Regulatory Filings • Sep 27, 2012
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Download Source FileN-Q 1 d411223dnq.htm EATON VANCE SENIOR FLOATING-RATE TRUST Eaton Vance Senior Floating-Rate Trust
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, 2012
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Senior Floating-Rate Trust
July 31, 2012
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests 144.4% (1)
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Aerospace and Defense 2.8% | |||
| AVIO S.p.A. | |||
| Term Loan, Maturing June 14, 2017 (2) | 625 | $ 601,563 | |
| Term Loan, Maturing December 14, 2017 (2) | 650 | 625,625 | |
| Term Loan, 3.91%, Maturing December 14, 2017 | EUR | 550 | 666,569 |
| Booz Allen Hamilton Inc. | |||
| Term Loan, Maturing July 31, 2019 (2) | 825 | 816,750 | |
| DAE Aviation Holdings, Inc. | |||
| Term Loan, 5.45%, Maturing July 31, 2014 | 880 | 879,713 | |
| Term Loan, 5.45%, Maturing July 31, 2014 | 925 | 925,181 | |
| Ducommun Incorporated | |||
| Term Loan, 5.50%, Maturing June 28, 2017 | 1,500 | 1,503,575 | |
| IAP Worldwide Services, Inc. | |||
| Term Loan, 9.25%, Maturing December 28, 2012 | 1,760 | 1,507,940 | |
| Sequa Corporation | |||
| Term Loan, 3.72%, Maturing December 3, 2014 | 794 | 783,936 | |
| Term Loan, 6.25%, Maturing December 3, 2014 | 249 | 249,372 | |
| TASC, Inc. | |||
| Term Loan, 4.50%, Maturing December 18, 2015 | 1,433 | 1,417,732 | |
| Transdigm, Inc. | |||
| Term Loan, 4.00%, Maturing February 14, 2017 | 821 | 822,927 | |
| Term Loan, 4.00%, Maturing February 14, 2017 | 2,362 | 2,369,842 | |
| Wesco Aircraft Hardware Corp. | |||
| Term Loan, 4.25%, Maturing April 7, 2017 | 389 | 389,168 | |
| Wyle Services Corporation | |||
| Term Loan, 5.00%, Maturing March 27, 2017 | 810 | 803,615 | |
| $ 14,363,508 | |||
| Air Transport 0.3% | |||
| Evergreen International Aviation, Inc. | |||
| Term Loan, 11.50%, Maturing June 30, 2015 | 824 | $ 759,859 | |
| Orbitz Worldwide Inc. | |||
| Term Loan, 3.25%, Maturing July 25, 2014 | 990 | 953,331 | |
| $ 1,713,190 | |||
| Automotive 7.0% | |||
| Allison Transmission, Inc. | |||
| Term Loan, 2.75%, Maturing August 7, 2014 | 3,535 | $ 3,530,454 | |
| Autoparts Holdings Limited | |||
| Term Loan, 6.50%, Maturing July 28, 2017 | 397 | 386,579 | |
| Chrysler Group LLC | |||
| Term Loan, 6.00%, Maturing May 24, 2017 | 6,939 | 7,059,652 | |
| Delphi Corporation | |||
| Term Loan, 3.50%, Maturing March 31, 2017 | 1,385 | 1,389,217 | |
| Federal-Mogul Corporation | |||
| Term Loan, 2.18%, Maturing December 29, 2014 | 2,413 | 2,300,295 | |
| Term Loan, 2.19%, Maturing December 28, 2015 | 3,032 | 2,890,661 |
1
| Borrower/Tranche Description | Value | |
|---|---|---|
| Goodyear Tire & Rubber Company (The) | ||
| Term Loan - Second Lien, 4.75%, Maturing April 30, 2019 | 6,650 | $ 6,586,825 |
| HHI Holdings LLC | ||
| Term Loan, 7.00%, Maturing March 21, 2017 | 1,735 | 1,743,449 |
| Metaldyne Company LLC | ||
| Term Loan, 5.25%, Maturing May 18, 2017 | 2,176 | 2,177,362 |
| SRAM, LLC | ||
| Term Loan, 4.78%, Maturing June 7, 2018 | 1,223 | 1,225,400 |
| Term Loan - Second Lien, 8.50%, Maturing December 7, 2018 | 500 | 503,750 |
| Tomkins LLC | ||
| Term Loan, 4.25%, Maturing September 29, 2016 | 1,923 | 1,932,109 |
| TriMas Corporation | ||
| Term Loan, 4.25%, Maturing June 21, 2017 | 1,016 | 1,016,166 |
| Veyance Technologies, Inc. | ||
| Term Loan, 2.50%, Maturing July 31, 2014 | 234 | 226,757 |
| Term Loan, 2.50%, Maturing July 31, 2014 | 1,634 | 1,583,143 |
| Term Loan, 5.50%, Maturing July 31, 2014 | 324 | 321,756 |
| Term Loan - Second Lien, 6.00%, Maturing July 31, 2015 | 1,275 | 1,192,125 |
| $ 36,065,700 | ||
| Building and Development 1.8% | ||
| Armstrong World Industries, Inc. | ||
| Term Loan, 4.00%, Maturing March 9, 2018 | 891 | $ 889,539 |
| Forestar Real Estate Group Inc. | ||
| Revolving Loan, 0.49%, Maturing August 6, 2013 (3) | 244 | 229,723 |
| Term Loan, 6.50%, Maturing August 6, 2015 | 2,240 | 2,161,715 |
| Goodman Global Inc. | ||
| Term Loan, 5.75%, Maturing October 28, 2016 | 1,676 | 1,680,728 |
| Panolam Industries International, Inc. | ||
| Term Loan, 8.25%, Maturing December 31, 2013 | 1,403 | 1,388,625 |
| Preferred Proppants, LLC | ||
| Term Loan, 7.50%, Maturing December 15, 2016 | 721 | 681,699 |
| RE/MAX International, Inc. | ||
| Term Loan, 5.50%, Maturing April 15, 2016 | 1,676 | 1,676,467 |
| Realogy Corporation | ||
| Term Loan, 3.25%, Maturing October 10, 2013 | 116 | 110,630 |
| Summit Materials Companies I, LLC | ||
| Term Loan, 6.00%, Maturing January 30, 2019 | 474 | 476,774 |
| $ 9,295,900 | ||
| Business Equipment and Services 13.3% | ||
| ACCO Brands Corporation | ||
| Term Loan, 4.25%, Maturing April 30, 2019 | 498 | $ 499,366 |
| Acosta, Inc. | ||
| Term Loan, 5.75%, Maturing March 1, 2018 | 673 | 676,679 |
| Term Loan, 5.75%, Maturing March 1, 2018 | 2,231 | 2,239,407 |
| Advantage Sales & Marketing, Inc. | ||
| Term Loan, 5.25%, Maturing December 18, 2017 | 2,220 | 2,215,789 |
| Affinion Group, Inc. | ||
| Term Loan, 5.00%, Maturing July 15, 2015 | 4,577 | 4,023,901 |
| Allied Security Holdings, LLC | ||
| Term Loan, 5.25%, Maturing February 3, 2017 | 568 | 566,393 |
| Altegrity, Inc. | ||
| Term Loan, 7.75%, Maturing February 20, 2015 | 692 | 690,486 |
| Term Loan, 3.00%, Maturing February 21, 2015 | 707 | 671,097 |
2
| Borrower/Tranche Description | Value | |
|---|---|---|
| BAR/BRI Review Courses, Inc. | ||
| Term Loan, 6.00%, Maturing June 16, 2017 | 632 | $ 630,867 |
| Brand Energy & Infrastructure Services, Inc. | ||
| Term Loan, 2.50%, Maturing February 7, 2014 | 2,667 | 2,511,541 |
| Term Loan, 3.73%, Maturing February 7, 2014 | 732 | 693,330 |
| Brickman Group Holdings Inc. | ||
| Term Loan, 5.50%, Maturing October 14, 2016 | 1,425 | 1,430,490 |
| Brock Holdings III, Inc. | ||
| Term Loan, 6.01%, Maturing March 16, 2017 | 1,102 | 1,104,556 |
| ClientLogic Corporation | ||
| Term Loan, 7.21%, Maturing January 30, 2017 | 1,567 | 1,449,199 |
| Corporate Executive Board Company, The | ||
| Term Loan, Maturing July 2, 2019 (2) | 525 | 527,625 |
| DynCorp International LLC | ||
| Term Loan, 6.25%, Maturing July 7, 2016 | 611 | 610,718 |
| Education Management LLC | ||
| Term Loan, 8.25%, Maturing March 29, 2018 | 2,069 | 1,984,020 |
| EIG Investors Corp. | ||
| Term Loan, 7.75%, Maturing April 20, 2018 | 1,425 | 1,423,219 |
| Expert Global Solutions, Inc. | ||
| Term Loan, 8.00%, Maturing April 3, 2018 | 1,945 | 1,954,040 |
| Genesys Telecom Holdings, U.S., Inc. | ||
| Term Loan, 6.75%, Maturing January 31, 2019 | 623 | 628,113 |
| Go Daddy Operating Company, LLC | ||
| Term Loan, 5.50%, Maturing December 17, 2018 | 1,439 | 1,424,734 |
| IMS Health Incorporated | ||
| Term Loan, 4.50%, Maturing August 25, 2017 | 1,271 | 1,273,291 |
| KAR Auction Services, Inc. | ||
| Term Loan, 5.00%, Maturing May 19, 2017 | 2,818 | 2,838,925 |
| Kronos, Inc. | ||
| Term Loan, 5.22%, Maturing June 9, 2017 | 996 | 998,960 |
| Term Loan, 6.25%, Maturing December 28, 2017 | 821 | 824,466 |
| Term Loan - Second Lien, 10.46%, Maturing June 11, 2018 | 1,000 | 1,010,000 |
| Language Line, LLC | ||
| Term Loan, 6.25%, Maturing June 20, 2016 | 2,037 | 2,017,773 |
| Meritas LLC | ||
| Term Loan, 7.50%, Maturing July 28, 2017 | 743 | 740,644 |
| Mitchell International, Inc | ||
| Term Loan - Second Lien, 5.75%, Maturing March 30, 2015 | 1,000 | 982,500 |
| Monitronics International Inc | ||
| Term Loan, 5.50%, Maturing March 16, 2018 | 848 | 855,294 |
| Quintiles Transnational Corp. | ||
| Term Loan, 5.00%, Maturing June 8, 2018 | 4,282 | 4,291,088 |
| Sabre, Inc. | ||
| Term Loan, 2.25%, Maturing September 30, 2014 | 5,906 | 5,781,765 |
| Sensus USA Inc. | ||
| Term Loan, 4.75%, Maturing May 9, 2017 | 667 | 666,979 |
| Term Loan - Second Lien, 8.50%, Maturing May 9, 2018 | 1,000 | 1,001,875 |
| Softlayer Technologies, Inc. | ||
| Term Loan, 7.25%, Maturing November 5, 2016 | 640 | 641,851 |
| SunGard Data Systems, Inc. | ||
| Term Loan, 3.94%, Maturing February 26, 2016 | 4,742 | 4,752,056 |
| Term Loan, 4.00%, Maturing February 28, 2017 | 1,547 | 1,547,496 |
| SymphonyIRI Group, Inc. | ||
| Term Loan, 5.00%, Maturing December 1, 2017 | 817 | 813,687 |
3
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Trans Union, LLC | |||
| Term Loan, 5.50%, Maturing February 12, 2018 | 2,871 | $ 2,896,335 | |
| Travelport LLC | |||
| Term Loan, 4.96%, Maturing August 21, 2015 | 553 | 506,743 | |
| Term Loan, 4.96%, Maturing August 21, 2015 | 2,856 | 2,618,393 | |
| Term Loan, 5.06%, Maturing August 21, 2015 | EUR | 741 | 823,051 |
| U.S. Security Holdings, Inc. | |||
| Term Loan, 6.00%, Maturing July 28, 2017 | 118 | 118,027 | |
