Eaton Vance
Floating-Rate Advantage Fund
January 31, 2024 (Unaudited)
Eaton Vance Floating-Rate Advantage Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, invests substantially all of its assets in Senior Debt Portfolio (the Portfolio) and owns a pro rata interest in the Portfolio’s net assets. At January 31, 2024, the value of the Fund’s investment in the Portfolio was $5,676,421,488 and the Fund owned 96.6% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
1
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited)
Asset-Backed Securities — 5.2% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO Ltd.: | |||
Series 2018-1A, Class D, 8.679%, (3 mo. SOFR + 3.362%), 7/20/31(1)(2) | $ | 2,500 | $ 2,493,820 |
Series 2018-1A, Class E, 11.579%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 3,000 | 2,907,228 | |
AMMC CLO XII Ltd., Series 2013-12A, Class ER, 11.811%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 3,525 | 3,247,991 | |
AMMC CLO XV Ltd., Series 2014-15A, Class ERR, 12.486%, (3 mo. SOFR + 7.172%), 1/15/32(1)(2) | 5,000 | 4,734,905 | |
Apidos CLO XX Ltd., Series 2015-20A, Class DR, 11.276%, (3 mo. SOFR + 5.962%), 7/16/31(1)(2) | 2,375 | 2,287,365 | |
ARES Loan Funding II Ltd., Series 2022-ALF2A, Class ER, 13.558%, (3 mo. SOFR + 8.24%), 10/20/36(1)(2) | 1,675 | 1,691,418 | |
ARES LVIII CLO Ltd., Series 2020-58A, Class ER, 12.014%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,937,195 | |
ARES XLIX CLO Ltd., Series 2018-49A, Class D, 8.579%, (3 mo. SOFR + 3.262%), 7/22/30(1)(2) | 2,500 | 2,480,842 | |
ARES XXXIIR CLO Ltd.: | |||
Series 2014-32RA, Class C, 8.541%, (3 mo. SOFR + 3.162%), 5/15/30(1)(2) | 5,000 | 4,925,600 | |
Series 2014-32RA, Class D, 11.491%, (3 mo. SOFR + 6.112%), 5/15/30(1)(2) | 1,000 | 946,080 | |
ARES XXXVR CLO Ltd., Series 2015-35RA, Class E, 11.276%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,000 | 3,797,260 | |
Bain Capital Credit CLO Ltd., Series 2018-1A, Class D, 8.277%, (3 mo. SOFR + 2.962%), 4/23/31(1)(2) | 5,000 | 4,857,145 | |
Barings CLO Ltd.: | |||
Series 2015-1A, Class DR, 8.179%, (3 mo. SOFR + 2.862%), 1/20/31(1)(2) | 2,500 | 2,466,530 | |
Series 2018-1A, Class C, 8.176%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 3,500 | 3,421,351 | |
Battalion CLO XXII Ltd., Series 2021-22A, Class E, 12.529%, (3 mo. SOFR + 7.212%), 1/20/35(1)(2) | 1,750 | 1,605,384 | |
Battalion CLO XXIII Ltd., Series 2022-23A, Class D, 9.264%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,503,818 | |
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class D, 11.529%, (3 mo. SOFR + 6.212%), 4/20/31(1)(2) | 3,500 | 3,509,702 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class DR, 11.179%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,401 | 5,086,273 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XIV Ltd., Series 2018-14A, Class D, 8.179%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | $ | 1,500 | $ 1,477,002 |
Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class E, 12.278%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,250 | 2,259,464 | |
Benefit Street Partners CLO XVII Ltd., Series 2019-17A, Class ER, 11.926%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | 1,750 | 1,725,689 | |
Benefit Street Partners CLO XXII Ltd., Series 2020-22A, Class ER, 12.248%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 1,003,040 | |
Benefit Street Partners CLO XXV Ltd., Series 2021-25A, Class E, 12.426%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 3,000 | 3,013,266 | |
Betony CLO 2 Ltd.: | |||
Series 2018-1A, Class C, 8.479%, (3 mo. SOFR + 3.162%), 4/30/31(1)(2) | 2,500 | 2,467,833 | |
Series 2018-1A, Class D, 11.229%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 2,525 | 2,407,699 | |
BlueMountain CLO Ltd.: | |||
Series 2015-3A, Class CR, 8.179%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 5,000 | 4,848,390 | |
Series 2015-3A, Class DR, 10.979%, (3 mo. SOFR + 5.662%), 4/20/31(1)(2) | 3,000 | 2,745,387 | |
Series 2016-3A, Class DR, 8.741%, (3 mo. SOFR + 3.362%), 11/15/30(1)(2) | 1,500 | 1,445,958 | |
Series 2016-3A, Class ER, 11.591%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,500 | 1,404,918 | |
Series 2018-1A, Class D, 8.629%, (3 mo. SOFR + 3.312%), 7/30/30(1)(2) | 2,500 | 2,356,250 | |
Series 2018-1A, Class E, 11.529%, (3 mo. SOFR + 6.212%), 7/30/30(1)(2) | 2,000 | 1,755,904 | |
BlueMountain CLO XXIV Ltd., Series 2019-24A, Class ER, 12.419%, (3 mo. SOFR + 7.102%), 4/20/34(1)(2) | 1,250 | 1,216,830 | |
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class ER, 12.709%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 3,000 | 2,962,242 | |
BlueMountain CLO XXX Ltd., Series 2020-30A, Class ER, 12.014%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,922,496 | |
BlueMountain CLO XXXIII Ltd., Series 2021-33A, Class E, 12.459%, (3 mo. SOFR + 7.092%), 11/20/34(1)(2) | 2,500 | 2,470,273 | |
BlueMountain CLO XXXV Ltd., Series 2022-35A, Class E, 13.068%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 2,007,388 | |
Bryant Park Funding Ltd.: | |||
Series 2023-20A, Class D, 11.404%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 5,250 | 5,278,082 | |
Series 2023-21A, Class D, 10.935%, (3 mo. SOFR + 5.45%), 10/18/36(1)(2) | 4,475 | 4,556,360 |
2
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO Ltd.: | |||
Series 2012-1RA, Class E, 11.276%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | $ | 4,875 | $ 4,534,857 |
Series 2016-1A, Class ER, 11.326%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,725,368 | |
Series 2016-2A, Class ER, 11.576%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 4,500 | 4,249,368 | |
Series 2018-1A, Class D, 8.476%, (3 mo. SOFR + 3.162%), 7/15/31(1)(2) | 3,000 | 2,928,663 | |
Series 2018-1A, Class E, 11.326%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,750 | 2,586,441 | |
Series 2019-2A, Class ER, 12.326%, (3 mo. SOFR + 7.012%), 10/15/34(1)(2) | 1,500 | 1,455,548 | |
Carlyle C17 CLO Ltd.: | |||
Series C17A, Class CR, 8.379%, (3 mo. SOFR + 3.062%), 4/30/31(1)(2) | 5,000 | 4,925,000 | |
Series C17A, Class DR, 11.579%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,500 | 3,352,100 | |
Carlyle Global Market Strategies CLO Ltd.: | |||
Series 2012-3A, Class CR2, 9.076%, (3 mo. SOFR + 3.762%), 1/14/32(1)(2) | 2,500 | 2,502,640 | |
Series 2012-3A, Class DR2, 12.076%, (3 mo. SOFR + 6.762%), 1/14/32(1)(2) | 1,500 | 1,441,067 | |
Series 2014-3RA, Class C, 8.531%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 1,000 | 973,371 | |
Series 2014-3RA, Class D, 10.981%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,150 | 2,007,737 | |
Series 2014-4RA, Class C, 8.476%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,750 | 2,672,139 | |
Series 2014-4RA, Class D, 11.226%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 1,500 | 1,422,770 | |
Carlyle U.S. CLO Ltd.: | |||
Series 2019-4A, Class DR, 11.914%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,912,508 | |
Series 2022-6A, Class DR, 10.075%, (3 mo. SOFR + 4.75%), 10/25/36(1)(2) | 2,800 | 2,826,858 | |
CarVal CLO IV Ltd., Series 2021-1A, Class E, 12.179%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 1,002,555 | |
CIFC Funding Ltd., Series 2022-4A, Class D, 8.864%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,753,764 | |
Crown City CLO I, Series 2020-1A, Class DR, 12.579%, (3 mo. SOFR + 7.262%), 7/20/34(1)(2) | 250 | 244,111 | |
Dryden CLO Ltd.: | |||
Series 2018-55A, Class D, 8.426%, (3 mo. SOFR + 3.112%), 4/15/31(1)(2) | 1,500 | 1,455,080 | |
Series 2018-55A, Class E, 10.976%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 2,000 | 1,862,956 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 8.176%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 7,000 | 6,749,442 | |
Series 2015-41A, Class ER, 10.876%, (3 mo. SOFR + 5.562%), 4/15/31(1)(2) | 1,268 | 1,141,710 |
Security | Principal Amount (000's omitted) | Value | |
Dryden Senior Loan Fund: (continued) | |||
Series 2016-42A, Class DR, 8.506%, (3 mo. SOFR + 3.192%), 7/15/30(1)(2) | $ | 2,500 | $ 2,450,000 |
Series 2016-42A, Class ER, 11.126%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 3,500 | 3,261,681 | |
Elmwood CLO 14 Ltd., Series 2022-1A, Class E, 11.668%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,956,306 | |
Elmwood CLO 17 Ltd., Series 2022-4A, Class E, 12.467%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 2,010,048 | |
Empower CLO Ltd., Series 2023-2A, Class D, 10.714%, (3 mo. SOFR + 5.40%), 7/15/36(1)(2) | 2,000 | 2,007,472 | |
Galaxy XIX CLO Ltd., Series 2015-19A, Class D1R, 12.11%, (3 mo. SOFR + 6.792%), 7/24/30(1)(2) | 2,000 | 1,927,826 | |
Galaxy XXV CLO Ltd.: | |||
Series 2018-25A, Class D, 8.686%, (3 mo. SOFR + 3.362%), 10/25/31(1)(2) | 2,500 | 2,502,610 | |
Series 2018-25A, Class E, 11.536%, (3 mo. SOFR + 6.212%), 10/25/31(1)(2) | 3,500 | 3,400,344 | |
Golub Capital Partners 48 LP, Series 2020-48A, Class D, 9.378%, (3 mo. SOFR + 4.062%), 4/17/33(1)(2) | 2,000 | 1,970,752 | |
Golub Capital Partners CLO 37B Ltd.: | |||
Series 2018-37A, Class D, 8.879%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 4,000 | 3,968,364 | |
Series 2018-37A, Class E, 11.329%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 4,750 | 4,763,989 | |
Golub Capital Partners CLO 53B Ltd., Series 2021-53A, Class E, 12.279%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,250 | 1,242,454 | |
Golub Capital Partners CLO 58B Ltd., Series 2021-58A, Class E, 12.396%, (3 mo. SOFR + 7.072%), 1/25/35(1)(2) | 2,500 | 2,511,220 | |
HalseyPoint CLO 5 Ltd., Series 2021-5A, Class E, 12.519%, (3 mo. SOFR + 7.202%), 1/30/35(1)(2) | 2,000 | 1,958,962 | |
Harriman Park CLO Ltd., Series 2020-1A, Class ER, 11.979%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 1,003,849 | |
ICG U.S. CLO Ltd.: | |||
Series 2018-2A, Class D, 8.679%, (3 mo. SOFR + 3.362%), 7/22/31(1)(2) | 2,000 | 1,919,842 | |
Series 2018-2A, Class E, 11.329%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 3,000 | 2,750,898 | |
Madison Park Funding LIX Ltd., Series 2021-59A, Class E, 12.16%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 1,550 | 1,557,578 | |
Madison Park Funding XXXVI Ltd., Series 2019-36A, Class ER, 12.364%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,506,487 |
3
