Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Variable Rate Senior Loan Interests ** 107.4% | ||||||||||||
Aerospace/Defense 0.4% |
||||||||||||
$ | 2,256 | IAP Worldwide
Services, Inc., Term
Loan (a) |
9.25% | 12/30/12 | $ | 1,897,130 | ||||||
2,000 | Wesco Aircraft
Hardware Corp.,
Term Loan |
6.00 | 03/28/14 | 1,687,500 | ||||||||
3,584,630 | ||||||||||||
Automotive 2.8% |
||||||||||||
1,555 | Acument Global
Technologies, Term
Loan (a) |
14.00 | 08/11/13 | 1,038,082 | ||||||||
6,972 | Federal-Mogul Corp.,
Term Loan |
2.19 | 12/29/14 to 12/28/15 | 5,372,900 | ||||||||
11,099 | Ford Motor Co., Term
Loan |
3.25 to 3.29 | 12/16/13 | 9,919,676 | ||||||||
4,145 | Metokote Corp., Term
Loan |
3.25 to 5.25 | 11/27/11 | 3,316,210 | ||||||||
4,530 | Oshkosh Truck Corp.,
Term Loan |
6.29 to 6.33 | 12/06/13 | 4,532,867 | ||||||||
498 | TRW Automotive, Inc.,
Term Loan |
6.25 | 02/09/14 | 498,448 | ||||||||
24,678,183 | ||||||||||||
Banking 0.4% |
||||||||||||
3,936 | Dollar Financial Corp.,
Term Loan |
3.04 | 10/30/12 | 3,744,130 | ||||||||
Beverage, Food & Tobacco 8.2% |
||||||||||||
| 5,000 | Alliance Boots Holdings
Limited, Term Loan
(United Kingdom) |
3.37 | 07/05/15 | 6,649,000 | |||||||
10,521 | BE Foods Investments,
Inc., Term Loan (a) |
5.25 | 07/11/12 | 10,205,110 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Beverage, Food & Tobacco (continued) | ||||||||||||
$ | 4,675 | Coleman Natural
Foods, LLC, Term
Loan |
7.46 to 7.60% | 08/22/12 | $ | 2,805,151 | ||||||
8,834 | Dole Food Co., Inc.,
Term Loan |
5.28 to 8.00 | 04/12/13 | 8,939,278 | ||||||||
10,000 | DSW Holdings, Inc.,
Term Loan |
4.29 | 03/02/12 | 8,733,330 | ||||||||
12,000 | Farleys & Sathers
Candy Co., Inc.,
Term Loan |
11.25 | 03/24/11 | 10,800,000 | ||||||||
| 1,276 | Foodvest Limited,
Term Loan
(Sweden) |
4.68 | 10/02/16 | 1,769,158 | |||||||
5,000 | FSB Holdings, Inc.,
Term Loan |
6.00 | 03/29/14 | 4,200,000 | ||||||||
| 1,957 | Liberator Midco
Limited, Term Loan
(United Kingdom) |
2.68 to 3.05 | 11/03/14 to 11/03/15 | 2,810,836 | |||||||
3,000 | LJVH Holdings, Inc.,
Term Loan
(Canada) |
5.78 | 01/19/15 | 2,572,500 | ||||||||
| 3,561 | Panrico, Inc., Term
Loan (Spain) |
3.84 to 4.22 | 05/31/14 to 05/31/15 | 4,333,032 | |||||||
9,045 | Pinnacle Foods
Finance, LLC, Term
Loan |
3.00 | 04/02/14 | 8,491,133 | ||||||||
72,308,528 | ||||||||||||
Broadcasting - Cable 8.0% |
||||||||||||
| 6,500 | Bultel Cable Bulgaria
EAD, Term Loan
(Bulgaria) |
5.42 to 6.42 | 10/27/15 to 10/27/16 | 9,565,730 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Broadcasting - Cable (continued) | ||||||||||||
$ | 20,945 | Charter
Communications
Operating, LLC, Term
Loan (c) |
6.25 to 6.75% | 03/06/14 to 09/06/14 | $ | 18,865,836 | ||||||
2,969 | CSC Holdings, Inc.,
Term Loan |
1.30 to 1.44 | 02/24/12 | 2,856,321 | ||||||||
1,194 | Discovery
Communications
Holdings, LLC, Term
Loan |
5.25 | 05/14/14 | 1,213,402 | ||||||||
| 10,000 | Kabel
Baden-Wurttemberg
GmbH, Term Loan
(Germany) |
2.93 to 3.43 | 06/09/14 to 06/09/15 | 14,152,381 | |||||||
4,137 | Knology, Inc., Term
Loan |
3.78 | 06/30/14 | 4,043,519 | ||||||||
4,985 | TWCC Holding Corp.,
Term Loan |
7.25 | 09/12/15 | 5,067,464 | ||||||||
1,250 | UPC Broadband
Holding B.V., Term
Loan (Netherlands) |
3.75 | 12/30/16 | 1,203,125 | ||||||||
| 10,000 | UPC Broadband
Holding B.V., Term
Loan (Netherlands) |
4.67 | 12/31/17 | 13,601,277 | |||||||
70,569,055 | ||||||||||||
Broadcasting -
Diversified 0.9% |
||||||||||||
7,713 | Alpha Topco, Ltd.,
Term Loan (United
Kingdom) |
1.24 to 3.74 | 12/31/13 to 06/30/14 | 6,864,470 | ||||||||
887 | Cumulus Media, Inc.,
Term Loan |
4.25 | 06/11/14 | 730,653 | ||||||||
7,595,123 | ||||||||||||
Broadcasting - Radio 0.6% |
||||||||||||
1,857 | CMP KC, LLC, Term
Loan (d) |
6.25 | 05/03/11 | 566,500 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Broadcasting - Radio (continued) |
||||||||||||
$ | 4,809 | CMP Susquehanna
Corp., Term Loan |
2.25% | 05/05/13 | $ | 3,566,506 | ||||||
1,761 | Multicultural Radio
Broadcasting, Inc.,
Term Loan |
2.99 | 12/18/12 | 1,276,453 | ||||||||
5,409,459 | ||||||||||||
Broadcasting -
Television 2.1% |
||||||||||||
2,680 | FoxCo Acquisition,
LLC, Term Loan |
7.25 | 07/14/15 | 2,449,034 | ||||||||
639 | High Plains
Broadcasting
Operating Co., LLC,
Term Loan |
7.25 | 09/14/16 | 525,155 | ||||||||
2,420 | Newport Television,
LLC, Term Loan |
7.25 to 8.00 | 09/14/16 | 1,988,676 | ||||||||
16,801 | Univision
Communications, Inc.,
Term Loan |
2.53 | 09/29/14 | 13,482,676 | ||||||||
18,445,541 | ||||||||||||
Buildings
& Real Estate 1.4% |
||||||||||||
2,000 | El Ad IDB Las Vegas,
LLC, Term Loan |
4.24 | 08/09/12 | 902,500 | ||||||||
3,000 | FX Luxury Las Vegas I,
LLC, Term
Loan (e)(f) |
11.25 | 07/06/09 | 31,500 | ||||||||
