Eaton Vance Senior Floating Rate Trust

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21411

Investment Company Act File Number

Eaton Vance Senior Floating-Rate Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

July 31, 2016

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments


Eaton Vance

Senior Floating-Rate Trust

July 31, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 133.8%(1)

 

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

Aerospace and Defense — 2.3%

     

BE Aerospace, Inc.

     

Term Loan, 3.75%, Maturing December 16, 2021

     962       $ 971,854   

IAP Worldwide Services, Inc.

     

Revolving Loan, Maturing July 18, 2018(2)

     311         283,937   

Term Loan - Second Lien, 8.00%, Maturing July 18, 2019(3)

     422         337,629   

Silver II US Holdings, LLC

     

Term Loan, 4.00%, Maturing December 13, 2019

     1,967         1,831,390   

TransDigm, Inc.

     

Term Loan, 3.75%, Maturing February 28, 2020

     2,617         2,619,281   

Term Loan, 3.75%, Maturing June 4, 2021

     1,789         1,786,423   

Term Loan, 3.75%, Maturing June 9, 2023

     947         943,224   

Term Loan, 3.75%, Maturing June 9, 2023

     1,053         1,048,026   

Term Loan, 3.75%, Maturing June 9, 2023

     2,344         2,331,334   
     

 

 

 
      $ 12,153,098   
     

 

 

 

Air Transport — 0.4%

     

Virgin America, Inc.

     

Term Loan, 4.50%, Maturing April 4, 2019

     2,350       $ 2,356,345   
     

 

 

 
      $ 2,356,345   
     

 

 

 

Automotive — 2.7%

     

Allison Transmission, Inc.

     

Term Loan, 3.50%, Maturing August 23, 2019

     3       $ 2,550   

CS Intermediate Holdco 2, LLC

     

Term Loan, 4.00%, Maturing April 4, 2021

     1,134         1,138,007   

Dayco Products, LLC

     

Term Loan, 5.25%, Maturing December 12, 2019

     978         977,500   

FCA US, LLC

     

Term Loan, 3.50%, Maturing May 24, 2017

     1,668         1,672,479   

Term Loan, 3.25%, Maturing December 31, 2018

     1,209         1,210,860   

Federal-Mogul Holdings Corporation

     

Term Loan, 4.75%, Maturing April 15, 2021

     3,847         3,636,866   

Horizon Global Corporation

     

Term Loan, 7.00%, Maturing June 30, 2021

     451         452,378   

MPG Holdco I, Inc.

     

Term Loan, 3.75%, Maturing October 20, 2021

     2,091         2,093,239   

TI Group Automotive Systems, LLC

     

Term Loan, 4.50%, Maturing June 30, 2022

   EUR 794         885,473   

Term Loan, 4.50%, Maturing June 30, 2022

       1,191         1,196,211   

Tower Automotive Holdings USA, LLC

     

Term Loan, 4.00%, Maturing April 23, 2020

     642         639,819   

Visteon Corporation

     

Term Loan, 3.50%, Maturing April 9, 2021

     627         626,888   
     

 

 

 
      $ 14,532,270   
     

 

 

 

Beverage and Tobacco — 0.4%

     

Flavors Holdings, Inc.

     

Term Loan, 6.75%, Maturing April 3, 2020

     1,198       $ 1,063,179   

Term Loan - Second Lien, 11.00%, Maturing October 3, 2021

     1,000         825,000   
     

 

 

 
      $ 1,888,179   
     

 

 

 

 

1

 

 


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

Brokerage/Securities Dealers/Investment Houses — 0.9%

     

Aretec Group, Inc.

     

Term Loan, 8.00%, Maturing May 25, 2023

     1,020       $ 1,019,785   

Term Loan - Second Lien, 6.50%, (2.00% Cash, 4.50% PIK), Maturing May 23, 2021

     2,863         2,161,878   

Astro AB Borrower, Inc.

     

Term Loan, 5.50%, Maturing April 30, 2022

     735         731,701   

Term Loan - Second Lien, 9.75%, Maturing March 3, 2023

     275         264,000   

Salient Partners L.P.

     

Term Loan, 9.50%, Maturing May 19, 2021

     781         747,808   
     

 

 

 
      $ 4,925,172   
     

 

 

 

Building and Development — 3.1%

     

ABC Supply Co., Inc.

     

Term Loan, 3.50%, Maturing April 16, 2020

     915       $ 918,104   

Americold Realty Operating Partnership L.P.

  

Term Loan, 5.75%, Maturing December 1, 2022

     425         428,453   

Auction.com, LLC

  

Term Loan, 6.00%, Maturing May 12, 2019

     1,012         1,013,453   

CPG International, Inc.

  

Term Loan, 4.75%, Maturing September 30, 2020

     1,904         1,898,961   

DTZ U.S. Borrower, LLC

  

Term Loan, 4.25%, Maturing November 4, 2021

     3,571         3,556,749   

Gates Global, Inc.

  

Term Loan, 4.25%, Maturing July 6, 2021

     4,379         4,300,524   

Headwaters, Incorporated

  

Term Loan, 4.00%, Maturing March 24, 2022

     198         199,609   

Quikrete Holdings, Inc.

  

Term Loan, 4.00%, Maturing September 28, 2020

     1,047         1,050,637   

RE/MAX International, Inc.

  

Term Loan, 4.00%, Maturing July 31, 2020

     1,396         1,388,959   

Realogy Corporation

  

Term Loan, 3.75%, Maturing July 20, 2022

     573         576,258   

Summit Materials Companies I, LLC

  

Term Loan, 4.00%, Maturing July 17, 2022

     619         620,796   

WireCo WorldGroup, Inc.

  

Term Loan, 6.00%, Maturing February 15, 2017

     558         556,869   
     

 

 

 
      $ 16,509,372   
     

 

 

 

Business Equipment and Services — 9.7%

  

Acosta Holdco, Inc.

  

Term Loan, 4.25%, Maturing September 26, 2021

     2,992       $ 2,941,846   

AlixPartners, LLP

  

Term Loan, 4.50%, Maturing July 28, 2022

     1,593         1,596,970   

Altisource Solutions S.a.r.l.

  

Term Loan, 4.50%, Maturing December 9, 2020

     675         574,103   

Brickman Group Ltd., LLC

  

Term Loan, 4.00%, Maturing December 18, 2020

     804         803,075   

Brock Holdings III, Inc.

  

Term Loan, 6.00%, Maturing March 16, 2017

     1,022         986,463   

CCC Information Services, Inc.

  

Term Loan, 4.00%, Maturing December 20, 2019

     410         412,223   

Ceridian, LLC

  

Term Loan, 4.50%, Maturing September 15, 2020

     602         581,583   

Corporate Capital Trust, Inc.

     

Term Loan, 4.00%, Maturing May 20, 2019

     929         928,045   

CPM Holdings, Inc.

     

Term Loan, 6.00%, Maturing April 11, 2022

     272         272,676   

Crossmark Holdings, Inc.

     

Term Loan, 4.50%, Maturing December 20, 2019

     1,150         787,725   

 

2

 

 


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

Education Management, LLC

     

Term Loan, 5.50%, Maturing July 2, 2020

     266       $ 75,775   

Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020

     489         29,335   

EIG Investors Corp.

     

Term Loan, 6.48%, Maturing November 9, 2019

     4,519         4,269,989   

Emdeon Business Services, LLC

     

Term Loan, 3.75%, Maturing November 2, 2018

     1,393         1,396,692   

Extreme Reach, Inc.

     

Term Loan, 7.25%, Maturing February 7, 2020

     2,448         2,454,091   

Garda World Security Corporation

     

Term Loan, 4.75%, Maturing November 6, 2020

   CAD   2,780         2,038,557   

Global Payments, Inc.

     

Term Loan, 4.00%, Maturing April 22, 2023

     675         681,890   

IG Investment Holdings, LLC

     

Term Loan, 6.00%, Maturing October 29, 2021

     1,848         1,857,573   

IMS Health Incorporated

     

Term Loan, 3.50%, Maturing March 17, 2021

     1,923         1,926,813   

Information Resources, Inc.

     

Term Loan, 4.75%, Maturing September 30, 2020

     3,142         3,145,333   

ION Trading Finance Limited

     

Term Loan, 4.25%, Maturing June 10, 2021

     2,471         2,468,348   

Term Loan, 4.50%, Maturing June 10, 2021

   EUR 1,025         1,153,113   

J.D. Power and Associates

     

Term Loan, Maturing May 24, 2023(2)

     2,000         2,007,500   

KAR Auction Services, Inc.

     

Term Loan, 3.94%, Maturing March 11, 2021

     2,659         2,669,157   

Kronos Incorporated

     

Term Loan, 4.50%, Maturing October 30, 2019

     2,325         2,335,977   

Term Loan - Second Lien, 9.75%, Maturing April 30, 2020

     1,073         1,098,035   

MCS AMS Sub-Holdings, LLC

     

Term Loan, 7.50%, Maturing October 15, 2019

     873         786,443   

Monitronics International, Inc.

     

Term Loan, 4.25%, Maturing March 23, 2018

     527         523,390   

Term Loan, 4.50%, Maturing April 11, 2022

     667         637,122   

PGX Holdings, Inc.

     

Term Loan, 5.75%, Maturing September 29, 2020

     1,344         1,343,944   

Prime Security Services Borrower, LLC

     

Term Loan, 4.75%, Maturing May 2, 2022

     2,125         2,141,824   

Sensus USA, Inc.

     

Term Loan, 6.50%, Maturing March 16, 2023

     1,150         1,152,395   

ServiceMaster Company

     

Term Loan, 4.25%, Maturing July 1, 2021

     3,372         3,390,911   

TNS, Inc.

     

Term Loan, 5.00%, Maturing February 14, 2020

     578         580,641   

Travelport Finance (Luxembourg) S.a.r.l.

