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, 2019
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Short Duration Diversified Income Fund
January 31, 2019
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Loans — 32.3%(1)
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Aerospace and Defense — 0.6% |
||||||||
| DAE Aviation Holdings, Inc. |
||||||||
| Term Loan, Maturing January 23, 2026(2) |
35 | $ | 34,867 | |||||
| Term Loan, Maturing January 23, 2026(2) |
65 | 64,852 | ||||||
| TransDigm, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing June 9, 2023 |
965 | 945,224 | ||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing August 22, 2024 |
489 | 478,200 | ||||||
|
|
|
|||||||
| $ | 1,523,143 | |||||||
|
|
|
|||||||
| Automotive — 0.8% |
||||||||
| Allison Transmission, Inc. |
||||||||
| Term Loan, 4.26%, (1 mo. USD LIBOR + 1.75%), Maturing September 23, 2022 |
227 | $ | 226,634 | |||||
| Belron Finance US, LLC |
||||||||
| Term Loan, 4.84%, (3 mo. USD LIBOR + 2.25%), Maturing November 7, 2024 |
74 | 73,368 | ||||||
| Dayco Products, LLC |
||||||||
| Term Loan, 6.96%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023 |
171 | 167,551 | ||||||
| Goodyear Tire & Rubber Company (The) |
||||||||
| Term Loan - Second Lien, 4.51%, (1 mo. USD LIBOR + 2.00%), Maturing March 7, 2025 |
383 | 371,833 | ||||||
| Horizon Global Corporation |
||||||||
| Term Loan, 8.80%, (3 mo. USD LIBOR + 6.00%), Maturing June 30, 2021 |
71 | 68,570 | ||||||
| L&W, Inc. |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing May 22, 2025 |
124 | 123,442 | ||||||
| Tenneco, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing October 1, 2025 |
525 | 514,391 | ||||||
| Thor Industries, Inc. |
||||||||
| Term Loan, Maturing October 30, 2025(2) |
225 | 216,281 | ||||||
| Tower Automotive Holdings USA, LLC |
||||||||
| Term Loan, 5.31%, (1 mo. USD LIBOR + 2.75%), Maturing March 7, 2024 |
226 | 217,207 | ||||||
|
|
|
|||||||
| $ | 1,979,277 | |||||||
|
|
|
|||||||
| Beverage and Tobacco — 0.1% |
||||||||
| Flavors Holdings, Inc. |
||||||||
| Term Loan, 8.55%, (3 mo. USD LIBOR + 5.75%), Maturing April 3, 2020 |
320 | $ | 297,645 | |||||
|
|
|
|||||||
| $ | 297,645 | |||||||
|
|
|
|||||||
| Brokerage/Securities Dealers/Investment Houses — 0.1% |
||||||||
| Advisor Group, Inc. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing August 15, 2025 |
75 | $ | 74,439 | |||||
| Aretec Group, Inc. |
||||||||
| Term Loan, 6.75%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025 |
175 | 172,648 | ||||||
| OZ Management L.P. |
||||||||
| Term Loan, 7.31%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023 |
80 | 79,800 | ||||||
|
|
|
|||||||
| $ | 326,887 | |||||||
|
|
|
|||||||
1
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Building and Development — 0.9% |
||||||||
| Brookfield Property REIT, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025 |
150 | $ | 143,346 | |||||
| Core & Main L.P. |
||||||||
| Term Loan, 5.72%, (3 mo. USD LIBOR + 3.00%), Maturing August 1, 2024 |
124 | 122,461 | ||||||
| CPG International, Inc. |
||||||||
| Term Loan, 6.63%, (6 mo. USD LIBOR + 3.75%), Maturing May 5, 2024 |
387 | 375,094 | ||||||
| DTZ U.S. Borrower, LLC |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing August 21, 2025 |
798 | 785,032 | ||||||
| NCI Building Systems, Inc. |
||||||||
| Term Loan, 6.55%, (3 mo. USD LIBOR + 3.75%), Maturing April 12, 2025 |
100 | 95,448 | ||||||
| Quikrete Holdings, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing November 15, 2023 |
433 | 420,478 | ||||||
| RE/MAX International, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing December 15, 2023 |
394 | 387,713 | ||||||
| Summit Materials Companies I, LLC |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing November 21, 2024 |
124 | 120,734 | ||||||
|
|
|
|||||||
| $ | 2,450,306 | |||||||
|
|
|
|||||||
| Business Equipment and Services — 3.4% |
||||||||
| Acosta Holdco, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing September 26, 2021 |
376 | $ | 179,513 | |||||
| AlixPartners, LLP |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing April 4, 2024 |
50 | 49,125 | ||||||
| AppLovin Corporation |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing August 15, 2025 |
225 | 225,281 | ||||||
| ASGN Incorporated |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing April 2, 2025 |
72 | 71,044 | ||||||
| Blitz F18-675 GmbH |
||||||||
| Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 31, 2025 |
EUR | 225 | 258,549 | |||||
| Bracket Intermediate Holding Corp. |
||||||||
| Term Loan, 7.00%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025 |
125 | 122,505 | ||||||
| Ceridian HCM Holding, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing April 30, 2025 |
224 | 222,380 | ||||||
| Change Healthcare Holdings, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing March 1, 2024 |
1,131 | 1,109,329 | ||||||
| Cypress Intermediate Holdings III, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing April 26, 2024 |
222 | 217,262 | ||||||
| EAB Global, Inc. |
||||||||
| Term Loan, 6.41%, (USD LIBOR + 3.75%), Maturing November 15, 2024(3) |
199 | 193,041 | ||||||
| Education Management, LLC |
||||||||
| Term Loan, 0.00%, Maturing July 2, 2020(4)(5) |
67 | 12,709 | ||||||
| Term Loan, 0.00%, Maturing July 2, 2020(4)(5) |
152 | 0 | ||||||
| EIG Investors Corp. |
||||||||
| Term Loan, 6.44%, (USD LIBOR + 3.75%), Maturing February 9, 2023(3) |
510 | 503,305 | ||||||
| Extreme Reach, Inc. |
||||||||
| Term Loan, 8.75%, (1 mo. USD LIBOR + 6.25%), Maturing February 7, 2020 |
87 | 86,411 | ||||||
| First Data Corporation |
||||||||
| Term Loan, 4.52%, (1 mo. USD LIBOR + 2.00%), Maturing July 8, 2022 |
309 | 308,638 | ||||||
| Garda World Security Corporation |
||||||||
| Term Loan, 6.24%, (3 mo. USD LIBOR + 3.50%), Maturing May 24, 2024 |
316 | 311,609 | ||||||
| IG Investment Holdings, LLC |
||||||||
| Term Loan, 6.13%, (USD LIBOR + 3.50%), Maturing May 23, 2025(3) |
431 | 426,172 | ||||||
2
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Information Resources, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing December 1, 2025 |
225 | $ | 221,625 | |||||
| Iron Mountain, Inc. |
||||||||
| Term Loan, 4.25%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026 |
124 | 120,107 | ||||||
| J.D. Power and Associates |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing September 7, 2023 |
171 | 168,861 | ||||||
| KAR Auction Services, Inc. |
||||||||
| Term Loan, 5.06%, (3 mo. USD LIBOR + 2.25%), Maturing March 11, 2021 |
346 | 343,644 | ||||||
| Kronos Incorporated |
||||||||
| Term Loan, 5.54%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2023 |
1,022 | 1,004,199 | ||||||
| Monitronics International, Inc. |
||||||||
| Term Loan, 8.30%, (3 mo. USD LIBOR + 5.50%), Maturing September 30, 2022 |
239 | 210,146 | ||||||
| PGX Holdings, Inc. |
||||||||
| Term Loan, 7.75%, (1 mo. USD LIBOR + 5.25%), Maturing September 29, 2020 |
325 | 318,397 | ||||||
| Pre-Paid Legal Services, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2025 |
69 | 68,253 | ||||||
| Prime Security Services Borrower, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing May 2, 2022 |
294 | 290,644 | ||||||
| Red Ventures, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing November 8, 2024 |
163 | 161,800 | ||||||
| Solera, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing March 3, 2023 |
124 | 121,501 | ||||||
| Spin Holdco, Inc. |
||||||||
| Term Loan, 6.03%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2022 |
608 | 595,900 | ||||||
| Tempo Acquisition, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024 |
148 | 145,349 | ||||||
| Travelport Finance (Luxembourg) S.a.r.l. |
||||||||
| Term Loan, 5.12%, (3 mo. USD LIBOR + 2.50%), Maturing March 17, 2025 |
297 | 296,064 | ||||||
| West Corporation |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing October 10, 2024 |
173 | 159,672 | ||||||
| Worldpay, LLC |
||||||||
| Term Loan, 4.22%, (1 mo. USD LIBOR + 1.75%), Maturing August 9, 2024 |
273 | 271,709 | ||||||
|
|
|
|||||||
| $ | 8,794,744 | |||||||
|
|
|
|||||||
| Cable and Satellite Television — 1.8% |
||||||||
| Charter Communications Operating, LLC |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2025 |
545 | $ | 538,170 | |||||
| CSC Holdings, LLC |
||||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025 |
451 | 438,498 | ||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026 |
150 | 144,687 | ||||||
| Term Loan, 5.01%, (1 mo. USD LIBOR + 2.50%), Maturing January 25, 2026 |
199 | 193,910 | ||||||
| MCC Iowa, LLC |
||||||||
| Term Loan, 4.42%, (1 week USD LIBOR + 2.00%), Maturing January 15, 2025 |
165 | 164,227 | ||||||
| Numericable Group S.A. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025 |
319 | 296,428 | ||||||
| Radiate Holdco, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024 |
173 | 168,351 | ||||||
| Telenet Financing USD, LLC |
||||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing August 15, 2026 |
375 | 366,194 | ||||||
| Unitymedia Finance, LLC |
||||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026 |
150 | 147,719 | ||||||
3
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| UPC Financing Partnership |
