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: 811-08876
Senior Debt 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
April 30, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited)
Asset-Backed Securities — 3.1% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
AGL CLO 17, Ltd., Series 2022-17A, Class E, 6.594%, (3 mo. SOFR + 6.35%), 1/21/35(1)(2) | $ | 1,000 | $ | 962,545 | ||||||
Alinea CLO, Ltd.: | ||||||||||
Series 2018-1A, Class D, 4.163%, (3 mo. USD LIBOR + 3.10%), 7/20/31(1)(2) | 2,500 | 2,458,852 | ||||||||
Series 2018-1A, Class E, 7.063%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 3,000 | 2,871,882 | ||||||||
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 7.954%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 5,000 | 4,765,795 | ||||||||
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 6.546%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 3,525 | 3,287,126 | ||||||||
Apidos CLO XX, Series 2015-20A, Class DR, 6.744%, (3 mo. USD LIBOR + 5.70%), 7/16/31(1)(2) | 2,375 | 2,230,716 | ||||||||
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 7.546%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,966,364 | ||||||||
Ares XLIX CLO, Ltd.: | ||||||||||
Series 2018-49A, Class D, 4.136%, (3 mo. USD LIBOR + 3.00%), 7/22/30(1)(2) | 2,500 | 2,431,300 | ||||||||
Series 2018-49A, Class E, 6.836%, (3 mo. USD LIBOR + 5.70%), 7/22/30(1)(2) | 3,500 | 3,321,031 | ||||||||
Ares XXXIIR CLO, Ltd.: | ||||||||||
Series 2014-32RA, Class C, 3.406%, (3 mo. USD LIBOR + 2.90%), 5/15/30(1)(2) | 5,000 | 4,763,050 | ||||||||
Series 2014-32RA, Class D, 6.356%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2) | 1,000 | 964,853 | ||||||||
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 6.744%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,000 | 3,848,384 | ||||||||
Babson CLO, Ltd.: | ||||||||||
Series 2015-1A, Class DR, 3.663%, (3 mo. USD LIBOR + 2.60%), 1/20/31(1)(2) | 2,500 | 2,369,408 | ||||||||
Series 2018-1A, Class C, 3.644%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 3,500 | 3,328,195 | ||||||||
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class D, 3.884%, (3 mo. USD LIBOR + 2.70%), 4/23/31(1)(2) | 5,000 | 4,755,295 | ||||||||
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 8.013%, (3 mo. USD LIBOR + 6.95%), 1/20/35(1)(2) | 1,750 | 1,707,456 | ||||||||
Benefit Street Partners CLO V-B, Ltd.: | ||||||||||
Series 2018-5BA, Class C, 3.993%, (3 mo. USD LIBOR + 2.93%), 4/20/31(1)(2) | 5,000 | 4,861,950 | ||||||||
Series 2018-5BA, Class D, 7.013%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2) | 3,500 | 3,342,962 | ||||||||
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 6.663%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2) | 5,401 | 4,913,522 |
Security | Principal Amount (000’s omitted) | Value | ||||||||
Benefit Street Partners CLO XIV, Ltd., | ||||||||||
Series 2018-14A, Class D, 3.663%, (3 mo. USD LIBOR + 2.60%), 4/20/31(1)(2) | $ | 1,500 | $ | 1,418,318 | ||||||
Benefit Street Partners CLO XVI, Ltd., | ||||||||||
Series 2018-16A, Class E, 7.744%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 2,250 | 2,193,633 | ||||||||
Benefit Street Partners CLO XVII, Ltd., | ||||||||||
Series 2019-17A, Class ER, 7.394%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 1,750 | 1,688,929 | ||||||||
Benefit Street Partners CLO XXII, Ltd., | ||||||||||
Series 2020-22A, Class ER, 7.247%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 987,499 | ||||||||
Benefit Street Partners CLO XXV, Ltd., | ||||||||||
Series 2021-25A, Class E, 7.894%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 3,000 | 2,940,213 | ||||||||
Betony CLO 2, Ltd.: | ||||||||||
Series 2018-1A, Class C, 4.186%, (3 mo. USD LIBOR + 2.90%), 4/30/31(1)(2) | 2,500 | 2,445,335 | ||||||||
Series 2018-1A, Class D, 6.936%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2) | 4,550 | 4,286,869 | ||||||||
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 7.903%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) | 1,250 | 1,201,528 | ||||||||
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 8.193%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 3,000 | 2,887,227 | ||||||||
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 7.551%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,977,494 | ||||||||
BlueMountain CLO, Ltd.: | ||||||||||
Series 2015-3A, Class CR, 3.663%, (3 mo. USD LIBOR + 2.60%), 4/20/31(1)(2) | 5,000 | 4,697,105 | ||||||||
Series 2015-3A, Class DR, 6.463%, (3 mo. USD LIBOR + 5.40%), 4/20/31(1)(2) | 3,000 | 2,749,212 | ||||||||
Series 2016-3A, Class DR, 3.606%, (3 mo. USD LIBOR + 3.10%), 11/15/30(1)(2) | 1,500 | 1,438,814 | ||||||||
Series 2016-3A, Class ER, 6.456%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,500 | 1,368,890 | ||||||||
Series 2018-1A, Class D, 3.349%, (3 mo. USD LIBOR + 3.05%), 7/30/30(1)(2) | 2,500 | 2,384,413 | ||||||||
Series 2018-1A, Class E, 7.236%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 2,000 | 1,835,728 | ||||||||
Series 2021-33A, Class E, 7.31%, (3 mo. USD LIBOR + 6.83%), 11/20/34(1)(2) | 2,500 | 2,421,465 | ||||||||
Canyon Capital CLO, Ltd.: | ||||||||||
Series 2012-1RA, Class E, 6.744%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,875 | 4,482,543 | ||||||||
Series 2016-1A, Class DR, 3.844%, (3 mo. USD LIBOR + 2.80%), 7/15/31(1)(2) | 3,000 | 2,912,661 | ||||||||
Series 2016-1A, Class ER, 6.794%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 4,000 | 3,732,432 | ||||||||
Series 2016-2A, Class ER, 7.044%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 4,500 | 4,155,466 |
19 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||
Canyon Capital CLO, Ltd.: (continued) | ||||||||||
Series 2018-1A, Class D, 3.944%, (3 mo. USD LIBOR + 2.90%), 7/15/31(1)(2) | $ | 3,000 | $ | 2,924,700 | ||||||
Series 2018-1A, Class E, 6.794%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 2,750 | 2,590,181 | ||||||||
Series 2019-2A, Class ER, 7.794%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 1,500 | 1,461,224 | ||||||||
Carlyle CLO C17, Ltd.: | ||||||||||
Series C17A, Class CR, 3.099%, (3 mo. USD LIBOR + 2.80%), 4/30/31(1)(2) | 5,000 | 4,885,560 | ||||||||
Series C17A, Class DR, 7.286%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 3,500 | 3,337,841 | ||||||||
Carlyle Global Market Strategies CLO, Ltd.: | ||||||||||
Series 2012-3A, Class CR2, 4.538%, (3 mo. USD LIBOR + 3.50%), 1/14/32(1)(2) | 2,500 | 2,411,645 | ||||||||
Series 2012-3A, Class DR2, 7.538%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 1,500 | 1,374,878 | ||||||||
Series 2014-3RA, Class C, 4.175%, (3 mo. USD LIBOR + 2.95%), 7/27/31(1)(2) | 1,000 | 958,708 | ||||||||
Series 2014-3RA, Class D, 6.625%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,150 | 1,968,970 | ||||||||
Series 2014-4RA, Class C, 3.944%, (3 mo. USD LIBOR + 2.90%), 7/15/30(1)(2) | 2,750 | 2,587,909 | ||||||||
Series 2014-4RA, Class D, 6.694%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 3,500 | 3,103,443 | ||||||||
Series 2019-4A, Class DR, 7.446%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,971,101 | ||||||||
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 7.663%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2) | 1,000 | 967,758 | ||||||||
CIFC Funding, Ltd., Series 2022-4A, Class D, (3 mo. SOFR + 3.55%), 7/16/35(1)(2)(3) | 1,750 | 1,750,000 | ||||||||
Dryden CLO, Ltd.: | ||||||||||
Series 2018-55A, Class D, 3.894%, (3 mo. USD LIBOR + 2.85%), 4/15/31(1)(2) | 1,500 | 1,447,854 | ||||||||
Series 2018-55A, Class E, 6.444%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2) | 2,000 | 1,927,626 | ||||||||
Dryden Senior Loan Fund: | ||||||||||
Series 2015-41A, Class DR, 3.644%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 7,000 | 6,707,008 | ||||||||
Series 2015-41A, Class ER, 6.344%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) | 1,268 | 1,200,030 | ||||||||
Series 2016-42A, Class DR, 3.974%, (3 mo. USD LIBOR + 2.93%), 7/15/30(1)(2) | 2,500 | 2,432,592 | ||||||||
Series 2016-42A, Class ER, 6.594%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 3,500 | 3,351,173 | ||||||||
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 7.00%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,927,895 | ||||||||
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 7.689%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) | 4,500 | 4,308,601 | ||||||||
Galaxy XXV CLO, Ltd.: | ||||||||||
Series 2015-19A, Class D1R, 7.714%, (3 mo. USD LIBOR + 6.53%), 7/24/30(1)(2) | 2,000 | 1,928,350 |
Security | Principal Amount (000’s omitted) | Value | ||||||||
Galaxy XXV CLO, Ltd.: (continued) | ||||||||||
Series 2018-25A, Class D, 4.284%, (3 mo. USD LIBOR + 3.10%), 10/25/31(1)(2) | $ | 2,500 | $ | 2,455,765 | ||||||
Series 2018-25A, Class E, 7.134%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 3,500 | 3,330,596 | ||||||||
Golub Capital Partners CLO 37B, Ltd.: | ||||||||||
Series 2018-37A, Class D, 4.363%, (3 mo. USD LIBOR + 3.30%), 7/20/30(1)(2) | 4,000 | 3,907,692 | ||||||||
Series 2018-37A, Class E, 6.813%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 4,750 | 4,225,818 | ||||||||
Golub Capital Partners CLO 53B, Ltd., | ||||||||||
Series 2021-53A, Class E, 7.763%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 1,250 | 1,203,538 | ||||||||
Golub Capital Partners CLO 58B, Ltd., | ||||||||||
Series 2021-58A, Class E, 7.054%, (3 mo. USD LIBOR + 6.81%), 1/25/35(1)(2) | 2,500 | 2,399,193 | ||||||||
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 4.844%, (3 mo. USD LIBOR + 3.80%), 4/17/33(1)(2) | 2,000 | 1,949,432 | ||||||||
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 7.201%, (3 mo. USD LIBOR + 6.94%), 1/30/35(1)(2) | 2,000 | 1,927,010 | ||||||||
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 7.463%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2) | 1,000 | 968,804 | ||||||||
ICG US CLO, Ltd.: | ||||||||||
Series 2018-2A, Class D, 4.236%, (3 mo. USD LIBOR + 3.10%), 7/22/31(1)(2) | 2,000 | 1,940,890 | ||||||||
Series 2018-2A, Class E, 6.886%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2) | 3,000 | 2,757,225 | ||||||||
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 6.845%, (3 mo. USD LIBOR + 6.60%), 1/18/34(1)(2) | 1,550 | 1,519,276 | ||||||||
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 7.901%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,466,180 | ||||||||
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 4.97%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,988,800 | ||||||||
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 7.018%, (3 mo. USD LIBOR + 5.92%), 10/21/30(1)(2) | 2,000 | 1,909,886 | ||||||||
Neuberger Berman CLO XXII, Ltd.: | ||||||||||
Series 2016-22A, Class DR, 4.144%, (3 mo. USD LIBOR + 3.10%), 10/17/30(1)(2) | 2,500 | 2,447,435 | ||||||||
Series 2016-22A, Class ER, 7.104%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 3,000 | 2,909,460 | ||||||||
Neuberger Berman Loan Advisers CLO 28, Ltd., | ||||||||||
Series 2018-28A, Class E, 6.663%, (3 mo. USD LIBOR + 5.60%), 4/20/30(1)(2) | 1,950 | 1,874,966 |
20 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||
Neuberger Berman Loan Advisers CLO 48, Ltd., | ||||||||||
Series 2022-48A, Class E, 7.228%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | $ | 2,600 | $ | 2,569,726 | ||||||
OCP CLO, Ltd., Series 2022-24A, Class E, (3 mo. SOFR + 7.42%), 7/20/35(1)(2)(3) | 1,500 | 1,493,250 | ||||||||
Palmer Square CLO, Ltd.: | ||||||||||
Series 2013-2A, Class DRR, 6.894%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 3,250 | 3,182,900 | ||||||||
Series 2015-1A, Class DR4, 6.98%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000 | 1,948,234 | ||||||||
Series 2018-1A, Class C, 3.544%, (3 mo. USD LIBOR + 2.50%), 4/18/31(1)(2) | 3,000 | 2,906,328 | ||||||||
Series 2018-1A, Class D, 6.194%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2) | 2,000 | 1,925,842 | ||||||||
Series 2018-2A, Class D, 6.663%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 2,000 | 1,941,988 | ||||||||
Series 2021-2A, Class E, 7.394%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | 1,000 | 983,883 | ||||||||
Series 2022-1A, Class E, 6.816%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 5,500 | 5,439,236 | ||||||||
RAD CLO 5, Ltd., Series 2019-5A, Class E, 7.884%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 1,750 | 1,741,831 | ||||||||
RAD CLO 11, Ltd., Series 2021-11A, Class E, 7.294%, (3 mo. USD LIBOR + 6.25%), 4/15/34(1)(2) | 750 | 721,427 | ||||||||
RAD CLO 14, Ltd., Series 2021-14A, Class E, 6.73%, (3 mo. USD LIBOR + 6.50%), 1/15/35(1)(2) | 1,050 | 1,006,483 | ||||||||
Regatta XIII Funding, Ltd.: | ||||||||||
Series 2018-2A, Class C, 4.144%, (3 mo. USD LIBOR + 3.10%), 7/15/31(1)(2) | 2,500 | 2,459,622 | ||||||||
Series 2018-2A, Class D, 6.994%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 5,000 | 4,696,830 | ||||||||
Regatta XIV Funding, Ltd.: | ||||||||||
Series 2018-3A, Class D, 4.384%, (3 mo. USD LIBOR + 3.20%), 10/25/31(1)(2) | 2,500 | 2,457,677 | ||||||||
Series 2018-3A, Class E, 7.134%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 4,500 | 4,226,022 | ||||||||
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 7.684%, (3 mo. USD LIBOR + 6.50%), 10/25/31(1)(2) | 3,875 | 3,676,127 | ||||||||
Upland CLO, Ltd.: | ||||||||||
Series 2016-1A, Class CR, 3.963%, (3 mo. USD LIBOR + 2.90%), 4/20/31(1)(2) | 4,500 | 4,282,636 | ||||||||
Series 2016-1A, Class DR, 6.963%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2) | 4,625 | 4,320,037 | ||||||||
Vibrant CLO IX, Ltd.: | ||||||||||
Series 2018-9A, Class C, 4.263%, (3 mo. USD LIBOR + 3.20%), 7/20/31(1)(2) | 2,500 | 2,288,483 | ||||||||
Series 2018-9A, Class D, 7.313%, (3 mo. USD LIBOR + 6.25%), 7/20/31(1)(2) | 3,500 | 3,121,604 | ||||||||
Vibrant CLO X, Ltd.: | ||||||||||
Series 2018-10A, Class C, 4.313%, (3 mo. USD LIBOR + 3.25%), 10/20/31(1)(2) | 5,000 | 4,685,000 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Vibrant CLO X, Ltd.: (continued) | ||||||||||||
Series 2018-10A, Class D, 7.253%, (3 mo. USD LIBOR + 6.19%), 10/20/31(1)(2) | $ | 5,000 | $ | 4,482,660 | ||||||||
Voya CLO, Ltd.: | ||||||||||||
Series 2014-1A, Class DR2, 7.044%, (3 mo. USD LIBOR + 6.00%), 4/18/31(1)(2) | 3,250 | 2,919,179 | ||||||||||
Series 2015-3A, Class CR, 4.213%, (3 mo. USD LIBOR + 3.15%), 10/20/31(1)(2) | 2,500 | 2,371,980 | ||||||||||
Series 2015-3A, Class DR, 7.263%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2) | 5,500 | 4,910,917 | ||||||||||
Series 2016-3A, Class CR, 4.294%, (3 mo. USD LIBOR + 3.25%), 10/18/31(1)(2) | 2,000 | 1,872,938 | ||||||||||
Series 2016-3A, Class DR, 7.124%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) | 3,375 | 2,928,838 | ||||||||||
Series 2018-1A, Class C, 3.644%, (3 mo. USD LIBOR + 2.60%), 4/19/31(1)(2) | 5,000 | 4,751,515 | ||||||||||
Webster Park CLO, Ltd.: | ||||||||||||
Series 2015-1A, Class CR, 3.963%, (3 mo. USD LIBOR + 2.90%), 7/20/30(1)(2) | 2,000 | 1,957,692 | ||||||||||
Series 2015-1A, Class DR, 6.563%, (3 mo. USD LIBOR + 5.50%), 7/20/30(1)(2) | 2,500 | 2,385,108 | ||||||||||
Wellfleet CLO, Ltd., Series 2021-3A, Class E, 8.144%, (3 mo. USD LIBOR + 7.10%), 1/15/35(1)(2) | 1,050 | 1,021,760 | ||||||||||
Total Asset-Backed Securities |
| $ | 306,741,226 | |||||||||
Common Stocks — 0.6% |
| |||||||||||
Security | Shares | Value | ||||||||||
Aerospace and Defense — 0.0%(4) | ||||||||||||
IAP Global Services, LLC(5)(6)(7) | 168 | $ | 754,287 | |||||||||
$ | 754,287 | |||||||||||
Automotive — 0.0%(4) | ||||||||||||
Dayco Products, LLC(6)(7) | 48,926 | $ | 366,945 | |||||||||
$ | 366,945 | |||||||||||
Containers and Glass Products — 0.0%(4) | ||||||||||||
LG Newco Holdco, Inc., Class A(6)(7) | 342,076 | $ | 4,789,064 | |||||||||
$ | 4,789,064 | |||||||||||
Electronics/Electrical — 0.1% | ||||||||||||
Skillsoft Corp.(6)(7) | 1,010,393 | $ | 5,405,603 | |||||||||
$ | 5,405,603 |
21 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | ||||||||||
Health Care — 0.1% | ||||||||||||
Akorn Holding Company, LLC, Class A(6)(7) | 792,089 | $ | 6,699,726 | |||||||||
$ | 6,699,726 | |||||||||||
Nonferrous Metals/Minerals — 0.0%(4) | ||||||||||||
ACNR Holdings, Inc., Class A(6)(7) | 30,298 | $ | 2,234,477 | |||||||||
$ | 2,234,477 | |||||||||||
Oil and Gas — 0.2% | ||||||||||||
AFG Holdings, Inc.(5)(6)(7) | 281,241 | $ | 1,597,449 | |||||||||
McDermott International, Ltd.(6)(7) | 1,382,889 | 894,314 | ||||||||||
QuarterNorth Energy, Inc.(6)(7) | 115,233 | 15,037,907 | ||||||||||
RDV Resources, Inc., Class A(6)(7) | 197,614 | 592,842 | ||||||||||
$ | 18,122,512 | |||||||||||
Radio and Television — 0.1% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.(6)(7) | 482,097 | $ | 1,185,959 | |||||||||
Cumulus Media, Inc., Class A(6)(7) | 371,654 | 5,117,675 | ||||||||||
iHeartMedia, Inc., Class A(6)(7) | 205,018 | 3,278,238 | ||||||||||
$ | 9,581,872 | |||||||||||
Retailers (Except Food and Drug) — 0.0%(4) | ||||||||||||
David’s Bridal, LLC(5)(6)(7) | 195,511 | $ | 0 | |||||||||
Phillips Pet Holding Corp.(5)(6)(7) | 2,960 | 1,026,607 | ||||||||||
$ | 1,026,607 | |||||||||||
Telecommunications — 0.1% | ||||||||||||
GEE Acquisition Holdings Corp.(5)(6)(7) | 390,679 | $ | 7,200,214 | |||||||||
$ | 7,200,214 | |||||||||||
Utilities — 0.0%(4) | ||||||||||||
Longview Intermediate Holdings, LLC, Class A(6)(7) | 359,046 | $ | 5,385,691 | |||||||||
$ | 5,385,691 | |||||||||||
Total Common Stocks |
| $ | 61,566,998 | |||||||||
Convertible Preferred Stocks — 0.1% |
| |||||||||||
Security | Shares | Value | ||||||||||
Containers and Glass Products — 0.1% | ||||||||||||
LG Newco Holdco, Inc., Series A, 13.00%(6)(7) | 51,966 | $ | 6,729,605 | |||||||||
Total Convertible Preferred Stocks |
| $ | 6,729,605 |
Corporate Bonds — 6.6% |
| |||||||||||
Security | Principal Amount* (000’s omitted) | Value | ||||||||||
Aerospace and Defense — 0.1% | ||||||||||||
Spirit AeroSystems, Inc., 5.50%, 1/15/25(1) | 3,750 | $ | 3,717,225 | |||||||||
TransDigm, Inc.: | ||||||||||||
6.25%, 3/15/26(1) | 1,500 | 1,494,173 | ||||||||||
8.00%, 12/15/25(1) | 1,500 | 1,563,105 | ||||||||||
$ | 6,774,503 | |||||||||||
Air Transport — 0.6% | ||||||||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | ||||||||||||
5.50%, 4/20/26(1) | 19,300 | $ | 19,153,610 | |||||||||
5.75%, 4/20/29(1) | 14,475 | 13,971,270 | ||||||||||
Delta Air Lines, Inc., 7.00%, 5/1/25(1) | 5,300 | 5,679,788 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 7,925 | 7,843,834 | ||||||||||
United Airlines, Inc.: | ||||||||||||
4.375%, 4/15/26(1) | 5,050 | 4,880,825 | ||||||||||
4.625%, 4/15/29(1) | 5,050 | 4,640,672 | ||||||||||
$ | 56,169,999 | |||||||||||
Airlines — 0.1% | ||||||||||||
Air Canada, 3.875%, 8/15/26(1) | 7,550 | $ | 6,989,564 | |||||||||
