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: 811-09987
Eaton Vance Floating Rate Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
October 31, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
Asset-Backed Securities — 4.7% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.777%, (3 mo. SOFR + 3.362%), 7/20/31(1)(2) | $ | 2,500 | $ 2,403,450 |
Series 2018-1A, Class E, 11.677%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 3,000 | 2,621,361 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.566%, (3 mo. SOFR + 7.172%), 1/15/32(1)(2) | 4,000 | 3,515,388 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.807%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 3,525 | 3,009,589 | |
Apidos CLO XX, Series 2015-20A, Class DR, 11.356%, (3 mo. SOFR + 5.962%), 7/16/31(1)(2) | 2,375 | 2,135,332 | |
Ares Loan Funding II, Ltd., Series 2022-ALF2A, Class ER, 13.656%, (3 mo. SOFR + 8.24%), 10/20/36(1)(2) | 1,325 | 1,298,898 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,733,831 | |
Ares XLIX CLO, Ltd., Series 2018-49A, Class D, 8.674%, (3 mo. SOFR + 3.262%), 7/22/30(1)(2) | 2,500 | 2,395,640 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 8.526%, (3 mo. SOFR + 3.162%), 5/15/30(1)(2) | 5,000 | 4,754,640 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,000 | 3,552,104 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 8.277%, (3 mo. SOFR + 2.862%), 1/20/31(1)(2) | 2,500 | 2,362,727 | |
Series 2018-1A, Class C, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 3,500 | 3,276,546 | |
Bain Capital Credit CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.374%, (3 mo. SOFR + 2.962%), 4/23/31(1)(2) | 5,000 | 4,651,770 | |
Series 2018-1A, Class E, 11.024%, (3 mo. SOFR + 5.612%), 4/23/31(1)(2) | 3,000 | 2,511,483 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.627%, (3 mo. SOFR + 7.212%), 1/20/35(1)(2) | 1,750 | 1,482,668 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 9.344%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,230,965 | |
Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 11.627%, (3 mo. SOFR + 6.212%), 4/20/31(1)(2) | 3,500 | 3,250,653 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 11.277%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,401 | 4,544,758 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 8.277%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 1,500 | 1,419,594 | |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 12.364%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,250 | 2,108,072 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 12.006%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | $ | 1,750 | $ 1,677,869 |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 12.346%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 930,082 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 3,000 | 2,845,206 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.552%, (3 mo. SOFR + 3.162%), 4/30/31(1)(2) | 2,500 | 2,387,102 | |
Series 2018-1A, Class D, 11.302%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 2,475 | 2,178,101 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.517%, (3 mo. SOFR + 7.102%), 4/20/34(1)(2) | 1,000 | 880,092 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.807%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 3,000 | 2,781,324 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,779,092 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 12.471%, (3 mo. SOFR + 7.092%), 11/20/34(1)(2) | 2,500 | 2,322,227 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 13.162%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,884,938 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class DR, 8.726%, (3 mo. SOFR + 3.362%), 11/15/30(1)(2) | 1,500 | 1,375,377 | |
Series 2016-3A, Class ER, 11.576%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,500 | 1,224,608 | |
Series 2018-1A, Class D, 8.702%, (3 mo. SOFR + 3.312%), 7/30/30(1)(2) | 2,500 | 2,266,958 | |
Series 2018-1A, Class E, 11.602%, (3 mo. SOFR + 6.212%), 7/30/30(1)(2) | 2,000 | 1,534,322 | |
Bryant Park Funding, Ltd.: | |||
Series 2023-20A, Class D, 11.449%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 3,500 | 3,410,771 | |
Series 2023-21A, Class D, 10.935%, (3 mo. SOFR + 5.45%), 10/18/36(1)(2) | 3,525 | 3,501,841 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,875 | 4,244,814 | |
Series 2016-1A, Class ER, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,392,436 | |
Series 2016-2A, Class ER, 11.656%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 4,500 | 3,826,125 | |
Series 2017-1A, Class E, 11.906%, (3 mo. SOFR + 6.512%), 7/15/30(1)(2) | 3,250 | 2,877,287 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2018-1A, Class D, 8.556%, (3 mo. SOFR + 3.162%), 7/15/31(1)(2) | $ | 3,000 | $ 2,848,887 |
Series 2018-1A, Class E, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,750 | 2,345,882 | |
Series 2019-2A, Class ER, 12.406%, (3 mo. SOFR + 7.011%), 10/15/34(1)(2) | 1,500 | 1,360,722 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.452%, (3 mo. SOFR + 3.062%), 4/30/31(1)(2) | 5,000 | 4,680,700 | |
Series C17A, Class DR, 11.652%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,500 | 2,841,314 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 9.156%, (3 mo. SOFR + 3.762%), 1/14/32(1)(2) | 2,500 | 2,408,155 | |
Series 2012-3A, Class DR2, 12.156%, (3 mo. SOFR + 6.761%), 1/14/32(1)(2) | 1,500 | 1,251,521 | |
Series 2014-3RA, Class C, 8.599%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 1,000 | 924,119 | |
Series 2014-3RA, Class D, 11.049%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,150 | 1,877,116 | |
Series 2014-4RA, Class C, 8.556%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,000 | 1,848,728 | |
Series 2014-4RA, Class D, 11.306%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 1,500 | 1,206,492 | |
Carlyle US CLO, Ltd.: | |||
Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,658,969 | |
Series 2022-6A, Class DR, 10.13%, (3 mo. SOFR + 4.75%), 10/25/36(1)(2) | 2,200 | 2,207,482 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 12.277%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 975,659 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.944%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,725,726 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.506%, (3 mo. SOFR + 3.112%), 4/15/31(1)(2) | 1,500 | 1,399,137 | |
Series 2018-55A, Class E, 11.056%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 2,000 | 1,749,672 | |
Series 2022-112A, Class E, 13.145%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,973,216 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 5,000 | 4,641,865 | |
Series 2015-41A, Class ER, 10.956%, (3 mo. SOFR + 5.562%), 4/15/31(1)(2) | 1,268 | 989,947 | |
Series 2016-42A, Class DR, 8.586%, (3 mo. SOFR + 3.192%), 7/15/30(1)(2) | 2,500 | 2,348,357 | |
Series 2016-42A, Class ER, 11.206%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 3,500 | 2,953,135 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,875,321 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.553%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,250 | 2,229,032 |
Security | Principal Amount (000's omitted) | Value | |
Galaxy XXV CLO, Ltd.: | |||
Series 2018-25A, Class D, 8.74%, (3 mo. SOFR + 3.362%), 10/25/31(1)(2) | $ | 2,500 | $ 2,438,492 |
Series 2018-25A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 3,500 | 3,098,378 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.677%, (3 mo. SOFR + 6.262%), 1/20/31(1)(2) | 2,500 | 2,340,557 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.977%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 4,000 | 3,709,444 | |
Series 2018-37A, Class E, 11.427%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 4,750 | 4,695,978 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 12.377%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,250 | 1,141,728 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.45%, (3 mo. SOFR + 7.072%), 1/25/35(1)(2) | 2,500 | 2,306,540 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.592%, (3 mo. SOFR + 7.202%), 1/30/35(1)(2) | 2,000 | 1,821,042 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 12.077%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 929,261 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.774%, (3 mo. SOFR + 3.362%), 7/22/31(1)(2) | 2,000 | 1,844,714 | |
Series 2018-2A, Class E, 11.424%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 3,000 | 2,468,892 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 12.257%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 1,450 | 1,354,316 | |
Madison Park Funding XXV, Ltd., Series 2017-25A, Class D, 11.74%, (3 mo. SOFR + 6.362%), 4/25/29(1)(2) | 1,500 | 1,399,364 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,464,607 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.656%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,948,968 | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.764%, (3 mo. SOFR + 3.362%), 10/17/30(1)(2) | 2,500 | 2,405,505 | |
Series 2016-22A, Class ER, 11.724%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 3,000 | 2,729,217 | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 11.277%, (3 mo. SOFR + 5.862%), 4/20/30(1)(2) | 1,950 | 1,712,176 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.877%, (3 mo. SOFR + 6.462%), 1/20/31(1)(2) | 1,000 | 944,940 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.878%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | $ | 3,200 | $ 3,044,691 |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 9.216%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 472,812 | |
Series 2022-24A, Class E, 12.836%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 966,488 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.514%, (3 mo. SOFR + 6.111%), 10/17/31(1)(2) | 1,325 | 1,241,293 | |
Series 2015-1A, Class DR4, 12.141%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,847,830 | |
Series 2018-1A, Class D, 10.807%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 2,000 | 1,881,298 | |
Series 2018-2A, Class D, 11.256%, (3 mo. SOFR + 5.862%), 7/16/31(1)(2) | 2,000 | 1,928,870 | |
Series 2021-2A, Class E, 12.006%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 962,846 | |
Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,929,592 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 12.36%, (3 mo. SOFR + 6.962%), 7/24/32(1)(2) | 1,250 | 1,169,161 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 12.156%, (3 mo. SOFR + 6.762%), 1/15/35(1)(2) | 950 | 890,045 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.756%, (3 mo. SOFR + 3.362%), 7/15/31(1)(2) | 2,500 | 2,432,925 | |
Series 2018-2A, Class D, 11.606%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 5,000 | 4,067,035 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.84%, (3 mo. SOFR + 3.462%), 10/25/31(1)(2) | 2,500 | 2,442,735 | |
Series 2018-3A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 2,000 | 1,801,678 | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 12.14%, (3 mo. SOFR + 6.762%), 10/25/31(1)(2) | 2,875 | 2,543,044 | |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 10.846%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,518,007 | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 4/20/31(1)(2) | 4,500 | 4,239,504 | |
Series 2016-1A, Class DR, 11.577%, (3 mo. SOFR + 6.162%), 4/20/31(1)(2) | 2,125 | 1,920,182 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.877%, (3 mo. SOFR + 3.462%), 7/20/31(1)(2) | 2,500 | 2,231,463 | |
Series 2018-9A, Class D, 11.927%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 3,500 | 2,432,773 | |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.927%, (3 mo. SOFR + 3.512%), 10/20/31(1)(2) | 5,000 | 4,605,920 |
Security | Principal Amount (000's omitted) | Value | |
Vibrant CLO X, Ltd.: (continued) | |||
Series 2018-10A, Class D, 11.867%, (3 mo. SOFR + 6.452%), 10/20/31(1)(2) | $ | 5,000 | $ 3,719,755 |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class CR, 8.827%, (3 mo. SOFR + 3.412%), 10/20/31(1)(2) | 2,500 | 2,177,888 | |
Series 2015-3A, Class DR, 11.877%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 5,500 | 4,405,318 | |
Series 2016-3A, Class CR, 8.907%, (3 mo. SOFR + 3.512%), 10/18/31(1)(2) | 2,000 | 1,813,576 | |
Series 2016-3A, Class DR, 11.737%, (3 mo. SOFR + 6.342%), 10/18/31(1)(2) | 2,375 | 1,880,140 | |
Series 2018-2A, Class E, 10.906%, (3 mo. SOFR + 5.512%), 7/15/31(1)(2) | 2,500 | 2,129,953 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 7/20/30(1)(2) | 2,000 | 1,925,990 | |
Series 2015-1A, Class DR, 11.177%, (3 mo. SOFR + 5.762%), 7/20/30(1)(2) | 2,500 | 2,130,353 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-1A, Class D, 9.177%, (3 mo. SOFR + 3.762%), 4/20/34(1)(2) | 1,200 | 1,078,579 | |
Series 2021-3A, Class E, 12.756%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 950 | 800,259 | |
Series 2022-1A, Class D, 9.534%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 945,569 | |
Series 2022-1A, Class E, 13.254%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,852,368 | |
Total Asset-Backed Securities (identified cost $297,460,747) | $ 270,085,254 |
Common Stocks — 0.6% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Global Services, LLC(3)(4)(5)(6) | 950 | $ 0 | |
IAP Global Services, LLC(3)(4)(5) | 1,627 | 0 | |
$ 0 | |||
Chemicals — 0.0% | |||
Flint Campfire Topco, Ltd., Class A(4)(5)(6) | 3,812,783 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.1% | |||
Monitronics International, Inc.(5)(6) | 223,950 | $ 4,702,950 | |
Phoenix Services International, LLC(5)(6) | 168,954 | 1,605,063 | |
Phoenix Services International, LLC(5)(6) | 15,415 | 146,442 | |
$ 6,454,455 |
Security | Shares | Value | |
Containers and Glass Products — 0.0%(7) | |||
LG Newco Holdco, Inc.(5)(6) | 250,979 | $ 1,443,129 | |
$ 1,443,129 | |||
Electronics/Electrical — 0.0%(7) | |||
Skillsoft Corp.(5)(6) | 44,676 | $ 839,909 | |
$ 839,909 | |||
Entertainment — 0.1% | |||
New Cineworld, Ltd.(5)(6) | 80,602 | $ 1,722,868 | |
$ 1,722,868 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC(4)(5)(6) | 705,631 | $ 0 | |
$ 0 | |||
Household Durables — 0.3% | |||
Serta Simmons Bedding, Inc.(5)(6) | 1,348,933 | $ 18,885,062 | |
Serta SSB Equipment Co.(4)(5)(6) | 1,348,933 | 0 | |
$ 18,885,062 | |||
Investment Companies — 0.0%(7) | |||
Aegletes B.V.(5)(6) | 116,244 | $ 280,439 | |
Jubilee Topco, Ltd., Class A(4)(5)(6) | 2,897,167 | 0 | |
$ 280,439 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(5)(6) | 36,829 | $ 3,148,879 | |
$ 3,148,879 | |||
Oil and Gas — 0.0%(7) | |||
AFG Holdings, Inc.(4)(5)(6) | 498,342 | $ 986,717 | |
McDermott International, Ltd.(5)(6) | 1,013,850 | 273,740 | |
$ 1,260,457 | |||
Pharmaceuticals — 0.0%(7) | |||
Covis Midco 1 S.a.r.l., Class A(5)(6) | 8,008 | $ 4,084 | |
Covis Midco 1 S.a.r.l., Class B(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class C(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class D(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class E(5)(6) | 8,008 | 4,084 | |
$ 20,420 | |||
Retailers (Except Food and Drug) — 0.0%(7) | |||
Phillips Pet Holding Corp.(4)(5)(6) | 2,590 | $ 102,897 | |
$ 102,897 |
Security | Shares | Value | |
Telecommunications — 0.0% | |||
Global Eagle Entertainment(4)(5)(6) | 364,650 | $ 0 | |
$ 0 | |||
Utilities — 0.0%(7) | |||
Longview Intermediate Holdings, LLC, Class A(6) | 149,459 | $ 1,206,134 | |
$ 1,206,134 | |||
Total Common Stocks (identified cost $80,724,650) | $ 35,364,649 |
Corporate Bonds — 9.1% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.4% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,466,857 | |
6.75%, 8/15/28(1) | 3,175 | 3,086,841 | |
6.875%, 12/15/30(1) | 19,500 | 18,847,335 | |
$ 23,401,033 | |||
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 14,313 | $ 13,932,268 | |
5.75%, 4/20/29(1) | 12,875 | 11,626,509 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 4,625 | 4,294,819 | |
4.625%, 4/15/29(1) | 4,625 | 3,910,915 | |
$ 33,764,511 | |||
Automotive — 0.1% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,175 | $ 2,143,235 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 1,890 | 1,876,813 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 3,893 | 3,809,775 | |
$ 7,829,823 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 7,018 | $ 6,406,346 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 900 | 847,274 | |
$ 7,253,620 |
Security | Principal Amount* (000's omitted) | Value | |
Business Equipment and Services — 0.8% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,075 | $ 1,944,949 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 12,475 | 10,177,694 | |
4.625%, 6/1/28(1) | 23,725 | 19,429,703 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc., 5.75%, 4/15/26(1) | 15,225 | 14,784,812 | |
$ 46,337,158 | |||
Chemicals — 0.4% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 925 | $ 852,570 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 1,250 | 1,253,188 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 3,050 | 2,916,014 | |
Olympus Water US Holding Corp.: | |||
4.25%, 10/1/28(1) | 9,350 | 7,470,369 | |
9.75%, 11/15/28(1) | 8,600 | 8,410,378 | |
$ 20,902,519 | |||
Commercial Services — 0.2% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 15,300 | $ 13,517,376 | |
$ 13,517,376 | |||
Containers & Packaging — 0.2% | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 5,150 | $ 4,499,291 | |
4.375%, 10/15/28(1) | 9,125 | 7,772,883 | |
$ 12,272,174 | |||
Diversified Financial Services — 0.3% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 8,075 | $ 7,447,716 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 2,925 | 2,941,439 | |
Aretec Escrow Issuer 2, Inc., 10.00%, 8/15/30(1)(8) | 4,225 | 4,277,812 | |
$ 14,666,967 | |||
Diversified Telecommunication Services — 0.9% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,300 | $ 898,591 | |
5.125%, 7/15/29(1) | 42,825 | 29,349,960 | |
5.50%, 10/15/29(1) | 6,455 | 4,445,207 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,225 | 10,012,671 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 6,500 | 5,367,635 | |
$ 50,074,064 |
Security | Principal Amount* (000's omitted) | Value | |
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 9,150 | $ 7,965,382 | |
$ 7,965,382 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 5,300 | $ 5,100,552 | |
$ 5,100,552 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 10,760 | $ 5,623,288 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 18,175 | 15,860,561 | |
$ 21,483,849 | |||
Entertainment — 0.1% | |||
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,075 | $ 1,818,737 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,070 | 1,063,634 | |
$ 2,882,371 | |||
Health Care — 0.6% | |||
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 22,800 | $ 19,272,855 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 15,950 | 13,666,951 | |
$ 32,939,806 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 34,575 | $ 30,102,544 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,125 | 2,155,781 | |
$ 32,258,325 | |||
Household Products — 0.2% | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 14,212 | $ 12,869,817 | |
$ 12,869,817 | |||
Insurance — 0.3% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 616,143 | |
NFP Corp.: | |||
4.875%, 8/15/28(1) | 5,520 | 4,838,766 | |
7.50%, 10/1/30(1) | 2,925 | 2,773,221 | |
8.50%, 10/1/31(1) | 8,300 | 8,168,583 | |
$ 16,396,713 |
Security | Principal Amount* (000's omitted) | Value | |
Internet Software & Services — 0.2% | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 13,700 | $ 13,175,673 | |
$ 13,175,673 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,300 | $ 3,010,194 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,000 | 20,272,430 | |
$ 23,282,624 | |||
Machinery — 0.3% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 13,400 | $ 11,206,897 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 7,150 | 6,516,919 | |
$ 17,723,816 | |||
Media — 0.4% | |||
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,550 | $ 1,806,845 | |
5.25%, 8/15/27(1) | 2,125 | 1,559,329 | |
6.375%, 5/1/26 | 2,896 | 2,363,200 | |
8.375%, 5/1/27 | 5,248 | 3,222,327 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 9,125 | 7,263,536 | |
7.375%, 6/30/30(1) | 9,150 | 8,065,665 | |
$ 24,280,902 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 10,525 | $ 10,352,865 | |
$ 10,352,865 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 5,525 | $ 4,384,419 | |
$ 4,384,419 | |||
Real Estate Investment Trusts (REITs) — 0.1% | |||
Park Intermediate Holdings, LLC/PK Domestic Property, LLC/PK Finance Co-Issuer, 5.875%, 10/1/28(1) | 6,425 | $ 5,793,101 | |
$ 5,793,101 | |||
