UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-09987
Eaton Vance Floating Rate Portfolio
(Exact Name of Registrant as Specified in Charter)
One Post Office Square, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Deidre E. Walsh
One Post Office Square, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2024
Date of Reporting Period
Item 1. Reports to Stockholders
Asset-Backed Securities — 4.5% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO Ltd.: | |||
Series 2018-1A, Class D, 8.686%, (3 mo. SOFR + 3.362%), 7/20/31(1)(2) | $ | 2,500 | $ 2,504,680 |
Series 2018-1A, Class E, 11.586%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 3,000 | 2,966,955 | |
AMMC CLO XII Ltd., Series 2013-12A, Class ER, 11.743%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 3,525 | 3,441,641 | |
AMMC CLO XV Ltd., Series 2014-15A, Class ERR, 12.50%, (3 mo. SOFR + 7.172%), 1/15/32(1)(2) | 4,000 | 3,848,440 | |
Apidos CLO XX Ltd., Series 2015-20A, Class DR, 11.289%, (3 mo. SOFR + 5.962%), 7/16/31(1)(2) | 2,375 | 2,381,847 | |
ARES Loan Funding II Ltd., Series 2022-ALF2A, Class ER, 13.565%, (3 mo. SOFR + 8.24%), 10/20/36(1)(2) | 1,325 | 1,351,079 | |
ARES LVIII CLO Ltd., Series 2020-58A, Class ER, 12.029%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,997,270 | |
ARES XLIX CLO Ltd., Series 2018-49A, Class D, 8.586%, (3 mo. SOFR + 3.262%), 7/22/30(1)(2) | 2,500 | 2,501,970 | |
ARES XXXIIR CLO Ltd., Series 2014-32RA, Class C, 8.469%, (3 mo. SOFR + 3.162%), 5/15/30(1)(2) | 5,000 | 5,000,845 | |
ARES XXXVR CLO Ltd., Series 2015-35RA, Class E, 11.29%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,000 | 3,955,192 | |
Bain Capital Credit CLO Ltd.: | |||
Series 2018-1A, Class D, 8.288%, (3 mo. SOFR + 2.962%), 4/23/31(1)(2) | 5,000 | 4,919,455 | |
Series 2018-1A, Class E, 10.938%, (3 mo. SOFR + 5.612%), 4/23/31(1)(2) | 3,000 | 2,800,335 | |
Barings CLO Ltd.: | |||
Series 2015-1A, Class DR, 8.186%, (3 mo. SOFR + 2.862%), 1/20/31(1)(2) | 2,500 | 2,499,900 | |
Series 2018-1A, Class C, 8.19%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 3,500 | 3,443,625 | |
Battalion CLO XXII Ltd., Series 2021-22A, Class E, 12.536%, (3 mo. SOFR + 7.212%), 1/20/35(1)(2) | 1,750 | 1,620,600 | |
Battalion CLO XXIII Ltd., Series 2022-23A, Class D, 9.279%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,471,205 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class DR, 11.186%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,401 | 5,345,445 | |
Benefit Street Partners CLO XIV Ltd., Series 2018-14A, Class D, 8.186%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 1,500 | 1,502,513 | |
Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class E, 12.279%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 1,250 | 1,255,481 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XVII Ltd., Series 2019-17A, Class ER, 11.94%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | $ | 1,750 | $ 1,757,921 |
Benefit Street Partners CLO XXII Ltd., Series 2020-22A, Class ER, 12.255%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 1,003,100 | |
Benefit Street Partners CLO XXV Ltd., Series 2021-25A, Class E, 12.44%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 3,000 | 3,008,664 | |
Betony CLO 2 Ltd.: | |||
Series 2018-1A, Class C, 8.491%, (3 mo. SOFR + 3.162%), 4/30/31(1)(2) | 2,500 | 2,501,532 | |
Series 2018-1A, Class D, 11.241%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 2,475 | 2,449,782 | |
BlueMountain CLO Ltd.: | |||
Series 2016-3A, Class DR, 8.669%, (3 mo. SOFR + 3.362%), 11/15/30(1)(2) | 1,500 | 1,483,461 | |
Series 2016-3A, Class ER, 11.519%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,500 | 1,441,254 | |
Series 2018-1A, Class D, 8.641%, (3 mo. SOFR + 3.312%), 7/30/30(1)(2) | 2,500 | 2,442,440 | |
Series 2018-1A, Class E, 11.541%, (3 mo. SOFR + 6.212%), 7/30/30(1)(2) | 2,000 | 1,829,416 | |
BlueMountain CLO XXIV Ltd., Series 2019-24A, Class ER, 12.426%, (3 mo. SOFR + 7.102%), 4/20/34(1)(2) | 1,000 | 980,969 | |
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class ER, 12.716%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 3,000 | 2,946,033 | |
BlueMountain CLO XXX Ltd., Series 2020-30A, Class ER, 12.029%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,955,000 | |
BlueMountain CLO XXXIII Ltd., Series 2021-33A, Class E, 12.411%, (3 mo. SOFR + 7.092%), 11/20/34(1)(2) | 2,500 | 2,485,743 | |
BlueMountain CLO XXXV Ltd., Series 2022-35A, Class E, 13.075%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,978,702 | |
Bryant Park Funding Ltd.: | |||
Series 2023-20A, Class D, 11.419%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 3,500 | 3,573,220 | |
Series 2023-21A, Class D, 10.777%, (3 mo. SOFR + 5.45%), 10/18/36(1)(2) | 3,525 | 3,575,823 | |
Canyon Capital CLO Ltd.: | |||
Series 2012-1RA, Class E, 11.29%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,875 | 4,777,636 | |
Series 2016-1A, Class ER, 11.34%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,923,540 | |
Series 2016-2A, Class ER, 11.59%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 4,500 | 4,444,677 | |
Series 2017-1A, Class E, 11.84%, (3 mo. SOFR + 6.512%), 7/15/30(1)(2) | 3,250 | 3,204,350 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO Ltd.: (continued) | |||
Series 2018-1A, Class D, 8.49%, (3 mo. SOFR + 3.162%), 7/15/31(1)(2) | $ | 3,000 | $ 2,964,834 |
Series 2018-1A, Class E, 11.34%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,750 | 2,701,875 | |
Series 2019-2A, Class ER, 12.34%, (3 mo. SOFR + 7.012%), 10/15/34(1)(2) | 1,500 | 1,468,268 | |
Carlyle C17 CLO Ltd.: | |||
Series C17A, Class CR, 8.379%, (3 mo. SOFR + 3.062%), 4/30/31(1)(2) | 5,000 | 4,968,750 | |
Series C17A, Class DR, 11.579%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,500 | 3,407,106 | |
Carlyle Global Market Strategies CLO Ltd.: | |||
Series 2012-3A, Class CR2, 9.09%, (3 mo. SOFR + 3.762%), 1/14/32(1)(2) | 2,500 | 2,504,097 | |
Series 2012-3A, Class DR2, 12.09%, (3 mo. SOFR + 6.762%), 1/14/32(1)(2) | 1,500 | 1,479,825 | |
Series 2014-3RA, Class C, 8.537%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 1,000 | 984,560 | |
Series 2014-3RA, Class D, 10.987%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,150 | 2,104,841 | |
Series 2014-4RA, Class C, 8.49%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,000 | 1,970,388 | |
Series 2014-4RA, Class D, 11.24%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 1,500 | 1,451,039 | |
Carlyle U.S. CLO Ltd.: | |||
Series 2019-4A, Class DR, 11.929%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,969,790 | |
Series 2022-6A, Class DR, 10.074%, (3 mo. SOFR + 4.75%), 10/25/36(1)(2) | 2,200 | 2,235,961 | |
CarVal CLO IV Ltd., Series 2021-1A, Class E, 12.186%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 1,003,442 | |
CIFC Funding Ltd., Series 2022-4A, Class D, 8.878%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,754,998 | |
Dryden CLO Ltd.: | |||
Series 2018-55A, Class D, 8.44%, (3 mo. SOFR + 3.112%), 4/15/31(1)(2) | 1,500 | 1,468,382 | |
Series 2018-55A, Class E, 10.99%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 2,000 | 1,871,134 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 8.19%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 5,000 | 4,880,890 | |
Series 2015-41A, Class ER, 10.89%, (3 mo. SOFR + 5.562%), 4/15/31(1)(2) | 1,268 | 1,164,014 | |
Series 2016-42A, Class DR, 8.52%, (3 mo. SOFR + 3.192%), 7/15/30(1)(2) | 2,500 | 2,487,423 | |
Series 2016-42A, Class ER, 11.14%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 3,500 | 3,311,444 | |
Elmwood CLO 17 Ltd., Series 2022-4A, Class E, 12.467%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,250 | 2,267,053 | |
Golub Capital Partners CLO 53B Ltd., Series 2021-53A, Class E, 12.286%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,250 | 1,253,823 |
Security | Principal Amount (000's omitted) | Value | |
Golub Capital Partners CLO 58B Ltd., Series 2021-58A, Class E, 12.395%, (3 mo. SOFR + 7.072%), 1/25/35(1)(2) | $ | 2,500 | $ 2,507,357 |
HalseyPoint CLO 5 Ltd., Series 2021-5A, Class E, 12.531%, (3 mo. SOFR + 7.202%), 1/30/35(1)(2) | 2,000 | 1,960,532 | |
Harriman Park CLO Ltd., Series 2020-1A, Class ER, 11.986%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 1,004,415 | |
ICG U.S. CLO Ltd.: | |||
Series 2018-2A, Class D, 8.686%, (3 mo. SOFR + 3.362%), 7/22/31(1)(2) | 2,000 | 1,992,268 | |
Series 2018-2A, Class E, 11.336%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 3,000 | 2,727,978 | |
Madison Park Funding LIX Ltd., Series 2021-59A, Class E, 12.189%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 1,450 | 1,454,598 | |
Madison Park Funding XXXVI Ltd., Series 2019-36A, Class ER, 12.379%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,508,510 | |
Marble Point CLO XXIV Ltd., Series 2022-1A, Class D1, 9.565%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,951,146 | |
Neuberger Berman CLO XXII Ltd.: | |||
Series 2016-22A, Class DR, 8.679%, (3 mo. SOFR + 3.362%), 10/17/30(1)(2) | 2,500 | 2,504,072 | |
Series 2016-22A, Class ER, 11.639%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 3,000 | 3,008,283 | |
Neuberger Berman Loan Advisers CLO 28 Ltd., Series 2018-28A, Class E, 11.186%, (3 mo. SOFR + 5.862%), 4/20/30(1)(2) | 1,950 | 1,955,552 | |
Neuberger Berman Loan Advisers CLO 30 Ltd., Series 2018-30A, Class ER, 11.786%, (3 mo. SOFR + 6.462%), 1/20/31(1)(2) | 1,000 | 1,003,245 | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2022-48A, Class E, 11.824%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 3,200 | 3,208,822 | |
OCP CLO Ltd.: | |||
Series 2022-24A, Class D, 9.125%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 500,819 | |
Series 2022-24A, Class E, 12.745%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 1,002,958 | |
Palmer Square CLO Ltd.: | |||
Series 2013-2A, Class DRR, 11.429%, (3 mo. SOFR + 6.112%), 10/17/31(1)(2) | 1,325 | 1,328,521 | |
Series 2015-1A, Class DR4, 12.076%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 2,005,212 | |
Series 2021-2A, Class E, 11.94%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 1,002,878 | |
RAD CLO 5 Ltd., Series 2019-5A, Class E, 12.285%, (3 mo. SOFR + 6.962%), 7/24/32(1)(2) | 1,250 | 1,241,879 | |
RAD CLO 14 Ltd., Series 2021-14A, Class E, 12.09%, (3 mo. SOFR + 6.762%), 1/15/35(1)(2) | 950 | 952,731 |
Security | Principal Amount (000's omitted) | Value | |