||||||||
| Term Loan, 5.01%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026 |
375 | $ | 369,690 | |||||
| Virgin Media Bristol, LLC |
||||||||
| Term Loan, 5.01%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026 |
1,275 | 1,254,414 | ||||||
| Ziggo Secured Finance Partnership |
||||||||
| Term Loan, 5.01%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2025 |
625 | 606,006 | ||||||
|
|
|
|||||||
| $ | 4,688,294 | |||||||
|
|
|
|||||||
| Chemicals and Plastics — 1.6% |
||||||||
| Ashland, Inc. |
||||||||
| Term Loan, 4.26%, (1 mo. USD LIBOR + 1.75%), Maturing May 17, 2024 |
99 | $ | 97,946 | |||||
| Axalta Coating Systems US Holdings, Inc. |
||||||||
| Term Loan, 4.55%, (3 mo. USD LIBOR + 1.75%), Maturing June 1, 2024 |
364 | 357,924 | ||||||
| Emerald Performance Materials, LLC |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2021 |
333 | 331,170 | ||||||
| Term Loan - Second Lien, 10.25%, (1 mo. USD LIBOR + 7.75%), Maturing August 1, 2022 |
100 | 99,000 | ||||||
| Ferro Corporation |
||||||||
| Term Loan, 5.05%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024 |
49 | 48,560 | ||||||
| Term Loan, 5.05%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024 |
50 | 49,615 | ||||||
| Gemini HDPE, LLC |
||||||||
| Term Loan, 5.25%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024 |
348 | 343,638 | ||||||
| H.B. Fuller Company |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing October 20, 2024 |
297 | 292,344 | ||||||
| Ineos US Finance, LLC |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing March 31, 2024 |
520 | 506,014 | ||||||
| Invictus U.S., LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing March 28, 2025 |
74 | 73,461 | ||||||
| Kraton Polymers, LLC |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing March 5, 2025 |
78 | 76,852 | ||||||
| Messer Industries GmbH |
||||||||
| Term Loan, Maturing October 1, 2025(2) |
175 | 171,500 | ||||||
| Platform Specialty Products Corporation |
||||||||
| Term Loan, Maturing November 14, 2025(2) |
100 | 99,187 | ||||||
| Polar US Borrower, LLC |
||||||||
| Term Loan, 7.54%, (3 mo. USD LIBOR + 4.75%), Maturing October 15, 2025 |
125 | 124,062 | ||||||
| PQ Corporation |
||||||||
| Term Loan, 5.24%, (3 mo. USD LIBOR + 2.50%), Maturing February 8, 2025 |
317 | 309,252 | ||||||
| Spectrum Holdings III Corp. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2025 |
113 | 108,310 | ||||||
| Starfruit Finco B.V. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025 |
375 | 367,687 | ||||||
| Tata Chemicals North America, Inc. |
||||||||
| Term Loan, 5.56%, (3 mo. USD LIBOR + 2.75%), Maturing August 7, 2020 |
161 | 159,722 | ||||||
| Tronox Blocked Borrower, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing September 23, 2024 |
157 | 155,300 | ||||||
| Tronox Finance, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing September 23, 2024 |
363 | 358,386 | ||||||
|
|
|
|||||||
| $ | 4,129,930 | |||||||
|
|
|
|||||||
4
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Containers and Glass Products — 0.5% |
||||||||
| Berlin Packaging, LLC |
||||||||
| Term Loan, 5.55%, (USD LIBOR + 3.00%), Maturing November 7, 2025(3) |
25 | $ | 24,004 | |||||
| BWAY Holding Company |
||||||||
| Term Loan, 6.03%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024 |
237 | 229,290 | ||||||
| Consolidated Container Company, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024 |
247 | 241,327 | ||||||
| Flex Acquisition Company, Inc. |
||||||||
| Term Loan, 5.77%, (1 mo. USD LIBOR + 3.25%), Maturing June 29, 2025 |
224 | 218,418 | ||||||
| Pelican Products, Inc. |
||||||||
| Term Loan, 6.01%, (1 mo. USD LIBOR + 3.50%), Maturing May 1, 2025 |
100 | 97,634 | ||||||
| Verallia Packaging S.A.S |
||||||||
| Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing October 29, 2022 |
EUR | 278 | 316,749 | |||||
| Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing August 1, 2025 |
EUR | 200 | 227,982 | |||||
|
|
|
|||||||
| $ | 1,355,404 | |||||||
|
|
|
|||||||
| Cosmetics/Toiletries — 0.1% |
||||||||
| KIK Custom Products, Inc. |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing May 15, 2023 |
296 | $ | 280,664 | |||||
|
|
|
|||||||
| $ | 280,664 | |||||||
|
|
|
|||||||
| Drugs — 1.5% |
||||||||
| Alkermes, Inc. |
||||||||
| Term Loan, 4.77%, (1 mo. USD LIBOR + 2.25%), Maturing March 23, 2023 |
71 | $ | 69,822 | |||||
| Amneal Pharmaceuticals, LLC |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025 |
522 | 518,768 | ||||||
| Arbor Pharmaceuticals, Inc. |
||||||||
| Term Loan, 7.80%, (3 mo. USD LIBOR + 5.00%), Maturing July 5, 2023 |
258 | 221,719 | ||||||
| Bausch Health Companies, Inc. |
||||||||
| Term Loan, 5.51%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025 |
827 | 819,771 | ||||||
| Endo Luxembourg Finance Company I S.a.r.l. |
||||||||
| Term Loan, 6.75%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024 |
763 | 757,650 | ||||||
| Horizon Pharma, Inc. |
||||||||
| Term Loan, 5.56%, (1 mo. USD LIBOR + 3.00%), Maturing March 29, 2024 |
647 | 644,853 | ||||||
| Mallinckrodt International Finance S.A. |
||||||||
| Term Loan, 5.55%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024 |
627 | 585,279 | ||||||
| Term Loan, 5.62%, (3 mo. USD LIBOR + 3.00%), Maturing February 24, 2025 |
124 | 116,774 | ||||||
| PharMerica Corporation |
||||||||
| Term Loan, 6.01%, (1 mo. USD LIBOR + 3.50%), Maturing December 6, 2024 |
124 | 123,856 | ||||||
|
|
|
|||||||
| $ | 3,858,492 | |||||||
|
|
|
|||||||
| Ecological Services and Equipment — 0.2% |
||||||||
| EnergySolutions, LLC |
||||||||
| Term Loan, 6.55%, (3 mo. USD LIBOR + 3.75%), Maturing May 9, 2025 |
174 | $ | 152,359 | |||||
| GFL Environmental, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing May 30, 2025 |
348 | 336,699 | ||||||
|
|
|
|||||||
| $ | 489,058 | |||||||
|
|
|
|||||||
| Electronics/Electrical — 3.6% |
||||||||
| Almonde, Inc. |
||||||||
| Term Loan, 6.30%, (3 mo. USD LIBOR + 3.50%), Maturing June 13, 2024 |
399 | $ | 384,048 | |||||
| Applied Systems, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing September 19, 2024 |
420 | 411,896 | ||||||
5
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Avast Software B.V. |
||||||||
| Term Loan, 5.30%, (3 mo. USD LIBOR + 2.50%), Maturing September 30, 2023 |
237 | $ | 234,850 | |||||
| Blackhawk Network Holdings, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing June 15, 2025 |
124 | 122,561 | ||||||
| BMC Software Finance, Inc. |
||||||||
| Term Loan, 7.05%, (3 mo. USD LIBOR + 4.25%), Maturing October 2, 2025 |
375 | 366,840 | ||||||
| Campaign Monitor Finance Pty. Limited |
||||||||
| Term Loan, 8.05%, (3 mo. USD LIBOR + 5.25%), Maturing March 18, 2021 |
116 | 100,110 | ||||||
| Cohu, Inc. |
||||||||
| Term Loan, 5.81%, (3 mo. USD LIBOR + 3.00%), Maturing September 20, 2025 |
100 | 98,503 | ||||||
| CommScope, Inc. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing December 29, 2022 |
68 | 67,883 | ||||||
| Cypress Semiconductor Corporation |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing July 5, 2021 |
183 | 181,499 | ||||||
| DigiCert, Inc. |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing October 31, 2024 |
174 | 171,140 | ||||||
| Electro Rent Corporation |
||||||||
| Term Loan, 7.78%, (3 mo. USD LIBOR + 5.00%), Maturing January 31, 2024 |
221 | 219,949 | ||||||
| Epicor Software Corporation |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing June 1, 2022 |
25 | 24,191 | ||||||
| Exact Merger Sub, LLC |
||||||||
| Term Loan, 7.06%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024 |
99 | 98,380 | ||||||
| EXC Holdings III Corp. |
||||||||
| Term Loan, 6.30%, (3 mo. USD LIBOR + 3.50%), Maturing December 2, 2024 |
74 | 73,413 | ||||||
| Financial & Risk US Holdings, Inc. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing October 1, 2025 |
175 | 168,391 | ||||||
| Flexera Software, LLC |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing February 26, 2025 |
25 | 24,533 | ||||||
| GlobalLogic Holdings, Inc. |
||||||||
| Term Loan, 3.25%, Maturing August 1, 2025(6) |
9 | 9,293 | ||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing August 1, 2025 |
65 | 64,886 | ||||||
| Go Daddy Operating Company, LLC |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing February 15, 2024 |
812 | 803,042 | ||||||
| GTCR Valor Companies, Inc. |
||||||||
| Term Loan, 5.55%, (3 mo. USD LIBOR + 2.75%), Maturing June 16, 2023 |
117 | 115,198 | ||||||
| Hyland Software, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing July 1, 2024 |
148 | 146,557 | ||||||
| Infoblox, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023 |
144 | 144,252 | ||||||
| Informatica, LLC |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing August 5, 2022 |
352 | 351,135 | ||||||
| Lattice Semiconductor Corporation |
||||||||
| Term Loan, 6.76%, (1 mo. USD LIBOR + 4.25%), Maturing March 10, 2021 |
75 | 75,054 | ||||||
| MA FinanceCo., LLC |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing November 19, 2021 |
866 | 851,688 | ||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024 |
26 | 24,761 | ||||||
| Microchip Technology Incorporated |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing May 29, 2025 |
339 | 334,319 | ||||||
