UNITED STATES SECURITIES AND
EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21563
Investment Company Act File Number
Eaton Vance Short Duration Diversified Income Fund
(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, 2013
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Short Duration Diversified Income Fund
July 31, 2013
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Interests 49.8%
(1)
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Aerospace and Defense 0.8%
|
|
|
|
|
|
|
|
|
Atlantic Aviation FBO Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing May 20, 2020
|
|
|
75
|
|
|
$
|
75,375
|
|
Booz Allen Hamilton Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing July 31, 2019
|
|
|
174
|
|
|
|
174,556
|
|
DAE Aviation Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing October 29, 2018
|
|
|
137
|
|
|
|
138,973
|
|
Term Loan, 6.25%, Maturing November 2, 2018
|
|
|
62
|
|
|
|
63,001
|
|
Hawker Beechcraft Acquisition Company LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing February 14, 2020
|
|
|
150
|
|
|
|
151,219
|
|
Sequa Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing December 19, 2017
|
|
|
323
|
|
|
|
327,821
|
|
Silver II US Holdings, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing December 13, 2019
|
|
|
398
|
|
|
|
398,662
|
|
TASC, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing December 18, 2015
|
|
|
293
|
|
|
|
293,938
|
|
Transdigm, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing February 28, 2020
|
|
|
922
|
|
|
|
928,599
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,552,144
|
|
|
|
|
|
|
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|
|
|
Automotive 2.2%
|
|
|
|
|
|
|
|
|
Affinia Group Intermediate Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing April 27, 2020
|
|
|
100
|
|
|
$
|
100,873
|
|
Allison Transmission, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.20%, Maturing August 7, 2017
|
|
|
167
|
|
|
|
168,274
|
|
Term Loan, 4.25%, Maturing August 23, 2019
|
|
|
520
|
|
|
|
525,586
|
|
Autoparts Holdings Limited
|
|
|
|
|
|
|
|
|
Term Loan, 6.50%, Maturing July 28, 2017
|
|
|
290
|
|
|
|
283,181
|
|
Chrysler Group LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing May 24, 2017
|
|
|
898
|
|
|
|
913,738
|
|
Federal-Mogul Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 2.14%, Maturing December 29, 2014
|
|
|
922
|
|
|
|
908,208
|
|
Term Loan, 2.14%, Maturing December 28, 2015
|
|
|
544
|
|
|
|
536,261
|
|
Goodyear Tire & Rubber Company (The)
|
|
|
|
|
|
|
|
|
Term Loan - Second Lien, 4.75%, Maturing April 30, 2019
|
|
|
1,150
|
|
|
|
1,162,212
|
|
HHI Holdings LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing October 5, 2018
|
|
|
363
|
|
|
|
367,444
|
|
Metaldyne Company LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing December 18, 2018
|
|
|
274
|
|
|
|
278,413
|
|
Schaeffler AG
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing January 27, 2017
|
|
|
150
|
|
|
|
151,077
|
|
SRAM, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.02%, Maturing April 10, 2020
|
|
|
366
|
|
|
|
365,967
|
|
Tomkins LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing September 29, 2016
|
|
|
301
|
|
|
|
303,679
|
|
Tower Automotive Holdings USA, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing April 23, 2020
|
|
|
150
|
|
|
|
151,246
|
|
TriMas Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing October 10, 2019
|
|
|
174
|
|
|
|
174,556
|
|
Veyance Technologies, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing September 8, 2017
|
|
|
574
|
|
|
|
574,423
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,965,138
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Beverage and Tobacco 0.2%
|
|
|
|
|
|
|
|
|
D.E Master Blenders 1753 N.V
|
|
|
|
|
|
|
|
|
Term Loan, Maturing June 25, 2018
(2)
|
|
EUR
|
450
|
|
|
$
|
599,181
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
599,181
|
|
|
|
|
|
|
|
|
|
|
Building and Development 0.3%
|
|
|
|
|
|
|
|
|
ABC Supply Co., Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing April 16, 2020
|
|
|
250
|
|
|
$
|
250,692
|
|
Four Seasons Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 27, 2020
|
|
|
100
|
|
|
|
101,375
|
|
Preferred Proppants, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 9.00%, Maturing December 15, 2016
|
|
|
123
|
|
|
|
105,580
|
|
RE/MAX International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, Maturing July 31, 2020
(2)
|
|
|
400
|
|
|
|
401,500
|
|
WireCo WorldGroup, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.00%, Maturing February 15, 2017
|
|
|
99
|
|
|
|
99,746
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
958,893
|
|
|
|
|
|
|
|
|
|
|
Business Equipment and Services 4.0%
|
|
|
|
|
|
|
|
|
Acosta, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing March 2, 2018
|
|
|
369
|
|
|
$
|
373,287
|
|
Acxiom Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing March 15, 2015
|
|
|
248
|
|
|
|
249,421
|
|
Advantage Sales & Marketing, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 18, 2017
|
|
|
366
|
|
|
|
368,690
|
|
Affinion Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.50%, Maturing October 10, 2016
|
|
|
271
|
|
|
|
261,045
|
|
Altegrity, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing February 21, 2015
|
|
|
365
|
|
|
|
357,546
|
|
Altisource Solutions S.a.r.l.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing November 27, 2019
|
|
|
224
|
|
|
|
226,443
|
|
Audio Visual Services Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.75%, Maturing November 9, 2018
|
|
|
223
|
|
|
|
226,662
|
|
Brand Energy & Infrastructure Services, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing October 23, 2018
|
|
|
34
|
|
|
|
34,261
|
|
Term Loan, 6.25%, Maturing October 23, 2018
|
|
|
140
|
|
|
|
142,755
|
|
Brickman Group Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.27%, Maturing October 14, 2016
|
|
|
128
|
|
|
|
128,834
|
|
Term Loan, 4.00%, Maturing September 28, 2018
|
|
|
161
|
|
|
|
162,022
|
|
ClientLogic Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 7.02%, Maturing January 30, 2017
|
|
|
165
|
|
|
|
163,953
|
|
CPM Acquisition Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing August 29, 2017
|
|
|
99
|
|
|
|
99,591
|
|
Education Management LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.31%, Maturing June 1, 2016
|
|
|
247
|
|
|
|
220,536
|
|
Term Loan, 8.25%, Maturing March 29, 2018
|
|
|
370
|
|
|
|
349,578
|
|
EIG Investors Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing November 8, 2019
|
|
|
398
|
|
|
|
401,482
|
|
Expert Global Solutions, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 8.50%, Maturing April 3, 2018
|
|
|
343
|
|
|
|
349,344
|
|
Genesys Telecom Holdings, U.S., Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing February 7, 2020
|
|
|
98
|
|
|
|
98,725
|
|
Genpact International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing August 30, 2019
|
|
|
323
|
|
|
|
325,127
|
|
2
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
IG Investment Holdings, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 6.00%, Maturing October 31, 2019
|
|
|
149
|
|
|
$
|
150,929
|
|
ION Trading Technologies S.a.r.l.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 22, 2020
|
|
|
125
|
|
|
|
125,547
|
|
Term Loan - Second Lien, 8.25%, Maturing May 21, 2021
|
|
|
200
|
|
|
|
200,813
|
|
KAR Auction Services, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing May 19, 2017
|
|
|
551
|
|
|
|
557,302
|
|
Kronos Incorporated
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing October 30, 2019
|
|
|
299
|
|
|
|
300,925
|
|
Term Loan - Second Lien, 9.75%, Maturing April 30, 2020
|
|
|
175
|
|
|
|
181,672
|
|
Language Line, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing June 20, 2016
|
|
|
407
|
|
|
|
404,723
|
|
Mitchell International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.81%, Maturing March 28, 2016
|
|
|
176
|
|
|
|
176,096
|
|
Monitronics International Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing March 23, 2018
|
|
|
223
|
|
|
|
225,453
|
|
Polarpak Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 5, 2020
|
|
|
48
|
|
|
|
48,691
|
|
Quintiles Transnational Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 8, 2018
|
|
|
824
|
|
|
|
833,312
|
|
Sensus USA Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing May 9, 2017
|
|
|
122
|
|
|
|
120,915
|
|
ServiceMaster Company
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing January 31, 2017
|
|
|
274
|
|
|
|
272,770
|
|
Term Loan, 4.45%, Maturing January 31, 2017
|
|
|
485
|
|
|
|
485,102
|
|
SunGard Data Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.94%, Maturing February 28, 2017
|
|
|
35
|
|
|
|
34,884
|
|
Term Loan, 4.00%, Maturing March 8, 2020
|
|
|
1,696
|
|
|
|
1,711,361
|
|
TNS, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing February 14, 2020
|
|
|
170
|
|
|
|
172,018
|
|
TransUnion, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing February 10, 2019
|
|
|
977
|
|
|
|
988,950
|
|
West Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing June 29, 2018
|
|
|
1,499
|
|
|
|
1,508,147
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,038,912
|
|
|
|
|
|
|
|
|
|
|
Cable and Satellite Television 2.1%
|
|
|
|
|
|
|
|
|
Atlantic Broadband Finance, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing December 2, 2019
|
|
|
149
|
|
|
$
|
149,340
|
|
Cequel Communications, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing February 14, 2019
|
|
|
790
|
|
|
|
794,174
|
|
Charter Communications Operating, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.00%, Maturing July 1, 2020
|
|
|
250
|
|
|
|
249,578
|
|
Term Loan, 3.00%, Maturing January 4, 2021
|
|
|
620
|
|
|
|
618,644
|
|
CSC Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.69%, Maturing April 17, 2020
|
|
|
625
|
|
|
|
620,768
|
|
Kabel Deutschland GMBH
|
|
|
|
|
|
|
|
|
Term Loan, 2.88%, Maturing April 17, 2020
|
|
EUR
|
125
|
|
|
|
166,324
|
|
Lavena Holding 3 GMBH
|
|
|
|
|
|
|
|
|
Term Loan, Maturing March 30, 2017
(2)
|
|
EUR
|
110
|
|
|
|
144,973
|
|
MCC Iowa LLC
|
|
|
|
|
|
|
|
|
Term Loan, 1.91%, Maturing January 30, 2015
|
|
|
504
|
|
|
|
503,546
|
|
Media Holdco, LP
|
|
|
|
|
|
|
|
|
Term Loan, 7.25%, Maturing July 31, 2018
|
|
|
174
|
|
|
|
175,431
|
|
Mediacom Communications Corp
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing January 29, 2021
|
|
|
175
|
|
|
|
174,590
|
|
3
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
UPC Financing Partnership
|
|
|
|
|
|
|
|
|
Term Loan, 3.88%, Maturing March 26, 2021
|
|
EUR
|
1,394
|
|
|
$
|
1,851,210
|
|
Virgin Media Investment Holdings Limited
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 5, 2020
|
|
GBP
|
300
|
|
|
|
459,513
|
|
Term Loan, 3.50%, Maturing June 8, 2020
|
|
|
800
|
|
|
|
800,389
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,708,480
|
|
|
|
|
|
|
|
|
|
|
Chemicals and Plastics 1.9%
|
|
|
|
|
|
|
|
|
Arysta LifeScience Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 29, 2020
|
|
|
425
|
|
|
$
|
428,276
|
|
Axalta Coating Systems US Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing February 3, 2020
|
|
|
549
|
|
|
|
554,712
|
|
AZ Chem US Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing December 22, 2017
|
|
|
184
|
|
|
|
186,106
|
|
Celanese U.S. Holdings LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.02%, Maturing October 31, 2016
|
|
|
254
|
|
|
|
257,771
|
|
Huntsman International, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 2.73%, Maturing April 19, 2017
|
|
|
1,516
|
|
|
|
1,522,443
|
|
Ineos US Finance LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing May 4, 2018
|
|
|
1,336
|
|
|
|
1,336,104
|
|
MacDermid, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing June 5, 2020
|
|
|
150
|
|
|
|
151,125
|
|
OXEA Finance LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing November 22, 2019
|
|
|
125
|
|
|
|
126,678
|
|
PQ Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing August 7, 2017
|
|
|
224
|
|
|
|
226,114
|
|
Tronox Pigments (Netherlands) B.V.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing March 19, 2020
|
|
|
400
|
|
|
|
405,469
|
|
Univar Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing June 30, 2017
|
|
|
785
|
|
|
|
776,591
|
|
WNA Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 5, 2020
|
|
|
26
|
|
|
|
26,449
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,997,838
|
|
|
|
|
|
|
|
|
|
|
Clothing/Textiles 0.0%
(3)
|
|
|
|
|
|
|
|
|
Wolverine Worldwide, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing July 31, 2019
|
|
|
78
|
|
|
$
|
78,561
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
78,561
|
|
|
|
|
|
|
|
|
|
|
Conglomerates 0.4%
|
|
|
|
|
|
|
|
|
RGIS Services, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.53%, Maturing October 18, 2016
|
|
|
746
|
|
|
$
|
745,353
|
|
Spectrum Brands, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.51%, Maturing December 17, 2019
|
|
|
566
|
|
|
|
571,419
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,316,772
|
|
|
|
|
|
|
|
|
|
|
Containers and Glass Products 1.1%
|
|
|
|
|
|
|
|
|
Berry Plastics Holding Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 2.19%, Maturing April 3, 2015
|
|
|
759
|
|
|
$
|
761,281
|
|
Term Loan, 3.50%, Maturing February 7, 2020
|
|
|
424
|
|
|
|
424,290
|
|
BWAY Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing August 7, 2017
|
|
|
498
|
|
|
|
502,475
|
|
Pact Group Pty Ltd.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing May 29, 2020
|
|
|
275
|
|
|
|
275,172
|
|
Pelican Products, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing July 11, 2018
|
|
|
248
|
|
|
|
248,428
|
|
Reynolds Group Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing September 28, 2018
|
|
|
794
|
|
|
|
804,471
|
|
TricorBraun, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing May 3, 2018
|
|
|
421
|
|
|
|
422,065
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,438,182
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Cosmetics/Toiletries 0.3%
|
|
|
|
|
|
|
|
|
Bausch & Lomb, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing May 17, 2019
|
|
|
594
|
|
|
$
|
594,754
|
|
Sun Products Corporation (The)
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing March 23, 2020
|
|
|
424
|
|
|
|
424,467
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,019,221
|
|
|
|
|
|
|
|
|
|
|
Drugs 1.0%
|
|
|
|
|
|
|
|
|
Aptalis Pharma, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing February 10, 2017
|
|
|
246
|
|
|
$
|
247,597
|
|
Term Loan, 5.50%, Maturing February 10, 2017
|
|
|
247
|
|
|
|
248,727
|
|
Auxilium Pharmaceuticals, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing April 26, 2017
|
|
|
99
|
|
|
|
99,429
|
|
Ikaria Acquisition Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.25%, Maturing July 3, 2018
|
|
|
125
|
|
|
|
126,563
|
|
Par Pharmaceutical Companies, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing September 30, 2019
|
|
|
223
|
|
|
|
224,372
|
|
Valeant Pharmaceuticals International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing February 13, 2019
|
|
|
397
|
|
|
|
401,519
|
|
Term Loan, 3.50%, Maturing December 11, 2019
|
|
|
398
|
|
|
|
402,517
|
|
Term Loan, Maturing June 24, 2020
(2)
|
|
|
900
|
|
|
|
913,163
|
|
Warner Chilcott Company, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
15
|
|
|
|
14,790
|
|
Warner Chilcott Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
105
|
|
|
|
105,209
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
241
|
|
|
|
241,680
|
|
WC Luxco S.a.r.l.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing March 15, 2018
|
|
|
190
|
|
|
|
190,448
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,216,014
|
|
|
|
|
|
|
|
|
|
|
Ecological Services and Equipment 0.1%
|
|
|
|
|
|
|
|
|
ADS Waste Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing October 9, 2019
|
|
|
398
|
|
|
$
|
401,315
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
401,315
|
|
|
|
|
|
|
|
|
|
|
Electronics/Electrical 4.0%
|
|
|
|
|
|
|
|
|
Aeroflex Incorporated
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing November 9, 2019
|
|
|
453
|
|
|
$
|
457,655
|
|
Aspect Software, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing May 6, 2016
|
|
|
302
|
|
|
|
303,006
|
|
Attachmate Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 7.25%, Maturing November 22, 2017
|
|
|
537
|
|
|
|
543,145
|
|
Blue Coat Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan - Second Lien, 9.50%, Maturing June 19, 2020
|
|
|
125
|
|
|
|
125,938
|
|
CommScope, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing January 12, 2018
|
|
|
1,921
|
|
|
|
1,936,416
|
|
CompuCom Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing May 11, 2020
|
|
|
150
|
|
|
|
151,312
|
|
Dealer Computer Services, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.19%, Maturing April 21, 2016
|
|
|
387
|
|
|
|
387,850
|
|
DG FastChannel, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.25%, Maturing July 26, 2018
|
|
|
244
|
|
|
|
242,364
|
|
Eagle Parent, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 16, 2018
|
|
|
515
|
|
|
|
518,527
|
|
Edwards (Cayman Islands II) Limited
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing March 26, 2020
|
|
|
239
|
|
|
|
240,826
|
|
Freescale Semiconductor, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing February 28, 2020
|
|
|
574
|
|
|
|
580,254
|
|
Go Daddy Operating Company, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 17, 2018
|
|
|
567
|
|
|
|
569,097
|
|
5
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Infor (US), Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing April 5, 2018
|
|
|
811
|
|
|
$
|
819,655
|
|
Internet Brands, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing March 15, 2019
|
|
|
175
|
|
|
|
175,326
|
|
Magic Newco LLC
|
|
|
|
|
|
|
|
|
Term Loan, 7.25%, Maturing December 12, 2018
|
|
|
273
|
|
|
|
276,145
|
|
Microsemi Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing February 19, 2020
|
|
|
250
|
|
|
|
252,450
|
|
NXP B.V.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing March 3, 2017
|
|
|
538
|
|
|
|
547,705
|
|
Term Loan, 4.75%, Maturing January 11, 2020
|
|
|
174
|
|
|
|
177,898
|
|
Renaissance Learning, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing November 13, 2018
|
|
|
124
|
|
|
|
125,303
|
|
Rocket Software, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing February 8, 2018
|
|
|
296
|
|
|
|
296,462
|
|
Rovi Solutions Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing March 29, 2019
|
|
|
150
|
|
|
|
149,999
|
|
RP Crown Parent, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 6.75%, Maturing December 21, 2018
|
|
|
522
|
|
|
|
527,832
|
|
Sensata Technologies Finance Company, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing May 11, 2018
|
|
|
241
|
|
|
|
243,252
|
|
Serena Software, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.19%, Maturing March 10, 2016
|
|
|
1,185
|
|
|
|
1,182,037
|
|
Shield Finance Co. S.A.R.L.