Retail — 0.2% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 15,580 | $ 13,109,246 | |
$ 13,109,246 |
Security | Principal Amount* (000's omitted) | Value | |
Retailers (Except Food and Drug) — 0.0%(7) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,300 | $ 1,151,746 | |
$ 1,151,746 | |||
Software — 0.3% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,225 | $ 4,172,187 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 13,600 | 11,594,068 | |
Veritas US, Inc./Veritas Bermuda, Ltd., 7.50%, 9/1/25(1) | 2,750 | 2,253,426 | |
$ 18,019,681 | |||
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 11,400 | $ 9,802,152 | |
$ 9,802,152 | |||
Telecommunications — 0.2% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 9,325 | $ 7,273,692 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 5,550 | 4,370,746 | |
$ 11,644,438 | |||
Trading Companies & Distributors — 0.0%(7) | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 2,975 | $ 2,673,667 | |
$ 2,673,667 | |||
Utilities — 0.0%(7) | |||
Calpine Corp., 5.25%, 6/1/26(1) | 1,109 | $ 1,062,411 | |
$ 1,062,411 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 6,325 | $ 5,809,702 | |
$ 5,809,702 | |||
Total Corporate Bonds (identified cost $598,447,001) | $ 524,182,503 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 426,000 | $ 17,700,300 | |
Total Exchange-Traded Funds (identified cost $19,593,027) | $ 17,700,300 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., 15.00% (PIK)(5)(6) | 17,394 | $ 8,946,313 | |
Total Preferred Stocks (identified cost $0) | $ 8,946,313 |
Senior Floating-Rate Loans — 81.4%(9) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 2.0% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 6.783%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,656 | $ 4,760,370 |
Term Loan, 6.934%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,194 | 1,220,608 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.722%, (3 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 3,850 | 3,965,481 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 23,402 | 23,171,462 | |
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 10,029 | 9,930,627 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23(4) | 6,709 | 5,122,000 | |
TransDigm, Inc.: | |||
Term Loan, 8.64%, (SOFR + 3.25%), 2/22/27 | 27,544 | 27,555,452 | |
Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | 16,042 | 16,039,386 | |
WP CPP Holdings, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 4/30/25 | 27,103 | 26,127,160 | |
$ 117,892,546 | |||
Airlines — 0.4% | |||
American Airlines, Inc., Term Loan, 10.427%, (SOFR + 4.75%), 4/20/28 | 24,863 | $ 25,246,750 | |
$ 25,246,750 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 3/8/30 | 4,552 | $ 4,500,914 | |
$ 4,500,914 | |||
Auto Components — 1.8% | |||
Adient US, LLC, Term Loan, 8.689%, (SOFR + 3.25%), 4/10/28 | 5,523 | $ 5,529,734 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Auto Components (continued) | |||
Autokiniton US Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 4/6/28 | 20,578 | $ 20,209,276 | |
Clarios Global, L.P., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 16,490 | 17,399,074 |
DexKo Global, Inc.: | |||
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,272 | 3,271,262 |
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 7,303 | 7,302,731 |
Term Loan, 9.402%, (SOFR + 3.75%), 10/4/28 | 13,371 | 12,834,434 | |
Garrett Motion, Inc., Term Loan, 9.883%, (SOFR + 4.50%), 4/30/28 | 8,393 | 8,413,839 | |
LSF12 Badger Bidco, LLC, Term Loan, 11.324%, (SOFR + 6.00%), 8/30/30 | 3,100 | 3,096,125 | |
LTI Holdings, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 7/24/26 | 7,044 | 6,755,899 | |
RealTruck Group, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 1/31/28 | 11,509 | 10,997,334 | |
Term Loan, 10.406%, (SOFR + 5.00%), 1/31/28 | 7,125 | 6,833,317 | |
$ 102,643,025 | |||
Automobiles — 0.9% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 5/24/27 | 38,161 | $ 37,874,967 | |
MajorDrive Holdings IV, LLC: | |||
Term Loan, 9.652%, (SOFR + 4.00%), 6/1/28 | 14,893 | 14,508,379 | |
Term Loan, 11.04%, (SOFR + 5.50%), 6/1/29 | 2,140 | 2,121,672 | |
$ 54,505,018 | |||
Beverages — 0.4% | |||
City Brewing Company, LLC, Term Loan, 9.164%, (SOFR + 3.50%), 4/5/28 | 7,885 | $ 5,847,062 | |
Triton Water Holdings, Inc., Term Loan, 8.902%, (SOFR + 3.25%), 3/31/28 | 21,157 | 20,105,663 | |
$ 25,952,725 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.949%, (SOFR + 2.50%), 3/12/26 | 18,178 | $ 18,041,169 | |
Alltech, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/13/28 | 4,736 | 4,635,615 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 11/15/27 | 4,440 | 4,324,991 | |
$ 27,001,775 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Building Products — 0.8% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.685%, (SOFR + 3.25%), 4/12/28 | 11,056 | $ 10,542,540 | |
CPG International, Inc., Term Loan, 7.924%, (SOFR + 2.50%), 4/28/29 | 13,637 | 13,635,545 | |
LHS Borrower, LLC, Term Loan, 10.174%, (SOFR + 4.75%), 2/16/29 | 5,827 | 5,113,227 | |
MI Windows and Doors, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/18/27 | 6,545 | 6,552,979 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.99%, (SOFR + 4.50%), 4/29/29 | 1,598 | 1,558,974 | |
Standard Industries, Inc., Term Loan, 7.953%, (SOFR + 2.50%), 9/22/28 | 8,819 | 8,842,854 | |
$ 46,246,119 | |||
Capital Markets — 4.5% | |||
Advisor Group, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 8/17/28 | 22,225 | $ 22,167,154 | |
AllSpring Buyer, LLC, Term Loan, 8.949%, (SOFR + 3.25%), 11/1/28 | 6,220 | 6,066,244 | |
Aretec Group, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 10/1/25 | 18,275 | 18,285,118 | |
Term Loan, 9.924%, (SOFR + 4.50%), 8/9/30 | 8,853 | 8,620,426 | |
CeramTec AcquiCo GmbH, Term Loan, 7.283%, (3 mo. EURIBOR + 3.50%), 3/16/29 | EUR | 12,779 | 13,217,332 |
Citadel Securities, L.P., Term Loan, 7.939%, (SOFR + 2.50%), 7/29/30 | 7,606 | 7,594,529 | |
Citco Funding, LLC, Term Loan, 4/27/28(10) | 8,175 | 8,190,328 | |
Clipper Acquisitions Corp., Term Loan, 7.192%, (SOFR + 1.75%), 3/3/28 | 7,191 | 7,161,189 | |
Edelman Financial Center, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 4/7/28 | 18,913 | 18,620,831 | |
EIG Management Company, LLC, Term Loan, 9.177%, (SOFR + 3.75%), 2/22/25 | 2,859 | 2,858,625 | |
FinCo I, LLC, Term Loan, 8.383%, (SOFR + 3.00%), 6/27/29 | 12,818 | 12,824,284 | |
Focus Financial Partners, LLC: | |||
Term Loan, 7.824%, (SOFR + 2.50%), 6/30/28 | 9,877 | 9,799,190 | |
Term Loan, 8.574%, (SOFR + 3.25%), 6/30/28 | 17,301 | 17,255,707 | |
Term Loan, 8.824%, (SOFR + 3.50%), 6/30/28 | 6,400 | 6,393,331 | |
Franklin Square Holdings, L.P., Term Loan, 7.674%, (SOFR + 2.25%), 8/1/25 | 6,199 | 6,206,462 | |
Guggenheim Partners, LLC, Term Loan, 8.64%, (SOFR + 3.25%), 12/12/29 | 19,230 | 19,238,323 | |
Hudson River Trading, LLC, Term Loan, 8.439%, (SOFR + 3.00%), 3/20/28 | 25,572 | 25,241,936 | |
LPL Holdings, Inc., Term Loan, 7.165%, (SOFR + 1.75%), 11/12/26 | 15,785 | 15,821,179 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Mariner Wealth Advisors, LLC, Term Loan, 8.901%, (SOFR + 3.25%), 8/18/28 | 13,446 | $ 13,244,742 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.772%, (SOFR + 2.25%), 7/1/26 | 13,437 | 13,430,354 | |
Term Loan, 7.772%, (SOFR + 2.25%), 12/29/28 | 6,979 | 6,952,588 | |
$ 259,189,872 | |||
Chemicals — 4.9% | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 12/20/29 | 18,151 | $ 18,203,296 | |
CPC Acquisition Corp., Term Loan, 9.402%, (SOFR + 3.75%), 12/29/27 | 14,714 | 11,646,946 | |
Flint Group Midco Limited, Term Loan, 10.674%, (SOFR + 5.00%), 9.924% cash, 0.75% PIK, 12/31/26 | 4,982 | 4,633,281 | |
Flint Group Packaging INKS North America Holdings, LLC: | |||
Term Loan, 9.002%, (3 mo. EURIBOR + 5.00%), 8.252% cash, 0.75% PIK, 12/31/26 | EUR | 1,546 | 1,521,387 |
Term Loan, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 750 | 581,570 |
Term Loan - Second Lien, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 999 | 191,158 |
Flint Group Topco Limited: | |||
Term Loan, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 2,429 | 1,779,470 | |
Term Loan - Second Lien, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 3,240 | 585,830 | |
Gemini HDPE, LLC, Term Loan, 8.645%, (SOFR + 3.00%), 12/31/27 | 4,686 | 4,678,800 | |
GEON Performance Solutions, LLC, Term Loan, 10.402%, (SOFR + 4.75%), 8/18/28 | 5,660 | 5,547,017 | |
Groupe Solmax, Inc., Term Loan, 10.303%, (SOFR + 4.75%), 5/29/28(11) | 9,392 | 8,797,699 | |
INEOS Enterprises Holdings II Limited, Term Loan, 7.783%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 1,945 | 2,028,995 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 9.273%, (SOFR + 3.75%), 7/8/30 | 10,925 | 10,697,399 | |
INEOS Finance PLC: | |||
Term Loan, 6.618%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 8,900 | 9,043,347 |
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 6,200 | 6,481,194 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 6.622%, (1 week EURIBOR + 2.75%), 1/29/26 | EUR | 23,150 | 24,185,160 |
Term Loan, 7.872%, (1 week EURIBOR + 4.00%), 3/14/30 | EUR | 3,300 | 3,382,614 |
Term Loan, 9.174%, (SOFR + 3.75%), 3/14/30 | 4,988 | 4,903,336 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
INEOS Styrolution US Holding, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/29/26 | 8,272 | $ 8,140,905 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.825%, (SOFR + 2.50%), 11/8/28 | 6,152 | 6,021,201 | |
Term Loan, 8.924%, (SOFR + 3.50%), 2/18/30 | 20,653 | 20,310,542 | |
Term Loan, 9.174%, (SOFR + 3.75%), 11/8/27 | 2,637 | 2,608,186 | |
Kraton Corporation, Term Loan, 8.921%, (SOFR + 3.25%), 3/15/29 | 5,615 | 5,354,829 | |
Kraton Polymers Holdings B.V., Term Loan, 7.217%, (EURIBOR + 3.25%), 3/15/29(11) | EUR | 4,250 | 4,332,037 |
Lonza Group AG: | |||
Term Loan, 7.897%, (3 mo. EURIBOR + 3.93%), 7/3/28 | EUR | 4,600 | 4,206,531 |
Term Loan, 9.415%, (SOFR + 3.93%), 7/3/28 | 10,766 | 9,145,318 | |
Messer Industries GmbH: | |||
Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,554 | 1,645,247 |
Term Loan, 8.152%, (SOFR + 2.50%), 3/2/26 | 9,372 | 9,374,156 | |
Momentive Performance Materials, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 3/29/28 | 21,585 | 20,614,013 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 11/9/28 | 3,947 | 3,856,354 | |
