% Average Annual Total Returns 1,2 | Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 06/29/2004 | 9.69% | 15.47% | 4.69% | 4.91% |
Fund at Market Price | — | 16.12 | 17.95 | 6.14 | 4.80 |
Morningstar® LSTA® US Leveraged Loan Index SM | — | 7.07% | 11.94% | 4.91% | 4.29% |
% Premium/Discount to NAV 3 | |
As of period end | (6.30)% |
Distributions 4 | |
Total Distributions per share for the period | $0.684 |
Distribution Rate at NAV | 10.57% |
Distribution Rate at Market Price | 11.28 |
% Total Leverage 5 | |
Borrowings | 22.03% |
Variable Rate Term Preferred Shares (VRTP Shares) | 14.68 |
Top 10 Issuers (% of total investments) 1 | |
Ultimate Software Group, Inc. (The) | 1.1% |
Banff Merger Sub, Inc. | 0.9 |
Les Schwab Tire Centers | 0.8 |
Phoenix Guarantor, Inc. | 0.8 |
Asurion, LLC | 0.8 |
Virgin Media Bristol, LLC | 0.8 |
Mallinckrodt International Finance S.A. | 0.8 |
WP CPP Holdings, LLC | 0.8 |
Sophia, L.P. | 0.8 |
Vision Solutions, Inc. | 0.7 |
Total | 8.3% |
Top 10 Industries (% of total investments) 1 | |
Software | 13.8% |
Health Care Providers & Services | 5.7 |
Machinery | 5.2 |
Chemicals | 5.0 |
IT Services | 3.9 |
Capital Markets | 3.7 |
Specialty Retail | 3.3 |
Commercial Services & Supplies | 3.2 |
Hotels, Restaurants & Leisure | 3.1 |
Professional Services | 2.9 |
Total | 49.8% |
Credit Quality (% of total investments) 1,2 |
1 | Excludes cash and cash equivalents. |
2 | Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by S&P. |
1 | Morningstar® LSTA® US Leveraged Loan Index SM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Performance results reflect the effects of leverage. |
3 | The shares of the Fund often trade at a discount or premium to their net asset value. The discount or premium may vary over time and may be higher or lower than what is quoted in this report. For up-to-date premium/discount information, please refer to https://funds.eatonvance.com/closed-end-fund-prices.php. |
4 | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as qualified and non-qualified ordinary dividends, capital gains and nondividend distributions, also known as return of capital. For additional information about nondividend distributions, please refer to Eaton Vance Closed-End Fund Distribution Notices (19a) posted on our website, eatonvance.com. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. This is reported on the IRS form 1099-DIV and provided to the shareholder shortly after each year-end. For information about the tax character of distributions made in prior calendar years, please refer to Performance-Tax Character of Distributions on the Fund’s webpage available at eatonvance. com. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. Fund distributions may be affected by numerous factors including changes in Fund performance, the cost of financing for leverage, portfolio holdings, realized and projected returns, and other factors. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. |
5 | Leverage represents the liquidation value of the Fund’s VRTP Shares and borrowings outstanding as a percentage of Fund net assets applicable to common shares plus VRTP Shares and borrowings outstanding. Use of leverage creates an opportunity for income, but creates risks including greater price volatility. The cost of leverage rises and falls with changes in short-term interest rates. The Fund may be required to maintain prescribed asset coverage for its leverage and may be required to reduce its leverage at an inopportune time. |
Fund profile subject to change due to active management. |
Important Notice to Shareholders | |
On January 26, 2023, the Fund’s Board of Trustees voted to exempt, on a going forward basis, all prior and, until further notice, new acquisitions of Fund shares that otherwise might be deemed “Control Share Acquisitions” under the Fund’s By-Laws from the Control Share Provisions of the Fund’s By-Law. |
Asset-Backed Securities — 8.7% |
Security | Principal Amount (000's omitted) | Value | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 11.491%, (3 mo. SOFR + 6.112%), 5/15/30 (1)(2) | $ | 2,000 | $ 1,801,050 |
Ares XXXIV CLO, Ltd., Series 2015-2A, Class ER, 12.514%, (3 mo. SOFR + 7.112%), 4/17/33 (1)(2) | 1,300 | 1,223,461 | |
Benefit Street Partners CLO XIX, Ltd., Series 2019-19A, Class E, 12.676%, (3 mo. SOFR + 7.282%), 1/15/33 (1)(2) | 750 | 745,890 | |
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class ER, 12.406%, (3 mo. SOFR + 7.012%), 10/15/34 (1)(2) | 1,000 | 966,792 | |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 12.346%, (3 mo. SOFR + 6.93%), 4/20/35 (1)(2) | 1,000 | 971,787 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.807%, (3 mo. SOFR + 7.392%), 10/20/34 (1)(2) | 1,500 | 1,465,032 | |
Canyon Capital CLO, Ltd.: | |||
Series 2019-2A, Class ER, 12.406%, (3 mo. SOFR + 7.012%), 10/15/34 (1)(2) | 400 | 390,027 | |
Series 2022-1A, Class E, 11.803%, (3 mo. SOFR + 6.40%), 4/15/35 (1)(2) | 1,250 | 1,190,072 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class DR2, 12.156%, (3 mo. SOFR + 6.762%), 1/14/32 (1)(2) | 1,200 | 1,063,746 | |
Series 2015-5A, Class DR, 12.377%, (3 mo. SOFR + 6.962%), 1/20/32 (1)(2) | 500 | 432,974 | |
Cedar Funding X CLO, Ltd., Series 2019-10A, Class ER, 12.177%, (3 mo. SOFR + 6.762%), 10/20/32 (1)(2) | 1,000 | 965,988 | |
Clover CLO, Ltd., Series 2019-1A, Class ER, 12.095%, (3 mo. SOFR + 6.70%), 4/18/35 (1)(2) | 1,000 | 981,000 | |
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 12.301%, (3 mo. SOFR + 6.907%), 10/15/30 (1)(2) | 1,000 | 970,734 | |
Galaxy XXI CLO, Ltd., Series 2015-21A, Class ER, 10.927%, (3 mo. SOFR + 5.512%), 4/20/31 (1)(2) | 1,000 | 952,740 | |
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 11.59%, (3 mo. SOFR + 6.212%), 10/25/31 (1)(2) | 250 | 238,331 | |
Golub Capital Partners CLO 23M, Ltd., Series 2015-23A, Class ER, 11.427%, (3 mo. SOFR + 6.012%), 1/20/31 (1)(2) | 1,200 | 1,167,115 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.516%, (3 mo. SOFR + 7.10%), 4/20/35 (1)(2) | 1,000 | 965,654 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35 (1)(2) | 1,000 | 990,971 | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.878%, (3 mo. SOFR + 6.50%), 4/25/36 (1)(2) | 1,000 | 968,546 |
Security | Principal Amount (000's omitted) | Value | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.514%, (3 mo. SOFR + 6.112%), 10/17/31 (1)(2) | $ | 900 | $ 890,501 |
Series 2014-1A, Class DR2, 11.364%, (3 mo. SOFR + 5.962%), 1/17/31 (1)(2) | 1,500 | 1,455,822 | |
Series 2015-1A, Class DR4, 12.129%, (3 mo. SOFR + 6.762%), 5/21/34 (1)(2) | 500 | 481,103 | |
Series 2019-1A, Class DR, 12.139%, (3 mo. SOFR + 6.762%), 11/14/34 (1)(2) | 1,000 | 1,005,075 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 12.36%, (3 mo. SOFR + 6.962%), 7/24/32 (1)(2) | 1,000 | 992,664 | |
RAD CLO 7, Ltd., Series 2020-7A, Class E, 12.164%, (3 mo. SOFR + 6.762%), 4/17/33 (1)(2) | 1,275 | 1,269,141 | |
Regatta XIV Funding, Ltd., Series 2018-3A, Class E, 11.59%, (3 mo. SOFR + 6.212%), 10/25/31 (1)(2) | 700 | 654,737 | |
Regatta XVI Funding, Ltd., Series 2019-2A, Class E, 12.656%, (3 mo. SOFR + 7.262%), 1/15/33 (1)(2) | 750 | 741,546 | |
Vibrant CLO X, Ltd., Series 2018-10A, Class D, 11.867%, (3 mo. SOFR + 6.452%), 10/20/31 (1)(2) | 850 | 693,399 | |
Vibrant CLO XI, Ltd., Series 2019-11A, Class D, 12.447%, (3 mo. SOFR + 7.032%), 7/20/32 (1)(2) | 1,000 | 919,849 | |
Voya CLO, Ltd., Series 2013-1A, Class DR, 12.136%, (3 mo. SOFR + 6.742%), 10/15/30 (1)(2) | 2,000 | 1,444,832 | |
Wellfleet CLO, Ltd., Series 2020-1A, Class D, 12.896%, (3 mo. SOFR + 7.502%), 4/15/33 (1)(2) | 1,300 | 1,198,565 | |
Total Asset-Backed Securities (identified cost $31,874,262) | $ 30,199,144 |
Closed-End Funds — 2.1% |
Security | Shares | Value | |
BlackRock Floating Rate Income Strategies Fund, Inc. | 111,292 | $ 1,336,617 | |
Invesco Senior Income Trust | 402,161 | 1,608,644 | |
Nuveen Credit Strategies Income Fund | 406,731 | 2,045,857 | |
Nuveen Floating Rate Income Fund | 278,390 | 2,224,336 | |
Total Closed-End Funds (identified cost $9,825,283) | $ 7,215,454 |
Common Stocks — 1.1% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Worldwide Services, LLC (3)(4)(5) | 58 | $ 0 | |
$ 0 |
Security | Shares | Value | |
Chemicals — 0.0% | |||
Flint Campfire Topco, Ltd., Class A (3)(4)(5) | 219,691 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.2% | |||
Monitronics International, Inc. (4)(5) | 20,728 | $ 435,288 | |
Phoenix Services International, LLC (4)(5) | 17,026 | 161,747 | |
Phoenix Services International, LLC (4)(5) | 1,554 | 14,763 | |
$ 611,798 | |||
Electronics/Electrical — 0.0% | |||
Skillsoft Corp. (4) | 2,823 | $ 54,032 | |
$ 54,032 | |||
Entertainment — 0.1% | |||
New Cineworld, Ltd. (4)(5) | 15,478 | $ 278,604 | |
$ 278,604 | |||
Health Care — 0.1% | |||
Envision Parent, Inc. (4)(5) | 49,670 | $ 459,448 | |
$ 459,448 | |||
Household Durables — 0.3% | |||
Serta Simmons Bedding, Inc. (4)(5) | 81,273 | $ 1,036,231 | |
Serta SSB Equipment Co. (3)(4)(5) | 81,273 | 0 | |
$ 1,036,231 | |||
Investment Companies — 0.0% (6) | |||
Aegletes B.V. (4)(5) | 15,179 | $ 36,619 | |
Jubilee Topco, Ltd., Class A (3)(4)(5) | 506,431 | 0 | |
