NPORT-EX 2 NPORT_3525486911373000.htm

 

Eaton Vance

Floating-Rate Income Plus Fund

February 29, 2020

 

Portfolio of Investments (Unaudited)

 

Senior Floating-Rate Loans — 133.3%(1)

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Aerospace and Defense — 3.1%          
AI Convoy (Luxembourg) S.a.r.l.          
Term Loan, 5.34%, (3 mo. USD LIBOR + 3.50%), Maturing January 17, 2027  $150   $148,969 
Dynasty Acquisition Co., Inc.          
Term Loan, 5.21%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026   79    77,079 
Term Loan, 5.21%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026   146    143,366 
TransDigm, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing August 22, 2024   1,313    1,292,067 
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing December 9, 2025   1,514    1,486,015 
WP CPP Holdings, LLC          
Term Loan, 5.53%, (USD LIBOR + 3.75%), Maturing April 30, 2025(2)   792    766,723 
        $3,914,219 
Automotive — 3.1%          
Adient US, LLC          
Term Loan, 5.89%, (3 mo. USD LIBOR + 4.00%), Maturing May 6, 2024  $299   $295,142 
American Axle and Manufacturing, Inc.          
Term Loan, 3.88%, (1 mo. USD LIBOR + 2.25%), Maturing April 6, 2024   553    541,788 
Autokiniton US Holdings, Inc.          
Term Loan, 7.98%, (1 mo. USD LIBOR + 6.38%), Maturing May 22, 2025   172    171,513 
Bright Bidco B.V.          
Term Loan, 5.33%, (USD LIBOR + 3.50%), Maturing June 30, 2024(2)   390    190,504 
Chassix, Inc.          
Term Loan, 7.35%, (USD LIBOR + 5.50%), Maturing November 15, 2023(2)   343    311,273 
Dayco Products, LLC          
Term Loan, 5.86%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023   243    220,028 
IAA, Inc.          
Term Loan, 3.88%, (1 mo. USD LIBOR + 2.25%), Maturing June 28, 2026   121    120,938 
Panther BF Aggregator 2 L.P.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing April 30, 2026   823    812,651 
Tenneco, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025   817    773,190 
Thor Industries, Inc.          
Term Loan, 5.44%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026   246    243,055 
TI Group Automotive Systems, LLC          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing June 30, 2022   224    222,108 
        $3,902,190 
Beverage and Tobacco — 0.8%          
Arterra Wines Canada, Inc.          
Term Loan, 4.65%, (3 mo. USD LIBOR + 2.75%), Maturing December 15, 2023  $583   $580,006 
Flavors Holdings, Inc.          
Term Loan - Second Lien, 11.94%, (3 mo. USD LIBOR + 10.00%), Maturing October 3, 2021   500    470,000 
        $1,050,006 
Brokerage/Securities Dealers/Investment Houses — 0.6%          
Advisor Group, Inc.          
Term Loan, 6.60%, (1 mo. USD LIBOR + 5.00%), Maturing August 1, 2026  $500   $495,312 

 

1 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Clipper Acquisitions Corp.        
Term Loan, 3.42%, (1 mo. USD LIBOR + 1.75%), Maturing December 27, 2024   294    292,163 
OZ Management L.P.          
Term Loan, 6.44%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023   11    10,814 
        $798,289 
Building and Development — 4.3%          
ACProducts, Inc.          
Term Loan, Maturing August 18, 2025(3)  $100   $102,125 
American Builders & Contractors Supply Co., Inc.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2027   549    542,453 
APi Group DE, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing October 1, 2026   350    348,250 
Beacon Roofing Supply, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing January 2, 2025   147    145,809 
Brookfield Property REIT, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025   222    215,800 
Core & Main L.P.          
Term Loan, 4.51%, (USD LIBOR + 2.75%), Maturing August 1, 2024(2)   245    243,037 
CPG International, Inc.          
Term Loan, 5.93%, (12 mo. USD LIBOR + 3.75%), Maturing May 5, 2024   521    518,201 
Cushman & Wakefield U.S. Borrower, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing August 21, 2025   1,259    1,241,750 
NCI Building Systems, Inc.          
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.75%), Maturing April 12, 2025   173    167,839 
Quikrete Holdings, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2027   601    593,449 
Realogy Group, LLC          
Term Loan, 3.90%, (1 mo. USD LIBOR + 2.25%), Maturing February 8, 2025   444    429,145 
Summit Materials Companies I, LLC          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing November 21, 2024   147    146,510 
Werner FinCo L.P.          
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing July 24, 2024   342    337,234 
WireCo WorldGroup, Inc.          
Term Loan, 6.60%, (1 mo. USD LIBOR + 5.00%), Maturing September 30, 2023   470    447,794 
        $5,479,396 
Business Equipment and Services — 11.2%          
Adtalem Global Education, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing April 11, 2025  $99   $98,777 
AlixPartners, LLP          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing April 4, 2024   636    622,105 
Allied Universal Holdco, LLC          
Term Loan, 5.85%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026   800    795,333 
Amentum Government Services Holdings, LLC          
Term Loan, 5.76%, (2 mo. USD LIBOR + 4.00%), Maturing February 1, 2027   225    225,844 
AppLovin Corporation          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025   1,141    1,143,072 
ASGN Incorporated          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing April 2, 2025   75    75,078 
Belfor Holdings, Inc.          
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing April 6, 2026   124    125,075 
Bracket Intermediate Holding Corp.          
Term Loan, 6.16%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025   198    195,895 
Camelot U.S. Acquisition 1 Co.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing October 31, 2026   425    425,266 

 

2 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
CCC Information Services, Inc.        
Term Loan, 4.36%, (1 mo. USD LIBOR + 2.75%), Maturing April 29, 2024   1,039    1,030,157 
Ceridian HCM Holding, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2025   346    345,193 
CM Acquisition Co.          
Term Loan, 11.94%, (3 mo. USD LIBOR + 10.00%), Maturing July 26, 2023   90    87,389 
Da Vinci Purchaser Corp.          
Term Loan, 5.87%, (3 mo. USD LIBOR + 4.00%), Maturing January 8, 2027   100    99,625 
Deerfield Dakota Holding, LLC          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing February 13, 2025   347    347,348 
EAB Global, Inc.          
Term Loan, 5.74%, (USD LIBOR + 3.75%), Maturing November 15, 2024(2)   319    314,523 
EIG Investors Corp.          
Term Loan, 5.39%, (USD LIBOR + 3.75%), Maturing February 9, 2023(2)   708    702,139 
Fiserv Investment Solutions, Inc.          
Term Loan, 6.44%, (3 mo. USD LIBOR + 4.75%), Maturing February 18, 2027   125    125,781 
Garda World Security Corporation          
Term Loan, 6.39%, (3 mo. USD LIBOR + 4.75%), Maturing October 30, 2026   326    325,132 
IG Investment Holdings, LLC          
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025   581    577,995 
IRI Holdings, Inc.          
Term Loan, 6.11%, (3 mo. USD LIBOR + 4.50%), Maturing December 1, 2025   347    333,723 
Iron Mountain, Inc.          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026   197    192,447 
KAR Auction Services, Inc.          
Term Loan, 3.94%, (1 mo. USD LIBOR + 2.25%), Maturing September 19, 2026   150    149,672 
Kronos Incorporated          
Term Loan, 4.76%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2023   1,362    1,360,069 
KUEHG Corp.          
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing February 21, 2025   824    811,624 
Monitronics International, Inc.          
Term Loan, 8.10%, (1 mo. USD LIBOR + 6.50%), Maturing March 29, 2024   185    158,393 
PGX Holdings, Inc.          
Term Loan, 6.86%, (1 mo. USD LIBOR + 5.25%), Maturing September 29, 2020   244    122,442 
Pike Corporation          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing July 24, 2026   96    95,210 
Pre-Paid Legal Services, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2025   89    88,131 
Prime Security Services Borrower, LLC          
Term Loan, 4.91%, (1 mo. USD LIBOR + 3.25%), Maturing September 23, 2026   532    521,114 
Red Ventures, LLC          
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing November 8, 2024   342    336,555 
Rockwood Service Corporation          
Term Loan, Maturing January 23, 2027(3)   100    100,375 
Sabre GLBL, Inc.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing February 22, 2024   624    601,561 
Spin Holdco, Inc.          
Term Loan, 5.09%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2022   934    923,557 
Tempo Acquisition, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing May 1, 2024   195    192,319 
Vestcom Parent Holdings, Inc.          
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing December 19, 2023   121    115,691 
WASH Multifamily Laundry Systems, LLC          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing May 14, 2022   225    222,747 
West Corporation          
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing October 10, 2024   269    216,274 
        $14,203,631 

