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半期報告書(内国投資信託受益証券)-第1期(平成27年5月29日-平成28年5月25日)

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【提出】: 2016/02/26 9:22
【資料】: PDFをみる
【項目】: 17項目

(3)【中間注記表】

(重要な会計方針に係る事項に関する注記)

区分	第1期中間計算期間自平成27年 5月29日至平成27年11月28日
1.有価証券の評価基準及び評価方法	投資証券
1.有価証券の評価基準及び評価方法	移動平均法に基づき、時価で評価しております。時価評価にあたっては、投資証券の基準価額に基づいて評価しております。
	親投資信託受益証券
	移動平均法に基づき、時価で評価しております。時価評価にあたっては、親投資信託受益証券の基準価額に基づいて評価しております。
2.デリバティブ等の評価基準及び評価方法	為替予約取引
2.デリバティブ等の評価基準及び評価方法	原則として計算日の対顧客先物売買相場の仲値で評価しております。
3.収益及び費用の計上基準	受取配当金
3.収益及び費用の計上基準	原則として、投資証券の配当落ち日において、確定配当金額又は予想配当金額を計上しております。
4.その他中間財務諸表作成のための基本となる重要な事項	外貨建取引等の処理基準当ファンドの外貨建取引等の処理基準については、投資信託財産計算規則第60条及び第61条によっております。

(中間貸借対照表に関する注記)

第1期中間計算期間末平成27年11月28日現在
1.	中間計算期間末日における受益権の総数
			2,255,719,396口
2.	投資信託財産計算規則第55条の6第1項第10号に規定する額
		元本の欠損 71,799,832円
3.	中間計算期間末日における1単位当たりの純資産の額
		1口当たり純資産額	0.9682円
		(1万口当たり純資産額)	(9,682円)

(中間損益及び剰余金計算書に関する注記)

該当事項はありません。

(金融商品に関する注記)

金融商品の時価等に関する事項

第1期中間計算期間末
平成27年11月28日現在

1.中間貸借対照表計上額、時価及び差額

中間貸借対照表上の金融商品は、原則としてすべて時価評価されているため、中間貸借対照表計上額と時価との差額はありません。

2.時価の算定方法

投資証券
「(重要な会計方針に係る事項に関する注記)」に記載しております。
親投資信託受益証券
「(重要な会計方針に係る事項に関する注記)」に記載しております。
派生商品評価勘定
「(重要な会計方針に係る事項に関する注記)」に記載しております。
コール・ローン等の金銭債権及び金銭債務
これらの科目は短期間で決済されるため、帳簿価額は時価に近似していることから、当該帳簿価額を時価としております。

3.金融商品の時価等に関する事項についての補足説明

市場価額がない、又は市場価格を時価と見なせない場合には、経営者により合理的に算定された価額で評価する場合があります。
また、デリバティブ取引に関する契約額等は、あくまでもデリバティブ取引における名目的な契約額又は計算上の想定元本であり、当該金額自体がデリバティブ取引のリスクの大きさを示すものではありません。

(その他の注記)

1 元本の移動

区分	第1期中間計算期間末平成27年11月28日現在
設定年月日	平成27年 5月29日
設定元本額	2,261,690,428円
期首元本額	2,261,690,428円
元本残存率	99.7%

2 デリバティブ取引等関係
取引の時価等に関する事項

(通貨関連)

種類	第1期中間計算期間末平成27年11月28日現在
	契約額等(円)		時価(円)	評価損益(円)
		うち1年超	時価(円)	評価損益(円)
市場取引以外の取引
為替予約取引
売建	2,072,840,275	-	2,060,919,780	11,920,495
米ドル	2,072,840,275	-	2,060,919,780	11,920,495
合計	2,072,840,275	-	2,060,919,780	11,920,495

時価の算定方法

為替予約取引

1)中間計算期間末日(以下「期末日」という。)に対顧客先物売買相場の仲値が発表されている外貨については、以下のように評価しております。

①期末日において為替予約の受渡日の対顧客先物売買相場の仲値が発表されている場合は、当該仲値で評価しております。

②期末日において為替予約の受渡日の対顧客先物売買相場の仲値が発表されていない場合は、以下の方法によっております。

・期末日に為替予約の受渡日を超える対顧客先物売買相場が発表されている場合には、発表されている先物売買相場のうち受渡日に最も近い前後二つの先物売買相場の仲値をもとに計算したレートを用いております。

・期末日に為替予約の受渡日を超える対顧客先物売買相場が発表されていない場合には、発表されているもので為替予約の受渡日に最も近い先物売買相場の仲値で評価しております。

2)期末日に対顧客先物売買相場の仲値が発表されていない外貨については、期末日の対顧客電信売買相場の仲値で評価しております。

※上記取引で、ヘッジ会計が適用されているものはありません。

(参考)
当ファンドは、「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ-クラスI3$シェアーズ」投資証券及び「日本短期公社債マザーファンド」受益証券を主要投資対象としており、中間貸借対照表の資産の部に計上された「投資証券」は、すべて「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ-クラスI3$シェアーズ」の投資証券であり、「親投資信託受益証券」は、すべて「日本短期公社債マザーファンド」の受益証券であります。
各ファンドの状況は次の通りであります。
なお、以下に記載した情報は監査の対象外であります。
「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ-クラスI3$シェアーズ」は、「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ」の個別クラスとなっております。
「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ」は、ケイマンの法律に基づき設立された米ドル建外国投資法人であります。同ファンドの平成27年4月30日現在の財務書類は、米国で一般的に認められている監査規則に準拠して作成されておりますが、独立監査人の監査を受けておりません。
同ファンドの投資有価証券明細表、資産・負債計算書、損益計算書及び純資産変動計算書は、同ファンドの投資顧問会社兼管理事務代行会社であるイートン・バンス・マネジメントから入手した財務書類の原文の一部を翻訳・抜粋したものであります。

(1)投資有価証券明細表(無監査)
2015年4月30日現在(米ドル表示)
シニア変動利付有価証券-94.3%(1)

債務者	細目	額面(千米ドル)	時価(米ドル)

航空および軍需-2.1%
DAE Aviation Holdings, Inc.	Term Loan, 5.00%, Maturing November 2, 2018	1,452	1,460,606
Ducommun Incorporated	Term Loan, 4.75%, Maturing June 28, 2017	126	126,789
IAP Worldwide Services, Inc.	Revolving Loan, Maturing July 18, 2018(2)	133	132,540
IAP Worldwide Services, Inc.	Term Loan - Second Lien, 8.00%, Maturing July 18, 2019(3)	182	145,615
Silver II US Holdings, LLC	Term Loan, 4.00%, Maturing December 13, 2019	2,916	2,845,682
Standard Aero Limited	Term Loan, 5.00%, Maturing November 2, 2018	657	661,011
Transdigm, Inc.	Term Loan, 3.75%, Maturing February 28, 2020	6,165	6,187,979
			11,560,222

航空輸送-0.3%
Virgin America, Inc.	Term Loan, 4.50%, Maturing April 4, 2019	1,725	1,577,512
			1,577,512

自動車-2.9%
Affinia Group Intermediate Holdings, Inc.	Term Loan, 4.75%, Maturing April 27, 2020	1,037	1,039,122
Chrysler Group, LLC	Term Loan, 3.50%, Maturing May 24, 2017	3,673	3,684,225
Dayco Products, LLC	Term Loan, 5.25%, Maturing December 12, 2019	866	870,581
Federal-Mogul Holdings Corporation	Term Loan, 4.75%, Maturing April 15, 2021	3,474	3,473,316
Goodyear Tire & Rubber Company (The)	Term Loan - Second Lien, 4.75%, Maturing April 30, 2019	1,854	1,877,344
INA Beteiligungsgesell schaft GmbH	Term Loan, 4.25%, Maturing May 15, 2020	775	782,586
MPG Holdco I, Inc.	Term Loan, 4.25%, Maturing October 20, 2021	1,990	2,000,064
TI Group Automotive Systems, LLC	Term Loan, 4.25%, Maturing July 2, 2021	695	696,921
Tower Automotive Holdings USA, LLC	Term Loan, 4.00%, Maturing April 23, 2020	902	905,788
Visteon Corporation	Term Loan, 3.50%, Maturing April 9, 2021	968	968,746
			16,298,693

