Regulatory Filings • Sep 28, 2011
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Download Source FileN-Q 1 b88207a1nvq.htm EATON VANCE SENIOR FLOATING-RATE TRUST Eaton Vance Senior Floating-Rate Trust PAGEBREAK
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
811-21411
Investment Company Act File Number
Eaton Vance Senior Floating-Rate Trust
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number, Including Area Code)
October 31
Date of Fiscal Year End
July 31, 2011
Date of Reporting Period
Folio /Folio
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Item 1. Schedule of Investments
Folio /Folio
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Eaton Vance Senior Floating-Rate Trust July 31, 2011
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests 143.7% (1)
| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Aerospace and Defense 3.0% | |||
| Aeroflex, Inc. | |||
| Term Loan, 4.25%, Maturing May 9, 2018 | 675 | $ 673,309 | |
| Booz Allen Hamilton, Inc. | |||
| Term Loan, 4.00%, Maturing August 3, 2017 | 474 | 475,801 | |
| DAE Aviation Holdings, Inc. | |||
| Term Loan, 5.26%, Maturing July 31, 2014 | 889 | 887,467 | |
| Term Loan, 5.26%, Maturing July 31, 2014 | 925 | 923,638 | |
| Delos Aircraft, Inc. | |||
| Term Loan, 7.00%, Maturing March 17, 2016 | 1,425 | 1,435,179 | |
| Doncasters (Dundee HoldCo 4 Ltd.) | |||
| Term Loan, 4.19%, Maturing May 15, 2015 | 391 | 368,174 | |
| Term Loan, 4.69%, Maturing May 13, 2016 | 391 | 368,174 | |
| Term Loan - Second Lien, 6.64%, Maturing | |||
| January 13, 2016 | GBP | 500 | 763,275 |
| Ducommun, Inc. | |||
| Term Loan, 5.50%, Maturing June 28, 2017 | 525 | 528,117 | |
| DynCorp International, LLC | |||
| Term Loan, 6.25%, Maturing July 5, 2016 | 817 | 822,871 | |
| Evergreen International Aviation | |||
| Term Loan, 12.25%, Maturing July 5, 2016 | 875 | 853,125 | |
| IAP Worldwide Services, Inc. | |||
| Term Loan, 9.25%, Maturing December 28, 2012 | 1,782 | 1,780,781 | |
| International Lease Finance Co. | |||
| Term Loan, 6.75%, Maturing March 17, 2015 | 850 | 855,388 | |
| Spirit AeroSystems, Inc. | |||
| Term Loan, 3.44%, Maturing September 30, 2016 | 1,553 | 1,563,653 | |
| TransDigm, Inc. | |||
| Term Loan, 4.00%, Maturing February 14, 2017 | 2,139 | 2,144,598 | |
| Wesco Aircraft Hardware Corp. | |||
| Term Loan, 4.25%, Maturing April 7, 2017 | 432 | 434,646 | |
| Wyle Services Corp. | |||
| Term Loan, 5.75%, Maturing March 27, 2017 | 854 | 858,417 | |
| $ 15,736,613 | |||
| Automotive 5.2% | |||
| Allison Transmission, Inc. | |||
| Term Loan, 2.94%, Maturing August 7, 2014 | 3,704 | $ 3,633,956 | |
| Autoparts Holdings, Ltd. | |||
| Term Loan, Maturing | |||
| July 28, 2017 (2) | 400 | 398,000 | |
| Chrysler Group, LLC | |||
| Term Loan, 6.00%, Maturing May 24, 2017 | 3,250 | 3,169,767 | |
| Delphi Corp. | |||
| Term Loan, 3.50%, Maturing March 31, 2017 | 1,924 | 1,934,129 | |
| Federal-Mogul Corp. | |||
| Term Loan, 2.13%, Maturing December 29, 2014 | 2,438 | 2,328,573 | |
| Term Loan, 2.13%, Maturing December 28, 2015 | 3,064 | 2,926,197 | |
| Ford Motor Co. | |||
| Term Loan, 2.94%, Maturing December 16, 2013 | 1,405 | 1,405,553 | |
| Goodyear Tire & Rubber Co. | |||
| Term Loan - Second Lien, 1.94%, Maturing | |||
| April 30, 2014 | 5,400 | 5,216,783 | |
| HHI Holdings, LLC | |||
| Term Loan, 7.00%, Maturing March 21, 2017 | 524 | 524,997 | |
| KAR Auction Services, Inc. | |||
| Term Loan, 5.00%, Maturing May 19, 2017 | 2,850 | 2,865,778 |
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| Principal | ||
|---|---|---|
| Amount* | ||
| Borrower/Tranche Description | (000s omitted) | Value |
| Metaldyne, LLC | ||
| Term Loan, 5.25%, Maturing May 18, 2017 | 1,496 | $ 1,495,315 |
| TriMas Corp. | ||
| Term Loan, 4.25%, Maturing June 21, 2017 | 1,050 | 1,051,313 |
| $ 26,950,361 | ||
| Brokers, Dealers and Investment | ||
| Houses 0.3% | ||
| Mondrian Investment Partners, Ltd. | ||
| Term Loan, 5.50%, Maturing July 12, 2018 | 1,400 | $ 1,400,000 |
| $ 1,400,000 | ||
| Building and Development 2.4% | ||
| Armstrong World Industries, Inc. | ||
| Term Loan, 4.00%, Maturing March 9, 2018 | 648 | $ 649,726 |
| Beacon Sales Acquisition, Inc. | ||
| Term Loan, 2.22%, Maturing September 30, 2013 | 1,072 | 1,055,181 |
| Brickman Group Holdings, Inc. | ||
| Term Loan, 7.25%, Maturing October 14, 2016 | 1,169 | 1,185,566 |
| CB Richard Ellis Services, Inc. | ||
| Term Loan, 3.25%, Maturing | ||
| March 5, 2018 (3) | 694 | 688,211 |
| Term Loan, 3.69%, Maturing September 4, 2019 | 656 | 649,567 |
| Forestar USA Real Estate Group, Inc. | ||
| Revolving Loan, 2.43%, Maturing | ||
| August 6, 2013 (3) | 244 | 240,720 |
| Term Loan, 6.50%, Maturing August 6, 2015 | 2,240 | 2,228,918 |
| NCI Building Systems, Inc. | ||
| Term Loan, 8.00%, Maturing April 18, 2014 | 247 | 244,662 |
| November 2005 Land Investors, LLC | ||
| Term Loan, 0.00%, Maturing | ||
| March 31, 2011 (4) | 305 | 32,008 |
| Panolam Industries Holdings, Inc. | ||
| Term Loan, 8.25%, Maturing December 31, 2013 | 1,563 | 1,516,310 |
| RE/MAX International, Inc. | ||
| Term Loan, 5.50%, Maturing April 15, 2016 | 1,750 | 1,755,049 |
| Realogy Corp. | ||
| Term Loan, 3.19%, Maturing October 10, 2013 | 138 | 130,965 |
| Term Loan, 3.27%, Maturing October 10, 2013 | 663 | 628,436 |
| South Edge, LLC | ||
| Term Loan, 0.00%, Maturing | ||
| October 31, 2009 (4) | 1,588 | 1,529,291 |
| $ 12,534,610 | ||
| Business Equipment and Services 12.1% | ||
| Advantage Sales & Marketing, Inc. | ||
| Term Loan, 5.25%, Maturing December 18, 2017 | 1,841 | $ 1,854,316 |
| Affinion Group, Inc. | ||
| Term Loan, 5.00%, Maturing October 10, 2016 | 4,624 | 4,615,599 |
| Allied Security Holdings, LLC | ||
| Term Loan, 5.00%, Maturing February 3, 2017 | 574 | 576,789 |
| BakerCorp. | ||
| Term Loan, 5.00%, Maturing June 1, 2018 | 850 | 852,656 |
| BAR/BRI Review Courses, Inc. | ||
| Term Loan, 6.00%, Maturing June 16, 2017 | 725 | 723,188 |
| Dealer Computer Services, Inc. | ||
| Term Loan, 3.75%, Maturing April 20, 2018 | 2,400 | 2,407,500 |
| Education Management, LLC | ||
| Term Loan, 2.00%, Maturing June 3, 2013 | 3,999 | 3,946,526 |
| Fifth Third Processing Solutions, LLC | ||
| Term Loan, 4.50%, Maturing November 3, 2016 | 1,245 | 1,244,879 |
| iPayment, Inc. | ||
| Term Loan, 5.75%, Maturing May 8, 2017 | 943 | 946,419 |
| Kronos, Inc. | ||
| Term Loan, 2.00%, Maturing June 11, 2014 | 1,004 | 990,426 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Language Line, LLC | |||
| Term Loan, 6.25%, Maturing June 20, 2016 | 2,127 | $ 2,141,261 | |
| Mercury Payment Systems Canada, LLC | |||
| Term Loan, 6.50%, Maturing July 3, 2017 | 650 | 654,875 | |
| Mitchell International, Inc. | |||
| Term Loan - Second Lien, 5.50%, Maturing | |||
| March 30, 2015 | 1,000 | 955,000 | |
| NE Customer Service | |||
| Term Loan, 6.00%, Maturing March 23, 2016 | 1,636 | 1,635,536 | |
| Protection One Alarm Monitor, Inc. | |||
| Term Loan, 6.00%, Maturing June 4, 2016 | 1,575 | 1,579,932 | |
| Quantum Corp. | |||
| Term Loan, 3.75%, Maturing July 14, 2014 | 105 | 104,952 | |
| Quintiles Transnational Corp. | |||
| Term Loan, 5.00%, Maturing June 8, 2018 | 4,325 | 4,314,187 | |
| Sabre, Inc. | |||
| Term Loan, 2.21%, Maturing September 30, 2014 | 5,937 | 5,351,604 | |
| Safenet, Inc. | |||
| Term Loan, 2.69%, Maturing April 12, 2014 | 1,936 | 1,891,230 | |
| Serena Software, Inc. | |||
| Term Loan, 4.25%, Maturing March 10, 2016 | 474 | 462,743 | |
| Sitel (Client Logic) | |||
| Term Loan, 7.00%, Maturing January 30, 2017 | 1,567 | 1,574,535 | |
| Softlayer Tech, Inc. | |||
| Term Loan, 7.25%, Maturing November 5, 2016 | 647 | 653,016 | |
| Solera Holdings, LLC | |||
| Term Loan, 3.25%, Maturing May 16, 2014 | EUR | 723 | 1,030,751 |
| SunGard Data Systems, Inc. | |||
| Term Loan, 1.94%, Maturing February 28, 2014 | 2,166 | 2,116,392 | |
| Term Loan, 3.85%, Maturing February 26, 2016 | 6,642 | 6,624,481 | |
| SymphonyIRI Group, Inc. | |||
| Term Loan, 5.00%, Maturing December 1, 2017 | 825 | 827,063 | |
| TASC, Inc. | |||
| Term Loan, 4.50%, Maturing December 18, 2015 | 1,447 | 1,449,090 | |
| Town Sports International, Inc. | |||
| Term Loan, 7.00%, Maturing May 4, 2018 | 1,022 | 1,027,550 | |
| TransUnion, LLC | |||
| Term Loan, 4.75%, Maturing February 12, 2018 | 1,895 | 1,899,988 | |
| Travelport, LLC | |||
| Term Loan, 4.75%, Maturing August 21, 2015 | 553 | 533,838 | |
| Term Loan, 4.75%, Maturing August 21, 2015 | 2,856 | 2,758,391 | |
| Term Loan, 6.04%, Maturing August 21, 2015 | EUR | 741 | 1,025,086 |
| U.S. Security Holdings, Inc. | |||
| Term Loan, Maturing | |||
| July 28, 2017 (2) | 118 | 116,993 | |
| Term Loan, Maturing | |||
| July 28, 2017 (2) | 607 | 600,757 | |
| West Corp. | |||
| Term Loan, 2.63%, Maturing October 24, 2013 | 281 | 279,677 | |
| Term Loan, 4.50%, Maturing July 15, 2016 | 683 | 686,262 | |
| Term Loan, 4.50%, Maturing July 15, 2016 | 1,943 | 1,950,607 | |
| $ 62,404,095 | |||
| Cable and Satellite Television 9.6% | |||
| Atlantic Broadband Finance, LLC | |||
| Term Loan, 4.00%, Maturing March 8, 2016 | 1,321 | $ 1,324,809 | |
| Bragg Communications, Inc. | |||