 

3 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Cable and Satellite Television — 4.8%        
Altice France S.A.        
Term Loan, 5.66%, (1 mo. USD LIBOR + 4.00%), Maturing August 14, 2026  $496   $487,650 
Charter Communications Operating, LLC          
Term Loan, 3.36%, (1 mo. USD LIBOR + 1.75%), Maturing February 1, 2027   858    850,464 
CSC Holdings, LLC          
Term Loan, 3.91%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025   638    630,226 
Term Loan, 3.91%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026   223    220,798 
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2027   296    293,287 
Numericable Group S.A.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025   438    423,676 
Radiate Holdco, LLC          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024   440    430,853 
Telenet Financing USD, LLC          
Term Loan, 3.66%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2028   900    879,375 
UPC Broadband Holding B.V.          
Term Loan, 3.91%, (1 mo. USD LIBOR + 2.25%), Maturing April 30, 2028   200    198,000 
Virgin Media Bristol, LLC          
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing January 31, 2028   1,650    1,634,737 
        $6,049,066 
Chemicals and Plastics — 5.6%          
Alpha 3 B.V.          
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing January 31, 2024  $131   $126,987 
Aruba Investments, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing February 2, 2022   72    72,071 
Axalta Coating Systems US Holdings, Inc.          
Term Loan, 3.69%, (3 mo. USD LIBOR + 1.75%), Maturing June 1, 2024   861    846,183 
Emerald Performance Materials, LLC          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2021   118    117,467 
Ferro Corporation          
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024   73    71,984 
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024   74    73,549 
Flint Group GmbH          
Term Loan, 4.80%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021   37    30,864 
Flint Group US, LLC          
Term Loan, 4.80%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021   224    186,705 
Gemini HDPE, LLC          
Term Loan, 4.28%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024   468    467,538 
H.B. Fuller Company          
Term Loan, 3.65%, (1 mo. USD LIBOR + 2.00%), Maturing October 20, 2024   387    383,159 
Hexion, Inc.          
Term Loan, 5.41%, (3 mo. USD LIBOR + 3.50%), Maturing July 1, 2026   572    567,119 
Kraton Polymers, LLC          
Term Loan, 6.25%, (USD Prime + 1.50%), Maturing March 5, 2025   172    171,882 
Messer Industries GmbH          
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026   323    317,724 
Minerals Technologies, Inc.          
Term Loan, 3.92%, (USD LIBOR + 2.25%), Maturing February 14, 2024(2)   221    222,365 
Momentive Performance Materials, Inc.          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing May 15, 2024   100    96,017 
Orion Engineered Carbons GmbH          
Term Loan, 3.94%, (3 mo. USD LIBOR + 2.00%), Maturing July 25, 2024   291    290,092 
PMHC II, Inc.          
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing March 31, 2025   425    371,508 
PQ Corporation          
Term Loan, 4.03%, (3 mo. USD LIBOR + 2.25%), Maturing February 7, 2027   517    510,666 

 

4 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Pregis TopCo Corporation        
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing July 31, 2026   150    148,969 
Spectrum Holdings III Corp.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2025   84    76,121 
Starfruit Finco B.V.          
Term Loan, 4.67%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025   653    642,221 
Tata Chemicals North America, Inc.          
Term Loan, 4.44%, (1 mo. USD LIBOR + 2.75%), Maturing August 7, 2020   197    196,690 
Tronox Finance, LLC          
Term Loan, 4.49%, (USD LIBOR + 2.75%), Maturing September 23, 2024(2)   717    700,607 
Univar, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing July 1, 2024   461    456,634 
        $7,145,122 
Containers and Glass Products — 4.3%          
Berry Global, Inc.          
Term Loan, 3.67%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2022  $210   $207,257 
Term Loan, 3.67%, (1 mo. USD LIBOR + 2.00%), Maturing July 1, 2026   224    221,189 
BWAY Holding Company          
Term Loan, 5.08%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024   244    234,203 
Consolidated Container Company, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024   98    97,633 
Flex Acquisition Company, Inc.          
Term Loan, 4.90%, (USD LIBOR + 3.00%), Maturing December 29, 2023(2)   419    403,642 
Term Loan, 5.16%, (3 mo. USD LIBOR + 3.25%), Maturing June 29, 2025   342    329,745 
Libbey Glass, Inc.          
Term Loan, 4.67%, (1 mo. USD LIBOR + 3.00%), Maturing April 9, 2021   275    209,141 
Pelican Products, Inc.          
Term Loan, 5.16%, (1 mo. USD LIBOR + 3.50%), Maturing May 1, 2025   148    143,318 
Reynolds Consumer Products, Inc.          
Term Loan, 3.50%, (3 mo. USD LIBOR + 1.75%), Maturing February 4, 2027   550    545,417 
Reynolds Group Holdings, Inc.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2023   2,350    2,335,445 
Ring Container Technologies Group, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing October 31, 2024   219    216,962 
Trident TPI Holdings, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing October 17, 2024   515    496,552 
        $5,440,504 
Cosmetics/Toiletries — 0.8%          
Kronos Acquisition Holdings, Inc.          
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing May 15, 2023  $434   $428,167 
Term Loan, 8.60%, (1 mo. USD LIBOR + 7.00%), Maturing May 15, 2023   620    615,660 
        $1,043,827 
Drugs — 7.0%          
Akorn, Inc.          
Term Loan, 11.69%, (1 mo. USD LIBOR + 10.00%), 10.94% Cash, 0.75% PIK, Maturing April 16, 2021  $225   $219,298 
Albany Molecular Research, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing August 30, 2024   318    312,790 
Amneal Pharmaceuticals, LLC          
Term Loan, 5.13%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025   812    731,868 
Arbor Pharmaceuticals, Inc.          
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.00%), Maturing July 5, 2023   388    347,002 
Bausch Health Companies, Inc.          
Term Loan, 4.66%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025   1,305    1,300,393 

 