     

Term Loan, 5.00%, Maturing September 2, 2021

     1,182         1,186,754   

WASH Multifamily Laundry Systems, LLC

     

Term Loan, 4.25%, Maturing May 14, 2022

     253         251,474   
     

 

 

 
      $ 51,487,785   
     

 

 

 

Cable and Satellite Television — 3.3%

     

Altice US Finance I Corporation

     

Term Loan, 4.25%, Maturing December 14, 2022

     1,082       $ 1,086,025   

CSC Holdings, LLC

     

Term Loan, 3.50%, Maturing January 24, 2023

     2,070         2,082,194   

MCC Iowa, LLC

     

Term Loan, 3.75%, Maturing June 30, 2021

     858         858,969   

Neptune Finco Corp.

     

Term Loan, 5.00%, Maturing October 9, 2022

     3,890         3,925,748   

 

3

 

 


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

Numericable Group SA

     

Term Loan, 4.56%, Maturing July 31, 2022

     372       $ 372,343   

Term Loan, 4.00%, Maturing July 31, 2023

   EUR 695         782,954   

Numericable U.S., LLC

     

Term Loan, 5.00%, Maturing January 15, 2024

     823         824,995   

Telenet International Finance S.a.r.l.

     

Term Loan, 4.25%, Maturing June 30, 2024

     825         828,094   

Virgin Media Investment Holdings Limited

     

Term Loan, 3.65%, Maturing June 30, 2023

     2,629         2,621,673   

Term Loan, 4.25%, Maturing June 30, 2023

   GBP 1,475         1,957,580   

Ziggo B.V.

     

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 382         428,976   

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 593         665,890   

Term Loan, 3.75%, Maturing January 15, 2022

   EUR   1,074         1,205,272   
     

 

 

 
      $ 17,640,713   
     

 

 

 

Chemicals and Plastics — 7.1%

     

Allnex (Luxembourg) & Cy S.C.A.

     

Term Loan, 4.50%, Maturing October 3, 2019

     265       $ 265,332   

Allnex USA, Inc.

     

Term Loan, 4.50%, Maturing October 3, 2019

     138         137,668   

Aruba Investments, Inc.

     

Term Loan, 4.50%, Maturing February 2, 2022

     298         297,448   

Axalta Coating Systems US Holdings, Inc.

     

Term Loan, 3.75%, Maturing February 1, 2020

     3,358         3,372,429   

Chemours Company (The)

     

Term Loan, 3.75%, Maturing May 12, 2022

     480         467,514   

Emerald Performance Materials, LLC

     

Term Loan, 4.50%, Maturing August 1, 2021

     506         506,030   

Term Loan - Second Lien, 7.75%, Maturing August 1, 2022

     550         542,438   

Flint Group GmbH

     

Term Loan, 4.50%, Maturing September 7, 2021

     146         145,249   

Flint Group US, LLC

     

Term Loan, 4.50%, Maturing September 7, 2021

     885         877,532   

GCP Applied Technologies, Inc.

     

Term Loan, 5.25%, Maturing February 3, 2022

     549         551,540   

Gemini HDPE, LLC

     

Term Loan, 4.75%, Maturing August 7, 2021

     2,206         2,209,227   

Huntsman International, LLC

     

Term Loan, 3.75%, Maturing October 1, 2021

     983         982,114   

Term Loan, 4.25%, Maturing April 1, 2023

     524         526,633   

Ineos Finance PLC

     

Term Loan, 4.25%, Maturing March 31, 2022

   EUR 420         472,214   

Ineos Group Holdings S.A.

     

Term Loan, 4.00%, Maturing December 15, 2020

   EUR 983         1,105,308   

Ineos US Finance, LLC

     

Term Loan, 3.75%, Maturing May 4, 2018

     4,103         4,103,313   

Term Loan, 4.25%, Maturing March 31, 2022

     691         691,516   

Kraton Polymers, LLC

     

Term Loan, 6.00%, Maturing January 6, 2022

     1,550         1,543,219   

Kronos Worldwide, Inc.

     

Term Loan, 4.00%, Maturing February 18, 2020

     293         272,356   

MacDermid, Inc.

     

Term Loan, 5.50%, Maturing June 7, 2020

     546         546,159   

Term Loan, 5.50%, Maturing June 7, 2020

     591         590,050   

Term Loan, 5.50%, Maturing June 7, 2020

     1,292         1,292,676   

Minerals Technologies, Inc.

     

Term Loan, 3.75%, Maturing May 9, 2021

     1,138         1,142,958   

 

4

 

 


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

Orion Engineered Carbons GmbH

     

Term Loan, 4.75%, Maturing July 25, 2021

   EUR 848       $ 959,887   

Term Loan, 4.75%, Maturing July 25, 2021

     1,184         1,186,117   

OXEA Finance, LLC

     

Term Loan, 4.25%, Maturing January 15, 2020

     681         653,520   

PolyOne Corporation

     

Term Loan, 3.50%, Maturing November 11, 2022

     498         499,991   

PQ Corporation

     

Term Loan, 5.75%, Maturing November 4, 2022

     2,200         2,219,446   

Solenis International L.P.

     

Term Loan, 4.25%, Maturing July 31, 2021

     295         292,934   

Term Loan, 4.50%, Maturing July 31, 2021

   EUR 958         1,078,673   

Sonneborn Refined Products B.V.

     

Term Loan, 4.75%, Maturing December 10, 2020

     66         66,372   

Sonneborn, LLC

     

Term Loan, 4.75%, Maturing December 10, 2020

     375         376,111   

Trinseo Materials Operating S.C.A.

     

Term Loan, 4.25%, Maturing November 5, 2021

     322         322,715   

Tronox Pigments (Netherlands) B.V.

     

Term Loan, 4.50%, Maturing March 19, 2020

     2,929         2,878,061   

Univar, Inc.

     

Term Loan, 4.25%, Maturing July 1, 2022

     3,226         3,226,028   

Zep, Inc.

     

Term Loan, 5.50%, Maturing June 27, 2022

     1,337         1,342,347   
     

 

 

 
      $ 37,743,125   
     

 

 

 

Clothing/Textiles — 0.3%

     

Ascena Retail Group, Inc.

     

Term Loan, 5.25%, Maturing August 21, 2022

     1,617       $ 1,575,652   
     

 

 

 
      $ 1,575,652   
     

 

 

 

Conglomerates — 0.7%

     

Bestway UK Holdco Limited

     

Term Loan, 4.98%, Maturing October 6, 2021

   GBP  1,103       $ 1,458,759   

RGIS Services, LLC

     

Term Loan, 5.50%, Maturing October 18, 2017

     2,757         2,370,772   
     

 

 

 
      $ 3,829,531   
     

 

 

 

Containers and Glass Products — 2.8%

     

Berry Plastics Holding Corporation

     

Term Loan, 3.50%, Maturing February 8, 2020

     2,104       $ 2,112,422   

Term Loan, 3.50%, Maturing January 6, 2021

     612         614,004   

Term Loan, 3.75%, Maturing October 3, 2022

     1,015         1,019,909   

Hilex Poly Co., LLC

     

Term Loan, 6.00%, Maturing December 5, 2021

     1,477         1,491,814   

Horizon Holdings III SAS

     

Term Loan, 4.50%, Maturing August 1, 2022

   EUR 1,650         1,862,283   

Libbey Glass, Inc.

     

Term Loan, 3.75%, Maturing April 9, 2021

     383         383,148   

Pelican Products, Inc.

     

Term Loan, 5.25%, Maturing April 10, 2020

     360         355,028   

Reynolds Group Holdings, Inc.

     

Term Loan, 4.50%, Maturing December 1, 2018

     2,770         2,779,388   

Term Loan, Maturing February 1, 2023(2)

     400         401,073   

SIG Combibloc Purchase Co. S.a.r.l.

     

Term Loan, 4.25%, Maturing March 13, 2022

   EUR  1,975         2,231,116   

SIG Combibloc US Acquisition, Inc.

     

Term Loan, 4.25%, Maturing March 13, 2022

     1,210         1,214,116   

TricorBraun, Inc.

     

Term Loan, 4.00%, Maturing May 3, 2018

     572         573,889   
     

 

 

 
      $ 15,038,190   
     

 

 

 

 

5

 

 


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

Cosmetics/Toiletries — 1.6%

     

Coty, Inc.

     

Term Loan, 3.75%, Maturing October 27, 2022

     873       $ 876,085   

Galleria Co.

     

Term Loan, 3.75%, Maturing January 26, 2023

     1,725         1,734,703   

KIK Custom Products, Inc.

     

Term Loan, 6.00%, Maturing August 26, 2022

     1,563         1,558,628   

Revlon Consumer Products Corporation

     

Term Loan, 4.00%, Maturing October 8, 2019

     1,153         1,154,519   

Sun Products Corporation (The)

     

Term Loan, 5.50%, Maturing March 23, 2020

     3,101         3,111,389   
     

 

 

 
      $ 8,435,324   
     

 

 

 

Drugs — 3.7%

     

Alkermes, Inc.

     

Term Loan, 3.50%, Maturing September 25, 2019

     362       $ 362,294   

AMAG Pharmaceuticals, Inc.

     

Term Loan, 4.75%, Maturing August 13, 2021

     1,035         1,035,981   

Arbor Pharmaceuticals, Inc.

     

Term Loan, 6.00%, Maturing June 28, 2023

     1,400         1,386,000   

DPx Holdings B.V.

     

Term Loan, 4.25%, Maturing March 11, 2021

     2,599         2,588,878   

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

     

Term Loan, 3.75%, Maturing September 26, 2022

     2,612         2,589,254   

Horizon Pharma, Inc.

     

Term Loan, 4.50%, Maturing May 7, 2021

     1,213         1,197,591   

Mallinckrodt International Finance S.A.

     

Term Loan, 3.25%, Maturing March 19, 2021

     1,491         1,483,420   

Valeant Pharmaceuticals International, Inc.

     

Term Loan, 3.75%, Maturing October 20, 2018

     1,705         1,679,512   

Term Loan, 4.75%, Maturing December 11, 2019

     1,028         1,018,852   

Term Loan, 4.75%, Maturing August 5, 2020

     3,031         2,997,152   

Term Loan, 5.00%, Maturing April 1, 2022

     3,454         3,432,860   
     

 

 

 
      $ 19,771,794   
     

 

 

 

Ecological Services and Equipment — 1.0%

     

ADS Waste Holdings, Inc.

