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)
Sean O’Malley, Esq.
Senior Vice President and Deputy General 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) 664-1465
Date of fiscal year end: June 30
Date of reporting period: June 30, 2019
Item 1. Report to Shareholders.
Blackstone / GSO Senior Loan Portfolio |
TABLE OF CONTENTS
1 | |
3 | |
32 | |
35 | |
36 | |
43 | |
45 |
Description | % of Net Assets | ||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan 6.15% 10/10/2025 | 2.0% | ||
CenturyLink, Inc. Senior Secured 2017 Term Loan B 5.15% 1/31/2025 | 1.8 | ||
Univision Communications, Inc. Senior Secured Term Loan C5 5.15% 3/15/2024 | 1.7 | ||
Bass Pro Group LLC Senior Secured Term Loan B 7.40% 9/25/2024 | 1.6 | ||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan 5.90% 6/13/2024 | 1.4 | ||
TOTAL | 8.5% |
% of Net Assets | |||
Software | 11.8% | ||
Health Care Providers & Services | 10.0 | ||
Media | 9.5 | ||
Commercial Services & Supplies | 9.3 | ||
Hotels, Restaurants & Leisure | 4.6 | ||
Insurance | 4.4 | ||
Pharmaceuticals | 4.2 | ||
Specialty Retail | 3.0 | ||
Computer Services | 3.0 | ||
Diversified Telecommunication Services | 2.1 | ||
Auto Components | 2.0 | ||
Containers & Packaging | 1.9 | ||
Diversified Financial Services | 1.9 | ||
IT Services | 1.8 | ||
Chemicals | 1.7 | ||
Aerospace & Defense | 1.5 | ||
Telecom Services | 1.5 | ||
Retail-Restaurants | 1.4 | ||
Electronic Equipment, Instruments & Components | 1.3 | ||
Machinery-Construction & Mining | 1.3 | ||
Diversified Operations | 1.3 | ||
Machinery | 1.2 | ||
Construction Materials | 1.1 | ||
Advertising Services | 1.0 | ||
Health Care Technology | 0.9 | ||
Interactive Media & Services | 0.9 | ||
Capital Markets | 0.9 | ||
Recycling | 0.9 | ||
Health Care Equipment & Supplies | 0.9 | ||
Life Sciences Tools & Services | 0.7 |
% of Net Assets | |||
Construction & Engineering | 0.7% | ||
Entertainment | 0.7 | ||
Food Products | 0.6 | ||
Electric Utilities | 0.6 | ||
Distributors | 0.5 | ||
Pollution Control | 0.5 | ||
Internet & Catalog Retail | 0.5 | ||
Oil, Gas & Consumable Fuels | 0.5 | ||
Pipelines | 0.5 | ||
Food & Beverage | 0.5 | ||
Multiline Retail | 0.4 | ||
Professional Services | 0.3 | ||
Financial Services | 0.3 | ||
Semiconductor Equipment | 0.3 | ||
Metals & Mining | 0.3 | ||
Paper&Related Products | 0.3 | ||
Thrifts & Mortgage Finance | 0.3 | ||
Retail-Petroleum Product | 0.3 | ||
Household Products | 0.2 | ||
Leisure Equipment & Products | 0.2 | ||
Hand/Machine Tools and Related Products | 0.2 | ||
Energy Equipment & Services | 0.1 | ||
Building Products | 0.1 | ||
Electrical Equipment | 0.1 | ||
Food & Staples Retailing | 0.1 | ||
Telecommunication Equip | 0.1 | ||
Diagnostic Equipment | 0.1 | ||
Distribution/Wholesale | 0.1 | ||
Electric-Generation | 0.1 | ||
Diversified Consumer Services | 0.0 * | ||
Oil-Field Services | 0.0 * | ||
Air Freight & Logistics | 0.0 * | ||
Short-Term Investment | 3.3 | ||
Liabilities in Excess of Other Assets | (0.8) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 82.0% (a) | |||||
ADVERTISING SERVICES — 1.0% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 8/15/2025 | $7,393,921 | $7,393,957 | |||
Red Ventures LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 11/8/2024 | 14,015,105 | 14,001,511 | |||
21,395,468 | |||||
AEROSPACE & DEFENSE — 1.1% | |||||
TransDigm, Inc.: | |||||
Senior Secured 2018 Term Loan E, 3 Month USD LIBOR + 2.50%, 4.83%, 5/30/2025 | 17,103,508 | 16,738,263 | |||
Senior Secured 2018 Term Loan F, 3 Month USD LIBOR + 2.50%, 4.83%, 6/9/2023 | 8,006,567 | 7,872,737 | |||
24,611,000 | |||||
AIR FREIGHT & LOGISTICS — 0.0% (b) | |||||
XPO Logistics, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.50%, 4.88%, 2/24/2025 | 936,508 | 939,102 | |||
AUTO COMPONENTS — 1.6% | |||||
Panther BF Aggregator 2 L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 4/30/2026 | 22,000,000 | 21,869,430 | |||
USI, Inc. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.00%, 5.33%, 5/16/2024 | 14,508,306 | 14,170,189 | |||
36,039,619 | |||||
BUILDING PRODUCTS — 0.1% | |||||
AZEK Co. LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.75%, 5.93%, 5/5/2024 | 1,974,747 | 1,945,126 |
Security Description | Principal Amount | Value | |||
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.33%, 2/29/2024 | $653,723 | $652,703 | |||
2,597,829 | |||||
CAPITAL MARKETS — 0.9% | |||||
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 4.00%, 6.20%, 12/3/2022 | 3,789,420 | 3,801,281 | |||
Deerfield Dakota Holdings, LLC. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 2/13/2025 | 17,503,251 | 17,009,396 | |||
20,810,677 | |||||
CHEMICALS — 1.7% | |||||
Alpha 3 B.V. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%, 5.33%, 1/31/2024 | 3,871,416 | 3,796,892 | |||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 11/21/2024 | 1,061,802 | 1,067,445 | |||
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.82%, 8/1/2025 | 9,875,126 | 9,801,062 | |||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.67%, 10/1/2025 | 20,321,352 | 20,054,635 | |||
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 5.98%, 10/28/2024 | 3,447,009 | 3,408,230 | |||
38,128,264 | |||||
COMMERCIAL SERVICES & SUPPLIES — 8.0% | |||||
Allied Universal Holdco LLC: | |||||
Senior Secured 2019 Delayed Draw Term Loan, 6.65%, 6/26/2026 | 1,981,982 | 1,977,027 | |||
Senior Secured 2019 Term Loan B, 6.15%, 6/26/2026 | 20,018,018 | 19,967,973 |
Security Description | Principal Amount | Value | |||
Ancestry.com Operations, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 10/19/2023 | $4,603,564 | $4,601,653 | |||
APX Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 5.00%, 7.33%, 4/1/2024 | 4,253,588 | 4,072,811 | |||
