floatingratesoi.htm

                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



  Investment Company Act file number 811-21654


                        Pioneer Floating Rate Trust
               (Exact name of registrant as specified in charter)


                       60 State Street, Boston, MA 02109
              (Address of principal executive offices) (ZIP code)


            Terrence J. Cullen, Pioneer Investment Management, Inc.,
                       60 State Street, Boston, MA 02109
                    (Name and address of agent for service)


Registrant's telephone number, including area code:  (617) 742-7825


Date of fiscal year end:  November 30

Date of reporting period:  February 28, 2017

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609.  The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.


<PAGE>
ITEM 1. Schedule of Investments.

File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12  12-14 of Regulation S-X [17 CFR 210.12-12  12-14]. The
schedules need not be audited.





   
Pioneer Floating
   
Rate Trust
     
     
     
     
     
     
     
   
NQ | February 28, 2017
     
     
   
Ticker Symbol: PHD


 
 
Schedule of Investments  |  2/28/17 (unaudited)


 
Principal
Amount
USD ($)
   
Value
         
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 129.6% of Net Assets*(a)
   
         
   
AUTOMOBILES & COMPONENTS - 5.7%
   
   
Auto Parts & Equipment - 4.7%
   
 
1,609,202
Allison Transmission, Inc., Term Loan B-3, 3.28%, 9/23/22
 
$1,628,220
 
2,358,000
BBB Industries US Holdings, Inc., First Lien Initial Term Loan, 6.0%, 11/3/21
 
2,373,445
 
1,103,568
Cooper-Standard Automotive, Inc., Additional Term B-1 Loan, 3.748%, 11/2/23
 
1,116,902
 
1,506,591
Electrical Components International, Inc., Term Loan, 5.75%, 5/28/21
 
1,519,774
 
1,672,055
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
 
1,659,306
 
905,545
Gates Global LLC, Initial Dollar Term Loan, 4.25%, 7/6/21
 
907,667
 
500,000
Innovative Xcessories & Services LLC, Term Loan, 5.75%, 11/29/22
 
505,625
 
1,629,271
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
 
1,634,669
 
1,338,538
TI Group Automotive Systems LLC, Initial US Term Loan, 3.531%, 6/30/22
 
1,349,413
 
2,033,162
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.063%, 4/23/20
 
2,036,974
       
$14,731,995
         
   
Automobile Manufacturers - 0.7%
   
 
363,636(b)
CH Hold Corp. (aka Caliber Collision), First Lien Initial Term Loan, 2/1/24
 
$368,182
 
351,939
Inteva Products LLC, Term B Loan, 9.75%, 9/8/21
 
353,918
 
850,000
Octavius Corp. (Winnebago Industries), Tranche B Term Loan, 5.5%, 11/8/23
 
862,750
 
466,667
Visteon Corp., Initial Term Loan, 3.929%, 4/9/21
 
471,042
       
$2,055,892
         
   
Tires & Rubber - 0.3%
   
 
1,000,000
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.78%, 4/30/19
 
$1,003,750
   
Total Automobiles & Components
 
$17,791,637
         
   
BANKS - 0.2%
   
   
Thrifts & Mortgage Finance - 0.2%
   
 
760,000
Ocwen Loan Servicing LLC, Restatement Effective Date Term Loan, 6.0%, 12/7/20
 
$767,283
       
   
Total Banks
 
$767,283
         
         
   
CAPITAL GOODS - 13.9%
   
   
Aerospace & Defense - 5.7%
   
 
1,823,822
Accudyne Industries Borrower SCA/Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
 
$1,742,433
 
2,275,000
ADS Tactical, Inc., Term Loan, 8.498%, 12/31/22
 
2,252,250
 
1,231,250
Allion Science and Technology Corp., First Lien Term Loan, 5.5%, 8/19/21
 
1,233,559
 
1,571,455
BE Aerospace, Inc., Term Loan, 3.75%, 12/16/21
 
1,582,503
 
1,343,006
DAE Aviation Holdings, Inc., Initial Term Loan, 5.25%, 7/7/22
 
1,353,918
 
1,365,189
Digitalglobe, Inc., Term Loan, 3.531%, 1/15/24
 
1,373,438
 
1,500,000
DynCorp International, Inc., Term Loan B2, 7.75%, 7/7/20
 
1,455,000
 
539,775
Engility Corp. (fka TASC, Inc.), Term B2 Loan, 4.75%, 8/14/23
 
545,510
 
245,640
IAP Worldwide Services, Inc., First Lien Term Loan, 8.0%, 7/18/19
 
233,358
 
498,747
Transdigm, Inc., Tranche F Term Loan, 3.781%, 6/9/23
 
502,300
 
1,843,000
Turbocombustor Technology, Inc., Initial Term Loan, 5.5%, 12/2/20
 
1,723,205
 
1,478,976
Vencore, Inc. (fka SI Organization, Inc.), First Lien Initial Term Loan, 5.75%, 11/23/19
 
1,500,930
 
1,787,706
WP CPP Holdings LLC, First Lien Term B-3 Loan, 4.539%, 12/28/19
 
1,766,848
 
334,900
WP CPP Holdings LLC, Second Lien Term B-1 Loan, 8.789%, 4/30/21
 
319,830
       
$17,585,082
         
   
Building Products - 2.4%
   
 
1,156,263
Armstrong World Industries, Inc., Term Loan B, 4.0%, 3/31/23
 
$1,156,745
 
1,713,598
Builders FirstSource, Inc., Term Loan B, 4.0%, 2/29/24
 
1,718,525
 
306,968
NCI Building Systems, Inc., Tranche B Term Loan, 4.25%, 6/24/19
 
307,544
 
1,315,939
Quikrete Holdings, Inc., First Lien Initial Loan, 4.022%, 11/15/23
 
1,334,307
 
1,684,350
Summit Materials LLC, Restatement Effective Date Term Loan, 4.0%, 7/18/22
 
1,703,826
 
1,439,281
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
 
1,438,381
       
$7,659,328
         
   
Construction Machinery & Heavy Trucks - 1.2%
   
 
396,942
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
 
$402,400
 
951,923
Manitowoc Co., Inc., Term Loan, 5.75%, 3/3/23
 
964,120
 
1,599,750
Navistar, Inc., Tranche B Term Loan, 5.0%, 8/7/20
 
1,614,148
 
Principal
Amount
USD ($)
   
Value
         
         
   
Construction Machinery & Heavy Trucks - (continued)
   
 
836,676
Terex Corp., US Term Loan, 3.539%, 1/31/24
 
$841,905
       
$3,822,573
   
Electrical Components & Equipment - 1.3%
   
 
1,961,122
Pelican Products, Inc., First Lien Term Loan, 5.25%, 4/10/20
 
$1,958,671
 
835,841
Southwire Company LLC, Initial Term Loan, 3.271%, 2/10/21
 
843,503
 
1,336,528
WireCo WorldGroup, Inc., First Lien Initial Term Loan B, 6.5%, 9/29/23
 
1,351,564
       
$4,153,738
         
   
Industrial Conglomerates - 1.4%
   
 
375,000
Culligan NewCo, Ltd., First Lien Tranche B-1 Term Loan, 5.0%, 12/13/23
 
$381,094
 
1,122,188
DTI Holdco, Inc., Initial Term Loan, 6.289%, 10/2/23
 
1,118,447
 
987,806
Filtration Group Corp., First Lien Term Loan, 4.304%, 11/23/20
 
997,993
 
927,161(b)
Milacron LLC, Term B Loan, 9/28/23
 
932,956
 
700,000
ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 5.056%, 11/20/23
 
709,844
       
$4,140,334
         
   
Industrial Machinery - 1.8%
   
 
189,050
Blount International, Inc., Initial Term Loan, 7.25%, 4/12/23
 
$191,177
 
500,000
Columbus McKinnon Corp., Initial Term Loan, 4.0%, 1/31/24
 
503,750
 
1,366,058
Gardner Denver, Inc., Initial Dollar Term Loan, 4.558%, 7/30/20
 
1,361,362
 
1,960,000
Mueller Water Products, Inc., Term Loan B, 3.279%, 11/25/21
 
1,980,417
 
1,727,930
NN, Inc., Tranche B Term Loan, 5.031%, 10/19/22
 
1,746,290
       
$5,782,996
         
   
Trading Companies & Distributors - 0.1%
   
 
528,035
WESCO Distribution, Inc., Tranche B-1 Loan, 3.778%, 12/12/19
 
$529,850
   
Total Capital Goods
 
$43,673,901
         
         
   
COMMERCIAL & PROFESSIONAL SERVICES - 5.7%
   
   
Diversified Support Services - 1.1%
   
 
766,632
DH Publishing LP, Term B-4 Loan, 3.527%, 8/22/22
 
$771,873
 
1,053,947
InfoGroup, Inc., Term Loan B, 7.0%, 5/28/18
 
1,049,556
 
693,029
KAR Auction Services, Inc., Tranche B-2 Term Loan, 4.188%, 3/11/21
 
698,660
 
897,305
Ryan LLC, Tranche B Term Loan, 6.75%, 8/7/20
 
892,819
       
$3,412,908
         
   
Environmental & Facilities Services - 2.9%
   
 
894,503
Advanced Disposal Services, Inc. (fka ADS Waste Holdings, Inc.), Additional Term Loan, 3.5%, 11/10/23
 
