Eaton Vance Short Duration Diversified Income Fund (EVG) NPORT-P Eaton Vance Short Duration Diversified Income Fund (Jul 2020 report)

Eaton Vance

Short Duration Diversified Income Fund

July 31, 2020

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 30.8%⁽¹⁾

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.7%
AI Convoy (Luxembourg) S.a.r.l.
Term Loan, 4.65%, (6 mo. USD LIBOR + 3.50%), Maturing January 17, 2027		100	$	97,132
Dynasty Acquisition Co., Inc.
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026		43		35,058
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026		81		65,207
TransDigm, Inc.
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing August 22, 2024		482		452,711
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing December 9, 2025		950		891,295
			$	1,541,403
Air Transport — 0.1%
JetBlue Airways Corporation
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing June 12, 2024		175	$	173,119
Mileage Plus Holdings, LLC
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing June 25, 2027		125		125,061
			$	298,180
Automotive — 0.8%
Adient US, LLC
Term Loan, 4.49%, (USD LIBOR + 4.25%), Maturing May 6, 2024(2)		99	$	97,907
Autokiniton US Holdings, Inc.
Term Loan, 6.54%, (1 mo. USD LIBOR + 6.38%), Maturing May 22, 2025		123		116,988
Clarios Global, L.P.
Term Loan, 3.67%, (1 mo. USD LIBOR + 3.50%), Maturing April 30, 2026		546		534,545
Dayco Products, LLC
Term Loan, 4.61%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023		170		107,508
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing March 7, 2025		383		368,000
IAA, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing June 28, 2026		97		95,299
Tenneco, Inc.
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		517		450,761
Thor Industries, Inc.
Term Loan, 3.94%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026		142		139,854
			$	1,910,862
Brokerage/Securities Dealers/Investment Houses — 0.1%
Advisor Group, Inc.
Term Loan, 5.16%, (1 mo. USD LIBOR + 5.00%), Maturing July 31, 2026		174	$	164,766
OZ Management L.P.
Term Loan, 4.94%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023		3		3,387
			$	168,153

1

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Building and Development — 1.2%
American Builders & Contractors Supply Co., Inc.
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2027		347	$	338,311
APi Group DE, Inc.
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing October 1, 2026		224		220,237
Brookfield Property REIT, Inc.
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025		147		123,111
Core & Main L.P.
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing August 1, 2024(2)		171		166,655
CPG International, Inc.
Term Loan, 4.75%, (12 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing May 5, 2024		221		220,241
Cushman & Wakefield U.S. Borrower, LLC
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing August 21, 2025		788		756,750
NCI Building Systems, Inc.
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing April 12, 2025		98		96,731
Quikrete Holdings, Inc.
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2027		431		417,505
RE/MAX International, Inc.
Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing December 15, 2023		388		379,826
			$	2,719,367
Business Equipment and Services — 2.6%
Airbnb, Inc.
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing April 17, 2025		125	$	132,500
AlixPartners, LLP
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing April 4, 2024		123		121,070
Allied Universal Holdco, LLC
Term Loan, 4.41%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026		473		467,455
AppLovin Corporation
Term Loan, 3.66%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025		320		318,330
Term Loan, 4.16%, (1 mo. USD LIBOR + 4.00%), Maturing August 15, 2025		100		99,127
ASGN Incorporated
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing April 2, 2025		45		44,095
Bracket Intermediate Holding Corp.
Term Loan, 4.55%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025		123		116,211
Camelot U.S. Acquisition 1 Co.
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing October 30, 2026		274		268,734
CCC Information Services, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing April 29, 2024		293		290,394
Ceridian HCM Holding, Inc.
Term Loan, 2.61%, (1 week USD LIBOR + 2.50%), Maturing April 30, 2025		221		215,352
Deerfield Dakota Holding, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing April 9, 2027		325		320,971
EAB Global, Inc.
Term Loan, 4.75%, (USD LIBOR + 3.75%, Floor 1.00%), Maturing November 15, 2024(2)		196		188,413
EIG Investors Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 9, 2023		460		456,674
Garda World Security Corporation
Term Loan, 4.93%, (1 mo. USD LIBOR + 4.75%), Maturing October 30, 2026		120		119,410

2

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
IG Investment Holdings, LLC
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing May 23, 2025		425	$	405,596
Illuminate Buyer, LLC
Term Loan, 4.31%, (3 mo. USD LIBOR + 4.00%), Maturing June 16, 2027		125		123,906
IRI Holdings, Inc.
Term Loan, 4.61%, (3 mo. USD LIBOR + 4.25%), Maturing December 1, 2025		222		216,361
Iron Mountain, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026		122		117,911
KAR Auction Services, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing September 19, 2026		99		96,149
KUEHG Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 21, 2025		312		272,688
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), Maturing August 18, 2025		50		40,583
Monitronics International, Inc.
Term Loan, 7.75%, (1 mo. USD LIBOR + 6.50%, Floor 1.25%), Maturing March 29, 2024		200		154,867
PGX Holdings, Inc.
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing September 29, 2023		304		195,942
Pre-Paid Legal Services, Inc.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2025		66		64,312
Red Ventures, LLC
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing November 8, 2024		235		226,736
Spin Holdco, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing November 14, 2022		599		583,190
Techem Verwaltungsgesellschaft 675 mbH
Term Loan, 2.63%, (2 mo. EURIBOR + 2.63%), Maturing July 15, 2025	EUR	111		128,033
Tempo Acquisition, LLC
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing May 1, 2024		146		142,363
West Corporation
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing October 10, 2024		171		150,541
			$	6,077,914
Cable and Satellite Television — 1.4%
Charter Communications Operating, LLC
Term Loan, 1.92%, (1 mo. USD LIBOR + 1.75%), Maturing February 1, 2027		536	$	524,303
CSC Holdings, LLC
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025		444		430,903
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026		148		143,687
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2027		197		191,272
Numericable Group S.A.
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025		314		302,882
Radiate Holdco, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing February 1, 2024		171		167,774
Telenet Financing USD, LLC
Term Loan, 2.17%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2028		575		553,848

3

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
UPC Broadband Holding B.V.
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing April 30, 2028		125	$	121,563
Virgin Media Bristol, LLC
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing January 31, 2028		650		632,836
Virgin Media SFA Finance Limited
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing January 31, 2029	EUR	175		200,885
			$	3,269,953
Chemicals and Plastics — 1.4%
Aruba Investments, Inc.
Term Loan, 5.25%, (6 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing July 7, 2025		175	$	175,219
Emerald Performance Materials, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing August 1, 2021		240		239,600
Ferro Corporation
Term Loan, 2.56%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		48		47,680
Term Loan, 2.56%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		49		48,716
Gemini HDPE, LLC
Term Loan, 2.76%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024		325		317,302
H.B. Fuller Company
Term Loan, 2.19%, (1 mo. USD LIBOR + 2.00%), Maturing October 20, 2024		244		239,525
Hexion, Inc.
Term Loan, 3.80%, (3 mo. USD LIBOR + 3.50%), Maturing July 1, 2026		124		121,894
INEOS Enterprises Holdings II Limited
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing August 28, 2026	EUR	25		28,685
INEOS US Finance, LLC
Term Loan, 2.21%, (2 mo. USD LIBOR + 2.00%), Maturing April 1, 2024		512		492,893
Messer Industries GmbH
Term Loan, 2.81%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026		173		170,076
PQ Corporation
Term Loan, 2.51%, (3 mo. USD LIBOR + 2.25%), Maturing February 7, 2027		259		252,720
Term Loan, Maturing February 7, 2027(3)		300		299,375
Pregis TopCo Corporation
Term Loan, 4.16%, (1 mo. USD LIBOR + 4.00%), Maturing July 31, 2026		100		97,759
Starfruit Finco B.V.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		361		351,562
Tronox Finance, LLC
Term Loan, 2.97%, (USD LIBOR + 2.75%), Maturing September 23, 2024(2)		443		431,305
			$	3,314,311
Containers and Glass Products — 0.4%
Berry Global, Inc.
Term Loan, 2.19%, (1 mo. USD LIBOR + 2.00%), Maturing July 1, 2026		149	$	144,602
BWAY Holding Company
Term Loan, 3.52%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024		233		218,526
Flex Acquisition Company, Inc.
Term Loan, 3.55%, (3 mo. USD LIBOR + 3.25%), Maturing June 29, 2025		220		210,225
Pelican Products, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing May 1, 2025		98		92,733

4

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Reynolds Consumer Products, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing February 4, 2027		349	$	343,524
			$	1,009,610
Cosmetics/Toiletries — 0.1%
Kronos Acquisition Holdings, Inc.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing May 15, 2023		296	$	292,367
			$	292,367
Drugs — 1.7%
Akorn, Inc.
Term Loan, 15.50%, (1 mo. USD LIBOR + 14.50%, Floor 1.00%), 14.75% cash, 0.75% PIK, Maturing April 16, 2021		164	$	160,345
Alkermes, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing March 27, 2023		70		68,245
Amneal Pharmaceuticals, LLC
Term Loan, 3.69%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025		514		486,490
Arbor Pharmaceuticals, Inc.
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing July 5, 2023		189		173,194
Bausch Health Companies, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025		668		658,428
Catalent Pharma Solutions, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing May 18, 2026		123		123,077
Elanco Animal Health, Inc.
Term Loan, Maturing August 1, 2027(3)		300		293,438
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), Maturing April 29, 2024		752		721,412
Grifols Worldwide Operations USA, Inc.
Term Loan, 2.11%, (1 week USD LIBOR + 2.00%), Maturing November 15, 2027		124		122,142
Horizon Therapeutics USA, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing May 22, 2026		331		325,606
Mallinckrodt International Finance S.A.
Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing September 24, 2024		695		584,407
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing February 24, 2025		232		195,973
			$	3,912,757
Ecological Services and Equipment — 0.2%
EnergySolutions, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing May 9, 2025		172	$	159,709
GFL Environmental, Inc.
Term Loan, 4.00%, (USD LIBOR + 3.00%, Floor 1.00%), Maturing May 30, 2025(2)		275		274,107
			$	433,816
Electronics/Electrical — 4.4%
Applied Systems, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing September 19, 2024		414	$	411,474
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing September 19, 2025		75		75,825
Astra Acquisition Corp.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing March 1, 2027		125		121,570