     

Term Loan, 3.75%, Maturing October 9, 2019

     3,703       $ 3,700,537   

EnergySolutions, LLC

     

Term Loan, 6.75%, Maturing May 29, 2020

     1,862         1,855,514   
     

 

 

 
      $ 5,556,051   
     

 

 

 

Electronics/Electrical — 15.1%

     

Answers Corporation

     

Term Loan, 6.25%, Maturing October 3, 2021(3)

     2,071       $ 1,042,526   

Avago Technologies Cayman Ltd.

     

Term Loan, 4.25%, Maturing February 1, 2023

     9,188         9,220,750   

Campaign Monitor Finance Pty. Limited

     

Term Loan, 6.25%, Maturing March 18, 2021

     704         680,922   

CommScope, Inc.

     

Term Loan, 3.75%, Maturing December 29, 2022

     918         923,083   

Cypress Semiconductor Corporation

     

Term Loan, 6.50%, Maturing June 3, 2021

     1,075         1,081,942   

Dell International, LLC

     

Term Loan, 4.00%, Maturing April 29, 2020

     5,807         5,812,679   

Deltek, Inc.

     

Term Loan, 5.00%, Maturing June 25, 2022

     293         294,609   

Term Loan - Second Lien, 9.50%, Maturing June 25, 2023

     400         406,500   

Entegris, Inc.

     

Term Loan, 3.50%, Maturing April 30, 2021

     309         309,882   

Excelitas Technologies Corp.

     

Term Loan, 6.00%, Maturing October 31, 2020

     818         769,809   

 

6

 

 


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

Eze Castle Software, Inc.

     

Term Loan, 4.00%, Maturing April 6, 2020

     1,485       $ 1,482,225   

Term Loan, 4.50%, Maturing April 6, 2020

     1,000         998,750   

Go Daddy Operating Company, LLC

     

Term Loan, 4.25%, Maturing May 13, 2021

     4,454         4,468,802   

Hyland Software, Inc.

     

Term Loan, 4.75%, Maturing July 1, 2022

     584         585,750   

Term Loan - Second Lien, 8.25%, Maturing July 1, 2023

     550         541,750   

Infor (US), Inc.

     

Term Loan, 3.75%, Maturing June 3, 2020

     5,057         5,009,416   

Informatica Corporation

     

Term Loan, 4.50%, Maturing August 5, 2022

     3,399         3,356,213   

Lattice Semiconductor Corporation

     

Term Loan, 5.25%, Maturing March 10, 2021

     565         554,146   

M/A-COM Technology Solutions Holdings, Inc.

     

Term Loan, 4.50%, Maturing May 7, 2021

     515         515,143   

MA FinanceCo., LLC

     

Term Loan, 4.50%, Maturing November 20, 2019

     963         966,109   

Term Loan, 5.25%, Maturing November 19, 2021

     1,943         1,952,183   

Magic Newco, LLC

     

Term Loan, 5.00%, Maturing December 12, 2018

     1,348         1,353,652   

MH Sub I, LLC

     

Term Loan, 4.75%, Maturing July 8, 2021

     1,228         1,226,231   

Microsemi Corporation

     

Term Loan, 3.75%, Maturing January 15, 2023

     620         624,887   

MTS Systems Corporation

     

Term Loan, 5.00%, Maturing July 5, 2023

     1,300         1,309,750   

NXP B.V.

     

Term Loan, 3.75%, Maturing December 7, 2020

     933         940,537   

ON Semiconductor Corporation

     

Term Loan, 5.25%, Maturing March 31, 2023

     1,100         1,113,750   

Renaissance Learning, Inc.

     

Term Loan, 4.50%, Maturing April 9, 2021

     2,165         2,153,581   

Term Loan - Second Lien, 8.00%, Maturing April 11, 2022

     225         218,813   

Rocket Software, Inc.

     

Term Loan, 5.75%, Maturing February 8, 2018

     1,182         1,184,681   

Term Loan - Second Lien, 10.25%, Maturing February 8, 2019

     1,750         1,748,542   

RP Crown Parent, LLC

     

Term Loan, 6.00%, Maturing December 21, 2018

     5,657         5,500,438   

SGS Cayman L.P.

     

Term Loan, 6.00%, Maturing April 23, 2021

     199         199,185   

SkillSoft Corporation

     

Term Loan, 5.75%, Maturing April 28, 2021

     3,538         2,914,730   

Smart Technologies ULC

     

Term Loan, 10.50%, Maturing January 31, 2018

     508         503,445   

SS&C Technologies, Inc.

     

Term Loan, 4.00%, Maturing July 8, 2022

     235         236,620   

Term Loan, 4.00%, Maturing July 8, 2022

     1,814         1,826,307   

SunEdison Semiconductor B.V.

     

Term Loan, 6.50%, Maturing May 27, 2019

     1,868         1,802,375   

SurveyMonkey, Inc.

     

Term Loan, 6.25%, Maturing February 5, 2019

     2,007         1,981,510   

Sutherland Global Services, Inc.

     

Term Loan, 6.00%, Maturing April 23, 2021

     857         855,684   

Sybil Software, LLC

     

Term Loan, 4.25%, Maturing March 20, 2020

     1,560         1,556,660   

Uber Technologies

     

Term Loan, 5.00%, Maturing July 13, 2023

     1,725         1,723,563   

Veritas US, Inc.

     

Term Loan, 6.63%, Maturing January 27, 2023

     2,222         2,084,412   

 

7

 

 


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

Vertafore, Inc.

     

Term Loan, 4.75%, Maturing June 30, 2023

     2,300       $ 2,308,009   

Wall Street Systems Delaware, Inc.

     

Term Loan, 4.25%, Maturing April 30, 2021

     1,147         1,147,728   

Western Digital Corporation

     

Term Loan, 6.25%, Maturing April 29, 2023

     1,225         1,239,394   

Zebra Technologies Corporation

     

Term Loan, 4.00%, Maturing October 27, 2021

     1,826         1,837,692   
     

 

 

 
      $ 80,565,365   
     

 

 

 

Financial Intermediaries — 4.0%

     

Armor Holding II, LLC

     

Term Loan, 5.75%, Maturing June 26, 2020

     1,967       $ 1,933,770   

Term Loan - Second Lien, 10.25%, Maturing December 26, 2020

     1,525         1,493,230   

Citco Funding, LLC

     

Term Loan, 4.25%, Maturing June 29, 2018

     1,978         1,976,937   

First Data Corporation

     

Term Loan, 4.24%, Maturing July 8, 2022

     2,625         2,637,306   

Grosvenor Capital Management Holdings, LLP

     

Term Loan, 3.75%, Maturing January 4, 2021

     1,095         1,089,652   

Guggenheim Partners, LLC

     

Term Loan, 4.25%, Maturing July 22, 2020

     1,317         1,320,663   

Harbourvest Partners, LLC

     

Term Loan, 3.25%, Maturing February 4, 2021

     694         686,610   

Medley, LLC

     

Term Loan, 6.50%, Maturing June 15, 2019

     497         507,764   

MIP Delaware, LLC

     

Term Loan, 4.00%, Maturing March 9, 2020

     437         437,010   

NXT Capital, Inc.

     

Term Loan, 6.25%, Maturing September 4, 2018

     122         122,326   

Term Loan, 6.25%, Maturing September 4, 2018

     666         667,267   

Term Loan, 6.25%, Maturing September 4, 2018

     729         730,287   

Ocwen Financial Corporation

     

Term Loan, 5.50%, Maturing February 15, 2018

     848         837,319   

Sesac Holdco II, LLC

     

Term Loan, 5.25%, Maturing February 8, 2019

     941         941,295   

Starwood Property Trust, Inc.

     

Term Loan, 3.50%, Maturing April 17, 2020

     266         266,340   

Walker & Dunlop, Inc.

     

Term Loan, 5.25%, Maturing December 11, 2020

     2,124         2,128,859   

Walter Investment Management Corp.

     

Term Loan, 4.75%, Maturing December 19, 2020

     4,611         3,796,338   
     

 

 

 
      $ 21,572,973   
     

 

 

 

Food Products — 4.0%

     

AdvancePierre Foods, Inc.

     

Term Loan, 4.75%, Maturing June 2, 2023

     2,337       $ 2,349,091   

Blue Buffalo Company Ltd.

     

Term Loan, 3.75%, Maturing August 8, 2019

     1,252         1,257,629   

Charger OpCo B.V.

     

Term Loan, 4.25%, Maturing July 2, 2022

   EUR 326         368,681   

Clearwater Seafoods Limited Partnership

     

Term Loan, 4.75%, Maturing June 26, 2019

     852         854,571   

Del Monte Foods, Inc.

     

Term Loan, 4.25%, Maturing February 18, 2021

     1,185         1,100,019   

Term Loan - Second Lien, 8.25%, Maturing August 18, 2021

     1,500         1,090,000   

Dole Food Company, Inc.

     

Term Loan, 4.50%, Maturing November 1, 2018

     2,261         2,264,996   

High Liner Foods Incorporated

     

Term Loan, 4.25%, Maturing April 24, 2021

     759         755,803   

 

8

 

 


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

JBS USA, LLC

     

Term Loan, 3.75%, Maturing May 25, 2018

     862       $ 863,660   

Term Loan, 3.75%, Maturing September 18, 2020

     1,532         1,536,474   

Term Loan, 4.00%, Maturing October 30, 2022

     672         672,255   

Maple Holdings Acquisition Corp.

     

Term Loan, 5.25%, Maturing March 3, 2023

     1,018         1,026,775   

NBTY, Inc.

     

Term Loan, 5.00%, Maturing May 5, 2023

     3,725         3,705,794   

Term Loan, 6.25%, Maturing May 5, 2023

   GBP   1,000         1,328,137   

Oak Tea, Inc.

     

Term Loan, 4.25%, Maturing July 2, 2022

     1,785         1,792,515   

Post Holdings, Inc.

     

Term Loan, 3.75%, Maturing June 2, 2021

     266         267,515   
     

 

 

 
      $ 21,233,915   
     

 

 

 

Food Service — 3.3%

     

1011778 B.C. Unlimited Liability Company

     

Term Loan, 3.75%, Maturing December 10, 2021

     4,664       $ 4,688,272   

Centerplate, Inc.