$904,986
 
469,349
Granite Acquisition, Inc., First Lien Term B Loan, 5.0%, 12/17/21
 
474,384
 
21,073
Granite Acquisition, Inc., First Lien Term C Loan, 5.0%, 12/17/21
 
21,299
 
1,500,000
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
 
1,459,062
 
550,000(b)
Infiltrator Water Technologies, LLC, Term B-1 Loan, 5/27/22
 
552,750
 
1,471,313
Safway Group Holding LLC, Initial Term Loan, 5.75%, 8/21/23
 
1,492,768
 
852,529
US Ecology, Inc., Term Loan, 3.781%, 6/17/21
 
858,657
 
1,081,074
Waste Industries USA, Inc., Term B Loan, 3.531%, 2/27/20
 
1,087,696
 
605,280
Wastequip LLC, Term Loan, 5.5%, 8/9/19
 
607,172
 
1,737,447
WCA Waste Systems, Inc., Initial Term Loan, 3.522%, 8/11/23
 
1,749,663
       
$9,208,437
         
   
Human Resource & Employment Services - 0.2%
   
 
562,485
On Assignment, Inc., Tranche B-2 Term Loan, 3.031%, 6/3/22
 
$566,703
         
   
Office Services & Supplies - 0.2%
   
 
646,754
West Corp., Refinanced Term B-12 Loan, 3.281%, 6/17/23
 
$650,089
         
   
Security & Alarm Services - 1.3%
   
 
101,114
Allied Universal Holdco LLC (fka USAGM Holdco LLC), Amendment Delayed Draw Term Loan, 5.5%, 7/28/22
 
$101,999
 
832,351
Allied Universal Holdco LLC (fka USAGM Holdco LLC), Incremental Term Loan, 5.5%, 7/28/22
 
838,594
 
176,058
Garda Security, Term B Delayed Draw Loan, 4.0%, 11/6/20
 
177,086
 
1,391,873
Garda Security, Term B Loan, 4.0%, 11/6/20
 
1,399,995
 
1,610,414
Prime Security Services Borrower LLC, First Lien 2016-2 Refinancing Term B-1 Loan, 4.25%, 5/2/22
 
1,627,273
       
$4,144,947
   
Total Commercial & Professional Services
 
$17,983,084
         
   
CONSUMER DURABLES & APPAREL - 2.7%
   
   
Homefurnishing Retail - 0.7%
   
 
1,883,493
Serta Simmons Bedding LLC, First Lien Initial Term Loan,
4.538%, 11/8/23
 
$1,894,943
 
350,000
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 9.038%, 11/8/24
 
354,812
       
$2,249,755
         
 
Principal
Amount
USD ($)
   
Value
         
         
   
Housewares & Specialties - 1.4%
   
 
790,000(b)
Prestige Brands, Inc., Term B-4 Loan, 1/26/24
 
$800,862
 
2,045,821
Reynolds Group Holdings Inc., Incremental US Term Loan,
3.781%, 2/5/23
 
2,059,637
 
1,486,545
World Kitchen LLC, US Term Loan, 5.5%, 3/4/19
 
1,487,014
       
$4,347,513
         
   
Leisure Products - 0.6%
   
 
1,000,000
Bass Pro Group LLC, Initial Term Loan, 5.97%, 12/15/23
 
$963,047
 
327,383
Bombardier Recreational Products, Inc., Term B Loan, 4.04%, 6/30/23
 
329,668
 
397,719
Marine Acquisition Corp., Term Loan, 4.75%, 1/30/21
 
398,879
       
$1,691,594
   
Total Consumer Durables & Apparel
 
$8,288,862
         
   
CONSUMER SERVICES - 9.7%
   
   
Casinos & Gaming - 1.5%
   
 
840,007
CityCenter Holdings LLC, Term B Loan, 3.75%, 10/16/20
 
$850,822
 
788,744
Eldorado Resorts, Inc., Initial Term Loan, 4.25%, 7/25/22
 
797,372
 
2,514,689
Scientific Games International, Inc., Initial Term B-3 Loan, 4.845%, 10/1/21
 
2,553,667
 
500,000
Station Casinos LLC, Term B Facility Loan, 3.28%, 6/8/23
 
503,904
       
$4,705,765
   
Education Services - 3.7%
   
 
3,396,416
Bright Horizons Family Solutions LLC, Incremental Effective Date Term Loan, 3.523%, 11/7/23
 
$3,439,720
 
1,831,810
Cengage Learning Acquisitions, Inc., 2016 Refinancing Term Loan, 5.25%, 6/7/23
 
1,734,923
 
1,728,169
KC MergerSub, Inc., Term B-1 Loan, 5.25%, 8/12/22
 
1,744,371
 
1,457,977
Laureate Education, Inc., Series 2021 Extended Term Loan, 8.509%, 3/17/21
 
1,473,695
 
500,000(b)
Learning Care Group, Inc., Term Loan, 5/5/21
 
505,625
 
2,499,370
Nord Anglia Education Finance LLC, Initial Term Loan, 4.554%, 3/31/21
 
2,532,174
       
$11,430,508
   
Hotels, Resorts & Cruise Lines - 0.5%
   
 
37,067
Hilton Worldwide Finance LLC, Series B-1 Term Loan, 3.5%, 10/26/20
 
$      37,397
 
503,966
Hilton Worldwide Finance LLC, Series B-2 Term Loan, 3.278%, 10/25/23
 
509,041
 
948,503
Sabre, Inc., 2017 Incremental Term Loan, 3.529%, 2/22/24
 
957,158
       
$1,503,596
   
Leisure Facilities - 1.6%
   
 
842,076
Cedar Fair LP, US Term Facility, 3.281%, 3/6/20
 
$849,308
 
2,163,627
Fitness International LLC, Term B Loan, 6.0%, 7/1/20
 
2,184,452
 
860,188
Life Time Fitness, Inc., 2017 Refinancing Term Loan, 4.0%, 6/10/22
 
865,871
 
1,286,450
Six Flags Theme Parks, Inc., Tranche B Term Loan, 3.25%, 6/30/22
 
1,300,521
       
$5,200,152
   
Restaurants - 1.9%
   
 
747,512
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan, 3.25%, 2/16/24
 
$749,101
 
1,339,417
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.029%, 10/4/23
 
1,356,159
 
1,738,313
NPC International, Inc., Term Loan, 4.75%, 12/28/18
 
1,745,918
 
1,955,000
Red Lobster Management LLC, First Lien Initial Term Loan, 6.25%, 7/28/21
 
1,984,325
       
$5,835,503
   
Specialized Consumer Services - 0.5%
   
 
1,300,000(b)
Creative Artists Agency LLC, Term Loan B, 2/10/24
 
$1,313,542
 
378,890
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4.193%, 4/2/20
 
335,013
       
$1,648,555
   
Total Consumer Services
 
$30,324,079
         
   
DIVERSIFIED FINANCIALS - 3.5%
   
   
Asset Management & Custody Banks - 0.5%
   
 
1,491,211
Vistra Group, Ltd., USD Term Loan, 4.75%, 10/26/22
 
$1,487,483
         
   
Consumer Finance - 0.4%
   
 
1,361,516
Trans Union LLC, Term B-2 Loan, 3.281%, 4/9/23
 
$1,371,387
         
   
Diversified Capital Markets - 0.2%
   
 
500,000(b)
Freedom Mortgage Corp., Initial Term Loan, 2/23/22
 
$507,344
         
   
Investment Banking & Brokerage - 0.6%
   
 
1,179,746
Duff & Phelps Corp., Initial Term Loan, 4.75%, 4/23/20
 
$1,190,511
 
635,298
Guggenheim Partners Investment Management Holdings LLC, Term B Loan, 3.529%, 7/21/23
 
641,122
 
Principal
Amount
USD ($)
   
Value
         
   
Investment Banking & Brokerage - (continued)
   
 
103,459
LPL Holdings, Inc., 2021 Tranche B Term Loan, 4.281%, 3/29/21
 
$104,817
       
$1,936,450
         
   
Other Diversified Financial Services - 1.4%
   
 
1,107,955
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.78%, 7/16/18
 
$1,114,534
 
324,373
Delos Finance S.a.r.l., Term Loan, 3.248%, 10/6/23
 
327,617
 
755,737
Fly Funding II S.a.r.l., Term Loan, 3.79%, 2/9/22
 
762,034
 
1,978,250
Livingston International, Inc., First Lien Initial Term B-1 Loan, 5.5%, 4/18/19
 
