OMB APPROVAL | ||
OMB Number: 3235-0578 |
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Expires: April 30, 2013 |
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Estimated average burden
hours per response: 5.6 |
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* | On June 1, 2010, Invesco completed its acquisition of Van Kampen Investments and Morgan Stanleys retail assets management business. This Trust was included in that acquisition and as of that date, became Invesco Van Kampen Dynamic Credit Opportunities Fund. Please visit www.invesco.com/transaction for more information or call Invescos Client Services team at 800-959-4246. |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Variable Rate Senior Loan
Interests** 103.5% |
||||||||||||||||
Aerospace/Defense 0.7% |
||||||||||||||||
$ | 1,969 | Booz Allen Hamilton, Inc.
Term Loan C |
6.000 | % | 07/31/15 | $ | 1,977,117 | |||||||||
2,107 | IAP Worldwide Services, Inc.
Term Loan (a) |
9.250 | 12/30/12 | 2,012,486 | ||||||||||||
254 | TASC, Inc. Term Loan A |
5.500 | 12/18/14 | 254,984 | ||||||||||||
520 | TASC, Inc. Term Loan B |
5.750 | 12/18/15 | 523,037 | ||||||||||||
2,000 | Wesco Aircraft Hardware Corp.
Second Lien Term Loan |
6.030 | 03/28/14 | 1,947,500 | ||||||||||||
6,715,124 | ||||||||||||||||
Automotive 3.3% |
||||||||||||||||
1,587 | Acument Global Technologies,
Inc. Term Loan (a) |
14.000 | 08/11/13 | 1,543,205 | ||||||||||||
4,597 | Federal-Mogul Corp. Term Loan B |
2.190 | 12/29/14 | 4,213,497 | ||||||||||||
3,338 | Federal-Mogul Corp. Term Loan C |
2.200 | 12/28/15 | 3,059,431 | ||||||||||||
11,014 | Ford Motor Co. Term Loan |
3.280 | 12/16/13 | 10,654,016 | ||||||||||||
3,837 | MetoKote Corp. Term Loan
Refinance |
9.000 | 11/27/11 | 3,500,873 | ||||||||||||
3,325 | Oshkosh Truck Corp. Term Loan B |
6.260 | 12/06/13 | 3,346,942 | ||||||||||||
| 3,768 | Sensata Technologies BV
Term Loan B |
2.646 | 04/26/13 | 4,797,515 | |||||||||||
944 | TRW Automotive, Inc. Term
Loan A2 |
5.014 | 05/30/15 | 948,299 | ||||||||||||
32,063,778 | ||||||||||||||||
Banking 0.0% |
||||||||||||||||
114 | Dollar Financial Corp. CAD Term
Loan |
7.000 | 10/30/12 | 110,320 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Banking (continued) |
||||||||||||||||
$ | 84 | Dollar Financial Corp. Delayed
Draw Term Loan |
7.000 | % | 10/30/12 | $ | 81,142 | |||||||||
191,462 | ||||||||||||||||
Beverage, Food & Tobacco 8.9% |
||||||||||||||||
| 7,000 | Alliance Boots Holdings Ltd.
Term Loan B2 (United
Kingdom) |
3.347 | 07/05/15 | 8,846,377 | |||||||||||
£ | 8,000 | Alliance Boots Holdings Ltd.
Term Loan B1 (United
Kingdom) |
3.554 | 07/05/15 | 11,492,874 | |||||||||||
£ | 3,000 | Brake Brothers PLC Term Loan B
(United Kingdom) (i) |
| 09/01/14 | 4,245,891 | |||||||||||
4,534 | Coleman Natural Foods, LLC First
Lien Term Loan |
6.930 | 08/22/12 | 4,194,132 | ||||||||||||
633 | Dole Food Co., Inc. Credit Link
Deposit |
7.879 | 08/30/10 | 640,591 | ||||||||||||
1,995 | Dole Food Co., Inc. Term Loan B |
5.042 | 03/02/17 | 2,018,518 | ||||||||||||
4,954 | Dole Food Co., Inc. Term Loan C |
5.010 | 03/02/17 | 5,013,494 | ||||||||||||
10,000 | DSW Holdings, Inc. Term Loan |
4.259 | 03/02/12 | 9,868,750 | ||||||||||||
12,000 | Farleys & Sathers Candy Co.,
Inc. Second Lien Term Loan |
11.250 | 01/02/12 | 11,640,000 | ||||||||||||
| 1,276 | Foodvest Ltd. Term Loan C2
(Sweden) |
4.893 | 10/02/16 | 1,671,376 | |||||||||||
5,000 | FSB Holdings, Inc. Second Lien
Term Loan |
6.063 | 03/29/14 | 4,700,000 | ||||||||||||
| 1,000 | Liberator Midco Ltd. Term Loan B1
(United Kingdom) |
2.658 | 11/03/14 | 1,315,362 | |||||||||||
957 | Liberator Midco Ltd. Term loan C1
(United Kingdom) |
3.033 | 11/03/15 | 1,259,183 | ||||||||||||
3,000 | LJVH Holding, Second Lien Term Loan (Canada) |
5.790 | 01/19/15 | 2,799,999 | ||||||||||||
| 1,600 | Panrico Inc. Term Loan B
(Spain) |
3.363 | 05/30/14 | 1,583,852 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Beverage, Food & Tobacco (continued) |
||||||||||||||||
| 1,960 | Panrico Inc. Term Loan C
(Spain) |
3.738 | % | 05/29/15 | $ | 1,940,307 | |||||||||
5,066 | Pinnacle Foods Finance, LLC
Term Loan C |
7.500 | 04/02/14 | 5,112,697 | ||||||||||||
7,402 | Pinnacle Foods Finance, LLC
Term Loan B |
2.999 | 04/02/14 | 7,224,145 | ||||||||||||
85,567,548 | ||||||||||||||||
Broadcasting Cable 6.7% |
||||||||||||||||
| 3,250 | Bultel Cable Bulgaria EAD Term
Loan A (Bulgaria) (b) |
5.408 | 10/27/15 | 4,327,212 | |||||||||||
| 3,250 | Bultel Cable Bulgaria EAD Term
Loan B (Bulgaria) (b) |
6.408 | 10/27/16 | 4,327,212 | |||||||||||
15,901 | Charter Communications
Operating, LLC Extended
Term Loan |
3.550 | 09/06/16 | 15,228,203 | ||||||||||||
1,959 | Charter Communications
Operating, LLC Replacement
Term Loan (c) |
2.300 | 03/06/14 | 1,862,211 | ||||||||||||
5,000 | Charter Communications
Operating, LLC Third Lien
Term Loan (c) |
2.752 | 09/06/14 | 4,654,165 | ||||||||||||
2,448 | CSC Holdings, Inc. Extended
Term Loan A3 |
1.004 | 02/24/12 | 2,426,731 | ||||||||||||
| 5,000 | Kabel Baden-Wuerttemberg
GmBH Term Loan B
(Germany) |
2.904 | 06/09/14 | 6,551,152 | |||||||||||
| 5,000 | Kabel Baden-Wuerttemberg
GmBH Term Loan C
(Germany) |
3.404 | 06/09/15 | 6,551,152 | |||||||||||
4,039 | Knology Inc. Extended Term
Loan |
3.792 | 06/30/14 | 4,011,514 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Broadcasting Cable (continued) |
||||||||||||||||
$ | 898 | MCC Iowa, LLC
Term Loan F |
4.500 | % | 10/23/17 | $ | 898,525 | |||||||||
| 10,000 | UPC Broadband Holding B.V.
Term Loan U
(Netherlands) |
4.995 | 12/31/17 | 12,845,468 | |||||||||||
1,250 | UPC Financing Partnership
Term Loan T (Netherlands) |
3.930 | 12/30/16 | 1,236,563 | ||||||||||||
64,920,108 | ||||||||||||||||
Broadcasting Diversified 0.8% |
||||||||||||||||
1,800 | Alpha Topco, Ltd.,
Second Lien Term Loan
(United Kingdom) |
3.822 | 06/30/14 | 1,641,681 | ||||||||||||
3,529 | Alpha Topco, Ltd., Term Loan B1
(United Kingdom) |
2.447 | 12/31/13 | 3,325,186 | ||||||||||||
2,384 | Alpha Topco, Ltd., Term Loan B2
(United Kingdom) |
2.447 | 12/31/13 | 2,246,069 | ||||||||||||
857 | Cumulus Media, Inc. Term Loan B |
4.259 | 06/11/14 | 789,898 | ||||||||||||
8,002,834 | ||||||||||||||||
Broadcasting Radio 0.6% |
||||||||||||||||
1,887 | CMP KC, LLC Term Loan (b)(d) |
6.250 | 05/03/11 | 575,425 | ||||||||||||
4,782 | CMP Susquehanna Corp. Term Loan 2.313 |
05/05/13 | 4,087,163 | |||||||||||||
1,646 | Multicultural Radio Broadcasting,
Inc. Term Loan |
3.000 | 12/18/12 | 1,355,504 | ||||||||||||
6,018,092 | ||||||||||||||||
Broadcasting Television 2.5% |
||||||||||||||||
2,625 | FoxCo Acquisition Sub, LLC Term Loan |
7.500 | 07/14/15 | 2,614,860 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Broadcasting Television (continued) |
||||||||||||||||
$ | 636 | High Plains Broadcasting
Operating Co., LLC Term Loan |
9.000 | % | 09/14/16 | $ | 623,204 | |||||||||
2,420 | Newport Television, LLC Term
Loan B |
9.000 | 09/14/16 | 2,371,888 | ||||||||||||
19,801 | Univision Communications, Inc.