|
|
|
|
|
|
|
|
|
Term Loan, 6.50%, Maturing May 10, 2019
|
|
|
198
|
|
|
|
198,495
|
|
Sirius Computer Solutions, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing November 30, 2018
|
|
|
108
|
|
|
|
110,201
|
|
Smart Technologies ULC
|
|
|
|
|
|
|
|
|
Term Loan, Maturing January 18, 2019
(2)
|
|
|
125
|
|
|
|
120,000
|
|
Sophia, L.P.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing July 19, 2018
|
|
|
241
|
|
|
|
243,711
|
|
SS&C Technologies Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing June 7, 2019
|
|
|
21
|
|
|
|
21,143
|
|
Term Loan, 3.50%, Maturing June 7, 2019
|
|
|
204
|
|
|
|
204,342
|
|
SumTotal Systems LLC
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing November 16, 2018
|
|
|
249
|
|
|
|
249,683
|
|
SurveyMonkey.com, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing February 5, 2019
|
|
|
100
|
|
|
|
101,122
|
|
VeriFone Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 28, 2018
|
|
|
105
|
|
|
|
105,404
|
|
Wall Street Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing October 25, 2019
|
|
|
224
|
|
|
|
225,485
|
|
Web.com Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing October 27, 2017
|
|
|
360
|
|
|
|
362,094
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,772,134
|
|
|
|
|
|
|
|
|
|
|
Equipment Leasing 0.2%
|
|
|
|
|
|
|
|
|
Flying Fortress Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing June 30, 2017
|
|
|
500
|
|
|
$
|
500,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
500,625
|
|
|
|
|
|
|
|
|
|
|
Financial Intermediaries 2.2%
|
|
|
|
|
|
|
|
|
Allflex Holdings II, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 11, 2020
|
|
|
125
|
|
|
$
|
125,859
|
|
American Capital Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing August 22, 2016
|
|
|
175
|
|
|
|
176,146
|
|
American Stock Transfer & Trust Company, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing June 11, 2020
|
|
|
125
|
|
|
|
125,313
|
|
6
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Citco Funding LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing May 23, 2018
|
|
|
688
|
|
|
$
|
690,443
|
|
Clipper Acquisitions Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing February 6, 2020
|
|
|
100
|
|
|
|
100,246
|
|
First Data Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.19%, Maturing March 23, 2018
|
|
|
500
|
|
|
|
500,625
|
|
Term Loan, 4.19%, Maturing September 24, 2018
|
|
|
375
|
|
|
|
375,234
|
|
Guggenheim Partners, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing July 17, 2020
|
|
|
150
|
|
|
|
151,969
|
|
Harbourvest Partners, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing November 21, 2017
|
|
|
150
|
|
|
|
151,157
|
|
Home Loan Servicing Solutions, Ltd.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 19, 2020
|
|
|
200
|
|
|
|
201,620
|
|
LPL Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing March 29, 2019
|
|
|
1,606
|
|
|
|
1,608,232
|
|
Mercury Payment Systems Canada, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing July 3, 2017
|
|
|
50
|
|
|
|
50,366
|
|
Nuveen Investments, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.19%, Maturing May 13, 2017
|
|
|
1,250
|
|
|
|
1,253,594
|
|
Ocwen Financial Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing February 15, 2018
|
|
|
249
|
|
|
|
253,116
|
|
Oz Management LP
|
|
|
|
|
|
|
|
|
Term Loan, 1.78%, Maturing November 15, 2016
|
|
|
222
|
|
|
|
207,394
|
|
RPI Finance Trust
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing May 9, 2018
|
|
|
655
|
|
|
|
659,677
|
|
Term Loan, 4.00%, Maturing November 9, 2018
|
|
|
294
|
|
|
|
295,157
|
|
Walter Investment Management Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing November 28, 2017
|
|
|
196
|
|
|
|
198,357
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,124,505
|
|
|
|
|
|
|
|
|
|
|
Food Products 2.2%
|
|
|
|
|
|
|
|
|
AdvancePierre Foods, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing July 10, 2017
|
|
|
249
|
|
|
$
|
251,963
|
|
Blue Buffalo Company, Ltd.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing August 8, 2019
|
|
|
248
|
|
|
|
250,920
|
|
Clearwater Seafoods Limited Partnership
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing June 24, 2019
|
|
|
175
|
|
|
|
176,422
|
|
CSM Bakery Supplies LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing May 22, 2020
|
|
|
175
|
|
|
|
176,312
|
|
Del Monte Foods Company
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing March 8, 2018
|
|
|
1,162
|
|
|
|
1,165,635
|
|
Dole Food Company Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing April 1, 2020
|
|
|
125
|
|
|
|
124,921
|
|
H.J. Heinz Company
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing June 5, 2020
|
|
|
2,025
|
|
|
|
2,046,797
|
|
High Liner Foods Incorporated
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing December 31, 2017
|
|
|
233
|
|
|
|
235,053
|
|
JBS USA Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing May 25, 2018
|
|
|
985
|
|
|
|
985,616
|
|
NBTY, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing October 1, 2017
|
|
|
888
|
|
|
|
895,410
|
|
Pinnacle Foods Finance LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing April 29, 2020
|
|
|
698
|
|
|
|
699,559
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,008,608
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Food Service 2.2%
|
|
|
|
|
|
|
|
|
Aramark Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.69%, Maturing July 26, 2016
|
|
|
43
|
|
|
$
|
42,989
|
|
Term Loan, 3.69%, Maturing July 26, 2016
|
|
|
77
|
|
|
|
77,318
|
|
Term Loan, 3.78%, Maturing July 26, 2016
|
|
|
529
|
|
|
|
533,634
|
|
Term Loan, 3.78%, Maturing July 26, 2016
|
|
|
1,168
|
|
|
|
1,175,664
|
|
Term Loan, 4.01%, Maturing July 26, 2016
|
|
GBP
|
523
|
|
|
|
790,879
|
|
Buffets, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 0.15%, Maturing April 22, 2015
(4)
|
|
|
26
|
|
|
|
26,201
|
|
Burger King Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing September 27, 2019
|
|
|
571
|
|
|
|
576,838
|
|
DineEquity, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing October 19, 2017
|
|
|
206
|
|
|
|
207,658
|
|
Dunkin Brands, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing February 14, 2020
|
|
|
530
|
|
|
|
533,647
|
|
Landrys, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing April 24, 2018
|
|
|
494
|
|
|
|
500,522
|
|
OSI Restaurant Partners, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing October 25, 2019
|
|
|
512
|
|
|
|
514,296
|
|
US Foods, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing March 29, 2019
|
|
|
625
|
|
|
|
627,031
|
|
Weight Watchers International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing April 2, 2020
|
|
|
1,197
|
|
|
|
1,205,105
|
|
Wendys International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing May 15, 2019
|
|
|
256
|
|
|
|
257,131
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,068,913
|
|
|
|
|
|
|
|
|
|
|
Food/Drug Retailers 1.2%
|
|
|
|
|
|
|
|
|
Albertsons, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing March 21, 2016
|
|
|
91
|
|
|
$
|
91,481
|
|
Term Loan, 4.75%, Maturing March 21, 2019
|
|
|
59
|
|
|
|
59,521
|
|
Alliance Boots Holdings Limited
|
|
|
|
|
|
|
|
|
Term Loan, 3.61%, Maturing July 10, 2017
|
|
EUR
|
1,000
|
|
|
|
1,316,353
|
|
Term Loan, 3.99%, Maturing July 10, 2017
|
|
GBP
|
300
|
|
|
|
450,157
|
|
General Nutrition Centers, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing March 2, 2018
|
|
|
855
|
|
|
|
863,240
|
|
Rite Aid Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing February 21, 2020
|
|
|
449
|
|
|
|
452,298
|
|
Term Loan - Second Lien, 5.75%, Maturing August 21, 2020
|
|
|
100
|
|
|
|
103,087
|
|
Supervalu Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing March 21, 2019
|
|
|
498
|
|
|
|
503,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,840,004
|
|
|
|
|
|
|
|
|
|
|
Health Care 5.6%
|
|
|
|
|
|
|
|
|
Alere, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 30, 2017
|
|
|
763
|
|
|
$
|
771,120
|
|
Alkermes, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing September 18, 2019
|
|
|
75
|
|
|
|
74,935
|
|
Alliance Healthcare Services, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 3, 2019
|
|
|
225
|
|
|
|
225,281
|
|
Apria Healthcare Group I
|
|
|
|
|
|
|
|
|
Term Loan, 6.75%, Maturing April 5, 2020
|
|
|
100
|
|
|
|
100,685
|
|
Ardent Medical Services, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.75%, Maturing July 2, 2018
|
|
|
299
|
|
|
|
300,241
|
|
Biomet Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.96%, Maturing July 25, 2017
|
|
|
855
|
|
|
|
861,887
|
|
Catalent Pharma Solutions Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.69%, Maturing September 15, 2016
|
|
|
400
|
|
|
|
400,624
|
|
8
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
CHG Buyer Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing November 19, 2019
|
|
|
123
|
|
|
$
|
124,336
|
|
Community Health Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.77%, Maturing January 25, 2017
|
|
|
1,370
|
|
|
|
1,381,324
|
|
Convatec Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing December 22, 2016
|
|
|
97
|
|
|
|
97,485
|
|
DaVita, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing October 20, 2016
|
|
|
634
|
|
|
|
639,196
|
|
Term Loan, 4.00%, Maturing November 1, 2019
|
|
|
622
|
|
|
|
626,206
|
|
DJO Finance LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing September 15, 2017
|
|
|
336
|
|
|
|
340,312
|
|
Drumm Investors LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing May 4, 2018
|
|
|
294
|
|
|
|
285,563
|
|
Emdeon Business Services, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing November 2, 2018
|
|
|
273
|
|
|
|
274,862
|
|
Envision Healthcare Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing May 25, 2018
|
|
|
405
|
|
|
|
407,639
|
|
Grifols Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 1, 2017
|
|
|
586
|
|
|
|
592,863
|
|
HCA, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.03%, Maturing March 31, 2017
|
|
|
1,216
|
|
|
|
1,221,509
|
|
Term Loan, 2.94%, Maturing May 1, 2018
|
|
|
1,155
|
|
|
|
1,160,418
|
|
Health Management Associates, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing November 16, 2018
|
|
|
656
|
|
|
|
658,792
|
|
Hologic Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing August 1, 2019
|
|
|
371
|
|
|
|
373,511
|
|
Iasis Healthcare LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 3, 2018
|
|
|
318
|
|
|
|
320,655
|
|
inVentiv Health, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.50%, Maturing August 4, 2016
|
|
|
533
|
|
|
|
524,824
|
|
Kindred Healthcare, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 1, 2018
|
|
|
196
|
|
|
|
195,762
|
|
Kinetic Concepts, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 4, 2018
|
|
|
837
|
|
|
|
848,021
|
|
MedAssets, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing December 13, 2019
|
|
|
101
|
|
|
|
101,933
|
|
MMM Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 9.75%, Maturing October 9, 2017
|
|
|
141
|
|
|
|
141,824
|
|
MSO of Puerto Rico, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 9.75%, Maturing October 26, 2017
|
|
|
103
|
|
|
|
103,530
|
|
Multiplan, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing August 25, 2017
|
|
|
441
|
|
|
|
444,969
|
|
One Call Medical, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing August 16, 2019
|
|
|
249
|
|
|
|
250,138
|
|
Onex Carestream Finance LP
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing June 7, 2019
|
|
|
525
|
|
|
|
529,047
|
|
Pharmaceutical Product Development, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 5, 2018
|
|
|
348
|
|
|
|
351,442
|
|
Radnet Management, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing October 10, 2018
|
|
|
298
|
|
|
|
298,960
|
|
Select Medical Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing June 1, 2018
|
|
|
277
|
|
|
|
278,070
|
|
Sheridan Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 29, 2018
|
|
|
99
|
|
|
|
99,770
|
|
TriZetto Group, Inc. (The)
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing May 2, 2018
|
|
|
294
|
|
|
|
290,692
|
|
Truven Health Analytics Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 1, 2019
|
|
|
323
|
|
|
|
324,982
|
|
9
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Universal Health Services, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.44%, Maturing November 15, 2016
|
|
|
516
|
|
|
$
|
519,097
|
|
Vanguard Health Holding Company II, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing January 29, 2016
|
|
|
730
|
|
|
|
732,937
|
|
VWR Funding, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.19%, Maturing April 3, 2017
|
|
|
323
|
|
|
|
325,598
|
|
Term Loan, 4.44%, Maturing April 3, 2017
|
|
|
456
|
|
|
|
456,998
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,058,038
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 0.2%
|
|
|
|
|
|
|
|
|
Serta Simmons Holdings, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing October 1, 2019
|
|
|
323
|
|
|
$
|
326,580
|
|
Tempur-Pedic International Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing March 18, 2020
|
|
|
298
|
|
|
|
297,569
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
624,149
|
|
|
|
|
|
|
|
|
|
|
Industrial Equipment 1.3%
|
|
|
|
|
|
|
|
|
Apex Tool Group, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing January 31, 2020
|
|
|
150
|
|
|
$
|
151,028
|
|
Colfax Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing January 11, 2019
|
|
|
672
|
|
|
|
675,463
|
|
Gardner Denver, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, Maturing July 30, 2020
(2)
|
|
|
350
|
|
|
|
351,750
|
|
Generac Power Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing May 29, 2020
|
|
|
325
|
|
|
|
325,762
|
|
Grede LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 2, 2018
|
|
|
355
|
|
|
|
355,891
|
|
Husky Injection Molding Systems Ltd
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 29, 2018
|
|
|
447
|
|
|
|
449,398
|
|
Milacron LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing March 28, 2020
|
|
|
75
|
|
|
|
75,264
|
|
Rexnord LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing April 2, 2018
|
|
|
807
|
|
|
|
811,721
|
|
Spansion LLC
|
|
Term Loan, 5.25%, Maturing December 11, 2018
|
|
|
149
|
|
|
|
150,055
|
|
Tank Holding Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing July 9, 2019
|
|
|
190
|
|
|
|
190,673
|
|
Terex Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing April 28, 2017
|
|
|
750
|
|
|
|
758,529
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,295,534
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.6%
|
|
|
|
|
|
|
|
|
Alliant Holdings I, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing December 20, 2019
|
|
|
398
|
|
|
$
|
401,421
|
|
AmWINS Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing September 6, 2019
|
|
|
771
|
|
|
|
777,294
|
|
Applied Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 8, 2016
|
|
|
357
|
|
|
|
359,634
|
|
Asurion LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing May 24, 2019
|
|
|
1,692
|
|
|
|
1,693,917
|
|
Term Loan, Maturing July 8, 2020
(2)
|
|
|
175
|
|
|
|
171,732
|
|
CNO Financial Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.00%, Maturing September 28, 2016
|
|
|
170
|
|
|
|
171,063
|
|
Compass Investors Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing December 27, 2019
|
|
|
423
|
|
|
|
427,051
|
|
Cooper Gay Swett & Crawford Ltd
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing April 16, 2020
|
|
|
50
|
|
|
|
50,583
|
|
Cunningham Lindsey U.S. Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing December 10, 2019
|
|
|
174
|
|
|
|
175,339
|
|
10
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Hub International Limited
|
|
|
|
|
|
|
|
|
Term Loan, 3.69%, Maturing June 13, 2017
|
|
|
757
|
|
|
$
|
761,260
|
|
Sedgwick CMS Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing June 12, 2018
|
|
|
125
|
|
|
|
126,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,115,544
|
|
|
|
|
|
|
|
|
|
|
Leisure Goods/Activities/Movies 2.4%
|
|
|
|
|
|
|
|
|
Alpha D2 Limited
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing April 30, 2019
|
|
|
545
|
|
|
$
|
549,406
|
|
AMC Entertainment, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing April 30, 2020
|
|
|
449
|
|
|
|
451,039
|
|
Bombardier Recreational Products, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing January 30, 2019
|
|
|
641
|
|
|
|
643,547
|
|
ClubCorp Club Operations, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing July 24, 2020
|
|
|
473
|
|
|
|
479,579
|
|
Emerald Expositions Holding, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing June 17, 2020
|
|
|
150
|
|
|
|
151,500
|
|
Equinox Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing January 31, 2020
|
|
|
249
|
|
|
|
251,245
|
|
Fender Musical Instruments Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing April 3, 2019
|
|
|
100
|
|
|
|
100,309
|
|
Kasima, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing May 17, 2021
|
|
|
175
|
|
|
|
174,818
|
|
Live Nation Entertainment, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing November 7, 2016
|
|
|
508
|
|
|
|
513,500
|
|
Regal Cinemas, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.71%, Maturing August 23, 2017
|
|
|
1,194
|
|
|
|
1,201,626
|
|
Revolution Studios Distribution Company, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.95%, Maturing December 21, 2014
(4)
|
|
|
207
|
|
|
|
172,674
|
|
Term Loan - Second Lien, 7.19%, Maturing June 21, 2015
(4)
|
|
|
225
|
|
|
|
163,170
|
|
Sabre, Inc.