1,964,649
       
$4,168,834
         
   
Specialized Finance - 0.4%
   
 
1,229,949
DBRS, Ltd., Initial Term Loan, 6.304%, 3/4/22
 
$1,183,826
   
Total Diversified Financials
 
$10,655,324
         
   
ENERGY - 3.6%
   
   
Oil & Gas Drilling - 1.0%
   
 
500,000(b)
Gavilan Resources LLC, Second Lien Term Loan, 2/24/24
 
$501,250
 
2,600,000
Jonah Energy LLC, Second Lien Initial Term Loan, 7.5%, 5/12/21
 
2,541,500
       
$3,042,750
         
   
Oil & Gas Equipment & Services - 0.3%
   
 
1,638,809
FR Dixie Acquisition Corp., Term Loan, 5.804%, 12/18/20
 
$1,147,166
   
Oil & Gas Exploration & Production - 0.8%
   
 
1,000,000
California Resources Corp., Term Loan, 11.375%, 12/31/21
 
$1,129,583
 
1,000,000
Chesapeake Energy Corp., Term Loan Class A, 8.553%, 8/23/21
 
1,086,563
 
250,000
MEG Energy Corp., Initial Term Loan, 4.54%, 12/31/23
 
251,741
       
$2,467,887
         
   
Oil & Gas Refining & Marketing - 0.5%
   
 
896,252
Pilot Travel Centers LLC, Initial Tranche B Term Loan, 2.772%, 5/25/23
 
$900,733
 
564,345
Western Refining, Inc., Term Loan 2013, 5.25%, 11/12/20
 
567,520
       
$1,468,253
         
   
Oil & Gas Storage & Transportation - 1.0%
   
 
1,000,000
Energy Transfer Equity LP, Term Loan, 3.529%, 2/2/24
 
$1,004,643
 
2,138,241
Gulf Finance LLC, Tranche B Term Loan, 6.25%, 8/25/23
 
2,178,333
       
$3,182,976
   
Total Energy
 
$11,309,032
         
   
FOOD & STAPLES RETAILING - 1.9%
   
   
Food Distributors - 1.3%
   
 
894,505
CTI Foods Holding Co., LLC, First Lien Term Loan, 4.5%, 6/29/20
 
$879,970
 
1,000,000
CTI Foods Holding Co., LLC, Second Lien Term Loan, 8.25%, 6/28/21
 
910,000
 
2,412,615
Mill US Acquisition, First Lien Term Loan, 5.0%, 7/3/20
 
2,257,805
       
$4,047,775
         
   
Food Retail - 0.6%
   
 
1,389,375
Albertson's LLC, 2016-1 Term B-6 Loan, 4.302%, 6/22/23
 
$1,411,523
 
490,022
Packers Holdings LLC, Term Loan, 4.75%, 12/2/21
 
498,597
       
$1,910,120
   
Total Food & Staples Retailing
 
$5,957,895
         
   
FOOD, BEVERAGE & TOBACCO - 3.9%
   
   
Packaged Foods & Meats - 3.9%
   
 
246,941
AdvancePierre Foods, Inc., Term Loan, 4.0%, 6/2/23
 
$250,594
 
1,645,875
Amplify Snack Brands, Inc., Term Loan, 6.5%, 9/2/23
 
1,620,500
 
1,000,000
Del Monte Foods, Inc., Second Lien Initial Term Loan, 8.31%, 8/18/21
 
722,500
 
1,236,551
Dole Food Co., Inc., Tranche B Term Loan, 4.549%, 11/1/18
 
1,244,434
 
1,496,250
Give and Go Prepared Foods Corp., First Lien Term Loan, 6.5%, 7/29/23
 
1,513,083
 
1,701,375
Hearthside Group Holdings LLC, 2017 Replacement Term Loan, 4.0%, 6/2/21
 
1,718,389
 
990,000(b)
JBS USA Lux SA (fka JBS USA, LLC), Initial Term Loan, 10/30/22
 
994,434
 
408,900
Maple Holdings Acquisition Corp. (aka Keuring Green Mountain, Inc.), Term Loan B, 5.27%, 3/3/23
 
415,245
 
1,945,801(b)
Pinnacle Foods Finance LLC, Initial Term Loan, 2/2/24
 
1,957,201
 
1,466,250
Shearer's Foods LLC, First Lien Term Loan, 4.938%, 6/30/21
 
1,468,083
   
Total Food, Beverage & Tobacco
 
$11,904,463
         
   
HEALTH CARE EQUIPMENT & SERVICES - 15.2%
   
   
Health Care Equipment - 0.4%
   
 
1,250,000
Cidron Healthcare, Ltd. (aka ConvaTec, Inc.), Term B Loan, 3.281%, 10/25/23
 
$1,259,896
   
Health Care Facilities - 4.1%
   
 
420,750
Acadia Healthcare Co., Inc., Tranche B-2 Term Loan, 3.781%, 2/16/23
 
$425,010
 
796,000
ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 5.505%, 5/10/23
 
803,794
 
256,142
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 4.18%, 12/31/18
 
255,751
 
Principal
Amount
USD ($)
   
Value
         
   
Health Care Facilities - (continued)
   
 
269,611
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
 
$267,841
 
496,080
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
 
488,484
 
1,556,280
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
 
1,555,169
 
1,978,061
Kindred Healthcare, Inc., Incremental Term Loan, 4.313%, 4/9/21
 
1,967,330
 
1,990,000
Prospect Medical Holdings, Inc., Term Loan, 7.125%, 6/30/22
 
1,990,000
 
1,052,833
Quorum Health Corp., Term Loan, 6.789%, 4/29/22
 
1,049,074
 
418,152
Select Medical Corp., Series E, Tranche B Term Loan, 6.025%, 6/1/18
 
419,198
 
992,500
Select Medical Corp., Series F, Tranche B Term Loan, 6.011%, 3/3/21
 
1,000,564
 
1,410,652(b)
Select Medical Corp., Term Loan B, 2/13/24
 
1,417,265
 
1,319,779
Vizient, Inc., Term B-2 Loan, 5.0%, 2/13/23
 
1,339,851
       
$12,979,331
         
   
Health Care Services - 6.8%
   
 
975,000
Aegis Toxicology Sciences Corp., First Lien Initial Term Loan, 5.5%, 2/24/21
 
$960,984
 
1,104,342
Alliance Healthcare Services, Inc., Initial Term Loan, 4.267%, 6/3/19
 
1,098,820
 
264,280
Ardent Legacy Acquisitions, Inc. (Ardent Mergeco LLC), Term Loan, 6.5%, 8/4/21
 
264,940
 
595,347(c)
Bioscrip, Inc., Initial Term B Loan, 9.25% (2.75% PIK 6.5% cash), 7/31/20
 
577,784
 
357,208(c)
Bioscrip, Inc., Term Loan, 9.25% (2.75% PIK 6.5% cash), 7/31/20
 
346,671
 
865,683
BSN Medical Luxembourg Holding S.a.r.l. (P & F Capital), Facility Term Loan B-1B, 4.0%, 8/28/19
 
867,847
 
1,407,790(c)
CCS Medical, Inc., Second Lien Term Loan, 12.75% (12.75% PIK 0% cash), 5/1/18
 
21,117
 
866,759
DaVita HealthCare Partners, Inc., Term Loan B2, 3.531%, 6/24/21
 
879,306
 
1,626,217
Envision Healthcare Corp. (fka Emergency Medical Services Corp.), Initial Term Loan, 4.0%, 12/1/23
 
1,642,188
 
897,750
ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan, 4.25%, 7/27/23
 
907,850
 
1,462,500
Genex Holdings, Inc., First Lien Term B Loan, 5.25%, 5/28/21
 
1,469,813
 
1,296,750
Genoa Healthcare Co., LLC, First Lien Initial Term Loan, 4.75%, 10/30/23
 
1,307,934
 
100,000
Genoa Healthcare Co., LLC, Second Lien Initial Term Loan, 9.0%, 10/28/24
 
101,000
 
740,662
Global Healthcare Exchange LLC, Initial Term Loan, 5.25%, 8/15/22
 
751,772
 
1,483,734
HC Group Holdings III, Inc., First Lien Initial Term Loan, 6.0%, 4/7/22
 
1,446,641
 
900,000
Inventiv Group Holdings, Inc., Initial Term Loan, 4.804%, 11/9/23
 
906,188
 
500,000(b)
MPH Acquisition Holdings LLC, Initial Term Loan, 6/7/23
 
508,125
 
1,237,506
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
 
1,241,219
 
350,222
National Surgical Hospitals, Inc., Term Loan, 4.5%, 6/1/22
 
351,307
 
1,318,875
nThrive, Inc. (fka Precyse Acquisition Corp.), First Lien Initial Term Loan, 6.5%, 10/20/22
 
1,336,460
 
933,010
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
 
938,841
 
1,113,268
Pharmaceutical Product Development, First Lien Term B Loan, 4.25%, 8/18/22
 
1,121,153
 
500,000
Team Health Holdings, Inc., Initial Term Loan, 3.75%, 2/6/24
 
499,141
 
1,778,916
US Renal Care, Inc., First Lien Initial Term Loan, 5.25%, 12/30/22
 
1,644,607
       
$21,191,708
         
   
Health Care Supplies - 1.8%
   
 
1,138,400
Alere, Inc., Term Loan B, 4.25%, 6/20/22
 
$1,140,713
 
1,336,500
Greatbatch, Ltd., Term B Loan, 5.25%, 10/27/22
 
1,346,357
 
559,300
Halyard Health, Inc., Term Loan, 3.531%, 11/1/21
 
565,592
 
675,000(b)
Kinetic Concepts, Inc., Term Loan B, 1/25/24
 
674,457
 
1,821,987
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4.25%, 5/16/22
 
1,825,382
       
$5,552,501
         
   
Health Care Technology - 1.9%
   
 
2,024,367
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Term B-2 Loan, 3.75%, 11/2/18
 
$2,027,846
 
195,500
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Term B-3 Loan, 3.75%, 11/2/18
 
195,775
 
1,586,158(b)
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.) Term Loan B, 2/3/24
 
1,592,106
 
1,125,775(d)
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
 
731,754
 
738,750
MJ Acquisition Corp., Term Loan, 4.0%, 6/1/22
 
743,669
 
650,000
Press Ganey Holdings, Inc., Initial Term Loan, 4.25%, 10/23/23
 
652,438
       
$5,943,588
 
Principal
Amount
USD ($)
   
Value
   
Managed Health Care - 0.2%
   
 
355,653(e)
MMM Holdings, Inc., MMM Term Loan, 10.25%, 6/30/19
 
$350,318
 
258,558(e)
MSO of Puerto Rico, Inc., Term Loan, 10.25%, 6/30/19
 
254,679
       
$604,997
   
Total Health Care Equipment & Services
 
$47,532,021
   
HOUSEHOLD & PERSONAL PRODUCTS - 1.4%
   
   
Household Products - 0.7%
   
 
1,102,500
Redbox Automated Retail LLC, First Lien Term B Loan, 8.5%, 9/27/21
 
$1,101,122
 
667,496
Spectrum Brands Canada, Inc., 2016 Replacement USD Term Loan, 3.399%, 6/23/22
 
