半期報告書(内国投資信託受益証券)-第2期(平成28年9月27日-平成29年9月25日)
(3)【中間注記表】
該当事項はありません。
2 デリバティブ取引等関係
取引の時価等に関する事項
(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$シェアーズ」は、「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ」の個別クラスとなっております。
「イートン・バンス・インターナショナル(ケイマン・アイランズ)フローティング・レート・インカム・ポートフォリオ」は、ケイマンの法律に基づき設立された米ドル建外国投資法人であります。同ファンドの平成28年10月31日現在の財務書類は、米国で一般的に認められている会計基準に準拠して作成されており、独立監査人の監査を受けております。
同ファンドの投資有価証券明細表、資産・負債計算書、損益計算書及び純資産変動計算書は、同ファンドの投資顧問会社兼管理事務代行会社であるイートン・バンス・マネジメントから入手した財務書類の原文の一部を翻訳・抜粋したものであります。
(1)投資有価証券明細表
2016年10月31日現在(米ドル表示)
シニア変動利付有価証券-93.1%(1)
普通株式-0.3%
転換優先株式-0.0%(8)
短期投資証券-9.1%
投資有価証券明細表のそれぞれの投資カテゴリーに表示されているパーセンテージは純資産を基にしています。
(1)シニア変動利付商品(シニアローン)は、余剰のキャッシュフローから繰上返済が要求されることや、債務者に自身の選択で返済を認めることがあります。債務者が返済する程度は、契約上の要求もしくは債務者の選択によるものであれ、正確に予測することはできません。結果として、実際の残存期間は記載された規定の満期より短くなることがあります。ただし、シニアローンの予想平均残存期間は概ね2年から4年程度となっています。規定の利率は、シニアローンファシリティの契約全ての加重平均利率を表し、存在する場合は、一時借入ローン契約に係る契約費用を含みます。一般的にシニアローンの利率は、日次、月次、四半期毎、あるいは半期毎に、基礎となる貸出利率にプレミアムを加算することにより再算定されます。これらの基礎となる貸出金利は、第一にロンドン・インターバンク・オファード・レート(LIBOR)であり、第二に、単一もしくは多数の主要な米国銀行によって提示されるプライム・レート(Prime Rate)や譲渡性預金証書(CD)のレート、もしくは営利を目的とした貸し手により使用されるその他の基礎となる貸出利率です。
(2)一時借入の、または部分的に一時借入のローン契約です。
(3)開示を目的とした公正価値測定では、当該証券はレベル3に分類されます。レベル3とは米国会計基準における3段階の公正価値評価法による価格で、市場での価格は観察不可能だが、市場関係者による最善の情報を仮定とした価格に相当します。
(4)当該シニアローンは、2016年10月31日以降に、受渡しされ利率が決定される予定です。
(5)現在、発行体は利息支払に関してデフォルトです。
(6)無利息証券です。
(7)当該証券は、シニアローンの再構築に関連して取得されており、転売時に制限を受けることがあります。
(8)合計は、0.05%未満または(0.05)%未満です。
(9)イートン・バンスのポートフォリオが利用可能な関連投資会社であり、高格付けの米ドル建てマネー・マーケット投資証券に投資を行うファンドです。表示の利回りは、2016年10月31日時点の7日間の年率換算利回りです。
略語:
DIP-占有債務継続者(Debtor In Possession)のことであり、一般的にDIPローンとは破産法を申請した企業が一時的な運転資金融資として発行するローンのことです。※
PIK-ペイメント・イン・カインド(Payment In Kind)債のことであり、利払いが現金ではなく、既存の債務に対して発生する追加的債務の形式で行われる債務のことです。※
※はアセットマネジメントOneにて追記
(2)資産・負債計算書
(米ドル表示)
クラスI3$シェアーズ
(3)損益計算書
(米ドル表示)
(4)純資産変動計算書
(米ドル表示)
| (重要な会計方針に係る事項に関する注記) |
| 区分 | 第2期中間計算期間 自 平成28年 9月27日 至 平成29年 3月26日 |
| 1.有価証券の評価基準及び評価方法 | 投資証券 |
| 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、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 |
| 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 |
| 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期計算期間末 平成28年 9月26日現在 | 第2期中間計算期間末 平成29年 3月26日現在 | ||||||
| 1. | 計算期間末日における受益権の総数 | 1. | 中間計算期間末日における受益権の総数 | ||||
| 1,363,601,532口 | 1,157,959,436口 | ||||||
| 2. | 計算期間末日における1単位当たりの純資産の額 | 2. | 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 | 1.0260円 | 1口当たり純資産額 | 1.0498円 | ||||
| (1万口当たり純資産額) | (10,260円) | (1万口当たり純資産額) | (10,498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期計算期間末 平成28年 9月26日現在 | 第2期中間計算期間末 平成29年 3月26日現在 |
| 1.貸借対照表計上額、時価及び差額 | 1.中間貸借対照表計上額、時価及び差額 |
| 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、貸借対照表計上額と時価との差額はありません。 | 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 | 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。 | 同左 |
| 3.金融商品の時価等に関する事項についての補足説明 | 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。 | 同左 |
| (その他の注記) |
| 1 元本の移動 |
| 区分 | 第1期計算期間末 平成28年 9月26日現在 | 第2期中間計算期間末 平成29年 3月26日現在 |
| 設定年月日 | 平成27年 9月29日 | 平成27年 9月29日 |
| 設定元本額 | 1,419,592,766円 | 1,419,592,766円 |
| 期首元本額 | 1,419,592,766円 | 1,363,601,532円 |
| 元本残存率 | 96.0% | 81.5% |
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期計算期間末 平成28年 9月26日現在 | 第2期中間計算期間末 平成29年 3月26日現在 | ||||||
| 契約額等(円) | 時価(円) | 評価損益(円) | 契約額等(円) | 時価(円) | 評価損益(円) | |||
| うち1年超 | うち1年超 | |||||||
| 市場取引以外の取引 | ||||||||
| 為替予約取引 | ||||||||
| 売建 | 1,339,357,912 | - | 1,329,630,200 | 9,727,712 | 1,164,324,360 | - | 1,145,360,000 | 18,964,360 |
| 米ドル | 1,339,357,912 | - | 1,329,630,200 | 9,727,712 | 1,164,324,360 | - | 1,145,360,000 | 18,964,360 |
| 合計 | 1,339,357,912 | - | 1,329,630,200 | 9,727,712 | 1,164,324,360 | - | 1,145,360,000 | 18,964,360 |
| 時価の算定方法 |
| 為替予約取引 |
| 1)計算期間末日又は中間計算期間末日(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28年10月31日現在の財務書類は、米国で一般的に認められている会計基準に準拠して作成されており、独立監査人の監査を受けております。
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
2016年10月31日現在(米ドル表示)
シニア変動利付有価証券-93.1%(1)
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 航空および軍需-1.8% | ||||
| IAP Worldwide Services, Inc. | Revolving Loan, 1.53%, Maturing July 18, 2018(2) | 133 | 126,774 | |
| IAP Worldwide Services, Inc. | Term Loan - Second Lien, 8.00%, Maturing July 18, 2019(3) | 179 | 143,414 | |
| Silver II US Holdings, LLC | Term Loan, 4.00%, Maturing December 13, 2019 | 2,850 | 2,635,277 | |
| TransDigm, Inc | Term Loan, 3.82%, Maturing February 28, 2020 | 3,408 | 3,409,881 | |
| TransDigm, Inc | Term Loan, 3.75%, Maturing June 9, 2023 | 3,381 | 3,374,735 | |
| Wesco Aircraft Hardware Corp. | Term Loan, 3.29%, Maturing September 23, 2021 | 625 | 624,219 | |
| 10,314,300 | ||||
| 空運-0.3% | ||||
| Virgin America, Inc. | Term Loan, 5.36%, Maturing April 4, 2019 | 1,725 | 1,750,875 | |
| 1,750,875 | ||||
| すべての通信-0.4% | ||||
| Ciena Corporation | Term Loan, 4.25%, Maturing April 25, 2021 | 1,990 | 1,999,950 | |
| 1,999,950 | ||||
| 自動車-2.6% | ||||
| CS Intermediate Holdco 2, LLC | Term Loan, 4.00%, Maturing April 4, 2021 | 1,970 | 1,978,801 | |
| CS Intermediate Holdco 2, LLC | Term Loan, Maturing October 26, 2023(4) | 125 | 125,625 | |
| Dayco Products, LLC | Term Loan, 5.25%, Maturing December 12, 2019 | 853 | 855,258 | |
| FCA US, LLC | Term Loan, 3.50%, Maturing May 24, 2017 | 2,135 | 2,139,798 | |
| Federal-Mogul Holdings Corporation | Term Loan, 4.75%, Maturing April 15, 2021 | 3,421 | 3,320,323 | |
| Goodyear Tire & Rubber Company (The) | Term Loan - Second Lien, 3.86%, Maturing April 30, 2019 | 1,113 | 1,121,043 | |
| Horizon Global Corporation | Term Loan, 7.00%, Maturing June 30, 2021 | 506 | 508,149 | |
| MPG Holdco I, Inc. | Term Loan, 3.75%, Maturing October 20, 2021 | 1,579 | 1,587,012 | |
| TI Group Automotive Systems, LLC | Term Loan, 4.50%, Maturing June 30, 2022 | 792 | 794,633 | |
| Tower Automotive Holdings USA, LLC | Term Loan, 4.00%, Maturing April 23, 2020 | 1,212 | 1,212,902 | |
| Visteon Corporation | Term Loan, 3.55%, Maturing April 9, 2021 | 569 | 571,001 | |
| 14,214,545 | ||||
| 飲料およびタバコ-0.1% | ||||
| Flavors Holdings, Inc. | Term Loan, 6.75%, Maturing April 3, 2020 | 540 | 459,000 | |
| 459,000 | ||||
| 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-0.3% | ||||
| Aretec Group, Inc. | Term Loan, 8.00%, Maturing May 25, 2023 | 328 | 328,585 | |
