OMB APPROVAL OMB Number: 3235-0578 Expires: January 31, 2016 Estimated average burden hours per response..... 10.5 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-21654 Pioneer Floating Rate Trust (Exact name of registrant as specified in charter) 60 State Street, Boston, MA 02109 (Address of principal executive offices) (ZIP code) Terrence J. Cullen, Pioneer Investment Management, Inc., 60 State Street, Boston, MA 02109 (Name and address of agent for service) Registrant's telephone number, including area code: (617) 742-7825 Date of fiscal year end: November 30 Date of reporting period: February 28, 2015 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. <PAGE> ITEM 1. Schedule of Investments. File the schedules as of the close of the reporting period as set forth in ss. 210.12-12 12-14 of Regulation S-X [17 CFR 210.12-12 12-14]. The schedules need not be audited.
Pioneer Floating
|
||
Rate Trust
|
||
NQ | February 28, 2015
|
||
Ticker Symbol: PHD
|
Principal
Amount
USD ($)
|
Value
|
|||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 141.4% of Net Assets *(a)
|
||||
AUTOMOBILES & COMPONENTS - 9.7%
|
||||
Auto Parts & Equipment - 7.3%
|
||||
2,880,958
|
Allison Transmission, Inc., Term Loan B-3, 3.5%, 8/23/19
|
$ 2,889,062
|
||
2,400,000
|
BBB Industries US Holdings, Inc., First Lien Initial Term Loan, 6.0%, 11/3/21
|
2,388,000
|
||
1,178,633
|
Cooper Standard Intermediate Holdco 2 LLC, Term Loan, 4.0%, 4/2/21
|
1,174,361
|
||
2,371,563
|
Crowne Group LLC, First Lien Initial Term Loan, 6.0%, 9/30/20
|
2,335,989
|
||
1,031,075
|
Electrical Components International, Inc., Term Loan B, 5.75%, 5/28/21
|
1,035,372
|
||
1,626,152
|
Federal-Mogul Corp., Tranche C Term Loan (2014), 4.75%, 4/15/21
|
1,624,571
|
||
1,990,000
|
Henniges Automotive Holdings, Inc., Term Loan, 5.5%, 6/12/21
|
1,999,950
|
||
1,197,000
|
Jason, Inc., Term Loan, 5.5%, 6/30/21
|
1,195,504
|
||
1,695,750
|
Key Safety Systems, Inc., Initial Term Loan, 4.75%, 8/29/21
|
1,703,169
|
||
1,637,778
|
MPG Holdco I, Inc. Initial Term Loan, 4.25%, 10/20/21
|
1,646,471
|
||
500,000
|
Remy International, Inc., Term B Loan 2013, 4.25%, 3/5/20
|
500,625
|
||
1,204,364
|
TI Group Automotive Systems LLC, Additional Term Loan, 4.25%, 7/2/21
|
1,205,367
|
||
2,364,992
|
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
2,363,022
|
||
1,080,000
|
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17
|
1,080,000
|
$ 23,141,463
|
||||
Automobile Manufacturers - 1.3%
|
||||
3,252,435
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 3,251,420
|
||
796,000
|
Visteon Corp., Initial Term Loan, 3.5%, 4/9/21
|
794,757
|
||
$ 4,046,177
|
||||
Tires & Rubber - 1.1%
|
||||
992,974
|
American Tire Distributors, Inc., New 2014 Initial Term Loan, 5.75%, 6/1/18
|
$ 996,388
|
||
2,500,000
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
|
2,513,282
|
||
$ 3,509,670
|
||||
Total Automobiles & Components
|
$ 30,697,310
|
|||
BANKS - 0.4%
|
||||
Thrifts & Mortgage Finance - 0.4%
|
||||
1,278,974
|
Ocwen Loan Servicing, Initial Term Loan, 5.0%, 2/15/18
|
$ 1,227,416
|
||
Total Banks
|
$ 1,227,416
|
|||
CAPITAL GOODS - 13.7%
|
||||
Aerospace & Defense - 4.4%
|
||||
1,098,907
|
Accudyne Industries Borrower S.C.A./Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
|
$ 1,059,071
|
||
1,675,000
|
BE Aerospace, Inc, Term Loan, 4.0%, 12/16/21
|
1,682,956
|
||
594,266
|
Cadence Aerospace Finance, Inc., Term Loan, 6.5%, 5/9/18
|
588,324
|
||
732,217
|
CPI International, Inc., Term B Loan, 4.25%, 11/17/17
|
732,217
|
||
401,612
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 5.0%, 11/2/18
|
405,126
|
||
166,363
|
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 5.0%, 11/2/18
|
166,571
|
||
2,012,858
|
Digitalglobe, Inc., Term Loan, 3.75%, 1/31/20
|
2,013,855
|
||
754,625
|
DynCorp International, Inc., Term Loan, 6.25%, 7/7/16
|
751,166
|
||
250,678
|
IAP Worldwide Services, Inc., First Lien Term Loan, 8.0%, 7/18/19
|
226,864
|
||
494,911
|
Spirit Aerosystems, Inc., (fka Mid-Western Aircraft, Inc., and Onex Wind Finance LP), Term Loan B, 3.25%, 9/15/20
|
494,540
|
||
1,708,378
|
TASC, Inc., First Lien Term Loan, 6.5%, 5/22/20
|
1,728,306
|
||
100,752
|
Vencore, Inc. (fka SI Organization, Inc.), Delayed Draw Term Loan, 5.75%, 11/23/19
|
101,114
|
||
1,515,756
|
Vencore, Inc. (fka SI Organization, Inc.), The First Lien Initial Term Loan, 5.75%, 11/23/19
|
1,521,203
|
||
1,824,949
|
WP Consolidated Precision Products Holdings LLC, First Lien Term Loan, 4.75%, 12/28/19
|
1,827,687
|
||
680,000
|
WP Consolidated Precision Products Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
666,400
|
||
$ 13,965,400
|
||||
Building Products - 3.1%
|
||||
1,311,638
|
Armstrong World Industries, Inc., Term Loan B, 3.5%, 3/15/20
|
$ 1,310,203
|
||
1,330,943
|
Interline Brands, Inc., First Lien Term Loan, 4.0%, 3/17/21
|
1,323,456
|
||
500,000
|
NCI Building Systems, Inc., Tranche B Term Loan, 4.25%, 6/24/19
|
498,906
|
||
1,670,485
|
Nortek, Inc., Loan, 3.75%, 10/30/20
|
1,664,221
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Building Products – (continued)
|
||||
472,673
|
Quikrete Holdings, Inc., Initial First Lien Loan, 4.0%, 9/28/20
|
$ 471,255
|
||
884,211
|
Quikrete Holdings, Inc., Initial Second Lien Loan, 7.0%, 3/26/21
|
886,974
|
||
1,706,480
|
Summit Materials LLC, Term B Loan, 5.0%, 1/30/19
|
1,712,167
|
||
1,800,723
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
1,790,968
|
||
$ 9,658,150
|
||||
Construction & Farm Machinery & Heavy Trucks - 0.8%
|
||||
404,400
|
Manitowoc Co., Inc., Term Loan B, 3.25%, 1/3/21
|
$ 403,768
|
||
1,370,000
|
Navistar, Inc., Tranche B Term Loan, 5.75%, 8/17/17
|
1,379,408
|
||
853,795
|
Terex Corp., U.S. Term Loan, 3.5%, 8/13/21
|
857,798
|
||
$ 2,640,974
|
||||
Electrical Components & Equipment - 0.7%
|
||||
1,021,223
|
Pelican Products, Inc., First lien Tem Loan, 5.25%, 4/10/20
|
$ 1,016,116
|
||
1,186,101
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
1,189,066
|
||
$ 2,205,182
|
||||
Industrial Conglomerates - 1.4%
|
||||
500,000
|
Doosan Infracore International, Inc. (Doosan Holdings Europe Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
|
$ 503,750
|
||
209,481
|
Faenza Acquisition GmbH (CeramTec Acquisition Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
|
209,350
|
||
706,601
|
Faenza Acquisition GmbH (CeramTec Acquisition Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
|
706,159
|
||
70,774
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
|
70,730
|
||
1,500,000
|
Filtration Group Corp., Second Lien Initial Term Loan, 8.25%, 11/22/21
|
1,507,500
|
||
423,938
|
Gates Global LLC, Initial Dollar Term Loan, 4.25%, 7/5/21
|
421,924