5

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Avast Software B.V.
Term Loan, 3.25%, (3 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing September 29, 2023		62	$	60,951
Banff Merger Sub, Inc.
Term Loan, 4.41%, (1 mo. USD LIBOR + 4.25%), Maturing October 2, 2025		369		357,748
Blackhawk Network Holdings, Inc.
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing June 15, 2025		123		114,660
Castle US Holding Corporation
Term Loan, 4.06%, (3 mo. USD LIBOR + 3.75%), Maturing January 29, 2027		142		133,813
CDW, LLC
Term Loan, 1.92%, (1 mo. USD LIBOR + 1.75%), Maturing October 13, 2026		547		546,753
CentralSquare Technologies, LLC
Term Loan, 3.91%, (1 mo. USD LIBOR + 3.75%), Maturing August 29, 2025		123		109,335
Cohu, Inc.
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		98		94,320
CommScope, Inc.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026		273		267,862
Cornerstone OnDemand, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing April 22, 2027		275		273,453
ECI Macola/Max Holdings, LLC
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing September 27, 2024		122		120,699
Electro Rent Corporation
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing January 31, 2024		267		264,199
Epicor Software Corporation
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing July 30, 2027		99		99,461
EXC Holdings III Corp.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing December 2, 2024		73		72,120
Finastra USA, Inc.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing June 13, 2024		393		364,459
Flexera Software, LLC
Term Loan, 4.25%, (USD LIBOR + 3.25%, Floor 1.00%), Maturing February 26, 2025(2)		24		24,315
Go Daddy Operating Company, LLC
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing February 15, 2024		601		586,888
Hyland Software, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing July 1, 2024		171		168,245
Infoblox, Inc.
Term Loan, 4.66%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023		142		142,460
Informatica, LLC
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing February 25, 2027		923		903,368
MA FinanceCo., LLC
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024		25		23,382
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing June 5, 2025		275		272,250
MTS Systems Corporation
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing July 5, 2023		93		91,136
NCR Corporation
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing August 28, 2026		149		144,781
Redstone Buyer, LLC
Term Loan, Maturing June 29, 2027(3)		175		172,813
Refinitiv US Holdings, Inc.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		172		171,251

6

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Renaissance Holding Corp.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing May 30, 2025		172	$	167,070
Seattle Spinco, Inc.
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024		167		157,902
SkillSoft Corporation
DIP Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing September 14, 2020		38		37,601
Term Loan, 0.00%, Maturing April 28, 2021(4)		667		435,281
SolarWinds Holdings, Inc.
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024		171		168,407
Solera, LLC
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing March 3, 2023		122		120,060
SS&C Technologies Holdings Europe S.a.r.l.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025		161		156,428
SS&C Technologies, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025		229		222,651
SurveyMonkey, Inc.
Term Loan, 3.87%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025		216		210,876
Syncsort Incorporated
Term Loan, 6.61%, (3 mo. USD LIBOR + 6.25%), Maturing August 16, 2024		219		212,731
Tech Data Corporation
Term Loan, 3.67%, (1 mo. USD LIBOR + 3.50%), Maturing June 30, 2025		175		173,833
Tibco Software, Inc.
Term Loan, 3.92%, (1 mo. USD LIBOR + 3.75%), Maturing June 30, 2026		196		189,872
Uber Technologies, Inc.
Term Loan, 3.66%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023		313		306,322
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing April 4, 2025		221		217,626
Ultimate Software Group, Inc. (The)
Term Loan, 3.91%, (1 mo. USD LIBOR + 3.75%), Maturing May 4, 2026		248		246,373
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), Maturing May 4, 2026		625		626,318
Ultra Clean Holdings, Inc.
Term Loan, 4.66%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		103		102,276
Verifone Systems, Inc.
Term Loan, 4.38%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025		172		152,276
VS Buyer, LLC
Term Loan, 3.42%, (1 mo. USD LIBOR + 3.25%), Maturing February 28, 2027		175		172,162
Vungle, Inc.
Term Loan, 5.66%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2026		99		99,250
			$	10,364,906
Equipment Leasing — 0.1%
Delos Finance S.a.r.l.
Term Loan, 2.06%, (3 mo. USD LIBOR + 1.75%), Maturing October 6, 2023		298	$	288,092
IBC Capital Limited
Term Loan, 4.06%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023		23		22,033
			$	310,125
Financial Intermediaries — 1.2%
Aretec Group, Inc.
Term Loan, 4.41%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025		197	$	182,282
Citco Funding, LLC
Term Loan, 3.57%, (6 mo. USD LIBOR + 2.50%), Maturing September 28, 2023		642		624,944
Claros Mortgage Trust, Inc.
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing August 9, 2026		124		115,998

7

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Ditech Holding Corporation
Term Loan, 0.00%, Maturing June 30, 2022(4)		474	$	111,473
EIG Management Company, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing February 22, 2025		49		48,753
FinCo. I, LLC
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing December 27, 2022		147		144,767
Focus Financial Partners, LLC
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing July 3, 2024		418		408,058
Franklin Square Holdings L.P.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2025		74		72,582
Greenhill & Co., Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024		140		134,400
GreenSky Holdings, LLC
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025		196		192,079
Guggenheim Partners, LLC
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing July 21, 2023		185		185,119
Harbourvest Partners, LLC
Term Loan, 2.53%, (3 mo. USD LIBOR + 2.25%), Maturing March 3, 2025		60		58,478
LPL Holdings, Inc.
Term Loan, 1.92%, (1 mo. USD LIBOR + 1.75%), Maturing November 12, 2026		199		195,766
StepStone Group L.P.
Term Loan, 5.00%, (6 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing March 27, 2025		98		96,284
Victory Capital Holdings, Inc.
Term Loan, 2.80%, (3 mo. USD LIBOR + 2.50%), Maturing July 1, 2026		165		162,849
			$	2,733,832
Food Products — 0.9%
Alphabet Holding Company, Inc.
Term Loan, 3.66%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024		365	$	350,708
CHG PPC Parent, LLC
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing March 31, 2025		74		71,479
Froneri International, Ltd.
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing January 31, 2027		300		288,825
Hearthside Food Solutions, LLC
Term Loan, 3.85%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025		98		94,907
Term Loan, 4.16%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025		49		48,280
HLF Financing S.a.r.l.
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing August 18, 2025		147		145,662
Jacobs Douwe Egberts International B.V.
Term Loan, 2.19%, (1 mo. USD LIBOR + 2.00%), Maturing November 1, 2025		233		230,329
JBS USA Lux S.A.
Term Loan, 3.07%, (6 mo. USD LIBOR + 2.00%), Maturing May 1, 2026		691		671,088
Nomad Foods Europe Midco Limited
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024		195		189,677
			$	2,090,955
Food Service — 0.7%
1011778 B.C. Unlimited Liability Company
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing November 19, 2026		871	$	837,674

8

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aramark Services, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing March 11, 2025		140	$	133,735
IRB Holding Corp.
Term Loan, 3.75%, (6 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing February 5, 2025		270		253,569
KFC Holding Co.
Term Loan, 1.94%, (1 mo. USD LIBOR + 1.75%), Maturing April 3, 2025		169		164,266
Restaurant Technologies, Inc.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		25		23,702
US Foods, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing June 27, 2023		122		116,229
Term Loan, 3.07%, (6 mo. USD LIBOR + 2.00%), Maturing September 13, 2026		248		235,788
			$	1,764,963
Health Care — 2.8%
Accelerated Health Systems, LLC
Term Loan, 3.67%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025		74	$	71,659
ADMI Corp.
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing April 30, 2025		245		230,302
Alliance Healthcare Services, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing October 24, 2023		116		83,828
athenahealth, Inc.
Term Loan, 4.82%, (3 mo. USD LIBOR + 4.50%), Maturing February 11, 2026		222		219,549
Avantor, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing November 21, 2024		69		68,656
BW NHHC Holdco, Inc.
Term Loan, 5.39%, (3 mo. USD LIBOR + 5.00%), Maturing May 15, 2025		147		121,229
Change Healthcare Holdings, LLC
Term Loan, 3.50%, (3 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing March 1, 2024		877		859,295
Ensemble RCM, LLC
Term Loan, 4.01%, (3 mo. USD LIBOR + 3.75%), Maturing August 3, 2026		74		74,282
Envision Healthcare Corporation
Term Loan, 3.91%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025		667		447,124
Gentiva Health Services, Inc.
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing July 2, 2025		338		334,428
Greatbatch Ltd.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing October 27, 2022		95		94,642
Hanger, Inc.
Term Loan, 3.66%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025		147		144,059
Inovalon Holdings, Inc.
Term Loan, 3.19%, (1 mo. USD LIBOR + 3.00%), Maturing April 2, 2025		163		160,268
IQVIA, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing March 7, 2024		258		254,097
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing January 17, 2025		219		215,335
MPH Acquisition Holdings, LLC
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing June 7, 2023		351		346,703
Navicure, Inc.
Term Loan, 4.16%, (1 mo. USD LIBOR + 4.00%), Maturing October 22, 2026		150		146,851

9

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
One Call Corporation
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing November 25, 2022		197	$	177,004
Ortho-Clinical Diagnostics S.A.
Term Loan, 3.42%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025		503		488,908
Parexel International Corporation
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024		352		339,159
Phoenix Guarantor, Inc.
Term Loan, 3.42%, (1 mo. USD LIBOR + 3.25%), Maturing March 5, 2026		272		267,039
Select Medical Corporation
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing March 6, 2025		374		364,012
Surgery Center Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing September 3, 2024		146		137,973
Tecomet, Inc.
Term Loan, 4.68%, (6 mo. USD LIBOR + 3.50%), Maturing May 1, 2024		171		164,152
U.S. Anesthesia Partners, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing June 23, 2024		219		203,547
Verscend Holding Corp.
Term Loan, 4.66%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		221		220,646
Wink Holdco, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing December 2, 2024		317		310,141
			$	6,544,888
Home Furnishings — 0.2%
Serta Simmons Bedding, LLC
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing August 10, 2023		173	$	170,982
Term Loan - Second Lien, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing August 10, 2023		573		429,570
			$	600,552
Industrial Equipment — 1.4%
Altra Industrial Motion Corp.
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025		86	$	83,461
Apex Tool Group, LLC
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.25%, Floor 1.25%), Maturing August 1, 2024		352		323,284
CPM Holdings, Inc.
Term Loan, 3.95%, (2 mo. USD LIBOR + 3.75%), Maturing November 17, 2025		49		45,125
DexKo Global, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 24, 2024		121		116,583
EWT Holdings III Corp.
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing December 20, 2024		665		654,772
Filtration Group Corporation
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing March 29, 2025		235		230,557
Gardner Denver, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing March 1, 2027		169		162,577
Gates Global, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 1, 2024		362		354,392
Ingersoll-Rand Services Company
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing March 1, 2027		200		192,039

