UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21563
Investment Company Act File Number
Eaton Vance Short Duration Diversified Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number, Including Area Code)
October 31
Date of Fiscal Year End
July 31, 2015
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Short Duration Diversified Income Fund
July 31, 2015
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests 54.2%(1)
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Aerospace and Defense 0.6% |
||||||||
BE Aerospace, Inc. |
||||||||
Term Loan, 4.00%, Maturing December 16, 2021 |
188 | $ | 189,572 | |||||
Silver II US Holdings, LLC |
||||||||
Term Loan, 4.00%, Maturing December 13, 2019 |
366 | 353,700 | ||||||
Transdigm, Inc. |
||||||||
Term Loan, 3.75%, Maturing February 28, 2020 |
805 | 804,655 | ||||||
Term Loan, 3.75%, Maturing June 4, 2021 |
322 | 321,499 | ||||||
|
|
|||||||
$ | 1,669,426 | |||||||
|
|
|||||||
Air Transport 0.1% |
||||||||
Virgin America, Inc. |
||||||||
Term Loan, 4.50%, Maturing April 4, 2019 |
450 | $ | 412,740 | |||||
|
|
|||||||
$ | 412,740 | |||||||
|
|
|||||||
Automotive 2.1% |
||||||||
Affinia Group Intermediate Holdings, Inc. |
||||||||
Term Loan, 4.75%, Maturing April 27, 2020 |
78 | $ | 78,375 | |||||
Allison Transmission, Inc. |
||||||||
Term Loan, 3.50%, Maturing August 23, 2019 |
613 | 616,025 | ||||||
Chrysler Group, LLC |
||||||||
Term Loan, 3.50%, Maturing May 24, 2017 |
884 | 884,771 | ||||||
Term Loan, 3.25%, Maturing December 31, 2018 |
370 | 370,637 | ||||||
CS Intermediate Holdco 2, LLC |
||||||||
Term Loan, 4.00%, Maturing April 4, 2021 |
569 | 569,962 | ||||||
Dayco Products, LLC |
||||||||
Term Loan, 5.25%, Maturing December 12, 2019 |
173 | 173,893 | ||||||
Federal-Mogul Holdings Corporation |
||||||||
Term Loan, 4.75%, Maturing April 15, 2021 |
668 | 662,124 | ||||||
Goodyear Tire & Rubber Company (The) |
||||||||
Term Loan - Second Lien, 3.75%, Maturing April 30, 2019 |
958 | 964,173 | ||||||
Horizon Global Corporation |
||||||||
Term Loan, 7.00%, Maturing May 11, 2022 |
100 | 99,250 | ||||||
INA Beteiligungsgesellschaft GmbH |
||||||||
Term Loan, 4.25%, Maturing May 15, 2020 |
177 | 178,323 | ||||||
MPG Holdco I, Inc. |
||||||||
Term Loan, 3.75%, Maturing October 20, 2021 |
425 | 425,852 | ||||||
TI Group Automotive Systems, LLC |
||||||||
Term Loan, 4.50%, Maturing June 24, 2022 |
225 | 226,195 | ||||||
Tower Automotive Holdings USA, LLC |
||||||||
Term Loan, 4.00%, Maturing April 23, 2020 |
604 | 605,015 | ||||||
Visteon Corporation |
||||||||
Term Loan, 3.50%, Maturing April 9, 2021 |
102 | 102,211 | ||||||
|
|
|||||||
$ | 5,956,806 | |||||||
|
|
|||||||
Beverage and Tobacco 0.1% |
||||||||
Flavors Holdings, Inc. |
||||||||
Term Loan, 6.75%, Maturing April 3, 2020 |
391 | $ | 378,946 | |||||
|
|
|||||||
$ | 378,946 | |||||||
|
|
1
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Brokerage/Securities Dealers/Investment Houses 0.1% |
||||||||
Astro AB Borrower, Inc. |
||||||||
Term Loan, 5.50%, Maturing April 30, 2022 |
75 | $ | 76,125 | |||||
Salient Partners L.P. |
||||||||
Term Loan, 7.50%, Maturing May 19, 2021 |
150 | 147,750 | ||||||
|
|
|||||||
$ | 223,875 | |||||||
|
|
|||||||
Building and Development 1.0% |
||||||||
ABC Supply Co., Inc. |
||||||||
Term Loan, 3.50%, Maturing April 16, 2020 |
246 | $ | 245,574 | |||||
Auction.com, LLC |
||||||||
Term Loan, 6.00%, Maturing May 8, 2022 |
200 | 199,749 | ||||||
CPG International, Inc. |
||||||||
Term Loan, 4.75%, Maturing September 30, 2020 |
98 | 97,759 | ||||||
Gates Global, Inc. |
||||||||
Term Loan, 4.25%, Maturing July 5, 2021 |
1,044 | 1,041,423 | ||||||
Headwaters, Incorporated |
||||||||
Term Loan, 4.50%, Maturing March 24, 2022 |
50 | 50,344 | ||||||
Ply Gem Industries, Inc. |
||||||||
Term Loan, 4.00%, Maturing February 1, 2021 |
495 | 492,899 | ||||||
Quikrete Holdings, Inc. |
||||||||
Term Loan, 4.00%, Maturing September 28, 2020 |
165 | 165,720 | ||||||
RE/MAX International, Inc. |
||||||||
Term Loan, 4.25%, Maturing July 31, 2020 |
354 | 355,430 | ||||||
Summit Materials Companies I, LLC |
||||||||
Term Loan, 4.25%, Maturing July 17, 2022 |
125 | 125,625 | ||||||
WireCo WorldGroup, Inc. |
||||||||
Term Loan, 6.00%, Maturing February 15, 2017 |
92 | 92,296 | ||||||
|
|
|||||||
$ | 2,866,819 | |||||||
|
|
|||||||
Business Equipment and Services 4.2% |
||||||||
Acosta Holdco, Inc. |
||||||||
Term Loan, 4.25%, Maturing September 26, 2021 |
645 | $ | 646,827 | |||||
AlixPartners, LLP |
||||||||
Term Loan, 4.50%, Maturing July 15, 2022 |
100 | 100,425 | ||||||
Altisource Solutions S.a.r.l. |
||||||||
Term Loan, 4.50%, Maturing December 9, 2020 |
517 | 465,358 | ||||||
Brickman Group Ltd., LLC |
||||||||
Term Loan, 4.00%, Maturing December 18, 2020 |
148 | 147,723 | ||||||
Ceridian, LLC |
||||||||
Term Loan, 4.50%, Maturing September 15, 2020 |
619 | 616,387 | ||||||
ClientLogic Corporation |
||||||||
Term Loan, 7.54%, Maturing January 30, 2017 |
165 | 164,918 | ||||||
Corporate Capital Trust, Inc. |
||||||||
Term Loan, 4.00%, Maturing May 15, 2019 |
570 | 569,791 | ||||||
CPM Holdings, Inc. |
||||||||
Term Loan, 6.00%, Maturing April 11, 2022 |
50 | 50,422 | ||||||
Education Management, LLC |
||||||||
Term Loan, 5.50%, Maturing July 2, 2020 |
80 | 54,903 | ||||||
Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020 |
137 | 79,845 | ||||||
EIG Investors Corp. |
||||||||
Term Loan, 5.00%, Maturing November 9, 2019 |
464 | 463,547 | ||||||
Emdeon Business Services, LLC |
||||||||
Term Loan, 3.75%, Maturing November 2, 2018 |
267 | 266,907 | ||||||
Extreme Reach, Inc. |
||||||||
Term Loan, 6.75%, Maturing February 7, 2020 |
137 | 136,744 |
2
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Garda World Security Corporation |
||||||||
Term Loan, 4.00%, Maturing November 6, 2020 |
60 | $ | 59,941 | |||||
Term Loan, 4.00%, Maturing November 6, 2020 |
335 | 333,689 | ||||||
IG Investment Holdings, LLC |
||||||||
Term Loan, 6.00%, Maturing October 29, 2021 |
369 | 371,425 | ||||||
IMS Health Incorporated |
||||||||
Term Loan, 3.50%, Maturing March 17, 2021 |
990 | 989,003 | ||||||
Informatica Corporation |
||||||||
Term Loan, Maturing May 29, 2022(2) |
425 | 425,841 | ||||||
Information Resources, Inc. |
||||||||
Term Loan, 4.75%, Maturing September 30, 2020 |
221 | 222,190 | ||||||
ION Trading Technologies S.a.r.l. |
||||||||
Term Loan, 4.50%, Maturing June 10, 2021 |
EUR | 180 | 198,426 | |||||
KAR Auction Services, Inc. |
||||||||
Term Loan, 3.50%, Maturing March 11, 2021 |
542 | 543,427 | ||||||
Kronos Incorporated |
||||||||
Term Loan, 4.50%, Maturing October 30, 2019 |
439 | 440,533 | ||||||
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020 |
200 | 205,785 | ||||||
MCS AMS Sub-Holdings, LLC |
||||||||
Term Loan, 7.50%, Maturing October 15, 2019(3) |
89 | 67,849 | ||||||
Monitronics International, Inc. |
||||||||
Term Loan, 4.25%, Maturing March 23, 2018 |
99 | 99,247 | ||||||
Term Loan, 4.50%, Maturing April 2, 2022 |
125 | 125,584 | ||||||
PGX Holdings, Inc. |
||||||||
Term Loan, 5.75%, Maturing September 29, 2020 |
96 | 97,182 | ||||||
Quintiles Transnational Corp. |
||||||||
Term Loan, 3.25%, Maturing May 12, 2022 |
250 | 251,250 | ||||||
RCS Capital Corporation |
||||||||
Term Loan, 7.50%, Maturing April 29, 2019 |
164 | 162,832 | ||||||
Sensus USA, Inc. |
||||||||
Term Loan, 4.50%, Maturing May 9, 2017 |
119 | 119,143 | ||||||
ServiceMaster Company |
||||||||
Term Loan, 4.25%, Maturing July 1, 2021 |
422 | 423,393 | ||||||
SunGard Data Systems, Inc. |
||||||||
Term Loan, 3.94%, Maturing February 28, 2017 |
32 | 32,493 | ||||||
Term Loan, 4.00%, Maturing March 8, 2020 |
1,482 | 1,486,033 | ||||||
TNS, Inc. |
||||||||
Term Loan, 5.00%, Maturing February 14, 2020 |
167 | 167,595 | ||||||
Travelport Finance (Luxembourg) S.a.r.l. |
||||||||
Term Loan, 5.75%, Maturing September 2, 2021 |
224 | 224,971 | ||||||
WASH Multifamily Laundry Systems, LLC |
||||||||
Term Loan, 4.25%, Maturing May 14, 2022 |
7 | 7,442 | ||||||
Term Loan, 4.25%, Maturing May 14, 2022 |
43 | 42,495 | ||||||
West Corporation |
||||||||
Term Loan, 3.25%, Maturing June 30, 2018 |
1,301 | 1,299,727 | ||||||
|
|
|||||||
$ | 12,161,293 | |||||||
|
|
|||||||
Cable and Satellite Television 1.4% |
||||||||
Atlantic Broadband Finance, LLC |
||||||||
Term Loan, 3.25%, Maturing November 30, 2019 |
132 | $ | 131,982 | |||||
Cequel Communications, LLC |
||||||||
Term Loan, 3.50%, Maturing February 14, 2019 |
734 | 733,410 | ||||||
Charter Communications Operating, LLC |
||||||||
Term Loan, Maturing January 20, 2023(2) |
375 | 376,239 | ||||||
CSC Holdings, Inc. |
||||||||
Term Loan, 2.69%, Maturing April 17, 2020 |
310 | 308,987 |
3
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
MCC Iowa, LLC |
||||||||
Term Loan, 3.25%, Maturing January 29, 2021 |
172 | $ | 170,892 | |||||
Term Loan, 3.75%, Maturing June 30, 2021 |
149 | 148,704 | ||||||
Mediacom Illinois, LLC |
||||||||
Term Loan, 3.50%, Maturing June 30, 2021 |
74 | 74,512 | ||||||
Numericable Group SA |
||||||||
Term Loan, Maturing July 21, 2022(2) |
EUR | 125 | 137,384 | |||||
Term Loan, Maturing July 27, 2022(2) |
75 | 75,028 | ||||||
Numericable U.S., LLC |
||||||||
Term Loan, 4.50%, Maturing May 21, 2020 |
173 | 173,794 | ||||||
Term Loan, 4.50%, Maturing May 21, 2020 |
200 | 200,886 | ||||||
Virgin Media Investment Holdings Limited |
||||||||
Term Loan, 3.50%, Maturing June 30, 2023 |
539 | 537,563 | ||||||
Term Loan, 4.25%, Maturing June 30, 2023 |
GBP | 300 | 468,290 | |||||
Ziggo B.V. |
||||||||
Term Loan, 3.75%, Maturing January 15, 2022 |
EUR | 65 | 71,763 | |||||
Term Loan, 3.75%, Maturing January 15, 2022 |
EUR | 101 | 111,396 | |||||
Term Loan, 3.75%, Maturing January 15, 2022 |
EUR | 183 | 201,629 | |||||
|
|
|||||||
$ | 3,922,459 | |||||||
|
|
|||||||
Chemicals and Plastics 2.9% |
||||||||
Aruba Investments, Inc. |
||||||||
Term Loan, 4.50%, Maturing February 2, 2022 |
59 | $ | 58,729 | |||||
Axalta Coating Systems US Holdings, Inc. |
||||||||
Term Loan, 3.75%, Maturing February 1, 2020 |
515 | 515,302 | ||||||
AZ Chem US, Inc. |
||||||||
Term Loan, 4.50%, Maturing June 12, 2021 |
113 | 113,148 | ||||||
Chemours Company Co. (The) |
||||||||
Term Loan, 3.75%, Maturing May 22, 2022 |
200 | 192,833 | ||||||
Colouroz Investment 1, GmbH |
||||||||
Term Loan, 4.50%, Maturing September 7, 2021 |
25 | 24,724 | ||||||
Term Loan, 4.50%, Maturing September 7, 2021 |
149 | 149,677 | ||||||
ECO Services Operations, LLC |
||||||||
Term Loan, 4.75%, Maturing December 4, 2021 |
75 | 74,905 | ||||||
Emerald Performance Materials, LLC |
||||||||
Term Loan, 4.50%, Maturing August 1, 2021 |
347 | 348,243 | ||||||
Term Loan - Second Lien, 7.75%, Maturing August 1, 2022 |
100 | 99,792 | ||||||
Gemini HDPE, LLC |
||||||||
Term Loan, 4.75%, Maturing August 7, 2021 |
371 | 371,872 | ||||||
Huntsman International, LLC |
||||||||
Term Loan, 2.74%, Maturing April 19, 2017 |
1,485 | 1,485,123 | ||||||
Term Loan, 3.75%, Maturing August 12, 2021 |
373 | 372,969 | ||||||
Ineos US Finance, LLC |
||||||||
Term Loan, 3.75%, Maturing May 4, 2018 |
1,334 | 1,335,453 | ||||||
Term Loan, 4.25%, Maturing March 31, 2022 |
125 | 125,133 | ||||||
Kronos Worldwide, Inc. |
||||||||
Term Loan, 4.00%, Maturing February 18, 2020 |
49 | 49,329 | ||||||
MacDermid, Inc. |
||||||||
Term Loan, 4.50%, Maturing June 7, 2020 |
246 | 247,582 | ||||||
Term Loan, 4.75%, Maturing June 7, 2020 |
124 | 125,123 | ||||||
Minerals Technologies, Inc. |
||||||||
Term Loan, 3.75%, Maturing May 9, 2021 |
238 | 240,278 | ||||||
Orion Engineered Carbons GmbH |
||||||||
Term Loan, 5.00%, Maturing July 25, 2021 |
99 | 99,498 | ||||||
Term Loan, 5.00%, Maturing July 25, 2021 |
EUR | 199 | 219,938 |
4
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
OXEA Finance, LLC |
||||||||
Term Loan, 4.25%, Maturing January 15, 2020 |
