Eaton Vance Short Duration Diversified Income Fund

 

 

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

January 31, 2018

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments

 


Eaton Vance

Short Duration Diversified Income Fund

January 31, 2018

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 34.6%(1)

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

Aerospace and Defense — 0.5%

 

TransDigm, Inc.

 

Term Loan, 4.36%, (USD LIBOR + 2.75%), Maturing June 9, 2023(2)

     975      $ 984,064  

Term Loan, 4.67%, (USD LIBOR + 3.00%), Maturing August 22, 2024(2)

     494        498,977  
     

 

 

 
      $ 1,483,041  
     

 

 

 

Automotive — 1.0%

 

Allison Transmission, Inc.

 

Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing September 23, 2022

     233      $ 235,427  

Belron Finance US, LLC

 

Term Loan, 3.89%, (3 mo. USD LIBOR + 2.50%), Maturing November 7, 2024

     75        75,984  

CS Intermediate Holdco 2, LLC

 

Term Loan, 3.94%, (3 mo. USD LIBOR + 2.25%), Maturing November 2, 2023

     283        285,108  

Dayco Products, LLC

 

Term Loan, 6.48%, (3 mo. USD LIBOR + 5.00%), Maturing May 19, 2023

     174        176,955  

FCA US, LLC

 

Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing December 31, 2018

     216        216,709  

Federal-Mogul Holdings Corporation

 

Term Loan, 5.31%, (1 mo. USD LIBOR + 3.75%), Maturing April 15, 2021

     517        521,502  

Goodyear Tire & Rubber Company (The)

 

Term Loan - Second Lien, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2019

     383        385,365  

Horizon Global Corporation

 

Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing June 30, 2021

     74        75,018  

Sage Automotive Interiors, Inc.

 

Term Loan, 6.57%, (1 mo. USD LIBOR + 5.00%), Maturing October 27, 2022

     124        125,220  

Tower Automotive Holdings USA, LLC

 

Term Loan, 4.31%, (1 mo. USD LIBOR + 2.75%), Maturing March 7, 2024

     517        520,603  

Visteon Corporation

 

Term Loan, 3.41%, (3 mo. USD LIBOR + 2.00%), Maturing March 24, 2024

     102        102,897  
     

 

 

 
      $ 2,720,788  
     

 

 

 

Beverage and Tobacco — 0.1%

 

Flavors Holdings, Inc.

 

Term Loan, 7.44%, (3 mo. USD LIBOR + 5.75%), Maturing April 3, 2020

     340      $ 311,437  

Refresco Group B.V.

 

Term Loan, Maturing September 26, 2024(3)

     50        50,281  
     

 

 

 
      $ 361,718  
     

 

 

 

Brokerage/Securities Dealers/Investment Houses — 0.2%

 

Aretec Group, Inc.

 

Term Loan, 5.82%, (1 mo. USD LIBOR + 4.25%), Maturing November 23, 2020

     103      $ 103,529  

Term Loan - Second Lien, 7.07%, (1 mo. USD LIBOR + 5.50% (2.00% Cash, 5.07% PIK)), Maturing May 23, 2021

     213        213,360  

Salient Partners L.P.

 

Term Loan, 10.06%, (3 mo. USD LIBOR + 8.50%), Maturing May 19, 2021

     131        127,131  
     

 

 

 
      $ 444,020  
     

 

 

 

 

1

 

 


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

Building and Development — 0.8%

 

Core & Main L.P.

 

Term Loan, 4.46%, (6 mo. USD LIBOR + 3.00%), Maturing August 1, 2024

     125      $ 125,661  

CPG International, Inc.

 

Term Loan, 5.59%, (6 mo. USD LIBOR + 3.75%), Maturing May 3, 2024

     391        395,490  

DTZ U.S. Borrower, LLC

 

Term Loan, 4.82%, (3 mo. USD LIBOR + 3.25%), Maturing November 4, 2021

     512        513,499  

Ply Gem Industries, Inc.

 

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing February 1, 2021

     249        251,445  

Quikrete Holdings, Inc.

 

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing November 15, 2023

     433        435,667  

RE/MAX International, Inc.

 

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing December 15, 2023

     398        396,402  

Summit Materials Companies I, LLC

 

Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing November 11, 2024

     125        126,133  
     

 

 

 
      $ 2,244,297  
     

 

 

 

Business Equipment and Services — 3.9%

 

Acosta Holdco, Inc.

 

Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing September 26, 2021

     531      $ 463,277  

Altisource Solutions S.a.r.l.

 

Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing December 9, 2020

     122        121,982  

Change Healthcare Holdings, Inc.

 

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing March 1, 2024

     1,166        1,174,114  

Corporate Capital Trust, Inc.

 

Term Loan, 5.00%, (3 mo. USD LIBOR + 3.25%), Maturing May 20, 2019

     1,045        1,051,047  

CPM Holdings, Inc.

 

Term Loan, 5.82%, (1 mo. USD LIBOR + 4.25%), Maturing April 11, 2022

     246        249,732  

Cypress Intermediate Holdings III, Inc.

 

Term Loan, 4.58%, (1 mo. USD LIBOR + 3.00%), Maturing April 27, 2024

     224        225,274  

EAB Global, Inc.

 

Term Loan, 5.48%, (3 mo. USD LIBOR + 3.75%), Maturing November 15, 2024

     200        201,500  

Education Management, LLC

 

Term Loan, 5.85%, (3 mo. USD LIBOR + 4.50%), Maturing July 2, 2020(4)

     67        31,992  

Term Loan, 13.00%, (3 mo. USD Prime + 8.50%), Maturing July 2, 2020(4)(6)

     152        0  

EIG Investors Corp.

 

Term Loan, 5.46%, (3 mo. USD LIBOR + 4.00%), Maturing February 9, 2023

     544        549,213  

Extreme Reach, Inc.

 

Term Loan, 7.95%, (3 mo. USD LIBOR + 6.25%), Maturing February 7, 2020

     104        104,325  

First Data Corporation

 

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing July 8, 2022

     481        484,508  

Garda World Security Corporation

 

Term Loan, 4.97%, (3 mo. USD LIBOR + 3.50%), Maturing May 24, 2024

     319        321,853  

GreenSky Holdings, LLC

 

Term Loan, 5.63%, (1 mo. USD LIBOR + 4.00%), Maturing August 26, 2024

     249        250,934  

IG Investment Holdings, LLC

 

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing October 29, 2021

     434        440,249  

Information Resources, Inc.

 

Term Loan, 5.81%, (1 mo. USD LIBOR + 4.25%), Maturing January 18, 2024

     174        175,153  

ION Trading Technologies S.a.r.l.

     

Term Loan, 4.40%, (2 mo. USD LIBOR + 2.75%), Maturing November 30, 2024

     350        350,437  

J.D. Power and Associates

     

Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing September 7, 2023

     173        174,701  

 

2

 

 


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

KAR Auction Services, Inc.

     

Term Loan, 4.00%, (3 mo. USD LIBOR + 2.25%), Maturing March 11, 2021

     349      $ 352,242  

Kronos Incorporated

     

Term Loan, 4.90%, (3 mo. USD LIBOR + 3.50%), Maturing November 1, 2023

     1,040        1,049,965  

LegalZoom.com, Inc.

     

Term Loan, 5.94%, (3 mo. USD LIBOR + 4.50%), Maturing November 21, 2024

     125        125,781  

Monitronics International, Inc.

     

Term Loan, 7.19%, (3 mo. USD LIBOR + 5.50%), Maturing September 30, 2022

     392        393,237  

PGX Holdings, Inc.

     

Term Loan, 6.83%, (1 mo. USD LIBOR + 5.25%), Maturing September 29, 2020

     335        327,905  

Prime Security Services Borrower, LLC

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing May 2, 2022

     297        300,230  

Red Ventures, LLC

     

Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing November 8, 2024

     200        202,077  

Spin Holdco, Inc.

     

Term Loan, 5.49%, (3 mo. USD LIBOR + 3.75%), Maturing November 14, 2022

     614        620,146  

Techem GmbH

     

Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing October 2, 2024

   EUR  200        249,726  

Tempo Acquisition, LLC

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024

     149        150,183  

Vantiv, LLC

     

Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing October 14, 2023

     81        81,765  

Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing August 9, 2024

     200        201,556  

West Corporation

     

Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing October 10, 2024

     175        177,187  
     

 

 

 
      $ 10,602,291  
     

 

 

 

Cable and Satellite Television — 1.6%

     

Charter Communications Operating, LLC

     

Term Loan, 3.58%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2025

     550      $ 554,039  

CSC Holdings, LLC

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025

     456        457,853  

Term Loan, 4.14%, (3 mo. USD LIBOR + 2.50%), Maturing January 25, 2026

     200        201,542  

MCC Iowa, LLC

     

Term Loan, 3.47%, (1 week USD LIBOR + 2.00%), Maturing January 15, 2025

     167        168,314  

Numericable Group S.A.

     

Term Loan, 4.52%, (3 mo. USD LIBOR + 2.75%), Maturing July 31, 2025

     323        311,541  

Radiate Holdco, LLC

     

Term Loan, Maturing February 1, 2024(3)

     175        175,561  

Telenet Financing USD, LLC

     

Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing March 1, 2026

     50        50,391  

Unitymedia Finance, LLC

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026

     150        150,703  

UPC Financing Partnership

     

Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026

     450        452,906  

Virgin Media Bristol, LLC

     

Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026

     1,275        1,283,652  

Ziggo Secured Finance Partnership

     

Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2025

     625        625,502  
     

 

 

 
      $ 4,432,004  
     

 

 

 

 

3

 

 


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

Chemicals and Plastics — 1.5%

     

Ashland, Inc.

     

Term Loan, 3.57%, (USD LIBOR + 2.00%), Maturing May 17, 2024(2)

     100      $ 100,557  

Axalta Coating Systems US Holdings, Inc.