$ | 6,989,564 | |||||||||||
Automotive — 0.1% | ||||||||||||
Clarios Global, L.P.: | ||||||||||||
6.25%, 5/15/26(1) | 4,478 | $ | 4,528,310 | |||||||||
6.75%, 5/15/25(1) | 2,183 | 2,229,596 | ||||||||||
Tenneco, Inc.: | ||||||||||||
5.125%, 4/15/29(1) | 10,125 | 9,883,873 | ||||||||||
7.875%, 1/15/29(1) | 550 | 556,611 | ||||||||||
$ | 17,198,390 | |||||||||||
Building and Development — 0.0%(4) | ||||||||||||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 3,625 | $ | 3,701,578 | |||||||||
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 1,100 | 1,092,850 | ||||||||||
$ | 4,794,428 |
22 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | ||||||||
Business Equipment and Services — 0.7% | ||||||||||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,475 | $ | 2,394,810 | |||||||
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | ||||||||||
4.625%, 6/1/28(1) | 20,725 | 18,213,752 | ||||||||
4.625%, 6/1/28(1) | 28,825 | 25,543,562 | ||||||||
Prime Security Services Borrower, LLC/Prime Finance, Inc.: | ||||||||||
5.25%, 4/15/24(1) | 9,125 | 9,125,182 | ||||||||
5.75%, 4/15/26(1) | 17,950 | 17,240,616 | ||||||||
$ | 72,517,922 | |||||||||
Chemicals — 0.1% | ||||||||||
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 2,000 | $ | 2,008,784 | ||||||
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 3,700 | 3,381,966 | ||||||||
Olympus Water US Holding Corp., 4.25%, 10/1/28(1) | 7,550 | 6,683,864 | ||||||||
$ | 12,074,614 | |||||||||
Commercial Services — 0.1% | ||||||||||
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 8,775 | $ | 8,544,876 | |||||||
$ | 8,544,876 | |||||||||
Commercial Services & Supplies — 0.1% | ||||||||||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 6,025 | $ | 5,850,787 | |||||||
$ | 5,850,787 | |||||||||
Communications Equipment — 0.1% | ||||||||||
CommScope, Inc., 4.75%, 9/1/29(1) | 7,038 | $ | 5,896,049 | |||||||
$ | 5,896,049 | |||||||||
Diversified Financial Services — 0.1% | ||||||||||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 11,581 | $ | 11,336,236 | |||||||
$ | 11,336,236 | |||||||||
Diversified Telecommunication Services — 0.7% | ||||||||||
Altice France S.A.: | ||||||||||
5.125%, 1/15/29(1) | 1,600 | $ | 1,359,792 | |||||||
5.125%, 7/15/29(1) | 63,200 | 53,606,872 | ||||||||
5.50%, 10/15/29(1) | 6,455 | 5,494,076 | ||||||||
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 7,625 | 6,631,310 | ||||||||
Zayo Group Holdings, Inc. , 4.00%, 3/1/27(1) | 4,000 | 3,486,900 | ||||||||
$ | 70,578,950 |
Security | Principal Amount* (000’s omitted) | Value | ||||||||
Drugs — 0.1% | ||||||||||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 10,050 | $ | 9,271,376 | |||||||
$ | 9,271,376 | |||||||||
Electronics/Electrical — 0.3% | ||||||||||
Imola Merger Corp., 4.75%, 5/15/29(1) | 20,200 | $ | 18,811,755 | |||||||
LogMeIn, Inc., 5.50%, 9/1/27(1) | 12,010 | 10,523,823 | ||||||||
$ | 29,335,578 | |||||||||
Entertainment — 0.1% | ||||||||||
AMC Entertainment Holdings, Inc., 7.50%, 2/15/29(1) | 9,650 | $ | 8,842,729 | |||||||
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 2,400 | 2,496,156 | ||||||||
$ | 11,338,885 | |||||||||
Food Products — 0.1% | ||||||||||
Del Monte Foods, Inc., 11.875%, 5/15/25(1) | 9,400 | $ | 10,276,973 | |||||||
$ | 10,276,973 | |||||||||
Health Care — 0.5% | ||||||||||
HCA, Inc., 5.25%, 4/15/25 | 1,250 | $ | 1,289,135 | |||||||
Mozart Debt Merger Sub, Inc., 3.875%, 4/1/29(1) | 25,150 | 22,009,519 | ||||||||
RP Escrow Issuer, LLC, 5.25%, 12/15/25(1) | 2,650 | 2,468,157 | ||||||||
Tenet Healthcare Corp., 4.25%, 6/1/29(1) | 25,375 | 22,961,076 | ||||||||
$ | 48,727,887 | |||||||||
Hotels, Restaurants & Leisure — 0.6% | ||||||||||
Carnival Corporation, 4.00%, 8/1/28(1) | 37,975 | $ | 34,234,083 | |||||||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 6,790 | 6,172,280 | ||||||||
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,375 | 21,358,727 | ||||||||
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,425 | 2,542,297 | ||||||||
$ | 64,307,387 | |||||||||
Household Products — 0.0%(4) | ||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 1,300 | $ | 1,152,262 | |||||||
$ | 1,152,262 | |||||||||
Insurance — 0.0%(4) | ||||||||||
NFP Corp., 4.875%, 8/15/28(1) | 1,000 | $ | 911,370 | |||||||
$ | 911,370 |
23 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | ||||||||
Internet Software & Services — 0.1% | ||||||||||
Arches Buyer, Inc., 4.25%, 6/1/28(1) | 7,525 | $ | 6,698,341 | |||||||
$ | 6,698,341 | |||||||||
IT Services — 0.1% | ||||||||||
Rackspace Technology Global, Inc., 3.50%, 2/15/28(1) | 10,785 | $ | 9,341,372 | |||||||
$ | 9,341,372 | |||||||||
Leisure Goods/Activities/Movies — 0.0%(4) | ||||||||||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1)(3) | 3,475 | $ | 3,414,379 | |||||||
$ | 3,414,379 | |||||||||
Machinery — 0.2%(4) | ||||||||||
Clark Equipment Company, 5.875%, 6/1/25(1) | 1,200 | $ | 1,217,742 | |||||||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 12,300 | 10,808,932 | ||||||||
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 4,950 | 4,643,645 | ||||||||
$ | 16,670,319 | |||||||||
Media — 0.2% | ||||||||||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1) | 6,700 | $ | 2,487,308 | |||||||
iHeartCommunications, Inc.: | ||||||||||
4.75%, 1/15/28(1) | 2,975 | 2,700,333 | ||||||||
5.25%, 8/15/27(1) | 2,500 | 2,340,900 | ||||||||
6.375%, 5/1/26 | 1,159 | 1,163,779 | ||||||||
8.375%, 5/1/27 | 2,101 | 2,084,110 | ||||||||
Univision Communications, Inc., 4.50%, 5/1/29(1) | 10,075 | 9,055,209 | ||||||||
$ | 19,831,639 | |||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||
CITGO Petroleum Corporation: | ||||||||||
6.375%, 6/15/26(1) | 2,100 | $ | 2,090,865 | |||||||
7.00%, 6/15/25(1) | 12,175 | 12,113,151 | ||||||||
$ | 14,204,016 | |||||||||
Packaging & Containers — 0.2% | ||||||||||
Clydesdale Acquisition Holdings, Inc., 6.625%, 4/15/29(1) | 2,525 | $ | 2,522,172 | |||||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | ||||||||||
4.00%, 10/15/27(1) | 6,325 | 5,527,449 | ||||||||
4.375%, 10/15/28(1) | 10,100 | 8,926,027 | ||||||||
$ | 16,975,648 |
Security | Principal Amount* (000’s omitted) | Value | ||||||||
Pharmaceuticals — 0.2% | ||||||||||
Bausch Health Companies, Inc.: | ||||||||||
4.875%, 6/1/28(1) | 9,050 | $ | 8,040,563 | |||||||
5.50%, 11/1/25(1) | 2,700 | 2,617,299 | ||||||||
6.125%, 2/1/27(1) | 6,425 | 6,180,400 | ||||||||
$ | 16,838,262 | |||||||||
Professional Services — 0.1% | ||||||||||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 6,000 | $ | 5,324,580 | |||||||
$ | 5,324,580 | |||||||||
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) | 7,925 | $ | 7,697,949 | |||||||
$ | 7,697,949 | |||||||||
Software — 0.2% | ||||||||||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,850 | $ | 4,953,232 | |||||||
Sabre GLBL, Inc.: | ||||||||||
7.375%, 9/1/25(1) | 2,675 | 2,710,925 | ||||||||
9.25%, 4/15/25(1) | 2,925 | 3,125,626 | ||||||||
Veritas US, Inc./Veritas Bermuda, Ltd., 7.50%, 9/1/25(1) | 13,575 | 11,984,350 | ||||||||
$ | 22,774,133 | |||||||||
Specialty Retail — 0.0%(4) | ||||||||||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,575 | $ | 1,466,963 | |||||||
$ | 1,466,963 | |||||||||
Technology — 0.1% | ||||||||||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 12,575 | $ | 11,210,235 | |||||||
$ | 11,210,235 | |||||||||
Telecommunications — 0.3% | ||||||||||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 10,125 | $ | 9,234,000 | |||||||
Lumen Technologies, Inc., 4.00%, 2/15/27(1) | 14,150 | 12,606,164 | ||||||||
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 10,575 | 8,958,611 | ||||||||
$ | 30,798,775 |
24 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | ||||||||
Trading Companies & Distributors — 0.1% | ||||||||||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 875 | $ | 817,171 | |||||||
SRS Distribution, Inc., 4.625%, 7/1/28(1) | 5,100 | 4,676,292 | ||||||||
$ | 5,493,463 | |||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 7,250 | $ | 7,166,697 | |||||||
$ | 7,166,697 | |||||||||
Total Corporate Bonds |
| $ | 649,954,807 | |||||||
Exchange-Traded Funds — 0.4% |
| |||||||||
Security | Shares | Value | ||||||||
SPDR Blackstone Senior Loan ETF | 1,009,000 | $ | 44,870,230 | |||||||
Total Exchange-Traded Funds |
| $ | 44,870,230 | |||||||
Preferred Stocks — 0.1% |
| |||||||||
Security | Shares | Value | ||||||||
Financial Services — 0.0% | ||||||||||
DBI Investors, Inc., Series A-1(5)(6)(7) | 9,245 | $ | 0 | |||||||
$ | 0 | |||||||||
Nonferrous Metals/Minerals — 0.1% | ||||||||||
ACNR Holdings, Inc., 15.00% (PIK)(6)(7) | 14,309 | $ | 6,081,325 | |||||||
$ | 6,081,325 | |||||||||
Retailers (Except Food and Drug) — 0.0% | ||||||||||
David’s Bridal, LLC: | ||||||||||
Series A, 8.00% (PIK)(5)(6)(7) | 5,438 | $ | 0 | |||||||
Series B, 10.00% (PIK)(5)(6)(7) | 22,162 | 0 | ||||||||
$ | 0 | |||||||||
Total Preferred Stocks |
| $ | 6,081,325 |
Senior Floating-Rate Loans — 107.5%(8) |
| |||||||||
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Aerospace and Defense — 2.0% | ||||||||||
Aernnova Aerospace S.A.U.: | ||||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/22/27 | EUR | 1,071 | $ | 1,067,666 | ||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,179 | 4,163,897 | |||||||
AI Convoy (Luxembourg) S.a.r.l.: | ||||||||||
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 3,300 | 3,430,856 | |||||||
Term Loan, 5.05%, (USD LIBOR + 3.50%), 1/18/27(9) | 9,128 | 9,084,146 | ||||||||
Dynasty Acquisition Co., Inc.: | ||||||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 4/6/26 | 39,080 | 38,313,331 | ||||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 4/6/26 | 21,014 | 20,601,881 | ||||||||
IAP Worldwide Services, Inc.: | ||||||||||
Revolving Loan, 0.75%, 7/18/23(10) | 944 | 936,019 | ||||||||
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 6.50%, Floor 1.50%), 7/18/23(5) | 1,202 | 965,571 | ||||||||
Spirit Aerosystems, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 1/15/25 | 8,305 | 8,303,467 | ||||||||
TransDigm, Inc.: | ||||||||||
Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 8/22/24 | 32,597 | 32,159,872 | ||||||||
Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 12/9/25 | 51,178 | 50,265,099 | ||||||||
WP CPP Holdings, LLC, Term Loan, 4.989%, (USD LIBOR + 3.75%, Floor 1.00%), 4/30/25(9) | 35,746 | 33,802,759 | ||||||||
$ | 203,094,564 | |||||||||
Airlines — 1.7% | ||||||||||
AAdvantage Loyalty IP, Ltd., Term Loan, 5.813%, (3 mo. USD LIBOR + 4.75%), 4/20/28 | 36,000 | $ | 36,682,488 | |||||||
Air Canada, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 8/11/28 | 5,875 | 5,829,469 | ||||||||
American Airlines, Inc.: | ||||||||||
Term Loan, 2.448%, (1 mo. USD LIBOR + 1.75%), 6/27/25 | 16,000 | 15,470,000 | ||||||||
Term Loan, 1/29/27(11) | 5,128 | 4,934,162 | ||||||||
Mileage Plus Holdings, LLC, Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), 6/21/27 | 23,775 | 24,702,225 | ||||||||
SkyMiles IP, Ltd., Term Loan, 4.813%, (3 mo. USD LIBOR + 3.75%), 10/20/27 | 40,225 | 41,621,693 | ||||||||
United Airlines, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 4/21/28 | 38,052 | 37,856,747 | ||||||||
$ | 167,096,784 |
25 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Auto Components — 2.7% | ||||||||||
Adient US, LLC, Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 4/10/28 | 15,994 | $ | 15,927,321 | |||||||
American Axle and Manufacturing, Inc., Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 4/6/24 | 15,761 | 15,747,841 | ||||||||
Chassix, Inc., Term Loan, 6.50%, (USD LIBOR + 5.50%, Floor 1.00%), 11/15/23(9) | 10,186 | 9,223,096 | ||||||||
Clarios Global, L.P.: | ||||||||||
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 32,577 | 33,532,719 | |||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 4/30/26 | 23,798 | 23,464,675 | ||||||||
CS Intermediate Holdco 2, LLC, Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 11/2/23 | 3,898 | 3,620,012 | ||||||||
Dayco Products, LLC, Term Loan, 4.758%, (3 mo. USD LIBOR + 4.25%), 5/19/23 | 15,208 | 15,081,651 | ||||||||
DexKo Global, Inc.: | ||||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 10/4/28(10) | EUR | 1,115 | 1,151,453 | |||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 6,931 | 7,156,155 | |||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,604 | 3,721,397 | |||||||
Term Loan, 4.717%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 2,316 | 2,262,732 | ||||||||
Term Loan, 4.717%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 12,159 | 11,879,343 | ||||||||
Garrett LX I S.a.r.l.: | ||||||||||
Term Loan, 3.50%, (3 mo. EURIBOR+ 3.50%), 4/30/28 | EUR | 17,397 | 17,893,950 | |||||||
Term Loan, 4.49%, (3 mo. USD LIBOR + 3.25%), 4/30/28 | 6,368 | 6,200,840 | ||||||||
LTI Holdings, Inc.: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 9/6/25 | 8,200 | 8,053,919 | ||||||||
Term Loan, 5.514%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 2,389 | 2,357,398 | ||||||||
Term Loan, 5.514%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 3,551 | 3,529,094 | ||||||||
Term Loan, 5.514%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 2,147 | 2,133,457 | ||||||||
Tenneco, Inc., Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 10/1/25 | 36,124 | 35,769,942 | ||||||||
TI Group Automotive Systems, LLC: | ||||||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 12/16/26 | EUR | 10,499 | 10,965,568 | |||||||
Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 12/16/26 | 6,536 | 6,494,710 | ||||||||
Truck Hero, Inc., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 1/31/28 | 16,656 | 15,584,004 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Auto Components (continued) | ||||||||||
Visteon Corporation, Term Loan, 2.477%, (USD LIBOR + 1.75%), 3/25/24(9) | 2,500 | $ | 2,471,095 | |||||||
Wheel Pros, LLC, Term Loan, 5.25%, (1 mo. USD LIBOR + 4.50%, Floor 0.75%), 5/11/28 | 9,602 | 8,996,840 | ||||||||
$ | 263,219,212 | |||||||||
Automobiles — 0.6% | ||||||||||
Bombardier Recreational Products, Inc., Term Loan, 2.488%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | 35,733 | $ | 35,183,393 | |||||||
MajorDrive Holdings IV, LLC, Term Loan, 4.563%, (3 mo. USD LIBOR + 4.00%), 6/1/28 | 16,127 | 15,844,658 | ||||||||
Thor Industries, Inc., Term Loan, 3.813%, (1 mo. USD LIBOR + 3.00%), 2/1/26 | 8,038 | 7,992,988 | ||||||||
$ | 59,021,039 | |||||||||
Beverage — 0.4% | ||||||||||
Arterra Wines Canada, Inc., Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 11/24/27 | 3,538 | $ | 3,503,013 | |||||||
City Brewing Company, LLC, Term Loan, 4.469%, (3 mo. USD LIBOR + 3.50%), 4/5/28 | 7,786 | 7,338,187 | ||||||||
Naked Juice, LLC, Term Loan, 4.001%, (SOFR + 3.25%), 1/24/29 | 4,225 | 4,151,941 | ||||||||
Triton Water Holdings, Inc., Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 3/31/28 | 20,849 | 20,310,357 | ||||||||
$ | 35,303,498 | |||||||||
Biotechnology — 0.5% | ||||||||||
Alkermes, Inc., Term Loan, 3.544%, (3 mo. USD LIBOR + 2.50%), 3/12/26 | 12,898 | $ | 12,671,907 | |||||||
Alltech, Inc., Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 10/13/28 | 8,055 | 7,964,196 | ||||||||
Grifols Worldwide Operations USA, Inc., Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 11/15/27 | 33,998 | 33,271,414 | ||||||||
$ | 53,907,517 | |||||||||
Building Products — 1.0% | ||||||||||
ACProducts, Inc., Term Loan, 4.75%, (6 mo. USD LIBOR + 4.25%, Floor 0.50%), 5/17/28 | 20,690 | $ | 18,000,000 | |||||||
Cornerstone Building Brands, Inc., Term Loan, 3.804%, (3 mo. USD LIBOR + 3.25%), 4/12/28 | 24,780 | 23,339,398 | ||||||||
CP Atlas Buyer, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 11/23/27 | 4,478 | 4,214,499 | ||||||||
CPG International, Inc., Term Loan, 4/28/29(11) | 14,950 | 14,828,531 | ||||||||
LHS Borrower, LLC, Term Loan, 5.55%, (SOFR + 4.75%), 2/16/29 | 20,725 | 19,999,625 |
26 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Building Products (continued) | ||||||||||
MI Windows and Doors, LLC, Term Loan, 4.30%, (SOFR + 3.50%), 12/18/27 | 6,447 | $ | 6,404,747 | |||||||
Standard Industries, Inc., Term Loan, 3.788%, (6 mo. USD LIBOR + 2.50%), 9/22/28 | 16,884 | 16,869,083 | ||||||||
$ | 103,655,883 | |||||||||
Capital Markets — 4.1% | ||||||||||
Advisor Group, Inc., Term Loan, 5.264%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 42,712 | $ | 42,627,112 | |||||||
AllSpring Buyer, LLC, Term Loan, 4.31%, (3 mo. USD LIBOR + 3.25%), 11/1/28 | 8,355 | 8,349,617 | ||||||||
Andromeda Investissements, Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 6/12/26 | EUR | 5,250 | 5,419,068 | |||||||
Apex Group Treasury, LLC, Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 7/27/28 | 6,195 | 6,166,806 | ||||||||
Aretec Group, Inc., Term Loan, 5.014%, (1 mo. USD LIBOR + 4.25%), 10/1/25 | 25,917 | 25,900,904 | ||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 2.756%, (3 mo. USD LIBOR + 1.75%), 6/1/24 | 13,990 | 13,869,316 | ||||||||
Brookfield Property REIT, Inc., Term Loan, 3.30%, (SOFR + 2.50%), 8/27/25(9) | 6,489 | 6,406,594 | ||||||||
CeramTec AcquiCo GmbH, Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 3/16/29 | EUR | 14,461 | 14,997,301 | |||||||
Citco Funding, LLC, Term Loan, 3.506%, (3 mo. USD LIBOR + 2.50%), 9/28/23 | 17,233 | 17,211,603 | ||||||||
Clipper Acquisitions Corp., Term Loan, 2.188%, (1 mo. USD LIBOR + 1.75%), 3/3/28 | 11,932 | 11,777,605 | ||||||||
Edelman Financial Center, LLC, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 4/7/28 | 33,665 | 33,451,939 | ||||||||
EIG Management Company, LLC, Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 2/22/25 | 2,712 | 2,698,440 | ||||||||
FinCo I, LLC, Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 6/27/25 | 26,247 | 26,142,878 | ||||||||
Focus Financial Partners, LLC: | ||||||||||
Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 7/3/24 | 22,598 | 22,491,580 | ||||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 6/30/28 | 10,997 | 10,939,060 | ||||||||
Franklin Square Holdings, L.P., Term Loan, 3.063%, (1 mo. USD LIBOR + 2.25%), 8/1/25 | 6,586 | 6,512,008 | ||||||||
Greenhill & Co., Inc., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 4/12/24 | 5,525 | 5,503,889 | ||||||||
Guggenheim Partners, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 7/21/23 | 32,790 | 32,735,194 | ||||||||
HighTower Holdings, LLC, Term Loan, 5.098%, (3 mo. USD LIBOR + 4.00%), 4/21/28 | 12,239 | 12,126,560 | ||||||||
Hudson River Trading, LLC, Term Loan, 3.815%, (SOFR + 3.00%), 3/20/28 | 30,195 | 29,840,696 | ||||||||
LPL Holdings, Inc., Term Loan, 2.205%, (1 mo. USD LIBOR + 1.75%), 11/12/26 | 19,452 | 19,282,038 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Capital Markets (continued) | ||||||||||
Mariner Wealth Advisors, LLC: | ||||||||||