| Term Loan, 2.75%, Maturing August 31, 2014 | 2,069 | 2,049,975 | |
| Bresnan Communications, LLC | |||
| Term Loan, 4.50%, Maturing December 14, 2017 | 1,244 | 1,245,446 | |
| Cequel Communications, LLC | |||
| Term Loan, 2.19%, Maturing November 5, 2013 | 2,140 | 2,121,562 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Charter Communications Operating, LLC | |||
| Term Loan, 3.50%, Maturing September 6, 2016 | 992 | $ 989,342 | |
| Crown Media Holdings, Inc. | |||
| Term Loan, 5.75%, Maturing July 14, 2018 | 525 | 521,719 | |
| CSC Holdings, Inc. | |||
| Term Loan, 1.94%, Maturing March 29, 2016 | 2,871 | 2,842,792 | |
| DG FastChannel, Inc. | |||
| Term Loan, Maturing | |||
| July 26, 2018 (2) | 1,625 | 1,613,828 | |
| Foxco Acquisition Sub, LLC | |||
| Term Loan, 4.75%, Maturing July 14, 2015 | 550 | 550,425 | |
| Insight Midwest Holdings, LLC | |||
| Term Loan, 1.96%, Maturing April 7, 2014 | 3,304 | 3,279,662 | |
| Kabel Deutschland GmbH | |||
| Term Loan, 5.44%, Maturing December 13, 2016 | EUR | 2,000 | 2,882,779 |
| Term Loan, 4.69%, Maturing June 15, 2018 | EUR | 1,300 | 1,860,445 |
| MCC Iowa, LLC | |||
| Term Loan, 1.91%, Maturing January 30, 2015 | 5,630 | 5,404,949 | |
| Mediacom, LLC | |||
| Term Loan, 4.50%, Maturing October 23, 2017 | 817 | 814,912 | |
| Mediacom Broadband, LLC | |||
| Term Loan, 4.50%, Maturing October 23, 2017 | 1,460 | 1,451,732 | |
| Mediacom Illinois, LLC | |||
| Term Loan, 1.91%, Maturing January 30, 2015 | 3,627 | 3,461,065 | |
| Term Loan, 5.50%, Maturing March 31, 2017 | 983 | 982,910 | |
| NDS Finance, Ltd. | |||
| Term Loan, 4.00%, Maturing March 12, 2018 | 1,347 | 1,335,263 | |
| ProSiebenSat.1 Media AG | |||
| Term Loan, 2.69%, Maturing July 2, 2014 | EUR | 93 | 126,577 |
| Term Loan, 2.69%, Maturing July 2, 2014 | EUR | 904 | 1,236,457 |
| Term Loan, 4.20%, Maturing March 6, 2015 | EUR | 369 | 484,727 |
| Term Loan, 3.31%, Maturing June 26, 2015 | EUR | 2,187 | 3,004,195 |
| Term Loan, 3.31%, Maturing July 3, 2015 | EUR | 97 | 133,513 |
| Term Loan, 4.45%, Maturing March 4, 2016 | EUR | 369 | 484,727 |
| Term Loan, 8.83%, Maturing | |||
| March 6, 2017 (5) | EUR | 384 | 457,727 |
| Term Loan - Second Lien, 5.58%, Maturing | |||
| September 2, 2016 | EUR | 520 | 636,171 |
| UPC Broadband Holding B.V. | |||
| Term Loan, 3.69%, Maturing December 30, 2016 | 409 | 409,500 | |
| Term Loan, 5.07%, Maturing December 31, 2016 | EUR | 2,353 | 3,298,099 |
| Term Loan, 3.69%, Maturing December 29, 2017 | 1,264 | 1,265,741 | |
| Term Loan, 5.32%, Maturing December 31, 2017 | EUR | 1,619 | 2,282,383 |
| YPSO Holding SA | |||
| Term Loan, 5.19%, Maturing | |||
| June 16, 2014 (5) | EUR | 203 | 266,189 |
| Term Loan, 5.19%, Maturing | |||
| June 16, 2014 (5) | EUR | 242 | 317,559 |
| Term Loan, 5.19%, Maturing | |||
| June 16, 2014 (5) | EUR | 494 | 648,942 |
| $ 49,786,122 | |||
| Chemicals and Plastics 6.6% | |||
| Arizona Chemical, Inc. | |||
| Term Loan, 4.75%, Maturing November 21, 2016 | 400 | $ 401,392 | |
| Ashland, Inc. | |||
| Term Loan, Maturing | |||
| July 30, 2018 (2) | 1,950 | 1,955,637 | |
| Celanese Holdings, LLC | |||
| Term Loan, 3.25%, Maturing October 31, 2016 | 1,470 | 1,476,750 | |
| General Chemical Corp. | |||
| Term Loan, 5.00%, Maturing October 6, 2015 | 583 | 588,407 | |
| Hexion Specialty Chemicals, Inc. | |||
| Term Loan, 3.94%, Maturing May 5, 2015 | 1,700 | 1,681,093 | |
| Term Loan, 4.00%, Maturing May 5, 2015 | 480 | 475,200 | |
| Term Loan, 4.00%, Maturing May 5, 2015 | 762 | 753,933 | |
| Houghton International, Inc. | |||
| Term Loan, 6.75%, Maturing January 29, 2016 | 819 | 827,594 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Huntsman International, LLC | |||
| Term Loan, 1.72%, Maturing April 21, 2014 | 573 | $ 557,899 | |
| Term Loan, 2.46%, Maturing June 30, 2016 | 855 | 833,364 | |
| Term Loan, 2.72%, Maturing April 19, 2017 | 1,563 | 1,520,812 | |
| INEOS Group | |||
| Term Loan, 7.50%, Maturing December 16, 2013 | 1,723 | 1,785,577 | |
| Term Loan, 8.00%, Maturing December 16, 2014 | 1,665 | 1,725,915 | |
| Term Loan, 9.00%, Maturing December 16, 2015 | EUR | 1,250 | 1,871,337 |
| ISP Chemco, Inc. | |||
| Term Loan, 1.69%, Maturing June 4, 2014 | 1,529 | 1,523,777 | |
| MacDermid, Inc. | |||
| Term Loan, 2.19%, Maturing April 11, 2014 | 463 | 461,023 | |
| Momentive Performance Materials | |||
| Term Loan, 3.69%, Maturing May 5, 2015 | 1,647 | 1,619,576 | |
| Nalco Co. | |||
| Term Loan, 4.50%, Maturing October 5, 2017 | 1,390 | 1,392,430 | |
| Norit NV | |||
| Term Loan, 7.50%, Maturing July 7, 2017 | 1,250 | 1,256,250 | |
| OM Group, Inc. | |||
| Term Loan, Maturing | |||
| July 28, 2017 (2) | 525 | 525,000 | |
| Omnova Solutions, Inc. | |||
| Term Loan, 5.75%, Maturing May 31, 2017 | 995 | 999,975 | |
| Rockwood Specialties Group, Inc. | |||
| Term Loan, 3.75%, Maturing February 9, 2018 | 2,125 | 2,138,116 | |
| Schoeller Arca Systems Holding | |||
| Term Loan, 5.93%, Maturing November 16, 2015 | EUR | 145 | 148,999 |
| Term Loan, 5.93%, Maturing November 16, 2015 | EUR | 412 | 424,824 |
| Term Loan, 5.93%, Maturing November 16, 2015 | EUR | 443 | 457,152 |
| Solutia, Inc. | |||
| Term Loan, 3.50%, Maturing August 1, 2017 | 2,077 | 2,083,067 | |
| Styron S.A.R.L. | |||
| Term Loan, 6.00%, Maturing August 2, 2017 | 2,886 | 2,890,610 | |
| Univar, Inc. | |||
| Term Loan, 5.00%, Maturing June 30, 2017 | 1,567 | 1,566,426 | |
| $ 33,942,135 | |||
| Clothing/Textiles 0.1% | |||
| Warnaco, Inc. | |||
| Term Loan, 3.75%, Maturing June 15, 2018 | 500 | $ 501,875 | |
| $ 501,875 | |||
| Conglomerates 2.9% | |||
| Goodman Global Holdings, Inc. | |||
| Term Loan, 5.75%, Maturing October 28, 2016 | 1,787 | $ 1,797,537 | |
| Manitowoc Company, Inc. (The) | |||
| Term Loan, 4.25%, Maturing November 13, 2017 | 675 | 678,372 | |
| RBS Global, Inc. | |||
| Term Loan, 2.44%, Maturing July 19, 2013 | 770 | 763,306 | |
| Term Loan, 2.77%, Maturing July 19, 2013 | 3,785 | 3,761,181 | |
| RGIS Holdings, LLC | |||
| Term Loan, 2.75%, Maturing April 30, 2014 | 122 | 118,863 | |
| Term Loan, 2.75%, Maturing April 30, 2014 | 2,438 | 2,377,255 | |
| Service Master Co. | |||
| Term Loan, 2.69%, Maturing July 24, 2014 | 135 | 130,546 | |
| Term Loan, 2.71%, Maturing July 24, 2014 | 1,354 | 1,310,901 | |
| US Investigations Services, Inc. | |||
| Term Loan, 7.75%, Maturing February 20, 2015 | 767 | 772,833 | |
| Term Loan, 3.00%, Maturing February 21, 2015 | 784 | 769,402 | |
| Walter Industries, Inc. | |||
| Term Loan, 4.00%, Maturing April 2, 2018 | 2,294 | 2,298,937 | |
| $ 14,779,133 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Containers and Glass Products 3.4% | |||
| Berry Plastics Corp. | |||
| Term Loan, 2.26%, Maturing April 3, 2015 | 1,954 | $ 1,846,486 | |
| BWAY Corp. | |||
| Term Loan, 4.50%, Maturing February 23, 2018 | 71 | 70,823 | |
| Term Loan, 4.50%, Maturing February 23, 2018 | 796 | 797,705 | |
| Graham Packaging Holdings Co. | |||
| Term Loan, 6.75%, Maturing April 4, 2014 | 1,672 | 1,677,108 | |
| Term Loan, 6.00%, Maturing September 23, 2016 | 2,233 | 2,239,476 | |
| Graphic Packaging International, Inc. | |||
| Term Loan, 2.23%, Maturing May 16, 2014 | 808 | 804,169 | |
| Term Loan, 2.99%, Maturing May 16, 2014 | 367 | 367,355 | |
| Hilex Poly Co. | |||
| Term Loan, 11.25%, Maturing November 16, 2015 | 950 | 950,000 | |
| JSG Acquisitions | |||
| Term Loan, 3.62%, Maturing December 31, 2014 | 1,189 | 1,189,399 | |
| Pelican Products, Inc. | |||
| Term Loan, 5.00%, Maturing March 7, 2017 | 771 | 771,767 | |
| Reynolds Group Holdings, Inc. | |||
| Term Loan, 4.25%, Maturing February 9, 2018 | 2,818 | 2,801,500 | |
| Term Loan, Maturing | |||
| August 9, 2018 (2) | 2,825 | 2,798,516 | |
| Smurfit Kappa Acquisitions | |||
| Term Loan, 3.37%, Maturing December 31, 2014 | 1,189 | 1,189,399 | |
| $ 17,503,703 | |||
| Cosmetics/Toiletries 1.5% | |||
| Alliance Boots Holdings, Ltd. | |||
| Term Loan, 3.60%, Maturing July 9, 2015 | GBP | 1,775 | $ 2,733,299 |
| Term Loan, 4.30%, Maturing July 9, 2015 | EUR | 1,000 | 1,393,792 |
| Bausch & Lomb, Inc. | |||
| Term Loan, 3.44%, Maturing April 24, 2015 | 291 | 289,150 | |
| Term Loan, 3.48%, Maturing April 24, 2015 | 1,195 | 1,187,885 | |
| KIK Custom Products, Inc. | |||
| Term Loan - Second Lien, 5.27%, Maturing | |||
| November 28, 2014 | 975 | 695,175 | |
| Prestige Brands, Inc. | |||
| Term Loan, 4.76%, Maturing March 24, 2016 | 1,398 | 1,406,031 | |
| $ 7,705,332 | |||
| Drugs 1.3% | |||
| Axcan Pharma, Inc. | |||
| Term Loan, 5.50%, Maturing February 10, 2017 | 1,493 | $ 1,472,911 | |
| Endo Pharmaceuticals Holdings, Inc. | |||
| Term Loan, 4.00%, Maturing June 18, 2018 | 1,525 | 1,530,854 | |
| Graceway Pharmaceuticals, LLC | |||
| Term Loan, 4.94%, Maturing May 3, 2012 | 550 | 304,799 | |
| Term Loan, 9.94%, Maturing | |||
| November 3, 2013 (5) | 315 | 1,579 | |
| Term Loan - Second Lien, 0.00%, Maturing | |||
| May 3, 2013 (6) | 1,500 | 42,750 | |
| Warner Chilcott Corp. | |||
| Term Loan, 4.25%, Maturing March 15, 2018 | 804 | 805,332 | |
| Term Loan, 4.25%, Maturing March 15, 2018 | 1,607 | 1,610,665 | |
| WC Luxco S.A.R.L. | |||
