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, 2015
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Short Duration Diversified Income Fund
July 31, 2015
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests — 54.2%(1)
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Aerospace and Defense — 0.6% |
||||||||
| BE Aerospace, Inc. |
||||||||
| Term Loan, 4.00%, Maturing December 16, 2021 |
188 | $ | 189,572 | |||||
| Silver II US Holdings, LLC |
||||||||
| Term Loan, 4.00%, Maturing December 13, 2019 |
366 | 353,700 | ||||||
| Transdigm, Inc. |
||||||||
| Term Loan, 3.75%, Maturing February 28, 2020 |
805 | 804,655 | ||||||
| Term Loan, 3.75%, Maturing June 4, 2021 |
322 | 321,499 | ||||||
|
|
|
|||||||
| $ | 1,669,426 | |||||||
|
|
|
|||||||
| Air Transport — 0.1% |
||||||||
| Virgin America, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 4, 2019 |
450 | $ | 412,740 | |||||
|
|
|
|||||||
| $ | 412,740 | |||||||
|
|
|
|||||||
| Automotive — 2.1% |
||||||||
| Affinia Group Intermediate Holdings, Inc. |
||||||||
| Term Loan, 4.75%, Maturing April 27, 2020 |
78 | $ | 78,375 | |||||
| Allison Transmission, Inc. |
||||||||
| Term Loan, 3.50%, Maturing August 23, 2019 |
613 | 616,025 | ||||||
| Chrysler Group, LLC |
||||||||
| Term Loan, 3.50%, Maturing May 24, 2017 |
884 | 884,771 | ||||||
| Term Loan, 3.25%, Maturing December 31, 2018 |
370 | 370,637 | ||||||
| CS Intermediate Holdco 2, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 4, 2021 |
569 | 569,962 | ||||||
| Dayco Products, LLC |
||||||||
| Term Loan, 5.25%, Maturing December 12, 2019 |
173 | 173,893 | ||||||
| Federal-Mogul Holdings Corporation |
||||||||
| Term Loan, 4.75%, Maturing April 15, 2021 |
668 | 662,124 | ||||||
| Goodyear Tire & Rubber Company (The) |
||||||||
| Term Loan - Second Lien, 3.75%, Maturing April 30, 2019 |
958 | 964,173 | ||||||
| Horizon Global Corporation |
||||||||
| Term Loan, 7.00%, Maturing May 11, 2022 |
100 | 99,250 | ||||||
| INA Beteiligungsgesellschaft GmbH |
||||||||
| Term Loan, 4.25%, Maturing May 15, 2020 |
177 | 178,323 | ||||||
| MPG Holdco I, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 20, 2021 |
425 | 425,852 | ||||||
| TI Group Automotive Systems, LLC |
||||||||
| Term Loan, 4.50%, Maturing June 24, 2022 |
225 | 226,195 | ||||||
| Tower Automotive Holdings USA, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 23, 2020 |
604 | 605,015 | ||||||
| Visteon Corporation |
||||||||
| Term Loan, 3.50%, Maturing April 9, 2021 |
102 | 102,211 | ||||||
|
|
|
|||||||
| $ | 5,956,806 | |||||||
|
|
|
|||||||
| Beverage and Tobacco — 0.1% |
||||||||
| Flavors Holdings, Inc. |
||||||||
| Term Loan, 6.75%, Maturing April 3, 2020 |
391 | $ | 378,946 | |||||
|
|
|
|||||||
| $ | 378,946 | |||||||
|
|
|
|||||||
1
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Brokerage/Securities Dealers/Investment Houses — 0.1% |
||||||||
| Astro AB Borrower, Inc. |
||||||||
| Term Loan, 5.50%, Maturing April 30, 2022 |
75 | $ | 76,125 | |||||
| Salient Partners L.P. |
||||||||
| Term Loan, 7.50%, Maturing May 19, 2021 |
150 | 147,750 | ||||||
|
|
|
|||||||
| $ | 223,875 | |||||||
|
|
|
|||||||
| Building and Development — 1.0% |
||||||||
| ABC Supply Co., Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 16, 2020 |
246 | $ | 245,574 | |||||
| Auction.com, LLC |
||||||||
| Term Loan, 6.00%, Maturing May 8, 2022 |
200 | 199,749 | ||||||
| CPG International, Inc. |
||||||||
| Term Loan, 4.75%, Maturing September 30, 2020 |
98 | 97,759 | ||||||
| Gates Global, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 5, 2021 |
1,044 | 1,041,423 | ||||||
| Headwaters, Incorporated |
||||||||
| Term Loan, 4.50%, Maturing March 24, 2022 |
50 | 50,344 | ||||||
| Ply Gem Industries, Inc. |
||||||||
| Term Loan, 4.00%, Maturing February 1, 2021 |
495 | 492,899 | ||||||
| Quikrete Holdings, Inc. |
||||||||
| Term Loan, 4.00%, Maturing September 28, 2020 |
165 | 165,720 | ||||||
| RE/MAX International, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 31, 2020 |
354 | 355,430 | ||||||
| Summit Materials Companies I, LLC |
||||||||
| Term Loan, 4.25%, Maturing July 17, 2022 |
125 | 125,625 | ||||||
| WireCo WorldGroup, Inc. |
||||||||
| Term Loan, 6.00%, Maturing February 15, 2017 |
92 | 92,296 | ||||||
|
|
|
|||||||
| $ | 2,866,819 | |||||||
|
|
|
|||||||
| Business Equipment and Services — 4.2% |
||||||||
| Acosta Holdco, Inc. |
||||||||
| Term Loan, 4.25%, Maturing September 26, 2021 |
645 | $ | 646,827 | |||||
| AlixPartners, LLP |
||||||||
| Term Loan, 4.50%, Maturing July 15, 2022 |
100 | 100,425 | ||||||
| Altisource Solutions S.a.r.l. |
||||||||
| Term Loan, 4.50%, Maturing December 9, 2020 |
517 | 465,358 | ||||||
| Brickman Group Ltd., LLC |
||||||||
| Term Loan, 4.00%, Maturing December 18, 2020 |
148 | 147,723 | ||||||
| Ceridian, LLC |
||||||||
| Term Loan, 4.50%, Maturing September 15, 2020 |
619 | 616,387 | ||||||
| ClientLogic Corporation |
||||||||
| Term Loan, 7.54%, Maturing January 30, 2017 |
165 | 164,918 | ||||||
| Corporate Capital Trust, Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 15, 2019 |
570 | 569,791 | ||||||
| CPM Holdings, Inc. |
||||||||
| Term Loan, 6.00%, Maturing April 11, 2022 |
50 | 50,422 | ||||||
| Education Management, LLC |
||||||||
| Term Loan, 5.50%, Maturing July 2, 2020 |
80 | 54,903 | ||||||
| Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020 |
137 | 79,845 | ||||||
| EIG Investors Corp. |
||||||||
| Term Loan, 5.00%, Maturing November 9, 2019 |
464 | 463,547 | ||||||
| Emdeon Business Services, LLC |
||||||||
| Term Loan, 3.75%, Maturing November 2, 2018 |
267 | 266,907 | ||||||
| Extreme Reach, Inc. |
||||||||
| Term Loan, 6.75%, Maturing February 7, 2020 |
137 | 136,744 | ||||||
2
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Garda World Security Corporation |
||||||||
| Term Loan, 4.00%, Maturing November 6, 2020 |
60 | $ | 59,941 | |||||
| Term Loan, 4.00%, Maturing November 6, 2020 |
335 | 333,689 | ||||||
| IG Investment Holdings, LLC |
||||||||
| Term Loan, 6.00%, Maturing October 29, 2021 |
369 | 371,425 | ||||||
| IMS Health Incorporated |
||||||||
| Term Loan, 3.50%, Maturing March 17, 2021 |
990 | 989,003 | ||||||
| Informatica Corporation |
||||||||
| Term Loan, Maturing May 29, 2022(2) |
425 | 425,841 | ||||||
| Information Resources, Inc. |
||||||||
| Term Loan, 4.75%, Maturing September 30, 2020 |
221 | 222,190 | ||||||
| ION Trading Technologies S.a.r.l. |
||||||||
| Term Loan, 4.50%, Maturing June 10, 2021 |
EUR | 180 | 198,426 | |||||
| KAR Auction Services, Inc. |
||||||||
| Term Loan, 3.50%, Maturing March 11, 2021 |
542 | 543,427 | ||||||
| Kronos Incorporated |
||||||||
| Term Loan, 4.50%, Maturing October 30, 2019 |
439 | 440,533 | ||||||
| Term Loan - Second Lien, 9.75%, Maturing April 30, 2020 |
200 | 205,785 | ||||||
| MCS AMS Sub-Holdings, LLC |
||||||||
| Term Loan, 7.50%, Maturing October 15, 2019(3) |
89 | 67,849 | ||||||
| Monitronics International, Inc. |
||||||||
| Term Loan, 4.25%, Maturing March 23, 2018 |
99 | 99,247 | ||||||
| Term Loan, 4.50%, Maturing April 2, 2022 |
125 | 125,584 | ||||||
| PGX Holdings, Inc. |
||||||||
| Term Loan, 5.75%, Maturing September 29, 2020 |
96 | 97,182 | ||||||
| Quintiles Transnational Corp. |
||||||||
| Term Loan, 3.25%, Maturing May 12, 2022 |
250 | 251,250 | ||||||
| RCS Capital Corporation |
||||||||
| Term Loan, 7.50%, Maturing April 29, 2019 |
164 | 162,832 | ||||||
| Sensus USA, Inc. |
||||||||
| Term Loan, 4.50%, Maturing May 9, 2017 |
119 | 119,143 | ||||||
| ServiceMaster Company |
||||||||
| Term Loan, 4.25%, Maturing July 1, 2021 |
422 | 423,393 | ||||||
| SunGard Data Systems, Inc. |
||||||||
| Term Loan, 3.94%, Maturing February 28, 2017 |
32 | 32,493 | ||||||
| Term Loan, 4.00%, Maturing March 8, 2020 |
1,482 | 1,486,033 | ||||||
| TNS, Inc. |
||||||||
| Term Loan, 5.00%, Maturing February 14, 2020 |
167 | 167,595 | ||||||
| Travelport Finance (Luxembourg) S.a.r.l. |
||||||||
| Term Loan, 5.75%, Maturing September 2, 2021 |
224 | 224,971 | ||||||
| WASH Multifamily Laundry Systems, LLC |
||||||||
| Term Loan, 4.25%, Maturing May 14, 2022 |
7 | 7,442 | ||||||
| Term Loan, 4.25%, Maturing May 14, 2022 |
43 | 42,495 | ||||||
| West Corporation |
||||||||
| Term Loan, 3.25%, Maturing June 30, 2018 |
1,301 | 1,299,727 | ||||||
|
|
|
|||||||
| $ | 12,161,293 | |||||||
|
|
|
|||||||
| Cable and Satellite Television — 1.4% |
||||||||
| Atlantic Broadband Finance, LLC |
||||||||
| Term Loan, 3.25%, Maturing November 30, 2019 |
132 | $ | 131,982 | |||||
| Cequel Communications, LLC |
||||||||
| Term Loan, 3.50%, Maturing February 14, 2019 |
734 | 733,410 | ||||||
| Charter Communications Operating, LLC |
||||||||
| Term Loan, Maturing January 20, 2023(2) |
375 | 376,239 | ||||||
| CSC Holdings, Inc. |
||||||||
| Term Loan, 2.69%, Maturing April 17, 2020 |
310 | 308,987 | ||||||
3
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| MCC Iowa, LLC |
||||||||
| Term Loan, 3.25%, Maturing January 29, 2021 |
172 | $ | 170,892 | |||||
| Term Loan, 3.75%, Maturing June 30, 2021 |
149 | 148,704 | ||||||
| Mediacom Illinois, LLC |
||||||||
| Term Loan, 3.50%, Maturing June 30, 2021 |
74 | 74,512 | ||||||
| Numericable Group SA |
||||||||
