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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21654
Pioneer Floating Rate Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Terrence J Cullen, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: November 30
Date of reporting period: August 31, 2013
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5under
the Investment Company Act of 1940 (17 CFR 270.30b-5). The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
<PAGE>
ITEM 1. Schedule of Investments.
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
ASSET BACKED SECURITY - 0.1% of Net Assets
|
|||||
|
CONSUMER SERVICES - 0.1%
|
|||||
|
Hotels, Resorts & Cruise Lines - 0.1%
|
|||||
|
170,050
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 171,698
|
||
|
Total Consumer Services
|
$ 171,698
|
||||
|
TOTAL ASSET BACKED SECURITY
|
|||||
|
(Cost $170,050)
|
$ 171,698
|
||||
|
COLLATERALIZED LOAN OBLIGATIONS - 2.5% of Net Assets
|
|||||
|
BANKS - 2.5%
|
|||||
|
Diversified Banks – 0.8%
|
|||||
|
1,000,000(b)(c)(d)
|
BB+/Ba2
|
Primus, Ltd., Series 2007-2A, Class D, 2.668%, 7/15/21 (144A)
|
$ 932,690
|
||
|
1,000,000(c)(d)
|
B+/Ba2
|
Rampart, Ltd., Series 2006-1A, Class D, 3.816%, 4/18/21 (144A)
|
908,270
|
||
|
951,289(c)(d)
|
CCC+/Ba3
|
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 4.762%, 2/27/21 (144A)
|
863,741
|
||
|
$ 2,704,701
|
|||||
|
Thrifts & Mortgage Finance - 1.7%
|
|||||
|
1,000,000(c)(d)
|
BB+/Ba2
|
ACA, Ltd., Series 2007-1A, Class D, 2.618%, 6/15/22 (144A)
|
$ 938,370
|
||
|
1,000,000(c)(d)
|
BBB/Ba1
|
Goldman Sachs Asset Management Plc, Series 2007-1A, Class D, 3.015%, 8/1/22 (144A)
|
968,420
|
||
|
1,000,000(c)(d)
|
BBB/Baa2
|
Gulf Stream - Sextant, Ltd., Series 2007-1A, Class D, 2.673%, 6/17/21 (144A)
|
951,940
|
||
|
1,000,000(c)(d)
|
BB/Ba3
|
Landmark CDO, Ltd., Series 2007-9A, Class E, 3.768%, 4/15/21 (144A)
|
729,700
|
||
|
2,000,000(c)(d)
|
BBB/Baa3
|
Stone Tower, Ltd., Series 2007-6A, Class C, 1.618%, 4/17/21 (144A)
|
1,779,800
|
||
|
$ 5,368,230
|
|||||
|
Total Banks
|
$ 8,072,931
|
||||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS
|
|||||
|
(Cost $7,176,721)
|
$ 8,072,931
|
||||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 139.9% of Net Assets *
|
|||||
|
AUTOMOBILES & COMPONENTS - 7.2%
|
|||||
|
Auto Parts & Equipment - 5.2%
|
|||||
|
380,204
|
BB-/Ba3
|
Allison Transmission, Inc., New Term B-2 Loan, 3.19%, 8/7/17
|
$ 381,986
|
||
|
2,669,205
|
B+/NR
|
Allison Transmission, Inc., Term Loan B-3, 3.75%, 8/23/19
|
2,680,050
|
||
|
1,990,000
|
B+/B1
|
ARC Automotive Group, Inc., Term Loan, 6.25%, 11/15/18
|
1,997,463
|
||
|
1,729,593
|
B+/B3
|
ASP HHI Acquisition Co., Inc., Additional Term Loan, 5.0%, 10/5/18
|
1,749,773
|
||
|
828,860
|
B/B1
|
Federal-Mogul Corp., Tranche B Term Loan, 2.128%, 12/29/14
|
811,987
|
||
|
422,888
|
B/B1
|
Federal-Mogul Corp., Tranche C Term Loan, 2.128%, 12/28/15
|
414,279
|
||
|
2,751,175
|
B+/B1
|
Metaldyne LLC, USD Term Loan, 5.0%, 12/18/18
|
2,778,687
|
||
|
1,222,673
|
NR/NR
|
TI Group Automotive Systems LLC, Additional Term Loan, 5.5%, 3/28/19
|
1,232,990
|
||
|
973,850
|
BB/Ba2
|
Tomkins LLC, Term Loan B-2, 3.75%, 9/29/16
|
980,545
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Auto Parts & Equipment – (continued)
|
|||||
|
2,543,625
|
B+/NR
|
Tower Automotive Holdings USA, LLC, Refinancing First Lien Term Loan, 4.75%, 4/23/20
|
$ 2,556,343
|
||
|
1,096,875
|
B/Ba2
|
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17
|
1,103,045
|
||
|
$ 16,687,148
|
|||||
|
Automobile Manufacturers - 1.1%
|
|||||
|
3,302,991
|
BB/Ba1
|
Chrysler Group LLC, Term Loan B, 4.25%, 5/24/17
|
$ 3,349,170
|
||
|
Tires & Rubber - 0.9%
|
|||||
|
3,000,000
|
BB/Ba1
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
|
$ 3,022,482
|
||
|
Total Automobiles & Components
|
$ 23,058,800
|
||||
|
BANKS - 0.4%
|
|||||
|
Thrifts & Mortgage Finance - 0.4%
|
|||||
|
1,298,500
|
B/B1
|
Ocwen Loan Servicing, Initial Term Loan, 5.0%, 2/15/18
|
$ 1,315,949
|
||
|
Total Banks
|
$ 1,315,949
|
||||
|
CAPITAL GOODS - 11.9%
|
|||||
|
Aerospace & Defense - 4.6%
|
|||||
|
1,194,499
|
B+/B1
|
Accudyne Industries Borrower S.C.A./Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
|
$ 1,189,926
|
||
|
618,936
|
B-/B2
|
Cadence Aerospace Finance, Inc., Term Loan, 7.5%, 5/9/18
|
622,030
|
||
|
1,044,621
|
B-/B2
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 6.25%, 11/2/18
|
1,057,679
|
||
|
1,663,830
|
BBB-/Ba2
|
Digitalglobe, Inc., Term Loan, 3.75%, 1/31/20
|
1,677,557
|
||
|
694,846
|
BB-/NR
|
DynCorp International, Inc., Term Loan, 6.25%, 7/7/16
|
701,144
|
||
|
1,290,537
|
B+/B2
|
Hunter Defense Technologies, Inc., Term Loan, 3.52%, 8/22/14
|
1,248,594
|
||
|
1,618,181
|
CCC+/Caa1
|
IAP Worldwide Services, Inc., First Lien Term Loan, 10.0%, 12/31/15
|
890,000
|
||
|
1,567,125
|
B/B1
|
Sequa Corp., Initial Term Loan, 5.25%, 6/19/17
|
1,576,920
|
||
|
1,756,571
|
B+/B1
|
SI Organization, Inc., New Tranche B Term Loan, 5.5%, 11/22/16
|
1,752,180
|
||
|
921,918
|
B/B3
|
Sotera Defense Solutions, Inc., Term Loan B, 7.5%, 4/21/17
|
903,480
|
||
|
473,563
|
B/B2
|
Standard Aero, Ltd., Tranche B-2 Loan, 6.25%, 11/2/18
|
479,482
|
||
|
1,726,356
|
BB-/B1
|
TASC, Inc., New Tranche B Term Loan, 4.5%, 12/18/15
|
1,719,343
|
||
|
995,000
|
NR/NR
|
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/28/19
|
999,353
|
||
|
$ 14,817,688
|
|||||
|
Building Products - 2.7%
|
|||||
|
1,331,663
|
BB-/B1
|
Armstrong World Industries, Inc., Term Loan B, 3.5%, 3/15/20
|
$ 1,331,663
|
||
|
2,704,563
|
B/B1
|
CPG International I, Inc., Term Loan, 5.75%, 9/21/19
|
2,724,847
|
||
|
2,239,875
|
B+/B2
|
Custom Building Products, Inc., Term Loan, 6.0%, 12/14/19
|
2,259,474
|
||
|
1,732,533
|
B+/B1
|
Summit Materials LLC, Term B Loan, 5.0%, 1/30/19
|
1,739,752
|
||
|
820,875
|
B+/B1
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
825,184
|
||
|
$ 8,880,920
|
|||||
|
Construction & Farm Machinery & Heavy Trucks - 0.9%
|
|||||
|
480,666
|
BB/Ba2
|
Manitowoc Co., Inc., Term Loan B, 4.25%, 11/13/17
|
$ 482,463
|
||
|
870,000
|
BB-/Ba3
|
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17
|
880,603
|
||
|
712,403
|
BB+/Ba1
|
Terex Corp., New U.S. Term Loan, 4.5%, 4/28/17
|
721,842
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Construction & Farm Machinery & Heavy Trucks (continued)
|
|||||
|
847,653
|
B+/B2
|
Waupaca Foundry, Inc., Term Loan, 4.5%, 6/29/17
|
$ 847,653
|
||
|
$ 2,932,561
|
|||||
|
Electrical Components & Equipment - 1.1%
|
|||||
|
2,212,650
|
B+/B1
|
Pelican Products, Inc., First Lien Term Loan, 7.0%, 7/11/18
|
$ 2,220,947
|
||
|
1,215,813
|
BB-/Ba2
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
1,221,892
|
||
|
$ 3,442,839
|
|||||
|
Industrial Conglomerates - 0.7%
|
|||||
|
2,241,334
|
B+/B2
|
Pro Mach, Inc., Term Loan, 5.0%, 7/6/17
|
$ 2,256,743
|
||
|
Industrial Machinery - 1.0%