Asurion LLC: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.90%, 8/4/2025 | 12,446,519 | 12,647,531 | |||
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 5.40%, 8/4/2022 | 6,452,316 | 6,445,380 | |||
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.40%, 11/3/2023 | 29,670,889 | 29,647,004 | |||
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.40%, 11/3/2024 | 18,506,300 | 18,492,143 | |||
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.41%, 2/9/2026 | 3,787,975 | 3,810,703 | |||
Comet Acquisition, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 10/24/2025 | 4,070,455 | 4,024,662 | |||
Equian LLC Senior Secured Add on Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 5/20/2024 | 4,346,650 | 4,348,280 | |||
ExamWorks Group, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 7/27/2023 | 2,992,328 | 2,994,198 | |||
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 5/30/2025 | 9,638,966 | 9,498,719 | |||
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 2/21/2025 | 4,842,113 | 4,831,726 | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.83%, 3/13/2025 | 4,998,581 | 4,928,601 |
Security Description | Principal Amount | Value | |||
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 2/27/2025 | $7,418,683 | $7,358,406 | |||
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.32%, 12/4/2024 | 2,817,974 | 2,781,862 | |||
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 5/2/2022 | 1,321,170 | 1,313,798 | |||
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.41%, 1/29/2025 | 900,650 | 884,889 | |||
Southern Graphics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.73%, 12/31/2022 | 152,027 | 127,608 | |||
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 6.83%, 7/30/2025 | 5,550,303 | 5,524,882 | |||
TruGreen, Ltd. Partnership Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 3/19/2026 | 1,660,333 | 1,666,567 | |||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%, 8/27/2025 | 21,710,937 | 21,768,689 | |||
VT Topco, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 8/1/2025 | 3,416,047 | 3,414,970 | |||
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 8/1/2025 | 708,093 | 707,870 | |||
177,837,952 | |||||
COMPUTER SERVICES — 2.4% | |||||
Carbonite, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 3/26/2026 | 4,000,000 | 4,014,160 | |||
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 7.40%, 1/4/2026 | 23,215,606 | 22,141,884 |
Security Description | Principal Amount | Value | |||
Dell International LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.41%, 9/7/2023 | $974,760 | $970,905 | |||
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.15%, 7/12/2025 | 16,115,242 | 15,933,946 | |||
Perforce Software, Inc. Senior Secured Term Loan B, 4.50%, 7/1/2026 | 10,080,645 | 10,080,645 | |||
Tempo Acquisition LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 5/1/2024 | 997,456 | 994,962 | |||
54,136,502 | |||||
CONSTRUCTION & ENGINEERING — 0.6% | |||||
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.45%, 1/22/2023 | 4,911,839 | 4,870,383 | |||
Dynasty Acquisition Co., Inc. Senior Secured 2019 Term Loan B1, 3 Month USD LIBOR + 4.00%, 6.33%, 4/6/2026 | 3,333,042 | 3,351,490 | |||
MX Holdings US, Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 3.00%, 5.40%, 7/31/2025 | 1,989,802 | 1,988,558 | |||
Pike Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.91%, 3/23/2025 | 3,513,639 | 3,522,740 | |||
13,733,171 | |||||
CONSTRUCTION MATERIALS — 1.1% | |||||
ERM Emerald US, Inc. Senior Secured USD Term Loan, 3.75%, 6/26/2026 | 5,154,639 | 5,167,526 | |||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 11/15/2023 | 15,000,000 | 14,760,450 |
Security Description | Principal Amount | Value | |||
Tamko Building Products, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%, 4/23/2026 | $4,477,612 | $4,471,903 | |||
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00%, 6.59%, 9/27/2024 | 874,762 | 867,261 | |||
25,267,140 | |||||
CONTAINERS & PACKAGING — 1.9% | |||||
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.44%, 11/7/2025 | 4,584,022 | 4,460,506 | |||
Berry Global, Inc. Senior Secured USD Term Loan U, 2.50%, 5/15/2026 | 20,297,872 | 20,183,697 | |||
Charter NEX US Holdings, Inc. Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 5/16/2024 | 5,397,727 | 5,390,305 | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/5/2023 | 5,121,293 | 5,090,667 | |||
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.65%, 10/17/2024 | 7,613,572 | 7,228,173 | |||
42,353,348 | |||||
DIAGNOSTIC EQUIPMENT — 0.1% | |||||
Lifescan Global Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.66%, 10/1/2024 | 1,836,752 | 1,758,690 | |||
DISTRIBUTION/WHOLESALE — 0.0% (b) | |||||
Univar USA, Inc. Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 7/1/2024 | 951,203 | 951,503 |
Security Description | Principal Amount | Value | |||
DISTRIBUTORS — 0.4% | |||||
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.08%, 5/2/2023 | $5,454,660 | $5,439,333 | |||
Spin Holdco, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.85%, 11/14/2022 | 2,481,013 | 2,436,044 | |||
7,875,377 | |||||
DIVERSIFIED CONSUMER SERVICES — 0.0% (b) | |||||
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.75%, 7.35%, 11/29/2024 | 175,922 | 173,247 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.8% | |||||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.64%, 7/21/2025 | 6,977,516 | 6,965,061 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.14%, 7/20/2026 | 769,231 | 775,000 | |||
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%, 5/23/2025 | 2,207,432 | 2,192,532 | |||