5 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Catalent Pharma Solutions, Inc.        
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing May 18, 2026   199    198,128 
Elanco Animal Health Incorporated          
Term Loan, Maturing February 4, 2027(3)   475    471,437 
Endo Luxembourg Finance Company I S.a.r.l.          
Term Loan, 5.88%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024   1,146    1,101,710 
Grifols Worldwide Operations USA, Inc.          
Term Loan, 3.58%, (1 week USD LIBOR + 2.00%), Maturing November 15, 2027   1,029    1,022,063 
Horizon Therapeutics USA, Inc.          
Term Loan, 3.94%, (1 mo. USD LIBOR + 2.25%), Maturing May 22, 2026   498    500,868 
Jaguar Holding Company II          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing August 18, 2022   1,579    1,568,829 
Mallinckrodt International Finance S.A.          
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024   700    627,812 
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.00%), Maturing February 24, 2025   632    561,384 
        $8,963,582 
Ecological Services and Equipment — 1.3%          
Advanced Disposal Services, Inc.          
Term Loan, 3.83%, (1 week USD LIBOR + 2.25%), Maturing November 10, 2023  $457   $457,405 
EnergySolutions, LLC          
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing May 9, 2025   420    394,557 
GFL Environmental, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing May 30, 2025   585    575,791 
Term Loan, 6.75%, (USD Prime + 2.00%), Maturing May 30, 2025   280    275,602 
        $1,703,355 
Electronics/Electrical — 20.6%          
Almonde, Inc.          
Term Loan, 5.28%, (3 mo. USD LIBOR + 3.50%), Maturing June 13, 2024  $825   $787,936 
Applied Systems, Inc.          
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.25%), Maturing September 19, 2024   884    876,349 
Term Loan - Second Lien, 8.94%, (3 mo. USD LIBOR + 7.00%), Maturing September 19, 2025   100    102,500 
Aptean, Inc.          
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.25%), Maturing April 23, 2026   174    172,866 
Astra Acquisition Corp.          
Term Loan, Maturing March 1, 2027(3)   200    197,000 
Avast Software B.V.          
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.25%), Maturing September 29, 2023   125    124,854 
Banff Merger Sub, Inc.          
Term Loan, 5.85%, (1 mo. USD LIBOR + 4.25%), Maturing October 2, 2025   817    787,653 
Barracuda Networks, Inc.          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing February 12, 2025   468    465,862 
Buzz Merger Sub Ltd.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing January 29, 2027   125    124,883 
Castle US Holding Corporation          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing January 29, 2027   245    239,472 
CDW, LLC          
Term Loan, 3.36%, (1 mo. USD LIBOR + 1.75%), Maturing October 13, 2026   299    299,150 
Cohu, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025   173    169,356 
CommScope, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026   399    396,501 
CPI International, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing July 26, 2024   147    144,303 

 

6 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
ECI Macola/Max Holdings, LLC        
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024   171    171,712 
Electro Rent Corporation          
Term Loan, 6.80%, (3 mo. USD LIBOR + 5.00%), Maturing January 31, 2024   391    392,548 
Energizer Holdings, Inc.          
Term Loan, 3.94%, (1 mo. USD LIBOR + 2.25%), Maturing December 17, 2025   39    39,163 
Epicor Software Corporation          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing June 1, 2022   1,482    1,474,195 
EXC Holdings III Corp.          
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing December 2, 2024   123    121,581 
Flexera Software, LLC          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing February 26, 2025   270    269,799 
GlobalLogic Holdings, Inc.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing August 1, 2025   108    107,217 
Go Daddy Operating Company, LLC          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing February 15, 2024   954    941,870 
Hyland Software, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing July 1, 2024   1,947    1,941,404 
Infoblox, Inc.          
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023   476    478,943 
Infor (US), Inc.          
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing February 1, 2022   1,944    1,935,105 
Informatica, LLC          
Term Loan, Maturing February 25, 2027(3)   1,375    1,350,938 
MA FinanceCo., LLC          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing November 19, 2021   473    471,431 
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024   114    109,366 
MACOM Technology Solutions Holdings, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing May 17, 2024   289    276,324 
Microchip Technology Incorporated          
Term Loan, 3.61%, (1 mo. USD LIBOR + 2.00%), Maturing May 29, 2025   345    344,500 
MTS Systems Corporation          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023   122    121,449 
NCR Corporation          
Term Loan, 4.11%, (1 mo. USD LIBOR + 2.50%), Maturing August 28, 2026   200    199,656 
Recorded Books, Inc.          
Term Loan, Maturing August 29, 2025(3)   300    297,750 
Refinitiv US Holdings, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025   272    271,995 
Renaissance Holding Corp.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing May 30, 2025   271    265,796 
Seattle Spinco, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024   770    738,576 
SGS Cayman L.P.          
Term Loan, 7.32%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021   49    48,688 
SkillSoft Corporation          
Term Loan, 6.53%, (3 mo. USD LIBOR + 4.75%), Maturing April 28, 2021   971    765,508 
SolarWinds Holdings, Inc.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024   245    242,346 
Solera, LLC          
Term Loan, 4.36%, (USD LIBOR + 2.75%), Maturing March 3, 2023(2)   664    659,202 
Sparta Systems, Inc.          
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing August 21, 2024   524    472,087 
SS&C Technologies Holdings Europe S.a.r.l.          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025   257    253,192 
SS&C Technologies, Inc.          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025   361    355,539 

 

7 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
STG-Fairway Holdings, LLC        
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing January 31, 2027   100    99,875 
SurveyMonkey, Inc.          
Term Loan, 5.34%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025   253    252,191 
Sutherland Global Services, Inc.          
Term Loan, 7.32%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021   211    209,160 
Tibco Software, Inc.          
Term Loan, 5.67%, (1 mo. USD LIBOR + 4.00%), Maturing June 30, 2026   496    495,123 
Term Loan, Maturing June 30, 2026(3)   325    326,828 
TriTech Software Systems          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing August 29, 2025   198    190,575 
Uber Technologies, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023   895    888,785 
Term Loan, 5.64%, (1 mo. USD LIBOR + 4.00%), Maturing April 4, 2025   1,040    1,033,870 
Ultimate Software Group, Inc. (The)          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing May 4, 2026   374    372,971 
Ultra Clean Holdings, Inc.          
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025   171    168,000 
Verifone Systems, Inc.          
Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025   272    264,109 
Veritas Bermuda, Ltd.          
Term Loan, 6.16%, (USD LIBOR + 4.50%), Maturing January 27, 2023(2)   458    431,477 
Vero Parent, Inc.          
Term Loan, 7.86%, (3 mo. USD LIBOR + 6.25%), Maturing August 16, 2024   562    541,757 
Vertiv Group Corporation          
Term Loan, Maturing February 11, 2027(3)   50    49,875 
VS Buyer, LLC          
Term Loan, Maturing February 28, 2027(3)   275    273,625 
Vungle, Inc.          
Term Loan, 7.10%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2026   150    148,877 
Western Digital Corporation          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing April 29, 2023   418    415,434 
        $26,169,097 
Equipment Leasing — 0.1%          
IBC Capital Limited          
Term Loan, 5.65%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023  $73   $72,585 
        $72,585 
Financial Intermediaries — 4.5%          
Apollo Commercial Real Estate Finance, Inc.          
Term Loan, 4.41%, (1 mo. USD LIBOR + 2.75%), Maturing May 15, 2026  $100   $98,878 
Aretec Group, Inc.          
Term Loan, 5.85%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025   844    832,921 
Claros Mortgage Trust, Inc.          
Term Loan, 4.92%, (1 mo. USD LIBOR + 3.25%), Maturing August 9, 2026   175    173,472 
Ditech Holding Corporation          
Term Loan, 0.00%, Maturing June 30, 2022(4)   745    312,108 
FinCo. I, LLC          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing December 27, 2022   202    201,009 
Focus Financial Partners, LLC          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing July 3, 2024   642    639,008 
Franklin Square Holdings L.P.          
Term Loan, 3.88%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2025   123    123,978 
Greenhill & Co., Inc.          
Term Loan, 4.91%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024   303    301,722 

 

