UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22705
SSGA MASTER TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Joshua A. Weinberg, Esq.
Managing Director and Managing Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-7037
Date of fiscal year end: June 30
Date of reporting period: June 30, 2018
Item 1. Reports to Shareholders.
1 | |
3 | |
32 | |
35 | |
36 | |
43 | |
45 |
Description | % of Net Assets | ||
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B 4.84% 1/31/2025 | 1.9% | ||
Asurion LLC Senior Secured 2017 2nd Lien Term Loan 8.09% 8/4/2025 | 1.8 | ||
Univision Communications, Inc. Senior Secured Term Loan C5 4.84% 3/15/2024 | 1.5 | ||
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B 4.98% 6/1/2025 | 1.2 | ||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan 4.59% 2/1/2024 | 1.2 | ||
TOTAL | 7.6% |
% of Net Assets | |||
Software | 12.5% | ||
Commercial Services & Supplies | 8.8 | ||
Media | 8.1 | ||
Health Care Providers & Services | 7.1 | ||
Hotels, Restaurants & Leisure | 5.5 | ||
Pharmaceuticals | 4.7 | ||
Insurance | 4.0 | ||
Diversified Telecommunication Services | 3.5 | ||
Specialty Retail | 3.1 | ||
Diversified Financial Services | 2.9 | ||
Food & Staples Retailing | 2.7 | ||
Internet Software & Services | 2.4 | ||
Aerospace & Defense | 2.3 | ||
Chemicals | 2.0 | ||
Professional Services | 1.7 | ||
Trading Companies & Distributors | 1.6 | ||
IT Services | 1.6 | ||
Containers & Packaging | 1.3 | ||
Communications Equipment | 1.3 | ||
Health Care Equipment & Supplies | 1.3 | ||
Machinery | 1.1 | ||
Distributors | 1.1 | ||
Life Sciences Tools & Services | 1.0 | ||
Oil, Gas & Consumable Fuels | 1.0 | ||
Construction & Engineering | 1.0 | ||
Diversified Consumer Services | 0.9 |
% of Net Assets | |||
Food Products | 0.8% | ||
Auto Components | 0.8 | ||
Semiconductors & Semiconductor Equipment | 0.8 | ||
Electronic Equipment, Instruments & Components | 0.7 | ||
Semiconductor Equipment | 0.7 | ||
Capital Markets | 0.6 | ||
Building Products | 0.6 | ||
Internet & Catalog Retail | 0.6 | ||
Electric Utilities | 0.6 | ||
Multiline Retail | 0.5 | ||
Telecom Services | 0.5 | ||
Independent Power Producers & Energy Traders | 0.5 | ||
Health Care Technology | 0.5 | ||
Real Estate Investment Trusts (REITs) | 0.5 | ||
Casino Hotels | 0.5 | ||
Retail-Restaurants | 0.5 | ||
Metals & Mining | 0.4 | ||
Paper&Related Products | 0.4 | ||
Pollution Control | 0.3 | ||
Real Estate Management & Development | 0.3 | ||
Airlines | 0.3 | ||
Leisure Equipment & Products | 0.2 | ||
Recycling | 0.2 | ||
Automobiles | 0.2 | ||
Computers & Peripherals | 0.2 | ||
Road & Rail | 0.2 | ||
Electrical Equipment | 0.1 | ||
Personal Products | 0.1 | ||
Construction Materials | 0.1 | ||
Thrifts & Mortgage Finance | 0.1 | ||
Transportation Infrastructure | 0.1 | ||
Energy Equipment & Services | 0.1 | ||
Apparel Manufacturers | 0.1 | ||
Oil-Field Services | 0.0 * | ||
Short-Term Investment | 6.1 | ||
Liabilities in Excess of Other Assets | (3.7) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 94.0% (a) | |||||
AEROSPACE & DEFENSE — 2.1% | |||||
DAE Aviation Holdings, Inc. Senior Secured 1st Lien Term Loan 5.84%, 7/7/2022 | $ 8,560,739 | $ 8,584,838 | |||
Engility Corp. Senior Secured Term Loan B2 4.84%, 8/12/2023 | 5,614,608 | 5,614,159 | |||
MacDonald Dettwiler & Associates, Ltd. Senior Secured Term Loan B 4.85%, 10/4/2024 | 16,182,621 | 16,142,164 | |||
TransDigm, Inc.: | |||||
Senior Secured 2018 Term Loan E 4.59%, 5/30/2025 | 23,337,238 | 23,189,630 | |||
Senior Secured 2018 Term Loan F 4.59%, 6/9/2023 | 11,775,666 | 11,721,204 | |||
Senior Secured 2018 Term Loan G 4.59%, 8/22/2024 | 2,919,135 | 2,902,116 | |||
68,154,111 | |||||
AIRLINES — 0.3% | |||||
American Airlines, Inc. Senior Secured 2018 Term Loan B 3.85%, 6/27/2025 | 9,000,000 | 8,850,915 | |||
United Airlines, Inc. Senior Secured 2018 Term Loan B 3.84%, 4/1/2024 | 791,858 | 784,929 | |||
9,635,844 | |||||
APPAREL MANUFACTURERS — 0.1% | |||||
Samsonite IP Holdings S.A.R.L. Senior Secured 2018 Term Loan B 3.84%, 4/18/2025 | 1,803,279 | 1,787,500 | |||
AUTO COMPONENTS — 0.8% | |||||
USI, Inc. Senior Secured 2017 Repriced Term Loan 5.33%, 5/16/2024 | 25,063,212 | 24,947,295 | |||
AUTOMOBILES — 0.2% | |||||
American Axle & Manufacturing, Inc. Senior Secured Term Loan B 4.35%, 4/6/2024 | 4,355,442 | 4,344,554 |
Security Description | Principal Amount | Value | |||
TI Group Automotive Systems LLC Senior Secured 2015 USD Term Loan 4.59%, 6/30/2022 | $ 1,671,755 | $ 1,674,889 | |||
6,019,443 | |||||
BUILDING PRODUCTS — 0.6% | |||||
AZEK Co. LLC Senior Secured 2017 Term Loan Zero Coupon, 5/3/2024 | 1,994,949 | 1,997,443 | |||
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B 5.33%, 2/29/2024 | 4,924,623 | 4,930,779 | |||
SRS Distribution, Inc. Senior Secured 2018 1st Lien Term Loan 5.58%, 5/23/2025 | 12,727,273 | 12,557,618 | |||
19,485,840 | |||||
CAPITAL MARKETS — 0.6% | |||||
Duff & Phelps Corp. Senior Secured 2017 Term Loan B 5.58%, 2/13/2025 | 15,340,341 | 15,298,769 | |||
LPL Holdings, Inc. Senior Secured 2017 1st Lien Term Loan B 4.64%, 9/23/2024 | 4,631,667 | 4,612,862 | |||
19,911,631 | |||||
CASINO HOTELS — 0.5% | |||||
Crown Finance US, Inc. Senior Secured 2018 USD Term Loan 4.59%, 2/28/2025 | 15,002,453 | 14,915,439 | |||
CHEMICALS — 1.8% | |||||
Alpha 3 B.V. Senior Secured 2017 Term Loan B1 5.33%, 1/31/2024 | 4,368,182 | 4,355,448 | |||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan 6.09%, 11/21/2024 | 22,038,307 | 22,176,047 | |||
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B Zero Coupon, 6/26/2025 | 15,000,000 | 14,962,500 | |||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B 5.50%, 2/12/2025 | 12,987,013 | 12,938,377 |
Security Description | Principal Amount | Value | |||
PQ Corp. Senior Secured 2018 Term Loan B 4.59%, 2/8/2025 | $ 2,729,143 | $ 2,721,979 | |||
57,154,351 | |||||
COMMERCIAL SERVICES & SUPPLIES — 8.8% | |||||
Advanced Disposal Services, Inc. Senior Secured Term Loan B3 4.23%, 11/10/2023 | 4,415,231 | 4,411,917 | |||
Allied Universal Holdco LLC Senior Secured 2015 Term Loan 5.84%, 7/28/2022 | 28,101,258 | 27,735,380 | |||
Ancestry.com Operations Inc. Senior Secured 2017 1st Lien Term Loan 5.35%, 10/19/2023 | 8,622,091 | 8,626,402 | |||
Asurion LLC: | |||||
Senior Secured 2017 2nd Lien Term Loan 8.09%, 8/4/2025 | 55,082,344 | 55,977,433 | |||
Senior Secured 2017 Term Loan B4 4.84%, 8/4/2022 | 5,007,441 | 5,006,089 | |||
Senior Secured 2018 Term Loan B6 4.84%, 11/3/2023 | 13,687,846 | 13,685,382 | |||
Senior Secured 2018 Term Loan B7 Zero Coupon, 11/3/2023 | 22,835,395 | 22,778,306 | |||
Belron S.A. Senior Secured USD Term Loan B 4.86%, 11/7/2024 | 4,425,032 | 4,425,032 | |||
Equian LLC Senior Secured Add on Term Loan B 5.33%, 5/20/2024 | 4,403,988 | 4,396,633 | |||