LDiscovery LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.88%, 8.47%, 12/9/2022 | 3,203,463 | 3,187,462 | |||
Millennium Trust Co. LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.40%, 2/26/2026 | 6,100,096 | 6,013,658 | |||
UFC Holdings LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 4/29/2026 | 292,299 | 292,116 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%, 5/18/2025 | 22,138,365 | 21,455,728 | |||
40,881,557 | |||||
DIVERSIFIED OPERATIONS — 1.3% | |||||
Travelport Finance (Luxembourg) S.a.r.l.: |
Security Description | Principal Amount | Value | |||
Senior Secured 2019 2nd Lien Term Loan, 1 Month USD LIBOR + 9.00%, 11.54%, 3/31/2027 | $15,000,000 | $14,475,000 | |||
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 7.54%, 5/29/2026 | 15,000,000 | 14,151,525 | |||
28,626,525 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.1% | |||||
CenturyLink, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 1/31/2025 | 40,734,021 | 39,862,924 | |||
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%, 10/4/2023 | 6,467,540 | 6,203,761 | |||
Telesat Canada Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%, 4.83%, 11/17/2023 | 954,402 | 945,259 | |||
47,011,944 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.83%, 12/2/2024 | 2,293,102 | 2,290,236 | |||
ELECTRIC-GENERATION — 0.1% | |||||
1199169 B.C. ULC Senior Secured 2019 Term Loan B2, 3 Month USD LIBOR + 4.00%, 6.33%, 4/6/2026 | 1,791,958 | 1,801,876 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.2% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 7/26/2024 | 9,559,246 | 9,517,424 | |||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 2/12/2025 | 15,678,598 | 15,423,821 |
Security Description | Principal Amount | Value | |||
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 4.94%, 9/28/2024 | $1,399,601 | $1,389,986 | |||
26,331,231 | |||||
ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.08%, 10/31/2024 | 2,262,857 | 2,260,639 | |||
ENTERTAINMENT — 0.3% | |||||
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.23%, 4/22/2026 | 997,500 | 996,442 | |||
Crown Finance US, Inc. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.25%, 4.65%, 2/28/2025 | 536,335 | 528,317 | |||
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 5/29/2026 | 5,105,263 | 5,119,609 | |||
Six Flags Theme Parks, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.41%, 4/17/2026 | 791,557 | 793,286 | |||
7,437,654 | |||||
FINANCIAL SERVICES — 0.3% | |||||
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.64%, 10/31/2025 | 4,030,839 | 3,975,416 | |||
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 2.75%, 5.08%, 6/16/2023 | 2,976,107 | 2,963,086 | |||
6,938,502 | |||||
FOOD & STAPLES RETAILING — 0.1% | |||||
Mastronardi Produce, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 5/1/2025 | 2,349,684 | 2,342,341 |
Security Description | Principal Amount | Value | |||
FOOD PRODUCTS — 0.6% | |||||
Chobani LLC Senior Secured 2017 Term Loan B, 3.50%, 10/10/2023 | $5,984,667 | $5,898,637 | |||
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 4/6/2024 | 6,596,342 | 6,454,092 | |||
12,352,729 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.9% | |||||
Carestream Health, Inc.: | |||||
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.75%, 8.15%, 2/28/2021 | 3,999,468 | 3,879,483 | |||
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 11.90%, 6/7/2021 | 17,069,077 | 16,428,987 | |||
20,308,470 | |||||
HEALTH CARE PROVIDERS & SERVICES — 8.5% | |||||
ADMI Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 4/30/2025 | 2,333,220 | 2,303,471 | |||
Air Medical Group Holdings, Inc.: | |||||
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.65%, 3/14/2025 | 16,951,314 | 15,980,851 | |||
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.64%, 4/28/2022 | 2,559,181 | 2,417,518 | |||
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 7.03%, 2/11/2026 | 21,945,000 | 21,931,284 | |||
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 2/27/2026 | 1,534,615 | 1,539,603 | |||
Catalent Pharma Solutions, Inc. Senior Secured Term Loan B2, 1 Month USD LIBOR + 2.25%, 4.65%, 5/18/2026 | 1,152,955 | 1,154,396 | |||
Certara L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.83%, 8/15/2024 | 1,652,942 | 1,644,677 |
Security Description | Principal Amount | Value | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 6/7/2023 | $2,168,440 | $2,160,493 | |||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 10/10/2025 | 49,885,315 | 44,210,860 | |||
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.58%, 6/28/2024 | 3,626,471 | 3,563,008 | |||
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 4/30/2025 | 9,866,933 | 9,373,636 | |||
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.08%, 6/7/2023 | 11,254,906 | 10,790,641 | |||
Ortho-Clinical Diagnostics SA. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.68%, 6/30/2025 | 15,920,399 | 15,340,021 | |||
Phoenix Guarantor, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 6.92%, 3/5/2026 | 11,464,968 | 11,432,006 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.90%, 11/17/2025 | 6,310,944 | 6,284,439 | |||
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 5/15/2022 | 4,961,929 | 4,901,468 | |||
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%, 9/2/2024 | 6,886,038 | 6,667,957 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/6/2024 | 27,297,067 | 24,243,207 |
Security Description | Principal Amount | Value | |||
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 6/23/2024 | $2,025,316 | $1,988,182 | |||
187,927,718 | |||||
HEALTH CARE TECHNOLOGY — 0.9% | |||||
Agiliti Health, Inc Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.50%, 1/4/2026 | 2,702,703 | 2,699,324 | |||