Term Loan, 4.496%, (SOFR + 3.25%), 8/18/28 | 1,289 | $ | 1,277,280 | |||||||
Term Loan, 4.496%, (SOFR + 3.25%), 8/18/28 | 9,009 | 8,929,908 | ||||||||
Term Loan, 8/18/28(11) | 714 | 708,036 | ||||||||
Term Loan, 8/18/28(11) | 4,286 | 4,248,214 | ||||||||
Press Ganey Holdings, Inc., Term Loan, 4.988%, (USD LIBOR + 3.75%), 7/24/26(9) | 2,481 | 2,459,539 | ||||||||
Victory Capital Holdings, Inc.: | ||||||||||
Term Loan, 3.219%, (3 mo. USD LIBOR + 2.25%), 7/1/26 | 18,972 | 18,840,006 | ||||||||
Term Loan, 12/29/28(11) | 11,475 | 11,369,463 | ||||||||
$ | 402,282,654 | |||||||||
Chemicals — 4.4% | ||||||||||
Apergy Corporation: | ||||||||||
Term Loan, 3.313%, (1 mo. USD LIBOR + 2.50%), 5/9/25 | 1,687 | $ | 1,677,259 | |||||||
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 6/3/27 | 1,779 | 1,788,272 | ||||||||
Aruba Investments, Inc.: | ||||||||||
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 11/24/27 | EUR | 4,232 | 4,431,327 | |||||||
Term Loan, 4.576%, (3 mo. USD LIBOR + 3.75%), 11/24/27 | 6,237 | 6,182,582 | ||||||||
Atotech B.V.: | ||||||||||
Term Loan, 2.50%, (1 mo. EURIBOR + 2.50%), 3/18/28 | EUR | 2,975 | 3,111,015 | |||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 3/18/28 | 22,674 | 22,522,063 | ||||||||
Caldic B.V., Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 2/3/29 | EUR | 6,000 | 6,266,404 | |||||||
Charter NEX US, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 12/1/27 | 14,801 | 14,744,042 | ||||||||
Chemours Company (The), Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), 4/3/25 | EUR | 5,625 | 5,835,344 | |||||||
Colouroz Investment 1 GmbH: | ||||||||||
Term Loan, 9/21/23(11) | EUR | 1,697 | 1,732,142 | |||||||
Term Loan, 9/21/23(11) | EUR | 40 | 40,434 | |||||||
CPC Acquisition Corp., Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 12/29/27 | 19,899 | 18,904,050 | ||||||||
Flint Group GmbH: | ||||||||||
Term Loan, 5.00%, (EURIBOR + 4.25%, Floor 0.75%), 4.25% cash, 0.75% PIK, 9/21/23(9) | EUR | 1,231 | 1,256,064 | |||||||
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23 | 1,326 | 1,281,103 | ||||||||
Term Loan, 9/21/23(11) | EUR | 46 | 47,371 | |||||||
Term Loan, 9/21/23(11) | EUR | 106 | 107,864 | |||||||
Term Loan, 9/21/23(11) | EUR | 209 | 213,757 |
27 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Chemicals (continued) | ||||||||||
Flint Group US, LLC: | ||||||||||
Term Loan, 6.00%, (USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23(9) | 1,989 | $ | 1,929,552 | |||||||
Term Loan, 6.00%, (USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23(9) | 8,028 | 7,754,738 | ||||||||
Gemini HDPE, LLC, Term Loan, 4.239%, (3 mo. USD LIBOR + 3.00%), 12/31/27 | 6,084 | 6,069,501 | ||||||||
GEON Performance Solutions, LLC, Term Loan, 5.514%, (1 mo. USD LIBOR + 4.75%), 8/18/28 | 7,737 | 7,729,600 | ||||||||
Groupe Solmax, Inc., Term Loan, 5.481%, (3 mo. USD LIBOR + 4.75%), 5/29/28 | 17,294 | 16,894,225 | ||||||||
INEOS Enterprises Holdings II Limited, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 2,325 | 2,403,704 | |||||||
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 8/28/26 | 2,484 | 2,475,684 | ||||||||
INEOS Finance PLC: | ||||||||||
Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), 4/1/24 | EUR | 7,920 | 8,249,387 | |||||||
Term Loan, 3.25%, (1 mo. EURIBOR + 2.75%, Floor 0.50%), 11/4/28 | EUR | 9,675 | 10,010,166 | |||||||
INEOS Quattro Holdings UK Ltd, Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 30,000 | 30,653,827 | |||||||
INEOS Styrolution US Holding, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 1/29/26 | 23,284 | 23,062,179 | ||||||||
INEOS US Finance, LLC: | ||||||||||
Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 4/1/24 | 794 | 791,103 | ||||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 11/8/28 | 8,200 | 8,138,500 | ||||||||
Kraton Corporation, Term Loan, 3.99%, (3 mo. USD LIBOR + 3.25%), 3/15/29 | 6,225 | 6,209,437 | ||||||||
Kraton Polymers Holdings B.V., Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 4,650 | 4,847,266 | |||||||
Lonza Group AG: | ||||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 7,873 | 8,099,968 | |||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 9,025 | 9,284,883 | |||||||
Term Loan, 5.006%, (6 mo. USD LIBOR + 4.00%), 7/3/28 | 24,279 | 23,610,966 | ||||||||
LSF11 Skyscraper Holdco S.a.r.l.: | ||||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 9/29/27 | EUR | 13,775 | 14,389,643 | |||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 9/29/27 | 5,618 | 5,586,859 | ||||||||
Messer Industries GmbH: | ||||||||||
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 2,450 | 2,538,917 | |||||||
Term Loan, 3.506%, (3 mo. USD LIBOR + 2.50%), 3/2/26 | 6,679 | 6,630,713 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Chemicals (continued) | ||||||||||
Minerals Technologies, Inc., Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 2/14/24 | 11,049 | $ | 11,042,367 | |||||||
Momentive Performance Materials, Inc., Term Loan, 4.02%, (1 mo. USD LIBOR + 3.25%), 5/15/24 | 1,120 | 1,113,468 | ||||||||
Olympus Water US Holding Corporation: | ||||||||||
Term Loan, 4.746%, (3 mo. USD LIBOR + 3.75%), 11/9/28 | 5,511 | 5,424,585 | ||||||||
Term Loan, 5.298%, (SOFR + 4.50%), 11/9/28 | 5,950 | 5,879,344 | ||||||||
Orion Engineered Carbons GmbH: | ||||||||||
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), 9/24/28 | EUR | 1,250 | 1,297,259 | |||||||
Term Loan, 3.256%, (3 mo. USD LIBOR + 2.25%), 9/24/28 | 4,925 | 4,879,076 | ||||||||
PQ Corporation, Term Loan, 3.739%, (3 mo. USD LIBOR + 2.50%), 6/9/28 | 25,656 | 25,471,709 | ||||||||
Rohm Holding GmbH: | ||||||||||
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 7/31/26 | EUR | 2,350 | 2,348,979 | |||||||
Term Loan, 5.269%, (3 mo. USD LIBOR + 4.75%), 7/31/26 | 19,635 | 19,045,735 | ||||||||
Spectrum Holdings III Corp., Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 1/31/25 | 5,559 | 5,383,939 | ||||||||
Starfruit Finco B.V., Term Loan, 4.006%, (3 mo. USD LIBOR + 3.00%), 10/1/25 | 8,260 | 8,156,612 | ||||||||
Trinseo Materials Operating S.C.A.: | ||||||||||
Term Loan, 2.764%, (1 mo. USD LIBOR + 2.50%), 5/3/28 | 8,536 | 8,448,617 | ||||||||
Term Loan, 9/6/24(11) | 6,750 | 6,687,421 | ||||||||
Tronox Finance, LLC: | ||||||||||
Term Loan, 3.215%, (USD LIBOR + 2.25%), 3/10/28(9) | 12,836 | 12,736,879 | ||||||||
Term Loan, 4/4/29(11) | 3,975 | 3,965,062 | ||||||||
W.R. Grace & Co.-Conn., Term Loan, 4.813%, (3 mo. USD LIBOR + 3.75%), 9/22/28 | 17,157 | 17,064,781 | ||||||||
$ | 436,447,744 | |||||||||
Clothing/Textiles — 0.0%(4) | ||||||||||
Samsonite International S.A., Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 4/25/25 | 4,497 | $ | 4,431,976 | |||||||
$ | 4,431,976 | |||||||||
Commercial Services & Supplies — 2.7% | ||||||||||
Allied Universal Holdco, LLC: | ||||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 5/12/28 | EUR | 4,484 | $ | 4,529,087 | ||||||
Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 5/12/28 | 17,542 | 17,124,121 |
28 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Commercial Services & Supplies (continued) | ||||||||||
Asplundh Tree Expert, LLC, Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 9/7/27 | 10,293 | $ | 10,208,331 | |||||||
Belfor Holdings, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 4/6/26 | 6,917 | 6,917,446 | ||||||||
Clean Harbors, Inc., Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 10/8/28 | 6,035 | 6,022,051 | ||||||||
Covanta Holding Corporation: | ||||||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 11/30/28 | 2,256 | 2,248,785 | ||||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 11/30/28 | 169 | 168,448 | ||||||||
EnergySolutions, LLC, Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 18,781 | 18,545,953 | ||||||||
Garda World Security Corporation: | ||||||||||
Term Loan, 4.874%, (SOFR + 4.25%), 2/1/29 | 5,675 | 5,618,250 | ||||||||
Term Loan, 4.92%, (1 mo. USD LIBOR + 4.25%), 10/30/26 | 15,008 | 14,902,075 | ||||||||
GFL Environmental, Inc., Term Loan, 4.239%, (3 mo. USD LIBOR + 3.00%), 5/30/25 | 7,693 | 7,687,043 | ||||||||
Harsco Corporation, Term Loan, 3.125%, (1 mo. USD LIBOR + 2.25%), 3/10/28 | 3,846 | 3,735,367 | ||||||||
IRI Holdings, Inc.: | ||||||||||
Term Loan, 5.014%, (1 mo. USD LIBOR + 4.25%), 12/1/25 | 27,823 | 27,826,384 | ||||||||
Term Loan, 5.764%, (1 mo. USD LIBOR + 5.00%), 12/1/25 | 7,585 | 7,582,922 | ||||||||
KAR Auction Services, Inc., Term Loan, 3.063%, (1 mo. USD LIBOR + 2.25%), 9/19/26 | 5,235 | 5,221,430 | ||||||||
LABL, Inc., Term Loan, 5.764%, (1 mo. USD LIBOR + 5.00%), 10/29/28 | 9,501 | 9,337,292 | ||||||||
Monitronics International, Inc., Term Loan, 8.75%, (1 mo. USD LIBOR + 7.50%, Floor 1.25%), 3/29/24 | 15,089 | 11,668,483 | ||||||||
PECF USS Intermediate Holding III Corporation, Term Loan, 4.758%, (1 mo. USD LIBOR + 4.25%), 12/15/28 | 14,663 | 14,479,959 | ||||||||
Phoenix Services International, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/1/25 | 14,773 | 13,739,272 | ||||||||
Prime Security Services Borrower, LLC, Term Loan, 3.50%, (USD LIBOR + 2.75%, Floor 0.75%), 9/23/26(9) | 17,985 | 17,795,803 | ||||||||
SITEL Group, Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 7,075 | 7,407,795 | |||||||
SITEL Worldwide Corporation, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.75%, Floor 0.50%), 8/28/28 | 30,533 | 30,284,919 | ||||||||
Tempo Acquisition, LLC, Term Loan, 3.70%, (SOFR + 3.00%), 8/31/28 | 4,263 | 4,240,246 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Commercial Services & Supplies (continued) | ||||||||||
TMS International Corp., Term Loan, 3.91%, (USD LIBOR + 2.75%), 8/14/24(9) | 2,173 | $ | 2,161,638 | |||||||
TruGreen Limited Partnership, Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 11/2/27 | 5,012 | 5,000,597 | ||||||||
US Ecology Holdings, Inc., Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 11/1/26 | 3,030 | 3,021,253 | ||||||||
Werner FinCo L.P., Term Loan, 5.006%, (3 mo. USD LIBOR + 4.00%), 7/24/24 | 11,589 | 11,458,271 | ||||||||
$ | 268,933,221 | |||||||||
Communications Equipment — 0.3% | ||||||||||
CommScope, Inc., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | 19,404 | $ | 18,722,195 | |||||||
Digi International, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 5.00%, Floor 0.50%), 11/1/28 | 6,146 | 6,127,007 | ||||||||
Tiger Acquisition, LLC, Term Loan, 3.758%, (3 mo. USD LIBOR + 3.25%), 6/1/28 | 5,434 | 5,216,580 | ||||||||
$ | 30,065,782 | |||||||||
Construction Materials — 0.4% | ||||||||||
Oscar AcquisitionCo, LLC, Term Loan, 4/30/29(11) | 14,400 | $ | 13,806,000 | |||||||
Quikrete Holdings, Inc.: | ||||||||||
Term Loan, 3.389%, (1 mo. USD LIBOR + 2.625%), 2/1/27 | 4,816 | 4,687,859 | ||||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 6/11/28 | 24,400 | 23,823,038 | ||||||||
$ | 42,316,897 | |||||||||
Containers & Packaging — 1.8% | ||||||||||
Berlin Packaging, LLC, Term Loan, 4.338%, (USD LIBOR + 3.75%), 3/11/28(9) | 16,592 | $ | 16,446,448 | |||||||
Berry Global, Inc., Term Loan, 2.238%, (1 mo. USD LIBOR + 1.75%), 7/1/26 | 11,156 | 11,004,651 | ||||||||
BWAY Holding Company, Term Loan, 3.705%, (1 mo. USD LIBOR + 3.25%), 4/3/24 | 10,986 | 10,797,141 | ||||||||
Clydesdale Acquisition Holdings, Inc., Term Loan, 4/13/29(11) | 14,100 | 13,936,567 | ||||||||
Kouti B.V., Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 8/31/28 | EUR | 32,750 | 33,539,044 | |||||||
Pregis TopCo Corporation: | ||||||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 7/31/26 | 2,370 | 2,330,565 | ||||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 7/31/26 | 1,642 | 1,615,072 | ||||||||
Pretium PKG Holdings, Inc.: | ||||||||||
Term Loan, 4.733%, (USD LIBOR + 4.00%), 10/2/28(9) | 7,855 | 7,642,237 | ||||||||
Term Loan - Second Lien, 7.25%, (USD LIBOR + 6.75%, Floor 0.50%), 10/1/29(9) | 7,100 | 6,851,500 |
29 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Containers & Packaging (continued) | ||||||||||
Pro Mach Group, Inc.: | ||||||||||
Term Loan, 4.00%, 8/31/28(10) | 183 | $ | 182,330 | |||||||
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 8/31/28 | 2,658 | 2,649,040 | ||||||||
Proampac PG Borrower, LLC, Term Loan, 4.50%, (USD LIBOR + 3.75%, Floor 0.75%), 11/3/25(9) | 26,152 | 25,818,195 | ||||||||
Reynolds Group Holdings, Inc.: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 2/5/26 | 12,541 | 12,232,949 | ||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 9/20/28 | 12,413 | 12,128,910 | ||||||||
Trident TPI Holdings, Inc.: | ||||||||||
Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 10/17/24 | 12,453 | 12,408,303 | ||||||||
Term Loan, 4.479%, (1 mo. USD LIBOR + 4.00%), 9/15/28(10) | 1,155 | 1,143,126 | ||||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 9/15/28 | 8,126 | 8,039,445 | ||||||||
$ | 178,765,523 | |||||||||
Distributors — 0.6% | ||||||||||
Autokiniton US Holdings, Inc., Term Loan, 5.00%, (12 mo. USD LIBOR + 4.50%, Floor 0.50%), 4/6/28 | 22,631 | $ | 22,347,738 | |||||||
Phillips Feed Service, Inc., Term Loan, 8.00%, (3 mo. USD LIBOR + 7.00%, Floor 1.00%), 11/13/24(5) | 546 | 437,018 | ||||||||
White Cap Buyer, LLC, Term Loan, 4.45%, (SOFR + 3.75%), 10/19/27 | 34,045 | 33,289,128 | ||||||||
$ | 56,073,884 | |||||||||
Diversified Consumer Services — 0.7% | ||||||||||
Ascend Learning, LLC: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/11/28 | 16,678 | $ | 16,499,439 | |||||||
Term Loan - Second Lien, 6.514%, (1 mo. USD LIBOR + 5.75%), 12/10/29 | 5,243 | 5,193,074 | ||||||||
FrontDoor, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 6/17/28 | 968 | 964,059 | ||||||||
KUEHG Corp.: | ||||||||||
Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 36,470 | 36,184,005 | ||||||||
Term Loan - Second Lien, 9.256%, (3 mo. USD LIBOR + 8.25%), 8/22/25 | 4,075 | 4,076,271 | ||||||||
Sotheby’s, Term Loan, 5.544%, (3 mo. USD LIBOR + 4.50%), 1/15/27 | 5,468 | 5,473,420 | ||||||||
$ | 68,390,268 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Diversified Financial Services — 0.5% | ||||||||||
Concorde Midco Ltd, Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 7,480 | $ | 7,854,035 | ||||||
Sandy BidCo B.V., Term Loan, 6/12/28(11) | EUR | 22,608 | 23,738,909 | |||||||
Zephyr Bidco Limited: | ||||||||||
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 7/23/25 | EUR | 5,025 | 5,181,187 | |||||||
Term Loan, 5.473%, (SONIA + 4.75%), 7/23/25 | GBP | 8,725 | 10,683,259 | |||||||
$ | 47,457,390 | |||||||||
Diversified Telecommunication Services — 4.0% | ||||||||||
Altice France S.A.: | ||||||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 4.00%), 8/14/26 | 10,412 | $ | 10,356,785 | |||||||
Term Loan, 4.732%, (3 mo. USD LIBOR + 3.69%), 1/31/26 | 10,640 | 10,550,436 | ||||||||
CenturyLink, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | 65,919 | 63,319,268 | ||||||||
GEE Holdings 2, LLC: | ||||||||||
Term Loan, 9.00%, (3 mo. USD LIBOR + 8.00%, Floor 1.00%), 3/24/25 | 9,869 | 9,634,457 | ||||||||
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), 2.50% cash, 6.75% PIK, 3/23/26 | 7,108 | 5,864,015 | ||||||||
LCPR Loan Financing, LLC, Term Loan, 4.304%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 1,800 | 1,797,750 | ||||||||
Numericable Group S.A.: | ||||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 7/31/25 | EUR | 6,274 | 6,437,662 | |||||||
Term Loan, 3.989%, (3 mo. USD LIBOR + 2.75%), 7/31/25 | 17,204 | 16,918,386 | ||||||||
Telenet Financing USD, LLC, Term Loan, 2.554%, (1 mo. USD LIBOR + 2.00%), 4/30/28 | 38,225 | 37,455,722 | ||||||||
Telenet International Finance S.a.r.l., Term Loan, 2.25%, (6 mo. EURIBOR + 2.25%), 4/30/29 | EUR | 6,565 | 6,695,253 | |||||||
UPC Broadband Holding B.V.: | ||||||||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 5,650 | 5,782,895 | |||||||
Term Loan, 2.804%, (1 mo. USD LIBOR + 2.25%), 4/30/28 | 8,800 | 8,677,170 | ||||||||
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 15,150 | 15,662,846 | |||||||
UPC Financing Partnership, Term Loan, 3.554%, (1 mo. USD LIBOR + 3.00%), 1/31/29 | 33,975 | 33,711,082 | ||||||||
Virgin Media Bristol, LLC: | ||||||||||
Term Loan, 3.054%, (1 mo. USD LIBOR + 2.50%), 1/31/28 | 44,255 | 43,677,609 | ||||||||
Term Loan, 3.804%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 500 | 498,298 | ||||||||
Virgin Media Ireland Limited, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 7/15/29 | EUR | 12,500 | 12,930,209 |
30 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Diversified Telecommunication Services (continued) | ||||||||||
Virgin Media SFA Finance Limited: | ||||||||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 13,800 | $ | 14,108,563 | ||||||
Term Loan, 3.973%, (SONIA + 3.25%), 1/15/27 | GBP | 11,825 | 14,519,297 | |||||||
Zayo Group Holdings, Inc., Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 4,484 | 4,534,762 | |||||||
Ziggo B.V., Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 22,500 | 22,875,937 | |||||||
Ziggo Financing Partnership, Term Loan, 3.054%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 55,075 | 54,099,732 | ||||||||
$ | 400,108,134 | |||||||||
Electrical Equipment — 0.2% | ||||||||||
Brookfield WEC Holdings, Inc., Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 8/1/25 | 4,246 | $ | 4,179,902 | |||||||
GrafTech Finance, Inc., Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 2/12/25 | 5,291 | 5,270,559 | ||||||||
II-VI Incorporated, Term Loan, 1/14/28(11) | 13,825 | 13,786,981 | ||||||||
$ | 23,237,442 | |||||||||
Electronic Equipment, Instruments & Components — 1.4% | ||||||||||
Celestica, Inc., Term Loan, 2.823%, (1 mo. USD LIBOR + 2.13%), 6/27/25 | 4,072 | $ | 4,043,961 | |||||||
Chamberlain Group, Inc., Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 11/3/28 | 20,449 | 20,119,648 | ||||||||
CPI International, Inc., Term Loan, 4.488%, (USD LIBOR + 3.25%, Floor 1.00%), 7/26/24(9) | 14,071 | 13,992,190 | ||||||||
Creation Technologies, Inc., Term Loan, 6.462%, (3 mo. USD LIBOR + 5.50%), 10/5/28 | 12,625 | 12,151,562 | ||||||||
DG Investment Intermediate Holdings 2, Inc., Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 3/31/28 | 5,161 | 5,117,301 | ||||||||
EXC Holdings III Corp.: | ||||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 12/2/24 | EUR | 1,676 | 1,758,862 | |||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 12/2/24 | 4,496 | 4,473,088 | ||||||||
Ingram Micro, Inc., Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 6/30/28 | 6,594 | 6,576,042 | ||||||||
Minimax Viking GmbH, Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), 7/31/25 | EUR | 1,914 | 1,988,951 | |||||||
Mirion Technologies, Inc., Term Loan, 3.25%, (6 mo. USD LIBOR + 2.75%, Floor 0.50%), 10/20/28 | 9,077 | 8,984,853 | ||||||||
