UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21563
Investment Company Act File Number
Eaton Vance Short Duration Diversified Income Fund
(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
July 31, 2014
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Short Duration Diversified Income Fund
July 31, 2014
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests — 54.7%(1)
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Aerospace and Defense — 0.6% |
||||||||
| Atlantic Aviation FBO Inc. |
||||||||
| Term Loan, 3.25%, Maturing June 1, 2020 |
74 | $ | 74,241 | |||||
| DAE Aviation Holdings, Inc. |
||||||||
| Term Loan, 5.00%, Maturing November 2, 2018 |
61 | 61,465 | ||||||
| Term Loan, 5.00%, Maturing November 2, 2018 |
135 | 135,585 | ||||||
| Silver II US Holdings, LLC |
||||||||
| Term Loan, 4.00%, Maturing December 13, 2019 |
383 | 382,192 | ||||||
| Transdigm, Inc. |
||||||||
| Term Loan, 3.75%, Maturing February 28, 2020 |
912 | 908,126 | ||||||
| Term Loan, 3.75%, Maturing June 4, 2021 |
325 | 322,237 | ||||||
|
|
|
|||||||
| $ | 1,883,846 | |||||||
|
|
|
|||||||
| Automotive — 2.4% |
||||||||
| Affinia Group Intermediate Holdings Inc. |
||||||||
| Term Loan, 4.75%, Maturing April 27, 2020 |
88 | $ | 88,242 | |||||
| Allison Transmission, Inc. |
||||||||
| Term Loan, 3.75%, Maturing August 23, 2019 |
620 | 620,473 | ||||||
| ASP HHI Acquisition Co., Inc. |
||||||||
| Term Loan, 5.00%, Maturing October 5, 2018 |
431 | 433,170 | ||||||
| Chrysler Group LLC |
||||||||
| Term Loan, 3.50%, Maturing May 24, 2017 |
893 | 894,486 | ||||||
| Term Loan, 3.25%, Maturing December 31, 2018 |
374 | 372,959 | ||||||
| CS Intermediate Holdco 2 LLC |
||||||||
| Term Loan, 4.00%, Maturing April 4, 2021 |
575 | 574,281 | ||||||
| Dayco Products, LLC |
||||||||
| Term Loan, 5.25%, Maturing December 12, 2019 |
175 | 175,217 | ||||||
| Federal-Mogul Holdings Corporation |
||||||||
| Term Loan, 4.75%, Maturing April 15, 2021 |
675 | 675,506 | ||||||
| Goodyear Tire & Rubber Company (The) |
||||||||
| Term Loan - Second Lien, 4.75%, Maturing April 30, 2019 |
1,150 | 1,160,063 | ||||||
| INA Beteiligungsgesellschaft GmbH |
||||||||
| Term Loan, 3.75%, Maturing May 15, 2020 |
175 | 175,413 | ||||||
| Metaldyne, LLC |
||||||||
| Term Loan, 4.25%, Maturing December 18, 2018 |
341 | 342,943 | ||||||
| TI Group Automotive Systems, LLC |
||||||||
| Term Loan, 4.25%, Maturing July 1, 2021 |
650 | 651,422 | ||||||
| Tower Automotive Holdings USA, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 23, 2020 |
647 | 644,858 | ||||||
| Veyance Technologies, Inc. |
||||||||
| Term Loan, 5.25%, Maturing September 8, 2017 |
537 | 538,234 | ||||||
| Visteon Corporation |
||||||||
| Term Loan, 3.50%, Maturing April 9, 2021 |
175 | 174,535 | ||||||
|
|
|
|||||||
| $ | 7,521,802 | |||||||
|
|
|
|||||||
| Brokerage/Securities Dealers/Investment Houses — 0.0%(2) |
||||||||
| American Beacon Advisors, Inc. |
||||||||
| Term Loan, 4.75%, Maturing November 22, 2019 |
73 | $ | 73,812 | |||||
|
|
|
|||||||
| $ | 73,812 | |||||||
|
|
|
|||||||
| Building and Development — 0.5% |
||||||||
| ABC Supply Co., Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 16, 2020 |
248 | $ | 247,020 | |||||
1
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| CPG International Inc. |
||||||||
| Term Loan, 4.75%, Maturing September 30, 2020 |
99 | $ | 99,374 | |||||
| Gates Global, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 5, 2021 |
250 | 248,728 | ||||||
| Ply Gem Industries, Inc. |
||||||||
| Term Loan, 4.00%, Maturing February 1, 2021 |
500 | 496,719 | ||||||
| Quikrete Holdings, Inc. |
||||||||
| Term Loan, 4.00%, Maturing September 28, 2020 |
174 | 173,951 | ||||||
| RE/MAX International, Inc. |
||||||||
| Term Loan, 4.00%, Maturing July 31, 2020 |
371 | 370,857 | ||||||
| WireCo WorldGroup, Inc. |
||||||||
| Term Loan, 6.00%, Maturing February 15, 2017 |
97 | 98,212 | ||||||
|
|
|
|||||||
| $ | 1,734,861 | |||||||
|
|
|
|||||||
| Business Equipment and Services — 4.3% |
||||||||
| Acosta, Inc. |
||||||||
| Term Loan, 4.25%, Maturing March 2, 2018 |
490 | $ | 491,070 | |||||
| Altisource Solutions S.a.r.l. |
||||||||
| Term Loan, 5.75%, Maturing December 9, 2020 |
322 | 321,823 | ||||||
| AVSC Holding Corp. |
||||||||
| Term Loan, 4.50%, Maturing January 24, 2021 |
75 | 74,929 | ||||||
| Brickman Group Ltd. LLC |
||||||||
| Term Loan, 4.00%, Maturing December 18, 2020 |
149 | 147,509 | ||||||
| Ceridian LLC |
||||||||
| Term Loan, 4.41%, Maturing May 9, 2017 |
1,218 | 1,221,208 | ||||||
| ClientLogic Corporation |
||||||||
| Term Loan, 6.98%, Maturing January 30, 2017 |
165 | 166,571 | ||||||
| Corporate Capital Trust, Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 15, 2019 |
175 | 174,890 | ||||||
| CPM Acquisition Corp. |
||||||||
| Term Loan, 6.25%, Maturing August 29, 2017 |
95 | 95,257 | ||||||
| Education Management LLC |
||||||||
| Term Loan, 4.25%, Maturing June 1, 2016 |
244 | 160,573 | ||||||
| Term Loan, 8.25%, Maturing March 29, 2018 |
366 | 238,115 | ||||||
| EIG Investors Corp. |
||||||||
| Term Loan, 5.00%, Maturing November 9, 2019 |
468 | 470,802 | ||||||
| Emdeon Business Services, LLC |
||||||||
| Term Loan, 3.75%, Maturing November 2, 2018 |
269 | 269,591 | ||||||
| Expert Global Solutions, Inc. |
||||||||
| Term Loan, 8.50%, Maturing April 3, 2018 |
333 | 333,198 | ||||||
| Extreme Reach, Inc. |
||||||||
| Term Loan, 6.75%, Maturing February 10, 2020 |
150 | 151,682 | ||||||
| Garda World Security Corporation |
||||||||
| Term Loan, 4.00%, Maturing November 6, 2020 |
61 | 60,703 | ||||||
| Term Loan, 4.00%, Maturing November 6, 2020 |
238 | 237,295 | ||||||
| Genpact International, Inc. |
||||||||
| Term Loan, 3.50%, Maturing August 30, 2019 |
320 | 321,742 | ||||||
| IG Investment Holdings, LLC |
||||||||
| Term Loan, 5.25%, Maturing October 31, 2019 |
272 | 273,800 | ||||||
| IMS Health Incorporated |
||||||||
| Term Loan, 3.50%, Maturing March 17, 2021 |
1,000 | 994,885 | ||||||
| Information Resources, Inc. |
||||||||
| Term Loan, 4.75%, Maturing September 30, 2020 |
223 | 224,196 | ||||||
| ION Trading Technologies S.a.r.l. |
||||||||
| Term Loan, 4.50%, Maturing June 10, 2021 |
EUR | 200 | 269,450 | |||||
| Term Loan - Second Lien, 7.25%, Maturing May 15, 2022 |
200 | 200,958 | ||||||
| KAR Auction Services, Inc. |
||||||||
| Term Loan, 3.50%, Maturing March 11, 2021 |
548 | 547,643 | ||||||
| Kronos Incorporated |
||||||||
| Term Loan, 4.50%, Maturing October 30, 2019 |
444 | 446,157 | ||||||
| Term Loan - Second Lien, 9.75%, Maturing April 30, 2020 |
200 | 207,033 | ||||||
2
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| MCS AMS Sub-Holdings LLC |
||||||||
| Term Loan, 7.00%, Maturing October 15, 2019 |
96 | $ | 93,362 | |||||
| Monitronics International Inc. |
||||||||
| Term Loan, 4.25%, Maturing March 23, 2018 |
221 | 221,059 | ||||||
| Quintiles Transnational Corp. |
||||||||
| Term Loan, 3.75%, Maturing June 8, 2018 |
824 | 824,567 | ||||||
| RCS Capital Corporation |
||||||||
| Term Loan, 6.50%, Maturing April 29, 2019 |
175 | 178,172 | ||||||
| Sensus USA Inc. |
||||||||
| Term Loan, 4.75%, Maturing May 9, 2017 |
121 | 121,394 | ||||||
| ServiceMaster Company |
||||||||
| Term Loan, 4.25%, Maturing July 1, 2021 |
425 | 422,939 | ||||||
| SunGard Data Systems, Inc. |
||||||||
| Term Loan, 3.91%, Maturing February 28, 2017 |
32 | 32,549 | ||||||
| Term Loan, 4.00%, Maturing March 8, 2020 |
1,482 | 1,486,959 | ||||||
| TNS, Inc. |
||||||||
| Term Loan, 5.00%, Maturing February 14, 2020 |
189 | 190,566 | ||||||
| TransUnion, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 9, 2021 |
723 | 722,434 | ||||||
| West Corporation |
||||||||
| Term Loan, 3.25%, Maturing June 30, 2018 |
1,301 | 1,291,181 | ||||||
|
|
|
|||||||
| $ | 13,686,262 | |||||||
|
|
|
|||||||
| Cable and Satellite Television — 2.2% |
||||||||
| Atlantic Broadband Finance, LLC |
||||||||
| Term Loan, 3.25%, Maturing December 2, 2019 |
135 | $ | 134,411 | |||||
| Cequel Communications, LLC |
||||||||
| Term Loan, 3.50%, Maturing February 14, 2019 |
759 | 755,658 | ||||||
| Charter Communications Operating, LLC |
||||||||
| Term Loan, 3.00%, Maturing July 1, 2020 |
248 | 242,318 | ||||||
| Term Loan, 3.00%, Maturing January 3, 2021 |
614 | 601,469 | ||||||
| CSC Holdings, Inc. |
||||||||
| Term Loan, 2.66%, Maturing April 17, 2020 |
420 | 412,897 | ||||||
| ION Media Networks, Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 18, 2020 |
274 | 275,079 | ||||||
| MCC Iowa LLC |
||||||||
| Term Loan, 3.25%, Maturing January 29, 2021 |
173 | 172,456 | ||||||
| Term Loan, 3.75%, Maturing June 30, 2021 |
150 | 150,233 | ||||||
| Mediacom Illinois, LLC |
||||||||
| Term Loan, Maturing June 13, 2021(3) |
75 | 74,938 | ||||||
| Numericable U.S. LLC |
||||||||
| Term Loan, 4.50%, Maturing May 21, 2020 |
174 | 174,663 | ||||||
| Term Loan, 4.50%, Maturing May 21, 2020 |
201 | 201,890 | ||||||
| UPC Financing Partnership |
||||||||
| Term Loan, 3.85%, Maturing March 31, 2021 |
EUR | 1,394 | 1,878,827 | |||||
| Virgin Media Bristol LLC |
||||||||
| Term Loan, 3.50%, Maturing June 7, 2020 |
800 | 793,687 | ||||||
| Virgin Media Investment Holdings Limited |
||||||||
