February 23, 2017
VIA EDGAR
EDGAR Operations Branch
Division of Investment Management
Securities and Exchange Commission
100 F Street, N.E.
Washington, DC 20549
Virtus Asset Trust
Form N-14 Registration Statement
SEC File No. 333-215687
Ladies and Gentlemen:
This letter sets forth responses to oral comments received from Anu Dubay of the Staff of the Securities and Exchange Commission (the “SEC”) on February 15, 2017, pertaining to the above referenced N-14 filing (the “Registration Statement”) submitted by Virtus Asset Trust (the “Registrant”) on January 25, 2017 in connection with the acquisition of the assets of various series of the RidgeWorth Funds, by and in exchange for shares of the corresponding series of the Registrant. Unless otherwise noted, capitalized terms have the same meanings as used in the Registration Statement.
Set forth below is each comment and the Registrant’s response thereto. To the extent that this letter refers to disclosure changes in response to the comments made, included with this letter are pages reflecting the referenced changes.
1. | Comment: |
Page i of the Questions and Answers (“Q&A”). Under the question, “What is a fund reorganization?,” the answer describes the merger of one Acquired Fund into the corresponding Acquiring fund. In that answer, add a description of the reorganization that involves two Acquired Funds into the same Acquired Fund.
Response: We have added requested disclosure.
2. | Comment: |
Page ii of the Q&A. Under the question, “How will the Reorganizations benefit the Acquired Funds and their shareholders?,” the third bullet point indicates that the anticipated net total operating expenses, after expense limitations, of the Acquiring Funds are expected to be equal to or lower than the current operating expenses of the Acquired Funds, although some Acquiring Funds may experience higher net total operating expenses following the expiration of the expense limitations. In a separate Q&A, describe the effect of the Reorganizations on Fund expenses before the application of any waivers and/or expense limitations. Identify in some fashion those
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Acquiring Funds that will experience an increase in expenses before the application of any waivers and/or expense limitations. The Registrant may also discuss the impact of the effect of the Reorganizations on Fund expenses after the application of any waivers and/or expense limitations. In addition, the Registrant may include an explanation for the increase in expenses, similar to the disclosure that appears in the last bullet point on page 2 of the Combined Prospectus/Proxy Statement (the “Proxy”).
Response: We have added the requested disclosure.
3. | Comment: |
Page ii of the Q&A. Under the question, “How will the Reorganizations benefit the Acquired Funds and their shareholders?”, the fourth bullet point describes the ability to spread fixed costs over a larger combined asset base as one benefit of the Reorganizations. Explain why this is a benefit of the Reorganizations. If Fund expenses are expected to increase immediately after the Reorganizations, add qualifying language to the fourth bullet point.
Response: We have added clarifying disclosure as requested. Fund expenses are not expected to increase immediately after the Reorganizations, due to the expense limitation agreement that will be in place for two years. Therefore, we have made no other changes in response to this comment.
4. | Comment: |
Page iv of the Q&A. Under the question, “Are there costs or tax consequences of the Reorganizations to shareholders?,” the disclosure states that there will not be significant portfolio realignment related to the Reorganizations, except for RidgeWorth Moderate Allocation Strategy. Since that Fund will buy and sell holdings to align with the Virtus Growth Allocation Strategy Fund's policies, add the following four disclosures to the registration statement and the pro forma financial narrative: (1) the anticipated amount of holdings to be sold, (2) the estimated brokerage costs incurred (dollar amount and per share amount), (3) the estimated capital gains distributions related to shares (dollar amount and per share amount) and (4) because the pro forma financial narrative in the SAI states that some holdings of that Fund may have to be sold to comply with the Acquiring Fund’s policies, please provide more information on which holdings of that Fund are required to be sold; either specific holdings or a sufficient summary that clearly explains what is required to be sold.
Response: We do not anticipate selling any portfolio holdings prior to the Reorganization, and there are no current plans to sell any portfolio holdings as a result of the Reorganization. Therefore, we have deleted the exception in the referenced disclosure and have made no other changes in response to this comment.
5. | Comment: |
Page iv of the Q&A. Under the question, “How will the Reorganizations work?,” there is a footnote to the share class table indicating that certain Acquired Funds currently
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expect to register T Shares prior to the Reorganizations. Does that mean RidgeWorth Funds will file a 485(a) filing to establish Class T shares prior to the Reorganizations?
Response: Yes. A template filing was made by RidgeWorth Funds on February 1, 2017, and a replicate filings request letter is expected to be made at a later date.
6. | Comment: |
Proxy, Page 4, Comparison of Acquired Funds and Acquiring Funds – All Reorganizations. Please confirm to us that all fees are still “current”. See Item 3 of Form N-14.
Response: As stated in the “Fees and Expenses” disclosure, fee and expense information shown for the Acquired Funds is based on the six-month period ended September 30, 2016. Fee and expense information provided for the Acquiring Funds is shown on a pro forma basis as if each Reorganization had been consummated in the prior year. We believe the information complies with the requirements of Item 3 of Form N-14.
7. | Comment: |
With respect to the expense examples for Acquired Funds with expense limitations, it appears that the net expense ratio is used for the first three years of calculating hypothetical expenses. The Acquired Funds’ expense limitations expire in 2017, so the lower net expense ratio should only be used in the first year of the calculation. Please review the calculations to ensure expense limitations are only included for the time that the contractual limitations are in effect.
Response: We have revised the expense examples for the Acquired Funds to reflect the lower expense ratio only in the first year of the calculation.
8. | Comment: |
Please explain why the expense ratios disclosed for the following Funds are higher than the contractual expense limitation: (1) (page 6 of Proxy) RidgeWorth Ceredex Large Cap Value Equity Fund (net expense ratio is 1.26%, while the expense limit is 1.24%); (2) (page 9 of Proxy) RidgeWorth Ceredex Mid-Cap Value Equity Fund (net expense ratio is 1.40%, while the expense limit is 1.38%); (3) (page 21 of Proxy) RidgeWorth Innovative Growth Stock Fund-Class A (net expense ratio is 1.51%, while the expense limit is 1.50%); and (4) (page 21 of Proxy) RidgeWorth Innovative Growth Stock Fund-Class I (net expense ratio is 1.31%, while the expense limit is 1.30%).
Response: The Acquired Fund expense tables reflect the expense ratios that were reported in the RidgeWorth Semi Annual Report to shareholders (4/1/16 – 9/30/16).
· Large Cap Value Equity Fund: Effective 8/1/16, Class A expense limitation changed from 1.27% to 1.24%. Expense ratio (1.26%) in the N-14 reflects a blend of the two caps.
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· Mid-Cap Value Equity Fund: Effective 8/1/16, Class A expense limitation changed from 1.40% to 1.38%. Expense ratio (1.40%) in the N-14 reflects a blend of the two caps.
· Innovative Growth Stock - Class I: Expense ratio (1.31%) includes line of credit expenses ( 0.77bps) which fall outside of the 1.30% expense cap.
· Innovative Growth Stock Fund - Class A: Expense ratio (1.51%) includes line of credit expenses ( 0.77bps) which fall outside of the 1.50% expense cap.
9. | Comment: |
Proxy, Page 7, Ceredex Large-Cap Value Equity Fund. Please provide the market capitalization range for the Russell 1000® Value Index as of a recent date. This comment applies to all other Funds with “Cap” in their names.
Response: We have added the requested disclosure.
10. | Comment: |
Proxy, Page 7, Ceredex Large-Cap Value Equity Fund. The disclosure in the strategy section indicates that “large-capitalization companies are considered to be companies with market capitalizations similar to those of companies in the Russell 1000® Value Index.” Change the disclosure to indicate capitalizations will be “within” those of companies in the Index. This comment applies to all other Funds with “Cap” in their names.
Response: We believe that the disclosure gives an appropriate indication of the capitalization ranges applicable to each of the referenced Funds. We have therefore made no changes in response to this comment.
11. | Comment: |
Proxy, Page 8, Ceredex Large-Cap Value Equity Fund. Sector Focused Investing is identified as a principal risk of the Fund. Add sector focused investing to the strategy section.
Response: We have added the requested disclosure.
12. | Comment: |
Proxy, Page 11, Ceredex Mid-Cap Value Equity Fund. Industry/Sector Concentration is identified as a principal risk of the Fund. With respect to all Funds that have Industry/Sector Concentration as a principal risk, unless the Fund concentrates (i.e., invests more than 25% of its assets) in a particular industry or sector, change “Concentration” in the risk description to avoid confusion.
Response: With respect to any Fund that is expected to from time to time focus its investments in a sector as a result of its strategy, we have amended the disclosure to use the term “Sector Focused Investing” to describe the applicable risk.
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13. | Comment: |
Proxy, Page 11, Ceredex Mid-Cap Value Equity Fund. There is no indication in the strategy section that the Fund focuses on a particular industry or sector. If Industry/Sector Concentration is a principal risk, then add disclosure to that effect to the strategy section.
Response: The Fund may not concentrate its investments in an industry; therefore, as the Fund is expected to from time to time focus its investments in a sector as a result of its strategy, we have amended the disclosure to use the term “Sector Focused Investing” to describe the applicable risk and have added related disclosure to the strategy section.