     

Term Loan, 4.75%, Maturing November 26, 2019

     1,000         971,652   

Landry’s, Inc.

     

Term Loan, 4.00%, Maturing April 24, 2018

     1,997         2,003,021   

Manitowoc Foodservice, Inc.

     

Term Loan, 5.75%, Maturing March 3, 2023

     1,608         1,631,494   

NPC International, Inc.

     

Term Loan, 4.75%, Maturing December 28, 2018

     1,623         1,627,483   

P.F. Chang’s China Bistro, Inc.

     

Term Loan, 4.53%, Maturing July 2, 2019

     400         382,771   

Seminole Hard Rock Entertainment, Inc.

     

Term Loan, 3.50%, Maturing May 14, 2020

     267         266,583   

Weight Watchers International, Inc.

     

Term Loan, 4.00%, Maturing April 2, 2020

     6,700         5,068,925   

Yum! Brands, Inc.

     

Term Loan, 3.23%, Maturing June 16, 2023

     975         980,180   
     

 

 

 
      $ 17,620,381   
     

 

 

 

Food/Drug Retailers — 2.6%

     

Albertsons, LLC

     

Term Loan, 4.50%, Maturing August 25, 2021

     1,341       $ 1,348,747   

Term Loan, 4.75%, Maturing June 22, 2023

     4,918         4,950,967   

Rite Aid Corporation

     

Term Loan - Second Lien, 5.75%, Maturing August 21, 2020

     1,450         1,457,552   

Term Loan - Second Lien, 4.88%, Maturing June 21, 2021

     1,500         1,505,859   

Supervalu, Inc.

     

Term Loan, 5.50%, Maturing March 21, 2019

     4,421         4,425,123   
     

 

 

 
      $ 13,688,248   
     

 

 

 

Health Care — 14.5%

     

Acadia Healthcare Company, Inc.

     

Term Loan, 3.75%, Maturing February 11, 2022

     246       $ 246,558   

ADMI Corp.

     

Term Loan, 5.25%, Maturing April 30, 2022

     322         323,761   

Akorn, Inc.

     

Term Loan, 5.25%, Maturing April 16, 2021

     836         841,143   

Albany Molecular Research, Inc.

     

Term Loan, 5.75%, Maturing July 16, 2021

     1,395         1,396,493   

Alere, Inc.

     

Term Loan, 4.50%, Maturing June 18, 2022

     1,591         1,574,727   

Alliance Healthcare Services, Inc.

     

Term Loan, 4.25%, Maturing June 3, 2019

     1,199         1,144,840   

Amneal Pharmaceuticals, LLC

     

Term Loan, 4.50%, Maturing November 1, 2019

     3,159         3,144,018   

 

9

 

 


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

AmSurg Corp.

     

Term Loan, 3.50%, Maturing July 16, 2021

     588       $ 589,287   

Ardent Legacy Acquisitions, Inc.

     

Term Loan, 6.50%, Maturing August 4, 2021

     1,036         1,039,536   

Auris Luxembourg III S.a.r.l.

     

Term Loan, 4.25%, Maturing January 15, 2022

     765         765,810   

BSN Medical, Inc.

     

Term Loan, 4.00%, Maturing August 28, 2019

     569         566,033   

CareCore National, LLC

     

Term Loan, 5.50%, Maturing March 5, 2021

     2,971         2,896,266   

CeramTec Acquisition Corporation

     

Term Loan, 4.25%, Maturing August 30, 2020

     33         32,583   

CHG Healthcare Services, Inc.

     

Term Loan, 4.75%, Maturing June 7, 2023

     1,945         1,956,675   

Community Health Systems, Inc.

     

Term Loan, 3.75%, Maturing December 31, 2019

     2,570         2,533,511   

Term Loan, 4.00%, Maturing January 27, 2021

     2,735         2,704,475   

Concentra, Inc.

     

Term Loan, 4.00%, Maturing June 1, 2022

     297         296,440   

Convatec, Inc.

     

Term Loan, 4.25%, Maturing June 15, 2020

     1,295         1,297,901   

CPI Buyer, LLC

     

Term Loan, 5.50%, Maturing August 18, 2021

     992         973,204   

DaVita HealthCare Partners, Inc.

     

Term Loan, 3.50%, Maturing June 24, 2021

     3,161         3,178,278   

DJO Finance, LLC

     

Term Loan, 4.25%, Maturing June 8, 2020

     2,129         2,085,930   

Envision Healthcare Corporation

     

Term Loan, 4.25%, Maturing May 25, 2018

     1,962         1,965,993   

Faenza Acquisition GmbH

     

Term Loan, 4.25%, Maturing August 30, 2020

     91         91,632   

Term Loan, 4.25%, Maturing August 30, 2020

     300         300,257   

Global Healthcare Exchange, LLC

     

Term Loan, 5.25%, Maturing August 15, 2022

     1,067         1,069,618   

Greatbatch Ltd.

     

Term Loan, 5.25%, Maturing October 27, 2022

     2,645         2,645,663   

Iasis Healthcare, LLC

     

Term Loan, 4.50%, Maturing May 3, 2018

     1,588         1,588,419   

Indivior Finance S.a.r.l.

     

Term Loan, 7.00%, Maturing December 19, 2019

     948         951,680   

inVentiv Health, Inc.

     

Term Loan, 7.75%, Maturing May 15, 2018

     2,378         2,374,569   

Term Loan, 7.75%, Maturing May 15, 2018

     3,007         3,019,145   

Jaguar Holding Company II

     

Term Loan, 4.25%, Maturing August 18, 2022

     5,705         5,710,823   

Kindred Healthcare, Inc.

     

Term Loan, 4.25%, Maturing April 9, 2021

     1,470         1,465,104   

Kinetic Concepts, Inc.

     

Term Loan, 5.00%, Maturing November 4, 2020

     5,906         5,924,265   

KUEHG Corp.

     

Term Loan, 6.00%, Maturing August 13, 2022

     1,117         1,112,375   

MMM Holdings, Inc.

     

Term Loan, 9.75%, Maturing December 12, 2017

     509         422,069   

MPH Acquisition Holdings, LLC

     

Term Loan, 5.00%, Maturing June 7, 2023

     2,400         2,424,751   

MSO of Puerto Rico, Inc.

     

Term Loan, 9.75%, Maturing December 12, 2017

     370         306,842   

National Mentor Holdings, Inc.

     

Term Loan, 4.25%, Maturing January 31, 2021

     1,013         1,017,304   

National Surgical Hospitals, Inc.

     

Term Loan, 4.50%, Maturing June 1, 2022

     997         994,364   

 

10

 

 


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

New Millennium Holdco, Inc.

     

Term Loan, 7.50%, Maturing December 21, 2020

     2,090       $ 1,483,684   

Onex Carestream Finance L.P.

     

Term Loan, 5.00%, Maturing June 7, 2019

     2,475         2,423,838   

Opal Acquisition, Inc.

     

Term Loan, 5.00%, Maturing November 27, 2020

     2,077         1,885,038   

Ortho-Clinical Diagnostics, Inc.

     

Term Loan, 4.75%, Maturing June 30, 2021

     2,861         2,778,724   

PRA Holdings, Inc.

     

Term Loan, 4.50%, Maturing September 23, 2020

     987         993,529   

RadNet, Inc.

     

Term Loan, 4.77%, Maturing July 1, 2023

     1,425         1,427,672   

Select Medical Corporation

     

Term Loan, 6.00%, Maturing June 1, 2018

     1,095         1,098,799   

Sterigenics-Nordion Holdings, LLC

     

Term Loan, 4.25%, Maturing May 15, 2022

     695         693,864   

Steward Health Care System, LLC

     

Term Loan, 6.75%, Maturing April 12, 2020

     340         336,105   

Tecomet, Inc.

     

Term Loan, 5.75%, Maturing December 5, 2021

     1,133         1,104,431   
     

 

 

 
      $ 77,198,026   
     

 

 

 

Home Furnishings — 0.3%

     

Serta Simmons Holdings, LLC

     

Term Loan, 4.25%, Maturing October 1, 2019

     1,461       $ 1,468,596   
     

 

 

 
      $ 1,468,596   
     

 

 

 

Industrial Equipment — 4.5%

     

Apex Tool Group, LLC

     

Term Loan, 4.50%, Maturing January 31, 2020

     2,492       $ 2,461,317   

Blount International, Inc.

     

Term Loan, 7.25%, Maturing April 12, 2023

     1,150         1,165,812   

Delachaux S.A.

     

Term Loan, 4.50%, Maturing October 28, 2021

     423         409,096   

Doosan Infracore International, Inc.

     

Term Loan, 4.50%, Maturing May 28, 2021

     892         894,076   

Filtration Group Corporation

     

Term Loan - Second Lien, 8.25%, Maturing November 21, 2021

     262         259,033   

Gardner Denver, Inc.

     

Term Loan, 4.25%, Maturing July 30, 2020

     3,174         3,026,572   

Term Loan, 4.75%, Maturing July 30, 2020

   EUR 389         417,506   

Husky Injection Molding Systems Ltd.

     

Term Loan, 4.25%, Maturing June 30, 2021

     2,737         2,731,638   

Term Loan - Second Lien, 7.25%, Maturing June 30, 2022

     430         424,085   

Milacron, LLC

     

Term Loan, 4.25%, Maturing September 28, 2020

     1,122         1,130,884   

Paladin Brands Holding, Inc.

     

Term Loan, 7.25%, Maturing August 16, 2019

     1,588         1,397,270   

Paternoster Holding IV GmbH

     

Term Loan, 6.63%, Maturing February 10, 2022

   EUR 900         987,873   

Rexnord, LLC

     

Term Loan, 4.00%, Maturing August 21, 2020

     4,272         4,269,527   

Signode Industrial Group US, Inc.

     

Term Loan, 3.75%, Maturing May 1, 2021

     870         868,913   

STS Operating, Inc.

     

Term Loan, 4.75%, Maturing February 12, 2021

     286         258,778   

Tank Holding Corp.