| Term Loan, 4.25%, Maturing June 30, 2023 |
GBP | 300 | 509,248 | |||||
| Ziggo B.V. |
||||||||
| Term Loan, 0.00%, Maturing January 15, 2022(4) |
EUR | 5 | 7,005 | |||||
| Term Loan, 0.00%, Maturing January 15, 2022(4) |
EUR | 76 | 101,331 | |||||
| Term Loan, 0.00%, Maturing January 15, 2022(4) |
EUR | 107 | 143,358 | |||||
| Term Loan, 3.50%, Maturing January 15, 2022 |
EUR | 6 | 7,471 | |||||
| Term Loan, 3.50%, Maturing January 15, 2022 |
EUR | 60 | 80,084 | |||||
| Term Loan, 3.50%, Maturing January 15, 2022 |
EUR | 96 | 127,715 | |||||
|
|
|
|||||||
| $ | 6,844,738 | |||||||
|
|
|
|||||||
| Chemicals and Plastics — 2.4% |
||||||||
| Arysta LifeScience SPC, LLC |
||||||||
| Term Loan, 4.50%, Maturing May 29, 2020 |
421 | $ | 420,925 | |||||
3
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Axalta Coating Systems US Holdings Inc. |
||||||||
| Term Loan, 4.00%, Maturing February 1, 2020 |
545 | $ | 542,458 | |||||
| AZ Chem US Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 12, 2021 |
123 | 124,213 | ||||||
| Emerald Performance Materials, LLC |
||||||||
| Term Loan, Maturing August 1, 2021(3) |
350 | 350,750 | ||||||
| Term Loan - Second Lien, Maturing August 1, 2022(3) |
100 | 99,500 | ||||||
| Huntsman International, LLC |
||||||||
| Term Loan, 2.69%, Maturing April 19, 2017 |
1,501 | 1,498,657 | ||||||
| Term Loan, Maturing October 15, 2020(3) |
375 | 375,139 | ||||||
| Ineos US Finance LLC |
||||||||
| Term Loan, 3.75%, Maturing May 4, 2018 |
1,323 | 1,318,329 | ||||||
| Kronos Worldwide Inc. |
||||||||
| Term Loan, 4.75%, Maturing February 18, 2020 |
50 | 50,218 | ||||||
| MacDermid, Inc. |
||||||||
| Term Loan, 4.00%, Maturing June 7, 2020 |
149 | 148,667 | ||||||
| Minerals Technologies Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 9, 2021 |
350 | 351,747 | ||||||
| OXEA Finance LLC |
||||||||
| Term Loan, 4.25%, Maturing January 15, 2020 |
124 | 124,140 | ||||||
| Polarpak Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 5, 2020 |
210 | 209,788 | ||||||
| PQ Corporation |
||||||||
| Term Loan, 4.00%, Maturing August 7, 2017 |
222 | 222,075 | ||||||
| Solenis International, LP |
||||||||
| Term Loan, Maturing July 2, 2021(3) |
EUR | 175 | 232,576 | |||||
| Tata Chemicals North America Inc. |
||||||||
| Term Loan, 3.75%, Maturing August 7, 2020 |
223 | 222,399 | ||||||
| Tronox Pigments (Netherlands) B.V. |
||||||||
| Term Loan, 4.00%, Maturing March 19, 2020 |
395 | 395,871 | ||||||
| Univar Inc. |
||||||||
| Term Loan, 5.00%, Maturing June 30, 2017 |
578 | 579,369 | ||||||
| WNA Holdings Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 7, 2020 |
155 | 154,750 | ||||||
|
|
|
|||||||
| $ | 7,421,571 | |||||||
|
|
|
|||||||
| Conglomerates — 0.5% |
||||||||
| Custom Sensors & Technologies, Inc. |
||||||||
| Term Loan, Maturing May 30, 2021(3) |
500 | $ | 501,562 | |||||
| RGIS Services, LLC |
||||||||
| Term Loan, 5.50%, Maturing October 18, 2017 |
739 | 737,805 | ||||||
| Spectrum Brands Europe GmbH |
||||||||
| Term Loan, 3.75%, Maturing September 4, 2019 |
EUR | 174 | 235,166 | |||||
| Spectrum Brands, Inc. |
||||||||
| Term Loan, 3.50%, Maturing September 4, 2019 |
199 | 198,732 | ||||||
|
|
|
|||||||
| $ | 1,673,265 | |||||||
|
|
|
|||||||
| Containers and Glass Products — 1.3% |
||||||||
| Berry Plastics Holding Corporation |
||||||||
| Term Loan, 3.50%, Maturing February 8, 2020 |
420 | $ | 415,360 | |||||
| Term Loan, 3.75%, Maturing January 6, 2021 |
878 | 871,445 | ||||||
| BWAY Holding Company, Inc. |
||||||||
| Term Loan, 4.50%, Maturing August 7, 2017 |
493 | 494,501 | ||||||
| Libbey Glass Inc. |
||||||||
| Term Loan, 3.75%, Maturing April 9, 2021 |
50 | 49,812 | ||||||
| Pelican Products, Inc. |
||||||||
| Term Loan, 5.25%, Maturing March 20, 2020 |
437 | 439,785 | ||||||
| Reynolds Group Holdings Inc. |
||||||||
| Term Loan, 4.00%, Maturing December 1, 2018 |
1,538 | 1,536,973 | ||||||
| TricorBraun, Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 3, 2018 |
404 | 405,203 | ||||||
|
|
|
|||||||
| $ | 4,213,079 | |||||||
|
|
|
|||||||
4
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Cosmetics/Toiletries — 0.2% |
||||||||
| Revlon Consumer Products Corporation |
||||||||
| Term Loan, 4.00%, Maturing October 8, 2019 |
224 | $ | 224,469 | |||||
| Sun Products Corporation (The) |
||||||||
| Term Loan, 5.50%, Maturing March 23, 2020 |
416 | 403,048 | ||||||
|
|
|
|||||||
| $ | 627,517 | |||||||
|
|
|
|||||||
| Drugs — 1.1% |
||||||||
| Alkermes, Inc. |
||||||||
| Term Loan, 3.50%, Maturing September 18, 2019 |
74 | $ | 73,795 | |||||
| Auxilium Pharmaceuticals, Inc. |
||||||||
| Term Loan, 6.25%, Maturing April 26, 2017 |
94 | 93,988 | ||||||
| Endo Luxembourg Finance Company I S.a.r.l. |
||||||||
| Term Loan, 3.25%, Maturing February 28, 2021 |
50 | 49,750 | ||||||
| Ikaria, Inc. |
||||||||
| Term Loan, 5.00%, Maturing February 12, 2021 |
150 | 151,004 | ||||||
| Par Pharmaceutical Companies, Inc. |
||||||||
| Term Loan, 4.00%, Maturing September 30, 2019 |
1,046 | 1,045,764 | ||||||
| Valeant Pharmaceuticals International, Inc. |
||||||||
| Term Loan, 3.75%, Maturing February 13, 2019 |
340 | 340,265 | ||||||
| Term Loan, 3.75%, Maturing December 11, 2019 |
341 | 341,203 | ||||||
| Term Loan, 3.75%, Maturing August 5, 2020 |
717 | 716,030 | ||||||
| VWR Funding, Inc. |
||||||||
| Term Loan, 3.41%, Maturing April 3, 2017 |
771 | 772,042 | ||||||
|
|
|
|||||||
| $ | 3,583,841 | |||||||
|
|
|
|||||||
| Ecological Services and Equipment — 0.2% |
||||||||
| ADS Waste Holdings, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 9, 2019 |
394 | $ | 392,558 | |||||
| EnergySolutions, LLC |
||||||||
| Term Loan, 6.75%, Maturing May 29, 2020 |
150 | 152,812 | ||||||
|
|
|
|||||||
| $ | 545,370 | |||||||
|
|
|
|||||||
| Electronics/Electrical — 4.6% |
||||||||
| Aeroflex Incorporated |
||||||||
| Term Loan, 4.50%, Maturing November 11, 2019 |
303 | $ | 304,606 | |||||
| Allflex Holdings III, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 17, 2020 |
124 | 124,125 | ||||||
| Answers Corporation |
||||||||
| Term Loan, 6.50%, Maturing December 20, 2018 |
146 | 147,530 | ||||||
| Term Loan - Second Lien, 11.00%, Maturing June 19, 2020 |
125 | 127,031 | ||||||
| Attachmate Corporation |
||||||||
| Term Loan, 7.25%, Maturing November 22, 2017 |
489 | 494,668 | ||||||
| Avago Technologies Cayman Ltd. |
||||||||
| Term Loan, 3.75%, Maturing May 6, 2021 |
1,325 | 1,323,961 | ||||||
| Blue Coat Systems, Inc. |
||||||||
| Term Loan - Second Lien, 9.50%, Maturing June 28, 2020 |
125 | 127,969 | ||||||
| Campaign Monitor Finance Pty Limited |
||||||||
| Term Loan, 6.25%, Maturing March 18, 2021 |
125 | 122,505 | ||||||
| CommScope, Inc. |
||||||||
| Term Loan, 3.25%, Maturing January 26, 2018 |
199 | 198,870 | ||||||
| CompuCom Systems, Inc. |
||||||||
| Term Loan, 4.25%, Maturing May 11, 2020 |
143 | 141,517 | ||||||
| Dell Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 29, 2018 |
135 | 134,990 | ||||||
| Term Loan, 4.50%, Maturing April 29, 2020 |
1,812 | 1,816,872 | ||||||
| Eagle Parent, Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 16, 2018 |
503 | 503,294 | ||||||
| Entegris, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 30, 2021 |
75 | 74,469 | ||||||
| Excelitas Technologies Corp. |
||||||||
| Term Loan, 6.00%, Maturing October 30, 2020 |
147 | 148,155 | ||||||
5
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| FIDJI Luxembourg (BC4) S.A.R.L. |
||||||||
| Term Loan, 6.25%, Maturing December 24, 2020 |
148 | $ | 149,606 | |||||
| Freescale Semiconductor, Inc. |
||||||||
| Term Loan, 4.25%, Maturing February 28, 2020 |
369 | 367,508 | ||||||
| Go Daddy Operating Company, LLC |
||||||||
| Term Loan, 4.75%, Maturing May 13, 2021 |
1,162 | 1,160,064 | ||||||
| Infor (US), Inc. |
||||||||
| Term Loan, 3.75%, Maturing June 3, 2020 |
945 | 938,042 | ||||||
| M/A-COM Technology Solutions Holdings, Inc. |
||||||||
| Term Loan, 4.50%, Maturing May 7, 2021 |
100 | 100,875 | ||||||
| Magic Newco LLC |
||||||||
| Term Loan, 5.00%, Maturing December 12, 2018 |
270 | 272,244 | ||||||
| MH Sub I, LLC |
||||||||
| Term Loan, 0.00%, Maturing June 25, 2021(4) |
15 | 14,745 | ||||||
| Term Loan, 5.00%, Maturing July 8, 2021 |
135 | 135,653 | ||||||
| Microsemi Corporation |
||||||||
| Term Loan, 3.25%, Maturing February 19, 2020 |
239 | 237,904 | ||||||
| NXP B.V. |
||||||||
| Term Loan, 3.25%, Maturing January 11, 2020 |
347 | 345,258 | ||||||
| Open Text Corporation |
||||||||
| Term Loan, 3.25%, Maturing January 16, 2021 |
174 | 174,071 | ||||||
| Renaissance Learning, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 9, 2021 |
125 | 124,636 | ||||||
| Rocket Software, Inc. |
||||||||
| Term Loan, 5.75%, Maturing February 8, 2018 |
288 | 288,696 | ||||||
| RP Crown Parent, LLC |
||||||||
| Term Loan, 6.00%, Maturing December 21, 2018 |
543 | 545,964 | ||||||
| Sensata Technologies B.V. |
||||||||
| Term Loan, 3.25%, Maturing May 12, 2019 |
237 | 237,893 | ||||||
| Shield Finance Co. S.A.R.L. |
||||||||
| Term Loan, 5.00%, Maturing January 29, 2021 |
125 | 125,181 | ||||||
| Sirius Computer Solutions, Inc. |
||||||||
| Term Loan, 7.00%, Maturing November 30, 2018 |
94 | 95,283 | ||||||
| SkillSoft Corporation |
||||||||