Regatta XIII Funding Ltd.: | |||
Series 2018-2A, Class C, 8.69%, (3 mo. SOFR + 3.362%), 7/15/31(1)(2) | $ | 2,500 | $ 2,504,845 |
Series 2018-2A, Class D, 11.54%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 5,000 | 4,695,815 | |
Regatta XIV Funding Ltd.: | |||
Series 2018-3A, Class D, 8.785%, (3 mo. SOFR + 3.462%), 10/25/31(1)(2) | 2,500 | 2,505,320 | |
Series 2018-3A, Class E, 11.535%, (3 mo. SOFR + 6.212%), 10/25/31(1)(2) | 2,000 | 1,972,744 | |
Regatta XV Funding Ltd., Series 2018-4A, Class D, 12.085%, (3 mo. SOFR + 6.762%), 10/25/31(1)(2) | 2,875 | 2,852,443 | |
Upland CLO Ltd.: | |||
Series 2016-1A, Class CR, 8.486%, (3 mo. SOFR + 3.162%), 4/20/31(1)(2) | 4,500 | 4,505,679 | |
Series 2016-1A, Class DR, 11.486%, (3 mo. SOFR + 6.162%), 4/20/31(1)(2) | 2,125 | 2,099,173 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.786%, (3 mo. SOFR + 3.462%), 7/20/31(1)(2) | 2,500 | 2,493,255 | |
Series 2018-9A, Class D, 11.836%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 3,500 | 3,295,351 | |
Voya CLO Ltd.: | |||
Series 2015-3A, Class CR, 8.736%, (3 mo. SOFR + 3.412%), 10/20/31(1)(2) | 2,500 | 2,433,613 | |
Series 2015-3A, Class DR, 11.786%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 5,500 | 4,921,092 | |
Series 2016-3A, Class CR, 8.839%, (3 mo. SOFR + 3.512%), 10/18/31(1)(2) | 2,000 | 1,969,078 | |
Series 2016-3A, Class DR, 11.669%, (3 mo. SOFR + 6.342%), 10/18/31(1)(2) | 2,375 | 2,322,622 | |
Series 2018-2A, Class E, 10.84%, (3 mo. SOFR + 5.512%), 7/15/31(1)(2) | 2,500 | 2,297,605 | |
Webster Park CLO Ltd.: | |||
Series 2015-1A, Class CR, 8.486%, (3 mo. SOFR + 3.162%), 7/20/30(1)(2) | 2,000 | 2,002,116 | |
Series 2015-1A, Class DR, 11.086%, (3 mo. SOFR + 5.762%), 7/20/30(1)(2) | 2,500 | 2,469,478 | |
Wellfleet CLO Ltd.: | |||
Series 2021-1A, Class D, 9.086%, (3 mo. SOFR + 3.762%), 4/20/34(1)(2) | 1,200 | 1,171,381 | |
Series 2021-3A, Class E, 12.69%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 950 | 898,904 | |
Series 2022-1A, Class D, 9.469%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 996,488 | |
Series 2022-1A, Class E, 13.189%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,997,284 | |
Total Asset-Backed Securities (identified cost $252,088,878) | $ 248,471,740 |
Common Stocks — 0.9% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Worldwide Services LLC(3)(4)(5)(6) | 950 | $ 0 | |
IAP Worldwide Services LLC(3)(4)(5) | 1,627 | 0 | |
$ 0 | |||
Chemicals — 0.0% | |||
Flint Campfire Topco Ltd., Class A(4)(5)(6) | 3,812,783 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.1% | |||
Monitronics International, Inc.(5)(6) | 223,950 | $ 4,702,950 | |
Phoenix Services International LLC(5)(6) | 168,954 | 865,889 | |
Phoenix Services International LLC(5)(6) | 15,415 | 79,002 | |
$ 5,647,841 | |||
Containers and Glass Products — 0.0%(7) | |||
LG Parent Holding Co.(5)(6) | 250,979 | $ 1,419,587 | |
$ 1,419,587 | |||
Electronics/Electrical — 0.0%(7) | |||
Skillsoft Corp.(5)(6) | 44,676 | $ 321,220 | |
$ 321,220 | |||
Entertainment — 0.0%(7) | |||
New Cineworld Ltd.(5)(6) | 80,602 | $ 1,546,551 | |
$ 1,546,551 | |||
Health Care — 0.1% | |||
Akorn Holding Co. LLC(4)(5)(6) | 705,631 | $ 0 | |
Envision Parent, Inc.(5)(6) | 778,264 | 5,496,490 | |
$ 5,496,490 | |||
Household Durables — 0.2% | |||
Serta Simmons Bedding, Inc.(5)(6) | 1,348,933 | $ 9,554,897 | |
Serta SSB Equipment Co.(4)(5)(6) | 1,348,933 | 0 | |
$ 9,554,897 | |||
Investment Companies — 0.0%(7) | |||
Aegletes BV(5)(6) | 116,244 | $ 241,788 | |
$ 241,788 |
Security | Shares | Value | |
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., Class A(5)(6) | 141,193 | $ 11,736,668 | |
$ 11,736,668 | |||
Oil and Gas — 0.0%(7) | |||
AFG Holdings, Inc.(4)(5)(6) | 498,342 | $ 1,021,601 | |
McDermott International Ltd.(5)(6) | 1,013,850 | 255,186 | |
$ 1,276,787 | |||
Pharmaceuticals — 0.3% | |||
Covis Midco 1 SARL, Class A(5)(6) | 8,008 | $ 4,084 | |
Covis Midco 1 SARL, Class B(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 SARL, Class C(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 SARL, Class D(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 SARL, Class E(5)(6) | 8,008 | 4,084 | |
Mallinckrodt International Finance SA(5)(6) | 250,308 | 13,203,747 | |
$ 13,224,167 | |||
Retail — 0.0% | |||
Jubilee Enterprise PCL, Class A1(4)(5)(6) | 2,897 | $ 0 | |
Jubilee Enterprise PCL, Class A2(4)(5)(6) | 2,314,594 | 0 | |
$ 0 | |||
Retailers (Except Food and Drug) — 0.0%(7) | |||
Phillips Feed Service, Inc.(4)(5)(6) | 2,590 | $ 3,704 | |
$ 3,704 | |||
Telecommunications — 0.0% | |||
GEE Acquisition Holdings Corp.(4)(5)(6) | 364,650 | $ 0 | |
$ 0 | |||
Utilities — 0.0%(7) | |||
Longview Intermediate Holdings LLC, Class A(6) | 149,459 | $ 411,012 | |
$ 411,012 | |||
Total Common Stocks (identified cost $97,591,740) | $ 50,880,712 |
Corporate Bonds — 9.4% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.4% | |||
TransDigm, Inc.: | |||
6.75%, 8/15/28(1) | 3,175 | $ 3,192,460 |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
TransDigm, Inc.: (continued) | |||
6.875%, 12/15/30(1) | 17,000 | $ 17,131,740 | |
$ 20,324,200 | |||
Air Transport — 0.5% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.: | |||
5.50%, 4/20/26(1) | 8,117 | $ 8,029,975 | |
5.75%, 4/20/29(1) | 12,875 | 12,444,495 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 4,625 | 4,452,970 | |
4.625%, 4/15/29(1) | 4,625 | 4,267,207 | |
$ 29,194,647 | |||
Automotive — 0.1% | |||
Adient Global Holdings Ltd., 7.00%, 4/15/28(1) | 2,175 | $ 2,199,569 | |
Clarios Global LP, 6.75%, 5/15/25(1) | 1,890 | 1,892,433 | |
Clarios Global LP/Clarios U.S. Finance Co., 6.25%, 5/15/26(1) | 3,893 | 3,891,883 | |
$ 7,983,885 | |||
Building and Development — 0.1% | |||
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, 6.75%, 4/1/32(1) | 4,075 | $ 4,049,538 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 900 | 881,841 | |
$ 4,931,379 | |||
Business Equipment and Services — 0.3% | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 853 | $ 851,611 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL: | |||
4.625%, 6/1/28(1) | 4,475 | 4,019,032 | |
4.625%, 6/1/28(1) | 15,725 | 14,142,112 | |
$ 19,012,755 | |||
Chemicals — 0.5% | |||
INEOS Finance PLC: | |||
3.375%, 3/31/26(1) | EUR | 1,250 | $ 1,310,231 |
7.50%, 4/15/29(1) | 7,425 | 7,468,815 | |
Olympus Water U.S. Holding Corp.: | |||
4.25%, 10/1/28(1) | 9,350 | 8,434,824 | |
7.125%, 10/1/27(1) | 925 | 937,732 | |
9.75%, 11/15/28(1) | 8,600 | 9,136,370 | |
$ 27,287,972 |
Security | Principal Amount* (000's omitted) | Value | |
Commercial Services — 0.4% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 15,300 | $ 14,455,834 | |
Wand NewCo 3, Inc., 7.625%, 1/30/32(1) | 5,250 | 5,341,589 | |
$ 19,797,423 | |||
Containers & Packaging — 0.2% | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC: | |||
4.00%, 10/15/27(1) | 5,150 | $ 4,783,246 | |
4.375%, 10/15/28(1) | 6,625 | 6,103,805 | |
$ 10,887,051 | |||
Diversified Financial Services — 0.3% | |||
AG Issuer LLC, 6.25%, 3/1/28(1) | 8,075 | $ 7,824,889 | |
AG TTMT Escrow Issuer LLC, 8.625%, 9/30/27(1) | 2,925 | 3,015,909 | |
Aretec Group, Inc., 10.00%, 8/15/30(1) | 4,225 | 4,594,511 | |
$ 15,435,309 | |||
Diversified Telecommunication Services — 0.7% | |||
Altice France SA: | |||
5.125%, 1/15/29(1) | 1,300 | $ 850,656 | |
5.125%, 7/15/29(1) | 28,050 | 18,311,475 | |
5.50%, 10/15/29(1) | 6,455 | 4,232,994 | |
Level 3 Financing, Inc., 10.75%, 12/15/30(1) | 11,225 | 11,302,940 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 6,500 | 5,490,415 | |
$ 40,188,480 | |||
Drugs — 0.2% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 9,150 | $ 8,333,751 | |
$ 8,333,751 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 5,300 | $ 5,228,801 | |
$ 5,228,801 | |||
Electronics/Electrical — 0.3% | |||
Imola Merger Corp., 4.75%, 5/15/29(1) | 18,175 | $ 16,750,458 | |
$ 16,750,458 | |||
Engineering & Construction — 0.0%(7) | |||
Artera Services LLC, 8.50%, 2/15/31(1) | 1,175 | $ 1,203,240 | |
$ 1,203,240 |
Security | Principal Amount* (000's omitted) | Value | |
Entertainment — 0.1% | |||
Caesars Entertainment, Inc., 6.50%, 2/15/32(1) | 3,925 | $ 3,869,768 | |
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,075 | 1,885,935 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,070 | 1,073,132 | |
$ 6,828,835 | |||
Health Care — 0.5% | |||
Medline Borrower LP, 3.875%, 4/1/29(1) | 22,800 | $ 20,448,090 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 7,950 | 7,289,005 | |
$ 27,737,095 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 34,575 | $ 31,635,971 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,125 | 2,125,000 | |
$ 33,760,971 | |||
Household Products — 0.2% | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 14,212 | $ 13,745,513 | |
$ 13,745,513 | |||
Insurance — 0.6% | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27(1) | 700 | $ 653,525 | |
AmWINS Group, Inc., 6.375%, 2/15/29(1) | 5,850 | 5,782,826 | |
Panther Escrow Issuer LLC, 7.125%, 6/1/31(1) | 27,325 | 27,484,200 | |
$ 33,920,551 | |||
Internet Software & Services — 0.3% | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 13,700 | $ 13,859,331 | |
$ 13,859,331 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions LLC, 6.75%, 2/15/27(1) | 3,300 | $ 3,271,843 | |
NCL Corp. Ltd., 5.875%, 2/15/27(1) | 22,000 | 21,507,078 | |
$ 24,778,921 | |||
Machinery — 0.3% | |||
Madison IAQ LLC, 4.125%, 6/30/28(1) | 13,400 | $ 12,442,437 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 7,150 | 6,847,043 | |
$ 19,289,480 |
Security | Principal Amount* (000's omitted) | Value | |
Media — 0.3% | |||
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,550 | $ 1,823,150 | |
5.25%, 8/15/27(1) | 2,125 | 1,560,950 | |
6.375%, 5/1/26 | 2,896 | 2,449,792 | |
Univision Communications, Inc., 4.50%, 5/1/29(1) | 9,125 | 7,946,110 | |
$ 13,780,002 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corp., 7.00%, 6/15/25(1) | 10,525 | $ 10,522,051 | |
$ 10,522,051 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 5,525 | $ 4,785,296 | |
$ 4,785,296 | |||
Real Estate Investment Trusts (REITs) — 0.2% | |||
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 5/15/28(1) | 6,393 | $ 6,308,352 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.875%, 10/1/28(1) | 6,425 | 6,245,003 | |
$ 12,553,355 | |||
