Eaton Vance Senior Income Trust

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-09013

Investment Company Act File Number

Eaton Vance Senior Income Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

June 30

Date of Fiscal Year End

March 31, 2013

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments


Eaton Vance

Senior Income Trust

March 31, 2013

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 142.5%(1)

 

                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Aerospace and Defense — 2.6%

     

AVIO S.p.A.

     

Term Loan, 3.08%, Maturing June 14, 2017

     300       $ 300,031   

Term Loan, 3.87%, Maturing December 14, 2017

   EUR  275         352,994   

Term Loan, 3.95%, Maturing December 14, 2017

     325         325,034   

Booz Allen Hamilton Inc.

     

Term Loan, 4.50%, Maturing July 31, 2019

     423         429,430   

DAE Aviation Holdings, Inc.

     

Term Loan, 6.25%, Maturing October 29, 2018

     342         345,954   

Term Loan, 6.25%, Maturing November 2, 2018

     155         156,832   

Ducommun Incorporated

     

Term Loan, 5.50%, Maturing June 28, 2017

     225         226,768   

Hawker Beechcraft Acquisition Company LLC

     

Term Loan, 5.75%, Maturing February 14, 2020

     400         402,500   

IAP Worldwide Services, Inc.

     

Term Loan, 10.00%, Maturing December 31, 2015

     835         626,157   

Sequa Corporation

     

Term Loan, 5.25%, Maturing June 19, 2017

     798         811,632   

Silver II US Holdings, LLC

     

Term Loan, 4.00%, Maturing December 5, 2019

     998         1,005,426   

TASC, Inc.

     

Term Loan, 4.50%, Maturing December 18, 2015

     736         738,559   

Transdigm, Inc.

     

Term Loan, 3.75%, Maturing February 28, 2020

     1,646         1,670,734   
     

 

 

 
      $ 7,392,051   
     

 

 

 

Air Transport — 0.1%

     

Evergreen International Aviation, Inc.

     

Term Loan, 0.00%, Maturing June 30, 2015(2)

     414       $ 410,328   
     

 

 

 
      $ 410,328   
     

 

 

 

Automotive — 6.2%

     

Allison Transmission, Inc.

     

Term Loan, 4.25%, Maturing August 23, 2019

     1,713       $ 1,737,100   

Autoparts Holdings Limited

     

Term Loan, 6.50%, Maturing July 28, 2017

     677         686,700   

Chrysler Group LLC

     

Term Loan, 6.00%, Maturing May 24, 2017

     4,057         4,141,620   

Federal-Mogul Corporation

     

Term Loan, 2.14%, Maturing December 29, 2014

     2,180         2,043,699   

Term Loan, 2.14%, Maturing December 28, 2015

     570         534,226   

Goodyear Tire & Rubber Company (The)

     

Term Loan - Second Lien, 4.75%, Maturing April 30, 2019

     3,375         3,417,161   

HHI Holdings LLC

     

Term Loan, 5.00%, Maturing October 5, 2018

     1,006         1,017,106   

Metaldyne Company LLC

     

Term Loan, 5.00%, Maturing December 18, 2018

     673         685,096   

SRAM, LLC

     

Term Loan, 4.75%, Maturing June 7, 2018

     576         577,072   

Tomkins LLC

     

Term Loan, 3.75%, Maturing September 29, 2016

     721         730,244   

TriMas Corporation

     

Term Loan, 3.75%, Maturing October 10, 2019

     448         451,668   

 

1

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Veyance Technologies, Inc.

     

Term Loan, 5.25%, Maturing September 15, 2017

     1,450       $ 1,457,855   
     

 

 

 
      $ 17,479,547   
     

 

 

 

Building and Development — 0.6%

     

Armstrong World Industries, Inc.

     

Term Loan, 3.50%, Maturing March 16, 2020

     275       $ 277,406   

Preferred Proppants, LLC

     

Term Loan, 9.00%, Maturing December 15, 2016

     370         346,242   

RE/MAX International, Inc.

     

Term Loan, 5.50%, Maturing April 15, 2016

     803         811,692   

Summit Materials Companies I, LLC

     

Term Loan, 5.00%, Maturing January 30, 2019

     248         249,626   
     

 

 

 
      $ 1,684,966   
     

 

 

 

Business Equipment and Services — 12.5%

     

ACCO Brands Corporation

     

Term Loan, 4.25%, Maturing April 30, 2019

     172       $ 174,782   

Acosta, Inc.

     

Term Loan, 5.00%, Maturing March 2, 2018

     985         998,706   

Acxiom Corporation

     

Term Loan, 3.29%, Maturing March 15, 2015

     348         351,023   

Advantage Sales & Marketing, Inc.

     

Term Loan, 4.25%, Maturing December 18, 2017

     1,398         1,419,498   

Affinion Group, Inc.

     

Term Loan, 6.50%, Maturing October 9, 2016

     1,461         1,430,742   

Allied Security Holdings, LLC

     

Term Loan, 5.25%, Maturing February 3, 2017

     490         494,295   

Altegrity, Inc.

     

Term Loan, 7.75%, Maturing February 20, 2015

     336         337,928   

Term Loan, 3.20%, Maturing February 21, 2015

     709         695,861   

Altisource Solutions S.a.r.l.

     

Term Loan, 5.75%, Maturing November 27, 2019

     399         406,481   

Audio Visual Services Group, Inc.

     

Term Loan, 6.75%, Maturing November 9, 2018

     546         549,924   

BAR/BRI Review Courses, Inc.

     

Term Loan, 6.00%, Maturing June 16, 2017

     327         327,536   

Brand Energy & Infrastructure Services, Inc.

     

Term Loan, 6.25%, Maturing October 16, 2018

     341         342,449   

Term Loan, 6.25%, Maturing October 23, 2018

     82         79,609   

Brickman Group Holdings Inc.

     

Term Loan, 5.50%, Maturing October 14, 2016

     701         714,615   

Brock Holdings III, Inc.

     

Term Loan, 6.01%, Maturing March 16, 2017

     561         568,654   

ClientLogic Corporation

     

Term Loan, 6.87%, Maturing January 30, 2017

   EUR  586         713,073   

Term Loan, 7.06%, Maturing January 30, 2017

     303         298,939   

Corporate Executive Board Company, The

     

Term Loan, 5.00%, Maturing July 2, 2019

     274         277,056   

CPM Acquisition Corp.

     

Term Loan, 6.25%, Maturing August 29, 2017

     249         251,082   

DynCorp International LLC

     

Term Loan, 6.25%, Maturing July 7, 2016

     258         260,472   

Education Management LLC

     

Term Loan, 8.25%, Maturing March 29, 2018

     1,039         901,660   

EIG Investors Corp.

     

Term Loan, 6.25%, Maturing November 8, 2019

     1,022         1,031,384   

Term Loan - Second Lien, 10.25%, Maturing May 8, 2020

     250         251,250   

 

2

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Expert Global Solutions, Inc.

     

Term Loan, 8.50%, Maturing April 3, 2018

     987       $ 996,576   

Genesys Telecom Holdings, U.S., Inc.

     

Term Loan, 4.00%, Maturing January 25, 2020

     257         258,503   

Genpact International, Inc.

     

Term Loan, 4.25%, Maturing August 30, 2019

     821         833,872   

Go Daddy Operating Company, LLC

     

Term Loan, 4.25%, Maturing December 17, 2018

     789         794,523   

IMS Health Incorporated

     

Term Loan, 3.75%, Maturing August 25, 2017

     1,216         1,230,815   

Kronos Incorporated

     

Term Loan, 4.50%, Maturing October 30, 2019

     798         808,225   

Term Loan - Second Lien, 9.75%, Maturing April 30, 2020

     450         471,375   

Language Line, LLC

     

Term Loan, 6.25%, Maturing June 20, 2016

     1,008         1,003,870   

Meritas LLC

     

Term Loan, 7.50%, Maturing July 28, 2017

     336         336,199   

Mitchell International, Inc.

     

Term Loan - Second Lien, 5.56%, Maturing March 30, 2015

     500         504,000   

Monitronics International Inc.

     

Term Loan, 4.25%, Maturing March 23, 2018

     421         427,063   

National CineMedia, LLC

     

Term Loan, 3.46%, Maturing November 23, 2019

     250         252,396   

Quintiles Transnational Corp.

     

Term Loan, 4.50%, Maturing June 8, 2018

     2,109         2,141,111   

Renaissance Learning, Inc.

     

Term Loan, 5.75%, Maturing November 13, 2018

     274         277,387   

Sabre, Inc.

     

Term Loan, 5.25%, Maturing February 19, 2019

     599         607,100   

Sensus USA Inc.

     

Term Loan, 4.75%, Maturing May 9, 2017

     343         343,858   

Softlayer Technologies, Inc.

     

Term Loan, 7.25%, Maturing November 5, 2016

     318         321,394   

SunGard Data Systems, Inc.

     

Term Loan, 3.96%, Maturing February 28, 2017

     1,323         1,331,730   

Term Loan, 4.00%, Maturing March 8, 2020

     3,575         3,624,156   

SymphonyIRI Group, Inc.

     

Term Loan, 4.50%, Maturing December 1, 2017

     418         422,783   

Trans Union, LLC

     

Term Loan, 4.25%, Maturing February 10, 2019

     1,898         1,923,894   

Travelport LLC

     

Term Loan, 4.88%, Maturing August 21, 2015

   EUR  371         466,144   

Term Loan, 5.03%, Maturing August 21, 2015

     95         94,742   

Term Loan, 5.06%, Maturing August 21, 2015

     457         455,245   

U.S. Security Holdings, Inc.

     

Term Loan, 6.00%, Maturing July 28, 2017

     61         61,157   

Term Loan, 6.00%, Maturing July 28, 2017

     309         312,453   

West Corporation

     

Term Loan, 4.25%, Maturing June 29, 2018

     1,948         1,981,899   
     

 

 

 
      $ 35,159,489   
     

 

 

 

Cable and Satellite Television — 6.2%

     

Atlantic Broadband Finance, LLC

     

Term Loan, 4.50%, Maturing November 29, 2019

     423       $ 430,011   

BBHI Acquisition LLC

     

Term Loan, 4.50%, Maturing December 14, 2017

     582         586,638   

Bragg Communications Incorporated

     

Term Loan, 3.50%, Maturing February 28, 2018

     198         199,732   

 

3

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Cequel Communications, LLC

     

Term Loan, 4.00%, Maturing February 14, 2019

     2,203       $ 2,226,326   

Crown Media Holdings, Inc.

     

Term Loan, 5.25%, Maturing July 14, 2018

     205         207,321   

CSC Holdings, Inc.

     

Term Loan, 1.95%, Maturing March 29, 2016

     1,920         1,928,544   

ION Media Networks, Inc.

     

Term Loan, 7.25%, Maturing July 31, 2018

     424         427,117   

Kabel Deutschland GmbH

     

Term Loan, 3.25%, Maturing February 1, 2019

     550         553,486   

Lavena Holdings 4 GmbH

     

Term Loan, 2.62%, Maturing March 6, 2015

   EUR 521         664,366   

Term Loan, 3.00%, Maturing March 4, 2016

   EUR 521         664,366   

Term Loan, 7.37%, Maturing March 6, 2017(3)

   EUR 220         274,970   

Term Loan - Second Lien, 4.12%, Maturing September 2, 2016

   EUR 271         340,592   

MCC Iowa LLC

     

Term Loan, 1.93%, Maturing January 30, 2015

     783         783,959   

Mediacom Broadband LLC

     

Term Loan, 4.50%, Maturing October 23, 2017

     729         736,973   

Mediacom Illinois, LLC

     

Term Loan, 1.68%, Maturing January 30, 2015

     995         995,110   

Term Loan, 4.50%, Maturing October 23, 2017

     389         392,566   

UPC Broadband Holding B.V.