| Term Loan, Maturing July 21, 2022(2) |
EUR | 125 | 137,384 | |||||
| Term Loan, Maturing July 27, 2022(2) |
75 | 75,028 | ||||||
| Numericable U.S., LLC |
||||||||
| Term Loan, 4.50%, Maturing May 21, 2020 |
173 | 173,794 | ||||||
| Term Loan, 4.50%, Maturing May 21, 2020 |
200 | 200,886 | ||||||
| Virgin Media Investment Holdings Limited |
||||||||
| Term Loan, 3.50%, Maturing June 30, 2023 |
539 | 537,563 | ||||||
| Term Loan, 4.25%, Maturing June 30, 2023 |
GBP | 300 | 468,290 | |||||
| Ziggo B.V. |
||||||||
| Term Loan, 3.75%, Maturing January 15, 2022 |
EUR | 65 | 71,763 | |||||
| Term Loan, 3.75%, Maturing January 15, 2022 |
EUR | 101 | 111,396 | |||||
| Term Loan, 3.75%, Maturing January 15, 2022 |
EUR | 183 | 201,629 | |||||
|
|
|
|||||||
| $ | 3,922,459 | |||||||
|
|
|
|||||||
| Chemicals and Plastics — 2.9% |
||||||||
| Aruba Investments, Inc. |
||||||||
| Term Loan, 4.50%, Maturing February 2, 2022 |
59 | $ | 58,729 | |||||
| Axalta Coating Systems US Holdings, Inc. |
||||||||
| Term Loan, 3.75%, Maturing February 1, 2020 |
515 | 515,302 | ||||||
| AZ Chem US, Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 12, 2021 |
113 | 113,148 | ||||||
| Chemours Company Co. (The) |
||||||||
| Term Loan, 3.75%, Maturing May 22, 2022 |
200 | 192,833 | ||||||
| Colouroz Investment 1, GmbH |
||||||||
| Term Loan, 4.50%, Maturing September 7, 2021 |
25 | 24,724 | ||||||
| Term Loan, 4.50%, Maturing September 7, 2021 |
149 | 149,677 | ||||||
| ECO Services Operations, LLC |
||||||||
| Term Loan, 4.75%, Maturing December 4, 2021 |
75 | 74,905 | ||||||
| Emerald Performance Materials, LLC |
||||||||
| Term Loan, 4.50%, Maturing August 1, 2021 |
347 | 348,243 | ||||||
| Term Loan - Second Lien, 7.75%, Maturing August 1, 2022 |
100 | 99,792 | ||||||
| Gemini HDPE, LLC |
||||||||
| Term Loan, 4.75%, Maturing August 7, 2021 |
371 | 371,872 | ||||||
| Huntsman International, LLC |
||||||||
| Term Loan, 2.74%, Maturing April 19, 2017 |
1,485 | 1,485,123 | ||||||
| Term Loan, 3.75%, Maturing August 12, 2021 |
373 | 372,969 | ||||||
| Ineos US Finance, LLC |
||||||||
| Term Loan, 3.75%, Maturing May 4, 2018 |
1,334 | 1,335,453 | ||||||
| Term Loan, 4.25%, Maturing March 31, 2022 |
125 | 125,133 | ||||||
| Kronos Worldwide, Inc. |
||||||||
| Term Loan, 4.00%, Maturing February 18, 2020 |
49 | 49,329 | ||||||
| MacDermid, Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 7, 2020 |
246 | 247,582 | ||||||
| Term Loan, 4.75%, Maturing June 7, 2020 |
124 | 125,123 | ||||||
| Minerals Technologies, Inc. |
||||||||
| Term Loan, 3.75%, Maturing May 9, 2021 |
238 | 240,278 | ||||||
| Orion Engineered Carbons GmbH |
||||||||
| Term Loan, 5.00%, Maturing July 25, 2021 |
99 | 99,498 | ||||||
| Term Loan, 5.00%, Maturing July 25, 2021 |
EUR | 199 | 219,938 | |||||
4
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| OXEA Finance, LLC |
||||||||
| Term Loan, 4.25%, Maturing January 15, 2020 |
123 | $ | 119,896 | |||||
| PQ Corporation |
||||||||
| Term Loan, 4.00%, Maturing August 7, 2017 |
219 | 219,389 | ||||||
| Royal Holdings, Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 19, 2022 |
125 | 125,807 | ||||||
| Solenis International L.P. |
||||||||
| Term Loan, 4.50%, Maturing July 31, 2021 |
EUR | 174 | 192,124 | |||||
| Sonneborn Refined Products B.V. |
||||||||
| Term Loan, 4.75%, Maturing December 10, 2020 |
15 | 15,018 | ||||||
| Sonneborn, LLC |
||||||||
| Term Loan, 4.75%, Maturing December 10, 2020 |
85 | 85,104 | ||||||
| Tata Chemicals North America, Inc. |
||||||||
| Term Loan, 3.75%, Maturing August 7, 2020 |
214 | 214,017 | ||||||
| Trinseo Materials Operating S.C.A. |
||||||||
| Term Loan, 4.25%, Maturing October 13, 2021 |
50 | 49,946 | ||||||
| Tronox Pigments (Netherlands) B.V. |
||||||||
| Term Loan, 4.25%, Maturing March 19, 2020 |
391 | 375,199 | ||||||
| Univar, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 1, 2022 |
600 | 601,875 | ||||||
| Zep, Inc. |
||||||||
| Term Loan, 5.75%, Maturing June 27, 2022 |
75 | 75,703 | ||||||
|
|
|
|||||||
| $ | 8,323,729 | |||||||
|
|
|
|||||||
| Clothing/Textiles — 0.1% |
||||||||
| Ascena Retail Group, Inc. |
||||||||
| Term Loan, Maturing July 21, 2022(2) |
300 | $ | 295,500 | |||||
|
|
|
|||||||
| $ | 295,500 | |||||||
|
|
|
|||||||
| Conglomerates — 0.4% |
||||||||
| RGIS Services, LLC |
||||||||
| Term Loan, 5.50%, Maturing October 18, 2017 |
731 | $ | 687,301 | |||||
| Spectrum Brands, Inc. |
||||||||
| Term Loan, 3.75%, Maturing June 9, 2022 |
386 | 388,379 | ||||||
|
|
|
|||||||
| $ | 1,075,680 | |||||||
|
|
|
|||||||
| Containers and Glass Products — 1.5% |
||||||||
| Berry Plastics Holding Corporation |
||||||||
| Term Loan, 3.50%, Maturing February 8, 2020 |
415 | $ | 415,360 | |||||
| Term Loan, 3.75%, Maturing January 6, 2021 |
797 | 799,305 | ||||||
| Hilex Poly Co., LLC |
||||||||
| Term Loan, 6.00%, Maturing December 5, 2021 |
299 | 301,951 | ||||||
| Libbey Glass, Inc. |
||||||||
| Term Loan, 3.75%, Maturing April 9, 2021 |
50 | 49,376 | ||||||
| Pelican Products, Inc. |
||||||||
| Term Loan, 5.25%, Maturing April 10, 2020 |
433 | 434,925 | ||||||
| Reynolds Group Holdings, Inc. |
||||||||
| Term Loan, 4.50%, Maturing December 1, 2018 |
1,492 | 1,501,802 | ||||||
| TricorBraun, Inc. |
||||||||
| Term Loan, 4.00%, Maturing May 3, 2018 |
390 | 389,470 | ||||||
| Verallia |
||||||||
| Term Loan, Maturing July 24, 2022(2) |
EUR | 300 | 329,990 | |||||
|
|
|
|||||||
| $ | 4,222,179 | |||||||
|
|
|
|||||||
| Cosmetics/Toiletries — 0.3% |
||||||||
| Prestige Brands, Inc. |
||||||||
| Term Loan, 3.51%, Maturing September 3, 2021 |
113 | $ | 112,826 | |||||
5
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Revlon Consumer Products Corporation |
||||||||
| Term Loan, 4.00%, Maturing October 8, 2019 |
218 | $ | 218,129 | |||||
| Sun Products Corporation (The) |
||||||||
| Term Loan, 5.50%, Maturing March 23, 2020 |
413 | 401,445 | ||||||
|
|
|
|||||||
| $ | 732,400 | |||||||
|
|
|
|||||||
| Drugs — 1.4% |
||||||||
| Alkermes, Inc. |
||||||||
| Term Loan, 3.50%, Maturing September 18, 2019 |
73 | $ | 73,242 | |||||
| AMAG Pharmaceuticals, Inc. |
||||||||
| Term Loan, 7.25%, Maturing November 12, 2020 |
119 | 120,531 | ||||||
| DPx Holdings B.V. |
||||||||
| Term Loan, 4.25%, Maturing March 11, 2021 |
396 | 395,187 | ||||||
| Endo Luxembourg Finance Company I S.a.r.l. |
||||||||
| Term Loan, 3.25%, Maturing March 1, 2021 |
49 | 49,483 | ||||||
| Mallinckrodt International Finance S.A. |
||||||||
| Term Loan, 3.25%, Maturing March 19, 2021 |
272 | 271,563 | ||||||
| Term Loan, 3.50%, Maturing March 19, 2021 |
223 | 223,700 | ||||||
| Par Pharmaceutical Companies, Inc. |
||||||||
| Term Loan, 4.00%, Maturing September 30, 2019 |
1,037 | 1,037,363 | ||||||
| Valeant Pharmaceuticals International, Inc. |
||||||||
| Term Loan, 3.50%, Maturing December 11, 2019 |
341 | 342,001 | ||||||
| Term Loan, 3.50%, Maturing August 5, 2020 |
717 | 718,176 | ||||||
| Term Loan, 4.00%, Maturing April 1, 2022 |
698 | 702,336 | ||||||
|
|
|
|||||||
| $ | 3,933,582 | |||||||
|
|
|
|||||||
| Ecological Services and Equipment — 0.2% |
||||||||
| ADS Waste Holdings, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 9, 2019 |
383 | $ | 382,279 | |||||
| EnergySolutions, LLC |
||||||||
| Term Loan, 6.75%, Maturing May 29, 2020 |
141 | 141,499 | ||||||
|
|
|
|||||||
| $ | 523,778 | |||||||
|
|
|
|||||||
| Electronics/Electrical — 4.9% |
||||||||
| Answers Corporation |
||||||||
| Term Loan, 6.25%, Maturing October 3, 2021 |
224 | $ | 191,973 | |||||
| Applied Systems, Inc. |
||||||||
| Term Loan, 4.25%, Maturing January 25, 2021 |
144 | 144,114 | ||||||
| Avago Technologies Cayman Ltd. |
||||||||
| Term Loan, 3.75%, Maturing May 6, 2021 |
1,141 | 1,144,023 | ||||||
| Campaign Monitor Finance Pty Limited |
||||||||
| Term Loan, 6.25%, Maturing March 18, 2021 |
123 | 122,820 | ||||||
| Carros Finance Luxembourg S.a.r.l. |
||||||||
| Term Loan, 4.50%, Maturing September 30, 2021 |
496 | 498,111 | ||||||
| CommScope, Inc. |
||||||||
| Term Loan, 3.25%, Maturing January 14, 2018 |
138 | 138,158 | ||||||
| Term Loan, 3.75%, Maturing December 29, 2022 |
175 | 175,802 | ||||||
| CompuCom Systems, Inc. |
||||||||
| Term Loan, 4.25%, Maturing May 11, 2020 |
141 | 131,773 | ||||||
| Dell International, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 29, 2020 |
1,097 | 1,098,241 | ||||||
| Dell, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 29, 2018 |
111 | 111,249 | ||||||
| Entegris, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 30, 2021 |
54 | 54,483 | ||||||
| Excelitas Technologies Corp. |
||||||||
| Term Loan, 6.00%, Maturing October 31, 2020 |
146 | 146,450 | ||||||
6
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| FIDJI Luxembourg (BC4) S.a.r.l. |
||||||||
| Term Loan, 6.25%, Maturing December 24, 2020 |
141 | $ | 140,625 | |||||
| Freescale Semiconductor, Inc. |
||||||||
| Term Loan, 4.25%, Maturing February 28, 2020 |
365 | 366,576 | ||||||
| Go Daddy Operating Company, LLC |
||||||||
| Term Loan, 4.25%, Maturing May 13, 2021 |
1,151 | 1,157,516 | ||||||
| GXS Group, Inc. |
||||||||
| Term Loan, 3.25%, Maturing January 16, 2021 |
172 | 173,021 | ||||||
| Infor (US), Inc. |
||||||||
| Term Loan, 3.75%, Maturing June 3, 2020 |
917 | 912,377 | ||||||