| Term Loan, 4.50%, Maturing April 28, 2021 |
250 | 249,844 | ||||||
| Smart Technologies ULC |
||||||||
| Term Loan, 10.50%, Maturing January 31, 2018 |
118 | 122,688 | ||||||
| Sophia, L.P. |
||||||||
| Term Loan, 4.00%, Maturing July 19, 2018 |
231 | 230,693 | ||||||
| SS&C Technologies Holdings Europe S.A.R.L. |
||||||||
| Term Loan, 3.25%, Maturing June 7, 2019 |
15 | 15,210 | ||||||
| SS&C Technologies Inc. |
||||||||
| Term Loan, 3.25%, Maturing June 7, 2019 |
147 | 146,963 | ||||||
| SumTotal Systems LLC |
||||||||
| Term Loan, 6.25%, Maturing November 16, 2018 |
233 | 228,955 | ||||||
| SunEdison Semiconductor B.V. |
||||||||
| Term Loan, 6.50%, Maturing May 22, 2019 |
150 | 150,094 | ||||||
| SurveyMonkey.com, LLC |
||||||||
| Term Loan, 5.50%, Maturing February 5, 2019 |
97 | 97,828 | ||||||
| Sybil Software LLC |
||||||||
| Term Loan, 5.00%, Maturing March 20, 2020 |
573 | 574,006 | ||||||
| Vantiv, LLC |
||||||||
| Term Loan, 3.75%, Maturing May 12, 2021 |
150 | 150,750 | ||||||
| VeriFone Inc. |
||||||||
| Term Loan, 3.50%, Maturing June 30, 2021 |
500 | 500,417 | ||||||
| Wall Street Systems Delaware, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 30, 2021 |
646 | 646,056 | ||||||
6
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Web.com Group, Inc. |
||||||||
| Term Loan, 4.50%, Maturing October 27, 2017 |
176 | $ | 176,598 | |||||
|
|
|
|||||||
| $ | 14,394,287 | |||||||
|
|
|
|||||||
| Equipment Leasing — 0.3% |
||||||||
| Delos Finance S.A.R.L. |
||||||||
| Term Loan, 3.50%, Maturing March 6, 2021 |
425 | $ | 424,924 | |||||
| Flying Fortress Inc. |
||||||||
| Term Loan, 3.50%, Maturing June 30, 2017 |
500 | 500,156 | ||||||
|
|
|
|||||||
| $ | 925,080 | |||||||
|
|
|
|||||||
| Financial Intermediaries — 2.5% |
||||||||
| American Capital, Ltd. |
||||||||
| Term Loan, 3.50%, Maturing August 22, 2017 |
131 | $ | 131,250 | |||||
| Armor Holding II LLC |
||||||||
| Term Loan, 5.75%, Maturing June 26, 2020 |
121 | 120,971 | ||||||
| Citco Funding LLC |
||||||||
| Term Loan, 4.25%, Maturing June 29, 2018 |
681 | 683,243 | ||||||
| Clipper Acquisitions Corp. |
||||||||
| Term Loan, 3.00%, Maturing February 6, 2020 |
99 | 98,095 | ||||||
| First Data Corporation |
||||||||
| Term Loan, 3.67%, Maturing March 23, 2018 |
650 | 644,177 | ||||||
| Term Loan, 3.67%, Maturing September 24, 2018 |
375 | 371,641 | ||||||
| Grosvenor Capital Management Holdings, LLP |
||||||||
| Term Loan, 3.75%, Maturing January 4, 2021 |
1,224 | 1,218,139 | ||||||
| Guggenheim Partners, LLC |
||||||||
| Term Loan, 4.25%, Maturing July 22, 2020 |
149 | 148,968 | ||||||
| Harbourvest Partners, LLC |
||||||||
| Term Loan, 3.25%, Maturing February 4, 2021 |
151 | 150,733 | ||||||
| Home Loan Servicing Solutions, Ltd. |
||||||||
| Term Loan, 4.50%, Maturing June 19, 2020 |
198 | 198,928 | ||||||
| LPL Holdings, Inc. |
||||||||
| Term Loan, 3.25%, Maturing March 29, 2019 |
1,590 | 1,588,929 | ||||||
| Nuveen Investments, Inc. |
||||||||
| Term Loan, 4.16%, Maturing May 15, 2017 |
1,250 | 1,251,476 | ||||||
| Ocwen Financial Corporation |
||||||||
| Term Loan, 5.00%, Maturing February 15, 2018 |
247 | 247,924 | ||||||
| Oz Management LP |
||||||||
| Term Loan, 1.66%, Maturing November 15, 2016 |
220 | 212,103 | ||||||
| Sesac Holdco II, LLC |
||||||||
| Term Loan, 5.01%, Maturing February 8, 2019 |
299 | 300,739 | ||||||
| Starwood Property Trust, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 17, 2020 |
124 | 123,612 | ||||||
| Walker & Dunlop, Inc. |
||||||||
| Term Loan, 5.50%, Maturing December 11, 2020 |
124 | 126,241 | ||||||
| Walter Investment Management Corp. |
||||||||
| Term Loan, 4.75%, Maturing December 11, 2020 |
209 | 206,130 | ||||||
|
|
|
|||||||
| $ | 7,823,299 | |||||||
|
|
|
|||||||
| Food Products — 2.5% |
||||||||
| AdvancePierre Foods, Inc. |
||||||||
| Term Loan, 5.75%, Maturing July 10, 2017 |
646 | $ | 648,404 | |||||
| Big Heart Pet Brands |
||||||||
| Term Loan, 3.50%, Maturing March 8, 2020 |
782 | 772,471 | ||||||
| Blue Buffalo Company, Ltd. |
||||||||
| Term Loan, 4.00%, Maturing August 8, 2019 |
246 | 246,263 | ||||||
| Charger OpCo BV |
||||||||
| Term Loan, Maturing May 29, 2021(3) |
375 | 370,312 | ||||||
| Term Loan, Maturing June 30, 2021(3) |
EUR | 125 | 164,885 | |||||
7
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Clearwater Seafoods Limited Partnership |
||||||||
| Term Loan, 4.75%, Maturing June 24, 2019 |
173 | $ | 174,694 | |||||
| CSM Bakery Solutions LLC |
||||||||
| Term Loan, 4.75%, Maturing July 3, 2020 |
173 | 173,178 | ||||||
| Del Monte Foods, Inc. |
||||||||
| Term Loan, 4.25%, Maturing February 18, 2021 |
124 | 123,617 | ||||||
| Dole Food Company Inc. |
||||||||
| Term Loan, 4.50%, Maturing November 1, 2018 |
99 | 98,915 | ||||||
| H.J. Heinz Company |
||||||||
| Term Loan, 3.50%, Maturing June 5, 2020 |
2,005 | 2,007,256 | ||||||
| High Liner Foods Incorporated |
||||||||
| Term Loan, 4.25%, Maturing April 24, 2021 |
150 | 149,625 | ||||||
| JBS USA Holdings Inc. |
||||||||
| Term Loan, 3.75%, Maturing May 25, 2018 |
866 | 861,507 | ||||||
| Term Loan, 3.75%, Maturing September 18, 2020 |
298 | 296,723 | ||||||
| NBTY, Inc. |
||||||||
| Term Loan, 3.50%, Maturing October 1, 2017 |
888 | 887,532 | ||||||
| Pinnacle Foods Finance LLC |
||||||||
| Term Loan, 3.25%, Maturing April 29, 2020 |
124 | 123,298 | ||||||
| Term Loan, 3.25%, Maturing April 29, 2020 |
605 | 601,619 | ||||||
| Post Holdings Inc. |
||||||||
| Term Loan, 3.75%, Maturing June 2, 2021 |
100 | 100,464 | ||||||
|
|
|
|||||||
| $ | 7,800,763 | |||||||
|
|
|
|||||||
| Food Service — 1.3% |
||||||||
| Aramark Corporation |
||||||||
| Term Loan, 3.73%, Maturing July 26, 2016 |
43 | $ | 42,627 | |||||
| Term Loan, 3.73%, Maturing July 26, 2016 |
77 | 76,484 | ||||||
| Buffets, Inc. |
||||||||
| Term Loan, 0.11%, Maturing April 22, 2015(5) |
26 | 25,828 | ||||||
| Burger King Corporation |
||||||||
| Term Loan, 3.75%, Maturing September 28, 2019 |
565 | 567,486 | ||||||
| CEC Entertainment Concepts, L.P. |
||||||||
| Term Loan, 4.25%, Maturing February 14, 2021 |
125 | 123,908 | ||||||
| Darling International Inc. |
||||||||
| Term Loan, 3.50%, Maturing January 6, 2021 |
EUR | 175 | 234,430 | |||||
| DineEquity, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 19, 2017 |
203 | 203,863 | ||||||
| Dunkin’ Brands, Inc. |
||||||||
| Term Loan, 3.25%, Maturing February 7, 2021 |
526 | 517,885 | ||||||
| Landry’s, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 24, 2018 |
466 | 468,083 | ||||||
| OSI Restaurant Partners, LLC |
||||||||
| Term Loan, 3.50%, Maturing October 25, 2019 |
118 | 118,325 | ||||||
| US Foods, Inc. |
||||||||
| Term Loan, 4.50%, Maturing March 31, 2019 |
619 | 619,137 | ||||||
| Weight Watchers International, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 2, 2020 |
1,185 | 944,445 | ||||||
| Wendy’s International, Inc. |
||||||||
| Term Loan, 3.25%, Maturing May 15, 2019 |
254 | 254,030 | ||||||
|
|
|
|||||||
| $ | 4,196,531 | |||||||
|
|
|
|||||||
| Food/Drug Retailers — 1.8% |
||||||||
| Albertson’s, LLC |
||||||||
| Term Loan, 4.75%, Maturing March 21, 2019 |
223 | $ | 224,543 | |||||
| Alliance Boots Holdings Limited |
||||||||
| Term Loan, 3.56%, Maturing July 10, 2017 |
EUR | 1,000 | 1,341,801 | |||||
| Term Loan, 3.98%, Maturing July 10, 2017 |
GBP | 300 | 506,727 | |||||
| General Nutrition Centers, Inc. |
||||||||
| Term Loan, 3.25%, Maturing March 4, 2019 |
853 | 847,534 | ||||||
8
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| New Albertson’s, Inc. |
||||||||
| Term Loan, 4.75%, Maturing June 27, 2021 |
1,175 | $ | 1,179,988 | |||||
| Rite Aid Corporation |
||||||||
| Term Loan, 3.50%, Maturing February 21, 2020 |
446 | 444,952 | ||||||
| Term Loan - Second Lien, 5.75%, Maturing August 21, 2020 |
100 | 102,100 | ||||||
| Supervalu Inc. |
||||||||
| Term Loan, 4.50%, Maturing March 21, 2019 |
990 | 990,420 | ||||||
|
|
|
|||||||
| $ | 5,638,065 | |||||||
|
|
|
|||||||
| Health Care — 6.2% |
||||||||
| Akorn, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 16, 2021 |
125 | $ | 125,469 | |||||
| Term Loan, Maturing April 16, 2021(3) |
75 | 75,281 | ||||||
| Alere, Inc. |
||||||||
| Term Loan, 4.25%, Maturing June 30, 2017 |
755 | 757,705 | ||||||
| Alliance Healthcare Services, Inc. |
||||||||
| Term Loan, 4.25%, Maturing June 3, 2019 |
223 | 222,890 | ||||||
| Amneal Pharmaceuticals LLC |
||||||||
| Term Loan, 4.75%, Maturing November 1, 2019 |
99 | 99,808 | ||||||
| Amsurg Corp. |
||||||||
| Term Loan, 3.75%, Maturing July 16, 2021 |
100 | 100,104 | ||||||
| Ardent Medical Services, Inc. |
||||||||
| Term Loan, 6.75%, Maturing July 2, 2018 |
275 | 276,099 | ||||||
| Biomet Inc. |
||||||||
| Term Loan, 3.66%, Maturing July 25, 2017 |
1,143 | 1,143,970 | ||||||
| CHG Buyer Corporation |
||||||||
| Term Loan, 4.25%, Maturing November 19, 2019 |
123 | 122,925 | ||||||
| Community Health Systems, Inc. |
||||||||
| Term Loan, 3.48%, Maturing January 25, 2017 |
372 | 372,682 | ||||||
| Term Loan, 4.25%, Maturing January 27, 2021 |
1,439 | 1,444,535 | ||||||
| Convatec Inc. |
||||||||
| Term Loan, 4.00%, Maturing December 22, 2016 |
93 | 93,091 | ||||||
| DaVita HealthCare Partners, Inc. |
||||||||