Retail — 0.3% | |||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 15,580 | $ 14,106,789 | |
$ 14,106,789 | |||
Retailers (Except Food and Drug) — 0.0%(7) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,300 | $ 1,201,062 | |
$ 1,201,062 | |||
Software — 0.7% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,225 | $ 4,232,739 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 13,600 | 13,096,667 | |
GoTo Group, Inc.: | |||
5.50%, 5/1/28(1) | 4,842 | 4,143,300 | |
5.50%, 5/1/28(1) | 4,842 | 3,250,498 | |
UKG, Inc., 6.875%, 2/1/31(1) | 7,850 | 7,869,905 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/1/25(1) | 4,900 | 4,462,153 | |
$ 37,055,262 |
Security | Principal Amount* (000's omitted) | Value | |
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 11,400 | $ 10,391,095 | |
$ 10,391,095 | |||
Telecommunications — 0.2% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 6,075 | $ 5,079,799 | |
VMED O2 U.K. Financing I PLC, 4.25%, 1/31/31(1) | 5,550 | 4,538,788 | |
$ 9,618,587 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel Intermediate Holdings Ltd./Digicel International Finance Ltd./DIFL U.S., 10.50%, (9.00% cash, 1.50% PIK), 5/25/27 | 6,327 | $ 6,141,837 | |
$ 6,141,837 | |||
Total Corporate Bonds (identified cost $553,255,645) | $ 520,635,384 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 426,000 | $ 17,883,480 | |
Total Exchange-Traded Funds (identified cost $19,593,026) | $ 17,883,480 |
Senior Floating-Rate Loans — 81.8%(8) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.5% | |||
Aernnova Aerospace SAU: | |||
Term Loan, 6.902%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,194 | $ 1,268,798 |
Term Loan, 6.952%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,656 | 4,948,311 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 8.816%, (SOFR + 3.50%), 8/24/28 | 24,068 | 24,207,950 | |
Term Loan, 8.816%, (SOFR + 3.50%), 8/24/28 | 9,280 | 9,333,963 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23(4) | 6,709 | 5,330,664 | |
TransDigm, Inc.: | |||
Term Loan, 8.059%, (SOFR + 2.75%), 8/24/28 | 9,252 | 9,310,475 | |
Term Loan, 8.059%, (SOFR + 2.75%), 2/22/30 | 27,474 | 27,627,260 | |
$ 82,027,421 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Airlines — 0.4% | |||
American Airlines, Inc., Term Loan, 10.336%, (SOFR + 4.75%), 4/20/28 | 22,100 | $ 23,015,382 | |
$ 23,015,382 | |||
Apparel & Luxury Goods — 0.5% | |||
Gloves Buyer, Inc., Term Loan, 9.43%, (SOFR + 4.00%), 12/29/27 | 12,060 | $ 12,089,787 | |
Hanesbrands, Inc., Term Loan, 9.066%, (SOFR + 3.75%), 3/8/30 | 4,529 | 4,540,573 | |
Touchdown Acquirer, Inc.: | |||
Term Loan, 0.00%, 2/21/31(9) | 1,600 | 1,609,000 | |
Term Loan, 7.929%, (3 mo. EURIBOR + 4.00%), 2/21/31 | EUR | 3,825 | 4,085,443 |
Term Loan, 9.314%, (SOFR + 4.00%), 2/21/31 | 7,425 | 7,466,766 | |
$ 29,791,569 | |||
Auto Components — 1.8% | |||
Adient U.S. LLC, Term Loan, 8.066%, (SOFR + 2.75%), 1/31/31 | 6,473 | $ 6,509,229 | |
Autokiniton U.S. Holdings, Inc., Term Loan, 9.43%, (SOFR + 4.00%), 4/6/28 | 20,474 | 20,598,327 | |
Clarios Global LP, Term Loan, 7.098%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 16,490 | 17,647,090 |
DexKo Global, Inc.: | |||
Term Loan, 7.902%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,272 | 3,454,765 |
Term Loan, 7.902%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 7,303 | 7,712,382 |
Term Loan, 9.321%, (SOFR + 3.75%), 10/4/28 | 9,319 | 9,264,739 | |
Garrett Motion, Inc., Term Loan, 9.83%, (SOFR + 4.50%), 4/30/28 | 6,714 | 6,747,857 | |
LSF12 Badger Bidco LLC, Term Loan, 11.316%, (SOFR + 6.00%), 8/30/30 | 3,092 | 3,111,577 | |
LTI Holdings, Inc., Term Loan, 10.18%, (SOFR + 4.75%), 7/24/26 | 7,007 | 6,941,132 | |
RealTruck Group, Inc.: | |||
Term Loan, 8.93%, (SOFR + 3.50%), 1/31/28 | 11,450 | 11,383,465 | |
Term Loan, 10.43%, (SOFR + 5.00%), 1/31/28 | 7,125 | 7,104,216 | |
$ 100,474,779 | |||
Automobiles — 0.6% | |||
Bombardier Recreational Products, Inc., Term Loan, 8.066%, (SOFR + 2.75%), 1/22/31 | 17,028 | $ 17,054,857 | |
MajorDrive Holdings IV LLC: | |||
Term Loan, 9.571%, (SOFR + 4.00%), 6/1/28 | 14,817 | 14,900,278 | |
Term Loan, 10.959%, (SOFR + 5.50%), 6/1/29 | 2,130 | 2,146,838 | |
$ 34,101,973 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Beverages — 0.7% | |||
City Brewing Co. LLC: | |||
Term Loan, 9.09%, (SOFR + 3.50%), 4/5/28 | 6,994 | $ 6,434,269 | |
Term Loan, 11.574%, (SOFR + 6.25%), 4/5/28 | 4,781 | 4,768,985 | |
Term Loan - Second Lien, 10.59%, (SOFR + 5.00%), 9.09% cash, 1.50% PIK, 4/5/28 | 7,744 | 5,652,953 | |
Triton Water Holdings, Inc., Term Loan, 8.814%, (SOFR + 3.25%), 3/31/28 | 21,049 | 20,982,922 | |
$ 37,839,129 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.93%, (SOFR + 2.50%), 3/12/26 | 18,084 | $ 18,174,703 | |
Alltech, Inc., Term Loan, 9.43%, (SOFR + 4.00%), 10/13/28 | 4,712 | 4,688,596 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.459%, (SOFR + 2.00%), 11/15/27 | 4,417 | 4,327,220 | |
$ 27,190,519 | |||
Building Products — 0.6% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.671%, (SOFR + 3.25%), 4/12/28 | 6,025 | $ 5,917,178 | |
CPG International, Inc., Term Loan, 7.916%, (SOFR + 2.50%), 4/28/29 | 5,589 | 5,604,695 | |
LHS Borrower LLC, Term Loan, 10.166%, (SOFR + 4.75%), 2/16/29 | 5,797 | 5,605,684 | |
MI Windows and Doors LLC, Term Loan, 8.816%, (SOFR + 3.50%), 3/28/31 | 12,400 | 12,471,300 | |
Oscar AcquisitionCo LLC, Term Loan, 9.902%, (SOFR + 4.50%), 4/29/29 | 1,590 | 1,598,245 | |
Standard Industries, Inc., Term Loan, 7.68%, (SOFR + 2.25%), 9/22/28 | 3,788 | 3,802,109 | |
$ 34,999,211 | |||
Capital Markets — 4.1% | |||
Advisor Group, Inc., Term Loan, 9.816%, (SOFR + 4.50%), 8/17/28 | 22,170 | $ 22,317,739 | |
AllSpring Buyer LLC, Term Loan, 8.677%, (SOFR + 3.25%), 11/1/28 | 6,188 | 6,177,910 | |
Aretec Group, Inc., Term Loan, 9.916%, (SOFR + 4.50%), 8/9/30 | 26,992 | 27,157,280 | |
CeramTec AcquiCo GmbH, Term Loan, 7.452%, (3 mo. EURIBOR + 3.50%), 3/16/29 | EUR | 12,779 | 13,620,729 |
Citco Funding LLC, Term Loan, 8.422%, (SOFR + 3.25%), 4/27/28 | 8,134 | 8,173,104 | |
Edelman Financial Center LLC: | |||
Term Loan, 8.93%, (SOFR + 3.50%), 4/7/28 | 18,804 | 18,834,104 | |
Term Loan - Second Lien, 7/20/26(10) | 3,300 | 3,319,153 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
EIG Management Co. LLC, Term Loan, 9.166%, (SOFR + 3.75%), 2/22/25 | 2,844 | $ 2,841,723 | |
FinCo I LLC, Term Loan, 8.33%, (SOFR + 3.00%), 6/27/29 | 12,754 | 12,805,430 | |
Focus Financial Partners LLC: | |||
Term Loan, 7.816%, (SOFR + 2.50%), 6/30/28 | 9,827 | 9,827,544 | |
Term Loan, 8.066%, (SOFR + 2.75%), 6/30/28 | 28,395 | 28,424,855 | |
Franklin Square Holdings LP, Term Loan, 7.568%, (SOFR + 2.25%), 4/25/31 | 9,825 | 9,831,141 | |
Guggenheim Partners LLC, Term Loan, 8.552%, (SOFR + 3.25%), 12/12/29 | 19,133 | 19,255,000 | |
HighTower Holdings LLC, Term Loan, 9.586%, (SOFR + 4.00%), 4/21/28 | 2,661 | 2,677,986 | |
Kestra Advisor Services Holdings A, Inc., Term Loan, 9.316%, (SOFR + 4.00%), 3/22/31 | 6,275 | 6,313,240 | |
LPL Holdings, Inc., Term Loan, 7.179%, (SOFR + 1.75%), 11/12/26 | 10,729 | 10,746,859 | |
Mariner Wealth Advisors LLC, Term Loan, 8.68%, (SOFR + 3.25%), 8/18/28 | 13,383 | 13,399,736 | |
Press Ganey Holdings, Inc., Term Loan, 4/24/31(10) | 6,200 | 6,188,375 | |
Victory Capital Holdings, Inc., Term Loan, 7.652%, (SOFR + 2.25%), 12/29/28 | 6,839 | 6,843,198 | |
$ 228,755,106 | |||
Chemicals — 4.4% | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.33%, (SOFR + 2.00%), 12/20/29 | 16,873 | $ 16,937,107 | |
CPC Acquisition Corp., Term Loan, 9.321%, (SOFR + 3.75%), 12/29/27 | 14,714 | 12,488,403 | |
ECO Services Operations Corp., Term Loan, 7.93%, (SOFR + 2.50%), 6/9/28 | 8,623 | 8,629,362 | |
Flint Group Midco Ltd., Term Loan, 10.588%, (SOFR + 5.26%), 9.838% cash, 0.75% PIK, 12/31/26 | 5,001 | 4,790,576 | |
Flint Group Packaging INKS North America Holdings LLC: | |||
Term Loan, 8.892%, (3 mo. EURIBOR + 5.00%), 8.142% cash, 0.75% PIK, 12/31/26 | EUR | 1,552 | 1,586,565 |
Term Loan, 10.892%, (3 mo. EURIBOR + 7.00%), 3.992% cash, 6.90% PIK, 12/30/27 | EUR | 792 | 699,802 |
Term Loan - Second Lien, 10.892%, (3 mo. EURIBOR + 7.00%), 3.992% cash, 6.90% PIK, 12/30/27 | EUR | 1,055 | 175,651 |
Flint Group Topco Ltd.: | |||
Term Loan, 12.588%, (SOFR + 7.262%), 5.688% cash, 6.90% PIK, 12/31/27 | 2,586 | 2,140,290 | |
Term Loan - Second Lien, 12.588%, (SOFR + 7.262%), 5.688% cash, 6.90% PIK, 12/31/27 | 3,391 | 528,973 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Gemini HDPE LLC, Term Loan, 8.591%, (SOFR + 3.00%), 12/31/27 | 4,571 | $ 4,579,945 | |
GEON Performance Solutions LLC, Term Loan, 10.314%, (SOFR + 4.75%), 8/18/28 | 5,631 | 5,655,980 | |
Groupe Solmax, Inc., Term Loan, 10.252%, (SOFR + 4.75%), 5/29/28(11) | 9,344 | 9,221,051 | |
INEOS Enterprises Holdings II Ltd., Term Loan, 7.952%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 1,975 | 2,115,625 |
INEOS Enterprises Holdings U.S. Finco LLC, Term Loan, 9.193%, (SOFR + 3.75%), 7/8/30 | 10,898 | 10,938,554 | |
INEOS Finance PLC: | |||
Term Loan, 6.598%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 8,900 | 9,460,093 |
Term Loan, 7.848%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 6,200 | 6,639,287 |
INEOS Quattro Holdings U.K. Ltd.: | |||
Term Loan, 6.598%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 1,290 | 1,378,295 |
Term Loan, 7.848%, (1 mo. EURIBOR + 4.00%), 3/14/30 | EUR | 3,300 | 3,496,606 |
Term Loan, 9.18%, (SOFR + 3.75%), 3/14/30 | 4,963 | 4,959,399 | |
INEOS U.S. Finance LLC: | |||
Term Loan, 8.916%, (SOFR + 3.50%), 2/18/30 | 20,549 | 20,613,285 | |
Term Loan, 9.066%, (SOFR + 3.75%), 2/7/31 | 5,275 | 5,298,078 | |
Term Loan, 9.166%, (SOFR + 3.75%), 11/8/27 | 2,624 | 2,631,229 | |
Kraton Corp., Term Loan, 8.841%, (SOFR + 3.25%), 3/15/29 | 5,586 | 5,374,782 | |
Kraton Polymers Holdings BV, Term Loan, 7.188%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 4,250 | 4,395,280 |
Lonza Group AG: | |||
Term Loan, 7.827%, (3 mo. EURIBOR + 3.93%), 7/3/28 | EUR | 4,600 | 4,595,287 |
Term Loan, 9.334%, (SOFR + 3.93%), 7/3/28 | 10,712 | 10,293,543 | |
Momentive Performance Materials, Inc., Term Loan, 9.817%, (SOFR + 4.50%), 3/29/28 | 21,477 | 21,382,923 | |
Olympus Water U.S. Holding Corp.: | |||
Term Loan, 9.321%, (SOFR + 3.75%), 11/9/28 | 3,927 | 3,940,057 | |
Term Loan, 9.576%, (SOFR + 4.25%), 11/9/28 | 5,317 | 5,341,896 | |