     

Term Loan, 5.25%, Maturing March 16, 2022

     736         705,563   

Terex Corporation

     

Term Loan, 3.50%, Maturing August 13, 2021

   EUR   1,547         1,728,306   

 

11

 

 


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

Unifrax Corporation

     

Term Loan, 4.25%, Maturing November 28, 2018

     265       $ 259,927   

VAT Lux III S.a.r.l.

     

Term Loan, 4.25%, Maturing February 11, 2021

     690         691,086   
     

 

 

 
      $ 24,087,262   
     

 

 

 

Insurance — 4.8%

     

Alliant Holdings I, Inc.

     

Term Loan, 4.50%, Maturing August 12, 2022

     1,881       $ 1,872,771   

Term Loan, Maturing August 12, 2022(2)

     500         501,250   

AmWINS Group, LLC

     

Term Loan, 4.75%, Maturing September 6, 2019

     4,662         4,692,660   

AssuredPartners, Inc.

     

Term Loan, 5.75%, Maturing October 21, 2022

     946         949,301   

Term Loan - Second Lien, 10.00%, Maturing October 20, 2023

     700         693,219   

Asurion, LLC

     

Term Loan, 5.00%, Maturing May 24, 2019

     1,889         1,891,691   

Term Loan, 5.00%, Maturing August 4, 2022

     4,992         5,007,224   

Term Loan - Second Lien, 8.50%, Maturing March 3, 2021

     2,300         2,282,750   

Cunningham Lindsey U.S., Inc.

     

Term Loan, 5.00%, Maturing December 10, 2019

     1,574         1,275,331   

Term Loan - Second Lien, 9.25%, Maturing June 10, 2020

     1,000         761,700   

Hub International Limited

     

Term Loan, 4.00%, Maturing October 2, 2020

     2,748         2,741,907   

USI, Inc.

     

Term Loan, 4.25%, Maturing December 27, 2019

     2,715         2,711,375   
     

 

 

 
      $ 25,381,179   
     

 

 

 

Leisure Goods/Activities/Movies — 6.0%

     

AMC Entertainment, Inc.

     

Term Loan, 4.00%, Maturing December 15, 2022

     2,159       $ 2,175,553   

Ancestry.com, Inc.

     

Term Loan, 5.00%, Maturing August 17, 2022

     2,014         2,021,323   

Bombardier Recreational Products, Inc.

     

Term Loan, 3.75%, Maturing June 30, 2023

     4,400         4,392,665   

Bright Horizons Family Solutions, Inc.

     

Term Loan, 3.75%, Maturing January 30, 2020

     869         872,571   

CDS U.S. Intermediate Holdings, Inc.

     

Term Loan, 5.00%, Maturing July 8, 2022

     422         416,276   

ClubCorp Club Operations, Inc.

     

Term Loan, 4.25%, Maturing December 15, 2022

     1,900         1,910,095   

Emerald Expositions Holding, Inc.

     

Term Loan, 4.75%, Maturing June 17, 2020

     882         883,782   

Fender Musical Instruments Corporation

     

Term Loan, 5.75%, Maturing April 3, 2019

     236         235,645   

Lindblad Expeditions, Inc.

     

Term Loan, 5.50%, Maturing May 8, 2021

     198         198,808   

Term Loan, 5.50%, Maturing May 8, 2021

     1,537         1,540,766   

Live Nation Entertainment, Inc.

     

Term Loan, 3.50%, Maturing August 16, 2020

     2,501         2,517,021   

LTF Merger Sub, Inc.

     

Term Loan, 4.25%, Maturing June 10, 2022

     1,337         1,336,667   

Match Group, Inc.

     

Term Loan, 5.50%, Maturing November 16, 2022

     561         566,932   

Nord Anglia Education Finance, LLC

     

Term Loan, 5.00%, Maturing March 31, 2021

     1,718         1,709,134   

Sabre, Inc.

     

Term Loan, 4.00%, Maturing February 19, 2019

     961         964,308   

SeaWorld Parks & Entertainment, Inc.

     

Term Loan, 3.00%, Maturing May 14, 2020

     2,729         2,674,990   

 

12

 

 


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

Sonifi Solutions, Inc.

     

Term Loan, 6.75%, Maturing March 28, 2018(3)

     1,078       $ 431,258   

SRAM, LLC

     

Term Loan, 4.02%, Maturing April 10, 2020

     1,648         1,483,404   

Steinway Musical Instruments, Inc.

     

Term Loan, 4.75%, Maturing September 19, 2019

     1,974         1,944,510   

WMG Acquisition Corp.

     

Term Loan, 3.75%, Maturing July 1, 2020

     788         786,753   

Zuffa, LLC

     

Term Loan, 3.75%, Maturing February 25, 2020

     2,799         2,798,895   
     

 

 

 
      $ 31,861,356   
     

 

 

 

Lodging and Casinos — 5.2%

     

Amaya Holdings B.V.

     

Term Loan, 5.00%, Maturing August 1, 2021

     3,321       $ 3,290,477   

Term Loan - Second Lien, 8.00%, Maturing August 1, 2022

     1,997         1,986,268   

Boyd Gaming Corporation

     

Term Loan, 4.00%, Maturing August 14, 2020

     403         405,562   

Caesars Entertainment Operating Company

     

Term Loan, 0.00%, Maturing March 1, 2017(4)

     978         1,015,489   

CityCenter Holdings, LLC

     

Term Loan, 4.25%, Maturing October 16, 2020

     639         643,464   

Four Seasons Holdings, Inc.

     

Term Loan - Second Lien, 7.75%, Maturing December 27, 2020

     3,577         3,591,795   

Gala Group Finance PLC

     

Term Loan, 4.97%, Maturing May 27, 2018

   GBP  3,125         4,146,488   

Golden Nugget, Inc.

     

Term Loan, 5.50%, Maturing November 21, 2019

     130         131,284   

Term Loan, 5.50%, Maturing November 21, 2019

     304         306,329   

Hilton Worldwide Finance, LLC

     

Term Loan, 3.50%, Maturing October 26, 2020

     4,364         4,380,345   

La Quinta Intermediate Holdings, LLC

     

Term Loan, 3.75%, Maturing April 14, 2021

     774         768,804   

MGM Growth Properties Operating Partnership L.P.

     

Term Loan, 4.00%, Maturing April 25, 2023

     1,920         1,936,390   

Playa Resorts Holding B.V.

     

Term Loan, 4.00%, Maturing August 9, 2019

     486         484,275   

Scientific Games International, Inc.

     

Term Loan, 6.00%, Maturing October 18, 2020

     3,559         3,561,714   

Term Loan, 6.00%, Maturing October 1, 2021

     837         836,792   

Tropicana Entertainment, Inc.

     

Term Loan, 4.00%, Maturing November 27, 2020

     365         365,143   
     

 

 

 
      $ 27,850,619   
     

 

 

 

Nonferrous Metals/Minerals — 2.8%

     

Alpha Natural Resources, LLC

     

Term Loan, Maturing July 25, 2019(2)

     300       $ 274,500   

Arch Coal, Inc.

     

DIP Loan, 5.00%, Maturing January 31, 2017(5)

     825         822,938   

Term Loan, 7.50%, Maturing May 16, 2018

     3,529         1,601,369   

Dynacast International, LLC

     

Term Loan, 4.50%, Maturing January 28, 2022

     667         669,396   

Fairmount Santrol, Inc.

     

Term Loan, 4.50%, Maturing September 5, 2019

     2,982         2,635,511   

Global Brass & Copper, Inc.

     

Term Loan, 5.25%, Maturing July 18, 2023

     825         830,156   

Murray Energy Corporation

     

Term Loan, 7.00%, Maturing April 16, 2017

     296         260,403   

Term Loan, 7.50%, Maturing April 16, 2020

     1,855         1,391,515   

Noranda Aluminum Acquisition Corporation

  

Term Loan, 5.75%, Maturing February 28, 2019

     1,987         1,050,395   

 

13

 

 


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

Novelis, Inc.

  

Term Loan, 4.00%, Maturing June 2, 2022

     2,624       $ 2,623,500   

Oxbow Carbon, LLC

  

Term Loan, 4.25%, Maturing July 19, 2019

     303         302,342   

Term Loan - Second Lien, 8.00%, Maturing January 17, 2020

     2,125         2,050,625   

United Central Industrial Supply Company, LLC

  

Term Loan - Second Lien, 15.00%, (0.00% Cash, 15.00% PIK), Maturing April 9, 2019(3)

     519         204,739   
     

 

 

 
      $ 14,717,389   
     

 

 

 

Oil and Gas — 4.3%

  

Ameriforge Group, Inc.

  

Term Loan, 5.00%, Maturing December 19, 2019

     3,010       $ 1,798,569   

Bronco Midstream Funding, LLC

  

Term Loan, 5.00%, Maturing August 15, 2020

     1,825         1,688,334   

CITGO Holding, Inc.

  

Term Loan, 9.50%, Maturing May 12, 2018

     803         811,866   

CITGO Petroleum Corporation

  

Term Loan, 4.50%, Maturing July 29, 2021

     958         951,551   

Crestwood Holdings, LLC

  

Term Loan, 9.00%, Maturing June 19, 2019

     1,701         1,526,351   

Drillships Ocean Ventures, Inc.

  

Term Loan, 5.50%, Maturing July 25, 2021

     1,387         826,664   

Energy Transfer Equity L.P.

  

Term Loan, 4.00%, Maturing December 2, 2019

     395         387,347   

Fieldwood Energy, LLC

  

Term Loan, 3.88%, Maturing October 1, 2018

     1,027         885,787   

Term Loan, 8.00%, Maturing August 31, 2020

     550         462,000   

Term Loan, 8.38%, Maturing September 30, 2020

     727         436,142   

Term Loan - Second Lien, 8.38%, Maturing September 30, 2020

     973         323,555   

Floatel International, Ltd.

  

Term Loan, 6.00%, Maturing June 27, 2020

     1,186         773,653   

MEG Energy Corp.

  

Term Loan, 3.75%, Maturing March 31, 2020

     6,634         6,099,029   

Paragon Offshore Finance Company

  

Term Loan, 5.25%, Maturing July 18, 2021

     839         223,134   

Samson Investment Company

  

Term Loan - Second Lien, 0.00%, Maturing September 25, 2018(4)

     1,850         305,250   

Seadrill Partners Finco, LLC

  

Term Loan, 4.00%, Maturing February 21, 2021

     3,225         1,461,331   

Sheridan Investment Partners II L.P.