Initial Term Loan |
2.540 | 09/29/14 | 18,088,069 | ||||||||||||
23,698,021 | ||||||||||||||||
Buildings & Real Estate 1.4% |
||||||||||||||||
1,305 | CB Richard Ellis Services, Inc.
Term Loan B |
6.000 | 12/20/13 | 1,306,494 | ||||||||||||
2,000 | El Ad IDB Las Vegas, LLC
Term Loan A2 |
4.251 | 08/09/12 | 800,000 | ||||||||||||
2,032 | Ginn LA CS Borrower First Lien
Term Loan (d) |
6.196 | 06/08/11 | 147,290 | ||||||||||||
948 | Ginn LA CS Borrower First Lien
A Credit Linked (d) |
7.750 | 06/08/11 | 68,710 | ||||||||||||
4,500 | Ginn LA CS Borrower Second Lien
Term Loan (b)(d) |
10.196 | 06/08/12 | 7,501 | ||||||||||||
2,382 | Kyle Acquisition Group, LLC
Term Loan B (d)(e) |
5.750 | 07/20/09 | 238,243 | ||||||||||||
2,618 | Kyle Acquisition Group, LLC
Term Loan C (d) |
4.000 | 07/20/11 | 261,757 | ||||||||||||
3,000 | Lake At Las Vegas Joint
Venture, LLC DIP Term
Loan (a)(c) |
9.773 | 07/15/10 | 900,000 | ||||||||||||
37 | Lake At Las Vegas Joint
Venture, LLC Mezzanine Term
Loan (a)(c)(d) |
20.000 | 10/01/10 | 597 | ||||||||||||
20,431 | Lake At Las Vegas Joint
Venture, LLC New Term
Loan (a)(c)(d) |
14.333 | 06/20/12 | 327,759 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Buildings & Real Estate (continued) |
||||||||||||||||
$ | 1,806 | Lake At Las Vegas Joint
Venture, LLC Revolving
Credit Agreement (a)(c)(d) |
14.350 | % | 06/20/12 | $ | 28,965 | |||||||||
3,000 | Metroflag BP, LLC Second Lien
Term Loan (d)(e) |
11.250 | 07/06/09 | 31,500 | ||||||||||||
1,638 | NLV Holdings, LLC Second Lien
Term Loan (a)(c)(d) |
5.250 | 05/09/12 | 120,772 | ||||||||||||
1,554 | Realogy Corp. Letter of Credit |
3.375 | 10/10/13 | 1,412,182 | ||||||||||||
5,771 | Realogy Corp. Term Loan |
3.292 | 10/10/13 | 5,245,246 | ||||||||||||
385 | Rhodes Homes New Term Loan |
2.291 | 03/31/16 | 307,915 | ||||||||||||
2,000 | Standard Pacific Corp. Term Loan |
2.000 | 05/05/13 | 1,843,334 | ||||||||||||
1,008 | Tamarack Resorts, LLC (d) |
8.051 | 05/19/11 | 15,113 | ||||||||||||
209 | Tamarack Resorts, LLC Term
Loan (d)(e) |
20.250 | 07/02/09 | 166,886 | ||||||||||||
1,489 | Tamarack Resorts, LLC
Term Loan B (d) |
7.500 | 05/19/11 | 22,330 | ||||||||||||
216 | WCI Communities, Inc. First Lien
Term Loan |
10.070 | 09/03/14 | 215,611 | ||||||||||||
322 | WCI Communities, Inc. PIK
Term Loan (a) |
10.000 | 09/02/16 | 312,675 | ||||||||||||
13,780,880 | ||||||||||||||||
Business Equipment & Services 2.9% |
||||||||||||||||
4,000 | Affinion Group, Inc. Term Loan B |
5.000 | 10/10/16 | 3,980,000 | ||||||||||||
2,917 | GSI Holdings, LLC Term Loan |
3.260 | 08/01/14 | 2,727,665 | ||||||||||||
4,548 | NCO Financial Systems Term
Loan B |
6.910 | 05/15/13 | 4,498,901 | ||||||||||||
9,620 | Nielsen Finance, LLC
Term Loan A |
2.251 | 08/09/13 | 9,399,188 | ||||||||||||
175 | RGIS Holdings, LLC Delayed
Draw Term Loan |
2.790 | 04/30/14 | 165,962 | ||||||||||||
3,499 | RGIS Holdings, LLC Term Loan B |
2.790 | 04/30/14 | 3,319,252 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Business Equipment & Services (continued) | ||||||||||||||||
$ | 3,881 | SMG Holdings, Inc. Term Loan B |
3.330 | % | 07/27/14 | $ | 3,648,010 | |||||||||
27,738,978 | ||||||||||||||||
Chemicals, Plastics & Rubber 4.9% | ||||||||||||||||
5,000 | Brenntag Holdings GmbH &
Co. Second Lien Term Loan
(Germany) |
6.473 | 07/07/15 | 5,017,500 | ||||||||||||
458 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C1 |
4.063 | 05/05/15 | 442,288 | ||||||||||||
95 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C2 |
4.063 | 05/05/15 | 91,922 | ||||||||||||
1,430 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C4 |
4.000 | 05/05/15 | 1,380,276 | ||||||||||||
4,877 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C5 |
4.063 | 05/05/15 | 4,633,338 | ||||||||||||
3,952 | Huntsman International, LLC
Term Loan C |
2.518 | 06/30/16 | 3,832,561 | ||||||||||||
529 | Lyondell Chemical Co. DIP Term
Loan (f) |
5.796 | 04/06/10 | 546,216 | ||||||||||||
3,149 | Lyondell Chemical Co. DIP Term
Loan Roll-Up |
6.560 | 04/06/10 | 3,456,450 | ||||||||||||
13,243 | LyondellBasell Cam Exchange
Term Loan (c) |
3.748 | 12/22/14 | 12,018,394 | ||||||||||||
72 | LyondellBasell Cam Exchange
US Primary Revolving
Credit Agreement (c) (f) |
7.000 | 12/20/13 | 65,301 | ||||||||||||
787 | Nalco Co. Add On Term Loan |
2.023 | 05/13/16 | 784,003 | ||||||||||||
1,002 | Nalco Co. Term Loan |
6.500 | 05/13/16 | 1,011,639 | ||||||||||||
1,501 | Nusil Technology LLC New Term
Loan B |
6.000 | 02/18/15 | 1,516,229 | ||||||||||||
4,913 | PQ Corp. Term Loan B |
3.570 | 07/30/14 | 4,540,555 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Chemicals, Plastics & Rubber (continued) |
||||||||||||||||
$ | 3,173 | Solutia, Inc. Term Loan B |
4.750 | % | 03/17/17 | $ | 3,199,425 | |||||||||
5,105 | Univar Inc. Opco Term Loan |
3.273 | 10/10/14 | 5,024,384 | ||||||||||||
47,560,481 | ||||||||||||||||
Construction Material 2.1% |
||||||||||||||||
164 | Axia Acquisition Corp. Second
Lien Term Loan A |
3.390 | 03/11/16 | 160,319 | ||||||||||||
324 | Axia Acquisition Corp. Second
Lien Term Loan B |
3.390 | 03/12/16 | 302,823 | ||||||||||||
| 546 | Baxi Group Ltd. Term Loan B1
(United Kingdom) |
3.351 | 10/07/15 | 705,221 | |||||||||||
| 210 | Baxi Group Ltd. Term Loan B2
(United Kingdom) |
3.500 | 06/13/11 | 270,788 | |||||||||||
| 500 | Baxi Group Ltd. Term Loan C1
(United Kingdom) |
4.351 | 10/07/16 | 643,811 | |||||||||||
| 704 | Baxi Group Ltd. Term Loan C2
(United Kingdom) |
4.500 | 06/13/12 | 908,568 | |||||||||||
£ | 4,757 | Baxi Group Ltd. Term Loan B
(United Kingdom) |
3.351 | 12/27/11 | 7,038,939 | |||||||||||
£ | 4,757 | Baxi Group Ltd. Term Loan C
(United Kingdom) |
4.351 | 12/27/12 | 7,038,939 | |||||||||||
949 | Building Materials Holding Corp.
Second Lien Term Loan (a) |
8.000 | 01/04/15 | 759,443 | ||||||||||||
2,331 | Contech Construction Products,
Inc. Term Loan |
2.260 | 01/31/13 | 2,132,830 | ||||||||||||
813 | Custom Building Products, Inc.