123 | $ | 119,896 | |||||
PQ Corporation |
||||||||
Term Loan, 4.00%, Maturing August 7, 2017 |
219 | 219,389 | ||||||
Royal Holdings, Inc. |
||||||||
Term Loan, 4.50%, Maturing June 19, 2022 |
125 | 125,807 | ||||||
Solenis International L.P. |
||||||||
Term Loan, 4.50%, Maturing July 31, 2021 |
EUR | 174 | 192,124 | |||||
Sonneborn Refined Products B.V. |
||||||||
Term Loan, 4.75%, Maturing December 10, 2020 |
15 | 15,018 | ||||||
Sonneborn, LLC |
||||||||
Term Loan, 4.75%, Maturing December 10, 2020 |
85 | 85,104 | ||||||
Tata Chemicals North America, Inc. |
||||||||
Term Loan, 3.75%, Maturing August 7, 2020 |
214 | 214,017 | ||||||
Trinseo Materials Operating S.C.A. |
||||||||
Term Loan, 4.25%, Maturing October 13, 2021 |
50 | 49,946 | ||||||
Tronox Pigments (Netherlands) B.V. |
||||||||
Term Loan, 4.25%, Maturing March 19, 2020 |
391 | 375,199 | ||||||
Univar, Inc. |
||||||||
Term Loan, 4.25%, Maturing July 1, 2022 |
600 | 601,875 | ||||||
Zep, Inc. |
||||||||
Term Loan, 5.75%, Maturing June 27, 2022 |
75 | 75,703 | ||||||
|
|
|||||||
$ | 8,323,729 | |||||||
|
|
|||||||
Clothing/Textiles 0.1% |
||||||||
Ascena Retail Group, Inc. |
||||||||
Term Loan, Maturing July 21, 2022(2) |
300 | $ | 295,500 | |||||
|
|
|||||||
$ | 295,500 | |||||||
|
|
|||||||
Conglomerates 0.4% |
||||||||
RGIS Services, LLC |
||||||||
Term Loan, 5.50%, Maturing October 18, 2017 |
731 | $ | 687,301 | |||||
Spectrum Brands, Inc. |
||||||||
Term Loan, 3.75%, Maturing June 9, 2022 |
386 | 388,379 | ||||||
|
|
|||||||
$ | 1,075,680 | |||||||
|
|
|||||||
Containers and Glass Products 1.5% |
||||||||
Berry Plastics Holding Corporation |
||||||||
Term Loan, 3.50%, Maturing February 8, 2020 |
415 | $ | 415,360 | |||||
Term Loan, 3.75%, Maturing January 6, 2021 |
797 | 799,305 | ||||||
Hilex Poly Co., LLC |
||||||||
Term Loan, 6.00%, Maturing December 5, 2021 |
299 | 301,951 | ||||||
Libbey Glass, Inc. |
||||||||
Term Loan, 3.75%, Maturing April 9, 2021 |
50 | 49,376 | ||||||
Pelican Products, Inc. |
||||||||
Term Loan, 5.25%, Maturing April 10, 2020 |
433 | 434,925 | ||||||
Reynolds Group Holdings, Inc. |
||||||||
Term Loan, 4.50%, Maturing December 1, 2018 |
1,492 | 1,501,802 | ||||||
TricorBraun, Inc. |
||||||||
Term Loan, 4.00%, Maturing May 3, 2018 |
390 | 389,470 | ||||||
Verallia |
||||||||
Term Loan, Maturing July 24, 2022(2) |
EUR | 300 | 329,990 | |||||
|
|
|||||||
$ | 4,222,179 | |||||||
|
|
|||||||
Cosmetics/Toiletries 0.3% |
||||||||
Prestige Brands, Inc. |
||||||||
Term Loan, 3.51%, Maturing September 3, 2021 |
113 | $ | 112,826 |
5
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Revlon Consumer Products Corporation |
||||||||
Term Loan, 4.00%, Maturing October 8, 2019 |
218 | $ | 218,129 | |||||
Sun Products Corporation (The) |
||||||||
Term Loan, 5.50%, Maturing March 23, 2020 |
413 | 401,445 | ||||||
|
|
|||||||
$ | 732,400 | |||||||
|
|
|||||||
Drugs 1.4% |
||||||||
Alkermes, Inc. |
||||||||
Term Loan, 3.50%, Maturing September 18, 2019 |
73 | $ | 73,242 | |||||
AMAG Pharmaceuticals, Inc. |
||||||||
Term Loan, 7.25%, Maturing November 12, 2020 |
119 | 120,531 | ||||||
DPx Holdings B.V. |
||||||||
Term Loan, 4.25%, Maturing March 11, 2021 |
396 | 395,187 | ||||||
Endo Luxembourg Finance Company I S.a.r.l. |
||||||||
Term Loan, 3.25%, Maturing March 1, 2021 |
49 | 49,483 | ||||||
Mallinckrodt International Finance S.A. |
||||||||
Term Loan, 3.25%, Maturing March 19, 2021 |
272 | 271,563 | ||||||
Term Loan, 3.50%, Maturing March 19, 2021 |
223 | 223,700 | ||||||
Par Pharmaceutical Companies, Inc. |
||||||||
Term Loan, 4.00%, Maturing September 30, 2019 |
1,037 | 1,037,363 | ||||||
Valeant Pharmaceuticals International, Inc. |
||||||||
Term Loan, 3.50%, Maturing December 11, 2019 |
341 | 342,001 | ||||||
Term Loan, 3.50%, Maturing August 5, 2020 |
717 | 718,176 | ||||||
Term Loan, 4.00%, Maturing April 1, 2022 |
698 | 702,336 | ||||||
|
|
|||||||
$ | 3,933,582 | |||||||
|
|
|||||||
Ecological Services and Equipment 0.2% |
||||||||
ADS Waste Holdings, Inc. |
||||||||
Term Loan, 3.75%, Maturing October 9, 2019 |
383 | $ | 382,279 | |||||
EnergySolutions, LLC |
||||||||
Term Loan, 6.75%, Maturing May 29, 2020 |
141 | 141,499 | ||||||
|
|
|||||||
$ | 523,778 | |||||||
|
|
|||||||
Electronics/Electrical 4.9% |
||||||||
Answers Corporation |
||||||||
Term Loan, 6.25%, Maturing October 3, 2021 |
224 | $ | 191,973 | |||||
Applied Systems, Inc. |
||||||||
Term Loan, 4.25%, Maturing January 25, 2021 |
144 | 144,114 | ||||||
Avago Technologies Cayman Ltd. |
||||||||
Term Loan, 3.75%, Maturing May 6, 2021 |
1,141 | 1,144,023 | ||||||
Campaign Monitor Finance Pty Limited |
||||||||
Term Loan, 6.25%, Maturing March 18, 2021 |
123 | 122,820 | ||||||
Carros Finance Luxembourg S.a.r.l. |
||||||||
Term Loan, 4.50%, Maturing September 30, 2021 |
496 | 498,111 | ||||||
CommScope, Inc. |
||||||||
Term Loan, 3.25%, Maturing January 14, 2018 |
138 | 138,158 | ||||||
Term Loan, 3.75%, Maturing December 29, 2022 |
175 | 175,802 | ||||||
CompuCom Systems, Inc. |
||||||||
Term Loan, 4.25%, Maturing May 11, 2020 |
141 | 131,773 | ||||||
Dell International, LLC |
||||||||
Term Loan, 4.00%, Maturing April 29, 2020 |
1,097 | 1,098,241 | ||||||
Dell, Inc. |
||||||||
Term Loan, 3.75%, Maturing October 29, 2018 |
111 | 111,249 | ||||||
Entegris, Inc. |
||||||||
Term Loan, 3.50%, Maturing April 30, 2021 |
54 | 54,483 | ||||||
Excelitas Technologies Corp. |
||||||||
Term Loan, 6.00%, Maturing October 31, 2020 |
146 | 146,450 |
6
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
FIDJI Luxembourg (BC4) S.a.r.l. |
||||||||
Term Loan, 6.25%, Maturing December 24, 2020 |
141 | $ | 140,625 | |||||
Freescale Semiconductor, Inc. |
||||||||
Term Loan, 4.25%, Maturing February 28, 2020 |
365 | 366,576 | ||||||
Go Daddy Operating Company, LLC |
||||||||
Term Loan, 4.25%, Maturing May 13, 2021 |
1,151 | 1,157,516 | ||||||
GXS Group, Inc. |
||||||||
Term Loan, 3.25%, Maturing January 16, 2021 |
172 | 173,021 | ||||||
Infor (US), Inc. |
||||||||
Term Loan, 3.75%, Maturing June 3, 2020 |
917 | 912,377 | ||||||
Lattice Semiconductor Corporation |
||||||||
Term Loan, 5.25%, Maturing March 10, 2021 |
100 | 99,750 | ||||||
M/A-COM Technology Solutions Holdings, Inc. |
||||||||
Term Loan, 4.50%, Maturing May 7, 2021 |
99 | 99,248 | ||||||
MA FinanceCo., LLC |
||||||||
Term Loan, 4.50%, Maturing November 20, 2019 |
219 | 219,695 | ||||||
Term Loan, 5.25%, Maturing November 19, 2021 |
198 | 199,063 | ||||||
Magic Newco, LLC |
||||||||
Term Loan, 5.00%, Maturing December 12, 2018 |
267 | 268,530 | ||||||
MH Sub I, LLC |
||||||||
Term Loan, 4.75%, Maturing July 8, 2021 |
223 | 224,119 | ||||||
Microsemi Corporation |
||||||||
Term Loan, 3.25%, Maturing February 19, 2020 |
212 | 212,045 | ||||||
NXP B.V. |
||||||||
Term Loan, 3.25%, Maturing January 11, 2020 |
344 | 343,832 | ||||||
Orbotech, Inc. |
||||||||
Term Loan, 5.00%, Maturing August 6, 2020 |
68 | 67,411 | ||||||
Renaissance Learning, Inc. |
||||||||
Term Loan, 4.50%, Maturing April 9, 2021 |
123 | 122,897 | ||||||
Rocket Software, Inc. |
||||||||
Term Loan, 5.75%, Maturing February 8, 2018 |
287 | 287,954 | ||||||
RP Crown Parent, LLC |
||||||||
Term Loan, 6.00%, Maturing December 21, 2018 |
889 | 859,163 | ||||||
Sensata Technologies B.V. |
||||||||
Term Loan, 3.00%, Maturing October 14, 2021 |
197 | 197,774 | ||||||
SGS Cayman L.P. |
||||||||
Term Loan, 6.00%, Maturing April 23, 2021 |
37 | 37,786 | ||||||
Sirius Computer Solutions, Inc. |
||||||||
Term Loan, 6.25%, Maturing December 7, 2018 |
75 | 75,666 | ||||||
SkillSoft Corporation |
||||||||
Term Loan, 5.75%, Maturing April 28, 2021 |
396 | 386,265 | ||||||
Smart Technologies ULC |
||||||||
Term Loan, 10.50%, Maturing January 31, 2018 |
109 | 108,594 | ||||||
Sophia L.P. |
||||||||
Term Loan, 4.00%, Maturing July 19, 2018 |
220 | 221,039 | ||||||
SS&C Technologies, Inc. |
||||||||
Term Loan, 4.00%, Maturing July 8, 2022 |
64 | 64,494 | ||||||
Term Loan, 4.00%, Maturing July 8, 2022 |
388 | 391,262 | ||||||
SunEdison Semiconductor B.V. |
||||||||
Term Loan, 6.50%, Maturing May 27, 2019 |
149 | 149,243 | ||||||
SurveyMonkey.com, LLC |
||||||||
Term Loan, 5.50%, Maturing February 5, 2019 |
96 | 95,639 | ||||||
Sutherland Global Services, Inc. |
||||||||
Term Loan, 6.00%, Maturing April 23, 2021 |
161 | 162,327 | ||||||
Sybil Software, LLC |
||||||||
Term Loan, 4.25%, Maturing March 20, 2020 |
814 | 817,919 |
7
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Vantiv, LLC |
||||||||
Term Loan, 3.75%, Maturing June 13, 2021 |
127 | $ | 127,786 | |||||
VeriFone, Inc. |
||||||||
Term Loan, 3.50%, Maturing July 8, 2021 |
495 | 490,359 | ||||||
Wall Street Systems Delaware, Inc. |
||||||||
Term Loan, 4.50%, Maturing April 30, 2021 |
565 | 565,769 | ||||||
Zebra Technologies Corporation |
||||||||
Term Loan, 4.75%, Maturing October 27, 2021 |
400 | 405,191 | ||||||
|
|
|||||||
$ | 14,008,132 | |||||||
|
|
|||||||
Equipment Leasing 0.3% |
||||||||
Delos Finance S.a.r.l. |
||||||||
Term Loan, 3.50%, Maturing March 6, 2021 |
425 | $ | 426,176 | |||||
Flying Fortress, Inc. |
||||||||
Term Loan, 3.50%, Maturing April 30, 2020 |
500 | 502,657 | ||||||
|
|
|||||||
$ | 928,833 | |||||||
|
|
|||||||
Financial Intermediaries 2.5% |
||||||||
American Capital Ltd. |
||||||||
Term Loan, 3.50%, Maturing August 22, 2017 |
130 | $ | 129,978 | |||||
Armor Holding II, LLC |
||||||||
Term Loan, 5.75%, Maturing June 26, 2020 |
419 | 418,842 | ||||||
Citco Funding, LLC |
||||||||
Term Loan, 4.25%, Maturing June 29, 2018 |
674 | 675,961 | ||||||
Clipper Acquisitions Corp. |
||||||||
Term Loan, 3.00%, Maturing February 6, 2020 |
98 | 96,842 | ||||||
First Data Corporation |
||||||||
Term Loan, 3.69%, Maturing March 24, 2018 |
650 | 649,238 | ||||||
Term Loan, 3.69%, Maturing September 24, 2018 |
375 | 374,570 | ||||||
Term Loan, 3.94%, Maturing June 23, 2022 |
150 | 150,094 | ||||||
Grosvenor Capital Management Holdings, LLP |
||||||||
Term Loan, 3.75%, Maturing January 4, 2021 |
1,193 | 1,190,454 | ||||||
Guggenheim Partners, LLC |
||||||||
Term Loan, 4.25%, Maturing July 22, 2020 |
246 | 247,792 | ||||||
Hamilton Lane Advisors, LLC |
||||||||
Term Loan, 4.25%, Maturing July 9, 2022 |
100 | 100,375 | ||||||
Harbourvest Partners, LLC |
||||||||
Term Loan, 3.25%, Maturing February 4, 2021 |
128 | 127,360 | ||||||
LPL Holdings, Inc. |
||||||||
Term Loan, 3.25%, Maturing March 29, 2019 |
1,574 | 1,574,010 | ||||||
Medley, LLC |
||||||||
Term Loan, 6.50%, Maturing June 15, 2019 |
86 | 86,364 | ||||||
NXT Capital, Inc. |
||||||||
Term Loan, 6.25%, Maturing September 4, 2018 |
125 | 125,306 | ||||||
Ocwen Financial Corporation |
||||||||
Term Loan, 5.00%, Maturing February 15, 2018 |
545 | 543,870 | ||||||
Sesac Holdco II, LLC |
||||||||
Term Loan, 5.25%, Maturing February 8, 2019 |
289 | 289,414 | ||||||
Starwood Property Trust, Inc. |
||||||||
Term Loan, 3.50%, Maturing April 17, 2020 |
123 | 122,546 | ||||||
Walker & Dunlop, Inc. |
||||||||
Term Loan, 5.25%, Maturing December 11, 2020 |
121 | 121,607 | ||||||
Walter Investment Management Corp. |
||||||||
Term Loan, 4.75%, Maturing December 19, 2020 |
206 | 198,015 | ||||||
|
|
|||||||
$ | 7,222,638 | |||||||
|
|
8
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Food Products 1.9% |
||||||||
AdvancePierre Foods, Inc. |
||||||||
Term Loan, 5.75%, Maturing July 10, 2017 |
640 | $ | 642,248 | |||||
Blue Buffalo Company Ltd. |
||||||||
Term Loan, 3.75%, Maturing August 8, 2019 |
243 | 243,781 | ||||||
Charger OpCo B.V. |
||||||||
Term Loan, 4.25%, Maturing July 23, 2021 |
EUR | 125 | 138,172 | |||||
Term Loan, 4.25%, Maturing July 23, 2021 |
375 | 375,000 | ||||||
Clearwater Seafoods Limited Partnership |
||||||||
Term Loan, 4.75%, Maturing June 26, 2019 |
167 | 167,136 | ||||||
Del Monte Foods, Inc. |
||||||||
Term Loan, 4.26%, Maturing February 18, 2021 |