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 3/1/2024 | 15,747,587 | 15,653,180 | |||
Press Ganey Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 10/23/2023 | 2,503,884 | 2,504,047 | |||
20,856,551 | |||||
HOTELS, RESTAURANTS & LEISURE — 4.6% | |||||
1011778 BC ULC Senior Secured Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.65%, 2/16/2024 | 838,435 | 833,547 | |||
Alterra Mountain Company. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.40%, 7/31/2024 | 2,101,266 | 2,097,001 | |||
Big Jack Holdings L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%, 4/5/2024 | 6,755,874 | 6,671,425 | |||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 12/22/2024 | 10,972,152 | 10,799,560 | |||
CEC Entertainment, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 2/14/2021 | 12,412,615 | 12,342,794 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%, 2/1/2024 | 25,346,487 | 24,864,904 |
Security Description | Principal Amount | Value | |||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 1 Month USD LIBOR + 2.75%, 5.14%, 10/4/2023 | $11,864,621 | $11,783,764 | |||
Hilton Worldwide Finance LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 4.15%, 6/22/2026 | 2,965,218 | 2,970,273 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 2 Month USD LIBOR + 2.75%, 5.27%, 8/14/2024 | 25,639,277 | 25,284,942 | |||
SeaWorld Parks & Entertainment, Inc. Senior Secured Term Loan B5, 1 Month USD LIBOR + 3.00%, 5.40%, 3/31/2024 | 3,966,992 | 3,963,084 | |||
Travel Leaders Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.38%, 1/25/2024 | 722,650 | 725,057 | |||
102,336,351 | |||||
HOUSEHOLD PRODUCTS — 0.2% | |||||
Champ Acquisition Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.50%, 7.83%, 12/19/2025 | 3,445,373 | 3,410,919 | |||
INSURANCE — 3.3% | |||||
Acrisure LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%, 11/22/2023 | 4,171,348 | 4,147,009 | |||
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 5/9/2025 | 11,435,746 | 11,136,815 | |||
Alliant Holdings Intermediate LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%, 5/9/2025 | 10,588,235 | 10,464,724 | |||
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 1/25/2024 | 992,366 | 986,784 |
Security Description | Principal Amount | Value | |||
Assured Partners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 10/22/2024 | $8,136,139 | $8,070,033 | |||
Broadstreet Partners, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 11/8/2023 | 1,398,335 | 1,396,804 | |||
Hub International, Ltd. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.59%, 4/25/2025 | 22,542,307 | 22,018,423 | |||
Hyperion Insurance Group Ltd. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.50%, 5.94%, 12/20/2024 | 1,476,270 | 1,475,856 | |||
NFP Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 1/8/2024 | 7,715,122 | 7,514,992 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 12/31/2025 | 5,237,211 | 5,173,134 | |||
72,384,574 | |||||
INTERACTIVE MEDIA & SERVICES — 0.9% | |||||
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.53%, 11/21/2024 | 8,891,603 | 8,645,484 | |||
Ivanti Software, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.67%, 1/20/2024 | 11,740,850 | 11,728,639 | |||
20,374,123 | |||||
INTERNET & CATALOG RETAIL — 0.5% | |||||
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 8/18/2023 | 11,020,198 | 10,756,705 |
Security Description | Principal Amount | Value | |||
IT SERVICES — 1.7% | |||||
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.19%, 2/27/2025 | $5,712,893 | $5,693,269 | |||
DigiCert, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 8.00%, 10.40%, 10/31/2025 | 7,652,788 | 7,614,524 | |||
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 4.00%, 6.40%, 10/31/2024 | 7,529,109 | 7,512,659 | |||
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B, 1 Month USD LIBOR + 2.75%, 5.34%, 2/2/2024 | 874,625 | 873,169 | |||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 2/1/2023 | 9,721,978 | 9,536,628 | |||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.16%, 10/10/2025 | 5,452,055 | 5,385,049 | |||
36,615,298 | |||||
LIFE SCIENCES TOOLS & SERVICES — 0.7% | |||||
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 8/30/2024 | 4,210,883 | 4,149,467 | |||
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%, 8/18/2022 | 720,435 | 717,326 | |||
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 9/27/2024 | 11,124,024 | 10,683,068 | |||
15,549,861 | |||||
MACHINERY — 1.2% | |||||
Apex Tool Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 2/1/2022 | 582,392 | 561,526 |
Security Description | Principal Amount | Value | |||
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.58%, 7/19/2024 | $4,925,000 | $4,801,875 | |||
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 8/5/2024 | 2,934,924 | 2,879,894 | |||
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.00%, 6.40%, 5/31/2025 | 4,962,406 | 4,785,620 | |||
Pro Mach Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.14%, 3/7/2025 | 7,031,059 | 6,787,925 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 3/28/2025 | 7,682,650 | 7,355,062 | |||
27,171,902 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.9% | |||||
Brookfield WEC Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 8/1/2025 | 7,488,684 | 7,488,160 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.15%, 8/3/2026 | 2,279,705 | 2,312,841 | |||
Senior Secured 2019 Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 3.50%, 8/1/2025 | 4,220,211 | 4,220,211 | |||
Vertiv Group Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.33%, 11/30/2023 | 6,000,000 | 5,715,000 | |||
19,736,212 | |||||
MEDIA — 6.1% | |||||