| Term Loan, 4.25%, Maturing March 15, 2018 | 1,105 | 1,107,332 | |
| $ 6,876,222 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Ecological Services and Equipment 0.5% | |||
| Cory Environmental Holdings | |||
| Term Loan - Second Lien, 5.04%, Maturing | |||
| September 30, 2014 (5)(7) | GBP | 513 | $ 296,574 |
| Environmental Systems Products Holdings, Inc. | |||
| Term Loan - Second Lien, 13.50%, Maturing | |||
| September 12, 2014 | 621 | 571,346 | |
| Sensus Metering Systems, Inc. | |||
| Term Loan, 4.75%, Maturing May 9, 2017 | 673 | 676,679 | |
| Term Loan - Second Lien, 8.50%, Maturing | |||
| May 9, 2018 | 1,000 | 1,022,500 | |
| $ 2,567,099 | |||
| Electronics/Electrical 6.3% | |||
| Aspect Software, Inc. | |||
| Term Loan, 6.25%, Maturing May 6, 2016 | 1,555 | $ 1,559,201 | |
| Attachmate Corp. | |||
| Term Loan, 6.50%, Maturing April 27, 2017 | 950 | 954,354 | |
| Christie/Aix, Inc. | |||
| Term Loan, 5.25%, Maturing April 29, 2016 | 606 | 603,864 | |
| Eagle Parent, Inc. | |||
| Term Loan, 5.00%, Maturing May 16, 2018 | 2,600 | 2,541,500 | |
| Edwards (Cayman Island II), Ltd. | |||
| Term Loan, 5.50%, Maturing May 31, 2016 | 1,244 | 1,241,677 | |
| FCI International S.A.S. | |||
| Term Loan, 3.62%, Maturing November 1, 2013 | 156 | 154,631 | |
| Term Loan, 3.62%, Maturing November 1, 2013 | 156 | 154,631 | |
| Term Loan, 3.62%, Maturing November 1, 2013 | 162 | 160,619 | |
| Term Loan, 3.62%, Maturing November 1, 2013 | 162 | 160,619 | |
| Freescale Semiconductor, Inc. | |||
| Term Loan, 4.44%, Maturing December 1, 2016 | 2,757 | 2,747,941 | |
| Infor Enterprise Solutions Holdings | |||
| Term Loan, 5.69%, Maturing March 3, 2014 | 500 | 432,500 | |
| Term Loan, 5.94%, Maturing July 28, 2015 | 1,479 | 1,434,601 | |
| Term Loan, 5.94%, Maturing July 28, 2015 | 2,835 | 2,767,357 | |
| Term Loan - Second Lien, 6.44%, Maturing | |||
| March 3, 2014 | 183 | 160,722 | |
| Term Loan - Second Lien, 6.44%, Maturing | |||
| March 3, 2014 | 317 | 277,182 | |
| Network Solutions, LLC | |||
| Term Loan, 2.44%, Maturing March 7, 2014 | 404 | 391,445 | |
| NXP B.V. | |||
| Term Loan, 4.50%, Maturing March 7, 2017 | 2,693 | 2,696,617 | |
| Open Solutions, Inc. | |||
| Term Loan, 2.38%, Maturing January 23, 2014 | 2,011 | 1,751,684 | |
| Sensata Technologies Finance Co., LLC | |||
| Term Loan, 4.00%, Maturing May 11, 2018 | 3,525 | 3,526,572 | |
| Shield Finance Co. S.A.R.L. | |||
| Term Loan, 7.75%, Maturing June 15, 2016 | 849 | 853,524 | |
| Ship US Bidco, Inc. | |||
| Term Loan, Maturing | |||
| November 30, 2017 (2) | GBP | 1,000 | 1,622,985 |
| Spansion, LLC | |||
| Term Loan, 4.75%, Maturing February 9, 2015 | 555 | 556,616 | |
| Spectrum Brands, Inc. | |||
| Term Loan, 5.00%, Maturing June 17, 2016 | 2,675 | 2,695,724 | |
| VeriFone, Inc. | |||
| Term Loan, 2.94%, Maturing October 31, 2013 | 1,979 | 1,974,252 | |
| Vertafore, Inc. | |||
| Term Loan, 5.25%, Maturing July 29, 2016 | 995 | 996,244 | |
| $ 32,417,062 | |||
| Equipment Leasing 0.7% | |||
| Hertz Corp. | |||
| Term Loan, 3.75%, Maturing March 9, 2018 | 3,516 | $ 3,512,604 | |
| $ 3,512,604 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Farming/Agriculture 0.3% | |||
| WM. Bolthouse Farms, Inc. | |||
| Term Loan, 5.50%, Maturing February 11, 2016 | 1,613 | $ 1,614,029 | |
| $ 1,614,029 | |||
| Financial Intermediaries 5.2% | |||
| Citco III, Ltd. | |||
| Term Loan, 6.25%, Maturing June 29, 2018 | 1,650 | $ 1,644,844 | |
| Fidelity National Information Services, Inc. | |||
| Term Loan, 5.25%, Maturing July 18, 2016 | 2,432 | 2,443,776 | |
| First Data Corp. | |||
| Term Loan, 2.94%, Maturing September 24, 2014 | 257 | 240,265 | |
| Term Loan, 2.94%, Maturing September 24, 2014 | 489 | 456,837 | |
| Term Loan, 2.94%, Maturing September 24, 2014 | 1,238 | 1,156,739 | |
| Term Loan, 4.19%, Maturing March 23, 2018 | 1,636 | 1,507,003 | |
| Grosvenor Capital Management | |||
| Term Loan, 4.19%, Maturing December 5, 2016 | 1,353 | 1,353,226 | |
| HarbourVest Partners, LLC | |||
| Term Loan, 6.25%, Maturing December 14, 2016 | 1,155 | 1,162,382 | |
| Interactive Data Corp. | |||
| Term Loan, 4.75%, Maturing February 12, 2018 | 2,262 | 2,264,254 | |
| Jupiter Asset Management Group | |||
| Term Loan, 4.46%, Maturing March 17, 2015 | GBP | 217 | 351,617 |
| LPL Holdings, Inc. | |||
| Term Loan, 1.95%, Maturing June 28, 2013 | 918 | 916,596 | |
| Term Loan, 4.25%, Maturing June 25, 2015 | 2,889 | 2,906,850 | |
| Term Loan, 5.25%, Maturing June 28, 2017 | 2,086 | 2,100,205 | |
| MSCI, Inc. | |||
| Term Loan, 3.75%, Maturing March 14, 2017 | 2,908 | 2,925,986 | |
| Nuveen Investments, Inc. | |||
| Term Loan, 3.25%, Maturing November 13, 2014 | 1,651 | 1,622,898 | |
| Term Loan, 5.75%, Maturing May 12, 2017 | 1,929 | 1,929,573 | |
| RJO Holdings Corp. (RJ OBrien) | |||
| Term Loan, 6.19%, Maturing | |||
| December 10, 2015 (7) | 7 | 5,801 | |
| Term Loan, 6.19%, Maturing | |||
| December 10, 2015 (7) | 224 | 177,848 | |
| Towergate Finance, PLC | |||
| Term Loan, 6.50%, Maturing August 4, 2017 | GBP | 1,000 | 1,592,208 |
| $ 26,758,908 | |||
| Food Products 3.7% | |||
| Acosta, Inc. | |||
| Term Loan, 4.75%, Maturing March 1, 2018 | 1,272 | $ 1,267,838 | |
| American Seafoods Group, LLC | |||
| Term Loan, 4.25%, Maturing March 8, 2018 | 642 | 641,530 | |
| Dole Food Company, Inc. | |||
| Term Loan, 5.05%, Maturing July 6, 2018 | 971 | 974,487 | |
| Term Loan, 5.06%, Maturing July 6, 2018 | 1,804 | 1,809,762 | |
| JBS USA Holdings, Inc. | |||
| Term Loan, 4.25%, Maturing May 25, 2018 | 1,000 | 1,000,313 | |
| Liberator Midco, Ltd. | |||
| Term Loan, 5.26%, Maturing April 29, 2016 | GBP | 1,000 | 1,645,555 |
| Michael Foods Holdings, Inc. | |||
| Term Loan, 4.25%, Maturing February 23, 2018 | 698 | 698,900 | |
| Pierre Foods, Inc. | |||
| Term Loan, 7.00%, Maturing September 30, 2016 | 1,241 | 1,253,807 | |
| Pinnacle Foods Finance, LLC | |||
| Term Loan, 2.69%, Maturing April 2, 2014 | 6,568 | 6,514,600 | |
| Provimi Group SA | |||
| Term Loan, 2.44%, Maturing June 28, 2015 | 205 | 199,975 | |
| Term Loan, 2.44%, Maturing June 28, 2015 | 252 | 246,094 | |
| Term Loan, 3.69%, Maturing June 28, 2015 | EUR | 265 | 371,658 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Term Loan, 3.69%, Maturing June 28, 2015 | EUR | 394 | $ 551,754 |
| Term Loan, 3.69%, Maturing June 28, 2015 | EUR | 457 | 640,506 |
| Term Loan, 3.69%, Maturing June 28, 2015 | EUR | 590 | 825,964 |
| Term Loan - Second Lien, 4.44%, Maturing | |||
| December 28, 2016 | 148 | 144,810 | |
| Term Loan - Second Lien, 5.69%, Maturing | |||
| December 28, 2016 | EUR | 24 | 33,944 |
| Term Loan - Second Lien, 5.69%, Maturing | |||
| December 28, 2016 | EUR | 331 | 464,888 |
| $ 19,286,385 | |||
| Food Service 6.3% | |||
| Aramark Corp. | |||
| Term Loan, 2.06%, Maturing January 27, 2014 | 169 | $ 166,641 | |
| Term Loan, 2.12%, Maturing January 27, 2014 | 2,094 | 2,065,881 | |
| Term Loan, 2.83%, Maturing January 27, 2014 | GBP | 955 | 1,524,477 |
| Term Loan, 3.44%, Maturing July 26, 2016 | 304 | 302,662 | |
| Term Loan, 3.50%, Maturing July 26, 2016 | 4,621 | 4,602,179 | |
| Buffets, Inc. | |||
| Term Loan, 12.00%, Maturing | |||
| April 21, 2015 (5) | 1,237 | 1,069,694 | |
| Term Loan, 7.50%, Maturing | |||
| April 22, 2015 (5) | 123 | 97,269 | |
| Burger King Corp. | |||
| Term Loan, 4.50%, Maturing October 19, 2016 | 4,801 | 4,796,554 | |
| Del Monte Corp. | |||
| Term Loan, 4.50%, Maturing March 8, 2018 | 3,675 | 3,663,843 | |
| Dennys, Inc. | |||
| Term Loan, 5.25%, Maturing September 30, 2016 | 660 | 661,237 | |
| DineEquity, Inc. | |||
| Term Loan, 4.25%, Maturing October 19, 2017 | 1,583 | 1,584,728 | |
| Dunkin Brands, Inc. | |||
| Term Loan, 4.25%, Maturing November 23, 2017 | 3,110 | 3,113,670 | |
| NPC International, Inc. | |||
| Term Loan, 1.95%, Maturing May 3, 2013 | 268 | 265,954 | |
| OSI Restaurant Partners, LLC | |||
| Term Loan, 2.50%, Maturing June 14, 2013 | 418 | 403,595 | |
| Term Loan, 2.50%, Maturing June 14, 2014 | 4,263 | 4,114,306 | |
| Sagittarius Restaurants, LLC | |||
| Term Loan, 7.51%, Maturing May 18, 2015 | 469 | 466,406 | |
| Selecta | |||
| Term Loan - Second Lien, 5.77%, Maturing | |||
| December 28, 2015 | EUR | 741 | 729,590 |
| U.S. Foodservice, Inc. | |||
| Term Loan, 2.69%, Maturing July 3, 2014 | 1,992 | 1,891,116 | |
| Wendys/Arbys Restaurants, LLC | |||
| Term Loan, 5.00%, Maturing May 24, 2017 | 823 | 824,606 | |
| $ 32,344,408 | |||
| Food/Drug Retailers 4.6% | |||
| General Nutrition Centers, Inc. | |||
| Term Loan, 4.25%, Maturing March 2, 2018 | 4,725 | $ 4,728,544 | |
| NBTY, Inc. | |||
| Term Loan, 4.25%, Maturing October 2, 2017 | 2,090 | 2,092,402 | |
| Pantry, Inc. (The) | |||
| Term Loan, 1.94%, Maturing May 15, 2014 | 217 | 214,493 | |
| Term Loan, 1.94%, Maturing May 15, 2014 | 754 | 744,906 | |
| Rite Aid Corp. | |||
| Term Loan, 1.94%, Maturing June 4, 2014 | 7,966 | 7,600,838 | |
| Term Loan, 4.50%, Maturing March 2, 2018 | 2,114 | 2,079,567 | |
| Roundys Supermarkets, Inc. | |||
| Term Loan, 7.00%, Maturing November 3, 2013 | 3,271 | 3,284,817 | |
| Supervalu, Inc. | |||