| Term Loan, 6.00%, Maturing July 28, 2017 | 602 | 603,028 | |
| West Corporation | |||
| Term Loan, 4.50%, Maturing July 15, 2016 | 679 | 678,616 | |
| Term Loan, 4.59%, Maturing July 15, 2016 | 1,933 | 1,930,702 | |
| $ 69,169,115 | |||
| Cable and Satellite Television 5.8% | |||
| Atlantic Broadband Finance, LLC | |||
| Term Loan, 5.25%, Maturing April 4, 2019 | 1,300 | $ 1,308,125 | |
| Term Loan - Second Lien, 9.75%, Maturing October 4, 2019 | 775 | 813,750 | |
| BBHI Acquisition LLC | |||
| Term Loan, 4.50%, Maturing December 14, 2017 | 1,231 | 1,237,920 | |
| Bragg Communications Incorporated | |||
| Term Loan, 4.00%, Maturing February 28, 2018 | 399 | 399,499 | |
| Cequel Communications, LLC | |||
| Term Loan, 4.00%, Maturing February 14, 2019 | 4,389 | 4,350,939 | |
| Charter Communications Operating, LLC | |||
| Term Loan, 3.50%, Maturing September 6, 2016 | 762 | 760,383 | |
| Term Loan, 4.00%, Maturing May 15, 2019 | 299 | 299,345 | |
| Crown Media Holdings, Inc. | |||
| Term Loan, 5.75%, Maturing July 14, 2018 | 476 | 477,190 | |
| CSC Holdings, Inc. | |||
| Term Loan, 2.00%, Maturing March 29, 2016 | 2,842 | 2,827,623 | |
| Kabel Deutschland GMBH | |||
| Term Loan, 4.25%, Maturing February 1, 2019 | 1,075 | 1,073,955 | |
| Lavena Holdings 4 GmbH | |||
| Term Loan, 2.95%, Maturing March 6, 2015 | EUR | 369 | 392,818 |
| Term Loan, 3.32%, Maturing March 4, 2016 | EUR | 369 | 392,818 |
| Term Loan, 7.70%, Maturing March 6, 2017 (4) | EUR | 398 | 320,933 |
| Term Loan - Second Lien, 4.45%, Maturing September 2, 2016 | EUR | 520 | 497,176 |
| Mediacom Broadband LLC | |||
| Term Loan, 4.50%, Maturing October 23, 2017 | 1,446 | 1,441,886 | |
| Mediacom Illinois, LLC | |||
| Term Loan, 1.95%, Maturing January 30, 2015 | 3,589 | 3,480,894 | |
| Mediacom LLC | |||
| Term Loan, 4.50%, Maturing October 23, 2017 | 809 | 803,195 | |
| P7S1 Broadcasting Holding II B.V. | |||
| Term Loan, 3.18%, Maturing July 1, 2016 | EUR | 1,781 | 2,087,190 |
| UPC Broadband Holding B.V. | |||
| Term Loan, 4.13%, Maturing December 31, 2016 | EUR | 2,353 | 2,863,462 |
| Term Loan, 4.38%, Maturing December 29, 2017 | EUR | 1,619 | 1,974,823 |
| UPC Financing Partnership | |||
| Term Loan, 3.75%, Maturing December 30, 2016 | 409 | 405,892 | |
| Term Loan, 3.75%, Maturing December 29, 2017 | 1,264 | 1,253,890 | |
| Term Loan, 4.75%, Maturing December 29, 2017 | 375 | 375,937 | |
| $ 29,839,643 |
4
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Chemicals and Plastics 5.2% | |||
| AZ Chem US Inc. | |||
| Term Loan, 7.25%, Maturing December 22, 2017 | 2,008 | $ 2,023,014 | |
| Emerald Performance Materials, LLC | |||
| Term Loan, 6.75%, Maturing May 18, 2018 | 700 | 698,250 | |
| General Chemical Corporation | |||
| Term Loan, 5.00%, Maturing October 6, 2015 | 541 | 539,043 | |
| Harko C.V. | |||
| Term Loan, 5.75%, Maturing August 2, 2017 | 521 | 521,497 | |
| Houghton International, Inc. | |||
| Term Loan, 6.75%, Maturing January 29, 2016 | 811 | 814,699 | |
| Huntsman International, LLC | |||
| Term Loan, 2.54%, Maturing June 30, 2016 | 846 | 840,568 | |
| Term Loan, 2.84%, Maturing April 19, 2017 | 1,547 | 1,537,999 | |
| Ineos US Finance LLC | |||
| Term Loan, 6.50%, Maturing May 4, 2018 | 3,441 | 3,379,306 | |
| Momentive Performance Materials Inc. | |||
| Term Loan, 3.75%, Maturing May 29, 2015 | 648 | 617,307 | |
| Momentive Performance Materials USA Inc. | |||
| Term Loan, 3.75%, Maturing May 5, 2015 | 1,388 | 1,332,037 | |
| Momentive Specialty Chemicals Inc. | |||
| Term Loan, 4.00%, Maturing May 5, 2015 | 1,665 | 1,627,268 | |
| Term Loan, 4.25%, Maturing May 5, 2015 | 475 | 458,375 | |
| Term Loan, 4.25%, Maturing May 5, 2015 | 754 | 737,322 | |
| OEP Pearl Dutch Acquisition B.V. | |||
| Term Loan, 6.50%, Maturing March 30, 2018 | 97 | 97,743 | |
| Omnova Solutions Inc. | |||
| Term Loan, 5.50%, Maturing May 31, 2017 | 985 | 991,156 | |
| PolyOne Corp. | |||
| Term Loan, 5.00%, Maturing December 20, 2017 | 498 | 500,402 | |
| Schoeller Arca Systems Holding B.V. | |||
| Term Loan, 5.17%, Maturing November 16, 2015 | EUR | 145 | 124,475 |
| Term Loan, 5.17%, Maturing November 16, 2015 | EUR | 412 | 354,899 |
| Term Loan, 5.17%, Maturing November 16, 2015 | EUR | 443 | 381,906 |
| Sonneborn LLC | |||
| Term Loan, 6.50%, Maturing March 30, 2018 | 551 | 553,874 | |
| Styron S.A.R.L., LLC | |||
| Term Loan, 6.08%, Maturing August 2, 2017 | 2,857 | 2,667,257 | |
| Taminco Global Chemical Corporation | |||
| Term Loan, 5.25%, Maturing February 15, 2019 | 374 | 375,699 | |
| Tronox Pigments (Netherlands) B.V. | |||
| Term Loan, 4.25%, Maturing February 8, 2018 | 552 | 542,405 | |
| Term Loan, 4.25%, Maturing February 8, 2018 | 2,023 | 1,987,808 | |
| Univar Inc. | |||
| Term Loan, 5.00%, Maturing June 30, 2017 | 3,536 | 3,520,158 | |
| $ 27,224,467 | |||
| Clothing/Textiles 0.5% | |||
| Ascena Retail Group, Inc. | |||
| Term Loan, 4.75%, Maturing June 14, 2018 | 875 | $ 877,005 | |
| Phillips-Van Heusen Corporation | |||
| Term Loan, 3.50%, Maturing May 6, 2016 | 543 | 543,387 | |
| Warnaco Inc. | |||
| Term Loan, 3.75%, Maturing June 15, 2018 | 495 | 496,238 |
5
| Borrower/Tranche Description | Value | |
|---|---|---|
| Wolverine Worldwide, Inc. | ||
| Term Loan, Maturing June 26, 2019 (2) | 525 | $ 527,953 |
| $ 2,444,583 | ||
| Conglomerates 2.7% | ||
| Jason Incorporated | ||
| Term Loan, 8.25%, Maturing September 21, 2014 | 170 | $ 171,388 |
| Term Loan, 7.75%, Maturing September 22, 2014 | 223 | 224,734 |
| Term Loan, 8.25%, Maturing September 22, 2014 | 68 | 68,470 |
| Rexnord Corporation | ||
| Term Loan, 5.00%, Maturing April 2, 2018 | 3,259 | 3,284,613 |
| RGIS Services, LLC | ||
| Term Loan, 4.71%, Maturing October 18, 2016 | 2,514 | 2,451,012 |
| Term Loan, 5.50%, Maturing October 18, 2017 | 1,397 | 1,389,517 |
| Rocket Software, Inc. | ||
| Term Loan, 7.00%, Maturing February 8, 2018 | 1,244 | 1,239,086 |
| Term Loan - Second Lien, 10.25%, Maturing February 8, 2019 | 750 | 746,250 |
| Spectrum Brands, Inc. | ||
| Term Loan, 5.00%, Maturing June 17, 2016 | 2,261 | 2,272,772 |
| Walter Energy, Inc. | ||
| Term Loan, 4.00%, Maturing April 2, 2018 | 2,092 | 2,070,975 |
| $ 13,918,817 | ||
| Containers and Glass Products 2.3% | ||
| Berry Plastics Corporation | ||
| Term Loan, 2.25%, Maturing April 3, 2015 | 1,934 | $ 1,894,033 |
| BWAY Corporation | ||
| Term Loan, 4.50%, Maturing February 23, 2018 | 152 | 152,379 |
| Term Loan, 4.50%, Maturing February 23, 2018 | 1,511 | 1,511,978 |
| Hilex Poly Co. LLC | ||
| Term Loan, 11.25%, Maturing November 16, 2015 | 790 | 805,324 |
| Pelican Products, Inc. | ||
| Term Loan, 7.00%, Maturing July 11, 2018 | 500 | 499,375 |
| Reynolds Group Holdings Inc. | ||
| Term Loan, 6.50%, Maturing February 9, 2018 | 2,760 | 2,790,566 |
| Term Loan, 6.50%, Maturing August 9, 2018 | 2,774 | 2,809,117 |
| Sealed Air Corporation | ||
| Term Loan, 4.75%, Maturing October 3, 2018 | 637 | 646,080 |
| TricorBraun, Inc. | ||
| Term Loan, 5.50%, Maturing May 3, 2018 | 625 | 626,562 |
| $ 11,735,414 | ||
| Cosmetics/Toiletries 0.8% | ||
| Bausch & Lomb, Inc. | ||
| Term Loan, 5.25%, Maturing May 17, 2019 | 3,000 | $ 3,006,375 |
| KIK Custom Products, Inc. | ||
| Term Loan - Second Lien, 5.25%, Maturing November 28, 2014 | 975 | 669,257 |
| Prestige Brands, Inc. | ||
| Term Loan, 5.27%, Maturing January 31, 2019 | 439 | 443,467 |
| $ 4,119,099 | ||
| Drugs 1.5% | ||
| Aptalis Pharma, Inc. | ||
| Term Loan, 5.50%, Maturing February 10, 2017 | 499 | $ 491,892 |
| Term Loan, 5.50%, Maturing February 10, 2017 | 1,975 | 1,937,120 |
6
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Capsugel Holdings US, Inc. | |||
| Term Loan, 5.25%, Maturing August 1, 2018 | 1,210 | $ 1,218,170 | |
| Endo Pharmaceuticals Holdings Inc. | |||
| Term Loan, 4.00%, Maturing June 18, 2018 | 436 | 438,031 | |
| Warner Chilcott Company, LLC | |||
| Term Loan, 4.25%, Maturing March 15, 2018 | 796 | 796,706 | |
| Warner Chilcott Corporation | |||
| Term Loan, 4.25%, Maturing March 15, 2018 | 1,591 | 1,593,412 | |
| WC Luxco S.a.r.l. | |||
| Term Loan, 4.25%, Maturing March 15, 2018 | 1,094 | 1,095,471 | |
| $ 7,570,802 | |||
| Ecological Services and Equipment 0.1% | |||
| Envirotest Systems Holding Corp. | |||
| Term Loan - Second Lien, 15.50%, Maturing March 31, 2017 (5) | 286 | $ 294,070 | |
| Viking Consortium Borrower Limited | |||
| Term Loan - Second Lien, 7.32%, Maturing March 31, 2016 (4)(5) | GBP | 523 | 266,590 |
| $ 560,660 | |||
| Electronics/Electrical 10.0% | |||
| Aeroflex Incorporated | |||
| Term Loan, 5.75%, Maturing May 9, 2018 | 1,927 | $ 1,887,689 | |
| Aspect Software, Inc. | |||
| Term Loan, 6.25%, Maturing May 6, 2016 | 1,458 | 1,446,600 | |
| Attachmate Corporation | |||