Term Loan, 9.99%, (SOFR + 4.50%), 11/9/28 | 5,344 | 5,259,019 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 6.372%, (3 mo. EURIBOR + 2.40%), 9/24/28 | EUR | 1,250 | 1,325,932 |
Term Loan, 7.64%, (SOFR + 2.15%), 9/24/28 | 4,435 | 4,379,069 | |
PQ Corporation, Term Loan, 7.983%, (SOFR + 2.50%), 6/9/28 | 8,668 | 8,627,116 | |
Rohm Holding GmbH: | |||
Term Loan, 8.472%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 1,000 | 950,968 |
Term Loan, 10.881%, (SOFR + 5.00%), 7/31/26 | 13,783 | 12,738,220 | |
Term Loan, 7/31/26(10) | EUR | 10,800 | 10,270,450 |
SCUR-Alpha 1503 GmbH, Term Loan, 10.883%, (SOFR + 5.50%), 3/29/30 | 5,522 | 5,094,308 | |
Tronox Finance, LLC: | |||
Term Loan, 8.116%, (SOFR + 2.50%), 3/10/28(11) | 11,570 | 11,367,412 | |
Term Loan, 8.64%, (SOFR + 3.25%), 4/4/29 | 3,620 | 3,571,611 | |
Term Loan, 8.824%, (SOFR + 3.50%), 8/16/28 | 5,075 | 5,011,562 | |
$ 283,093,485 | |||
Commercial Services & Supplies — 1.7% | |||
Asplundh Tree Expert, LLC, Term Loan, 7.174%, (SOFR + 1.75%), 9/7/27 | 8,197 | $ 8,211,229 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Belfor Holdings, Inc.: | |||
Term Loan, 9.574%, (SOFR + 4.25%), 4/6/26 | 2,587 | $ 2,592,222 | |
Term Loan, 10/25/30(10) | 6,575 | 6,575,000 | |
EnergySolutions, LLC, Term Loan, 9.382%, (SOFR + 4.00%), 9/20/30 | 16,309 | 16,237,217 | |
Foundever Group, Term Loan, 7.62%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 6,425 | 6,541,659 |
GFL Environmental, Inc., Term Loan, 7.912%, (SOFR + 2.50%), 5/31/27 | 4,280 | 4,288,789 | |
Harsco Corporation, Term Loan, 7.689%, (SOFR + 2.25%), 3/10/28 | 885 | 865,183 | |
JFL-Tiger Acquisition Co., Inc., Term Loan, 10.403%, (SOFR + 5.00%), 10/17/30 | 7,325 | 7,242,594 | |
Monitronics International, Inc., Term Loan, 13.145%, (SOFR + 7.50%), 6/30/28 | 12,343 | 12,482,058 | |
Phoenix Services International, LLC, Term Loan, 11.427%, (SOFR + 6.10%), 6/30/28 | 2,031 | 1,894,228 | |
SITEL Worldwide Corporation, Term Loan, 9.189%, (SOFR + 3.75%), 8/28/28 | 13,950 | 13,475,451 | |
Tempo Acquisition, LLC, Term Loan, 8.074%, (SOFR + 2.75%), 8/31/28 | 2,463 | 2,463,160 | |
TMF Group Holding B.V., Term Loan, 10.414%, (SOFR + 5.00%), 5/3/28 | 4,650 | 4,652,906 | |
TruGreen Limited Partnership, Term Loan, 9.424%, (SOFR + 4.00%), 11/2/27 | 8,399 | 7,899,375 | |
$ 95,421,071 | |||
Communications Equipment — 0.1% | |||
Digi International, Inc., Term Loan, 10.439%, (SOFR + 5.00%), 11/1/28 | 4,181 | $ 4,182,690 | |
$ 4,182,690 | |||
Construction Materials — 0.4% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 8.064%, (SOFR + 2.63%), 2/1/27 | 2,734 | $ 2,732,538 | |
Term Loan, 8.189%, (SOFR + 2.75%), 3/19/29 | 19,014 | 19,027,854 | |
$ 21,760,392 | |||
Consumer Staples Distribution & Retail — 0.4% | |||
Cardenas Markets, Inc., Term Loan, 12.24%, (SOFR + 6.75%), 8/1/29 | 4,154 | $ 4,154,539 | |
Peer Holding III B.V.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 5,725 | 6,045,951 |
Term Loan, 10/19/30(10) | 11,475 | 11,431,969 | |
$ 21,632,459 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging — 1.1% | |||
Berlin Packaging, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 3/11/28(11) | 2,901 | $ 2,839,458 | |
Kouti B.V., Term Loan, 7.458%, (3 mo. EURIBOR + 3.68%), 8/31/28 | EUR | 29,250 | 29,858,775 |
Pregis TopCo Corporation: | |||
Term Loan, 9.074%, (SOFR + 3.75%), 7/31/26 | 1,964 | 1,947,866 | |
Term Loan, 9.189%, (SOFR + 3.75%), 7/31/26 | 1,348 | 1,340,763 | |
Pretium Packaging, LLC, Term Loan - Second Lien, 9.995%, (SOFR + 4.60%), 10/2/28 | 6,598 | 5,031,184 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.20%, (SOFR + 6.75%), 10/1/29(11) | 6,675 | 2,962,031 | |
Proampac PG Borrower, LLC, Term Loan, 10.585%, (SOFR + 4.50%), 9/15/28 | 11,825 | 11,701,819 | |
Trident TPI Holdings, Inc., Term Loan, 9.652%, (SOFR + 4.00%), 9/15/28 | 5,662 | 5,600,726 | |
$ 61,282,622 | |||
Distributors — 0.0%(7) | |||
Phillips Feed Service, Inc., Term Loan, 12.427%, (SOFR + 7.00%), 11/13/24(4) | 471 | $ 376,498 | |
Winterfell Financing S.a.r.l., Term Loan, 8.765%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,000 | 2,076,522 |
$ 2,453,020 | |||
Diversified Consumer Services — 0.8% | |||
Ascend Learning, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/11/28 | 11,292 | $ 10,540,720 | |
Belron Finance US, LLC, Term Loan, 8.057%, (SOFR + 2.43%), 4/13/28 | 7,629 | 7,637,958 | |
FrontDoor, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/17/28 | 855 | 852,908 | |
KUEHG Corp., Term Loan, 10.39%, (SOFR + 5.00%), 6/12/30 | 13,725 | 13,731,121 | |
Sotheby's, Term Loan, 10.156%, (SOFR + 4.50%), 1/15/27 | 10,792 | 10,481,854 | |
Spring Education Group, Inc., Term Loan, 9.914%, (SOFR + 4.50%), 10/4/30 | 3,725 | 3,689,303 | |
$ 46,933,864 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco, Ltd., Term Loan, 7.892%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 8,730 | $ 9,102,509 |
$ 9,102,509 | |||
Diversified Telecommunication Services — 0.8% | |||
CenturyLink, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/15/27 | 22,800 | $ 17,189,155 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
GEE Holdings 2, LLC: | |||
Term Loan, 13.50%, (SOFR + 8.25%), 3/24/25 | 9,639 | $ 8,771,597 | |
Term Loan - Second Lien, 13.75%, (SOFR + 8.25%), 7.00% cash, 6.75% PIK, 3/23/26 | 7,100 | 4,260,076 | |
Level 3 Financing, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 3/1/27 | 12,351 | 11,616,585 | |
Telenet Financing USD, LLC, Term Loan, 7.449%, (SOFR + 2.00%), 4/30/28 | 2,825 | 2,750,844 | |
Virgin Media Bristol, LLC, Term Loan, 7.949%, (SOFR + 2.50%), 1/31/28 | 2,563 | 2,494,345 | |
$ 47,082,602 | |||
Electrical Equipment — 0.0%(7) | |||
Brookfield WEC Holdings, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 8/1/25 | 1,521 | $ 1,520,586 | |
$ 1,520,586 | |||
Electronic Equipment, Instruments & Components — 1.0% | |||
Creation Technologies, Inc., Term Loan, 11.176%, (SOFR + 5.50%), 10/5/28 | 12,816 | $ 12,143,316 | |
II-VI Incorporated, Term Loan, 8.189%, (SOFR + 2.75%), 7/2/29 | 400 | 399,629 | |
Minimax Viking GmbH, Term Loan, 7.133%, (EURIBOR + 3.25%), 7/31/28(11) | EUR | 3,487 | 3,689,305 |
Mirion Technologies, Inc., Term Loan, 8.402%, (SOFR + 2.75%), 10/20/28 | 1,722 | 1,719,430 | |
Robertshaw US Holding Corp.: | |||
Term Loan, 13.49%, (SOFR + 8.00%), 8.49% cash, 5.00% PIK, 2/28/27 | 3,981 | 4,020,463 | |
Term Loan - Second Lien, 12.49%, (SOFR + 7.00%), 2/28/27 | 16,811 | 14,205,651 | |
TTM Technologies, Inc., Term Loan, 8.065%, (SOFR + 2.75%), 5/30/30 | 5,212 | 5,215,195 | |
Verifone Systems, Inc., Term Loan, 9.653%, (SOFR + 4.00%), 8/20/25 | 14,617 | 13,618,601 | |
$ 55,011,590 | |||
Energy Equipment & Services — 0.6% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 16.735%, (SOFR + 13.00%), 12/29/23(4)(12) | 3,225 | $ 2,572,594 | |
Term Loan, 18.456%, (SOFR + 13.00%), 13.456 cash, 5.00% PIK, 12/29/23(4)(11) | 25,247 | 20,142,290 | |
GIP Pilot Acquisition Partners L.P., Term Loan, 8.388%, (SOFR + 3.00%), 10/4/30 | 4,875 | 4,875,000 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 3.638%, 6/28/24(12) | 9,039 | 6,734,330 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Energy Equipment & Services (continued) | |||
Lealand Finance Company B.V.: (continued) | |||
Term Loan, 12.439%, (SOFR + 7.00%), 9.439% cash, 3.00% PIK, 6/30/25 | 2,518 | $ 1,403,859 | |
$ 35,728,073 | |||
Engineering & Construction — 0.7% | |||
Aegion Corporation, Term Loan, 10.395%, (SOFR + 4.75%), 5/17/28 | 15,762 | $ 15,672,849 | |
American Residential Services, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 10/15/27 | 497 | 496,463 | |
APi Group DE, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 10/1/26 | 10,603 | 10,619,166 | |
Centuri Group, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 8/27/28 | 3,256 | 3,253,840 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.939%, (SOFR + 5.50%), 11/12/26 | 10,818 | 10,818,422 | |
Term Loan, 10.949%, (SOFR + 5.50%), 11/12/26 | 1,963 | 1,957,594 | |
$ 42,818,334 | |||
Entertainment — 1.0% | |||
City Football Group Limited, Term Loan, 8.453%, (SOFR + 3.00%), 7/21/28 | 8,228 | $ 8,166,306 | |
Crown Finance US, Inc., Term Loan, 7.381%, (SOFR + 1.50%), 7/31/28 | 1,747 | 1,786,829 | |
Delta 2 (LUX) S.a.r.l., Term Loan, 7.574%, (SOFR + 2.25%), 1/15/30 | 2,500 | 2,493,750 | |
Live Nation Entertainment, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 10/19/26 | 5,571 | 5,559,092 | |
Playtika Holding Corp., Term Loan, 8.189%, (SOFR + 2.75%), 3/13/28 | 20,527 | 19,947,078 | |
Renaissance Holding Corp.: | |||
Term Loan, 10.074%, (SOFR + 4.75%), 4/5/30 | 11,025 | 10,889,481 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 5/29/26 | 143 | 142,251 | |
UFC Holdings, LLC, Term Loan, 8.399%, (SOFR + 2.75%), 4/29/26 | 7,202 | 7,203,954 | |
Vue International Bidco PLC: | |||
Term Loan, 12.13%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 434 | 449,569 |
Term Loan, 12.63%, (6 mo. EURIBOR + 8.50%), 6.13% cash, 6.50% PIK, 12/31/27 | EUR | 3,031 | 1,431,038 |
$ 58,069,348 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 7.189%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 3,634 | $ 3,630,883 | |
$ 3,630,883 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Financial Services — 1.0% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 3/28/24(13) | 18,244 | $ 2,006,820 | |
GTCR W Merger Sub, LLC, Term Loan, 9/20/30(10) | 30,700 | 30,513,620 | |
NCR Atleos, LLC, Term Loan, 10.176%, (SOFR + 4.75%), 3/27/29 | 13,700 | 13,154,850 | |
Walker & Dunlop, Inc., Term Loan, 7.674%, (SOFR + 2.25%), 12/16/28 | 12,822 | 12,800,251 | |
$ 58,475,541 | |||
Food Products — 0.9% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 10/1/25 | 6,542 | $ 6,195,343 | |
Badger Buyer Corp., Term Loan, 8.939%, (SOFR + 3.50%), 9/30/24 | 4,775 | 4,088,785 | |
Del Monte Foods, Inc., Term Loan, 9.682%, (SOFR + 4.25%), 5/16/29 | 6,262 | 6,075,463 | |
Froneri International, Ltd.: | |||
Term Loan, 6.097%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,544,637 |
Term Loan, 7.674%, (SOFR + 2.25%), 1/29/27 | 4,691 | 4,665,428 | |
Nomad Foods US, LLC, Term Loan, 8.469%, (SOFR + 3.00%), 11/13/29 | 7,953 | 7,960,987 | |
United Petfood Group B.V., Term Loan, 6.852%, (6 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 8,400 | 8,680,658 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 8.136%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 8,550 | 8,145,311 |
Term Loan, 10.186%, (SONIA + 5.00%), 6/28/28 | GBP | 2,500 | 2,616,255 |