14. | Comment: |
Proxy, Page 13, Ceredex Small-Cap Value Equity Fund. The Fund's strategy section indicates that small capitalization companies are considered to be companies with market capitalizations “between $50 million and $3 billion or with market capitalizations similar to those of companies in the Russell 2000® Value Index.” Clarify what is considered to be a small cap company for purposes of the 80% policy. For example, is there a maximum capitalization limit of $3 billion, regardless of the capitalization range of the companies in the Russell 2000® Value Index.
Response: Either cap range would apply for purposes of determining whether a company qualified for the portfolio. For instance, an issuer could have a capitalization of $3.2 billion which is over the $3 billion cap range, but if the highest Russell component company was equal to or greater than $3.2 billion, the issuer would still qualify for the portfolio. Similarly, an issuer with a market capitalization outside the range of the components of the Russell 2000® Value Index, but with a market capitalization between $50 million and $3 billion, would qualify for the portfolio. We have added clarifying disclosure to this effect.
15. | Comment: |
Proxy, Page 16, Silvant Large-Cap Growth Stock Fund. The Fund's 80% policy references “common stocks and other U.S.-traded equity securities of large-capitalization companies.” Disclose what constitutes “other U.S.-traded equity securities.”
Response: The disclosure already states that the Fund “considers U.S.-traded equity securities to include American Depositary Receipts,” which is what is generally meant by “other U.S.-traded equity securities.” Therefore, we have made no changes in response to this comment.
16. | Comment: |
Proxy, Page 16, Silvant Large-Cap Growth Stock Fund. The last bullet point indicates that the Fund uses a bottom-up process to assist in maintaining a portfolio that is diversified by sector. Discuss how the foregoing disclosure is consistent with identifying Industry/Sector Concentration as a principal risk on page 17. This is a global comment for Funds with similar disclosure.
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Response: Because the Fund may not concentrate its investments in an industry, we have removed the industry/sector concentration risk disclosure.
17. | Comment: |
Proxy, Page 17, Silvant Large-Cap Growth Stock Fund. Both Industry/Sector Concentration and Sector Focused Investing are identified as principal risks. How are these risks different? Are references to both industry and sector risks necessary?
Response: Because the Fund may not concentrate its investments in an industry, we have removed Industry/Sector Concentration.
18. | Comment: |
Proxy, Page 21, Virtus Zevenbergen Innovative Growth Stock Fund. In the paragraph under the heading “Examples of Fund Expenses,” there is a reference to expense limitations in place with respect to the Acquiring Fund for the contractual period. Delete that entire sentence because no expense limitations are reflected in the fee table for that Fund.
Response: We have made the requested revision.
19. | Comment: |
Proxy, Page 22, Zevenbergen Innovative Growth Stock Fund. The Fund's 80% policy references “common stocks of companies and other U.S.-traded equity securities that exhibit strong growth characteristics.” Clarify or disclose what securities are included in “other U.S.-traded equity securities” for purposes of the 80% policy. “Innovative Growth” appears in the Fund’s name. How is “innovative growth” reflected in the Fund’s strategy? The strategy section refers to non-U.S. issued securities of foreign companies. May the Fund invest in emerging markets as part of its principal investment strategy? If so, add disclosure to that effect to the strategy section as well as a corresponding risk. Equity Securities-Large Market Capitalization Companies Risk is identified as a principal risk. Consider whether this is a principal risk of the Fund given that it is a growth fund.
Response: We have added the requested disclosure concerning “other U.S.-traded equity securities.” The name “Zevenbergen Innovative Growth Stock Fund” reflects the subadviser’s investment strategy, incorporating Zevenbergen’s unique selection criteria for growth stocks. Investing in emerging markets is not a principal investment strategy of the Fund. We have deleted the reference to equity securities – large market capitalization companies risk.
20. | Comment: |
Proxy, Page 24, WCM International Equity Fund. The portfolio turnover rate for the Fund is shown as 114%. The Staff considers 100% to be high. Add strategy disclosure concerning frequent trading and a corresponding risk related to high portfolio turnover.
Response: We have added the requested disclosure.
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21. | Comment: |
Proxy, Page 24, WCM International Equity Fund. The Fund's 80% policy references “common stocks and other equity securities of foreign companies." Disclose what “other equity securities” are for purposes of the 80% investment policy. Disclose the criteria the Fund uses to ensure that a company is economically tied to a foreign country. The strategy section indicates that the Fund may have a significant portion of its assets invested in the securities of companies in "one or a few countries or regions." The Staff is concerned about the reference to one country. Please explain supplementally, how is this appropriate given that “international” is in the Fund’s name?
Response: We have added the requested disclosure regarding what constitutes “other equity securities” for purposes of the Fund’s 80% investment policy and the criteria the Fund uses to ensure that a company is tied economically to a foreign country. Additionally, we have revised the disclosure of the Fund’s principal investment strategies to state that the Fund generally invests in the securities of companies in at least three countries, but when market conditions warrant, the Fund may invest in fewer than three countries. We believe that this is consistent with the SEC’s expectation that funds with “international” in their names invest their assets in investments that are tied economically to a number of countries throughout the world, since the Fund generally expects to do so.
22. | Comment: |
Proxy, Page 25, WCM International Equity Fund. Convertible Securities is identified as a principal risk of the Fund. Add a reference to convertible securities to the strategy section. Confirm to us that only convertible securities that are “in the money” at the time of investment can be counted toward the Fund's 80% policy. The Staff has a lot of concern about contingent convertible securities (“CoCos”). If the Fund invests in CoCos to the level that they constitute part of the Fund's principal strategy, then include specific disclosure in the strategy section about this category of convertible securities and add corresponding risk disclosure. Sector Focused Investing is identified as a principal risk of the Fund. Sector focused investing is not discussed in the strategy section. Add sector focused investing to the strategy section.
Response: We hereby confirm that only convertible securities that are “in the money” at the time of investment will be counted toward the Fund’s 80% policy. The Fund does not invest in contingent convertible securities as a principal investment strategy; we have therefore not added disclosure concerning CoCos to the Fund’s principal strategies or risks. We have added the requested disclosure regarding sector focused investing.
23. | Comment: |
For each bond/fixed income fund, please disclose the Fund’s maturity policy (e.g., a Fund invests in bonds with any maturity or targets a specific maturity).
Response: We have added the requested disclosure.
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24. | Comment: |
Proxy, Page 27, Seix Core Bond Fund. The Fund's strategy section indicates that certain derivatives may be counted toward the Fund's 80% policy. Confirm that derivatives are valued based on market value and not notional value for purposes of the 80% policy.
Response: We hereby confirm that for purposes of the Fund’s 80% policy, derivatives will be valued based on market value and not notional value, and have clarified the disclosure.
25. | Comment: |
Proxy, Page 27, Seix Core Bond Fund. The Fund's strategy section refers to investments in mortgage-backed securities (“MBS”) and asset-backed securities. The Staff has a lot of concern about non-agency MBS. Provide the percentage of the Fund’s assets represented by non-agency MBS as of a recent date.
Response: The Registrant confirms that the Fund’s holdings in MBS are all agency.
26. | Comment: |
Proxy, Page 27, Seix Core Bond Fund. The Fund's strategy section indicates that the Fund may hold up to 5% of its net assets in securities that are downgraded below investment grade. Add a reference to “junk bonds” to the foregoing disclosure. Also, add junk bond risk as a principal risk. Also, add emerging market risk as a principal risk.
Response: We have added the requested disclosure.
27. | Comment: |
Proxy, Page 30, Seix Corporate Bond Fund. The Fund's strategy section indicates that the Fund may also invest in U.S. Treasury and agency obligations, floating rate loans, and below investment grade, high yield debt securities. Are U.S. Treasury and agency obligations and floating rate loans counted toward the 80% policy? If so, explain how it is appropriate to count these investments as corporate bonds.
Response: No, U.S. Treasury and agency obligations and floating rate loans are not counted toward the Fund’s 80% policy.
28. | Comment: |
Proxy, Page 31, Seix Corporate Bond Fund. Add emerging market risk and loan risk given the reference to emerging markets and loans in the Fund's strategy section.
Response: We have added the requested disclosure.
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29. | Comment: |
Proxy, Page 33, Seix Total Return Bond Fund. Provide the percentage of the Fund’s assets represented by non-agency MBS as of a recent date.
Response: The Registrant confirms that the Fund’s holdings in MBS are all agency.
30. | Comment: |
Proxy, Page 37, Seix U.S. Mortgage Fund. Mortgage-Backed and Asset-Backed Securities is identified as a principal risk of the Fund. Why is Asset-Backed Securities listed as a principal risk given that there is no reference to asset-backed securities in the strategy section?
Response: We have revised the risk disclosure to remove the reference to asset-backed securities.
31. | Comment: |
Proxy, Page 39, Seix Limited Duration Fund. Provide the percentage of the Fund’s assets represented by non-agency MBS as of a recent date. The strategy section indicates that the Fund will “maintain an average credit quality of AA.” Delete this reference to average credit quality. FINRA prohibits the disclosure of average credit quality because they think it might be confusing. Provide in plain English an explanation of the meaning of the concept of duration.