123 | 119,739 | ||||||
Dole Food Company, Inc. |
||||||||
Term Loan, 4.50%, Maturing November 1, 2018 |
94 | 94,498 | ||||||
High Liner Foods, Incorporated |
||||||||
Term Loan, 4.25%, Maturing April 24, 2021 |
148 | 148,310 | ||||||
JBS USA, LLC |
||||||||
Term Loan, 3.75%, Maturing May 25, 2018 |
866 | 866,355 | ||||||
Term Loan, 3.75%, Maturing September 18, 2020 |
295 | 295,023 | ||||||
NBTY, Inc. |
||||||||
Term Loan, 3.50%, Maturing October 1, 2017 |
888 | 885,702 | ||||||
Onex Wizard Acquisition Company I S.a.r.l. |
||||||||
Term Loan, 4.25%, Maturing March 13, 2022 |
EUR | 399 | 440,461 | |||||
Onex Wizard US Acquisition, Inc. |
||||||||
Term Loan, 4.25%, Maturing March 13, 2022 |
224 | 225,326 | ||||||
Pinnacle Foods Finance, LLC |
||||||||
Term Loan, 3.00%, Maturing April 29, 2020 |
123 | 122,774 | ||||||
Term Loan, 3.00%, Maturing April 29, 2020 |
605 | 604,840 | ||||||
Post Holdings, Inc. |
||||||||
Term Loan, 3.75%, Maturing June 2, 2021 |
199 | 198,947 | ||||||
|
|
|||||||
$ | 5,568,312 | |||||||
|
|
|||||||
Food Service 1.0% |
||||||||
1011778 B.C. Unlimited Liability Company |
||||||||
Term Loan, 3.75%, Maturing December 12, 2021 |
924 | $ | 927,284 | |||||
Aramark Services, Inc. |
||||||||
Term Loan, 3.68%, Maturing July 26, 2016 |
43 | 42,541 | ||||||
Term Loan, 3.69%, Maturing July 26, 2016 |
77 | 76,630 | ||||||
CEC Entertainment, Inc. |
||||||||
Term Loan, 4.00%, Maturing February 14, 2021 |
123 | 120,969 | ||||||
Landrys, Inc. |
||||||||
Term Loan, 4.00%, Maturing April 24, 2018 |
426 | 428,340 | ||||||
US Foods, Inc. |
||||||||
Term Loan, 4.50%, Maturing March 31, 2019 |
613 | 615,243 | ||||||
Weight Watchers International, Inc. |
||||||||
Term Loan, 4.00%, Maturing April 2, 2020 |
1,173 | 615,239 | ||||||
|
|
|||||||
$ | 2,826,246 | |||||||
|
|
|||||||
Food/Drug Retailers 1.4% |
||||||||
Albertsons, LLC |
||||||||
Term Loan, 5.38%, Maturing March 21, 2019 |
223 | $ | 223,823 | |||||
Term Loan, 5.00%, Maturing August 25, 2019 |
420 | 421,524 | ||||||
Term Loan, 5.50%, Maturing August 25, 2021 |
175 | 175,505 | ||||||
General Nutrition Centers, Inc. |
||||||||
Term Loan, 3.25%, Maturing March 4, 2019 |
850 | 843,069 | ||||||
New Albertsons, Inc. |
||||||||
Term Loan, 4.75%, Maturing June 27, 2021 |
1,166 | 1,170,415 |
9
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Rite Aid Corporation |
||||||||
Term Loan - Second Lien, 5.75%, Maturing August 21, 2020 |
100 | $ | 101,187 | |||||
Supervalu, Inc. |
||||||||
Term Loan, 4.50%, Maturing March 21, 2019 |
982 | 986,755 | ||||||
|
|
|||||||
$ | 3,922,278 | |||||||
|
|
|||||||
Health Care 5.5% |
||||||||
Acadia Healthcare Company, Inc. |
||||||||
Term Loan, 4.25%, Maturing February 11, 2022 |
50 | $ | 50,216 | |||||
ADMI Corp. |
||||||||
Term Loan, 5.50%, Maturing April 30, 2022 |
75 | 75,656 | ||||||
Akorn, Inc. |
||||||||
Term Loan, 4.50%, Maturing April 16, 2021 |
199 | 199,410 | ||||||
Alere, Inc. |
||||||||
Term Loan, Maturing June 18, 2022(2) |
325 | 326,669 | ||||||
Alliance Healthcare Services, Inc. |
||||||||
Term Loan, 4.25%, Maturing June 3, 2019 |
218 | 217,854 | ||||||
Amneal Pharmaceuticals, LLC |
||||||||
Term Loan, 4.50%, Maturing November 1, 2019 |
544 | 546,204 | ||||||
Amsurg Corp. |
||||||||
Term Loan, 3.75%, Maturing July 16, 2021 |
99 | 99,356 | ||||||
Ardent Legacy Acquisitions, Inc. |
||||||||
Term Loan, Maturing July 21, 2021(2) |
100 | 100,625 | ||||||
Ardent Medical Services, Inc. |
||||||||
Term Loan, 7.50%, Maturing July 2, 2018 |
272 | 272,603 | ||||||
Auris Luxembourg III S.a.r.l. |
||||||||
Term Loan, 4.25%, Maturing January 15, 2022 |
150 | 150,186 | ||||||
Capella Healthcare, Inc. |
||||||||
Term Loan, 5.25%, Maturing December 31, 2021 |
149 | 149,996 | ||||||
CareCore National, LLC |
||||||||
Term Loan, 5.50%, Maturing March 5, 2021 |
99 | 98,750 | ||||||
CHG Healthcare Services, Inc. |
||||||||
Term Loan, 4.25%, Maturing November 19, 2019 |
171 | 171,649 | ||||||
Community Health Systems, Inc. |
||||||||
Term Loan, 3.53%, Maturing December 31, 2018 |
369 | 370,432 | ||||||
Term Loan, 3.75%, Maturing December 31, 2019 |
503 | 504,600 | ||||||
Term Loan, 4.00%, Maturing January 27, 2021 |
925 | 930,314 | ||||||
Concordia Healthcare Corp. |
||||||||
Term Loan, 4.75%, Maturing April 21, 2022 |
50 | 50,354 | ||||||
Convatec, Inc. |
||||||||
Term Loan, 4.25%, Maturing June 15, 2020 |
90 | 89,620 | ||||||
CPI Buyer, LLC |
||||||||
Term Loan, 5.50%, Maturing August 18, 2021 |
199 | 198,500 | ||||||
DaVita HealthCare Partners, Inc. |
||||||||
Term Loan, 3.50%, Maturing June 24, 2021 |
545 | 546,429 | ||||||
DJO Finance, LLC |
||||||||
Term Loan, 4.25%, Maturing June 8, 2020 |
400 | 401,550 | ||||||
Envision Healthcare Corporation |
||||||||
Term Loan, 4.00%, Maturing May 25, 2018 |
397 | 397,951 | ||||||
Grifols Worldwide Operations USA, Inc. |
||||||||
Term Loan, 3.19%, Maturing February 27, 2021 |
815 | 818,252 | ||||||
Horizon Pharma Holdings USA, Inc. |
||||||||
Term Loan, 4.50%, Maturing April 22, 2021 |
50 | 50,266 | ||||||
Iasis Healthcare, LLC |
||||||||
Term Loan, 4.50%, Maturing May 3, 2018 |
311 | 312,497 | ||||||
Indivior Finance S.a.r.l. |
||||||||
Term Loan, 7.00%, Maturing December 19, 2019 |
195 | 192,441 |
10
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
inVentiv Health, Inc. |
||||||||
Term Loan, 7.75%, Maturing May 15, 2018 |
533 | $ | 533,700 | |||||
Kindred Healthcare, Inc. |
||||||||
Term Loan, 4.25%, Maturing April 9, 2021 |
746 | 750,905 | ||||||
Kinetic Concepts, Inc. |
||||||||
Term Loan, 4.50%, Maturing May 4, 2018 |
919 | 924,382 | ||||||
LHP Hospital Group, Inc. |
||||||||
Term Loan, 9.00%, Maturing July 3, 2018 |
255 | 249,584 | ||||||
MedAssets, Inc. |
||||||||
Term Loan, 4.00%, Maturing December 13, 2019 |
72 | 71,977 | ||||||
Millennium Health, LLC |
||||||||
Term Loan, 5.25%, Maturing April 16, 2021(3) |
866 | 359,494 | ||||||
MMM Holdings, Inc. |
||||||||
Term Loan, 9.75%, Maturing December 12, 2017 |
107 | 84,039 | ||||||
MSO of Puerto Rico, Inc. |
||||||||
Term Loan, 9.75%, Maturing December 12, 2017 |
78 | 61,096 | ||||||
National Mentor Holdings, Inc. |
||||||||
Term Loan, 4.25%, Maturing January 31, 2021 |
99 | 99,059 | ||||||
Onex Carestream Finance L.P. |
||||||||
Term Loan, 5.00%, Maturing June 7, 2019 |
445 | 446,439 | ||||||
Opal Acquisition, Inc. |
||||||||
Term Loan, 5.00%, Maturing November 27, 2020 |
296 | 291,723 | ||||||
Ortho-Clinical Diagnostics, Inc. |
||||||||
Term Loan, 4.75%, Maturing June 30, 2021 |
545 | 541,812 | ||||||
Pharmaceutical Product Development, LLC |
||||||||
Term Loan, 4.00%, Maturing December 5, 2018 |
1,331 | 1,333,355 | ||||||
Physio-Control International, Inc. |
||||||||
Term Loan, 5.50%, Maturing June 6, 2022 |
75 | 75,609 | ||||||
PRA Holdings, Inc. |
||||||||
Term Loan, 4.50%, Maturing September 23, 2020 |
486 | 488,518 | ||||||
Radnet Management, Inc. |
||||||||
Term Loan, 4.27%, Maturing October 10, 2018 |
351 | 351,391 | ||||||
RegionalCare Hospital Partners, Inc. |
||||||||
Term Loan, 5.25%, Maturing April 19, 2019 |
421 | 421,525 | ||||||
Sage Products Holdings III, LLC |
||||||||
Term Loan, 4.25%, Maturing December 13, 2019 |
140 | 140,520 | ||||||
Select Medical Corporation |
||||||||
Term Loan, 3.75%, Maturing June 1, 2018 |
217 | 217,607 | ||||||
Sterigenics-Nordion Holdings, LLC |
||||||||
Term Loan, 4.25%, Maturing May 15, 2022 |
125 | 125,938 | ||||||
Steward Health Care System, LLC |
||||||||
Term Loan, 6.75%, Maturing April 12, 2020 |
396 | 394,227 | ||||||
Tecomet, Inc. |
||||||||
Term Loan, 5.75%, Maturing December 5, 2021 |
224 | 221,776 | ||||||
Truven Health Analytics, Inc. |
||||||||
Term Loan, 4.50%, Maturing June 6, 2019 |
316 | 315,597 | ||||||
|
|
|||||||
$ | 15,822,653 | |||||||
|
|
|||||||
Home Furnishings 0.5% |
||||||||
Serta Simmons Holdings, LLC |
||||||||
Term Loan, 4.25%, Maturing October 1, 2019 |
1,255 | $ | 1,258,814 | |||||
Tempur-Pedic International, Inc. |
||||||||
Term Loan, 3.50%, Maturing March 18, 2020 |
233 | 233,719 | ||||||
|
|
|||||||
$ | 1,492,533 | |||||||
|
|
11
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Industrial Equipment 1.6% |
||||||||
Apex Tool Group, LLC |
||||||||
Term Loan, 4.50%, Maturing January 31, 2020 |
542 | $ | 532,774 | |||||
Delachaux S.A. |
||||||||
Term Loan, 4.50%, Maturing October 28, 2021 |
76 | 76,561 | ||||||
Doosan Infracore International, Inc. |
||||||||
Term Loan, 4.50%, Maturing May 28, 2021 |
183 | 183,871 | ||||||
Gardner Denver, Inc. |
||||||||
Term Loan, 4.25%, Maturing July 30, 2020 |
344 | 332,592 | ||||||
Generac Power Systems, Inc. |
||||||||
Term Loan, 3.25%, Maturing May 31, 2020 |
258 | 257,191 | ||||||
Husky Injection Molding Systems Ltd. |
||||||||
Term Loan, 4.25%, Maturing June 30, 2021 |
467 | 467,255 | ||||||
Term Loan - Second Lien, 7.25%, Maturing June 30, 2022 |
80 | 79,678 | ||||||
Milacron, LLC |
||||||||
Term Loan, 4.50%, Maturing September 28, 2020 |
215 | 215,662 | ||||||
NN, Inc. |
||||||||
Term Loan, 6.00%, Maturing August 27, 2021 |
253 | 254,271 | ||||||
Paladin Brands Holding, Inc. |
||||||||
Term Loan, 6.75%, Maturing August 16, 2019 |
91 | 90,845 | ||||||
Rexnord, LLC |
||||||||
Term Loan, 4.00%, Maturing August 21, 2020 |
835 | 836,691 | ||||||
Signode Industrial Group US, Inc. |
||||||||
Term Loan, 3.75%, Maturing May 1, 2021 |
193 | 192,201 | ||||||
STS Operating, Inc. |
||||||||
Term Loan, 4.75%, Maturing February 12, 2021 |
346 | 346,584 | ||||||
Tank Holding Corp. |
||||||||
Term Loan, 5.25%, Maturing March 16, 2022 |
150 | 150,925 | ||||||
Terex Corporation |
||||||||
Term Loan, 3.50%, Maturing August 13, 2021 |
EUR | 298 | 325,369 | |||||
VAT Lux III S.a.r.l. |
||||||||
Term Loan, 4.25%, Maturing February 11, 2021 |
66 | 66,095 | ||||||
Wittur GmbH |
||||||||
Term Loan, 6.00%, Maturing February 10, 2022 |
EUR | 175 | 189,311 | |||||
|
|
|||||||
$ | 4,597,876 | |||||||
|
|
|||||||
Insurance 1.9% |
||||||||
Alliant Holdings I, Inc. |
||||||||
Term Loan, 5.00%, Maturing December 20, 2019 |
386 | $ | 386,474 | |||||
AmWINS Group, LLC |
||||||||
Term Loan, 5.25%, Maturing September 6, 2019 |
903 | 913,485 | ||||||
Asurion, LLC |
||||||||
Term Loan, 5.00%, Maturing May 24, 2019 |
1,617 | 1,624,150 | ||||||
Term Loan, Maturing July 22, 2022(2) |
1,000 | 1,000,208 | ||||||
Term Loan - Second Lien, 8.50%, Maturing March 3, 2021 |
375 | 377,813 | ||||||
CGSC of Delaware Holding Corporation |
||||||||
Term Loan, 5.00%, Maturing April 16, 2020 |
49 | 45,080 | ||||||
Cunningham Lindsey U.S., Inc. |
||||||||
Term Loan, 5.00%, Maturing December 10, 2019 |
167 | 162,714 | ||||||
Hub International Limited |
||||||||
Term Loan, 4.00%, Maturing October 2, 2020 |
516 | 514,269 | ||||||
USI, Inc. |
||||||||
Term Loan, 4.25%, Maturing December 27, 2019 |
464 | 464,479 | ||||||
|
|
|||||||
$ | 5,488,672 | |||||||
|
|
12
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Leisure Goods/Activities/Movies 2.5% |
||||||||
Activision Blizzard, Inc. |
||||||||
Term Loan, 3.25%, Maturing October 12, 2020 |
467 | $ | 469,596 | |||||
AMC Entertainment, Inc. |
||||||||
Term Loan, 3.50%, Maturing April 30, 2020 |
440 | 441,193 | ||||||
Aufinco Pty Limited |
||||||||
Term Loan, 4.00%, Maturing May 29, 2020 |
74 | 73,592 | ||||||
Bombardier Recreational Products, Inc. |
||||||||
Term Loan, 3.75%, Maturing January 30, 2019 |
641 | 643,318 | ||||||
CDS U.S. Intermediate Holdings, Inc. |
||||||||
Term Loan, 6.25%, Maturing July 8, 2022 |
75 | 75,619 | ||||||
ClubCorp Club Operations, Inc. |
||||||||
Term Loan, 4.25%, Maturing June 24, 2020 |
548 | 551,613 | ||||||
Emerald Expositions Holding, Inc. |
||||||||
Term Loan, 4.75%, Maturing June 17, 2020 |
176 | 176,053 | ||||||
Equinox Holdings, Inc. |
||||||||
Term Loan, 5.00%, Maturing January 31, 2020 |
343 | 346,830 | ||||||
Fender Musical Instruments Corporation |
||||||||
