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Eaton Vance
Senior Income Trust
March 31, 2020
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Loans 143.9%(1)
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Aerospace and Defense 2.9%
Aernnova Aerospace S.A.U
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing February 22, 2027
EUR
51
$
44,735
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing February 26, 2027
EUR
199
174,466
AI Convoy (Luxembourg) S.a.r.l.
Term Loan, 3.75%, (2 mo. EURIBOR + 3.75%), Maturing January 17, 2027
EUR
200
195,765
Term Loan, 5.34%, (3 mo. USD LIBOR + 3.50%), Maturing January 17, 2027
325
305,500
Dynasty Acquisition Co., Inc.
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026
165
130,289
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026
308
242,337
IAP Worldwide Services, Inc.
Revolving Loan, 1.38%, (3 mo. USD LIBOR + 5.50%), Maturing July 19, 2021(2)
161
143,947
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 6.50%), Maturing July 18, 2020(3)
210
164,211
TransDigm, Inc.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing August 22, 2024
1,201
1,108,916
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing December 9, 2025
2,882
2,694,425
WP CPP Holdings, LLC
Term Loan, 5.53%, (USD LIBOR + 3.75%), Maturing April 30, 2025(4)
913
695,803
$
5,900,394
Automotive 3.2%
Adient US, LLC
Term Loan, 5.52%, (3 mo. USD LIBOR + 4.00%), Maturing May 6, 2024
670
$
595,407
American Axle and Manufacturing, Inc.
Term Loan, 3.20%, (1 mo. USD LIBOR + 2.25%), Maturing April 6, 2024
1,088
921,748
Autokiniton US Holdings, Inc.
Term Loan, 7.36%, (1 mo. USD LIBOR + 6.38%), Maturing May 22, 2025
368
302,119
Bright Bidco B.V.
Term Loan, 4.57%, (USD LIBOR + 3.50%), Maturing June 30, 2024(4)
730
259,861
Chassix, Inc.
Term Loan, 7.35%, (USD LIBOR + 5.50%), Maturing November 15, 2023(4)
635
473,354
Dayco Products, LLC
Term Loan, 5.86%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023
486
364,688
Garrett LX III S.a.r.l.
Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), Maturing September 27, 2025
EUR
184
162,523
Term Loan, 3.77%, (3 mo. USD LIBOR + 2.50%), Maturing September 27, 2025
123
102,809
IAA, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing June 28, 2026
266
255,420
Panther BF Aggregator 2 L.P.
Term Loan, 4.44%, (1 mo. USD LIBOR + 3.50%), Maturing April 30, 2026
1,667
1,533,295
1
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Tenneco, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025
1,280
$
902,231
Thor Industries, Inc.
Term Loan, 5.36%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026
493
423,657
TI Group Automotive Systems, LLC
Term Loan, 3.50%, (3 mo. EURIBOR + 2.75%, Floor 0.75%), Maturing June 30, 2022
EUR
358
349,554
$
6,646,666
Beverage and Tobacco 0.8%
Arterra Wines Canada, Inc.
Term Loan, 3.80%, (3 mo. USD LIBOR + 2.75%), Maturing December 15, 2023
1,187
$
1,009,231
Flavors Holdings, Inc.
Term Loan, 7.20%, (3 mo. USD LIBOR + 5.75%), Maturing June 30, 2020
271
260,486
Term Loan - Second Lien, 11.45%, (3 mo. USD LIBOR + 10.00%), Maturing
October 3, 2021
500
455,000
$
1,724,717
Brokerage/Securities Dealers/Investment Houses 0.4%
Advisor Group, Inc.
Term Loan, 5.99%, (1 mo. USD LIBOR + 5.00%), Maturing July 31, 2026
773
$
595,258
OZ Management L.P.
Term Loan, 5.56%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023
23
21,645
Resolute Investment Managers, Inc.
Term Loan - Second Lien, 9.28%, (3 mo. USD LIBOR + 7.50%), Maturing
April 30, 2023
250
218,750
$
835,653
Building and Development 4.6%
ACProducts, Inc.
Term Loan, 8.19%, (3 mo. USD LIBOR + 6.50%), Maturing August 18, 2025
200
$
182,500
Advanced Drainage Systems, Inc.
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing July 31, 2026
139
129,882
American Builders & Contractors Supply Co., Inc.
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2027
1,119
1,016,765
APi Group DE, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing October 1, 2026
673
619,447
Beacon Roofing Supply, Inc.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing January 2, 2025
270
245,245
Brookfield Property REIT, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025
443
318,253
Core & Main L.P.
Term Loan, 4.33%, (USD LIBOR + 2.75%), Maturing August 1, 2024(4)
515
456,147
CPG International, Inc.
Term Loan, 5.93%, (12 mo. USD LIBOR + 3.75%), Maturing May 5, 2024
903
758,758
Cushman & Wakefield U.S. Borrower, LLC
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing August 21, 2025
2,592
2,332,969
Henry Company, LLC
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing
October 5, 2023
194
166,507
NCI Building Systems, Inc.
Term Loan, 4.56%, (1 mo. USD LIBOR + 3.75%), Maturing April 12, 2025
345
301,645
Quikrete Holdings, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2027
650
565,755
2
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
RE/MAX International, Inc.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing December 15, 2023
889
$
777,936
Summit Materials Companies I, LLC
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing November 21, 2024
293
259,893
Werner FinCo L.P.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing
July 24, 2024
537
474,906
WireCo WorldGroup, Inc.
Term Loan, 6.07%, (6 mo. USD LIBOR + 5.00%), Maturing September 30, 2023
415
334,065
Term Loan - Second Lien, 10.07%, (6 mo. USD LIBOR + 9.00%), Maturing
September 30, 2024
575
484,437
$
9,425,110
Business Equipment and Services 12.6%
Adtalem Global Education, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing April 11, 2025
172
$
154,744
AlixPartners, LLP
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing April 4, 2024
EUR
347
343,939
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing
April 4, 2024
745
709,604
Allied Universal Holdco, LLC
Term Loan, 5.24%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026
673
622,814
Altran Technologies S.A.
Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), Maturing March 20, 2025
EUR
616
652,084
Amentum Government Services Holdings, LLC
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing February 1, 2027
450
425,250
AppLovin Corporation
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025
1,630
1,471,237
Belfor Holdings, Inc.
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing April 6, 2026
248
239,441
BidFair MergeRight, Inc.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing
January 15, 2027
299
240,853
Bracket Intermediate Holding Corp.
Term Loan, 6.16%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025
419
336,993
Brand Energy & Infrastructure Services, Inc.
Term Loan, 6.08%, (3 mo. USD LIBOR + 4.25%), Maturing June 21, 2024
243
198,552
Camelot U.S. Acquisition 1 Co.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing October 31, 2026
848
767,327
CCC Information Services, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing
April 29, 2024
1,473
1,360,941
Ceridian HCM Holding, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2025
390
364,893
CM Acquisition Co.
Term Loan, 11.45%, (3 mo. USD LIBOR + 10.00%), Maturing July 26, 2023
94
88,051
Da Vinci Purchaser Corp.
Term Loan, 5.87%, (3 mo. USD LIBOR + 4.00%), Maturing January 8, 2027
175
163,406
Deerfield Dakota Holding, LLC
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing
February 13, 2025
742
657,045
EAB Global, Inc.
Term Loan, 5.74%, (3 mo. USD LIBOR + 3.75%), Maturing November 15, 2024
613
529,812
3
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
EIG Investors Corp.
Term Loan, 5.39%, (3 mo. USD LIBOR + 3.75%), Maturing February 9, 2023
1,367
$
1,121,286
Element Materials Technology Group US Holdings, Inc.
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing June 28, 2024
171
143,693
Garda World Security Corporation
Term Loan, 6.39%, (3 mo. USD LIBOR + 4.75%), Maturing October 30, 2026
670
639,744
IG Investment Holdings, LLC
Term Loan, 5.45%, (3 mo. USD LIBOR + 4.00%), Maturing May 23, 2025
1,111
899,833
IRI Holdings, Inc.
Term Loan, 6.11%, (3 mo. USD LIBOR + 4.50%), Maturing December 1, 2025
963
775,064
Iron Mountain, Inc.
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026
417
401,923
KAR Auction Services, Inc.
Term Loan, 3.19%, (1 mo. USD LIBOR + 2.25%), Maturing September 19, 2026
299
277,605
Kronos Incorporated
Term Loan, 4.76%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2023
2,765
2,561,195
KUEHG Corp.
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), Maturing February 21, 2025
1,421
1,069,592
Term Loan - Second Lien, 9.70%, (3 mo. USD LIBOR + 8.25%), Maturing August 18, 2025
200
169,000
LGC Group Holdings Ltd.
Term Loan, Maturing January 22,
2027(5)
EUR
225
214,829
LGC Limited
Term Loan, Maturing January 22,
2027(5)
150
133,500
Monitronics International, Inc.
Term Loan, 7.75%, (1 mo. USD LIBOR + 6.50%), Maturing March 29, 2024
743
561,637
PGX Holdings, Inc.
Term Loan, 6.25%, (1 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing September 29,
2020
560
271,012
Pre-Paid Legal Services, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2025
225
192,050
Prime Security Services Borrower, LLC
Term Loan, 4.61%, (1 mo. USD LIBOR + 3.25%), Maturing September 23, 2026
1,125
1,023,559
Prometric Holdings, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing January 29, 2025
147
113,937
Red Ventures, LLC
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing November 8, 2024
662
557,865
Rockwood Service Corporation
Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), Maturing January 23, 2027
225
205,031
Sabre GLBL, Inc.
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing February 22, 2024
465
399,739
SMG US Midco 2, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 2.50%), Maturing January 23, 2025
123
92,492
Speedster Bidco GmbH
Term Loan, Maturing February 12,
2027(5)
EUR
1,025
972,210
Spin Holdco, Inc.
Term Loan, 5.09%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2022
1,683
1,506,200
Techem Verwaltungsgesellschaft 675 mbH
Term Loan, 2.88%, (2 mo. EURIBOR + 2.88%), Maturing July 15, 2025
EUR
357
372,288
4
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Tempo Acquisition, LLC
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing May 1, 2024
902
$
810,302
Vestcom Parent Holdings, Inc.
