OMB APPROVAL |
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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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1555 Peachtree Street, N.E., Atlanta, Georgia 30309 | ||
(Address of principal executive offices) (Zip code) |
Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
EXHIBIT INDEX |
invesco.com/us
|
VK-CE-DCO-QTR-1 10/10 | Invesco Advisers, Inc. |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Variable Rate** Senior Loan Interests 103.8% |
||||||||||||||||
Aerospace & Defense 1.2% |
||||||||||||||||
$ | 1,959 | Booz Allen Hamilton, Inc. Term
Loan C |
6.000 | % | 07/31/15 | $ | 1,966,962 | |||||||||
1,514 | DynCorp International, LLC
Term Loan B |
6.250 | 07/05/16 | 1,524,589 | ||||||||||||
2,819 | IAP Worldwide Services, Inc.
PIK Term Loan (a) |
8.250 | 12/30/12 | 2,775,660 | ||||||||||||
3,111 | Sequa Corp. Term Loan |
3.550 | 12/03/14 | 1,498,660 | ||||||||||||
241 | TASC, Inc. Term Loan A |
5.500 | 12/18/14 | 242,411 | ||||||||||||
518 | TASC, Inc. Term Loan B |
5.750 | 12/18/15 | 522,789 | ||||||||||||
1,813 | Wesco Aircraft Hardware Corp.
Second Lien Term Loan |
6.010 | 03/28/14 | 1,804,267 | ||||||||||||
1,412 | Wyle Services Corp. Incremental
Term Loan |
7.750 | 03/25/16 | 1,414,949 | ||||||||||||
11,750,287 | ||||||||||||||||
Air Transport 0.3% |
||||||||||||||||
2,771 | Delta Air Lines, Inc. Secured
Term Loan |
8.750 | 09/27/13 | 2,815,990 | ||||||||||||
Automotive 2.8% |
||||||||||||||||
907 | Autotrader.com, Inc. Term Loan
B |
6.000 | 06/14/16 | 912,181 | ||||||||||||
1,213 | Dana Holding Corp. Term Loan
B |
4.540 | 01/30/15 | 1,213,358 | ||||||||||||
9,876 | Federal-Mogul Corp. Term Loan
B |
2.198 | 12/29/14 | 8,778,593 | ||||||||||||
10,227 | Ford Motor Co. Term Loan B1 |
3.040 | 12/16/13 | 10,128,068 | ||||||||||||
901 | Goodyear Tire & Rubber Co.
Second Lien Term Loan |
2.210 | 04/30/14 | 876,320 | ||||||||||||
3,455 | Pinafore, LLC Term Loan B |
6.750 | 09/29/16 | 3,497,455 | ||||||||||||
626 | TRW Automotive, Inc. Term
Loan A2 |
4.080 | 05/30/15 | 633,334 |
1
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Automotive (continued) |
||||||||||||||||
$ | 492 | United Components, Inc. Term
Loan B |
6.250 | % | 03/23/17 | $ | 496,356 | |||||||||
26,535,665 | ||||||||||||||||
Beverage, Food & Tobacco 1.6% |
||||||||||||||||
10,000 | DSW Holdings, Inc. Term Loan |
4.256 | 03/02/12 | 9,800,000 | ||||||||||||
| 1,600 | Panrico, Inc. Term Loan B
(Spain) |
3.729 | 05/30/14 | 1,289,621 | |||||||||||
| 1,960 | Panrico, Inc. Term Loan C
(Spain) |
3.729 | 05/29/15 | 1,579,856 | |||||||||||
3,000 | Van Houtte Second Lien Term
Loan (Canada) |
5.789 | 01/19/15 | 2,934,390 | ||||||||||||
15,603,867 | ||||||||||||||||
Building & Development 4.1% |
||||||||||||||||
170 | Axia Acquisition Corp. Second
Lien Term Loan A (a) |
9.390 | 03/11/16 | 161,027 | ||||||||||||
324 | Axia Acquisition Corp. Second
Lien Term Loan B (a) |
3.390 | 03/12/16 | 281,772 | ||||||||||||
£ | 4,757 | Baxi Group Ltd. Term Loan B
(United Kingdom) |
3.507 | 12/27/11 | 7,450,955 | |||||||||||
| 546 | Baxi Group Ltd. Term Loan B1
(United Kingdom) |
3.527 | 10/07/15 | 743,160 | |||||||||||
| 210 | Baxi Group Ltd. Term Loan B2
(United Kingdom) |
3.527 | 06/13/11 | 285,355 | |||||||||||
£ | 4,757 | Baxi Group Ltd. Term Loan C
(United Kingdom) |
4.507 | 12/27/12 | 7,489,067 | |||||||||||
| 500 | Baxi Group Ltd. Term Loan C1
(United Kingdom) |
4.527 | 10/07/16 | 683,722 | |||||||||||
| 704 | Baxi Group Ltd. Term Loan C2
(United Kingdom) |
4.527 | 06/13/12 | 962,344 |
2
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Building & Development (continued) |
||||||||||||||||
$ | 954 | Building Materials Holding Corp.
Second Lien Term
Loan (a) |
8.000 | % | 01/05/15 | $ | 765,417 | |||||||||
293 | Capital Automotive, LP Term
Loan B |
2.010 | 12/16/10 | 291,784 | ||||||||||||
2,619 | Capital Automotive, LP Term
Loan C |
2.010 | 12/14/12 | 2,596,085 | ||||||||||||
996 | CB Richard Ellis Services, Inc.