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.14%, 1/31/2026 | 2,394,771 | 2,280,277 |
Security Description | Principal Amount | Value | |||
CBS Radio, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 11/18/2024 | $3,185,097 | $3,186,435 | |||
CSC Holdings LLC: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.25%, 4.64%, 7/17/2025 | 1,000,000 | 985,700 | |||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.39%, 4/15/2027 | 3,571,429 | 3,581,250 | |||
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.08%, 11/29/2024 | 6,798,611 | 6,594,653 | |||
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 9/13/2024 | 16,672,780 | 16,408,099 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 2.75%, 6/20/2026 | 29,689,441 | 29,615,218 | |||
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 2/1/2024 | 20,777,228 | 20,334,466 | |||
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 5.15%, 3/15/2024 | 39,591,271 | 37,763,342 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan K, 1 Month USD LIBOR + 2.50%, 4.89%, 1/15/2026 | 371,485 | 370,556 | |||
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%, 4.89%, 4/15/2025 | 15,552,716 | 15,261,102 | |||
136,381,098 | |||||
METALS & MINING — 0.3% | |||||
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.15%, 2/27/2023 | 5,008,389 | 5,020,909 |
Security Description | Principal Amount | Value | |||
PLZ Aeroscience Corp. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 5.94%, 7/31/2022 | $1,258,573 | $1,255,232 | |||
6,276,141 | |||||
MULTILINE RETAIL — 0.4% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 12/13/2023 | 9,898,542 | 9,601,586 | |||
OIL, GAS & CONSUMABLE FUELS — 0.5% | |||||
BCP Raptor LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%, 6/24/2024 | 1,795,281 | 1,709,449 | |||
EG America LLC. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%, 2/7/2025 | 10,106,518 | 9,952,798 | |||
11,662,247 | |||||
OIL-FIELD SERVICES — 0.0% (b) | |||||
MRC Global (US) Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 9/20/2024 | 834,011 | 832,968 | |||
PAPER&RELATED PRODUCTS — 0.3% | |||||
Flex Acquisition Co., Inc. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 5.69%, 6/29/2025 | 6,768,705 | 6,441,134 | |||
PHARMACEUTICALS — 3.1% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.94%, 5/4/2025 | 1,700,168 | 1,692,381 | |||
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.69%, 4/29/2024 | 25,831,063 | 24,324,337 | |||
Horizon Pharma, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.94%, 5/22/2026 | 2,383,308 | 2,384,058 |
Security Description | Principal Amount | Value | |||
Pearl Intermediate Parent LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/14/2025 | $10,159,523 | $9,835,689 | |||
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/14/2025 | 2,179,605 | 2,110,117 | |||
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%, 6/2/2025 | 29,471,859 | 29,493,374 | |||
69,839,956 | |||||
PIPELINES — 0.5% | |||||
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 6.40%, 5/22/2026 | 10,306,122 | 10,269,639 | |||
POLLUTION CONTROL — 0.5% | |||||
Core & Main L.P. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 8/1/2024 | 4,275,681 | 4,272,346 | |||
EnergySolutions LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.08%, 5/9/2025 | 6,363,069 | 6,108,546 | |||
10,380,892 | |||||
PROFESSIONAL SERVICES — 0.3% | |||||
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.83%, 7/25/2022 | 9,255,211 | 7,369,508 | |||
RECYCLING — 0.5% | |||||
Gopher Resource LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 3/6/2025 | 6,036,068 | 6,010,928 | |||
Tunnel Hill Partners LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 2/6/2026 | 4,731,504 | 4,728,547 | |||
10,739,475 |
Security Description | Principal Amount | Value | |||
RETAIL-RESTAURANTS — 0.9% | |||||
Flynn Restaurant Group L.P. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 6/27/2025 | $9,054,214 | $8,796,758 | |||
Fogo De Chao, Inc. Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%, 6.65%, 4/7/2025 | 5,527,344 | 5,534,253 | |||
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 3/14/2025 | 2,357,639 | 2,334,652 | |||
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 1/31/2025 | 2,179,557 | 2,158,851 | |||
18,824,514 | |||||
SEMICONDUCTOR EQUIPMENT — 0.3% | |||||
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.90%, 6/21/2024 | 765,786 | 752,148 | |||
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.90%, 6/21/2024 | 5,171,545 | 5,079,439 | |||
5,831,587 | |||||
SOFTWARE — 11.1% | |||||
Acrisure LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%, 11/22/2023 | 15,212,670 | 15,171,519 | |||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 6/13/2024 | 31,882,655 | 31,121,138 | |||
AutoData, Inc. Senior Secured 2019 Term Loan B, 6.02%, 6/1/2026 | 5,206,612 | 5,191,408 |
Security Description | Principal Amount | Value | |||
Banff Merger Sub Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 6.58%, 10/2/2025 | $16,456,561 | $15,613,162 | |||
Compuware Corp. Senior Secured 2018 Term Loan B, 4.00%, 8/22/2025 | 3,521,127 | 3,521,127 | |||
Cypress Intermediate Holdings III, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%, 4/26/2024 | 3,489,377 | 3,450,994 | |||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 7.40%, 2/6/2026 | 27,837,838 | 27,881,404 | |||
Dynatrace LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 8/22/2025 | 2,737,000 | 2,735,974 | |||
Epicor Software Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 6/1/2022 | 4,663,417 | 4,640,100 | |||
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.91%, 2/26/2025 | 1,491,215 | 1,488,889 | |||
GlobalLogic Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 8/1/2025 | 4,092,114 | 4,088,697 | |||
