N-Q 1 d299773dnq.htm EATON VANCE SHORT DURATION DIVERSIFIED INCOME FUND Eaton Vance Short Duration Diversified Income Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

January 31, 2016

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments


Eaton Vance

Short Duration Diversified Income Fund

January 31, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 53.9%(1)

 

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

Aerospace and Defense — 0.6%

     

BE Aerospace, Inc.

     

Term Loan, 4.00%, Maturing December 16, 2021

     188       $ 187,940   

Silver II US Holdings, LLC

     

Term Loan, 4.00%, Maturing December 13, 2019

     358         297,861   

TransDigm, Inc.

     

Term Loan, 3.75%, Maturing February 28, 2020

     801         784,286   

Term Loan, 3.75%, Maturing June 4, 2021

     320         311,188   
     

 

 

 
      $ 1,581,275   
     

 

 

 

Air Transport — 0.1%

     

Virgin America, Inc.

     

Term Loan, 4.50%, Maturing April 4, 2019

     450       $ 370,620   
     

 

 

 
      $ 370,620   
     

 

 

 

Automotive — 1.9%

     

Affinia Group Intermediate Holdings, Inc.

     

Term Loan, 4.75%, Maturing April 27, 2020

     67       $ 66,527   

Allison Transmission, Inc.

     

Term Loan, 3.50%, Maturing August 23, 2019

     610         608,831   

Chrysler Group, LLC

     

Term Loan, 3.50%, Maturing May 24, 2017

     879         875,742   

Term Loan, 3.25%, Maturing December 31, 2018

     368         366,181   

CS Intermediate Holdco 2, LLC

     

Term Loan, 4.00%, Maturing April 4, 2021

     566         543,720   

Dayco Products, LLC

     

Term Loan, 5.25%, Maturing December 12, 2019

     172         170,111   

Federal-Mogul Holdings Corporation

     

Term Loan, 4.75%, Maturing April 15, 2021

     665         537,302   

Goodyear Tire & Rubber Company (The)

     

Term Loan - Second Lien, 3.75%, Maturing April 30, 2019

     575         576,348   

Horizon Global Corporation

     

Term Loan, 7.00%, Maturing June 30, 2021

     98         94,087   

MPG Holdco I, Inc.

     

Term Loan, 3.75%, Maturing October 20, 2021

     413         397,767   

Schaeffler AG

     

Term Loan, 4.25%, Maturing May 15, 2020

     68         67,876   

TI Group Automotive Systems, LLC

     

Term Loan, 4.50%, Maturing June 30, 2022

     224         218,546   

Tower Automotive Holdings USA, LLC

     

Term Loan, 4.00%, Maturing April 23, 2020

     529         507,621   

Visteon Corporation

     

Term Loan, 3.50%, Maturing April 9, 2021

     102         101,493   
     

 

 

 
      $ 5,132,152   
     

 

 

 

Beverage and Tobacco — 0.1%

     

Flavors Holdings, Inc.

     

Term Loan, 6.75%, Maturing April 3, 2020

     381       $ 345,290   
     

 

 

 
      $ 345,290   
     

 

 

 

Brokerage/Securities Dealers/Investment Houses — 0.1%

     

Astro AB Borrower, Inc.

     

Term Loan, 5.50%, Maturing April 30, 2022

     75       $ 74,065   

 

1

 

 


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

Salient Partners L.P.

     

Term Loan, 7.50%, Maturing May 19, 2021

     148       $ 143,318   
     

 

 

 
      $ 217,383   
     

 

 

 

Building and Development — 1.4%

     

ABC Supply Co., Inc.

     

Term Loan, 3.50%, Maturing April 16, 2020

     194       $ 192,747   

Auction.com, LLC

     

Term Loan, 6.00%, Maturing May 8, 2022

     199         196,763   

CPG International, Inc.

     

Term Loan, 4.75%, Maturing September 30, 2020

     98         91,885   

DTZ U.S. Borrower, LLC

     

Term Loan, 4.25%, Maturing November 4, 2021

     473         460,612   

Gates Global, Inc.

     

Term Loan, 4.25%, Maturing July 5, 2021

     1,039         938,432   

Headwaters, Incorporated

     

Term Loan, 4.50%, Maturing March 24, 2022

     50         49,750   

Ply Gem Industries, Inc.

     

Term Loan, 4.00%, Maturing February 1, 2021

     492         485,300   

Quikrete Holdings, Inc.

     

Term Loan, 4.00%, Maturing September 28, 2020

     165         164,324   

Term Loan - Second Lien, 7.00%, Maturing March 26, 2021

     500         498,750   

RE/MAX International, Inc.

     

Term Loan, 4.25%, Maturing July 31, 2020

     352         348,004   

Summit Materials Companies I, LLC

     

Term Loan, 4.25%, Maturing July 17, 2022

     124         122,717   

WireCo WorldGroup, Inc.

     

Term Loan, 6.00%, Maturing February 15, 2017

     91         89,039   
     

 

 

 
      $ 3,638,323   
     

 

 

 

Business Equipment and Services — 3.6%

     

Acosta Holdco, Inc.

     

Term Loan, 4.25%, Maturing September 26, 2021

     642       $ 613,014   

AlixPartners, LLP

     

Term Loan, 4.50%, Maturing July 28, 2022

     100         99,126   

Altisource Solutions S.a.r.l.

     

Term Loan, 4.50%, Maturing December 9, 2020

     416         351,920   

Brickman Group Ltd., LLC

     

Term Loan, 4.00%, Maturing December 18, 2020

     147         142,858   

Ceridian, LLC

     

Term Loan, 4.50%, Maturing September 15, 2020

     616         540,187   

Corporate Capital Trust, Inc.

     

Term Loan, 4.00%, Maturing May 15, 2019

     567         555,574   

CPM Holdings, Inc.

     

Term Loan, 6.00%, Maturing April 11, 2022

     50         49,252   

Education Management, LLC

     

Term Loan, 5.50%, Maturing July 2, 2020(2)

     80         36,675   

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

     142         35,066   

EIG Investors Corp.

     

Term Loan, 5.00%, Maturing November 9, 2019

     461         448,596   

Emdeon Business Services, LLC

     

Term Loan, 3.75%, Maturing November 2, 2018

     266         261,801   

Extreme Reach, Inc.

     

Term Loan, 7.25%, Maturing February 7, 2020

     125         122,548   

Garda World Security Corporation

     

Term Loan, 4.00%, Maturing November 6, 2020

     60         57,201   

Term Loan, 4.00%, Maturing November 6, 2020

     334         318,432   

IG Investment Holdings, LLC

     

Term Loan, 6.00%, Maturing October 29, 2021

     367         364,477   

 

2

 

 


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

IMS Health Incorporated

     

Term Loan, 3.50%, Maturing March 17, 2021

     985       $ 968,957   

Information Resources, Inc.

     

Term Loan, 4.75%, Maturing September 30, 2020

     220         219,786   

ION Trading Finance Limited

     

Term Loan, 4.50%, Maturing June 10, 2021

   EUR 164         177,384   

KAR Auction Services, Inc.

     

Term Loan, 3.50%, Maturing March 11, 2021

     539         538,543   

Kronos Incorporated

     

Term Loan, 4.50%, Maturing October 30, 2019

     431         424,866   

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

     200         198,491   

MCS AMS Sub-Holdings, LLC

     

Term Loan, 7.50%, Maturing October 15, 2019

     85         72,250   

Monitronics International, Inc.

     

Term Loan, 4.25%, Maturing March 23, 2018

     99         95,820   

Term Loan, 4.50%, Maturing April 11, 2022

     124         116,619   

PGX Holdings, Inc.

     

Term Loan, 5.75%, Maturing September 29, 2020

     95         94,987   

Quintiles Transnational Corp.

     

Term Loan, 3.25%, Maturing May 12, 2022

     249         248,750   

RCS Capital Corporation

     

DIP Loan, Maturing February 2, 2017(3)

     50         49,500   

Term Loan, 7.50%, Maturing April 29, 2019(2)

     155         108,719   

Sensus USA, Inc.

     

Term Loan, 4.50%, Maturing May 9, 2017

     119         114,903   

ServiceMaster Company

     

Term Loan, 4.25%, Maturing July 1, 2021

     420         417,327   

TNS, Inc.

     

Term Loan, 5.00%, Maturing February 14, 2020

     117         115,066   

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

     

Term Loan, 5.75%, Maturing September 2, 2021

     223         216,067   

WASH Multifamily Laundry Systems, LLC

     

Term Loan, 4.25%, Maturing May 14, 2022

     7         7,201   

Term Loan, 4.25%, Maturing May 14, 2022

     42         41,119   

West Corporation

     

Term Loan, 3.25%, Maturing June 30, 2018

     1,301         1,279,114   
     

 

 

 
      $ 9,502,196   
     

 

 

 

Cable and Satellite Television — 1.6%

     

Altice US Finance I Corporation

     

Term Loan, 4.25%, Maturing December 14, 2022

     732       $ 719,732   

Atlantic Broadband Finance, LLC

     

Term Loan, 3.25%, Maturing November 30, 2019

     129         129,198   

CSC Holdings, Inc.

     

Term Loan, 2.93%, Maturing April 17, 2020

     308         307,900   

MCC Iowa, LLC

     

Term Loan, 3.25%, Maturing January 29, 2021

     171         168,706   

Term Loan, 3.75%, Maturing June 30, 2021

     148         147,034   

Neptune Finco Corp.

     

Term Loan, 5.00%, Maturing October 9, 2022

     700         699,805   

Numericable Group SA

     

Term Loan, 4.56%, Maturing July 29, 2022

   EUR 125         132,710   

Term Loan, 4.56%, Maturing July 31, 2022

     75         71,423   

Numericable U.S., LLC

     

Term Loan, 4.50%, Maturing May 21, 2020

     172         165,980   

Term Loan, 4.50%, Maturing May 21, 2020

     199         191,854   

Virgin Media Investment Holdings Limited

     

Term Loan, 3.50%, Maturing June 30, 2023

     639         626,372   

Term Loan, 4.25%, Maturing June 30, 2023

   GBP 300         420,176   

 

3

 

 


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

Ziggo B.V.