| Lattice Semiconductor Corporation |
||||||||
| Term Loan, 5.25%, Maturing March 10, 2021 |
100 | 99,750 | ||||||
| M/A-COM Technology Solutions Holdings, Inc. |
||||||||
| Term Loan, 4.50%, Maturing May 7, 2021 |
99 | 99,248 | ||||||
| MA FinanceCo., LLC |
||||||||
| Term Loan, 4.50%, Maturing November 20, 2019 |
219 | 219,695 | ||||||
| Term Loan, 5.25%, Maturing November 19, 2021 |
198 | 199,063 | ||||||
| Magic Newco, LLC |
||||||||
| Term Loan, 5.00%, Maturing December 12, 2018 |
267 | 268,530 | ||||||
| MH Sub I, LLC |
||||||||
| Term Loan, 4.75%, Maturing July 8, 2021 |
223 | 224,119 | ||||||
| Microsemi Corporation |
||||||||
| Term Loan, 3.25%, Maturing February 19, 2020 |
212 | 212,045 | ||||||
| NXP B.V. |
||||||||
| Term Loan, 3.25%, Maturing January 11, 2020 |
344 | 343,832 | ||||||
| Orbotech, Inc. |
||||||||
| Term Loan, 5.00%, Maturing August 6, 2020 |
68 | 67,411 | ||||||
| Renaissance Learning, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 9, 2021 |
123 | 122,897 | ||||||
| Rocket Software, Inc. |
||||||||
| Term Loan, 5.75%, Maturing February 8, 2018 |
287 | 287,954 | ||||||
| RP Crown Parent, LLC |
||||||||
| Term Loan, 6.00%, Maturing December 21, 2018 |
889 | 859,163 | ||||||
| Sensata Technologies B.V. |
||||||||
| Term Loan, 3.00%, Maturing October 14, 2021 |
197 | 197,774 | ||||||
| SGS Cayman L.P. |
||||||||
| Term Loan, 6.00%, Maturing April 23, 2021 |
37 | 37,786 | ||||||
| Sirius Computer Solutions, Inc. |
||||||||
| Term Loan, 6.25%, Maturing December 7, 2018 |
75 | 75,666 | ||||||
| SkillSoft Corporation |
||||||||
| Term Loan, 5.75%, Maturing April 28, 2021 |
396 | 386,265 | ||||||
| Smart Technologies ULC |
||||||||
| Term Loan, 10.50%, Maturing January 31, 2018 |
109 | 108,594 | ||||||
| Sophia L.P. |
||||||||
| Term Loan, 4.00%, Maturing July 19, 2018 |
220 | 221,039 | ||||||
| SS&C Technologies, Inc. |
||||||||
| Term Loan, 4.00%, Maturing July 8, 2022 |
64 | 64,494 | ||||||
| Term Loan, 4.00%, Maturing July 8, 2022 |
388 | 391,262 | ||||||
| SunEdison Semiconductor B.V. |
||||||||
| Term Loan, 6.50%, Maturing May 27, 2019 |
149 | 149,243 | ||||||
| SurveyMonkey.com, LLC |
||||||||
| Term Loan, 5.50%, Maturing February 5, 2019 |
96 | 95,639 | ||||||
| Sutherland Global Services, Inc. |
||||||||
| Term Loan, 6.00%, Maturing April 23, 2021 |
161 | 162,327 | ||||||
| Sybil Software, LLC |
||||||||
| Term Loan, 4.25%, Maturing March 20, 2020 |
814 | 817,919 | ||||||
7
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Vantiv, LLC |
||||||||
| Term Loan, 3.75%, Maturing June 13, 2021 |
127 | $ | 127,786 | |||||
| VeriFone, Inc. |
||||||||
| Term Loan, 3.50%, Maturing July 8, 2021 |
495 | 490,359 | ||||||
| Wall Street Systems Delaware, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 30, 2021 |
565 | 565,769 | ||||||
| Zebra Technologies Corporation |
||||||||
| Term Loan, 4.75%, Maturing October 27, 2021 |
400 | 405,191 | ||||||
|
|
|
|||||||
| $ | 14,008,132 | |||||||
|
|
|
|||||||
| Equipment Leasing — 0.3% |
||||||||
| Delos Finance S.a.r.l. |
||||||||
| Term Loan, 3.50%, Maturing March 6, 2021 |
425 | $ | 426,176 | |||||
| Flying Fortress, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 30, 2020 |
500 | 502,657 | ||||||
|
|
|
|||||||
| $ | 928,833 | |||||||
|
|
|
|||||||
| Financial Intermediaries — 2.5% |
||||||||
| American Capital Ltd. |
||||||||
| Term Loan, 3.50%, Maturing August 22, 2017 |
130 | $ | 129,978 | |||||
| Armor Holding II, LLC |
||||||||
| Term Loan, 5.75%, Maturing June 26, 2020 |
419 | 418,842 | ||||||
| Citco Funding, LLC |
||||||||
| Term Loan, 4.25%, Maturing June 29, 2018 |
674 | 675,961 | ||||||
| Clipper Acquisitions Corp. |
||||||||
| Term Loan, 3.00%, Maturing February 6, 2020 |
98 | 96,842 | ||||||
| First Data Corporation |
||||||||
| Term Loan, 3.69%, Maturing March 24, 2018 |
650 | 649,238 | ||||||
| Term Loan, 3.69%, Maturing September 24, 2018 |
375 | 374,570 | ||||||
| Term Loan, 3.94%, Maturing June 23, 2022 |
150 | 150,094 | ||||||
| Grosvenor Capital Management Holdings, LLP |
||||||||
| Term Loan, 3.75%, Maturing January 4, 2021 |
1,193 | 1,190,454 | ||||||
| Guggenheim Partners, LLC |
||||||||
| Term Loan, 4.25%, Maturing July 22, 2020 |
246 | 247,792 | ||||||
| Hamilton Lane Advisors, LLC |
||||||||
| Term Loan, 4.25%, Maturing July 9, 2022 |
100 | 100,375 | ||||||
| Harbourvest Partners, LLC |
||||||||
| Term Loan, 3.25%, Maturing February 4, 2021 |
128 | 127,360 | ||||||
| LPL Holdings, Inc. |
||||||||
| Term Loan, 3.25%, Maturing March 29, 2019 |
1,574 | 1,574,010 | ||||||
| Medley, LLC |
||||||||
| Term Loan, 6.50%, Maturing June 15, 2019 |
86 | 86,364 | ||||||
| NXT Capital, Inc. |
||||||||
| Term Loan, 6.25%, Maturing September 4, 2018 |
125 | 125,306 | ||||||
| Ocwen Financial Corporation |
||||||||
| Term Loan, 5.00%, Maturing February 15, 2018 |
545 | 543,870 | ||||||
| Sesac Holdco II, LLC |
||||||||
| Term Loan, 5.25%, Maturing February 8, 2019 |
289 | 289,414 | ||||||
| Starwood Property Trust, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 17, 2020 |
123 | 122,546 | ||||||
| Walker & Dunlop, Inc. |
||||||||
| Term Loan, 5.25%, Maturing December 11, 2020 |
121 | 121,607 | ||||||
| Walter Investment Management Corp. |
||||||||
| Term Loan, 4.75%, Maturing December 19, 2020 |
206 | 198,015 | ||||||
|
|
|
|||||||
| $ | 7,222,638 | |||||||
|
|
|
|||||||
8
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Food Products — 1.9% |
||||||||
| AdvancePierre Foods, Inc. |
||||||||
| Term Loan, 5.75%, Maturing July 10, 2017 |
640 | $ | 642,248 | |||||
| Blue Buffalo Company Ltd. |
||||||||
| Term Loan, 3.75%, Maturing August 8, 2019 |
243 | 243,781 | ||||||
| Charger OpCo B.V. |
||||||||
| Term Loan, 4.25%, Maturing July 23, 2021 |
EUR | 125 | 138,172 | |||||
| Term Loan, 4.25%, Maturing July 23, 2021 |
375 | 375,000 | ||||||
| Clearwater Seafoods Limited Partnership |
||||||||
| Term Loan, 4.75%, Maturing June 26, 2019 |
167 | 167,136 | ||||||
| Del Monte Foods, Inc. |
||||||||
| Term Loan, 4.26%, Maturing February 18, 2021 |
123 | 119,739 | ||||||
| Dole Food Company, Inc. |
||||||||
| Term Loan, 4.50%, Maturing November 1, 2018 |
94 | 94,498 | ||||||
| High Liner Foods, Incorporated |
||||||||
| Term Loan, 4.25%, Maturing April 24, 2021 |
148 | 148,310 | ||||||
| JBS USA, LLC |
||||||||
| Term Loan, 3.75%, Maturing May 25, 2018 |
866 | 866,355 | ||||||
| Term Loan, 3.75%, Maturing September 18, 2020 |
295 | 295,023 | ||||||
| NBTY, Inc. |
||||||||
| Term Loan, 3.50%, Maturing October 1, 2017 |
888 | 885,702 | ||||||
| Onex Wizard Acquisition Company I S.a.r.l. |
||||||||
| Term Loan, 4.25%, Maturing March 13, 2022 |
EUR | 399 | 440,461 | |||||
| Onex Wizard US Acquisition, Inc. |
||||||||
| Term Loan, 4.25%, Maturing March 13, 2022 |
224 | 225,326 | ||||||
| Pinnacle Foods Finance, LLC |
||||||||
| Term Loan, 3.00%, Maturing April 29, 2020 |
123 | 122,774 | ||||||
| Term Loan, 3.00%, Maturing April 29, 2020 |
605 | 604,840 | ||||||
| Post Holdings, Inc. |
||||||||
| Term Loan, 3.75%, Maturing June 2, 2021 |
199 | 198,947 | ||||||
|
|
|
|||||||
| $ | 5,568,312 | |||||||
|
|
|
|||||||
| Food Service — 1.0% |
||||||||
| 1011778 B.C. Unlimited Liability Company |
||||||||
| Term Loan, 3.75%, Maturing December 12, 2021 |
924 | $ | 927,284 | |||||
| Aramark Services, Inc. |
||||||||
| Term Loan, 3.68%, Maturing July 26, 2016 |
43 | 42,541 | ||||||
| Term Loan, 3.69%, Maturing July 26, 2016 |
77 | 76,630 | ||||||
| CEC Entertainment, Inc. |
||||||||
| Term Loan, 4.00%, Maturing February 14, 2021 |
123 | 120,969 | ||||||
| Landry’s, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 24, 2018 |
426 | 428,340 | ||||||
| US Foods, Inc. |
||||||||
| Term Loan, 4.50%, Maturing March 31, 2019 |
613 | 615,243 | ||||||
| Weight Watchers International, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 2, 2020 |
1,173 | 615,239 | ||||||
|
|
|
|||||||
| $ | 2,826,246 | |||||||
|
|
|
|||||||
| Food/Drug Retailers — 1.4% |
||||||||
| Albertsons, LLC |
||||||||
| Term Loan, 5.38%, Maturing March 21, 2019 |
223 | $ | 223,823 | |||||
| Term Loan, 5.00%, Maturing August 25, 2019 |
420 | 421,524 | ||||||
| Term Loan, 5.50%, Maturing August 25, 2021 |
175 | 175,505 | ||||||
| General Nutrition Centers, Inc. |
||||||||
| Term Loan, 3.25%, Maturing March 4, 2019 |
850 | 843,069 | ||||||
| New Albertsons, Inc. |
||||||||
| Term Loan, 4.75%, Maturing June 27, 2021 |
1,166 | 1,170,415 | ||||||
9
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Rite Aid Corporation |
||||||||
| Term Loan - Second Lien, 5.75%, Maturing August 21, 2020 |
100 | $ | 101,187 | |||||
| Supervalu, Inc. |
||||||||
| Term Loan, 4.50%, Maturing March 21, 2019 |
982 | 986,755 | ||||||
|
|
|
|||||||
| $ | 3,922,278 | |||||||
|
|
|
|||||||
| Health Care — 5.5% |
||||||||
| Acadia Healthcare Company, Inc. |
||||||||
| Term Loan, 4.25%, Maturing February 11, 2022 |
50 | $ | 50,216 | |||||
| ADMI Corp. |
||||||||
| Term Loan, 5.50%, Maturing April 30, 2022 |
75 | 75,656 | ||||||
| Akorn, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 16, 2021 |
199 | 199,410 | ||||||
| Alere, Inc. |
||||||||
| Term Loan, Maturing June 18, 2022(2) |
325 | 326,669 | ||||||
| Alliance Healthcare Services, Inc. |
||||||||
| Term Loan, 4.25%, Maturing June 3, 2019 |