| Term Loan, 3.50%, Maturing June 24, 2021 |
550 | 549,853 | ||||||
| DJO Finance LLC |
||||||||
| Term Loan, 4.25%, Maturing September 15, 2017 |
333 | 333,819 | ||||||
| Envision Healthcare Corporation |
||||||||
| Term Loan, 4.00%, Maturing May 25, 2018 |
401 | 401,473 | ||||||
| Gentiva Health Services, Inc. |
||||||||
| Term Loan, 6.50%, Maturing October 18, 2019 |
649 | 650,267 | ||||||
| Grifols Worldwide Operations USA, Inc. |
||||||||
| Term Loan, 3.16%, Maturing February 27, 2021 |
823 | 820,302 | ||||||
| HCA, Inc. |
||||||||
| Term Loan, 2.91%, Maturing March 31, 2017 |
1,207 | 1,209,325 | ||||||
| Term Loan, 2.98%, Maturing May 1, 2018 |
782 | 781,595 | ||||||
| Hologic Inc. |
||||||||
| Term Loan, 3.25%, Maturing August 1, 2019 |
298 | 297,092 | ||||||
| Iasis Healthcare LLC |
||||||||
| Term Loan, 4.50%, Maturing May 3, 2018 |
315 | 315,653 | ||||||
| inVentiv Health, Inc. |
||||||||
| Term Loan, 7.75%, Maturing May 15, 2018 |
533 | 533,922 | ||||||
| JLL/Delta Dutch Newco B.V. |
||||||||
| Term Loan, 4.25%, Maturing March 11, 2021 |
400 | 397,500 | ||||||
| Kindred Healthcare, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 9, 2021 |
250 | 249,766 | ||||||
| Kinetic Concepts, Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 4, 2018 |
928 | 929,173 | ||||||
| Mallinckrodt International Finance S.A. |
||||||||
| Term Loan, 3.50%, Maturing March 19, 2021 |
274 | 273,284 | ||||||
| Term Loan, Maturing July 17, 2021(3) |
225 | 224,062 | ||||||
9
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| MedAssets, Inc. |
||||||||
| Term Loan, 4.00%, Maturing December 13, 2019 |
75 | $ | 75,192 | |||||
| Millennium Laboratories, Inc. |
||||||||
| Term Loan, 5.25%, Maturing April 16, 2021 |
875 | 877,909 | ||||||
| MMM Holdings, Inc. |
||||||||
| Term Loan, 9.75%, Maturing December 12, 2017 |
121 | 122,299 | ||||||
| MSO of Puerto Rico, Inc. |
||||||||
| Term Loan, 9.75%, Maturing December 12, 2017 |
88 | 88,474 | ||||||
| National Mentor Holdings, Inc. |
||||||||
| Term Loan, 4.75%, Maturing January 31, 2021 |
100 | 100,207 | ||||||
| Onex Carestream Finance LP |
||||||||
| Term Loan, 5.00%, Maturing June 7, 2019 |
484 | 485,108 | ||||||
| Opal Acquisition, Inc. |
||||||||
| Term Loan, 5.00%, Maturing November 27, 2020 |
299 | 299,358 | ||||||
| Ortho-Clinical Diagnostics, Inc. |
||||||||
| Term Loan, 4.75%, Maturing June 30, 2021 |
550 | 550,573 | ||||||
| Pharmaceutical Product Development LLC |
||||||||
| Term Loan, 4.00%, Maturing December 5, 2018 |
1,345 | 1,347,632 | ||||||
| PRA Holdings, Inc. |
||||||||
| Term Loan, 4.50%, Maturing September 23, 2020 |
623 | 621,754 | ||||||
| Radnet Management, Inc. |
||||||||
| Term Loan, 4.27%, Maturing October 10, 2018 |
317 | 318,161 | ||||||
| RegionalCare Hospital Partners, Inc. |
||||||||
| Term Loan, 6.00%, Maturing April 19, 2019 |
375 | 376,758 | ||||||
| Salix Pharmaceuticals, Ltd. |
||||||||
| Term Loan, 4.25%, Maturing January 2, 2020 |
122 | 122,580 | ||||||
| Select Medical Corporation |
||||||||
| Term Loan, 3.75%, Maturing June 1, 2018 |
225 | 225,000 | ||||||
| Steward Health Care System LLC |
||||||||
| Term Loan, 6.75%, Maturing April 12, 2020 |
400 | 397,500 | ||||||
| TriZetto Corporation |
||||||||
| Term Loan, 4.75%, Maturing May 2, 2018 |
282 | 283,261 | ||||||
| Truven Health Analytics Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 6, 2019 |
319 | 318,730 | ||||||
|
|
|
|||||||
| $ | 19,412,141 | |||||||
|
|
|
|||||||
| Home Furnishings — 0.2% |
||||||||
| Serta/Simmons Holdings, LLC |
||||||||
| Term Loan, 4.25%, Maturing October 1, 2019 |
315 | $ | 315,671 | |||||
| Tempur-Pedic International Inc. |
||||||||
| Term Loan, 3.50%, Maturing March 18, 2020 |
290 | 289,863 | ||||||
|
|
|
|||||||
| $ | 605,534 | |||||||
|
|
|
|||||||
| Industrial Equipment — 1.8% |
||||||||
| Apex Tool Group, LLC |
||||||||
| Term Loan, 4.50%, Maturing January 31, 2020 |
547 | $ | 540,504 | |||||
| Doosan Infracore International, Inc. |
||||||||
| Term Loan, 4.50%, Maturing May 28, 2021 |
200 | 201,082 | ||||||
| Gardner Denver, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 30, 2020 |
347 | 346,208 | ||||||
| Gemini HDPE LLC |
||||||||
| Term Loan, Maturing August 4, 2021(3) |
375 | 375,937 | ||||||
| Generac Power Systems, Inc. |
||||||||
| Term Loan, 3.25%, Maturing May 31, 2020 |
319 | 316,784 | ||||||
| Grede Holdings LLC |
||||||||
| Term Loan, 4.75%, Maturing June 2, 2021 |
150 | 150,813 | ||||||
| Husky Injection Molding Systems Ltd. |
||||||||
| Term Loan, 4.25%, Maturing June 30, 2021 |
475 | 476,707 | ||||||
| Term Loan - Second Lien, 7.25%, Maturing June 30, 2022 |
125 | 126,146 | ||||||
10
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Milacron LLC |
||||||||
| Term Loan, 4.00%, Maturing March 30, 2020 |
574 | $ | 573,885 | |||||
| Paladin Brands Holding, Inc. |
||||||||
| Term Loan, 6.75%, Maturing August 16, 2019 |
96 | 96,950 | ||||||
| Rexnord LLC |
||||||||
| Term Loan, 4.00%, Maturing August 21, 2020 |
844 | 843,040 | ||||||
| Signode Industrial Group US Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 1, 2021 |
250 | 249,115 | ||||||
| Spansion LLC |
||||||||
| Term Loan, 3.75%, Maturing December 19, 2019 |
197 | 196,809 | ||||||
| STS Operating, Inc. |
||||||||
| Term Loan, 4.75%, Maturing February 19, 2021 |
350 | 351,843 | ||||||
| Tank Holding Corp. |
||||||||
| Term Loan, 4.25%, Maturing July 9, 2019 |
164 | 164,230 | ||||||
| Terex Corporation |
||||||||
| Term Loan, 3.50%, Maturing April 28, 2017 |
744 | 745,182 | ||||||
| Virtuoso US LLC |
||||||||
| Term Loan, 4.75%, Maturing February 11, 2021 |
75 | 75,046 | ||||||
|
|
|
|||||||
| $ | 5,830,281 | |||||||
|
|
|
|||||||
| Insurance — 1.5% |
||||||||
| Alliant Holdings I, Inc. |
||||||||
| Term Loan, 4.25%, Maturing December 20, 2019 |
390 | $ | 390,397 | |||||
| AmWINS Group, LLC |
||||||||
| Term Loan, 5.00%, Maturing September 6, 2019 |
912 | 914,913 | ||||||
| Applied Systems, Inc. |
||||||||
| Term Loan, 4.25%, Maturing January 25, 2021 |
149 | 149,157 | ||||||
| Asurion LLC |
||||||||
| Term Loan, 5.00%, Maturing May 24, 2019 |
1,646 | 1,655,707 | ||||||
| Term Loan, 4.25%, Maturing July 8, 2020 |
173 | 172,979 | ||||||
| Term Loan - Second Lien, 8.50%, Maturing March 3, 2021 |
175 | 180,906 | ||||||
| CGSC of Delaware Holding Corporation |
||||||||
| Term Loan, 5.00%, Maturing April 16, 2020 |
50 | 48,324 | ||||||
| Cunningham Lindsey U.S. Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 10, 2019 |
172 | 172,089 | ||||||
| Hub International Limited |
||||||||
| Term Loan, 4.25%, Maturing October 2, 2020 |
521 | 520,371 | ||||||
| USI, Inc. |
||||||||
| Term Loan, 4.25%, Maturing December 27, 2019 |
469 | 469,207 | ||||||
|
|
|
|||||||
| $ | 4,674,050 | |||||||
|
|
|
|||||||
| Leisure Goods/Activities/Movies — 2.9% |
||||||||
| Activision Blizzard, Inc. |
||||||||
| Term Loan, 3.25%, Maturing October 12, 2020 |
530 | $ | 529,688 | |||||
| Amaya Holdings B.V. |
||||||||
| Term Loan, Maturing August 1, 2021(3) |
525 | 520,324 | ||||||
| Term Loan - Second Lien, Maturing August 1, 2022(3) |
150 | 151,938 | ||||||
| AMC Entertainment, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 30, 2020 |
444 | 443,922 | ||||||
| Bally Technologies, Inc. |
||||||||
| Term Loan, 4.25%, Maturing November 25, 2020 |
187 | 187,528 | ||||||
| Bombardier Recreational Products, Inc. |
||||||||
| Term Loan, 4.00%, Maturing January 30, 2019 |
641 | 640,341 | ||||||
| ClubCorp Club Operations, Inc. |
||||||||
| Term Loan, 4.00%, Maturing July 24, 2020 |
473 | 471,300 | ||||||
| Delta 2 (LUX) S.a.r.l. |
||||||||
| Term Loan, 4.50%, Maturing April 30, 2019 |
539 | 540,780 | ||||||
| Emerald Expositions Holding, Inc. |
||||||||
| Term Loan, 5.50%, Maturing June 17, 2020 |
190 | 191,627 | ||||||
| Equinox Holdings, Inc. |
||||||||
| Term Loan, 4.25%, Maturing January 31, 2020 |
347 | 348,176 | ||||||
11
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Fender Musical Instruments Corporation |
||||||||
| Term Loan, 5.75%, Maturing April 3, 2019 |
89 | $ | 89,268 | |||||
| Kasima, LLC |
||||||||
| Term Loan, 3.25%, Maturing May 17, 2021 |
175 | 174,453 | ||||||
| Live Nation Entertainment, Inc. |
||||||||
| Term Loan, 3.50%, Maturing August 17, 2020 |
504 | 504,771 | ||||||
| Nord Anglia Education Limited |
||||||||
| Term Loan, 4.50%, Maturing March 19, 2021 |
400 | 400,750 | ||||||
| Regal Cinemas, Inc. |
||||||||
| Term Loan, 2.68%, Maturing August 23, 2017 |
1,182 | 1,183,270 | ||||||
| Sabre, Inc. |
||||||||
| Term Loan, 4.25%, Maturing February 19, 2019 |
222 | 221,325 | ||||||
| SeaWorld Parks & Entertainment, Inc. |
||||||||
| Term Loan, 3.00%, Maturing May 14, 2020 |
554 | 546,680 | ||||||
| Six Flags Theme Parks, Inc. |
||||||||
| Term Loan, 3.50%, Maturing December 20, 2018 |
600 | 601,905 | ||||||
| SRAM, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 10, 2020 |
349 | 346,524 | ||||||
| Town Sports International Inc. |
||||||||
| Term Loan, 4.50%, Maturing November 16, 2020 |
224 | 203,726 | ||||||
| US Finco LLC |
||||||||
| Term Loan, 4.00%, Maturing May 29, 2020 |
74 | 74,134 | ||||||
| WMG Acquisition Corp. |
||||||||
| Term Loan, 3.75%, Maturing July 1, 2020 |
174 | 170,503 | ||||||
| Zuffa LLC |
||||||||