|
|
Term Loan, 5.25%, Maturing February 19, 2019
|
|
|
224
|
|
|
|
227,128
|
|
Scientific Games International, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, Maturing May 22, 2020
(2)
|
|
|
650
|
|
|
|
649,187
|
|
SeaWorld Parks & Entertainment, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.00%, Maturing May 14, 2020
|
|
|
560
|
|
|
|
559,550
|
|
Six Flags Theme Parks, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing December 20, 2018
|
|
|
606
|
|
|
|
613,689
|
|
Town Sports International Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing May 11, 2018
|
|
|
170
|
|
|
|
172,733
|
|
US Finco LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing May 22, 2020
|
|
|
75
|
|
|
|
75,375
|
|
WMG Acquisition Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing July 1, 2020
|
|
|
175
|
|
|
|
175,766
|
|
Zuffa LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing February 25, 2020
|
|
|
572
|
|
|
|
576,058
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,901,899
|
|
|
|
|
|
|
|
|
|
|
Lodging and Casinos 1.2%
|
|
|
|
|
|
|
|
|
Affinity Gaming, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing November 9, 2017
|
|
|
481
|
|
|
$
|
487,155
|
|
Ameristar Casinos, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing April 16, 2018
|
|
|
973
|
|
|
|
977,489
|
|
Caesars Entertainment Operating Company
|
|
|
|
|
|
|
|
|
Term Loan, 5.44%, Maturing January 26, 2018
|
|
|
937
|
|
|
|
833,287
|
|
Las Vegas Sands LLC
|
|
|
|
|
|
|
|
|
Term Loan, 2.69%, Maturing November 23, 2016
|
|
|
161
|
|
|
|
161,255
|
|
Term Loan, 2.69%, Maturing November 23, 2016
|
|
|
798
|
|
|
|
799,929
|
|
11
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
MGM Resorts International
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing December 20, 2019
|
|
|
498
|
|
|
$
|
499,053
|
|
Pinnacle Entertainment, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing March 19, 2019
|
|
|
99
|
|
|
|
98,966
|
|
Seminole Tribe of Florida
|
|
|
|
|
|
|
|
|
Term Loan, 3.00%, Maturing April 29, 2020
|
|
|
123
|
|
|
|
123,401
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,980,535
|
|
|
|
|
|
|
|
|
|
|
Nonferrous Metals/Minerals 0.9%
|
|
|
|
|
|
|
|
|
Alpha Natural Resources, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing May 22, 2020
|
|
|
150
|
|
|
$
|
147,240
|
|
Arch Coal Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing May 16, 2018
|
|
|
569
|
|
|
|
566,593
|
|
Constellium Holdco B.V.
|
|
|
|
|
|
|
|
|
Term Loan, 6.00%, Maturing March 25, 2020
|
|
|
100
|
|
|
|
103,241
|
|
Fairmount Minerals LTD
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing March 15, 2017
|
|
|
425
|
|
|
|
424,985
|
|
Noranda Aluminum Acquisition Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 5.75%, Maturing February 28, 2019
|
|
|
173
|
|
|
|
167,844
|
|
Novelis, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing March 10, 2017
|
|
|
414
|
|
|
|
416,348
|
|
Oxbow Carbon LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing July 19, 2019
|
|
|
100
|
|
|
|
101,000
|
|
Term Loan - Second Lien, 8.00%, Maturing January 17, 2020
|
|
|
150
|
|
|
|
152,625
|
|
United Central Industrial Supply Company, L.L.C.
|
|
|
|
|
|
|
|
|
Term Loan, 7.50%, Maturing October 9, 2018
|
|
|
223
|
|
|
|
210,924
|
|
Walter Energy, Inc.
|
|
Term Loan, 6.75%, Maturing April 2, 2018
|
|
|
681
|
|
|
|
660,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,951,782
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas 1.5%
|
|
|
|
|
|
|
|
|
Ameriforge Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing December 19, 2019
|
|
|
100
|
|
|
$
|
100,122
|
|
Citgo Petroleum Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 9.00%, Maturing June 23, 2017
|
|
|
488
|
|
|
|
499,517
|
|
Crestwood Holdings LLC
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing June 19, 2019
|
|
|
190
|
|
|
|
193,800
|
|
Energy Transfer Equity, L.P.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing March 24, 2017
|
|
|
214
|
|
|
|
215,917
|
|
Frac Tech International LLC
|
|
|
|
|
|
|
|
|
Term Loan, 8.50%, Maturing May 6, 2016
|
|
|
343
|
|
|
|
342,351
|
|
MEG Energy Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing March 31, 2020
|
|
|
1,464
|
|
|
|
1,475,199
|
|
Obsidian Natural Gas Trust
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing November 2, 2015
|
|
|
705
|
|
|
|
706,806
|
|
Ruby Western Pipeline Holdings, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing March 27, 2020
|
|
|
97
|
|
|
|
97,738
|
|
Samson Investment Company
|
|
|
|
|
|
|
|
|
Term Loan - Second Lien, 6.00%, Maturing September 25, 2018
|
|
|
175
|
|
|
|
177,297
|
|
Sheridan Production Partners I, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing September 14, 2019
|
|
|
387
|
|
|
|
388,004
|
|
Term Loan, 5.00%, Maturing September 25, 2019
|
|
|
31
|
|
|
|
31,404
|
|
Term Loan, 5.00%, Maturing September 25, 2019
|
|
|
51
|
|
|
|
51,414
|
|
Tallgrass Operations, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing November 13, 2018
|
|
|
229
|
|
|
|
232,018
|
|
Tervita Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing May 15, 2018
|
|
|
323
|
|
|
|
326,137
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,837,724
|
|
|
|
|
|
|
|
|
|
|
12
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Publishing 1.7%
|
|
|
|
|
|
|
|
|
Ascend Learning, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing May 23, 2017
|
|
|
346
|
|
|
$
|
345,430
|
|
Aster Zweite Beteiligungs GmbH
|
|
|
|
|
|
|
|
|
Term Loan, 6.59%, Maturing December 31, 2014
|
|
EUR
|
705
|
|
|
|
944,961
|
|
Getty Images, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing October 18, 2019
|
|
|
945
|
|
|
|
947,834
|
|
Interactive Data Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing February 11, 2018
|
|
|
431
|
|
|
|
432,806
|
|
John Henry Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.00%, Maturing December 6, 2018
|
|
|
124
|
|
|
|
124,997
|
|
Laureate Education, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing June 18, 2018
|
|
|
1,496
|
|
|
|
1,499,072
|
|
McGraw-Hill Global Education Holdings, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 9.00%, Maturing March 22, 2019
|
|
|
150
|
|
|
|
150,654
|
|
Media General Inc.
|
|
|
|
|
|
|
|
|
Term Loan, Maturing July 31, 2020
(2)
|
|
|
200
|
|
|
|
200,187
|
|
MediaNews Group Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 8.50%, Maturing March 19, 2014
|
|
|
6
|
|
|
|
6,089
|
|
Merrill Communications, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 7.25%, Maturing March 8, 2018
|
|
|
149
|
|
|
|
150,618
|
|
Rentpath, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 6.25%, Maturing May 29, 2020
|
|
|
175
|
|
|
|
172,047
|
|
Springer Science+Business Media S.A.
|
|
Term Loan, Maturing July 31, 2020
(2)
|
|
|
200
|
|
|
|
197,875
|
|
Tribune Company
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing December 31, 2019
|
|
|
348
|
|
|
|
351,123
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,523,693
|
|
|
|
|
|
|
|
|
|
|
Radio and Television 1.0%
|
|
|
|
|
|
|
|
|
Cumulus Media Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing September 17, 2018
|
|
|
814
|
|
|
$
|
822,909
|
|
Foxco Acquisition Sub, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing July 14, 2017
|
|
|
273
|
|
|
|
276,350
|
|
Mission Broadcasting, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 3, 2019
|
|
|
82
|
|
|
|
82,631
|
|
Nexstar Broadcasting, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing December 3, 2019
|
|
|
193
|
|
|
|
193,525
|
|
Nine Entertainment Group Limited
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing February 5, 2020
|
|
|
150
|
|
|
|
149,563
|
|
Univision Communications Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing March 2, 2020
|
|
|
1,161
|
|
|
|
1,168,963
|
|
Weather Channel
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing February 13, 2017
|
|
|
263
|
|
|
|
266,166
|
|
Term Loan - Second Lien, 7.00%, Maturing June 26, 2020
|
|
|
125
|
|
|
|
128,281
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,088,388
|
|
|
|
|
|
|
|
|
|
|
Retailers (Except Food and Drug) 2.0%
|
|
|
|
|
|
|
|
|
99 Cents Only Stores
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing January 11, 2019
|
|
|
243
|
|
|
$
|
245,335
|
|
Bass Pro Group, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing November 20, 2019
|
|
|
269
|
|
|
|
271,241
|
|
CDW LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing April 29, 2020
|
|
|
374
|
|
|
|
373,011
|
|
Davids Bridal, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing October 11, 2019
|
|
|
124
|
|
|
|
125,411
|
|
Evergreen Acqco 1 LP
|
|
|
|
|
|
|
|
|
Term Loan, 5.00%, Maturing July 9, 2019
|
|
|
124
|
|
|
|
125,144
|
|
13
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Harbor Freight Tools USA, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing July 16, 2019
|
|
|
200
|
|
|
$
|
201,917
|
|
J Crew Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing March 7, 2018
|
|
|
342
|
|
|
|
344,940
|
|
Jo-Ann Stores, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing March 16, 2018
|
|
|
335
|
|
|
|
336,448
|
|
Michaels Stores, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing January 28, 2020
|
|
|
499
|
|
|
|
501,422
|
|
National Vision, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing August 2, 2018
|
|
|
148
|
|
|
|
148,866
|
|
Neiman Marcus Group, Inc. (The)
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing May 16, 2018
|
|
|
1,775
|
|
|
|
1,782,627
|
|
Ollies Bargain Outlet, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing September 27, 2019
|
|
|
100
|
|
|
|
99,873
|
|
Party City Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing July 29, 2019
|
|
|
274
|
|
|
|
275,140
|
|
Petco Animal Supplies, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing November 24, 2017
|
|
|
741
|
|
|
|
746,816
|
|
Pilot Travel Centers LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing March 30, 2018
|
|
|
337
|
|
|
|
336,501
|
|
Term Loan, 4.25%, Maturing August 7, 2019
|
|
|
124
|
|
|
|
124,004
|
|
Spin Holdco Inc.
|
|
Term Loan, 4.25%, Maturing November 14, 2019
|
|
|
200
|
|
|
|
201,594
|
|
Visant Holding Corp.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing December 22, 2016
|
|
|
252
|
|
|
|
246,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,486,966
|
|
|
|
|
|
|
|
|
|
|
Steel 0.6%
|
|
|
|
|
|
|
|
|
Essar Steel Algoma, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 8.75%, Maturing September 19, 2014
|
|
|
199
|
|
|
$
|
202,801
|
|
FMG America Finance, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 5.25%, Maturing October 18, 2017
|
|
|
1,141
|
|
|
|
1,151,859
|
|
JMC Steel Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing April 3, 2017
|
|
|
147
|
|
|
|
147,085
|
|
Neenah Foundry Company
|
|
|
|
|
|
|
|
|
Term Loan, 6.75%, Maturing April 26, 2017
|
|
|
99
|
|
|
|
99,614
|
|
Patriot Coal Corporation
|
|
|
|
|
|
|
|
|
DIP Loan, 9.25%, Maturing October 4, 2013
|
|
|
175
|
|
|
|
175,000
|
|
Waupaca Foundry, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing June 29, 2017
|
|
|
216
|
|
|
|
216,787
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,993,146
|
|
|
|
|
|
|
|
|
|
|
Surface Transport 0.7%
|
|
|
|
|
|
|
|
|
Hertz Corporation (The)
|
|
|
|
|
|
|
|
|
Term Loan, 3.00%, Maturing March 11, 2018
|
|
|
1,423
|
|
|
$
|
1,430,393
|
|
Term Loan, 3.75%, Maturing March 11, 2018
|
|
|
348
|
|
|
|
350,590
|
|
Swift Transportation Co. Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.94%, Maturing December 21, 2016
|
|
|
345
|
|
|
|
347,117
|
|
Term Loan, 4.00%, Maturing December 21, 2017
|
|
|
228
|
|
|
|
230,540
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,358,640
|
|
|
|
|
|
|
|
|
|
|
Telecommunications 1.6%
|
|
|
|
|
|
|
|
|
Arris Group, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing April 17, 2020
|
|
|
200
|
|
|
$
|
199,417
|
|
Cellular South, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing May 22, 2020
|
|
|
75
|
|
|
|
75,093
|
|
14
|
|
|
|
|
|
|
|
|
Borrower/Tranche Description
|
|
Principal
Amount*
(000s omitted)
|
|
|
Value
|
|
Cricket Communications, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.75%, Maturing March 9, 2020
|
|
|
400
|
|
|
$
|
403,375
|
|
Crown Castle International Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 3.25%, Maturing January 31, 2019
|
|
|
345
|
|
|
|
345,574
|
|
Intelsat Jackson Holdings Ltd.
|
|
|
|
|
|
|
|
|
Term Loan, 4.25%, Maturing April 2, 2018
|
|
|
2,107
|
|
|
|
2,126,299
|
|
IPC Systems, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.76%, Maturing May 31, 2014
|
|
GBP
|
194
|
|
|
|
289,486
|
|
Mitel Networks Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 7.00%, Maturing February 27, 2019
|
|
|
149
|
|
|
|
150,463
|
|
SBA Finance
|
|
|
|
|
|
|
|
|
Term Loan, 3.75%, Maturing June 29, 2018
|
|
|
63
|
|
|
|
63,422
|
|
Syniverse Holdings, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing April 23, 2019
|
|
|
250
|
|
|
|
251,250
|
|
Term Loan, 5.00%, Maturing April 23, 2019
|
|
|
347
|
|
|
|
348,774
|
|
Telesat LLC
|
|
|
|
|
|
|
|
|
Term Loan, 3.50%, Maturing March 28, 2019
|
|
|
668
|
|
|
|
672,996
|
|
Windstream Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing August 8, 2019
|
|
|
124
|
|
|
|
124,807
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,050,956
|
|
|
|
|
|
|
|
|
|
|
Utilities 1.1%
|
|
AES Corporation
|
|
Term Loan, 3.75%, Maturing June 1, 2018
|
|
|
507
|
|
|
$
|
513,346
|
|
Calpine Construction Finance Company, L.P.
|
|
|
|
|
|
|
|
|
Term Loan, 3.00%, Maturing May 4, 2020
|
|
|
200
|
|
|
|
198,963
|
|
Term Loan, 3.25%, Maturing January 31, 2022
|
|
|
75
|
|
|
|
74,747
|
|
Calpine Corporation
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing April 2, 2018
|
|
|
196
|
|
|
|
197,453
|
|
Term Loan, 4.00%, Maturing April 2, 2018
|
|
|
538
|
|
|
|
541,656
|
|
Term Loan, 4.00%, Maturing October 9, 2019
|
|
|
174
|
|
|
|
174,841
|
|
Dynegy Holdings Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 4.00%, Maturing April 23, 2020
|
|
|
185
|
|
|
|
185,815
|
|
Equipower Resources Holdings LLC
|
|
|
|
|
|
|
|
|
Term Loan, Maturing December 15, 2020
(2)
|
|
|
100
|
|
|
|
100,750
|
|
La Frontera Generation, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.50%, Maturing September 30, 2020
|
|
|
100
|
|
|
|
100,750
|
|
LSP Madison Funding, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 5.50%, Maturing June 28, 2019
|
|
|
109
|
|
|
|
110,656
|
|
NRG Energy, Inc.
|
|
|
|
|
|
|
|
|
Term Loan, 2.75%, Maturing July 2, 2018
|
|
|
858
|
|
|
|
857,940
|
|
Texas Competitive Electric Holdings Company, LLC
|
|
|
|
|
|
|
|
|
Term Loan, 4.72%, Maturing October 10, 2017
|
|
|
851
|
|
|
|
599,056
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,655,973
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Senior Floating-Rate Interests
(identified cost $159,577,531)
|
|
|
|
|
|
$
|
160,528,407
|
|
|
|
|
|
|
|
|
|
|
15
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 14.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Federal Home Loan Mortgage Corp.