218 | 217,854 | ||||||
| Amneal Pharmaceuticals, LLC |
||||||||
| Term Loan, 4.50%, Maturing November 1, 2019 |
544 | 546,204 | ||||||
| Amsurg Corp. |
||||||||
| Term Loan, 3.75%, Maturing July 16, 2021 |
99 | 99,356 | ||||||
| Ardent Legacy Acquisitions, Inc. |
||||||||
| Term Loan, Maturing July 21, 2021(2) |
100 | 100,625 | ||||||
| Ardent Medical Services, Inc. |
||||||||
| Term Loan, 7.50%, Maturing July 2, 2018 |
272 | 272,603 | ||||||
| Auris Luxembourg III S.a.r.l. |
||||||||
| Term Loan, 4.25%, Maturing January 15, 2022 |
150 | 150,186 | ||||||
| Capella Healthcare, Inc. |
||||||||
| Term Loan, 5.25%, Maturing December 31, 2021 |
149 | 149,996 | ||||||
| CareCore National, LLC |
||||||||
| Term Loan, 5.50%, Maturing March 5, 2021 |
99 | 98,750 | ||||||
| CHG Healthcare Services, Inc. |
||||||||
| Term Loan, 4.25%, Maturing November 19, 2019 |
171 | 171,649 | ||||||
| Community Health Systems, Inc. |
||||||||
| Term Loan, 3.53%, Maturing December 31, 2018 |
369 | 370,432 | ||||||
| Term Loan, 3.75%, Maturing December 31, 2019 |
503 | 504,600 | ||||||
| Term Loan, 4.00%, Maturing January 27, 2021 |
925 | 930,314 | ||||||
| Concordia Healthcare Corp. |
||||||||
| Term Loan, 4.75%, Maturing April 21, 2022 |
50 | 50,354 | ||||||
| Convatec, Inc. |
||||||||
| Term Loan, 4.25%, Maturing June 15, 2020 |
90 | 89,620 | ||||||
| CPI Buyer, LLC |
||||||||
| Term Loan, 5.50%, Maturing August 18, 2021 |
199 | 198,500 | ||||||
| DaVita HealthCare Partners, Inc. |
||||||||
| Term Loan, 3.50%, Maturing June 24, 2021 |
545 | 546,429 | ||||||
| DJO Finance, LLC |
||||||||
| Term Loan, 4.25%, Maturing June 8, 2020 |
400 | 401,550 | ||||||
| Envision Healthcare Corporation |
||||||||
| Term Loan, 4.00%, Maturing May 25, 2018 |
397 | 397,951 | ||||||
| Grifols Worldwide Operations USA, Inc. |
||||||||
| Term Loan, 3.19%, Maturing February 27, 2021 |
815 | 818,252 | ||||||
| Horizon Pharma Holdings USA, Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 22, 2021 |
50 | 50,266 | ||||||
| Iasis Healthcare, LLC |
||||||||
| Term Loan, 4.50%, Maturing May 3, 2018 |
311 | 312,497 | ||||||
| Indivior Finance S.a.r.l. |
||||||||
| Term Loan, 7.00%, Maturing December 19, 2019 |
195 | 192,441 | ||||||
10
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| inVentiv Health, Inc. |
||||||||
| Term Loan, 7.75%, Maturing May 15, 2018 |
533 | $ | 533,700 | |||||
| Kindred Healthcare, Inc. |
||||||||
| Term Loan, 4.25%, Maturing April 9, 2021 |
746 | 750,905 | ||||||
| Kinetic Concepts, Inc. |
||||||||
| Term Loan, 4.50%, Maturing May 4, 2018 |
919 | 924,382 | ||||||
| LHP Hospital Group, Inc. |
||||||||
| Term Loan, 9.00%, Maturing July 3, 2018 |
255 | 249,584 | ||||||
| MedAssets, Inc. |
||||||||
| Term Loan, 4.00%, Maturing December 13, 2019 |
72 | 71,977 | ||||||
| Millennium Health, LLC |
||||||||
| Term Loan, 5.25%, Maturing April 16, 2021(3) |
866 | 359,494 | ||||||
| MMM Holdings, Inc. |
||||||||
| Term Loan, 9.75%, Maturing December 12, 2017 |
107 | 84,039 | ||||||
| MSO of Puerto Rico, Inc. |
||||||||
| Term Loan, 9.75%, Maturing December 12, 2017 |
78 | 61,096 | ||||||
| National Mentor Holdings, Inc. |
||||||||
| Term Loan, 4.25%, Maturing January 31, 2021 |
99 | 99,059 | ||||||
| Onex Carestream Finance L.P. |
||||||||
| Term Loan, 5.00%, Maturing June 7, 2019 |
445 | 446,439 | ||||||
| Opal Acquisition, Inc. |
||||||||
| Term Loan, 5.00%, Maturing November 27, 2020 |
296 | 291,723 | ||||||
| Ortho-Clinical Diagnostics, Inc. |
||||||||
| Term Loan, 4.75%, Maturing June 30, 2021 |
545 | 541,812 | ||||||
| Pharmaceutical Product Development, LLC |
||||||||
| Term Loan, 4.00%, Maturing December 5, 2018 |
1,331 | 1,333,355 | ||||||
| Physio-Control International, Inc. |
||||||||
| Term Loan, 5.50%, Maturing June 6, 2022 |
75 | 75,609 | ||||||
| PRA Holdings, Inc. |
||||||||
| Term Loan, 4.50%, Maturing September 23, 2020 |
486 | 488,518 | ||||||
| Radnet Management, Inc. |
||||||||
| Term Loan, 4.27%, Maturing October 10, 2018 |
351 | 351,391 | ||||||
| RegionalCare Hospital Partners, Inc. |
||||||||
| Term Loan, 5.25%, Maturing April 19, 2019 |
421 | 421,525 | ||||||
| Sage Products Holdings III, LLC |
||||||||
| Term Loan, 4.25%, Maturing December 13, 2019 |
140 | 140,520 | ||||||
| Select Medical Corporation |
||||||||
| Term Loan, 3.75%, Maturing June 1, 2018 |
217 | 217,607 | ||||||
| Sterigenics-Nordion Holdings, LLC |
||||||||
| Term Loan, 4.25%, Maturing May 15, 2022 |
125 | 125,938 | ||||||
| Steward Health Care System, LLC |
||||||||
| Term Loan, 6.75%, Maturing April 12, 2020 |
396 | 394,227 | ||||||
| Tecomet, Inc. |
||||||||
| Term Loan, 5.75%, Maturing December 5, 2021 |
224 | 221,776 | ||||||
| Truven Health Analytics, Inc. |
||||||||
| Term Loan, 4.50%, Maturing June 6, 2019 |
316 | 315,597 | ||||||
|
|
|
|||||||
| $ | 15,822,653 | |||||||
|
|
|
|||||||
| Home Furnishings — 0.5% |
||||||||
| Serta Simmons Holdings, LLC |
||||||||
| Term Loan, 4.25%, Maturing October 1, 2019 |
1,255 | $ | 1,258,814 | |||||
| Tempur-Pedic International, Inc. |
||||||||
| Term Loan, 3.50%, Maturing March 18, 2020 |
233 | 233,719 | ||||||
|
|
|
|||||||
| $ | 1,492,533 | |||||||
|
|
|
|||||||
11
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Industrial Equipment — 1.6% |
||||||||
| Apex Tool Group, LLC |
||||||||
| Term Loan, 4.50%, Maturing January 31, 2020 |
542 | $ | 532,774 | |||||
| Delachaux S.A. |
||||||||
| Term Loan, 4.50%, Maturing October 28, 2021 |
76 | 76,561 | ||||||
| Doosan Infracore International, Inc. |
||||||||
| Term Loan, 4.50%, Maturing May 28, 2021 |
183 | 183,871 | ||||||
| Gardner Denver, Inc. |
||||||||
| Term Loan, 4.25%, Maturing July 30, 2020 |
344 | 332,592 | ||||||
| Generac Power Systems, Inc. |
||||||||
| Term Loan, 3.25%, Maturing May 31, 2020 |
258 | 257,191 | ||||||
| Husky Injection Molding Systems Ltd. |
||||||||
| Term Loan, 4.25%, Maturing June 30, 2021 |
467 | 467,255 | ||||||
| Term Loan - Second Lien, 7.25%, Maturing June 30, 2022 |
80 | 79,678 | ||||||
| Milacron, LLC |
||||||||
| Term Loan, 4.50%, Maturing September 28, 2020 |
215 | 215,662 | ||||||
| NN, Inc. |
||||||||
| Term Loan, 6.00%, Maturing August 27, 2021 |
253 | 254,271 | ||||||
| Paladin Brands Holding, Inc. |
||||||||
| Term Loan, 6.75%, Maturing August 16, 2019 |
91 | 90,845 | ||||||
| Rexnord, LLC |
||||||||
| Term Loan, 4.00%, Maturing August 21, 2020 |
835 | 836,691 | ||||||
| Signode Industrial Group US, Inc. |
||||||||
| Term Loan, 3.75%, Maturing May 1, 2021 |
193 | 192,201 | ||||||
| STS Operating, Inc. |
||||||||
| Term Loan, 4.75%, Maturing February 12, 2021 |
346 | 346,584 | ||||||
| Tank Holding Corp. |
||||||||
| Term Loan, 5.25%, Maturing March 16, 2022 |
150 | 150,925 | ||||||
| Terex Corporation |
||||||||
| Term Loan, 3.50%, Maturing August 13, 2021 |
EUR | 298 | 325,369 | |||||
| VAT Lux III S.a.r.l. |
||||||||
| Term Loan, 4.25%, Maturing February 11, 2021 |
66 | 66,095 | ||||||
| Wittur GmbH |
||||||||
| Term Loan, 6.00%, Maturing February 10, 2022 |
EUR | 175 | 189,311 | |||||
|
|
|
|||||||
| $ | 4,597,876 | |||||||
|
|
|
|||||||
| Insurance — 1.9% |
||||||||
| Alliant Holdings I, Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 20, 2019 |
386 | $ | 386,474 | |||||
| AmWINS Group, LLC |
||||||||
| Term Loan, 5.25%, Maturing September 6, 2019 |
903 | 913,485 | ||||||
| Asurion, LLC |
||||||||
| Term Loan, 5.00%, Maturing May 24, 2019 |
1,617 | 1,624,150 | ||||||
| Term Loan, Maturing July 22, 2022(2) |
1,000 | 1,000,208 | ||||||
| Term Loan - Second Lien, 8.50%, Maturing March 3, 2021 |
375 | 377,813 | ||||||
| CGSC of Delaware Holding Corporation |
||||||||
| Term Loan, 5.00%, Maturing April 16, 2020 |
49 | 45,080 | ||||||
| Cunningham Lindsey U.S., Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 10, 2019 |
167 | 162,714 | ||||||
| Hub International Limited |
||||||||
| Term Loan, 4.00%, Maturing October 2, 2020 |
516 | 514,269 | ||||||
| USI, Inc. |
||||||||
| Term Loan, 4.25%, Maturing December 27, 2019 |
464 | 464,479 | ||||||
|
|
|
|||||||
| $ | 5,488,672 | |||||||
|
|
|
|||||||
12
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Leisure Goods/Activities/Movies — 2.5% |
||||||||
| Activision Blizzard, Inc. |
||||||||
| Term Loan, 3.25%, Maturing October 12, 2020 |
467 | $ | 469,596 | |||||
| AMC Entertainment, Inc. |
||||||||
| Term Loan, 3.50%, Maturing April 30, 2020 |
440 | 441,193 | ||||||
| Aufinco Pty Limited |
||||||||
| Term Loan, 4.00%, Maturing May 29, 2020 |
74 | 73,592 | ||||||
| Bombardier Recreational Products, Inc. |
||||||||
| Term Loan, 3.75%, Maturing January 30, 2019 |
641 | 643,318 | ||||||
| CDS U.S. Intermediate Holdings, Inc. |
||||||||
| Term Loan, 6.25%, Maturing July 8, 2022 |
75 | 75,619 | ||||||
| ClubCorp Club Operations, Inc. |
||||||||
| Term Loan, 4.25%, Maturing June 24, 2020 |
548 | 551,613 | ||||||
| Emerald Expositions Holding, Inc. |
||||||||
| Term Loan, 4.75%, Maturing June 17, 2020 |
176 | 176,053 | ||||||
| Equinox Holdings, Inc. |
||||||||
| Term Loan, 5.00%, Maturing January 31, 2020 |
343 | 346,830 | ||||||
| Fender Musical Instruments Corporation |
||||||||
| Term Loan, 5.75%, Maturing April 3, 2019 |
65 | 65,597 | ||||||
| Kasima, LLC |
||||||||
| Term Loan, 3.25%, Maturing May 17, 2021 |
136 | 136,340 | ||||||
