UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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: December 31, 2018
Item 1. Reports to Shareholders.
Blackstone / GSO Senior Loan Portfolio |
TABLE OF CONTENTS (Unaudited)
1 | |
3 | |
31 | |
34 | |
35 | |
42 |
Description | % of Net Assets | ||
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B 5.27% 1/31/2025 | 1.7% | ||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan 5.02% 2/1/2024 | 1.4 | ||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5 5.27% 8/14/2024 | 1.4 | ||
Hub International, Ltd. Senior Secured 2018 Term Loan B 5.24% 4/25/2025 | 1.3 | ||
Allied Universal Holdco LLC Senior Secured 2015 Term Loan 6.27% 7/28/2022 | 1.3 | ||
TOTAL | 7.1% |
% of Net Assets | |||
Commercial Services & Supplies | 10.4% | ||
Software | 10.1 | ||
Health Care Providers & Services | 7.2 | ||
Media | 5.7 | ||
Insurance | 5.1 | ||
Hotels, Restaurants & Leisure | 4.3 | ||
Pharmaceuticals | 3.8 | ||
Specialty Retail | 2.6 | ||
Diversified Telecommunication Services | 2.5 | ||
Aerospace & Defense | 2.5 | ||
Diversified Financial Services | 2.2 | ||
IT Services | 1.9 | ||
Chemicals | 1.9 | ||
Containers & Packaging | 1.6 | ||
Retail-Restaurants | 1.6 | ||
Interactive Media & Services | 1.5 | ||
Machinery | 1.4 | ||
Health Care Equipment & Supplies | 1.1 | ||
Life Sciences Tools & Services | 1.1 | ||
Capital Markets | 1.0 | ||
Building Products | 0.9 | ||
Electronic Equipment, Instruments & Components | 0.9 | ||
Auto Components | 0.9 | ||
Oil, Gas & Consumable Fuels | 0.8 | ||
Multiline Retail | 0.7 | ||
Computer Services | 0.7 | ||
Professional Services | 0.6 |
% of Net Assets | |||
Food & Staples Retailing | 0.6% | ||
Health Care Technology | 0.6 | ||
Semiconductor Equipment | 0.6 | ||
Internet & Catalog Retail | 0.6 | ||
Machinery-Constr&Mining | 0.6 | ||
Recycling | 0.6 | ||
Construction & Engineering | 0.5 | ||
Construction Materials | 0.5 | ||
Paper&Related Products | 0.5 | ||
Advertising Services | 0.5 | ||
Semiconductors & Semiconductor Equipment | 0.4 | ||
Distributors | 0.4 | ||
Pollution Control | 0.4 | ||
Communications Equipment | 0.4 | ||
Computers & Peripherals | 0.4 | ||
Food Products | 0.3 | ||
Financial Services | 0.3 | ||
Household Products | 0.3 | ||
Road & Rail | 0.2 | ||
Thrifts & Mortgage Finance | 0.2 | ||
Diagnostic Equipment | 0.2 | ||
Energy Equipment & Services | 0.1 | ||
Metals & Mining | 0.1 | ||
Electrical Equipment | 0.1 | ||
Telecom Services | 0.1 | ||
Telecommunication Equip | 0.1 | ||
Entertainment | 0.1 | ||
Electric Utilities | 0.0 | ||
Diversified Consumer Services | 0.0 | ||
Oil-Field Services | 0.0 | ||
Containers-Paper/Plastic | 0.0 | ||
Food & Beverage | 0.0 | ||
Short-Term Investment | 13.0 | ||
Other Assets in Excess of Liabilities | 2.3 | ||
TOTAL | 100.0% |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 82.4% (a) | |||||
ADVERTISING SERVICES — 0.5% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%, 8/15/2025 | $1,804,124 | $1,777,062 | |||
Red Ventures LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 11/8/2024 | 9,863,713 | 9,419,846 | |||
11,196,908 | |||||
AEROSPACE & DEFENSE — 2.5% | |||||
DAE Aviation Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 7/7/2022 | 2,521,933 | 2,498,681 | |||
MacDonald Dettwiler & Associates, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 10/4/2024 | 16,101,301 | 14,853,450 | |||
TransDigm, Inc.: | |||||
Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 5.02%, 5/30/2025 | 25,202,735 | 23,852,120 | |||
Senior Secured 2018 Term Loan F, 1 Month USD LIBOR + 2.50%, 5.02%, 6/9/2023 | 15,374,884 | 14,548,484 | |||
55,752,735 | |||||
AUTO COMPONENTS — 0.9% | |||||
USI, Inc. Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00%, 5.80%, 5/16/2024 | 21,944,525 | 20,765,007 | |||
BUILDING PRODUCTS — 0.9% | |||||
AZEK Co. LLC Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 3.75%, 6.63%, 5/5/2024 | 1,984,848 | 1,910,417 | |||
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.80%, 2/29/2024 | 1,907,170 | 1,795,467 |
Security Description | Principal Amount | Value | |||
SRS Distribution, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.77%, 5/23/2025 | $16,685,455 | $15,613,998 | |||
19,319,882 | |||||
CAPITAL MARKETS — 1.0% | |||||
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 6.12%, 12/3/2022 | 2,322,120 | 2,316,315 | |||
Duff & Phelps Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%, 2/13/2025 | 18,591,875 | 17,654,566 | |||
Victory Capital Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%, 2/12/2025 | 935,011 | 926,829 | |||
20,897,710 | |||||
CHEMICALS — 1.9% | |||||
Alpha 3 B.V. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%, 5.80%, 1/31/2024 | 4,290,040 | 4,094,844 | |||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.57%, 11/21/2024 | 1,881,046 | 1,828,142 | |||
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.83%, 8/1/2025 | 14,925,000 | 14,589,187 | |||
LTI Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 9/6/2025 | 11,195,083 | 10,570,061 | |||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.75%, 10/1/2025 | 6,985,075 | 6,705,672 |
Security Description | Principal Amount | Value | |||
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.00%, 10/28/2024 | $3,464,507 | $3,351,910 | |||
41,139,816 | |||||
COMMERCIAL SERVICES & SUPPLIES — 10.3% | |||||
Allied Universal Holdco LLC: | |||||