:
|
|
|
|
|
|
|
|
|
Series 2113, Class QG, 6.00%, 1/15/29
|
|
$
|
1,893
|
|
|
$
|
2,093,312
|
|
Series 2167, Class BZ, 7.00%, 6/15/29
|
|
|
1,468
|
|
|
|
1,677,821
|
|
Series 2182, Class ZB, 8.00%, 9/15/29
|
|
|
2,128
|
|
|
|
2,492,311
|
|
Series 2631, (Interest Only), Class DS, 6.908%, 6/15/33
(5)(6)
|
|
|
4,297
|
|
|
|
642,622
|
|
Series 2750, (Interest Only), Class SG, 6.908%, 2/15/34
(5)(6)
|
|
|
6,587
|
|
|
|
1,176,453
|
|
Series 2770, (Interest Only), Class SH, 6.908%, 3/15/34
(5)(6)
|
|
|
4,474
|
|
|
|
796,846
|
|
Series 2981, (Interest Only), Class CS, 6.528%, 5/15/35
(5)(6)
|
|
|
2,730
|
|
|
|
500,145
|
|
Series 3114, (Interest Only), Class TS, 6.458%, 9/15/30
(5)(6)
|
|
|
6,347
|
|
|
|
1,106,265
|
|
Series 3339, (Interest Only), Class JI, 6.398%, 7/15/37
(5)(6)
|
|
|
5,784
|
|
|
|
873,533
|
|
Series 3423, (Interest Only), Class SN, 5.938%, 3/15/38
(5)(6)
|
|
|
8,811
|
|
|
|
1,213,752
|
|
Series 3871, (Interest Only), Class MS, 7.008%, 6/15/41
(5)(6)
|
|
|
3,335
|
|
|
|
625,593
|
|
Series 4163, (Interest Only), Class GS, 6.008%, 11/15/32
(5)(6)
|
|
|
7,632
|
|
|
|
1,683,686
|
|
Series 4169, (Interest Only), Class AS, 6.058%, 2/15/33
(5)(6)
|
|
|
4,879
|
|
|
|
976,095
|
|
Series 4182, (Interest Only), Class GI, 3.00%, 1/15/43
(5)
|
|
|
8,729
|
|
|
|
1,141,232
|
|
Series 4203, (Interest Only), Class QS, 6.058%, 5/15/43
(5)(6)
|
|
|
4,993
|
|
|
|
1,034,265
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,033,931
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association
:
|
|
|
|
|
|
|
|
|
Series 1989-89, Class H, 9.00%, 11/25/19
|
|
$
|
76
|
|
|
$
|
86,532
|
|
Series 1991-122, Class N, 7.50%, 9/25/21
|
|
|
275
|
|
|
|
308,128
|
|
Series 1993-84, Class M, 7.50%, 6/25/23
|
|
|
2,309
|
|
|
|
2,631,627
|
|
Series 1994-42, Class K, 6.50%, 4/25/24
|
|
|
709
|
|
|
|
802,263
|
|
Series 1997-28, Class ZA, 7.50%, 4/20/27
|
|
|
774
|
|
|
|
903,021
|
|
Series 1997-38, Class N, 8.00%, 5/20/27
|
|
|
674
|
|
|
|
795,639
|
|
Series 2004-46, (Interest Only), Class SI, 5.81%, 5/25/34
(5)(6)
|
|
|
4,487
|
|
|
|
703,747
|
|
Series 2005-17, (Interest Only), Class SA, 6.51%, 3/25/35
(5)(6)
|
|
|
3,012
|
|
|
|
618,015
|
|
Series 2006-42, (Interest Only), Class PI, 6.40%, 6/25/36
(5)(6)
|
|
|
6,177
|
|
|
|
941,918
|
|
Series 2006-44, (Interest Only), Class IS, 6.41%, 6/25/36
(5)(6)
|
|
|
5,220
|
|
|
|
784,617
|
|
Series 2006-72, (Interest Only), Class GI, 6.39%, 8/25/36
(5)(6)
|
|
|
9,318
|
|
|
|
1,440,084
|
|
Series 2007-50, (Interest Only), Class LS, 6.26%, 6/25/37
(5)(6)
|
|
|
5,030
|
|
|
|
603,657
|
|
Series 2008-26, (Interest Only), Class SA, 6.01%, 4/25/38
(5)(6)
|
|
|
6,570
|
|
|
|
978,073
|
|
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35
(5)
|
|
|
5,310
|
|
|
|
435,584
|
|
Series 2008-61, (Interest Only), Class S, 5.91%, 7/25/38
(5)(6)
|
|
|
7,483
|
|
|
|
1,253,664
|
|
Series 2010-54, (Interest Only), Class EI, 6.00%, 6/25/40
(5)
|
|
|
5,390
|
|
|
|
1,018,592
|
|
Series 2010-67, (Interest Only), Class SC, 5.61%, 6/25/40
(5)(6)
|
|
|
2,747
|
|
|
|
310,279
|
|
Series 2010-109, (Interest Only), Class PS, 6.41%, 10/25/40
(5)(6)
|
|
|
10,695
|
|
|
|
1,603,152
|
|
Series 2010-124, (Interest Only), Class SJ, 5.86%, 11/25/38
(5)(6)
|
|
|
5,800
|
|
|
|
841,692
|
|
Series 2010-147, (Interest Only), Class KS, 5.76%, 1/25/41
(5)(6)
|
|
|
11,987
|
|
|
|
1,814,751
|
|
Series 2010-150, (Interest Only), Class GS, 6.56%, 1/25/21
(5)(6)
|
|
|
8,845
|
|
|
|
1,243,346
|
|
Series 2012-150, (Interest Only), Class PS, 5.96%, 1/25/43
(5)(6)
|
|
|
9,720
|
|
|
|
1,952,721
|
|
Series 2012-150, (Interest Only), Class SK, 5.96%, 1/25/43
(5)(6)
|
|
|
5,416
|
|
|
|
1,091,802
|
|
Series 2013-23, (Interest Only), Class CS, 6.06%, 3/25/33
(5)(6)
|
|
|
4,879
|
|
|
|
1,037,087
|
|
Series 2013-54, (Interest Only), Class HS, 6.11%, 10/25/41
(5)(6)
|
|
|
4,951
|
|
|
|
938,973
|
|
Series G-33, Class PT, 7.00%, 10/25/21
|
|
|
708
|
|
|
|
770,504
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
25,909,468
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association
:
|
|
|
|
|
|
|
|
|
Series 2010-4, (Interest Only), Class SK, 6.008%, 5/20/35
(5)(6)
|
|
$
|
2,572
|
|
|
$
|
466,095
|
|
Series 2010-89, (Principal Only), Class CO, 0.00%, 7/20/40
(7)
|
|
|
251
|
|
|
|
235,982
|
|
Series 2012-50, (Principal Only), Class CO, 0.00%, 8/20/40
(7)
|
|
|
502
|
|
|
|
401,619
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,103,696
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations
(identified cost $44,892,410)
|
|
|
|
|
|
$
|
45,047,095
|
|
|
|
|
|
|
|
|
|
|
16
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 3.0%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
COMM, Series 2013-CR9, Class D, 4.403%, 7/10/45
(8)(9)
|
|
$
|
1,065
|
|
|
$
|
865,629
|
|
CSFB, Series 2004-C3, Class A5, 5.113%, 7/15/36
(8)
|
|
|
595
|
|
|
|
608,468
|
|
GECMC, Series 2004-C3, Class A4, 5.189%, 7/10/39
(8)
|
|
|
1,107
|
|
|
|
1,141,437
|
|
GSMS, Series 2004-GG2, Class A6, 5.396%, 8/10/38
(8)
|
|
|
1,250
|
|
|
|
1,283,058
|
|
JPMCC, Series 2006-CB14, Class A4, 5.481%, 12/12/44
(8)
|
|
|
500
|
|
|
|
541,774
|
|
JPMCC, Series 2013-C13, Class D, 4.191%, 1/15/46
(8) (9)
|
|
|
875
|
|
|
|
708,127
|
|
MSC, Series 2003-IQ6, Class A4, 4.97%, 12/15/41
|
|
|
340
|
|
|
|
341,580
|
|
RBSCF, Series 2010-MB1, Class C, 4.683%, 4/15/24
(8)(9)
|
|
|
675
|
|
|
|
694,324
|
|
WBCMT, Series 2004-C12, Class A4, 5.30%, 7/15/41
(8)
|
|
|
1,225
|
|
|
|
1,252,841
|
|
WFCM, Series 2010-C1, Class C, 5.584%, 11/15/43
(8)(9)
|
|
|
500
|
|
|
|
537,274
|
|
WFCM, Series 2013-LC12, Class D, 4.441%, 7/15/46
(8)(9)
|
|
|
2,000
|
|
|
|
1,610,217
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities
(identified cost $9,188,110)
|
|
|
|
|
|
$
|
9,584,729
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Throughs 28.9%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Federal Home Loan Mortgage Corp.
:
|
|
|
|
|
|
|
|
|
2.893%, with maturity at 2035
(10)
|
|
$
|
4,042
|
|
|
$
|
4,313,139
|
|
5.00%, with various maturities to 2023
|
|
|
4,224
|
|
|
|
4,505,406
|
|
6.00%, with various maturities to 2029
|
|
|
3,230
|
|
|
|
3,539,070
|
|
6.15%, with maturity at 2027
|
|
|
1,105
|
|
|
|
1,255,183
|
|
6.50%, with various maturities to 2032
|
|
|
10,677
|
|
|
|
11,983,628
|
|
7.00%, with various maturities to 2035
|
|
|
5,916
|
|
|
|
6,918,682
|
|
7.50%, with various maturities to 2035
|
|
|
2,705
|
|
|
|
3,136,710
|
|
8.00%, with various maturities to 2032
|
|
|
2,700
|
|
|
|
3,196,920
|
|
8.50%, with various maturities to 2031
|
|
|
3,283
|
|
|
|
3,971,328
|
|
9.00%, with maturity at 2031
|
|
|
290
|
|
|
|
354,414
|
|
9.50%, with various maturities to 2022
|
|
|
177
|
|
|
|
200,127
|
|
11.50%, with maturity at 2019
|
|
|
69
|
|
|
|
73,851
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
43,448,458
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association
:
|
|
|
|
|
|
|
|
|
5.50%, with various maturities to 2033
|
|
$
|
4,067
|
|
|
$
|
4,414,087
|
|
6.00%, with maturity at 2023
|
|
|
2,686
|
|
|
|
2,963,344
|
|
6.323%, with maturity at 2032
(10)
|
|
|
1,708
|
|
|
|
1,886,184
|
|
6.50%, with various maturities to 2036
|
|
|
6,686
|
|
|
|
7,403,947
|
|
7.00%, with various maturities to 2033
|
|
|
9,515
|
|
|
|
10,804,707
|
|
7.50%, with various maturities to 2031
|
|
|
6,702
|
|
|
|
7,933,788
|
|
8.00%, with various maturities to 2029
|
|
|
1,641
|
|
|
|
1,905,527
|
|
8.50%, with various maturities to 2027
|
|
|
276
|
|
|
|
322,601
|
|
9.00%, with various maturities to 2029
|
|
|
752
|
|
|
|
857,794
|
|
9.50%, with maturity at 2014
|
|
|
5
|
|
|
|
4,823
|
|
10.00%, with various maturities to 2031
|
|
|
637
|
|
|
|
733,174
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
39,229,976
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association
:
|
|
|
|
|
|
|
|
|
7.50%, with maturity at 2025
|
|
$
|
2,965
|
|
|
$
|
3,452,753
|
|
8.00%, with various maturities to 2027
|
|
|
3,623
|
|
|
|
4,415,673
|
|
9.00%, with various maturities to 2026
|
|
|
1,786
|
|
|
|
2,227,134
|
|
9.50%, with maturity at 2025
|
|
|
241
|
|
|
|
283,850
|
|
11.00%, with maturity at 2018
|
|
|
147
|
|
|
|
163,410
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,542,820
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Throughs
(identified cost $87,768,433)
|
|
|
|
|
|
$
|
93,221,254
|
|
|
|
|
|
|
|
|
|
|
17
|
|
|
|
|
|
|
|
|
Asset-Backed Securities 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.018%, 7/17/19
(9)(11)
|
|
$
|
500
|
|
|
$
|
473,798
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(identified cost $500,000)
|
|
|
|
|
|
$
|
473,798
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes 0.8%
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Chemicals and Plastics 0.1%
|
|
|
|
|
|
|
|
|
Ineos Finance PLC
|
|
|
|
|
|
|
|
|
7.50%, 5/1/20
(9)
|
|
$
|
150
|
|
|
$
|
162,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
162,000
|
|
|
|
|
|
|
|
|
|
|
Financial Intermediaries 0.1%
|
|
|
|
|
|
|
|
|
First Data Corp.
|
|
|
|
|
|
|
|
|
6.75%, 11/1/20
(9)
|
|
$
|
250
|
|
|
$
|
262,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
262,188
|
|
|
|
|
|
|
|
|
|
|
Health Care 0.1%
|
|
|
|
|
|
|
|
|
Community Health Systems, Inc.
|
|
|
|
|
|
|
|
|
5.125%, 8/15/18
|
|
$
|
425
|
|
|
$
|
434,562
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
434,562
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 0.0%
(3)
|
|
|
|
|
|
|
|
|
Libbey Glass, Inc.
|
|
|
|
|
|
|
|
|
6.875%, 5/15/20
|
|
$
|
135
|
|
|
$
|
145,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
145,125
|
|
|
|
|
|
|
|
|
|
|
Lodging and Casinos 0.1%
|
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc.
|
|
|
|
|
|
|
|
|
8.50%, 2/15/20
|
|
$
|
350
|
|
|
$
|
327,031
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
327,031
|
|
|
|
|
|
|
|
|
|
|
Utilities 0.4%
|
|
|
|
|
|
|
|
|
Calpine Corp.