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B 5.08%, 5/30/2025 | 8,613,539 | 8,570,472 | |||
IBC Capital, Ltd.: | |||||
Senior Secured 2018 1st Lien Term Loan 6.08%, 9/11/2023 | 7,980,000 | 7,996,638 | |||
Senior Secured 2018 2nd Lien Term Loan 9.33%, 9/11/2024 | 7,252,747 | 7,289,011 | |||
KAR Auction Services, Inc.: | |||||
Senior Secured Term Loan B4 4.38%, 3/11/2021 | 1,818,727 | 1,825,929 | |||
Senior Secured Term Loan B5 4.63%, 3/9/2023 | 1,490,494 | 1,486,306 |
Security Description | Principal Amount | Value | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan 5.61%, 3/13/2025 | $ 10,087,079 | $ 10,046,125 | |||
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan 5.09%, 2/16/2025 | 16,797,280 | 16,720,264 | |||
Packers Holdings LLC Senior Secured 2017 Term Loan B 5.27%, 12/4/2024 | 7,871,835 | 7,842,316 | |||
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan 4.84%, 5/2/2022 | 27,720,969 | 27,621,728 | |||
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan 5.10%, 1/29/2025 | 2,914,773 | 2,912,951 | |||
Southern Graphics, Inc. Senior Secured 2018 Term Loan B 5.34%, 12/31/2022 | 18,812,754 | 18,798,080 | |||
TruGreen, Ltd. Partnership Senior Secured 2017 Term Loan 6.05%, 4/13/2023 (b) | 730,675 | 739,808 | |||
Vantiv LLC Senior Secured 2018 1st Lien Term Loan B4 3.79%, 8/9/2024 | 21,388,103 | 21,334,633 | |||
280,226,835 | |||||
COMMUNICATIONS EQUIPMENT — 1.3% | |||||
Arris Group, Inc. Senior Secured 2017 Repriced Term Loan 4.34%, 4/26/2024 | 1,955,446 | 1,961,557 | |||
Avaya, Inc. Senior Secured 2018 Term Loan B 6.32%, 12/15/2024 | 9,597,731 | 9,623,981 | |||
Digicel International Finance, Ltd. Senior Secured 2017 Term Loan B 5.61%, 5/28/2024 | 12,440,380 | 11,942,765 | |||
Plantronics, Inc. Senior Secured 2018 Term Loan B Zero Coupon, 5/30/2025 | 8,411,765 | 8,407,853 | |||
Riverbed Technology, Inc. Senior Secured 2016 Term Loan 5.35%, 4/24/2022 | 8,929,257 | 8,836,795 | |||
40,772,951 |
Security Description | Principal Amount | Value | |||
COMPUTERS & PERIPHERALS — 0.2% | |||||
TierPoint LLC Senior Secured 2017 1st Lien Term Loan 5.84%, 5/6/2024 | $ 5,218,303 | $ 5,091,133 | |||
CONSTRUCTION & ENGINEERING — 1.0% | |||||
CNT Holdings III Corp. Senior Secured 2017 Term Loan 5.35%, 1/22/2023 (b) | 4,962,217 | 4,869,175 | |||
Hamilton Holdco LLC Senior Secured 2018 Term Loan B Zero Coupon, 5/30/2025 | 6,106,870 | 6,091,603 | |||
MX Holdings US, Inc. Senior Secured 2018 USD Term Loan B Zero Coupon, 6/14/2025 | 2,009,918 | 2,013,696 | |||
Pike Corp. Senior Secured 2018 Term Loan B 5.60%, 3/23/2025 | 11,165,644 | 11,215,666 | |||
Summit Materials Cos. I LLC Senior Secured 2017 Term Loan B 4.09%, 11/21/2024 | 7,580,952 | 7,564,388 | |||
31,754,528 | |||||
CONSTRUCTION MATERIALS — 0.1% | |||||
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan 6.34%, 9/27/2024 | 3,431,373 | 3,435,353 | |||
CONTAINERS & PACKAGING — 1.3% | |||||
Berlin Packaging LLC Senior Secured 2018 Term Loan B 5.10%, 11/7/2025 | 9,642,857 | 9,602,502 | |||
Plastipak Holdings, Inc. Senior Secured 2018 Term Loan B 4.60%, 10/14/2024 | 2,787,921 | 2,777,467 | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan 4.84%, 2/5/2023 | 21,304,058 | 21,286,269 | |||
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1 5.34%, 10/17/2024 | 7,690,867 | 7,662,064 | |||
41,328,302 |
Security Description | Principal Amount | Value | |||
DISTRIBUTORS — 0.9% | |||||
American Tire Distributors Holdings, Inc. Senior Secured 2015 Term Loan 6.34%, 9/1/2021 | $ 4,971,176 | $ 3,259,227 | |||
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B 6.08%, 5/2/2023 | 24,810,127 | 24,810,127 | |||
28,069,354 | |||||
DIVERSIFIED CONSUMER SERVICES — 0.9% | |||||
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B 7.06%, 11/29/2024 | 27,300,000 | 27,666,912 | |||
DIVERSIFIED FINANCIAL SERVICES — 2.9% | |||||
AlixPartners LLP Senior Secured 2017 Term Loan B 4.84%, 4/4/2024 | 10,797,100 | 10,802,499 | |||
AqGen Ascensus, Inc. Senior Secured 2018 Incremental Term Loan 5.59%, 12/5/2022 | 2,770,833 | 2,774,297 | |||
Edelman Financial Center LLC Senior Secured 2018 2nd Lien Term Loan Zero Coupon, 6/8/2026 | 5,769,231 | 5,826,029 | |||
Edelman Financial Group Senior Secured 2018 Term Loan B Zero Coupon, 6/8/2027 | 22,012,578 | 22,012,689 | |||
Focus Financial Partners LLC Senior Secured 2018 1st Lien Term Loan 4.84%, 7/3/2024 | 11,084,931 | 11,108,043 | |||
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan 5.59%, 5/18/2025 | 2,229,730 | 2,228,804 | |||
Infinity Acquisition LLC Senior Secured New Term Loan B 5.09%, 8/6/2021 | 5,723,003 | 5,730,157 | |||
UFC Holdings LLC Senior Secured 1st Lien Term Loan 5.35%, 8/18/2023 | 5,478,490 | 5,489,447 | |||
Victory Capital Management, Inc. Senior Secured 2018 Term Loan B 5.08%, 2/12/2025 | 3,144,654 | 3,144,654 |
Security Description | Principal Amount | Value | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan 4.93%, 5/18/2025 | $ 24,411,021 | $ 24,250,884 | |||
93,367,503 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.5% | |||||
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B 4.84%, 1/31/2025 | 61,234,529 | 60,073,522 | |||
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B 5.10%, 10/4/2023 | 14,101,462 | 13,920,822 | |||
Hargray Communications Group, Inc. Senior Secured 2017 Term Loan B 5.09%, 5/16/2024 | 6,930,000 | 6,921,337 | |||
TDC A/S Senior Secured USD Term Loan Zero Coupon, 5/31/2025 | 18,604,651 | 18,598,884 | |||
Telesat Canada Senior Secured Term Loan B4 4.84%, 11/17/2023 | 10,996,781 | 10,934,924 | |||
Zayo Group LLC Senior Secured 2017 Incremental Term Loan 4.34%, 1/19/2024 | 740,131 | 740,746 | |||
111,190,235 | |||||
ELECTRIC UTILITIES — 0.6% | |||||
TEX Operations Co. LLC Senior Secured Exit Term Loan B 4.09%, 8/4/2023 | 18,385,580 | 18,280,782 | |||
ELECTRICAL EQUIPMENT — 0.1% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan 5.83%, 12/2/2024 | 2,315,360 | 2,322,607 | |||
Generac Power Systems, Inc. Senior Secured 2018 1st Lien Term Loan 4.06%, 5/31/2023 | 2,222,222 | 2,203,700 | |||
4,526,307 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.6% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan 5.59%, 7/26/2024 | 9,656,541 | 9,702,796 |
Security Description | Principal Amount | Value | |||
Energizer Holdings, Inc. Senior Secured 2018 Term Loan B Zero Coupon, 6/30/2025 | $ 4,310,345 | $ 4,315,733 | |||
TTM Technologies, Inc. Senior Secured 2017 Term Loan 4.48%, 9/28/2024 | 6,105,988 | 6,094,570 | |||
20,113,099 | |||||
ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B 5.86%, 10/31/2024 | 2,285,714 | 2,284,640 | |||
FOOD & STAPLES RETAILING — 2.3% | |||||
Albertsons LLC: | |||||
Senior Secured 2018 ABL Last Out Term Loan Zero Coupon, 5/2/2023 | 10,434,783 | 10,434,835 | |||