| Term Loan, 3.75%, Maturing February 25, 2020 |
566 | 566,908 | ||||||
|
|
|
|||||||
| $ | 9,109,841 | |||||||
|
|
|
|||||||
| Lodging and Casinos — 2.1% |
||||||||
| Affinity Gaming, LLC |
||||||||
| Term Loan, 5.25%, Maturing November 9, 2017 |
457 | $ | 456,863 | |||||
| Boyd Gaming Corporation |
||||||||
| Term Loan, 4.00%, Maturing August 14, 2020 |
97 | 96,994 | ||||||
| Caesars Entertainment Operating Company |
||||||||
| Term Loan, 6.96%, Maturing March 1, 2017 |
366 | 341,612 | ||||||
| CityCenter Holdings, LLC |
||||||||
| Term Loan, 4.25%, Maturing October 16, 2020 |
636 | 636,787 | ||||||
| Four Seasons Holdings Inc. |
||||||||
| Term Loan, 3.50%, Maturing June 27, 2020 |
99 | 98,893 | ||||||
| Term Loan - Second Lien, Maturing December 28, 2020(3) |
500 | 505,625 | ||||||
| Hilton Worldwide Finance, LLC |
||||||||
| Term Loan, 3.50%, Maturing October 26, 2020 |
2,392 | 2,384,327 | ||||||
| La Quinta Intermediate Holdings LLC |
||||||||
| Term Loan, 4.00%, Maturing April 14, 2021 |
192 | 192,802 | ||||||
| Las Vegas Sands LLC |
||||||||
| Term Loan, 3.25%, Maturing December 19, 2020 |
348 | 347,869 | ||||||
| MGM Resorts International |
||||||||
| Term Loan, 3.50%, Maturing December 20, 2019 |
493 | 490,243 | ||||||
| Pinnacle Entertainment, Inc. |
||||||||
| Term Loan, 3.75%, Maturing August 13, 2020 |
144 | 144,845 | ||||||
| Playa Resorts Holding B.V. |
||||||||
| Term Loan, 4.00%, Maturing August 6, 2019 |
99 | 99,343 | ||||||
| RHP Hotel Properties, LP |
||||||||
| Term Loan, 3.75%, Maturing January 15, 2021 |
125 | 125,586 | ||||||
| Scientific Games International, Inc. |
||||||||
| Term Loan, 4.25%, Maturing October 18, 2020 |
647 | 638,492 | ||||||
|
|
|
|||||||
| $ | 6,560,281 | |||||||
|
|
|
|||||||
| Nonferrous Metals/Minerals — 0.9% |
||||||||
| Alpha Natural Resources, LLC |
||||||||
| Term Loan, 3.50%, Maturing May 22, 2020 |
148 | $ | 142,015 | |||||
12
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Arch Coal Inc. |
||||||||
| Term Loan, 6.25%, Maturing May 16, 2018 |
564 | $ | 554,596 | |||||
| Fairmount Minerals Ltd. |
||||||||
| Term Loan, 4.50%, Maturing September 5, 2019 |
372 | 375,367 | ||||||
| Murray Energy Corporation |
||||||||
| Term Loan, 5.25%, Maturing December 5, 2019 |
249 | 251,635 | ||||||
| Noranda Aluminum Acquisition Corporation |
||||||||
| Term Loan, 5.75%, Maturing February 28, 2019 |
171 | 166,715 | ||||||
| Novelis, Inc. |
||||||||
| Term Loan, 3.75%, Maturing March 10, 2017 |
410 | 410,801 | ||||||
| Oxbow Carbon LLC |
||||||||
| Term Loan, 4.25%, Maturing July 19, 2019 |
95 | 95,356 | ||||||
| Term Loan - Second Lien, 8.00%, Maturing January 17, 2020 |
150 | 154,125 | ||||||
| Walter Energy, Inc. |
||||||||
| Term Loan, 7.25%, Maturing April 2, 2018 |
681 | 646,874 | ||||||
|
|
|
|||||||
| $ | 2,797,484 | |||||||
|
|
|
|||||||
| Oil and Gas — 2.1% |
||||||||
| Ameriforge Group, Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 19, 2019 |
223 | $ | 224,213 | |||||
| Bronco Midstream Funding LLC |
||||||||
| Term Loan, 5.00%, Maturing August 17, 2020 |
307 | 310,198 | ||||||
| Citgo Petroleum Corporation |
||||||||
| Term Loan, 4.50%, Maturing July 29, 2021 |
200 | 201,250 | ||||||
| Crestwood Holdings LLC |
||||||||
| Term Loan, 7.00%, Maturing June 19, 2019 |
181 | 184,518 | ||||||
| Drillships Ocean Ventures Inc. |
||||||||
| Term Loan, 5.50%, Maturing July 18, 2021 |
200 | 201,375 | ||||||
| Energy Transfer Equity, L.P. |
||||||||
| Term Loan, 3.25%, Maturing December 2, 2019 |
325 | 321,054 | ||||||
| Fieldwood Energy LLC |
||||||||
| Term Loan, 3.88%, Maturing September 28, 2018 |
199 | 199,094 | ||||||
| Floatel International, Ltd. |
||||||||
| Term Loan, 6.00%, Maturing June 27, 2020 |
175 | 175,653 | ||||||
| MEG Energy Corp. |
||||||||
| Term Loan, 3.75%, Maturing March 31, 2020 |
1,450 | 1,452,041 | ||||||
| Obsidian Natural Gas Trust |
||||||||
| Term Loan, 7.00%, Maturing November 2, 2015 |
398 | 401,467 | ||||||
| Paragon Offshore Finance Company |
||||||||
| Term Loan, 3.75%, Maturing July 18, 2021 |
150 | 149,391 | ||||||
| Ruby Western Pipeline Holdings, LLC |
||||||||
| Term Loan, 3.50%, Maturing March 27, 2020 |
86 | 86,220 | ||||||
| Samson Investment Company |
||||||||
| Term Loan - Second Lien, 5.00%, Maturing September 25, 2018 |
175 | 174,813 | ||||||
| Seadrill Partners Finco LLC |
||||||||
| Term Loan, 4.00%, Maturing February 21, 2021 |
647 | 640,703 | ||||||
| Seventy Seven Operating LLC |
||||||||
| Term Loan, 3.75%, Maturing June 25, 2021 |
100 | 100,156 | ||||||
| Sheridan Investment Partners II, L.P. |
||||||||
| Term Loan, 4.25%, Maturing December 16, 2020 |
28 | 28,293 | ||||||
| Term Loan, 4.25%, Maturing December 16, 2020 |
76 | 75,864 | ||||||
| Term Loan, 4.25%, Maturing December 16, 2020 |
545 | 545,364 | ||||||
| Sheridan Production Partners I, LLC |
||||||||
| Term Loan, 4.25%, Maturing September 25, 2019 |
31 | 31,047 | ||||||
| Term Loan, 4.25%, Maturing September 25, 2019 |
51 | 50,830 | ||||||
| Term Loan, 4.25%, Maturing October 1, 2019 |
383 | 383,596 | ||||||
| Tallgrass Operations, LLC |
||||||||
| Term Loan, 4.25%, Maturing November 13, 2018 |
303 | 303,409 | ||||||
| Tervita Corporation |
||||||||
| Term Loan, 6.25%, Maturing May 15, 2018 |
320 | 321,697 | ||||||
|
|
|
|||||||
| $ | 6,562,246 | |||||||
|
|
|
|||||||
13
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Publishing — 1.5% |
||||||||
| Ascend Learning, LLC |
||||||||
| Term Loan, 6.00%, Maturing July 31, 2019 |
224 | $ | 226,464 | |||||
| Flint Group SA |
||||||||
| Term Loan, 5.31%, Maturing December 30, 2016 |
EUR | 685 | 917,419 | |||||
| Getty Images, Inc. |
||||||||
| Term Loan, 4.75%, Maturing October 18, 2019 |
936 | 904,818 | ||||||
| Interactive Data Corporation |
||||||||
| Term Loan, 4.75%, Maturing May 2, 2021 |
275 | 276,461 | ||||||
| Laureate Education, Inc. |
||||||||
| Term Loan, 5.00%, Maturing June 15, 2018 |
1,530 | 1,488,156 | ||||||
| McGraw-Hill Global Education Holdings, LLC |
||||||||
| Term Loan, 5.75%, Maturing March 22, 2019 |
127 | 128,143 | ||||||
| Media General, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 31, 2020 |
186 | 186,492 | ||||||
| Merrill Communications, LLC |
||||||||
| Term Loan, 5.75%, Maturing March 8, 2018 |
140 | 142,683 | ||||||
| Multi Packaging Solutions, Inc. |
||||||||
| Term Loan, 4.25%, Maturing September 30, 2020 |
75 | 74,968 | ||||||
| Rentpath, Inc. |
||||||||
| Term Loan, 6.25%, Maturing May 29, 2020 |
173 | 174,983 | ||||||
| Springer Science+Business Media Deutschland GmbH |
||||||||
| Term Loan, 5.00%, Maturing August 14, 2020 |
199 | 198,779 | ||||||
|
|
|
|||||||
| $ | 4,719,366 | |||||||
|
|
|
|||||||
| Radio and Television — 1.0% |
||||||||
| Clear Channel Communications, Inc. |
||||||||
| Term Loan, Maturing July 30, 2019(3) |
450 | $ | 450,241 | |||||
| Cumulus Media Holdings Inc. |
||||||||
| Term Loan, 4.25%, Maturing December 23, 2020 |
763 | 765,609 | ||||||
| Mission Broadcasting, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 1, 2020 |
127 | 127,633 | ||||||
| Nexstar Broadcasting, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 1, 2020 |
144 | 144,737 | ||||||
| TWCC Holding Corp. |
||||||||
| Term Loan, 3.50%, Maturing February 13, 2017 |
255 | 253,193 | ||||||
| Term Loan - Second Lien, 7.00%, Maturing June 26, 2020 |
125 | 123,203 | ||||||
| Univision Communications Inc. |
||||||||
| Term Loan, 4.00%, Maturing March 1, 2020 |
1,149 | 1,143,728 | ||||||
|
|
|
|||||||
| $ | 3,008,344 | |||||||
|
|
|
|||||||
| Retailers (Except Food and Drug) — 2.5% |
||||||||
| 99 Cents Only Stores |
||||||||
| Term Loan, 4.50%, Maturing January 11, 2019 |
340 | $ | 342,459 | |||||
| Bass Pro Group, LLC |
||||||||
| Term Loan, 3.75%, Maturing November 20, 2019 |
447 | 447,673 | ||||||
| Burlington Coat Factory Warehouse Corporation |
||||||||
| Term Loan, Maturing July 17, 2021(3) |
100 | 100,000 | ||||||
| CDW LLC |
||||||||
| Term Loan, 3.25%, Maturing April 29, 2020 |
370 | 366,431 | ||||||
| David’s Bridal, Inc. |
||||||||
| Term Loan, 5.00%, Maturing October 11, 2019 |
119 | 116,109 | ||||||
| Evergreen Acqco 1 LP |
||||||||
| Term Loan, 5.00%, Maturing July 9, 2019 |
123 | 122,995 | ||||||
| Harbor Freight Tools USA, Inc. |
||||||||
| Term Loan, 4.75%, Maturing July 26, 2019 |
198 | 199,163 | ||||||
| Hudson’s Bay Company |
||||||||
| Term Loan, 4.75%, Maturing November 4, 2020 |
671 | 676,912 | ||||||
| J. Crew Group, Inc. |
||||||||
| Term Loan, 4.00%, Maturing March 5, 2021 |
524 | 512,363 | ||||||
14
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Jo-Ann Stores, Inc. |
||||||||
| Term Loan, 4.00%, Maturing March 16, 2018 |
332 | $ | 331,132 | |||||
| Men’s Wearhouse, Inc. (The) |
||||||||
| Term Loan, 4.50%, Maturing June 18, 2021 |
250 | 252,342 | ||||||
| Michaels Stores, Inc. |
||||||||
| Term Loan, 3.75%, Maturing January 28, 2020 |
1,491 | 1,488,029 | ||||||
| Term Loan, 4.00%, Maturing January 28, 2020 |
175 | 174,453 | ||||||
| Neiman Marcus Group, Inc. (The) |
||||||||
| Term Loan, 4.25%, Maturing October 25, 2020 |
771 | 768,576 | ||||||
| Party City Holdings Inc. |
||||||||
| Term Loan, 4.00%, Maturing July 27, 2019 |
271 | 269,317 | ||||||
| Petco Animal Supplies, Inc. |
||||||||