Term Loan B |
5.750 | 03/19/15 | 814,528 | ||||||||||||
20,776,209 | ||||||||||||||||
Containers, Packaging & Glass 2.4% |
||||||||||||||||
4,032 | Anchor Glass Container Corp.
First Lien Term Loan |
6.000 | 03/02/16 | 4,024,744 | ||||||||||||
1,350 | Anchor Glass Container Corp.
Second Lien Term Loan |
10.000 | 09/02/16 | 1,343,250 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Containers, Packaging & Glass (continued) |
||||||||||||||||
$ | 3,000 | Berlin Packaging, LLC Second
Lien Term Loan |
6.760 | % | 08/17/15 | $ | 1,950,000 | |||||||||
5,826 | Berlin Packaging, LLC Term Loan |
3.280 | 08/17/14 | 5,287,432 | ||||||||||||
2,678 | Berry Plastics Group, Inc. Term
Loan C |
2.257 | 04/03/15 | 2,508,755 | ||||||||||||
110 | Graham Packaging Co., LP
New Term Loan B |
2.500 | 10/07/11 | 108,998 | ||||||||||||
5,611 | Graham Packaging Co., LP
Term Loan C |
6.750 | 04/05/14 | 5,666,058 | ||||||||||||
2,783 | Reynolds Group Holdings Inc.
Dollar Term Loan |
6.250 | 05/05/16 | 2,800,586 | ||||||||||||
23,689,823 | ||||||||||||||||
Diversified Manufacturing 0.5% |
||||||||||||||||
2,532 | Euramax International, Inc. Cash
Pay Term Loan |
10.000 | 06/29/13 | 2,234,583 | ||||||||||||
2,594 | Euramax International, Inc. PIK
Pay Term Loan (a) |
14.000 | 06/29/13 | 2,289,279 | ||||||||||||
4,523,862 | ||||||||||||||||
Ecological 0.6% |
||||||||||||||||
6,850 | Synagro Technologies, Inc. Second
Lien Term Loan |
5.010 | 10/02/14 | 5,577,044 | ||||||||||||
Education & Child Care 2.1% |
||||||||||||||||
640 | Bright Horizons Family
Solutions, Inc. Revolving
Credit Agreement (f) |
1.270 | 05/28/14 | 601,600 | ||||||||||||
1,164 | Bright Horizons Family
Solutions, Inc. Term Loan B |
7.500 | 05/28/15 | 1,170,158 | ||||||||||||
13,099 | Cengage Learning Holdings II,
Inc., LP Term Loan |
2.790 | 07/03/14 | 11,747,087 | ||||||||||||
500 | Educate, Inc. Second Lien Term
Loan |
5.550 | 06/16/14 | 441,875 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Education & Child Care (continued) |
||||||||||||||||
$ | 1,958 | Education Management, LLC
Term Loan C |
2.063 | % | 06/03/13 | $ | 1,920,005 | |||||||||
5,000 | Nelson Education Ltd. Second
Lien Term Loan (Canada) |
6.290 | 07/03/15 | 4,175,000 | ||||||||||||
20,055,725 | ||||||||||||||||
Electronics 2.9% |
||||||||||||||||
2,465 | Dealer Computer Services, Inc.
Term Loan B |
5.250 | 04/21/17 | 2,464,699 | ||||||||||||
4,196 | Edwards, Ltd. First Lien Term Loan
(Cayman Islands) |
2.252 | 05/31/14 | 3,899,193 | ||||||||||||
5,167 | Edwards, Ltd. Second Lien Term
Loan (Cayman Islands) (a) |
6.002 | 11/30/14 | 4,404,683 | ||||||||||||
2,025 | Infor Enterprise Solutions
Holdings, Inc. Extended
Delayed Draw Term Loan |
6.030 | 07/28/15 | 1,964,670 | ||||||||||||
3,882 | Infor Enterprise Solutions
Holdings, Inc. Extended Initial
Term Loan |
6.030 | 07/28/15 | 3,770,470 | ||||||||||||
1,000 | Kronos, Inc. Second Lien Term
Loan |
6.040 | 06/11/15 | 948,750 | ||||||||||||
5,789 | Open Solutions, Inc. Term Loan B |
2.445 | 01/23/14 | 5,231,693 | ||||||||||||
424 | Sungard Data Systems, Inc.
Incremental Term Loan Add
on |
6.750 | 02/28/14 | 426,651 | ||||||||||||
54 | Sungard Data Systems, Inc.
Term Loan A |
2.001 | 02/28/14 | 52,807 | ||||||||||||
1,463 | Sungard Data Systems, Inc.
Term Loan B |
3.880 | 02/26/16 | 1,456,960 | ||||||||||||
3,100 | Verint Systems, Inc. Term Loan B |
3.540 | 05/25/14 | 2,985,885 | ||||||||||||
27,606,461 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Entertainment & Leisure 1.7% |
||||||||||||||||
$ | 1,177 | Fender Musical Instruments
Corp. Delayed Draw Term
Loan |
2.500 | % | 06/09/14 | $ | 1,047,745 | |||||||||
2,331 | Fender Musical Instruments
Corp. Term Loan B |
2.550 | 06/09/14 | 2,074,162 | ||||||||||||
1,750 | Hicks Sports Group, LLC Term
Loan (d) |
6.750 | 12/22/10 | 1,579,375 | ||||||||||||
12,728 | Metro-Goldwyn-Mayer Studios,
Inc. Term Loan B (d) |
20.500 | 04/09/12 | 5,910,761 | ||||||||||||
9,401 | Metro-Goldwyn-Mayer Studios,
Inc. Term B1
Loan (d) |
20.500 | 04/09/12 | 4,365,369 | ||||||||||||
1,414 | Ticketmaster Entertainment, Inc.
Delayed Draw Term Loan B |
7.000 | 07/25/14 | 1,428,871 | ||||||||||||
16,406,283 | ||||||||||||||||
Farming & Agriculture 0.2% |
||||||||||||||||
1,032 | Wm. Bolthouse Farms, Inc. New
First Lien Term Loan |
5.500 | 02/11/16 | 1,040,323 | ||||||||||||
1,091 | Wm. Bolthouse Farms, Inc. New
Second Lien Term Loan |
9.500 | 08/11/16 | 1,101,478 | ||||||||||||
2,141,801 | ||||||||||||||||
Finance 5.7% |
||||||||||||||||
1,818 | American General Finance Corp.
Term Loan B |
7.250 | 04/21/15 | 1,823,636 | ||||||||||||
3,635 | C.G. JCF Corp. Term Loan |
3.280 | 08/01/14 | 3,441,975 | ||||||||||||
5,545 | First Data Corp. Term Loan B1 |
3.010 | 09/24/14 | 4,999,401 | ||||||||||||
13,114 | First Data Corp. Term Loan B2 |
3.032 | 09/24/14 | 11,803,959 | ||||||||||||
12,062 | First Data Corp. Term Loan B3 |
3.030 | 09/24/14 | 10,860,019 | ||||||||||||
2,500 | National Processing Co. Group,
Inc. Second Lien Term Loan |
10.750 | 09/29/14 | 2,285,418 | ||||||||||||
3,212 | National Processing Co. Group,
Inc. Term Loan B |
7.000 | 09/29/13 | 3,195,570 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Finance (continued) |
||||||||||||||||
$ | 5,829 | Nuveen Investments, Inc. Term
Loan |
3.320 | % | 11/13/14 | $ | 5,345,407 | |||||||||
3,234 | Oxford Acquisition III, Ltd.,
U.S. Term Loan
(United Kingdom) |
2.063 | 05/12/14 | 3,015,697 | ||||||||||||
5,046 | RJO Holdings Corp. Second
Lien Term Loan (a) |
9.010 | 07/13/15 | 529,830 | ||||||||||||
4,785 | RJO Holdings Corp. Term Loan
B (a) |
5.260 | 07/12/14 | 3,238,177 | ||||||||||||
1,887 | Transfirst Holdings, Inc. Second
Lien Term Loan (a) |
7.040 | 06/15/15 | 1,596,082 | ||||||||||||
2,917 | Transfirst Holdings, Inc. Term
Loan B |
3.040 | 06/15/14 | 2,764,331 | ||||||||||||
54,899,502 | ||||||||||||||||
Health & Beauty 0.9% |
||||||||||||||||
5,081 | American Safety Razor Co. Second
Lien Term Loan |
10.500 | 01/30/14 | 3,006,050 | ||||||||||||
1,125 | Marietta Intermediate Holding
Corp. Term Loan B (a) |
8.250 | 02/19/15 | 1,034,647 | ||||||||||||
4,776 | Philosophy, Inc. Term Loan B |
2.030 | 03/16/14 | 4,471,762 | ||||||||||||
8,512,459 | ||||||||||||||||
Healthcare 5.5% |
||||||||||||||||
3,234 | Capella Healthcare, Inc. First Lien
Term Loan |
5.750 | 03/02/15 | 3,233,645 | ||||||||||||
1,975 | Catalent Pharma Solutions, Inc.