| MTS Systems Corporation |
||||||||
| Term Loan, 5.76%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023 |
212 | 209,450 | ||||||
| Renaissance Holding Corp. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing May 30, 2025 |
174 | 167,886 | ||||||
6
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Seattle Spinco, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024 |
172 | $ | 167,216 | |||||
| SkillSoft Corporation |
||||||||
| Term Loan, 7.25%, (1 mo. USD LIBOR + 4.75%), Maturing April 28, 2021 |
674 | 552,520 | ||||||
| SolarWinds Holdings, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024 |
173 | 169,713 | ||||||
| SS&C Technologies Holdings Europe S.a.r.l. |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing April 16, 2025 |
201 | 197,387 | ||||||
| SS&C Technologies, Inc. |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing April 16, 2025 |
523 | 513,182 | ||||||
| SurveyMonkey, Inc. |
||||||||
| Term Loan, 6.17%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025 |
219 | 216,158 | ||||||
| Tibco Software, Inc. |
||||||||
| Term Loan, 6.01%, (1 mo. USD LIBOR + 3.50%), Maturing December 4, 2020 |
148 | 146,963 | ||||||
| TriTech Software Systems |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing August 29, 2025 |
125 | 121,992 | ||||||
| Uber Technologies |
||||||||
| Term Loan, 6.01%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023 |
318 | 314,411 | ||||||
| Term Loan, 6.52%, (1 mo. USD LIBOR + 4.00%), Maturing April 4, 2025 |
224 | 222,756 | ||||||
| Ultra Clean Holdings, Inc. |
||||||||
| Term Loan, 7.01%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025 |
124 | 121,113 | ||||||
| VeriFone Systems, Inc. |
||||||||
| Term Loan, 6.64%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025 |
125 | 122,116 | ||||||
| Vero Parent, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing August 16, 2024 |
222 | 222,193 | ||||||
| Wall Street Systems Delaware, Inc. |
||||||||
| Term Loan, 5.63%, (2 mo. USD LIBOR + 3.00%), Maturing November 21, 2024 |
113 | 107,755 | ||||||
| Western Digital Corporation |
||||||||
| Term Loan, 4.26%, (1 mo. USD LIBOR + 1.75%), Maturing April 29, 2023 |
341 | 333,581 | ||||||
|
|
|
|||||||
| $ | 9,574,764 | |||||||
|
|
|
|||||||
| Equipment Leasing — 0.6% |
||||||||
| Avolon TLB Borrower 1 (US), LLC |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2025 |
685 | $ | 679,645 | |||||
| Delos Finance S.a.r.l. |
||||||||
| Term Loan, 4.55%, (3 mo. USD LIBOR + 1.75%), Maturing October 6, 2023 |
425 | 424,810 | ||||||
| Flying Fortress, Inc. |
||||||||
| Term Loan, 4.55%, (3 mo. USD LIBOR + 1.75%), Maturing October 30, 2022 |
500 | 498,959 | ||||||
| IBC Capital Limited |
||||||||
| Term Loan, 6.55%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023 |
74 | 71,925 | ||||||
|
|
|
|||||||
| $ | 1,675,339 | |||||||
|
|
|
|||||||
| Financial Intermediaries — 1.1% |
||||||||
| Citco Funding, LLC |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2023 |
652 | $ | 644,409 | |||||
| Clipper Acquisitions Corp. |
||||||||
| Term Loan, 4.26%, (1 mo. USD LIBOR + 1.75%), Maturing December 27, 2024 |
173 | 170,651 | ||||||
| Ditech Holding Corporation |
||||||||
| Term Loan, 8.50%, (1 mo. USD LIBOR + 6.00%), Maturing June 30, 2022 |
474 | 321,139 | ||||||
| Donnelley Financial Solutions, Inc. |
||||||||
| Term Loan, 5.51%, (1 mo. USD LIBOR + 3.00%), Maturing October 2, 2023 |
21 | 20,455 | ||||||
7
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| EIG Management Company, LLC |
||||||||
| Term Loan, 6.27%, (1 mo. USD LIBOR + 3.75%), Maturing February 22, 2025 |
50 | $ | 49,532 | |||||
| Focus Financial Partners, LLC |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing July 3, 2024 |
274 | 270,433 | ||||||
| Fortress Investment Group, LLC |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing December 27, 2022 |
169 | 167,852 | ||||||
| Franklin Square Holdings L.P. |
||||||||
| Term Loan, 5.06%, (1 mo. USD LIBOR + 2.50%), Maturing August 1, 2025 |
75 | 74,343 | ||||||
| Freedom Mortgage Corporation |
||||||||
| Term Loan, 7.25%, (1 mo. USD LIBOR + 4.75%), Maturing February 23, 2022 |
168 | 167,525 | ||||||
| Greenhill & Co., Inc. |
||||||||
| Term Loan, 6.47%, (USD LIBOR + 3.75%), Maturing October 12, 2022(3) |
141 | 140,449 | ||||||
| GreenSky Holdings, LLC |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025 |
199 | 196,515 | ||||||
| Guggenheim Partners, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023 |
188 | 187,802 | ||||||
| Harbourvest Partners, LLC |
||||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing March 1, 2025 |
70 | 68,330 | ||||||
| LPL Holdings, Inc. |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing September 23, 2024 |
246 | 244,411 | ||||||
| StepStone Group L.P. |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing March 14, 2025 |
99 | 99,126 | ||||||
| Walker & Dunlop, Inc. |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing October 31, 2025 |
125 | 124,062 | ||||||
|
|
|
|||||||
| $ | 2,947,034 | |||||||
|
|
|
|||||||
| Food Products — 1.0% |
||||||||
| Alphabet Holding Company, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024 |
370 | $ | 338,065 | |||||
| CHG PPC Parent, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing March 31, 2025 |
75 | 73,226 | ||||||
| Del Monte Foods, Inc. |
||||||||
| Term Loan, 5.90%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021 |
119 | 97,870 | ||||||
| Hearthside Food Solutions, LLC |
||||||||
| Term Loan, 6.19%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025 |
100 | 96,017 | ||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025 |
50 | 48,687 | ||||||
| High Liner Foods Incorporated |
||||||||
| Term Loan, 6.04%, (3 mo. USD LIBOR + 3.25%), Maturing April 24, 2021 |
134 | 113,869 | ||||||
| HLF Financing S.a.r.l. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing August 18, 2025 |
150 | 149,064 | ||||||
| Jacobs Douwe Egberts International B.V. |
||||||||
| Term Loan, 4.56%, (3 mo. USD LIBOR + 2.00%), Maturing November 1, 2025 |
268 | 265,966 | ||||||
| JBS USA Lux S.A. |
||||||||
| Term Loan, 5.26%, (USD LIBOR + 2.50%), Maturing October 30, 2022(3) |
1,180 | 1,169,667 | ||||||
| Nomad Foods Europe Midco Limited |
||||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024 |
199 | 194,336 | ||||||
| Post Holdings, Inc. |
||||||||
| Term Loan, 4.52%, (1 mo. USD LIBOR + 2.00%), Maturing May 24, 2024 |
164 | 162,051 | ||||||
| Restaurant Technologies, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025 |
25 | 24,914 | ||||||
|
|
|
|||||||
| $ | 2,733,732 | |||||||
|
|
|
|||||||
8
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Food Service — 0.3% |
||||||||
| Aramark Services, Inc. |
||||||||
| Term Loan, 4.25%, (1 mo. USD LIBOR + 1.75%), Maturing March 11, 2025 |
140 | $ | 139,142 | |||||
| Del Frisco’s Restaurant Group, Inc. |
||||||||
| Term Loan, 8.50%, (1 mo. USD LIBOR + 6.00%), Maturing June 27, 2025 |
75 | 71,453 | ||||||
| IRB Holding Corp. |
||||||||
| Term Loan, 5.76%, (1 mo. USD LIBOR + 3.25%), Maturing February 5, 2025 |
274 | 267,391 | ||||||
| KFC Holding Co. |
||||||||
| Term Loan, 4.26%, (1 mo. USD LIBOR + 1.75%), Maturing April 3, 2025 |
171 | 169,897 | ||||||
| US Foods, Inc. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing June 27, 2023 |
124 | 122,278 | ||||||
|
|
|
|||||||
| $ | 770,161 | |||||||
|
|
|
|||||||
| Food/Drug Retailers — 0.3% |
||||||||
| Albertsons, LLC |
||||||||
| Term Loan, 5.69%, (3 mo. USD LIBOR + 3.00%), Maturing June 22, 2023 |
487 | $ | 480,311 | |||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing November 17, 2025 |
177 | 173,148 | ||||||
| Diplomat Pharmacy, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing December 20, 2024 |
81 | 80,332 | ||||||
|
|
|
|||||||
| $ | 733,791 | |||||||
|
|
|
|||||||
| Health Care — 3.0% |
||||||||
| ADMI Corp. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing April 30, 2025 |
249 | $ | 245,952 | |||||
| Agiliti Health, Inc. |
||||||||
| Term Loan, 1.50%, Maturing January 4, 2026(6) |
75 | 74,813 | ||||||
| Akorn, Inc. |
||||||||
| Term Loan, 8.00%, (1 mo. USD LIBOR + 5.50%), Maturing April 16, 2021 |
159 | 129,766 | ||||||
| Alliance Healthcare Services, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing October 24, 2023 |
147 | 145,773 | ||||||
| Athletico Management, LLC |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025 |
75 | 74,156 | ||||||
| Avantor, Inc. |
||||||||
| Term Loan, 6.57%, (3 mo. USD LIBOR + 3.75%), Maturing November 21, 2024 |
188 | 188,159 | ||||||
| Beaver-Visitec International, Inc. |
||||||||
| Term Loan, 6.62%, (2 mo. USD LIBOR + 4.00%), Maturing August 21, 2023 |
147 | 145,172 | ||||||
| BW NHHC Holdco, Inc. |
||||||||
| Term Loan, 7.50%, (1 mo. USD LIBOR + 5.00%), Maturing May 15, 2025 |
149 | 146,265 | ||||||
| CHG Healthcare Services, Inc. |
||||||||
| Term Loan, 5.66%, (USD LIBOR + 3.00%), Maturing June 7, 2023(3) |
442 | 438,008 | ||||||
| Concentra, Inc. |
||||||||
| Term Loan, 5.27%, (1 mo. USD LIBOR + 2.75%), Maturing June 1, 2022 |
50 | 49,561 | ||||||
| DaVita, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing June 24, 2021 |
327 | 327,321 | ||||||
| DJO Finance, LLC |
||||||||
| Term Loan, 5.83%, (USD LIBOR + 3.25%), Maturing June 8, 2020(3) |