| Aretec Group, Inc. | Term Loan - Second Lien, 6.50%, (2.00% Cash, 4.50% PIK), Maturing May 23, 2021 | 1,320 | 1,069,005 | |
| Salient Partners L.P. | Term Loan, 9.50%, Maturing May 19, 2021 | 502 | 480,904 | |
| 1,878,494 | ||||
| 建設およびデベロッパー-2.3% | ||||
| American Builders & Contractors Supply Co. | Term Loan, Maturing October 31, 2023(4) | 1,675 | 1,684,422 | |
| Auction.com, LLC | Term Loan, 6.00%, Maturing May 12, 2019 | 616 | 619,473 | |
| CPG International, Inc. | Term Loan, 4.75%, Maturing September 30, 2020 | 461 | 463,630 | |
| DTZ U.S. Borrower, LLC | Term Loan, 4.25%, Maturing November 4, 2021 | 1,753 | 1,752,812 | |
| Henry Company, LLC | Term Loan, 5.50%, Maturing October 5, 2023 | 200 | 201,500 | |
| Ply Gem Industries, Inc. | Term Loan, 4.00%, Maturing February 1, 2021 | 835 | 840,556 | |
| Quikrete Holdings, Inc. | Term Loan, 4.00%, Maturing September 28, 2020 | 1,928 | 1,937,800 | |
| RE/MAX International, Inc. | Term Loan, 4.00%, Maturing July 31, 2020 | 2,560 | 2,562,077 | |
| Realogy Corporation | Term Loan, 3.75%, Maturing July 20, 2022 | 1,885 | 1,900,075 | |
| Summit Materials Companies I, LLC | Term Loan, 4.00%, Maturing July 17, 2022 | 420 | 423,163 | |
| WireCo WorldGroup, Inc. | Term Loan, 6.50%, Maturing July 13, 2023 | 375 | 376,875 | |
| 12,762,383 | ||||
| ビジネス機器およびサービス-7.9% | ||||
| Acosta Holdco, Inc. | Term Loan, 4.25%, Maturing September 26, 2021 | 1,676 | 1,615,707 | |
| AlixPartners, LLP | Term Loan, 4.00%, Maturing July 28, 2022 | 396 | 397,609 | |
| Altisource Solutions S.a.r.l. | Term Loan, 4.50%, Maturing December 9, 2020 | 253 | 245,772 | |
| Camelot UK Holdco Limited | Term Loan, 4.75%, Maturing October 3, 2023 | 750 | 751,992 | |
| CCC Information Services, Inc. | Term Loan, 4.00%, Maturing December 20, 2019 | 867 | 867,445 | |
| Ceridian, LLC | Term Loan, 4.50%, Maturing September 15, 2020 | 457 | 449,624 | |
| Corporate Capital Trust, Inc. | Term Loan, 4.13%, Maturing May 20, 2019 | 804 | 807,391 | |
| CPM Holdings, Inc. | Term Loan, 6.00%, Maturing April 11, 2022 | 173 | 173,893 | |
| Crossmark Holdings, Inc. | Term Loan, 4.50%, Maturing December 20, 2019 | 1,306 | 933,873 | |
| Education Management, LLC | Term Loan, 5.50%, Maturing July 2, 2020 | 415 | 114,231 | |
| Education Management, LLC | Term Loan, 8.50%, (2.00% Cash, 6.50% PIK), Maturing July 2, 2020 | 777 | 42,708 | |
| 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-7.9%(続き) | ||||
| EIG Investors Corp. | Term Loan, 6.48%, Maturing November 9, 2019 | 4,349 | 4,246,764 | |
| Emdeon Business Services, LLC | Term Loan, 3.75%, Maturing November 2, 2018 | 3,997 | 4,010,184 | |
| Extreme Reach, Inc. | Term Loan, 7.25%, Maturing February 7, 2020 | 932 | 935,621 | |
| Garda World Security Corporation | Term Loan, 4.00%, Maturing November 6, 2020 | 341 | 339,119 | |
| Garda World Security Corporation | Term Loan, 4.00%, Maturing November 6, 2020 | 2,667 | 2,648,436 | |
| IG Investment Holdings, LLC | Term Loan, 6.00%, Maturing October 29, 2021 | 1,947 | 1,965,477 | |
| Information Resources, Inc. | Term Loan, 4.75%, Maturing September 30, 2020 | 942 | 944,431 | |
| ION Trading Finance Limited | Term Loan, 4.25%, Maturing August 11, 2023 | 1,286 | 1,288,685 | |
| J.D. Power and Associates | Term Loan, 5.25%, Maturing September 7, 2023 | 475 | 480,344 | |
| KAR Auction Services, Inc. | Term Loan, 4.06%, Maturing March 11, 2021 | 1,191 | 1,200,046 | |
| Kronos Incorporated | Term Loan, 4.50%, Maturing October 30, 2019 | 3,945 | 3,954,777 | |
| Kronos Incorporated | Term Loan, Maturing October 4, 2023(4) | 3,775 | 3,795,940 | |
| MCS AMS Sub-Holdings, LLC | Term Loan, 7.50%, Maturing October 15, 2019 | 377 | 348,754 | |
| Monitronics International, Inc. | Term Loan, 6.50%, Maturing September 30, 2022 | 1,594 | 1,585,839 | |
| PGX Holdings, Inc. | Term Loan, 5.75%, Maturing September 29, 2020 | 410 | 411,425 | |
| Prime Security Services Borrower, LLC | Term Loan, 4.75%, Maturing May 2, 2022 | 773 | 779,440 | |
| ServiceMaster Company | Term Loan, 4.25%, Maturing July 1, 2021 | 1,911 | 1,919,838 | |
| Spin Holdco, Inc. | Term Loan, 4.25%, Maturing November 14, 2019 | 2,597 | 2,586,069 | |
| TransUnion, LLC | Term Loan, 3.50%, Maturing April 9, 2021 | 2,985 | 2,997,649 | |
| Travelport Finance (Luxembourg) S.a.r.l. | Term Loan, 5.00%, Maturing September 2, 2021 | 937 | 943,720 | |
| WASH Multifamily Laundry Systems, LLC | Term Loan, 4.25%, Maturing May 14, 2022 | 147 | 147,058 | |
| 43,929,861 | ||||
| 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-2.1% | ||||
| Altice US Finance I Corporation | Term Loan, Maturing January 15, 2025(4) | 775 | 778,875 | |
| Block Communications, Inc. | Term Loan, 4.09%, Maturing November 7, 2021 | 221 | 222,771 | |
| Charter Communications Operating, LLC | Term Loan, 3.50%, Maturing January 24, 2023 | 1,368 | 1,378,005 | |
| CSC Holdings, LLC | Term Loan, 3.88%, Maturing October 11, 2024 | 3,260 | 3,275,490 | |
| MCC Iowa, LLC | Term Loan, 3.25%, Maturing January 29, 2021 | 581 | 583,675 | |
| MCC Iowa, LLC | Term Loan, 3.75%, Maturing June 30, 2021 | 709 | 712,786 | |
| Numericable Group SA | Term Loan, 4.56%, Maturing July 31, 2022 | 248 | 247,809 | |
| Numericable U.S., LLC | Term Loan, 5.14%, Maturing January 15, 2024 | 572 | 576,416 | |
| Telenet International Finance S.a.r.l. | Term Loan, 4.36%, Maturing June 30, 2024 | 575 | 577,156 | |
| UPC Financing Partnership | Term Loan, 4.08%, Maturing August 31, 2024 | 2,175 | 2,188,866 | |
| Virgin Media Investment Holdings Limited | Term Loan, 3.50%, Maturing June 30, 2023 | 1,010 | 1,014,927 | |
| 11,556,776 | ||||
| 化学およびプラスティック-6.4% | ||||
| Aruba Investments, Inc. | Term Loan, 4.50%, Maturing February 2, 2022 | 207 | 207,012 | |
| Axalta Coating Systems US Holdings, Inc. | Term Loan, 3.75%, Maturing February 1, 2020 | 3,896 | 3,929,040 | |
| Emerald Performance Materials, LLC | Term Loan, 4.50%, Maturing August 1, 2021 | 409 | 412,179 | |
| Flint Group GmbH | Term Loan, 4.50%, Maturing September 7, 2021 | 129 | 128,275 | |
| Flint Group US, LLC | Term Loan, 4.50%, Maturing September 7, 2021 | 778 | 776,283 | |
| GCP Applied Technologies, Inc. | Term Loan, 4.09%, Maturing February 3, 2022 | 373 | 376,856 | |
| Gemini HDPE, LLC | Term Loan, 4.75%, Maturing August 7, 2021 | 367 | 369,549 | |