Senior Secured 2015 Term Loan, 3 Month USD LIBOR + 3.75%, 6.27%, 7/28/2022 | 30,939,622 | 29,439,050 | |||
Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 4.25%, 6.77%, 7/28/2022 | 2,092,199 | 2,003,280 | |||
Ancestry.com Operations, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 10/19/2023 | 3,603,564 | 3,454,917 | |||
APX Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 5.00%, 7.50%, 4/1/2024 | 4,275,017 | 4,166,346 | |||
Asurion LLC: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 9.02%, 8/4/2025 | 21,082,345 | 20,911,156 | |||
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 5.52%, 8/4/2022 | 4,580,659 | 4,413,786 | |||
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.52%, 11/3/2023 | 1,648,131 | 1,584,266 | |||
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.52%, 11/3/2024 | 7,134,244 | 6,846,663 | |||
Cast and Crew Payroll LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.50%, 5.03%, 9/27/2024 | 498,737 | 496,166 | |||
Comet Acquisition, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 6.28%, 10/24/2025 | 4,090,909 | 4,024,432 | |||
Equian LLC Senior Secured Add on Term Loan B, 1 Month USD LIBOR + 3.25%, 5.76%, 5/20/2024 | 4,381,745 | 4,252,484 | |||
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 5.52%, 5/30/2025 | 26,702,761 | 24,980,433 |
Security Description | Principal Amount | Value | |||
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 6.55%, 2/21/2025 | $4,866,568 | $4,690,179 | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.76%, 3/13/2025 | 10,036,517 | 9,660,148 | |||
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 2/27/2025 | 21,478,973 | 20,431,873 | |||
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.51%, 12/4/2024 | 7,832,278 | 7,597,310 | |||
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%, 5/2/2022 | 29,713,359 | 28,413,400 | |||
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.53%, 1/29/2025 | 905,187 | 874,637 | |||
Southern Graphics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.75%, 12/31/2022 | 18,718,454 | 17,657,679 | |||
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.77%, 7/30/2025 | 3,398,889 | 3,271,431 | |||
TruGreen, Ltd. Partnership Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 4.00%, 6.51%, 4/13/2023 | 726,994 | 721,541 | |||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.02%, 8/27/2025 | 21,820,312 | 21,165,703 | |||
VT Buyer Acquisition Corp.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%, 8/1/2025 | 3,433,256 | 3,395,713 | |||
Senior Secured 2018 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%, 8/1/2025 | 432,054 | 427,329 | |||
224,879,922 |
Security Description | Principal Amount | Value | |||
COMMUNICATIONS EQUIPMENT — 0.4% | |||||
Riverbed Technology, Inc. Senior Secured 2016 Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 4/24/2022 | $8,929,257 | $8,446,095 | |||
COMPUTER SERVICES — 0.7% | |||||
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%, 7/12/2025 | 16,196,428 | 15,649,798 | |||
COMPUTERS & PERIPHERALS — 0.4% | |||||
TierPoint LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 5/6/2024 | 10,166,696 | 9,531,277 | |||
CONSTRUCTION & ENGINEERING — 0.5% | |||||
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 1/22/2023 | 4,937,028 | 4,764,232 | |||
Minimax GmbH & Co. KG Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 3.00%, 5.52%, 7/31/2025 | 1,999,868 | 1,944,871 | |||
Pike Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.03%, 3/23/2025 | 3,608,836 | 3,543,426 | |||
10,252,529 | |||||
CONSTRUCTION MATERIALS — 0.5% | |||||
Forterra Finance, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 10/25/2023 | 1,712,045 | 1,552,457 | |||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%, 11/15/2023 | 10,000,000 | 9,556,300 | |||
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 4.00%, 6.60%, 9/27/2024 | 881,373 | 848,321 | |||
11,957,078 |
Security Description | Principal Amount | Value | |||
CONTAINERS & PACKAGING — 1.6% | |||||
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 11/7/2025 | $4,607,174 | $4,353,780 | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%, 2/5/2023 | 25,168,016 | 24,062,385 | |||
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.77%, 10/17/2024 | 7,652,219 | 7,221,782 | |||
35,637,947 | |||||
DIAGNOSTIC EQUIPMENT — 0.2% | |||||
Lifescan Global Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.80%, 9/27/2024 | 4,389,000 | 4,158,577 | |||
DISTRIBUTORS — 0.3% | |||||
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.55%, 5/2/2023 | 5,482,777 | 5,316,018 | |||
Spin Holdco Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 6.03%, 11/14/2022 | 2,493,671 | 2,386,443 | |||
7,702,461 | |||||
DIVERSIFIED CONSUMER SERVICES — 0.0% (b) | |||||
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.75%, 7.56%, 11/29/2024 | 937,662 | 929,458 | |||
DIVERSIFIED FINANCIAL SERVICES — 2.1% | |||||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 5.69%, 7/21/2025 | 12,012,578 | 11,609,256 | |||
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 6.75%, 9.54%, 7/20/2026 | 5,769,231 | 5,509,615 |
Security Description | Principal Amount | Value | |||
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%, 5/23/2025 | $2,218,581 | $2,166,445 | |||
LDiscovery LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.88%, 8.49%, 12/9/2022 | 3,290,043 | 2,985,714 | |||