  

Term Loan, 4.25%, Maturing December 16, 2020

     35         20,673   

Term Loan, 4.25%, Maturing December 16, 2020

     94         55,431   

Term Loan, 4.25%, Maturing December 16, 2020

     675         398,477   

Sheridan Production Partners I, LLC

  

Term Loan, 4.25%, Maturing October 1, 2019

     203         122,973   

Term Loan, 4.25%, Maturing October 1, 2019

     333         201,328   

Term Loan, 4.25%, Maturing October 1, 2019

     2,511         1,519,366   

Southcross Holdings Borrower L.P.

  

Term Loan, 9.00%, (3.50% Cash, 5.50% PIK), Maturing April 13, 2023

     53         46,403   

Tervita Corporation

  

Term Loan, 6.25%, Maturing May 15, 2018

     1,543         1,475,468   
     

 

 

 
      $ 22,800,682   
     

 

 

 

Publishing — 2.7%

  

682534 N.B., Inc.

  

Term Loan, 12.00%, (8.00% Cash, 4.00% PIK), Maturing October 1, 2020(3)

     331       $ 264,744   

Ascend Learning, LLC

  

Term Loan, 5.50%, Maturing July 31, 2019

     1,733         1,740,794   

Getty Images, Inc.

  

Term Loan, 4.75%, Maturing October 18, 2019

     5,343         4,207,334   

Laureate Education, Inc.

  

Term Loan, 5.00%, Maturing June 15, 2018

     3,876         3,793,846   

 

14

 

 


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

Merrill Communications, LLC

  

Term Loan, 6.25%, Maturing June 1, 2022

     594       $ 540,140   

Penton Media, Inc.

  

Term Loan, 4.75%, Maturing October 3, 2019

     575         575,660   

ProQuest, LLC

  

Term Loan, 5.75%, Maturing October 24, 2021

     1,655         1,638,241   

Springer Science+Business Media Deutschland GmbH

  

Term Loan, 4.50%, Maturing August 14, 2020

     1,415         1,373,994   
     

 

 

 
      $ 14,134,753   
     

 

 

 

Radio and Television — 3.6%

  

ALM Media Holdings, Inc.

  

Term Loan, 5.50%, Maturing July 31, 2020

     406       $ 390,556   

AP NMT Acquisition B.V.

  

Term Loan, 6.75%, Maturing August 13, 2021

     1,950         1,634,621   

Block Communications, Inc.

  

Term Loan, 4.00%, Maturing November 7, 2021

     221         222,032   

Cumulus Media Holdings, Inc.

  

Term Loan, 4.25%, Maturing December 23, 2020

     4,137         2,939,724   

Entercom Radio, LLC

  

Term Loan, 4.00%, Maturing November 23, 2018

     337         337,755   

Gray Television, Inc.

  

Term Loan, 3.94%, Maturing June 13, 2021

     245         245,873   

Hubbard Radio, LLC

  

Term Loan, 4.25%, Maturing May 27, 2022

     616         601,750   

iHeartCommunications, Inc.

  

Term Loan, 7.25%, Maturing January 30, 2019

     2,132         1,661,481   

Term Loan, 8.00%, Maturing July 30, 2019

     364         282,108   

MGOC, Inc.

  

Term Loan, 4.00%, Maturing July 31, 2020

     1,332         1,334,126   

Mission Broadcasting, Inc.

  

Term Loan, 3.75%, Maturing October 1, 2020

     626         627,465   

Nexstar Broadcasting, Inc.

  

Term Loan, 3.75%, Maturing October 1, 2020

     710         711,555   

Raycom TV Broadcasting, LLC

  

Term Loan, 3.75%, Maturing August 4, 2021

     834         829,727   

Sinclair Television Group, Inc.

  

Term Loan, 3.00%, Maturing April 9, 2020

     484         484,381   

Univision Communications, Inc.

  

Term Loan, 4.00%, Maturing March 1, 2020

     4,688         4,692,526   

Term Loan, Maturing March 1, 2020(2)

     2,100         2,101,499   
     

 

 

 
      $ 19,097,179   
     

 

 

 

Retailers (Except Food and Drug) — 7.4%

  

B&M Retail Limited

  

Term Loan, 3.24%, Maturing May 21, 2019

   GBP 350       $ 457,707   

Term Loan, 3.74%, Maturing April 28, 2020

   GBP 275         360,651   

Bass Pro Group, LLC

  

Term Loan, 4.00%, Maturing June 5, 2020

     2,334         2,330,812   

CDW, LLC

  

Term Loan, 3.25%, Maturing April 29, 2020

     4,814         4,829,119   

Coinamatic Canada, Inc.

  

Term Loan, 4.25%, Maturing May 14, 2022

     44         44,041   

David’s Bridal, Inc.

  

Term Loan, 5.25%, Maturing October 11, 2019

     1,615         1,495,935   

Dollar Tree, Inc.

  

Term Loan, 3.50%, Maturing July 6, 2022

     1,996         2,008,039   

Evergreen Acqco 1 L.P.

  

Term Loan, 5.00%, Maturing July 9, 2019

     1,145         1,005,158   

Harbor Freight Tools USA, Inc.

  

Term Loan, 4.75%, Maturing July 26, 2019

     973         979,714   

 

15

 

 


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

J. Crew Group, Inc.

  

Term Loan, 4.00%, Maturing March 5, 2021

     2,934       $ 2,095,538   

Jo-Ann Stores, Inc.

  

Term Loan, 4.00%, Maturing March 16, 2018

     1,797         1,788,979   

Men’s Wearhouse, Inc. (The)

  

Term Loan, 4.50%, Maturing June 18, 2021

     1,423         1,401,955   

Michaels Stores, Inc.

  

Term Loan, 3.75%, Maturing January 28, 2020

     2,491         2,502,212   

Term Loan, 4.00%, Maturing January 28, 2020

     804         808,480   

Neiman Marcus Group, Inc. (The)

  

Term Loan, 4.25%, Maturing October 25, 2020

     2,192         2,068,774   

Party City Holdings, Inc.

  

Term Loan, 4.25%, Maturing August 19, 2022

     2,680         2,682,950   

PetSmart, Inc.

  

Term Loan, 4.25%, Maturing March 11, 2022

     4,691         4,704,486   

PFS Holding Corporation

  

Term Loan, 4.50%, Maturing January 31, 2021

     1,692         1,539,872   

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

  

Term Loan, 4.50%, Maturing April 30, 2021

     515         470,768   

Rent-A-Center, Inc.

  

Term Loan, 3.75%, Maturing March 19, 2021

     429         421,504   

Spin Holdco, Inc.

  

Term Loan, 4.25%, Maturing November 14, 2019

     3,235         3,205,458   

Toys ‘R’ Us Property Company I, LLC

  

Term Loan, 6.00%, Maturing August 21, 2019

     1,699         1,613,858   

Vivarte SA

  

Term Loan, 5.00%, (1.25% Cash, 3.75% PIK), Maturing October 29, 2020(6)

   EUR 945         235,717   

Term Loan, 0.10%, (0.10% Cash, 0.00% PIK), Maturing October 29, 2021(3)

   EUR 204         0   

Wilton Brands, LLC

  

Term Loan, 8.50%, Maturing August 30, 2018

     458         385,554   
     

 

 

 
      $ 39,437,281   
     

 

 

 

Steel — 1.2%

  

FMG Resources (August 2006) Pty. Ltd.

  

Term Loan, 4.25%, Maturing June 30, 2019

     5,565       $ 5,461,886   

Neenah Foundry Company

  

Term Loan, 6.75%, Maturing April 26, 2017

     365         363,475   

Zekelman Industries, Inc.

  

Term Loan, 6.00%, Maturing June 14, 2021

     599         602,881   
     

 

 

 
      $ 6,428,242   
     

 

 

 

Surface Transport — 0.5%

  

Hertz Corporation (The)

  

Term Loan, 3.50%, Maturing June 30, 2023

     1,025       $ 1,029,912   

Kenan Advantage Group, Inc.

  

Term Loan, 1.50%, Maturing January 31, 2017(5)

     46         45,619   

Term Loan, 4.00%, Maturing July 31, 2022

     111         110,700   

Term Loan, 4.00%, Maturing July 31, 2022

     340         340,077   

Stena International S.a.r.l.

  

Term Loan, 4.00%, Maturing March 3, 2021

     1,540         1,313,439   
     

 

 

 
      $ 2,839,747   
     

 

 

 

Telecommunications — 3.6%

  

Intelsat Jackson Holdings S.A.

  

Term Loan, 3.75%, Maturing June 30, 2019

     7,550       $ 7,174,863   

IPC Corp.

  

Term Loan, 5.50%, Maturing August 6, 2021

     2,148         2,051,161   

Mitel US Holdings, Inc.

  

Term Loan, 5.50%, Maturing April 29, 2022

     672         675,130   

Syniverse Holdings, Inc.

  

Term Loan, 4.00%, Maturing April 23, 2019

     1,735         1,403,356   

Term Loan, 4.00%, Maturing April 23, 2019

     1,942         1,570,892   

 

16

 

 


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

Telesat Canada

  

Term Loan, 3.50%, Maturing March 28, 2019

     6,554       $ 6,552,641   
     

 

 

 
      $ 19,428,043   
     

 

 

 

Utilities — 3.4%

  

Calpine Construction Finance Company L.P.

  

Term Loan, 3.00%, Maturing May 3, 2020

     1,019       $ 1,006,088   

Term Loan, 3.25%, Maturing January 31, 2022

     388         383,664   

Calpine Corporation

  

Term Loan, 3.50%, Maturing May 27, 2022

     3,143         3,137,602   

Dynegy Holdings, Inc.

  

Term Loan, 4.00%, Maturing April 23, 2020

     940         939,076   

Electrical Components International, Inc.

  

Term Loan, 5.75%, Maturing May 28, 2021

     960         960,328   

Energy Future Intermediate Holding Co., LLC

  

DIP Loan, 4.25%, Maturing December 19, 2016

     1,725         1,729,852   

EWT Holdings III Corp.