Senior Secured USD 2017 Term Loan B5 5.34%, 12/21/2022 | 3,184,714 | 3,160,367 | |||
Senior Secured USD 2017 Term Loan B6 5.32%, 6/22/2023 | 24,570,067 | 24,341,442 | |||
Chobani LLC Senior Secured 2017 Term Loan B 5.59%, 10/10/2023 | 13,044,513 | 13,074,386 | |||
Genoa, a QoL Healthcare Co. LLC Senior Secured 2017 1st Lien Term Loan 5.34%, 10/28/2023 | 2,945,807 | 2,952,553 | |||
Mastronardi Produce, Ltd. Senior Secured Term Loan B 5.23%, 4/18/2025 | 2,373,418 | 2,385,285 | |||
Smart & Final Stores LLC Senior Secured 1st Lien Term Loan 5.59%, 11/15/2022 | 5,750,000 | 5,625,426 | |||
US Foods, Inc. Senior Secured 2016 Term Loan B 4.09%, 6/27/2023 | 10,125,052 | 10,125,609 | |||
72,099,903 | |||||
FOOD PRODUCTS — 0.8% | |||||
CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan 6.31%, 7/3/2020 | 4,973,227 | 4,839,597 | |||
Dole Food Co., Inc. Senior Secured 2017 Term Loan B 4.84%, 4/6/2024 | 4,743,956 | 4,728,301 |
Security Description | Principal Amount | Value | |||
Hostess Brands LLC Senior Secured 2017 Repriced Term Loan 4.34%, 8/3/2022 | $ 2,752,500 | $ 2,739,604 | |||
JBS USA LLC Senior Secured 2017 Term Loan B 4.83%, 10/30/2022 | 13,536,122 | 13,451,521 | |||
25,759,023 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.2% | |||||
DJO Finance LLC Senior Secured 2015 Term Loan 5.56%, 6/8/2020 | 8,664,194 | 8,642,577 | |||
LifeScan Global Corp. Senior Secured 2018 1st Lien Term Loan Zero Coupon, 5/23/2025 | 10,000,000 | 9,725,000 | |||
Onex Carestream Finance L.P.: | |||||
Senior Secured 1st Lien Term Loan 6.09%, 6/7/2019 | 4,323,128 | 4,330,196 | |||
Senior Secured 2nd Lien Term Loan 10.59%, 12/7/2019 | 16,900,077 | 16,921,202 | |||
39,618,975 | |||||
HEALTH CARE PROVIDERS & SERVICES — 6.4% | |||||
ADMI Corp. Senior Secured 2018 Term Loan B 5.34%, 4/30/2025 | 15,517,241 | 15,497,922 | |||
Air Medical Group Holdings, Inc.: | |||||
Senior Secured 2017 Term Loan B2 6.34%, 3/14/2025 | 33,895,828 | 33,493,315 | |||
Senior Secured 2018 Term Loan B1 5.28%, 4/28/2022 | 2,585,163 | 2,517,302 | |||
ATI Holdings Acquisition, Inc. Senior Secured 2016 Term Loan 5.55%, 5/10/2023 | 2,959,831 | 2,965,381 | |||
BioClinica, Inc. Senior Secured 1st Lien Term Loan 6.63%, 10/20/2023 (b) | 2,349,678 | 2,241,005 | |||
Certara L.P. Senior Secured 2018 Term Loan B 5.83%, 8/15/2024 (b) | 1,669,765 | 1,678,114 | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B 5.36%, 6/7/2023 | 10,168,465 | 10,195,462 |
Security Description | Principal Amount | Value | |||
Envision Healthcare Corp. Senior Secured 2016 Term Loan B 5.10%, 12/1/2023 | $ 13,691,617 | $ 13,697,367 | |||
Gem Acquisitions, Inc. Senior Secured 2018 1st Lien Term Loan 5.28%, 2/14/2025 | 4,879,076 | 4,846,557 | |||
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan 5.33%, 6/28/2024 | 4,342,105 | 4,343,929 | |||
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan 5.84%, 4/30/2025 | 11,469,265 | 11,419,087 | |||
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B 5.08%, 6/7/2023 | 14,994,160 | 14,932,084 | |||
National Mentor Holdings, Inc. Senior Secured Term Loan B 5.33%, 1/31/2021 | 2,643,669 | 2,646,564 | |||
NVA Holdings, Inc. Senior Secured Term Loan B3 4.84%, 2/2/2025 | 14,038,662 | 14,018,165 | |||
Ortho-Clinical Diagnostics, Inc. Senior Secured 2018 Term Loan B 5.34%, 6/30/2025 | 24,766,425 | 24,696,832 | |||
PharMerica Corp.: | |||||
Senior Secured 1st Lien Term Loan 5.55%, 12/6/2024 | 11,970,000 | 11,975,626 | |||
Senior Secured 2nd Lien Term Loan 9.80%, 12/7/2025 | 4,765,000 | 4,777,913 | |||
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan 5.33%, 5/15/2022 | 11,340,266 | 11,326,091 | |||
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B 5.35%, 9/2/2024 | 6,823,437 | 6,815,591 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan 4.84%, 2/6/2024 | 10,990,711 | 10,592,297 | |||
204,676,604 | |||||
HEALTH CARE TECHNOLOGY — 0.5% | |||||
Change Healthcare Holdings, Inc. Senior Secured 2017 Term Loan B 4.84%, 3/1/2024 | 12,837,500 | 12,809,386 |
Security Description | Principal Amount | Value | |||
Press Ganey Holdings, Inc. Senior Secured 2018 1st Lien Term Loan 4.84%, 10/23/2023 | $ 2,529,565 | $ 2,529,173 | |||
15,338,559 | |||||
HOTELS, RESTAURANTS & LEISURE — 5.5% | |||||
1011778 BC ULC Senior Secured Term Loan B3 4.34%, 2/16/2024 | 5,399,443 | 5,383,407 | |||
Alterra Mountain Co. Senior Secured 2018 Add On Term Loan Zero Coupon, 7/31/2024 | 714,286 | 715,625 | |||
Big Jack Holdings LP Senior Secured 2018 Term Loan B 5.60%, 4/5/2024 | 6,812,524 | 6,812,524 | |||
Boyd Gaming Corp. Senior Secured Term Loan B3 4.49%, 9/15/2023 | 894,746 | 898,106 | |||
Caesars Resort Collection LLC Senior Secured Term Loan 4.09%, 10/6/2024 | 1,810,267 | 1,799,332 | |||
CEC Entertainment, Inc. Senior Secured Term Loan B 5.34%, 2/14/2021 | 7,517,372 | 7,020,925 | |||
Cyan Blue Holding co. 3, Ltd. Senior Secured 2017 USD Term Loan B 4.84%, 8/23/2024 | 15,494,140 | 15,497,316 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan 4.59%, 2/1/2024 | 38,346,487 | 37,909,146 | |||
Fogo de Chao Churrascaria Holdings LLC Senior Secured 2018 Term Loan 6.59%, 4/7/2025 | 10,807,692 | 10,834,711 | |||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B 4.84%, 10/4/2023 | 16,380,930 | 16,390,103 | |||
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1 5.09%, 7/31/2024 | 6,120,152 | 6,124,008 | |||
NPC International, Inc. Senior Secured 1st Lien Term Loan 5.59%, 4/19/2024 | 6,491,803 | 6,537,765 | |||
Penn National Gaming, Inc. Senior Secured 2017 Term Loan B 4.59%, 1/19/2024 | 1,235,000 | 1,240,403 |
Security Description | Principal Amount | Value | |||
Red Lobster Management LLC Senior Secured Term Loan B 7.34%, 7/28/2021 | $ 1,751,750 | $ 1,750,655 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5 4.92%, 8/14/2024 | 32,714,306 | 32,540,593 | |||
Travel Leaders Group LLC Senior Secured 2017 1st Lien Term Loan 7.00%, 1/25/2024 (b) | 4,385,579 | 4,418,471 | |||
Travelport Finance (Luxembourg) S.A.R.L. Senior Secured 2018 Term Loan B 4.83%, 3/17/2025 | 20,480,663 | 20,433,353 | |||
176,306,443 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.5% | |||||
Calpine Corp. Senior Secured Term Loan B5 4.84%, 1/15/2024 | 7,429,733 | 7,425,832 | |||
Vistra Energy Corp. Senior Secured 1st Lien Term Loan B3 4.06%, 12/31/2025 | 8,224,299 | 8,182,602 | |||
15,608,434 | |||||
INSURANCE — 3.9% | |||||
Acrisure LLC: | |||||
Senior Secured 2017 Term Loan B 6.61%, 11/22/2023 | 15,367,506 | 15,357,978 | |||
Senior Secured 2018 Term Loan B Zero Coupon, 11/22/2023 | 4,213,483 | 4,187,149 | |||
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B 5.05%, 5/9/2025 | 11,551,258 | 11,489,170 | |||
AmWINS Group, Inc. Senior Secured 2017 Term Loan B 4.84%, 1/25/2024 | 15,051,282 | 15,012,600 | |||