Term Loan, 5.07%, (6 mo. USD LIBOR + 4.00%), Maturing December 19, 2023
241
194,023
WASH Multifamily Laundry Systems, LLC
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing May 14, 2022
122
103,345
West Corporation
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing October 10, 2024
147
110,826
Term Loan, 5.45%, (3 mo. USD LIBOR + 4.00%), Maturing October 10, 2024
513
395,154
Zephyr Bidco Limited
Term Loan, 4.74%, (1 mo. GBP LIBOR + 4.50%), Maturing July 23, 2025
GBP
350
367,351
$
25,983,271
Cable and Satellite Television 5.4%
Altice France S.A.
Term Loan, 4.39%, (1 mo. USD LIBOR + 3.69%), Maturing January 31, 2026
345
$
324,028
Term Loan, 4.70%, (1 mo. USD LIBOR + 4.00%), Maturing August 14, 2026
695
657,672
CSC Holdings, LLC
Term Loan, 2.86%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025
1,698
1,646,692
Term Loan, 3.11%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2027
593
573,737
Numericable Group S.A.
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing July 31, 2025
EUR
219
224,435
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025
875
805,959
Radiate Holdco, LLC
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024
901
836,564
Telenet Financing USD, LLC
Term Loan, 2.70%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2028
1,825
1,694,969
UPC Broadband Holding B.V.
Term Loan, 2.95%, (1 mo. USD LIBOR + 2.25%), Maturing April 30, 2028
400
363,333
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing April 30, 2029
EUR
350
364,301
Virgin Media Bristol, LLC
Term Loan, 3.20%, (1 mo. USD LIBOR + 2.50%), Maturing January 31, 2028
2,050
1,952,625
Virgin Media SFA Finance Limited
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing January 31, 2029
EUR
575
590,727
Ziggo B.V.
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 31, 2029
EUR
1,075
1,100,295
$
11,135,337
Chemicals and Plastics 7.0%
Alpha 3 B.V.
Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), Maturing January 31, 2024
641
$
594,465
Aruba Investments, Inc.
Term Loan, 4.32%, (6 mo. USD LIBOR + 3.25%), Maturing February 2, 2022
433
404,811
Axalta Coating Systems US Holdings, Inc.
Term Loan, 3.20%, (3 mo. USD LIBOR + 1.75%), Maturing June 1, 2024
1,088
1,028,587
Chemours Company (The)
Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing April 3, 2025
EUR
284
273,130
Emerald Performance Materials, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing
August 1, 2021
234
204,691
5
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Ferro Corporation
Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024
158
$
137,189
Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024
161
140,171
Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024
194
168,977
Flint Group GmbH
Term Loan, 4.80%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021
70
50,146
Flint Group US, LLC
Term Loan, 4.80%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021
426
303,343
Gemini HDPE, LLC
Term Loan, 4.28%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024
732
614,773
H.B. Fuller Company
Term Loan, 2.77%, (1 mo. USD LIBOR + 2.00%), Maturing October 20, 2024
754
675,766
Hexion, Inc.
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing July 1, 2026
EUR
700
613,764
Term Loan, 5.41%, (3 mo. USD LIBOR + 3.50%), Maturing July 1, 2026
347
297,006
INEOS Enterprises Holdings II Limited
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing August 28, 2026
EUR
100
101,880
INEOS Enterprises Holdings US Finco, LLC
Term Loan, 5.11%, (3 mo. USD LIBOR + 3.50%), Maturing August 28, 2026
102
94,544
INEOS Finance PLC
Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing April 1, 2024
EUR
1,417
1,445,980
Messer Industries GmbH
Term Loan, 3.95%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026
693
622,834
Minerals Technologies, Inc.
Term Loan, 3.22%, (USD LIBOR + 2.25%), Maturing February 14, 2024(4)
411
380,406
Momentive Performance Materials, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing May 15, 2024
223
184,233
Orion Engineered Carbons GmbH
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing July 25, 2024
EUR
359
356,621
Term Loan, 3.45%, (3 mo. USD LIBOR + 2.00%), Maturing July 25, 2024
474
401,361
PMHC II, Inc.
Term Loan, 4.50%, (12 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing March 31, 2025
818
497,057
PQ Corporation
Term Loan, 4.03%, (3 mo. USD LIBOR + 2.25%), Maturing February 7, 2027
1,091
984,638
Pregis TopCo Corporation
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing July 31, 2026
299
263,340
Rohm Holding GmbH
Term Loan, 6.78%, (6 mo. USD LIBOR + 5.00%), Maturing July 31, 2026
175
120,447
Starfruit Finco B.V.
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing October 1, 2025
EUR
200
217,183
Term Loan, 3.86%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025
1,302
1,191,589
Tronox Finance, LLC
Term Loan, 3.93%, (USD LIBOR + 2.75%), Maturing September 23, 2024(4)
1,370
1,232,062
Univar, Inc.
Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), Maturing July 1, 2024
868
813,861
6
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Venator Materials Corporation
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing August 8, 2024
171
$
149,297
$
14,564,152
Conglomerates 0.0%(6)
Penn Engineering & Manufacturing Corp.
Term Loan, 4.12%, (3 mo. USD LIBOR + 2.75%), Maturing June 27, 2024
103
$
93,042
$
93,042
Containers and Glass Products 3.7%
Berry Global, Inc.
Term Loan, 2.86%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2022
384
$
371,037
Term Loan, 2.86%, (1 mo. USD LIBOR + 2.00%), Maturing July 1, 2026
447
422,954
BWAY Holding Company
Term Loan, 5.08%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024
1,197
993,364
Flex Acquisition Company, Inc.
Term Loan, 4.90%, (USD LIBOR + 3.00%), Maturing December 29, 2023(4)
1,434
1,278,844
Term Loan, 5.16%, (3 mo. USD LIBOR + 3.25%), Maturing June 29, 2025
685
610,759
Libbey Glass, Inc.
Term Loan, 4.01%, (1 mo. USD LIBOR + 3.00%), Maturing April 9, 2021
454
216,221
Pelican Products, Inc.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing May 1, 2025
295
240,958
Reynolds Consumer Products, Inc.
Term Loan, 3.50%, (3 mo. USD LIBOR + 1.75%), Maturing February 4, 2027
625
593,359
Reynolds Group Holdings, Inc.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2023
2,459
2,345,076
Ring Container Technologies Group, LLC
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing October 31, 2024
389
340,083
Trident TPI Holdings, Inc.
Term Loan, 4.32%, (3 mo. USD LIBOR + 3.25%), Maturing October 17, 2024
367
308,376
$
7,721,031
Cosmetics/Toiletries 0.7%
Kronos Acquisition Holdings, Inc.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing May 15, 2023
876
$
791,728
Term Loan, 7.96%, (1 mo. USD LIBOR + 7.00%), Maturing May 15, 2023
743
671,963
$
1,463,691
Drugs 8.0%
Aenova Holding GmbH
Term Loan, 5.00%, (6 mo. EURIBOR + 5.00%), Maturing February 14, 2025
EUR
100
$
93,746
Akorn, Inc.
Term Loan, 16.13%, (1 mo. USD LIBOR + 13.75%), 15.38% cash, 0.75% PIK, Maturing April 16,
2021
966
744,017
Albany Molecular Research, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing August 30, 2024
317
283,603
Alkermes, Inc.
Term Loan, 2.87%, (1 mo. USD LIBOR + 2.25%), Maturing March 27, 2023
186
165,696
Amneal Pharmaceuticals, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025
1,645
1,443,751
7
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Arbor Pharmaceuticals, Inc.
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing July 5, 2023
794
$
595,471
Bausch Health Companies, Inc.
Term Loan, 3.61%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025
2,514
2,409,481
Catalent Pharma Solutions, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing May 18, 2026
371
361,969
Elanco Animal Health Incorporated
Term Loan, Maturing February 4,
2027(5)
950
911,406
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024
2,354
2,112,577
Grifols Worldwide Operations USA, Inc.
Term Loan, 2.68%, (1 week USD LIBOR + 2.00%), Maturing November 15, 2027
2,004
1,920,239
Horizon Therapeutics USA, Inc.
Term Loan, 3.31%, (1 mo. USD LIBOR + 2.25%), Maturing May 22, 2026
976
924,358
Jaguar Holding Company II
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing August 18, 2022
2,504
2,413,883
Mallinckrodt International Finance S.A.
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024
1,288
885,340
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.00%), Maturing February 24, 2025
1,459
1,006,419
Nidda Healthcare Holding AG
Term Loan, Maturing August 21,
2026(5)
EUR
275
268,797
$
16,540,753
Ecological Services and Equipment 0.9%
Advanced Disposal Services, Inc.
Term Loan, 2.89%, (1 week USD LIBOR + 2.25%), Maturing November 10, 2023
930
$
925,788
EnergySolutions, LLC
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), Maturing May 9, 2025
862
732,628
US Ecology Holdings, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing November 1, 2026
125
120,323
$
1,778,739
Electronics/Electrical 20.9%
Almonde, Inc.
Term Loan, 5.28%, (3 mo. USD LIBOR + 3.50%), Maturing June 13, 2024
1,673
$
1,455,283
Applied Systems, Inc.
Term Loan - Second Lien, 8.45%, (3 mo. USD LIBOR + 7.00%), Maturing September 19,
2025
1,225
1,133,125
Aptean, Inc.
Term Loan, 5.24%, (1 mo. USD LIBOR + 4.25%), Maturing April 23, 2026
347
284,743
Term Loan - Second Lien, 9.49%, (1 mo. USD LIBOR + 8.50%), Maturing
April 23, 2027
650
597,188
Astra Acquisition Corp.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing
March 1, 2027
400
340,000
Avast Software B.V.
Term Loan, 3.70%, (3 mo. USD LIBOR + 2.25%), Maturing September 29, 2023
253
230,698
8
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Banff Merger Sub, Inc.
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing October 2, 2025
EUR
123
$
118,952
Term Loan, 5.24%, (1 mo. USD LIBOR + 4.25%), Maturing October 2, 2025
1,506
1,290,588
Buzz Merger Sub Ltd.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing January 29, 2027
275
254,375
Castle US Holding Corporation
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), Maturing January 29, 2027
466
405,923
CDW, LLC
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing October 13, 2026
597
576,754
Celestica, Inc.
Term Loan, 3.46%, (1 mo. USD LIBOR + 2.50%), Maturing June 27, 2025
113
100,125
Cohu, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025
345
258,563
CommScope, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026
821
779,831
CPI International, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 26, 2024
317
266,175
Datto, Inc.