|
|
|
|
|
|
|
|
|
7.50%, 2/15/21
(9)
|
|
$
|
517
|
|
|
$
|
555,775
|
|
7.875%, 1/15/23
(9)
|
|
|
607
|
|
|
|
661,630
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,217,405
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
(identified cost $2,432,165)
|
|
|
|
|
|
$
|
2,548,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Corporate Bonds & Notes 0.7%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Chile 0.7%
|
|
|
|
|
|
|
|
|
JPMorgan Chilean Inflation Linked Note
|
|
|
|
|
|
|
|
|
3.80%, 11/17/15
(12)
|
|
$
|
2,559
|
|
|
$
|
2,342,719
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Chile
(identified cost $2,000,000)
|
|
|
|
|
|
$
|
2,342,719
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Corporate Bonds & Notes
(identified cost $2,000,000)
|
|
|
|
|
|
$
|
2,342,719
|
|
|
|
|
|
|
|
|
|
|
18
|
|
|
|
|
|
|
|
|
Foreign Government Bonds 12.9%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Bangladesh 0.5%
|
|
|
|
|
|
|
|
|
Bangladesh Treasury Bond, 11.30%, 3/7/17
|
|
BDT
|
50,000
|
|
|
$
|
636,939
|
|
Bangladesh Treasury Bond, 11.50%, 8/8/17
|
|
BDT
|
70,700
|
|
|
|
904,626
|
|
|
|
|
|
|
|
|
|
|
Total Bangladesh
|
|
|
|
|
|
$
|
1,541,565
|
|
|
|
|
|
|
|
|
|
|
Costa Rica 0.2%
|
|
|
|
|
|
|
|
|
Costa Rica Titulos de Propiedad Bond, 10.58%, 6/22/16
|
|
CRC
|
255,000
|
|
|
$
|
568,070
|
|
|
|
|
|
|
|
|
|
|
Total Costa Rica
|
|
|
|
|
|
$
|
568,070
|
|
|
|
|
|
|
|
|
|
|
Georgia 0.3%
|
|
|
|
|
|
|
|
|
Georgia Treasury Bond, 6.10%, 3/7/15
|
|
GEL
|
350
|
|
|
$
|
213,519
|
|
Georgia Treasury Bond, 6.80%, 7/12/14
|
|
GEL
|
500
|
|
|
|
306,247
|
|
Georgia Treasury Bond, 7.40%, 4/19/14
|
|
GEL
|
500
|
|
|
|
306,881
|
|
Georgia Treasury Bond, 9.10%, 12/8/13
|
|
GEL
|
200
|
|
|
|
122,616
|
|
|
|
|
|
|
|
|
|
|
Total Georgia
|
|
|
|
|
|
$
|
949,263
|
|
|
|
|
|
|
|
|
|
|
Ghana 1.8%
|
|
|
|
|
|
|
|
|
Ghana Government Bond, 16.90%, 3/7/16
|
|
GHS
|
1,852
|
|
|
$
|
841,383
|
|
Ghana Government Bond, 19.24%, 5/30/16
|
|
GHS
|
1,480
|
|
|
|
702,973
|
|
Ghana Government Bond, 21.00%, 10/26/15
|
|
GHS
|
4,730
|
|
|
|
2,347,117
|
|
Ghana Government Bond, 24.00%, 5/25/15
|
|
GHS
|
3,282
|
|
|
|
1,689,365
|
|
Ghana Government Bond, 26.00%, 6/5/17
|
|
GHS
|
485
|
|
|
|
272,976
|
|
|
|
|
|
|
|
|
|
|
Total Ghana
|
|
|
|
|
|
$
|
5,853,814
|
|
|
|
|
|
|
|
|
|
|
Hungary 0.1%
|
|
|
|
|
|
|
|
|
National Bank of Hungary, 8.875%, 11/1/13
|
|
USD
|
370
|
|
|
$
|
375,313
|
|
|
|
|
|
|
|
|
|
|
Total Hungary
|
|
|
|
|
|
$
|
375,313
|
|
|
|
|
|
|
|
|
|
|
Jordan 0.2%
|
|
|
|
|
|
|
|
|
Jordan Government Bond, 7.387%, 8/30/14
|
|
JOD
|
400
|
|
|
$
|
576,854
|
|
|
|
|
|
|
|
|
|
|
Total Jordan
|
|
|
|
|
|
$
|
576,854
|
|
|
|
|
|
|
|
|
|
|
Lebanon 0.2%
|
|
|
|
|
|
|
|
|
Lebanon Treasury Note, 8.38%, 8/28/14
|
|
LBP
|
834,140
|
|
|
$
|
569,417
|
|
Lebanon Treasury Note, 8.74%, 7/31/14
|
|
LBP
|
375,460
|
|
|
|
256,632
|
|
|
|
|
|
|
|
|
|
|
Total Lebanon
|
|
|
|
|
|
$
|
826,049
|
|
|
|
|
|
|
|
|
|
|
Mexico 0.2%
|
|
|
|
|
|
|
|
|
Mexican Bonos, 7.00%, 6/19/14
|
|
MXN
|
9,645
|
|
|
$
|
778,009
|
|
|
|
|
|
|
|
|
|
|
Total Mexico
|
|
|
|
|
|
$
|
778,009
|
|
|
|
|
|
|
|
|
|
|
Mongolia 0.1%
|
|
|
|
|
|
|
|
|
Mongolia Government International Bond, 4.125%, 1/5/18
(9)
|
|
USD
|
280
|
|
|
$
|
257,600
|
|
|
|
|
|
|
|
|
|
|
Total Mongolia
|
|
|
|
|
|
$
|
257,600
|
|
|
|
|
|
|
|
|
|
|
Philippines 1.0%
|
|
|
|
|
|
|
|
|
Republic of the Philippines, 6.25%, 1/27/14
|
|
PHP
|
22,800
|
|
|
$
|
537,289
|
|
Republic of the Philippines, 6.25%, 1/14/36
|
|
PHP
|
85,000
|
|
|
|
2,211,604
|
|
Republic of the Philippines, 9.125%, 9/4/16
|
|
PHP
|
14,990
|
|
|
|
416,469
|
|
|
|
|
|
|
|
|
|
|
Total Philippines
|
|
|
$
|
3,165,362
|
|
|
|
|
|
|
|
|
|
|
Romania 1.5%
|
|
|
|
|
|
|
|
|
Romania Government Bond, 5.80%, 10/26/15
|
|
RON
|
11,260
|
|
|
$
|
3,491,679
|
|
Romania Government Bond, 5.85%, 7/28/14
|
|
RON
|
1,340
|
|
|
|
409,856
|
|
Romania Government Bond, 5.90%, 7/26/17
|
|
RON
|
2,520
|
|
|
|
793,171
|
|
Romania Government Bond, 11.00%, 3/5/14
|
|
RON
|
250
|
|
|
|
78,267
|
|
|
|
|
|
|
|
|
|
|
Total Romania
|
|
|
$
|
4,772,973
|
|
|
|
|
|
|
|
|
|
|
19
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Russia 0.6%
|
|
|
|
|
|
|
|
|
Russia Government Bond, 6.88%, 7/15/15
|
|
RUB
|
4,910
|
|
|
$
|
151,226
|
|
Russia Government Bond, 7.00%, 6/3/15
|
|
RUB
|
4,910
|
|
|
|
151,569
|
|
Russia Government Bond, 7.10%, 3/13/14
|
|
RUB
|
30,380
|
|
|
|
928,399
|
|
Russia Government Bond, 12.00%, 8/20/14
|
|
RUB
|
20,290
|
|
|
|
655,578
|
|
|
|
|
|
|
|
|
|
|
Total Russia
|
|
|
$
|
1,886,772
|
|
|
|
|
|
|
|
|
|
|
Serbia 1.4%
|
|
|
|
|
|
|
|
|
Serbia Treasury Bill, 0.00%, 11/8/13
|
|
RSD
|
76,000
|
|
|
$
|
865,732
|
|
Serbia Treasury Bill, 0.00%, 12/12/13
|
|
RSD
|
18,200
|
|
|
|
205,416
|
|
Serbia Treasury Bill, 0.00%, 3/6/14
|
|
RSD
|
195,000
|
|
|
|
2,149,935
|
|
Serbia Treasury Bill, 0.00%, 3/13/14
|
|
RSD
|
32,560
|
|
|
|
358,287
|
|
Serbia Treasury Bond, 10.00%, 4/4/15
|
|
RSD
|
8,310
|
|
|
|
95,748
|
|
Serbia Treasury Bond, 10.00%, 4/27/15
|
|
RSD
|
60,770
|
|
|
|
699,638
|
|
Serbia Treasury Bond, 10.00%, 1/24/18
|
|
RSD
|
22,180
|
|
|
|
240,338
|
|
|
|
|
|
|
|
|
|
|
Total Serbia
|
|
|
$
|
4,615,094
|
|
|
|
|
|
|
|
|
|
|
Sri Lanka 0.9%
|
|
|
|
|
|
|
|
|
Sri Lanka Government Bond, 7.00%, 3/1/14
|
|
LKR
|
44,530
|
|
|
$
|
332,296
|
|
Sri Lanka Government Bond, 8.50%, 4/1/18
|
|
LKR
|
86,910
|
|
|
|
597,470
|
|
Sri Lanka Government Bond, 9.00%, 5/1/21
|
|
LKR
|
254,080
|
|
|
|
1,683,363
|
|
Sri Lanka Government Bond, 11.75%, 4/1/14
|
|
LKR
|
55,290
|
|
|
|
423,942
|
|
|
|
|
|
|
|
|
|
|
Total Sri Lanka
|
|
|
$
|
3,037,071
|
|
|
|
|
|
|
|
|
|
|
Turkey 1.6%
|
|
|
|
|
|
|
|
|
Turkey Government Bond, 0.00%, 4/9/14
|
|
TRY
|
10,433
|
|
|
$
|
5,087,836
|
|
|
|
|
|
|
|
|
|
|
Total Turkey
|
|
|
$
|
5,087,836
|
|
|
|
|
|
|
|
|
|
|
Uruguay 0.9%
|
|
|
|
|
|
|
|
|
Monetary Regulation Bill, 0.00%, 8/15/13
|
|
UYU
|
12,600
|
|
|
$
|
589,679
|
|
Uruguay Notas Del Tesoro, 2.75%, 6/16/16
(12)
|
|
UYU
|
49,149
|
|
|
|
2,318,070
|
|
|
|
|
|
|
|
|
|
|
Total Uruguay
|
|
|
$
|
2,907,749
|
|
|
|
|
|
|
|
|
|
|
Vietnam 1.4%
|
|
|
|
|
|
|
|
|
Vietnam Government Bond, 8.80%, 6/15/14
|
|
VND
|
79,746,100
|
|
|
$
|
3,837,055
|
|
Vietnam Government Bond, 9.10%, 12/15/14
|
|
VND
|
13,799,200
|
|
|
|
670,460
|
|
|
|
|
|
|
|
|
|
|
Total Vietnam
|
|
|
$
|
4,507,515
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds
(identified cost $42,897,255)
|
|
|
|
|
|
$
|
41,706,909
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 2.9%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Note, 1.75%, 5/15/22
(13)
|
|
$
|
10,000
|
|
|
$
|
9,473,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $9,856,316)
|
|
|
|
|
|
$
|
9,473,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20
|
|
|
|
|
|
|
|
|
Common Stocks 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Shares
|
|
|
Value
|
|
Affinity Gaming, LLC
(4)(14)(15)
|
|
|
23,498
|
|
|
$
|
276,103
|
|
Buffets Restaurants Holdings, Inc.
(4)(14)(15)
|
|
|
10,672
|
|
|
|
69,368
|
|
Dayco Products, LLC
(14)(15)
|
|
|
8,898
|
|
|
|
338,124
|
|
Euramax International, Inc.
(4)(14)(15)
|
|
|
234
|
|
|
|
52,582
|
|
ION Media Networks, Inc.
(4)(14)
|
|
|
1,357
|
|
|
|
860,067
|
|
MediaNews Group, Inc.
(4)(14)(15)
|
|
|
3,023
|
|
|
|
63,423
|
|
Metro-Goldwyn-Mayer Holdings, Inc.
(14)(15)
|
|
|
19,828
|
|
|
|
1,085,583
|
|
NewYoung Broadcasting Holding Co., Inc.
(4)(14)(15)
|
|
|
116
|
|
|
|
835,200
|
|
United Subcontractors, Inc.
(4)(14)(15)
|
|
|
162
|
|
|
|
7,421
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $1,488,850)
|
|
|
|
|
|
$
|
3,587,871
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Precious Metals 0.7%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Troy
Ounces
|
|
|
Value
|
|
Platinum
(15)
|
|
|
1,510
|
|
|
$
|
2,170,110
|
|
|
|
|
|
|
|
|
|
|
Total Precious Metals
(identified cost $2,644,211)
|
|
|
|
|
|
$
|
2,170,110
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Call Options Purchased 0.0%
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Principal
Amount
of
Contracts
(000s omitted)
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
Colombian Peso
|
|
Citibank NA
|
|
COP
|
1,800,452
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
$
|
2,224
|
|
Colombian Peso
|
|
Citibank NA
|
|
COP
|
1,651,901
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
2,041
|
|
Colombian Peso
|
|
Citibank NA
|
|
COP
|
1,577,963
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
1,950
|
|
Colombian Peso
|
|
Citibank NA
|
|
COP
|
1,091,000
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
1,348
|
|
Colombian Peso
|
|
Citibank NA
|
|
COP
|
628,124
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
776
|
|
Colombian Peso
|
|
JPMorgan Chase Bank
|
|
COP
|
646,320
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
798
|
|
Colombian Peso
|
|
JPMorgan Chase Bank
|
|
COP
|
514,170
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
635
|
|
Colombian Peso
|
|
JPMorgan Chase Bank
|
|
COP
|
398,100
|
|
|
COP
|
1,757.00
|
|
|
|
2/18/14
|
|
|
|
492
|
|
Indian Rupee
|
|
Australia and New Zealand Banking Group Limited
|
|
INR
|
81,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
32
|
|
Indian Rupee
|
|
Australia and New Zealand Banking Group Limited
|
|
INR
|
70,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
28
|
|
Indian Rupee
|
|
Bank of America
|
|
INR
|
83,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
33
|
|
Indian Rupee
|
|
Bank of America
|
|
INR
|
96,000
|
|
|
INR
|
55.00
|
|
|
|
8/16/13
|
|
|
|
197
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Principal
Amount
of
Contracts
(000s omitted)
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
Indian Rupee
|
|
Barclays Bank PLC
|
|
INR
|
81,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
$
|
32
|
|
Indian Rupee
|
|
Deutsche Bank
|
|
INR
|
80,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
32
|
|
Indian Rupee
|
|
Goldman Sachs International
|
|
INR
|
50,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
20
|
|
Indian Rupee
|
|
Goldman Sachs International
|
|
INR
|
61,000
|
|
|
INR
|
55.00
|
|
|
|
8/19/13
|
|
|
|
129
|
|
Indian Rupee
|
|
Goldman Sachs International
|
|
INR
|
94,577
|
|
|
INR
|
59.00
|
|
|
|
7/1/14
|
|
|
|
18,676
|
|
Indian Rupee
|
|
JPMorgan Chase Bank
|
|
INR
|
61,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
24
|
|
Indian Rupee
|
|
JPMorgan Chase Bank
|
|
INR
|
55,000
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
22
|
|
Indian Rupee
|
|
JPMorgan Chase Bank
|
|
INR
|
90,093
|
|
|
INR
|
59.00
|
|
|
|
7/1/14
|
|
|
|
17,791
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Currency Call Options Purchased
(identified cost $295,348)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
47,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Put Options Purchased 0.0%
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Principal
Amount of
Contracts
(000s omitted)
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
British
Pound Sterling
|
|
Bank of America
|
|
GBP
|
4,587
|
|
|
GBP
|
1.35
|
|
|
|
3/13/14
|
|
|
$
|
23,090
|
|
British
Pound Sterling
|
|
Citibank NA
|
|
GBP
|
3,380
|
|
|
GBP
|
1.40
|
|
|
|
3/13/14
|
|
|
|
32,584
|
|
British
Pound Sterling
|
|
Morgan Stanley & Co. International PLC
|
|
GBP
|
2,184
|
|
|
GBP
|
1.35
|
|
|
|
3/13/14
|
|
|
|
10,994
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Currency Put Options Purchased
(identified cost $178,430)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
66,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 13.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities 9.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Kenya 0.9%
|
|
|
|
|
|
|
|
|
Kenya Treasury Bill, 0.00%, 4/14/14
|
|
KES
|
128,100
|
|
|
$
|
1,387,941
|
|
Kenya Treasury Bill, 0.00%, 4/21/14
|
|
KES
|
66,900
|
|
|
|
723,184
|
|
Kenya Treasury Bill, 0.00%, 6/9/14
|
|
KES
|
60,000
|
|
|
|
637,555
|
|
|
|
|
|
|
|
|
|
|
Total Kenya
|
|
|
|
|
|
$
|
2,748,680
|
|
|
|
|
|
|
|
|
|
|
Lebanon 1.7%
|
|
|
|
|
|
|
|
|
Lebanon Treasury Bill, 0.00%, 10/10/13
|
|
LBP
|
908,950
|
|
|
$
|
596,466
|
|
Lebanon Treasury Bill, 0.00%, 11/7/13
|
|
LBP
|
697,120
|
|
|
|
455,752
|
|