| Term Loan, 4.50%, Maturing April 28, 2018 | 3,242 | 3,199,530 | |
| $ 23,945,097 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Forest Products 0.3% | |||
| Georgia-Pacific Corp. | |||
| Term Loan, 3.50%, Maturing December 23, 2014 | 1,538 | $ 1,540,447 | |
| $ 1,540,447 | |||
| Health Care 18.2% | |||
| 1-800-Contacts, Inc. | |||
| Term Loan, 7.70%, Maturing March 4, 2015 | 904 | $ 906,676 | |
| Alere, Inc. | |||
| Term Loan, 4.50%, Maturing June 30, 2017 | 2,375 | 2,372,625 | |
| Alliance Healthcare Services | |||
| Term Loan, 5.50%, Maturing June 1, 2016 | 1,207 | 1,203,859 | |
| Ardent Medical Services, Inc. | |||
| Term Loan, 6.50%, Maturing September 15, 2015 | 1,136 | 1,137,045 | |
| Term Loan, Maturing | |||
| September 18, 2015 (2) | 675 | 676,055 | |
| Ascend Learning | |||
| Term Loan, 7.01%, Maturing December 6, 2016 | 1,095 | 1,094,044 | |
| Aveta Holdings, LLC | |||
| Term Loan, 8.50%, Maturing April 14, 2015 | 521 | 523,006 | |
| Term Loan, 8.50%, Maturing April 14, 2015 | 521 | 523,006 | |
| Biomet, Inc. | |||
| Term Loan, 3.23%, Maturing March 25, 2015 | 3,706 | 3,673,681 | |
| Term Loan, 4.43%, Maturing March 25, 2015 | EUR | 1,179 | 1,693,135 |
| Bright Horizons Family Solutions, Inc. | |||
| Term Loan, 4.19%, Maturing May 28, 2015 | 913 | 914,944 | |
| Capsugel Healthcare, Ltd. | |||
| Term Loan, Maturing | |||
| August 1, 2018 (2) | 1,275 | 1,280,100 | |
| Cardinal Health 409, Inc. | |||
| Term Loan, 2.44%, Maturing April 10, 2014 | 2,144 | 2,058,447 | |
| Carestream Health, Inc. | |||
| Term Loan, 5.00%, Maturing February 25, 2017 | 1,521 | 1,421,043 | |
| Carl Zeiss Vision Holding GmbH | |||
| Term Loan, 4.00%, Maturing September 30, 2019 | 130 | 111,475 | |
| CDRL MS, Inc. | |||
| Term Loan, 6.75%, Maturing September 29, 2016 | 878 | 883,943 | |
| Community Health Systems, Inc. | |||
| Term Loan, 2.50%, Maturing July 25, 2014 | 352 | 340,983 | |
| Term Loan, 2.50%, Maturing July 25, 2014 | 6,851 | 6,630,286 | |
| Term Loan, 3.75%, Maturing January 25, 2017 | 3,440 | 3,363,480 | |
| ConMed Corp. | |||
| Term Loan, 1.69%, Maturing April 12, 2013 | 442 | 433,296 | |
| ConvaTec, Inc. | |||
| Term Loan, 5.75%, Maturing December 22, 2016 | 997 | 999,046 | |
| CRC Health Corp. | |||
| Term Loan, 4.75%, Maturing November 16, 2015 | 1,940 | 1,896,056 | |
| Dako EQT Project Delphi | |||
| Term Loan - Second Lien, 4.00%, Maturing | |||
| December 12, 2016 | 500 | 454,625 | |
| DaVita, Inc. | |||
| Term Loan, 4.50%, Maturing October 20, 2016 | 2,985 | 2,996,728 | |
| DJO Finance, LLC | |||
| Term Loan, 3.19%, Maturing May 20, 2014 | 637 | 627,806 | |
| Fresenius SE | |||
| Term Loan, 3.50%, Maturing September 10, 2014 | 308 | 308,538 | |
| Term Loan, 3.50%, Maturing September 10, 2014 | 686 | 687,124 | |
| Grifols SA | |||
| Term Loan, 6.00%, Maturing June 1, 2017 | 2,150 | 2,161,870 | |
| Hanger Orthopedic Group, Inc. | |||
| Term Loan, 4.00%, Maturing December 1, 2016 | 672 | 673,304 | |
| Harvard Drug Group, LLC | |||
| Term Loan, 6.50%, Maturing April 8, 2016 | 113 | 111,695 | |
| Term Loan, 6.50%, Maturing April 8, 2016 | 824 | 812,328 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| HCA, Inc. | |||
| Term Loan, 3.50%, Maturing March 31, 2017 | 6,168 | $ 6,059,373 | |
| Term Loan, 3.50%, Maturing May 1, 2018 | 2,572 | 2,527,445 | |
| Health Management Associates, Inc. | |||
| Term Loan, 2.00%, Maturing February 28, 2014 | 7,001 | 6,848,156 | |
| Iasis Healthcare, LLC | |||
| Term Loan, 5.00%, Maturing May 3, 2018 | 1,671 | 1,665,591 | |
| IMS Health, Inc. | |||
| Term Loan, 4.50%, Maturing August 25, 2017 | 1,284 | 1,287,643 | |
| inVentiv Health, Inc. | |||
| Term Loan, 6.50%, Maturing August 4, 2016 | 1,888 | 1,882,263 | |
| Term Loan, 6.75%, Maturing May 15, 2018 | 1,175 | 1,172,062 | |
| Kindred Healthcare, Inc. | |||
| Term Loan, 5.25%, Maturing June 1, 2018 | 1,825 | 1,825,456 | |
| Lifepoint Hospitals, Inc. | |||
| Term Loan, 3.01%, Maturing April 15, 2015 | 2,022 | 2,023,801 | |
| MedAssets, Inc. | |||
| Term Loan, 5.25%, Maturing November 16, 2016 | 884 | 887,089 | |
| Medpace, Inc. | |||
| Term Loan, 6.50%, Maturing June 22, 2017 | 875 | 866,250 | |
| Meritas, LLC | |||
| Term Loan, Maturing | |||
| July 28, 2017 (2) | 825 | 816,750 | |
| MultiPlan, Inc. | |||
| Term Loan, 4.75%, Maturing August 26, 2017 | 2,548 | 2,538,919 | |
| Nyco Holdings | |||
| Term Loan, 5.19%, Maturing December 29, 2014 | EUR | 472 | 673,888 |
| Term Loan, 5.94%, Maturing December 29, 2015 | EUR | 471 | 673,722 |
| Physiotherapy Associates, Inc. | |||
| Term Loan, 7.50%, Maturing June 27, 2013 | 645 | 641,578 | |
| Prime Healthcare Services, Inc. | |||
| Term Loan, 7.25%, Maturing April 22, 2015 | 2,296 | 2,250,019 | |
| RadNet Management, Inc. | |||
| Term Loan, 5.75%, Maturing April 1, 2016 | 1,086 | 1,087,336 | |
| ReAble Therapeutics Finance, LLC | |||
| Term Loan, 2.19%, Maturing November 18, 2013 | 2,459 | 2,449,927 | |
| Renal Advantage Holdings, Inc. | |||
| Term Loan, 5.75%, Maturing December 16, 2016 | 721 | 725,208 | |
| Select Medical Holdings Corp. | |||
| Term Loan, 5.50%, Maturing May 25, 2018 | 3,025 | 2,977,698 | |
| Skillsoft Corp. | |||
| Term Loan, 6.50%, Maturing May 26, 2017 | 978 | 991,228 | |
| Sunquest Information Systems, Inc. | |||
| Term Loan, 6.25%, Maturing December 16, 2016 | 750 | 753,750 | |
| Sunrise Medical Holdings, Inc. | |||
| Term Loan, 6.75%, Maturing May 13, 2014 | EUR | 256 | 340,169 |
| TriZetto Group, Inc. (The) | |||
| Term Loan, 4.75%, Maturing May 2, 2018 | 1,475 | 1,468,087 | |
| Universal Health Services, Inc. | |||
| Term Loan, 4.00%, Maturing November 15, 2016 | 2,109 | 2,115,841 | |
| Vanguard Health Holding Co., LLC | |||
| Term Loan, 5.00%, Maturing January 29, 2016 | 1,580 | 1,583,457 | |
| VWR Funding, Inc. | |||
| Term Loan, 2.69%, Maturing June 30, 2014 | 2,228 | 2,170,645 | |
| $ 94,273,600 |
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| Principal | ||
|---|---|---|
| Amount* | ||
| Borrower/Tranche Description | (000s omitted) | Value |
| Home Furnishings 0.7% | ||
| Hunter Fan Co. | ||
| Term Loan, 2.69%, Maturing April 16, 2014 | 365 | $ 350,648 |
| National Bedding Co., LLC | ||
| Term Loan, 3.75%, Maturing November 28, 2013 | 1,441 | 1,433,714 |
| Term Loan - Second Lien, 5.31%, Maturing | ||
| February 28, 2014 | 2,050 | 1,974,833 |
| $ 3,759,195 | ||
| Industrial Equipment 3.8% | ||
| Brand Energy and Infrastructure Services, Inc. | ||
| Term Loan, 2.50%, Maturing February 7, 2014 | 2,667 | $ 2,440,417 |
| Term Loan, 3.56%, Maturing February 7, 2014 | 732 | 676,865 |
| Brock Holdings III, Inc. | ||
| Term Loan, 6.00%, Maturing March 16, 2017 | 1,147 | 1,147,125 |
| Butterfly Wendel US, Inc. | ||
| Term Loan, 3.46%, Maturing June 23, 2014 | 280 | 273,911 |
| Term Loan, 4.21%, Maturing June 22, 2015 | 280 | 273,822 |
| EPD Holdings, (Goodyear Engineering Products) | ||
| Term Loan, 2.69%, Maturing July 31, 2014 | 236 | 225,542 |
| Term Loan, 2.69%, Maturing July 31, 2014 | 1,651 | 1,574,702 |
| Term Loan - Second Lien, 5.94%, Maturing | ||
| July 31, 2015 | 775 | 700,406 |
| Excelitas Technologies Corp. | ||
| Term Loan, 6.00%, Maturing November 23, 2016 | 993 | 992,500 |
| Generac Acquisition Corp. | ||
| Term Loan, 2.74%, Maturing November 11, 2013 | 1,211 | 1,206,514 |
| Jason, Inc. | ||
| Term Loan, 8.25%, Maturing September 21, 2014 | 69 | 69,009 |
| Term Loan, 8.25%, Maturing September 21, 2014 | 174 | 173,636 |
| JMC Steel Group, Inc. | ||
| Term Loan, 4.75%, Maturing April 3, 2017 | 698 | 702,169 |
| KION Group GmbH | ||
| Term Loan, 3.69%, Maturing | ||
| December 23, 2014 (5) | 1,025 | 949,886 |
| Term Loan, 3.94%, Maturing | ||
| December 23, 2015 (5) | 1,025 | 949,886 |
| Pinafore, LLC | ||
| Term Loan, 4.25%, Maturing September 29, 2016 | 2,111 | 2,115,075 |
| Polypore, Inc. | ||
| Term Loan, 2.19%, Maturing July 3, 2014 | 3,794 | 3,758,692 |
| Sequa Corp. | ||
| Term Loan, 3.50%, Maturing December 3, 2014 | 794 | 781,405 |
| Terex Corp. | ||
| Term Loan, Maturing | ||
| July 26, 2017 (2) | 700 | 701,969 |
| $ 19,713,531 | ||
| Insurance 3.0% | ||
| Alliant Holdings I, Inc. | ||
| Term Loan, 3.25%, Maturing August 21, 2014 | 2,384 | $ 2,359,720 |
| AmWINS Group, Inc. | ||
| Term Loan, 6.50%, Maturing June 8, 2013 | 948 | 942,193 |
| Term Loan - Second Lien, 5.75%, Maturing | ||
| June 8, 2014 | 500 | 463,125 |
| Applied Systems, Inc. | ||
| Term Loan, 5.50%, Maturing December 8, 2016 | 1,393 | 1,400,836 |
| CCC Information Services Group, Inc. | ||
| Term Loan, 5.50%, Maturing November 11, 2015 | 1,418 | 1,425,398 |
| CNO Financial Group, Inc. | ||
| Term Loan, 6.25%, Maturing September 30, 2016 | 1,194 | 1,200,922 |
| Crawford & Company | ||
| Term Loan, 5.00%, Maturing October 30, 2013 | 1,134 | 1,142,197 |
| Crump Group, Inc. | ||
| Term Loan, 3.20%, Maturing August 1, 2014 | 576 | 563,865 |
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| Principal | ||
|---|---|---|
| Amount* | ||
| Borrower/Tranche Description | (000s omitted) | Value |
| HUB International Holdings, Inc. | ||
| Term Loan, 2.75%, Maturing June 13, 2014 | 488 | $ 474,891 |
| Term Loan, 2.75%, Maturing June 13, 2014 | 2,172 | 2,113,137 |