10

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
LTI Holdings, Inc.
Term Loan, 4.92%, (1 mo. USD LIBOR + 4.75%), Maturing July 24, 2026		25	$	22,083
Quimper AB
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), Maturing February 13, 2026	EUR	275		314,421
Robertshaw US Holding Corp.
Term Loan, 4.25%, (USD LIBOR + 3.25%, Floor 1.00%), Maturing February 28, 2025(2)		147		124,631
Titan Acquisition Limited
Term Loan, 3.36%, (6 mo. USD LIBOR + 3.00%), Maturing March 28, 2025		414		382,524
Vertical Midco GmbH
Term Loan, Maturing July 14, 2027(3)		200		197,578
			$	3,204,027
Insurance — 1.6%
Alliant Holdings Intermediate, LLC
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing May 9, 2025		241	$	233,722
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025		74		72,835
AmWINS Group, Inc.,
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing January 25, 2024		346		342,156
AssuredPartners, Inc.
Term Loan, 3.66%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2027		25		24,212
Asurion, LLC
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022		746		736,300
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023		409		403,517
Term Loan - Second Lien, 6.66%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025		94		94,849
Hub International Limited
Term Loan, 3.26%, (3 mo. USD LIBOR + 3.00%), Maturing April 25, 2025		711		691,672
NFP Corp.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing February 15, 2027		49		47,158
Ryan Specialty Group, LLC
Term Loan, Maturing June 29, 2027(3)		275		274,054
Sedgwick Claims Management Services, Inc.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025		172		165,018
USI, Inc.
Term Loan, 3.31%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024		389		376,844
Term Loan, 4.31%, (3 mo. USD LIBOR + 4.00%), Maturing December 2, 2026		199		196,347
			$	3,658,684
Leisure Goods/Activities/Movies — 1.7%
AMC Entertainment Holdings, Inc.
Term Loan, 4.08%, (6 mo. USD LIBOR + 3.00%), Maturing April 22, 2026		272	$	180,203
Amer Sports Oyj
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing March 30, 2026	EUR	525		561,220
Ancestry.com Operations, Inc.
Term Loan, 4.42%, (1 mo. USD LIBOR + 4.25%), Maturing August 27, 2026		124		119,920
Bombardier Recreational Products, Inc.
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing May 24, 2027		796		763,984
Carnival Corporation
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing June 30, 2025		200		197,000
ClubCorp Holdings, Inc.
Term Loan, 3.06%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024		267		231,400

11

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Crown Finance US, Inc.
Term Loan, 3.32%, (6 mo. USD LIBOR + 2.25%), Maturing February 28, 2025		244	$	157,139
Term Loan, 3.57%, (6 mo. USD LIBOR + 2.50%), Maturing September 30, 2026		223		142,982
Delta 2 (LUX) S.a.r.l.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing February 1, 2024		110		106,836
Emerald Expositions Holding, Inc.
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024		164		148,699
Lindblad Expeditions, Inc.
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025		76		66,121
Term Loan, 3.41%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025		306		264,482
Match Group, Inc.
Term Loan, 2.18%, (3 mo. USD LIBOR + 1.75%), Maturing February 13, 2027		100		97,750
NASCAR Holdings, Inc.
Term Loan, 2.92%, (1 mo. USD LIBOR + 2.75%), Maturing October 19, 2026		118		115,417
Playtika Holding Corp.
Term Loan, 7.07%, (6 mo. USD LIBOR + 6.00%), Maturing December 10, 2024		488		492,794
SRAM, LLC
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing March 15, 2024(2)		166		163,423
Steinway Musical Instruments, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 14, 2025		70		65,916
Travel Leaders Group, LLC
Term Loan, 4.17%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024		123		91,569
Vue International Bidco PLC
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing July 3, 2026	EUR	106		97,502
			$	4,064,357
Lodging and Casinos — 0.8%
Aristocrat Technologies, Inc.
Term Loan, 2.02%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024		82	$	79,603
CityCenter Holdings, LLC
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing April 18, 2024		413		383,560
Golden Nugget, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.50%, Floor 0.75%), Maturing October 4, 2023		233		196,370
GVC Holdings PLC
Term Loan, 3.31%, (6 mo. USD LIBOR + 2.25%), Maturing March 29, 2024		147		142,959
Hanjin International Corp.
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020		75		69,000
Playa Resorts Holding B.V.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 29, 2024		364		313,817
Stars Group Holdings B.V. (The)
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025		296		296,015
VICI Properties 1, LLC
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing December 20, 2024		239		230,042
Wyndham Hotels & Resorts, Inc.
Term Loan, 1.91%, (1 mo. USD LIBOR + 1.75%), Maturing May 30, 2025		197		188,289
			$	1,899,655

12

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Nonferrous Metals/Minerals — 0.1%
Murray Energy Corporation
DIP Loan, 13.00%, (1 mo. USD LIBOR + 11.00%, Floor 2.00%), Maturing August 31, 2020		97	$	56,315
Term Loan, 0.00%, Maturing October 17, 2022(4)		349		5,232
Noranda Aluminum Acquisition Corporation
Term Loan, 0.00%, Maturing February 28, 2021(4)		75		5,271
Oxbow Carbon, LLC
Term Loan, 3.91%, (1 mo. USD LIBOR + 3.75%), Maturing January 4, 2023		88		84,875
			$	151,693
Oil and Gas — 0.8%
Ameriforge Group, Inc.
Term Loan, 14.00%, (3 mo. USD LIBOR + 13.00%, Floor 1.00%), 9.00% cash, 5.00% PIK, Maturing June 8, 2022		76	$	66,915
Apergy Corporation
Term Loan, 2.69%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025		32		30,970
Blackstone CQP Holdco L.P.
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024		149		144,973
Buckeye Partners L.P.
Term Loan, 2.92%, (1 mo. USD LIBOR + 2.75%), Maturing November 1, 2026		399		391,187
CITGO Petroleum Corporation
Term Loan, 6.00%, (2 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing March 28, 2024		338		328,299
Delek US Holdings, Inc.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing March 31, 2025		100		97,069
Fieldwood Energy, LLC
Term Loan, 0.00%, Maturing April 11, 2022(4)		196		51,841
Matador Bidco S.a.r.l.
Term Loan, 4.91%, (1 mo. USD LIBOR + 4.75%), Maturing October 15, 2026		150		143,640
McDermott Technology Americas, Inc.
Term Loan, 3.17%, (1 mo. USD LIBOR + 3.00%), Maturing June 30, 2024		3		3,066
Term Loan, 4.17%, (1 mo. USD LIBOR + 4.00%), Maturing June 30, 2025		28		22,962
Prairie ECI Acquiror, L.P.
Term Loan, 4.91%, (1 mo. USD LIBOR + 4.75%), Maturing March 11, 2026		119		107,512
Term Loan, 4.93%, (1 mo. USD LIBOR + 4.75%), Maturing March 11, 2026		75		68,016
PSC Industrial Holdings Corp.
Term Loan, 4.98%, (6 mo. USD LIBOR + 3.75%), Maturing October 11, 2024		122		110,449
RDV Resources Properties, LLC
Term Loan, 7.50%, (1 mo. USD LIBOR + 6.50%, Floor 1.00%), Maturing March 29, 2024(5)		67		40,918
Sunrise Oil & Gas Properties, LLC
Term Loan, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		62		56,396
Term Loan - Second Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		63		50,424
Term Loan - Third Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		73		39,202
UGI Energy Services, LLC
Term Loan, 3.91%, (1 mo. USD LIBOR + 3.75%), Maturing August 13, 2026		149		147,108
			$	1,900,947

13

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Publishing — 0.3%
Ascend Learning, LLC
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 12, 2024		170	$	167,236
Getty Images, Inc.
Term Loan, 4.69%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026		146		132,643
Harland Clarke Holdings Corp.
Term Loan, 5.75%, (3 mo. USD LIBOR + 4.75%, Floor 1.00%), Maturing November 3, 2023		73		51,916
LSC Communications, Inc.
Term Loan, 0.00%, Maturing September 30, 2022(4)		133		23,297
ProQuest, LLC
Term Loan, 3.66%, (1 mo. USD LIBOR + 3.50%), Maturing October 23, 2026		274		270,034
Tweddle Group, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing September 17, 2023		35		30,021
			$	675,147
Radio and Television — 0.6%
Diamond Sports Group, LLC
Term Loan, 3.42%, (1 mo. USD LIBOR + 3.25%), Maturing August 24, 2026		447	$	361,208
Entercom Media Corp.
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing November 18, 2024		111		106,739
Entravision Communications Corporation
Term Loan, 2.91%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024		126		117,376
Gray Television, Inc.
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026		85		82,946
Hubbard Radio, LLC
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing March 28, 2025		95		89,140
iHeartCommunications, Inc.
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2026		75		70,078
Mission Broadcasting, Inc.
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		47		46,158
Nexstar Broadcasting, Inc.
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		185		179,880
Sinclair Television Group, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026		99		96,645
Terrier Media Buyer, Inc.
Term Loan, 4.41%, (1 mo. USD LIBOR + 4.25%), Maturing December 17, 2026		274		266,955
			$	1,417,125
Retailers (Except Food and Drug) — 0.3%
Ascena Retail Group, Inc.
Term Loan, 0.00%, Maturing August 21, 2022(4)		234	$	86,125
Bass Pro Group, LLC
Term Loan, 6.07%, (6 mo. USD LIBOR + 5.00%), Maturing September 25, 2024		243		242,612
BJ’s Wholesale Club, Inc.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing February 3, 2024		123		121,341
David’s Bridal, Inc.
Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), 6.00% cash, 5.00% PIK, Maturing June 23, 2023		51		44,299
Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing June 30, 2023		59		44,408
Hoya Midco, LLC
Term Loan, 4.57%, (6 mo. USD LIBOR + 3.50%), Maturing June 30, 2024		169		141,470

14

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
LSF9 Atlantis Holdings, LLC
Term Loan, 7.00%, (1 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing May 1, 2023		161	$	132,738
Pier 1 Imports (U.S.), Inc.
Term Loan, 0.00%, Maturing April 30, 2021(4)		95		21,262
			$	834,255
Steel — 0.4%
Atkore International, Inc.
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing December 22, 2023		232	$	229,812
GrafTech Finance, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 12, 2025		297		289,996
Neenah Foundry Company
Term Loan, 6.73%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022		102		89,523
Phoenix Services International, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing March 1, 2025		122		114,093
Zekelman Industries, Inc.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing January 24, 2027		125		121,492
			$	844,916
Surface Transport — 0.0%(6)
XPO Logistics, Inc.
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing February 24, 2025		100	$	98,977
			$	98,977
Telecommunications — 1.4%
CenturyLink, Inc.
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing March 15, 2027		1,045	$	1,009,780
Digicel International Finance Limited
Term Loan, 4.25%, (6 mo. USD LIBOR + 3.25%), Maturing May 28, 2024		122		104,962
Global Eagle Entertainment, Inc.
DIP Loan, 11.25%, (1 mo. USD LIBOR + 10.00%, Floor 1.25%), Maturing January 22, 2021		35		34,595
Term Loan, 0.00%, Maturing January 6, 2023(4)		213		143,947
Intelsat Jackson Holdings S.A.
DIP Loan, 5.05%, (3 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing July 13, 2022(7)		74		75,423
Term Loan, 8.75%, (USD Prime + 5.50%), Maturing January 2, 2024		250		252,188
IPC Corp.
Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing August 6, 2021(5)		181		125,210
Onvoy, LLC
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing February 10, 2024		121		115,798
Plantronics, Inc.
Term Loan, 2.69%, (USD LIBOR + 2.50%), Maturing July 2, 2025(2)		180		167,929
Syniverse Holdings, Inc.
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing March 9, 2023		147		116,934
Telesat Canada
Term Loan, 2.92%, (1 mo. USD LIBOR + 2.75%), Maturing December 7, 2026		199		193,465
Zayo Group Holdings, Inc.
Term Loan, 3.16%, (1 mo. USD LIBOR + 3.00%), Maturing March 9, 2027		374		364,477