Lebanon Treasury Bill, 0.00%, 11/21/13
|
|
LBP
|
408,240
|
|
|
|
266,392
|
|
Lebanon Treasury Bill, 0.00%, 12/5/13
|
|
LBP
|
345,690
|
|
|
|
225,152
|
|
Lebanon Treasury Bill, 0.00%, 12/19/13
|
|
LBP
|
1,767,800
|
|
|
|
1,149,224
|
|
Lebanon Treasury Bill, 0.00%, 1/2/14
|
|
LBP
|
902,460
|
|
|
|
585,572
|
|
Lebanon Treasury Bill, 0.00%, 6/12/14
|
|
LBP
|
3,729,430
|
|
|
|
2,362,000
|
|
|
|
|
|
|
|
|
|
|
Total Lebanon
|
|
|
$
|
5,640,558
|
|
|
|
|
|
|
|
|
|
|
22
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Malaysia 1.7%
|
|
|
|
|
|
|
|
|
Bank Negara Monetary Note, 0.00%, 8/13/13
|
|
MYR
|
1,345
|
|
|
$
|
414,214
|
|
Bank Negara Monetary Note, 0.00%, 9/5/13
|
|
MYR
|
1,300
|
|
|
|
399,634
|
|
Bank Negara Monetary Note, 0.00%, 9/17/13
|
|
MYR
|
2,975
|
|
|
|
913,666
|
|
Bank Negara Monetary Note, 0.00%, 10/22/13
|
|
MYR
|
1,050
|
|
|
|
321,575
|
|
Bank Negara Monetary Note, 0.00%, 10/29/13
|
|
MYR
|
4,985
|
|
|
|
1,525,870
|
|
Bank Negara Monetary Note, 0.00%, 11/12/13
|
|
MYR
|
1,821
|
|
|
|
556,856
|
|
Bank Negara Monetary Note, 0.00%, 11/19/13
|
|
MYR
|
4,485
|
|
|
|
1,370,714
|
|
|
|
|
|
|
|
|
|
|
Total Malaysia
|
|
|
$
|
5,502,529
|
|
|
|
|
|
|
|
|
|
|
Nigeria 1.7%
|
|
|
|
|
|
|
|
|
Nigeria Treasury Bill, 0.00%, 9/5/13
|
|
NGN
|
613,000
|
|
|
$
|
3,776,152
|
|
Nigeria Treasury Bill, 0.00%, 10/10/13
|
|
NGN
|
254,095
|
|
|
|
1,544,831
|
|
|
|
|
|
|
|
|
|
|
Total Nigeria
|
|
|
$
|
5,320,983
|
|
|
|
|
|
|
|
|
|
|
Philippines 0.5%
|
|
|
|
|
|
|
|
|
Philippine Treasury Bill, 0.00%, 8/7/13
|
|
PHP
|
19,500
|
|
|
$
|
448,924
|
|
Philippine Treasury Bill, 0.00%, 10/2/13
|
|
PHP
|
13,140
|
|
|
|
302,035
|
|
Philippine Treasury Bill, 0.00%, 11/6/13
|
|
PHP
|
16,590
|
|
|
|
380,998
|
|
Philippine Treasury Bill, 0.00%, 1/2/14
|
|
PHP
|
19,620
|
|
|
|
450,136
|
|
|
|
|
|
|
|
|
|
|
Total Philippines
|
|
|
$
|
1,582,093
|
|
|
|
|
|
|
|
|
|
|
Romania 0.3%
|
|
|
|
|
|
|
|
|
Romania Treasury Bill, 0.00%, 1/15/14
|
|
RON
|
3,500
|
|
|
$
|
1,033,974
|
|
|
|
|
|
|
|
|
|
|
Total Romania
|
|
|
$
|
1,033,974
|
|
|
|
|
|
|
|
|
|
|
Serbia 1.0%
|
|
|
|
|
|
|
|
|
Serbia Treasury Bill, 0.00%, 9/13/13
|
|
RSD
|
182,800
|
|
|
$
|
2,113,183
|
|
Serbia Treasury Bill, 0.00%, 2/20/14
|
|
RSD
|
33,710
|
|
|
|
373,110
|
|
Serbia Treasury Bill, 0.00%, 4/3/14
|
|
RSD
|
27,380
|
|
|
|
299,526
|
|
Serbia Treasury Bill, 0.00%, 5/29/14
|
|
RSD
|
28,380
|
|
|
|
305,597
|
|
|
|
|
|
|
|
|
|
|
Total Serbia
|
|
|
$
|
3,091,416
|
|
|
|
|
|
|
|
|
|
|
Sri Lanka 1.2%
|
|
|
|
|
|
|
|
|
Sri Lanka Treasury Bill, 0.00%, 10/4/13
|
|
LKR
|
53,880
|
|
|
$
|
403,583
|
|
Sri Lanka Treasury Bill, 0.00%, 11/1/13
|
|
LKR
|
69,610
|
|
|
|
517,997
|
|
Sri Lanka Treasury Bill, 0.00%, 3/7/14
|
|
LKR
|
37,420
|
|
|
|
268,646
|
|
Sri Lanka Treasury Bill, 0.00%, 3/28/14
|
|
LKR
|
118,590
|
|
|
|
846,325
|
|
Sri Lanka Treasury Bill, 0.00%, 4/18/14
|
|
LKR
|
275,150
|
|
|
|
1,951,774
|
|
|
|
|
|
|
|
|
|
|
Total Sri Lanka
|
|
|
$
|
3,988,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities
(identified cost $29,349,525)
|
|
|
|
|
|
$
|
28,908,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Bill, 0.00%, 9/19/13
(13)
|
|
$
|
5,686
|
|
|
$
|
5,685,807
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $5,685,636)
|
|
|
|
|
|
$
|
5,685,807
|
|
|
|
|
|
|
|
|
|
|
23
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Bank of America:
|
|
|
|
|
|
|
|
|
Dated 6/19/13 with a maturity date of 8/23/13, an interest rate of 0.45% payable by the Fund and repurchase proceeds of EUR
463,652, collateralized by EUR 400,000 European Investment Bank 3.625%, due 1/15/21 and a market value, including accrued interest, of $613,064.
|
|
EUR
|
464
|
|
|
$
|
617,282
|
|
Dated 6/19/13 with a maturity date of 8/23/13, an interest rate of 0.45% payable by the Fund and repurchase proceeds of EUR
600,712, collateralized by EUR 510,000 European Investment Bank 4.25%, due 4/15/19 and a market value, including accrued interest, of $796,802.
|
|
EUR
|
601
|
|
|
|
799,756
|
|
Dated 6/19/13 with a maturity date of 8/23/13, an interest rate of 0.45% payable by the Fund and repurchase proceeds of EUR
608,293, collateralized by EUR 500,000 European Investment Bank 4.625%, due 4/15/20 and a market value, including accrued interest, of $805,950.
|
|
EUR
|
609
|
|
|
|
809,851
|
|
Barclays Bank PLC:
|
|
|
|
|
|
|
|
|
Dated 7/10/13 with a maturity date of 8/15/13, an interest rate of 0.20% and repurchase proceeds of USD 448,402, collateralized
by USD 454,000 SoQ Sukuk A Q.S.C. 3.241%, due 1/18/23 and a market value, including accrued interest, of $449,991.
|
|
USD
|
448
|
|
|
|
448,325
|
|
Nomura International PLC:
|
|
|
|
|
|
|
|
|
Dated 7/11/13 with a maturity date of 8/15/13, an interest rate of 0.50% payable by the Fund and repurchase proceeds of USD
429,244, collateralized by USD 354,000 Qatar Government International Bond 6.55%, due 4/9/19 and a market value, including accrued interest, of $432,014.
|
|
USD
|
429
|
|
|
|
429,423
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Repurchase Agreements
(identified cost $3,100,285)
|
|
|
|
|
|
$
|
3,104,637
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other 1.7%
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Interest
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC, 0.10%
(16)
|
|
$
|
5,605
|
|
|
$
|
5,604,678
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other
(identified cost $5,604,678)
|
|
|
|
|
|
$
|
5,604,678
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $43,740,124)
|
|
|
|
|
|
$
|
43,303,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 128.4%
(identified cost $407,459,183)
|
|
|
|
|
|
$
|
414,102,271
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Call Options Written (0.0)%
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Principal
Amount of
Contracts
(000s omitted)
|
|
|
Strike Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
Indian Rupee
|
|
Bank of America
|
|
INR
|
111,888
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
$
|
(44
|
)
|
Indian Rupee
|
|
Citibank NA
|
|
INR
|
106,380
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
(42
|
)
|
Indian Rupee
|
|
Deutsche Bank
|
|
INR
|
57,234
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
(23
|
)
|
Indian Rupee
|
|
Goldman Sachs International
|
|
INR
|
96,000
|
|
|
INR
|
55.00
|
|
|
|
8/16/13
|
|
|
|
(197
|
)
|
Indian Rupee
|
|
HSBC Bank USA
|
|
INR
|
116,100
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
(46
|
)
|
24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Principal
Amount
of
Contracts
(000s omitted)
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
Indian Rupee
|
|
JPMorgan Chase Bank
|
|
INR
|
61,000
|
|
|
INR
|
55.00
|
|
|
|
8/19/13
|
|
|
$
|
(129
|
)
|
Indian Rupee
|
|
Nomura International PLC
|
|
INR
|
116,100
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
(46
|
)
|
Indian Rupee
|
|
Standard Chartered Bank
|
|
INR
|
53,298
|
|
|
INR
|
54.00
|
|
|
|
8/12/13
|
|
|
|
(21
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Currency Call Options Written
(premiums received $522,533)
|
|
|
|
|
|
|
|
|
|
|
$
|
(548
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Put Options Written (0.0)%
(3)
|
|
Description
|
|
Counterparty
|
|
Principal
Amount of
Contracts
(000s omitted)
|
|
|
Strike
Price
|
|
|
Expiration
Date
|
|
|
Value
|
|
British
Pound Sterling
|
|
Bank of America
|
|
GBP
|
4,587
|
|
|
GBP
|
1.35
|
|
|
|
3/13/14
|
|
|
$
|
(23,090
|
)
|
British
Pound Sterling
|
|
Citibank NA
|
|
GBP
|
3,380
|
|
|
GBP
|
1.40
|
|
|
|
3/13/14
|
|
|
|
(32,584
|
)
|
British
Pound Sterling
|
|
Morgan Stanley & Co. International PLC
|
|
GBP
|
2,184
|
|
|
GBP
|
1.35
|
|
|
|
3/13/14
|
|
|
|
(10,994
|
)
|
Indian Rupee
|
|
Goldman Sachs International
|
|
INR
|
115,416
|
|
|
INR
|
72.00
|
|
|
|
7/1/14
|
|
|
|
(38,371
|
)
|
Indian Rupee
|
|
JPMorgan Chase Bank
|
|
INR
|
109,944
|
|
|
INR
|
72.00
|
|
|
|
7/1/14
|
|
|
|
(36,552
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Currency Put Options Written
(premiums received $146,705)
|
|
|
$
|
(141,591
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (28.4)%
|
|
|
$
|
(91,601,046
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
$
|
322,359,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
|
COMM
|
|
-
|
|
Commercial Mortgage Pass-Through Certificates
|
|
|
|
CSFB
|
|
-
|
|
Credit Suisse First Boston Mortgage Securities Trust
|
|
|
|
DIP
|
|
-
|
|
Debtor In Possession
|
|
|
|
GECMC
|
|
-
|
|
General Electric Commercial Mortgage Corp.
|
|
|
|
GSMS
|
|
-
|
|
Goldman Sachs Mortgage Securities Corp. II
|
|
|
|
JPMCC
|
|
-
|
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
MSC
|
|
-
|
|
Morgan Stanley Capital I Trust
|
|
|
|
RBSCF
|
|
-
|
|
Royal Bank of Scotland Commercial Funding
|
|
|
|
WBCMT
|
|
-
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
WFCM
|
|
-
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
BDT
|
|
-
|
|
Bangladesh Taka
|
|
|
|
COP
|
|
-
|
|
Colombian Peso
|
|
|
|
CRC
|
|
-
|
|
Costa Rican Colon
|
|
|
|
EUR
|
|
-
|
|
Euro
|
|
|
|
GBP
|
|
-
|
|
British Pound Sterling
|
|
|
|
GEL
|
|
-
|
|
Georgian Lari
|
|
|
|
GHS
|
|
-
|
|
Ghanaian Cedi
|
|
|
|
INR
|
|
-
|
|
Indian Rupee
|
|
|
|
JOD
|
|
-
|
|
Jordanian Dinar
|
25
|
|
|
|
|
|
|
|
KES
|
|
-
|
|
Kenyan Shilling
|
|
|
|
LBP
|
|
-
|
|
Lebanese Pound
|
|
|
|
LKR
|
|
-
|
|
Sri Lankan Rupee
|
|
|
|
MXN
|
|
-
|
|
Mexican Peso
|
|
|
|
MYR
|
|
-
|
|
Malaysian Ringgit
|
|
|
|
NGN
|
|
-
|
|
Nigerian Naira
|
|
|
|
PHP
|
|
-
|
|
Philippine Peso
|
|
|
|
RON
|
|
-
|
|
Romanian Leu
|
|
|
|
RSD
|
|
-
|
|
Serbian Dinar
|
|
|
|
RUB
|
|
-
|
|
Russian Ruble
|
|
|
|
TRY
|
|
-
|
|
New Turkish Lira
|
|
|
|
USD
|
|
-
|
|
United States Dollar
|
|
|
|
UYU
|
|
-
|
|
Uruguayan Peso
|
|
|
|
VND
|
|
-
|
|
Vietnamese Dong
|
*
|
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, 2013, at which time the interest rate will be determined.
|
(3)
|
Amount is less than 0.05%.
|
(4)
|
For fair value measurement disclosure purposes, security is categorized as Level 3.
|
(5)
|
Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the
underlying mortgages on which coupon interest is calculated.
|
(6)
|
Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at
July 31, 2013.
|
(7)
|
Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.
|
(8)
|
Weighted average fixed-rate coupon that changes/updates monthly.
|
(9)
|
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, 2013, the aggregate value of these securities is $6,788,562 or 2.1% of the Funds net assets.
|
(10)
|
Adjustable rate mortgage security. Rate shown is the rate at July 31, 2013.
|
(11)
|
Variable rate security. The stated interest rate represents the rate in effect at July 31, 2013.
|
(12)
|
Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country.
Interest is calculated based on the inflation-adjusted principal.
|
(13)
|
Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.
|
26
(14)
|
Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.
|
(15)
|
Non-income producing.
|
(16)
|
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, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2013 was $6,488.
|
|
|
|
|
|
|
|
|
|
Securities Sold Short (0.3)%
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Bonds (0.3)%
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Principal
Amount
(000s omitted)
|
|
|
Value
|
|
Qatar (0.3)%
|
|
|
|
|
|
|
|
|
Qatar Government International Bond, 6.55%, 4/9/19
|
|
USD
|
(354
|
)
|
|
$
|
(422,145
|
)
|
SoQ Sukuk A Q.S.C., 3.241%, 1/18/23
|
|
USD
|
(454
|
)
|
|
|
(446,055
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Qatar
|
|
|
|
|
|
$
|
(868,200
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds
(proceeds $895,628)
|
|
|
|
|
|
$
|
(868,200
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
(proceeds $895,628)
|
|
|
|
|
|
$
|
(868,200
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD
|
|
-
|
|
United States Dollar
|
Basis for Consolidation
The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance EVG Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Fund
organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at July 31, 2013
were $8,667,258 or 2.7% of the Funds consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.