| Term Loan, 7.25%, Maturing November 22, 2017 | 3,100 | 3,100,484 | |
| Cinedigm Digital Funding I, LLC | |||
| Term Loan, 5.25%, Maturing April 29, 2016 | 466 | 465,098 | |
| CommScope, Inc. | |||
| Term Loan, 4.25%, Maturing January 12, 2018 | 2,098 | 2,100,418 | |
| Dealer Computer Services, Inc. | |||
| Term Loan, 3.75%, Maturing April 20, 2018 | 1,737 | 1,735,257 | |
| DG FastChannel, Inc. | |||
| Term Loan, 5.75%, Maturing July 26, 2018 | 1,526 | 1,518,213 | |
| Eagle Parent, Inc. | |||
| Term Loan, 5.00%, Maturing May 16, 2018 | 2,574 | 2,562,417 | |
| Edwards (Cayman Islands II) Limited | |||
| Term Loan, 5.50%, Maturing May 31, 2016 | 433 | 432,618 | |
| Term Loan, 5.50%, Maturing May 31, 2016 | 1,075 | 1,073,420 | |
| FCI International | |||
| Term Loan, 3.72%, Maturing November 1, 2013 | 123 | 121,608 | |
| Term Loan, 3.72%, Maturing November 1, 2013 | 123 | 121,608 | |
| Term Loan, 3.72%, Maturing November 1, 2013 | 128 | 126,316 | |
| Term Loan, 3.72%, Maturing November 1, 2013 | 128 | 126,316 | |
| Freescale Semiconductor, Inc. | |||
| Term Loan, 4.50%, Maturing December 1, 2016 | 3,498 | 3,297,075 | |
| Lawson Software Inc. | |||
| Term Loan, 6.25%, Maturing April 5, 2018 | 5,062 | 5,116,889 | |
| Magic Newco LLC | |||
| Term Loan, 7.25%, Maturing December 12, 2018 | 1,400 | 1,383,813 | |
| Microsemi Corporation | |||
| Term Loan, 4.00%, Maturing February 2, 2018 | 1,505 | 1,499,424 | |
| NeuStar, Inc. | |||
| Term Loan, 5.00%, Maturing November 8, 2018 | 943 | 946,411 |
7
| Borrower/Tranche Description | Value | |
|---|---|---|
| Nxp B.V. | ||
| Term Loan, 4.50%, Maturing March 3, 2017 | 1,666 | $ 1,649,588 |
| Term Loan, 5.50%, Maturing March 3, 2017 | 1,017 | 1,020,280 |
| Term Loan, 5.25%, Maturing March 19, 2019 | 1,621 | 1,618,911 |
| Open Solutions, Inc. | ||
| Term Loan, 2.58%, Maturing January 23, 2014 | 1,990 | 1,904,295 |
| Rovi Solutions Corporation | ||
| Term Loan, 4.00%, Maturing March 28, 2019 | 823 | 797,200 |
| SafeNet Inc. | ||
| Term Loan, 2.75%, Maturing April 12, 2014 | 812 | 798,407 |
| Semtech Corp | ||
| Term Loan, 4.25%, Maturing March 20, 2017 | 399 | 400,247 |
| Sensata Technologies Finance Company, LLC | ||
| Term Loan, 4.00%, Maturing May 11, 2018 | 3,490 | 3,488,103 |
| Serena Software, Inc. | ||
| Term Loan, 4.25%, Maturing March 10, 2016 | 474 | 463,335 |
| Term Loan, 5.00%, Maturing March 10, 2016 | 350 | 351,313 |
| Shield Finance Co S.A.R.L. | ||
| Term Loan, 6.50%, Maturing May 10, 2019 | 1,000 | 1,000,000 |
| SkillSoft Corporation | ||
| Term Loan, 6.50%, Maturing May 26, 2017 | 248 | 250,451 |
| Term Loan, 6.50%, Maturing May 26, 2017 | 978 | 986,688 |
| Sophia, L.P. | ||
| Term Loan, 6.25%, Maturing July 19, 2018 | 1,397 | 1,411,163 |
| Spansion LLC | ||
| Term Loan, 4.75%, Maturing February 9, 2015 | 521 | 524,114 |
| SS&C Technologies Inc. | ||
| Term Loan, 5.00%, Maturing June 7, 2019 | 138 | 138,022 |
| Term Loan, 5.00%, Maturing June 7, 2019 | 1,337 | 1,335,056 |
| Sunquest Information Systems, Inc. | ||
| Term Loan, 6.55%, Maturing December 16, 2016 | 743 | 742,500 |
| VeriFone Inc. | ||
| Term Loan, 4.25%, Maturing December 28, 2018 | 498 | 499,055 |
| Vertafore, Inc. | ||
| Term Loan, 5.25%, Maturing July 29, 2016 | 985 | 985,211 |
| Web.com Group, Inc. | ||
| Term Loan, 7.00%, Maturing October 27, 2017 | 2,566 | 2,551,649 |
| $ 51,977,262 | ||
| Equipment Leasing 1.2% | ||
| BakerCorp International, Inc. | ||
| Term Loan, 4.75%, Maturing June 1, 2018 | 1,332 | $ 1,329,869 |
| Delos Aircraft Inc. | ||
| Term Loan, 4.75%, Maturing April 12, 2016 | 1,275 | 1,286,156 |
| Flying Fortress Inc. | ||
| Term Loan, 5.00%, Maturing June 30, 2017 | 3,350 | 3,375,125 |
| $ 5,991,150 | ||
| Farming/Agriculture 0.3% | ||
| Wm. Bolthouse Farms, Inc. | ||
| Term Loan, 5.75%, Maturing February 11, 2016 | 1,463 | $ 1,466,982 |
| $ 1,466,982 | ||
| Financial Intermediaries 5.8% | ||
| Asset Acceptance Capital Corp. | ||
| Term Loan, 8.75%, Maturing November 14, 2017 | 1,268 | $ 1,273,837 |
8
| Borrower/Tranche Description | Value | |
|---|---|---|
| CB Richard Ellis Services, Inc. | ||
| Term Loan, 3.50%, Maturing March 5, 2018 | 687 | $ 683,906 |
| Term Loan, 3.75%, Maturing September 4, 2019 | 649 | 645,911 |
| Citco III Limited | ||
| Term Loan, 5.50%, Maturing June 29, 2018 | 1,634 | 1,619,228 |
| First Data Corporation | ||
| Term Loan, 3.00%, Maturing September 24, 2014 | 257 | 249,903 |
| Term Loan, 3.00%, Maturing September 24, 2014 | 1,239 | 1,206,604 |
| Term Loan, 3.00%, Maturing September 24, 2014 | 2,988 | 2,903,012 |
| Term Loan, 4.25%, Maturing March 23, 2018 | 1,636 | 1,530,267 |
| Grosvenor Capital Management Holdings, LLP | ||
| Term Loan, 4.25%, Maturing December 5, 2016 | 1,308 | 1,286,948 |
| Hamilton Lane Advisors, LLC | ||
| Term Loan, 6.50%, Maturing February 23, 2018 | 716 | 715,938 |
| Harbourvest Partners, LLC | ||
| Term Loan, 6.25%, Maturing December 16, 2016 | 961 | 961,381 |
| iPayment, Inc. | ||
| Term Loan, 5.75%, Maturing May 8, 2017 | 917 | 921,456 |
| LPL Holdings, Inc. | ||
| Term Loan, 2.75%, Maturing March 29, 2017 | 790 | 767,946 |
| Term Loan, 4.00%, Maturing March 29, 2019 | 3,067 | 3,055,810 |
| Mercury Payment Systems Canada, LLC | ||
| Term Loan, 5.50%, Maturing July 3, 2017 | 644 | 646,718 |
| MIP Delaware, LLC | ||
| Term Loan, 5.50%, Maturing July 12, 2018 | 752 | 755,735 |
| Nuveen Investments, Inc. | ||
| Term Loan, 5.96%, Maturing May 12, 2017 | 2,429 | 2,418,559 |
| Term Loan, 5.95%, Maturing May 13, 2017 | 1,651 | 1,647,460 |
| Term Loan, 7.25%, Maturing May 13, 2017 | 1,492 | 1,504,427 |
| Oz Management LP | ||
| Term Loan, 1.75%, Maturing November 15, 2016 | 1,322 | 1,142,684 |
| RJO Holdings Corp. | ||
| Term Loan, 6.25%, Maturing December 10, 2015 (5) | 7 | 5,773 |
| Term Loan, 7.00%, Maturing December 10, 2015 (5) | 223 | 175,307 |
| RPI Finance Trust | ||
| Term Loan, 4.00%, Maturing May 9, 2018 | 3,459 | 3,463,759 |
| Vantiv, LLC | ||
| Term Loan, 3.75%, Maturing March 27, 2019 | 474 | 474,799 |
| $ 30,057,368 | ||
| Food Products 4.3% | ||
| American Seafoods Group LLC | ||
| Term Loan, 4.25%, Maturing March 16, 2018 | 637 | $ 623,028 |
| Clearwater Seafoods Limited Partnership | ||
| Term Loan, 6.75%, Maturing June 6, 2018 | 1,050 | 1,049,344 |
| Del Monte Foods Company | ||
| Term Loan, 4.50%, Maturing March 8, 2018 | 4,244 | 4,180,622 |
| Dole Food Company Inc. | ||
| Term Loan, 5.04%, Maturing July 6, 2018 | 962 | 964,098 |
| Hearthside Food Solutions, LLC | ||
| Term Loan, 6.50%, Maturing June 5, 2018 | 1,175 | 1,177,937 |
| High Liner Foods Incorporated | ||
| Term Loan, 7.00%, Maturing December 19, 2017 | 647 | 648,367 |
| JBS USA Holdings Inc. | ||
| Term Loan, 4.25%, Maturing May 25, 2018 | 990 | 980,100 |
9
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Michael Foods Group, Inc. | |||
| Term Loan, 4.25%, Maturing February 23, 2018 | 670 | $ 670,565 | |
| NBTY, Inc. | |||
| Term Loan, 4.25%, Maturing October 2, 2017 | 2,809 | 2,813,390 | |
| Pierre Foods, Inc. | |||
| Term Loan, 7.00%, Maturing September 30, 2016 | 2,223 | 2,235,913 | |
| Pinnacle Foods Finance LLC | |||
| Term Loan, 2.75%, Maturing April 2, 2014 | 4,983 | 4,976,486 | |
| Term Loan, 4.75%, Maturing October 17, 2018 | 274 | 274,244 | |
| Solvest Ltd. | |||
| Term Loan, 5.02%, Maturing July 6, 2018 | 1,721 | 1,725,231 | |
| $ 22,319,325 | |||
| Food Service 6.3% | |||
| Aramark Corporation | |||
| Term Loan, 3.50%, Maturing July 26, 2016 | 4,621 | $ 4,611,057 | |
| Term Loan, 3.50%, Maturing July 26, 2016 | 169 | 168,566 | |
| Term Loan, 3.50%, Maturing July 26, 2016 | 304 | 303,246 | |
| Term Loan, 3.65%, Maturing July 26, 2016 | 2,094 | 2,089,750 | |
| Term Loan, 4.27%, Maturing July 26, 2016 | GBP | 950 | 1,465,875 |
| Brasa Holdings, Inc. | |||
| Term Loan, 7.50%, Maturing July 19, 2019 | 450 | 441,000 | |
| Burger King Corporation | |||
| Term Loan, 4.50%, Maturing October 19, 2016 | 4,498 | 4,512,915 | |
| DineEquity, Inc. | |||
| Term Loan, 4.27%, Maturing October 19, 2017 | 1,305 | 1,308,822 | |
| Dunkin Brands, Inc. | |||
| Term Loan, 4.00%, Maturing November 23, 2017 | 3,047 | 3,036,858 | |
| Landrys, Inc. | |||
| Term Loan, 6.50%, Maturing April 24, 2018 | 1,322 | 1,327,740 | |
| NPC International, Inc. | |||
| Term Loan, 5.25%, Maturing December 28, 2018 | 673 | 679,204 | |
| OSI Restaurant Partners, LLC | |||
| Term Loan, 2.50%, Maturing June 14, 2013 | 447 | 443,153 | |
| Term Loan, 2.56%, Maturing June 14, 2014 | 4,886 | 4,840,603 | |
| P.F. Changs China Bistro Inc. | |||
| Term Loan, 6.25%, Maturing July 2, 2019 | 425 | 428,188 | |
| Sagittarius Restaurants, LLC | |||
| Term Loan, 7.51%, Maturing May 18, 2015 | 413 | 411,984 | |
| U.S. Foodservice, Inc. | |||
| Term Loan, 2.75%, Maturing July 3, 2014 | 867 | 840,985 | |
