Eaton Vance
Floating-Rate Income Trust
August 31, 2021
PORTFOLIO OF INVESTMENTS (Unaudited)
Asset-Backed Securities — 7.5%
Security | Principal Amount (000’s omitted) | Value | ||||||
Allegany Park CLO, Ltd., Series 2019-1A, Class E, 6.909%, (3 mo. USD LIBOR + 6.78%), 1/20/33(1)(2) | $ | 850 | $ | 852,091 | ||||
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 5.975%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2) | 2,000 | 1,966,286 | ||||||
Ares XXXIV CLO, Ltd., Series 2015-2A, Class ER, 6.984%, (3 mo. USD LIBOR + 6.85%), 4/17/33(1)(2) | 1,300 | 1,290,974 | ||||||
Bardot CLO, Ltd., Series 2019-2A, Class E, 7.088%, (3 mo. USD LIBOR + 6.95%), 10/22/32(1)(2) | 1,000 | 1,001,112 | ||||||
Benefit Street Partners CLO XIX, Ltd., Series 2019-19A, Class E, 7.146%, (3 mo. USD LIBOR + 7.02%), 1/15/33(1)(2) | 750 | 748,879 | ||||||
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class E, 7.026%, (3 mo. USD LIBOR + 6.90%), 10/15/32(1)(2) | 1,000 | 1,000,482 | ||||||
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class E, 7.834%, (3 mo. USD LIBOR + 7.70%), 10/20/32(1)(2) | 1,500 | 1,503,102 | ||||||
Canyon Capital CLO, Ltd., Series 2019-2A, Class E, 7.276%, (3 mo. USD LIBOR + 7.15%), 10/15/32(1)(2) | 400 | 400,506 | ||||||
Carlyle Global Market Strategies CLO, Ltd.: | ||||||||
Series 2012-3A, Class DR2, 6.633%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 1,200 | 1,135,559 | ||||||
Series 2015-5A, Class DR, 6.834%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) | 500 | 475,632 | ||||||
Cedar Funding X CLO, Ltd., Series 2019-10A, Class E, 7.134%, (3 mo. USD LIBOR + 7.00%), 10/20/32(1)(2) | 1,000 | 1,001,014 | ||||||
Fort Washington CLO, Ltd., Series 2019-1A, Class E, 7.384%, (3 mo. USD LIBOR + 7.25%), 10/20/32(1)(2) | 1,000 | 1,000,814 | ||||||
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 6.771%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) | 1,000 | 990,166 | ||||||
Galaxy XXI CLO, Ltd., Series 2015-21A, Class ER, 5.384%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2) | 1,000 | 954,504 | ||||||
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 6.075%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 250 | 245,669 | ||||||
Golub Capital Partners CLO 23M, Ltd., Series 2015-23A, Class ER, 5.884%, (3 mo. USD LIBOR + 5.75%), 1/20/31(1)(2) | 1,200 | 1,102,006 | ||||||
Kayne CLO 5, Ltd., Series 2019-5A, Class E, 6.825%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 1,000 | 1,000,977 | ||||||
Kayne CLO 7, Ltd., Series 2020-7A, Class E, 6.634%, (3 mo. USD LIBOR + 6.50%), 4/17/33(1)(2) | 1,275 | 1,279,123 | ||||||
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class E, 7.376%, (3 mo. USD LIBOR + 7.25%), 1/15/33(1)(2) | 500 | 500,607 | ||||||
Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class E, 6.926%, (3 mo. USD LIBOR + 6.80%), 10/16/32(1)(2) | 1,000 | 1,001,139 | ||||||
Oaktree CLO, Ltd., Series 2019-3A, Class E, 6.904%, (3 mo. USD LIBOR + 6.77%), 7/20/31(1)(2) | 1,000 | 967,071 |
1
Security | Principal Amount (000’s omitted) | Value | ||||||
Palmer Square CLO, Ltd.: | ||||||||
Series 2013-2A, Class DRR, 5.984%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | $ | 900 | $ | 887,475 | ||||
Series 2019-1A, Class D, 7.125%, (3 mo. USD LIBOR + 7.00%), 11/14/32(1)(2) | 1,000 | 1,001,750 | ||||||
Regatta XII Funding, Ltd., Series 2019-1A, Class E, 6.976%, (3 mo. USD LIBOR + 6.85%), 10/15/32(1)(2) | 500 | 500,555 | ||||||
Regatta XIV Funding, Ltd., Series 2018-3A, Class E, 6.075%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 700 | 677,751 | ||||||
Regatta XVI Funding, Ltd., Series 2019-2A, Class E, 7.126%, (3 mo. USD LIBOR + 7.00%), 1/15/33(1)(2) | 750 | 750,943 | ||||||
Southwick Park CLO, LLC, Series 2019-4A, Class E, 6.834%, (3 mo. USD LIBOR + 6.70%), 7/20/32(1)(2) | 2,000 | 2,002,098 | ||||||
Vibrant CLO X, Ltd., Series 2018-10A, Class D, 6.324%, (3 mo. USD LIBOR + 6.19%), 10/20/31(1)(2) | 850 | 799,711 | ||||||
Vibrant CLO XI, Ltd., Series 2019-11A, Class D, 6.904%, (3 mo. USD LIBOR + 6.77%), 7/20/32(1)(2) | 1,000 | 954,259 | ||||||
Voya CLO, Ltd., Series 2013-1A, Class DR, 6.606%, (3 mo. USD LIBOR + 6.48%), | 2,000 | 1,868,174 | ||||||
Wellfleet CLO, Ltd., Series 2020-1A, Class D, 7.366%, (3 mo. USD LIBOR + 7.24%), | 1,300 | 1,302,926 | ||||||
|
| |||||||
Total Asset-Backed Securities | $ | 31,163,355 | ||||||
|
| |||||||
Closed-End Funds — 2.1% | ||||||||
Security | Shares | Value | ||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 111,292 | $ | 1,491,313 | |||||
Invesco Senior Income Trust | 402,161 | 1,761,465 | ||||||
Nuveen Credit Strategies Income Fund | 406,731 | 2,643,752 | ||||||
Nuveen Floating Rate Income Fund | 164,907 | 1,649,070 | ||||||
Nuveen Floating Rate Income Opportunity Fund | 115,017 | 1,145,569 | ||||||
|
| |||||||
Total Closed-End Funds | $ | 8,691,169 | ||||||
|
| |||||||
Common Stocks — 1.3% | ||||||||
Security | Shares | Value | ||||||
Aerospace and Defense — 0.1% | ||||||||
IAP Global Services, LLC(3)(4)(5) | 58 | $ | 657,015 | |||||
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| |||||||
$ | 657,015 | |||||||
|
| |||||||
Electronics/Electrical — 0.1% | ||||||||
SkillSoft Corporation(3)(4)(5) | 56,469 | $ | 541,643 | |||||
|
| |||||||
$ | 541,643 | |||||||
|
| |||||||
Oil and Gas — 0.4% | ||||||||
Nine Point Energy Holdings, Inc.(4)(5)(6) | 758 | $ | 0 | |||||
QuarterNorth Energy, Inc.(3)(4) | 13,251 | 1,556,992 | ||||||
|
| |||||||
$ | 1,556,992 | |||||||
|
|
2
Security | Shares | Value | ||||||
Radio and Television — 0.4% | ||||||||
Clear Channel Outdoor Holdings, Inc.(3)(4) | 86,335 | $ | 227,061 | |||||
Cumulus Media, Inc., Class A(3)(4) | 42,499 | 501,913 | ||||||
iHeartMedia, Inc., Class A(3)(4) | 36,714 | 913,445 | ||||||
|
| |||||||
$ | 1,642,419 | |||||||
|
| |||||||
Retailers (Except Food and Drug) — 0.1% | ||||||||
Phillips Pet Holding Corp.(3)(4)(5) | 613 | $ | 243,213 | |||||
|
| |||||||
$ | 243,213 | |||||||
|
| |||||||
Telecommunications — 0.2% | ||||||||
GEE Acquisition Holdings Corp.(3)(4)(5) | 46,236 | $ | 961,246 | |||||
|
| |||||||
$ | 961,246 | |||||||
|
| |||||||
Total Common Stocks | $ | 5,602,528 | ||||||
|
| |||||||
Convertible Preferred Stocks — 0.0% | ||||||||
Security | Shares | Value | ||||||
Oil and Gas — 0.0% | ||||||||
Nine Point Energy Holdings, Inc., Series A, 12.00%(4)(5)(6) | 14 | $ | 0 | |||||
|
| |||||||
Total Convertible Preferred Stocks | $ | 0 | ||||||
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| |||||||
Corporate Bonds — 1.9% | ||||||||
Security | Principal (000’s omitted) | Value | ||||||
Business Equipment and Services — 0.5% | ||||||||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(1) | $ | 271 | $ | 280,824 | ||||
Prime Security Services Borrower, LLC/Prime Finance, Inc.: | ||||||||
5.25%, 4/15/24(1) | 750 | 799,687 | ||||||
5.75%, 4/15/26(1) | 750 | 812,316 | ||||||
|
| |||||||
$ | 1,892,827 | |||||||
|
| |||||||
Food Products — 0.3% | ||||||||
Del Monte Foods, Inc., 11.875%, 5/15/25(1) | $ | 1,075 | $ | 1,205,344 | ||||
|
| |||||||
$ | 1,205,344 | |||||||
|
| |||||||
Food/Drug Retailers — 0.3% | ||||||||
Fresh Market, Inc. (The), 9.75%, 5/1/23(1) | $ | 1,300 | $ | 1,337,362 | ||||
|
| |||||||
$ | 1,337,362 | |||||||
|
| |||||||
Radio and Television — 0.7% | ||||||||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1) | $ | 3,160 | $ | 2,103,138 | ||||
iHeartCommunications, Inc.: | ||||||||
6.375%, 5/1/26 | 208 | 219,570 | ||||||
8.375%, 5/1/27 | 376 | 400,249 | ||||||
|
| |||||||
$ | 2,722,957 | |||||||
|
|
3
Security | Principal (000’s omitted) | Value | ||||||
Telecommunications — 0.1% | ||||||||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | $ | 600 | $ | 624,000 | ||||
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| |||||||
$ | 624,000 | |||||||
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| |||||||
Total Corporate Bonds | $ | 7,782,490 | ||||||
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| |||||||
Senior Floating-Rate Loans — 132.1%(7) | ||||||||