A summary of open financial instruments at July 31, 2013 is as follows:
Forward Foreign
Currency Exchange Contracts
Sales
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
8/5/13
|
|
Euro
1,730,000
|
|
United States Dollar
2,248,741
|
|
Goldman Sachs International
|
|
$
|
(52,787
|
)
|
8/13/13
|
|
South Korean Won
2,800,507,000
|
|
United States Dollar
2,484,922
|
|
HSBC Bank USA
|
|
|
(8,423
|
)
|
8/13/13
|
|
Swedish Krona
21,451,200
|
|
Euro
2,460,847
|
|
Standard Chartered Bank
|
|
|
(16,283
|
)
|
8/30/13
|
|
British Pound Sterling
453,836
|
|
United States Dollar
685,506
|
|
Goldman Sachs International
|
|
|
(4,753
|
)
|
8/30/13
|
|
Euro
4,062,163
|
|
United States Dollar
5,256,520
|
|
Citibank NA
|
|
|
(148,075
|
)
|
9/10/13
|
|
Euro
2,697,672
|
|
United States Dollar
3,537,930
|
|
Bank of America
|
|
|
(51,387
|
)
|
27
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
9/10/13
|
|
Euro
4,111,279
|
|
United States Dollar
5,409,888
|
|
Goldman Sachs International
|
|
$
|
(60,265
|
)
|
9/13/13
|
|
Serbian Dinar
79,351,000
|
|
Euro
687,141
|
|
Citibank NA
|
|
|
(4,310
|
)
|
9/30/13
|
|
British Pound Sterling
185,186
|
|
United States Dollar
283,733
|
|
Citibank NA
|
|
|
2,128
|
|
9/30/13
|
|
Euro
447,750
|
|
United States Dollar
582,509
|
|
HSBC Bank USA
|
|
|
(13,276
|
)
|
9/30/13
|
|
New Zealand Dollar
9,571,696
|
|
United States Dollar
7,430,029
|
|
Goldman Sachs International
|
|
|
(182,610
|
)
|
9/30/13
|
|
New Zealand Dollar
6,350,000
|
|
United States Dollar
4,928,489
|
|
Wells Fargo Bank NA
|
|
|
(121,844
|
)
|
10/21/13
|
|
Canadian Dollar
3,415,000
|
|
United States Dollar
3,287,162
|
|
HSBC Bank USA
|
|
|
(31,208
|
)
|
10/21/13
|
|
Canadian Dollar
2,598,000
|
|
United States Dollar
2,560,792
|
|
State Street Bank and Trust Co.
|
|
|
36,304
|
|
10/30/13
|
|
Euro
5,274,328
|
|
United States Dollar
7,002,831
|
|
Australia and New Zealand Banking Group Limited
|
|
|
(16,108
|
)
|
10/30/13
|
|
Euro
2,091,307
|
|
United States Dollar
2,776,921
|
|
Bank of America
|
|
|
(6,136
|
)
|
10/31/13
|
|
British Pound Sterling
669,020
|
|
United States Dollar
1,025,384
|
|
HSBC Bank USA
|
|
|
8,215
|
|
4/2/14
|
|
Croatian Kuna
1,825,000
|
|
Euro
236,828
|
|
Citibank NA
|
|
|
(5,760
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(676,578
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
8/8/13
|
|
Indian Rupee
43,692,000
|
|
United States Dollar
723,557
|
|
JPMorgan Chase Bank
|
|
$
|
(5,927
|
)
|
8/13/13
|
|
South Korean Won
2,800,507,000
|
|
United States Dollar
2,429,562
|
|
Nomura International PLC
|
|
|
63,783
|
|
8/13/13
|
|
Swedish Krona
21,451,200
|
|
Euro
2,502,210
|
|
Deutsche Bank
|
|
|
(38,747
|
)
|
8/16/13
|
|
Indonesian Rupiah
32,628,189,000
|
|
United States Dollar
3,322,626
|
|
State Street Bank and Trust Co.
|
|
|
(168,382
|
)
|
8/16/13
|
|
Indonesian Rupiah
8,747,254,000
|
|
United States Dollar
862,138
|
|
Toronto-Dominion Bank
|
|
|
(16,521
|
)
|
8/16/13
|
|
Peruvian New Sol
15,500,000
|
|
United States Dollar
5,576,543
|
|
Standard Chartered Bank
|
|
|
(42,434
|
)
|
8/20/13
|
|
Colombian Peso
4,247,744,000
|
|
United States Dollar
2,285,269
|
|
Citibank NA
|
|
|
(47,737
|
)
|
8/20/13
|
|
Colombian Peso
6,611,100,000
|
|
United States Dollar
3,556,745
|
|
Morgan Stanley & Co. International PLC
|
|
|
(74,298
|
)
|
8/20/13
|
|
Malaysian Ringgit
2,602,000
|
|
United States Dollar
823,678
|
|
Standard Chartered Bank
|
|
|
(22,624
|
)
|
8/21/13
|
|
Chilean Peso
307,476,290
|
|
United States Dollar
605,805
|
|
Bank of Nova Scotia
|
|
|
(9,117
|
)
|
8/26/13
|
|
Malaysian Ringgit
2,671,000
|
|
United States Dollar
838,566
|
|
BNP Paribas
|
|
|
(16,625
|
)
|
9/3/13
|
|
Philippine Peso
17,454,437
|
|
United States Dollar
403,505
|
|
Goldman Sachs International
|
|
|
(819
|
)
|
9/3/13
|
|
Philippine Peso
8,868,883
|
|
United States Dollar
205,028
|
|
JPMorgan Chase Bank
|
|
|
(416
|
)
|
28
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
9/5/13
|
|
Philippine Peso
12,002,000
|
|
United States Dollar
276,175
|
|
Bank of America
|
|
$
|
729
|
|
9/5/13
|
|
Philippine Peso
9,962,000
|
|
United States Dollar
229,259
|
|
Goldman Sachs International
|
|
|
579
|
|
9/5/13
|
|
Philippine Peso
10,486,000
|
|
United States Dollar
241,235
|
|
JPMorgan Chase Bank
|
|
|
693
|
|
9/12/13
|
|
Kenyan Shilling
67,000,000
|
|
United States Dollar
765,714
|
|
Standard Chartered Bank
|
|
|
(4,428
|
)
|
9/13/13
|
|
Serbian Dinar
8,600,461
|
|
Euro
74,901
|
|
Deutsche Bank
|
|
|
(98
|
)
|
9/16/13
|
|
Russian Ruble
76,143,000
|
|
United States Dollar
2,310,122
|
|
Citibank NA
|
|
|
(17,512
|
)
|
9/16/13
|
|
Russian Ruble
15,431,000
|
|
United States Dollar
482,369
|
|
HSBC Bank USA
|
|
|
(17,753
|
)
|
9/16/13
|
|
Russian Ruble
5,369,000
|
|
United States Dollar
167,860
|
|
JPMorgan Chase Bank
|
|
|
(6,203
|
)
|
9/17/13
|
|
Mauritian Rupee
52,155,000
|
|
United States Dollar
1,690,052
|
|
Standard Bank
|
|
|
(5,334
|
)
|
9/18/13
|
|
Indian Rupee
74,174,000
|
|
United States Dollar
1,233,715
|
|
Standard Chartered Bank
|
|
|
(26,603
|
)
|
9/20/13
|
|
Norwegian Krone
38,479,300
|
|
Euro
4,848,641
|
|
Citibank NA
|
|
|
66,549
|
|
9/20/13
|
|
Swedish Krona
42,902,400
|
|
Euro
4,916,786
|
|
Standard Chartered Bank
|
|
|
32,738
|
|
9/23/13
|
|
Indian Rupee
48,291,000
|
|
United States Dollar
796,881
|
|
Goldman Sachs International
|
|
|
(11,938
|
)
|
9/23/13
|
|
Mexican Peso
70,642,060
|
|
United States Dollar
5,595,411
|
|
Nomura International PLC
|
|
|
(91,843
|
)
|
9/24/13
|
|
Polish Zloty
17,135,350
|
|
Euro
3,936,446
|
|
Bank of America
|
|
|
106,040
|
|
9/24/13
|
|
Singapore Dollar
5,317,000
|
|
United States Dollar
4,191,234
|
|
JPMorgan Chase Bank
|
|
|
(7,274
|
)
|
9/25/13
|
|
Israeli Shekel
9,144,000
|
|
United States Dollar
2,520,119
|
|
Bank of America
|
|
|
42,261
|
|
10/1/13
|
|
Philippine Peso
8,727,717
|
|
United States Dollar
201,671
|
|
Goldman Sachs International
|
|
|
(223
|
)
|
10/1/13
|
|
Philippine Peso
17,635,305
|
|
United States Dollar
407,310
|
|
JPMorgan Chase Bank
|
|
|
(263
|
)
|
10/15/13
|
|
Guatemalan Quetzal
17,500,000
|
|
United States Dollar
2,220,108
|
|
Citibank NA
|
|
|
4,272
|
|
10/15/13
|
|
Thai Baht
151,072,000
|
|
United States Dollar
4,811,210
|
|
Deutsche Bank
|
|
|
(4,588
|
)
|
10/15/13
|
|
Yuan Offshore Renminbi
46,502,000
|
|
United States Dollar
7,530,079
|
|
BNP Paribas
|
|
|
12,539
|
|
10/16/13
|
|
Singapore Dollar
935,000
|
|
United States Dollar
740,125
|
|
Toronto-Dominion Bank
|
|
|
(4,361
|
)
|
10/21/13
|
|
Canadian Dollar
6,013,000
|
|
United States Dollar
5,844,060
|
|
BNP Paribas
|
|
|
(1,202
|
)
|
10/24/13
|
|
Indian Rupee
47,870,000
|
|
United States Dollar
789,634
|
|
Bank of America
|
|
|
(18,064
|
)
|
10/24/13
|
|
Indian Rupee
44,113,000
|
|
United States Dollar
727,661
|
|
JPMorgan Chase Bank
|
|
|
(16,646
|
)
|
10/30/13
|
|
Euro
1,953,635
|
|
United States Dollar
2,595,052
|
|
Goldman Sachs International
|
|
|
4,794
|
|
29
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
10/31/13
|
|
Indian Rupee
24,697,000
|
|
United States Dollar
407,561
|
|
BNP Paribas
|
|
$
|
(10,289
|
)
|
10/31/13
|
|
Indian Rupee
25,203,000
|
|
United States Dollar
415,912
|
|
Goldman Sachs International
|
|
|
(10,499
|
)
|
11/18/13
|
|
South Korean Won
2,800,507,000
|
|
United States Dollar
2,474,711
|
|
HSBC Bank USA
|
|
|
10,762
|
|
12/16/13
|
|
Russian Ruble
11,549,000
|
|
United States Dollar
356,506
|
|
Credit Suisse International
|
|
|
(13,695
|
)
|
12/16/13
|
|
Russian Ruble
9,351,000
|
|
United States Dollar
288,856
|
|
Goldman Sachs International
|
|
|
(11,289
|
)
|
4/3/14
|
|
Croatian Kuna
1,825,000
|
|
Euro
237,661
|
|
Citibank NA
|
|
|
4,643
|
|
4/11/14
|
|
Kenyan Shilling
61,574,000
|
|
United States Dollar
668,193
|
|
Standard Chartered Bank
|
|
|
2,720
|
|
7/17/14
|
|
Armenian Dram
504,260,000
|
|
United States Dollar
1,151,016
|
|
VTB Capital PLC
|
|
|
7,932
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(362,718
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
Month/Year
|
|
Contracts
|
|
Position
|
|
Aggregate Cost
|
|
|
Value
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
9/13
|
|
2 U.S. 10-Year Deliverable Interest Rate Swap
|
|
Short
|
|
$
|
(198,250
|
)
|
|
$
|
(189,281
|
)
|
|
$
|
8,969
|
|
10/13
|
|
14 Platinum
|
|
Long
|
|
|
932,820
|
|
|
|
1,000,510
|
|
|
|
67,690
|
|
12/13
|
|
24 Gold
|
|
Long
|
|
|
3,190,080
|
|
|
|
3,151,200
|
|
|
|
(38,880
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
37,779
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Notional
Amount
(000s
omitted)
|
|
|
Fund
Pays/
Receives
Floating
Rate
|
|
Floating
Rate Index
|
|
Annual
Fixed Rate
|
|
|
Termination
Date
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
Bank of America
|
|
HUF
|
139,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
5.13
|
%
|
|
|
12/21/16
|
|
|
$
|
6,787
|
|
Bank of America
|
|
HUF
|
117,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
6.95
|
|
|
|
1/17/17
|
|
|
|
56,344
|
|
Bank of America
|
|
HUF
|
117,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.91
|
|
|
|
1/17/17
|
|
|
|
(74,731
|
)
|
Bank of America
|
|
PLN
|
838
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
4.34
|
|
|
|
7/30/17
|
|
|
|
8,985
|
|
Bank of America
|
|
PLN
|
838
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.35
|
|
|
|
7/30/17
|
|
|
|
573
|
|
Bank of America
|
|
PLN
|
2,560
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
3.83
|
|
|
|
11/14/17
|
|
|
|
28,655
|
|
Bank of America
|
|
PLN
|
2,560
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.61
|
|
|
|
11/14/17
|
|
|
|
(10,907
|
)
|
Bank of America
|
|
PLN
|
2,900
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.52
|
|
|
|
11/16/17
|
|
|
|
(14,038
|
)
|
Barclays Bank PLC
|
|
PLN
|
2,900
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
3.81
|
|
|
|
11/16/17
|
|
|
|
31,769
|
|
Barclays Bank PLC
|
|
PLN
|
4,890
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
3.82
|
|
|
|
11/19/17
|
|
|
|
54,884
|
|
Barclays Bank PLC
|
|
PLN
|
4,890
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.53
|
|
|
|
11/19/17
|
|
|
|
(16,102
|
)
|
BNP Paribas
|
|
PLN
|
2,147
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
4.25
|
|
|
|
8/7/17
|
|
|
|
36,214
|
|
BNP Paribas
|
|
PLN
|
2,147
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.60
|
|
|
|
8/7/17
|
|
|
|
(4,814
|
)
|
BNP Paribas
|
|
PLN
|
400
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
3.85
|
|
|
|
11/13/17
|
|
|
|
4,572
|
|
BNP Paribas
|
|
PLN
|
400
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.38
|
|
|
|
11/13/17
|
|
|
|
(379
|
)
|
Citibank NA
|
|
PLN
|
2,130
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
3.82
|
|
|
|
11/19/17
|
|
|
|
23,627
|
|
Citibank NA
|
|
PLN
|
2,130
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.60
|
|
|
|
11/19/17
|
|
|
|
(9,352
|
)
|
Credit Suisse International
|
|
HUF
|
46,530
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
6.93
|
|
|
|
12/16/16
|
|
|
|
22,470
|
|
Credit Suisse International
|
|
HUF
|
46,530
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.32
|
|
|
|
12/16/16
|
|
|
|
(25,452
|
)
|
Credit Suisse International
|
|
HUF
|
80,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
5.12
|
|
|
|
1/16/17
|
|
|
|
14,573
|
|
Credit Suisse International
|
|
HUF
|
80,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.63
|
|
|
|
1/16/17
|
|
|
|
(47,451
|
)
|
Credit Suisse International
|
|
HUF
|
67,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
5.87
|
|
|
|
1/20/17
|
|
|
|
20,369
|
|
30
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Notional
Amount
(000s
omitted)
|
|
|
Fund
Pays/
Receives
Floating
Rate
|
|
Floating
Rate Index
|
|
Annual
Fixed Rate
|
|
|
Termination
Date
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
Credit Suisse International
|
|
HUF
|
67,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.75
|
%
|
|
|
1/20/17
|
|
|
$
|
(40,993
|
)
|
Deutsche Bank
|
|
HUF
|
69,250
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
7.01
|
|
|
|
1/19/17
|
|
|
|
33,816
|
|
Deutsche Bank
|
|
HUF
|
69,250
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.98
|
|
|
|
1/19/17
|
|
|
|
(44,853
|
)
|
Deutsche Bank
|
|
PLN
|
550
|
|
|
Pays
|
|
6-month PLN WIBOR
|
|
|
3.79
|
|
|
|
11/16/17
|
|
|
|
5,865
|
|
Deutsche Bank
|
|
PLN
|
550
|
|
|
Receives
|
|
6-month PLN WIBOR
|
|
|
3.60
|
|
|
|
11/16/17
|
|
|
|
(2,334
|
)
|
JPMorgan Chase Bank
|
|
HUF
|
173,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
6.93
|
|
|
|
12/19/16
|
|
|
|
83,481
|
|
JPMorgan Chase Bank
|
|
HUF
|
173,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.26
|
|
|
|
12/19/16
|
|
|
|
(92,866
|
)
|
JPMorgan Chase Bank
|
|
HUF
|
103,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
6.94
|
|
|
|
12/20/16
|
|
|
|
49,849
|
|
JPMorgan Chase Bank
|
|
HUF
|
103,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.34
|
|
|
|
12/20/16
|
|
|
|
(56,658
|
)
|
JPMorgan Chase Bank
|
|
HUF
|
139,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.36
|
|
|
|
12/21/16
|
|
|
|
(76,922
|
)
|
JPMorgan Chase Bank
|
|
HUF
|
80,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
6.99
|
|
|
|
12/22/16
|
|
|
|
39,437
|
|
JPMorgan Chase Bank
|
|
HUF
|
80,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.30
|
|
|
|
12/22/16
|
|
|
|
(43,363
|
)
|
JPMorgan Chase Bank
|
|
HUF
|
78,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
5.10
|
|
|
|
12/27/16
|
|
|
|
3,771
|
|
JPMorgan Chase Bank
|
|
HUF
|
78,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.37
|
|
|
|
12/27/16
|
|
|
|
(43,131
|
)
|
JPMorgan Chase Bank
|
|
HUF
|
82,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
5.09
|
|
|
|
1/20/17
|
|
|
|
14,556
|
|
JPMorgan Chase Bank
|
|
HUF
|
82,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.75
|
|
|
|
1/20/17
|
|
|
|
(50,171
|
)
|
Morgan Stanley & Co. International PLC
|
|
HUF
|
72,000
|
|
|
Pays
|
|
6-month HUF BUBOR
|
|
|
6.94
|
|
|
|
12/19/16
|
|
|
|
34,803
|
|
Morgan Stanley & Co. International PLC
|
|
HUF
|
72,000
|
|
|