Help/Systems Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 3/28/2025 | 2,765,545 | 2,748,260 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 9.40%, 7/7/2025 | 2,853,801 | 2,874,020 | |||
Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.25%, 5.65%, 7/1/2024 | 4,537,516 | 4,513,422 | |||
Imperva, Inc.: | |||||
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.41%, 1/12/2026 | 1,409,091 | 1,404,251 | |||
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 10.16%, 1/11/2027 | 2,441,176 | 2,410,662 |
Security Description | Principal Amount | Value | |||
Informatica Corp. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 8/5/2022 | $1,922,398 | $1,926,407 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.58%, 11/1/2023 | 15,609,479 | 15,594,884 | |||
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 9/30/2024 | 19,457,789 | 19,460,805 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 11/29/2024 | 11,074,538 | 10,597,945 | |||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 9.65%, 12/1/2025 | 8,285,862 | 8,047,643 | |||
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 9/5/2025 | 3,468,174 | 3,406,614 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.37%, 4/26/2024 | 7,298,246 | 7,097,545 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 2/9/2024 | 2,336,988 | 2,326,273 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.83%, 5/16/2025 | 2,564,518 | 2,529,897 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.83%, 5/16/2026 | 11,186,275 | 11,039,511 | |||
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.65%, 11/20/2026 | 14,000,000 | 13,510,000 | |||
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 2/5/2024 | 6,709,486 | 6,685,701 |
Security Description | Principal Amount | Value | |||
Solera, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 3/3/2023 | $2,755,248 | $2,738,468 | |||
SonicWALL US Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 5/16/2025 | 8,669,500 | 8,105,983 | |||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%, 9/30/2022 | 1,281,528 | 1,279,445 | |||
Vero Parent, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%, 8/16/2024 | 3,257,077 | 3,250,970 | |||
246,453,118 | |||||
SPECIALTY RETAIL — 3.0% | |||||
Bass Pro Group LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.40%, 9/25/2024 | 36,576,089 | 35,013,924 | |||
Party City Holdings, Inc. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 2.50%, 4.91%, 8/19/2022 | 385,938 | 384,077 | |||
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.83%, 1/26/2023 | 8,028,452 | 6,252,157 | |||
PetSmart, Inc. Senior Secured Consenting Term Loan, 1 Month USD LIBOR + 3.00%, 5.42%, 3/11/2022 | 24,647,360 | 24,058,165 | |||
65,708,323 | |||||
TELECOM SERVICES — 0.6% | |||||
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%, 12/15/2024 | 12,878,792 | 12,347,542 |
Security Description | Principal Amount | Value | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 6.94%, 11/30/2025 | $2,431,444 | $2,330,138 | |||
THRIFTS & MORTGAGE FINANCE — 0.3% | |||||
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.83%, 11/1/2024 | 7,164,827 | 7,043,025 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $1,842,260,595) | 1,822,645,698 | ||||
CORPORATE BONDS & NOTES — 15.5% | |||||
AEROSPACE & DEFENSE — 0.4% | |||||
TransDigm, Inc. 6.25%, 3/15/2026 (c) | 7,500,000 | 7,858,350 | |||
AUTO PARTS & EQUIPMENT — 0.4% | |||||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. 6.25%, 5/15/2026 (c) | 7,913,000 | 8,223,111 | |||
BUILDING MATERIALS — 0.0% (b) | |||||
Builders FirstSource, Inc. 6.75%, 6/1/2027 (c) | 824,000 | 871,438 | |||
COMMERCIAL SERVICES — 1.3% | |||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027 (c) (d) | 8,000,000 | 8,067,280 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc.: | |||||
5.75%, 4/15/2026 (c) | 18,438,000 | 19,055,673 | |||
9.25%, 5/15/2023 (c) | 753,000 | 790,680 | |||
Service Corp. International 5.13%, 6/1/2029 | 1,350,000 | 1,422,441 | |||
29,336,074 | |||||
COMPUTERS — 0.7% | |||||
Banff Merger Sub, Inc. 9.75%, 9/1/2026 (c) | 1,122,000 | 973,257 | |||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025 (c) | 13,500,000 | 13,906,890 | |||
14,880,147 |
Security Description | Principal Amount | Value | |||
DISTRIBUTION & WHOLESALE — 0.1% | |||||
IAA, Inc. 5.50%, 6/15/2027 (c) | $2,353,000 | $2,447,332 | |||
ELECTRIC — 0.6% | |||||
NRG Energy, Inc. 5.25%, 6/15/2029 (c) | 1,250,000 | 1,334,325 | |||
Vistra Operations Co. LLC 5.00%, 7/31/2027 (c) | 12,544,000 | 13,024,184 | |||
14,358,509 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.1% | |||||
Energizer Holdings, Inc. 7.75%, 1/15/2027 (c) | 1,900,000 | 2,053,843 | |||
ENGINEERING & CONSTRUCTION — 0.0% (b) | |||||
frontdoor, Inc. 6.75%, 8/15/2026 (c) | 250,000 | 267,775 | |||
ENTERTAINMENT — 0.6% | |||||
AMC Entertainment Holdings, Inc.: | |||||
5.75%, 6/15/2025 | 7,000,000 | 6,479,760 | |||
5.88%, 11/15/2026 | 1,000,000 | 900,440 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 (c) | 1,810,000 | 1,850,363 | |||
Scientific Games International, Inc. 5.00%, 10/15/2025 (c) | 5,000,000 | 5,048,750 | |||
14,279,313 | |||||
ENVIRONMENTAL CONTROL — 0.4% | |||||
GFL Environmental, Inc.: | |||||
7.00%, 6/1/2026 (c) | 4,394,000 | 4,491,063 | |||
8.50%, 5/1/2027 (c) | 3,830,000 | 4,118,246 | |||
8,609,309 | |||||
FOOD — 0.5% | |||||
Albertsons Cos. LLC/Safeway, Inc./New Albertson's Inc./Albertson's LLC 5.75%, 3/15/2025 | 12,024,000 | 12,133,899 | |||
HAND & MACHINE TOOLS — 0.2% | |||||
Apex Tool Group LLC/BC Mountain Finance, Inc. 9.00%, 2/15/2023 (c) | 4,450,000 | 3,995,878 | |||
HEALTH CARE PRODUCTS — 0.3% | |||||
Avantor, Inc. 9.00%, 10/1/2025 (c) | 5,000,000 | 5,568,500 |