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Aerospace and Defense — 2.6% | ||||||||
Aernnova Aerospace S.A.U.: | ||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/22/27 | EUR | 107 | $ | 120,658 | ||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 418 | 470,566 | |||||
AI Convoy (Luxembourg) S.a.r.l.: | ||||||||
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 450 | 529,968 | |||||
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), 1/17/27 | 1,750 | 1,752,187 | ||||||
Dynasty Acquisition Co., Inc.: | ||||||||
Term Loan, 3.647%, (3 mo. USD LIBOR + 3.50%), 4/6/26 | 1,052 | 1,026,917 | ||||||
Term Loan, 3.647%, (3 mo. USD LIBOR + 3.50%), 4/6/26 | 1,956 | 1,909,393 | ||||||
IAP Worldwide Services, Inc.: | ||||||||
Revolving Loan, 0.75%, 7/18/23(8) | 325 | 325,310 | ||||||
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 6.50%, Floor 1.50%), 7/18/23(5) | 418 | 342,828 | ||||||
KKR Apple Bidco, LLC, Term Loan, 7/14/28(9) | 1,500 | 1,497,187 | ||||||
Spirit Aerosystems, Inc., Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), 1/15/25 | 448 | 452,228 | ||||||
WP CPP Holdings, LLC, Term Loan, 4.75%, (USD LIBOR + 3.75%, Floor 1.00%), 4/30/25(10) | 2,305 | 2,217,741 | ||||||
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| |||||||
$ | 10,644,983 | |||||||
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Air Transport — 2.7% | ||||||||
AAdvantage Loyalty IP, Ltd., Term Loan, 4/20/28(9) | 3,050 | $ | 3,145,422 | |||||
Air Canada, Term Loan, 4.25%, (6 mo. USD LIBOR + 3.50%, Floor 0.75%), 8/11/28 | 2,000 | 2,001,562 | ||||||
Brown Group Holding, LLC, Term Loan, 6/7/28(9) | 2,026 | 2,018,853 | ||||||
Mileage Plus Holdings, LLC, Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), 6/21/27 | 800 | 849,955 | ||||||
United Airlines, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 4/21/28 | 3,150 | 3,161,576 | ||||||
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| |||||||
$ | 11,177,368 | |||||||
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Automotive — 5.5% | ||||||||
Adient US, LLC, Term Loan, 3.585%, (1 mo. USD LIBOR + 3.50%), 4/8/28 | 1,050 | $ | 1,050,985 | |||||
Autokiniton US Holdings, Inc., Term Loan, 5.00%, (12 mo. USD LIBOR + 4.50%, Floor 0.50%), 4/6/28 | 1,375 | 1,378,953 | ||||||
Belron Finance US, LLC, Term Loan, 3.25%, (3 mo. USD LIBOR + 2.75%, Floor 0.50%), 4/13/28 | 998 | 995,006 | ||||||
Bright Bidco B.V., Term Loan, 4.50%, (USD LIBOR + 3.50%, Floor 1.00%), 6/30/24(10) | 1,634 | 1,314,988 | ||||||
Chassix, Inc., Term Loan, 6.50%, (3 mo. USD LIBOR + 5.50%, Floor 1.00%), 11/15/23 | 1,448 | 1,425,788 | ||||||
Clarios Global, L.P., Term Loan, 3.335%, (1 mo. USD LIBOR + 3.25%), 4/30/26 | 3,270 | 3,241,388 |
4
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Dayco Products, LLC, Term Loan, 4.371%, (3 mo. USD LIBOR + 4.25%), 5/19/23 | 1,077 | $ | 1,052,053 | |||||
Garrett LX I S.a.r.l., Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 4/30/28 | 775 | 774,031 | ||||||
Gates Global, LLC, Term Loan, 3.25%, (1 mo. USD LIBOR + 2.50%, Floor 0.75%), 3/31/27 | 2,650 | 2,641,719 | ||||||
Les Schwab Tire Centers, Term Loan, 4.00%, (6 mo. USD LIBOR + 3.25%, Floor 0.75%), 11/2/27 | 4,336 | 4,346,589 | ||||||
MajorDrive Holdings IV, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 4.00%, Floor 0.50%), 5/12/28 | 675 | 675,738 | ||||||
Thor Industries, Inc., Term Loan, 3.125%, (1 mo. USD LIBOR + 3.00%), 2/1/26 | 1,101 | 1,102,375 | ||||||
Truck Hero, Inc., Term Loan, 1/31/28(9) | 1,750 | 1,745,762 | ||||||
Wheel Pros, LLC, Term Loan, 5.25%, (1 mo. USD LIBOR + 4.50%, Floor 0.75%), 5/11/28 | 1,025 | 1,027,388 | ||||||
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$ | 22,772,763 | |||||||
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Beverage and Tobacco — 1.1% | ||||||||
Arterra Wines Canada, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 11/24/27 | 1,095 | $ | 1,096,552 | |||||
City Brewing Company, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 4/5/28 | 925 | 923,844 | ||||||
Triton Water Holdings, Inc., Term Loan, 4.00%, (3 mo. USD LIBOR + 3.50%, Floor 0.50%), 3/31/28 | 2,500 | 2,486,632 | ||||||
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$ | 4,507,028 | |||||||
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Brokerage/Securities Dealers/Investment Houses — 0.9% | ||||||||
Advisor Group, Inc., Term Loan, 4.585%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 2,411 | $ | 2,415,519 | |||||
Hudson River Trading, LLC, Term Loan, 3.085%, (1 mo. USD LIBOR + 3.00%), 3/20/28 | 1,513 | 1,491,703 | ||||||
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| |||||||
$ | 3,907,222 | |||||||
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Building and Development — 4.9% | ||||||||
Aegion Corporation, Term Loan, 5.50%, (3 mo. USD LIBOR + 4.75%, Floor 0.75%), 5/17/28 | 550 | $ | 555,930 | |||||
American Residential Services, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 10/15/27 | 622 | 621,875 | ||||||
Cornerstone Building Brands, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 4/12/28 | 948 | 946,440 | ||||||
CP Atlas Buyer, Inc., Term Loan, 4.25%, (USD LIBOR + 3.75%, Floor 0.50%), 11/23/27(10) | 1,272 | 1,267,917 | ||||||
Groupe Solmax, Inc., Term Loan, 6/28/28(9) | 1,550 | 1,551,454 | ||||||
MI Windows and Doors, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 12/18/27 | 2,498 | 2,504,858 | ||||||
Northstar Group Services, Inc., Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), 11/12/26 | 1,383 | 1,392,869 | ||||||
Park River Holdings, Inc., Term Loan, 4.00%, (3 mo. USD LIBOR + 3.25%, Floor 0.75%), 12/28/27 | 723 | 719,701 | ||||||
Quikrete Holdings, Inc., Term Loan, 2/21/28(9) | 2,500 | 2,483,397 | ||||||
Realogy Group, LLC, Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 2/8/25 | 201 | 200,504 | ||||||
SRS Distribution, Inc., Term Loan, 4.25%, (6 mo. USD LIBOR + 3.75%, Floor 0.50%), 6/2/28 | 1,175 | 1,170,502 | ||||||
Standard Industries, Inc., Term Loan, 8/5/28(9) | 1,500 | 1,497,500 | ||||||
Werner FinCo L.P., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), 7/24/24 | 1,108 | 1,108,983 | ||||||
White Cap Buyer, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 4.00%, Floor 0.50%), 10/19/27 | 2,357 | 2,361,166 |
5
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
WireCo WorldGroup, Inc.: | ||||||||
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 9/30/23 | 910 | $ | 912,003 | |||||
Term Loan - Second Lien, 10.00%, (6 mo. USD LIBOR + 9.00%, Floor 1.00%), 9/30/24 | 1,107 | 1,101,870 | ||||||
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$ | 20,396,969 | |||||||
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Business Equipment and Services — 16.1% | ||||||||
AlixPartners, LLP, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 524 | $ | 617,059 | ||||
Allied Universal Holdco, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.75%, Floor 0.50%), 5/12/28 | 3,559 | 3,563,934 | ||||||
AppLovin Corporation, Term Loan, 3.335%, (1 mo. USD LIBOR + 3.25%), 8/15/25 | 2,200 | 2,197,800 | ||||||
Belfor Holdings, Inc., Term Loan, 4.085%, (1 mo. USD LIBOR + 4.00%), 4/6/26 | 564 | 564,557 | ||||||
Blitz 20-487 GmbH, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 4/28/28 | EUR | 825 | 973,891 | |||||
Bracket Intermediate Holding Corp., Term Loan, 4.395%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 924 | 922,720 | ||||||
Brand Energy & Infrastructure Services, Inc., Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 6/21/24 | 1,663 | 1,643,722 | ||||||
Camelot U.S. Acquisition 1 Co., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 10/30/26 | 2,719 | 2,713,212 | ||||||
Ceridian HCM Holding, Inc., Term Loan, 2.582%, (1 week USD LIBOR + 2.50%), 4/30/25 | 1,039 | 1,023,433 | ||||||
Deerfield Dakota Holding, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 4/9/27 | 2,203 | 2,208,453 | ||||||
Employbridge, LLC, Term Loan, 5.50%, (3 mo. USD LIBOR + 4.75%, Floor 0.75%), 7/14/28 | 1,550 | 1,536,438 | ||||||
Endure Digital, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 2/10/28 | 3,350 | 3,326,131 | ||||||