     

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 65       $ 69,204   

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 101         107,424   

Term Loan, 3.75%, Maturing January 15, 2022

   EUR 183         194,440   
     

 

 

 
      $ 4,151,958   
     

 

 

 

Chemicals and Plastics — 3.0%

     

Aruba Investments, Inc.

     

Term Loan, 4.50%, Maturing February 2, 2022

     58       $ 56,686   

Axalta Coating Systems US Holdings, Inc.

     

Term Loan, 3.75%, Maturing February 1, 2020

     488         484,804   

Chemours Company (The)

     

Term Loan, 3.75%, Maturing May 12, 2022

     199         177,442   

ECO Services Operations, LLC

     

Term Loan, 4.75%, Maturing December 4, 2021

     74         73,136   

Emerald Performance Materials, LLC

     

Term Loan, 4.50%, Maturing August 1, 2021

     339         334,703   

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

     100         94,646   

Flint Group GmbH

     

Term Loan, 4.50%, Maturing September 7, 2021

     25         23,657   

Flint Group US, LLC

     

Term Loan, 4.50%, Maturing September 7, 2021

     148         143,354   

Gemini HDPE, LLC

     

Term Loan, 4.75%, Maturing August 7, 2021

     369         364,302   

Huntsman International, LLC

     

Term Loan, 3.52%, Maturing April 19, 2019

     1,485         1,465,551   

Term Loan, 3.75%, Maturing October 1, 2021

     371         366,610   

Ineos US Finance, LLC

     

Term Loan, 3.75%, Maturing May 4, 2018

     1,328         1,292,789   

Term Loan, 4.25%, Maturing March 31, 2022

     124         119,041   

Kronos Worldwide, Inc.

     

Term Loan, 4.00%, Maturing February 18, 2020

     49         44,121   

MacDermid, Inc.

     

Term Loan, 5.50%, Maturing June 7, 2020

     100         92,996   

Term Loan, 5.50%, Maturing June 7, 2020

     124         115,345   

Term Loan, 5.50%, Maturing June 7, 2020

     245         228,535   

Minerals Technologies, Inc.

     

Term Loan, 3.75%, Maturing May 9, 2021

     219         216,680   

Orion Engineered Carbons GmbH

     

Term Loan, 5.00%, Maturing July 25, 2021

     91         90,639   

Term Loan, 5.00%, Maturing July 25, 2021

   EUR 175         190,662   

OXEA Finance, LLC

     

Term Loan, 4.25%, Maturing January 15, 2020

     122         119,133   

PolyOne Corporation

     

Term Loan, 3.75%, Maturing November 11, 2022

     100         100,250   

PQ Corporation

     

Term Loan, 4.00%, Maturing August 7, 2017

     218         216,630   

Solenis International L.P.

     

Term Loan, 4.50%, Maturing July 31, 2021

   EUR 173         186,038   

Sonneborn Refined Products B.V.

     

Term Loan, 4.75%, Maturing December 10, 2020

     15         14,739   

Sonneborn, LLC

     

Term Loan, 4.75%, Maturing December 10, 2020

     84         83,519   

Tata Chemicals North America, Inc.

     

Term Loan, 3.75%, Maturing August 7, 2020

     200         194,630   

Trinseo Materials Operating S.C.A.

     

Term Loan, 4.25%, Maturing November 5, 2021

     50         48,525   

Tronox Pigments (Netherlands) B.V.

     

Term Loan, 4.50%, Maturing March 19, 2020

     389         341,845   

 

4

 

 


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

Univar, Inc.

     

Term Loan, 4.25%, Maturing July 1, 2022

     599       $ 581,400   

Zep, Inc.

     

Term Loan, 5.75%, Maturing June 27, 2022

     75         73,832   
     

 

 

 
      $ 7,936,240   
     

 

 

 

Clothing/Textiles — 0.1%

     

Ascena Retail Group, Inc.

     

Term Loan, 5.25%, Maturing August 21, 2022

     300       $ 284,175   
     

 

 

 
      $ 284,175   
     

 

 

 

Conglomerates — 0.3%

     

RGIS Services, LLC

     

Term Loan, 5.50%, Maturing October 18, 2017

     727       $ 532,814   

Spectrum Brands, Inc.

     

Term Loan, 3.50%, Maturing June 23, 2022

     338         337,614   
     

 

 

 
      $ 870,428   
     

 

 

 

Containers and Glass Products — 2.1%

     

Berry Plastics Holding Corporation

     

Term Loan, 3.50%, Maturing February 8, 2020

     413       $ 408,301   

Term Loan, 3.75%, Maturing January 6, 2021

     797         788,789   

Term Loan, 4.00%, Maturing October 1, 2022

     195         194,178   

Hilex Poly Co., LLC

     

Term Loan, 6.00%, Maturing December 5, 2021

     794         795,481   

Libbey Glass, Inc.

     

Term Loan, 3.75%, Maturing April 9, 2021

     49         47,773   

Onex Wizard Acquisition Company I S.a.r.l.

     

Term Loan, 4.25%, Maturing March 13, 2022

   EUR 397         430,493   

Onex Wizard US Acquisition, Inc.

     

Term Loan, 4.25%, Maturing March 13, 2022

     223         221,097   

Pelican Products, Inc.

     

Term Loan, 5.25%, Maturing April 10, 2020

     431         415,500   

Reynolds Group Holdings, Inc.

     

Term Loan, 4.50%, Maturing December 1, 2018

     1,492         1,486,992   

TricorBraun, Inc.

     

Term Loan, 4.00%, Maturing May 3, 2018

     390         381,501   

Verallia

     

Term Loan, 5.00%, Maturing October 29, 2022

   EUR 300         325,027   
     

 

 

 
      $ 5,495,132   
     

 

 

 

Cosmetics/Toiletries — 0.6%

     

Coty, Inc.

     

Term Loan, 3.75%, Maturing October 27, 2022

     150       $ 149,719   

Galleria Co.

     

Term Loan, 3.75%, Maturing January 26, 2023

     325         323,985   

KIK Custom Products, Inc.

     

Term Loan, 6.00%, Maturing August 26, 2022

     274         264,197   

Prestige Brands, Inc.

     

Term Loan, 3.50%, Maturing September 3, 2021

     110         109,492   

Revlon Consumer Products Corporation

     

Term Loan, 4.00%, Maturing October 8, 2019

     217         216,095   

Sun Products Corporation (The)

     

Term Loan, 5.50%, Maturing March 23, 2020

     413         393,710   
     

 

 

 
      $ 1,457,198   
     

 

 

 

Drugs — 1.4%

     

Alkermes, Inc.

     

Term Loan, 3.50%, Maturing September 18, 2019

     73       $ 72,108   

 

5

 

 


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

AMAG Pharmaceuticals, Inc.

     

Term Loan, 4.75%, Maturing August 13, 2021

     198       $ 191,081   

DPx Holdings B.V.

     

Term Loan, 4.25%, Maturing March 11, 2021

     394         378,732   

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

     

Term Loan, 3.75%, Maturing September 26, 2022

     500         494,375   

Horizon Pharma, Inc.

     

Term Loan, 4.50%, Maturing May 7, 2021

     448         428,721   

Mallinckrodt International Finance S.A.

     

Term Loan, 3.25%, Maturing March 19, 2021

     270         261,744   

Term Loan, 3.50%, Maturing March 19, 2021

     222         216,022   

Valeant Pharmaceuticals International, Inc.

     

Term Loan, 3.75%, Maturing December 11, 2019

     341         328,411   

Term Loan, 3.75%, Maturing August 5, 2020

     717         688,810   

Term Loan, 4.00%, Maturing April 1, 2022

     693         667,012   
     

 

 

 
      $ 3,727,016   
     

 

 

 

Ecological Services and Equipment — 0.3%

     

ADS Waste Holdings, Inc.

     

Term Loan, 3.75%, Maturing October 9, 2019

     375       $ 364,723   

EnergySolutions, LLC

     

Term Loan, 6.75%, Maturing May 29, 2020

     660         554,070   
     

 

 

 
      $ 918,793   
     

 

 

 

Electronics/Electrical — 5.1%

     

Answers Corporation

     

Term Loan, 6.25%, Maturing October 3, 2021

     223       $ 149,799   

Avago Technologies Cayman Ltd.

     

Term Loan, 3.75%, Maturing May 6, 2021

     1,134         1,129,496   

Term Loan, Maturing February 1, 2023(3)

     1,625         1,608,750   

Campaign Monitor Finance Pty. Limited

     

Term Loan, 6.25%, Maturing March 18, 2021

     122         120,135   

CommScope, Inc.

     

Term Loan, 3.31%, Maturing January 14, 2018

     100         99,513   

Term Loan, 3.83%, Maturing December 29, 2022

     175         174,044   

CompuCom Systems, Inc.

     

Term Loan, 4.25%, Maturing May 11, 2020

     141         88,551   

Dell International, LLC

     

Term Loan, 4.00%, Maturing April 29, 2020

     1,092         1,089,855   

Dell, Inc.

     

Term Loan, 3.75%, Maturing October 29, 2018

     97         96,530   

Entegris, Inc.

     

Term Loan, 3.50%, Maturing April 30, 2021

     50         50,041   

Excelitas Technologies Corp.

     

Term Loan, 6.00%, Maturing October 31, 2020

     145         127,782   

Go Daddy Operating Company, LLC

     

Term Loan, 4.25%, Maturing May 13, 2021

     645         642,762   

GXS Group, Inc.

     

Term Loan, 3.25%, Maturing January 16, 2021

     172         170,821   

Infor (US), Inc.

     

Term Loan, 3.75%, Maturing June 3, 2020

     912         860,250   

Informatica Corporation

     

Term Loan, 4.50%, Maturing August 5, 2022

     424         405,814   

Lattice Semiconductor Corporation

     

Term Loan, 5.25%, Maturing March 10, 2021

     99         93,791   

M/A-COM Technology Solutions Holdings, Inc.

