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 |
$ | 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 |
$ | 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 |
$ | 604,625 | ||||||
|
|
|
|||||||
| Foreign Government Securities — 9.0% |
| |||||||
| Security | Principal Amount* |
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* |
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* |
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 |
$ | 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 |
$ | 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 |
$ | 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), |
1,189 | 175,686 | ||||||
| Series 2770, (Interest Only), Class SH, 5.541%, (7.10% - 1 mo. USD LIBOR), |
1,566 | 281,655 | ||||||
| Series 2981, (Interest Only), Class CS, 5.161%, (6.72% - 1 mo. USD LIBOR), |
921 | 129,014 | ||||||
| Series 3114, (Interest Only), Class TS, 5.091%, (6.65% - 1 mo. USD LIBOR), |
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), |
2,604 | 421,485 | ||||||
| Series 4109, (Interest Only), Class ES, 4.591%, (6.15% - 1 mo. USD LIBOR), |
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), |
4,344 | 749,061 | ||||||
| Series 4169, (Interest Only), Class AS, 4.691%, (6.25% - 1 mo. USD LIBOR), |
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), |
2,670 | 368,299 | ||||||
| Series 4212, (Interest Only), Class SA, 4.641%, (6.20% - 1 mo. USD LIBOR), |
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), |
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), |
4,556 | 661,822 | ||||||
| Series 4548, (Interest Only), Class JS, 4.541%, (6.10% - 1 mo. USD LIBOR), |
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), |
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 |
$ | 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 | |||||||