Foundational Education Group, Inc., Term Loan, 8/31/28(9) | 475 | 472,625 | ||||||
Garda World Security Corporation, Term Loan, 4.34%, (1 mo. USD LIBOR + 4.25%), 10/30/26 | 1,426 | 1,425,512 | ||||||
Grab Holdings, Inc., Term Loan, 5.50%, (6 mo. USD LIBOR + 4.50%, Floor 1.00%), 1/29/26 | 2,519 | 2,541,776 | ||||||
Greeneden U.S. Holdings II, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/1/27 | 2,420 | 2,427,687 | ||||||
Hillman Group, Inc. (The): | ||||||||
Term Loan, 0.72%, (1 mo. USD LIBOR + 2.75%, Floor 0.50%), 7/14/28(8) | 84 | 84,064 | ||||||
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.75%, Floor 0.50%), 7/14/28 | 352 | 350,968 | ||||||
IG Investment Holdings, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 5/23/25 | 2,575 | 2,581,532 | ||||||
Intrado Corp., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), 10/10/24 | 1,011 | 978,759 | ||||||
IRI Holdings, Inc., Term Loan, 4.335%, (1 mo. USD LIBOR + 4.25%), 12/1/25 | 2,650 | 2,651,987 | ||||||
Ivanti Software, Inc.: | ||||||||
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/1/27 | 798 | 798,499 | ||||||
Term Loan, 5.75%, (3 mo. USD LIBOR + 4.75%, Floor 1.00%), 12/1/27 | 2,893 | 2,901,067 | ||||||
KAR Auction Services, Inc., Term Loan, 2.375%, (1 mo. USD LIBOR + 2.25%), 9/19/26 | 663 | 655,450 | ||||||
KUEHG Corp.: | ||||||||
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 2/21/25 | 2,699 | 2,655,550 | ||||||
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), 8/22/25 | 425 | 420,219 | ||||||
LGC Group Holdings, Ltd., Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), 4/21/27 | EUR | 500 | 582,885 | |||||
Loire Finco Luxembourg S.a.r.l., Term Loan, 3.085%, (1 mo. USD LIBOR + 3.00%), 4/21/27 | 371 | 364,303 | ||||||
Magnite, Inc., Term Loan, 5.75%, (USD LIBOR + 5.00%, Floor 0.75%), 4/28/28(10) | 775 | 773,063 |
6
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
MedAssets Software Intermediate Holdings, Inc., Term Loan, 4.50%, (USD LIBOR + 3.75%, Floor 0.75%), 1/28/28(10) | 500 | $ | 499,250 | |||||
Monitronics International, Inc., Term Loan, 7.75%, (3 mo. USD LIBOR + 6.50%, Floor 1.25%), 3/29/24 | 1,579 | 1,534,205 | ||||||
Nielsen Consumer, Inc.: | ||||||||
Term Loan, 4.00%, (1 mo. EURIBOR + 4.00%), 3/6/28 | EUR | 424 | 503,015 | |||||
Term Loan, 4.096%, (1 mo. USD LIBOR + 4.00%), 3/6/28 | 798 | 798,143 | ||||||
Packaging Coordinators Midco, Inc., Term Loan, 11/30/27(9) | 1,247 | 1,246,407 | ||||||
Pike Corporation, Term Loan, 3.09%, (1 mo. USD LIBOR + 3.00%), 1/21/28 | 503 | 501,921 | ||||||
Prime Security Services Borrower, LLC, Term Loan, 9/23/26(9) | 2,148 | 2,146,669 | ||||||
Sabre GLBL, Inc.: | ||||||||
Term Loan, 12/17/27(9) | 964 | 959,022 | ||||||
Term Loan, 12/17/27(9) | 1,536 | 1,528,738 | ||||||
Term Loan, 2.085%, (1 mo. USD LIBOR + 2.00%), 2/22/24 | 1,013 | 998,241 | ||||||
SITEL Worldwide Corporation, Term Loan, 7/28/28(9) | 1,334 | 1,331,957 | ||||||
Skopima Merger Sub, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 4.00%, Floor 0.50%), 4/30/28 | 1,200 | 1,195,000 | ||||||
SMG US Midco 2, Inc., Term Loan, 2.616%, (USD LIBOR + 2.50%), 1/23/25(10) | 242 | 228,936 | ||||||
Sotheby’s, Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), 1/15/27 | 464 | 467,286 | ||||||
Spin Holdco, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 3/1/28 | 4,663 | 4,672,420 | ||||||
Techem Verwaltungsgesellschaft 675 mbH, Term Loan, 2.375%, (6 mo. EURIBOR + 2.375%), 7/15/25 | EUR | 801 | 936,991 | |||||
Tempo Acquisition, LLC, Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 11/2/26 | 1,653 | 1,656,317 | ||||||
West Corporation, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 10/10/24 | 303 | 291,722 | ||||||
Zephyr Bidco Limited, Term Loan, 4.80%, (1 mo. GBP LIBOR + 4.75%), 7/23/25 | GBP | 775 | 1,061,596 | |||||
|
| |||||||
$ | 66,515,132 | |||||||
|
| |||||||
Cable and Satellite Television — 3.2% | ||||||||
Altice France S.A.: | ||||||||
Term Loan, 3.814%, (3 mo. USD LIBOR + 3.69%), 1/31/26 | 776 | $ | 770,162 | |||||
Term Loan, 4.125%, (3 mo. USD LIBOR + 4.00%), 8/14/26 | 1,227 | 1,225,307 | ||||||
Numericable Group S.A., Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 7/31/25 | EUR | 479 | 555,957 | |||||
UPC Broadband Holding B.V.: | ||||||||
Term Loan, 2.346%, (1 mo. USD LIBOR + 2.25%), 4/30/28 | 900 | 888,911 | ||||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 775 | 905,788 | |||||
UPC Financing Partnership, Term Loan, 3.096%, (1 mo. USD LIBOR + 3.00%), 1/31/29 | 3,000 | 2,987,499 | ||||||
Virgin Media Bristol, LLC, Term Loan, 3.346%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 5,775 | 5,769,583 | ||||||
|
| |||||||
$ | 13,103,207 | |||||||
|
| |||||||
Chemicals and Plastics — 4.8% | ||||||||
Aruba Investments, Inc.: | ||||||||
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 11/24/27 | EUR | 524 | $ | 620,856 | ||||
Term Loan, 4.75%, (6 mo. USD LIBOR + 4.00%, Floor 0.75%), 11/24/27 | 798 | 800,992 | ||||||
Atotech B.V., Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 3/18/28 | EUR | 375 | 440,844 | |||||
Charter NEX US, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 12/1/27 | 498 | 498,329 |
7
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Chemours Company (The), Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), 4/3/25 | EUR | 626 | $ | 736,493 | ||||
CPC Acquisition Corp., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 12/29/27 | 823 | 822,080 | ||||||
Ferro Corporation: | ||||||||
Term Loan, 2.397%, (3 mo. USD LIBOR + 2.25%), 2/14/24 | 157 | 156,322 | ||||||
Term Loan, 2.397%, (3 mo. USD LIBOR + 2.25%), 2/14/24 | 160 | 159,721 | ||||||
Term Loan, 2.397%, (3 mo. USD LIBOR + 2.25%), 2/14/24 | 195 | 194,202 | ||||||
Flint Group GmbH, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23 | 157 | 155,525 | ||||||
Flint Group US, LLC, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23 | 947 | 940,798 | ||||||
Gemini HDPE, LLC, Term Loan, 3.50%, (3 mo. USD LIBOR + 3.00%, Floor 0.50%), 12/31/27 | 806 | 805,594 | ||||||
Hexion, Inc., Term Loan, 3.65%, (3 mo. USD LIBOR + 3.50%), 7/1/26 | 760 | 759,817 | ||||||
Illuminate Buyer, LLC, Term Loan, 3.585%, (1 mo. USD LIBOR + 3.50%), 6/30/27 | 846 | 842,372 | ||||||
INEOS Enterprises Holdings II Limited, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 200 | 236,494 | |||||
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 8/28/26 | 222 | 222,875 | ||||||
INEOS Styrolution US Holding, LLC, Term Loan, 1/29/26(9) | 2,000 | 1,997,084 | ||||||
Lonza Group AG, Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 6/29/28 | 2,500 | 2,501,562 | ||||||
LSF11 Skyscraper Holdco S.a.r.l., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 9/29/27 | 673 | 674,154 | ||||||
Momentive Performance Materials, Inc., Term Loan, 3.34%, (1 mo. USD LIBOR + 3.25%), 5/15/24 | 466 | 465,063 | ||||||
PMHC II, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 3/31/25 | 1,664 | 1,648,651 | ||||||
Pregis TopCo Corporation, Term Loan, 4.085%, (1 mo. USD LIBOR + 4.00%), 7/31/26 | 665 | 665,291 | ||||||
Rohm Holding GmbH, Term Loan, 4.904%, (6 mo. USD LIBOR + 4.75%), 7/31/26 | 1,494 | 1,493,985 | ||||||
Solenis Holdings, LLC, Term Loan, 4.00%, (EURIBOR + 4.00%), 6/26/25(10) | EUR | 274 | 323,919 | |||||
Starfruit Finco B.V., Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), 10/1/25 | EUR | 448 | 526,504 | |||||
Venator Materials Corporation, Term Loan, 3.085%, (1 mo. USD LIBOR + 3.00%), 8/8/24 | 409 | 404,461 | ||||||
W.R. Grace & Co.-Conn., Term Loan, 8/12/28(9) | 975 | 978,250 | ||||||
|
| |||||||
$ | 20,072,238 | |||||||
|
| |||||||
Conglomerates — 0.6% | ||||||||
Conair Holdings, LLC, Term Loan, 5/17/28(9) | 2,200 | $ | 2,198,625 | |||||
Penn Engineering & Manufacturing Corp., Term Loan, 3.50%, (2 mo. USD LIBOR + 2.50%, Floor 1.00%), 6/27/24 | 183 | 183,578 | ||||||
|
| |||||||
$ | 2,382,203 | |||||||
|
| |||||||
Containers and Glass Products — 2.2% | ||||||||
Berlin Packaging, LLC, Term Loan, 4.25%, (USD LIBOR + 3.75%, Floor 0.50%), 3/11/28(10) | 725 | $ | 720,922 | |||||