Term Loan, 5.24%, (1 mo. USD LIBOR + 4.25%), Maturing April 2, 2026
174
150,565
ECI Macola/Max Holdings, LLC
Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024
367
329,623
Electro Rent Corporation
Term Loan, 6.80%, (3 mo. USD LIBOR + 5.00%), Maturing January 31, 2024
780
657,137
Epicor Software Corporation
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing June 1, 2022
2,112
1,958,860
EXC Holdings III Corp.
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing December 2, 2024
220
194,645
Fiserv Investment Solutions, Inc.
Term Loan, 6.44%, (3 mo. USD LIBOR + 4.75%), Maturing February 18, 2027
275
248,875
Flexera Software, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 26, 2025
147
134,194
GlobalLogic Holdings, Inc.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing August 1, 2025
194
184,727
Hyland Software, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing July 1, 2024
1,721
1,607,953
Term Loan - Second Lien, 7.99%, (1 mo. USD LIBOR + 7.00%), Maturing
July 7, 2025
2,031
1,919,173
Infoblox, Inc.
Term Loan, 5.49%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023
880
783,440
Informatica, LLC
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing February 25, 2027
EUR
125
120,492
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing February 25, 2027
2,875
2,544,375
Term Loan - Second Lien, 7.125%, Maturing February 25, 2025(7)
250
225,000
MA FinanceCo., LLC
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing November 19, 2021
1,323
1,250,305
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024
222
202,369
MACOM Technology Solutions Holdings, Inc.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing May 17, 2024
576
523,885
9
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Microchip Technology Incorporated
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing May 29, 2025
704
$
667,856
MKS Instruments, Inc.
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing February 2, 2026
155
141,953
MTS Systems Corporation
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023
233
217,737
NCR Corporation
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing August 28, 2026
448
409,691
Recorded Books, Inc.
Term Loan, Maturing August 29,
2025(5)
425
371,875
Refinitiv US Holdings, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025
792
765,836
Renaissance Holding Corp.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing May 30, 2025
565
502,794
Term Loan - Second Lien, 7.99%, (1 mo. USD LIBOR + 7.00%), Maturing May 29, 2026
75
59,250
Seattle Spinco, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024
1,499
1,366,649
SGS Cayman L.P.
Term Loan, 6.83%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021
186
138,671
SkillSoft Corporation
Term Loan, 6.53%, (3 mo. USD LIBOR + 4.75%), Maturing April 28, 2021
2,217
1,459,547
SolarWinds Holdings, Inc.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024
904
843,607
Solera, LLC
Term Loan, 4.36%, (3 mo. USD LIBOR + 2.75%), Maturing March 3, 2023
1,103
1,034,049
Sparta Systems, Inc.
Term Loan, 4.56%, (6 mo. USD LIBOR + 3.50%), Maturing August 21, 2024
1,071
936,939
SS&C Technologies Holdings Europe S.a.r.l.
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025
514
489,943
SS&C Technologies, Inc.
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025
721
686,609
STG-Fairway Holdings, LLC
Term Loan, 4.57%, (6 mo. USD LIBOR + 3.50%), Maturing January 31, 2027
200
183,000
SurveyMonkey, Inc.
Term Loan, 4.37%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025
470
387,351
Sutherland Global Services, Inc.
Term Loan, 6.83%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021
800
595,722
Switch, Ltd.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing June 27, 2024
122
112,445
Tibco Software, Inc.
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing June 30, 2026
2,488
2,363,352
Term Loan - Second Lien, 8.24%, (1 mo. USD LIBOR + 7.25%), Maturing March 3, 2028
250
238,750
TriTech Software Systems
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), Maturing August 29, 2025
395
308,100
10
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
TTM Technologies, Inc.
Term Loan, 4.08%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2024
127
$
119,830
Uber Technologies, Inc.
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023
2,004
1,885,607
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing April 4, 2025
1,205
1,137,325
Ultimate Software Group, Inc. (The)
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing May 4, 2026
771
728,713
Ultra Clean Holdings, Inc.
Term Loan, 5.49%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025
362
307,385
Verifone Systems, Inc.
Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025
568
377,060
Veritas Bermuda, Ltd.
Term Loan, 5.95%, (3 mo. USD LIBOR + 4.50%), Maturing January 27, 2023
1,029
879,601
Vero Parent, Inc.
Term Loan, 7.86%, (3 mo. USD LIBOR + 6.25%), Maturing August 16, 2024
1,195
961,620
Vertiv Group Corporation
Term Loan, 4.58%, (1 mo. USD LIBOR + 3.00%), Maturing March 2, 2027
75
68,250
VS Buyer, LLC
Term Loan, 4.86%, (3 mo. USD LIBOR + 3.25%), Maturing February 28, 2027
550
530,750
Vungle, Inc.
Term Loan, 6.49%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2026
323
289,421
Western Digital Corporation
Term Loan, 3.35%, (1 mo. USD LIBOR + 1.75%), Maturing April 29, 2023
553
535,192
$
43,230,421
Equipment Leasing 0.1%
IBC Capital Limited
Term Loan, 4.64%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023
170
$
143,867
$
143,867
Financial Intermediaries 4.8%
Apollo Commercial Real Estate Finance, Inc.
Term Loan, 3.45%, (1 mo. USD LIBOR + 2.75%), Maturing May 15, 2026
199
$
157,808
Aretec Group, Inc.
Term Loan, 5.24%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025
2,352
1,623,195
Citco Funding, LLC
Term Loan, 3.57%, (6 mo. USD LIBOR + 2.50%), Maturing September 28, 2023
1,886
1,831,582
Claros Mortgage Trust, Inc.
Term Loan, 4.26%, (1 mo. USD LIBOR + 3.25%), Maturing August 9, 2026
348
280,341
Ditech Holding Corporation
Term Loan, 0.00%, Maturing June 30,
2022(8)
1,397
549,361
EIG Management Company, LLC
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing February 22, 2025
123
108,413
Evergood 4 ApS
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing February 6, 2025
EUR
325
325,286
Focus Financial Partners, LLC
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing July 3, 2024
1,331
1,224,602
11
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Franklin Square Holdings L.P.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2025
246
$
227,781
Greenhill & Co., Inc.
Term Loan, 3.86%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024
490
433,650
GreenSky Holdings, LLC
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025
637
525,525
Guggenheim Partners, LLC
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023
501
451,220
Harbourvest Partners, LLC
Term Loan, 3.93%, (2 mo. USD LIBOR + 2.25%), Maturing March 3, 2025
469
400,669
LPL Holdings, Inc.
Term Loan, 2.71%, (1 mo. USD LIBOR + 1.75%), Maturing November 12, 2026
599
571,567
Starwood Property Trust, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing July 27, 2026
249
222,631
StepStone Group L.P.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing
March 27, 2025
294
277,830
Victory Capital Holdings, Inc.
Term Loan, 4.02%, (1 mo. USD LIBOR + 2.50%), Maturing July 1, 2026
540
480,681
Virtus Investment Partners, Inc.
Term Loan, 3.27%, (1 mo. USD LIBOR + 2.25%), Maturing June 1, 2024
239
215,082
$
9,907,224
Food Products 4.9%
Alphabet Holding Company, Inc.
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024
1,121
$
909,334
Atkins Nutritionals Holdings II, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing July 7, 2024
170
158,633
B&G Foods, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing October 10, 2026
124
118,571
Badger Buyer Corp.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing
September 30, 2024
171
127,969
CHG PPC Parent, LLC
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), Maturing March 31, 2025
EUR
1,375
1,357,256
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing March 31, 2025
221
200,061
Del Monte Foods, Inc.
Term Loan, 4.86%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021
816
667,337
Dole Food Company, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 6, 2024
768
697,215
Froneri International PLC
Term Loan, 2.63%, (6 mo. EURIBOR + 2.63%), Maturing January 29, 2027
EUR
575
596,382
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing January 29, 2027
975
936,000
Hearthside Food Solutions, LLC
Term Loan, 4.68%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025
838
716,142
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025
198
170,837
12
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
HLF Financing S.a.r.l.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing August 18, 2025
343
$
309,735
Jacobs Douwe Egberts International B.V.
Term Loan, 2.25%, (3 mo. EURIBOR + 1.75%, Floor 0.50%), Maturing November 1, 2025
EUR
117
124,714
Term Loan, 3.63%, (1 mo. USD LIBOR + 2.00%), Maturing November 1, 2025
681
646,145
JBS USA Lux S.A.
Term Loan, 3.07%, (6 mo. USD LIBOR + 2.00%), Maturing May 1, 2026
1,931
1,822,944
Nomad Foods Europe Midco Limited
Term Loan, 2.95%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024
566
533,868
$
10,093,143
Food Service 1.9%
1011778 B.C. Unlimited Liability Company
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing November 19, 2026
2,170
$
2,012,269
IRB Holding Corp.
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing February 5, 2025(4)
1,009
787,132
Restaurant Technologies, Inc.
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), Maturing October 1, 2025
99
83,197
US Foods, Inc.
Term Loan, 2.82%, (6 mo. USD LIBOR + 1.75%), Maturing June 27, 2023
392
369,652
Term Loan, 3.07%, (6 mo. USD LIBOR + 2.00%), Maturing September 13, 2026
771
718,432
$
3,970,682
Food/Drug Retailers 0.2%
Allsups Convenience Stores, Inc.
Term Loan, 7.18%, (1 mo. USD LIBOR + 6.25%), Maturing November 18, 2024
296
$
248,850
L1R HB Finance Limited
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing August 9, 2024
EUR
200
122,567
Term Loan, 5.77%, (3 mo. GBP LIBOR + 5.25%), Maturing September 2, 2024
GBP
200
137,332
$
508,749
Health Care 13.1%
Acadia Healthcare Company, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing February 11, 2022
114
$
105,940
Accelerated Health Systems, LLC
Term Loan, 4.30%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025
247
222,805
ADMI Corp.
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.75%), Maturing April 30, 2025
811
727,582
Alliance Healthcare Services, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing October 24, 2023
375
294,375
Term Loan - Second Lien, 11.00%, (1 mo. USD LIBOR + 10.00%, Floor 1.00%), Maturing April 24,
2024
225
163,125
athenahealth, Inc.