15

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Ziggo Financing Partnership
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2028		625	$	602,051
			$	3,306,759
Utilities — 0.4%
Brookfield WEC Holdings, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing August 1, 2025		320	$	314,323
Calpine Construction Finance Company, L.P.
Term Loan, 2.16%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2025		165		160,455
Calpine Corporation
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2024		186		182,879
Lightstone Holdco, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing January 30, 2024		4		3,782
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing January 30, 2024		78		67,050
USIC Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing December 8, 2023		171		165,099
			$	893,588
Total Senior Floating-Rate Loans (identified cost $77,176,817)			$	72,309,044
Corporate Bonds & Notes — 13.1%
Security	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.8%
Bombardier, Inc.
6.00%, 10/15/22(8)		429	$	400,042
6.125%, 1/15/23(8)		113		97,293
TransDigm, Inc.
6.50%, 7/15/24		250		251,260
6.50%, 5/15/25		1,000		982,605
6.25%, 3/15/26(8)		179		189,070
			$	1,920,270
Automotive — 0.4%
Clarios Global L.P.
6.25%, 5/15/26(8)		129	$	138,287
8.50%, 5/15/27(8)		642		675,801
Navistar International Corp.
6.625%, 11/1/25(8)		208		213,742
			$	1,027,830
Building and Development — 0.4%
Five Point Operating Co., L.P./Five Point Capital Corp.
7.875%, 11/15/25(8)		84	$	81,428

16

Security	Principal Amount* (000’s omitted)		Value
Greystar Real Estate Partners, LLC
5.75%, 12/1/25(8)		187	$	189,338
Reliance Intermediate Holdings, L.P.
6.50%, 4/1/23(8)		171		174,078
Standard Industries, Inc.
6.00%, 10/15/25(8)		350		365,601
			$	810,445
Business Equipment and Services — 0.9%
EIG Investors Corp.
10.875%, 2/1/24		960	$	985,099
KAR Auction Services, Inc.
5.125%, 6/1/25(8)		132		132,825
ServiceMaster Co., LLC (The)
7.45%, 8/15/27		1,000		1,079,810
			$	2,197,734
Cable and Satellite Television — 1.0%
Altice France S.A.
7.375%, 5/1/26(8)		355	$	379,034
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.50%, 5/1/26(8)		1,000		1,059,205
4.75%, 3/1/30(8)		75		79,922
CSC Holdings, LLC
7.50%, 4/1/28(8)		500		575,842
5.75%, 1/15/30(8)		200		221,961
TEGNA, Inc.
5.00%, 9/15/29(8)		74		74,670
			$	2,390,634
Conglomerates — 0.3%
Spectrum Brands, Inc.
5.00%, 10/1/29(8)		530	$	547,787
TMS International Holding Corp.
7.25%, 8/15/25(8)		239		199,565
			$	747,352
Containers and Glass Products — 0.6%
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
7.00%, 7/15/24(8)		1,332	$	1,358,640
			$	1,358,640
Distribution & Wholesale — 0.0%(6)
Performance Food Group, Inc.
5.50%, 10/15/27(8)		69	$	71,369
			$	71,369
Diversified Financial Services — 0.2%
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC
7.125%, 7/31/26(8)		460	$	448,500
			$	448,500
Drugs — 0.4%
Bausch Health Americas, Inc.
8.50%, 1/31/27(8)		63	$	70,183

17

Security	Principal Amount* (000’s omitted)		Value
Bausch Health Companies, Inc.
5.875%, 5/15/23(8)		24	$	24,019
9.00%, 12/15/25(8)		338		373,896
5.75%, 8/15/27(8)		31		33,718
Catalent Pharma Solutions, Inc.
4.875%, 1/15/26(8)		400		412,424
			$	914,240
Ecological Services and Equipment — 0.6%
Covanta Holding Corp.
5.875%, 7/1/25		1,000	$	1,038,645
GFL Environmental, Inc.
7.00%, 6/1/26(8)		96		102,102
8.50%, 5/1/27(8)		285		319,945
Waste Pro USA, Inc.
5.50%, 2/15/26(8)		25		25,448
			$	1,486,140
Electronics/Electrical — 0.0%(6)
Sensata Technologies, Inc.
4.375%, 2/15/30(8)		45	$	48,205
			$	48,205
Energy — 0.1%
Cheniere Energy Partners, L.P.
4.50%, 10/1/29		71	$	75,210
Sunoco, L.P./Sunoco Finance Corp.
4.875%, 1/15/23		75		76,492
			$	151,702
Financial Intermediaries — 0.2%
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.25%, 2/1/22		435	$	442,206
			$	442,206
Financial Services — 0.4%
Debt and Asset Trading Corp.
1.00%, 10/10/25(9)		1,060	$	829,450
			$	829,450
Food Products — 0.2%
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.
5.50%, 1/15/30(8)		353	$	389,712
			$	389,712
Health Care — 1.0%
Centene Corp.
5.25%, 4/1/25(8)		635	$	661,194
5.375%, 8/15/26(8)		113		121,369

18

Security	Principal Amount* (000’s omitted)		Value
HCA, Inc.
5.875%, 2/1/29		753	$	918,061
MPH Acquisition Holdings, LLC
7.125%, 6/1/24(8)		691		710,003
			$	2,410,627
Industrial Equipment — 0.0%(6)
Colfax Corp.
6.00%, 2/15/24(8)		36	$	37,984
6.375%, 2/15/26(8)		59		63,812
			$	101,796
Insurance — 0.4%
Hub International, Ltd.
7.00%, 5/1/26(8)		948	$	993,983
			$	993,983
Internet Software & Services — 0.2%
Netflix, Inc.
5.875%, 11/15/28		230	$	284,461
Riverbed Technology, Inc.
8.875%, 3/1/23(8)		229		141,407
			$	425,868
Leisure Goods/Activities/Movies — 0.1%
Viking Cruises, Ltd.
5.875%, 9/15/27(8)		312	$	205,725
			$	205,725
Lodging and Casinos — 0.6%
Caesars Resort Collection, LLC/CRC Finco, Inc.
5.25%, 10/15/25(8)		657	$	593,228
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc.
5.75%, 2/1/27		44		47,699
Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC
7.00%, 7/15/26(8)		500		540,688
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
5.25%, 5/15/27(8)		132		117,800
			$	1,299,415
Media — 0.2%
Scripps Escrow, Inc.
5.875%, 7/15/27(8)		477	$	479,981
			$	479,981
Metals/Mining — 0.1%
Cleveland-Cliffs, Inc.
6.75%, 3/15/26(8)		112	$	112,700
			$	112,700

19

Security	Principal Amount* (000’s omitted)		Value
Nonferrous Metals/Minerals — 0.2%
First Quantum Minerals, Ltd.
7.25%, 4/1/23(8)		441	$	443,635
			$	443,635
Oil and Gas — 0.9%
Archrock Partners L.P./Archrock Partners Finance Corp.
6.875%, 4/1/27(8)		250	$	256,591
Great Western Petroleum, LLC/Great Western Finance Corp.
9.00%, 9/30/21(8)		1,000		575,000
Petroleos Mexicanos
6.49%, 1/23/27(9)		512		489,472
5.95%, 1/28/31(9)		371		319,544
Tervita Corp.
7.625%, 12/1/21(8)		620		491,546
			$	2,132,153
Packaging & Containers — 0.2%
ARD Finance S.A.
6.50%, (6.50% cash or 7.25% PIK), 6/30/27(8)(10)		520	$	532,350
			$	532,350
Pipelines — 0.1%
Crestwood Midstream Partners, L.P./Crestwood Midstream Finance Corp.
5.625%, 5/1/27(8)		83	$	77,867
EnLink Midstream, LLC
5.375%, 6/1/29		50		40,105
			$	117,972
Radio and Television — 0.7%
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.375%, 8/15/26(8)		146	$	112,783
iHeartCommunications, Inc.
6.375%, 5/1/26		27		28,581
8.375%, 5/1/27		49		48,831
Nexstar Broadcasting, Inc.
5.625%, 7/15/27(8)		62		66,455
Sirius XM Radio, Inc.
4.625%, 7/15/24(8)		124		130,727
5.50%, 7/1/29(8)		500		557,970
4.125%, 7/1/30(8)		124		131,012
Terrier Media Buyer, Inc.
8.875%, 12/15/27(8)		480		492,900
			$	1,569,259
Steel — 0.3%
Allegheny Technologies, Inc.
7.875%, 8/15/23		700	$	738,832
Infrabuild Australia Pty, Ltd.
12.00%, 10/1/24(8)		73		68,985
			$	807,817
Surface Transport — 0.2%
XPO Logistics, Inc.
6.125%, 9/1/23(8)		346	$	353,714
			$	353,714

20

Security	Principal Amount* (000’s omitted)		Value
Technology — 0.4%
Dell International, LLC/EMC Corp.
7.125%, 6/15/24(8)		895	$	930,093
			$	930,093
Telecommunications — 0.9%
Altice France Holding S.A.
10.50%, 5/15/27(8)		269	$	308,846
CenturyLink, Inc.
7.50%, 4/1/24		66		74,828
Connect Finco S.a.r.l./Connect US Finco, LLC
6.75%, 10/1/26(8)		200		205,390
Hughes Satellite Systems Corp.
6.625%, 8/1/26		470		524,548
Sprint Capital Corp.
6.875%, 11/15/28		191		248,195
Sprint Communications, Inc.
6.00%, 11/15/22		25		27,000
Sprint Corp.
7.875%, 9/15/23		605		703,312
ViaSat, Inc.
5.625%, 4/15/27(8)		62		65,845
			$	2,157,964
Utilities — 0.1%
AES Corp. (The)
5.50%, 4/15/25		14	$	14,463
Calpine Corp.
5.75%, 1/15/25		104		107,276
5.25%, 6/1/26(8)		75		78,218
TerraForm Power Operating, LLC
4.25%, 1/31/23(8)		45		47,286
5.00%, 1/31/28(8)		70		77,337
			$	324,580
Total Corporate Bonds & Notes (identified cost $30,722,765)			$	30,634,061
Foreign Government Securities — 12.6%
Security	Principal Amount* (000’s omitted)		Value
Argentina — 0.7%
Republic of Argentina
3.75% to 3/31/29, 12/31/38(4)(11)		947	$	398,841
6.875%, 1/11/48(4)		1,615		676,281
7.625%, 4/22/46(4)		1,089		467,502
Total Argentina			$	1,542,624

21

Security		Principal Amount* (000’s omitted)		Value
Armenia — 0.5%
Republic of Armenia
3.95%, 9/26/29(9)			484	$	480,617
7.15%, 3/26/25(9)			552		630,141
Total Armenia				$	1,110,758
Bahrain — 1.0%
CBB International Sukuk Programme Co.
6.25%, 11/14/24(9)			315		342,455
Kingdom of Bahrain
6.75%, 9/20/29(9)			251		278,594
7.00%, 1/26/26(9)			393		442,403
7.00%, 10/12/28(9)			400		449,102
7.375%, 5/14/30(9)			720		828,144
Total Bahrain				$	2,340,698
Barbados — 0.5%
Government of Barbados
6.50%, 10/1/29(8)			1,210	$	1,154,710
Total Barbados				$	1,154,710
Belarus — 0.7%
Republic of Belarus
5.875%, 2/24/26(9)			200	$	194,646
6.378%, 2/24/31(9)			344		332,943
6.875%, 2/28/23(9)			1,185		1,202,005
Total Belarus				$	1,729,594
Benin — 0.4%
Benin Government International Bond
5.75%, 3/26/26(9)	EUR		904	$	1,009,973
Total Benin				$	1,009,973
Dominican Republic — 0.6%
Dominican Republic
4.50%, 1/30/30(9)			1,100	$	1,070,850
7.45%, 4/30/44(9)			303		342,541
Total Dominican Republic				$	1,413,391
Egypt — 1.5%
Arab Republic of Egypt
8.15%, 11/20/59(9)			1,099	$	1,026,598
8.50%, 1/31/47(9)			1,500		1,487,100
8.70%, 3/1/49(9)			731		726,265
8.875%, 5/29/50(9)			255		255,915
Total Egypt				$	3,495,878

