UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21654
Pioneer Floating Rate Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Terrence J. Cullen, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: November 30
Date of reporting period: February 29, 2016
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
<PAGE>
ITEM 1. Schedule of Investments.
File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12 12-14 of Regulation S-X [17 CFR 210.12-12 12-14]. The
schedules need not be audited.
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Pioneer Floating
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Rate Trust
|
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NQ | February 29, 2016
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Ticker Symbol: PHD
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|
Principal
Amount
USD ($)
|
Value
|
|||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 138.9% of Net Assets*(a)
|
||||
|
AUTOMOBILES & COMPONENTS - 8.1%
|
||||
|
Auto Parts & Equipment - 6.3%
|
||||
|
2,851,858
|
Allison Transmission, Inc., Term Loan B-3, 3.5%, 8/23/19
|
$ 2,846,065
|
||
|
2,382,000
|
BBB Industries US Holdings, Inc., First Lien Initial Term Loan, 6.0%, 11/3/21
|
2,369,347
|
||
|
1,891,632
|
Cooper Standard Intermediate Holdco 2 LLC, Term Loan, 4.0%, 4/4/21
|
1,840,401
|
||
|
2,347,787
|
Crowne Group LLC, First Lien Initial Term Loan, 6.0%, 9/30/20
|
2,206,920
|
||
|
1,020,726
|
Electrical Components International, Inc., Term Loan B, 5.75%, 5/28/21
|
1,009,243
|
||
|
1,689,204
|
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
|
1,362,625
|
||
|
419,688
|
Gates Global LLC, Initial Dollar Term Loan, 4.25%, 7/6/21
|
370,025
|
||
|
1,678,750
|
Key Safety Systems, Inc., Initial Term Loan, 4.75%, 8/29/21
|
1,656,716
|
||
|
1,646,547
|
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
|
1,575,333
|
||
|
1,151,085
|
TI Group Automotive Systems LLC, Initial US Term Loan, 4.5%, 6/30/22
|
1,113,675
|
||
|
2,058,471
|
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
1,991,571
|
||
|
$ 18,341,921
|
||||
|
Automobile Manufacturers - 1.3%
|
||||
|
3,218,731
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 3,207,108
|
||
|
466,667
|
Visteon Corp., Initial Term Loan, 3.5%, 4/9/21
|
463,240
|
||
|
$ 3,670,348
|
||||
|
Tires & Rubber - 0.5%
|
||||
|
1,500,000
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/19
|
$ 1,499,296
|
||
|
Total Automobiles & Components
|
$ 23,511,565
|
|||
|
BANKS - 0.1%
|
||||
|
Thrifts & Mortgage Finance - 0.1%
|
||||
|
385,985
|
Ocwen Loan Servicing, Initial Term Loan, 5.5%, 2/15/18
|
$ 385,623
|
||
|
Total Banks
|
$ 385,623
|
|||
|
CAPITAL GOODS - 16.1%
|
||||
|
Aerospace & Defense - 5.0%
|
||||
|
1,073,822
|
Accudyne Industries Borrower SCA/Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
|
$ 885,231
|
||
|
1,243,750
|
Allion Science and Technology Corp., First Lien Term Loan, 5.5%, 8/19/21
|
1,190,891
|
||
|
1,571,455
|
BE Aerospace, Inc., Term Loan, 4.0%, 12/16/21
|
1,574,990
|
||
|
351,568
|
DAE Aviation Holdings, Inc., Initial Term Loan, 5.25%, 7/7/22
|
349,810
|
||
|
1,992,371
|
Digitalglobe, Inc., Term Loan, 4.75%, 1/31/20
|
1,964,976
|
||
|
1,398,572
|
DynCorp International, Inc., Term Loan, 6.25%, 7/7/16
|
1,335,636
|
||
|
248,159
|
IAP Worldwide Services, Inc., First Lien Term Loan, 8.0%, 7/18/19
|
249,400
|
||
|
915,238
|
TASC, Inc., First Lien New Term Loan, 7.0%, 5/22/20
|
913,705
|
||
|
889,974
|
TASC, Inc., First Lien Term Loan, 7.0%, 5/22/20
|
888,483
|
||
|
1,862,000
|
Turbocombustor Technology, Inc., Initial Term Loan, 5.5%, 12/2/20
|
1,647,870
|
||
|
1,514,170
|
Vencore, Inc. (fka SI Organization, Inc.), First Lien Initial Term Loan, 5.75%, 11/23/19
|
1,486,411
|
||
|
1,806,328
|
WP CPP Holdings LLC, First Lien Term B-3 Loan, 4.5%, 12/28/19
|
1,652,790
|
||
|
334,900
|
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
294,154
|
||
|
$ 14,434,347
|
||||
|
Building Products - 3.8%
|
||||
|
1,298,288
|
Armstrong World Industries, Inc., Term Loan B, 3.5%, 3/15/20
|
$ 1,294,501
|
||
|
1,745,990
|
Builders FirstSource, Inc., Term Loan B, 6.0%, 7/29/22
|
1,697,975
|
||
|
392,150
|
NCI Building Systems, Inc., Tranche B Term Loan, 4.25%, 6/24/19
|
389,209
|
||
|
1,653,733
|
Nortek, Inc., Incremental-1 Term Loan, 3.5%, 10/30/20
|
1,591,718
|
||
|
1,875,000
|
Quanex Building Products Corp., Initial Term Loan, 6.25%, 11/2/22
|
1,836,328
|
||
|
472,673
|
Quikrete Holdings, Inc., Initial First Lien Loan, 4.0%, 9/28/20
|
462,983
|
||
|
884,211
|
Quikrete Holdings, Inc., Initial Second Lien Loan, 7.0%, 3/26/21
|
875,645
|
||
|
1,701,450
|
Summit Materials LLC, Restatement Effective Date Term Loan, 4.25%, 7/18/22
|
1,680,891
|
||
|
1,463,938
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
1,343,163
|
||
|
$ 11,172,413
|
||||
|
Construction Machinery & Heavy Trucks - 1.7%
|
||||
|
494,554
|
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
|
$ 469,826
|
|
286,800
|
Manitowoc Co., Inc., Term Loan B, 3.25%, 1/3/21
|
283,215
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Construction Machinery & Heavy Trucks - (continued)
|
||||
|
1,125,000
|
Manitowoc Co., Inc., Term B Loan, 5.75%, 3/3/23
|
$ 1,124,297
|
||
|
1,615,950
|
Navistar, Inc., Tranche B Term Loan, 6.5%, 8/7/20
|
1,389,717
|
||
|
879,377
|
Terex Corp., Dollar Term Loan, 4.5%, 12/15/22
|
857,393
|
||
|
845,236
|
Terex Corp., US Term Loan, 3.5%, 8/13/21
|
824,105
|
||
|
$ 4,948,553
|
||||
|
Electrical Components & Equipment - 1.4%
|
||||
|
1,961,122
|
Pelican Products, Inc., First Lien Tem Loan, 5.25%, 4/10/20
|
$ 1,863,066
|
||
|
596,962
|
Southwire Company LLC, Initial Term Loan, 3.25%, 2/10/21
|
560,398
|
||
|
1,593,010
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
1,553,185
|
||
|
$ 3,976,649
|
||||
|
Industrial Conglomerates - 1.3%
|
||||
|
265,654
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
|
$ 261,337
|
||
|
872,061
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
|
857,890
|
||
|
92,247
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
|
90,748
|
||
|
998,008
|
Filtration Group Corp., First Lien Term Loan, 4.25%, 11/23/20
|
958,712
|
||
|
378,990
|
Filtration Group Corp., Second Lien Initial Term Loan, 8.25%, 11/22/21
|
368,449
|
||
|
168,340
|
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 5.0%, 4/28/20
|
167,568
|
||
|
393,915
|
Kleopatra Holdings 2 SCA, Initial US Borrower Dollar Term Loan, 5.0%, 4/28/20
|
392,109
|
||
|
727,161
|
Milacron LLC, Term Loan, 4.5%, 9/28/20
|
714,436
|
||
|
$ 3,811,249
|
||||
|
Industrial Machinery - 2.3%
|
||||
|
875,009
|
Gardner Denver, Inc., Initial Dollar Term Loan, 4.25%, 7/30/20
|
$ 724,945
|
||
|
1,980,000
|
Mueller Water Products, Inc., Initial Term Loan, 4.0%, 11/24/21
|
1,984,950
|
||
|
1,745,625
|
NN, Inc., Initial Term Loan, 5.75%, 10/19/22
|
1,715,076
|
||
|
712,008
|
Schaeffler AG, Facility B-USD, 4.25%, 5/15/20
|
713,269
|
||
|
1,583,147
|
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19
|
1,566,326
|
||
|
$ 6,704,566
|
||||
|