676,561
 
73,397
Wash Multifamily Parent, Inc., First Lien Initial Canadian Term Loan, 4.25%, 5/16/22
 
73,856
 
419,102
Wash Multifamily Parent, Inc., First Lien Initial US Term Loan, 4.25%, 5/16/22
 
421,721
       
$2,273,260
   
Personal Products - 0.7%
   
 
1,237,420
Nature's Bounty Co., (aka NBTY, Inc.), Dollar Term B-1 Loan, 4.5%, 5/5/23
 
$1,240,513
 
798,000
Revlon Consumer Products Corp., Initial Term Loan B, 4.281%, 9/7/23
 
804,028
       
$2,044,541
   
Total Household & Personal Products
 
$4,317,801
         
   
INSURANCE - 2.7%
   
   
Insurance Brokers - 0.3%
   
 
980,011
NFP Corp., Term B Loan, 4.5%, 1/8/24
 
$991,240
   
Life & Health Insurance - 0.5%
   
 
1,633,970
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
 
$1,638,055
         
   
Multi-Line Insurance - 0.2%
   
 
659,164
Alliant Holdings I LLC, Term Loan B, 4.503%, 8/12/22
 
$666,322
         
   
Property & Casualty Insurance - 1.7%
   
 
850,000
Acrisure LLC, First Lien Term B Loan, 5.75%, 11/22/23
 
$862,219
 
500,000
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
 
498,333
 
2,403,380
Confie Seguros Holding II Co., Term B Loan, 5.75%, 4/19/22
 
2,423,660
 
1,414,903
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
 
1,420,209
       
$5,204,421
   
Total Insurance
 
$8,500,038
         
   
MATERIALS - 14.5%
   
   
Commodity Chemicals - 0.3%
   
 
1,043,273
Tronox Pigments (Netherlands) BV, Closing Date Term Loan, 4.5%, 3/19/20
 
$1,050,337
         
   
Construction Materials - 1.7%
   
 
1,010,000
84 Lumber Co., Initial Term Loan, 6.75%, 10/25/23
 
$1,018,838
 
452,830(b)
American Bath Group LLC, First Lien Initial Incremental Term Loan, 9/30/23
 
458,491
 
748,125
American Bath Group LLC, First Lien Replacement Term Loan, 6.25%, 9/30/23
 
755,606
 
500,000
American Builders & Contractors Supply Co., Inc., Restatement Effective Date Term Loan, 3.531%, 10/31/23
 
504,444
 
238,699
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.304%, 8/30/20
 
239,594
 
781,983
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.304%, 8/30/20
 
784,915
 
91,248
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.304%, 8/30/20
 
91,590
 
586,808
Headwaters, Inc., Term B-1 Loan, 4.0%, 3/24/22
 
589,815
 
586,500
Penn Engineering & Manufacturing Corp., Incremental Tranche B Term Loan, 4.0%, 8/27/21
 
589,432
       
$5,032,725
         
   
Diversified Chemicals - 2.8%
   
 
298,671
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA),
Tranche B-2 Term Loan, 5.287%, 9/13/23
 
$302,218
 
225,016
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA),
Tranche B-3 Term Loan, 5.287%, 9/13/23
 
227,688
 
1,269,420
Axalta Coating Systems Dutch Holding B BV & Axalta Coating Systems US Holdings, Inc., Term B-1 Dollar Loan, 3.498%, 2/1/23
 
1,286,184
 
1,223,914
Azelis Finance SA (Azelis US Holdings, Inc.), First Lien Dollar Term Loan, 5.25%, 12/16/22
 
1,237,173
 
1,691,500
Nexeo Solutions LLC, Term Loan B, 5.263%, 6/9/23
 
1,707,887
 
570,862
Orion Engineered Carbons GmbH (OEC Finance US LLC), Initial Dollar Term Loan, 3.998%, 7/25/21
 
574,311
 
618,753
Plaskolite LLC, First Lien Term Loan, 5.75%, 11/3/22
 
626,487
 
179,310
Royal Holdings, Inc., Second Lien Initial Term Loan, 8.5%, 6/19/23
 
179,983
 
835,698
Tata Chemicals North America, Term Loan, 3.75%, 8/7/20
 
837,787
 
Principal
Amount
USD ($)
   
Value
         
   
Diversified Chemicals - (continued)
   
 
1,812,063
Univar USA Inc., Term B-2 Loan, 3.608%, 7/1/22
 
$1,815,743
       
$8,795,461
         
   
Diversified Metals & Mining - 1.5%
   
 
1,007,490
FMG Resources (August 2006) Pty, Ltd. (FMG America Finance, Inc.), Term Loan, 3.75%, 6/30/19
 
$1,014,230
 
1,745,625
Global Brass and Copper, Inc., Initial Term Loan, 5.25%, 7/18/23
 
1,772,857
 
972,500
Hi-Crush Partners LP, Advance, 4.75%, 4/28/21
 
955,076
 
992,985
US Silica Co., Term Loan, 4.0%, 7/23/20
 
992,985
       
$4,735,148
         
   
Fertilizers & Agricultural Chemicals - 0.6%
   
 
1,723,750
Methanol Holdings (Trinidad), Ltd. (Methanol Holdings (Delaware) LLC), Initial Term Loan, 4.281%, 6/30/22
 
$1,698,928
         
   
Forest Products - 0.3%
   
 
1,022,438
Expera Specialty Solutions LLC, Term Loan B, 5.75%, 11/3/23
 
$1,031,384
         
   
Metal & Glass Containers - 2.0%
   
 
1,156,991
Berry Plastics Corp., Term I Loan, 3.281%, 10/1/22
 
$1,166,572
 
1,165,798
BWay Intermediate Co., Inc., Initial Term Loan, 4.75%, 8/14/23
 
1,169,545
 
166,653
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 4.25%, 4/28/20
 
168,528
 
389,968
Kleopatra Holdings 2 SCA, Initial US Dollar Term Loan, 4.25%, 4/28/20
 
394,355
 
1,400,320
Tank Holding Corp., Initial Term Loan, 5.25%, 3/16/22
 
1,401,637
 
1,920,750
Tekni-Plex, Inc., USD Term Loan, 4.539%, 6/1/22
 
1,926,032
       
$6,226,669
         
   
Paper Packaging - 0.9%
   
 
1,278,249
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
 
$1,296,624
 
399,845
Caraustar Industries, Inc., Term Loan, 8.0%, 5/1/19
 
405,593
 
1,168,563
Onex Wizard Acquisition Co. I S.a.r.l. (aka SIG Combibloc Group), Term Loan, 4.0%, 3/11/22
 
1,178,462
       
$2,880,679
         
   
Paper Products - 1.0%
   
 
1,653,881
Appvion, Inc., Term Commitment, 7.75%, 6/28/19
 
$1,609,777
 
946,457
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
 
954,738
 
500,000
Ranpak Corp., Second Lien Initial Term Loan, 8.25%, 10/3/22
 
482,500
 
196,950
Ranpak Corp., Tranche B-1 USD Term Loan, 4.25%, 10/1/21
 
196,950
       
$3,243,965
         
   
Specialty Chemicals - 1.9%
   
 
1,465,677(b)
Ferro Corp., US Dollar Term Loan, 2/14/24
 
$1,478,961
 
59,310
Huntsman International LLC, 2015 Extended Term B Dollar Loan, 3.603%, 4/19/19
 
59,631
 
1,405,263
MacDermid, Inc., Tranche B-4 Term Loan, 5.0%, 6/7/23
 
1,423,620
 
1,592,000
Omnova Solutions, Inc., Term B-2 Loan, 5.25%, 8/25/23
 
1,605,930
 
1,358,761
PQ Corp., First Amendment Tranche B-1 Term Loan, 5.289%, 11/4/22
 
1,377,687
       
$5,945,829
         
   
Steel - 1.5%
   
 
1,980,234
Atkore International, Inc., First Lien Initial Incremental Term Loan, 4.0%, 12/22/23
 
$2,002,099
 
647,124
TMS International Corp., Term B Loan, 4.557%, 10/16/20
 
650,360
 
1,968,625
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), Term Loan, 4.75%, 6/14/21
 
1,990,158
       
$4,642,617
   
Total Materials
 
$45,283,742
         
         
   
MEDIA - 12.3%
   
   
Advertising - 2.2%
   
 
3,523,984
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
 
$3,520,052
 
1,197,000
CB Poly Investments LLC, First Lien Closing Date Term Loan, 6.25%, 8/16/23
 
1,214,955
 
611,200
Checkout Holding Corp., First Lien Term B Loan, 4.5%, 4/9/21
 
554,664
 
1,968,000
Crossmark Holdings, Inc., First Lien Term Loan, 4.5%, 12/20/19
 
1,600,639
       
$6,890,310
         
   
Broadcasting - 4.1%
   
 
766,021
A-L Parent LLC (aka Learfield Communications), First Lien Initial Term Loan, 4.25%, 12/1/23
 
$776,075
 
1,122,642
Beasley Mezzanine Holdings LLC, Initial Term Loan, 7.0%, 11/1/23
 
1,122,642
 
342,128
CBS Outdoor Americas Capital LLC (CBS Outdoor Americas Capital Corp.), Term Loan, 3.031%, 2/1/21
 
343,767
 
377,943
Entercom Radio LLC, Term B Loan, 4.5%, 11/1/23
 
380,825
 
532,752(b)
Gray Television, Inc., Term B-2 Loan, 2/7/24
 
537,813
 
752,847
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
 
753,161
 
1,852,800
MCC Iowa LLC, Tranche H Term Loan, 3.25%, 1/29/21
 
1,867,843
 
2,639,250
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
 
2,396,769
 
Principal
Amount
USD ($)
   