| Term Loan, 6.75%, Maturing June 13, 2014 | 565 | 565,821 |
| U.S.I. Holdings Corp. | ||
| Term Loan, 2.69%, Maturing May 5, 2014 | 2,983 | 2,908,665 |
| $ 15,560,770 | ||
| Leisure Goods/Activities/Movies 7.8% | ||
| Alpha D2, Ltd. | ||
| Term Loan, 2.65%, Maturing December 31, 2013 | 864 | $ 826,750 |
| Term Loan, 2.65%, Maturing December 31, 2013 | 1,582 | 1,513,016 |
| Term Loan - Second Lien, 3.90%, Maturing | ||
| June 30, 2014 | 2,000 | 1,899,286 |
| AMC Entertainment, Inc. | ||
| Term Loan, 3.50%, Maturing December 16, 2016 | 3,718 | 3,696,524 |
| AMC Networks, Inc. | ||
| Term Loan, 4.00%, Maturing December 31, 2018 | 1,350 | 1,346,625 |
| Bombardier Recreational Products | ||
| Term Loan, 2.75%, Maturing June 28, 2013 | 2,810 | 2,747,148 |
| Carmike Cinemas, Inc. | ||
| Term Loan, 5.50%, Maturing January 27, 2016 | 724 | 728,044 |
| Cedar Fair, L.P. | ||
| Term Loan, 4.00%, Maturing December 15, 2017 | 1,960 | 1,965,744 |
| Cinemark, Inc. | ||
| Term Loan, 3.47%, Maturing April 29, 2016 | 3,443 | 3,463,390 |
| ClubCorp Club Operations, Inc. | ||
| Term Loan, 6.00%, Maturing November 9, 2016 | 647 | 647,558 |
| Dave & Busters, Inc. | ||
| Term Loan, 5.50%, Maturing May 12, 2016 | 988 | 989,352 |
| Deluxe Entertainment Services Group, Inc. | ||
| Term Loan, 6.04%, Maturing May 11, 2013 | 59 | 58,797 |
| Term Loan, 6.25%, Maturing May 11, 2013 | 874 | 870,192 |
| Fender Musical Instruments Corp. | ||
| Term Loan, 2.44%, Maturing June 9, 2014 | 287 | 276,116 |
| Term Loan, 2.44%, Maturing June 9, 2014 | 565 | 543,801 |
| Miramax Film NY, LLC | ||
| Term Loan, 7.75%, Maturing May 20, 2016 | 892 | 905,692 |
| National CineMedia, LLC | ||
| Term Loan, 1.75%, Maturing February 13, 2015 | 2,086 | 2,048,655 |
| Regal Cinemas Corp. | ||
| Term Loan, 3.50%, Maturing August 23, 2017 | 4,378 | 4,380,395 |
| Revolution Studios Distribution Co., LLC | ||
| Term Loan, 3.94%, Maturing December 21, 2014 | 934 | 695,672 |
| Term Loan - Second Lien, 7.19%, Maturing | ||
| June 21, 2015 (7) | 800 | 246,400 |
| SeaWorld Parks & Entertainment, Inc. | ||
| Term Loan, 4.00%, Maturing August 17, 2017 | 1,750 | 1,755,861 |
| Six Flags Theme Parks, Inc. | ||
| Term Loan, 5.25%, Maturing June 30, 2016 | 3,141 | 3,161,523 |
| SRAM, LLC | ||
| Term Loan, 4.77%, Maturing June 7, 2018 | 1,325 | 1,325,828 |
| Term Loan - Second Lien, 8.50%, Maturing | ||
| December 7, 2018 | 500 | 501,250 |
| Zuffa, LLC | ||
| Term Loan, 2.25%, Maturing June 19, 2015 | 3,912 | 3,837,189 |
| $ 40,430,808 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Lodging and Casinos 2.9% | |||
| Ameristar Casinos, Inc. | |||
| Term Loan, 4.00%, Maturing April 13, 2018 | 1,047 | $ 1,051,739 | |
| Gala Electric Casinos, Ltd. | |||
| Term Loan, 5.70%, Maturing May 30, 2018 | GBP | 1,625 | 2,408,243 |
| Harrahs Operating Co. | |||
| Term Loan, 3.23%, Maturing January 28, 2015 | 1,223 | 1,102,979 | |
| Term Loan, 9.50%, Maturing October 31, 2016 | 2,955 | 3,089,653 | |
| Isle of Capri Casinos, Inc. | |||
| Term Loan, 4.50%, Maturing November 1, 2013 | 923 | 928,070 | |
| Las Vegas Sands, LLC | |||
| Term Loan, 2.72%, Maturing November 23, 2016 | 551 | 531,841 | |
| Term Loan, 2.72%, Maturing November 23, 2016 | 2,181 | 2,109,895 | |
| LodgeNet Entertainment Corp. | |||
| Term Loan, 6.50%, Maturing April 4, 2014 | 1,453 | 1,393,490 | |
| Penn National Gaming, Inc. | |||
| Term Loan, 3.75%, Maturing July 16, 2018 | 1,150 | 1,152,149 | |
| Tropicana Entertainment, Inc. | |||
| Term Loan, 15.00%, Maturing March 8, 2013 | 182 | 204,445 | |
| VML US Finance, LLC | |||
| Term Loan, 4.69%, Maturing May 27, 2013 | 979 | 979,013 | |
| $ 14,951,517 | |||
| Nonferrous Metals/Minerals 1.6% | |||
| Fairmount Minerals, Ltd. | |||
| Term Loan, 5.25%, Maturing March 15, 2017 | 2,790 | $ 2,799,299 | |
| Noranda Aluminum Acquisition | |||
| Term Loan, 1.94%, Maturing May 16, 2014 | 499 | 495,373 | |
| Novelis, Inc. | |||
| Term Loan, 3.75%, Maturing March 10, 2017 | 2,040 | 2,045,273 | |
| Oxbow Carbon and Mineral Holdings | |||
| Term Loan, 3.74%, Maturing May 8, 2016 | 2,665 | 2,667,851 | |
| SunCoke Energy, Inc. | |||
| Term Loan, 5.25%, Maturing July 26, 2018 | 500 | 501,250 | |
| $ 8,509,046 | |||
| Oil and Gas 4.0% | |||
| Big West Oil, LLC | |||
| Term Loan, 7.00%, Maturing March 31, 2016 | 560 | $ 564,196 | |
| CITGO Petroleum Corp. | |||
| Term Loan, 8.00%, Maturing June 24, 2015 | 218 | 220,710 | |
| Term Loan, 9.00%, Maturing June 23, 2017 | 2,549 | 2,658,656 | |
| Crestwood Holdings, LLC | |||
| Term Loan, 10.50%, Maturing September 30, 2016 | 458 | 471,883 | |
| Dynegy Holdings, Inc. | |||
| Term Loan, 3.94%, Maturing April 2, 2013 | 330 | 326,079 | |
| Term Loan, 3.94%, Maturing April 2, 2013 | 5,161 | 5,102,543 | |
| Frac Tech International, LLC | |||
| Term Loan, 6.25%, Maturing May 6, 2016 | 2,222 | 2,222,056 | |
| Gibson Energy | |||
| Term Loan, 5.75%, Maturing June 14, 2018 | 2,075 | 2,073,056 | |
| MEG Energy Corp. | |||
| Term Loan, 4.00%, Maturing March 16, 2018 | 1,225 | 1,226,786 | |
| Obsidian Natural Gas Trust | |||
| Term Loan, 7.00%, Maturing November 2, 2015 | 4,046 | 4,106,811 | |
| Sheridan Production Partners I, LLC | |||
| Term Loan, 6.50%, Maturing April 20, 2017 | 106 | 107,050 | |
| Term Loan, 6.50%, Maturing April 20, 2017 | 174 | 175,260 | |
| Term Loan, 6.50%, Maturing April 20, 2017 | 1,316 | 1,322,635 | |
| $ 20,577,721 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Publishing 6.3% | |||
| Aster Zweite Beteiligungs GmbH | |||
| Term Loan, 4.71%, Maturing December 30, 2016 | 1,775 | $ 1,707,550 | |
| Cengage Learning, Inc. | |||
| Term Loan, 2.50%, Maturing July 3, 2014 | 995 | 871,970 | |
| GateHouse Media Operating, Inc. | |||
| Term Loan, 2.19%, Maturing August 28, 2014 | 862 | 305,903 | |
| Term Loan, 2.19%, Maturing August 28, 2014 | 2,054 | 729,286 | |
| Term Loan, 2.44%, Maturing August 28, 2014 | 667 | 236,865 | |
| Getty Images, Inc. | |||
| Term Loan, 5.25%, Maturing November 7, 2016 | 3,432 | 3,452,793 | |
| IWCO Direct, Inc. | |||
| Term Loan, 3.56%, Maturing August 7, 2014 | 167 | 154,193 | |
| Term Loan, 3.56%, Maturing August 7, 2014 | 1,599 | 1,479,199 | |
| Lamar Media Corp. | |||
| Term Loan, 4.00%, Maturing December 30, 2016 | 666 | 669,873 | |
| Laureate Education, Inc. | |||
| Term Loan, 5.25%, Maturing August 15, 2018 | 4,100 | 3,920,966 | |
| MediaNews Group, Inc. | |||
| Term Loan, 8.50%, Maturing March 19, 2014 | 113 | 112,486 | |
| Merrill Communications, LLC | |||
| Term Loan, 7.50%, Maturing December 24, 2012 | 1,225 | 1,225,309 | |
| Nelson Education, Ltd. | |||
| Term Loan, 2.75%, Maturing July 3, 2014 | 473 | 413,699 | |
| Nielsen Finance, LLC | |||
| Term Loan, 2.19%, Maturing August 9, 2013 | 5,598 | 5,529,140 | |
| Term Loan, 3.94%, Maturing May 2, 2016 | 1,968 | 1,968,600 | |
| SGS International, Inc. | |||
| Term Loan, 3.77%, Maturing September 30, 2013 | 464 | 463,566 | |
| Source Interlink Companies, Inc. | |||
| Term Loan, 10.75%, Maturing June 18, 2013 | 898 | 879,689 | |
| Term Loan, 15.00%, Maturing | |||
| March 18, 2014 (5) | 620 | 573,555 | |
| Springer Science+Business Media S.A. | |||
| Term Loan, 4.19%, Maturing June 17, 2016 | 1,000 | 1,000,000 | |
| Trader Media Corp., Ltd. | |||
| Term Loan, 4.63%, Maturing June 8, 2017 | GBP | 1,287 | 2,065,364 |
| Term Loan, 5.14%, Maturing December 1, 2017 | GBP | 1,000 | 1,605,886 |
| Xsys, Inc. | |||
| Term Loan, 4.71%, Maturing December 30, 2016 | 1,509 | 1,452,123 | |
| Term Loan, 4.71%, Maturing December 30, 2016 | 1,699 | 1,634,914 | |
| $ 32,452,929 | |||
| Radio and Television 3.5% | |||
| Block Communications, Inc. | |||
| Term Loan, 2.19%, Maturing December 22, 2011 | 803 | $ 799,234 | |
| CMP Susquehanna Corp. | |||
| Term Loan, 2.19%, Maturing May 3, 2013 | 1,497 | 1,490,228 | |
| Cumulus Media, Inc. | |||
| Term Loan, Maturing | |||
| August 30, 2018 (2) | 4,175 | 4,161,068 | |
| Gray Television, Inc. | |||
| Term Loan, 3.69%, Maturing December 31, 2014 | 635 | 622,512 | |
| HIT Entertainment, Inc. | |||
| Term Loan, 5.52%, Maturing June 1, 2012 | 739 | 732,347 | |
| Hubbard Radio, LLC | |||
| Term Loan, 5.25%, Maturing April 28, 2017 | 1,000 | 1,008,542 | |
| Live Nation Worldwide, Inc. | |||
| Term Loan, 4.50%, Maturing November 7, 2016 | 2,271 | 2,275,495 | |
| Mission Broadcasting, Inc. | |||
| Term Loan, 5.00%, Maturing September 30, 2016 | 521 | 522,538 | |
| Nexstar Broadcasting, Inc. | |||
| Term Loan, 5.00%, Maturing September 30, 2016 | 815 | 817,310 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Raycom TV Broadcasting, LLC | |||
| Term Loan, 4.50%, Maturing May 31, 2017 | 875 | $ 875,000 | |
| Univision Communications, Inc. | |||
| Term Loan, 2.19%, Maturing September 29, 2014 | 1,836 | 1,758,607 | |
| Term Loan, 4.44%, Maturing March 31, 2017 | 1,836 | 1,748,400 | |
| Weather Channel | |||
| Term Loan, 4.25%, Maturing February 13, 2017 | 1,137 | 1,140,704 | |
| $ 17,951,985 | |||
| Retailers (Except Food and Drug) 3.7% | |||
| Amscan Holdings, Inc. | |||
| Term Loan, 6.75%, Maturing December 4, 2017 | 1,514 | $ 1,521,445 | |
| FTD, Inc. | |||