| Huntsman International, LLC | Term Loan, 3.75%, Maturing October 1, 2021 | 1,572 | 1,582,070 | |
| Huntsman International, LLC | Term Loan, 4.25%, Maturing April 1, 2023 | 373 | 377,551 | |
| Ineos US Finance, LLC | Term Loan, 3.75%, Maturing May 4, 2018 | 3,758 | 3,769,099 | |
| Ineos US Finance, LLC | Term Loan, 4.25%, Maturing March 31, 2022 | 419 | 421,151 | |
| Kraton Polymers, LLC | Term Loan, 6.00%, Maturing January 6, 2022 | 1,450 | 1,462,386 | |
| Kronos Worldwide, Inc. | Term Loan, 4.00%, Maturing February 18, 2020 | 268 | 264,774 | |
| MacDermid, Inc. | Term Loan, 5.00%, Maturing June 7, 2023 | 4,518 | 4,562,488 | |
| Minerals Technologies, Inc. | Term Loan, 3.75%, Maturing May 9, 2021 | 2,765 | 2,790,848 | |
| Orion Engineered Carbons GmbH | Term Loan, 3.84%, Maturing July 25, 2021 | 379 | 381,790 | |
| OXEA Finance, LLC | Term Loan, 4.25%, Maturing January 15, 2020 | 412 | 394,729 | |
| PolyOne Corporation | Term Loan, 3.50%, Maturing November 11, 2022 | 347 | 349,910 | |
| PQ Corporation | Term Loan, 5.75%, Maturing November 4, 2022 | 823 | 828,539 | |
| Solenis International L.P. | Term Loan, 4.25%, Maturing July 31, 2021 | 245 | 244,728 | |
| 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-6.4%(続き) | ||||
| Sonneborn Refined Products B.V. | Term Loan, 4.75%, Maturing December 10, 2020 | 49 | 48,866 | |
| Sonneborn, LLC | Term Loan, 4.75%, Maturing December 10, 2020 | 276 | 276,906 | |
| Tata Chemicals North America, Inc. | Term Loan, 3.75%, Maturing August 7, 2020 | 702 | 703,073 | |
| Trinseo Materials Operating S.C.A. | Term Loan, 4.25%, Maturing November 5, 2021 | 3,654 | 3,675,826 | |
| Tronox Pigments (Netherlands) B.V. | Term Loan, 4.50%, Maturing March 19, 2020 | 3,346 | 3,330,893 | |
| Univar, Inc. | Term Loan, 4.25%, Maturing July 1, 2022 | 2,153 | 2,157,735 | |
| Versum Materials, Inc. | Term Loan, 3.34%, Maturing September 29, 2023 | 400 | 402,750 | |
| Zep, Inc. | Term Loan, 5.50%, Maturing June 27, 2022 | 1,432 | 1,437,245 | |
| 35,662,551 | ||||
| 衣類/繊維-0.2% | ||||
| Ascena Retail Group, Inc. | Term Loan, 5.25%, Maturing August 21, 2022 | 1,016 | 993,021 | |
| 993,021 | ||||
| 複合-0.4% | ||||
| RGIS Services, LLC | Term Loan, 5.50%, Maturing October 18, 2017 | 1,480 | 1,387,610 | |
| Spectrum Brands, Inc. | Term Loan, 3.29%, Maturing June 23, 2022 | 1,006 | 1,016,411 | |
| 2,404,021 | ||||
| コンテナおよびガラス製品-2.4% | ||||
| Berry Plastics Holding Corporation | Term Loan, 3.50%, Maturing February 8, 2020 | 2,802 | 2,810,156 | |
| Berry Plastics Holding Corporation | Term Loan, 3.50%, Maturing January 6, 2021 | 750 | 751,823 | |
| Berry Plastics Holding Corporation | Term Loan, 3.75%, Maturing October 1, 2022 | 664 | 667,104 | |
| Hilex Poly Co., LLC | Term Loan, 6.00%, Maturing December 5, 2021 | 1,105 | 1,116,780 | |
| Libbey Glass, Inc. | Term Loan, 3.75%, Maturing April 9, 2021 | 354 | 354,587 | |
| Pelican Products, Inc. | Term Loan, 5.25%, Maturing April 10, 2020 | 590 | 584,466 | |
| Reynolds Group Holdings, Inc. | Term Loan, 4.25%, Maturing February 5, 2023 | 4,721 | 4,737,233 | |
| SIG Combibloc US Acquisition, Inc. | Term Loan, 4.00%, Maturing March 13, 2022 | 1,305 | 1,308,693 | |
| TricorBraun, Inc. | Term Loan, 4.00%, Maturing May 3, 2018 | 787 | 788,288 | |
| 13,119,130 | ||||
| 化粧品/トイレタリー-0.7% | ||||
| Coty, Inc. | Term Loan, 3.03%, Maturing October 27, 2022 | 597 | 598,119 | |
| Galleria Co. | Term Loan, 3.75%, Maturing January 26, 2023 | 1,200 | 1,208,986 | |
| KIK Custom Products, Inc. | Term Loan, 6.00%, Maturing August 26, 2022 | 1,040 | 1,039,500 | |
| Prestige Brands, Inc. | Term Loan, 3.50%, Maturing September 3, 2021 | 799 | 804,056 | |
| 3,650,661 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| ドラッグ-4.4% | ||||
| Albany Molecular Research, Inc. | Term Loan, 5.75%, Maturing July 16, 2021 | 2,210 | 2,220,906 | |
| Alkermes, Inc. | Term Loan, 3.59%, Maturing September 25, 2021 | 2,093 | 2,098,466 | |
| AMAG Pharmaceuticals, Inc. | Term Loan, 4.75%, Maturing August 13, 2021 | 713 | 714,281 | |
| Amneal Pharmaceuticals, LLC | Term Loan, 4.50%, Maturing November 1, 2019 | 707 | 711,425 | |
| Arbor Pharmaceuticals, Inc. | Term Loan, 6.00%, Maturing June 28, 2023 | 1,075 | 1,086,422 | |
| DPx Holdings B.V. | Term Loan, 4.25%, Maturing March 11, 2021 | 2,713 | 2,716,802 | |
| Endo Luxembourg Finance Company I S.a.r.l. | Term Loan, 3.75%, Maturing September 26, 2022 | 1,737 | 1,736,604 | |
| Horizon Pharma, Inc. | Term Loan, 4.00%, Maturing May 7, 2021 | 148 | 147,940 | |
| Horizon Pharma, Inc. | Term Loan, Maturing October 18, 2021(4) | 425 | 427,391 | |
| Jaguar Holding Company II | Term Loan, 4.25%, Maturing August 18, 2022 | 5,211 | 5,216,129 | |
| Mallinckrodt International Finance S.A. | Term Loan, 3.59%, Maturing March 19, 2021 | 907 | 907,208 | |
| Valeant Pharmaceuticals International, Inc. | Term Loan, 4.29%, Maturing October 20, 2018 | 354 | 353,253 | |
| Valeant Pharmaceuticals International, Inc. | Term Loan, Maturing February 13, 2019(4) | 953 | 952,915 | |
| Valeant Pharmaceuticals International, Inc. | Term Loan, 5.25%, Maturing December 11, 2019 | 2,071 | 2,072,267 | |
| Valeant Pharmaceuticals International, Inc. | Term Loan, 5.50%, Maturing April 1, 2022 | 3,101 | 3,106,691 | |
| 24,468,700 | ||||
| 環境サービスおよび機器-0.7% | ||||
| ADS Waste Holdings, Inc. | Term Loan, 3.75%, Maturing October 9, 2019 | 1,821 | 1,825,177 | |
| EnergySolutions, LLC | Term Loan, 6.75%, Maturing May 29, 2020 | 1,404 | 1,407,688 | |
| GFL Environmental, Inc. | Term Loan, 3.75%, Maturing September 23, 2023 | 525 | 526,312 | |
| 3,759,177 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 電子機器/電器-8.4% | ||||
| Answers Corporation | Term Loan, 0.00%, Maturing October 3, 2021(5) | 862 | 458,948 | |
| Avago Technologies Cayman Ltd. | Term Loan, 3.53%, Maturing February 1, 2023 | 4,357 | 4,407,474 | |
| Avast Software B.V. | Term Loan, 5.00%, Maturing September 30, 2022 | 1,300 | 1,312,675 | |
| Campaign Monitor Finance Pty. Limited | Term Loan, 6.25%, Maturing March 18, 2021 | 619 | 603,983 | |
| CommScope, Inc. | Term Loan, 3.25%, Maturing December 29, 2022 | 594 | 598,007 | |
| Cypress Semiconductor Corporation | Term Loan, 6.50%, Maturing July 5, 2021 | 741 | 749,574 | |
| Deltek, Inc. | Term Loan, 5.00%, Maturing June 25, 2022 | 1,175 | 1,182,805 | |