| Live Nation Entertainment, Inc. |
||||||||
| Term Loan, 3.50%, Maturing August 16, 2020 |
499 | 500,101 | ||||||
| LTF Merger Sub, Inc. |
||||||||
| Term Loan, 4.25%, Maturing June 10, 2022 |
250 | 249,948 | ||||||
| Nord Anglia Education Finance, LLC |
||||||||
| Term Loan, 5.00%, Maturing March 31, 2021 |
446 | 447,951 | ||||||
| Regal Cinemas Corporation |
||||||||
| Term Loan, 3.75%, Maturing April 1, 2022 |
1,173 | 1,180,390 | ||||||
| Sabre, Inc. |
||||||||
| Term Loan, 4.00%, Maturing February 19, 2019 |
219 | 220,449 | ||||||
| SeaWorld Parks & Entertainment, Inc. |
||||||||
| Term Loan, 3.00%, Maturing May 14, 2020 |
536 | 522,026 | ||||||
| SRAM, LLC |
||||||||
| Term Loan, 4.02%, Maturing April 10, 2020 |
320 | 319,452 | ||||||
| Town Sports International, Inc. |
||||||||
| Term Loan, 4.50%, Maturing November 15, 2020 |
212 | 162,447 | ||||||
| WMG Acquisition Corp. |
||||||||
| Term Loan, 3.75%, Maturing July 1, 2020 |
172 | 170,513 | ||||||
| Zuffa, LLC |
||||||||
| Term Loan, 3.75%, Maturing February 25, 2020 |
561 | 556,601 | ||||||
|
|
|
|||||||
| $ | 7,309,629 | |||||||
|
|
|
|||||||
| Lodging and Casinos — 2.4% |
||||||||
| Affinity Gaming, LLC |
||||||||
| Term Loan, 5.25%, Maturing November 9, 2017 |
457 | $ | 459,004 | |||||
| Amaya Holdings B.V. |
||||||||
| Term Loan, 5.00%, Maturing August 1, 2021 |
521 | 521,307 | ||||||
| Term Loan - Second Lien, 8.00%, Maturing August 1, 2022 |
150 | 151,844 | ||||||
| Boyd Gaming Corporation |
||||||||
| Term Loan, 4.00%, Maturing August 14, 2020 |
89 | 89,262 | ||||||
| Caesars Entertainment Operating Company |
||||||||
| Term Loan, 0.00%, Maturing March 1, 2017(4) |
366 | 324,004 | ||||||
| CityCenter Holdings, LLC |
||||||||
| Term Loan, 4.25%, Maturing October 16, 2020 |
636 | 638,890 | ||||||
13
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Four Seasons Holdings, Inc. |
||||||||
| Term Loan, 3.50%, Maturing June 27, 2020 |
98 | $ | 97,978 | |||||
| Term Loan - Second Lien, 6.25%, Maturing December 27, 2020 |
500 | 502,500 | ||||||
| Hilton Worldwide Finance, LLC |
||||||||
| Term Loan, 3.50%, Maturing October 26, 2020 |
1,916 | 1,922,293 | ||||||
| La Quinta Intermediate Holdings, LLC |
||||||||
| Term Loan, 4.00%, Maturing April 14, 2021 |
167 | 167,376 | ||||||
| Las Vegas Sands, LLC |
||||||||
| Term Loan, 3.25%, Maturing December 19, 2020 |
345 | 344,606 | ||||||
| MGM Resorts International |
||||||||
| Term Loan, 3.50%, Maturing December 20, 2019 |
488 | 486,637 | ||||||
| Pinnacle Entertainment, Inc. |
||||||||
| Term Loan, 3.75%, Maturing August 13, 2020 |
111 | 111,225 | ||||||
| Playa Resorts Holding B.V. |
||||||||
| Term Loan, 4.00%, Maturing August 9, 2019 |
98 | 98,373 | ||||||
| RHP Hotel Properties L.P. |
||||||||
| Term Loan, 3.50%, Maturing January 15, 2021 |
124 | 124,311 | ||||||
| Scientific Games International, Inc. |
||||||||
| Term Loan, 6.00%, Maturing October 18, 2020 |
640 | 643,673 | ||||||
| Term Loan, 6.00%, Maturing October 1, 2021 |
174 | 175,083 | ||||||
|
|
|
|||||||
| $ | 6,858,366 | |||||||
|
|
|
|||||||
| Nonferrous Metals/Minerals — 0.7% |
||||||||
| Alpha Natural Resources, LLC |
||||||||
| Term Loan, 3.50%, Maturing May 22, 2020 |
147 | $ | 101,575 | |||||
| Arch Coal, Inc. |
||||||||
| Term Loan, 6.25%, Maturing May 16, 2018 |
558 | 320,860 | ||||||
| Dynacast International, LLC |
||||||||
| Term Loan, 4.50%, Maturing January 28, 2022 |
125 | 125,311 | ||||||
| Fairmount Minerals Ltd. |
||||||||
| Term Loan, 4.50%, Maturing September 5, 2019 |
368 | 336,199 | ||||||
| Murray Energy Corporation |
||||||||
| Term Loan, 7.00%, Maturing April 7, 2017 |
50 | 48,563 | ||||||
| Term Loan, 7.50%, Maturing April 16, 2020 |
350 | 291,594 | ||||||
| Noranda Aluminum Acquisition Corporation |
||||||||
| Term Loan, 5.75%, Maturing February 28, 2019 |
169 | 118,942 | ||||||
| Novelis, Inc. |
||||||||
| Term Loan, 4.00%, Maturing June 2, 2022 |
500 | 500,400 | ||||||
| Oxbow Carbon, LLC |
||||||||
| Term Loan, 4.25%, Maturing July 19, 2019 |
90 | 89,803 | ||||||
| Term Loan - Second Lien, 8.00%, Maturing January 17, 2020 |
150 | 141,750 | ||||||
|
|
|
|||||||
| $ | 2,074,997 | |||||||
|
|
|
|||||||
| Oil and Gas — 2.1% |
||||||||
| Ameriforge Group, Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 19, 2019 |
221 | $ | 181,432 | |||||
| Bronco Midstream Funding, LLC |
||||||||
| Term Loan, 5.00%, Maturing August 15, 2020 |
289 | 283,668 | ||||||
| CITGO Holding, Inc. |
||||||||
| Term Loan, 9.50%, Maturing May 12, 2018 |
306 | 306,905 | ||||||
| CITGO Petroleum Corporation |
||||||||
| Term Loan, 4.50%, Maturing July 29, 2021 |
199 | 199,079 | ||||||
| Crestwood Holdings, LLC |
||||||||
| Term Loan, 7.00%, Maturing June 19, 2019 |
171 | 168,322 | ||||||
| Drillships Ocean Ventures, Inc. |
||||||||
| Term Loan, 5.50%, Maturing July 25, 2021 |
198 | 163,391 | ||||||
14
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Energy Transfer Equity L.P. |
||||||||
| Term Loan, 3.25%, Maturing December 2, 2019 |
325 | $ | 323,731 | |||||
| Term Loan, 4.00%, Maturing December 2, 2019 |
570 | 570,285 | ||||||
| Fieldwood Energy, LLC |
||||||||
| Term Loan, 3.88%, Maturing September 28, 2018 |
197 | 181,264 | ||||||
| Floatel International Ltd. |
||||||||
| Term Loan, 6.00%, Maturing June 27, 2020 |
173 | 131,856 | ||||||
| MEG Energy Corp. |
||||||||
| Term Loan, 3.75%, Maturing March 31, 2020 |
1,435 | 1,392,576 | ||||||
| Obsidian Natural Gas Trust |
||||||||
| Term Loan, 7.00%, Maturing November 2, 2015 |
99 | 99,607 | ||||||
| Paragon Offshore Finance Company |
||||||||
| Term Loan, 3.75%, Maturing July 18, 2021(3) |
149 | 97,885 | ||||||
| Samson Investment Company |
||||||||
| Term Loan - Second Lien, 5.00%, Maturing September 25, 2018 |
175 | 50,641 | ||||||
| Seadrill Partners Finco, LLC |
||||||||
| Term Loan, 4.00%, Maturing February 21, 2021 |
839 | 630,905 | ||||||
| Seventy Seven Operating, LLC |
||||||||
| Term Loan, 3.75%, Maturing June 25, 2021 |
99 | 88,172 | ||||||
| Sheridan Investment Partners II L.P. |
||||||||
| Term Loan, 4.25%, Maturing December 16, 2020 |
28 | 23,537 | ||||||
| Term Loan, 4.25%, Maturing December 16, 2020 |
75 | 63,112 | ||||||
| Term Loan, 4.25%, Maturing December 16, 2020 |
537 | 453,696 | ||||||
| Sheridan Production Partners I, LLC |
||||||||
| Term Loan, 4.25%, Maturing October 1, 2019 |
31 | 26,821 | ||||||
| Term Loan, 4.25%, Maturing October 1, 2019 |
50 | 43,911 | ||||||
| Term Loan, 4.25%, Maturing October 1, 2019 |
379 | 331,385 | ||||||
| Targa Resources Corp. |
||||||||
| Term Loan, 5.75%, Maturing February 25, 2022 |
47 | 47,049 | ||||||
| Tervita Corporation |
||||||||
| Term Loan, 6.25%, Maturing May 15, 2018 |
131 | 118,291 | ||||||
|
|
|
|||||||
| $ | 5,977,521 | |||||||
|
|
|
|||||||
| Publishing — 0.8% |
||||||||
| Ascend Learning, LLC |
||||||||
| Term Loan, 5.50%, Maturing July 31, 2019 |
222 | $ | 223,426 | |||||
| Getty Images, Inc. |
||||||||
| Term Loan, 4.75%, Maturing October 18, 2019 |
926 | 658,216 | ||||||
| Houghton Mifflin Harcourt Publishing Company |
||||||||
| Term Loan, 4.00%, Maturing May 31, 2021 |
75 | 74,953 | ||||||
| Interactive Data Corporation |
||||||||
| Term Loan, 4.75%, Maturing May 2, 2021 |
272 | 273,645 | ||||||
| Laureate Education, Inc. |
||||||||
| Term Loan, 5.00%, Maturing June 15, 2018 |
517 | 484,595 | ||||||
| McGraw-Hill Global Education Holdings, LLC |
||||||||
| Term Loan, 4.75%, Maturing March 22, 2019 |
125 | 126,192 | ||||||
| Merrill Communications, LLC |
||||||||
| Term Loan, 6.25%, Maturing June 1, 2022 |
125 | 125,313 | ||||||
| Multi Packaging Solutions, Inc. |
||||||||
| Term Loan, 4.25%, Maturing September 30, 2020 |
74 | 73,970 | ||||||
| ProQuest, LLC |
||||||||
| Term Loan, 5.25%, Maturing October 24, 2021 |
124 | 125,203 | ||||||
| Springer Science+Business Media Deutschland GmbH |
||||||||
| Term Loan, 4.75%, Maturing August 14, 2020 |
246 | 247,626 | ||||||
|
|
|
|||||||
| $ | 2,413,139 | |||||||
|
|
|
|||||||
15
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Radio and Television — 1.2% |
||||||||
| AP NMT Acquisition B.V. |
||||||||
| Term Loan, 6.75%, Maturing August 13, 2021 |
99 | $ | 98,707 | |||||
| Block Communications, Inc. |
||||||||
| Term Loan, 4.00%, Maturing November 7, 2021 |
50 | 49,935 | ||||||
| Clear Channel Communications, Inc. |
||||||||
| Term Loan, 7.69%, Maturing July 30, 2019 |
450 | 419,850 | ||||||
| Cumulus Media Holdings, Inc. |
||||||||
| Term Loan, 4.25%, Maturing December 23, 2020 |
729 | 673,995 | ||||||
| Hubbard Radio, LLC |
||||||||
| Term Loan, 4.25%, Maturing May 15, 2020 |
123 | 124,073 | ||||||
| Media General, Inc. |
||||||||
| Term Loan, 4.00%, Maturing July 31, 2020 |
259 | 260,628 | ||||||
| Mission Broadcasting, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 1, 2020 |
126 | 126,776 | ||||||
| Nexstar Broadcasting, Inc. |
||||||||
| Term Loan, 3.75%, Maturing October 1, 2020 |
143 | 143,765 | ||||||
| TWCC Holding Corp. |
||||||||
| Term Loan, 5.75%, Maturing February 13, 2020 |
233 | 230,731 | ||||||
| Term Loan - Second Lien, 7.00%, Maturing June 26, 2020 |
125 | 117,396 | ||||||
| Univision Communications, Inc. |
||||||||
| Term Loan, 4.00%, Maturing March 1, 2020 |
1,138 | 1,138,388 | ||||||
|
|
|
|||||||
| $ | 3,384,244 | |||||||