| US Foods, Inc. | |||
| Term Loan, 5.75%, Maturing March 31, 2017 | 2,593 | 2,483,759 | |
| Weight Watchers International, Inc. | |||
| Term Loan, 3.75%, Maturing March 15, 2019 | 1,322 | 1,320,719 | |
| Wendys International, Inc. | |||
| Term Loan, 4.75%, Maturing May 15, 2019 | 1,950 | 1,953,859 | |
| $ 32,668,283 | |||
| Food/Drug Retailers 4.8% | |||
| Alliance Boots Holdings Limited | |||
| Term Loan, 3.11%, Maturing July 9, 2015 | EUR | 1,000 | $ 1,178,792 |
| Term Loan, 3.54%, Maturing July 9, 2015 | GBP | 2,775 | 4,110,887 |
| General Nutrition Centers, Inc. | |||
| Term Loan, 4.25%, Maturing March 2, 2018 | 6,125 | 6,128,828 |
10
| Borrower/Tranche Description | Value | |
|---|---|---|
| Rite Aid Corporation | ||
| Term Loan, 2.00%, Maturing June 4, 2014 | 7,945 | $ 7,804,169 |
| Term Loan, 4.50%, Maturing March 2, 2018 | 2,109 | 2,087,494 |
| Sprouts Farmers Markets Holdings, LLC | ||
| Term Loan, 6.00%, Maturing April 18, 2018 | 575 | 572,125 |
| Supervalu Inc. | ||
| Term Loan, 5.00%, Maturing April 28, 2018 | 3,209 | 3,197,555 |
| $ 25,079,850 | ||
| Health Care 17.3% | ||
| Alere, Inc. | ||
| Term Loan, 4.75%, Maturing June 30, 2017 | 474 | $ 472,826 |
| Term Loan, 4.75%, Maturing June 30, 2017 | 572 | 571,947 |
| Term Loan, 4.75%, Maturing June 30, 2017 | 2,357 | 2,356,452 |
| Alliance Healthcare Services, Inc. | ||
| Term Loan, 7.25%, Maturing June 1, 2016 | 1,113 | 1,040,673 |
| Ardent Medical Services, Inc. | ||
| Term Loan, 6.50%, Maturing September 15, 2015 | 1,774 | 1,778,694 |
| Aveta, Inc. | ||
| Term Loan, 8.50%, Maturing April 4, 2017 | 662 | 662,895 |
| Term Loan, 8.50%, Maturing April 4, 2017 | 662 | 662,895 |
| Biomet Inc. | ||
| Term Loan, 3.37%, Maturing March 25, 2015 | 3,667 | 3,662,272 |
| BSN Medical Acquisition Holding GmbH | ||
| Term Loan, Maturing July 27, 2019 (2) | 575 | 578,834 |
| Catalent Pharma Solutions Inc. | ||
| Term Loan, 4.25%, Maturing September 15, 2016 | 2,122 | 2,121,880 |
| Term Loan, 5.25%, Maturing September 15, 2017 | 1,121 | 1,125,532 |
| CDRL MS, Inc. | ||
| Term Loan, 6.75%, Maturing October 3, 2016 | 783 | 783,867 |
| Community Health Systems, Inc. | ||
| Term Loan, 2.58%, Maturing July 25, 2014 | 5,537 | 5,526,997 |
| Term Loan, 3.97%, Maturing January 25, 2017 | 3,336 | 3,320,459 |
| ConMed Corporation | ||
| Term Loan, 1.75%, Maturing April 12, 2013 | 175 | 173,302 |
| Convatec Inc. | ||
| Term Loan, 5.75%, Maturing December 22, 2016 | 970 | 971,339 |
| CRC Health Corporation | ||
| Term Loan, 4.96%, Maturing November 16, 2015 | 1,906 | 1,787,327 |
| DaVita, Inc. | ||
| Term Loan, 4.50%, Maturing October 20, 2016 | 2,955 | 2,967,006 |
| DJO Finance LLC | ||
| Term Loan, 5.25%, Maturing November 1, 2016 | 382 | 380,512 |
| Term Loan, 6.25%, Maturing September 15, 2017 | 324 | 325,606 |
| Drumm Investors LLC | ||
| Term Loan, 5.00%, Maturing May 4, 2018 | 2,482 | 2,396,729 |
| Emdeon, Inc. | ||
| Term Loan, 5.00%, Maturing November 2, 2018 | 798 | 801,242 |
| Emergency Medical Services Corporation | ||
| Term Loan, 5.25%, Maturing May 25, 2018 | 2,219 | 2,222,590 |
| Grifols Inc. | ||
| Term Loan, 4.50%, Maturing June 1, 2017 | 2,945 | 2,947,523 |
| Hanger Orthopedic Group, Inc. | ||
| Term Loan, 4.00%, Maturing December 1, 2016 | 663 | 661,642 |
11
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| HCA, Inc. | |||
| Term Loan, 3.71%, Maturing March 31, 2017 | 6,168 | $ 6,089,463 | |
| Term Loan, 3.50%, Maturing May 1, 2018 | 2,572 | 2,538,068 | |
| Health Management Associates, Inc. | |||
| Term Loan, 4.50%, Maturing November 16, 2018 | 1,294 | 1,295,699 | |
| Hologic, Inc. | |||
| Term Loan, Maturing July 19, 2019 (2) | 1,875 | 1,888,672 | |
| Iasis Healthcare LLC | |||
| Term Loan, 5.00%, Maturing May 3, 2018 | 1,654 | 1,653,039 | |
| Immucor, Inc. | |||
| Term Loan, 7.25%, Maturing August 17, 2018 | 695 | 699,526 | |
| inVentiv Health, Inc. | |||
| Term Loan, 6.50%, Maturing August 4, 2016 | 1,869 | 1,755,512 | |
| Term Loan, 6.75%, Maturing May 15, 2018 | 1,163 | 1,092,001 | |
| Kindred Healthcare, Inc. | |||
| Term Loan, 5.25%, Maturing June 1, 2018 | 2,807 | 2,706,176 | |
| Kinetic Concepts, Inc. | |||
| Term Loan, 7.00%, Maturing May 4, 2018 | 4,005 | 4,068,953 | |
| LHP Hospital Group, Inc. | |||
| Term Loan, 9.00%, Maturing July 3, 2018 | 550 | 552,750 | |
| MedAssets, Inc. | |||
| Term Loan, 5.25%, Maturing November 16, 2016 | 802 | 807,219 | |
| Medpace, Inc. | |||
| Term Loan, 6.50%, Maturing June 16, 2017 | 838 | 804,226 | |
| Multiplan, Inc. | |||
| Term Loan, 4.75%, Maturing August 26, 2017 | 3,141 | 3,136,144 | |
| MX USA, Inc. | |||
| Term Loan, 6.50%, Maturing April 28, 2017 | 574 | 570,695 | |
| Onex Carestream Finance LP | |||
| Term Loan, 5.00%, Maturing February 25, 2017 | 1,505 | 1,459,313 | |
| Pharmaceutical Product Development, Inc. | |||
| Term Loan, 6.25%, Maturing December 5, 2018 | 1,940 | 1,966,525 | |
| Physiotherapy Associates Holdings, Inc. | |||
| Term Loan, 6.00%, Maturing April 30, 2018 | 300 | 299,625 | |
| Radnet Management, Inc. | |||
| Term Loan, 5.75%, Maturing April 6, 2016 | 1,075 | 1,069,874 | |
| Select Medical Corporation | |||
| Term Loan, 5.50%, Maturing June 1, 2018 | 3,014 | 2,968,094 | |
| Sheridan Holdings, Inc. | |||
| Term Loan, 6.00%, Maturing June 29, 2018 | 575 | 575,180 | |
| Sunrise Medical Holdings B.V. | |||
| Term Loan, 6.75%, Maturing May 13, 2014 | EUR | 237 | 282,466 |
| Thomson Reuters (Healthcare) Inc. | |||
| Term Loan, 6.75%, Maturing June 6, 2019 | 1,425 | 1,431,234 | |
| TriZetto Group, Inc. (The) | |||
| Term Loan, 4.75%, Maturing May 2, 2018 | 1,460 | 1,422,831 | |
| Universal Health Services, Inc. | |||
| Term Loan, 3.75%, Maturing November 15, 2016 | 2,078 | 2,081,742 | |
| Valeant Pharmaceuticals International, Inc. | |||
| Term Loan, 4.75%, Maturing February 13, 2019 | 875 | 878,281 | |
| Term Loan, 4.75%, Maturing February 13, 2019 | 998 | 1,000,834 | |
| Vanguard Health Holding Co II, LLC | |||
| Term Loan, 5.00%, Maturing January 29, 2016 | 2,064 | 2,061,133 |
12
| Borrower/Tranche Description | Value | |
|---|---|---|
| VWR Funding, Inc. | ||
| Term Loan, 2.75%, Maturing June 30, 2014 | 1,102 | $ 1,101,121 |
| Term Loan, 4.50%, Maturing April 3, 2017 | 1,102 | 1,105,255 |
| $ 89,662,692 | ||
| Home Furnishings 0.7% | ||
| Hunter Fan Company | ||
| Term Loan, 2.75%, Maturing April 16, 2014 | 326 | $ 307,909 |
| National Bedding Company LLC | ||
| Term Loan, 4.00%, Maturing November 28, 2013 | 1,424 | 1,425,961 |
| Term Loan - Second Lien, 5.25%, Maturing February 28, 2014 | 2,050 | 2,039,750 |
| $ 3,773,620 | ||
| Industrial Equipment 2.4% | ||
| Colfax Corporation | ||
| Term Loan, 4.50%, Maturing January 11, 2019 | 1,294 | $ 1,297,084 |
| Excelitas Technologies Corp. | ||
| Term Loan, 4.75%, Maturing November 23, 2016 | 983 | 953,025 |
| Generac Power Systems, Inc. | ||
| Term Loan, 6.25%, Maturing May 30, 2018 | 1,550 | 1,561,625 |
| Grede LLC | ||
| Term Loan, 7.00%, Maturing April 3, 2017 | 825 | 826,031 |
| Husky Injection Molding Systems Ltd | ||
| Term Loan, 6.50%, Maturing June 29, 2018 | 2,330 | 2,344,595 |
| Kion Group GMBH | ||
| Term Loan, 2.45%, Maturing December 23, 2014 (4) | 1,036 | 945,906 |
| Term Loan, 2.95%, Maturing December 23, 2015 (4) | 1,036 | 945,906 |
| Manitowoc Company, Inc. (The) | ||
| Term Loan, 4.25%, Maturing November 13, 2017 | 560 | 559,199 |
| Schaeffler AG | ||
| Term Loan, 6.00%, Maturing January 27, 2017 | 825 | 828,873 |
| Tank Intermediate Holding Corp. | ||
| Term Loan, 7.75%, Maturing June 28, 2019 | 1,000 | 987,500 |
| Terex Corporation | ||
| Term Loan, 5.50%, Maturing April 28, 2017 | 695 | 701,263 |
| Unifrax Corporation | ||
| Term Loan, 6.50%, Maturing November 28, 2018 | 573 | 579,424 |
| $ 12,530,431 | ||
| Insurance 5.1% | ||
| Alliant Holdings I, Inc. | ||
| Term Loan, 3.46%, Maturing August 21, 2014 | 2,333 | $ 2,336,155 |
| AmWINS Group, Inc. | ||
| Term Loan, 5.75%, Maturing June 6, 2019 | 1,000 | 1,000,000 |
| Term Loan - Second Lien, 9.25%, Maturing December 6, 2019 | 3,275 | 3,258,625 |
| Applied Systems, Inc | ||
| Term Loan, 5.50%, Maturing December 8, 2016 | 574 | 572,129 |
| Term Loan, 5.50%, Maturing December 8, 2016 | 1,330 | 1,329,611 |
| Asurion LLC | ||
| Term Loan, 5.50%, Maturing May 24, 2018 | 7,423 | 7,416,194 |
| Term Loan - Second Lien, 9.00%, Maturing May 24, 2019 | 713 | 740,127 |
| CCC Information Services, Inc. | ||
| Term Loan, 5.50%, Maturing November 11, 2015 | 1,360 | 1,362,168 |
| CNO Financial Group, Inc. | ||
| Term Loan, 6.25%, Maturing September 30, 2016 | 865 | 869,550 |
13
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Hub International Limited | |||
| Term Loan, 4.75%, Maturing June 13, 2017 | 2,633 | $ 2,634,876 | |