Value
         
   
Broadcasting - (continued)
   
 
1,987,599
Sinclair Television Group, Inc., Tranche B Term Loan, 3.04%, 1/3/24
 
$1,994,639
 
500,000
Townsquare Media, Inc., Additional Term B Loan, 4.0%, 4/1/22
 
503,750
 
2,122,402
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
 
2,132,948
       
$12,810,232
         
   
Cable & Satellite - 1.7%
   
 
1,973,425
Charter Communications Operating LLC (aka CCO Safari LLC), Term F-1 Loan, 2.79%, 1/3/21
 
$1,986,377
 
425,000
Telenet Financing USD LLC, Term Loan AF Facility, 3.77%, 1/31/25
 
429,449
 
1,075,000
UPC Financing Partnership , Facility AP, 3.52%, 4/15/25
 
1,083,230
 
1,117,713
Virgin Media Bristol LLC, Facility I , 3.52%, 1/31/25
 
1,125,397
 
723,188
WideOpenWest Finance LLC, New Term B Loan, 4.554%, 8/18/23
 
728,702
       
$5,353,155
         
   
Movies & Entertainment - 2.2%
   
 
1,143,435
AMC Entertainment, Inc., Initial Term Loan, 3.521%, 12/15/22
 
$1,156,775
 
1,236,231
CDS US Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.), First Lien Initial Term Loan, 5.0%, 7/8/22
 
1,248,439
 
1,000,000
CDS US Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.), Second Lien Initial Term Loan, 9.25%, 7/10/23
 
994,063
 
470,588
Kasima LLC, Term Loan, 3.486%, 5/17/21
 
474,902
 
478,016
Live Nation Entertainment, Inc., Term B-2 Loan, 3.313%, 10/31/23
 
484,290
 
1,061,500
Seminole Hard Rock Entertainment, Inc., Term Loan, 3.52%, 5/14/20
 
1,069,682
 
1,275,132
WMG Acquisition Corp., Tranche C Term Loan, 3.75%, 11/1/23
 
1,283,557
       
$6,711,708
         
   
Publishing - 2.1%
   
 
863,616
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
 
$809,640
 
118,156
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
 
118,746
 
2,985,000
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.0%, 5/4/22
 
2,943,956
 
761,328
Quincy Newspapers, Inc., Term Loan B, 7.0%, 11/2/22
 
769,893
 
1,375,500
Springer SBM Two GmbH, Initial Term B9 Loan, 4.5%, 8/14/20
 
1,380,085
 
600,000
Trader Corp., Term Loan, 5.0%, 9/28/23
 
608,250
       
$6,630,570
   
Total Media
 
$38,395,975
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.4%
   
   
Biotechnology - 0.5%
   
 
902,510
Alkermes, Inc., 2021 Term Loan, 3.53%, 9/25/21
 
$905,894
 
698,897
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
 
699,596
       
$1,605,490
         
   
Life Sciences Tools & Services - 0.8%
   
 
1,975,000
Albany Molecular Research, Inc., Term Loan B, 6.006%, 7/16/21
 
$1,994,750
 
434,598
Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Dollar Term Loan, 3.75%, 5/20/21
 
439,895
       
$2,434,645
         
   
Pharmaceuticals - 2.1%
   
 
1,683,995
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
 
$1,381,477
 
1,638,385
Endo Luxembourg Finance Company I S.a.r.l., Term Loan B, 3.813%, 9/26/22
 
1,646,918
 
400,000
Horizon Pharma, Inc., Incremental Term B-1 Loan, 5.5%, 5/7/21
 
404,000
 
609,794
Mallinckrodt International Finance SA, Initial Term B Loan, 3.338%, 3/19/21
 
611,509
 
1,048,125
Patheon, Inc., Term Loan, 4.25%, 3/11/21
 
1,054,785
 
817,776
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 5.28%, 12/11/19
 
822,815
 
614,336
Valeant Pharmaceuticals International, Inc., Series D-2 Tranche B Term Loan, 5.03%, 2/13/19
 
617,517
       
$6,539,021
   
Total Pharmaceuticals, Biotechnology & Life Sciences
 
$10,579,156
         
         
   
REAL ESTATE - 2.7%
   
   
Diversified REIT - 0.2%
   
 
448,875
ESH Hospitality, Inc., Initial Term Loan, 3.781%, 8/30/23
 
$450,639
         
   
Hotel & Resort REIT - 0.4%
   
 
1,354,763
MGM Growth Properties Operating Partnership LP, Term B Loan, 3.281%, 4/25/23
 
$1,365,431
         
   
Real Estate Services - 0.8%
   
 
1,469,045
Altisource Solutions S.a.r.l, Term Loan B, 4.5%, 12/9/20
 
$1,439,664
 
1,181,359
GCA Services Group, Inc., Term Loan, 5.75%, 3/1/23
 
1,189,974
       
$2,629,638
         
 
Principal
Amount
USD ($)
   
Value
         
   
Retail REITs - 0.7%
   
 
1,997,528
DTZ US Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
 
$2,012,760
 
85,106
DTZ US Borrower LLC, Second Lien Initial Term Loan, 9.289%, 11/4/22
 
85,505
       
$2,098,265
 
k
     
   
Specialized REIT - 0.6%
   
 
1,970,063
Communications Sales & Leasing, Inc. (CSL Capital LLC), Shortfall Term Loan, 4.0%, 10/24/22
 
$1,978,179
   
Total Real Estate
 
$8,522,152
         
   
RETAILING - 2.5%
   
   
Apparel Retail - 0.5%
   
 
518,433
Hudson's Bay Co., Term Loan B, 4.25%, 9/30/22
 
$509,749
 
1,228,974
Men's Wearhouse, Inc., Term Loan B, 4.528%, 6/18/21
 
1,205,418
       
$1,715,167
         
   
Automotive Retail - 0.5%
   
 
1,106,331
CWGS Group LLC, Term Loan, 4.523%, 11/8/23
 
$1,117,222
 
563,127
Hertz Corp., Tranche Term B-1 Loan, 3.531%, 6/30/23
 
565,371
       
$1,682,593
         
   
Computer & Electronics Retail - 0.1%
   
 
105,433(c)
Targus Group International, Inc., Tranche A-2 Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
 
$101,742
 
316,299(c)
Targus Group International, Inc., Tranche B Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
 
245,132
       
$346,874
         
   
Home Improvement Retail - 0.5%
   
 
1,427,444
Apex Tool Group LLC, Term Loan, 4.5%, 1/31/20
 
$1,418,523
         
   
Specialty Stores - 0.9%
   
 
730,427
Party City Holdings, Inc., 2016 Replacement Term Loan, 3.75%, 8/19/22
 
$727,949
 
2,064,746
PetSmart, Inc., Tranche B-2 Loan, 4.0%, 3/11/22
 
2,036,649
       
$2,764,598
   
Total Retailing
 
$7,927,755
         
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
   
   
Semiconductor Equipment - 0.2%
   
 
452,449
Entegris, Inc., Tranche B Term Loan, 3.531%, 4/30/21
 
$456,785
         
   
Semiconductors - 0.9%
   
 
1,733,715
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan, 4.521%, 5/7/21
 
$1,761,888
 
317,994
Microsemi Corp., Term B Loan, 3.031%, 1/15/23
 
320,634
 
847,875
ON Semiconductor Corp., 2016 New Replacement Term Loan, 4.031%, 3/31/23
 
857,885
       
$2,940,407
   
Total Semiconductors & Semiconductor Equipment
 
$3,397,192
         
         
   
SOFTWARE & SERVICES - 9.4%
   
   
Application Software - 2.6%
   
 
940,582
Applied Systems, Inc., First Lien Term Loan, 4.0%, 1/25/21
 
$947,538
 
977,215
Applied Systems, Inc., Second Lien Term Loan, 7.5%, 1/24/22
 
985,765
 
600,000
Greeneden US Holdings I LLC, Tranche B-1 Dollar Term Loan, 5.025%, 12/1/23
 
608,550
 
766,746
Infor (US), Inc. (fka Lawson Software Inc.), Tranche B-6 Term Loan, 3.75%, 2/1/22
 
768,390
 
523,688
Quest Software US Holdings, Inc., First Lien Initial Term Loan, 7.0%, 10/31/22
 
532,798
 
1,714,134
STG-Fairway Acquisitions, Inc., First Lien Term Loan, 6.25%, 6/30/22
 
1,675,566
 
1,200,000
Synchronoss Technologies, Inc., Initial Term Loan, 4.082%, 1/19/24
 
1,205,550
 
1,401,102
Verint Systems, Inc., Tranche B Incremental Term Loan, 3.655%, 9/6/19
 
1,410,909
       
$8,135,066
         
   
Data Processing & Outsourced Services - 1.1%
   
 
975,542
First Data Corp., 2021C New Dollar Term Loan, 3.779%, 3/24/21
 
$988,789
 
1,632,668
First Data Corp., 2022C New Dollar Term Loan, 3.779%, 7/8/22
 
1,649,903
 
746,250
WEX, Inc., Term B Loan, 4.281%, 6/30/23
 
757,977
       
$3,396,669
         
   
Home Entertainment Software - 0.4%
   
 
1,241,064
MA Financeco LLC, Initial Tranche B-2 Term Loan, 4.789%, 11/19/21
 
$1,255,248
         
   
Internet Software & Services - 1.3%
   
 
966,349
Avast Software BV, Initial Dollar Term Loan, 5.0%, 9/30/22
 
$979,536
 
908,093
Match Group, Inc., Term B-1 Loan, 4.201%, 11/16/22
 
922,849
 
1,650,000
Rackspace Hosting, Inc., First Lien Term B Loan, 4.5%, 11/3/23
 
1,670,625
 
140,575(b)
Zayo Group LLC (Zayo Capital, Inc.), 2017 Incremental Acquisition Term Loan, 1/19/24
 