     

Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing June 1, 2024

     368        370,505  

Emerald Performance Materials, LLC

     

Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2021

     336        339,334  

Term Loan - Second Lien, 9.32%, (1 mo. USD LIBOR + 7.75%), Maturing August 1, 2022

     100        100,292  

Gemini HDPE, LLC

     

Term Loan, 4.28%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024

     362        364,753  

H.B. Fuller Company

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing October 20, 2024

     324        327,137  

Ineos US Finance, LLC

     

Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing March 31, 2024

     525        528,363  

Kraton Polymers, LLC

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing January 6, 2022

     95        96,067  

MacDermid, Inc.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing June 7, 2023

     258        259,860  

PolyOne Corporation

     

Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing November 11, 2022

     98        98,919  

PQ Corporation

     

Term Loan, 5.02%, (3 mo. USD LIBOR + 3.25%), Maturing November 4, 2022

     222        223,133  

Term Loan, Maturing February 8, 2025(3)

     125        126,138  

Solenis International L.P.

     

Term Loan, 4.50%, (3 mo. EURIBOR + 3.50%, Floor 1.00%), Maturing July 31, 2021

   EUR 169        211,392  

Spectrum Plastics Group, Inc.

     

Term Loan, Maturing January 17, 2025(3)

     11        11,363  

Term Loan, Maturing January 17, 2025(3)

     114        114,887  

Tata Chemicals North America, Inc.

     

Term Loan, 4.50%, (3 mo. USD LIBOR + 2.75%), Maturing August 7, 2020

     161        161,580  

Tronox Blocked Borrower, LLC

     

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing September 22, 2024

     159        160,487  

Tronox Finance, LLC

     

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing September 22, 2024

     366        370,354  

Unifrax Corporation

     

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing April 4, 2024

     200        201,495  
     

 

 

 
      $ 4,166,616  
     

 

 

 

Conglomerates — 0.1%

     

Spectrum Brands, Inc.

     

Term Loan, 3.56%, (USD LIBOR + 2.00%), Maturing June 23, 2022(2)

     324      $ 325,497  
     

 

 

 
      $ 325,497  
     

 

 

 

Containers and Glass Products — 0.5%

     

BWAY Holding Company

     

Term Loan, 4.96%, (USD LIBOR + 3.25%), Maturing April 3, 2024(2)

     239      $ 241,593  

Consolidated Container Company, LLC

     

Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing May 22, 2024

     249        251,349  

Horizon Holdings III SAS

     

Term Loan, 2.75%, (6 mo. EURIBOR + 2.75%), Maturing October 29, 2022

   EUR  278        345,350  

 

4

 

 


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

Pelican Products, Inc.

     

Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing April 11, 2020

     417      $ 420,281  
     

 

 

 
      $ 1,258,573  
     

 

 

 

Cosmetics/Toiletries — 0.2%

     

Galleria Co.

     

Term Loan, 4.63%, (1 mo. USD LIBOR + 3.00%), Maturing September 29, 2023

     324      $ 327,430  

KIK Custom Products, Inc.

     

Term Loan, 6.17%, (3 mo. USD LIBOR + 4.50%), Maturing August 26, 2022

     246        248,551  
     

 

 

 
      $ 575,981  
     

 

 

 

Drugs — 1.4%

     

Alkermes, Inc.

     

Term Loan, 4.28%, (3 mo. USD LIBOR + 2.75%), Maturing September 25, 2021

     71      $ 71,864  

Amneal Pharmaceuticals, LLC

     

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing November 1, 2019

     629        631,766  

Arbor Pharmaceuticals, Inc.

     

Term Loan, 6.69%, (3 mo. USD LIBOR + 5.00%), Maturing July 5, 2023

     266        271,235  

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

     

Term Loan, 5.88%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024

     771        774,338  

Horizon Pharma, Inc.

     

Term Loan, 4.81%, (1 mo. USD LIBOR + 3.25%), Maturing March 29, 2024

     564        567,631  

Mallinckrodt International Finance S.A.

     

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024

     643        642,318  

PharMerica Corporation

     

Term Loan, 5.06%, (1 mo. USD LIBOR + 3.50%), Maturing December 6, 2024

     125        126,380  

Valeant Pharmaceuticals International, Inc.

     

Term Loan, 5.06%, (1 mo. USD LIBOR + 3.50%), Maturing April 1, 2022

     673        683,773  
     

 

 

 
      $ 3,769,305  
     

 

 

 

Ecological Services and Equipment — 0.3%

     

Charah, LLC

     

Term Loan, 7.71%, (3 mo. USD LIBOR + 6.25%), Maturing October 25, 2024

     100      $ 101,375  

EnergySolutions, LLC

     

Term Loan, 6.45%, (3 mo. USD LIBOR + 4.75%), Maturing May 29, 2020

     459        468,980  

GFL Environmental, Inc.

     

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing September 29, 2023

     148        149,236  
     

 

 

 
      $ 719,591  
     

 

 

 

Electronics/Electrical — 3.6%

     

Almonde, Inc.

     

Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing June 13, 2024

     424      $ 426,918  

Answers Finance, LLC

     

Term Loan - Second Lien, 9.00%, (3 mo. USD Prime + 7.90%, Cap 1.10%), Maturing September 15, 2021

     30        29,453  

Applied Systems, Inc.

     

Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing September 19, 2024

     349        353,107  

Avast Software B.V.

     

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing September 30, 2023

     333        335,535  

Campaign Monitor Finance Pty. Limited

     

Term Loan, 6.94%, (3 mo. USD LIBOR + 5.25%), Maturing March 18, 2021

     118        117,319  

CommScope, Inc.

     

Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing December 29, 2022

     124        125,122  

Cypress Semiconductor Corporation

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing July 5, 2021

     185        187,505  

 

5

 

 


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

DigiCert, Inc.

     

Term Loan, 6.52%, (3 mo. USD LIBOR + 4.75%), Maturing October 31, 2024

     150      $ 152,719  

Electrical Components International, Inc.

     

Term Loan, 6.44%, (3 mo. USD LIBOR + 4.75%), Maturing May 28, 2021

     604        611,675  

Electro Rent Corporation

     

Term Loan, 6.62%, (2 mo. USD LIBOR + 5.00%), Maturing January 31, 2024

     223        224,838  

Exact Merger Sub, LLC

     

Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024

     100        100,997  

EXC Holdings III Corp.

     

Term Loan, 5.16%, (6 mo. USD LIBOR + 3.50%), Maturing December 2, 2024

     75        75,938  

Flexera Software, LLC

     

Term Loan, Maturing January 23, 2025(3)

     25        25,255  

Go Daddy Operating Company, LLC

     

Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing February 15, 2024

     820        826,994  

GTCR Valor Companies, Inc.

     

Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing June 16, 2023

     125        126,035  

Hyland Software, Inc.

     

Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing July 1, 2022

     99        100,571  

Infoblox, Inc.

     

Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023

     146        147,486  

Informatica Corporation

     

Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing August 5, 2022

     355        357,600  

Lattice Semiconductor Corporation

     

Term Loan, 5.81%, (1 mo. USD LIBOR + 4.25%), Maturing March 10, 2021

     88        88,860  

MA FinanceCo., LLC

     

Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing November 19, 2021

     875        875,322  

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing June 21, 2024

     26        25,900  

MTS Systems Corporation

     

Term Loan, 4.81%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023

     237        238,956  

Renaissance Learning, Inc.

     

Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing April 9, 2021

     121        122,150  

Rocket Software, Inc.

     

Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing October 14, 2023

     198        200,166  

Seattle Spinco, Inc.

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing June 21, 2024

     174        174,912  

SkillSoft Corporation

     

Term Loan, 6.32%, (USD LIBOR + 4.75%), Maturing April 28, 2021(2)

     680        666,518  

Southwire Company

     

Term Loan, 4.05%, (1 mo. USD LIBOR + 2.50%), Maturing February 10, 2021

     392        394,360  

SS&C Technologies, Inc.

     

Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing July 8, 2022

     4        4,120  

Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing July 8, 2022

     264        265,448  

SurveyMonkey, Inc.

     

Term Loan, 6.20%, (3 mo. USD LIBOR + 4.50%), Maturing April 13, 2024

     299        300,739  

Syncsort Incorporated

     

Term Loan, 6.69%, (3 mo. USD LIBOR + 5.00%), Maturing August 9, 2024

     224        224,508  

Tibco Software, Inc.

     

Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing December 4, 2020

     149        149,936  

Uber Technologies

     

Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing July 13, 2023

     321        323,866  

VeriFone, Inc.

     

Term Loan, 6.25%, (3 mo. USD Prime + 1.75%), Maturing July 8, 2021

     483        484,913  

 

6

 

 


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

Veritas Bermuda Ltd.

     

Term Loan, 6.19%, (3 mo. USD LIBOR + 4.50%), Maturing January 27, 2023

     418      $ 420,961  

Wall Street Systems Delaware, Inc.

     

Term Loan, 4.65%, (2 mo. USD LIBOR + 3.00%), Maturing November 21, 2024

     125        125,495  

Western Digital Corporation

     

Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing April 29, 2023

     414        417,220  
     

 

 

 
      $ 9,829,417  
     

 

 

 

Equipment Leasing — 0.6%

     

Avolon TLB Borrower 1 (Luxembourg) S.a.r.l.

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing April 3, 2022

     746      $ 746,050  

Delos Finance S.a.r.l.

     

Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing October 6, 2023

     425        429,051  

Flying Fortress, Inc.

     

Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing October 30, 2022

     500        504,479  
     

 

 

 
      $ 1,679,580  
     

 

 

 

Financial Intermediaries — 1.5%

     

Armor Holding II, LLC

     

Term Loan, 6.20%, (3 mo. USD LIBOR + 4.50%), Maturing June 26, 2020

     408      $ 410,462  

Citco Funding, LLC

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing March 31, 2022

     658        664,958  

Clipper Acquisitions Corp.