Security Description | Principal Amount | Value | |||
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021 (c) | $727,000 | $745,182 | |||
6,313,682 | |||||
HEALTH CARE SERVICES — 1.2% | |||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (c) | 17,000,000 | 15,930,020 | |||
Tenet Healthcare Corp.: | |||||
6.25%, 2/1/2027 (c) | 5,000,000 | 5,171,500 | |||
6.75%, 6/15/2023 | 2,727,000 | 2,741,753 | |||
8.13%, 4/1/2022 | 2,000,000 | 2,096,840 | |||
25,940,113 | |||||
INSURANCE — 1.1% | |||||
GTCR AP Finance, Inc. 8.00%, 5/15/2027 (c) | 4,773,000 | 4,799,204 | |||
HUB International, Ltd. 7.00%, 5/1/2026 (c) | 13,964,000 | 14,157,541 | |||
USI, Inc. 6.88%, 5/1/2025 (c) | 5,000,000 | 4,950,950 | |||
23,907,695 | |||||
LODGING — 0.0% (b) | |||||
Boyd Gaming Corp. 6.38%, 4/1/2026 | 670,000 | 708,096 | |||
MACHINERY, CONSTRUCTION & MINING — 0.4% | |||||
Vertiv Group Corp. 9.25%, 10/15/2024 (c) | 8,906,000 | 8,548,335 | |||
MACHINERY-DIVERSIFIED — 0.1% | |||||
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026 (c) | 2,499,000 | 2,258,146 | |||
MEDIA — 3.4% | |||||
CSC Holdings LLC: | |||||
5.38%, 2/1/2028 (c) | 1,000,000 | 1,038,330 | |||
7.50%, 4/1/2028 (c) | 13,887,000 | 15,279,588 | |||
Entercom Media Corp. 6.50%, 5/1/2027 (c) | 1,200,000 | 1,247,940 | |||
iHeartCommunications, Inc.: | |||||
6.38%, 5/1/2026 | 24,997,980 | 26,523,107 | |||
6.58%, 5/1/2026 | 9,999,998 | 10,024,248 | |||
Nexstar Escrow, Inc. 5.63%, 7/15/2027 (c) (d) | 5,660,000 | 5,813,160 |
Security Description | Principal Amount | Value | |||
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (c) | $6,000,000 | $6,161,400 | |||
Univision Communications, Inc. 5.13%, 5/15/2023 (c) | 5,000,000 | 4,885,500 | |||
Virgin Media Secured Finance PLC 5.50%, 5/15/2029 (c) | 4,218,000 | 4,280,806 | |||
75,254,079 | |||||
PACKAGING & CONTAINERS — 0.2% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024 (c) | 320,000 | 338,023 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (c) | 1,478,000 | 1,338,063 | |||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (c) | 1,688,000 | 1,573,452 | |||
3,249,538 | |||||
PHARMACEUTICALS — 1.1% | |||||
Bausch Health Cos., Inc.: | |||||
7.00%, 1/15/2028 (c) | 2,273,000 | 2,354,487 | |||
9.00%, 12/15/2025 (c) | 3,000,000 | 3,354,120 | |||
NVA Holdings, Inc. 6.88%, 4/1/2026 (c) | 7,998,000 | 8,376,705 | |||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (c) | 10,000,000 | 9,819,500 | |||
23,904,812 | |||||
RETAIL — 0.8% | |||||
CEC Entertainment, Inc. 8.00%, 2/15/2022 | 1,148,000 | 1,162,350 | |||
eG Global Finance PLC 6.75%, 2/7/2025 (c) | 7,042,000 | 6,987,072 | |||
IRB Holding Corp. 6.75%, 2/15/2026 (c) | 8,000,000 | 8,020,480 | |||
Party City Holdings, Inc. 6.63%, 8/1/2026 (c) | 2,500,000 | 2,422,425 | |||
18,592,327 | |||||
SOFTWARE — 0.7% | |||||
CDK Global, Inc. 5.25%, 5/15/2029 (c) | 3,692,000 | 3,818,414 | |||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025 (c) | 5,000,000 | 5,073,050 |
Security Description | Principal Amount | Value | |||
Infor US, Inc. 6.50%, 5/15/2022 | $1,000,000 | $1,017,700 | |||
IQVIA, Inc. 5.00%, 5/15/2027 (c) | 6,000,000 | 6,189,600 | |||
16,098,764 | |||||
TELECOMMUNICATIONS — 0.9% | |||||
Sprint Communications, Inc. 6.00%, 11/15/2022 | 20,000,000 | 20,850,200 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $340,716,570) | 344,940,765 |
Shares | |||
SHORT-TERM INVESTMENT — 3.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (e) (f) (Cost $72,656,687) | 72,656,687 | 72,656,687 | |
TOTAL INVESTMENTS — 100.8% (Cost $2,255,633,852) | 2,240,243,150 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | (17,098,233) | ||
NET ASSETS — 100.0% | $2,223,144,917 |
(a) | The rate shown represents the rate at June 30, 2019. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 11.6% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | When-issued security. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2019. |
LIBOR | = London Interbank Offered Rate |
LP | = Limited Partnership |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Heartland Dental LLC | 221,372 | 210,305 | (11,067) | |||
Pearl Intermediate Parent LLC | 826,854 | 800,498 | (26,356) | |||
VT Topco, Inc. | 148,307 | 148,260 | (47) | |||
$(37,470) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $344,940,765 | $— | $344,940,765 | ||||
Senior Floating Rate Loans | — | 1,822,645,698 | — | 1,822,645,698 | ||||
Short-Term Investment | 72,656,687 | — | — | 72,656,687 | ||||
TOTAL INVESTMENTS | $72,656,687 | $2,167,586,463 | $— | $2,240,243,150 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loan Commitments(a) | — | (37,470) | — | (37,470) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(37,470) | $— | $(37,470) |
(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 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 196,673,118 | $196,673,118 | $2,283,969,996 | $2,407,986,427 | $— | $— | 72,656,687 | $72,656,687 | $4,228,570 |
Blackstone / GSO Senior Loan Portfolio | |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,167,586,463 |
Investments in affiliated issuers, at value | 72,656,687 |
Total Investments | 2,240,243,150 |
Cash | 23,918,780 |
Receivable for investments sold | 230,718,579 |
Dividends receivable — affiliated issuers | 205,266 |
Interest receivable — unaffiliated issuers | 7,879,465 |
Other Receivable | 610,868 |
TOTAL ASSETS | 2,503,576,108 |
LIABILITIES | |
Payable for investments purchased | 279,832,955 |
Unrealized depreciation on unfunded loan commitments | 37,470 |
Advisory fee payable | 554,194 |
Trustees’ fees and expenses payable | 5,488 |
Accrued expenses and other liabilities | 1,084 |
TOTAL LIABILITIES | 280,431,191 |
NET ASSETS | $2,223,144,917 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,182,977,165 |