Term Loan, 5.28%, (3 mo. USD LIBOR + 4.50%), Maturing February 11, 2026
891
837,540
Avantor, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing November 21, 2024
208
198,703
BioClinica, Inc.
Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing October 20, 2023
702
582,998
13
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
BW NHHC Holdco, Inc.
Term Loan, 6.62%, (3 mo. USD LIBOR + 5.00%), Maturing May 15, 2025
1,064
$
643,508
Carestream Dental Equipment, Inc.
Term Loan, 4.32%, (6 mo. USD LIBOR + 3.25%), Maturing September 1, 2024
434
358,275
CeramTec AcquiCo GmbH
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), Maturing March 7, 2025
EUR
390
366,026
Certara L.P.
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing August 15, 2024
488
414,375
Change Healthcare Holdings, LLC
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing March 1, 2024
2,352
2,171,822
CHG Healthcare Services, Inc.
Term Loan, 4.07%, (USD LIBOR + 3.00%), Maturing June 7, 2023(4)
1,503
1,359,979
CryoLife, Inc.
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2024
220
192,445
Ensemble RCM, LLC
Term Loan, 5.51%, (3 mo. USD LIBOR + 3.75%), Maturing August 3, 2026
249
231,752
Envision Healthcare Corporation
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025
2,396
1,284,217
Gentiva Health Services, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%), Maturing July 2, 2025
1,139
1,076,617
GHX Ultimate Parent Corporation
Term Loan, 4.62%, (3 mo. USD LIBOR + 3.25%), Maturing June 28, 2024
439
410,327
Greatbatch Ltd.
Term Loan, 3.51%, (1 mo. USD LIBOR + 2.50%), Maturing October 27, 2022
683
652,290
Hanger, Inc.
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025
490
463,050
Inovalon Holdings, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%), Maturing April 2, 2025
537
494,746
IQVIA, Inc.
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing March 7, 2024
313
292,720
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing January 17, 2025
463
432,443
Medical Solutions, LLC
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing June 14, 2024
565
503,229
MPH Acquisition Holdings, LLC
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.75%), Maturing June 7, 2023
1,571
1,429,304
National Mentor Holdings, Inc.
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing March 9, 2026
309
280,786
Term Loan, 5.46%, (3 mo. USD LIBOR + 4.00%), Maturing March 9, 2026
14
12,752
Navicure, Inc.
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing October 22, 2026
450
425,250
One Call Corporation
Term Loan, 6.95%, (3 mo. USD LIBOR + 5.25%), Maturing November 25, 2022
1,003
830,991
Ortho-Clinical Diagnostics S.A.
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing June 30, 2025
EUR
200
183,449
Term Loan, 4.77%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025
2,298
1,967,486
14
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Parexel International Corporation
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024
1,123
$
965,630
Phoenix Guarantor, Inc.
Term Loan, 4.11%, (1 mo. USD LIBOR + 3.25%), Maturing March 5, 2026
868
798,973
Radiology Partners, Inc
Term Loan, 5.98%, (USD LIBOR + 4.25%), Maturing July 9, 2025(4)
745
631,648
RadNet, Inc.
Term Loan, 5.35%, (3 mo. USD LIBOR + 3.50%), Maturing June 30, 2023
713
634,840
Select Medical Corporation
Term Loan, 3.43%, (1 mo. USD LIBOR + 2.50%), Maturing March 6, 2025
1,265
1,208,195
Sound Inpatient Physicians
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2025
221
197,851
Surgery Center Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing September 3, 2024
463
365,174
Team Health Holdings, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing February 6, 2024
1,339
863,842
Tecomet, Inc.
Term Loan, 5.50%, (USD Prime + 2.25%), Maturing May 1, 2024
489
418,409
U.S. Anesthesia Partners, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing June 23, 2024
732
554,644
Verscend Holding Corp.
Term Loan, 5.49%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025
365
346,760
Viant Medical Holdings, Inc.
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), Maturing July 2, 2025
222
196,692
Wink Holdco, Inc.
Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), Maturing December 2, 2024
220
188,321
$
26,981,886
Home Furnishings 0.5%
Serta Simmons Bedding, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing November 8, 2023
2,358
$
970,642
$
970,642
Industrial Equipment 6.3%
AI Alpine AT Bidco GmbH
Term Loan, 4.62%, (3 mo. USD LIBOR + 2.75%), Maturing October 31, 2025
99
$
83,938
Altra Industrial Motion Corp.
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025
309
283,740
Apex Tool Group, LLC
Term Loan, 6.75%, (1 mo. USD LIBOR + 5.50%, Floor 1.25%), Maturing August 1, 2024
1,110
863,511
Carlisle Foodservice Products, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing March 20, 2025
123
105,503
Coherent Holding GmbH
Term Loan, 3.00%, (3 mo. EURIBOR + 2.25%, Floor 0.75%), Maturing November 7, 2023
EUR
324
339,535
CPM Holdings, Inc.
Term Loan, 5.35%, (1 mo. USD LIBOR + 3.75%), Maturing November 17, 2025
148
122,573
15
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Delachaux Group S.A.
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing April 16, 2026
EUR
175
$
162,126
Term Loan, 6.35%, (3 mo. USD LIBOR + 4.50%), Maturing April 16, 2026
225
187,875
DexKo Global, Inc.
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024
EUR
147
131,281
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024
EUR
366
328,205
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 24, 2024
389
333,650
DXP Enterprises, Inc.
Term Loan, 5.74%, (1 mo. USD LIBOR + 4.75%), Maturing August 29, 2023
244
220,594
Dynacast International, LLC
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), Maturing January 28, 2022
576
388,511
Engineered Machinery Holdings, Inc.
Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), Maturing July 19, 2024
639
536,817
Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), Maturing July 19, 2024
148
122,573
EWT Holdings III Corp.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing December 20, 2024
823
757,419
Filtration Group Corporation
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 29, 2025
EUR
172
164,085
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing March 29, 2025
731
645,728
Gardner Denver, Inc.
Term Loan, 2.00%, (1 mo. EURIBOR + 2.00%), Maturing March 1, 2027
EUR
188
193,696
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing March 1, 2027
576
544,308
Term Loan, 2.74%, (1 mo. USD LIBOR + 1.75%), Maturing March 1, 2027
625
587,500
Gates Global, LLC
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing April 1, 2024
EUR
412
386,520
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 1, 2024
2,096
1,886,410
Hayward Industries, Inc.
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing August 5, 2024
215
173,252
LTI Holdings, Inc.
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing September 6, 2025
720
538,469
Term Loan, 5.74%, (1 mo. USD LIBOR + 4.75%), Maturing July 24, 2026
100
75,952
Quimper AB
Term Loan, 4.25%, (2 mo. EURIBOR + 4.25%), Maturing February 13, 2026
EUR
850
732,785
Robertshaw US Holding Corp.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing February 28, 2025
466
302,575
Thermon Industries, Inc.
Term Loan, 5.33%, (1 mo. USD LIBOR + 3.75%), Maturing October 30, 2024
123
105,336
Titan Acquisition Limited
Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), Maturing March 28, 2025
1,397
1,190,516
Welbilt, Inc.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing October 23, 2025
639
511,204
$
13,006,187
16
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Insurance 6.7%
Alliant Holdings Intermediate, LLC
Term Loan, 3.86%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025
223
$
207,122
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing May 9, 2025
1,125
1,045,444
AmWINS Group, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing January 25, 2024
2,056
1,924,539
AssuredPartners, Inc.
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2027
698
623,188
Asurion, LLC
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022
594
552,294
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023
981
946,317
Term Loan - Second Lien, 7.49%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025
1,800
1,683,000
Financiere CEP S.A.S.
Term Loan, 4.00%, (2 mo. EURIBOR + 4.00%), Maturing January 16, 2025
EUR
250
234,596
FrontDoor, Inc.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%), Maturing August 16, 2025
222
213,868
Hub International Limited
Term Loan, 4.54%, (2 mo. USD LIBOR + 2.75%), Maturing April 25, 2025
1,810
1,710,586
Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing April 25, 2025
848
792,763
NFP Corp.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing February 15, 2027
1,644
1,438,380
Sedgwick Claims Management Services, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025
568
501,567
USI, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing May 16, 2024
1,612
1,471,363
Term Loan, 4.99%, (1 mo. USD LIBOR + 4.00%), Maturing December 2, 2026
648
593,263
$
13,938,290
Leisure Goods/Activities/Movies 6.8%
AMC Entertainment Holdings, Inc.
Term Loan, 4.08%, (6 mo. USD LIBOR + 3.00%), Maturing April 22, 2026
842
$
633,930
Amer Sports Oyj
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing March 30, 2026
EUR
1,600
1,279,363
Ancestry.com Operations, Inc.
Term Loan, 5.24%, (1 mo. USD LIBOR + 4.25%), Maturing August 27, 2026
1,390
1,160,232
Bombardier Recreational Products, Inc.
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing May 24, 2027
2,062
1,742,171
ClubCorp Holdings, Inc.
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024
853
548,133
Crown Finance US, Inc.
Term Loan, 2.38%, (6 mo. EURIBOR + 2.38%), Maturing February 28, 2025
EUR
126
93,879
Term Loan, 3.32%, (6 mo. USD LIBOR + 2.25%), Maturing February 28, 2025
794
533,717
Term Loan, 3.57%, (6 mo. USD LIBOR + 2.50%), Maturing September 30, 2026
697
461,083
Delta 2 (LUX) S.a.r.l.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing February 1, 2024
447
401,769
Emerald Expositions Holding, Inc.
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024
515
409,748
Etraveli Holding AB
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), Maturing August 2, 2024
EUR
425
370,298
17
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Lindblad Expeditions, Inc.
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025
173
$
137,311
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025
691
549,242
Match Group, Inc.
Term Loan, 3.46%, (3 mo. USD LIBOR + 1.75%), Maturing February 15, 2027
350
327,250
Motion Finco S.a.r.l.
Term Loan, 4.32%, (USD LIBOR + 3.25%), Maturing November 4, 2026(4)
32
25,970
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing November 13, 2026
EUR
625
613,488
Term Loan, 4.32%, (USD LIBOR + 3.25%), Maturing November 13, 2026(4)
242
204,565
NASCAR Holdings, Inc.
Term Loan, 3.67%, (1 mo. USD LIBOR + 2.75%), Maturing October 19, 2026
330
292,010
Playtika Holding Corp.