     

Term Loan, 3.62%, (2 mo. USD LIBOR + 2.00%), Maturing December 11, 2024

     175        175,602  

Donnelley Financial Solutions, Inc.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing October 2, 2023

     49        49,057  

EIG Management Company, LLC

     

Term Loan, Maturing January 30, 2025(3)

     50        49,813  

FinCo I, LLC

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing December 27, 2022

     199        202,299  

Focus Financial Partners, LLC

     

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing July 3, 2024

     175        176,254  

Freedom Mortgage Corporation

     

Term Loan, 6.96%, (6 mo. USD LIBOR + 5.50%), Maturing February 23, 2022

     172        174,706  

Greenhill & Co., Inc.

     

Term Loan, 5.29%, (USD LIBOR + 3.75%), Maturing October 12, 2022(2)

     150        150,937  

Guggenheim Partners, LLC

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023

     210        211,854  

LPL Holdings, Inc.

     

Term Loan, 3.81%, (USD LIBOR + 2.25%), Maturing September 23, 2024(2)

     249        250,462  

NXT Capital, Inc.

     

Term Loan, 5.08%, (1 mo. USD LIBOR + 3.50%), Maturing November 22, 2022

     396        403,425  

Quality Care Properties, Inc.

     

Term Loan, 6.82%, (1 mo. USD LIBOR + 5.25%), Maturing October 31, 2022

     470        475,540  

Walker & Dunlop, Inc.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing December 11, 2020

     119        120,363  

Walter Investment Management Corp.

     

Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing December 18, 2020

     571        568,951  
     

 

 

 
      $ 4,084,683  
     

 

 

 

Food Products — 1.0%

     

Alphabet Holding Company, Inc.

     

Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024

     374      $ 370,228  

 

7

 

 


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

Blue Buffalo Company Ltd.

     

Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing May 27, 2024

     149      $ 150,556  

Del Monte Foods, Inc.

     

Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021

     120        102,000  

High Liner Foods Incorporated

     

Term Loan, 4.93%, (3 mo. USD LIBOR + 3.25%), Maturing April 24, 2021

     134        135,303  

HLF Financing S.a.r.l.

     

Term Loan, 7.07%, (1 mo. USD LIBOR + 5.50%), Maturing February 15, 2023

     212        214,025  

Jacobs Douwe Egberts International B.V.

     

Term Loan, 3.69%, (3 mo. USD LIBOR + 2.25%), Maturing July 2, 2022

     320        321,809  

JBS USA, LLC

     

Term Loan, 4.10%, (3 mo. USD LIBOR + 2.50%), Maturing October 30, 2022

     1,092        1,086,803  

Nomad Foods Europe Midco Limited

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024

     100        100,563  

Post Holdings, Inc.

     

Term Loan, 3.83%, (1 mo. USD LIBOR + 2.25%), Maturing May 24, 2024

     274        275,378  
     

 

 

 
      $ 2,756,665  
     

 

 

 

Food Service — 0.2%

     

Aramark Services, Inc.

     

Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing March 11, 2025

     150      $ 151,406  

Arby’s Restaurant Group, Inc.

     

Term Loan, Maturing February 5, 2025(3)

     125        126,582  

Pizza Hut Holdings, LLC

     

Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing June 16, 2023

     173        174,504  
     

 

 

 
      $ 452,492  
     

 

 

 

Food/Drug Retailers — 0.4%

     

Albertsons, LLC

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing August 25, 2021

     228      $ 226,674  

Term Loan, 4.46%, (3 mo. USD LIBOR + 3.00%), Maturing June 22, 2023

     492        489,365  

Diplomat Pharmacy, Inc.

     

Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing December 12, 2024

     100        101,000  

General Nutrition Centers, Inc.

     

Term Loan, 4.08%, (1 mo. USD LIBOR + 2.50%), Maturing March 4, 2019

     216        194,437  
     

 

 

 
      $ 1,011,476  
     

 

 

 

Forest Products — 0.1%

     

Expera Specialty Solutions, LLC

     

Term Loan, 5.82%, (1 mo. USD LIBOR + 4.25%), Maturing November 3, 2023

     173      $ 175,837  
     

 

 

 
      $ 175,837  
     

 

 

 

Health Care — 3.6%

     

ADMI Corp.

     

Term Loan, 5.43%, (3 mo. USD LIBOR + 3.75%), Maturing April 30, 2022

     245      $ 248,102  

Akorn, Inc.

     

Term Loan, 5.88%, (1 mo. USD LIBOR + 4.25%), Maturing April 16, 2021

     159        159,816  

Alliance Healthcare Services, Inc.

     

Term Loan, 6.17%, (USD LIBOR + 4.50%), Maturing October 24, 2023(2)

     125        125,313  

Avantor, Inc.

     

Term Loan, 5.56%, (3 mo. USD LIBOR + 4.00%), Maturing November 21, 2024

     200        202,906  

Beaver-Visitec International, Inc.

     

Term Loan, 6.69%, (3 mo. USD LIBOR + 5.00%), Maturing August 21, 2023

     148        148,866  

 

8

 

 


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

CHG Healthcare Services, Inc.

     

Term Loan, 4.77%, (USD LIBOR + 3.00%), Maturing June 7, 2023(2)

     443      $ 448,672  

Community Health Systems, Inc.

     

Term Loan, 4.23%, (3 mo. USD LIBOR + 2.75%), Maturing December 31, 2019

     362        358,116  

Concentra, Inc.

     

Term Loan, Maturing June 1, 2022(3)

     50        50,625  

Davis Vision Incorporated

     

Term Loan, 4.49%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2024

     325        329,875  

DaVita HealthCare Partners, Inc.

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing June 24, 2021

     531        538,180  

DJO Finance, LLC

     

Term Loan, 4.88%, (USD LIBOR + 3.25%), Maturing June 8, 2020(2)

     390        386,344  

Envision Healthcare Corporation

     

Term Loan, 4.58%, (1 mo. USD LIBOR + 3.00%), Maturing December 1, 2023

     1,312        1,319,155  

Genoa, a QoL Healthcare Company, LLC

     

Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing October 28, 2023

     99        99,494  

Greatbatch Ltd.

     

Term Loan, 4.81%, (1 mo. USD LIBOR + 3.25%), Maturing October 27, 2022

     146        147,194  

INC Research, LLC

     

Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2024

     73        73,065  

Indivior Finance S.a.r.l.

     

Term Loan, 6.11%, (3 mo. USD LIBOR + 4.50%), Maturing December 18, 2022

     125        126,133  

Kindred Healthcare, Inc.

     

Term Loan, 5.25%, (3 mo. USD LIBOR + 3.50%), Maturing April 9, 2021

     727        731,953  

Kinetic Concepts, Inc.

     

Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing February 2, 2024

     498        499,106  

KUEHG Corp.

     

Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing August 13, 2022

     295        297,409  

Term Loan - Second Lien, 9.94%, (1 week USD LIBOR + 8.25%), Maturing August 18, 2025

     50        50,750  

Medical Depot Holdings, Inc.

     

Term Loan, 7.19%, (3 mo. USD LIBOR + 5.50%), Maturing January 3, 2023

     146        138,115  

MMM Holdings, Inc.

     

Term Loan, 10.32%, (3 mo. USD LIBOR + 8.75%), Maturing June 30, 2019

     84        81,484  

MPH Acquisition Holdings, LLC

     

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing June 7, 2023

     396        399,259  

MSO of Puerto Rico, Inc.

     

Term Loan, 10.32%, (3 mo. USD LIBOR + 8.75%), Maturing June 30, 2019

     61        59,238  

Navicure, Inc.

     

Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing November 1, 2024

     100        100,625  

New Millennium HoldCo, Inc.

     

Term Loan, 8.07%, (1 mo. USD LIBOR + 6.50%), Maturing December 21, 2020

     87        32,892  

Opal Acquisition, Inc.

     

Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing November 27, 2020

     289        279,351  

Ortho-Clinical Diagnostics S.A.

     

Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing June 30, 2021

     531        535,339  

Parexel International Corporation

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024

     399        402,242  

Quintiles IMS Incorporated

     

Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing March 7, 2024

     573        577,292  

Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing January 17, 2025

     224        226,051  

Select Medical Corporation

     

Term Loan, 5.21%, (USD LIBOR + 3.50%), Maturing March 1, 2021(2)

     248        250,681  

 

9

 

 


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

Surgery Center Holdings, Inc.

     

Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing September 2, 2024

     150      $ 148,549  

Tecomet, Inc.

     

Term Loan, 4.89%, (3 mo. USD LIBOR + 3.50%), Maturing May 1, 2024

     124        126,046  

U.S. Anesthesia Partners, Inc.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing June 23, 2024

     174        174,468  
     

 

 

 
      $ 9,872,706  
     

 

 

 

Home Furnishings — 0.3%

     

Serta Simmons Bedding, LLC

     

Term Loan, 5.13%, (3 mo. USD LIBOR + 3.50%), Maturing November 8, 2023

     792      $ 775,240  
     

 

 

 
      $ 775,240  
     

 

 

 

Industrial Equipment — 1.0%

     

Apex Tool Group, LLC

     

Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2020

     520      $ 521,844  

Clark Equipment Company

     

Term Loan, 4.19%, (3 mo. USD LIBOR + 2.50%), Maturing May 18, 2024

     321        324,687  

Dragon Merger Sub, LLC

     

Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing July 24, 2024

     125        126,168  

EWT Holdings III Corp.

     

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing December 20, 2024

     690        698,383  

Gardner Denver, Inc.

     

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing July 30, 2024

     200        200,775  

Gates Global, LLC

     

Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing April 1, 2024

     371        374,605  

Paladin Brands Holding, Inc.

     

Term Loan, 7.19%, (1 mo. USD LIBOR + 5.50%), Maturing August 15, 2022

     148        150,717  

Tank Holding Corp.

     

Term Loan, 5.93%, (USD LIBOR + 4.25%), Maturing March 16, 2022(2)

     131        132,201  

Wittur GmbH

     

Term Loan, 5.00%, (3 mo. EURIBOR + 4.00%, Floor 1.00%), Maturing March 31, 2022

   EUR  175        219,521  
     

 

 

 
      $ 2,748,901  
     

 

 

 

Insurance — 0.8%

     

Asurion, LLC

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing August 4, 2022

     950      $ 958,049  

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023

     432        435,540  

Cunningham Lindsey U.S., Inc.