BWAY Holding Company, Term Loan, 3.342%, (1 mo. USD LIBOR + 3.25%), 4/3/24 | 2,483 | 2,423,027 | ||||||
Flex Acquisition Company, Inc., Term Loan, 2/23/28(9) | 3,450 | 3,433,367 | ||||||
Libbey Glass, Inc., Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), 11/13/25 | 836 | 872,350 | ||||||
Proampac PG Borrower, LLC, Term Loan, 4.50%, (USD LIBOR + 3.75%, Floor 0.75%), 11/3/25(10) | 424 | 424,600 |
8
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
TricorBraun Holdings, Inc.: | ||||||||
Term Loan, 3.325%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 3/3/28(8) | 124 | $ | 122,975 | |||||
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 3/3/28 | 551 | 546,728 | ||||||
Trident TPI Holdings, Inc., Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), 10/17/24 | 749 | 748,703 | ||||||
|
| |||||||
$ | 9,292,672 | |||||||
|
| |||||||
Cosmetics/Toiletries — 0.3% | ||||||||
Kronos Acquisition Holdings, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.75%, Floor 0.50%), 12/22/26 | 1,418 | $ | 1,383,536 | |||||
|
| |||||||
$ | 1,383,536 | |||||||
|
| |||||||
Drugs — 4.2% | ||||||||
Akorn, Inc., Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), 10/1/25 | 864 | $ | 880,866 | |||||
Alkermes, Inc., Term Loan, 3.00%, (3 mo. USD LIBOR + 2.50%, Floor 0.50%), 3/9/26 | 392 | 391,124 | ||||||
Amneal Pharmaceuticals, LLC, Term Loan, 3.625%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 1,841 | 1,818,465 | ||||||
Arbor Pharmaceuticals, Inc., Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), 7/5/23 | 864 | 863,974 | ||||||
Bausch Health Companies, Inc., Term Loan, 3.085%, (1 mo. USD LIBOR + 3.00%), 6/2/25 | 2,200 | 2,195,050 | ||||||
Cambrex Corporation, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 12/4/26 | 323 | 323,375 | ||||||
Curia Global, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 8/30/26 | 1,992 | 1,995,070 | ||||||
Elanco Animal Health Incorporated, Term Loan, 1.846%, (1 mo. USD LIBOR + 1.75%), 8/2/27 | 634 | 624,390 | ||||||
Jazz Financing Lux S.a.r.l., Term Loan, 5/5/28(9) | 2,500 | 2,502,638 | ||||||
Mallinckrodt International Finance S.A.: | ||||||||
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.25%, Floor 0.75%), 9/24/24 | 2,132 | 2,075,294 | ||||||
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.50%, Floor 0.75%), 2/24/25 | 3,061 | 2,989,783 | ||||||
Nidda Healthcare Holding AG, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 8/21/26 | EUR | 625 | 732,434 | |||||
|
| |||||||
$ | 17,392,463 | |||||||
|
| |||||||
Ecological Services and Equipment — 1.0% | ||||||||
EnergySolutions, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 5/9/25 | 1,849 | $ | 1,843,729 | |||||
GFL Environmental, Inc., Term Loan, 3.50%, (3 mo. USD LIBOR + 3.00%, Floor 0.50%), 5/30/25 | 50 | 49,836 | ||||||
TruGreen Limited Partnership, Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 11/2/27 | 2,147 | 2,154,465 | ||||||
US Ecology Holdings, Inc., Term Loan, 2.585%, (1 mo. USD LIBOR + 2.50%), 11/1/26 | 271 | 270,791 | ||||||
|
| |||||||
$ | 4,318,821 | |||||||
|
| |||||||
Electronics/Electrical — 29.4% | ||||||||
Allegro Microsystems, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.75%, Floor 0.50%), 9/30/27 | 48 | $ | 48,077 | |||||
Applied Systems, Inc., Term Loan - Second Lien, 6.25%, (3 mo. USD LIBOR + 5.50%, Floor 0.75%), 9/19/25 | 2,671 | 2,712,238 | ||||||
AQA Acquisition Holding, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.25%, Floor 0.50%), 3/3/28 | 975 | 977,438 | ||||||
Astra Acquisition Corp., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.75%, Floor 0.75%), 3/1/27 | 866 | 868,432 |
9
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Banff Merger Sub, Inc.: | ||||||||
Term Loan, 3.835%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 3,759 | $ | 3,738,182 | |||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 293 | 347,202 | |||||
Barracuda Networks, Inc., Term Loan - Second Lien, 7.50%, (3 mo. USD LIBOR + 6.75%, Floor 0.75%), 10/30/28 | 450 | 458,063 | ||||||
Buzz Merger Sub, Ltd.: | ||||||||
Term Loan, 2.835%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 593 | 590,648 | ||||||
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 1/29/27 | 67 | 67,015 | ||||||
Celestica, Inc., Term Loan, 2.588%, (1 mo. USD LIBOR + 2.50%), 6/27/25 | 218 | 217,228 | ||||||
CentralSquare Technologies, LLC, Term Loan, 3.897%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 902 | 842,126 | ||||||
Cloudera, Inc.: | ||||||||
Term Loan, 8/9/28(9) | 2,400 | 2,394,749 | ||||||
Term Loan - Second Lien, 8/9/29(9) | 650 | 650,000 | ||||||
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.50%, Floor 0.75%), 12/22/27 | 672 | 671,751 | ||||||
Cohu, Inc., Term Loan, 3.172%, (6 mo. USD LIBOR + 3.00%), 10/1/25 | 274 | 272,713 | ||||||
Concorde Midco, Ltd., Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 575 | 682,609 | |||||
Constant Contact, Inc.: | ||||||||
Term Loan, 4.75%, 2/10/28(8) | 434 | 432,580 | ||||||
Term Loan, 4.75%, (6 mo. USD LIBOR + 4.00%, Floor 0.75%), 2/10/28 | 1,616 | 1,610,159 | ||||||
CPI International, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 7/26/24 | 660 | 658,793 | ||||||
Delta TopCo, Inc.: | ||||||||
Term Loan, 12/1/27(9) | 1,563 | 1,566,406 | ||||||
Term Loan - Second Lien, 8.00%, (6 mo. USD LIBOR + 7.25%, Floor 0.75%), 12/1/28 | 2,250 | 2,278,125 | ||||||
DG Investment Intermediate Holdings 2, Inc.: | ||||||||
Term Loan, 3/31/28(9) | 173 | 173,417 | ||||||
Term Loan, 3/31/28(9) | 827 | 828,067 | ||||||
E2open, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 2/4/28 | 973 | 971,347 | ||||||
ECI Macola Max Holdings, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 11/9/27 | 1,419 | 1,420,294 | ||||||
Electro Rent Corporation, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 1/31/24 | 1,732 | 1,734,077 | ||||||
Epicor Software Corporation: | ||||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 7/30/27 | 2,519 | 2,519,483 | ||||||
Term Loan - Second Lien, 8.75%, (1 mo. USD LIBOR + 7.75%, Floor 1.00%), 7/31/28 | 925 | 953,906 | ||||||
EXC Holdings III Corp., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 12/2/24 | 1,642 | 1,644,998 | ||||||
Finastra USA, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), 6/13/24 | 4,982 | 4,928,748 | ||||||
Gainwell Acquisition Corp., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 10/1/27 | 4,315 | 4,323,498 | ||||||
Hyland Software, Inc., Term Loan - Second Lien, 7.00%, (1 mo. USD LIBOR + 6.25%, Floor 0.75%), 7/7/25 | 3,806 | 3,851,196 | ||||||
Imperva, Inc., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), 1/12/26 | 2,395 | 2,399,125 | ||||||
Informatica, LLC: | ||||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/25/27 | EUR | 296 | 348,223 | |||||
Term Loan, 3.335%, (1 mo. USD LIBOR + 3.25%), 2/25/27 | 2,500 | 2,489,687 | ||||||
Term Loan - Second Lien, 7.125%, 2/25/25(11) | 550 | 563,521 |
10
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Liftoff Mobile, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 3/17/28 | 547 | $ | 546,737 | |||||
LogMeIn, Inc., Term Loan, 4.847%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 2,040 | 2,036,107 | ||||||
MA FinanceCo., LLC: | ||||||||
Term Loan, 2.835%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 451 | 446,910 | ||||||
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), 6/5/25 | EUR | 731 | 872,058 | |||||
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 6/5/25 | 1,853 | 1,865,816 | ||||||
Magenta Buyer, LLC: | ||||||||
Term Loan, 5.75%, (3 mo. USD LIBOR + 5.00%, Floor 0.75%), 7/27/28 | 4,650 | 4,650,000 | ||||||
Term Loan - Second Lien, 9.00%, (3 mo. USD LIBOR + 8.25%, Floor 0.75%), 5/3/29 | 1,250 | 1,248,438 | ||||||
Marcel LUX IV S.a.r.l., Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/31/27 | 112 | 111,793 | ||||||
Mirion Technologies, Inc., Term Loan, 4.147%, (3 mo. USD LIBOR + 4.00%), 3/6/26 | 1,357 | 1,358,474 | ||||||
Panther Commercial Holdings L.P., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.50%, Floor 0.50%), 1/7/28 | 725 | 727,175 | ||||||