飲料およびタバコ-0.1%
Flavors Holdings, Inc.	Term Loan, 6.75%, Maturing April 3, 2020	585	567,450
			567,450

債務者	細目	額面(千米ドル)	時価(米ドル)

ブローカー、ディーラーおよび投資会社-0.0%(4)
Astro AB Borrower, Inc.	Term Loan, Maturing April 30, 2022(2)	200	202,750
			202,750

建設およびデベロッパー-1.7%
CPG International, Inc.	Term Loan, 4.75%, Maturing September 30, 2020	468	465,828
Gates Global, Inc.	Term Loan, 4.25%, Maturing July 5, 2021	1,219	1,221,596
Headwaters, Incorporated	Term Loan, 4.50%, Maturing March 24, 2022	125	125,937
Ply Gem Industries, Inc.	Term Loan, 4.00%, Maturing February 1, 2021	990	990,000
Quikrete Holdings, Inc.	Term Loan, 4.00%, Maturing September 28, 2020	1,678	1,684,980
RE/MAX International, Inc.	Term Loan, 4.25%, Maturing July 31, 2020	1,443	1,439,970
Realogy Corporation	Term Loan, 3.75%, Maturing March 5, 2020	3,232	3,247,682
WireCo WorldGroup, Inc.	Term Loan, 6.00%, Maturing February 15, 2017	207	207,941
			9,383,934

ビジネス機器およびサービス-9.0%
Acosta Holdco, Inc.	Term Loan, 4.25%, Maturing September 26, 2021	2,711	2,745,267
Altisource Solutions S.a.r.l.	Term Loan, 4.50%, Maturing December 9, 2020	1,059	915,839
AVSC Holding Corp.	Term Loan, 4.50%, Maturing January 24, 2021	371	373,106
Brock Holdings III, Inc.	Term Loan, 6.00%, Maturing March 16, 2017	544	535,719
CCC Information Services, Inc.	Term Loan, 4.00%, Maturing December 20, 2019	880	883,451
Ceridian, LLC	Term Loan, 4.50%, Maturing September 15, 2020	469	468,733
ClientLogic Corporation	Term Loan, 7.53%, Maturing January 30, 2017	1,210	1,204,286
Corporate Capital Trust, Inc.	Term Loan, 4.00%, Maturing May 15, 2019	817	817,240
Crossmark Holdings, Inc.	Term Loan, 4.50%, Maturing December 20, 2019	1,326	1,233,618
Education Management, LLC	Term Loan, 5.50%, Maturing July 2, 2020	415	374,538
Education Management, LLC	Term Loan, 8.50%, (2.00% Cash, 6.50% PIK) Maturing July 2, 2020	704	565,391
EIG Investors Corp.	Term Loan, 5.00%, Maturing November 9, 2019	4,522	4,482,365
Emdeon Business Services, LLC	Term Loan, 3.75%, Maturing November 2, 2018	4,059	4,079,622

債務者	細目	額面(千米ドル)	時価(米ドル)

ビジネス機器およびサービス-9.0%(続き)
Expert Global Solutions, Inc.	Term Loan, 8.50%, Maturing April 3, 2018	398	399,184
Extreme Reach, Inc.	Term Loan, 6.75%, Maturing February 7, 2020	629	635,541
Garda World Security Corporation	Term Loan, 4.00%, Maturing November 6, 2020	347	346,891
Garda World Security Corporation	Term Loan, 4.00%, Maturing November 6, 2020	1,355	1,356,030
IG Investment Holdings, LLC	Term Loan, 6.00%, Maturing October 29, 2021	815	816,869
IMS Health Incorporated	Term Loan, 3.50%, Maturing March 17, 2021	2,904	2,910,054
Information Resources, Inc.	Term Loan, 4.75%, Maturing September 30, 2020	960	966,073
ION Trading Technologies S.a.r.l.	Term Loan, 4.25%, Maturing June 10, 2021	971	970,588
KAR Auction Services, Inc.	Term Loan, 3.50%, Maturing March 11, 2021	1,213	1,217,534
Kronos Incorporated	Term Loan, 4.50%, Maturing October 30, 2019	2,014	2,031,381
MCS AMS Sub-Holdings, LLC	Term Loan, 7.00%, Maturing October 15, 2019	430	420,396
Monitronics International, Inc.	Term Loan, 4.25%, Maturing March 23, 2018	426	427,119
Monitronics International, Inc.	Term Loan, 4.50%, Maturing April 2, 2022	550	553,438
National CineMedia, LLC	Term Loan, 2.94%, Maturing November 26, 2019	175	173,469
PGX Holdings, Inc.	Term Loan, 6.25%, Maturing September 29, 2020	444	448,541
Quintiles Transnational Corp.	Term Loan, 3.75%, Maturing June 8, 2018	4,329	4,345,194
RCS Capital Corporation	Term Loan, 6.50%, Maturing April 29, 2019	890	880,297
ServiceMaster Company	Term Loan, 4.25%, Maturing July 1, 2021	1,940	1,948,124
SunGard Data Systems, Inc.	Term Loan, 4.00%, Maturing March 8, 2020	4,380	4,413,781
TNS, Inc.	Term Loan, 5.00%, Maturing February 14, 2020	425	427,893
TransUnion, LLC	Term Loan, 4.00%, Maturing April 9, 2021	3,663	3,683,604
Travelport Finance (Luxembourg) S.a.r.l.	Term Loan, 5.75%, Maturing September 2, 2021	973	983,884
WASH Multifamily Laundry Systems, LLC	Term Loan, 4.50%, Maturing February 21, 2019	985	986,771
			50,021,831

債務者	細目	額面(千米ドル)	時価(米ドル)

ケーブルおよび衛星放送-0.8%
Bragg Communications Incorporated	Term Loan, 3.50%, Maturing February 28, 2018	536	536,383
Crown Media Holdings, Inc.	Term Loan, 4.00%, Maturing July 14, 2018	678	675,081
MCC Iowa, LLC	Term Loan, 3.25%, Maturing January 29, 2021	590	588,026
MCC Iowa, LLC	Term Loan, 3.75%, Maturing June 30, 2021	720	722,486
Sterling Entertainment Enterprises, LLC	Term Loan, 2.94%, Maturing December 28, 2017	456	441,180
Virgin Media Bristol, LLC	Term Loan, 3.50%, Maturing June 7, 2020	1,282	1,284,779
			4,247,935

化学およびプラスティック-4.7%
Allnex (Luxembourg) & Cy S.C.A.	Term Loan, 4.50%, Maturing October 3, 2019	485	487,766
Allnex USA, Inc.	Term Loan, 4.50%, Maturing October 3, 2019	252	253,078
Aruba Investments, Inc.	Term Loan, 5.25%, Maturing February 2, 2022	200	202,120
Axalta Coating Systems US Holdings, Inc.	Term Loan, 3.75%, Maturing February 1, 2020	2,740	2,750,794
AZ Chem US, Inc.	Term Loan, 4.50%, Maturing June 12, 2021	529	532,913
ColourOz Investment 1, GmbH	Term Loan, 4.75%, Maturing September 7, 2021	131	131,789
ColourOz Investment 1, GmbH	Term Loan, 4.75%, Maturing September 7, 2021	790	797,215
ECO Services Operations, LLC	Term Loan, 4.75%, Maturing December 4, 2021	299	302,243
Emerald Performance Materials, LLC	Term Loan, 4.50%, Maturing August 1, 2021	423	425,870
Gemini HDPE, LLC	Term Loan, 4.75%, Maturing August 7, 2021	372	374,982
Huntsman International, LLC	Term Loan, 3.75%, Maturing August 12, 2021	1,596	1,605,975
Ineos US Finance, LLC	Term Loan, 3.75%, Maturing May 4, 2018	4,599	4,613,138
Ineos US Finance, LLC	Term Loan, 4.25%, Maturing March 31, 2022	425	428,036
Kronos Worldwide, Inc.	Term Loan, 4.75%, Maturing February 18, 2020	272	274,675
MacDermid, Inc.	Term Loan, 4.50%, Maturing June 7, 2020	1,889	1,910,067
MacDermid, Inc.	Term Loan, 4.75%, Maturing June 7, 2020	399	403,560
Minerals Technologies, Inc.	Term Loan, 4.00%, Maturing May 7, 2021	1,648	1,657,535
Omnova Solutions, Inc.	Term Loan, 4.25%, Maturing May 31, 2018	718	719,247
Orion Engineered Carbons GmbH	Term Loan, 5.00%, Maturing July 25, 2021	448	452,787
OXEA Finance, LLC	Term Loan, 4.25%, Maturing January 15, 2020	419	411,037