$ 49,972,867 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.99%, (SOFR + 3.50%), 6/5/28 | 22,130 | $ 22,136,475 | |
$ 22,136,475 | |||
Health Care Equipment & Supplies — 1.1% | |||
Artivion, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/1/27 | 6,643 | $ 6,446,107 | |
Bayou Intermediate II, LLC, Term Loan, 10.128%, (SOFR + 4.50%), 8/2/28 | 6,661 | 6,394,706 | |
Gloves Buyer, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 12/29/27 | 12,122 | 11,697,546 | |
ICU Medical, Inc., Term Loan, 8.04%, (SOFR + 2.50%), 1/8/29 | 7,363 | 7,348,304 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Journey Personal Care Corp., Term Loan, 9.981%, (6 mo. USD LIBOR + 4.25%), 3/1/28 | 23,757 | $ 22,843,643 | |
Medline Borrower, L.P., Term Loan, 8.689%, (SOFR + 3.25%), 10/23/28 | 8,613 | 8,564,073 | |
$ 63,294,379 | |||
Health Care Providers & Services — 4.2% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 9.402%, (SOFR + 3.75%), 9/7/28 | 13,681 | $ 13,646,802 | |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.39%, (SOFR + 8.00%), 1/15/26 | 14,558 | 12,447,089 | |
Cano Health, LLC, Term Loan, 9.533%, (SOFR + 4.00%), 11/23/27(11) | 7,227 | 4,263,748 | |
CCRR Parent, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 3/6/28 | 4,709 | 4,485,234 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 7.583%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 18,925 | 18,629,978 |
Term Loan, 7.883%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 8,225 | 8,209,709 |
CHG Healthcare Services, Inc., Term Loan, 9.145%, (SOFR + 3.75%), 9/29/28 | 4,200 | 4,167,626 | |
Covis Finco S.a.r.l., Term Loan, 12.04%, (SOFR + 6.50%), 2/18/27 | 9,853 | 7,094,203 | |
Dedalus Finance GmbH, Term Loan, 7.712%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 3,350 | 3,383,227 |
Elsan S.A.S., Term Loan, 7.39%, (6 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,100 | 4,207,796 |
Ensemble RCM, LLC, Term Loan, 9.233%, (SOFR + 3.75%), 8/3/26 | 4,254 | 4,257,723 | |
Envision Healthcare Corporation: | |||
Term Loan, 0.00%, 3/31/27(13) | 5,436 | 6,468,771 | |
Term Loan - Second Lien, 0.00%, 3/31/27(13) | 38,369 | 6,714,637 | |
IVC Acquisition, Ltd., Term Loan, 7.687%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 4,100 | 4,298,443 |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.773%, (SOFR + 3.25%), 11/1/28 | 13,745 | 12,845,421 | |
Term Loan - Second Lien, 12.523%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,478,750 | |
Mehilainen Yhtiot Oy, Term Loan, 7.497%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,025 | 6,372,064 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.902%, (SOFR + 3.25%), 3/12/28 | 1,409 | 1,324,257 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.187%, (SOFR + 3.75%), 3/2/28(11) | 12,252 | 10,730,277 | |
Term Loan, 9.24%, (SOFR + 3.75%), 3/2/28 | 334 | 292,283 | |
Term Loan - Second Lien, 12.74%, (SOFR + 7.25%), 3/2/29 | 5,525 | 3,853,688 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 3/5/26 | 16,235 | $ 16,095,060 | |
Term Loan, 8.939%, (SOFR + 3.50%), 3/5/26 | 5,361 | 5,315,194 | |
Radiology Partners, Inc., Term Loan, 10.179%, (SOFR + 4.25%), 7/9/25 | 13,101 | 9,817,760 | |
Ramsay Generale de Sante S.A., Term Loan, 6.952%, (3 mo. EURIBOR + 2.95%), 4/22/27 | EUR | 6,600 | 6,979,970 |
Select Medical Corporation, Term Loan, 8.324%, (SOFR + 3.00%), 3/6/27 | 45,035 | 44,971,401 | |
Sound Inpatient Physicians: | |||
Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 198 | 66,028 | |
Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 2,322 | 774,531 | |
Synlab Bondco PLC, Term Loan, 6.392%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,125 | 2,226,680 |
TTF Holdings, LLC, Term Loan, 9.439%, (SOFR + 4.00%), 3/31/28 | 5,083 | 5,088,947 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.679%, (SOFR + 4.25%), 10/1/28 | 5,018 | 4,376,587 | |
$ 241,883,884 | |||
Health Care Technology — 1.0% | |||
Certara, L.P., Term Loan, 9.184%, (SOFR + 3.50%), 8/15/26 | 1,808 | $ 1,810,635 | |
Imprivata, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 12/1/27 | 11,204 | 11,176,174 | |
Term Loan, 9.574%, (SOFR + 4.25%), 12/1/27 | 3,259 | 3,260,109 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.439%, (SOFR + 4.00%), 12/18/28 | 16,228 | 12,880,876 | |
Term Loan - Second Lien, 12.189%, (SOFR + 6.75%), 12/17/29 | 8,775 | 5,333,006 | |
Symplr Software, Inc., Term Loan, 9.983%, (SOFR + 4.50%), 12/22/27 | 12,927 | 11,367,734 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 9,949 | 9,956,104 | |
$ 55,784,638 | |||
Hotels, Restaurants & Leisure — 3.9% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 7.574%, (SOFR + 2.25%), 9/20/30 | 32,566 | $ 32,378,688 | |
Carnival Corporation: | |||
Term Loan, 7.618%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 8,790 | 9,314,571 |
Term Loan, 8.689%, (SOFR + 3.25%), 10/18/28 | 34,412 | 33,838,517 | |
ClubCorp Holdings, Inc., Term Loan, 8.19%, (1 mo. USD LIBOR + 2.75%), 9/18/26 | 19,976 | 19,584,953 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 21,225 | 22,444,142 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Ontario Gaming GTA L.P., Term Loan, 9.64%, (SOFR + 4.25%), 8/1/30 | 14,925 | $ 14,931,656 | |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.908%, (SOFR + 8.25%), 6/23/26 | 5,352 | 4,736,354 | |
Playa Resorts Holding B.V., Term Loan, 9.585%, (SOFR + 4.25%), 1/5/29 | 25,396 | 25,348,164 | |
Scientific Games International, Inc., Term Loan, 8.435%, (SOFR + 3.00%), 4/14/29 | 7,406 | 7,407,576 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 8/25/28 | 14,823 | 14,816,814 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 6.358%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 11,225 | 11,889,896 |
Term Loan, 7.902%, (SOFR + 2.25%), 7/21/26 | 30,681 | 30,698,086 | |
$ 227,389,417 | |||
Household Durables — 1.1% | |||
ACProducts, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 5/17/28 | 18,572 | $ 14,811,569 | |
Libbey Glass, Inc., Term Loan, 11.939%, (SOFR + 6.50%), 11/22/27 | 14,581 | 13,888,706 | |
Serta Simmons Bedding, LLC, Term Loan, 12.90%, (SOFR + 7.50%), 6/29/28 | 19,908 | 19,716,731 | |
Solis IV B.V., Term Loan, 8.891%, (SOFR + 3.50%), 2/26/29 | 13,718 | 12,980,501 | |
$ 61,397,507 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.703%, (SOFR + 2.25%), 12/22/27 | 6,034 | $ 6,030,729 | |
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 12/22/26 | 7,986 | 7,840,408 | |
Term Loan, 11.567%, (SOFR + 6.00%), 12/22/26 | 5,060 | 5,059,875 | |
Nobel Bidco B.V., Term Loan, 7.27%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 7,950 | 7,757,637 |
$ 26,688,649 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Calpine Corporation: | |||
Term Loan, 7.439%, (SOFR + 2.00%), 4/5/26 | 2,301 | $ 2,302,122 | |
Term Loan, 7.939%, (SOFR + 2.50%), 12/16/27 | 4,411 | 4,412,408 | |
$ 6,714,530 | |||
Industrial Conglomerates — 0.4% | |||
Ammeraal Beltech Holding B.V., Term Loan, 8.972%, (3 mo. EURIBOR + 5.00%), 12/30/28 | EUR | 8,225 | $ 8,683,293 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Industrial Conglomerates (continued) | |||
Rain Carbon GmbH, Term Loan, 8.787%, (3 mo. EURIBOR + 5.00%), 10/31/28 | EUR | 15,625 | $ 16,450,153 |
$ 25,133,446 | |||
Insurance — 1.3% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.835%, (SOFR + 3.50%), 11/5/27 | 3,759 | $ 3,751,580 | |
Term Loan, 8.939%, (1 mo. USD LIBOR + 3.50%), 11/5/27 | 13,165 | 13,139,057 | |
AmWINS Group, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 2/19/28 | 4,987 | 4,983,073 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.824%, (SOFR + 3.50%), 2/12/27 | 5,294 | 5,254,006 | |
Term Loan, 8.939%, (SOFR + 3.50%), 2/12/27 | 9,810 | 9,741,455 | |
Financiere CEP S.A.S., Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 4,125 | 4,299,194 |
HUB International Limited, Term Loan, 9.662%, (SOFR + 4.25%), 6/20/30 | 11,372 | 11,382,003 | |
NFP Corp., Term Loan, 8.689%, (SOFR + 3.25%), 2/16/27 | 17,123 | 16,825,951 | |
USI, Inc., Term Loan, 9/27/30(10) | 4,500 | 4,484,061 | |
$ 73,860,380 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.472%, (3 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 5,518 | $ 5,841,755 |
Term Loan, 8.322%, (SOFR + 2.75%), 6/26/28 | 1,218 | 1,219,885 | |
Buzz Finco, LLC: | |||
Term Loan, 8.174%, (SOFR + 2.75%), 1/29/27 | 1,961 | 1,962,604 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/29/27 | 435 | 435,601 | |
Foundational Education Group, Inc., Term Loan, 9.895%, (SOFR + 4.25%), 8/31/28 | 5,136 | 4,802,131 | |
Getty Images, Inc.: | |||
Term Loan, 9.00%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,348,783 |
Term Loan, 9.99%, (SOFR + 4.50%), 2/19/26 | 16,459 | 16,515,205 | |
Match Group, Inc., Term Loan, 7.298%, (SOFR + 1.75%), 2/13/27 | 6,450 | 6,431,863 | |
$ 39,557,827 | |||
IT Services — 4.5% | |||
Asurion, LLC: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 12/23/26 | 543 | $ 526,048 | |
Term Loan, 8.689%, (SOFR + 3.25%), 7/31/27 | 8,930 | 8,539,127 | |
Term Loan, 9.424%, (SOFR + 4.00%), 8/19/28 | 9,059 | 8,663,771 | |
Term Loan, 9.674%, (SOFR + 4.25%), 8/19/28 | 7,100 | 6,794,716 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
Asurion, LLC: (continued) | |||
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/31/28 | 15,790 | $ 13,783,359 | |
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/20/29 | 2,375 | 2,040,460 | |
Cyxtera DC Holdings, Inc.: | |||
DIP Loan, 13.951%, (SOFR + 8.50%), 12/7/23 | 10,226 | 10,296,718 | |
Term Loan, 0.00%, 5/1/24(13) | 27,147 | 15,881,174 | |
Term Loan, 0.00%, 5/1/24(13) | 9,711 | 5,705,269 | |
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 29,774 | 27,712,931 | |
Gainwell Acquisition Corp., Term Loan, 9.49%, (SOFR + 4.00%), 10/1/27 | 37,722 | 36,150,006 | |
Go Daddy Operating Company, LLC, Term Loan, 7.824%, (SOFR + 2.50%), 11/9/29 | 44,728 | 44,818,898 | |
Informatica, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 10/27/28 | 31,594 | 31,569,200 | |
NAB Holdings, LLC, Term Loan, 8.54%, (SOFR + 3.00%), 11/23/28 | 14,352 | 14,281,708 | |
Rackspace Technology Global, Inc., Term Loan, 8.206%, (SOFR + 2.75%), 2/15/28 | 16,263 | 7,330,724 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/24/28 | 12,918 | 12,889,655 | |
team.blue Finco S.a.r.l., Term Loan, 7.105%, (1 mo. EURIBOR + 3.20%), 3/30/28 | EUR | 11,150 | 11,351,719 |
WEX, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/31/28 | 3,900 | 3,902,707 | |