Term Loan, 5.75%, Maturing April 3, 2019 |
65 | 65,597 | ||||||
Kasima, LLC |
||||||||
Term Loan, 3.25%, Maturing May 17, 2021 |
136 | 136,340 | ||||||
Live Nation Entertainment, Inc. |
||||||||
Term Loan, 3.50%, Maturing August 16, 2020 |
499 | 500,101 | ||||||
LTF Merger Sub, Inc. |
||||||||
Term Loan, 4.25%, Maturing June 10, 2022 |
250 | 249,948 | ||||||
Nord Anglia Education Finance, LLC |
||||||||
Term Loan, 5.00%, Maturing March 31, 2021 |
446 | 447,951 | ||||||
Regal Cinemas Corporation |
||||||||
Term Loan, 3.75%, Maturing April 1, 2022 |
1,173 | 1,180,390 | ||||||
Sabre, Inc. |
||||||||
Term Loan, 4.00%, Maturing February 19, 2019 |
219 | 220,449 | ||||||
SeaWorld Parks & Entertainment, Inc. |
||||||||
Term Loan, 3.00%, Maturing May 14, 2020 |
536 | 522,026 | ||||||
SRAM, LLC |
||||||||
Term Loan, 4.02%, Maturing April 10, 2020 |
320 | 319,452 | ||||||
Town Sports International, Inc. |
||||||||
Term Loan, 4.50%, Maturing November 15, 2020 |
212 | 162,447 | ||||||
WMG Acquisition Corp. |
||||||||
Term Loan, 3.75%, Maturing July 1, 2020 |
172 | 170,513 | ||||||
Zuffa, LLC |
||||||||
Term Loan, 3.75%, Maturing February 25, 2020 |
561 | 556,601 | ||||||
|
|
|||||||
$ | 7,309,629 | |||||||
|
|
|||||||
Lodging and Casinos 2.4% |
||||||||
Affinity Gaming, LLC |
||||||||
Term Loan, 5.25%, Maturing November 9, 2017 |
457 | $ | 459,004 | |||||
Amaya Holdings B.V. |
||||||||
Term Loan, 5.00%, Maturing August 1, 2021 |
521 | 521,307 | ||||||
Term Loan - Second Lien, 8.00%, Maturing August 1, 2022 |
150 | 151,844 | ||||||
Boyd Gaming Corporation |
||||||||
Term Loan, 4.00%, Maturing August 14, 2020 |
89 | 89,262 | ||||||
Caesars Entertainment Operating Company |
||||||||
Term Loan, 0.00%, Maturing March 1, 2017(4) |
366 | 324,004 | ||||||
CityCenter Holdings, LLC |
||||||||
Term Loan, 4.25%, Maturing October 16, 2020 |
636 | 638,890 |
13
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Four Seasons Holdings, Inc. |
||||||||
Term Loan, 3.50%, Maturing June 27, 2020 |
98 | $ | 97,978 | |||||
Term Loan - Second Lien, 6.25%, Maturing December 27, 2020 |
500 | 502,500 | ||||||
Hilton Worldwide Finance, LLC |
||||||||
Term Loan, 3.50%, Maturing October 26, 2020 |
1,916 | 1,922,293 | ||||||
La Quinta Intermediate Holdings, LLC |
||||||||
Term Loan, 4.00%, Maturing April 14, 2021 |
167 | 167,376 | ||||||
Las Vegas Sands, LLC |
||||||||
Term Loan, 3.25%, Maturing December 19, 2020 |
345 | 344,606 | ||||||
MGM Resorts International |
||||||||
Term Loan, 3.50%, Maturing December 20, 2019 |
488 | 486,637 | ||||||
Pinnacle Entertainment, Inc. |
||||||||
Term Loan, 3.75%, Maturing August 13, 2020 |
111 | 111,225 | ||||||
Playa Resorts Holding B.V. |
||||||||
Term Loan, 4.00%, Maturing August 9, 2019 |
98 | 98,373 | ||||||
RHP Hotel Properties L.P. |
||||||||
Term Loan, 3.50%, Maturing January 15, 2021 |
124 | 124,311 | ||||||
Scientific Games International, Inc. |
||||||||
Term Loan, 6.00%, Maturing October 18, 2020 |
640 | 643,673 | ||||||
Term Loan, 6.00%, Maturing October 1, 2021 |
174 | 175,083 | ||||||
|
|
|||||||
$ | 6,858,366 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.7% |
||||||||
Alpha Natural Resources, LLC |
||||||||
Term Loan, 3.50%, Maturing May 22, 2020 |
147 | $ | 101,575 | |||||
Arch Coal, Inc. |
||||||||
Term Loan, 6.25%, Maturing May 16, 2018 |
558 | 320,860 | ||||||
Dynacast International, LLC |
||||||||
Term Loan, 4.50%, Maturing January 28, 2022 |
125 | 125,311 | ||||||
Fairmount Minerals Ltd. |
||||||||
Term Loan, 4.50%, Maturing September 5, 2019 |
368 | 336,199 | ||||||
Murray Energy Corporation |
||||||||
Term Loan, 7.00%, Maturing April 7, 2017 |
50 | 48,563 | ||||||
Term Loan, 7.50%, Maturing April 16, 2020 |
350 | 291,594 | ||||||
Noranda Aluminum Acquisition Corporation |
||||||||
Term Loan, 5.75%, Maturing February 28, 2019 |
169 | 118,942 | ||||||
Novelis, Inc. |
||||||||
Term Loan, 4.00%, Maturing June 2, 2022 |
500 | 500,400 | ||||||
Oxbow Carbon, LLC |
||||||||
Term Loan, 4.25%, Maturing July 19, 2019 |
90 | 89,803 | ||||||
Term Loan - Second Lien, 8.00%, Maturing January 17, 2020 |
150 | 141,750 | ||||||
|
|
|||||||
$ | 2,074,997 | |||||||
|
|
|||||||
Oil and Gas 2.1% |
||||||||
Ameriforge Group, Inc. |
||||||||
Term Loan, 5.00%, Maturing December 19, 2019 |
221 | $ | 181,432 | |||||
Bronco Midstream Funding, LLC |
||||||||
Term Loan, 5.00%, Maturing August 15, 2020 |
289 | 283,668 | ||||||
CITGO Holding, Inc. |
||||||||
Term Loan, 9.50%, Maturing May 12, 2018 |
306 | 306,905 | ||||||
CITGO Petroleum Corporation |
||||||||
Term Loan, 4.50%, Maturing July 29, 2021 |
199 | 199,079 | ||||||
Crestwood Holdings, LLC |
||||||||
Term Loan, 7.00%, Maturing June 19, 2019 |
171 | 168,322 | ||||||
Drillships Ocean Ventures, Inc. |
||||||||
Term Loan, 5.50%, Maturing July 25, 2021 |
198 | 163,391 |
14
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Energy Transfer Equity L.P. |
||||||||
Term Loan, 3.25%, Maturing December 2, 2019 |
325 | $ | 323,731 | |||||
Term Loan, 4.00%, Maturing December 2, 2019 |
570 | 570,285 | ||||||
Fieldwood Energy, LLC |
||||||||
Term Loan, 3.88%, Maturing September 28, 2018 |
197 | 181,264 | ||||||
Floatel International Ltd. |
||||||||
Term Loan, 6.00%, Maturing June 27, 2020 |
173 | 131,856 | ||||||
MEG Energy Corp. |
||||||||
Term Loan, 3.75%, Maturing March 31, 2020 |
1,435 | 1,392,576 | ||||||
Obsidian Natural Gas Trust |
||||||||
Term Loan, 7.00%, Maturing November 2, 2015 |
99 | 99,607 | ||||||
Paragon Offshore Finance Company |
||||||||
Term Loan, 3.75%, Maturing July 18, 2021(3) |
149 | 97,885 | ||||||
Samson Investment Company |
||||||||
Term Loan - Second Lien, 5.00%, Maturing September 25, 2018 |
175 | 50,641 | ||||||
Seadrill Partners Finco, LLC |
||||||||
Term Loan, 4.00%, Maturing February 21, 2021 |
839 | 630,905 | ||||||
Seventy Seven Operating, LLC |
||||||||
Term Loan, 3.75%, Maturing June 25, 2021 |
99 | 88,172 | ||||||
Sheridan Investment Partners II L.P. |
||||||||
Term Loan, 4.25%, Maturing December 16, 2020 |
28 | 23,537 | ||||||
Term Loan, 4.25%, Maturing December 16, 2020 |
75 | 63,112 | ||||||
Term Loan, 4.25%, Maturing December 16, 2020 |
537 | 453,696 | ||||||
Sheridan Production Partners I, LLC |
||||||||
Term Loan, 4.25%, Maturing October 1, 2019 |
31 | 26,821 | ||||||
Term Loan, 4.25%, Maturing October 1, 2019 |
50 | 43,911 | ||||||
Term Loan, 4.25%, Maturing October 1, 2019 |
379 | 331,385 | ||||||
Targa Resources Corp. |
||||||||
Term Loan, 5.75%, Maturing February 25, 2022 |
47 | 47,049 | ||||||
Tervita Corporation |
||||||||
Term Loan, 6.25%, Maturing May 15, 2018 |
131 | 118,291 | ||||||
|
|
|||||||
$ | 5,977,521 | |||||||
|
|
|||||||
Publishing 0.8% |
||||||||
Ascend Learning, LLC |
||||||||
Term Loan, 5.50%, Maturing July 31, 2019 |
222 | $ | 223,426 | |||||
Getty Images, Inc. |
||||||||
Term Loan, 4.75%, Maturing October 18, 2019 |
926 | 658,216 | ||||||
Houghton Mifflin Harcourt Publishing Company |
||||||||
Term Loan, 4.00%, Maturing May 31, 2021 |
75 | 74,953 | ||||||
Interactive Data Corporation |
||||||||
Term Loan, 4.75%, Maturing May 2, 2021 |
272 | 273,645 | ||||||
Laureate Education, Inc. |
||||||||
Term Loan, 5.00%, Maturing June 15, 2018 |
517 | 484,595 | ||||||
McGraw-Hill Global Education Holdings, LLC |
||||||||
Term Loan, 4.75%, Maturing March 22, 2019 |
125 | 126,192 | ||||||
Merrill Communications, LLC |
||||||||
Term Loan, 6.25%, Maturing June 1, 2022 |
125 | 125,313 | ||||||
Multi Packaging Solutions, Inc. |
||||||||
Term Loan, 4.25%, Maturing September 30, 2020 |
74 | 73,970 | ||||||
ProQuest, LLC |
||||||||
Term Loan, 5.25%, Maturing October 24, 2021 |
124 | 125,203 | ||||||
Springer Science+Business Media Deutschland GmbH |
||||||||
Term Loan, 4.75%, Maturing August 14, 2020 |
246 | 247,626 | ||||||
|
|
|||||||
$ | 2,413,139 | |||||||
|
|
15
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Radio and Television 1.2% |
||||||||
AP NMT Acquisition B.V. |
||||||||
Term Loan, 6.75%, Maturing August 13, 2021 |
99 | $ | 98,707 | |||||
Block Communications, Inc. |
||||||||
Term Loan, 4.00%, Maturing November 7, 2021 |
50 | 49,935 | ||||||
Clear Channel Communications, Inc. |
||||||||
Term Loan, 7.69%, Maturing July 30, 2019 |
450 | 419,850 | ||||||
Cumulus Media Holdings, Inc. |
||||||||
Term Loan, 4.25%, Maturing December 23, 2020 |
729 | 673,995 | ||||||
Hubbard Radio, LLC |
||||||||
Term Loan, 4.25%, Maturing May 15, 2020 |
123 | 124,073 | ||||||
Media General, Inc. |
||||||||
Term Loan, 4.00%, Maturing July 31, 2020 |
259 | 260,628 | ||||||
Mission Broadcasting, Inc. |
||||||||
Term Loan, 3.75%, Maturing October 1, 2020 |
126 | 126,776 | ||||||
Nexstar Broadcasting, Inc. |
||||||||
Term Loan, 3.75%, Maturing October 1, 2020 |
143 | 143,765 | ||||||
TWCC Holding Corp. |
||||||||
Term Loan, 5.75%, Maturing February 13, 2020 |
233 | 230,731 | ||||||
Term Loan - Second Lien, 7.00%, Maturing June 26, 2020 |
125 | 117,396 | ||||||
Univision Communications, Inc. |
||||||||
Term Loan, 4.00%, Maturing March 1, 2020 |
1,138 | 1,138,388 | ||||||
|
|
|||||||
$ | 3,384,244 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 2.9% |
||||||||
99 Cents Only Stores |
||||||||
Term Loan, 4.50%, Maturing January 11, 2019 |
337 | $ | 322,412 | |||||
Bass Pro Group, LLC |
||||||||
Term Loan, 4.00%, Maturing June 5, 2020 |
442 | 443,663 | ||||||
Burlington Coat Factory Warehouse Corporation |
||||||||
Term Loan, 4.25%, Maturing August 13, 2021 |
93 | 93,407 | ||||||
CDW, LLC |
||||||||
Term Loan, 3.25%, Maturing April 29, 2020 |
367 | 365,878 | ||||||
Davids Bridal, Inc. |
||||||||
Term Loan, 5.00%, Maturing October 11, 2019 |
119 | 115,437 | ||||||
Dollar Tree, Inc. |
||||||||
Term Loan, 3.50%, Maturing July 6, 2022 |
559 | 561,708 | ||||||
Evergreen Acqco 1 L.P. |
||||||||
Term Loan, 5.00%, Maturing July 9, 2019 |
121 | 114,059 | ||||||
Harbor Freight Tools USA, Inc. |
||||||||
Term Loan, 4.75%, Maturing July 26, 2019 |
189 | 190,516 | ||||||
J. Crew Group, Inc. |
||||||||
Term Loan, 4.00%, Maturing March 5, 2021 |
518 | 431,877 | ||||||
Jo-Ann Stores, Inc. |
||||||||
Term Loan, 4.00%, Maturing March 16, 2018 |
317 | 313,865 | ||||||
Mens Wearhouse, Inc. (The) |
||||||||
Term Loan, 4.50%, Maturing June 18, 2021 |
157 | 158,526 | ||||||
Michaels Stores, Inc. |
||||||||
Term Loan, 3.75%, Maturing January 28, 2020 |
1,476 | 1,480,472 | ||||||
Term Loan, 4.00%, Maturing January 28, 2020 |
173 | 174,164 | ||||||
Neiman Marcus Group, Inc. (The) |
||||||||
Term Loan, 4.25%, Maturing October 25, 2020 |
761 | 759,721 | ||||||
Party City Holdings, Inc. |
||||||||
Term Loan, 4.00%, Maturing July 27, 2019 |
268 | 268,627 | ||||||
Petco Animal Supplies, Inc. |
||||||||
Term Loan, 4.00%, Maturing November 24, 2017 |
726 | 728,012 |
16
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
PetSmart, Inc. |
||||||||
Term Loan, 4.25%, Maturing March 11, 2022 |
923 | $ | 927,354 | |||||
Pier 1 Imports (U.S.), Inc. |
||||||||
Term Loan, 4.50%, Maturing April 30, 2021 |
99 | 98,629 | ||||||
Pilot Travel Centers, LLC |
||||||||
Term Loan, 4.25%, Maturing October 1, 2021 |
396 | 401,339 | ||||||
Spin Holdco, Inc. |
||||||||
Term Loan, 4.25%, Maturing November 14, 2019 |
295 | 295,465 | ||||||
|
|
|||||||
$ | 8,245,131 | |||||||
|
|
|||||||
Steel 0.6% |
||||||||
FMG Resources (August 2006) Pty Ltd. |
||||||||
Term Loan, 3.75%, Maturing June 30, 2019 |
1,690 | $ | 1,388,924 | |||||
JMC Steel Group, Inc. |
||||||||
Term Loan, 4.75%, Maturing April 1, 2017 |
144 | 142,735 | ||||||
Neenah Foundry Company |
||||||||
Term Loan, 6.75%, Maturing April 26, 2017 |
81 | 81,039 | ||||||
Patriot Coal Corporation |
||||||||
Term Loan, 0.00%, Maturing December 15, 2018(3)(4) |
74 | 31,166 | ||||||
|
|
|||||||
$ | 1,643,864 | |||||||
|
|
|||||||
Surface Transport 0.2% |
||||||||
Hertz Corporation (The) |
||||||||
Term Loan, 3.75%, Maturing March 11, 2018 |