Response: The Registrant confirms that the Fund’s holdings in MBS are all agency. We have removed the referenced statement regarding average credit quality and have added the requested disclosure describing duration.
32. | Comment: |
Proxy, Page 45, Seix U.S. Government Securities Ultra-Short Bond Fund. Please disclose the credit quality policy that the Fund uses to pick investments.
Response: We have added the requested disclosure.
33. | Comment: |
Proxy, Page 45, Seix U.S. Government Securities Ultra-Short Bond Fund. Mortgage-Backed and Asset-Backed Securities is identified as a principal risk. Why is Asset-Backed Securities listed as a principal risk given that there is no reference to asset-backed securities in the strategy section?
Response: We have revised the risk disclosure to remove the reference to asset-backed securities.
34. | Comment: |
Proxy, Page 47, Seix Ultra-Short Bond. Provide the percentage of the Fund’s assets represented by non-agency MBS as of a recent date.
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Response: The Registrant confirms that the Fund’s holdings in MBS are all agency.
35. | Comment: |
Proxy, Page 47, Seix Ultra-Short Bond Fund. The strategy section indicates that the Fund may retain securities whose ratings fall below investment grade if the portfolio managers deem retention of the security to be in the Fund’s best interests. Add a reference to “junk bonds” to the foregoing disclosure.
Response: We have added the referenced disclosure.
36. | Comment: |
Proxy, Page 47, Seix Ultra-Short Bond Fund. Please disclose the credit quality policy that the Fund uses to pick investments.
Response: We have added the requested disclosure.
37. | Comment: |
Proxy, Page 47, Seix Ultra-Short Bond Fund. Please add Municipal Bond Market risk as a principal risk.
Response: Upon further consideration, we have determined that investing in taxable municipal bonds will not be a principal investment strategy of the Fund. We have therefore removed the reference to such investments rather than adding the related risk.
38. | Comment: |
Proxy, Page 50, Seix Floating Rate High Income Fund. The Fund’s strategy section indicates that the Fund invests in “debt securities that are rated below investment grade by Merrill Composite Rating or in comparable unrated securities.” Add a reference to “junk bonds” to the foregoing disclosure.
Response: We have added the requested disclosure.
39. | Comment: |
Seix Floating Rate High Income Fund. The Fund’s most recent annual report to shareholders indicates that approximately 94.0% of the Fund’s assets are invested in bank loans. Please disclose that it may take longer than seven days for transactions in bank loans to settle. In addition, please disclose how the Fund intends to meet short term liquidity needs in light of the extended settlement period.
Response: The Proxy (in Exhibit C – “Principal Risks”) states that loans settle on a delayed basis, potentially leading to the sale proceeds of loans not being available to meet redemptions for a substantial period of time after the sale of the loans. The statement of additional information (“SAI”) also states (in the “More Information About Fund Investment Strategies & Related Risks section) that loan participations and assignments may be illiquid. While we believe that the Proxy sufficiently
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discloses that the Fund’s investments in bank loans may experience delayed settlement and the associated risks, we have revised the appropriate risk disclosure to state that transactions in bank loans may take longer than seven days to settle.
As of 12/31/16, the Fund held 7.7% cash (or $398 million), and 2.9% (or $140 million) in bonds. The Fund’s subadviser believes that it could sell approximately $250 million in bank loans in a given week, and the Fund receives on average $250 million in voluntary paydowns per week, which simultaneously represent an additional 5.4% in liquidity per week. After two weeks, for example, the Fund could have approximately 25.4% of the Fund available to meet liquidity needs, or approximately 30.8% of the Fund available after three weeks.
Further, the Fund’s subadviser has been able to settle loans in less than T+7 on many occasions due to the strength of relationships the subadviser’s bank loan trading and operations have with counterparties. The bank loan operations is not outsourced, and robust controls over settlements are maintained. Importantly, the LSTA recently changed its rules to encourage quicker settlement of bank loans. Bank loan buyers and sellers are required to provide documents on ClearPar (an industry standard clearing platform) when ready to settle; that is, the loans must be on the counterparty’s books and must not be out on loan. After T+7, if, for example, the buyer has not posted its documents to indicate the loan is available for settlement, the seller keeps the income on the loan. While it is soon after the LSTA rule change, the Fund’s subadviser has noted a reduction in the number of days it takes to settle a bank loan.
In order to meet short-term liquidity needs, we also have recently obtained an order granting an exemption under sections 6(a) and 6(c) of the Investment Company Act of 1940, as amended (the “Act”), from sections 18(f) and 21(b) of the Act; (b) section 12(d)(1)(J) of the Act granting an exemption from section 12(d)(1) of the Act; (c) sections 6(c) and 17(b) of the Act granting an exemption from sections 17(a)(1), 17(a)(2) and 17(a)(3) of the Act; and (d) section 17(d) of the Act and rule 17d-1 under the Act to permit certain joint arrangements allowing for lending and borrowing among the Fund and its affiliated funds. Although we have not yet used the order, we expect it to be available for use in the event that the Fund needs it. We have added disclosure to the Proxy stating (in the “Principal Investment Strategies” section) that the Fund may borrow an amount up to 33 1/3% of its total assets (including the amount borrowed), and that such borrowings may be for investment purposes, to meet redemption requests and for temporary, extraordinary or emergency purposes.
40. | Comment: |
Seix Floating Rate High Income Fund. With respect to the Fund’s investments in bank loans, please explain supplementally and in detail how the Fund determines that the bank loans are liquid. The response should include general market data on loans and data on the liquidity of loans. The response should address the following:
· | Whether the Fund imposes any limits as a percentage of its net assets with respect to position sizes in loans; |
· | Specific measures the Fund would take if it got a large redemption request; |
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· | The existence of an active market for loans held by the Fund, including the number, diversity and quality of market participants; |
· | The frequency of trades/quotes for loans held by the Fund, including the daily trading volume; |
· | The volatility of the trading prices of loans held by the Fund; |
· | Bid/ask spreads for loans held by the Fund; |
· | Restrictions on trading and transferring loans held by the Fund; and |
· | How the Fund will be able to value loans daily. |
Response: On October 22, 2015, the staff of the Chicago Regional Office of the SEC notified the Fund’s subadviser (then and currently the subadviser of the RidgeWorth Seix Floating Rate High Income Fund, which is the Fund’s Acquired Fund)(“Seix”) of a liquidity risk management exam of, among other funds, the RidgeWorth Seix Floating Rate High Income Fund. Four examiners were on-site at Seix for four days in November 2015. The staff conducted an exit interview with Seix’s CCO on November 19, 2015. Seix received a no comment letter from the SEC dated March 7, 2016 related to this limited scope examination.
Seix monitors and tests the liquidity of the portfolio on a daily basis. Portfolio liquidity is also aided by targeting to maintain approximately 5% of the loan portfolio in cash and an additional 5% in bonds that can settle in 1-3 days. In addition, the Fund participates in a line of credit facility to assist with cash flow management and liquidity.
Seix concentrates its investments in the most liquid sector of the leveraged loan and high yield bond markets and limits potential investments to issuers with less than US$175 million in debt outstanding. The majority of the loans (over 95%) are traded by at least two market makers.
In addition, a Liquidity Score is assigned to each and every loan based on rating, coupon, size of the loan, and average life of the loan. The Liquidity Score ranges from 1-6, with 6 being the highest. A typical leveraged loan portfolio that Seix manages would have an average Liquidity Score of 4.0-4.5. During the Seix on-site visit by four examiners from the SEC’s Chicago Regional Office in November 2015, the Risk Analyst responsible for calculating the Liquidity Scores demonstrated how he calculates the Liquidity Scores for the assets in the Fund.
The (weighted) average Liquidity Score for the Acquired Fund as of 12/30/16 was 4.64248 with the following breakdown: 22.00% of the portfolio scored 6; 37.25% scored 5; 30.42% scored 4; and 10.33% scored 3. No assets scored 1 or 2 as of 12/30/16.
The chart below depicts a comprehensive overview of Seix’s secondary loan trade settlement vs. the entire market. On average, Seix has shorter monthly trade settlement times vs. the loan market (as portrayed in the top chart).
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The bottom two charts further break down the length of Seix’s trade settlements. Seix has shorter settlement times vs. the loan market from 0-7 business days.