AssuredPartners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan 5.34%, 10/22/2024 | 16,488,638 | 16,437,194 | |||
Hub International, Ltd. Senior Secured 2018 Term Loan B 5.36%, 4/25/2025 | 33,321,429 | 33,158,487 | |||
NFP Corp. Senior Secured Term Loan B 5.09%, 1/8/2024 | 10,939,990 | 10,880,751 |
Security Description | Principal Amount | Value | |||
Sedgwick Claims Management Services, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan 4.84%, 3/1/2021 | $ 11,801,636 | $ 11,753,662 | |||
Senior Secured 2nd Lien Term Loan 7.84%, 2/28/2022 | 7,666,667 | 7,719,413 | |||
125,996,404 | |||||
INTERNET & CATALOG RETAIL — 0.6% | |||||
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B 4.59%, 8/18/2023 | 18,770,794 | 18,708,288 | |||
Spencer Gifts LLC Senior Secured Term Loan B1 6.31%, 7/16/2021 | 730,159 | 683,063 | |||
19,391,351 | |||||
INTERNET SOFTWARE & SERVICES — 2.3% | |||||
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan Zero Coupon, 6/27/2025 | 19,672,131 | 19,647,541 | |||
Go Daddy Operating Co. LLC Senior Secured 2017 Repriced Term Loan 4.34%, 2/15/2024 | 13,316,313 | 13,264,046 | |||
LANDesk Group, Inc. Senior Secured 2017 Term Loan B 6.35%, 1/20/2024 | 19,878,296 | 19,741,732 | |||
Rackspace Hosting, Inc. Senior Secured 2017 Incremental 1st Lien Term Loan 5.36%, 11/3/2023 | 10,320,568 | 10,206,578 | |||
SMS Systems Maintenance Services, Inc. Senior Secured 2016 1st Lien Term Loan 7.09%, 10/30/2023 | 1,955,038 | 1,577,070 | |||
TCH-2 Holding LLC Senior Secured 2018 Term Loan B 5.59%, 5/6/2021 | 10,561,406 | 10,676,948 | |||
75,113,915 | |||||
IT SERVICES — 1.6% | |||||
Access CIG LLC Senior Secured 2018 1st Lien Term Loan 5.84%, 2/27/2025 | 5,127,085 | 5,142,466 | |||
DigiCert, Inc. Senior Secured 2017 Term Loan B1 6.84%, 10/31/2024 | �� | 3,771,797 | 3,774,154 | ||
First Data Corp.: |
Security Description | Principal Amount | Value | |||
Senior Secured 2017 USD Term Loan 4.09%, 7/8/2022 | $ 2,535,273 | $ 2,527,351 | |||
Senior Secured 2024 USD Term Loan 4.09%, 4/26/2024 | 20,018,044 | 19,926,862 | |||
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B 5.05%, 2/2/2024 | 7,174,334 | 7,177,347 | |||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan 5.85%, 2/1/2023 | 11,946,386 | 11,938,919 | |||
50,487,099 | |||||
LIFE SCIENCES TOOLS & SERVICES — 1.0% | |||||
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan 5.34%, 8/30/2024 | 6,258,792 | 6,252,533 | |||
Jaguar Holding Co. II Senior Secured 2018 Term Loan 4.59%, 8/18/2022 | 8,874,711 | 8,842,008 | |||
Parexel International Corp. Senior Secured Term Loan B 4.84%, 9/27/2024 | 16,857,901 | 16,787,688 | |||
Syneos Health, Inc. Senior Secured 2018 Term Loan B 4.09%, 8/1/2024 | 1,758,489 | 1,752,167 | |||
33,634,396 | |||||
MACHINERY — 1.1% | |||||
Apex Tool Group LLC Senior Secured 2018 Term Loan B 5.84%, 2/1/2022 | 3,616,628 | 3,624,530 | |||
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan 5.58%, 7/19/2024 | 4,975,000 | 4,959,478 | |||
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan 5.59%, 8/5/2024 | 2,438,470 | 2,446,480 | |||
Pro Mach Group, Inc. Senior Secured 2018 Term Loan B 5.02%, 3/7/2025 | 10,109,797 | 9,997,326 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B 5.09%, 3/28/2025 | 14,785,638 | 14,586,106 | |||
35,613,920 |
Security Description | Principal Amount | Value | |||
MEDIA — 7.8% | |||||
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan 5.10%, 1/31/2026 | $ 12,469,588 | $ 12,257,605 | |||
CBS Radio, Inc. Senior Secured 2017 Term Loan B 4.84%, 11/17/2024 | 6,693,183 | 6,616,211 | |||
Cogeco Communications (USA) II L.P. Senior Secured 2017 1st Lien Term Loan 4.47%, 1/3/2025 | 2,972,973 | 2,959,119 | |||
CSC Holdings LLC: | |||||
Senior Secured 2017 1st Lien Term Loan 4.32%, 7/17/2025 | 8,828,717 | 8,783,647 | |||
Senior Secured 2018 Term Loan B 4.57%, 1/25/2026 | 11,666,667 | 11,647,183 | |||
Entravision Communications Corp. Senior Secured 2017 Term Loan B 4.84%, 11/29/2024 | 8,270,833 | 8,188,125 | |||
Gray Television, Inc. Senior Secured 2017 Term Loan B 4.25%, 2/7/2024 | 3,356,394 | 3,349,681 | |||
Lions Gate Entertainment Corp. Senior Secured 2018 Term Loan B 4.34%, 3/24/2025 | 2,100,000 | 2,096,503 | |||
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan 5.84%, 9/13/2024 | 21,862,717 | 21,885,564 | |||
Mission Broadcasting, Inc. Senior Secured 2017 Term Loan B2 4.48%, 1/17/2024 | 510,324 | 510,830 | |||
Nexstar Broadcasting, Inc. Senior Secured 2017 Term Loan B2 4.48%, 1/17/2024 | 3,929,521 | 3,933,411 | |||
Numericable Group SA Senior Secured USD Term Loan B12 5.35%, 1/31/2026 | 16,320,028 | 16,084,041 | |||
Red Ventures LLC Senior Secured 1st Lien Term Loan 6.09%, 11/8/2024 | 31,462,250 | 31,665,496 | |||
Sinclair Television Group, Inc. Senior Secured 2017 Term Loan B Zero Coupon, 12/12/2024 | 7,390,244 | 7,376,424 |
Security Description | Principal Amount | Value | |||
Unitymedia Finance LLC Senior Secured USD Term Loan D 4.32%, 1/15/2026 | $ 5,111,111 | $ 5,079,627 | |||
Univision Communications, Inc. Senior Secured Term Loan C5 4.84%, 3/15/2024 | 50,551,777 | 48,930,076 | |||
Virgin Media Bristol LLC Senior Secured Term Loan K 4.57%, 1/15/2026 | 21,590,909 | 21,462,767 | |||
WideOpenWest Finance LLC Senior Secured 2017 Term Loan B 5.34%, 8/18/2023 | 7,979,900 | 7,640,754 | |||
WMG Acquisition Corp. Senior Secured 2018 Term Loan F 4.22%, 11/1/2023 | 12,317,916 | 12,245,549 | |||
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E 4.57%, 4/15/2025 | 15,089,037 | 14,946,822 | |||
247,659,435 | |||||
METALS & MINING — 0.4% | |||||
Aleris International, Inc. Senior Secured 2018 Term Loan 6.86%, 2/8/2023 | 12,068,966 | 11,982,190 | |||
PLZ Aeroscience Corp. Senior Secured USD Term Loan 5.83%, 7/31/2022 | 1,271,559 | 1,277,917 | |||
13,260,107 | |||||
MULTILINE RETAIL — 0.5% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B Zero Coupon, 12/13/2023 | 15,000,000 | 14,948,475 | |||
Neiman Marcus Group, Ltd. LLC Senior Secured 2020 Term Loan 5.26%, 10/25/2020 | 1,873,958 | 1,665,480 | |||
16,613,955 | |||||
OIL, GAS & CONSUMABLE FUELS — 1.0% | |||||
BCP Raptor LLC Senior Secured Term Loan B 6.42%, 6/24/2024 | 1,813,600 | 1,777,328 | |||
EG Finco, Ltd. Senior Secured 2018 USD Term Loan 6.33%, 2/7/2025 | 24,615,294 | 24,439,910 |
Security Description | Principal Amount | Value | |||
Lucid Energy Group II LLC Senior Secured 2018 1st Lien Term Loan 5.09%, 2/17/2025 (b) | $ 6,960,788 | $ 6,934,685 | |||
33,151,923 | |||||
OIL-FIELD SERVICES — 0.0% (c) | |||||
MRC Global (US) Inc. Senior Secured 2018 1st Lien Term Loan B 5.09%, 9/20/2024 | 842,478 | 846,956 | |||
PAPER&RELATED PRODUCTS — 0.4% | |||||
Flex Acquisition Co., Inc. Senior Secured 2018 1st Lien Term Loan Zero Coupon, 6/29/2025 | 11,904,762 | 11,899,762 | |||
PERSONAL PRODUCTS — 0.1% | |||||