|
|
|
|||||||
| Retailers (Except Food and Drug) — 2.9% |
||||||||
| 99 Cents Only Stores |
||||||||
| Term Loan, 4.50%, Maturing January 11, 2019 |
337 | $ | 322,412 | |||||
| Bass Pro Group, LLC |
||||||||
| Term Loan, 4.00%, Maturing June 5, 2020 |
442 | 443,663 | ||||||
| Burlington Coat Factory Warehouse Corporation |
||||||||
| Term Loan, 4.25%, Maturing August 13, 2021 |
93 | 93,407 | ||||||
| CDW, LLC |
||||||||
| Term Loan, 3.25%, Maturing April 29, 2020 |
367 | 365,878 | ||||||
| David’s Bridal, Inc. |
||||||||
| Term Loan, 5.00%, Maturing October 11, 2019 |
119 | 115,437 | ||||||
| Dollar Tree, Inc. |
||||||||
| Term Loan, 3.50%, Maturing July 6, 2022 |
559 | 561,708 | ||||||
| Evergreen Acqco 1 L.P. |
||||||||
| Term Loan, 5.00%, Maturing July 9, 2019 |
121 | 114,059 | ||||||
| Harbor Freight Tools USA, Inc. |
||||||||
| Term Loan, 4.75%, Maturing July 26, 2019 |
189 | 190,516 | ||||||
| J. Crew Group, Inc. |
||||||||
| Term Loan, 4.00%, Maturing March 5, 2021 |
518 | 431,877 | ||||||
| Jo-Ann Stores, Inc. |
||||||||
| Term Loan, 4.00%, Maturing March 16, 2018 |
317 | 313,865 | ||||||
| Men’s Wearhouse, Inc. (The) |
||||||||
| Term Loan, 4.50%, Maturing June 18, 2021 |
157 | 158,526 | ||||||
| Michaels Stores, Inc. |
||||||||
| Term Loan, 3.75%, Maturing January 28, 2020 |
1,476 | 1,480,472 | ||||||
| Term Loan, 4.00%, Maturing January 28, 2020 |
173 | 174,164 | ||||||
| Neiman Marcus Group, Inc. (The) |
||||||||
| Term Loan, 4.25%, Maturing October 25, 2020 |
761 | 759,721 | ||||||
| Party City Holdings, Inc. |
||||||||
| Term Loan, 4.00%, Maturing July 27, 2019 |
268 | 268,627 | ||||||
| Petco Animal Supplies, Inc. |
||||||||
| Term Loan, 4.00%, Maturing November 24, 2017 |
726 | 728,012 | ||||||
16
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| PetSmart, Inc. |
||||||||
| Term Loan, 4.25%, Maturing March 11, 2022 |
923 | $ | 927,354 | |||||
| Pier 1 Imports (U.S.), Inc. |
||||||||
| Term Loan, 4.50%, Maturing April 30, 2021 |
99 | 98,629 | ||||||
| Pilot Travel Centers, LLC |
||||||||
| Term Loan, 4.25%, Maturing October 1, 2021 |
396 | 401,339 | ||||||
| Spin Holdco, Inc. |
||||||||
| Term Loan, 4.25%, Maturing November 14, 2019 |
295 | 295,465 | ||||||
|
|
|
|||||||
| $ | 8,245,131 | |||||||
|
|
|
|||||||
| Steel — 0.6% |
||||||||
| FMG Resources (August 2006) Pty Ltd. |
||||||||
| Term Loan, 3.75%, Maturing June 30, 2019 |
1,690 | $ | 1,388,924 | |||||
| JMC Steel Group, Inc. |
||||||||
| Term Loan, 4.75%, Maturing April 1, 2017 |
144 | 142,735 | ||||||
| Neenah Foundry Company |
||||||||
| Term Loan, 6.75%, Maturing April 26, 2017 |
81 | 81,039 | ||||||
| Patriot Coal Corporation |
||||||||
| Term Loan, 0.00%, Maturing December 15, 2018(3)(4) |
74 | 31,166 | ||||||
|
|
|
|||||||
| $ | 1,643,864 | |||||||
|
|
|
|||||||
| Surface Transport — 0.2% |
||||||||
| Hertz Corporation (The) |
||||||||
| Term Loan, 3.75%, Maturing March 11, 2018 |
341 | $ | 342,156 | |||||
| Kenan Advantage Group, Inc. |
||||||||
| Term Loan, Maturing July 31, 2022(2) |
10 | 9,622 | ||||||
| Term Loan, Maturing July 31, 2022(2) |
22 | 21,977 | ||||||
| Term Loan, Maturing July 31, 2022(2) |
69 | 68,901 | ||||||
| Stena International S.a.r.l. |
||||||||
| Term Loan, 4.00%, Maturing March 3, 2021 |
272 | 256,627 | ||||||
|
|
|
|||||||
| $ | 699,283 | |||||||
|
|
|
|||||||
| Telecommunications — 1.3% |
||||||||
| CWC Cayman Finance Limited |
||||||||
| Term Loan, 5.50%, Maturing April 28, 2017 |
75 | $ | 75,047 | |||||
| Intelsat Jackson Holdings S.A. |
||||||||
| Term Loan, 3.75%, Maturing June 30, 2019 |
1,650 | 1,635,820 | ||||||
| IPC Corp. |
||||||||
| Term Loan, 5.50%, Maturing August 6, 2021 |
349 | 349,416 | ||||||
| Mitel US Holdings, Inc. |
||||||||
| Term Loan, 5.00%, Maturing March 31, 2022 |
150 | 151,375 | ||||||
| SBA Senior Finance II, LLC |
||||||||
| Term Loan, 3.25%, Maturing March 24, 2021 |
347 | 344,746 | ||||||
| Syniverse Holdings, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 23, 2019 |
242 | 231,170 | ||||||
| Term Loan, 4.00%, Maturing April 23, 2019 |
336 | 320,402 | ||||||
| Telesat Canada |
||||||||
| Term Loan, 3.50%, Maturing March 28, 2019 |
655 | 655,409 | ||||||
| Windstream Corporation |
||||||||
| Term Loan, 3.50%, Maturing August 8, 2019 |
122 | 119,495 | ||||||
|
|
|
|||||||
| $ | 3,882,880 | |||||||
|
|
|
|||||||
| Utilities — 1.6% |
||||||||
| Calpine Construction Finance Company L.P. |
||||||||
| Term Loan, 3.00%, Maturing May 3, 2020 |
196 | $ | 194,571 | |||||
| Term Loan, 3.25%, Maturing January 31, 2022 |
74 | 72,952 | ||||||
17
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Calpine Corporation |
||||||||
| Term Loan, 4.00%, Maturing October 9, 2019 |
170 | $ | 170,906 | |||||
| Term Loan, 3.50%, Maturing May 27, 2022 |
600 | 598,834 | ||||||
| Dynegy Holdings, Inc. |
||||||||
| Term Loan, 4.00%, Maturing April 23, 2020 |
1,173 | 1,177,606 | ||||||
| EFS Cogen Holdings I, LLC |
||||||||
| Term Loan, 3.75%, Maturing December 17, 2020 |
78 | 78,261 | ||||||
| Energy Future Intermediate Holding Co., LLC |
||||||||
| DIP Loan, 4.25%, Maturing June 19, 2016 |
300 | 301,562 | ||||||
| Granite Acquisition, Inc. |
||||||||
| Term Loan, 5.00%, Maturing December 19, 2021 |
21 | 21,200 | ||||||
| Term Loan, 5.00%, Maturing December 19, 2021 |
477 | 479,412 | ||||||
| La Frontera Generation, LLC |
||||||||
| Term Loan, 4.50%, Maturing September 30, 2020 |
582 | 576,029 | ||||||
| Lonestar Generation, LLC |
||||||||
| Term Loan, 5.25%, Maturing February 20, 2021 |
99 | 97,758 | ||||||
| Longview Power, LLC |
||||||||
| Term Loan, 7.00%, Maturing April 13, 2021 |
50 | 50,625 | ||||||
| TPF II Power, LLC |
||||||||
| Term Loan, 5.50%, Maturing October 2, 2021 |
272 | 274,334 | ||||||
| WTG Holdings III Corp. |
||||||||
| Term Loan, 4.75%, Maturing January 15, 2021 |
569 | 569,916 | ||||||
|
|
|
|||||||
| $ | 4,663,966 | |||||||
|
|
|
|||||||
| Total Senior Floating-Rate Interests |
$ | 155,730,405 | ||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 24.3% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp.: |
||||||||
| Series 2113, Class QG, 6.00%, 1/15/29 |
$ | 1,175 | $ | 1,335,657 | ||||
| Series 2167, Class BZ, 7.00%, 6/15/29 |
907 | 1,045,259 | ||||||
| Series 2182, Class ZB, 8.00%, 9/15/29 |
1,523 | 1,826,981 | ||||||
| Series 2631, (Interest Only), Class DS, 6.913%, 6/15/33(5)(6) |
2,373 | 428,119 | ||||||
| Series 2770, (Interest Only), Class SH, 6.913%, 3/15/34(5)(6) |
2,783 | 581,476 | ||||||
| Series 2981, (Interest Only), Class CS, 6.533%, 5/15/35(5)(6) |
1,593 | 306,771 | ||||||
| Series 3114, (Interest Only), Class TS, 6.463%, 9/15/30(5)(6) |
4,019 | 674,653 | ||||||
| Series 3339, (Interest Only), Class JI, 6.403%, 7/15/37(5)(6) |
3,225 | 558,503 | ||||||
| Series 4109, (Interest Only), Class ES, 5.963%, 12/15/41(5)(6) |
1,986 | 88,454 | ||||||
| Series 4163, (Interest Only), Class GS, 6.013%, 11/15/32(5)(6) |
6,249 | 1,399,830 | ||||||
| Series 4169, (Interest Only), Class AS, 6.063%, 2/15/33(5)(6) |
3,952 | 800,383 | ||||||
| Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26(6) |
4,041 | 431,084 | ||||||
| Series 4203, (Interest Only), Class QS, 6.063%, 5/15/43(5)(6) |
4,160 | 875,493 | ||||||
| Series 4273, Class PU, 4.00%, 11/15/43 |
1,591 | 1,617,776 | ||||||
| Series 4316, (Interest Only), Class JS, 5.913%, 1/15/44(5)(6) |
3,590 | 679,711 | ||||||
| Series 4326, Class TS, 13.163%, 4/15/44(5) |
1,414 | 1,562,293 | ||||||
| Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43(6) |
2,988 | 456,814 | ||||||
| Series 4336, Class GU, 3.50%, 2/15/53 |
3,947 | 4,005,400 | ||||||
| Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41(6) |
3,180 | 522,741 | ||||||
| Series 4443, Class ZJ, 3.00%, 9/15/44 |
104 | 104,944 | ||||||
| Series 4450, Class DS, 5.719%, 9/15/44(5) |
1,594 | 1,623,056 | ||||||
| Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45(7) |
3,006 | 2,789,030 | ||||||
|
|
|
|||||||
| $ | 23,714,428 | |||||||
|
|
|
|||||||
18
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal National Mortgage Association: |
||||||||
| Series 1989-89, Class H, 9.00%, 11/25/19 |
$ | 41 | $ | 45,255 | ||||
| Series 1991-122, Class N, 7.50%, 9/25/21 |
187 | 206,125 | ||||||
| Series 1993-84, Class M, 7.50%, 6/25/23 |
1,387 | 1,583,588 | ||||||
| Series 1994-42, Class K, 6.50%, 4/25/24 |
440 | 486,471 | ||||||
| Series 1997-28, Class ZA, 7.50%, 4/20/27 |
511 | 606,810 | ||||||
| Series 1997-38, Class N, 8.00%, 5/20/27 |
475 | 556,679 | ||||||
| Series 2004-46, (Interest Only), Class SI, 5.81%, 5/25/34(5)(6) |
2,853 | 389,113 | ||||||
| Series 2005-17, (Interest Only), Class SA, 6.51%, 3/25/35(5)(6) |
2,058 | 397,211 | ||||||
| Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36(7) |
1,776 | 1,545,163 | ||||||
| Series 2006-42, (Interest Only), Class PI, 6.40%, 6/25/36(5)(6) |
3,659 | 661,431 | ||||||
| Series 2006-44, (Interest Only), Class IS, 6.41%, 6/25/36(5)(6) |
2,961 | 567,559 | ||||||
| Series 2006-72, (Interest Only), Class GI, 6.39%, 8/25/36(5)(6) |
5,383 | 931,855 | ||||||
| Series 2007-50, (Interest Only), Class LS, 6.26%, 6/25/37(5)(6) |
2,292 | 382,893 | ||||||
| Series 2007-74, Class AC, 5.00%, 8/25/37 |
2,848 | 3,135,553 | ||||||
| Series 2008-26, (Interest Only), Class SA, 6.01%, 4/25/38(5)(6) |