Orion Engineered Carbons GmbH, Term Loan, 6.302%, (3 mo. EURIBOR + 2.40%), 9/24/28 | EUR | 1,250 | 1,318,159 |
Rohm Holding GmbH: | |||
Term Loan, 8.366%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 1,000 | 1,011,840 |
Term Loan, 8.366%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 10,800 | 10,927,867 |
Term Loan, 10.581%, (SOFR + 5.00%), 7/31/26 | 13,712 | 12,957,530 | |
SCUR-Alpha 1503 GmbH, Term Loan, 10.83%, (SOFR + 5.50%), 3/29/30 | 8,437 | 7,825,626 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Tronox Finance LLC: | |||
Term Loan, 8.041%, (SOFR + 2.50%), 3/10/28(11) | 11,570 | $ 11,583,144 | |
Term Loan, 8.552%, (SOFR + 3.25%), 4/4/29 | 3,602 | 3,612,193 | |
Term Loan, 8.816%, (SOFR + 3.50%), 8/16/28 | 5,062 | 5,079,185 | |
$ 244,603,468 | |||
Commercial Services & Supplies — 1.6% | |||
Albion Financing 3 SARL: | |||
Term Loan, 10.575%, (SOFR + 5.25%), 8/17/26 | 3,444 | $ 3,467,885 | |
Term Loan, 10.824%, (SOFR + 5.50%), 8/17/26 | 3,490 | 3,511,561 | |
Belfor Holdings, Inc., Term Loan, 9.066%, (SOFR + 3.75%), 11/1/30 | 6,176 | 6,202,344 | |
EnergySolutions LLC, Term Loan, 9.316%, (SOFR + 4.00%), 9/20/30 | 16,227 | 16,313,222 | |
Foundever Group, Term Loan, 7.60%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 3,925 | 3,436,092 |
Foundever Worldwide Corp., Term Loan, 9.18%, (SOFR + 3.75%), 8/28/28 | 16,373 | 12,738,702 | |
GFL Environmental, Inc., Term Loan, 7.826%, (SOFR + 2.50%), 5/31/27 | 4,259 | 4,282,451 | |
Harsco Corp., Term Loan, 7.68%, (SOFR + 2.25%), 3/10/28 | 881 | 880,020 | |
Heritage-Crystal Clean, Inc., Term Loan, 9.816%, (SOFR + 4.50%), 10/17/30 | 7,307 | 7,335,227 | |
Monitronics International, Inc., Term Loan, 13.091%, (SOFR + 7.50%), 6/30/28 | 12,281 | 12,265,368 | |
Phoenix Services International LLC, Term Loan, 11.418%, (SOFR + 6.10%), 6/30/28 | 2,063 | 1,928,567 | |
Tempo Acquisition LLC, Term Loan, 8.066%, (SOFR + 2.75%), 8/31/28 | 2,450 | 2,460,001 | |
TMF Group Holding BV, Term Loan, 9.306%, (SOFR + 4.00%), 5/3/28 | 4,638 | 4,661,567 | |
TruGreen LP, Term Loan, 9.416%, (SOFR + 4.00%), 11/2/27 | 8,356 | 8,048,859 | |
$ 87,531,866 | |||
Construction Materials — 0.5% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 7.569%, (SOFR + 2.25%), 3/19/29 | 20,517 | $ 20,547,124 | |
Term Loan, 7.819%, (SOFR + 2.50%), 4/14/31 | 5,394 | 5,404,882 | |
U.S. Silica Co., Term Loan, 9.316%, (SOFR + 4.00%), 3/25/30 | 3,242 | 3,247,887 | |
$ 29,199,893 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Consumer Staples Distribution & Retail — 0.4% | |||
Cardenas Markets, Inc., Term Loan, 12.159%, (SOFR + 6.75%), 8/1/29 | 4,133 | $ 4,161,087 | |
Peer Holding III BV: | |||
Term Loan, 7.652%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 5,725 | 6,141,799 |
Term Loan, 8.559%, (SOFR + 3.25%), 10/28/30 | 11,475 | 11,529,988 | |
$ 21,832,874 | |||
Containers & Packaging — 1.1% | |||
Berlin Packaging LLC, Term Loan, 9.197%, (SOFR + 3.75%), 3/11/28(11) | 2,887 | $ 2,891,980 | |
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.091%, (SOFR + 3.68%), 4/13/29 | 12,892 | 12,960,111 | |
Kouti BV, Term Loan, 7.127%, (3 mo. EURIBOR + 3.18%), 8/31/28 | EUR | 24,250 | 25,636,992 |
Pretium Packaging LLC, Term Loan - Second Lien, 11.309%, (SOFR + 6.00%), 9.906% cash, 1.403% PIK, 10/2/28 | 2,480 | 2,196,061 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.334%, (SOFR + 6.75%), 10/1/29 | 6,675 | 4,113,469 | |
Proampac PG Borrower LLC, Term Loan, 9.326%, (SOFR + 4.00%), 9/15/28(11) | 11,795 | 11,851,961 | |
$ 59,650,574 | |||
Distributors — 0.5% | |||
CD&R Hydra Buyer, Inc., Term Loan, 9.42%, (SOFR + 4.00%), 3/25/31 | 8,350 | $ 8,426,979 | |
Parts Europe SA, Term Loan, 7.647%, (3 mo. EURIBOR + 3.75%), 2/3/31 | EUR | 14,275 | 15,294,646 |
Phillips Feed Service, Inc., Term Loan, 12.416%, (SOFR + 7.00%), 11/13/24(4) | 468 | 327,738 | |
Rubix Group Midco 3 Ltd., Term Loan, 8.149%, (6 mo. EURIBOR + 4.25%), 9/30/26 | EUR | 1,500 | 1,607,090 |
Winterfell Financing SARL, Term Loan, 8.898%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,000 | 2,103,275 |
$ 27,759,728 | |||
Diversified Consumer Services — 1.1% | |||
Ascend Learning LLC: | |||
Term Loan, 8.916%, (SOFR + 3.50%), 12/11/28 | 6,735 | $ 6,720,691 | |
Term Loan - Second Lien, 12/10/29(10) | 3,500 | 3,449,250 | |
Belron Finance U.S. LLC, Term Loan, 7.578%, (SOFR + 2.00%), 4/13/28 | 7,590 | 7,612,391 | |
FrontDoor, Inc., Term Loan, 7.68%, (SOFR + 2.25%), 6/17/28 | 851 | 850,538 | |
KUEHG Corp., Term Loan, 9.823%, (SOFR + 4.50%), 6/12/30 | 16,250 | 16,314,176 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Consumer Services (continued) | |||
Sotheby's, Term Loan, 10.09%, (SOFR + 4.50%), 1/15/27 | 10,737 | $ 10,511,450 | |
Spring Education Group, Inc., Term Loan, 9.809%, (SOFR + 4.50%), 10/4/30 | 3,716 | 3,735,659 | |
Wand NewCo 3, Inc., Term Loan, 9.066%, (SOFR + 3.75%), 1/30/31 | 12,150 | 12,241,125 | |
$ 61,435,280 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco Ltd., Term Loan, 7.851%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 8,730 | $ 9,336,067 |
$ 9,336,067 | |||
Diversified Telecommunication Services — 0.7% | |||
GEE Holdings 2 LLC: | |||
Term Loan, 13.413%, (SOFR + 8.00%), 3/24/25 | 9,639 | $ 8,771,597 | |
Term Loan - Second Lien, 13.662%, (SOFR + 8.25%), 5.412% cash, 8.25% PIK, 3/23/26 | 7,560 | 4,536,264 | |
Level 3 Financing, Inc.: | |||
Term Loan, 11.875%, (SOFR + 6.56%), 4/15/29 | 6,175 | 6,086,533 | |
Term Loan, 11.875%, (SOFR + 6.56%), 4/15/30 | 6,175 | 6,060,801 | |
Lumen Technologies, Inc.: | |||
Term Loan, 7.78%, (SOFR + 2.35%), 4/15/29 | 9,635 | 6,953,971 | |
Term Loan, 7.78%, (SOFR + 2.35%), 4/15/30 | 9,635 | 6,744,412 | |
Virgin Media Bristol LLC, Term Loan, 7.936%, (SOFR + 2.50%), 1/31/28 | 2,563 | 2,518,456 | |
$ 41,672,034 | |||
Electrical Equipment — 0.6% | |||
WEC U.S. Holdings Ltd., Term Loan, 8.066%, (SOFR + 2.75%), 1/27/31 | 31,492 | $ 31,550,182 | |
$ 31,550,182 | |||
Electronic Equipment, Instruments & Components — 1.4% | |||
Chamberlain Group, Inc., Term Loan, 9.066%, (SOFR + 3.75%), 11/3/28 | 11,200 | $ 11,233,600 | |
Creation Technologies, Inc., Term Loan, 11.068%, (SOFR + 5.50%), 10/5/28 | 12,751 | 12,081,675 | |
II-VI, Inc., Term Loan, 7.829%, (SOFR + 2.50%), 7/2/29 | 381 | 382,112 | |
Minimax Viking GmbH, Term Loan, 7.098%, (1 mo. EURIBOR + 3.25%), 7/31/28 | EUR | 3,469 | 3,727,421 |
Mirion Technologies, Inc., Term Loan, 8.314%, (SOFR + 2.75%), 10/20/28 | 1,722 | 1,727,165 | |
Robertshaw U.S. Holding Corp.: | |||
DIP Loan, 6.309%, (SOFR + 1.00%), 9/27/24 | 5,698 | 5,555,647 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Robertshaw U.S. Holding Corp.: (continued) | |||
Term Loan, 0.00%, 2/28/27(12) | 3 | $ 3,223 | |
Term Loan, 0.00%, 2/28/27(12) | 18,216 | 17,760,174 | |
Term Loan - Second Lien, 0.00%, 2/28/27(12) | 16,894 | 9,291,684 | |
TTM Technologies, Inc., Term Loan, 8.077%, (SOFR + 2.75%), 5/30/30 | 5,186 | 5,195,536 | |
Verifone Systems, Inc., Term Loan, 9.585%, (SOFR + 4.00%), 8/20/25 | 14,540 | 13,202,383 | |
$ 80,160,620 | |||
Energy Equipment & Services — 0.8% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 12.088%, (SOFR + 8.00%), 12/29/23(4)(9) | 3,251 | $ 2,633,237 | |
Term Loan, 20.50%, (U.S. (Fed) Prime Rate + 12.00%), 12/29/23(4) | 25,469 | 20,632,228 | |
GIP Pilot Acquisition Partners LP, Term Loan, 8.308%, (SOFR + 3.00%), 10/4/30 | 4,863 | 4,893,205 | |
Lealand Finance Co. BV: | |||
Term Loan, 3.63%, 6/28/24(9) | 9,039 | 6,011,181 | |
Term Loan, 9.444%, (SOFR + 4.00%), 6.444% cash, 3.00% PIK, 6/30/25 | 2,557 | 929,951 | |
PG Investment Co. 59 SARL, Term Loan, 8.813%, (SOFR + 3.50%), 3/26/31 | 10,350 | 10,399,597 | |
$ 45,499,399 | |||
Engineering & Construction — 0.8% | |||
Aegion Corp., Term Loan, 9.566%, (SOFR + 4.25%), 5/17/28 | 15,687 | $ 15,792,575 | |
American Residential Services LLC, Term Loan, 9.071%, (SOFR + 3.50%), 10/15/27 | 495 | 495,456 | |
APi Group DE, Inc., Term Loan, 7.93%, (SOFR + 2.50%), 1/3/29 | 10,603 | 10,637,943 | |
Artera Services LLC, Term Loan, 9.809%, (SOFR + 4.50%), 2/15/31 | 4,150 | 4,190,462 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.93%, (SOFR + 5.50%), 11/12/26 | 10,598 | 10,635,173 | |
Term Loan, 10.93%, (SOFR + 5.50%), 11/12/26 | 1,925 | 1,922,594 | |
$ 43,674,203 | |||
Entertainment — 0.9% | |||
City Football Group Ltd., Term Loan, 8.439%, (SOFR + 3.00%), 7/21/28 | 8,186 | $ 8,182,730 | |
Crown Finance U.S., Inc., Term Loan, 13.93%, (SOFR + 8.50%), 6.93% cash, 7.00% PIK, 7/31/28 | 1,842 | 1,875,585 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Entertainment (continued) | |||
Delta 2 (LUX) SARL, Term Loan, 7.559%, (SOFR + 2.25%), 1/15/30 | 2,500 | $ 2,505,730 | |
Live Nation Entertainment, Inc., Term Loan, 7.165%, (SOFR + 1.75%), 10/19/26 | 5,542 | 5,544,153 | |
Playtika Holding Corp., Term Loan, 8.18%, (SOFR + 2.75%), 3/13/28 | 13,458 | 13,466,007 | |
Renaissance Holding Corp., Term Loan, 9.566%, (SOFR + 4.25%), 4/5/30 | 10,970 | 10,997,369 | |
UFC Holdings LLC, Term Loan, 8.336%, (SOFR + 2.75%), 4/29/26 | 7,161 | 7,183,516 | |
Vue Entertainment International Ltd., Term Loan, 12.428%, (6 mo. EURIBOR + 8.50%), 4.028% cash, 8.40% PIK, 12/31/27 | EUR | 1,592 | 998,184 |
Vue International Bidco PLC, Term Loan, 11.844%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 435 | 463,846 |
$ 51,217,120 | |||
Equity Real Estate Investment Trusts (REITs) — 0.2% | |||
Iron Mountain, Inc.: | |||
Term Loan, 7.18%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 3,615 | $ 3,613,180 | |
Term Loan, 7.566%, (SOFR + 2.25%), 1/31/31 | 10,199 | 10,190,941 | |
$ 13,804,121 | |||
Financial Services — 1.2% | |||
Ditech Holding Corp., Term Loan, 0.00%, 6/30/24(12) | 18,244 | $ 2,006,820 | |
GTCR W Merger Sub LLC, Term Loan, 8.309%, (SOFR + 3.00%), 1/31/31 | 30,700 | 30,858,289 | |
NCR Atleos LLC, Term Loan, 10.18%, (SOFR + 4.75%), 3/27/29(11) | 13,652 | 13,765,103 | |
Nuvei Technologies Corp., Term Loan, 8.416%, (SOFR + 3.00%), 12/19/30 | 8,279 | 8,303,053 | |
Walker & Dunlop, Inc., Term Loan, 7.666%, (SOFR + 2.25%), 12/16/28 | 12,756 | 12,804,211 | |
WEX, Inc., Term Loan, 7.316%, (SOFR + 2.00%), 3/31/28 | 1,261 | 1,264,766 | |
$ 69,002,242 | |||
Food Products — 0.9% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.18%, (SOFR + 4.75%), 10/1/25 | 6,508 | $ 6,296,611 | |
Badger Buyer Corp., Term Loan, 8.93%, (SOFR + 3.50%), 9/30/24 | 4,750 | 4,603,372 | |