With respect to your specific questions:
· | The Fund will have a maximum issuer limit of 5%, but the Fund’s subadviser typically does not exceed 3% of the portfolio’s market value. Industry exposure will be limited to 2X benchmark industry weight if the benchmark industry weight is more than 4% and 3X benchmark weight if the benchmark industry weight is below 4%. |
· | Please see response to Comment 39 with respect to how the Fund intends to meet short term liquidity needs in light of the extended settlement period. We note also that the Fund’s shareholder base is primarily institutional investors, and such investors typically give advance notice of large redemption requests, so the portfolio manager would typically have some time to raise cash as needed. |
· | All loans in the Fund are expected to be actively traded unless the subadviser specifically identifies them otherwise. All positions in the Fund are expected to be diverse, and the subadviser typically only deals with high quality participants. |
· | Loans are traded daily and broker quotes are sent out daily. Volumes vary day to day based on numerous factors including flows, macro and micro events, industry news, etc. |
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· | Most of the names in the Fund are on the run par loans that are traded every day by all the dealers unless otherwise identified by the subadviser. Volatility changes daily based on any news, earnings etc. |
· | Please see Attachment A for sample bid/ask spreads for loans held by the Fund. |
· | We do not anticipate any restrictions on trading or transferring loans held by the Fund. |
· | Bank Loans deemed liquid in accordance with the Fund’s Policy for the Valuation of Securities are priced daily based upon valuations provided by approved pricing sources. Such valuations are based on data from a broad range of broker/dealer trading desks that contribute observable market inputs for loans where they are making a market or provide a price perspective. If, as a result of tests performed in accordance with the Fund’s Policy for the Valuation of Securities, such prices are deemed by the Valuation Committee not to be representative of market value, the affected loan(s) will be fair valued. The primary pricing source for valuing bank loans for the Fund is Markit and the secondary pricing source is Bloomberg. Bank loans deemed illiquid in accordance with the Fund’s Policy for the Valuation of Securities are valued in generally the same manner, except that the illiquidity will be a factor in determining whether the affected loan(s) will require fair valuation. |
41. | Comment: |
Proxy, Page 56, Seix High Yield Fund. Provide in plain English an explanation of the meaning of the concept of duration.
Response: We have added the requested disclosure.
42. | Comment: |
Proxy, Page 62, Seix High Grade Municipal Bond Fund. Please disclose the Fund’s maturity policy.
Response: We have added the requested disclosure.
43. | Comment: |
For each municipal bond Fund, if the Fund invests in municipal bonds issued by Puerto Rico to the extent that it would be considered a principal strategy of the Fund, please disclose the Fund’s investments in Puerto Rico municipal securities in the Fund’s principal investment strategies and the associated risks.
Response: None of the municipal bond Funds currently invest in municipal bonds issued by Puerto Rico, and the Funds’ subadviser does not anticipate the Funds investing in municipal bonds at this time. Therefore, we have made no changes in response to this comment.
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44. | Comment: |
Proxy, Page 77, Conservative Allocation Strategy. Please disclose the Fund’s market capitalization policy for its investments in underlying equity funds and its maturity policy for its investments in underlying fixed-income funds.
Response: We have added the requested disclosure.
45. | Comment: |
Proxy, Pages 78 and 82, Conservative Allocation Strategy and Growth Allocation Strategy, respectively. We note the inclusion of “Derivatives” as a principal risk of each Fund; however, the use of derivatives is not described in the Funds’ principal investment strategies. Add derivatives to the strategy section and describe how the Funds use derivatives.
Response: We have added additional headings to indicate that the first three listed risks are those of investing in the Funds directly and the remaining listed risks are those of the Underlying Funds. The Funds do not invest in derivatives directly, but would be exposed to derivatives risk through its investment in certain Underlying Funds. We believe that with the clarity provided by the new headings in the risk disclosure, no changes are required to the Funds’ principal investment strategies.
46. | Comment: |
Proxy, Page 81, Growth Allocation Strategy Fund. Please disclose the Fund’s maturity policy for its investments in underlying fixed-income funds.
Response: We have added the requested disclosure.
47. | Comment: |
Proxy, Page 85, Moderate Allocation Strategy Fund. Please disclose the Fund’s maturity policy and credit quality policy for its investments in underlying fixed-income funds.
Response: We have added the requested disclosure.
48. | Comment: |
Proxy, Page 91, Reasons for the Proposed Reorganizations and Board Deliberations Regarding the Proposals. The Proxy notes that, when considering the proposed Reorganizations, the Board of the Acquired Funds considered, among other factors, that “there are opportunities for increased asset growth and improved economies of scale over the long term.” Please explain this statement in more depth. For example, please explain the reasons for opportunities for increased growth, such as the disclosure in the Q&A.
Response: Upon further consideration, we have deleted the referenced disclosure.
EDGAR Operations Branch
February 23, 2017
Page 16
49. | Comment: |
Proxy, Page 93, Agreement Between RW and Virtus Regarding the Reorganization. The Proxy notes that RidgeWorth and Virtus have agreed “to use reasonable best efforts to satisfy the conditions of Section 15(f).” Please revise this statement to say that the Funds “will” satisfy the conditions of Section 15(f).
Response: Although we confirm that we will satisfy the conditions of Section 15(f), the referenced section discusses the content of the agreement setting forth terms of the transaction between RidgeWorth’s sellers and Virtus. Because the disclosure correctly sets forth the content of that agreement with respect to Section 15(f), we have made no changes in response to this comment.
50. | Comment: |
Please confirm that the information beginning on page 101 of the Proxy in the pro forma capitalization tables is dated within 30 days of the date of the N-14 filing.
Response: The data in the pro forma capitalization tables is as of December 31, 2016 and therefore dated within 30 days of the date of the N-14 filing on January 25, 2017.
51. | Comment: |
Page B-2, Allocation Strategy Funds. With respect to the Industry Concentration policy for the Allocation Strategy Funds (Acquiring Funds) on page B-2, please revise the policy so that it relates to all of the Funds’ investments, rather than being limited to its investments in Underlying Funds only.
Response: We have made the requested revision.
52. | Comment: |
With respect to all Funds that invest in shares of other investment companies, please disclose that the Funds will consider the industry concentrations of the funds in which they invest when applying the Funds’ industry concentration policies. The Staff takes this position with respect to both affiliated and unaffiliated underlying funds.
Response: As disclosed in the SAI, the Funds will only look through to the securities held by an affiliated mutual fund in which the Fund invests and will not look through to the securities held by any ETFs, unaffiliated mutual funds and/or closed-end funds in which the Fund invests. This is because although information regarding holdings of underlying unaffiliated mutual funds, ETFs and/or closed-end funds may be publicly available, we do not believe that such information is available in a format that would allow efficient analysis of the information. We are not aware of any formal SEC guidance or legal requirement that funds consider the industry concentrations of the funds in which they invest when applying industry concentration policies and, therefore, we have made no changes in response to this comment.
EDGAR Operations Branch
February 23, 2017
Page 17
53. | Comment: |
In Exhibit D, please clarify which additional risks apply to each Fund, such as through a chart.
Response: We have added the requested charts.
54. | Comment: |
With respect to the disclosure in Exhibit D regarding each Fund’s portfolio managers, if a Fund has more than one portfolio manager, please disclose that the portfolio managers are jointly and primarily responsible for the management of the Fund or disclose the lead portfolio manager.
Response: We have added the requested disclosure.
55. | Comment: |
Page D-9, What are the classes and how do they differ? In the chart regarding each Fund’s Rule 12b-1 Fees, please explain the difference between “N/A” and “None.”
Response: “N/A” is used to indicate that the class of shares in that particular column are not offered by the listed Fund. “None” is used to indicate that for the class of shares in that particular column there is no 12b-1 fee for the listed fund. We have added disclosure to this effect to the introduction to the referenced chart.
56. | Comment: |
Page D-12, What arrangement is best for you?, Class A Shares. We note the disclosure regarding the increase of the CDSC for certain funds from 0.75% to 1.00%. Please include this increase in the CDSC in the disclosure to be added in response to Comment 2, above.
Response: We have added the requested disclosure.
57. | Comment: |
Page E-2, Comparison of Organizational Documents. The disclosure regarding the Acquired Funds’ shareholder voting rights states that each whole share shall be entitled to one vote. We believe that this is inconsistent with the disclosure on page 98 of the Proxy, which states that “shareholders of each Acquired Fund are entitled to one vote for each dollar of NAV.”
Response: The disclosure on page E-2 is correct. We have revised the disclosure to resolve this discrepancy.
58. | Comment: |
SAI, Page 14, Non-Public Portfolio Holdings Information. The disclosure states that Merrill Lynch is provided with non-public information regarding portfolio holdings. Please explain supplementally why Merrill Lynch receives such information.
EDGAR Operations Branch
February 23, 2017
Page 18
Response: Upon further consideration, Merrill Lynch will not receive the information for the Acquiring Funds. Therefore, we have deleted the referenced disclosure.
59. | Comment: |
SAI, Page 25, Loan and Debt Participations and Assignments. Please disclose that for assets invested in loans and loan participations, when applying a Fund’s industry concentration policy, the Fund will treat both the financial intermediary and the ultimate borrower as issuers where the Fund does not assume a contractual lending relationship with the borrower. See the “Pilgrim Prime Rate Trust” no-action letter (pub. avail. June 29, 1989).
Response: We have added the requested disclosure.
60. | Comment: |
SAI, Page 30. Municipal Securities and Related Investments. Please confirm supplementally that a Fund will look through private activity municipal debt securities whose principal and interest payments come principally from assets and revenues of non-governmental entities in order to determine the industry to which the investment should be allocated for purposes of the Fund’s industry concentration policy.
Response: The Registrant hereby confirms that a Fund will look through private activity municipal debt securities whose principal and interest payments come principally from assets and revenues of non-governmental entities in order to determine the industry to which the investment should be allocated for purposes of the Fund’s industry concentration policy.