8 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
GreenSky Holdings, LLC        
Term Loan, 4.88%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025   493    485,348 
Guggenheim Partners, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023   1,439    1,436,616 
Harbourvest Partners, LLC          
Term Loan, 3.93%, (2 mo. USD LIBOR + 2.25%), Maturing March 3, 2025   105    105,302 
LPL Holdings, Inc.          
Term Loan, 3.36%, (1 mo. USD LIBOR + 1.75%), Maturing November 12, 2026   300    300,469 
Starwood Property Trust, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing July 27, 2026   125    124,999 
StepStone Group L.P.          
Term Loan, 5.76%, (2 mo. USD LIBOR + 4.00%), Maturing March 27, 2025   147    146,822 
Victory Capital Holdings, Inc.          
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing July 1, 2026   274    273,448 
Virtus Investment Partners, Inc.          
Term Loan, 3.92%, (1 mo. USD LIBOR + 2.25%), Maturing June 1, 2024   137    137,330 
        $5,693,430 
Food Products — 3.7%          
Alphabet Holding Company, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024  $562   $539,158 
Atkins Nutritionals Holdings II, Inc.          
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.75%), Maturing July 7, 2024   97    97,434 
Badger Buyer Corp.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing September 30, 2024   393    357,598 
CHG PPC Parent, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing March 31, 2025   99    96,530 
Del Monte Foods, Inc.          
Term Loan, 4.87%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021   637    593,632 
Dole Food Company, Inc.          
Term Loan, 4.38%, (1 mo. USD LIBOR + 2.75%), Maturing April 6, 2024   398    392,959 
Froneri International PLC          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing January 29, 2027   475    469,137 
Hearthside Food Solutions, LLC          
Term Loan, 5.29%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025   370    359,408 
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025   99    96,927 
HLF Financing S.a.r.l.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing August 18, 2025   247    245,872 
JBS USA Lux S.A.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing May 1, 2026   1,216    1,202,135 
Nomad Foods Europe Midco Limited          
Term Loan, 3.91%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024   295    292,698 
        $4,743,488 
Food Service — 2.1%          
1011778 B.C. Unlimited Liability Company          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing November 19, 2026  $1,025   $1,014,101 
Aramark Services, Inc.          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing March 11, 2025   210    208,800 
IRB Holding Corp.          
Term Loan, 4.38%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2025   443    434,677 
KFC Holding Co.          
Term Loan, 3.41%, (1 mo. USD LIBOR + 1.75%), Maturing April 3, 2025   242    240,742 
NPC International, Inc.          
Term Loan, 0.00%, Maturing April 19, 2024(4)   219    102,667 
Restaurant Technologies, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025   50    49,376 

 

9 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
US Foods, Inc.        
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing June 27, 2023   196    194,310 
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing September 13, 2026   374    371,491 
        $2,616,164 
Food/Drug Retailers — 0.1%          
Allsup’s Convenience Stores, Inc.          
Term Loan, 7.89%, (1 mo. USD LIBOR + 6.25%), Maturing November 18, 2024  $150   $151,500 
        $151,500 
Health Care — 11.4%          
Accelerated Health Systems, LLC          
Term Loan, 5.15%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025  $124   $123,131 
ADMI Corp.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing April 30, 2025   394    390,848 
Alliance Healthcare Services, Inc.          
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing October 24, 2023   190    180,500 
athenahealth, Inc.          
Term Loan, 6.16%, (1 mo. USD LIBOR + 4.50%), Maturing February 11, 2026   447    444,392 
Avantor, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing November 21, 2024   277    276,523 
BioClinica, Inc.          
Term Loan, 5.88%, (1 mo. USD LIBOR + 4.25%), Maturing October 20, 2023   389    379,977 
BW NHHC Holdco, Inc.          
Term Loan, 6.62%, (3 mo. USD LIBOR + 5.00%), Maturing May 15, 2025   222    189,674 
Carestream Dental Equipment, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing September 1, 2024   266    258,662 
Change Healthcare Holdings, LLC          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing March 1, 2024   1,195    1,181,553 
CHG Healthcare Services, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing June 7, 2023   753    754,966 
CryoLife, Inc.          
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2024   123    122,500 
Ensemble RCM, LLC          
Term Loan, 5.51%, (3 mo. USD LIBOR + 3.75%), Maturing August 3, 2026   100    99,127 
Envision Healthcare Corporation          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025   1,313    1,059,422 
Gentiva Health Services, Inc.          
Term Loan, 4.88%, (1 mo. USD LIBOR + 3.25%), Maturing July 2, 2025   533    529,741 
GHX Ultimate Parent Corporation          
Term Loan, 5.21%, (3 mo. USD LIBOR + 3.25%), Maturing June 28, 2024   195    192,316 
Greatbatch, Ltd.          
Term Loan, 4.17%, (1 mo. USD LIBOR + 2.50%), Maturing October 27, 2022   258    256,502 
Hanger, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025   246    246,034 
Inovalon Holdings, Inc.          
Term Loan, 4.69%, (1 mo. USD LIBOR + 3.00%), Maturing April 2, 2025   280    278,560 
IQVIA, Inc.          
Term Loan, 3.69%, (3 mo. USD LIBOR + 1.75%), Maturing January 17, 2025   171    170,154 
Medical Solutions, LLC          
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing June 14, 2024   271    269,847 
MPH Acquisition Holdings, LLC          
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing June 7, 2023   790    761,337 
National Mentor Holdings, Inc.          
Term Loan, 5.61%, (1 mo. USD LIBOR + 4.00%), Maturing March 9, 2026   6    6,339 
Term Loan, 5.61%, (1 mo. USD LIBOR + 4.00%), Maturing March 9, 2026   118    118,401 

 

10 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Navicure, Inc.        
Term Loan, 5.60%, (1 mo. USD LIBOR + 4.00%), Maturing October 22, 2026   225    223,031 
One Call Corporation          
Term Loan, 6.95%, (3 mo. USD LIBOR + 5.25%), Maturing November 25, 2022   261    250,668 
Ortho-Clinical Diagnostics S.A.          
Term Loan, 4.91%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025   1,451    1,396,728 
Parexel International Corporation          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024   526    511,021 
Phoenix Guarantor, Inc.          
Term Loan, 4.92%, (1 mo. USD LIBOR + 3.25%), Maturing March 5, 2026   423    418,911 
Radiology Partners Holdings, LLC          
Term Loan, 5.98%, (USD LIBOR + 4.25%), Maturing July 9, 2025(2)   601    596,351 
RadNet, Inc.          
Term Loan, 5.38%, (3 mo. USD LIBOR + 3.50%), Maturing June 30, 2023   361    359,659 
Select Medical Corporation          
Term Loan, 4.58%, (6 mo. USD LIBOR + 2.50%), Maturing March 6, 2025   547    541,108 
Sound Inpatient Physicians          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2025   99    98,500 
Surgery Center Holdings, Inc.          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing September 2, 2024   244    237,044 
Team Health Holdings, Inc.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing February 6, 2024   486    371,576 
Tecomet, Inc.          
Term Loan, 4.89%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2024   270    266,625 
U.S. Anesthesia Partners, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing June 23, 2024   391    377,655 
Verscend Holding Corp.          
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025   346    344,545 
Viant Medical Holdings, Inc.          
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing July 2, 2025   99    95,664 
Wink Holdco, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing December 2, 2024   123    121,224 
        $14,500,816 
Home Furnishings — 0.5%          
Serta Simmons Bedding, LLC          
Term Loan, 5.15%, (1 mo. USD LIBOR + 3.50%), Maturing November 8, 2023  $1,167   $682,573 
        $682,573 
Industrial Equipment — 5.7%          
AI Alpine AT Bidco GmbH          
Term Loan, 4.62%, (3 mo. USD LIBOR + 2.75%), Maturing October 31, 2025  $50   $48,263 
Altra Industrial Motion Corp.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025   155    154,176 
Apex Tool Group, LLC          
Term Loan, 7.10%, (1 mo. USD LIBOR + 5.50%), Maturing August 1, 2024   547    522,381 
CPM Holdings, Inc.          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing November 17, 2025   74    72,579 
Delachaux Group S.A.          
Term Loan, 6.35%, (3 mo. USD LIBOR + 4.50%), Maturing April 16, 2026   100    99,875 
DexKo Global, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing July 24, 2024   489    485,138 
DXP Enterprises, Inc.          
Term Loan, 6.35%, (1 mo. USD LIBOR + 4.75%), Maturing August 29, 2023   122    121,882 
Dynacast International, LLC          
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.25%), Maturing January 28, 2022   288    275,442 