PointClickCare Technologies, Inc., Term Loan, 3.75%, (USD LIBOR + 3.00%, Floor 0.75%), 12/29/27(10) | 673 | 674,154 | ||||||
Polaris Newco, LLC, Term Loan, 4.50%, (6 mo. USD LIBOR + 4.00%, Floor 0.50%), 6/2/28 | 2,900 | 2,901,360 | ||||||
Poseidon Intermediate, LLC, Term Loan, 8/18/25(9) | 200 | 200,042 | ||||||
Proofpoint, Inc., Term Loan, 8/31/28(9) | 1,500 | 1,492,734 | ||||||
RealPage, Inc., Term Loan, 4/24/28(9) | 4,425 | 4,407,026 | ||||||
Recorded Books, Inc., Term Loan, 4.096%, (1 mo. USD LIBOR + 4.00%), 8/29/25 | 2,520 | 2,523,150 | ||||||
Redstone Holdco 2 L.P., Term Loan, 5.50%, (2 mo. USD LIBOR + 4.75%, Floor 0.75%), 4/24/28 | 2,450 | 2,450,000 | ||||||
Renaissance Holding Corp., Term Loan - Second Lien, 7.085%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 200 | 201,500 | ||||||
Riverbed Technology, Inc., Term Loan - Second Lien, 12.00%, (3 mo. USD LIBOR + 11.00%, Floor 1.00%), 7.50% cash, 4.50% PIK, 12/31/26 | 23 | 17,661 | ||||||
Seattle Spinco, Inc., Term Loan, 2.835%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 3,049 | 3,018,090 | ||||||
Sophia L.P., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 10/7/27 | 4,248 | 4,264,121 | ||||||
Sovos Compliance, LLC: | ||||||||
Term Loan, 0.00%, 7/29/28(8) | 92 | 92,463 | ||||||
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.50%, Floor 0.50%), 7/29/28 | 533 | 535,427 | ||||||
SurveyMonkey, Inc., Term Loan, 3.84%, (1 week USD LIBOR + 3.75%), 10/10/25 | 1,034 | 1,027,629 | ||||||
Symplr Software, Inc., Term Loan, 5.25%, (6 mo. USD LIBOR + 4.50%, Floor 0.75%), 12/22/27 | 873 | 874,631 | ||||||
Tech Data Corporation, Term Loan, 3.585%, (1 week USD LIBOR + 3.50%), 6/30/25 | 1,191 | 1,192,428 | ||||||
Tibco Software, Inc.: | ||||||||
Term Loan, 3.84%, (1 mo. USD LIBOR + 3.75%), 6/30/26 | 2,626 | 2,609,024 | ||||||
Term Loan - Second Lien, 7.34%, (1 mo. USD LIBOR + 7.25%), 3/3/28 | 1,350 | 1,363,500 | ||||||
TTM Technologies, Inc., Term Loan, 2.596%, (1 mo. USD LIBOR + 2.50%), 9/28/24 | 150 | 149,647 | ||||||
Turing Midco, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 3/23/28 | 407 | 406,564 | ||||||
Uber Technologies, Inc.: | ||||||||
Term Loan, 3.585%, (1 mo. USD LIBOR + 3.50%), 4/4/25 | 6,140 | 6,133,911 | ||||||
Term Loan, 3.585%, (1 mo. USD LIBOR + 3.50%), 2/25/27 | 5 | 5,290 |
11
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Ultimate Software Group, Inc. (The): | ||||||||
Term Loan, 5/4/26(9) | 1,730 | $ | 1,733,136 | |||||
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.25%, Floor 0.75%), 5/4/26 | 4,591 | 4,600,166 | ||||||
Term Loan - Second Lien, 7.50%, (3 mo. USD LIBOR + 6.75%, Floor 0.75%), 5/3/27 | 275 | 280,271 | ||||||
Ultra Clean Holdings, Inc., Term Loan, 3.835%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 1,341 | 1,344,713 | ||||||
Valkyr Purchaser, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 10/29/27 | 798 | 799,496 | ||||||
Verifone Systems, Inc., Term Loan, 4.129%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 1,241 | 1,200,035 | ||||||
Verisure Holding AB, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 850 | 999,516 | |||||
Veritas US, Inc.: | ||||||||
Term Loan, 5.75%, (3 mo. EURIBOR + 4.75%, Floor 1.00%), 9/1/25 | EUR | 370 | 440,301 | |||||
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 9/1/25 | 2,729 | 2,740,327 | ||||||
Vision Solutions, Inc., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 4/24/28 | 2,500 | 2,497,917 | ||||||
VS Buyer, LLC, Term Loan, 3.085%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | 1,234 | 1,228,666 | ||||||
Vungle, Inc., Term Loan, 5.585%, (1 mo. USD LIBOR + 5.50%), 9/30/26 | 712 | 715,429 | ||||||
Zebra Buyer, LLC, Term Loan, 4/21/28(9) | 1,525 | 1,529,493 | ||||||
|
| |||||||
$ | 121,747,447 | |||||||
|
| |||||||
Equipment Leasing — 0.5% | ||||||||
Boels Topholding B.V., Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/5/27 | EUR | 600 | $ | 707,059 | ||||
Fly Funding II S.a.r.l., Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), 10/8/25 | 1,275 | 1,280,892 | ||||||
|
| |||||||
$ | 1,987,951 | |||||||
|
| |||||||
Financial Intermediaries — 3.4% | ||||||||
Aretec Group, Inc., Term Loan, 4.335%, (1 mo. USD LIBOR + 4.25%), 10/1/25 | 3,516 | $ | 3,500,422 | |||||
CoreLogic, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.50%, Floor 0.50%), 6/2/28 | 3,038 | 3,034,177 | ||||||
Edelman Financial Center, LLC, Term Loan, 4/7/28(9) | 1,550 | 1,544,091 | ||||||
EIG Management Company, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/22/25 | 266 | 265,785 | ||||||
Focus Financial Partners, LLC: | ||||||||
Term Loan, 6/24/28(9) | 281 | 279,434 | ||||||
Term Loan, 7/1/28(9) | 1,219 | 1,210,879 | ||||||
Greenhill & Co., Inc., Term Loan, 3.335%, (1 mo. USD LIBOR + 3.25%), 4/12/24 | 511 | 510,189 | ||||||
GreenSky Holdings, LLC: | ||||||||
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 3/29/25 | 495 | 493,763 | ||||||
Term Loan, 3.375%, (1 mo. USD LIBOR + 3.25%), 3/31/25 | 1,451 | 1,420,411 | ||||||
Mariner Wealth Advisors, LLC: | ||||||||
Term Loan, 8/18/28(9) | 53 | 52,926 | ||||||
Term Loan, 8/18/28(9) | 372 | 370,481 | ||||||
Victory Capital Holdings, Inc., Term Loan, 2.395%, (3 mo. USD LIBOR + 2.25%), 7/1/26 | 935 | 927,000 | ||||||
Virtus Investment Partners, Inc., Term Loan, 3.00%, (6 mo. USD LIBOR + 2.25%, Floor 0.75%), 6/1/24 | 414 | 413,597 | ||||||
|
| |||||||
$ | 14,023,155 | |||||||
|
| |||||||
Food Products — 0.9% | ||||||||
8th Avenue Food & Provisions, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.75%, Floor 0.75%), 10/1/25 | 500 | $ | 497,500 | |||||
Badger Buyer Corp., Term Loan, 3.586%, (1 mo. USD LIBOR + 3.50%), 9/30/24 | 361 | 353,493 | ||||||
HLF Financing S.a.r.l., Term Loan, 2.585%, (1 mo. USD LIBOR + 2.50%), 8/18/25 | 733 | 729,030 |
12
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Monogram Food Solutions, LLC, Term Loan, 8/28/28(9) | 450 | $ | 450,563 | |||||
Shearer’s Foods, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 9/23/27 | 447 | 446,351 | ||||||
Simply Good Foods USA, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 7/7/24 | 279 | 279,843 | ||||||
UTZ Quality Foods, LLC, Term Loan, 3.085%, (1 mo. USD LIBOR + 3.00%), 1/20/28 | 174 | 173,799 | ||||||
Wsof I New Finco B.V., Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), 4/23/28 | EUR | 775 | 910,506 | |||||
|
| |||||||
$ | 3,841,085 | |||||||
|
| |||||||
Food Service — 0.7% | ||||||||
IRB Holding Corp., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), 12/15/27 | 2,090 | $ | 2,091,851 | |||||
Sovos Brands Intermediate, Inc., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 6/8/28 | 725 | 727,568 | ||||||
|
| |||||||
$ | 2,819,419 | |||||||
|
| |||||||
Food/Drug Retailers — 0.3% | ||||||||
L1R HB Finance Limited: | ||||||||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), 8/9/24 | EUR | 450 | $ | 518,288 | ||||
Term Loan, 5.329%, (3 mo. GBP LIBOR + 5.25%), 9/2/24 | GBP | 450 | 598,126 | |||||
|
| |||||||
$ | 1,116,414 | |||||||
|
| |||||||
Forest Products — 0.3% | ||||||||
Journey Personal Care Corp., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 3/1/28 | 1,275 | $ | 1,279,383 | |||||
|
| |||||||
$ | 1,279,383 | |||||||
|
| |||||||
Health Care — 12.1% | ||||||||
Accelerated Health Systems, LLC, Term Loan, 3.589%, (1 mo. USD LIBOR + 3.50%), 10/31/25 | 561 | $ | 558,873 | |||||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 8/5/28(9) | 900 | 901,125 | ||||||
Alliance Healthcare Services, Inc., Term Loan, 6.75%, (USD Prime + 3.50%), 10/24/23 | 761 | 757,130 | ||||||
athenahealth, Inc., Term Loan, 4.377%, (USD LIBOR + 4.25%), 2/11/26(10) | 4,133 | 4,150,529 | ||||||
Bayou Intermediate II, LLC, Term Loan, 5.25%, (3 mo. USD LIBOR + 4.50%, Floor 0.75%), 5/13/28 | 875 | 878,828 | ||||||
Biogroup-LCD, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 1/28/28 | EUR | 250 | 294,062 | |||||
BW NHHC Holdco, Inc., Term Loan, 5.125%, (3 mo. USD LIBOR + 5.00%), 5/15/25 | 2,492 | 2,277,487 | ||||||
Cano Health, LLC, Term Loan, 5.25%, (6 mo. USD LIBOR + 4.50%, Floor 0.75%), 11/19/27 | 1,541 | 1,542,080 | ||||||