     

Term Loan, 4.50%, Maturing May 7, 2021

     99         98,500   

MA FinanceCo., LLC

     

Term Loan, 4.50%, Maturing November 20, 2019

     208         205,471   

 

6

 

 


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

Term Loan, 5.25%, Maturing November 19, 2021

     197       $ 194,791   

Magic Newco, LLC

     

Term Loan, 5.00%, Maturing December 12, 2018

     266         265,970   

MH Sub I, LLC

     

Term Loan, 4.75%, Maturing July 8, 2021

     222         217,802   

Microsemi Corporation

     

Term Loan, 5.25%, Maturing January 15, 2023

     175         173,979   

NXP B.V.

     

Term Loan, 3.25%, Maturing January 11, 2020

     342         339,880   

Term Loan, 3.75%, Maturing December 7, 2020

     325         324,623   

Orbotech, Inc.

     

Term Loan, 5.00%, Maturing August 6, 2020

     60         59,310   

Renaissance Learning, Inc.

     

Term Loan, 4.50%, Maturing April 9, 2021

     123         117,951   

Rocket Software, Inc.

     

Term Loan, 5.75%, Maturing February 8, 2018

     285         284,265   

RP Crown Parent, LLC

     

Term Loan, 6.00%, Maturing December 21, 2018

     884         782,720   

SGS Cayman L.P.

     

Term Loan, 6.00%, Maturing April 23, 2021

     37         37,200   

SkillSoft Corporation

     

Term Loan, 5.75%, Maturing April 28, 2021

     394         295,008   

Smart Technologies ULC

     

Term Loan, 10.50%, Maturing January 31, 2018

     104         99,334   

SS&C Technologies, Inc.

     

Term Loan, 4.01%, Maturing July 8, 2022

     366         365,060   

Term Loan, 4.02%, Maturing July 8, 2022

     53         52,451   

SunEdison Semiconductor B.V.

     

Term Loan, 6.50%, Maturing May 27, 2019

     119         118,058   

SurveyMonkey, Inc.

     

Term Loan, 6.25%, Maturing February 5, 2019

     95         93,481   

Sutherland Global Services, Inc.

     

Term Loan, 6.00%, Maturing April 23, 2021

     160         159,807   

Sybil Software, LLC

     

Term Loan, 4.25%, Maturing March 20, 2020

     794         790,692   

Vantiv, LLC

     

Term Loan, 3.75%, Maturing June 13, 2021

     126         126,242   

VeriFone, Inc.

     

Term Loan, 3.50%, Maturing July 8, 2021

     493         488,806   

Wall Street Systems Delaware, Inc.

     

Term Loan, 4.50%, Maturing April 30, 2021

     521         514,412   

Zebra Technologies Corporation

     

Term Loan, 4.75%, Maturing October 27, 2021

     393         393,671   
     

 

 

 
      $ 13,507,418   
     

 

 

 

Equipment Leasing — 0.4%

     

Delos Finance S.a.r.l.

     

Term Loan, 3.50%, Maturing March 6, 2021

     425       $ 423,778   

Flying Fortress, Inc.

     

Term Loan, 3.50%, Maturing April 30, 2020

     500         498,021   
     

 

 

 
      $ 921,799   
     

 

 

 

Financial Intermediaries — 2.5%

     

American Capital Ltd.

     

Term Loan, 3.50%, Maturing August 22, 2017

     129       $ 127,619   

Armor Holding II, LLC

     

Term Loan, 5.75%, Maturing June 26, 2020

     417         404,423   

Citco Funding, LLC

     

Term Loan, 4.25%, Maturing June 29, 2018

     670         668,119   

 

7

 

 


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

Clipper Acquisitions Corp.

     

Term Loan, 3.00%, Maturing February 6, 2020

     97       $ 95,565   

First Data Corporation

     

Term Loan, 3.93%, Maturing March 24, 2018

     650         642,455   

Term Loan, 3.93%, Maturing September 24, 2018

     375         370,781   

Term Loan, 4.18%, Maturing July 8, 2022

     150         147,670   

Grosvenor Capital Management Holdings, LLP

     

Term Loan, 3.75%, Maturing January 4, 2021

     1,124         1,084,422   

Guggenheim Partners, LLC

     

Term Loan, 4.25%, Maturing July 22, 2020

     245         243,582   

Hamilton Lane Advisors, LLC

     

Term Loan, 4.25%, Maturing July 9, 2022

     100         99,210   

Harbourvest Partners, LLC

     

Term Loan, 3.25%, Maturing February 4, 2021

     125         124,158   

LPL Holdings, Inc.

     

Term Loan, 4.25%, Maturing March 29, 2021

     1,570         1,546,444   

Medley, LLC

     

Term Loan, 6.50%, Maturing June 15, 2019

     86         86,985   

NXT Capital, Inc.

     

Term Loan, 6.25%, Maturing September 4, 2018

     124         124,048   

Ocwen Financial Corporation

     

Term Loan, 5.50%, Maturing February 15, 2018

     227         227,449   

Sesac Holdco II, LLC

     

Term Loan, 5.25%, Maturing February 8, 2019

     288         285,331   

Starwood Property Trust, Inc.

     

Term Loan, 3.50%, Maturing April 17, 2020

     122         120,570   

Walker & Dunlop, Inc.

     

Term Loan, 5.25%, Maturing December 11, 2020

     120         120,609   

Walter Investment Management Corp.

     

Term Loan, 4.75%, Maturing December 19, 2020

     199         155,418   
     

 

 

 
      $ 6,674,858   
     

 

 

 

Food Products — 1.8%

     

AdvancePierre Foods, Inc.

     

Term Loan, 5.75%, Maturing July 10, 2017

     636       $ 636,409   

Blue Buffalo Company Ltd.

     

Term Loan, 3.75%, Maturing August 8, 2019

     242         241,936   

Charger OpCo B.V.

     

Term Loan, 4.25%, Maturing July 2, 2022

   EUR 95         103,197   

Term Loan, 4.25%, Maturing July 2, 2022

     364         362,386   

Clearwater Seafoods Limited Partnership

     

Term Loan, 4.75%, Maturing June 26, 2019

     166         165,913   

Del Monte Foods, Inc.

     

Term Loan, 4.25%, Maturing February 18, 2021

     123         117,600   

Dole Food Company, Inc.

     

Term Loan, 4.50%, Maturing November 1, 2018

     92         90,801   

High Liner Foods Incorporated

     

Term Loan, 4.25%, Maturing April 24, 2021

     147         145,349   

JBS USA, LLC

     

Term Loan, 3.75%, Maturing May 25, 2018

     866         862,048   

Term Loan, 3.75%, Maturing September 18, 2020

     293         285,186   

Term Loan, 4.00%, Maturing October 30, 2022

     125         121,836   

NBTY, Inc.

     

Term Loan, 3.50%, Maturing October 1, 2017

     853         842,904   

Pinnacle Foods Finance, LLC

     

Term Loan, 3.00%, Maturing April 29, 2020

     122         120,976   

Term Loan, 3.00%, Maturing April 29, 2020

     605         599,361   

Post Holdings, Inc.

     

Term Loan, 3.75%, Maturing June 2, 2021

     47         47,233   
     

 

 

 
      $ 4,743,135   
     

 

 

 

 

8

 

 


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

Food Service — 1.1%

     

1011778 B.C. Unlimited Liability Company

     

Term Loan, 3.75%, Maturing December 10, 2021

     920       $ 915,105   

Aramark Services, Inc.

     

Term Loan, 3.93%, Maturing July 26, 2016

     5         5,037   

Term Loan, 3.93%, Maturing July 26, 2016

     9         9,073   

Landry’s, Inc.

     

Term Loan, 4.00%, Maturing April 24, 2018

     398         397,427   

US Foods, Inc.

     

Term Loan, 4.50%, Maturing March 31, 2019

     609         601,758   

Weight Watchers International, Inc.

     

Term Loan, 4.00%, Maturing April 2, 2020

     1,416         982,953   
     

 

 

 
      $ 2,911,353   
     

 

 

 

Food/Drug Retailers — 1.0%

     

Albertsons, LLC

     

Term Loan, 5.50%, Maturing March 21, 2019

     221       $ 219,533   

Term Loan, 5.13%, Maturing August 25, 2019

     409         401,086   

Term Loan, 5.50%, Maturing August 25, 2021

     174         170,322   

General Nutrition Centers, Inc.

     

Term Loan, 3.25%, Maturing March 4, 2019

     745         723,167   

Rite Aid Corporation

     

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

     100         100,250   

Supervalu, Inc.

     

Term Loan, 4.50%, Maturing March 21, 2019

     982         948,416   
     

 

 

 
      $ 2,562,774   
     

 

 

 

Health Care — 5.8%

     

Acadia Healthcare Company, Inc.

     

Term Loan, 4.25%, Maturing February 11, 2022

     50       $ 49,232   

ADMI Corp.

     

Term Loan, 5.50%, Maturing April 30, 2022

     75         74,749   

Akorn, Inc.

     

Term Loan, 6.00%, Maturing April 16, 2021

     198         194,291   

Albany Molecular Research, Inc.

     

Term Loan, 5.75%, Maturing July 16, 2021

     399         396,007   

Alere, Inc.

     

Term Loan, 4.25%, Maturing June 18, 2022

     301         298,751   

Alliance Healthcare Services, Inc.

     

Term Loan, 4.25%, Maturing June 3, 2019

     217         200,635   

Amneal Pharmaceuticals, LLC

     

Term Loan, 4.50%, Maturing November 1, 2019

     541         534,330   

AmSurg Corp.

     

Term Loan, 3.50%, Maturing July 16, 2021

     99         98,028   

Ardent Legacy Acquisitions, Inc.

     

Term Loan, 6.50%, Maturing July 21, 2021

     100         99,376   

Auris Luxembourg III S.a.r.l.

     

Term Loan, 4.25%, Maturing January 15, 2022

     149         148,163   

CareCore National, LLC

     

Term Loan, 5.50%, Maturing March 5, 2021

     597         513,828   

CHG Healthcare Services, Inc.

     

Term Loan, 4.25%, Maturing November 19, 2019

     170         168,946   

Community Health Systems, Inc.

     

Term Loan, 3.66%, Maturing December 31, 2018

     367         362,405   

Term Loan, 3.75%, Maturing December 31, 2019

     500         482,230   

Term Loan, 4.00%, Maturing January 27, 2021

     921         888,002   

Convatec, Inc.