386 | 385,517 | ||||||
| Envision Healthcare Corporation |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025 |
175 | 165,287 | ||||||
| Gentiva Health Services, Inc. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing July 2, 2025 |
292 | 291,017 | ||||||
| Greatbatch Ltd. |
||||||||
| Term Loan, 5.51%, (1 mo. USD LIBOR + 3.00%), Maturing October 27, 2022 |
108 | 107,187 | ||||||
9
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Hanger, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025 |
149 | $ | 148,131 | |||||
| Indivior Finance S.a.r.l. |
||||||||
| Term Loan, 7.25%, (3 mo. USD LIBOR + 4.50%), Maturing December 18, 2022 |
191 | 187,687 | ||||||
| Inovalon Holdings, Inc. |
||||||||
| Term Loan, 6.06%, (1 mo. USD LIBOR + 3.50%), Maturing April 2, 2025 |
174 | 172,493 | ||||||
| IQVIA, Inc. |
||||||||
| Term Loan, 4.80%, (3 mo. USD LIBOR + 2.00%), Maturing March 7, 2024 |
258 | 256,802 | ||||||
| Term Loan, 4.80%, (3 mo. USD LIBOR + 2.00%), Maturing January 17, 2025 |
222 | 220,577 | ||||||
| Kinetic Concepts, Inc. |
||||||||
| Term Loan, 6.05%, (3 mo. USD LIBOR + 3.25%), Maturing February 2, 2024 |
493 | 490,191 | ||||||
| KUEHG Corp. |
||||||||
| Term Loan, 6.55%, (3 mo. USD LIBOR + 3.75%), Maturing February 21, 2025 |
317 | 310,761 | ||||||
| Term Loan - Second Lien, 11.05%, (3 mo. USD LIBOR + 8.25%), Maturing August 18, 2025 |
50 | 50,000 | ||||||
| MPH Acquisition Holdings, LLC |
||||||||
| Term Loan, 5.55%, (3 mo. USD LIBOR + 2.75%), Maturing June 7, 2023 |
364 | 352,885 | ||||||
| Navicure, Inc. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing November 1, 2024 |
124 | 122,016 | ||||||
| New Millennium Holdco, Inc. |
||||||||
| Term Loan, 9.00%, (1 mo. USD LIBOR + 6.50%), Maturing December 21, 2020 |
86 | 48,109 | ||||||
| One Call Corporation |
||||||||
| Term Loan, 7.76%, (1 mo. USD LIBOR + 5.25%), Maturing November 25, 2022 |
226 | 199,289 | ||||||
| Ortho-Clinical Diagnostics S.A. |
||||||||
| Term Loan, 5.76%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025 |
520 | 502,816 | ||||||
| Parexel International Corporation |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024 |
395 | 375,332 | ||||||
| Prospect Medical Holdings, Inc. |
||||||||
| Term Loan, 8.06%, (1 mo. USD LIBOR + 5.50%), Maturing February 22, 2024 |
174 | 172,819 | ||||||
| Select Medical Corporation |
||||||||
| Term Loan, 5.01%, (1 mo. USD LIBOR + 2.50%), Maturing March 6, 2025 |
246 | 243,783 | ||||||
| Surgery Center Holdings, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing September 2, 2024 |
148 | 144,422 | ||||||
| Syneos Health, Inc. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing August 1, 2024 |
57 | 56,417 | ||||||
| Tecomet, Inc. |
||||||||
| Term Loan, 6.02%, (1 mo. USD LIBOR + 3.50%), Maturing May 1, 2024 |
123 | 121,740 | ||||||
| U.S. Anesthesia Partners, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing June 23, 2024 |
222 | 219,870 | ||||||
| Verscend Holding Corp. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025 |
224 | 222,754 | ||||||
| Wink Holdco, Inc. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing December 2, 2024 |
322 | 311,159 | ||||||
|
|
|
|||||||
| $ | 7,844,007 | |||||||
|
|
|
|||||||
| Home Furnishings — 0.3% |
||||||||
| Serta Simmons Bedding, LLC |
||||||||
| Term Loan, 6.01%, (1 mo. USD LIBOR + 3.50%), Maturing November 8, 2023 |
784 | $ | 672,280 | |||||
|
|
|
|||||||
| $ | 672,280 | |||||||
|
|
|
|||||||
| Industrial Equipment — 1.4% |
||||||||
| AL Alpine AT Bidco GmbH |
||||||||
| Term Loan, 5.81%, (3 mo. USD LIBOR + 3.25%), Maturing October 31, 2025 |
25 | $ | 24,125 | |||||
10
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Altra Industrial Motion Corp. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025 |
98 | $ | 96,621 | |||||
| Apex Tool Group, LLC |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2022 |
366 | 352,828 | ||||||
| Clark Equipment Company |
||||||||
| Term Loan, 4.80%, (3 mo. USD LIBOR + 2.00%), Maturing May 18, 2024 |
253 | 249,005 | ||||||
| CPM Holdings, Inc. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing November 15, 2025 |
50 | 49,281 | ||||||
| DexKo Global, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing July 24, 2024 |
124 | 122,283 | ||||||
| EWT Holdings III Corp. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing December 20, 2024 |
757 | 747,053 | ||||||
| Filtration Group Corporation |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing March 29, 2025 |
248 | 246,471 | ||||||
| Gardner Denver, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing July 30, 2024 |
148 | 147,680 | ||||||
| Gates Global, LLC |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing April 1, 2024 |
367 | 360,382 | ||||||
| Hamilton Holdco, LLC |
||||||||
| Term Loan, 4.81%, (3 mo. USD LIBOR + 2.00%), Maturing July 2, 2025 |
124 | 123,284 | ||||||
| Paladin Brands Holding, Inc. |
||||||||
| Term Loan, 8.31%, (3 mo. USD LIBOR + 5.50%), Maturing August 15, 2022 |
189 | 187,256 | ||||||
| Pro Mach Group, Inc. |
||||||||
| Term Loan, 5.51%, (1 mo. USD LIBOR + 3.00%), Maturing March 7, 2025 |
25 | 23,986 | ||||||
| Robertshaw US Holding Corp. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing February 28, 2025 |
149 | 138,826 | ||||||
| Tank Holding Corp. |
||||||||
| Term Loan, 5.76%, (1 mo. USD LIBOR + 3.25%), Maturing March 17, 2022 |
131 | 129,012 | ||||||
| Titan Acquisition Limited |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing March 28, 2025 |
422 | 399,140 | ||||||
| Wittur GmbH |
||||||||
| Term Loan, 5.00%, (3 mo. EURIBOR + 4.00%, Floor 1.00%), Maturing March 31, 2022 |
EUR | 175 | 201,161 | |||||
|
|
|
|||||||
| $ | 3,598,394 | |||||||
|
|
|
|||||||
| Insurance — 1.1% |
||||||||
| Alliant Holdings I, Inc. |
||||||||
| Term Loan, 5.26%, (1 mo. USD LIBOR + 2.75%), Maturing May 9, 2025 |
245 | $ | 236,031 | |||||
| AmWINS Group, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing January 25, 2024 |
99 | 97,876 | ||||||
| Asurion, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022 |
839 | 827,769 | ||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023 |
415 | 409,190 | ||||||
| Term Loan - Second Lien, 9.00%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025 |
100 | 100,844 | ||||||
| Hub International Limited |
||||||||
| Term Loan, 5.51%, (USD LIBOR + 2.75%), Maturing April 25, 2025(3) |
721 | 697,028 | ||||||
| NFP Corp. |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing January 8, 2024 |
50 | 48,065 | ||||||
11
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Sedgwick Claims Management Services, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025 |
175 | $ | 171,062 | |||||
| USI, Inc. |
||||||||
| Term Loan, 5.80%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024 |
395 | 379,941 | ||||||
|
|
|
|||||||
| $ | 2,967,806 | |||||||
|
|
|
|||||||
| Leisure Goods/Activities/Movies — 1.0% |
||||||||
| Ancestry.com Operations, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing October 19, 2023 |
123 | $ | 120,948 | |||||
| Bombardier Recreational Products, Inc. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing May 23, 2025 |
809 | 795,765 | ||||||
| CDS U.S. Intermediate Holdings, Inc. |
||||||||
| Term Loan, 6.39%, (USD LIBOR + 3.75%), Maturing July 8, 2022(3) |
166 | 158,347 | ||||||
| ClubCorp Holdings, Inc. |
||||||||
| Term Loan, 5.55%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024 |
269 | 259,817 | ||||||
| Crown Finance US, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing February 28, 2025 |
298 | 291,423 | ||||||
| Delta 2 (LUX) S.a.r.l. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2024 |
110 | 106,012 | ||||||
| Emerald Expositions Holding, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024 |
166 | 162,026 | ||||||
| Lindblad Expeditions, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing March 21, 2025 |
78 | 76,834 | ||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing March 21, 2025 |
310 | 309,858 | ||||||
| SRAM, LLC |
||||||||
| Term Loan, 5.43%, (USD LIBOR + 2.75%), Maturing March 15, 2024(3) |
222 | 218,303 | ||||||
| Steinway Musical Instruments, Inc. |
||||||||
| Term Loan, 6.26%, (1 mo. USD LIBOR + 3.75%), Maturing February 13, 2025 |
124 | 121,581 | ||||||
| Travel Leaders Group, LLC |
||||||||
| Term Loan, 6.51%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024 |
124 | 123,831 | ||||||
|
|
|
|||||||
| $ | 2,744,745 | |||||||
|
|
|
|||||||
| Lodging and Casinos — 1.3% |
||||||||
| Aristocrat Technologies, Inc. |
||||||||
| Term Loan, 4.53%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024 |
93 | $ | 91,174 | |||||
| CityCenter Holdings, LLC |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing April 18, 2024 |
419 | 412,895 | ||||||
| Golden Nugget, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing October 4, 2023 |
117 | 115,526 | ||||||
| GVC Holdings PLC |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing March 29, 2024 |
149 | 147,572 | ||||||
| Hanjin International Corp. |
||||||||
| Term Loan, 5.01%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020 |
75 | 73,641 | ||||||
| Hilton Worldwide Finance, LLC |
||||||||
| Term Loan, 4.26%, (1 mo. USD LIBOR + 1.75%), Maturing October 25, 2023 |