 

11 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Engineered Machinery Holdings, Inc.        
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing July 19, 2024   368    360,609 
EWT Holdings III Corp.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing December 20, 2024   779    774,723 
Filtration Group Corporation          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing March 29, 2025   354    353,305 
Gates Global, LLC          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing April 1, 2024   956    939,536 
Hayward Industries, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing August 5, 2024   96    94,683 
Ingersoll-Rand Services Company          
Term Loan, Maturing February 5, 2027(3)   300    297,281 
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing March 1, 2027   285    281,935 
LTI Holdings, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing September 6, 2025   374    311,147 
Term Loan, 6.35%, (1 mo. USD LIBOR + 4.75%), Maturing July 24, 2026   50    42,519 
Rexnord, LLC          
Term Loan, 3.38%, (1 mo. USD LIBOR + 1.75%), Maturing August 21, 2024   681    682,026 
Robertshaw US Holding Corp.          
Term Loan, 4.88%, (1 mo. USD LIBOR + 3.25%), Maturing February 28, 2025   246    222,291 
Thermon Industries, Inc.          
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.75%), Maturing October 30, 2024   70    70,664 
Titan Acquisition Limited          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing March 28, 2025   688    654,996 
Welbilt, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing October 23, 2025   360    354,430 
        $7,219,881 
Insurance — 6.1%          
Alliant Holdings Intermediate, LLC          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing May 9, 2025  $525   $516,285 
Term Loan, 4.91%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025   100    98,630 
AmWINS Group, Inc.          
Term Loan, 4.36%, (1 mo. USD LIBOR + 2.75%), Maturing January 25, 2024   861    863,552 
AssuredPartners, Inc.          
Term Loan, Maturing February 12, 2027(3)   550    546,906 
Asurion, LLC          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022   1,089    1,082,493 
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023   459    457,025 
Term Loan - Second Lien, 8.10%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025   575    576,438 
FrontDoor, Inc.          
Term Loan, 4.13%, (1 mo. USD LIBOR + 2.50%), Maturing August 16, 2025   99    98,904 
Hub International Limited          
Term Loan, 4.54%, (USD LIBOR + 2.75%), Maturing April 25, 2025(2)   1,133    1,104,431 
Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing April 25, 2025   425    426,100 
NFP Corp.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing February 15, 2027   784    779,662 
Sedgwick Claims Management Services, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025   272    264,763 
USI, Inc.          
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024   684    667,144 
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.00%), Maturing December 2, 2026   325    322,156 
        $7,804,489 
Leisure Goods/Activities/Movies — 5.2%          
AMC Entertainment Holdings, Inc.          
Term Loan, 4.61%, (1 mo. USD LIBOR + 3.00%), Maturing April 22, 2026  $422   $411,794 

 

12 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Ancestry.com Operations, Inc.        
Term Loan, 5.86%, (1 mo. USD LIBOR + 4.25%), Maturing August 27, 2026   697    642,521 
Bombardier Recreational Products, Inc.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing May 24, 2027   1,067    1,056,137 
ClubCorp Holdings, Inc.          
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024   440    412,383 
Crown Finance US, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing February 28, 2025   388    361,029 
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026   324    302,845 
Delta 2 (LUX) S.a.r.l.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2024   439    432,106 
Emerald Expositions Holding, Inc.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024   258    241,595 
Lindblad Expeditions, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025   96    95,557 
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025   384    382,229 
Match Group, Inc.          
Term Loan, 3.46%, (3 mo. USD LIBOR + 1.75%), Maturing February 15, 2027   175    174,453 
Motion Finco S.a.r.l.          
Term Loan, 4.90%, (1 mo. USD LIBOR + 3.25%), Maturing November 4, 2026   15    14,094 
Term Loan, 4.94%, (1 mo. USD LIBOR + 3.25%), Maturing November 13, 2026   110    107,235 
NASCAR Holdings, Inc.          
Term Loan, 4.39%, (1 mo. USD LIBOR + 2.75%), Maturing October 19, 2026   165    164,238 
Playtika Holding Corp.          
Term Loan, 7.60%, (1 mo. USD LIBOR + 6.00%), Maturing December 10, 2024   775    776,453 
SRAM, LLC          
Term Loan, 4.42%, (1 mo. USD LIBOR + 2.75%), Maturing March 15, 2024   164    163,988 
Steinway Musical Instruments, Inc.          
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.75%), Maturing February 14, 2025   112    112,276 
Travel Leaders Group, LLC          
Term Loan, 5.61%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024   222    218,301 
UFC Holdings, LLC          
Term Loan, 4.86%, (1 mo. USD LIBOR + 3.25%), Maturing April 29, 2026   535    529,735 
        $6,598,969 
Lodging and Casinos — 5.1%          
Aristocrat Technologies, Inc.          
Term Loan, 3.58%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024  $245   $241,410 
Boyd Gaming Corporation          
Term Loan, 3.83%, (1 week USD LIBOR + 2.25%), Maturing September 15, 2023   153    151,174 
CityCenter Holdings, LLC          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing April 18, 2024   610    604,193 
Eldorado Resorts, LLC          
Term Loan, 3.89%, (1 mo. USD LIBOR + 2.25%), Maturing April 17, 2024   101    100,805 
ESH Hospitality, Inc.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing September 18, 2026   163    162,025 
Four Seasons Hotels Limited          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing November 30, 2023   218    216,231 
GBT III B.V.          
Term Loan, Maturing February 26, 2027(3)   296    290,684 
Term Loan, Maturing February 26, 2027(3)   354    347,128 
Golden Nugget, Inc.          
Term Loan, 4.12%, (1 mo. USD LIBOR + 2.50%), Maturing October 4, 2023   1,628    1,601,754 
GVC Holdings PLC          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing March 29, 2024   246    243,245 
Hanjin International Corp.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020   125    124,375 

 