CCRR Parent, Inc., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 3/6/28 | 524 | 527,288 | ||||||
Certara L.P., Term Loan, 3.585%, (1 mo. USD LIBOR + 3.50%), 8/15/26 | 962 | 961,284 | ||||||
CHG Healthcare Services, Inc., Term Loan, 6/7/23(9) | 3,075 | 3,075,427 | ||||||
CryoLife, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 6/1/27 | 507 | 507,047 | ||||||
Envision Healthcare Corporation, Term Loan, 3.835%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 3,027 | 2,677,593 | ||||||
eResearchTechnology, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 2/4/27 | 349 | 350,767 | ||||||
GHX Ultimate Parent Corporation, Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), 6/28/24 | 962 | 961,226 | ||||||
Hanger, Inc., Term Loan, 3.585%, (1 mo. USD LIBOR + 3.50%), 3/6/25 | 1,113 | 1,109,612 | ||||||
IQVIA, Inc., Term Loan, 1.835%, (1 mo. USD LIBOR + 1.75%), 3/7/24 | 551 | 548,879 |
13
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Medical Solutions, LLC, Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 6/14/24 | 1,607 | $ | 1,611,925 | |||||
Midwest Physician Administrative Services, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.00%, Floor 0.75%), 3/12/28 | 574 | 570,121 | ||||||
National Mentor Holdings, Inc.: | ||||||||
Term Loan, 3.75%, 3/2/28(8) | 97 | 96,298 | ||||||
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/18/28 | 2,079 | 2,074,329 | ||||||
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/2/28 | 65 | 65,331 | ||||||
Navicure, Inc., Term Loan, 4.085%, (1 mo. USD LIBOR + 4.00%), 10/22/26 | 1,580 | 1,579,012 | ||||||
Ortho-Clinical Diagnostics S.A., Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 6/30/25 | EUR | 404 | 477,806 | |||||
Pacific Dental Services, LLC, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 5/5/28 | 600 | 602,625 | ||||||
PetVet Care Centers, LLC, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 2/14/25 | 199 | 199,070 | ||||||
Phoenix Guarantor, Inc.: | ||||||||
Term Loan, 3/5/26(9) | 1,550 | 1,541,087 | ||||||
Term Loan, 3/5/26(9) | 3,000 | 2,975,811 | ||||||
Project Ruby Ultimate Parent Corp., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 3/3/28 | 1,247 | 1,242,394 | ||||||
Radiology Partners, Inc., Term Loan, 4.346%, (1 mo. USD LIBOR + 4.25%), 7/9/25 | 2,555 | 2,544,010 | ||||||
Sotera Health Holdings, LLC, Term Loan, 3.25%, (3 mo. USD LIBOR + 2.75%, Floor 0.50%), 12/11/26 | 675 | 671,308 | ||||||
Sound Inpatient Physicians, Term Loan, 2.835%, (1 mo. USD LIBOR + 2.75%), 6/27/25 | 485 | 482,151 | ||||||
Sunshine Luxembourg VII S.a.r.l., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 10/1/26 | 1,247 | 1,250,289 | ||||||
Surgery Center Holdings, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 8/31/26 | 2,525 | 2,528,944 | ||||||
Synlab Bondco PLC, Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 325 | 382,031 | |||||
Team Health Holdings, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 2/6/24 | 1,977 | 1,928,618 | ||||||
U.S. Anesthesia Partners, Inc., Term Loan, 6/23/24(9) | 2,545 | 2,524,632 | ||||||
US Radiology Specialists, Inc., Term Loan, 6.25%, (3 mo. USD LIBOR + 5.50%, Floor 0.75%), 12/10/27 | 896 | 901,177 | ||||||
Verscend Holding Corp., Term Loan, 4.085%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 1,594 | 1,594,498 | ||||||
|
| |||||||
$ | 49,922,704 | |||||||
|
| |||||||
Home Furnishings — 2.2% | ||||||||
ACProducts, Inc., Term Loan, 4.75%, (6 mo. USD LIBOR + 4.25%, Floor 0.50%), 5/5/28 | 2,125 | $ | 2,128,037 | |||||
Ai Aqua Merger Sub, Inc.: | ||||||||
Term Loan, 7/31/28(9) | 244 | 244,994 | ||||||
Term Loan, 7/31/28(9) | 1,956 | 1,959,956 | ||||||
Mattress Firm, Inc., Term Loan, 6.25%, (6 mo. USD LIBOR + 5.25%, Floor 1.00%), 11/26/27 | 879 | 894,677 | ||||||
Serta Simmons Bedding, LLC: | ||||||||
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 8/10/23 | 1,165 | 1,179,504 | ||||||
Term Loan - Second Lien, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 8/10/23 | 2,693 | 2,568,778 | ||||||
|
| |||||||
$ | 8,975,946 | |||||||
|
|
14
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Industrial Equipment — 6.6% | ||||||||
Alliance Laundry Systems, LLC, Term Loan, 4.25%, (USD LIBOR + 3.50%, Floor 0.75%), 10/8/27(10) | 2,206 | $ | 2,208,704 | |||||
Altra Industrial Motion Corp., Term Loan, 2.085%, (1 mo. USD LIBOR + 2.00%), 10/1/25 | 555 | 551,667 | ||||||
American Trailer World Corp., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/3/28 | 650 | 644,313 | ||||||
Apex Tool Group, LLC, Term Loan, 6.50%, (1 mo. USD LIBOR + 5.25%, Floor 1.25%), 8/1/24 | 2,913 | 2,925,557 | ||||||
Delachaux Group S.A.: | ||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 4/16/26 | EUR | 394 | 465,916 | |||||
Term Loan, 4.629%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 466 | 466,082 | ||||||
DexKo Global, Inc.: | ||||||||
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 7/24/24 | EUR | 320 | 377,335 | |||||
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 7/24/24 | EUR | 799 | 943,342 | |||||
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), 7/24/24 | 888 | 888,402 | ||||||
DXP Enterprises, Inc., Term Loan, 5.75%, (1 mo. USD LIBOR + 4.75%, Floor 1.00%), 12/16/27 | 672 | 672,884 | ||||||
Dynacast International, LLC, Term Loan, 10.25%, (3 mo. USD LIBOR + 9.25%, Floor 1.00%), 10/22/25 | 371 | 381,670 | ||||||
Engineered Machinery Holdings, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 5/19/28 | 2,815 | 2,809,135 | ||||||
Filtration Group Corporation: | ||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 387 | 457,334 | |||||
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/29/25 | 397 | 398,116 | ||||||
Gardner Denver, Inc., Term Loan, 1.835%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 1,287 | 1,268,459 | ||||||
GrafTech Finance, Inc., Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 2/12/25 | 2,276 | 2,280,627 | ||||||
Granite Holdings US Acquisition Co., Term Loan, 4.147%, (3 mo. USD LIBOR + 4.00%), 9/30/26 | 1,194 | 1,195,940 | ||||||
Ingersoll-Rand Services Company, Term Loan, 1.835%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 1,407 | 1,386,959 | ||||||
LTI Holdings, Inc.: | ||||||||
Term Loan, 4.75%, 7/24/26(8) | 225 | 224,578 | ||||||
Term Loan, 4.835%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 375 | 374,297 | ||||||
Madison IAQ, LLC, Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 6/21/28 | 2,500 | 2,486,980 | ||||||
Robertshaw US Holding Corp., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 2/28/25 | 1,040 | 1,002,360 | ||||||
Thermon Industries, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/30/24 | 236 | 235,306 | ||||||
Tiger Acquisition, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 6/1/28 | 600 | 597,000 | ||||||
Vertical US Newco, Inc., Term Loan, 4.00%, (6 mo. USD LIBOR + 3.50%, Floor 0.50%), 7/29/27 | 1,340 | 1,341,335 | ||||||
Zephyr German BidCo GmbH, Term Loan, 3.75%, (2 mo. EURIBOR + 3.75%), 3/10/28 | EUR | 650 | 767,647 | |||||
|
| |||||||
$ | 27,351,945 | |||||||
|
| |||||||
Insurance — 4.2% | ||||||||
AssuredPartners, Inc.: | ||||||||
Term Loan, 2/12/27(9) | 1,400 | $ | 1,390,900 | |||||
Term Loan, 2/12/27(9) | 1,400 | 1,389,063 |
15
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Asurion, LLC: | ||||||||
Term Loan, 3.21%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | 1,308 | $ | 1,294,991 | |||||
Term Loan, 3.335%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 1,333 | 1,309,015 | ||||||
Term Loan - Second Lien, 5.335%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 2,070 | 2,063,101 | ||||||
Financiere CEP S.A.S., Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/18/27 | EUR | 550 | 653,201 | |||||
Hub International Limited, Term Loan, 4/25/25(9) | 3,000 | 3,001,740 | ||||||
NFP Corp., Term Loan, 2/15/27(9) | 2,200 | 2,167,458 | ||||||
Ryan Specialty Group, LLC, Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), 9/1/27 | 3,000 | 3,002,250 | ||||||