| Term Loan, 4.75%, Maturing June 6, 2018 | 1,275 | 1,276,562 | |
| Harbor Freight Tools USA, Inc. | |||
| Term Loan, 6.50%, Maturing December 22, 2017 | 1,791 | 1,826,820 | |
| J. Crew Operating Corp. | |||
| Term Loan, 4.75%, Maturing March 7, 2018 | 1,596 | 1,536,260 | |
| Michaels Stores, Inc. | |||
| Term Loan, 2.50%, Maturing October 31, 2013 | 926 | 911,299 | |
| Neiman Marcus Group, Inc. | |||
| Term Loan, 4.75%, Maturing May 16, 2018 | 3,050 | 3,014,919 | |
| Orbitz Worldwide, Inc. | |||
| Term Loan, 3.22%, Maturing July 25, 2014 | 1,063 | 977,439 | |
| PETCO Animal Supplies, Inc. | |||
| Term Loan, 4.50%, Maturing November 24, 2017 | 1,238 | 1,234,117 | |
| Phillips-Van Heusen Corp. | |||
| Term Loan, 3.50%, Maturing May 6, 2016 | 548 | 550,456 | |
| Pilot Travel Centers, LLC | |||
| Term Loan, 4.25%, Maturing March 30, 2018 | 1,825 | 1,832,979 | |
| Savers, Inc. | |||
| Term Loan, 4.25%, Maturing March 3, 2017 | 1,197 | 1,200,241 | |
| Visant Holding Corp. | |||
| Term Loan, 5.25%, Maturing December 22, 2016 | 1,393 | 1,385,159 | |
| Vivarte | |||
| Term Loan, 3.25%, Maturing March 9, 2015 | EUR | 29 | 36,730 |
| Term Loan, 3.25%, Maturing March 9, 2015 | EUR | 62 | 80,308 |
| Term Loan, 3.25%, Maturing March 9, 2015 | EUR | 347 | 446,361 |
| Term Loan, 3.87%, Maturing March 8, 2016 | EUR | 441 | 566,511 |
| Term Loan, 3.87%, Maturing May 29, 2016 | EUR | 18 | 23,656 |
| Term Loan, 3.87%, Maturing May 29, 2016 | EUR | 71 | 91,513 |
| Yankee Candle Company, Inc. (The) | |||
| Term Loan, 2.19%, Maturing February 6, 2014 | 520 | 517,948 | |
| $ 19,030,723 | |||
| Steel 0.2% | |||
| Niagara Corp. | |||
| Term Loan, 10.50%, Maturing | |||
| June 29, 2014 (5)(7) | 1,357 | $ 1,273,109 | |
| $ 1,273,109 | |||
| Surface Transport 0.4% | |||
| Swift Transportation Co., Inc. | |||
| Term Loan, 6.00%, Maturing December 21, 2016 | 2,264 | $ 2,277,906 | |
| $ 2,277,906 | |||
| Telecommunications 8.0% | |||
| Alaska Communications Systems Holdings, Inc. | |||
| Term Loan, 5.50%, Maturing October 21, 2016 | 1,816 | $ 1,823,138 | |
| Asurion Corp. | |||
| Term Loan, 5.50%, Maturing May 24, 2018 | 5,700 | 5,664,352 | |
| Term Loan - Second Lien, 9.00%, Maturing | |||
| May 24, 2019 | 1,100 | 1,109,778 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Borrower/Tranche Description | (000s omitted) | Value | |
| Cellular South, Inc. | |||
| Term Loan, 4.50%, Maturing July 27, 2017 | 850 | $ 852,125 | |
| CommScope, Inc. | |||
| Term Loan, 5.00%, Maturing January 14, 2018 | 2,120 | 2,130,935 | |
| Intelsat Jackson Holdings SA | |||
| Term Loan, 5.25%, Maturing April 2, 2018 | 10,324 | 10,368,488 | |
| Macquarie UK Broadcast Ventures, Ltd. | |||
| Term Loan, 2.88%, Maturing December 1, 2014 | GBP | 755 | 1,118,307 |
| MetroPCS Wireless | |||
| Term Loan, 3.94%, Maturing March 16, 2018 | 3,990 | 3,982,510 | |
| NTelos, Inc. | |||
| Term Loan, 4.00%, Maturing August 7, 2015 | 1,474 | 1,473,769 | |
| SBA Communications Corp. | |||
| Term Loan, 3.75%, Maturing June 29, 2018 | 950 | 951,188 | |
| Syniverse Technologies, Inc. | |||
| Term Loan, 5.25%, Maturing December 21, 2017 | 997 | 1,001,234 | |
| Telesat Canada, Inc. | |||
| Term Loan, 3.19%, Maturing October 31, 2014 | 157 | 155,044 | |
| Term Loan, 3.19%, Maturing October 31, 2014 | 1,823 | 1,804,978 | |
| TowerCo Finance, LLC | |||
| Term Loan, 5.25%, Maturing February 2, 2017 | 673 | 675,837 | |
| Wind Telecomunicazioni SpA | |||
| Term Loan, 5.70%, Maturing December 15, 2017 | EUR | 3,600 | 5,062,915 |
| Windstream Corp. | |||
| Term Loan, 2.99%, Maturing December 17, 2015 | 2,968 | 2,977,031 | |
| $ 41,151,629 | |||
| Utilities 3.3% | |||
| AES Corp. | |||
| Term Loan, 4.25%, Maturing June 1, 2018 | 2,594 | $ 2,599,984 | |
| BRSP, LLC | |||
| Term Loan, 7.50%, Maturing June 4, 2014 | 962 | 966,568 | |
| Calpine Corp. | |||
| Term Loan, 4.50%, Maturing April 2, 2018 | 950 | 942,994 | |
| Term Loan, 4.50%, Maturing April 2, 2018 | 2,793 | 2,772,229 | |
| EquiPower Resources Holdings, LLC | |||
| Term Loan, 5.75%, Maturing January 26, 2018 | 549 | 549,311 | |
| NRG Energy, Inc. | |||
| Term Loan, 4.00%, Maturing July 2, 2018 | 4,425 | 4,434,089 | |
| Pike Electric, Inc. | |||
| Term Loan, 1.69%, Maturing July 2, 2012 | 103 | 102,014 | |
| Term Loan, 1.69%, Maturing December 10, 2012 | 239 | 237,018 | |
| TXU Texas Competitive Electric Holdings Co., LLC | |||
| Term Loan, 4.73%, Maturing October 10, 2017 | 5,832 | 4,363,030 | |
| $ 16,967,237 | |||
| Total Senior Floating-Rate Interests (identified cost $744,487,978) | $ 742,987,946 |
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Corporate Bonds & Notes 10.0%
| Principal | |||
|---|---|---|---|
| Amount* | |||
| Security | (000s omitted) | Value | |
| Aerospace and Defense 0.4% | |||
| International Lease Finance Corp., Sr. Notes | |||
| 5.65%, 6/1/14 | 1,000 | $ 1,020,000 | |
| 6.50%, 9/1/14 (8) | 350 | 372,750 | |
| 6.75%, 9/1/16 (8) | 350 | 372,750 | |
| 7.125%, 9/1/18 (8) | 350 | 374,500 | |
| $ 2,140,000 | |||
| Automotive 0.0% (9) | |||
| American Axle & Manufacturing Holdings, Inc., Sr. | |||
| Notes | |||
| 9.25%, 1/15/17 (8) | 104 | $ 115,310 | |
| $ 115,310 | |||
| Broadcast Radio and Television 0.3% | |||
| Entravision Communications Corp., Sr. Notes | |||
| 8.75%, 8/1/17 (8) | 1,000 | $ 1,050,000 | |
| XM Satellite Radio Holdings, Inc. | |||
| 13.00%, 8/1/14 (8) | 485 | 571,087 | |
| $ 1,621,087 | |||
| Building and Development 0.8% | |||
| AMO Escrow Corp., Sr. Notes | |||
| 11.50%, 12/15/17 (8) | 1,802 | $ 1,941,655 | |
| Grohe Holding GmbH , Variable Rate | |||
| 4.48%, 1/15/14 (10) | EUR | 1,575 | 2,246,143 |
| $ 4,187,798 | |||
| Business Equipment and Services 0.4% | |||
| Brocade Communications Systems, Inc., Sr. Notes | |||
| 6.625%, 1/15/18 (8) | 30 | $ 31,950 | |
| 6.875%, 1/15/20 (8) | 30 | 32,738 | |
| Education Management, LLC, Sr. Notes | |||
| 8.75%, 6/1/14 | 390 | 400,237 | |
| RSC Equipment Rental, Inc., Sr. Notes | |||
| 10.00%, 7/15/17 (8) | 750 | 849,375 | |
| SunGard Data Systems, Inc., Sr. Notes | |||
| 10.625%, 5/15/15 | 500 | 546,250 | |
| Ticketmaster Entertainment, Inc. | |||
| 10.75%, 8/1/16 | 50 | 54,750 | |
| $ 1,915,300 | |||
| Cable and Satellite Television 0.5% | |||
| Virgin Media Finance PLC, Sr. Notes | |||
| 6.50%, 1/15/18 | 2,500 | $ 2,762,500 | |
| $ 2,762,500 | |||
| Chemicals and Plastics 0.3% | |||
| Styrolution Group GmbH, Sr. Notes | |||
| 7.625%, 5/15/16 (8) | EUR | 1,075 | $ 1,498,327 |
| Wellman Holdings, Inc. | |||
| 5.00%, 1/29/19 (5)(7) | 484 | 268,868 | |
| $ 1,767,195 | |||
| Conglomerates 0.0% (9) | |||
| RBS Global & Rexnord Corp. | |||
| 11.75%, 8/1/16 | 155 | $ 164,494 | |
| $ 164,494 |
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| Principal | |||
|---|---|---|---|
| Amount* | |||
| Security | (000s omitted) | Value | |
| Containers and Glass Products 0.4% | |||
| Berry Plastics Corp., Sr. Notes, Variable Rate | |||
| 4.999%, 2/15/15 | 2,000 | $ 1,980,000 | |
| $ 1,980,000 | |||
| Cosmetics/Toiletries 0.3% | |||
| Revlon Consumer Products Corp. | |||
| 9.75%, 11/15/15 | 1,415 | $ 1,545,888 | |
| $ 1,545,888 | |||
| Ecological Services and Equipment 0.1% | |||
| Environmental Systems Product Holdings, Inc., Jr. Notes | |||
| 0.00%, 3/31/15 (7) | 373 | $ 320,347 | |
| $ 320,347 | |||
| Electronics/Electrical 0.1% | |||
| NXP BV/NXP Funding, LLC, Variable Rate | |||
| 2.999%, 10/15/13 | 674 | $ 676,106 | |
| $ 676,106 | |||
| Equipment | |||
| Leasing 0.0% (9) | |||
| Hertz Corp. | |||
| 8.875%, 1/1/14 | 2 | $ 2,063 | |
| $ 2,063 | |||
| Financial Intermediaries 1.3% | |||
| First Data Corp., Sr. Notes | |||
| 7.375%, 6/15/19 (8) | 1,000 | $ 1,012,500 | |
| Ford Motor Credit Co., LLC, Sr. Notes | |||
| 12.00%, 5/15/15 | 2,250 | 2,828,835 | |
| 8.00%, 12/15/16 | 175 | 201,030 | |
| UPCB Finance II, Ltd., Sr. Notes | |||
| 6.375%, 7/1/20 (8) | EUR | 1,000 | 1,359,666 |
| UPCB Finance III, Ltd., Sr. Notes | |||
| 6.625%, 7/1/20 (8) | 1,200 | 1,209,000 | |
| $ 6,611,031 | |||
| Food Service 0.1% | |||
| NPC International, Inc., Sr. Sub. Notes | |||
| 9.50%, 5/1/14 | 245 | $ 251,125 | |
| $ 251,125 | |||
| Forest | |||
| Products 0.0% (9) | |||
| Verso Paper Holdings, LLC/Verso Paper, Inc. | |||
| 11.375%, 8/1/16 | 225 | $ 210,375 | |
| $ 210,375 | |||
| Health Care 0.1% | |||
| Accellent, Inc., Sr. Notes | |||
| 8.375%, 2/1/17 (8) | 135 | $ 140,737 | |
| DJO Finance, LLC/DJO Finance Corp. | |||
| 10.875%, 11/15/14 | 205 | 220,631 | |
| HCA, Inc. | |||
| 9.25%, 11/15/16 | 115 | 123,266 | |
| $ 484,634 | |||
| Industrial Equipment 0.3% | |||
| Chart Industries, Inc., Sr. Sub. Notes | |||
| 9.125%, 10/15/15 | 195 | $ 204,994 |
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| Principal | ||
|---|---|---|
| Amount* | ||
| Security | (000s omitted) | Value |
| Terex Corp., Sr. Notes | ||
| 10.875%, 6/1/16 | 1,000 | $ 1,152,500 |
| $ 1,357,494 | ||
| Insurance 0.0% (9) | ||
| Alliant Holdings I, Inc. | ||
| 11.00%, 5/1/15 (8) | 100 | $ 106,000 |
| $ 106,000 | ||
| Leisure Goods/Activities/Movies 0.1% | ||
| AMC Entertainment, Inc., Sr. Notes | ||
| 8.75%, 6/1/19 | 110 | $ 117,425 |
| Royal Caribbean Cruises, Sr. Notes | ||
| 7.00%, 6/15/13 | 95 | 102,006 |