669 | 662,203 | ||||||
| Las Vegas Sands, LLC |
||||||||
| Term Loan, 4.25%, (1 mo. USD LIBOR + 1.75%), Maturing March 27, 2025 |
149 | 146,509 | ||||||
| MGM Growth Properties Operating Partnership L.P. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing March 21, 2025 |
365 | 359,597 | ||||||
| Playa Resorts Holding B.V. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing April 29, 2024 |
370 | 357,666 | ||||||
12
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Stars Group Holdings B.V. (The) |
||||||||
| Term Loan, 6.30%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025 |
597 | $ | 592,672 | |||||
| VICI Properties 1, LLC |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing December 20, 2024 |
239 | 234,684 | ||||||
| Wyndham Hotels & Resorts, Inc. |
||||||||
| Term Loan, 4.25%, (1 mo. USD LIBOR + 1.75%), Maturing May 30, 2025 |
200 | 196,549 | ||||||
|
|
|
|||||||
| $ | 3,390,688 | |||||||
|
|
|
|||||||
| Nonferrous Metals/Minerals — 0.3% |
||||||||
| Global Brass & Copper, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing May 29, 2025 |
147 | $ | 145,338 | |||||
| Murray Energy Corporation |
||||||||
| Term Loan, 9.75%, (1 mo. USD LIBOR + 7.25%), Maturing October 17, 2022 |
351 | 297,552 | ||||||
| Noranda Aluminum Acquisition Corporation |
||||||||
| Term Loan, 0.00%, Maturing February 28, 2019(4)(5) |
75 | 5,806 | ||||||
| Oxbow Carbon, LLC |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing January 4, 2023 |
95 | 94,881 | ||||||
| Term Loan - Second Lien, 10.00%, (1 mo. USD LIBOR + 7.50%), Maturing January 4, 2024 |
125 | 125,313 | ||||||
|
|
|
|||||||
| $ | 668,890 | |||||||
|
|
|
|||||||
| Oil and Gas — 0.7% |
||||||||
| Ameriforge Group, Inc. |
||||||||
| Term Loan, 9.80%, (3 mo. USD LIBOR + 7.00%), Maturing June 8, 2022 |
77 | $ | 77,187 | |||||
| Apergy Corporation |
||||||||
| Term Loan, 5.16%, (USD LIBOR + 2.50%), Maturing May 9, 2025(3) |
45 | 43,714 | ||||||
| Fieldwood Energy, LLC |
||||||||
| Term Loan, 7.75%, (1 mo. USD LIBOR + 5.25%), Maturing April 11, 2022 |
196 | 181,931 | ||||||
| McDermott Technology Americas, Inc. |
||||||||
| Term Loan, 7.50%, (1 mo. USD LIBOR + 5.00%), Maturing May 10, 2025 |
174 | 167,174 | ||||||
| MEG Energy Corp. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing December 31, 2023 |
194 | 193,229 | ||||||
| PSC Industrial Holdings Corp. |
||||||||
| Term Loan, 6.26%, (1 mo. USD LIBOR + 3.75%), Maturing October 3, 2024 |
124 | 120,966 | ||||||
| Sheridan Investment Partners II L.P. |
||||||||
| Term Loan, 6.21%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020 |
27 | 23,019 | ||||||
| Term Loan, 6.21%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020 |
72 | 61,724 | ||||||
| Term Loan, 6.21%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020 |
520 | 443,711 | ||||||
| Sheridan Production Partners I, LLC |
||||||||
| Term Loan, 6.24%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019 |
17 | 14,368 | ||||||
| Term Loan, 6.24%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019 |
28 | 23,522 | ||||||
| Term Loan, 6.24%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019 |
208 | 177,516 | ||||||
| Ultra Resources, Inc. |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing April 12, 2024 |
250 | 224,375 | ||||||
|
|
|
|||||||
| $ | 1,752,436 | |||||||
|
|
|
|||||||
| Publishing — 0.5% |
||||||||
| Ascend Learning, LLC |
||||||||
| Term Loan, 5.50%, (1 mo. USD LIBOR + 3.00%), Maturing July 12, 2024 |
173 | $ | 169,572 | |||||
| Getty Images, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing October 18, 2019 |
529 | 526,970 | ||||||
| Harland Clarke Holdings Corp. |
||||||||
| Term Loan, 7.55%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023 |
187 | 174,343 | ||||||
13
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| LSC Communications, Inc. |
||||||||
| Term Loan, 8.00%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2022 |
159 | $ | 158,625 | |||||
| ProQuest, LLC |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing October 24, 2021 |
314 | 313,023 | ||||||
| Tweddle Group, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing September 17, 2023 |
46 | 43,274 | ||||||
|
|
|
|||||||
| $ | 1,385,807 | |||||||
|
|
|
|||||||
| Radio and Television — 0.6% |
||||||||
| CBS Radio, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing November 18, 2024 |
190 | $ | 184,889 | |||||
| Cumulus Media New Holdings, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing May 15, 2022 |
521 | 504,073 | ||||||
| Entravision Communications Corporation |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024 |
144 | 138,259 | ||||||
| Gray Television, Inc. |
||||||||
| Term Loan, 5.02%, (3 mo. USD LIBOR + 2.50%), Maturing January 2, 2026 |
100 | 98,625 | ||||||
| Hubbard Radio, LLC |
||||||||
| Term Loan, 6.02%, (1 mo. USD LIBOR + 3.50%), Maturing March 28, 2025 |
106 | 104,246 | ||||||
| iHeartCommunications, Inc. |
||||||||
| Term Loan, 0.00%, Maturing July 30, 2019(4) |
450 | 303,469 | ||||||
| Mission Broadcasting, Inc. |
||||||||
| Term Loan, 4.76%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024 |
48 | 46,673 | ||||||
| Nexstar Broadcasting, Inc. |
||||||||
| Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024 |
278 | 269,970 | ||||||
|
|
|
|||||||
| $ | 1,650,204 | |||||||
|
|
|
|||||||
| Retailers (Except Food and Drug) — 0.9% |
||||||||
| Ascena Retail Group, Inc. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing August 21, 2022 |
238 | $ | 219,659 | |||||
| Bass Pro Group, LLC |
||||||||
| Term Loan, 7.50%, (1 mo. USD LIBOR + 5.00%), Maturing September 25, 2024 |
247 | 244,653 | ||||||
| BJ’s Wholesale Club, Inc. |
||||||||
| Term Loan, 5.51%, (1 mo. USD LIBOR + 3.00%), Maturing February 3, 2024 |
162 | 160,613 | ||||||
| CDW, LLC |
||||||||
| Term Loan, 4.25%, (1 mo. USD LIBOR + 1.75%), Maturing August 17, 2023 |
354 | 352,548 | ||||||
| David’s Bridal, Inc. |
||||||||
| Term Loan, 10.29%, (3 mo. USD LIBOR + 7.50%), Maturing July 17, 2023 |
47 | 47,747 | ||||||
| Term Loan, 10.79%, (3 mo. USD LIBOR + 8.00%), Maturing January 18, 2026 |
180 | 156,282 | ||||||
| Evergreen Acqco 1 L.P. |
||||||||
| Term Loan, 6.53%, (USD LIBOR + 3.75%), Maturing July 9, 2019(3) |
359 | 341,634 | ||||||
| Global Appliance, Inc. |
||||||||
| Term Loan, 6.50%, (1 mo. USD LIBOR + 4.00%), Maturing September 29, 2024 |
143 | 141,316 | ||||||
| Hoya Midco, LLC |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing June 30, 2024 |
172 | 167,635 | ||||||
| J. Crew Group, Inc. |
||||||||
| Term Loan, 5.79%, (USD LIBOR + 3.00%), Maturing March 5, 2021(3)(5) |
522 | 350,080 | ||||||
| LSF9 Atlantis Holdings, LLC |
||||||||
| Term Loan, 8.51%, (1 mo. USD LIBOR + 6.00%), Maturing May 1, 2023 |
168 | 155,384 | ||||||
| Pier 1 Imports (U.S.), Inc. |
||||||||
| Term Loan, 6.38%, (3 mo. USD LIBOR + 3.50%), Maturing April 30, 2021 |
96 | 59,688 | ||||||
| Staples, Inc. |
||||||||
| Term Loan, 6.54%, (3 mo. USD LIBOR + 4.00%), Maturing September 12, 2024 |
99 | 97,886 | ||||||
|
|
|
|||||||
| $ | 2,495,125 | |||||||
|
|
|
|||||||
14
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Steel — 0.4% |
||||||||
| Atkore International, Inc. |
||||||||
| Term Loan, 5.56%, (3 mo. USD LIBOR + 2.75%), Maturing December 22, 2023 |
242 | $ | 236,863 | |||||
| GrafTech Finance, Inc. |
||||||||
| Term Loan, 6.00%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2025 |
366 | 359,674 | ||||||
| Neenah Foundry Company |
||||||||
| Term Loan, 9.13%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022 |
111 | 109,970 | ||||||
| Phoenix Services International, LLC |
||||||||
| Term Loan, 6.27%, (1 mo. USD LIBOR + 3.75%), Maturing March 1, 2025 |
124 | 122,977 | ||||||
| Zekelman Industries, Inc. |
||||||||
| Term Loan, 4.86%, (2 mo. USD LIBOR + 2.25%), Maturing June 14, 2021 |
147 | 144,987 | ||||||
|
|
|
|||||||
| $ | 974,471 | |||||||
|
|
|
|||||||
| Surface Transport — 0.2% |
||||||||
| PODS, LLC |
||||||||
| Term Loan, 5.26%, (1 mo. USD LIBOR + 2.75%), Maturing December 6, 2024 |
99 | $ | 96,734 | |||||
| Stena International S.a.r.l. |
||||||||
| Term Loan, 5.81%, (3 mo. USD LIBOR + 3.00%), Maturing March 3, 2021 |
262 | 256,371 | ||||||
| XPO Logistics, Inc. |
||||||||
| Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing February 24, 2025 |
100 | 98,641 | ||||||
|
|
|
|||||||
| $ | 451,746 | |||||||
|
|
|
|||||||
| Telecommunications — 1.4% |
||||||||
| CenturyLink, Inc. |
||||||||
| Term Loan, 5.25%, (1 mo. USD LIBOR + 2.75%), Maturing January 31, 2025 |
817 | $ | 782,379 | |||||
| Digicel International Finance Limited |
||||||||
| Term Loan, 5.96%, (3 mo. USD LIBOR + 3.25%), Maturing May 28, 2024 |
123 | 113,563 | ||||||
| Frontier Communications Corp. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing June 15, 2024 |
246 | 236,195 | ||||||
| Global Eagle Entertainment, Inc. |
||||||||
| Term Loan, 10.35%, (6 mo. USD LIBOR + 7.50%), Maturing January 6, 2023 |
215 | 217,308 | ||||||
| Intelsat Jackson Holdings S.A. |
||||||||
| Term Loan, 7.00%, (1 mo. USD LIBOR + 4.50%), Maturing January 2, 2024 |
250 | 253,229 | ||||||
| IPC Corp. |
||||||||
| Term Loan, 7.25%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021 |
181 | 150,484 | ||||||
| Onvoy, LLC |
||||||||