|
||
1,054,555
|
Milacron LLC, Term Loan, 4.0%, 3/28/20
|
1,041,373
|
||
$ 4,460,786
|
||||
Industrial Machinery - 3.1%
|
||||
1,484,962
|
Gardner Denver, Inc., Initial Dollar Term Loan, 4.25%, 7/30/20
|
$ 1,430,204
|
||
1,017,313
|
Hampton Rubber Co., First Lien Term Loan, 5.0%, 3/27/21
|
892,692
|
||
2,000,000
|
Mueller Water Products, Inc., Initial Term Loan, 4.0%, 11/25/21
|
2,008,490
|
||
1,651,071
|
NN, Inc., Loan, 6.0%, 8/27/21
|
1,657,263
|
||
2,103,660
|
Schaeffler AG, Facility B-USD, 4.25%, 5/15/20
|
2,121,503
|
||
497,475
|
Wastequip LLC, Term Loan, 5.5%, 8/9/19
|
495,609
|
||
1,095,559
|
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19
|
1,098,298
|
||
$ 9,704,059
|
||||
Trading Companies & Distributors - 0.2%
|
||||
711,169
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
$ 711,391
|
||
Total Capital Goods
|
$ 43,345,942
|
|||
COMMERCIAL & PROFESSIONAL SERVICES - 6.6%
|
||||
Diversified Support Services - 1.2%
|
||||
1,067,925
|
InfoGroup, Inc., Term Loan B, 7.5%, 5/26/18
|
$ 1,003,183
|
||
711,506
|
KAR Auction Services, Inc., Tranche B-2 Term Loan, 3.5%, 3/11/21
|
707,059
|
||
1,500,000
|
Language Line LLC, Second Lien Loan, 10.5%, 12/20/16
|
1,488,125
|
||
639,446
|
Language Line LLC, Tranche B Term Loan, 6.25%, 6/20/16
|
636,781
|
||
$ 3,835,148
|
||||
Environmental & Facilities Services - 2.3%
|
||||
587,406
|
ADS Waste Holdings, Inc., Initial Tranche B-2 Term Loan, 3.75%, 10/9/19
|
$ 582,266
|
||
726,000
|
Convata Energy Corp., Term Loan, 3.25%, 3/28/19
|
726,907
|
||
1,500,000
|
Granite Acquisition, Inc. Second Lien Term B Loan, 8.25%, 12/19/22
|
1,521,250
|
||
478,927
|
Granite Acquisition, Inc., First Lien Term B Loan, 5.0%, 12/17/21
|
484,016
|
||
21,073
|
Granite Acquisition, Inc., First Lien Term C Loan, 5.0%, 12/17/21
|
21,297
|
||
294,000
|
Progressive Waste Solutions, Ltd., Term B Loan, 3.0%, 10/24/19
|
295,899
|
||
1,191,614
|
U.S. Ecology, Inc., Term Loan, 3.75%, 6/17/21
|
1,190,870
|
||
745,000
|
Waste Industries USA, Inc., Initial Term Loan, 3.25%, 2/27/20
|
747,947
|
||
1,769,088
|
WCA Waste Corp. (WCA Waste Systems, Inc.), Term Loan, 4.0%, 3/23/18
|
1,752,135
|
||
$ 7,322,587
|
||||
Human Resource & Employment Services - 0.3%
|
||||
950,739
|
On Assignment, Inc., Initial Term B Loan, 3.5%, 5/15/20
|
$ 945,688
|
||
Research & Consulting Services - 0.3%
|
||||
887,242
|
Wyle Services Corp., Term Loan, 5.0%, 5/23/21
|
$ 888,074
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Security & Alarm Services - 2.5%
|
||||
1,009,047
|
Allied Security Holdings LLC, Second Lien Closing Date Term Loan, 4.25%, 2/12/21
|
$ 1,009,468
|
||
1,089,041
|
AlliedBarton Security Services, Second Lien Term Loan, 8.0%, 8/13/21
|
1,088,587
|
||
119,892
|
Garda Security, Term B Delayed Draw Loan, 4.0%, 11/6/20
|
118,918
|
||
468,668
|
Garda Security, Term B Loan, 4.0%, 11/6/20
|
464,860
|
||
1,172,591
|
GEO Group, Inc., Term Loan, 3.25%, 4/3/20
|
1,168,927
|
||
2,353,781
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
2,360,033
|
||
1,779,761
|
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19
|
1,773,829
|
||
$ 7,984,622
|
||||
Total Commercial & Professional Services
|
$ 20,976,119
|
|||
CONSUMER DURABLES & APPAREL - 3.9%
|
||||
Apparel, Accessories & Luxury Goods - 0.6%
|
||||
781,075
|
Nine West Holdings, Inc., Initial Term Loan, 4.75%, 10/8/19
|
$ 739,092
|
||
1,199,908
|
Renfro Corp., Tranche B Term Loan, 5.75%, 1/30/19
|
1,187,909
|
||
$ 1,927,001
|
||||
Home Furnishings - 1.0%
|
||||
1,931,789
|
Serta Simmons Holdings LLC, Term Loan, 4.25%, 10/1/19
|
$ 1,931,656
|
||
1,153,466
|
Tempur Pedic International, Inc., Term Loan B, 3.5%, 3/18/20
|
1,153,226
|
||
$ 3,084,882
|
||||
Homebuilding - 0.1%
|
||||
1,000,000(b)(c)(d)
|
WAICCS Las Vegas 3 LLC, First Lien Term Loan, 7.75%, 7/30/09
|
$ 400,000
|
||
4,500,000(b)(c)(d)
|
WAICCS Las Vegas 3 LLC, Second Lien Term Loan, 13.25%, 7/30/09
|
22,504
|
||
$ 422,504
|
||||
Housewares & Specialties - 1.2%
|
||||
2,277,066
|
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 4.0%, 12/1/18
|
$ 2,288,026
|
||
1,570,708
|
World Kitchen LLC, U.S. Term Loan, 5.5%, 3/4/19
|
1,570,708
|
||
$ 3,858,734
|
||||
Leisure Products - 0.4%
|
||||
569,121
|
Bauer Performance Sports, Ltd., Initial Term Loan, 4.0%, 4/15/21
|
$ 569,833
|
||
600,000
|
Bombardier Recreational Products, Inc., Term B Loan, 4.0%, 1/30/19
|
595,050
|
||
$ 1,164,883
|
||||
Textiles - 0.6%
|
||||
1,715,050
|
Klockner Pentaplast of America, Inc., Term Loan B-1, 4.75%, 12/21/16
|
$ 1,721,482
|
||
Total Consumer Durables & Apparel
|
$ 12,179,486
|
|||
CONSUMER SERVICES - 10.9%
|
||||
Casinos & Gaming - 1.4%
|
||||
1,045,654
|
CityCenter Holdings LLC, Term B loan, 4.25%, 10/16/20
|
$ 1,047,289
|
||
1,470,000
|
MGM Resorts International (MGM Grand Detroit LLC), Term B Loan, 3.5%, 12/20/19
|
1,466,509
|
||
1,950,000
|
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21
|
1,949,879
|
||
$ 4,463,677
|
||||
Education Services - 2.9%
|
||||
3,458,169
|
Bright Horizons Family Solutions LLC, Term B Loan, 3.75%, 1/30/20
|
$ 3,461,412
|
||
938,463
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.25%, 5/22/18
|
935,335
|
||
1,473,425
|
Laureate Education, Inc., Series 2018 Extended Term Loan, 5.0%, 6/15/18
|
1,388,703
|
||
1,471,395
|
McGraw-Hill Global Education Holdings LLC, Term B Loan Refinancing, 5.75%, 3/22/19
|
1,479,213
|
||
1,856,250
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
1,864,371
|
||
$ 9,129,034
|
||||
Hotels, Resorts & Cruise Lines - 0.4%
|
||||
657,895
|
Hilton Worldwide Finance LLC, Initial Term Loan, 3.5%, 10/26/20
|
$ 658,409
|
||
525,000
|
NCL Corp., Ltd., Term B Loan, 4.0%, 11/19/21
|
528,390
|
||
$ 1,186,799
|
||||
Internet Software & Services - 0.3%
|
||||
977,550
|
Sabre, Inc., Term B Loan, 4.0%, 2/19/19
|
$ 978,527
|
||
Leisure Facilities - 1.4%
|
||||
850,457
|
Cedar Fair LP, U.S. Term Facility, 3.25%, 3/6/20
|
$ 854,040
|
||
2,238,750
|
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
|
2,138,006
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Leisure Facilities – (continued)
|
||||
1,499,168
|
Six Flags Theme Parks, Inc., Tranche B Term Loan, 3.5%, 12/20/18
|
$ 1,506,664
|
||
$ 4,498,710
|
||||
Restaurants - 2.7%
|
||||
1,000,000
|
Burger King Corp., Term B Loan, 4.5%, 12/10/21
|
$ 1,005,694
|
||
2,335,029
|
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
2,341,450
|
||
1,774,813
|
NPC International, Inc., 2013 Term Loan, 4.0%, 12/28/18
|
1,759,283
|
||
1,995,000
|
Red Lobster Management LLC, First Lien Initial Term Loan, 6.25%, 7/28/21
|
1,999,365
|
||
1,497,730
|
Wendy's International, Inc., Term B Loan, 3.25%, 5/15/19
|
1,496,560
|
||
$ 8,602,352
|
||||