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Marble Point CLO XXIV Ltd., Series 2022-1A, Class D1, 9.558%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | $ | 2,000 | $ 1,948,958 |
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 11.499%, (3 mo. SOFR + 6.182%), 10/21/30(1)(2) | 2,000 | 1,984,594 | |
Neuberger Berman CLO XXII Ltd.: | |||
Series 2016-22A, Class DR, 8.678%, (3 mo. SOFR + 3.362%), 10/17/30(1)(2) | 2,500 | 2,498,140 | |
Series 2016-22A, Class ER, 11.638%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 3,000 | 3,008,187 | |
Neuberger Berman Loan Advisers CLO 28 Ltd., Series 2018-28A, Class E, 11.179%, (3 mo. SOFR + 5.862%), 4/20/30(1)(2) | 1,950 | 1,945,466 | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2022-48A, Class E, 11.825%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 2,600 | 2,592,291 | |
OCP CLO Ltd.: | |||
Series 2022-24A, Class D, 9.118%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 497,394 | |
Series 2022-24A, Class E, 12.738%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 1,002,594 | |
Palmer Square CLO Ltd.: | |||
Series 2013-2A, Class DRR, 11.428%, (3 mo. SOFR + 6.112%), 10/17/31(1)(2) | 1,425 | 1,429,433 | |
Series 2015-1A, Class DR4, 12.129%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,992,300 | |
Series 2018-1A, Class D, 10.71%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 2,000 | 1,975,658 | |
Series 2018-2A, Class D, 11.176%, (3 mo. SOFR + 5.862%), 7/16/31(1)(2) | 2,000 | 2,005,912 | |
Series 2021-2A, Class E, 11.926%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 1,004,985 | |
Series 2022-1A, Class E, 11.668%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 5,500 | 5,513,948 | |
RAD CLO 5 Ltd., Series 2019-5A, Class E, 12.28%, (3 mo. SOFR + 6.962%), 7/24/32(1)(2) | 1,250 | 1,244,246 | |
RAD CLO 11 Ltd., Series 2021-11A, Class E, 11.826%, (3 mo. SOFR + 6.512%), 4/15/34(1)(2) | 750 | 746,873 | |
RAD CLO 14 Ltd., Series 2021-14A, Class E, 12.076%, (3 mo. SOFR + 6.762%), 1/15/35(1)(2) | 1,050 | 1,046,139 | |
Regatta XIII Funding Ltd.: | |||
Series 2018-2A, Class C, 8.676%, (3 mo. SOFR + 3.362%), 7/15/31(1)(2) | 2,500 | 2,499,097 | |
Series 2018-2A, Class D, 11.526%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 5,000 | 4,701,525 | |
Regatta XIV Funding Ltd.: | |||
Series 2018-3A, Class D, 8.786%, (3 mo. SOFR + 3.462%), 10/25/31(1)(2) | 2,500 | 2,503,595 | |
Series 2018-3A, Class E, 11.536%, (3 mo. SOFR + 6.212%), 10/25/31(1)(2) | 2,000 | 1,937,474 |
Security | Principal Amount (000's omitted) | Value | |
Regatta XV Funding Ltd., Series 2018-4A, Class D, 12.086%, (3 mo. SOFR + 6.762%), 10/25/31(1)(2) | $ | 2,875 | $ 2,802,369 |
Upland CLO Ltd.: | |||
Series 2016-1A, Class CR, 8.479%, (3 mo. SOFR + 3.162%), 4/20/31(1)(2) | 4,500 | 4,419,949 | |
Series 2016-1A, Class DR, 11.479%, (3 mo. SOFR + 6.162%), 4/20/31(1)(2) | 2,125 | 2,059,667 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.779%, (3 mo. SOFR + 3.462%), 7/20/31(1)(2) | 2,500 | 2,404,935 | |
Series 2018-9A, Class D, 11.829%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 3,500 | 2,901,059 | |
Vibrant CLO X Ltd.: | |||
Series 2018-10A, Class C, 8.829%, (3 mo. SOFR + 3.512%), 10/20/31(1)(2) | 5,000 | 5,005,000 | |
Series 2018-10A, Class D, 11.769%, (3 mo. SOFR + 6.452%), 10/20/31(1)(2) | 5,000 | 5,012,500 | |
Voya CLO Ltd.: | |||
Series 2014-1A, Class DR2, 11.56%, (3 mo. SOFR + 6.262%), 4/18/31(1)(2) | 3,250 | 3,003,302 | |
Series 2015-3A, Class CR, 8.729%, (3 mo. SOFR + 3.412%), 10/20/31(1)(2) | 2,500 | 2,368,330 | |
Series 2015-3A, Class DR, 11.779%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 5,500 | 4,790,285 | |
Series 2016-3A, Class CR, 8.81%, (3 mo. SOFR + 3.512%), 10/18/31(1)(2) | 2,000 | 1,904,282 | |
Series 2016-3A, Class DR, 11.64%, (3 mo. SOFR + 6.342%), 10/18/31(1)(2) | 2,375 | 2,089,948 | |
Webster Park CLO Ltd.: | |||
Series 2015-1A, Class CR, 8.479%, (3 mo. SOFR + 3.162%), 7/20/30(1)(2) | 2,000 | 1,975,594 | |
Series 2015-1A, Class DR, 11.079%, (3 mo. SOFR + 5.762%), 7/20/30(1)(2) | 2,500 | 2,443,590 | |
Wellfleet CLO Ltd.: | |||
Series 2021-3A, Class E, 12.676%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 1,050 | 976,746 | |
Series 2022-1A, Class D, 9.454%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 1,001,334 | |
Series 2022-1A, Class E, 13.174%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,300 | 2,220,903 | |
Series 2022-2A, Class E, 13.858%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 1,000 | 1,004,194 | |
Total Asset-Backed Securities (identified cost $311,302,673) | $ 303,083,909 |
4
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Common Stocks — 1.0% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Worldwide Services LLC(3)(4)(5) | 168 | $ 0 | |
$ 0 | |||
Chemicals — 0.0% | |||
Flint Campfire Topco Ltd., Class A(3)(4)(5) | 4,095,976 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.1% | |||
Monitronics International, Inc.(4)(5) | 199,603 | $ 4,191,663 | |
Phoenix Services International LLC(4)(5) | 291,132 | 2,765,754 | |
Phoenix Services International LLC(4)(5) | 26,562 | 252,339 | |
$ 7,209,756 | |||
Containers and Glass Products — 0.0%(6) | |||
LG Parent Holding Co.(4)(5) | 342,076 | $ 2,095,215 | |
$ 2,095,215 | |||
Electronics/Electrical — 0.0%(6) | |||
Skillsoft Corp.(4)(5) | 50,519 | $ 708,276 | |
$ 708,276 | |||
Entertainment — 0.0%(6) | |||
New Cineworld Ltd.(4)(5) | 113,548 | $ 1,717,414 | |
$ 1,717,414 | |||
Health Care — 0.2% | |||
Akorn Holding Co. LLC(3)(4)(5) | 792,089 | $ 0 | |
Envision Parent, Inc.(4)(5) | 953,838 | 10,015,299 | |
$ 10,015,299 | |||
Household Durables — 0.2% | |||
Serta Simmons Bedding, Inc.(4)(5) | 1,401,999 | $ 11,566,492 | |
Serta SSB Equipment Co.(3)(4)(5) | 1,401,999 | 0 | |
$ 11,566,492 | |||
Investment Companies — 0.0%(6) | |||
Aegletes BV(4)(5) | 138,671 | $ 334,544 | |
Jubilee Topco Ltd., Class A(3)(4)(5) | 2,563,805 | 0 | |
$ 334,544 |
Security | Shares | Value | |
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., Class A(4)(5) | 116,152 | $ 9,626,097 | |
$ 9,626,097 | |||
Oil and Gas — 0.0%(6) | |||
AFG Holdings, Inc.(3)(4)(5) | 281,241 | $ 618,730 | |
McDermott International Ltd.(4)(5) | 1,382,889 | 348,073 | |
$ 966,803 | |||
Pharmaceuticals — 0.2% | |||
Covis Midco 1 SARL, Class A(4)(5) | 8,349 | $ 4,258 | |
Covis Midco 1 SARL, Class B(4)(5) | 8,349 | 4,258 | |
Covis Midco 1 SARL, Class C(4)(5) | 8,349 | 4,258 | |
Covis Midco 1 SARL, Class D(4)(5) | 8,349 | 4,258 | |
Covis Midco 1 SARL, Class E(4)(5) | 8,349 | 4,258 | |
Mallinckrodt International Finance SA(4)(5) | 307,065 | 11,361,405 | |
$ 11,382,695 | |||
Retailers (Except Food and Drug) — 0.0%(6) | |||
Phillips Feed Service, Inc.(3)(4)(5) | 2,960 | $ 188,903 | |
$ 188,903 | |||
Telecommunications — 0.0% | |||
GEE Acquisition Holdings Corp.(3)(4)(5) | 390,679 | $ 0 | |
$ 0 | |||
Utilities — 0.1% | |||
Longview Intermediate Holdings C LLC, Class A(4)(5) | 359,046 | $ 2,897,502 | |
$ 2,897,502 | |||
Total Common Stocks (identified cost $100,239,338) | $ 58,708,996 |
Corporate Bonds — 11.4% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.4% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,491,013 | |
6.75%, 8/15/28(1) | 3,825 | 3,892,370 | |
6.875%, 12/15/30(1) | 19,500 | 19,973,362 | |
$ 25,356,745 |
5
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000's omitted) | Value | |
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.: | |||
5.50%, 4/20/26(1) | 14,475 | $ 14,328,527 | |
5.75%, 4/20/29(1) | 14,475 | 14,229,504 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 5,050 | 4,876,056 | |
4.625%, 4/15/29(1) | 5,050 | 4,675,581 | |
$ 38,109,668 | |||
Automotive — 0.2% | |||
Adient Global Holdings Ltd., 7.00%, 4/15/28(1) | 2,650 | $ 2,711,419 | |
Clarios Global LP, 6.75%, 5/15/25(1) | 2,183 | 2,183,126 | |
Clarios Global LP/Clarios U.S. Finance Co., 6.25%, 5/15/26(1) | 4,478 | 4,444,736 | |
$ 9,339,281 | |||
Building and Development — 0.0%(6) | |||
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 1,100 | $ 1,086,149 | |
$ 1,086,149 | |||
Business Equipment and Services — 0.8% | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,475 | $ 2,441,028 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL: | |||
4.625%, 6/1/28(1) | 18,725 | 16,889,087 | |
4.625%, 6/1/28(1) | 25,575 | 23,040,773 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26(1) | 4,175 | 4,177,030 | |
$ 46,547,918 | |||
Chemicals — 0.6% | |||
INEOS Finance PLC: | |||
3.375%, 3/31/26(1) | EUR | 2,000 | $ 2,142,434 |
7.50%, 4/15/29(1)(7) | 10,575 | 10,516,837 | |
Olympus Water U.S. Holding Corp.: | |||
4.25%, 10/1/28(1) | 10,050 | 9,183,590 | |
7.125%, 10/1/27(1) | 1,075 | 1,079,988 | |
9.75%, 11/15/28(1) | 11,400 | 12,075,159 | |
$ 34,998,008 | |||
Commercial Services — 0.5% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 21,600 | $ 20,649,066 | |
Wand NewCo 3, Inc., 7.625%, 1/30/32(1) | 10,525 | 10,876,851 | |
$ 31,525,917 |
Security | Principal Amount* (000's omitted) | Value | |
Containers & Packaging — 0.3% | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC: | |||
4.00%, 10/15/27(1) | 6,325 | $ 5,903,217 | |
4.375%, 10/15/28(1) | 10,100 | 9,433,400 | |
$ 15,336,617 | |||
Diversified Financial Services — 0.4% | |||
AG Issuer LLC, 6.25%, 3/1/28(1) | 11,581 | $ 11,448,734 | |
AG TTMT Escrow Issuer LLC, 8.625%, 9/30/27(1) | 3,350 | 3,480,492 | |
Aretec Group, Inc., 10.00%, 8/15/30(1) | 5,375 | 5,811,838 | |
$ 20,741,064 | |||
Diversified Telecommunication Services — 1.1% | |||
Altice France SA: | |||
5.125%, 1/15/29(1) | 1,600 | $ 1,185,365 | |
5.125%, 7/15/29(1) | 55,000 | 40,258,889 | |
5.50%, 10/15/29(1) | 6,455 | 4,763,817 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,175 | 11,091,188 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 7,625 | 6,819,038 | |
$ 64,118,297 | |||
Drugs — 0.2% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 10,050 | $ 9,280,354 | |
$ 9,280,354 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 6,025 | $ 5,924,924 | |
$ 5,924,924 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 12,010 | $ 4,954,202 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 20,200 | 18,824,266 | |
$ 23,778,468 | |||
Entertainment — 0.1% | |||
Caesars Entertainment, Inc., 6.50%, 2/15/32(1)(7) | 5,275 | $ 5,336,776 | |
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,412 | 2,234,115 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,208 | 1,214,644 | |