     

Term Loan, 4.25%, Maturing June 15, 2020

     89         88,298   

CPI Buyer, LLC

     

Term Loan, 5.50%, Maturing August 18, 2021

     198         189,107   

 

9

 

 


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

DaVita HealthCare Partners, Inc.

     

Term Loan, 3.50%, Maturing June 24, 2021

     542       $ 541,479   

DJO Finance, LLC

     

Term Loan, 4.25%, Maturing June 8, 2020

     398         385,728   

Envision Healthcare Corporation

     

Term Loan, 4.25%, Maturing May 25, 2018

     395         394,209   

Global Healthcare Exchange, LLC

     

Term Loan, 5.50%, Maturing August 15, 2022

     200         198,378   

Greatbatch Ltd.

     

Term Loan, 5.25%, Maturing October 27, 2022

     175         173,688   

Grifols Worldwide Operations USA, Inc.

     

Term Loan, 3.43%, Maturing February 27, 2021

     811         808,637   

Iasis Healthcare, LLC

     

Term Loan, 4.50%, Maturing May 3, 2018

     310         306,378   

Indivior Finance S.a.r.l.

     

Term Loan, 7.00%, Maturing December 19, 2019

     190         174,325   

inVentiv Health, Inc.

     

Term Loan, 7.75%, Maturing May 15, 2018

     533         529,262   

Jaguar Holding Company II

     

Term Loan, 4.25%, Maturing August 18, 2022

     796         782,269   

Kindred Healthcare, Inc.

     

Term Loan, 4.25%, Maturing April 9, 2021

     742         718,341   

Kinetic Concepts, Inc.

     

Term Loan, 4.50%, Maturing May 4, 2018

     914         891,716   

Knowledge Universe Education, LLC

     

Term Loan, 6.00%, Maturing July 28, 2022

     200         197,006   

LHP Hospital Group, Inc.

     

Term Loan, 9.00%, Maturing July 3, 2018

     225         220,322   

MMM Holdings, Inc.

     

Term Loan, 9.75%, Maturing December 12, 2017(2)

     107         59,069   

MSO of Puerto Rico, Inc.

     

Term Loan, 9.75%, Maturing December 12, 2017(2)

     78         42,943   

New Millennium HoldCo, Inc.

     

Term Loan, 7.50%, Maturing December 21, 2020

     296         268,785   

Onex Carestream Finance L.P.

     

Term Loan, 5.00%, Maturing June 7, 2019

     433         378,836   

Opal Acquisition, Inc.

     

Term Loan, 5.00%, Maturing November 27, 2020

     294         243,264   

Ortho-Clinical Diagnostics, Inc.

     

Term Loan, 4.75%, Maturing June 30, 2021

     542         479,787   

Physio-Control International, Inc.

     

Term Loan, 5.50%, Maturing June 6, 2022

     75         73,503   

PRA Holdings, Inc.

     

Term Loan, 4.50%, Maturing September 23, 2020

     486         484,487   

Radnet Management, Inc.

     

Term Loan, 4.27%, Maturing October 10, 2018

     341         337,899   

RCHP, Inc.

     

Term Loan, 6.00%, Maturing April 23, 2019

     419         413,288   

Sage Products Holdings III, LLC

     

Term Loan, 4.25%, Maturing December 13, 2019

     137         135,812   

Select Medical Corporation

     

Term Loan, 5.00%, Maturing June 1, 2018

     217         213,988   

Sterigenics-Nordion Holdings, LLC

     

Term Loan, 4.25%, Maturing May 15, 2022

     125         121,259   

Steward Health Care System, LLC

     

Term Loan, 6.75%, Maturing April 12, 2020

     394         380,152   

Tecomet, Inc.

     

Term Loan, 5.75%, Maturing December 5, 2021

     223         198,247   

Truven Health Analytics, Inc.

     

Term Loan, 4.50%, Maturing June 6, 2019

     314         302,685   
     

 

 

 
      $ 15,242,120   
     

 

 

 

 

10

 

 


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

Home Furnishings — 0.5%

     

Serta Simmons Holdings, LLC

     

Term Loan, 4.25%, Maturing October 1, 2019

     1,255       $ 1,249,297   
     

 

 

 
      $ 1,249,297   
     

 

 

 

Industrial Equipment — 1.6%

     

Apex Tool Group, LLC

     

Term Loan, 4.50%, Maturing January 31, 2020

     539       $ 515,456   

Delachaux S.A.

     

Term Loan, 4.50%, Maturing October 28, 2021

     75         74,028   

Doosan Infracore International, Inc.

     

Term Loan, 4.50%, Maturing May 28, 2021

     182         174,578   

Gardner Denver, Inc.

     

Term Loan, 4.25%, Maturing July 30, 2020

     342         308,982   

Generac Power Systems, Inc.

     

Term Loan, 3.50%, Maturing May 31, 2020

     258         252,562   

Husky Injection Molding Systems Ltd.

     

Term Loan, 4.25%, Maturing June 30, 2021

     467         447,242   

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

     80         73,610   

Milacron, LLC

     

Term Loan, 4.50%, Maturing September 28, 2020

     215         210,432   

Paladin Brands Holding, Inc.

     

Term Loan, 7.25%, Maturing August 16, 2019

     88         79,561   

Rexnord, LLC

     

Term Loan, 4.00%, Maturing August 21, 2020

     831         795,216   

Signode Industrial Group US, Inc.

     

Term Loan, 3.75%, Maturing May 1, 2021

     169         163,090   

STS Operating, Inc.

     

Term Loan, 4.75%, Maturing February 12, 2021

     345         325,660   

Tank Holding Corp.

     

Term Loan, 5.25%, Maturing March 16, 2022

     148         145,186   

Terex Corporation

     

Term Loan, 3.50%, Maturing August 13, 2021

   EUR 296         320,928   

VAT Lux III S.a.r.l.

     

Term Loan, 4.25%, Maturing February 11, 2021

     59         57,485   

Wittur GmbH

     

Term Loan, 6.00%, Maturing February 10, 2022

   EUR  175         184,980   
     

 

 

 
      $ 4,128,996   
     

 

 

 

Insurance — 1.7%

     

Alliant Holdings I, Inc.

     

Term Loan, 4.50%, Maturing August 12, 2022

     348       $ 339,870   

AmWINS Group, LLC

     

Term Loan, 5.25%, Maturing September 6, 2019

     898         899,343   

AssuredPartners, Inc.

     

Term Loan, 5.75%, Maturing October 21, 2022

     125         122,969   

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

     125         120,625   

Asurion, LLC

     

Term Loan, 5.00%, Maturing May 24, 2019

     780         736,308   

Term Loan, 5.00%, Maturing August 4, 2022

     995         916,644   

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

     375         318,562   

CGSC of Delaware Holding Corporation

     

Term Loan, 5.00%, Maturing April 16, 2020

     49         46,952   

Cunningham Lindsey U.S., Inc.

     

Term Loan, 5.00%, Maturing December 10, 2019

     166         111,931   

Hub International Limited

     

Term Loan, 4.00%, Maturing October 2, 2020

     513         493,827   

 

11

 

 


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

USI, Inc.

     

Term Loan, 4.25%, Maturing December 27, 2019

     461       $ 452,790   
     

 

 

 
      $ 4,559,821   
     

 

 

 

Leisure Goods/Activities/Movies — 3.0%

     

Activision Blizzard, Inc.

     

Term Loan, 3.25%, Maturing October 12, 2020

     467       $ 467,808   

AMC Entertainment, Inc.

     

Term Loan, 4.00%, Maturing December 15, 2022

     399         399,820   

Ancestry.com, Inc.

     

Term Loan, 5.00%, Maturing August 17, 2022

     274         272,512   

Bombardier Recreational Products, Inc.

     

Term Loan, 3.75%, Maturing January 30, 2019

     641         633,449   

CDS U.S. Intermediate Holdings, Inc.

     

Term Loan, 5.00%, Maturing July 8, 2022

     75         70,075   

ClubCorp Club Operations, Inc.

     

Term Loan, 4.25%, Maturing December 15, 2022

     350         347,521   

Emerald Expositions Holding, Inc.

     

Term Loan, 4.75%, Maturing June 17, 2020

     175         172,648   

Fender Musical Instruments Corporation

     

Term Loan, 5.75%, Maturing April 3, 2019

     53         52,074   

Kasima, LLC

     

Term Loan, 3.25%, Maturing May 17, 2021

     120         118,672   

Lindblad Expeditions, Inc.

     

Term Loan, 5.50%, Maturing May 8, 2021

     45         45,258   

Term Loan, 5.50%, Maturing May 8, 2021

     353         350,752   

Live Nation Entertainment, Inc.

     

Term Loan, 3.50%, Maturing August 16, 2020

     497         495,897   

LTF Merger Sub, Inc.

     

Term Loan, 4.25%, Maturing June 10, 2022

     249         242,687   

Match Group, Inc.

     

Term Loan, 5.50%, Maturing November 16, 2022

     200         199,625   

Nord Anglia Education Finance, LLC

     

Term Loan, 5.00%, Maturing March 31, 2021

     643         627,160   

Regal Cinemas Corporation

     

Term Loan, 3.80%, Maturing April 1, 2022

     1,167         1,167,964   

Sabre, Inc.

     

Term Loan, 4.00%, Maturing February 19, 2019

     218         216,136   

SeaWorld Parks & Entertainment, Inc.

     

Term Loan, 3.00%, Maturing May 14, 2020

     533         503,634   

SRAM, LLC

     

Term Loan, 4.03%, Maturing April 10, 2020

     317         258,819   

Steinway Musical Instruments, Inc.

     

Term Loan, 4.75%, Maturing September 19, 2019

     375         371,250   

Town Sports International, Inc.

     

Term Loan, 4.50%, Maturing November 15, 2020

     211         82,132   

WMG Acquisition Corp.

     

Term Loan, 3.75%, Maturing July 1, 2020

     171         164,701   

Zuffa, LLC

     

Term Loan, 3.75%, Maturing February 25, 2020

     558         545,905   
     

 

 

 
      $ 7,806,499   
     

 

 

 

Lodging and Casinos — 2.2%

     

Affinity Gaming, LLC

     

Term Loan, 5.25%, Maturing November 9, 2017

     457       $ 457,862   

Amaya Holdings B.V.