Term Loan B |
5.750 | 12/20/13 | 996,758 | ||||||||||||
2,331 | Contech Construction Products,
Inc. Term Loan |
6.250 | 01/31/13 | 2,035,699 | ||||||||||||
725 | Custom Building Products, Inc.
Term Loan B |
5.750 | 03/19/15 | 724,572 | ||||||||||||
2,000 | El Ad IDB Las Vegas, LLC Term
Loan A2 |
4.256 | 08/09/12 | 872,500 | ||||||||||||
948 | Ginn LA CS Borrower First Lien
Term A Credit Linked (c) |
7.750 | 06/08/11 | 54,495 | ||||||||||||
2,032 | Ginn LA CS Borrower First Lien
Term Loan (c) |
6.196 | 06/08/11 | 116,817 | ||||||||||||
4,500 | Ginn LA CS Borrower Second
Lien Term Loan (c) |
10.196 | 06/08/12 | 22,500 | ||||||||||||
2,382 | Kyle Acquisition Group, LLC
Term Loan B (c)(e) |
5.750 | 07/20/09 | 234,276 | ||||||||||||
2,618 | Kyle Acquisition Group, LLC
Term Loan C (c) |
4.000 | 07/20/11 | 257,399 | ||||||||||||
153 | Lake at Las Vegas Joint
Venture, LLC Exit Revolver
Credit Agreement (a) (f) |
6.180 | 12/31/12 | 149,597 | ||||||||||||
3,000 | Metroflag BP, LLC Second Lien
Term Loan (c)(e) |
11.250 | 01/06/09 | 33,750 | ||||||||||||
1,651 | NLV Holdings, LLC Second Lien
Term Loan (a)(d) |
5.250 | 05/09/12 | 14,450 |
3
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Building & Development (continued) |
||||||||||||||||
$ | 1,322 | Realogy Corp. Delayed Draw
Term Loan |
3.260 | % | 10/10/13 | $ | 1,214,712 | |||||||||
1,015 | Realogy Corp. Letter of Credit |
3.256 | 10/10/13 | 932,285 | ||||||||||||
7,444 | Realogy Corp. Term Loan |
3.257 | 10/10/13 | 6,839,491 | ||||||||||||
395 | Rhodes Homes New Term Loan (a) |
5.256 | 03/31/16 | 317,722 | ||||||||||||
2,000 | Standard Pacific Corp. Term
Loan |
2.119 | 05/05/13 | 1,835,000 | ||||||||||||
1,008 | Tamarack Resorts, LLC Credit
Lined Note A (c) |
8.051 | 05/19/11 | 13,854 | ||||||||||||
209 | Tamarack Resorts, LLC Term
Loan (c)(e) |
20.250 | 07/02/09 | 166,625 | ||||||||||||
1,489 | Tamarack Resorts, LLC Term
Loan B (c) |
7.500 | 05/19/11 | 20,469 | ||||||||||||
81 | WCI Communities, Inc. First
Lien Term Loan |
11.000 | 09/03/14 | 80,913 | ||||||||||||
339 | WCI Communities, Inc. PIK
Term Loan (a) |
10.000 | 09/02/16 | 328,004 | ||||||||||||
38,972,576 | ||||||||||||||||
Business Equipment & Services 7.4% |
||||||||||||||||
3,980 | Affinion Group, Inc. Term Loan B |
5.000 | 10/10/16 | 3,950,150 | ||||||||||||
1,417 | Asurion Corp. First Lien Term
Loan |
3.280 | 07/03/14 | 1,323,149 | ||||||||||||
6,687 | Asurion Corp. Incremental Term
Loan B2 |
3.256 | 03/31/15 | 6,578,550 | ||||||||||||
540 | Asurion Corp. Second Lien Term
Loan |
6.756 | 07/03/15 | 505,481 | ||||||||||||
500 | Bright Horizons Family
Solutions, Inc. Revolving
Credit Agreement (f) |
1.381 | 05/28/14 | 498,522 | ||||||||||||
1,160 | Bright Horizons Family
Solutions, Inc. Term Loan B |
7.500 | 05/28/15 | 1,167,442 |
4
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Business Equipment & Services (continued) |
||||||||||||||||
$ | 2,022 | Dealer Computer Services, Inc.
Term Loan B |
5.250 | % | 04/21/17 | $ | 2,034,478 | |||||||||
1,449 | Education Management, LLC
Term Loan C |
2.063 | 06/03/13 | 1,356,876 | ||||||||||||
10,922 | First Data Corp. Term Loan B1 |
3.010 | 09/24/14 | 9,850,655 | ||||||||||||
9,334 | First Data Corp. Term Loan B2 |
3.010 | 09/24/14 | 8,415,062 | ||||||||||||
9,255 | First Data Corp. Term Loan B3 |
3.010 | 09/24/14 | 8,338,823 | ||||||||||||
2,902 | GSI Holdings, LLC Term Loan |
3.300 | 08/01/14 | 2,583,037 | ||||||||||||
455 | Interactive Data Corp. Term
Loan B |
6.750 | 01/27/17 | 464,183 | ||||||||||||
1,451 | Kronos, Inc. Second Lien Term
Loan |
6.039 | 06/11/15 | 1,382,852 | ||||||||||||
3,654 | Mitchell International, Inc.