| Term Loan, 4.00%, Maturing November 24, 2017 |
734 | 735,488 | ||||||
| Pier 1 Imports (U.S.), Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 30, 2021 |
100 | 100,250 | ||||||
| Pilot Travel Centers LLC |
||||||||
| Term Loan, 3.75%, Maturing March 30, 2018 |
333 | 334,287 | ||||||
| Term Loan, 4.25%, Maturing August 7, 2019 |
123 | 122,959 | ||||||
| Spin Holdco Inc. |
||||||||
| Term Loan, 4.25%, Maturing November 14, 2019 |
298 | 298,003 | ||||||
| Visant Corporation |
||||||||
| Term Loan, 5.25%, Maturing December 22, 2016 |
252 | 250,889 | ||||||
|
|
|
|||||||
| $ | 8,009,830 | |||||||
|
|
|
|||||||
| Steel — 0.6% |
||||||||
| Essar Steel Algoma, Inc. |
||||||||
| Term Loan, 10.25%, Maturing September 20, 2014 |
197 | $ | 197,335 | |||||
| FMG Resources (August 2006) Pty Ltd. |
||||||||
| Term Loan, 3.75%, Maturing June 30, 2019 |
1,204 | 1,202,367 | ||||||
| JMC Steel Group, Inc. |
||||||||
| Term Loan, 4.75%, Maturing April 3, 2017 |
145 | 145,671 | ||||||
| Neenah Foundry Company |
||||||||
| Term Loan, 6.75%, Maturing April 26, 2017 |
89 | 88,542 | ||||||
| Patriot Coal Corporation |
||||||||
| Term Loan, 9.00%, Maturing December 15, 2018 |
75 | 73,817 | ||||||
| Waupaca Foundry, Inc. |
||||||||
| Term Loan, 4.00%, Maturing June 29, 2017 |
205 | 205,419 | ||||||
|
|
|
|||||||
| $ | 1,913,151 | |||||||
|
|
|
|||||||
| Surface Transport — 0.3% |
||||||||
| Hertz Corporation (The) |
||||||||
| Term Loan, 3.75%, Maturing March 12, 2018 |
345 | $ | 345,020 | |||||
| Stena International S.a.r.l. |
||||||||
| Term Loan, 4.00%, Maturing March 3, 2021 |
274 | 274,741 | ||||||
| Swift Transportation Co., LLC |
||||||||
| Term Loan, 3.75%, Maturing June 9, 2021 |
200 | 200,061 | ||||||
|
|
|
|||||||
| $ | 819,822 | |||||||
|
|
|
|||||||
| Telecommunications — 1.6% |
||||||||
| Arris Group, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 17, 2020 |
132 | $ | 131,586 | |||||
| Cellular South, Inc. |
||||||||
| Term Loan, 3.25%, Maturing May 22, 2020 |
74 | 73,924 | ||||||
| Intelsat Jackson Holdings S.A. |
||||||||
| Term Loan, 3.75%, Maturing June 30, 2019 |
1,650 | 1,650,000 | ||||||
| IPC Systems, Inc. |
||||||||
| Term Loan, 6.00%, Maturing November 8, 2020 |
175 | 176,094 | ||||||
| SBA Senior Finance II LLC |
||||||||
| Term Loan, 3.25%, Maturing March 24, 2021 |
350 | 346,937 | ||||||
| Syniverse Holdings, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 23, 2019 |
242 | 242,229 | ||||||
| Term Loan, 4.00%, Maturing April 23, 2019 |
336 | 335,887 | ||||||
15
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Telesat Canada |
||||||||
| Term Loan, 3.50%, Maturing March 28, 2019 |
662 | $ | 660,237 | |||||
| Windstream Corporation |
||||||||
| Term Loan, 3.50%, Maturing August 8, 2019 |
123 | 122,705 | ||||||
| Term Loan, Maturing January 23, 2020(3) |
1,365 | 1,361,769 | ||||||
|
|
|
|||||||
| $ | 5,101,368 | |||||||
|
|
|
|||||||
| Utilities — 0.8% |
||||||||
| Calpine Construction Finance Company, L.P. |
||||||||
| Term Loan, 3.00%, Maturing May 3, 2020 |
198 | $ | 194,411 | |||||
| Term Loan, 3.25%, Maturing January 31, 2022 |
74 | 73,501 | ||||||
| Calpine Corporation |
||||||||
| Term Loan, 4.00%, Maturing April 1, 2018 |
194 | 194,849 | ||||||
| Term Loan, 4.00%, Maturing April 1, 2018 |
532 | 534,054 | ||||||
| Term Loan, 4.00%, Maturing October 9, 2019 |
172 | 172,389 | ||||||
| Dynegy Holdings Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 23, 2020 |
183 | 182,941 | ||||||
| EFS Cogen Holdings I LLC |
||||||||
| Term Loan, 3.75%, Maturing December 17, 2020 |
92 | 92,207 | ||||||
| Energy Future Intermediate Holding Co LLC |
||||||||
| DIP Loan, 4.25%, Maturing June 19, 2016 |
300 | 301,312 | ||||||
| Equipower Resources Holdings LLC |
||||||||
| Term Loan, 4.25%, Maturing December 31, 2019 |
99 | 99,372 | ||||||
| La Frontera Generation, LLC |
||||||||
| Term Loan, 4.50%, Maturing September 30, 2020 |
93 | 93,319 | ||||||
| WTG Holdings III Corp. |
||||||||
| Term Loan, 4.75%, Maturing January 15, 2021 |
575 | 574,984 | ||||||
|
|
|
|||||||
| $ | 2,513,339 | |||||||
|
|
|
|||||||
| Total Senior Floating-Rate Interests |
$ | 172,225,067 | ||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 18.1% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp.: |
||||||||
| Series 2113, Class QG, 6.00%, 1/15/29 |
$ | 1,454 | $ | 1,633,957 | ||||
| Series 2167, Class BZ, 7.00%, 6/15/29 |
1,091 | 1,253,351 | ||||||
| Series 2182, Class ZB, 8.00%, 9/15/29 |
1,798 | 2,136,624 | ||||||
| Series 2631, (Interest Only), Class DS, 6.948%, 6/15/33(6)(7) |
3,161 | 546,841 | ||||||
| Series 2770, (Interest Only), Class SH, 6.948%, 3/15/34(6)(7) |
3,529 | 673,781 | ||||||
| Series 2981, (Interest Only), Class CS, 6.568%, 5/15/35(6)(7) |
2,094 | 374,215 | ||||||
| Series 3114, (Interest Only), Class TS, 6.498%, 9/15/30(6)(7) |
5,057 | 831,473 | ||||||
| Series 3339, (Interest Only), Class JI, 6.438%, 7/15/37(6)(7) |
4,173 | 599,826 | ||||||
| Series 3423, (Interest Only), Class SN, 5.978%, 3/15/38(6)(7) |
6,378 | 877,018 | ||||||
| Series 3898, Class TS, 5.00%, 4/15/41(7) |
743 | 764,834 | ||||||
| Series 4109, (Interest Only), Class ES, 5.998%, 12/15/41(6)(7) |
5,712 | 401,713 | ||||||
| Series 4163, (Interest Only), Class GS, 6.048%, 11/15/32(6)(7) |
7,025 | 1,479,723 | ||||||
| Series 4169, (Interest Only), Class AS, 6.098%, 2/15/33(6)(7) |
4,480 | 844,982 | ||||||
| Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26(6) |
5,010 | 630,112 | ||||||
| Series 4203, (Interest Only), Class QS, 6.098%, 5/15/43(6)(7) |
4,679 | 918,771 | ||||||
| Series 4273, Class PU, 4.00%, 11/15/43 |
3,056 | 3,089,773 | ||||||
| Series 4316, (Interest Only), Class JS, 5.948%, 1/15/44(6)(7) |
5,344 | 1,005,946 | ||||||
|
|
|
|||||||
| $ | 18,062,940 | |||||||
|
|
|
|||||||
| Federal National Mortgage Association: |
||||||||
| Series 1989-89, Class H, 9.00%, 11/25/19 |
$ | 57 | $ | 63,814 | ||||
| Series 1991-122, Class N, 7.50%, 9/25/21 |
241 | 269,004 | ||||||
| Series 1993-84, Class M, 7.50%, 6/25/23 |
1,839 | 2,114,853 | ||||||
| Series 1994-42, Class K, 6.50%, 4/25/24 |
555 | 616,455 | ||||||
16
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Series 1997-28, Class ZA, 7.50%, 4/20/27 |
$ | 639 | $ | 751,516 | ||||
| Series 1997-38, Class N, 8.00%, 5/20/27 |
564 | 661,317 | ||||||
| Series 2004-46, (Interest Only), Class SI, 5.845%, 5/25/34(6)(7) |
3,549 | 520,129 | ||||||
| Series 2005-17, (Interest Only), Class SA, 6.545%, 3/25/35(6)(7) |
2,421 | 466,416 | ||||||
| Series 2006-42, (Interest Only), Class PI, 6.435%, 6/25/36(6)(7) |
4,603 | 763,035 | ||||||
| Series 2006-44, (Interest Only), Class IS, 6.445%, 6/25/36(6)(7) |
3,774 | 633,475 | ||||||
| Series 2006-72, (Interest Only), Class GI, 6.425%, 8/25/36(6)(7) |
6,858 | 1,093,412 | ||||||
| Series 2007-50, (Interest Only), Class LS, 6.295%, 6/25/37(6)(7) |
3,177 | 465,832 | ||||||
| Series 2007-74, Class AC, 5.00%, 8/25/37 |
3,618 | 3,954,188 | ||||||
| Series 2008-26, (Interest Only), Class SA, 6.045%, 4/25/38(6)(7) |
4,705 | 744,766 | ||||||
| Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35(6) |
3,374 | 235,689 | ||||||
| Series 2008-61, (Interest Only), Class S, 5.945%, 7/25/38(6)(7) |
5,792 | 930,873 | ||||||
| Series 2010-67, (Interest Only), Class SC, 5.645%, 6/25/40(6)(7) |
2,017 | 279,378 | ||||||
| Series 2010-99, (Interest Only), Class NS, 6.445%, 3/25/39(6)(7) |
6,128 | 754,679 | ||||||
| Series 2010-109, (Interest Only), Class PS, 6.445%, 10/25/40(6)(7) |
7,819 | 1,401,137 | ||||||
| Series 2010-119, (Interest Only), Class SK, 5.845%, 4/25/40(6)(7) |
3,848 | 308,470 | ||||||
| Series 2010-124, (Interest Only), Class SJ, 5.895%, 11/25/38(6)(7) |
4,706 | 666,507 | ||||||
| Series 2010-147, (Interest Only), Class KS, 5.795%, 1/25/41(6)(7) |
9,167 | 1,241,227 | ||||||
| Series 2010-150, (Interest Only), Class GS, 6.595%, 1/25/21(6)(7) |
6,547 | 815,137 | ||||||
| Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28(6) |
13,049 | 789,302 | ||||||
| Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25(6) |
8,812 | 977,673 | ||||||
| Series 2011-49, Class NT, 6.00%, 6/25/41(7) |
1,495 | 1,643,838 | ||||||
| Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26(6) |
10,884 | 1,034,070 | ||||||
| Series 2012-56, (Interest Only), Class SU, 6.595%, 8/25/26(6)(7) |
3,920 | 445,034 | ||||||
| Series 2012-150, (Interest Only), Class PS, 5.995%, 1/25/43(6)(7) |
9,032 | 1,738,575 | ||||||
| Series 2012-150, (Interest Only), Class SK, 5.995%, 1/25/43(6)(7) |
5,039 | 976,474 | ||||||
| Series 2013-6, Class TA, 1.50%, 1/25/43 |
4,679 | 4,384,042 | ||||||
| Series 2013-23, (Interest Only), Class CS, 6.095%, 3/25/33(6)(7) |
4,488 | 902,115 | ||||||
| Series 2013-54, (Interest Only), Class HS, 6.145%, 10/25/41(6)(7) |
4,507 | 780,599 | ||||||
| Series 2013-123, Class VS, 11.587%, 9/25/41(7) |
545 | 563,937 | ||||||
| Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44(6) |
4,273 | 936,249 | ||||||
| Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44(6) |
3,880 | 856,803 | ||||||
| Series G-33, Class PT, 7.00%, 10/25/21 |
477 | 508,021 | ||||||
|
|
|
|||||||
| $ | 36,288,041 | |||||||
|
|
|
|||||||
| Government National Mortgage Association: |
||||||||
| Series 2010-4, (Interest Only), Class SK, 6.044%, 5/20/35(6)(7) |