Term Loan, 7.07%, (6 mo. USD LIBOR + 6.00%), Maturing December 10, 2024
1,555
1,467,178
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing March 31, 2024
555
466,163
SRAM, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing March 15, 2024
547
522,062
Steinway Musical Instruments, Inc.
Term Loan, 4.45%, (1 mo. USD LIBOR + 3.75%), Maturing February 14, 2025
238
222,547
Travel Leaders Group, LLC
Term Loan, 4.96%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024
442
339,331
UFC Holdings, LLC
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing April 29, 2026
1,022
915,065
Vue International Bidco PLC
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing July 3, 2026
EUR
297
242,116
$
13,958,621
Lodging and Casinos 5.3%
Aristocrat Technologies, Inc.
Term Loan, 3.58%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024
469
$
426,930
Azelis Finance S.A.
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), Maturing November 10, 2025
EUR
900
810,962
Boyd Gaming Corporation
Term Loan, 2.93%, (1 week USD LIBOR + 2.25%), Maturing September 15, 2023
305
269,092
CityCenter Holdings, LLC
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing April 18, 2024
1,169
1,035,882
Eldorado Resorts, LLC
Term Loan, 3.25%, (6 mo. USD LIBOR + 2.25%), Maturing April 17, 2024
202
198,196
GBT III B.V.
Term Loan, Maturing February 26,
2027(5)
627
548,327
Term Loan, Maturing February 26,
2027(5)
748
654,798
Golden Nugget, Inc.
Term Loan, 3.58%, (USD LIBOR + 2.50%), Maturing October 4, 2023(4)
2,261
1,767,572
GVC Holdings PLC
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing March 29, 2024
EUR
825
787,057
Term Loan, 3.31%, (6 mo. USD LIBOR + 2.25%), Maturing March 29, 2024
515
427,893
18
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Hanjin International Corp.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020
250
$
200,000
Playa Resorts Holding B.V.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 29, 2024
1,121
797,505
Stars Group Holdings B.V. (The)
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 10, 2025
EUR
450
478,521
Term Loan, 4.95%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025
1,595
1,529,358
VICI Properties 1, LLC
Term Loan, 2.67%, (1 mo. USD LIBOR + 1.75%), Maturing December 20, 2024
1,026
948,321
$
10,880,414
Nonferrous Metals/Minerals 0.8%
Arconic Rolled Products Corporation
Term Loan, Maturing February 4,
2027(5)
275
$
251,625
CD&R Hydra Buyer, Inc.
Term Loan, 7.50%, (0.00% cash, 7.50% PIK), Maturing August 15, 2021(3)(7)
78
57,453
Murray Energy Corporation
DIP Loan, 13.00%, (1 mo. USD LIBOR + 11.00%, Floor 2.00%), Maturing July 31, 2020
257
254,450
Term Loan, 0.00%, Maturing October 17,
2022(8)
922
102,942
Noranda Aluminum Acquisition Corporation
Term Loan, 0.00%, Maturing February 28,
2021(8)
449
31,462
Oxbow Carbon, LLC
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing January 4, 2023
635
555,696
Rain Carbon GmbH
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 16, 2025
EUR
450
429,304
$
1,682,932
Oil and Gas 4.3%
Ameriforge Group, Inc.
Term Loan, 8.45%, (3 mo. USD LIBOR + 7.00%), Maturing June 8, 2022
331
$
321,176
Apergy Corporation
Term Loan, 3.64%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025
112
97,779
Blackstone CQP Holdco L.P.
Term Loan, 4.62%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024
471
384,222
Buckeye Partners L.P.
Term Loan, 4.27%, (1 mo. USD LIBOR + 2.75%), Maturing November 1, 2026
1,250
1,162,500
Centurion Pipeline Company, LLC
Term Loan, 4.24%, (1 mo. USD LIBOR + 3.25%), Maturing September 29, 2025
123
92,578
CITGO Holding, Inc.
Term Loan, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing August 1, 2023
124
100,744
CITGO Petroleum Corporation
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing July 29, 2021
449
415,209
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing March 28, 2024
1,436
1,256,062
Delek US Holdings, Inc.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing March 31, 2025
619
458,892
19
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Fieldwood Energy, LLC
Term Loan, 7.03%, (3 mo. USD LIBOR + 5.25%), Maturing April 11, 2022
1,338
$
468,475
Matador Bidco S.a.r.l.
Term Loan, 5.74%, (1 mo. USD LIBOR + 4.75%), Maturing October 15, 2026
1,650
1,493,250
McDermott Technology Americas, Inc.
DIP Loan, 10.72%, (USD LIBOR + 9.00%), Maturing October 21, 2020(4)
425
392,062
DIP Loan, 10.65%, (3 mo. USD LIBOR + 9.00%), Maturing October 22, 2020
230
227,906
Term Loan, 0.00%, Maturing May 9,
2025(8)
987
298,217
Prairie ECI Acquiror L.P.
Term Loan, 6.20%, (3 mo. USD LIBOR + 4.75%), Maturing March 11, 2026
1,091
572,609
Term Loan, Maturing March 11,
2026(5)
225
118,125
PSC Industrial Holdings Corp.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing October 11, 2024
342
316,038
RDV Resources Properties, LLC
Term Loan, 6.87%, (3 mo. USD LIBOR + 5.50%), Maturing March 29, 2024
215
113,888
Sunrise Oil & Gas Properties, LLC
Term Loan, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023
39
36,937
Term Loan - Second Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17,
2023
39
32,855
Term Loan - Third Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17,
2023
45
31,668
UGI Energy Services, LLC
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing August 13, 2026
471
407,793
$
8,798,985
Publishing 0.9%
Ascend Learning, LLC
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 12, 2024
536
$
486,200
Getty Images, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026
782
636,954
Harland Clarke Holdings Corp.
Term Loan, 6.46%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023
20
12,440
LSC Communications, Inc.
Term Loan, 0.00%, Maturing September 30,
2022(7)
385
62,815
ProQuest, LLC
Term Loan, 4.49%, (1 mo. USD LIBOR + 3.50%), Maturing October 23, 2026
698
659,846
Tweddle Group, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%), Maturing September 17, 2023
94
68,592
$
1,926,847
Radio and Television 3.4%
Cumulus Media New Holdings, Inc.
Term Loan, 4.82%, (6 mo. USD LIBOR + 3.75%), Maturing March 31, 2026
249
$
201,902
Diamond Sports Group, LLC
Term Loan, 4.18%, (1 mo. USD LIBOR + 3.25%), Maturing August 24, 2026
1,418
1,113,032
Entercom Media Corp.
Term Loan, 3.49%, (1 mo. USD LIBOR + 2.50%), Maturing November 18, 2024
432
389,184
20
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Entravision Communications Corporation
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024
381
$
314,016
Gray Television, Inc.
Term Loan, 3.77%, (1 mo. USD LIBOR + 2.25%), Maturing February 7, 2024
116
109,831
Term Loan, 4.02%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026
276
266,469
Hubbard Radio, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing March 28, 2025
270
232,424
iHeartCommunications, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2026
823
704,846
Mission Broadcasting, Inc.
Term Loan, 3.83%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024
157
147,058
Nexstar Broadcasting, Inc.
Term Loan, 3.19%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024
607
570,186
Term Loan, 4.33%, (1 mo. USD LIBOR + 2.75%), Maturing September 18, 2026
240
226,948
Sinclair Television Group, Inc.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing January 3, 2024
256
245,858
Term Loan, 3.21%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026
299
276,486
Terrier Media Buyer, Inc.
Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), Maturing December 17, 2026
823
713,384
Univision Communications, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing March 15, 2024
1,669
1,427,289
$
6,938,913
Retailers (Except Food and Drug) 2.0%
Apro, LLC
Term Loan, 4.00%, Maturing November 14,
2026(2)
61
$
53,625
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing November 14, 2026
213
187,218
Ascena Retail Group, Inc.
Term Loan, 5.75%, (USD LIBOR + 4.50%), Maturing August 21, 2022(4)
1,047
326,237
Bass Pro Group, LLC
Term Loan, 6.07%, (6 mo. USD LIBOR + 5.00%), Maturing September 25, 2024
609
517,969
BJs Wholesale Club, Inc.
Term Loan, 3.05%, (1 mo. USD LIBOR + 2.25%), Maturing February 3, 2024
377
359,727
Coinamatic Canada, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing May 14, 2022
21
18,099
Davids Bridal, Inc.
Term Loan, 7.65%, (3 mo. USD LIBOR + 6.00%), Maturing June 30, 2023
159
122,874
Hoya Midco, LLC
Term Loan, 4.57%, (6 mo. USD LIBOR + 3.50%), Maturing June 30, 2024
974
759,389
J. Crew Group, Inc.
Term Loan, 4.45%, (3 mo. USD LIBOR + 3.00%), Maturing March 5, 2021(3)
1,380
849,373
LSF9 Atlantis Holdings, LLC
Term Loan, 7.00%, (1 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing May 1, 2023
442
357,193
21
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
PFS Holding Corporation
Term Loan, 0.00%, Maturing January 31,
2021(8)
1,023
$
367,098
Pier 1 Imports (U.S.), Inc.
Term Loan, 0.00%, Maturing April 30,
2021(8)
236
48,431
Radio Systems Corporation
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing May 2, 2024
195
176,995
$
4,144,228
Steel 1.2%
Atkore International, Inc.
Term Loan, 4.02%, (3 mo. USD LIBOR + 2.75%), Maturing December 22, 2023
625
$
550,161
GrafTech Finance, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 12, 2025
1,086
950,043
Neenah Foundry Company
Term Loan, 7.95%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022
332
290,565
Phoenix Services International, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing March 1, 2025
392
325,360
Zekelman Industries, Inc.
Term Loan, 3.21%, (1 mo. USD LIBOR + 2.25%), Maturing January 24, 2027
300
280,500
$
2,396,629
Surface Transport 0.5%
Agro Merchants NAI Holdings, LLC
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.75%), Maturing December 6, 2024
22
$
18,097
Hertz Corporation (The)
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing June 30, 2023
469
335,938
Kenan Advantage Group, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 31, 2022
53
45,289
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 31, 2022
175
148,931
PODS, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing December 6, 2024
268
235,281
XPO Logistics, Inc.