61. | Comment: |
SAI, Page 62, Credit Default Swap Agreements. The disclosure states that “[w]ith regard to selling protection on an index (CDX), as a practical matter, the Fund would not be required to pay the full notional amount of the index; therefore, only the amount owed by the Fund, if any, on a daily mark-to-market basis is required as cover.” We note that this is inconsistent with the Staff’s position, which is that a fund should segregate the full notional value of the applicable instrument when it sells protection on an index.
Response: We believe that with respect to the CDX that the Funds would sell, the amount owed by the Fund on a daily mark-to-market basis represents appropriate segregation of assets sufficient to cover the Fund’s potential exposure. Therefore, we have made no changes in response to this comment.
62. | Comment: |
SAI, Page 90, Fundamental Investment Limitations. The disclosure following the list of fundamental investment limitations states that “the Funds will look through to the securities held by an affiliated mutual fund in which the Fund invests; however, as of the date of this SAI the Funds will not look through to the securities held by any ETFs, unaffiliated mutual funds and/or closed-end funds in which the Fund invests.” We note
EDGAR Operations Branch
February 23, 2017
Page 19
that this is inconsistent with the Staff’s position which is that a fund should consider the industry concentrations of the funds in which it invests when applying the fund’s industry concentration policies.
Response: Although information regarding holdings of underlying unaffiliated mutual funds and/or closed-end funds may be publicly available, we do not believe that such information is available in a format that would allow efficient analysis of the information. We have therefore made no changes in response to this comment.
63. | Comment: |
Part C. With respect to Undertaking (3), please confirm supplementally that the tax opinion will comply with Staff Legal Bulletin No. 19.
Response: We hereby confirm that the tax opinion to be filed by amendment will comply with Staff Legal Bulletin No. 19.
Any questions or comments with respect to this filing may be directed to the undersigned at (202) 775-1213.
Sincerely, | |
/s/John L. Chilton |
cc: | Jennifer Fromm, Esq. |
Kevin J. Carr, Esq. | |
Ann Flood | |
David C. Mahaffey, Esq. | |
Arie Heijkoop, Jr., Esq. |
EDGAR Operations Branch
February 23, 2017
Page 20
Attachment A
Bid/Ask Spreads for Loans
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX155174 | ABC Supply Company | Term Loan B - new | 0.428 | |||
LX114037 | Affinion Group Inc. | Term Loan B - 2018 | 0.676 | |||
LX154994 | Air Canada | Term Loan - 2023 | 0.688 | |||
LX146837 | Albany Molecular Research | Term Loan B | 1.000 | |||
LX137116 | Albaugh, LLC | Initial Term Loan | 0.916 | |||
LX157644 | Albertsons, LLC | 2016-1 Term B-6 Loan | 0.400 | |||
LX157642 | Albertsons, LLC | Term Loan B4 | 0.448 | |||
LX144970 | Alere Inc. | Term Loan A | 0.438 | |||
LX131927 | Allison Transmission Inc | Term Loan B-3 | 0.421 | |||
LX139174 | ALM Media, LLC | Term Loan B | 1.500 | |||
LX127370 | Alon USA Inc | MLP Term Loan | 0.500 | |||
LX159041 | Alpha 3 | Term Loan B-1 | 0.750 | |||
LX155841 | Altice Financing | Term Loan B | 0.459 | |||
LX158436 | AM General Corporation | Second Lien | 2.000 | |||
LX139396 | Amaya | First Lien Term Loan | 0.437 | |||
LX159387 | American Bath Group | Delay Draw | 0.500 | |||
LX159386 | American Bath Group | Incremental Term Loan | 0.750 | |||
LX159385 | American Bath Group | Replacement Term Loan | 0.500 | |||
LX154435 | Amplify Snack Brands, Inc. | Term Loan B | 0.500 | |||
LX159021 | AmWins Group | Second Lien | 1.000 | |||
LX159018 | AmWins Group | Term Loan | 0.475 | |||
LX156840 | Anchor Glass Container Corporation | Term Loan (Second Lien) | 1.000 | |||
LX156838 | Anchor Glass Container Corporation | Term Loan B | 0.656 | |||
LX135315 | Ardagh Holdings USA Inc. | Incremental Term Loan B | 0.425 | |||
LX146867 | Ardent Legacy Holdings | Term Loan B | 0.750 | |||
LX151070 | Aretec Group, Inc | Exit Term Loan | 0.875 | |||
LX152907 | Aretec Group, Inc | Second Lien | 0.750 | |||
LX144351 | Aria Energy Operating LLC | Term Loan B | 1.000 | |||
LX136313 | Aricent Technologies | Term Loan | 0.800 | |||
LX154119 | Aristocrat (Video Gaming Tech) | Term Loan B-1 | 0.513 | |||
LX146811 | Arris Group, Inc. | Term Loan A | 1.250 | |||
LX146813 | Arris Group, Inc. | Term Loan B 2015 | 0.531 | |||
LX146680 | Ascena Retail Group | Tranche B Term Loan | 1.286 | |||
LX157686 | Asurion, LLC (fka Asurion Corporation) | Replacement B-2 Term Loan | 0.375 | |||
LX135662 | Asurion, LLC (fka Asurion Corporation) | Second Lien | 0.479 | |||
LX159075 | Asurion, LLC (fka Asurion Corporation) | Term Loan B-4 (New) | 0.375 | |||
LX154316 | Asurion, LLC (fka Asurion Corporation) | Term Loans - PIK | 0.750 | |||
LX157884 | Atkore International, Inc. | Term Loan (2016) | 0.469 | |||
LX152027 | Atlantic Power | Term Loan | 1.000 |
EDGAR Operations Branch
February 23, 2017
Page 21
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX127190 | Atlas Iron Limited | Term Loans | 5.000 | |||
LX153911 | Avast Software B.V. (Sybil) | Term Loan B | 0.500 | |||
LX159374 | Avaya Inc. | DIP Facility | 0.750 | |||
LX135229 | Avaya Inc. | Term B-6 Loans | 1.031 | |||
LX144217 | Avaya Inc. | Term Loan B-7 | 0.945 | |||
LX158981 | Avolon | Term Loan B-2 | 0.196 | |||
LX119662 | AWAS | Term Loan | 0.625 | |||
LX134951 | Axalta Coating Systems US Holdings | Refinanced Term B Loan | 0.420 | |||
LX133413 | Azure Midstream Holdings LLC | Term Loan B | 1.750 | |||
LX156196 | Bass Pro Group | Term Loan B | 0.641 | |||
LX151892 | Beazer Homes USA | Term Loan | 1.000 | |||
LX148858 | Belk Inc | Term Loan | 0.964 | |||
LX135875 | Belmond Interfin Ltd. | Term Loan | 0.500 | |||
LX128321 | Berry Plastics Corp. | Term D Loan | 0.458 | |||
LX158899 | Berry Plastics Corp. | Term Loan I | 0.429 | |||
LX158898 | Berry Plastics Corp. | Term Loan J | 0.483 | |||
LX159355 | BJ's Wholesale Club Inc | Second Lien | 0.950 | |||
LX159354 | BJ's Wholesale Club Inc | Term Loan B | 0.437 | |||
LX155049 | Blackboard Inc | Term Loan B-4 | 0.750 | |||
LX154391 | Boyd Gaming Corp | Term B-2 Loan | 0.422 | |||
LX131658 | Boyd Gaming Corp | Term Loan B | 0.550 | |||
LX131945 | Bronco Midstream Funding, LLC | Term Loan B | 0.750 | |||
LX144613 | Burger King (1011778 B.C. / New Red) | Term Loan B 2015 | 0.325 | |||
LX149255 | Cable & Wireless Communications PLC (Sable) | Term B-1 Loan | 0.679 | |||
LX132914 | Caesars Entertainment Op Co Inc | Prop Co Term Loan | 0.625 | |||
LX149485 | Caesars Entertainment Op Co Inc | Term Loan B-5 | 0.875 | |||
LX122827 | Caesars Entertainment Op Co Inc | Term Loan B-6 Extended | 0.812 | |||
LX137320 | Caesars Entertainment Op Co Inc | Term Loan B7 | 0.625 | |||
LX159381 | Caliber Collision | Delay Draw | 0.500 | |||
LX159382 | Caliber Collision | Second Lien | 1.000 | |||