Dollar Term Loan |
2.513 | 04/10/14 | 1,883,293 | ||||||||||||
269 | Community Health Systems, Inc.
Delayed Draw Term Loan |
2.502 | 07/25/14 | 262,336 | ||||||||||||
5,262 | Community Health Systems, Inc.
Term Loan |
2.502 | 07/25/14 | 5,122,020 | ||||||||||||
3,170 | Concentra, Inc. Second Lien Term
Loan (a) |
5.800 | 06/25/15 | 2,922,440 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Healthcare (continued) |
||||||||||||||||
$ | 4,234 | HCA, Inc. Extended Term Loan
B2 |
3.540 | % | 03/31/17 | $ | 4,212,051 | |||||||||
1,766 | HCA, Inc. Term Loan B |
2.540 | 11/18/13 | 1,720,403 | ||||||||||||
4,329 | HCR Healthcare, LLC Term
Loan B |
2.773 | 12/22/14 | 4,264,318 | ||||||||||||
6,124 | Health Management Associates,
Inc. Term Loan B |
2.040 | 02/28/14 | 5,942,006 | ||||||||||||
1,689 | Healthcare Partners, LLC Term
Loan B |
2.040 | 10/31/13 | 1,640,441 | ||||||||||||
1,250 | IMS Health Inc. Term Loan B |
5.250 | 02/26/16 | 1,259,504 | ||||||||||||
2,918 | Inverness Medical Innovations,
Inc. First Lien Term Loan |
2.270 | 06/26/14 | 2,871,549 | ||||||||||||
5,400 | Multiplan, Corp. Incremental Term
Loan |
6.000 | 04/12/13 | 5,415,100 | ||||||||||||
1,662 | Rehabcare Group, Inc. Term
Loan B |
6.000 | 11/24/15 | 1,672,891 | ||||||||||||
1,325 | Skilled Healthcare Group, Inc.
Term Loan B |
5.250 | 04/08/16 | 1,328,614 | ||||||||||||
5,857 | Surgical Care Affiliates, LLC
Term Loan |
2.290 | 12/29/14 | 5,652,050 | ||||||||||||
622 | United Surgical Partners,
International, Inc. Delayed
Draw Term Loan |
2.270 | 04/21/14 | 604,587 | ||||||||||||
3,295 | United Surgical Partners,
International, Inc. Term Loan B |
2.290 | 04/19/14 | 3,200,143 | ||||||||||||
53,207,391 | ||||||||||||||||
Home & Office Furnishings, Housewares & Durable
Consumer Products 1.2% |
||||||||||||||||
6,789 | Hunter Fan Co. Second Lien Term
Loan |
7.000 | 10/16/14 | 4,226,447 | ||||||||||||
1,845 | Hunter Fan Co. Term Loan |
2.760 | 04/16/14 | 1,682,228 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Home & Office Furnishings,
Housewares & Durable
Consumer Products (continued) |
||||||||||||||||
$ | 4,875 | Mattress Holdings Corp. Term
Loan B |
2.690 | % | 01/18/14 | $ | 4,050,311 | |||||||||
2,208 | National Bedding Co., LLC Second
Lien Term Loan |
5.313 | 02/28/14 | 2,053,145 | ||||||||||||
12,012,131 | ||||||||||||||||
Hotels, Motels, Inns & Gaming 10.1% |
||||||||||||||||
| 3,071 | Amadeus IT Group SA
Term Loan A1 (Spain) |
1.402 | 07/07/12 | 4,022,046 | |||||||||||
| 4,000 | Amadeus IT Group SA
Term Loan B1 (Spain) |
2.399 | 07/01/13 | 5,245,912 | |||||||||||
| 4,000 | Amadeus IT Group SA
Term Loan C1 (Spain) |
2.899 | 07/01/14 | 5,245,912 | |||||||||||
3,149 | Amadeus IT Group SA
Term Loan A2 (Spain) |
1.260 | 12/31/19 | 3,092,228 | ||||||||||||
5,500 | BLB Worldwide Holdings, Inc.
Second Lien Term Loan (d) |
6.500 | 07/18/12 | 330,000 | ||||||||||||
1,996 | BLB Worldwide Holdings, Inc.
Term Loan B (a) |
4.750 | 07/18/11 | 1,434,126 | ||||||||||||
2,500 | Cannery Casino Resorts, LLC
Second Lien Term Loan |
4.509 | 05/16/14 | 2,112,500 | ||||||||||||
1,820 | Cannery Casino Resorts, LLC
Delayed Draw Term Loan |
4.501 | 05/20/13 | 1,700,637 | ||||||||||||
2,201 | Cannery Casino Resorts, LLC
Term Loan B |
4.509 | 05/18/13 | 2,056,776 | ||||||||||||
4,424 | CCM Merger, Inc. Term Loan B |
8.500 | 07/13/12 | 4,389,596 | ||||||||||||
£ | 1,690 | Gala Group Ltd. Term Loan A
(United Kingdom) |
3.500 | 12/01/12 | 2,523,453 | |||||||||||
360 | Golden Nugget, Inc. New
Delayed Draw Term Loan (a) |
3.270 | 06/30/14 | 281,583 | ||||||||||||
633 | Golden Nugget, Inc. Term Loan
B (a) |
3.280 | 06/30/14 | 494,683 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Hotels, Motels, Inns & Gaming (continued) | ||||||||||||||||
$ | 32 | Greektown Casino, LLC
Incremental Term Loan B
(a)(c)(d) |
7.000 | % | 12/03/12 | $ | 35,016 | |||||||||
499 | Harrahs Operating Co., Inc.
Incremental Term Loan B4 |
9.500 | 10/31/16 | 518,804 | ||||||||||||
6,718 | Harrahs Operating Co., Inc.
Term Loan B1 |
3.316 | 01/28/15 | 5,921,606 | ||||||||||||
3,710 | Harrahs Operating Co., Inc.
Term Loan B2 |
3.316 | 01/28/15 | 3,272,462 | ||||||||||||
7,766 | Harrahs Operating Co., Inc.
Term Loan B3 |
3.320 | 01/28/15 | 6,825,590 | ||||||||||||
501 | Isle of Capri Casinos, Inc. New
Delayed Draw Term Loan A |
5.000 | 11/25/13 | 490,440 | ||||||||||||
569 | Isle of Capri Casinos, Inc. New
Delayed Draw Term Loan B |
5.000 | 11/25/13 | 557,634 | ||||||||||||
1,423 | Isle of Capri Casinos, Inc. New
Term Loan B |
5.000 | 11/25/13 | 1,394,084 | ||||||||||||
1,500 | Las Vegas Sands, LLC/Venetian
Casino Delayed Draw Term
Loan |
2.050 | 05/23/14 | 1,420,389 | ||||||||||||
7,422 | Las Vegas Sands, LLC/Venetian
Casino Term Loan B |
2.050 | 05/23/14 | 7,029,660 | ||||||||||||
1,222 | Magnolia Hill, LLC Delayed Draw
Term Loan |
3.516 | 10/30/13 | 1,100,168 | ||||||||||||
4,650 | Magnolia Hill, LLC Mezzanine
Loan |
14.000 | 04/30/14 | 4,556,861 | ||||||||||||
3,479 | Magnolia Hill, LLC Term Loan |
3.530 | 10/30/13 | 3,131,248 | ||||||||||||
2,529 | MGM Mirage Class D Term Loan |
6.000 | 10/03/11 | 2,489,090 | ||||||||||||
| 10,250 | Regency Entertainment SA
Term Loan B (Greece) |
2.904 | 03/03/14 | 10,212,770 | |||||||||||
| 10,250 | Regency Entertainment SA
Term Loan C (Greece) |
3.279 | 03/02/15 | 10,212,770 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Hotels, Motels, Inns & Gaming (continued) |
||||||||||||||||
$ | 1,097 | Venetian Macau, Ltd. Delayed
Draw Term Loan B |
4.800 | % | 05/25/12 | $ | 1,083,583 | |||||||||
1,479 | Venetian Macau, Ltd. New
Project Term Loan |
4.800 | 05/27/13 | 1,458,828 | ||||||||||||
2,745 | Venetian Macau, Ltd. Term Loan B |
4.800 | 05/27/13 | 2,711,465 | ||||||||||||
97,351,920 | ||||||||||||||||
Insurance 2.5% |
||||||||||||||||
3,884 | Alliant Holdings I, Inc. Term Loan B |
3.290 | 08/21/14 | 3,723,388 | ||||||||||||
6,003 | AmWins Group, Inc. First Lien
Term Loan |
2.770 | 06/08/13 | 5,632,783 | ||||||||||||
2,324 | Conseco, Inc. New Term Loan |
7.500 | 10/10/13 | 2,268,551 | ||||||||||||
1,750 | HMSC Corp. Second Lien Term
Loan |
5.838 | 10/03/14 | 1,176,875 | ||||||||||||
3,654 | Mitchell International, Inc. Second
Lien Term Loan |
5.563 | 03/30/15 | 3,114,635 | ||||||||||||
1,990 | USI Holdings Corp. Incremental
Term Loan |
7.000 | 05/05/14 | 1,948,210 | ||||||||||||
500 | Vertafore, Inc. Second Lien Term
Loan |
6.252 | 01/31/13 | 470,000 | ||||||||||||
1,961 | Vertafore, Inc. Additional Term
Loan |
7.500 | 01/31/12 | 1,951,058 | ||||||||||||
3,667 | Vertafore, Inc. Term Loan B2 |
5.500 | 07/31/14 | 3,565,833 | ||||||||||||
23,851,333 | ||||||||||||||||
Machinery 1.1% |
||||||||||||||||
5,655 | Goodman Global, Inc. Term Loan B |
6.250 | 02/13/14 | 5,682,099 | ||||||||||||
1,500 | Manitowoc Co., Inc. Term Loan B |
4.813 | 11/06/14 | 1,505,893 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Machinery (continued) |
||||||||||||||||
$ | 3,891 | Mold-Masters Luxembourg
Holdings, SA Mold Masters
Term Loan |
3.875 | % | 10/11/14 | $ | 3,209,860 | |||||||||
10,397,852 | ||||||||||||||||
Medical Products & Services 0.4% |
||||||||||||||||
1,832 | Biomet, Inc. Term Loan B |
3.280 | 03/25/15 | 1,809,699 | ||||||||||||
1,610 | Carestream Health, Inc. First Lien
Term Loan |
2.273 | 04/30/13 | 1,569,637 | ||||||||||||
407 | Orthofix Holdings, Inc. Term
Loan |
6.750 | 09/22/13 | 406,764 | ||||||||||||
3,786,100 | ||||||||||||||||
Mining, Steel, Iron &
Non-Precious Metals 0.2% |
||||||||||||||||
2,185 | John Maneely Co. Term Loan |
3.550 | 12/09/13 | 2,105,942 | ||||||||||||
Natural Resources 0.4% |
||||||||||||||||
4,000 | Dresser, Inc. Second Lien Term
Loan |
6.000 | 05/04/15 | 3,892,000 | ||||||||||||
294 | Targa Resources, Inc. New
Term Loan |
6.000 | 07/05/16 | 295,526 | ||||||||||||
4,187,526 | ||||||||||||||||
Non-Durable Consumer Products 4.6% |
||||||||||||||||
6,193 | Amscan Holdings, Inc. New
Term Loan |
2.534 | 05/25/13 | 5,961,157 | ||||||||||||
1,933 | Huish Detergents, Inc. Term
Loan B |
2.030 | 04/26/14 | 1,894,036 | ||||||||||||
198 | KIK Custom Products, Inc.