     

Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing December 10, 2019

     163        163,039  

Hub International Limited

     

Term Loan, 4.41%, (3 mo. USD LIBOR + 3.00%), Maturing October 2, 2020

     100        100,553  

Sedgwick Claims Management Services, Inc.

     

Term Loan, Maturing February 26, 2021(3)

     175        176,006  

USI, Inc.

     

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024

     399        401,411  
     

 

 

 
      $ 2,234,598  
     

 

 

 

Leisure Goods/Activities/Movies — 1.2%

     

AMC Entertainment, Inc.

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing December 15, 2022

     391      $ 392,846  

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing December 15, 2023

     99        99,433  

Ancestry.com Operations, Inc.

     

Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing October 19, 2023

     124        124,867  

 

10

 

 


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

Bombardier Recreational Products, Inc.

     

Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing June 30, 2023

     813      $ 822,535  

CDS U.S. Intermediate Holdings, Inc.

     

Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing July 8, 2022

     193        193,106  

ClubCorp Club Operations, Inc.

     

Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing September 18, 2024

     269        271,613  

Delta 2 (LUX) S.a.r.l.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024

     110        110,627  

Emerald Expositions Holding, Inc.

     

Term Loan, 4.42%, (3 mo. USD LIBOR + 2.75%), Maturing May 22, 2024

     174        175,812  

Lindblad Expeditions, Inc.

     

Term Loan, 6.34%, (6 mo. USD LIBOR + 4.50%), Maturing May 8, 2021

     45        45,017  

Term Loan, 6.34%, (6 mo. USD LIBOR + 4.50%), Maturing May 8, 2021

     345        348,883  

SRAM, LLC

     

Term Loan, 4.82%, (3 mo. USD LIBOR + 3.25%), Maturing March 15, 2024

     269        269,917  

Steinway Musical Instruments, Inc.

     

Term Loan, 5.52%, (3 mo. USD LIBOR + 3.75%), Maturing September 19, 2019

     347        347,363  
     

 

 

 
      $ 3,202,019  
     

 

 

 

Lodging and Casinos — 1.2%

     

Amaya Holdings B.V.

     

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing August 1, 2021

     630      $ 635,816  

Term Loan - Second Lien, 8.69%, (3 mo. USD LIBOR + 7.00%), Maturing August 1, 2022

     244        246,240  

Aristocrat Leisure Limited

     

Term Loan, 3.74%, (3 mo. USD LIBOR + 2.00%), Maturing October 19, 2024

     100        100,828  

CityCenter Holdings, LLC

     

Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing April 18, 2024

     348        351,352  

Golden Nugget, Inc.

     

Term Loan, 4.88%, (USD LIBOR + 3.25%), Maturing October 4, 2023(2)

     124        125,983  

Hanjin International Corp.

     

Term Loan, 4.23%, (3 mo. USD LIBOR + 2.50%), Maturing September 20, 2020

     75        75,586  

Hilton Worldwide Finance, LLC

     

Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing October 25, 2023

     842        849,455  

MGM Growth Properties Operating Partnership L.P.

     

Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing April 25, 2023

     368        371,595  

Playa Resorts Holding B.V.

     

Term Loan, 5.00%, (USD LIBOR + 3.25%), Maturing April 5, 2024(2)

     349        351,519  

VICI Properties 1, LLC

     

Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing December 20, 2024

     250        252,257  
     

 

 

 
      $ 3,360,631  
     

 

 

 

Nonferrous Metals/Minerals — 0.4%

     

Fairmount Santrol, Inc.

     

Term Loan, 7.69%, (3 mo. USD LIBOR + 6.00%), Maturing November 1, 2022

     275      $ 279,011  

Global Brass & Copper, Inc.

     

Term Loan, 4.88%, (1 mo. USD LIBOR + 3.25%), Maturing July 18, 2023

     148        149,606  

Murray Energy Corporation

     

Term Loan, 8.94%, (3 mo. USD LIBOR + 7.25%), Maturing April 16, 2020

     354        322,577  

New Day Aluminum, LLC

     

Term Loan, 10.00%, (4.00% Cash, 6.00% PIK), Maturing October 28, 2020(4)(5)

     5        3,090  

Noranda Aluminum Acquisition Corporation

     

Term Loan, 0.00%, Maturing February 28, 2019(4)(6)

     80        8,738  

 

11

 

 


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

Oxbow Carbon, LLC

     

Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing December 14, 2022

     100      $ 101,375  

Term Loan - Second Lien, 9.07%, (1 mo. USD LIBOR + 7.50%), Maturing December 14, 2023

     125        126,875  
     

 

 

 
      $ 991,272  
     

 

 

 

Oil and Gas — 1.3%

     

Ameriforge Group, Inc.

     

Term Loan, 10.69%, (9.69% (3 mo. USD LIBOR + 8.00%) Cash, 1.00% PIK), Maturing June 8, 2022

     78      $ 83,893  

BCP Raptor, LLC

     

Term Loan, 5.73%, (3 mo. USD LIBOR + 4.25%), Maturing June 24, 2024

     124        125,593  

Bronco Midstream Funding, LLC

     

Term Loan, 5.44%, (3 mo. USD LIBOR + 4.00%), Maturing August 15, 2020

     229        233,020  

CITGO Holding, Inc.

     

Term Loan, 10.19%, (3 mo. USD LIBOR + 8.50%), Maturing May 12, 2018

     122        122,196  

Crestwood Holdings, LLC

     

Term Loan, 9.44%, (3 mo. USD LIBOR + 8.00%), Maturing June 19, 2019

     158        159,152  

Fieldwood Energy, LLC

     

Term Loan, 4.57%, (3 mo. USD LIBOR + 2.88%), Maturing September 28, 2018

     196        193,180  

Green Plains Renewable Energy, Inc.

     

Term Loan, 7.07%, (1 mo. USD LIBOR + 5.50%), Maturing August 18, 2023

     150        151,308  

Medallion Midland Acquisition, LLC

     

Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing October 30, 2024

     100        100,938  

MEG Energy Corp.

     

Term Loan, 5.20%, (3 mo. USD LIBOR + 3.50%), Maturing December 31, 2023

     1,056        1,062,218  

Paragon Offshore Finance Company

     

Term Loan, 0.00%, Maturing July 18, 2021(4)(6)

     1        0  

Term Loan, 7.73%, (3 mo. USD LIBOR + 6.00% (1.00% Cash, 6.73% PIK)), Maturing July 18, 2022

     9        8,020  

PSC Industrial Holdings Corp.

     

Term Loan, 5.81%, (1 mo. USD LIBOR + 4.25%), Maturing October 3, 2024

     125        125,625  

Seadrill Partners Finco, LLC

     

Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing February 21, 2021

     248        216,921  

Sheridan Investment Partners II L.P.

     

Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020

     27        24,012  

Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020

     73        64,385  

Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020

     526        462,845  

Sheridan Production Partners I, LLC

     

Term Loan, 5.01%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019

     17        14,577  

Term Loan, 5.01%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019

     28        23,866  

Term Loan, 5.01%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019

     210        180,109  

Ultra Resources, Inc.

     

Term Loan, 4.41%, (3 mo. USD LIBOR + 3.00%), Maturing April 12, 2024

     250        250,547  
     

 

 

 
      $ 3,602,405  
     

 

 

 

Packaging & Containers — 0.0%(7)

     

Crown Holdings, Inc.

     

Term Loan, Maturing January 3, 2025(3)

     100      $ 101,295  
     

 

 

 
      $ 101,295  
     

 

 

 

Publishing — 0.6%

     

Ascend Learning, LLC

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing July 12, 2024

     175      $ 175,599  

 

12

 

 


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

Getty Images, Inc.

     

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing October 18, 2019

     535      $ 508,255  

Harland Clarke Holdings Corp.

     

Term Loan, 6.44%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023

     198        201,017  

LSC Communications, Inc.

     

Term Loan, 7.07%, (3 mo. USD LIBOR + 5.50%), Maturing September 30, 2022

     188        188,789  

Merrill Communications, LLC

     

Term Loan, 7.02%, (3 mo. USD LIBOR + 5.25%), Maturing June 1, 2022

     109        110,741  

ProQuest, LLC

     

Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing October 24, 2021

     318        322,104  

Tweddle Group, Inc.

     

Term Loan, 7.77%, (3 mo. USD LIBOR + 6.00%), Maturing October 24, 2022

     143        140,362  
     

 

 

 
      $ 1,646,867  
     

 

 

 

Radio and Television — 0.8%

     

CBS Radio, Inc.

     

Term Loan, 4.17%, (3 mo. USD LIBOR + 2.75%), Maturing November 17, 2024

     196      $ 197,192  

Cumulus Media Holdings, Inc.

     

Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing December 23, 2020

     696        600,978  

Entravision Communications Corporation

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024

     175        175,763  

Hubbard Radio, LLC

     

Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing May 27, 2022

     87        88,284  

iHeartCommunications, Inc.

     

Term Loan, 9.19%, (3 mo. USD LIBOR + 7.50%), Maturing July 30, 2019

     450        344,625  

Raycom TV Broadcasting, LLC

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing August 23, 2024

     175        175,108  

Sinclair Television Group, Inc.

     

Term Loan, Maturing December 12, 2024(3)

     450        454,590  
     

 

 

 
      $ 2,036,540  
     

 

 

 

Retailers (Except Food and Drug) — 1.2%

     

Ascena Retail Group, Inc.

     

Term Loan, 6.13%, (1 mo. USD LIBOR + 4.50%), Maturing August 21, 2022

     273      $ 245,032  

Bass Pro Group, LLC

     

Term Loan, 6.57%, (1 mo. USD LIBOR + 5.00%), Maturing September 25, 2024

     249        250,591  

BJ’s Wholesale Club, Inc.