$ 262,238,190 | |||
Leisure Products — 0.5% | |||
Amer Sports Oyj, Term Loan, 7.948%, (3 mo. EURIBOR + 4.00%), 3/30/26 | EUR | 11,925 | $ 12,531,098 |
Fender Musical Instruments Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 12/1/28 | 2,262 | 2,186,802 | |
Hayward Industries, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 5/30/28 | 9,055 | 8,918,980 | |
Recess Holdings, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 3/29/27 | 6,200 | 6,188,375 | |
SRAM, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 5/18/28 | 1,891 | 1,886,635 | |
$ 31,711,890 | |||
Life Sciences Tools & Services — 2.4% | |||
Avantor Funding, Inc., Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 19,257 | $ 20,283,883 |
Cambrex Corporation, Term Loan, 8.924%, (SOFR + 3.50%), 12/4/26 | 324 | 321,652 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Life Sciences Tools & Services (continued) | |||
Catalent Pharma Solutions, Inc., Term Loan, 7.453%, (SOFR + 2.00%), 2/22/28 | 1,024 | $ 998,156 | |
Curia Global, Inc., Term Loan, 9.233%, (SOFR + 3.75%), 8/30/26(11) | 17,267 | 13,904,367 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 42,949 | 43,014,785 | |
IQVIA, Inc., Term Loan, 7.402%, (SOFR + 1.75%), 1/17/25 | 12,472 | 12,515,174 | |
LGC Group Holdings, Ltd., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 5,775 | 5,989,412 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.924%, (SOFR + 3.50%), 4/21/27 | 1,122 | 1,095,741 | |
PRA Health Sciences, Inc., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 10,701 | 10,717,311 | |
Sotera Health Holdings, LLC, Term Loan, 8.395%, (SOFR + 2.75%), 12/11/26 | 17,828 | 17,756,828 | |
Star Parent, Inc., Term Loan, 9.386%, (3 mo. USD LIBOR + 4.00%), 9/27/30 | 14,400 | 13,780,498 | |
$ 140,377,807 | |||
Machinery — 4.1% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.082%, (SOFR + 3.75%), 7/31/28 | 21,985 | $ 21,581,519 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.883%, (SOFR + 5.50%), 8/17/26 | 3,507 | 3,505,183 | |
Term Loan, 10.924%, (SOFR + 5.25%), 8/17/26 | 3,462 | 3,461,824 | |
Ali Group North America Corporation, Term Loan, 7.439%, (SOFR + 2.00%), 7/30/29 | 15,103 | 15,106,586 | |
American Trailer World Corp., Term Loan, 9.174%, (SOFR + 3.75%), 3/3/28 | 13,302 | 12,515,345 | |
Apex Tool Group, LLC, Term Loan, 10.689%, (SOFR + 5.25%), 2/8/29 | 20,424 | 17,424,445 | |
Barnes Group, Inc., Term Loan, 8.424%, (SOFR + 3.00%), 9/3/30 | 17,375 | 17,260,985 | |
Clark Equipment Company, Term Loan, 7.99%, (SOFR + 2.50%), 4/20/29 | 10,061 | 10,083,932 | |
Conair Holdings, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 5/17/28 | 24,206 | 22,496,451 | |
CPM Holdings, Inc., Term Loan, 9.827%, (SOFR + 4.50%), 9/28/28 | 4,000 | 4,003,752 | |
Delachaux Group S.A., Term Loan, 9.88%, (SOFR + 4.50%), 4/16/26 | 3,570 | 3,570,000 | |
Delachaux Group SA, Term Loan, 4/16/29(10) | EUR | 6,600 | 6,893,054 |
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | 11,275 | 11,267,953 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 10,658 | 11,128,697 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Engineered Machinery Holdings, Inc.: (continued) | |||
Term Loan, 9.152%, (SOFR + 3.50%), 5/19/28 | 9,975 | $ 9,888,897 | |
Term Loan - Second Lien, 11.652%, (SOFR + 6.00%), 5/21/29 | 2,000 | 1,960,000 | |
Icebox Holdco III, Inc., Term Loan, 9.402%, (SOFR + 3.75%), 12/22/28 | 4,148 | 4,068,701 | |
INNIO Group Holding GmbH, Term Loan, 6.871%, (1 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | 6,444,409 |
Madison IAQ, LLC, Term Loan, 8.703%, (SOFR + 3.25%), 6/21/28 | 11,581 | 11,183,982 | |
Pro Mach Group, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 8/31/28 | 2,798 | 2,794,266 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.972%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 995 | 1,050,836 |
Term Loan, 9.89%, (SOFR + 4.50%), 11/22/29 | 6,431 | 6,425,376 | |
SPX Flow, Inc., Term Loan, 9.924%, (SOFR + 4.50%), 4/5/29 | 12,331 | 12,240,525 | |
TK Elevator Topco GmbH, Term Loan, 7.597%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 9,725 | 10,127,638 |
Zephyr German BidCo GmbH, Term Loan, 7.833%, (3 mo. EURIBOR + 3.85%), 3/10/28 | EUR | 11,775 | 11,766,951 |
$ 238,251,307 | |||
Media — 1.3% | |||
CSC Holdings, LLC: | |||
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 15,119 | $ 14,705,074 | |
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 4 | 3,944 | |
Gray Television, Inc., Term Loan, 8.429%, (SOFR + 3.00%), 12/1/28 | 1,032 | 992,481 | |
Hubbard Radio, LLC, Term Loan, 9.69%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 5,892 | 4,988,913 | |
iHeartCommunications, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 5/1/26 | 2,365 | 2,025,846 | |
Mission Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 6/2/28 | 3,617 | 3,622,967 | |
Nexstar Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 9/18/26 | 3,623 | 3,625,360 | |
Recorded Books, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 8/29/25 | 5,674 | 5,672,558 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.939%, (SOFR + 2.50%), 9/30/26 | 6,168 | 5,207,773 | |
Term Loan, 8.439%, (SOFR + 3.00%), 4/1/28 | 22,672 | 16,370,540 | |
Univision Communications, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 18,188 | 18,081,151 | |
$ 75,296,607 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Metals/Mining — 1.2% | |||
Arsenal AIC Parent, LLC, Term Loan, 9.879%, (SOFR + 4.50%), 8/18/30 | 17,850 | $ 17,838,844 | |
Dynacast International, LLC: | |||
Term Loan, 10.017%, (SOFR + 4.50%), 7/22/25 | 15,181 | 14,232,560 | |
Term Loan, 14.517%, (SOFR + 9.00%), 10/22/25 | 3,034 | 2,290,521 | |
PMHC II, Inc., Term Loan, 9.807%, (SOFR + 4.25%), 4/23/29 | 16,314 | 14,882,901 | |
WireCo WorldGroup, Inc., Term Loan, 9.699%, (SOFR + 4.25%), 11/13/28 | 5,923 | 5,900,550 | |
Zekelman Industries, Inc., Term Loan, 7.449%, (SOFR + 2.00%), 1/24/27 | 15,337 | 15,324,169 | |
$ 70,469,545 | |||
Oil, Gas & Consumable Fuels — 1.1% | |||
GIP II Blue Holding, L.P., Term Loan, 9.939%, (SOFR + 4.50%), 9/29/28 | 13,586 | $ 13,621,775 | |
ITT Holdings, LLC, Term Loan, 10/5/30(10) | 8,575 | 8,459,769 | |
Matador Bidco S.a.r.l., Term Loan, 9.924%, (SOFR + 4.50%), 10/15/26 | 29,032 | 29,099,437 | |
Oxbow Carbon, LLC, Term Loan, 9.457%, (SOFR + 4.00%), 5/10/30(11) | 5,661 | 5,657,274 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.439%, (SOFR + 8.00%), 8/27/26 | 5,729 | 5,725,574 | |
$ 62,563,829 | |||
Pharmaceuticals — 1.8% | |||
Aenova Holding GmbH, Term Loan, 8.487%, (3 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 925 | $ 974,664 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 8.868%, (1 mo. EURIBOR + 5.00%), 9/30/28 | EUR | 13,000 | 13,764,932 |
Bausch Health Companies, Inc., Term Loan, 10.689%, (SOFR + 5.25%), 2/1/27 | 16,920 | 13,276,381 | |
Ceva Sante Animale: | |||
Term Loan, 11/1/30(10) | EUR | 10,300 | 10,854,600 |
Term Loan, 11/1/30(10) | 4,175 | 4,180,219 | |
Elanco Animal Health Incorporated, Term Loan, 7.165%, (SOFR + 1.75%), 8/1/27 | 4,882 | 4,775,261 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 6,996 | 7,003,664 | |
Mallinckrodt International Finance S.A.: | |||
DIP Loan, 13.439%, (SOFR + 8.00%), 8/28/24 | 1,458 | 1,517,117 | |
DIP Loan, 13.451%, (SOFR + 8.00%), 8/28/24 | 2,755 | 2,875,334 | |
Term Loan, 12.703%, (SOFR + 7.25%), 9/30/27 | 31,218 | 23,774,810 | |
Term Loan, 12.953%, (SOFR + 7.50%), 9/30/27 | 9,889 | 7,559,108 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
PharmaZell GmbH, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,800 | $ 1,838,873 |
Recipharm AB, Term Loan, 6.737%, (3 mo. EURIBOR + 2.95%), 2/17/28 | EUR | 13,725 | 13,881,886 |
$ 106,276,849 | |||
Professional Services — 2.5% | |||
APFS Staffing Holdings, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 12/29/28 | 3,669 | $ 3,609,502 | |
Apleona Holding GmbH, Term Loan, 6.898%, (3 mo. EURIBOR + 2.95%), 4/28/28 | EUR | 7,525 | 7,773,102 |
ASGN Incorporated, Term Loan, 7.574%, (SOFR + 2.25%), 8/30/30 | 3,850 | 3,868,649 | |
CoreLogic, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 14,099 | 12,865,523 | |
Corporation Service Company, Term Loan, 8.674%, (SOFR + 3.25%), 11/2/29 | 4,389 | 4,394,584 | |
Deerfield Dakota Holding, LLC, Term Loan, 9.14%, (SOFR + 3.75%), 4/9/27 | 9,909 | 9,589,141 | |
EAB Global, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 8/16/28 | 14,394 | 14,172,323 | |
Employbridge Holding Company, Term Loan, 10.407%, (SOFR + 4.75%), 7/19/28 | 20,600 | 17,966,724 | |
First Advantage Holdings, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/31/27 | 5,857 | 5,865,952 | |
Genuine Financial Holdings, LLC, Term Loan, 9.40%, (SOFR + 4.00%), 9/27/30 | 4,100 | 4,062,846 | |
Neptune Bidco US, Inc., Term Loan, 10.507%, (SOFR + 5.00%), 4/11/29 | 8,010 | 7,047,331 | |
Rockwood Service Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 1/23/27 | 9,403 | 9,423,472 | |
Trans Union, LLC: | |||
Term Loan, 7.174%, (SOFR + 1.75%), 11/16/26 | 2,471 | 2,469,157 | |
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/28 | 32,301 | 32,293,109 | |
Vaco Holdings, LLC, Term Loan, 10.393%, (SOFR + 5.00%), 1/21/29 | 9,136 | 8,667,313 | |
$ 144,068,728 | |||
Real Estate Management & Development — 0.8% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 8.189%, (SOFR + 2.75%), 8/21/25 | 734 | $ 733,059 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/31/30 | 6,661 | 6,377,944 | |
Term Loan, 9.324%, (SOFR + 4.00%), 1/31/30 | 6,376 | 6,088,794 | |
Greystar Real Estate Partners, LLC, Term Loan, 9.147%, (SOFR + 3.75%), 8/21/30 | 6,300 | 6,300,000 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Real Estate Management & Development (continued) | |||
Homeserve USA Holding Corp., Term Loan, 8.416%, (SOFR + 3.00%), 10/21/30 | 9,500 | $ 9,476,250 | |
RE/MAX International, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 7/21/28 | 16,251 | 15,686,217 | |
$ 44,662,264 | |||
Road & Rail — 2.2% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 7.189%, (SOFR + 1.75%), 8/6/27 | 30,242 | $ 30,122,459 | |
Term Loan, 8.924%, (SOFR + 3.50%), 3/16/29 | 4,104 | 4,112,375 | |
Grab Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 1/29/26 | 15,163 | 15,224,180 | |
Hertz Corporation (The): | |||
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 17,106 | 16,991,353 | |
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 3,298 | 3,275,925 | |