Canadian Term Loan |
2.570 | 06/02/14 | 174,269 | ||||||||||||
1,157 | KIK Custom Products, Inc. First
Lien Term Loan |
2.570 | 06/02/14 | 1,016,570 | ||||||||||||
7,000 | KIK Custom Products, Inc.
Second Lien Term Loan |
5.316 | 11/30/14 | 4,620,000 | ||||||||||||
| 8,064 | Ontex Term Loan B (Belgium) |
3.279 | 07/05/12 | 10,515,206 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Non-Durable Consumer Products (continued) |
||||||||||||||||
| 8,064 | Ontex Term Loan C (Belgium) |
4.529 | % | 07/05/13 | $ | 10,515,206 | |||||||||
9,200 | Spectrum Brands, Inc. Dollar
Term Loan |
8.000 | 06/29/12 | 9,201,937 | ||||||||||||
475 | Spectrum Brands, Inc. Letter of
Credit |
8.000 | 06/29/12 | 475,410 | ||||||||||||
44,373,791 | ||||||||||||||||
Paper & Forest Products 0.5% |
||||||||||||||||
3,200 | Ainsworth Lumber Co., Ltd.
Term Loan |
5.313 | 06/26/14 | 2,944,000 | ||||||||||||
414 | Verso Paper Holding, LLC Term
Loan (a) |
6.570 | 02/01/13 | 345,481 | ||||||||||||
56 | White Birch Paper Co. DIP
Delayed Draw Term Loan
(Canada) (f) |
4.770 | 12/01/10 | 56,212 | ||||||||||||
584 | White Birch Paper Co. DIP Term
Loan B (Canada) |
12.000 | 12/01/10 | 584,349 | ||||||||||||
2,652 | White Birch Paper Co. First Lien
Term Loan (Canada) (a)(d) |
7.000 | 05/08/14 | 1,071,315 | ||||||||||||
5,001,357 | ||||||||||||||||
Pharmaceuticals 2.4% |
||||||||||||||||
11,639 | Nyco Holdings 2 Aps Term Loan A
(Denmark) |
1.790 | 12/29/13 | 10,955,371 | ||||||||||||
3,962 | Nyco Holdings 2 Aps Term Loan B2
(Denmark) |
2.540 | 12/29/14 | 3,725,283 | ||||||||||||
3,962 | Nyco Holdings 2 Aps Term Loan C2 |
3.290 | 12/29/15 | 3,725,283 | ||||||||||||
| 1,486 | Nyco Holdings 2 Aps Term Loan B |
2.885 | 12/29/14 | 1,870,543 | |||||||||||
| 1,486 | Nyco Holdings 2 Aps Term Loan C |
3.635 | 12/29/15 | 1,870,543 | |||||||||||
639 | Nyco Holdings 3 Aps Facility A2 |
1.790 | 12/29/13 | 601,245 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Pharmaceuticals (continued) |
||||||||||||||||
$ | 20 | Nyco Holdings 3 Aps Facility A3
(Denmark) |
1.790 | % | 12/29/13 | $ | 18,894 | |||||||||
13 | Nyco Holdings 3 Aps Facility A4
(Denmark) |
1.790 | 12/29/13 | 12,035 | ||||||||||||
90 | Nyco Holdings 3 Aps Facility A5
(Denmark) |
1.790 | 12/29/13 | 85,101 | ||||||||||||
22,864,298 | ||||||||||||||||
Printing & Publishing 6.2% |
||||||||||||||||
1,474 | Affiliated Media New Term Loan |
8.250 | 03/19/14 | 1,389,400 | ||||||||||||
4,000 | Endurance Business Media, Inc.
Second Lien Term Loan (b)(d) |
11.250 | 01/26/14 | 0 | ||||||||||||
912 | Gatehouse Media, Inc. Delayed
Draw Term Loan |
2.260 | 08/28/14 | 451,377 | ||||||||||||
2,445 | Gatehouse Media, Inc. Term
Loan B |
2.280 | 08/28/14 | 1,210,246 | ||||||||||||
2,000 | Knowledgepoint360 Group, LLC
Second Lien Term Loan |
7.250 | 04/13/15 | 1,220,000 | ||||||||||||
1,161 | Knowledgepoint360 Group, LLC
First Lien Term Loan |
3.500 | 04/14/14 | 870,797 | ||||||||||||
4,927 | Merrill Communications, LLC
Second Lien Term Loan (a) |
14.752 | 11/15/13 | 4,188,049 | ||||||||||||
2,333 | Newsday, LLC Term Loan |
6.553 | 08/01/13 | 2,383,890 | ||||||||||||
| 3,935 | Primacom Term Loan B
(Germany) |
4.724 | 12/05/13 | 4,243,467 | |||||||||||
| 3,935 | Primacom Term Loan C
(Germany) |
5.224 | 12/05/14 | 4,243,467 | |||||||||||
| 4,019 | Primacom Term Loan C2
(Germany) |
5.224 | 09/25/10 | 4,334,119 | |||||||||||
1,443 | Primedia Inc. Term Loan B |
2.540 | 08/01/14 | 1,261,696 | ||||||||||||
| 7,500 | Prosiebensat.1 Media AG
Term Loan C2 (Germany) (i) |
| 07/03/15 | 9,159,772 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Printing & Publishing (continued) |
||||||||||||||||
| 7,500 | Prosiebensat.1 Media AG
Term Loan C3 (Germany) (i) |
| 07/03/15 | $ | 9,159,772 | ||||||||||
1,508 | R.H. Donnelley, Inc. New Term
Loan |
9.250 | % | 10/24/14 | 1,471,735 | |||||||||||
1,497 | SuperMedia, Inc. Exit Term loan |
11.000 | 12/31/15 | 1,405,225 | ||||||||||||
6,476 | Tribune Co. Bridge Loan (c)(d) |
8.250 | 12/20/15 | 153,808 | ||||||||||||
10,146 | Tribune Co. Term Loan B (c)(d) |
5.250 | 06/04/14 | 6,826,987 | ||||||||||||
7,071 | Yell Group PLC New Term Loan B1
(United Kingdom) |
4.023 | 07/31/14 | 5,895,348 | ||||||||||||
59,869,155 | ||||||||||||||||
Restaurants & Food Service 0.5% |
||||||||||||||||
1,360 | Center Cut Hospitality, Inc. Term
Loan |
9.250 | 07/06/14 | 1,292,346 | ||||||||||||
3,174 | Volume Services America, Inc.