Del Monte Foods, Inc., Term Loan, 9.668%, (SOFR + 4.25%), 5/16/29 | 6,230 | 5,326,757 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Food Products (continued) | |||
Froneri International Ltd.: | |||
Term Loan, 5.991%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | $ 1,596,999 |
Term Loan, 7.666%, (SOFR + 2.25%), 1/29/27 | 4,667 | 4,677,408 | |
Nomad Foods U.S. LLC, Term Loan, 8.272%, (SOFR + 3.00%), 11/13/29 | 7,953 | 7,979,620 | |
United Petfood Group BV, Term Loan, 6.583%, (6 mo. EURIBOR + 2.75%), 4/24/28 | EUR | 8,400 | 8,933,665 |
Valeo F1 Co. Ltd. (Ireland): | |||
Term Loan, 7.858%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 5,050 | 5,285,908 |
Term Loan, 10.191%, (SONIA + 5.00%), 6/28/28 | GBP | 2,500 | 3,026,254 |
$ 47,726,594 | |||
Gas Utilities — 0.4% | |||
CQP Holdco LP, Term Loan, 8.302%, (SOFR + 3.00%), 12/31/30 | 20,020 | $ 20,098,689 | |
$ 20,098,689 | |||
Health Care Equipment & Supplies — 0.7% | |||
Bayou Intermediate II LLC, Term Loan, 10.091%, (SOFR + 4.50%), 8/2/28 | 8,977 | $ 8,943,588 | |
Journey Personal Care Corp., Term Loan, 9.68%, (SOFR + 4.25%), 3/1/28 | 21,148 | 21,052,255 | |
Medline Borrower LP, Term Loan, 8.068%, (SOFR + 2.75%), 10/23/28 | 7,806 | 7,835,288 | |
$ 37,831,131 | |||
Health Care Providers & Services — 4.2% | |||
AEA International Holdings (Lux) SARL, Term Loan, 8.809%, (SOFR + 3.50%), 9/7/28 | 13,612 | $ 13,680,137 | |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.302%, (SOFR + 8.00%), 1/15/26 | 17,497 | 15,135,107 | |
Cano Health LLC: | |||
DIP Loan, 16.322%, (SOFR + 11.00%), 10/7/24 | 534 | 550,319 | |
DIP Loan, 16.322%, (SOFR + 11.00%), 10/7/24 | 819 | 843,554 | |
Term Loan, 0.00%, 11/23/27(12) | 7,208 | 1,946,242 | |
CCRR Parent, Inc., Term Loan, 9.18%, (SOFR + 3.75%), 3/6/28 | 4,685 | 4,348,042 | |
Cerba Healthcare SAS: | |||
Term Loan, 7.548%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 18,925 | 17,432,337 |
Term Loan, 7.848%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 8,225 | 7,628,940 |
CHG Healthcare Services, Inc., Term Loan, 9.091%, (SOFR + 3.75%), 9/29/28(11) | 4,190 | 4,213,590 | |
Covis Finco SARL, Term Loan, 0.00%, 2/18/27(12) | 9,853 | 4,113,653 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Elsan SAS, Term Loan, 7.186%, (1 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,100 | $ 4,348,447 |
Ensemble RCM LLC, Term Loan, 8.33%, (SOFR + 3.00%), 8/1/29 | 4,031 | 4,048,066 | |
IVC Acquisition Ltd.: | |||
Term Loan, 9.071%, (3 mo. EURIBOR + 5.00%), 12/12/28 | EUR | 4,100 | 4,350,227 |
Term Loan, 10.809%, (SOFR + 5.50%), 12/12/28 | 10,574 | 10,616,450 | |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.666%, (SOFR + 3.25%), 11/1/28 | 13,675 | 12,156,617 | |
Term Loan - Second Lien, 12.416%, (SOFR + 7.00%), 11/1/29 | 9,500 | 7,671,250 | |
Mehilainen Yhtiot OYJ, Term Loan, 7.88%, (3 mo. EURIBOR + 4.00%), 8/8/25 | EUR | 6,025 | 6,466,778 |
Midwest Physician Administrative Services LLC, Term Loan, 8.821%, (SOFR + 3.25%), 3/12/28 | 1,402 | 1,100,517 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.159%, (SOFR + 3.75%), 3/2/28 | 334 | 305,145 | |
Term Loan, 9.165%, (SOFR + 3.75%), 3/2/28(11) | 12,189 | 11,145,026 | |
Term Loan - Second Lien, 12.659%, (SOFR + 7.25%), 3/2/29 | 5,525 | 4,901,134 | |
Pacific Dental Services LLC, Term Loan, 8.571%, (SOFR + 3.25%), 3/15/31 | 8,300 | 8,329,830 | |
Phoenix Guarantor, Inc., Term Loan, 8.566%, (SOFR + 3.25%), 2/21/31 | 16,690 | 16,585,687 | |
R1 RCM, Inc., Term Loan, 8.327%, (SOFR + 3.00%), 6/21/29 | 2,294 | 2,306,222 | |
Radnet Management, Inc., Term Loan, 7.823%, (SOFR + 2.50%), 4/18/31 | 7,025 | 7,033,781 | |
Ramsay Generale de Sante SA, Term Loan, 6.847%, (3 mo. EURIBOR + 2.95%), 4/22/27 | EUR | 6,600 | 7,051,229 |
Select Medical Corp., Term Loan, 8.316%, (SOFR + 3.00%), 3/6/27 | 35,546 | 35,664,163 | |
Sound Inpatient Physicians: | |||
Term Loan, 8.591%, (SOFR + 3.00%), 6/27/25 | 197 | 114,675 | |
Term Loan, 8.591%, (SOFR + 3.00%), 6/27/25 | 2,310 | 1,345,393 | |
Synlab Bondco PLC: | |||
Term Loan, 6.361%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,125 | 2,257,029 |
Term Loan, 12/23/30(10) | EUR | 5,250 | 5,623,847 |
TTF Holdings LLC, Term Loan, 9.43%, (SOFR + 4.00%), 3/31/28 | 5,083 | 5,097,419 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.692%, (SOFR + 4.25%), 10/1/28 | 4,992 | 4,842,379 | |
$ 233,253,232 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Technology — 1.2% | |||
Certara LP, Term Loan, 9.105%, (SOFR + 3.50%), 8/15/26 | 1,799 | $ 1,805,310 | |
Cotiviti Corp., Term Loan, 2/21/31(10) | 9,600 | 9,628,003 | |
Imprivata, Inc., Term Loan, 9.091%, (SOFR + 3.50%), 12/1/27 | 14,389 | 14,476,664 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.424%, (SOFR + 4.00%), 12/18/28 | 7,597 | 6,433,969 | |
Term Loan - Second Lien, 12.18%, (SOFR + 6.75%), 12/17/29 | 8,775 | 6,087,656 | |
Project Ruby Ultimate Parent Corp., Term Loan, 8.93%, (SOFR + 3.50%), 3/10/28 | 3,475 | 3,484,410 | |
Symplr Software, Inc., Term Loan, 9.93%, (SOFR + 4.50%), 12/22/27 | 12,861 | 12,244,519 | |
Verscend Holding Corp., Term Loan, 11.50%, (U.S. (Fed) Prime Rate + 3.00%), 8/27/25 | 9,898 | 9,905,949 | |
Waystar Technologies, Inc., Term Loan, 9.316%, (SOFR + 4.00%), 10/22/29 | 3,275 | 3,297,516 | |
$ 67,363,996 | |||
Hotels, Restaurants & Leisure — 4.6% | |||
1011778 BC Unlimited Liability Co., Term Loan, 7.566%, (SOFR + 2.25%), 9/20/30 | 32,485 | $ 32,545,436 | |
Caesars Entertainment, Inc., Term Loan, 8.066%, (SOFR + 2.75%), 2/6/31 | 22,475 | 22,538,200 | |
Carnival Corp., Term Loan, 8.067%, (SOFR + 2.75%), 10/18/28 | 26,623 | 26,739,282 | |
ClubCorp Holdings, Inc., Term Loan, 10.564%, (SOFR + 5.00%), 9/18/26 | 20,104 | 20,170,932 | |
Fertitta Entertainment LLC, Term Loan, 9.069%, (SOFR + 3.75%), 1/27/29 | 19,750 | 19,822,455 | |
Flutter Financing BV, Term Loan, 7.559%, (SOFR + 2.25%), 11/25/30 | 31,671 | 31,769,596 | |
GVC Holdings (Gibraltar) Ltd., Term Loan, 7.652%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 21,225 | 22,738,630 |
Light & Wonder International, Inc., Term Loan, 8.071%, (SOFR + 2.75%), 4/14/29 | 7,388 | 7,409,663 | |
Ontario Gaming GTA LP, Term Loan, 9.559%, (SOFR + 4.25%), 8/1/30 | 14,888 | 14,986,318 | |
Oravel Stays Singapore Pte. Ltd., Term Loan, 13.84%, (SOFR + 8.25%), 6/23/26 | 3,457 | 3,459,414 | |
Playa Resorts Holding BV, Term Loan, 8.565%, (SOFR + 3.25%), 1/5/29 | 26,835 | 26,978,877 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 7.816%, (SOFR + 2.50%), 8/25/28 | 19,348 | 19,367,566 | |
Station Casinos LLC, Term Loan, 7.566%, (SOFR + 2.25%), 3/14/31 | 4,400 | 4,405,196 | |
$ 252,931,565 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Household Durables — 1.1% | |||
ACProducts, Inc., Term Loan, 9.814%, (SOFR + 4.25%), 5/17/28 | 18,477 | $ 16,067,719 | |
Libbey Glass, Inc., Term Loan, 11.975%, (SOFR + 6.50%), 11/22/27 | 14,169 | 13,663,820 | |
Serta Simmons Bedding LLC: | |||
Term Loan, 12.924%, (SOFR + 7.50%), 6/29/28 | 19,908 | 17,538,512 | |
Term Loan, 6/29/28(10) | 2,161 | 2,123,407 | |
Solis IV BV, Term Loan, 8.824%, (SOFR + 3.50%), 2/26/29 | 13,648 | 13,582,579 | |
$ 62,976,037 | |||
Household Products — 0.3% | |||
Energizer Holdings, Inc., Term Loan, 7.68%, (SOFR + 2.25%), 12/22/27 | 5,385 | $ 5,389,234 | |
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.314%, (SOFR + 3.75%), 12/22/26 | 7,945 | 7,960,531 | |
Term Loan, 11.493%, (SOFR + 6.00%), 12/22/26 | 5,034 | 5,059,296 | |
$ 18,409,061 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Calpine Corp.: | |||
Term Loan, 7.316%, (SOFR + 2.00%), 1/31/31 | 2,625 | $ 2,625,546 | |
Term Loan, 7.317%, (SOFR + 2.00%), 1/31/31 | 2,295 | 2,295,180 | |
$ 4,920,726 | |||
Industrial Conglomerates — 0.8% | |||
Ammeraal Beltech Holding BV, Term Loan, 8.902%, (3 mo. EURIBOR + 5.00%), 12/30/28 | EUR | 8,225 | $ 8,838,677 |
Kohler Energy Co. LLC, Term Loan, 1/30/31(10) | 22,475 | 22,552,269 | |
Rain Carbon GmbH, Term Loan, 8.915%, (3 mo. EURIBOR + 5.00%), 10/31/28 | EUR | 13,729 | 14,523,177 |
$ 45,914,123 | |||
Insurance — 1.2% | |||
Alliant Holdings Intermediate LLC, Term Loan, 8.819%, (SOFR + 3.50%), 11/6/30 | 13,833 | $ 13,903,079 | |
AmWINS Group, Inc., Term Loan, 8.18%, (SOFR + 2.75%), 2/19/28 | 4,962 | 4,979,759 | |
AssuredPartners, Inc., Term Loan, 2/14/31(10) | 14,575 | 14,646,053 | |
Financiere CEP SAS, Term Loan, 7.885%, (6 mo. EURIBOR + 4.00%), 6/18/27 | EUR | 5,125 | 5,485,067 |
HUB International Ltd., Term Loan, 8.575%, (SOFR + 3.25%), 6/20/30 | 19,660 | 19,778,940 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Insurance (continued) | |||
Truist Insurance Holdings LLC, Term Loan - Second Lien, 3/8/32(10) | 2,500 | $ 2,522,812 | |
USI, Inc., Term Loan, 8.552%, (SOFR + 3.25%), 9/27/30 | 4,478 | 4,495,688 | |
$ 65,811,398 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.348%, (1 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 4,800 | $ 5,134,237 |
Term Loan, 8.332%, (SOFR + 2.75%), 6/26/28 | 893 | 895,715 | |
Buzz Finco LLC: | |||
Term Loan, 8.166%, (SOFR + 2.75%), 1/29/27 | 1,951 | 1,957,925 | |
Term Loan, 8.666%, (SOFR + 3.25%), 1/29/27 | 435 | 437,232 | |
Foundational Education Group, Inc., Term Loan, 9.341%, (SOFR + 3.75%), 8/31/28 | 5,110 | 5,077,896 | |
Getty Images, Inc.: | |||
Term Loan, 8.875%, (1 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,383,571 |
Term Loan, 9.909%, (SOFR + 4.50%), 2/19/26 | 13,835 | 13,869,602 | |
Match Group, Inc., Term Loan, 7.233%, (SOFR + 1.75%), 2/13/27 | 6,450 | 6,444,627 | |
$ 36,200,805 | |||
IT Services — 3.7% | |||
Asurion LLC: | |||
Term Loan, 9.416%, (SOFR + 4.00%), 8/19/28 | 9,013 | $ 8,777,741 | |
Term Loan, 9.666%, (SOFR + 4.25%), 8/19/28 | 7,064 | 6,908,336 | |
Term Loan - Second Lien, 10.68%, (SOFR + 5.25%), 1/31/28 | 15,790 | 14,439,387 | |
Term Loan - Second Lien, 10.68%, (SOFR + 5.25%), 1/20/29 | 2,375 | 2,147,705 | |
Endure Digital, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 2/10/28 | 29,622 | 28,765,310 | |
Gainwell Acquisition Corp., Term Loan, 9.409%, (SOFR + 4.00%), 10/1/27 | 3,567 | 3,412,183 | |
Go Daddy Operating Co. LLC, Term Loan, 7.316%, (SOFR + 2.00%), 11/9/29 | 46,225 | 46,280,942 | |
Informatica LLC, Term Loan, 8.18%, (SOFR + 2.75%), 10/27/28 | 31,434 | 31,527,800 | |
NAB Holdings LLC, Term Loan, 8.209%, (SOFR + 2.75%), 11/23/28 | 14,279 | 14,285,107 | |
Rackspace Technology Global, Inc.: | |||
Term Loan, 11.552%, (SOFR + 6.25%), 5/15/28 | 9,976 | 10,075,383 | |