| Electrical Components International, Inc. | Term Loan, 5.75%, Maturing May 28, 2021 | 1,133 | 1,135,365 | |
| Entegris, Inc. | Term Loan, 3.50%, Maturing April 30, 2021 | 239 | 240,650 | |
| Excelitas Technologies Corp. | Term Loan, 6.00%, Maturing October 31, 2020 | 1,555 | 1,519,752 | |
| Eze Castle Software, Inc. | Term Loan, 4.00%, Maturing April 6, 2020 | 293 | 293,116 | |
| Go Daddy Operating Company, LLC | Term Loan, 4.25%, Maturing May 13, 2021 | 2,912 | 2,933,505 | |
| Hyland Software, Inc. | Term Loan, 4.75%, Maturing July 1, 2022 | 1,072 | 1,076,990 | |
| Infor (US), Inc. | Term Loan, 3.75%, Maturing June 3, 2020 | 4,099 | 4,093,826 | |
| Informatica Corporation | Term Loan, 4.50%, Maturing August 5, 2022 | 2,178 | 2,143,424 | |
| Lattice Semiconductor Corporation | Term Loan, 5.51%, Maturing March 10, 2021 | 1,323 | 1,316,753 | |
| M/A-COM Technology Solutions Holdings, Inc. | Term Loan, 4.63%, Maturing May 7, 2021 | 689 | 696,991 | |
| MA FinanceCo., LLC | Term Loan, 4.50%, Maturing November 20, 2019 | 723 | 726,306 | |
| MA FinanceCo., LLC | Term Loan, 4.50%, Maturing November 20, 2021 | 737 | 741,051 | |
| Magic Newco, LLC | Term Loan, 6.50%, Maturing December 12, 2018 | 2,658 | 2,665,669 | |
| MH Sub I, LLC | Term Loan, 4.75%, Maturing July 8, 2021 | 931 | 935,141 | |
| Microsemi Corporation | Term Loan, 3.75%, Maturing January 15, 2023 | 387 | 390,910 | |
| MTS Systems Corporation | Term Loan, 5.00%, Maturing July 5, 2023 | 875 | 885,938 | |
| NXP B.V. | Term Loan, 3.41%, Maturing December 7, 2020 | 640 | 642,790 | |
| Renaissance Learning, Inc. | Term Loan, 4.50%, Maturing April 9, 2021 | 609 | 609,121 | |
| Rocket Software, Inc. | Term Loan, 5.25%, Maturing October 14, 2023 | 775 | 779,844 | |
| SGS Cayman L.P. | Term Loan, 6.00%, Maturing April 23, 2021 | 153 | 151,328 | |
| SkillSoft Corporation | Term Loan, 5.84%, Maturing April 28, 2021 | 2,651 | 2,364,753 | |
| SS&C Technologies, Inc. | Term Loan, 4.00%, Maturing July 8, 2022 | 138 | 139,329 | |
| SS&C Technologies, Inc. | Term Loan, 4.00%, Maturing July 8, 2022 | 1,135 | 1,144,863 | |
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 電子機器/電器-8.4%(続き) | ||||
| SunEdison Semiconductor B.V. | Term Loan, 6.50%, Maturing May 27, 2019 | 536 | 536,939 | |
| SurveyMonkey, Inc. | Term Loan, 6.25%, Maturing February 5, 2019 | 237 | 237,519 | |
| Sutherland Global Services, Inc. | Term Loan, 6.00%, Maturing April 23, 2021 | 656 | 650,098 | |
| Uber Technologies | Term Loan, 5.00%, Maturing July 13, 2023 | 2,150 | 2,162,094 | |
| Vantiv, LLC | Term Loan, 3.25%, Maturing October 14, 2023 | 396 | 397,770 | |
| Veritas US, Inc. | Term Loan, 6.63%, Maturing January 27, 2023 | 1,353 | 1,264,256 | |
| Vertafore, Inc. | Term Loan, 4.75%, Maturing June 30, 2023 | 2,050 | 2,060,410 | |
| Wall Street Systems Delaware, Inc. | Term Loan, 4.75%, Maturing August 23, 2023 | 693 | 695,579 | |
| Western Digital Corporation | Term Loan, 4.50%, Maturing April 29, 2023 | 1,536 | 1,555,833 | |
| 46,501,379 | ||||
| 金融仲介-3.4% | ||||
| Americold Realty Operating Partnership L.P. | Term Loan, 5.75%, Maturing December 1, 2022 | 299 | 303,926 | |
| Armor Holding II, LLC | Term Loan, 5.75%, Maturing June 26, 2020 | 2,299 | 2,256,405 | |
| Citco Funding, LLC | Term Loan, 4.25%, Maturing June 29, 2018 | 1,550 | 1,555,609 | |
| Clipper Acquisitions Corp. | Term Loan, 3.09%, Maturing February 6, 2020 | 1,155 | 1,157,179 | |
| Donnelley Financial Solutions, Inc. | Term Loan, 5.00%, Maturing September 30, 2023 | 350 | 352,188 | |
| First Data Corporation | Term Loan, 4.27%, Maturing July 8, 2022 | 2,275 | 2,293,641 | |
| Grosvenor Capital Management Holdings, LLP | Term Loan, 3.75%, Maturing January 4, 2021 | 1,155 | 1,149,157 | |
| Guggenheim Partners, LLC | Term Loan, 3.63%, Maturing July 21, 2023 | 3,017 | 3,030,383 | |
| Harbourvest Partners, LLC | Term Loan, 3.38%, Maturing February 4, 2021 | 430 | 427,950 | |
| Medley, LLC | Term Loan, 6.50%, Maturing June 15, 2019(3) | 193 | 179,545 | |
| MIP Delaware, LLC | Term Loan, 4.00%, Maturing March 9, 2020 | 736 | 738,326 | |
| NXT Capital, Inc. | Term Loan, 6.25%, Maturing September 4, 2018 | 97 | 97,731 | |
| NXT Capital, Inc. | Term Loan, 6.25%, Maturing September 4, 2018 | 419 | 419,574 | |
| NXT Capital, Inc. | Term Loan, 6.25%, Maturing September 4, 2018 | 558 | 559,144 | |
| Ocwen Financial Corporation | Term Loan, 5.50%, Maturing February 15, 2018 | 585 | 586,160 | |
| Outerwall, Inc. | Term Loan, 5.25%, Maturing September 27, 2023 | 300 | 302,750 | |
| Starwood Property Trust, Inc. | Term Loan, 3.50%, Maturing April 17, 2020 | 775 | 776,605 | |
| Walter Investment Management Corp. | Term Loan, 4.75%, Maturing December 19, 2020 | 2,979 | 2,803,609 | |
| 18,989,882 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 食料品-3.2% | ||||
| AdvancePierre Foods, Inc. | Term Loan, 4.50%, Maturing June 2, 2023 | 1,600 | 1,614,388 | |
| B&G Foods, Inc. | Term Loan, 3.84%, Maturing November 2, 2022 | 1,920 | 1,938,333 | |
| Blue Buffalo Company, Ltd. | Term Loan, 3.75%, Maturing August 8, 2019 | 3,550 | 3,571,794 | |
| Del Monte Foods, Inc. | Term Loan, 4.25%, Maturing February 18, 2021 | 1,094 | 1,018,389 | |
| Dole Food Company, Inc. | Term Loan, 4.56%, Maturing November 1, 2018 | 2,911 | 2,925,174 | |
| High Liner Foods Incorporated | Term Loan, 4.25%, Maturing April 24, 2021 | 714 | 710,450 | |
| JBS USA, LLC | Term Loan, 3.75%, Maturing September 18, 2020 | 1,188 | 1,188,250 | |
| JBS USA, LLC | Term Loan, 4.00%, Maturing October 30, 2022 | 447 | 446,620 | |
| Keurig Green Mountain, Inc. | Term Loan, 5.25%, Maturing March 3, 2023 | 636 | 645,768 | |
| NBTY, Inc. | Term Loan, 5.00%, Maturing May 5, 2023 | 2,544 | 2,553,482 | |
| Oak Tea, Inc. | Term Loan, 4.25%, Maturing July 2, 2022 | 1,436 | 1,437,766 | |
| 18,050,414 | ||||
| 食料サービス-2.5% | ||||
| 1011778 B.C. Unlimited Liability Company | Term Loan, 3.75%, Maturing December 10, 2021 | 5,180 | 5,210,244 | |
| Centerplate, Inc. | Term Loan, 4.75%, Maturing November 26, 2019 | 1,255 | 1,249,821 | |
| Focus Brands, Inc. | Term Loan, 5.00%, Maturing October 3, 2023 | 250 | 252,448 | |
| Landry's, Inc. | Term Loan, 4.00%, Maturing October 4, 2023 | 1,675 | 1,687,214 | |