341 | $ | 342,156 | |||||
Kenan Advantage Group, Inc. |
||||||||
Term Loan, Maturing July 31, 2022(2) |
10 | 9,622 | ||||||
Term Loan, Maturing July 31, 2022(2) |
22 | 21,977 | ||||||
Term Loan, Maturing July 31, 2022(2) |
69 | 68,901 | ||||||
Stena International S.a.r.l. |
||||||||
Term Loan, 4.00%, Maturing March 3, 2021 |
272 | 256,627 | ||||||
|
|
|||||||
$ | 699,283 | |||||||
|
|
|||||||
Telecommunications 1.3% |
||||||||
CWC Cayman Finance Limited |
||||||||
Term Loan, 5.50%, Maturing April 28, 2017 |
75 | $ | 75,047 | |||||
Intelsat Jackson Holdings S.A. |
||||||||
Term Loan, 3.75%, Maturing June 30, 2019 |
1,650 | 1,635,820 | ||||||
IPC Corp. |
||||||||
Term Loan, 5.50%, Maturing August 6, 2021 |
349 | 349,416 | ||||||
Mitel US Holdings, Inc. |
||||||||
Term Loan, 5.00%, Maturing March 31, 2022 |
150 | 151,375 | ||||||
SBA Senior Finance II, LLC |
||||||||
Term Loan, 3.25%, Maturing March 24, 2021 |
347 | 344,746 | ||||||
Syniverse Holdings, Inc. |
||||||||
Term Loan, 4.00%, Maturing April 23, 2019 |
242 | 231,170 | ||||||
Term Loan, 4.00%, Maturing April 23, 2019 |
336 | 320,402 | ||||||
Telesat Canada |
||||||||
Term Loan, 3.50%, Maturing March 28, 2019 |
655 | 655,409 | ||||||
Windstream Corporation |
||||||||
Term Loan, 3.50%, Maturing August 8, 2019 |
122 | 119,495 | ||||||
|
|
|||||||
$ | 3,882,880 | |||||||
|
|
|||||||
Utilities 1.6% |
||||||||
Calpine Construction Finance Company L.P. |
||||||||
Term Loan, 3.00%, Maturing May 3, 2020 |
196 | $ | 194,571 | |||||
Term Loan, 3.25%, Maturing January 31, 2022 |
74 | 72,952 |
17
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Calpine Corporation |
||||||||
Term Loan, 4.00%, Maturing October 9, 2019 |
170 | $ | 170,906 | |||||
Term Loan, 3.50%, Maturing May 27, 2022 |
600 | 598,834 | ||||||
Dynegy Holdings, Inc. |
||||||||
Term Loan, 4.00%, Maturing April 23, 2020 |
1,173 | 1,177,606 | ||||||
EFS Cogen Holdings I, LLC |
||||||||
Term Loan, 3.75%, Maturing December 17, 2020 |
78 | 78,261 | ||||||
Energy Future Intermediate Holding Co., LLC |
||||||||
DIP Loan, 4.25%, Maturing June 19, 2016 |
300 | 301,562 | ||||||
Granite Acquisition, Inc. |
||||||||
Term Loan, 5.00%, Maturing December 19, 2021 |
21 | 21,200 | ||||||
Term Loan, 5.00%, Maturing December 19, 2021 |
477 | 479,412 | ||||||
La Frontera Generation, LLC |
||||||||
Term Loan, 4.50%, Maturing September 30, 2020 |
582 | 576,029 | ||||||
Lonestar Generation, LLC |
||||||||
Term Loan, 5.25%, Maturing February 20, 2021 |
99 | 97,758 | ||||||
Longview Power, LLC |
||||||||
Term Loan, 7.00%, Maturing April 13, 2021 |
50 | 50,625 | ||||||
TPF II Power, LLC |
||||||||
Term Loan, 5.50%, Maturing October 2, 2021 |
272 | 274,334 | ||||||
WTG Holdings III Corp. |
||||||||
Term Loan, 4.75%, Maturing January 15, 2021 |
569 | 569,916 | ||||||
|
|
|||||||
$ | 4,663,966 | |||||||
|
|
|||||||
Total Senior Floating-Rate Interests |
$ | 155,730,405 | ||||||
|
|
|||||||
Collateralized Mortgage Obligations 24.3% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: |
||||||||
Series 2113, Class QG, 6.00%, 1/15/29 |
$ | 1,175 | $ | 1,335,657 | ||||
Series 2167, Class BZ, 7.00%, 6/15/29 |
907 | 1,045,259 | ||||||
Series 2182, Class ZB, 8.00%, 9/15/29 |
1,523 | 1,826,981 | ||||||
Series 2631, (Interest Only), Class DS, 6.913%, 6/15/33(5)(6) |
2,373 | 428,119 | ||||||
Series 2770, (Interest Only), Class SH, 6.913%, 3/15/34(5)(6) |
2,783 | 581,476 | ||||||
Series 2981, (Interest Only), Class CS, 6.533%, 5/15/35(5)(6) |
1,593 | 306,771 | ||||||
Series 3114, (Interest Only), Class TS, 6.463%, 9/15/30(5)(6) |
4,019 | 674,653 | ||||||
Series 3339, (Interest Only), Class JI, 6.403%, 7/15/37(5)(6) |
3,225 | 558,503 | ||||||
Series 4109, (Interest Only), Class ES, 5.963%, 12/15/41(5)(6) |
1,986 | 88,454 | ||||||
Series 4163, (Interest Only), Class GS, 6.013%, 11/15/32(5)(6) |
6,249 | 1,399,830 | ||||||
Series 4169, (Interest Only), Class AS, 6.063%, 2/15/33(5)(6) |
3,952 | 800,383 | ||||||
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26(6) |
4,041 | 431,084 | ||||||
Series 4203, (Interest Only), Class QS, 6.063%, 5/15/43(5)(6) |
4,160 | 875,493 | ||||||
Series 4273, Class PU, 4.00%, 11/15/43 |
1,591 | 1,617,776 | ||||||
Series 4316, (Interest Only), Class JS, 5.913%, 1/15/44(5)(6) |
3,590 | 679,711 | ||||||
Series 4326, Class TS, 13.163%, 4/15/44(5) |
1,414 | 1,562,293 | ||||||
Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43(6) |
2,988 | 456,814 | ||||||
Series 4336, Class GU, 3.50%, 2/15/53 |
3,947 | 4,005,400 | ||||||
Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41(6) |
3,180 | 522,741 | ||||||
Series 4443, Class ZJ, 3.00%, 9/15/44 |
104 | 104,944 | ||||||
Series 4450, Class DS, 5.719%, 9/15/44(5) |
1,594 | 1,623,056 | ||||||
Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45(7) |
3,006 | 2,789,030 | ||||||
|
|
|||||||
$ | 23,714,428 | |||||||
|
|
18
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal National Mortgage Association: |
||||||||
Series 1989-89, Class H, 9.00%, 11/25/19 |
$ | 41 | $ | 45,255 | ||||
Series 1991-122, Class N, 7.50%, 9/25/21 |
187 | 206,125 | ||||||
Series 1993-84, Class M, 7.50%, 6/25/23 |
1,387 | 1,583,588 | ||||||
Series 1994-42, Class K, 6.50%, 4/25/24 |
440 | 486,471 | ||||||
Series 1997-28, Class ZA, 7.50%, 4/20/27 |
511 | 606,810 | ||||||
Series 1997-38, Class N, 8.00%, 5/20/27 |
475 | 556,679 | ||||||
Series 2004-46, (Interest Only), Class SI, 5.81%, 5/25/34(5)(6) |
2,853 | 389,113 | ||||||
Series 2005-17, (Interest Only), Class SA, 6.51%, 3/25/35(5)(6) |
2,058 | 397,211 | ||||||
Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36(7) |
1,776 | 1,545,163 | ||||||
Series 2006-42, (Interest Only), Class PI, 6.40%, 6/25/36(5)(6) |
3,659 | 661,431 | ||||||
Series 2006-44, (Interest Only), Class IS, 6.41%, 6/25/36(5)(6) |
2,961 | 567,559 | ||||||
Series 2006-72, (Interest Only), Class GI, 6.39%, 8/25/36(5)(6) |
5,383 | 931,855 | ||||||
Series 2007-50, (Interest Only), Class LS, 6.26%, 6/25/37(5)(6) |
2,292 | 382,893 | ||||||
Series 2007-74, Class AC, 5.00%, 8/25/37 |
2,848 | 3,135,553 | ||||||
Series 2008-26, (Interest Only), Class SA, 6.01%, 4/25/38(5)(6) |
3,740 | 658,846 | ||||||
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35(6) |
2,014 | 114,217 | ||||||
Series 2008-61, (Interest Only), Class S, 5.91%, 7/25/38(5)(6) |
4,815 | 843,749 | ||||||
Series 2010-99, (Interest Only), Class NS, 6.41%, 3/25/39(5)(6) |
4,285 | 531,349 | ||||||
Series 2010-109, (Interest Only), Class PS, 6.41%, 10/25/40(5)(6) |
6,019 | 1,086,064 | ||||||
Series 2010-119, (Interest Only), Class SK, 5.81%, 4/25/40(5)(6) |
2,003 | 131,746 | ||||||
Series 2010-124, (Interest Only), Class SJ, 5.86%, 11/25/38(5)(6) |
3,691 | 497,101 | ||||||
Series 2010-147, (Interest Only), Class KS, 5.76%, 1/25/41(5)(6) |
7,296 | 1,012,229 | ||||||
Series 2010-150, (Interest Only), Class GS, 6.56%, 1/25/21(5)(6) |
4,698 | 504,849 | ||||||
Series 2010-151, (Interest Only), Class PI, 4.00%, 5/25/28(6) |
7,570 | 291,677 | ||||||
Series 2011-22, (Interest Only), Class IC, 3.50%, 12/25/25(6) |
6,753 | 662,936 | ||||||
Series 2011-49, Class NT, 6.00%, 6/25/41(5) |
1,068 | 1,212,035 | ||||||
Series 2012-22, Class PS, 6.739%, 3/25/42(5) |
603 | 605,008 | ||||||
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26(6) |
8,122 | 689,643 | ||||||
Series 2012-56, (Interest Only), Class SU, 6.56%, 8/25/26(5)(6) |
2,779 | 290,646 | ||||||
Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40(6) |
6,866 | 808,965 | ||||||
Series 2012-103, (Interest Only), Class GS, 5.91%, 2/25/40(5)(6) |
8,239 | 1,332,037 | ||||||
Series 2012-150, (Interest Only), Class PS, 5.96%, 1/25/43(5)(6) |
7,887 | 1,598,269 | ||||||
Series 2012-150, (Interest Only), Class SK, 5.96%, 1/25/43(5)(6) |
4,389 | 851,239 | ||||||
Series 2013-6, Class TA, 1.50%, 1/25/43 |
3,247 | 3,090,637 | ||||||
Series 2013-23, (Interest Only), Class CS, 6.06%, 3/25/33(5)(6) |
3,925 | 850,441 | ||||||
Series 2013-54, (Interest Only), Class HS, 6.11%, 10/25/41(5)(6) |
3,828 | 648,236 | ||||||
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44(6) |
2,316 | 414,745 | ||||||
Series 2014-36, (Interest Only), Class ID, 4.00%, 6/25/44(6) |
1,958 | 345,080 | ||||||
Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44(6) |
5,394 | 1,101,168 | ||||||
Series 2014-72, Class CS, 8.889%, 11/25/44(5) |
1,209 | 1,226,212 | ||||||
Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45(6) |
3,919 | 714,268 | ||||||
Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45(6) |
8,575 | 1,425,663 | ||||||
Series 2015-17, (Interest Only), Class SA, 6.01%, 11/25/43(5)(6) |
8,836 | 1,433,479 | ||||||
Series 2015-42, Class SC, 7.952%, 5/25/45(5) |
1,437 | 1,437,145 | ||||||
Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45(6) |
4,952 | 864,982 | ||||||
Series G-33, Class PT, 7.00%, 10/25/21 |
287 | 304,880 | ||||||
|
|
|||||||
$ | 39,075,247 | |||||||
|
|
|||||||
Government National Mortgage Association: |
||||||||
Series 2011-156, Class GA, 2.00%, 12/16/41 |
$ | 1,302 | $ | 1,167,172 | ||||
Series 2013-124, Class LS, 11.899%, 5/20/41(5) |
84 | 85,367 | ||||||
Series 2014-117, Class HS, 31.296%, 8/20/44(5) |
347 | 392,065 | ||||||
Series 2014-146, Class S, 5.868%, 10/20/44(5) |
817 | 827,924 |
19
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 2015-72, Class ZN, 3.50%, 5/20/45 |
$ | 2,719 | $ | 2,697,062 | ||||
Series 2015-79, Class CS, 5.549%, 5/20/45(5) |
1,981 | 1,989,238 | ||||||
|
|
|||||||
$ | 7,158,828 | |||||||
|
|
|||||||
Total Collateralized Mortgage Obligations |
$ | 69,948,503 | ||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 7.5% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
COMM, Series 2014-KYO, Class D, 2.187%, 6/11/27(8)(9) |
$ | 1,000 | $ | 993,769 | ||||
COMM, Series 2014-LC17, Class D, 3.687%, 10/10/47(8) |
1,065 | 913,539 | ||||||
ESA, Series 2013-ESH7, Class D7, 4.036%, 12/5/31(8)(10) |
1,080 | 1,097,842 | ||||||
HILT, Series 2013-HLT, Class DFX, 4.407%, 11/5/30(8) |
850 | 859,814 | ||||||
JPMBB, Series 2014-C19, Class D, 4.677%, 4/15/47(8)(10) |
1,425 | 1,318,239 | ||||||
JPMBB, Series 2014-C21, Class D, 4.661%, 8/15/47(8)(10) |
650 | 602,469 | ||||||
JPMBB, Series 2014-C22, Class D, 4.561%, 9/15/47(8)(10) |
1,850 | 1,688,452 | ||||||
JPMBB, Series 2014-C23, Class D, 3.96%, 9/15/47(8)(10) |
850 | 747,063 | ||||||
JPMCC, Series 2006-CB14, Class A4, 5.481%, 12/12/44(10) |
246 | 248,105 | ||||||
JPMCC, Series 2011-C5, Class D, 5.323%, 8/15/46(8)(10) |
1,850 | 1,969,746 | ||||||
JPMCC, Series 2014-DSTY, Class B, 3.771%, 6/10/27(8) |
1,900 | 1,968,195 | ||||||
UBSC, Series 2011-C1, Class D, 5.888%, 1/10/45(8)(10) |
2,000 | 2,235,085 | ||||||
UBSCM, Series 2012-C1, Class D, 5.542%, 5/10/45(8)(10) |
2,000 | 2,117,321 | ||||||
WF-RBS, Series 2012-C9, Class D, 4.803%, 11/15/45(8)(10) |
1,250 | 1,261,411 | ||||||
WF-RBS, Series 2014-LC14, Class D, 4.586%, 3/15/47(8)(10) |
1,150 | 1,076,723 | ||||||
WFCM, Series 2010-C1, Class C, 5.582%, 11/15/43(8)(10) |
500 | 555,368 | ||||||
WFCM, Series 2013-LC12, Class D, 4.30%, 7/15/46(8)(10) |
2,000 | 1,911,367 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities |
$ | 21,564,508 | ||||||
|
|
|||||||
Mortgage Pass-Throughs 23.0% |
||||||||
Security | Principal (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: |
||||||||
2.423%, with maturity at 2035(11) |
$ | 2,685 | $ | 2,865,778 | ||||
2.878%, with maturity at 2035(11) |
2,786 | 2,965,056 | ||||||
5.00%, with maturity at 2019 |
1,608 | 1,688,059 | ||||||
6.00%, with various maturities to 2029 |
2,153 | 2,450,037 | ||||||
6.15%, with maturity at 2027 |
853 | 977,194 | ||||||
6.50%, with various maturities to 2032 |
4,537 | 5,167,396 | ||||||
7.00%, with various maturities to 2036 |
3,902 | 4,550,276 | ||||||
7.50%, with maturity at 2024 |
1,271 | 1,454,822 | ||||||
8.00%, with various maturities to 2032 |
1,962 | 2,361,178 | ||||||