  

Term Loan, 4.75%, Maturing January 15, 2021

     390         392,438   

Term Loan, 5.50%, Maturing January 15, 2021

     574         574,279   

Term Loan - Second Lien, 8.50%, Maturing January 15, 2022

     1,800         1,786,500   

Granite Acquisition, Inc.

  

Term Loan, 5.00%, Maturing December 19, 2021

     109         106,490   

Term Loan, 5.00%, Maturing December 19, 2021

     2,429         2,383,925   

Invenergy Thermal Operating I, LLC

  

Term Loan, 6.50%, Maturing October 19, 2022

     199         191,553   

Lonestar Generation, LLC

  

Term Loan, 5.25%, Maturing February 22, 2021

     1,305         1,024,771   

Longview Power, LLC

  

Term Loan, 7.00%, Maturing April 13, 2021

     2,747         2,472,525   

TPF II Power, LLC

  

Term Loan, 5.50%, Maturing October 2, 2021

     1,267         1,274,763   
     

 

 

 
      $ 18,363,854   
     

 

 

 

Total Senior Floating-Rate Loans
(identified cost $741,091,029)

      $ 713,217,691   
     

 

 

 

Corporate Bonds & Notes — 9.8%

     
Security    Principal
Amount*
(000’s omitted)
     Value  

Aerospace and Defense — 0.1%

     

CBC Ammo, LLC/CBC FinCo, Inc.

     

7.25%, 11/15/21(7)

     75       $ 65,438   

Huntington Ingalls Industries, Inc.

     

5.00%, 11/15/25(7)

     15         15,994   

Orbital ATK, Inc.

     

5.25%, 10/1/21

     45         47,025   

TransDigm, Inc.

     

7.50%, 7/15/21

     10         10,600   

6.00%, 7/15/22

     85         88,400   

6.50%, 7/15/24

     80         83,494   
     

 

 

 
      $ 310,951   
     

 

 

 

Automotive — 0.1%

     

American Axle & Manufacturing, Inc.

     

5.125%, 2/15/19

     20       $ 20,388   

General Motors Financial Co., Inc.

     

4.75%, 8/15/17

     70         72,290   

3.25%, 5/15/18

     10         10,267   

 

17

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

ZF North America Capital, Inc.

     

4.50%, 4/29/22(7)

     150       $ 156,187   
     

 

 

 
      $ 259,132   
     

 

 

 

Beverage and Tobacco — 0.0%(8)

     

Constellation Brands, Inc.

     

6.00%, 5/1/22

     105       $ 122,440   

4.25%, 5/1/23

     105         111,825   
     

 

 

 
      $ 234,265   
     

 

 

 

Brokerage/Securities Dealers/Investment Houses — 0.0%(8)

     

Alliance Data Systems Corp.

     

6.375%, 4/1/20(7)

     55       $ 56,444   
     

 

 

 
      $ 56,444   
     

 

 

 

Building and Development — 0.1%

     

Builders FirstSource, Inc.

     

7.625%, 6/1/21(7)

     15       $ 15,908   

10.75%, 8/15/23(7)

     18         20,070   

Greystar Real Estate Partners, LLC

     

8.25%, 12/1/22(7)

     50         53,344   

HD Supply, Inc.

     

7.50%, 7/15/20

     110         115,087   

5.25%, 12/15/21(7)

     40         42,500   

Hillman Group, Inc. (The)

     

6.375%, 7/15/22(7)

     75         68,625   

Nortek, Inc.

     

8.50%, 4/15/21

     40         42,010   

Reliance Intermediate Holdings, L.P.

     

6.50%, 4/1/23(7)

     120         126,600   

Standard Industries, Inc.

     

5.375%, 11/15/24(7)

     75         79,031   

6.00%, 10/15/25(7)

     55         59,813   

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.

     

4.375%, 6/15/19

     45         46,350   

5.875%, 6/15/24

     60         62,100   

USG Corp.

     

5.875%, 11/1/21(7)

     35         36,925   

5.50%, 3/1/25(7)

     5         5,356   
     

 

 

 
      $ 773,719   
     

 

 

 

Business Equipment and Services — 0.2%

     

Acosta, Inc.

     

7.75%, 10/1/22(7)

     80       $ 73,600   

FTI Consulting, Inc.

     

6.00%, 11/15/22

     40         42,250   

IMS Health, Inc.

     

6.00%, 11/1/20(7)

     75         76,625   

National CineMedia, LLC

     

6.00%, 4/15/22

     790         823,575   

ServiceMaster Co., LLC (The)

     

7.45%, 8/15/27

     45         47,250   

United Rentals North America, Inc.

     

7.625%, 4/15/22

     40         42,927   

6.125%, 6/15/23

     15         15,825   
     

 

 

 
      $ 1,122,052   
     

 

 

 

Cable and Satellite Television — 0.6%

     

CCO Holdings, LLC/CCO Holdings Capital Corp.

     

5.25%, 9/30/22

     155       $ 161,781   

5.75%, 1/15/24

     10         10,575   

5.375%, 5/1/25(7)

     95         99,037   

5.75%, 2/15/26(7)

     45         47,588   

 

18

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

CSC Holdings, LLC

     

8.625%, 2/15/19

     15       $ 16,753   

5.25%, 6/1/24

     10         9,544   

DISH DBS Corp.

     

6.75%, 6/1/21

     120         127,800   

5.875%, 7/15/22

     30         30,056   

5.875%, 11/15/24

     20         19,375   

IAC/InterActiveCorp

     

4.875%, 11/30/18

     46         47,208   

Virgin Media Secured Finance PLC

     

5.375%, 4/15/21(7)

     833         868,922   

6.00%, 4/15/21(7)

   GBP 855         1,184,450   

5.50%, 1/15/25(7)

     550         560,312   
     

 

 

 
      $ 3,183,401   
     

 

 

 

Chemicals and Plastics — 0.8%

     

Hexion, Inc.

     

6.625%, 4/15/20

       4,450       $ 3,782,500   

Platform Specialty Products Corp.

     

10.375%, 5/1/21(7)

     15         15,112   

6.50%, 2/1/22(7)

     60         52,350   

Scotts Miracle-Gro Co. (The)

     

6.00%, 10/15/23(7)

     15         16,087   

Tronox Finance, LLC

     

6.375%, 8/15/20

     130         105,950   

7.50%, 3/15/22(7)

     20         15,975   

W.R. Grace & Co.

     

5.125%, 10/1/21(7)

     30         31,800   

5.625%, 10/1/24(7)

     10         10,763   
     

 

 

 
      $ 4,030,537   
     

 

 

 

Commercial Services — 0.0%(8)

     

CEB, Inc.

     

5.625%, 6/15/23(7)

     15       $ 15,225   
     

 

 

 
      $ 15,225   
     

 

 

 

Conglomerates — 0.0%(8)

     

Belden, Inc.

     

5.50%, 9/1/22(7)

     20       $ 20,800   

Spectrum Brands, Inc.

     

6.375%, 11/15/20

     50         52,312   

6.625%, 11/15/22

     30         31,988   

5.75%, 7/15/25

     70         76,125   

TMS International Corp.

     

7.625%, 10/15/21(7)

     55         39,875   
     

 

 

 
      $ 221,100   
     

 

 

 

Consumer Products — 0.0%(8)

     

Central Garden & Pet Co.

     

6.125%, 11/15/23

     50       $ 53,250   

HRG Group, Inc.

     

7.875%, 7/15/19

     110         116,737   
     

 

 

 
      $ 169,987   
     

 

 

 

Containers and Glass Products — 1.0%

     

Berry Plastics Corp.

     

6.00%, 10/15/22

     25       $ 26,656   

Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer, Inc.

     

5.625%, 12/15/16(7)

     15         15,019   

Owens-Brockway Glass Container, Inc.

     

5.875%, 8/15/23(7)

     35         37,691   

6.375%, 8/15/25(7)

     15         16,481   

 

19

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Reynolds Group Holdings, Inc.

     

5.75%, 10/15/20

     3,875       $ 4,010,625   

4.127%, 7/15/21(7)(9)

     950         959,500   
     

 

 

 
      $ 5,065,972   
     

 

 

 

Distribution & Wholesale — 0.0%(8)

     

American Tire Distributors, Inc.

     

10.25%, 3/1/22(7)

     50       $ 46,188   
     

 

 

 
      $ 46,188   
     

 

 

 

Diversified Financial Services — 0.0%(8)

     

Argos Merger Sub, Inc.

     

7.125%, 3/15/23(7)

     80       $ 83,900   

Quicken Loans, Inc.

     

5.75%, 5/1/25(7)

     35         34,869   
     

 

 

 
      $ 118,769   
     

 

 

 

Drugs — 0.1%

     

ConvaTec Finance International SA

     

8.25%, 1/15/19(7)(10)

     200       $ 201,050   

Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC

     

4.875%, 4/15/20(7)

     30         30,225   

5.625%, 10/15/23(7)

     85         82,025   

5.50%, 4/15/25(7)

     30         27,825   

Valeant Pharmaceuticals International, Inc.

     

6.375%, 10/15/20(7)

     200         181,500   

7.50%, 7/15/21(7)

     50         46,750   

5.625%, 12/1/21(7)

     30         25,762   

5.875%, 5/15/23(7)

     100         83,750   

6.125%, 4/15/25(7)

     70         58,275   
     

 

 

 
      $ 737,162   
     

 

 

 

Ecological Services and Equipment — 0.0%(8)

     

Advanced Disposal Services, Inc.

     

8.25%, 10/1/20

     50       $ 52,000   

Clean Harbors, Inc.

     

5.25%, 8/1/20

     50         51,375   

5.125%, 6/1/21

     25         25,594   

Covanta Holding Corp.

     

5.875%, 3/1/24

     25         24,875   
     

 

 

 
      $ 153,844   
     

 

 

 

Electric Utilities — 0.0%(8)

     

NRG Yield Operating, LLC

     

5.375%, 8/15/24

     25       $ 25,688   
     

 

 

 
      $ 25,688   
     

 

 

 

Electronics/Electrical — 0.4%

     

Anixter, Inc.