| Manitowoc Foodservice, Inc. | Term Loan, 5.75%, Maturing March 3, 2023 | 658 | 668,902 | |
| NPC International, Inc. | Term Loan, 4.75%, Maturing December 28, 2018 | 1,020 | 1,023,792 | |
| P.F. Chang's China Bistro, Inc. | Term Loan, 4.53%, Maturing July 2, 2019 | 555 | 548,454 | |
| Seminole Hard Rock Entertainment, Inc. | Term Loan, 3.59%, Maturing May 14, 2020 | 169 | 170,230 | |
| Weight Watchers International, Inc. | Term Loan, 4.07%, Maturing April 2, 2020 | 3,571 | 2,745,714 | |
| Yum! Brands, Inc. | Term Loan, 3.29%, Maturing June 16, 2023 | 648 | 655,669 | |
| 14,212,488 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 食料/ドラッグ小売-2.0% | ||||
| Albertsons, LLC | Term Loan, 4.75%, Maturing June 22, 2023 | 3,540 | 3,578,514 | |
| General Nutrition Centers, Inc. | Term Loan, 3.25%, Maturing March 4, 2019 | 2,307 | 2,268,146 | |
| Rite Aid Corporation | Term Loan - Second Lien, 5.75%, Maturing August 21, 2020 | 200 | 200,969 | |
| Rite Aid Corporation | Term Loan - Second Lien, 4.88%, Maturing June 21, 2021 | 1,272 | 1,277,153 | |
| Supervalu, Inc. | Term Loan, 5.50%, Maturing March 21, 2019 | 4,035 | 4,051,669 | |
| 11,376,451 | ||||
| 林産品-0.1% | ||||
| Expera Specialty Solutions, LLC | Term Loan, Maturing October 27, 2023(4) | 675 | 668,250 | |
| 668,250 | ||||
| ヘルスケア-8.1% | ||||
| Acadia Healthcare Company, Inc. | Term Loan, 3.75%, Maturing February 11, 2022 | 172 | 172,582 | |
| ADMI Corp. | Term Loan, 5.25%, Maturing April 30, 2022 | 247 | 249,412 | |
| Akorn, Inc. | Term Loan, 5.25%, Maturing April 16, 2021 | 736 | 745,609 | |
| Alere, Inc. | Term Loan, 4.25%, Maturing June 18, 2022 | 1,035 | 1,032,507 | |
| Alliance Healthcare Services, Inc. | Term Loan, 4.25%, Maturing June 3, 2019 | 1,558 | 1,500,571 | |
| Ardent Legacy Acquisitions, Inc. | Term Loan, 6.50%, Maturing August 4, 2021 | 347 | 346,500 | |
| Auris Luxembourg III S.a.r.l. | Term Loan, 4.25%, Maturing January 15, 2022 | 1,059 | 1,065,527 | |
| BioClinica, Inc. | Term Loan, 5.25%, Maturing October 20, 2023 | 450 | 448,875 | |
| CareCore National, LLC | Term Loan, 5.50%, Maturing March 5, 2021 | 1,312 | 1,294,434 | |
| CeramTec Acquisition Corporation | Term Loan, 4.25%, Maturing August 30, 2020 | 92 | 92,741 | |
| CHG Healthcare Services, Inc. | Term Loan, 4.75%, Maturing June 7, 2023 | 1,318 | 1,327,322 | |
| Community Health Systems, Inc. | Term Loan, 3.75%, Maturing December 31, 2019 | 737 | 702,724 | |
| Community Health Systems, Inc. | Term Loan, 4.00%, Maturing January 27, 2021 | 3,039 | 2,888,233 | |
| Concentra, Inc. | Term Loan, 4.00%, Maturing June 1, 2022 | 322 | 322,587 | |
| Convatec, Inc. | Term Loan, Maturing October 10, 2023(4) | 375 | 376,406 | |
| CPI Buyer, LLC | Term Loan, 5.50%, Maturing August 15, 2021 | 796 | 794,256 | |
| DJO Finance, LLC | Term Loan, 4.25%, Maturing June 8, 2020 | 1,333 | 1,318,794 | |
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| ヘルスケア-8.1%(続き) | ||||
| Envision Healthcare Corporation | Term Loan, 4.25%, Maturing May 25, 2018 | 3,367 | 3,376,149 | |
| Faenza Acquisition GmbH | Term Loan, 4.25%, Maturing August 30, 2020 | 254 | 255,734 | |
| Faenza Acquisition GmbH | Term Loan, 4.25%, Maturing August 30, 2020 | 831 | 836,696 | |
| Genoa, a QoL Healthcare Company, LLC | Term Loan, Maturing October 25, 2023(4) | 400 | 400,625 | |
| Global Healthcare Exchange, LLC | Term Loan, 5.25%, Maturing August 15, 2022 | 743 | 749,021 | |
| Greatbatch Ltd. | Term Loan, 5.25%, Maturing October 27, 2022 | 670 | 661,898 | |
| Iasis Healthcare, LLC | Term Loan, 4.50%, Maturing May 3, 2018 | 963 | 958,650 | |
| IMS Health Incorporated | Term Loan, 3.50%, Maturing March 17, 2021 | 2,860 | 2,875,345 | |
| Indivior Finance S.a.r.l. | Term Loan, 7.00%, Maturing December 19, 2019 | 593 | 593,125 | |
| inVentiv Health, Inc. | Term Loan, 8.75%, Maturing May 15, 2018 | 309 | 309,360 | |
| inVentiv Health, Inc. | Term Loan, 8.75%, Maturing May 15, 2018 | 1,056 | 1,059,125 | |
| Kindred Healthcare, Inc. | Term Loan, 4.25%, Maturing April 9, 2021 | 1,377 | 1,379,570 | |
| Kinetic Concepts, Inc. | Term Loan, 5.00%, Maturing November 4, 2020 | 2,255 | 2,271,249 | |
| KUEHG Corp. | Term Loan, 5.25%, Maturing August 12, 2022 | 767 | 770,127 | |
| MMM Holdings, Inc. | Term Loan, 9.75%, Maturing December 12, 2017 | 384 | 363,823 | |
| MPH Acquisition Holdings, LLC | Term Loan, 5.00%, Maturing June 7, 2023 | 1,555 | 1,574,578 | |
| MSO of Puerto Rico, Inc. | Term Loan, 9.75%, Maturing December 12, 2017 | 279 | 264,497 | |
| National Mentor Holdings, Inc. | Term Loan, 4.25%, Maturing January 31, 2021 | 463 | 464,283 | |
| New Millennium Holdco, Inc. | Term Loan, 7.50%, Maturing December 21, 2020 | 161 | 102,479 | |
| Onex Carestream Finance L.P. | Term Loan, 5.00%, Maturing June 7, 2019 | 1,596 | 1,488,134 | |
| Opal Acquisition, Inc. | Term Loan, 5.00%, Maturing November 27, 2020 | 1,471 | 1,362,341 | |
| Ortho-Clinical Diagnostics, Inc. | Term Loan, 4.75%, Maturing June 30, 2021 | 1,990 | 1,945,066 | |
| PRA Holdings, Inc. | Term Loan, 4.50%, Maturing September 23, 2020 | 1,739 | 1,750,479 | |
| Quality Care Properties, Inc. | Term Loan, Maturing September 12, 2022(4) | 1,700 | 1,702,125 | |
| RadNet, Inc. | Term Loan, 4.77%, Maturing July 1, 2023 | 950 | 953,760 | |
| Select Medical Corporation | Term Loan, 6.00%, Maturing June 1, 2018 | 691 | 693,584 | |
| Sterigenics-Nordion Holdings, LLC | Term Loan, 4.25%, Maturing May 15, 2022 | 421 | 420,750 | |
| Tecomet, Inc. | Term Loan, 5.75%, Maturing December 5, 2021 | 835 | 830,949 | |
| 45,092,602 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 工業機器-4.7% | ||||
| Apex Tool Group, LLC | Term Loan, 4.50%, Maturing January 31, 2020 | 2,671 | 2,638,023 | |
| Delachaux S.A. | Term Loan, 4.50%, Maturing October 28, 2021 | 326 | 317,032 | |
| Doosan Infracore International, Inc. | Term Loan, 4.50%, Maturing May 28, 2021 | 2,440 | 2,446,969 | |
| EWT Holdings III Corp. | Term Loan, 4.75%, Maturing January 15, 2021 | 1,183 | 1,185,737 | |
| EWT Holdings III Corp. | Term Loan, 5.50%, Maturing January 15, 2021 | 398 | 399,990 | |
| Filtration Group Corporation | Term Loan, 4.25%, Maturing November 21, 2020 | 362 | 363,114 | |
| Filtration Group Corporation | Term Loan, Maturing November 21, 2020(4) | 278 | 278,006 | |
| Gardner Denver, Inc. | Term Loan, 4.25%, Maturing July 30, 2020 | 3,352 | 3,261,452 | |