Zodiac Pool Solutions LLC Senior Secured 2018 Term Loan B Zero Coupon, 3/31/2025 | 4,098,361 | 4,093,238 | |||
PHARMACEUTICALS — 4.5% | |||||
Akorn, Inc. Senior Secured Term Loan B 6.38%, 4/16/2021 | 12,666,667 | 12,439,744 | |||
Alvogen Pharma US, Inc. Senior Secured 2018 Term Loan B Zero Coupon, 4/2/2022 | 7,142,857 | 7,169,679 | |||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B 5.63%, 5/4/2025 | 14,775,066 | 14,770,485 | |||
Arbor Pharmaceuticals, Inc. Senior Secured Term Loan B 7.49%, 7/5/2023 | 1,623,209 | 1,634,028 | |||
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B 6.38%, 4/29/2024 | 36,078,978 | 36,078,978 | |||
Horizon Pharma, Inc. Senior Secured 2017 1st Lien Term Loan 5.38%, 3/29/2024 | 14,270,507 | 14,264,585 | |||
Pearl Intermediate Parent LLC: | |||||
Senior Secured 2018 1st Lien Term Loan 4.84%, 2/14/2025 | 15,803,416 | 15,526,856 | |||
Senior Secured 2018 Delayed Draw Term Loan 2.13%, 2/14/2025 | 2,204,795 | 2,166,212 |
Security Description | Principal Amount | Value | |||
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B 4.98%, 6/1/2025 | $ 39,253,636 | $ 39,171,988 | |||
143,222,555 | |||||
POLLUTION CONTROL — 0.3% | |||||
Core & Main L.P. Senior Secured 2017 Term Loan B 5.21%, 8/1/2024 | 2,344,241 | 2,347,171 | |||
EnergySolutions LLC Senior Secured 2018 Term Loan B 6.08%, 5/9/2025 | 7,457,377 | 7,480,682 | |||
9,827,853 | |||||
PROFESSIONAL SERVICES — 1.7% | |||||
Advantage Sales & Marketing, Inc.: | |||||
Senior Secured 2014 1st Lien Term Loan 5.34%, 7/23/2021 | 19,889,062 | 18,857,416 | |||
Senior Secured 2014 2nd Lien Term Loan 8.59%, 7/25/2022 | 15,753,373 | 14,427,490 | |||
Senior Secured Incremental Term Loan B 5.34%, 7/25/2021 | 1,994,962 | 1,891,055 | |||
Information Resources, Inc. Senior Secured 1st Lien Term Loan 6.57%, 1/18/2024 | 18,377,792 | 18,406,553 | |||
53,582,514 | |||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.5% | |||||
Capital Automotive L.P. Senior Secured 2017 1st Lien Term Loan 4.60%, 3/24/2024 | 1,275,434 | 1,270,651 | |||
Communications Sales & Leasing, Inc. Senior Secured 2017 Term Loan B 5.09%, 10/24/2022 | 14,321,494 | 13,709,823 | |||
14,980,474 | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.3% | |||||
Bright Bidco B.V. Senior Secured 2018 Term Loan B 5.83%, 6/30/2024 | 1,501,450 | 1,492,066 | |||
DTZ U.S. Borrower LLC Senior Secured 2017 1st Lien Term Loan 5.56%, 11/4/2021 | 6,024,473 | 6,025,136 |
Security Description | Principal Amount | Value | |||
Realogy Corp. Senior Secured 2018 Term Loan B 4.30%, 2/8/2025 | $ 2,274,761 | $ 2,272,634 | |||
9,789,836 | |||||
RECYCLING — 0.2% | |||||
Gopher Resource LLC Senior Secured 1st Lien Term Loan 5.34%, 3/6/2025 | 7,741,903 | 7,761,258 | |||
RETAIL-RESTAURANTS — 0.5% | |||||
IRB Holding Corp. Senior Secured 1st Lien Term Loan 5.28%, 2/5/2025 | 7,001,041 | 7,021,449 | |||
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan 5.34%, 3/7/2025 | 2,493,750 | 2,483,226 | |||
Tacala LLC Senior Secured 1st Lien Term Loan 5.23%, 1/31/2025 | 5,209,167 | 5,197,446 | |||
14,702,121 | |||||
ROAD & RAIL — 0.2% | |||||
Direct ChassisLink, Inc. Senior Secured 2017 2nd Lien Term Loan 8.09%, 6/15/2023 | 5,000,000 | 5,056,250 | |||
SEMICONDUCTOR EQUIPMENT — 0.7% | |||||
MA FinanceCo. LLC Senior Secured USD Term Loan B3 4.84%, 6/21/2024 | 2,810,442 | 2,804,301 | |||
Seattle Spinco, Inc. Senior Secured USD Term Loan B3 4.84%, 6/21/2024 | 18,979,607 | 18,938,136 | |||
21,742,437 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.8% | |||||
Cypress Semiconductor Corp. Senior Secured 2016 Term Loan B 4.35%, 7/5/2021 | 8,970,681 | 9,007,685 | |||
MACOM Technology Solutions Holdings, Inc. Senior Secured 2017 Add on Term Loan 4.34%, 5/17/2024 | 6,140,264 | 6,050,739 |
Security Description | Principal Amount | Value | |||
Microchip Technology, Inc. Senior Secured 2018 Term Loan B 4.10%, 5/29/2025 | $ 9,858,841 | $ 9,860,911 | |||
24,919,335 | |||||
SOFTWARE — 11.9% | |||||
Applied Systems, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan 5.33%, 9/19/2024 | 1,825,287 | 1,829,987 | |||
Senior Secured 2017 2nd Lien Term Loan 9.33%, 9/19/2025 | 454,545 | 469,659 | |||
Avast Software B.V. Senior Secured 2018 USD Term Loan B 4.83%, 9/30/2023 | 3,426,114 | 3,429,335 | |||
CCC Information Services, Inc. Senior Secured 2017 1st Lien Term Loan 5.10%, 4/27/2024 | 4,522,425 | 4,521,227 | |||
Compuware Corp. Senior Secured Term Loan B3 5.59%, 12/15/2021 | 23,135,772 | 23,216,747 | |||
Epicor Software Corp. Senior Secured 1st Lien Term Loan 5.35%, 6/1/2022 | 23,893,032 | 23,854,206 | |||
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan 5.35%, 2/26/2025 | 10,144,068 | 10,139,351 | |||
Help/Systems LLC Senior Secured 2018 1st Lien Term Loan 5.84%, 3/28/2025 | 9,811,024 | 9,823,287 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan 5.34%, 7/1/2022 | 11,559,007 | 11,604,780 | |||
Senior Secured 2017 2nd Lien Term Loan 9.09%, 7/7/2025 | 608,696 | 619,348 | |||
Informatica Corp. Senior Secured 2018 USD Term Loan 5.34%, 8/5/2022 | 4,949,548 | 4,963,704 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B 5.36%, 11/1/2023 | 18,775,705 | 18,763,971 | |||
McAfee LLC Senior Secured 2017 USD Term Loan B 6.59%, 9/30/2024 | 36,660,469 | 36,902,794 | |||
Mitchell International, Inc.: |
Security Description | Principal Amount | Value | |||
Senior Secured 2017 1st Lien Term Loan 5.34%, 11/29/2024 | $ 15,093,750 | $ 15,030,809 | |||
Senior Secured 2017 2nd Lien Term Loan 9.34%, 11/20/2025 | 19,272,727 | 19,326,980 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B 5.99%, 4/26/2024 | 30,413,199 | 30,299,149 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B 5.59%, 2/9/2024 | 5,954,829 | 5,969,716 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan 6.58%, 5/16/2025 | 15,000,000 | 14,965,650 | |||
Senior Secured 2018 2nd Lien Term Loan 10.58%, 5/16/2026 | 10,000,000 | 10,018,800 | |||
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B 5.09%, 2/5/2024 | 23,009,375 | 23,028,473 | |||
Solera Holdings, Inc. Senior Secured USD Term Loan B 4.84%, 3/3/2023 | 2,783,726 | 2,775,027 | |||
SonicWALL, Inc. Senior Secured 1st Lien Term Loan 5.83%, 5/16/2025 | 16,935,484 | 16,984,935 | |||
Sophia L.P. Senior Secured 2017 Term Loan B 5.58%, 9/30/2022 | 3,336,141 | 3,327,801 | |||
SS&C Technologies Holdings Europe S.A.R.L. Senior Secured 2018 Term Loan B4 4.59%, 4/16/2025 | 10,574,996 | 10,590,382 | |||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B3 4.59%, 4/16/2025 | 27,953,019 | 27,993,691 | |||
TIBCO Software, Inc. Senior Secured Repriced Term Loan B 5.60%, 12/4/2020 | 18,424,829 | 18,456,520 | |||
Veritas Bermuda, Ltd. Senior Secured USD Repriced Term Loan B 6.65%, 1/27/2023 | 19,895,860 | 18,279,321 | |||
VF Holding Corp. Senior Secured Reprice Term Loan 5.34%, 6/30/2023 | 11,201,334 | 11,145,328 | |||