| Term Loan, 6.75%, Maturing December 13, 2017 | 559 | 563,184 | |
| Towergate Finance, PLC | |||
| Term Loan, 6.50%, Maturing August 4, 2017 | GBP | 1,000 | 1,481,619 |
| USI Holdings Corporation | |||
| Term Loan, 2.75%, Maturing May 5, 2014 | 2,952 | 2,921,707 | |
| $ 26,485,945 | |||
| Leisure Goods/Activities/Movies 7.7% | |||
| Alpha D2 Limited | |||
| Term Loan, 5.75%, Maturing April 28, 2017 | 1,995 | $ 1,996,973 | |
| AMC Entertainment, Inc. | |||
| Term Loan, 3.50%, Maturing December 15, 2016 | 3,679 | 3,674,725 | |
| Term Loan, 4.25%, Maturing February 22, 2018 | 970 | 968,185 | |
| AMC Networks Inc. | |||
| Term Loan, 4.00%, Maturing December 31, 2018 | 1,337 | 1,332,881 | |
| Bombardier Recreational Products, Inc. | |||
| Term Loan, 4.60%, Maturing June 28, 2016 | 2,781 | 2,777,218 | |
| Bright Horizons Family Solutions, Inc. | |||
| Term Loan, 4.25%, Maturing May 28, 2015 | 901 | 900,274 | |
| Cedar Fair, L.P. | |||
| Term Loan, 4.00%, Maturing December 15, 2017 | 1,903 | 1,907,235 | |
| Cinemark USA, Inc. | |||
| Term Loan, 3.54%, Maturing April 29, 2016 | 3,408 | 3,414,549 | |
| Clubcorp Club Operations, Inc. | |||
| Term Loan, 6.00%, Maturing November 30, 2016 | 2,625 | 2,636,622 | |
| Dave & Busters, Inc. | |||
| Term Loan, 5.50%, Maturing June 1, 2016 | 978 | 978,722 | |
| Fender Musical Instruments Corporation | |||
| Term Loan, 2.50%, Maturing June 9, 2014 | 272 | 266,818 | |
| Term Loan, 2.50%, Maturing June 9, 2014 | 535 | 525,423 | |
| Live Nation Entertainment, Inc. | |||
| Term Loan, 4.50%, Maturing November 7, 2016 | 2,248 | 2,238,414 | |
| Regal Cinemas, Inc. | |||
| Term Loan, 3.29%, Maturing August 23, 2017 | 4,334 | 4,317,071 | |
| Revolution Studios Distribution Company, LLC | |||
| Term Loan, 4.00%, Maturing December 21, 2014 (5) | 760 | 609,482 | |
| Term Loan - Second Lien, 7.25%, Maturing June 21, 2015 (5) | 800 | 340,880 | |
| SeaWorld Parks & Entertainment, Inc. | |||
| Term Loan, 4.00%, Maturing August 17, 2017 | 2,385 | 2,382,453 | |
| Six Flags Theme Parks, Inc. | |||
| Term Loan, 4.25%, Maturing December 20, 2018 | 2,150 | 2,148,824 | |
| Town Sports International Inc. | |||
| Term Loan, 7.00%, Maturing May 11, 2018 | 1,841 | 1,861,973 | |
| Zuffa LLC | |||
| Term Loan, 2.25%, Maturing June 19, 2015 | 3,871 | 3,758,504 | |
| Term Loan, 9.25%, Maturing June 19, 2015 | 748 | 751,836 | |
| $ 39,789,062 | |||
| Lodging and Casinos 2.9% | |||
| Affinity Gaming, LLC | |||
| Term Loan, 5.50%, Maturing November 9, 2017 | 424 | $ 424,732 | |
| Ameristar Casinos, Inc. | |||
| Term Loan, 4.00%, Maturing April 16, 2018 | 1,029 | 1,033,743 |
14
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Caesars Entertainment Operating Company | |||
| Term Loan, 9.50%, Maturing October 31, 2016 | 2,925 | $ 2,960,466 | |
| Term Loan, 5.50%, Maturing January 26, 2018 | 2,081 | 1,839,013 | |
| Gala Group LTD | |||
| Term Loan, 5.58%, Maturing May 30, 2018 | GBP | 2,625 | 3,765,780 |
| Isle of Capri Casinos, Inc. | |||
| Term Loan, 4.75%, Maturing November 1, 2013 | 913 | 917,434 | |
| Las Vegas Sands LLC | |||
| Term Loan, 2.84%, Maturing November 23, 2016 | 468 | 456,180 | |
| Term Loan, 2.84%, Maturing November 23, 2016 | 1,855 | 1,826,962 | |
| LodgeNet Entertainment Corporation | |||
| Term Loan, 6.50%, Maturing April 4, 2014 | 1,026 | 684,707 | |
| Pinnacle Entertainment, Inc. | |||
| Term Loan, 4.00%, Maturing March 19, 2019 | 574 | 574,100 | |
| Tropicana Entertainment Inc. | |||
| Term Loan, 7.50%, Maturing March 16, 2018 | 349 | 350,871 | |
| $ 14,833,988 | |||
| Nonferrous Metals/Minerals 2.4% | |||
| Arch Coal, Inc | |||
| Term Loan, 5.75%, Maturing May 16, 2018 | 2,375 | $ 2,346,056 | |
| Fairmount Minerals LTD | |||
| Term Loan, 5.25%, Maturing March 15, 2017 | 3,790 | 3,773,892 | |
| Noranda Aluminum Acquisition Corporation | |||
| Term Loan, 5.75%, Maturing February 24, 2019 | 1,022 | 1,028,189 | |
| Novelis, Inc. | |||
| Term Loan, 4.00%, Maturing March 10, 2017 | 670 | 666,337 | |
| Term Loan, 4.00%, Maturing March 10, 2017 | 2,019 | 2,008,396 | |
| Oxbow Carbon and Mineral Holdings LLC | |||
| Term Loan, 3.85%, Maturing May 8, 2016 | 2,535 | 2,540,946 | |
| $ 12,363,816 | |||
| Oil and Gas 4.4% | |||
| Buffalo Gulf Coast Terminals LLC | |||
| Term Loan, 7.50%, Maturing October 31, 2017 | 546 | $ 549,287 | |
| Citgo Petroleum Corporation | |||
| Term Loan, 8.00%, Maturing June 24, 2015 | 189 | 190,936 | |
| Term Loan, 9.00%, Maturing June 23, 2017 | 2,524 | 2,556,621 | |
| Crestwood Holdings LLC | |||
| Term Loan, 9.75%, Maturing March 26, 2018 | 2,125 | 2,153,333 | |
| Energy Transfer Equity, L.P. | |||
| Term Loan, 3.75%, Maturing March 24, 2017 | 2,625 | 2,592,187 | |
| Frac Tech International LLC | |||
| Term Loan, 6.25%, Maturing May 6, 2016 | 4,342 | 3,766,703 | |
| Gibson Energy ULC | |||
| Term Loan, 4.75%, Maturing June 15, 2018 | 2,319 | 2,333,682 | |
| MEG Energy Corp. | |||
| Term Loan, 4.00%, Maturing March 16, 2018 | 1,216 | 1,219,764 | |
| Obsidian Natural Gas Trust | |||
| Term Loan, 7.00%, Maturing November 2, 2015 | 2,850 | 2,864,370 | |
| Sheridan Production Partners I, LLC | |||
| Term Loan, 6.50%, Maturing April 20, 2017 | 105 | 106,417 | |
| Term Loan, 6.50%, Maturing April 20, 2017 | 173 | 174,224 | |
| Term Loan, 6.50%, Maturing April 20, 2017 | 1,302 | 1,314,816 |
15
| Borrower/Tranche Description | Value | |
|---|---|---|
| Tervita Corporation | ||
| Term Loan, 6.50%, Maturing October 17, 2014 | 547 | $ 551,126 |
| Term Loan, 3.25%, Maturing November 14, 2014 | 2,495 | 2,449,574 |
| $ 22,823,040 | ||
| Publishing 5.5% | ||
| Ascend Learning, Inc. | ||
| Term Loan, 5.75%, Maturing May 23, 2017 | 3,195 | $ 3,153,164 |
| Aster Zweite Beteiligungs GmbH | ||
| Term Loan, 5.97%, Maturing December 31, 2014 | 93 | 87,402 |
| Term Loan, 5.97%, Maturing December 31, 2014 | 1,543 | 1,444,774 |
| Term Loan, 5.97%, Maturing December 31, 2014 | 1,614 | 1,511,977 |
| Cengage Learning Acquisitions, Inc. | ||
| Term Loan, 2.50%, Maturing July 3, 2014 | 984 | 904,199 |
| Endurance International Group, Inc. (The) | ||
| Term Loan - Second Lien, 11.00%, Maturing October 20, 2018 | 300 | 301,500 |
| GateHouse Media Operating, Inc. | ||
| Term Loan, 2.25%, Maturing August 28, 2014 | 858 | 282,794 |
| Term Loan, 2.25%, Maturing August 28, 2014 | 2,046 | 674,191 |
| Term Loan, 2.50%, Maturing August 28, 2014 | 665 | 218,971 |
| Getty Images, Inc. | ||
| Term Loan, 4.00%, Maturing November 2, 2015 | 547 | 548,438 |
| Term Loan, 5.25%, Maturing November 7, 2016 | 3,232 | 3,247,152 |
| Instant Web, Inc. | ||
| Term Loan, 3.62%, Maturing August 7, 2014 | 163 | 129,837 |
| Term Loan, 3.62%, Maturing August 7, 2014 | 1,562 | 1,245,520 |
| Interactive Data Corp | ||
| Term Loan, 4.50%, Maturing February 12, 2018 | 3,138 | 3,142,493 |
| Lamar Media Corporation | ||
| Term Loan, 4.00%, Maturing December 30, 2016 | 553 | 556,690 |
| Laureate Education, Inc. | ||
| Term Loan, 5.25%, Maturing August 15, 2018 | 5,799 | 5,581,113 |
| Medianews Group | ||
| Term Loan, 8.50%, Maturing March 19, 2014 | 108 | 104,408 |
| Merrill Communications, LLC | ||
| Term Loan, 7.75%, Maturing December 24, 2012 | 1,225 | 1,173,233 |
| Nelson Education Ltd. | ||
| Term Loan, 2.96%, Maturing July 3, 2014 | 462 | 396,341 |
| Nielsen Finance LLC | ||
| Term Loan, 4.00%, Maturing May 2, 2016 | 1,948 | 1,949,528 |
| SGS International, Inc. | ||
| Term Loan, 3.75%, Maturing September 30, 2013 | 437 | 436,876 |
| Source Interlink Companies, Inc. | ||
| Term Loan, 15.00%, Maturing March 18, 2014 (4)(5) | 720 | 432,105 |
| Term Loan - Second Lien, 10.75%, Maturing June 18, 2013 | 888 | 852,943 |
| $ 28,375,649 | ||
| Radio and Television 3.6% | ||
| Clear Channel Communications, Inc. | ||
| Term Loan, 3.90%, Maturing January 28, 2016 | 1,969 | $ 1,491,163 |
| Cumulus Media Holdings Inc. | ||
| Term Loan - Second Lien, Maturing September 16, 2019 (2) | 1,000 | 1,010,000 |
| Cumulus Media, Inc. | ||
| Term Loan, 5.75%, Maturing September 17, 2018 | 4,650 | 4,681,714 |
| Entercom Radio, LLC | ||
| Term Loan, 6.25%, Maturing November 23, 2018 | 524 | 526,562 |
16
| Borrower/Tranche Description | Value | |
|---|---|---|
| Foxco Acquisition Sub, LLC | ||
| Term Loan, 4.75%, Maturing July 14, 2015 | 449 | $ 449,880 |
| Gray Television, Inc. | ||
| Term Loan, 3.75%, Maturing December 31, 2014 | 628 | 624,284 |
| Hubbard Radio, LLC | ||
| Term Loan, 5.25%, Maturing April 28, 2017 | 903 | 909,541 |
| LIN Television Corp. | ||
| Term Loan, 5.00%, Maturing December 21, 2018 | 597 | 601,477 |
| Mission Broadcasting, Inc. | ||
| Term Loan, 5.00%, Maturing September 30, 2016 | 516 | 515,970 |
| Nexstar Broadcasting, Inc. | ||
| Term Loan, 5.00%, Maturing September 30, 2016 | 807 | 807,065 |