Uber Technologies, Inc., Term Loan, 8.159%, (SOFR + 2.75%), 3/3/30 | 58,172 | 58,215,364 | |
$ 127,941,656 | |||
Semiconductors & Semiconductor Equipment — 0.8% | |||
Altar Bidco, Inc.: | |||
Term Loan, 8.142%, (SOFR + 3.10%), 2/1/29(11) | 10,662 | $ 10,581,092 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 6,650 | 6,467,125 | |
Bright Bidco B.V., Term Loan, 14.378%, (SOFR + 9.00%), 6.378% cash, 8.00% PIK, 10/31/27 | 3,671 | 1,436,387 | |
Entegris, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 7/6/29 | 1,261 | 1,263,364 | |
MaxLinear, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/23/28 | 2,955 | 2,911,027 | |
MKS Instruments, Inc., Term Loan, 7.819%, (SOFR + 2.50%), 8/17/29 | 17,769 | 17,662,384 | |
Synaptics Incorporated, Term Loan, 7.914%, (SOFR + 2.25%), 12/2/28 | 2,756 | 2,745,164 | |
Ultra Clean Holdings, Inc., Term Loan, 9.191%, (SOFR + 3.75%), 8/27/25 | 1,915 | 1,919,671 | |
$ 44,986,214 | |||
Software — 11.2% | |||
Applied Systems, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/18/26 | 43,660 | $ 43,808,392 | |
Aptean, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 4/23/26 | 10,206 | 10,197,728 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 4/23/27 | 6,550 | 6,116,062 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.902%, (SOFR + 5.25%), 10/25/28 | 5,017 | 3,441,044 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: (continued) | |||
Term Loan - Second Lien, 14.527%, (SOFR + 8.88%), 10/25/29 | 20,170 | $ 10,589,329 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 1,911 | 2,019,684 |
Term Loan, 9.189%, (SOFR + 3.75%), 10/2/25 | 678 | 678,486 | |
Term Loan - Second Lien, 10.939%, (SOFR + 5.50%), 2/27/26 | 3,191 | 3,178,557 | |
Cegid Group SAS, Term Loan, 7/10/28(10) | EUR | 6,150 | 6,468,000 |
Central Parent, Inc., Term Loan, 9.406%, (SOFR + 4.00%), 7/6/29 | 19,825 | 19,742,953 | |
CentralSquare Technologies, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 8/29/25 | 18,359 | 17,370,091 | |
Cloud Software Group, Inc.: | |||
Term Loan, 9.99%, (SOFR + 4.50%), 9/29/28 | 9,480 | 9,006,300 | |
Term Loan, 9.99%, (SOFR + 4.50%), 3/30/29 | 4,489 | 4,273,824 | |
Cloudera, Inc.: | |||
Term Loan, 9.174%, (SOFR + 3.75%), 10/8/28 | 17,558 | 16,935,979 | |
Term Loan - Second Lien, 11.424%, (SOFR + 6.00%), 10/8/29 | 2,950 | 2,660,531 | |
Constant Contact, Inc., Term Loan, 9.687%, (SOFR + 4.00%), 2/10/28 | 5,036 | 4,682,310 | |
Cornerstone OnDemand, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 10/16/28 | 15,465 | 14,638,108 | |
Delta TopCo, Inc., Term Loan, 9.069%, (SOFR + 3.75%), 12/1/27 | 10,916 | 10,762,710 | |
E2open, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 2/4/28 | 16,175 | 15,982,547 | |
ECI Macola Max Holding, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 11/9/27 | 14,207 | 14,155,479 | |
Epicor Software Corporation: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 7/30/27 | 34,598 | 34,470,475 | |
Term Loan, 9.074%, (SOFR + 3.75%), 7/30/27 | 8,650 | 8,674,869 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 2/18/27 | 12,441 | 11,690,527 | |
Gen Digital, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 9/12/29 | 1,473 | 1,462,022 | |
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | 24,160 | 15,295,988 | |
IGT Holding IV AB: | |||
Term Loan, 7.122%, (3 mo. EURIBOR + 3.15%), 3/31/28 | EUR | 6,205 | 6,406,403 |
Term Loan, 8.962%, (SOFR + 3.40%), 3/31/28 | 4,015 | 3,997,521 | |
iSolved, Inc., Term Loan, 9.484%, (SOFR + 4.00%), 10/14/30 | 5,175 | 5,184,703 | |
Ivanti Software, Inc., Term Loan, 9.907%, (SOFR + 4.25%), 12/1/27 | 3,769 | 3,359,901 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Magenta Buyer, LLC: | |||
Term Loan, 10.645%, (SOFR + 5.00%), 7/27/28 | 14,734 | $ 10,313,763 | |
Term Loan - Second Lien, 13.895%, (SOFR + 8.25%), 7/27/29 | 7,100 | 3,074,300 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 7.455%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 8,650 | 9,146,847 |
Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 15,741 | 15,740,846 | |
Term Loan, 9.436%, (SOFR + 4.00%), 12/31/27 | 3,076 | 3,075,586 | |
Maverick Bidco, Inc., Term Loan, 9.283%, (SOFR + 3.75%), 5/18/28 | 10,958 | 10,727,767 | |
McAfee, LLC, Term Loan, 9.165%, (SOFR + 3.75%), 3/1/29 | 19,753 | 18,917,874 | |
Mosel Bidco SE: | |||
Term Loan, 8.691%, (3 mo. EURIBOR + 4.75%), 9/16/30 | EUR | 1,825 | 1,918,987 |
Term Loan, 10.164%, (SOFR + 4.75%), 9/16/30 | 2,575 | 2,571,781 | |
N-Able International Holdings II, LLC, Term Loan, 8.434%, (SOFR + 2.75%), 7/19/28 | 1,264 | 1,262,453 | |
Open Text Corporation, Term Loan, 8.174%, (SOFR + 2.75%), 1/31/30 | 24,532 | 24,558,657 | |
Polaris Newco, LLC: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 8,477 | 8,459,375 |
Term Loan, 9.439%, (SOFR + 4.00%), 6/2/28 | 2,942 | 2,784,596 | |
Proofpoint, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 8/31/28 | 10,903 | 10,736,428 | |
Quest Software US Holdings, Inc., Term Loan, 9.783%, (SOFR + 4.25%), 2/1/29 | 17,582 | 13,996,447 | |
RealPage, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 4/24/28 | 10,718 | 10,483,087 | |
Red Planet Borrower, LLC, Term Loan, 9.174%, (SOFR + 3.75%), 10/2/28 | 15,190 | 14,224,912 | |
Redstone Holdco 2, L.P., Term Loan, 10.189%, (SOFR + 4.75%), 4/27/28 | 11,692 | 9,397,300 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 5,850 | 5,009,009 | |
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 3,744 | 3,205,508 | |
Term Loan, 9.674%, (SOFR + 4.25%), 6/30/28 | 3,513 | 3,009,183 | |
Term Loan, 10.424%, (SOFR + 5.00%), 6/30/28 | 1,000 | 858,333 | |
Skillsoft Corporation, Term Loan, 10.699%, (SOFR + 5.25%), 7/14/28 | 10,339 | 9,489,232 | |
SolarWinds Holdings, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/5/27 | 17,189 | 17,204,748 | |
Sophia, L.P., Term Loan, 8.924%, (SOFR + 3.50%), 10/7/27 | 23,191 | 22,918,428 | |
Turing Midco, LLC, Term Loan, 7.939%, (SOFR + 2.50%), 3/24/28 | 466 | 465,408 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Ultimate Software Group, Inc. (The), Term Loan, 8.764%, (SOFR + 3.25%), 5/4/26 | 45,569 | $ 45,389,490 | |
Veritas US, Inc., Term Loan, 10.439%, (SOFR + 5.11%), 9/1/25 | 14,896 | 12,647,834 | |
Vision Solutions, Inc.: | |||
Term Loan, 9.64%, (SOFR + 4.00%), 4/24/28 | 33,319 | 31,840,455 | |
Term Loan - Second Lien, 12.791%, (SOFR + 7.25%), 4/23/29 | 1,500 | 1,332,188 | |
VS Buyer, LLC, Term Loan, 8.674%, (SOFR + 3.25%), 2/28/27 | 11,035 | 10,966,337 | |
$ 642,977,682 | |||
Specialty Retail — 2.0% | |||
Belron Luxembourg S.a.r.l., Term Loan, 6.147%, (3 mo. EURIBOR + 2.43%), 4/13/28 | EUR | 3,575 | $ 3,781,358 |
Boels Topholding B.V., Term Loan, 7.049%, (EURIBOR + 3.25%), 2/6/27(11) | EUR | 6,681 | 7,070,675 |
Etraveli Holding AB, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 7,844 | 8,289,399 |
Great Outdoors Group, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 3/6/28 | 27,320 | 27,158,016 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 10/19/27 | 17,787 | 17,588,354 | |
Hoya Midco, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 2/3/29 | 2,640 | 2,640,737 | |
Les Schwab Tire Centers, Term Loan, 8.692%, (SOFR + 3.25%), 11/2/27 | 13,866 | 13,836,792 | |
LIDS Holdings, Inc., Term Loan, 11.06%, (SOFR + 5.50%), 12/14/26 | 5,020 | 4,856,396 | |
Mattress Firm, Inc., Term Loan, 9.95%, (6 mo. USD LIBOR + 4.25%), 9/25/28 | 15,867 | 15,703,325 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 12,226 | 12,104,978 | |
$ 113,030,030 | |||
Trading Companies & Distributors — 2.8% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.424%, (SOFR + 2.00%), 1/15/27 | 13,482 | $ 13,476,022 | |
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/27 | 14,812 | 14,831,679 | |
Term Loan, 7.839%, (SOFR + 2.50%), 6/22/28 | 26,017 | 26,049,069 | |
DXP Enterprises, Inc., Term Loan, 10.291%, (SOFR + 4.75%), 10/11/30 | 7,225 | 7,188,875 | |
Electro Rent Corporation, Term Loan, 11.002%, (SOFR + 5.50%), 11/1/24 | 15,594 | 14,657,896 | |
Park River Holdings, Inc., Term Loan, 8.907%, (SOFR + 3.25%), 12/28/27 | 6,056 | 5,739,875 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors (continued) | |||
Patagonia Bidco Limited, Term Loan, 10.181%, (SONIA + 5.25%), 11/1/28 | GBP | 20,400 | $ 20,781,449 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 7.448%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,199,143 |
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | 38,506 | 33,100,161 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.825%, (SOFR + 3.50%), 6/2/28 | 4,986 | 4,885,217 | |
Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 4,256 | 4,167,106 | |
Windsor Holdings III, LLC, Term Loan, 9.815%, (SOFR + 4.50%), 8/1/30 | 10,600 | 10,580,602 | |
$ 161,657,094 | |||
Wireless Telecommunication Services — 0.4% | |||
CCI Buyer, Inc., Term Loan, 9.39%, (SOFR + 4.00%), 12/17/27 | 8,517 | $ 8,351,070 | |
Digicel International Finance Limited, Term Loan, 8.902%, (3 mo. USD LIBOR + 3.25%), 5/28/24 | 13,909 | 12,807,977 | |
$ 21,159,047 | |||
Total Senior Floating-Rate Loans (identified cost $4,984,582,462) | $4,692,860,551 |
Short-Term Investments — 2.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 143,913,942 | $ 143,913,942 | |
Total Short-Term Investments (identified cost $143,913,942) | $ 143,913,942 | ||
Total Investments — 98.8% (identified cost $6,124,721,829) | $5,693,053,512 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (9,340,092) | ||
Net Investments — 98.6% (identified cost $6,115,381,737) | $5,683,713,420 | ||
Other Assets, Less Liabilities — 1.4% | $ 78,060,673 | ||
Net Assets — 100.0% | $5,761,774,093 |
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 October 31, 2023, the aggregate value of these securities is $775,015,279 or 13.5% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Affiliated company (see Note 7). |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | Non-income producing security. |
(6) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(7) | Amount is less than 0.05%. |
(8) | When-issued security. |
(9) | 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. |
(10) | This Senior Loan will settle after October 31, 2023, at which time the interest rate will be determined. |
(11) | The stated interest rate represents the weighted average interest rate at October 31, 2023 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. |