Term Loan, 3.61%, (3 mo. USD LIBOR + 2.00%), Maturing February 24, 2025
275
258,271
$
1,041,807
Telecommunications 7.3%
CenturyLink, Inc.
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing March 15, 2027
3,342
$
3,105,623
Colorado Buyer, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing May 1, 2024
389
264,196
Digicel International Finance Limited
Term Loan, 4.87%, (3 mo. USD LIBOR + 3.25%), Maturing May 28, 2024
853
666,508
eircom Finco S.a.r.l.
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), Maturing May 15, 2026
EUR
791
833,031
Gamma Infrastructure III B.V.
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), Maturing January 9, 2025
EUR
750
723,778
22
Borrower/Tranche Description
Principal
Amount*
(000s omitted)
Value
Global Eagle Entertainment, Inc.
Term Loan, 9.38%, (3 mo. USD LIBOR + 7.50%), Maturing January 6, 2023
1,231
$
806,533
Intelsat Jackson Holdings S.A.
Term Loan, 5.68%, (3 mo. USD LIBOR + 3.75%), Maturing November 27, 2023
650
606,125
Term Loan, 6.43%, (3 mo. USD LIBOR + 4.50%), Maturing January 2, 2024
850
793,333
IPC Corp.
Term Loan, 6.28%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021
557
334,121
Onvoy, LLC
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing February 10, 2024
825
638,987
Plantronics, Inc.
Term Loan, 3.46%, (USD LIBOR + 2.50%), Maturing July 2, 2025(4)
585
456,027
Sprint Communications, Inc.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024
1,625
1,618,657
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%), Maturing February 2, 2024
370
367,381
Syniverse Holdings, Inc.
Term Loan, 6.87%, (6 mo. USD LIBOR + 5.00%), Maturing March 9, 2023
466
311,109
Telesat Canada
Term Loan, 3.74%, (1 mo. USD LIBOR + 2.75%), Maturing December 7, 2026
623
581,355
Zayo Group Holdings, Inc.
Term Loan, 3.25%, (EURIBOR + 3.25%), Maturing March 9, 2027(4)
EUR
200
199,073
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing March 9, 2027
1,175
1,101,562
Ziggo Financing Partnership
Term Loan, 3.20%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2028
1,700
1,587,375
$
14,994,774
Utilities 1.8%
Brookfield WEC Holdings, Inc.
Term Loan, 3.99%, (1 mo. USD LIBOR + 3.00%), Maturing August 1, 2025
563
$
536,795
Calpine Construction Finance Company L.P.
Term Loan, 2.99%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2025
436
402,869
Calpine Corporation
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2024
1,476
1,425,932
Term Loan, 3.24%, (1 mo. USD LIBOR + 2.25%), Maturing April 5, 2026
422
407,049
Lightstone Holdco, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing January 30, 2024
38
28,258
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing January 30, 2024
675
501,008
Longview Power, LLC
Term Loan, 0.00%, Maturing April 13,
2021(8)
1,313
279,039
Talen Energy Supply, LLC
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.75%), Maturing July 8, 2026
174
153,714
USIC Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing December 8, 2023
98
82,844
$
3,817,508
Total Senior Floating-Rate Loans
(identified cost $348,004,152)
$
297,145,305
23
Corporate Bonds & Notes 5.2%
Security
Principal
Amount*
(000s omitted)
Value
Aerospace and Defense 0.2%
TransDigm, Inc.
6.50%, 7/15/24
223
$
213,724
7.50%, 3/15/27
120
116,310
$
330,034
Automotive 0.1%
Navistar International Corp.
6.625%, 11/1/25(9)
260
$
218,076
$
218,076
Building and Development 0.2%
Core & Main Holdings, L.P.
8.625%, (8.625% cash or 9.375% PIK),
9/15/24(9)(10)
29
$
26,789
Hillman Group, Inc. (The)
6.375%, 7/15/22(9)
12
9,416
Reliance Intermediate Holdings, L.P.
6.50%, 4/1/23(9)
50
51,162
Standard Industries, Inc.
6.00%, 10/15/25(9)
30
29,708
5.00%, 2/15/27(9)
271
248,498
$
365,573
Business Equipment and Services 0.6%
EIG Investors Corp.
10.875%, 2/1/24
417
$
358,097
Prime Security Services Borrower, LLC/Prime Finance, Inc.
5.25%, 4/15/24(9)
325
323,065
5.75%, 4/15/26(9)
325
320,327
ServiceMaster Co., LLC (The)
7.45%, 8/15/27
187
165,222
$
1,166,711
Cable and Satellite Television 0.3%
Altice France S.A.
8.125%, 2/1/27(9)
212
$
222,187
Cablevision Systems Corp.
5.875%, 9/15/22
5
5,077
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.25%, 9/30/22
13
12,842
5.375%, 5/1/25(9)
26
26,818
5.75%, 2/15/26(9)
13
13,207
CSC Holdings, LLC
5.25%, 6/1/24
5
5,044
5.75%, 1/15/30(9)
254
257,101
24
Security
Principal
Amount*
(000s omitted)
Value
DISH DBS Corp.
6.75%, 6/1/21
3
$
3,058
TEGNA, Inc.
5.00%, 9/15/29(9)
32
28,920
$
574,254
Conglomerates 0.0%(6)
Spectrum Brands, Inc.
5.75%, 7/15/25
30
$
28,274
5.00%, 10/1/29(9)
9
7,727
$
36,001
Consumer Products
0.0%(6)
Central Garden & Pet Co.
6.125%, 11/15/23
15
$
14,417
$
14,417
Containers and Glass Products 0.2%
Berry Global, Inc.
6.00%, 10/15/22
4
$
3,986
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
7.00%, 7/15/24(9)
417
426,122
$
430,108
Distribution & Wholesale
0.0%(6)
Performance Food Group, Inc.
5.50%, 10/15/27(9)
30
$
28,052
$
28,052
Diversified Financial Services 0.1%
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC
7.125%, 7/31/26(9)
200
$
167,601
$
167,601
Drugs 0.2%
Bausch Health Americas, Inc.
8.50%, 1/31/27(9)
59
$
61,982
Bausch Health Companies, Inc.
7.00%, 1/15/28(9)
327
340,914
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC
6.375%, 8/1/23(9)
30
30,749
$
433,645
Ecological Services and Equipment 0.1%
Covanta Holding Corp.
5.875%, 3/1/24
10
$
9,512
GFL Environmental, Inc.
8.50%, 5/1/27(9)
250
252,563
$
262,075
25
Security
Principal
Amount*
(000s omitted)
Value
Electronics/Electrical
0.0%(6)
Infor (US), Inc.
6.50%, 5/15/22
25
$
24,492
Sensata Technologies, Inc.
4.375%, 2/15/30(9)
21
19,059
$
43,551
Entertainment 0.1%
Merlin Entertainments PLC
5.75%, 6/15/26(9)
217
$
185,219
$
185,219
Financial Intermediaries 0.1%
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.25%, 2/1/22
7
$
7,055
6.25%, 5/15/26
271
257,619
JPMorgan Chase & Co.
Series S, 6.75% to 2/1/24 (11)(12)
35
36,599
Navient Corp.
5.00%, 10/26/20
10
9,884
$
311,157
Food Products 0.1%
Iceland Bondco PLC
4.975%, (3 mo. GBP LIBOR + 4.25%),
7/15/20(9)(13)
GBP
93
$
115,022
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.
5.50%, 1/15/30(9)
103
106,919
$
221,941
Food/Drug Retailers 0.1%
Fresh Market, Inc. (The)
9.75%, 5/1/23(9)
575
$
273,125
$
273,125
Health Care 0.1%
Centene Corp.
4.75%, 5/15/22
7
$
7,072
HCA, Inc.
5.875%, 2/15/26
7
7,329
Hologic, Inc.
4.375%, 10/15/25(9)
10
9,965
MPH Acquisition Holdings, LLC
7.125%, 6/1/24(9)
162
142,160
Tenet Healthcare Corp.
8.125%, 4/1/22
20
19,007
6.75%, 6/15/23
5
4,644
$
190,177
Insurance 0.2%
AssuredPartners, Inc.
7.00%, 8/15/25(9)
417
$
378,415
$
378,415
26
Security
Principal
Amount*
(000s omitted)
Value
Internet Software & Services 0.1%
Netflix, Inc.
5.375%, 11/15/29(9)
105
$
110,308
Riverbed Technology, Inc.
8.875%, 3/1/23(9)
11
7,040
$
117,348
Leisure Goods/Activities/Movies 0.1%
Sabre GLBL, Inc.
5.375%, 4/15/23(9)
10
$
9,213
Viking Cruises, Ltd.
6.25%, 5/15/25(9)
20
12,975
5.875%, 9/15/27(9)
417
246,305
$
268,493
Lodging and Casinos 0.5%
Caesars Resort Collection, LLC/CRC Finco, Inc.
5.25%, 10/15/25(9)
271
$
197,749
ESH Hospitality, Inc.
5.25%, 5/1/25(9)
15
12,694
4.625%, 10/1/27(9)
26
20,424
Golden Nugget, Inc.
8.75%, 10/1/25(9)
143
74,892
MGM Growth Properties Operating Partnership, L.P./MGP Finance
Co-Issuer, Inc.
5.625%, 5/1/24
5
4,831
MGM Resorts International
7.75%, 3/15/22
10
9,958
RHP Hotel Properties, L.P./RHP Finance Corp.
5.00%, 4/15/23
10
7,887
Stars Group Holdings B.V./Stars Group US Co-Borrower,
LLC
7.00%, 7/15/26(9)
417
394,378
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
5.25%, 5/15/27(9)
237
215,374
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp.
5.125%, 10/1/29(9)
9
8,241
$
946,428
Nonferrous Metals/Minerals
0.0%(6)
New Gold, Inc.
6.25%, 11/15/22(9)
5
$
4,894
$
4,894
Oil and Gas 0.5%
Antero Resources Corp.
5.375%, 11/1/21
26
$
19,057
Centennial Resource Production, LLC
6.875%, 4/1/27(9)
417
105,070
Energy Transfer Operating, L.P.
5.875%, 1/15/24
15
14,201
Hilcorp Energy I, L.P./Hilcorp Finance Co.
6.25%, 11/1/28(9)
271
121,555
Neptune Energy Bondco PLC
6.625%, 5/15/25(9)
463
262,738
Newfield Exploration Co.