378,330,978 |
Security Description | Principal Amount | Value | |||
SPECIALTY RETAIL — 3.0% | |||||
Ascena Retail Group, Inc. Senior Secured 2015 Term Loan B 6.63%, 8/21/2022 | $ 847,374 | $ 758,824 | |||
Bass Pro Group LLC Senior Secured Term Loan B 7.09%, 9/25/2024 | 31,839,252 | 31,928,879 | |||
Burlington Coat Factory Warehouse Corp. Senior Secured 2017 Term Loan B5 4.60%, 11/17/2024 | 8,489,484 | 8,521,320 | |||
National Vision, Inc. Senior Secured 2017 Repriced Term Loan 4.84%, 11/20/2024 | 7,318,821 | 7,317,284 | |||
Party City Holdings, Inc. Senior Secured 2018 Term Loan B 4.85%, 8/19/2022 | 7,055,006 | 7,059,874 | |||
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B 5.61%, 1/26/2023 | 2,300,000 | 1,666,545 | |||
Staples, Inc. Senior Secured 2017 Term Loan B 6.36%, 9/12/2024 | 38,027,840 | 37,582,344 | |||
94,835,070 | |||||
TELECOM SERVICES — 0.5% | |||||
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B 4.10%, 4/11/2025 | 10,734,865 | 10,678,292 | |||
Securus Technologies Holdings, Inc. Senior Secured 2017 1st Lien Term Loan 6.59%, 11/1/2024 | 5,138,604 | 5,170,721 | |||
15,849,013 | |||||
THRIFTS & MORTGAGE FINANCE — 0.1% | |||||
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan 5.61%, 11/1/2024 | 3,295,650 | 3,273,009 | |||
TRADING COMPANIES & DISTRIBUTORS — 1.6% | |||||
Avolon TLB Borrower 1 (Luxembourg) S.A.R.L. Senior Secured Term Loan B3 4.09%, 1/15/2025 | 36,773,145 | 36,369,560 | |||
SiteOne Landscape Supply, Inc. Senior Secured 2017 1st Lien Term Loan 4.85%, 4/29/2022 (b) | 1,028,498 | 1,033,964 |
Security Description | Principal Amount | Value | |||
Univar, Inc. Senior Secured 2017 USD Term Loan B 4.59%, 7/1/2024 | $ 15,277,369 | $ 15,259,571 | |||
52,663,095 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $3,003,786,312) | 2,997,825,588 | ||||
CORPORATE BONDS & NOTES — 3.6% | |||||
AEROSPACE & DEFENSE — 0.1% | |||||
TransDigm, Inc. 6.50%, 7/15/2024 | 5,000,000 | 5,082,500 | |||
COMMERCIAL SERVICES — 0.1% | |||||
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (d) | 2,122,000 | 2,259,293 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
Fly Leasing, Ltd. 5.25%, 10/15/2024 | 3,145,000 | 2,958,266 | |||
ELECTRIC — 0.0% (c) | |||||
Calpine Corp. 5.88%, 1/15/2024 (d) | 1,000,000 | 990,000 | |||
ELECTRONICS — 0.1% | |||||
TTM Technologies, Inc. 5.63%, 10/1/2025 (d) | 3,500,000 | 3,421,250 | |||
ENTERTAINMENT — 0.2% | |||||
Scientific Games International, Inc. 5.00%, 10/15/2025 (d) | 7,750,000 | 7,364,825 | |||
FOOD — 0.4% | |||||
Albertsons Cos., Inc. 3 Month USD LIBOR + 3.75% 6.09%, 1/15/2024 (d) (e) | 9,000,000 | 9,000,000 | |||
Post Holdings, Inc. 5.00%, 8/15/2026 (d) | 4,000,000 | 3,730,000 | |||
12,730,000 | |||||
HEALTH CARE PRODUCTS — 0.3% | |||||
Avantor, Inc. 6.00%, 10/1/2024 (d) | 7,750,000 | 7,657,000 | |||
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021 (d) | 830,000 | 838,300 | |||
8,495,300 |
Security Description | Principal Amount | Value | |||
HEALTH CARE SERVICES — 0.7% | |||||
HCA, Inc. 5.00%, 3/15/2024 | $ 1,000,000 | $ 998,800 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (d) | 10,000,000 | 10,213,000 | |||
Tenet Healthcare Corp.: | |||||
6.75%, 2/1/2020 | 2,000,000 | 2,050,000 | |||
8.13%, 4/1/2022 | 8,000,000 | 8,350,400 | |||
21,612,200 | |||||
INSURANCE — 0.1% | |||||
AssuredPartners, Inc. 7.00%, 8/15/2025 (d) | 3,410,000 | 3,278,033 | |||
LEISURE TIME — 0.0% (c) | |||||
Sabre GLBL, Inc. 5.25%, 11/15/2023 (d) | 500,000 | 503,125 | |||
MEDIA — 0.4% | |||||
Gray Television, Inc.: | |||||
5.13%, 10/15/2024 (d) | 3,000,000 | 2,856,600 | |||
5.88%, 7/15/2026 (d) | 3,000,000 | 2,850,000 | |||
Nexstar Broadcasting, Inc. 5.63%, 8/1/2024 (d) | 1,000,000 | 967,500 | |||
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (d) | 5,000,000 | 4,956,250 | |||
11,630,350 | |||||
PACKAGING & CONTAINERS — 0.2% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024 (d) | 2,320,000 | 2,412,800 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (d) | 1,478,000 | 1,426,270 | |||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 3 Month USD LIBOR + 3.50% 5.85%, 7/15/2021 (d) (e) | 2,000,000 | 2,016,200 | |||
5,855,270 | |||||
PHARMACEUTICALS — 0.2% | |||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. 5.88%, 10/15/2024 (d) | 1,517,000 | 1,479,075 | |||
Endo Finance LLC/Endo Finco, Inc. 5.38%, 1/15/2023 (d) | 1,000,000 | 810,000 | |||
Valeant Pharmaceuticals International, Inc.: | |||||
5.50%, 11/1/2025 (d) | 3,000,000 | 2,952,900 |
Security Description | Principal Amount | Value | |||
6.50%, 3/15/2022 (d) | $ 1,734,000 | $ 1,794,690 | |||
7,036,665 | |||||
RETAIL — 0.1% | |||||
1011778 BC ULC/New Red Finance, Inc. 4.25%, 5/15/2024 (d) | 2,034,000 | 1,932,300 | |||
CEC Entertainment, Inc. 8.00%, 2/15/2022 | 1,148,000 | 1,010,240 | |||
2,942,540 | |||||
SOFTWARE — 0.6% | |||||
First Data Corp. 5.00%, 1/15/2024 (d) | 7,396,000 | 7,349,775 | |||
Infor US, Inc. 6.50%, 5/15/2022 | 7,000,000 | 7,026,600 | |||
Riverbed Technology, Inc. 8.88%, 3/1/2023 (d) | 5,500,000 | 5,214,000 | |||
19,590,375 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $117,611,059) | 115,749,992 |
Shares | |||
SHORT-TERM INVESTMENT — 6.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (f) (g) (Cost $196,673,118) | 196,673,118 | 196,673,118 | |
TOTAL INVESTMENTS — 103.7% (Cost $3,318,070,489) | 3,310,248,698 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.7)% | (119,585,739) | ||
NET ASSETS — 100.0% | $ 3,190,662,959 |
(a) | The rate shown represents the rate at June 30, 2018. |
(b) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of June 30, 2018, total aggregate fair value of securities is $21,915,222 representing 0.7% of net assets. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.8% of net assets as of June 30, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2018. |
LIBOR | = London Interbank Offered Rate |
LP | = Limited Partnership |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Access CIG LLC | 640,413 | 642,335 | 1,922 | |||
Heartland Dental LLC | 1,720,390 | 1,712,863 | (7,527) | |||
Pearl Intermediate Parent LLC | 2,454,917 | 2,411,956 | (42,961) | |||
ION Trading Technologies S.A.R.L. | 8,977,500 | 8,943,750 | (33,750) | |||
GFL Environmental, Inc. | 1,070,005 | 1,064,655 | (5,350) | |||
AqGen Ascensus, Inc. | 1,662,527 | 1,668,750 | 6,223 | |||
BMC Software Finance, Inc. | 39,600,000 | 39,800,000 | 200,000 | |||
$118,557 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Senior Floating Rate Loans | ||||||||
Aerospace & Defense | $ — | $ 68,154,111 | $— | $ 68,154,111 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Airlines | $ — | $ 9,635,844 | $— | $ 9,635,844 | ||||
Apparel Manufacturers | — | 1,787,500 | — | 1,787,500 | ||||
Auto Components | — | 24,947,295 | — | 24,947,295 | ||||