(12) | Unfunded or partially unfunded loan commitments. 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 October 31, 2023, the total value of unfunded loan commitments is $6,974,244. See Note 1F for description. |
(13) | 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. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 287,023,615 | EUR | 270,766,698 | Standard Chartered Bank | 11/2/23 | $ 525,294 | $ — |
EUR | 14,000,000 | USD | 15,040,448 | Citibank, N.A. | 11/30/23 | — | (210,457) |
EUR | 18,000,000 | USD | 19,047,411 | Standard Chartered Bank | 11/30/23 | 19,720 | — |
GBP | 3,000,000 | USD | 3,636,540 | Bank of America, N.A. | 11/30/23 | 10,400 | — |
GBP | 2,500,000 | USD | 3,120,889 | Standard Chartered Bank | 11/30/23 | — | (81,773) |
USD | 110,019,993 | EUR | 100,710,607 | Bank of America, N.A. | 11/30/23 | 3,338,752 | — |
USD | 59,582,046 | EUR | 54,562,394 | Bank of America, N.A. | 11/30/23 | 1,784,918 | — |
USD | 68,691,808 | EUR | 62,922,760 | State Street Bank and Trust Company | 11/30/23 | 2,038,668 | — |
USD | 2,567,506 | EUR | 2,352,067 | The Toronto-Dominion Bank | 11/30/23 | 75,997 | — |
USD | 761,273 | GBP | 613,244 | Standard Chartered Bank | 11/30/23 | 15,785 | — |
USD | 34,684,407 | GBP | 27,484,305 | State Street Bank and Trust Company | 11/30/23 | 1,273,207 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 286,561,635 | EUR | 270,766,698 | Standard Chartered Bank | 12/4/23 | $ — | $ (303,574) |
EUR | 12,000,000 | USD | 12,742,056 | Standard Chartered Bank | 12/29/23 | — | (9,769) |
GBP | 3,000,000 | USD | 3,658,724 | State Street Bank and Trust Company | 12/29/23 | — | (10,604) |
USD | 5,724,145 | EUR | 5,423,311 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (30,118) |
USD | 11,599,841 | EUR | 11,000,000 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (71,422) |
USD | 11,604,846 | EUR | 11,000,000 | Goldman Sachs International | 12/29/23 | — | (66,417) |
USD | 11,599,744 | EUR | 11,000,000 | State Street Bank and Trust Company | 12/29/23 | — | (71,519) |
USD | 11,791,232 | EUR | 11,184,306 | State Street Bank and Trust Company | 12/29/23 | — | (75,584) |
USD | 11,790,441 | EUR | 11,184,306 | State Street Bank and Trust Company | 12/29/23 | — | (76,375) |
$9,082,741 | $(1,007,612) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
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 |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $5,969,122,387) | $ 5,539,799,478 |
Affiliated investments, at value (identified cost $146,259,350) | 143,913,942 |
Cash | 35,661,964 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 5,450,000 |
Foreign currency, at value (identified cost $21,705,939) | 21,724,435 |
Interest receivable | 38,025,559 |
Dividends receivable from affiliated investments | 852,108 |
Receivable for investments sold | 98,080,389 |
Receivable for open forward foreign currency exchange contracts | 9,082,741 |
Prepaid upfront fees on notes payable | 397,460 |
Trustees' deferred compensation plan | 272,714 |
Other receivables | 2,084,589 |
Prepaid expenses | 94,315 |
Total assets | $5,895,439,694 |
Liabilities | |
Cash collateral due to broker | $ 4,680,000 |
Payable for investments purchased | 119,375,202 |
Payable for when-issued securities | 4,225,000 |
Payable for open forward foreign currency exchange contracts | 1,007,612 |
Payable to affiliates: | |
Investment adviser fee | 2,476,271 |
Trustees' fees | 9,042 |
Trustees' deferred compensation plan | 272,714 |
Accrued expenses | 1,619,760 |
Total liabilities | $ 133,665,601 |
Net Assets applicable to investors' interest in Portfolio | $5,761,774,093 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 3,060,356 |
Dividend income from affiliated investments | 8,065,316 |
Interest and other income | 563,764,152 |
Total investment income | $ 574,889,824 |
Expenses | |
Investment adviser fee | $ 32,834,212 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 1,248,549 |
Legal and accounting services | 883,742 |
Interest expense and fees | 2,410,276 |
Miscellaneous | 383,591 |
Total expenses | $ 37,868,870 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 248,686 |
Total expense reductions | $ 248,686 |
Net expenses | $ 37,620,184 |
Net investment income | $ 537,269,640 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (273,795,704) |
Foreign currency transactions | 2,065,689 |
Forward foreign currency exchange contracts | (63,594,397) |
Net realized loss | $(335,324,412) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 467,648,252 |
Investments - affiliated investments | (8,685,164) |
Foreign currency | 1,036,077 |
Forward foreign currency exchange contracts | 11,089,934 |
Net change in unrealized appreciation (depreciation) | $ 471,089,099 |
Net realized and unrealized gain | $ 135,764,687 |
Net increase in net assets from operations | $ 673,034,327 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 537,269,640 | $ 418,622,273 |
Net realized gain (loss) | (335,324,412) | 59,718,560 |
Net change in unrealized appreciation (depreciation) | 471,089,099 | (831,891,859) |
Net increase (decrease) in net assets from operations | $ 673,034,327 | $ (353,551,026) |
Capital transactions: | ||
Contributions | $ 308,512,496 | $ 2,094,290,768 |
Withdrawals | (3,320,903,248) | (2,626,390,995) |
Net decrease in net assets from capital transactions | $(3,012,390,752) | $ (532,100,227) |
Net decrease in net assets | $(2,339,356,425) | $ (885,651,253) |
Net Assets | ||
At beginning of year | $ 8,101,130,518 | $ 8,986,781,771 |
At end of year | $ 5,761,774,093 | $ 8,101,130,518 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.58% (1) | 0.54% (1) | 0.56% | 0.59% | 0.55% |
Net investment income | 8.21% | 4.39% | 3.51% | 4.17% | 5.09% |
Portfolio Turnover | 19% | 27% | 26% | 28% | 16% |
Total Return | 10.63% | (3.32)% | 7.80% | 1.18% | 1.64% |
Net assets, end of year (000’s omitted) | $5,761,774 | $8,101,131 | $8,986,782 | $5,649,501 | $7,966,641 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022). |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.5750% |
$1 billion but less than $2 billion | 0.5250% |
$2 billion but less than $5 billion | 0.4900% |
$5 billion but less than $10 billion | 0.4600% |
$10 billion but less than $15 billion | 0.4350% |
$15 billion but less than $20 billion | 0.4150% |
$20 billion but less than $25 billion | 0.4000% |
$25 billion and over | 0.3900% |
Aggregate cost | $6,067,145,036 |
Gross unrealized appreciation | $ 29,989,140 |
Gross unrealized depreciation | (413,420,756) |
Net unrealized depreciation | $ (383,431,616) |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Forward foreign currency exchange contracts | $9,082,741 | $(1,007,612) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 5,134,070 | $ — | $ — | $ (4,680,000) | $ 454,070 |
Standard Chartered Bank | 560,799 | (395,116) | — | — | 165,683 |
State Street Bank and Trust Company | 3,311,875 | (234,082) | (2,058,264) | — | 1,019,529 |
The Toronto-Dominion Bank | 75,997 | — | — | — | 75,997 |
$9,082,741 | $(629,198) | $(2,058,264) | $(4,680,000) | $1,715,279 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Australia and New Zealand Banking Group Limited | $ (101,540) | $ — | $ — | $ — | $ (101,540) |
Citibank, N.A. | (210,457) | — | — | 210,457 | — |
Goldman Sachs International | (66,417) | — | — | 60,000 | (6,417) |
Standard Chartered Bank | (395,116) | 395,116 | — | — | — |
State Street Bank and Trust Company | (234,082) | 234,082 | — | — | — |
$(1,007,612) | $629,198 | $ — | $270,457 | $(107,957) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(63,594,397) | $11,089,934 |
(1) | Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
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 |
Common Stocks* | ||||||||
IAP Global Services, LLC(1)(2)(3) | $ 8,685,164 | $ — | $ — | $ — | $ (8,685,164) | $ 0 | $ — | 2,577 |
Short-Term Investments | ||||||||
Liquidity Fund | 156,771,808 | 2,181,162,967 | (2,194,020,833) | — | — | 143,913,942 | 8,065,316 | 143,913,942 |
Total | $ — | $(8,685,164) | $143,913,942 | $8,065,316 |
* | The related industry is the same as the presentation in the Portfolio of Investments. |
(1) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(2) | Non-income producing security. |
(3) | A portion of the shares were acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 270,085,254 | $ — | $ 270,085,254 |
Common Stocks | 839,909 | 33,435,126 | 1,089,614 | 35,364,649 |
Corporate Bonds | — | 524,182,503 | — | 524,182,503 |
Exchange-Traded Funds | 17,700,300 | — | — | 17,700,300 |
Preferred Stocks | — | 8,946,313 | — | 8,946,313 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 4,655,307,077 | 28,213,382 | 4,683,520,459 |
Short-Term Investments | 143,913,942 | — | — | 143,913,942 |
Total Investments | $ 162,454,151 | $ 5,491,956,273 | $ 29,302,996 | $ 5,683,713,420 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,082,741 | $ — | $ 9,082,741 |
Total | $ 162,454,151 | $ 5,501,039,014 | $ 29,302,996 | $ 5,692,796,161 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (1,007,612) | $ — | $ (1,007,612) |
Total | $ — | $ (1,007,612) | $ — | $ (1,007,612) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- present). Other Directorships. None. |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (ecommerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Eaton Vance Floating-Rate Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2022 and October 31, 2023 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 122,000 | $ | 122,000 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 0 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 122,000 | $ | 122,000 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other tax related compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2022 and October 31, 2023; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Registrant | $ | 0 | $ | 0 | ||||
Eaton Vance(1) | $ | 52,836 | $ | 0 |
(1) | Certain subsidiaries of Morgan Stanley provide ongoing services to the registrant. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is 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
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Floating Rate Portfolio | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President | ||
Date: | December 22, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | December 22, 2023 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President | ||
Date: | December 22, 2023 |