$ 8,785,535 | |||
Health Care — 0.8% | |||
Medline Borrower LP, 3.875%, 4/1/29(1) | 25,150 | $ 22,792,905 |
6
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000's omitted) | Value | |
Health Care (continued) | |||
Tenet Healthcare Corp., 4.25%, 6/1/29 | 25,375 | $ 23,578,135 | |
$ 46,371,040 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 37,975 | $ 35,151,069 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,425 | 2,448,001 | |
$ 37,599,070 | |||
Household Products — 0.3% | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 16,969 | $ 16,418,806 | |
$ 16,418,806 | |||
Insurance — 0.4% | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27(1) | 700 | $ 651,759 | |
NFP Corp.: | |||
4.875%, 8/15/28(1) | 5,545 | 5,505,215 | |
7.50%, 10/1/30(1) | 3,350 | 3,521,129 | |
8.50%, 10/1/31(1) | 10,725 | 11,809,829 | |
$ 21,487,932 | |||
Internet Software & Services — 0.3% | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 15,225 | $ 15,526,135 | |
$ 15,526,135 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions LLC, 6.75%, 2/15/27(1) | 3,475 | $ 3,447,287 | |
NCL Corp. Ltd., 5.875%, 2/15/27(1) | 22,375 | 22,059,309 | |
$ 25,506,596 | |||
Machinery — 0.4% | |||
Husky Injection Molding Systems Ltd./Titan Co.-Borrower LLC, 9.00%, 2/15/29(1)(7) | 10,500 | $ 10,500,000 | |
Madison IAQ LLC, 4.125%, 6/30/28(1) | 12,300 | 11,314,811 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 4,950 | 4,778,648 | |
$ 26,593,459 | |||
Media — 0.4% | |||
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,975 | $ 2,226,282 | |
5.25%, 8/15/27(1) | 2,500 | 1,942,854 | |
6.375%, 5/1/26 | 1,159 | 997,231 |
Security | Principal Amount* (000's omitted) | Value | |
Media (continued) | |||
iHeartCommunications, Inc.: (continued) | |||
8.375%, 5/1/27 | 2,101 | $ 1,304,425 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 10,075 | 8,960,215 | |
7.375%, 6/30/30(1) | 10,000 | 9,813,621 | |
$ 25,244,628 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corp., 7.00%, 6/15/25(1) | 12,175 | $ 12,182,220 | |
$ 12,182,220 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 6,000 | $ 5,323,800 | |
$ 5,323,800 | |||
Real Estate Investment Trusts (REITs) — 0.3% | |||
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 5/15/28(1) | 7,493 | $ 7,394,798 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.875%, 10/1/28(1) | 7,925 | 7,712,808 | |
$ 15,107,606 | |||
Retail — 0.1% | |||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 6,790 | $ 6,218,112 | |
$ 6,218,112 | |||
Retailers (Except Food and Drug) — 0.0%(6) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,575 | $ 1,472,638 | |
$ 1,472,638 | |||
Software — 0.6% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,850 | $ 4,862,718 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 12,100 | 11,462,954 | |
UKG, Inc., 6.875%, 2/1/31(1)(7) | 10,525 | 10,656,563 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/1/25(1) | 6,850 | 5,859,747 | |
$ 32,841,982 | |||
Technology — 0.4% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 12,575 | $ 11,599,447 |
7
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000's omitted) | Value | |
Technology (continued) | |||
NCR Atleos Corp., 9.50%, 4/1/29(1) | 8,700 | $ 9,339,624 | |
$ 20,939,071 | |||
Telecommunications — 0.3% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 10,450 | $ 9,204,255 | |
VMED O2 U.K. Financing I PLC, 4.25%, 1/31/31(1) | 10,575 | 9,256,580 | |
$ 18,460,835 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance Ltd./Digicel International Holdings Ltd., 9.00%, 5/25/27 | 7,252 | $ 6,760,628 | |
$ 6,760,628 | |||
Total Corporate Bonds (identified cost $710,294,354) | $ 668,983,503 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 384,000 | $ 16,112,640 | |
Total Exchange-Traded Funds (identified cost $17,625,066) | $ 16,112,640 |
Senior Floating-Rate Loans — 108.4%(8) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 2.1% | |||
Aernnova Aerospace SAU: | |||
Term Loan, 6.916%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,071 | $ 1,146,314 |
Term Loan, 6.955%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,179 | 4,470,625 |
AI Convoy (Luxembourg) SARL, Term Loan, 7.612%, (3 mo. EURIBOR + 3.75%), 1/18/27 | EUR | 4,300 | 4,626,099 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.333%, (SOFR + 4.00%), 8/24/28 | 37,149 | 37,240,223 | |
Term Loan, 9.333%, (SOFR + 4.00%), 8/24/28 | 15,921 | 15,960,095 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23(3) | 1,184 | 933,018 | |
TransDigm, Inc.: | |||
Term Loan, 8.598%, (SOFR + 3.25%), 2/22/27 | 29,371 | 29,423,348 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
TransDigm, Inc.: (continued) | |||
Term Loan, 8.598%, (SOFR + 3.25%), 8/24/28 | 30,892 | $ 30,948,938 | |
$ 124,748,660 | |||
Airlines — 0.5% | |||
American Airlines, Inc., Term Loan, 10.329%, (SOFR + 4.75%), 4/20/28 | 30,600 | $ 31,398,048 | |
$ 31,398,048 | |||
Apparel & Luxury Goods — 0.4% | |||
Gloves Buyer, Inc., Term Loan, 9.447%, (SOFR + 4.00%), 12/29/27 | 18,214 | $ 18,168,215 | |
Hanesbrands, Inc., Term Loan, 9.083%, (SOFR + 3.75%), 3/8/30 | 5,434 | 5,401,671 | |
$ 23,569,886 | |||
Auto Components — 2.4% | |||
Adient U.S. LLC, Term Loan, 8.083%, (SOFR + 2.75%), 1/31/31 | 9,238 | $ 9,260,689 | |
Autokiniton U.S. Holdings, Inc., Term Loan, 9.45%, (SOFR + 4.00%), 4/6/28 | 22,232 | 22,273,277 | |
Clarios Global LP, Term Loan, 7.103%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 21,261 | 23,066,422 |
DexKo Global, Inc.: | |||
Term Loan, 7.925%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,604 | 3,883,965 |
Term Loan, 7.925%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 8,046 | 8,670,524 |
Term Loan, 9.36%, (SOFR + 3.75%), 10/4/28 | 14,222 | 14,158,486 | |
Garrett LX I SARL, Term Loan, 8.824%, (SOFR + 3.25%), 4/30/28 | 6,256 | 6,276,851 | |
Garrett Motion, Inc., Term Loan, 9.813%, (SOFR + 4.50%), 4/30/28 | 9,429 | 9,452,143 | |
LSF12 Badger Bidco LLC, Term Loan, 11.333%, (SOFR + 6.00%), 8/30/30 | 4,000 | 3,997,500 | |
LTI Holdings, Inc.: | |||
Term Loan, 8.947%, (SOFR + 3.50%), 9/6/25 | 8,051 | 7,872,993 | |
Term Loan, 10.197%, (SOFR + 4.75%), 7/24/26 | 8,584 | 8,377,664 | |
RealTruck Group, Inc.: | |||
Term Loan, 8.947%, (SOFR + 3.50%), 1/31/28 | 13,875 | 13,684,915 | |
Term Loan, 10.447%, (SOFR + 5.00%), 1/31/28 | 8,950 | 8,826,938 | |
$ 139,802,367 |
8
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Automobiles — 1.0% | |||
Bombardier Recreational Products, Inc., Term Loan, 8.074%, (SOFR + 2.75%), 1/22/31 | 35,097 | $ 35,089,764 | |
MajorDrive Holdings IV LLC: | |||
Term Loan, 9.61%, (SOFR + 4.00%), 6/1/28 | 20,310 | 20,198,544 | |
Term Loan, 10.998%, (SOFR + 5.50%), 6/1/29 | 1,492 | 1,499,867 | |
$ 56,788,175 | |||
Beverages — 0.7% | |||
Arterra Wines Canada, Inc., Term Loan, 9.11%, (SOFR + 3.50%), 11/24/27 | 3,396 | $ 3,187,634 | |
City Brewing Co. LLC, Term Loan, 9.078%, (SOFR + 3.50%), 4/5/28 | 17,156 | 13,103,098 | |
Triton Water Holdings, Inc., Term Loan, 8.86%, (SOFR + 3.25%), 3/31/28 | 25,450 | 25,066,918 | |
$ 41,357,650 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.951%, (SOFR + 2.50%), 3/12/26 | 12,670 | $ 12,653,790 | |
Alltech, Inc., Term Loan, 9.447%, (SOFR + 4.00%), 10/13/28 | 6,825 | 6,781,957 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.538%, (SOFR + 2.00%), 11/15/27 | 9,244 | 9,022,062 | |
$ 28,457,809 | |||
Building Products — 1.0% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.683%, (SOFR + 3.25%), 4/12/28 | 17,921 | $ 17,817,694 | |
CPG International, Inc., Term Loan, 7.933%, (SOFR + 2.50%), 4/28/29 | 12,763 | 12,764,720 | |
LHS Borrower LLC, Term Loan, 10.183%, (SOFR + 4.75%), 2/16/29 | 6,680 | 6,273,262 | |
MI Windows & Doors LLC, Term Loan, 8.933%, (SOFR + 3.50%), 12/18/27 | 6,334 | 6,342,266 | |
Standard Industries, Inc., Term Loan, 7.701%, (SOFR + 2.25%), 9/22/28 | 12,977 | 12,980,130 | |
$ 56,178,072 | |||
Capital Markets — 5.7% | |||
Advisor Group, Inc., Term Loan, 9.833%, (SOFR + 4.50%), 8/17/28 | 31,480 | $ 31,487,051 | |
AllSpring Buyer LLC, Term Loan, 8.887%, (SOFR + 3.25%), 11/1/28 | 8,209 | 8,185,546 | |
Aretec Group, Inc., Term Loan, 9.933%, (SOFR + 4.50%), 8/9/30 | 36,322 | 36,399,914 | |
Brookfield Property REIT, Inc., Term Loan, 7.933%, (SOFR + 2.50%), 8/27/25 | 5,144 | 5,132,111 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
CeramTec AcquiCo GmbH, Term Loan, 7.455%, (3 mo. EURIBOR + 3.50%), 3/16/29 | EUR | 14,461 | $ 15,584,978 |
Citco Funding LLC, Term Loan, 8.422%, (SOFR + 3.25%), 4/27/28 | 10,399 | 10,440,096 | |
Clipper Acquisitions Corp., Term Loan, 7.21%, (SOFR + 1.75%), 3/3/28 | 7,775 | 7,765,605 | |
Edelman Financial Center LLC, Term Loan, 8.947%, (SOFR + 3.50%), 4/7/28 | 22,226 | 22,142,199 | |
EIG Management Co. LLC, Term Loan, 9.183%, (SOFR + 3.75%), 2/22/25 | 2,663 | 2,662,563 | |
FinCo I LLC, Term Loan, 8.313%, (SOFR + 3.00%), 6/27/29 | 16,243 | 16,282,294 | |
Focus Financial Partners LLC: | |||
Term Loan, 7.837%, (SOFR + 2.50%), 6/30/28 | 10,803 | 10,791,726 | |
Term Loan, 8.083%, (SOFR + 2.75%), 6/30/28 | 42,342 | 42,231,245 | |
Franklin Square Holdings LP, Term Loan, 7.683%, (SOFR + 2.25%), 8/1/25 | 6,467 | 6,466,647 | |
Guggenheim Partners LLC, Term Loan, 8.598%, (SOFR + 3.25%), 12/12/29 | 32,271 | 32,323,941 | |
HighTower Holdings LLC, Term Loan, 9.586%, (SOFR + 4.00%), 4/21/28 | 12,756 | 12,755,923 | |
Hudson River Trading LLC, Term Loan, 8.447%, (SOFR + 3.00%), 3/20/28 | 13,661 | 13,567,951 | |
LPL Holdings, Inc., Term Loan, 7.206%, (SOFR + 1.75%), 11/12/26 | 19,104 | 19,123,099 | |
Mariner Wealth Advisors LLC, Term Loan, 8.86%, (SOFR + 3.25%), 8/18/28 | 15,030 | 14,980,025 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.679%, (SOFR + 2.25%), 7/1/26 | 18,707 | 18,718,368 | |
Term Loan, 7.679%, (SOFR + 2.25%), 12/29/28 | 8,636 | 8,647,095 | |
$ 335,688,377 | |||
Chemicals — 5.6% | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.848%, (SOFR + 2.50%), 12/20/29 | 20,578 | $ 20,621,860 | |
CPC Acquisition Corp., Term Loan, 9.36%, (SOFR + 3.75%), 12/29/27 | 17,474 | 14,295,987 | |
Flint Group Midco Ltd., Term Loan, 10.577%, (SOFR + 5.26%), 9.827% cash, 0.75% PIK, 12/31/26 | 5,781 | 5,299,614 | |
Flint Group Packaging INKS North America Holdings LLC: | |||