4,500 | Ginn LA CS Borrower,
LLC, Term
Loan (d)(f) |
10.20 | 06/08/12 | 7,501 | ||||||||
2,979 | Ginn LA CS Borrower,
LLC, Term Loan (f) |
6.20 to 7.75 | 06/08/11 | 253,242 | ||||||||
3,721 | Kuilima Resort Co.,
Term Loan (a)(d)(f) |
22.25 | 09/30/11 | 0 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real Estate (continued) | ||||||||||||
$ | 63 | Kuilima Resort Co.,
Term Loan (a)(d)(e)(f) |
30.25% | 10/01/08 | $ | 0 | ||||||
2,618 | Kyle Acquisition Group,
LLC, Term Loan (f) |
4.00 | 07/20/11 | 191,954 | ||||||||
2,382 | Kyle Acquisition Group,
LLC, Term
Loan (e)(f) |
5.75 | 07/20/09 | 174,711 | ||||||||
1,806 | Lake at Las Vegas
Joint Venture, LLC,
Revolving Credit
Agreement (a)(c)(f) |
14.35 | 06/20/12 | 52,663 | ||||||||
3,000 | Lake at Las Vegas
Joint Venture, LLC,
Term Loan (a)(c) |
9.74 | 12/31/09 | 1,650,000 | ||||||||
18,235 | Lake at Las Vegas
Joint Venture, LLC,
Term Loan (a)(c)(f) |
15.35 to 20.00 | 10/01/10 to 12/22/12 | 531,870 | ||||||||
2,018 | NLV Holdings, LLC,
Term Loan (a)(c) |
12.50 | 05/09/12 | 148,841 | ||||||||
5,859 | Realogy Corp., Term
Loan |
3.25 to 3.29 | 10/10/13 | 4,925,416 | ||||||||
4,548 | Rhodes Ranch General
Partnership, Term
Loan (a)(c)(f) |
3.25 to 9.75 | 11/21/10 to 11/21/11 | 455,131 | ||||||||
2,000 | Standard Pacific Corp.,
Term Loan |
2.19 | 05/05/13 | 1,670,000 | ||||||||
2,497 | Tamarack Resorts,
LLC, Term Loan (f) |
7.50 to 8.05 | 05/19/11 | 230,901 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real Estate (continued) | ||||||||||||
$ | 209 | Tamarack Resorts,
LLC, Term
Loan (e) (f) |
20.25% | 07/02/09 | $ | 166,886 | ||||||
792 | WCI Communities,
Inc., Term Loan (a) |
10.00 to 11.00 | 09/03/14 to 09/02/16 | 742,407 | ||||||||
12,135,523 | ||||||||||||
Business
Equipment & Services 2.4% |
||||||||||||
2,940 | GSI Holdings, LLC,
Term Loan |
3.38 | 08/01/14 | 2,425,500 | ||||||||
2,694 | NCO Financial
Systems, Term
Loan |
7.50 | 05/15/13 | 2,611,974 | ||||||||
9,897 | Nielsen Finance, LLC,
Term Loan |
2.24 | 08/09/13 | 9,167,263 | ||||||||
3,909 | RGIS Holdings, LLC,
Term Loan |
2.75 to 2.78 | 04/30/14 | 3,483,992 | ||||||||
3,915 | SMG Holdings, Inc.,
Term Loan |
3.25 to 4.12 | 07/27/14 | 3,523,410 | ||||||||
21,212,139 | ||||||||||||
Chemicals, Plastics
& Rubber 5.7% |
||||||||||||
3,802 | Ashland Chemicals,
Term Loan |
6.50 to 7.65 | 11/13/13 to 05/13/14 | 3,853,549 | ||||||||
5,000 | Brenntag Holding
Gmbh & Co, KG, Term
Loan (Germany) |
4.25 | 07/07/15 | 4,691,665 | ||||||||
4,740 | Georgia Gulf Corp.,
Term Loan |
10.00 | 10/03/13 | 4,742,065 | ||||||||
8,869 | Hexion Specialty
Chemicals, Inc.,
Term Loan |
2.56 to 2.75 | 05/06/13 | 7,006,813 | ||||||||
4,348 | Huntsman
International, LLC,
Term Loan |
2.49 | 06/30/16 | 3,994,565 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Chemicals, Plastics & Rubber (continued) |
||||||||||||
$ | 74 | Lyondell Chemical Co.,
Revolving Credit
Agreement (c) |
3.74 to 5.75% | 12/22/14 | $ | 42,715 | ||||||
15,804 | Lyondell Chemical Co.,
Term Loan (c) |
3.74 to 13.00 | 02/03/10 to 12/22/14 | 10,591,920 | ||||||||
1,004 | Nalco Co., Term Loan |
6.50 | 05/13/16 | 1,023,185 | ||||||||
4,938 | PQ Corp., Term Loan |
3.50 to 3.54 | 07/30/14 | 4,419,063 | ||||||||
5,196 | Solutia, Inc., Term
Loan |
7.25 | 02/28/14 | 5,286,173 | ||||||||
5,733 | Univar, Inc., Term Loan |
3.24 | 10/10/14 | 5,234,643 | ||||||||
50,886,356 | ||||||||||||
Construction Material 2.2% |
||||||||||||
4,951 | Axia, Inc., Term
Loan (a)(d)(g) |
17.95 | 12/21/12 | 0 | ||||||||
1,877 | Axia, Inc., Term
Loan (a)(g) |
5.00 | 12/21/12 | 422,361 | ||||||||
£ | 9,493 | Baxi Group Ltd., Term
Loan (United
Kingdom) |
3.91 to 4.91 | 12/31/19 | 14,673,103 | |||||||
2,315 | Building Materials
Holding Corp., Term
Loan (c)(f) |
6.50 | 11/10/11 | 711,715 | ||||||||
2,331 | Contech Construction
Products, Inc., Term
Loan |
2.25 | 01/31/13 | 2,097,866 | ||||||||
2,000 | Custom Building
Products, Inc., Term
Loan |
10.75 | 04/20/12 | 1,907,500 | ||||||||
19,812,545 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Containers, Packaging & Glass 1.9% |
||||||||||||
$ | 1,239 | Anchor Glass
Container Corp.,
Term Loan |
6.75% | 06/20/14 | $ | 1,242,154 | ||||||
8,858 | Berlin Packaging, LLC,
Term Loan |
3.25 to 6.93 | 08/17/14 to 08/17/15 | 6,365,818 | ||||||||
2,692 | Berry Plastics Goup, Inc.,
Term Loan |
2.30 | 04/03/15 | 2,319,428 | ||||||||
6,556 | Graham Packaging
Co., L.P., Term
Loan |
2.50 to 6.75 | 10/07/11 to 04/05/14 | 6,569,531 | ||||||||
16,496,931 | ||||||||||||
Diversified Manufacturing 0.3% |
||||||||||||
5,018 | Euramax International,
Inc., Term Loan (a) |
10.00 to 14.00 | 06/29/13 | 3,035,673 | ||||||||
Ecological 0.5% |
||||||||||||
6,850 | Synagro Technologies,
Inc., Term Loan |