22

Security		Principal Amount* (000’s omitted)		Value
Fiji — 0.4%
Republic of Fiji
6.625%, 10/2/20(9)			929	$	927,839
Total Fiji				$	927,839
Gabon — 0.4%
Republic of Gabon
6.625%, 2/6/31(9)			1,060	$	1,011,353
Total Gabon				$	1,011,353
Guatemala — 0.1%
Republic of Guatemala
6.125%, 6/1/50(9)			200	$	244,600
Total Guatemala				$	244,600
Honduras — 0.1%
Republic of Honduras
5.625%, 6/24/30(9)			296	$	309,320
Total Honduras				$	309,320
Iraq — 0.1%
Republic of Iraq
5.80%, 1/15/28(9)			244	$	227,181
Total Iraq				$	227,181
Jamaica — 0.5%
Jamaica Government International Bond
7.875%, 7/28/45			849	$	1,114,312
Total Jamaica				$	1,114,312
Jordan — 0.5%
Jordan Government International Bond
7.375%, 10/10/47(9)			1,200	$	1,260,052
Total Jordan				$	1,260,052
Lebanon — 0.1%
Lebanese Republic
6.25%, 6/12/25(4)(9)			130	$	22,178
6.65%, 4/22/24(4)(9)			316		53,325
7.00%, 3/20/28(4)(9)			129		20,655
7.15%, 11/20/31(4)(9)			202		32,061
8.20%, 5/17/33(4)			70		11,276
8.25%, 5/17/34(4)			58		9,317
Total Lebanon				$	148,812
Romania — 1.4%
Romanian Government International Bond
2.75%, 2/26/26(9)	EUR		270	$	337,957
3.375%, 1/28/50(9)	EUR		938		1,135,117
3.624%, 5/26/30(9)	EUR		265		346,086
4.625%, 4/3/49(9)	EUR		1,075		1,521,820
Total Romania				$	3,340,980

23

Security	Principal Amount* (000’s omitted)		Value
Seychelles — 0.3%
Republic of Seychelles
8.00%, 1/1/26(9)		764	$	676,443
Total Seychelles			$	676,443
Suriname — 0.2%
Suriname Government International Bond
9.25%, 10/26/26(9)		664	$	356,535
Total Suriname			$	356,535
Ukraine — 2.1%
Ukraine Government International Bond
0.00%, GDP-Linked, 5/31/40(8)(9)(12)		1,836	$	1,621,096
7.75%, 9/1/20(9)		160		160,118
9.75%, 11/1/28(9)		2,864		3,203,671
Total Ukraine			$	4,984,885
United Arab Emirates — 0.5%
Abu Dhabi Government International Bond
3.125%, 9/30/49(9)		1,000	$	1,122,446
Total United Arab Emirates			$	1,122,446
Total Foreign Government Securities (identified cost $28,302,112)			$	29,522,384
Sovereign Loans — 1.3%
Borrower	Principal Amount (000’s omitted)		Value
Kenya — 0.8%
Government of Kenya
Term Loan, 6.81%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(13)	$	1,850	$	1,807,073
Total Kenya			$	1,807,073
Nigeria — 0.1%
Bank of Industry Limited
Term Loan, 6.27%, (3 mo. USD LIBOR + 6.00%), Maturing April 11, 2021(13)(14)	$	270	$	265,307
Total Nigeria			$	265,307

24

Borrower	Principal Amount (000’s omitted)		Value
Tanzania — 0.4%
Government of the United Republic of Tanzania
Term Loan, 5.61%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(13)	$	1,086	$	1,090,936
Total Tanzania			$	1,090,936
Total Sovereign Loans (identified cost $3,198,108)			$	3,163,316
Mortgage Pass-Throughs — 12.4%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.825%, (COF + 1.25%), with maturity at 2035(15)	$	908	$	919,705
3.00%, with various maturities to 2050		5,791		6,166,368
4.50%, with various maturities to 2048		424		445,521
6.00%, with maturity at 2029		810		924,160
6.15%, with maturity at 2027		169		186,016
6.50%, with maturity at 2032		710		803,917
7.00%, with maturity at 2036		829		956,522
7.50%, with maturity at 2024		252		263,064
9.00%, with maturity at 2031		20		22,678
9.50%, with maturity at 2022		1		772
			$	10,688,723
Federal National Mortgage Association:
2.91%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(15)	$	271	$	281,151
3.00%, with maturity at 2050		3,989		4,242,089
5.00%, with various maturities to 2040		1,318		1,505,665
5.50%, with various maturities to 2033		943		1,075,598
6.00%, with maturity at 2023		317		336,093
6.328%, (COF + 2.00%, Floor 6.328%), with maturity at 2032(15)		262		286,346
6.50%, with various maturities to 2036		1,769		2,012,697
7.00%, with various maturities to 2037		810		918,299
10.00%, with various maturities to 2031		11		12,605
			$	10,670,543
Government National Mortgage Association:
3.00%, with maturity at 2050(16)	$	5,000	$	5,299,512
4.50%, with maturity at 2047		1,079		1,195,788
7.50%, with maturity at 2025		310		328,867
8.00%, with maturity at 2034		722		812,188
9.50%, with maturity at 2025		6		6,250
			$	7,642,605
Total Mortgage Pass-Throughs (identified cost $28,066,884)			$	29,001,871

25

Collateralized Mortgage Obligations — 19.6%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	350	$	400,082
Series 2167, Class BZ, 7.00%, 6/15/29		334		384,451
Series 2182, Class ZB, 8.00%, 9/15/29		545		639,758
Series 4273, Class PU, 4.00%, 11/15/43		420		488,661
Series 4337, Class YT, 3.50%, 4/15/49		1,142		1,144,964
Series 4416, Class SU, 8.258%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(17)		107		107,929
Series 4452, Class ZJ, 3.00%, 11/15/44		1,153		1,161,728
Series 4584, Class PM, 3.00%, 5/15/46		554		569,104
Series 4608, Class TV, 3.50%, 1/15/55		1,298		1,326,514
Series 4626, Class UZ, 3.50%, 1/15/55		1,345		1,347,327
Series 4630, Class CZ, 3.00%, 12/15/43		417		417,597
Series 4677, Class SB, 15.316%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(17)		113		114,505
Series 4774, Class QD, 4.50%, 1/15/43		1,137		1,163,507
Series 4776, Class C, 4.50%, 3/15/43		885		893,809
Series 4858, Class LA, 4.50%, 8/15/43		276		276,799
Series 4980, Class ZP, 2.50%, 7/25/49		1,727		1,732,199
Interest Only:(18)
Series 362, Class C7, 3.50%, 9/15/47		3,757		278,667
Series 2631, Class DS, 6.925%, (7.10% - 1 mo. USD LIBOR), 6/15/33(17)		683		103,121
Series 2770, Class SH, 6.925%, (7.10% - 1 mo. USD LIBOR), 3/15/34(17)		1,018		256,025
Series 2981, Class CS, 6.545%, (6.72% - 1 mo. USD LIBOR), 5/15/35(17)		570		116,778
Series 3114, Class TS, 6.475%, (6.65% - 1 mo. USD LIBOR), 9/15/30(17)		1,272		207,638
Series 3339, Class JI, 6.415%, (6.59% - 1 mo. USD LIBOR), 7/15/37(17)		1,759		408,456
Series 4109, Class ES, 5.975%, (6.15% - 1 mo. USD LIBOR), 12/15/41(17)		33		8,820
Series 4121, Class IM, 4.00%, 10/15/39		1,490		26,786
Series 4163, Class GS, 6.025%, (6.20% - 1 mo. USD LIBOR), 11/15/32(17)		2,770		481,138
Series 4169, Class AS, 6.075%, (6.25% - 1 mo. USD LIBOR), 2/15/33(17)		1,459		284,794
Series 4180, Class GI, 3.50%, 8/15/26		884		37,014
Series 4203, Class QS, 6.075%, (6.25% - 1 mo. USD LIBOR), 5/15/43(17)		1,360		267,238
Series 4212, Class SA, 6.025%, (6.20% - 1 mo. USD LIBOR), 7/15/38(17)		965		11,226
Series 4332, Class KI, 4.00%, 9/15/43		575		24,808
Series 4370, Class IO, 3.50%, 9/15/41		787		27,620
Series 4497, Class CS, 6.025%, (6.20% - 1 mo. USD LIBOR), 9/15/44(17)		2,072		169,094
Series 4507, Class EI, 4.00%, 8/15/44		2,479		206,166
Series 4535, Class JS, 5.925%, (6.10% - 1 mo. USD LIBOR), 11/15/43(17)		2,064		109,007
Series 4548, Class JS, 5.925%, (6.10% - 1 mo. USD LIBOR), 9/15/43(17)		2,145		129,086
Series 4629, Class QI, 3.50%, 11/15/46		2,402		127,026
Series 4644, Class TI, 3.50%, 1/15/45		1,825		78,624
Series 4653, Class PI, 3.50%, 7/15/44		1,243		17,989
Series 4667, Class PI, 3.50%, 5/15/42		2,590		60,045
Series 4676, Class DI, 4.00%, 7/15/44		2,612		66,887
Series 4744, Class IO, 4.00%, 11/15/47		1,871		161,253
Series 4749, Class IL, 4.00%, 12/15/47		1,425		125,437