8.50%, with various maturities to 2031 |
2,096 | 2,485,958 | ||||||
9.00%, with maturity at 2031 |
202 | 243,963 | ||||||
9.50%, with various maturities to 2022 |
69 | 75,756 | ||||||
11.50%, with maturity at 2019 |
3 | 3,232 | ||||||
|
|
|||||||
$ | 27,288,705 | |||||||
|
|
20
Security | Principal (000s omitted) |
Value | ||||||
Federal National Mortgage Association: |
||||||||
5.00%, with various maturities to 2040 |
$ | 3,898 | $ | 4,325,202 | ||||
5.339%, with maturity at 2037(11) |
892 | 926,595 | ||||||
5.50%, with various maturities to 2033 |
2,499 | 2,816,088 | ||||||
6.00%, with maturity at 2023 |
1,598 | 1,774,699 | ||||||
6.32%, with maturity at 2032(11) |
1,172 | 1,304,298 | ||||||
6.50%, with various maturities to 2036 |
5,874 | 6,731,185 | ||||||
7.00%, with various maturities to 2037 |
5,977 | 6,950,297 | ||||||
7.50%, with maturity at 2035 |
4,084 | 4,784,539 | ||||||
8.00%, with various maturities to 2034 |
1,077 | 1,255,788 | ||||||
8.50%, with various maturities to 2027 |
156 | 178,922 | ||||||
9.00%, with various maturities to 2029 |
447 | 518,318 | ||||||
10.00%, with various maturities to 2031 |
317 | 356,133 | ||||||
|
|
|||||||
$ | 31,922,064 | |||||||
|
|
|||||||
Government National Mortgage Association: |
||||||||
7.50%, with maturity at 2025 |
$ | 1,919 | $ | 2,193,233 | ||||
8.00%, with maturity at 2034 |
2,514 | 2,948,466 | ||||||
9.00%, with various maturities to 2026 |
1,217 | 1,459,007 | ||||||
9.50%, with maturity at 2025 |
129 | 147,017 | ||||||
11.00%, with maturity at 2018 |
39 | 41,610 | ||||||
|
|
|||||||
$ | 6,789,333 | |||||||
|
|
|||||||
Total Mortgage Pass-Throughs |
$ | 66,000,102 | ||||||
|
|
|||||||
Asset-Backed Securities 4.9% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
AH4R, Series 2014-SFR1, Class C, 2.00%, 6/17/31(8)(9) |
$ | 200 | $ | 199,652 | ||||
AH4R, Series 2014-SFR1, Class D, 2.35%, 6/17/31(8)(9) |
825 | 810,939 | ||||||
ARP, Series 2014-SFR1, Class C, 2.536%, 9/17/31(8)(9) |
2,000 | 2,012,449 | ||||||
CAH, Series 2014-1A, Class C, 2.10%, 5/17/31(8)(9) |
760 | 758,495 | ||||||
Centurion CDO IX Ltd., Series 2005-9A, Class D1, 5.039%, 7/17/19(8)(9) |
500 | 487,453 | ||||||
DNKN, Series 2015-1A, Class A2II, 3.98%, 2/20/45(8) |
1,247 | 1,250,626 | ||||||
FKL, Series 2015-SFR1, Class A, 2.553%, 3/9/47(8) |
514 | 511,650 | ||||||
Invitation Homes Trust, Series 2013-SFR1, Class D, 2.40%, 12/17/30(8)(9) |
550 | 544,045 | ||||||
Invitation Homes Trust, Series 2014-SFR1, Class D, 2.786%, 6/17/31(8)(9) |
500 | 499,561 | ||||||
OMFIT, Series 2014-1A, Class A, 2.43%, 6/18/24(8) |
700 | 702,534 | ||||||
OMFIT, Series 2014-1A, Class B, 3.24%, 6/18/24(8) |
800 | 806,195 | ||||||
OMFIT, Series 2015-1A, Class B, 3.85%, 3/18/26(8) |
800 | 819,856 | ||||||
SBY, Series 2014-1, Class C, 2.236%, 9/17/31(8)(9) |
2,000 | 2,004,357 | ||||||
SCFT, Series 2014-AA, Class B, 4.61%, 10/25/27(8) |
1,980 | 2,008,988 | ||||||
SRFC, Series 2014-1A, Class B, 2.42%, 3/20/30(8) |
286 | 286,302 | ||||||
SRFC, Series 2015-1A, Class B, 3.05%, 3/22/32(8) |
414 | 413,815 | ||||||
|
|
|||||||
Total Asset-Backed Securities |
$ | 14,116,917 | ||||||
|
|
21
U.S. Government Agency Obligations 0.5% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Farm Credit Bank: |
||||||||
3.25%, 7/1/30 |
$ | 1,500 | $ | 1,500,558 | ||||
|
|
|||||||
Total U.S. Government Agency Obligations |
$ | 1,500,558 | ||||||
|
|
|||||||
Corporate Bonds & Notes 0.8% |
||||||||
Security | Principal (000s omitted) |
Value | ||||||
Financial Intermediaries 0.1% |
||||||||
First Data Corp. |
||||||||
6.75%, 11/1/20(8) |
$ | 163 | $ | 172,780 | ||||
|
|
|||||||
$ | 172,780 | |||||||
|
|
|||||||
Food Products 0.3% |
||||||||
Iceland Bondco PLC |
||||||||
4.834%, 7/15/20(8)(9) |
GBP | 750 | $ | 995,552 | ||||
|
|
|||||||
$ | 995,552 | |||||||
|
|
|||||||
Health Care 0.1% |
||||||||
CHS/Community Health Systems, Inc. |
||||||||
5.125%, 8/15/18 |
$ | 425 | $ | 436,688 | ||||
|
|
|||||||
$ | 436,688 | |||||||
|
|
|||||||
Lodging and Casinos 0.1% |
||||||||
Caesars Entertainment Operating Co., Inc. |
||||||||
8.50%, 2/15/20(4) |
$ | 350 | $ | 292,250 | ||||
|
|
|||||||
$ | 292,250 | |||||||
|
|
|||||||
Utilities 0.2% |
||||||||
Calpine Corp. |
||||||||
7.875%, 1/15/23(8) |
$ | 471 | $ | 507,797 | ||||
|
|
|||||||
$ | 507,797 | |||||||
|
|
|||||||
Total Corporate Bonds & Notes |
$ | 2,405,067 | ||||||
|
|
|||||||
Foreign Corporate Bonds 0.2% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Supranational 0.2% |
||||||||
International Bank for Reconstruction & Development |
||||||||
3.40%, 4/15/17(12) |
UYU | 18,245 | $ | 630,633 | ||||
|
|
|||||||
$ | 630,633 | |||||||
|
|
|||||||
Total Foreign Corporate Bonds |
$ | 630,633 | ||||||
|
|
22
Foreign Government Bonds 11.1% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Bangladesh 2.1% |
||||||||
Bangladesh Treasury Bond, 8.80%, 6/4/16 |
BDT | 46,100 | $ | 603,590 | ||||
Bangladesh Treasury Bond, 10.10%, 6/11/19 |
BDT | 23,600 | 321,475 | |||||
Bangladesh Treasury Bond, 11.30%, 3/7/17 |
BDT | 50,000 | 680,230 | |||||
Bangladesh Treasury Bond, 11.40%, 5/9/17 |
BDT | 60,000 | 819,286 | |||||
Bangladesh Treasury Bond, 11.50%, 8/8/17 |
BDT | 107,500 | 1,477,271 | |||||
Bangladesh Treasury Bond, 11.50%, 11/7/17 |
BDT | 15,700 | 216,790 | |||||
Bangladesh Treasury Bond, 11.52%, 12/5/17 |
BDT | 20,000 | 276,842 | |||||
Bangladesh Treasury Bond, 11.55%, 9/5/17 |
BDT | 30,000 | 412,981 | |||||
Bangladesh Treasury Bond, 11.55%, 10/3/17 |
BDT | 29,900 | 412,478 | |||||
Bangladesh Treasury Bond, 11.70%, 4/3/18 |
BDT | 27,400 | 383,423 | |||||
Bangladesh Treasury Bond, 11.72%, 2/6/18 |
BDT | 8,400 | 117,275 | |||||
Bangladesh Treasury Bond, 11.72%, 7/2/18 |
BDT | 19,400 | 272,948 | |||||
|
|
|||||||
Total Bangladesh |
$ | 5,994,589 | ||||||
|
|
|||||||
Costa Rica 0.2% |
||||||||
Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16 |
CRC | 255,000 | $ | 501,251 | ||||
|
|
|||||||
Total Costa Rica |
$ | 501,251 | ||||||
|
|
|||||||
Dominican Republic 2.0% |
||||||||
Dominican Republic Central Bank Note, 12.00%, 4/5/19(8) |
DOP | 11,940 | $ | 280,017 | ||||
Dominican Republic International Bond, 11.50%, 5/10/24(8) |
DOP | 15,000 | 355,042 | |||||
Dominican Republic International Bond, 14.00%, 4/30/21(8) |
DOP | 6,700 | 171,021 | |||||
Dominican Republic International Bond, 14.50%, 2/10/23(8) |
DOP | 1,800 | 47,804 | |||||
Dominican Republic International Bond, 14.50%, 2/10/23(13) |
DOP | 21,000 | 557,717 | |||||
Dominican Republic International Bond, 15.95%, 6/4/21(8) |
DOP | 9,000 | 251,142 | |||||
Dominican Republic International Bond, 16.00%, 2/10/17(13) |
DOP | 108,800 | 2,644,203 | |||||
Dominican Republic International Bond, 18.50%, 2/4/28(8) |
DOP | 800 | 25,538 | |||||
Dominican Republic International Bond, 18.50%, 2/4/28(13) |
DOP | 42,400 | 1,353,508 | |||||
|
|
|||||||
Total Dominican Republic |
$ | 5,685,992 | ||||||
|
|
|||||||
Iceland 1.9% |
||||||||
Republic of Iceland, 6.25%, 2/5/20 |
ISK | 231,085 | $ | 1,251,921 | ||||
Republic of Iceland, 7.25%, 10/26/22 |
ISK | 427,092 | 2,430,782 | |||||
Republic of Iceland, 8.75%, 2/26/19 |
ISK | 329,709 | 1,923,370 | |||||
|
|
|||||||
Total Iceland |
$ | 5,606,073 | ||||||
|
|
|||||||
Philippines 1.4% |
||||||||
Republic of the Philippines, 4.95%, 1/15/21 |
PHP | 63,000 | $ | 1,447,643 | ||||
Republic of the Philippines, 6.25%, 1/14/36 |
PHP | 85,000 | 2,120,307 | |||||
Republic of the Philippines, 9.125%, 9/4/16 |
PHP | 14,990 | 352,489 | |||||
|
|
|||||||
Total Philippines |
$ | 3,920,439 | ||||||
|
|
|||||||
Serbia 0.9% |
||||||||
Serbia Treasury Bond, 10.00%, 2/21/16 |
RSD | 82,900 | $ | 777,180 | ||||
Serbia Treasury Bond, 10.00%, 10/17/16 |
RSD | 21,800 | 208,032 | |||||
Serbia Treasury Bond, 10.00%, 4/1/17 |
RSD | 46,800 | 448,522 | |||||
Serbia Treasury Bond, 10.00%, 5/8/17 |
RSD | 18,760 | 179,857 | |||||
Serbia Treasury Bond, 10.00%, 1/24/18 |
RSD | 22,180 | 214,709 | |||||
Serbia Treasury Bond, 10.00%, 2/5/22 |
RSD | 20,360 | 192,174 | |||||
Serbia Treasury Bond, 11.50%, 10/26/15 |
RSD | 61,800 | 573,661 | |||||
|
|
|||||||
Total Serbia |
$ | 2,594,135 | ||||||
|
|
23
Security | Principal Amount (000s omitted) |
Value | ||||||||||||
Sri Lanka 0.3% |
||||||||||||||
Sri Lanka Government Bond, 8.50%, 11/1/15 |
LKR | 124,130 | $ | 932,764 | ||||||||||
|
|
|||||||||||||
Total Sri Lanka |
$ | 932,764 | ||||||||||||
|
|
|||||||||||||
Uruguay 1.3% |
||||||||||||||
Monetary Regulation Bill, 0.00%, 8/20/15 |
UYU | 23,410 | $ | 818,753 | ||||||||||
Monetary Regulation Bill, 0.00%, 1/14/16 |
UYU | 1,000 | 33,164 | |||||||||||
Uruguay Notas Del Tesoro, 2.75%, 6/16/16(12) |
UYU | 58,188 | 2,009,207 | |||||||||||
Uruguay Notas Del Tesoro, 9.50%, 1/27/16 |
UYU | 8,160 | 286,999 | |||||||||||
Uruguay Notas Del Tesoro, 11.00%, 3/21/17 |
UYU | 18,380 | 626,052 | |||||||||||
|
|
|||||||||||||
Total Uruguay |
$ | 3,774,175 | ||||||||||||
|
|
|||||||||||||
Vietnam 1.0% |
||||||||||||||
Vietnam Government Bond, 5.60%, 4/15/16 |
VND | 40,000,000 | $ | 1,842,717 | ||||||||||
Vietnam Government Bond, 7.60%, 10/31/16 |
VND | 14,000,000 | 661,182 | |||||||||||
Vietnam Government Bond, 8.60%, 2/15/16 |
VND | 5,159,800 | 241,196 | |||||||||||
|
|
|||||||||||||
Total Vietnam |
$ | 2,745,095 | ||||||||||||
|
|
|||||||||||||
Total Foreign Government Bonds |
$ | 31,754,513 | ||||||||||||
|
|
|||||||||||||
U.S. Treasury Obligations 3.5% |
| |||||||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||||||
U.S. Treasury Note, 1.75%, 5/15/22(14) |
$ | 10,000 | $ | 9,898,440 | ||||||||||
|
|
|||||||||||||
Total U.S. Treasury Obligations |
|
$ | 9,898,440 | |||||||||||
|
|
|||||||||||||
Common Stocks 0.5% |
| |||||||||||||
Security | Shares | Value | ||||||||||||
Affinity Gaming, LLC(3)(15)(16) |
23,498 | $ | 311,350 | |||||||||||
Buffets Restaurants Holdings, Inc.(3)(15)(16) |
11,744 | 0 | ||||||||||||
Dayco Products, LLC(3)(16) |
8,898 | 364,818 | ||||||||||||
Education Management Corp.(3)(15)(16) |
955,755 | 25,805 | ||||||||||||
ION Media Networks, Inc.(3)(16) |
1,357 | 488,506 | ||||||||||||
MediaNews Group, Inc.(3)(15)(16) |
3,023 | 94,469 | ||||||||||||
|
|
|||||||||||||
Total Common Stocks |
|
$ | 1,284,948 | |||||||||||
|
|
|||||||||||||
Convertible Preferred Stocks 0.0%(17) |
| |||||||||||||
Security | Shares | Value | ||||||||||||
Education Management Corp., Series A-1, 7.50%(15)(16) |
1,063 | $ | 29,233 | |||||||||||
|
|
|||||||||||||
Total Convertible Preferred Stocks |
|
$ | 29,233 | |||||||||||
|
|
24
Currency Call Options Purchased 0.0%(17) |
| |||||||||||||||||
Description | Counterparty | Principal Amount of Contracts (000s omitted) |
Strike Price |
Expiration Date |
Value | |||||||||||||
Indian Rupee | Citibank, N.A. | INR | 100,664 | INR | 67.79 | 7/4/16 | $ | 49,127 | ||||||||||
|
|
|||||||||||||||||
Total Currency Call Options Purchased |
|
$ | 49,127 | |||||||||||||||
|
|
Short-Term Investments 7.8% | ||||||
Foreign Government Securities 4.6% |
Security | Principal Amount (000s omitted) |
Value | ||||||
Iceland 0.2% |
||||||||
Iceland Treasury Bill, 0.00%, 9/15/15 |
ISK | 58,940 | $ | 320,540 | ||||
Iceland Treasury Bill, 0.00%, 10/15/15 |
ISK | 19,720 | 106,330 | |||||
|
|
|||||||
Total Iceland |
$ | 426,870 | ||||||
|
|
|||||||
Lebanon 2.3% |
||||||||
Lebanon Treasury Bill, 0.00%, 10/1/15 |
LBP | 977,300 | $ | 644,077 | ||||
Lebanon Treasury Bill, 0.00%, 11/26/15 |
LBP | 179,400 | 117,404 | |||||
Lebanon Treasury Bill, 0.00%, 12/10/15 |
LBP | 8,902,040 | 5,814,499 | |||||
|
|
|||||||
Total Lebanon |
$ | 6,575,980 | ||||||
|
|
|||||||
Sri Lanka 2.1% |
||||||||
Sri Lanka Treasury Bill, 0.00%, 11/13/15 |
LKR | 47,690 | $ | 350,160 | ||||
Sri Lanka Treasury Bill, 0.00%, 12/18/15 |
LKR | 88,150 | 643,429 | |||||
Sri Lanka Treasury Bill, 0.00%, 1/1/16 |
LKR | 9,860 | 71,796 | |||||
Sri Lanka Treasury Bill, 0.00%, 2/19/16 |
LKR | 50,440 | 364,150 | |||||