Robertshaw US Holding Corp., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 2/28/25 | 20,814 | 18,712,075 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Electronic Equipment, Instruments & Components (continued) | ||||||||||
TTM Technologies, Inc., Term Loan, 2.955%, (1 mo. USD LIBOR + 2.50%), 9/28/24 | 6,035 | $ | 6,041,511 | |||||||
Verifone Systems, Inc., Term Loan, 4.498%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 19,719 | 19,386,225 | ||||||||
Verisure Holding AB: | ||||||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 7/20/26 | EUR | 4,900 | 5,028,394 | |||||||
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 11,550 | 11,819,135 | |||||||
$ | 140,193,798 | |||||||||
Energy Equipment & Services — 0.2% | ||||||||||
Ameriforge Group, Inc.: | ||||||||||
Term Loan, 12.603%, (USD LIBOR + 13.00%, Floor 1.00%), 12/29/23(9)(10) | 2,098 | $ | 1,048,867 | |||||||
Term Loan, 14.00%, (3 mo. USD LIBOR + 13.00%, Floor 1.00%), 9.00% cash, 5.00% PIK, 12/31/23 | 16,539 | 8,269,714 | ||||||||
Lealand Finance Company B.V.: | ||||||||||
Term Loan, 4.457%, (1 mo. USD LIBOR + 4.00%), 1.457% cash, 3.00% PIK, 6/30/25 | 3,281 | 1,722,548 | ||||||||
Letter of Credit, 4.486%, 6/28/24(9) | 10,000 | 8,150,000 | ||||||||
$ | 19,191,129 | |||||||||
Engineering & Construction — 1.5% | ||||||||||
Aegion Corporation, Term Loan, 5.50%, (3 mo. USD LIBOR + 4.75%, Floor 0.75%), 5/17/28 | 17,946 | $ | 17,822,397 | |||||||
Amentum Government Services Holdings, LLC: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 1/29/27 | 10,565 | 10,531,904 | ||||||||
Term Loan, 4.647%, (SOFR + 4.00%), 2/15/29(9) | 11,075 | 11,030,013 | ||||||||
American Residential Services, LLC, Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 10/15/27 | 8,576 | 8,457,750 | ||||||||
APi Group DE, Inc.: | ||||||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 10/1/26 | 15,312 | 15,242,797 | ||||||||
Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 1/3/29 | 13,186 | 13,154,436 | ||||||||
Artera Services, LLC, Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 3/6/25 | 14,441 | 13,574,423 | ||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan, 5.294%, (USD LIBOR + 4.25%, Floor 1.00%), 6/21/24(9) | 22,848 | 21,719,600 | ||||||||
Centuri Group, Inc., Term Loan, 3.008%, (3 mo. USD LIBOR + 2.50%), 8/27/28 | 9,301 | 9,207,037 | ||||||||
Northstar Group Services, Inc., Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), 11/12/26 | 13,491 | 13,483,019 |
31 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Engineering & Construction (continued) | ||||||||||
Osmose Utilities Services, Inc., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 6/23/28 | 5,591 | $ | 5,524,252 | |||||||
Pike Corporation, Term Loan, 3.77%, (1 mo. USD LIBOR + 3.00%), 1/21/28 | 3,955 | 3,941,263 | ||||||||
USIC Holdings, Inc., Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 5/12/28 | 7,903 | 7,836,210 | ||||||||
$ | 151,525,101 | |||||||||
Entertainment — 2.5% | ||||||||||
Alchemy Copyrights, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 3/10/28 | 4,359 | $ | 4,347,866 | |||||||
AMC Entertainment Holdings, Inc., Term Loan, 3.488%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | 21,473 | 19,226,757 | ||||||||
City Football Group Limited, Term Loan, 4.598%, (3 mo. USD LIBOR + 3.50%), 7/21/28 | 15,711 | 15,317,859 | ||||||||
Creative Artists Agency, LLC, Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 11/27/26 | 10,427 | 10,399,706 | ||||||||
Crown Finance US, Inc.: | ||||||||||
Term Loan, 4.00%, (6 mo. USD LIBOR + 2.50%, Floor 1.50%), 2/28/25 | 29,013 | 22,227,050 | ||||||||
Term Loan, 10.076%, (6 mo. USD LIBOR + 8.25%), 2/28/25 | 3,841 | 4,107,978 | ||||||||
Term Loan, 15.25%, (7.00% cash, 8.25% PIK), 5/23/24(12) | 7,605 | 8,813,842 | ||||||||
Delta 2 (LUX) S.a.r.l., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/1/24 | 72,728 | 72,546,427 | ||||||||
Playtika Holding Corp., Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 3/13/28 | 38,818 | 38,464,740 | ||||||||
Renaissance Holding Corp.: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 5/30/25 | 7,021 | 6,968,931 | ||||||||
Term Loan, 5.00%, (SOFR + 4.50%, Floor 0.50%), 3/30/29 | 2,800 | 2,796,500 | ||||||||
Term Loan - Second Lien, 7.764%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 3,175 | 3,157,423 | ||||||||
UFC Holdings, LLC, Term Loan, 3.50%, (6 mo. USD LIBOR + 2.75%, Floor 0.75%), 4/29/26 | 34,044 | 33,603,080 | ||||||||
Vue International Bidco PLC, Term Loan, 4.75%, (6 mo. EURIBOR + 4.75%), 7/3/26 | EUR | 3,433 | 3,002,581 | |||||||
$ | 244,980,740 | |||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||
Iron Mountain, Inc., Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 9,096 | $ | 9,050,520 | |||||||
$ | 9,050,520 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Food & Staples Retailing — 0.0%(4) | ||||||||||
BJ’s Wholesale Club, Inc., Term Loan, 2.525%, (1 mo. USD LIBOR + 2.00%), 2/3/24 | 2,779 | $ | 2,781,469 | |||||||
$ | 2,781,469 | |||||||||
Food Products — 2.1% | ||||||||||
8th Avenue Food & Provisions, Inc., Term Loan, 5.514%, (1 mo. USD LIBOR + 4.75%), 10/1/25 | 7,363 | $ | 6,576,079 | |||||||
Badger Buyer Corp., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 9/30/24 | 9,644 | 9,017,268 | ||||||||
CHG PPC Parent, LLC: | ||||||||||
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), 3/31/25 | EUR | 2,000 | 2,066,384 | |||||||
Term Loan, 3.813%, (1 mo. USD LIBOR + 3.00%), 12/8/28 | 6,325 | 6,230,125 | ||||||||
Del Monte Foods, Inc., Term Loan, 2/15/29(11) | 6,625 | 6,558,750 | ||||||||
Froneri International, Ltd., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 1/29/27 | 21,271 | 20,779,230 | ||||||||
H Food Holdings, LLC: | ||||||||||
Term Loan, 4.451%, (1 mo. USD LIBOR + 3.69%), 5/23/25 | 11,448 | 10,999,951 | ||||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 5/23/25 | 6,168 | 5,946,801 | ||||||||
JBS USA LUX S.A., Term Loan, 2.804%, (6 mo. USD LIBOR + 2.00%), 5/1/26 | 54,459 | 54,336,371 | ||||||||
Monogram Food Solutions, LLC, Term Loan, 4.813%, (1 mo. USD LIBOR + 4.00%), 8/28/28 | 6,633 | 6,567,041 | ||||||||
Nomad Foods Europe Midco Limited, Term Loan, 2.756%, (3 mo. USD LIBOR + 2.25%), 5/15/24 | 18,743 | 18,635,484 | ||||||||
Shearer’s Foods, Inc., Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 9/23/27 | 4,521 | 4,388,103 | ||||||||
Simply Good Foods USA, Inc., Term Loan, 3.792%, (SOFR + 3.25%), 7/7/24 | 2,699 | 2,701,464 | ||||||||
Sovos Brands Intermediate, Inc., Term Loan, 4.25%, (6 mo. USD LIBOR + 3.50%, Floor 0.75%), 6/8/28 | 10,088 | 10,016,993 | ||||||||
Sunshine Investments B.V.: | ||||||||||
Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 3/28/25 | EUR | 10,618 | 11,182,383 | |||||||
Term Loan, 4.089%, (SONIA + 3.50%), 3/28/25 | GBP | 750 | 941,762 | |||||||
United Petfood Group B.V., Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 4/23/28 | EUR | 9,025 | 9,247,199 | |||||||
UTZ Quality Foods, LLC, Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 1/20/28 | 2,274 | 2,257,207 | ||||||||
Valeo F1 Company Limited (Ireland): | ||||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/30/28 | EUR | 9,450 | 9,645,278 | |||||||
Term Loan, 5.691%, (SONIA + 5.00%), 6/28/28 | GBP | 5,500 | 6,630,693 | |||||||
$ | 204,724,566 |
32 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Gas Utilities — 0.3% | ||||||||||
CQP Holdco L.P., Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 6/5/28 | 30,236 | $ | 30,198,159 | |||||||
$ | 30,198,159 | |||||||||
Health Care Equipment & Supplies — 1.3% | ||||||||||
Bayou Intermediate II, LLC, Term Loan, 5.25%, (3 mo. USD LIBOR + 4.50%, Floor 0.75%), 8/2/28 | 10,698 | $ | 10,671,442 | |||||||
CryoLife, Inc., Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 6/1/27 | 6,610 | 6,535,176 | ||||||||
Gloves Buyer, Inc., Term Loan, 4.671%, (1 mo. USD LIBOR + 4.00%), 12/29/27 | 18,542 | 18,309,793 | ||||||||
ICU Medical, Inc., Term Loan, 3.00%, (SOFR + 2.50%, Floor 0.50%), 1/8/29 | 8,100 | 8,088,611 | ||||||||
Journey Personal Care Corp., Term Loan, 5.256%, (3 mo. USD LIBOR + 4.25%), 3/1/28 | 25,271 | 23,817,594 | ||||||||
Medline Borrower, L.P.: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 10/23/28 | 32,100 | 31,592,981 | ||||||||
Term Loan, 10/23/28(11) | EUR | 1,000 | 1,034,291 | |||||||
Ortho-Clinical Diagnostics S.A.: | ||||||||||
Term Loan, 3.452%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | 20,534 | 20,509,766 | ||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 6/30/25 | EUR | 3,684 | 3,867,760 | |||||||
$ | 124,427,414 | |||||||||
Health Care Providers & Services — 6.7% | ||||||||||
ADMI Corp.: | ||||||||||
Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 4/30/25 | 5,339 | $ | 5,265,619 | |||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/23/27 | 1,644 | 1,628,456 | ||||||||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 4.813%, (3 mo. USD LIBOR + 3.75%), 9/7/28 | 17,606 | 17,583,806 | ||||||||
Biogroup-LCD, Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 2/9/28 | EUR | 11,000 | 11,210,389 | |||||||
BW NHHC Holdco, Inc., Term Loan, 5.488%, (3 mo. USD LIBOR + 5.00%), 5/15/25 | 14,770 | 11,175,628 | ||||||||
CAB, Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 2/9/28 | EUR | 7,850 | 8,180,426 | |||||||
Cano Health, LLC, Term Loan, 4.507%, (SOFR + 4.00%), 11/23/27 | 14,542 | 14,369,393 | ||||||||
CCRR Parent, Inc., Term Loan, 4.76%, (3 mo. USD LIBOR + 3.75%), 3/6/28 | 5,316 | 5,340,609 | ||||||||
Cerba Healthcare S.A.S.: | ||||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 14,025 | 14,413,461 | |||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 6,775 | 6,962,652 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Health Care Providers & Services (continued) | ||||||||||
Cerba Healthcare S.A.S.: (continued) | ||||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 2/15/29 | EUR | 8,600 | $ | 9,013,437 | ||||||
CHG Healthcare Services, Inc., Term Loan, 4.998%, (USD LIBOR + 3.50%), 9/29/28(9) | 14,054 | 13,986,731 | ||||||||
Covis Finco S.a.r.l., Term Loan, 6.787%, (SOFR + 6.50%), 2/18/27 | 14,150 | 12,876,500 | ||||||||
Dedalus Finance GmbH, Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 7/17/27 | EUR | 20,150 | 20,911,817 | |||||||
Electron BidCo, Inc., Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 11/1/28 | 19,405 | 19,276,611 | ||||||||
Elsan S.A.S., Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 6/16/28 | EUR | 4,150 | 4,302,522 | |||||||
Ensemble RCM, LLC, Term Loan, 4.989%, (3 mo. USD LIBOR + 3.75%), 8/3/26 | 18,805 | 18,769,518 | ||||||||
Envision Healthcare Corporation, Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 57,677 | 35,567,347 | ||||||||
Hanger, Inc., Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 3/6/25 | 22,918 | 22,867,474 | ||||||||
IVC Acquisition, Ltd.: | ||||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 2/13/26 | EUR | 9,760 | 10,159,888 | |||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 20,825 | 21,745,713 | |||||||
Term Loan, 5.255%, (SONIA + 4.50%), 2/13/26 | GBP | 1,050 | 1,303,407 | |||||||
LSCS Holdings, Inc., Term Loan, 5.264%, (1 mo. USD LIBOR + 4.50%), 12/16/28 | 11,591 | 11,525,751 | ||||||||
MDVIP, Inc., Term Loan, 4.304%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 5,900 | 5,875,415 | ||||||||
Medical Solutions Holdings, Inc.: | ||||||||||
Term Loan, 3.50%, 11/1/28(10) | 3,024 | 3,003,839 | ||||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 11/1/28 | 15,876 | 15,770,155 | ||||||||
Term Loan - Second Lien, 7.50%, (3 mo. USD LIBOR + 7.00%, Floor 0.50%), 11/1/29 | 9,500 | 9,179,375 | ||||||||
Mehilainen Yhtiot Oy, Term Loan, 3.53%, (EURIBOR + 3.53%), 8/11/25(9) | EUR | 7,975 | 8,255,480 | |||||||
Midwest Physician Administrative Services, LLC, Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 3/12/28 | 16,919 | 16,636,722 | ||||||||
National Mentor Holdings, Inc.: | ||||||||||
Term Loan, 4.653%, (USD LIBOR + 3.75%), 3/2/28(9) | 23,326 | 22,470,523 | ||||||||
Term Loan, 4.76%, (3 mo. USD LIBOR + 3.75%), 3/2/28 | 645 | 620,881 | ||||||||
Term Loan - Second Lien, 8.26%, (3 mo. USD LIBOR + 7.25%), 3/2/29 | 6,475 | 6,248,375 | ||||||||
Option Care Health, Inc., Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 8,109 | 8,089,671 |
33 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Health Care Providers & Services (continued) | ||||||||||
Pacific Dental Services, LLC, Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 5/5/28 | 5,186 | $ | 5,153,401 | |||||||
Pearl Intermediate Parent, LLC, Term Loan - Second Lien, 7.014%, (1 mo. USD LIBOR + 6.25%), 2/13/26 | 2,575 | 2,569,636 | ||||||||
Pediatric Associates Holding Company, LLC: | ||||||||||
Term Loan, 2.78%, (3 mo. USD LIBOR + 3.25%), 12/29/28(10) | 1,079 | 1,069,507 | ||||||||
Term Loan, 5.076%, (6 mo. USD LIBOR + 3.25%), 12/29/28 | 7,121 | 7,058,743 | ||||||||
PetVet Care Centers, LLC, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 2/14/25 | 7,918 | 7,878,201 | ||||||||
Phoenix Guarantor, Inc.: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 3/5/26 | 26,448 | 26,056,368 | ||||||||
Term Loan, 4.132%, (1 mo. USD LIBOR + 3.50%), 3/5/26 | 12,486 | 12,301,250 | ||||||||
Radiology Partners, Inc., Term Loan, 4.846%, (1 mo. USD LIBOR + 4.25%), 7/9/25 | 29,695 | 29,240,192 | ||||||||
Radnet Management, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), 4/21/28 | 14,491 | 14,372,765 | ||||||||
Ramsay Generale de Sante S.A., Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 4/22/27 | EUR | 9,900 | 10,401,584 | |||||||
Select Medical Corporation, Term Loan, 3.02%, (1 mo. USD LIBOR + 2.25%), 3/6/25 | 56,458 | 56,105,041 | ||||||||
Signify Health, LLC, Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 6/22/28 | 9,108 | 9,013,134 | ||||||||
Sound Inpatient Physicians, Term Loan, 3.668%, (1 mo. USD LIBOR + 3.00%), 6/27/25 | 2,605 | 2,596,355 | ||||||||
Surgery Center Holdings, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 8/31/26 | 31,908 | 31,659,562 | ||||||||
Synlab Bondco PLC, Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,600 | 2,692,813 | |||||||
Team Health Holdings, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 2/6/24 | 6,116 | 5,747,094 | ||||||||
TTF Holdings, LLC, Term Loan, 5.063%, (1 mo. USD LIBOR + 4.25%), 3/31/28 | 6,074 | 6,028,304 | ||||||||
U.S. Anesthesia Partners, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 4.25%, Floor 0.50%), 10/1/28 | 18,551 | 18,358,388 | ||||||||
WP CityMD Bidco, LLC, Term Loan, 3.75%, (6 mo. USD LIBOR + 3.25%, Floor 0.50%), 12/22/28 | 18,751 | 18,577,818 | ||||||||
$ | 661,467,747 | |||||||||
Health Care Technology — 2.2% | ||||||||||
athenahealth, Inc.: | ||||||||||
Term Loan, 1.75%, 2/15/29(10) | 2,228 | $ | 2,207,650 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Health Care Technology (continued) | ||||||||||
athenahealth, Inc.: (continued) | ||||||||||
Term Loan, 4.009%, (SOFR + 3.50%), 2/15/29 | 13,147 | $ | 13,025,132 | |||||||
Bracket Intermediate Holding Corp., Term Loan, 5.219%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 14,907 | 14,836,674 | ||||||||
Certara L.P., Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 8/15/26 | 9,425 | 9,331,090 | ||||||||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | 25,375 | 25,347,503 | ||||||||
eResearchTechnology, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 2/4/27 | 9,710 | 9,694,866 | ||||||||
GHX Ultimate Parent Corporation, Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 6/28/24 | 9,896 | 9,834,228 | ||||||||
Imprivata, Inc.: | ||||||||||
Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 12/1/27 | 20,946 | 20,873,514 | ||||||||
Term Loan, 4.75%, (SOFR + 4.25%, Floor 0.50%), 12/1/27 | 3,625 | 3,631,043 | ||||||||
MedAssets Software Intermediate Holdings, Inc.: | ||||||||||
Term Loan, 4.50%, (6 mo. USD LIBOR + 4.00%, Floor 0.50%), 12/18/28 | 17,800 | 17,688,750 | ||||||||
Term Loan - Second Lien, 7.25%, (3 mo. USD LIBOR + 6.75%, Floor 0.50%), 12/17/29 | 9,625 | 9,491,453 | ||||||||
Navicure, Inc., Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 10/22/26 | 22,412 | 22,419,476 | ||||||||
PointClickCare Technologies, Inc., Term Loan, 3.75%, (6 mo. USD LIBOR + 3.00%, Floor 0.75%), 12/29/27 | 5,148 | 5,102,955 | ||||||||
Project Ruby Ultimate Parent Corp., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 3/3/28 | 14,589 | 14,456,767 | ||||||||
Symplr Software, Inc., Term Loan, 5.251%, (3 mo. USD LIBOR + 4.50%), 12/22/27 | 9,237 | 9,181,448 | ||||||||
Verscend Holding Corp., Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 28,175 | 28,153,485 | ||||||||
$ | 215,276,034 | |||||||||
Hotels, Restaurants & Leisure — 4.0% | ||||||||||
1011778 B.C. Unlimited Liability Company, Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 11/19/26 | 48,520 | $ | 47,675,806 | |||||||
Carnival Corporation: | ||||||||||
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.00%, Floor 0.75%), 6/30/25 | 4,133 | 4,080,240 | ||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 9,706 | 10,145,141 | |||||||
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.25%, Floor 0.75%), 10/18/28 | 40,598 | 40,040,024 | ||||||||
Churchill Downs Incorporated, Term Loan, 2.77%, (1 mo. USD LIBOR + 2.00%), 12/27/24 | 3,351 | 3,338,683 |
34 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||
ClubCorp Holdings, Inc., Term Loan, 3.756%, (3 mo. USD LIBOR + 2.75%), 9/18/24 | 23,760 | $ | 23,197,291 | |||||||
Fertitta Entertainment, LLC, Term Loan, 4.70%, (SOFR + 4.00%), 1/27/29 | 35,526 | 35,401,244 | ||||||||
Golden Nugget, LLC, Term Loan, 13.00%, (1 mo. USD LIBOR + 12.00%, Floor 1.00%), 10/4/23 | 1,875 | 2,006,250 | ||||||||
GVC Holdings PLC, Term Loan, 2.25%, (6 mo. EURIBOR + 2.25%), 3/29/24 | EUR | 21,325 | 22,121,207 | |||||||
Herschend Entertainment Company, LLC, Term Loan, 4.56%, (1 mo. USD LIBOR + 3.75%), 8/27/28 | 4,577 | 4,554,115 | ||||||||
Hilton Grand Vacations Borrower, LLC, Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 8/2/28 | 10,050 | 10,021,241 | ||||||||
IRB Holding Corp.: | ||||||||||
Term Loan, 3.75%, (SOFR + 3.00%, Floor 0.75%), 12/15/27 | 34,057 | 33,652,636 | ||||||||
Term Loan, 3.756%, (3 mo. USD LIBOR + 2.75%), 2/5/25 | 7,105 | 7,051,062 | ||||||||
NCL Corporation Limited, Term Loan, 1/2/24(11) | 4,500 | 4,404,375 | ||||||||
Oravel Stays Singapore Pte, Ltd., Term Loan, 9.21%, (3 mo. USD LIBOR + 8.25%), 6/23/26 | 6,005 | 6,034,648 | ||||||||
Playa Resorts Holding B.V., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 4/29/24 | 21,608 | 21,301,545 | ||||||||
Raptor Acquisition Corp., Term Loan, 4.934%, (3 mo. USD LIBOR + 4.00%), 11/1/26 | 8,839 | 8,820,472 | ||||||||
Scientific Games Holdings, L.P.: | ||||||||||
Term Loan, 4/4/29(11) | EUR | 1,000 | 1,045,060 | |||||||
Term Loan, 4/14/29(11) | 10,500 | 10,421,250 | ||||||||