Specialized Consumer Services - 1.8%
|
||||
2,500,000
|
Creative Artists Agency LLC, Initial Term Loan, 5.5%, 12/17/21
|
$ 2,521,875
|
||
1,492,500
|
Genex Holdings, Inc., First Lien Term B Loan, 5.25%, 5/28/21
|
1,499,963
|
||
707,883
|
Learning Care Group (US) No. 2, Inc., Term Loan, 5.5%, 5/5/21
|
712,307
|
||
1,965,000
|
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4.0%, 4/2/20
|
1,043,906
|
||
$ 5,778,051
|
||||
Total Consumer Services
|
$ 34,637,150
|
|||
DIVERSIFIED FINANCIALS - 3.6%
|
||||
Consumer Finance - 0.4%
|
||||
1,389,500
|
Trans Union LLC, First Lien Term Loan B, 4.0%, 4/9/21
|
$ 1,386,895
|
||
Investment Banking & Brokerage - 0.7%
|
||||
1,204,179
|
Duff & Phelps Corp., Initial Term Loan, 4.5%, 4/23/20
|
$ 1,198,661
|
||
740,625
|
Guggenheim Partners Investment Management Holdings LLC, Initial Term Loan, 4.25%, 7/22/20
|
742,476
|
||
105,308
|
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3.25%, 3/29/19
|
104,929
|
||
$ 2,046,066
|
||||
Other Diversified Financial Services - 2.3%
|
||||
1,411,049
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 1,413,678
|
||
325,000
|
Delos Finance, S.à r.l., Term Loan, 3.5%, 3/6/21
|
325,711
|
||
845,974
|
Fly Funding II S.a.r.l., Term Loan, 4.5%, 8/9/19
|
847,031
|
||
1,471,698
|
Harland Clarke Holdings Corp. (fka Clarke American Corp.), Tranche B-4 Term Loan, 6.0%, 8/4/19
|
1,475,148
|
||
2,019,250
|
Livingston International, Inc., First Lien Initial Term B-1 Loan, 5.0%, 4/18/19
|
1,966,244
|
||
348,246
|
Nord Anglia Education Finance LLC, Initial Term Loan, 4.5%, 3/31/21
|
347,375
|
||
787,459
|
Ship Luxco 3 S.a.r.l. (RBS Worldpay), Facility B2A, 5.25%, 11/29/19
|
789,756
|
||
$ 7,164,943
|
||||
Spcialized Finance - 0.2%
|
||||
750,000
|
DBRS Ltd., Term Loan, 5.25%, 2/25/22
|
$ 750,469
|
||
Total Diversified Financials
|
$ 11,348,373
|
|||
ENERGY - 4.3%
|
||||
Coal & Consumable Fuels - 0.2%
|
||||
222,015
|
Foresight Energy LLC, Term Loan, 5.5%, 8/21/20
|
$ 213,134
|
||
783,333
|
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/7/15
|
266,333
|
||
$ 479,467
|
||||
Integrated Oil & Gas - 0.6%
|
||||
1,450,000
|
Chief Exploration & Development LLC, Second Lien Term Loan, 7.5%, 5/16/21
|
$ 1,331,282
|
||
336,186
|
Glenn Pool Oil & Gas Trust 1, Term Loan, 4.5%, 5/2/16
|
334,505
|
||
$ 1,665,787
|
||||
Oil & Gas Drilling - 0.9%
|
||||
2,500,000
|
Jonah Energy LLC, Second Lien Initial Loan, 7.5%, 5/12/21
|
$ 2,225,000
|
||
317,568
|
Offshore Group Investment, Ltd., (Vantage Delaware Holdings LLC), Second Lien Term Loan, 5.75%, 3/28/19
|
196,892
|
||
412,902
|
Pacific Drilling SA, Term Loan, 4.5%, 6/3/18
|
329,909
|
||
$ 2,751,801
|
||||
Oil & Gas Equipment - 0.2%
|
||||
920,700
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 768,785
|
||
Oil & Gas Equipment & Services - 0.4%
|
||||
1,500,000
|
Templar Energy LLC, Second Lien New Term Loan, 8.5%, 11/25/20
|
$ 1,155,000
|
||
Oil & Gas Exploration & Production - 0.8%
|
||||
1,516,667
|
EP Energy LLC, Tranche B-3 Term Loan, 3.5%, 5/24/18
|
$ 1,468,323
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Oil & Gas Exploration & Production – (continued)
|
||||
164,204
|
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20
|
$ 126,694
|
||
890,116
|
Fieldwood Energy LLC, Closing Date Term Loan, 3.875%, 9/28/18
|
853,955
|
||
284,932
|
Samson Investment Co., Tranche 1 Second Lien Term Loan, 5.0%, 9/25/18
|
181,822
|
||
$ 2,630,794
|
||||
Oil & Gas Refining & Marketing - 1.0%
|
||||
1,567,683
|
Green Plains Processing LLC, Loan, 6.5%, 6/30/20
|
$ 1,501,057
|
||
1,278,129
|
Pilot Travel Centers LLC, Initial Tranche B Term Loan, 4.25%, 10/1/21
|
1,287,449
|
||
397,990
|
Western Refining, Inc., Term Loan 2013, 4.25%, 11/12/20
|
396,000
|
||
$ 3,184,506
|
||||
Oil & Gas Storage & Transportation - 0.2%
|
||||
696,500
|
Southcross Energy Partners LP, Initial Term Loan, 5.25%, 8/4/21
|
$ 678,652
|
||
Total Energy
|
$ 13,314,792
|
|||
FOOD & STAPLES RETAILING - 2.1%
|
||||
Drug Retail - 0.5%
|
||||
1,736,275
|
Hearthside Group Holdings LLC, Term Loan, 4.5%, 6/2/21
|
$ 1,736,275
|
||
Food Distributors - 0.8%
|
||||
2,462,523
|
Mill US Acquisition First Lien Term Loan, 5.0%, 7/3/20
|
$ 2,444,054
|
||
Food Retail - 0.8%
|
||||
1,989,987
|
Albertson's LLC, Term B-2 Loan, 5.375%, 3/21/19
|
$ 2,000,648
|
||
500,000
|
Packers Holdings LLC, Term Loan, 5.0%, 12/2/21
|
502,187
|
||
$ 2,502,835
|
||||
Total Food & Staples Retailing
|
$ 6,683,164
|
|||
FOOD, BEVERAGE & TOBACCO - 3.7%
|
||||
Packaged Foods & Meats - 3.7%
|
||||
444,225
|
AdvancePierre Foods, Inc., First Lien Term Loan, 5.75%, 7/10/17
|
$ 445,475
|
||
997,494
|
Boulder Brands, Inc. (fka Smart Balance, Inc.), Term Loan, 4.5%, 7/9/20
|
1,001,240
|
||
1,418,669
|
Del Monte Corp., Initial Term Loan, 3.5%, 3/9/20
|
1,418,315
|
||
1,000,000
|
Del Monte Foods, Inc., Second Lien Initial Loan, 8.25%, 8/18/21
|
912,500
|
||
1,163,885
|
H.J. Heinz Co., Term B-2 Loan, 3.5%, 6/5/20
|
1,167,522
|
||
1,985,000
|
New Hostess Brands Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
2,027,181
|
||
1,945,801
|
Pinnacle Foods Finance LLC, New Term Loan G, 3.0%, 4/29/20
|
1,941,423
|
||
1,243,750
|
Post Holdings, Inc., Series A Incremental Term Loan, 3.75%, 6/2/21
|
1,246,238
|
||
1,496,250
|
Shearer's Foods LLC, First Lien Term Loan, 4.5%, 6/30/21
|
1,492,509
|
||
Total Food, Beverage & Tobacco
|
$ 11,652,403
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 11.6%
|
||||
Health Care Equipment - 0.7%
|
||||
1,759,000
|
Accellent, Inc. (Medical Device/UTI), Second Lien Term Loan, 7.5%, 3/11/22
|
$ 1,671,050
|
||
700,000
|
Accellent, Inc. (Medical Device/UTI), Initial First Lien Term Loan, 4.5%, 3/12/21
|
692,344
|
||
$ 2,363,394
|
||||
Health Care Equipment & Services - 0.3%
|
||||
873,444
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18
|
$ 873,580
|
||
Health Care Facilities - 2.5%
|
||||
696,500
|
AmSurg Corp., Initial Term Loan, 3.75%, 7/16/21
|
$ 698,840
|
||
1,000,000
|
Capella Healthcare, Inc., Initial Term Loan, 5.25%, 12/31/21
|
1,005,000
|
||
804,029
|
CHS/Community Health Systems, Inc., 2021 Term D Loan, 4.25%, 1/27/21
|
807,211
|
||
301,667
|
CHS/Community Health Systems, Inc., Extended Term Loan, 3.422%, 1/25/17
|
302,068
|
||
1,588,703
|
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
|
1,593,915
|
||
1,082,816
|
Kindred Healthcare, Inc., New Term Loan, 4.25%, 4/9/21
|
1,082,365
|
||
1,562,023
|
Regionalcare Hospital Partners, Inc., First Lien Term Loan, 6.0%, 4/23/19
|
1,568,856
|
||
439,005
|
Select Medical Corp., Series Tranche B Term Loan, 3.75%, 6/1/18
|
439,554
|
||
491,250
|
United Surgical Partners International, Inc., New Tranche B Term Loan, 4.75%, 4/3/19
|
491,170
|
||
$ 7,988,979