Sri Lanka Treasury Bill, 0.00%, 2/26/16 |
LKR | 53,530 | 386,032 | |||||
Sri Lanka Treasury Bill, 0.00%, 3/4/16 |
LKR | 93,730 | 675,160 | |||||
Sri Lanka Treasury Bill, 0.00%, 3/11/16 |
LKR | 56,580 | 407,083 | |||||
Sri Lanka Treasury Bill, 0.00%, 3/25/16 |
LKR | 135,720 | 974,198 | |||||
Sri Lanka Treasury Bill, 0.00%, 4/15/16 |
LKR | 313,360 | 2,241,283 | |||||
|
|
|||||||
Total Sri Lanka |
$ | 6,113,291 | ||||||
|
|
|||||||
Total Foreign Government Securities |
$ | 13,116,141 | ||||||
|
|
|||||||
U.S. Treasury Obligations 1.0% |
||||||||
Security | Principal Amount |
Value | ||||||
U.S. Treasury Bill, 0.00%, 10/15/15(14) |
$ | 3,000 | $ | 2,999,787 | ||||
|
|
|||||||
Total U.S. Treasury Obligations |
$ | 2,999,787 | ||||||
|
|
25
Other 2.2% |
||||||||
Description | Interest (000s omitted) |
Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.20%(18) |
$ | 6,186 | $ | 6,185,834 | ||||
|
|
|||||||
Total Other |
$ | 6,185,834 | ||||||
|
|
|||||||
Total Short-Term Investments |
$ | 22,301,762 | ||||||
|
|
|||||||
Total Investments 138.3% |
$ | 397,214,716 | ||||||
|
|
|||||||
Other Assets, Less Liabilities (38.3)% |
$ | (109,984,118 | ) | |||||
|
|
|||||||
Net Assets 100.0% |
$ | 287,230,598 | ||||||
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
AH4R |
- | American Homes 4 Rent | ||
ARP |
- | American Residential Properties Trust | ||
CAH |
- | Colony American Homes | ||
COMM |
- | Commercial Mortgage Trust | ||
DIP |
- | Debtor In Possession | ||
DNKN |
- | DB Master Finance LLC | ||
ESA |
- | Extended Stay America Trust | ||
FKL |
- | FirstKey Lending Trust | ||
HILT |
- | Hilton USA Trust | ||
JPMBB |
- | JPMBB Commercial Mortgage Securities Trust | ||
JPMCC |
- | JPMorgan Chase Commercial Mortgage Securities Trust | ||
OMFIT |
- | OneMain Financial Issuance Trust | ||
PIK |
- | Payment In Kind | ||
SBY |
- | Silver Bay Realty Trust | ||
SCFT |
- | SpringCastle Funding Trust | ||
SRFC |
- | Sierra Receivables Funding Co., LLC | ||
UBSC |
- | UBS-Citigroup Commercial Mortgage Trust | ||
UBSCM |
- | UBS Commercial Mortgage Trust | ||
WF-RBS |
- | WF-RBS Commercial Mortgage Trust | ||
WFCM |
- | Wells Fargo Commercial Mortgage Trust | ||
BDT |
- | Bangladesh Taka | ||
CRC |
- | Costa Rican Colon | ||
DOP |
- | Dominican Peso | ||
EUR |
- | Euro | ||
GBP |
- | British Pound Sterling | ||
INR |
- | Indian Rupee |
26
ISK |
- | Icelandic Krona | ||
LBP |
- | Lebanese Pound | ||
LKR |
- | Sri Lankan Rupee | ||
PHP |
- | Philippine Peso | ||
RSD |
- | Serbian Dinar | ||
UYU |
- | Uruguayan Peso | ||
VND |
- | Vietnamese Dong |
* | In U.S. dollars unless otherwise indicated. |
(1) | Senior floating-rate interests (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. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. 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) and the certificate of deposit (CD) rate or other base lending rates used by commercial lenders. |
(2) | This Senior Loan will settle after July 31, 2015, at which time the interest rate will be determined. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(4) | Currently the issuer is in default with respect to interest and/or principal payments or has filed for bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(5) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2015. |
(6) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(7) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(8) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At July 31, 2015, the aggregate value of these securities is $38,240,013 or 13.3% of the Funds net assets. |
(9) | Variable rate security. The stated interest rate represents the rate in effect at July 31, 2015. |
(10) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2015. |
(11) | Adjustable rate mortgage security. Rate shown is the rate at July 31, 2015. |
(12) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(13) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2015, the aggregate value of these securities is $4,555,428 or 1.6% of the Funds net assets. |
(14) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(15) | Non-income producing. |
(16) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(17) | Amount is less than 0.05%. |
(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 July 31, 2015. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2015 was $9,525. |
27
A summary of open financial instruments at July 31, 2015 is as follows:
Forward Foreign Currency Exchange Contracts
Settlement Date |
Deliver |
In Exchange For |
Counterparty |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
8/4/15 | Brazilian Real 3,796,000 |
United States Dollar 1,118,444 |
Morgan Stanley & Co. International PLC | $ | 9,782 | $ | | $ | 9,782 | |||||||||
8/4/15 | Brazilian Real 3,796,000 |
United States Dollar 1,114,831 |
Standard Chartered Bank | 6,170 | | 6,170 | ||||||||||||
8/4/15 | Euro 5,999,987 |
Polish Zloty 24,896,948 |
BNP Paribas | 10,799 | | 10,799 | ||||||||||||
8/4/15 | Euro 193,427 |
Polish Zloty 800,000 |
Standard Chartered Bank | | (348 | ) | (348 | ) | ||||||||||
8/4/15 | Polish Zloty 25,696,948 |
Euro 6,198,757 |
JPMorgan Chase Bank, N.A. | | (4,583 | ) | (4,583 | ) | ||||||||||
8/4/15 | United States Dollar 1,170,593 |
Brazilian Real 3,796,000 |
Morgan Stanley & Co. International PLC |
| (61,932 | ) | (61,932 | ) | ||||||||||
8/4/15 | United States Dollar 1,118,444 |
Brazilian Real 3,796,000 |
Standard Chartered Bank | | (9,783 | ) | (9,783 | ) | ||||||||||
8/4/15 | United States Dollar 300,631 |
Philippine Peso 13,440,000 |
Australia and New Zealand Banking Group Limited | | (6,772 | ) | (6,772 | ) | ||||||||||
8/4/15 | United States Dollar 299,512 |
Philippine Peso 13,390,000 |
Nomura International PLC | | (6,747 | ) | (6,747 | ) | ||||||||||
8/18/15 | Euro 3,951,534 |
Swedish Krona 36,766,000 |
BNP Paribas | | (77,673 | ) | (77,673 | ) | ||||||||||
8/18/15 | Swedish Krona 24,407,000 |
Euro 2,603,218 |
BNP Paribas | 29,599 | | 29,599 | ||||||||||||
8/18/15 | United States Dollar 1,002,027 |
Chilean Peso 605,124,000 |
BNP Paribas | | (105,708 | ) | (105,708 | ) | ||||||||||
8/19/15 | United States Dollar 2,294,606 |
Mexican Peso 34,707,060 |
Morgan Stanley & Co. International PLC | | (142,911 | ) | (142,911 | ) | ||||||||||
8/19/15 | United States Dollar 2,277,095 |
Mexican Peso 34,457,000 |
Standard Chartered Bank | | (140,902 | ) | (140,902 | ) | ||||||||||
8/24/15 | United States Dollar 2,997,273 |
Yuan Renminbi Offshore 18,682,000 |
BNP Paribas | 648 | | 648 | ||||||||||||
8/26/15 | Euro 287,450 |
Serbian Dinar 36,670,000 |
Citibank, N.A. | 18,730 | | 18,730 | ||||||||||||
8/26/15 | Euro 4,302,835 |
United States Dollar 4,789,722 |
Bank of America, N.A. | 62,857 | | 62,857 | ||||||||||||
8/26/15 | United States Dollar 284,393 |
Euro 255,426 |
BNP Paribas | | (3,796 | ) | (3,796 | ) | ||||||||||
8/31/15 | Euro 2,263,829 |
United States Dollar 2,467,483 |
Goldman Sachs International | | (19,595 | ) | (19,595 | ) | ||||||||||
8/31/15 | Euro 298,500 |
United States Dollar 331,518 |
State Street Bank and Trust Company | 3,581 | | 3,581 | ||||||||||||
8/31/15 | Euro 124,688 |
United States Dollar 137,893 |
State Street Bank and Trust Company | 910 | | 910 | ||||||||||||
9/4/15 | Euro 2,679,196 |
British Pound Sterling 1,941,000 |
Standard Chartered Bank | 86,931 | | 86,931 | ||||||||||||
9/8/15 | United States Dollar 1,212,624 |
Philippine Peso 54,773,000 |
BNP Paribas | | (16,543 | ) | (16,543 | ) | ||||||||||
9/9/15 | Euro 146,446 |
United States Dollar 163,671 |
Goldman Sachs International | 2,763 | | 2,763 |
28
Settlement Date |
Deliver |
In Exchange For |
Counterparty |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
9/9/15 | Euro 5,399,910 |
United States Dollar 6,025,328 |
Standard Chartered Bank | $ | 92,170 | $ | | $ | 92,170 | |||||||||
9/9/15 | Euro 254,690 |
United States Dollar 286,379 |
Standard Chartered Bank | 6,538 | | 6,538 | ||||||||||||
9/9/15 | United States Dollar 481,873 |
Indian Rupee 31,281,000 |
Bank of America, N.A. | 4,171 | | 4,171 | ||||||||||||
9/9/15 | United States Dollar 3,039,844 |
Indian Rupee 196,798,000 |
BNP Paribas | 18,001 | | 18,001 | ||||||||||||
9/9/15 | United States Dollar 544,569 |
Indian Rupee 35,351,000 |
BNP Paribas | 4,714 | | 4,714 | ||||||||||||
9/14/15 | Euro 967,000 |
United States Dollar 1,087,062 |
Citibank, N.A. | 24,491 | | 24,491 | ||||||||||||
9/14/15 | United States Dollar 314,003 |
New Turkish Lira 875,000 |
BNP Paribas | | (1,992 | ) | (1,992 | ) | ||||||||||
9/14/15 | United States Dollar 2,051,646 |
New Turkish Lira 5,743,000 |
BNP Paribas | | (3,787 | ) | (3,787 | ) | ||||||||||
9/14/15 | United States Dollar 1,963,136 |
New Turkish Lira 5,458,500 |
BNP Paribas | | (16,725 | ) | (16,725 | ) | ||||||||||
9/14/15 | United States Dollar 690,037 |
Singapore Dollar 935,000 |
Barclays Bank PLC | | (9,323 | ) | (9,323 | ) | ||||||||||
9/14/15 | United States Dollar 2,207,141 |
Singapore Dollar 3,020,000 |
Standard Chartered Bank | | (8,470 | ) | (8,470 | ) | ||||||||||
9/14/15 | United States Dollar 3,781,005 |
Yuan Renminbi Offshore 23,612,000 |
Bank of America, N.A. | 1,640 | | 1,640 | ||||||||||||
9/17/15 | United States Dollar 3,522,172 |
Chilean Peso 2,254,542,290 |
BNP Paribas | | (192,150 | ) | (192,150 | ) | ||||||||||
9/18/15 | Euro 3,732,383 |
Norwegian Krone 32,787,000 |
BNP Paribas | | (91,633 | ) | (91,633 | ) | ||||||||||
9/21/15 | United States Dollar 1,422,343 |
Mauritian Rupee 52,200,000 |
Standard Chartered Bank | 49,029 | | 49,029 | ||||||||||||
9/22/15 | United States Dollar 3,618,570 |
British Pound Sterling 2,275,000 |
Standard Chartered Bank | | (67,033 | ) | (67,033 | ) | ||||||||||
9/28/15 | United States Dollar 913,284 |
Uruguayan Peso 24,750,000 |
HSBC Bank USA, N.A. | | (56,049 | ) | (56,049 | ) | ||||||||||
9/29/15 | Euro 2,362,485 |
Romanian Leu 10,557,472 |
BNP Paribas | 32,318 | | 32,318 | ||||||||||||
9/30/15 | British Pound Sterling 953,438 |
United States Dollar 1,499,958 |
Goldman Sachs International | 11,611 | | 11,611 | ||||||||||||
10/1/15 | United States Dollar 4,248,366 |
Colombian Peso 11,270,916,000 |
BNP Paribas | | (347,901 | ) | (347,901 | ) | ||||||||||
10/2/15 | United States Dollar 1,091,746 |
Brazilian Real 3,796,000 |
Standard Chartered Bank | | (5,542 | ) | (5,542 | ) | ||||||||||
10/8/15 | United States Dollar 899,484 |
Azerbaijani Manat 732,000 |
ICBC Standard Bank plc | | (212,805 | ) | (212,805 | ) | ||||||||||
10/13/15 | Euro 549,381 |
Serbian Dinar 71,914,000 |
Citibank, N.A. | 49,331 | | 49,331 | ||||||||||||
10/13/15 | Euro 67,310 |
Serbian Dinar 8,784,000 |
Deutsche Bank AG | 5,800 | | 5,800 | ||||||||||||
10/14/15 | Euro 1,229,560 |
United States Dollar 1,362,210 |
BNP Paribas | 10,507 | | 10,507 | ||||||||||||
10/26/15 | United States Dollar 648,999 |
Uruguayan Peso 18,000,000 |
HSBC Bank USA, N.A. | | (31,003 | ) | (31,003 | ) | ||||||||||
10/27/15 | United States Dollar 2,054,443 |
Indian Rupee 132,694,000 |
Deutsche Bank AG | | (7,875 | ) | (7,875 | ) |
29
Settlement Date |
Deliver |
In Exchange For |
Counterparty |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
10/28/15 | United States Dollar 588,637 |
Zambian Kwacha 4,741,000 |
Standard Chartered Bank | $ | 6,178 | $ | | $ | 6,178 | |||||||||
11/3/15 | Euro 6,174,628 |
Polish Zloty 25,696,948 |
JPMorgan Chase Bank, N.A. | 4,323 | | 4,323 | ||||||||||||
11/3/15 | United States Dollar 588,609 |
Zambian Kwacha 4,719,000 |
Standard Chartered Bank | 1,462 | | 1,462 | ||||||||||||
11/3/15 | United States Dollar 588,747 |
Zambian Kwacha 4,669,000 |
Standard Chartered Bank | | (4,928 | ) | (4,928 | ) | ||||||||||
11/6/15 | United States Dollar 450,677 |
Zambian Kwacha 3,577,000 |
Standard Chartered Bank | | (4,122 | ) | (4,122 | ) | ||||||||||
11/6/15 | United States Dollar 654,665 |
Zambian Kwacha 5,096,000 |