Receives
|
|
6-month HUF BUBOR
|
|
|
7.26
|
|
|
|
12/19/16
|
|
|
|
(38,650
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(117,767
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HUF -
|
|
Hungarian Forint
|
|
|
PLN -
|
|
Polish Zloty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps Buy Protection
|
|
Reference
Entity
|
|
Counterparty
|
|
Notional
Amount
(000s omitted)
|
|
|
Contract
Annual
Fixed Rate*
|
|
|
Termination
Date
|
|
|
Market
Value
|
|
|
Unamortized
Upfront
Payments
Received
(Paid)
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
Austria
|
|
Barclays Bank PLC
|
|
$
|
2,200
|
|
|
|
0.44
|
%
|
|
|
12/20/13
|
|
|
$
|
(4,740
|
)
|
|
$
|
|
|
|
$
|
(4,740
|
)
|
Austria
|
|
Barclays Bank PLC
|
|
|
1,000
|
|
|
|
1.42
|
|
|
|
3/20/14
|
|
|
|
(10,623
|
)
|
|
|
|
|
|
|
(10,623
|
)
|
China
|
|
Bank of America
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
3/20/17
|
|
|
|
(2,859
|
)
|
|
|
(10,855
|
)
|
|
|
(13,714
|
)
|
China
|
|
Barclays Bank PLC
|
|
|
863
|
|
|
|
1.00
|
(1)
|
|
|
3/20/17
|
|
|
|
(4,935
|
)
|
|
|
(17,049
|
)
|
|
|
(21,984
|
)
|
China
|
|
Deutsche Bank
|
|
|
316
|
|
|
|
1.00
|
(1)
|
|
|
3/20/17
|
|
|
|
(1,807
|
)
|
|
|
(5,933
|
)
|
|
|
(7,740
|
)
|
China
|
|
Deutsche Bank
|
|
|
369
|
|
|
|
1.00
|
(1)
|
|
|
3/20/17
|
|
|
|
(2,110
|
)
|
|
|
(6,928
|
)
|
|
|
(9,038
|
)
|
Croatia
|
|
BNP Paribas
|
|
|
870
|
|
|
|
1.00
|
(1)
|
|
|
12/20/17
|
|
|
|
72,004
|
|
|
|
(51,417
|
)
|
|
|
20,587
|
|
Croatia
|
|
Citibank NA
|
|
|
1,500
|
|
|
|
1.00
|
(1)
|
|
|
12/20/17
|
|
|
|
124,143
|
|
|
|
(87,589
|
)
|
|
|
36,554
|
|
Egypt
|
|
Bank of America
|
|
|
1,400
|
|
|
|
1.00
|
(1)
|
|
|
9/20/15
|
|
|
|
170,892
|
|
|
|
(28,646
|
)
|
|
|
142,246
|
|
Egypt
|
|
Citibank NA
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
96,996
|
|
|
|
(22,906
|
)
|
|
|
74,090
|
|
Egypt
|
|
Deutsche Bank
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
113,162
|
|
|
|
(26,851
|
)
|
|
|
86,311
|
|
31
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Entity
|
|
Counterparty
|
|
Notional
Amount
(000s omitted)
|
|
|
Contract
Annual
Fixed Rate*
|
|
|
Termination
Date
|
|
|
Market
Value
|
|
|
Unamortized
Upfront
Payments
Received
(Paid)
|
|
|
Net Unrealized
Appreciation
(Depreciation)
|
|
Egypt
|
|
Deutsche Bank
|
|
$
|
300
|
|
|
|
1.00
|
%
(1)
|
|
|
6/20/20
|
|
|
$
|
96,996
|
|
|
$
|
(20,367
|
)
|
|
$
|
76,629
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
96,996
|
|
|
|
(23,046
|
)
|
|
|
73,950
|
|
Guatemala
|
|
Citibank NA
|
|
|
1,286
|
|
|
|
1.00
|
(1)
|
|
|
9/20/20
|
|
|
|
137,106
|
|
|
|
(70,495
|
)
|
|
|
66,611
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
7,007
|
|
|
|
(10,672
|
)
|
|
|
(3,665
|
)
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
1,958
|
|
|
|
(2,348
|
)
|
|
|
(390
|
)
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
1,958
|
|
|
|
(2,685
|
)
|
|
|
(727
|
)
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
5,873
|
|
|
|
(6,919
|
)
|
|
|
(1,046
|
)
|
Lebanon
|
|
Citibank NA
|
|
|
1,200
|
|
|
|
3.30
|
|
|
|
9/20/14
|
|
|
|
(34,683
|
)
|
|
|
|
|
|
|
(34,683
|
)
|
Lebanon
|
|
Citibank NA
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
4,905
|
|
|
|
(7,320
|
)
|
|
|
(2,415
|
)
|
Lebanon
|
|
Citibank NA
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
7,007
|
|
|
|
(10,672
|
)
|
|
|
(3,665
|
)
|
Lebanon
|
|
Citibank NA
|
|
|
1,000
|
|
|
|
1.00
|
(1)
|
|
|
12/20/14
|
|
|
|
14,015
|
|
|
|
(21,666
|
)
|
|
|
(7,651
|
)
|
Lebanon
|
|
Citibank NA
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
5,873
|
|
|
|
(6,164
|
)
|
|
|
(291
|
)
|
Lebanon
|
|
Credit Suisse International
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
3,915
|
|
|
|
(4,637
|
)
|
|
|
(722
|
)
|
Lebanon
|
|
Credit Suisse International
|
|
|
800
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
15,662
|
|
|
|
(18,442
|
)
|
|
|
(2,780
|
)
|
Lebanon
|
|
Credit Suisse International
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
2,519
|
|
|
|
(2,491
|
)
|
|
|
28
|
|
Lebanon
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
3,916
|
|
|
|
(4,281
|
)
|
|
|
(365
|
)
|
Lebanon
|
|
Deutsche Bank
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
|
6/20/15
|
|
|
|
2,519
|
|
|
|
(2,491
|
)
|
|
|
28
|
|
Lebanon
|
|
HSBC Bank USA
|
|
|
1,250
|
|
|
|
1.00
|
(1)
|
|
|
12/20/17
|
|
|
|
135,541
|
|
|
|
(156,249
|
)
|
|
|
(20,708
|
)
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,100
|
|
|
|
1.85
|
|
|
|
12/20/14
|
|
|
|
(24,520
|
)
|
|
|
|
|
|
|
(24,520
|
)
|
Philippines
|
|
Barclays Bank PLC
|
|
|
655
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
(6,565
|
)
|
|
|
(6,217
|
)
|
|
|
(12,782
|
)
|
Philippines
|
|
Citibank NA
|
|
|
800
|
|
|
|
1.84
|
|
|
|
12/20/14
|
|
|
|
(17,712
|
)
|
|
|
|
|
|
|
(17,712
|
)
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
656
|
|
|
|
1.00
|
(1)
|
|
|
3/20/15
|
|
|
|
(6,575
|
)
|
|
|
(6,227
|
)
|
|
|
(12,802
|
)
|
Thailand
|
|
Barclays Bank PLC
|
|
|
1,900
|
|
|
|
0.97
|
|
|
|
9/20/19
|
|
|
|
39,253
|
|
|
|
|
|
|
|
39,253
|
|
Thailand
|
|
Citibank NA
|
|
|
1,600
|
|
|
|
0.86
|
|
|
|
12/20/14
|
|
|
|
(10,393
|
)
|
|
|
|
|
|
|
(10,393
|
)
|
Thailand
|
|
Citibank NA
|
|
|
900
|
|
|
|
0.95
|
|
|
|
9/20/19
|
|
|
|
19,639
|
|
|
|
|
|
|
|
19,639
|
|
Thailand
|
|
JPMorgan Chase Bank
|
|
|
800
|
|
|
|
0.87
|
|
|
|
12/20/14
|
|
|
|
(5,317
|
)
|
|
|
|
|
|
|
(5,317
|
)
|
Tunisia
|
|
Barclays Bank PLC
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
|
9/20/17
|
|
|
|
32,204
|
|
|
|
(26,618
|
)
|
|
|
5,586
|
|
Tunisia
|
|
Citibank NA
|
|
|
360
|
|
|
|
1.00
|
(1)
|
|
|
9/20/17
|
|
|
|
33,124
|
|
|
|
(28,691
|
)
|
|
|
4,433
|
|
Tunisia
|
|
Deutsche Bank
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
|
6/20/17
|
|
|
|
42,781
|
|
|
|
(30,770
|
)
|
|
|
12,011
|
|
Tunisia
|
|
Goldman Sachs International
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
9/20/17
|
|
|
|
27,603
|
|
|
|
(20,139
|
)
|
|
|
7,464
|
|
Tunisia
|
|
Nomura International PLC
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
|
12/20/17
|
|
|
|
39,603
|
|
|
|
(35,918
|
)
|
|
|
3,685
|
|
Uruguay
|
|
Citibank NA
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
19,943
|
|
|
|
(15,768
|
)
|
|
|
4,175
|
|
Uruguay
|
|
Deutsche Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
|
6/20/20
|
|
|
|
39,885
|
|
|
|
(30,797
|
)
|
|
|
9,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,282,159
|
|
|
$
|
(830,264
|
)
|
|
$
|
451,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32
*
|
The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) or paid by the Fund (as a buyer of protection)
annually on the notional amount of the credit default swap contract.
|
(1)
|
Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.
|
Total Return Swaps
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Fund Receives
|
|
Fund Pays
|
|
Termination
Date
|
|
Net
Unrealized
Appreciation
|
Citibank NA
|
|
Total return on GTQ 2,350,000 Banco de Guatemala, 0%, due 12/3/13
|
|
3-month USD-LIBOR-BBA + 50 bp on $290,020 (Notional Amount) plus Notional Amount at termination date
|
|
12/5/13
|
|
$ 5,418
|
|
|
|
|
|
|
|
|
|
|
|
$ 5,418
|
|
|
|
|
|
|
|
|
|
Written options activity for the fiscal year to date ended July 31, 2013 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount of
Contracts
(000s omitted)
|
|
|
Principal
Amount
of
Contracts
(000s omitted)
|
|
|
Principal
Amount of
Contracts
(000s omitted)
|
|
|
Premiums
Received
|
|
Outstanding, beginning of period
|
|
INR
|
975,700
|
|
|
KRW
|
|
|
|
GBP
|
|
|
|
$
|
629,303
|
|
Options written
|
|
|
838,173
|
|
|
|
9,433,760
|
|
|
|
10,151
|
|
|
|
370,328
|
|
Options expired
|
|
|
(870,513
|
)
|
|
|
(9,433,760
|
)
|
|
|
|
|
|
|
(330,393
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding, end of period
|
|
INR
|
943,360
|
|
|
KRW
|
|
|
|
GBP
|
10,151
|
|
|
$
|
669,238
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GBP
|
|
-
|
|
British Pound Sterling
|
|
|
|
INR
|
|
-
|
|
Indian Rupee
|
|
|
|
KRW
|
|
-
|
|
South Korean Won
|
At July 31, 2013, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:
Commodity Risk: The Fund invests in commodities-linked derivative investments, including commodity futures contracts and options thereon and forward
commodity contracts, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative investments are used to enhance total return and/or as a substitute for the purchase or sale of commodities.
Credit Risk: The Fund enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.
Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts, options on currencies, total return swaps and cross-currency
swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
33
Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures, interest rate
swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at July 31, 2013 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
Risk
|
|
Derivative
|
|
Asset
Derivative
|
|
|
Liability
Derivative
|
|
Commodity
|
|
Futures Contracts*
|
|
$
|
67,690
|
|
|
$
|
(38,880
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
67,690
|
|
|
$
|
(38,880
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit
|
|
Credit Default Swaps
|
|
$
|
1,414,998
|
|
|
$
|
(132,839
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,414,998
|
|
|
$
|
(132,839
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Exchange
|
|
Currency Options Purchased
|
|
$
|
113,948
|
|
|
$
|
|
|
Foreign Exchange
|
|
Currency Options Written
|
|
|
|
|
|
|
(142,139
|
)
|
Foreign Exchange
|
|
Foward Foreign Currency Exchange Contracts
|
|
|
407,681
|
|
|
|
(1,446,977
|
)
|
Foreign Exchange
|
|
Total Return Swaps
|
|
|
5,418
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
527,047
|
|
|
$
|
(1,589,116
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
|
|
Futures Contracts*
|
|
$
|
8,969
|
|
|
$
|
|
|
Interest Rate
|
|
Interest Rate Swaps
|
|
|
575,400
|
|
|
|
(693,167
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
584,369
|
|
|
$
|
(693,167
|
)
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.
|
The cost and unrealized appreciation (depreciation) of investments of the Fund at July 31, 2013, as determined on a federal income tax basis, were
as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
410,493,678
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
10,386,505
|
|
Gross unrealized depreciation
|
|
|
(6,777,912
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
3,608,593
|
|
|
|
|
|
|
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.
34
At July 31, 2013, the hierarchy of inputs used in valuing the Funds 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
|
|
$
|
|
|
|
$
|
160,166,362
|
|
|
$
|
362,045
|
|
|
$
|
160,528,407
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
|
45,047,095
|
|
|
|
|
|
|
|
45,047,095
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
9,584,729
|
|
|
|
|
|
|
|
9,584,729
|
|
Mortgage Pass-Throughs
|
|
|
|
|
|
|
93,221,254
|
|
|
|
|
|
|
|
93,221,254
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
473,798
|
|
|
|
|
|
|
|
473,798
|
|
Corporate Bonds & Notes
|
|
|
|
|
|
|
2,548,311
|
|
|
|
|
|
|
|
2,548,311
|
|
Foreign Corporate Bonds & Notes
|
|
|
|
|
|
|
2,342,719
|
|
|
|
|
|
|
|
2,342,719
|
|
Foreign Government Bonds
|
|
|
|
|
|
|
41,706,909
|
|
|
|
|
|
|
|
41,706,909
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
9,473,440
|
|
|
|
|
|
|
|
9,473,440
|
|
Common Stocks
|
|
|
|
|
|
|
1,423,707
|
|
|
|
2,164,164
|
|
|
|
3,587,871
|
|
Precious Metals
|
|
|
2,170,110
|
|
|
|
|
|
|
|
|
|
|
|
2,170,110
|
|
Currency Call Options Purchased
|
|
|
|
|
|
|
47,280
|
|
|
|
|
|
|
|
47,280
|
|
Currency Put Options Purchased
|
|
|
|
|
|
|
66,668
|
|
|
|
|
|
|
|
66,668
|
|
Short-Term Investments -
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities
|
|
|
|
|
|
|
28,908,558
|
|
|
|
|
|
|
|
28,908,558
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
5,685,807
|
|
|
|
|
|
|
|
5,685,807
|
|
Repurchase Agreements
|
|
|
|
|
|
|
3,104,637
|
|
|
|
|
|
|
|
3,104,637
|
|
Other
|
|
|
|
|
|
|
5,604,678
|
|
|
|
|
|
|
|
5,604,678
|
|
Total Investments
|
|
$
|
2,170,110
|
|
|
$
|
409,405,952
|
|
|
$
|
2,526,209
|
|
|
$
|
414,102,271
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
407,681
|
|
|
$
|
|
|
|
$
|
407,681
|
|
Futures Contracts
|
|
|
76,659
|
|
|
|
|
|
|
|
|
|
|
|
76,659
|
|
Swap Contracts
|
|
|
|
|
|
|
1,995,816
|
|
|
|
|
|
|
|
1,995,816
|
|
Total
|
|
$
|
2,246,769
|
|
|
$
|
411,809,449
|
|
|
$
|
2,526,209
|
|
|
$
|
416,582,427
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Call Options Written
|
|
$
|
|
|
|
$
|
(548
|
)
|
|
$
|
|
|
|
$
|
(548
|
)
|
Currency Put Options Written
|
|
|
|
|
|
|
(141,591
|
)
|
|
|
|
|
|
|
(141,591
|
)
|
Securities Sold Short
|
|
|
|
|
|
|
(868,200
|
)
|
|
|
|
|
|
|
(868,200
|
)
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
(1,446,977
|
)
|
|
|
|
|
|
|
(1,446,977
|
)
|
Futures Contracts
|
|
|
(38,880
|
)
|
|
|
|
|
|
|
|
|
|
|
(38,880
|
)
|
Swap Contracts
|
|
|
|
|
|
|
(826,006
|
)
|
|
|
|
|
|
|
(826,006
|
)
|
Total
|
|
$
|
(38,880
|
)
|
|
$
|
(3,283,322
|
)
|
|
$
|
|
|
|
$
|
(3,322,202
|
)
|
*
|
None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund.
|
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3
assets for the fiscal year to date ended July 31, 2013 is not presented. At July 31, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the
Funds most recent financial statements included in its semiannual or annual report to shareholders.
35
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 Short Duration Diversified Income Fund
|
|
|
|
|
By:
|
|
/s/ Payson F. Swaffield
|
|
|
Payson F. Swaffield
|
|
|
President
|
|
|
Date:
|
|
September 23, 2013
|
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/ Payson F. Swaffield
|
|
|
Payson F. Swaffield
|
|
|
President
|
|
|
Date:
|
|
September 23, 2013
|
|
|
|
|
|
By:
|
|
/s/ James F. Kirchner
|
|
|
James F. Kirchner
|
|
|
Treasurer
|
|
|
Date:
|
|
September 23, 2013
|
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