$ 36,619 | |||
Pharmaceuticals — 0.4% | |||
Covis Midco 1 S.a.r.l., Class A (4)(5) | 501 | $ 255 | |
Covis Midco 1 S.a.r.l., Class B (4)(5) | 501 | 255 | |
Covis Midco 1 S.a.r.l., Class C (4)(5) | 501 | 255 | |
Covis Midco 1 S.a.r.l., Class D (4)(5) | 501 | 256 | |
Covis Midco 1 S.a.r.l., Class E (4)(5) | 501 | 256 | |
Mallinckrodt International Finance S.A. (4)(5) | 30,561 | 1,180,419 | |
$ 1,181,696 | |||
Retailers (Except Food and Drug) — 0.0% (6) | |||
Phillips Feed Service, Inc. (3)(4)(5) | 613 | $ 32,169 | |
$ 32,169 |
Security | Shares | Value | |
Telecommunications — 0.0% | |||
GEE Acquisition Holdings Corp. (3)(4)(5) | 46,236 | $ 0 | |
$ 0 | |||
Total Common Stocks (identified cost $5,893,410) | $ 3,690,597 |
Corporate Bonds — 7.5% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace and Defense — 0.2% | |||
TransDigm, Inc., 4.875%, 5/1/29 | $ | 700 | $ 634,931 |
$ 634,931 | |||
Automotive — 0.3% | |||
Clarios Global, L.P./Clarios US Finance Co., 8.50%, 5/15/27 (1) | $ | 1,000 | $ 1,007,867 |
$ 1,007,867 | |||
Building and Development — 0.3% | |||
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28 (1) | $ | 625 | $ 594,500 |
Standard Industries, Inc., 4.75%, 1/15/28 (1) | 625 | 588,034 | |
$ 1,182,534 | |||
Business Equipment and Services — 0.7% | |||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26 (1) | $ | 1,000 | $ 972,395 |
Prime Security Services Borrower, LLC/Prime Finance, Inc.: | |||
5.25%, 4/15/24 (1) | 600 | 596,916 | |
5.75%, 4/15/26 (1) | 750 | 742,362 | |
$ 2,311,673 | |||
Cable and Satellite Television — 0.1% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp., 4.50%, 8/15/30 (1) | $ | 625 | $ 536,649 |
$ 536,649 | |||
Chemicals and Plastics — 0.3% | |||
NOVA Chemicals Corp., 4.875%, 6/1/24 (1) | $ | 1,000 | $ 989,393 |
$ 989,393 |
Security | Principal Amount (000's omitted) | Value | |
Cosmetics/Toiletries — 0.2% | |||
Edgewell Personal Care Co., 5.50%, 6/1/28 (1) | $ | 625 | $ 595,944 |
$ 595,944 | |||
Distribution & Wholesale — 0.4% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27 (1) | $ | 625 | $ 597,309 |
Performance Food Group, Inc., 5.50%, 10/15/27 (1) | 1,000 | 968,950 | |
$ 1,566,259 | |||
Diversified Financial Services — 0.1% | |||
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 6.375%, 2/1/30 (1) | $ | 625 | $ 437,694 |
$ 437,694 | |||
Engineering & Construction — 0.2% | |||
TopBuild Corp., 3.625%, 3/15/29 (1) | $ | 625 | $ 546,603 |
$ 546,603 | |||
Entertainment — 0.3% | |||
Caesars Entertainment, Inc., 8.125%, 7/1/27 (1) | $ | 1,000 | $ 1,019,608 |
$ 1,019,608 | |||
Financial Intermediaries — 0.2% | |||
Ford Motor Credit Co., LLC, 3.625%, 6/17/31 | $ | 1,000 | $ 830,978 |
$ 830,978 | |||
Food Service — 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons, LLC, 3.50%, 3/15/29 (1) | $ | 625 | $ 554,379 |
$ 554,379 | |||
Health Care — 0.8% | |||
Centene Corp., 3.375%, 2/15/30 | $ | 977 | $ 845,542 |
LifePoint Health, Inc., 5.375%, 1/15/29 (1) | 625 | 409,921 | |
Tenet Healthcare Corp., 6.875%, 11/15/31 | 1,000 | 989,400 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26 (1) | 625 | 492,869 | |
$ 2,737,732 | |||
Home Furnishings — 0.1% | |||
Tempur Sealy International, Inc., 4.00%, 4/15/29 (1) | $ | 625 | $ 541,507 |
$ 541,507 | |||
Insurance — 0.3% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27 (1) | $ | 625 | $ 600,000 |
Security | Principal Amount (000's omitted) | Value | |
Insurance (continued) | |||
AmWINS Group, Inc., 4.875%, 6/30/29 (1) | $ | 600 | $ 540,449 |
$ 1,140,449 | |||
Leisure Goods/Activities/Movies — 0.3% | |||
NCL Corp., Ltd., 5.875%, 2/15/27 (1) | $ | 550 | $ 532,999 |
Viking Cruises, Ltd., 5.875%, 9/15/27 (1) | 625 | 588,994 | |
$ 1,121,993 | |||
Media — 0.3% | |||
Audacy Capital Corp., 6.50%, 5/1/27 (1)(7) | $ | 625 | $ 10,937 |
iHeartCommunications, Inc.: | |||
6.375%, 5/1/26 | 208 | 176,938 | |
8.375%, 5/1/27 | 376 | 263,766 | |
Sirius XM Radio, Inc., 4.00%, 7/15/28 (1) | 625 | 558,945 | |
$ 1,010,586 | |||
Nonferrous Metals/Minerals — 0.1% | |||
New Gold, Inc., 7.50%, 7/15/27 (1) | $ | 474 | $ 464,573 |
$ 464,573 | |||
Oil and Gas — 0.5% | |||
Neptune Energy Bondco PLC, 6.625%, 5/15/25 (1) | $ | 1,000 | $ 996,165 |
Permian Resources Operating, LLC, 5.375%, 1/15/26 (1) | 625 | 605,069 | |
$ 1,601,234 | |||
Pipelines — 0.2% | |||
EQM Midstream Partners, L.P., 4.75%, 1/15/31 (1) | $ | 625 | $ 557,036 |
$ 557,036 | |||
Real Estate Investment Trusts (REITs) — 0.2% | |||
HAT Holdings I, LLC/HAT Holdings II, LLC, 3.375%, 6/15/26 (1) | $ | 625 | $ 566,337 |
$ 566,337 | |||
Retail — 0.0% (6) | |||
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28 (1) | $ | 54 | $ 56,071 |
Kohl's Corp., 4.625%, 5/1/31 | 154 | 112,761 | |
$ 168,832 | |||
Retailers (Except Food and Drug) — 0.3% | |||
Dave & Buster's, Inc., 7.625%, 11/1/25 (1) | $ | 500 | $ 501,787 |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/29 (1) | 500 | 471,748 | |
$ 973,535 |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.2% | |||
athenahealth Group, Inc., 6.50%, 2/15/30 (1) | $ | 625 | $ 542,168 |
$ 542,168 | |||
Telecommunications — 0.3% | |||
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26 (1) | $ | 1,000 | $ 960,967 |
$ 960,967 | |||
Utilities — 0.2% | |||
NRG Energy, Inc., 3.625%, 2/15/31 (1) | $ | 1,000 | $ 818,488 |
$ 818,488 | |||
Wireless Telecommunication Services — 0.2% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24 (1) | $ | 600 | $ 552,990 |
$ 552,990 | |||
Total Corporate Bonds (identified cost $27,354,173) | $ 25,972,939 |
Senior Floating-Rate Loans — 138.4% (8) |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Aerospace and Defense — 2.2% | |||
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.722%, (3 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 450 | $ 477,580 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.348%, (SOFR + 4.00%), 8/24/28 | 1,855 | 1,855,519 | |
Term Loan, 9.348%, (SOFR + 4.00%), 8/24/28 | 795 | 795,222 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23 (3) | 408 | 316,279 | |
WP CPP Holdings, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 4/30/25 | 4,215 | 4,168,678 | |
$ 7,613,278 | |||
Airlines — 1.0% | |||
American Airlines, Inc., Term Loan, 10.427%, (SOFR + 4.75%), 4/20/28 | 2,745 | $ 2,791,750 | |
Mileage Plus Holdings, LLC, Term Loan, 10.798%, (SOFR + 5.25%), 6/21/27 | 600 | 619,364 | |
$ 3,411,114 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Apparel & Luxury Goods — 0.8% | |||
Gloves Buyer, Inc.: | |||
Term Loan, 9.343%, (SOFR + 4.00%), 12/29/27 | 1,663 | $ 1,633,783 | |
Term Loan, 10.343%, (SOFR + 5.00%), 12/29/27 | 599 | 586,530 | |
Hanesbrands, Inc., Term Loan, 9.098%, (SOFR + 3.75%), 3/8/30 | 373 | 364,730 | |
$ 2,585,043 | |||
Auto Components — 4.0% | |||
Adient US, LLC, Term Loan, 8.713%, (SOFR + 3.25%), 4/10/28 | 1,626 | $ 1,629,450 | |
Autokiniton US Holdings, Inc., Term Loan, 9.963%, (SOFR + 4.50%), 4/6/28 | 3,254 | 3,262,335 | |
Clarios Global, L.P.: | |||
Term Loan, 7.097%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 630 | 686,744 |
Term Loan, 9.098%, (SOFR + 3.75%), 5/6/30 | 2,125 | 2,130,844 | |
DexKo Global, Inc.: | |||
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 240 | 252,008 |
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 535 | 562,581 |
Term Loan, 9.402%, (SOFR + 3.75%), 10/4/28 | 690 | 677,261 | |
Garrett LX I S.a.r.l., Term Loan, 8.895%, (SOFR + 3.25%), 4/30/28 | 760 | 760,449 | |
Garrett Motion, Inc., Term Loan, 9.883%, (SOFR + 4.50%), 4/30/28 | 679 | 683,661 | |
LSF12 Badger Bidco, LLC, Term Loan, 11.348%, (SOFR + 6.00%), 8/30/30 | 300 | 299,625 | |
LTI Holdings, Inc., Term Loan, 10.213%, (SOFR + 4.75%), 7/24/26 | 589 | 552,781 | |
RealTruck Group, Inc.: | |||
Term Loan, 8.963%, (SOFR + 3.50%), 1/31/28 | 1,814 | 1,747,119 | |
Term Loan, 10.436%, (SOFR + 5.00%), 1/31/28 | 700 | 686,000 | |
$ 13,930,858 | |||
Automobiles — 0.6% | |||
MajorDrive Holdings IV, LLC: | |||
Term Loan, 9.652%, (SOFR + 4.00%), 6/1/28 | 660 | $ 651,771 | |
Term Loan, 11.04%, (SOFR + 5.50%), 6/1/29 | 1,478 | 1,470,112 | |
$ 2,121,883 | |||
Beverages — 1.3% | |||
Arterra Wines Canada, Inc., Term Loan, 9.152%, (SOFR + 3.50%), 11/24/27 | 1,070 | $ 1,020,107 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Beverages (continued) | |||
City Brewing Company, LLC, Term Loan, 9.164%, (SOFR + 3.50%), 4/5/28 | 1,259 | $ 1,023,792 | |
Triton Water Holdings, Inc., Term Loan, 8.902%, (SOFR + 3.25%), 3/31/28 | 2,444 | 2,406,527 | |
$ 4,450,426 | |||
Biotechnology — 0.2% | |||
Alkermes, Inc., Term Loan, 7.946%, (SOFR + 2.50%), 3/12/26 | 383 | $ 382,302 | |
Alltech, Inc., Term Loan, 9.355%, (SOFR + 4.00%), 10/13/28 | 418 | 412,865 | |
$ 795,167 | |||
Building Products — 1.9% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.673%, (SOFR + 3.25%), 4/12/28 | 1,797 | $ 1,758,886 | |
LHS Borrower, LLC, Term Loan, 10.198%, (SOFR + 4.75%), 2/16/29 | 1,023 | 901,747 | |
MI Windows and Doors, LLC, Term Loan, 8.948%, (SOFR + 3.50%), 12/18/27 | 2,024 | 2,029,125 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.99%, (SOFR + 4.50%), 4/29/29 | 817 | 801,232 | |