Standard Chartered Bank | | (18,478 | ) | (18,478 | ) | ||||||||||
12/16/15 | United States Dollar 555,629 |
Zambian Kwacha 4,395,300 |
Standard Chartered Bank | | (17,551 | ) | (17,551 | ) | ||||||||||
1/13/16 | New Turkish Lira 817,000 |
United States Dollar 296,450 |
BNP Paribas | 14,569 | | 14,569 | ||||||||||||
1/13/16 | New Turkish Lira 1,248,320 |
United States Dollar 443,374 |
BNP Paribas | 12,680 | | 12,680 | ||||||||||||
1/13/16 | New Turkish Lira 461,000 |
United States Dollar 169,348 |
BNP Paribas | 10,295 | | 10,295 | ||||||||||||
1/13/16 | New Turkish Lira 937,000 |
United States Dollar 343,977 |
Standard Chartered Bank | 20,694 | | 20,694 | ||||||||||||
1/13/16 | United States Dollar 1,090,107 |
New Turkish Lira 2,674,000 |
Bank of America, N.A. | | (167,527 | ) | (167,527 | ) | ||||||||||
1/13/16 | United States Dollar 323,293 |
New Turkish Lira 789,320 |
Deutsche Bank AG | | (50,963 | ) | (50,963 | ) | ||||||||||
1/29/16 | Euro 2,525,943 |
Serbian Dinar 323,446,991 |
Citibank, N.A. | 113,023 | | 113,023 | ||||||||||||
1/29/16 | Euro 9,702 |
Serbian Dinar 1,230,075 |
Citibank, N.A. | 324 | | 324 | ||||||||||||
1/29/16 | Euro 246,246 |
Serbian Dinar 30,830,000 |
Deutsche Bank AG | 4,736 | | 4,736 | ||||||||||||
1/29/16 | Euro 5,012 |
Serbian Dinar 635,000 |
Deutsche Bank AG | 164 | | 164 | ||||||||||||
2/10/16 | United States Dollar 560,474 |
Zambian Kwacha 4,497,800 |
Citibank, N.A. | | (24,244 | ) | (24,244 | ) | ||||||||||
3/10/16 | United States Dollar 283,155 |
Zambian Kwacha 2,310,000 |
Standard Chartered Bank | | (11,048 | ) | (11,048 | ) | ||||||||||
3/14/16 | United States Dollar 270,043 |
Zambian Kwacha 2,213,000 |
ICBC Standard Bank plc |
| (9,790 | ) | (9,790 | ) | ||||||||||
3/14/16 | United States Dollar 1,137,077 |
Zambian Kwacha 9,415,000 |
Standard Chartered Bank | | (29,858 | ) | (29,858 | ) | ||||||||||
3/24/16 | United States Dollar 505,214 |
Zambian Kwacha 4,253,900 |
Barclays Bank PLC | | (6,998 | ) | (6,998 | ) | ||||||||||
|
|
|
|
|
|
|||||||||||||
$ | 731,539 | $ | (1,995,088 | ) | $ | (1,263,549 | ) | |||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Counterparty |
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||
LCH.Clearnet | HUF | 80,000 | Pays | 6-month HUF BUBOR | 5.12 | % | 1/16/17 | $ | 22,513 | |||||||||||||
LCH.Clearnet | HUF | 80,000 | Receives | 6-month HUF BUBOR | 7.63 | 1/16/17 | (36,630 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
$ | (14,117 | ) | ||||||||||||||||||||
|
|
HUF | - | Hungarian Forint |
30
Interest Rate Swaps
Counterparty |
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||
Bank of America, N.A. | HUF | 139,000 | Pays | 6-month HUF BUBOR | 5.13 | % | 12/21/16 | $ | 39,290 | |||||||||||||
Bank of America, N.A. | PLN | 838 | Pays | 6-month PLN WIBOR | 4.34 | 7/30/17 | 10,977 | |||||||||||||||
Bank of America, N.A. | PLN | 838 | Receives | 6-month PLN WIBOR | 3.35 | 7/30/17 | (6,708 | ) | ||||||||||||||
Bank of America, N.A. | PLN | 2,560 | Pays | 6-month PLN WIBOR | 3.83 | 11/14/17 | 46,586 | |||||||||||||||
Bank of America, N.A. | PLN | 2,560 | Receives | 6-month PLN WIBOR | 3.61 | 11/14/17 | (42,126 | ) | ||||||||||||||
Bank of America, N.A. | PLN | 2,900 | Receives | 6-month PLN WIBOR | 3.52 | 11/16/17 | (45,581 | ) | ||||||||||||||
Barclays Bank PLC | PLN | 2,900 | Pays | 6-month PLN WIBOR | 3.81 | 11/16/17 | 52,345 | |||||||||||||||
Barclays Bank PLC | PLN | 4,890 | Pays | 6-month PLN WIBOR | 3.82 | 11/19/17 | 88,694 | |||||||||||||||
Barclays Bank PLC | PLN | 4,890 | Receives | 6-month PLN WIBOR | 3.53 | 11/19/17 | (77,202 | ) | ||||||||||||||
BNP Paribas | PLN | 2,147 | Pays | 6-month PLN WIBOR | 4.25 | 8/7/17 | 47,153 | |||||||||||||||
BNP Paribas | PLN | 2,147 | Receives | 6-month PLN WIBOR | 3.60 | 8/7/17 | (36,195 | ) | ||||||||||||||
BNP Paribas | PLN | 400 | Pays | 6-month PLN WIBOR | 3.85 | 11/13/17 | 7,361 | |||||||||||||||
BNP Paribas | PLN | 400 | Receives | 6-month PLN WIBOR | 3.38 | 11/13/17 | (5,896 | ) | ||||||||||||||
Citibank, N.A. | PLN | 2,130 | Pays | 6-month PLN WIBOR | 3.82 | 11/19/17 | 38,484 | |||||||||||||||
Citibank, N.A. | PLN | 2,130 | Receives | 6-month PLN WIBOR | 3.60 | 11/19/17 | (34,829 | ) | ||||||||||||||
Deutsche Bank AG | PLN | 550 | Pays | 6-month PLN WIBOR | 3.79 | 11/16/17 | 9,841 | |||||||||||||||
Deutsche Bank AG | PLN | 550 | Receives | 6-month PLN WIBOR | 3.60 | 11/16/17 | (9,014 | ) | ||||||||||||||
JPMorgan Chase Bank, N.A. | HUF | 139,000 | Receives | 6-month HUF BUBOR | 7.36 | 12/21/16 | (61,280 | ) | ||||||||||||||
JPMorgan Chase Bank, N.A. | HUF | 82,000 | Pays | 6-month HUF BUBOR | 5.09 | 1/20/17 | 22,962 | |||||||||||||||
JPMorgan Chase Bank, N.A. | HUF | 82,000 | Receives | 6-month HUF BUBOR | 7.75 | 1/20/17 | (38,418 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
$ | 6,444 | |||||||||||||||||||||
|
|
HUF |
- | Hungarian Forint | ||
PLN |
- | Polish Zloty |
Credit Default Swaps Buy Protection
Reference Entity | Counterparty |
Notional Amount (000s omitted) |
Contract Annual Fixed Rate* |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
China | Bank of America, N.A. | $ | 500 | 1.00 | %(1) | 3/20/17 | $ | (5,441 | ) | $ | (4,883 | ) | $ | (10,324 | ) | |||||||||||
China | Barclays Bank PLC | 863 | 1.00 | (1) | 3/20/17 | (9,390 | ) | (7,670 | ) | (17,060 | ) | |||||||||||||||
China | Deutsche Bank AG | 316 | 1.00 | (1) | 3/20/17 | (3,438 | ) | (2,669 | ) | (6,107 | ) | |||||||||||||||
China | Deutsche Bank AG | 369 | 1.00 | (1) | 3/20/17 | (4,015 | ) | (3,117 | ) | (7,132 | ) | |||||||||||||||
Croatia | BNP Paribas | 870 | 1.00 | (1) | 12/20/17 | 16,541 | (27,987 | ) | (11,446 | ) | ||||||||||||||||
Croatia | Citibank, N.A. | 1,500 | 1.00 | (1) | 12/20/17 | 28,519 | (47,677 | ) | (19,158 | ) | ||||||||||||||||
Egypt | Bank of America, N.A. | 1,400 | 1.00 | (1) | 9/20/15 | 322 | (1,836 | ) | (1,514 | ) | ||||||||||||||||
Egypt | Citibank, N.A. | 300 | 1.00 | (1) | 6/20/20 | 28,050 | (16,258 | ) | 11,792 | |||||||||||||||||
Egypt | Deutsche Bank AG | 350 | 1.00 | (1) | 6/20/20 | 32,725 | (19,057 | ) | 13,668 | |||||||||||||||||
Egypt | Deutsche Bank AG | 300 | 1.00 | (1) | 6/20/20 | 28,050 | (14,456 | ) | 13,594 | |||||||||||||||||
Egypt | Deutsche Bank AG | 300 | 1.00 | (1) | 6/20/20 | 28,050 | (16,357 | ) | 11,693 | |||||||||||||||||
Guatemala | Citibank, N.A. | 1,286 | 1.00 | (1) | 9/20/20 | 118,578 | (50,755 | ) | 67,823 | |||||||||||||||||
Lebanon | HSBC Bank USA, N.A. | 1,250 | 1.00 | (1) | 12/20/17 | 44,251 | (85,050 | ) | (40,799 | ) | ||||||||||||||||
Thailand | Barclays Bank PLC | 1,900 | 0.97 | 9/20/19 | (11,749 | ) | | (11,749 | ) | |||||||||||||||||
Thailand | Citibank, N.A. | 900 | 0.95 | 9/20/19 | (4,824 | ) | | (4,824 | ) | |||||||||||||||||
Tunisia | Barclays Bank PLC | 350 | 1.00 | (1) | 9/20/17 | 7,760 | (13,758 | ) | (5,998 | ) | ||||||||||||||||
Tunisia | Citibank, N.A. | 360 | 1.00 | (1) | 9/20/17 | 7,982 | (14,830 | ) | (6,848 | ) | ||||||||||||||||
Tunisia | Deutsche Bank AG | 500 | 1.00 | (1) | 6/20/17 | 9,232 | (14,940 | ) | (5,708 | ) | ||||||||||||||||
Tunisia | Goldman Sachs International | 300 | 1.00 | (1) | 9/20/17 | 6,652 | (10,409 | ) | (3,757 | ) | ||||||||||||||||
Tunisia | Nomura International PLC | 400 | 1.00 | (1) | 12/20/17 | 10,958 | (19,551 | ) | (8,593 | ) | ||||||||||||||||
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|
|
|
|
|
|||||||||||||||||||||
$ | 328,813 | $ | (371,260 | ) | $ | (42,447 | ) | |||||||||||||||||||
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|
|
|
|
31
* | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) or paid by the Fund (as a buyer of protection) annually on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
At July 31, 2015, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:
Credit Risk: The Fund enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.
Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts and currency options to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Fund utilizes various interest rate derivatives including interest rate swaps to enhance total return and to seek to hedge against fluctuations in interest rates.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at July 31, 2015 was as follows:
Fair Value | ||||||||||
Risk |
Derivative |
Asset Derivative |
Liability Derivative |
|||||||
Credit | Credit Default Swaps | $ | 367,670 | $ | (38,857 | ) | ||||
|
|
|
|
|||||||
$ | 367,670 | $ | (38,857 | ) | ||||||
|
|
|
|
|||||||
Foreign Exchange | Currency Options Purchased | $ | 49,127 | $ | | |||||
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 731,539 | (1,995,088 | ) | ||||||
|
|
|
|
|||||||
$ | 780,666 | $ | (1,995,088 | ) | ||||||
|
|
|
|
|||||||
Interest Rate | Interest Rate Swaps (Centrally Cleared) | $ | 22,513 | $ | (36,630 | ) | ||||
Interest Rate | Interest Rate Swaps | 363,693 | (357,249 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 386,206 | $ | (393,879 | ) | |||||
|
|
|
|
The cost and unrealized appreciation (depreciation) of investments of the Fund at July 31, 2015, as determined on a federal income tax basis, were as follows:
Aggregate cost |
$ | 400,241,718 | ||
|
|
|||
Gross unrealized appreciation |
$ | 8,297,858 | ||
Gross unrealized depreciation |
(11,324,860 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (3,027,002 | ) | |
|
|
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.
32
At July 31, 2015, the hierarchy of inputs used in valuing the Funds 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 Interests |
$ | | $ | 155,174,011 | $ | 556,394 | $ | 155,730,405 | ||||||||
Collateralized Mortgage Obligations |
| 69,948,503 | | 69,948,503 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 21,564,508 | | 21,564,508 | ||||||||||||
Mortgage Pass-Throughs |
| 66,000,102 | | 66,000,102 | ||||||||||||
Asset-Backed Securities |
| 14,116,917 | | 14,116,917 | ||||||||||||
U.S. Government Agency Obligations |
| 1,500,558 | | 1,500,558 | ||||||||||||
Corporate Bonds & Notes |
| 2,405,067 | | 2,405,067 | ||||||||||||
Foreign Corporate Bonds |
| 630,633 | | 630,633 | ||||||||||||
Foreign Government Bonds |
| 31,754,513 | | 31,754,513 | ||||||||||||
U.S. Treasury Obligations |
| 9,898,440 | | 9,898,440 | ||||||||||||
Common Stocks |
| | 1,284,948 | 1,284,948 | ||||||||||||
Convertible Preferred Stocks |
| 29,233 | | 29,233 | ||||||||||||
Currency Call Options Purchased |
| 49,127 | | 49,127 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Foreign Government Securities |
| 13,116,141 | | 13,116,141 | ||||||||||||
U.S. Treasury Obligations |
| 2,999,787 | | 2,999,787 | ||||||||||||
Other |
| 6,185,834 | | 6,185,834 | ||||||||||||
Total Investments |
$ | | $ | 395,373,374 | $ | 1,841,342 | $ | 397,214,716 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 731,539 | $ | | $ | 731,539 | ||||||||
Swap Contracts |
| 753,876 | | 753,876 | ||||||||||||
Total |
$ | | $ | 396,858,789 | $ | 1,841,342 | $ | 398,700,131 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (1,995,088 | ) | $ | | $ | (1,995,088 | ) | ||||||
Swap Contracts |
| (432,736 | ) | | (432,736 | ) | ||||||||||
Total |
$ | | $ | (2,427,824 | ) | $ | | $ | (2,427,824 | ) |
* | 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 July 31, 2015 is not presented. At July 31, 2015, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
33
Item 2. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrants internal control over financial reporting.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Short Duration Diversified Income Fund
By: | /s/ Payson F. Swaffield | |
Payson F. Swaffield | ||
President | ||
Date: | September 21, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Payson F. Swaffield | |
Payson F. Swaffield | ||
President | ||
Date: | September 21, 2015 |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | September 21, 2015 |