Automobiles | — | 6,019,443 | — | 6,019,443 | ||||
Building Products | — | 19,485,840 | — | 19,485,840 | ||||
Capital Markets | — | 19,911,631 | — | 19,911,631 | ||||
Casino Hotels | — | 14,915,439 | — | 14,915,439 | ||||
Chemicals | — | 57,154,351 | — | 57,154,351 | ||||
Commercial Services & Supplies | — | 280,226,835 | — | 280,226,835 | ||||
Communications Equipment | — | 40,772,951 | — | 40,772,951 | ||||
Computers & Peripherals | — | 5,091,133 | — | 5,091,133 | ||||
Construction & Engineering | — | 31,754,528 | — | 31,754,528 | ||||
Construction Materials | — | 3,435,353 | — | 3,435,353 | ||||
Containers & Packaging | — | 41,328,302 | — | 41,328,302 | ||||
Distributors | — | 28,069,354 | — | 28,069,354 | ||||
Diversified Consumer Services | — | 27,666,912 | — | 27,666,912 | ||||
Diversified Financial Services | — | 93,367,503 | — | 93,367,503 | ||||
Diversified Telecommunication Services | — | 111,190,235 | — | 111,190,235 | ||||
Electric Utilities | — | 18,280,782 | — | 18,280,782 | ||||
Electrical Equipment | — | 4,526,307 | — | 4,526,307 | ||||
Electronic Equipment, Instruments & Components | — | 20,113,099 | — | 20,113,099 | ||||
Energy Equipment & Services | — | 2,284,640 | — | 2,284,640 | ||||
Food & Staples Retailing | — | 72,099,903 | — | 72,099,903 | ||||
Food Products | — | 25,759,023 | — | 25,759,023 | ||||
Health Care Equipment & Supplies | — | 39,618,975 | — | 39,618,975 | ||||
Health Care Providers & Services | — | 204,676,604 | — | 204,676,604 | ||||
Health Care Technology | — | 15,338,559 | — | 15,338,559 | ||||
Hotels, Restaurants & Leisure | — | 176,306,443 | — | 176,306,443 | ||||
Independent Power Producers & Energy Traders | — | 15,608,434 | — | 15,608,434 | ||||
Insurance | — | 125,996,404 | — | 125,996,404 | ||||
Internet & Catalog Retail | — | 19,391,351 | — | 19,391,351 | ||||
Internet Software & Services | — | 75,113,915 | — | 75,113,915 | ||||
IT Services | — | 50,487,099 | — | 50,487,099 | ||||
Life Sciences Tools & Services | — | 33,634,396 | — | 33,634,396 | ||||
Machinery | — | 35,613,920 | — | 35,613,920 | ||||
Media | — | 247,659,435 | — | 247,659,435 | ||||
Metals & Mining | — | 13,260,107 | — | 13,260,107 | ||||
Multiline Retail | — | 16,613,955 | — | 16,613,955 | ||||
Oil, Gas & Consumable Fuels | — | 33,151,923 | — | 33,151,923 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Oil-Field Services | $ — | $ 846,956 | $— | $ 846,956 | ||||
Paper&Related Products | — | 11,899,762 | — | 11,899,762 | ||||
Personal Products | — | 4,093,238 | — | 4,093,238 | ||||
Pharmaceuticals | — | 143,222,555 | — | 143,222,555 | ||||
Pollution Control | — | 9,827,853 | — | 9,827,853 | ||||
Professional Services | — | 53,582,514 | — | 53,582,514 | ||||
Real Estate Investment Trusts (REITs) | — | 14,980,474 | — | 14,980,474 | ||||
Real Estate Management & Development | — | 9,789,836 | — | 9,789,836 | ||||
Recycling | — | 7,761,258 | — | 7,761,258 | ||||
Retail-Restaurants | — | 14,702,121 | — | 14,702,121 | ||||
Road & Rail | — | 5,056,250 | — | 5,056,250 | ||||
Semiconductor Equipment | — | 21,742,437 | — | 21,742,437 | ||||
Semiconductors & Semiconductor Equipment | — | 24,919,335 | — | 24,919,335 | ||||
Software | — | 378,330,978 | — | 378,330,978 | ||||
Specialty Retail | — | 94,835,070 | — | 94,835,070 | ||||
Telecom Services | — | 15,849,013 | — | 15,849,013 | ||||
Thrifts & Mortgage Finance | — | 3,273,009 | — | 3,273,009 | ||||
Trading Companies & Distributors | — | 52,663,095 | — | 52,663,095 | ||||
Corporate Bonds & Notes | ||||||||
Aerospace & Defense | — | 5,082,500 | — | 5,082,500 | ||||
Commercial Services | — | 2,259,293 | — | 2,259,293 | ||||
Diversified Financial Services | — | 2,958,266 | — | 2,958,266 | ||||
Electric | — | 990,000 | — | 990,000 | ||||
Electronics | — | 3,421,250 | — | 3,421,250 | ||||
Entertainment | — | 7,364,825 | — | 7,364,825 | ||||
Food | — | 12,730,000 | — | 12,730,000 | ||||
Health Care Products | — | 8,495,300 | — | 8,495,300 | ||||
Health Care Services | — | 21,612,200 | — | 21,612,200 | ||||
Insurance | — | 3,278,033 | — | 3,278,033 | ||||
Leisure Time | — | 503,125 | — | 503,125 | ||||
Media | — | 11,630,350 | — | 11,630,350 | ||||
Packaging & Containers | — | 5,855,270 | — | 5,855,270 | ||||
Pharmaceuticals | — | 7,036,665 | — | 7,036,665 | ||||
Retail | — | 2,942,540 | — | 2,942,540 | ||||
Software | — | 19,590,375 | — | 19,590,375 | ||||
Short-Term Investment | 196,673,118 | — | — | 196,673,118 | ||||
TOTAL INVESTMENTS | $196,673,118 | $3,113,575,580 | $— | $3,310,248,698 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loan Commitments(a) | $ — | $ 118,557 | $— | $ 118,557 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $196,673,118 | $3,113,694,137 | $— | $3,310,367,255 |
(a) | appreciation (depreciation) on unfunded loan commitments. |
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 119,281,817 | $119,281,817 | $1,857,721,773 | $1,780,330,472 | $— | $— | 196,673,118 | $196,673,118 | $2,615,497 |
Blackstone / GSO Senior Loan Portfolio | |
ASSETS | |
Investments in unaffiliated issuers, at value | $3,113,575,580 |
Investments in affiliated issuers, at value | 196,673,118 |
Total Investments | 3,310,248,698 |
Cash | 5,047,803 |
Receivable for investments sold | 219,637,294 |
Dividends receivable — affiliated issuers | 283,625 |
Interest receivable — unaffiliated issuers | 8,002,305 |
Unrealized appreciation on unfunded loan commitments | 118,557 |
Other Receivable | 102,744 |
TOTAL ASSETS | 3,543,441,026 |
LIABILITIES | |
Payable for investments purchased | 351,996,464 |
Advisory fee payable | 779,983 |
Trustees’ fees and expenses payable | 461 |
Accrued expenses and other liabilities | 1,159 |
TOTAL LIABILITIES | 352,778,067 |
NET ASSETS | $3,190,662,959 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,121,411,873 |
Investments in affiliated issuers | 196,673,118 |
Total cost of investments | $3,318,084,991 |
Blackstone / GSO Senior Loan Portfolio | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $117,281,297 |
Dividend income — affiliated issuers | 2,615,497 |
TOTAL INVESTMENT INCOME (LOSS) | 119,896,794 |
EXPENSES | |
Advisory fee | 7,194,761 |
Trustees’ fees and expenses | 36,785 |
TOTAL EXPENSES | 7,231,546 |
NET INVESTMENT INCOME (LOSS) | 112,665,248 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (11,863,247) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (16,629,536) |
Unfunded loan commitments | 118,557 |
Net change in unrealized appreciation/depreciation | (16,510,979) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (28,374,226) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 84,291,022 |
Blackstone / GSO Senior Loan Portfolio | |||
Year Ended 6/30/18 | Year Ended 6/30/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 112,665,248 | $ 51,271,905 | |