Standard Industries, Inc., Term Loan, 7.699%, (SOFR + 2.25%), 9/22/28 | 934 | 935,832 | |
$ 6,426,822 | |||
Capital Markets — 5.9% | |||
Advisor Group, Inc., Term Loan, 9.848%, (SOFR + 4.50%), 8/17/28 | 2,362 | $ 2,366,494 | |
AllSpring Buyer, LLC, Term Loan, 8.949%, (SOFR + 3.25%), 11/1/28 | 1,333 | 1,316,706 | |
Aretec Group, Inc., Term Loan, 9.948%, (SOFR + 4.50%), 8/9/30 | 4,158 | 4,107,618 | |
Citadel Securities, L.P., Term Loan, 7.963%, (SOFR + 2.50%), 7/29/30 | 748 | 748,720 | |
Citco Funding, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 4/27/28 | 800 | 802,500 | |
Edelman Financial Center, LLC, Term Loan, 8.963%, (SOFR + 3.50%), 4/7/28 | 2,495 | 2,474,179 | |
EIG Management Company, LLC, Term Loan, 9.198%, (SOFR + 3.75%), 2/22/25 | 260 | 259,875 | |
FinCo I, LLC, Term Loan, 8.383%, (SOFR + 3.00%), 6/27/29 | 1,247 | 1,250,460 | |
Focus Financial Partners, LLC: | |||
Term Loan, 8.598%, (SOFR + 3.25%), 6/30/28 | 1,072 | 1,073,090 | |
Term Loan, 8.848%, (SOFR + 3.50%), 6/30/28 | 625 | 626,237 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Capital Markets (continued) | |||
HighTower Holdings, LLC, Term Loan, 9.38%, (SOFR + 4.00%), 4/21/28 | 1,985 | $ 1,978,195 | |
Hudson River Trading, LLC, Term Loan, 8.463%, (SOFR + 3.00%), 3/20/28 | 1,724 | 1,714,143 | |
Mariner Wealth Advisors, LLC, Term Loan, 8.901%, (SOFR + 3.25%), 8/18/28 | 1,668 | 1,653,823 | |
$ 20,372,040 | |||
Chemicals — 8.0% | |||
Aruba Investments, Inc.: | |||
Term Loan, 7.847%, (1 mo. EURIBOR + 4.00%), 11/24/27 | EUR | 512 | $ 527,925 |
Term Loan, 9.448%, (SOFR + 4.00%), 11/24/27 | 1,524 | 1,507,710 | |
Axalta Coating Systems U.S. Holdings, Inc.: | |||
Term Loan, 12/20/29 (9) | 110 | 110,848 | |
Term Loan, 12/20/29 (9) | 1,884 | 1,891,012 | |
Charter NEX US, Inc., Term Loan, 9.213%, (SOFR + 3.75%), 12/1/27 | 1,234 | 1,230,910 | |
CPC Acquisition Corp., Term Loan, 9.402%, (SOFR + 3.75%), 12/29/27 | 717 | 541,501 | |
Flint Group Midco Ltd.: | |||
Term Loan, 10.674%, (SOFR + 5.26%), 9.924% cash, 0.75% PIK, 12/31/26 | 386 | 357,991 | |
Term Loan, 12.674%, (SOFR + 7.26%), 5.774% cash, 6.90% PIK, 12/31/27 | 188 | 137,150 | |
Term Loan - Second Lien, 12.674%, (SOFR + 7.26%), 5.774% cash, 6.90% PIK, 12/31/27 | 251 | 41,375 | |
Gemini HDPE, LLC, Term Loan, 8.645%, (SOFR + 3.00%), 12/31/27 | 729 | 726,252 | |
Groupe Solmax, Inc., Term Loan, 10.259%, (SOFR + 4.75%), 5/29/28 (10) | 1,515 | 1,409,224 | |
INEOS Enterprises Holdings II Ltd., Term Loan, 7.964%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 200 | 215,360 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 9.238%, (SOFR + 3.75%), 7/8/30 | 1,075 | 1,057,531 | |
INEOS Finance PLC: | |||
Term Loan, 6.597%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 625 | 652,817 |
Term Loan, 7.847%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 4 | 4,093 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 7.847%, (1 mo. EURIBOR + 4.00%), 3/14/30 | EUR | 275 | 287,813 |
Term Loan, 9.198%, (SOFR + 3.75%), 3/14/30 | 848 | 821,379 | |
Term Loan, 9.698%, (SOFR + 4.25%), 4/2/29 | 1,955 | 1,908,569 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.948%, (SOFR + 2.50%), 11/8/28 | 517 | 513,085 | |
Term Loan, 8.948%, (SOFR + 3.50%), 2/18/30 | 748 | 743,048 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Chemicals (continued) | |||
Kraton Corporation, Term Loan, 8.921%, (SOFR + 3.25%), 3/15/29 | 1,138 | $ 1,096,641 | |
Kraton Polymers Holdings B.V., Term Loan, 7.25%, (EURIBOR + 3.25%), 3/15/29 (10) | EUR | 300 | 311,855 |
Lonza Group AG, Term Loan, 9.415%, (SOFR + 3.93%), 7/3/28 | 2,469 | 2,106,246 | |
Momentive Performance Materials, Inc., Term Loan, 9.848%, (SOFR + 4.50%), 3/29/28 | 1,918 | 1,838,996 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 9.99%, (SOFR + 4.50%), 11/9/28 | 345 | 345,073 | |
Term Loan, 10.39%, (SOFR + 5.00%), 11/9/28 | 2,000 | 2,008,250 | |
Rohm Holding GmbH, Term Loan, 10.881%, (SOFR + 5.00%), 7/31/26 | 1,460 | 1,310,145 | |
SCUR-Alpha 1503 GmbH, Term Loan, 10.883%, (SOFR + 5.50%), 3/29/30 | 498 | 442,778 | |
Starfruit Finco B.V., Term Loan, 9.423%, (SOFR + 4.00%), 4/3/28 | 623 | 619,801 | |
Tronox Finance, LLC, Term Loan, 8.848%, (SOFR + 3.50%), 8/16/28 | 500 | 499,375 | |
W.R. Grace & Co.-Conn., Term Loan, 9.402%, (SOFR + 3.75%), 9/22/28 | 2,432 | 2,429,407 | |
$ 27,694,160 | |||
Commercial Services & Supplies — 5.0% | |||
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.878%, (SOFR + 5.50%), 8/17/26 | 274 | $ 274,138 | |
Term Loan, 10.924%, (SOFR + 5.25%), 8/17/26 | 1,351 | 1,353,190 | |
Allied Universal Holdco, LLC, Term Loan, 9.198%, (SOFR + 3.75%), 5/12/28 | 1,991 | 1,941,822 | |
Belfor Holdings, Inc., Term Loan, 9.098%, (SOFR + 3.75%), 11/1/30 | 650 | 650,813 | |
EnergySolutions, LLC, Term Loan, 9.382%, (SOFR + 4.00%), 9/20/30 | 1,684 | 1,681,527 | |
Garda World Security Corporation, Term Loan, 9.746%, (SOFR + 4.25%), 10/30/26 | 2,426 | 2,425,323 | |
GFL Environmental, Inc., Term Loan, 7.912%, (SOFR + 2.50%), 5/31/27 | 28 | 27,865 | |
JFL-Tiger Acquisition Co., Inc., Term Loan, 10.403%, (SOFR + 5.00%), 10/17/30 | 725 | 721,979 | |
LABL, Inc., Term Loan, 10.448%, (SOFR + 5.00%), 10/29/28 | 614 | 581,824 | |
Monitronics International, Inc., Term Loan, 13.145%, (SOFR + 7.50%), 6/30/28 | 1,142 | 1,152,380 | |
Phoenix Services International, LLC, Term Loan, 11.448%, (SOFR + 6.10%), 6/30/28 | 205 | 192,062 | |
SITEL Worldwide Corporation, Term Loan, 9.098%, (SOFR + 3.75%), 8/28/28 | 2,291 | 2,192,067 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Tempo Acquisition, LLC, Term Loan, 8.098%, (SOFR + 2.75%), 8/31/28 | 1,616 | $ 1,618,813 | |
TMF Group Holding B.V., Term Loan, 10.414%, (SOFR + 5.00%), 5/3/28 | 375 | 377,109 | |
TruGreen Limited Partnership, Term Loan, 9.448%, (SOFR + 4.00%), 11/2/27 | 2,098 | 1,977,559 | |
$ 17,168,471 | |||
Communications Equipment — 0.1% | |||
Digi International, Inc., Term Loan, 10.463%, (SOFR + 5.00%), 11/1/28 | 290 | $ 291,007 | |
$ 291,007 | |||
Construction Materials — 0.7% | |||
Quikrete Holdings, Inc., Term Loan, 8.213%, (SOFR + 2.75%), 3/19/29 | 2,463 | $ 2,466,502 | |
$ 2,466,502 | |||
Consumer Staples Distribution & Retail — 0.6% | |||
Cardenas Markets, Inc., Term Loan, 12.24%, (SOFR + 6.75%), 8/1/29 | 423 | $ 423,481 | |
Peer Holding III B.V.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 550 | 598,894 |
Term Loan, 10/28/30 (9) | 1,125 | 1,125,234 | |
$ 2,147,609 | |||
Containers & Packaging — 2.1% | |||
Berlin Packaging, LLC, Term Loan, 9.195%, (SOFR + 3.75%), 3/11/28 (10) | 1,775 | $ 1,759,383 | |
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.623%, (SOFR + 4.18%), 4/13/29 | 2,498 | 2,481,703 | |
Pretium Packaging, LLC, Term Loan - Second Lien, 9.995%, (SOFR + 4.60%), 10/2/28 | 483 | 377,389 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.19%, (SOFR + 6.75%), 10/1/29 | 300 | 126,500 | |
Proampac PG Borrower, LLC, Term Loan, 9.881%, (SOFR + 4.50%), 9/15/28 | 1,150 | 1,144,250 | |
Trident TPI Holdings, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/15/28 | 1,257 | 1,237,698 | |
$ 7,126,923 | |||
Distributors — 0.0% (6) | |||
Phillips Feed Service, Inc., Term Loan, 12.448%, (SOFR + 7.00%), 11/13/24 (3) | 111 | $ 89,145 | |
$ 89,145 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Diversified Consumer Services — 1.1% | |||
Ascend Learning, LLC, Term Loan, 8.948%, (SOFR + 3.50%), 12/11/28 | 565 | $ 553,020 | |
KUEHG Corp., Term Loan, 10.39%, (SOFR + 5.00%), 6/12/30 | 2,100 | 2,105,414 | |
Sotheby's, Term Loan, 10.156%, (SOFR + 4.50%), 1/15/27 | 828 | 808,572 | |
Spring Education Group, Inc., Term Loan, 9.914%, (SOFR + 4.50%), 10/4/30 | 375 | 374,961 | |
$ 3,841,967 | |||
Diversified Financial Services — 0.5% | |||
Concorde Midco, Ltd., Term Loan, 7.892%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 575 | $ 612,588 |
Sandy BidCo B.V., Term Loan, 7.876%, (6 mo. EURIBOR + 3.75%), 8/17/29 | EUR | 950 | 1,021,149 |
$ 1,633,737 | |||
Diversified Telecommunication Services — 2.2% | |||
Altice France S.A., Term Loan, 10.894%, (SOFR + 5.50%), 8/15/28 | 1,234 | $ 1,058,582 | |
GEE Holdings 2, LLC: | |||
Term Loan, 13.50%, (SOFR + 8.00%), 3/24/25 | 408 | 371,315 | |
Term Loan - Second Lien, 13.75%, (SOFR + 8.25%), 7.00% cash, 6.75% PIK, 3/23/26 | 920 | 551,792 | |
Virgin Media Bristol, LLC, Term Loan, 8.687%, (SOFR + 3.25%), 1/31/29 | 4,250 | 4,217,534 | |
Zayo Group Holdings, Inc., Term Loan, 7.097%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 1,414 | 1,315,914 |
$ 7,515,137 | |||
Electrical Equipment — 0.4% | |||
AZZ, Inc., Term Loan, 9.098%, (SOFR + 3.75%), 5/13/29 | 1,314 | $ 1,319,192 | |
$ 1,319,192 | |||
Electronic Equipment, Instruments & Components — 2.8% | |||
Chamberlain Group, Inc., Term Loan, 8.698%, (SOFR + 3.25%), 11/3/28 | 1,326 | $ 1,301,597 | |
Creation Technologies, Inc., Term Loan, 11.176%, (SOFR + 5.50%), 10/5/28 | 1,332 | 1,272,275 | |
Ingram Micro, Inc., Term Loan, 8.653%, (SOFR + 3.00%), 6/30/28 | 2,750 | 2,748,281 | |
Mirion Technologies, Inc., Term Loan, 8.402%, (SOFR + 2.75%), 10/20/28 | 523 | 523,717 | |
MX Holdings US, Inc., Term Loan, 7/31/28 (9) | 250 | 250,469 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Robertshaw US Holding Corp.: | |||