26

Security	Principal Amount (000’s omitted)		Value
Series 4767, Class IM, 4.00%, 5/15/45	$	1,475	$	36,669
Series 4768, Class IO, 4.00%, 3/15/48		1,721		157,748
Series 4772, Class PI, 4.00%, 1/15/48		1,246		111,044
Series 4966, Class SY, 5.875%, (6.05% - 1 mo. USD LIBOR), 4/25/50(17)		4,930		727,999
Principal Only:(19)
Series 3309, Class DO, 0.00%, 4/15/37		942		897,538
Series 4478, Class PO, 0.00%, 5/15/45		498		474,836
			$	18,365,511
Federal National Mortgage Association:
Series G-33, Class PT, 7.00%, 10/25/21	$	3	$	2,753
Series 1991-122, Class N, 7.50%, 9/25/21		5		5,484
Series 1994-42, Class K, 6.50%, 4/25/24		97		105,278
Series 1997-38, Class N, 8.00%, 5/20/27		189		218,253
Series 2007-74, Class AC, 5.00%, 8/25/37		966		1,094,244
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(17)		275		310,892
Series 2012-134, Class ZT, 2.00%, 12/25/42		1,031		1,002,784
Series 2013-6, Class TA, 1.50%, 1/25/43		924		927,686
Series 2013-52, Class MD, 1.25%, 6/25/43		961		954,764
Series 2013-99, Class CF, 1.172%, (1 mo. USD LIBOR + 1.00%), 7/25/43(13)		340		345,891
Series 2015-74, Class SL, 2.248%, (2.349% - 1 mo. USD LIBOR x 0.587), 10/25/45(17)		867		779,408
Series 2017-15, Class LE, 3.00%, 6/25/46		711		729,306
Series 2017-66, Class ZJ, 3.00%, 9/25/57		520		519,429
Series 2017-110, Class Z, 3.00%, 2/25/57		11		11,043
Series 2018-18, Class QD, 4.50%, 5/25/45		992		1,027,078
Series 2020-46, Class KZ, 2.50%, 7/25/50		999		1,004,383
Series 2020-46, Class QZ, 2.50%, 3/15/48		839		840,376
Interest Only:(18)
Series 2004-46, Class SI, 5.828%, (6.00% - 1 mo. USD LIBOR), 5/25/34(17)		800		139,539
Series 2005-17, Class SA, 6.528%, (6.70% - 1 mo. USD LIBOR), 3/25/35(17)		877		211,810
Series 2006-42, Class PI, 6.418%, (6.59% - 1 mo. USD LIBOR), 6/25/36(17)		1,299		304,784
Series 2006-44, Class IS, 6.428%, (6.60% - 1 mo. USD LIBOR), 6/25/36(17)		1,067		254,317
Series 2007-50, Class LS, 6.278%, (6.45% - 1 mo. USD LIBOR), 6/25/37(17)		962		213,416
Series 2008-26, Class SA, 6.028%, (6.20% - 1 mo. USD LIBOR), 4/25/38(17)		1,265		285,446
Series 2008-61, Class S, 5.928%, (6.10% - 1 mo. USD LIBOR), 7/25/38(17)		1,865		368,890
Series 2010-109, Class PS, 6.428%, (6.60% - 1 mo. USD LIBOR), 10/25/40(17)		1,977		422,811
Series 2010-124, Class SJ, 5.878%, (6.05% - 1 mo. USD LIBOR), 11/25/38(17)		466		12,017
Series 2010-147, Class KS, 5.778%, (5.95% - 1 mo. USD LIBOR), 1/25/41(17)		2,529		438,308
Series 2010-150, Class GS, 6.578%, (6.75% - 1 mo. USD LIBOR), 1/25/21(17)		76		1,108
Series 2012-52, Class AI, 3.50%, 8/25/26		889		44,084
Series 2012-56, Class SU, 6.578%, (6.75% - 1 mo. USD LIBOR), 8/25/26(17)		26		227
Series 2012-63, Class EI, 3.50%, 8/25/40		1,363		17,538
Series 2012-103, Class GS, 5.928%, (6.10% - 1 mo. USD LIBOR), 2/25/40(17)		847		13,694
Series 2012-112, Class SB, 5.978%, (6.15% - 1 mo. USD LIBOR), 9/25/40(17)		2,596		111,443
Series 2012-118, Class IN, 3.50%, 11/25/42		2,932		314,347
Series 2012-150, Class PS, 5.978%, (6.15% - 1 mo. USD LIBOR), 1/25/43(17)		3,106		629,266
Series 2012-150, Class SK, 5.978%, (6.15% - 1 mo. USD LIBOR), 1/25/43(17)		1,730		314,180
Series 2013-23, Class CS, 6.078%, (6.25% - 1 mo. USD LIBOR), 3/25/33(17)		1,459		294,908
Series 2013-54, Class HS, 6.128%, (6.30% - 1 mo. USD LIBOR), 10/25/41(17)		741		53,993
Series 2014-32, Class EI, 4.00%, 6/25/44		606		69,553
Series 2014-55, Class IN, 3.50%, 7/25/44		1,571		150,066
Series 2014-80, Class BI, 3.00%, 12/25/44		2,909		241,603

27

Security	Principal Amount (000’s omitted)		Value
Series 2014-89, Class IO, 3.50%, 1/25/45	$	1,192	$	82,575
Series 2015-14, Class KI, 3.00%, 3/25/45		3,094		256,244
Series 2015-17, Class SA, 6.028%, (6.20% - 1 mo. USD LIBOR), 11/25/43(17)		1,854		118,886
Series 2015-52, Class MI, 3.50%, 7/25/45		1,478		137,818
Series 2015-57, Class IO, 3.00%, 8/25/45		7,756		631,136
Series 2015-93, Class BS, 5.978%, (6.15% - 1 mo. USD LIBOR), 8/25/45(17)		2,254		275,068
Series 2017-46, Class NI, 3.00%, 8/25/42		2,071		39,067
Series 2018-21, Class IO, 3.00%, 4/25/48		3,297		216,390
Series 2020-23, Class SP, 5.878%, (6.05% - 1 mo. USD LIBOR), 2/25/50(17)		3,928		597,725
Series 2020-45, Class IJ, 2.50%, 7/25/50		3,608		335,863
Principal Only:(19)
Series 2006-8, Class WQ, 0.00%, 3/25/36		735		681,906
			$	18,159,078
Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	319	$	322,781
Series 2013-131, Class GS, 3.329%, (3.50% - 1 mo. USD LIBOR), 6/20/43(17)		653		660,030
Series 2019-97, Class ZC, 3.50%, 8/20/49		960		960,944
Series 2019-110, Class ZD, 3.50%, 9/20/49		658		659,071
Series 2019-123, Class Z, 5.00%, 10/20/49		950		949,978
Series 2019-151, Class HZ, 3.50%, 12/20/49		1,488		1,490,315
Series 2019-158, Class ZJ, 3.50%, 12/20/49		4,260		4,273,332
Interest Only:(18)
Series 2017-121, Class DS, 4.313%, (4.50% - 1 mo. USD LIBOR), 8/20/47(17)		2,557		276,005
			$	9,592,456
Total Collateralized Mortgage Obligations (identified cost $54,145,484)			$	46,117,045
Commercial Mortgage-Backed Securities — 7.2%
Security	Principal Amount (000’s omitted)		Value
BAMLL Commercial Mortgage Securities Trust
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(8)(20)	$	795	$	517,418
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(8)(20)		1,605		998,585
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48(8)		2,000		1,510,462
COMM Mortgage Trust
Series 2013-CR11, Class D, 5.12%, 8/10/50(8)(20)		2,858		2,220,449
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust
Series 2020-01, Class M10, 3.922%, (1 mo. USD LIBOR + 3.75%), 3/25/50(8)(13)		1,000		927,025
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class D, 4.554%, 9/15/47(8)(20)		1,850		1,138,707
Series 2014-C25, Class D, 3.945%, 11/15/47(8)(20)		360		245,049
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.425%, 8/15/46(8)(20)		1,850		1,522,823
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.15%, 7/15/50(8)(20)		1,500		1,277,618

28

Security	Principal Amount (000’s omitted)		Value
Series 2016-C29, Class D, 3.00%, 5/15/49(8)	$	1,000	$	727,190
Series 2016-C32, Class D, 3.396%, 12/15/49(8)(20)		250		160,300
Morgan Stanley Capital I Trust
Series 2016-UBS12, Class D, 3.312%, 12/15/49(8)		1,000		693,798
RETL Trust
Series 2019-RVP, Class B, 1.725%, (1 mo. USD LIBOR + 1.55%), 3/15/36(8)(13)		545		506,736
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.569%, 5/10/45(8)(20)		2,000		1,460,978
UBS-Barclays Commercial Mortgage Trust
Series 2013-C6, Class D, 4.307%, 4/10/46(8)(20)		1,000		637,731
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class D, 4.276%, 7/15/46(8)(20)		2,000		645,101
Series 2015-C31, Class D, 3.852%, 11/15/48		922		688,875
Series 2016-C35, Class D, 3.142%, 7/15/48(8)		1,000		693,509
Series 2016-C36, Class D, 2.942%, 11/15/59(8)		500		300,008
Total Commercial Mortgage-Backed Securities (identified cost $20,918,019)			$	16,872,362
Asset-Backed Securities — 16.3%
Security	Principal Amount (000’s omitted)		Value
AMMC CLO 15, Ltd.
Series 2014-15A, Class ERR, 7.185%, (3 mo. USD LIBOR + 6.91%), 1/15/32(8)(13)	$	2,000	$	1,709,801
AMMC CLO XII, Ltd.
Series 2013-12A, Class ER, 6.628%, (3 mo. USD LIBOR + 6.18%), 11/10/30(8)(13)		1,000		734,526
Ares LII CLO, Ltd.
Series 2019-52A, Class E, 6.808%, (3 mo. USD LIBOR + 6.55%), 4/22/31(8)(13)		1,000		916,544
Ares XL CLO, Ltd.
Series 2016-40A, Class DR, 6.625%, (3 mo. USD LIBOR + 6.35%), 1/15/29(8)(13)		1,000		875,752
Ares XXXIIR CLO, Ltd.
Series 2014-32RA, Class D, 6.242%, (3 mo. USD LIBOR + 5.85%), 5/15/30(8)(13)		1,000		864,232
Barings CLO, Ltd.
Series 2017-1A, Class E, 6.272%, (3 mo. USD LIBOR + 6.00%), 7/18/29(8)(13)		2,000		1,736,165
BlueMountain CLO XXIV, Ltd.
Series 2019-24A, Class E, 7.032%, (3 mo. USD LIBOR + 6.76%), 4/20/31(8)(13)		1,250		1,139,474
Carlyle Global Market Strategies CLO, Ltd.
Series 2012-3A, Class DR2, 6.768%, (3 mo. USD LIBOR + 6.50%), 1/14/32(8)(13)		2,000		1,425,197
Series 2014-4RA, Class D, 5.925%, (3 mo. USD LIBOR + 5.65%), 7/15/30(8)(13)		1,000		743,302
Series 2015-5A, Class DR, 6.972%, (3 mo. USD LIBOR + 6.70%), 1/20/32(8)(13)		1,000		771,270
Cole Park CLO, Ltd.
Series 2015-1A, Class ER, 6.872%, (3 mo. USD LIBOR + 6.60%), 10/20/28(8)(13)		3,000		2,566,743
Dryden Senior Loan Fund
Series 2015-40A, Class ER, 6.142%, (3 mo. USD LIBOR + 5.75%), 8/15/31(8)(13)		1,150		998,050
Galaxy XV CLO, Ltd.
Series 2013-15A, Class ER, 6.92%, (3 mo. USD LIBOR + 6.65%), 10/15/30(8)(13)		1,440		1,232,297
Galaxy XXI CLO, Ltd.
Series 2015-21A, Class ER, 5.522%, (3 mo. USD LIBOR + 5.25%), 4/20/31(8)(13)		1,000		792,778
Galaxy XXV CLO, Ltd.
Series 2018-25A, Class E, 6.195%, (3 mo. USD LIBOR + 5.95%), 10/25/31(8)(13)		1,250		1,070,410