Term Loan, 4.175%, (SOFR + 3.50%), 4/4/29 | 10,000 | 9,909,820 | ||||||||
SeaWorld Parks & Entertainment, Inc., Term Loan, 3.813%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 11,094 | 10,950,025 | ||||||||
Stars Group Holdings B.V. (The): | ||||||||||
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 12,305 | 12,765,187 | |||||||
Term Loan, 3.256%, (3 mo. USD LIBOR + 2.25%), 7/21/26 | 31,829 | 31,687,393 | ||||||||
Travel Leaders Group, LLC, Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 1/25/24 | 19,867 | 18,773,959 | ||||||||
Twin River Worldwide Holdings, Inc., Term Loan, 3.75%, (6 mo. USD LIBOR + 3.25%, Floor 0.50%), 10/2/28 | 14,289 | 14,173,974 | ||||||||
$ | 393,572,648 | |||||||||
Household Durables — 0.9% | ||||||||||
CFS Brands, LLC, Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 3/20/25 | 6,600 | $ | 6,401,893 | |||||||
Libbey Glass, Inc., Term Loan, 9.021%, (3 mo. USD LIBOR + 8.00%), 11/13/25 | 10,492 | 10,850,625 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Household Durables (continued) | ||||||||||
Serta Simmons Bedding, LLC: | ||||||||||
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 8/10/23 | 13,950 | $ | 13,897,224 | |||||||
Term Loan - Second Lien, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 8/10/23 | 46,110 | 41,614,109 | ||||||||
Solis IV B.V.: | ||||||||||
Term Loan, 4.00%, (SOFR + 3.50%, Floor 0.50%), 2/26/29 | 10,500 | 10,017,651 | ||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 3,500 | 3,643,096 | |||||||
Spectrum Brands, Inc., Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 3/3/28 | 4,950 | 4,912,875 | ||||||||
$ | 91,337,473 | |||||||||
Household Products — 0.5% | ||||||||||
Diamond (BC) B.V., Term Loan, 3.988%, (USD LIBOR + 2.75%), 9/29/28(9) | 12,896 | $ | 12,486,951 | |||||||
Energizer Holdings, Inc., Term Loan, 2.938%, (1 mo. USD LIBOR + 2.25%), 12/22/27 | 9,067 | 9,001,166 | ||||||||
Kronos Acquisition Holdings, Inc.: | ||||||||||
Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 12/22/26 | 12,471 | 11,644,712 | ||||||||
Term Loan, 7.00%, (SOFR + 6.00%, Floor 1.00%), 12/22/26 | 5,736 | 5,699,777 | ||||||||
Nobel Bidco B.V., Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 12,550 | 12,455,178 | |||||||
$ | 51,287,784 | |||||||||
Independent Power and Renewable Electricity Producers — 0.3% | ||||||||||
Calpine Construction Finance Company L.P., Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 1/15/25 | 12,158 | $ | 12,026,290 | |||||||
Calpine Corporation: | ||||||||||
Term Loan, 2.77%, (1 mo. USD LIBOR + 2.00%), 4/5/26 | 5,329 | 5,265,722 | ||||||||
Term Loan, 3.27%, (1 mo. USD LIBOR + 2.50%), 12/16/27 | 9,721 | 9,638,229 | ||||||||
Longview Power LLC, Term Loan, 11.50%, (3 mo. USD LIBOR + 10.00%, Floor 1.50%), 7/30/25 | 1,411 | 1,432,214 | ||||||||
$ | 28,362,455 | |||||||||
Industrial Conglomerates — 0.4% | ||||||||||
Rain Carbon GmbH, Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 1/16/25 | EUR | 15,875 | $ | 16,108,626 | ||||||
SPX Flow, Inc., Term Loan, 5.30%, (SOFR + 4.60%), 4/5/29 | 21,400 | 20,858,323 | ||||||||
$ | 36,966,949 |
35 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Insurance — 1.8% | ||||||||||
Alliant Holdings Intermediate, LLC: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 5/9/25 | 3,189 | $ | 3,163,892 | |||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 5/9/25 | 5,616 | 5,571,724 | ||||||||
Term Loan, 4.051%, (1 mo. USD LIBOR + 3.50%), 11/6/27 | 14,181 | 14,112,077 | ||||||||
AmWINS Group, Inc., Term Loan, 3.012%, (USD LIBOR + 2.25%), 2/19/28(9) | 36,809 | 36,211,074 | ||||||||
AssuredPartners, Inc.: | ||||||||||
Term Loan, 4.20%, (SOFR + 3.50%), 2/12/27 | 5,375 | 5,302,771 | ||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 17,103 | 16,893,507 | ||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 3,441 | 3,398,294 | ||||||||
Financiere CEP SAS, Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/18/27 | EUR | 5,242 | 5,508,302 | |||||||
Hub International Limited: | ||||||||||
Term Loan, 4.213%, (USD LIBOR + 3.00%), 4/25/25(9) | 18,154 | 17,982,619 | ||||||||
Term Loan, 4.348%, (3 mo. USD LIBOR + 3.25%), 4/25/25 | 7,048 | 7,022,638 | ||||||||
NFP Corp., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 33,098 | 32,560,419 | ||||||||
Ryan Specialty Group, LLC, Term Loan, 3.80%, (1 mo. USD LIBOR + 3.00%), 9/1/27 | 12,687 | 12,678,883 | ||||||||
USI, Inc.: | ||||||||||
Term Loan, 4.006%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 8,785 | 8,717,835 | ||||||||
Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 12/2/26 | 7,258 | 7,202,673 | ||||||||
$ | 176,326,708 | |||||||||
Interactive Media & Services — 0.7% | ||||||||||
Buzz Merger Sub, Ltd.: | ||||||||||
Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 4,824 | $ | 4,774,541 | |||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 1/29/27 | 549 | 547,126 | ||||||||
Camelot U.S. Acquisition 1 Co.: | ||||||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 10/30/26 | 9,134 | 9,057,108 | ||||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 10/30/26 | 12,291 | 12,209,693 | ||||||||
Foundational Education Group, Inc., Term Loan, 5.064%, (SOFR + 4.25%), 8/31/28 | 7,731 | 7,720,962 | ||||||||
Getty Images, Inc.: | ||||||||||
Term Loan, 5.00%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 3,724 | 3,929,104 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Interactive Media & Services (continued) | ||||||||||
Getty Images, Inc.: (continued) | ||||||||||
Term Loan, 5.063%, (3 mo. USD LIBOR + 4.50%), 2/19/26 | 23,457 | $ | 23,403,871 | |||||||
Match Group, Inc., Term Loan, 2.219%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 7,625 | 7,467,734 | ||||||||
$ | 69,110,139 | |||||||||
Internet & Direct Marketing Retail — 0.7% | ||||||||||
Adevinta ASA: | ||||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 6/26/28 | EUR | 9,950 | $ | 10,367,425 | ||||||
Term Loan, 3.756%, (3 mo. USD LIBOR + 2.75%), 6/26/28 | 6,426 | 6,368,201 | ||||||||
CNT Holdings I Corp., Term Loan, 4.25%, (6 mo. USD LIBOR + 3.50%, Floor 0.75%), 11/8/27 | 14,783 | 14,645,937 | ||||||||
Etraveli Holding AB, Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), 8/2/24 | EUR | 9,600 | 10,113,283 | |||||||
Hoya Midco, LLC, Term Loan, 3.75%, (SOFR + 3.25%, Floor 0.50%), 2/3/29 | 7,431 | 7,356,973 | ||||||||
PUG, LLC, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 15,959 | 15,600,102 | ||||||||
Speedster Bidco GmbH, Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 3/31/27 | EUR | 2,550 | 2,583,191 | |||||||
$ | 67,035,112 | |||||||||
IT Services — 4.2% | ||||||||||
Asurion, LLC: | ||||||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 11/3/24 | 2,406 | $ | 2,387,000 | |||||||
Term Loan, 3.889%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | 25,468 | 25,399,413 | ||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 5,491 | 5,375,540 | ||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 7/31/27 | 11,633 | 11,385,309 | ||||||||
Term Loan - Second Lien, 6.014%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 14,360 | 13,980,063 | ||||||||
Cyxtera DC Holdings, Inc.: | ||||||||||
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), 5/1/24 | 33,058 | 32,672,356 | ||||||||
Term Loan, 5.00%, (6 mo. USD LIBOR + 4.00%, Floor 1.00%), 5/1/24 | 13,418 | 13,342,198 | ||||||||
Endure Digital, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 2/10/28 | 31,735 | 30,439,345 | ||||||||
EP Purchaser, LLC, Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 11/6/28 | 5,550 | 5,543,556 | ||||||||
Gainwell Acquisition Corp., Term Loan, 5.006%, (3 mo. USD LIBOR + 4.00%), 10/1/27 | 72,818 | 72,757,658 |
36 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
IT Services (continued) | ||||||||||
Go Daddy Operating Company, LLC: | ||||||||||
Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 2/15/24 | 53,240 | $ | 52,920,535 | |||||||
Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 8/10/27 | 9,948 | 9,862,321 | ||||||||
Indy US Bidco, LLC: | ||||||||||
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 3/6/28 | EUR | 6,525 | 6,841,739 | |||||||
Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 3/5/28 | 7,331 | 7,305,441 | ||||||||
Informatica, LLC, Term Loan, 3.563%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 34,850 | 34,428,907 | ||||||||
Intrado Corporation, Term Loan, 5.00%, (USD LIBOR + 4.00%, Floor 1.00%), 10/10/24(9) | 4,395 | 4,123,774 | ||||||||
NAB Holdings, LLC, Term Loan, 3.801%, (SOFR + 3.00%), 11/23/28 | 18,554 | 18,364,106 | ||||||||
Rackspace Technology Global, Inc., Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), 2/15/28 | 13,693 | 13,393,070 | ||||||||
Skopima Merger Sub, Inc., Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 5/12/28 | 17,189 | 16,982,362 | ||||||||
Syniverse Holdings, Inc., Term Loan, 6.038%, (3 mo. USD LIBOR + 5.00%), 3/9/23 | 18,493 | 18,334,607 | ||||||||
team.blue Finco S.a.r.l.: | ||||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 3/27/28 | EUR | 669 | 696,150 | |||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 3/30/28 | EUR | 11,706 | 12,182,617 | |||||||
West Corporation, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 10/10/24 | 4,330 | 4,024,514 | ||||||||
WEX, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 3/31/28 | 4,406 | 4,372,186 | ||||||||
$ | 417,114,767 | |||||||||
Leisure Products — 0.5% | ||||||||||
Amer Sports Oyj, Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), 3/30/26 | EUR | 20,475 | $ | 21,478,606 | ||||||
Aristocrat Technologies, Inc., Term Loan, 2.813%, (3 mo. USD LIBOR + 1.75%), 10/19/24 | 10,829 | 10,822,262 | ||||||||
Fender Musical Instruments Corporation, Term Loan, 4.50%, (SOFR + 4.00%, Floor 0.50%), 12/1/28 | 4,330 | 4,307,961 | ||||||||
Hayward Industries, Inc., Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 5/30/28 | 12,469 | 12,356,779 | ||||||||
SRAM, LLC, Term Loan, 3.297%, (USD LIBOR + 2.75%, Floor 0.50%), 5/18/28(9) | 2,727 | 2,706,818 | ||||||||
$ | 51,672,426 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Life Sciences Tools & Services — 2.5% | ||||||||||
Avantor Funding, Inc.: | ||||||||||
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), 6/12/28 | EUR | 21,637 | $ | 22,646,092 | ||||||
Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 11/21/24 | 1,912 | 1,908,619 | ||||||||
Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 11/8/27 | 28,224 | 28,075,343 | ||||||||
Cambrex Corporation, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/4/26 | 6,087 | 6,067,587 | ||||||||
Catalent Pharma Solutions, Inc., Term Loan, 2.688%, (1 mo. USD LIBOR + 2.00%), 2/22/28 | 10,088 | 10,063,072 | ||||||||
Curia Global, Inc., Term Loan, 4.988%, (USD LIBOR + 3.75%), 8/30/26(9) | 28,350 | 28,222,475 | ||||||||
ICON Luxembourg S.a.r.l.: | ||||||||||
Term Loan, 3.313%, (3 mo. USD LIBOR + 2.25%), 7/3/28 | 67,228 | 66,829,215 | ||||||||
Term Loan, 3.313%, (3 mo. USD LIBOR + 2.25%), 7/3/28 | 16,750 | 16,666,535 | ||||||||
IQVIA, Inc., Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 1/17/25 | 13,620 | 13,570,518 | ||||||||
LGC Group Holdings, Ltd., Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), 4/21/27 | EUR | 4,025 | 4,117,728 | |||||||
Loire Finco Luxembourg S.a.r.l., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 4/21/27 | 3,537 | 3,484,408 | ||||||||
Packaging Coordinators Midco, Inc., Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 11/30/27 | 8,503 | 8,448,201 | ||||||||
Parexel International Corporation, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 11/15/28 | 30,932 | 30,760,520 | ||||||||
Sotera Health Holdings, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 12/11/26 | 11,625 | 11,537,813 | ||||||||
$ | 252,398,126 | |||||||||
Machinery — 4.8% | ||||||||||
AI Alpine AT Bidco GmbH, Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | $ | 6,308,108 | ||||||
AI Aqua Merger Sub, Inc., Term Loan, 7/31/28(11) | 14,808 | 14,629,269 | ||||||||
Albion Financing 3 S.a.r.l., Term Loan, 6.434%, (3 mo. USD LIBOR + 5.25%), 8/17/26 | 20,299 | 20,077,093 | ||||||||
Ali Group S.R.L., Term Loan, 10/13/28(11) | 20,350 | 19,990,700 | ||||||||
Alliance Laundry Systems, LLC, Term Loan, 4.518%, (USD LIBOR + 3.50%), 10/8/27(9) | 14,659 | 14,599,951 | ||||||||
American Trailer World Corp., Term Loan, 4.30%, (SOFR + 3.50%), 3/3/28 | 35,894 | 33,561,068 | ||||||||
Apex Tool Group, LLC, Term Loan, 5.75%, (SOFR + 5.25%, Floor 0.50%), 2/8/29 | 26,320 | 25,333,452 | ||||||||
Clark Equipment Company, Term Loan, 4/20/29(11) | 14,300 | 14,280,852 | ||||||||
Conair Holdings, LLC, Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 26,442 | 25,923,198 |
37 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Machinery (continued) | ||||||||||
CPM Holdings, Inc., Term Loan, 3.955%, (1 mo. USD LIBOR + 3.50%), 11/17/25 | 14,184 | $ | 14,059,510 | |||||||
Delachaux Group S.A., Term Loan, 5.738%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 5,517 | 5,406,170 | ||||||||
DiversiTech Holdings, Inc.: | ||||||||||
Term Loan, 3.75%, 12/22/28(10) | 2,627 | 2,586,640 | ||||||||
Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 12/22/28 | 12,698 | 12,502,094 | ||||||||
Engineered Machinery Holdings, Inc.: | ||||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 12,064 | 12,329,587 | |||||||
Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 5/19/28 | 22,928 | 22,866,117 | ||||||||
Term Loan - Second Lien, 7.006%, (3 mo. USD LIBOR + 6.00%), 5/21/29 | 2,000 | 2,000,000 | ||||||||
EWT Holdings III Corp., Term Loan, 3.313%, (1 mo. USD LIBOR + 2.50%), 4/1/28 | 9,454 | 9,427,962 | ||||||||
Filtration Group Corporation: | ||||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 3,579 | 3,729,716 | |||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 3/29/25 | 22,770 | 22,505,457 | ||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 10/21/28 | 3,267 | 3,233,393 | ||||||||
Gates Global, LLC: | ||||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 4/1/24 | EUR | 6,954 | 7,255,635 | |||||||
Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 3/31/27 | 25,683 | 25,260,904 | ||||||||
Granite Holdings US Acquisition Co., Term Loan, 5.006%, (USD LIBOR + 4.00%), 9/30/26(9) | 20,982 | 20,837,302 | ||||||||
Illuminate Buyer, LLC, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 6/30/27 | 13,722 | 13,265,355 | ||||||||
Madison IAQ, LLC, Term Loan, 4.524%, (6 mo. USD LIBOR + 3.25%), 6/21/28 | 49,730 | 48,499,452 | ||||||||
Penn Engineering & Manufacturing Corp., Term Loan, 3.506%, (3 mo. USD LIBOR + 2.50%), 6/27/24 | 1,671 | 1,661,194 | ||||||||
Terex Corporation, Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 1/31/24 | 1,771 | 1,770,686 | ||||||||
Titan Acquisition Limited, Term Loan, 4.006%, (3 mo. USD LIBOR + 3.00%), 3/28/25 | 28,846 | 28,276,452 | ||||||||
TK Elevator Topco GmbH, Term Loan, 3.63%, (1 mo. EURIBOR + 3.63%), 7/29/27 | EUR | 12,100 | 12,472,365 | |||||||
Vertical US Newco, Inc., Term Loan, 4.019%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 12,776 | 12,659,158 | ||||||||
Welbilt, Inc., Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 10/23/25 | 1,000 | 997,083 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Machinery (continued) | ||||||||||
Zephyr German BidCo GmbH, Term Loan, 3.40%, (3 mo. EURIBOR + 3.40%), 3/10/28 | EUR | 13,675 | $ | 14,155,949 | ||||||
Zurn Holdings, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 10/4/28 | 4,389 | 4,381,684 | ||||||||
$ | 476,843,556 | |||||||||
Media — 3.0% | ||||||||||
Axel Springer SE, Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), 12/18/26 | EUR | 9,800 | $ | 10,349,285 | ||||||
Charter Communications Operating, LLC, Term Loan, 2.52%, (1 mo. USD LIBOR + 1.75%), 2/1/27 | 11,995 | 11,864,952 | ||||||||
CMG Media Corporation, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/17/26 | 23,450 | 23,140,194 | ||||||||
CSC Holdings, LLC: | ||||||||||
Term Loan, 2.804%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 43,860 | 43,191,008 | ||||||||
Term Loan, 2.804%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 5,677 | 5,586,978 | ||||||||
Cumulus Media New Holdings, Inc., Term Loan, 4.75%, (6 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/31/26 | 2,978 | 2,969,866 | ||||||||
Diamond Sports Group, LLC: | ||||||||||
Term Loan, 9.00%, (SOFR + 8.00%, Floor 1.00%), 5/26/26 | 5,958 | 6,094,772 | ||||||||
Term Loan - Second Lien, 3.656%, (SOFR + 3.25%), 8/24/26 | 28,657 | 9,564,303 | ||||||||
Entercom Media Corp., Term Loan, 3.249%, (1 mo. USD LIBOR + 2.50%), 11/18/24 | 3,993 | 3,913,802 | ||||||||
Entravision Communications Corporation, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 11/29/24 | 8,055 | 7,931,293 | ||||||||
Gray Television, Inc.: | ||||||||||
Term Loan, 2.955%, (1 mo. USD LIBOR + 2.50%), 1/2/26 | 3,553 | 3,532,464 | ||||||||
Term Loan, 3.455%, (1 mo. USD LIBOR + 3.00%), 12/1/28 | 12,868 | 12,797,157 | ||||||||
Hubbard Radio, LLC, Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%, Floor 1.00%), 3/28/25 | 9,065 | 9,036,322 | ||||||||
iHeartCommunications, Inc.: | ||||||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 1,127 | 1,118,934 | ||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 5/1/26 | 3,165 | 3,153,641 | ||||||||
Magnite, Inc., Term Loan, 5.765%, (USD LIBOR + 5.00%), 4/28/28(9) | 6,600 | 6,550,624 | ||||||||
Mission Broadcasting, Inc., Term Loan, 2.955%, (1 mo. USD LIBOR + 2.50%), 6/2/28 | 4,069 | 4,041,274 | ||||||||
MJH Healthcare Holdings, LLC, Term Loan, 4.122%, (SOFR + 3.60%), 1/28/29 | 4,000 | 3,960,000 |
38 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Media (continued) | ||||||||||
Nexstar Broadcasting, Inc.: | ||||||||||
Term Loan, 2.955%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 1,977 | $ | 1,963,715 | |||||||
Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 1/17/24 | 10,840 | 10,818,108 | ||||||||
Recorded Books, Inc., Term Loan, 4.551%, (1 mo. USD LIBOR + 4.00%), 8/29/25 | 18,258 | 18,219,310 | ||||||||
Sinclair Television Group, Inc.: | ||||||||||
Term Loan, 3.27%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 7,361 | 7,117,409 | ||||||||
Term Loan, 3.77%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 25,573 | 24,688,439 | ||||||||
Univision Communications, Inc.: | ||||||||||
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 3/15/24 | 39,966 | 39,840,753 | ||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 23,564 | 23,390,428 | ||||||||
$ | 294,835,031 | |||||||||
Metals/Mining — 0.6% | ||||||||||
American Consolidated Natural Resources, Inc., Term Loan, 17.00%, (3 mo. USD LIBOR + 16.00%, Floor 1.00%), 14.00% cash, 3.00% PIK, 9/16/25 | 2,534 | $ | 2,619,789 | |||||||
Dynacast International, LLC: | ||||||||||
Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), 7/22/25 | 16,618 | 16,202,975 | ||||||||
Term Loan, 10.00%, (3 mo. USD LIBOR + 9.00%, Floor 1.00%), 10/22/25 | 2,971 | 2,956,002 | ||||||||
WireCo WorldGroup, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.25%, Floor 0.50%), 11/13/28 | 9,788 | 9,699,823 | ||||||||
Zekelman Industries, Inc., Term Loan, 2.632%, (1 mo. USD LIBOR + 2.00%), 1/24/27 | 27,126 | 26,696,360 | ||||||||
$ | 58,174,949 | |||||||||
Oil, Gas & Consumable Fuels — 1.8% | ||||||||||
Buckeye Partners L.P., Term Loan, 2.707%, (1 mo. USD LIBOR + 2.25%), 11/1/26 | 11,218 | $ | 11,162,297 | |||||||
Centurion Pipeline Company, LLC: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 9/29/25 | 3,362 | 3,327,917 | ||||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 9/28/25 | 2,000 | 1,978,441 | ||||||||
CITGO Holding, Inc., Term Loan, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), 8/1/23 | 2,925 | 2,905,806 | ||||||||
CITGO Petroleum Corporation, Term Loan, 7.25%, (1 mo. USD LIBOR + 6.25%, Floor 1.00%), 3/28/24 | 28,367 | 28,375,943 | ||||||||
Delek US Holdings, Inc.: | ||||||||||
Term Loan, 2.999%, (1 mo. USD LIBOR + 2.25%), 3/31/25 | 4,089 | 4,020,845 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
Delek US Holdings, Inc.: (continued) | ||||||||||
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), 3/31/25 | 5,145 | $ | 5,123,561 | |||||||
Freeport LNG Investments, LLLP, Term Loan, 4.563%, (3 mo. USD LIBOR + 3.50%), 12/21/28 | 18,802 | 18,715,172 | ||||||||
GIP II Blue Holding, L.P, Term Loan, 5.506%, (3 mo. USD LIBOR + 4.50%), 9/29/28 | 21,489 | 21,464,769 | ||||||||
ITT Holdings, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 7/10/28 | 7,313 | 7,242,399 | ||||||||
Matador Bidco S.a.r.l., Term Loan, 5.514%, (1 mo. USD LIBOR + 4.75%), 10/15/26 | 34,028 | 34,040,914 | ||||||||
Oryx Midstream Services Permian Basin, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 10/5/28 | 10,673 | 10,638,231 | ||||||||
Oxbow Carbon, LLC, Term Loan, 5.014%, (1 mo. USD LIBOR + 4.25%), 10/17/25 | 6,531 | 6,508,417 | ||||||||
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 9.00%, (3 mo. USD LIBOR + 8.00%, Floor 1.00%), 8/27/26 | 7,607 | 7,650,155 | ||||||||
RDV Resources Properties, LLC, Term Loan, 11.00%, (USD Prime + 7.50%), 3/29/24 | 1,000 | 989,760 | ||||||||
UGI Energy Services, LLC, Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 8/13/26 | 11,816 | 11,812,188 | ||||||||
$ | 175,956,815 | |||||||||
Paper & Forest Products — 0.0%(4) | ||||||||||
Clearwater Paper Corporation, Term Loan, 3.625%, (3 mo. USD LIBOR + 3.00%), 7/26/26 | 407 | $ | 405,462 | |||||||
Neenah, Inc., Term Loan, 3.813%, (1 mo. USD LIBOR + 3.00%), 4/6/28 | 3,945 | 3,936,970 | ||||||||
$ | 4,342,432 | |||||||||
Personal Products — 0.6% | ||||||||||
HLF Financing S.a.r.l., Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 8/18/25 | 23,586 | $ | 23,291,079 | |||||||
Rainbow Finco S.a r.l., Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), 1/28/29 | EUR | 14,875 | 15,404,697 | |||||||
Sunshine Luxembourg VII S.a.r.l., Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 10/1/26 | 18,707 | 18,579,824 | ||||||||
$ | 57,275,600 | |||||||||
Pharmaceuticals — 2.7% | ||||||||||
Aenova Holding GmbH, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 4,075 | $ | 4,269,905 | ||||||
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), 9/29/25 | EUR | 12,550 | 13,017,862 |
39 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Pharmaceuticals (continued) | ||||||||||
Akorn, Inc., Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), 10/1/25 | 6,789 | $ | 6,814,792 | |||||||
Amneal Pharmaceuticals, LLC, Term Loan, 4.313%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 27,515 | 27,239,838 | ||||||||
Bausch Health Companies, Inc.: | ||||||||||
Term Loan, 2/1/27(11) | 18,500 | 17,956,563 | ||||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 6/2/25 | 50,848 | 50,689,482 | ||||||||
Elanco Animal Health Incorporated, Term Loan, 2.205%, (1 mo. USD LIBOR + 1.75%), 8/1/27 | 6,219 | 6,106,605 | ||||||||
Horizon Therapeutics USA, Inc.: | ||||||||||
Term Loan, 2.438%, (1 mo. USD LIBOR + 1.75%), 3/15/28 | 18,662 | 18,443,776 | ||||||||
Term Loan, 2.688%, (1 mo. USD LIBOR + 2.00%), 5/22/26 | 13,469 | 13,333,861 | ||||||||
Jazz Financing Lux S.a.r.l., Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 16,873 | 16,865,464 | ||||||||
Mallinckrodt International Finance S.A.: | ||||||||||
Term Loan, 6.246%, (3 mo. USD LIBOR + 5.25%), 9/24/24 | 51,690 | 48,304,394 | ||||||||
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.50%, Floor 0.75%), 2/24/25 | 13,985 | 13,030,808 | ||||||||
Nidda Healthcare Holding AG: | ||||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 8/21/26 | EUR | 6,425 | 6,379,845 | |||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 8/21/26 | EUR | 3,625 | 3,603,508 | |||||||
Padagis, LLC, Term Loan, 5.719%, (3 mo. USD LIBOR + 4.75%), 7/6/28 | 6,778 | 6,777,941 | ||||||||
PharmaZell GmbH, Term Loan, 5/12/27(11) | EUR | 1,950 | 2,028,867 | |||||||
Recipharm AB, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/17/28 | EUR | 15,275 | 15,671,220 | |||||||
$ | 270,534,731 | |||||||||
Professional Services — 2.2% | ||||||||||
AlixPartners, LLP: | ||||||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 4,158 | $ | 4,318,629 | ||||||
Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 2/4/28 | 13,241 | 13,121,708 | ||||||||
APFS Staffing Holdings, Inc., Term Loan, 4.50%, (SOFR + 4.00%, Floor 0.50%), 12/29/28 | 4,000 | 3,989,168 | ||||||||
Blitz 20-487 GmbH, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 4/28/28 | EUR | 10,525 | 10,902,103 | |||||||
Brown Group Holding, LLC, Term Loan, 3.506%, (3 mo. USD LIBOR + 2.50%), 6/7/28 | 13,924 | 13,744,881 | ||||||||
CoreLogic, Inc., Term Loan, 4.313%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 58,829 | 55,446,686 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Professional Services (continued) | ||||||||||
Deerfield Dakota Holding, LLC, Term Loan, 4.75%, (SOFR + 3.75%, Floor 1.00%), 4/9/27 | 20,447 | $ | 20,421,643 | |||||||
EAB Global, Inc., Term Loan, 4.738%, (USD LIBOR + 3.50%), 8/16/28(9) | 15,935 | 15,777,369 | ||||||||
Employbridge, LLC, Term Loan, 5.756%, (3 mo. USD LIBOR + 4.75%), 7/14/28 | 23,159 | 22,901,703 | ||||||||
First Advantage Holdings, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 3,606 | 3,591,633 | ||||||||
Nielsen Finance, LLC, Term Loan, 2.488%, (1 mo. USD LIBOR + 2.00%), 10/4/23 | 9,073 | 9,072,725 | ||||||||
Rockwood Service Corporation, Term Loan, 5.014%, (1 mo. USD LIBOR + 4.25%), 1/23/27 | 6,339 | 6,332,381 | ||||||||
Trans Union, LLC, Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 12/1/28 | 34,953 | 34,626,921 | ||||||||
Vaco Holdings, LLC, Term Loan, 5.801%, (SOFR + 5.00%), 1/21/29 | 3,990 | 3,992,494 | ||||||||
$ | 218,240,044 | |||||||||
Real Estate Management & Development — 0.5% | ||||||||||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 37,108 | $ | 36,775,183 | |||||||
RE/MAX International, Inc., Term Loan, 3.313%, (1 mo. USD LIBOR + 2.50%), 7/21/28 | 18,163 | 17,822,198 | ||||||||
$ | 54,597,381 | |||||||||
Road & Rail — 1.8% | ||||||||||
Avis Budget Car Rental, LLC, Term Loan, 2.52%, (1 mo. USD LIBOR + 1.75%), 8/6/27 | 2,462 | $ | 2,412,588 | |||||||
Grab Holdings, Inc., Term Loan, 5.50%, (6 mo. USD LIBOR + 4.50%, Floor 1.00%), 1/29/26 | 50,369 | 49,277,307 | ||||||||
Hertz Corporation (The): | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 14,635 | 14,594,205 | ||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 2,779 | 2,771,231 | ||||||||
Kenan Advantage Group, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 3/24/26 | 24,719 | 24,530,204 | ||||||||
PODS, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.00%, Floor 0.75%), 3/31/28 | 14,459 | 14,322,712 | ||||||||
Uber Technologies, Inc.: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 4/4/25 | 54,776 | 54,669,217 | ||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 2/25/27 | 14,359 | 14,321,536 | ||||||||
XPO Logistics, Inc., Term Loan, 2.202%, (1 mo. USD LIBOR + 1.75%), 2/24/25 | 2,789 | 2,769,643 | ||||||||
$ | 179,668,643 |
40 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Semiconductors & Semiconductor Equipment — 1.4% | ||||||||||
Altar Bidco, Inc.: | ||||||||||
Term Loan, 3.85%, (SOFR + 3.35%), 2/1/29 | 26,100 | $ | 25,773,750 | |||||||
Term Loan - Second Lien, 6.10%, (3 mo. USD LIBOR + 5.60%, Floor 0.50%), 2/1/30 | 7,300 | 7,220,919 | ||||||||
Bright Bidco B.V., Term Loan, 4.774%, (6 mo. USD LIBOR + 3.50%), 6/30/24 | 19,865 | 9,386,151 | ||||||||
Entegris, Inc., Term Loan, 3/2/29(11) | 2,500 | 2,503,125 | ||||||||
MACOM Technology Solutions Holdings, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 5/17/24 | 1,630 | 1,624,947 | ||||||||
MaxLinear, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 6/23/28 | 7,540 | 7,492,875 | ||||||||
MKS Instruments, Inc.: | ||||||||||
Term Loan, 4/8/29(11) | 53,430 | 53,329,819 | ||||||||
Term Loan, 4/11/29(11) | EUR | 6,075 | 6,400,812 | |||||||
Synaptics Incorporated, Term Loan, 2.75%, (3 mo. USD LIBOR + 2.25%, Floor 0.50%), 12/2/28 | 5,199 | 5,182,628 | ||||||||
Ultra Clean Holdings, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 19,072 | 19,047,670 | ||||||||
$ | 137,962,696 | |||||||||
Software — 18.6% | ||||||||||
Applied Systems, Inc.: | ||||||||||
Term Loan, 4.006%, (3 mo. USD LIBOR + 3.00%), 9/19/24 | 58,822 | $ | 58,741,839 | |||||||
Term Loan - Second Lien, 6.506%, (3 mo. USD LIBOR + 5.50%), 9/19/25 | 3,903 | 3,908,664 | ||||||||
AppLovin Corporation: | ||||||||||
Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 10/25/28 | 19,451 | 19,349,948 | ||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 8/15/25 | 51,921 | 51,766,776 | ||||||||
Aptean, Inc.: | ||||||||||
Term Loan, 5.014%, (1 mo. USD LIBOR + 4.25%), 4/23/26 | 30,573 | 30,410,334 | ||||||||
Term Loan - Second Lien, 7.75%, (1 mo. USD LIBOR + 7.00%), 4/23/27 | 6,500 | 6,459,375 | ||||||||
AQA Acquisition Holding, Inc., Term Loan, 5.256%, (3 mo. USD LIBOR + 4.25%), 3/3/28 | 6,323 | 6,307,255 | ||||||||
Astra Acquisition Corp.: | ||||||||||
Term Loan, 6.014%, (1 mo. USD LIBOR + 5.25%), 10/25/28 | 23,890 | 23,203,284 | ||||||||
Term Loan - Second Lien, 9.639%, (1 mo. USD LIBOR + 8.88%), 10/22/29 | 22,000 | 21,651,674 | ||||||||
Avaya, Inc.: | ||||||||||
4.804%, (1 mo. USD LIBOR + 4.25%), 12/15/27 | 2,000 | 1,972,000 | ||||||||
Term Loan, 4.554%, (1 mo. USD LIBOR + 4.00%), 12/15/27 | 2,331 | 2,299,072 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Software (continued) | ||||||||||
Banff Merger Sub, Inc.: | ||||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 5,973 | $ | 6,250,819 | ||||||
Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 47,111 | 46,587,129 | ||||||||
Term Loan - Second Lien, 6.264%, (1 mo. USD LIBOR + 5.50%), 2/27/26 | 15,700 | 15,535,150 | ||||||||
Barracuda Networks, Inc.: | ||||||||||
Term Loan, 4.733%, (3 mo. USD LIBOR + 3.75%), 2/12/25 | 26,410 | 26,401,533 | ||||||||
Term Loan - Second Lien, 7.989%, (3 mo. USD LIBOR + 6.75%), 10/30/28 | 11,702 | 11,760,066 | ||||||||
Cast and Crew Payroll, LLC: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 2/9/26 | 9,513 | 9,482,248 | ||||||||
Term Loan, 4.45%, (SOFR + 3.75%), 12/29/28 | 6,534 | 6,509,124 | ||||||||
CentralSquare Technologies, LLC, Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 21,022 | 19,734,402 | ||||||||
Ceridian HCM Holding, Inc., Term Loan, 3.264%, (1 mo. USD LIBOR + 2.50%), 4/30/25 | 22,917 | 22,668,904 | ||||||||
Cloudera, Inc.: | ||||||||||
Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 10/8/28 | 34,450 | 33,976,312 | ||||||||
Term Loan - Second Lien, 6.764%, (1 mo. USD LIBOR + 6.00%), 10/8/29 | 9,450 | 9,213,750 | ||||||||
ConnectWise, LLC, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 9/29/28 | 18,312 | 18,202,519 | ||||||||
Constant Contact, Inc., Term Loan, 5.011%, (3 mo. USD LIBOR + 4.00%), 2/10/28 | 18,068 | 17,802,177 | ||||||||
Cornerstone OnDemand, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 17,250 | 17,045,156 | ||||||||
Cvent, Inc., Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 11/29/24 | 9,337 | 9,328,399 | ||||||||
Delta TopCo, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 12/1/27 | 16,763 | 16,567,256 | ||||||||
E2open, LLC, Term Loan, 4.00%, (3 mo. USD LIBOR + 3.50%, Floor 0.50%), 2/4/28 | 20,371 | 20,307,351 | ||||||||
ECI Macola Max Holding, LLC, Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 11/9/27 | 29,726 | 29,651,650 | ||||||||
Epicor Software Corporation: | ||||||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 78,348 | 77,982,235 | ||||||||
Term Loan - Second Lien, 8.75%, (1 mo. USD LIBOR + 7.75%, Floor 1.00%), 7/31/28 | 7,650 | 7,810,176 | ||||||||
Finastra USA, Inc.: | ||||||||||
Term Loan, 4.739%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 71,469 | 69,564,030 | ||||||||
Term Loan - Second Lien, 8.489%, (3 mo. USD LIBOR + 7.25%), 6/13/25 | 29,000 | 28,031,603 |
41 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Software (continued) | ||||||||||
Fiserv Investment Solutions, Inc., Term Loan, 4.488%, (3 mo. USD LIBOR + 4.00%), 2/18/27 | 6,542 | $ | 6,513,755 | |||||||
GoTo Group, Inc., Term Loan, 5.304%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 28,786 | 27,877,929 | ||||||||
Greeneden U.S. Holdings II, LLC, Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 12/1/27 | 25,038 | 24,983,246 | ||||||||
Hyland Software, Inc.: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 58,044 | 57,916,745 | ||||||||
Term Loan - Second Lien, 7.014%, (1 mo. USD LIBOR + 6.25%), 7/7/25 | 7,940 | 7,936,158 | ||||||||
IGT Holding IV AB: | ||||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 3/31/28 | EUR | 6,205 | 6,390,060 | |||||||
Term Loan, 4.506%, (3 mo. USD LIBOR + 3.50%), 3/31/28 | 6,138 | 6,091,965 | ||||||||
Imperva, Inc., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), 1/12/26 | 4,976 | 4,933,454 | ||||||||
Ivanti Software, Inc.: | ||||||||||
Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/1/27 | 6,311 | 6,186,994 | ||||||||
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 12/1/27 | 25,155 | 24,654,855 | ||||||||
Term Loan - Second Lien, 7.773%, (3 mo. USD LIBOR + 7.25%), 12/1/28 | 9,000 | 8,872,497 | ||||||||
MA FinanceCo., LLC: | ||||||||||
Term Loan, 4.50%, (EURIBOR + 4.50%), 6/5/25(9) | EUR | 5,840 | 6,137,930 | |||||||
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 6/5/25 | 14,600 | 14,543,265 | ||||||||
Magenta Buyer, LLC: | ||||||||||
Term Loan, 6.23%, (3 mo. USD LIBOR + 5.00%), 7/27/28 | 56,782 | 56,214,027 | ||||||||
Term Loan - Second Lien, 9.48%, (3 mo. USD LIBOR + 8.25%), 7/27/29 | 17,275 | 17,145,437 | ||||||||
Marcel LUX IV S.a.r.l.: | ||||||||||
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 9,150 | 9,596,490 | |||||||
Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 11,885 | 11,851,563 | ||||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 12/31/27 | 910 | 906,562 | ||||||||
Mavenir Systems, Inc., Term Loan, 5.25%, (3 mo. USD LIBOR + 4.75%, Floor 0.50%), 8/18/28 | 5,711 | 5,682,134 | ||||||||
Maverick Bidco, Inc.: | ||||||||||
Term Loan, 4.989%, (3 mo. USD LIBOR + 3.75%), 5/18/28 | 12,095 | 11,989,649 | ||||||||
Term Loan - Second Lien, 7.989%, (3 mo. USD LIBOR + 6.75%), 5/18/29 | 3,325 | 3,291,750 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||
Software (continued) | ||||||||||
McAfee, LLC: | ||||||||||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), 3/1/29 | EUR | 17,350 | $ | 18,148,943 | ||||||
Term Loan, 4.50%, (SOFR + 4.00%, Floor 0.50%), 3/1/29 | 40,450 | 39,782,575 | ||||||||
Mediaocean, LLC, Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/15/28 | 8,625 | 8,563,004 | ||||||||
MH Sub I, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 9/13/24 | 5,298 | 5,276,332 | ||||||||
Mitnick Corporate Purchaser, Inc., Term Loan, 5/2/29(11) | 9,150 | 9,143,138 | ||||||||
N-Able International Holdings II, LLC, Term Loan, 3.508%, (3 mo. USD LIBOR + 3.00%), 7/19/28 | 4,428 | 4,394,542 | ||||||||
NortonLifeLock, Inc., Term Loan, 1/28/29(11) | 12,150 | 11,981,042 | ||||||||
Panther Commercial Holdings L.P., Term Loan, 5.739%, (3 mo. USD LIBOR + 4.50%), 1/7/28 | 23,445 | 23,366,965 | ||||||||
Polaris Newco, LLC: | ||||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 9,303 | 9,726,548 | |||||||
Term Loan, 4.764%, (1 mo. USD LIBOR + 4.00%), 6/2/28 | 33,225 | 33,031,144 | ||||||||
Proofpoint, Inc.: | ||||||||||
6.758%, (3 mo. USD LIBOR + 6.25%), 8/31/29 | 2,070 | 2,077,763 | ||||||||
Term Loan, 3.758%, (3 mo. USD LIBOR + 3.25%), 8/31/28 | 58,558 | 57,724,615 | ||||||||
Quest Software US Holdings, Inc., Term Loan, 4.75%, (SOFR + 4.25%, Floor 0.50%), 2/1/29 | 32,350 | 31,806,617 | ||||||||
RealPage, Inc., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 4/24/28 | 46,282 | 45,657,588 | ||||||||
Red Planet Borrower, LLC, Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 10/2/28 | 16,868 | 16,734,202 | ||||||||
Redstone Holdco 2 L.P., Term Loan, 5.934%, (3 mo. USD LIBOR + 4.75%), 4/27/28 | 18,507 | 17,853,481 | ||||||||
Sabre GLBL, Inc.: | ||||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 8,693 | 8,631,765 | ||||||||
Term Loan, 4.264%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 5,453 | 5,414,958 | ||||||||
Term Loan, 5.05%, (SOFR + 4.25%), 6/30/28 | 6,487 | 6,471,807 | ||||||||
Seattle Spinco, Inc., Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 14,726 | 14,597,013 | ||||||||
SkillSoft Corporation, Term Loan, 6.187%, (SOFR + 5.25%), 7/14/28 | 12,170 | 12,108,949 | ||||||||
SolarWinds Holdings, Inc., Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 68,796 | 68,310,723 | ||||||||
Sophia L.P., Term Loan, 4.256%, (3 mo. USD LIBOR + 3.25%), 10/7/27 | 35,369 | 35,021,085 | ||||||||
Sovos Compliance, LLC: | ||||||||||
Term Loan, 4.50%, 8/11/28(10) | 2,113 | 2,115,000 |
42 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||||
Software (continued) | ||||||||||||
Sovos Compliance, LLC: (continued) | ||||||||||||
Term Loan, 5.264%, (1 mo. USD LIBOR + 4.50%), 8/11/28 | 12,209 | $ | 12,219,909 | |||||||||
Sportradar Capital S.a r.l., Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 11/22/27 | EUR | 16,052 | 16,648,176 | |||||||||
SS&C European Holdings S.a.r.l., Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 5,329 | 5,259,116 | ||||||||||
SS&C Technologies, Inc.: | ||||||||||||
Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 6,564 | 6,478,505 | ||||||||||
Term Loan, 2.514%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 5,117 | 5,062,353 | ||||||||||
Term Loan, 3.05%, (SOFR + 2.25%), 3/22/29 | 4,652 | 4,622,886 | ||||||||||
Term Loan, 3.05%, (SOFR + 2.25%), 3/22/29 | 6,212 | 6,173,331 | ||||||||||