Term Loan, 18.494%, (SOFR + 13.00%), 13.494% cash, 5.00% PIK, 2/28/27 | 241 | $ 243,011 | |
Term Loan - Second Lien, 12.49%, (SOFR + 7.00%), 2/28/27 | 1,016 | 838,319 | |
Verifone Systems, Inc., Term Loan, 9.641%, (SOFR + 4.00%), 8/20/25 | 1,213 | 1,155,218 | |
Verisure Holding AB: | |||
Term Loan, 6.969%, (3 mo. EURIBOR + 3.00%), 7/20/26 | EUR | 325 | 352,473 |
Term Loan, 6.972%, (3 mo. EURIBOR + 3.00%), 3/27/28 | EUR | 850 | 915,573 |
$ 9,600,933 | |||
Energy Equipment & Services — 0.2% | |||
Ameriforge Group, Inc., Term Loan, 18.436%, (SOFR + 13.00%), 13.436% cash, 5.00% PIK, 2/1/26 (3)(11) | 57 | $ 45,547 | |
GIP Pilot Acquisition Partners L.P., Term Loan, 8.388%, (SOFR + 3.00%), 10/4/30 | 475 | 475,000 | |
$ 520,547 | |||
Engineering & Construction — 1.0% | |||
Aegion Corporation, Term Loan, 10.395%, (SOFR + 4.75%), 5/17/28 | 1,284 | $ 1,272,987 | |
American Residential Services, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 10/15/27 | 608 | 606,293 | |
Northstar Group Services, Inc., Term Loan, 10.963%, (SOFR + 5.50%), 11/12/26 | 1,493 | 1,492,523 | |
$ 3,371,803 | |||
Entertainment — 1.1% | |||
City Football Group Limited, Term Loan, 8.455%, (SOFR + 3.00%), 7/21/28 | 983 | $ 978,201 | |
Crown Finance US, Inc., Term Loan, 7.381%, (SOFR + 1.50%), 7/31/28 | 331 | 338,495 | |
EP Purchaser, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 11/6/28 | 345 | 338,861 | |
Renaissance Holding Corp., Term Loan, 10.098%, (SOFR + 4.75%), 4/5/30 | 1,925 | 1,925,362 | |
Vue International Bidco PLC: | |||
Term Loan, 12.13%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 76 | 80,872 |
Term Loan, 12.63%, (EURIBOR + 8.50%), 6.13% cash, 6.50% PIK, 12/31/27 | EUR | 530 | 199,909 |
$ 3,861,700 | |||
Financial Services — 1.3% | |||
GTCR W Merger Sub, LLC, Term Loan, 9/20/30 (9) | 3,025 | $ 3,026,891 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Financial Services (continued) | |||
NCR Atleos, LLC, Term Loan, 10.198%, (SOFR + 4.75%), 3/27/29 | 1,350 | $ 1,325,250 | |
$ 4,352,141 | |||
Food Products — 1.4% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.213%, (SOFR + 4.75%), 10/1/25 | 490 | $ 463,662 | |
Badger Buyer Corp., Term Loan, 8.963%, (SOFR + 3.50%), 9/30/24 | 353 | 315,488 | |
CHG PPC Parent, LLC, Term Loan, 8.463%, (SOFR + 3.00%), 12/8/28 | 394 | 394,466 | |
Del Monte Foods, Inc., Term Loan, 9.704%, (SOFR + 4.25%), 5/16/29 | 893 | 886,414 | |
Nomad Foods US, LLC, Term Loan, 11/13/29 (9) | 2,000 | 2,003,626 | |
United Petfood Group B.V., Term Loan, 6.852%, (6 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 775 | 826,716 |
$ 4,890,372 | |||
Gas Utilities — 0.9% | |||
CQP Holdco, L.P., Term Loan, 8.99%, (SOFR + 3.50%), 6/5/28 | 2,913 | $ 2,922,246 | |
$ 2,922,246 | |||
Health Care Equipment & Supplies — 1.7% | |||
Artivion, Inc., Term Loan, 8.963%, (SOFR + 3.50%), 6/1/27 | 495 | $ 480,174 | |
Bayou Intermediate II, LLC, Term Loan, 10.154%, (SOFR + 4.50%), 8/2/28 | 1,757 | 1,687,107 | |
Journey Personal Care Corp., Term Loan, 9.981%, (6 mo. USD LIBOR + 4.25%), 3/1/28 | 2,593 | 2,508,283 | |
Medline Borrower, L.P., Term Loan, 8.463%, (SOFR + 3.00%), 10/23/28 | 1,231 | 1,232,917 | |
$ 5,908,481 | |||
Health Care Providers & Services — 9.0% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 9.402%, (SOFR + 3.75%), 9/7/28 | 1,629 | $ 1,628,568 | |
Biogroup-LCD, Term Loan, 7.216%, (3 mo. EURIBOR + 3.25%), 2/9/28 | EUR | 250 | 260,503 |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.39%, (SOFR + 8.00%), 1/15/26 | 2,485 | 2,124,294 | |
Cano Health, LLC, Term Loan, 9.533%, (SOFR + 4.00%), 11/23/27 (10) | 2,487 | 1,071,720 | |
CCRR Parent, Inc., Term Loan, 9.213%, (SOFR + 3.75%), 3/6/28 | 2,675 | 2,534,487 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Cerba Healthcare S.A.S.: | |||
Term Loan, 7.547%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 450 | $ 445,566 |
Term Loan, 7.847%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 525 | 522,603 |
CHG Healthcare Services, Inc.: | |||
Term Loan, 8.713%, (SOFR + 3.25%), 9/29/28 | 1,675 | 1,672,687 | |
Term Loan, 9.145%, (SOFR + 3.75%), 9/29/28 | 400 | 400,200 | |
CNT Holdings I Corp., Term Loan, 8.926%, (SOFR + 3.50%), 11/8/27 | 1,564 | 1,568,115 | |
Covis Finco S.a.r.l., Term Loan, 12.04%, (SOFR + 6.50%), 2/18/27 | 617 | 438,420 | |
Electron BidCo, Inc., Term Loan, 8.463%, (SOFR + 3.00%), 11/1/28 | 690 | 689,931 | |
Ensemble RCM, LLC, Term Loan, 9.233%, (SOFR + 3.75%), 8/3/26 | 373 | 373,795 | |
IVC Acquisition, Ltd.: | |||
Term Loan, 7.571%, (6 mo. EURIBOR + 3.50%), 2/13/26 | EUR | 1,350 | 1,473,150 |
Term Loan, 11/17/28 (9) | 1,025 | 1,018,594 | |
LSCS Holdings, Inc., Term Loan, 9.963%, (SOFR + 4.61%), 12/16/28 | 639 | 631,707 | |
Medical Solutions Holdings, Inc., Term Loan, 8.698%, (SOFR + 3.25%), 11/1/28 | 2,497 | 2,283,121 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.207%, (SOFR + 3.75%), 3/2/28 (10) | 1,745 | 1,594,918 | |
Term Loan, 9.24%, (SOFR + 3.75%), 3/2/28 | 52 | 47,203 | |
Option Care Health, Inc., Term Loan, 8.213%, (SOFR + 2.75%), 10/27/28 | 368 | 369,957 | |
Pacific Dental Services, LLC, Term Loan, 8.957%, (SOFR + 3.50%), 5/5/28 | 786 | 786,972 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.713%, (SOFR + 3.25%), 3/5/26 | 2,931 | 2,928,954 | |
Term Loan, 8.963%, (SOFR + 3.50%), 3/5/26 | 1,515 | 1,513,736 | |
Sound Inpatient Physicians, Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 474 | 162,852 | |
Surgery Center Holdings, Inc., Term Loan, 9.205%, (SOFR + 3.75%), 8/31/26 | 2,248 | 2,251,351 | |
Synlab Bondco PLC, Term Loan, 6.392%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 325 | 349,871 |
TTF Holdings, LLC, Term Loan, 3/31/28 (9) | 2,000 | 2,004,166 | |
$ 31,147,441 | |||
Health Care Technology — 3.3% | |||
Athenahealth Group, Inc., Term Loan, 8.598%, (SOFR + 3.25%), 2/15/29 | 1,776 | $ 1,747,703 | |
Certara, L.P., Term Loan, 9.15%, (SOFR + 3.50%), 8/15/26 | 940 | 942,201 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Health Care Technology (continued) | |||
Imprivata, Inc.: | |||
Term Loan, 9.213%, (SOFR + 3.75%), 12/1/27 | 980 | $ 982,044 | |
Term Loan, 9.57%, (SOFR + 4.25%), 12/1/27 | 198 | 198,364 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.463%, (SOFR + 4.00%), 12/18/28 | 960 | 765,899 | |
Term Loan - Second Lien, 12.213%, (SOFR + 6.75%), 12/17/29 | 625 | 367,708 | |
Navicure, Inc., Term Loan, 9.463%, (SOFR + 4.00%), 10/22/26 | 1,544 | 1,549,549 | |
PointClickCare Technologies, Inc., Term Loan, 8.765%, (SOFR + 3.00%), 12/29/27 | 658 | 658,125 | |
Project Ruby Ultimate Parent Corp., Term Loan, 8.713%, (SOFR + 3.25%), 3/10/28 | 1,219 | 1,210,371 | |
Symplr Software, Inc., Term Loan, 9.983%, (SOFR + 4.50%), 12/22/27 | 1,773 | 1,546,605 | |
Verscend Holding Corp., Term Loan, 9.463%, (SOFR + 4.00%), 8/27/25 | 1,558 | 1,560,801 | |
$ 11,529,370 | |||
Hotels, Restaurants & Leisure — 4.9% | |||
Carnival Corporation, Term Loan, 8.713%, (SOFR + 3.25%), 10/18/28 | 3,593 | $ 3,580,569 | |
ClubCorp Holdings, Inc., Term Loan, 10.649%, (SOFR + 5.00%), 9/18/26 | 1,381 | 1,326,086 | |
Fertitta Entertainment, LLC, Term Loan, 9.348%, (SOFR + 4.00%), 1/27/29 | 1,990 | 1,976,632 | |
Flutter Entertainment PLC, Term Loan, 11/25/30 (9) | 3,025 | 3,023,739 | |
Great Canadian Gaming Corporation, Term Loan, 9.658%, (SOFR + 4.00%), 11/1/26 | 1,506 | 1,509,859 | |
Ontario Gaming GTA L.P., Term Loan, 9.64%, (SOFR + 4.25%), 8/1/30 | 400 | 401,312 | |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.908%, (SOFR + 8.25%), 6/23/26 | 412 | 382,590 | |
Playa Resorts Holding B.V., Term Loan, 9.58%, (SOFR + 4.25%), 1/5/29 | 2,035 | 2,039,347 | |
Scientific Games Holdings, L.P., Term Loan, 8.914%, (SOFR + 3.50%), 4/4/29 | 1,985 | 1,978,295 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.463%, (SOFR + 3.00%), 8/25/28 | 760 | 759,636 | |
$ 16,978,065 | |||
Household Durables — 1.7% | |||
ACProducts, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 5/17/28 | 2,077 | $ 1,717,142 | |
Libbey Glass, Inc., Term Loan, 11.941%, (SOFR + 6.50%), 11/22/27 | 706 | 672,912 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Household Durables (continued) | |||
Serta Simmons Bedding, LLC, Term Loan, 12.824%, (SOFR + 7.50%), 6/29/28 | 1,570 | $ 1,549,660 | |
Solis IV B.V., Term Loan, 8.88%, (SOFR + 3.50%), 2/26/29 | 1,982 | 1,921,731 | |
$ 5,861,445 | |||
Household Products — 0.8% | |||
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 12/22/26 | 1,883 | $ 1,867,247 | |
Term Loan, 11.538%, (SOFR + 6.00%), 12/22/26 | 833 | 835,887 | |
$ 2,703,134 | |||
Insurance — 3.0% | |||
Alliant Holdings Intermediate, LLC, Term Loan, 8.831%, (SOFR + 3.50%), 11/5/27 | 1,097 | $ 1,099,674 | |
AmWINS Group, Inc., Term Loan, 8.213%, (SOFR + 2.75%), 2/19/28 | 645 | 647,191 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.963%, (SOFR + 3.50%), 2/12/27 | 1,368 | 1,368,509 | |
Term Loan, 8.963%, (SOFR + 3.50%), 2/12/27 | 1,369 | 1,369,071 | |
Financiere CEP S.A.S., Term Loan, 7.972%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 550 | 592,688 |
NFP Corp., Term Loan, 8.713%, (SOFR + 3.25%), 2/16/27 | 2,150 | 2,144,834 | |
Ryan Specialty Group, LLC, Term Loan, 8.448%, (SOFR + 3.00%), 9/1/27 | 2,932 | 2,939,625 | |