3,740 | 658,846 | ||||||
| Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35(6) |
2,014 | 114,217 | ||||||
| Series 2008-61, (Interest Only), Class S, 5.91%, 7/25/38(5)(6) |
4,815 | 843,749 | ||||||
| Series 2010-99, (Interest Only), Class NS, 6.41%, 3/25/39(5)(6) |
4,285 | 531,349 | ||||||
| Series 2010-109, (Interest Only), Class PS, 6.41%, 10/25/40(5)(6) |
6,019 | 1,086,064 | ||||||
| Series 2010-119, (Interest Only), Class SK, 5.81%, 4/25/40(5)(6) |
2,003 | 131,746 | ||||||
| Series 2010-124, (Interest Only), Class SJ, 5.86%, 11/25/38(5)(6) |
3,691 | 497,101 | ||||||
| Series 2010-147, (Interest Only), Class KS, 5.76%, 1/25/41(5)(6) |
7,296 | 1,012,229 | ||||||
| Series 2010-150, (Interest Only), Class GS, 6.56%, 1/25/21(5)(6) |
4,698 | 504,849 | ||||||
| Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28(6) |
7,570 | 291,677 | ||||||
| Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25(6) |
6,753 | 662,936 | ||||||
| Series 2011-49, Class NT, 6.00%, 6/25/41(5) |
1,068 | 1,212,035 | ||||||
| Series 2012-22, Class PS, 6.739%, 3/25/42(5) |
603 | 605,008 | ||||||
| Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26(6) |
8,122 | 689,643 | ||||||
| Series 2012-56, (Interest Only), Class SU, 6.56%, 8/25/26(5)(6) |
2,779 | 290,646 | ||||||
| Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40(6) |
6,866 | 808,965 | ||||||
| Series 2012-103, (Interest Only), Class GS, 5.91%, 2/25/40(5)(6) |
8,239 | 1,332,037 | ||||||
| Series 2012-150, (Interest Only), Class PS, 5.96%, 1/25/43(5)(6) |
7,887 | 1,598,269 | ||||||
| Series 2012-150, (Interest Only), Class SK, 5.96%, 1/25/43(5)(6) |
4,389 | 851,239 | ||||||
| Series 2013-6, Class TA, 1.50%, 1/25/43 |
3,247 | 3,090,637 | ||||||
| Series 2013-23, (Interest Only), Class CS, 6.06%, 3/25/33(5)(6) |
3,925 | 850,441 | ||||||
| Series 2013-54, (Interest Only), Class HS, 6.11%, 10/25/41(5)(6) |
3,828 | 648,236 | ||||||
| Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44(6) |
2,316 | 414,745 | ||||||
| Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44(6) |
1,958 | 345,080 | ||||||
| Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44(6) |
5,394 | 1,101,168 | ||||||
| Series 2014-72, Class CS, 8.889%, 11/25/44(5) |
1,209 | 1,226,212 | ||||||
| Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45(6) |
3,919 | 714,268 | ||||||
| Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45(6) |
8,575 | 1,425,663 | ||||||
| Series 2015-17, (Interest Only), Class SA, 6.01%, 11/25/43(5)(6) |
8,836 | 1,433,479 | ||||||
| Series 2015-42, Class SC, 7.952%, 5/25/45(5) |
1,437 | 1,437,145 | ||||||
| Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45(6) |
4,952 | 864,982 | ||||||
| Series G-33, Class PT, 7.00%, 10/25/21 |
287 | 304,880 | ||||||
|
|
|
|||||||
| $ | 39,075,247 | |||||||
|
|
|
|||||||
| Government National Mortgage Association: |
||||||||
| Series 2011-156, Class GA, 2.00%, 12/16/41 |
$ | 1,302 | $ | 1,167,172 | ||||
| Series 2013-124, Class LS, 11.899%, 5/20/41(5) |
84 | 85,367 | ||||||
| Series 2014-117, Class HS, 31.296%, 8/20/44(5) |
347 | 392,065 | ||||||
| Series 2014-146, Class S, 5.868%, 10/20/44(5) |
817 | 827,924 | ||||||
19
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Series 2015-72, Class ZN, 3.50%, 5/20/45 |
$ | 2,719 | $ | 2,697,062 | ||||
| Series 2015-79, Class CS, 5.549%, 5/20/45(5) |
1,981 | 1,989,238 | ||||||
|
|
|
|||||||
| $ | 7,158,828 | |||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations |
$ | 69,948,503 | ||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 7.5% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| COMM, Series 2014-KYO, Class D, 2.187%, 6/11/27(8)(9) |
$ | 1,000 | $ | 993,769 | ||||
| COMM, Series 2014-LC17, Class D, 3.687%, 10/10/47(8) |
1,065 | 913,539 | ||||||
| ESA, Series 2013-ESH7, Class D7, 4.036%, 12/5/31(8)(10) |
1,080 | 1,097,842 | ||||||
| HILT, Series 2013-HLT, Class DFX, 4.407%, 11/5/30(8) |
850 | 859,814 | ||||||
| JPMBB, Series 2014-C19, Class D, 4.677%, 4/15/47(8)(10) |
1,425 | 1,318,239 | ||||||
| JPMBB, Series 2014-C21, Class D, 4.661%, 8/15/47(8)(10) |
650 | 602,469 | ||||||
| JPMBB, Series 2014-C22, Class D, 4.561%, 9/15/47(8)(10) |
1,850 | 1,688,452 | ||||||
| JPMBB, Series 2014-C23, Class D, 3.96%, 9/15/47(8)(10) |
850 | 747,063 | ||||||
| JPMCC, Series 2006-CB14, Class A4, 5.481%, 12/12/44(10) |
246 | 248,105 | ||||||
| JPMCC, Series 2011-C5, Class D, 5.323%, 8/15/46(8)(10) |
1,850 | 1,969,746 | ||||||
| JPMCC, Series 2014-DSTY, Class B, 3.771%, 6/10/27(8) |
1,900 | 1,968,195 | ||||||
| UBSC, Series 2011-C1, Class D, 5.888%, 1/10/45(8)(10) |
2,000 | 2,235,085 | ||||||
| UBSCM, Series 2012-C1, Class D, 5.542%, 5/10/45(8)(10) |
2,000 | 2,117,321 | ||||||
| WF-RBS, Series 2012-C9, Class D, 4.803%, 11/15/45(8)(10) |
1,250 | 1,261,411 | ||||||
| WF-RBS, Series 2014-LC14, Class D, 4.586%, 3/15/47(8)(10) |
1,150 | 1,076,723 | ||||||
| WFCM, Series 2010-C1, Class C, 5.582%, 11/15/43(8)(10) |
500 | 555,368 | ||||||
| WFCM, Series 2013-LC12, Class D, 4.30%, 7/15/46(8)(10) |
2,000 | 1,911,367 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities |
$ | 21,564,508 | ||||||
|
|
|
|||||||
| Mortgage Pass-Throughs — 23.0% |
||||||||
| Security | Principal (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp.: |
||||||||
| 2.423%, with maturity at 2035(11) |
$ | 2,685 | $ | 2,865,778 | ||||
| 2.878%, with maturity at 2035(11) |
2,786 | 2,965,056 | ||||||
| 5.00%, with maturity at 2019 |
1,608 | 1,688,059 | ||||||
| 6.00%, with various maturities to 2029 |
2,153 | 2,450,037 | ||||||
| 6.15%, with maturity at 2027 |
853 | 977,194 | ||||||
| 6.50%, with various maturities to 2032 |
4,537 | 5,167,396 | ||||||
| 7.00%, with various maturities to 2036 |
3,902 | 4,550,276 | ||||||
| 7.50%, with maturity at 2024 |
1,271 | 1,454,822 | ||||||
| 8.00%, with various maturities to 2032 |
1,962 | 2,361,178 | ||||||
| 8.50%, with various maturities to 2031 |
2,096 | 2,485,958 | ||||||
| 9.00%, with maturity at 2031 |
202 | 243,963 | ||||||
| 9.50%, with various maturities to 2022 |
69 | 75,756 | ||||||
| 11.50%, with maturity at 2019 |
3 | 3,232 | ||||||
|
|
|
|||||||
| $ | 27,288,705 | |||||||
|
|
|
|||||||
20
| Security | Principal (000’s omitted) |
Value | ||||||
| Federal National Mortgage Association: |
||||||||
| 5.00%, with various maturities to 2040 |
$ | 3,898 | $ | 4,325,202 | ||||
| 5.339%, with maturity at 2037(11) |
892 | 926,595 | ||||||
| 5.50%, with various maturities to 2033 |
2,499 | 2,816,088 | ||||||
| 6.00%, with maturity at 2023 |
1,598 | 1,774,699 | ||||||
| 6.32%, with maturity at 2032(11) |
1,172 | 1,304,298 | ||||||
| 6.50%, with various maturities to 2036 |
5,874 | 6,731,185 | ||||||
| 7.00%, with various maturities to 2037 |
5,977 | 6,950,297 | ||||||
| 7.50%, with maturity at 2035 |
4,084 | 4,784,539 | ||||||
| 8.00%, with various maturities to 2034 |
1,077 | 1,255,788 | ||||||
| 8.50%, with various maturities to 2027 |
156 | 178,922 | ||||||
| 9.00%, with various maturities to 2029 |
447 | 518,318 | ||||||
| 10.00%, with various maturities to 2031 |
317 | 356,133 | ||||||
|
|
|
|||||||
| $ | 31,922,064 | |||||||
|
|
|
|||||||
| Government National Mortgage Association: |
||||||||
| 7.50%, with maturity at 2025 |
$ | 1,919 | $ | 2,193,233 | ||||
| 8.00%, with maturity at 2034 |
2,514 | 2,948,466 | ||||||
| 9.00%, with various maturities to 2026 |
1,217 | 1,459,007 | ||||||
| 9.50%, with maturity at 2025 |
129 | 147,017 | ||||||
| 11.00%, with maturity at 2018 |
39 | 41,610 | ||||||
|
|
|
|||||||
| $ | 6,789,333 | |||||||
|
|
|
|||||||
| Total Mortgage Pass-Throughs |
$ | 66,000,102 | ||||||
|
|
|
|||||||
| Asset-Backed Securities — 4.9% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| AH4R, Series 2014-SFR1, Class C, 2.00%, 6/17/31(8)(9) |
$ | 200 | $ | 199,652 | ||||
| AH4R, Series 2014-SFR1, Class D, 2.35%, 6/17/31(8)(9) |
825 | 810,939 | ||||||
| ARP, Series 2014-SFR1, Class C, 2.536%, 9/17/31(8)(9) |
2,000 | 2,012,449 | ||||||
| CAH, Series 2014-1A, Class C, 2.10%, 5/17/31(8)(9) |
760 | 758,495 | ||||||
| Centurion CDO IX Ltd., Series 2005-9A, Class D1, 5.039%, 7/17/19(8)(9) |
500 | 487,453 | ||||||
| DNKN, Series 2015-1A, Class A2II, 3.98%, 2/20/45(8) |
1,247 | 1,250,626 | ||||||
| FKL, Series 2015-SFR1, Class A, 2.553%, 3/9/47(8) |
514 | 511,650 | ||||||
| Invitation Homes Trust, Series 2013-SFR1, Class D, 2.40%, 12/17/30(8)(9) |
550 | 544,045 | ||||||
| Invitation Homes Trust, Series 2014-SFR1, Class D, 2.786%, 6/17/31(8)(9) |
500 | 499,561 | ||||||
| OMFIT, Series 2014-1A, Class A, 2.43%, 6/18/24(8) |
700 | 702,534 | ||||||
| OMFIT, Series 2014-1A, Class B, 3.24%, 6/18/24(8) |
800 | 806,195 | ||||||
| OMFIT, Series 2015-1A, Class B, 3.85%, 3/18/26(8) |
800 | 819,856 | ||||||
| SBY, Series 2014-1, Class C, 2.236%, 9/17/31(8)(9) |
2,000 | 2,004,357 | ||||||
| SCFT, Series 2014-AA, Class B, 4.61%, 10/25/27(8) |
1,980 | 2,008,988 | ||||||
| SRFC, Series 2014-1A, Class B, 2.42%, 3/20/30(8) |
286 | 286,302 | ||||||
| SRFC, Series 2015-1A, Class B, 3.05%, 3/22/32(8) |
414 | 413,815 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
$ | 14,116,917 | ||||||
|
|
|
|||||||
21
| U.S. Government Agency Obligations — 0.5% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Farm Credit Bank: |
||||||||
| 3.25%, 7/1/30 |