| Term Loan, 7.30%, (3 mo. USD LIBOR + 4.50%), Maturing February 10, 2024 |
123 | 109,610 | ||||||
| Plantronics, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing July 2, 2025 |
192 | 186,706 | ||||||
| Sprint Communications, Inc. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024 |
614 | 600,998 | ||||||
| Syniverse Holdings, Inc. |
||||||||
| Term Loan, 7.51%, (1 mo. USD LIBOR + 5.00%), Maturing March 9, 2023 |
149 | 135,662 | ||||||
| Telesat Canada |
||||||||
| Term Loan, 5.31%, (3 mo. USD LIBOR + 2.50%), Maturing November 17, 2023 |
842 | 828,410 | ||||||
|
|
|
|||||||
| $ | 3,614,544 | |||||||
|
|
|
|||||||
| Utilities — 0.7% |
||||||||
| Brookfield WEC Holdings, Inc. |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing August 1, 2025 |
325 | $ | 323,984 | |||||
| Calpine Construction Finance Company L.P. |
||||||||
| Term Loan, 5.00%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2025 |
167 | 164,304 | ||||||
15
| Borrower/Tranche Description | Principal Amount* (000’s omitted) |
Value | ||||||
| Calpine Corporation |
||||||||
| Term Loan, 5.31%, (3 mo. USD LIBOR + 2.50%), Maturing January 15, 2024 |
422 | $ | 415,764 | |||||
| Granite Acquisition, Inc. |
||||||||
| Term Loan, 6.30%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021 |
21 | 21,068 | ||||||
| Term Loan, 6.30%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021 |
462 | 461,768 | ||||||
| Lightstone Holdco, LLC |
||||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024 |
7 | 6,841 | ||||||
| Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024 |
129 | 124,089 | ||||||
| USIC Holdings, Inc. |
||||||||
| Term Loan, 5.75%, (1 mo. USD LIBOR + 3.25%), Maturing December 8, 2023 |
174 | 168,177 | ||||||
| Vistra Energy Corp. |
||||||||
| Term Loan, 4.51%, (1 mo. USD LIBOR + 2.00%), Maturing December 31, 2025 |
149 | 146,750 | ||||||
|
|
|
|||||||
| $ | 1,832,745 | |||||||
|
|
|
|||||||
| Total Senior Floating-Rate Loans |
$ | 84,652,553 | ||||||
|
|
|
|||||||
| Corporate Bonds & Notes — 19.3% |
||||||||
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Aerospace and Defense — 0.8% |
||||||||
| Bombardier, Inc. |
||||||||
| 6.00%, 10/15/22(7) |
600 | $ | 581,250 | |||||
| TransDigm, Inc. |
||||||||
| 6.50%, 7/15/24 |
250 | 247,500 | ||||||
| 6.50%, 5/15/25 |
1,000 | 973,750 | ||||||
| 6.25%, 3/15/26(7)(8) |
168 | 170,940 | ||||||
|
|
|
|||||||
| $ | 1,973,440 | |||||||
|
|
|
|||||||
| Automotive — 0.4% |
||||||||
| Deck Chassis Acquisition, Inc. |
||||||||
| 10.00%, 6/15/23(7) |
1,000 | $ | 967,500 | |||||
|
|
|
|||||||
| $ | 967,500 | |||||||
|
|
|
|||||||
| Building and Development — 0.3% |
||||||||
| Builders FirstSource, Inc. |
||||||||
| 5.625%, 9/1/24(7) |
121 | $ | 115,858 | |||||
| Five Point Operating Co., L.P./Five Point Capital Corp. |
||||||||
| 7.875%, 11/15/25(7) |
84 | 80,850 | ||||||
| Reliance Intermediate Holdings, L.P. |
||||||||
| 6.50%, 4/1/23(7) |
675 | 696,937 | ||||||
|
|
|
|||||||
| $ | 893,645 | |||||||
|
|
|
|||||||
| Business Equipment and Services — 1.1% |
||||||||
| EIG Investors Corp. |
||||||||
| 10.875%, 2/1/24 |
960 | $ | 1,015,200 | |||||
| KAR Auction Services, Inc. |
||||||||
| 5.125%, 6/1/25(7) |
250 | 242,145 | ||||||
| Prime Security Services Borrower, LLC/Prime Finance, Inc. |
||||||||
| 9.25%, 5/15/23(7)(9) |
36 | 38,160 | ||||||
16
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| ServiceMaster Co., LLC (The) |
||||||||
| 7.45%, 8/15/27 |
1,000 | $ | 1,034,380 | |||||
| Solera, LLC/Solera Finance, Inc. |
||||||||
| 10.50%, 3/1/24(7) |
425 | 463,241 | ||||||
| West Corp. |
||||||||
| 8.50%, 10/15/25(7) |
168 | 140,910 | ||||||
|
|
|
|||||||
| $ | 2,934,036 | |||||||
|
|
|
|||||||
| Cable and Satellite Television — 1.2% |
||||||||
| Cablevision Systems Corp. |
||||||||
| 8.00%, 4/15/20 |
1,000 | $ | 1,042,500 | |||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. |
||||||||
| 5.50%, 5/1/26(7) |
1,000 | 1,000,000 | ||||||
| CSC Holdings, LLC |
||||||||
| 5.125%, 12/15/21(7) |
1,000 | 1,004,050 | ||||||
|
|
|
|||||||
| $ | 3,046,550 | |||||||
|
|
|
|||||||
| Chemicals and Plastics — 0.1% |
||||||||
| Chemours Co. (The) |
||||||||
| 5.375%, 5/15/27 |
365 | $ | 352,225 | |||||
|
|
|
|||||||
| $ | 352,225 | |||||||
|
|
|
|||||||
| Conglomerates — 0.2% |
||||||||
| TMS International Corp. |
||||||||
| 7.25%, 8/15/25(7) |
625 | $ | 589,062 | |||||
|
|
|
|||||||
| $ | 589,062 | |||||||
|
|
|
|||||||
| Containers and Glass Products — 1.0% |
||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
||||||||
| 7.25%, 5/15/24(7) |
741 | $ | 770,640 | |||||
| BWAY Holding Co. |
||||||||
| 5.50%, 4/15/24(7) |
655 | 642,313 | ||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC |
||||||||
| 7.00%, 7/15/24(7) |
1,254 | 1,284,566 | ||||||
|
|
|
|||||||
| $ | 2,697,519 | |||||||
|
|
|
|||||||
| Drugs — 0.6% |
||||||||
| Bausch Health Cos, Inc. |
||||||||
| 5.875%, 5/15/23(7) |
755 | $ | 742,444 | |||||
| 9.00%, 12/15/25(7) |
338 | 360,609 | ||||||
| Catalent Pharma Solutions, Inc. |
||||||||
| 4.875%, 1/15/26(7) |
400 | 390,000 | ||||||
|
|
|
|||||||
| $ | 1,493,053 | |||||||
|
|
|
|||||||
| Ecological Services and Equipment — 0.5% |
||||||||
| Covanta Holding Corp. |
||||||||
| 5.875%, 7/1/25 |
1,000 | $ | 983,750 | |||||
| GFL Environmental, Inc. |
||||||||
| 5.375%, 3/1/23(7) |
152 | 142,880 | ||||||
| Hulk Finance Corp. |
||||||||
| 7.00%, 6/1/26(7) |
160 | 148,432 | ||||||
| Waste Pro USA, Inc. |
||||||||
| 5.50%, 2/15/26(7) |
137 | 133,815 | ||||||
|
|
|
|||||||
| $ | 1,408,877 | |||||||
|
|
|
|||||||
17
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Electronics/Electrical — 0.7% |
||||||||
| Energizer Holdings, Inc. |
||||||||
| 7.75%, 1/15/27(7) |
700 | $ | 722,995 | |||||
| Infor (US), Inc. |
||||||||
| 6.50%, 5/15/22 |
1,000 | 1,021,250 | ||||||
|
|
|
|||||||
| $ | 1,744,245 | |||||||
|
|
|
|||||||
| Energy — 0.0%(10) |
||||||||
| Sunoco, L.P./Sunoco Finance Corp. |
||||||||
| 4.875%, 1/15/23 |
75 | $ | 74,062 | |||||
| 5.50%, 2/15/26 |
32 | 31,680 | ||||||
|
|
|
|||||||
| $ | 105,742 | |||||||
|
|
|
|||||||
| Financial Intermediaries — 0.3% |
||||||||
| Icahn Enterprises, L.P./Icahn Enterprises Finance Corp. |
||||||||
| 6.25%, 2/1/22 |
645 | $ | 663,544 | |||||
|
|
|
|||||||
| $ | 663,544 | |||||||
|
|
|
|||||||
| Financial Services — 0.3% |
||||||||
| Debt and Asset Trading Corp. |
||||||||
| 1.00%, 10/10/25(11) |
1,060 | $ | 734,050 | |||||
|
|
|
|||||||
| $ | 734,050 | |||||||
|
|
|
|||||||
| Food Products — 0.1% |
||||||||
| Dole Food Co., Inc. |
||||||||
| 7.25%, 6/15/25(7) |
250 | $ | 228,750 | |||||
| Iceland Bondco PLC |
||||||||
| 5.178%, (3 mo. GBP LIBOR + 4.25%), 7/15/20(7)(12) |
GBP | 42 | 55,525 | |||||
| Post Holdings, Inc. |
||||||||
| 5.625%, 1/15/28(7) |
85 | 81,812 | ||||||
|
|
|
|||||||
| $ | 366,087 | |||||||
|
|
|
|||||||
| Health Care — 2.8% |
||||||||
| HCA Healthcare, Inc. |
||||||||
| 6.25%, 2/15/21 |
1,000 | $ | 1,045,000 | |||||
| HCA, Inc. |
||||||||
| 5.875%, 2/1/29 |
753 | 789,709 | ||||||
| Kinetic Concepts, Inc./KCI USA, Inc. |
||||||||
| 7.875%, 2/15/21(7) |
1,500 | 1,531,875 | ||||||
| 12.50%, 11/1/21(7) |
525 | 569,625 | ||||||
| MPH Acquisition Holdings, LLC |
||||||||
| 7.125%, 6/1/24(7) |
1,000 | 995,500 | ||||||
| Polaris Intermediate Corp. |
||||||||
| 8.50%, (8.50% Cash or 9.25% PIK), 12/1/22(7)(13) |
1,000 | 963,750 | ||||||
| Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. |
||||||||
| 7.50%, 10/1/24(7) |
600 | 635,250 | ||||||
| WellCare Health Plans, Inc. |
||||||||
| 5.25%, 4/1/25 |
750 | 767,812 | ||||||
|
|
|
|||||||
| $ | 7,298,521 | |||||||
|
|
|
|||||||
| Industrial Equipment — 0.0%(10) |
||||||||
| CFX Escrow Corp. |
||||||||
| 6.00%, 2/15/24(7)(8) |
36 | $ | 36,000 | |||||
| 6.375%, 2/15/26(7)(8) |
59 | 59,560 | ||||||
18
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Titan Acquisition, Ltd./Titan Co-Borrower, LLC |
||||||||
| 7.75%, 4/15/26(7) |
32 | $ | 28,080 | |||||
|
|
|
|||||||
| $ | 123,640 | |||||||
|
|
|
|||||||
| Insurance — 0.5% |
||||||||
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer |
||||||||
| 8.25%, 8/1/23(7) |
1,000 | $ | 1,020,000 | |||||
| Ardonagh Midco 3 PLC |
||||||||
| 8.625%, 7/15/23(7) |
200 | 174,000 | ||||||
|
|
|
|||||||
| $ | 1,194,000 | |||||||
|
|
|
|||||||
| Internet Software & Services — 0.4% |
||||||||
| Netflix, Inc. |
||||||||
| 5.875%, 11/15/28(7) |
230 | $ | 233,737 | |||||
| Riverbed Technology, Inc. |
||||||||
| 8.875%, 3/1/23(7) |
1,010 | 742,350 | ||||||
|
|
|
|||||||
| $ | 976,087 | |||||||
|
|
|
|||||||
| Leisure Goods/Activities/Movies — 0.8% |
||||||||
| AMC Entertainment Holdings, Inc. |
||||||||
| 6.125%, 5/15/27 |
2,000 | $ | 1,790,000 | |||||
| Viking Cruises, Ltd. |
||||||||
| 5.875%, 9/15/27(7) |
320 | 313,600 | ||||||
|
|
|
|||||||
| $ | 2,103,600 | |||||||
|
|
|
|||||||
| Lodging and Casinos — 1.8% |
||||||||
| Caesars Resort Collection, LLC/CRC Finco, Inc. |
||||||||
| 5.25%, 10/15/25(7) |
751 | $ | 702,035 | |||||
| Eldorado Resorts, Inc. |
||||||||
| 6.00%, 9/15/26(7) |
531 | 532,327 | ||||||
| Golden Nugget, Inc. |
||||||||
| 8.75%, 10/1/25(7) |
1,000 | 1,027,500 | ||||||
| Hilton Domestic Operating Co., Inc. |
||||||||
| 4.25%, 9/1/24 |
55 | 54,176 | ||||||
| Hilton Worldwide Finance, LLC / Hilton Worldwide Finance Corp. |