Trading Companies & Distributors - 0.6%
|
||||
|
1,206,273
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 1,204,765
|
||
|
711,169
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
711,836
|
||
|
$ 1,916,601
|
||||
|
Total Capital Goods
|
$ 46,964,378
|
|||
|
COMMERCIAL & PROFESSIONAL SERVICES - 6.1%
|
||||
|
Diversified Support Services - 1.9%
|
||||
|
804,661
|
DH Publishing LP, Term B-3 Loan, 4.0%, 8/19/22
|
$ 787,059
|
||
|
1,065,130
|
InfoGroup, Inc., Term Loan B, 7.0%, 5/26/18
|
981,917
|
||
|
702,804
|
KAR Auction Services, Inc., Tranche B-2 Term Loan, 3.5%, 3/11/21
|
699,286
|
||
|
586,471
|
Language Line LLC, First Lien Initial Term Loan, 6.5%, 7/7/21
|
581,828
|
||
|
1,500,000
|
Language Line LLC, Second Lien Initial Term Loan, 10.75%, 7/7/22
|
1,476,562
|
||
|
975,000
|
Ryan LLC, Tranche B Term Loan, 6.75%, 8/7/20
|
944,531
|
||
|
$ 5,471,183
|
||||
|
Environmental & Facilities Services - 2.2%
|
||||
|
566,079
|
ADS Waste Holdings, Inc., Initial Tranche B-2 Term Loan, 3.75%, 10/9/19
|
$ 550,865
|
||
|
500,000
|
Infiltrator Systems Integrated LLC, Second Lien Term Loan, 9.75%, 5/26/23
|
495,000
|
||
|
906,607
|
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
|
905,473
|
||
|
739,413
|
Waste Industries USA, Inc., Initial Term Loan, 4.25%, 2/27/20
|
736,178
|
||
|
482,718
|
Wastequip LLC, Term Loan, 5.5%, 8/9/19
|
475,477
|
||
|
1,750,897
|
WCA Waste Corp. (WCA Waste Systems, Inc.), Term Loan, 4.0%, 3/23/18
|
1,731,200
|
||
|
474,138
|
Wheelabrator Technologies, Inc., First Lien Term B Loan, 5.0%, 12/17/21
|
432,651
|
||
|
21,073
|
Wheelabrator Technologies, Inc., First Lien Term C Loan, 5.0%, 12/17/21
|
19,229
|
||
|
1,500,000
|
Wheelabrator Technologies, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
|
1,162,500
|
||
|
$ 6,508,573
|
||||
|
Human Resource & Employment Services - 0.2%
|
||||
|
616,752
|
On Assignment, Inc., Initial Term B Loan, 3.75%, 6/3/22
|
$ 616,624
|
||
|
Security & Alarm Services - 1.8%
|
||||
|
999,376
|
Allied Security Holdings LLC, Second Lien Closing Date Term Loan, 4.25%, 2/12/21
|
$ 962,732
|
||
|
177,878
|
Garda Security, Term B Delayed Draw Loan, 5.5%, 11/6/20
|
167,763
|
|
804,722
|
Garda Security, Term B Loan, 5.5%, 11/6/20
|
758,962
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Security & Alarm Services - (continued)
|
||||
|
1,160,657
|
GEO Group, Inc., Term Loan, 3.25%, 4/3/20
|
$ 1,157,029
|
||
|
1,058,021
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
1,010,410
|
||
|
1,117,250
|
Protection One, Inc., 2012 Term Loan, 5.0%, 7/1/21
|
1,086,060
|
||
|
$ 5,142,956
|
||||
|
Total Commercial & Professional Services
|
$ 17,739,336
|
|||
|
CONSUMER DURABLES & APPAREL - 2.8%
|
||||
|
Home Furnishings - 0.7%
|
||||
|
1,867,406
|
Serta Simmons Holdings LLC, Term Loan, 4.25%, 10/1/19
|
$ 1,850,399
|
||
|
170,004
|
Tempur Pedic International, Inc., New Term Loan B, 3.5%, 3/18/20
|
169,765
|
||
|
$ 2,020,164
|
||||
|
Homebuilding - 0.2%
|
||||
|
1,000,000(b)(c)
|
WAICCS Las Vegas 3 LLC, First Lien Term Loan, 7.75%, 8/1/10
|
$ 450,000
|
||
|
4,500,000(b)(c)
|
WAICCS Las Vegas 3 LLC, Second Lien Term Loan, 13.5%, 8/1/10
|
248
|
||
|
$ 450,248
|
||||
|
Housewares & Specialties - 1.6%
|
||||
|
977,545
|
Prestige Brands, Inc., Term B-3 Loan, 3.5%, 9/3/21
|
$ 976,934
|
||
|
2,219,391
|
Reynolds Group Holdings, Inc., Incremental US Term Loan, 4.5%, 12/1/18
|
2,215,647
|
||
|
1,554,074
|
World Kitchen LLC, US Term Loan, 5.5%, 3/4/19
|
1,530,763
|
||
|
$ 4,723,344
|
||||
|
Leisure Products - 0.3%
|
||||
|
600,000
|
Bombardier Recreational Products, Inc., Term B Loan, 3.75%, 1/30/19
|
$ 583,375
|
||
|
409,094
|
Marine Acquisition Corp., Term Loan, 5.25%, 1/30/21
|
407,730
|
||
|
$ 991,105
|
||||
|
Total Consumer Durables & Apparel
|
$ 8,184,861
|
|||
|
CONSUMER SERVICES - 10.3%
|
||||
|
Casinos & Gaming - 1.7%
|
||||
|
1,015,890
|
CityCenter Holdings LLC, Term B Loan, 4.25%, 10/16/20
|
$ 1,011,551
|
||
|
696,500
|
Eldorado Resorts, Inc., Initial Term Loan, 4.25%, 7/25/22
|
695,049
|
||
|
1,455,000
|
MGM Resorts International (MGM Grand Detroit LLC), Term B Loan, 3.5%, 12/20/19
|
1,443,936
|
||
|
1,930,500
|
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 8/1/10
|
1,765,443
|
||
|
$ 4,915,979
|
||||
|
Education Services - 3.0%
|
||||
|
3,422,881
|
Bright Horizons Family Solutions LLC, Term B Loan, 4.0%, 1/30/20
|
$ 3,420,030
|
||
|
1,745,625
|
KC MergerSub, Inc., First Lien Initial Term Loan, 6.0%, 8/12/22
|
1,704,166
|
||
|
1,458,249
|
Laureate Education, Inc., Series 2018 Extended Term Loan, 5.0%, 6/15/18
|
1,119,206
|
||
|
2,525,070
|
Nord Anglia Education Finance LLC, Initial Term Loan, 5.0%, 3/31/21
|
2,398,817
|
||
|
$ 8,642,219
|
||||
|
Hotels, Resorts & Cruise Lines - 0.7%
|
||||
|
555,921
|
Hilton Worldwide Finance LLC, Initial Term Loan, 3.5%, 10/26/20
|
$ 554,879
|
||
|
519,750
|
NCL Corp., Ltd., Term B Loan, 4.0%, 11/19/21
|
518,771
|
||
|
967,575
|
Sabre, Inc., Term B Loan, 4.0%, 2/19/19
|
958,625
|
||
|
$ 2,032,275
|
||||
|
Leisure Facilities - 1.7%
|
||||
|
850,457
|
Cedar Fair LP, US Term Facility, 3.25%, 3/6/20
|
$ 853,115
|
||
|
2,216,250
|
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
|
2,088,816
|
||
|
611,925
|
Life Time Fitness, Inc., Closing Date Term Loan, 4.25%, 6/10/22
|
592,037
|
||
|
1,492,500
|
Six Flags Theme Parks, Inc., Tranche B Term Loan, 3.5%, 6/30/22
|
1,489,391
|
||
|
$ 5,023,359
|
||||
|
Restaurants - 2.3%
|
||||
|
755,156
|
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-2 Loan, 3.75%, 12/10/21
|
$ 752,639
|
||
|
2,106,428
|
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
2,097,739
|
||
|
1,756,563
|
NPC International, Inc., Term Loan, 4.75%, 12/28/18
|
1,735,703
|
||
|
1,975,000
|
Red Lobster Management LLC, First Lien Initial Term Loan, 6.25%, 7/28/21
|
1,940,438
|
||
|
$ 6,526,519
|
||||
|
Specialized Consumer Services - 0.9%
|
||||
|
2,475,000
|
Creative Artists Agency LLC, Initial Term Loan, 5.5%, 12/17/21
|
$ 2,461,853
|
||
|
382,826
|
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4.0%, 4/2/20
|
247,880
|
||
|
$ 2,709,733
|
||||
|
Total Consumer Services
|
$ 29,850,084
|
|||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
DIVERSIFIED FINANCIALS - 3.2%
|
||||
|
Asset Management & Custody Banks - 0.5%
|
||||
|
1,506,312
|
Vistra Group, Ltd., USD Term Loan, 4.75%, 10/26/22
|
$ 1,483,717
|
||
|
Consumer Finance - 0.5%
|
||||
|
1,375,500
|
Trans Union LLC, Term B-2 Loan, 3.5%, 4/9/21
|
$ 1,343,262
|
||
|
Investment Banking & Brokerage - 0.9%
|
||||
|
1,191,963
|
Duff & Phelps Corp., Initial Term Loan, 4.75%, 4/23/20
|
$ 1,169,117
|
||
|
733,125
|
Guggenheim Partners Investment Management Holdings LLC, Initial Term Loan, 4.25%, 7/22/20
|
724,877
|
||
|
104,504
|
LPL Holdings, Inc., 2021 Tranche B Term Loan, 4.25%, 3/29/21
|
97,711
|
||
|
746,250
|
MJ Acquisition Corp., Term Loan, 4.0%, 6/1/22
|
734,124
|
||
|
$ 2,725,829
|
||||
|
Other Diversified Financial Services - 1.0%
|
||||
|
325,000
|
Delos Finance S.a.r.l., Term Loan, 3.5%, 3/6/21
|
$ 323,497
|
||
|
800,855