債務者	細目	額面(千米ドル)	時価(米ドル)

化学およびプラスティック-4.7%(続き)
Solenis International L.P.	Term Loan, 4.25%, Maturing July 31, 2021	249	249,644
Sonneborn Refined Products B.V.	Term Loan, 5.50%, Maturing December 10, 2020	52	52,827
Sonneborn, LLC	Term Loan, 5.50%, Maturing December 10, 2020	297	299,353
Tata Chemicals North America, Inc.	Term Loan, 3.75%, Maturing August 7, 2020	884	884,803
Trinseo Materials Operating S.C.A.	Term Loan, Maturing October 13, 2021(2)	200	201,125
Tronox Pigments (Netherlands) B.V.	Term Loan, 4.25%, Maturing March 19, 2020	3,408	3,423,794
Univar, Inc.	Term Loan, 5.00%, Maturing June 30, 2017	2,012	2,022,776
			25,869,149

複合-0.2%
RGIS Services, LLC	Term Loan, 5.50%, Maturing October 18, 2017	1,514	1,427,176
			1,427,176

コンテナおよびガラス製品-1.5%
Berry Plastics Holding Corporation	Term Loan, 3.50%, Maturing February 8, 2020	2,845	2,850,576
Hilex Poly Co., LLC	Term Loan, 6.00%, Maturing December 5, 2021	1,122	1,137,618
Libbey Glass, Inc.	Term Loan, 3.75%, Maturing April 9, 2021	372	373,467
Pelican Products, Inc.	Term Loan, 5.25%, Maturing April 10, 2020	608	608,442
Reynolds Group Holdings, Inc.	Term Loan, 4.50%, Maturing December 1, 2018	2,295	2,319,599
TricorBraun, Inc.	Term Loan, 4.00%, Maturing May 3, 2018	792	791,901
			8,081,603

化粧品/トイレタリー-0.9%
Prestige Brands, Inc.	Term Loan, 4.13%, Maturing January 31, 2019	501	503,681
Prestige Brands, Inc.	Term Loan, 4.50%, Maturing September 3, 2021	474	477,167
Revlon Consumer Products Corporation	Term Loan, 4.00%, Maturing October 8, 2019	1,867	1,876,379
Sun Products Corporation (The)	Term Loan, 5.50%, Maturing March 23, 2020	2,208	2,133,731
			4,990,958

債務者	細目	額面(千米ドル)	時価(米ドル)

ドラッグ-2.9%
Alkermes, Inc.	Term Loan, 3.50%, Maturing September 18, 2019	2,126	2,133,470
AMAG Pharmaceuticals, Inc.	Term Loan, 7.25%, Maturing November 12, 2020	439	443,137
Concordia Healthcare Corp.	Term Loan, 4.75%, Maturing March 30, 2022	150	151,375
DPx Holdings B.V.	Term Loan, 4.25%, Maturing March 11, 2021	2,754	2,761,646
Endo Luxembourg Finance Company I S.a.r.l.	Term Loan, 3.25%, Maturing March 1, 2021	347	347,222
Horizon Pharma Holdings USA, Inc.	Term Loan, Maturing April 22, 2021(2)	150	151,266
Mallinckrodt International Finance S.A.	Term Loan, 3.50%, Maturing March 19, 2021	920	923,333
Par Pharmaceutical Companies, Inc.	Term Loan, 4.00%, Maturing September 30, 2019	2,118	2,122,784
Valeant Pharmaceuticals International, Inc.	Term Loan, 3.50%, Maturing February 13, 2019	2,654	2,666,607
Valeant Pharmaceuticals International, Inc.	Term Loan, 3.50%, Maturing December 11, 2019	2,135	2,144,234
Valeant Pharmaceuticals International, Inc.	Term Loan, 4.00%, Maturing April 1, 2022	2,275	2,293,628
			16,138,702

環境サービスおよび機器-0.5%
ADS Waste Holdings, Inc.	Term Loan, 3.75%, Maturing October 9, 2019	2,337	2,335,602
EnergySolutions, LLC	Term Loan, 6.75%, Maturing May 29, 2020	657	660,056
			2,995,658

電子機器/電器-10.4%
Answers Corporation	Term Loan, 6.25%, Maturing October 3, 2021	873	838,991
Applied Systems, Inc.	Term Loan, 4.27%, Maturing January 25, 2021	720	723,781
Avago Technologies Cayman Ltd.	Term Loan, 3.75%, Maturing May 6, 2021	4,944	4,973,409
Blue Coat Systems, Inc.	Term Loan, 4.00%, Maturing May 31, 2019	1,474	1,476,335
Blue Coat Systems, Inc.	Term Loan - Second Lien, 9.50%, Maturing June 28, 2020	1,375	1,405,937

債務者	細目	額面(千米ドル)	時価(米ドル)

電子機器/電器-10.4%(続き)
Campaign Monitor Finance Pty Limited	Term Loan, 6.25%, Maturing March 18, 2021	644	642,696
Carros Finance Luxembourg S.a.r.l.	Term Loan, 4.50%, Maturing September 30, 2021	274	277,387
Cinedigm Digital Funding I, LLC	Term Loan, 3.75%, Maturing February 28, 2018	203	204,131
CompuCom Systems, Inc.	Term Loan, 4.25%, Maturing May 11, 2020	1,853	1,740,306
Dell, Inc.	Term Loan, 4.50%, Maturing April 29, 2020	5,946	5,976,672
Eagle Parent, Inc.	Term Loan, 4.00%, Maturing May 16, 2018	3,202	3,220,434
Entegris, Inc.	Term Loan, 3.50%, Maturing April 30, 2021	355	355,863
Excelitas Technologies Corp.	Term Loan, 6.00%, Maturing October 31, 2020	1,579	1,590,617
Eze Castle Software, Inc.	Term Loan, 4.00%, Maturing April 6, 2020	293	294,093
Freescale Semiconductor, Inc.	Term Loan, 4.25%, Maturing February 28, 2020	877	881,529
Go Daddy Operating Company, LLC	Term Loan, 4.50%, Maturing May 13, 2021	2,257	2,275,586
Hyland Software, Inc.	Term Loan, 4.75%, Maturing February 19, 2021	887	893,098
Infor (US), Inc.	Term Loan, 3.75%, Maturing June 3, 2020	4,236	4,232,110
Lattice Semiconductor Corporation	Term Loan, 5.25%, Maturing March 10, 2021	350	353,063
M/A-COM Technology Solutions Holdings, Inc.	Term Loan, 4.50%, Maturing May 7, 2021	447	451,091
MA FinanceCo., LLC	Term Loan, 4.50%, Maturing November 20, 2019	850	852,833
MA FinanceCo., LLC	Term Loan, 5.25%, Maturing November 19, 2021	750	754,486
Magic Newco, LLC	Term Loan, 5.00%, Maturing December 12, 2018	2,700	2,717,729
MH Sub I, LLC	Term Loan, 5.00%, Maturing July 8, 2021	695	699,499
Microsemi Corporation	Term Loan, 3.25%, Maturing February 19, 2020	537	539,706
Orbotech, Inc.	Term Loan, 5.00%, Maturing August 6, 2020	373	373,349
Renaissance Learning, Inc.	Term Loan, 4.50%, Maturing April 9, 2021	619	614,109
Rocket Software, Inc.	Term Loan, 5.75%, Maturing February 8, 2018	726	730,248
RP Crown Parent, LLC	Term Loan, 6.00%, Maturing December 21, 2018	3,613	3,524,815
SGS Cayman L.P.	Term Loan, 6.00%, Maturing April 23, 2021	155	156,454
Shield Finance Co. S.a.r.l.	Term Loan, 5.00%, Maturing January 29, 2021	594	598,950
Sirius Computer Solutions, Inc.	Term Loan, 7.00%, Maturing December 7, 2018	547	553,825
SkillSoft Corporation	Term Loan, 5.75%, Maturing April 28, 2021	1,886	1,880,868
Smart Technologies ULC	Term Loan, 10.50%, Maturing January 31, 2018	422	423,670
Sophia L.P.	Term Loan, 4.00%, Maturing July 19, 2018	1,684	1,692,196
SunEdison Semiconductor B.V.	Term Loan, 6.50%, Maturing May 27, 2019	695	696,487
SurveyMonkey.com, LLC	Term Loan, 5.50%, Maturing February 5, 2019	240	242,563

債務者	細目	額面(千米ドル)	時価(米ドル)

電子機器/電器-10.4%(続き)
Sutherland Global Services, Inc.	Term Loan, 6.00%, Maturing April 23, 2021	666	672,117
Sybil Software, LLC	Term Loan, 4.75%, Maturing March 20, 2020	784	791,098
Vantiv, LLC	Term Loan, 3.75%, Maturing June 13, 2021	616	619,836
Vertafore, Inc.	Term Loan, 4.25%, Maturing October 3, 2019	4,115	4,134,358
Wall Street Systems Delaware, Inc.	Term Loan, 4.50%, Maturing April 30, 2021	817	818,799
Websense, Inc.	Term Loan, 4.50%, Maturing June 25, 2020	614	615,513
			57,510,637

金融仲介-4.2%
Armor Holding II, LLC	Term Loan, 5.75%, Maturing June 26, 2020	433	431,964
Citco Funding, LLC	Term Loan, 4.25%, Maturing June 29, 2018	1,575	1,584,119
Clipper Acquisitions Corp.	Term Loan, 3.00%, Maturing February 6, 2020	1,173	1,168,751
First Data Corporation	Term Loan, 3.68%, Maturing March 24, 2017	1,000	1,003,125
First Data Corporation	Term Loan, 3.68%, Maturing March 24, 2018	2,879	2,889,095
First Data Corporation	Term Loan, 3.68%, Maturing September 24, 2018	1,775	1,780,362
Grosvenor Capital Management Holdings, LLP	Term Loan, 3.75%, Maturing January 4, 2021	1,528	1,526,241
Guggenheim Partners, LLC	Term Loan, 4.25%, Maturing July 22, 2020	3,500	3,523,788
Hamilton Lane Advisors, LLC	Term Loan, 4.00%, Maturing February 28, 2018	190	190,902
Harbourvest Partners, LLC	Term Loan, 3.25%, Maturing February 4, 2021	491	490,645
Medley, LLC	Term Loan, 6.50%, Maturing June 15, 2019	410	410,227
MIP Delaware, LLC	Term Loan, 4.00%, Maturing March 9, 2020	1,085	1,091,369
Moneygram International, Inc.	Term Loan, 4.25%, Maturing March 27, 2020	718	677,033
NXT Capital, Inc.	Term Loan, 6.25%, Maturing September 4, 2018	99	99,490
NXT Capital, Inc.	Term Loan, 6.25%, Maturing September 4, 2018	566	569,207
Ocwen Financial Corporation	Term Loan, 5.00%, Maturing February 15, 2018	2,143	2,126,050
Starwood Property Trust, Inc.	Term Loan, 3.50%, Maturing April 17, 2020	787	786,217
Walter Investment Management Corp.	Term Loan, 4.75%, Maturing December 19, 2020	3,099	2,977,361
			23,325,946

債務者	細目	額面(千米ドル)	時価(米ドル)

食料品-3.0%
AdvancePierre Foods, Inc.	Term Loan, 5.75%, Maturing July 10, 2017	2,979	3,006,231
American Seafoods Group, LLC	Term Loan, 6.50%, Maturing March 18, 2018	816	784,185
Blue Buffalo Company Ltd.	Term Loan, 3.75%, Maturing August 8, 2019	1,905	1,910,008
Charger OpCo B.V.	Term Loan, 3.50%, Maturing July 23, 2021	1,750	1,750,000
Del Monte Foods, Inc.	Term Loan, 4.25%, Maturing February 18, 2021	1,111	1,068,352
Diamond Foods, Inc.	Term Loan, 4.25%, Maturing August 20, 2018	1,654	1,660,265
Dole Food Company, Inc.	Term Loan, 4.50%, Maturing November 1, 2018	3,029	3,054,094
High Liner Foods Incorporated	Term Loan, 4.25%, Maturing April 24, 2021	792	793,980
JBS USA Holdings, Inc.	Term Loan, 3.75%, Maturing September 18, 2020	1,207	1,214,920
Onex Wizard US Acquisition, Inc.	Term Loan, 5.25%, Maturing March 13, 2022	825	834,926
Post Holdings, Inc.	Term Loan, Maturing June 2, 2021(2)	350	351,781
			16,428,742

食料サービス-3.0%
1011778 B.C. Unlimited Liability Company	Term Loan, 4.50%, Maturing December 12, 2021	5,129	5,197,547
ARG IH Corporation	Term Loan, 4.75%, Maturing November 15, 2020	217	218,945
Centerplate, Inc.	Term Loan, 4.75%, Maturing November 26, 2019	1,274	1,267,506
Landry's, Inc.	Term Loan, 4.00%, Maturing April 24, 2018	1,463	1,471,394
NPC International, Inc.	Term Loan, 4.00%, Maturing December 28, 2018	1,036	1,034,268
P.F. Chang's China Bistro, Inc.	Term Loan, 4.25%, Maturing July 2, 2019	564	554,523
Seminole Hard Rock Entertainment, Inc.	Term Loan, 3.50%, Maturing May 14, 2020	172	171,973
US Foods, Inc.	Term Loan, 4.50%, Maturing March 31, 2019	4,815	4,838,557
Weight Watchers International, Inc.	Term Loan, 4.00%, Maturing April 2, 2020	3,626	1,939,910
			16,694,623

食料/ドラッグ小売-2.0%
Albertson's Holdings, LLC	Term Loan, 5.00%, Maturing August 25, 2019	1,825	1,841,783
Albertson's, LLC	Term Loan, 5.38%, Maturing March 21, 2019	3,150	3,178,841
General Nutrition Centers, Inc.	Term Loan, 3.25%, Maturing March 4, 2019	2,644	2,638,090
New Albertson's, Inc.	Term Loan, 4.75%, Maturing June 27, 2021	846	850,639
Rite Aid Corporation	Term Loan - Second Lien, 5.75%, Maturing August 21, 2020	200	201,958
Supervalu, Inc.	Term Loan, 4.50%, Maturing March 21, 2019	2,356	2,369,194
			11,080,505

債務者	細目	額面(千米ドル)	時価(米ドル)

ヘルスケア-8.2%
Acadia Healthcare Company, Inc.	Term Loan, 4.25%, Maturing February 11, 2022	175	176,799
Akorn, Inc.	Term Loan, 4.50%, Maturing April 16, 2021	920	923,826
Alere, Inc.	Term Loan, 4.25%, Maturing June 30, 2017	1,007	1,014,771
Alliance Healthcare Services, Inc.	Term Loan, 4.25%, Maturing June 3, 2019	2,693	2,687,562
Amneal Pharmaceuticals, LLC	Term Loan, 4.51%, Maturing November 1, 2019	150	150,938
Amneal Pharmaceuticals, LLC	Term Loan, 5.00%, Maturing November 1, 2019	442	445,455
Ardent Medical Services, Inc.	Term Loan, 6.75%, Maturing July 2, 2018	3,261	3,276,211
Aspen Dental Management, Inc.	Term Loan, Maturing April 10, 2022(2)	200	201,375
ATI Holdings, Inc.	Term Loan, 5.25%, Maturing December 20, 2019	1,157	1,165,584
Auris Luxembourg III S.a.r.l.	Term Loan, 5.50%, Maturing January 17, 2022	75	75,891
BioScrip, Inc.	Term Loan, 6.50%, Maturing July 31, 2020	376	374,653
BioScrip, Inc.	Term Loan, 6.50%, Maturing July 31, 2020	627	624,422
CareCore National, LLC	Term Loan, 5.50%, Maturing March 5, 2021	348	352,159
CeramTec Acquisition Corporation	Term Loan, 4.25%, Maturing August 30, 2020	94	94,172
CHG Healthcare Services, Inc.	Term Loan, 4.25%, Maturing November 19, 2019	1,712	1,723,145
Community Health Systems, Inc.	Term Loan, 4.25%, Maturing January 27, 2021	2,120	2,134,835
Convatec, Inc.	Term Loan, 4.00%, Maturing December 22, 2016	139	139,926
CPI Buyer, LLC	Term Loan, 5.50%, Maturing August 18, 2021	821	822,928
DJO Finance, LLC	Term Loan, 4.25%, Maturing September 15, 2017	1,293	1,298,636
Envision Healthcare Corporation	Term Loan, 4.00%, Maturing May 25, 2018	3,420	3,443,164
Faenza Acquisition GmbH	Term Loan, 4.25%, Maturing August 30, 2020	277	278,734
Faenza Acquisition GmbH	Term Loan, 4.25%, Maturing August 30, 2020	934	940,196
Iasis Healthcare, LLC	Term Loan, 4.50%, Maturing May 3, 2018	978	982,876
Impax Laboratories, Inc.	Term Loan, 5.50%, Maturing December 2, 2020	600	607,500
Indivior Finance S.a.r.l.	Term Loan, 7.00%, Maturing December 19, 2019	642	612,991
inVentiv Health, Inc.	Term Loan, 7.75%, Maturing May 15, 2018	1,056	1,061,765
inVentiv Health, Inc.	Term Loan, 7.75%, Maturing May 15, 2018	1,350	1,350,655
Kinetic Concepts, Inc.	Term Loan, 4.50%, Maturing May 4, 2018	2,289	2,308,159

債務者	細目	額面(千米ドル)	時価(米ドル)

ヘルスケア-8.2%(続き)
MedAssets, Inc.	Term Loan, 4.00%, Maturing December 13, 2019	131	131,248
Millennium Laboratories, Inc.	Term Loan, 5.25%, Maturing April 16, 2021	1,911	1,580,990
MMM Holdings, Inc.	Term Loan, 9.75%, Maturing December 12, 2017	410	344,547
MSO of Puerto Rico, Inc.	Term Loan, 9.75%, Maturing December 12, 2017	298	250,487
National Mentor Holdings, Inc.	Term Loan, 4.25%, Maturing January 31, 2021	470	472,748
Onex Carestream Finance L.P.	Term Loan, 5.00%, Maturing June 7, 2019	1,742	1,760,771
Opal Acquisition, Inc.	Term Loan, 5.00%, Maturing November 27, 2020	1,407	1,410,957
Ortho-Clinical Diagnostics, Inc.	Term Loan, 4.75%, Maturing June 30, 2021	1,213	1,212,350
Pharmaceutical Product Development, LLC	Term Loan, 4.00%, Maturing December 5, 2018	1,089	1,095,916
PRA Holdings, Inc.	Term Loan, 4.50%, Maturing September 23, 2020	802	808,765
Radnet Management, Inc.	Term Loan, Maturing October 10, 2018(2)	809	812,961
RegionalCare Hospital Partners, Inc.	Term Loan, 6.00%, Maturing April 19, 2019	671	673,407
Sage Products Holdings III, LLC	Term Loan, 5.00%, Maturing December 13, 2019	1,541	1,563,313
Select Medical Corporation	Term Loan, 3.75%, Maturing June 1, 2018	700	702,196
Steward Health Care System, LLC	Term Loan, 6.75%, Maturing April 12, 2020	688	686,460
Tecomet, Inc.	Term Loan, 5.75%, Maturing December 5, 2021	848	841,516
Truven Health Analytics, Inc.	Term Loan, 4.50%, Maturing June 6, 2019	536	538,303
U.S.Renal Care, Inc.	Term Loan, 4.25%, Maturing July 3, 2019	1,528	1,538,178
			45,694,441

家財-0.3%
Interline Brands, Inc.	Term Loan, 4.00%, Maturing March 17, 2021	1,683	1,686,682
			1,686,682

工業機器-3.4%
Alliance Laundry Systems, LLC	Term Loan, 4.25%, Maturing December 10, 2018	543	546,291
Apex Tool Group, LLC	Term Loan, 4.50%, Maturing January 31, 2020	2,713	2,716,332
CPM Holdings, Inc.	Term Loan, Maturing April 11, 2022(2)	175	177,187
Delachaux S.A.	Term Loan, 5.25%, Maturing October 28, 2021	450	453,094
Doosan Infracore International, Inc.	Term Loan, 4.50%, Maturing May 28, 2021	893	903,846

債務者	細目	額面(千米ドル)	時価(米ドル)

工業機器-3.4%(続き)
Filtration Group Corporation	Term Loan, 4.25%, Maturing November 21, 2020	247	248,932
Gardner Denver, Inc.	Term Loan, 4.25%, Maturing July 30, 2020	1,404	1,372,658
Husky Injection Molding Systems Ltd.	Term Loan, 4.25%, Maturing June 30, 2021	1,226	1,234,465
Milacron, LLC	Term Loan, 4.00%, Maturing March 28, 2020	2,831	2,831,363
NN, Inc.	Term Loan, 6.00%, Maturing August 27, 2021	535	539,276
Paladin Brands Holding, Inc.	Term Loan, 6.76%, Maturing August 16, 2019	509	511,514
Rexnord, LLC	Term Loan, 4.00%, Maturing August 21, 2020	1,938	1,947,460
Signode Industrial Group US, Inc.	Term Loan, 3.75%, Maturing May 1, 2021	1,075	1,077,241
STS Operating, Inc.	Term Loan, 4.75%, Maturing February 12, 2021	272	271,910
Tank Holding Corp.	Term Loan, 5.25%, Maturing March 16, 2022	2,579	2,604,182
Unifrax Corporation	Term Loan, 4.25%, Maturing November 28, 2018	1,309	1,309,161
Virtuoso US, LLC	Term Loan, 4.75%, Maturing February 11, 2021	371	373,415
			19,118,327

保険-3.0%
Alliant Holdings I, Inc.	Term Loan, 5.00%, Maturing December 20, 2019	701	704,149
AmWINS Group, LLC	Term Loan, 5.25%, Maturing September 6, 2019	954	963,920
Asurion, LLC	Term Loan, 5.00%, Maturing May 24, 2019	4,985	5,023,977
Asurion, LLC	Term Loan - Second Lien, 8.50%, Maturing March 3, 2021	925	938,875
CGSC of Delaware Holding Corporation	Term Loan, 5.00%, Maturing April 16, 2020	1,501	1,427,612
CNO Financial Group, Inc.	Term Loan, 3.75%, Maturing September 28, 2018	1,412	1,414,436
Cunningham Lindsey U.S., Inc.	Term Loan, 5.00%, Maturing December 10, 2019	915	903,507
Hub International Limited	Term Loan, 4.00%, Maturing October 2, 2020	2,514	2,509,420
USI, Inc.	Term Loan, 4.25%, Maturing December 27, 2019	2,547	2,554,677
			16,440,573

レジャー用品/活動/映画-3.4%
AMC Entertainment, Inc.	Term Loan, 3.50%, Maturing April 30, 2020	4,444	4,464,833
Bombardier Recreational Products, Inc.	Term Loan, 4.00%, Maturing January 30, 2019	2,508	2,525,242

債務者	細目	額面(千米ドル)	時価(米ドル)

レジャー用品/活動/映画-3.4%(続き)
Dave & Buster's, Inc.	Term Loan, 4.25%, Maturing July 25, 2020	122	122,636
Emerald Expositions Holding, Inc.	Term Loan, 4.75%, Maturing June 17, 2020	707	715,241
Fender Musical Instruments Corporation	Term Loan, 5.75%, Maturing April 3, 2019	187	187,583
Kasima, LLC	Term Loan, 3.25%, Maturing May 17, 2021	503	502,941
Live Nation Entertainment, Inc.	Term Loan, 3.50%, Maturing August 17, 2020	2,354	2,364,289
Nord Anglia Education Finance, LLC	Term Loan, 4.50%, Maturing March 31, 2021	744	746,236
Sabre, Inc.	Term Loan, 4.00%, Maturing February 19, 2019	556	559,582
SeaWorld Parks & Entertainment, Inc.	Term Loan, 3.00%, Maturing May 14, 2020	1,349	1,325,799
Sonifi Solutions, Inc.	Term Loan, 6.75%,(1.00% Cash, 5.75% PIK), Maturing March 28, 2018(3)	633	40,518
SRAM, LLC	Term Loan, 4.02%, Maturing April 10, 2020	1,568	1,570,679
Town Sports International, Inc.	Term Loan, 4.50%, Maturing November 15, 2020	970	835,262
WMG Acquisition Corp.	Term Loan, 3.75%, Maturing July 1, 2020	1,490	1,483,698
Zuffa, LLC	Term Loan, 3.75%, Maturing February 25, 2020	1,411	1,397,248
			18,841,787

宿泊およびカジノ-3.2%
Amaya Holdings B.V.	Term Loan, 5.00%, Maturing August 1, 2021	2,214	2,224,254
Boyd Gaming Corporation	Term Loan, 4.00%, Maturing August 14, 2020	1,272	1,281,822
Caesars Entertainment Operating Company	Term Loan, 0.00%, Maturing March 1, 2017(5)	1,132	1,046,311
Four Seasons Holdings, Inc.	Term Loan, 3.50%, Maturing June 27, 2020	539	541,209
Golden Nugget, Inc.	Term Loan, 5.50%, Maturing November 21, 2019	411	414,527
Golden Nugget, Inc.	Term Loan, 5.50%, Maturing November 21, 2019	958	967,231
Hilton Worldwide Finance, LLC	Term Loan, 3.50%, Maturing October 26, 2020	4,651	4,673,650
MGM Resorts International	Term Loan, 3.50%, Maturing December 20, 2019	2,644	2,649,120
RHP Hotel Properties L.P.	Term Loan, 3.75%, Maturing January 15, 2021	521	525,134
Scientific Games International, Inc.	Term Loan, 6.00%, Maturing October 18, 2020	2,197	2,221,906
Scientific Games International, Inc.	Term Loan, 6.00%, Maturing October 1, 2021	698	706,154
Tropicana Entertainment, Inc.	Term Loan, 4.00%, Maturing November 27, 2020	320	321,325
			17,572,643

債務者	細目	額面(千米ドル)	時価(米ドル)

非鉄金属/鉱物-1.6%
Alpha Natural Resources, LLC	Term Loan, 3.50%, Maturing May 22, 2020	2,450	1,715,000
Arch Coal, Inc.	Term Loan, 6.25%, Maturing May 16, 2018	3,419	2,561,396
Dynacast International, LLC	Term Loan, 5.25%, Maturing January 28, 2022	400	405,875
Fairmount Minerals Ltd.	Term Loan, 4.50%, Maturing September 5, 2019	1,527	1,460,336
Murray Energy Corporation	Term Loan, 7.00%, Maturing April 7, 2017	175	176,604
Murray Energy Corporation	Term Loan, 7.50%, Maturing March 19, 2021	1,150	1,141,375
Oxbow Carbon, LLC	Term Loan, 4.25%, Maturing July 19, 2019	342	339,336
Walter Energy, Inc.	Term Loan, 7.25%, Maturing April 2, 2018	1,735	1,106,366
			8,906,288

石油およびガス-4.5%
Ameriforge Group, Inc.	Term Loan, 5.00%, Maturing December 19, 2019	3,191	2,804,438
Bronco Midstream Funding, LLC	Term Loan, 5.00%, Maturing August 15, 2020	2,875	2,803,219
CITGO Holding, Inc.	Term Loan, 9.50%, Maturing May 12, 2018	1,297	1,310,123
CITGO Petroleum Corporation	Term Loan, 4.50%, Maturing July 29, 2021	796	799,732
Crestwood Holdings, LLC	Term Loan, 7.00%, Maturing June 19, 2019	361	352,338
Drillships Ocean Ventures, Inc.	Term Loan, 5.50%, Maturing July 25, 2021	844	735,360
Energy Transfer Equity L.P.	Term Loan, 3.25%, Maturing December 2, 2019	1,450	1,446,504
Energy Transfer Equity L.P.	Term Loan, 4.00%, Maturing December 2, 2019	275	276,719
Fieldwood Energy, LLC	Term Loan, 3.88%, Maturing September 28, 2018	813	794,829
Fieldwood Energy, LLC	Term Loan - Second Lien, 8.38%, Maturing September 30, 2020	525	410,812
Floatel International Ltd.	Term Loan, 6.00%, Maturing June 27, 2020	866	654,019
MEG Energy Corp.	Term Loan, 3.75%, Maturing March 31, 2020	3,523	3,487,810
Obsidian Holdings, LLC	Term Loan, 6.75%, Maturing November 2, 2015	107	106,650
Paragon Offshore Finance Company	Term Loan, 3.75%, Maturing July 18, 2021	672	509,176
Samson Investment Company	Term Loan - Second Lien, 5.00%, Maturing September 25, 2018	2,275	1,103,375
Seadrill Partners Finco, LLC	Term Loan, 4.00%, Maturing February 21, 2021	3,285	2,697,484
Seventy Seven Operating, LLC	Term Loan, 3.75%, Maturing June 25, 2021	422	399,667

債務者	細目	額面(千米ドル)	時価(米ドル)

石油およびガス-4.5%(続き)
Sheridan Investment Partners II L.P.	Term Loan, 4.25%, Maturing December 16, 2020	30	27,305
Sheridan Investment Partners II L.P.	Term Loan, 4.25%, Maturing December 16, 2020	80	73,214
Sheridan Investment Partners II L.P.	Term Loan, 4.25%, Maturing December 16, 2020	576	526,314
Sheridan Production Partners I, LLC	Term Loan, 4.25%, Maturing October 1, 2019	150	145,057
Sheridan Production Partners I, LLC	Term Loan, 4.25%, Maturing October 1, 2019	246	237,484
Sheridan Production Partners I, LLC	Term Loan, 4.25%, Maturing October 1, 2019	1,857	1,792,224
Southcross Holdings Borrower L.P.	Term Loan, 6.00%, Maturing August 4, 2021	323	317,724
Tallgrass Operations, LLC	Term Loan, 4.25%, Maturing November 13, 2018	62	61,371
Tervita Corporation	Term Loan, 6.25%, Maturing May 15, 2018	943	899,236
			24,772,184

出版-2.2%
Ascend Learning, LLC	Term Loan, 6.00%, Maturing July 31, 2019	1,136	1,145,562
Getty Images, Inc.	Term Loan, 4.75%, Maturing October 18, 2019	3,461	3,013,338
Interactive Data Corporation	Term Loan, 4.75%, Maturing May 2, 2021	1,414	1,425,583
Laureate Education, Inc.	Term Loan, 5.00%, Maturing June 15, 2018	2,468	2,400,505
McGraw-Hill Global Education Holdings, LLC	Term Loan, 5.75%, Maturing March 22, 2019	398	401,557
Merrill Communications, LLC	Term Loan, 5.75%, Maturing March 8, 2018	346	349,210
Multi Packaging Solutions, Inc.	Term Loan, 4.25%, Maturing September 30, 2020	272	271,966
Penton Media, Inc.	Term Loan, 5.50%, Maturing October 3, 2019	447	451,255
ProQuest, LLC	Term Loan, 5.25%, Maturing October 24, 2021	549	552,740
Springer Science+Business Media Deutschland GmbH	Term Loan, 4.75%, Maturing August 14, 2020	1,825	1,834,708
Springer Science+Business Media Deutschland GmbH	Term Loan, Maturing August 14, 2020(2)	200	201,188
Targa Resources Corp.	Term Loan, 5.75%, Maturing February 25, 2022	253	256,263
			12,303,875

債務者	細目	額面(千米ドル)	時価(米ドル)

ラジオおよびテレビ-2.3%
ALM Media Holdings, Inc.	Term Loan, 5.50%, Maturing July 31, 2020	346	337,641
AP NMT Acquisition B.V.	Term Loan, 6.75%, Maturing August 13, 2021	348	347,706
Block Communications, Inc.	Term Loan, 4.25%, Maturing November 7, 2021	174	175,812
Clear Channel Communications, Inc.	Term Loan, 7.68%, Maturing July 30, 2019	1,500	1,459,453
Cumulus Media Holdings, Inc.	Term Loan, 4.25%, Maturing December 23, 2020	3,026	2,988,630
Entercom Radio, LLC	Term Loan, 4.00%, Maturing November 23, 2018	1,355	1,361,198
Gray Television, Inc.	Term Loan, 3.75%, Maturing June 10, 2021	200	201,298
Media General, Inc.	Term Loan, 4.25%, Maturing July 31, 2020	1,098	1,107,472
Mission Broadcasting, Inc.	Term Loan, 3.75%, Maturing October 1, 2020	369	370,237
Nexstar Broadcasting, Inc.	Term Loan, 3.75%, Maturing October 1, 2020	419	419,855
TWCC Holding Corp.	Term Loan, 3.50%, Maturing February 13, 2017	1,901	1,887,347
TWCC Holding Corp.	Term Loan - Second Lien, 7.00%, Maturing June 26, 2020	500	473,750
Univision Communications, Inc.	Term Loan, 4.00%, Maturing March 1, 2020	1,433	1,434,788
			12,565,187

小売(食料およびドラッグを除く)-5.6%
99 Cents Only Stores	Term Loan, 4.50%, Maturing January 11, 2019	4,005	4,015,806
Bass Pro Group, LLC	Term Loan, 3.75%, Maturing November 20, 2019	1,127	1,135,101
CDW, LLC	Term Loan, 3.25%, Maturing April 29, 2020	956	955,988
David's Bridal, Inc.	Term Loan, 5.25%, Maturing October 11, 2019	1,075	1,036,584
Dollar Tree, Inc.	Term Loan, 4.25%, Maturing March 9, 2022	1,875	1,901,801
Evergreen Acqco 1 L.P.	Term Loan, 5.00%, Maturing July 9, 2019	732	721,456
Harbor Freight Tools USA, Inc.	Term Loan, 4.75%, Maturing July 26, 2019	810	816,912
Jo-Ann Stores, Inc.	Term Loan, 4.00%, Maturing March 16, 2018	2,263	2,262,941
Men's Wearhouse, Inc. (The)	Term Loan, 4.50%, Maturing June 18, 2021	821	830,776
Michaels Stores, Inc.	Term Loan, 3.75%, Maturing January 28, 2020	1,533	1,540,276
Michaels Stores, Inc.	Term Loan, 4.00%, Maturing January 28, 2020	794	799,459
Neiman Marcus Group, Inc. (The)	Term Loan, 4.25%, Maturing October 25, 2020	2,958	2,969,528
Party City Holdings, Inc.	Term Loan, 4.00%, Maturing July 27, 2019	1,908	1,915,259
Petco Animal Supplies, Inc.	Term Loan, 4.00%, Maturing November 24, 2017	877	881,613
PetSmart, Inc.	Term Loan, 5.00%, Maturing March 11, 2022	3,075	3,116,897

債務者	細目	額面(千米ドル)	時価(米ドル)

小売(食料およびドラッグを除く)-5.6%(続き)
PFS Holding Corporation	Term Loan, 4.50%, Maturing January 31, 2021	693	623,700
Pier 1 Imports (U.S.), Inc.	Term Loan, 4.50%, Maturing April 30, 2021	471	470,259
Rent-A-Center, Inc.	Term Loan, 3.75%, Maturing March 19, 2021	446	441,045
Spin Holdco, Inc.	Term Loan, 4.25%, Maturing November 14, 2019	2,636	2,644,498
Toys‘R’Us Property Company I, LLC	Term Loan, 6.00%, Maturing August 21, 2019	1,601	1,514,591
Wilton Brands, LLC	Term Loan, 7.50%, Maturing August 30, 2018	531	510,166
			31,104,656

鉄鋼-1.6%
FMG Resources (August 2006) Pty. Ltd.	Term Loan, 3.75%, Maturing June 30, 2019	5,693	5,156,502
JMC Steel Group, Inc.	Term Loan, 4.75%, Maturing April 1, 2017	2,268	2,267,296
Neenah Foundry Company	Term Loan, 6.75%, Maturing April 26, 2017	1,492	1,477,507
Patriot Coal Corporation	Term Loan, 9.00%, Maturing December 15, 2018(3)	420	230,450
			9,131,755

陸上輸送-0.4%
Stena International S.a.r.l.	Term Loan, 4.00%, Maturing March 3, 2021	1,386	1,270,356
Swift Transportation Co., LLC	Term Loan, 3.75%, Maturing June 9, 2021	941	946,085
			2,216,441

通信-2.9%
CWC Cayman Finance Limited	Term Loan, 5.50%, Maturing April 28, 2017	300	300,938
Intelsat Jackson Holdings S.A.	Term Loan, 3.75%, Maturing June 30, 2019	6,600	6,606,600
IPC Systems, Inc.	Term Loan, 5.50%, Maturing August 6, 2021	1,100	1,102,407
Mitel US Holdings, Inc.	Term Loan, 5.00%, Maturing March 31, 2022	475	479,354
Syniverse Holdings, Inc.	Term Loan, 4.00%, Maturing April 23, 2019	624	606,340
Syniverse Holdings, Inc.	Term Loan, 4.00%, Maturing April 23, 2019	2,472	2,402,747
Telesat Canada	Term Loan, 3.50%, Maturing March 28, 2019	2,339	2,346,071
Ziggo Financing Partnership	Term Loan, 3.50%, Maturing January 15, 2022	477	477,655
Ziggo Financing Partnership	Term Loan, 3.50%, Maturing January 15, 2022	740	741,218
Ziggo Financing Partnership	Term Loan, 3.50%, Maturing January 15, 2022	784	785,571
			15,848,901

債務者	細目	額面(千米ドル)	時価(米ドル)

公益-1.5%
Calpine Construction Finance Company L.P.	Term Loan, 3.00%, Maturing May 3, 2020	663	660,783
Calpine Construction Finance Company L.P.	Term Loan, 3.25%, Maturing January 31, 2022	764	762,745
Calpine Corporation	Term Loan, 4.00%, Maturing April 1, 2018	505	508,826
Calpine Corporation	Term Loan, 4.00%, Maturing October 30, 2020	296	297,986
Dynegy Holdings, Inc.	Term Loan, 4.00%, Maturing April 23, 2020	1,347	1,354,551
EFS Cogen Holdings I, LLC	Term Loan, 3.75%, Maturing December 17, 2020	447	449,454
Electrical Components International, Inc.	Term Loan, 5.75%, Maturing May 28, 2021	323	325,114
Energy Future Intermediate Holding Co., LLC	DIP Loan, 4.25%, Maturing June 19, 2016	1,375	1,384,739
La Frontera Generation, LLC	Term Loan, 4.50%, Maturing September 30, 2020	362	363,825
Lonestar Generation, LLC	Term Loan, 5.25%, Maturing February 20, 2021	423	421,545
Longview Power, LLC	Term Loan, 7.00%, Maturing April 13, 2021	175	177,406
PowerTeam Services, LLC	Term Loan, 4.25%, Maturing May 6, 2020	9	9,350
PowerTeam Services, LLC	Term Loan, 4.25%, Maturing May 6, 2020	175	174,594
TPF II Power, LLC	Term Loan, 5.50%, Maturing October 2, 2021	1,047	1,066,687
WTG Holdings III Corp.	Term Loan, 4.75%, Maturing January 15, 2021	346	348,433
			8,306,038