SurveyMonkey, Inc., Term Loan, 4.52%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 9,598 | 9,573,645 | ||||||||||
Tibco Software, Inc.: | ||||||||||||
Term Loan, 4.52%, (1 mo. USD LIBOR + 3.75%), 6/30/26 | 37,041 | 36,974,925 | ||||||||||
Term Loan - Second Lien, 8.02%, (1 mo. USD LIBOR + 7.25%), 3/3/28 | 13,275 | 13,270,858 | ||||||||||
Turing Midco, LLC, Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 3/23/28 | 5,150 | 5,118,415 | ||||||||||
Ultimate Software Group, Inc. (The): | ||||||||||||
Term Loan, 4.212%, (3 mo. USD LIBOR + 3.25%), 5/4/26 | 57,446 | 56,928,098 | ||||||||||
Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 5/4/26 | 23,807 | 23,741,192 | ||||||||||
Term Loan - Second Lien, 6.212%, (3 mo. USD LIBOR + 5.25%), 5/3/27 | 1,550 | 1,546,900 | ||||||||||
Valkyr Purchaser, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 11/5/27 | 2,085 | 2,083,312 | ||||||||||
Veritas US, Inc., Term Loan, 6.006%, (3 mo. USD LIBOR + 5.00%), 9/1/25 | 22,100 | 20,317,899 | ||||||||||
Vision Solutions, Inc., Term Loan, 5.184%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 42,364 | 41,860,869 | ||||||||||
VS Buyer, LLC, Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | 17,562 | 17,430,256 | ||||||||||
$ | 1,839,449,119 | |||||||||||
Specialty Retail — 2.2% | ||||||||||||
Belron Finance US LLC, Term Loan, 3.25%, (3 mo. USD LIBOR + 2.75%, Floor 0.50%), 4/13/28 | 8,638 | $ | 8,612,105 | |||||||||
Belron Luxembourg S.a r.l., Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), 4/13/28 | EUR | 3,925 | 4,086,333 | |||||||||
Boels Topholding B.V., Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/6/27 | EUR | 8,800 | 9,061,416 |
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||||
Specialty Retail (continued) | ||||||||||||
David’s Bridal, Inc.: | ||||||||||||
Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), 6/30/23 | 3,129 | $ | 2,939,551 | |||||||||
Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), 6.00% cash, 5.00% PIK, 6/23/23 | 2,662 | 2,626,350 | ||||||||||
Great Outdoors Group, LLC, Term Loan, 4.514%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 48,436 | 48,066,514 | ||||||||||
Harbor Freight Tools USA, Inc., Term Loan, 3.514%, (1 mo. USD LIBOR + 2.75%), 10/19/27 | 46,352 | 44,860,355 | ||||||||||
L1R HB Finance Limited: | ||||||||||||
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), 9/2/24 | EUR | 8,523 | 5,808,193 | |||||||||
Term Loan, 5.972%, (SONIA + 5.25%), 9/2/24 | GBP | 6,773 | 5,521,530 | |||||||||
Les Schwab Tire Centers, Term Loan, 4.00%, (3 mo. USD LIBOR + 3.25%, Floor 0.75%), 11/2/27 | 34,566 | 34,177,433 | ||||||||||
LIDS Holdings, Inc., Term Loan, 6.50%, (SOFR + 5.50%, Floor 1.00%), 12/14/26 | 6,854 | 6,714,772 | ||||||||||
Mattress Firm, Inc., Term Loan, 5.64%, (3 mo. USD LIBOR + 4.25%), 9/25/28 | 18,383 | 17,609,029 | ||||||||||
PetSmart, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/11/28 | 26,923 | 26,734,085 | ||||||||||
$ | 216,817,666 | |||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
NCR Corporation, Term Loan, 3.74%, (3 mo. USD LIBOR + 2.50%), 8/28/26 | 9,068 | $ | 8,841,475 | |||||||||
$ | 8,841,475 | |||||||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||||||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/22(13) | 18,677 | $ | 3,828,689 | |||||||||
Walker & Dunlop, Inc., Term Loan, 2.75%, (SOFR + 2.25%, Floor 0.50%), 12/16/28 | 14,189 | 14,162,832 | ||||||||||
$ | 17,991,521 | |||||||||||
Trading Companies & Distributors — 3.1% | ||||||||||||
American Builders & Contractors Supply Co., Inc., Term Loan, 2.764%, (1 mo. USD LIBOR + 2.00%), 1/15/27 | 23,176 | $ | 22,893,944 | |||||||||
Avolon TLB Borrower 1 (US), LLC: | ||||||||||||
Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | 23,925 | 23,727,846 | ||||||||||
Term Loan, 2.875%, (1 mo. USD LIBOR + 2.25%), 12/1/27 | 17,065 | 16,976,342 | ||||||||||
Beacon Roofing Supply, Inc., Term Loan, 3.014%, (1 mo. USD LIBOR + 2.25%), 5/19/28 | 10,401 | 10,284,131 | ||||||||||
Core & Main L.P., Term Loan, 3.198%, (1 mo. USD LIBOR + 2.50%), 7/27/28 | 15,375 | 15,144,166 |
43 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount* (000’s omitted) | Value | ||||||||||
Trading Companies & Distributors (continued) | ||||||||||||
Delos Finance S.a.r.l., Term Loan, 2.756%, (3 mo. USD LIBOR + 1.75%), 10/6/23 | 15,593 | $ | 15,569,111 | |||||||||
DXP Enterprises, Inc., Term Loan, 5.75%, (1 mo. USD LIBOR + 4.75%, Floor 1.00%), 12/16/27 | 5,184 | 5,159,531 | ||||||||||
Electro Rent Corporation, Term Loan, 6.098%, (3 mo. USD LIBOR + 5.00%), 1/31/24 | 23,270 | 23,328,203 | ||||||||||
Fly Funding II S.a.r.l., Term Loan, 7.012%, (3 mo. USD LIBOR + 6.00%), 10/8/25 | 9,374 | 9,403,338 | ||||||||||
Hillman Group, Inc. (The): | ||||||||||||
Term Loan, 2.80%, (1 mo. USD LIBOR + 2.75%), 7/14/28(10) | 1,231 | 1,200,960 | ||||||||||
Term Loan, 3.382%, (1 mo. USD LIBOR + 2.75%), 7/14/28 | 5,116 | 4,990,935 | ||||||||||
Park River Holdings, Inc., Term Loan, 4.217%, (3 mo. USD LIBOR + 3.25%), 12/28/27 | 12,875 | 12,247,463 | ||||||||||
Patagonia Bidco Limited: | ||||||||||||
Term Loan, 5.445%, (SONIA + 5.25%), 3/5/29 | GBP | 16,965 | 20,706,469 | |||||||||
Term Loan, 5.445%, (SONIA + 5.25%), 3/5/29 | GBP | 3,085 | 3,764,813 | |||||||||
Quimper AB, Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/16/26 | EUR | 27,350 | 28,047,403 | |||||||||
SiteOne Landscape Supply, LLC, Term Loan, 2.77%, (1 mo. USD LIBOR + 2.00%), 3/23/28 | 3,821 | 3,787,542 | ||||||||||
Spin Holdco, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 3/4/28 | 54,755 | 54,583,498 | ||||||||||
SRS Distribution, Inc.: | ||||||||||||
Term Loan, 4.00%, (SOFR + 3.50%, Floor 0.50%), 6/2/28 | 5,436 | 5,252,897 | ||||||||||
Term Loan, 4.019%, (6 mo. USD LIBOR + 3.50%), 6/2/28 | 20,044 | 19,354,734 | ||||||||||
TricorBraun Holdings, Inc., Term Loan, 4.014%, (1 mo. USD LIBOR + 3.25%), 3/3/28 | 6,185 | 6,059,398 | ||||||||||
$ | 302,482,724 | |||||||||||
Transportation Infrastructure — 0.1% | ||||||||||||
KKR Apple Bidco, LLC, Term Loan, 3.764%, (1 mo. USD LIBOR + 3.00%), 9/23/28 | 7,930 | $ | 7,862,862 | |||||||||
$ | 7,862,862 | |||||||||||
Wireless Telecommunication Services — 0.4% | ||||||||||||
CCI Buyer, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/17/27 | 17,182 | $ | 16,937,307 | |||||||||
Digicel International Finance Limited, Term Loan, 3.50%, (6 mo. USD LIBOR + 3.25%), 5/28/24 | 19,221 | 18,355,684 | ||||||||||
$ | 35,292,991 | |||||||||||
Total Senior Floating-Rate Loans | $ | 10,639,980,912 |
Warrants — 0.0% |
| |||||||||||
Security | Shares | Value | ||||||||||
Leisure Goods/Activities/Movies — 0.0% | ||||||||||||
Cineworld Group PLC, Exp. 11/23/25(6)(7) | 2,180,552 | $ | 0 | |||||||||
$ | 0 | |||||||||||
Retailers (Except Food and Drug) — 0.0% | ||||||||||||
David’s Bridal, LLC, Exp. 11/26/22(5)(6)(7) | 37,742 | $ | 0 | |||||||||
$ | 0 | |||||||||||
Total Warrants | $ | 0 | ||||||||||
Short-Term Investments — 0.8% | ||||||||||||
Security | Shares | Value | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 0.30%(14) | 82,790,360 | $ | 82,790,360 | |||||||||
Total Short-Term Investments | $ | 82,790,360 | ||||||||||
Total Investments — 119.2% | $ | 11,798,715,463 | ||||||||||
Less Unfunded Loan Commitments — (0.2)% | $ | (24,233,198 | ) | |||||||||
Net Investments — 119.0% | $ | 11,774,482,265 | ||||||||||
Other Assets, Less Liabilities — (19.0)% | $ | (1,874,662,472 | ) | |||||||||
Net Assets — 100.0% | $ | 9,899,819,793 |
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 April 30, 2022, the aggregate value of these securities is $952,159,009 or 9.6% of the Portfolio’s net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2022. |
(3) | When-issued security. |
(4) | Amount is less than 0.05%. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(6) | Non-income producing security. |
44 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
(7) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(8) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(9) | The stated interest rate represents the weighted average interest rate at April 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(10) | 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 April 30, 2022, the total value of unfunded loan commitments is $22,280,108. See Note 1F for description. |
(11) | This Senior Loan will settle after April 30, 2022, at which time the interest rate will be determined. |
(12) | Fixed-rate loan. |
(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 April 30, 2022. |
Forward Foreign Currency Exchange Contracts (OTC) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 347,893,156 | EUR | 312,407,318 | Standard Chartered Bank | 5/3/22 | $ | 18,318,978 | $ | — | |||||||||||||||
EUR | 50,011,876 | USD | 52,801,378 | State Street Bank and Trust Company | 5/31/22 | 20,696 | — | |||||||||||||||||
USD | 1,655,191 | EUR | 1,495,963 | Deutsche Bank AG | 5/31/22 | 75,169 | — | |||||||||||||||||
USD | 19,140,155 | EUR | 17,263,250 | HSBC Bank USA, N.A. | 5/31/22 | 906,873 | — | |||||||||||||||||
USD | 13,621,723 | EUR | 12,220,377 | State Street Bank and Trust Company | 5/31/22 | 714,675 | — | |||||||||||||||||
USD | 7,069,688 | EUR | 6,412,845 | State Street Bank and Trust Company | 5/31/22 | 296,501 | — | |||||||||||||||||
USD | 4,364,094 | EUR | 3,957,456 | State Street Bank and Trust Company | 5/31/22 | 184,266 | — | |||||||||||||||||
USD | 4,375,101 | EUR | 4,000,000 | State Street Bank and Trust Company | 5/31/22 | 150,339 | — | |||||||||||||||||
USD | 2,409,683 | EUR | 2,161,984 | State Street Bank and Trust Company | 5/31/22 | 126,215 | — | |||||||||||||||||
USD | 2,735,198 | EUR | 2,500,000 | State Street Bank and Trust Company | 5/31/22 | 94,721 | — | |||||||||||||||||
USD | 2,602,055 | GBP | 1,976,657 | Standard Chartered Bank | 5/31/22 | 116,555 | — | |||||||||||||||||
USD | 329,985,762 | EUR | 312,407,318 | Standard Chartered Bank | 6/2/22 | — | (4,372 | ) | ||||||||||||||||
EUR | 25,000,000 | USD | 27,308,028 | Bank of America, N.A. | 6/30/22 | — | (860,454 | ) | ||||||||||||||||
GBP | 4,000,000 | USD | 5,209,587 | Standard Chartered Bank | 6/30/22 | — | (179,151 | ) | ||||||||||||||||
USD | 67,081,392 | EUR | 60,276,674 | Standard Chartered Bank | 6/30/22 | 3,314,522 | — | |||||||||||||||||
USD | 9,434,117 | EUR | 8,600,000 | Standard Chartered Bank | 6/30/22 | 336,152 | — | |||||||||||||||||
USD | 7,132,164 | EUR | 6,464,211 | Standard Chartered Bank | 6/30/22 | 293,655 | — | |||||||||||||||||
USD | 63,819,032 | EUR | 57,121,169 | State Street Bank and Trust Company | 6/30/22 | 3,390,379 | — | |||||||||||||||||
USD | 59,229,106 | EUR | 53,043,473 | State Street Bank and Trust Company | 6/30/22 | 3,114,260 | — | |||||||||||||||||
USD | 63,792,212 | EUR | 57,383,393 | State Street Bank and Trust Company | 6/30/22 | 3,086,151 | — | |||||||||||||||||
USD | 53,758,388 | EUR | 48,221,339 | State Street Bank and Trust Company | 6/30/22 | 2,744,892 | — | |||||||||||||||||
USD | 3,254,367 | EUR | 2,940,005 | State Street Bank and Trust Company | 6/30/22 | 144,127 | — | |||||||||||||||||
USD | 6,407,383 | EUR | 5,962,275 | State Street Bank and Trust Company | 6/30/22 | 99,875 | — | |||||||||||||||||
USD | 1,654,957 | EUR | 1,500,000 | State Street Bank and Trust Company | 6/30/22 | 68,103 | — | |||||||||||||||||
USD | 52,881,522 | EUR | 50,011,876 | State Street Bank and Trust Company | 6/30/22 | — | (26,188 | ) | ||||||||||||||||
USD | 26,647,764 | GBP | 20,281,593 | State Street Bank and Trust Company | 6/30/22 | 1,141,451 | — | |||||||||||||||||
USD | 27,584,656 | GBP | 21,088,008 | State Street Bank and Trust Company | 6/30/22 | 1,064,189 | — | |||||||||||||||||
USD | 15,391,350 | GBP | 11,715,560 | State Street Bank and Trust Company | 6/30/22 | 657,757 | — |
45 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 35,439,571 | EUR | 33,594,300 | Deutsche Bank AG | 7/29/22 | $ | — | $ | (161,899 | ) | ||||||||||||||
USD | 69,099,146 | EUR | 65,100,271 | State Street Bank and Trust Company | 7/29/22 | 109,308 | — | |||||||||||||||||
USD | 65,891,090 | EUR | 62,093,080 | State Street Bank and Trust Company | 7/29/22 | 88,115 | — | |||||||||||||||||
USD | 68,930,833 | EUR | 64,984,677 | State Street Bank and Trust Company | 7/29/22 | 63,495 | — | |||||||||||||||||
USD | 63,758,907 | EUR | 60,167,713 | State Street Bank and Trust Company | 7/29/22 | — | (3,666 | ) | ||||||||||||||||
USD | 35,457,527 | EUR | 33,594,300 | State Street Bank and Trust Company | 7/29/22 | — | (143,942 | ) | ||||||||||||||||
$ | 40,721,419 | $ | (1,379,672 | ) |
Abbreviations:
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 |
46 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2022 | |||
Unaffiliated investments, at value (identified cost $12,096,372,764) | $ | 11,691,691,905 | ||
Affiliated investment, at value (identified cost $82,790,360) | 82,790,360 | |||
Cash | 50,946,783 | |||
Deposits for derivatives collateral — forward foreign currency exchange contracts | 44,370,000 | |||
Foreign currency, at value (identified cost $30,244,652) | 30,244,999 | |||
Interest receivable | 35,000,988 | |||
Dividends receivable from affiliated investments | 3,999 | |||
Receivable for investments sold | 44,089,607 | |||
Receivable for open forward foreign currency exchange contracts | 40,721,419 | |||
Prepaid upfront fees on notes payable | 3,342,565 | |||
Prepaid expenses | 91,621 | |||
Total assets | $ | 12,023,294,246 | ||
Liabilities | ||||
Notes payable | $ | 1,500,000,000 | ||
Cash collateral due to broker | 43,530,000 | |||
Payable for investments purchased | 566,821,864 | |||
Payable for when-issued securities | 3,245,000 | |||
Payable for open forward foreign currency exchange contracts | 1,379,672 | |||
Payable to affiliates: | ||||
Investment adviser fee | 3,802,733 | |||
Trustees’ fees | 9,042 | |||
Accrued expenses | 4,686,142 | |||
Total liabilities | $ | 2,123,474,453 | ||
Net Assets applicable to investors’ interest in Portfolio | $ | 9,899,819,793 |
47 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2022 | |||
Dividend income | $ | 1,832,864 | ||
Dividend income from affiliated investments | 50,287 | |||
Interest and other income | 224,514,940 | |||
Total investment income | $ | 226,398,091 | ||
Expenses | ||||
Investment adviser fee | $ | 21,374,740 | ||
Trustees’ fees and expenses | 54,250 | |||
Custodian fee | 820,410 | |||
Legal and accounting services | 150,306 | |||
Interest expense and fees | 13,105,492 | |||
Miscellaneous | 193,730 | |||
Total expenses | $ | 35,698,928 | ||
Deduct: | ||||
Waiver and/or reimbursement of expenses by affiliate | $ | 1,108 | ||
Total expense reductions | $ | 1,108 | ||
Net expenses | $ | 35,697,820 | ||
Net investment income | $ | 190,700,271 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss): | ||||
Investment transactions | $ | 11,328,244 | ||
Investment transactions - affiliated investment | (845 | ) | ||
Foreign currency transactions | (2,003,140 | ) | ||
Forward foreign currency exchange contracts | 74,944,537 | |||
Net realized gain | $ | 84,268,796 | ||
Change in unrealized appreciation (depreciation): | ||||
Investments | $ | (338,619,032 | ) | |
Foreign currency | 3,066,008 | |||
Forward foreign currency exchange contracts | 30,807,534 | |||
Net change in unrealized appreciation (depreciation) | $ | (304,745,490 | ) | |
Net realized and unrealized loss | $ | (220,476,694 | ) | |
Net decrease in net assets from operations | $ | (29,776,423 | ) |
48 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, 2021 | ||||||
From operations: | ||||||||
Net investment income | $ | 190,700,271 | $ | 288,686,903 | ||||
Net realized gain (loss) | 84,268,796 | (6,964,197 | ) | |||||
Net change in unrealized appreciation (depreciation) | (304,745,490 | ) | 297,665,446 | |||||
Net increase (decrease) in net assets from operations | $ | (29,776,423 | ) | $ | 579,388,152 | |||
Capital transactions: | ||||||||
Contributions | $ | 2,022,807,687 | $ | 2,717,828,706 | ||||
Withdrawals | (516,764,722 | ) | (323,097,860 | ) | ||||
Net increase in net assets from capital transactions | $ | 1,506,042,965 | $ | 2,394,730,846 | ||||
Net increase in net assets | $ | 1,476,266,542 | $ | 2,974,118,998 | ||||
Net Assets | ||||||||
At beginning of period | $ | 8,423,553,251 | $ | 5,449,434,253 | ||||
At end of period | $ | 9,899,819,793 | $ | 8,423,553,251 |
49 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Statement of Cash Flows (Unaudited)
Cash Flows From Operating Activities | Six Months Ended April 30, 2022 | |||
Net decrease in net assets from operations | $ | (29,776,423 | ) | |
Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities: | ||||
Investments purchased | (2,788,210,094 | ) | ||
Investments sold and principal repayments | 782,576,142 | |||
Decrease in short-term investments, net | 13,296,871 | |||
Net amortization/accretion of premium (discount) | (4,902,527 | ) | ||
Amortization of prepaid upfront fees and other fees on notes payable | 2,037,745 | |||
Increase in interest receivable | (5,863,521 | ) | ||
Increase in dividends receivable from affiliated investments | (1,199 | ) | ||
Increase in receivable for open forward foreign currency exchange contracts | (32,150,954 | ) | ||
Decrease in prepaid expenses | 28,025 | |||
Increase in cash collateral due to brokers | 43,530,000 | |||
Increase in payable for open forward foreign currency exchange contracts | 1,343,420 | |||
Increase in payable to affiliate for investment adviser fee | 449,755 | |||
Increase in accrued expenses | 1,811,942 | |||
Increase in unfunded loan commitments | 1,742,418 | |||
Net change in unrealized (appreciation) depreciation from investments | 338,619,032 | |||
Net realized gain from investments | (11,327,399 | ) | ||
Net cash used in operating activities | $ | (1,686,796,767 | ) | |
Cash Flows From Financing Activities | ||||
Proceeds from capital contributions | $ | 2,022,807,687 | ||
Payments for capital withdrawals | (516,764,722 | ) | ||
Proceeds from notes payable | 1,650,000,000 | |||
Repayments of notes payable | (1,525,000,000 | ) | ||
Payment of prepaid upfront fees on notes payable | (3,937,500 | ) | ||
Net cash provided by financing activities | $ | 1,627,105,465 | ||
Net decrease in cash and restricted cash* | $ | (59,691,302 | ) | |
Cash and restricted cash at beginning of period (including foreign currency) | $ | 185,253,084 | ||
Cash and restricted cash at end of period (including foreign currency) | $ | 125,561,782 | ||
Supplemental disclosure of cash flow information: | ||||
Cash paid for interest and fees on borrowings | $ | 12,778,830 |
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $44,268. |
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the Statement of Cash Flows.