Term Loan, 8.958%, (3 mo. EURIBOR + 5.00%), 8.208% cash, 0.75% PIK, 12/31/26 | EUR | 1,285 | 1,273,302 |
Term Loan, 10.958%, (3 mo. EURIBOR + 7.00%), 4.058% cash, 6.90% PIK, 12/30/27 | EUR | 640 | 511,791 |
9
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Flint Group Packaging INKS North America Holdings LLC: (continued) | |||
Term Loan - Second Lien, 10.958%, (3 mo. EURIBOR + 7.00%), 4.058% cash, 6.90% PIK, 12/30/27 | EUR | 853 | $ 108,831 |
Flint Group Topco Ltd.: | |||
Term Loan, 5.677%, (SOFR + 0.36%), 12/31/27(9) | 2,904 | 2,149,045 | |
Term Loan - Second Lien, 12.577%, (SOFR + 7.26%), 5.677% cash, 6.90% PIK, 12/31/27 | 3,873 | 456,990 | |
Gemini HDPE LLC, Term Loan, 8.574%, (SOFR + 3.00%), 12/31/27 | 5,612 | 5,583,508 | |
GEON Performance Solutions LLC, Term Loan, 10.36%, (SOFR + 4.75%), 8/18/28 | 7,601 | 7,588,111 | |
Groupe Solmax, Inc., Term Loan, 10.234%, (SOFR + 4.75%), 5/29/28(9) | 19,823 | 19,197,166 | |
INEOS Enterprises Holdings II Ltd., Term Loan, 7.955%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 2,325 | 2,519,432 |
INEOS Enterprises Holdings U.S. Finco LLC, Term Loan, 9.238%, (SOFR + 3.75%), 7/8/30 | 14,000 | 13,860,000 | |
INEOS Finance PLC: | |||
Term Loan, 6.603%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 9,675 | 10,292,403 |
Term Loan, 7.853%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 7,846 | 8,476,191 |
INEOS Quattro Holdings U.K. Ltd.: | |||
Term Loan, 6.603%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 15,815 | 17,151,378 |
Term Loan, 7.853%, (1 mo. EURIBOR + 4.00%), 3/14/30 | EUR | 4,075 | 4,395,596 |
Term Loan, 9.087%, (SOFR + 3.75%), 3/14/30 | 6,094 | 6,090,566 | |
INEOS U.S. Finance LLC: | |||
Term Loan, 7.837%, (SOFR + 2.50%), 11/8/28 | 6,750 | 6,662,833 | |
Term Loan, 8.933%, (SOFR + 3.50%), 2/18/30 | 11,094 | 10,986,769 | |
Term Loan, 9.183%, (SOFR + 3.75%), 11/8/27 | 3,414 | 3,397,303 | |
Term Loan, 1/31/31(10) | 7,100 | 7,051,188 | |
Kraton Corp., Term Loan, 8.896%, (SOFR + 3.25%), 3/15/29 | 6,116 | 6,036,554 | |
Kraton Polymers Holdings BV, Term Loan, 7.204%, (EURIBOR + 3.25%), 3/15/29(9) | EUR | 4,650 | 4,959,300 |
Lonza Group AG: | |||
Term Loan, 7.85%, (3 mo. EURIBOR + 3.93%), 7/3/28 | EUR | 9,600 | 9,769,533 |
Term Loan, 9.373%, (SOFR + 3.93%), 7/3/28 | 14,684 | 13,674,046 | |
Momentive Performance Materials, Inc., Term Loan, 9.833%, (SOFR + 4.50%), 3/29/28 | 16,081 | 15,853,288 | |
Olympus Water U.S. Holding Corp.: | |||
Term Loan, 9.36%, (SOFR + 3.75%), 11/9/28 | 4,427 | 4,418,550 | |
Term Loan, 9.566%, (SOFR + 4.25%), 11/9/28 | 5,846 | 5,858,666 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Orion Engineered Carbons GmbH, Term Loan, 6.325%, (3 mo. EURIBOR + 2.40%), 9/24/28 | EUR | 1,250 | $ 1,340,180 |
PQ Corp., Term Loan, 7.913%, (SOFR + 2.50%), 6/9/28 | 25,139 | 25,163,812 | |
Rohm Holding GmbH: | |||
Term Loan, 8.366%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 1,000 | 1,014,207 |
Term Loan, 8.472%, (3 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 13,700 | 13,894,634 |
Term Loan, 10.581%, (SOFR + 5.00%), 7/31/26 | 17,305 | 16,039,366 | |
SCUR-Alpha 1503 GmbH, Term Loan, 10.813%, (SOFR + 5.50%), 3/29/30 | 6,848 | 6,428,916 | |
Tronox Finance LLC: | |||
Term Loan, 8.082%, (SOFR + 2.50%), 3/10/28(9) | 12,836 | 12,820,109 | |
Term Loan, 8.598%, (SOFR + 3.25%), 4/4/29 | 3,905 | 3,907,878 | |
Term Loan, 8.848%, (SOFR + 3.50%), 8/16/28 | 6,425 | 6,433,031 | |
W.R. Grace & Co.-Conn., Term Loan, 9.36%, (SOFR + 3.75%), 9/22/28 | 12,936 | 12,961,104 | |
$ 328,543,038 | |||
Commercial Services & Supplies — 2.4% | |||
Albion Financing 3 SARL: | |||
Term Loan, 10.827%, (SOFR + 5.25%), 8/17/26 | 19,943 | $ 20,059,328 | |
Term Loan, 10.878%, (SOFR + 5.50%), 8/17/26 | 4,243 | 4,269,456 | |
Asplundh Tree Expert LLC, Term Loan, 7.183%, (SOFR + 1.75%), 9/7/27 | 10,110 | 10,111,730 | |
Belfor Holdings, Inc., Term Loan, 9.083%, (SOFR + 3.75%), 11/1/30 | 8,425 | 8,435,531 | |
EnergySolutions LLC, Term Loan, 9.313%, (SOFR + 4.00%), 9/20/30 | 17,204 | 17,234,341 | |
Foundever Group, Term Loan, 7.61%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 7,075 | 7,598,167 |
Foundever Worldwide Corp., Term Loan, 9.197%, (SOFR + 3.75%), 8/28/28 | 15,875 | 15,362,855 | |
GFL Environmental, Inc., Term Loan, 7.816%, (SOFR + 2.50%), 5/31/27 | 4,311 | 4,317,799 | |
Harsco Corp., Term Loan, 7.697%, (SOFR + 2.25%), 3/10/28 | 1,297 | 1,285,317 | |
Heritage-Crystal Clean, Inc., Term Loan, 10.317%, (SOFR + 5.00%), 10/17/30 | 9,375 | 9,386,719 | |
LABL, Inc., Term Loan, 10.433%, (SOFR + 5.00%), 10/29/28 | 9,334 | 8,905,113 | |
Monitronics International, Inc., Term Loan, 13.074%, (SOFR + 7.50%), 6/30/28 | 10,973 | 11,041,755 |
10
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Phoenix Services International LLC, Term Loan, 11.437%, (SOFR + 6.10%), 6/30/28 | 3,527 | $ 3,315,481 | |
Tempo Acquisition LLC, Term Loan, 8.083%, (SOFR + 2.75%), 8/31/28 | 4,188 | 4,193,286 | |
TMF Group Holding BV, Term Loan, 9.329%, (SOFR + 4.00%), 5/3/28 | 5,175 | 5,204,109 | |
TruGreen LP, Term Loan, 9.433%, (SOFR + 4.00%), 11/2/27 | 9,309 | 9,012,647 | |
$ 139,733,634 | |||
Construction Materials — 0.3% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 8.072%, (SOFR + 2.63%), 2/1/27 | 4,730 | $ 4,733,917 | |
Term Loan, 8.197%, (SOFR + 2.75%), 3/19/29 | 11,274 | 11,283,247 | |
$ 16,017,164 | |||
Consumer Staples Distribution & Retail — 0.5% | |||
Cardenas Markets, Inc., Term Loan, 12.198%, (SOFR + 6.75%), 8/1/29 | 5,359 | $ 5,368,091 | |
Peer Holding III BV: | |||
Term Loan, 7.675%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 7,550 | 8,191,165 |
Term Loan, 8.598%, (SOFR + 3.25%), 10/28/30 | 14,625 | 14,664,605 | |
$ 28,223,861 | |||
Containers & Packaging — 2.1% | |||
Berlin Packaging LLC, Term Loan, 9.223%, (SOFR + 3.75%), 3/11/28(9) | 9,656 | $ 9,614,741 | |
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.108%, (SOFR + 3.68%), 4/13/29 | 22,622 | 22,512,851 | |
Kouti BV: | |||
Term Loan, 7.38%, (3 mo. EURIBOR + 3.43%), 8/31/28 | EUR | 32,750 | 35,116,442 |
Term Loan, 8.705%, (3 mo. EURIBOR + 4.75%), 8/31/28 | EUR | 2,000 | 2,167,705 |
Pregis TopCo Corp.: | |||
Term Loan, 9.083%, (SOFR + 3.75%), 7/31/26 | 2,328 | 2,331,942 | |
Term Loan, 9.197%, (SOFR + 3.75%), 7/31/26 | 1,613 | 1,614,135 | |
Pretium Packaging LLC, Term Loan - Second Lien, 11.356%, (SOFR + 6.00%), 9.953% cash, 1.403% PIK, 10/2/28 | 7,268 | 5,986,993 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.208%, (SOFR + 6.75%), 10/1/29 | 7,100 | 3,126,215 | |
Proampac PG Borrower LLC, Term Loan, 9.821%, (SOFR + 4.50%), 9/15/28 | 15,000 | 15,043,755 | |
Trident TPI Holdings, Inc.: | |||
Term Loan, 9.61%, (SOFR + 4.00%), 9/15/28 | 6,479 | 6,470,233 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging (continued) | |||
Trident TPI Holdings, Inc.: (continued) | |||
Term Loan, 9.848%, (SOFR + 4.50%), 9/15/28 | 17,488 | $ 17,485,322 | |
$ 121,470,334 | |||
Distributors — 0.4% | |||
Parts Europe SA, Term Loan, 2/3/31(10) | EUR | 19,225 | $ 20,848,951 |
Phillips Feed Service, Inc., Term Loan, 12.433%, (SOFR + 7.00%), 11/13/24(3) | 537 | 429,253 | |
Rubix Group Midco 3 Ltd., Term Loan, 9/30/26(10) | EUR | 2,000 | 2,165,003 |
Winterfell Financing SARL, Term Loan, 8.973%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,500 | 2,707,943 |
$ 26,151,150 | |||
Diversified Consumer Services — 1.4% | |||
Ascend Learning LLC: | |||
Term Loan, 8.933%, (SOFR + 3.50%), 12/11/28 | 12,440 | $ 12,213,190 | |
Term Loan - Second Lien, 11.183%, (SOFR + 5.75%), 12/10/29 | 5,243 | 4,867,548 | |
Belron Finance U.S. LLC: | |||
Term Loan, 7.448%, (SOFR + 2.00%), 4/13/28 | 9,920 | 9,936,552 | |
Term Loan, 7.664%, (SOFR + 2.25%), 4/18/29 | 1,841 | 1,842,721 | |
FrontDoor, Inc., Term Loan, 7.697%, (SOFR + 2.25%), 6/17/28 | 951 | 952,407 | |
KUEHG Corp., Term Loan, 10.348%, (SOFR + 5.00%), 6/12/30 | 18,204 | 18,252,726 | |
Sotheby's, Term Loan, 10.076%, (SOFR + 4.50%), 1/15/27 | 10,396 | 10,326,679 | |
Spring Education Group, Inc., Term Loan, 9.848%, (SOFR + 4.50%), 10/4/30 | 4,725 | 4,733,859 | |
Wand NewCo 3, Inc., Term Loan, 1/30/31(10) | 16,500 | 16,532,225 | |
$ 79,657,907 | |||
Diversified Financial Services — 0.1% | |||
Concorde Midco Ltd., Term Loan, 7.909%, (3 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 7,480 | $ 8,092,392 |
$ 8,092,392 | |||
Diversified Telecommunication Services — 0.9% | |||
CenturyLink, Inc., Term Loan, 7.697%, (SOFR + 2.25%), 3/15/27 | 28,563 | $ 19,882,027 | |
GEE Holdings 2 LLC: | |||
Term Loan, 13.46%, (SOFR + 8.00%), 3/24/25 | 9,869 | 8,980,646 | |
Term Loan - Second Lien, 13.71%, (SOFR + 9.75%), 5.46% cash, 8.25% PIK, 3/23/26 | 7,935 | 4,760,804 | |
Level 3 Financing, Inc., Term Loan, 7.197%, (SOFR + 1.75%), 3/1/27 | 11,500 | 11,079,019 |
11
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
Virgin Media Bristol LLC, Term Loan, 7.948%, (SOFR + 2.50%), 1/31/28 | 4,843 | $ 4,759,290 | |
Virgin Media SFA Finance Ltd., Term Loan, 6.38%, (1 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 1,125 | 1,208,189 |
$ 50,669,975 | |||
Electrical Equipment — 0.7% | |||
Brookfield WEC Holdings, Inc., Term Loan, 8.086%, (SOFR + 2.75%), 1/17/31 | 40,414 | $ 40,259,289 | |
$ 40,259,289 | |||
Electronic Equipment, Instruments & Components — 1.9% | |||
Chamberlain Group, Inc., Term Loan, 11/3/28(10) | 15,150 | $ 15,034,800 | |
Creation Technologies, Inc., Term Loan, 11.092%, (SOFR + 5.50%), 10/5/28 | 15,474 | 15,048,548 | |
II-VI Incorporated, Term Loan, 8.197%, (SOFR + 2.75%), 7/2/29 | 1,418 | 1,414,308 | |
Ingram Micro, Inc., Term Loan, 8.61%, (SOFR + 3.00%), 6/30/28 | 4,481 | 4,485,437 | |
Minimax Viking GmbH, Term Loan, 7.103%, (1 mo. EURIBOR + 3.25%), 7/31/28 | EUR | 3,964 | 4,317,147 |
Mirion Technologies, Inc., Term Loan, 8.36%, (SOFR + 2.75%), 10/20/28 | 2,350 | 2,347,760 | |
MX Holdings U.S., Inc., Term Loan, 8.197%, (SOFR + 2.75%), 7/31/28 | 3,333 | 3,337,417 | |
Robertshaw U.S. Holding Corp.: | |||
Term Loan, 13.43%, (SOFR + 8.00%), 2/28/27 | 4 | 4,071 | |
Term Loan, 13.43%, (SOFR + 8.00%), 8.43% cash, 5.00% PIK, 2/28/27 | 21,945 | 22,072,739 | |
Term Loan - Second Lien, 12.448%, (SOFR + 7.00%), 2/28/27 | 20,615 | 17,007,473 | |
TTM Technologies, Inc., Term Loan, 8.103%, (SOFR + 2.75%), 5/30/30 | 6,965 | 6,973,706 | |
Verifone Systems, Inc., Term Loan, 9.641%, (SOFR + 4.00%), 8/20/25 | 20,354 | 19,552,111 | |