| Gates Global, Inc. | Term Loan, 4.25%, Maturing July 6, 2021 | 3,124 | 3,081,703 | |
| Husky Injection Molding Systems Ltd. | Term Loan, 4.25%, Maturing June 30, 2021 | 1,490 | 1,490,976 | |
| Milacron, LLC | Term Loan, 4.25%, Maturing September 28, 2020 | 1,700 | 1,709,727 | |
| Paladin Brands Holding, Inc. | Term Loan, 7.25%, Maturing August 16, 2019 | 466 | 419,025 | |
| Rexnord, LLC | Term Loan, 4.00%, Maturing August 21, 2020 | 4,162 | 4,173,115 | |
| Signode Industrial Group US, Inc. | Term Loan, 3.75%, Maturing May 1, 2021 | 746 | 745,217 | |
| STS Operating, Inc. | Term Loan, 4.75%, Maturing February 12, 2021 | 1,230 | 1,122,165 | |
| Tank Holding Corp. | Term Loan, 5.25%, Maturing March 16, 2022 | 1,469 | 1,436,334 | |
| Unifrax Corporation | Term Loan, 4.25%, Maturing November 28, 2018 | 1,051 | 1,045,071 | |
| 26,113,656 | ||||
| 保険-3.2% | ||||
| Alliant Holdings I, Inc. | Term Loan, 4.75%, Maturing August 12, 2022 | 1,259 | 1,261,554 | |
| Alliant Holdings I, Inc. | Term Loan, 5.25%, Maturing August 12, 2022 | 349 | 351,743 | |
| AmWINS Group, LLC | Term Loan, 4.75%, Maturing September 6, 2019 | 3,894 | 3,921,804 | |
| AssuredPartners, Inc. | Term Loan, 5.75%, Maturing October 21, 2022 | 645 | 650,016 | |
| Asurion, LLC | Term Loan, 5.00%, Maturing May 24, 2019 | 868 | 870,699 | |
| Asurion, LLC | Term Loan, 5.00%, Maturing August 4, 2022 | 3,051 | 3,069,849 | |
| Asurion, LLC | Term Loan - Second Lien, 8.50%, Maturing March 3, 2021 | 1,775 | 1,785,354 | |
| Cunningham Lindsey U.S., Inc. | Term Loan, 5.00%, Maturing December 10, 2019 | 883 | 747,969 | |
| Hub International Limited | Term Loan, 4.00%, Maturing October 2, 2020 | 2,476 | 2,476,728 | |
| USI, Inc. | Term Loan, 4.25%, Maturing December 27, 2019 | 2,508 | 2,512,117 | |
| 17,647,833 | ||||
| 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-3.5% | ||||
| AMC Entertainment, Inc. | Term Loan, 4.00%, Maturing December 15, 2022 | 1,485 | 1,496,403 | |
| AMC Entertainment, Inc. | Term Loan, Maturing December 15, 2023(4) | 350 | 349,125 | |
| Ancestry.com Operations, Inc. | Term Loan, 5.25%, Maturing October 19, 2023 | 1,400 | 1,405,075 | |
| Bombardier Recreational Products, Inc. | Term Loan, 3.75%, Maturing June 30, 2023 | 2,975 | 2,985,412 | |
| CDS U.S. Intermediate Holdings, Inc. | Term Loan, 5.00%, Maturing July 8, 2022 | 272 | 273,441 | |
| ClubCorp Club Operations, Inc. | Term Loan, 4.00%, Maturing December 15, 2022 | 1,325 | 1,332,453 | |
| Emerald Expositions Holding, Inc. | Term Loan, 4.75%, Maturing June 17, 2020 | 884 | 888,575 | |
| Live Nation Entertainment, Inc. | Term Loan, 3.34%, Maturing October 26, 2023 | 2,318 | 2,323,938 | |
| Match Group, Inc. | Term Loan, 5.50%, Maturing November 16, 2022 | 390 | 393,169 | |
| Nord Anglia Education Finance, LLC | Term Loan, 5.00%, Maturing March 31, 2021 | 1,896 | 1,907,638 | |
| Sabre, Inc. | Term Loan, 4.00%, Maturing February 19, 2019 | 455 | 457,662 | |
| SeaWorld Parks & Entertainment, Inc. | Term Loan, 3.09%, Maturing May 14, 2020 | 1,328 | 1,311,663 | |
| Sonifi Solutions, Inc. | Term Loan, 6.75%, Maturing March 28, 2018(3) | 642 | 256,817 | |
| SRAM, LLC | Term Loan, 4.01%, Maturing April 10, 2020 | 1,489 | 1,455,160 | |
| UFC Holdings, LLC | Term Loan, 5.00%, Maturing August 18, 2023 | 1,325 | 1,338,526 | |
| WMG Acquisition Corp. | Term Loan, 3.75%, Maturing July 1, 2020 | 1,130 | 1,129,257 | |
| 19,304,314 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 宿泊およびカジノ-2.9% | ||||
| Amaya Holdings B.V. | Term Loan, 5.00%, Maturing August 1, 2021 | 2,699 | 2,701,465 | |
| Boyd Gaming Corporation | Term Loan, 4.00%, Maturing August 14, 2020 | 419 | 422,370 | |
| Boyd Gaming Corporation | Term Loan, 3.53%, Maturing September 15, 2023 | 550 | 554,537 | |
| Caesars Entertainment Operating Company | Term Loan, 0.00%, Maturing March 1, 2017(5) | 1,068 | 1,184,348 | |
| ESH Hospitality, Inc. | Term Loan, 3.75%, Maturing August 30, 2023 | 850 | 856,375 | |
| Four Seasons Holdings, Inc. | Term Loan, 3.50%, Maturing June 27, 2020 | 530 | 532,655 | |
| Golden Nugget, Inc. | Term Loan, 4.50%, Maturing November 21, 2019 | 379 | 383,788 | |
| Golden Nugget, Inc. | Term Loan, 4.50%, Maturing November 21, 2019 | 884 | 895,506 | |
| Hilton Worldwide Finance, LLC | Term Loan, 3.50%, Maturing October 26, 2020 | 368 | 369,887 | |
| Hilton Worldwide Finance, LLC | Term Loan, 3.03%, Maturing October 25, 2023 | 3,760 | 3,784,946 | |
| MGM Growth Properties Operating Partnership L.P. | Term Loan, 4.00%, Maturing April 25, 2023 | 1,318 | 1,324,349 | |
| RHP Hotel Properties L.P. | Term Loan, 3.59%, Maturing January 15, 2021 | 513 | 517,277 | |
| Scientific Games International, Inc. | Term Loan, 6.00%, Maturing October 18, 2020 | 2,142 | 2,156,431 | |
| Tropicana Entertainment, Inc. | Term Loan, 4.00%, Maturing November 27, 2020 | 315 | 316,038 | |
| 15,999,972 | ||||
| 非鉄金属/鉱物-1.3% | ||||
| Alpha Natural Resources, LLC | Term Loan, 11.00%, Maturing July 25, 2019 | 325 | 342,387 | |
| Arch Coal, Inc. | Term Loan, 10.00%, Maturing June 15, 2021 | 587 | 599,286 | |
| Dynacast International, LLC | Term Loan, 4.50%, Maturing January 28, 2022 | 986 | 992,157 | |
| Fairmount Santrol, Inc. | Term Loan, 4.50%, Maturing September 5, 2019 | 1,504 | 1,433,494 | |
| Global Brass & Copper, Inc. | Term Loan, 5.25%, Maturing July 18, 2023 | 550 | 556,531 | |
| Murray Energy Corporation | Term Loan, 9.25%, Maturing April 16, 2017 | 172 | 172,517 | |
| Murray Energy Corporation | Term Loan, 8.25%, Maturing April 16, 2020 | 1,183 | 1,098,408 | |
| Novelis, Inc. | Term Loan, 4.00%, Maturing June 2, 2022 | 1,654 | 1,661,092 | |
| Oxbow Carbon, LLC | Term Loan, 4.25%, Maturing July 19, 2019 | 178 | 178,952 | |
| 7,034,824 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 石油およびガス-2.6% | ||||
| Ameriforge Group, Inc. | Term Loan, 5.00%, Maturing December 19, 2019 | 3,142 | 1,649,705 | |
| Bronco Midstream Funding, LLC | Term Loan, 5.00%, Maturing August 15, 2020 | 1,142 | 1,067,519 | |
| CITGO Holding, Inc. | Term Loan, 9.50%, Maturing May 12, 2018 | 527 | 531,961 | |
| CITGO Petroleum Corporation | Term Loan, 4.50%, Maturing July 29, 2021 | 784 | 780,080 | |
| Crestwood Holdings, LLC | Term Loan, 9.00%, Maturing June 19, 2019 | 338 | 317,825 | |
| Drillships Ocean Ventures, Inc. | Term Loan, 5.50%, Maturing July 25, 2021 | 205 | 145,280 | |
| Fieldwood Energy, LLC | Term Loan, 3.88%, Maturing October 1, 2018 | 807 | 744,399 | |
| Fieldwood Energy, LLC | Term Loan, 8.00%, Maturing August 31, 2020 | 325 | 285,188 | |
| Fieldwood Energy, LLC | Term Loan, 8.38%, Maturing September 30, 2020 | 430 | 346,849 | |
| Fieldwood Energy, LLC | Term Loan - Second Lien, 8.38%, Maturing September 30, 2020 | 595 | 357,280 | |
| MEG Energy Corp. | Term Loan, 3.75%, Maturing March 31, 2020 | 3,468 | 3,281,062 | |
| Paragon Offshore Finance Company | Term Loan, 5.25%, Maturing July 18, 2021 | 667 | 223,298 | |
| Samson Investment Company | Term Loan - Second Lien, 0.00%, Maturing September 25, 2018(5) | 2,275 | 551,688 | |
| Seadrill Partners Finco, LLC | Term Loan, 4.00%, Maturing February 21, 2021 | 2,189 | 1,242,426 | |
| Sheridan Investment Partners II L.P. | Term Loan, 4.33%, Maturing December 16, 2020 | 80 | 58,838 | |
| Sheridan Investment Partners II L.P. | Term Loan, 4.34%, Maturing December 16, 2020 | 30 | 21,944 | |
| Sheridan Investment Partners II L.P. | Term Loan, 4.34%, Maturing December 16, 2020 | 572 | 422,973 | |
| Sheridan Production Partners I, LLC | Term Loan, 4.25%, Maturing October 1, 2019 | 149 | 115,593 | |
| Sheridan Production Partners I, LLC | Term Loan, 4.25%, Maturing October 1, 2019 | 244 | 189,247 | |
| Sheridan Production Partners I, LLC | Term Loan, 4.25%, Maturing October 1, 2019 | 1,843 | 1,428,193 | |
| Southcross Holdings Borrower L.P. | Term Loan, 9.00%, (3.50% Cash, 5.50% PIK), Maturing April 13, 2023 | 44 | 37,008 | |
| Tervita Corporation | Term Loan, 7.50%, Maturing May 15, 2018 | 759 | 753,412 | |
| 14,551,768 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 出版-1.9% | ||||
| Ascend Learning, LLC | Term Loan, 5.50%, Maturing July 31, 2019 | 1,117 | 1,123,151 | |
| Getty Images, Inc. | Term Loan, 4.75%, Maturing October 18, 2019 | 3,408 | 2,891,280 | |
| Laureate Education, Inc. | Term Loan, 5.00%, Maturing June 15, 2018 | 2,256 | 2,245,738 | |
| LSC Communications, Inc. | Term Loan, 7.00%, Maturing September 26, 2022 | 800 | 796,000 | |
| Merrill Communications, LLC | Term Loan, 6.25%, Maturing June 1, 2022 | 370 | 351,536 | |
| Penton Media, Inc. | Term Loan, 6.25%, Maturing October 3, 2019 | 456 | 456,601 | |
| Press Ganey Holdings, Inc. | Term Loan, 4.25%, Maturing October 21, 2023 | 500 | 500,625 | |
| ProQuest, LLC | Term Loan, 5.75%, Maturing October 24, 2021 | 1,137 | 1,140,515 | |
| Springer Science+Business Media Deutschland GmbH | Term Loan, 4.75%, Maturing August 14, 2020 | 1,033 | 1,006,378 | |
| 10,511,824 | ||||
| ラジオおよびテレビ-2.4% | ||||
| ALM Media Holdings, Inc. | Term Loan, 5.50%, Maturing July 31, 2020 | 333 | 329,009 | |
| AP NMT Acquisition B.V. | Term Loan, 6.75%, Maturing August 13, 2021 | 343 | 311,058 | |
| CBS Radio, Inc. | Term Loan, 4.50%, Maturing October 17, 2023 | 875 | 880,879 | |
| Cumulus Media Holdings, Inc. | Term Loan, 4.25%, Maturing December 23, 2020 | 4,026 | 2,797,858 | |
| Entercom Radio, LLC | Term Loan, 4.02%, Maturing November 23, 2018 | 1,160 | 1,163,557 | |
| Entercom Radio, LLC | Term Loan, Maturing October 25, 2023(4) | 650 | 654,875 | |
| Gray Television, Inc. | Term Loan, 3.94%, Maturing June 13, 2021 | 200 | 201,745 | |
| Hubbard Radio, LLC | Term Loan, 4.25%, Maturing May 27, 2022 | 813 | 802,300 | |
| iHeartCommunications, Inc. | Term Loan, 8.03%, Maturing July 30, 2019 | 1,500 | 1,148,437 | |
| MGOC, Inc. | Term Loan, 4.00%, Maturing July 31, 2020 | 953 | 954,336 | |
| Mission Broadcasting, Inc. | Term Loan, 3.75%, Maturing October 1, 2020 | 364 | 365,420 | |
| Nexstar Broadcasting, Inc. | Term Loan, 3.75%, Maturing October 1, 2020 | 413 | 414,392 | |
| Raycom TV Broadcasting, LLC | Term Loan, 3.75%, Maturing August 4, 2021 | 1,980 | 1,976,086 | |
| Univision Communications, Inc. | Term Loan, 4.00%, Maturing March 1, 2020 | 1,410 | 1,413,851 | |
| 13,413,803 | ||||
| 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)-3.7% | ||||
| Bass Pro Group, LLC | Term Loan, 4.00%, Maturing June 5, 2020 | 1,406 | 1,408,128 | |
| CDW, LLC | Term Loan, 3.00%, Maturing August 4, 2023 | 941 | 945,198 | |
| Coinamatic Canada, Inc. | Term Loan, 4.25%, Maturing May 14, 2022 | 26 | 25,754 | |
| David's Bridal, Inc. | Term Loan, 5.00%, Maturing October 11, 2019 | 1,064 | 993,976 | |
| Dollar Tree, Inc. | Term Loan, 3.00%, Maturing July 6, 2022 | 436 | 440,458 | |
| Evergreen Acqco 1 L.P. | Term Loan, 5.00%, Maturing July 9, 2019 | 1,958 | 1,815,782 | |
| Harbor Freight Tools USA, Inc. | Term Loan, 4.14%, Maturing August 19, 2023 | 1,671 | 1,683,643 | |
| J. Crew Group, Inc. | Term Loan, 4.00%, Maturing March 5, 2021 | 1,062 | 819,080 | |
| Men's Wearhouse, Inc. (The) | Term Loan, 4.50%, Maturing June 18, 2021 | 766 | 757,519 | |
| Michaels Stores, Inc. | Term Loan, 3.75%, Maturing January 27, 2023 | 2,150 | 2,168,684 | |
| Neiman Marcus Group, Inc. (The) | Term Loan, 4.25%, Maturing October 25, 2020 | 1,417 | 1,306,021 | |
| Party City Holdings, Inc. | Term Loan, 4.20%, Maturing August 19, 2022 | 1,648 | 1,654,788 | |
| PetSmart, Inc. | Term Loan, 4.00%, Maturing March 11, 2022 | 3,029 | 3,038,340 | |
| PFS Holding Corporation | Term Loan, 4.50%, Maturing January 31, 2021 | 682 | 643,256 | |
| Pier 1 Imports (U.S.), Inc. | Term Loan, 4.50%, Maturing April 30, 2021 | 464 | 413,238 | |
| Rent-A-Center, Inc. | Term Loan, 3.84%, Maturing March 19, 2021 | 385 | 358,048 | |
| Toys‘R’Us Property Company I, LLC | Term Loan, 6.00%, Maturing August 21, 2019 | 1,464 | 1,401,220 | |
| Vivid Seats, Ltd. | Term Loan, 6.75%, Maturing October 7, 2022 | 600 | 593,250 | |
| Wilton Brands, LLC | Term Loan, 8.50%, Maturing August 30, 2018 | 422 | 367,595 | |
| 20,833,978 | ||||
| 鉄鋼-1.2% | ||||
| FMG Resources (August 2006) Pty. Ltd. | Term Loan, 3.75%, Maturing June 30, 2019 | 3,097 | 3,098,849 | |
| Neenah Foundry Company | Term Loan, 6.75%, Maturing April 26, 2017 | 1,368 | 1,361,221 | |
| Zekelman Industries, Inc. | Term Loan, 6.00%, Maturing June 14, 2021 | 2,017 | 2,039,850 | |
| 6,499,920 | ||||
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 陸上輸送-0.6% | ||||
| Hertz Corporation (The) | Term Loan, 3.50%, Maturing June 30, 2023 | 698 | 703,549 | |