Term Loan - Second Lien, 8.186%, (SOFR + 2.75%), 5/15/28 | 25,942 | 12,452,022 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.066%, (SOFR + 3.75%), 2/24/28 | 12,853 | 12,916,895 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
team.blue Finco SARL: | |||
Term Loan, 7.062%, (1 mo. EURIBOR + 3.20%), 3/30/28 | EUR | 11,150 | $ 11,798,880 |
Term Loan, 3/30/28(10) | EUR | 1,500 | 1,587,293 |
$ 205,374,984 | |||
Leisure Products — 0.3% | |||
Fender Musical Instruments Corp., Term Loan, 9.418%, (SOFR + 4.00%), 12/1/28 | 2,251 | $ 2,234,515 | |
Hayward Industries, Inc., Term Loan, 8.18%, (SOFR + 2.75%), 5/30/28 | 9,008 | 9,020,683 | |
Recess Holdings, Inc., Term Loan, 9.843%, (SOFR + 4.50%), 2/20/30 | 7,525 | 7,553,219 | |
$ 18,808,417 | |||
Life Sciences Tools & Services — 1.6% | |||
Avantor Funding, Inc., Term Loan, 6.348%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 10,855 | $ 11,623,789 |
Cambrex Corp., Term Loan, 8.916%, (SOFR + 3.50%), 12/4/26 | 324 | 313,020 | |
Catalent Pharma Solutions, Inc.: | |||
Term Loan, 7.43%, (SOFR + 2.00%), 2/22/28 | 1,019 | 1,018,818 | |
Term Loan, 8.315%, (SOFR + 3.00%), 2/22/28 | 2,650 | 2,664,906 | |
Curia Global, Inc., Term Loan, 9.18%, (SOFR + 3.75%), 8/30/26(11) | 17,179 | 16,361,297 | |
ICON Luxembourg SARL, Term Loan, 7.309%, (SOFR + 2.00%), 7/3/28 | 24,178 | 24,289,536 | |
LGC Group Holdings Ltd., Term Loan, 7.098%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 5,775 | 6,101,970 |
Loire Finco Luxembourg SARL, Term Loan, 8.916%, (SOFR + 3.50%), 4/21/27 | 1,117 | 1,098,179 | |
Packaging Coordinators Midco, Inc., Term Loan, 9.071%, (SOFR + 3.50%), 11/30/27 | 3,416 | 3,431,408 | |
PRA Health Sciences, Inc., Term Loan, 7.309%, (SOFR + 2.00%), 7/3/28 | 6,024 | 6,051,882 | |
Sotera Health Holdings LLC, Term Loan, 8.18%, (SOFR + 2.75%), 12/11/26 | 14,828 | 14,823,514 | |
$ 87,778,319 | |||
Machinery — 4.8% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 7/31/28 | 21,873 | $ 21,965,530 | |
Ali Group North America Corp., Term Loan, 7.43%, (SOFR + 2.00%), 7/30/29 | 11,951 | 12,006,198 | |
American Trailer World Corp., Term Loan, 9.166%, (SOFR + 3.75%), 3/3/28 | 13,302 | 13,061,302 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Apex Tool Group LLC: | |||
Term Loan, 15.315%, (SOFR + 10.00%), 2/8/30 | 11,409 | $ 11,066,370 | |
Term Loan - Second Lien, 12.566%, (SOFR + 7.25%), 8.566% cash, 4.00% PIK, 2/8/29 | 4,889 | 4,840,518 | |
Barnes Group, Inc., Term Loan, 7.816%, (SOFR + 2.50%), 9/3/30 | 17,288 | 17,345,746 | |
Clark Equipment Co., Term Loan, 7.902%, (SOFR + 2.50%), 4/20/29 | 10,003 | 10,047,059 | |
Conair Holdings LLC, Term Loan, 9.18%, (SOFR + 3.75%), 5/17/28 | 24,083 | 23,929,841 | |
CPM Holdings, Inc., Term Loan, 9.827%, (SOFR + 4.50%), 9/28/28 | 3,990 | 4,005,318 | |
Delachaux Group SA, Term Loan, 8.115%, (3 mo. EURIBOR + 4.25%), 4/16/29 | EUR | 6,257 | 6,732,717 |
EMRLD Borrower LP, Term Loan, 7.816%, (SOFR + 2.50%), 5/31/30 | 7,511 | 7,533,255 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 7.652%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 10,603 | 11,329,805 |
Term Loan, 9.321%, (SOFR + 3.75%), 5/19/28 | 12,941 | 12,960,346 | |
Term Loan - Second Lien, 11.571%, (SOFR + 6.00%), 5/21/29 | 2,000 | 1,997,500 | |
Filtration Group Corp., Term Loan, 9.68%, (SOFR + 4.25%), 10/21/28 | 8,927 | 8,981,654 | |
Icebox Holdco III, Inc., Term Loan, 9.321%, (SOFR + 3.75%), 12/22/28 | 4,127 | 4,124,206 | |
INNIO Group Holding GmbH, Term Loan, 8.173%, (3 mo. EURIBOR + 4.25%), 11/2/28 | EUR | 4,722 | 5,074,804 |
Madison IAQ LLC, Term Loan, 8.68%, (SOFR + 3.25%), 6/21/28 | 11,522 | 11,537,009 | |
Pro Mach Group, Inc., Term Loan, 9.066%, (SOFR + 3.75%), 8/31/28 | 2,791 | 2,806,095 | |
Roper Industrial Products Investment Co. LLC: | |||
Term Loan, 8.402%, (3 mo. EURIBOR + 4.50%), 11/22/29 | EUR | 990 | 1,064,920 |
Term Loan, 9.302%, (SOFR + 4.00%), 11/22/29 | 6,399 | 6,451,565 | |
SPX Flow, Inc., Term Loan, 9.916%, (SOFR + 4.50%), 4/5/29 | 12,331 | 12,414,319 | |
Titan Acquisition Ltd., Term Loan, 10.317%, (SOFR + 5.00%), 2/1/29 | 8,275 | 8,326,719 | |
TK Elevator Midco GmbH, Term Loan, 7.926%, (3 mo. EURIBOR + 4.00%), 4/30/30 | EUR | 8,550 | 9,166,766 |
TK Elevator Topco GmbH, Term Loan, 7.491%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 9,725 | 10,387,897 |
TK Elevator U.S. Newco, Inc., Term Loan, 8.791%, (SOFR + 3.50%), 4/30/30 | 12,980 | 13,039,487 | |
Zephyr German BidCo GmbH, Term Loan, 7.446%, (6 mo. EURIBOR + 3.60%), 3/10/28 | EUR | 11,775 | 12,433,637 |
$ 264,630,583 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Media — 0.7% | |||
Aragorn Parent Corp., Term Loan, 9.569%, (SOFR + 4.25%), 12/15/28 | 5,660 | $ 5,702,342 | |
Gray Television, Inc., Term Loan, 8.442%, (SOFR + 3.00%), 12/1/28 | 1,019 | 960,573 | |
Hubbard Radio LLC, Term Loan, 9.816%, (SOFR + 4.50%), 3/28/25 | 5,146 | 4,258,459 | |
iHeartCommunications, Inc., Term Loan, 8.43%, (SOFR + 3.00%), 5/1/26 | 2,365 | 2,073,380 | |
Sinclair Television Group, Inc., Term Loan, 8.091%, (SOFR + 2.50%), 9/30/26 | 6,134 | 5,728,691 | |
Univision Communications, Inc., Term Loan, 8.68%, (SOFR + 3.25%), 3/15/26 | 18,095 | 18,127,197 | |
$ 36,850,642 | |||
Metals/Mining — 1.1% | |||
Arsenal AIC Parent LLC, Term Loan, 9.066%, (SOFR + 3.75%), 8/18/30 | 17,761 | $ 17,916,269 | |
Dynacast International LLC: | |||
Term Loan, 9.943%, (SOFR + 4.50%), 7/22/25 | 15,104 | 14,493,104 | |
Term Loan, 14.443%, (SOFR + 9.00%), 10/22/25 | 3,018 | 2,248,592 | |
PMHC II, Inc., Term Loan, 9.706%, (SOFR + 4.25%), 4/23/29 | 16,232 | 16,022,459 | |
WireCo WorldGroup, Inc., Term Loan, 9.075%, (SOFR + 3.75%), 11/13/28 | 5,785 | 5,814,283 | |
Zekelman Industries, Inc., Term Loan, 7.568%, (SOFR + 2.25%), 1/24/31 | 5,317 | 5,332,328 | |
$ 61,827,035 | |||
Oil, Gas & Consumable Fuels — 1.1% | |||
Freeport LNG Investments LLP, Term Loan, 12/21/28(10) | 11,500 | $ 11,451,125 | |
GIP II Blue Holding LP, Term Loan, 9.066%, (SOFR + 3.75%), 9/29/28 | 7,736 | 7,786,597 | |
ITT Holdings LLC, Term Loan, 8.421%, (SOFR + 3.00%), 10/11/30 | 8,532 | 8,549,897 | |
Matador Bidco SARL, Term Loan, 9.916%, (SOFR + 4.50%), 10/15/26 | 29,032 | 29,125,798 | |
Oxbow Carbon LLC, Term Loan, 9.413%, (SOFR + 4.00%), 5/10/30(11) | 5,632 | 5,660,600 | |
$ 62,574,017 | |||
Pharmaceuticals — 1.4% | |||
Aenova Holding GmbH, Term Loan, 8.328%, (1 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 925 | $ 990,760 |
AI Sirona (Luxembourg) Acquisition SARL, Term Loan, 7.848%, (3 mo. EURIBOR + 4.00%), 9/30/28 | EUR | 13,000 | 13,906,557 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
Bausch Health Cos., Inc., Term Loan, 10.668%, (SOFR + 5.25%), 2/1/27 | 12,231 | $ 10,309,188 | |
Ceva Sante Animale: | |||
Term Loan, 8.152%, (3 mo. EURIBOR + 4.25%), 11/8/30 | EUR | 10,300 | 11,066,154 |
Term Loan, 9.564%, (SOFR + 4.25%), 11/1/30 | 4,175 | 4,207,615 | |
Jazz Financing Lux SARL, Term Loan, 8.43%, (SOFR + 3.00%), 5/5/28 | 6,956 | 7,004,478 | |
Mallinckrodt International Finance SA: | |||
Term Loan, 12.819%, (SOFR + 7.50%), 11/14/28 | 3,434 | 3,846,213 | |
Term Loan - Second Lien, 14.819%, (SOFR + 9.50%), 11/14/28 | 19,462 | 21,294,455 | |
PharmaZell GmbH, Term Loan, 7.902%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,800 | 1,907,355 |
Recipharm AB, Term Loan, 6.865%, (3 mo. EURIBOR + 2.95%), 2/17/28 | EUR | 2,725 | 2,856,842 |
$ 77,389,617 | |||
Professional Services — 3.2% | |||
APFS Staffing Holdings, Inc., Term Loan, 9.316%, (SOFR + 4.00%), 12/29/28 | 3,590 | $ 3,578,971 | |
Apleona Holding GmbH, Term Loan, 6.564%, (3 mo. EURIBOR + 2.70%), 4/28/28 | EUR | 7,525 | 7,951,815 |
CoreLogic, Inc.: | |||
Term Loan, 8.93%, (SOFR + 3.50%), 6/2/28 | 14,027 | 13,583,067 | |
Term Loan - Second Lien, 11.93%, (SOFR + 6.50%), 6/4/29 | 1,200 | 1,090,500 | |
Corporation Service Co., Term Loan, 8.066%, (SOFR + 2.75%), 11/2/29 | 3,970 | 3,984,557 | |
Crisis Prevention Institute, Inc., Term Loan, 10.043%, (SOFR + 4.75%), 4/9/31 | 3,025 | 3,042,016 | |
EAB Global, Inc., Term Loan, 8.93%, (SOFR + 3.50%), 8/16/28 | 14,320 | 14,370,239 | |
Employbridge Holding Co., Term Loan, 10.314%, (SOFR + 4.75%), 7/19/28 | 20,495 | 16,671,907 | |
First Advantage Holdings LLC, Term Loan, 8.18%, (SOFR + 2.75%), 1/31/27 | 5,857 | 5,865,952 | |
Fleet Midco I Ltd., Term Loan, 8.566%, (SOFR + 3.25%), 2/21/31 | 7,225 | 7,261,125 | |
Genuine Financial Holdings LLC, Term Loan, 9.316%, (SOFR + 4.00%), 9/27/30 | 4,080 | 4,073,764 | |
Neptune Bidco U.S., Inc., Term Loan, 10.406%, (SOFR + 5.00%), 4/11/29 | 7,970 | 7,505,444 | |
Rockwood Service Corp., Term Loan, 9.68%, (SOFR + 4.25%), 1/23/27 | 9,205 | 9,275,720 | |
Techem Verwaltungsgesellschaft 675 mbH, Term Loan, 7/15/29(10) | EUR | 15,075 | 16,110,169 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Professional Services (continued) | |||
Teneo Holdings LLC, Term Loan, 10.066%, (SOFR + 4.75%), 3/13/31 | 10,250 | $ 10,341,819 | |
Trans Union LLC, Term Loan, 7.316%, (SOFR + 2.00%), 12/1/28 | 31,546 | 31,626,528 | |
Vaco Holdings LLC, Term Loan, 10.434%, (SOFR + 5.00%), 1/21/29 | 9,089 | 9,040,736 | |
Wood Mackenzie Ltd., Term Loan, 8.814%, (SOFR + 3.50%), 2/7/31 | 11,675 | 11,741,396 | |
$ 177,115,725 | |||
Real Estate Management & Development — 0.8% | |||
Cushman & Wakefield U.S. Borrower LLC: | |||
Term Loan, 8.18%, (SOFR + 2.75%), 8/21/25 | 543 | $ 543,643 | |
Term Loan, 8.666%, (SOFR + 3.25%), 1/31/30 | 6,628 | 6,644,218 | |
Term Loan, 9.066%, (SOFR + 3.75%), 1/31/30 | 6,360 | 6,383,611 | |
Greystar Real Estate Partners LLC, Term Loan, 8.576%, (SOFR + 3.25%), 8/21/30 | 7,964 | 7,994,155 | |
Homeserve USA Holding Corp., Term Loan, 8.319%, (SOFR + 3.00%), 10/21/30 | 9,500 | 9,541,562 | |
RE/MAX International, Inc., Term Loan, 7.93%, (SOFR + 2.50%), 7/21/28 | 16,168 | 15,304,856 | |
$ 46,412,045 | |||
Road & Rail — 1.9% | |||
Avis Budget Car Rental LLC: | |||
Term Loan, 7.18%, (SOFR + 1.75%), 8/6/27 | 30,084 | $ 29,896,424 | |
Term Loan, 8.416%, (SOFR + 3.00%), 3/16/29 | 2,986 | 2,979,975 | |
Hertz Corp.: | |||
Term Loan, 8.68%, (SOFR + 3.25%), 6/30/28 | 17,019 | 15,737,905 | |
Term Loan, 8.68%, (SOFR + 3.25%), 6/30/28 | 3,298 | 3,054,808 | |
Term Loan, 9.065%, (SOFR + 3.75%), 6/30/28 | 7,531 | 6,950,603 | |
Uber Technologies, Inc., Term Loan, 8.079%, (SOFR + 2.75%), 3/3/30 | 46,208 | 46,549,519 | |
$ 105,169,234 | |||
Semiconductors & Semiconductor Equipment — 0.7% | |||
Altar Bidco, Inc.: | |||