$ 111,595,517 | |||
Energy Equipment & Services — 0.5% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 12.121%, (SOFR + 8.00%), 3/28/24(3)(11) | 2,263 | $ 1,810,236 | |
Term Loan, 18.36%, (SOFR + 13.00%), 13.36% cash, 5.00% PIK, 3/28/24(3) | 17,819 | 14,253,816 | |
GIP Pilot Acquisition Partners LP, Term Loan, 8.327%, (SOFR + 3.00%), 10/4/30 | 6,250 | 6,263,019 | |
Lealand Finance Co. BV: | |||
Letter of Credit, 3.638%, (LOC + 4.75%), 6/28/24(11) | 10,000 | 8,500,000 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Energy Equipment & Services (continued) | |||
Lealand Finance Co. BV: (continued) | |||
Term Loan, 9.447%, (SOFR + 4.00%), 6.447% cash, 3.00% PIK, 6/30/25 | 3,461 | $ 1,466,651 | |
$ 32,293,722 | |||
Engineering & Construction — 1.1% | |||
Aegion Corp., Term Loan, 9.587%, (SOFR + 4.25%), 5/17/28 | 17,641 | $ 17,657,183 | |
American Residential Services LLC, Term Loan, 9.11%, (SOFR + 3.50%), 10/15/27 | 8,424 | 8,413,162 | |
APi Group DE, Inc.: | |||
Term Loan, 7.701%, (SOFR + 2.25%), 10/1/26 | 11,043 | 11,074,646 | |
Term Loan, 7.951%, (SOFR + 2.50%), 1/3/29 | 5,176 | 5,178,837 | |
Centuri Group, Inc., Term Loan, 7.947%, (SOFR + 2.50%), 8/27/28 | 9,117 | 9,137,812 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.947%, (SOFR + 5.50%), 11/12/26 | 12,874 | 12,882,234 | |
Term Loan, 10.951%, (SOFR + 5.50%), 11/12/26 | 1,950 | 1,952,437 | |
$ 66,296,311 | |||
Entertainment — 1.2% | |||
City Football Group Ltd., Term Loan, 8.451%, (SOFR + 3.00%), 7/21/28 | 11,970 | $ 11,920,473 | |
Crown Finance U.S., Inc., Term Loan, 13.947%, (SOFR + 8.50%), 6.947% cash, 7.00% PIK, 7/31/28 | 2,550 | 2,582,557 | |
Delta 2 (LUX) SARL, Term Loan, 7.598%, (SOFR + 2.25%), 1/15/30 | 2,500 | 2,502,500 | |
EP Purchaser LLC, Term Loan, 9.11%, (SOFR + 3.50%), 11/6/28 | 995 | 989,340 | |
Playtika Holding Corp., Term Loan, 8.197%, (SOFR + 2.75%), 3/13/28 | 23,201 | 23,172,053 | |
Renaissance Holding Corp., Term Loan, 10.083%, (SOFR + 4.75%), 4/5/30 | 13,716 | 13,741,342 | |
UFC Holdings LLC, Term Loan, 8.336%, (SOFR + 2.75%), 4/29/26 | 14,659 | 14,668,591 | |
Vue International Bidco PLC: | |||
Term Loan, 12.13%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 384 | 407,171 |
Term Loan, 12.63%, (6 mo. EURIBOR + 8.50%), 6.13% cash, 6.50% PIK, 12/31/27 | EUR | 2,682 | 985,466 |
$ 70,969,493 |
12
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Equity Real Estate Investment Trusts (REITs) — 0.4% | |||
Iron Mountain, Inc.: | |||
Term Loan, 7.197%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 8,930 | $ 8,916,239 | |
Term Loan, 7.587%, (SOFR + 2.25%), 1/31/31 | 13,450 | 13,428,991 | |
$ 22,345,230 | |||
Financial Services — 1.5% | |||
Ditech Holding Corp., Term Loan, 0.00%, 6/30/24(12) | 15,063 | $ 1,656,959 | |
GTCR W Merger Sub LLC: | |||
Term Loan, 1/31/29(10) | 38,850 | 38,870,824 | |
Term Loan, 9/20/30(10) | EUR | 1,000 | 1,089,616 |
NCR Atleos LLC, Term Loan, 10.163%, (SOFR + 4.75%), 3/27/29(9) | 17,400 | 17,448,929 | |
Nuvei Technologies Corp., Term Loan, 12/19/30(10) | 10,950 | 10,952,737 | |
Walker & Dunlop, Inc., Term Loan, 7.683%, (SOFR + 2.25%), 12/16/28 | 13,941 | 13,923,074 | |
WEX, Inc., Term Loan, 7.333%, (SOFR + 2.25%), 3/31/28 | 4,328 | 4,317,706 | |
$ 88,259,845 | |||
Food Products — 1.7% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.197%, (SOFR + 4.75%), 10/1/25 | 7,234 | $ 7,048,142 | |
Badger Buyer Corp., Term Loan, 8.951%, (SOFR + 3.50%), 9/30/24 | 9,467 | 8,804,693 | |
CHG PPC Parent LLC, Term Loan, 8.447%, (SOFR + 3.00%), 12/8/28 | 6,214 | 6,221,460 | |
Del Monte Foods, Inc., Term Loan, 9.683%, (SOFR + 4.25%), 5/16/29 | 6,542 | 5,902,283 | |
Froneri International Ltd.: | |||
Term Loan, 5.991%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,620,817 |
Term Loan, 7.683%, (SOFR + 2.25%), 1/29/27 | 8,684 | 8,682,289 | |
Monogram Food Solutions LLC, Term Loan, 9.447%, (SOFR + 4.00%), 8/28/28 | 1,765 | 1,747,430 | |
Nomad Foods U.S. LLC, Term Loan, 8.469%, (SOFR + 3.00%), 11/13/29 | 14,174 | 14,199,525 | |
Shearer's Foods, Inc., Term Loan, 1/31/31(10) | 9,875 | 9,776,250 | |
Sovos Brands Intermediate, Inc., Term Loan, 9.074%, (SOFR + 3.50%), 6/8/28 | 9,191 | 9,221,383 | |
United Petfood Finance BV, Term Loan, 6.852%, (6 mo. EURIBOR + 2.75%), 4/24/28 | EUR | 9,025 | 9,659,853 |
Valeo F1 Co. Ltd. (Ireland): | |||
Term Loan, 8.136%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 9,450 | 9,740,283 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Food Products (continued) | |||
Valeo F1 Co. Ltd. (Ireland): (continued) | |||
Term Loan, 10.186%, (SONIA + 5.00%), 6/28/28 | GBP | 5,500 | $ 6,486,597 |
$ 99,111,005 | |||
Gas Utilities — 0.4% | |||
CQP Holdco LP, Term Loan, 8.348%, (SOFR + 3.00%), 12/31/30 | 22,045 | $ 22,036,969 | |
$ 22,036,969 | |||
Health Care Equipment & Supplies — 0.9% | |||
Bayou Intermediate II LLC, Term Loan, 10.154%, (SOFR + 4.50%), 8/2/28 | 9,070 | $ 8,706,914 | |
Journey Personal Care Corp., Term Loan, 9.701%, (SOFR + 4.25%), 3/1/28 | 26,080 | 25,612,904 | |
Medline Borrower LP: | |||
Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 10/23/28 | EUR | 1,000 | 1,083,884 |
Term Loan, 8.451%, (SOFR + 3.00%), 10/23/28 | 19,178 | 19,176,846 | |
$ 54,580,548 | |||
Health Care Providers & Services — 5.7% | |||
AEA International Holdings (Lux) SARL, Term Loan, 8.819%, (SOFR + 3.50%), 9/7/28 | 14,822 | $ 14,849,984 | |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.348%, (SOFR + 8.00%), 1/15/26 | 22,831 | 19,520,369 | |
Cano Health LLC, Term Loan, 9.463%, (SOFR + 4.00%), 11/23/27(9) | 7,589 | 3,162,281 | |
CCRR Parent, Inc., Term Loan, 9.197%, (SOFR + 3.75%), 3/6/28 | 5,222 | 5,012,856 | |
Cerba Healthcare SAS: | |||
Term Loan, 7.553%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 20,800 | 21,029,506 |
Term Loan, 7.853%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 8,600 | 8,780,917 |
CHG Healthcare Services, Inc.: | |||
Term Loan, 8.697%, (SOFR + 3.25%), 9/29/28 | 7,843 | 7,827,430 | |
Term Loan, 9.083%, (SOFR + 3.75%), 9/29/28 | 5,275 | 5,281,594 | |
Covis Finco SARL: | |||
Term Loan, 0.00%, 2/18/27(12) | 10,270 | 3,889,917 | |
Term Loan, 0.00%, 2/18/27(12) | 4,368 | 4,193,458 | |
Dedalus Finance GmbH, Term Loan, 7.612%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 14,150 | 14,980,855 |
Elsan SAS, Term Loan, 7.39%, (6 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,150 | 4,480,466 |
Ensemble RCM LLC, Term Loan, 8.317%, (SOFR + 3.00%), 8/1/29 | 7,960 | 7,958,710 |
13
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
IVC Acquisition Ltd.: | |||
Term Loan, 9.071%, (3 mo. EURIBOR + 5.00%), 11/13/26 | EUR | 20,825 | $ 22,604,044 |
Term Loan, 10.886%, (SOFR + 5.50%), 11/17/28 | 13,750 | 13,790,109 | |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.683%, (SOFR + 3.25%), 11/1/28 | 15,136 | 13,703,148 | |
Term Loan - Second Lien, 12.433%, (SOFR + 7.00%), 11/1/29 | 9,500 | 7,861,250 | |
Mehilainen Yhtiot OYJ, Term Loan, 7.45%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,475 | 7,015,028 |
Midwest Physician Administrative Services LLC, Term Loan, 8.86%, (SOFR + 3.25%), 3/12/28 | 10,004 | 8,933,819 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.186%, (SOFR + 3.75%), 3/2/28(9) | 15,694 | 14,356,505 | |
Term Loan, 9.198%, (SOFR + 3.75%), 3/2/28 | 438 | 400,369 | |
Term Loan - Second Lien, 12.698%, (SOFR + 7.25%), 3/2/29 | 6,475 | 4,931,794 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.697%, (SOFR + 3.25%), 3/5/26 | 23,991 | 23,949,916 | |
Term Loan, 8.947%, (SOFR + 3.50%), 3/5/26 | 4,423 | 4,414,941 | |
R1 RCM, Inc., Term Loan, 6/21/29(10) | 3,025 | 3,031,806 | |
Ramsay Generale de Sante SA, Term Loan, 6.92%, (3 mo. EURIBOR + 2.95%), 4/22/27 | EUR | 7,400 | 8,007,178 |
Select Medical Corp., Term Loan, 8.333%, (SOFR + 3.00%), 3/6/27 | 56,176 | 56,210,723 | |
Sound Inpatient Physicians, Term Loan, 8.574%, (SOFR + 3.00%), 6/27/25 | 2,559 | 866,029 | |
Synlab Bondco PLC: | |||
Term Loan, 6.361%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,600 | 2,799,722 |
Term Loan, 12/12/30(10) | EUR | 6,925 | 7,524,778 |
TTF Holdings LLC, Term Loan, 9.447%, (SOFR + 4.00%), 3/31/28 | 5,644 | 5,656,079 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.717%, (SOFR + 4.25%), 10/1/28 | 9,395 | 8,896,104 | |
$ 335,921,685 | |||
Health Care Technology — 1.8% | |||
Certara LP, Term Loan, 9.15%, (SOFR + 3.50%), 8/15/26 | 9,259 | $ 9,282,302 | |
eResearchTechnology, Inc., Term Loan, 9.947%, (SOFR + 4.50%), 2/4/27 | 9,538 | 9,520,620 | |
Imprivata, Inc.: | |||
Term Loan, 9.087%, (SOFR + 3.75%), 12/1/27 | 15,158 | 15,188,323 | |
Term Loan, 9.563%, (SOFR + 4.25%), 12/1/27 | 3,571 | 3,575,645 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Technology (continued) | |||
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.447%, (SOFR + 4.00%), 12/18/28 | 17,489 | $ 14,777,782 | |
Term Loan - Second Lien, 12.201%, (SOFR + 6.75%), 12/17/29 | 9,625 | 5,871,250 | |
Navicure, Inc., Term Loan, 9.447%, (SOFR + 4.00%), 10/22/26 | 10,002 | 10,020,341 | |
PointClickCare Technologies, Inc., Term Loan, 8.61%, (SOFR + 3.00%), 12/29/27 | 4,277 | 4,285,035 | |
Project Ruby Ultimate Parent Corp., Term Loan, 3/10/28(10) | 4,675 | 4,669,156 | |
Symplr Software, Inc., Term Loan, 9.913%, (SOFR + 4.50%), 12/22/27 | 11,416 | 10,395,388 | |
Verscend Holding Corp., Term Loan, 9.447%, (SOFR + 4.00%), 8/27/25 | 21,307 | 21,350,754 | |
$ 108,936,596 | |||
Hotels, Restaurants & Leisure — 5.9% | |||
1011778 BC Unlimited Liability Co., Term Loan, 7.583%, (SOFR + 2.25%), 9/20/30 | 45,515 | $ 45,340,275 | |
Bally's Corp., Term Loan, 8.829%, (SOFR + 3.25%), 10/2/28 | 3,824 | 3,600,301 | |
Caesars Entertainment, Inc., Term Loan, 1/24/31(10) | 30,225 | 30,212,396 | |
Carnival Corp.: | |||
Term Loan, 7.603%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 9,522 | 10,323,036 |
Term Loan, 8.697%, (SOFR + 3.25%), 10/18/28 | 39,886 | 39,935,858 | |
ClubCorp Holdings, Inc., Term Loan, 10.61%, (SOFR + 5.00%), 9/18/26 | 22,761 | 22,502,024 | |
Fertitta Entertainment LLC, Term Loan, 9.333%, (SOFR + 4.00%), 1/27/29 | 29,552 | 29,513,678 | |
Flutter Financing BV, Term Loan, 7.698%, (SOFR + 2.25%), 11/25/30 | 41,325 | 41,264,748 | |
Great Canadian Gaming Corp., Term Loan, 9.633%, (SOFR + 4.00%), 11/1/26 | 9,619 | 9,631,099 | |
