469)

      $ 4,088,000   
     

 

 

 

Convertible Preferred Stocks — 0.0%(9)

     
Security    Shares      Value  

Business Equipment and Services — 0.0%(9)

     

Education Management Corp., Series A-1, 7.50% (3)(13)(14)

     3,545       $ 47,609   
     

 

 

 

Total Convertible Preferred Stocks
(identified cost $250,194)

      $ 47,609   
     

 

 

 

Closed-End Funds — 2.1%

     
Security    Shares      Value  

BlackRock Floating Rate Income Strategies Fund, Inc.

     99,936       $ 1,253,198   

Invesco Senior Income Trust

     483,234         1,860,451   

Nuveen Credit Strategies Income Fund

     365,228         2,742,862   

Nuveen Floating Rate Income Fund

     148,079         1,457,097   

Nuveen Floating Rate Income Opportunity Fund

     103,281         972,907   

Voya Prime Rate Trust

     396,676         1,908,012   
     

 

 

 

Total Closed-End Funds
(identified cost $12,168,732)

      $ 10,194,527   
     

 

 

 

Miscellaneous — 0.0%(9)

     
Security    Principal
Amount/
Shares
     Value  

Lodging and Casinos — 0.0%(9)

     

Buffalo Thunder Development Authority

     

Residual Claim Certificates, Expires 11/15/29(8)(14)

   $ 99,306       $ 5   
     

 

 

 
      $ 5   
     

 

 

 

Oil and Gas — 0.0%

     

SemGroup Corp., Escrow Certificate(3)(14)

     540,000       $ 0   
     

 

 

 
      $ 0   
     

 

 

 

Total Miscellaneous
(identified cost $0)

      $ 5   
     

 

 

 

 

31

 

 


                                                 

Short-Term Investments — 1.3%

     
Description    Interest
(000’s omitted)
     Value  

Eaton Vance Cash Reserves Fund, LLC, 0.40%(16)

   $ 6,416       $ 6,415,758   
     

 

 

 

Total Short-Term Investments
(identified cost $6,415,758)

      $ 6,415,758   
     

 

 

 

Total Investments — 162.2%
(identified cost $875,696,128)

      $ 798,668,345   
     

 

 

 

Less Unfunded Loan Commitments — (0.0)%(9)

      $ (47,872
     

 

 

 

Net Investments — 162.2%
(identified cost $875,648,256)

      $ 798,620,473   
     

 

 

 

Other Assets, Less Liabilities — (35.5)%

      $ (174,783,250
     

 

 

 

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (26.7)%

      $ (131,315,572
     

 

 

 

Net Assets Applicable to Common Shares — 100.0%

      $ 492,521,651   
     

 

 

 

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

 

* In U.S. dollars unless otherwise indicated.

 

(1) Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

 

(2) This Senior Loan will settle after January 31, 2016, at which time the interest rate will be determined.

 

(3) For fair value measurement disclosure purposes, security is categorized as Level 3.

 

(4) Currently the issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

 

(5) Includes new money preferred shares that trade with the loan.

 

(6) Includes Vivarte Class A preferred shares, Vivarte Class B ordinary shares and Luxco ordinary shares that trade with the loan.

 

(7) Unfunded or partially unfunded loan commitments. The Trust may enter into certain loan agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the borrower’s discretion.

 

(8) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2016, the aggregate value of these securities is $56,253,696 or 11.4% of the Trust’s net assets applicable to common shares.

 

(9) Amount is less than 0.05% or (0.05)%, as applicable.

 

(10) Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. For corporate bonds, the interest rate paid in additional principal is generally higher than the indicated cash rate.

 

32

 

 


(11) Security converts to floating rate after the indicated fixed-rate coupon period.

 

(12) Variable rate security. The stated interest rate represents the rate in effect at January 31, 2016.

 

(13) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.

 

(14) Non-income producing security.

 

(15) Restricted security.

 

(16) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2016. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2016 was $5,927.