||||||||
| 4.625%, 4/1/25 |
1,000 | 992,500 | ||||||
| Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. |
||||||||
| 10.25%, 11/15/22(7) |
585 | 631,800 | ||||||
| MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc. |
||||||||
| 5.75%, 2/1/27(7) |
44 | 44,495 | ||||||
| Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC |
||||||||
| 7.00%, 7/15/26(7) |
500 | 508,900 | ||||||
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. |
||||||||
| 5.25%, 5/15/27(7) |
278 | 260,278 | ||||||
|
|
|
|||||||
| $ | 4,754,011 | |||||||
|
|
|
|||||||
| Metals/Mining — 0.4% |
||||||||
| Teck Resources, Ltd. |
||||||||
| 8.50%, 6/1/24(7) |
1,000 | $ | 1,079,990 | |||||
|
|
|
|||||||
| $ | 1,079,990 | |||||||
|
|
|
|||||||
| Nonferrous Metals/Minerals — 0.7% |
||||||||
| Eldorado Gold Corp. |
||||||||
| 6.125%, 12/15/20(7) |
1,000 | $ | 960,000 | |||||
19
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| First Quantum Minerals, Ltd. |
||||||||
| 7.25%, 4/1/23(7) |
834 | $ | 801,691 | |||||
| New Gold, Inc. |
||||||||
| 6.25%, 11/15/22(7) |
215 | 199,412 | ||||||
|
|
|
|||||||
| $ | 1,961,103 | |||||||
|
|
|
|||||||
| Oil and Gas — 1.9% |
||||||||
| Great Western Petroleum, LLC/Great Western Finance Corp. |
||||||||
| 9.00%, 9/30/21(7) |
1,000 | $ | 897,500 | |||||
| Hilcorp Energy I, L.P./Hilcorp Finance Co. |
||||||||
| 5.75%, 10/1/25(7) |
2 | 1,955 | ||||||
| 6.25%, 11/1/28(7) |
19 | 18,596 | ||||||
| Oasis Petroleum, Inc. |
||||||||
| 6.875%, 1/15/23 |
50 | 49,688 | ||||||
| Parsley Energy, LLC/Parsley Finance Corp. |
||||||||
| 6.25%, 6/1/24(7) |
1,000 | 1,027,368 | ||||||
| Petroleos Mexicanos |
||||||||
| 6.625%(11)(14) |
1,400 | 1,169,000 | ||||||
| Whiting Petroleum Corp. |
||||||||
| 6.25%, 4/1/23 |
8 | 7,940 | ||||||
| 6.625%, 1/15/26 |
1,000 | 985,000 | ||||||
| WildHorse Resource Development Corp. |
||||||||
| 6.875%, 2/1/25 |
890 | 905,397 | ||||||
|
|
|
|||||||
| $ | 5,062,444 | |||||||
|
|
|
|||||||
| Publishing — 0.4% |
||||||||
| Laureate Education, Inc. |
||||||||
| 8.25%, 5/1/25(7) |
975 | $ | 1,062,750 | |||||
|
|
|
|||||||
| $ | 1,062,750 | |||||||
|
|
|
|||||||
| Retailers (Except Food and Drug) — 0.1% |
||||||||
| Party City Holdings, Inc. |
||||||||
| 6.125%, 8/15/23(7) |
300 | $ | 304,500 | |||||
|
|
|
|||||||
| $ | 304,500 | |||||||
|
|
|
|||||||
| Surface Transport — 0.3% |
||||||||
| Park Aerospace Holdings, Ltd. |
||||||||
| 5.50%, 2/15/24(7) |
350 | $ | 356,563 | |||||
| XPO Logistics, Inc. |
||||||||
| 6.125%, 9/1/23(7) |
346 | 352,702 | ||||||
|
|
|
|||||||
| $ | 709,265 | |||||||
|
|
|
|||||||
| Technology — 0.4% |
||||||||
| Dell International, LLC/EMC Corp. |
||||||||
| 7.125%, 6/15/24(7) |
895 | $ | 944,572 | |||||
|
|
|
|||||||
| $ | 944,572 | |||||||
|
|
|
|||||||
| Telecommunications — 0.7% |
||||||||
| CenturyLink, Inc. |
||||||||
| 7.50%, 4/1/24 |
595 | $ | 604,669 | |||||
| Hughes Satellite Systems Corp. |
||||||||
| 6.625%, 8/1/26 |
470 | 453,550 | ||||||
20
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Sprint Capital Corp. |
||||||||
| 6.875%, 11/15/28 |
225 | $ | 224,156 | |||||
| Sprint Communications, Inc. |
||||||||
| 6.00%, 11/15/22 |
25 | 25,380 | ||||||
| Sprint Corp. |
||||||||
| 7.875%, 9/15/23 |
605 | 644,325 | ||||||
|
|
|
|||||||
| $ | 1,952,080 | |||||||
|
|
|
|||||||
| Utilities — 0.5% |
||||||||
| AES Corp. (The) |
||||||||
| 5.50%, 4/15/25 |
14 | $ | 14,525 | |||||
| Calpine Corp. |
||||||||
| 5.25%, 6/1/26(7) |
75 | 71,531 | ||||||
| Perusahaan Listrik Negara PT |
||||||||
| 5.25%, 10/24/42(11) |
1,000 | 960,000 | ||||||
| TerraForm Power Operating, LLC |
||||||||
| 4.25%, 1/31/23(7) |
45 | 44,213 | ||||||
| 5.00%, 1/31/28(7) |
70 | 65,275 | ||||||
|
|
|
|||||||
| $ | 1,155,544 | |||||||
|
|
|
|||||||
| Total Corporate Bonds & Notes |
$ | 50,651,682 | ||||||
|
|
|
|||||||
| Foreign Government Securities — 10.8% |
||||||||
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Albania — 0.6% |
||||||||
| Republic of Albania |
||||||||
| 3.50%, 10/9/25(11) |
EUR | 1,370 | $ | 1,585,805 | ||||
|
|
|
|||||||
| Total Albania |
$ | 1,585,805 | ||||||
|
|
|
|||||||
| Argentina — 0.1% |
||||||||
| Republic of Argentina |
||||||||
| 3.875%, 1/15/22(11) |
EUR | 175 | $ | 180,791 | ||||
|
|
|
|||||||
| Total Argentina |
$ | 180,791 | ||||||
|
|
|
|||||||
| Bahamas — 0.7% |
||||||||
| Commonwealth of Bahamas |
||||||||
| 5.75%, 1/16/24(11) |
1,800 | $ | 1,840,500 | |||||
|
|
|
|||||||
| Total Bahamas |
$ | 1,840,500 | ||||||
|
|
|
|||||||
| Bahrain — 1.5% |
||||||||
| Kingdom of Bahrain |
||||||||
| 6.125%, 8/1/23(11) |
460 | $ | 482,440 | |||||
| 6.75%, 9/20/29(11) |
483 | 490,665 | ||||||
| 7.00%, 1/26/26(11) |
235 | 249,363 | ||||||
| 7.00%, 10/12/28(11) |
865 | 897,213 | ||||||
| 7.50%, 9/20/47(11) |
1,867 | 1,868,146 | ||||||
|
|
|
|||||||
| Total Bahrain |
$ | 3,987,827 | ||||||
|
|
|
|||||||
21
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Barbados — 0.2% |
||||||||
| Government of Barbados |
||||||||
| 6.625%, 12/5/35(4)(11) |
855 | $ | 465,719 | |||||
| 7.25%, 12/15/21(4)(11) |
300 | 161,610 | ||||||
|
|
|
|||||||
| Total Barbados |
$ | 627,329 | ||||||
|
|
|
|||||||
| Dominican Republic — 0.5% |
||||||||
| Dominican Republic |
||||||||
| 8.625%, 4/20/27(11) |
1,129 | $ | 1,312,180 | |||||
|
|
|
|||||||
| Total Dominican Republic |
$ | 1,312,180 | ||||||
|
|
|
|||||||
| Ecuador — 0.4% |
||||||||
| Republic of Ecuador |
||||||||
| 9.65%, 12/13/26(11) |
1,100 | $ | 1,079,595 | |||||
|
|
|
|||||||
| Total Ecuador |
$ | 1,079,595 | ||||||
|
|
|
|||||||
| Egypt — 0.6% |
||||||||
| Arab Republic of Egypt |
||||||||
| 4.75%, 4/16/26(11) |
EUR | 512 | $ | 549,375 | ||||
| 8.50%, 1/31/47(11) |
1,100 | 1,061,941 | ||||||
|
|
|
|||||||
| Total Egypt |
$ | 1,611,316 | ||||||
|
|
|
|||||||
| El Salvador — 0.6% |
||||||||
| Republic of El Salvador |
||||||||
| 6.375%, 1/18/27(11) |
1,168 | $ | 1,118,360 | |||||
| 8.25%, 4/10/32(11) |
120 | 126,436 | ||||||
| 8.625%, 2/28/29(11) |
308 | 333,410 | ||||||
|
|
|
|||||||
| Total El Salvador |
$ | 1,578,206 | ||||||
|
|
|
|||||||
| Fiji — 0.3% |
||||||||
| Republic of Fiji |
||||||||
| 6.625%, 10/2/20(11) |
929 | $ | 926,989 | |||||
|
|
|
|||||||
| Total Fiji |
$ | 926,989 | ||||||
|
|
|
|||||||
| Honduras — 0.5% |
||||||||
| Republic of Honduras |
||||||||
| 6.25%, 1/19/27(11) |
1,245 | $ | 1,283,819 | |||||
|
|
|
|||||||
| Total Honduras |
$ | 1,283,819 | ||||||
|
|
|
|||||||
| Ivory Coast — 0.1% |
||||||||
| Ivory Coast |
||||||||
| 5.125%, 6/15/25(11) |
EUR | 185 | $ | 209,845 | ||||
|
|
|
|||||||
| Total Ivory Coast |
$ | 209,845 | ||||||
|
|
|
|||||||
| Kenya — 0.4% |
||||||||
| Republic of Kenya |
||||||||
| 7.25%, 2/28/28(11) |
1,000 | $ | 978,383 | |||||
|
|
|
|||||||
| Total Kenya |
$ | 978,383 | ||||||
|
|
|
|||||||
| Macedonia — 0.4% |
||||||||
| Republic of Macedonia |
||||||||
| 2.75%, 1/18/25(11) |
EUR | 100 | $ | 115,509 | ||||
| 3.975%, 7/24/21(11) |
EUR | 264 | 319,814 | |||||
| 4.875%, 12/1/20(11) |
EUR | 425 | 522,079 | |||||
|
|
|
|||||||
| Total Macedonia |
$ | 957,402 | ||||||
|
|
|
|||||||
| Mongolia — 0.4% |
||||||||
| Development Bank of Mongolia, LLC |
||||||||
| 7.25%, 10/23/23(11) |
200 | $ | 200,400 | |||||
22
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Mongolia International Bond |
||||||||
| 5.125%, 12/5/22(11) |
476 | $ | 465,249 | |||||
| 5.625%, 5/1/23(11) |
304 | 299,416 | ||||||
|
|
|
|||||||
| Total Mongolia |
$ | 965,065 | ||||||
|
|
|
|||||||
| Nigeria — 0.1% |
||||||||
| Republic of Nigeria |
||||||||
| 6.75%, 1/28/21(11) |
200 | $ | 206,436 | |||||
|
|
|
|||||||
| Total Nigeria |
$ | 206,436 | ||||||
|
|
|
|||||||
| Poland — 0.1% |
||||||||
| Republic of Poland |
||||||||
| 4.00%, 1/22/24 |
350 | $ | 362,920 | |||||
|
|
|
|||||||
| Total Poland |
$ | 362,920 | ||||||
|
|
|
|||||||
| Rwanda — 0.6% |
||||||||
| Republic of Rwanda |
||||||||
| 6.625%, 5/2/23(11) |
1,550 | $ | 1,568,133 | |||||
|
|
|
|||||||
| Total Rwanda |
$ | 1,568,133 | ||||||
|
|
|
|||||||
| Senegal — 0.1% |
||||||||
| Republic of Senegal |
||||||||
| 4.75%, 3/13/28(11) |
EUR | 135 | $ | 148,499 | ||||
|
|
|
|||||||
| Total Senegal |
$ | 148,499 | ||||||
|
|
|
|||||||
| Seychelles — 0.4% |
||||||||
| Republic of Seychelles |
||||||||
| 8.00%, 1/1/26(11) |
973 | $ | 990,719 | |||||
|
|
|
|||||||
| Total Seychelles |
$ | 990,719 | ||||||
|
|
|
|||||||
| Sri Lanka — 0.7% |
||||||||
| Republic of Sri Lanka |
||||||||
| 6.125%, 6/3/25(11) |
800 | $ | 767,134 | |||||
| 6.85%, 11/3/25(11) |
1,000 | 988,918 | ||||||
|
|
|
|||||||
| Total Sri Lanka |
$ | 1,756,052 | ||||||
|
|
|
|||||||
| Tunisia — 0.3% |
||||||||
| Banque Centrale de Tunisie International Bond |
||||||||
| 5.625%, 2/17/24(11) |
EUR | 819 | $ | 872,970 | ||||
|
|
|
|||||||
| Total Tunisia |
$ | 872,970 | ||||||
|
|
|
|||||||
| Turkey — 0.4% |
||||||||
| Republic of Turkey |
||||||||
| 6.625%, 2/17/45 |
1,200 | $ | 1,141,500 | |||||
|
|
|
|||||||
| Total Turkey |
$ | 1,141,500 | ||||||
|
|
|
|||||||
| Ukraine — 0.8% |
||||||||
| Ukraine Government International Bond |
||||||||
| 7.75%, 9/1/20(11) |
$ | 360 | $ | 357,300 | ||||
| 9.75%, 11/1/28(11) |
1,893 | 1,883,535 | ||||||
|
|
|
|||||||
| Total Ukraine |
$ | 2,240,835 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities |
$ | 28,413,116 | ||||||
|
|
|
|||||||
23