     

Term Loan, 5.00%, Maturing August 1, 2021

     643         594,620   

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

     539         535,869   

Boyd Gaming Corporation

     

Term Loan, 4.00%, Maturing August 14, 2020

     81         80,763   

 

12

 

 


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

Caesars Entertainment Operating Company

     

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

     366       $ 318,899   

CityCenter Holdings, LLC

     

Term Loan, 4.25%, Maturing October 16, 2020

     621         618,353   

Four Seasons Holdings, Inc.

     

Term Loan, 3.50%, Maturing June 27, 2020

     98         96,349   

Term Loan - Second Lien, 6.25%, Maturing December 27, 2020

     500         497,917   

Golden Nugget, Inc.

     

Term Loan, 5.50%, Maturing November 21, 2019

     62         61,486   

Term Loan, 5.50%, Maturing November 21, 2019

     144         143,468   

Hilton Worldwide Finance, LLC

     

Term Loan, 3.50%, Maturing October 26, 2020

     872         871,415   

La Quinta Intermediate Holdings, LLC

     

Term Loan, 3.75%, Maturing April 14, 2021

     166         161,127   

MGM Resorts International

     

Term Loan, 3.50%, Maturing December 20, 2019

     485         481,413   

Pinnacle Entertainment, Inc.

     

Term Loan, 3.75%, Maturing August 13, 2020

     46         45,518   

Playa Resorts Holding B.V.

     

Term Loan, 4.00%, Maturing August 9, 2019

     98         94,818   

RHP Hotel Properties L.P.

     

Term Loan, 3.50%, Maturing January 15, 2021

     123         122,971   

Scientific Games International, Inc.

     

Term Loan, 6.00%, Maturing October 18, 2020

     637         572,731   

Term Loan, 6.00%, Maturing October 1, 2021

     173         154,811   
     

 

 

 
      $ 5,910,390   
     

 

 

 

Nonferrous Metals/Minerals — 0.6%

     

Alpha Natural Resources, LLC

     

DIP Loan, 10.00%, Maturing January 31, 2017

     25       $ 23,750   

Term Loan, 3.50%, Maturing May 22, 2020

     147         54,251   

Arch Coal, Inc.

     

DIP Loan, Maturing January 12, 2017(3)

     125         118,750   

Term Loan, 6.25%, Maturing May 16, 2018

     555         165,157   

Dynacast International, LLC

     

Term Loan, 4.50%, Maturing January 28, 2022

     124         121,581   

Fairmount Santrol, Inc.

     

Term Loan, 4.50%, Maturing September 5, 2019

     367         171,139   

Murray Energy Corporation

     

Term Loan, 7.00%, Maturing April 16, 2017

     50         34,805   

Term Loan, 7.50%, Maturing April 16, 2020

     348         164,969   

Noranda Aluminum Acquisition Corporation

     

Term Loan, 5.75%, Maturing February 28, 2019

     168         53,268   

Novelis, Inc.

     

Term Loan, 4.00%, Maturing June 2, 2022

     498         462,675   

Oxbow Carbon, LLC

     

Term Loan, 4.25%, Maturing July 19, 2019

     88         78,750   

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

     150         116,250   
     

 

 

 
      $ 1,565,345   
     

 

 

 

Oil and Gas — 1.5%

     

Ameriforge Group, Inc.

     

Term Loan, 5.00%, Maturing December 19, 2019

     219       $ 89,251   

Bronco Midstream Funding, LLC

     

Term Loan, 5.00%, Maturing August 15, 2020

     277         220,520   

CITGO Holding, Inc.

     

Term Loan, 9.50%, Maturing May 12, 2018

     179         176,962   

CITGO Petroleum Corporation

     

Term Loan, 4.50%, Maturing July 29, 2021

     198         191,081   

 

13

 

 


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

Crestwood Holdings, LLC

     

Term Loan, 7.00%, Maturing June 19, 2019

     167       $ 81,769   

Drillships Ocean Ventures, Inc.

     

Term Loan, 5.50%, Maturing July 25, 2021

     197         78,185   

Energy Transfer Equity L.P.

     

Term Loan, 3.25%, Maturing December 2, 2019

     325         247,000   

Term Loan, 4.00%, Maturing December 2, 2019

     570         441,522   

Fieldwood Energy, LLC

     

Term Loan, 3.88%, Maturing September 28, 2018

     196         131,721   

Floatel International, Ltd.

     

Term Loan, 6.00%, Maturing June 27, 2020

     172         69,921   

MEG Energy Corp.

     

Term Loan, 3.75%, Maturing March 31, 2020

     1,427         1,121,136   

Paragon Offshore Finance Company

     

Term Loan, 3.75%, Maturing July 18, 2021

     148         33,699   

Samson Investment Company

     

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

     175         4,813   

Seadrill Partners Finco, LLC

     

Term Loan, 4.00%, Maturing February 21, 2021

     835         332,896   

Sheridan Investment Partners II L.P.

     

Term Loan, 4.25%, Maturing December 16, 2020

     28         13,510   

Term Loan, 4.25%, Maturing December 16, 2020

     75         36,224   

Term Loan, 4.25%, Maturing December 16, 2020

     537         260,405   

Sheridan Production Partners I, LLC

     

Term Loan, 4.25%, Maturing October 1, 2019

     31         17,625   

Term Loan, 4.25%, Maturing October 1, 2019

     50         28,856   

Term Loan, 4.25%, Maturing October 1, 2019

     379         217,767   

Targa Resources Corp.

     

Term Loan, 5.75%, Maturing February 25, 2022

     47         39,302   

Tervita Corporation

     

Term Loan, 6.25%, Maturing May 15, 2018

     129         100,588   
     

 

 

 
      $ 3,934,753   
     

 

 

 

Publishing — 0.7%

     

Ascend Learning, LLC

     

Term Loan, 5.50%, Maturing July 31, 2019

     220       $ 219,857   

Getty Images, Inc.

     

Term Loan, 4.75%, Maturing October 18, 2019

     922         594,506   

Laureate Education, Inc.

     

Term Loan, 5.00%, Maturing June 15, 2018

     514         405,776   

McGraw-Hill Global Education Holdings, LLC

     

Term Loan, 4.75%, Maturing March 22, 2019

     125         123,531   

Merrill Communications, LLC

     

Term Loan, 6.25%, Maturing June 1, 2022

     124         104,372   

Multi Packaging Solutions, Inc.

     

Term Loan, 4.25%, Maturing September 30, 2020

     60         58,902   

ProQuest, LLC

     

Term Loan, 5.75%, Maturing October 24, 2021

     124         120,654   

Springer Science+Business Media Deutschland GmbH

     

Term Loan, 4.75%, Maturing August 14, 2020

     245         235,352   
     

 

 

 
      $ 1,862,950   
     

 

 

 

Radio and Television — 1.2%

     

AP NMT Acquisition B.V.

     

Term Loan, 6.75%, Maturing August 13, 2021

     99       $ 86,283   

Block Communications, Inc.

     

Term Loan, 4.00%, Maturing November 7, 2021

     49         49,066   

CCO Safari III, LLC

     

Term Loan, 3.50%, Maturing January 24, 2023

     375         375,273   

 

14

 

 


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

Cumulus Media Holdings, Inc.

     

Term Loan, 4.25%, Maturing December 23, 2020

     729       $ 537,981   

Hubbard Radio, LLC

     

Term Loan, 4.25%, Maturing May 27, 2022

     115         107,208   

iHeartCommunications, Inc.

     

Term Loan, 7.93%, Maturing July 30, 2019

     450         299,438   

MGOC, Inc.

     

Term Loan, 4.00%, Maturing July 31, 2020

     255         254,226   

Mission Broadcasting, Inc.

     

Term Loan, 3.75%, Maturing October 1, 2020

     126         124,891   

Nexstar Broadcasting, Inc.

     

Term Loan, 3.75%, Maturing October 1, 2020

     143         141,628   

Univision Communications, Inc.

     

Term Loan, 4.00%, Maturing March 1, 2020

     1,132         1,106,970   
     

 

 

 
      $ 3,082,964   
     

 

 

 

Retailers (Except Food and Drug) — 2.3%

     

99 Cents Only Stores

     

Term Loan, 4.50%, Maturing January 11, 2019

     335       $ 211,404   

Bass Pro Group, LLC

     

Term Loan, 4.00%, Maturing June 5, 2020

     440         423,023   

CDW, LLC

     

Term Loan, 3.25%, Maturing April 29, 2020

     365         358,894   

David’s Bridal, Inc.

     

Term Loan, 5.25%, Maturing October 11, 2019

     119         103,158   

Dollar Tree, Inc.

     

Term Loan, 3.50%, Maturing July 6, 2022

     387         386,772   

Evergreen Acqco 1 L.P.

     

Term Loan, 5.00%, Maturing July 9, 2019

     121         84,445   

Harbor Freight Tools USA, Inc.

     

Term Loan, 4.75%, Maturing July 26, 2019

     177         177,531   

J. Crew Group, Inc.

     

Term Loan, 4.00%, Maturing March 5, 2021

     516         349,279   

Jo-Ann Stores, Inc.

     

Term Loan, 4.00%, Maturing March 16, 2018

     315         296,234   

Men’s Wearhouse, Inc. (The)

     

Term Loan, 4.50%, Maturing June 18, 2021

     157         140,787   

Michaels Stores, Inc.

     

Term Loan, 3.75%, Maturing January 28, 2020

     970         960,965   

Neiman Marcus Group, Inc. (The)

     

Term Loan, 4.25%, Maturing October 25, 2020

     758         660,178   

Party City Holdings, Inc.

     

Term Loan, 4.25%, Maturing August 19, 2022

     499         487,113   

PetSmart, Inc.

     

Term Loan, 4.25%, Maturing March 11, 2022

     918         890,903   

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

     

Term Loan, 4.50%, Maturing April 30, 2021

     99         90,128   

Pilot Travel Centers, LLC

     

Term Loan, 3.75%, Maturing October 1, 2021

     291         291,615   

Spin Holdco, Inc.