$ 10,161,592 | |||
Interactive Media & Services — 1.8% | |||
Adevinta ASA: | |||
Term Loan, 6.472%, (3 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 854 | $ 931,189 |
Term Loan, 8.322%, (SOFR + 2.75%), 6/26/28 | 182 | 182,566 | |
Arches Buyer, Inc., Term Loan, 8.698%, (SOFR + 3.25%), 12/6/27 | 1,980 | 1,950,724 | |
Buzz Finco, LLC: | |||
Term Loan, 8.198%, (SOFR + 2.75%), 1/29/27 | 579 | 580,628 | |
Term Loan, 8.698%, (SOFR + 3.25%), 1/29/27 | 67 | 67,183 | |
Foundational Education Group, Inc., Term Loan, 9.895%, (SOFR + 4.25%), 8/31/28 | 1,449 | 1,398,466 | |
Getty Images, Inc., Term Loan, 9.99%, (SOFR + 4.50%), 2/19/26 | 1,092 | 1,094,354 | |
$ 6,205,110 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
IT Services — 6.2% | |||
Asurion, LLC: | |||
Term Loan, 9.448%, (SOFR + 4.00%), 8/19/28 | 1,223 | $ 1,199,022 | |
Term Loan - Second Lien, 10.713%, (SOFR + 5.25%), 1/31/28 | 2,070 | 1,865,587 | |
Term Loan - Second Lien, 10.713%, (SOFR + 5.25%), 1/20/29 | 1,425 | 1,263,351 | |
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 4,017 | 3,887,730 | |
Gainwell Acquisition Corp., Term Loan, 9.49%, (SOFR + 4.00%), 10/1/27 | 4,218 | 4,078,107 | |
Go Daddy Operating Company, LLC, Term Loan, 7.848%, (SOFR + 2.50%), 11/9/29 | 1,990 | 1,995,805 | |
NAB Holdings, LLC, Term Loan, 8.54%, (SOFR + 3.00%), 11/23/28 | 3,200 | 3,204,708 | |
Rackspace Technology Global, Inc., Term Loan, 8.187%, (SOFR + 2.75%), 2/15/28 | 3,040 | 1,258,943 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.098%, (SOFR + 3.75%), 2/24/28 | 1,225 | 1,226,981 | |
Skopima Merger Sub, Inc., Term Loan, 9.463%, (SOFR + 4.00%), 5/12/28 | 1,544 | 1,526,376 | |
$ 21,506,610 | |||
Leisure Products — 0.8% | |||
Amer Sports Oyj, Term Loan, 7.948%, (3 mo. EURIBOR + 4.00%), 3/30/26 | EUR | 1,813 | $ 1,972,907 |
Fender Musical Instruments Corporation, Term Loan, 9.441%, (SOFR + 4.00%), 12/1/28 | 270 | 264,447 | |
Recess Holdings, Inc., Term Loan, 9.388%, (SOFR + 4.00%), 3/29/27 | 600 | 603,000 | |
$ 2,840,354 | |||
Life Sciences Tools & Services — 2.0% | |||
Cambrex Corporation, Term Loan, 8.948%, (SOFR + 3.50%), 12/4/26 | 313 | $ 299,996 | |
Curia Global, Inc., Term Loan, 9.233%, (SOFR + 3.75%), 8/30/26 (10) | 1,947 | 1,632,992 | |
IQVIA, Inc., Term Loan, 1/2/31 (9) | 1,300 | 1,304,063 | |
LGC Group Holdings, Ltd., Term Loan, 7.097%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 500 | 535,293 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.948%, (SOFR + 3.50%), 4/21/27 | 363 | 355,431 | |
Packaging Coordinators Midco, Inc., Term Loan, 9.152%, (SOFR + 3.50%), 11/30/27 | 1,464 | 1,460,458 | |
Star Parent, Inc., Term Loan, 9.386%, (SOFR + 4.00%), 9/27/30 | 1,425 | 1,396,426 | |
$ 6,984,659 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Machinery — 8.3% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.071%, (SOFR + 3.75%), 7/31/28 | 2,173 | $ 2,138,103 | |
American Trailer World Corp., Term Loan, 9.198%, (SOFR + 3.75%), 3/3/28 | 1,295 | 1,229,798 | |
Apex Tool Group, LLC, Term Loan, 10.685%, (SOFR + 5.25%), 2/8/29 | 2,243 | 1,970,873 | |
Barnes Group, Inc., Term Loan, 8.448%, (SOFR + 3.00%), 9/3/30 | 525 | 525,000 | |
Clark Equipment Company, Term Loan, 7.99%, (SOFR + 2.50%), 4/20/29 | 874 | 875,655 | |
Conair Holdings, LLC, Term Loan, 9.213%, (SOFR + 3.75%), 5/17/28 | 2,156 | 2,070,433 | |
EMRLD Borrower, L.P., Term Loan, 8.348%, (SOFR + 3.00%), 5/31/30 | 1,100 | 1,101,965 | |
Engineered Machinery Holdings, Inc., Term Loan, 9.152%, (SOFR + 3.50%), 5/19/28 | 3,238 | 3,147,119 | |
Filtration Group Corporation, Term Loan, 8.963%, (SOFR + 3.50%), 10/21/28 | 637 | 637,000 | |
Gates Global, LLC, Term Loan, 7.948%, (SOFR + 2.50%), 3/31/27 | 2,590 | 2,592,233 | |
Icebox Holdco III, Inc., Term Loan, 9.152%, (SOFR + 3.50%), 12/22/28 | 715 | 703,279 | |
Madison IAQ, LLC, Term Loan, 8.699%, (SOFR + 3.25%), 6/21/28 | 2,444 | 2,411,676 | |
Pro Mach Group, Inc., Term Loan, 9.463%, (SOFR + 4.00%), 8/31/28 | 1,492 | 1,496,138 | |
Roper Industrial Products Investment Company, LLC, Term Loan, 9.89%, (SOFR + 4.50%), 11/22/29 | 1,318 | 1,320,964 | |
SPX Flow, Inc., Term Loan, 9.948%, (SOFR + 4.50%), 4/5/29 | 1,939 | 1,937,162 | |
Titan Acquisition Limited, Term Loan, 8.731%, (3 mo. USD LIBOR + 3.00%), 3/28/25 | 1,959 | 1,944,759 | |
TK Elevator Topco GmbH, Term Loan, 7.597%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 525 | 568,820 |
Vertical US Newco, Inc., Term Loan, 9.381%, (SOFR + 3.50%), 7/30/27 | 1,310 | 1,311,281 | |
Zephyr German BidCo GmbH, Term Loan, 7.833%, (3 mo. EURIBOR + 3.85%), 3/10/28 | EUR | 650 | 667,904 |
$ 28,650,162 | |||
Media — 2.0% | |||
Gray Television, Inc.: | |||
Term Loan, 7.935%, (SOFR + 2.50%), 1/2/26 | 637 | $ 636,948 | |
Term Loan, 8.435%, (SOFR + 3.00%), 12/1/28 | 835 | 814,479 | |
Hubbard Radio, LLC, Term Loan, 9.713%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 594 | 520,896 | |
MJH Healthcare Holdings, LLC, Term Loan, 8.948%, (SOFR + 3.50%), 1/28/29 | 246 | 245,173 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Media (continued) | |||
Recorded Books, Inc., Term Loan, 9.598%, (SOFR + 4.25%), 8/29/25 | 1,448 | $ 1,447,936 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.963%, (SOFR + 2.50%), 9/30/26 | 648 | 566,829 | |
Term Loan, 8.463%, (SOFR + 3.00%), 4/1/28 | 442 | 343,553 | |
Univision Communications, Inc., Term Loan, 8.713%, (SOFR + 3.25%), 3/15/26 | 2,151 | 2,151,397 | |
$ 6,727,211 | |||
Metals/Mining — 0.7% | |||
Arsenal AIC Parent, LLC, Term Loan, 9.848%, (SOFR + 4.50%), 8/18/30 | 775 | $ 776,647 | |
Dynacast International, LLC, Term Loan, 14.488%, (SOFR + 9.00%), 10/22/25 | 362 | 273,458 | |
PMHC II, Inc., Term Loan, 9.807%, (SOFR + 4.25%), 4/23/29 | 1,191 | 1,068,537 | |
WireCo WorldGroup, Inc., Term Loan, 9.696%, (SOFR + 4.25%), 11/13/28 | 393 | 394,725 | |
$ 2,513,367 | |||
Oil, Gas & Consumable Fuels — 2.5% | |||
ITT Holdings, LLC, Term Loan, 8.698%, (SOFR + 3.25%), 10/5/30 | 850 | $ 850,708 | |
Matador Bidco S.a.r.l., Term Loan, 9.948%, (SOFR + 4.50%), 10/15/26 | 3,586 | 3,601,323 | |
Oryx Midstream Services Permian Basin, LLC, Term Loan, 8.694%, (SOFR + 3.25%), 10/5/28 | 929 | 929,995 | |
Oxbow Carbon, LLC, Term Loan, 9.469%, (SOFR + 4.00%), 5/10/30 (10) | 549 | 548,396 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.463%, (SOFR + 8.00%), 8/27/26 | 360 | 359,488 | |
UGI Energy Services, LLC, Term Loan, 8.698%, (SOFR + 3.25%), 2/22/30 | 2,376 | 2,383,485 | |
$ 8,673,395 | |||
Personal Products — 0.6% | |||
Olaplex, Inc., Term Loan, 8.948%, (SOFR + 3.50%), 2/23/29 | 992 | $ 915,529 | |
Sunshine Luxembourg VII S.a.r.l., Term Loan, 8.99%, (SOFR + 3.50%), 10/1/26 | 1,219 | 1,224,082 | |
$ 2,139,611 | |||
Pharmaceuticals — 2.0% | |||
Bausch Health Companies, Inc., Term Loan, 10.691%, (SOFR + 5.25%), 2/1/27 | 1,608 | $ 1,227,332 | |
Ceva Sante Animale, Term Loan, 9.616%, (SOFR + 4.25%), 11/1/30 | 400 | 400,000 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
Jazz Financing Lux S.a.r.l., Term Loan, 8.963%, (SOFR + 3.50%), 5/5/28 | 2,202 | $ 2,208,543 | |
Mallinckrodt International Finance S.A.: | |||
Term Loan, 12.866%, (SOFR + 7.50%), 11/14/28 | 421 | 454,575 | |
Term Loan - Second Lien, 14.822%, (SOFR + 9.50%), 11/14/28 | 2,388 | 2,570,195 | |
PharmaZell GmbH, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 125 | 128,352 |
$ 6,988,997 | |||
Professional Services — 4.6% | |||
AlixPartners, LLP, Term Loan, 7.222%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 512 | $ 553,206 |
APFS Staffing Holdings, Inc., Term Loan, 9.348%, (SOFR + 4.00%), 12/29/28 | 246 | 239,093 | |
Camelot U.S. Acquisition, LLC, Term Loan, 8.463%, (SOFR + 3.00%), 10/30/26 | 2,181 | 2,183,938 | |
CoreLogic, Inc., Term Loan, 8.963%, (SOFR + 3.50%), 6/2/28 | 3,075 | 2,900,064 | |
Corporation Service Company, Term Loan, 8.698%, (SOFR + 3.25%), 11/2/29 | 301 | 301,551 | |
Deerfield Dakota Holding, LLC, Term Loan, 9.14%, (SOFR + 3.75%), 4/9/27 | 2,276 | 2,235,598 | |
EAB Global, Inc., Term Loan, 8.963%, (SOFR + 3.50%), 8/16/28 | 1,496 | 1,490,715 | |
Employbridge Holding Company, Term Loan, 10.407%, (SOFR + 4.75%), 7/19/28 | 2,014 | 1,652,067 | |
Genuine Financial Holdings, LLC, Term Loan, 9.40%, (SOFR + 4.00%), 9/27/30 | 400 | 398,700 | |
Neptune Bidco US, Inc., Term Loan, 10.507%, (SOFR + 5.00%), 4/11/29 | 1,866 | 1,677,119 | |
Rockwood Service Corporation, Term Loan, 9.713%, (SOFR + 4.25%), 1/23/27 | 1,072 | 1,074,845 | |
Vaco Holdings, LLC, Term Loan, 10.587%, (SOFR + 5.00%), 1/21/29 | 1,243 | 1,201,133 | |
$ 15,908,029 | |||
Real Estate Management & Development — 0.4% | |||
Greystar Real Estate Partners, LLC, Term Loan, 9.147%, (SOFR + 3.75%), 8/21/30 | 600 | $ 601,500 | |
Homeserve USA Holding Corp., Term Loan, 8.331%, (SOFR + 3.00%), 10/21/30 | 925 | 925,771 | |
$ 1,527,271 | |||
Road & Rail — 1.8% | |||
First Student Bidco, Inc.: | |||
Term Loan, 8.652%, (SOFR + 3.00%), 7/21/28 | 517 | $ 509,624 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Road & Rail (continued) | |||
First Student Bidco, Inc.: | |||
Term Loan, 8.655%, (SOFR + 3.00%), 7/21/28 | 1,375 | $ 1,355,814 | |
Grab Holdings, Inc., Term Loan, 9.843%, (SOFR + 4.50%), 1/29/26 | 1,112 | 1,119,161 | |