29

Security	Principal Amount (000’s omitted)		Value
Golub Capital Partners CLO 22B, Ltd.
Series 2015-22A, Class ER, 6.272%, (3 mo. USD LIBOR + 6.00%), 1/20/31(8)(13)	$	2,000	$	1,443,956
Golub Capital Partners CLO 23M, Ltd.
Series 2015-23A, Class ER, 6.022%, (3 mo. USD LIBOR + 5.75%), 1/20/31(8)(13)		2,000		1,470,348
Madison Park Funding XXV, Ltd.
Series 2017-25A, Class D, 6.345%, (3 mo. USD LIBOR + 6.10%), 4/25/29(8)(13)		3,000		2,559,349
Magnetite XXII, Ltd.
Series 2019-22A, Class E, 7.025%, (3 mo. USD LIBOR + 6.75%), 4/15/31(8)(13)		1,000		945,246
Neuberger Berman CLO XVIII, Ltd.
Series 2014-18A, Class DR2, 6.191%, (3 mo. USD LIBOR + 5.92%), 10/21/30(8)(13)		3,000		2,652,750
OHA Credit Partners VII, Ltd.
Series 2012-7A, Class ER, 7.877%, (3 mo. USD LIBOR + 7.50%), 11/20/27(8)(13)		4,000		3,738,326
Palmer Square CLO, Ltd.
Series 2013-2A, Class DRR, 6.123%, (3 mo. USD LIBOR + 5.85%), 10/17/31(8)(13)		2,000		1,761,241
Series 2015-1A, Class DR2, 6.624%, (3 mo. USD LIBOR + 6.25%), 5/21/29(8)(13)		2,000		1,815,435
Regatta IX Funding, Ltd.
Series 2017-1A, Class E, 6.273%, (3 mo. USD LIBOR + 6.00%), 4/17/30(8)(13)		2,000		1,724,172
THL Credit Wind River CLO, Ltd.
Series 2017-1A, Class E, 6.692%, (3 mo. USD LIBOR + 6.42%), 4/18/29(8)(13)		1,050		908,666
Voya CLO, Ltd.
Series 2015-3A, Class DR, 6.472%, (3 mo. USD LIBOR + 6.20%), 10/20/31(8)(13)		2,000		1,636,492
Total Asset-Backed Securities (identified cost $44,385,697)			$	38,232,522
Common Stocks — 0.4%
Security	Shares		Value
Automotive — 0.0%(6)
Dayco Products, LLC(21)(22)		8,898	$	66,735
			$	66,735
Electronics/Electrical — 0.0%(6)
Answers Corp.(5)(21)(22)		5,814	$	10,756
			$	10,756
Oil and Gas — 0.1%
AFG Holdings, Inc.(5)(21)(22)		3,122	$	61,316
McDermott International, Inc.(21)(22)		12,407		44,045
RDV Resources, Inc., Class A(5)(21)(22)		4,228		0
Samson Resources II, LLC, Class A(5)(21)		4,171		27,111
Sunrise Oil & Gas, Inc., Class A(21)(22)		9,281		64,967
			$	197,439
Publishing — 0.3%
ION Media Networks, Inc.(5)(21)		1,357	$	578,245
Tweddle Group, Inc.(5)(21)(22)		333		1,022
			$	579,267

30

Security	Shares		Value
Radio and Television — 0.0%(6)
Clear Channel Outdoor Holdings, Inc.(21)(22)		11,266	$	10,325
Cumulus Media, Inc., Class A(21)(22)		6,722		26,418
iHeartMedia, Inc., Class A(21)(22)		4,791		40,053
			$	76,796
Retailers (Except Food and Drug) — 0.0%(6)
David’s Bridal, LLC(5)(21)(22)		4,108	$	38,204
			$	38,204
Total Common Stocks (identified cost $774,669)			$	969,197
Preferred Stocks — 0.0%(6)
Security	Shares		Value
Financial Services — 0.0%(6)
DBI Investors, Inc., Series A-1(5)(21)(22)		194	$	15,584
			$	15,584
Retailers (Except Food and Drug) — 0.0%(6)
David’s Bridal, LLC, Series A, 8.00% (PIK)(5)(21)(22)		114	$	9,120
David’s Bridal, LLC, Series B, 10.00% (PIK)(5)(21)(22)		466		37,727
			$	46,847
Total Preferred Stocks (identified cost $37,727)			$	62,431
Warrants — 0.0%
Security	Shares		Value
Retailers (Except Food and Drug) — 0.0%
David’s Bridal, LLC, Exp. 11/26/22(5)(21)(22)		793	$	0
Total Warrants (identified cost $0)			$	0
Miscellaneous — 0.0%(6)
Security	Shares		Value
Oil and Gas — 0.0%(6)
Paragon Offshore Finance Company, Class A(21)(22)		270	$	81
Paragon Offshore Finance Company, Class B(21)(22)		135		1,654
Total Miscellaneous (identified cost $2,936)			$	1,735

31

Short-Term Investments — 6.3%
U.S. Treasury Obligations — 0.4%
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 8/13/20(23)	$	1,000	$	999,980
Total U.S. Treasury Obligations (identified cost $999,958)			$	999,980
Other — 5.9%
Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 0.22%(24)		13,793,739	$	13,792,360
Total Other (identified cost $13,792,864)			$	13,792,360
Total Short-Term Investments (identified cost $14,792,822)			$	14,792,340
Total Investments — 120.0% (identified cost $302,524,040)			$	281,678,308
Less Unfunded Loan Commitments — (0.0)%(6)			$	(37,033	)
Net Investments — 120.0% (identified cost $302,487,007)			$	281,641,275
Other Assets, Less Liabilities — (20.0)%			$	(46,902,981	)
Net Assets — 100.0%			$	234,738,294

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) Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate.

(2) The stated interest rate represents the weighted average interest rate at July 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

(3) This Senior Loan will settle after July 31, 2020, at which time the interest rate will be determined.

(4) Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

32

(5) For fair value measurement disclosure purposes, security is categorized as Level 3.

(6) Amount is less than 0.05% or (0.05)%, as applicable.

(7) Unfunded or partially unfunded loan commitments. The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At July 31, 2020, the total value of unfunded loan commitments is $37,712.

(8) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2020, the aggregate value of these securities is $77,449,891 or 33.0% of the Fund’s net assets.

(9) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2020, the aggregate value of these securities is $27,328,611 or 11.6% of the Fund’s net assets.

(10) Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

(11) Step coupon security. Interest rate represents the rate in effect at July 31, 2020.

(12) Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.

(13) Variable rate security. The stated interest rate represents the rate in effect at July 31, 2020.

(14) Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

(15) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at July 31, 2020.

(16) When-issued security.

(17) Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2020.

(18) Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

(19) Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.

(20) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2020.

(21) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.

(22) Non-income producing security.

(23) Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

(24) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2020.

33

Centrally Cleared Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Settlement  Date		Value/ Unrealized Appreciation (Depreciation)
EUR	844,343	USD	978,002		8/3/20	$	16,592
USD	950,210	EUR	844,343		8/3/20		(44,383	)
USD	2,110,779	EUR	1,941,187		8/7/20		(175,985	)
						$	(203,776	)

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement  Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	733,518	USD	824,996	Goldman Sachs International		8/4/20	$	39,052	$	—
EUR	844,342	USD	977,219	Goldman Sachs International		8/4/20		17,375		—
EUR	534,409	USD	618,510	Goldman Sachs International		8/4/20		10,997		—
EUR	1,347,860	USD	1,593,844	Standard Chartered Bank		8/4/20		—		(6,132	)
USD	839,215	EUR	733,518	Citibank, N.A.		8/4/20		—		(24,834	)
USD	601,055	EUR	534,409	Goldman Sachs International		8/4/20		—		(28,452	)
USD	1,514,903	EUR	1,347,860	Standard Chartered Bank		8/4/20		—		(72,810	)
USD	978,019	EUR	844,342	State Street Bank and Trust Company		8/4/20		—		(16,575	)
USD	37,925	GBP	30,977	State Street Bank and Trust Company		8/28/20		—		(2,629	)
USD	618,866	EUR	534,409	Goldman Sachs International		8/31/20		—		(10,999	)
USD	977,782	EUR	844,343	Goldman Sachs International		8/31/20		—		(17,378	)
USD	1,594,796	EUR	1,347,860	Standard Chartered Bank		9/2/20		6,113		—
							$	73,537	$	(179,809	)

Futures Contracts

Description	Number of Contracts			Position		Expiration  Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
Interest Rate Futures
U.S. 10-Year Treasury Note		91			Long		9/21/20	$	12,747,109		$	134,311
U.S. Long Treasury Bond		23			Long		9/21/20		4,192,469			119,617
U.S. Ultra 10-Year Treasury Note		65			Long		9/21/20		10,351,250			156,258
U.S. Ultra-Long Treasury Bond		7			Long		9/21/20		1,593,812			84,421
5-Year Deliverable Interest Rate Swap		(6	)		Short		9/14/20		(606,984	)		(6,469	)
10-Year Deliverable Interest Rate Swap		(7	)		Short		9/14/20		(714,875	)		(20,672	)
Euro-Bobl		(6	)		Short		9/8/20		(955,836	)		(7,704	)
Euro-Bund		(1	)		Short		9/8/20		(209,110	)		(4,076	)
U.S. Long Treasury Bond		(1	)		Short		9/21/20		(182,281	)		(5,156	)
											$	450,530

34

Centrally Cleared Interest Rate Swaps

Notional Amount (000’s omitted)		Fund Pays/Receives  Floating Rate	Floating Rate	Annual Fixed Rate	Termination  Date		Value			Unamortized  Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
EUR	550	Receives	6-month EURIBOR (pays semi-annually)	(0.53)% (pays annually)		8/22/24	$	5,177		$	—	$	5,177
EUR	108	Receives	6-month EURIBOR (pays semi-annually)	0.37% (pays annually)		2/12/50		(16,914	)		—		(16,914	)
EUR	91	Receives	6-month EURIBOR (pays semi-annually)	0.38% (pays annually)		2/13/50		(14,471	)		2		(14,469	)
EUR	106	Receives	6-month EURIBOR (pays semi-annually)	0.39% (pays annually)		2/13/50		(17,012	)		—		(17,012	)
EUR	27	Receives	6-month EURIBOR (pays semi-annually)	0.38% (pays annually)		2/13/50		(4,299	)		—		(4,299	)
EUR	141	Receives	6-month EURIBOR (pays semi-annually)	0.35% (pays annually)		2/18/50		(21,158	)		—		(21,158	)
EUR	217	Receives	6-month EURIBOR (pays semi-annually)	0.34% (pays annually)		2/20/50		(31,466	)		—		(31,466	)
EUR	310	Receives	6-month EURIBOR (pays semi-annually)	0.32% (pays annually)		2/21/50		(42,611	)		—		(42,611	)
EUR	239	Receives	6-month EURIBOR (pays semi-annually)	0.12% (pays annually)		6/8/50		(15,456	)		—		(15,456	)
USD	335	Receives	3-month USD-LIBOR (pays quarterly)	1.93% (pays semi-annually)		11/3/20		(2,519	)		—		(2,519	)
USD	1,220	Receives	3-month USD-LIBOR (pays quarterly)	0.55% (pays semi-annually)		3/12/23		(13,763	)		—		(13,763	)
USD	188	Receives	3-month USD-LIBOR (pays quarterly)	1.46% (pays semi-annually)		1/30/25		(10,407	)		—		(10,407	)
USD	400	Receives	3-month USD-LIBOR (pays quarterly)	1.41% (pays semi-annually)		2/3/25		(23,474	)		—		(23,474	)
USD	500	Receives	3-month USD-LIBOR (pays quarterly)	0.43% (pays semi-annually)		4/30/25		(4,941	)		—		(4,941	)
USD	264	Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)		5/12/25		(1,075	)		—		(1,075	)
USD	140	Receives	3-month USD-LIBOR (pays quarterly)	0.34% (pays semi-annually)		5/15/25		(633	)		—		(633	)
USD	203	Receives	3-month USD-LIBOR (pays quarterly)	0.39% (pays semi-annually)		6/19/25		(1,405	)		—		(1,405	)
USD	882	Receives	3-month USD-LIBOR (pays quarterly)	1.74% (pays semi-annually)		12/16/26		(80,024	)		—		(80,024	)
USD	730	Receives	3-month USD-LIBOR (pays quarterly)	0.57% (pays semi-annually)		4/17/27		(11,691	)		—		(11,691	)
USD	2,309	Receives	3-month USD-LIBOR (pays quarterly)	2.09% (pays semi-annually)		7/15/29		(329,259	)		702		(328,557	)
USD	170	Receives	3-month USD-LIBOR (pays quarterly)	1.58% (pays semi-annually)		2/14/30		(18,253	)		—		(18,253	)