4.99 | 10/02/14 | 4,349,750 | ||||||||
Education & Child Care 1.7% |
||||||||||||
1,368 | Bright Horizons Family
Solutions, Inc.,
Revolving Credit
Agreement |
3.50 to 5.75 | 05/28/14 | 1,285,920 | ||||||||
9,156 | Cengage Learning,
Holdings II, Inc. LP,
Term Loan |
2.74 | 07/03/14 | 7,874,512 | ||||||||
500 | Educate, Inc., Term
Loan |
5.54 | 06/16/14 | 426,250 | ||||||||
1,969 | Education
Management, LLC,
Term Loan |
2.06 | 06/03/13 | 1,850,422 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Education & Child Care (continued) | ||||||||||||
$ | 5,000 | Nelson Education Ltd.,
Term Loan
(Canada) |
6.28% | 07/03/15 | $ | 3,775,000 | ||||||
15,212,104 | ||||||||||||
Electronics 2.8% |
||||||||||||
9,304 | Edwards Ltd., Term
Loan (Cayman
Islands) (a) |
2.24 to 6.78 | 05/31/14 to 11/30/14 | 6,234,626 | ||||||||
4,936 | Infor Enterprise
Solutions Holdings,
Inc., Term Loan |
4.00 | 07/28/12 | 4,355,612 | ||||||||
6,822 | Open Solutions, Inc.,
Term Loan |
2.41 | 01/23/14 | 5,537,304 | ||||||||
4,879 | Stratus Technologies,
Inc., Term Loan |
4.04 | 03/29/11 | 4,114,871 | ||||||||
1,952 | Sungard Data
Systems, Inc., Term
Loan |
1.99 to 6.75 | 02/28/14 to 02/26/16 | 1,914,076 | ||||||||
3,103 | Verint Systems, Inc.,
Term Loan |
3.50 | 05/25/14 | 2,838,794 | ||||||||
24,995,283 | ||||||||||||
Entertainment & Leisure 3.4% |
||||||||||||
3,526 | Fender Musical
Instruments Corp.,
Term Loan |
2.54 | 06/09/14 | 3,014,502 | ||||||||
26,949 | Metro-Goldwyn-Mayer
Studios, Inc., Term
Loan (f) |
20.50 | 04/08/12 | 14,956,424 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Entertainment & Leisure (continued) |
||||||||||||
£ | 7,350 | Red Football Limited,
Term Loan (United
Kingdom) |
3.01 to 3.26 | 08/16/14 | $ | 11,063,663 | ||||||
$ | 1,500 | Ticketmaster
Entertainment, Inc.,
Term Loan |
3.55 | 07/25/14 | 1,477,500 | |||||||
30,512,089 | ||||||||||||
Farming & Agriculture 0.5% |
||||||||||||
5,000 | WM. Bolthouse Farms,
Inc., Term Loan |
5.74 | 12/16/13 | 4,737,500 | ||||||||
Finance 5.6% |
||||||||||||
3,775 | C.G. JCF Corp., Term
Loan |
3.25 | 08/01/14 | 3,416,779 | ||||||||
26,364 | First Data Corp., Term
Loan |
2.99 to 3.04 | 09/24/14 | 22,661,702 | ||||||||
5,733 | National Processing
Co. Group,
Term Loan |
7.00 to 10.75 | 09/29/13 to 09/29/14 | 5,169,106 | ||||||||
4,829 | Nuveen Investments,
Inc., Term Loan |
3.28 | 11/13/14 | 4,181,946 | ||||||||
7,599 | Oxford Acquisition III,
Ltd., Term Loan
(United Kingdom) |
2.28 | 05/12/14 | 6,319,430 | ||||||||
9,742 | RJO Holdings, Corp.,
Term Loan |
3.25 to 7.00 | 07/13/15 | 3,938,898 | ||||||||
4,757 | Transfirst Holdings,
Inc., Term Loan (a) |
3.04 to 7.04 | 06/15/14 to 06/15/15 | 4,073,550 | ||||||||
49,761,411 | ||||||||||||
Health & Beauty 1.1% |
||||||||||||
5,081 | American Safety Razor
Co., Term Loan |
6.54 | 01/30/14 | 4,153,427 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Health & Beauty (continued) |
||||||||||||
$ | 7,876 | Marietta Intermediate
Holding Corp, Term
Loan (a) |
5.25 to 12.00% | 11/30/10 | $ | 1,366,885 | ||||||
4,776 | Philosophy, Inc., Term
Loan |
2.25 | 03/16/14 | 4,035,929 | ||||||||
9,556,241 | ||||||||||||
Healthcare 5.3% |
||||||||||||
2,992 | Capella Healthcare,
Inc., Term Loan |
5.75 | 03/02/15 | 2,940,038 | ||||||||
1,985 | Catalent Pharma
Solutions, Term
Loan |
2.49 | 04/10/14 | 1,730,721 | ||||||||
5,551 | Community Health
Systems, Inc., Term
Loan |
2.49 to 2.62 | 07/25/14 | 5,127,942 | ||||||||
3,116 | Concentra Inc., Term
Loan (a) |
6.54 | 06/25/15 | 2,585,918 | ||||||||
7,075 | HCA, Inc., Term Loan |
2.53 | 11/18/13 | 6,602,782 | ||||||||
6,158 | Health Management
Associates, Inc.,
Term Loan |
2.03 | 02/28/14 | 5,727,662 | ||||||||
1,689 | Healthcare Partners,
LLC, Term Loan |
2.03 | 10/31/13 | 1,619,329 | ||||||||
2,933 | Inverness Medical
Innovations, Inc.,
Term Loan |
2.24 to 2.28 | 06/26/14 | 2,778,544 | ||||||||
4,361 | Manor Care, Inc.
Term Loan |
2.74 to 2.75 | 12/22/14 | 4,095,461 | ||||||||
700 | Surgical Care Affiliates,
LLC, Revolving
Credit Agreement |
1.75 to 2.04 | 06/28/13 | 595,000 | ||||||||
5,887 | Surgical Care Affiliates,
LLC, Term Loan |
2.30 | 12/29/14 | 5,411,283 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Healthcare (continued) |
||||||||||||
$ | 3,937 | United Surgical
Partners,
International, Inc.,
Term Loan |
2.25 to 2.29% | 04/21/14 | $ | 3,684,833 | ||||||
4,104 | Viant Holdings, Inc.,
Term Loan |
2.54 | 06/25/14 | 4,001,065 | ||||||||
46,900,578 | ||||||||||||
Home & Office Furnishings,
Housewares & Durable
Consumer Products 1.1% |
||||||||||||
8,651 | Hunter Fan Co., Term
Loan |
2.75 to 7.00 | 04/16/14 to 10/16/14 | 4,905,088 | ||||||||
4,888 | Mattress Holdings,
Corp., Term Loan |
2.54 | 01/18/14 | 3,421,250 | ||||||||
2,208 | National Bedding Co.
LLC, Term Loan |
5.31 | 02/28/14 | 1,788,223 | ||||||||
10,114,561 | ||||||||||||
Hotels,
Motels, Inns & Gaming 10.0% |
||||||||||||
| 3,768 | Amadeus IT Group
S.A., Term Loan
(Spain) |
1.49 | 12/31/19 | 5,267,739 | |||||||
3,717 | Amadeus IT Group
S.A., Term Loan
(Spain) |
1.48 to 1.69 | 12/31/19 | 3,527,221 | ||||||||
1,996 | BLB Worldwide
Holdings, Inc., Term
Loan (a) |
4.75 | 07/18/11 | 1,207,861 | ||||||||
5,500 | BLB Worldwide
Holdings, Inc., Term
Loan (f) |
6.50 | 07/18/12 | 371,250 | ||||||||
7,568 | Cannery Casino
Resorts, LLC, Term
Loan |
2.49 to 4.50 | 05/18/13 to 05/16/14 | 6,168,379 | ||||||||
2,482 | CCM Merger, Inc.,
Term Loan |
8.50 | 07/13/12 | 2,366,185 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Hotels, Motels, Inns & Gaming (continued) | ||||||||||||
£ | 1,936 | Gala Group Ltd, Term
Loan (United
Kingdom) |
3.53% | 12/01/12 | $ | 2,941,272 | ||||||
$ | 2,691 | Golden Nugget, Inc.,
Term Loan |
2.25 to 3.50 | 06/30/14 to 12/31/14 | 1,384,912 | |||||||
842 | Greektown Casino,
LLC, Term
Loan (c)(f) |
7.00 | 12/03/12 | 822,374 | ||||||||
5,565 | Greektown Holdings,
LLC, Term Loan (a) |
16.75 | 12/31/09 | 5,599,708 | ||||||||
13,225 | Harrahs Operating Co.,
Inc., Term Loan |
3.28 to 9.50 | 01/28/15 to 10/31/16 | 10,649,652 | ||||||||
7,964 | Las Vegas Sands, LLC,
Venetian Casino
Term Loan |
2.04 | 05/23/14 | 6,500,961 | ||||||||
9,923 | Magnolia Hill, LLC,
Term Loan |
3.50 to 14.00 | 10/30/13 to 04/30/14 | 9,231,124 | ||||||||
2,739 | MGM Mirage, Term
Loan |
6.00 | 10/03/11 | 2,505,914 | ||||||||
| 20,500 | Regency Entertainment
SA, Term Loan
(Greece) |
2.93 to 3.31 | 03/02/14 to 03/02/15 | 26,649,134 | |||||||
3,980 | Venetian Macau, Ltd.,
Term Loan |
4.79 | 05/25/12 to 05/27/13 | 3,699,410 | ||||||||
88,893,096 | ||||||||||||
Insurance 1.9% |
||||||||||||
3,904 | Alliant Holdings I, Inc.,
Term Loan |
3.28 | 08/21/14 | 3,640,015 | ||||||||
6,034 | AmWins Group, Inc.,
Term Loan |
2.79 to 2.88 | 06/08/13 | 4,932,657 | ||||||||
3,030 | Conseco, Inc., Term
Loan |
6.50 | 10/10/13 | 2,744,571 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Insurance (continued) | ||||||||||||
$ | 1,750 | HMSC Corp., Term
Loan |
5.78% | 10/03/14 | $ | 936,250 | ||||||
3,654 | Mitchell International,
Inc., Term Loan |
5.56 | 03/30/15 | 2,484,401 | ||||||||
2,475 | Vertafore, Inc., Term
Loan |
6.39 to 7.50 | 01/31/13 to 07/31/14 | 2,356,844 | ||||||||
17,094,738 | ||||||||||||
Machinery 1.0% | ||||||||||||
5,790 | Goodman Global, Inc.,
Term Loan |
6.25 | 02/13/14 | 5,808,817 | ||||||||
3,918 | Mold-Masters
Luxembourg
Holdings, SA, Term
Loan |
7.00 | 10/11/14 | 3,261,619 | ||||||||
9,070,436 | ||||||||||||
Media 1.4% | ||||||||||||
£ | 8,000 | Virgin Media
Investment Holdings
Limited, Term Loan (United Kingdom) |
9.50 | 12/31/19 | 12,186,275 | |||||||
Medical Products & Services 0.4% | ||||||||||||
1,841 | Biomet, Inc., Term Loan |
3.25 to 3.29 | 03/25/15 | 1,773,006 | ||||||||
1,735 | Carestream Health,
Inc., Term Loan |
2.24 to 2.25 | 04/30/13 | 1,626,741 | ||||||||
453 | Orthofix Holdings, Inc.,
Term Loan |
6.75 | 09/22/13 | 449,024 | ||||||||
3,848,771 | ||||||||||||
Mining, Steel, Iron & Non-Precious Metals 0.4% | ||||||||||||
3,873 | John Maneely Co.,
Term Loan |
3.50 to 3.53 | 12/09/13 | 3,558,332 | ||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Natural Resources 0.4% |
||||||||||||
$ | 3,000 | Dresser, Inc., Term
Loan |
6.00% | 05/04/15 | $ | 2,730,000 | ||||||
835 | Western Refining, Inc.,
Term Loan |
8.25 | 05/30/14 | 815,435 | ||||||||
3,545,435 | ||||||||||||
Non-Durable Consumer Products 5.4% |
||||||||||||
6,635 | Amscan Holdings, Inc.,
Term Loan |
2.50 to 3.38 | 05/25/13 | 6,026,687 | ||||||||
1,943 | Huish Detergents, Inc.,
Term Loan |
2.00 | 04/26/14 | 1,871,397 | ||||||||
8,362 | KIK Custom Products,
Inc., Term Loan |
2.54 to 5.28 | 06/02/14 to 11/30/14 | 4,399,925 | ||||||||
2,939 | Mega Brands, Inc.,
Term Loan
(Canada) |
9.75 | 07/26/12 | 1,689,728 | ||||||||
| 16,128 | Ontex, Term Loan
(Belgium) |
3.81 to 4.56 | 07/06/12 to 07/05/13 | 22,587,272 | |||||||
9,722 | Spectrum Brands, Inc.,
Term Loan |
8.00 to 8.75 | 06/29/12 | 9,532,288 | ||||||||
5,000 | Targus Group
International, Inc.,
Term Loan (f) |
10.75 | 05/22/13 | 1,500,000 | ||||||||
47,607,297 | ||||||||||||
Paper & Forest Products 0.6% |
||||||||||||
3,200 | Ainsworth Lumber Co.,
Ltd, Term Loan |
5.25 | 06/26/14 | 2,517,334 | ||||||||
1,894 | SP Newsprint Co.,
Term Loan |
11.00 | 03/31/10 | 1,373,036 | ||||||||
400 | Verso Paper Holding,
LLC, Term Loan (a) |
6.73 to 7.48 | 02/01/13 | 138,536 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Paper & Forest Products (continued) | ||||||||||||
$ | 3,356 | White Birch Paper Co.,
Term Loan
(Canada) (a)(f) |
7.00% | 05/08/14 | $ | 1,132,679 | ||||||
5,161,585 | ||||||||||||
Pharmaceuticals 2.8% | ||||||||||||
| 3,000 | Nyco Holdings 2 Aps,
Term Loan
(Denmark) |
2.10 to 4.12 | 11/29/11 | 4,104,401 | |||||||
21,919 | Nyco Holdings 2 Aps,
Term Loan
(Denmark) |
2.85 to 3.60 | 12/29/14 to 12/29/15 | 20,298,689 | ||||||||
24,403,090 | ||||||||||||
Printing & Publishing 6.4% | ||||||||||||
4,000 | Endurance Business
Media, Inc., Term
Loan (d)(f) |
11.25 | 01/26/14 | 0 | ||||||||
4,123 | Gatehouse Media, Inc.,
Term Loan |
2.25 | 08/28/14 | 1,604,460 | ||||||||
3,766 | Idearc, Inc., Term
Loan (c)(f) |
5.75 | 11/15/13 | 1,723,037 | ||||||||
3,171 | Knowledgepoint 360
Group, LLC, Term
Loan |
3.68 to 7.43 | 04/14/14 to 04/13/15 | 2,178,297 | ||||||||
5,731 | MediaNews Group,
Inc., Term Loan |
6.74 | 12/30/10 to 08/02/13 | 1,772,909 | ||||||||
4,918 | Merrill
Communications,
LLC, Term Loan (a) |
12.75 to 15.00 | 11/15/13 | 2,840,087 | ||||||||
2,333 | Newsday, LLC, Term
Loan |
6.53 | 08/01/13 | 2,327,500 | ||||||||
| 11,888 | Primacom, Term Loan
(Germany) |
4.95 to 5.45 | 11/21/15 to 11/21/16 | 13,908,676 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Printing & Publishing (continued) | ||||||||||||
$ | 1,451 | Primedia, Inc., Term
Loan |
2.49 to 2.53% | 08/01/14 | $ | 1,226,310 | ||||||
| 11,916 | Prosiebensat.1 Media
AG, Term Loan
(Germany) |
2.73 | 07/03/15 | 14,840,832 | |||||||
1,888 | R.H. Donnelley, Inc.,
Term Loan (c) |
6.75 | 06/30/11 | 1,652,947 | ||||||||
16,000 | Tribune Co., Bridge
Loan (c)(d)(f) |
8.25 | 12/20/15 | 320,000 | ||||||||
17,146 | Tribune Co., Term
Loan (c)(f) |
5.25 | 06/04/14 | 8,123,044 | ||||||||
6,000 | Yell Group PLC, Term
Loan (United Kingdom) |
3.28 | 04/30/11 | 4,320,000 | ||||||||
56,838,099 | ||||||||||||
Restaurants & Food Service 0.5% | ||||||||||||
1,542 | Center Cut Hospitality,
Inc., Term Loan |
2.89 | 07/06/14 | 1,441,940 | ||||||||
3,256 | Volume Services
America, Inc., Term
Loan |
9.25 | 12/31/12 | 3,142,322 | ||||||||
4,584,262 | ||||||||||||
Retail - Oil & Gas 0.4% | ||||||||||||
3,868 | The Pantry, Inc., Term
Loan |
1.75 | 05/15/14 | 3,667,781 | ||||||||
Retail - Specialty 1.7% | ||||||||||||
| 6,315 | Travelport, LLC, Term
Loan |
3.24 | 08/23/13 | 8,317,764 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Retail - Specialty (continued) | ||||||||||||
| 6,500 | Zapf, Term Loan
(Germany) (d) |
4.93% | 11/30/12 | $ | 7,174,298 | ||||||
15,492,062 | ||||||||||||
Retail - Stores 2.2% | ||||||||||||
4,988 | Dollar General Corp.,
Term Loan |
2.99 | 07/07/14 | 4,759,312 | ||||||||
6,552 | General Nutrition
Centers, Inc., Term
Loan |
2.50 to 2.54 | 09/16/13 | 6,081,098 | ||||||||
4,157 | Guitar Center, Inc.,
Term Loan |
3.75 | 10/09/14 | 3,466,280 | ||||||||
4,350 | Rite Aid Corp.,
Term loan |
6.00 | 06/04/14 | 4,088,949 | ||||||||
1,020 | Sally Holdings, Inc.,
Term Loan |
2.49 to 2.62 | 11/16/13 | 974,246 | ||||||||
19,369,885 | ||||||||||||
Software 1.6% | ||||||||||||
| 10,000 | NDS Finance Limited,
Term Loan
(United Kingdom) |
4.93 | 10/14/15 | 14,054,266 | |||||||
Telecommunications - Equipment & Services 1.8% | ||||||||||||
| 4,774 | EWT (Escaline
S.A.R.L), Term Loan
(Germany) |
3.56 to 4.22 | 10/31/14 to 10/30/15 | 5,835,903 | |||||||
| 10,000 | Fibernet, Term Loan
(Bulgaria) (d) |
3.14 to 3.64 | 12/20/14 to 12/20/15 | 10,301,556 | |||||||
16,137,459 | ||||||||||||
Telecommunications - Local Exchange Carriers 1.1% | ||||||||||||
6,533 | Global Tel*Link Corp.,
Term Loan |
9.00 | 02/14/13 | 6,418,303 | ||||||||
3,200 | Hawaiian Telcom
Communications, Inc,
Term Loan (a)(c) |
4.75 | 06/01/14 | 2,303,735 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Telecommunications - Local Exchange Carriers (continued) | ||||||||||||
$ | 1,389 | Sorenson
Communications,
Inc., Term Loan |
2.75% | 08/16/13 | $ | 1,314,787 | ||||||
10,036,825 | ||||||||||||
Telecommunications - Long Distance 0.5% | ||||||||||||
5,167 | Level 3
Communications,
Inc., Term Loan |
2.53 to 11.50 | 03/13/14 | 4,543,403 | ||||||||
Telecommunications - Wireless 0.9% | ||||||||||||
2,923 | Asurion Corp., Term
Loan |
3.24 to 3.25 | 07/03/14 | 2,779,931 | ||||||||
3,798 | MetroPCS Wireless,
Inc., Term Loan |
2.50 to 2.75 | 11/04/13 | 3,577,737 | ||||||||
1,818 | NTELOS, Inc., Term
Loan |
5.75 | 08/07/15 | 1,831,060 | ||||||||
8,188,728 | ||||||||||||
Textiles & Leather 0.8% | ||||||||||||
3,470 | Gold Toe Investment
Corp., Term Loan |
8.50 to 11.75 | 10/30/13 to 04/30/14 | 2,324,610 | ||||||||
5,000 | Levi Strauss & Co.,
Term Loan |
2.50 | 03/27/14 | 4,612,500 | ||||||||
6,937,110 | ||||||||||||
Utilities 5.9% | ||||||||||||
5,000 | Bicent Power, LLC,
Term Loan |
4.29 | 12/31/14 | 3,875,000 | ||||||||
4,457 | BRSP, LLC, Term Loan |
7.50 | 06/24/14 | 4,189,570 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Utilities (continued) | ||||||||||||
$ | 22,750 | Calpine Corp., Term
Loan |
3.17% | 03/29/14 | $ | 20,844,979 | ||||||
4,853 | First Light Power
Resources, Inc.,
Term Loan |
2.81 to 4.81 | 11/01/13 to 05/01/14 | 4,198,101 | ||||||||
187 | Mach Gen, LLC, Term Loan |
2.28 | 02/22/13 | 174,300 | ||||||||
3,983 | NRG Energy, Inc.,
Term Loan |
1.99 to 2.03 | 02/01/13 | 3,757,480 | ||||||||
13,020 | Texas Competitive
Electric Holdings, Co.,
LLC, Term Loan |
3.74 to 3.78 | 10/10/14 | 10,085,868 | ||||||||
6,000 | TPF Generation
Holdings, LLC, Term
Loan |
4.49 to 4.53 | 12/15/14 | 5,160,000 | ||||||||
52,285,298 | ||||||||||||
Total Variable Rate Senior Loan Interests ** 107.4% | 953,557,566 | |||||||||||
Notes 23.8% | ||||||||||||
Broadcasting - Cable 0.6% | ||||||||||||
5,000 | Kabel Deutschland
GmbH (Germany) |
10.63 | 07/01/14 | 5,293,750 | ||||||||
Chemicals, Plastics & Rubber 0.7% | ||||||||||||
5,000 | Cognis GmbH
(Germany) (b) |
2.30 | 09/15/13 | 4,475,000 | ||||||||
1,893 | Wellman, Inc. (a)(d) |
5.00 | 01/30/19 | 1,893,000 | ||||||||
6,368,000 | ||||||||||||
Construction Material 0.2% | ||||||||||||
2,000 | Compression Polymers
Corp. (h) |
7.87 | 07/01/12 | 1,690,000 | ||||||||
Containers, Packaging & Glass 7.6% | ||||||||||||
| 8,321 | Ardagh Glass Finance
BV (Ireland) (b) |
8.88 | 07/01/13 | 12,490,519 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||||||
Containers, Packaging & Glass (continued) | ||||||||||||||||
| 9,200 | Ardagh Glass Finance
(Ireland) (b) |
7.13 | % | 06/15/17 | $ | 12,016,029 | |||||||||
2,000 | Berry Plastics Group,
Inc. (h) |
5.03 | 02/15/15 | 1,850,000 | ||||||||||||
| 4,500 | Impress Holdings
(Netherlands) (b) |
9.25 | 09/15/14 | 6,854,214 | |||||||||||
| 12,000 | Impress Metal
Packaging Holdings
BV (Netherlands) (b) |
3.87 | 09/15/13 | 16,644,371 | |||||||||||
| 12,725 | Pregis Corp. |
5.74 | 04/15/13 | 17,251,089 | |||||||||||
67,106,222 | ||||||||||||||||
Healthcare 0.8% |
||||||||||||||||
6,167 | Apria Healthcare
Group, Inc. |
11.25 | 11/01/14 | 6,706,250 | ||||||||||||
Hotels, Motels, Inns & Gaming 0.2% | ||||||||||||||||
2,000 | Wynn Las Vegas,
LLC |
6.63 | 12/01/14 | 1,910,000 | ||||||||||||
Media 0.5% | ||||||||||||||||
4,250 | Virgin Media Finance
PLC (United
Kingdom) |
9.50 | 08/15/16 | 4,515,625 | ||||||||||||
Mining, Steel, Iron & Non-Precious Metals 2.2% | ||||||||||||||||
18,000 | FMG Finance Pty Ltd
(Australia) (b) |
10.63 | 09/01/16 | 19,845,000 | ||||||||||||
Telecommunications - Equipment & Services 5.1% | ||||||||||||||||
| 6,000 | Iesy Hessen Gmbh &
Co, Kg
(Germany) (b) |
3.78 | 04/15/13 | 8,565,008 | |||||||||||
| 4,825 | Magyar Telecom
(Invtel)
(Netherlands) (b) |
10.75 | 08/15/12 | 6,497,154 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||||||
Telecommunications - Equipment & Services (continued) | ||||||||||||||||
| 24,150 | Versatel AG
(Germany) (b) |
3.52 | % | 06/15/14 | $ | 29,853,909 | |||||||||
44,916,071 | ||||||||||||||||
Telecommunications - Local Exchange Carriers 0.1% | ||||||||||||||||
1,000 | Qwest Corp. (h) |
3.55 | 06/15/13 | 935,000 | ||||||||||||
Telecommunications - Wireless 1.7% | ||||||||||||||||
14,000 | Wind Acquisition Fin
SA (Italy) (b) |
10.75 | 12/01/15 | 15,190,000 | ||||||||||||
Transportation - Cargo 3.5% | ||||||||||||||||
| 22,112 | CB Bus AB
(Sweden) (d) |
9.13 | 08/01/12 | 31,239,498 | |||||||||||
Transportation Infrastructure 0.6% | ||||||||||||||||
| 5,000 | Channel Link (United
Kingdom) |
2.70 | 06/30/50 | 5,297,943 | |||||||||||
Total Notes 23.8% | 211,013,359 | |||||||||||||||
Description | Value | |||
Equities 0.2% |
||||
Axia, Inc. (Warrants for 6,352 common shares, Expiration date 12/31/18,
Acquired 09/24/08, Cost $0) (d) (g) (i) |
0 | |||
Building Materials Holding Corp. (Warrants for 15,357 common shares,
Expiration date 09/30/15, Acquired 10/09/08, Cost $0) (d) (i) |
0 | |||
Euramax International (1,870 common shares, Acquired 7/09/09,
Cost $1,962,106) (d) |
60,769 | |||
Newhall Holding Co. (235,259 common shares, Acquired 08/24/09,
Cost $2,012,043) |
435,229 | |||
Vitruvian Exploration, LLC (76,400 common shares, Acquired 10/19/09,
Cost $3,276,000) (d) |
550,080 | |||
WCI Communities, Inc. (1,830 common shares, Acquired 09/23/09,
Cost $205,427) |
128,100 | |||
Wellman, Inc. (1,892 common shares, Acquired 02/12/09 & 6/16/09,
Cost $4,958,713) (d) |
898,700 | |||
Total Equities 0.2% |
2,072,878 | |||
Total Long-Term Investments 131.4% (Cost $1,368,560,826) |
1,166,643,803 | |||
Time Deposit 3.4% |
||||
State Street Bank & Trust Corp. ($30,093,618 par, 0.01% coupon, dated
10/31/09, to be sold on 11/02/09 at $30,093,643) (j) |
30,093,618 | |||
Total Investments 134.8% (Cost $1,398,654,444) |
1,196,737,421 | |||
Foreign Currency 0.3% (Cost $2,660,513) |
2,640,240 | |||
Borrowings (26.9%) |
(238,500,000 | ) | ||
Liabilities in Excess of Other Assets (8.2%) |
(73,214,665 | ) | ||
Net Assets 100.0% |
$ | 887,662,996 | ||
£ | - | Great Britain Pound |
| - | Euro |
(a) | All or portion of this security is payment-in-kind. | |
(b) | 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. | |
(c) | This borrower has filed for protection in federal bankruptcy court. | |
(d) | Market value is determined in accordance with procedures established in good faith by the Board of Trustees. | |
(e) | Senior loan is past due. | |
(f) | This Senior Loan interest is non-income producing. | |
(g) | Affiliated company. | |
(h) | Variable rate security. Interest rate shown is that in effect at October 31, 2009. | |
(i) | 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. | |
(j) | All or a portion of this security is designated in connection with unfunded loan commitments. | |
* | 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 | $ | 7,358 | $ | 0 | 58,370 | B- | |||||||||||||||
Bank of America N.A. |
Seat Pagine Gialle S.P.A |
Sell | 3.350 | 09/20/12 | 7,358 | 0 | (1,804,828 | ) | B | |||||||||||||||||
Bank of America N.A. |
Seat Pagine Gialle S.P.A |
Sell | 3.650 | 12/20/12 | 7,358 | 0 | (1,898,134 | ) | B | |||||||||||||||||
Citigroup |
M-Real Oyj |
Sell | 4.250 | 12/20/09 | 7,358 | 0 | 59,576 | CCC+ | ||||||||||||||||||
Credit Suisse International |
Codere Finance Luxembourg SA |
Sell | 3.420 | 09/20/12 | 7,358 | 0 | (434,207 | ) | B | |||||||||||||||||
Goldman Sachs
International |
ArcelorMittal | Sell | 5.400 | 06/20/11 | 7,358 | 0 | 529,164 | BBB |
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 |
ArcelorMittal | Sell | 5.650 | % | 06/20/12 | $ | 7,358 | $ | 0 | 768,099 | BBB | |||||||||||||||
Goldman Sachs
International |
ArcelorMittal | Sell | 5.750 | 06/20/10 | 7,358 | 0 | 283,187 | BBB | ||||||||||||||||||
Goldman Sachs International |
Calpine Corporation |
Sell | 5.000 | 03/20/10 | 1,500 | (165,000 | ) | 13,211 | B | |||||||||||||||||
Goldman Sachs International |
Calpine Corporation |
Sell | 5.000 | 03/20/11 | 2,000 | (65,000 | ) | (28,496 | ) | B | ||||||||||||||||
Goldman Sachs
International |
CDX.NA.HY.9 |
Sell | 3.750 | 12/20/12 | 17,200 | (715,500 | ) | (909,583 | ) | NR | ||||||||||||||||
Goldman Sachs International |
Citgo Petroleum Corp. |
Sell | 4.150 | 12/20/10 | 5,000 | 0 | (100,625 | ) | BB- | |||||||||||||||||
Goldman Sachs International |
Gala Group Finance |
Sell | 3.450 | 12/20/12 | 7,358 | 0 | (768,483 | ) | NR | |||||||||||||||||
Goldman Sachs International |
Gala Group Finance |
Sell | 4.150 | 03/20/13 | 7,358 | 0 | (728,314 | ) | NR | |||||||||||||||||
Goldman Sachs International |
Grohe Holding GMBH |
Sell | 4.250 | 12/20/09 | 14,717 | 0 | 51,452 | B- | ||||||||||||||||||
Goldman Sachs
International |
LCDX.NA.10 |
Sell | 3.250 | 06/20/13 | 49,800 | (5,341,000 | ) | (1,404,775 | ) | NR | ||||||||||||||||
Goldman Sachs
International |
LCDX9 | Sell | 2.250 | 12/20/12 | 42,000 | (3,383,000 | ) | (1,898,750 | ) | NR | ||||||||||||||||
Goldman Sachs
International |
Peermont Global |
Sell | 3.500 | 09/20/12 | 7,358 | 0 | (583,503 | ) | B | |||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric |
Sell | 2.850 | 06/20/10 | 5,000 | 0 | (148,950 | ) | B- | |||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric |
Sell | 5.000 | 06/20/10 | 3,000 | (97,500 | ) | (43,334 | ) | B- | ||||||||||||||||
Goldman Sachs
International |
UPC Holding |
Sell | 3.450 | 09/20/12 | 7,358 | 0 | (110,238 | ) | B+ | |||||||||||||||||
Goldman Sachs
International |
Xstrata PLC | Sell | 5.800 | 06/20/10 | 7,358 | 0 | 293,287 | BBB | ||||||||||||||||||
UBS AG |
CDX.NA.HY.10 | Sell | 5.000 | 06/20/13 | 17,400 | (1,128,250 | ) | (449,567 | ) | NR | ||||||||||||||||
UBS AG |
CDX.NA.HY.9 | Sell | 3.750 | 12/20/12 | 17,200 | (715,500 | ) | (909,582 | ) | NR | ||||||||||||||||
Total Credit Default Swaps |
$ | 270,471 | $ | (11,610,750 | ) | $ | (10,165,023 | ) | ||||||||||||||||||
Swap Collateral Pledged to Counterparty | ||||
Bank of America N.A. |
4,453,000 | |||
Citigroup |
211,000 | |||
Credit Suisse International |
848,000 | |||
Goldman Sachs International |
1,213,000 | |||
UBS AG |
4,665,000 | |||
Total Swap Collateral Pledged |
$ | 11,390,000 | ||
Total Swap Agreements |
$ | 1,224,977 | ||
NR | | Not Rated |
* | Credit ratings as issued by Standard & Poors. (Unaudited) |
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
In Exchange for | Current Value | Depreciation | ||||||||||
Long Contracts: |
||||||||||||
Euro |
||||||||||||
8,008,456 expiring 11/12/09 |
US$ | $ | 11,785,411 | $ | (104,848 | ) | ||||||
1,259,300 expiring 11/12/09 |
US$ | 1,853,212 | (478 | ) | ||||||||
317,125 expiring 11/12/09 |
US$ | 466,688 | (6,647 | ) | ||||||||
4,900,000 expiring 11/12/09 |
US$ | 7,210,942 | (28,808 | ) | ||||||||
4,525,000 expiring 11/12/09 |
US$ | 6,659,084 | (49,228 | ) | ||||||||
1,260,072 expiring 11/12/09 |
US$ | 1,854,348 | (21,740 | ) | ||||||||
(211,749 | ) | |||||||||||
Short Contracts: |
||||||||||||
Euro |
||||||||||||
3,746,170 expiring 11/12/09 |
US$ | 5,512,942 | 110,808 | |||||||||
2,715,141 expiring 11/12/09 |
US$ | 3,995,658 | 76,470 | |||||||||
3,600,000 expiring 11/12/09 |
US$ | 5,297,835 | 76,180 | |||||||||
215,513,345 expiring 11/12/09 |
US$ | 317,153,933 | 352,827 | |||||||||
616,285 | ||||||||||||
Pound Sterling |
||||||||||||
1,700,288 expiring 11/12/09 |
US$ | 2,790,433 | (87,485 | ) | ||||||||
Total Short Contracts |
528,800 | |||||||||||
Total Forward Foreign Currency Contracts | $ | 317,051 | ||||||||||
Ratings Allocation as of 10/31/09 (Unaudited) | ||||
BBB/Baa |
1.3 | % | ||
BB/Ba |
24.4 | % | ||
B/B |
35.9 | % | ||
CCC/Caa |
7.0 | % | ||
CC/Ca |
0.1 | % | ||
C/C |
0.7 | % | ||
Non-Rated |
30.6 | % |
Percentage of | ||||||||
Long-Term | ||||||||
Country | Value | Investment | ||||||
United States |
$ | 711,086,845 | 61.0 | % | ||||
Germany |
108,791,422 | 9.3 | ||||||
United Kingdom |
87,375,882 | 7.5 | ||||||
Netherlands |
44,800,141 | 3.9 | ||||||
Sweden |
33,008,656 | 2.8 | ||||||
Greece |
26,649,134 | 2.3 | ||||||
Ireland |
24,506,548 | 2.1 |
Percentage of | ||||||||
Long-Term | ||||||||
Country | Value | Investment | ||||||
Denmark |
24,403,090 | 2.1 | ||||||
Belgium |
22,587,272 | 1.9 | ||||||
Bulgaria |
19,867,287 | 1.7 | ||||||
Australia |
19,845,000 | 1.7 | ||||||
Italy |
15,190,000 | 1.3 | ||||||
Spain |
13,127,993 | 1.1 | ||||||
Canada |
9,169,907 | 0.8 | ||||||
Cayman Islands |
6,234,626 | 0.5 | ||||||
$ | 1,166,643,803 | 100.0 | % | |||||
Level 1 | Level 2 | Level 3 | ||||||||||||||
Significant | ||||||||||||||||
Other Significant | Unobservable | |||||||||||||||
Investment Type | Quoted Prices | Observable Inputs | Inputs | Total | ||||||||||||
Investments in an Asset Position: |
||||||||||||||||
Variable Rate Senior Loan Interests |
| 921,586,433 | 31,971,132 | 953,557,565 | ||||||||||||
Notes |
| 177,880,861 | 33,132,498 | 211,013,359 | ||||||||||||
Equities |
||||||||||||||||
Buildings & Real Estate |
563,329 | | | 563,329 | ||||||||||||
Chemicals,Plastics & Rubber |
| | 898,700 | 898,700 | ||||||||||||
Diversified Manufacturing |
| | 60,769 | 60,769 | ||||||||||||
Natural Resources |
| | 550,080 | 550,080 | ||||||||||||
Short-term Investments |
| 30,093,618 | | 30,093,618 | ||||||||||||
Forward Foreign Currency Contracts |
| 616,285 | | 616,285 | ||||||||||||
Credit Default Swap |
| 2,056,346 | | 2,056,346 | ||||||||||||
Unfunded Commitments |
| 11,303 | | 11,303 | ||||||||||||
Total Assets |
563,329 | 1,132,244,846 | 66,613,179 | 1,199,421,354 | ||||||||||||
Investment in a Liability Position: |
||||||||||||||||
Forward Foreign Currency Contracts |
| (299,234 | ) | | (299,234 | ) | ||||||||||
Credit Default Swap |
| (10,224,599 | ) | | (10,224,599 | ) | ||||||||||
Unfunded Commitments |
| (3,785,307 | ) | | (3,785,307 | ) | ||||||||||
Total Liabilities |
| (14,309,140 | ) | | (14,309,140 | ) | ||||||||||
Variable | ||||||||||||||||||||||||||||||||||
Rate | ||||||||||||||||||||||||||||||||||
Senior | ||||||||||||||||||||||||||||||||||
Loan | Chemicals | Construction | Diversified | Natural | Unfunded | |||||||||||||||||||||||||||||
Interest | Notes | Plastics & Rubber | Materials | Manufacturing | Resources | Total | Commitments | |||||||||||||||||||||||||||
Balance as of August 1, 2009 |
20,874,117 | 37,161,648 | 1,103,660 | 14,163 | 95,360 | | 59,248.948 | (13,947 | ) | |||||||||||||||||||||||||
Accrued Discounts/Premiums |
75,103 | 211,750 | | | | | 286,853 | |||||||||||||||||||||||||||
Realized Gain/Loss |
(813,065 | ) | (180,171 | ) | | 29,835 | | | (963,401 | ) | ||||||||||||||||||||||||
Change in Unrealized
Appreciation/Depreciation |
432,143 | 3,370,096 | (204,960 | ) | | (34,591 | ) | (2,725,920 | ) | 836,768 | 13,947 | |||||||||||||||||||||||
Net Purchases/Sales |
13,217,379 | (7,430,825 | ) | | (43,998 | ) | | 3,276,000 | 9,018,556 | |||||||||||||||||||||||||
Net
Transfers In and/or Out of Level 3* |
(1,814,545 | ) | | | | | | (1,814,545 | ) | |||||||||||||||||||||||||
Balance as of October 31, 2009 |
31,971,132 | 33,132,498 | 898,700 | | 60,769 | 550,080 | 66,613,179 | | ||||||||||||||||||||||||||
Net Change in Unrealized
Appreciation/Depreciation
from Investments Still Held
as of 10/31/09 |
2,061 |
* | The value of Net Transfers In and/or Out of Level 3 was measured using the market value as of the beginning of the period for transfer in and the market value as of the end of the period for transfers out. |
(Registrant) Van Kampen Dynamic Credit Opportunities Fund | ||||
By: Name: |
/s/ Edward C. Wood III
|
|||
Title:
|
Principal Executive Officer | |||
Date:
|
December 17, 2009 |
By: Name: |
/s/ Edward C. Wood III
|
|||
Title:
|
Principal Executive Officer | |||
Date:
|
December 17, 2009 | |||
By: Name: |
/s/ Stuart N. Schuldt
|
|||
Title:
|
Principal Financial Officer | |||
Date:
|
December 17, 2009 |