142,069
 
Principal
Amount
USD ($)
   
Value
   
Internet Software & Services - (continued)
   
 
291,963
Zayo Group LLC (Zayo Capital, Inc.), 2017 Incremental Refinancing B-2 Term Loan, 3.5%, 1/19/24
 
$295,066
       
$4,010,145
   
IT Consulting & Other Services - 2.8%
   
 
778,537
Booz Allen Hamilton, Inc., New Refinancing Tranche B Term Loan, 3.027%, 6/30/23
 
$784,538
 
3,412,500
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
 
3,132,037
 
1,000,000
Evergreen Skills Lux S.a.r.l., Second Lien Initial Term Loan, 9.25%, 4/28/22
 
708,750
 
429,429(b)
Go Daddy Operating Co., LLC, Initial Term Loan, 2/15/24
 
430,798
 
475,000
Kronos, Inc., First Lien Initial Term Loan, 5.034%, 11/1/23
 
480,690
 
700,000
Rocket Software, Inc., Second Lien Term Loan, 10.5%, 10/14/24
 
708,750
 
492,006
Science Applications International Corp., Incremental Tranche B Loan, 3.563%, 5/4/22
 
496,004
 
1,357,813
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.563%, 9/18/21
 
1,353,994
 
750,000
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
 
759,375
       
$8,854,936
         
   
Systems Software - 1.2%
   
 
898,000
EZE Software Group LLC, First Lien Term B-2 Loan, 4.0%, 4/6/20
 
$901,367
 
325,000
Ivanti Software, Inc. (fka LANDesk Group, Inc.), First Lien Term Loan, 5.25%, 1/20/24
 
327,600
 
1,243,125
MSC.Software Corp., Term Loan, 5.0%, 5/29/20
 
1,246,233
 
1,238,703
Rovi Solutions Corp., Term B Loan, 3.29%, 7/2/21
 
1,244,897
       
$3,720,097
   
Total Software & Services
 
$29,372,161
         
         
   
TECHNOLOGY HARDWARE & EQUIPMENT - 3.1%
   
   
Communications Equipment - 0.5%
   
 
899,737
Audio Visual Services Group, Inc., First Lien Term Loan, 4.5%, 1/25/21
 
$901,986
 
493,750
Commscope, Inc., Tranche 5 Term Loan, 3.281%, 12/29/22
 
497,659
       
$1,399,645
         
   
Electronic Components - 0.6%
   
 
653,600
Generac Power Systems, Inc., 2016 New Term Loan, 3.748%, 5/31/23
 
$661,668
 
1,203,563
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 5.75%, 3/31/22
 
1,205,317
       
$1,866,985
         
   
Electronic Manufacturing Services - 0.6%
   
 
1,884,894
4L Technologies, Inc. (fka Clover Holdings, Inc.), Term Loan, 5.278%, 5/8/20
 
$1,822,457
         
   
Technology Distributors - 0.6%
   
 
792,922
CDW LLC (fka CDW Corp.), Term Loan, 3.0%, 8/17/23
 
$797,680
 
96,823
SS&C European Holdings S.a.r.l., Term B-2 Loan, 4.031%, 7/8/22
 
97,534
 
1,008,926
SS&C Technologies, Inc., Term B-1 Loan, 4.031%, 7/8/22
 
1,016,335
       
$1,911,549
         
   
Technology Hardware, Storage & Peripherals - 0.8%
   
 
1,246,875
Dell International LLC, Term Loan B, 4.04%, 9/7/23
 
$1,256,648
 
558,250
Diebold, Inc., Dollar Term B Loan, 5.313%, 11/6/23
 
569,059
 
796,000
Western Digital Corp., US Term B-1 Loan, 4.529%, 4/29/23
 
802,530
       
$2,628,237
   
Total Technology Hardware & Equipment
 
$9,628,873
         
         
   
TELECOMMUNICATION SERVICES - 2.1%
   
   
Integrated Telecommunication Services - 0.7%
   
 
1,227,807
GCI Holdings, Inc., New Term B Loan, 3.781%, 2/2/22
 
$1,236,248
 
307,323
Securus Technologies Holdings, Inc., First Lien Initial Term Loan, 4.75%, 4/30/20
 
307,835
 
615,358
Windstream Services LLC (fka Windstream Corp.), 2016 Term Loan Tranche B-6, 4.78%, 3/29/21
 
623,178
       
$2,167,261
         
   
Wireless Telecommunication Services - 1.4%
   
 
2,526,479
Altice US Finance I Corp., 2016 Refinancing Term Loan, 3.781%, 1/15/25
 
$2,557,006
 
720,343
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75%, 6/30/19
 
714,716
 
1,250,000
Sprint Communications, Inc., Initial Term Loan, 3.313%, 2/2/24
 
1,252,969
       
$4,524,691
   
Total Telecommunication Services
 
$6,691,952
         
         
   
TRANSPORTATION - 4.3%
   
   
Airlines - 2.7%
   
 
490,000
Air Canada, Term Loan, 3.755%, 10/6/23
 
$496,002
 
2,910,656
American Airlines, Inc., 2015 New Term Loan, 3.278%, 6/27/20
 
2,929,939
 
1,254,938
American Airlines, Inc., Class B Term Loan, 3.27%, 12/14/23
 
1,261,997
 
Principal
Amount
USD ($)
   
Value
         
   
Airlines - (continued)
   
 
2,100,000
American Airlines, Inc., Replacement Class B Term Loan, 3.281%, 4/28/23
 
$2,112,396
 
1,440,000
Delta Air Lines, Inc., 2014 Term B-1 Loan, 3.273%, 10/18/18
 
1,453,051
 
240,625
United Air Lines, Inc. (fka Continental Airlines, Inc.), Class B Term Loan, 3.281%, 4/1/19
 
242,355
       
$8,495,740
         
   
Marine - 0.7%
   
 
1,657,242
Commercial Barge Line Co., Initial Term Loan, 9.75%, 11/12/20
 
$1,584,737
 
566,748
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
 
566,040
       
$2,150,777
         
   
Trucking - 0.9%
   
 
402,816
PODS LLC, Tranche B-2 Term Loan, 4.25%, 2/2/22
 
$405,669
 
776,000
Syncreon Global Finance, Inc., Term Loan, 5.25%, 10/28/20
 
689,994
 
1,554,408
YRC Worldwide, Inc., Initial Term Loan, 8.5%, 2/13/19
 
1,547,801
       
$2,643,464
   
Total Transportation
 
$13,289,981
         
         
   
UTILITIES - 4.1%
   
   
Electric Utilities - 2.3%
   
 
1,348,782
APLH Holdings, Ltd., Partnership, Term Loan, 6.0%, 4/13/23
 
$1,362,269
 
2,171,250
Calpine Construction Finance Co., LP, Term B-1 Loan, 3.03%, 5/3/20
 
2,176,678
 
919,823
ExGen Renewables LLC, Term Loan, 5.272%, 2/8/21
 
925,285
 
1,725,000
Talen Energy Supply LLC, Initial Term Loan, 6.06%, 12/6/23
 
1,757,884
 
473,873
TPF II Power LLC (TPF II Covert Midco LLC), Term Loan, 5.0%, 10/2/21
 
479,169
 
102,143
Vistra Operations Co., LLC (fka Tex Operations Co., LLC), Initial Term C Loan, 3.531%, 8/4/23
 
102,643
 
447,857
Vistra Operations Co., LLC (fka Tex Operations Co., LLC), Initial Term Loan, 3.531%, 8/4/23
 
450,050
       
$7,253,978
         
   
Independent Power Producers & Energy Traders - 1.4%
   
 
1,635,100
Calpine Corp., Term Loan B, 3.75%, 1/15/24
 
$1,645,064
 
1,201,563
NRG Energy, Inc., Term Loan, 3.031%, 6/30/23
 
1,206,446
 
1,381,147
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.5%, 6/27/22
 
1,394,958
       
$4,246,468
         
   
Multi-Utilities - 0.1%
   
 
429,369
EFS Cogen Holdings I LLC, Term B Advance, 4.5%, 6/28/23
 
$434,066
         
   
Water Utilities - 0.3%
   
 
840,667
WTG Holdings III Corp., First Lien Term Loan, 4.75%, 1/15/21
 
$844,870
   
Total Utilities
 
$12,779,382
         
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
   
   
(Cost  $405,621,767)
 
$404,873,741
   
COLLATERALIZED LOAN OBLIGATIONS - 1.5% of Net Assets
   
         
   
BANKS - 1.5%
   
   
Diversified Banks - 0.6%
   
 
1,000,000(a)
Primus, Ltd., Series 2007-2A, Class D, 3.423%, 7/15/21 (144A)
 
$988,308
 
951,289(a)
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 5.552%, 2/27/21 (144A)
 
939,808
       
$1,928,116
         
   
Thrifts & Mortgage Finance - 0.9%
   
 
700,000(a)
NCF Dealer Floorplan Master Trust, Series 2016-1A, Class C, 9.279%, 3/21/22 (144A)
 
$703,516
 
2,000,000(a)
Stone Tower, Ltd., Series 2007-6A, Class C, 2.373%, 4/17/21 (144A)
 
1,999,905
       
$2,703,421
   
Total Banks
 
$4,631,537
         
   
TOTAL COLLATERALIZED LOAN OBLIGATIONS
   
   
(Cost  $4,364,080)
 