Term Loan |
9.250 | 12/31/12 | 3,173,628 | ||||||||||||
4,465,974 | ||||||||||||||||
Retail Oil & Gas 0.6% |
||||||||||||||||
860 | The Pantry, Inc. Delayed Draw
Term Loan B |
2.030 | 05/15/14 | 828,841 | ||||||||||||
2,988 | The Pantry, Inc. Term Loan B |
2.030 | 05/15/14 | 2,878,742 | ||||||||||||
2,323 | Pilot Travel Centers, LLC Term
Loan B (i) |
| 11/24/15 | 2,343,319 | ||||||||||||
6,050,902 | ||||||||||||||||
Retail Specialty 0.6% |
||||||||||||||||
| 5,500 | Zapf Creation AG Term Loan
(Germany) (b) |
5.136 | 11/30/12 | 5,492,230 | |||||||||||
Retail Stores 2.5% |
||||||||||||||||
2,000 | CDW Corp. Term Loan |
4.338 | 10/10/14 | 1,871,072 | ||||||||||||
4,268 | Dollar General Corp.
Term Loan B2 |
3.010 | 07/07/14 | 4,195,722 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Retail Stores (continued) |
||||||||||||||||
$ | 6,499 | General Nutrition Centers, Inc.
Term Loan B |
2.540 | % | 09/16/13 | $ | 6,330,226 | |||||||||
4,027 | Guitar Center, Inc. Term Loan B |
3.770 | 10/09/14 | 3,769,444 | ||||||||||||
6,454 | Rite Aid Corp. Term Loan 3 |
6.000 | 06/04/14 | 6,387,400 | ||||||||||||
1,020 | Sally Holdings, Inc. Term Loan B |
2.520 | 11/15/13 | 1,009,833 | ||||||||||||
953 | Savers, Inc. Term Loan B |
5.750 | 03/11/16 | 958,824 | ||||||||||||
24,522,521 | ||||||||||||||||
Software 1.3% |
||||||||||||||||
| 9,786 | NDS Finance Ltd. Term Loan B2
(United Kingdom) |
4.900 | 10/14/15 | 12,540,899 | |||||||||||
Telecommunications Equipment & Services 1.4% |
||||||||||||||||
5,386 | Avaya, Inc. Term Loan |
3.002 | 10/24/14 | 4,945,951 | ||||||||||||
| 2,387 | EWT (Escaline S.A.R.L)
Term Loan B (Germany) |
3.160 | 10/31/14 | 2,690,132 | |||||||||||
| 2,387 | EWT (Escaline S.A.R.L)
Term Loan C (Germany) |
3.647 | 10/30/15 | 2,690,131 | |||||||||||
| 1,926 | Fibernet Term Loan B
(Bulgaria) (b) |
3.155 | 12/20/14 | 1,666,840 | |||||||||||
| 1,926 | Fibernet Term Loan C
(Bulgaria) (b) |
3.655 | 12/20/15 | 1,666,840 | |||||||||||
13,659,894 | ||||||||||||||||
Telecommunications Local Exchange Carriers 0.9% |
||||||||||||||||
4,904 | Global Tel*Link Corp. Term Loan B |
6.000 | 03/02/16 | 4,916,544 | ||||||||||||
3,238 | Hawaiian Telcom
Communications, Inc
Term Loan C (a)(c) |
4.750 | 06/01/14 | 2,363,520 | ||||||||||||
1,385 | Sorenson Communications, Inc.
Term Loan C |
6.000 | 08/16/13 | 1,358,316 | ||||||||||||
8,638,380 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Telecommunications Long Distance 0.5% | ||||||||||||||||
$ | 167 | Level 3 Communications, Inc.
Add On Term Loan |
11.500 | % | 03/13/14 | $ | 182,604 | |||||||||
5,000 | Level 3 Communications, Inc.
Term Loan A |
2.548 | 03/13/14 | 4,692,190 | ||||||||||||
4,874,794 | ||||||||||||||||
Telecommunications Wireless 0.9% |
||||||||||||||||
2,909 | Asurion Corp. First Lien Term
Loan |
3.250 | 07/03/14 | 2,879,750 | ||||||||||||
3,778 | MetroPCS Wireless, Inc. Term
Loan B |
2.520 | 11/04/13 | 3,700,937 | ||||||||||||
1,809 | NTELOS, Inc. Term Loan B |
5.750 | 08/07/15 | 1,821,529 | ||||||||||||
8,402,216 | ||||||||||||||||
Textiles & Leather 0.8% |
||||||||||||||||
1,384 | Gold Toe Investment Corp. First
Lien Term Loan B |
8.500 | 10/30/13 | 1,346,120 | ||||||||||||
2,000 | Gold Toe Investment Corp.
Second Lien Term Loan |
11.750 | 04/30/14 | 1,720,000 | ||||||||||||
5,000 | Levi Strauss & Co. Term Loan |
2.513 | 03/27/14 | 4,812,460 | ||||||||||||
7,878,580 | ||||||||||||||||
Utilities 6.0% |
||||||||||||||||
5,000 | Bicent Power, LLC Second Lien
Term Loan |
4.300 | 12/31/14 | 3,450,000 | ||||||||||||
4,353 | BRSP, LLC Term Loan B |
7.500 | 06/04/14 | 4,364,291 | ||||||||||||
22,605 | Calpine Corp. First Priority Term
Loan |
3.165 | 03/29/14 | 21,835,902 | ||||||||||||
2,900 | First Light Power Resources, Inc.
Second Lien Term Loan |
4.813 | 05/01/14 | 2,668,000 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Utilities (continued) |
||||||||||||||||
$ | 614 | First Light Power Resources, Inc.
Synthetic Letter of Credit |
2.813 | % | 11/01/13 | $ | 596,721 | |||||||||
733 | First Light Power Resources, Inc.
Term Loan B |
2.813 | 11/01/13 | 712,758 | ||||||||||||
187 | Mach Gen, LLC Letter of Credit |
2.540 | 02/22/13 | 174,612 | ||||||||||||
1,392 | NRG Energy, Inc. Synthetic
Letter of Credit |
2.040 | 12/09/13 | 1,367,029 | ||||||||||||
2,111 | NRG Energy, Inc. Term Loan |
2.000 | 12/09/13 | 2,072,975 | ||||||||||||
4,516 | Primary Energy Operations, LLC
New Term Loan |
6.500 | 10/23/14 | 4,448,359 | ||||||||||||
1,990 | Texas Competitive Electric
Holdings Co., LLC Delayed
Draw Term Loan |
3.750 | 10/10/14 | 1,617,000 | ||||||||||||
8,989 | Texas Competitive Electric
Holdings Co., LLC Term Loan B2 |
3.750 | 10/10/14 | 7,393,473 | ||||||||||||
1,975 | Texas Competitive Electric
Holdings Co., LLC Term Loan B3 |
3.752 | 10/10/14 | 1,614,029 | ||||||||||||
6,000 | TPF Generation Holdings, LLC
Second Lien Term Loan C |
4.540 | 12/15/14 | 5,569,500 | ||||||||||||
57,884,649 | ||||||||||||||||
Total Variable Rate Senior Loan Interests** 103.5% | 993,866,310 | |||||||||||||||
Notes 23.4% |
||||||||||||||||
Broadcasting Cable 1.3% |
||||||||||||||||
5,000 | Kabel Deutschland GmbH
(Germany) |
10.625 | 07/01/14 | 5,237,500 | ||||||||||||
| 5,000 | UPC Germany GmbH
(Germany) (g) |
9.625 | 12/01/19 | 7,189,829 | |||||||||||
12,427,329 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Buildings & Real Estate 0.4% |
||||||||||||||||
£ | 3,160 | European Loan Conduit (United
Kingdom) (b) (g) |
0.776 | % | 07/25/17 | $ | 3,964,668 | |||||||||
3,964,668 | ||||||||||||||||
Chemicals, Plastics & Rubber 0.7% |
||||||||||||||||
5,000 | Cognis GmbH (Germany) (g) |
2.257 | 09/15/13 | 4,935,415 | ||||||||||||
1,993 | Wellman, Inc. (a)(b) |
5.000 | 01/29/19 | 1,992,869 | ||||||||||||
6,928,284 | ||||||||||||||||
Construction Material 0.4% |
||||||||||||||||
2,000 | Builders Firstsource, Inc. (h) |
13.000 | 02/15/16 | 2,075,000 | ||||||||||||
2,000 | Compression Polymers Corp. (h) |
7.180 | 07/01/12 | 1,930,000 | ||||||||||||
4,005,000 | ||||||||||||||||
Containers, Packaging & Glass 5.9% |
||||||||||||||||
| 11,200 | Ardagh Glass Finance
(Ireland) (g) |
7.125 | 06/15/17 | 14,663,695 | |||||||||||
| 6,000 | Ardagh Glass Finance BV
(Ireland) (g) |
8.750 | 02/01/20 | 8,428,077 | |||||||||||
2,800 | Berry Plastics Group, Inc. (h) |
5.053 | 02/15/15 | 2,751,000 | ||||||||||||
| 4,500 | Impress Holdings
(Netherlands) (g) |
9.250 | 09/15/14 | 6,321,058 | |||||||||||
| 9,000 | Impress Metal Packaging
Holdings BV
(Netherlands) (g) |
3.769 | 09/15/13 | 11,713,430 | |||||||||||
| 10,875 | Pregis Corp. |
5.644 | 04/15/13 | 13,610,745 | |||||||||||
57,488,005 | ||||||||||||||||
Entertainment & Leisure 0.8% |
||||||||||||||||
£ | 5,000 | Manchester United Finance,
PLC (United Kingdom) (g) |
8.750 | 02/01/17 | 7,498,015 | |||||||||||
Finance 1.7% |
||||||||||||||||
| 7,000 | GMAC, Inc. |
5.375 | 06/06/11 | 9,366,749 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Finance (continued) |
||||||||||||||||
| 5,000 | GMAC, Inc. |
6.000 | % | 05/23/12 | $ | 6,707,844 | |||||||||
16,074,593 | ||||||||||||||||
Healthcare 0.7% |
||||||||||||||||
6,167 | Apria Healthcare Group, Inc. (g) |
11.250 | 11/01/14 | 6,806,458 | ||||||||||||
Hotels, Motels, Inns & Gaming 0.7% |
||||||||||||||||
£ | 4,145 | Spirit Issuer PLC (United
Kingdom) |
5.472 | 12/28/28 | 4,986,763 | |||||||||||
2,000 | Wynn Las Vegas, LLC |
7.875 | 05/01/20 | 2,027,500 | ||||||||||||
7,014,263 | ||||||||||||||||
Insurance 0.6% |
||||||||||||||||
| 1,000 | American International Group |
0.819 | 07/19/13 | 1,200,181 | |||||||||||
| 4,000 | American International Group |
4.375 | 04/26/16 | 4,878,693 | |||||||||||
6,078,874 | ||||||||||||||||
Media 1.2% |
||||||||||||||||
| 5,000 | Royal Bank of Scotland PLC
(United Kingdom) |
6.934 | 04/09/18 | 7,043,942 | |||||||||||
4,250 | Virgin Media Finance PLC
(United Kingdom) |
9.500 | 08/15/16 | 4,685,625 | ||||||||||||
11,729,567 | ||||||||||||||||
Mining, Steel, Iron & Non-Precious Metals 1.4% | ||||||||||||||||
11,500 | FMG Finance Pty Ltd.