|
|||||
|
2,103,660
|
B+/Ba3
|
Ina Beteiligungsgesellschaft Mit Beschrankter Haftung, Facility C (USD), 4.25%, 1/27/17
|
$ 2,115,219
|
||
|
479,019
|
BB/Ba3
|
TriMas Co., LLC, Tranche B Term Loan, 3.75%, 10/11/19
|
481,414
|
||
|
708,225
|
BB-/Ba3
|
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19
|
713,980
|
||
|
$ 3,310,613
|
|||||
|
Trading Companies & Distributors - 0.9%
|
|||||
|
2,793,804
|
B+/Ba3
|
WESCO Distribution, Inc., Tranche B-1 Loan, 4.5%, 12/12/19
|
2,817,657
|
||
|
Total Capital Goods
|
$ 38,459,021
|
||||
|
COMMERCIAL & PROFESSIONAL SERVICES - 6.4%
|
|||||
|
Commercial Printing - 0.3%
|
|||||
|
791,350
|
NR/NR
|
Cenveo Corp., Term Loan B, 6.25%, 2/13/17
|
$ 796,296
|
||
|
Diversified Support Services - 1.4%
|
|||||
|
1,067,925
|
B-/B2
|
InfoGroup, Inc., Term Loan B, 8.0%, 5/26/18
|
$ 962,913
|
||
|
1,126,166
|
BB-/Ba3
|
KAR Auction Services, Inc., Term Loan, 3.75%, 5/19/17
|
1,133,899
|
||
|
2,251,639
|
B-/B1
|
Language Line LLC, Tranche B Term Loan, 6.25%, 6/20/16
|
2,234,049
|
||
|
$ 4,330,861
|
|||||
|
Environmental & Facilities Services - 1.3%
|
|||||
|
1,086,250
|
BB+/Baa3
|
Convata Energy Corp., Term Loan, 3.5%, 3/28/19
|
$ 1,093,718
|
||
|
298,500
|
BBB-/Ba1
|
Progressive Waste Solutions Ltd., Term B Loan, 3.5%, 10/24/19
|
302,231
|
||
|
497,500
|
B-/B2
|
Tervita Corp., (fka CCS Corp.),Term Loan, 6.25%, 5/15/18
|
493,925
|
||
|
998,719
|
B+/B1
|
Waste Industries USA, Inc., Term Loan B, 4.0%, 3/17/17
|
1,003,713
|
||
|
1,416,568
|
B+/B1
|
WCA Waste Corp., (WCA Waste Systems, Inc.), Term Loan, 4.0%, 3/23/18
|
1,420,994
|
||
|
$ 4,314,581
|
|||||
|
Human Resource & Employment Services - 0.4%
|
|||||
|
1,385,739
|
BB-/Ba2
|
On Assignment, Inc., Initial Term B Loan, 3.5%, 5/15/20
|
$ 1,388,614
|
||
|
Research & Consulting Services - 1.1%
|
|||||
|
1,452,921
|
B+/Ba2
|
Crown Castle Operating Co., New Tranche B Term Loan, 3.25%, 1/31/19
|
$ 1,442,672
|
||
|
2,257,663
|
BB-/Ba3
|
Wyle Services Corp., First Lien Term Loan, 5.0%, 3/26/17
|
2,243,552
|
||
|
$ 3,686,224
|
|||||
|
Security & Alarm Services - 1.9%
|
|||||
|
1,021,510
|
B+/Ba3
|
Allied Security Holdings LLC, First Lien Term Loan, 5.25%, 2/3/17
|
$ 1,029,172
|
||
|
496,250
|
BB/Ba1
|
Garda Security, Term B Loan, 4.5%, 11/13/19
|
500,282
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Security & Alarm Services (continued)
|
|||||
|
498,750
|
BB/B1
|
GEO Group, Inc., Term Loan, 3.25%, 4/3/20
|
$ 500,620
|
||
|
2,389,808
|
B/Ba3
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
2,401,757
|
||
|
1,503,306
|
B+/B1
|
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19
|
1,508,944
|
||
|
$ 5,940,775
|
|||||
|
Total Commercial & Professional Services
|
$ 20,457,351
|
||||
|
CONSUMER DURABLES & APPAREL - 4.8%
|
|||||
|
Apparel, Accessories & Luxury Goods - 0.3%
|
|||||
|
1,042,315
|
BBB-/Ba1
|
PVH Corp., Tranche B Term Loan, 3.25%, 2/13/20
|
$ 1,046,968
|
||
|
Home Furnishings - 1.0%
|
|||||
|
1,713,195
|
B+/B1
|
Serta Simmons Holdings LLC, Term Loan, 5.0%, 10/1/19
|
$ 1,721,762
|
||
|
1,469,161
|
BB/Ba3
|
Tempur Pedic International, Inc., Term Loan B, 3.5%, 3/18/20
|
1,457,407
|
||
|
$ 3,179,169
|
|||||
|
Homebuilding - 0.1%
|
|||||
|
1,000,000(b)(c)(e)
|
BBB-/Ba2
|
WAICCS Las Vegas 3 LLC, First Lien Term Loan, 7.75%, 7/30/09
|
$ 355,000
|
||
|
4,500,000(b)(c)(e)
|
BBB-/Ba2
|
WAICCS Las Vegas 3 LLC, Second Lien Term Loan, 13.25%, 7/30/09
|
–
|
||
|
$ 355,000
|
|||||
|
Housewares & Specialties - 2.7%
|
|||||
|
1,477,330
|
BB+/NR
|
Jarden Corp., New Tranche B Term Loan, 2.682%, 3/31/18
|
$ 1,492,085
|
||
|
1,741,360
|
BB-/Ba3
|
Prestige Brands, Inc., Term B-1 Loan, 3.75%, 1/31/19
|
1,756,162
|
||
|
2,305,875
|
B+/B1
|
Reynolds Group Holdings, Inc., U.S. Term Loan, 4.75%, 9/28/18
|
2,325,023
|
||
|
1,595,500
|
B+/B1
|
World Kitchen LLC, U.S. Term Loan, 5.5%, 3/4/19
|
1,607,466
|
||
|
1,507,319
|
B+/B1
|
Yankee Candle Co., Inc., Initial Term Loan, 5.25%, 4/2/19
|
1,521,764
|
||
|
$ 8,702,500
|
|||||
|
Textiles - 0.7%
|
|||||
|
2,132,859
|
NR/Ba3
|
Klockner Pentaplast of America, Inc., Term Loan B-1, 5.75%, 12/21/16
|
$ 2,148,856
|
||
|
Total Consumer Durables & Apparel
|
$ 15,432,493
|
||||
|
CONSUMER SERVICES - 9.9%
|
|||||
|
Casinos & Gaming - 1.7%
|
|||||
|
1,158,000
|
B-/B3
|
Caesars Entertainment Operating Co., Inc., Term Loan B-4, 9.5%, 10/31/16
|
$ 1,154,622
|
||
|
1,200,000
|
B-/B3
|
Caesars Entertainment Operating Co., Inc., Term Loan B-6, 5.434%, 1/28/18
|
1,079,250
|
||
|
28,184
|
BBB-/Ba2
|
Las Vegas Sands LLC, Delayed Draw I Term Loan, 2.69%, 11/23/16
|
28,203
|
||
|
140,227
|
BBB-/Ba2
|
Las Vegas Sands LLC, Tranche B Term Loan, 2.69%, 11/23/16
|
140,325
|
||
|
1,492,500
|
BB/Ba2
|
MGM Resorts International (MGM Grand Detroit LLC), Term B Loan, 3.5%, 12/20/19
|
1,491,257
|
||
|
1,473,750
|
BBB-/Baa3
|
Seminole Tribe of Florida, Initial Term Loan, 3.0%, 4/29/20
|
1,473,750
|
||
|
$ 5,367,407
|
|||||
|
Education Services - 2.1%
|
|||||
|
3,511,100
|
B+/B1
|
Bright Horizons Family Solutions LLC, Term B Loan, 4.0%, 1/30/20
|
$ 3,527,778
|
||
|
1,496,198
|
B/B1
|
Laureate Education, Inc., Series 2018 Extended Term Loan, 5.25%, 6/15/18
|
1,502,744
|
||
|
1,745,625
|
NR/B2
|
McGraw-Hill Global Education Holdings LLC, Term B Loan, 9.0%, 3/22/19
|
1,767,445
|
||
|
$ 6,797,967
|
|||||
|
Hotels, Resorts & Cruise Lines - 0.9%
|
|||||
|
1,728,125
|
BB-/Ba2
|
Seven Sea Cruises S. DE R.L., Term B-1 Loan, 4.75%, 12/21/18
|
$ 1,741,086
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Hotels, Resorts & Cruise Lines (continued)
|
|||||
|
915,154
|
B/B3
|
Yellowstone Mountain Club LLC, Senior First Lien Term Loan, 6.0%, 7/16/14
|
$ 933,457
|
||
|
$ 2,674,543
|
|||||
|
Internet Software & Services - 0.3%
|
|||||
|
992,513
|
B/B1
|
Sabre, Inc., Term B Loan, 5.25%, 2/19/19
|
$ 1,003,678
|
||
|
Leisure Facilities - 0.8%
|
|||||
|
877,800
|
BB+/Ba1
|
Cedar Fair, LP, U.S. Term Facility, 3.25%, 3/6/20
|
$ 881,860
|
||
|
250,000
|
BB-/Ba3
|
SeaWorld Parks & Entertainment, Inc., Term B-2 Loan, 2.25%, 5/14/20
|
248,504
|
||
|
1,522,114
|
BB+/Ba2
|
Six Flags Theme Parks, Inc., Tranche B Term Loan, 5.25%, 12/20/18
|
$ 1,540,597
|
||
|
$ 2,670,961
|
|||||
|
Restaurants - 3.5%
|
|||||
|
1,113,585
|
BB/Ba3
|
Burger King Corp., 2012 Tranche B Term Loan, 3.75%, 9/28/19
|
$ 1,121,236
|
||
|
207,586
|
BB-/Ba2
|
DineEquity, Inc., Term B-2 Loan, 3.75%, 10/19/17
|
209,106
|
||
|
3,624,610
|
B+/B2
|
Dunkin' Brands, Inc., Term B-3 Loan, 3.75%, 2/14/20
|
3,628,576
|
||
|
2,947,188
|
B+/B1
|
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.75%, 4/24/18
|
2,971,502
|
||
|
1,791,542
|
B/Ba3
|
NPC International, Inc., Term Loan, 4.5%, 12/28/18
|
1,804,978
|
||
|
1,520,538
|
BB-/B1
|
Wendy's International, Inc., Term B Loan, 3.25%, 5/15/19
|
1,521,964
|
||
|
$ 11,257,362
|
|||||
|
Specialized Consumer Services - 0.6%
|
|||||
|
1,995,000
|
BB/Baa1
|
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 3.75%, 4/2/20