| Raycom TV Broadcasting, Inc. | ||
| Term Loan, 4.50%, Maturing May 31, 2017 | 866 | 861,919 |
| Sinclair Television Group Inc. | ||
| Term Loan, 4.00%, Maturing October 28, 2016 | 734 | 736,531 |
| Univision Communications Inc. | ||
| Term Loan, 4.50%, Maturing March 31, 2017 | 4,784 | 4,596,807 |
| Weather Channel | ||
| Term Loan, 4.25%, Maturing February 13, 2017 | 1,112 | 1,116,585 |
| $ 18,929,498 | ||
| Rail Industries 0.1% | ||
| RailAmerica, Inc. | ||
| Term Loan, 4.00%, Maturing March 1, 2019 | 773 | $ 774,995 |
| $ 774,995 | ||
| Retailers (Except Food and Drug) 4.3% | ||
| 99 Cents Only Stores | ||
| Term Loan, 5.25%, Maturing January 11, 2019 | 1,495 | $ 1,501,699 |
| Evergreen Acqco 1 LP | ||
| Term Loan, 6.25%, Maturing July 9, 2019 | 675 | 681,750 |
| FTD, Inc. | ||
| Term Loan, 4.75%, Maturing June 11, 2018 | 1,184 | 1,177,697 |
| Harbor Freight Tools USA, Inc. | ||
| Term Loan, 5.50%, Maturing November 14, 2017 | 1,000 | 1,003,750 |
| J Crew Group, Inc. | ||
| Term Loan, 4.75%, Maturing March 7, 2018 | 2,077 | 2,058,323 |
| Jo-Ann Stores, Inc. | ||
| Term Loan, 4.75%, Maturing March 16, 2018 | 1,939 | 1,925,915 |
| Michaels Stores, Inc. | ||
| Term Loan, 5.00%, Maturing July 29, 2016 | 926 | 930,972 |
| National Vision, Inc. | ||
| Term Loan, Maturing August 10, 2018 (2) | 800 | 788,000 |
| Neiman Marcus Group, Inc. (The) | ||
| Term Loan, 4.75%, Maturing May 16, 2018 | 3,800 | 3,779,142 |
| Petco Animal Supplies, Inc. | ||
| Term Loan, 4.50%, Maturing November 24, 2017 | 2,215 | 2,215,351 |
| Pilot Travel Centers LLC | ||
| Term Loan, 4.25%, Maturing March 30, 2018 | 1,773 | 1,770,521 |
| ServiceMaster Company | ||
| Term Loan, 2.75%, Maturing July 24, 2014 | 222 | 221,416 |
| Term Loan, 2.80%, Maturing July 24, 2014 | 2,233 | 2,223,468 |
| Visant Holding Corp. | ||
| Term Loan, 5.25%, Maturing December 22, 2016 | 1,319 | 1,285,006 |
17
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Vivarte SA | |||
| Term Loan, 3.07%, Maturing March 9, 2015 | EUR | 29 | $ 28,300 |
| Term Loan, 3.07%, Maturing March 9, 2015 | EUR | 62 | 61,875 |
| Term Loan, 3.07%, Maturing March 9, 2015 | EUR | 347 | 343,912 |
| Term Loan, 3.57%, Maturing March 8, 2016 | EUR | 18 | 18,227 |
| Term Loan, 3.57%, Maturing March 8, 2016 | EUR | 71 | 70,509 |
| Term Loan, 3.57%, Maturing March 8, 2016 | EUR | 440 | 436,485 |
| $ 22,522,318 | |||
| Steel 0.5% | |||
| JMC Steel Group, Inc. | |||
| Term Loan, 4.75%, Maturing April 3, 2017 | 691 | $ 692,983 | |
| SunCoke Energy, Inc. | |||
| Term Loan, 4.00%, Maturing July 26, 2018 | 495 | 494,382 | |
| Waupaca Foundry, Inc. | |||
| Term Loan, 8.50%, Maturing June 29, 2017 | 650 | 655,687 | |
| WireCo WorldGroup, Inc. | |||
| Term Loan, 6.00%, Maturing February 15, 2017 | 625 | 626,563 | |
| $ 2,469,615 | |||
| Surface Transport 1.0% | |||
| Hertz Corporation (The) | |||
| Term Loan, 3.75%, Maturing March 9, 2018 | 3,481 | $ 3,459,805 | |
| Swift Transportation Co. Inc. | |||
| Term Loan, 5.00%, Maturing December 21, 2017 | 1,812 | 1,826,756 | |
| $ 5,286,561 | |||
| Telecommunications 6.1% | |||
| Alaska Communications Systems Holdings, Inc. | |||
| Term Loan, 5.50%, Maturing October 21, 2016 | 1,798 | $ 1,640,333 | |
| Cellular South, Inc. | |||
| Term Loan, 4.50%, Maturing July 27, 2017 | 842 | 837,293 | |
| Crown Castle International Corporation | |||
| Term Loan, 4.00%, Maturing January 31, 2019 | 1,866 | 1,864,459 | |
| Intelsat Jackson Holdings S.A. | |||
| Term Loan, 5.25%, Maturing April 2, 2018 | 10,221 | 10,249,376 | |
| Macquarie UK Broadcast Limited | |||
| Term Loan, 3.06%, Maturing December 1, 2014 | GBP | 755 | 1,079,999 |
| MetroPCS Wireless, Inc. | |||
| Term Loan, 4.00%, Maturing March 16, 2018 | 3,950 | 3,933,171 | |
| NTELOS Inc. | |||
| Term Loan, 4.00%, Maturing August 7, 2015 | 905 | 904,060 | |
| Oberthur Technologies Holding SAS | |||
| Term Loan, 6.25%, Maturing March 30, 2019 | 575 | 563,500 | |
| SBA Finance | |||
| Term Loan, 3.75%, Maturing June 29, 2018 | 941 | 939,912 | |
| Syniverse Holdings, Inc. | |||
| Term Loan, 5.00%, Maturing April 23, 2019 | 1,850 | 1,847,687 | |
| Telesat LLC | |||
| Term Loan, 4.25%, Maturing March 28, 2019 | 6,825 | 6,810,374 | |
| TowerCo Finance LLC | |||
| Term Loan, 4.50%, Maturing February 2, 2017 | 667 | 669,062 | |
| Windstream Corporation | |||
| Term Loan, 3.15%, Maturing December 17, 2015 | 320 | 319,663 | |
| $ 31,658,889 |
18
| Borrower/Tranche Description | Principal Amount* (000s omitted) | Value |
|---|---|---|
| Utilities 3.6% | ||
| AES Corporation | ||
| Term Loan, 4.25%, Maturing June 1, 2018 | 2,568 | $ 2,575,983 |
| BRSP, LLC | ||
| Term Loan, 7.50%, Maturing June 4, 2014 | 752 | 754,900 |
| Calpine Corporation | ||
| Term Loan, 4.50%, Maturing April 2, 2018 | 941 | 945,203 |
| Term Loan, 4.50%, Maturing April 2, 2018 | 2,765 | 2,778,402 |
| Dynegy Midwest Generation LLC | ||
| Term Loan, 9.25%, Maturing August 4, 2016 | 521 | 535,555 |
| Dynegy Power, LLC | ||
| Term Loan, 9.25%, Maturing August 4, 2016 | 943 | 981,032 |
| Invenergy LLC | ||
| Term Loan, 9.00%, Maturing November 21, 2017 | 737 | 736,643 |
| LS Power Funding Corp. | ||
| Term Loan, 5.50%, Maturing June 28, 2019 | 1,125 | 1,122,187 |
| NRG Energy, Inc. | ||
| Term Loan, 4.00%, Maturing July 2, 2018 | 4,381 | 4,396,153 |
| Texas Competitive Electric Holdings Company, LLC | ||
| Term Loan, 4.75%, Maturing October 10, 2017 | 5,832 | 3,725,160 |
| $ 18,551,218 | ||
| Total Senior Floating-Rate Interests (identified cost $754,170,380) | $ 748,412,455 | |
| Corporate Bonds & Notes 9.4% | ||
| Security | Principal Amount* (000s omitted) | Value |
| Automotive 0.0% (6) | ||
| American Axle & Manufacturing, Inc., Sr. Notes | ||
| 9.25%, 1/15/17 (7) | 104 | $ 116,870 |
| Visteon Corp., Sr. Notes | ||
| 6.75%, 4/15/19 | 30 | 29,325 |
| $ 146,195 | ||
| Beverage and Tobacco 0.0% (6) | ||
| Constellation Brands, Inc., Sr. Notes | ||
| 6.00%, 5/1/22 | 105 | $ 116,419 |
| Innovation Ventures LLC/Innovation Ventures Finance Corp., Sr. Notes | ||
| 9.50%, 8/15/19 (7) | 50 | 50,000 |
| $ 166,419 | ||
| Brokers, Dealers and Investment Houses 0.0% (6) | ||
| Alliance Data Systems Corp., Sr. Notes | ||
| 6.375%, 4/1/20 (7) | 55 | $ 57,475 |
| $ 57,475 | ||
| Building and Development 0.0% (6) | ||
| Isabelle Acquisition Sub, Inc., Sr. Notes | ||
| 10.00%, 11/15/18 (4)(7) | 130 | $ 135,038 |
| Nortek, Inc., Sr. Notes | ||
| 10.00%, 12/1/18 | 85 | 92,225 |
| 8.50%, 4/15/21 | 25 | 25,875 |
| $ 253,138 |
19
| Security | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Business Equipment and Services 0.1% | |||
| Education Management, LLC, Sr. Notes | |||
| 8.75%, 6/1/14 | 280 | $ 256,900 | |
| $ 256,900 | |||
| Cable and Satellite Television 0.0% (6) | |||
| DISH DBS Corp., Sr. Notes | |||
| 5.875%, 7/15/22 (7) | 85 | $ 87,975 | |
| $ 87,975 | |||
| Chemicals and Plastics 1.2% | |||
| Hexion US Finance Corp., Sr. Notes | |||
| 6.625%, 4/15/20 | 2,000 | $ 2,055,000 | |
| Ineos Finance PLC, Sr. Notes | |||
| 7.25%, 2/15/19 (7) | EUR | 1,000 | 1,218,095 |
| 8.375%, 2/15/19 (7) | 1,825 | 1,895,719 | |
| 7.50%, 5/1/20 (7) | 800 | 816,000 | |
| LyondellBasell Industries N.V., Sr. Notes | |||
| 5.00%, 4/15/19 (7) | 225 | 245,250 | |
| 5.75%, 4/15/24 (7) | 200 | 227,500 | |
| $ 6,457,564 | |||
| Containers and Glass Products 0.4% | |||
| Berry Plastics Corp., Sr. Notes | |||
| 5.205%, 2/15/15 (8) | 2,000 | $ 2,012,500 | |
| $ 2,012,500 | |||
| Cosmetics/Toiletries 0.3% | |||
| Revlon Consumer Products Corp. | |||
| 9.75%, 11/15/15 | 1,415 | $ 1,517,587 | |
| $ 1,517,587 | |||
| Ecological Services and Equipment 0.1% | |||
| Clean Harbors, Inc., Sr. Notes | |||
| 5.25%, 8/1/20 (7) | 50 | $ 51,813 | |
| Environmental Systems Product Holdings, Inc., Jr. Notes | |||
| 18.00%, 3/31/15 (4)(5)(7) | 460 | 390,401 | |
| $ 442,214 | |||
| Electronics/Electrical 0.0% (6) | |||
| Brocade Communications Systems, Inc., Sr. Notes | |||
| 6.625%, 1/15/18 | 30 | $ 31,425 | |
| 6.875%, 1/15/20 | 30 | 32,700 | |
| Lawson Software, Inc., Sr. Notes | |||
| 9.375%, 4/1/19 (7) | 60 | 64,500 | |
| $ 128,625 | |||
| Equipment Leasing 0.4% | |||
| Aircastle, Ltd., Sr. Notes | |||
| 6.75%, 4/15/17 | 50 | $ 52,750 | |
| 7.625%, 4/15/20 | 25 | 26,875 | |
| Ashtead Capital, Inc., Sr. Notes | |||
| 6.50%, 7/15/22 (7) | 50 | 52,188 | |
| International Lease Finance Corp., Sr. Notes | |||
| 5.65%, 6/1/14 | 1,000 | 1,040,000 | |
| 6.75%, 9/1/16 (7) | 350 | 385,875 | |
| 7.125%, 9/1/18 (7) | 350 | 397,687 | |
| $ 1,955,375 |
20
| Security | Principal Amount* (000s omitted) | Value | |
|---|---|---|---|
| Financial Intermediaries 1.1% | |||
| Ally Financial, Inc., Sr. Notes | |||
| 2.667%, 12/1/14 (8) | 55 | $ 53,377 | |
| CIT Group, Inc., Sr. Notes | |||