Term Loan, 7.947%, (SOFR + 3.10%), 2/1/29 | 6,315 | $ 6,320,334 | |
Term Loan - Second Lien, 10.914%, (SOFR + 5.60%), 2/1/30 | 6,650 | 6,594,586 | |
Bright Bidco BV, Term Loan, 14.33%, (SOFR + 9.00%), 6.33% cash, 8.00% PIK, 10/31/27 | 3,814 | 1,153,602 | |
MaxLinear, Inc., Term Loan, 7.68%, (SOFR + 2.25%), 6/23/28 | 2,955 | 2,940,580 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
MKS Instruments, Inc., Term Loan, 7.823%, (SOFR + 2.50%), 8/17/29 | 19,965 | $ 20,023,010 | |
Synaptics, Inc., Term Loan, 7.835%, (SOFR + 2.25%), 12/2/28 | 2,742 | 2,742,982 | |
$ 39,775,094 | |||
Software — 11.3% | |||
Applied Systems, Inc., Term Loan, 8.809%, (SOFR + 3.50%), 2/24/31 | 43,551 | $ 43,918,033 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.578%, (SOFR + 5.25%), 10/25/28 | 10,323 | 5,264,552 | |
Term Loan, 12.078%, (SOFR + 6.75%), 2/25/28 | 2,343 | 2,307,632 | |
Term Loan, 2/25/28(10) | 4,972 | 4,872,623 | |
Term Loan - Second Lien, 14.439%, (SOFR + 8.88%), 10/25/29 | 20,170 | 5,714,869 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 8.348%, (1 mo. EURIBOR + 4.50%), 12/29/28 | EUR | 1,907 | 2,049,449 |
Term Loan, 9.566%, (SOFR + 4.25%), 12/29/28 | 3,544 | 3,570,559 | |
Cegid Group SAS, Term Loan, 7.641%, (3 mo. EURIBOR + 3.75%), 7/10/28 | EUR | 6,150 | 6,585,881 |
Central Parent, Inc., Term Loan, 9.309%, (SOFR + 4.00%), 7/6/29 | 19,825 | 19,923,362 | |
Cloud Software Group, Inc.: | |||
Term Loan, 9.909%, (SOFR + 4.50%), 9/29/28(11) | 9,427 | 9,436,672 | |
Term Loan, 9.909%, (SOFR + 4.50%), 3/30/29(11) | 4,466 | 4,470,728 | |
Cloudera, Inc.: | |||
Term Loan, 9.166%, (SOFR + 3.75%), 10/8/28 | 23,836 | 23,746,517 | |
Term Loan - Second Lien, 11.416%, (SOFR + 6.00%), 10/8/29 | 2,950 | 2,846,750 | |
Constant Contact, Inc., Term Loan, 9.561%, (SOFR + 4.00%), 2/10/28 | 5,016 | 4,898,106 | |
Cornerstone OnDemand, Inc., Term Loan, 9.18%, (SOFR + 3.75%), 10/16/28 | 15,386 | 14,760,944 | |
Delta TopCo, Inc., Term Loan, 9.121%, (SOFR + 3.75%), 12/1/27 | 10,860 | 10,887,494 | |
E2open LLC, Term Loan, 8.93%, (SOFR + 3.50%), 2/4/28 | 16,092 | 16,174,945 | |
ECI Macola Max Holding LLC, Term Loan, 9.052%, (SOFR + 3.75%), 5/31/30 | 15,683 | 15,771,716 | |
Epicor Software Corp.: | |||
Term Loan, 8.68%, (SOFR + 3.25%), 7/30/27 | 34,420 | 34,603,915 | |
Term Loan, 9.066%, (SOFR + 3.75%), 7/30/27 | 6,135 | 6,176,801 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.319%, (SOFR + 4.00%), 2/18/27 | 12,377 | 11,899,549 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Gen Digital, Inc., Term Loan, 7.416%, (SOFR + 2.00%), 9/12/29 | 1,176 | $ 1,178,424 | |
GoTo Group, Inc.: | |||
Term Loan, 10.173%, (SOFR + 4.75%), 4/30/28 | 12,930 | 12,364,256 | |
Term Loan - Second Lien, 10.173%, (SOFR + 4.75%), 4/30/28 | 10,844 | 8,259,388 | |
IGT Holding IV AB: | |||
Term Loan, 7.052%, (3 mo. EURIBOR + 3.15%), 3/31/28 | EUR | 6,205 | 6,627,040 |
Term Loan, 8.972%, (SOFR + 3.40%), 3/31/28 | 3,994 | 4,011,973 | |
iSolved, Inc., Term Loan, 8.819%, (SOFR + 3.50%), 10/15/30 | 5,162 | 5,178,194 | |
Ivanti Software, Inc., Term Loan, 9.814%, (SOFR + 4.25%), 12/1/27 | 3,870 | 3,599,330 | |
Magenta Buyer LLC, Term Loan, 10.591%, (SOFR + 5.00%), 7/27/28 | 14,659 | 7,448,490 | |
Marcel LUX IV SARL: | |||
Term Loan, 8.335%, (3 mo. EURIBOR + 4.50%), 11/7/30 | EUR | 8,650 | 9,277,441 |
Term Loan, 9.81%, (SOFR + 4.50%), 11/11/30 | 28,251 | 28,410,300 | |
Maverick Bidco, Inc., Term Loan, 9.23%, (SOFR + 3.75%), 5/18/28 | 5,175 | 5,165,323 | |
McAfee LLC, Term Loan, 9.177%, (SOFR + 3.75%), 3/1/29 | 29,628 | 29,731,047 | |
Mosel Bidco SE: | |||
Term Loan, 8.652%, (3 mo. EURIBOR + 4.75%), 9/16/30 | EUR | 1,825 | 1,957,395 |
Term Loan, 10.059%, (SOFR + 4.75%), 9/16/30 | 2,575 | 2,589,484 | |
N-Able International Holdings II LLC, Term Loan, 8.355%, (SOFR + 2.75%), 7/19/28 | 1,258 | 1,259,942 | |
Open Text Corp., Term Loan, 8.166%, (SOFR + 2.75%), 1/31/30 | 23,174 | 23,271,336 | |
Polaris Newco LLC: | |||
Term Loan, 7.902%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 8,434 | 8,621,734 |
Term Loan, 9.591%, (SOFR + 4.00%), 6/2/28 | 2,927 | 2,910,134 | |
Proofpoint, Inc., Term Loan, 8.68%, (SOFR + 3.25%), 8/31/28 | 21,629 | 21,734,689 | |
Quest Software U.S. Holdings, Inc., Term Loan, 9.73%, (SOFR + 4.25%), 2/1/29 | 16,495 | 11,670,512 | |
RealPage, Inc., Term Loan, 8.43%, (SOFR + 3.00%), 4/24/28 | 10,663 | 10,294,911 | |
Redstone Holdco 2 LP, Term Loan, 10.18%, (SOFR + 4.75%), 4/27/28 | 11,692 | 9,217,047 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.93%, (SOFR + 3.50%), 12/17/27 | 5,850 | 5,127,833 | |
Term Loan, 8.93%, (SOFR + 3.50%), 12/17/27 | 3,734 | 3,273,117 | |
Term Loan, 9.666%, (SOFR + 4.25%), 6/30/28 | 3,513 | 3,093,339 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Sabre GLBL, Inc.: (continued) | |||
Term Loan, 10.416%, (SOFR + 5.00%), 6/30/28 | 1,000 | $ 885,000 | |
Skillsoft Corp., Term Loan, 10.68%, (SOFR + 5.25%), 7/14/28 | 10,283 | 8,286,739 | |
SolarWinds Holdings, Inc., Term Loan, 8.566%, (SOFR + 3.25%), 2/5/27 | 18,345 | 18,399,483 | |
Sophia LP, Term Loan, 8.916%, (SOFR + 3.50%), 10/9/29 | 22,993 | 23,098,632 | |
Turing Midco LLC, Term Loan, 7.93%, (SOFR + 2.50%), 3/24/28 | 461 | 457,813 | |
UKG, Inc., Term Loan, 8.814%, (SOFR + 3.50%), 2/10/31 | 35,095 | 35,297,491 | |
Veritas U.S., Inc., Term Loan, 10.43%, (SOFR + 5.00%), 9/1/25 | 30,069 | 27,701,285 | |
Vision Solutions, Inc.: | |||
Term Loan, 11.75%, (U.S. (Fed) Prime Rate + 3.25%), 4/24/28 | 33,149 | 33,081,664 | |
Term Loan - Second Lien, 12.841%, (SOFR + 7.25%), 4/23/29 | 1,500 | 1,411,875 | |
$ 624,773,758 | |||
Specialty Retail — 2.1% | |||
Belron Luxembourg SARL, Term Loan, 6.347%, (3 mo. EURIBOR + 2.43%), 4/13/28 | EUR | 3,575 | $ 3,836,172 |
Boels Topholding BV, Term Loan, 7.139%, (EURIBOR + 3.25%), 2/6/27(11) | EUR | 6,681 | 7,146,531 |
Etraveli Holding AB, Term Loan, 8.902%, (3 mo. EURIBOR + 5.00%), 11/2/28 | EUR | 7,844 | 8,418,245 |
Great Outdoors Group LLC, Term Loan, 9.18%, (SOFR + 3.75%), 3/6/28 | 27,181 | 27,221,626 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.18%, (SOFR + 2.75%), 10/19/27 | 17,787 | 17,822,560 | |
Hoya Midco LLC, Term Loan, 8.58%, (SOFR + 3.25%), 2/3/29 | 2,626 | 2,634,444 | |
Les Schwab Tire Centers, Term Loan, 8.317%, (SOFR + 3.00%), 4/23/31 | 18,044 | 18,078,218 | |
LIDS Holdings, Inc., Term Loan, 10.98%, (SOFR + 5.50%), 12/14/26 | 4,104 | 4,093,709 | |
Mattress Firm, Inc., Term Loan, 9.814%, (SOFR + 4.25%), 9/25/28 | 15,783 | 15,842,131 | |
PetSmart, Inc., Term Loan, 9.166%, (SOFR + 3.75%), 2/11/28 | 12,164 | 12,000,159 | |
$ 117,093,795 | |||
Technology Hardware, Storage & Peripherals — 0.2% | |||
Poseidon Bidco SASU, Term Loan, 8.902%, (3 mo. EURIBOR + 5.00%), 3/13/30 | EUR | 8,200 | $ 8,632,704 |
$ 8,632,704 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors — 2.9% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.316%, (SOFR + 2.00%), 1/31/31 | 8,460 | $ 8,492,599 | |
Avolon TLB Borrower 1 (U.S.) LLC, Term Loan, 7.315%, (SOFR + 2.00%), 6/22/28 | 40,726 | 40,840,846 | |
Beacon Roofing Supply, Inc., Term Loan, 7.316%, (SOFR + 2.00%), 5/19/28 | 5,337 | 5,356,968 | |
Core & Main LP, Term Loan, 7.568%, (SOFR + 2.25%), 2/9/31 | 3,691 | 3,709,204 | |
DXP Enterprises, Inc., Term Loan, 10.164%, (SOFR + 4.75%), 10/11/30 | 7,189 | 7,236,049 | |
Foundation Building Materials Holding Co. LLC, Term Loan, 9.33%, (SOFR + 4.00%), 1/29/31(11) | 12,400 | 12,508,500 | |
Patagonia Bidco Ltd., Term Loan, 10.473%, (SONIA + 5.25%), 11/1/28 | GBP | 20,400 | 22,518,415 |
PEARLS (Netherlands) Bidco BV, Term Loan, 7.865%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 6,000 | 6,401,423 |
Spin Holdco, Inc., Term Loan, 9.585%, (SOFR + 4.00%), 3/4/28 | 38,309 | 34,003,670 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.666%, (SOFR + 3.25%), 6/2/28 | 4,961 | 4,998,639 | |
Term Loan, 8.93%, (SOFR + 3.50%), 6/2/28 | 4,234 | 4,269,640 | |
Windsor Holdings III LLC, Term Loan, 9.319%, (SOFR + 4.00%), 8/1/30 | 11,769 | 11,885,470 | |
$ 162,221,423 | |||
Wireless Telecommunication Services — 0.7% | |||
CCI Buyer, Inc., Term Loan, 9.302%, (SOFR + 4.00%), 12/17/27 | 14,832 | $ 14,835,796 | |
Digicel International Finance Ltd., Term Loan, 12.075%, (SOFR + 6.75%), 5/25/27 | 14,799 | 14,151,285 | |
SBA Senior Finance II LLC, Term Loan, 7.32%, (SOFR + 2.00%), 1/25/31 | 7,275 | 7,307,737 | |
$ 36,294,818 | |||
Total Senior Floating-Rate Loans (identified cost $4,686,718,635) | $4,542,284,327 |
Short-Term Investments — 2.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(13) | 132,996,037 | $ 132,996,037 | |
Total Short-Term Investments (identified cost $132,996,037) | $ 132,996,037 | ||
Total Investments — 99.3% (identified cost $5,742,243,961) | $5,513,151,680 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (10,940,092) | ||
Net Investments — 99.1% (identified cost $5,731,303,869) | $5,502,211,588 | ||
Other Assets, Less Liabilities — 0.9% | $ 49,627,359 | ||
Net Assets — 100.0% | $5,551,838,947 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2024, the aggregate value of these securities is $753,226,490 or 13.6% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2024. |
(3) | Affiliated company (see Note 7). |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | Non-income producing security. |
(6) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(7) | Amount is less than 0.05%. |
(8) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(9) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2024, the total value of unfunded loan commitments is $7,863,793. See Note 1F for description. |
(10) | This Senior Loan will settle after April 30, 2024, at which time the interest rate will be determined. |
(11) | The stated interest rate represents the weighted average interest rate at April 30, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(12) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(13) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2024. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 292,775,639 | EUR | 270,766,698 | Standard Chartered Bank | 5/3/24 | $ 3,813,269 | $ — |
GBP | 787,159 | USD | 994,480 | Citibank, N.A. | 5/31/24 | — | (10,741) |
USD | 30,673,878 | EUR | 28,150,000 | Bank of America, N.A. | 5/31/24 | 598,723 | — |
USD | 30,685,639 | EUR | 28,166,992 | Bank of America, N.A. | 5/31/24 | 592,330 | — |
USD | 28,164,855 | EUR | 25,855,000 | Bank of America, N.A. | 5/31/24 | 541,652 | — |