|
$ 1,968,816
|
||
|
Total Consumer Services
|
$ 31,740,734
|
||||
|
DIVERSIFIED FINANCIALS - 3.5%
|
|||||
|
Consumer Finance - 0.4%
|
|||||
|
1,224,000
|
B/B3
|
Springleaf Financial Funding Co., Initial Term Loan, 5.5%, 5/10/17
|
$ 1,227,213
|
||
|
Investment Banking & Brokerage - 0.5%
|
|||||
|
220,000
|
B/B1
|
Duff & Phelps Corp., Initial Term Loan, 4.5%, 4/23/20
|
$ 220,825
|
||
|
750,000
|
NR/NR
|
Guggenheim Partners Investment Management Holdings LLC, Initial Term Loan, 4.25%, 7/22/20
|
758,203
|
||
|
543,139
|
BB-/Ba2
|
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3.25%, 3/29/19
|
541,102
|
||
|
$ 1,520,130
|
|||||
|
Other Diversified Financial Services - 2.1%
|
|||||
|
1,735,783
|
BBB/Ba2
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 1,746,632
|
||
|
914,404
|
BBB-/B1
|
Fly Funding II S.a.r.l., Term Loan, 4.5%, 8/8/18
|
923,548
|
||
|
1,000,000
|
NR/Baa2
|
Kasima LLC, Term Loan, 3.25%, 5/17/21
|
997,500
|
||
|
2,050,000
|
B/B1
|
Livingston International, Inc., First Lien Initial Term B-1 Loan, 5.0%, 4/18/19
|
2,050,000
|
||
|
989,394
|
BB/Ba3
|
Ship Luxco 3 S.a.r.l. (RBS Worldpay), Facility B2A, 5.25%, 11/29/19
|
997,309
|
||
|
$ 6,714,989
|
|||||
|
Specialized Finance - 0.5%
|
|||||
|
1,761,150
|
B/B1
|
Mirror Bidco Corp., Term Loan, 5.25%, 12/28/19
|
$ 1,778,395
|
||
|
Total Diversified Financials
|
$ 11,240,727
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
ENERGY - 5.1%
|
|||||
|
Coal & Consumable Fuels - 1.1%
|
|||||
|
900,000
|
B+/Ba3
|
Foresight Energy LLC, Term Loan, 4.5%, 8/21/20
|
$ 896,625
|
||
|
1,500,000
|
BB-/Ba3
|
Murray Energy Corp., Term Loan, 4.75%, 5/24/19
|
1,501,875
|
||
|
1,000,000
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 18.186%, 11/7/14
|
1,000,000
|
||
|
$ 3,398,500
|
|||||
|
Integrated Oil & Gas - 0.2%
|
|||||
|
769,432
|
BBB/Baa2
|
Glenn Pool Oil & Gas Trust 1, Term Loan, 4.5%, 5/2/16
|
$ 773,280
|
||
|
Oil & Gas Drilling - 0.8%
|
|||||
|
997,500
|
B-/B3
|
Offshore Group Investment, Ltd., (Vantage Delaware Holdings LLC), Second Lien Term Loan, 5.75%, 3/28/19
|
$ 1,011,839
|
||
|
1,100,000
|
B+/B1
|
Pacific Drilling SA, Term Loan, 4.5%, 6/3/18
|
1,107,563
|
||
|
497,500
|
B+/Ba1
|
Shelf Drilling Holdings, Ltd., Term Loan, 6.25%, 5/31/18
|
499,987
|
||
|
$ 2,619,389
|
|||||
|
Oil & Gas Equipment & Services - 1.0%
|
|||||
|
1,688,995
|
CCC+/B3
|
Frac Tech Services International, Inc., Term Loan, 8.5%, 5/6/16
|
$ 1,659,438
|
||
|
2,462,500(b)
|
B+/B3
|
Preferred Proppants LLC, Term Loan B, 9.0%, 12/15/16
|
1,514,438
|
||
|
$ 3,173,875
|
|||||
|
Oil & Gas Exploration & Production - 1.5%
|
|||||
|
1,600,000
|
BB-/Ba3
|
Chesapeake Energy Corp., Term Loan, 5.75%, 12/2/17
|
$ 1,636,301
|
||
|
1,516,667
|
B+/Ba3
|
EP Energy LLC, Tranche B-3 Term Loan, 3.5%, 5/24/18
|
1,514,298
|
||
|
1,600,000
|
B/B1
|
Samson Investment Co., Second Initial Term Loan, 6.0%, 9/25/18
|
1,615,600
|
||
|
$ 4,766,199
|
|||||
|
Oil & Gas Refining & Marketing - 0.5%
|
|||||
|
1,701,797
|
BB/Ba2
|
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3.75%, 3/30/18
|
$ 1,701,797
|
||
|
Total Energy
|
$ 16,433,040
|
||||
|
FOOD & STAPLES RETAILING - 1.0%
|
|||||
|
Food Distributors - 0.8%
|
|||||
|
2,500,000
|
B/B1
|
CSM Bakery Supplies LLC, Term Loan, 4.75%, 7/3/20
|
$ 2,484,375
|
||
|
Food Retail - 0.2%
|
|||||
|
617,007
|
B+/B1
|
Roundy's Supermarkets, Inc., Tranche B Term Loan, 5.75%, 2/13/19
|
$ 607,366
|
||
|
Total Food & Staples Retailing
|
$ 3,091,741
|
||||
|
FOOD, BEVERAGE & TOBACCO - 4.9%
|
|||||
|
Agricultural Products - 0.6%
|
|||||
|
1,000,000
|
B/Ba3
|
Arysta LifeScience SPC LLC, Initial First Lien Term Loan, 4.5%, 5/29/20
|
$ 1,003,750
|
||
|
953,475
|
CCC+/Caa1
|
Arysta LifeScience SPC LLC, Initial Second Lien Term Loan, 8.25%, 11/30/20
|
955,859
|
||
|
$ 1,959,609
|
|||||
|
Packaged Foods & Meats - 4.3%
|
|||||
|
587,050
|
B/B1
|
AdvancePierre Foods, Inc., First Lien Term Loan, 5.75%, 7/10/17
|
$ 594,143
|
||
|
950,000
|
BB-/B1
|
Aramark Canada Ltd., Extended Canadian Term Loan B, 3.776%, 7/26/16
|
955,044
|
||
|
2,159,346
|
B/B1
|
Del Monte Foods Co., Initial Term Loan, 4.0%, 3/8/18
|
2,163,924
|
||
|
498,750
|
B+/Ba3
|
Dole Food Company, Inc., Tranche B Term Loan, 3.75%, 4/1/20
|
499,195
|
||
|
1,650,000
|
BB/Ba2
|
H.J. Heinz Co., Term B-2 Loan, 3.5%, 6/5/20
|
1,662,504
|
||
|
1,212,767
|
NR/B2
|
Hearthside Food Solutions LLC, Term Loan A, 6.5%, 6/7/18
|
1,218,831
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Packaged Foods & Meats (continued)
|
|||||
|
1,430,634
|
B+/Ba3
|
Michael Foods Group, Inc., Facility Term Loan B, 4.25%, 2/25/18
|
1,444,941
|
||
|
2,000,000
|
B-/NR
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
2,055,000
|
||
|
2,244,375
|
BB/Ba3
|
Pinnacle Foods Finance LLC, New Term Loan G, 3.25%, 4/29/20
|
2,225,673
|
||
|
891,500
|
BB-/B1
|
Windsor Quality Food Co., Ltd., Tranche B Term Loan, 5.0%, 2/16/17
|
891,210
|
||
|
$ 13,710,465
|
|||||
|
Total Food, Beverage & Tobacco
|
$ 15,670,074
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 13.0%
|
|||||
|
Health Care Equipment & Services - 0.7%
|
|||||
|
1,745,749
|
BB/NR
|
Hologic, Inc., Refinancing Tranche B Term Loan, 3.75%, 8/1/19
|
$ 1,757,969
|
||
|
482,674
|
BB-/Ba2
|
Kinetic Concepts, Inc., Dollar D-1 Term Loan, 4.5%, 5/4/18
|
486,496
|
||
|
$ 2,244,465
|
|||||
|
Health Care Facilities - 4.4%
|
|||||
|
1,116,865
|
BB/Ba2
|
CHS/Community Health Systems, Inc., Extended Term Loan, 3.776%, 1/25/17
|
$ 1,124,282
|
||
|
2,448,472
|
BB/Ba3
|
HCA, Inc., Tranche B-4 Term Loan, 2.932%, 5/1/18
|
2,450,002
|
||
|
3,471,473
|
BB/NR
|
HCA, Inc., Tranche B-5 Term Loan, 3.026%, 3/31/17
|
3,475,541
|
||
|
1,613,019
|
B/Ba3
|
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
|
1,624,614
|
||
|
1,093,740
|
B+/Ba3
|
Kindred Healthcare, Inc., Term B-1 Loan, 4.25%, 6/1/18
|
1,092,373
|
||
|
1,492,509
|
B/B2
|
RCHP, Inc., 2013 First Lien Term Loan, 7.0%, 11/4/18
|
1,488,778
|
||
|
941,501
|
B+/Ba2
|
Select Medical Corp., Tranche B Term Loan, 4.0%, 6/1/18
|
945,416
|
||
|
498,750
|
B/B1
|
United Surgical Partners International, Inc., New Tranche B Term Loan, 4.75%, 4/3/19
|
503,114
|
||
|
589,727
|
BB+/B2
|
Universal Health Services, Inc., Tranche B-1 Term Loan, 2.434%, 11/15/16
|
593,593
|
||
|
648,375
|
BB-/Ba2
|
Vanguard Health Holding Company II LLC, Term B Loan, 3.75%, 1/29/16
|
649,591
|
||
|
$ 13,947,304
|
|||||
|
Health Care Services - 5.9%
|
|||||
|
626,996
|
B+/B2
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 346,415
|
||
|
550,000
|
B+/Ba3
|
Alliance Healthcare Services, Inc., Initial Term Loan, 4.25%, 6/3/19
|
551,375
|
||
|
791,025
|
B+/B1
|
Ardent Medical Services, Inc., First Lien Term Loan, 6.75%, 7/2/18
|
794,486
|
||
|
875,000
|
B+/Ba3
|
BSN Medical Luxembourg Holding, S.a.r.l. (P & F Capital), Facility Term Loan B-1A, 4.0%, 8/28/19
|
879,922
|
||
|
2,187,529
|
B-/B3
|
CCS Medical, Inc., First Lien Loan, 8.25%, 3/31/15
|
2,149,248
|
||
|
957,050(f)
|
CCC/Caa2
|
CCS Medical, Inc., Second Lien Term Loan, 3.25%, 3/31/16
|
868,522
|
||
|
1,393,000
|
BB-/Ba2
|
Davita HealthCare Partners, Inc., Term Loan B2, 4.0%, 11/1/19
|
1,401,457
|
||
|
1,194,412
|
B+/B1
|
Emergency Medical Services Corp., Initial Term Loan, 4.0%, 5/25/18
|
1,198,677
|
||
|
1,383,638
|
B+/B1
|
Gentiva Health Services, Inc., Term Loan B-1, 6.5%, 8/17/16
|
1,385,656
|
||
|
770,005
|
B/B2
|
Inventiv Health, Inc., Consolidated Term Loan, 7.5%, 8/4/16
|
754,124
|
||
|
2,487,750
|
B+/B1
|
National Mentor Holdings, Inc., Tranche B-1 Term Loan, 6.5%, 2/9/17
|
2,518,846
|
||
|
400,000
|
B/B2
|
National Surgical Hospitals, Inc., Term Loan, 5.75%, 8/1/19
|
400,250
|
||
|
2,107,000
|
D/NR
|
Rural/Metro Operating Co., LLC, First Lien Term Loan, 5.75%, 6/30/18
|
2,000,333
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Health Care Services (continued)
|
|||||
|
1,250,000
|
B/B2
|
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
|
1,221,875
|
||
|
562,175
|
B/B2
|
Surgery Center Holdings, Inc., First Lien Term Loan, 6.0%, 4/11/19
|
564,986
|
||
|
606,912
|
B/B1
|
Valitas Health Services, Inc., Term Loan B, 5.75%, 6/2/17
|
606,153
|
||
|
2,193,750
|
B+/B1
|
Virtual Radiologic Corp., Term Loan A, 7.75%, 12/22/16
|
1,436,906
|
||
|
$ 19,079,231
|
|||||
|
Health Care Supplies - 0.2%
|
|||||
|
713,646
|
B+/NR
|
Alere, Inc., Term Loan B, 5.5%, 6/30/17
|
$ 718,775
|
||
|
Health Care Technology - 1.4%
|
|||||
|
727,198
|
B+/Ba3
|
ConvaTec, Inc., Dollar Term Loan, 5.0%, 12/22/16
|
$ 732,949
|
||
|
2,113,303
|
BB-/Ba3
|
Emdeon, Inc., Term B-2 Loan, 3.75%, 11/2/18
|
2,121,228
|
||
|
629,042
|
BB-/Ba3
|
MedAssets, Inc., Term B Loan, 4.0%, 12/13/19
|
631,692
|
||
|
1,081,374
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 3.0%, 9/17/15
|
1,016,492
|
||
|
$ 4,502,361
|
|||||
|
Managed Health Care - 0.4%
|
|||||
|
710,049
|
B+/B2
|
MMM Holdings, Inc., MMM Term Loan, 9.75%, 12/12/17
|
$ 714,487
|
||
|
516,398
|
NR/B2
|
MSO of Puerto Rico, Inc., Term Loan, 9.75%, 12/12/17
|
516,398
|
||
|
$ 1,230,885
|
|||||
|
Total Health Care Equipment & Services
|
$ 41,723,021
|
||||
|
HOUSEHOLD & PERSONAL PRODUCTS - 3.7%
|
|||||
|
Household Products - 2.4%
|
|||||
|
200,000
|
B+/B1
|
Berlin Packaging LLC, 2013 First Lien Term Loan, 4.75%, 4/2/19
|
$ 201,437
|
||
|
1,130,000
|
BB/Ba3
|
Spectrum Brands, Inc., Tranche C Term Loan, 2.75%, 8/13/19
|
1,132,396
|
||
|
1,036,329
|
B/Ba3
|
Spectrum Brands, Inc., Term Loan, 4.5%, 12/17/19
|
1,045,397
|
||
|
988,330
|
BB-/B1
|
SRAM LLC, First Lien Term Loan, 5.25%, 4/10/20
|
985,847
|
||
|
265,016
|
B/B1
|
Waddington North America, Inc., Term Loan 2013, 4.5%, 6/7/20
|
266,175
|
||
|
3,781,910
|
B-/B2
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 6.25%, 2/21/19
|
3,800,820
|
||
|
143,959
|
B/B1
|
WNA Holdings, Inc., Term Loan, 4.5%, 6/7/20
|
144,589
|
||
|
$ 7,576,661
|
|||||
|
Personal Products - 1.3%
|
|||||
|
2,094,571
|
BB-/NR
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
2,110,595
|
||
|
2,088,281
|
B+/Ba2
|
Revlon Consumer Products Corp., Replacement Term Loan, 4.0%, 11/20/17
|
2,096,112
|
||
|
$ 4,206,707
|
|||||
|
Total Household & Personal Products
|
$ 11,783,368
|
||||
|
INSURANCE - 3.5%
|
|||||
|
Insurance Brokers - 1.7%
|
|||||
|
995,000
|
B/B1
|
AmWins Group LLC, Term Loan, 5.0%, 9/6/19
|
$ 1,001,219
|
||
|
4,315,754
|
B+/B1
|
HUB International, Ltd., 2017 Initial Term Loan, 3.682%, 6/13/17
|
4,329,689
|
||
|
$ 5,330,908
|
|||||
|
Life & Health Insurance - 0.3%
|
|||||
|
927,198
|
BB-/Ba3
|
CNO Financial Group, Inc., Tranche B-2 Term Loan, 3.75%, 9/28/18
|
$ 932,993
|
||
|
Multi-Line Insurance - 0.1%
|
|||||
|
497,500
|
B-/B1
|
Alliant Holdings I LLC, Initial Term Loan, 5.0%, 12/20/19
|
$ 500,295
|
||
|
Property & Casualty Insurance - 1.4%
|
|||||
|
2,461,581
|
B-/B2
|
Confie Seguros Holding II Co., First Lien Term Loan B, 6.5%, 11/9/18
|
$ 2,473,889
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Property & Casualty Insurance (continued)
|
|||||
|
1,965,125
|
B-/B1
|
USI, Inc., Initial Term Loan, 5.0%, 12/27/19
|
$ 1,978,389
|
||
|
$ 4,452,278
|
|||||
|
Total Insurance
|
$ 11,216,474
|
||||
|
MATERIALS - 12.0%
|
|||||
|
Aluminum - 1.1%
|
|||||
|
1,367,688
|
B/B1
|
Noranda Aluminum Acquisition Corp., Term Loan B, 5.75%, 2/28/19
|
$ 1,302,722
|
||
|
2,193,775
|
BB-/Ba2
|
Novelis, Inc., Initial Term Loan, 3.75%, 3/10/17
|
2,196,517
|
||
|
$ 3,499,239
|
|||||
|
Commodity Chemicals - 0.6%
|
|||||
|
1,185,045
|
BB-/B1
|
Taminco Global Chemical Corp., Tranche B-2 Dollar Term Loan, 4.25%, 2/15/19
|
$ 1,195,785
|
||
|
825,429
|
BBB-/Ba2
|
Tronox Pigments (Netherlands) B.V., Closing DateTerm Loan, 4.5%, 3/19/20
|
835,059
|
||
|
$ 2,030,844
|
|||||
|
Diversified Chemicals - 2.8%
|
|||||
|
2,508,150
|
B+/B1
|
Axalta Coating Systems Dutch Holding B B.V. & Axalta Coating Systems U.S. Holdings, Inc., Initial Term B Loan, 4.75%, 2/1/20
|
$ 2,528,373
|
||
|
327,462
|
BBB/Ba1
|
Celanese U.S. Holdings LLC, Dollar Term Loan C, 3.023%, 10/31/16
|
331,646
|
||
|
647,725
|
BBB-/Ba1
|
Eagle Spinco, Inc., Term Loan, 3.5%, 1/28/17
|
655,822
|
||
|
981,132
|
B/B1
|
General Chemical Corp., New Tranche B Term Loan, 5.75%, 10/6/15
|
987,571
|
||
|
1,228,551
|
BB-/B1
|
Ineos U.S. Finance LLC, Cash Dollar Term Loan, 4.0%, 5/4/18
|
1,220,873
|
||
|
1,857,250
|
B/B2
|
Nexeo Solutions LLC, Initial Term Loan, 5.0%, 9/8/17
|
1,845,642
|
||
|
1,433,263
|
B+/B2
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
1,405,270
|
||
|
$ 8,975,197
|
|||||
|
Diversified Metals & Mining - 0.6%
|
|||||
|
121,336
|
BB+/Ba1
|
SunCoke Energy, Inc., Tranche B Term Loan, 4.0%, 7/26/18
|
$ 121,033
|
||
|
1,029,000
|
BB-/NR
|
U.S. Silica Co., Term Loan, 3.23%, 7/23/20
|
1,031,572
|
||
|
877,527
|
B+/B2
|
Walter Energy, Inc., Term Loan B, 6.75%, 4/2/18
|
835,374
|
||
|
$ 1,987,979
|
|||||
|
Metal & Glass Containers - 1.2%
|
|||||
|
2,206,024
|
B/B1
|
BWAY Holding Co., Initial Term Loan, 4.5%, 8/6/17
|
$ 2,228,084
|
||
|
1,611,296
|
B/B1
|
Tank Holding Corp., Initial Term Loan, 5.5%, 7/9/19
|
1,607,268
|
||
|
$ 3,835,352
|
|||||
|
Paper Packaging - 0.9%
|
|||||
|
1,496,183
|
B/B2
|
Exopack LLC/Cello-Foil Products, Inc., Term Loan B, 5.0%, 5/31/17
|
$ 1,511,145
|
||
|
1,342,107
|
BB/Ba1
|
Sealed Air Corp., Facility Term Loan B-1, 4.0%, 10/3/18
|
1,358,548
|
||
|
$ 2,869,693
|
|||||
|
Paper Products - 1.2%
|
|||||
|
3,500,000
|
B+/Ba3
|
Appvion, Inc., Term Commitment, 6.75%, 6/28/19
|
$ 3,500,000
|
||
|
300,000
|
BB-/Ba3
|
Ranpak Corp., USD First Lien Term Loan, 4.5%, 4/23/19
|
302,250
|
||
|
$ 3,802,250
|
|||||
|
Precious Metals & Minerals - 0.6%
|
|||||
|
1,823,891
|
BB-/B1
|
Fairmount Minerals, Ltd., Tranche B Term Loan, 5.25%, 3/15/17
|
$ 1,826,551
|
||
|
Specialty Chemicals - 1.7%
|
|||||
|
2,776,724
|
BB+/Ba1
|
Chemtura Corp., Facility Term Loan, 5.5%, 8/29/16
|
$ 2,801,020
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Specialty Chemicals (continued)
|
|||||
|
153,156
|
BB+/Ba1
|
Huntsman International LLC, Extended Term B Loan, 2.729%, 4/19/17
|
153,744
|
||
|
392,393
|
B-/Caa1
|
Macdermid, Inc., Second Lien Term Loan, 7.75%, 12/7/20
|
398,278
|
||
|
1,990,000
|
B+/B2
|
PQ Corp. Term Loan, 4.5%, 8/7/17
|
$ 2,003,992
|
||
|
$ 5,357,034
|
|||||
|
Steel - 1.3%
|
|||||
|
496,250
|
B/B1
|
Essar Steel Algoma, Inc., Term Loan, 8.75%, 9/19/14
|
$ 506,382
|
||
|
2,978,744
|
BB+/Ba1
|
FMG Resources (August 2006) Pty, Ltd., Term Loan, 5.25%, 10/18/17
|
2,993,843
|
||
|
887,412
|
BB-/B1
|
JMC Steel Group, Inc., Term Loan, 4.75%, 4/1/17
|
889,630
|
||
|
$ 4,389,855
|
|||||
|
Total Materials
|
$ 38,573,994
|
||||
|
MEDIA - 17.6%
|
|||||
|
Advertising - 2.6%
|
|||||
|
922,688
|
B+/NR
|
Acosta, Inc., Term Loan D, 5.0%, 3/2/18
|
$ 930,530
|
||
|
1,806,921
|
B+/Ba3
|
Advantage Sales & Marketing, Inc., First Lien Term Loan, 4.25%, 12/18/17
|
1,818,968
|
||
|
3,136,397
|
B-/B2
|
Affinion Group, Inc., Tranche B Term Loan, 6.5%, 10/9/16
|
3,023,192
|
||
|
2,039,750
|
B/B1
|
Crossmark Holdings, Inc., First Lien Term Loan, 4.5%, 12/20/19
|
2,033,376
|
||
|
497,500
|
B/B1
|
Getty Images, Inc., New Initial Term Loan, 4.75%, 10/18/19
|
480,709
|
||
|
77,091
|
BB+/Baa3
|
Lamar Media Corp., Term Loan B, 4.0%, 12/30/16
|
77,412
|
||
|
$ 8,364,187
|
|||||
|
Broadcasting - 5.6%
|
|||||
|
360,903
|
BB-/Ba3
|
Entercom Radio LLC, Term B-1 Loan, 5.0%, 11/23/18
|
$ 365,339
|
||
|
1,920,181
|
B/B2
|
FoxCo Acquisition Sub LLC, Initial Term Loan, 5.5%, 7/14/17
|
1,933,767
|
||
|
201,618
|
B+/NR
|
Hubbard Radio LLC, First Lien Term Loan, 4.5%, 4/29/19
|
202,711
|
||
|
1,920,000
|
NR/Ba3
|
MCC Iowa LLC, Tranche H Term Loan, 3.25%, 1/29/21
|
1,911,888
|
||
|
1,417,875
|
B/B1
|
NEP/NCP Holdco, Inc., Refinanced First Lien New Term Loan, 4.75%, 1/22/20
|
1,427,180
|
||
|
937,333
|
B/B2
|
Salem Communications Corp., Term Loan, 4.5%, 3/13/20
|
945,144
|
||
|
1,038,990
|
BB+/Ba1
|
Sinclair Television Group, Inc., Tranche B Term Loan, 3.0%, 4/9/20
|
1,041,068
|
||
|
742,514
|
B+/Ba3
|
Truven Health Analytics, Inc., Tranche B Term Loan, 4.5%, 6/6/19
|
745,521
|
||
|
1,762,544
|
B+/Ba3
|
TWCC Holding Corp., Term Loan, 3.5%, 2/13/17
|
1,771,357
|
||
|
7,748,869
|
B+/B2
|
Univision Communications, Inc., Converted Extended First-Lien Term Loan, 4.5%, 3/1/20
|
7,744,026
|
||
|
$ 18,088,001
|
|||||
|
Cable & Satellite – 6.4%
|
|||||
|
7,006,250
|
BB-/Ba2
|
Cequel Communications LLC, Term Loan, 3.5%, 2/14/19
|
$ 7,025,503
|
||
|
2,045,000
|
BB+/Baa3
|
Charter Communications Operating LLC, Term F Loan, 3.0%, 12/31/20
|
2,031,325
|
||
|
1,200,000
|
BB+/NR
|
Kabel Deutschland Gmbh, Facility Term Loan F-1, 3.25%, 2/1/19
|
1,200,965
|
||
|
1,736,875
|
NR/NR
|
MCC Iowa LLC, Tranche G Term Loan, 4.0%, 1/20/20
|
1,740,840
|
||
|
3,467,520
|
BB-/Ba3
|
Telesat Canada, U.S. Term B-2 Loan, 3.5%, 3/28/19
|
3,477,923
|
||
|
GBP
|
400,000
|
BB-/Ba3
|
Virgin Media Investment Holdings, Ltd., GBP Term Loan C, 4.5%, 6/8/20
|
623,623
|
|
|
1,660,000
|
BB-/Ba3
|
Virgin Media Investment Holdings, Ltd., New Term Loan B, 3.5%, 6/8/20
|
1,654,378
|
||
|
2,785,913
|
B/B1
|
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19
|
2,811,379
|
||
|
$ 20,565,936
|
|||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Movies & Entertainment - 2.1%
|
|||||
|
1,184,629
|
BB-/Ba2
|
AMC Entertainment, Inc. Initial Term Loan, 3.5%, 4/30/20
|
$ 1,187,499
|
||
|
1,250,000
|
B+/B1
|
Aufino Pty, Ltd. /U.S. Finco LLC (Hoyts Group), Term Loan B, 4.0%, 5/30/20
|
1,252,604
|
||
|
908,859
|
NR/Baa3
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
912,268
|
||
|
653,503
|
NR/NR
|
Lodgenet Interactive Corp., Term Loan, 6.75%, 3/28/18
|
$ 393,193
|
||
|
1,100,000
|
BB+/Ba1
|
Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.5%, 5/14/20
|
1,100,687
|
||
|
2,062,500
|
NR/Ba3
|
WMG Acquisitions Corp., Tranche B Refinancing Term Loan, 3.75%,
7/1/20
|
2,066,367
|
||
|
$ 6,912,618
|
|||||
|
Publishing - 0.9%
|
|||||
|
966,667(b)
|
CCC+/Caa2
|
Cengage Learning Acquisitions, Inc., Term Loan, 4.75%, 7/3/14
|
$ 696,805
|
||
|
1,612,340
|
B+/Ba3
|
Interactive Data Corp., Refinanced Term Loan, 3.75%, 2/11/18
|
1,611,668
|
||
|
496,254
|
BB-/Ba3
|
MTL Publishing LLC, Term Loan B, 4.25%, 6/29/18
|
498,943
|
||
|
$ 2,807,416
|
|||||
|
Total Media
|
$ 56,738,157
|
||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.9%
|
|||||
|
Biotechnology – 2.1%
|
|||||
|
935,500
|
BB+/Ba3
|
Alkermes, Inc., 2019 Term Loan, 3.5%, 9/25/19
|
$ 937,839
|
||
|
2,757,875
|
BB/B2
|
Aptalis Pharma, Inc., Term Loan B-1, 5.5%, 2/10/17
|
2,771,664
|
||
|
1,514,758
|
BB+/Ba1
|
Grifols, Inc., New U.S. Tranche B Term Loan, 4.25%, 6/1/17
|
1,528,113
|
||
|
271,144
|
BBB-/Ba3
|
Warner Chilcott Corp., Additional Term B-1 Loan, 4.25%, 3/15/18
|
271,822
|
||
|
622,855
|
BBB-/Ba3
|
Warner Chilcott Corp., Term B-1 Loan, 4.25%, 3/15/18
|
624,413
|
||
|
490,821
|
BBB-/Ba3
|
WC Luxco S.a.r.l., Term B-3 Loan, 4.25%, 3/15/18
|
492,048
|
||
|
$ 6,625,899
|
|||||
|
Pharmaceuticals - 1.8%
|
|||||
|
2,958,416(f)
|
CCC+/NR
|
Graceway Pharmaceuticals LLC, Mezzanine Term Loan, 14.0%, 11/1/13
|
$ 8,322
|
||
|
500,000
|
B+/B1
|
Harvard Drug Group, LLC Term Loan, 5.0%, 8/16/20
|
502,500
|
||
|
1,382,332
|
NR/NR
|
K-V Pharmaceutical Co., DIP Facility, 11.25%, 12/27/13
|
1,340,863
|
||
|
833,982
|
B+/B2
|
Medpace Intermediateco, Inc., Term Loan B, 5.25%, 6/19/17
|
836,067
|
||
|
1,488,769
|
B+/B1
|
Par Pharmaceutical Co., Inc., Term B-1 Loan, 4.25%, 9/30/19
|
1,486,132
|
||
|
990,000
|
BBB-/Ba1
|
Valeant Pharmaceuticals International, Inc., Series C-1 Tranche B Term Loan, 4.375%, 12/11/19
|
995,255
|
||
|
742,500
|
BBB-/Ba1
|
Valeant Pharmaceuticals International, Inc., Series D-1 Tranche B Term Loan, 4.375%, 2/13/19
|
746,276
|
||
|
$ 5,915,415
|
|||||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 12,541,314
|
||||
|
REAL ESTATE - 1.1%
|
|||||
|
Diversified Real Estate Activities - 0.1%
|
|||||
|
498,750
|
BB/Ba1
|
CBRE Services, Inc., Tranche B Term Loan, 2.937%, 3/28/21
|
$ 499,997
|
||
|
Real Estate Services - 1.0%
|
|||||
|
1,642,373
|
BB-/B1
|
Altisource Solutions, S.a.r.l, Term Loan B, 5.75%, 11/27/19
|
$ 1,653,665
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Real Estate Services (continued)
|
|||||
|
1,493,077
|
B/B1
|
GCA Services Group, Inc., First Lien Initial Term Loan, 5.25%, 11/1/19
|
1,499,609
|
||
|
$ 3,153,274
|
|||||
|
Total Real Estate
|
$ 3,653,271
|
||||
|
RETAILING - 3.0%
|
|||||
|
Apparel Retail – 0.9%
|
|||||
|
2,344,824
|
B-/B2
|
Gymboree Corp., Term Loan, 5.0%, 2/23/18
|
$ 2,260,558
|
||
|
538,315
|
NR/NR
|
Johnny Appleseed's, Inc., First Lien Second Out Term Loan, 6.5%, 4/25/16
|
508,708
|
||
|
149,628
|
NR/NR
|
Johnny Appleseed's, Inc., Junior Term Loan, 8.0%, 4/25/17
|
141,398
|
||
|
$ 2,910,664
|
|||||
|
Automotive Retail - 0.5%
|
|||||
|
721,811
|
BB/Ba1
|
Avis Budget Car Rental LLC, Tranche B Term Loan, 3.0%, 3/15/19
|
721,811
|
||
|
995,000
|
BB/Ba1
|
Hertz Corp., Tranche B-1 Term Loan, 3.75%, 3/11/18
|
998,731
|
||
|
$ 1,720,542
|
|||||
|
Computer & Electronics Retail - 0.6%
|
|||||
|
1,826,479
|
B/B2
|
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16
|
$ 1,835,611
|
||
|
Distributors – 0.2%
|
|||||
|
685,000
|
B+/B2
|
Spin Holdco, Inc., Initial First Lien Term Loan, 4.25%, 11/14/19
|
$ 688,596
|
||
|
Home Improvement Retail - 0.8%
|
|||||
|
748,125
|
B/B1
|
Apex Tool Group LLC, Term Loan, 4.5%, 1/31/20
|
$ 752,041
|
||
|
1,866,843
|
B/Ba3
|
Hillman Group, Inc., Term Loan, 4.25%, 5/28/17
|
1,884,345
|
||
|
$ 2,636,386
|
|||||
|
Total Retailing
|
$ 9,791,799
|
||||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.3%
|
|||||
|
Semiconductor Equipment - 0.7%
|
|||||
|
1,831,196
|
BB-/B1
|
Aeroflex, Inc., Tranche B-1 Term Loan, 4.5%, 11/9/19
|
$ 1,848,364
|
||
|
515,455
|
BBB-/Baa3
|
Sensata Technology BV/Sensata Technology Finance Co., LLC, Term Loan, 3.75%, 5/12/18
|
519,965
|
||
|
$ 2,368,329
|
|||||
|
Semiconductors - 0.6%
|
|||||
|
1,943,844
|
BB/NR
|
Microsemi Corp., Term Loan B, 3.75%, 2/19/20
|
$ 1,954,374
|
||
|
Total Semiconductors & Semiconductor Equipment
|
$ 4,322,703
|
||||
|
SOFTWARE & SERVICES - 10.3%
|
|||||
|
Application Software - 5.8%
|
|||||
|
1,391,453
|
BB-/NR
|
Applied Systems, Inc., First Lien Term Loan, 4.25%, 12/8/16
|
$ 1,401,889
|
||
|
2,300,000
|
NR/NR
|
Applied Systems, Inc., Second Lien Term Loan, 8.25%, 6/8/17
|
2,325,158
|
||
|
1,000,000
|
BB-/B1
|
Epiq Systems, Inc., Term Loan, 3.75%, 8/27/20
|
1,000,000
|
||
|
3,342,959
|
B-/Ba3
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
3,418,176
|
||
|
952,938
|
NR/B2
|
Houghton Mifflin Holdings., Term Loan, 5.25%, 5/22/18
|
960,680
|
||
|
1,087,762
|
B+/Ba3
|
Infor (U.S.), Inc., Tranche B-2 Term Loan, 5.25%, 4/5/18
|
1,095,241
|
||
|
1,546,017
|
BB+/NR
|
Nuance Communications, Inc., Term Loan C, 2.94%, 8/7/19
|
1,552,453
|
||
|
1,509,527
|
B+/B1
|
Serena Software, Inc., Extended 2016 Term Loan, 4.184%, 3/10/16
|
1,479,336
|
||
|
2,391,609
|
BB-/B1
|
Verint Systems, Inc., Term Loan, 4.0%, 9/6/19
|
2,405,062
|
||
|
1,000,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
1,020,500
|
||
|
1,902,842
|
B+/B1
|
Vertafore, Inc., Term Loan, 4.25%, 10/3/19
|
1,914,734
|
||
|
$ 18,573,229
|
|||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Data Processing & Outsourced Services - 1.2%
|
|||||
|
60,879
|
B+/B1
|
First Data Corp., 2017 Dollar Term Loan, 4.184%, 3/24/17
|
$ 60,470
|
||
|
1,000,000
|
B+/NR
|
First Data Corp., 2018 B Term Loan, 4.184%, 9/24/18
|
990,000
|
||
|
802,493
|
B+/B1
|
First Data Corp., 2018 Dollar Term Loan, 4.184%, 3/23/18
|
796,850
|
||
|
1,865,625
|
BB+/Ba2
|
Genpact, Ltd., Term Loan, 3.5%, 8/30/19
|
1,871,067
|
||
|
$ 3,718,387
|
|||||
|
Internet Software & Services - 0.1%
|
|||||
|
391,000
|
BB+/Ba3
|
Autotrader.com, Inc., Tranche B-1 Term Loan, 4.0%, 12/15/16
|
$ 394,747
|
||
|
IT Consulting & Other Services - 1.7%
|
|||||
|
1,985,000
|
BBB-/Baa3
|
Booz Allen Hamilton, Inc., Initial Tranche B Term Loan, 3.75%, 7/31/19
|
$ 1,988,309
|
||
|
1,243,750
|
B+/B1
|
Deltek, Inc., First Lien Term Loan, 5.0%, 10/10/18
|
$ 1,248,803
|
||
|
497,500
|
B/Ba3
|
Kronos, Inc., First Lien Incremental Term Loan, 4.5%, 10/30/19
|
500,920
|
||
|
1,800,140
|
BB/Ba3
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.936%, 2/28/17
|
1,808,836
|
||
|
$ 5,546,868
|
|||||
|
Systems Software - 1.5%
|
|||||
|
906,059
|
BBB-/Ba2
|
Dealer Computer Services, Inc., Tranche B Term Loan, 2.183%, 4/21/16
|
$ 913,980
|
||
|
2,034,900
|
BB/Ba2
|
Rovi Solutions Corp., Tranche B-3 Term Loan, 3.5%, 3/29/19
|
2,034,900
|
||
|
2,000,000
|
B+/B1
|
Stoneriver Group, LP, Initial First Lien Term Loan, 4.5%, 11/30/19
|
1,995,000
|
||
|
$ 4,943,880
|
|||||
|
Total Software & Services
|
$ 33,177,111
|
||||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 4.0%
|
|||||
|
Communications Equipment - 1.8%
|
|||||
|
1,488,750
|
B+/B1
|
Audio Visual Services Group, Inc., First Lien Term Loan, 6.75%, 11/9/18
|
$ 1,511,081
|
||
|
947,252
|
B/B1
|
Avaya, Inc., Term B-5 Loan, 8.0%, 3/31/18
|
898,113
|
||
|
975,038
|
BB/Ba3
|
CommScope, Inc., Tranche 2 Term Loan, 3.75%, 1/14/18
|
978,841
|
||
|
2,305,366
|
BBB-/Ba3
|
Riverbed Technology, Inc., Term Loan, 4.0%, 12/18/19
|
2,326,690
|
||
|
$ 5,714,725
|
|||||
|
Electronic Components - 1.3%
|
|||||
|
1,310,000
|
B+/B2
|
Generac Power Systems, Inc., Term Loan, 3.5%, 5/31/20
|
1,301,797
|
||
|
1,578,455
|
B/B2
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
1,550,832
|
||
|
1,375,000
|
B/B2
|
Securus Technologies Holdings, Inc., Initial First Lien Term Loan, 4.75%, 4/30/20
|
1,357,239
|
||
|
$ 4,209,868
|
|||||
|
Electronic Equipment & Instruments - 0.3%
|
|||||
|
987,374
|
B+/Ba3
|
Sensus USA, Inc., Term Loan, 4.75%, 5/9/17
|
$ 978,117
|
||
|
Electronic Manufacturing Services - 0.2%
|
|||||
|
586,447
|
B+/B2
|
Clover Technologies Group LLC, (Clover Holdings, Inc.), Term Loan, 7.75%, 5/7/18
|
$ 586,814
|
||
|
Technology Distributors - 0.4%
|
|||||
|
1,284,706
|
BB-/B1
|
Excelitas Technologies Corp., New Term Loan B, 5.0%, 11/29/16
|
$ 1,291,130
|
||
|
Total Technology Hardware & Equipment
|
$ 12,780,654
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
TELECOMMUNICATION SERVICES - 2.1%
|
|||||
|
Integrated Telecommunication Services - 1.5%
|
|||||
|
870,000
|
BB+/Baa3
|
TW Telecom Holdings, Inc., (fka Time Warner Telecom Holdings, Inc.), Term Loan B Loan, 2.69%, 4/17/20
|
$ 872,610
|
||
|
1,122,180
|
B+/Ba3
|
West Corp., Term B-7 Loan, 3.25%, 7/15/16
|
1,131,438
|
||
|
1,620,449
|
BB/Ba3
|
West Corp., Term B-8 Loan, 3.75%, 6/30/18
|
1,624,332
|
||
|
1,243,750
|
BB+/Baa3
|
Windstream Corp., Tranche B-4 Term Loan, 3.5%, 1/23/20
|
1,246,984
|
||
|
$ 4,875,364
|
|||||
|
Wireless Telecommunication Services - 0.6%
|
|||||
|
1,955,250
|
BB-/B1
|
Syniverse Holdings, Inc., Initial Term Loan, 5.0%, 4/23/19
|
$ 1,968,692
|
||
|
Total Telecommunication Services
|
$ 6,844,056
|
||||
|
TRANSPORTATION - 5.2%
|
|||||
|
Air Freight & Logistics - 0.9%
|
|||||
|
497,500
|
B/B2
|
Air Medical Group Holdings, Inc., Term Loan B-1, 6.5%, 6/30/18
|
$ 507,450
|
||
|
300,000
|
B/B1
|
Ceva Group Plc, Dollar Tranche B Pre-Funded L/C, 0.176%, 8/31/16
|
282,375
|
||
|
1,200,000
|
CCC+/Caa1
|
Ceva Group Plc, Tranche B Term Loan, 5.266%, 8/31/16
|
1,142,100
|
||
|
1,065,000
|
B-/B2
|
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19
|
$ 1,071,656
|
||
|
$ 3,003,581
|
|||||
|
Airlines - 3.2%
|
|||||
|
830,875
|
BB-/Ba3
|
Allegiant Travel Co., Term Loan, 5.75%, 3/10/17
|
$ 837,107
|
||
|
3,000,000
|
NR/NR
|
American Airlines, Inc., Class B Term Loan, 4.75%, 6/27/19
|
2,973,750
|
||
|
249,375
|
BB-/Ba2
|
Continental Airlines, Inc., (United Air Lines, Inc.), Class B Term Loan, 4.0%, 4/1/19
|
250,714
|
||
|
1,492,500
|
B+/Ba2
|
Delta Air Lines, Inc., Term B-1 Loan, 4.0%, 10/18/18
|
1,499,957
|
||
|
1,323,000
|
BB/Ba1
|
Delta Air Lines, Inc., Term Loan, 4.25%, 4/20/17
|
1,332,585
|
||
|
1,293,750
|
B+/B2
|
U.S. Airways, Inc., B1 Term Loan, 4.25%, 5/23/19
|
1,282,026
|
||
|
2,156,250
|
B+/B2
|
U.S. Airways, Inc., B2 Term Loan, 3.5%, 11/23/16
|
2,155,577
|
||
|
$ 10,331,716
|
|||||
|
Marine - 0.3%
|
|||||
|
997,500
|
CCC/B3
|
Commercial Barge Line Co., Initial First Lien Term Loan, 7.5%, 9/22/19
|
$ 955,106
|
||
|
Marine Ports & Services - 0.4%
|
|||||
|
1,150,000
|
B/B3
|
Lineage Logistics LLC, Term Loan, 4.5%, 4/26/19
|
$ 1,150,000
|
||
|
Trucking - 0.4%
|
|||||
|
1,216,617
|
NR/Ba2
|
Swift Transportation Co., LLC, Tranche B-2 Term Loan, 4.0%, 12/21/17
|
$ 1,226,958
|
||
|
Total Transportation
|
$ 16,667,362
|
||||
|
UTILITIES - 4.1%
|
|||||
|
Electric Utilities – 1.8%
|
|||||
|
2,250,000
|
BB/Ba3
|
Calpine Construction Finance Company, LP, Term B-1 Loan, 3.0%, 5/3/20
|
$ 2,227,813
|
||
|
1,195,750
|
BB-/Ba3
|
Star West Generation LLC, Term B Advance, 4.25%, 3/13/20
|
1,207,707
|
||
|
3,506,137
|
CCC/Caa3
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.766%, 10/10/17
|
2,383,079
|
||
|
$ 5,818,599
|
|||||
|
Independent Power Producers & Energy Traders - 2.3%
|
|||||
|
1,249,750
|
BB+/Ba1
|
AES Corp., Initial Term Loan, 3.75%, 6/1/18
|
$ 1,261,858
|
||
|
1,686,188
|
BB-/B1
|
Calpine Corp., Term Loan, 4.0%, 4/1/18
|
1,694,423
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Independent Power Producers & Energy Traders (continued)
|
|||||
|
496,250
|
BB-/B1
|
Calpine Corp., Term Loan, 4.0%, 10/9/19
|
498,537
|
||
|
1,076,923
|
BB-/B2
|
Dynegy, Inc., Tranche B-2 Term Loan, 4.0%, 4/23/20
|
1,072,481
|
||
|
1,241,838
|
BB-/Baa3
|
NRG Energy, Inc., 2013 Term Loan, 2.75%, 7/1/18
|
1,235,862
|
||
|
1,500,000
|
NR/NR
|
STI Infrastructure S.a.r.l., Term Loan, 5.25%, 6/30/20
|
1,481,250
|
||
|
$ 7,244,411
|
|||||
|
Total Utilities
|
$ 13,063,010
|
||||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
|
(Cost $459,903,083)
|
$ 449,776,224
|
||||
|
CLAIMS - 0.0%† of Net Assets
|
|||||
|
TRANSPORTATION - 0.0%†
|
|||||
|
Airlines - 0.0%†
|
|||||
|
1,200,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., ALPA Claim-Escrow, 0.0%
|
$ –
|
||
|
2,500,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., Bell Atlantic Claim-Escrow, 0.0%
|
–
|
||
|
2,500,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., EDC Claim-Escrow, 0.0%
|
–
|
||
|
2,130,600(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., Flight Attendant Claim-Escrow, 0.0%
|
–
|
||
|
1,500,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., GE Claim-Escrow, 0.0%
|
–
|
||
|
1,264,500(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., IAM Claim-Escrow, 0.0%
|
–
|
||
|
1,404,900(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., Retiree Claim-Escrow, 0.0%
|
–
|
||
|
Total Transportation
|
$ –
|
||||
|
TOTAL CLAIMS
|
|||||
|
(Cost $0)
|
$ –
|
||||
|
CORPORATE BONDS & NOTES - 4.1% of Net Assets
|
|||||
|
BANKS - 0.3%
|
|||||
|
Diversified Banks - 0.3%
|
|||||
|
1,000,000(d)
|
BBB/Baa2
|
Intesa Sanpaolo S.p.A., 2.662%, 2/24/14 (144A)
|
$ 1,002,785
|
||
|
Total Banks
|
$ 1,002,785
|
||||
|
CAPITAL GOODS - 1.0%
|
|||||
|
Aerospace & Defense - 0.6%
|
|||||
|
1,850,000
|
BB-/Ba3
|
Spirit Aerosystems, Inc., 7.5%, 10/1/17
|
$ 1,926,312
|
||
|
Construction & Farm Machinery & Heavy Trucks - 0.4%
|
|||||
|
1,000,000
|
B+/B3
|
Manitowoc Co., Inc., 9.5%, 2/15/18
|
$ 1,077,500
|
||
|
Total Capital Goods
|
$ 3,003,812
|
||||
|
DIVERSIFIED FINANCIALS - 0.2%
|
|||||
|
Consumer Finance - 0.1%
|
|||||
|
200,000
|
BBB/Baa1
|
Capital One Financial Corp., 7.375%, 5/23/14
|
$ 209,429
|
||
|
Other Diversified Financial Services - 0.1%
|
|||||
|
500,000(d)
|
BBB-/NR
|
Vita Capital V, Ltd., 2.804%, 1/15/17 (144A)
|
$ 509,900
|
||
|
Total Diversified Financials
|
$ 719,329
|
||||
|
ENERGY - 0.9%
|
|||||
|
Oil & Gas Drilling - 0.1%
|
|||||
|
250,000
|
B-/B3
|
Offshore Group Investment, Ltd., 7.5%, 11/1/19
|
$ 260,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
|
Oil & Gas Exploration & Production - 0.8%
|
|||||
|
2,490,000
|
BB/B1
|
Denbury Resources, Inc., 8.25%, 2/15/20
|
$ 2,739,000
|
||
|
Total Energy
|
$ 2,999,000
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 0.7%
|
|||||
|
Health Care Equipment & Services - 0.3%
|
|||||
|
903,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 997,815
|
||
|
Health Care Supplies – 0.4%
|
|||||
|
6,935,154(a)(c)
|
NR/NR
|
Azithromycin Royalty Sub LLC, 16.0%, 5/15/19
|
$ 1,109,625
|
||
|
Total Health Care Equipment & Services
|
$ 2,107,440
|
||||
|
INSURANCE - 0.7%
|
|||||
|
Reinsurance - 0.7%
|
|||||
|
250,000(d)
|
BB-/NR
|
Atlas Reinsurance VII, Ltd., 8.144%, 1/7/16 (144A)
|
$ 253,225
|
||
|
500,000(d)
|
NR/Baa1
|
Combine Re, Ltd., 4.52%, 1/7/15 (144A)
|
516,400
|
||
|
250,000(d)
|
BB/NR
|
East Lane Re V, Ltd., 9.02%, 3/16/16 (144A)
|
269,450
|
||
|
500,000(d)
|
BB/NR
|
Lodestone Re, Ltd., 6.02%, 1/8/14 (144A)
|
500,250
|
||
|
250,000(d)
|
BB/NR
|
Mystic Re, Ltd., 9.02%, 3/12/15 (144A)
|
260,975
|
||
|
250,000(d)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.613%, 1/5/17 (144A)
|
258,500
|
||
|
250,000(d)
|
B/NR
|
Queen Street VII Re, Ltd., 8.62%, 4/8/16 (144A)
|
255,650
|
||
|
Total Insurance
|
$ 2,314,450
|
||||
|
MATERIALS - 0.3%
|
|||||
|
Diversified Metals & Mining - 0.3%
|
|||||
|
1,050,000
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20
|
$ 1,034,250
|
||
|
Total Materials
|
$ 1,034,250
|
||||
|
TELECOMMUNICATION SERVICES - 0.0%†
|
|||||
|
Integrated Telecommunication Services - 0.0%†
|
|||||
|
6,000
|
BB-/Ba2
|
Frontier Communications Corp., 8.25%, 5/1/14
|
$ 6,195
|
||
|
Total Telecommunication Services
|
$ 6,195
|
||||
|
TOTAL CORPORATE BONDS & NOTES
|
|||||
|
(Cost $18,347,254)
|
$ 13,187,261
|
||||
|
Shares
|
Value
|
||||
|
COMMON STOCKS - 4.3% of Net Assets
|
|||||
|
AUTOMOBILES & COMPONENTS - 3.4%
|
|||||
|
Auto Parts & Equipment - 3.4%
|
|||||
|
197,208
|
Delphi Automotive Plc
|
$ 10,850,384
|
|||
|
Total Automobiles & Components
|
$ 10,850,384
|
||||
|
MEDIA - 0.7%
|
|||||
|
Broadcasting - 0.5%
|
|||||
|
245(h)
|
New Young Broadcasting Holding Co., Inc.
|
$ 1,715,000
|
|||
|
Publishing - 0.2%
|
|||||
|
EUR
|
266,510(h)
|
Solocal Group
|
$ 594,936
|
||
|
Total Media
|
$ 2,309,936
|
||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.0%†
|
|||||
|
Biotechnology - 0.0%†
|
|||||
|
2,454(h)
|
Progenics Pharmaceuticals, Inc.
|
$ 13,644
|
|||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 13,644
|
||||
|
Shares
|
Value
|
||||
|
RETAILING - 0.0%†
|
|||||
|
Apparel Retail - 0.0%†
|
|||||
|
569(h)
|
Johnny Appleseed's, Inc.,
|
$ –
|
|||
|
Total Retailing
|
$ –
|
||||
|
TRANSPORTATION - 0.2%
|
|||||
|
Air Freight & Logistics - 0.2%
|
|||||
|
–
|
710(h)
|
CEVA Holdings LLC
|
$ 551,011
|
||
|
Airlines - 0.0%†
|
|||||
|
960
|
Delta Air Lines, Inc.
|
$ 18,941
|
|||
|
Total Transportation
|
$ 569,952
|
||||
|
UTILITIES - 0.0%†
|
|||||
|
Independent Power Producers & Energy Traders - 0.0%†
|
|||||
|
775
|
NRG Energy, Inc.
|
$ 20,344
|
|||
|
Total Utilities
|
$ 20,344
|
||||
|
TOTAL COMMON STOCKS
|
|||||
|
(Cost $6,165,877)
|
$ 13,764,260
|
||||
|
LIQUIDATING TRUSTS - 0.0%† of Net Assets
|
|||||
|
CONSUMER SERVICES - 0.0%†
|
|||||
|
Hotels, Resorts & Cruise Lines - 0.0%†
|
|||||
|
3,377,886(a)(h)(i)
|
Yellowstone Mountain Club LLC, Liquidating Trust
|
$ –
|
|||
|
Total Consumer Services
|
$ –
|
||||
|
ENERGY - 0.0%†
|
|||||
|
Oil & Gas Exploration & Production - 0.0%†
|
|||||
|
4,995,000(a)(h)(i)
|
Crusader Energy Group, Inc., Liquidating Trust
|
$ –
|
|||
|
Total Energy
|
$ –
|
||||
|
TOTAL LIQUIDATING TRUSTS
|
|||||
|
(Cost $0)
|
$ –
|
||||
|
RIGHT/WARRANT - 1.4% of Net Assets
|
|||||
|
MEDIA - 1.4%
|
|||||
|
Broadcasting - 1.4%
|
|||||
|
665(h)
|
New Young Broadcasting Holding Co., Inc., Expires 12/24/24
|
$ 4,655,000
|
|||
|
Total Media
|
$ 4,655,000
|
||||
|
TOTAL RIGHT/WARRANT
|
|||||
|
(Cost $1,307,997)
|
$ 4,655,000
|
||||
|
Principal
Amount
|
Value
|
||||
|
TEMPORARY CASH INVESTMENTS - 4.6% - of Net Assets
|
|||||
|
REPURCHASE AGREEMENT: 4.6%
|
|||||
|
$14,755,000
|
Bank of Nova Scotia, 0.06%, dated 8/30/13, repurchase price of $14,755,000 plus accrued interest on 9/3/13 collateralized by $15,100,000 Federal National Mortgage Association, 3.5%, 9/1/43.
|
$ 14,755,000
|
|||
|
TOTAL TEMPORARY CASH INVESTMENTS
|
|||||
|
(Cost $14,755,000)
|
$ 14,755,000
|
||||
|
(continued)
|
|||||
|
TOTAL INVESTMENTS IN SECURITIES - 156.9%
|
|||||
|
(Cost - $507,825,982) (j)
|
$ 504,382,374
|
||||
|
OTHER ASSETS AND LIABILITIES -(0.1)%
|
$ (380,226)
|
||||
|
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING DIVIDENDS PAYABLE - (56.8)%
|
$ (182,477,848)
|
||||
|
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 321,524,300
|
||||
|
NR
|
Security not rated by S&P or Moody's.
|
|||||
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At August 31, 2013, the value of these securities amounted to $13,069,579, or 4.1% of total net assets applicable to common shareowners.
|
|||||
|
†
|
Amount rounds to less than 0.1%.
|
|||||
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at August 31, 2013.
|
|||||
|
(a)
|
Security is valued using fair value methods (other than pricing supplied by an independent pricing service).
|
|||||
|
(b)
|
Security is in default and is non income producing.
|
|||||
|
(c)
|
Indicates a security that has been deemed as illiquid. As of August 31, 2013 the aggregate cost of illiquid securities in the Trust's portfolio was $19,579,399. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $9,537,556 represented 3.0% of total net assets applicable to common shareowners.
|
|||||
|
(d)
|
Floating rate note. The rate shown is the coupon rate at August 31, 2013.
|
|||||
|
(e)
|
The company and agent bank are in the process of negotiating forbearance.
|
|||||
|
(f)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|||||
|
(g)
|
Security represents a claim which is subject to bankruptcy court findings which may result in an exchange of money, assets or equity.
|
|||||
|
(h)
|
Non-income producing.
|
|||||
|
(i)
|
Security represents a liquidating trust which is a vehicle which through future settlements of bankruptcy claims are dispersed to creditors.
|
|||||
|
(j)
|
At August 31, 2013, the net unrealized appreciation on investments based on cost for federal tax purposes of $507,526,920 was as follows:
|
|
|
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
|
$ 17,989,409
|
|
|
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
|
(21,133,955)
|
|
|
Net unrealized depreciation
|
$ (3,144,546)
|
|
|
For financial reporting purposes net unrealized depreciation on investments was $3,443,608 and cost of investments aggregated $507,825,982.
|
||
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
|
EUR
|
-
|
Euro
|
|
GBP
|
-
|
Great British Pound
|
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
|
Level 1 - quoted prices in active markets for identical securities
|
||||||||||||||||
|
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
|
||||||||||||||||
|
credit risks, etc.)
|
||||||||||||||||
|
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments)
|
||||||||||||||||
|
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services) as level 3.
|
||||||||||||||||
|
The following is a summary of the inputs used as of August 31, 2013, in valuing the Trust's investments.
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Asset Backed Security
|
$ | – | $ | 171,698 | $ | – | $ | 171,698 | ||||||||
|
Collateralized Loan Obligations
|
||||||||||||||||
|
Diversified Banks
|
– | – | 2,704,701 | 2,704,701 | ||||||||||||
|
Thrifts & Mortgage Finance
|
– | – | 5,368,230 | 5,368,230 | ||||||||||||
|
Senior Secured Floating Rate Loan Interests
|
– | 449,776,224 | – | 449,776,224 | ||||||||||||
|
Claims
|
||||||||||||||||
|
Airlines
|
– | – | – | * | – | * | ||||||||||
|
Corporate Bonds & Notes
|
||||||||||||||||
|
Health Care Supplies
|
– | – | 1,109,625 | 1,109,625 | ||||||||||||
|
All Other
|
– | 12,077,636 | – | 12,077,636 | ||||||||||||
|
Common Stocks
|
||||||||||||||||
|
Air Freight & Logistics
|
– | 551,011 | – | 551,011 | ||||||||||||
|
Broadcasting
|
– | 1,715,000 | – | 1,715,000 | ||||||||||||
|
Apparel Retail
|
– | – | * | – | – | * | ||||||||||
|
All Other
|
11,498,249 | – | – | 11,498,249 | ||||||||||||
|
Liquidating Trusts
|
||||||||||||||||
|
Oil & Gas Exploration & Production
|
– | – | – | * | – | * | ||||||||||
|
Hotels, Resorts & Cruise Lines
|
– | – | – | * | – | * | ||||||||||
|
Right/Warrant
|
||||||||||||||||
|
Broadcasting
|
– | 4,655,000 | – | 4,655,000 | ||||||||||||
|
Temporary Cash Investments
|
||||||||||||||||
|
Repurchase Agreement
|
– | 14,755,000 | – | 14,755,000 | ||||||||||||
|
Total Investments in Securities
|
$ | 11,498,249 | $ | 483,701,569 | $ | 9,182,556 | $ | 504,382,374 | ||||||||
|
Other Financial Instruments
|
||||||||||||||||
|
Forward Foreign Currency Contracts
|
$ | – | $ | 6,784 | $ | – | $ | 6,784 | ||||||||
|
Total Other Financial Instruments
|
$ | – | $ | 6,784 | $ | – | $ | 6,784 | ||||||||
|
* Security is valued at $0.
During the period ended August 31, 2013, there were no transfers between Levels 1, 2 and 3.
|
|
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
|
Balance
as of
11/30/12
|
Realized
gain
(loss)
|
Change in
Unrealized appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers
in to
Level 3*
|
Transfers
out of
Level 3*
|
Balance
as of
8/31/13
|
||||||||||||||||||||||||||||
|
Collateralized Loan Obligations
|
||||||||||||||||||||||||||||||||||||
|
Diversified Banks
|
$ | 2,375,695 | $ | – | $ | 221,629 | $ | – | $ | – | $ | 107,377 | $ | – | $ | - | $ | 2,704,701 | ||||||||||||||||||
|
Thrifts & Mortgage Finance
|
4,984,230 | – | 204,888 | – | – | 179,112 | – | - | 5,368,230 | |||||||||||||||||||||||||||
|
Corporate Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
|
Health Care Supplies
|
5,707,340 | 6,119 | (3,392,345 | ) | – | (1,218,188 | ) | 6,699 | – | – | 1,109,625 | |||||||||||||||||||||||||
|
Total
|
$ | 13,067,265 | $ | 6,119 | $ | (2,965,828 | ) | $ | – | $ | (1,218,188 | ) | $ | 293,188 | $ | - | $ | - | $ | 9,182,556 | ||||||||||||||||
|
* Transfers are calculated on the end of period value
|
||||||||||||||||||||||||||||||||||||
|
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at 08/31/13: $(3,744,983)
|
||||||||||||||||||||||||||||||||||||
|
Fair Value 8/31/13
|
Valuation Technique(s)
|
Unobservable Input
|
Value/Range (Weighted Average)
|
|||||
|
Collateralized Loan
Obligations
|
$8,072,931
|
Third Party Vendor
|
Broker Quote
|
$72.97 - $96.84
per bond
|
||||
|
Corporate Bonds
& Notes
|
$1,109,625
|
Liquidation Valuation
|
Broker Quote
|
$16.00
per bond
|
||||
|
Liquidating Trusts(1)
|
-
|
Discounted Cash Flow
|
Residual Value
|
0
|
||||
|
Claims (2)
|
-
|
Discounted Cash Flow
|
Residual Vale
|
0
|
ITEM 2. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR240.13a-15(b) or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR270.30a-3(d))
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
There were no significant changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
(a) A separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2 under the Act
(17 CFR 270.30a-2).
Filed herewith.
<PAGE>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Floating Rate Trust
By (Signature and Title)* /s/ John F. Cogan, Jr.
John F. Cogan, Jr, President
Date September 30, 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 (Signature and Title)* /s/ John F. Cogan, Jr.
John F. Cogan, Jr., President
Date September 30, 2013
By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer and Chief Financial and Accounting Officer
Date September 30, 2013
* Print the name and title of each signing officer under his or her signature.