     

Term Loan, 4.95%, (2 mo. USD LIBOR + 3.50%), Maturing February 3, 2024

     174        174,234  

CDW, LLC

     

Term Loan, 3.70%, (3 mo. USD LIBOR + 2.00%), Maturing August 17, 2023

     357        360,217  

David’s Bridal, Inc.

     

Term Loan, 5.70%, (3 mo. USD LIBOR + 4.00%), Maturing October 11, 2019

     368        330,000  

Evergreen Acqco 1 L.P.

     

Term Loan, 5.49%, (3 mo. USD LIBOR + 3.75%), Maturing July 9, 2019

     363        349,513  

Global Appliance, Inc.

     

Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing September 29, 2024

     150        152,707  

Go Wireless, Inc.

     

Term Loan, 8.16%, (3 mo. USD LIBOR + 6.50%), Maturing December 20, 2024

     125        125,469  

J. Crew Group, Inc.

     

Term Loan, 4.63%, (USD LIBOR + 3.00%), Maturing March 5, 2021(2)(4)

     529        328,906  

LSF9 Atlantis Holdings, LLC

     

Term Loan, 7.57%, (1 mo. USD LIBOR + 6.00%), Maturing May 1, 2023

     173        174,144  

 

13

 

 


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

Men’s Wearhouse, Inc. (The)

     

Term Loan, 5.09%, (USD LIBOR + 3.50%), Maturing June 18, 2021(2)

     144      $ 145,258  

Michaels Stores, Inc.

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing January 30, 2023

     205        207,132  

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

     

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing April 30, 2021

     97        91,675  

Staples, Inc.

     

Term Loan, 5.49%, (3 mo. USD LIBOR + 4.00%), Maturing September 12, 2024

     100        99,711  

Vivid Seats Ltd.

     

Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing June 30, 2024

     174        174,397  
     

 

 

 
      $ 3,208,986  
     

 

 

 

Steel — 0.2%

     

Atkore International, Inc.

     

Term Loan, Maturing December 22, 2023(3)

     250      $ 251,875  

Neenah Foundry Company

     

Term Loan, 8.11%, (USD LIBOR + 6.50%), Maturing December 13, 2022(2)

     125        124,375  

Phoenix Services International, LLC

     

Term Loan, Maturing January 26, 2025(3)

     125        124,375  

Zekelman Industries, Inc.

     

Term Loan, 4.41%, (3 mo. USD LIBOR + 2.75%), Maturing June 14, 2021

     151        152,521  
     

 

 

 
      $ 653,146  
     

 

 

 

Surface Transport — 0.1%

     

PODS, LLC

     

Term Loan, 4.56%, (1 mo. USD LIBOR + 3.00%), Maturing December 6, 2024

     100      $ 100,872  

Stena International S.a.r.l.

     

Term Loan, 4.70%, (3 mo. USD LIBOR + 3.00%), Maturing March 3, 2021

     265        252,446  
     

 

 

 
      $ 353,318  
     

 

 

 

Telecommunications — 1.6%

     

CenturyLink, Inc.

     

Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing January 31, 2025

     825      $ 814,172  

Consolidated Communications, Inc.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing October 4, 2023

     125        123,085  

Digicel International Finance Limited

     

Term Loan, 5.02%, (3 mo. USD LIBOR + 3.25%), Maturing May 28, 2024

     125        125,648  

Epicor Software

     

Term Loan, Maturing June 1, 2022(3)

     25        25,203  

Frontier Communications Corp.

     

Term Loan, 5.33%, (1 mo. USD LIBOR + 3.75%), Maturing June 15, 2024

     249        244,552  

Global Eagle Entertainment, Inc.

     

Term Loan, 9.36%, (6 mo. USD LIBOR + 7.50%), Maturing January 6, 2023

     221        224,921  

Intelsat Jackson Holdings S.A.

     

Term Loan, 6.19%, (3 mo. USD LIBOR + 4.50%), Maturing January 14, 2024

     250        253,711  

IPC Corp.

     

Term Loan, 6.28%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021

     340        338,673  

Mitel Networks Corporation

     

Term Loan, 5.40%, (2 mo. USD LIBOR + 3.75%), Maturing September 25, 2023

     75        75,826  

Onvoy, LLC

     

Term Loan, 6.19%, (3 mo. USD LIBOR + 4.50%), Maturing February 10, 2024

     124        111,656  

Sprint Communications, Inc.

     

Term Loan, 4.13%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024

     620        622,542  

 

14

 

 


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

Syniverse Holdings, Inc.

     

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing April 23, 2019

     237      $ 235,720  

Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing April 23, 2019

     328        326,707  

Telesat Canada

     

Term Loan, 4.70%, (3 mo. USD LIBOR + 3.00%), Maturing November 17, 2023

     889        895,068  
     

 

 

 
      $ 4,417,484  
     

 

 

 

Utilities — 0.8%

     

Calpine Construction Finance Company L.P.

     

Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2025

     169      $ 170,079  

Calpine Corporation

     

Term Loan, 4.20%, (3 mo. USD LIBOR + 2.50%), Maturing January 15, 2024

     879        884,341  

Granite Acquisition, Inc.

     

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021

     21        21,385  

Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021

     465        472,032  

Invenergy Thermal Operating I, LLC

     

Term Loan, 7.19%, (3 mo. USD LIBOR + 5.50%), Maturing October 19, 2022

     207        196,535  

Lightstone Generation, LLC

     

Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing January 30, 2024

     17        17,540  

Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing January 30, 2024

     274        276,239  

Lonestar Generation, LLC

     

Term Loan, 6.01%, (3 mo. USD LIBOR + 4.25%), Maturing February 22, 2021

     97        96,133  
     

 

 

 
      $ 2,134,284  
     

 

 

 

Total Senior Floating-Rate Loans
(identified cost $94,776,214)

      $ 94,433,564  
     

 

 

 

Corporate Bonds & Notes — 21.6%

     
Security    Principal
Amount*
(000’s omitted)
     Value  

Aerospace and Defense — 0.4%

     

TransDigm, Inc.

     

6.50%, 5/15/25

     1,000      $ 1,030,000  
     

 

 

 
      $ 1,030,000  
     

 

 

 

Automotive — 0.5%

     

American Axle & Manufacturing, Inc.

     

6.25%, 4/1/25(8)

     375      $ 392,813  

Deck Chassis Acquisition, Inc.

     

10.00%, 6/15/23(8)

     1,000        1,105,000  
     

 

 

 
      $ 1,497,813  
     

 

 

 

Building and Development — 0.8%

     

Builders FirstSource, Inc.

     

5.625%, 9/1/24(8)

     1,000      $ 1,050,000  

Five Point Operating Co., L.P./Five Point Capital Corp.

     

7.875%, 11/15/25(8)

     500        511,250  

Reliance Intermediate Holdings, L.P.

     

6.50%, 4/1/23(8)

     675        710,437  

 

15

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

VICI Properties 1, LLC/VICI FC, Inc.

     

8.00%, 10/15/23(9)

     7      $ 7,427  
     

 

 

 
      $ 2,279,114  
     

 

 

 

Business Equipment and Services — 1.2%

     

EIG Investors Corp.

     

10.875%, 2/1/24

     960      $ 1,070,400  

First Data Corp.

     

7.00%, 12/1/23(8)

     1,000        1,055,630  

Prime Security Services Borrower, LLC/Prime Finance, Inc.

     

9.25%, 5/15/23(8)

     41        45,459  

ServiceMaster Co., LLC (The)

     

7.45%, 8/15/27

     1,000        1,090,000  
     

 

 

 
      $ 3,261,489  
     

 

 

 

Cable and Satellite Television — 1.5%

     

Cablevision Systems Corp.

     

8.00%, 4/15/20

     1,000      $ 1,076,250  

CCO Holdings, LLC/CCO Holdings Capital Corp.

     

5.50%, 5/1/26(8)

     1,000        1,022,500  

Cequel Communications Holdings I, LLC/Cequel Capital Corp.

     

5.125%, 12/15/21(8)

     1,000        1,006,870  

SFR Group S.A.

     

6.00%, 5/15/22(8)

     1,000        979,350  
     

 

 

 
      $ 4,084,970  
     

 

 

 

Conglomerates — 0.2%

     

TMS International Corp.

     

7.25%, 8/15/25(8)

     625      $ 657,813  
     

 

 

 
      $ 657,813  
     

 

 

 

Containers and Glass Products — 1.2%

     

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

     

7.25%, 5/15/24(8)

     1,010      $ 1,089,234  

BWAY Holding Co.

     

5.50%, 4/15/24(8)

     1,000        1,038,750  

Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC

     

7.00%, 7/15/24(8)

     985        1,049,641  
     

 

 

 
      $ 3,177,625  
     

 

 

 

Distribution & Wholesale — 0.3%

     

American Tire Distributors, Inc.

     

10.25%, 3/1/22(8)

     750      $ 780,000  
     

 

 

 
      $ 780,000  
     

 

 

 

Drugs — 0.5%

     

Catalent Pharma Solutions, Inc.

     

4.875%, 1/15/26(8)

     500      $ 501,250  

Valeant Pharmaceuticals International, Inc.

     

5.875%, 5/15/23(8)

     755        683,652  

9.00%, 12/15/25(8)

     120        123,563  
     

 

 

 
      $ 1,308,465  
     

 

 

 

 

16

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Ecological Services and Equipment — 0.4%

     

Covanta Holding Corp.

     

5.875%, 7/1/25

     1,000      $ 1,020,000  
     

 

 

 
      $ 1,020,000  
     

 

 

 

Electric Utilities — 0.3%

     

NRG Yield Operating, LLC

     

5.00%, 9/15/26

     810      $ 818,100  
     

 

 

 
      $ 818,100  
     

 

 

 

Electronics/Electrical — 0.8%

     

Infor (US), Inc.

     

6.50%, 5/15/22

     1,000      $ 1,036,250  

Western Digital Corp.

     

10.50%, 4/1/24

     1,000        1,171,750  
     

 

 

 
      $ 2,208,000  
     

 

 

 

Energy — 0.0%(7)

     

Sunoco, L.P./Sunoco Finance Corp.