|
||||
Health Care Services - 5.2%
|
||||
607,399
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 577,029
|
||
541,752
|
Alliance Healthcare Services, Inc., Initial Term Loan, 4.25%, 6/3/19
|
539,890
|
||
724,272
|
Ardent Medical Services, Inc., First Lien Term Loan, 6.75%, 7/2/18
|
727,101
|
||
375,000
|
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20
|
375,469
|
||
625,000
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
625,781
|
||
Principal
Amount
USD ($)
|
Value
|
|||
Health Care Services – (continued)
|
||||
865,683
|
BSN Medical Luxembourg Holding, S.a.r.l. (P & F Capital), Facility Term Loan B-1A, 4.0%, 8/28/19
|
$ 863,880
|
||
1,062,741(e)
|
CCS Medical, Inc., Second Lien Term Loan, 12.5%, (7.0% PIK 5.25% cash), 3/31/16
|
185,980
|
||
884,539
|
DaVita HealthCare Partners, Inc., Term Loan B2, 3.5%, 6/24/21
|
887,777
|
||
1,176,120
|
Emergency Medical Services Corp., Initial Term Loan, 4.0%, 5/25/18
|
1,176,488
|
||
1,262,956
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
|
1,255,221
|
||
395,015
|
National Surgical Hospitals, Inc., Term Loan, 5.25%, 8/1/19
|
393,040
|
||
698,250
|
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
|
699,123
|
||
1,854,640(e)
|
Rural/Metro Operating Co., LLC, First Lien Term Loan, 9.0%, (1.0% PIK 8.0% cash), 6/30/18
|
1,757,271
|
||
997,500
|
Sterigenics Holding Corp., Initial Term Loan, 4.5%, 8/6/21
|
996,669
|
||
1,231,250
|
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
|
1,225,463
|
||
1,000,000
|
Surgery Center Holdings, Inc., Initial Term Loan, 5.25%, 11/3/20
|
993,750
|
||
1,430,514
|
U.S. Renal Care, Inc., Tranche First Lien B-2 Term Loan, 4.25%, 7/3/19
|
1,430,514
|
||
606,912
|
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17
|
591,739
|
||
1,629,720(c)
|
Virtual Radiologic Corp., Term Loan A, 7.25%, 12/22/16
|
1,267,107
|
||
$ 16,569,292
|
||||
Health Care Supplies - 0.7%
|
||||
554,101
|
Alere, Inc., Term Loan B, 4.25%, 6/30/17
|
$ 555,919
|
||
547,059
|
Biomet, Inc., Dollar Term B Loan, 3.172%, 3/25/15
|
547,231
|
||
500,000
|
Halyard Health, Inc., Term Loan, 4.0%, 11/1/21
|
504,452
|
||
629,570
|
Immucor, Inc. (fka IVD Acquisition Corp.), Term B-2 Loan, 5.0%, 8/19/18
|
629,570
|
||
$ 2,237,172
|
||||
Health Care Technology - 1.9%
|
||||
1,188,536
|
ConvaTec, Inc., Dollar Term Loan, 4.0%, 12/22/16
|
$ 1,194,479
|
||
2,066,431
|
Emdeon, Inc., Term B-2 Loan, 3.75%, 11/2/18
|
2,066,861
|
||
199,500
|
Emdeon, Inc., Term B-3 Loan, 3.75%, 11/2/18
|
199,126
|
||
462,417
|
MedAssets, Inc., Term B Loan, 4.0%, 12/13/19
|
460,821
|
||
982,846
|
Medical Card System, Inc., Term Loan, 11.33%, 3/17/17
|
943,533
|
||
1,105,397
|
Truven Health Analytics, Inc., Tranche B Term Loan, 4.5%, 6/6/19
|
1,089,507
|
||
$ 5,954,327
|
||||
Managed Health Care - 0.3%
|
||||
475,563
|
MMM Holdings, Inc., MMM Term Loan, 9.75%, 12/12/17
|
$ 476,157
|
||
345,740
|
MSO of Puerto Rico, Inc., Term Loan, 9.75%, 12/12/17
|
342,283
|
||
$ 818,440
|
||||
Total Health Care Equipment & Services
|
$ 36,805,184
|
|||
HOUSEHOLD & PERSONAL PRODUCTS - 3.7%
|
||||
Household Products - 2.4%
|
||||
2,000,000
|
Dollar Tree, Inc., Term Loan B, 5.5%, 1/26/22
|
$ 2,016,964
|
||
215,086
|
Polarpak, Inc., Term Loan, 4.5%, 6/7/20
|
214,011
|
||
1,476,806
|
Spectrum Brands, Inc., Tranche C Term Loan, 3.5%, 9/4/19
|
1,477,914
|
||
1,475,961
|
SRAM LLC, First Lien Term Loan, 4.02%, 4/10/20
|
1,475,961
|
||
412,530
|
Waddington North America, Inc., Term Loan 2013, 4.5%, 6/7/20
|
410,467
|
||
1,862,520
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19
|
1,841,566
|
||
$ 7,436,883
|
||||
Personal Products - 1.3%
|
||||
2,094,571
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
$ 2,068,389
|
||
739,530
|
Party City Holdings, Inc., 2014 Replacement Term Loan, 4.0%, 7/27/19
|
735,832
|
||
905,507
|
Prestige Brands, Inc., Term B-1 Loan, 4.125%, 1/31/19
|
906,639
|
||
442,014
|
Prestige Brands, Inc., Term B-2 Loan, 4.5%, 9/3/21
|
443,230
|
||
$ 4,154,090
|
||||
Total Household & Personal Products
|
$ 11,590,973
|
|||
INSURANCE - 2.7%
|
||||
Insurance Brokers - 0.3%
|
||||
997,500
|
National Financial Partners Corp., 2014 Specified Refinancing Term Loan, 4.5%, 7/1/20
|
$ 991,016
|
||
Life & Health Insurance - 0.3%
|
||||
919,698
|
CNO Financial Group, Inc., Tranche B-2 Term Loan, 3.75%, 9/28/18
|
$ 916,526
|
||
Multi-Line Insurance - 0.7%
|
||||
1,219,586
|
Alliant Holdings I LLC, Initial Term Loan, 5.0%, 12/20/19
|
$ 1,219,586
|
||
990,000
|
Hyperion Finance S.a.r.l., Term Loan, 5.75%, 10/17/19
|
986,906
|
||
$ 2,206,492
|
||||
Principal
Amount
USD ($)
|
Value
|
|||
Property & Casualty Insurance - 1.4%
|
||||
2,424,181
|
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18
|
$ 2,421,655
|
||
1,935,685
|
USI, Inc., 2013 Initial Term Loan, 4.25%, 12/27/19
|
1,922,377
|
||
$ 4,344,032
|
||||
Total Insurance
|
$ 8,458,066
|
|||
MATERIALS - 16.3%
|
||||
Aluminum - 1.7%
|
||||
1,346,913
|
Noranda Aluminum Acquisition Corp., Term Loan B, 5.75%, 2/28/19
|
$ 1,273,954
|
||
2,160,083
|
Novelis, Inc., Initial Term Loan, 3.75%, 3/10/17
|
2,161,209
|
||
1,881,000
|
Turbocombustor Technology, Inc., Initial Term Loan, 5.5%, 12/2/20
|
1,883,351
|
||
$ 5,318,514
|
||||
Commodity Chemicals - 2.0%
|
||||
635,000
|
Axiall Holdco, Inc., Term Loan B, 3.25%, 2/25/22
|
$ 638,175
|
||
1,868,493
|
AZ Chem US, Inc., First Lien Initial Term Loan, 4.5%, 6/11/21
|
1,870,829
|
||
1,000,000
|
Citadel Plastics Holdings, Inc., Second Lien Term Loan, 9.0%, 11/5/21
|
995,000
|
||
214,000
|
Citadel Plastics Holdings, Inc., Term Loan B, 5.25%, 11/5/20
|
215,070
|
||
1,650,000
|
Eco Services Operations LLC, First Lien Term Loan, 4.75%, 12/1/21
|
1,656,187
|
||
811,682
|
Tronox Pigments (Netherlands) B.V., Closing Date Term Loan, 4.0%, 3/19/20
|
812,291
|
||
$ 6,187,552
|
||||
Construction Materials - 0.2%
|
||||
598,500
|
Penn Engineering & Manufacturing Corp., Tranche B Term Loan, 4.5%, 8/30/21
|
$ 598,002
|
||
Diversified Chemicals - 1.9%
|
||||
1,779,242
|
Axalta Coating Systems Dutch Holding B B.V. & Axalta Coating Systems U.S. Holdings, Inc., Refinanced Term B Loan, 3.75%, 2/1/20
|
$ 1,769,728
|
||
1,828,750
|
Nexeo Solutions LLC, Initial Term Loan, 5.0%, 9/8/17
|
1,792,175
|
||
698,250
|
Orion Engineered Carbons GmbH (OEC Finance US LLC), Initial Dollar Term Loan, 5.0%, 7/25/21
|
702,323
|
||
270,431
|
Oxea Finance & Cy S.C.A. (Oxea Finance LLC), First Lien Tranche B-2 Term Loan, 4.25%, 1/15/20
|
262,994
|
||
309,735
|
Royal Adhesives and Sealants LLC, First Lien Term B Loan, 5.5%, 7/31/18
|
311,283
|
||
1,325,700
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
1,319,072
|
||
$ 6,157,575
|
||||
Diversified Metals & Mining - 2.1%
|
||||
2,175,000