Second Lien Term Loan |
5.563 | 03/30/15 | 3,203,689 | ||||||||||||
4,426 | NCO Financial Systems Term
Loan B |
7.430 | 05/15/13 | 4,300,736 | ||||||||||||
639 | Nielsen Finance, LLC Term
Loan A |
2.256 | 08/09/13 | 629,962 | ||||||||||||
3,786 | Nielsen Finance, LLC Term
Loan C |
4.006 | 05/02/16 | 3,728,516 | ||||||||||||
3,861 | SMG Holdings, Inc. Term Loan
B |
3.290 | 07/27/14 | 3,667,863 | ||||||||||||
1,377 | Sorenson Communications, Inc.
Term Loan C |
6.000 | 08/16/13 | 1,282,772 | ||||||||||||
422 | SunGard Data Systems, Inc.
Incremental Term Loan Add
on |
6.750 | 02/28/14 | 427,651 | ||||||||||||
54 | Sungard Data Systems, Inc.
Term Loan A |
2.006 | 02/28/14 | 52,860 | ||||||||||||
1,455 | Sungard Data Systems, Inc.
Term Loan B |
4.030 | 02/26/16 | 1,446,488 | ||||||||||||
2,986 | Verint Systems, Inc. Term Loan
B |
5.250 | 05/25/14 | 2,958,388 |
5
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Business Equipment & Services (continued) |
||||||||||||||||
$ | 209 | Vertafore, Inc. Term Loan B |
6.750 | % | 07/29/16 | $ | 210,475 | |||||||||
70,358,660 | ||||||||||||||||
Cable & Satellite Television 7.3% |
||||||||||||||||
13,808 | Charter Communications
Operating, LLC Extended
Term Loan (d) |
3.540 | 09/06/16 | 13,580,278 | ||||||||||||
1,484 | Charter Communications
Operating, LLC Replacement
Term Loan (d) |
2.260 | 03/06/14 | 1,458,404 | ||||||||||||
5,000 | Charter Communications
Operating, LLC Third Lien
Term Loan (d) |
2.755 | 09/06/14 | 4,740,000 | ||||||||||||
| 1,500 | Kabel Baden-Wurttemberg
GmbH Term Loan B
(Germany) |
3.347 | 06/09/14 | 2,060,675 | |||||||||||
| 1,500 | Kabel Baden-Wurttemberg
GmbH Term Loan C
(Germany) |
3.847 | 06/09/15 | 2,071,113 | |||||||||||
3,553 | Kabel Baden-Wurttemberg
GmbH Second Lien Term
Loan |
5.847 | 12/09/15 | 4,907,978 | ||||||||||||
3,931 | Knology, Inc. New Term Loan B |
5.500 | 10/17/16 | 3,949,840 | ||||||||||||
896 | Mediacom, LLC Term Loan F |
4.500 | 10/23/17 | 890,570 | ||||||||||||
1,793 | Midcontinent Communications
Term Loan B |
6.250 | 12/31/16 | 1,801,962 | ||||||||||||
| 644 | Prosiebensat. 1 Media AG Term
Loan C2 (Germany) |
2.765 | 07/03/15 | 826,283 | |||||||||||
| 14,310 | Prosiebensat. 1 Media AG Term
Loan C3 (Germany) |
2.765 | 06/26/15 | 18,367,866 | |||||||||||
| 10,000 | UPC Broadband Holding BV
Term Loan U (Netherlands) |
4.623 | 12/31/17 | 13,229,825 |
6
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Cable & Satellite Television (continued) |
||||||||||||||||
$ | 1,250 | UPC Financing Partnership
Term Loan T (Netherlands) |
4.251 | % | 12/30/16 | $ | 1,221,525 | |||||||||
69,106,319 | ||||||||||||||||
Chemicals & Plastics 2.6% |
||||||||||||||||
5,000 | Brenntag Holdings GmbH & Co.
Second Lien Term Loan
(Germany) |
6.453 | 07/17/15 | 5,024,100 | ||||||||||||
3,837 | MetoKote Corp. Term Loan
Refinance |
9.000 | 11/27/11 | 3,632,755 | ||||||||||||
454 | Momentive Specialty Chemicals, Inc.
Extended Term Loan C1 |
4.063 | 05/05/15 | 444,454 | ||||||||||||
95 | Momentive Specialty Chemicals, Inc.
Extended Term Loan C2 |
4.063 | 05/05/15 | 92,826 | ||||||||||||
4,852 | Momentive Specialty Chemicals, Inc.
Extended Term Loan C5 |
4.063 | 05/05/15 | 4,718,689 | ||||||||||||
1,416 | Momentive Specialty Chemicals
Inc. Extended Term Loan C4 |
4.188 | 05/05/15 | 1,383,832 | ||||||||||||
1,709 | Nalco Co. Term Loan B1 |
4.500 | 09/30/17 | 1,731,195 | ||||||||||||
1,350 | Nusil Technology, LLC New
Term Loan B |
6.000 | 02/18/15 | 1,391,329 | ||||||||||||
3,458 | PQ Corp. Term Loan B |
3.530 | 07/30/14 | 3,319,539 | ||||||||||||
2,855 | Univar, Inc. Opco Term Loan |
3.255 | 10/10/14 | 2,848,660 | ||||||||||||
24,587,379 | ||||||||||||||||
Clothing/Textiles 0.8% |
||||||||||||||||
1,384 | Gold Toe Investment Corp. First
Lien Term Loan B |
8.500 | 10/30/13 | 1,335,392 |
7
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Clothing/Textiles (continued) |
||||||||||||||||
$ | 2,000 | Gold Toe Investment Corp.