     

Term Loan, 4.25%, Maturing November 14, 2019

     294         279,841   
     

 

 

 
      $ 6,192,270   
     

 

 

 

Steel — 0.5%

     

FMG Resources (August 2006) Pty. Ltd.

     

Term Loan, 4.25%, Maturing June 30, 2019

     1,681       $ 1,174,692   

JMC Steel Group, Inc.

     

Term Loan, 4.75%, Maturing April 1, 2017

     128         124,856   

Neenah Foundry Company

     

Term Loan, 6.76%, Maturing April 26, 2017

     80         79,897   
     

 

 

 
      $ 1,379,445   
     

 

 

 

 

15

 

 


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

Surface Transport — 0.2%

     

Hertz Corporation (The)

     

Term Loan, 3.75%, Maturing March 11, 2018

     340       $ 338,757   

Kenan Advantage Group, Inc.

     

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

     10         9,467   

Term Loan, 4.00%, Maturing July 31, 2022

     22         21,568   

Term Loan, 4.00%, Maturing July 31, 2022

     68         67,617   

Stena International S.a.r.l.

     

Term Loan, 4.00%, Maturing March 3, 2021

     270         216,150   
     

 

 

 
      $ 653,559   
     

 

 

 

Telecommunications — 1.0%

     

Intelsat Jackson Holdings S.A.

     

Term Loan, 3.75%, Maturing June 30, 2019

     650       $ 623,932   

IPC Corp.

     

Term Loan, 5.50%, Maturing August 6, 2021

     347         323,927   

Mitel US Holdings, Inc.

     

Term Loan, 5.50%, Maturing April 29, 2022

     144         143,449   

SBA Senior Finance II, LLC

     

Term Loan, 3.25%, Maturing March 24, 2021

     345         339,471   

Syniverse Holdings, Inc.

     

Term Loan, 4.00%, Maturing April 23, 2019

     242         169,666   

Term Loan, 4.00%, Maturing April 23, 2019

     336         235,158   

Telesat Canada

     

Term Loan, 3.50%, Maturing March 28, 2019

     652         637,398   

Windstream Corporation

     

Term Loan, 3.50%, Maturing August 8, 2019

     121         118,020   
     

 

 

 
      $ 2,591,021   
     

 

 

 

Utilities — 2.0%

     

Calpine Construction Finance Company L.P.

     

Term Loan, 3.00%, Maturing May 3, 2020

     195       $ 183,625   

Term Loan, 3.25%, Maturing January 31, 2022

     73         69,046   

Calpine Corporation

     

Term Loan, 4.00%, Maturing October 9, 2019

     169         165,362   

Term Loan, 3.50%, Maturing May 27, 2022

     597         567,274   

Dynegy Holdings, Inc.

     

Term Loan, 4.00%, Maturing April 23, 2020

     1,167         1,128,309   

EFS Cogen Holdings I, LLC

     

Term Loan, 3.75%, Maturing December 17, 2020

     71         68,895   

Electrical Components International, Inc.

     

Term Loan, 5.75%, Maturing May 28, 2021

     597         591,006   

Energy Future Intermediate Holding Co., LLC

     

DIP Loan, 4.25%, Maturing December 19, 2016

     300         299,625   

EWT Holdings III Corp.

     

Term Loan, 4.75%, Maturing January 15, 2021

     566         554,643   

Granite Acquisition, Inc.

     

Term Loan, 5.00%, Maturing December 19, 2021

     21         19,229   

Term Loan, 5.00%, Maturing December 19, 2021

     474         432,651   

Invenergy Thermal Operating I, LLC

     

Term Loan, 6.50%, Maturing October 7, 2022

     25         23,940   

La Frontera Generation, LLC

     

Term Loan, 4.50%, Maturing September 30, 2020

     816         793,302   

Lonestar Generation, LLC

     

Term Loan, 5.25%, Maturing February 20, 2021(2)

     99         67,147   

Longview Power, LLC

     

Term Loan, 7.00%, Maturing April 13, 2021

     50         41,541   

 

16

 

 


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

TPF II Power, LLC

     

Term Loan, 5.50%, Maturing October 2, 2021

     271       $ 259,459   
     

 

 

 
      $ 5,265,054   
     

 

 

 

Total Senior Floating-Rate Loans
(identified cost $152,594,868)

      $ 142,374,000   
     

 

 

 

Collateralized Mortgage Obligations — 26.0%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Federal Home Loan Mortgage Corp.:

     

Series 2113, Class QG, 6.00%, 1/15/29

   $ 1,026       $ 1,167,889   

Series 2167, Class BZ, 7.00%, 6/15/29

     833         962,978   

Series 2182, Class ZB, 8.00%, 9/15/29

     1,394         1,671,182   

Series 2631, (Interest Only), Class DS, 6.675%, 6/15/33(6)(7)

     2,025         327,914   

Series 2770, (Interest Only), Class SH, 6.675%, 3/15/34(6)(7)

     2,505         522,767   

Series 2981, (Interest Only), Class CS, 6.295%, 5/15/35(6)(7)

     1,431         287,899   

Series 3114, (Interest Only), Class TS, 6.225%, 9/15/30(6)(7)

     3,589         631,714   

Series 3339, (Interest Only), Class JI, 6.165%, 7/15/37(6)(7)

     2,836         535,489   

Series 4109, (Interest Only), Class ES, 5.725%, 12/15/41(6)(7)

     541         29,283   

Series 4163, (Interest Only), Class GS, 5.775%, 11/15/32(6)(7)

     5,857         1,228,021   

Series 4169, (Interest Only), Class AS, 5.825%, 2/15/33(6)(7)

     3,672         740,522   

Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26(7)

     3,565         340,634   

Series 4203, (Interest Only), Class QS, 5.825%, 5/15/43(6)(7)

     3,863         836,644   

Series 4212, (Interest Only), Class SA, 5.775%, 7/15/38(6)(7)

     7,376         1,002,627   

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

     1,167         1,183,545   

Series 4316, (Interest Only), Class JS, 5.675%, 1/15/44(6)(7)

     3,120         456,178   

Series 4326, Class TS, 12.392%, 4/15/44(6)

     826         857,260   

Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43(7)

     2,565         317,764   

Series 4336, Class GU, 3.50%, 2/15/53

     2,630         2,700,233   

Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41(7)

     2,835         374,467   

Series 4416, Class SU, 7.748%, 12/15/44(6)

     4,792         4,913,906   

Series 4450, Class DS, 5.362%, 9/15/44(6)

     526         528,135   

Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45(8)

     2,332         2,113,601   

Series 4497, (Interest Only), Class CS, 5.775%, 9/15/44(6)(7)

     4,882         924,169   

Series 4507, (Interest Only), Class EI, 4.00%, 8/15/44(7)

     4,712         918,521   
     

 

 

 
      $ 25,573,342   
     

 

 

 

Federal National Mortgage Association:

     

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

   $ 34       $ 37,079   

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

     155         170,486   

Series 1993-84, Class M, 7.50%, 6/25/23

     1,191         1,351,324   

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

     384         426,055   

Series 1997-28, Class ZA, 7.50%, 4/20/27

     461         547,972   

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

     426         496,655   

Series 2004-46, (Interest Only), Class SI, 5.574%, 5/25/34(6)(7)

     2,519         386,118   

Series 2005-17, (Interest Only), Class SA, 6.274%, 3/25/35(6)(7)

     1,866         400,484   

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

     1,614         1,418,571   

Series 2006-42, (Interest Only), Class PI, 6.164%, 6/25/36(6)(7)

     3,273         609,887   

Series 2006-44, (Interest Only), Class IS, 6.174%, 6/25/36(6)(7)

     2,637         513,100   

Series 2006-72, (Interest Only), Class GI, 6.154%, 8/25/36(6)(7)

     4,734         842,331   

Series 2007-50, (Interest Only), Class LS, 6.024%, 6/25/37(6)(7)

     1,988         374,844   

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

     2,528         2,773,721   

Series 2008-26, (Interest Only), Class SA, 5.774%, 4/25/38(6)(7)

     3,262         608,372   

Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35(7)

     1,447         56,449   

Series 2008-61, (Interest Only), Class S, 5.674%, 7/25/38(6)(7)

     4,363         819,538   

Series 2010-99, (Interest Only), Class NS, 6.174%, 3/25/39(6)(7)

     3,517         325,090   

 

17

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Series 2010-109, (Interest Only), Class PS, 6.174%, 10/25/40(6)(7)

   $ 5,264       $ 927,474   

Series 2010-119, (Interest Only), Class SK, 5.574%, 4/25/40(6)(7)

     1,226         47,356   

Series 2010-124, (Interest Only), Class SJ, 5.624%, 11/25/38(6)(7)

     3,221         414,806   

Series 2010-147, (Interest Only), Class KS, 5.524%, 1/25/41(6)(7)

     6,535         1,091,581   

Series 2010-150, (Interest Only), Class GS, 6.324%, 1/25/21(6)(7)

     3,907         395,346   

Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28(7)

     5,240         118,522   

Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25(7)

     5,788         496,462   

Series 2011-49, Class NT, 6.00%, 6/25/41(6)

     882         973,644   

Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26(7)

     6,971         534,065   

Series 2012-56, (Interest Only), Class SU, 6.324%, 8/25/26(6)(7)

     2,291         205,004   

Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40(7)

     6,325         592,367   

Series 2012-103, (Interest Only), Class GS, 5.674%, 2/25/40(6)(7)

     7,376         1,101,542   

Series 2012-150, (Interest Only), Class PS, 5.724%, 1/25/43(6)(7)

     7,323         1,455,815   

Series 2012-150, (Interest Only), Class SK, 5.724%, 1/25/43(6)(7)

     4,113         815,286   

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

     2,728         2,613,520   

Series 2013-23, (Interest Only), Class CS, 5.824%, 3/25/33(6)(7)

     3,640         742,810   

Series 2013-54, (Interest Only), Class HS, 5.874%, 10/25/41(6)(7)

     3,457         503,370   

Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44(7)

     1,936         308,263   

Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44(7)

     1,603         252,773   

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

     4,897         720,152   

Series 2014-72, Class CS, 8.338%, 11/25/44(6)

     695         706,717   

Series 2014-80, (Interest Only), Class BI, 3.00%, 12/25/44(7)