| Sovereign Loans — 1.2% |
||||||||
| Borrower | Principal Amount (000’s omitted) |
Value | ||||||
| Barbados — 0.1% |
||||||||
| Government of Barbados |
||||||||
| Term Loan, 0.00%, Maturing December 20, 2019(4)(15) |
$ | 800 | $ | 276,840 | ||||
|
|
|
|||||||
| Total Barbados |
$ | 276,840 | ||||||
|
|
|
|||||||
| Kenya — 0.1% |
||||||||
| Government of Kenya |
||||||||
| Term Loan, 7.57%, (6 mo. USD LIBOR + 5.00%), Maturing April 18, 2019(12) |
$ | 100 | $ | 100,000 | ||||
|
|
|
|||||||
| Total Kenya |
$ | 100,000 | ||||||
|
|
|
|||||||
| Nigeria — 0.3% |
||||||||
| Bank of Industry Limited |
||||||||
| Term Loan, 8.74%, (3 mo. USD LIBOR + 6.00%), Maturing May 21, 2021(12) |
$ | 720 | $ | 725,523 | ||||
|
|
|
|||||||
| $ | 725,523 | |||||||
|
|
|
|||||||
| Tanzania — 0.7% |
||||||||
| Government of the United Republic of Tanzania |
||||||||
| Term Loan, 8.11%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(12) |
$ | 1,900 | $ | 1,903,527 | ||||
|
|
|
|||||||
| Total Tanzania |
$ | 1,903,527 | ||||||
|
|
|
|||||||
| Total Sovereign Loans |
$ | 3,005,890 | ||||||
|
|
|
|||||||
| Mortgage Pass-Throughs — 12.8% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp.: |
| |||||||
| 2.879%, (COF + 1.25%), with maturity at 2035(16) |
$ | 1,346 | $ | 1,363,625 | ||||
| 4.50%, with various maturities to 2048 |
669 | 685,482 | ||||||
| 6.00%, with maturity at 2029 |
1,028 | 1,125,803 | ||||||
| 6.15%, with maturity at 2027 |
309 | 333,956 | ||||||
| 6.50%, with maturity at 2032 |
1,043 | 1,153,781 | ||||||
| 7.00%, with maturity at 2036 |
1,172 | 1,314,898 | ||||||
| 7.50%, with maturity at 2024 |
441 | 466,383 | ||||||
| 8.50%, with maturity at 2031 |
561 | 631,939 | ||||||
| 9.00%, with maturity at 2031 |
63 | 71,538 | ||||||
| 9.50%, with maturity at 2022 |
7 | 7,282 | ||||||
|
|
|
|||||||
| $ | 7,154,687 | |||||||
|
|
|
|||||||
| Federal National Mortgage Association: |
| |||||||
| 4.067%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(16) |
$ | 363 | $ | 375,708 | ||||
| 5.00%, with various maturities to 2040 |
1,796 | 1,914,919 | ||||||
| 5.50%, with various maturities to 2033 |
1,307 | 1,409,440 | ||||||
| 6.00%, with maturity at 2023 |
586 | 616,385 | ||||||
| 6.323%, (COF + 2.00%), with maturity at 2032(16) |
475 | 507,314 | ||||||
| 6.50%, with various maturities to 2036 |
2,474 | 2,740,002 | ||||||
| 7.00%, with various maturities to 2037 |
1,210 | 1,340,115 | ||||||
| 7.50%, with maturity at 2035 |
1,831 | 2,041,004 | ||||||
24
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| 8.00%, with various maturities to 2034 |
$ | 394 | $ | 438,020 | ||||
| 10.00%, with various maturities to 2031 |
31 | 33,398 | ||||||
|
|
|
|||||||
| $ | 11,416,305 | |||||||
|
|
|
|||||||
| Government National Mortgage Association: |
||||||||
| 4.50%, with maturity at 2047 |
$ | 2,418 | $ | 2,521,612 | ||||
| 5.00%, with various maturities to 2048 |
9,943 | 10,408,157 | ||||||
| 7.50%, with maturity at 2025 |
669 | 714,084 | ||||||
| 8.00%, with maturity at 2034 |
1,078 | 1,209,697 | ||||||
| 9.50%, with maturity at 2025 |
25 | 26,097 | ||||||
|
|
|
|||||||
| $ | 14,879,647 | |||||||
|
|
|
|||||||
| Total Mortgage Pass-Throughs |
$ | 33,450,639 | ||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 26.2% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp.: |
| |||||||
| Series 2113, Class QG, 6.00%, 1/15/29 |
$ | 500 | $ | 544,688 | ||||
| Series 2167, Class BZ, 7.00%, 6/15/29 |
449 | 496,415 | ||||||
| Series 2182, Class ZB, 8.00%, 9/15/29 |
773 | 873,769 | ||||||
| Series 4273, Class PU, 4.00%, 11/15/43 |
420 | 429,248 | ||||||
| Series 4337, Class YT, 3.50%, 4/15/49 |
1,742 | 1,739,818 | ||||||
| Series 4416, Class SU, 3.56%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(17) |
519 | 480,737 | ||||||
| Series 4452, Class ZJ, 3.00%, 11/15/44 |
1,103 | 1,013,254 | ||||||
| Series 4584, Class PM, 3.00%, 5/15/46 |
1,034 | 1,025,234 | ||||||
| Series 4608, Class TV, 3.50%, 1/15/55 |
1,652 | 1,637,089 | ||||||
| Series 4630, Class CZ, 3.00%, 12/15/43 |
951 | 929,654 | ||||||
| Series 4677, Class SB, 5.921%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(17) |
744 | 776,416 | ||||||
| Series 4746, Class CZ, 4.00%, 11/15/47 |
1,053 | 1,043,143 | ||||||
| Series 4751, Class ZC, 4.00%, 11/15/47 |
756 | 752,329 | ||||||
| Series 4774, Class QD, 4.50%, 1/15/43 |
2,630 | 2,724,347 | ||||||
| Series 4776, Class C, 4.50%, 3/15/43 |
3,433 | 3,556,907 | ||||||
| Series 4858, Class LA, 4.50%, 8/15/43 |
3,469 | 3,621,720 | ||||||
| Interest Only:(18) |
| |||||||
| Series 2631, Class DS, 4.591%, (7.10% - 1 mo. USD LIBOR), 6/15/33(17) |
988 | 134,918 | ||||||
| Series 2770, Class SH, 4.591%, (7.10% - 1 mo. USD LIBOR), 3/15/34(17) |
1,313 | 234,871 | ||||||
| Series 2981, Class CS, 4.211%, (6.72% - 1 mo. USD LIBOR), 5/15/35(17) |
742 | 102,346 | ||||||
| Series 3114, Class TS, 4.141%, (6.65% - 1 mo. USD LIBOR), 9/15/30(17) |
1,819 | 205,977 | ||||||
| Series 3339, Class JI, 4.081%, (6.59% - 1 mo. USD LIBOR), 7/15/37(17) |
2,163 | 348,636 | ||||||
| Series 4109, Class ES, 3.641%, (6.15% - 1 mo. USD LIBOR), 12/15/41(17) |
34 | 5,697 | ||||||
| Series 4121, Class IM, 4.00%, 10/15/39 |
2,868 | 245,614 | ||||||
| Series 4163, Class GS, 3.691%, (6.20% - 1 mo. USD LIBOR), 11/15/32(17) |
3,702 | 600,867 | ||||||
| Series 4169, Class AS, 3.741%, (6.25% - 1 mo. USD LIBOR), 2/15/33(17) |
2,060 | 282,057 | ||||||
| Series 4180, Class GI, 3.50%, 8/15/26 |
1,597 | 110,830 | ||||||
| Series 4203, Class QS, 3.741%, (6.25% - 1 mo. USD LIBOR), 5/15/43(17) |
2,291 | 288,839 | ||||||
| Series 4212, Class SA, 3.691%, (6.20% - 1 mo. USD LIBOR), 7/15/38(17) |
2,709 | 131,871 | ||||||
| Series 4332, Class KI, 4.00%, 9/15/43 |
975 | 155,636 | ||||||
25
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Series 4370, Class IO, 3.50%, 9/15/41 |
$ | 1,400 | $ | 197,419 | ||||
| Series 4497, Class CS, 3.691%, (6.20% - 1 mo. USD LIBOR), 9/15/44(17) |
3,246 | 613,941 | ||||||
| Series 4507, Class EI, 4.00%, 8/15/44 |
3,337 | 597,780 | ||||||
| Series 4535, Class JS, 3.591%, (6.10% - 1 mo. USD LIBOR), 11/15/43(17) |
3,848 | 559,363 | ||||||
| Series 4548, Class JS, 3.591%, (6.10% - 1 mo. USD LIBOR), 9/15/43(17) |
4,117 | 645,705 | ||||||
| Series 4629, Class QI, 3.50%, 11/15/46 |
3,490 | 569,187 | ||||||
| Series 4644, Class TI, 3.50%, 1/15/45 |
2,770 | 469,559 | ||||||
| Series 4653, Class PI, 3.50%, 7/15/44 |
2,782 | 367,037 | ||||||
| Series 4667, Class PI, 3.50%, 5/15/42 |
4,282 | 565,148 | ||||||
| Series 4676, Class DI, 4.00%, 7/15/44 |
5,193 | 727,654 | ||||||
| Series 4744, Class IO, 4.00%, 11/15/47 |
2,787 | 555,108 | ||||||
| Series 4749, Class IL, 4.00%, 12/15/47 |
2,263 | 491,875 | ||||||
| Series 4767, Class IM, 4.00%, 5/15/45 |
2,755 | 403,667 | ||||||
| Series 4768, Class IO, 4.00%, 3/15/48 |
2,773 | 605,564 | ||||||
| Series 4772, Class PI, 4.00%, 1/15/48 |
1,913 | 430,570 | ||||||
| Principal Only:(19) |
||||||||
| Series 3309, Class DO, 0.00%, 4/15/37 |
1,186 | 1,020,316 | ||||||
| Series 4478, Class PO, 0.00%, 5/15/45 |
699 | 576,441 | ||||||
|
|
|
|||||||
| $ | 33,889,261 | |||||||
|
|
|
|||||||
| Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: |
||||||||
| Series 2017-DNA2, Class M2, 5.96%, (1 mo. USD LIBOR + 3.45%), 10/25/29(12) |
$ | 2,000 | $ | 2,158,119 | ||||
|
|
|
|||||||
| $ | 2,158,119 | |||||||
|
|
|
|||||||
| Federal National Mortgage Association: |
||||||||
| Series G-33, Class PT, 7.00%, 10/25/21 |
$ | 30 | $ | 31,078 | ||||
| Series 1989-89, Class H, 9.00%, 11/25/19 |
2 | 1,661 | ||||||
| Series 1991-122, Class N, 7.50%, 9/25/21 |
27 | 27,808 | ||||||
| Series 1994-42, Class K, 6.50%, 4/25/24 |
169 | 179,468 | ||||||
| Series 1997-38, Class N, 8.00%, 5/20/27 |
257 | 289,066 | ||||||
| Series 2007-74, Class AC, 5.00%, 8/25/37 |
1,298 | 1,386,020 | ||||||
| Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(17) |
368 | 397,668 | ||||||
| Series 2012-134, Class ZT, 2.00%, 12/25/42 |
1,322 | 1,121,290 | ||||||
| Series 2013-6, Class TA, 1.50%, 1/25/43 |
1,233 | 1,189,569 | ||||||
| Series 2013-52, Class MD, 1.25%, 6/25/43 |
1,382 | 1,259,303 | ||||||
| Series 2013-99, Class CF, 3.51%, (1 mo. USD LIBOR + 1.00%), 7/25/43(12) |
437 | 393,044 | ||||||
| Series 2015-74, Class SL, 0.875%, (2.349% - 1 mo. USD LIBOR x 0.587), 10/25/45(17) |
867 | 530,013 | ||||||
| Series 2017-15, Class LE, 3.00%, 6/25/46 |
1,546 | 1,539,963 | ||||||
| Series 2017-66, Class ZJ, 3.00%, 9/25/57 |
958 | 879,036 | ||||||
| Series 2017-96, Class Z, 3.00%, 12/25/57 |
963 | 926,123 | ||||||
| Series 2017-110, Class Z, 3.00%, 2/25/57 |
782 | 748,142 | ||||||
| Series 2018-18, Class QD, 4.50%, 5/25/45 |
2,010 | 2,093,442 | ||||||
| Series 2018-50, Class MZ, 4.50%, 7/25/48 |
1,281 | 1,293,012 | ||||||
| Interest Only:(18) |
||||||||
| Series 2004-46, Class SI, 3.49%, (6.00% - 1 mo. USD LIBOR), 5/25/34(17) |
1,178 | 137,327 | ||||||
| Series 2005-17, Class SA, 4.19%, (6.70% - 1 mo. USD LIBOR), 3/25/35(17) |
1,103 | 194,626 | ||||||
| Series 2006-42, Class PI, 4.08%, (6.59% - 1 mo. USD LIBOR), 6/25/36(17) |
1,675 | 269,740 | ||||||
| Series 2006-44, Class IS, 4.09%, (6.60% - 1 mo. USD LIBOR), 6/25/36(17) |
1,389 | 229,151 | ||||||
| Series 2007-50, Class LS, 3.94%, (6.45% - 1 mo. USD LIBOR), 6/25/37(17) |
1,050 | 175,022 | ||||||
| Series | ||||||||