Second Lien Term Loan |
11.750 | % | 04/30/14 | $ | 1,456,260 | |||||||||
5,000 | Levi Strauss & Co. Term Loan |
2.506 | 03/27/14 | 4,710,425 | ||||||||||||
7,502,077 | ||||||||||||||||
Conglomerates 0.9% |
||||||||||||||||
2,532 | Euramax International, Inc. Cash
Pay Term Loan |
10.000 | 06/29/13 | 2,394,955 | ||||||||||||
2,399 | Euramax International, Inc. PIK
Pay Term Loan (a) |
14.000 | 06/29/13 | 2,269,458 | ||||||||||||
175 | RGIS Holdings, LLC Delayed
Draw Term Loan |
2.789 | 04/30/14 | 162,687 | ||||||||||||
3,499 | RGIS Holdings, LLC Term Loan
B |
2.780 | 04/30/14 | 3,253,740 | ||||||||||||
8,080,840 | ||||||||||||||||
Containers & Glass Products 3.2% |
||||||||||||||||
3,571 | Anchor Glass Container Corp.
First Lien Term Loan |
6.000 | 03/02/16 | 3,579,843 | ||||||||||||
1,350 | Anchor Glass Container Corp.
Second Lien Term Loan |
10.000 | 09/02/16 | 1,344,094 | ||||||||||||
3,000 | Berlin Packaging, LLC Second
Lien Term Loan |
6.820 | 08/17/15 | 2,385,000 | ||||||||||||
5,826 | Berlin Packaging, LLC Term
Loan |
3.280 | 08/17/14 | 5,447,658 | ||||||||||||
2,663 | Berry Plastics Group, Inc. Term
Loan C |
2.376 | 04/03/15 | 2,518,350 | ||||||||||||
102 | BWAY Corp. New Term Loan B |
5.520 | 06/16/17 | 101,970 | ||||||||||||
10 | BWAY Corp. New Term Loan C |
5.560 | 06/16/17 | 9,560 | ||||||||||||
4,809 | Graham Packaging Co., L.P.
Term Loan C |
6.750 | 04/05/14 | 4,857,720 | ||||||||||||
780 | Graham Packaging Co., L.P.
Term Loan D |
6.000 | 09/23/16 | 788,752 |
8
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Containers & Glass Products (continued) |
||||||||||||||||
$ | 2,765 | Reynolds Group Holdings, Inc.
Dollar Term Loan |
6.750 | % | 05/05/16 | $ | 2,794,240 | |||||||||
1,237 | Reynolds Group Holdings, Inc.
Incremental Term Loan |
6.250 | 05/05/16 | 1,246,718 | ||||||||||||
5,169 | Smurfit-Stone Container Corp.
Exit Term Loan B |
6.750 | 02/22/16 | 5,225,643 | ||||||||||||
30,299,548 | ||||||||||||||||
Cosmetics/Toiletries 3.7% |
||||||||||||||||
5,081 | American Safety Razor Co.
Second Lien Term Loan (c) |
12.500 | 01/30/14 | 1,022,480 | ||||||||||||
923 | Huish Detergents, Inc. Term
Loan B |
2.010 | 04/26/14 | 889,534 | ||||||||||||
197 | KIK Custom Products, Inc.
Canadian Term Loan |
2.540 | 06/02/14 | 168,267 | ||||||||||||
1,151 | KIK Custom Products, Inc. First
Lien Term Loan |
2.540 | 06/02/14 | 981,554 | ||||||||||||
7,000 | KIK Custom Products, Inc.
Second Lien Term Loan |
5.289 | 11/30/14 | 4,795,000 | ||||||||||||
1,165 | Marietta Intermediate Holding
Corp. Term Loan B (a) |
8.000 | 02/19/15 | 1,060,111 | ||||||||||||
| 7,385 | Ontex Senior Loan Term Loan B
(Belgium) |
3.685 | 07/05/12 | 10,347,868 | |||||||||||
| 7,385 | Ontex Senior Loan Term Loan C
(Belgium) |
4.935 | 07/05/13 | 10,399,260 | |||||||||||
4,776 | Philosophy, Inc. Term Loan B |
2.010 | 03/16/14 | 4,609,079 | ||||||||||||
1,197 | Prestige Brands, Inc.