     

Term Loan, 3.87%, Maturing December 31, 2016

   EUR 726         934,123   

UPC Financing Partnership

     

Term Loan, 3.70%, Maturing December 30, 2016

     379         383,274   

Term Loan, 3.70%, Maturing December 29, 2017

     1,037         1,045,526   

Term Loan, 4.00%, Maturing January 29, 2021

     400         406,000   

Virgin Media Investment Holdings Limited

     

Term Loan, Maturing February 15, 2020(4)

   GBP 750         1,144,098   

Term Loan, Maturing February 17, 2020(4)

     2,050         2,042,312   
     

 

 

 
      $ 17,367,410   
     

 

 

 

Chemicals and Plastics — 3.3%

     

AI Chem & Cy S.C.A.

     

Term Loan, Maturing August 30, 2019(4)

     148       $ 148,694   

Term Loan, Maturing October 1, 2019(4)

     77         76,477   

AZ Chem US Inc.

     

Term Loan, 5.25%, Maturing December 22, 2017

     528         538,326   

Emerald Performance Materials, LLC

     

Term Loan, 6.75%, Maturing May 18, 2018

     347         350,849   

General Chemical Corporation

     

Term Loan, 5.00%, Maturing October 6, 2015

     244         246,589   

Ineos US Finance LLC

     

Term Loan, 6.50%, Maturing May 4, 2018

     1,733         1,762,278   

Milacron LLC

     

Term Loan, Maturing March 28, 2020(4)

     200         202,250   

PQ Corporation

     

Term Loan, 4.50%, Maturing August 7, 2017

     599         605,607   

Rockwood Specialties Group, Inc.

     

Term Loan, 3.75%, Maturing February 9, 2018

     63         63,885   

Tronox, Inc.

     

Term Loan, 4.50%, Maturing March 13, 2020

     1,025         1,040,192   

U.S. Coatings Acquisition Inc.

     

Term Loan, 4.75%, Maturing February 3, 2020

     1,425         1,445,566   

Univar Inc.

     

Term Loan, 5.00%, Maturing June 30, 2017

     2,725         2,755,291   
     

 

 

 
      $ 9,236,004   
     

 

 

 

 

4

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Clothing/Textiles — 0.1%

     

Wolverine Worldwide, Inc.

     

Term Loan, 4.00%, Maturing July 31, 2019

     235       $ 238,014   
     

 

 

 
      $ 238,014   
     

 

 

 

Conglomerates — 2.6%

     

ISS Holdings A/S

     

Term Loan, Maturing March 15, 2018(4)

     225       $ 225,984   

Jason Incorporated

     

Term Loan, 5.00%, Maturing February 28, 2019

     250         251,250   

Rexnord LLC

     

Term Loan, 4.50%, Maturing April 2, 2018

     1,654         1,674,106   

RGIS Services, LLC

     

Term Loan, 4.53%, Maturing October 18, 2016

     1,414         1,430,179   

Term Loan, 5.50%, Maturing October 18, 2017

     693         703,828   

Rocket Software, Inc.

     

Term Loan, 5.75%, Maturing February 8, 2018

     222         223,484   

Term Loan - Second Lien, 10.25%, Maturing February 8, 2019

     250         249,375   

Spectrum Brands, Inc.

     

Term Loan, 4.50%, Maturing December 17, 2019

     1,671         1,693,960   

Walter Energy, Inc.

     

Term Loan, 5.75%, Maturing April 2, 2018

     821         826,923   
     

 

 

 
      $ 7,279,089   
     

 

 

 

Containers and Glass Products — 1.8%

     

Berry Plastics Holding Corporation

     

Term Loan, 3.50%, Maturing February 4, 2020

     1,075       $ 1,074,521   

BWAY Corporation

     

Term Loan, 4.50%, Maturing August 7, 2017

     1,347         1,364,299   

Pelican Products, Inc.

     

Term Loan, 7.00%, Maturing July 11, 2018

     248         248,745   

Reynolds Group Holdings Inc.

     

Term Loan, 4.75%, Maturing September 28, 2018

     1,716         1,743,346   

Sealed Air Corporation

     

Term Loan, 4.00%, Maturing October 3, 2018

     271         275,362   

TricorBraun, Inc.

     

Term Loan, 5.50%, Maturing May 3, 2018

     323         327,956   
     

 

 

 
      $ 5,034,229   
     

 

 

 

Cosmetics/Toiletries — 1.1%

     

Bausch & Lomb, Inc.

     

Term Loan, 5.25%, Maturing May 17, 2019

     1,489       $ 1,504,828   

KIK Custom Products, Inc.

     

Term Loan - Second Lien, 5.20%, Maturing November 28, 2014

     525         461,125   

Sun Products Corporation (The)

     

Term Loan, 5.50%, Maturing March 18, 2020

     1,075         1,087,766   
     

 

 

 
      $ 3,053,719   
     

 

 

 

Drugs — 1.2%

     

Aptalis Pharma, Inc.

     

Term Loan, 5.50%, Maturing February 10, 2017

     248       $ 250,594   

Term Loan, 5.50%, Maturing February 10, 2017

     782         789,820   

Par Pharmaceutical Companies, Inc.

     

Term Loan, 4.25%, Maturing September 30, 2019

     597         604,402   

Warner Chilcott Company, LLC

     

Term Loan, 4.25%, Maturing March 15, 2018

     227         230,772   

Warner Chilcott Corporation

     

Term Loan, 4.25%, Maturing March 15, 2018

     279         283,497   

Term Loan, 4.25%, Maturing March 15, 2018

     642         651,256   

WC Luxco S.a.r.l.

     

Term Loan, 4.25%, Maturing March 15, 2018

     506         513,198   
     

 

 

 
      $ 3,323,539   
     

 

 

 

 

5

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Ecological Services and Equipment — 0.5%

     

ADS Waste Holdings, Inc.

     

Term Loan, 4.25%, Maturing October 9, 2019

     998       $ 1,009,844   

Progressive Waste Solutions Ltd.

     

Term Loan, 3.50%, Maturing October 24, 2019

     274         278,513   
     

 

 

 
      $ 1,288,357   
     

 

 

 

Electronics/Electrical — 9.8%

     

Aeroflex Incorporated

     

Term Loan, 5.75%, Maturing May 9, 2018

     762       $ 776,595   

Aspect Software, Inc.

     

Term Loan, 7.00%, Maturing May 6, 2016

     632         641,095   

Attachmate Corporation

     

Term Loan, 7.27%, Maturing November 22, 2017

     1,486         1,504,057   

Cinedigm Digital Funding I, LLC

     

Term Loan, 3.75%, Maturing February 28, 2018

     236         237,230   

CommScope, Inc.

     

Term Loan, 3.75%, Maturing January 12, 2018

     1,054         1,065,339   

CompuCom Systems, Inc.

     

Term Loan, 6.50%, Maturing October 4, 2018

     399         404,320   

Dealer Computer Services, Inc.

     

Term Loan, 3.75%, Maturing April 20, 2018

     667         672,813   

DG FastChannel, Inc.

     

Term Loan, 7.25%, Maturing July 26, 2018

     906         897,221   

Eagle Parent, Inc.

     

Term Loan, 4.50%, Maturing May 16, 2018

     1,302         1,319,763   

Edwards (Cayman Islands II) Limited

     

Term Loan, Maturing May 31, 2016(4)

     675         676,266   

Freescale Semiconductor, Inc.

     

Term Loan, 5.00%, Maturing March 2, 2020

     1,450         1,461,329   

Hyland Software, Inc.

     

Term Loan, 5.50%, Maturing October 25, 2019

     175         176,090   

Infor (US), Inc.

     

Term Loan, 5.25%, Maturing April 5, 2018

     2,556         2,603,108   

Internet Brands, Inc.

     

Term Loan, 6.25%, Maturing March 15, 2019

     475         476,781   

Magic Newco LLC

     

Term Loan, 7.25%, Maturing December 12, 2018

     697         709,124   

Microsemi Corporation

     

Term Loan, 3.75%, Maturing February 19, 2020

     715         721,925   

NXP B.V.

     

Term Loan, 4.50%, Maturing March 3, 2017

     851         872,048   

Term Loan, 4.75%, Maturing January 11, 2020

     474         485,263   

Rovi Solutions Corporation

     

Term Loan, 4.00%, Maturing March 29, 2019

     369         369,255   

RP Crown Parent, LLC

     

Term Loan, 6.75%, Maturing December 21, 2018

     1,322         1,349,773   

Term Loan - Second Lien, 11.25%, Maturing December 20, 2019

     250         261,875   

Semtech Corporation

     

Term Loan, 4.25%, Maturing March 20, 2017

     199         200,981   

Sensata Technologies Finance Company, LLC

     

Term Loan, 3.75%, Maturing May 11, 2018

     1,769         1,790,290   

Serena Software, Inc.

     

Term Loan, 4.20%, Maturing March 10, 2016

     715         719,635   

Term Loan, 5.00%, Maturing March 10, 2016

     175         176,167   

Shield Finance Co. S.A.R.L.

     

Term Loan, 6.50%, Maturing May 10, 2019

     496         500,282   

Sirius Computer Solutions, Inc.

     

Term Loan, 7.00%, Maturing November 30, 2018

     277         280,038   

 

6

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

SkillSoft Corporation

     

Term Loan, 5.00%, Maturing May 26, 2017

     608       $ 617,275   

Sophia, L.P.

     

Term Loan, 4.50%, Maturing July 19, 2018

     677         687,878   

Spansion LLC

     

Term Loan, 5.25%, Maturing December 11, 2018

     373         377,585   

SS&C Technologies Inc.

     

Term Loan, 5.00%, Maturing June 7, 2019

     62         62,537   

Term Loan, 5.00%, Maturing June 7, 2019

     595         602,297   

SumTotal Systems LLC

     

Term Loan, 6.25%, Maturing November 16, 2018

     648         658,101   

SurveyMonkey.com, LLC

     

Term Loan, 5.50%, Maturing February 5, 2019

     275         279,812   

VeriFone Inc.

     

Term Loan, 4.25%, Maturing December 28, 2018

     107         107,328   

Vertafore, Inc.

     

Term Loan, 5.25%, Maturing July 29, 2016

     1,057         1,068,207   

Wall Street Systems, Inc.

     

Term Loan, 5.75%, Maturing October 24, 2019

     599         605,981   

Term Loan - Second Lien, 9.25%, Maturing April 24, 2020

     250         255,000   

Web.com Group, Inc.

     

Term Loan, 4.50%, Maturing October 27, 2017

     1,033         1,043,206   
     

 

 

 
      $ 27,713,870   
     

 

 

 

Equipment Leasing — 1.0%

     

BakerCorp International, Inc.

     

Term Loan, 4.25%, Maturing February 14, 2020

     425       $ 427,834   

Delos Aircraft Inc.

     

Term Loan, 4.75%, Maturing April 12, 2016

     650         654,875   

Flying Fortress Inc.

     

Term Loan, 5.00%, Maturing June 30, 2017

     1,700         1,710,625   
     

 

 

 
      $ 2,793,334   
     

 

 

 

Financial Intermediaries — 6.4%

     

American Capital Holdings, Inc.

     

Term Loan, 5.50%, Maturing August 22, 2016

     425       $ 432,438   

Asset Acceptance Capital Corp.

     

Term Loan, 8.75%, Maturing November 14, 2017

     609         615,469   

Citco Funding LLC

     

Term Loan, 4.25%, Maturing May 23, 2018

     1,553         1,557,164   

Clipper Acquisitions Corp.

     

Term Loan, 4.00%, Maturing February 6, 2020

     274         277,056   

First Data Corporation

     

Term Loan, 4.20%, Maturing March 23, 2018

     2,270         2,266,577   

Term Loan, 5.20%, Maturing September 24, 2018

     625         630,794   

Grosvenor Capital Management Holdings, LLP

     

Term Loan, 4.25%, Maturing December 5, 2016

     1,067         1,062,981   

Hamilton Lane Advisors, LLC

     

Term Loan, 5.25%, Maturing February 23, 2018

     356         358,922   

Harbourvest Partners, LLC

     

Term Loan, 4.75%, Maturing November 21, 2017

     456         459,762   

iPayment, Inc.

     

Term Loan, 5.75%, Maturing May 8, 2017

     945         951,187   

LPL Holdings, Inc.

     

Term Loan, 4.00%, Maturing March 29, 2019

     1,535         1,549,845   

Mercury Payment Systems Canada, LLC

     

Term Loan, 5.50%, Maturing July 3, 2017

     319         324,907   

Moneygram International, Inc

     

Term Loan, Maturing March 20, 2020(4)

     225         225,000   

Nuveen Investments, Inc.

     

Term Loan, 5.20%, Maturing May 13, 2017

     3,171         3,232,721   

 

7

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Ocwen Financial Corporation

     

Term Loan, 5.00%, Maturing February 15, 2018

     625       $ 635,937   

Oz Management LP

     

Term Loan, 1.70%, Maturing November 15, 2016

     668         618,396   

RJO Holdings Corp.

     

Term Loan, 6.21%, Maturing December 10, 2015(5)

     4         3,038   

Term Loan, 6.96%, Maturing December 10, 2015(5)

     117         89,753   

RPI Finance Trust

     

Term Loan, 3.50%, Maturing May 9, 2018

     1,738         1,758,205   

Vantiv, LLC

     

Term Loan, 3.75%, Maturing March 27, 2019

     248         248,815   

Walter Investment Management Corp.

     

Term Loan, 5.75%, Maturing November 28, 2017

     614         626,137   
     

 

 

 
      $ 17,925,104   
     

 

 

 

Food Products — 7.9%

  

AdvancePierre Foods, Inc.

     

Term Loan, 5.75%, Maturing July 10, 2017

     648       $ 658,911   

Blue Buffalo Company, Ltd.

     

Term Loan, 4.75%, Maturing August 8, 2019

     647         654,637   

Clearwater Seafoods Limited Partnership

     

Term Loan, 6.76%, Maturing June 6, 2018

     495         499,891   

Del Monte Foods Company

     

Term Loan, 4.00%, Maturing March 8, 2018

     3,206         3,237,939   

Dole Food Company Inc.

     

Term Loan, 6.00%, Maturing July 6, 2018

     1,171         1,175,930   

Hearthside Food Solutions, LLC

     

Term Loan, 6.50%, Maturing June 7, 2018

     597         602,970   

High Liner Foods Incorporated

     

Term Loan, 4.75%, Maturing December 31, 2017

     303         303,292   

HJ Heinz Co.

     

Term Loan, Maturing March 27, 2020(4)

     5,200         5,251,350   

JBS USA Holdings Inc.

     

Term Loan, 3.75%, Maturing May 25, 2018

     985         993,625   

Michael Foods Group, Inc.

     

Term Loan, 4.25%, Maturing February 23, 2018

     771         784,331   

NBTY, Inc.

     

Term Loan, 3.50%, Maturing October 1, 2017

     4,183         4,239,957   

Pinnacle Foods Finance LLC

     

Term Loan, 4.75%, Maturing October 17, 2018

     1,687         1,706,834   

Solvest Ltd.

     

Term Loan, 6.00%, Maturing July 6, 2018

     2,095         2,104,299   
     

 

 

 
      $ 22,213,966   
     

 

 

 

Food Service — 5.6%

  

Aramark Corporation

     

Term Loan, 3.70%, Maturing July 26, 2016

     2,386       $ 2,404,166   

Term Loan, 3.71%, Maturing July 26, 2016

     88         88,872   

Term Loan, 3.71%, Maturing July 26, 2016

     157         158,110   

Term Loan, 3.76%, Maturing July 26, 2016

     1,081         1,089,978   

Term Loan, 4.01%, Maturing July 26, 2016

   GBP 475         710,913   

Brasa Holdings, Inc.

     

Term Loan, 7.50%, Maturing July 19, 2019

     199         199,995   

Buffets, Inc.

     

Term Loan, 0.31%, Maturing April 22, 2015(5)

     54         54,189   

Burger King Corporation

     

Term Loan, 3.75%, Maturing September 27, 2019

     1,119         1,136,045   

DineEquity, Inc.

     

Term Loan, 3.75%, Maturing October 19, 2017

     1,197         1,215,754   

 

8

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Dunkin’ Brands, Inc.

     

Term Loan, 3.75%, Maturing February 14, 2020

     1,330       $ 1,347,597   

Landry’s, Inc.

     

Term Loan, 4.75%, Maturing April 24, 2018

     1,292         1,303,516   

NPC International, Inc.

     

Term Loan, 4.50%, Maturing December 28, 2018

     297         301,927   

OSI Restaurant Partners, LLC

     

Term Loan, 4.75%, Maturing October 24, 2019

     1,316         1,336,537   

P.F. Chang’s China Bistro Inc.

     

Term Loan, 5.25%, Maturing July 2, 2019

     199         201,736   

Sagittarius Restaurants, LLC

     

Term Loan, Maturing September 28, 2018(4)

     300         297,000   

US Foods, Inc.

     

Term Loan, 5.75%, Maturing March 31, 2017

     2,224         2,257,432   

Weight Watchers International, Inc.

     

Term Loan, 4.00%, Maturing March 15, 2019

     670         674,418   

Wendy’s International, Inc.

     

Term Loan, 4.75%, Maturing May 15, 2019

     995         1,007,078   
     

 

 

 
      $ 15,785,263   
     

 

 

 

Food/Drug Retailers — 4.3%

  

Albertson’s, LLC

     

Term Loan, 5.75%, Maturing March 21, 2016

     350       $ 356,407   

Alliance Boots Holdings Limited

     

Term Loan, 3.99%, Maturing July 10, 2017

   GBP  3,275         4,927,212   

General Nutrition Centers, Inc.

     

Term Loan, 3.75%, Maturing March 2, 2018

     3,795         3,832,766   

Pantry, Inc. (The)

     

Term Loan, 5.75%, Maturing August 2, 2019

     224         227,787   

Rite Aid Corporation

     

Term Loan, 4.25%, Maturing February 21, 2020

     1,150         1,163,537   

Term Loan - Second Lien, 5.75%, Maturing August 21, 2020

     225         233,625   

Sprouts Farmers Markets Holdings, LLC

     

Term Loan, 6.00%, Maturing April 18, 2018

     298         299,983   

Supervalu Inc.

     

Term Loan, 6.25%, Maturing March 21, 2019

     1,125         1,146,194   
     

 

 

 
      $ 12,187,511   
     

 

 

 

Health Care — 16.5%

     

Alere, Inc.

     

Term Loan, 4.25%, Maturing June 30, 2017

     223       $ 225,964   

Term Loan, 4.25%, Maturing June 30, 2017

     296         299,768   

Term Loan, 4.25%, Maturing June 30, 2017

     1,185         1,199,072   

Alkermes, Inc.

     

Term Loan, 3.50%, Maturing September 18, 2019

     199         199,998   

Alliance Healthcare Services, Inc.

     

Term Loan, 7.25%, Maturing June 1, 2016

     398         401,597   

Ardent Medical Services, Inc.

     

Term Loan, 6.75%, Maturing July 2, 2018

     773         787,557   

ATI Holdings, Inc.

     

Term Loan, 5.75%, Maturing December 20, 2019

     223         227,202   

Biomet Inc.

     

Term Loan, 3.97%, Maturing July 25, 2017

     1,599         1,617,165   

Catalent Pharma Solutions Inc.

     

Term Loan, 3.70%, Maturing September 15, 2016

     1,252         1,263,332   

Term Loan, 4.25%, Maturing September 15, 2017

     568         574,614   

 

9

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

CHG Buyer Corporation

     

Term Loan, 5.00%, Maturing November 22, 2019

     321       $ 325,377   

Community Health Systems, Inc.

     

Term Loan, 3.79%, Maturing January 25, 2017

     3,182         3,219,938   

Convatec Inc.

     

Term Loan, 5.00%, Maturing December 22, 2016

     589         599,289   

CRC Health Corporation

     

Term Loan, 4.78%, Maturing November 16, 2015

     487         489,483   

DaVita, Inc.

     

Term Loan, 4.50%, Maturing October 20, 2016

     1,466         1,484,578   

Term Loan, 4.00%, Maturing November 1, 2019

     1,571         1,589,351   

DJO Finance LLC

     

Term Loan, 4.75%, Maturing September 15, 2017

     1,371         1,395,551   

Drumm Investors LLC

     

Term Loan, 5.00%, Maturing May 4, 2018

     1,477         1,431,640   

Emdeon, Inc.

     

Term Loan, 5.00%, Maturing November 2, 2018

     396         401,816   

Emergency Medical Services Corporation

     

Term Loan, 4.00%, Maturing May 25, 2018

     1,582         1,603,516   

Grifols Inc.

     

Term Loan, 4.25%, Maturing June 1, 2017

     1,446         1,462,887   

Hanger Orthopedic Group, Inc.

     

Term Loan, 4.00%, Maturing December 1, 2016

     317         320,098   

HCA, Inc.

     

Term Loan, 3.53%, Maturing March 31, 2017

     2,218         2,240,074   

Term Loan, 3.45%, Maturing May 1, 2018

     925         933,680   

Health Management Associates, Inc.

     

Term Loan, 3.50%, Maturing November 16, 2018

     924         933,521   

Hologic Inc.

     

Term Loan, 4.50%, Maturing August 1, 2019

     945         959,527   

Iasis Healthcare LLC

     

Term Loan, 4.50%, Maturing May 3, 2018

     833         845,793   

inVentiv Health, Inc.

     

Term Loan, 7.50%, Maturing August 4, 2016

     1,243         1,233,907   

Term Loan, 7.75%, Maturing May 15, 2018

     307         304,700   

KAR Auction Services, Inc.

     

Term Loan, 3.75%, Maturing May 19, 2017

     1,425         1,441,597   

Kindred Healthcare, Inc.

     

Term Loan, 5.25%, Maturing June 1, 2018

     337         340,302   

Term Loan, 5.25%, Maturing June 1, 2018

     399         403,239   

Kinetic Concepts, Inc.

     

Term Loan, 5.50%, Maturing May 4, 2018

     2,222         2,264,967   

LHP Hospital Group, Inc.

     

Term Loan, 9.00%, Maturing July 3, 2018

     273         280,102   

MedAssets, Inc.

     

Term Loan, 4.00%, Maturing December 13, 2019

     284         287,093   

Medpace, Inc.

     

Term Loan, 6.50%, Maturing June 16, 2017

     392         392,968   

Multiplan, Inc.

     

Term Loan, 4.00%, Maturing August 18, 2017

     1,027         1,040,257   

MX USA, Inc.

     

Term Loan, 6.50%, Maturing April 28, 2017

     297         298,485   

One Call Medical, Inc.

     

Term Loan, 5.50%, Maturing August 16, 2019

     449         452,803   

Onex Carestream Finance LP

     

Term Loan, 5.00%, Maturing February 25, 2017

     759         763,481   

Pharmaceutical Product Development, Inc.

     

Term Loan, 4.25%, Maturing December 5, 2018

     973         986,240   

Physiotherapy Associates Holdings, Inc.

     

Term Loan, 6.00%, Maturing April 30, 2018

     149         150,085   

 

10

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Radnet Management, Inc.

     

Term Loan, 5.50%, Maturing September 30, 2018

     746       $ 756,045   

Sage Products, Inc.

     

Term Loan, 4.25%, Maturing December 13, 2019

     300         303,094   

Select Medical Corporation

     

Term Loan, 5.50%, Maturing June 1, 2018

     1,498         1,513,287   

Sheridan Holdings, Inc.

     

Term Loan, 4.50%, Maturing June 29, 2018

     323         325,985   

TriZetto Group, Inc. (The)

     

Term Loan, 4.75%, Maturing May 2, 2018

     737         743,093   

Truven Health Analytics Inc.

     

Term Loan, 5.75%, Maturing June 1, 2019

     846         860,540   

Universal Health Services, Inc.

     

Term Loan, 3.75%, Maturing November 15, 2016

     524         529,924   

Valeant Pharmaceuticals International, Inc.

     

Term Loan, 3.50%, Maturing February 13, 2019

     894         903,420   

Term Loan, 3.50%, Maturing December 11, 2019

     1,022         1,032,529   

Vanguard Health Holding Company II, LLC

     

Term Loan, 3.75%, Maturing January 29, 2016

     730         739,663   

VWR Funding, Inc.

     

Term Loan, 4.20%, Maturing April 3, 2017

     524         530,234   

Term Loan, 4.45%, Maturing April 3, 2017

     727         736,260   
     

 

 

 
      $ 46,646,688   
     

 

 

 

Home Furnishings — 0.8%

     

Oreck Corporation

     

Term Loan - Second Lien, 3.78%, Maturing March 19, 2016(5)

     128       $ 116,747   

Serta Simmons Holdings, LLC

     

Term Loan, 5.00%, Maturing October 1, 2019

     850         862,927   

Sofia III S.a.r.l.

     

Term Loan, 2.62%, Maturing June 24, 2016

   EUR  374         440,800   

Tempur-Pedic International Inc.

     

Term Loan, 5.00%, Maturing December 12, 2019

     923         936,775   
     

 

 

 
      $ 2,357,249   
     

 

 

 

Industrial Equipment — 1.7%

     

Alliance Laundry Systems LLC

     

Term Loan, 4.50%, Maturing December 7, 2018

     174       $ 175,311   

Apex Tool Group, LLC

     

Term Loan, 4.50%, Maturing January 28, 2020

     375         380,859   

Colfax Corporation

     

Term Loan, 3.25%, Maturing January 11, 2019

     349         351,798   

Generac Power Systems, Inc.

     

Term Loan, 6.25%, Maturing May 30, 2018

     702         720,670   

Grede LLC

     

Term Loan, 7.00%, Maturing April 3, 2017

     498         501,293   

Husky Injection Molding Systems Ltd.

     

Term Loan, 4.25%, Maturing June 29, 2018

     1,592         1,613,562   

Manitowoc Company, Inc. (The)

     

Term Loan, 4.25%, Maturing November 13, 2017

     66         66,873   

Schaeffler AG

     

Term Loan, Maturing January 27, 2017(4)

     400         405,000   

Tank Holding Corp.

     

Term Loan, 4.25%, Maturing July 9, 2019

     488         490,000   
     

 

 

 
      $ 4,705,366   
     

 

 

 

Insurance — 4.2%

     

Alliant Holdings I, Inc.

     

Term Loan, 5.00%, Maturing December 20, 2019

     998       $ 1,009,658   

 

11

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

AmWINS Group, Inc.

     

Term Loan, 5.00%, Maturing September 6, 2019

     2,020       $ 2,046,029   

Applied Systems, Inc.

     

Term Loan, 5.50%, Maturing December 8, 2016

     297         298,856   

Term Loan, 5.50%, Maturing December 8, 2016

     660         664,751   

Asurion LLC

     

Term Loan, 4.50%, Maturing May 24, 2019

     4,389         4,429,690   

CCC Information Services, Inc.

     

Term Loan, 5.25%, Maturing December 20, 2019

     150         152,243   

Compass Investors Inc.

     

Term Loan, 5.25%, Maturing December 27, 2019

     1,072         1,083,483   

Cunningham Lindsey U.S. Inc.

     

Term Loan, 5.00%, Maturing December 10, 2019

     349         356,108   

Hub International Limited

     

Term Loan, 4.70%, Maturing June 13, 2017

     957         967,182   

Term Loan, 6.75%, Maturing December 13, 2017

     265         268,714   

Sedgwick CMS Holdings, Inc.

     

Term Loan, 4.00%, Maturing December 30, 2016

     495         502,018   
     

 

 

 
      $ 11,778,732   
     

 

 

 

Leisure Goods/Activities/Movies — 5.6%

     

AMC Entertainment, Inc.

     

Term Loan, 4.25%, Maturing December 15, 2016

     1,886       $ 1,904,310   

Term Loan, 4.75%, Maturing February 22, 2018

     494         498,006   

Bombardier Recreational Products, Inc.

     

Term Loan, 5.00%, Maturing January 22, 2019

     2,125         2,148,685   

Bright Horizons Family Solutions, Inc.

     

Term Loan, 4.00%, Maturing January 16, 2020

     449         452,990   

Cedar Fair, L.P.

     

Term Loan, 3.25%, Maturing March 6, 2020

     900         912,657   

ClubCorp Club Operations, Inc.

     

Term Loan, 5.00%, Maturing November 30, 2016

     1,728         1,759,129   

Dave & Buster’s, Inc.

     

Term Loan, 5.50%, Maturing June 1, 2016

     486         487,466   

Delta 2 (LUX) S.a.r.l.

     

Term Loan, 6.00%, Maturing April 30, 2019

     1,015         1,029,273   

Equinox Holdings, Inc.

     

Term Loan, 5.50%, Maturing January 31, 2020

     600         610,875   

Live Nation Entertainment, Inc.

     

Term Loan, 4.50%, Maturing November 7, 2016

     1,289         1,300,989   

Revolution Studios Distribution Company, LLC

     

Term Loan, 3.96%, Maturing December 21, 2014(5)

     397         329,912   

Term Loan - Second Lien, 7.21%, Maturing June 21, 2015(5)

     450         239,625   

SeaWorld Parks & Entertainment, Inc.

     

Term Loan, 4.00%, Maturing August 17, 2017

     1,114         1,124,944   

Six Flags Theme Parks, Inc.

     

Term Loan, 4.00%, Maturing December 20, 2018

     726         737,031   

Town Sports International Inc.

     

Term Loan, 5.75%, Maturing May 11, 2018

     880         892,750   

Zuffa LLC

     

Term Loan, 5.75%, Maturing February 25, 2020

     1,446         1,468,071   
     

 

 

 
      $ 15,896,713   
     

 

 

 

Lodging and Casinos — 2.4%

     

Affinity Gaming, LLC

     

Term Loan, 5.50%, Maturing November 9, 2017

     223       $ 226,230   

Ameristar Casinos, Inc.

     

Term Loan, 4.00%, Maturing April 16, 2018

     515         519,404   

Caesars Entertainment Operating Company

     

Term Loan, 9.50%, Maturing October 31, 2016

     968         989,269   

Term Loan, 5.45%, Maturing January 26, 2018

     1,381         1,283,214   

 

12

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Gala Group LTD

     

Term Loan, 5.50%, Maturing May 25, 2018

   GBP  825       $ 1,245,625   

Isle of Capri Casinos, Inc.

     

Term Loan, 4.85%, Maturing March 24, 2017

     139         139,860   

LodgeNet Entertainment Corporation

     

Term Loan, 6.75%, Maturing April 4, 2014

     415         323,335   

MGM Resorts International

     

Term Loan, 4.25%, Maturing December 20, 2019

     1,297         1,320,138   

Penn National Gaming, Inc.

     

Term Loan, 3.75%, Maturing July 16, 2018

     174         175,786   

Pinnacle Entertainment, Inc.

     

Term Loan, 4.00%, Maturing March 19, 2019

     297         299,599   

Tropicana Entertainment Inc.

     

Term Loan, 7.50%, Maturing March 16, 2018

     246         249,330   
     

 

 

 
      $ 6,771,790   
     

 

 

 

Nonferrous Metals/Minerals — 2.4%

     

Arch Coal Inc.

     

Term Loan, 5.75%, Maturing May 16, 2018

     1,465       $ 1,490,988   

Constellium Holdco B.V.

     

Term Loan, 6.25%, Maturing March 25, 2020

     250         256,875   

Fairmount Minerals LTD

     

Term Loan, 5.25%, Maturing March 15, 2017

     1,497         1,508,554   

Noranda Aluminum Acquisition Corporation

     

Term Loan, 5.75%, Maturing February 28, 2019

     520         528,521   

Novelis, Inc.

     

Term Loan, 3.75%, Maturing March 10, 2017

     1,664         1,688,895   

Oxbow Carbon and Mineral Holdings LLC

     

Term Loan, 3.70%, Maturing May 8, 2016

     448         451,467   

United Distribution Group, Inc.

     

Term Loan, 7.50%, Maturing October 9, 2018

     595         569,904   

Term Loan - Second Lien, 12.50%, Maturing April 12, 2019

     250         238,750   
     

 

 

 
      $ 6,733,954   
     

 

 

 

Oil and Gas — 5.5%

     

Citgo Petroleum Corporation

     

Term Loan, 8.00%, Maturing June 24, 2015

     80       $ 80,978   

Term Loan, 9.00%, Maturing June 23, 2017

     1,085         1,109,531   

Crestwood Holdings LLC

     

Term Loan, 9.75%, Maturing March 26, 2018

     1,010         1,030,463   

Energy Transfer Equity, L.P.

     

Term Loan, 3.75%, Maturing March 24, 2017

     1,325         1,333,834   

Frac Tech International LLC

     

Term Loan, 8.50%, Maturing May 6, 2016

     914         870,972   

Gibson Energy ULC

     

Term Loan, 4.75%, Maturing June 15, 2018

     1,163         1,180,699   

MEG Energy Corp.

     

Term Loan, 3.75%, Maturing March 31, 2020

     3,758         3,805,431   

Obsidian Natural Gas Trust

     

Term Loan, 7.00%, Maturing November 2, 2015

     1,144         1,155,364   

Plains Exploration & Production

     

Term Loan, 4.00%, Maturing November 30, 2019

     1,025         1,028,844   

Ruby Western Pipeline Holdings, LLC

     

Term Loan, Maturing March 27, 2020(4)

     225         228,094   

Samson Investment Company

     

Term Loan - Second Lien, 6.00%, Maturing September 25, 2018

     425         431,162   

Sheridan Production Partners I, LLC

     

Term Loan, 5.00%, Maturing September 14, 2019

     1,025         1,042,058   

Term Loan, 5.00%, Maturing September 25, 2019

     83         84,341   

Term Loan, 5.00%, Maturing September 25, 2019

     136         138,081   

 

13

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Tallgrass Operations, LLC

     

Term Loan, 5.25%, Maturing November 13, 2018

     1,072       $ 1,091,971   

Tervita Corporation

     

Term Loan, 6.25%, Maturing May 1, 2018

     825         835,957   
     

 

 

 
      $ 15,447,780   
     

 

 

 

Publishing — 5.7%

     

Ascend Learning, Inc.

     

Term Loan, 7.00%, Maturing May 23, 2017

     1,714       $ 1,712,265   

Aster Zweite Beteiligungs GmbH

     

Term Loan, 5.48%, Maturing December 31, 2014

   EUR  214         275,626   

Term Loan, 5.48%, Maturing December 31, 2014

   EUR 240         308,074   

Term Loan, 5.55%, Maturing December 31, 2014

     548         550,105   

Term Loan, 5.55%, Maturing December 31, 2014

     561         562,622   

GateHouse Media Operating, Inc.

     

Term Loan, 2.21%, Maturing August 28, 2014

     318         117,081   

Term Loan, 2.21%, Maturing August 28, 2014

     708         261,180   

Term Loan, 2.46%, Maturing August 28, 2014

     342         126,087   

Getty Images, Inc.

     

Term Loan, 4.75%, Maturing October 18, 2019

     2,444         2,483,805   

Instant Web, Inc.

     

Term Loan, 3.58%, Maturing August 7, 2014

     83         60,261   

Term Loan, 3.58%, Maturing August 7, 2014

     792         578,079   

Interactive Data Corporation

     

Term Loan, 3.75%, Maturing February 11, 2018

     1,581         1,601,193   

John Henry Holdings, Inc.

     

Term Loan, 6.00%, Maturing December 4, 2018

     299         304,487   

Laureate Education, Inc.

     

Term Loan, 5.25%, Maturing June 18, 2018

     3,342         3,381,045   

McGraw-Hill Global Education Holdings, LLC

     

Term Loan, 9.00%, Maturing March 22, 2019

     425         412,250   

MediaNews Group

     

Term Loan, 8.50%, Maturing March 19, 2014

     25         25,410   

Merrill Communications, LLC

     

Term Loan, 7.25%, Maturing March 8, 2018

     350         351,750   

Nelson Education Ltd.

     

Term Loan, 2.78%, Maturing July 3, 2014

     231         183,727   

Nielsen Finance LLC

     

Term Loan, 2.95%, Maturing May 2, 2016

     1,943         1,964,378   

Tribune Company

     

Term Loan, 4.00%, Maturing December 31, 2019

     848         856,990   
     

 

 

 
      $ 16,116,415   
     

 

 

 

Radio and Television — 3.6%

     

Clear Channel Communications, Inc.

     

Term Loan, 3.85%, Maturing January 29, 2016

     758       $ 673,909   

Cumulus Media Holdings Inc.

     

Term Loan, 4.50%, Maturing September 17, 2018

     2,590         2,626,778   

Term Loan - Second Lien, 7.50%, Maturing September 16, 2019

     445         462,800   

Entercom Radio, LLC

     

Term Loan, 5.01%, Maturing November 23, 2018

     243         248,432   

Foxco Acquisition Sub, LLC

     

Term Loan, 5.50%, Maturing July 14, 2017

     697         710,141   

Gray Television, Inc.

     

Term Loan, 4.75%, Maturing October 15, 2019

     241         244,907   

LIN Television Corp.

     

Term Loan, 4.00%, Maturing December 21, 2018

     296         300,325   

Mission Broadcasting, Inc.

     

Term Loan, 4.50%, Maturing December 3, 2019

     208         211,900   

Nexstar Broadcasting, Inc.

     

Term Loan, 4.50%, Maturing December 3, 2019

     492         501,225   

 

14

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Nine Entertainment Group Limited

     

Term Loan, 3.50%, Maturing January 17, 2020

     375       $ 376,582   

Raycom TV Broadcasting, Inc.

     

Term Loan, 4.25%, Maturing May 31, 2017

     442         448,757   

Sinclair Television Group Inc.

     

Term Loan, 5.25%, Maturing October 28, 2016

     376         377,766   

Tyrol Acquisitions 2 SAS

     

Term Loan, 4.12%, Maturing January 29, 2016

   EUR  505         605,889   

Term Loan, 4.12%, Maturing January 29, 2016

   EUR 505         605,889   

Univision Communications Inc.

     

Term Loan, 4.75%, Maturing March 2, 2020

     1,651         1,663,176   
     

 

 

 
      $ 10,058,476   
     

 

 

 

Retailers (Except Food and Drug) — 6.4%

     

99 Cents Only Stores

     

Term Loan, 5.25%, Maturing January 11, 2019

     247       $ 250,507   

B&M Retail Limited

     

Term Loan, 5.99%, Maturing February 18, 2020

   GBP 525         790,332   

Bass Pro Group, LLC

     

Term Loan, 4.04%, Maturing November 20, 2019

     698         706,397   

David’s Bridal, Inc.

     

Term Loan, 5.00%, Maturing October 11, 2019

     324         328,795   

Evergreen Acqco 1 LP

     

Term Loan, 5.00%, Maturing July 9, 2019

     347         353,024   

FTD, Inc.

     

Term Loan, 4.75%, Maturing June 11, 2018

     603         609,461   

Harbor Freight Tools USA, Inc.

     

Term Loan, 5.50%, Maturing November 14, 2017

     498         504,341   

J Crew Group, Inc.

     

Term Loan, 4.00%, Maturing March 7, 2018

     860         870,649   

Jo-Ann Stores, Inc.

     

Term Loan, 4.00%, Maturing March 16, 2018

     1,372         1,384,605   

Michaels Stores, Inc.

     

Term Loan, 3.75%, Maturing January 28, 2020

     1,275         1,290,401   

National Vision, Inc.

     

Term Loan, 7.00%, Maturing August 2, 2018

     395         399,938   

Neiman Marcus Group, Inc. (The)

     

Term Loan, 4.00%, Maturing May 16, 2018

     2,525         2,552,459   

Ollie’s Bargain Outlet, Inc.

     

Term Loan, 5.43%, Maturing September 27, 2019

     249         251,869   

Party City Holdings Inc.

     

Term Loan, 4.25%, Maturing July 29, 2019

     698         704,360   

Pep Boys-Manny, Moe & Jack (The)

     

Term Loan, 5.00%, Maturing October 11, 2018

     224         228,360   

Petco Animal Supplies, Inc.

     

Term Loan, 4.00%, Maturing November 24, 2017

     1,598         1,620,574   

Pilot Travel Centers LLC

     

Term Loan, 3.75%, Maturing March 30, 2018

     894         904,188   

Term Loan, 4.25%, Maturing August 7, 2019

     299         302,185   

ServiceMaster Company

     

Term Loan, 4.46%, Maturing January 31, 2017

     1,466         1,482,797   

Term Loan, 4.25%, Maturing April 1, 2017

     723         730,871   

Visant Holding Corp.

     

Term Loan, 5.25%, Maturing December 22, 2016

     640         622,489   

Vivarte SA

     

Term Loan - Second Lien, 3.92%, Maturing September 8, 2016

   EUR 13         11,917   

Term Loan - Second Lien, 3.92%, Maturing September 8, 2016

   EUR 88         83,420   

Term Loan - Second Lien, 3.92%, Maturing September 8, 2016

   EUR  900         858,039   

 

15

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Wilton Brands LLC

     

Term Loan, 7.50%, Maturing August 30, 2018

     317       $ 322,420   
     

 

 

 
      $ 18,164,398   
     

 

 

 

Steel — 2.1%

     

Ameriforge Group, Inc.

     

Term Loan, 6.00%, Maturing December 19, 2019

     274       $ 278,256   

Essar Steel Algoma, Inc.

     

Term Loan, 8.75%, Maturing September 19, 2014

     522         535,434   

FMG America Finance, Inc.

     

Term Loan, 5.25%, Maturing October 18, 2017

     2,985         3,023,912   

JFB Firth Rixson Inc.

     

Term Loan, 4.25%, Maturing June 30, 2017

     149         150,609   

JMC Steel Group, Inc.

     

Term Loan, 4.75%, Maturing April 3, 2017

     343         346,647   

Patriot Coal Corporation

     

DIP Loan, 9.25%, Maturing October 4, 2013

     425         428,719   

SunCoke Energy, Inc.

     

Term Loan, 4.00%, Maturing July 26, 2018

     152         152,428   

Waupaca Foundry, Inc.

     

Term Loan, 5.75%, Maturing June 29, 2017

     567         575,430   

WireCo WorldGroup, Inc.

     

Term Loan, 6.00%, Maturing February 15, 2017

     323         328,226   
     

 

 

 
      $ 5,819,661   
     

 

 

 

Surface Transport — 1.2%

     

Hertz Corporation (The)

     

Term Loan, 3.75%, Maturing March 9, 2018

     1,764       $ 1,777,782   

Term Loan, 3.75%, Maturing March 11, 2018

     923         936,720   

Swift Transportation Co. Inc.

     

Term Loan, 4.00%, Maturing December 21, 2017

     608         617,813   
     

 

 

 
      $ 3,332,315   
     

 

 

 

Telecommunications — 6.9%

     

Alaska Communications Systems Holdings, Inc.

     

Term Loan, 5.50%, Maturing October 21, 2016

     456       $ 447,353   

Arris Group, Inc.

     

Term Loan, Maturing February 7, 2020(4)

     525         526,641   

Cellular South, Inc.

     

Term Loan, 4.50%, Maturing July 27, 2017

     419         423,858   

Cricket Communications, Inc.

     

Term Loan, 4.75%, Maturing October 10, 2019

     249         251,323   

Term Loan, Maturing February 21, 2020(4)

     1,550         1,561,867   

Crown Castle International Corporation

     

Term Loan, 4.00%, Maturing January 31, 2019

     938         950,321   

Intelsat Jackson Holdings Ltd.

     

Term Loan, 4.50%, Maturing April 2, 2018

     5,122         5,208,599   

MetroPCS Wireless, Inc.

     

Term Loan, 4.00%, Maturing March 16, 2018

     3,011         3,025,354   

Mitel Networks Corporation

     

Term Loan, 7.00%, Maturing February 27, 2019

     375         380,625   

SBA Finance

     

Term Loan, 3.75%, Maturing June 29, 2018

     467         472,521   

Term Loan, 3.75%, Maturing September 27, 2019

     224         227,804   

Syniverse Holdings, Inc.

     

Term Loan, 1.00%, Maturing April 23, 2019(6)

     625         626,562   

 

16

 

 


                                                 
Borrower/Tranche Description   

Principal
Amount*

(000’s omitted)

     Value  

Term Loan, 5.00%, Maturing April 23, 2019

     943       $ 950,242   

Telesat LLC

     

Term Loan, 5.50%, Maturing March 28, 2019

     3,424         3,456,206   

TNS, Inc.

     

Term Loan, 5.00%, Maturing February 15, 2020

     450         450,844   

Windstream Corporation

     

Term Loan, 4.00%, Maturing August 8, 2019

     471         477,330   
     

 

 

 
      $ 19,437,450   
     

 

 

 

Utilities — 3.7%

     

AES Corporation

     

Term Loan, 3.75%, Maturing June 1, 2018

     1,346       $ 1,367,006   

Calpine Corporation

     

Term Loan, 4.00%, Maturing April 2, 2018

     467         473,615   

Term Loan, 4.00%, Maturing April 2, 2018

     2,377         2,411,777   

Term Loan, 4.00%, Maturing October 9, 2019

     423         429,060   

Dynegy Midwest Generation LLC

     

Term Loan, 9.25%, Maturing August 4, 2016

     205         214,113   

Dynegy Power, LLC

     

Term Loan, 9.25%, Maturing August 4, 2016

     360         376,442   

LSP Madison Funding, LLC

     

Term Loan, 5.50%, Maturing June 28, 2019

     364         369,629   

NRG Energy, Inc.

     

Term Loan, 3.25%, Maturing July 2, 2018

     2,704         2,744,571   

Raven Power Finance, LLC

     

Term Loan, 7.25%, Maturing November 15, 2018

     249         254,986   

Texas Competitive Electric Holdings Company, LLC

     

Term Loan, 4.73%, Maturing October 10, 2017

     2,601         1,853,163   
     

 

 

 
      $ 10,494,362   
     

 

 

 

Total Senior Floating-Rate Interests
(identified cost $398,796,205)

      $ 401,327,139   
     

 

 

 

Corporate Bonds & Notes — 10.9%

     
Security   

Principal

Amount*

(000’s omitted)

     Value  

Aerospace and Defense — 0.0%(7)

     

GenCorp, Inc.

     

7.125%, 3/15/21(8)

     20       $ 21,200   
     

 

 

 
      $ 21,200   
     

 

 

 

Automotive — 0.1%

     

American Axle & Manufacturing, Inc., Sr. Notes

     

9.25%, 1/15/17(8)

     68       $ 74,970   

General Motors Financial Co., Inc., Sr. Notes

     

4.75%, 8/15/17(8)

     40         41,775   

Navistar International Corp., Sr. Notes

     

8.25%, 11/1/21

     50         51,187   
     

 

 

 
      $ 167,932   
     

 

 

 

Beverage and Tobacco — 0.0%(7)

     

Constellation Brands, Inc., Sr. Notes

     

6.00%, 5/1/22

     35       $ 38,413   

Innovation Ventures LLC/Innovation Ventures Finance Corp., Sr. Notes

     

9.50%, 8/15/19(8)

     20         16,950   
     

 

 

 
      $ 55,363   
     

 

 

 

 

17

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Brokers, Dealers and Investment Houses — 0.0%(7)

     

Alliance Data Systems Corp., Sr. Notes

     

6.375%, 4/1/20(8)

     30       $ 32,475   

E*TRADE Financial Corp., Sr. Notes

     

6.00%, 11/15/17

     5         5,256   

6.375%, 11/15/19

     25         26,563   
     

 

 

 
      $ 64,294   
     

 

 

 

Building and Development — 0.1%

     

Brookfield Residential Properties, Inc., Sr. Notes

     

6.50%, 12/15/20(8)

     25       $ 26,875   

HD Supply, Inc., Sr. Notes

     

8.125%, 4/15/19

     20         22,700   

7.50%, 7/15/20(8)

     45         47,475   

11.50%, 7/15/20

     15         17,813   

Isabelle Acquisition Sub, Inc., Sr. Notes

     

10.00%, 11/15/18(3)(8)

     65         72,312   

Nortek, Inc., Sr. Notes

     

10.00%, 12/1/18

     45         50,625   

8.50%, 4/15/21(8)

     45         50,062   
     

 

 

 
      $ 287,862   
     

 

 

 

Business Equipment and Services — 0.1%

     

Education Management, LLC/Education Management Finance Corp., Sr. Notes

     

15.00%, 7/1/18(8)

     28       $ 28,834   

FTI Consulting, Inc., Sr. Notes

     

6.00%, 11/15/22(8)

     20         21,250   

HDTFS, Inc., Sr. Notes

     

6.25%, 10/15/22

     25         27,250   

IMS Health, Inc., Sr. Notes

     

6.00%, 11/1/20(8)

     40         41,800   

MDC Partners, Inc., Sr. Notes

     

6.75%, 4/1/20(8)

     15         15,225   

TransUnion Holding Co., Inc., Sr. Notes

     

8.125%, 6/15/18(3)(8)

     55         58,988   
     

 

 

 
      $ 193,347   
     

 

 

 

Cable and Satellite Television — 0.0%(7)

     

AMC Networks, Inc., Sr. Notes

     

4.75%, 12/15/22

     15       $ 15,000   

CCO Holdings, LLC/CCO Holdings Capital Corp., Sr. Notes

     

5.25%, 9/30/22

     100         98,750   
     

 

 

 
      $ 113,750   
     

 

 

 

Chemicals and Plastics — 1.5%

     

Ashland, Inc., Sr. Notes

     

3.00%, 3/15/16(8)

     5       $ 5,100   

Hexion US Finance Corp., Sr. Notes

     

6.625%, 4/15/20(8)

     475         478,562   

6.625%, 4/15/20

     1,000         1,007,500   

Ineos Finance PLC, Sr. Notes

     

7.25%, 2/15/19(8)(9)

   EUR  500         679,381   

8.375%, 2/15/19(8)

     500         555,000   

7.50%, 5/1/20(8)

     400         437,500   

LyondellBasell Industries N.V., Sr. Notes

     

5.00%, 4/15/19

     200         227,000   

Milacron, LLC/Mcron Finance Corp., Sr. Notes

     

7.75%, 2/15/21(8)

     10         10,387   

PetroLogistics, LP/PetroLogistics Finance Corp., Sr. Notes

     

6.25%, 4/1/20(8)

     15         15,169   

 

18

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Rockwood Specialties Group, Inc., Sr. Notes

     

4.625%, 10/15/20

     65       $ 66,869   

TPC Group, Inc., Sr. Notes

     

8.75%, 12/15/20(8)

     20         20,925   

Trinseo Materials Operating S.C.A., Sr. Notes

     

8.75%, 2/1/19(8)

     750         744,375   

Tronox Finance, LLC, Sr. Notes

     

6.375%, 8/15/20(8)

     60         58,425   
     

 

 

 
      $ 4,306,193   
     

 

 

 

Clothing/Textiles — 0.0%(7)

     

Levi Strauss & Co., Sr. Notes

     

6.875%, 5/1/22(8)

     15       $ 16,500   
     

 

 

 
      $ 16,500   
     

 

 

 

Commercial Services — 0.0%(7)

     

RR Donnelley & Sons Co., Sr. Notes

     

7.875%, 3/15/21

     15       $ 15,713   
     

 

 

 
      $ 15,713   
     

 

 

 

Conglomerates — 0.1%

     

Belden, Inc., Sr. Sub. Notes

     

5.50%, 9/1/22(8)

     25       $ 25,750   

General Cable Corp., Sr. Notes

     

5.75%, 10/1/22(8)

     40         41,000   

Harbinger Group, Inc., Sr. Notes

     

7.875%, 7/15/19(8)

     15         15,900   

Spectrum Brands Escrow Corp., Sr. Notes

     

6.375%, 11/15/20(8)

     25         26,906   

6.625%, 11/15/22(8)

     40         43,500   
     

 

 

 
      $ 153,056   
     

 

 

 

Containers and Glass Products — 0.7%

     

BOE Merger Corp., Sr. Notes

     

9.50%, 11/1/17(3)(8)

     45       $ 48,656   

Crown Americas, LLC/Crown Americas Capital Corp. IV, Sr. Notes

     

4.50%, 1/15/23(8)

     40         39,000   

Reynolds Group Holdings Inc., Sr. Notes

     

5.75%, 10/15/20

     1,975         2,016,969   

Sealed Air Corp., Sr. Notes

     

8.375%, 9/15/21(8)

     5         5,750   
     

 

 

 
      $ 2,110,375   
     

 

 

 

Cosmetics/Toiletries — 0.1%

     

Alphabet Holding Co., Inc., Sr. Notes

     

7.75%, 11/1/17(3)(8)

     65       $ 67,925   

Party City Holdings, Inc., Sr. Notes

     

8.875%, 8/1/20(8)

     65         71,662   

Sun Products Corp. (The), Sr. Notes

     

7.75%, 3/15/21(8)

     30         30,375   
     

 

 

 
      $ 169,962   
     

 

 

 

Diversified Financial Services — 0.3%

     

KION Finance SA, Sr. Notes

     

4.726%, 2/15/20(8)(9)

   EUR  650       $ 842,577   
     

 

 

 
      $ 842,577   
     

 

 

 

 

19

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Drugs — 0.0%(7)

     

VPI Escrow Corp., Sr. Notes

     

6.375%, 10/15/20(8)

     65       $ 68,819   
     

 

 

 
      $ 68,819   
     

 

 

 

Ecological Services and Equipment — 0.0%(7)

     

ADS Waste Holdings, Inc., Sr. Notes

     

8.25%, 10/1/20(8)

     25       $ 27,062   

Clean Harbors, Inc., Sr. Notes

     

5.25%, 8/1/20

     25         25,938   

5.125%, 6/1/21(8)

     30         30,862   
     

 

 

 
      $ 83,862   
     

 

 

 

Electronics/Electrical — 0.1%

     

Ceridian Corp., Sr. Notes

     

11.00%, 3/15/21(8)

     10       $ 10,775   

Infor US, Inc., Sr. Notes

     

9.375%, 4/1/19

     35         39,856   

NCR Corp., Sr. Notes

     

5.00%, 7/15/22(8)

     30         30,225   

Nuance Communications, Inc., Sr. Notes

     

5.375%, 8/15/20(8)

     60         61,050   
     

 

 

 
      $ 141,906   
     

 

 

 

Equipment Leasing — 0.6%

     

Air Lease Corp., Sr. Notes

     

4.50%, 1/15/16

     135       $ 140,737   

International Lease Finance Corp., Sr. Notes

     

5.65%, 6/1/14

     1,000         1,048,750   

6.75%, 9/1/16(8)

     175         198,625   

7.125%, 9/1/18(8)

     175         206,500   
     

 

 

 
      $ 1,594,612   
     

 

 

 

Financial Intermediaries — 0.6%

     

Ally Financial, Inc., Sr. Notes

     

2.487%, 12/1/14(9)

     20       $ 20,034   

0.00%, 6/15/15

     40         37,500   

4.625%, 6/26/15

     275         287,884   

CIT Group, Inc., Sr. Notes

     

5.50%, 2/15/19(8)

     25         27,563   

5.375%, 5/15/20

     5         5,513   

5.00%, 8/15/22

     10         10,735   

First Data Corp., Sr. Notes

     

7.375%, 6/15/19(8)

     500         534,375   

6.75%, 11/1/20(8)

     625         654,687   

11.25%, 1/15/21(8)

     25         26,125   

10.625%, 6/15/21(8)

     25         25,406   

Lender Processing Services, Inc., Sr. Notes

     

5.75%, 4/15/23

     40         41,900   

Nuveen Investments, Inc., Sr. Notes

     

9.50%, 10/15/20(8)

     70         73,500   
     

 

 

 
      $ 1,745,222   
     

 

 

 

Food Products — 0.0%(7)

     

Hawk Acquisition Sub, Inc., Sr. Notes

     

4.25%, 10/15/20(8)

     30       $ 30,075   

Land O’Lakes, Inc., Sr. Notes

     

6.00%, 11/15/22(8)

     25         26,750   

 

20

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Michael Foods Holding, Inc., Sr. Notes

     

8.50%, 7/15/18(3)(8)

     20       $ 20,700   

Smithfield Foods, Inc., Sr. Notes

     

6.625%, 8/15/22

     55         60,087   
     

 

 

 
      $ 137,612   
     

 

 

 

Food Service — 0.0%(7)

     

Aramark Corp., Sr. Notes

     

5.75%, 3/15/20(8)

     15       $ 15,413   
     

 

 

 
      $ 15,413   
     

 

 

 

Food/Drug Retailers — 0.0%(7)

     

Pantry, Inc., Sr. Notes

     

8.375%, 8/1/20(8)

     40       $ 43,100   
     

 

 

 
      $ 43,100   
     

 

 

 

Health Care — 0.9%

     

Alere, Inc., Sr. Notes

     

8.625%, 10/1/18

     20       $ 21,350   

Amsurg Corp., Sr. Notes

     

5.625%, 11/30/20(8)

     15         15,863   

Biomet, Inc., Sr. Notes

     

6.50%, 8/1/20(8)

     55         58,575   

CDRT Holding Corp., Sr. Notes

     

9.25%, 10/1/17(3)(8)

     45         46,912   

Community Health Systems, Inc., Sr. Notes

     

5.125%, 8/15/18

     1,115         1,170,750   

7.125%, 7/15/20

     65         70,606   

DaVita, Inc., Sr. Notes

     

5.75%, 8/15/22

     110         114,812   

DJO Finance, LLC/DJO Finance Corp., Sr. Notes

     

8.75%, 3/15/18

     10         11,200   

HCA Holdings, Inc., Sr. Notes

     

6.25%, 2/15/21

     40         42,750   

Hologic, Inc., Sr. Notes

     

6.25%, 8/1/20

     130         138,937   

INC Research, LLC., Sr. Notes

     

11.50%, 7/15/19(8)

     25         26,938   

inVentiv Health, Inc., Sr. Notes

     

9.00%, 1/15/18(8)

     625         657,812   

Kinetic Concepts, Inc./KCI USA, Inc.

     

10.50%, 11/1/18

     25         27,188   

United Surgical Partners International, Inc., Sr. Notes

     

9.00%, 4/1/20

     35         39,813   

Valeant Pharmaceuticals International, Sr. Notes

     

6.375%, 10/15/20(8)

     50         52,844   

VWR Funding, Inc., Sr. Notes

     

7.25%, 9/15/17(8)

     95         101,056   
     

 

 

 
      $ 2,597,406   
     

 

 

 

Home Furnishings — 0.2%

     

Libbey Glass, Inc., Sr. Notes

     

6.875%, 5/15/20

     333       $ 360,889   

Mead Products, LLC/ACCO Brands Corp., Sr. Notes

     

6.75%, 4/30/20(8)

     65         69,712   

Tempur-Pedic International, Inc., Sr. Notes

     

6.875%, 12/15/20(8)

     15         16,088   
     

 

 

 
      $ 446,689   
     

 

 

 

 

21

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Homebuilders/Real Estate — 0.0%(7)

     

BC Mountain, LLC/BC Mountain Finance, Inc., Sr. Notes

     

7.00%, 2/1/21(8)

     30       $ 31,875   
     

 

 

 
      $ 31,875   
     

 

 

 

Industrial Equipment — 0.0%(7)

     

Manitowoc Co., Inc. (The), Sr. Notes

     

5.875%, 10/15/22

     35       $ 36,838   
     

 

 

 
      $ 36,838   
     

 

 

 

Insurance — 0.2%

     

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub, LLC, Sr. Notes

     

7.875%, 12/15/20(8)

     20       $ 20,650   

CNO Financial Group, Inc., Sr. Notes

     

6.375%, 10/1/20(8)

     525         561,094   

Hub International, Ltd., Sr. Notes

     

8.125%, 10/15/18(8)

     35         37,012   

Onex USI Acquisition Corp., Sr. Notes

     

7.75%, 1/15/21(8)

     50         50,375   
     

 

 

 
      $ 669,131   
     

 

 

 

Leisure Goods/Activities/Movies — 0.3%

     

AMC Entertainment, Inc., Sr. Notes

     

8.75%, 6/1/19

     60       $ 66,150   

Bombardier, Inc., Sr. Notes

     

4.25%, 1/15/16(8)

     20         20,850   

6.125%, 1/15/23(8)

     15         15,637   

National CineMedia, LLC, Sr. Notes

     

6.00%, 4/15/22

     380         409,450   

NCL Corp., Ltd., Sr. Notes

     

5.00%, 2/15/18(8)

     10         10,238   

Regal Entertainment Group, Sr. Notes

     

5.75%, 2/1/25

     10         9,850   

Royal Caribbean Cruises, Sr. Notes

     

7.00%, 6/15/13

     50         50,562   

6.875%, 12/1/13

     20         20,750   

7.25%, 6/15/16

     10         11,363   

7.25%, 3/15/18

     20         23,000   

Seven Seas Cruises, S. de R.L., Sr. Notes

     

9.125%, 5/15/19

     35         38,062   

Viking Cruises, Ltd., Sr. Notes

     

8.50%, 10/15/22(8)

     35         38,675   
     

 

 

 
      $ 714,587   
     

 

 

 

Lodging and Casinos — 0.9%

     

Buffalo Thunder Development Authority, Sr. Notes

     

9.375%, 12/15/14(2)(8)

     265       $ 84,800   

Caesars Entertainment Operating Co., Inc., Sr. Notes

     

5.375%, 12/15/13

     10         9,950   

8.50%, 2/15/20

     1,075         1,064,922   

Caesars Operating Escrow, LLC/Caesars Escrow Corp., Sr. Notes

     

9.00%, 2/15/20(8)

     275         278,094   

9.00%, 2/15/20(8)

     575         581,469   

Inn of the Mountain Gods Resort & Casino, Sr. Notes

     

8.75%, 11/30/20(8)

     31         31,155   

MGM Resorts International, Sr. Notes

     

6.625%, 12/15/21

     50         52,500   

7.75%, 3/15/22

     15         16,725   

Mohegan Tribal Gaming Authority

     

10.50%, 12/15/16(8)

     50         49,500   

 

22

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Mohegan Tribal Gaming Authority, Sr. Sub. Notes

     

11.00%, 9/15/18(8)

     210       $ 184,800   

Station Casinos, LLC, Sr. Notes

     

7.50%, 3/1/21(8)

     35         36,137   

Tunica-Biloxi Gaming Authority, Sr. Notes

     

9.00%, 11/15/15(8)

     165         146,850   

Waterford Gaming, LLC, Sr. Notes

     

8.625%, 9/15/14(5)(8)

     84         42,665   
     

 

 

 
      $ 2,579,567   
     

 

 

 

Mining, Steel, Iron and Nonprecious Metals — 0.1%

     

ArcelorMittal, Sr. Notes

     

6.75%, 2/25/22

     10       $ 10,954   

Eldorado Gold Corp., Sr. Notes

     

6.125%, 12/15/20(8)

     60         62,550   

IAMGOLD Corp., Sr. Notes

     

6.75%, 10/1/20(8)

     70         67,725   

Inmet Mining Corp., Sr. Notes

     

8.75%, 6/1/20(8)

     15         16,650   

7.50%, 6/1/21(8)

     20         21,700   
     

 

 

 
      $ 179,579   
     

 

 

 

Nonferrous Metals/Minerals — 0.0%(7)

     

New Gold, Inc., Sr. Notes

     

7.00%, 4/15/20(8)

     20       $ 21,600   

6.25%, 11/15/22(8)

     35         36,838   
     

 

 

 
      $ 58,438   
     

 

 

 

Oil and Gas — 0.5%

     

Atlas Energy Holdings Operating Co., LLC, Sr. Notes

     

7.75%, 1/15/21(8)

     20       $ 19,238   

Bristow Group, Inc., Sr. Notes

     

6.25%, 10/15/22

     45         48,769   

Chesapeake Energy Corp., Sr. Notes

     

6.125%, 2/15/21

     75         80,156   

5.75%, 3/15/23

     50         50,813   

Concho Resources, Inc., Sr. Notes

     

5.50%, 4/1/23

     45         46,913   

Continental Resources, Inc., Sr. Notes

     

5.00%, 9/15/22

     140         149,450   

CVR Refining, LLC/Coffeyville Finance, Inc., Sr. Notes

     

6.50%, 11/1/22(8)

     65         66,787   

EP Energy, LLC/EP Energy Finance, Inc., Sr. Notes

     

6.875%, 5/1/19

     100         110,000   

9.375%, 5/1/20

     70         81,200   

EP Energy, LLC/Everest Acquisition Finance, Inc., Sr. Notes

     

7.75%, 9/1/22

     20         22,200   

EPL Oil & Gas, Inc., Sr. Notes

     

8.25%, 2/15/18(8)

     40         42,600   

FTS International Services, LLC/FTS International Bonds, Inc., Sr. Notes

     

8.125%, 11/15/18(8)

     20         21,050   

Kodiak Oil & Gas Corp., Sr. Notes

     

5.50%, 1/15/21(8)

     5         5,244   

Laredo Petroleum, Inc., Sr. Notes

     

7.375%, 5/1/22

     35         38,500   

MEG Energy Corp., Sr. Notes

     

6.375%, 1/30/23(8)

     50         52,250   

Newfield Exploration Co., Sr. Notes

     

5.625%, 7/1/24

     65         67,275   

Oasis Petroleum, Inc., Sr. Notes

     

6.875%, 1/15/23

     75         82,875   

 

23

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Offshore Group Investment, Ltd., Sr. Notes

     

7.125%, 4/1/23(8)

     20       $ 20,500   

Plains Exploration & Production Co., Sr. Notes

     

6.875%, 2/15/23

     105         119,437   

Rockies Express Pipeline, LLC, Sr. Notes

     

6.00%, 1/15/19(8)

     30         29,475   

Sabine Pass LNG, L.P., Sr. Notes

     

6.50%, 11/1/20(8)

     55         58,162   

SandRidge Energy, Inc., Sr. Notes

     

7.50%, 3/15/21

     15         15,675   

SM Energy Co., Sr. Notes

     

6.50%, 1/1/23

     40         44,000   

Tesoro Corp., Sr. Notes

     

5.375%, 10/1/22

     55         57,612   
     

 

 

 
      $ 1,330,181   
     

 

 

 

Publishing — 0.2%

     

Laureate Education, Inc., Sr. Notes

     

9.25%, 9/1/19(8)

     315       $ 351,618   

Laureate Education, Inc., Sr. Sub Notes

     

12.75%, 8/15/17(8)

     45         48,094   

McGraw-Hill Global Education Holdings, LLC/McGraw-Hill Global Education Finance, Sr. Notes

     

9.75%, 4/1/21(8)

     45         44,775   
     

 

 

 
      $ 444,487   
     

 

 

 

Radio and Television — 0.7%

     

Clear Channel Communications, Inc., Sr. Notes

     

9.00%, 12/15/19(8)

     451       $ 435,779   

11.25%, 3/1/21(8)

     20         20,600   

Clear Channel Worldwide Holdings, Inc., Series A, Sr. Notes

     

6.50%, 11/15/22(8)

     25         26,188   

Clear Channel Worldwide Holdings, Inc., Series B, Sr. Notes

     

6.50%, 11/15/22(8)

     70         74,200   

Entravision Communications Corp., Sr. Notes

     

8.75%, 8/1/17

     844         917,850   

LBI Media, Inc., Sr. Notes

     

13.50%, 4/15/20(8)

     6         2,580   

Starz, LLC/Starz Finance Corp., Sr. Notes

     

5.00%, 9/15/19

     35         36,225   

Univision Communications, Inc., Sr. Notes

     

6.75%, 9/15/22(8)

     425         461,125   

WMG Acquisition Corp., Sr. Notes

     

6.00%, 1/15/21(8)

     25         26,312   
     

 

 

 
      $ 2,000,859   
     

 

 

 

Real Estate Investment Trusts (REITs) — 0.0%(7)

     

RHP Hotel Properties LP/RHP Finance Corp., Sr. Notes

     

5.00%, 4/15/21(8)

     20       $ 20,175   
     

 

 

 
      $ 20,175   
     

 

 

 

Retailers (Except Food and Drug) — 0.2%

     

Burlington Holdings, LLC/Burlington Holding Finance, Inc., Sr. Notes

     

9.00%, 2/15/18(3)(8)

     30       $ 30,600   

 

24

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Claire’s Stores, Inc., Sr. Notes

     

8.875%, 3/15/19

     10       $ 10,600   

9.00%, 3/15/19(8)

     70         79,450   

6.125%, 3/15/20(8)

     25         25,750   

Michaels Stores, Inc., Sr. Notes

     

7.75%, 11/1/18

     75         82,313   

New Academy Finance Co., LLC/New Academy Finance Corp., Sr. Notes

     

8.00%, 6/15/18(3)(8)

     50         52,000   

Petco Holdings, Inc., Sr. Notes

     

8.50%, 10/15/17(3)(8)

     110         113,987   

Radio Systems Corp., Sr. Notes

     

8.375%, 11/1/19(8)

     30         31,800   

Sally Holdings, LLC/Sally Capital, Inc., Sr. Notes

     

5.75%, 6/1/22

     95         99,631   

ServiceMaster Co., Sr. Notes

     

7.00%, 8/15/20(8)

     60         62,400   
     

 

 

 
      $ 588,531   
     

 

 

 

Steel — 0.0%(7)

     

AK Steel Corp., Sr. Notes

     

8.75%, 12/1/18(8)

     15       $ 16,594   
     

 

 

 
      $ 16,594   
     

 

 

 

Surface Transport — 0.0%(7)

     

Watco Cos., LLC/Watco Finance Corp., Sr. Notes

     

6.375%, 4/1/23(8)

     15       $ 15,506   
     

 

 

 
      $ 15,506   
     

 

 

 

Telecommunications — 0.9%

     

Avaya, Inc., Sr. Notes

     

9.00%, 4/1/19(8)

     20       $ 20,900   

Crown Castle International Corp., Sr. Notes

     

5.25%, 1/15/23

     55         56,169   

Frontier Communications Corp., Sr. Notes

     

7.625%, 4/15/24

     20         20,625   

Intelsat Jackson Holdings SA, Sr. Notes

     

7.25%, 10/15/20

     55         60,637   

Intelsat Luxembourg SA, Sr. Notes

     

7.75%, 6/1/21(8)

     75         76,500   

8.125%, 6/1/23(8)

     60         61,200   

Lynx I Corp., Sr. Notes

     

5.375%, 4/15/21(8)

     475         496,375   

6.00%, 4/15/21(8)

   GBP  475         743,571   

MetroPCS Wireless, Inc., Sr. Notes

     

6.25%, 4/1/21(8)

     60         61,275   

6.625%, 4/1/23(8)

     85         87,019   

SBA Communications Corp., Sr. Notes

     

5.625%, 10/1/19(8)

     50         51,625   

SBA Telecommunications, Inc., Sr. Notes

     

5.75%, 7/15/20(8)

     50         52,187   

Sprint Nextel Corp., Sr. Notes

     

7.00%, 8/15/20

     555         613,275   

6.00%, 11/15/22

     50         51,625   

Windstream Corp., Sr. Notes

     

6.375%, 8/1/23(8)

     15         14,963   
     

 

 

 
      $ 2,467,946   
     

 

 

 

 

25

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Utilities — 1.5%

     

Calpine Corp., Sr. Notes

     

7.50%, 2/15/21(8)

     2,138       $ 2,357,145   

7.875%, 1/15/23(8)

     1,530         1,705,950   

Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc., Sr. Notes

     

6.875%, 8/15/17(8)

     20         21,150   
     

 

 

 
      $ 4,084,245   
     

 

 

 

Total Corporate Bonds & Notes
(identified cost $29,334,579)

      $ 30,631,304   
     

 

 

 

Asset-Backed Securities — 1.2%

     
Security   

Principal
Amount

(000’s omitted)

     Value  

Avalon Capital Ltd. 3, Series 1A, Class D, 2.238%, 2/24/19(8)(9)

   $ 295       $ 271,886   

Babson Ltd., Series 2005-1A, Class C1, 2.254%, 4/15/19(8)(9)

     376         341,548   

Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.78%, 3/8/17(9)

     492         492,894   

Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.053%, 7/17/19(9)

     500         480,513   

Madison Park Funding Ltd., Series 2006-2A, Class D, 5.034%, 3/25/20(8)(9)

     1,000         982,397   

Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.551%, 4/25/21(8)(9)

     1,000         900,224   
     

 

 

 

Total Asset-Backed Securities
(identified cost $3,642,833)

      $ 3,469,462   
     

 

 

 

Common Stocks — 1.5%

     
Security    Shares      Value  

Automotive — 0.1%

     

Dayco Products, LLC(5)(10)(11)

     10,159       $ 314,929   
     

 

 

 
      $ 314,929   
     

 

 

 

Building and Development — 0.1%

     

Panolam Holdings Co.(5)(11)(12)

     131       $ 231,238   

United Subcontractors, Inc.(5)(10)(11)

     292         12,181   
     

 

 

 
      $ 243,419   
     

 

 

 

Financial Intermediaries — 0.0%(7)

     

RTS Investor Corp.(5)(10)(11)

     41       $ 4,426   
     

 

 

 
      $ 4,426   
     

 

 

 

Food Service — 0.1%

     

Buffets Restaurants Holdings, Inc.(5)(10)(11)

     22,185       $ 200,774   
     

 

 

 
      $ 200,774   
     

 

 

 

Home Furnishings — 0.1%

     

Oreck Corp.(5)(10)(11)

     2,275       $ 39,562   

Sanitec Europe Oy B Units(5)(10)(11)

     26,265         197,967   

Sanitec Europe Oy E Units(5)(10)(11)

     25,787         0   
     

 

 

 
      $ 237,529   
     

 

 

 

Leisure Goods/Activities/Movies — 0.3%

     

Metro-Goldwyn-Mayer Holdings, Inc.(10)(11)

     22,424       $ 927,775   
     

 

 

 
      $ 927,775   
     

 

 

 

 

26

 

 


                                                 
Security    Shares      Value  

Lodging and Casinos — 0.3%

     

Affinity Gaming, LLC(5)(10)(11)

     23,498       $ 328,976   

Greektown Superholdings, Inc.(11)

     45         4,050   

Tropicana Entertainment, Inc.(5)(10)(11)

     25,430         397,344   
     

 

 

 
      $ 730,370   
     

 

 

 

Nonferrous Metals/Minerals — 0.0%(7)

     

Euramax International, Inc.(5)(10)(11)

     468       $ 105,188   
     

 

 

 
      $ 105,188   
     

 

 

 

Oil and Gas — 0.0%(7)

     

SemGroup Corp.(11)

     750       $ 38,790   
     

 

 

 
      $ 38,790   
     

 

 

 

Publishing — 0.5%

     

Ion Media Networks, Inc.(5)(10)

     2,155       $ 1,370,580   

MediaNews Group, Inc.(5)(10)(11)

     5,771         121,079   
     

 

 

 
      $ 1,491,659   
     

 

 

 

Total Common Stocks
(identified cost $2,468,490)

      $ 4,294,859   
     

 

 

 

Warrants — 0.0%(7)

     
Security    Shares      Value  

Oil and Gas — 0.0%(7)

     

SemGroup Corp., Expires 11/30/14(11)

     789       $ 21,378   
     

 

 

 

Total Warrants
(identified cost $8)

      $ 21,378   
     

 

 

 

Miscellaneous — 0.0%(7)

     
Security    Shares      Value  

Business Equipment and Services — 0.0%(7)

     

NCS Acquisition Corp., Escrow Certificate(5)(11)

     20,000       $ 276   
     

 

 

 
      $ 276   
     

 

 

 

Cable and Satellite Television — 0.0%(7)

     

Adelphia Recovery Trust(5)(11)

     261,268       $ 0   

Adelphia, Inc., Escrow Certificate(11)

     270,000         2,363   
     

 

 

 
      $ 2,363   
     

 

 

 

Oil and Gas — 0.0%(7)

     

SemGroup Corp., Escrow Certificate(11)

     290,000       $ 7,612   
     

 

 

 
      $ 7,612   
     

 

 

 

Total Miscellaneous
(identified cost $250,466)

      $ 10,251   
     

 

 

 

 

27

 

 


                                                 
Short-Term Investments — 1.3%      
Description   

Interest

(000’s omitted)

     Value  

Eaton Vance Cash Reserves Fund, LLC, 0.11%(13)

   $ 3,747       $ 3,746,828   
     

 

 

 

Total Short-Term Investments
(identified cost $3,746,828)

      $ 3,746,828   
     

 

 

 

Total Investments — 157.4%
(identified cost $438,239,409)

      $ 443,501,221   
     

 

 

 

Less Unfunded Loan Commitments — (0.2)%

      $ (625,000
     

 

 

 

Net Investments — 157.2%
(identified cost $437,614,409)

      $ 442,876,221   
     

 

 

 

Other Assets, Less Liabilities — (18.1)%

      $ (51,110,662
     

 

 

 

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (39.1)%

      $ (110,002,580
     

 

 

 

Net Assets Applicable to Common Shares — 100.0%

      $ 281,762,979   
     

 

 

 

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

 

DIP

  -   Debtor in Possession

EUR

  -   Euro

GBP

  -   British Pound Sterling

 

* In U.S. dollars unless otherwise indicated.

 

(1) Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

 

(2) Currently the issuer is in default with respect to interest payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

 

(3) Represents a payment-in-kind security which may pay all or a portion of interest in additional par.

 

(4) This Senior Loan will settle after March 31, 2013, at which time the interest rate will be determined.

 

(5) For fair value value measurement disclosure purposes, security is categorized as Level 3.

 

(6) Unfunded or partially unfunded loan commitments. The Trust may enter into certain credit agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the borrower’s discretion.

 

(7) Amount is less than 0.05%.

 

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(8) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At March 31, 2013, the aggregate value of these securities is $20,937,621 or 7.4% of the Trust’s net assets applicable to common shares.

 

(9) Variable rate security. The stated interest rate represents the rate in effect at March 31, 2013.

 

(10) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.

 

(11) Non-income producing security.

 

(12) Restricted security.

 

(13) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended
March 31, 2013 was $6,701.

The cost and unrealized appreciation (depreciation) of investments of the Trust at March 31, 2013, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

   $     437,732,282   
  

 

 

 

Gross unrealized appreciation

   $ 9,272,952   

Gross unrealized depreciation

     (4,129,013
  

 

 

 

Net unrealized appreciation

   $ 5,143,939   
  

 

 

 

Restricted Securities

At March 31, 2013, the Trust owned the following securities (representing 0.1% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

 

                                                                                                   
Description   

Date of

Acquisition

     Shares      Cost      Value  

Common Stocks

           

Panolam Holdings Co.

     12/30/09         131       $ 71,985       $ 231,238   
        

 

 

    

 

 

 

Total Restricted Securities

         $ 71,985       $ 231,238   
        

 

 

    

 

 

 

A summary of open financial instruments at March 31, 2013 is as follows:

Forward Foreign Currency Exchange Contracts

Sales

 

Settlement
Date
    

Deliver

  

In Exchange For

  

Counterparty

   Net  Unrealized
Appreciation
(Depreciation)
 
4/30/13      British Pound Sterling
475,000
   United States Dollar
737,718
   Citibank NA    $ 16,086   
5/31/13      British Pound Sterling
3,442,535
   United States Dollar
5,211,637
   Goldman Sachs International      (17,516
5/31/13      Euro
2,437,847
   United States Dollar
3,188,314
   Citibank NA      62,088   
6/28/13      British Pound Sterling
2,373,994
   United States Dollar
3,592,969
   Citibank NA      (12,597
6/28/13      Euro
4,830,021
   United States Dollar
6,212,759
   HSBC Bank USA      17,529   
             

 

 

 
              $     65,590   
             

 

 

 

 

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At March 31, 2013, the Trust had sufficient cash and/or securities to cover commitments under these contracts.

The Trust is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Trust holds foreign currency denominated investments, the value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Trust enters into forward foreign currency exchange contracts. The Trust also enters into such contracts to hedge the currency risk of investments it anticipates purchasing.

At March 31, 2013, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is foreign exchange risk was $95,703 and $30,113, respectively.

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 fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At March 31, 2013, the hierarchy of inputs used in valuing the Trust’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2     Level 3*      Total  

Senior Floating-Rate Interests (Less Unfunded Loan Commitments)

   $       $ 399,868,875      $ 833,264       $ 400,702,139   

Corporate Bonds & Notes

             30,588,639        42,665         30,631,304   

Asset-Backed Securities

             3,469,462                3,469,462   

Common Stocks

     38,790         931,825        3,324,244         4,294,859   

Warrants

             21,378                21,378   

Miscellaneous

             9,975        276         10,251   

Short-Term Investments

             3,746,828                3,746,828   

Total Investments

   $     38,790       $     438,636,982      $     4,200,449       $     442,876,221   

Forward Foreign Currency Exchange Contracts

   $       $ 95,703      $       $ 95,703   

Total

   $ 38,790       $ 438,732,685      $ 4,200,449       $ 442,971,924   
Liability Description                               

Forward Foreign Currency Exchange Contracts

   $       $ (30,113   $       $ (30,113

Total

   $       $ (30,113   $       $ (30,113

 

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust.

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 March 31, 2013 is not presented.

At March 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 Trust’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements included in its semiannual or annual report to shareholders.

 

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Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s 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 Commission’s 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 registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s 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 registrant’s internal control over financial reporting.


Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Senior Income Trust

 

By:   /s/ Scott H. Page
  Scott H. Page
  President
Date:   May 24, 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/ Scott H. Page
  Scott H. Page
  President
Date:   May 24, 2013

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   May 24, 2013