Investments in affiliated issuers | 72,656,687 |
Total cost of investments | $2,255,633,852 |
Blackstone / GSO Senior Loan Portfolio | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $161,844,668 |
Dividend income — affiliated issuers | 4,228,570 |
TOTAL INVESTMENT INCOME (LOSS) | 166,073,238 |
EXPENSES | |
Advisory fee | 8,273,531 |
Trustees’ fees and expenses | 52,005 |
TOTAL EXPENSES | 8,325,536 |
NET INVESTMENT INCOME (LOSS) | 157,747,702 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (68,985,053) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (7,554,409) |
Unfunded loan commitments | (156,027) |
Net change in unrealized appreciation/depreciation | (7,710,436) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (76,695,489) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $81,052,213 |
Blackstone / GSO Senior Loan Portfolio | |||
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $157,747,702 | $112,665,248 | |
Net realized gain (loss) | (68,985,053) | (11,863,247) | |
Net change in unrealized appreciation/depreciation | (7,710,436) | (16,510,979) | |
Net increase (decrease) in net assets resulting from operations | 81,052,213 | 84,291,022 | |
CAPITAL TRANSACTIONS | |||
Contributions | 780,016,463 | 1,509,849,498 | |
Withdrawals | (1,834,202,148) | (225,415,777) | |
Other Capital | 5,615,430 | 850,599 | |
Net increase (decrease) in net assets from capital transactions | (1,048,570,255) | 1,285,284,320 | |
Net increase (decrease) in net assets during the period | (967,518,042) | 1,369,575,342 | |
Net assets at beginning of period | 3,190,662,959 | 1,821,087,617 | |
NET ASSETS AT END OF PERIOD | $2,223,144,917 | $3,190,662,959 |
Blackstone / GSO Senior Loan Portfolio | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||
Total return | 4.10% | 4.43% | 6.19% | (0.20)% | 2.98% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,223,145 | $3,190,663 | $1,821,088 | $802,489 | $672,264 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.30% | 0.30% | 0.30% | 0.30% | 0.31% | ||||
Net investment income (loss) | 5.72% | 4.70% | 4.31% | 4.54% | 4.49% | ||||
Portfolio turnover rate | 124% | 90% | 68% | 88% | 65% |
Annual Rate | |
Blackstone / GSO Senior Loan Portfolio | 0.30% |
Purchases | Sales | ||
Blackstone / GSO Senior Loan Portfolio | $3,243,539,566 | $4,164,867,456 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Blackstone / GSO Senior Loan Portfolio | $2,264,569,843 | $13,396,321 | $37,723,014 | $(24,326,693) |
August 26, 2019
Blackstone / GSO Senior Loan Portfolio | |
Annualized Expense Ratio | 0.30% |
Actual: | |
Ending Account Value | $1,029.50 |
Expenses Paid During Period(a) | 1.51 |
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. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Master Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | 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). | 128 | 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. | 128 | 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 | |||||
CLARE S. RICHER c/o SSGA Master Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008 – May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Master Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007 – April 2017). | 128 | Guggenheim /Rydex Funds (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). | 189 | 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).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 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 | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
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). |
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 | |||
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). | |||
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. | ||||||
The Statement of Additional Information (SAI) includes additional information about the 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
One Iron Street
Boston, MA 02210
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 (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
(a)Audit Fees.
For the fiscal years ending June 30, 2019 and June 30, 2018, the aggregate audit fees billed for professional services rendered by the principal accountant were $24,919 and $39,987, 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, 2019 and June 30, 2018, 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, 2019 and June 30, 2018, the aggregate tax fees billed for professional services rendered by the principal accountant were $12,985 and $85,705, 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, 2019 and June 30, 2018.
(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 2019 (in millions) | FY 2018 (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 | $ | 14.8 | $ | 15.4 | ||||
Tax Fees | $ | 5.3 | $ | 7.8 | ||||
All Other Fees | $ | 16.2 | $ | 16.2 |
(1) | Information is for the calendar years 2018 and 2017, 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 primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(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 thisForm 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 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 most recent fiscal half-year 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 to the registrant.
(b) Not applicable to the registrant.
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 1940 Act 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 1940 Act, 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 4, 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: | September 4, 2019 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | September 4, 2019 |