|
Fly Funding II S.a.r.l., Term Loan, 3.5%, 8/9/19
|
791,220
|
||
|
1,998,750
|
Livingston International, Inc., First Lien Initial Term B-1 Loan, 5.0%, 4/18/19
|
1,848,844
|
||
|
$ 2,963,561
|
||||
|
Specialized Finance - 0.3%
|
||||
|
742,500
|
DBRS, Ltd., Initial Term Loan, 6.25%, 3/4/22
|
$ 735,539
|
||
|
Total Diversified Financials
|
$ 9,251,908
|
|||
|
ENERGY - 2.6%
|
||||
|
Coal & Consumable Fuels - 0.1%
|
||||
|
783,333
|
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/4/16
|
$ 156,667
|
||
|
Integrated Oil & Gas - 0.6%
|
||||
|
65,909
|
Glenn Pool Oil & Gas Trust 1, Term Loan, 4.5%, 5/2/16
|
$ 65,744
|
||
|
1,000,000
|
Seadrill Operating LP (Seadrill Partners Finco LLC), Initial Term Loan, 4.0%, 2/21/21
|
423,125
|
||
|
1,441,584
|
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.0%, 6/27/22
|
1,261,386
|
||
|
$ 1,750,255
|
||||
|
Oil & Gas Drilling - 0.4%
|
||||
|
2,500,000
|
Jonah Energy LLC, Second Lien Initial Term Loan, 7.5%, 5/12/21
|
$ 1,100,000
|
||
|
408,710
|
Pacific Drilling SA, Term Loan, 4.5%, 6/3/18
|
82,764
|
||
|
$ 1,182,764
|
||||
|
Oil & Gas Equipment & Services - 0.2%
|
||||
|
1,655,704
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 687,117
|
||
|
Oil & Gas Exploration & Production - 0.4%
|
||||
|
821,214
|
EP Energy LLC, Tranche B-3 Term Loan, 3.5%, 5/24/18
|
$ 398,289
|
||
|
748,258
|
Penn Products Terminals LLC, Tranche B Term Loan, 4.75%, 4/13/22
|
665,950
|
||
|
$ 1,064,239
|
||||
|
Oil & Gas Refining & Marketing - 0.5%
|
||||
|
905,288
|
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3.75%, 10/1/21
|
$ 907,928
|
||
|
570,163
|
Western Refining, Inc., Term Loan 2013, 4.25%, 11/12/20
|
502,456
|
||
|
$ 1,410,384
|
||||
|
Oil & Gas Storage & Transportation - 0.4%
|
||||
|
1,000,000
|
Energy Transfer Equity LP, 2013 Term Loan, 3.59%, 12/2/19
|
$ 811,875
|
||
|
689,500
|
Southcross Energy Partners LP, Initial Term Loan, 5.25%, 8/4/21
|
370,606
|
||
|
$ 1,182,481
|
||||
|
Total Energy
|
$ 7,433,907
|
|||
|
FOOD & STAPLES RETAILING - 2.6%
|
||||
|
Drug Retail - 0.6%
|
||||
|
1,718,825
|
Hearthside Group Holdings LLC, Term Loan, 4.5%, 6/2/21
|
$ 1,632,884
|
||
|
Food Distributors - 1.2%
|
||||
|
447,355
|
CTI Foods Holding Co., LLC, First Lien Term Loan, 4.5%, 6/29/20
|
$ 424,987
|
||
|
1,000,000
|
CTI Foods Holding Co., LLC, Second Lien Term Loan, 8.25%, 6/28/21
|
900,000
|
||
|
2,437,569
|
Mill US Acquisition, First Lien Term Loan, 5.0%, 7/3/20
|
2,310,360
|
||
|
$ 3,635,347
|
||||
|
Food Retail - 0.8%
|
||||
|
1,975,063
|
Albertson's LLC, Term B-2 Loan, 5.5%, 3/21/19
|
$ 1,949,003
|
||
|
495,000
|
Packers Holdings LLC, Term Loan, 5.0%, 12/2/21
|
494,072
|
||
|
$ 2,443,075
|
||||
|
Total Food & Staples Retailing
|
$ 7,711,306
|
|||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
FOOD, BEVERAGE & TOBACCO - 3.4%
|
||||
|
Packaged Foods & Meats - 3.4%
|
||||
|
835,611
|
AdvancePierre Foods, Inc., First Lien Term Loan, 5.75%, 7/10/17
|
$ 836,059
|
||
|
1,100,000
|
AdvancePierre Foods, Inc., Second Lien Term Loan, 9.5%, 10/10/17
|
1,087,625
|
||
|
1,000,000
|
Del Monte Foods, Inc., Second Lien Initial Term Loan, 8.25%, 8/18/21
|
765,000
|
||
|
1,250,000
|
Dole Food Co., Inc., Tranche B Term Loan, 4.5%, 11/1/18
|
1,223,437
|
||
|
1,000,000
|
JBS USA LLC, Incremental Term Loan, 4.0%, 10/30/22
|
975,417
|
||
|
1,500,000
|
Maple Holdings Acquisition Corp. (aka Keuring Green Mountain, Inc.), Term Loan B, 5.25%, 3/3/23
|
1,473,975
|
||
|
1,945,801
|
Pinnacle Foods Finance LLC, New Term Loan G, 3.0%, 4/29/20
|
1,930,340
|
||
|
294,279
|
Post Holdings, Inc., Series A Incremental Term Loan, 3.75%, 6/2/21
|
294,332
|
||
|
1,481,250
|
Shearer's Foods LLC, First Lien Term Loan, 4.938%, 6/30/21
|
1,436,812
|
||
|
$ 10,022,997
|
||||
|
Total Food, Beverage & Tobacco
|
$ 10,022,997
|
|||
|
HEALTH CARE EQUIPMENT & SERVICES - 13.1%
|
||||
|
Health Care Equipment - 0.5%
|
||||
|
864,621
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.5%, 5/4/18
|
$ 847,020
|
||
|
723,188
|
Physio-Control International, Inc., First Lien Initial Term Loan, 5.5%, 6/6/22
|
717,311
|
||
|
$ 1,564,331
|
||||
|
Health Care Facilities - 3.0%
|
||||
|
425,000
|
Acadia Healthcare Co., Inc., Tranche B-2 Term Loan, 4.5%, 2/16/23
|
$ 425,664
|
||
|
689,500
|
AmSurg Corp., Initial Term Loan, 3.5%, 7/16/21
|
685,813
|
||
|
299,405
|
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 3.69%, 12/31/18
|
291,358
|
||
|
280,985
|
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
|
267,901
|
||
|
517,004
|
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
|
492,204
|
||
|
1,572,491
|
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
|
1,535,637
|
||
|
1,721,934
|
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21
|
1,631,532
|
||
|
1,546,324
|
RCHP, Inc., Term B-2 Loan (2015), 6.0%, 4/23/19
|
1,523,129
|
||
|
423,877
|
Select Medical Corp., Series E, Tranche B Term Loan, 5.0%, 6/1/18
|
421,228
|
||
|
1,500,000
|
Vizient, Inc., Initial Term Loan, 6.25%, 2/13/23
|
1,489,376
|
||
|
$ 8,763,842
|
||||
|
Health Care Services - 6.0%
|
||||
|
985,000
|
Aegis Toxicology Sciences Corp., Initial First Lien Term Loan, 5.5%, 2/24/21
|
$ 817,550
|
||
|
1,115,881
|
Alliance Healthcare Services, Inc., Initial Term Loan, 4.25%, 6/3/19
|
1,026,610
|
||
|
266,956
|
Ardent Legacy Acquisitions, Inc. (Ardent Mergeco LLC), Term Loan, 6.5%, 8/4/21
|
265,621
|
||
|
375,000
|
Bioscrip, Inc., Term Loan, 6.5%, 7/31/20
|
317,812
|
||
|
625,000
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
529,687
|
||
|
865,683
|
BSN Medical Luxembourg Holding S.a.r.l. (P & F Capital), Facility Term Loan B-1A, 4.0%, 8/28/19
|
854,862
|
||
|
1,245,037(d)
|
CCS Medical, Inc., Second Lien Term Loan, 12.25% (7.0% PIK 5.25% cash), 3/31/16
|
217,882
|
||
|
875,649
|
DaVita HealthCare Partners, Inc., Term Loan B2, 3.5%, 6/24/21
|
874,774
|
||
|
1,163,926
|
Emergency Medical Services Corp., Initial Term Loan, 4.25%, 5/25/18
|
1,162,471
|
||
|
475,000
|
Envision Healthcare Corp. ( fka Emergency Medical Secvices Corp.), Tranche B-2 Term Loan, 4.5%, 10/28/22
|
473,169
|
||
|
1,477,500
|
Genex Holdings, Inc., First Lien Term B Loan, 5.25%, 5/28/21
|
1,422,094
|
||
|
348,250
|
Genoa, Healthcare Co., LLC, Initial First Lien Term Loan, 4.5%, 4/29/22
|
336,932
|
||
|
748,125
|
Global Healthcare Exchange LLC, Initial Term Loan, 5.5%, 8/15/22
|
744,852
|
||
|
995,000
|
HC Group Holdings III, Inc., Initial Term Loan, 6.0%, 4/7/22
|
992,927
|
||
|
1,250,231
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
|
1,224,185
|
||
|
353,777
|
National Surgical Hospitals, Inc., Term Loan, 4.5%, 6/1/22
|
340,617
|
||
|
691,268
|
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
|
675,139
|
||
|
907,938
|
Pharmaceutical Product Development, First Lien Term B Loan, 4.25%, 8/18/22
|
886,374
|
||
|
1,516,460
|
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
|
1,455,801
|
||
|
990,000
|
Surgery Center Holdings, Inc., Initial Term Loan, 5.25%, 11/3/20
|
973,294
|
||
|
1,420,000
|
US Renal Care, Inc., First Lien Term Loan, 5.25%, 12/30/22
|
1,410,533
|
||
|
593,754
|
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17
|
359,221
|
||
|
$ 17,362,407
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Health Care Supplies - 1.6%
|
||||
|
973,629
|
Alere, Inc., Term Loan B, 4.25%, 6/20/22
|
$ 973,096
|
||
|
1,350,000
|
Greatbatch, Ltd., Term B Loan, 5.25%, 10/27/22
|
1,333,125
|
||
|
434,647
|
Halyard Health, Inc., Term Loan, 4.0%, 11/1/21
|
431,025
|
||
|
700,341
|
Immucor, Inc. (fka IVD Acquisition Corp.), Term B-2 Loan, 5.0%, 8/19/18
|
639,062
|
||
|
1,336,650
|
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4.25%, 5/16/22
|
1,278,171
|
||
|
$ 4,654,479
|
||||
|
Health Care Technology - 1.9%
|
||||
|
1,243,750
|
ConvaTec, Inc., Dollar Term Loan, 4.25%, 6/15/20
|
$ 1,224,058
|
||
|
2,045,399
|
Emdeon, Inc., Term B-2 Loan, 3.75%, 11/2/18
|
2,012,673
|
||
|
197,500
|
Emdeon, Inc., Term B-3 Loan, 3.75%, 11/2/18
|
193,961
|
||
|
1,125,775
|
Medical Card System, Inc., Term Loan, 7.5%, 5/31/19
|
976,680
|
||
|
1,094,146
|
Truven Health Analytics, Inc., Tranche B Term Loan, 4.5%, 6/6/19
|
1,092,067
|
||
|
$ 5,499,439
|
||||
|
Managed Health Care - 0.1%
|
||||
|
446,775(b)
|
MMM Holdings, Inc., MMM Term Loan, 9.75%, 12/12/17
|
$ 245,726
|
||
|
324,804(b)
|
MSO of Puerto Rico, Inc., Term Loan, 9.75%, 12/12/17
|
178,642
|
||
|
$ 424,368
|
||||
|
Total Health Care Equipment & Services
|
$ 38,268,866
|
|||
|
HOUSEHOLD & PERSONAL PRODUCTS - 1.7%
|
||||
|
Household Products - 0.7%
|
||||
|
814,493
|
Spectrum Brands, Inc., USD Term Loan, 3.5%, 6/23/22
|
$ 814,239
|
||
|
1,029,415
|
SRAM LLC, First Lien Term Loan, 5.5%, 4/10/20
|
792,650
|
||
|
74,142
|
Wash Multifamily Parent, Inc., First Lien Initial Canadian Term Loan, 4.25%, 5/16/22
|
71,825
|
||
|
423,358
|
Wash Multifamily Parent, Inc., First Lien Initial US Term Loan, 4.25%, 5/16/22
|
410,128
|
||
|
$ 2,088,842
|
||||
|
Personal Products - 1.0%
|
||||
|
2,013,329
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
$ 1,994,035
|
||
|
798,000
|
Party City Holdings, Inc., Term Loan, 4.25%, 8/19/22
|
768,740
|
||
|
$ 2,762,775
|
||||
|
Total Household & Personal Products
|
$ 4,851,617
|
|||
|
INSURANCE - 3.6%
|
||||
|
Insurance Brokers - 1.3%
|
||||
|
1,070,445
|
Cooper Gay Swett & Crawford, Ltd. (CGSC of Delaware Holdings Corp.), First Lien Term Loan, 5.0%, 4/16/20
|
$ 1,059,741
|
||
|
1,433,056
|
Integro, Ltd., Term Loan B-1, 6.75%, 10/31/22
|
1,382,899
|
||
|
216,944
|
Integro, Ltd., Term Loan B-2, 6.75%, 10/31/22
|
209,351
|
||
|
987,506
|
National Financial Partners Corp., 2014 Specified Refinancing Term Loan, 4.5%, 7/1/20
|
943,890
|
||
|
$ 3,595,881
|
||||
|
Multi-Line Insurance - 0.1%
|
||||
|
362,810
|
Alliant Holdings I LLC, Term Loan B, 4.5%, 8/12/22
|
$ 351,812
|
||
|
Property & Casualty Insurance - 2.2%
|
||||
|
2,399,340
|
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18
|
$ 2,313,864
|
||
|
500,000
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
458,750
|
||
|
1,985,000
|
Hyperion Insurance Group, Ltd., Initial Term Loan, 5.5%, 4/29/22
|
1,865,072
|
||
|
1,916,083
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
1,859,201
|
||
|
$ 6,496,887
|
||||
|
Total Insurance
|
$ 10,444,580
|
|||
|
MATERIALS - 13.7%
|
||||
|
Aluminum - 0.7%
|
||||
|
2,164,125
|
Novelis, Inc., New Term Loan, 4.0%, 6/2/22
|
$ 2,003,618
|
||
|
Commodity Chemicals - 1.0%
|
||||
|
628,650
|
Axiall Holdco, Inc., Term Loan B, 4.0%, 2/28/22
|
$ 626,031
|
||
|
1,633,500
|
Eco Services Operations LLC, First Lien Term Loan, 4.75%, 12/1/21
|
1,519,155
|
||
|
803,442
|
Tronox Pigments (Netherlands) BV, Closing Date Term Loan, 4.5%, 3/19/20
|
710,293
|
||
|
$ 2,855,479
|
||||
|
Construction Materials - 0.2%
|
||||
|
592,500
|
Penn Engineering & Manufacturing Corp., Incremental Tranche B Term Loan, 4.0%, 8/27/21
|
$ 590,648
|
||
|
Diversified Chemicals - 2.5%
|
||||
|
1,678,181
|
Axalta Coating Systems Dutch Holding B BV & Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 3.75%, 2/1/20
|
$ 1,663,047
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Diversified Chemicals - (continued)
|
||||
|
735,000
|
Azelis Finance SA (Azelis US Holdings, Inc.), First Lien Dollar Term Loan, 6.5%, 12/16/22
|
$ 709,275
|
||
|
1,731,507
|
Nexeo Solutions LLC, Initial Term Loan, 5.0%, 9/8/17
|
1,688,219
|
||
|
638,466
|
Orion Engineered Carbons GmbH (OEC Finance US LLC), Initial Dollar Term Loan, 5.0%, 7/25/21
|
636,471
|
||
|
625,000
|
Plaskolite LLC, First Lien Term Loan, 5.75%, 11/3/22
|
612,500
|
||
|
325,000
|
Royal Holdings, Inc., Second Lien Initial Term Loan, 8.5%, 6/19/23
|
307,125
|
||
|
1,830,413
|
Univar USA, Inc., Initial Dollar Term Loan, 4.25%, 7/1/22
|
1,741,180
|
||
|
$ 7,357,817
|
||||
|
Diversified Metals & Mining - 1.9%
|
||||
|
2,158,688
|
Chemstralia Pty, Ltd. (Chemstralia Finco LLC), Initial Term Loan, 7.25%, 2/28/22
|
$ 2,127,602
|
||
|
2,198,902
|
FMG Resources (August 2006) Pty, Ltd. (FMG America Finance, Inc.), Term Loan, 4.25%, 6/30/19
|
1,698,652
|
||
|
982,500
|
Hi-Crush Partners LP, Advance, 4.75%, 4/28/21
|
700,031
|
||
|
1,003,275
|
US Silica Co., Term Loan, 4.0%, 7/23/20
|
888,734
|
||
|
$ 5,415,019
|
||||
|
Fertilizers & Agricultural Chemicals - 0.5%
|
||||
|
1,741,250
|
Methanol Holdings (Trinidad), Ltd. (Methanol Holdings (Delaware) LLC), Initial Term Loan, 4.25%, 6/30/22
|
$ 1,584,538
|
||
|
Metal & Glass Containers - 1.8%
|
||||
|
1,495,757
|
BWay Intermediate Co., Inc., Initial Term Loan, 5.5%, 8/14/20
|
$ 1,428,448
|
||
|
798,000
|
Prolampac Intermediate, Inc., First Lien Term B Loan, 7.25%, 8/18/22
|
780,045
|
||
|
1,278,875
|
Tank Holding Corp., Initial Term Loan, 6.75%, 3/16/22
|
1,228,788
|
||
|
1,940,250
|
Tekni-Plex, Inc., USD Term Loan, 4.5%, 6/1/22
|
1,883,983
|
||
|
$ 5,321,264
|
||||
|
Paper Packaging - 1.3%
|
||||
|
1,250,196
|
Berry Plasctics Corp., Term F Loan, 4.0%, 10/3/22
|
$ 1,244,181
|
||
|
1,321,512
|
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
|
1,265,347
|
||
|
159,356
|
Caraustar Industries, Inc., Term Loan, 8.0%, 5/1/19
|
152,583
|
||
|
1,215,813
|
Onex Wizard Acquisition Co. I S.a.r.l. (aka SIG Combibloc Group), Term Loan, 4.25%, 3/11/22
|
1,186,430
|
||
|
$ 3,848,541
|
||||
|
Paper Products - 0.9%
|
||||
|
1,653,881
|
Appvion, Inc., Term Commitment, 5.75%, 6/28/19
|
$ 1,488,149
|
||
|
478,778
|
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
|
458,031
|
||
|
500,000
|
Ranpak Corp., Second Lien Initial Term Loan, 8.25%, 10/3/22
|
415,000
|
||
|
201,746
|
Ranpak Corp., Tranche B-1 USD Term Loan, 4.25%, 10/1/21
|
192,163
|
||
|
$ 2,553,343
|
||||
|
Specialty Chemicals - 1.8%
|
||||
|
349,487
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 350,360
|
||
|
1,477,500
|
Ferro Corp., Term Loan, 4.0%, 7/30/21
|
1,461,802
|
||
|
150,051
|
Huntsman International LLC, 2015 Extended Term B Dollar Loan, 3.52%, 4/19/19
|
146,487
|
||
|
987,342
|
Macdermid, Inc., First Lien Tranche B Term Loan, 5.5%, 6/7/20
|
903,110
|
||
|
594,000
|
Macdermid, Inc., Tranche B-2 Term Loan, 5.5%, 6/7/20
|
543,325
|
||
|
1,940,000
|
PQ Corp., 2014 Term Loan, 4.0%, 8/7/17
|
1,907,262
|
||
|
$ 5,312,346
|
||||
|
Steel - 1.1%
|
||||
|
1,995,427
|
Atkore International, Inc., First Lien Initial Term Loan, 4.5%, 4/9/21
|
$ 1,900,644
|
||
|
777,008
|
JMC Steel Group, Inc., Term Loan, 4.75%, 4/1/17
|
768,753
|
||
|
655,574
|
TMS International Corp., Term B Loan, 4.5%, 10/16/20
|
419,567
|
||
|
$ 3,088,964
|
||||
|
Total Materials
|
$ 39,931,577
|
|||
|
MEDIA - 13.4%
|
||||
|
Advertising - 1.8%
|
||||
|
3,057,663
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
$ 2,681,571
|
||
|
630,400
|
Checkout Holding Corp., First Lien Term B Loan, 4.5%, 4/9/21
|
483,832
|
||
|
1,000,000
|
Checkout Holding Corp., Second Lien Initial Loan, 7.75%, 4/11/22
|
572,500
|
||
|
1,988,500
|
Crossmark Holdings, Inc., First Lien Term Loan, 4.5%, 12/20/19
|
1,444,977
|
||
|
$ 5,182,880
|
||||
|
Broadcasting - 2.7%
|
||||
|
388,781
|
CBS Outdoor Americas Capital LLC (CBS Outdoor Americas Capital Corp.), Term Loan, 3.0%, 2/1/21
|
$ 384,104
|
||
|
273,614
|
Entercom Radio LLC, Term B-2 Loan, 4.0%, 11/23/18
|
271,448
|
||
|
532,752
|
Gray Television, Inc., Initial Term Loan, 3.94%, 6/13/21
|
527,674
|
||
|
853,056
|
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
|
789,077
|
||
|
1,872,000
|
MCC Iowa LLC, Tranche H Term Loan, 3.25%, 1/29/21
|
1,832,220
|
||
|
995,000
|
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 3.5%, 7/30/21
|
980,904
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Broadcasting - (continued)
|
||||
|
1,012,995
|
Sinclair Television Group, Inc., Tranche B Term Loan, 3.0%, 4/9/20
|
$ 994,001
|
||
|
2,145,122
|
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
|
2,090,376
|
||
|
$ 7,869,804
|
||||
|
Cable & Satellite - 3.9%
|
||||
|
1,993,875
|
Charter Communications Operating LLC, Term F Loan, 3.0%, 1/3/21
|
$ 1,956,490
|
||
|
2,666,250
|
Endemol, Term Loan, 6.75%, 8/13/21
|
2,206,322
|
||
|
246,263
|
Learfield Communications, Inc., First Lien 2014 Replacement Term Loan, 4.25%, 10/9/20
|
243,492
|
||
|
652,381
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
633,625
|
||
|
3,380,615
|
Telesat Canada, US Term B-2 Loan, 3.5%, 3/28/19
|
3,324,270
|
||
|
1,117,713
|
Virgin Media Investment Holdings, Ltd., Facility F, 3.5%, 6/30/23
|
1,086,069
|
||
|
2,017,633
|
WideOpenWest Finance LLC, Replacement Term B Loan, 4.5%, 4/1/19
|
1,935,037
|
||
|
$ 11,385,305
|
||||
|
Movies & Entertainment - 2.3%
|
||||
|
1,155,014
|
AMC Entertainment, Inc., Initial Term Loan, 4.0%, 12/15/22
|
$ 1,155,426
|
||
|
1,248,750
|
CDS US Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.), First Lien Initial Term Loan, 5.0%, 7/8/22
|
1,165,084
|
||
|
1,000,000
|
CDS US Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.), Second Lien Initial Term Loan, 9.25%, 7/10/23
|
895,000
|
||
|
284,598
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
283,886
|
||
|
647,059
|
Kasima LLC, Term Loan, 3.25%, 5/17/21
|
641,093
|
||
|
1,072,500
|
Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.5%, 5/14/20
|
1,048,369
|
||
|
1,668,759
|
WMG Acquisitions Corp., Tranche B Refinancing Term Loan, 3.75%, 7/1/20
|
1,605,660
|
||
|
$ 6,794,518
|
||||
|
Publishing - 2.7%
|
||||
|
1,600,783
|
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20
|
$ 1,542,755
|
||
|
696,500
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
|
670,381
|
||
|
208,600
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
204,491
|
||
|
1,456,672
|
McGraw-Hill Global Education Holdings LLC, Term B Loan Refinancing, 4.75%, 3/22/19
|
1,431,180
|
||
|
1,837,500
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
1,815,106
|
||
|
813,440
|
Quincy Newspapers, Inc., Term B Loan, 7.0%, 11/2/22
|
797,171
|
||
|
1,389,500
|
Springer SBM Two GmbH, Initial Term B9 Loan, 4.75%, 8/14/20
|
1,295,709
|
||
|
$ 7,756,793
|
||||
|
Total Media
|
$ 38,989,300
|
|||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.3%
|
||||
|
Biotechnology - 0.8%
|
||||
|
911,936
|
Alkermes, Inc., 2019 Term Loan, 3.5%, 9/25/19
|
$ 884,578
|
||
|
1,874,287
|
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
|
1,630,630
|
||
|
$ 2,515,208
|
||||
|
Life Sciences Tools & Services - 0.7%
|
||||
|
1,995,000
|
Albany Molecular Research, Inc., Term Loan B, 5.75%, 7/16/21
|
$ 1,972,556
|
||
|
Pharmaceuticals - 1.8%
|
||||
|
1,500,000
|
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
|
$ 1,442,345
|
||
|
1,312,365
|
Endo Luxembourg Finance Company I S.a.r.l., Term Loan B, 3.75%, 9/26/22
|
1,298,421
|
||
|
1,058,875
|
Patheon, Inc., Term Loan, 4.25%, 3/11/21
|
1,010,696
|
||
|
852,793
|
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 3.75%, 12/11/19
|
804,025
|
||
|
639,595
|
Valeant Pharmaceuticals International, Inc., Series D-2 Term Loan B, 3.5%, 2/13/19
|
607,615
|
||
|
$ 5,163,102
|
||||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 9,650,866
|
|||
|
REAL ESTATE - 2.8%
|
||||
|
Real Estate Services - 1.4%
|
||||
|
1,994,726
|
Altisource Solutions S.a.r.l, Term Loan B, 4.5%, 12/9/20
|
$ 1,695,517
|
||
|
1,294,663
|
GCA Services Group, Inc., First Lien Term Loan, 4.25%, 11/1/19
|
1,290,820
|
||
|
1,200,000
|
GCA Services Group, Inc., Term Loan, 4.75%, 3/1/23
|
1,196,442
|
||
|
$ 4,182,779
|
||||
|
Retail REIT - 0.8%
|
||||
|
1,265,919
|
DTZ US Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
|
$ 1,220,557
|
||
|
1,000,000
|
DTZ US Borrower LLC, Second Lien Initial Term Loan, 9.25%, 11/4/22
|
986,250
|
||
|
$ 2,206,807
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Specialized REIT - 0.6%
|
||||
|
1,990,000
|
Communications Sales & Leasing, Inc. (CSL Capital, LLC), Term Loan, 5.0%, 10/24/22
|
$ 1,860,650
|
||
|
Total Real Estate
|
$ 8,250,236
|
|||
|
RETAILING - 4.3%
|
||||
|
Apparel Retail - 0.4%
|
||||
|
518,433
|
Hudson's Bay Co., Term Loan B, 4.75%, 9/30/22
|
$ 517,542
|
||
|
781,250
|
Men's Wearhouse, Inc., Term Loan B, 4.5%, 6/18/21
|
718,750
|
||
|
$ 1,236,292
|
||||
|
Automotive Retail - 0.8%
|
||||
|
1,490,605
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 1,475,699
|
||
|
970,000
|
Hertz Corp., Tranche B-1 Term Loan, 3.75%, 3/11/18
|
965,352
|
||
|
$ 2,441,051
|
||||
|
Computer & Electronics Retail - 0.3%
|
||||
|
196,500
|
Rent-A-Center, Inc., 2014 Term Loan, 3.75%, 3/19/21
|
$ 177,832
|
||
|
1,055,596
|
Targus Group International, Inc., Term Loan, 15.0%, 5/24/16
|
633,358
|
||
|
$ 811,190
|
||||
|
Home Improvement Retail - 0.5%
|
||||
|
1,442,275
|
Apex Tool Group LLC, Term Loan, 4.5%, 1/31/20
|
$ 1,362,950
|
||
|
Homefurnishing Retail - 0.4%
|
||||
|
1,300,000
|
Mattress Holdings Corp., 2016 Incremental Term Loan, 5.25%, 10/20/21
|
$ 1,290,792
|
||
|
Specialty Stores - 1.9%
|
||||
|
1,230,168
|
Dollar Tree, Inc., Term B-1 Loan, 3.5%, 7/6/22
|
$ 1,230,059
|
||
|
1,500,000
|
PetCo Animal Supplies, Inc., Tranche B-1 Term Loan, 5.75%, 1/26/23
|
1,471,313
|
||
|
1,985,000
|
Petsmart, Inc., Tranche B-1 Loan, 4.25%, 3/11/22
|
1,925,809
|
||
|
750,000
|
Staples, Inc., First Lien Term Loan, 4.75%, 2/2/22
|
745,447
|
||
|
$ 5,372,628
|
||||
|
Total Retailing
|
$ 12,514,903
|
|||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.7%
|
||||
|
Semiconductor Equipment - 0.3%
|
||||
|
597,558
|
Entegris, Inc., Tranche B Term Loan, 3.5%, 4/30/21
|
$ 586,354
|
||
|
393,009
|
VAT Lux II S.a.r.l., Term Loan, 4.25%, 2/11/21
|
383,675
|
||
|
$ 970,029
|
||||
|
Semiconductors - 1.4%
|
||||
|
1,500,000
|
Avago Technologies, Term Loan B, 3.5%, 2/1/23
|
$ 1,477,734
|
||
|
1,751,496
|
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan, 4.5%, 5/7/21
|
1,751,496
|
||
|
799,639
|
Microsemi Corp., Term B Loan, 5.25%, 1/15/23
|
798,840
|
||
|
$ 4,028,070
|
||||
|
Total Semiconductors & Semiconductor Equipment
|
$ 4,998,099
|
|||
|
SOFTWARE & SERVICES - 10.6%
|
||||
|
Application Software - 4.1%
|
||||
|
988,443
|
Applied Systems, Inc., First Lien Term Loan, 4.25%, 1/25/21
|
$ 961,261
|
||
|
988,007
|
Applied Systems, Inc., Second Lien Term Loan, 7.5%, 1/24/22
|
910,201
|
||
|
975,894
|
Epiq Systems, Inc., Term Loan, 4.5%, 8/27/20
|
961,256
|
||
|
1,125,183
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
1,113,931
|
||
|
1,042,282
|
Infor (US), Inc., Tranche B-5 Term Loan, 3.75%, 6/3/20
|
962,157
|
||
|
1,883,731
|
Serena Software, Inc., Term Loan, 7.5%, 4/14/20
|
1,726,754
|
||
|
1,056,648
|
STG-Fairway Acquisitions, Inc., First Lien Term Loan, 6.25%, 6/30/22
|
1,030,231
|
||
|
1,411,935
|
Verint Systems, Inc., Tranche B Incremental Term Loan, 3.5%, 9/6/19
|
1,407,699
|
||
|
1,000,000
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17
|
1,000,000
|
||
|
1,845,991
|
Vertafore, Inc., Term Loan, 4.25%, 10/3/19
|
1,832,530
|
||
|
$ 11,906,020
|
||||
|
Data Processing & Outsourced Services - 1.0%
|
||||
|
1,000,000
|
First Data Corp., 2018 B Second New Term Loan, 3.93%, 9/24/18
|
$ 988,750
|
||
|
1,187,493
|
First Data Corp., 2018 Dollar Term Loan, 3.93%, 3/23/18
|
1,174,346
|
||
|
750,000
|
First Data Corp., New 2022 B Dollar Term Loan, 3.75%, 7/8/22
|
733,406
|
||
|
$ 2,896,502
|
||||
|
Home Entertainment Software - 0.4%
|
||||
|
1,255,414
|
MA Financeco LLC, Initial Tranche B Term Loan, 5.25%, 11/19/21
|
$ 1,202,059
|
||
|
Internet Software & Services - 1.1%
|
||||
|
1,050,000
|
Match Group, Inc., Term B-1 Loan, 5.5%, 11/16/22
|
$ 1,050,438
|
||
|
1,517,942
|
Vocus Valor Companies, Inc., First Lien Initial Term Loan, 6.0%, 5/30/21
|
1,511,933
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Internet Software & Services - (continued)
|
||||
|
491,205
|
Zayo Group LLC (Zayo Capital, Inc.), Term Loan, 3.75%, 5/6/21
|
$ 484,012
|
||
|
$ 3,046,383
|
||||
|
IT Consulting & Other Services - 2.8%
|
||||
|
1,641,341
|
Booz Allen Hamilton, Inc., Initial Tranche B Term Loan, 3.75%, 7/31/19
|
$ 1,646,471
|
||
|
3,447,500
|
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
|
2,492,973
|
||
|
1,000,000
|
Evergreen Skills Lux S.a.r.l., Second Lien Initial Term Loan, 9.25%, 4/28/22
|
443,750
|
||
|
477,233
|
Kronos, Inc., First Lien Incremental Term Loan, 4.5%, 10/30/19
|
464,705
|
||
|
657,908
|
Science Applications International Corp., Incremental Tranche B Loan, 3.75%, 5/4/22
|
658,456
|
||
|
1,371,563
|
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.5%, 9/18/21
|
1,333,845
|
||
|
1,162,500
|
Taxact, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
|
1,132,711
|
||
|
$ 8,172,911
|
||||
|
Systems Software - 1.2%
|
||||
|
1,237,500
|
AVG Technologies NV (AVG Corporate Services BV), Term Loan, 5.75%, 10/15/20
|
$ 1,217,391
|
||
|
1,255,875
|
MSC.Software Corp., Term Loan, 5.0%, 5/29/20
|
1,142,846
|
||
|
1,251,408
|
Rovi Solutions Corp., Term B Loan, 3.75%, 7/2/21
|
1,207,609
|
||
|
$ 3,567,846
|
||||
|
Total Software & Services
|
$ 30,791,721
|
|||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 2.9%
|
||||
|
Communications Equipment - 0.4%
|
||||
|
682,838
|
Audio Visual Services Group, Inc., First Lien Term Loan, 4.5%, 1/25/21
|
$ 652,110
|
||
|
498,750
|
Commscope, Inc., Tranche 5 Term Loan, 3.75%, 12/29/22
|
494,386
|
||
|
$ 1,146,496
|
||||
|
Electronic Components - 0.6%
|
||||
|
671,189
|
Generac Power Systems, Inc., Term Loan, 3.5%, 5/31/20
|
$ 657,485
|
||
|
1,215,813
|
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 5.75%, 3/31/22
|
1,201,628
|
||
|
$ 1,859,113
|
||||
|
Electronic Equipment & Instruments - 0.2%
|
||||
|
482,711
|
Sensus USA, Inc., Term Loan, 4.5%, 5/9/17
|
$ 465,212
|
||
|
Electronic Manufacturing Services - 0.6%
|
||||
|
1,915,750
|
4L Technologies, Inc. (fka Clover Holdings, Inc.), Term Loan, 7.0%, 5/8/20
|
$ 1,743,332
|
||
|
Technology Distributors - 1.1%
|
||||
|
498,718
|
CDW LLC (fka CDW Corp.), Term Loan, 3.25%, 4/29/20
|
$ 493,281
|
||
|
1,378,867
|
Deltek, Inc., First Lien Term Loan, 5.0%, 6/25/22
|
1,331,468
|
||
|
168,444
|
SS&C European Holdings S.a.r.l., Term B-2 Loan, 4.08%, 7/8/22
|
167,166
|
||
|
1,168,287
|
SS&C Technologies, Inc., Term B-1 Loan, 4.08%, 7/8/22
|
1,159,421
|
||
|
$ 3,151,336
|
||||
|
Total Technology Hardware & Equipment
|
$ 8,365,489
|
|||
|
TELECOMMUNICATION SERVICES - 3.4%
|
||||
|
Integrated Telecommunication Services - 1.8%
|
||||
|
1,240,625
|
GCI Holdings, Inc., New Term B Loan, 4.0%, 2/2/22
|
$ 1,238,299
|
||
|
1,000,000
|
Level 3 Financing, Inc., Tranche B 2022 Term Loan, 3.5%, 5/31/22
|
989,583
|
||
|
1,441,081
|
Securus Technologies Holdings, Inc., Initial First Lien Term Loan, 4.75%, 4/30/20
|
1,221,316
|
||
|
500,000
|
Securus Technologies Holdings, Inc., Term Loan B2, 5.25%, 4/30/20
|
425,000
|
||
|
1,386,161
|
West Corp., Term B-10 Loan, 3.25%, 6/30/18
|
1,364,935
|
||
|
$ 5,239,133
|
||||
|
Wireless Telecommunication Services - 1.6%
|
||||
|
298,500
|
Altice Financing SA, Dollar Denominated Tranche Loan, 5.25%, 2/4/22
|
$ 291,224
|
||
|
2,545,571
|
Altice US Finance I Corp. (Cequel Communications, LLC), Initial Term Loan, 4.25%, 12/14/22
|
2,504,842
|
||
|
720,343
|
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75%, 6/30/19
|
650,110
|
||
|
1,895,657
|
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
|
1,241,655
|
||
|
$ 4,687,831
|
||||
|
Total Telecommunication Services
|
$ 9,926,964
|
|||
|
TRANSPORTATION - 5.0%
|
||||
|
Air Freight & Logistics - 0.6%
|
||||
|
1,717,254
|
Dematic Corp., New Incremental Term Loan, 4.25%, 12/28/19
|
$ 1,694,358
|
||
|
Airlines - 2.7%
|
||||
|
2,947,500
|
American Airlines, Inc., 2015 New Term Loan, 3.25%, 6/27/20
|
$ 2,892,971
|
||
|
243,125
|
Continental Airlines, Inc. (United Air Lines, Inc.), Class B Term Loan, 3.25%, 4/1/19
|
241,504
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Airlines - (continued)
|
||||
|
1,455,000
|
Delta Air Lines, Inc., 2014 Term B-1 Loan, 3.25%, 10/18/18
|
$ 1,454,431
|
||
|
1,267,875
|
US Airways, Inc., Tranche B-1 Term Loan, 3.5%, 5/23/19
|
1,258,525
|
||
|
2,113,125
|
US Airways, Inc., Tranche B-2 Term Loan, 3.0%, 11/23/16
|
2,113,345
|
||
|
$ 7,960,776
|
||||
|
Marine - 0.9%
|
||||
|
1,721,810
|
Commercial Barge Line Co., Initial Term Loan, 9.75%, 11/12/20
|
$ 1,528,106
|
||
|
1,199,013
|
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
|
947,220
|
||
|
$ 2,475,326
|
||||
|
Trucking - 0.8%
|
||||
|
406,926
|
PODS LLC, Initial First Lien Term Loan, 4.5%, 2/2/22
|
$ 403,365
|
||
|
784,000
|
Syncreon Global Finance, Inc., Term Loan, 5.25%, 10/28/20
|
595,840
|
||
|
1,629,405
|
YRC Worldwide, Inc., Initial Term Loan, 8.0%, 2/13/19
|
1,303,524
|
||
|
$ 2,302,729
|
||||
|
Total Transportation
|
$ 14,433,189
|
|||
|
UTILITIES - 4.1%
|
||||
|
Electric Utilities - 2.3%
|
||||
|
1,030,692
|
Atlantic Power LP, Term Loan, 4.75%, 2/24/21
|
$ 1,014,587
|
||
|
2,193,750
|
Calpine Construction Finance Co., LP, Term B-1 Loan, 3.0%, 5/3/20
|
2,056,641
|
||
|
1,015,080
|
ExGen Renewables LLC, Term Loan, 5.25%, 2/6/21
|
1,015,080
|
||
|
80,325
|
Rhode Island State Energy Center LP, Term B Advance, 5.75%, 12/19/22
|
77,915
|
||
|
990,000
|
Southeast PowerGen LLC, Term Loan B, 4.5%, 12/2/21
|
923,175
|
||
|
1,900,332
|
Terra-Gen Finance Co., LLC, Term Loan B, 5.25%, 12/9/21
|
1,691,296
|
||
|
$ 6,778,694
|
||||
|
Independent Power Producers & Energy Traders - 1.5%
|
||||
|
483,750
|
Calpine Corp., Term Loan, 4.0%, 10/9/19
|
$ 470,326
|
||
|
1,651,700
|
Calpine Corp., Term Loan B, 3.5%, 5/27/22
|
1,571,769
|
||
|
1,050,000
|
Dynegy, Inc., Tranche B-2 Term Loan, 4.0%, 4/23/20
|
989,625
|
||
|
1,210,714
|
NRG Energy, Inc., 2013 Term Loan, 2.75%, 7/1/18
|
1,192,856
|
||
|
$ 4,224,576
|
||||
|
Water Utilities - 0.3%
|
||||
|
849,334
|
WTG Holdings III Corp., First Lien Term Loan, 4.75%, 1/15/21
|
$ 828,100
|
||
|
Total Utilities
|
$ 11,831,370
|
|||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
||||
|
(Cost $432,494,931)
|
$ 404,304,742
|
|||
|
COLLATERALIZED LOAN OBLIGATIONS - 2.5% of Net Assets
|
||||
|
BANKS - 2.5%
|
||||
|
Diversified Banks - 0.6%
|
||||
|
1,000,000(a)
|
Primus, Ltd., Series 2007-2A, Class D, 3.022%, 7/15/21 (144A)
|
$ 902,438
|
||
|
951,289(a)
|
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 5.136%, 2/27/21 (144A)
|
837,760
|
||
|
$ 1,740,198
|
||||
|
Thrifts & Mortgage Finance - 1.9%
|
||||
|
1,000,000(a)
|
ACA, Ltd., Series 2007-1A, Class D, 2.972%, 6/15/22 (144A)
|
$ 906,403
|
||
|
1,000,000(a)
|
Goldman Sachs Asset Management Plc, Series 2007-1A, Class D, 3.366%, 8/1/22 (144A)
|
961,282
|
||
|
1,000,000(a)
|
Gulf Stream - Sextant, Ltd., Series 2007-1A, Class D, 2.926%, 6/17/21 (144A)
|
957,373
|
||
|
1,000,000(a)
|
Landmark CDO, Ltd., Series 2007-9A, Class E, 4.122%, 4/15/21 (144A)
|
850,580
|
||
|
2,000,000(a)
|
Stone Tower, Ltd., Series 2007-6A, Class C, 1.97%, 4/17/21 (144A)
|
1,894,084
|
||
|
$ 5,569,722
|
||||
|
Total Banks
|
$ 7,309,920
|
|||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS
|
||||
|
(Cost $7,164,216)
|
$ 7,309,920
|
|||
|
CORPORATE BONDS & NOTES - 3.9% of Net Assets
|
||||
|
CAPITAL GOODS - 0.3%
|
||||
|
Trading Companies & Distributors - 0.3%
|
||||
|
900,000
|
United Rentals North America, Inc., 4.625%, 7/15/23
|
$ 900,000
|
||
|
Total Capital Goods
|
$ 900,000
|
|||
|
ENERGY - 0.3%
|
||||
|
Oil & Gas Equipment & Services - 0.2%
|
||||
|
720,000(a)
|
FTS International, Inc., 8.012%, 6/15/20 (144A)
|
$ 440,050
|
||
|
Oil & Gas Exploration & Production - 0.1%
|
||||
|
625,000
|
WPX Energy, Inc., 7.5%, 8/1/20
|
$ 393,750
|
||
|
Total Energy
|
$ 833,800
|
|||
|
HEALTH CARE EQUIPMENT & SERVICES - 0.4%
|
||||
|
Health Care Facilities - 0.4%
|
||||
|
1,000,000
|
CHS/Community Health Systems, Inc., 5.125%, 8/15/18
|
$ 1,003,750
|
||
|
Total Health Care Equipment & Services
|
$ 1,003,750
|
|||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
INSURANCE - 1.7%
|
||||
|
Reinsurance - 1.7%
|
||||
|
500,000(a)
|
Alamo Re, Ltd., 6.205%, 6/7/18 (144A) (Cat Bond)
|
$ 510,300
|
||
|
400,000(e)(f)
|
Berwick Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/1/18
|
404,480
|
||
|
250,000(e)(f)
|
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
252,500
|
||
|
250,000(a)
|
East Lane Re V, Ltd., 9.305%, 3/16/16 (144A) (Cat Bond)
|
250,350
|
||
|
250,000(e)(f)
|
Gleneagles Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
254,500
|
||
|
400,000(e)(f)
|
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
409,800
|
||
|
250,000(a)
|
Kilimanjaro Re, Ltd., Series 2015-1, Class D, 9.555%, 12/6/19 (144A) (Cat Bond)
|
250,525
|
||
|
250,000(a)
|
Kilimanjaro Re, Ltd., Series 2015-1, Class E, 7.055%, 12/6/19 (144A) (Cat Bond)
|
249,975
|
||
|
250,000(a)
|
Mythen Re, Ltd. Series 2012-2, Class A, 9.033%, 1/5/17 (144A) (Cat Bond)
|
256,875
|
||
|
400,000(e)(f)
|
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2016-1, Variable Rate Notes, 11/30/20
|
403,400
|
||
|
250,000(a)
|
Queen Street VII Re, Ltd., 8.905%, 4/8/16 (144A) (Cat Bond)
|
251,075
|
||
|
400,000(e)(f)
|
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/1/18
|
406,640
|
||
|
500,000(a)
|
Vita Capital V, Ltd., Series 2012-1, Class D-1, 3.26%, 1/15/17 (144A) (Cat Bond)
|
501,200
|
||
|
500,000(a)
|
Vita Capital V, Ltd., Series 2012-1, Class E-1, 3.96%, 1/15/17 (144A) (Cat Bond)
|
503,450
|
||
|
$ 4,905,070
|
||||
|
Total Insurance
|
$ 4,905,070
|
|||
|
MATERIALS - 0.3%
|
||||
|
Commodity Chemicals - 0.3%
|
||||
|
1,230,000
|
Rain CII Carbon LLC / CII Carbon Corp., 8.0%, 12/1/18 (144A)
|
$ 999,375
|
||
|
Total Materials
|
$ 999,375
|
|||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
|
||||
|
Semiconductors - 0.2%
|
||||
|
750,000
|
Micron Technology, Inc., 5.25%, 8/1/23 (144A)
|
$ 641,250
|
||
|
Total Semiconductors & Semiconductor Equipment
|
$ 641,250
|
|||
|
TELECOMMUNICATION SERVICES - 0.7%
|
||||
|
Integrated Telecommunication Services - 0.7%
|
||||
|
1,000,000
|
CenturyLink, Inc., 6.45% , 6/15/21
|
$ 1,015,620
|
||
|
1,000,000
|
Frontier Communications Corp., 10.5%, 9/15/22 (144A)
|
1,010,000
|
||
|
Total Telecommunication Services
|
$ 2,025,620
|
|||
|
TOTAL CORPORATE BONDS & NOTES
|
||||
|
(Cost $11,774,673)
|
$ 11,308,865
|
|||
|
US GOVERNMENT AND AGENCY OBLIGATIONS - 1.0% of Net Assets
|
||||
|
1,405,000(a)
|
U.S. Treasury Notes, 0.39%, 7/31/16
|
$ 1,405,228
|
||
|
1,405,000(a)
|
U.S. Treasury Notes, 0.592%, 1/31/18
|
1,405,931
|
||
|
$ 2,811,159
|
||||
|
TOTAL US GOVERNMENT AND AGENCY OBLIGATIONS
|
||||
|
(Cost $2,811,240)
|
$ 2,811,159
|
|||
|
Shares
|
||||
|
EXCHANGE-TRADED FUND - 0.3% of Net Assets
|
||||
|
DIVERSIFIED FINANCIALS - 0.3%
|
||||
|
Other Diversified Financial Services - 0.3%
|
||||
|
42,000
|
PowerShares Senior Loan Portfolio
|
$ 929,040
|
||
|
Total Diversified Financials
|
$ 929,040
|
|||
|
TOTAL EXCHANGE-TRADED FUND
|
||||
|
(Cost $1,009,260)
|
$ 929,040
|
|||
|
COMMON STOCKS - 0.2% of Net Assets
|
||||
|
INDUSTRIALS - 0.0%†
|
||||
|
Diversified Support Services - 0.0%†
|
||||
|
31(c)
|
IAP Worldwide Services, Inc.
|
$ 62,984
|
||
|
Total Industrials
|
$ 62,984
|
|||
|
Shares
|
Value
|
|||
|
MEDIA - 0.1%
|
||||
|
Publishing - 0.1%
|
||||
|
14,548(c)
|
Cengage Learning Acquisitions, Inc.
|
$ 282,471
|
||
|
EUR
|
497(c)
|
Solocal Group SA
|
2,019
|
|
|
$ 284,490
|
||||
|
Total Media
|
$ 284,490
|
|||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.0%†
|
||||
|
Biotechnology - 0.0%†
|
||||
|
2,454(c)
|
Progenics Pharmaceuticals, Inc.
|
$ 10,822
|
||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 10,822
|
|||
|
TRANSPORTATION - 0.1%
|
||||
|
Air Freight & Logistics - 0.1%
|
||||
|
710(c)
|
CEVA Holdings LLC
|
$ 319,406
|
||
|
Total Transportation
|
$ 319,406
|
|||
|
UTILITIES - 0.0%†
|
||||
|
Independent Power Producers & Energy Traders - 0.0%†
|
||||
|
775
|
NRG Energy, Inc.
|
$ 8,355
|
||
|
Total Utilities
|
$ 8,355
|
|||
|
TOTAL COMMON STOCKS
|
||||
|
(Cost $1,301,845)
|
$ 686,057
|
|||
|
Principal
Amount
USD ($)
|
||||
|
TEMPORARY CASH INVESTMENTS - 5.6% of Net Assets
|
||||
|
REPURCHASE AGREEMENT - 0.4%
|
||||
|
1,190,000
|
Bank of Nova Scotia, 0.32%, dated 2/29/16, repurchase price of $1,190,000 plus accrued interest on 3/1/16 collateralized by: $1,213,811 Federal National Mortgage Association, 3.0%, 11/1/45
|
$ 1,190,000
|
||
|
TREASURY BILLS - 5.2%
|
||||
|
12,740,000
|
U.S. Treasury Bill, 0.256%, 3/31/16
|
$ 12,737,337
|
||
|
2,250,000
|
U.S. Treasury Bill, 0.262%, 3/24/16
|
2,249,665
|
||
|
$ 14,987,002
|
||||
|
TOTAL TEMPORARY CASH INVESTMENTS
|
||||
|
(Cost $16,176,906)
|
$ 16,177,002
|
|||
|
TOTAL INVESTMENTS IN SECURITIES - 152.4%
|
||||
|
(Cost - $472,733,071) (g)
|
$ 443,526,785
|
|||
|
OTHER ASSETS AND LIABILITIES - (52.4)%
|
$ (152,526,224)
|
|||
|
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS - 100.0%
|
$ 291,000,561
|
|||
|
REIT
|
Real Estate Investment Trust.
|
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At February 29, 2016, the value of these securities amounted to $13,174,345, or 4.5% of total net assets applicable to common shareowners.
|
|
(Cat Bond)
|
Catastrophe or Event-linked bond. At February 29, 2016, the value of these securities amounted to $2,773,750, or 1.0% of total net assets applicable to common shareowners.
|
|
†
|
Amount rounds to less than 0.1%.
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at February 29, 2016.
|
|
(a)
|
Floating rate note. The rate shown is the coupon rate at February 29, 2016.
|
|
(b)
|
Security is in default.
|
|
(c)
|
Non-income producing.
|
|
(d)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|
(e)
|
Structured reinsurance investment. At February 29, 2016, the value of these securities amounted to $2,131,320, or 0.7% of total net assets applicable to common shareowners.
|
|
(f)
|
Rate to be determined.
|
|
(g)
|
At February 29, 2016, the net unrealized depreciation on investments based on cost for federal tax purposes of $472,744,062 was as follows:
|
||
|
Aggregate gross unrealized appreciation for all investments in which there
|
|||
|
is an excess of value over tax cost
|
$ 1,338,921
|
||
|
Aggregate gross unrealized depreciation for all investments in which there
|
|||
|
is an excess of tax cost over value
|
(30,556,198)
|
||
|
Net unrealized depreciation
|
$ (29,217,277)
|
||
|
For financial reporting purposes net unrealized depreciation on investments was $29,206,286 and cost of investments aggregated $472,733,071.
|
|||
|
Principal amounts are denominated in US dollars unless otherwise noted.
|
|
EUR - Euro
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION
|
||||||||||
|
Net
|
||||||||||
|
Premiums
|
Unrealized
|
|||||||||
|
Notional
|
Obligation
|
Credit
|
Expiration
|
Paid
|
Appreciation
|
|||||
|
Principal ($)(1)
|
Exchange
|
Entity/Index
|
Coupon
|
Rating(2)
|
Date
|
(Received)
|
(Depreciation)
|
|||
|
1,089,000
|
Chicago Mercantile Exchange
|
Markit CDX North America High Yield Index Series 24
|
5.00%
|
B+
|
6/20/20
|
$ 65,554
|
$(34,329)
|
|||
|
1,115,000
|
Chicago Mercantile Exchange
|
Markit CDX North America High Yield Index Series 25
|
5.00%
|
B+
|
12/20/20
|
(10,604)
|
11,500
|
|||
|
$ 54,950
|
$(22,829)
|
|||||||||
|
(1) The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
|
|
(2) Based on Standard & Poor’s rating of the issuer or weighted average of all the underlying securities of the index.
|
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
|
Level 1 - quoted prices in active markets for identical securities.
|
|
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment
|
|
speeds, credit risks, etc.).
|
|
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
|
The following is a summary of the inputs used as of February 29, 2016, in valuing the Trust's investments.
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
Senior Secured Floating Rate
Loan Interests
|
$ –
|
$ 404,304,742
|
$ –
|
$ 404,304,742
|
|
Collateralized Loan Obligations
|
–
|
7,309,920
|
–
|
7,309,920
|
|
Corporate Bonds & Notes
|
|
|
|
|
|
Insurance
|
||||
|
Reinsurance
|
–
|
2,773,750
|
2,131,320
|
4,905,070
|
|
All Other Corporate Bonds
& Notes
|
–
|
6,403,795
|
–
|
6,403,795
|
|
US Government and
Agency Obligations
|
–
|
2,811,159
|
–
|
2,811,159
|
|
Exchange-Traded Fund
|
929,040
|
–
|
–
|
929,040
|
|
Common Stocks
|
||||
|
Industrials
|
||||
|
Diversified Support Services
|
–
|
62,984
|
–
|
62,984
|
|
Media
|
||||
|
Publishing
|
2,019
|
282,471
|
–
|
284,490
|
|
Transportation
|
||||
|
Air Freight & Logistics
|
–
|
319,406
|
–
|
319,406
|
|
All Other Common Stocks
|
19,177
|
–
|
–
|
19,177
|
|
Repurchase Agreement
|
–
|
1,190,000
|
–
|
1,190,000
|
|
Treasury Bills
|
–
|
14,987,002
|
–
|
14,987,002
|
|
Total Investments in Securities
|
$ 950,236
|
$ 440,445,229
|
$ 2,131,320
|
$ 443,526,785
|
|
Other Financial Instruments
|
||||
|
Liabilities:
|
||||
|
Net unrealized depreciation on
swap contracts
|
$ –
|
$ (22,829)
|
$ –
|
$ (22,829)
|
|
Total Other Financial Instruments
|
$ –
|
$ (22,829)
|
$ –
|
$ (22,829)
|
|
The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of February 29, 2016:
|
||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
Assets:
|
||||
|
Foreign currencies, at value
|
$ –
|
$ 54,910
|
$ –
|
$ 54,910
|
|
Liabilities:
|
||||
|
Outstanding borrowings
|
–
|
(143,450,000)
|
–
|
(143,450,000)
|
|
Total
|
$ –
|
$ (143,395,090)
|
$ –
|
$(143,395,090)
|
|
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
||||||||||
|
Change in
|
||||||||||
|
Balance
|
Realized
|
unrealized
|
Accrued
|
Transfers
|
Transfers
|
Balance
|
||||
|
as of
|
gain
|
appreciation
|
discounts/
|
in to
|
out of
|
as of
|
||||
|
11/30/15
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
Level 3*
|
2/29/16
|
||
|
Corporate Bonds
& Notes
|
||||||||||
|
Insurance
|
||||||||||
|
Reinsurance
|
$1,197,861
|
$ –
|
$(76,341)
|
$2,100,000
|
$(1,090,200)
|
$ –
|
$ –
|
$ –
|
$2,131,320
|
|
|
Total
|
$1,197,861
|
$ –
|
$(76,341)
|
$2,100,000
|
$(1,090,200)
|
$ –
|
$ –
|
$ –
|
$2,131,320
|
|
|
*Transfers are calculated on the beginning of period value. For three months ended February 29, 2016 there were no transfers between Levels 1, 2 and 3.
|
||||||||||
|
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at February 29, 2016: $31,320.
|
||||||||||
ITEM 2. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on the
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
There were no significant changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
File as exhibits as part of this Form a separate certification for each principal
executive officer and principal financial officer of the registrant as required
by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below:
CERTIFICATIONS
I, [identify the certifying individual], certify that:
1. I have reviewed this report on Form N-Q of [identify registrant];
2. Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to
ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities,
particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision,
to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes
in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control
over financial reporting that occurred during the registrants most recent
fiscal quarter that has materially affected, or is reasonably likely to
materially affect, the registrants internal control over financial reporting;
and
5. The registrants other certifying officer(s) and I have disclosed to the
registrants auditors and the audit committee of the registrants board of
directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation
of internal control over financial reporting which are reasonably likely to adversely
affect the registrants ability to record, process, summarize, and report financial
information; and
(b) Any fraud, whether or not material, that involves management or other employees
who have a significant role in the registrants internal control over financial
reporting.
Date: [Signature] [Title]
Filed herewith.
<PAGE>
SIGNATURES
[See General Instruction F]
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.
(Registrant) Pioneer Floating Rate Trust
By (Signature and Title)* /s/ Lisa M.Jones
-----------------------
Lisa M.Jones, President and Chief Executive Officer
Date April 26, 2016
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 (Signature and Title)* /s/ Lisa M.Jones
-----------------------
Lisa M.Jones, President and Chief Executive Officer
Date April 26, 2016
By (Signature and Title)* /s/ Mark E. Bradley
-----------------
Mark E. Bradley, Treasurer and Chief Accounting
and Financial Officer
Date April 26, 2016
* Print the name and title of each signing officer under his or her signature.