USD | 26,150,837 | EUR | 24,000,000 | Bank of America, N.A. | 5/31/24 | 509,496 | — |
USD | 31,187,938 | EUR | 28,620,000 | State Street Bank and Trust Company | 5/31/24 | 610,639 | — |
USD | 30,683,615 | EUR | 28,166,000 | State Street Bank and Trust Company | 5/31/24 | 591,365 | — |
USD | 30,694,668 | EUR | 28,180,000 | State Street Bank and Trust Company | 5/31/24 | 587,460 | — |
USD | 14,078,340 | GBP | 11,092,000 | HSBC Bank USA, N.A. | 5/31/24 | 216,295 | — |
USD | 14,081,586 | GBP | 11,091,179 | State Street Bank and Trust Company | 5/31/24 | 220,566 | — |
USD | 289,883,480 | EUR | 270,766,698 | Standard Chartered Bank | 6/4/24 | 551,657 | — |
USD | 71,085,979 | EUR | 65,476,069 | State Street Bank and Trust Company | 6/28/24 | 1,045,861 | — |
$9,879,313 | $(10,741) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PCL | – Public Company Limited |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $5,595,962,424) | $ 5,369,215,551 |
Affiliated investments, at value (identified cost $135,341,445) | 132,996,037 |
Cash | 23,796,905 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 6,810,000 |
Foreign currency, at value (identified cost $45,417,258) | 44,981,760 |
Interest receivable | 34,633,007 |
Dividends receivable from affiliated investments | 547,807 |
Receivable for investments sold | 55,663,106 |
Receivable for open forward foreign currency exchange contracts | 9,879,313 |
Prepaid upfront fees on notes payable | 843,353 |
Trustees' deferred compensation plan | 290,876 |
Other receivables | 2,084,589 |
Prepaid expenses | 116,527 |
Total assets | $5,681,858,831 |
Liabilities | |
Cash collateral due to brokers | $ 6,810,000 |
Payable for investments purchased | 118,776,132 |
Payable for open forward foreign currency exchange contracts | 10,741 |
Payable to affiliates: | |
Investment adviser fee | 2,299,994 |
Trustees' fees | 9,042 |
Trustees' deferred compensation plan | 290,876 |
Accrued expenses | 1,823,099 |
Total liabilities | $ 130,019,884 |
Net Assets applicable to investors' interest in Portfolio | $5,551,838,947 |
Six Months Ended | |
April 30, 2024 | |
Investment Income | |
Dividend income | $ 1,089,319 |
Dividend income from affiliated investments | 3,281,446 |
Interest income | 253,949,016 |
Other income | 4,183,700 |
Total investment income | $ 262,503,481 |
Expenses | |
Investment adviser fee | $ 14,065,972 |
Trustees’ fees and expenses | 54,250 |
Custodian fee | 602,440 |
Legal and accounting services | 334,888 |
Interest expense and fees | 811,010 |
Miscellaneous | 211,764 |
Total expenses | $ 16,080,324 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 95,440 |
Total expense reductions | $ 95,440 |
Net expenses | $ 15,984,884 |
Net investment income | $ 246,518,597 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (109,391,603) |
Foreign currency transactions | (92,455) |
Forward foreign currency exchange contracts | (1,377,053) |
Net realized loss | $(110,861,111) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 202,576,036 |
Foreign currency | (1,337,836) |
Forward foreign currency exchange contracts | 1,793,443 |
Net change in unrealized appreciation (depreciation) | $ 203,031,643 |
Net realized and unrealized gain | $ 92,170,532 |
Net increase in net assets from operations | $ 338,689,129 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 246,518,597 | $ 537,269,640 |
Net realized loss | (110,861,111) | (335,324,412) |
Net change in unrealized appreciation (depreciation) | 203,031,643 | 471,089,099 |
Net increase in net assets from operations | $ 338,689,129 | $ 673,034,327 |
Capital transactions: | ||
Contributions | $ 133,712,330 | $ 308,512,496 |
Withdrawals | (682,336,605) | (3,320,903,248) |
Net decrease in net assets from capital transactions | $ (548,624,275) | $(3,012,390,752) |
Net decrease in net assets | $ (209,935,146) | $(2,339,356,425) |
Net Assets | ||
At beginning of period | $ 5,761,774,093 | $ 8,101,130,518 |
At end of period | $5,551,838,947 | $ 5,761,774,093 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.58% (1)(2) | 0.58% (2) | 0.54% (2) | 0.56% | 0.59% | 0.55% |
Net investment income | 8.91% (1) | 8.21% | 4.39% | 3.51% | 4.17% | 5.09% |
Portfolio Turnover | 15% (3) | 19% | 27% | 26% | 28% | 16% |
Total Return | 6.25% (3) | 10.63% | (3.32)% | 7.80% | 1.18% | 1.64% |
Net assets, end of period (000’s omitted) | $5,551,839 | $5,761,774 | $8,101,131 | $8,986,782 | $5,649,501 | $7,966,641 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023 and 2022). |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.5750% |
$1 billion but less than $2 billion | 0.5250% |
$2 billion but less than $5 billion | 0.4900% |
$5 billion but less than $10 billion | 0.4600% |
$10 billion but less than $15 billion | 0.4350% |
$15 billion but less than $20 billion | 0.4150% |
$20 billion but less than $25 billion | 0.4000% |
$25 billion and over | 0.3900% |
Aggregate cost | $5,735,738,397 |
Gross unrealized appreciation | $ 64,280,088 |
Gross unrealized depreciation | (287,938,325) |
Net unrealized depreciation | $ (223,658,237) |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Forward foreign currency exchange contracts | $9,879,313 | $(10,741) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 2,242,201 | $ — | $ — | $ (1,700,000) | $ 542,201 |
HSBC Bank USA, N.A. | 216,295 | — | (154,596) | — | 61,699 |
Standard Chartered Bank | 4,364,926 | — | — | (2,530,000) | 1,834,926 |
State Street Bank and Trust Company | 3,055,891 | — | — | (2,580,000) | 475,891 |
$9,879,313 | $ — | $(154,596) | $(6,810,000) | $2,914,717 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Citibank, N.A. | $(10,741) | $ — | $ — | $ — | $(10,741) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(1,377,053) | $1,793,443 |
(1) | Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Common Stocks* | ||||||||
IAP Worldwide Services LLC(1)(2)(3) | $ 0 | $ — | $ — | $ — | $ — | $ 0 | $ — | 2,577 |
Short-Term Investments | ||||||||
Liquidity Fund | 143,913,942 | 792,643,826 | (803,561,731) | — | — | 132,996,037 | 3,281,446 | 132,996,037 |
Total | $ — | $ — | $132,996,037 | $3,281,446 |
* | The related industry is the same as the presentation in the Portfolio of Investments. |
(1) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(2) | Non-income producing security. |
(3) | A portion of the shares were acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 248,471,740 | $ — | $ 248,471,740 |
Common Stocks | 321,220 | 49,534,187 | 1,025,305 | 50,880,712 |
Corporate Bonds | — | 520,635,384 | — | 520,635,384 |
Exchange-Traded Funds | 17,883,480 | — | — | 17,883,480 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 4,502,420,368 | 28,923,867 | 4,531,344,235 |
Short-Term Investments | 132,996,037 | — | — | 132,996,037 |
Total Investments | $ 151,200,737 | $ 5,321,061,679 | $ 29,949,172 | $ 5,502,211,588 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,879,313 | $ — | $ 9,879,313 |
Total | $ 151,200,737 | $ 5,330,940,992 | $ 29,949,172 | $ 5,512,090,901 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (10,741) | $ — | $ (10,741) |
Total | $ — | $ (10,741) | $ — | $ (10,741) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Officers of Eaton Vance Floating-Rate Fund and Eaton Vance Floating Rate Portfolio | |
Kenneth A. Topping President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Laura T. Donovan Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Floating-Rate Fund and Eaton Vance Floating Rate Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
Anchal Pachnanda* |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
U.S. Customer Privacy Notice | March 2024 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account information and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No* |
For our affiliates’ everyday business purposes — information about your creditworthiness | Yes | Yes* |
For our affiliates to market to you | Yes | Yes* |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
U.S. Customer Privacy Notice — continued | March 2024 |
Who we are | |
Who is providing this notice? | Eaton Vance Management and our investment management affiliates (“Eaton Vance”) (see Affiliates definition below.) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. (See below for more on your rights under state law.) |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include registered investment advisers such as Eaton Vance Management, Eaton Vance Advisers International Ltd., Boston Management and Research, Calvert Research and Management, Parametric Portfolio Associates LLC, Atlanta Capital Management Company LLC, Morgan Stanley Investment Management Inc., Morgan Stanley Investment Management Co.; registered broker-dealers such as Morgan Stanley Distributors Inc. and Eaton Vance Distributors, Inc. (together, the “Investment Management Affiliates”); and companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. (the “Morgan Stanley Affiliates”). |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance does not jointly market. |
U.S. Customer Privacy Notice — continued | March 2024 |
Other important information | |
*PLEASE NOTE: Eaton Vance does not share your creditworthiness information or your transactions and experiences information with the Morgan Stanley Affiliates, nor does Eaton Vance enable the Morgan Stanley Affiliates to market to you. Your opt outs will prevent Eaton Vance from sharing your creditworthiness information with the Investment Management Affiliates and will prevent the Investment Management Affiliates from marketing their products to you.Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
One Post Office Square
Boston, MA 02109
Eaton Vance Floating-Rate Fund
One Post Office Square
Boston, MA 02109
One Post Office Square
Boston, MA 02109
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02109
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s 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 has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). |
(a)(2)(i) |
(a)(2)(ii) |
(b) |
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 Floating Rate Portfolio | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |
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/ James F. Kirchner | |
James F. Kirchner | ||
Principal Financial Officer | ||
Date: | June 25, 2024 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |