Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Variable Rate Senior Loan
Interests ** 99.6% |
||||||||||||
Aerospace/Defense 0.6% |
||||||||||||
$ | 2,371 | Decrane Aircraft
Holdings, Inc., Term
Loan |
3.24% | 02/21/13 | $ | 1,333,599 | ||||||
2,246 | IAP Worldwide
Services, Inc., Term
Loan (a) |
8.25 | 12/30/12 | 1,291,336 | ||||||||
2,000 | Wesco Aircraft
Hardware Corp.,
Term Loan |
6.18 | 03/28/14 | 1,425,000 | ||||||||
4,049,935 | ||||||||||||
Automotive 1.2% |
||||||||||||
3,197 | Acument Global
Technologies, Inc.,
Term Loan |
4.72 | 08/11/13 | 1,478,467 | ||||||||
1,667 | Ford Motor Co., Term
Loan |
3.46 to 4.14 | 12/16/13 | 1,055,682 | ||||||||
4,145 | Metokote Corp., Term
Loan |
3.44 to 4.04 | 11/27/11 | 2,445,705 | ||||||||
533 | Navistar International
Corp., Revolving
Credit Agreement |
3.66 to 3.68 | 01/19/12 | 436,381 | ||||||||
1,467 | Navistar International
Corp., Term Loan |
3.66 to 7.22 | 01/19/12 | 1,200,047 | ||||||||
1,005 | Precision Partners,
Inc., Term Loan |
8.75 | 08/26/13 | 562,573 | ||||||||
500 | TRW Automotive, Inc.,
Term Loan |
2.00 | 02/09/14 | 335,833 | ||||||||
7,514,688 | ||||||||||||
Banking 0.5% |
||||||||||||
3,956 | Dollar Financial Corp.,
Term Loan |
3.97 | 10/30/12 | 3,105,695 | ||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Beverage, Food & Tobacco 7.5% |
||||||||||||
$ | 10,192 | BE Foods Investments,
Inc., Term Loan (a) |
6.22% | 07/11/12 | $ | 7,134,674 | ||||||
4,742 | Coleman Natural
Foods, LLC, Term
Loan |
8.21 to 8.31 | 08/22/12 | 3,414,018 | ||||||||
6,123 | Dole Food Co., Inc.,
Term Loan |
7.25 to 8.00 | 04/12/13 | 5,893,020 | ||||||||
10,000 | DSW Holdings, Inc.,
Term Loan |
4.45 | 03/02/12 | 5,650,000 | ||||||||
12,000 | Farleys & Sathers
Candy Co., Inc.,
Term Loan |
8.44 to 8.48 | 03/24/11 | 9,900,000 | ||||||||
| 1,276 | Foodvest Limited,
Term Loan (Sweden) |
5.85 | 10/02/16 | 1,410,916 | |||||||
5,000 | FSB Holdings, Inc.,
Term Loan |
6.19 | 03/29/14 | 2,600,000 | ||||||||
| 1,977 | Liberator Midco
Limited, Term Loan
(United Kingdom) |
3.22 to 3.60 | 11/03/14 to 11/03/15 | 2,346,290 | |||||||
3,000 | LJVH Holdings, Inc., Term
Loan (Canada) |
6.72 | 01/19/15 | 1,350,000 | ||||||||
| 3,594 | Panrico, Inc., Term
Loan (Spain) |
6.68 to 7.06 | 05/30/14 to 05/29/15 | 2,984,238 | |||||||
7,091 | Pinnacle Foods
Finance, LLC, Term
Loan |
3.25 | 04/02/14 | 5,945,712 | ||||||||
48,628,868 | ||||||||||||
Broadcasting Cable 5.8% |
||||||||||||
5,000 | CCO Holdings, LLC,
Term Loan (b) |
6.75 | 09/06/14 | 3,340,000 | ||||||||
6,000 | Charter
Communications
Operating, LLC, Term
Loan (b) |
6.25 | 03/06/14 | 5,077,500 | ||||||||
11,489 | CSC Holdings, Inc.,
Term Loan |
1.45 | 02/24/12 | 10,765,539 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Broadcasting Cable (continued) |
||||||||||||
| 13,600 | Kabel
Baden-Wuerttemberg
GmbH, Term Loan
(Germany) |
3.50 to 4.00% | 06/09/14 to 06/09/15 | $ | 14,953,146 | ||||||
$ | 4,158 | Knology, Inc., Term
Loan |
2.75 | 06/30/12 | 3,601,468 | |||||||
37,737,653 | ||||||||||||
Broadcasting Diversified 0.8% |
||||||||||||
7,875 | Alpha Topco Ltd.,
Term Loan (United
Kingdom) |
2.80 to 5.31 | 12/31/13 to 06/30/14 | 4,380,750 | ||||||||
937 | Cumulus Media, Inc.,
Term Loan |
2.21 | 06/11/14 | 477,709 | ||||||||
545 | NEP II, Inc., Term Loan |
2.69 | 02/16/14 | 466,320 | ||||||||
5,324,779 | ||||||||||||
Broadcasting Radio 1.0% |
||||||||||||
1,867 | CMP KC, LLC, Term
Loan (d) |
4.50 | 05/03/11 | 506,822 | ||||||||
5,071 | CMP Susquehanna
Corp., Term Loan |
2.47 to 2.50 | 05/05/13 | 2,256,446 | ||||||||
1,839 | Multicultural Radio
Broadcasting, Inc.,
Term Loan |
3.24 | 12/18/12 | 1,232,381 | ||||||||
1,264 | NextMedia Operating,
Inc., Term Loan |
5.25 to 6.25 | 11/15/12 | 623,521 | ||||||||
4,534 | NextMedia Operating,
Inc., Term
Loan (a)(e) |
8.46 | 11/15/13 | 804,862 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Broadcasting Radio (continued) |
||||||||||||
$ | 2,476 | Spanish Broadcasting
Systems, Inc., Term
Loan |
2.97% | 06/11/12 | $ | 909,975 | ||||||
6,334,007 | ||||||||||||
Broadcasting Television 0.9% |
||||||||||||
2,694 | FoxCo Acquisition,
LLC, Term Loan |
7.25 | 07/14/15 | 1,656,649 | ||||||||
642 | High Plains
Broadcasting
Operating Co., LLC,
Term Loan |
7.25 | 09/14/16 | 261,756 | ||||||||
2,428 | Newport Television,
LLC, Term Loan |
8.00 | 09/14/16 | 989,398 | ||||||||
11,646 | NV Broadcasting, LLC,
Term Loan (e) |
5.25 to 8.75 | 11/01/13 to 11/01/14 | 1,202,604 | ||||||||
2,301 | Univision
Communications,
Inc., Term Loan |
2.68 | 09/29/14 | 1,461,034 | ||||||||
5,571,441 | ||||||||||||
Buildings & Real Estate 2.4% |
||||||||||||
2,000 | El Ad IDB Las Vegas,
LLC, Term Loan |
4.47 | 08/09/12 | 1,550,000 | ||||||||
3,000 | FX Luxury Las Vegas I,
LLC, Term Loan (e) |
11.25 | 06/30/09 | 225,000 | ||||||||
2,979 | Ginn LA CS Borrower,
LLC, Term Loan (e) |
6.20 to 7.75 | 06/08/11 | 264,415 | ||||||||
4,500 | Ginn LA CS Borrower,
LLC, Term
Loan (d)(e) |
10.20 | 06/08/12 | 9,000 | ||||||||
4,019 | Kuilima Resort Co.,
Term Loan (a)(d)(e) |
20.21 | 09/30/11 | 0 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real Estate (continued) |
||||||||||||
$ | 74 | Kuilima Resort Co.,
Term
Loan (a)(d)(e)(f) |
25.48% | 10/01/08 | $ | 0 | ||||||
5,000 | Kyle Acquisition Group,
LLC, Term Loan (e) |
5.75 to 6.00 | 07/20/09 to 07/20/11 | 338,125 | ||||||||
1,875 | Lake at Las Vegas
Joint Venture, LLC,
Revolving Credit Agreement (a)(b)(e) |
16.10 | 06/20/12 | 119,033 | ||||||||
3,050 | Lake at Las
Vegas Joint Venture, LLC, Term Loan (a)(b)(d)(e) |
7.93 | 08/20/09 | 2,785,138 | ||||||||
16,206 | Lake at Las Vegas
Joint Venture, LLC,
Term
Loan (a)(b)(e) |
14.35 to 16.10 | 06/20/12 | 1,029,102 | ||||||||
627 | Landsource
Communities
Development, LLC,
Revolving Credit
Agreement |
9.50 | 05/31/09 | 593,106 | ||||||||
2,292 | Landsource
Communities
Development, LLC,
Term Loan (a)(b)(e) |
8.25 | 05/31/09 | 452,737 | ||||||||
2,012 | NLV Holdings, LLC,
Term Loan (a) |
10.68 | 05/09/12 | 150,868 | ||||||||
4,994 | Pivotal Promontory,
LLC, Term
Loan (b)(d)(e) |
7.00 to 8.75 | 08/31/10 to 08/31/11 | 0 | ||||||||
877 | Realogy Corp., Term
Loan |
3.50 to 4.18 | 10/10/13 | 571,676 | ||||||||
4,498 | Rhodes Ranch General
Partnership, Term
Loan (a)(b)(e) |
3.25 to 7.50 | 11/21/10 to 11/21/11 | 977,653 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real Estate (continued) |
||||||||||||
$ | 15 | Shea Capital I, LLC,
Term Loan |
4.50% | 10/27/11 | $ | 9,810 | ||||||
1,481 | Shea Mountain House,
LLC, Term Loan |
3.70 to 4.50 | 05/11/11 | 962,759 | ||||||||
2,000 | Standard Pacific Corp.,
Term Loan |
3.00 | 05/05/13 | 1,026,666 | ||||||||
2,496 | Tamarack Resorts,
LLC, Term Loan (e) |
2.70 to 7.50 | 05/19/11 | 998,489 | ||||||||
202 | Tamarack Resorts,
LLC, Term Loan (d) |
17.49 | 05/03/09 | 184,884 | ||||||||
3,929 | WCI Communities,
Inc., Term Loan (b) |
5.75 to 8.25 | 09/24/09 to 12/23/10 | 2,977,939 | ||||||||
15,226,400 | ||||||||||||
Business Equipment & Services 3.0% |
||||||||||||
2,955 | GSI Holdings, LLC,
Term Loan |
4.26 | 08/01/14 | 1,773,000 | ||||||||
3,804 | NCO Financial
Systems, Term
Loan |
7.50 | 05/15/13 | 2,681,601 | ||||||||
9,282 | Nielsen Finance, LLC,
Term Loan |
2.47 | 08/09/13 | 7,894,287 | ||||||||
4,829 | RGIS Services, LLC,
Term Loan |
3.35 to 3.72 | 04/30/14 | 3,613,522 | ||||||||
3,935 | SMG Holdings, Inc.,
Term Loan |
3.50 to 4.78 | 07/27/14 | 3,226,639 | ||||||||
19,189,049 | ||||||||||||
Chemicals, Plastics & Rubber 5.4% |
||||||||||||
3,000 | Arizona Chemical, Co.,
Term Loan |
5.93 | 02/28/14 | 1,650,000 | ||||||||
| 10,757 | Borsodchem, Term
Loan (Hungary) |
7.66 to 8.16 | 11/28/14 to 11/28/15 | 4,358,692 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Chemicals, Plastics & Rubber (continued) |
||||||||||||
$ | 5,000 | Brenntag Holdings,
GMBH & Co. KG,
Term Loan
(Germany) |
5.50% | 01/20/14 to 12/23/15 | $ | 2,900,000 | ||||||
2,293 | Foamex L.P., Term
Loan (e) |
5.50 | 02/12/13 | 661,190 | ||||||||
9,128 | Hexion Specialty
Chemicals, Inc.,
Term Loan |
3.44 to 3.50 | 05/06/13 | 4,573,220 | ||||||||
2,322 | Lyondell Chemical Co.,
Term Loan (b) |
5.94 to 13.00 | 12/15/09 | 1,928,760 | ||||||||
160 | Lyondell Chemical
Co., Revolving Credit Agreement (b) |
5.75 | 12/20/13 | 52,893 | ||||||||
6,464 | Lyondell
Chemical Co., Term
Loan (b) |
5.75 to 7.00 | 12/22/14 | 2,084,573 | ||||||||
| 10,568 | Momentive
Performance, Term
Loan |
3.22 | 12/04/13 | 8,040,309 | |||||||
4,963 | PQ Corp., Term Loan |
4.29 to 4.47 | 07/30/14 | 3,312,469 | ||||||||
3,000 | Solutia, Inc., Term
Loan |
8.50 | 02/28/14 | 2,367,189 | ||||||||
4,937 | Univar, Inc., Term Loan |
4.22 | 10/10/14 | 3,227,891 | ||||||||
35,157,186 | ||||||||||||
Construction Material 0.9% |
||||||||||||
1,877 | Axia, Inc., Term
Loan (h) |
5.00 | 12/21/12 | 516,219 | ||||||||
4,462 | Axia, Inc., Term
Loan (a)(h) |
17.95 | 12/21/12 | 1,003,907 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Construction Material (continued) |
||||||||||||
$ | 2,706 | Building Materials
Holdings, Corp., Term
Loan |
6.50 to 8.25% | 11/10/11 | $ | 1,008,089 | ||||||
3,859 | Contech Construction
Products, Inc., Term
Loan |
2.47 | 01/31/13 | 1,988,431 | ||||||||
2,000 | Custom Building
Products, Inc., Term
Loan |
10.75 | 04/20/12 | 1,126,666 | ||||||||
971 | United Subcontractors,
Inc., Term
Loan (a)(e) |
6.80 | 12/27/12 | 88,169 | ||||||||
5,731,481 | ||||||||||||
Containers, Packaging & Glass 1.8% |
||||||||||||
1,338 | Anchor Glass
Container Corp.,
Term Loan |
6.75 | 06/20/14 | 1,204,018 | ||||||||
8,927 | Berlin Packaging, LLC,
Term Loan |
3.44 to 8.35 | 08/17/14 to 08/17/15 | 6,407,705 | ||||||||
413 | Berry Plastics Group.,
Inc., Term Loan |
2.47 | 04/03/15 | 303,805 | ||||||||
2,206 | Graphic Packaging
International, Inc.,
Revolving Credit
Agreement |
2.76 | 05/16/13 | 1,787,063 | ||||||||
1,923 | Solo Cup, Inc., Term
Loan |
4.76 | 02/27/11 | 1,806,500 | ||||||||
11,509,091 | ||||||||||||
Diversified Manufacturing 0.2% |
||||||||||||
3,094 | Euramax International,
Inc., Term Loan |
8.75 | 06/29/12 | 742,565 | ||||||||
1,344 | Euramax International,
Inc., Term Loan (e) |
13.00 | 06/28/13 | 60,459 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Diversified Manufacturing (continued) |
||||||||||||
$ | 666 | Euramax International,
Inc., Term
Loan (e) |
13.00% | 06/29/13 | $ | 29,991 | ||||||
1,714 | Euramax International,
Inc., Term Loan |
8.75 | 06/29/12 | 411,368 | ||||||||
1,244,383 | ||||||||||||
Ecological 0.4% |
||||||||||||
6,850 | Synagro Technologies,
Inc., Term Loan |
5.21 | 10/02/14 | 2,568,750 | ||||||||
Education & Child Care 1.4% |
||||||||||||
968 | Bright Horizons Family
Solutions, Inc.,
Revolving Credit
Agreement |
5.75 | 05/28/14 | 658,240 | ||||||||
6,000 | Cengage Learning
Holdings II, Inc.,
Term Loan |
3.02 | 07/03/14 | 4,453,500 | ||||||||
500 | Educate, Inc., Term
Loan |
6.47 | 06/14/14 | 287,500 | ||||||||
1,979 | Education
Management, LLC,
Term Loan |
3.00 | 06/01/13 | 1,783,436 | ||||||||
5,000 | Nelson Education Ltd.,
Term Loan
(Canada) |
7.22 | 07/05/15 | 2,125,000 | ||||||||
9,307,676 | ||||||||||||
Electronics 2.8% |
||||||||||||
9,239 | Edwards Ltd, Term
Loan (Cayman
Islands II) |
2.43 to 6.18 | 05/31/14 to 11/30/14 | 4,214,378 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Electronics (continued) |
||||||||||||
$ | 2,955 | Infor Enterprise
Solutions Holdings,
Inc., Term Loan |
4.18% | 07/28/12 | $ | 2,127,273 | ||||||
7,860 | Open Solutions, Inc.,
Term Loan |
3.23 | 01/23/14 | 4,322,821 | ||||||||
4,904 | Stratus Technologies,
Inc., Term Loan |
4.99 | 03/29/11 | 2,697,445 | ||||||||
2,000 | Sungard Data
Systems, Inc., Term
Loan |
2.22 to 2.99 | 02/28/14 | 1,805,278 | ||||||||
3,123 | Verint Systems, Inc.,
Term Loan |
3.70 | 05/25/14 | 2,342,580 | ||||||||
716 | X-rite, Inc., Term Loan |
7.75 to 8.00 | 10/24/12 | 567,759 | ||||||||
18,077,534 | ||||||||||||
Entertainment & Leisure 3.1% |
||||||||||||
3,544 | Fender Musical
Instruments Corp.,
Term Loan |
2.76 to 3.47 | 06/09/14 | 1,825,009 | ||||||||
36,611 | Metro-Goldwyn-Mayer
Studios, Inc., Term
Loan (c) |
3.68 | 04/08/12 | 17,954,796 | ||||||||
19,779,805 | ||||||||||||
Farming & Agriculture 0.5% |
||||||||||||
5,000 | WM. Bolthouse Farms,
Inc., Term Loan |
5.93 | 12/16/13 | 3,575,000 | ||||||||
Finance 5.1% |
||||||||||||
4,029 | C.G. JCF Corp., Term
Loan |
3.43 | 08/01/14 | 3,021,845 | ||||||||
| 11,790 | First Data Corp., Term
Loan |
3.71 | 09/28/14 | 10,178,697 | |||||||
10,461 | First Data Corp., Term
Loan |
3.18 to 3.19 | 09/24/14 | 7,669,082 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Finance (continued) |
||||||||||||
$ | 6,054 | National Processing
Company Group,
Term Loan |
3.49 to 7.67% | 09/29/13 to 09/29/14 | $ | 3,243,979 | ||||||
3,300 | Nuveen Investments,
Inc., Term Loan |
3.43 to 4.23 | 11/13/14 | 2,176,970 | ||||||||
7,599 | Oxford Acquisition III
Ltd., Term Loan
(United Kingdom) |
3.10 | 05/12/14 | 2,621,486 | ||||||||
9,742 | RJO Holdings Corp.,
Term Loan |
3.47 to 7.22 | 07/12/14 to 07/12/15 | 2,028,196 | ||||||||
5,447 | Transfirst Holdings,
Inc., Term Loan |
3.18 to 6.43 | 06/15/14 to 06/15/15 | 2,132,312 | ||||||||
33,072,567 | ||||||||||||
Health & Beauty 1.0% |
||||||||||||
5,081 | American Safety Razor
Co., Term Loan |
6.68 | 01/30/14 | 3,416,734 | ||||||||
7,546 | Marietta Intermediate
Holding Corp, Term
Loan (a) |
5.43 to 12.00 | 11/30/10 to 12/17/11 | 995,363 | ||||||||
4,776 | Philosophy, Inc., Term
Loan |
2.43 | 03/16/14 | 1,966,223 | ||||||||
6,378,320 | ||||||||||||
Healthcare 5.8% |
||||||||||||
1,995 | Catalent Pharma
Solutions, Inc., Term
Loan |
2.68 | 04/10/14 | 1,404,426 | ||||||||
2,551 | Community Health
Systems, Inc., Term
Loan |
2.68 to 3.51 | 07/25/14 | 2,309,147 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Healthcare (continued) |
||||||||||||
$ | 4,107 | Concentra, Inc., Term
Loan |
3.47 to 7.47% | 06/25/14 to 06/25/15 | $ | 2,305,110 | ||||||
6,351 | HCA, Inc., Term Loan |
3.47 | 11/16/12 | 5,747,500 | ||||||||
5,253 | Health Management
Associates, Inc.,
Term Loan |
2.97 | 02/28/14 | 4,570,508 | ||||||||
1,708 | Healthcare Partners,
LLC, Term Loan |
2.18 | 10/31/13 | 1,477,620 | ||||||||
2,947 | Inverness Medical
Innovations, Inc.,
Term Loan |
2.43 to 3.23 | 06/26/14 | 2,723,490 | ||||||||
4,392 | Manor Care, Inc., Term
Loan |
2.93 to 2.95 | 12/22/14 | 3,521,098 | ||||||||
2,200 | Surgical Care Affiliates,
LLC, Revolving
Credit Agreement |
3.22 | 06/28/13 | 1,122,000 | ||||||||
5,917 | Surgical Care Affiliates,
LLC, Term Loan |
3.22 | 12/29/14 | 4,940,923 | ||||||||
3,958 | United Surgical
Partners International,
Inc., Term Loan |
2.45 to 3.10 | 04/19/14 | 3,472,817 | ||||||||
4,818 | Viant Holdings, Inc.,
Term Loan |
3.47 | 06/25/14 | 3,637,894 | ||||||||
37,232,533 | ||||||||||||
Home & Office Furnishings, Housewares & Durable
Consumer Products 0.7% |
||||||||||||
8,651 | Hunter Fan Co., Term
Loan |
3.01 to 7.20 | 04/16/14 to 10/16/14 | 2,225,920 | ||||||||
4,913 | Mattress Holdings
Corp., Term Loan |
2.69 | 01/18/14 | 1,236,314 | ||||||||
3,267 | National Bedding Co.,
LLC, Term Loan |
5.46 | 02/28/14 | 1,163,087 | ||||||||
4,625,321 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Hotels, Motels, Inns & Gaming 8.7% |
||||||||||||
1,996 | BLB
Worldwide Holdings, Inc., Term
Loan (a) |
4.75 | 08/23/11 | 638,868 | ||||||||
5,500 | BLB Worldwide Holdings, Inc., Term
Loan (e) |
6.50 | 07/18/12 | 426,250 | ||||||||
$ | 9,425 | Cannery Casino
Resorts, LLC, Term
Loan |
2.69 to 4.69% | 05/18/13 to 05/16/14 | $ | 6,774,621 | ||||||
£ | 2,182 | Gala Group Ltd, Term
Loan (United Kingdom) |
4.60 | 12/01/12 | 2,401,042 | |||||||
10,000 | Gateway Casinos &
Entertainment, Term
Loan |
6.71 | 03/31/15 | 1,850,000 | ||||||||
4,939 | Golden Nugget, Inc.,
Term Loan |
2.44 to 3.69 | 06/30/14 to 12/31/14 | 1,162,404 | ||||||||
5,450 | Greektown Holdings,
LLC, Term Loan |
16.75 | 06/01/09 | 4,673,157 | ||||||||
842 | Greektown Holdings,
LLC, Term
Loan (b)(e) |
5.00 | 12/03/12 | 170,582 | ||||||||
4,979 | Green Valley Ranch
Gaming, LLC, Term
Loan |
3.15 to 4.00 | 02/16/14 to 08/16/14 | 1,109,398 | ||||||||
4,552 | Harrahs Operating Co.,
Inc., Term Loan |
3.44 to 4.09 | 01/28/15 | 3,254,450 | ||||||||
9,923 | Magnolia Hill, LLC,
Term Loan |
3.68 to 14.00 | 10/30/13 to 04/28/14 | 9,032,672 | ||||||||
| 22,500 | Regency Entertainment
SA, Term Loan
(Greece) |
3.63 to 4.01 | 03/03/14 to 03/02/15 | 17,613,765 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Hotels, Motels, Inns & Gaming (continued) |
||||||||||||
$ | 7,303 | Yonkers Racing Corp.,
Term Loan |
10.50% | 08/12/11 | $ | 7,175,662 | ||||||
56,282,871 | ||||||||||||
Insurance 2.3% |
||||||||||||
3,923 | Alliant Holdings I, Inc.,
Term Loan |
4.23 | 08/21/14 | 3,079,883 | ||||||||
6,823 | AmWins Group, Inc.,
Term Loan |
3.76 to 3.79 | 06/08/13 | 4,111,036 | ||||||||
3,041 | Conseco, Inc., Term
Loan |
6.50 | 10/10/13 | 1,277,228 | ||||||||
3,500 | HMSC Corp., Term
Loan |
5.93 | 10/03/14 | 1,015,000 | ||||||||
5,860 | Mitchell International,
Inc., Term Loan |
6.50 | 03/30/15 | 3,530,650 | ||||||||
2,485 | Vertafore, Inc., Term
Loan |
5.50 to 7.25 | 01/31/12 to 01/31/13 | 2,162,600 | ||||||||
15,176,397 | ||||||||||||
Machinery 1.0% |
||||||||||||
5,790 | Goodman Global, Inc.,
Term Loan |
6.50 | 02/13/14 | 5,106,780 | ||||||||
3,940 | Mold-Masters
Luxembourg
Holdings, SA, Term
Loan |
4.00 | 10/11/14 | 1,477,500 | ||||||||
6,584,280 | ||||||||||||
Medical Products & Services 0.8% |
||||||||||||
1,133 | AGA Medical Corp.,
Term Loan |
2.46 to 3.69 | 04/28/13 | 968,798 | ||||||||
1,851 | Biomet, Inc., Term Loan |
3.43 to 4.22 | 03/25/15 | 1,735,201 | ||||||||
1,745 | Carestream Health,
Inc., Term Loan |
2.43 | 04/30/13 | 1,515,054 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Medical Products & Services (continued) |
||||||||||||
$ | 1,049 | VWR International,
Inc., Term Loan |
2.93% | 06/30/14 | $ | 848,045 | ||||||
5,067,098 | ||||||||||||
Mining, Steel, Iron &
Non-Precious Metals 0.8% |
||||||||||||
7,040 | John Maneely Co.,
Term Loan |
3.71 to 4.39 | 12/09/13 | 5,112,965 | ||||||||
Natural Resources 0.8% |
||||||||||||
3,200 | CDX Funding, LLC,
Term Loan (b)(e) |
7.50 | 03/31/13 | 1,120,000 | ||||||||
3,000 | Dresser, Inc., Term
Loan |
6.99 | 05/04/15 | 1,672,500 | ||||||||
2,977 | Western Refining, Inc.,
Term Loan |
8.25 | 05/30/14 | 2,389,261 | ||||||||
5,181,761 | ||||||||||||
Non-Durable Consumer Products 6.2% |
||||||||||||
6,669 | Amscan Holdings, Inc.,
Term Loan |
3.47 to 4.10 | 05/25/13 | 5,735,265 | ||||||||
1,953 | Huish Detergents, Inc.,
Term Loan |
2.18 | 04/26/14 | 1,737,781 | ||||||||
8,369 | KIK Custom Products,
Inc., Term Loan |
2.69 to 5.44 | 05/31/14 to 11/30/14 | 2,369,562 | ||||||||
2,954 | Mega Brands, Inc.,
Term Loan
(Canada) |
9.75 | 07/26/12 | 1,033,901 | ||||||||
983 | Nice-Pak Products,
Inc., Term Loan |
4.23 | 06/18/14 | 471,600 | ||||||||
| 16,836 | Ontex, Term Loan
(Belgium) |
4.52 to 5.15 | 07/05/12 to 07/05/13 | 19,937,184 | |||||||
475 | Spectrum Brands, Inc.,
Revolving Credit
Agreement (b) |
4.51 to 6.25 | 03/30/13 | 378,926 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Non-Durable Consumer Products
(continued) |
||||||||||||
$ | 9,264 | Spectrum Brands, Inc.,
Term Loan (b) |
8.25% | 03/30/13 | $ | 7,385,625 | ||||||
5,000 | Targus Group
International, Inc.,
Term Loan |
9.75 | 05/22/13 | 1,250,000 | ||||||||
40,299,844 | ||||||||||||
Paper & Forest Products 1.3% |
||||||||||||
3,200 | Ainsworth Lumber Co.,
Ltd., Term Loan |
5.44 | 06/26/14 | 1,840,000 | ||||||||
5,356 | New Page, Term Loan |
4.25 | 12/21/14 | 4,183,905 | ||||||||
1,956 | SP Newsprint, Term
Loan |
4.50 to 11.00 | 03/31/10 | 1,574,222 | ||||||||
390 | Verso Paper Holding,
LLC, Term Loan (a) |
6.76 to 7.51 | 08/01/13 | 33,184 | ||||||||
3,328 | White Birch Paper Co.,
Term Loan
(Canada) |
3.97 | 05/08/14 | 942,818 | ||||||||
8,574,129 | ||||||||||||
Printing & Publishing 8.6% |
||||||||||||
4,240 | American Media
Operations, Inc.,
Term Loan |
10.00 | 01/31/13 | 2,345,197 | ||||||||
1,823 | Ascend Media
Holdings, LLC, Term
Loan (e) |
8.25 to 9.77 | 01/31/12 | 455,873 | ||||||||
990 | DRI Holdings, Inc.,
Term Loan |
3.96 to 4.22 | 07/03/14 | 594,097 | ||||||||
4,000 | Endurance Business
Media, Inc., Term
Loan (d)(e) |
9.25 | 01/26/14 | 140,000 | ||||||||
4,123 | Gatehouse Media, Inc.,
Term Loan |
2.44 to 2.47 | 08/28/14 | 1,042,480 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Printing & Publishing (continued) |
||||||||||||
$ | 7,766 | Idearc, Inc., Term
Loan (b)(e) |
3.75% | 11/15/13 | $ | 3,067,649 | ||||||
3,436 | Intermedia Outdoor,
Inc., Term Loan |
4.22 | 01/31/13 | 1,718,012 | ||||||||
3,181 | Knowledgepoint360
Group, LLC, Term
Loan |
4.49 to 8.24 | 04/14/14 to 04/13/15 | 2,215,323 | ||||||||
5,731 | MediaNews Group,
Inc., Term Loan |
5.72 to 7.72 | 12/30/10 to 08/02/13 | 1,112,973 | ||||||||
9,870 | Merrill
Communications,
LLC, Term Loan |
7.76 | 11/15/13 | 2,714,250 | ||||||||
2,333 | Newsday, LLC, Term
Loan |
6.63 | 08/01/13 | 2,216,667 | ||||||||
4,803 | Penton Media, Inc.,
Term Loan |
2.68 to 6.04 | 02/01/13 to 02/01/14 | 1,316,418 | ||||||||
| 12,133 | Primacom, Term Loan
(Germany) (d) |
6.24 to 6.74 | 09/25/10 to 12/05/14 | 14,126,833 | |||||||
1,459 | Primedia, Inc., Term
Loan |
2.68 to 3.47 | 08/01/14 | 940,967 | ||||||||
| 13,000 | Prosiebensat.1 Media
AG, Term Loan
(Germany) |
3.75 | 07/03/15 | 11,002,043 | |||||||
2,000 | R.H. Donnelley, Inc.,
Term Loan |
6.75 | 06/30/11 | 1,344,072 | ||||||||
3,663 | Thomas Nelson Inc.,
Term Loan |
8.75 | 06/12/12 | 1,007,357 | ||||||||
16,000 | Tribune Co., Bridge
Loan (b)(d)(e) |
8.25 | 12/20/15 | 100,000 | ||||||||
26,951 | Tribune Co., Term
Loan (b)(e) |
5.25 | 06/04/14 | 8,118,997 | ||||||||
55,579,208 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Restaurants & Food Service 0.6% |
||||||||||||
$ | 1,572 | Center Cut Hospitality,
Inc., Term Loan |
3.75% | 07/06/14 | $ | 958,920 | ||||||
486 | Sagittarius Brands,
Inc., Term Loan |
9.50 | 03/29/13 | 284,063 | ||||||||
3,304 | Volume Services
America, Inc., Term
Loan |
9.25 | 12/31/12 | 2,659,341 | ||||||||
3,902,324 | ||||||||||||
Retail Oil & Gas 0.8% |
||||||||||||
5,888 | The Pantry, Inc., Term
Loan |
1.93 | 05/15/14 | 5,240,508 | ||||||||
Retail Specialty 2.2% |
||||||||||||
| 7,796 | Travelport, LLC, Term
Loan |
3.78 | 08/23/13 | 6,670,019 | |||||||
| 7,500 | Zapf, Term Loan
(Germany) (d) |
4.35 | 11/30/12 | 7,442,438 | |||||||
14,112,457 | ||||||||||||
Retail Stores 2.2% |
||||||||||||
5,000 | Dollar General Corp.,
Term Loan |
3.18 | 07/07/14 | 4,575,000 | ||||||||
6,643 | General Nutrition
Centers, Inc., Term
Loan |
2.68 to 3.49 | 09/16/13 | 5,629,772 | ||||||||
4,174 | Guitar Center, Inc.,
Term Loan |
3.94 to 3.96 | 10/09/14 | 2,880,332 | ||||||||
1,055 | Sally Holdings, Inc.,
Term Loan |
2.68 to 3.51 | 11/16/13 | 957,129 | ||||||||
14,042,233 | ||||||||||||
Telecommunications Equipment
& Services 2.8% |
||||||||||||
| 10,000 | Fibernet, Term Loan
(Bulgaria) (d) |
4.14 to 4.64 | 12/20/14 to 12/20/15 | 9,261,700 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Telecommunications Equipment & Services (continued) | ||||||||||||
| 11,369 | Orion, Term Loan
(Germany) |
4.70 to 6.71% | 10/31/13 to 10/30/15 | $ | 9,173,251 | ||||||
18,434,951 | ||||||||||||
Telecommunications Local
Exchange Carriers 1.4% |
||||||||||||
$ | 6,853 | Global Tel*Link Corp.,
Term Loan |
9.00 | 02/14/13 | 5,996,260 | |||||||
3,162 | Hawaiian Telcom
Communications, Inc,
Term Loan (b) |
4.75 | 06/01/14 | 1,583,754 | ||||||||
1,393 | Sorenson
Communications,
Inc., Term Loan |
2.93 | 08/16/13 | 1,278,818 | ||||||||
8,858,832 | ||||||||||||
Telecommunications Long
Distance 0.5% |
||||||||||||
4,000 | Level 3
Communications,
Inc., Term Loan |
2.71 to 11.05 | 03/13/14 | 3,222,000 | ||||||||
Telecommunications
Wireless 0.8% |
||||||||||||
1,923 | Asurion Corp., Term
Loan |
3.47 to 4.24 | 07/03/14 | 1,679,961 | ||||||||
3,817 | MetroPCS Wireless,
Inc., Term Loan |
2.69 to 3.44 | 11/04/13 | 3,574,977 | ||||||||
5,254,938 | ||||||||||||
Textiles & Leather 0.8% |
||||||||||||
3,477 | Gold Toe Investment
Corp., Term Loan |
8.50 to 11.75 | 10/30/13 to 04/30/14 | 1,716,362 | ||||||||
5,000 | Levi Strauss & Co.,
Term Loan |
2.70 | 03/27/14 | 3,550,000 | ||||||||
5,266,362 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Transportation Cargo 0.2% |
||||||||||||
$ | 4,000 | JHCI Acquisition, Inc.,
Term Loan |
5.93% | 12/19/14 | $ | 1,580,000 | ||||||
Utilities 4.0% |
||||||||||||
5,000 | Bicent Power, LLC,
Term Loan |
5.22 | 12/31/14 | 1,725,000 | ||||||||
10,600 | Calpine Corp., Term
Loan |
4.10 | 03/29/14 | 9,066,517 | ||||||||
4,853 | First Light Power
Resources, Inc.,
Term Loan |
3.75 to 5.75 | 11/01/13 to 05/01/14 | 3,681,456 | ||||||||
187 | Mach Gen, LLC, Term
Loan |
3.48 | 02/22/13 | 158,426 | ||||||||
3,000 | NRG Energy, Inc.,
Term Loan |
2.72 to 2.82 | 02/01/13 | 2,799,687 | ||||||||
5,063 | Texas Competitive
Electric Holdings Co.,
LLC, Term Loan |
3.93 to 3.97 | 10/10/14 | 3,437,538 | ||||||||
6,000 | TPF Generation
Holdings, LLC, Term
Loan |
4.68 | 12/15/14 | 4,920,000 | ||||||||
25,788,624 | ||||||||||||
Total Variable
Rate Senior Loan Interests ** 99.6% |
644,503,944 | |||||||||||
Notes 31.9% |
||||||||||||
Broadcasting Cable 0.8% |
||||||||||||
5,000 | Kabel Deutschland
Gmbh (Germany) (i) |
10.63 | 07/01/14 | 5,125,000 | ||||||||
Buildings & Real Estate 1.3% |
||||||||||||
| 6,000 | Eco-bat Finance PLC
(United Kingdom) (i) |
10.13 | 01/31/13 | 7,422,588 | |||||||
| 760 | Grohe Holding GmbH
(Germany) (g) |
4.31 | 01/15/14 | 553,056 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real
Estate (continued) |
||||||||||||
$ | 615 | KAG Property, LLC,
Term Loan (d) |
6.42% | 09/23/09 | $ | 561,944 | ||||||
8,537,588 | ||||||||||||
Chemicals, Plastics
& Rubber 0.9% |
||||||||||||
5,000 | Cognis GmbH
(Germany) (g)(i) |
3.32 | 09/15/13 | 3,725,000 | ||||||||
1,893 | Wellman, Inc. (d)(g) |
5.00 | 01/29/19 | 1,893,000 | ||||||||
5,618,000 | ||||||||||||
Construction
Material 0.1% |
||||||||||||
2,000 | Compression Polymers
Corp. (g)(i) |
8.56 | 07/01/12 | 910,000 | ||||||||
Containers,
Packaging & Glass 11.5% |
||||||||||||
| 14,081 | Ardagh Glass Finance
BV (Ireland) (i) |
8.88 | 07/01/13 | 15,183,909 | |||||||
| 14,200 | Ardagh Glass Finance
(Ireland) (i) |
7.13 | 06/15/17 | 13,339,494 | |||||||
27,900 | Owens-Illinois Group,
Inc. (i) |
7.50 | 05/15/10 | 28,876,500 | ||||||||
| 15,725 | Pregis Corp. (g) |
6.44 | 04/15/13 | 16,904,658 | |||||||
74,304,561 | ||||||||||||
Mining, Steel, Iron
& Non-Precious Metals 3.3% |
||||||||||||
24,500 | FMG Finance Pty Ltd
(Australia) (i) |
10.63 | 09/01/16 | 21,560,000 | ||||||||
Telecommunications Equipment
& Services 6.7% |
||||||||||||
| 10,000 | Iesy Hessen Gmbh &
Co, Kg (g) (i) |
4.26 | 04/15/13 | 11,775,590 | |||||||
| 15,825 | Magyar Telecom
(Invtel)
(Netherlands) (i) |
10.75 | 08/15/12 | 8,034,970 | |||||||
| 26,000 | Versatel AG
(Germany) (g)(i) |
4.40 | 06/15/14 | 23,392,408 | |||||||
43,202,968 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Telecommunications Wireless 2.6% |
||||||||||||
$ | 16,000 | Wind Acquisition Fin
SA (Italy) (i) |
10.75% | 12/01/15 | $ | 16,720,000 | ||||||
Transportation Cargo 4.7% |
||||||||||||
| 25,250 | CB Bus AB
(Sweden) (d) |
9.13 | 08/01/09 | 30,067,447 | |||||||
Total Notes ** 31.9% | 206,045,564 | |||||||||||
Equities 0.1% | ||||||||||||
Axia, Inc. (Warrants for 6,352 common shares, Expiration date 12/31/18, Acquired 09/24/08, Cost $0) (d) (h) (j) | 0 | |||||||||||
Building Materials Holding Corp. (Warrants for 15,357 common shares,
Expiration date 09/30/15, Acquired 10/09/08, Cost $0) (j) |
0 | |||||||||||
Wellman, Inc. (1,168 common shares, Acquired 02/18/09, Cost $3,563,396) (d) | 681,329 | |||||||||||
Total Equities 0.1% | 681,329 | |||||||||||
Total Long-Term Investments 131.6% (Cost $1,363,187,966) |
851,230,837 | |||||||||||
Time Deposit 1.9% (Cost $12,360,995) |
||||||||||||
State Street Bank & Trust Corp. ($12,360,995 par, 0.01% coupon, dated 4/30/09, to be sold on 5/01/09 at $12,360,998) (c) | 12,360,995 | |||||||||||
Total Investments 133.5% (Cost $1,375,548,961) |
863,591,832 | |||||||||||
Foreign Currency 1.9% (Cost $12,005,894) |
12,087,374 | |||||||||||
Borrowings (34.0%) | (220,000,000 | ) | ||||||||||
Liabilities in Excess of Other Assets (1.4%) | (8,986,698 | ) | ||||||||||
Net Assets 100.0% | $ | 646,692,508 | ||||||||||
Par amounts are denominated in US currency unless otherwise noted. | ||
Percentages are calculated as a percentage of net assets. | ||
(a) | Payment-in-kind security. | |
(b) | This borrower has filed for protection in federal bankruptcy court. | |
(c) | All or a portion of this security is designated in connection with unfunded loan commitments. | |
(d) | Market value is determined in accordance with procedures established in good faith by the Board of Trustees. | |
(e) | This Senior Loan interest is non-income producing. | |
(f) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(g) | Variable rate security. Interest rate shown is that in effect at April 30, 2009. | |
(h) | Affiliated Company. | |
(i) | 144A-Private Placement security which is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers. |
(j) | Restricted security. Securities were acquired through the restructuring of senior loans. These securities are restricted, as they are not allowed to be deposited via the Depository Trust Company. If at a later point in time, the company wishes to register, the issuer will bear the costs associated with registration. The aggregate value of restricted securities represents less than 0.01% of the net assets of the Fund. | |
* | Senior Loans in the Funds portfolio generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans in the Funds portfolio may occur. As a result, the actual remaining maturity of Senior Loans held in the Funds portfolio may be substantially less than the stated maturities shown. Although the Fund is unable to accurately estimate the actual remaining maturity of individual Senior Loans, the Fund estimates that the actual average maturity of the Senior Loans held in its portfolio will be approximately 18-24 months. | |
** | Senior Loans in which the Fund invests generally pay interest at rates, which 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 the London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks or (iii) the certificate of deposit rate. Senior Loans are generally considered to be restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
Pay/ | Credit | |||||||||||||||||||||||
Receive | Notional | Rating of | ||||||||||||||||||||||
Buy/Sell | Fixed | Expiration | Amount | Upfront | Reference | |||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | (000) | Payments | Value | Equity * | ||||||||||||||||
Bank of
America N.A. |
Cognis GMBH | Sell | 3.900 | % | 12/20/09 | $ | 6,615 | 0 | $ | (356,208 | ) | B | ||||||||||||
Bank of
America N.A. |
Seat Pagine Gialle S.P.A | Sell | 3.350 | 09/20/12 | 6,615 | 0 | (2,552,384 | ) | NR | |||||||||||||||
Bank of
America N.A. |
Seat Pagine Gialle S.P.A | Sell | 3.650 | 12/20/12 | 6,615 | 0 | (2,565,964 | ) | NR | |||||||||||||||
Citigroup |
M-Real Oyj | Sell | 4.250 | 12/20/09 | 6,615 | 0 | (1,651,544 | ) | CCC+ | |||||||||||||||
Citigroup |
Xstrata PLC | Sell | 5.750 | 06/20/14 | 6,615 | 0 | 93,980 | BBB | ||||||||||||||||
Credit Suisse
International |
Codere Fin Luxembourg SA | Sell | 3.420 | 09/20/12 | 6,615 | 0 | (2,195,426 | ) | B+ | |||||||||||||||
Deutsche Bank |
M-Real Oyj | Sell | 4.150 | 12/20/09 | 6,615 | 0 | (1,655,778 | ) | CCC+ | |||||||||||||||
Goldman
Sachs
International |
Boston Generating, LLC | Sell | 2.000 | 06/20/09 | 4,000 | 0 | (84,289 | ) | NR | |||||||||||||||
Goldman
Sachs
International |
Calpine Corporation | Sell | 5.000 | 03/20/10 | 1,500 | (165,000 | ) | (90,384 | ) | B | ||||||||||||||
Goldman Sachs
International |
CDX.NA.HY.9 | Sell | 3.750 | 12/20/12 | 36,800 | (1,482,000 | ) | (6,982,974 | ) | NR | ||||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.10 | Sell | 5.000 | 06/20/13 | 18,600 | (1,201,750 | ) | (3,221,143 | ) | NR | ||||||||||||||
Goldman
Sachs
International |
Citgo Petroleum Corp. | Sell | 3.000 | 12/20/10 | 5,000 | 0 | (450,965 | ) | BB | |||||||||||||||
Goldman
Sachs
International |
Gala Group Finance | Sell | 3.450 | 12/20/12 | 6,615 | 0 | (1,662,189 | ) | NR | |||||||||||||||
Goldman
Sachs
International |
Gala Group Finance | Sell | 4.150 | 03/20/13 | 6,615 | 0 | (1,637,782 | ) | NR |
Pay/ | Credit | |||||||||||||||||||||||
Receive | Notional | Rating of | ||||||||||||||||||||||
Buy/Sell | Fixed | Expiration | Amount | Upfront | Reference | |||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | (000) | Payments | Value | Equity * | ||||||||||||||||
Goldman Sachs International |
Grohe Holding GMBH | Sell | 4.250 | 12/20/09 | 13,231 | 0 | (1,592,254 | ) | B | |||||||||||||||
Goldman
Sachs
International |
K. Hovnanian
Enterprises,
Inc. |
Sell | 4.690 | 09/20/12 | 5,000 | 0 | (1,905,385 | ) | B- | |||||||||||||||
Goldman
Sachs
International |
LCDX9 | Sell | 2.250 | 12/20/12 | 46,000 | (3,659,000 | ) | (10,137,250 | ) | NR | ||||||||||||||
Goldman
Sachs
International |
LCDX.NA.10 | Sell | 3.250 | 12/20/12 | 54,600 | (5,381,800 | ) | (12,046,125 | ) | NR | ||||||||||||||
Goldman
Sachs
International |
M-Real Oyj | Sell | 3.450 | 09/20/09 | 6,615 | 0 | (1,115,800 | ) | CCC+ | |||||||||||||||
Goldman
Sachs
International |
Peermont Global | Sell | 3.500 | 09/20/12 | 6,615 | 0 | (2,146,316 | ) | B | |||||||||||||||
Goldman
Sachs
International |
Texas
Competitive
Electric
Holdings
Company, LLC |
Sell | 2.850 | 06/20/10 | 5,000 | 0 | (488,441 | ) | B- | |||||||||||||||
Goldman
Sachs
International |
UPC Holding | Sell | 3.450 | 09/20/12 | 6,615 | 0 | (340,995 | ) | NR | |||||||||||||||
Goldman
Sachs
International |
Xstrata PLC | Sell | 5.800 | 06/20/10 | 6,615 | 0 | 4,032 | BBB | ||||||||||||||||
UBS
Securities,
AG |
Rank Group Finance | Sell | 4.250 | 12/20/12 | 13,231 | 0 | 524,540 | B+ | ||||||||||||||||
Total Credit
Default Swaps |
$ | 288,957 | $ | (11,889,550 | ) | $ | (54,257,044 | ) | ||||||||||||||||
Swap Collateral Pledged to Counterparty | ||||||||||||||||||||||||
Goldman Sachs International | 40,165,000 | |||||||||||||||||||||||
UBS AG |
6,973,000 | |||||||||||||||||||||||
Bank of America |
6,930,500 | |||||||||||||||||||||||
Citi Global Markets | 1,611,000 | |||||||||||||||||||||||
Credit Suisse |
2,478,000 | |||||||||||||||||||||||
Deutsche Bank AG |
2,704,000 | |||||||||||||||||||||||
Total Swap Collateral Pledged | $ | 60,861,500 | ||||||||||||||||||||||
Total Swap Agreements | $ | 6,604,456 | ||||||||||||||||||||||
NR-Non Rated | ||
* | Credit Rating as issued by Standard and Poors. |
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
In Exchange for | Current Value | Depreciation | ||||||||||
Short Contracts: |
||||||||||||
Euro |
||||||||||||
175,383,922 expiring 05/27/09 |
US$ | 232,032,971 | $ | (3,686,612 | ) | |||||||
8,900,000 expiring 05/27/09 |
US$ | 11,774,702 | (275,012 | ) | ||||||||
4,733,188 expiring 05/27/09 |
US$ | 6,262,009 | (75,676 | ) | ||||||||
(4,037,300 | ) | |||||||||||
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
In Exchange for | Current Value | Depreciation | ||||||||||
Pound Sterling |
||||||||||||
1,531,687 expiring 05/27/09 |
US$ | 2,265,845 | 2,507 | |||||||||
Total Forward Foreign Currency Contracts |
$ | (4,034,793 | ) | |||||||||
Ratings Allocation as of 4/30/09 (Unaudited) |
||||||||||||
BBB/Baa |
1.4 | % | ||||||||||
BB/Ba |
23.2 | % | ||||||||||
B/B |
36.6 | % | ||||||||||
CCC/Caa |
7.7 | % | ||||||||||
CC/Ca |
0.3 | % | ||||||||||
C/C |
0.1 | % | ||||||||||
Non-Rated |
30.7 | % |
Percentage of | ||||||||
Long-Term | ||||||||
Country | Value | Investment | ||||||
United States
|
559,162,421 | 65.7 | % | |||||
Germany
|
104,168,764 | 12.2 | ||||||
Sweden
|
30,067,448 | 3.5 | ||||||
Ireland
|
28,523,403 | 3.4 | ||||||
Australia
|
21,560,000 | 2.5 | ||||||
Belgium
|
19,937,184 | 2.3 | ||||||
United Kingdom
|
19,172,156 | 2.3 | ||||||
Greece
|
17,613,765 | 2.1 | ||||||
Luxembourg
|
16,720,000 | 2.0 | ||||||
Bulgaria
|
9,261,700 | 1.1 | ||||||
Netherlands
|
8,034,970 | 0.9 | ||||||
Canada
|
5,451,719 | 0.6 | ||||||
Hungary
|
4,358,692 | 0.5 | ||||||
Cayman Islands
|
4,214,378 | 0.5 | ||||||
Spain
|
2,984,237 | 0.4 | ||||||
851,230,837 | 100.0 | % | ||||||
Level 1
|
| quoted prices in active markets for identical investments | ||
Level 2
|
| other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | ||
Level 3
|
| significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
Assets | Liabilities | |||||||||||||||
Valuation Inputs | Investments
in Loans and Securities |
Other
Financial Instruments* |
Unfunded
Loan Commitments |
Other
Financial Instruments* |
||||||||||||
Level 1 Quoted Prices |
$ | -0- | $ | -0- | $ | -0- | $ | -0- | ||||||||
Level 2 Other Significant Observable Inputs |
793,169,666 | 625,059 | (6,923,522 | ) | (58,916,896 | ) | ||||||||||
Level 3 Significant Unobservable Inputs |
70,422,166 | -0- | (33,343 | ) | -0- | |||||||||||
Total |
$ | 863,591,832 | $ | 625,059 | $ | (6,956,865 | ) | $ | (58,916,896 | ) | ||||||
* | Other financial instruments include forwards and swap contracts. |
Investments
in Loans and Securities |
Unfunded Commitments |
|||||||
Balance as of 7/31/2008 |
$ | 38,723,477 | $ | -0- | ||||
Accrued Discounts/Premiums |
300,254 | -0- | ||||||
Realized Gain/Loss |
(1,476,254 | ) | -0- | |||||
Change in Unrealized Appreciation/Depreciation |
(55,677,255 | ) | (33,343 | ) | ||||
Net Purchases/Sales |
11,252,315 | -0- | ||||||
Net Transfers in and/or out of Level 3 |
77,299,629 | -0- | ||||||
Balance, as of 4/30/09 |
$ | 70,422,166 | $ | (33,343 | ) | |||
Net Change in Unrealized Appreciation/Depreciation from Investments still held as of 4/30/09 |
$ | (55,677,255 | ) | $ | (33,343 | ) |