Sedgwick Claims Management Services, Inc., Term Loan, 12/31/25(9) | 1,250 | 1,234,961 | ||||||
|
| |||||||
$ | 17,506,680 | |||||||
|
| |||||||
Leisure Goods/Activities/Movies — 3.9% | ||||||||
Amer Sports Oyj, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), 3/30/26 | EUR | 1,813 | $ | 2,147,690 | ||||
Carnival Corporation, Term Loan, 3.75%, (6 mo. USD LIBOR + 3.00%, Floor 0.75%), 6/30/25 | 1,386 | 1,383,401 | ||||||
City Football Group Limited, Term Loan, 4.00%, (3 mo. USD LIBOR + 3.50%, Floor 0.50%), 7/21/28 | 1,000 | 997,500 | ||||||
ClubCorp Holdings, Inc., Term Loan, 9/18/24(9) | 1,500 | 1,413,958 | ||||||
Crown Finance US, Inc.: | ||||||||
Term Loan, 2.625%, (6 mo. EURIBOR + 2.625%), 2/28/25 | EUR | 289 | 272,855 | |||||
Term Loan, 3.50%, (6 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/28/25 | 1,749 | 1,368,181 | ||||||
Term Loan, 3.75%, (6 mo. USD LIBOR + 2.75%, Floor 1.00%), 9/30/26 | 1,527 | 1,181,929 | ||||||
Term Loan, 15.25%, (7.00% cash, 8.25% PIK), 5/23/24(11) | 506 | 624,288 | ||||||
Lindblad Expeditions, Inc.: | ||||||||
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), 4.75% cash, 1.25% PIK, 3/27/25 | 341 | 325,519 | ||||||
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), 4.75% cash, 1.25% PIK, 3/27/25 | 1,363 | 1,302,076 | ||||||
Match Group, Inc., Term Loan, 1.874%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 775 | 769,188 | ||||||
SeaWorld Parks & Entertainment, Inc., Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 8/25/28 | 775 | 768,461 | ||||||
Steinway Musical Instruments, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 2/14/25 | 198 | 197,002 | ||||||
Travel Leaders Group, LLC, Term Loan, 4.085%, (1 mo. USD LIBOR + 4.00%), 1/25/24 | 1,712 | 1,596,763 | ||||||
UFC Holdings, LLC, Term Loan, 3.50%, (6 mo. USD LIBOR + 2.75%, Floor 0.75%), 4/29/26 | 1,200 | 1,194,215 | ||||||
Vue International Bidco PLC, Term Loan, 4.75%, (6 mo. EURIBOR + 4.75%), 7/3/26 | EUR | 678 | 744,307 | |||||
|
| |||||||
$ | 16,287,333 | |||||||
|
| |||||||
Lodging and Casinos — 1.4% | ||||||||
Boyd Gaming Corporation, Term Loan, 2.332%, (1 week USD LIBOR + 2.25%), 9/15/23 | 670 | $ | 669,274 | |||||
Great Canadian Gaming Corporation, Term Loan, 11/1/26(9) | 1,525 | 1,529,003 | ||||||
Oravel Stays Singapore Pte. Ltd., Term Loan, 9.00%, (3 mo. USD LIBOR + 8.25%, Floor 0.75%), 6/23/26 | 650 | 673,562 | ||||||
Playa Resorts Holding B.V., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 4/29/24 | 1,126 | 1,086,234 | ||||||
Sportradar Capital S.a.r.l., Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), 11/22/27 | EUR | 550 | 652,254 | |||||
Twin River Worldwide Holdings, Inc., Term Loan, 8/6/28(9) | 1,000 | 999,167 | ||||||
|
| |||||||
$ | 5,609,494 | |||||||
|
|
16
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Nonferrous Metals/Minerals — 0.2% | ||||||||
Oxbow Carbon, LLC, Term Loan, 5.00%, (1 mo. USD LIBOR + 4.25%, Floor 0.75%), 10/13/25 | 746 | $ | 748,735 | |||||
|
| |||||||
$ | 748,735 | |||||||
|
| |||||||
Oil and Gas — 4.3% | ||||||||
Apergy Corporation, Term Loan, 2.625%, (1 mo. USD LIBOR + 2.50%), 5/9/25 | 127 | $ | 126,190 | |||||
Centurion Pipeline Company, LLC: | ||||||||
Term Loan, 3.335%, (1 mo. USD LIBOR + 3.25%), 9/29/25 | 268 | 264,522 | ||||||
Term Loan, 4.085%, (1 mo. USD LIBOR + 4.00%), 9/28/25 | 249 | 244,086 | ||||||
CITGO Holding, Inc., Term Loan, 8.00%, (6 mo. USD LIBOR + 7.00%, Floor 1.00%), 8/1/23 | 2,077 | 2,057,330 | ||||||
CITGO Petroleum Corporation, Term Loan, 7.25%, (6 mo. USD LIBOR + 6.25%, Floor 1.00%), 3/28/24 | 4,125 | 4,124,510 | ||||||
CQP Holdco L.P., Term Loan, 6/5/28(9) | 975 | 968,398 | ||||||
Delek US Holdings, Inc., Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), 3/31/25 | 593 | 596,018 | ||||||
Matador Bidco S.a.r.l., Term Loan, 4.835%, (1 mo. USD LIBOR + 4.75%), 10/15/26 | 4,054 | 4,061,920 | ||||||
Prairie ECI Acquiror L.P., Term Loan, 4.835%, (1 mo. USD LIBOR + 4.75%), 3/11/26 | 546 | 528,474 | ||||||
PSC Industrial Holdings Corp., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/11/24 | 1,856 | 1,856,967 | ||||||
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 8/27/26(9) | 783 | 782,903 | ||||||
UGI Energy Services, LLC, Term Loan, 8/13/26(9) | 2,000 | 2,006,250 | ||||||
|
| |||||||
$ | 17,617,568 | |||||||
|
| |||||||
Publishing — 1.7% | ||||||||
Adevinta ASA: | ||||||||
Term Loan, 3.25%, (2 mo. EURIBOR + 3.25%), 6/26/28 | EUR | 1,250 | $ | 1,476,745 | ||||
Term Loan, 3.75%, (2 mo. USD LIBOR + 3.00%, Floor 0.75%), 6/26/28 | 325 | 325,101 | ||||||
Alchemy Copyrights, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 3/10/28 | 521 | 521,720 | ||||||
Ascend Learning, LLC: | ||||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 7/12/24 | 2,679 | 2,680,633 | ||||||
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 7/12/24 | 422 | 422,973 | ||||||
Getty Images, Inc., Term Loan, 4.625%, (1 mo. USD LIBOR + 4.50%), 2/19/26 | 1,712 | 1,712,565 | ||||||
|
| |||||||
$ | 7,139,737 | |||||||
|
| |||||||
Radio and Television — 1.3% | ||||||||
Gray Television, Inc.: | ||||||||
Term Loan, 2.346%, (1 mo. USD LIBOR + 2.25%), 2/7/24 | 255 | $ | 254,494 | |||||
Term Loan, 2.596%, (1 mo. USD LIBOR + 2.50%), 1/2/26 | 637 | 634,046 | ||||||
Hubbard Radio, LLC, Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%, Floor 1.00%), 3/28/25 | 728 | 727,725 | ||||||
Nexstar Broadcasting, Inc., Term Loan, 2.596%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 453 | 451,384 | ||||||
Sinclair Television Group, Inc.: | ||||||||
Term Loan, 2.59%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 663 | 650,919 | ||||||
Term Loan, 3.09%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 452 | 448,974 | ||||||
Univision Communications, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 3/15/26 | 2,200 | 2,197,593 | ||||||
|
| |||||||
$ | 5,365,135 | |||||||
|
|
17
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Retailers (Except Food and Drug) — 3.0% | ||||||||
CNT Holdings I Corp., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 11/8/27 | 773 | $ | 773,606 | |||||
Great Outdoors Group, LLC, Term Loan, 5.00%, (6 mo. USD LIBOR + 4.25%, Floor 0.75%), 3/6/28 | 2,935 | 2,947,305 | ||||||
Harbor Freight Tools USA, Inc., Term Loan, 10/19/27(9) | 2,750 | 2,742,968 | ||||||
Hoya Midco, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 6/30/24 | 2,042 | 2,035,938 | ||||||
PetSmart, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/12/28 | 3,275 | 3,283,479 | ||||||
Phillips Feed Service, Inc., Term Loan, 7.125%, (3 mo. USD LIBOR + 7.00%), 11/13/24(5) | 114 | 91,213 | ||||||
Pier 1 Imports (U.S.), Inc., Term Loan, 0.00%, 4/30/22(5)(12) | 44 | 34,849 | ||||||
Protective Industrial Products, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 1/20/28 | 599 | 597,752 | ||||||
|
| |||||||
$ | 12,507,110 | |||||||
|
| |||||||
Steel — 0.6% | ||||||||
Neenah Foundry Company, Term Loan, 10.00%, (1 mo. USD LIBOR + 9.00%, Floor 1.00%), 12/13/22 | 303 | $ | 280,014 | |||||
Phoenix Services International, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/1/25 | 871 | 868,573 | ||||||
TMS International Corp., Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), 8/14/24(10) | 274 | 273,283 | ||||||
Zekelman Industries, Inc., Term Loan, 2.088%, (1 mo. USD LIBOR + 2.00%), 1/24/27 | 1,044 | 1,030,863 | ||||||
|
| |||||||
$ | 2,452,733 | |||||||
|
| |||||||
Surface Transport — 1.2% | ||||||||
Kenan Advantage Group, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/24/26 | 2,637 | $ | 2,637,739 | |||||
PODS, LLC, Term Loan, 3/31/28(9) | 2,500 | 2,494,097 | ||||||
|
| |||||||
$ | 5,131,836 | |||||||
|
| |||||||
Telecommunications — 3.0% | ||||||||
Avaya, Inc., Term Loan, 4.096%, (1 mo. USD LIBOR + 4.00%), 12/15/27 | 225 | $ | 225,342 | |||||
Digicel International Finance Limited, Term Loan, 3.43%, (6 mo. USD LIBOR + 3.25%), 5/28/24 | 1,757 | 1,696,561 | ||||||
GEE Holdings 2, LLC: | ||||||||
Term Loan, 9.00%, (3 mo. USD LIBOR + 8.00%, Floor 1.00%), 3/24/25 | 408 | 409,058 | ||||||
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), 2.50% cash, 6.75% PIK, 3/23/26 | 800 | 731,603 | ||||||