April 30, 2022 | ||||
Cash | $ | 50,946,783 | ||
Deposits for derivatives collateral — forward foreign currency exchange contracts | 44,370,000 | |||
Foreign currency | 30,244,999 | |||
Total cash and restricted cash as shown on the Statement of Cash Flows | $ | 125,561,782 |
50 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Financial Highlights
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||
Expenses excluding interest and fees | 0.50 | %(1)(2) | 0.53 | % | 0.56 | % | 0.55 | % | 0.51 | % | 0.52 | % | ||||||||||||
Interest and fee expense | 0.29 | %(1) | 0.32 | % | 0.60 | % | 0.88 | % | 0.47 | % | 0.34 | % | ||||||||||||
Total expenses | 0.79 | %(1) | 0.85 | % | 1.16 | % | 1.43 | % | 0.98 | % | 0.86 | % | ||||||||||||
Net investment income | 4.18 | %(1) | 4.19 | % | 4.86 | % | 5.63 | % | 4.92 | % | 4.68 | % | ||||||||||||
Portfolio Turnover | 7 | %(3) | 28 | % | 30 | % | 17 | % | 29 | % | 39 | % | ||||||||||||
Total Return | (0.04 | )%(3) | 9.75 | % | 0.39 | % | 2.04 | % | 5.41 | % | 6.43 | % | ||||||||||||
Net assets, end of period (000’s omitted) | 9,899,820 | 8,423,553 | 5,449,434 | 7,343,453 | 10,969,159 | 7,797,557 |
(1) | Annualized. |
(2) | The investment adviser reduced a portion of its adviser fee (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2022). |
(3) | Not annualized. |
51 | See Notes to Financial Statements. |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Senior Debt Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Portfolio’s investment objective is to provide a high level of current income. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2022, Eaton Vance Floating-Rate Advantage Fund, Eaton Vance Short Duration Strategic Income Fund and Eaton Vance Short Duration Inflation-Protected Income Fund held an interest of 95.7%, 1.9% and 2.4%, respectively, in the Portfolio.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.
Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Portfolio based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Portfolio. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Portfolio. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that uses various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events.
Derivatives. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service.
Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads.
Other. Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.
Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is
52 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.
As of April 30, 2022, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
F Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the accompanying Portfolio of Investments. At April 30, 2022, the Portfolio had sufficient cash and/or securities to cover these commitments.
G Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
I Forward Foreign Currency Exchange Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
J When-Issued Securities and Delayed Delivery Transactions — The Portfolio may purchase securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Portfolio maintains cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Such security purchases are subject to the risk that when delivered they will be worth less than the agreed upon payment price. Losses may also arise if the counterparty does not perform under the contract.
53 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
K Interim Financial Statements — The interim financial statements relating to April 30, 2022 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Portfolio. The fee is computed at an annual rate as a percentage of average daily gross assets as follows and is payable monthly:
Average Daily Gross Assets | Annual Fee Rate | |||
Up to and including $1 billion | 0.5000 | % | ||
In excess of $1 billion up to and including $2 billion | 0.4500 | % | ||
In excess of $2 billion up to and including $7 billion | 0.4000 | % | ||
In excess of $7 billion up to and including $10 billion | 0.3875 | % | ||
In excess of $10 billion up to and including $15 billion | 0.3750 | % | ||
In excess of $15 billion | 0.3625 | % |
Gross assets are calculated by deducting all liabilities of the Portfolio except the principal amount of any indebtedness for money borrowed. For the six months ended April 30, 2022, the Portfolio’s investment adviser fee amounted to $21,374,740 or 0.47% (annualized) of the Portfolio’s average daily net assets. Effective April 26, 2022, the Portfolio may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the “Liquidity Fund”), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Portfolio is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolio due to its investment in the Liquidity Fund. For the six months ended April 30, 2022, the investment adviser fee paid was reduced by $1,108 relating to the Portfolio’s investment in the Liquidity Fund. Prior to April 26, 2022, the Portfolio may have invested its cash in Eaton Vance Cash Reserves Fund (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). EVM did not receive a fee for advisory services provided to Cash Reserves Fund.
Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2022, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and principal repayments on Senior Loans, aggregated $2,597,922,049 and $815,548,354, respectively, for the six months ended April 30, 2022.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Portfolio at April 30, 2022, as determined on a federal income tax basis, were as follows:
Aggregate cost | $12,181,407,972 | |||
Gross unrealized appreciation | $ | 76,312,689 | ||
Gross unrealized depreciation | (443,896,649 | ) | ||
Net unrealized depreciation | $ | (367,583,960 | ) |
54 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2022 is included in the Portfolio of Investments. At April 30, 2022, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
The Portfolio is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Portfolio holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Portfolio enters into forward foreign currency exchange contracts.
The Portfolio enters into forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2022, the fair value of derivatives with credit-related contingent features in a net liability position was $1,379,672. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $840,000 at April 30, 2022.
The over-the-counter (OTC) derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2022 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 8) at April 30, 2022.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is foreign exchange risk at April 30, 2022 was as follows:
Fair Value | ||||||||
Derivative | Asset Derivative(1) | Liability Derivative(2) | ||||||
Forward foreign currency exchange contracts | $ | 40,721,419 | $ | (1,379,672 | ) | |||
Total Derivatives subject to master netting or similar agreements | $ | 40,721,419 | $ | (1,379,672 | ) |
(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. |
55 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
The Portfolio’s derivative assets and liabilities at fair value by type, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio for such assets and pledged by the Portfolio for such liabilities as of April 30, 2022.
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) | Total Cash Collateral Received | ||||||||||||||||||
Deutsche Bank AG | $ | 75,169 | $ | (75,169 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||
HSBC Bank USA, N.A. | 906,873 | — | (906,873 | ) | — | — | — | |||||||||||||||||
Standard Chartered Bank | 22,379,862 | (183,523 | ) | — | (21,750,000 | ) | 446,339 | 21,750,000 | ||||||||||||||||
State Street Bank and Trust Company | 17,359,515 | (173,796 | ) | — | (17,185,719 | ) | — | 21,780,000 | ||||||||||||||||
$ | 40,721,419 | $ | (432,488 | ) | $ | (906,873 | ) | $ | (38,935,719 | ) | $ | 446,339 | $ | 43,530,000 |
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) | Total Cash Collateral Pledged | ||||||||||||||||||
Bank of America, N.A. | $ | (860,454 | ) | $ | — | $ | — | $ | 840,000 | $ | (20,454 | ) | $ | 840,000 | ||||||||||
Deutsche Bank AG | (161,899 | ) | 75,169 | — | — | (86,730 | ) | — | ||||||||||||||||
Standard Chartered Bank | (183,523 | ) | 183,523 | — | — | — | — | |||||||||||||||||
State Street Bank and Trust Company | (173,796 | ) | 173,796 | — | — | — | — | |||||||||||||||||
$ | (1,379,672 | ) | $ | 432,488 | $ | — | $ | 840,000 | $ | (107,184 | ) | $ | 840,000 | |||||||||||
Total — Deposits for derivatives collateral — OTC derivatives | �� | $ | 44,370,000 |
(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. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is foreign exchange risk for the six months ended April 30, 2022 was as follows:
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 | $ | 74,944,537 | $ | 30,807,534 |
(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. |
The average notional amount of forward foreign currency exchange contracts (based on the absolute value of notional amounts of currency purchased and currency sold) outstanding during the six months ended April 30, 2022, which is indicative of the volume of this derivative type, was approximately $1,375,557,000.
56 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
6 Revolving Credit and Security Agreement
The Portfolio has entered into a Revolving Credit and Security Agreement, as amended (the Loan Facility) with certain Citibank, N.A. (“Citi”) sponsored conduits (the “Conduit Lenders”) that issue commercial paper, certain banks (the “Direct Lenders”) and Citi as secondary lender (together with any other secondary lenders, the “Secondary Lenders”) and as agent (the “Agent”) for the Conduit Lenders, the Direct Lenders and the Secondary Lenders that allows it to borrow up to $2.625 billion ($2.725 billion prior to March 7, 2022) and to invest the borrowings in accordance with its investment practices. Borrowings under the Loan Facility are secured by the assets of the Portfolio and is in effect through March 6, 2023. In connection with borrowings from a Conduit Lender, the Portfolio pays to the Conduit Lender an amount equal to the Conduit Lender’s cost of borrowing (i.e., the interest payable on commercial paper issued by such Conduit Lender) plus a dealer commission (collectively, the “CP Rate”) multiplied by the principal amount of the advance to the Portfolio under the Loan Facility. In addition, the Portfolio pays a drawn fee to Citi on behalf of the Conduit Lenders equal to 0.90% per annum on its outstanding borrowings, a liquidity fee payable to the Secondary Lenders equal to 0.15% or 0.25% per annum of the undrawn amount under the Loan Facility depending on the amount borrowed by the Portfolio thereunder, and an upfront fee equal to 0.15% of the total commitment amount under the Loan Facility. The Portfolio pays substantially similar fees with respect to borrowings from the Direct Lenders, but it pays one-month Term SOFR (or such other duration as approved by the Agent) on advances rather than the CP Rate. In the event that the Conduit Lenders are unable to fund their commitment and the Secondary Lenders provide backstop liquidity, the Portfolio is charged an interest rate similar to that paid to the Direct Lenders but a drawn fee that is substantially higher than the drawn fee paid to the Direct Lenders. Drawn and liquidity fees for the six months ended April 30, 2022 totaled $9,394,891 and are included in interest expense and fees on the Statement of Operations. In connection with the renewal of the Loan Facility on March 7, 2022, the Portfolio paid upfront fees of $3,937,500. These upfront fees are being amortized to interest expense through March 6, 2023. The unamortized balance at April 30, 2022 is approximately $3,343,000 and is included in prepaid upfront fees on notes payable on the Statement of Assets and Liabilities. At April 30, 2022, the Portfolio had borrowings outstanding under the Loan Facility of $1,500,000,000 at an annual interest rate of 0.30%. Based on the short-term nature of borrowings under the Loan Facility and the variable interest rate, the carrying amount of the borrowings at April 30, 2022 approximated its fair value. If measured at fair value, borrowings under the Loan Facility would have been considered as Level 2 in the fair value hierarchy (see Note 8) at April 30, 2022. For the six months ended April 30, 2022, the average borrowings under the Loan Facility and the average annual interest rate (excluding fees) were $2,043,922,652 and 0.16%, respectively.
7 Investments in Affiliated Funds
At April 30, 2022, the value of the Portfolio’s investment in affiliated funds was $82,790,360, which represents 0.8% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the six months ended April 30, 2022 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period | ||||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||||||
Cash Reserves Fund | $ | 96,088,076 | $ | 1,714,054,780 | $ | (1,810,142,011 | ) | $ | (845 | ) | $ | — | $ | — | $ | 46,288 | — | |||||||||||||||
Liquidity Fund | — | 129,392,585 | (46,602,225 | ) | — | — | 82,790,360 | 3,999 | 82,790,360 | |||||||||||||||||||||||
Total | $ | (845 | ) | $ | — | $ | 82,790,360 | $ | 50,287 |
8 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
57 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
At April 30, 2022, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Asset-Backed Securities | $ | — | $ | 306,741,226 | $ | — | $ | 306,741,226 | ||||||||
Common Stocks | 14,987,475 | 36,000,966 | 10,578,557 | 61,566,998 | ||||||||||||
Convertible Preferred Stocks | — | 6,729,605 | — | 6,729,605 | ||||||||||||
Corporate Bonds | — | 649,954,807 | — | 649,954,807 | ||||||||||||
Exchange-Traded Funds | 44,870,230 | — | — | 44,870,230 | ||||||||||||
Preferred Stocks | — | 6,081,325 | 0 | 6,081,325 | ||||||||||||
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 10,614,345,125 | 1,402,589 | 10,615,747,714 | ||||||||||||
Warrants | — | 0 | 0 | 0 | ||||||||||||
Short-Term Investments | 82,790,360 | — | — | 82,790,360 | ||||||||||||
Total Investments | $ | 142,648,065 | $ | 11,619,853,054 | $ | 11,981,146 | $ | 11,774,482,265 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 40,721,419 | $ | — | $ | 40,721,419 | ||||||||
Total | $ | 142,648,065 | $ | 11,660,574,473 | $ | 11,981,146 | $ | 11,815,203,684 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,379,672 | ) | $ | — | $ | (1,379,672 | ) | ||||||
Total | $ | — | $ | (1,379,672 | ) | $ | — | $ | (1,379,672 | ) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended April 30, 2022 is not presented.
9 Risks and Uncertainties
Risks Associated with Foreign Investments
Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
Credit Risk
The Portfolio invests primarily in below investment grade floating-rate loans, which are considered speculative because of the credit risk of their issuers. Changes in economic conditions or other circumstances are more likely to reduce the capacity of issuers of these securities to make principal and interest payments. Such companies are more likely to default on their payments of interest and principal owed than issuers of investment grade bonds. An economic downturn generally leads to a higher non-payment rate, and a loan or other debt obligation may lose significant value before a default occurs. Lower rated investments also may be subject to greater price volatility than higher rated investments. Moreover, the specific collateral used to secure a loan may decline in value or become illiquid, which would adversely affect the loan’s value.
LIBOR Transition Risk
Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021, and is expected to cease publishing
58 |
Senior Debt Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks of disease, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and industries, and could continue to affect the market in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.
59 |
Eaton Vance
Floating-Rate Advantage Fund
April 30, 2022
Officers of Eaton Vance Floating-Rate Advantage Fund
Eric A. Stein
President
Deidre E. Walsh
Vice President and Chief Legal Officer
James F. Kirchner
Treasurer
Jill R. Damon
Secretary
Richard F. Froio
Chief Compliance Officer
Officers of Senior Debt Portfolio
Eric A. Stein
President
Deidre E. Walsh
Vice President and Chief Legal Officer
James F. Kirchner
Treasurer
Jill R. Damon
Secretary
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Floating-Rate Advantage Fund and Senior Debt Portfolio
George J. Gorman
Chairperson
Alan C. Bowser*
Thomas E. Faust Jr.**
Mark R. Fetting
Cynthia E. Frost
Valerie A. Mosley
William H. Park
Helen Frame Peters
Keith Quinton
Marcus L. Smith
Susan J. Sutherland
Scott E. Wennerholm
Nancy A. Wiser*
* | Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022. |
** | Interested Trustee |
60 |
Eaton Vance Funds
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.com
Please 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 | |
61 |
Eaton Vance Funds
Privacy Notice — continued | April 2021 |
Page 2 |
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 information
We 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 you
State 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. |
62 |
Eaton Vance Funds
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
63 |
This Page Intentionally Left Blank
Investment Adviser of Senior Debt Portfolio
Boston Management and Research
Two International Place
Boston, MA 02110
Investment Adviser and Administrator of Eaton Vance
Floating-Rate Advantage Fund
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
7763 4.30.22
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
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.
Senior Debt Portfolio
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2022 |
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: | June 23, 2022 |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2022 |