|
Chemstralia Pty Ltd (Chemstralia Finco LLC), Initial Term Loan, 6.25%, 2/28/22
|
$ 2,131,500
|
||
2,934,100
|
FMG Resources (August 2006) Pty, Ltd. (FMG America Finance, Inc.), Term Loan, 3.75%, 6/30/19
|
2,725,045
|
||
992,500
|
Hi-Crush Partners LP Advance, 4.75%, 4/28/21
|
947,838
|
||
1,013,565
|
U.S. Silica Co., Term Loan, 4.0%, 7/23/20
|
957,819
|
||
$ 6,762,202
|
||||
Metal & Glass Containers - 1.2%
|
||||
1,159,175
|
BWay Intermediate Co., Inc., Initial Term Loan, 5.5%, 8/14/20
|
$ 1,165,151
|
||
1,400,000
|
Crown Americas LLC, Term Loan B Facility, 4.0%, 10/22/21
|
1,415,641
|
||
1,358,620
|
Tank Holding Corp., Initial Term Loan, 4.25%, 7/9/19
|
1,342,769
|
||
$ 3,923,561
|
||||
Paper Packaging - 1.1%
|
||||
1,350,000
|
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
|
$ 1,323,000
|
||
163,286
|
Caraustar Industries, Inc., Term Loan, 8.0%, 5/1/19
|
160,021
|
||
1,225,000
|
Onex Wizard Acquisition Co. I S.a r.l. (aka SIG Combibloc Group), Term Loan, 5.25%, 2/3/22
|
1,235,829
|
||
824,918
|
Pro Mach Group, Inc., First Lien Dollar Term Loan, 5.5%, 10/22/21
|
830,074
|
||
$ 3,548,924
|
||||
Paper Products - 2.6%
|
||||
3,447,500
|
Appvion, Inc., Term Commitment, 5.75%, 6/28/19
|
$ 3,382,859
|
||
598,950
|
Exopack Holdings SA, USD Term Loan, 5.25%, 5/8/19
|
602,319
|
||
214,463
|
Ranpak Corp., First Lien USD Term Loan, 4.75%, 10/1/21
|
215,133
|
||
500,000
|
Ranpak Corp., Second Lien Initial Term Loan, 8.25%, 10/3/22
|
499,375
|
||
3,482,500
|
Wausau Paper Corp., Term Loan, 6.5%, 7/30/20
|
3,491,206
|
||
$ 8,190,892
|
||||
Specialty Chemicals - 2.0%
|
||||
716,448
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 717,194
|
||
1,795,500
|
Ferro Corp., Term Loan, 4.0%, 7/30/21
|
1,783,156
|
||
151,603
|
Huntsman International LLC, Extended Term B Loan, 2.712%, 4/19/17
|
151,555
|
Principal
Amount
USD ($)
|
Value
|
|||
Specialty Chemicals (continued)
|
||||
600,000
|
Macdermid, Inc., Tranche B-2 Term Loan, 4.75%, 6/7/20
|
$ 604,800
|
||
997,468
|
Macdermid, Inc., First Lien Tranche B Term Loan, 4.5%, 6/7/20
|
1,002,830
|
||
1,960,000
|
PQ Corp., 2014 Term Loan, 4.0%, 8/7/17
|
1,956,190
|
||
$ 6,215,725
|
||||
Steel - 1.5%
|
||||
2,015,685
|
Atkore International, Inc., First Lien Initial Term Loan, 4.5%, 4/9/21
|
$ 1,955,215
|
||
1,371,563
|
Essar Steel Algoma, Inc., Initial Term Loan, 7.5%, 8/16/19
|
1,334,987
|
||
873,815
|
JMC Steel Group, Inc., Term Loan, 4.75%, 4/1/17
|
869,082
|
||
671,055
|
TMS International Corp., Term B Loan, 4.5%, 10/16/20
|
637,502
|
||
$ 4,796,786
|
||||
Total Materials
|
$ 51,699,733
|
|||
MEDIA - 14.4%
|
||||
Advertising - 2.2%
|
||||
1,241,827
|
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 4.25%, 7/23/21
|
$ 1,237,280
|
||
3,088,784
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
2,951,720
|
||
2,009,000
|
Crossmark Holdings, Inc., First Lien Term Loan, 4.5%, 12/20/19
|
1,970,494
|
||
1,147,202
|
Getty Images, Inc., New Initial Term Loan, 4.75%, 10/18/19
|
997,755
|
||
$ 7,157,249
|
||||
Broadcasting - 4.0%
|
||||
414,700
|
CBS Outdoor Americas Capital LLC (CBS Outdoor Americas Capital Corp.), Term Loan, 3.0%, 1/31/21
|
$ 412,691
|
||
636,800
|
Checkout Holding Corp., First Lien Term B Loan, 4.5%, 4/9/21
|
612,124
|
||
1,000,000
|
Checkout Holding Corp., Second Lien Initial Loan, 7.75%, 4/11/22
|
907,500
|
||
301,715
|
Entercom Radio LLC, Term B-2 Loan, 4.0%, 11/23/18
|
302,092
|
||
532,752
|
Gray Television, Inc., Initial Term Loan, 3.75%, 6/13/21
|
532,197
|
||
924,496
|
Hubbard Radio LLC, First Lien Term Loan, 4.5%, 4/29/19
|
927,963
|
||
1,891,200
|
MCC Iowa LLC, Tranche H Term Loan, 3.25%, 1/29/21
|
1,882,926
|
||
2,119,759
|
NEP/NCP Holdco, Inc., Incremental First Lien Term Loan, 4.25%, 1/22/20
|
2,042,917
|
||
867,667
|
Salem Communications Corp., Term Loan, 4.5%, 3/13/20
|
863,871
|
||
1,000,000
|
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 3.5%, 7/30/21
|
996,500
|
||
1,023,391
|
Sinclair Television Group, Inc., Tranche B Term Loan, 3.0%, 4/9/20
|
1,010,385
|
||
2,167,841
|
Univision Communications, Inc., First-Lien Term Loan, 4.0%, 3/1/20
|
2,165,301
|
||
$ 12,656,467
|
||||
Cable & Satellite - 5.4%
|
||||
2,565,838
|
Cequel Communications LLC, Term Loan, 3.5%, 2/14/19
|
$ 2,569,849
|
||
2,014,325
|
Charter Communications Operating LLC, Term F Loan, 3.0%, 1/3/21
|
2,007,051
|
||
2,693,250
|
Endemol, Term Loan, 6.75%, 8/13/21
|
2,679,784
|
||
248,750
|
Learfield Communications, Inc., First Lien 2014 Replacement Term Loan, 4.5%, 10/9/20
|
249,061
|
||
685,000
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
685,428
|
||
1,710,625
|
MCC Iowa LLC, Tranche G Term Loan, 4.0%, 1/20/20
|
1,709,556
|
||
3,415,377
|
Telesat Canada, U.S. Term B-2 Loan, 3.5%, 3/28/19
|
3,416,060
|
||
1,660,000
|
Virgin Media Investment Holdings, Ltd., New Term Loan B, 3.5%, 6/7/20
|
1,658,574
|
||
2,208,110
|
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19
|
2,213,079
|
||
$ 17,188,442
|
||||
Movies & Entertainment - 1.8%
|
||||
1,166,815
|
AMC Entertainment, Inc., Initial Term Loan, 3.5%, 4/30/20
|
$ 1,166,815
|
||
535,239
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
535,908
|
||
882,353
|
Kasima LLC, Term Loan, 3.25%, 5/17/21
|
875,184
|
||
1,083,500
|
Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.5%, 5/14/20
|
1,072,665
|
||
2,036,719
|
WMG Acquisitions Corp., Tranche B Refinancing Term Loan, 3.75%, 7/1/20
|
2,001,585
|
||
$ 5,652,157
|
||||
Publishing - 1.0%
|
||||
1,393,634
|
Cengage Learning Acquisitions, Inc. (fka TL Acquisitions, Inc.), Term Loan, 7.0%, 3/31/20
|
$ 1,395,028
|
||
534,599
|
Interactive Data Corp., Term Loan, 4.75%, 5/2/21
|
536,937
|
Principal
Amount
USD ($)
|
Value
|
|||
Publishing (continued)
|
||||
315,020
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
$ 316,595
|
||
806,678
|
MTL Publishing LLC, Term Loan B, 3.75%, 6/29/18
|
805,771
|
||
$ 3,054,331
|
||||
Total Media
|
$ 45,708,646
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.6%
|
||||
Biotechnology - 0.3%
|
||||
921,361
|
Alkermes, Inc., 2019 Term Loan, 3.5%, 9/25/19
|
$ 917,522
|
||
Pharmaceuticals - 2.3%
|
||||
3,641,366(e)
|
Graceway Pharmaceuticals LLC, Mezzanine Term Loan, 14.0%, (14.0% PIK 0.00% cash), 11/3/13
|
$ 10,243
|
||
1,228,725
|
Harvard Drug Group LLC Term Loan, 5.0%, 8/16/20
|
1,223,605
|
||
1,460,610
|
Par Pharmaceutical, Inc., Term B-2 Loan, 4.0%, 9/30/19
|
1,456,046
|
||
1,069,625
|
Patheon, Inc., Term Loan, 4.25%, 3/11/21
|
1,062,271
|
||
974,864
|
Pharmedium Healthcare Corp., First Lien Initial Term Loan, 4.25%, 1/28/21
|
965,116
|
||
950,000
|
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/2/20
|
950,683
|
||
852,793
|