5.625%, 7/1/24
42
22,597
27
Security
Principal
Amount*
(000s omitted)
Value
Precision Drilling Corp.
6.50%, 12/15/21
322
$
244,608
Seven Generations Energy, Ltd.
6.75%, 5/1/23(9)
25
17,719
6.875%, 6/30/23(9)
15
10,420
Tervita Corp.
7.625%, 12/1/21(9)
425
300,369
Williams Cos., Inc. (The)
4.55%, 6/24/24
5
4,565
$
1,122,899
Packaging & Containers 0.1%
ARD Finance S.A.
6.50%, (6.50% cash or 7.25% PIK),
6/30/27(9)(10)
292
$
252,419
$
252,419
Radio and Television 0.3%
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.375%, 8/15/26(9)
53
$
43,361
6.625%, 8/15/27(9)
109
73,499
iHeartCommunications, Inc.
6.375%, 5/1/26
102
97,383
8.375%, 5/1/27
185
158,902
Nielsen Co. Luxembourg S.a.r.l. (The)
5.50%, 10/1/21(9)
15
14,801
Terrier Media Buyer, Inc.
8.875%, 12/15/27(9)
162
137,295
$
525,241
Road & Rail
0.0%(6)
Watco Cos., LLC/Watco Finance Corp.
6.375%, 4/1/23(9)
20
$
19,675
$
19,675
Software and Services
0.0%(6)
IHS Markit, Ltd.
5.00%, 11/1/22(9)
25
$
26,353
$
26,353
Steel 0.2%
Allegheny Technologies, Inc.
7.875%, 8/15/23
463
$
449,557
$
449,557
Surface Transport 0.2%
DAE Funding, LLC
5.00%, 8/1/24(9)
344
$
313,890
XPO Logistics, Inc.
6.50%, 6/15/22(9)
22
22,172
$
336,062
28
Security
Principal
Amount*
(000s omitted)
Value
Telecommunications 0.4%
CenturyLink, Inc.
6.75%, 12/1/23
15
$
16,036
CommScope Technologies, LLC
6.00%, 6/15/25(9)
3
2,768
Connect Finco S.a.r.l./Connect US Finco, LLC
6.75%, 10/1/26(9)
200
166,000
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd.
8.75%, 5/25/24(9)
275
248,530
Intelsat Jackson Holdings S.A.
5.50%, 8/1/23
10
6,212
8.50%, 10/15/24(9)
139
88,398
Level 3 Financing, Inc.
5.375%, 1/15/24
10
10,087
Sprint Communications, Inc.
7.00%, 8/15/20
49
49,478
6.00%, 11/15/22
3
3,138
Sprint Corp.
7.25%, 9/15/21
110
113,978
7.625%, 2/15/25
100
111,415
T-Mobile USA, Inc.
6.375%, 3/1/25
15
15,431
6.50%, 1/15/26
45
47,500
$
878,971
Utilities 0.1%
Vistra Energy Corp.
8.125%, 1/30/26(9)
10
$
10,460
Vistra Operations Co., LLC
5.00%, 7/31/27(9)
93
94,911
4.30%, 7/15/29(9)
15
13,368
$
118,739
Total Corporate Bonds & Notes
(identified cost
$13,113,975)
$
10,697,211
Asset-Backed Securities 6.1%
Security
Principal
Amount
(000s omitted)
Value
Allegany Park CLO, Ltd.
Series 2019-1A, Class E, 8.609%, (3 mo. USD LIBOR +
6.78%), 1/20/33(9)(13)
$
450
$
264,071
Ares LII CLO, Ltd.
Series 2019-52A, Class E, 8.352%, (3 mo. USD LIBOR +
6.55%), 4/22/31(9)(13)
500
314,081
Ares XXXIIR CLO, Ltd.
Series 2014-32RA, Class D, 7.542%, (3 mo. USD LIBOR + 5.85%), 5/15/30(9)(13)
1,000
631,322
Ares XXXIV CLO, Ltd.
Series 2015-2A, Class ER, 7.625%, (3 mo. USD LIBOR +
6.85%), 4/17/33(9)(13)
550
342,196
Bardot CLO, Ltd.
Series 2019-2A, Class E, 8.816%, (3 mo. USD LIBOR +
6.95%), 10/22/32(9)(13)
500
295,673
Security
Principal
Amount
(000s omitted)
Value
Benefit Street Partners CLO XIX, Ltd.
Series 2019-19A, Class E, 8.898%, (3 mo. USD LIBOR +
7.02%), 1/15/33(9)(13)
$
750
$
443,806
Benefit Street Partners CLO XVII, Ltd.
Series 2019-17A, Class E, 8.431%, (3 mo. USD LIBOR +
6.60%), 7/15/32(9)(13)
500
289,554
Benefit Street Partners CLO XVIII, Ltd.
Series 2019-18A, Class E, 8.717%, (3 mo. USD LIBOR +
6.90%), 10/15/32(9)(13)
500
295,054
BlueMountain CLO XXV, Ltd.
Series 2019-25A, Class E, 8.531%, (3 mo. USD LIBOR +
6.70%), 7/15/32(9)(13)
500
305,768
BlueMountain CLO XXVI, Ltd.
Series 2019-26A, Class E, 9.526%, (3 mo. USD LIBOR +
7.70%), 10/20/32(9)(13)
1,000
653,347
Canyon Capital CLO, Ltd.
Series 2019-2A, Class E, 8.369%, (3 mo. USD LIBOR +
7.15%), 10/15/32(9)(13)
400
241,362
Carlyle Global Market Strategies CLO, Ltd.
Series 2012-3A, Class DR2, 8.338%, (3 mo. USD LIBOR +
6.50%), 1/14/32(9)(13)
600
377,982
Series 2015-5A, Class DR, 8.519%, (3 mo. USD LIBOR +
6.70%), 1/20/32(9)(13)
500
326,921
Cedar Funding X CLO, Ltd.
Series 2019-10A, Class E, 8.135%, (3 mo. USD LIBOR +
7.00%), 10/20/32(9)(13)
500
292,314
Dryden Senior Loan Fund
Series 2015-40A, Class ER, 7.442%, (3 mo. USD LIBOR +
5.75%), 8/15/31(9)(13)
500
323,024
Fort Washington CLO, Ltd.
Series 2019-1A, Class E, 9.158%, (3 mo. USD LIBOR +
7.25%), 10/20/32(9)(13)
500
298,412
Galaxy XV CLO, Ltd.
Series 2013-15A, Class ER, 8.476%, (3 mo. USD LIBOR +
6.65%), 10/15/30(9)(13)
500
317,475
Galaxy XXI CLO, Ltd.
Series 2015-21A, Class ER, 7.069%, (3 mo. USD LIBOR +
5.25%), 4/20/31(9)(13)
500
278,833
Golub Capital Partners CLO, Ltd.
Series 2015-23A, Class ER, 7.569%, (3 mo. USD LIBOR +
5.75%), 1/20/31(9)(13)
600
314,993
Harriman Park CLO, Ltd.
Series 2020-1A, Class E, (3 mo. USD LIBOR + 6.91%),
4/20/31(9)(14)
800
556,160
Kayne CLO 5, Ltd.
Series 2019-5A, Class E, 8.501%, (3 mo. USD LIBOR +
6.70%), 7/24/32(9)(13)
500
292,278
Kayne CLO 7, Ltd.
Series 2020-7A, Class E, (3 mo. USD LIBOR + 6.50%),
4/17/33(9)(14)
575
232,875
Madison Park Funding XXXVI, Ltd.
Series 2019-36A, Class E, 9.192%, (3 mo. USD LIBOR +
7.25%), 1/15/33(9)(13)
250
156,828
Madison Park Funding XXXVII, Ltd.
Series 2019-37A, Class E, 8.381%, (3 mo. USD LIBOR +
6.55%), 7/15/32(9)(13)
500
328,869
Neuberger Berman Loan Advisers CLO 31, Ltd.
Series 2019-31A, Class E, 8.569%, (3 mo. USD LIBOR +
6.75%), 4/20/31(9)(13)
500
325,401
Neuberger Berman Loan Advisers CLO 33, Ltd.
Series 2019-33A, Class E, 7.976%, (3 mo. USD LIBOR +
6.80%), 10/16/32(9)(13)
500
304,118
Oaktree CLO, Ltd.
Series 2019-3A, Class E, 8.589%, (3 mo. USD LIBOR +
6.77%), 7/20/31(9)(13)
750
438,953
Palmer Square CLO, Ltd.
Series 2013-2A, Class DRR, 7.686%, (3 mo. USD LIBOR +
5.85%), 10/17/31(9)(13)
450
281,419
Series 2019-1A, Class D, 8.935%, (3 mo. USD LIBOR +
7.00%), 11/14/32(9)(13)
500
318,165
Regatta XII Funding, Ltd.
Series 2019-1A, Class E, 8.069%, (3 mo. USD LIBOR +
6.85%), 10/15/32(9)(13)
300
175,872
Regatta XIV Funding, Ltd.
Series 2018-3A, Class E, 7.744%, (3 mo. USD LIBOR +
5.95%), 10/25/31(9)(13)
300
173,056
30
Security
Principal
Amount
(000s omitted)
Value
Regatta XVI Funding, Ltd.
Series 2019-2A, Class E, 8.903%, (3 mo. USD LIBOR +
7.00%), 1/15/33(9)(13)
$
500
$
295,375
Southwick Park CLO, LLC
Series 2019-4A, Class E, 8.519%, (3 mo. USD LIBOR +
6.70%), 7/20/32(9)(13)
1,000
609,086
Vibrant CLO X, Ltd.
Series 2018-10A, Class D, 8.009%, (3 mo. USD LIBOR +
6.19%), 10/20/31(9)(13)
375
245,628
Vibrant CLO XI, Ltd.
Series 2019-11A, Class D, 8.589%, (3 mo. USD LIBOR +
6.77%), 7/20/32(9)(13)
500
289,701
Voya CLO, Ltd.
Series 2013-1A, Class DR, 8.311%, (3 mo. USD LIBOR +
6.48%), 10/15/30(9)(13)
1,000
600,242
Wellfleet CLO, Ltd.