| 6.875%, 12/1/13 | 35 | 37,844 |
| 7.25%, 6/15/16 | 25 | 27,063 |
| 7.25%, 3/15/18 | 50 | 53,500 |
| $ 337,838 | ||
| Lodging and Casinos 0.8% | ||
| Buffalo Thunder Development Authority | ||
| 9.375%, 12/15/49 (6)(8) | 480 | $ 187,800 |
| CCM Merger, Inc. | ||
| 8.00%, 8/1/13 (8) | 50 | 50,000 |
| Harrahs Operating Co., Inc., Sr. Notes | ||
| 11.25%, 6/1/17 | 1,500 | 1,659,375 |
| Inn of the Mountain Gods Resort & Casino, Sr. Notes | ||
| 1.25%, 11/30/20 (5)(8) | 314 | 197,461 |
| 8.75%, 11/30/20 (8) | 137 | 136,315 |
| Mohegan Tribal Gaming Authority, Sr. Sub. Notes | ||
| 8.00%, 4/1/12 | 140 | 113,400 |
| 7.125%, 8/15/14 | 215 | 146,738 |
| 6.875%, 2/15/15 | 230 | 156,400 |
| Peninsula Gaming, LLC | ||
| 10.75%, 8/15/17 | 1,000 | 1,097,500 |
| Tunica-Biloxi Gaming Authority, Sr. Notes | ||
| 9.00%, 11/15/15 (8) | 310 | 321,237 |
| Waterford Gaming, LLC, Sr. Notes | ||
| 8.625%, 9/15/14 (7)(8) | 227 | 145,778 |
| $ 4,212,004 | ||
| Nonferrous Metals/Minerals 0.3% | ||
| CII Carbon, LLC | ||
| 11.125%, 11/15/15 (8) | 185 | $ 192,862 |
| Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance | ||
| Corp. | ||
| 8.25%, 12/15/17 (8) | 1,000 | 1,075,000 |
| 8.50%, 12/15/19 | 335 | 363,894 |
| $ 1,631,756 | ||
| Oil and Gas 0.1% | ||
| Petroleum Development Corp., Sr. Notes | ||
| 12.00%, 2/15/18 | 115 | $ 128,800 |
| Petroplus Finance, Ltd. | ||
| 7.00%, 5/1/17 (8) | 145 | 135,575 |
| Quicksilver Resources, Inc., Sr. Notes | ||
| 11.75%, 1/1/16 | 125 | 145,000 |
| SESI, LLC, Sr. Notes | ||
| 6.875%, 6/1/14 | 60 | 61,125 |
| $ 470,500 |
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| Principal | ||
|---|---|---|
| Amount* | ||
| Security | (000s omitted) | Value |
| Publishing 0.2% | ||
| Laureate Education, Inc. | ||
| 10.00%, 8/15/15 (8) | 1,000 | $ 1,048,750 |
| $ 1,048,750 | ||
| Rail Industries 0.2% | ||
| American Railcar Industry, Sr. Notes | ||
| 7.50%, 3/1/14 | 175 | $ 178,500 |
| Kansas City Southern Mexico, Sr. Notes | ||
| 8.00%, 2/1/18 (8) | 500 | 556,350 |
| $ 734,850 | ||
| Retailers (Except Food and Drug) 0.4% | ||
| Amscan Holdings, Inc., Sr. Sub. Notes | ||
| 8.75%, 5/1/14 | 400 | $ 408,000 |
| Sally Holdings, LLC, Sr. Notes | ||
| 9.25%, 11/15/14 | 665 | 696,587 |
| 10.50%, 11/15/16 | 20 | 21,500 |
| Toys R Us | ||
| 10.75%, 7/15/17 | 1,000 | 1,130,000 |
| $ 2,256,087 | ||
| Steel 0.0% (9) | ||
| RathGibson, Inc., Sr. Notes | ||
| 11.25%, 2/15/14 (6)(7) | 445 | $ 45 |
| $ 45 | ||
| Surface | ||
| Transport 0.0% (9) | ||
| CEVA Group PLC, Sr. Notes | ||
| 11.50%, 4/1/18 (8) | 165 | $ 174,488 |
| $ 174,488 | ||
| Telecommunications 0.8% | ||
| Avaya, Inc., Sr. Notes | ||
| 9.75%, 11/1/15 | 840 | $ 858,900 |
| EH Holding Corp., Sr. Notes | ||
| 6.50%, 6/15/19 (8) | 1,000 | 1,033,750 |
| Intelsat Bermuda, Ltd. | ||
| 11.25%, 6/15/16 | 900 | 960,750 |
| NII Capital Corp. | ||
| 10.00%, 8/15/16 | 335 | 387,762 |
| Telesat Canada/Telesat, LLC, Sr. Notes | ||
| 11.00%, 11/1/15 | 590 | 649,000 |
| $ 3,890,162 | ||
| Utilities 1.7% | ||
| Calpine Corp., Sr. Notes | ||
| 7.50%, 2/15/21 (8) | 4,725 | $ 4,914,000 |
| 7.875%, 1/15/23 (8) | 3,350 | 3,521,687 |
| NGC Corp. | ||
| 7.625%, 10/15/26 | 390 | 255,450 |
| Reliant Energy, Inc., Sr. Notes | ||
| 7.625%, 6/15/14 | 20 | 20,900 |
| $ 8,712,037 | ||
| Total Corporate Bonds & Notes (identified cost $49,645,821) | $ 51,687,264 |
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Asset-Backed Securities 1.5%
| Principal | ||
|---|---|---|
| Amount | ||
| Security | (000s omitted) | Value |
| Alzette European CLO SA, Series 2004-1A, Class E2, | ||
| 6.747%, 12/15/20 (11) | $ 443 | $ 363,349 |
| Avalon Capital Ltd. 3, Series 1A, Class D, | ||
| 2.208%, 2/24/19 (8)(11) | 589 | 453,623 |
| Babson Ltd., Series 2005-1A, Class C1, | ||
| 2.199%, 4/15/19 (8)(11) | 753 | 568,051 |
| Bryant Park CDO Ltd., Series 2005-1A, Class C, | ||
| 2.299%, 1/15/19 (8)(11) | 1,000 | 688,531 |
| Carlyle High Yield Partners, Series 2004-6A, Class C, | ||
| 2.716%, 8/11/16 (8)(11) | 1,000 | 837,539 |
| Centurion CDO 8 Ltd., Series 2005-8A, Class D, | ||
| 5.752%, 3/8/17 (11) | 985 | 728,557 |
| Centurion CDO 9 Ltd., Series 2005-9A, Class D1, | ||
| 5.00%, 7/17/19 (11) | 750 | 553,544 |
| Comstock Funding Ltd., Series 2006-1A, Class D, | ||
| 4.504%, 5/30/20 (8)(11) | 692 | 488,184 |
| Dryden Leveraged Loan, Series 2004-6A, Class C1, | ||
| 2.804%, 7/30/16 (8)(11) | 1,500 | 1,199,243 |
| First CLO Ltd., Series 2004-1A1, Class C, | ||
| 2.552%, 7/27/16 (8)(11) | 1,000 | 907,880 |
| Schiller Park CLO Ltd., Series 2007-1A, Class D, | ||
| 2.503%, 4/25/21 (8)(11) | 1,000 | 732,623 |
| Total Asset-Backed Securities (identified cost $9,514,030) | $ 7,521,124 |
Common Stocks 2.0%
| Security | Value | |
|---|---|---|
| Air | ||
| Transport 0.0% (9) | ||
| Delta Air Lines, | ||
| Inc. (12) | 3,971 | $ 31,331 |
| $ 31,331 | ||
| Automotive 0.7% | ||
| Dayco Products, | ||
| LLC (7)(12)(13) | 18,702 | $ 1,047,312 |
| Hayes Lemmerz International, | ||
| Inc. (7)(12)(13) | 44,747 | 2,684,820 |
| $ 3,732,132 | ||
| Building and Development 0.1% | ||
| Panolam Holdings | ||
| Co. (7)(12)(14) | 253 | $ 243,551 |
| United Subcontractors, | ||
| Inc. (7)(12)(13) | 508 | 38,970 |
| $ 282,521 | ||
| Chemicals and Plastics 0.0% | ||
| Wellman Holdings, | ||
| Inc. (7)(12)(13) | 438 | $ 0 |
| $ 0 | ||
| Diversified | ||
| Manufacturing 0.0% (9) | ||
| MEGA Brands, | ||
| Inc. (12) | 16,150 | $ 152,712 |
| $ 152,712 | ||
| Ecological Services and | ||
| Equipment 0.0% (9) | ||
| Environmental Systems Products Holdings, | ||
| Inc. (7)(12)(14) | 6,211 | $ 140,307 |
| $ 140,307 | ||
| Financial | ||
| Intermediaries 0.0% (9) | ||
| RTS Investor | ||
| Corp. (7)(12)(13) | 78 | $ 17,180 |
| $ 17,180 | ||
| Food | ||
| Service 0.0% (9) | ||
| Buffets, | ||
| Inc. (7)(12) | 23,029 | $ 94,995 |
| $ 94,995 | ||
| Leisure Goods/Activities/Movies 0.2% | ||
| Metro-Goldwyn-Mayer Holdings, | ||
| Inc. (12)(13) | 50,438 | $ 1,121,302 |
| $ 1,121,302 | ||
| Lodging and Casinos 0.1% | ||
| Greektown Superholdings, | ||
| Inc. (12) | 71 | $ 4,970 |
| Tropicana Entertainment, | ||
| Inc. (7)(12)(13) | 35,670 | 575,179 |
| $ 580,149 |
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| Security | Value | |
|---|---|---|
| Nonferrous Metals/Minerals 0.1% | ||
| Euramax International, | ||
| Inc. (12)(13) | 701 | $ 224,384 |
| $ 224,384 | ||
| Oil and | ||
| Gas 0.0% (9) | ||
| SemGroup | ||
| Corp. (12) | 1,397 | $ 32,522 |
| $ 32,522 | ||
| Publishing 0.6% | ||
| Ion Media Networks, | ||
| Inc. (7)(12)(13) | 3,990 | $ 2,793,000 |
| MediaNews Group, | ||
| Inc. (7)(12)(13) | 10,718 | 203,104 |
| Source Interlink Companies, | ||
| Inc. (7)(12)(13) | 2,290 | 80,471 |
| SuperMedia, | ||
| Inc. (12) | 9,554 | 34,872 |
| $ 3,111,447 | ||
| Steel 0.2% | ||
| KNIA Holdings, | ||
| Inc. (7)(12)(13) | 23,138 | $ 311,669 |
| RathGibson Acquisition Co., | ||
| LLC (7)(12)(14) | 19,800 | 662,310 |
| $ 973,979 | ||
| Total Common Stocks (identified cost $4,634,402) | $ 10,494,961 |
Preferred Stocks 0.0% (9)
| Security | Value | |
|---|---|---|
| Commercial Services & | ||
| Supplies 0.0% (9) | ||
| Environmental Systems Products Holdings, Inc., | ||
| Series A (7)(12)(14) | 1,422 | $ 89,103 |
| Total Preferred Stocks (identified cost $24,885) | $ 89,103 |
Warrants 0.0% (9)
| Security | Value | |
|---|---|---|
| Oil and | ||
| Gas 0.0% (9) | ||
| SemGroup Corp., Expires | ||
| 11/30/14 (12) | 1,470 | $ 8,151 |
| $ 8,151 | ||
| Publishing 0.0% | ||
| Readers Digest Association, Inc. (The), Expires | ||
| 2/19/14 (7)(12)(13) | 1,450 | $ 0 |
| $ 0 | ||
| Retailers (Except Food and Drug) 0.0% | ||
| Oriental Trading Co., Inc., Expires | ||
| 2/11/16 (7)(12)(13) | 6,730 | $ 0 |
| Oriental Trading Co., Inc., Expires | ||
| 2/11/16 (7)(12)(13) | 6,134 | 0 |
| $ 0 | ||
| Total Warrants (identified cost $15) | $ 8,151 |
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Short-Term Investments 1.4%
| Interest/ | |||
|---|---|---|---|
| Principal | |||
| Amount | |||
| Description | (000s omitted) | Value | |
| Eaton Vance Cash Reserves Fund, LLC, | |||
| 0.10% (15) | $ 1,931 | $ 1,930,511 | |
| State Street Bank and Trust Euro Time Deposit, | |||
| 0.01%, 8/1/11 | 5,404 | 5,403,802 | |
| Total Short-Term Investments (identified cost $7,334,313) | $ 7,334,313 | ||
| Total Investments 158.6% (identified cost $815,641,444) | $ 820,122,862 | ||
| Less Unfunded Loan Commitments (0.2)% | $ (870,244 | ) | |
| Net Investments 158.4% (identified cost $814,771,200) | $ 819,252,618 | ||
| Other Assets, Less Liabilities (33.0)% | $ (170,697,416 | ) | |
| Auction Preferred Shares Plus Cumulative Unpaid | |||
| Dividends (25.4)% | $ (131,305,464 | ) | |
| Net Assets Applicable to Common Shares 100.0% | $ 517,249,738 |
| The percentage shown for each investment category in the
Portfolio of Investments is based on net assets applicable to
common shares. — EUR | - | Euro |
| --- | --- | --- |
| GBP | - | British Pound Sterling |
| * | | In U.S. dollars unless otherwise indicated. |
| (1) | | Senior floating-rate interests (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 have an expected