13 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Playa Resorts Holding B.V.        
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing April 29, 2024   830    788,152 
Stars Group Holdings B.V. (The)          
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025   790    787,252 
VICI Properties 1, LLC          
Term Loan, 3.38%, (1 mo. USD LIBOR + 1.75%), Maturing December 20, 2024   525    517,289 
Wyndham Hotels & Resorts, Inc.          
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing May 30, 2025   296    294,621 
        $6,470,338 
Nonferrous Metals/Minerals — 0.4%          
Arconic Rolled Products Corporation          
Term Loan, Maturing February 4, 2027(3)  $125   $124,844 
Murray Energy Corporation          
DIP Loan, 13.00%, (1 mo. USD LIBOR + 11.00%, Floor 2.00%), Maturing July 31, 2020   132    133,944 
Term Loan, 0.00%, Maturing October 17, 2022(4)   473    84,973 
Noranda Aluminum Acquisition Corporation          
Term Loan, 0.00%, Maturing February 28, 2021(4)   238    14,261 
Oxbow Carbon, LLC          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing January 4, 2023   135    134,972 
        $492,994 
Oil and Gas — 4.1%          
Ameriforge Group, Inc.          
Term Loan, 8.94%, (3 mo. USD LIBOR + 7.00%), Maturing June 8, 2022  $113   $112,509 
Apergy Corporation          
Term Loan, 4.13%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025   48    47,473 
Blackstone CQP Holdco L.P.          
Term Loan, 5.41%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024   224    219,491 
Buckeye Partners L.P.          
Term Loan, 4.41%, (1 mo. USD LIBOR + 2.75%), Maturing November 1, 2026   625    620,938 
CITGO Petroleum Corporation          
Term Loan, 6.44%, (3 mo. USD LIBOR + 4.50%), Maturing July 29, 2021   237    236,875 
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.00%), Maturing March 28, 2024   819    816,765 
Equitrans Midstream Corporation          
Term Loan, 6.11%, (1 mo. USD LIBOR + 4.50%), Maturing January 31, 2024   446    438,400 
Fieldwood Energy, LLC          
Term Loan, 7.03%, (3 mo. USD LIBOR + 5.25%), Maturing April 11, 2022   695    553,285 
McDermott Technology Americas, Inc.          
DIP Loan, 10.72%, (2 mo. USD LIBOR + 9.00%), Maturing October 21, 2020   225    228,375 
DIP Loan, 10.65%, (3 mo. USD LIBOR + 9.00%), Maturing October 22, 2020   108    109,577 
Term Loan, 0.00%, Maturing May 9, 2025(4)   494    289,659 
Prairie ECI Acquiror L.P.          
Term Loan, 6.69%, (3 mo. USD LIBOR + 4.75%), Maturing March 11, 2026   804    773,230 
Term Loan, Maturing March 11, 2026(3)   100    96,167 
PSC Industrial Holdings Corp.          
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.75%), Maturing October 11, 2024   172    170,964 
Sheridan Production Partners I, LLC          
Term Loan, 0.00%, Maturing February 28, 2021(4)   27    14,097 
Term Loan, 0.00%, Maturing February 28, 2021(4)   44    23,079 
Term Loan, 0.00%, Maturing February 28, 2021(4)   330    171,696 
Sunrise Oil & Gas Properties, LLC          
Term Loan, 8.66%, (1 mo. USD LIBOR + 7.00%), Maturing January 17, 2023   22    21,858 
Term Loan - Second Lien, 8.66%, (1 mo. USD LIBOR + 7.00%), Maturing January 17, 2023   22    21,858 
Term Loan - Third Lien, 8.66%, (1 mo. USD LIBOR + 7.00%), Maturing January 17, 2023(5)   25    20,201 

 

14 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
UGI Energy Services, LLC        
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing August 13, 2026   224    223,035 
        $5,209,532 
Publishing — 1.3%          
Ascend Learning, LLC          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing July 12, 2024  $269   $264,780 
Getty Images, Inc.          
Term Loan, 6.13%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026   393    381,508 
Harland Clarke Holdings Corp.          
Term Loan, 6.46%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023   95    75,814 
LSC Communications, Inc.          
Term Loan, 7.08%, (1 week USD LIBOR + 5.50%), Maturing September 30, 2022   163    106,065 
ProQuest, LLC          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing October 23, 2026   350    349,563 
Terrier Media Buyer, Inc.          
Term Loan, 6.15%, (3 mo. USD LIBOR + 4.25%), Maturing December 17, 2026   400    397,250 
Tweddle Group, Inc.          
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing September 17, 2023   47    43,579 
        $1,618,559 
Radio and Television — 3.4%          
Cumulus Media New Holdings, Inc.          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing March 31, 2026  $125   $125,186 
Diamond Sports Group, LLC          
Term Loan, 4.88%, (1 mo. USD LIBOR + 3.25%), Maturing August 24, 2026   673    611,873 
Entercom Media Corp.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing November 18, 2024   205    203,943 
Entravision Communications Corporation          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024   200    196,728 
Gray Television, Inc.          
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026   127    126,809 
Hubbard Radio, LLC          
Term Loan, 5.11%, (1 mo. USD LIBOR + 3.50%), Maturing March 28, 2025   124    123,710 
iHeartCommunications, Inc.          
Term Loan, 4.66%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2026   450    446,625 
Mission Broadcasting, Inc.          
Term Loan, 3.91%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024   78    77,743 
Nexstar Broadcasting, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024   350    347,452 
Term Loan, 4.41%, (1 mo. USD LIBOR + 2.75%), Maturing September 18, 2026   125    124,220 
Sinclair Television Group, Inc.          
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026   150    148,503 
Univision Communications, Inc.          
Term Loan, 4.35%, (1 mo. USD LIBOR + 2.75%), Maturing March 15, 2024   1,851    1,788,732 
        $4,321,524 
Retailers (Except Food and Drug) — 2.4%          
Ascena Retail Group, Inc.          
Term Loan, 6.13%, (1 mo. USD LIBOR + 4.50%), Maturing August 21, 2022  $537   $355,979 
Bass Pro Group, LLC          
Term Loan, 6.60%, (1 mo. USD LIBOR + 5.00%), Maturing September 25, 2024   293    282,986 
BJ’s Wholesale Club, Inc.          
Term Loan, 3.90%, (1 mo. USD LIBOR + 2.25%), Maturing February 3, 2024   198    197,095 
Coinamatic Canada, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing May 14, 2022   39    39,010 

 

15 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
David’s Bridal, Inc.        
Term Loan, 7.65%, (3 mo. USD LIBOR + 6.00%), Maturing June 30, 2023   75    72,770 
Global Appliance, Inc.          
Term Loan, 5.61%, (1 mo. USD LIBOR + 4.00%), Maturing September 29, 2024   238    235,230 
Hoya Midco, LLC          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing June 30, 2024   243    238,627 
J. Crew Group, Inc.          
Term Loan, 4.73%, (USD LIBOR + 3.00%), Maturing March 5, 2021(2)(5)   725    567,842 
LSF9 Atlantis Holdings, LLC          
Term Loan, 7.65%, (1 mo. USD LIBOR + 6.00%), Maturing May 1, 2023   234    215,234 
PetSmart, Inc.          
Term Loan, 5.66%, (1 mo. USD LIBOR + 4.00%), Maturing March 11, 2022   699    692,246 
PFS Holding Corporation          
Term Loan, 0.00%, Maturing January 31, 2021(4)   511    196,812 
Pier 1 Imports (U.S.), Inc.          
Term Loan, 0.00%, Maturing April 30, 2021(4)   118    24,806 
        $3,118,637 
Steel — 1.4%          
Atkore International, Inc.          
Term Loan, 4.70%, (3 mo. USD LIBOR + 2.75%), Maturing December 22, 2023  $93   $91,694 
GrafTech Finance, Inc.          
Term Loan, 5.10%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2025   533    511,333 
Neenah Foundry Company          
Term Loan, 8.19%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022   168    163,745 
Phoenix Services International, LLC          
Term Loan, 5.39%, (1 mo. USD LIBOR + 3.75%), Maturing March 1, 2025   172    165,705 
Zekelman Industries, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing January 24, 2027   825    819,328 
        $1,751,805 
Surface Transport — 0.4%          
Agro Merchants NAI Holdings, LLC          
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing December 6, 2024  $23   $22,710 
Hertz Corporation (The)          
Term Loan, 4.36%, (1 mo. USD LIBOR + 2.75%), Maturing June 30, 2023   236    234,643 
Kenan Advantage Group, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022   27    26,510 
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022   88    87,177 
XPO Logistics, Inc.          
Term Loan, 3.61%, (3 mo. USD LIBOR + 2.00%), Maturing February 24, 2025   150    148,687 
        $519,727 
Telecommunications — 5.2%          
CenturyLink, Inc.          
Term Loan, 3.85%, (1 mo. USD LIBOR + 2.25%), Maturing March 15, 2027  $1,650   $1,612,875 
Colorado Buyer, Inc.          
Term Loan, 4.66%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024   195    166,481 
Digicel International Finance Limited          
Term Loan, 4.87%, (3 mo. USD LIBOR + 3.25%), Maturing May 28, 2024   171    156,951 
Global Eagle Entertainment, Inc.          
Term Loan, 9.38%, (3 mo. USD LIBOR + 7.50%), Maturing January 6, 2023   469    421,750 
Intelsat Jackson Holdings S.A.          
Term Loan, 5.68%, (3 mo. USD LIBOR + 3.75%), Maturing November 27, 2023   600    596,625 
Term Loan, 6.43%, (6 mo. USD LIBOR + 4.50%), Maturing January 2, 2024   400    403,625 
IPC Corp.          
Term Loan, 6.28%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021   220    185,482 