Hertz Corporation (The): | |||
Term Loan, 9.14%, (SOFR + 3.75%), 6/30/28 | 725 | 717,675 | |
Term Loan, 6/30/28 (9) | 9 | 8,449 | |
Kenan Advantage Group, Inc., Term Loan, 9.213%, (SOFR + 3.75%), 3/24/26 | 2,577 | 2,574,365 | |
$ 6,285,088 | |||
Semiconductors & Semiconductor Equipment — 0.9% | |||
Altar Bidco, Inc.: | |||
Term Loan, 8.142%, (SOFR + 3.10%), 2/1/29 (10) | 1,831 | $ 1,824,018 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 475 | 460,750 | |
Bright Bidco B.V., Term Loan, 14.378%, (SOFR + 9.00%), 6.378% cash, 8.00% PIK, 10/31/27 | 479 | 185,391 | |
Entegris, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 7/6/29 | 758 | 760,807 | |
$ 3,230,966 | |||
Software — 22.1% | |||
Applied Systems, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/18/26 | 647 | $ 649,695 | |
AppLovin Corporation, Term Loan, 8.448%, (SOFR + 3.10%), 8/16/30 | 1,753 | 1,755,300 | |
Aptean, Inc., Term Loan, 9.698%, (SOFR + 4.25%), 4/23/26 | 1,028 | 1,028,454 | |
AQA Acquisition Holding, Inc., Term Loan, 9.895%, (SOFR + 4.25%), 3/3/28 | 953 | 950,878 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.902%, (SOFR + 5.25%), 10/25/28 | 935 | 624,928 | |
Term Loan - Second Lien, 14.527%, (SOFR + 8.87%), 10/25/29 | 1,450 | 752,007 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.847%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 288 | 313,406 |
Term Loan, 9.213%, (SOFR + 3.75%), 10/2/25 | 3,662 | 3,666,469 | |
Term Loan - Second Lien, 10.963%, (SOFR + 5.50%), 2/27/26 | 775 | 774,273 | |
Central Parent, Inc., Term Loan, 9.406%, (SOFR + 4.00%), 7/6/29 | 2,084 | 2,087,995 | |
CentralSquare Technologies, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 8/29/25 | 712 | 678,603 | |
Cloud Software Group, Inc., Term Loan, 9.99%, (SOFR + 4.50%), 3/30/29 | 2,981 | 2,861,982 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Software (continued) | |||
Cloudera, Inc.: | |||
Term Loan, 9.198%, (SOFR + 3.75%), 10/8/28 | 2,358 | $ 2,323,613 | |
Term Loan - Second Lien, 11.448%, (SOFR + 6.00%), 10/8/29 | 650 | 610,459 | |
Cornerstone OnDemand, Inc., Term Loan, 9.213%, (SOFR + 3.75%), 10/16/28 | 1,157 | 1,118,314 | |
Delta TopCo, Inc.: | |||
Term Loan, 9.069%, (SOFR + 3.75%), 12/1/27 | 1,527 | 1,520,464 | |
Term Loan - Second Lien, 12.569%, (SOFR + 7.25%), 12/1/28 | 2,250 | 2,252,813 | |
E2open, LLC, Term Loan, 8.963%, (SOFR + 3.50%), 2/4/28 | 951 | 948,271 | |
ECI Macola Max Holding, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 11/9/27 | 1,387 | 1,385,230 | |
Epicor Software Corporation: | |||
Term Loan, 8.713%, (SOFR + 3.25%), 7/30/27 | 2,462 | 2,469,291 | |
Term Loan, 9.098%, (SOFR + 3.75%), 7/30/27 | 850 | 856,640 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.372%, (SOFR + 4.00%), 2/18/27 | 1,474 | 1,399,940 | |
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | 1,994 | 1,323,767 | |
Greeneden U.S. Holdings II, LLC, Term Loan, 9.463%, (SOFR + 4.00%), 12/1/27 | 2,366 | 2,371,926 | |
Imperva, Inc., Term Loan, 9.631%, (SOFR + 4.00%), 1/12/26 | 2,340 | 2,340,805 | |
iSolved, Inc., Term Loan, 9.484%, (SOFR + 4.00%), 10/14/30 | 500 | 500,729 | |
Ivanti Software, Inc., Term Loan, 9.907%, (SOFR + 4.25%), 12/1/27 | 1,253 | 1,164,340 | |
Magenta Buyer, LLC: | |||
Term Loan, 10.645%, (SOFR + 5.00%), 7/27/28 | 1,818 | 1,172,434 | |
Term Loan - Second Lien, 13.895%, (SOFR + 8.25%), 7/27/29 | 625 | 221,484 | |
Marcel LUX IV S.a.r.l., Term Loan, 11/7/30 (9) | 1,300 | 1,304,063 | |
Maverick Bidco, Inc., Term Loan, 9.283%, (SOFR + 3.75%), 5/18/28 | 844 | 831,436 | |
McAfee, LLC, Term Loan, 9.17%, (SOFR + 3.75%), 3/1/29 | 2,469 | 2,446,119 | |
Mediaocean, LLC, Term Loan, 8.948%, (SOFR + 3.50%), 12/15/28 | 542 | 525,723 | |
Mosel Bidco SE, Term Loan, 10.164%, (SOFR + 4.75%), 9/16/30 | 250 | 250,313 | |
Open Text Corporation, Term Loan, 8.198%, (SOFR + 2.75%), 1/31/30 | 2,040 | 2,044,508 | |
Proofpoint, Inc., Term Loan, 8.713%, (SOFR + 3.25%), 8/31/28 | 2,948 | 2,931,740 | |
Quartz AcquireCo, LLC, Term Loan, 8.848%, (SOFR + 3.50%), 6/28/30 | 750 | 751,875 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Software (continued) | |||
Quest Software US Holdings, Inc., Term Loan, 9.783%, (SOFR + 4.25%), 2/1/29 | 1,766 | $ 1,302,689 | |
Redstone Holdco 2, L.P., Term Loan, 10.207%, (SOFR + 4.75%), 4/27/28 | 1,498 | 1,146,164 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.963%, (SOFR + 3.50%), 12/17/27 | 1,472 | 1,256,145 | |
Term Loan, 8.963%, (SOFR + 3.50%), 12/17/27 | 942 | 803,868 | |
Term Loan, 9.698%, (SOFR + 4.25%), 6/30/28 | 973 | 835,029 | |
Skillsoft Corporation, Term Loan, 10.694%, (SOFR + 5.25%), 7/14/28 | 1,492 | 1,391,278 | |
SolarWinds Holdings, Inc., Term Loan, 9.098%, (SOFR + 3.75%), 2/5/27 | 1,667 | 1,667,355 | |
Sophia, L.P., Term Loan, 8.948%, (SOFR + 3.50%), 10/7/27 | 4,152 | 4,163,149 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 8.764%, (SOFR + 3.25%), 5/4/26 | 4,500 | 4,504,622 | |
Term Loan, 9.233%, (SOFR + 3.75%), 5/4/26 | 1,690 | 1,696,721 | |
Veritas US, Inc.: | |||
Term Loan, 8.722%, (3 mo. EURIBOR + 4.75%), 9/1/25 | EUR | 362 | 302,018 |
Term Loan, 10.463%, (SOFR + 5.00%), 9/1/25 | 2,123 | 1,677,064 | |
Vision Solutions, Inc., Term Loan, 9.64%, (SOFR + 4.00%), 4/24/28 | 4,196 | 4,110,763 | |
$ 76,067,152 | |||
Specialty Retail — 5.2% | |||
Boels Topholding B.V., Term Loan, 7.206%, (EURIBOR + 3.25%), 2/6/27 (10) | EUR | 517 | $ 563,760 |
Great Outdoors Group, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 3/6/28 | 2,869 | 2,851,582 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.093%, (SOFR + 2.75%), 10/19/27 | 3,184 | 3,165,731 | |
Hoya Midco, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 2/3/29 | 973 | 972,562 | |
Les Schwab Tire Centers, Term Loan, 8.694%, (SOFR + 3.25%), 11/2/27 | 4,606 | 4,609,914 | |
LIDS Holdings, Inc., Term Loan, 11.06%, (SOFR + 5.50%), 12/14/26 | 352 | 341,016 | |
Mattress Firm, Inc., Term Loan, 9.95%, (6 mo. USD LIBOR + 4.25%), 9/25/28 | 2,207 | 2,195,562 | |
PetSmart, Inc., Term Loan, 9.198%, (SOFR + 3.75%), 2/11/28 | 3,201 | 3,179,303 | |
$ 17,879,430 | |||
Trading Companies & Distributors — 4.1% | |||
DXP Enterprises, Inc., Term Loan, 10.291%, (SOFR + 4.75%), 10/11/30 | 700 | $ 700,875 |
Borrower/Description | Principal Amount * (000's omitted) | Value | |
Trading Companies & Distributors (continued) | |||
Electro Rent Corporation, Term Loan, 11.002%, (SOFR + 5.50%), 11/1/24 | 1,691 | $ 1,624,184 | |
Patagonia Bidco Limited, Term Loan, 10.437%, (SONIA + 5.25%), 11/1/28 | GBP | 1,350 | 1,418,835 |
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | 4,558 | 3,959,871 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.948%, (SOFR + 3.50%), 6/2/28 | 344 | 340,092 | |
Term Loan, 8.963%, (SOFR + 3.50%), 6/2/28 | 2,635 | 2,606,965 | |
White Cap Buyer, LLC, Term Loan, 9.098%, (SOFR + 3.75%), 10/19/27 | 2,304 | 2,306,102 | |
Windsor Holdings III, LLC, Term Loan, 9.82%, (SOFR + 4.50%), 8/1/30 | 1,050 | 1,054,302 | |
$ 14,011,226 | |||
Transportation Infrastructure — 0.1% | |||
Brown Group Holding, LLC, Term Loan, 9.127%, (SOFR + 3.75%), 7/2/29 (10) | 223 | $ 223,202 | |
$ 223,202 | |||
Wireless Telecommunication Services — 0.6% | |||
CCI Buyer, Inc., Term Loan, 9.39%, (SOFR + 4.00%), 12/17/27 | 368 | $ 366,508 | |
Digicel International Finance Limited, Term Loan, 8.981%, (6 mo. USD LIBOR + 3.25%), 5/28/24 | 1,716 | 1,599,727 | |
$ 1,966,235 | |||
Total Senior Floating-Rate Loans (identified cost $492,502,986) | $ 477,137,826 |
Short-Term Investments — 1.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.26% (12) | 5,354,115 | $ 5,354,115 | |
Total Short-Term Investments (identified cost $5,354,115) | $ 5,354,115 | ||
Total Investments — 159.4% (identified cost $572,804,229) | $ 549,570,075 | ||
Less Unfunded Loan Commitments — (0.0)% (6) | $ (5,305) | ||
Net Investments — 159.4% (identified cost $572,798,924) | $ 549,564,770 | ||
Notes Payable — (34.8)% | $(120,000,000) | ||
Variable Rate Term Preferred Shares, at Liquidation Value (net of unamortized deferred debt issuance costs) — (23.2)% | $ (79,994,423) | ||
Other Assets, Less Liabilities — (1.4)% | $ (4,773,305) | ||
Net Assets Applicable to Common Shares — 100.0% | $ 344,797,042 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares. | |
* | In U.S. dollars unless otherwise indicated. |
(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 November 30, 2023, the aggregate value of these securities is $52,317,767 or 15.2% of the Trust's net assets applicable to common shares. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at November 30, 2023. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(4) | Non-income producing security. |
(5) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(6) | Amount is less than 0.05% or (0.05)%, as applicable. |
(7) | 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. |
(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”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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) | This Senior Loan will settle after November 30, 2023, at which time the interest rate will be determined. |