Net realized gain (loss) | (11,863,247) | 2,066,427 | |
Net change in unrealized appreciation/depreciation | (16,510,979) | 10,003,339 | |
Net increase (decrease) in net assets resulting from operations | 84,291,022 | 63,341,671 | |
CAPITAL TRANSACTIONS | |||
Contributions | 1,509,849,498 | 1,009,734,223 | |
Withdrawals | (225,415,777) | (54,477,525) | |
Other capital | 850,599 | — | |
Net increase (decrease) in net assets from capital transactions | 1,285,284,320 | 955,256,698 | |
Net increase (decrease) in net assets during the period | 1,369,575,342 | 1,018,598,369 | |
Net assets at beginning of period | 1,821,087,617 | 802,489,248 | |
NET ASSETS AT END OF PERIOD | $3,190,662,959 | $1,821,087,617 |
Blackstone / GSO Senior Loan Portfolio | |||||||||
Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | |||||
Total return | 4.43% | 6.19% | (0.20)% | 2.98% | 4.00% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,190,663 | $1,821,088 | $802,489 | $672,264 | $610,477 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.30% | 0.30% | 0.30% | 0.31% | 0.30% | ||||
Net investment income (loss) | 4.70% | 4.31% | 4.54% | 4.49% | 3.63% | ||||
Portfolio turnover rate | 90% | 68% | 88% | 65% | 77% |
Annual Rate | |
Blackstone / GSO Senior Loan Portfolio | 0.30% |
Purchases | Sales | ||
Blackstone / GSO Senior Loan Portfolio | $3,518,282,459 | $2,125,948,104 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Blackstone / GSO Senior Loan Portfolio | $3,366,658,352 | $10,089,147 | $17,755,050 | $(7,665,903) |
August 31, 2018
Blackstone / GSO Senior Loan Portfolio | ||
Annualized Expense Ratio | 0.30% | |
Actual: | ||
Ending Account Value | $1,016.40 | |
Expenses Paid During Period(a) | 1.50 | |
Hypothetical (assuming a 5% return before expenses): | ||
Ending Account Value | 1,023.30 | |
Expenses Paid During Period(a) | 1.51 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Master Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 127 | None. | |||||
DAVID M. KELLY c/o SSGA Master Trust One Iron Street Boston, MA 02210 1938 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 127 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
BONNY EUGENIA BOATMAN c/o SSGA Master Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 127 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Master Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 127 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Master Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 127 | The Motley Fool Funds Trust (Trustee). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 196 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1978 | Chief Legal Officer | Term: Unlimited Served: since February 2015 | Managing Director and Managing Counsel, State Street Global Advisors (2011 - present); Clerk, SSGA Funds Management, Inc. (2013 - present); Associate, Financial Services Group, Dechert LLP (2006 - 2011). | |||
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, SUM0703 Boston, MA 02111 1976 | Secretary | Term: Unlimited Served: since August 2017 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007- 2013).** | |||
ESTEFANIA SALOMON State Street Bank and Trust Company 100 Summer Street SUM0703 Boston, MA 02111 1983 | Assistant Secretary | Term: Unlimited Served: since May 2018 | Assistant Vice President and Associate Counsel, State Street Bank and Trust Company (2018 – present); Senior Compliance Consultant, AdvisorAssist, LLC (2017); Attorney, Commonwealth of Massachusetts, Securities Division (2014-2017). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
** Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has six Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”
(2) Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal years ending June 30, 2018 and June 30, 2017, the aggregate audit fees billed for professional services rendered by the principal accountant were $39,987 and $153,611, respectively. Audit fees include the performance of the annual audits, security counts performed during the course of the period for each series of the registrant and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal years ending June 30, 2018 and June 30, 2017, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal years ending June 30, 2018 and June 30, 2017, the aggregate tax fees billed for professional services rendered by the principal accountant were $85,705 and $125,690, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.
(d) All Other Fees.
There were no other fees billed by the principal accountant for the fiscal years ending June 30, 2018 and June 30, 2017.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:
a. | The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
b. | The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
c. | De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
d. | Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved. |
e. | Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). |
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
FY 2018 (in millions) | FY 2017 (in millions) | |||||||
Non audit services billed to: | ||||||||
Registrant: | See Item 4 | (c) | See Item 4 | (c) | ||||
Investment Adviser: | — | — | ||||||
Other entities in the Investment Company Complex (1)(2): | ||||||||
Audit Related Fees | $ | 15.4 | $ | 15.7 | ||||
Tax Fees | 7.8 | 8.7 | ||||||
All Other Fees | 16.2 | 23.0 | (3) |
(1) | Information is for the calendar years 2017 and 2016, respectively. |
(2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees consisted of advisory services related to certain regulatory initiatives. |
(3) | This figure had previously been reported as $4.4 million and is being restated to include certain other audit fees totaling $18.6 million, in the aggregate, primarily relating to statutory and financial statement audits, the requirement to opine on the design and operating effectiveness of internal control over financial reporting and accounting consultations. |
(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committees of Listed Registrants.
The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s audit committee are Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
(a) A Schedule of Investments for the series of the registrant is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are 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.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Code of Ethics referred to in Item 2.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Master Trust | ||
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | September 6, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | September 6, 2018 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | September 6, 2018 |