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 3.5%, 12/11/19
|
852,261
|
||
639,595
|
Valeant Pharmaceuticals International, Inc., Series D-2 Term Loan B, 3.5%, 2/13/19
|
639,195
|
||
$ 7,159,420
|
||||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 8,076,942
|
|||
REAL ESTATE - 1.5%
|
||||
Real Estate Services - 0.9%
|
||||
2,015,830
|
Altisource Solutions, S.a.r.l, Term Loan B, 4.5%, 12/9/20
|
$ 1,612,664
|
||
1,422,354
|
GCA Services Group, Inc., First Lien Term Loan, 4.29%, 11/1/19
|
1,415,243
|
||
$ 3,027,907
|
||||
Retail REITs - 0.6%
|
||||
776,161
|
DTZ U.S. Borrower LLC, Delayed Draw Term Loan, 5.5%, 11/4/21
|
$ 780,526
|
||
1,000,000
|
DTZ U.S. Borrower LLC, Second Lien Initial Term Loan, 9.25%, 11/4/22
|
1,001,875
|
||
$ 1,782,401
|
||||
Total Real Estate
|
$ 4,810,308
|
|||
RETAILING - 2.5%
|
||||
Apparel Retail - 0.4%
|
||||
1,243,750
|
Men's Wearhouse, Inc., Term Loan B, 4.5%, 6/18/21
|
$ 1,253,451
|
||
Automotive Retail - 0.8%
|
||||
1,571,178
|
Camping World Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 1,578,053
|
||
980,000
|
Hertz Corp., Tranche B-1 Term Loan, 4.0%, 3/11/18
|
979,694
|
||
$ 2,557,747
|
||||
Computer & Electronics Retail - 0.5%
|
||||
198,500
|
Rent-A-Center, Inc., 2014 Term Loan, 3.75%, 3/19/21
|
$ 194,530
|
||
1,545,315
|
Targus Group International, Inc., Term Loan, 14.75%, 5/24/16
|
1,259,431
|
||
$ 1,453,961
|
||||
Home Improvement Retail - 0.2%
|
||||
736,875
|
Apex Tool Group LLC, Term Loan, 4.5%, 1/31/20
|
$ 721,830
|
||
Specialty Stores - 0.6%
|
||||
2,000,000
|
PetSmart, Inc., Term Loan B, 5.0%, 2/18/22
|
$ 2,015,764
|
||
Total Retailing
|
$ 8,002,753
|
|||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.3%
|
||||
Semiconductor Equipment - 0.4%
|
||||
791,036
|
Entegris, Inc., Tranche B Term Loan, 3.5%, 4/30/21
|
$ 786,092
|
||
500,000
|
VAT Lux III S.a.r.l. (fka Polyusus Lux 2 S.a.r.l.), Initial Term Loan, 4.75%, 2/11/21
|
496,460
|
||
$ 1,282,552
|
||||
Semiconductors - 0.9%
|
||||
1,769,278
|
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan, 4.5%, 5/7/21
|
$ 1,788,077
|
||
929,329
|
Microsemi Corp., Term Loan, 3.25%, 2/19/20
|
927,198
|
||
$ 2,715,275
|
||||
Total Semiconductors & Semiconductor Equipment
|
$ 3,997,827
|
|||
SOFTWARE & SERVICES - 9.1%
|
||||
Application Software - 3.7%
|
||||
1,027,651
|
Applied Systems, Inc., First Lien Term Loan, 4.25%, 1/25/21
|
$ 1,025,981
|
||
238,505
|
DealerTrack Technologies, Inc., Term Loan, 3.25%, 2/28/21
|
237,859
|
||
987,500
|
Epiq Systems, Inc., Term Loan, 4.5%, 8/27/20
|
985,031
|
Principal
Amount
USD ($)
|
Value
|
|||
Application Software (continued)
|
||||
1,125,183
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
$ 1,126,941
|
||
1,053,113
|
Infor (U.S.), Inc., Tranche B-5 Term Loan, 3.75%, 6/3/20
|
1,045,873
|
||
1,522,827
|
Nuance Communications, Inc., Term Loan C, 2.93%, 8/7/19
|
1,509,883
|
||
1,291,875
|
Serena Software, Inc., Term Loan, 7.5%, 4/14/20
|
1,293,490
|
||
1,411,935
|
Verint Systems, Inc., Tranche B Incremental Term Loan, 3.5%, 9/6/19
|
1,411,229
|
||
1,000,000
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17
|
1,009,063
|
||
1,845,991
|
Vertafore, Inc., Term Loan, 4.25%, 10/3/19
|
1,846,183
|
||
$ 11,491,533
|
||||
Data Processing & Outsourced Services - 0.6%
|
||||
1,000,000
|
First Data Corp., 2018 B Second New Term Loan, 3.672%, 9/24/18
|
$ 999,625
|
||
802,493
|
First Data Corp., 2018 Dollar Term Loan, 3.672%, 3/23/18
|
802,243
|
||
$ 1,801,868
|
||||
Home Entertainment Software - 0.4%
|
||||
1,435,000
|
MA Financeco LLC, Initial Tranche B Term Loan, 5.25%, 11/19/21
|
$ 1,416,464
|
||
Internet Software & Services - 0.5%
|
||||
1,245,096
|
Vocus Valor Companies, Inc., First Lien Initial Term Loan, 6.0%, 5/30/21
|
$ 1,229,533
|
||
496,187
|
Zayo Group LLC (Zayo Capital, Inc.), Term Loan, 4.0%, 7/2/19
|
496,769
|
||
$ 1,726,302
|
||||
IT Consulting & Other Services - 2.7%
|
||||
1,641,341
|
Booz Allen Hamilton, Inc., Initial Tranche B Term Loan, 3.75%, 7/31/19
|
$ 1,646,812
|
||
1,421,985
|
Deltek, Inc., First Lien Term Loan, 4.5%, 10/10/18
|
1,422,578
|
||
3,482,500
|
Evergreen Skills Lux S.a r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
|
3,440,710
|
||
485,637
|
Kronos, Inc., First Lien Incremental Term Loan, 4.5%, 10/30/19
|
487,003
|
||
1,687,991
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.924%, 2/28/17
|
1,690,438
|
||
$ 8,687,541
|
||||
Systems Software - 1.2%
|
||||
1,250,000
|
AVG Technologies N.V. (AVG Corporate Services B.V.), Term Loan, 5.75%, 10/15/20
|
$ 1,242,969
|
||
1,268,625
|
MSC.Software Corp., Term Loan, 5.0%, 5/29/20
|
1,272,589
|
||
1,264,113
|
Rovi Solutions Corp., Term B Loan, 3.75%, 7/2/21
|
1,254,632
|
||
$ 3,770,190
|
||||
Total Software & Services
|
$ 28,893,898
|
|||
TECHNOLOGY HARDWARE & EQUIPMENT - 2.4%
|
||||
Communications Equipment - 0.2%
|
||||
689,788
|
Audio Visual Services Group, Inc., First Lien Term Loan, 4.5%, 1/25/21
|
$ 690,650
|
||
Electronic Components - 1.3%
|
||||
1,205,200
|
Generac Power Systems, Inc., Term Loan, 3.25%, 5/31/20
|
$ 1,198,170
|
||
1,225,000
|
Mirion Technologies (GDS), Inc. (fka Global Dosimetry Solutions, Inc.), Term Loan, 5.75%, 1/26/22
|
1,226,537
|
||
1,578,455
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
1,570,563
|
||
$ 3,995,270
|
||||
Electronic Equipment & Instruments - 0.3%
|
||||
972,256
|
Sensus USA, Inc., Term Loan, 4.5%, 5/9/17
|
$ 974,687
|
||
Electronic Manufacturing Services - 0.6%
|
||||
1,935,150
|
4L Technologies, Inc. (fka Clover Holdings, Inc.), Term Loan, 5.5%, 5/8/20
|
$ 1,887,981
|
||
Total Technology Hardware & Equipment
|
$ 7,548,588
|
|||
TELECOMMUNICATION SERVICES - 3.3%
|
||||
Integrated Telecommunication Services - 2.1%
|
||||
1,250,000
|
GCI Holdings, Inc., Term B Loan, 4.75%, 2/2/22
|
$ 1,254,163
|
||
1,000,000
|
Level 3 Financing, Inc., Tranche B 2022 Term Loan, 4.5%, 1/31/22
|
1,006,042
|
||
1,852,802
|
Securus Technologies Holdings, Inc., Initial First Lien Term Loan, 4.75%, 4/30/20
|
1,834,274
|
||
1,406,212
|
West Corp., Term B-10 Loan, 3.25%, 6/30/18
|
1,404,673
|
||
1,225,000
|
Windstream Corp., Tranche B-4 Term Loan, 3.5%, 1/23/20
|
1,222,594
|
||
$ 6,721,746
|
Principal
Amount
USD ($)
|
Value
|
|||
Wireless Telecommunication Services - 1.2%
|
||||
300,000
|
Altice Financing SA, Dollar Denominated Tranche Loan, 4.25%, 1/28/22
|
$ 302,719
|
||
1,431,188
|
Crown Castle Operating Co., Extended Incremental Tranche B-2 Term Loan, 3.0%, 1/31/21
|
1,428,683
|
||
1,895,657
|
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
|
1,865,643
|
||
$ 3,597,045
|
||||
Total Telecommunication Services
|
$ 10,318,791
|
|||
TRANSPORTATION - 6.2%
|
||||
Air Freight & Logistics - 1.3%
|
||||
1,482,775
|