 

16 

 

 

Borrower/Tranche Description  Principal
Amount
(000’s omitted)		   Value 
Onvoy, LLC        
Term Loan, 6.10%, (1 mo. USD LIBOR + 4.50%), Maturing February 10, 2024   462    413,434 
Plantronics, Inc.          
Term Loan, 4.10%, (1 mo. USD LIBOR + 2.50%), Maturing July 2, 2025   292    270,035 
Sprint Communications, Inc.          
Term Loan, 4.13%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024   827    821,975 
Term Loan, 4.63%, (1 mo. USD LIBOR + 3.00%), Maturing February 2, 2024   173    172,384 
Syniverse Holdings, Inc.          
Term Loan, 6.87%, (6 mo. USD LIBOR + 5.00%), Maturing March 9, 2023   221    202,272 
Telesat Canada          
Term Loan, 4.36%, (1 mo. USD LIBOR + 2.75%), Maturing December 7, 2026   325    323,777 
Ziggo Financing Partnership          
Term Loan, 4.16%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2028   850    833,744 
        $6,581,410 
Utilities — 2.7%          
Brookfield WEC Holdings, Inc.          
Term Loan, 4.60%, (1 mo. USD LIBOR + 3.00%), Maturing August 1, 2025  $768   $757,312 
Calpine Construction Finance Company L.P.          
Term Loan, 3.60%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2025   91    89,781 
Calpine Corporation          
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.25%), Maturing January 15, 2024   788    777,534 
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.25%), Maturing April 5, 2026   199    197,134 
Granite Acquisition, Inc.          
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021   617    611,904 
Lightstone Holdco, LLC          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024   20    17,506 
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024   348    310,389 
Longview Power, LLC          
Term Loan, 7.78%, (3 mo. USD LIBOR + 6.00%), Maturing April 13, 2021   549    300,303 
Talen Energy Supply, LLC          
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing July 8, 2026   100    99,375 
USIC Holdings, Inc.          
Term Loan, 4.85%, (1 mo. USD LIBOR + 3.25%), Maturing December 8, 2023   295    291,048 
        $3,452,286 
Total Senior Floating-Rate Loans          
(identified cost $176,348,925)       $169,482,991 

 

Corporate Bonds & Notes — 9.2%

 

Security  Principal
Amount
(000’s omitted)		   Value 
Aerospace and Defense — 0.2%          
TransDigm, Inc.          
7.50%, 3/15/27  $250   $263,913 
        $263,913 
Automotive — 0.8%          
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc.          
8.50%, 5/15/27(6)  $1,000   $1,019,350 
        $1,019,350 

 

17 

 

 

Security  Principal
Amount
(000’s omitted)		   Value 
Building and Development — 0.4%        
Standard Industries, Inc.        
5.00%, 2/15/27(6)  $500   $514,464 
        $514,464 
Cable and Satellite Television — 1.0%          
Altice France S.A.          
8.125%, 2/1/27(6)  $500   $545,815 
Altice Luxembourg S.A.          
7.625%, 2/15/25(6)   200    208,000 
DISH DBS Corp.          
7.75%, 7/1/26   500    538,205 
        $1,292,020 
Containers and Glass Products — 0.2%          
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.          
5.25%, 8/15/27(6)  $200   $203,630 
        $203,630 
Drugs — 0.7%          
Bausch Health Companies, Inc.          
6.50%, 3/15/22 (6)  $173   $175,379 
7.00%, 3/15/24 (6)   225    232,124 
7.00%, 1/15/28 (6)   500    535,975 
        $943,478 
Ecological Services and Equipment — 0.4%          
GFL Environmental, Inc.          
8.50%, 5/1/27(6)  $500   $543,425 
        $543,425 
Electronics/Electrical — 0.6%          
Energizer Holdings, Inc.          
6.375%, 7/15/26(6)  $500   $519,575 
Go Daddy Operating Co., LLC/GD Finance Co., Inc.          
5.25%, 12/1/27(6)   242    252,128 
        $771,703 
Food Products — 1.0%          
Dole Food Co., Inc.          
7.25%, 6/15/25(6)   500   $491,457 
Post Holdings, Inc.          
5.625%, 1/15/28(6)   750    785,295 
        $1,276,752 
Health Care — 1.1%          
HCA, Inc.          
5.875%, 2/1/29  $750   $866,085 
MPH Acquisition Holdings, LLC          
7.125%, 6/1/24(6)   500    466,355 
        $1,332,440 

 

18 

 

 

Security  Principal
Amount
(000’s omitted)		   Value 
Insurance — 0.4%        
USI, Inc.          
6.875%, 5/1/25(6)  $500   $498,935 
        $498,935 
Internet Software & Services — 0.9%          
Netflix, Inc.          
5.375%, 11/15/29(6)  $1,000   $1,089,050 
        $1,089,050 
Leisure Goods/Activities/Movies — 0.4%          
Mattel, Inc.          
6.75%, 12/31/25(6)   500   $526,517 
        $526,517 
Lodging and Casinos — 0.4%          
Caesars Resort Collection, LLC/CRC Finco, Inc.          
5.25%, 10/15/25(6)  $500   $492,260 
        $492,260 
Radio and Television — 0.5%          
iHeartCommunications, Inc.          
6.375%, 5/1/26  $30   $32,361 
8.375%, 5/1/27   554    603,164 
        $635,525 
Retailers (Except Food and Drug) — 0.2%          
Party City Holdings, Inc.          
6.625%, 8/1/26(6)   500   $295,000 
        $295,000 
Total Corporate Bonds & Notes          
(identified cost $11,709,085)       $11,698,462 

 

Asset-Backed Securities — 9.0%

  

Security  Principal
Amount
(000’s omitted)		   Value 
AMMC CLO XII, Ltd.          
Series 2013-12A, Class ER, 7.914%, (3 mo. USD LIBOR + 6.18%), 11/10/30(6)(7)  $1,000   $912,733 
Ares LII CLO, Ltd.          
Series 2019-52A, Class E, 8.352%, (3 mo. USD LIBOR + 6.55%), 4/22/31(6)(7)   1,000    1,000,018 
Bain Capital Credit CLO, Ltd.          
Series 2017-2A, Class E, 8.144%, (3 mo. USD LIBOR + 6.35%), 7/25/30(6)(7)   1,000    955,399 
Canyon Capital CLO, Ltd.          
Series 2019-2A, Class E, 9.238%, (3 mo. USD LIBOR + 7.15%), 10/15/32(6)(7)   1,000    1,005,970 
Cedar Funding X CLO, Ltd.          
Series 2019-10A, Class E, 9.131%, (3 mo. USD LIBOR + 7.00%), 10/20/32(6)(7)   1,000    983,485 
Cent CLO 17, Ltd.          
Series C17A, Class DR, 7.77%, (3 mo. USD LIBOR + 6.00%), 4/30/31(6)(7)   1,000    914,685 
Kayne CLO, Ltd.          
Series 2019-5A, Class E, 8.501%, (3 mo. USD LIBOR + 6.70%), 7/24/32(6)(7)   1,000    985,637 
Neuberger Berman Loan Advisers CLO 33, Ltd.          
Series 2019-33A, Class E, 8.94%, (3 mo. USD LIBOR + 6.80%), 10/16/32(6)(7)   1,000    1,001,670 