| 4.25%, 8/15/17 | 145 | 145,000 | |
| First Data Corp., Sr. Notes | |||
| 7.375%, 6/15/19 (7) | 1,000 | 1,048,750 | |
| Ford Motor Credit Co., LLC, Sr. Notes | |||
| 8.00%, 12/15/16 | 175 | 207,327 | |
| 12.00%, 5/15/15 | 2,250 | 2,797,371 | |
| UPCB Finance II, Ltd., Sr. Notes | |||
| 6.375%, 7/1/20 (7) | EUR | 1,000 | 1,261,160 |
| $ 5,512,985 | |||
| Food Products 0.0% (6) | |||
| Smithfield Foods, Inc., Sr. Notes | |||
| 6.625%, 8/15/22 | 95 | $ 98,800 | |
| $ 98,800 | |||
| Food Service 0.0% (6) | |||
| Ruby Tuesday, Inc., Sr. Notes | |||
| 7.625%, 5/15/20 (7) | 125 | $ 112,969 | |
| $ 112,969 | |||
| Health Care 0.1% | |||
| Accellent, Inc., Sr. Notes | |||
| 8.375%, 2/1/17 | 135 | $ 141,075 | |
| Biomet, Inc., Sr. Notes | |||
| 6.50%, 8/1/20 (7) | 95 | 98,087 | |
| Community Health Systems, Inc., Sr. Notes | |||
| 7.125%, 7/15/20 | 120 | 125,850 | |
| Hologic, Inc., Sr. Notes | |||
| 6.25%, 8/1/20 (7) | 245 | 259,700 | |
| Kinetic Concepts, Inc./KCI USA, Inc., Sr. Notes | |||
| 10.50%, 11/1/18 (7) | 45 | 47,813 | |
| USPI Finance Corp., Sr. Notes | |||
| 9.00%, 4/1/20 (7) | 60 | 64,950 | |
| $ 737,475 | |||
| Home Furnishings 0.2% | |||
| Libbey Glass, Inc., Sr. Notes | |||
| 6.875%, 5/15/20 (7) | 735 | $ 779,100 | |
| Monaco SpinCo, Inc., Sr. Notes | |||
| 6.75%, 4/30/20 (7) | 200 | 216,000 | |
| $ 995,100 | |||
| Industrial Equipment 0.2% | |||
| Terex Corp., Sr. Notes | |||
| 10.875%, 6/1/16 | 915 | $ 1,029,375 | |
| $ 1,029,375 | |||
| Insurance 0.0% (6) | |||
| Alliant Holdings I, Inc., Sr. Notes | |||
| 11.00%, 5/1/15 (7) | 40 | $ 41,850 | |
| $ 41,850 |
21
| Security | Value | |
|---|---|---|
| Leisure Goods/Activities/Movies 0.2% | ||
| AMC Entertainment, Inc., Sr. Notes | ||
| 8.75%, 6/1/19 | 110 | $ 119,900 |
| National CineMedia, LLC, Sr. Notes | ||
| 6.00%, 4/15/22 (7) | 790 | 821,600 |
| Royal Caribbean Cruises, Sr. Notes | ||
| 6.875%, 12/1/13 | 35 | 37,013 |
| 7.00%, 6/15/13 | 95 | 99,275 |
| 7.25%, 6/15/16 | 25 | 27,750 |
| 7.25%, 3/15/18 | 50 | 55,375 |
| Seven Seas Cruises, S. de R.L., LLC | ||
| 9.125%, 5/15/19 | 20 | 20,950 |
| $ 1,181,863 | ||
| Lodging and Casinos 1.2% | ||
| Buffalo Thunder Development Authority, Sr. Notes | ||
| 9.375%, 12/15/14 (7)(9) | 480 | $ 180,000 |
| Caesars Entertainment Operating Co., Sr. Notes | ||
| 5.375%, 12/15/13 | 30 | 29,100 |
| 8.50%, 2/15/20 (7) | 2,100 | 2,113,125 |
| 11.25%, 6/1/17 | 1,500 | 1,631,250 |
| Choice Hotels International, Inc., Sr. Notes | ||
| 5.75%, 7/1/22 | 25 | 26,750 |
| Inn of the Mountain Gods Resort & Casino, Sr. Notes | ||
| 8.75%, 11/30/20 (7) | 93 | 92,302 |
| Mohegan Tribal Gaming Authority | ||
| 10.50%, 12/15/16 (7) | 105 | 92,925 |
| Mohegan Tribal Gaming Authority, Sr. Sub. Notes | ||
| 11.00%, 9/15/18 (7) | 400 | 268,000 |
| Peninsula Gaming, LLC, Sr. Notes | ||
| 10.75%, 8/15/17 | 1,000 | 1,143,750 |
| Tunica-Biloxi Gaming Authority, Sr. Notes | ||
| 9.00%, 11/15/15 (7) | 310 | 297,600 |
| Waterford Gaming, LLC, Sr. Notes | ||
| 8.625%, 9/15/14 (5)(7) | 191 | 110,550 |
| $ 5,985,352 | ||
| Nonferrous Metals/Minerals 0.3% | ||
| Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp., Sr. Notes | ||
| 8.25%, 12/15/17 (7) | 1,000 | $ 1,055,000 |
| 8.50%, 12/15/19 | 335 | 355,937 |
| FMG Resources (August 2006) Pty, Ltd., Sr. Notes | ||
| 7.00%, 11/1/15 (7) | 75 | 77,250 |
| Molycorp, Inc., Sr. Notes | ||
| 10.00%, 6/1/20 (7) | 130 | 122,850 |
| New Gold, Inc., Sr. Notes | ||
| 7.00%, 4/15/20 (7) | 40 | 41,900 |
| Penn Virginia Resource Partners, LP/Penn Virginia Resource Finance Corp. II, Sr. Notes | ||
| 8.375%, 6/1/20 (7) | 50 | 50,750 |
| $ 1,703,687 | ||
| Oil and Gas 0.3% | ||
| Eagle Rock Energy Partners, LP/Eagle Rock Energy Finance Corp., Sr. Notes | ||
| 8.375%, 6/1/19 (7) | 50 | $ 49,438 |
| Everest Acquisition, LLC/Everest Acquisition Finance, Inc., Sr. Notes | ||
| 6.875%, 5/1/19 (7) | 290 | 309,937 |
| 9.375%, 5/1/20 (7) | 210 | 226,275 |
22
| Security | Value | |
|---|---|---|
| Halcon Resources Corp., Sr. Notes | ||
| 9.75%, 7/15/20 (7) | 100 | $ 102,000 |
| Laredo Petroleum, Inc., Sr. Notes | ||
| 7.375%, 5/1/22 (7) | 55 | 58,300 |
| MEG Energy Corp., Sr. Notes | ||
| 6.375%, 1/30/23 (7) | 100 | 102,500 |
| Newfield Exploration Co., Sr. Notes | ||
| 5.625%, 7/1/24 | 120 | 128,100 |
| Oasis Petroleum, Inc., Sr. Notes | ||
| 6.875%, 1/15/23 | 135 | 137,025 |
| Petroleum Development Corp., Sr. Notes | ||
| 12.00%, 2/15/18 | 115 | 122,475 |
| Quicksilver Resources, Inc., Sr. Notes | ||
| 11.75%, 1/1/16 | 10 | 9,675 |
| SESI, LLC, Sr. Notes | ||
| 6.875%, 6/1/14 | 60 | 60,019 |
| SM Energy Co., Sr. Notes | ||
| 6.50%, 1/1/23 (7) | 75 | 76,594 |
| $ 1,382,338 | ||
| Publishing 0.3% | ||
| Laureate Education, Inc., Sr. Notes | ||
| 9.25%, 9/1/19 (7) | 155 | $ 153,837 |
| 11.00%, 8/15/15 (7) | 1,160 | 1,191,900 |
| $ 1,345,737 | ||
| Radio and Television 0.3% | ||
| Entravision Communications Corp., Sr. Notes | ||
| 8.75%, 8/1/17 (7) | 948 | $ 1,014,360 |
| XM Satellite Radio Holdings, Inc., Sr. Notes | ||
| 13.00%, 8/1/14 (7) | 485 | 540,775 |
| $ 1,555,135 | ||
| Rail Industries 0.1% | ||
| American Railcar Industry, Sr. Notes | ||
| 7.50%, 3/1/14 | 175 | $ 178,938 |
| Kansas City Southern Mexico, Sr. Notes | ||
| 8.00%, 2/1/18 | 500 | 563,750 |
| $ 742,688 | ||
| Retailers (Except Food and Drug) 0.2% | ||
| Dollar General Corp., Sr. Notes | ||
| 4.125%, 7/15/17 | 35 | $ 36,488 |
| HD Supply, Inc., Sr. Notes | ||
| 8.125%, 4/15/19 (7) | 35 | 38,238 |
| J Crew Group, Inc., Sr. Notes | ||
| 8.125%, 3/1/19 | 95 | 98,206 |
| Michaels Stores, Inc., Sr. Notes | ||
| 7.75%, 11/1/18 | 140 | 150,675 |
| Pantry, Inc., Sr. Notes | ||
| 8.375%, 8/1/20 (7) | 70 | 71,312 |
| Party City Holdings, Inc., Sr. Notes | ||
| 8.875%, 8/1/20 (7) | 120 | 124,800 |
| Sally Holdings, LLC/Sally Capital, Inc., Sr. Notes | ||
| 5.75%, 6/1/22 | 175 | 187,906 |
23
| Security | Principal Amount* (000s omitted) | Value |
|---|---|---|
| Toys R Us, Inc., Sr. Notes | ||
| 7.875%, 4/15/13 | 205 | $ 214,740 |
| 7.375%, 9/1/16 (7) | 50 | 50,312 |
| $ 972,677 | ||
| Steel 0.0% | ||
| RathGibson, Inc., Sr. Notes | ||
| 11.25%, 2/15/14 (5)(9) | 445 | $ 0 |
| $ 0 | ||
| Telecommunications 0.6% | ||
| Avaya, Inc., Sr. Notes | ||
| 9.75%, 11/1/15 | 840 | $ 659,400 |
| Digicel Group, Ltd., Sr. Notes | ||
| 8.875%, 1/15/15 (7) | 825 | 843,562 |
| Hughes Satellite Systems Corp., Sr. Notes | ||
| 6.50%, 6/15/19 | 1,000 | 1,080,000 |
| Intelsat Bermuda, Ltd., Sr. Notes | ||
| 11.25%, 6/15/16 | 122 | 128,863 |
| Intelsat Jackson Holdings, Ltd., Sr. Notes | ||
| 7.25%, 10/15/20 (7) | 160 | 170,800 |
| SBA Telecommunications, Inc., Sr. Notes | ||
| 5.75%, 7/15/20 (7) | 85 | 89,781 |
| $ 2,972,406 | ||
| Utilities 1.8% | ||
| Calpine Corp., Sr. Notes | ||
| 7.50%, 2/15/21 (7) | 4,725 | $ 5,280,187 |
| 7.875%, 1/15/23 (7) | 3,350 | 3,827,375 |
| Reliant Energy, Inc., Sr. Notes | ||
| 7.625%, 6/15/14 | 20 | 21,400 |
| $ 9,128,962 | ||
| Total Corporate Bonds & Notes (identified cost $46,987,458) | $ 48,981,366 | |
| Asset-Backed Securities 1.0% | ||
| Security | Principal Amount (000s omitted) | Value |
| Alzette European CLO SA, Series 2004-1A, Class E2, 6.968%, 12/15/20 (8) | $ 328 | $ 285,347 |
| Avalon Capital Ltd. 3, Series 1A, Class D, 2.417%, 2/24/19 (7)(8) | 589 | 478,715 |
| Babson Ltd., Series 2005-1A, Class C1, 2.405%, 4/15/19 (7)(8) | 753 | 571,427 |
| Carlyle High Yield Partners, Series 2004-6A, Class C, 2.917%, 8/11/16 (7)(8) | 1,000 | 946,011 |
| Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.968%, 3/8/17 (8) | 985 | 870,884 |
| Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.205%, 7/17/19 (8) | 750 | 600,308 |
| Comstock Funding Ltd., Series 2006-1A, Class D, 4.717%, 5/30/20 (7)(8) | 692 | 537,401 |
| Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.701%, 4/25/21 (7)(8) | 1,000 | 757,066 |
| Total Asset-Backed Securities (identified cost $5,924,833) | $ 5,047,159 |
24
| Common Stocks 1.5% — Security | Shares | Value |
|---|---|---|
| Air Transport 0.0% (6) | ||
| Delta Air Lines, Inc. (10) | 3,971 | $ 38,320 |
| $ 38,320 | ||
| Automotive 0.1% | ||
| Dayco Products, LLC (10)(11) | 18,702 | $ 635,868 |
| $ 635,868 | ||
| Building and Development 0.1% | ||
| Panolam Holdings Co. (5)(10)(12) | 253 | $ 412,415 |
| United Subcontractors, Inc. (5)(10)(11) | 508 | 20,638 |
| $ 433,053 | ||
| Diversified Manufacturing 0.0% (6) | ||
| MEGA Brands, Inc. (10) | 16,150 | $ 101,139 |
| $ 101,139 | ||
| Ecological Services and Equipment 0.1% | ||
| Environmental Systems Products Holdings, Inc. (5)(10)(12) | 6,211 | $ 565,201 |
| $ 565,201 | ||
| Financial Intermediaries 0.0% (6) | ||
| RTS Investor Corp. (5)(10)(11) | 78 | $ 7,433 |
| $ 7,433 | ||
| Food Service 0.1% | ||