Incremental Term Loan B |
4.750 | 03/24/16 | 1,204,947 | ||||||||||||
35,478,100 | ||||||||||||||||
Diversified Telecommunication Services 0.4% |
||||||||||||||||
| 1,500 | Tyrol Acquisitions 2 SA Term
Loan B (Germany) |
2.847 | 01/30/15 | 1,792,645 |
9
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Diversified Telecommunication Services (continued) |
||||||||||||||||
| 1,500 | Tyrol Acquisitions 2 SA Term
Loan C (Germany) |
3.097 | % | 01/29/16 | $ | 1,803,084 | |||||||||
3,595,729 | ||||||||||||||||
Drugs 2.7% |
||||||||||||||||
| 1,415 | Nyco Holdings 2 Aps Term Loan
B (Denmark) |
4.597 | 12/29/14 | 1,847,879 | |||||||||||
$ | 3,776 | Nyco Holdings 2 Aps Term Loan
B2 (Denmark) |
4.005 | 12/29/14 | 3,506,231 | |||||||||||
| 1,414 | Nyco Holdings 2 Aps Term Loan
C (Denmark) |
5.347 | 12/29/15 | 1,857,267 | |||||||||||
3,775 | Nyco Holdings 2 Aps Term Loan
C2 (Denmark) |
4.755 | 12/29/15 | 3,524,039 | ||||||||||||
1,125 | Nyco Holdings 3 Aps Facility A1
(Denmark) |
3.255 | 12/29/13 | 1,060,233 | ||||||||||||
8,144 | Nyco Holdings 3 Aps Facility A2
(Denmark) |
3.255 | 12/29/13 | 7,675,389 | ||||||||||||
143 | Nyco Holdings 3 Aps Facility A3
(Denmark) |
3.255 | 12/29/13 | 134,775 | ||||||||||||
91 | Nyco Holdings 3 Aps Facility A4
(Denmark) |
3.255 | 12/29/13 | 86,019 | ||||||||||||
644 | Nyco Holdings 3 Aps Facility A5
(Denmark) |
3.255 | 12/29/13 | 607,051 | ||||||||||||
4,317 | Warner Chilcott Co., LLC Term
Loan B3 |
6.500 | 02/22/16 | 4,361,118 | ||||||||||||
1,402 | Warner Chilcott Co., LLC Term
Loan B4 |
6.500 | 02/22/16 | 1,415,947 | ||||||||||||
26,075,948 | ||||||||||||||||
Ecological Services & Equipment 1.4% |
||||||||||||||||
709 | ServiceMaster Co. Delayed
Draw Term Loan |
2.760 | 07/24/14 | 675,786 | ||||||||||||
7,124 | ServiceMaster Co. Term Loan |
2.770 | 07/24/14 | 6,786,014 |
10
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Ecological Services & Equipment (continued) |
||||||||||||||||
$ | 6,850 | Synagro Technologies, Inc.
Second Lien Term Loan |
5.010 | % | 10/02/14 | $ | 5,548,534 | |||||||||
13,010,334 | ||||||||||||||||
Electronics/Electrical 6.9% |
||||||||||||||||
4,885 | CDW Corp. Term Loan |
4.256 | 10/10/14 | 4,648,345 | ||||||||||||
5,167 | Edwards, Ltd. Second Lien Term
Loan (Cayman Islands) (a) |
6.005 | 11/30/14 | 4,685,627 | ||||||||||||
5,341 | Freescale Semiconductor, Inc.
Extended Term Loan B |
4.506 | 12/01/16 | 5,046,855 | ||||||||||||
2,015 | Infor Enterprise Solutions
Holdings, Inc. Extended
Delayed Draw Term Loan |
6.010 | 07/28/15 | 1,873,893 | ||||||||||||
3,862 | Infor Enterprise Solutions
Holdings, Inc. Extended Initial
Term Loan |
6.010 | 07/28/15 | 3,591,628 | ||||||||||||
9,688 | NDS Finance Ltd. Term Loan B2
(United Kingdom) |
5.066 | 10/14/15 | 13,307,239 | ||||||||||||
5,759 | Open Solutions, Inc. Term Loan
B |
2.415 | 01/23/14 | 4,883,175 | ||||||||||||
618 | Savvis Communications Corp.
Term Loan |
6.750 | 08/04/16 | 626,694 | ||||||||||||
| 18,548 | Sensata Technologies BV Term
Loan B |
3.040 | 04/26/13 | 24,976,665 | |||||||||||
1,951 | Spectrum Brands, Inc. New
Term Loan |
8.000 | 06/16/16 | 1,993,765 | ||||||||||||
65,633,886 | ||||||||||||||||
Farming/Agriculture 0.2% |
||||||||||||||||
1,027 | WM. Bolthouse Farms, Inc. New
First Lien Term Loan |
5.500 | 02/11/16 | 1,032,874 | ||||||||||||
1,091 | WM. Bolthouse Farms, Inc. New
Second Lien Term Loan |
9.500 | 08/11/16 | 1,103,864 | ||||||||||||
2,136,738 | ||||||||||||||||
11
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Financial Intermediaries 3.1% |
||||||||||||||||
$ | 2,446 | Clarke American Corp. Term
Loan B |
2.778 | % | 06/30/14 | $ | 2,210,924 | |||||||||
3,646 | Fidelity National Information
Solutions, Inc. Term Loan B |
5.250 | 07/18/16 | 3,700,833 | ||||||||||||
2,500 | National Processing Co. Group,
Inc. Second Lien Term Loan |
11.000 | 09/29/14 | 2,283,338 | ||||||||||||
3,161 | National Processing Co. Group,
Inc. Term Loan B |
7.250 | 09/29/13 | 3,138,892 | ||||||||||||
5,829 | Nuveen Investments, Inc. Term
Loan |
3.290 | 11/13/14 | 5,472,795 | ||||||||||||
3,162 | Oxford Acquisition III, Ltd. Term
Loan (United Kingdom) |
2.038 | 05/12/14 | 2,845,396 | ||||||||||||
5,097 | RJO Holdings Corp. Second
Lien Term Loan (a) |
9.010 | 07/13/15 | 356,807 | ||||||||||||
4,834 | RJO Holdings Corp. Term Loan
B (a) |
5.260 | 07/12/14 | 3,222,706 | ||||||||||||
1,649 | Trans Union, LLC Term Loan B |
6.750 | 06/15/17 | 1,680,752 | ||||||||||||
1,932 | Transfirst Holdings, Inc. Second
Lien Term Loan (a) |
6.290 | 06/15/15 | 1,816,371 | ||||||||||||
2,902 | Transfirst Holdings, Inc. Term
Loan B |
3.040 | 06/15/14 | 2,655,788 | ||||||||||||
29,384,602 | ||||||||||||||||
Food Products 7.9% |
||||||||||||||||
177 | Advantage Sales & Marketing,
Inc. Second Lien Term Loan |
8.500 | 05/05/17 | 179,425 | ||||||||||||
171 | Advantage Sales & Marketing,
Inc. Term Loan |
5.000 | 05/05/16 | 171,121 | ||||||||||||
£ | 3,000 | Brake Brothers PLC Term Loan
B (United Kingdom) (j) |
| 09/01/14 | 4,350,383 |
12
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Food Products (continued) |
||||||||||||||||
$ | 4,316 | Coleman Natural Foods, LLC
First Lien Term Loan |
7.250 | % | 08/22/12 | $ | 4,099,917 | |||||||||
984 | Dole Food Co. Inc. Term Loan B |
5.060 | 03/02/17 | 991,579 | ||||||||||||
2,444 | Dole Food Co. Inc. Term Loan C |
5.040 | 03/02/17 | 2,462,836 | ||||||||||||
12,000 | Farleys & Sathers Candy Co.,
Inc. Second Lien Term Loan |
11.250 | 01/02/12 | 11,940,000 | ||||||||||||
| 1,276 | Foodvest Ltd. Term Loan C2
(United Kingdom) |
5.258 | 10/02/16 | 1,741,955 | |||||||||||
| 20,000 | Liberator Midco Ltd. Term Loan
D (United Kingdom) |
5.350 | 04/30/16 | 27,977,687 | |||||||||||
| 5,000 | Lion Polaris SA Term Loan B1 (France) |
5.824 | 09/14/17 | 7,026,503 | |||||||||||
1,408 | Michael Foods Group, Inc. Term
Loan B |
6.250 | 06/29/16 | 1,436,998 | ||||||||||||
3,529 | Pierre Foods, Inc. First Lien
Term Loan |
7.001 | 09/29/16 | 3,497,448 | ||||||||||||
900 | Pierre Foods, Inc. Second Lien
Term Loan |
11.250 | 09/29/17 | 883,355 | ||||||||||||
3,402 | Pinnacle Foods Finance, LLC
Term Loan B |
2.756 | 04/02/14 | 3,314,824 | ||||||||||||
4,996 | Pinnacle Foods Finance, LLC
Term Loan D |
6.000 | 04/02/14 | 5,059,042 | ||||||||||||
75,133,073 | ||||||||||||||||
Food Service 0.7% |
||||||||||||||||
3,032 | Burger King Corp. New Term
Loan B |
6.250 | 10/19/16 | 3,062,337 | ||||||||||||
1,232 | Center Cut Hospitality, Inc. Term
Loan |
9.250 | 07/06/14 | 1,176,165 | ||||||||||||
1,345 | DineEquity, Inc. Term Loan B |
6.000 | 10/19/17 | 1,358,390 | ||||||||||||
126 | OSI Restaurant Partners, LLC
Revolving Credit Agreement |
1.470 | 06/14/13 | 118,675 |
13
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Food Service (continued) |
||||||||||||||||
$ | 1,383 | OSI Restaurant Partners, LLC
Term Loan B |
2.625 | % | 06/14/14 | $ | 1,305,632 | |||||||||
7,021,199 | ||||||||||||||||
Food/Drug retailers 3.6% |
||||||||||||||||
£ | 8,000 | Alliance Boots Holdings, Ltd.
Term Loan B1 (United
Kingdom) |
3.559 | 07/05/15 | 11,597,560 | |||||||||||
| 7,000 | Alliance Boots Holdings, Ltd.
Term Loan B2 (United
Kingdom) |
3.804 | 07/05/15 | 9,083,367 | |||||||||||
6,499 | General Nutrition Centers, Inc.
Term Loan B |
2.530 | 09/16/13 | 6,401,717 | ||||||||||||
651 | NBTY, Inc. Term Loan B |
6.250 | 10/02/17 | 660,027 | ||||||||||||
6,421 | Rite Aid Corp. Term Loan 3 |
6.000 | 06/04/14 | 6,394,738 | ||||||||||||
509 | Rite Aid Corp. Term Loan B |
2.010 | 06/04/14 | 459,882 | ||||||||||||
34,597,291 | ||||||||||||||||
Forest Products 0.4% |
||||||||||||||||
3,200 | Ainsworth Lumber Co., Ltd Term
Loan |
5.313 | 06/26/14 | 3,044,000 | ||||||||||||
428 | Verso Paper Holding, LLC Term
Loan (a) |
6.790 | 02/01/13 | 353,806 | ||||||||||||
95 | White Birch Paper Co. DIP
Delayed Draw Term Loan (Canada) (f) |
6.720 | 12/01/10 | 95,322 | ||||||||||||
584 | White Birch Paper Co. DIP Term
Loan B (Canada) |
12.000 | 12/01/10 | 582,892 | ||||||||||||
4,076,020 | ||||||||||||||||
Health Care 4.6% |
||||||||||||||||
825 | Biomet Inc. Term Loan B |
3.280 | 03/25/15 | 815,420 | ||||||||||||
1,610 | Carestream Health, Inc. First
Lien Term Loan |
2.255 | 04/30/13 | 1,578,653 | ||||||||||||
232 | Community Health Systems, Inc.
Delayed Draw Term Loan |
2.549 | 07/25/14 | 229,040 |
14
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Health Care (continued) |
||||||||||||||||
$ | 4,503 | Community Health Systems, Inc.
Term Loan |
2.549 | % | 07/25/14 | $ | 4,437,554 | |||||||||
3,170 | Concentra Inc. Second Lien
Term Loan (a) |
5.790 | 06/25/15 | 3,035,375 | ||||||||||||
1,450 | DaVita, Inc. New Term Loan B |
4.500 | 10/20/16 | 1,466,273 | ||||||||||||
1,826 | Gentiva Health Services, Inc.
New Term Loan B |
6.750 | 08/15/16 | 1,840,103 | ||||||||||||
4,234 | HCA, Inc. Extended Term Loan
B2 |
3.539 | 03/31/17 | 4,165,742 | ||||||||||||
1,067 | HCA, Inc. Term Loan B |
2.539 | 11/18/13 | 1,047,418 | ||||||||||||
2,570 | Health Management Associates,
Inc. Term Loan B |
2.039 | 02/28/14 | 2,521,477 | ||||||||||||
2,403 | Inverness Medical Innovations,
Inc. First Lien Term Loan |
2.270 | 06/26/14 | 2,318,413 | ||||||||||||
1,469 | Rehabcare Group, Inc. Term
Loan B |
6.000 | 11/24/15 | 1,479,984 | ||||||||||||
1,439 | Skilled Healthcare Group, Inc.
Term Loan B |
5.250 | 04/08/16 | 1,398,095 | ||||||||||||
1,382 | Sun Healthcare Group, Inc. New
Term Loan B |
7.500 | 10/15/16 | 1,370,218 | ||||||||||||
5,827 | Surgical Care Affiliates, LLC
Term Loan |
2.289 | 12/29/14 | 5,535,587 | ||||||||||||
619 | United Surgical Partners,
International, Inc. Delayed
Draw Term Loan |
2.260 | 04/21/14 | 597,268 | ||||||||||||
3,278 | United Surgical Partners,
International, Inc. Term Loan
B |
2.270 | 04/19/14 | 3,161,112 | ||||||||||||
6,511 | Universal Health Services, Inc.
Term Loan B |
6.250 | 07/28/16 | 6,593,069 | ||||||||||||
43,590,801 | ||||||||||||||||
15
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Home Furnishings 1.3% |
||||||||||||||||
$ | 6,789 | Hunter Fan Co. Second Lien
Term Loan |
7.010 | % | 10/16/14 | $ | 4,531,974 | |||||||||
1,588 | Hunter Fan Co. Term Loan |
2.760 | 04/16/14 | 1,404,465 | ||||||||||||
4,818 | Mattress Holdings Corp. Term
Loan B |
2.540 | 01/18/14 | 4,203,887 | ||||||||||||
2,208 | National Bedding Co. LLC
Second Lien Term Loan |
5.375 | 02/28/14 | 2,102,818 | ||||||||||||
12,243,144 | ||||||||||||||||
Industrial Equipment 0.4% |
||||||||||||||||
906 | Manitowoc Co., Inc. Term Loan
B |
8.000 | 11/06/14 | 913,152 | ||||||||||||
3,729 | Mold-Masters Luxembourg
Holdings, SA Mold Masters
Term Loan |
3.813 | 10/11/14 | 3,272,344 | ||||||||||||
4,185,496 | ||||||||||||||||
Insurance 2.0% |
||||||||||||||||
3,809 | Alliant Holdings I, Inc. Term
Loan B |
3.289 | 08/21/14 | 3,676,167 | ||||||||||||
5,860 | AmWins Group, Inc. First Lien
Term Loan |
2.800 | 06/08/13 | 5,460,709 | ||||||||||||
3,049 | C.G. JCF Corp. Term Loan |
3.260 | 08/01/14 | 2,888,495 | ||||||||||||
2,355 | Conseco, Inc. New Term Loan |
7.500 | 10/10/13 | 2,294,937 | ||||||||||||
1,750 | HMSC Corp. Second Lien Term
Loan |
5.755 | 10/03/14 | 1,203,125 | ||||||||||||
248 | Sedgwick CMS Holdings, Inc.
First Lien Term Loan |
5.500 | 05/27/16 | 248,129 | ||||||||||||
1,600 | Sedgwick CMS Holdings, Inc.
Second Lien Term Loan |
9.000 | 05/26/17 | 1,600,000 | ||||||||||||
1,980 | USI Holdings Corp. Incremental
Term Loan |
7.000 | 05/05/14 | 1,939,568 | ||||||||||||
19,311,130 | ||||||||||||||||
16
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Leisure 0.0% |
||||||||||||||||
$ | 362 | 24 Hour Fitness Worldwide, Inc.