     

4.875%, 1/15/23(8)

     75      $ 76,577  

5.50%, 2/15/26(8)

     40        40,938  
     

 

 

 
      $ 117,515  
     

 

 

 

Financial Intermediaries — 0.2%

     

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

     

6.25%, 2/1/22(8)

     645      $ 665,963  
     

 

 

 
      $ 665,963  
     

 

 

 

Financial Services — 0.4%

     

Solera, LLC/Solera Finance, Inc.

     

10.50%, 3/1/24(8)

     1,000      $ 1,126,250  
     

 

 

 
      $ 1,126,250  
     

 

 

 

Food Products — 0.8%

     

Dean Foods Co.

     

6.50%, 3/15/23(8)

     635      $ 630,237  

Dole Food Co., Inc.

     

7.25%, 6/15/25(8)

     250        266,875  

Iceland Bondco PLC

     

4.772%, (3 mo. GBP LIBOR + 4.25%), 7/15/20(8)(10)

   GBP 62        87,488  

Post Holdings, Inc.

     

5.625%, 1/15/28(8)

     120        119,742  

TreeHouse Foods, Inc.

     

6.00%, 2/15/24(8)

     1,000        1,041,250  
     

 

 

 
      $ 2,145,592  
     

 

 

 

Health Care — 2.5%

     

HCA Healthcare, Inc.

     

6.25%, 2/15/21

     1,000      $ 1,068,750  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.

     

7.50%, 10/1/24(8)

     600        654,000  

Kinetic Concepts, Inc./KCI USA, Inc.

     

7.875%, 2/15/21(8)

     1,500        1,558,125  

12.50%, 11/1/21(8)

     525        601,781  

 

17

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

MPH Acquisition Holdings, LLC

     

7.125%, 6/1/24(8)

     1,000      $ 1,076,250  

Polaris Intermediate Corp.

     

8.50%, 12/1/22(8)(11)

     1,000        1,043,750  

WellCare Health Plans, Inc.

     

5.25%, 4/1/25

     750        785,025  
     

 

 

 
      $ 6,787,681  
     

 

 

 

Insurance — 0.5%

     

Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer

     

8.25%, 8/1/23(8)

     1,000      $ 1,057,500  

Ardonagh Midco 3 PLC

     

8.625%, 7/15/23(8)

     200        208,000  
     

 

 

 
      $ 1,265,500  
     

 

 

 

Internet Software & Services — 0.4%

     

Riverbed Technology, Inc.

     

8.875%, 3/1/23(8)

     1,010      $ 970,863  
     

 

 

 
      $ 970,863  
     

 

 

 

Leisure Goods/Activities/Movies — 0.7%

     

AMC Entertainment Holdings, Inc.

     

6.125%, 5/15/27

     2,000      $ 1,963,500  

Viking Cruises, Ltd.

     

5.875%, 9/15/27(8)

     55        55,412  
     

 

 

 
      $ 2,018,912  
     

 

 

 

Lodging and Casinos — 1.5%

     

CRC Escrow Issuer, LLC/CRC Finco, Inc.

     

5.25%, 10/15/25(8)

     1,000      $ 995,110  

Golden Nugget, Inc.

     

8.75%, 10/1/25(8)

     1,000        1,070,000  

Hilton Domestic Operating Co., Inc.

     

4.25%, 9/1/24

     55        54,883  

Hilton Worldwide Finance, LLC / Hilton Worldwide Finance Corp.

     

4.625%, 4/1/25

     1,000        1,010,500  

Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp.

     

10.25%, 11/15/22(8)

     1,000        1,115,000  
     

 

 

 
      $ 4,245,493  
     

 

 

 

Metals/Mining — 0.4%

     

Teck Resources, Ltd.

     

8.50%, 6/1/24(8)

     1,000      $ 1,131,250  
     

 

 

 
      $ 1,131,250  
     

 

 

 

Nonferrous Metals/Minerals — 0.9%

     

Eldorado Gold Corp.

     

6.125%, 12/15/20(8)

     1,000      $ 985,000  

First Quantum Minerals, Ltd.

     

7.25%, 4/1/23(8)

     1,000        1,061,250  

New Gold, Inc.

     

6.25%, 11/15/22(8)

     500        513,750  
     

 

 

 
      $ 2,560,000  
     

 

 

 

 

18

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Oil and Gas — 2.3%

     

Ensco PLC

     

7.75%, 2/1/26

     100      $ 99,687  

Great Western Petroleum, LLC/Great Western Finance Corp.

     

9.00%, 9/30/21(8)

     1,000        1,057,500  

Matador Resources Co.

     

6.875%, 4/15/23

     1,000        1,055,000  

Oasis Petroleum, Inc.

     

6.875%, 1/15/23

     1,000        1,033,750  

Parsley Energy, LLC/Parsley Finance Corp.

     

6.25%, 6/1/24(8)

     1,000        1,057,500  

Whiting Petroleum Corp.

     

6.625%, 1/15/26(8)

     1,000        1,025,000  

WildHorse Resource Development Corp.

     

6.875%, 2/1/25

     1,000        1,037,500  
     

 

 

 
      $ 6,365,937  
     

 

 

 

Packaging & Containers — 0.1%

     

ARD Securities Finance S.a.r.l.

     

8.75%, 1/31/23(8)(11)

     200      $ 207,500  
     

 

 

 
      $ 207,500  
     

 

 

 

Publishing — 0.4%

     

Laureate Education, Inc.

     

8.25%, 5/1/25(8)

     975      $ 1,048,125  
     

 

 

 
      $ 1,048,125  
     

 

 

 

Radio and Television — 0.2%

     

CBS Radio, Inc.

     

7.25%, 11/1/24(8)

     400      $ 422,000  
     

 

 

 
      $ 422,000  
     

 

 

 

Retailers (Except Food and Drug) — 0.1%

     

Party City Holdings, Inc.

     

6.125%, 8/15/23(8)

     300      $ 309,375  
     

 

 

 
      $ 309,375  
     

 

 

 

Surface Transport — 0.4%

     

Debt and Asset Trading Corp.

     

1.00%, 10/10/25(12)

     1,060      $ 763,948  

Park Aerospace Holdings, Ltd.

     

5.50%, 2/15/24(8)

     350        347,156  
     

 

 

 
      $ 1,111,104  
     

 

 

 

Technology — 0.4%

     

Dell International, LLC/EMC Corp.

     

7.125%, 6/15/24(8)

     895      $ 978,107  
     

 

 

 
      $ 978,107  
     

 

 

 

Telecommunications — 1.2%

     

CenturyLink, Inc.

     

7.50%, 4/1/24

     595      $ 600,950  

Hughes Satellite Systems Corp.

     

6.625%, 8/1/26

     1,000        1,060,000  

 

19

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Intelsat Jackson Holdings S.A.

     

7.25%, 10/15/20

     500      $ 440,625  

Sprint Capital Corp.

     

6.875%, 11/15/28

     225        233,156  

Sprint Communications, Inc.

     

6.00%, 11/15/22

     25        25,000  

Sprint Corp.

     

7.875%, 9/15/23

     750        794,063  
     

 

 

 
      $ 3,153,794  
     

 

 

 

Utilities — 0.1%

     

AES Corp. (The)

     

5.50%, 4/15/25

     15      $ 15,675  

Calpine Corp.

     

5.25%, 6/1/26(8)

     75        73,875  

TerraForm Power Operating, LLC

     

4.25%, 1/31/23(8)

     45        44,606  

5.00%, 1/31/28(8)

     70        69,125  
     

 

 

 
      $ 203,281  
     

 

 

 

Total Corporate Bonds & Notes
(identified cost $58,484,139)

      $ 58,957,631  
     

 

 

 

Foreign Corporate Bonds — 0.2%

     
Security   

Principal

Amount

(000’s omitted)

     Value  

India — 0.2%

     

Export-Import Bank of India

     

3.375%, 8/5/26(12)

   $ 625      $ 604,625  
     

 

 

 

Total Foreign Corporate Bonds
(identified cost $614,453)

      $ 604,625  
     

 

 

 

Foreign Government Securities — 9.0%

 

Security   

Principal

Amount*
(000’s omitted)

     Value  

Albania — 0.8%

     

Republic of Albania

     

5.75%, 11/12/20(12)

   EUR  1,540      $ 2,150,507  
     

 

 

 

Total Albania

      $ 2,150,507  
     

 

 

 

Armenia — 0.5%

     

Republic of Armenia

     

7.15%, 3/26/25(12)

     1,050      $ 1,206,870  
     

 

 

 

Total Armenia

      $ 1,206,870  
     

 

 

 

 

20

 

 


                                                 
Security   

Principal

Amount*
(000’s omitted)

     Value  

Bahamas — 0.7%

     

Commonwealth of Bahamas

     

5.75%, 1/16/24(12)

     1,800      $ 1,901,169  
     

 

 

 

Total Bahamas

      $ 1,901,169  
     

 

 

 

Barbados — 0.3%

     

Barbados Government International Bond

     

6.625%, 12/5/35(12)

     855      $ 644,456  

7.25%, 12/15/21(12)

     300        264,000  
     

 

 

 

Total Barbados

      $ 908,456  
     

 

 

 

Belarus — 0.2%

     

Republic of Belarus

     

6.875%, 2/28/23(12)

     200      $ 220,624  

7.625%, 6/29/27(12)

     200        233,260  
     

 

 

 

Total Belarus

      $ 453,884  
     

 

 

 

Cyprus — 0.2%

     

Republic of Cyprus

     

4.25%, 11/4/25(12)

   EUR 450      $ 653,767  
     

 

 

 

Total Cyprus

      $ 653,767  
     

 

 

 

Dominican Republic — 0.5%

     

Dominican Republic International Bond

     

8.625%, 4/20/27(12)

     1,129      $ 1,383,025  
     

 

 

 

Total Dominican Republic

      $ 1,383,025  
     

 

 

 

Ecuador — 0.1%

     

Republic of Ecuador

     

7.95%, 6/20/24(12)