$4,631,537
   
CORPORATE BONDS & NOTES - 5.6% of Net Assets
   
         
   
AUTOMOBILES & COMPONENTS - 0.3%
   
   
Auto Parts & Equipment - 0.3%
   
 
1,000,000
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
 
$1,001,250
       
   
Total Automobiles & Components
 
$1,001,250
         
         
   
BANKS - 0.4%
   
   
Diversified Banks - 0.4%
   
 
1,100,000(f)(g)
BNP Paribas SA, 7.625% (144A)
 
$1,161,600
       
   
Total Banks
 
$1,161,600
         
         
 
Principal
Amount
USD ($)
   
Value
   
CAPITAL GOODS - 0.3%
   
   
Trading Companies & Distributors - 0.3%
   
 
900,000
United Rentals North America, Inc., 4.625%, 7/15/23
 
$923,859
       
   
Total Capital Goods
 
$923,859
         
   
ENERGY - 0.6%
   
   
Oil & Gas Exploration & Production - 0.3%
   
 
500,000
Gulfport Energy Corp., 6.625%, 5/1/23
 
$508,750
 
625,000
WPX Energy, Inc., 7.5%, 8/1/20
 
673,437
       
$1,182,187
         
   
Oil & Gas Storage & Transportation - 0.3%
   
 
800,000(a)
Golar LNG Partners LP, 7.289%, 5/15/21 (144A)
 
$800,000
   
Total Energy
 
$1,982,187
         
         
   
HEALTH CARE EQUIPMENT & SERVICES - 0.4%
   
   
Health Care Facilities - 0.4%
   
 
201,000
CHS/Community Health Systems, Inc., 5.125%, 8/15/18
 
$202,256
 
1,000,000
CHS/Community Health Systems, Inc., 6.875%, 2/1/22
 
877,500
   
Total Health Care Equipment & Services
 
$1,079,756
         
   
INSURANCE - 1.4%
   
   
Reinsurance - 1.4%
   
 
500,000(a)
Alamo Re, Ltd., 6.288%, 6/7/18 (144A) (Cat Bond)
 
$518,900
 
400,000(h)(i)
Berwick Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 2/1/18
 
50,680
 
250,000(h)(i)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
29,925
 
250,000(h)(i)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
 
250,500
 
250,000(h)(i)
Gleneagles Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
42,050
 
400,000(h)(i)
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 11/30/20
 
16,760
 
400,000(h)(i)
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 11/30/21
 
403,400
 
250,000(a)
Kilimanjaro Re, Ltd., Series 2015-1, Class D, 9.758%, 12/6/19 (144A) (Cat Bond)
 
260,525
 
250,000(a)
Kilimanjaro Re, Ltd., Series 2015-1, Class E, 7.258%, 12/6/19 (144A) (Cat Bond)
 
255,700
 
250,000(h)(i)
Madison Re, Variable Rate Notes, 3/31/19
 
269,525
 
400,000(h)(i)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
 
55,600
 
400,000(h)(i)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2017-1, Variable Rate Notes, 11/30/21
 
406,840
 
400,000(h)(i)
Pinehurst Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 1/16/18
 
380,840
 
300,000(h)(i)
Portrush 2016 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 6/15/17
 
68,490
 
300,000(a)
Resilience Re Ltd., 5.008%, 1/8/19 (144A) (Cat Bond)
 
300,000
 
350,000(j)
Resilience Re, Ltd., 4/7/17 (Cat Bond)
 
352,800
 
400,000(h)(i)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/18
 
56,240
 
400,000(h)(i)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/19
 
404,720
 
300,000(h)(i)
Sunningdale 2017 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 1/16/18
 
272,160
   
Total Insurance
 
$4,395,655
         
         
   
MATERIALS - 0.7%
   
   
Commodity Chemicals - 0.4%
   
 
1,230,000
Rain CII Carbon LLC / CII Carbon Corp., 8.0%, 12/1/18 (144A)
 
$1,228,462
         
   
Metal & Glass Containers - 0.3%
   
 
1,000,000(a)
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 4.289%, 5/15/21 (144A)
 
$1,026,250
   
Total Materials
 
$2,254,712
         
         
   
MEDIA - 0.1%
   
   
Broadcasting - 0.1%
   
 
300,000
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
 
$308,625
   
Total Media
 
$308,625
         
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
   
   
Semiconductors - 0.2%
   
 
750,000
Micron Technology, Inc., 5.25%, 8/1/23 (144A)
 
$756,563
   
Total Semiconductors & Semiconductor Equipment
 
$756,563
         
         
   
SOFTWARE & SERVICES - 0.3%
   
   
Internet Software & Services - 0.3%
   
 
920,000
j2 Cloud Services, Inc., 8.0%, 8/1/20
 
$956,800
   
Total Software & Services
 
$956,800
         
         
 
Principal
Amount
USD ($)
   
Value
   
TELECOMMUNICATION SERVICES - 0.5%
   
   
Integrated Telecommunication Services - 0.5%
   
 
500,000
CenturyLink, Inc., 6.45%, 6/15/21
 
$532,815
 
1,000,000
Frontier Communications Corp., 10.5%, 9/15/22
 
1,039,680
   
Total Telecommunication Services
 
$1,572,495
         
         
   
UTILITIES - 0.4%
   
   
Independent Power Producers & Energy Traders - 0.4%
   
 
1,125,000
NRG Energy, Inc., 6.25%, 7/15/22
 
$1,144,688
   
Total Utilities
 
$1,144,688
         
   
TOTAL CORPORATE BONDS & NOTES
   
   
(Cost  $16,704,165)
 
$17,538,190
   
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 5.0% of Net Assets
   
         
 
3,270,000(a)
U.S. Treasury Notes, 0.684%, 10/31/17
 
$3,273,401
 
8,980,000(a)
U.S. Treasury Notes, 0.706%, 4/30/18
 
8,995,356
 
3,365,000(a)
U.S. Treasury Notes, 0.788%, 1/31/18
 
3,372,877
       
$15,641,634
         
   
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
   
   
(Cost  $15,625,894)
 
$15,641,634
   
TAX EXEMPT OBLIGATIONS - 2.1% of Net Assets (k)
   
   
Massachusetts - 0.4%
   
 
100,000(f)
Massachusetts Health & Educational Facilities Authority, Children's Hospital Corp., Series N-4, 0.58%, 10/1/49
 
$100,000
 
1,200,000(f)
Massachusetts Health & Educational Facilities Authority, Harvard University, Series R, 0.41%, 11/1/49
 
1,200,000
       
$1,300,000
   
Mississippi - 0.1%
   
 
235,000(f)
Mississippi Business Finance Corp., Chevron USA, Inc., Project, Series C, 0.58%, 12/1/30
 
$235,000
   
Pennsylvania - 0.7%
   
 
2,300,000(f)
Geisinger Authority, Geisinger Health System, Series B, 0.55%, 8/1/22
 
$2,300,000
   
Texas - 0.9%
   
 
430,000(f)
Harris County Health Facilities Development Corp., The Methodist Hospital System, Series A-1, 0.57%, 12/1/41
 
$430,000
 
1,790,000(f)
Harris County Health Facilities Development Corp., The Methodist Hospital System, Series A-2, 0.57%, 12/1/41
 
1,790,000
 
420,000(f)
Lower Neches Valley Authority Industrial Development Corp., Exxon Capital Ventures, Inc., 0.56%, 11/1/38
 
420,000
       
$2,640,000
   
TOTAL TAX EXEMPT OBLIGATIONS
   
   
(Cost $6,475,000)
 
$6,475,000
 
Shares
     
         
   
EXCHANGE-TRADED FUNDS - 1.7% of Net Assets
   
   
DIVERSIFIED FINANCIALS - 1.7%
   
   
Asset Management & Custody Banks - 0.6%
   
 
40,000
BlackRock Floating Rate Income Strategies Fund, Inc.
 
$589,600
 
30,000
Eaton Vance Floating-Rate Income Trust
 
459,000
 
50,000
First Trust Senior Floating Rate Income Fund II
 
693,500
 
50,000
Invesco Senior Income Trust
 
236,000
       
$1,978,100
   
Other Diversified Financial Services - 1.1%
   
 
27,000
iShares iBoxx $ High Yield Corporate Bond ETF
 
$2,383,830
 
42,000
PowerShares Senior Loan Portfolio
 
981,540
       
$3,365,370
   
Total Diversified Financials
 
$5,343,470
         
   
TOTAL EXCHANGE-TRADED FUNDS
   
   
(Cost  $5,127,287)
 
$5,343,470
         
         
   
COMMON STOCKS - 0.2% of Net Assets
   
   
CONSUMER DURABLES & APPAREL - 0.0%
   
   
Homebuilding - 0.0%
   
 
31,348(l)
WAICCS Las Vegas 3 LLC
 
$100,000
   
Total Consumer Durables & Apparel
 
$100,000
         
   
CONSUMER SERVICES - 0.1%
   
   
Education Services - 0.1%
   
 
14,548(l)
Cengage Learning Acquisitions, Inc.
 
$170,939
   
Total Consumer Services
 
$170,939
         
   
HEALTH CARE EQUIPMENT & SERVICES - 0.0%
   
   
Health Care Technology - 0.0%
   
 
209,625(d)(l)
Medical Card System, Inc.
 
$         2,096
   
Total Health Care Equipment & Services
 
$         2,096
         
 
Shares
   
Value
   
INDUSTRIALS - 0.0%
   
   
Diversified Support Services - 0.0%
   
 
31(l)
IAP Worldwide Services, Inc.
 