LX159380 | Caliber Collision | Term Loan B | 0.500 | |||
LX154198 | California Resources Corp | Term Loan | 0.811 | |||
LX129420 | Calpine | Construction TL B1 (2020) | 0.500 | |||
LX152606 | Calpine | Term Loan B-7 | 0.375 | |||
LX159606 | Calpine | Term Loan B-8 | 0.417 | |||
LX155002 | Camelot Finance | Term Loan B | 0.459 | |||
LX129269 | Capital Automotive LP | Second Lien | 1.026 | |||
LX129005 | Capital Automotive LP | Term Loan - 2013 | 0.532 | |||
LX129122 | Caraustar Industries, Inc. | Term Loan B | 0.563 | |||
LX155372 | Casella Waste Systems | Term Loan B | 0.500 | |||
LX154102 | Cavium, Inc. | Term B Loan | 0.500 |
EDGAR Operations Branch
February 23, 2017
Page 22
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX155383 | CBS Radio Inc. | Term Loan B | 0.561 | |||
LX138001 | CD&R Millennium LLC (Mauser) | First Lien Term Loan | 0.583 | |||
LX138005 | CD&R Millennium LLC (Mauser) | Second Lien | 0.950 | |||
LX137951 | CDRH (Healogics) | Term Loan B | 0.780 | |||
LX159044 | Charter Comm Operating, LLC | Term Loan E-1 | 0.281 | |||
LX159045 | Charter Comm Operating, LLC | Term Loan F-1 | 0.333 | |||
LX158176 | Charter Comm Operating, LLC | Term Loan H-1 | 0.328 | |||
LX158178 | Charter Comm Operating, LLC | Term Loan I-1 | 0.292 | |||
LX154538 | Chesapeake Energy Corp. | Term Loan | 0.750 | |||
LX136974 | Chief Exploration & Development LLC | Second Lien | 0.917 | |||
LX143176 | CITGO Petroleum Corp. | Term Loan B 2015 | 0.833 | |||
LX154968 | Coinstar (Outerwall) | Second Lien | 1.333 | |||
LX154967 | Coinstar (Outerwall) | Term B Loan (First Lien) | 0.500 | |||
LX158071 | Columbus Mckinnon | Term Loan B | 0.500 | |||
LX148735 | Commercial Barge Line Company | Term Loan B 2022 | 2.667 | |||
LX143949 | Communications Sales & Leasing Inc | Term Loan | 0.450 | |||
LX134903 | Community Health Systems, Inc. | Term Loan A - 2019 | 0.518 | |||
LX143540 | Community Health Systems, Inc. | Term Loan F | 0.500 | |||
LX144539 | Community Health Systems, Inc. | Term Loan G | 0.773 | |||
LX144540 | Community Health Systems, Inc. | Term Loan H | 0.729 | |||
LX129422 | CompuCom Systems, Inc. | Term Loan B | 2.625 | |||
LX148664 | Computer Sciences Government Services Inc. | Term Loan B | 0.500 | |||
LX159760 | Compuware Corporation | Term Loan B-3 | 0.650 | |||
LX148270 | Concordia Healthcare Corp | Initial Dollar Term Loan | 1.812 | |||
LX157986 | Consolidated Communications Inc | Incremental Term Loan | 0.447 | |||
LX155562 | ConvaTec Healthcare | Term B Loan | 0.625 | |||
LX155379 | Cortes NP Acquisition | Term Loan B | 0.500 | |||
LX148185 | Coty Inc | Term B Loan | 0.593 | |||
LX129978 | Crestwood | Term Loan B-1 | 0.667 | |||
LX154963 | CSC Holdings Inc. | Term Loan B (2016) | 0.833 | |||
LX134252 | Cumulus Media | Term Loan B | 1.473 | |||
LX155963 | CWGS Group, LLC | Term Loan B - 2023 | 0.500 | |||
LX152608 | Cypress Semiconductor Corporation | Term Loan B | 0.500 | |||
LX145044 | Dae Aviation Holdings | Term Loan B | 0.600 | |||
LX150045 | Dell | Term A2 Loan | 0.387 | |||
LX152700 | Dell | Term A3 Loan | 0.375 | |||
LX150043 | Dell | Term Loan B | 0.500 | |||
LX135501 | Deluxe Entertainment Services Group | Term Loan | 0.750 |
EDGAR Operations Branch
February 23, 2017
Page 23
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX153564 | Diamond Resorts Corp | Term Loan B | 0.750 | |||
LX157687 | DigitalGlobe Inc. | Term Loan | 0.334 | |||
LX145141 | Dollar Tree Inc | Term Loan B-2 - Fixed TL | 0.625 | |||
LX155094 | Donnelley Financial Solutions | Term B Loan | 0.373 | |||
LX147102 | DTZ US Borrower LLC | 2015-1 Additional Term Loan (First Lien) | 0.391 | |||
LX141570 | DTZ US Borrower LLC | Second Lien | 0.583 | |||
LX144577 | Dynacast International LLC | Term Loan B-1 | 0.750 | |||
LX153273 | Dynegy, Inc. | Term Loan C | 0.432 | |||
LX140953 | Eastern Power, LLC (TPF II) | Term Loan | 0.458 | |||
LX131438 | Eastman Kodak Company | Exit Term Loan | 0.875 | |||
LX153086 | EFS Cogen Holdings I LLC | Term Loan B | 0.482 | |||
LX150821 | EIG Investors Corp | Term Loan | 0.458 | |||
LX142541 | Emdeon Inc | Term B-3 Loan | 0.282 | |||
LX129150 | Emdeon Inc | Term Loan B-2 | 0.291 | |||
LX139053 | Emerald Performance Materials, LLC | Initial Term Loan (First Lien) | 0.563 | |||
LX139054 | Emerald Performance Materials, LLC | Second Lien | 0.812 | |||
LX128903 | EMG Utica | Term Loan | 0.583 | |||
LX135763 | Empire Generating Co, LLC | Term Loan B | 1.000 | |||
LX135753 | Empire Generating Co, LLC | Term Loan C | 1.000 | |||
LX145129 | Endo Pharmaceutical | Term Loan B | 0.389 | |||
LX133675 | Energy Transfer Equity LP | Term Loan B | 0.575 | |||
LX159614 | Energy Transfer Equity LP | Term Loan B (2017) | 0.000 | |||
LX154036 | Engility Corp | Term Loan B-1 | 0.563 | |||
LX154035 | Engility Corp | Term Loan B-2 | 0.563 | |||
LX154464 | Epicor Software Corporation | Term Loan B-1 | 0.250 | |||
LX154406 | ESH Hospitality, Inc. | Term Loan | 0.679 | |||
LX129102 | Evertec Group, LLC | Term A Loan | 0.813 | |||
LX156808 | EVO Payments International | Second Lien | 1.000 | |||
LX156806 | EVO Payments International | Term Loan B | 0.375 | |||
LX152084 | Explorer Holdings | Term Loan B | 0.687 | |||
LX136121 | Fairmount Minerals, Ltd. | New Term Loan B-2 | 0.500 | |||
LX136188 | Federal-Mogul | Term Loan B | 0.469 | |||
LX136189 | Federal-Mogul | Term Loan C | 0.528 | |||
LX155529 | First Data Corporation | Term Loan | 0.313 | |||
LX158853 | First Data Corporation | Term Loan A | 0.458 | |||
LX157234 | First Data Corporation | Term Loan B (2016) | 0.333 | |||
LX157924 | Flex Acquisition Company, Inc. (Novolex) | Initial Term Loan | 0.375 | |||
LX133573 | Fortescue Metals Group (FMG) | Cov-Lite Term Loan | 0.329 | |||
LX134485 | Four Seasons Holdings Inc. | Term Loan (12/13) | 0.422 | |||
LX136541 | Frac Tech International | Term Loan B - 2014 | 1.833 | |||
LX137851 | Gates Global LLC | Term Loan B | 0.444 | |||
LX139312 | Gemini HDPE LLC | Term Loan B | 0.500 | |||
LX155009 | GFL Environmental | Term Loan B | 0.562 |
EDGAR Operations Branch
February 23, 2017
Page 24
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX153274 | Global Brass and Copper, Inc. | Term Loan B | 0.500 | |||
LX141038 | Global Cash Access | Term B Loan | 0.500 | |||
LX156755 | Globallogic Holdings Inc, | Term Loan B | 0.875 | |||
LX151642 | GLP Capital LP (Gaming & Leisure) | Incremental Tranche A-1 | 0.792 | |||
LX155893 | Grande Communications | Bridge Facility | 0.000 | |||
LX147756 | Greatbatch, Ltd. | Term Loan B | 0.425 | |||
LX158207 | Grifols, Inc | Term Loan B (2017) | 0.325 | |||
LX154556 | Grosvenor Capital Mngt Hlgs LLP | Term Loan | 1.000 | |||
LX141243 | Halyard Health, Inc. | Term Loan | 0.542 | |||
LX154324 | Harbor Freight Tools USA, Inc. | Term Loan | 0.607 | |||
LX135265 | Harland Clarke Holdings | Cov-Lite Term Loan B-4 | 0.938 | |||
LX129189 | Harland Clarke Holdings | Term Loan B3 | 0.750 | |||
LX153013 | Harland Clarke Holdings | Term Loan B-5 | 1.000 | |||
LX130741 | Harvey Gulf Int'l Marine | Term Loan A | 1.750 | |||