GVC Holdings (Gibraltar) Ltd., Term Loan, 7.675%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 21,325 | 23,193,172 |
Light and Wonder International, Inc., Term Loan, 8.083%, (SOFR + 2.75%), 4/14/29 | 7,865 | 7,844,505 | |
Ontario Gaming GTA LP, Term Loan, 9.598%, (SOFR + 4.25%), 8/1/30 | 12,025 | 12,058,814 | |
Oravel Stays Singapore Pte. Ltd., Term Loan, 13.883%, (SOFR + 8.25%), 6/23/26 | 3,829 | 3,580,550 | |
Playa Resorts Holding BV, Term Loan, 8.582%, (SOFR + 3.25%), 1/5/29 | 41,678 | 41,701,941 | |
Scientific Games Holdings LP, Term Loan, 7.679%, (3 mo. EURIBOR + 3.75%), 4/4/29 | EUR | 1,000 | 1,079,630 |
14
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
SeaWorld Parks & Entertainment, Inc., Term Loan, 7.833%, (SOFR + 2.50%), 8/25/28 | 13,261 | $ 13,261,323 | |
Stars Group Holdings BV, Term Loan, 6.425%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 12,305 | 13,350,356 |
$ 348,393,706 | |||
Household Durables — 1.2% | |||
ACProducts, Inc., Term Loan, 9.86%, (SOFR + 4.25%), 5/17/28 | 20,325 | $ 17,635,446 | |
Libbey Glass, Inc., Term Loan, 11.974%, (SOFR + 6.50%), 11/22/27 | 19,662 | 18,776,823 | |
Serta Simmons Bedding, Inc., Term Loan, 12.963%, (SOFR + 7.50%), 6/29/28 | 20,679 | 19,489,591 | |
Solis IV BV, Term Loan, 8.88%, (SOFR + 3.50%), 2/26/29 | 17,922 | 17,656,197 | |
$ 73,558,057 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.701%, (SOFR + 2.25%), 12/22/27 | 6,473 | $ 6,464,102 | |
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.36%, (SOFR + 3.75%), 12/22/26 | 9,782 | 9,796,228 | |
Term Loan, 11.538%, (SOFR + 6.00%), 12/22/26 | 5,635 | 5,663,175 | |
Nobel Bidco BV, Term Loan, 7.475%, (3 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 6,550 | 6,904,064 |
$ 28,827,569 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||
Calpine Construction Finance Co. LP, Term Loan, 7.587%, (SOFR + 2.25%), 7/31/30 | 10,493 | $ 10,438,137 | |
Calpine Corp.: | |||
Term Loan, 7.333%, (SOFR + 2.00%), 1/31/31 | 3,166 | 3,142,633 | |
Term Loan, 1/31/31(10) | 3,574 | 3,548,543 | |
$ 17,129,313 | |||
Industrial Conglomerates — 0.5% | |||
Ammeraal Beltech Holding BV, Term Loan, 8.925%, (3 mo. EURIBOR + 5.00%), 12/30/28 | EUR | 10,775 | $ 11,684,975 |
Rain Carbon GmbH, Term Loan, 8.994%, (3 mo. EURIBOR + 5.00%), 10/31/28 | EUR | 15,426 | 16,670,572 |
$ 28,355,547 | |||
Industrials Conglomerates — 0.5% | |||
Kohler Energy Co. LLC, Term Loan, 1/30/31(10) | 30,300 | $ 29,542,500 | |
$ 29,542,500 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Insurance — 2.2% | |||
Alliant Holdings Intermediate LLC, Term Loan, 8.833%, (SOFR + 3.50%), 11/6/30 | 13,799 | $ 13,841,798 | |
AmWINS Group, Inc.: | |||
Term Loan, 7.697%, (SOFR + 2.25%), 2/19/28 | 11,273 | 11,236,406 | |
Term Loan, 8.197%, (SOFR + 2.75%), 2/19/28 | 15,380 | 15,373,411 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.833%, (SOFR + 3.50%), 2/12/27 | 5,281 | 5,270,486 | |
Term Loan, 8.947%, (SOFR + 3.50%), 2/12/27 | 12,933 | 12,911,420 | |
Financiere CEP SAS, Term Loan, 7.885%, (6 mo. EURIBOR + 4.00%), 6/18/27 | EUR | 6,242 | 6,762,278 |
HUB International Ltd., Term Loan, 8.574%, (SOFR + 3.25%), 6/20/30 | 17,714 | 16,570,258 | |
NFP Corp., Term Loan, 8.697%, (SOFR + 3.25%), 2/16/27 | 27,559 | 27,636,134 | |
Ryan Specialty Group LLC, Term Loan, 8.083%, (SOFR + 2.75%), 9/1/27 | 9,789 | 9,804,941 | |
USI, Inc., Term Loan, 8.598%, (SOFR + 3.25%), 9/27/30 | 9,027 | 9,023,611 | |
$ 128,430,743 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.425%, (3 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 6,468 | $ 7,015,254 |
Term Loan, 8.362%, (SOFR + 2.75%), 6/26/28 | 2,674 | 2,685,512 | |
Buzz Finco LLC: | |||
Term Loan, 8.183%, (SOFR + 2.75%), 1/29/27 | 2,727 | 2,725,076 | |
Term Loan, 8.683%, (SOFR + 3.25%), 1/29/27 | 549 | 548,841 | |
Foundational Education Group, Inc., Term Loan, 9.324%, (SOFR + 3.75%), 8/31/28 | 3,549 | 3,491,335 | |
Getty Images, Inc.: | |||
Term Loan, 8.875%, (1 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,416,578 |
Term Loan, 9.948%, (SOFR + 4.50%), 2/19/26 | 15,014 | 15,026,458 | |
Match Group, Inc., Term Loan, 7.27%, (SOFR + 1.75%), 2/13/27 | 7,625 | 7,615,469 | |
$ 41,524,523 | |||
IT Services — 4.6% | |||
Asurion LLC: | |||
Term Loan, 9.433%, (SOFR + 4.00%), 8/19/28 | 21,490 | $ 21,251,102 | |
Term Loan, 9.683%, (SOFR + 4.25%), 8/19/28 | 7,319 | 7,250,520 | |
Term Loan - Second Lien, 10.697%, (SOFR + 5.25%), 1/31/28 | 18,610 | 17,865,600 | |
Term Loan - Second Lien, 10.697%, (SOFR + 5.25%), 1/20/29 | 4,375 | 4,158,643 |
15
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 33,658 | $ 32,690,482 | |
Gainwell Acquisition Corp., Term Loan, 9.448%, (SOFR + 4.00%), 10/1/27 | 40,450 | 39,407,172 | |
Go Daddy Operating Co. LLC: | |||
Term Loan, 7.333%, (SOFR + 2.00%), 11/9/29 | 54,672 | 54,668,489 | |
Term Loan, 7.447%, (SOFR + 2.00%), 8/10/27 | 9,771 | 9,781,568 | |
Informatica LLC, Term Loan, 8.197%, (SOFR + 2.75%), 10/27/28 | 34,240 | 34,235,845 | |
NAB Holdings LLC, Term Loan, 8.248%, (SOFR + 2.75%), 11/23/28 | 13,762 | 13,768,632 | |
Rackspace Technology Global, Inc., Term Loan, 8.208%, (SOFR + 2.75%), 2/15/28 | 33,271 | 14,374,047 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.083%, (SOFR + 3.75%), 2/24/28 | 9,950 | 9,962,999 | |
team.blue Finco SARL, Term Loan, 7.125%, (2 mo. EURIBOR + 3.20%), 3/30/28 | EUR | 12,375 | 13,178,637 |
$ 272,593,736 | |||
Leisure Products — 0.9% | |||
Accell Group NV, Term Loan, 8.86%, (6 mo. EURIBOR + 4.90%), 6/14/29 | EUR | 3,500 | $ 2,338,814 |
Amer Sports OYJ, Term Loan, 7.853%, (1 mo. EURIBOR + 4.00%), 3/30/26 | EUR | 20,475 | 22,196,485 |
Fender Musical Instruments Corp., Term Loan, 9.437%, (SOFR + 4.00%), 12/1/28 | 4,258 | 4,141,140 | |
Hayward Industries, Inc., Term Loan, 8.197%, (SOFR + 2.75%), 5/30/28 | 12,249 | 12,241,488 | |
Recess Holdings, Inc., Term Loan, 9.388%, (SOFR + 4.00%), 3/29/27 | 7,781 | 7,780,500 | |
SRAM LLC, Term Loan, 8.197%, (SOFR + 2.75%), 5/18/28 | 1,974 | 1,968,262 | |
$ 50,666,689 | |||
Life Sciences Tools & Services — 2.9% | |||
Avantor Funding, Inc.: | |||
Term Loan, 6.353%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 18,733 | $ 20,291,871 |
Term Loan, 7.683%, (SOFR + 2.25%), 11/8/27 | 5,927 | 5,930,675 | |
Cambrex Corp., Term Loan, 8.933%, (SOFR + 3.50%), 12/4/26 | 5,937 | 5,816,690 | |
Catalent Pharma Solutions, Inc.: | |||
Term Loan, 7.451%, (SOFR + 2.00%), 2/22/28 | 780 | 769,761 | |
Term Loan, 8.335%, (SOFR + 3.00%), 2/22/28 | 3,550 | 3,545,562 | |
Curia Global, Inc., Term Loan, 9.163%, (SOFR + 3.75%), 8/30/26(9) | 19,369 | 17,839,483 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Life Sciences Tools & Services (continued) | |||
ICON Luxembourg SARL, Term Loan, 7.86%, (SOFR + 2.25%), 7/3/28 | 45,274 | $ 45,357,081 | |
IQVIA, Inc., Term Loan, 7.348%, (SOFR + 2.00%), 1/2/31 | 17,700 | 17,751,631 | |
LGC Group Holdings Ltd., Term Loan, 7.103%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 4,025 | 4,242,887 |
Loire Finco Luxembourg SARL, Term Loan, 8.933%, (SOFR + 3.50%), 4/21/27 | 3,476 | 3,415,125 | |
Packaging Coordinators Midco, Inc., Term Loan, 9.11%, (SOFR + 3.50%), 11/30/27 | 4,575 | 4,565,708 | |
PRA Health Sciences, Inc., Term Loan, 7.86%, (SOFR + 2.25%), 7/3/28 | 11,280 | 11,300,942 | |
Sotera Health Holdings LLC, Term Loan, 8.197%, (SOFR + 2.75%), 12/11/26 | 11,625 | 11,620,152 | |
Star Parent, Inc., Term Loan, 9.348%, (SOFR + 4.00%), 9/27/30 | 18,475 | 18,077,640 | |
$ 170,525,208 | |||
Machinery — 5.9% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.105%, (SOFR + 3.75%), 7/31/28 | 19,561 | $ 19,463,017 | |
Ali Group North America Corp., Term Loan, 7.447%, (SOFR + 2.00%), 7/30/29 | 16,190 | 16,187,532 | |
American Trailer World Corp., Term Loan, 9.183%, (SOFR + 3.75%), 3/3/28 | 16,117 | 15,786,133 | |
Apex Tool Group LLC, Term Loan, 10.687%, (SOFR + 5.25%), 2/8/29 | 23,457 | 20,825,398 | |
Barnes Group, Inc., Term Loan, 8.433%, (SOFR + 3.00%), 9/3/30 | 14,763 | 14,776,848 | |
Clark Equipment Co., Term Loan, 7.948%, (SOFR + 2.50%), 4/20/29 | 12,367 | 12,386,715 | |
Conair Holdings LLC, Term Loan, 9.197%, (SOFR + 3.75%), 5/17/28 | 25,977 | 25,322,986 | |
CPM Holdings, Inc., Term Loan, 9.853%, (SOFR + 4.50%), 9/28/28 | 7,000 | 7,015,316 | |
Delachaux Group SA, Term Loan, 8.162%, (3 mo. EURIBOR + 4.25%), 4/16/29 | EUR | 8,400 | 9,117,597 |
EMRLD Borrower LP, Term Loan, 8.313%, (SOFR + 3.00%), 5/31/30 | 14,753 | 14,777,100 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 7.675%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 11,852 | 12,733,949 |
Term Loan, 9.36%, (SOFR + 3.50%), 5/19/28 | 22,525 | 22,422,248 | |
Term Loan - Second Lien, 11.61%, (SOFR + 6.00%), 5/21/29 | 2,000 | 1,970,000 | |
Filtration Group Corp., Term Loan, 8.947%, (SOFR + 3.50%), 10/21/28 | 3,210 | 3,211,431 | |
Gates Global LLC, Term Loan, 7.933%, (SOFR + 2.50%), 3/31/27 | 18,327 | 18,332,043 |
16
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Icebox Holdco III, Inc., Term Loan, 9.11%, (SOFR + 3.50%), 12/22/28 | 12,589 | $ 12,518,003 | |
INNIO Group Holding GmbH, Term Loan, 8.182%, (3 mo. EURIBOR + 4.25%), 11/2/28 | EUR | 4,722 | 5,122,255 |
Madison IAQ LLC, Term Loan, 8.701%, (SOFR + 3.25%), 6/21/28 | 22,966 | 22,822,935 | |
Pro Mach Group, Inc., Term Loan, 9.083%, (SOFR + 3.75%), 8/31/28 | 4,761 | 4,775,810 | |
Roper Industrial Products Investment Co. LLC: | |||
Term Loan, 8.425%, (3 mo. EURIBOR + 4.50%), 11/22/29 | EUR | 993 | 1,077,435 |
Term Loan, 9.348%, (SOFR + 4.00%), 11/22/29 | 11,247 | 11,264,105 | |
SPX Flow, Inc., Term Loan, 9.933%, (SOFR + 4.50%), 4/5/29 | 19,620 | 19,638,868 | |
Titan Acquisition Ltd., Term Loan, 8.447%, (SOFR + 3.00%), 3/28/25 | 29,801 | 29,801,430 | |
TK Elevator Topco GmbH, Term Loan, 7.491%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 12,100 | 13,107,346 |
Vertical U.S. Newco, Inc., Term Loan, 9.081%, (SOFR + 3.50%), 7/30/27 | 6 | 6,165 | |
Zephyr German BidCo GmbH, Term Loan, 7.775%, (3 mo. EURIBOR + 3.85%), 3/10/28 | EUR | 13,675 | 14,508,201 |
$ 348,970,866 | |||
Media — 0.9% | |||
Aragorn Parent Corp., Term Loan, 9.583%, (SOFR + 4.25%), 6/15/28 | 11,351 | $ 11,388,851 | |
Hubbard Radio LLC, Term Loan, 9.70%, (SOFR + 4.25%), 3/28/25 | 7,610 | 5,935,743 | |
iHeartCommunications, Inc.: | |||
Term Loan, 8.447%, (SOFR + 3.00%), 5/1/26 | 1,127 | 990,579 | |
Term Loan, 8.697%, (SOFR + 3.25%), 5/1/26 | 3,165 | 2,779,425 | |