35

Notional Amount (000’s omitted)		Fund Pays/Receives  Floating Rate	Floating Rate	Annual Fixed Rate	Termination  Date		Value			Unamortized  Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
USD	350	Receives	3-month USD-LIBOR (pays quarterly)	1.57% (pays semi-annually)		2/14/30	$	(37,270	)	$	—		$	(37,270	)
USD	255	Receives	3-month USD-LIBOR (pays quarterly)	0.80% (pays semi-annually)		4/15/30		(7,599	)		—			(7,599	)
USD	245	Receives	3-month USD-LIBOR (pays quarterly)	0.60% (pays semi-annually)		5/12/30		(2,198	)		—		��	(2,198	)
USD	118	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		5/26/30		(1,773	)		—			(1,773	)
USD	790	Receives	3-month USD-LIBOR (pays quarterly)	0.66% (pays semi-annually)		6/2/30		(11,217	)		—			(11,217	)
USD	237	Receives	3-month USD-LIBOR (pays quarterly)	0.80% (pays semi-annually)		6/11/30		(6,512	)		—			(6,512	)
USD	32	Receives	3-month USD-LIBOR (pays quarterly)	0.77% (pays semi-annually)		6/12/30		(811	)		—			(811	)
USD	174	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/16/30		(3,003	)		—			(3,003	)
USD	137	Receives	3-month USD-LIBOR (pays quarterly)	0.74% (pays semi-annually)		6/18/30		(2,982	)		—			(2,982	)
USD	244	Receives	3-month USD-LIBOR (pays quarterly)	0.72% (pays semi-annually)		6/19/30		(4,774	)		—			(4,774	)
USD	281	Receives	3-month USD-LIBOR (pays quarterly)	0.72% (pays semi-annually)		6/19/30		(5,705	)		—			(5,705	)
USD	15	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		6/26/30		(219	)		—			(219	)
USD	525	Receives	3-month USD-LIBOR (pays quarterly)	2.88% (pays semi-annually)		1/31/49		(286,043	)		(262	)		(286,305	)
USD	68	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		8/27/49		(17,127	)		—			(17,127	)
USD	30	Receives	3-month USD-LIBOR (pays quarterly)	1.65% (pays semi-annually)		8/28/49		(7,111	)		—			(7,111	)
USD	650	Receives	3-month USD-LIBOR (pays quarterly)	1.87% (pays semi-annually)		10/25/49		(192,383	)		—			(192,383	)
USD	294	Receives	3-month USD-LIBOR (pays quarterly)	1.82% (pays semi-annually)		12/6/49		(83,612	)		—			(83,612	)
USD	41	Receives	3-month USD-LIBOR (pays quarterly)	1.81% (pays semi-annually)		12/6/49		(11,643	)		—			(11,643	)
USD	15	Receives	3-month USD-LIBOR (pays quarterly)	1.90% (pays semi-annually)		1/8/50		(4,548	)		—			(4,548	)
USD	100	Receives	3-month USD-LIBOR (pays quarterly)	0.79% (pays semi-annually)		4/23/50		(835	)		—			(835	)
USD	710	Receives	3-month USD-LIBOR (pays quarterly)	0.96% (pays semi-annually)		6/2/50		(37,154	)		—			(37,154	)

36

Notional Amount (000’s omitted)		Fund Pays/Receives  Floating Rate	Floating Rate	Annual Fixed Rate	Termination  Date		Value			Unamortized  Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
USD	174	Receives	3-month USD-LIBOR (pays quarterly)	1.10% (pays semi-annually)		6/11/50	$	(15,763	)	$	—	$	(15,763	)
USD	156	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		(6,885	)		—		(6,885	)
USD	70	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		(3,004	)		—		(3,004	)
USD	82	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/16/50		(4,494	)		—		(4,494	)
USD	120	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/17/50		(6,663	)		—		(6,663	)
Total							$	(1,416,982	)	$	442	$	(1,416,540	)

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Brazil	$	420	1.00% (pays quarterly)(1)		6/20/25		2.15	%	$	(22,193	)	$	37,940		$	15,747
Brazil		1,050	1.00% (pays quarterly)(1)		6/20/30		2.83			(162,624	)		221,304			58,680
Colombia		5,000	1.00% (pays quarterly)(1)		6/20/25		1.28			(61,287	)		439,477			378,190
Indonesia		4,760	1.00% (pays quarterly)(1)		6/20/25		1.16			(30,189	)		312,457			282,268
Mexico		2,500	1.00% (pays quarterly)(1)		6/20/25		1.42			(47,950	)		178,139			130,189
Mexico		1,150	1.00% (pays quarterly)(1)		6/20/30		2.05			(106,233	)		132,008			25,775
Peru		5,000	1.00% (pays quarterly)(1)		6/20/25		0.79			56,618			92,857			149,475
Philippines		1,400	1.00% (pays quarterly)(1)		6/20/25		0.57			31,159			(18,724	)		12,435
Poland		2,500	1.00% (pays quarterly)(1)		6/20/23		0.36			49,764			(27,542	)		22,222
South Africa		870	1.00% (pays quarterly)(1)		6/20/21		1.63			(3,910	)		9,240			5,330
Turkey		1,110	1.00% (pays quarterly)(1)		6/20/21		4.49			(32,732	)		45,448			12,716
Turkey		1,160	1.00% (pays quarterly)(1)		6/20/25		5.59			(220,665	)		202,948			(17,717	)
Total	$	26,920							$	(550,242	)	$	1,625,552		$	1,075,310

37

Credit Default Swaps — Sell Protection

Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Croatia	Nomura International PLC	$	5,000	1.00% (pays quarterly)(1)		12/20/21		0.38	%	$	49,308		$	63,761		$	113,069
Cyprus	Goldman Sachs International		5,000	1.00% (pays quarterly)(1)		12/20/21		0.70			26,758			75,156			101,914
Dubai	Bank of America, N.A.		2,000	1.00% (pays quarterly)(1)		12/20/22		1.36			(14,837	)		15,233			396
Dubai	Bank of America, N.A.		3,000	1.00% (pays quarterly)(1)		6/20/23		1.42			(32,731	)		7,865			(24,866	)
Hungary	Barclays Bank PLC		2,200	1.00% (pays quarterly)(1)		12/20/21		0.34			22,985			2,861			25,846
Kazakhstan	Barclays Bank PLC		2,500	1.00% (pays quarterly)(1)		12/20/22		0.67			22,502			18,183			40,685
Romania	Barclays Bank PLC		2,200	1.00% (pays quarterly)(1)		12/20/21		0.98			3,275			(1,438	)		1,837
Total		$	21,900							$	77,260		$	181,621		$	258,881

* If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At July 31, 2020, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $48,820,000.

** The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract.

*** Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

(1) Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Abbreviations:
COF	-	Cost of Funds 11th District
DIP	-	Debtor In Possession
EURIBOR	-	Euro Interbank Offered Rate
GDP	-	Gross Domestic Product
LIBOR	-	London Interbank Offered Rate
PIK	-	Payment In Kind
Currency Abbreviations:
EUR	-	Euro
GBP	-	British Pound Sterling
USD	-	United States Dollar

38

At July 31, 2020, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:

Credit Risk: The Fund enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase of securities.

Foreign Exchange Risk: The Fund holds foreign currency denominated investments. The value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Fund enters into forward foreign currency exchange contracts.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures contracts and interest rate swaps to manage the duration of its portfolio and to hedge against fluctuations in securities prices due to interest rates.

At July 31, 2020, the value of the Fund’s investment in affiliated funds was $13,792,360, which represents 5.9% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended July 31, 2020 were as follows:

Name of affiliated fund	Value, beginning of period		Purchases		Sales proceeds			Net realized gain (loss)		Change in unrealized appreciation (depreciation)			Value, end of period		Dividend income		Units, end of period
Short-Term Investments
Eaton Vance Cash Reserves Fund, LLC	$	24,972,867	$	163,559,852	$	(174,739,052	)	$	709	$	(2,016	)	$	13,792,360	$	118,741		13,793,739

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

• Level 1 — quoted prices in active markets for identical investments

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

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

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

39

At July 31, 2020, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1			Level 2			Level 3*		Total
Senior Floating-Rate Loans (Less Unfunded Loan Commitments)	$	—		$	72,105,883		$	166,128	$	72,272,011
Corporate Bonds & Notes		—			30,634,061			—		30,634,061
Foreign Government Securities		—			29,522,384			—		29,522,384
Sovereign Loans		—			3,163,316			—		3,163,316
Mortgage Pass-Throughs		—			29,001,871			—		29,001,871
Collateralized Mortgage Obligations		—			46,117,045			—		46,117,045
Commercial Mortgage-Backed Securities		—			16,872,362			—		16,872,362
Asset-Backed Securities		—			38,232,522			—		38,232,522
Common Stocks		120,841			131,702			716,654		969,197
Preferred Stocks		—			—			62,431		62,431
Warrants		—			—			0		0
Miscellaneous		—			1,735			—		1,735
Short-Term Investments —
U.S. Treasury Obligations		—			999,980			—		999,980
Other		—			13,792,360			—		13,792,360
Total Investments	$	120,841		$	280,575,221		$	945,213	$	281,641,275
Forward Foreign Currency Exchange Contracts	$	—		$	90,129		$	—	$	90,129
Futures Contracts		494,607			—			—		494,607
Swap Contracts		—			267,546			—		267,546
Total	$	615,448		$	280,932,896		$	945,213	$	282,493,557
Liability Description											��
Forward Foreign Currency Exchange Contracts	$	—		$	(400,177	)	$	—	$	(400,177	)
Futures Contracts		(44,077	)		—			—		(44,077	)
Swap Contracts		—			(2,157,510	)		—		(2,157,510	)
Total	$	(44,077	)	$	(2,557,687	)	$	—	$	(2,601,764	)

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

40

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended July 31, 2020 is not presented.

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

41