UFC Holdings LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 8/18/2023 | 449,531 | 439,192 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.28%, 5/18/2025 | 24,260,181 | 22,402,821 | |||
45,113,043 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.5% | |||||
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 1/31/2025 | 38,923,071 | 36,451,456 | |||
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.53%, 10/4/2023 | 10,040,220 | 9,431,532 | |||
Hargray Communications Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 5/16/2024 | 4,401,329 | 4,258,286 | |||
Intelsat Jackson Holdings S.A. Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 3.75%, 6.26%, 11/27/2023 | 1,000,000 | 972,590 | |||
Telesat Canada Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%, 5.31%, 11/17/2023 | 2,961,760 | 2,815,152 | |||
53,929,016 | |||||
ELECTRIC UTILITIES — 0.0% (b) | |||||
TEX Operations Co. LLC Senior Secured Exit Term Loan B, 1 Month USD LIBOR + 2.00%, 4.52%, 8/4/2023 | 524,886 | 507,316 |
Security Description | Principal Amount | Value | |||
ELECTRICAL EQUIPMENT — 0.1% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%, 12/2/2024 | $2,304,742 | $2,229,838 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.9% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.01%, 7/26/2024 | 9,607,894 | 9,335,654 | |||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.02%, 2/12/2025 | 10,625,945 | 10,081,365 | |||
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%, 9/28/2024 | 1,451,703 | 1,375,489 | |||
20,792,508 | |||||
ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.03%, 10/31/2024 | 2,274,286 | 2,219,419 | |||
FINANCIAL SERVICES — 0.3% | |||||
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.81%, 10/31/2025 | 4,051,095 | 3,889,051 | |||
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.25%, 5.55%, 6/16/2023 | 2,992,036 | 2,886,566 | |||
6,775,617 | |||||
FOOD & STAPLES RETAILING — 0.6% | |||||
Albertsons LLC: | |||||
Senior Secured USD 2017 Term Loan B5, 3 Month USD LIBOR + 3.00%, 5.82%, 12/21/2022 | 2,205,812 | 2,124,009 | |||
Senior Secured USD 2017 Term Loan B6, 3 Month USD LIBOR + 3.00%, 5.69%, 6/22/2023 | 2,805,194 | 2,671,947 |
Security Description | Principal Amount | Value | |||
Mastronardi Produce, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%, 5/1/2025 | $2,367,484 | $2,337,891 | |||
Smart & Final Stores LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 11/15/2022 | 5,750,000 | 5,343,935 | |||
12,477,782 | |||||
FOOD PRODUCTS — 0.3% | |||||
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.26%, 4/6/2024 | 4,683,136 | 4,554,350 | |||
JBS USA LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.50%, 5.30%, 10/30/2022 | 2,495,504 | 2,407,125 | |||
6,961,475 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.0% | |||||
Carestream Health, Inc.: | |||||
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.75%, 8.27%, 2/28/2021 | 4,323,128 | 4,247,473 | |||
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 12.02%, 6/7/2021 | 17,069,077 | 16,813,041 | |||
DJO Finance LLC Senior Secured 2015 Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 6/8/2020 | 11,937 | 11,814 | |||
21,072,328 | |||||
HEALTH CARE PROVIDERS & SERVICES — 6.9% | |||||
ADMI Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.52%, 4/30/2025 | 6,462,211 | 6,160,620 | |||
Air Medical Group Holdings, Inc.: | |||||
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.75%, 3/14/2025 | 27,037,361 | 25,260,601 | |||
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.76%, 4/28/2022 | 2,572,172 | 2,412,208 | |||
ATI Holdings Acquisition, Inc. Senior Secured 2016 Term Loan, 1 Month USD LIBOR + 3.50%, 5.96%, 5/10/2023 | 2,944,730 | 2,845,345 |
Security Description | Principal Amount | Value | |||
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 3.75%, 7/20/2025 | $3,538,461 | $3,456,652 | |||
BioClinica, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.75%, 10/20/2023 | 1,785,263 | 1,658,063 | |||
Certara L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.30%, 8/15/2024 | 1,661,353 | 1,630,203 | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.53%, 6/7/2023 | 2,168,465 | 2,087,147 | |||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 10/10/2025 | 22,903,226 | 21,406,271 | |||
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 6.06%, 6/28/2024 | 1,327,770 | 1,256,960 | |||
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 4/30/2025 | 9,287,580 | 8,927,687 | |||
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%, 6/7/2023 | 9,429,312 | 8,964,400 | |||
National Mentor Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 5.80%, 1/31/2021 | 2,629,864 | 2,597,806 | |||
Ortho-Clinical Diagnostics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.76%, 6/30/2025 | 20,088,788 | 18,682,573 | |||
PharMerica Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.96%, 12/6/2024 | 1,935,126 | 1,854,499 |
Security Description | Principal Amount | Value | |||
PharMerica Corporation Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 10.21%, 12/5/2025 | $4,765,000 | $4,550,575 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.13%, 11/16/2025 | 1,342,658 | 1,277,626 | |||
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 5/15/2022 | 4,987,310 | 4,798,191 | |||
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.78%, 9/2/2024 | 6,921,081 | 6,613,993 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%, 2/6/2024 | 12,604,481 | 11,328,277 | |||