 

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Security  Principal
Amount
(000’s omitted)		   Value 
Regatta XII Funding, Ltd.        
Series 2019-1A, Class E, 8.851%, (3 mo. USD LIBOR + 6.85%), 10/15/32(6)(7)   1,000    1,002,989 
Vibrant CLO X, Ltd.          
Series 2018-10A, Class D, 8.009%, (3 mo. USD LIBOR + 6.19%), 10/20/31(6)(7)   1,000    894,241 
Voya CLO, Ltd.          
Series 2016-3A, Class DR, 7.899%, (3 mo. USD LIBOR + 6.08%), 10/18/31(6)(7)   1,000    909,681 
Webster Park CLO, Ltd.          
Series 2015-1A, Class DR, 7.319%, (3 mo. USD LIBOR + 5.50%), 7/20/30(6)(7)   1,000    933,836 
Total Asset-Backed Securities          
(identified cost $11,643,117)       $11,500,344 

 

Convertible Bonds — 0.1%

 

Security  Principal
Amount
(000’s omitted)		   Value 
Oil & Gas — 0.1%          
Ascent Resources-Utica, LLC/ARU Finance Corp.          
6.50%, 3/1/21(6)(8)  $128   $174,820 
Total Convertible Bonds          
(identified cost $128,310)       $174,820 

 

Common Stocks — 0.6%

 

Security  Shares   Value 
Business Equipment and Services — 0.1%          
Crossmark Holdings, Inc.(9)(10)   1,216   $69,920 
        $69,920 
Electronics/Electrical — 0.0%(11)          
Answers Corp.(5)(9)(10)   14,876   $29,752 
        $29,752 
Health Care — 0.0%          
New Millennium Holdco, Inc.(5)(9)(10)   10,394   $0 
        $0 
Oil and Gas — 0.2%          
AFG Holdings, Inc.(5)(9)(10)   4,525   $175,796 
Fieldwood Energy, Inc.(9)(10)   2,148    40,186 
Southcross Holdings Group, LLC(5)(9)(10)   15    0 
Southcross Holdings L.P., Class A(9)(10)   15    1,170 
Sunrise Oil & Gas, Inc., Class A(5)(9)(10)   3,200    32,160 
        $249,312 
Publishing — 0.0%(11)          
Tweddle Group, Inc.(5)(9)(10)   444   $5,164 
        $5,164 
Radio and Television — 0.2%          
Clear Channel Outdoor Holdings, Inc.(9)(10)   12,499   $25,873 
Cumulus Media, Inc., Class A(9)(10)   9,974    120,187 

 

20 

 

 

Security  Shares   Value 
iHeartMedia, Inc., Class A(9)(10)   5,315    80,309 
        $226,369 
Retailers (Except Food and Drug) — 0.1%          
David’s Bridal, LLC(5)(9)(10)   5,304   $122,257 
        $122,257 
Total Common Stocks          
(identified cost $1,059,126)       $702,774 

 

Preferred Stocks — 0.1%

 

Security  Shares   Value 
Retailers (Except Food and Drug) — 0.1%          
David’s Bridal, LLC, Series A(5)(9)(10)   148   $11,840 
David’s Bridal, LLC, Series B(5)(9)(10)   601    48,657 
Total Preferred Stocks          
(identified cost $48,657)       $60,497 

 

Warrants — 0.0%

 

Security  Shares   Value 
David’s Bridal, LLC, Exp. 11/26/22 (5)(9)(10)   1,024   $0 
Total Warrants          
(identified cost $0)       $0 

 

Miscellaneous — 0.0%(11)

 

Security  Shares   Value 
Oil and Gas — 0.0%(11)          
Paragon Offshore Finance Company, Class A(9)(10)   404   $121 
Paragon Offshore Finance Company, Class B(9)(10)   202    3,889 
Total Miscellaneous          
(identified cost $4,393)       $4,010 

 

Short-Term Investments — 2.4%

 

Description  Units   Value 
Eaton Vance Cash Reserves Fund, LLC, 1.75%(12)   2,991,890   $2,992,488 
Total Short-Term Investments          
(identified cost $2,992,393)       $2,992,488 
Total Investments — 154.7%          
(identified cost $203,934,006)       $196,616,386 
Notes Payable — (35.8)%       $(45,500,000)
Variable Rate Term Preferred Shares, at Liquidation Value (net of unamortized deferred debt issuance costs) — (14.9)%       $(18,961,057)
Other Assets, Less Liabilities — (4.0)%       $(5,035,069)
Net Assets Applicable to Common Shares — 100.0%       $127,120,260 

 

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

 

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(1)Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate.
(2)The stated interest rate represents the weighted average interest rate at February 29, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.
(3)This Senior Loan will settle after February 29, 2020, at which time the interest rate will be determined.
(4)Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.
(5)For fair value measurement disclosure purposes, security is categorized as Level 3.
(6)Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At February 29, 2020, the aggregate value of these securities is $21,069,898 or 16.6% of the Fund’s net assets applicable to common shares.
(7)Variable rate security. The stated interest rate represents the rate in effect at February 29, 2020.
(8)Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.
(9)Non-income producing security.
(10)Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.
(11)Amount is less than 0.05%.
(12)Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of February 29, 2020.

 

Abbreviations:

 

DIP - Debtor In Possession
LIBOR - London Interbank Offered Rate
PIK - Payment In Kind

 

Currency Abbreviations:

 

USD - United States Dollar

 

The Fund did not have any open derivative instruments at February 29, 2020.

 

At February 29, 2020, the value of the Fund’s investment in affiliated funds was $2,992,488, which represents 2.4% of the Fund’s net assets applicable to common shares. Transactions in affiliated funds by the Fund for the fiscal year to date ended February 29, 2020 were as follows:

 

Name of affiliated fund  Value,
beginning of
period		   Purchases   Sales
proceeds		   Net
realized
gain (loss)		   Change in
unrealized
appreciation
(depreciation)		  

Value, end

of period

   Dividend
income		   Units, end
of period		 
Short-Term Investments                                        
Eaton Vance Cash Reserves Fund, LLC  $4,950,427   $71,184,231   $(73,143,568)  $1,307   $91   $2,992,488   $85,895    2,991,890 

 

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

●Level 1 – quoted prices in active markets for identical investments

 

●Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

●Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

 

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

22 

 

 

At February 29, 2020, the hierarchy of inputs used in valuing the Fund’s investments, which are carried at value, were as follows:

 

Asset Description  Level 1   Level 2   Level 3*   Total 
Senior Floating-Rate Loans  $—   $168,894,948   $588,043   $169,482,991 
Corporate Bonds & Notes   —    11,698,462    —    11,698,462 
Asset-Backed Securities   —    11,500,344    —    11,500,344 
Convertible Bonds   —    174,820    —    174,820 
Common Stocks   226,369    111,276    365,129    702,774 
Preferred Stocks   —    —    60,497    60,497 
Warrants   —    —    0    0 
Miscellaneous   —    4,010    —    4,010 
Short-Term Investments   —    2,992,488    —    2,992,488 
Total Investments  $226,369   $195,376,348   $1,013,669   $196,616,386 

 

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund.

 

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended February 29, 2020 is not presented.

 

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 

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