Series 2020-1A, Class D, 8.422%, (3 mo. USD LIBOR +
7.24%), 4/15/33(9)(13)
550
371,250
Total Asset-Backed Securities
(identified cost $20,412,243)
$
12,601,464
Common Stocks 1.3%
Security
Shares
Value
Aerospace and Defense 0.2%
IAP Global Services, LLC(3)(15)(16)
29
$
382,169
$
382,169
Automotive
0.0%(6)
Dayco Products, LLC(15)(16)
10,159
$
76,193
$
76,193
Business Equipment and Services 0.1%
Crossmark Holdings, Inc.(15)(16)
1,731
$
94,772
$
94,772
Chemicals and Plastics 0.1%
Hexion Holdings Corp.,
Class B(15)(16)
18,444
$
175,218
$
175,218
Electronics/Electrical
0.0%(6)
Answers Corp.(3)(16)
46,839
$
86,652
$
86,652
Health Care 0.0%
New Millennium Holdco,
Inc.(3)(15)(16)
35,156
$
0
$
0
Oil and Gas 0.3%
AFG Holdings, Inc.(3)(15)(16)
13,348
$
247,872
Fieldwood Energy, Inc.(15)(16)
9,594
14,391
Nine Point Energy Holdings,
Inc.(3)(15)(17)
325
3
RDV Resources, Inc.,
Class A(3)(15)(16)
14,312
0
Samson Resources II, LLC,
Class A(16)
22,051
402,431
Southcross Holdings Group,
LLC(3)(15)(16)
30
0
Southcross Holdings L.P.,
Class A(15)(16)
30
218
Sunrise Oil & Gas, Inc.,
Class A(15)(16)
5,690
39,830
$
704,745
31
Security
Shares
Value
Publishing 0.4%
ION Media Networks, Inc.(3)(16)
2,155
$
815,301
Tweddle Group, Inc.(3)(15)(16)
889
7,895
$
823,196
Radio and Television 0.1%
Clear Channel Outdoor Holdings,
Inc.(15)(16)
42,539
$
27,225
Cumulus Media, Inc.,
Class A(15)(16)
18,865
102,248
iHeartMedia, Inc.,
Class A(15)(16)
18,090
132,238
$
261,711
Retailers (Except Food and Drug) 0.1%
Davids Bridal, LLC(3)(15)(16)
11,238
$
189,360
$
189,360
Total Common Stocks
(identified cost $3,607,249)
$
2,794,016
Convertible Preferred Stocks
0.0%(6)
Security
Shares
Value
Oil and Gas
0.0%(6)
Nine Point Energy Holdings, Inc., Series A,
12.00%(3)(15)(17)
5
$
2,889
Total Convertible Preferred Stocks
(identified cost $5,000)
$
2,889
Preferred Stocks 0.1%
Security
Shares
Value
Retailers (Except Food and Drug) 0.1%
Davids Bridal, LLC, Series
A(3)(15)(16)
313
$
25,040
Davids Bridal, LLC, Series
B(3)(15)(16)
1,274
103,143
Total Preferred Stocks
(identified cost $103,143)
$
128,183
Closed-End Funds 1.8%
Security
Shares
Value
BlackRock Floating Rate Income Strategies Fund, Inc.
49,400
$
494,494
Invesco Senior Income Trust
178,510
574,802
Nuveen Credit Strategies Income Fund
180,539
1,023,656
Nuveen Floating Rate Income Fund
73,198
552,645
Nuveen Floating Rate Income Opportunity Fund
51,054
379,331
Voya Prime Rate Trust
196,084
727,472
Total Closed-End Funds
(identified cost
$5,726,072)
$
3,752,400
32
Warrants 0.0%
Security
Shares
Value
Retailers (Except Food and Drug) 0.0%
Davids Bridal, LLC, Exp.
11/26/22(3)(15)(16)
2,169
$
0
Total Warrants
(identified cost $0)
$
0
Miscellaneous 0.0%(6)
Security
Shares
Value
Cable and Satellite Television 0.0%
ACC Claims Holdings, LLC(3)(15)
200,340
$
0
$
0
Oil and Gas
0.0%(6)
Paragon Offshore Finance Company,
Class A(15)(16)
764
$
229
Paragon Offshore Finance Company,
Class B(15)(16)
382
7,354
$
7,583
Total Miscellaneous
(identified cost $8,309)
$
7,583
Short-Term Investments 3.1%
Description
Units
Value
Eaton Vance Cash Reserves Fund, LLC,
0.69%(18)
6,409,867
$
6,407,303
Total Short-Term Investments
(identified cost $6,406,680)
$
6,407,303
Total Investments
161.5%(identified cost $397,386,823)
$
333,536,354
Less Unfunded Loan Commitments (0.1)%
$
(205,895
)
Net Investments 161.4%
(identified cost $397,180,928)
$
333,330,459
Other Assets, Less Liabilities (43.2)%
$
(89,247,174
)
Auction Preferred Shares Plus Cumulative Unpaid Dividends (18.2)%
$
(37,603,478
)
Net Assets Applicable to Common Shares 100.0%
$
206,479,807
The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common
shares.
*
In U.S. dollars unless otherwise indicated.
33
(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)
Unfunded or partially unfunded loan commitments. The Trust may enter into certain loan agreements all or a
portion of which may be unfunded. The Trust is obligated to fund these commitments at the borrowers discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the
commitment fees on the portion of the loan that is unfunded. At March 31, 2020, the total value of unfunded loan commitments is $183,177.
(3)
For fair value measurement disclosure purposes, security is categorized as Level 3.
(4)
The stated interest rate represents the weighted average interest rate at March 31, 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.
(5)
This Senior Loan will settle after March 31, 2020, at which time the interest rate will be determined.
(6)
Amount is less than 0.05%.
(7)
Fixed-rate loan.
(8)
Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest
rate has been adjusted to reflect non-accrual status.
(9)
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 March 31, 2020, the aggregate value of these securities is $20,582,590 or 10.0% of the Trusts
net assets applicable to common shares.
(10)
Represents a payment-in-kind
security which may pay interest in additional principal at the issuers discretion.
(11)
Security converts to variable rate after the indicated fixed-rate coupon period.
(12)
Perpetual security with no stated maturity date but may be subject to calls by the issuer.
(13)
Variable rate security. The stated interest rate represents the rate in effect at March 31, 2020.
(14)
When-issued, variable rate security whose interest rate will be determined after March 31, 2020.
(15)
Non-income producing security.
(16)
Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on
resale.
(17)
Restricted security.
(18)
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 March 31, 2020.
34
Forward Foreign Currency Exchange Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
Unrealized
(Depreciation)
EUR
750,000
USD
838,264
Standard Chartered Bank
4/2/20
(11,090
)
USD
225,711
EUR
200,000
HSBC Bank USA, N.A.
4/2/20
5,132
USD
8,272,908
EUR
7,517,718
Standard Chartered Bank
4/2/20
(18,377
)
EUR
995,842
USD
1,098,953
JPMorgan Chase Bank, N.A.
4/30/20
532
USD
6,900,368
EUR
6,236,178
Goldman Sachs International
4/30/20
15,149
USD
846,669
EUR
775,000
HSBC Bank USA, N.A.
4/30/20
(8,991
)
USD
384,027
EUR
350,000
HSBC Bank USA, N.A.
4/30/20
(2,400
)
USD
219,563
EUR
199,000
State Street Bank and Trust Company
4/30/20
(149
)
USD
7,654,837
EUR
6,967,718
Standard Chartered Bank
5/5/20
(39,628
)
EUR
1,800,000
USD
1,967,577
HSBC Bank USA, N.A.
5/29/20
22,013
USD
6,672,193
EUR
5,981,404
HSBC Bank USA, N.A.
5/29/20
60,779
USD
623,674
GBP
501,278
State Street Bank and Trust Company
5/29/20
358
$
103,963
$
(80,635
)
Abbreviations:
DIP
-
Debtor In Possession
EURIBOR
-
Euro Interbank Offered Rate
LIBOR
-
London Interbank Offered Rate
PIK
-
Payment In Kind
Currency Abbreviations:
EUR
-
Euro
GBP
-
British Pound Sterling
USD
-
United States Dollar
35
The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because
the Trust holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Trust enters into
forward foreign currency exchange contracts.
At March 31, 2020, the Trust had sufficient cash and/or securities to cover commitments under open
derivative contracts.
36
At March 31, 2020, the value of the Trusts investment in affiliated funds was $6,407,303, which
represents 3.1% of the Trusts net assets applicable to common shares. Transactions in affiliated funds by the Trust for the fiscal year to date ended March 31, 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
$
3,194,436
$
98,180,636
$
(94,967,258
)
$
(1,134
)
$
623
$
6,407,303
$
100,476
6,409,867
37
Restricted Securities
At March 31, 2020, the Trust owned the following securities (representing less than 0.01% of net assets applicable to common shares) which were
restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value
of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description
Date of
Acquisition
Shares
Cost
Value
Common Stocks
Nine Point Energy Holdings, Inc.
7/15/14
325
$
15,070
$
3
Convertible Preferred Stocks
Nine Point Energy Holdings, Inc., Series A, 12.00%
5/26/17
5
5,000
2,889
Total Restricted Securities
$
20,070
$
2,892
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 funds 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.
38
At March 31, 2020, the hierarchy of inputs used in valuing the Trusts investments and open derivative
instruments, which are carried at value, were as follows:
Asset Description
Level 1
Level 2
Level 3*
Total
Senior Floating-Rate Loans (Less Unfunded Loan Commitments)
$
$
295,868,373
$
1,071,037
$
296,939,410
Corporate Bonds & Notes
10,697,211
10,697,211
Asset-Backed Securities
12,601,464
12,601,464
Common Stocks
436,929
627,835
1,729,252
2,794,016
Convertible Preferred Stocks
2,889
2,889
Preferred Stocks
128,183
128,183
Closed-End Funds
3,752,400
3,752,400
Warrants
0
0
Miscellaneous
7,583
0
7,583
Short-Term Investments
6,407,303
6,407,303
Total Investments
$
4,189,329
$
326,209,769
$
2,931,361
$
333,330,459
Forward Foreign Currency Exchange Contracts
$
$
103,963
$
$
103,963
Total
$
4,189,329
$
326,313,732
$
2,931,361
$
333,434,422
Liability Description
Forward Foreign Currency Exchange Contracts
$
$
(80,635
)
$
$
(80,635
)
Total
$
$
(80,635
)
$
$
(80,635
)
*
None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on
the Trust.
39
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 March 31, 2020 is not presented.
For information on the
Trusts policy regarding the valuation of investments and other significant accounting policies, please refer to the Trusts most recent financial statements included in its semiannual or annual report to shareholders.
40
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