LX130275 | Harvey Gulf Int'l Marine | Term Loan B | 1.666 | |||
LX154200 | HCA Inc | Term Loan B-7 | 0.396 | |||
LX153003 | Hertz Corp. | Term Loan B1 | 0.422 | |||
LX132801 | Hilton Worldwide Finance, LLC. | Term Loan B-1 | 0.725 | |||
LX154239 | Hilton Worldwide Finance, LLC. | Term Loan B-2 | 0.443 | |||
LX147151 | Hudson's Bay Company | Term Loan B - 2022 | 0.750 | |||
LX128470 | Iasis Healthcare Corporation | Term Loan B - 2013 | 0.604 | |||
LX134609 | IHeart Communications | Term Loan E | 1.084 | |||
LX151480 | Imagine Print Solutions, Inc | Term Loan B | 0.750 | |||
LX155894 | IMS Healthcare | Term Loan B - 2021 | 0.650 | |||
LX142784 | Indivior Finance S.Ã r.l. | Term Loan B | 0.500 | |||
LX123898 | Ineos Group Holdings PLC | Dollar Term Loans - 2018 | 0.362 | |||
LX144978 | Ineos Group Holdings PLC | Dollar Term Loans - 2020 | 0.541 | |||
LX143587 | Ineos Group Holdings PLC | Term Loan - 2022 | 0.625 | |||
LX155053 | INEOS Styrolution Group GmbH | Term Loan B | 0.583 | |||
LX141522 | Inovalon Holdings | Term Loans | 1.000 | |||
LX133643 | Internap Network Services | Term Loan | 2.000 | |||
LX154353 | inVentiv Health, Inc. | Term Loan B | 0.431 | |||
LX138939 | iParadigms Holdings LLC | First Lien Term Loan | 0.875 | |||
LX144340 | IPC Corp. | Term B-1 Loans | 1.000 | |||
LX135318 | iQor US Inc. | Term Loan B | 1.500 | |||
LX153187 | iStar Financial Inc. | Term Loan B | 0.750 | |||
LX135737 | J Crew Group Inc | Term Loan B | 1.450 | |||
LX149138 | JBS USA LLC | Term Loan | 0.500 | |||
LX119308 | JBS USA LLC | Term Loan B | 0.583 | |||
LX159478 | JBS USA LLC | Term Loan B (2017) | 0.500 | |||
LX132425 | JBS USA LLC | Term Loan B-2 | 0.500 | |||
LX153006 | JC Penney | Term Loan B | 0.375 | |||
LX155106 | JDA Software Group, Inc (RP Crown) | Term Loan B | 0.625 | |||
LX155531 | K&N Parent | Initial Term Loan | 1.000 |
EDGAR Operations Branch
February 23, 2017
Page 25
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX155533 | K&N Parent | Second Lien | 2.000 | |||
LX136372 | Kate Spade & Company | Term Loan B | 0.667 | |||
LX137173 | KCA Deutag | Term Loan | 1.800 | |||
LX150732 | Keurig Green Mountain, Inc | Term Loan A | 0.666 | |||
LX150733 | Keurig Green Mountain, Inc | Term Loan B | 0.625 | |||
LX136051 | Kindred Healthcare Inc. | Term Loan B | 0.667 | |||
LX159619 | Kinetic Concepts | Term Loan B (2017) | 0.000 | |||
LX153058 | Kinetic Concepts | Term Loan F-1 | 0.453 | |||
LX157928 | Kraton Polymers | Term Loan B (2016) | 0.354 | |||
LX135546 | La Quinta Intermediate Holdings | Term Loan B | 0.500 | |||
LX158814 | LANDesk Software | Term Loan B | 0.464 | |||
LX155084 | Landry's Inc. | Term Loan B (2016) | 0.518 | |||
LX149421 | Lannett Company, Inc | Term Loan A | 1.000 | |||
LX147747 | Lannett Company, Inc | Term Loan B | 1.167 | |||
LX158274 | Las Vegas Sands | Term Loan B | 0.375 | |||
LX156663 | Learfield Communications | Term Loan | 0.500 | |||
LX152940 | Leidos (Abacus Innovations Corp) | Term Loan B | 0.375 | |||
LX131913 | Level 3 Communications | Term loan B-4 - 2020 | 0.350 | |||
LX138016 | Liberty Cablevision of Puerto Rico | First Lien Term Loan | 0.750 | |||
LX138017 | Liberty Cablevision of Puerto Rico | Second Lien - 2014 | 2.000 | |||
LX144635 | Ligado Networks (fka New LightSquared) | First Lien Term Loan | 0.813 | |||
LX148810 | Ligado Networks (fka New LightSquared) | Loans | 2.000 | |||
LX153563 | Lions Gate Entertainment | Term Loan A | 0.500 | |||
LX153562 | Lions Gate Entertainment | Term Loan B | 0.625 | |||
LX143826 | Longview Power | Term Loan B | 2.000 | |||
LX154539 | LS Deco LLC (Leighton) | Term Loan B | 0.750 | |||
LX143750 | LTI Boyd Corporation | Second Lien | 3.000 | |||
LX128970 | LTS Buyer LLC (Light Tower) | Term Loan | 0.750 | |||
LX136922 | M/A-COM Technology Solutions | Term Loan | 0.750 | |||
LX155517 | MacDermid Inc. (Platform) | Term Loan B-4 | 0.532 | |||
LX157014 | MacDermid Inc. (Platform) | Term Loan B5 | 0.475 | |||
LX135580 | Mallinckrodt plc | Term Loan B | 0.425 | |||
LX129953 | MCC Iowa (Broadband) | Term Loan H | 0.500 | |||
LX152400 | McGraw-Hill Global Education Holdings LLC | Term Loan - 2022 | 1.125 | |||
LX159276 | Mediacom LLC | Term Loan K | 0.500 | |||
LX139558 | MediArena Acquisition (Endemol) | First Lien Term Loan | 1.643 | |||
LX159204 | MEG Energy Corp | Term Loan B | 0.479 | |||
LX136368 | Men's Wearhouse, Inc. | Term Loan B | 0.750 | |||
LX143956 | Men's Wearhouse, Inc. | Term Loan B1 (Fixed) | 1.000 | |||
LX144578 | Merrill Communications LLC | Term Loan - 2022 | 0.500 |
EDGAR Operations Branch
February 23, 2017
Page 26
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX152177 | MGM Growth Properties | Term Loan B | 0.428 | |||
LX152536 | MGM Resorts | Term Loan A | 0.750 | |||
LX159514 | Milacron Inc. | Term Loan B (2017) | 0.500 | |||
LX154074 | Milk Specialties | Term Loan B | 0.625 | |||
LX145694 | Minerals Technologies Inc. | Term Loan B-1 - Floating TL | 0.750 | |||
LX145695 | Minerals Technologies Inc. | Term Loan B-2 - Fixed TL | 0.500 | |||
LX155368 | Mission / Nexstar Broadcasting | Term Loan B - Mission | 0.459 | |||
LX155123 | Mission / Nexstar Broadcasting | Term Loan B - Nexstar | 0.459 | |||
LX155230 | Mohegan Tribal Gaming | Term Loan B (2016) | 0.482 | |||
LX144529 | MPG Holdco (Metaldyne) | Term Loan B - new | 0.375 | |||
LX154155 | MRP Generation Holdings, LLC (TPF) | Term Loan B (2016) | 0.250 | |||
LX152711 | MultiPlan Inc | Term Loan B | 0.396 | |||
LX144859 | Navios Maritime Midstream Partners LP | Term Loan | 0.875 | |||
LX130422 | Navios Maritime Partners LP | Term Loan B | 1.000 | |||
LX152398 | NBTY (Nature's Bounty Co.) | Term Loan B | 0.437 | |||
LX155255 | Nielsen Finance LLC | Term Loan B-3 | 0.516 | |||
LX153092 | NRG Energy Inc | Term Loan B | 0.375 | |||
LX155719 | Numericable U.S. LLC | Term Loan B-10 | 0.333 | |||
LX152260 | Numericable U.S. LLC | Term Loan B-7 | 0.563 | |||
LX157136 | Ocwen Financial Corporation | Term Loan | 0.500 | |||
LX147869 | Olin Corporation (Blue Cube) | Term Loan A | 0.250 | |||
LX128332 | On Semiconductor Corp | Loan | 0.500 | |||
LX133832 | Opal Acquisition (One Call Medical) | Term Loan | 1.000 | |||
LX158909 | Optiv Security | Second Lien | 0.750 | |||
LX158907 | Optiv Security | Term Loan | 0.416 | |||
LX136855 | OSG Bulk Ships, Inc. | Initial Term Loan | 0.750 | |||
LX137381 | Otter Products, LLC | Term Loan B | 1.000 | |||
LX124812 | Paradigm | Term C Loan | 3.000 | |||
LX158975 | Penn National Gaming | Term Loan B | 0.500 | |||
LX128825 | Philadelphia Energy Solutions | Term Loan | 2.000 | |||
LX131635 | Playa Resorts Holding | Term Loan B | 0.687 | |||
LX129414 | Power Buyer, LLC | Second Lien | 1.000 | |||
LX129413 | Power Buyer, LLC | Term Loan | 0.792 | |||
LX158998 | Presidio, Inc. | Term B Loan | 0.469 | |||
LX159002 | Prestige Brands Inc | Term Loan B-4 | 0.521 | |||
LX157682 | Prime Security Services | Term B-1 Loans | 0.531 | |||
LX156414 | ProAmpac | Term Loan B | 0.406 | |||
LX131612 | Quebecor Media | Term Loan B | 0.458 | |||