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 6/23/2024 | 2,035,650 | 1,955,750 | |||
U.S. Renal Care, Inc. Senior Secured 2015 Term Loan B, 3 Month USD LIBOR + 4.25%, 7.05%, 12/30/2022 | 12,709,294 | 12,140,554 | |||
151,866,001 | |||||
HEALTH CARE TECHNOLOGY — 0.6% | |||||
Agiliti Health, Inc Senior Secured Term Loan, Zero Coupon, 1/4/2026 | 2,702,703 | 2,621,622 | |||
Change Healthcare Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 3/1/2024 | 7,525,453 | 7,161,710 | |||
Press Ganey Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%, 10/23/2023 | 2,516,725 | 2,425,494 | |||
12,208,826 |
Security Description | Principal Amount | Value | |||
HOTELS, RESTAURANTS & LEISURE — 4.3% | |||||
1011778 BC ULC Senior Secured Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.77%, 2/16/2024 | $347,542 | $331,756 | |||
Big Jack Holdings L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.78%, 4/5/2024 | 6,755,874 | 6,485,639 | |||
CEC Entertainment, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%, 2/14/2021 | 7,478,117 | 6,942,198 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%, 2/1/2024 | 32,346,487 | 30,735,794 | |||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 1 Month USD LIBOR + 2.75%, 5.28%, 10/4/2023 | 5,901,807 | 5,700,526 | |||
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.52%, 7/31/2024 | 2,111,933 | 2,030,982 | |||
NPC International, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 4/19/2024 | 6,459,016 | 6,071,476 | |||
Red Lobster Management LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.25%, 7.77%, 7/28/2021 | 1,742,650 | 1,694,727 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 3 Month USD LIBOR + 2.75%, 5.27%, 8/14/2024 | 31,743,843 | 29,895,875 | |||
SeaWorld Parks & Entertainment, Inc. Senior Secured Term Loan B5, 1 Month USD LIBOR + 3.00%, 5.52%, 3/31/2024 | 2,992,386 | 2,864,671 | |||
Travel Leaders Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.46%, 1/25/2024 | 726,300 | 722,367 | |||
93,476,011 |
Security Description | Principal Amount | Value | |||
HOUSEHOLD PRODUCTS — 0.3% | |||||
Champ Acquisition Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.50%, 7.98%, 12/12/2025 | $7,462,687 | $7,280,784 | |||
INSURANCE — 4.7% | |||||
Acrisure LLC: | |||||
Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%, 11/22/2023 | 15,290,088 | 14,860,131 | |||
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%, 11/22/2023 | 4,192,416 | 3,972,314 | |||
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.21%, 5/9/2025 | 11,493,502 | 10,896,529 | |||
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 1/25/2024 | 997,455 | 955,562 | |||
AssuredPartners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 10/22/2024 | 13,183,084 | 12,482,799 | |||
Broadstreet Partners, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%, 11/8/2023 | 1,405,505 | 1,358,070 | |||
Hub International, Ltd. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.24%, 4/25/2025 | 31,152,353 | 29,502,368 | |||
Hyperion Insurance Group Ltd. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.50%, 6.06%, 12/20/2024 | 1,484,347 | 1,441,672 | |||
NFP Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 1/8/2024 | 12,754,686 | 12,101,009 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%, 12/31/2025 | 16,354,839 | 15,666,627 | |||
103,237,081 |
Security Description | Principal Amount | Value | |||
INTERACTIVE MEDIA & SERVICES — 1.5% | |||||
Go Daddy Operating Co. LLC Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 2.25%, 4.77%, 2/15/2024 | $299,240 | $286,672 | |||
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.52%, 11/21/2024 | 8,891,603 | 8,424,794 | |||
LANDesk Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.76%, 1/20/2024 | 13,797,570 | 13,452,631 | |||
Rackspace Hosting, Inc. Senior Secured 2017 Incremental 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 5.58%, 11/3/2023 | 9,907,619 | 8,790,535 | |||
SMS Systems Maintenance Services, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 5.00%, 7.52%, 10/30/2023 | 1,945,114 | 1,481,943 | |||
32,436,575 | |||||
INTERNET & CATALOG RETAIL — 0.6% | |||||
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 5.02%, 8/18/2023 | 13,020,198 | 12,332,601 | |||
Spencer Gifts LLC Senior Secured Term Loan B1, 1 Month USD LIBOR + 4.25%, 6.72%, 7/16/2021 | 694,071 | 663,706 | |||
12,996,307 | |||||
IT SERVICES — 1.8% | |||||
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.46%, 2/27/2025 | 5,101,385 | 4,970,687 | |||
DigiCert, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 8.00%, 10.52%, 10/31/2025 | 6,400,000 | 6,232,000 | |||
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 4.00%, 6.52%, 10/31/2024 | 2,554,477 | 2,509,774 |
Security Description | Principal Amount | Value | |||
First Data Corp. Senior Secured 2024 USD Term Loan, 1 Month USD LIBOR + 2.00%, 4.50%, 4/26/2024 | $7,417,829 | $7,104,425 | |||
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%, 2/2/2024 | 933,197 | 899,756 | |||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.28%, 2/1/2023 | 11,885,897 | 11,343,663 | |||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%, 10/10/2025 | 6,000,000 | 5,790,000 | |||
38,850,305 | |||||
LIFE SCIENCES TOOLS & SERVICES — 1.1% | |||||
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 8/30/2024 | 4,232,312 | 4,023,363 | |||