$ | 1,500 | $ | 1,500,558 | ||||
|
|
|
|||||||
| Total U.S. Government Agency Obligations |
$ | 1,500,558 | ||||||
|
|
|
|||||||
| Corporate Bonds & Notes — 0.8% |
||||||||
| Security | Principal (000’s omitted) |
Value | ||||||
| Financial Intermediaries — 0.1% |
||||||||
| First Data Corp. |
||||||||
| 6.75%, 11/1/20(8) |
$ | 163 | $ | 172,780 | ||||
|
|
|
|||||||
| $ | 172,780 | |||||||
|
|
|
|||||||
| Food Products — 0.3% |
||||||||
| Iceland Bondco PLC |
||||||||
| 4.834%, 7/15/20(8)(9) |
GBP | 750 | $ | 995,552 | ||||
|
|
|
|||||||
| $ | 995,552 | |||||||
|
|
|
|||||||
| Health Care — 0.1% |
||||||||
| CHS/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(4) |
$ | 350 | $ | 292,250 | ||||
|
|
|
|||||||
| $ | 292,250 | |||||||
|
|
|
|||||||
| Utilities — 0.2% |
||||||||
| Calpine Corp. |
||||||||
| 7.875%, 1/15/23(8) |
$ | 471 | $ | 507,797 | ||||
|
|
|
|||||||
| $ | 507,797 | |||||||
|
|
|
|||||||
| Total Corporate Bonds & Notes |
$ | 2,405,067 | ||||||
|
|
|
|||||||
| 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(12) |
UYU | 18,245 | $ | 630,633 | ||||
|
|
|
|||||||
| $ | 630,633 | |||||||
|
|
|
|||||||
| Total Foreign Corporate Bonds |
$ | 630,633 | ||||||
|
|
|
|||||||
22
| Foreign Government Bonds — 11.1% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Bangladesh — 2.1% |
||||||||
| Bangladesh Treasury Bond, 8.80%, 6/4/16 |
BDT | 46,100 | $ | 603,590 | ||||
| Bangladesh Treasury Bond, 10.10%, 6/11/19 |
BDT | 23,600 | 321,475 | |||||
| Bangladesh Treasury Bond, 11.30%, 3/7/17 |
BDT | 50,000 | 680,230 | |||||
| Bangladesh Treasury Bond, 11.40%, 5/9/17 |
BDT | 60,000 | 819,286 | |||||
| Bangladesh Treasury Bond, 11.50%, 8/8/17 |
BDT | 107,500 | 1,477,271 | |||||
| Bangladesh Treasury Bond, 11.50%, 11/7/17 |
BDT | 15,700 | 216,790 | |||||
| Bangladesh Treasury Bond, 11.52%, 12/5/17 |
BDT | 20,000 | 276,842 | |||||
| Bangladesh Treasury Bond, 11.55%, 9/5/17 |
BDT | 30,000 | 412,981 | |||||
| Bangladesh Treasury Bond, 11.55%, 10/3/17 |
BDT | 29,900 | 412,478 | |||||
| Bangladesh Treasury Bond, 11.70%, 4/3/18 |
BDT | 27,400 | 383,423 | |||||
| Bangladesh Treasury Bond, 11.72%, 2/6/18 |
BDT | 8,400 | 117,275 | |||||
| Bangladesh Treasury Bond, 11.72%, 7/2/18 |
BDT | 19,400 | 272,948 | |||||
|
|
|
|||||||
| Total Bangladesh |
$ | 5,994,589 | ||||||
|
|
|
|||||||
| Costa Rica — 0.2% |
||||||||
| Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16 |
CRC | 255,000 | $ | 501,251 | ||||
|
|
|
|||||||
| Total Costa Rica |
$ | 501,251 | ||||||
|
|
|
|||||||
| Dominican Republic — 2.0% |
||||||||
| Dominican Republic Central Bank Note, 12.00%, 4/5/19(8) |
DOP | 11,940 | $ | 280,017 | ||||
| Dominican Republic International Bond, 11.50%, 5/10/24(8) |
DOP | 15,000 | 355,042 | |||||
| Dominican Republic International Bond, 14.00%, 4/30/21(8) |
DOP | 6,700 | 171,021 | |||||
| Dominican Republic International Bond, 14.50%, 2/10/23(8) |
DOP | 1,800 | 47,804 | |||||
| Dominican Republic International Bond, 14.50%, 2/10/23(13) |
DOP | 21,000 | 557,717 | |||||
| Dominican Republic International Bond, 15.95%, 6/4/21(8) |
DOP | 9,000 | 251,142 | |||||
| Dominican Republic International Bond, 16.00%, 2/10/17(13) |
DOP | 108,800 | 2,644,203 | |||||
| Dominican Republic International Bond, 18.50%, 2/4/28(8) |
DOP | 800 | 25,538 | |||||
| Dominican Republic International Bond, 18.50%, 2/4/28(13) |
DOP | 42,400 | 1,353,508 | |||||
|
|
|
|||||||
| Total Dominican Republic |
$ | 5,685,992 | ||||||
|
|
|
|||||||
| Iceland — 1.9% |
||||||||
| Republic of Iceland, 6.25%, 2/5/20 |
ISK | 231,085 | $ | 1,251,921 | ||||
| Republic of Iceland, 7.25%, 10/26/22 |
ISK | 427,092 | 2,430,782 | |||||
| Republic of Iceland, 8.75%, 2/26/19 |
ISK | 329,709 | 1,923,370 | |||||
|
|
|
|||||||
| Total Iceland |
$ | 5,606,073 | ||||||
|
|
|
|||||||
| Philippines — 1.4% |
||||||||
| Republic of the Philippines, 4.95%, 1/15/21 |
PHP | 63,000 | $ | 1,447,643 | ||||
| Republic of the Philippines, 6.25%, 1/14/36 |
PHP | 85,000 | 2,120,307 | |||||
| Republic of the Philippines, 9.125%, 9/4/16 |
PHP | 14,990 | 352,489 | |||||
|
|
|
|||||||
| Total Philippines |
$ | 3,920,439 | ||||||
|
|
|
|||||||
| Serbia — 0.9% |
||||||||
| Serbia Treasury Bond, 10.00%, 2/21/16 |
RSD | 82,900 | $ | 777,180 | ||||
| Serbia Treasury Bond, 10.00%, 10/17/16 |
RSD | 21,800 | 208,032 | |||||
| Serbia Treasury Bond, 10.00%, 4/1/17 |
RSD | 46,800 | 448,522 | |||||
| Serbia Treasury Bond, 10.00%, 5/8/17 |
RSD | 18,760 | 179,857 | |||||
| Serbia Treasury Bond, 10.00%, 1/24/18 |
RSD | 22,180 | 214,709 | |||||
| Serbia Treasury Bond, 10.00%, 2/5/22 |
RSD | 20,360 | 192,174 | |||||
| Serbia Treasury Bond, 11.50%, 10/26/15 |
RSD | 61,800 | 573,661 | |||||
|
|
|
|||||||
| Total Serbia |
$ | 2,594,135 | ||||||
|
|
|
|||||||
23
| Security | Principal Amount (000’s omitted) |
Value | ||||||||||||
| Sri Lanka — 0.3% |
||||||||||||||
| Sri Lanka Government Bond, 8.50%, 11/1/15 |
LKR | 124,130 | $ | 932,764 | ||||||||||
|
|
|
|||||||||||||
| Total Sri Lanka |
$ | 932,764 | ||||||||||||
|
|
|
|||||||||||||
| Uruguay — 1.3% |
||||||||||||||
| Monetary Regulation Bill, 0.00%, 8/20/15 |
UYU | 23,410 | $ | 818,753 | ||||||||||
| Monetary Regulation Bill, 0.00%, 1/14/16 |
UYU | 1,000 | 33,164 | |||||||||||
| Uruguay Notas Del Tesoro, 2.75%, 6/16/16(12) |
UYU | 58,188 | 2,009,207 | |||||||||||
| Uruguay Notas Del Tesoro, 9.50%, 1/27/16 |
UYU | 8,160 | 286,999 | |||||||||||
| Uruguay Notas Del Tesoro, 11.00%, 3/21/17 |
UYU | 18,380 | 626,052 | |||||||||||
|
|
|
|||||||||||||
| Total Uruguay |
$ | 3,774,175 | ||||||||||||
|
|
|
|||||||||||||
| Vietnam — 1.0% |
||||||||||||||
| Vietnam Government Bond, 5.60%, 4/15/16 |
VND | 40,000,000 | $ | 1,842,717 | ||||||||||
| Vietnam Government Bond, 7.60%, 10/31/16 |
VND | 14,000,000 | 661,182 | |||||||||||
| Vietnam Government Bond, 8.60%, 2/15/16 |
VND | 5,159,800 | 241,196 | |||||||||||
|
|
|
|||||||||||||
| Total Vietnam |
$ | 2,745,095 | ||||||||||||
|
|
|
|||||||||||||
| Total Foreign Government Bonds |
$ | 31,754,513 | ||||||||||||
|
|
|
|||||||||||||
| U.S. Treasury Obligations — 3.5% |
| |||||||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||||||||
| U.S. Treasury Note, 1.75%, 5/15/22(14) |
$ | 10,000 | $ | 9,898,440 | ||||||||||
|
|
|
|||||||||||||
| Total U.S. Treasury Obligations |
|
$ | 9,898,440 | |||||||||||
|
|
|
|||||||||||||
| Common Stocks — 0.5% |
| |||||||||||||
| Security | Shares | Value | ||||||||||||
| Affinity Gaming, LLC(3)(15)(16) |
23,498 | $ | 311,350 | |||||||||||
| Buffets Restaurants Holdings, Inc.(3)(15)(16) |
11,744 | 0 | ||||||||||||
| Dayco Products, LLC(3)(16) |
8,898 | 364,818 | ||||||||||||
| Education Management Corp.(3)(15)(16) |
955,755 | 25,805 | ||||||||||||
| ION Media Networks, Inc.(3)(16) |
1,357 | 488,506 | ||||||||||||
| MediaNews Group, Inc.(3)(15)(16) |
3,023 | 94,469 | ||||||||||||
|
|
|
|||||||||||||
| Total Common Stocks |
|
$ | 1,284,948 | |||||||||||
|
|
|
|||||||||||||
| Convertible Preferred Stocks — 0.0%(17) |
| |||||||||||||
| Security | Shares | Value | ||||||||||||
| Education Management Corp., Series A-1, 7.50%(15)(16) |
1,063 | $ | 29,233 | |||||||||||
|
|
|
|||||||||||||
| Total Convertible Preferred Stocks |
|
$ | 29,233 | |||||||||||
|
|
|
|||||||||||||
24
| Currency Call Options Purchased — 0.0%(17) |
| |||||||||||||||||
| Description | Counterparty | Principal Amount of Contracts (000’s omitted) |
Strike Price |
Expiration Date |
Value | |||||||||||||
| Indian Rupee | Citibank, N.A. | INR | 100,664 | INR | 67.79 | 7/4/16 | $ | 49,127 | ||||||||||
|
|
|
|||||||||||||||||
| Total Currency Call Options Purchased |
|
$ | 49,127 | |||||||||||||||
|
|
|
|||||||||||||||||
| Short-Term Investments — 7.8% | ||||||
| Foreign Government Securities — 4.6% |
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Iceland — 0.2% |
||||||||
| Iceland Treasury Bill, 0.00%, 9/15/15 |
ISK | 58,940 | $ | 320,540 | ||||
| Iceland Treasury Bill, 0.00%, 10/15/15 |
ISK | 19,720 | 106,330 | |||||
|
|
|
|||||||
| Total Iceland |
$ | 426,870 | ||||||
|
|
|
|||||||
| Lebanon — 2.3% |
||||||||
| Lebanon Treasury Bill, 0.00%, 10/1/15 |
LBP | 977,300 | $ | 644,077 | ||||
| Lebanon Treasury Bill, 0.00%, 11/26/15 |
LBP | 179,400 | 117,404 | |||||
| Lebanon Treasury Bill, 0.00%, 12/10/15 |
LBP | 8,902,040 | 5,814,499 | |||||
|
|
|
|||||||
| Total Lebanon |
$ | 6,575,980 | ||||||
|
|
|
|||||||
| Sri Lanka — 2.1% |
||||||||
| Sri Lanka Treasury Bill, 0.00%, 11/13/15 |
LKR | 47,690 | $ | 350,160 | ||||
| Sri Lanka Treasury Bill, 0.00%, 12/18/15 |
LKR | 88,150 | 643,429 | |||||
| Sri Lanka Treasury Bill, 0.00%, 1/1/16 |
LKR | 9,860 | 71,796 | |||||
| Sri Lanka Treasury Bill, 0.00%, 2/19/16 |
LKR | 50,440 | 364,150 | |||||
| Sri Lanka Treasury Bill, 0.00%, 2/26/16 |
LKR | 53,530 | 386,032 | |||||
| Sri Lanka Treasury Bill, 0.00%, 3/4/16 |
LKR | 93,730 | 675,160 | |||||
| Sri Lanka Treasury Bill, 0.00%, 3/11/16 |
LKR | 56,580 | 407,083 | |||||
| Sri Lanka Treasury Bill, 0.00%, 3/25/16 |
LKR | 135,720 | 974,198 | |||||
| Sri Lanka Treasury Bill, 0.00%, 4/15/16 |
LKR | 313,360 | 2,241,283 | |||||
|
|
|
|||||||
| Total Sri Lanka |
$ | 6,113,291 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities |
$ | 13,116,141 | ||||||
|
|
|
|||||||
| U.S. Treasury Obligations — 1.0% |
||||||||
| Security | ||||||||