average life of approximately two to four years. The stated
interest rate represents the weighted average interest rate of
all contracts within the senior loan facility and includes
commitment fees on unfunded loan commitments, if any. Senior
Loans typically have rates of interest which are redetermined
either daily, monthly, quarterly or semi-annually by reference
to a base lending rate, plus a premium. These base lending rates
are primarily the London Interbank Offered Rate
(LIBOR) and secondarily, the prime rate offered by
one or more major United States banks (the Prime
Rate) and the certificate of deposit (CD) rate
or other base lending rates used by commercial lenders. |
| (2) | | This Senior Loan will settle after July 31, 2011, at
which time the interest rate will be determined. |
| (3) | | Unfunded or partially unfunded loan commitments. The Trust may
enter into certain credit agreements all or a portion of which
may be unfunded. The Trust is obligated to fund these
commitments at the borrowers discretion. |
| (4) | | Defaulted matured security. For a variable rate security,
interest rate has been adjusted to reflect non-accrual status. |
| (5) | | Represents a payment-in-kind security which may pay all or a portion of interest/dividends in
additional par/shares. |
| (6) | | Currently the issuer is in default with respect to interest
payments. For a variable rate security, interest rate has been
adjusted to reflect non-accrual status. |
| (7) | | Security valued at fair value using methods determined in good
faith by or at the direction of the Trustees. |
| (8) | | Security exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities may be sold
in certain transactions (normally to qualified institutional
buyers) and remain exempt from registration. At
July 31, 2011, the aggregate value of these securities
is $30,605,072 or 5.9% of the Trusts net assets applicable
to common shares. |
| (9) | | Amount is less than 0.05%. |
| (10) | | Security exempt from registration under Regulation S of the
Securities Act of 1933, which exempts from registration
securities offered and sold outside the United States. Security
may not be offered or sold in the United States except pursuant
to an exemption from, or in a transaction not subject to, the
registration requirements of the Securities Act of 1933. |
| (11) | | Variable rate security. The stated interest rate represents the
rate in effect at July 31, 2011. |
| (12) | | Non-income producing security. |
| (13) | | Security was acquired in connection with a restructuring of a
Senior Loan and may be subject to restrictions on resale. |
| (14) | | Restricted security. |
| (15) | | Affiliated investment company available to Eaton Vance
portfolios and funds which invests in high quality, U.S. dollar
denominated money market instruments. The rate shown is the
annualized seven-day yield as of July 31, 2011. Net income allocated from
the investment in Eaton Vance Cash Reserves Fund, LLC for the
fiscal year to date ended July 31, 2011 was $22,682. |
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A summary of open financial instruments at July 31, 2011 is as follows:
Forward Foreign Currency Exchange Contracts
Sales
| Settlement — Date | Deliver | In Exchange For | Counterparty | Net Unrealized — Depreciation | |
|---|---|---|---|---|---|
| 8/31/11 | British Pound Sterling 3,372,334 | United States Dollar 5,515,267 | JPMorgan Chase Bank | $ (18,615 | ) |
| 8/31/11 | Euro 10,103,827 | United States Dollar 14,225,582 | Citigroup Global Markets | (283,525 | ) |
| 9/30/11 | British Pound Sterling 7,487,205 | United States Dollar 11,981,325 | Goldman Sachs, Inc. | (300,877 | ) |
| 9/30/11 | Euro 10,586,261 | United States Dollar 15,163,072 | HSBC Bank USA | (27,159 | ) |
| 10/31/11 | Euro 9,200,904 | United States Dollar 13,179,144 | Deutsche Bank | (12,509 | ) |
| $ (642,685 | ) |
At July 31, 2011, the Trust had sufficient cash and/or securities to cover commitments under these contracts.
The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Trust 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 Trust enters into forward foreign currency exchange contracts. The Trust also enters into such contracts to hedge the currency risk of investments it anticipates purchasing.
At July 31, 2011, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in a liability position and whose primary underlying risk exposure is foreign exchange risk was $642,685.
The cost and unrealized appreciation (depreciation) of investments of the Trust at July 31, 2011, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $ | |
|---|---|---|
| Gross unrealized appreciation | $ 20,608,916 | |
| Gross unrealized depreciation | (16,709,970 | ) |
| Net unrealized appreciation | $ 3,898,946 |
Restricted Securities
At July 31, 2011, the Trust owned the following securities (representing 0.2% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
| Description | Date of — Acquisition | Shares | Cost | Value | |
|---|---|---|---|---|---|
| Common Stocks | |||||
| Environmental Systems Products Holdings, Inc. | 10/25/07 | 6,211 | $ 0 | (1) | $ 140,307 |
| Panolam Holdings Co. | 12/30/09 | 253 | 139,024 | 243,551 | |
| RathGibson Acquisition Co., LLC | 6/14/10 | 19,800 | 105,079 | 662,310 | |
| Total Common Stocks | $ 244,103 | $ 1,046,168 | |||
| Preferred Stocks | |||||
| Environmental Systems Products Holdings, Inc., Series A | 10/25/07 | 1,422 | $ 24,885 | $ 89,103 | |
| Total Restricted Stocks | $ 268,988 | $ 1,135,271 |
(1) Less than $0.50.
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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 funds own assumptions in determining the fair
value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At July 31, 2011, the hierarchy of inputs used in valuing the Trusts investments, which are carried at value, were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||
|---|---|---|---|---|---|---|
| Senior Floating-Rate Interests (Less Unfunded Loan Commitments) | $ | $ 740,117,970 | $ 1,999,732 | $ 742,117,702 | ||
| Corporate Bonds & Notes | | 50,952,226 | 735,038 | 51,687,264 | ||
| Asset-Backed Securities | | 7,521,124 | | 7,521,124 | ||
| Common Stocks | 251,437 | 1,350,656 | 8,892,868 | 10,494,961 | ||
| Preferred Stocks | | | 89,103 | 89,103 | ||
| Warrants | | 8,151 | 0 | 8,151 | ||
| Short-Term Investments | | 7,334,313 | | 7,334,313 | ||
| Total Investments | $ 251,437 | $ 807,284,440 | $ 11,716,741 | $ 819,252,618 | ||
| Liability Description | ||||||
| Forward Foreign Currency Exchange Contracts | $ | $ (642,685 | ) | $ | $ (642,685 | ) |
| Total | $ | $ (642,685 | ) | $ | $ (642,685 | ) |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| Investments in | Investments in | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Senior | Corporate | Investments in | |||||||||
| Floating-Rate | Bonds & | Investments in | Investments in | Warrants | |||||||
| Interests | Notes | Common Stocks | Preferred Stocks | and Miscellaneous | Total | ||||||
| Balance as of October 31, 2010 | $ 1,958,716 | $ 528,020 | $ | 1,650,143 | $ | 328,797 | $ 0 | $ 4,465,676 | |||
| Realized gains (losses) | (1,421,030 | ) | (559,778 | ) | 84,469 | 117,398 | | (1,778,941 | ) | ||
| Change in net unrealized appreciation (depreciation) | 693,899 | 798,826 | 4,081,221 | (214,792 | ) | | 5,359,154 | ||||
| Cost of purchases | 353,146 | 11,454 | 1,828 | | | 366,428 | |||||
| Proceeds from sales | (211,445 | ) | (80,522 | ) | (219,504 | ) | (142,300 | ) | | (653,771 | ) |
| Accrued discount (premium) | 5,535 | 32,499 | | | | 38,034 | |||||
| Transfers to Level 3* | 620,911 | 4,539 | 3,294,711 | | | 3,920,161 | |||||
| Transfers from Level 3* | | | | | | | |||||
| Balance as of July 31, 2011 | $ 1,999,732 | $ 735,038 | $ | 8,892,868 | $ | 89,103 | $ 0 | $ 11,716,741 | |||
| Change in net unrealized appreciation (depreciation) on | |||||||||||
| investments still held as of July 31, 2011 | $ (490,139 | ) | $ 237,381 | $ | 4,081,221 | $ | (75,238 | ) | $ | $ 3,753,225 |
At July 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.
For information on the Trusts policy regarding the valuation of investments and other significant accounting policies, please refer to the Trusts most recent financial statements included in its semiannual or annual report to shareholders.
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link2 "Item 2. Controls and Procedures"
Item 2. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants 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 on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrants internal control over financial reporting.
Folio /Folio
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link1 "Signatures"
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Senior Floating-Rate Trust
| By: |
|---|
| Scott H. Page |
| President |
Date: September 26, 2011
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: |
|---|
| Scott H. Page |
| President |
Date: September 26, 2011
| By: |
|---|
| Barbara E. Campbell |
| Treasurer |
Date: September 26, 2011
Folio /Folio
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