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%, 8/18/2022 | 4,839,301 | 4,615,484 | |||
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 9/27/2024 | 16,772,975 | 15,284,373 | |||
23,923,220 | |||||
MACHINERY — 1.4% | |||||
Apex Tool Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%, 2/1/2022 | 589,956 | 570,192 | |||
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 6.05%, 7/19/2024 | 4,950,000 | 4,795,313 | |||
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 8/5/2024 | 2,949,859 | 2,845,376 |
Security Description | Principal Amount | Value | |||
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.80%, 5/31/2025 | $4,987,469 | $4,750,564 | |||
Pro Mach Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.51%, 3/7/2025 | 7,066,659 | 6,742,794 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 3/28/2025 | 12,721,550 | 11,703,826 | |||
31,408,065 | |||||
MACHINERY-CONSTR&MINING — 0.4% | |||||
Brookfield WEC Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 8/1/2025 | 3,526,316 | 3,427,456 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.27%, 8/3/2026 | 5,484,423 | 5,385,018 | |||
8,812,474 | |||||
MEDIA — 5.7% | |||||
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.22%, 1/31/2026 | 2,406,927 | 2,229,416 | |||
CBS Radio, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.26%, 11/18/2024 | 7,746,960 | 7,316,035 | |||
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 11/29/2024 | 6,840,278 | 6,395,660 | |||
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.25%, 9/13/2024 | 19,757,628 | 18,794,444 | |||
Mission Broadcasting, Inc. Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.76%, 1/17/2024 | 2,399 | 2,278 |
Security Description | Principal Amount | Value | |||
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 2/1/2024 | $25,883,506 | $24,498,350 | |||
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 5.27%, 3/15/2024 | 17,709,708 | 16,115,834 | |||
Virgin Media Bristol LLC Senior Secured Term Loan K, 1 Month USD LIBOR + 2.50%, 5.01%, 1/15/2026 | 17,371,485 | 16,498,655 | |||
WideOpenWest Finance LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.72%, 8/18/2023 | 24,168,883 | 22,446,850 | |||
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%, 5.01%, 4/15/2025 | 11,089,036 | 10,477,420 | |||
124,774,942 | |||||
METALS & MINING — 0.1% | |||||
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.25%, 2/27/2023 | 2,033,684 | 2,020,658 | |||
PLZ Aeroscience Corp. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 6.02%, 7/31/2022 | 1,271,559 | 1,268,380 | |||
3,289,038 | |||||
MULTILINE RETAIL — 0.7% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%, 12/13/2023 | 14,961,929 | 14,382,154 | |||
OIL, GAS & CONSUMABLE FUELS — 0.8% | |||||
BCP Raptor LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 6.87%, 6/24/2024 | 1,804,441 | 1,692,791 | |||
EG Finco, Ltd. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.81%, 2/7/2025 | 10,157,660 | 9,814,839 |
Security Description | Principal Amount | Value | |||
Lucid Energy Group II LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.50%, 2/17/2025 | $6,925,896 | $6,394,922 | |||
17,902,552 | |||||
OIL-FIELD SERVICES — 0.0% (b) | |||||
MRC Global (US) Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 9/20/2024 | 838,244 | 813,097 | |||
PAPER&RELATED PRODUCTS — 0.5% | |||||
Flex Acquisition Co., Inc. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 5.77%, 6/29/2025 | 11,875,000 | 11,281,250 | |||
PHARMACEUTICALS — 3.6% | |||||
Akorn, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 8.06%, 4/16/2021 | 4,579,232 | 3,754,970 | |||
Alvogen Pharma US, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.75%, 7.27%, 4/2/2022 | 3,438,769 | 3,377,525 | |||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.06%, 5/4/2025 | 6,708,757 | 6,378,887 | |||
Arbor Pharmaceuticals, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.80%, 7/5/2023 | 1,591,381 | 1,432,243 | |||
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.81%, 4/29/2024 | 26,914,508 | 25,568,782 | |||
Horizon Pharma, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.56%, 3/29/2024 | 9,054,087 | 8,661,773 | |||
Pearl Intermediate Parent LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.25%, 2/14/2025 | 14,082,510 | 13,395,988 |
Security Description | Principal Amount | Value | |||
Senior Secured 2018 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75%, 5.25%, 2/14/2025 | $3,172,334 | $3,017,683 | |||
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.51%, 6/2/2025 | 13,941,240 | 13,354,593 | |||
78,942,444 | |||||
POLLUTION CONTROL — 0.4% | |||||
Core & Main L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.74%, 8/1/2024 | 2,332,461 | 2,260,551 | |||
EnergySolutions LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.55%, 5/9/2025 | 7,420,090 | 6,900,684 | |||
9,161,235 | |||||
PROFESSIONAL SERVICES — 0.6% | |||||
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 9.02%, 7/25/2022 | 15,753,373 | 12,478,010 | |||
RECYCLING — 0.6% | |||||
Gopher Resource LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 3/6/2025 | 6,066,630 | 5,869,465 | |||
Tunnel Hill Partners, LP Senior Secured Term Loan B, Zero Coupon, 10/1/2025 | 7,743,363 | 7,641,731 | |||
13,511,196 | |||||
RETAIL-RESTAURANTS — 1.2% | |||||
Flynn Restaurant Group LP Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 6/27/2025 | 9,099,943 | 8,644,946 | |||