     8,353         1,065,354   

Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45(7)

     3,678         591,908   

Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45(7)

     8,089         1,119,265   

Series 2015-17, (Interest Only), Class SA, 5.774%, 11/25/43(6)(7)

     8,228         1,250,383   

Series 2015-42, Class SC, 7.374%, 5/25/45(6)

     622         625,551   

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

     4,587         704,375   

Series 2015-57, (Interest Only), Class IO, 3.00%, 8/25/45(7)

     18,828         2,406,270   

Series 2015-74, Class SL, 2.099%, 10/25/45(6)

     3,200         2,963,029   

Series 2015-93, (Interest Only), Class BS, 5.724%, 8/25/45(6)(7)

     5,910         1,112,869   

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

     198         209,018   
     

 

 

 
      $ 39,222,973   
     

 

 

 

Government National Mortgage Association:

     

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

   $ 1,059       $ 1,000,379   

Series 2014-117, Class HS, 29.392%, 8/20/44(6)

     117         121,552   

Series 2014-146, Class S, 5.511%, 10/20/44(6)

     394         394,403   

Series 2015-72, Class ZN, 3.50%, 5/20/45

     1,240         1,247,310   

Series 2015-79, Class CS, 5.232%, 5/20/45(6)

     1,258         1,269,049   
     

 

 

 
      $ 4,032,693   
     

 

 

 

Total Collateralized Mortgage Obligations
(identified cost $69,665,612)

      $ 68,829,008   
     

 

 

 

Commercial Mortgage-Backed Securities — 8.9%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Citigroup Commercial Mortgage Trust

     

Series 2015-P1, Class D, 3.225%, 9/15/48(9)(10)

   $ 4,000       $ 2,905,691   

Commercial Mortgage Trust

     

Series 2014-KYO, Class D, 2.424%, 6/11/27(9)(11)

     1,000         973,396   

Series 2014-LC17, Class D, 3.687%, 10/10/47(9)

     1,065         816,197   

Extended Stay America Trust

     

Series 2013-ESH7, Class D7, 5.521%, 12/5/31(9)(10)

     1,080         1,086,852   

Hilton USA Trust

     

Series 2013-HLT, Class DFX, 4.407%, 11/5/30(9)

     850         854,546   

 

18

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
    Value  

JPMBB Commercial Mortgage Securities Trust

    

Series 2014-C19, Class D, 4.831%, 4/15/47(9)(10)

   $ 1,425      $ 1,137,575   

Series 2014-C21, Class D, 4.816%, 8/15/47(9)(10)

     650        509,736   

Series 2014-C22, Class D, 4.713%, 9/15/47(9)(10)

     1,850        1,364,547   

Series 2014-C23, Class D, 4.108%, 9/15/47(9)(10)

     850        643,895   

JPMorgan Chase Commercial Mortgage Securities Trust

    

Series 2011-C5, Class D, 5.50%, 8/15/46(9)(10)

     1,850        1,883,072   

Series 2014-DSTY, Class B, 3.771%, 6/10/27(9)

     1,900        1,963,430   

UBS-Citigroup Commercial Mortgage Trust

    

Series 2011-C1, Class D, 6.084%, 1/10/45(9)(10)

     2,000        2,132,703   

UBS Commercial Mortgage Trust

    

Series 2012-C1, Class D, 5.719%, 5/10/45(9)(10)

     2,000        1,989,931   

Wells Fargo Commercial Mortgage Trust

    

Series 2010-C1, Class C, 5.799%, 11/15/43(9)(10)

     500        535,317   

Series 2013-LC12, Class D, 4.434%, 7/15/46(9)(10)

     2,000        1,728,771   

Series 2015-SG1, Class C, 4.62%, 12/15/47(10)

     1,000        941,893   

WF-RBS Commercial Mortgage Trust

    

Series 2012-C9, Class D, 4.963%, 11/15/45(9)(10)

     1,250        1,194,004   

Series 2014-LC14, Class D, 4.586%, 3/15/47(9)(10)

     1,150        897,632   
    

 

 

 

Total Commercial Mortgage-Backed Securities
(identified cost $24,763,664)

     $ 23,559,188   
    

 

 

 

Mortgage Pass-Throughs — 22.2%

    
Security    Principal
Amount
(000’s omitted)
    Value  

Federal Home Loan Mortgage Corp.:

    

2.532%, with maturity at 2035(12)

   $ 2,463      $ 2,601,083   

2.873%, with maturity at 2035(12)

     2,546        2,700,766   

5.00%, with maturity at 2019

     1,242        1,295,711   

6.00%, with various maturities to 2029

     2,031        2,313,783   

6.15%, with maturity at 2027

     750        856,808   

6.50%, with various maturities to 2032

     4,024        4,581,880   

7.00%, with various maturities to 2036

     3,525        4,154,923   

7.50%, with maturity at 2024

     1,064        1,210,425   

8.00%, with various maturities to 2032

     1,673        2,013,980   

8.50%, with various maturities to 2031

     1,949        2,303,128   

9.00%, with maturity at 2031

     185        221,920   

9.50%, with various maturities to 2022

     48        52,753   

11.50%, with maturity at 2019

     0 (13)      168   
    

 

 

 
     $ 24,307,328   
    

 

 

 

Federal National Mortgage Association:

    

4.455%, with maturity at 2037(12)

   $ 787      $ 810,767   

5.00%, with various maturities to 2040

     3,452        3,819,278   

5.50%, with various maturities to 2033

     2,251        2,530,744   

6.00%, with maturity at 2023

     1,395        1,543,077   

6.32%, with maturity at 2032(12)

     1,062        1,174,998   

6.50%, with various maturities to 2036

     5,068        5,834,242   

7.00%, with various maturities to 2037

     5,404        6,311,305   

7.50%, with maturity at 2035

     3,658        4,304,282   

8.00%, with various maturities to 2034

     948        1,108,342   

8.50%, with various maturities to 2027

     105        120,038   

9.00%, with various maturities to 2029

     399        460,762   

10.00%, with various maturities to 2031

     260        288,630   
    

 

 

 
     $ 28,306,465   
    

 

 

 

 

19

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Government National Mortgage Association:

     

7.50%, with maturity at 2025

   $ 1,673       $ 1,901,456   

8.00%, with maturity at 2034

     2,164         2,544,402   

9.00%, with various maturities to 2026

     1,129         1,347,220   

9.50%, with maturity at 2025

     109         122,346   

11.00%, with maturity at 2018

     25         26,337   
     

 

 

 
      $ 5,941,761   
     

 

 

 

Total Mortgage Pass-Throughs
(identified cost $55,795,729)

      $ 58,555,554   
     

 

 

 

Asset-Backed Securities — 4.8%

     
Security    Principal
Amount
(000’s omitted)
     Value  

American Homes 4 Rent

     

Series 2014-SFR1, Class C, 2.176%, 6/17/31(9)(11)

   $ 200       $ 191,728   

Series 2014-SFR1, Class D, 2.776%, 6/17/31(9)(11)

     825         790,717   

American Residential Properties Trust

     

Series 2014-SFR1, Class C, 2.776%, 9/17/31(9)(11)

     2,000         1,940,872   

Centurion CDO IX Ltd.

     

Series 2005-9A, Class D1, 5.37%, 7/17/19(9)(11)

     500         469,564   

Colony American Homes

     

Series 2014-1A, Class C, 2.276%, 5/17/31(9)(11)

     760         732,553   

DB Master Finance LLC

     

Series 2015-1A, Class A2II, 3.98%, 2/20/45(9)

     1,241         1,239,888   

Invitation Homes Trust

     

Series 2013-SFR1, Class D, 2.577%, 12/17/30(9)(11)

     550         525,248   

Series 2014-SFR1, Class D, 3.026%, 6/17/31(9)(11)

     500         485,824   

OneMain Financial Issuance Trust

     

Series 2014-1A, Class A, 2.43%, 6/18/24(9)

     200         199,840   

Series 2014-1A, Class B, 3.24%, 6/18/24(9)

     800         798,110   

Series 2015-1A, Class B, 3.85%, 3/18/26(9)

     800         805,432   

Sierra Receivables Funding Co., LLC

     

Series 2014-1A, Class B, 2.42%, 3/20/30(9)

     217         216,723   

Series 2015-1A, Class B, 3.05%, 3/22/32(9)

     301         301,331   

Silver Bay Realty Trust

     

Series 2014-1, Class C, 2.476%, 9/17/31(9)(11)

     2,000         1,922,281   

SpringCastle Funding Trust

     

Series 2014-AA, Class B, 4.61%, 10/25/27(9)

     1,980         1,983,322   
     

 

 

 

Total Asset-Backed Securities
(identified cost $12,854,414)

      $ 12,603,433   
     

 

 

 

U.S. Government Agency Obligations — 0.6%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Federal Farm Credit Bank:

     

3.25%, 7/1/30

   $ 1,500       $ 1,549,108   
     

 

 

 

Total U.S. Government Agency Obligations
(identified cost $1,469,581)

      $ 1,549,108   
     

 

 

 

 

20

 

 


                                                 

Corporate Bonds & Notes — 0.8%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Financial Intermediaries — 0.1%

     

First Data Corp.

     

6.75%, 11/1/20(9)

   $ 163       $ 172,169   
     

 

 

 
      $ 172,169   
     

 

 

 

Food Products — 0.3%

     

Iceland Bondco PLC

     

4.841%, 7/15/20(9)(11)

   GBP 750       $ 908,373   
     

 

 

 
      $ 908,373   
     

 

 

 

Health Care — 0.2%

     

CHS/Community Health Systems, Inc.

     

5.125%, 8/15/18

   $ 425       $ 429,250   
     

 

 

 
      $ 429,250   
     

 

 

 

Lodging and Casinos — 0.1%

     

Caesars Entertainment Operating Co., Inc.

     

8.50%, 2/15/20(4)

   $ 350       $ 264,250   
     

 

 

 
      $ 264,250   
     

 

 

 

Utilities — 0.1%

     

Calpine Corp.