| Buffets Restaurants Holdings Inc. (5)(10)(11) | 47,937 | $ 435,747 |
| $ 435,747 | ||
| Leisure Goods/Activities/Movies 0.3% | ||
| Metro-Goldwyn-Mayer Holdings, Inc. (5)(10)(11) | 50,438 | $ 1,538,359 |
| $ 1,538,359 | ||
| Lodging and Casinos 0.1% | ||
| Greektown Superholdings, Inc. (10) | 71 | $ 3,621 |
| Tropicana Entertainment, Inc. (5)(10)(11) | 35,670 | 481,545 |
| $ 485,166 | ||
| Nonferrous Metals/Minerals 0.1% | ||
| Euramax International, Inc. (5)(10)(11) | 701 | $ 210,360 |
| $ 210,360 | ||
| Oil and Gas 0.0% (6) | ||
| SemGroup Corp. (10) | 1,397 | $ 47,093 |
| $ 47,093 | ||
| Publishing 0.6% | ||
| Ion Media Networks, Inc. (5)(10)(11) | 3,990 | $ 2,946,017 |
| MediaNews Group, Inc. (5)(10)(11) | 10,718 | 230,114 |
| Source Interlink Companies, Inc. (5)(10)(11) | 2,290 | 13,442 |
| SuperMedia, Inc. (10)(11) | 9,554 | 21,974 |
| $ 3,211,547 | ||
| Total Common Stocks (identified cost $4,544,540) | $ 7,709,286 |
25
| Preferred Stocks 0.0% (6) — Security | Shares | Value | |
|---|---|---|---|
| Ecological Services and Equipment 0.0% (6) | |||
| Environmental Systems Products Holdings, Inc., Series A (5)(10)(12) | 1,422 | $ 89,586 | |
| Total Preferred Stocks (identified cost $24,885) | $ 89,586 | ||
| Warrants 0.0% (6) | |||
| Security | Shares | Value | |
| Oil and Gas 0.0% (6) | |||
| SemGroup Corp., Expires 11/30/14 (10) | 1,470 | $ 15,295 | |
| $ 15,295 | |||
| Publishing 0.0% | |||
| Readers Digest Association, Inc. (The), Expires 2/14/19 (5)(10)(11) | 1,450 | $ 0 | |
| $ 0 | |||
| Total Warrants (identified cost $15) | $ 15,295 | ||
| Miscellaneous 0.0% (6) | |||
| Security | Shares | Value | |
| Oil and Gas 0.0% (6) | |||
| SemGroup Corp., Escrow Certificate (10) | 540,000 | $ 21,600 | |
| Total Miscellaneous (identified cost $0) | $ 21,600 | ||
| Short-Term Investments 4.1% | |||
| Description | Interest/ Principal Amount (000s omitted) | Value | |
| Eaton Vance Cash Reserves Fund, LLC, 0.11% (13) | $ 15,906 | $ 15,906,491 | |
| State Street Bank and Trust Euro Time Deposit, 0.01%, 8/1/12 | 5,217 | 5,216,814 | |
| Total Short-Term Investments (identified cost $21,123,305) | $ 21,123,305 | ||
| Total Investments 160.4% (identified cost $832,775,416) | $ 831,400,052 | ||
| Less Unfunded Loan Commitments (0.1)% | $ (244,386 | ) | |
| Net Investments 160.3% (identified cost $832,531,030) | $ 831,155,666 | ||
| Other Assets, Less Liabilities (35.0)% | $ (181,407,535 | ) |
26
| Auction Preferred Shares Plus Cumulative Unpaid Dividends (25.3)% | Value — $ (131,305,370 |
|---|---|
| Net Assets Applicable to Common Shares 100.0% | $ 518,442,761 |
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 |
(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, 2012, 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) Represents a payment-in-kind security which may pay all or a portion of interest in additional par.
(5) For fair value measurement disclosure purposes, security is categorized as Level 3.
(6) Amount is less than 0.05%.
(7) 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, 2012, the aggregate value of these securities is $33,059,520 or 6.4% of the Trusts net assets applicable to common shares.
(8) Variable rate security. The stated interest rate represents the rate in effect at July 31, 2012.
(9) 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.
(10) Non-income producing security.
(11) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.
(12) Restricted security.
(13) 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, 2012. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2012 was $9,360.
27
A summary of open financial instruments at July 31, 2012 is as follows:
Forward Foreign Currency Exchange Contracts
Sales
| Settlement Date | Deliver | In Exchange For | Counterparty | Net
Unrealized Appreciation (Depreciation) | |
| --- | --- | --- | --- | --- | --- |
| 8/31/12 | British Pound Sterling 3,449,283 | United States Dollar 5,390,833 | JPMorgan Chase Bank | $ (17,036 | ) |
| 8/31/12 | Euro 5,855,590 | United States Dollar 7,313,398 | Citibank NA | 106,366 | |
| 9/28/12 | British Pound Sterling 3,460,474 | United States Dollar 5,381,625 | Goldman Sachs International | (43,717 | ) |
| 9/28/12 | Euro 5,005,040 | United States Dollar 6,241,410 | HSBC Bank USA | 78,985 | |
| 10/31/12 | British Pound Sterling 839,424 | United States Dollar 1,319,763 | HSBC Bank USA | 3,698 | |
| 10/31/12 | Euro 2,295,778 | United States Dollar 2,841,301 | Deutsche Bank | 13,349 | |
| | | | | $ 141,645 | |
At July 31, 2012, 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, 2012, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is foreign exchange risk was $202,398 and $60,753, respectively.
The cost and unrealized appreciation (depreciation) of investments of the Trust at July 31, 2012, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $ | |
|---|---|---|
| Gross unrealized appreciation | $ 14,118,774 | |
| Gross unrealized depreciation | (16,314,591 | ) |
| Net unrealized depreciation | $ (2,195,817 | ) |
Restricted Securities
At July 31, 2012, 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 | Cost | Value | ||
|---|---|---|---|---|
| Common Stocks | ||||
| Environmental Systems Products Holdings, Inc. | 10/25/07 | 6,211 | $ 0 | $ 565,201 |
| Panolam Holdings Co. | 12/30/09 | 253 | 139,024 | 412,415 |
| Total Common Stocks | $ 139,024 | $ 977,616 | ||
| Preferred Stocks | ||||
| Environmental Systems Products Holdings, Inc., Series A | 10/25/07 | 1,422 | $ 24,885 | $ 89,586 |
| Total Restricted Securities | $ 163,909 | $ 1,067,202 |
28
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, 2012, the hierarchy of inputs used in valuing the Trusts investments and open derivative instruments, 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 | $ | $ 746,043,862 | $ 2,124,207 | $ 748,168,069 | ||
| Corporate Bonds & Notes | | 48,480,415 | 500,951 | 48,981,366 | ||
| Asset-Backed Securities | | 5,047,159 | | 5,047,159 | ||
| Common Stocks | 208,526 | 639,489 | 6,861,271 | 7,709,286 | ||
| Preferred Stocks | | | 89,586 | 89,586 | ||
| Warrants | | 15,295 | 0 | 15,295 | ||
| Miscellaneous | | 21,600 | | 21,600 | ||
| Short-Term Investments | | 21,123,305 | | 21,123,305 | ||
| Total Investments | $ 208,526 | $ 821,371,125 | $ 9,576,015 | $ 831,155,666 | ||
| Forward Foreign Currency Exchange Contracts | $ | $ 202,398 | $ | $ 202,398 | ||
| Total | $ 208,526 | $ 821,573,523 | $ 9,576,015 | $ 831,358,064 | ||
| Liability Description | ||||||
| Forward Foreign Currency Exchange Contracts | $ | $ (60,753 | ) | $ | $ (60,753 | ) |
| Total | $ | $ (60,753 | ) | $ | $ (60,753 | ) |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| Balance as of October 31, 2011 | Investments
in Senior Floating-Rate Interests — $ 2,354,268 | $ | 435,763 | $ | 7,420,504 | $ | 87,538 | $ | 10,298,073 | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Realized gains (losses) | (369,400 | ) | 259 | | 3,271,966 | | 18,652 | | 2,921,477 | |
| Change in net unrealized appreciation (depreciation) | 350,298 | | (4,264 | ) | (2,201,795 | ) | 2,048 | | (1,853,713 | ) |
| Cost of purchases (1) | 404,855 | | 87,622 | | 435,747 | | | | 928,224 | |
| Proceeds from sales (1) | (2,240,283 | ) | (18,895 | ) | (3,665,615 | ) | (18,652 | ) | (5,943,445 | ) |
| Accrued discount (premium) | 58,680 | | 466 | | | | | | 59,146 | |
29
| Transfers to Level 3* | Investments
in Senior Floating-Rate Interests — $ 1,565,789 | | Investments in Corporate Bonds & Notes — $ | | Investments
in Common Stocks — $ 1,600,464 | Investments in Preferred
Stocks, Warrants and Miscellaneous — $ | Total — $ 3,166,253 | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Balance as of July 31, 2012 | $ 2,124,207 | | $ 500,951 | | $ 6,861,271 | $ 89,586 | $ 9,576,015 | |
| Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2012 | $ (915,698 | ) | $ (12,158 | ) | $ 877,637 | $ 2,048 | $ (48,171 | ) |
(1) Cost of purchases may include securities received in corporate actions; proceeds from sales may include securities delivered in corporate actions.
None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust.
At July 31, 2012, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
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.
30
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.
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: | /s/ Scott H. Page |
|---|---|
| Scott H. Page | |
| President | |
| Date: | September 24, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Scott H. Page |
|---|---|
| Scott H. Page | |
| President | |
| Date: | September 24, 2012 |
| By: | /s/ Barbara E. Campbell |
|---|---|
| Barbara E. Campbell | |
| Treasurer | |
| Date: | September 24, 2012 |
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