| Kenan Advantage Group, Inc. | Term Loan, 1.50%, Maturing January 31, 2017(2) | 90 | 89,447 | |
| Kenan Advantage Group, Inc. | Term Loan, 4.00%, Maturing July 31, 2022 | 393 | 391,968 | |
| Kenan Advantage Group, Inc. | Term Loan, 4.00%, Maturing July 31, 2022 | 1,279 | 1,276,438 | |
| Stena International S.a.r.l. | Term Loan, 4.24%, Maturing March 3, 2021 | 1,365 | 1,170,488 | |
| 3,631,890 | ||||
| 通信-2.3% | ||||
| Consolidated Communications, Inc. | Term Loan, 4.00%, Maturing October 4, 2023 | 275 | 277,062 | |
| Intelsat Jackson Holdings S.A. | Term Loan, 3.75%, Maturing June 30, 2019 | 4,600 | 4,407,375 | |
| IPC Corp. | Term Loan, 5.50%, Maturing August 6, 2021 | 1,084 | 1,032,034 | |
| Mitel US Holdings, Inc. | Term Loan, 5.50%, Maturing April 29, 2022 | 426 | 429,533 | |
| Syniverse Holdings, Inc. | Term Loan, 4.00%, Maturing April 23, 2019 | 610 | 560,389 | |
| Syniverse Holdings, Inc. | Term Loan, 4.00%, Maturing April 23, 2019 | 2,416 | 2,220,655 | |
| Telesat Canada | Term Loan, 3.50%, Maturing March 28, 2019 | 2,303 | 2,308,483 | |
| Ziggo Financing Partnership | Term Loan, 3.50%, Maturing January 15, 2022 | 438 | 438,469 | |
| Ziggo Financing Partnership | Term Loan, 3.50%, Maturing January 15, 2022 | 740 | 739,864 | |
| Ziggo Financing Partnership | Term Loan, 3.70%, Maturing January 15, 2022 | 136 | 136,245 | |
| 12,550,109 | ||||
| 公益-2.1% | ||||
| Calpine Construction Finance Company L.P. | Term Loan, 3.09%, Maturing May 3, 2020 | 653 | 650,410 | |
| Calpine Construction Finance Company L.P. | Term Loan, 3.34%, Maturing January 31, 2022 | 752 | 748,477 | |
| Calpine Corporation | Term Loan, 3.59%, Maturing May 27, 2022 | 2,666 | 2,675,625 | |
| Dayton Power & Light Company (The) | Term Loan, 4.00%, Maturing August 24, 2022 | 375 | 378,750 | |
| Dynegy Holdings, Inc. | Term Loan, 4.00%, Maturing April 23, 2020 | 2,803 | 2,808,411 | |
| Energy Future Intermediate Holding Co., LLC | DIP Loan, 4.25%, Maturing June 30, 2017 | 1,375 | 1,383,880 | |
| 債務者 | 細目 | 額面(千米ドル) | 時価(米ドル) | |
| 公益-2.1%(続き) | ||||
| Invenergy Thermal Operating I, LLC | Term Loan, 6.50%, Maturing October 19, 2022 | 121 | 116,277 | |
| Lonestar Generation, LLC | Term Loan, 5.47%, Maturing February 22, 2021 | 910 | 796,378 | |
| Longview Power, LLC | Term Loan, 7.00%, Maturing April 13, 2021 | 1,160 | 1,015,273 | |
| TPF II Power, LLC | Term Loan, 5.00%, Maturing October 2, 2021 | 979 | 992,324 | |
| 11,565,805 | ||||
| シニア変動利付有価証券合計(認識された原価:529,814,654米ドル) | 517,474,607 | |||
普通株式-0.3%
| 銘柄名 | 数量 | 時価(米ドル) |
| 航空および軍需-0.1% | ||
| IAP Global Services, LLC(3)(6)(7) | 24 | 274,512 |
| 274,512 | ||
| 自動車-0.0%(8) | ||
| Dayco Products, LLC(3)(6)(7) | 9,586 | 268,408 |
| 268,408 | ||
| ビジネス機器およびサービス-0.0%(8) | ||
| Education Management Corp.(3)(6)(7) | 4,977,534 | 3,484 |
| RCS Capital Corp.(3)(6)(7) | 13,890 | 104,175 |
| 107,659 | ||
| ヘルスケア-0.0%(8) | ||
| New Millennium Holdco, Inc.(6)(7) | 19,009 | 42,770 |
| 42,770 | ||
| 石油およびガス-0.0%(8) | ||
| Southcross Holdings Group, LLC(3)(6)(7) | 48 | 0 |
| Southcross Holdings L.P., Class A(6)(7) | 48 | 17,880 |
| 17,880 | ||
| 出版-0.2% | ||
| MediaNews Group, Inc.(3)(6)(7) | 33,396 | 1,139,125 |
| 1,139,125 | ||
| 普通株式合計(認識された原価:1,174,733米ドル) | 1,850,354 |
転換優先株式-0.0%(8)
| 銘柄名 | 数量 | 時価(米ドル) |
| ビジネス機器およびサービス-0.0% | ||
| Education Management Corp., Series A-1, 7.50%(3)(6)(7) | 5,538 | 1,550 |
| 転換優先株式合計(認識された原価:390,853米ドル) | 1,550 |
短期投資証券-9.1%
| 細目 | 数量 | 時価(米ドル) |
| Eaton Vance Cash Reserves Fund, LLC, 0.68%(9) | 50,597,404 | 50,607,523 |
| 短期投資証券合計(認識された原価:50,599,020米ドル) | 50,607,523 | |
| 投資合計-102.5% | ||
| (認識された原価:581,979,260米ドル) | 569,934,034 | |
| 一時借入ローン契約控除-(0.0)%(8) | (208,929) | |
| 純投資-102.5% | ||
| (認識された原価:581,770,331米ドル) | 569,725,105 | |
| 負債控除後その他の資産-(2.5)% | (13,643,185) | |
| 純資産-100.0% | 556,081,920 |
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。
(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)一時借入の、または部分的に一時借入のローン契約です。
(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)当該シニアローンは、2016年10月31日以降に、受渡しされ利率が決定される予定です。
(5)現在、発行体は利息支払に関してデフォルトです。
(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)合計は、0.05%未満または(0.05)%未満です。
(9)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、2016年10月31日時点の7日間の年率換算利回りです。
略語:
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。※
※はアセットマネジメントOneにて追記
(2)資産・負債計算書
(米ドル表示)
| 資産 | 2016年10月31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:531,171,311米ドル) | 519,117,582 |
| 関連当事者に係る投資-評価額(認識された原価:50,599,020米ドル) | 50,607,523 |
| 現金 | 2,761,760 |
| 未収利息 | 1,743,949 |
| 関連当事者に係る投資における未収利息 | 23,558 |
| 売却済投資に係る未収金 | 1,268,375 |
| 売却済ファンド投資証券に係る未収金 | 2,711,983 |
| 前払費用 | 43,547 |
| 資産合計 | 578,278,277 |
| 負債 | |
| 購入済投資に係る未払金 | 20,794,682 |
| 未払分配金 | 876,727 |
| 関連当事者に係る未払金: | |
| 投資顧問会社報酬 | 237,331 |
| 未払費用 | 287,617 |
| 負債合計 | 22,196,357 |
| 純資産 | 556,081,920 |
| 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 | 56,809,654 |
| 追加の払込資本 | 518,840,558 |
| 累積実現損失純額 | (8,037,722) |
| 累積未分配投資収益純額 | 514,656 |
| 未実現損失純額 | (12,045,226) |
| 合計 | 556,081,920 |
クラスI3$シェアーズ
| 純資産 | 179,025,056 |
| 参加型投資証券発行済口数 | 18,218,649 |
| 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) | 9.83 |
(3)損益計算書
(米ドル表示)
| 投資収益 | 2016年10月31日終了年度 |
| 利息およびその他の収益 | 26,548,838 |
| 関連当事者に係る投資から割り当てられる収益/配当 | 154,456 |
| 雑収入 | 214,161 |
| 関連当事者に係る投資から割り当てられる費用 | (4,081) |
| 投資収益合計 | 26,913,374 |
| 費用 | |
| 投資顧問会社報酬 | 2,854,047 |
| 保管銀行報酬 | 201,524 |
| 名義書換および分配支払代理人報酬 | 191,665 |
| 法的および会計サービス | 173,407 |
| 印刷費用および送料 | 1,258 |
| 支払利息および手数料 | 150,564 |
| 雑費 | 17,731 |
| 費用合計 | 3,590,196 |
| 純投資収益 | 23,323,178 |
| 実現および未実現利益(損失) | |
| 実現純利益(損失)- | |
| 投資取引 | (5,027,755) |
| 関連当事者に係る投資から割り当てられる投資取引 | 949 |
| 実現純損失 | (5,026,806) |
| 未実現利益(損失)変動額- | |
| 投資 | 16,345,236 |
| 投資-関連当事者に係る投資 | 8,503 |
| 未実現利益(損失)純変動額 | 16,353,739 |
| 実現および未実現利益純額 | 11,326,933 |
| 営業による純資産の純増加額 | 34,650,111 |
(4)純資産変動計算書
(米ドル表示)
| 純資産の増加(減少) | 2016年10月31日終了年度 |
| 営業によるもの- | |
| 純投資収益 | 23,323,178 |
| 投資取引による実現純損失 | (5,026,806) |
| 投資による未実現利益(損失)純変動額 | 16,353,739 |
| 営業による純資産の純増加額 | 34,650,111 |
| 投資証券保有者への分配額合計 | (23,349,498) |
| 参加型投資証券取引による純資産の純減少額 | (63,219,667) |
| 純資産の純減少額 | (51,919,054) |
| 純資産額 | |
| 期首時点 | 608,000,974 |
| 期末時点 | 556,081,920 |
| 純資産に含まれる累積未分配投資収益純額 | |
| 期末時点 | 514,656 |
10年以上蓄積したファイナンスデータとAIを掛け合わせて、投資の意思決定を加速させるポジションです。