Intelsat Jackson Holdings S.A.: | ||||||||
DIP Loan, 6.50%, (3 mo. USD LIBOR + 5.50%, Floor 1.00%), 7/13/22 | 1,037 | 1,046,962 | ||||||
Term Loan, 8.00%, (USD Prime + 4.75%), 11/27/23 | 1,900 | 1,934,042 | ||||||
Term Loan, 8.75%, (USD Prime + 5.50%), 1/2/24 | 1,600 | 1,635,200 | ||||||
IPC Corp., Term Loan, 6.75%, (USD Prime + 3.50%), 8/6/21 | 1,230 | 1,219,526 | ||||||
Mavenir Systems, Inc., Term Loan, 5.25%, (3 mo. USD LIBOR + 4.75%, Floor 0.50%), 8/13/28 | 325 | 325,406 | ||||||
Onvoy, LLC, Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 2/10/24 | 1,642 | 1,641,940 | ||||||
Syniverse Holdings, Inc., Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 3/9/23 | 1,016 | 1,016,161 | ||||||
Zayo Group Holdings, Inc., Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 444 | 521,183 | |||||
|
| |||||||
$ | 12,402,984 | |||||||
|
|
18
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||
Utilities — 0.8% | ||||||||
Calpine Construction Finance Company L.P., Term Loan, 2.085%, (1 mo. USD LIBOR + 2.00%), 1/15/25 | 934 | $ | 919,856 | |||||
USIC Holdings, Inc., Term Loan, 5/12/28(9) | 2,400 | 2,394,300 | ||||||
|
| |||||||
$ | 3,314,156 | |||||||
|
| |||||||
Total Senior Floating-Rate Loans | $ | 547,015,555 | ||||||
|
| |||||||
Warrants — 0.3% | ||||||||
Security | Shares | Value | ||||||
Entertainment — 0.0%(13) | ||||||||
Cineworld Group PLC, Exp. 11/23/25(3)(4) | 154,246 | $ | 52,613 | |||||
|
| |||||||
$ | 52,613 | |||||||
|
| |||||||
Health Care — 0.0%(13) | ||||||||
THAIHOT Investment Company US Limited, Exp. 10/13/27(3)(4)(5) | 24 | $ | 24,192 | |||||
THAIHOT Investment Company US Limited, Exp. 10/13/27 (Contingent Warrants)(3)(4)(5) | 1,310 | 0 | ||||||
|
| |||||||
$ | 24,192 | |||||||
|
| |||||||
Oil and Gas — 0.3% | ||||||||
QuarterNorth Energy, Inc., Exp. 8/27/28(3)(4) | 8,300 | $ | 975,250 | |||||
|
| |||||||
$ | 975,250 | |||||||
|
| |||||||
Total Warrants | $ | 1,052,055 | ||||||
|
| |||||||
Short-Term Investments — 3.0% | ||||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.07%(14) | 12,478,373 | $ | 12,478,373 | |||||
|
| |||||||
Total Short-Term Investments | $ | 12,478,373 | ||||||
|
| |||||||
Total Investments — 148.2% | $ | 613,785,525 | ||||||
|
| |||||||
Less Unfunded Loan Commitments — (0.3)% | $ | (1,366,566 | ) | |||||
|
| |||||||
Net Investments — 147.9% | $ | 612,418,959 | ||||||
|
| |||||||
Notes Payable — (4.8)% | $ | (20,000,000 | ) | |||||
|
|
19
Description | Value | |||||||
Variable Rate Term Preferred Shares, at Liquidation Value | $ | (79,922,175 | ) | |||||
|
| |||||||
Other Assets, Less Liabilities — (23.8)% | $ | (98,325,908 | ) | |||||
|
| |||||||
Net Assets Applicable to Common Shares — 100.0% | $ | 414,170,876 | ||||||
|
|
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 August 31, 2021, the aggregate value of these securities is $38,326,026 or 9.3% of the Trust’s net assets applicable to common shares. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at August 31, 2021. |
(3) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(4) | Non-income producing security. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(6) | Restricted security. |
(7) | 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 a minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(8) | Unfunded or partially unfunded loan commitments. The Trust may enter into certain loan agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the 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 August 31, 2021, the total value of unfunded loan commitments is $1,353,098. |
(9) | This Senior Loan will settle after August 31, 2021, at which time the interest rate will be determined. |
(10) | The stated interest rate represents the weighted average interest rate at August 31, 2021 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. |
(11) | Fixed-rate loan. |
(12) | 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. |
(13) | Amount is less than 0.05%. |
(14) | 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 August 31, 2021. |
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Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 1,199,351 | USD | 1,406,380 | JPMorgan Chase Bank, N.A. | 9/2/21 | $ | 9,754 | $ | — | |||||||||||||||
USD | 23,571,361 | EUR | 19,866,910 | Standard Chartered Bank | 9/2/21 | 113,498 | — | |||||||||||||||||
USD | 22,049,680 | EUR | 18,667,559 | Standard Chartered Bank | 10/4/21 | — | (6,049 | ) | ||||||||||||||||
USD | 1,434,221 | EUR | 1,217,582 | State Street Bank and Trust Company | 10/29/21 | — | (5,035 | ) | ||||||||||||||||
USD | 1,704,828 | GBP | 1,225,591 | State Street Bank and Trust Company | 10/29/21 | 19,624 | — | |||||||||||||||||
USD | 12,694,361 | EUR | 10,737,457 | HSBC Bank USA, N.A. | 11/30/21 | — | (5,844 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 142,876 | $ | (16,928 | ) | ||||||||||||||||||||
|
|
|
|
Abbreviations:
DIP | - | Debtor In Possession | ||
EURIBOR | - | Euro Interbank Offered Rate | ||
LIBOR | - | London Interbank Offered Rate | ||
PIK | - | Payment In Kind | ||
Currency Abbreviations: | ||||
EUR | - | Euro | ||
GBP | - | British Pound Sterling | ||
USD | - | United States Dollar |
The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objectives. Because the Trust holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Trust enters into forward foreign currency exchange contracts.
At August 31, 2021, the Trust had sufficient cash and/or securities to cover commitments under open derivative contracts.
At August 31, 2021, the value of the Trust’s investment in affiliated funds was $12,478,373, which represents 3.0% of the Trust’s net assets applicable to common shares. Transactions in affiliated funds by the Trust for the fiscal year to date ended August 31, 2021 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 | $ | 6,274,548 | $ | 271,244,934 | $ | (265,041,341 | ) | $ | 232 | $ | — | $ | 12,478,373 | $ | 6,323 | 12,478,373 |
Restricted Securities
At August 31, 2021, the Trust owned the following securities which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date of Acquisition | Shares | Cost | Value | ||||||||||||
Common Stocks | ||||||||||||||||
Nine Point Energy Holdings, Inc. | 7/15/14, 10/21/14 | 758 | $ | 34,724 | $ | 0 | ||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Nine Point Energy Holdings, Inc., Series A, 12.00% | 5/26/17 | 14 | 14,000 | 0 | ||||||||||||
|
|
|
| |||||||||||||
Total Restricted Securities | $ | 48,724 | $ | 0 | ||||||||||||
|
|
|
|
21
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.
At August 31, 2021, the hierarchy of inputs used in valuing the Trust’s investments and open derivatives, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Asset-Backed Securities | $ | — | $ | 31,163,355 | $ | — | $ | 31,163,355 | ||||||||
Closed-End Funds | 8,691,169 | — | — | 8,691,169 | ||||||||||||
Common Stocks | 1,642,419 | 1,556,992 | 2,403,117 | 5,602,528 | ||||||||||||
Convertible Preferred Stocks | — | — | 0 | 0 | ||||||||||||
Corporate Bonds | — | 7,782,490 | — | 7,782,490 | ||||||||||||
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 545,180,099 | 468,890 | 545,648,989 | ||||||||||||
Warrants | — | 1,027,863 | 24,192 | 1,052,055 | ||||||||||||
Short-Term Investments | — | 12,478,373 | — | 12,478,373 | ||||||||||||
Total Investments | $ | 10,333,588 | $ | 599,189,172 | $ | 2,896,199 | $ | 612,418,959 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 142,876 | $ | — | $ | 142,876 | ||||||||
Total | $ | 10,333,588 | $ | 599,332,048 | $ | 2,896,199 | $ | 612,561,835 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (16,928 | ) | $ | — | $ | (16,928 | ) | ||||||
Total | $ | — | $ | (16,928 | ) | $ | — | $ | (16,928 | ) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust. |
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 August 31, 2021 is not presented.
For information on the Trust’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements included in its semiannual or annual report to shareholders.
22