Air Medical Group Holdings, Inc., Term Loan B-1, 5.0%, 6/30/18
|
$ 1,487,409
|
||
1,734,777
|
Dematic Corp., New Incremental Term Loan, 4.25%, 12/28/19
|
1,725,742
|
||
1,049,025
|
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19
|
1,050,337
|
||
$ 4,263,488
|
||||
Airlines - 3.0%
|
||||
2,955,000
|
American Airlines, Inc., Class B Term Loan, 3.75%, 6/27/19
|
$ 2,955,615
|
||
245,625
|
Continental Airlines, Inc., (United Air Lines, Inc.), Class B Term Loan, 3.5%, 4/1/19
|
244,796
|
||
1,470,000
|
Delta Air Lines, Inc., 2014 Term B-1 Loan, 3.25%, 10/18/18
|
1,471,838
|
||
1,302,750
|
Delta Air Lines, Inc., Term Loan, 3.25%, 4/20/17
|
1,304,476
|
||
1,280,813
|
U.S. Airways, Inc., Tranche B-1 Term Loan, 3.5%, 5/23/19
|
1,276,810
|
||
2,134,688
|
U.S. Airways, Inc., Tranche B-2 Term Loan, 3.0%, 11/23/16
|
2,133,020
|
||
$ 9,386,555
|
||||
Leisure Products - 0.1%
|
||||
420,469
|
Marine Acquisition Corp., Term Loan, 5.25%, 1/30/21
|
$ 422,045
|
||
Marine - 0.6%
|
||||
982,500
|
Commercial Barge Line Co., Initial First Lien Term Loan, 7.5%, 9/22/19
|
$ 983,728
|
||
1,000,000
|
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
|
1,001,875
|
||
$ 1,985,603
|
||||
Trucking - 1.2%
|
||||
995,000
|
Aegis Toxicology Sciences Corp., Initial First Lien Term Loan, 5.5%, 2/24/21
|
$ 999,975
|
||
410,000
|
PODS LLC, Initial First lien Term Loan, 5.25%, 2/2/22
|
413,588
|
||
803,367
|
Swift Transportation Co., LLC, Tranche B-2 Term Loan, 3.75%, 6/9/21
|
803,744
|
||
792,000
|
Syncreon Global Finance, Inc., Term Loan, 5.25%, 10/28/20
|
782,100
|
||
643,500
|
YRC Worldwide, Inc., Initial Term Loan, 8.25%, 2/13/19
|
640,282
|
||
$ 3,639,689
|
||||
Total Transportation
|
$ 19,697,380
|
|||
UTILITIES - 4.9%
|
||||
Electric Utilities - 2.8%
|
||||
1,179,489
|
Atlantic Power Limited Partnership, Term Loan, 4.75%, 2/24/21
|
$ 1,185,387
|
||
678,770
|
Bayonne Energy Center LLC, (Bayonne Energy Center Urban Renewal LLC) Term B Advance, 5.0%, 8/19/21
|
678,982
|
||
2,216,250
|
Calpine Construction Finance Co., LP, Term B-1 Loan, 3.0%, 5/3/20
|
2,192,702
|
||
844,687
|
ExGen Renewables LLC, Term Loan, 5.25%, 2/6/21
|
853,134
|
||
1,000,000
|
Southeast PowerGen LLC, Term Loan B, 4.5%, 12/2/21
|
1,010,625
|
||
1,110,839
|
Star West Generation LLC, Term B Advance, 4.25%, 3/13/20
|
1,105,285
|
||
2,000,000
|
Terra-Gen Finance Co., LLC, Term Loan B, 5.25%, 12/9/21
|
1,985,000
|
||
$ 9,011,115
|
||||
Independent Power Producers & Energy Traders - 1.4%
|
||||
1,660,313
|
Calpine Corp., Term Loan, 4.0%, 4/1/18
|
$ 1,661,558
|
||
488,750
|
Calpine Corp., Term Loan, 4.0%, 10/9/19
|
489,514
|
||
1,060,769
|
Dynegy, Inc., Tranche B-2 Term Loan, 4.0%, 4/23/20
|
1,058,412
|
||
1,223,163
|
NRG Energy, Inc., 2013 Term Loan, 2.75%, 7/1/18
|
1,223,068
|
||
$ 4,432,552
|
||||
Water Utilities - 0.7%
|
||||
1,481,250
|
Synagro Technologies, Term Loan, 6.25%, 8/22/20
|
$ 1,457,179
|
||
858,000
|
WTG Holdings III Corp., First Lien Term Loan, 4.75%, 1/15/21
|
854,783
|
||
$ 2,311,962
|
||||
Total Utilities
|
$ 15,755,629
|
|||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
||||
(Cost $460,573,731)
|
$ 447,426,873
|
Principal
Amount
USD ($)
|
Value
|
|||
COLLATERALIZED LOAN OBLIGATIONS - 2.4% of Net Assets
|
||||
BANKS - 2.7%
|
||||
Diversified Banks - 0.9%
|
||||
1,000,000(a)(c)
|
Primus, Ltd., Series 2007-2A, Class D, 2.653%, 7/15/21 (144A)
|
$ 929,080
|
||
1,000,000(a)(c)
|
Rampart, Ltd., Series 2006-1A, Class D, 3.807%, 4/18/21 (144A)
|
974,109
|
||
951,289(a)(c)
|
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 4.761%, 2/27/21 (144A)
|
909,950
|
||
$ 2,813,139
|
||||
Thrifts & Mortgage Finance - 1.8%
|
||||
1,000,000(a)(c)
|
ACA, Ltd., Series 2007-1A, Class D, 2.603%, 6/15/22 (144A)
|
$ 947,075
|
||
1,000,000(a)(c)
|
Goldman Sachs Asset Management Plc, Series 2007-1A, Class D, 3.005%, 8/1/22 (144A)
|
986,256
|
||
1,000,000(a)(c)
|
Gulf Stream - Sextant, Ltd., Series 2007-1A, Class D, 2.643%, 6/17/21 (144A)
|
975,588
|
||
1,000,000(a)(c)
|
Landmark CDO, Ltd., Series 2007-9A, Class E, 3.753%, 4/15/21 (144A)
|
942,170
|
||
2,000,000(a)(c)
|
Stone Tower, Ltd., Series 2007-6A, Class C, 1.607%, 4/17/21 (144A)
|
1,915,428
|
||
$ 5,766,517
|
||||
Total Banks
|
$ 8,579,656
|
|||
TOTAL COLLATERALIZED LOAN OBLIGATIONS
|
||||
(Cost $7,707,177)
|
$ 8,579,656
|
|||
CORPORATE BONDS & NOTES - 1.2% of Net Assets
|
||||
DIVERSIFIED FINANCIALS - 0.2%
|
||||
Other Diversified Financial Services - 0.2%
|
||||
500,000(a)
|
Vita Capital V, Ltd., 2.758%, 1/15/17 (144A)
|
$ 507,800
|
||
Total Diversified Financials
|
$ 507,800
|
|||
ENERGY - 0.0%†
|
||||
Oil & Gas Drilling - 0.0%†
|
||||
250,000
|
Offshore Group Investment, Ltd., 7.5%, 11/1/19
|
$ 160,000
|
||
Total Energy
|
$ 160,000
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 0.3%
|
||||
Health Care Equipment & Services - 0.3%
|
||||
903,000
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 963,953
|
||
Total Health Care Equipment & Services
|
$ 963,953
|
|||
INSURANCE - 0.7%
|
||||
Reinsurance - 0.7%
|
||||
250,000(a)
|
Atlas Reinsurance VII, Ltd., 8.125%, 1/7/16 (144A) (Cat Bond)
|
$ 255,225
|
||
250,000(a)
|
East Lane Re V, Ltd., 9.01%, 3/16/16 (144A) (Cat Bond)
|
262,550
|
||
548,100(c)
|
Exeter Segregated Account (Kane Sac Ltd.), Variable Rate Notes, 1/7/16
|
549,470
|
||
266,800(c)
|
Muirfield Segregated Account (Kane Sac Ltd.), Variable Rate Notes, 1/12/16
|
267,200
|
||
250,000(a)
|
Mystic Re, Ltd., 9.01%, 3/12/15 (144A) (Cat Bond)
|
250,300
|
||
250,000(a)
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.557%, 1/5/17 (144A) (Cat Bond)
|
263,950
|
||
275,300(c)
|
Troon Segregated Account (Kane Sac Ltd.), Variable Rate Notes, 1/12/16
|
275,603
|
||
250,000(a)
|
Queen Street VII Re, Ltd., 8.61%, 4/8/16 (144A) (Cat Bond)
|
258,275
|
||
Total Insurance
|
$ 2,382,573
|
|||
TOTAL CORPORATE BONDS & NOTES
|
||||
(Cost $3,993,200)
|
$ 4,014,326
|
|||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.9% of Net Assets
|
||||
1,405,000(a)
|
U.S. Treasury Notes, 0.09%, 7/31/16
|
$ 1,404,923
|
||
1,405,000(a)
|
U.S. Treasury Notes, 0.065%, 1/31/16
|
1,404,967
|
||
$ 2,809,890
|
||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
||||
(Cost $2,810,697)
|
$ 2,809,890
|
|||
EXCHANGE-TRADED FUND - 0.3% of Net Assets
|
||||
DIVERSIFIED FINANCIALS - 0.3%
|
||||
Other Diversified Financial Services - 0.3%
|
||||
42,000
|
PowerShares Senior Loan Portfolio
|
$ 1,015,980
|
||
Total Diversified Financials
|
$ 1,015,980
|
|||
TOTAL EXCHANGE-TRADED FUND
|
||||
(Cost $1,009,260)
|
$ 1,015,980
|
|||
Shares
|
Value
|
|||
COMMON STOCKS - 0.3% of Net Assets
|
||||
INDUSTRIALS - 0.0%†
|
||||
Diversified Support Services - 0.0%†
|
||||
31(f)
|
IAP Worldwide Services, Inc.