Fogo de Chao Churrascaria Holdings LLC Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%, 6.77%, 4/5/2025 | 10,780,673 | 10,349,446 |
Security Description | Principal Amount | Value | |||
IRB Holding Corp. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.76%, 2/5/2025 | $1,978,511 | $1,891,456 | |||
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.75%, 3/14/2025 | 2,481,250 | 2,372,708 | |||
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 1/31/2025 | 2,190,593 | 2,108,446 | |||
25,367,002 | |||||
ROAD & RAIL — 0.2% | |||||
Direct ChassisLink, Inc. Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.53%, 6/15/2023 | 5,000,000 | 4,825,000 | |||
SEMICONDUCTOR EQUIPMENT — 0.6% | |||||
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 5.02%, 6/21/2024 | 1,700,039 | 1,587,412 | |||
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 5.02%, 6/21/2024 | 11,480,786 | 10,720,184 | |||
12,307,596 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4% | |||||
Cypress Semiconductor Corp. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.53%, 7/5/2021 | 935,115 | 909,988 | |||
MACOM Technology Solutions Holdings, Inc. Senior Secured 2017 Add on Term Loan, 1 Month USD LIBOR + 2.25%, 4.77%, 5/17/2024 | 7,629,314 | 7,224,961 | |||
8,134,949 |
Security Description | Principal Amount | Value | |||
SOFTWARE — 10.1% | |||||
Applied Systems, Inc. Senior Secured 2017 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%, 9.52%, 9/19/2025 | $454,545 | $447,159 | |||
BMC Software Finance, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 7.05%, 10/2/2025 | 14,000,000 | 13,538,490 | |||
CCC Information Services, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.53%, 4/26/2024 | 1,507,180 | 1,435,589 | |||
Compuware Corpo. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.01%, 8/22/2025 | 193,548 | 191,129 | |||
Dynatrace LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 8/22/2025 | 2,800,000 | 2,719,500 | |||
Epicor Software Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 6/1/2022 | 4,673,691 | 4,483,238 | |||
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 2/26/2025 | 6,498,766 | 6,284,306 | |||
GlobalLogic Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.77%, 8/1/2025 | 4,112,729 | 3,973,924 | |||
Help/Systems LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 3/28/2025 | 2,779,512 | 2,675,281 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 9.52%, 7/7/2025 | 2,079,284 | 2,058,491 | |||
Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.50%, 6.02%, 7/1/2024 | 4,560,375 | 4,433,825 | |||
Imperva, Inc.: | |||||
Senior Secured 1st Lien Term Loan, Zero Coupon, 1/12/2026 | 1,409,091 | 1,389,716 |
Security Description | Principal Amount | Value | |||
Senior Secured 2nd Lien Term Loan, Zero Coupon, 1/11/2027 | $2,941,177 | $2,941,176 | |||
Informatica Corp. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 8/5/2022 | 1,932,184 | 1,880,015 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.54%, 11/1/2023 | 9,704,205 | 9,253,347 | |||
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%, 9/30/2024 | 6,044,507 | 5,900,950 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 11/29/2024 | 22,130,611 | 21,383,814 | |||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 9.77%, 12/1/2025 | 12,848,485 | 12,535,367 | |||
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%, 9/5/2025 | 3,485,646 | 3,285,221 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 6 Month USD LIBOR + 3.50%, 6.37%, 4/26/2024 | 5,335,482 | 5,162,079 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.01%, 2/9/2024 | 2,348,882 | 2,310,713 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.78%, 5/16/2025 | 15,000,000 | 14,550,000 | |||
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 10.78%, 5/16/2026 | 12,000,000 | 11,890,020 | |||
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 10.77%, 11/20/2026 | 9,000,000 | 8,947,485 | |||
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 2/5/2024 | 17,906,344 | 17,282,487 |
Security Description | Principal Amount | Value | |||
Solera Holdings, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%, 3/3/2023 | $2,769,487 | $2,620,641 | |||
SonicWALL, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.14%, 5/16/2025 | 16,935,484 | 16,208,613 | |||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 6.05%, 9/30/2022 | 1,324,136 | 1,279,917 | |||
SS&C Technologies Holdings Europe S.A.R.L. Senior Secured 2018 Term Loan B4, 1 Month USD LIBOR + 2.25%, 4.77%, 4/16/2025 | 6,127,222 | 5,798,987 | |||
SS&C Technologies, Inc.: | |||||
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.49%, 4/16/2025 | 16,153,447 | 15,288,107 | |||
Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.25%, 4.77%, 4/16/2025 | 2,036,240 | 1,928,075 | |||
Veritas Bermuda, Ltd. Senior Secured USD Repriced Term Loan B, 1 Month USD LIBOR + 4.50%, 7.30%, 1/27/2023 | 16,802,736 | 14,444,388 | |||
Vero Parent, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.02%, 8/16/2024 | 3,273,486 | 3,243,828 | |||
221,765,878 | |||||
SPECIALTY RETAIL — 2.5% | |||||
Bass Pro Group LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.52%, 9/25/2024 | 22,719,079 | 21,833,035 | |||
Party City Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.03%, 8/19/2022 | 1,688,923 | 1,634,742 | |||
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.78%, 1/26/2023 | 10,000,000 | 7,394,450 |
Security Description | Principal Amount | Value | |||