$      42,515
   
Total Industrials
 
$      42,515
         
   
MEDIA - 0.0%
   
   
Publishing - 0.0%
   
 
497(l)
Solocal Group SA
 
$         1,562
   
Total Media
 
$         1,562
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.0%
   
   
Biotechnology - 0.0%
   
 
2,454(l)
Progenics Pharmaceuticals, Inc.
 
$      27,583
   
Total Pharmaceuticals, Biotechnology & Life Sciences
 
$      27,583
   
RETAILING - 0.0%
   
   
Computer & Electronics Retail - 0.0%
   
 
91,346(d)(l)
Targus Cayman SubCo., Ltd.
 
$      88,606
   
Total Retailing
 
$      88,606
         
   
TRANSPORTATION - 0.1%
   
   
Air Freight & Logistics - 0.1%
   
 
710(l)
CEVA Holdings LLC
 
$140,824
   
Total Transportation
 
$140,824
   
UTILITIES - 0.0%
   
   
Independent Power Producers & Energy Traders - 0.0%
   
 
775
NRG Energy, Inc.
 
$      12,834
   
Total Utilities
 
$      12,834
   
TOTAL COMMON STOCKS
   
   
(Cost  $2,069,782)
 
$586,959
 
Principal
Amount
USD ($)
     
   
TEMPORARY CASH INVESTMENTS - 5.1% of Net Assets
   
   
CERTIFICATE OF DEPOSIT - 0.4%
   
 
1,145,000
Sumitomo Mitsui Bank, 1.26%, 4/3/17
 
$1,145,598
   
COMMERCIAL PAPER - 1.4%
   
 
792,000
Amphenol Corp., 0.88%, 3/1/17
 
$791,979
 
1,145,000
Natixis SA, 0.56%, 3/1/17
 
1,144,981
 
1,145,000
Prudential Funding LLC, 0.6%, 3/1/17
 
1,144,980
 
1,145,000
Societe Generale SA, 0.52%, 3/1/17
 
1,144,980
       
$4,226,920
   
REPURCHASE AGREEMENT - 2.4%
   
 
7,500,000
$7,500,000 TD Securities USA LLC, 0.52%, dated 2/28/17,
plus accrued interest on 3/1/17 collateralized
by the following:
$7,650,029 U.S. Treasury Notes, 1.375%, 8/31/23.
 
$7,500,000
   
TREASURY BILL - 0.9%
   
 
2,865,000(j)
U.S. Treasury Bill, 3/15/17
 
$2,864,542
   
TOTAL TEMPORARY CASH INVESTMENTS
   
   
(Cost  $15,736,499)
 
$15,737,060
   
TOTAL INVESTMENTS IN SECURITIES - 150.8%
   
   
(Cost - $471,724,474) (m)
 
$470,827,591
   
OTHER ASSETS AND LIABILITIES - (50.8)%
 
$(158,535,656)
   
NET ASSETS - 100.0%
 
$312,291,935
 


REIT
Real Estate Investment Trust.
   
(144A)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At February 28, 2017, the value of these securities amounted to $12,249,412, or 3.9% of total net assets.
   
(Cat Bond)
Catastrophe or event-linked bond. At February 28, 2017, the value of these securities amounted to $1,687,925 or 0.5% of net assets.
   
Amount rounds to less than 0.1%.
   
*
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at February 28, 2017.
   
(a)
Floating rate note. The rate shown is the coupon rate at February 28, 2017.
   
(b)
This term loan will settle after February 28, 2017, at which time the interest rate will be determined.
   
(c)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
   
(d)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
   
(e)
Security is in default.
   
(f)
The interest rate is subject to change periodically. The interest rate shown is the rate at February 28, 2017.
   
(g)
Security is perpetual in nature and has no stated maturity date.
   
(h)
Structured reinsurance investment. At February 28, 2017, the value of these securities amounted to $2,707,730, or 0.9% of total net assets.
   
(i)
Rate to be determined.
   
(j)
Security issued with a zero coupon. Income is recognized through accretion of discount.
   
(k)
Consists of Revenue Bonds unless otherwise indicated.
   
(l)
Non-income producing.
(m)
At February 28, 2017, the net unrealized depreciation on investments based on cost for federal tax purposes of $471,928,028 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$                      6,298,841
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
(7,399,278)
   
 
Net unrealized depreciation
$                      (1,100,437)
   



CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION
Notional
Principal ($)(1)
Exchange
Obligation Entity/Index
Coupon
Credit Rating(2)
Expiration
Date
Premiums
Paid/
(Received)
Unrealized Appreciation
1,067,000
Chicago Mercantile Exchange
Markit CDX North
America High Yield
Index Series 24
5.00%
B+
6/20/20
$64,230
$38,151
1,092,700
Chicago Mercantile Exchange
Markit CDX North
America High Yield
Index Series 25
5.00%
B+
12/20/20
(10,391)
108,580
           
$53,839
$146,731
   
(1)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
(2)
Based on Standard & Poor's rating of the issuer or weighted average of all the underlying securities of the index.
 


Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
   
Level 1 - quoted prices in active markets for identical securities.
 
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
 
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
 
   
The following is a summary of the inputs used as of February 28, 2017, in valuing the Trust's investments.
 
   
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Senior Secured Floating Rate Loan Interests
                       
Health Care Equipment & Services
                       
Health Care Technology
  $     $ 5,211,834     $ 731,754     $ 5,943,588  
All Other Senior Secured Floating Rate Loan Interests
          398,930,153             398,930,153  
Collateralized Loan Obligations
          4,631,537             4,631,537  
Corporate Bonds & Notes
                               
Insurance
                               
Reinsurance
           1,035,125        3,360,530        4,395,655  
All Other Corporate Bonds & Notes
          13,142,535             13,142,535  
U.S. Government and Agency Obligations
           15,641,634              15,641,634  
Tax Exempt Obligations
           6,475,000              6,475,000  
Exchange-Traded Funds
     5,343,470                    5,343,470  
Common Stocks
                               
Consumer Durables & Apparel
                               
Homebuilding
           100,000              100,000  
Consumer Services
                               
Education Services
           170,939              170,939  
Health Care Equipment & Services
                               
Health Care Technology
                 2,096        2,096  
Industrials
                               
Diversified Support Services
           42,515              42,515  
Retailing
                               
Computer & Electronics Retail
                 88,606        88,606  
Transportation
                               
Air Freight & Logistics
           140,824              140,824  
All Other Common Stocks
     41,979                    41,979  
Certificate of Deposit
           1,145,598              1,145,598  
Commercial Paper
           4,226,920              4,226,920  
Repurchase Agreement
           7,500,000              7,500,000  
Treasury Bill
           2,864,542              2,864,542  
Total Investments in Securities
  $ 5,385,449     $ 461,259,156     $ 4,182,986     $ 470,827,591  

 
 

 
Schedule of Investments  |  2/28/17 (unaudited)


   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Other Financial Instruments
                       
Unrealized Appreciation
on Centrally Cleared
Credit Default
Swap Agreements
  $     $ 146,731     $     $ 146,731  
Total Other
Financial Instruments
  $     $ 146,731     $     $ 146,731  

 
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
 
     
Change in
         
 
Balance
Realized
unrealized
   
Accrued
Changes
Balance
 
as of
gain
appreciation
   
discounts/
Between
as of
 
11/30/16
(loss)
(depreciation)
Purchases
Sales
premiums
Level 3*
2/28/17
Senior Secured
Floating Rate
Loan Interests
               
Health Care
Equipment &
Services
               
Health Care
Technology
 $731,754
 $ –
 $(10,769)
 $ –
 $ –
 $10,769
 $ –
 $731,754
Corporate Bonds
& Notes
               
Insurance
               
Reinsurance
3,255,179
41,856
65,840
(2,345)
3,360,530
Common Stocks
               
Health Care
Equipment &
Services
               
Health Care
Technology
2,096
2,096
Retailing
               
Computer &
Electronics
Retail
88,606
88,606
Total
 $4,077,635
 $ –
 $31,087
 $65,840
 $ –
 $8,424
 $ –
 $4,182,986
                   
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
 
   
               
Change in
                               
   
Balance
   
Realized
   
unrealized
               
Accrued
   
Changes
   
Balance
 
   
as of
   
gain
   
appreciation
               
discounts/
   
Between
   
as of
 
   
11/30/16
   
(loss)
   
(depreciation)
   
Purchases
   
Sales
   
premiums
   
Level 3*
   
2/28/17
 
Senior Secured
Floating Rate
Loan Interests
                                               
Health Care
Equipment &
Services
                                               
Health Care
Technology
  $ 731,754     $     $ (10,769 )   $     $     $ 10,769     $     $ 731,754  
Corporate Bonds
& Notes
                                                               
Insurance
                                                               
Reinsurance
    3,255,179             41,856       65,840             (2,345 )           3,360,530  
Common Stocks
                                                               
Health Care
Equipment &
Services
                                                               
Health Care
Technology
    2,096                                           2,096  
Retailing
                                                               
Computer &
Electronics
Retail
    88,606                                           88,606  
Total
  $ 4,077,635     $     $ 31,087     $ 65,840     $     $ 8,424     $     $ 4,182,986  
                                                                 
   
*Transfers are calculated on the beginning of period value. For the three months ended February 28, 2017, there were no transfers between Levels 1, 2 and 3.
   
Net change in unrealized depreciation of Level 3 investments still held and considered Level 3 at February 28, 2017: $(31,087).


ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATIONS I, [identify the certifying individual], certify that: 1. I have reviewed this report on Form N-Q of [identify registrant]; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and 5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. Date: [Signature] [Title] Filed herewith. <PAGE> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Pioneer Floating Rate Trust By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date April 26, 2017 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date April 26, 2017 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date April 26, 2017 * Print the name and title of each signing officer under his or her signature.