     

7.875%, 1/15/23(9)

   $ 389       $ 417,203   
     

 

 

 
      $ 417,203   
     

 

 

 

Total Corporate Bonds & Notes
(identified cost $2,611,464)

      $ 2,191,245   
     

 

 

 

Foreign Corporate Bonds — 0.2%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Supranational — 0.2%

     

International Bank for Reconstruction & Development

     

3.40%, 4/15/17(14)

   UYU 18,940       $ 601,386   
     

 

 

 
      $ 601,386   
     

 

 

 

Total Foreign Corporate Bonds
(identified cost $823,966)

      $ 601,386   
     

 

 

 

Foreign Government Bonds — 12.1%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Bangladesh — 2.1%

     

Bangladesh Treasury Bond, 8.80%, 6/4/16

   BDT 46,100       $ 598,027   

Bangladesh Treasury Bond, 10.10%, 6/11/19

   BDT 23,600         336,241   

Bangladesh Treasury Bond, 11.30%, 3/7/17

   BDT 50,000         682,146   

Bangladesh Treasury Bond, 11.40%, 5/9/17

   BDT 60,000         825,037   

Bangladesh Treasury Bond, 11.50%, 8/8/17

   BDT 107,500         1,491,932   

Bangladesh Treasury Bond, 11.50%, 11/7/17

   BDT 15,700         219,356   

Bangladesh Treasury Bond, 11.52%, 12/5/17

   BDT 20,000         279,941   

Bangladesh Treasury Bond, 11.55%, 9/5/17

   BDT 30,000         417,658   

 

21

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Bangladesh Treasury Bond, 11.55%, 10/3/17

   BDT 29,900       $ 416,808   

Bangladesh Treasury Bond, 11.72%, 2/6/18

   BDT 8,400         118,564   

Bangladesh Treasury Bond, 11.72%, 7/2/18

   BDT 19,400         278,578   
     

 

 

 

Total Bangladesh

      $ 5,664,288   
     

 

 

 

Brazil — 1.3%

     

Letra do Tesouro Nacional, 0.00%, 10/1/16

   BRL 2,902       $ 662,872   

Letra do Tesouro Nacional, 0.00%, 1/1/17

   BRL 12,700         2,809,193   
     

 

 

 

Total Brazil

      $ 3,472,065   
     

 

 

 

Costa Rica — 0.2%

     

Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16

   CRC  255,000       $ 488,484   
     

 

 

 

Total Costa Rica

      $ 488,484   
     

 

 

 

Czech Republic — 1.0%

     

Czech Republic Government Bond, 0.00%, 11/9/17(15)

   CZK 67,000       $ 2,693,913   
     

 

 

 

Total Czech Republic

      $ 2,693,913   
     

 

 

 

Dominican Republic — 2.1%

     

Dominican Republic International Bond, 10.40%, 5/10/19(15)

   DOP 54,400       $ 1,214,416   

Dominican Republic International Bond, 13.50%, 8/4/17(15)

   DOP 2,400         55,714   

Dominican Republic International Bond, 14.00%, 6/8/18(15)

   DOP 53,200         1,270,854   

Dominican Republic International Bond, 16.00%, 2/10/17(15)

   DOP 124,700         2,927,499   
     

 

 

 

Total Dominican Republic

      $ 5,468,483   
     

 

 

 

Georgia — 0.0%(16)

     

Georgia Treasury Bond, 10.75%, 7/9/17

   GEL 100       $ 39,771   
     

 

 

 

Total Georgia

      $ 39,771   
     

 

 

 

Iceland — 2.2%

     

Republic of Iceland, 6.25%, 2/5/20

   ISK 231,085       $ 1,328,324   

Republic of Iceland, 7.25%, 10/26/22

   ISK 427,092         2,590,866   

Republic of Iceland, 8.75%, 2/26/19

   ISK 329,709         2,013,219   
     

 

 

 

Total Iceland

      $ 5,932,409   
     

 

 

 

Lebanon — 0.0%(16)

     

Lebanon Treasury Note, 6.18%, 7/28/16

   LBP 174,650       $ 116,534   
     

 

 

 

Total Lebanon

      $ 116,534   
     

 

 

 

Philippines — 0.3%

     

Republic of the Philippines, 4.95%, 1/15/21

   PHP 27,000       $ 583,409   

Republic of the Philippines, 9.125%, 9/4/16

   PHP 14,990         326,736   
     

 

 

 

Total Philippines

      $ 910,145   
     

 

 

 

Serbia — 0.8%

     

Serbia Treasury Bond, 10.00%, 2/21/16

   RSD 82,900       $ 735,055   

Serbia Treasury Bond, 10.00%, 10/17/16

   RSD 21,800         201,033   

Serbia Treasury Bond, 10.00%, 4/1/17

   RSD 46,800         440,693   

Serbia Treasury Bond, 10.00%, 5/8/17

   RSD 18,760         177,333   

 

22

 

 


                                                 
Security   

Principal

Amount
(000’s omitted)

     Value  

Serbia Treasury Bond, 10.00%, 1/24/18

   RSD 22,180       $ 214,022   

Serbia Treasury Bond, 10.00%, 2/5/22

   RSD 20,360         203,258   
     

 

 

 

Total Serbia

      $ 1,971,394   
     

 

 

 

Uruguay — 1.1%

     

Uruguay Notas Del Tesoro, 2.25%, 8/23/17

   UYU 8,449       $ 261,779   

Uruguay Notas Del Tesoro, 2.75%, 6/16/16(14)

   UYU 60,405         1,929,550   

Uruguay Notas Del Tesoro, 11.00%, 3/21/17

   UYU 18,380         569,954   
     

 

 

 

Total Uruguay

      $ 2,761,283   
     

 

 

 

Vietnam — 1.0%

     

Vietnam Government Bond, 5.60%, 4/15/16

   VND 16,000,000       $ 720,405   

Vietnam Government Bond, 7.60%, 10/31/16

   VND 41,000,000         1,877,273   
     

 

 

 

Total Vietnam

      $ 2,597,678   
     

 

 

 

Total Foreign Government Bonds
(identified cost $34,900,520)

      $ 32,116,447   
     

 

 

 

Common Stocks — 0.5%

     
Security    Shares      Value  

Affinity Gaming, LLC(2)(17)(18)

     23,498       $ 323,099   

Dayco Products, LLC(2)(17)(18)

     8,898         302,532   

Education Management Corp.(2)(17)(18)

     955,755         0   

ION Media Networks, Inc.(2)(17)(18)

     1,357         565,937   

MediaNews Group, Inc.(2)(17)(18)

     3,023         98,248   

New Millennium HoldCo, Inc.(2)(17)(18)

     8,641         75,004   
     

 

 

 

Total Common Stocks
(identified cost $424,871)

      $ 1,364,820   
     

 

 

 

Convertible Preferred Stocks — 0.0%(16)

     
Security    Shares      Value  

Education Management Corp., Series A-1, 7.50%(2)(17)(18)

     1,063       $ 14,276   
     

 

 

 

Total Convertible Preferred Stocks
(identified cost $75,023)

      $ 14,276   
     

 

 

 

Currency Options Purchased — 0.0%(16)

     

 

                                                                                                                            
Description   Counterparty   Principal
Amount of
Contracts
(000’s omitted)
   

Strike

Price

    Expiration
Date
    Value  

Call INR/Put USD

  Citibank, N.A.   INR 100,664      INR 67.79        7/4/16      $ 13,463   

Call MXN/Put USD

  Deutsche Bank AG   MXN 24,067      MXN 18.33        1/11/17        59,529   

Call SEK/Put EUR

  Morgan Stanley & Co. International PLC   SEK 11,349      SEK 9.30        10/17/16        35,431   
         

 

 

 

Total Currency Options Purchased
(identified cost $150,035)

        $ 108,423   
         

 

 

 

 

23

 

 


                                                 

Short-Term Investments — 8.4%

     

Foreign Government Securities — 4.6%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Georgia — 1.0%

     

Georgia Treasury Bill, 0.00%, 8/18/16

   GEL 7,073       $ 2,710,838   
     

 

 

 

Total Georgia

      $ 2,710,838   
     

 

 

 

Iceland — 0.2%

     

Iceland Treasury Bill, 0.00%, 4/15/16

   ISK 19,720       $ 110,739   

Iceland Treasury Bill, 0.00%, 6/15/16

   ISK 58,778         327,390   
     

 

 

 

Total Iceland

      $ 438,129   
     

 

 

 

Lebanon — 2.4%

     

Lebanon Treasury Bill, 0.00%, 2/25/16

   LBP 677,920       $ 447,001   

Lebanon Treasury Bill, 0.00%, 3/31/16

   LBP 320,330         210,464   

Lebanon Treasury Bill, 0.00%, 5/26/16

   LBP 2,774,830         1,810,370   

Lebanon Treasury Bill, 0.00%, 12/1/16

   LBP 6,184,800         3,928,143   
     

 

 

 

Total Lebanon

      $ 6,395,978   
     

 

 

 

Sri Lanka — 1.0%

     

Sri Lanka Treasury Bill, 0.00%, 2/19/16

   LKR 50,440       $ 348,990   

Sri Lanka Treasury Bill, 0.00%, 2/26/16

   LKR 53,530         369,905   

Sri Lanka Treasury Bill, 0.00%, 3/4/16

   LKR 93,730         646,877   

Sri Lanka Treasury Bill, 0.00%, 3/11/16

   LKR 56,580         389,994   

Sri Lanka Treasury Bill, 0.00%, 3/25/16

   LKR 135,720         933,109   
     

 

 

 

Total Sri Lanka

      $ 2,688,875   
     

 

 

 

Total Foreign Government Securities
(identified cost $12,626,025)

      $ 12,233,820   
     

 

 

 

U.S. Treasury Obligations — 1.2%

     
Security    Principal
Amount
(000’s omitted)
     Value  

U.S. Treasury Bill, 0.00%, 3/24/16(19)

   $ 3,000       $ 2,998,869   
     

 

 

 

Total U.S. Treasury Obligations
(identified cost $2,999,892)

      $ 2,998,869   
     

 

 

 

Other — 2.6%

     
Description    Interest
(000’s omitted)
     Value  

Eaton Vance Cash Reserves Fund, LLC, 0.40%(20)

   $ 6,956       $ 6,955,703   
     

 

 

 

Total Other
(identified cost $6,955,703)