Mission Broadcasting, Inc., Term Loan, 7.951%, (SOFR + 2.50%), 6/2/28 | 3,998 | 3,999,998 | |
Sinclair Television Group, Inc., Term Loan, 7.947%, (SOFR + 2.50%), 9/30/26 | 5,291 | 5,188,529 | |
Univision Communications, Inc., Term Loan, 8.697%, (SOFR + 3.25%), 3/15/26 | 23,134 | 23,147,148 | |
$ 53,430,273 | |||
Metals/Mining — 1.5% | |||
Arsenal AIC Parent LLC, Term Loan, 9.833%, (SOFR + 4.50%), 8/18/30 | 18,379 | $ 18,419,151 | |
Dynacast International LLC: | |||
Term Loan, 9.988%, (SOFR + 4.50%), 7/22/25 | 16,325 | 15,467,630 | |
Term Loan, 14.488%, (SOFR + 9.00%), 10/22/25 | 2,918 | 2,108,501 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Metals/Mining (continued) | |||
PMHC II, Inc., Term Loan, 9.723%, (SOFR + 4.25%), 4/23/29 | 24,578 | $ 23,503,170 | |
WireCo WorldGroup, Inc., Term Loan, 9.068%, (SOFR + 3.75%), 11/13/28 | 6,324 | 6,340,000 | |
Zekelman Industries, Inc., Term Loan, 7.448%, (SOFR + 2.00%), 1/24/27 | 21,761 | 21,810,380 | |
$ 87,648,832 | |||
Oil, Gas & Consumable Fuels — 1.3% | |||
Freeport LNG Investments LLP, Term Loan, 9.079%, (SOFR + 3.50%), 12/21/28 | 9,255 | $ 9,164,826 | |
GIP II Blue Holding LP, Term Loan, 9.947%, (SOFR + 4.50%), 9/29/28 | 17,228 | 17,275,406 | |
ITT Holdings LLC, Term Loan, 8.587%, (SOFR + 3.25%), 10/5/30 | 10,823 | 10,811,035 | |
Matador Bidco SARL, Term Loan, 9.933%, (SOFR + 4.50%), 10/15/26 | 30,332 | 30,487,007 | |
Oxbow Carbon LLC, Term Loan, 9.44%, (SOFR + 4.00%), 5/10/30(9) | 7,487 | 7,484,253 | |
$ 75,222,527 | |||
Personal Products — 0.2% | |||
HLF Financing SARL, Term Loan, 7.947%, (SOFR + 2.50%), 8/18/25 | 13,754 | $ 13,717,211 | |
$ 13,717,211 | |||
Pharmaceuticals — 2.1% | |||
Aenova Holding GmbH, Term Loan, 8.403%, (3 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 4,075 | $ 4,415,277 |
AI Sirona (Luxembourg) Acquisition SARL, Term Loan, 8.853%, (3 mo. EURIBOR + 5.00%), 9/30/28 | EUR | 12,550 | 13,605,171 |
Bausch Health Cos., Inc., Term Loan, 10.687%, (SOFR + 5.25%), 2/1/27 | 18,187 | 14,394,872 | |
Ceva Sante Animale: | |||
Term Loan, 8.175%, (3 mo. EURIBOR + 4.25%), 11/8/30 | EUR | 13,200 | 14,344,743 |
Term Loan, 9.616%, (SOFR + 4.25%), 11/1/30 | 5,375 | 5,408,594 | |
Elanco Animal Health, Inc., Term Loan, 7.203%, (SOFR + 1.75%), 8/1/27 | 7,938 | 7,807,278 | |
Jazz Financing Lux SARL, Term Loan, 8.447%, (SOFR + 3.00%), 5/5/28 | 12,741 | 12,748,547 | |
Mallinckrodt International Finance SA: | |||
Term Loan, 12.833%, (SOFR + 7.50%), 11/14/28 | 4,223 | 4,703,796 | |
Term Loan - Second Lien, 14.833%, (SOFR + 9.50%), 11/14/28 | 23,935 | 25,759,747 |
17
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
PharmaZell GmbH, Term Loan, 7.925%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,950 | $ 2,065,656 |
Recipharm AB, Term Loan, 6.944%, (3 mo. EURIBOR + 2.95%), 2/17/28 | EUR | 15,275 | 16,241,592 |
$ 121,495,273 | |||
Professional Services — 3.0% | |||
APFS Staffing Holdings, Inc., Term Loan, 9.333%, (SOFR + 4.00%), 12/29/28 | 3,930 | $ 3,903,799 | |
Apleona Holding GmbH, Term Loan, 6.612%, (3 mo. EURIBOR + 2.70%), 4/28/28 | EUR | 10,525 | 11,306,123 |
ASGN, Inc., Term Loan, 7.583%, (SOFR + 2.25%), 8/30/30 | 4,863 | 4,889,660 | |
CoreLogic, Inc.: | |||
Term Loan, 8.947%, (SOFR + 3.50%), 6/2/28 | 17,290 | 16,646,644 | |
Term Loan - Second Lien, 11.947%, (SOFR + 6.50%), 6/4/29 | 1,524 | 1,373,656 | |
Corporation Service Co., Term Loan, 8.183%, (SOFR + 2.75%), 11/2/29 | 4,624 | 4,635,625 | |
Deerfield Dakota Holding LLC, Term Loan, 9.098%, (SOFR + 3.75%), 4/9/27 | 10,700 | 10,524,713 | |
EAB Global, Inc., Term Loan, 8.947%, (SOFR + 3.50%), 8/16/28 | 15,656 | 15,642,913 | |
Employbridge Holding Co., Term Loan, 10.343%, (SOFR + 4.75%), 7/19/28 | 23,740 | 20,357,351 | |
First Advantage Holdings LLC, Term Loan, 8.197%, (SOFR + 2.75%), 1/31/27 | 3,606 | 3,618,113 | |
Genuine Financial Holdings LLC, Term Loan, 9.333%, (SOFR + 4.00%), 9/27/30 | 5,162 | 5,155,610 | |
Neptune Bidco U.S., Inc., Term Loan, 10.423%, (SOFR + 5.00%), 4/11/29 | 9,106 | 8,389,786 | |
Rockwood Service Corp., Term Loan, 9.697%, (SOFR + 4.25%), 1/23/27 | 11,272 | 11,320,996 | |
Trans Union LLC: | |||
Term Loan, 7.187%, (SOFR + 1.75%), 11/16/26 | 2,463 | 2,463,120 | |
Term Loan, 7.701%, (SOFR + 2.25%), 12/1/28 | 33,516 | 33,539,565 | |
Vaco Holdings LLC, Term Loan, 10.434%, (SOFR + 5.00%), 1/21/29 | 5,439 | 5,422,321 | |
Wood Mackenzie Ltd., Term Loan, 0.00%, 1/31/31 | 15,750 | 15,710,625 | |
$ 174,900,620 | |||
Real Estate Management & Development — 1.0% | |||
Cushman & Wakefield U.S. Borrower LLC: | |||
Term Loan, 8.197%, (SOFR + 2.75%), 8/21/25 | 921 | $ 921,474 | |
Term Loan, 8.683%, (SOFR + 3.25%), 1/31/30 | 10,607 | 10,527,756 | |
Term Loan, 9.333%, (SOFR + 4.00%), 1/31/30 | 8,009 | 7,974,368 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Real Estate Management & Development (continued) | |||
Greystar Real Estate Partners LLC: | |||
Term Loan, 9.125%, (SOFR + 3.75%), 8/21/30 | 8,329 | $ 8,339,536 | |
Term Loan, 8/21/30(10) | 2,300 | 2,300,000 | |
Homeserve USA Holding Corp., Term Loan, 8.337%, (SOFR + 3.00%), 10/21/30 | 12,075 | 12,085,058 | |
RE/MAX International, Inc., Term Loan, 7.947%, (SOFR + 2.50%), 7/21/28 | 17,843 | 17,075,273 | |
$ 59,223,465 | |||
Road & Rail — 2.6% | |||
Avis Budget Car Rental LLC: | |||
Term Loan, 7.197%, (SOFR + 1.75%), 8/6/27 | 33,683 | $ 33,622,315 | |
Term Loan, 8.433%, (SOFR + 3.00%), 3/16/29 | 2,993 | 3,000,541 | |
Grab Holdings, Inc., Term Loan, 9.947%, (SOFR + 4.50%), 1/29/26 | 17,023 | 17,029,923 | |
Hertz Corp.: | |||
Term Loan, 8.697%, (SOFR + 3.25%), 6/30/28 | 16,450 | 16,292,914 | |
Term Loan, 8.697%, (SOFR + 3.25%), 6/30/28 | 3,180 | 3,147,902 | |
Term Loan, 9.082%, (SOFR + 3.75%), 6/30/28 | 9,850 | 9,808,443 | |
Kenan Advantage Group, Inc., Term Loan, 9.086%, (SOFR + 3.75%), 1/25/29 | 16,777 | 16,750,767 | |
Uber Technologies, Inc., Term Loan, 8.135%, (SOFR + 2.75%), 3/3/30 | 54,495 | 54,566,961 | |
$ 154,219,766 | |||
Semiconductors & Semiconductor Equipment — 1.3% | |||
Altar Bidco, Inc.: | |||
Term Loan, 7.947%, (SOFR + 3.10%), 2/1/29 | 20,765 | $ 20,760,635 | |
Term Loan - Second Lien, 10.399%, (SOFR + 5.60%), 2/1/30 | 7,300 | 7,257,419 | |
Bright Bidco BV, Term Loan, 14.317%, (SOFR + 9.00%), 6.317% cash, 8.00% PIK, 10/31/27 | 4,466 | 1,412,320 | |
Entegris, Inc., Term Loan, 7.848%, (SOFR + 2.50%), 7/6/29(9) | 1,087 | 1,087,991 | |
MaxLinear, Inc., Term Loan, 7.701%, (SOFR + 2.25%), 6/23/28 | 3,250 | 3,217,500 | |
MKS Instruments, Inc., Term Loan, 7.848%, (SOFR + 2.50%), 8/17/29 | 37,058 | 37,060,307 | |
Synaptics, Inc., Term Loan, 7.875%, (SOFR + 2.25%), 12/2/28 | 3,165 | 3,158,003 | |
Ultra Clean Holdings, Inc., Term Loan, 9.197%, (SOFR + 3.75%), 8/27/25 | 2,825 | 2,834,011 | |
$ 76,788,186 | |||
Software — 15.8% | |||
Applied Systems, Inc., Term Loan, 9.848%, (SOFR + 4.50%), 9/18/26 | 67,611 | $ 67,885,795 |
18
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: | |||
Term Loan, 10.86%, (SOFR + 5.25%), 10/25/28 | 18,644 | $ 11,335,409 | |
Term Loan - Second Lien, 14.485%, (SOFR + 8.88%), 10/25/29 | 21,995 | 9,201,114 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 8.353%, (1 mo. EURIBOR + 4.50%), 12/29/28 | EUR | 5,922 | 6,413,628 |
Term Loan, 9.583%, (SOFR + 4.25%), 12/29/28 | 18,791 | 18,835,054 | |
Cegid Group SAS, Term Loan, 7.695%, (3 mo. EURIBOR + 3.75%), 7/10/28 | EUR | 7,850 | 8,504,044 |
Central Parent, Inc., Term Loan, 9.348%, (SOFR + 4.00%), 7/6/29 | 33,487 | 33,584,744 | |
CentralSquare Technologies LLC, Term Loan, 9.248%, (SOFR + 3.75%), 8/29/25 | 23,515 | 22,961,711 | |
Cloud Software Group, Inc., Term Loan, 9.948%, (SOFR + 4.50%), 9/29/28(9) | 22,409 | 21,982,750 | |
Cloudera, Inc.: | |||
Term Loan, 9.183%, (SOFR + 3.75%), 10/8/28 | 30,956 | 30,723,664 | |
Term Loan - Second Lien, 11.433%, (SOFR + 6.00%), 10/8/29 | 4,450 | 4,318,356 | |
Constant Contact, Inc., Term Loan, 9.588%, (SOFR + 4.00%), 2/10/28 | 12,953 | 12,686,877 | |
Cornerstone OnDemand, Inc., Term Loan, 9.197%, (SOFR + 3.75%), 10/16/28 | 16,948 | 16,513,829 | |
Delta TopCo, Inc., Term Loan, 9.121%, (SOFR + 3.75%), 12/1/27 | 13,999 | 13,970,531 | |
E2open LLC, Term Loan, 8.947%, (SOFR + 3.50%), 2/4/28 | 20,012 | 20,045,564 | |
ECI Macola Max Holding LLC, Term Loan, 9.36%, (SOFR + 3.75%), 11/9/27 | 26,725 | 26,728,026 | |
Epicor Software Corp.: | |||
Term Loan, 8.697%, (SOFR + 3.25%), 7/30/27 | 69,566 | 69,708,645 | |
Term Loan, 9.083%, (SOFR + 3.75%), 7/30/27 | 8,400 | 8,459,850 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.372%, (SOFR + 4.00%), 2/18/27 | 12,004 | 11,473,716 | |
Gen Digital, Inc., Term Loan, 7.433%, (SOFR + 2.00%), 9/12/29 | 3,641 | 3,636,654 | |
GoTo Group, Inc.: | |||
Term Loan, 10.183%, (SOFR + 4.75%), 8/31/27 | 28,276 | 14,173,519 | |
Term Loan, 8/31/27(10) | 2,448 | 2,288,767 | |
IGT Holding IV AB: | |||
Term Loan, 7.075%, (3 mo. EURIBOR + 3.15%), 3/31/28 | EUR | 6,205 | 6,702,488 |
Term Loan, 8.972%, (SOFR + 3.40%), 3/31/28 | 1,653 | 1,653,792 | |
iSolved, Inc., Term Loan, 5.484%, (SOFR + 4.00%), 10/14/30 | 6,550 | 6,574,563 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Ivanti Software, Inc., Term Loan, 9.839%, (SOFR + 4.25%), 12/1/27 | 10,249 | $ 9,782,917 | |
Magenta Buyer LLC: | |||
Term Loan, 10.574%, (SOFR + 5.00%), 7/27/28 | 22,120 | 14,506,736 | |
Term Loan - Second Lien, 13.824%, (SOFR + 8.25%), 7/27/29 | 7,475 | 2,709,688 | |
Marcel LUX IV SARL: | |||
Term Loan, 8.393%, (3 mo. EURIBOR + 4.50%), 11/7/30 | EUR | 9,150 | 9,955,154 |
Term Loan, 9.82%, (SOFR + 4.50%), 11/11/30 | 32,189 | 32,356,274 | |
Maverick Bidco, Inc., Term Loan, 9.213%, (SOFR + 3.75%), 5/18/28 | 11,884 | 11,857,519 | |
McAfee LLC, Term Loan, 9.203%, (SOFR + 3.75%), 3/1/29 | 24,414 | 24,242,397 | |
Mosel Bidco SE: | |||
Term Loan, 8.681%, (3 mo. EURIBOR + 4.75%), 9/16/30 | EUR | 1,825 | 1,982,962 |
Term Loan, 10.098%, (SOFR + 4.75%), 9/16/30 | 3,275 | 3,279,094 | |
N-Able International Holdings II LLC, Term Loan, 8.40%, (SOFR + 2.75%), 7/19/28 | 1,627 | 1,629,913 | |
Open Text Corp., Term Loan, 8.183%, (SOFR + 2.75%), 1/31/30 | 26,941 | 26,988,874 | |
Polaris Newco LLC: | |||
Term Loan, 7.955%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 9,140 | 9,609,770 |
Term Loan, 9.574%, (SOFR + 4.00%), 6/2/28 | 7,750 | 7,571,205 | |
Project Alpha Intermediate Holding, Inc., Term Loan, 10.063%, (SOFR + 4.75%), 10/28/30 | 5,500 | 5,519,096 | |