$ | 2,065 | $ | 360,266 | ||||
| Series 2012-50, (Principal Only), Class CO, 0.00%, 8/20/40(8) |
245 | 209,345 | ||||||
| Series 2013-24, Class KS, 5.573%, 2/20/43(7) |
1,551 | 1,529,953 | ||||||
| Series 2013-124, Class LS, 11.984%, 5/20/41(7) |
567 | 591,904 | ||||||
| Series 2013-150, Class SC, 7.609%, 10/16/43(7) |
38 | 38,388 | ||||||
|
|
|
|||||||
| $ | 2,729,856 | |||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations |
$ | 57,080,837 | ||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 5.9% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| COMM, Series 2014-KYO, Class D, 2.503%, 6/11/27(9)(10) |
$ | 1,000 | $ | 1,001,483 | ||||
| ESA, Series 2013-ESH7, Class D7, 5.053%, 12/5/31(9)(11) |
1,080 | 1,134,186 | ||||||
| HILT, Series 2013-HLT, Class DFX, 4.407%, 11/5/30(9) |
850 | 876,007 | ||||||
| JPMBB, Series 2014-C19, Class D, 4.679%, 4/15/47(9)(11) |
1,425 | 1,346,190 | ||||||
| JPMBB, Series 2014-C21, Class D, 4.816%, 8/15/47(9)(11) |
650 | 606,959 | ||||||
| JPMCC, Series 2006-CB14, Class A4, 5.481%, 12/12/44(11) |
465 | 486,983 | ||||||
| JPMCC, Series 2011-C5, Class D, 5.50%, 8/15/46(9)(11) |
1,850 | 1,969,093 | ||||||
| JPMCC, Series 2014-DSTY, Class B, 3.771%, 6/10/27(9) |
1,900 | 1,951,211 | ||||||
| UBSC, Series 2011-C1, Class D, 5.875%, 1/10/45(9)(11) |
2,000 | 2,233,162 | ||||||
| UBSCM, Series 2012-C1, Class D, 5.535%, 5/10/45(9)(11) |
2,000 | 2,092,927 | ||||||
17
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| WFCM, Series 2010-C1, Class C, 5.585%, 11/15/43(9)(11) |
$ | 500 | $ | 559,823 | ||||
| WFCM, Series 2013-LC12, Class D, 4.303%, 7/15/46(9)(11) |
2,000 | 1,866,379 | ||||||
| WF-RBS, Series 2012-C9, Class D, 4.803%, 11/15/45(9)(11) |
1,250 | 1,242,130 | ||||||
| WF-RBS, Series 2014-LC14, Class D, 4.586%, 3/15/47(9)(11) |
1,150 | 1,071,390 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities |
$ | 18,437,923 | ||||||
|
|
|
|||||||
| Mortgage Pass-Throughs — 25.3% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp.: |
||||||||
| 2.879%, with maturity at 2035(12) |
$ | 3,416 | $ | 3,629,703 | ||||
| 5.00%, with various maturities to 2023 |
2,890 | 3,083,887 | ||||||
| 6.00%, with various maturities to 2029 |
2,568 | 2,887,724 | ||||||
| 6.15%, with maturity at 2027 |
1,001 | 1,136,425 | ||||||
| 6.50%, with various maturities to 2032 |
8,250 | 9,248,072 | ||||||
| 7.00%, with various maturities to 2035 |
4,729 | 5,496,899 | ||||||
| 7.50%, with various maturities to 2035 |
2,192 | 2,570,630 | ||||||
| 8.00%, with various maturities to 2032 |
2,140 | 2,502,096 | ||||||
| 8.50%, with various maturities to 2031 |
2,548 | 3,025,449 | ||||||
| 9.00%, with maturity at 2031 |
220 | 253,163 | ||||||
| 9.50%, with various maturities to 2022 |
120 | 134,410 | ||||||
| 11.50%, with maturity at 2019 |
30 | 31,316 | ||||||
|
|
|
|||||||
| $ | 33,999,774 | |||||||
|
|
|
|||||||
| Federal National Mortgage Association: |
||||||||
| 5.00%, with various maturities to 2040 |
$ | 5,015 | $ | 5,549,763 | ||||
| 5.463%, with maturity at 2037(12) |
1,100 | 1,154,045 | ||||||
| 5.50%, with various maturities to 2033 |
3,287 | 3,662,771 | ||||||
| 6.00%, with maturity at 2023 |
2,065 | 2,285,770 | ||||||
| 6.32%, with maturity at 2032(12) |
1,422 | 1,578,891 | ||||||
| 6.50%, with various maturities to 2036 |
4,814 | 5,408,069 | ||||||
| 7.00%, with various maturities to 2033 |
7,444 | 8,628,857 | ||||||
| 7.50%, with various maturities to 2031 |
5,058 | 5,906,296 | ||||||
| 8.00%, with various maturities to 2029 |
1,362 | 1,610,861 | ||||||
| 8.50%, with various maturities to 2027 |
212 | 245,156 | ||||||
| 9.00%, with various maturities to 2029 |
587 | 696,823 | ||||||
| 9.50%, with maturity at 2014 |
1 | 734 | ||||||
| 10.00%, with various maturities to 2031 |
451 | 516,078 | ||||||
|
|
|
|||||||
| $ | 37,244,114 | |||||||
|
|
|
|||||||
| Government National Mortgage Association: |
||||||||
| 7.50%, with maturity at 2025 |
$ | 2,401 | $ | 2,787,504 | ||||
| 8.00%, with various maturities to 2027 |
2,967 | 3,549,964 | ||||||
| 9.00%, with various maturities to 2026 |
1,485 | 1,824,555 | ||||||
| 9.50%, with maturity at 2025 |
178 | 204,367 | ||||||
| 11.00%, with maturity at 2018 |
87 | 95,121 | ||||||
|
|
|
|||||||
| $ | 8,461,511 | |||||||
|
|
|
|||||||
| Total Mortgage Pass-Throughs |
$ | 79,705,399 | ||||||
|
|
|
|||||||
| Asset-Backed Securities — 2.6% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| AH4R, Series 2014-SFR1, Class C, 2.00%, 6/17/31(9)(10) |
$ | 200 | $ | 200,003 | ||||
| AH4R, Series 2014-SFR1, Class D, 2.35%, 6/17/31(9)(10) |
825 | 823,607 | ||||||
| CAH, Series 2014-1A, Class C, 2.10%, 5/17/31(9)(10) |
760 | 761,819 | ||||||
| Centurion CDO IX Ltd., Series 2005-9A, Class D1, 4.983%, 7/17/19(9)(10) |
500 | 485,729 | ||||||
18
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Invitation Homes Trust, Series 2013-SFR1, Class D, 2.40%, 12/17/30(9)(10) |
$ | 550 | $ | 549,233 | ||||
| Invitation Homes Trust, Series 2014-SFR1, Class D, 2.756%, 6/17/31(9)(10) |
1,220 | 1,231,356 | ||||||
| OMFIT, Series 2014-1A, Class A, 2.43%, 6/18/24(9) |
700 | 702,128 | ||||||
| OMFIT, Series 2014-1A, Class B, 3.24%, 6/18/24(9) |
800 | 802,880 | ||||||
| SBY, Series 2014-1, Class C, 2.206%, 9/17/31(9)(10)(13) |
2,000 | 2,000,462 | ||||||
| SRFC, Series 2014-1A, Class B, 2.42%, 3/20/30(9) |
488 | 484,943 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
$ | 8,042,160 | ||||||
|
|
|
|||||||
| Corporate Bonds & Notes — 1.1% |
| |||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Chemicals and Plastics — 0.1% |
||||||||
| Ineos Finance PLC |
||||||||
| 7.50%, 5/1/20(9) |
$ | 150 | $ | 161,250 | ||||
|
|
|
|||||||
| $ | 161,250 | |||||||
|
|
|
|||||||
| Financial Intermediaries — 0.1% |
||||||||
| First Data Corp. |
||||||||
| 6.75%, 11/1/20(9) |
$ | 163 | $ | 172,780 | ||||
|
|
|
|||||||
| $ | 172,780 | |||||||
|
|
|
|||||||
| Food Products — 0.5% |
||||||||
| Stretford 79 PLC |
||||||||
| 4.807%, 7/15/20(9)(10) |
$ | 1,000 | $ | 1,679,858 | ||||
|
|
|
|||||||
| $ | 1,679,858 | |||||||
|
|
|
|||||||
| Health Care — 0.1% |
||||||||
| Community Health Systems, Inc. |
||||||||
| 5.125%, 8/15/18 |
$ | 425 | $ | 436,688 | ||||
|
|
|
|||||||
| $ | 436,688 | |||||||
|
|
|
|||||||
| Lodging and Casinos — 0.1% |
||||||||
| Caesars Entertainment Operating Co., Inc. |
||||||||
| 8.50%, 2/15/20 |
$ | 350 | $ | 308,000 | ||||
|
|
|
|||||||
| $ | 308,000 | |||||||
|
|
|
|||||||
| Utilities — 0.2% |
||||||||
| Calpine Corp. |
||||||||
| 7.875%, 1/15/23(9) |
$ | 539 | $ | 588,857 | ||||
|
|
|
|||||||
| $ | 588,857 | |||||||
|
|
|
|||||||
| Total Corporate Bonds & Notes |
$ | 3,347,433 | ||||||
|
|
|
|||||||
| Foreign Corporate Bonds — 0.2% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Supranational — 0.2% |
||||||||
| International Bank for Reconstruction & Development |
||||||||
| 3.40%, 4/15/17(14) |
UYU | 16,813 | $ | 739,812 | ||||
|
|
|
|||||||
| $ | 739,812 | |||||||
|
|
|
|||||||
| Total Foreign Corporate Bonds |
$ | 739,812 | ||||||
|
|
|
|||||||
19
| Foreign Government Bonds — 10.1% |
||||||||
| Security | Principal Amount |
Value | ||||||
| Bangladesh — 1.4% |
||||||||
| Bangladesh Treasury Bond, 11.30%, 3/7/17 |
BDT | 50,000 | $ | 677,302 | ||||
| Bangladesh Treasury Bond, 11.40%, 5/9/17 |
BDT | 60,000 | 815,594 | |||||
| Bangladesh Treasury Bond, 11.50%, 8/8/17 |
BDT | 107,500 | 1,468,896 | |||||
| Bangladesh Treasury Bond, 11.52%, 12/5/17 |
BDT | 20,000 | 273,697 | |||||
| Bangladesh Treasury Bond, 11.55%, 9/5/17 |
BDT | 30,000 | 410,208 | |||||
| Bangladesh Treasury Bond, 11.55%, 10/3/17 |
BDT | 29,900 | 409,163 | |||||
| Bangladesh Treasury Bond, 11.70%, 4/3/18 |
BDT | 27,400 | 377,322 | |||||
|
|
|
|||||||
| Total Bangladesh |
$ | 4,432,182 | ||||||
|
|
|
|||||||
| Costa Rica — 0.2% |
||||||||
| Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16 |
CRC | 255,000 | $ | 499,615 | ||||
|
|
|
|||||||
| Total Costa Rica |
$ | 499,615 | ||||||
|
|
|
|||||||
| Dominican Republic — 1.0% |
||||||||
| Dominican Republic Central Bank Note, 12.00%, 4/5/19(9) |
DOP | 11,940 | $ | 290,204 | ||||
| Dominican Republic International Bond, 11.50%, 5/10/24(9) |
DOP | 15,000 | 367,437 | |||||
| Dominican Republic International Bond, 14.00%, 4/30/21(9) |
DOP | 6,700 | 174,311 | |||||
| Dominican Republic International Bond, 14.50%, 2/10/23(9) |
DOP | 1,800 | 48,494 | |||||
| Dominican Republic International Bond, 14.50%, 2/10/23(15) |
DOP | 21,000 | 565,764 | |||||
| Dominican Republic International Bond, 15.95%, 6/4/21(9) |
DOP | 9,000 | 267,348 | |||||
| Dominican Republic International Bond, 18.50%, 2/4/28(9) |
DOP | 800 | 26,180 | |||||
| Dominican Republic International Bond, 18.50%, 2/4/28(15) |
DOP | 42,400 | 1,387,517 | |||||
|
|
|
|||||||
| Total Dominican Republic |
$ | 3,127,255 | ||||||
|
|
|
|||||||
| Georgia — 0.1% |
||||||||
| Georgia Treasury Bond, 6.10%, 3/7/15 |
GEL | 624 | $ | 364,067 | ||||
|
|
|
|||||||
| Total Georgia |
$ | 364,067 | ||||||
|
|
|
|||||||
| Iceland — 0.6% |
||||||||
| Republic of Iceland, 6.25%, 2/5/20 |
ISK | 40,605 | $ | 302,924 | ||||
| Republic of Iceland, 7.25%, 10/26/22 |
ISK | 48,077 | 372,153 | |||||
| Republic of Iceland, 8.75%, 2/26/19 |
ISK | 136,035 | 1,121,519 | |||||