     200      $ 212,250  
     

 

 

 

Total Ecuador

      $ 212,250  
     

 

 

 

Egypt — 0.2%

     

Egypt Government International Bond

     

6.125%, 1/31/22(12)

     400      $ 424,272  
     

 

 

 

Total Egypt

      $ 424,272  
     

 

 

 

El Salvador — 0.8%

     

Republic of El Salvador

     

6.375%, 1/18/27(12)

     1,508      $ 1,547,585  

8.25%, 4/10/32(12)

     182        212,485  

8.625%, 2/28/29(12)

     418        493,240  
     

 

 

 

Total El Salvador

      $ 2,253,310  
     

 

 

 

Fiji — 0.3%

     

Republic of Fiji

     

6.625%, 10/2/20(12)

     929      $ 926,198  
     

 

 

 

Total Fiji

      $ 926,198  
     

 

 

 

Georgia — 0.3%

     

Republic of Georgia

     

6.875%, 4/12/21(12)

     700      $ 768,600  
     

 

 

 

Total Georgia

      $ 768,600  
     

 

 

 

 

21

 

 


                                                 
Security   

Principal

Amount*
(000’s omitted)

     Value  

Honduras — 0.6%

     

Honduras Government International Bond

     

6.25%, 1/19/27(12)

     150      $ 161,817  

8.75%, 12/16/20(12)

     1,202        1,359,102  
     

 

 

 

Total Honduras

      $ 1,520,919  
     

 

 

 

Macedonia — 0.8%

     

Republic of Macedonia

     

2.75%, 1/18/25(12)

   EUR 100      $ 125,630  

3.975%, 7/24/21(12)

   EUR  1,164        1,569,889  

4.875%, 12/1/20(12)

   EUR 425        585,173  
     

 

 

 

Total Macedonia

      $ 2,280,692  
     

 

 

 

Poland — 0.1%

     

Republic of Poland

     

4.00%, 1/22/24

     350      $ 367,927  
     

 

 

 

Total Poland

      $ 367,927  
     

 

 

 

Rwanda — 0.6%

     

Republic of Rwanda

     

6.625%, 5/2/23(12)

     1,550      $ 1,632,824  
     

 

 

 

Total Rwanda

      $ 1,632,824  
     

 

 

 

Serbia — 0.4%

     

Republic of Serbia

     

4.875%, 2/25/20(12)

     1,150      $ 1,188,517  
     

 

 

 

Total Serbia

      $ 1,188,517  
     

 

 

 

Seychelles — 0.4%

     

Republic of Seychelles

     

8.00%, 1/1/26(12)

     1,112      $ 1,171,143  
     

 

 

 

Total Seychelles

      $ 1,171,143  
     

 

 

 

Sri Lanka — 0.7%

     

Republic of Sri Lanka

     

6.125%, 6/3/25(12)

     800      $ 844,135  

6.85%, 11/3/25(12)

     1,000        1,096,267  
     

 

 

 

Total Sri Lanka

      $ 1,940,402  
     

 

 

 

Suriname — 0.3%

     

Republic of Suriname

     

9.25%, 10/26/26(12)

     718      $ 761,080  
     

 

 

 

Total Suriname

      $ 761,080  
     

 

 

 

Ukraine — 0.2%

     

Ukraine Government International Bond

     

7.75%, 9/1/20(12)

     360      $ 388,350  
     

 

 

 

Total Ukraine

      $ 388,350  
     

 

 

 

Total Foreign Government Securities
(identified cost $23,070,235)

      $ 24,494,162  
     

 

 

 

 

22

 

 


                                                 

Sovereign Loans — 1.0%

     
Borrower   

Principal

Amount

(000’s omitted)

     Value  

Barbados — 0.3%

     

Government of Barbados

     

Term Loan, 11.78%, (6 mo. USD LIBOR + 10.00%), Maturing December 20, 2019(10)(13)

   $ 800      $ 795,342  
     

 

 

 

Total Barbados

      $ 795,342  
     

 

 

 

Kenya — 0.0%(7)

     

Government of Kenya

     

Term Loan, 6.53%, (6 mo. USD LIBOR + 5.00%), Maturing April 18, 2019(10)

   $ 100      $ 100,000  
     

 

 

 

Total Kenya

      $ 100,000  
     

 

 

 

Tanzania — 0.7%

     

Government of the United Republic of Tanzania

     

Term Loan, 7.03%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(10)

   $ 1,900      $ 1,936,737  
     

 

 

 

Total Tanzania

      $ 1,936,737  
     

 

 

 

Total Sovereign Loans
(identified cost $2,791,766)

      $ 2,832,079  
     

 

 

 

Mortgage Pass-Throughs — 11.3%

 

                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

Federal Home Loan Mortgage Corp.:

     

2.856%, (COF + 1.25%), with maturity at 2035(14)

   $ 1,665      $ 1,717,133  

6.00%, with various maturities to 2029

     1,395        1,541,600  

6.15%, with maturity at 2027

     415        457,995  

6.50%, with maturity at 2032

     1,255        1,402,615  

7.00%, with various maturities to 2036

     2,317        2,635,839  

7.50%, with maturity at 2024

     645        699,656  

8.00%, with maturity at 2034

     973        1,114,351  

8.50%, with maturity at 2031

     754        861,001  

9.00%, with maturity at 2031

     102        116,697  

9.50%, with maturity at 2022

     15        15,838  
     

 

 

 
      $ 10,562,725  
     

 

 

 

Federal National Mortgage Association:

     

3.043%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(14)

   $ 496      $ 510,472  

5.00%, with various maturities to 2040

     2,170        2,337,474  

5.50%, with various maturities to 2033

     1,542        1,691,493  

6.00%, with maturity at 2023

     825        882,662  

6.32%, (COF + 2.00%, Floor 6.32%), with maturity at 2032(14)

     640        692,074  

6.50%, with various maturities to 2036

     3,095        3,442,988  

7.00%, with various maturities to 2037

     1,526        1,716,794  

7.50%, with maturity at 2035

     2,387        2,700,284  

8.00%, with various maturities to 2034

     551        620,635  

10.00%, with various maturities to 2031

     65        70,828  
     

 

 

 
      $ 14,665,704  
     

 

 

 

Government National Mortgage Association:

     

4.50%, with maturity at 2047

   $ 2,970      $ 3,117,811  

7.50%, with maturity at 2025

     956        1,042,858  

 

23

 

 


                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

8.00%, with maturity at 2034

   $ 1,332      $ 1,525,711  

9.50%, with maturity at 2025

     46        49,801  
     

 

 

 
      $ 5,736,181  
     

 

 

 

Total Mortgage Pass-Throughs
(identified cost $30,336,932)

      $ 30,964,610  
     

 

 

 

Collateralized Mortgage Obligations — 24.8%

     
Security   

Principal

Amount

(000’s omitted)

     Value  

Federal Home Loan Mortgage Corp.:

     

Series 2113, Class QG, 6.00%, 1/15/29

   $ 655      $ 716,929  

Series 2167, Class BZ, 7.00%, 6/15/29

     533        592,988  

Series 2182, Class ZB, 8.00%, 9/15/29

     957        1,097,828  

Series 2631, (Interest Only), Class DS, 5.541%, (7.10% - 1 mo. USD LIBOR),
6/15/33(15)(16)

     1,189        175,686  

Series 2770, (Interest Only), Class SH, 5.541%, (7.10% - 1 mo. USD LIBOR),
3/15/34(15)(16)

     1,566        281,655  

Series 2981, (Interest Only), Class CS, 5.161%, (6.72% - 1 mo. USD LIBOR),
5/15/35(15)(16)

     921        129,014  

Series 3114, (Interest Only), Class TS, 5.091%, (6.65% - 1 mo. USD LIBOR),
9/15/30(15)(16)

     2,324        276,697  

Series 3309, (Principal Only), Class DO, 0.00%, 4/15/37(17)

     1,376        1,191,642  

Series 3339, (Interest Only), Class JI, 5.031%, (6.59% - 1 mo. USD LIBOR),
7/15/37(15)(16)

     2,604        421,485  

Series 4109, (Interest Only), Class ES, 4.591%, (6.15% - 1 mo. USD LIBOR),
12/15/41(15)(16)

     35        5,723  

Series 4121, (Interest Only), Class IM, 4.00%, 10/15/39(16)

     3,549        360,080  

Series 4163, (Interest Only), Class GS, 4.641%, (6.20% - 1 mo. USD LIBOR),
11/15/32(15)(16)

     4,344        749,061  

Series 4169, (Interest Only), Class AS, 4.691%, (6.25% - 1 mo. USD LIBOR),
2/15/33(15)(16)

     2,486        360,483  

Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26(16)

     2,184        182,818  

Series 4203, (Interest Only), Class QS, 4.691%, (6.25% - 1 mo. USD LIBOR),
5/15/43(15)(16)

     2,670        368,299  

Series 4212, (Interest Only), Class SA, 4.641%, (6.20% - 1 mo. USD LIBOR),
7/15/38(15)(16)

     4,144        389,228  

Series 4273, Class PU, 4.00%, 11/15/43

     420        423,089  

Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43(16)

     1,196        199,072  

Series 4337, Class YT, 3.50%, 4/15/49

     2,072        2,060,819  

Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41(16)

     1,632        238,992  

Series 4416, Class SU, 5.465%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(15)

     1,282        1,114,257  

Series 4452, Class ZJ, 3.00%, 11/15/44

     1,070        957,229  

Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45(17)

     886        738,000  

Series 4497, (Interest Only), Class CS, 4.641%, (6.20% - 1 mo. USD LIBOR),
9/15/44(15)(16)

     3,770        732,746  

Series 4507, (Interest Only), Class EI, 4.00%, 8/15/44(16)

     3,880        709,529  

Series 4535, (Interest Only), Class JS, 4.541%, (6.10% - 1 mo. USD LIBOR),
11/15/43(15)(16)

     4,556        661,822  

Series 4548, (Interest Only), Class JS, 4.541%, (6.10% - 1 mo. USD LIBOR),
9/15/43(15)(16)