(Australia) (g) |
10.625 | 09/01/16 | 13,570,000 | ||||||||||||
Non-Durable Consumer Products 0.2% |
||||||||||||||||
1,539 | Targus Group International,
Inc. (b) |
10.000 | 12/15/15 | 1,500,360 | ||||||||||||
Telecommunications Equipment
& Services 2.4% |
||||||||||||||||
| 19,750 | Versatel AG (Germany) (g) |
3.400 | 06/15/14 | 23,403,558 | |||||||||||
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Telecommunications Wireless 1.6% |
||||||||||||||||
$ | 14,000 | Wind Acquisition Fin SA
(Italy (g) |
10.750 | % | 12/01/15 | $ | 15,015,000 | |||||||||
Transportation Cargo 2.8% |
||||||||||||||||
| 22,112 | CB Bus AB (Sweden) (b) |
9.125 | 08/01/12 | 26,894,370 | |||||||||||
Transportation Infrastructure 0.6% |
||||||||||||||||
| 5,000 | Channel Link
United Kingdom) (b) |
2.247 | 06/30/12 | 5,458,944 | |||||||||||
£ | 5,000 | Channel Link
(United Kingdom) (b) |
2.084 | 06/20/12 | 6,273,209 | |||||||||||
11,732,153 | ||||||||||||||||
Total Notes 23.4% |
232,130,497 | |||||||||||||||
Description | Value | |||||||||||||||
Equities 0.6% | ||||||||||||||||
Affiliated Media Inc. (87,369 common shares, Acquired 04/23/10,
Cost $5,595,972) |
1,397,900 | |||||||||||||||
Axia Acquisition Holdings Corp. (101 common shares, Acquired 04/21/10,
Cost $1,404,030) (k) |
251,903 | |||||||||||||||
Building Materials Holding Corp. (512,204 common shares, Acquired
01/11/10, Cost $770,554) (k) (l) |
409,763 | |||||||||||||||
Cumulus Media, Inc. (Warrants for 1,568 common shares, Expiration date
06/29/19, Acquired 01/14/10, Cost $0) (b)(k) |
5,817 | |||||||||||||||
Euramax International, Inc. (1,870 common shares, Acquired 07/09/09,
Cost $1,962,106) (k) (l) |
336,564 | |||||||||||||||
Marietta Holdings Corp. (1,641,483 common shares, Acquired 04/22/10,
Cost $2,591,511) (b)(k) |
607,677 | |||||||||||||||
Marietta Holdings Corp.. (Warrants for 413,194 common shares, Expiration
date 04/21/10, Acquired 03/17/10, Cost $0) (b)(k) |
0 | |||||||||||||||
Mega Brands Inc. (600,814 common shares, Acquired 03/31/10,
Cost $1,080,625) |
313,478 | |||||||||||||||
Newhall Holding Co., LLC (235,259 common shares, Acquired 8/26/09,
Cost $2,010,219) (l) |
441,111 | |||||||||||||||
Rhodes Homes (750,544 common shares, Acquired 04/13/10,
Cost $963,538) |
187,636 | |||||||||||||||
SuperMedia Inc. (7,080 common shares, Acquired 01/07/10,
Cost $525,307) (l) |
317,892 | |||||||||||||||
Targus Group International, Inc. (62,413 common shares, Acquired
12/16/09, Cost $0) (b)(k)(l) |
0 | |||||||||||||||
Vitruvian Exploration, LLC (76,400 common shares, Acquired 10/19/09,
Cost $3,276,000)(l) |
802,200 | |||||||||||||||
WCI Communities, Inc. (1,830 common shares, Acquired 09/23/09, Cost
$205,427) (l) |
155,550 | |||||||||||||||
Wellman, Inc. (1,892 common shares, Acquired 02/12/09 & 06/16/09,
Cost $4,958,713) (b)(l) |
622,790 | |||||||||||||||
Total Equities 0.6% |
5,850,281 | |||||||||||||||
Total Long-Term Investments 127.5% (Cost $1,388,847,342) |
1,231,847,088 | |||||||||||||||
Time Deposit 2.9% |
||||||||||||||||
State Street Bank & Trust Corp. ($27,901,430 par, 0.01% coupon, dated
4/30/10, to be sold on 5/01/10 at $27,901,453) |
$ | 27,901,430 | ||||||||||||||
Total Investments 130.4% (Cost $1,416,748,772) |
1,259,748,518 | |||||||||||||||
Foreign Currency 0.1% (Cost $979,695) |
994,088 | |||||||||||||||
Borrowings (28.2%) | (272,500,000 | ) | ||||||||||||||
Liabilities in Excess of Other Assets (2.3%) | (22,443,976 | ) | ||||||||||||||
Net Assets 100.0% | $ | 965,798,630 | ||||||||||||||
Par amounts are denominated in US currency unless otherwise noted. | ||
£ Great Britain Pound | ||
Euro | ||
Percentages are calculated as a percentage of net assets. | ||
(a) | All or a portion of this security is payment-in-kind. | |
(b) | Market value is determined in accordance with procedures established in good faith by the Board of Trustees. | |
(c) | This borrower has filed for protection in federal bankruptcy court. | |
(d) | This Senior Loan interest is non-income producing. | |
(e) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(f) | All or a portion of this holding is subject to unfunded loan commitments. | |
(g) | 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. | |
(h) | Variable rate security. Interest rate shown is that in effect at April 30, 2010. | |
(i) | This floating rate interest will settle after April 30, 2010, at which time the interest rate will be determined. | |
(k) | 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 0.20% of the net assets of the Fund. | |
(l) | Non-income producing security. | |
* | 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. | |
** | 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. |
Lighthouse International | Sell | 3.350 | % | 09/20/12 | $ | 6,657 | $ | 0 | $ | (1,207,265 | ) | B | |||||||||||||||
Bank of America N.A. |
Lighthouse International | Sell | 3.650 | 12/20/12 | 6,657 | 0 | (1,351,347 | ) | B | |||||||||||||||||||
Credit Suisse International |
Codere Finance Luxemburg SA | Sell | 3.420 | 09/20/12 | 6,657 | 0 | (55,073 | ) | B | |||||||||||||||||||
Goldman Sachs
International |
ArcelorMittal | Sell | 5.400 | 06/20/11 | 6,657 | 0 | 405,268 | BBB | ||||||||||||||||||||
Goldman Sachs
International |
ArcelorMittal | Sell | 5.750 | 06/20/10 | 6,657 | 0 | 91,435 | 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 |
Calpine Corporation | Sell | 5.000 | % | 03/20/11 | $ | 2,000 | $ | (65,000 | ) | $ | 47,899 | B | |||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.9 | Sell | 3.750 | 12/20/12 | 34,400 | (1,431,000 | ) | 895,720 | NR | |||||||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.10 | Sell | 5.000 | 06/20/13 | 17,400 | (1,128,250 | ) | 999,166 | NR | |||||||||||||||||
Goldman
Sachs
International |
Citgo Petroleum Corp. | Sell | 3.000 | 12/20/10 | 5,000 | 0 | 47,982 | BB | ||||||||||||||||||
Goldman
Sachs
International |
Gala Group Finance | Sell | 3.450 | 12/20/12 | 6,657 | 0 | (78,785 | ) | NR | |||||||||||||||||
Goldman
Sachs
International |
Gala Group Finance | Sell | 4.150 | 03/20/13 | 6,657 | 0 | 26,011 | NR | ||||||||||||||||||
Goldman
Sachs
International |