|
|
|
|||||||
| Total Iceland |
$ | 1,796,596 | ||||||
|
|
|
|||||||
| Jordan — 0.2% |
||||||||
| Jordan Government Bond, 7.387%, 8/30/14 |
JOD | 400 | $ | 567,219 | ||||
|
|
|
|||||||
| Total Jordan |
$ | 567,219 | ||||||
|
|
|
|||||||
| Lebanon — 0.2% |
||||||||
| Lebanon Treasury Note, 6.50%, 4/2/15 |
LBP | 212,010 | $ | 141,541 | ||||
| Lebanon Treasury Note, 6.50%, 5/28/15 |
LBP | 169,890 | 113,603 | |||||
| Lebanon Treasury Note, 8.38%, 8/28/14 |
LBP | 834,140 | 552,995 | |||||
|
|
|
|||||||
| Total Lebanon |
$ | 808,139 | ||||||
|
|
|
|||||||
| Philippines — 1.3% |
||||||||
| Republic of the Philippines, 4.95%, 1/15/21 |
PHP | 63,000 | $ | 1,572,046 | ||||
| Republic of the Philippines, 6.25%, 1/14/36 |
PHP | 85,000 | 2,141,639 | |||||
| Republic of the Philippines, 9.125%, 9/4/16 |
PHP | 14,990 | 390,950 | |||||
|
|
|
|||||||
| Total Philippines |
$ | 4,104,635 | ||||||
|
|
|
|||||||
20
| Security | Principal Amount |
Value | ||||||
| Romania — 0.3% |
||||||||
| Romania Government Bond, 5.90%, 7/26/17 |
RON | 2,520 | $ | 829,323 | ||||
|
|
|
|||||||
| Total Romania |
$ | 829,323 | ||||||
|
|
|
|||||||
| Serbia — 0.9% |
||||||||
| Serbia Treasury Bond, 10.00%, 4/4/15 |
RSD | 8,310 | $ | 96,313 | ||||
| Serbia Treasury Bond, 10.00%, 4/27/15 |
RSD | 60,770 | 705,762 | |||||
| Serbia Treasury Bond, 10.00%, 10/17/16 |
RSD | 21,800 | 251,824 | |||||
| Serbia Treasury Bond, 10.00%, 4/1/17 |
RSD | 46,800 | 536,365 | |||||
| Serbia Treasury Bond, 10.00%, 5/8/17 |
RSD | 18,760 | 214,437 | |||||
| Serbia Treasury Bond, 10.00%, 1/24/18 |
RSD | 22,180 | 249,318 | |||||
| Serbia Treasury Bond, 11.50%, 10/26/15 |
RSD | 61,800 | 730,164 | |||||
|
|
|
|||||||
| Total Serbia |
$ | 2,784,183 | ||||||
|
|
|
|||||||
| Sri Lanka — 0.2% |
||||||||
| Sri Lanka Government Bond, 7.50%, 8/15/18 |
LKR | 22,040 | $ | 169,392 | ||||
| Sri Lanka Government Bond, 8.50%, 11/1/15 |
LKR | 52,650 | 412,057 | |||||
| Sri Lanka Government Bond, 8.50%, 4/1/18 |
LKR | 22,040 | 175,184 | |||||
|
|
|
|||||||
| Total Sri Lanka |
$ | 756,633 | ||||||
|
|
|
|||||||
| Turkey — 0.3% |
||||||||
| Turkey Government Bond, 6.50%, 1/7/15 |
TRY | 1,965 | $ | 913,448 | ||||
|
|
|
|||||||
| Total Turkey |
$ | 913,448 | ||||||
|
|
|
|||||||
| Uganda — 0.2% |
||||||||
| Uganda Government Bond, 14.125%, 12/1/16 |
UGX | 1,019,100 | $ | 394,680 | ||||
| Uganda Government Bond, 14.625%, 11/1/18 |
UGX | 1,000,900 | 395,634 | |||||
|
|
|
|||||||
| Total Uganda |
$ | 790,314 | ||||||
|
|
|
|||||||
| Uruguay — 1.2% |
||||||||
| Monetary Regulation Bill, 0.00%, 8/20/15 |
UYU | 23,410 | $ | 875,422 | ||||
| Monetary Regulation Bill, 0.00%, 10/8/15 |
UYU | 11,400 | 419,388 | |||||
| Monetary Regulation Bill, 0.00%, 1/14/16 |
UYU | 1,000 | 35,636 | |||||
| Monetary Regulation Bill, 0.00%, 4/21/16 |
UYU | 3,460 | 119,538 | |||||
| Uruguay Notas Del Tesoro, 2.75%, 6/16/16(14) |
UYU | 53,621 | 2,219,196 | |||||
|
|
|
|||||||
| Total Uruguay |
$ | 3,669,180 | ||||||
|
|
|
|||||||
| Vietnam — 2.0% |
||||||||
| Vietnam Government Bond, 5.60%, 4/15/16 |
VND | 86,922,900 | $ | 4,132,554 | ||||
| Vietnam Government Bond, 8.20%, 3/15/15 |
VND | 20,000,000 | 963,612 | |||||
| Vietnam Government Bond, 9.10%, 12/15/14 |
VND | 13,799,200 | 661,472 | |||||
| Vietnam Government Bond, 9.30%, 11/15/14 |
VND | 13,703,000 | 654,866 | |||||
|
|
|
|||||||
| Total Vietnam |
$ | 6,412,504 | ||||||
|
|
|
|||||||
| Total Foreign Government Bonds |
$ | 31,855,293 | ||||||
|
|
|
|||||||
21
| U.S. Treasury Obligations — 3.1% |
||||||||
| Security | Principal Amount |
Value | ||||||
| U.S. Treasury Note, 1.75%, 5/15/22(16) |
$ | 10,000 | $ | 9,573,440 | ||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
$ | 9,573,440 | ||||||
|
|
|
|||||||
| Common Stocks — 0.4% |
||||||||
| Security | Shares | Value | ||||||
| Affinity Gaming, LLC(5)(17)(18) |
23,498 | $ | 223,232 | |||||
| Buffets Restaurants Holdings, Inc.(5)(17)(18) |
10,672 | 64,032 | ||||||
| Dayco Products, LLC(17) |
8,898 | 489,390 | ||||||
| Euramax International, Inc.(17)(18) |
234 | 40,898 | ||||||
| ION Media Networks, Inc.(5)(17) |
1,357 | 412,392 | ||||||
| MediaNews Group, Inc.(17)(18) |
3,023 | 92,201 | ||||||
|
|
|
|||||||
| Total Common Stocks |
$ | 1,322,145 | ||||||
|
|
|
|||||||
| Short-Term Investments — 14.8% |
||||||||
| Foreign Government Securities — 11.8% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Georgia — 0.2% |
||||||||
| Georgia Treasury Bill, 0.00%, 2/19/15 |
GEL | 1,110 | $ | 627,068 | ||||
|
|
|
|||||||
| Total Georgia |
$ | 627,068 | ||||||
|
|
|
|||||||
| Kenya — 1.8% |
||||||||
| Kenya Treasury Bill, 0.00%, 9/22/14 |
KES | 10,400 | $ | 117,120 | ||||
| Kenya Treasury Bill, 0.00%, 3/2/15 |
KES | 168,000 | 1,809,101 | |||||
| Kenya Treasury Bill, 0.00%, 4/13/15 |
KES | 261,000 | 2,778,990 | |||||
| Kenya Treasury Bill, 0.00%, 4/27/15 |
KES | 87,300 | 926,028 | |||||
|
|
|
|||||||
| Total Kenya |
$ | 5,631,239 | ||||||
|
|
|
|||||||
| Lebanon — 2.0% |
||||||||
| Lebanon Treasury Bill, 0.00%, 10/9/14 |
LBP | 1,561,500 | $ | 1,024,272 | ||||
| Lebanon Treasury Bill, 0.00%, 11/6/14 |
LBP | 729,860 | 477,100 | |||||
| Lebanon Treasury Bill, 0.00%, 11/20/14 |
LBP | 427,700 | 279,039 | |||||
| Lebanon Treasury Bill, 0.00%, 12/4/14 |
LBP | 362,200 | 235,831 | |||||
| Lebanon Treasury Bill, 0.00%, 12/18/14 |
LBP | 1,852,400 | 1,203,611 | |||||
| Lebanon Treasury Bill, 0.00%, 1/1/15 |
LBP | 945,600 | 613,095 | |||||
| Lebanon Treasury Bill, 0.00%, 6/11/15 |
LBP | 3,918,700 | 2,479,905 | |||||
|
|
|
|||||||
| Total Lebanon |
$ | 6,312,853 | ||||||
|
|
|
|||||||
| Malaysia — 1.5% |
||||||||
| Bank Negara Monetary Note, 0.00%, 9/11/14 |
MYR | 15,374 | $ | 4,794,687 | ||||
|
|
|
|||||||
| Total Malaysia |
$ | 4,794,687 | ||||||
|
|
|
|||||||
| Mauritius — 0.6% |
||||||||
| Mauritius Treasury Bill, 0.00%, 9/19/14 |
MUR | 52,200 | $ | 1,708,873 | ||||
|
|
|
|||||||
| Total Mauritius |
$ | 1,708,873 | ||||||
|
|
|
|||||||
22
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Nigeria — 1.0% |
||||||||
| Nigeria Treasury Bill, 0.00%, 11/6/14 |
NGN | 311,100 | $ | 1,870,949 | ||||
| Nigeria Treasury Bill, 0.00%, 12/4/14 |
NGN | 222,300 | 1,326,691 | |||||
|
|
|
|||||||
| Total Nigeria |
$ | 3,197,640 | ||||||
|
|
|
|||||||
| Philippines — 0.5% |
||||||||
| Philippine Treasury Bill, 0.00%, 10/8/14 |
PHP | 39,780 | $ | 912,756 | ||||
| Philippine Treasury Bill, 0.00%, 1/7/15 |
PHP | 30,930 | 706,387 | |||||
|
|
|
|||||||
| Total Philippines |
$ | 1,619,143 | ||||||
|
|
|
|||||||
| Serbia — 1.3% |
||||||||
| Serbia Treasury Bill, 0.00%, 1/9/15 |
RSD | 68,210 | $ | 755,925 | ||||
| Serbia Treasury Bill, 0.00%, 1/29/15 |
RSD | 17,000 | 187,539 | |||||
| Serbia Treasury Bill, 0.00%, 2/26/15 |
RSD | 36,670 | 401,891 | |||||
| Serbia Treasury Bill, 0.00%, 3/12/15 |
RSD | 212,260 | 2,318,549 | |||||
| Serbia Treasury Bill, 0.00%, 6/4/15 |
RSD | 30,830 | 330,002 | |||||
|
|
|
|||||||
| Total Serbia |
$ | 3,993,906 | ||||||
|
|
|
|||||||
| Sri Lanka — 2.3% |
||||||||
| Sri Lanka Treasury Bill, 0.00%, 10/3/14 |
LKR | 59,530 | $ | 452,345 | ||||
| Sri Lanka Treasury Bill, 0.00%, 10/10/14 |
LKR | 28,950 | 219,717 | |||||
| Sri Lanka Treasury Bill, 0.00%, 10/31/14 |
LKR | 76,190 | 576,209 | |||||
| Sri Lanka Treasury Bill, 0.00%, 11/7/14 |
LKR | 41,180 | 311,051 | |||||
| Sri Lanka Treasury Bill, 0.00%, 12/19/14 |
LKR | 83,190 | 623,513 | |||||
| Sri Lanka Treasury Bill, 0.00%, 1/2/15 |
LKR | 9,310 | 69,603 | |||||
| Sri Lanka Treasury Bill, 0.00%, 2/20/15 |
LKR | 47,590 | 352,789 | |||||
| Sri Lanka Treasury Bill, 0.00%, 2/27/15 |
LKR | 50,450 | 373,477 | |||||
| Sri Lanka Treasury Bill, 0.00%, 3/6/15 |
LKR | 87,750 | 648,726 | |||||
| Sri Lanka Treasury Bill, 0.00%, 3/13/15 |
LKR | 52,790 | 389,781 | |||||
| Sri Lanka Treasury Bill, 0.00%, 3/27/15 |
LKR | 126,930 | 934,857 | |||||
| Sri Lanka Treasury Bill, 0.00%, 4/17/15 |
LKR | 294,100 | 2,158,360 | |||||
| Sri Lanka Treasury Bill, 0.00%, 6/26/15 |
LKR | 32,360 | 234,500 | |||||
|
|
|
|||||||
| Total Sri Lanka |
$ | 7,344,928 | ||||||
|
|
|
|||||||
| Uganda — 0.2% |
||||||||
| Uganda Treasury Bill, 0.00%, 2/19/15 |
UGX | 2,026,900 | $ | 728,837 | ||||
|
|
|
|||||||
| Total Uganda |
$ | 728,837 | ||||||
|
|
|
|||||||
| Uruguay — 0.1% |
||||||||
| Monetary Regulation Bill, 0.00%, 8/29/14 |
UYU | 3,921 | $ | 167,641 | ||||
| Monetary Regulation Bill, 0.00%, 10/15/14 |
UYU | 469 | 19,697 | |||||
| Monetary Regulation Bill, 0.00%, 2/20/15 |
UYU | 3,240 | 129,787 | |||||
|
|
|
|||||||
| Total Uruguay |
$ | 317,125 | ||||||
|
|
|
|||||||
| Zambia — 0.3% |
||||||||
| Zambia Treasury Bill, 0.00%, 9/8/14 |
ZMW | 810 | $ | 131,099 | ||||
| Zambia Treasury Bill, 0.00%, 9/22/14 |
ZMW | 2,360 | 380,737 | |||||
| Zambia Treasury Bill, 0.00%, 6/15/15 |
ZMW | 2,290 | 314,826 | |||||
|
|
|
|||||||
| Total Zambia |
$ | 826,662 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities |
$ | 37,102,961 | ||||||
|
|
|
|||||||
23
| U.S. Treasury Obligations — 0.9% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| U.S. Treasury Bill, 0.00%, 10/9/14(16) |
$ | 3,000 | $ | 2,999,970 | ||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
$ | 2,999,970 | ||||||
|
|
|
|||||||
| Other — 2.1% |
||||||||
| Description | Interest (000’s omitted) |
|||||||