PetSmart, Inc. Senior Secured Term Loan B2, Zero Coupon, 3/11/2022 | $5,000,000 | $3,967,850 | |||
Staples, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.00%, 6.54%, 9/12/2024 | 20,361,934 | 19,568,735 | |||
54,398,812 | |||||
TELECOM SERVICES — 0.0% (b) | |||||
Securus Technologies Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 7.02%, 11/1/2024 | 1,022,556 | 986,767 | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 7.02%, 11/30/2025 | 2,443,662 | 2,374,946 | |||
THRIFTS & MORTGAGE FINANCE — 0.2% | |||||
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.78%, 11/1/2024 | 4,201,081 | 4,001,530 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $1,891,736,153) | 1,807,489,589 | ||||
CORPORATE BONDS & NOTES — 2.3% | |||||
COMMERCIAL SERVICES — 0.1% | |||||
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (c) | 2,122,000 | 2,187,846 | |||
COMPUTERS — 0.1% (b) | |||||
Banff Merger Sub, Inc. 9.75%, 9/1/2026 (c) | 1,122,000 | 1,026,787 | |||
ENGINEERING & CONSTRUCTION — 0.0% (b) | |||||
frontdoor, Inc. 6.75%, 8/15/2026 (c) | 250,000 | 238,072 | |||
ENTERTAINMENT — 0.1% | |||||
AMC Entertainment Holdings, Inc.: | |||||
5.75%, 6/15/2025 | 2,000,000 | 1,773,320 |
Security Description | Principal Amount | Value | |||
5.88%, 11/15/2026 | $1,000,000 | $857,010 | |||
2,630,330 | |||||
FOOD — 0.0% (b) | |||||
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 5.75%, 3/15/2025 | 24,000 | 21,000 | |||
HEALTH CARE PRODUCTS — 0.1% | |||||
Avantor, Inc. 6.00%, 10/1/2024 (c) | 776,000 | 762,156 | |||
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021 (c) | 830,000 | 840,815 | |||
1,602,971 | |||||
HEALTH CARE SERVICES — 0.3% | |||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (c) | 2,000,000 | 1,865,020 | |||
Tenet Healthcare Corp.: | |||||
6.75%, 6/15/2023 | 2,727,000 | 2,560,026 | |||
8.13%, 4/1/2022 | 2,000,000 | 2,002,560 | |||
6,427,606 | |||||
HOLDING COMPANIES-DIVERS — 0.1% | |||||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (c) | 1,688,000 | 1,505,527 | |||
INSURANCE — 0.4% | |||||
AssuredPartners, Inc. 7.00%, 8/15/2025 (c) | 5,410,000 | 4,887,718 | |||
HUB International, Ltd. 7.00%, 5/1/2026 (c) | 3,964,000 | 3,581,514 | |||
8,469,232 | |||||
LODGING — 0.0% (b) | |||||
Boyd Gaming Corp. 6.38%, 4/1/2026 | 670,000 | 646,805 | |||
MACHINERY, CONSTRUCTION & MINING — 0.2% | |||||
Terex Corp. 5.63%, 2/1/2025 (c) | 4,000 | 3,705 | |||
Vertiv Group Corp. 9.25%, 10/15/2024 (c) | 4,814,000 | 4,356,478 | |||
4,360,183 |
Security Description | Principal Amount | Value | |||
MACHINERY-DIVERSIFIED — 0.0% (b) | |||||
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026 (c) | $500,000 | $430,550 | |||
MEDIA — 0.0% (b) | |||||
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (c) | 1,000,000 | 939,280 | |||
PACKAGING & CONTAINERS — 0.1% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024 (c) | 320,000 | 317,149 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (c) | 1,478,000 | 1,317,474 | |||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 7.00%, 7/15/2024 (c) | 1,000,000 | 945,010 | |||
2,579,633 | |||||
PHARMACEUTICALS — 0.2% | |||||
Bausch Health Cos., Inc. 6.50%, 3/15/2022 (c) | 734,000 | 737,897 | |||
Endo Finance LLC 5.75%, 1/15/2022 (c) | 198,000 | 164,847 | |||
Endo Finance LLC/Endo Finco, Inc. 7.25%, 1/15/2022 (c) | 621,000 | 543,189 | |||
NVA Holdings, Inc. 6.88%, 4/1/2026 (c) | 2,998,000 | 2,665,852 | |||
4,111,785 | |||||
RETAIL — 0.5% | |||||
CEC Entertainment, Inc. 8.00%, 2/15/2022 | 1,148,000 | 1,013,833 | |||
IRB Holding Corp. 6.75%, 2/15/2026 (c) | 8,000,000 | 6,955,120 | |||
Party City Holdings, Inc. 6.63%, 8/1/2026 (c) | 2,500,000 | 2,273,600 | |||
10,242,553 | |||||
SOFTWARE — 0.0% (b) | |||||
Riverbed Technology, Inc. 8.88%, 3/1/2023 (c) | 500,000 | 360,375 | |||
TELECOMMUNICATIONS — 0.1% | |||||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 1,053,000 | 967,370 |
Security Description | Principal Amount | Value | |||
Intelsat Jackson Holdings SA 8.50%, 10/15/2024 (c) | $630,000 | $607,950 | |||
1,575,320 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $53,003,083) | 49,355,855 |
Shares | |||
SHORT-TERM INVESTMENT — 13.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (d) (e) (Cost $286,499,216) | 286,499,216 | 286,499,216 | |
TOTAL INVESTMENTS — 97.7% (Cost $2,231,238,452) | 2,143,344,660 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.3% | 49,705,358 | ||
NET ASSETS — 100.0% | $2,193,050,018 |
(a) | The rate shown represents the rate at December 31, 2018. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.8% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2018. |
LIBOR | = London Interbank Offered Rate |
LP | = Limited Partnership |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Access CIG LLC | 640,413 | 624,005 | (16,408) | |||
Heartland Dental LLC | 850,069 | 817,129 | (32,940) | |||
GlobalLogic Holdings, Inc. | 586,191 | 569,126 | (17,065) | |||
Pearl Intermediate Parent LLC | 985,674 | 941,770 | (43,904) |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
VT Buyer Acquisition Corp. | 427,364 | 422,691 | (4,673) | |||
$(114,990) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $49,355,855 | $— | $49,355,855 | ||||
Senior Floating Rate Loans | — | 1,807,489,589 | — | 1,807,489,589 | ||||
Short-Term Investment | 286,499,216 | — | — | 286,499,216 | ||||