LCDX.NA.10 | Sell | 3.250 | 12/20/12 | 47,400 | (5,293,000 | ) | 1,356,167 | NR | |||||||||||||||||
Goldman
Sachs
International |
LCDX9 | Sell | 2.250 | 12/20/12 | 39,500 | (3,208,750 | ) | 197,500 | NR | |||||||||||||||||
Goldman
Sachs
International |
Peermont Global | Sell | 3.500 | 09/20/12 | 6,657 | 0 | (406,476 | ) | B | |||||||||||||||||
Goldman
Sachs
International |
Texas Competitive Electric Holdings Company, LLC | Sell | 2.850 | 06/20/10 | 5,000 | 0 | 4,129 | B | ||||||||||||||||||
Goldman
Sachs
International |
Texas Competitive Electric Holdings Company, LLC | Sell | 5.000 | 06/20/10 | 3,000 | (97,500 | ) | 18,689 | B | |||||||||||||||||
Goldman
Sachs
International |
Texas Competitive Electric Holdings Company, LLC | Sell | 5.000 | 03/20/12 | 5,000 | (112,500 | ) | (83,546 | ) | B | ||||||||||||||||
Goldman
Sachs
International |
UPC Holding | Sell | 3.450 | 09/20/12 | 6,657 | 0 | 47,608 | BBB | ||||||||||||||||||
Goldman
Sachs
International |
Xstrata PLC | Sell | 5.800 | 06/20/10 | 6,657 | 0 | 93,506 | |||||||||||||||||||
Total Credit Default Swaps |
$ | 225,270 | $ | (11,336,000 | ) | $ | 1,048,588 | |||||||||||||||||||
* | Credit rating as issued by Standard and Poors (Unaudited). |
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
In Exchange for | Current Value | Depreciation | ||||||||||
Short Contracts: |
||||||||||||
Euro |
||||||||||||
222,166,596 expiring 06/04/2010 |
US $ | 295,836,989 | (31,275 | ) | ||||||||
Pound Sterling |
||||||||||||
33,542,093 expiring 06/04/10 |
US $ | 51,315,013 | 457,207 | |||||||||
Total Short Contracts |
425,932 | |||||||||||
Total Forward Foreign
Currency Contracts |
$ | 425,932 | ||||||||||
Percentage of | ||||||||
Long-Term | ||||||||
Country |
Value | Investment | ||||||
United States |
790,530,605 | 64.2 | % | |||||
United Kingdom |
116,536,828 | 9.5 | ||||||
Germany |
100,899,196 | 8.2 | ||||||
Netherlands |
30,879,955 | 2.5 | ||||||
Sweden |
26,894,369 | 2.2 | ||||||
Ireland |
23,091,772 | 1.9 | ||||||
Denmark |
22,864,299 | 1.8 | ||||||
Spain |
21,130,257 | 1.7 | ||||||
Belgium |
21,030,413 | 1.7 | ||||||
Greece |
20,425,540 | 1.6 | ||||||
Luxembourg |
15,015,000 | 1.2 | ||||||
Australia |
13,570,000 | 1.1 | ||||||
Bulgaria |
11,988,103 | 1.0 | ||||||
Canada |
8,686,875 | 0.7 | ||||||
Cayman Islands |
8,303,876 | 0.7 | ||||||
$ | 1,231,847,088 | 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) |
Level 1 | Level 2 | Level 3 | ||||||||||||||
Significant | ||||||||||||||||
Other Significant | Unobservable | |||||||||||||||
Investments | Quoted Prices | Observable Inputs | Inputs | Total | ||||||||||||
Investments in an Asset Position: |
||||||||||||||||
Variable Rate Senior Loan Interests |
$ | | $ | 975,803,050 | $ | 18,063,260 | $ | 993,866,310 | ||||||||
Notes |
| 186,046,077 | 46,084,420 | 232,130,497 | ||||||||||||
Equities |
||||||||||||||||
Broadcasting Diversified |
| 5,817 | | 5,817 | ||||||||||||
Buildings & Real Estate |
784,297 | | | 784,297 | ||||||||||||
Chemicals, Plastics & Rubber |
| | 622,790 | 622,790 | ||||||||||||
Construction Material |
661,666 | | | 661,666 | ||||||||||||
Diversified Manufacturing |
336,564 | | | 336,564 | ||||||||||||
Health & Beauty |
| | 607,677 | 607,677 | ||||||||||||
Natural Resources |
802,200 | | | 802,200 | ||||||||||||
Non-Durable Consumer Products |
313,478 | | | 313,478 | ||||||||||||
Printing & Publishing |
1,715,792 | | | 1,715,792 | ||||||||||||
Short-term Investments |
| 27,901,430 | | 27,901,430 | ||||||||||||
Forward Foreign Currency Contracts |
| 457,207 | | 457,207 | ||||||||||||
Credit Default Swap |
| 4,231,080 | | 4,231,080 | ||||||||||||
Unfunded Commitments |
| 50,080 | | 50,080 | ||||||||||||
Total Investments in an Asset Position |
$ | 4,613,997 | $ | 1,194,494,741 | $ | 65,378,147 | $ | 1,264,486,885 | ||||||||
Investments in a Liability Position: |
||||||||||||||||
Forward Foreign Currency Contracts |
| (31,275 | ) | | (31,275 | ) | ||||||||||
Credit Default Swap |
| (3,182,492 | ) | | (3,182,492 | ) | ||||||||||
Unfunded Commitments |
| (3,679,988 | ) | | (3,679,988 | ) | ||||||||||
Total Investments in a Liability Position |
$ | | $ | (6,893,755 | ) | $ | | $ | (6,893,755 | ) | ||||||
Investments in Loans and Securities | ||||||||||||||||||||||||||||||||
Equities | ||||||||||||||||||||||||||||||||
Variable | Chemicals, | |||||||||||||||||||||||||||||||
Rate Senior | Health | Construction | Plastics | Diversified | Unfunded | |||||||||||||||||||||||||||
Loan Interest | Notes | & Beauty | Materials | & Rubber | Manufacturing | Total | Commitments | |||||||||||||||||||||||||
Balance as of August 1, 2009 |
$ | 20,874,117 | $ | 37,161,648 | $ | | $ | 14,163 | $ | 1,103,660 | $ | 95,360 | $ | 59,248,948 | $ | (13,947 | ) | |||||||||||||||
Accrued Discounts/Premiums |
117,245 | 654,539 | | | 0 | 771,784 | | |||||||||||||||||||||||||
Realized Gain/Loss |
(8,144,843 | ) | (342,691 | ) | (98,533 | ) | | 0 | (8,586,067 | ) | | |||||||||||||||||||||
Change in
Unrealized Appreciation/Depreciation |
10,761,336 | (925,882 | ) | (1,983,834 | ) | 128,368 | (480,870 | ) | 1,866,746 | 9,365,864 | 13,947 | |||||||||||||||||||||
Net Purchases/Sales |
(2,293,576 | ) | 9,536,806 | 2,591,511 | (43,998 | ) | | (1,962,106 | ) | 7,828,637 | | |||||||||||||||||||||
Net Transfers In and/or Out of Level 3* |
(3,251,019 | ) | | | | (3,251,019 | ) | | ||||||||||||||||||||||||
Balance as of April 30, 2010 |
$ | 18,063,260 | $ | 46,084,420 | $ | 607,677 | $ | | $ | 622,790 | $ | | $ | 65,378,147 | $ | | ||||||||||||||||
Net Change in Unrealized
Appreciation/Depreciation
from Investments Still Held
as of 4/30/10 |
$ | 6,230,934 |
* | 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. |
(a) | As of June 25, 2010, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of June 25, 2010, the Registrants disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. | ||
(b) | There have been no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940. |
By:
|
/s/ Colin Meadows | |||
Principal Executive Officer | ||||
Date:
|
June 29, 2010 |
By:
|
/s/ Colin Meadows | |||
Principal Executive Officer | ||||
Date:
|
June 29, 2010 | |||
By:
|
/s/ Sheri Morris | |||
Principal Financial Officer | ||||
Date:
|
June 29, 2010 |