     

5.50%, 3/1/23

     45       $ 47,419   

CommScope, Inc.

     

4.375%, 6/15/20(7)

     20         20,705   

Freescale Semiconductor, Inc.

     

6.00%, 1/15/22(7)

     55         58,217   

Infor (US), Inc.

     

5.75%, 8/15/20(7)

     20         21,175   

6.50%, 5/15/22

     50         49,875   

Informatica, LLC

     

7.125%, 7/15/23(7)

     10         9,900   

Nuance Communications, Inc.

     

5.375%, 8/15/20(7)

     45         46,130   

SS&C Technologies Holdings, Inc.

     

5.875%, 7/15/23

     65         67,762   

 

20

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Western Digital Corp.

     

7.375%, 4/1/23(7)

     1,425       $ 1,555,031   

Zebra Technologies Corp.

     

7.25%, 10/15/22

     100         107,250   
     

 

 

 
      $ 1,983,464   
     

 

 

 

Energy — 0.1%

     

Contura Energy, Inc.

     

10.00%, 8/1/21(7)

     710       $ 660,300   
     

 

 

 
      $ 660,300   
     

 

 

 

Equipment Leasing — 0.1%

     

International Lease Finance Corp.

     

6.75%, 9/1/16(7)

     350       $ 351,495   

7.125%, 9/1/18(7)

     350         388,500   
     

 

 

 
      $ 739,995   
     

 

 

 

Financial Intermediaries — 0.3%

     

CIT Group, Inc.

     

5.50%, 2/15/19(7)

     45       $ 47,812   

5.375%, 5/15/20

     10         10,625   

First Data Corp.

     

6.75%, 11/1/20(7)

     962         1,003,504   

7.00%, 12/1/23(7)

     155         160,231   

5.00%, 1/15/24(7)

     20         20,225   

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

     

3.50%, 3/15/17

     45         45,000   

6.00%, 8/1/20

     65         65,162   

JPMorgan Chase & Co.

     

6.75% to 2/1/24(11)

     80         90,192   

Navient Corp.

     

5.50%, 1/15/19

     115         118,594   

5.00%, 10/26/20

     25         24,469   
     

 

 

 
      $ 1,585,814   
     

 

 

 

Financial Services — 0.0%(8)

     

Solera, LLC/Solera Finance, Inc.

     

10.50%, 3/1/24(7)

     10       $ 10,844   
     

 

 

 
      $ 10,844   
     

 

 

 

Food Products — 0.4%

     

Dean Foods Co.

     

6.50%, 3/15/23(7)

     45       $ 47,700   

Iceland Bondco PLC

     

4.778%, 7/15/20(7)(9)

   GBP 1,500         1,786,657   

Post Holdings, Inc.

     

6.75%, 12/1/21(7)

     20         21,400   

6.00%, 12/15/22(7)

     35         37,056   

7.75%, 3/15/24(7)

     35         38,894   

8.00%, 7/15/25(7)

     15         17,288   

WhiteWave Foods Co. (The)

     

5.375%, 10/1/22

     25         28,656   
     

 

 

 
      $ 1,977,651   
     

 

 

 

Food Service — 0.0%(8)

     

1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.

     

4.625%, 1/15/22(7)

     65       $ 67,112   

6.00%, 4/1/22(7)

     125         131,406   

Yum! Brands, Inc.

     

5.30%, 9/15/19

     10         10,763   

3.75%, 11/1/21

     15         15,056   

3.875%, 11/1/23

     5         4,944   
     

 

 

 
      $ 229,281   
     

 

 

 

 

21

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Food/Drug Retailers — 0.0%(8)

     

Rite Aid Corp.

     

6.125%, 4/1/23(7)

     115       $ 122,475   
     

 

 

 
      $ 122,475   
     

 

 

 

Health Care — 1.2%

     

Alere, Inc.

     

7.25%, 7/1/18

     10       $ 10,106   

6.50%, 6/15/20

     35         34,563   

6.375%, 7/1/23(7)

     65         65,406   

AmSurg Corp.

     

5.625%, 11/30/20

     50         51,875   

5.625%, 7/15/22

     45         47,419   

Capsugel SA

     

7.00%, 5/15/19(7)(10)

     19         19,238   

Centene Corp.

     

4.75%, 5/15/22

     20         20,700   

CHS/Community Health Systems, Inc.

     

5.125%, 8/15/18

     2,190         2,223,069   

7.125%, 7/15/20

     120         109,726   

6.875%, 2/1/22

     85         73,525   

DJO Finco, Inc./DJO Finance, LLC/DJO Finance Corp.

     

8.125%, 6/15/21(7)

     35         32,025   

HCA Holdings, Inc.

     

6.25%, 2/15/21

     85         92,331   

HCA, Inc.

     

6.50%, 2/15/20

     15         16,556   

4.75%, 5/1/23

     1,050         1,097,250   

5.875%, 2/15/26

     25         26,813   

Hill-Rom Holdings, Inc.

     

5.75%, 9/1/23(7)

     25         26,219   

Hologic, Inc.

     

5.25%, 7/15/22(7)

     70         74,462   

Jaguar Holding Co. II/Pharmaceutical Product Development, LLC

     

6.375%, 8/1/23(7)

     140         148,862   

Kinetic Concepts, Inc./KCI USA, Inc.

     

10.50%, 11/1/18

     45         46,181   

Opal Acquisition, Inc.

     

8.875%, 12/15/21(7)

     60         48,900   

RegionalCare Hospital Partners Holdings, Inc.

     

8.25%, 5/1/23(7)

     1,300         1,355,250   

Surgical Care Affiliates, Inc.

     

6.00%, 4/1/23(7)

     35         36,575   

Teleflex, Inc.

     

5.25%, 6/15/24

     20         20,900   

Tenet Healthcare Corp.

     

6.00%, 10/1/20

     55         58,437   

4.375%, 10/1/21

     600         601,500   

8.125%, 4/1/22

     105         108,937   

6.75%, 6/15/23

     15         14,494   

WellCare Health Plans, Inc.

     

5.75%, 11/15/20

     120         124,276   
     

 

 

 
      $ 6,585,595   
     

 

 

 

Home Furnishings — 0.0%(8)

     

Tempur Sealy International, Inc.

     

5.625%, 10/15/23

     35       $ 36,400   
     

 

 

 
      $ 36,400   
     

 

 

 

Industrial Equipment — 0.0%(8)

     

BlueLine Rental Finance Corp.

     

7.00%, 2/1/19(7)

     70       $ 64,750   

 

22

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Erickson Air-Crane, Inc., Promissory Note

     

6.00%, 11/2/20(3)(12)

     50       $ 20,030   

Vander Intermediate Holding II Corp.

     

9.75%, 2/1/19(7)(10)

     45         23,669   
     

 

 

 
      $ 108,449   
     

 

 

 

Insurance — 0.1%

     

Hub Holdings, LLC/Hub Holdings Finance, Inc.

     

8.125%, 7/15/19(7)(10)

     45       $ 43,650   

Hub International, Ltd.

     

7.875%, 10/1/21(7)

     60         60,300   

USI, Inc.

     

7.75%, 1/15/21(7)

     100         101,500   

Wayne Merger Sub, LLC

     

8.25%, 8/1/23(7)

     40         39,950   
     

 

 

 
      $ 245,400   
     

 

 

 

Internet Software & Services — 0.0%(8)

     

Netflix, Inc.

     

5.50%, 2/15/22

     45       $ 48,038   

5.875%, 2/15/25

     55         59,125   

Riverbed Technology, Inc.

     

8.875%, 3/1/23(7)

     40         42,300   
     

 

 

 
      $ 149,463   
     

 

 

 

Leisure Goods/Activities/Movies — 0.1%

     

Activision Blizzard, Inc.

     

6.125%, 9/15/23(7)

     35       $ 38,369   

NCL Corp., Ltd.

     

5.25%, 11/15/19(7)

     25         25,688   

4.625%, 11/15/20(7)

     45         45,675   

Regal Entertainment Group

     

5.75%, 3/15/22

     30         31,350   

Royal Caribbean Cruises, Ltd.

     

7.25%, 3/15/18

     50         54,000   

Sabre GLBL, Inc.

     

5.375%, 4/15/23(7)

     25         26,312   

5.25%, 11/15/23(7)

     40         42,100   

Viking Cruises, Ltd.

     

8.50%, 10/15/22(7)

     90         79,875   

6.25%, 5/15/25(7)

     40         31,600   
     

 

 

 
      $ 374,969   
     

 

 

 

Lodging and Casinos — 0.8%

     

Buffalo Thunder Development Authority

     

11.00%, 12/9/22(7)

     224       $ 106,369   

Caesars Entertainment Operating Co., Inc.

     

8.50%, 2/15/20(4)

     2,100         2,031,750   

9.00%, 2/15/20(4)

     500         483,750   

9.00%, 2/15/20(4)

     1,175         1,133,875   

GLP Capital, L.P./GLP Financing II, Inc.

     

4.875%, 11/1/20

     75         79,697   

Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp.

     

5.625%, 10/15/21

     110         114,045   

MGM Resorts International

     

6.625%, 12/15/21

     90         100,069   

7.75%, 3/15/22

     30         34,662   

6.00%, 3/15/23

     65         70,485   

RHP Hotel Properties, L.P./RHP Finance Corp.

     

5.00%, 4/15/23

     30         30,450   

Station Casinos, LLC

     

7.50%, 3/1/21

     55         58,245   

 

23

 

 


                                                 
Security    Principal
Amount*
(000’s omitted)
     Value  

Tunica-Biloxi Gaming Authority

     

9.00%, 11/15/15(4)(7)

     310       $ 124,000   
     

 

 

 
      $ 4,367,397   
     

 

 

 

Media — 0.2%

     

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH

     

5.50%, 1/15/23(7)

     1,000       $ 1,048,750   
     

 

 

 
      $ 1,048,750   
     

 

 

 

Nonferrous Metals/Minerals — 0.1%

     

Eldorado Gold Corp.

     

6.125%, 12/15/20(7)

     120       $ 120,900   

IAMGOLD Corp.

     

6.75%, 10/1/20(7)

     30         28,200   

Imperial Metals Corp.

     

7.00%, 3/15/19(7)