(10) | The stated interest rate represents the weighted average interest rate at November 30, 2023 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. |
(11) | 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 November 30, 2023, the total value of unfunded loan commitments is $4,111. See Note 1F for description. |
(12) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of November 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 9,540,902 | EUR | 9,015,019 | Standard Chartered Bank | 12/4/23 | $ — | $(271,951) |
EUR | 2,000,000 | USD | 2,123,676 | Standard Chartered Bank | 12/29/23 | 55,845 | — |
USD | 190,798 | EUR | 180,771 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (6,199) |
USD | 1,328,709 | EUR | 1,260,000 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (44,389) |
USD | 1,329,282 | EUR | 1,260,000 | Goldman Sachs International | 12/29/23 | — | (43,816) |
USD | 1,328,698 | EUR | 1,260,000 | State Street Bank and Trust Company | 12/29/23 | — | (44,400) |
USD | 1,408,712 | EUR | 1,336,202 | State Street Bank and Trust Company | 12/29/23 | — | (47,428) |
USD | 1,408,618 | EUR | 1,336,202 | State Street Bank and Trust Company | 12/29/23 | — | (47,522) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 9,849,823 | EUR | 9,015,019 | Standard Chartered Bank | 1/3/24 | $ 23,192 | $ — |
USD | 1,736,924 | EUR | 1,574,000 | Bank of America, N.A. | 2/29/24 | 17,106 | — |
USD | 1,727,212 | EUR | 1,565,270 | Bank of America, N.A. | 2/29/24 | 16,935 | — |
USD | 1,709,020 | EUR | 1,550,000 | Bank of America, N.A. | 2/29/24 | 15,426 | — |
USD | 244,230 | EUR | 221,458 | Bank of America, N.A. | 2/29/24 | 2,255 | — |
USD | 1,736,836 | EUR | 1,574,000 | HSBC Bank USA, N.A. | 2/29/24 | 17,019 | — |
USD | 1,787,670 | EUR | 1,620,000 | Standard Chartered Bank | 2/29/24 | 17,591 | — |
USD | 2,713,097 | GBP | 2,142,476 | Bank of America, N.A. | 2/29/24 | 6,633 | — |
USD | 8,876 | GBP | 7,004 | Standard Chartered Bank | 2/29/24 | 28 | — |
$172,030 | $(505,705) |
Abbreviations: | |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
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 |
November 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $567,444,809) | $544,210,655 |
Affiliated investments, at value (identified cost $5,354,115) | 5,354,115 |
Cash | 5,726,814 |
Foreign currency, at value (identified cost $2,546,238) | 2,539,674 |
Interest and dividends receivable | 4,655,741 |
Dividends receivable from affiliated investments | 39,749 |
Receivable for investments sold | 8,848,376 |
Receivable for open forward foreign currency exchange contracts | 172,030 |
Prepaid upfront fees on notes payable and variable rate term preferred shares | 69,683 |
Trustees' deferred compensation plan | 133,210 |
Prepaid expenses | 9,235 |
Total assets | $571,759,282 |
Liabilities | |
Notes payable | $120,000,000 |
Variable rate term preferred shares, at liquidation value (net of unamortized deferred debt issuance costs of $5,577) | 79,994,423 |
Payable for investments purchased | 23,784,168 |
Payable for open forward foreign currency exchange contracts | 505,705 |
Payable to affiliates: | |
Investment adviser fee | 337,619 |
Trustees' fees | 6,072 |
Trustees' deferred compensation plan | 133,210 |
Interest expense and fees payable | 2,028,803 |
Accrued expenses | 172,240 |
Total liabilities | $226,962,240 |
Net assets applicable to common shares | $344,797,042 |
Sources of Net Assets | |
Common shares, $0.01 par value, unlimited number of shares authorized | $261,814 |
Additional paid-in capital | 429,715,546 |
Accumulated loss | (85,180,318) |
Net assets applicable to common shares | $344,797,042 |
Common Shares Issued and Outstanding | 26,181,373 |
Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding | $13.17 |
Six Months Ended | |
November 30, 2023 | |
Investment Income | |
Dividend income | $471,802 |
Dividend income from affiliated investments | 355,993 |
Interest and other income | 28,596,500 |
Total investment income | $29,424,295 |
Expenses | |
Investment adviser fee | $2,142,319 |
Trustees’ fees and expenses | 18,266 |
Custodian fee | 86,778 |
Transfer and dividend disbursing agent fees | 15,266 |
Legal and accounting services | 80,576 |
Printing and postage | 65,857 |
Interest expense and fees | 6,859,521 |
Miscellaneous | 48,701 |
Total expenses | $9,317,284 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $9,664 |
Total expense reductions | $9,664 |
Net expenses | $9,307,620 |
Net investment income | $20,116,675 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $(13,637,282) |
Foreign currency transactions | 107,826 |
Forward foreign currency exchange contracts | 549,816 |
Net realized loss | $(12,979,640) |
Change in unrealized appreciation (depreciation): | |
Investments | $25,533,898 |
Foreign currency | (14,904) |
Forward foreign currency exchange contracts | (757,792) |
Net change in unrealized appreciation (depreciation) | $24,761,202 |
Net realized and unrealized gain | $11,781,562 |
Net increase in net assets from operations | $31,898,237 |
Six Months Ended November 30, 2023 (Unaudited) | Year Ended May 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $20,116,675 | $33,572,147 |
Net realized loss | (12,979,640) | (7,368,012) |
Net change in unrealized appreciation (depreciation) | 24,761,202 | (11,280,978) |
Net increase in net assets from operations | $31,898,237 | $14,923,157 |
Distributions to common shareholders | $(19,560,395) | $(30,661,298) |
Capital share transactions: | ||
Cost of shares repurchased in tender offer (see Note 6) | $(37,098,140) | $— |
Net decrease in net assets from capital share transactions | $(37,098,140) | $— |
Net decrease in net assets | $(24,760,298) | $(15,738,141) |
Net Assets Applicable to Common Shares | ||
At beginning of period | $369,557,340 | $385,295,481 |
At end of period | $344,797,042 | $369,557,340 |
Six Months Ended | |
November 30, 2023 | |
Cash Flows From Operating Activities | |
Net increase in net assets from operations | $31,898,237 |
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | |
Investments purchased | (71,450,527) |
Investments sold and principal repayments | 104,540,303 |
Decrease in short-term investments, net | 709,434 |
Net amortization/accretion of premium (discount) | (1,069,692) |
Amortization of deferred debt issuance costs on variable rate term preferred shares | 16,104 |
Amortization of prepaid upfront fees on notes payable and variable rate term preferred shares | 62,631 |
Decrease in interest and dividends receivable | 34,078 |
Increase in dividends receivable from affiliated investments | (6,025) |
Increase in Trustees’ deferred compensation plan | (133,210) |
Decrease in cash collateral due to broker | (300,000) |
Decrease in payable to affiliate for investment adviser fee | (24,798) |
Decrease in payable to affiliate for Trustees' fees | (135) |
Increase in interest expense and fees payable | 525,667 |
Increase in payable to affiliate for Trustees' deferred compensation plan | 133,210 |
Decrease in accrued expenses | (214,035) |
Decrease in unfunded loan commitments | (102,412) |
Net change in unrealized (appreciation) depreciation from investments | (25,533,898) |
Net change in unrealized (appreciation) depreciation from forward foreign currency exchange contracts (OTC) | 757,792 |
Net realized loss from investments | 13,637,282 |
Net cash provided by operating activities | $53,480,006 |
Cash Flows From Financing Activities | |
Cash distributions paid to common shareholders | $(19,560,395) |
Repurchases of common shares in tender offer | (37,098,140) |
Proceeds from notes payable | 40,000,000 |
Repayments of notes payable | (38,000,000) |
Net cash used in financing activities | $(54,658,535) |
Net decrease in cash and restricted cash* | $(1,178,529) |
Cash and restricted cash at beginning of period (including foreign currency) | $9,445,017 |
Cash at end of period (including foreign currency) | $8,266,488 |
Supplemental disclosure of cash flow information: | |
Cash paid for interest and fees on borrowings and variable rate term preferred shares | $6,255,119 |
* | Includes net change in unrealized (appreciation) depreciation on foreign currency of $20,683. |
Six Months Ended November 30, 2023 (Unaudited) | Year Ended May 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value — Beginning of period (Common shares) | $12.700 | $13.240 | $14.560 | $13.030 | $15.210 | $15.610 |
Income (Loss) From Operations | ||||||
Net investment income (1) | $0.705 | $1.154 | $0.705 | $0.718 | $0.843 | $0.847 |
Net realized and unrealized gain (loss) | 0.422 | (0.640) | (1.159) | 1.545 | (2.016) | (0.373) |
Total income (loss) from operations | $1.127 | $0.514 | $(0.454) | $2.263 | $(1.173) | $0.474 |
Less Distributions to Common Shareholders | ||||||
From net investment income | $(0.684) | $(1.054) | $(0.804) | $(0.733) | $(1.007) | $(0.874) |
Tax return of capital | — | — | (0.126) | — | — | — |
Total distributions to common shareholders | $(0.684) | $(1.054) | $(0.930) | $(0.733) | $(1.007) | $(0.874) |
Premium from common shares sold through shelf offering (see Note 6) (1) | $— | $— | $0.009 | $— | $— | $— |