Proofpoint, Inc.: | |||
Term Loan, 8.697%, (SOFR + 3.25%), 8/31/28 | 24,268 | 24,149,567 | |
Term Loan - Second Lien, 11.697%, (SOFR + 6.25%), 8/31/29 | 2,070 | 2,087,467 | |
Quartz AcquireCo LLC, Term Loan, 8.833%, (SOFR + 3.50%), 6/28/30 | 10,598 | 10,598,438 | |
Quest Software U.S. Holdings, Inc., Term Loan, 9.713%, (SOFR + 4.25%), 2/1/29 | 25,146 | 19,921,241 | |
RealPage, Inc., Term Loan, 8.447%, (SOFR + 3.00%), 4/24/28 | 10,953 | 10,730,513 | |
Red Planet Borrower LLC, Term Loan, 9.183%, (SOFR + 3.75%), 10/2/28 | 11,484 | 11,204,160 | |
Redstone Holdco 2 LP, Term Loan, 10.201%, (SOFR + 4.75%), 4/27/28 | 12,915 | 10,732,268 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.947%, (SOFR + 3.50%), 12/17/27 | 8,392 | 7,629,921 | |
Term Loan, 8.947%, (SOFR + 3.50%), 12/17/27 | 5,357 | 4,870,210 | |
Term Loan, 9.683%, (SOFR + 4.25%), 6/30/28 | 7,345 | 6,714,260 |
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Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Sabre GLBL, Inc.: (continued) | |||
Term Loan, 10.433%, (SOFR + 5.00%), 6/30/28 | 1,000 | $ 919,583 | |
Skillsoft Corp., Term Loan, 10.696%, (SOFR + 5.25%), 7/14/28 | 14,875 | 13,945,066 | |
SolarWinds Holdings, Inc., Term Loan, 8.586%, (SOFR + 3.25%), 2/5/27 | 28,230 | 28,300,888 | |
Sophia LP, Term Loan, 8.933%, (SOFR + 3.50%), 10/7/27 | 32,777 | 32,769,220 | |
SS&C Technologies, Inc.: | |||
Term Loan, 7.683%, (SOFR + 2.25%), 3/22/29 | 2,388 | 2,390,759 | |
Term Loan, 7.683%, (SOFR + 2.25%), 3/22/29 | 4,641 | 4,646,828 | |
Turing Midco LLC, Term Loan, 7.947%, (SOFR + 2.50%), 3/24/28 | 722 | 724,061 | |
Ultimate Software Group, Inc.: | |||
Term Loan, 8.68%, (SOFR + 3.25%), 5/4/26 | 53,964 | 53,994,225 | |
Term Loan, 9.163%, (SOFR + 3.75%), 5/4/26 | 780 | 780,843 | |
Veritas U.S., Inc., Term Loan, 10.447%, (SOFR + 5.00%), 9/1/25 | 31,676 | 27,449,479 | |
Vision Solutions, Inc.: | |||
Term Loan, 9.586%, (SOFR + 4.00%), 4/24/28 | 39,157 | 38,667,171 | |
Term Loan - Second Lien, 12.836%, (SOFR + 7.25%), 4/23/29 | 1,500 | 1,383,750 | |
$ 926,964,607 | |||
Specialty Retail — 2.6% | |||
Belron Luxembourg SARL, Term Loan, 6.381%, (3 mo. EURIBOR + 2.43%), 4/13/28 | EUR | 3,925 | $ 4,258,342 |
Boels Topholding BV, Term Loan, 7.216%, (EURIBOR + 3.25%), 2/6/27(9) | EUR | 7,586 | 8,226,028 |
Etraveli Holding AB, Term Loan, 8.925%, (3 mo. EURIBOR + 5.00%), 11/2/28 | EUR | 9,472 | 10,281,220 |
Great Outdoors Group LLC, Term Loan, 9.197%, (SOFR + 3.75%), 3/6/28 | 35,185 | 35,165,102 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.197%, (SOFR + 2.75%), 10/19/27 | 25,349 | 25,101,114 | |
Hoya Midco LLC, Term Loan, 8.563%, (SOFR + 3.25%), 2/3/29 | 4,833 | 4,850,768 | |
Les Schwab Tire Centers, Term Loan, 8.708%, (SOFR + 3.25%), 11/2/27 | 28,610 | 28,616,384 | |
LIDS Holdings, Inc., Term Loan, 11.028%, (SOFR + 5.50%), 12/14/26 | 5,306 | 5,233,289 | |
Mattress Firm, Inc., Term Loan, 9.86%, (SOFR + 4.25%), 9/25/28 | 17,403 | 17,315,716 | |
PetSmart, Inc., Term Loan, 9.183%, (SOFR + 3.75%), 2/11/28 | 15,351 | 15,301,193 | |
$ 154,349,156 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors — 3.6% | |||
Avolon TLB Borrower 1 (US) LLC, Term Loan, 7.337%, (SOFR + 2.00%), 6/22/28 | 41,162 | $ 41,193,635 | |
Core & Main LP, Term Loan, 7.974%, (SOFR + 2.50%), 7/27/28(9) | 9,521 | 9,534,372 | |
DXP Enterprises, Inc., Term Loan, 10.291%, (SOFR + 4.75%), 10/11/30 | 9,127 | 9,158,504 | |
Foundation Building Materials Holding Co. LLC, Term Loan, 1/29/31(10) | 16,675 | 16,615,937 | |
Hillman Group, Inc., Term Loan, 8.197%, (SOFR + 2.75%), 7/14/28 | 1,075 | 1,073,966 | |
Park River Holdings, Inc., Term Loan, 8.843%, (SOFR + 3.25%), 12/28/27 | 3,716 | 3,615,662 | |
Patagonia Bidco Ltd., Term Loan, 10.437%, (SONIA + 5.25%), 11/1/28 | GBP | 20,050 | 23,344,858 |
PEARLS (Netherlands) Bidco BV, Term Loan, 7.412%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,453,583 |
Spin Holdco, Inc., Term Loan, 9.625%, (SOFR + 4.00%), 3/4/28 | 51,016 | 45,694,287 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.683%, (SOFR + 3.25%), 6/2/28 | 5,341 | 5,312,960 | |
Term Loan, 8.947%, (SOFR + 3.50%), 6/2/28 | 16,252 | 16,193,348 | |
White Cap Buyer LLC, Term Loan, 9.083%, (SOFR + 3.75%), 10/19/27 | 16,307 | 16,315,744 | |
Windsor Holdings III LLC, Term Loan, 9.848%, (SOFR + 4.50%), 8/1/30 | 15,490 | 15,527,907 | |
$ 210,034,763 | |||
Wireless Telecommunication Services — 0.6% | |||
CCI Buyer, Inc., Term Loan, 9.348%, (SOFR + 4.00%), 12/17/27 | 9,846 | $ 9,833,841 | |
Digicel International Finance Ltd., Term Loan, 10.469%, (SOFR + 5.15%), 5/25/27 | 18,868 | 18,035,125 | |
SBA Senior Finance II LLC, Term Loan, 7.34%, (SOFR + 2.00%), 1/25/31 | 9,800 | 9,788,426 | |
$ 37,657,392 | |||
Total Senior Floating-Rate Loans (identified cost $6,576,373,780) | $ 6,373,325,237 |
20
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Short-Term Investments — 3.0% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.21%(13) | 178,826,742 | $ 178,826,742 | |
Total Short-Term Investments (identified cost $178,826,742) | $ 178,826,742 | ||
Total Investments — 129.3% (identified cost $7,894,661,953) | $ 7,599,041,027 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (10,209,831) | ||
Net Investments — 129.1% (identified cost $7,884,452,122) | $ 7,588,831,196 | ||
Other Assets, Less Liabilities — (29.1)% | $(1,711,928,673) | ||
Net Assets — 100.0% | $ 5,876,902,523 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2024, the aggregate value of these securities is $939,426,993 or 16.0% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2024. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(4) | Non-income producing security. |
(5) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(6) | Amount is less than 0.05%. |
(7) | When-issued security. |
(8) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(9) | The stated interest rate represents the weighted average interest rate at January 31, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(10) | This Senior Loan will settle after January 31, 2024, at which time the interest rate will be determined. |
(11) | Unfunded or partially unfunded loan commitments. The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At January 31, 2024 the total value of unfunded loan commitment is $7,617,406. |
(12) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(13) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of January 31, 2024. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 328,910,875 | EUR | 297,407,318 | Standard Chartered Bank | 2/2/24 | $ 7,502,725 | $ — |
EUR | 2,000,000 | USD | 2,218,787 | Standard Chartered Bank | 2/29/24 | — | (54,956) |
USD | 2,194,673 | EUR | 2,000,000 | Australia and New Zealand Banking Group Limited | 2/29/24 | 30,842 | — |
USD | 37,960,720 | EUR | 34,400,000 | Bank of America, N.A. | 2/29/24 | 742,825 | — |
USD | 37,748,307 | EUR | 34,209,036 | Bank of America, N.A. | 2/29/24 | 737,018 | — |
USD | 37,344,835 | EUR | 33,870,000 | Bank of America, N.A. | 2/29/24 | 700,355 | — |
USD | 3,728,550 | EUR | 3,380,912 | Bank of America, N.A. | 2/29/24 | 70,689 | — |
USD | 37,958,811 | EUR | 34,400,000 | HSBC Bank USA, N.A. | 2/29/24 | 740,916 | — |
21
Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 39,008,714 | EUR | 35,350,000 | Standard Chartered Bank | 2/29/24 | $ 762,999 | $ — |
USD | 27,501,463 | GBP | 21,717,328 | Bank of America, N.A. | 2/29/24 | — | (26,769) |
USD | 640,275 | GBP | 505,256 | Standard Chartered Bank | 2/29/24 | — | (172) |
USD | 753,797 | GBP | 595,230 | Standard Chartered Bank | 2/29/24 | — | (699) |
USD | 1,329,741 | GBP | 1,048,540 | State Street Bank and Trust Company | 2/29/24 | 644 | — |
USD | 323,472,895 | EUR | 297,407,318 | Standard Chartered Bank | 3/4/24 | 1,649,564 | — |
USD | 42,368,953 | EUR | 37,998,277 | Goldman Sachs International | 3/28/24 | 1,208,340 | — |
USD | 42,922,541 | EUR | 38,500,000 | State Street Bank and Trust Company | 3/28/24 | 1,218,451 | — |
USD | 42,374,750 | EUR | 38,000,000 | State Street Bank and Trust Company | 3/28/24 | 1,212,271 | — |
USD | 42,937,800 | EUR | 38,522,000 | State Street Bank and Trust Company | 3/28/24 | 1,209,878 | — |
$17,787,517 | $(82,596) |
Abbreviations: | |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
LOC | – Letter of Credit |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
At January 31, 2024, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
The Portfolio is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Portfolio holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Portfolio enters into forward foreign currency exchange contracts.
Affiliated Investments
At January 31, 2024, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $178,826,742, which represents 3.0% of the Portfolio's net assets. Transactions in such investments by the Portfolio for the fiscal year to date ended January 31, 2024 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $83,572,578 | $549,960,744 | $(454,706,580) | $ — | $ — | $178,826,742 | $1,228,214 | 178,826,742 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
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Senior Debt Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At January 31, 2024, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at fair value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 303,083,909 | $ — | $ 303,083,909 |
Common Stocks | 708,276 | 57,193,087 | 807,633 | 58,708,996 |
Corporate Bonds | — | 668,983,503 | — | 668,983,503 |
Exchange-Traded Funds | 16,112,640 | — | — | 16,112,640 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 6,345,689,083 | 17,426,323 | 6,363,115,406 |
Short-Term Investments | 178,826,742 | — | — | 178,826,742 |
Total Investments | $195,647,658 | $7,374,949,582 | $18,233,956 | $7,588,831,196 |
Forward Foreign Currency Exchange Contracts | $ — | $ 17,787,517 | $ — | $ 17,787,517 |
Total | $195,647,658 | $7,392,737,099 | $18,233,956 | $7,606,618,713 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (82,596) | $ — | $ (82,596) |
Total | $ — | $ (82,596) | $ — | $ (82,596) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2024 is not presented.
For information on the Portfolio's policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent financial statements included in its semiannual or annual report to shareholders.
23