LX155015 | Quest Software (Seahawk) | Term Loan B | 0.593 | |||
LX155959 | Quikrete Holdings, Inc. | Term Loan B | 0.361 | |||
LX148234 | Quincy Newspapers | Term Loan B | 0.750 | |||
LX152098 | Quorum Health | Term Loan B | 0.547 | |||
LX155291 | Rackspace Hosting, Inc. | Term Loan B | 0.625 |
EDGAR Operations Branch
February 23, 2017
Page 27
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX157714 | Radiate Holdco | Term Loan B | 0.438 | |||
LX158973 | Realogy Corporation | Term Loan B (2017) | 0.500 | |||
LX154936 | Redbox Automated Retail | Term Loan | 1.000 | |||
LX153887 | Reynolds Group Holdings | US Term Loan | 0.414 | |||
LX137932 | Rovi Solutions Corporation | Term Loan B | 0.450 | |||
LX155323 | Royalty Pharma (aka RPI) | Term Loan B-5 | 0.450 | |||
LX152375 | Russell Investments | Term Loan B | 0.542 | |||
LX154015 | Safway Group Holding LLC | Term Loan B | 0.459 | |||
LX135455 | SBA Communications Corp. | Tranche B-1 Term Loan | 0.417 | |||
LX129908 | Scientific Games Inc. | Term Loan B | 0.339 | |||
LX140854 | Scientific Games Inc. | Term Loan B-2 | 0.479 | |||
LX151990 | Sears Roebuck Acceptance Corp. | Term Loan | 0.812 | |||
LX147794 | Sears Roebuck Acceptance Corp. | Term Loan B | 0.500 | |||
LX135266 | Sedgwick, Inc. | First Lien Term Loan | 0.584 | |||
LX135270 | Sedgwick, Inc. | Second Lien | 0.583 | |||
LX141423 | Sedgwick, Inc. | Second Lien - Add-On | 0.625 | |||
LX155523 | Serta Simmons Bedding | Initial Term Loan (First Lien) | 0.518 | |||
LX134298 | Sheridan Production Partners | Term Loan II-A | 2.000 | |||
LX134305 | Sheridan Production Partners | Term Loan II-M | 2.000 | |||
LX134301 | Sheridan Production Partners | Term Loan II-SIP | 2.000 | |||
LX136338 | Signode Industrial Group US Inc. | Term Loan B | 0.500 | |||
LX158094 | Sinclair Broadcasting Group | Term Loan B-2 | 0.458 | |||
LX156310 | Sirius Computer Solutions (SCS) | Term Loan B | 0.719 | |||
LX154344 | SolarWinds | Term Loan B - new | 0.518 | |||
LX151194 | Solera | Term Loan B | 0.430 | |||
LX159036 | Sophia LP | Term Loan B | 0.344 | |||
LX133756 | Southern Graphics Inc. | Term Loan - 2013 | 0.500 | |||
LX129663 | Spin Holdco (Coinmach) | Term Loan B | 0.446 | |||
LX159257 | Sprint Communications | Term Loan B | 0.000 | |||
LX145794 | SS&C Technologies | Term Loan B-1 (2022) | 0.500 | |||
LX145795 | SS&C Technologies | Term Loan B-2 (2022) | 0.500 | |||
LX152959 | St. George's University Scholastic Services | Term Loan B | 0.875 | |||
LX152816 | Station Casinos | Term Loan B | 0.515 | |||
LX141832 | Sutherland Global Services | Initial Cayman Term Loan | 1.000 | |||
LX141524 | Sutherland Global Services | Initial US Term Loan | 1.000 | |||
LX153828 | Symantec Corporation | Term A-2 Loan | 1.000 | |||
LX153829 | Symantec Corporation | Term A-3 Loan | 1.000 | |||
LX158771 | Synchronoss Technologies | Term Loan B | 0.437 | |||
LX155510 | Talen Energy Supply | Term Loan B | 0.625 | |||
LX156377 | Team Health | Term Loan | 0.375 | |||
LX155779 | Texas Competitive Electric | Term Loan | 0.250 | |||
LX155780 | Texas Competitive Electric | Term Loan C | 0.250 |
EDGAR Operations Branch
February 23, 2017
Page 28
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX159454 | TKC Holdings, Inc. | Term Loan B | 0.000 | |||
LX135173 | Tower Auto Holdings | Term Loan B - 2020 | 0.375 | |||
LX131562 | Toys R Us Property Company | Initial Term Loan | 1.833 | |||
LX141655 | Toys R Us-Delaware, Inc. | FILO CAD Term Loan | 1.000 | |||
LX141528 | Toys R Us-Delaware, Inc. | FILO US Term Loan | 1.000 | |||
LX123555 | Toys R Us-Delaware, Inc. | Term B-3 Loan | 2.400 | |||
LX141526 | Toys R Us-Delaware, Inc. | Term Loan B4 | 1.700 | |||
LX137398 | TransDigm Inc. | Term Loan D | 0.484 | |||
LX144552 | TransDigm Inc. | Term Loan E | 0.462 | |||
LX153128 | TransDigm Inc. | Term Loan F | 0.431 | |||
LX144775 | TransUnion LLC | Term Loan B-2 | 0.375 | |||
LX158969 | Travelport | Term Loan C | 0.417 | |||
LX145376 | Tribune Media Company | Term Loan B | 0.625 | |||
LX159214 | Tribune Media Company | Term Loan C | 0.458 | |||
LX144287 | TTM Technologies | Term Loan | 0.500 | |||
LX154099 | UFC Holdings (Buyer) | Second Lien | 1.000 | |||
LX153867 | UFC Holdings (Buyer) | Term Loan B - 2023 | 0.542 | |||
LX158999 | Univar | Term Loan B2 | 0.359 | |||
LX134926 | Univision Comm (fka Umbrella) | Replacement First-Lien Term Loans | 0.361 | |||
LX129975 | Univision Comm (fka Umbrella) | TL C-3 (2013 Inc. Term Loans) | 0.400 | |||
LX154034 | UPC Financing | Term Loan AN | 0.641 | |||
LX153134 | US Foods Inc. | Term Loan B | 0.438 | |||
LX157414 | USIC Holdings Inc. | Term Loan | 0.750 | |||
LX134654 | Valeant Pharmaceuticals International | Series A-3 Tranche A Term Loan | 0.437 | |||
LX143618 | Valeant Pharmaceuticals International | Series A-4 Tranche A Term Loan | 0.500 | |||
LX132659 | Valeant Pharmaceuticals International | Series C-2 Tranche B Term Loan | 0.391 | |||
LX132660 | Valeant Pharmaceuticals International | Series D-2 Tranche B Term Loan | 0.375 | |||
LX130609 | Valeant Pharmaceuticals International | Series E Tranche B Term Loan | 0.334 | |||
LX142296 | Varsity Brands (Hercules Achievement) | Term Loan B | 0.562 | |||
LX158069 | Vertafore, Inc. (VF Holding) | Term Loan (2016) | 0.429 | |||
LX141120 | Victory Capital Management | Term Loan B | 1.000 | |||
LX157822 | Virgin Media Invst Hlds Ltd | Term Loan I | 0.343 | |||
LX157720 | Vistra Operations Company LLC | 2016 Incremental Term Loan | 0.417 | |||
LX135397 | Viva Alamo LLC | Term Loan B | 0.750 | |||
LX155282 | Vivid Seats LLC | Term Loan B | 0.750 | |||
LX143563 | Wabash National Corporation | Term Loan B | 0.625 | |||
LX134289 | Walter Investment Management | Term Loan B | 0.719 | |||
LX128907 | Weight Watchers International Inc | Term Loan B-2 | 1.000 | |||
LX157879 | WestCorp | Term Loan B12 | 0.500 |
EDGAR Operations Branch
February 23, 2017
Page 29
LX ID | Issuer_Name | Asset_Name | Spread | |||
LX157880 | WestCorp | Term Loan B14 | 0.417 | |||
LX151848 | Western Digital Corporation | Term Loan A | 0.583 | |||
LX154422 | Western Digital Corporation | Term Loan B (2016) | 0.700 | |||
LX133873 | Western Refining | Term Loan B | 0.375 | |||
LX152789 | Western Refining | Term Loan B-2 | 0.375 | |||
LX154320 | WideOpenWest Finance LLC | Term Loan B | 0.458 | |||
LX135748 | WME IMG Holdings LLC | Initial Term Loan | 0.700 | |||
LX135762 | WME IMG Holdings LLC | Second Lien | 1.000 | |||
LX145776 | WP CPP Holdings | Term B-3 Loan | 0.750 | |||
LX142344 | Wynn America | Tranche A Term Loans | 0.875 | |||
LX156731 | Xerox Business Services (Conduent) | Term Loan B | 0.500 | |||
LX158900 | Zayo Group LLC | Term Loan B-2 (2017) | 0.416 | |||
LX159094 | Zayo Group LLC | Term Loan B-3 | 0.416 | |||
LX152890 | Zekelman Industries (fka JMC Steel) | Term Loan B | 0.583 | |||
LX135441 | Ziggo B.V. | Term Loan B1 | 0.469 | |||
LX135442 | Ziggo B.V. | Term Loan B2 | 0.469 | |||
LX135443 | Ziggo B.V. | Term Loan B3 | 0.469 | |||
LX159375 | Ziggo B.V. | Term Loan E | 0.427 |