Discount on tender offer (see Note 6) (1) | $0.027 | $— | $0.055 | $— | $— | $— |
Net asset value — End of period (Common shares) | $13.170 | $12.700 | $13.240 | $14.560 | $13.030 | $15.210 |
Market value — End of period (Common shares) | $12.340 | $11.240 | $12.280 | $14.280 | $11.240 | $13.480 |
Total Investment Return on Net Asset Value (2) | 9.69% (3) | 4.87% | (2.81)% | 18.25% | (7.36)% | 3.77% |
Total Investment Return on Market Value (2) | 16.12% (3) | 0.14% | (8.10)% | 34.36% | (9.83)% | (3.32)% |
Six Months Ended November 30, 2023 (Unaudited) | Year Ended May 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Ratios/Supplemental Data | ||||||
Net assets applicable to common shares, end of period (000’s omitted) | $344,797 | $369,557 | $385,295 | $580,590 | $519,465 | $606,408 |
Ratios (as a percentage of average daily net assets applicable to common shares):† | ||||||
Expenses excluding interest and fees | 1.31% (4)(5) | 1.32% (4) | 1.25% | 1.33% | 1.26% | 1.28% |
Interest and fee expense (6) | 3.67% (5) | 2.89% | 0.92% | 0.91% | 1.79% | 2.00% |
Total expenses | 4.98% (4)(5) | 4.21% (4) | 2.17% | 2.24% | 3.05% | 3.28% |
Net investment income | 10.75% (5) | 8.98% | 4.91% | 5.08% | 5.85% | 5.49% |
Portfolio Turnover | 15% (3) | 16% | 53% | 32% | 34% | 24% |
Senior Securities: | ||||||
Total notes payable outstanding (in 000’s) | $120,000 | $118,000 | $147,000 | $250,000 | $190,000 | $248,000 |
Asset coverage per $1,000 of notes payable (7) | $4,540 | $4,810 | $4,165 | $3,642 | $4,155 | $3,768 |
Total preferred shares outstanding | 800 | 800 | 800 | 800 | 800 | 800 |
Asset coverage per preferred share (8) | $272,399 | $286,645 | $269,734 | $275,936 | $292,394 | $284,880 |
Involuntary liquidation preference per preferred share (9) | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 |
Approximate market value per preferred share (9) | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 |
(1) | Computed using average common shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Trust's dividend reinvestment plan. |
(3) | Not annualized. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Trust’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended November 30, 2023 and the year ended May 31, 2023). |
(5) | Annualized. |
(6) | Interest and fee expense relates to variable rate term preferred shares (see Note 2) and the notes payable (see Note 8). |
(7) | Calculated by subtracting the Trust's total liabilities (not including the notes payable and preferred shares) from the Trust's total assets, and dividing the result by the notes payable balance in thousands. |
(8) | Calculated by subtracting the Trust’s total liabilities (not including the notes payable and preferred shares) from the Trust’s total assets, dividing the result by the sum of the value of the notes payable and liquidation value of the preferred shares, and multiplying the result by the liquidation value of one preferred share. Such amount equates to 272%, 287%, 270%, 276%, 292% and 285% at November 30, 2023 and May 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(9) | Plus accumulated and unpaid dividends. |
† | Ratios based on net assets applicable to common shares plus preferred shares and borrowings are presented below. |
Six Months Ended November 30, 2023 (Unaudited) | Year Ended May 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Expenses excluding interest and fees | 0.86% | 0.85% | 0.84% | 0.85% | 0.81% | 0.83% |
Interest and fee expense | 2.40% | 1.85% | 0.62% | 0.58% | 1.16% | 1.31% |
Total expenses | 3.26% | 2.70% | 1.46% | 1.43% | 1.97% | 2.14% |
Net investment income | 7.05% | 5.75% | 3.32% | 3.25% | 3.79% | 3.58% |
Aggregate cost | $572,770,742 |
Gross unrealized appreciation | $3,451,698 |
Gross unrealized depreciation | (26,991,345) |
Net unrealized depreciation | $(23,539,647) |
Fair Value | ||
Derivative | Asset Derivative (1) | Liability Derivative (2) |
Forward foreign currency exchange contracts | $172,030 | $(505,705) |
(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. | $58,355 | $ — | $ — | $ — | $58,355 |
HSBC Bank USA, N.A. | 17,019 | — | — | — | 17,019 |
Standard Chartered Bank | 96,656 | (96,656) | — | — | — |
$172,030 | $(96,656) | $— | $— | $75,374 |
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) |
Australia and New Zealand Banking Group Limited | $(50,588) | $ — | $ — | $ — | $(50,588) |
Goldman Sachs International | (43,816) | — | — | — | (43,816) |
Standard Chartered Bank | (271,951) | 96,656 | — | — | (175,295) |
State Street Bank and Trust Company | (139,350) | — | — | — | (139,350) |
$(505,705) | $96,656 | $ — | $ — | $(409,049) |
(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 | $549,816 | $(757,792) |
(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 |
Short-Term Investments | ||||||||
Liquidity Fund | $6,063,549 | $97,860,091 | $(98,569,525) | $ — | $ — | $5,354,115 | $355,993 | 5,354,115 |
• | 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 | $ — | $ 30,199,144 | $ — | $ 30,199,144 |
Closed-End Funds | 7,215,454 | — | — | 7,215,454 |
Common Stocks | 54,032 | 3,604,396 | 32,169 | 3,690,597 |
Corporate Bonds | — | 25,972,939 | — | 25,972,939 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 476,681,550 | 450,971 | 477,132,521 |
Short-Term Investments | 5,354,115 | — | — | 5,354,115 |
Total Investments | $12,623,601 | $536,458,029 | $ 483,140 | $549,564,770 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
Forward Foreign Currency Exchange Contracts | $ — | $ 172,030 | $ — | $ 172,030 |
Total | $12,623,601 | $536,630,059 | $ 483,140 | $549,736,800 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (505,705) | $ — | $ (505,705) |
Total | $ — | $ (505,705) | $ — | $ (505,705) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust. |
Officers | |
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 |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
Anchal Pachnanda *(1) |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
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 number 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 investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
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.com Please note: new no longer |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management 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. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
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 doesn’t jointly market. |
Other important information | |
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. |
Boston, MA 02110
Boston, MA 02114-2016
Newark, NJ 07101
Boston, MA 02110
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 required in this filing.
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 required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Period | (a) Total Number of Shares Purchased | (b) Average Price Paid per Share | (c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs | ||||||||||||
June 1 through June 30 | 0 | 0 | 0 | 0 | ||||||||||||
July 1 through July 31 | 0 | 0 | 0 | 0 | ||||||||||||
August 1 through August 31 | 0 | 0 | 0 | 0 | ||||||||||||
September 1 through September 30 | 0 | 0 | 0 | 0 | ||||||||||||
October 1 through October 31 | 2,909,042 | 12.7527 | 2,909,042 | 0 | ||||||||||||
November 1 through November 30 | 0 | 0 | 0 | 0 | ||||||||||||
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Total | 2,909,042 | 12.7527 | 2,909,042 | 0 | ||||||||||||
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On May 12, 2021, the Trust announced that it will conduct cash tender offers in the fourth quarter of each of 2022, 2023 and 2024 (each, a “Conditional Tender Offer”) for up to 10% of the Trust’s then-outstanding common shares if, from January to August of the relevant year, the Trust’s shares trade at an average daily discount to NAV of more than 10%, based upon the Trust’s volume-weighted average market price and NAV on each business day during the period. If triggered, common shares tendered and accepted in a Conditional Tender Offer would be repurchased at a price per share equal to 98% of the Trust’s NAV as of the close of regular trading on the New York Stock Exchange on the date such Conditional Tender Offer expires.
On September 26, 2023, the Trust commenced a cash tender offer for up to 5,903,838 of its outstanding common shares. The tender offer expired at 5:00 P.M. Eastern Time on October 25, 2023. The number of shares properly tendered was 2,909,042. The purchase price of the properly tendered shares was equal to $12.7527 per share for an aggregate purchase price of $37,098,140.
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
No activity to report for the registrant’s most recent fiscal year end.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
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 Income Trust
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President | ||
Date: | January 23, 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 | ||
Treasurer | ||
Date: | January 23, 2024 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President | ||
Date: | January 23, 2024 |