|
$ 23,619
|
||
Total Industrials
|
$ 23,619
|
|||
MEDIA - 0.1%
|
||||
Publishing - 0.1%
|
||||
14,548(f)
|
Cengage Learning Acquisitions, Inc
|
$ 322,791
|
||
Total Media
|
$ 322,791
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.0%†
|
||||
Biotechnology - 0.0%†
|
||||
2,454(f)
|
Progenics Pharmaceuticals, Inc.
|
$ 15,976
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 15,976
|
|||
TRANSPORTATION - 0.2%
|
||||
Air Freight & Logistics - 0.2%
|
||||
710(c)(f)
|
CEVA Holdings LLC
|
$ 496,853
|
||
Total Transportation
|
$ 496,853
|
|||
UTILITIES - 0.0%†
|
||||
Independent Power Producers & Energy Traders - 0.0%†
|
||||
775
|
NRG Energy, Inc.
|
$ 18,584
|
||
Total Utilities
|
$ 18,584
|
|||
TOTAL COMMON STOCKS
|
||||
(Cost $1,298,131)
|
$ 877,823
|
|||
Principal
Amount
USD ($)
|
Value
|
|||
ASSET BACKED SECURITY - 0.0%† of Net Assets
|
||||
CONSUMER SERVICES - 0.0%†
|
||||
Hotels, Resorts & Cruise Lines - 0.0%†
|
||||
68,093
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 69,157
|
||
Total Consumer Services
|
$ 69,157
|
|||
TOTAL ASSET BACKED SECURITY
|
||||
(Cost $68,093)
|
$ 69,157
|
|||
TEMPORARY CASH INVESTMENTS - 2.4% - of Net Assets
|
||||
COMMERCIAL PAPER - 2.1%
|
||||
1,180,000
|
Duke Energy Corp., 0.31%, 3/2/15
|
$ 1,179,965
|
||
1,180,000
|
Mondelez International, Inc., 0.27%, 3/2/15
|
1,179,961
|
||
1,180,000
|
Barclays Bank PLC, 0.12%, 3/2/15
|
1,179,987
|
||
735,000
|
Prudential Funding LLC, 0.06%, 3/2/15
|
734,994
|
||
1,180,000
|
BNP Paribas Finance, 0.06%, 3/2/15
|
1,179,988
|
||
1,125,000
|
Xcel Energy, Inc., 0.37%, 3/2/15
|
1,124,983
|
||
$ 6,579,878
|
||||
REPURCHASE AGREEMENT - 0.3%
|
||||
815,000
|
Bank of Nova Scotia, 0.08%, repurchase price of $815,000 plus accrued interest on 3/2/15 collateralized by: $824,381 Freddie Mac Giant, 3.0%, 9/1/43 and $6,925 Fannie Mae, 3.5%, 1/1/27
|
$ 815,000
|
||
TOTAL TEMPORARY CASH INVESTMENTS
|
||||
(Cost $7,394,962)
|
$ 7,394,878
|
|||
TOTAL INVESTMENTS IN SECURITIES - 149.2%
|
||||
(Cost - $484,855,251) (g)
|
472,188,583
|
|||
OTHER ASSETS AND LIABILITIES - (49.2)%
|
$ (155,752,146)
|
|||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 316,436,437
|
|||
†
|
Amount rounds to less than 0.1%.
|
||
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At February 28, 2015, the value of these securities amounted to $11,410,866, or 3.6% of total net assets applicable to common shareowners.
|
||
(Cat Bond)
|
Catastrophe bond is a high yield debt instrument that is usually insurance linked and meant to raise money in case of catastrophe.
|
||
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at February 28, 2015.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at February 28, 2015.
|
(b)
|
Security is in default and is non income producing.
|
(c)
|
Indicates a security that has been deemed illiquid. As of February 28, 2015 the aggregate cost of illiquid securities in the Trust's portfolio was $15,043,507. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $11,361,540 represented 3.6% of total net assets applicable to common shareowners.
|
(d)
|
The company and agent bank are in the process of negotiating forbearance.
|
(e)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(f)
|
Non-income producing.
|
(g)
|
At February 28, 2015, the net unrealized depreciation on investments based on cost for federal tax purposes of $484,786,876 was as follows:
|
||
Aggregate gross unrealized appreciation for all investments in which there
|
|||
is an excess of value over tax cost
|
$ 4,247,460
|
||
Aggregate gross unrealized depreciation for all investments in which there
|
|||
is an excess of tax cost over value
|
(16,845,753)
|
||
Net unrealized depreciation
|
$ (12,598,293)
|
||
For financial reporting purposes net unrealized depreciation on investments was $(12,666,668) and cost of investments aggregated $484,855,251.
|
|||
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||||
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||
Level 1 - quoted prices in active markets for identical securities.
|
||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment
|
||||
speeds, credit risks, etc.).
|
||||
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
||||
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services or broker dealers) as Level 3.
|
||||
The following is a summary of the inputs used as of February 28, 2015, in valuing the Trust's investments.
|
||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Senior Secured Floating Rate Loan Interests
|
$ –
|
$447,426,873
|
$ –
|
$447,426,873
|
Collateralized Loan Obligations
|
–
|
8,579,656
|
–
|
8,579,656
|
Corporate Bonds & Notes
|
||||
Insurance
|
||||
Reinsurance
|
–
|
1,290,300
|
1,092,273
|
2,382,573
|
All Other Corporate Bonds & Notes
|
–
|
1,631,753
|
–
|
1,631,753
|
U.S. Government and Agency Obligations
|
–
|
2,809,890
|
–
|
2,809,890
|
Exchange-Traded Fund
|
1,015,980
|
–
|
–
|
1,015,980
|
Common Stocks
|
||||
Industrials
|
||||
Diversified Support Services
|
–
|
23,619
|
–
|
23,619
|
Media
|
||||
Publishing
|
–
|
322,791
|
–
|
322,791
|
Transportation
|
||||
Air Freight & Logistics
|
–
|
496,853
|
–
|
496,853
|
All Other Common Stocks
|
34,560
|
–
|
–
|
34,560
|
Asset Backed Security
|
–
|
69,157
|
–
|
69,157
|
Commercial Paper
|
–
|
6,579,878
|
–
|
6,579,878
|
Repurchase Agreement
|
–
|
815,000
|
–
|
815,000
|
Total Investments in Securities
|
$ 1,050,540
|
$ 470,045,770
|
$ 1,092,273
|
$ 472,188,583
|
The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of February 28, 2015
|
||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Assets:
|
||||
Foreign currencies, at value
|
$ –
|
$ 68,657
|
$ –
|
$ 68,657
|
Liabilities:
|
–
|
(154,450,000)
|
–
|
(154,450,000)
|
Outstanding borrowings
|
–
|
(154,450,000)
|
–
|
(154,450,000)
|
Total
|
$ –
|
$ (154,381,343)
|
$ –
|
$ (154,381,343)
|
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
|||||||||
Change in
|
|||||||||
Balance
|
Realized
|
unrealized
|
Accrued
|
Transfers
|
Transfers
|
Balance
|
|||
as of
|
gain
|
appreciation
|
discounts/
|
in to
|
out of
|
as of
|
|||
11/30/14
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
Level 3*
|
2/28/15
|
|
Corporate Bonds & Notes
|
|||||||||
Insurance
|
|||||||||
Reinsurance
|
$ –
|
$ –
|
$ 2,073
|
$ 1,090,200
|
$ –
|
$ –
|
$ –
|
$ –
|
$ 1,092,273
|
Total
|
$ –
|
$ –
|
$ 2,073
|
$ 1,090,200
|
$ –
|
$ –
|
$ –
|
$ –
|
$ 1,092,273
|
* Transfers are calculated on the beginning of period value. For the period ended 2/28/15, there were no transfers between levels.
|
|||||||||
Net change in unrealized appreciation of Level 3 investments at 2/28/15: $2,073.
|
|||||||||