     4,706        723,210  

 

24

 

 


                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

Series 4584, Class PM, 3.00%, 5/15/46

   $ 1,428      $ 1,435,586  

Series 4608, Class TV, 3.50%, 1/15/55

     2,140        2,120,909  

Series 4629, (Interest Only), Class QI, 3.50%, 11/15/46(16)

     3,955        677,513  

Series 4630, Class CZ, 3.00%, 12/15/43

     1,093        1,052,197  

Series 4644, (Interest Only), Class TI, 3.50%, 1/15/45(16)

     3,207        553,605  

Series 4653, (Interest Only), Class PI, 3.50%, 7/15/44(16)

     3,539        534,962  

Series 4667, (Interest Only), Class PI, 3.50%, 5/15/42(16)

     4,762        741,077  

Series 4676, (Interest Only), Class DI, 4.00%, 7/15/44(16)

     5,759        952,378  

Series 4677, Class SB, 9.729%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(15)

     913        896,235  

Series 4695, Class CA, 3.00%, 10/15/41

     1,304        1,233,194  

Series 4744, (Interest Only), Class IO, 4.00%, 11/15/47(16)

     2,991        641,371  

Series 4746, Class CZ, 4.00%, 11/15/47

     1,473        1,451,309  

Series 4749, (Interest Only), Class IL, 4.00%, 12/15/47(16)

     2,487        570,570  

Series 4751, Class ZC, 4.00%, 11/15/47

     985        974,661  
     

 

 

 
      $ 29,693,948  
     

 

 

 
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:  

Series 2017-DNA2, Class M2, 5.011%, (1 mo. USD LIBOR + 3.45%), 10/25/29(10)

   $ 2,000      $ 2,188,199  
     

 

 

 
      $ 2,188,199  
     

 

 

 

Federal National Mortgage Association:

 

Series G-33, Class PT, 7.00%, 10/25/21

   $ 58      $ 60,203  

Series 1989-89, Class H, 9.00%, 11/25/19

     7        6,819  

Series 1991-122, Class N, 7.50%, 9/25/21

     54        56,520  

Series 1994-42, Class K, 6.50%, 4/25/24

     231        248,398  

Series 1997-38, Class N, 8.00%, 5/20/27

     304        345,812  

Series 2004-46, (Interest Only), Class SI, 4.439%, (6.00% - 1 mo. USD LIBOR), 5/25/34(15)(16)

     1,552        187,122  

Series 2005-17, (Interest Only), Class SA, 5.139%, (6.70% - 1 mo. USD LIBOR), 3/25/35(15)(16)

     1,286        234,166  

Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36(17)

     1,110        957,255  

Series 2006-42, (Interest Only), Class PI, 5.029%, (6.59% - 1 mo. USD LIBOR), 6/25/36(15)(16)

     2,121        343,973  

Series 2006-44, (Interest Only), Class IS, 5.039%, (6.60% - 1 mo. USD LIBOR), 6/25/36(15)(16)

     1,693        274,630  

Series 2007-50, (Interest Only), Class LS, 4.889%, (6.45% - 1 mo. USD LIBOR), 6/25/37(15)(16)

     1,278        207,193  

Series 2007-74, Class AC, 5.00%, 8/25/37

     1,560        1,657,645  

Series 2008-26, (Interest Only), Class SA, 4.639%, (6.20% - 1 mo. USD LIBOR), 4/25/38(15)(16)

     1,993        295,091  

Series 2008-61, (Interest Only), Class S, 4.539%, (6.10% - 1 mo. USD LIBOR),
7/25/38(15)(16)

     2,897        439,969  

Series 2010-99, (Interest Only), Class NS, 5.039%, (6.60% - 1 mo. USD LIBOR), 3/25/39(15)(16)

     1,194        62,005  

Series 2010-109, (Interest Only), Class PS, 5.039%, (6.60% - 1 mo. USD LIBOR), 10/25/40(15)(16)

     3,186        518,046  

Series 2010-124, (Interest Only), Class SJ, 4.489%, (6.05% - 1 mo. USD LIBOR), 11/25/38(15)(16)

     1,659        119,845  

Series 2010-147, (Interest Only), Class KS, 4.389%, (5.95% - 1 mo. USD LIBOR), 1/25/41(15)(16)

     4,262        503,515  

Series 2010-150, (Interest Only), Class GS, 5.189%, (6.75% - 1 mo. USD LIBOR), 1/25/21(15)(16)

     1,502        76,824  

 

25

 

 


                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(15)

   $ 474      $ 512,517  

Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26(16)

     3,120        208,735  

Series 2012-56, (Interest Only), Class SU, 5.189%, (6.75% - 1 mo. USD LIBOR), 8/25/26(15)(16)

     681        32,622  

Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40(16)

     3,391        363,495  

Series 2012-103, (Interest Only), Class GS, 4.539%, (6.10% - 1 mo. USD LIBOR), 2/25/40(15)(16)

     3,568        303,313  

Series 2012-112, (Interest Only), Class SB, 4.589%, (6.15% - 1 mo. USD LIBOR), 9/25/40(15)(16)

     4,591        653,352  

Series 2012-118, (Interest Only), Class IN, 3.50%, 11/25/42(16)

     4,532        890,444  

Series 2012-134, Class ZT, 2.00%, 12/25/42

     1,497        1,232,890  

Series 2012-150, (Interest Only), Class PS, 4.589%, (6.15% - 1 mo. USD LIBOR), 1/25/43(15)(16)

     5,292        787,914  

Series 2012-150, (Interest Only), Class SK, 4.589%, (6.15% - 1 mo. USD LIBOR), 1/25/43(15)(16)

     2,957        425,360  

Series 2013-6, Class TA, 1.50%, 1/25/43

     1,528        1,474,076  

Series 2013-23, (Interest Only), Class CS, 4.689%, (6.25% - 1 mo. USD LIBOR), 3/25/33(15)(16)

     2,492        370,485  

Series 2013-52, Class MD, 1.25%, 6/25/43

     1,621        1,502,953  

Series 2013-54, (Interest Only), Class HS, 4.739%, (6.30% - 1 mo. USD LIBOR), 10/25/41(15)(16)

     2,098        210,352  

Series 2013-99, Class CF, 2.561%, (1 mo. USD LIBOR + 1.00%), 7/25/43

     437        360,884  

Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44(16)

     1,008        208,003  

Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44(16)

     2,950        476,039  

Series 2014-80, (Interest Only), Class BI, 3.00%, 12/25/44(16)

     4,981        764,831  

Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45(16)

     2,322        434,252  

Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45(16)

     5,293        803,082  

Series 2015-17, (Interest Only), Class SA, 4.639%, (6.20% - 1 mo. USD LIBOR), 11/25/43(15)(16)

     3,902        590,623  

Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45(16)

     2,767        466,882  

Series 2015-57, (Interest Only), Class IO, 3.00%, 8/25/45(16)

     13,085        1,967,530  

Series 2015-74, Class SL, 1.432%, (2.349% - 1 mo. USD LIBOR x 0.587), 10/25/45(15)

     867        518,868  

Series 2015-89, Class ZB, 3.00%, 5/25/54

     375        374,974  

Series 2015-93, (Interest Only), Class BS, 4.589%, (6.15% - 1 mo. USD LIBOR), 8/25/45(15)(16)

     4,209        813,219  

Series 2015-95, (Interest Only), Class SB, 4.439%, (6.00% - 1 mo. USD LIBOR), 1/25/46(15)(16)

     3,633        596,841  

Series 2017-15, Class LE, 3.00%, 6/25/46

     1,873        1,864,879  

Series 2017-46, (Interest Only), Class NI, 3.00%, 8/25/42(16)

     3,315        476,734  

Series 2017-66, Class ZJ, 3.00%, 9/25/57

     1,226        1,113,098  

Series 2017-96, Class Z, 3.00%, 12/25/57

     1,868        1,765,972  

Series 2017-110, Class Z, 3.00%, 2/25/57

     1,477        1,388,760  
     

 

 

 
      $ 30,549,010  
     

 

 

 

Federal National Mortgage Association Connecticut Avenue Securities:

 

Series 2017-C01, Class 1B1, 7.311%, (1 mo. USD LIBOR + 5.75%), 7/25/29(10)

   $ 730      $ 866,086  

Series 2017-C03, Class 1B1, 6.411%, (1 mo. USD LIBOR + 4.85%), 10/25/29(10)

     500        564,661  

Series 2017-C03, Class 1M2, 4.561%, (1 mo. USD LIBOR + 3.00%), 10/25/29(10)

     2,000        2,121,377  
     

 

 

 
      $ 3,552,124  
     

 

 

 

Government National Mortgage Association:

 

Series 2011-156, Class GA, 2.00%, 12/16/41

   $ 396      $ 335,279  

Series 2013-131, Class GS, 1.932%, (3.50% - 1 mo. USD LIBOR), 6/20/43(15)

     989        692,517  

 

26

 

 


                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

Series 2017-82, Class TZ, 2.50%, 2/16/43

   $ 257      $ 243,157  

Series 2017-121, (Interest Only), Class DS, 2.939%, (4.50% - 1 mo. USD LIBOR), 8/20/47(15)(16)

     6,152        414,631  
     

 

 

 
      $ 1,685,584  
     

 

 

 

Total Collateralized Mortgage Obligations
(identified cost $70,794,316)

      $ 67,668,865  
     

 

 

 

Commercial Mortgage-Backed Securities — 6.7%

     
Security   

Principal

Amount

(000’s omitted)

     Value  

Citigroup Commercial Mortgage Trust

     

Series 2015-P1, Class D, 3.225%, 9/15/48(8)

   $ 4,000      $ 3,318,009  

JPMBB Commercial Mortgage Securities Trust

     

Series 2014-C19, Class D, 4.661%, 4/15/47(8)(18)

     1,425        1,277,106  

Series 2014-C22, Class D, 4.559%, 9/15/47(8)(18)

     1,850        1,598,929  

Series 2014-C23, Class D, 3.958%, 9/15/47(8)(18)

     850