シニア変動利付有価証券合計
(認識された原価:531,849,073米ドル)			522,913,804

普通株式-0.3%

銘柄名	数量	時価(米ドル)

航空および軍需-0.0%(4)
IAP Worldwide Services, LLC(3)(6)(7)	24	25,861
		25,861

自動車-0.1%
Dayco Products, LLC(7)	9,586	357,078
		357,078

ビジネス機器およびサービス-0.0%(4)
Education Management Corp.(3)(6)(7)	4,977,534	134,393
		134,393

銘柄名	数量	時価(米ドル)

食料サービス-0.0%(4)
Buffets Restaurants Holdings, Inc.(3)(6)(7)	18,253	7,484
		7,484

出版-0.2%
MediaNews Group, Inc.(3)(6)(7)	33,396	1,285,732
		1,285,732

普通株式合計
(認識された原価:1,065,435米ドル)		1,810,548

転換優先株式-0.1%

銘柄名	数量	時価(米ドル)

ビジネス機器およびサービス-0.1%
Education Management Corp., Series A-1, 7.50%(6)(7)	5,538	363,662

転換優先株式合計
(認識された原価:390,853米ドル)		363,662

短期投資証券-4.0%

細目	数量(千米ドル)	時価(米ドル)

Eaton Vance Cash Reserves Fund, LLC, 0.17%(8)	22,099	22,098,762

短期投資証券合計
(認識された原価:22,098,762米ドル)		22,098,762

投資合計-98.7%
(認識された原価:555,404,123米ドル)		547,186,776

純投資-98.7%
(認識された原価:555,404,123米ドル)		547,186,776

負債控除後その他の資産-1.3%		7,148,997

純資産-100.0%		554,335,773

投資有価証券明細表のそれぞれの投資カテゴリーに表示されているパーセンテージは純資産を基にしています。
DIP-占有債務継続者(Debtor In Possession)のことであり、一般的にDIPローンとは破産法を申請した企業が一時的な運転資金融資として発行するローンのことです。※
PIK-ペイメント・イン・カインド(Payment In Kind)債のことであり、利払いが現金ではなく、既存の債務に対して発生する追加的債務の形式で行われる債務のことです。※
※は新光投信にて追記
(1)シニア変動利付商品(シニアローン)は、余剰のキャッシュフローから繰上返済が要求されることや、債務者に自身の選択で返済を認めることがあります。債務者が返済する程度は、契約上の要求もしくは債務者の選択によるものであれ、正確に予測することはできません。結果として、実際の残存期間は記載された規定の満期より短くなることがあります。ただし、シニアローンの予想平均残存期間は概ね2年から4年程度となっています。規定の利率は、シニアローンファシリティの契約全ての加重平均利率を表し、存在する場合は、一時借入ローン契約に係る契約費用を含みます。一般的にシニアローンの利率は、日次、月次、四半期毎、あるいは半期毎に、基礎となる貸出利率にプレミアムを加算することにより再算定されます。これらの基礎となる貸出金利は、第一にロンドン・インターバンク・オファード・レート(LIBOR)であり、第二に、単一もしくは多数の主要な米国銀行によって提示されるプライム・レート(Prime Rate)や譲渡性預金証書(CD)のレート、もしくは営利を目的とした貸し手により使用されるその他の基礎となる貸出利率です。
(2)当該シニアローンは、2015年4月30日以降に、受渡しされ利率が決定される予定です。
(3)開示を目的とした公正価値測定では、当該証券はレベル3に分類されます。レベル3とは米国会計基準における3段階の公正価値評価法による価格で、市場での価格は観察不可能だが、市場関係者による最善の情報を仮定とした価格に相当します。
(4)合計は、0.05%未満です。
(5)現在、発行体は利息支払いに関してデフォルト状態にあります。
(6)無利息証券です。
(7)当該証券は、シニアローンの再構築に関連して取得されており、転売時に制限を受けることがあります。
(8)イートン・バンスのポートフォリオが利用可能な関連投資会社であり、高格付けの米ドル建てマネー・マーケット投資証券に投資を行うファンドです。表示の利回りは、2015年4月30日時点の7日間の年率換算利回りです。
(2)資産・負債計算書(無監査)
(米ドル表示)

資産	2015年4月30日現在
関連当事者以外に係る投資-評価額(認識された原価:533,305,361米ドル)	525,088,014
関連当事者に係る投資-評価額(認識された原価:22,098,762米ドル)	22,098,762
現金	2,549,680
未収利息	1,845,247
関連当事者に係る投資における未収利息	2,836
売却済投資に係る未収金	3,513,675
売却済ファンド投資証券に係る未収金	2,427,605
前払費用	75,256
資産合計	557,601,075

負債
購入済投資に係る未払金	1,775,790
償還済ファンド投資証券に係る未払金	83,674
未払分配金	1,018,015
関連当事者に係る未払金:
投資顧問会社報酬	233,405
未払費用	154,418
負債合計	3,265,302
純資産	554,335,773

純資産の源泉
資本:
参加型投資証券-発行済投資証券1口当たり額面1米ドル	55,888,810
追加の払込資本	507,830,260
累積実現損失純額	(1,569,609)
累積未分配投資収益純額	403,659
未実現損失純額	(8,217,347)
合計	554,335,773

クラスI3$シェアーズ

純資産	150,548,989
参加型投資証券発行済口数	15,124,533
1口当たり純資産価額、発行価格および償還価格
(純資産÷参加型投資証券発行済口数)	9.95

(3)損益計算書(無監査)
(米ドル表示)

投資収益	2015年4月30日に終了する6ヵ月間
利息およびその他の収益	13,643,855
関連当事者に係る投資から割り当てられる収益	11,001
関連当事者に係る投資から割り当てられる費用	(1,179)
投資収益合計	13,653,677

費用
投資顧問会社報酬	1,536,107
保管銀行報酬	111,157
名義書換および分配支払代理人報酬	108,262
法的および会計サービス	61,757
印刷費用および送料	8,785
雑費	85,852
費用合計	1,911,920
控除-
保管銀行報酬の減額	39
費用減額合計	39

純費用	1,911,881

純投資収益	11,741,796

実現および未実現利益(損失)
実現純利益(損失)-
投資取引	(3,282,225)
関連当事者に係る投資から割り当てられる投資取引	18
実現純損失	(3,282,207)
未実現利益(損失)変動額-
投資	3,033,590
未実現利益(損失)純変動額	3,033,590

実現および未実現損失純額	(248,617)

営業による純資産の純増加額	11,493,179

(4)純資産変動計算書
(米ドル表示)

純資産の増加(減少)	2015年4月30日に終了する6ヵ月間 (無監査)
営業によるもの-
純投資収益	11,741,796
投資取引による実現純損失	(3,282,207)
投資による未実現利益(損失)純変動額	3,033,590
営業による純資産の純増加額	11,493,179
投資証券保有者への分配額合計	(11,809,494)
参加型投資証券取引による純資産の純減少額	(138,477,208)

純資産の純減少額	(138,793,523)

純資産額
期首時点	693,129,296
期末時点	554,335,773

純資産に含まれる累積未分配投資収益純額
期末時点	403,659

半期報告書(内国投資信託受益証券)-第1期(平成27年5月29日-平成28年5月25日)

開示資料

決算