TOTAL INVESTMENTS | $286,499,216 | $1,856,845,444 | $— | $2,143,344,660 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (114,990) | — | (114,990) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $— | $(114,990) | $— | $(114,990) |
(a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/18 | Value at 12/31/18 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 196,673,118 | $196,673,118 | $1,235,395,031 | $1,145,568,933 | $— | $— | 286,499,216 | $286,499,216 | $2,277,597 |
Blackstone / GSO Senior Loan Portfolio | |
ASSETS | |
Investments in unaffiliated issuers, at value | $1,856,845,444 |
Investments in affiliated issuers, at value | 286,499,216 |
Total Investments | 2,143,344,660 |
Receivable for investments sold | 232,235,113 |
Dividends receivable — affiliated issuers | 448,982 |
Interest receivable — unaffiliated issuers | 12,567,386 |
Other Receivable | 216,026 |
TOTAL ASSETS | 2,388,812,167 |
LIABILITIES | |
Due to custodian | 6,692,276 |
Payable for investments purchased | 136,613,784 |
Payable for fund shares repurchased | 51,651,524 |
Unrealized depreciation on unfunded loan commitments | 114,990 |
Advisory fee payable | 687,817 |
Trustees’ fees and expenses payable | 599 |
Accrued expenses and other liabilities | 1,159 |
TOTAL LIABILITIES | 195,762,149 |
NET ASSETS | $2,193,050,018 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,944,739,236 |
Investments in affiliated issuers | 286,499,216 |
Total cost of investments | $2,231,238,452 |
Blackstone / GSO Senior Loan Portfolio | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $92,034,230 |
Dividend income — affiliated issuers | 2,277,597 |
TOTAL INVESTMENT INCOME (LOSS) | 94,311,827 |
EXPENSES | |
Advisory fee | 4,884,230 |
Trustees’ fees and expenses | 26,283 |
TOTAL EXPENSES | 4,910,513 |
NET INVESTMENT INCOME (LOSS) | 89,401,314 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (47,295,884) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (80,057,499) |
Unfunded loan commitments | (233,547) |
Net change in unrealized appreciation/depreciation | (80,291,046) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (127,586,930) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(38,185,616) |
Blackstone / GSO Senior Loan Portfolio | |||
Six Months Ended 12/31/18 (Unaudited) | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $89,401,314 | $112,665,248 | |
Net realized gain (loss) | (47,295,884) | (11,863,247) | |
Net change in unrealized appreciation/depreciation | (80,291,046) | (16,510,979) | |
Net increase (decrease) in net assets resulting from operations | (38,185,616) | 84,291,022 | |
CAPITAL TRANSACTIONS | |||
Contributions | 280,085,172 | 1,509,849,498 | |
Withdrawals | (1,242,812,661) | (225,415,777) | |
Other capital | 3,300,164 | 850,599 | |
Net increase (decrease) in net assets from capital transactions | (959,427,325) | 1,285,284,320 | |
Net increase (decrease) in net assets during the period | (997,612,941) | 1,369,575,342 | |
Net assets at beginning of period | 3,190,662,959 | 1,821,087,617 | |
NET ASSETS AT END OF PERIOD | $2,193,050,018 | $3,190,662,959 |
Blackstone / GSO Senior Loan Portfolio | |||||||||||
Six Months Ended 12/31/18 (Unaudited) | 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 | (1.47)%(a) | 4.43% | 6.19% | (0.20)% | 2.98% | 4.00% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,193,050 | $3,190,663 | $1,821,088 | $802,489 | $672,264 | $610,477 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.30%(b) | 0.30% | 0.30% | 0.30% | 0.31% | 0.30% | |||||
Net investment income (loss) | 5.49%(b) | 4.70% | 4.31% | 4.54% | 4.49% | 3.63% | |||||
Portfolio turnover rate | 41%(a) | 90% | 68% | 88% | 65% | 77% |
(a) | Not annualized. |
(b) | Annualized. |
Annual Rate | |
Blackstone / GSO Senior Loan Portfolio | 0.30% |
Purchases | Sales | ||
Blackstone / GSO Senior Loan Portfolio | $1,216,609,413 | $2,393,570,349 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Blackstone / GSO Senior Loan Portfolio | $2,231,238,452 | $314,310 | $88,208,102 | $(87,893,792) |
Blackstone / GSO Senior Loan Portfolio | |
Annualized Expense Ratio | 0.30% |
Actual: | |
Ending Account Value | $985.30 |
Expenses Paid During Period(a) | 1.50 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,023.70 |
Expenses Paid During Period(a) | 1.53 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
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
One Iron Street
Boston, MA 02210
Item 2. Code of Ethics.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
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 thisForm N-CSR.
(b) Not applicable to the registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities byClosed-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 FormN-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 Rule30a-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 Rule30a-3(d) under the 1940 Act) that occurred during the last 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 forClosed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
(a)(2) Separate certifications required by Rule30a-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 Rule30a-2(b) under the Investment Company Act of 1940, as amended, Rule13a-14(b) or Rule15d-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: | March 6, 2019 |
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: | March 6, 2019 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | March 6, 2019 |