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
EUR      530,000       USD      578,984       Deutsche Bank AG      2/29/16       $       $ (4,470
EUR      4,100,000       USD      4,529,338       HSBC Bank USA, N.A.      2/29/16                 (84,982
USD      979,181       CAD      1,302,644       State Street Bank and Trust Company      2/29/16         49,319           
USD      8,455,737       EUR      7,916,319       State Street Bank and Trust Company      2/29/16                 (125,469
USD      11,040,545       EUR      10,076,809       HSBC Bank USA, N.A.      3/31/16         107,580           
USD      10,934,512       GBP      7,378,736       Goldman Sachs International      3/31/16         419,345           
USD      4,887,766       EUR      4,472,270       Goldman Sachs International      4/29/16         31,276           
USD      4,263,023       GBP      2,992,887       State Street Bank and Trust Company      4/29/16                 (2,439
                 

 

 

    

 

 

 
                  $     607,520       $     (217,360
                 

 

 

    

 

 

 

Abbreviations:

 

DIP

  -   Debtor In Possession

PIK

  -   Payment In Kind

Currency Abbreviations:

 

CAD

  -   Canadian Dollar

EUR

  -   Euro

GBP

  -   British Pound Sterling

USD

  -   United States Dollar

At January 31, 2016, the Trust had sufficient cash and/or securities to cover commitments under open derivative contracts.

The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objectives. Because the Trust holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Trust enters into forward foreign currency exchange contracts.

At January 31, 2016, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is foreign exchange risk was $607,520 and $217,360, respectively.

The cost and unrealized appreciation (depreciation) of investments of the Trust at January 31, 2016, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

   $     876,178,107   
  

 

 

 

Gross unrealized appreciation

   $ 3,412,204   

Gross unrealized depreciation

     (80,969,838
  

 

 

 

Net unrealized depreciation

   $ (77,557,634
  

 

 

 

 

33

 

 


Restricted Securities

At January 31, 2016, the Trust owned the following securities (representing less than 0.05% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

 

                                                                                                   
Description   

Date of

Acquisition

     Shares      Cost      Value  

Common Stocks

           

Panolam Holdings Co.

     12/30/09         253       $ 139,024       $ 220,118   
        

 

 

    

 

 

 

Total Restricted Securities

         $ 139,024       $ 220,118   
        

 

 

    

 

 

 

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

 

Level 1 — quoted prices in active markets for identical investments

 

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At January 31, 2016, the hierarchy of inputs used in valuing the Trust’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3*      Total  

Senior Floating-Rate Loans (Less Unfunded Loan Commitments)

   $       $ 692,789,604       $ 4,475,868       $ 697,265,472   

Corporate Bonds & Notes

             47,735,322         26,229         47,761,551   

Asset-Backed Securities

             32,847,551                 32,847,551   

Common Stocks

     570,720                 3,517,280         4,088,000   

Convertible Preferred Stocks

                     47,609         47,609   

Closed-End Funds

     10,194,527                         10,194,527   

Miscellaneous

             5         0         5   

Short-Term Investments

             6,415,758                 6,415,758   

Total Investments

   $     10,765,247       $     779,788,240       $     8,066,986       $     798,620,473   

Forward Foreign Currency Exchange Contracts

   $       $ 607,520       $       $ 607,520   

Total

   $ 10,765,247       $ 780,395,760       $ 8,066,986       $ 799,227,993   
Liability Description                                

Forward Foreign Currency Exchange Contracts

   $       $ (217,360    $       $ (217,360

Total

   $       $ (217,360    $       $ (217,360

 

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2016 is not presented.

At January 31, 2016, the value of investments transferred between Level 1 and Level 2 during the fiscal year to date then ended was not significant.

For information on the Trust’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements included in its semiannual or annual report to shareholders.

 

34

 

 


Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.


Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Senior Floating-Rate Trust

 

By:   /s/ Scott H. Page
  Scott H. Page
  President
Date:   March 28, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ Scott H. Page
  Scott H. Page
  President
Date:   March 28, 2016
By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   March 28, 2016