New Term Loan |
6.750 | % | 04/22/16 | $ | 346,381 | |||||||||
Leisure Goods/Activities/Movies 2.7% |
||||||||||||||||
1,800 | Alpha Topco, Ltd. Second Lien
Term Loan (United Kingdom) |
3.799 | 06/30/14 | 1,591,236 | ||||||||||||
3,529 | Alpha Topco, Ltd. Term Loan B1
(United Kingdom) |
2.424 | 12/31/13 | 3,247,399 | ||||||||||||
2,384 | Alpha Topco, Ltd. Term Loan B2
(United Kingdom) |
2.424 | 12/31/13 | 2,193,526 | ||||||||||||
1,296 | Cedar Fair, L.P. Term Loan B |
5.500 | 12/15/16 | 1,316,121 | ||||||||||||
1,033 | Fender Musical Instruments
Corp. Delayed Draw Term
Loan |
2.550 | 06/09/14 | 888,672 | ||||||||||||
2,046 | Fender Musical Instruments
Corp. Term Loan B |
2.540 | 06/09/14 | 1,759,149 | ||||||||||||
1,626 | Hicks Sports Group, LLC Term
Loan (c) |
6.750 | 12/22/10 | 1,459,184 | ||||||||||||
12,728 | Metro-Goldwyn-Mayer Studios,
Inc. Term Loan B (c) |
20.500 | 04/09/12 | 5,944,619 | ||||||||||||
9,401 | Metro-Goldwyn-Mayer Studios
Inc. Term Loan B1 (c) |
20.500 | 04/09/12 | 4,390,374 | ||||||||||||
1,906 | Sabre Holdings Corp. Term Loan
B |
2.270 | 09/30/14 | 1,816,546 | ||||||||||||
612 | Six Flags Theme Parks, Inc. Exit
Term Loan B |
6.000 | 06/30/16 | 615,471 | ||||||||||||
55 | Universal City Development
Partners, Ltd. New Term Loan
B |
5.500 | 11/06/14 | 55,562 | ||||||||||||
25,277,859 | ||||||||||||||||
Lodging & Casinos 7.5% |
||||||||||||||||
1,748 | Cannery Casino Resorts, LLC
Delayed Draw Term Loan |
4.506 | 05/20/13 | 1,661,811 |
17
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Lodging & Casinos (continued) |
||||||||||||||||
$ | 2,500 | Cannery Casino Resorts, LLC
Second Lien Term Loan |
4.506 | % | 05/16/14 | $ | 2,075,000 | |||||||||
2,114 | Cannery Casino Resorts, LLC
Term Loan B |
4.506 | 05/17/13 | 2,009,663 | ||||||||||||
4,359 | CCM Merger Corp. Term Loan B |
8.500 | 07/13/12 | 4,366,452 | ||||||||||||
192 | Chester Downs and Marina, LLC
Incremental Term Loan |
12.375 | 07/29/16 | 195,139 | ||||||||||||
£ | 996 | Gala Group Ltd. Term Loan A
(United Kingdom) |
4.574 | 12/01/12 | 1,565,583 | |||||||||||
360 | Golden Nugget, Inc. New
Delayed Draw Term Loan (a) |
3.260 | 06/30/14 | 289,714 | ||||||||||||
633 | Golden Nugget, Inc. Term Loan
B (a) |
3.260 | 06/30/14 | 508,959 | ||||||||||||
496 | Harrahs Operating Co., Inc.
Incremental Term Loan B4 |
9.500 | 10/31/16 | 517,480 | ||||||||||||
14,814 | Harrahs Operating Co., Inc.
Term Loan B1 |
3.288 | 01/28/15 | 13,086,050 | ||||||||||||
3,357 | Harrahs Operating Co., Inc.
Term Loan B3 |
3.290 | 01/28/15 | 2,964,441 | ||||||||||||
498 | Isle of Capri Casinos, Inc. New
Delayed Draw Term Loan A |
5.000 | 11/25/13 | 488,167 | ||||||||||||
566 | Isle of Capri Casinos, Inc. New
Delayed Draw Term Loan B |
5.000 | 11/25/13 | 555,035 | ||||||||||||
1,416 | Isle of Capri Casinos, Inc. New
Term Loan B |
5.000 | 11/25/13 | 1,387,587 | ||||||||||||
1,297 | Las Vegas Sands, LLC/Venetian
Casino Delayed Draw Term
Loan |
2.030 | 05/23/14 | 1,232,739 | ||||||||||||
6,417 | Las Vegas Sands, LLC/Venetian
Casino Term Loan B |
2.030 | 05/23/14 | 6,100,800 | ||||||||||||
1,113 | Magnolia Hill, LLC Delayed Draw
Term Loan |
3.510 | 10/30/13 | 1,001,607 |
18
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Lodging & Casinos (continued) |
||||||||||||||||
$ | 4,650 | Magnolia Hill, LLC Mezzanine Loan |
14,000 | % | 04/30/14 | $ | 4,556,861 | |||||||||
3,167 | Magnolia Hill, LLC Term Loan |
3.510 | 10/30/13 | 2,850,726 | ||||||||||||
1,116 | MGM Mirage Class D Term Loan |
6.000 | 10/03/11 | 1,115,245 | ||||||||||||
| 9,547 | Regency Entertainment SA
Term Loan B (Greece) |
3.271 | 03/03/14 | 7,806,080 | |||||||||||
| 9,547 | Regency Entertainment SA
Term Loan C (Greece) |
3.646 | 03/02/15 | 7,872,515 | |||||||||||
1,090 | Venetian Macau, Ltd. Delayed
Draw Term Loan B |
4.780 | 05/25/12 | 1,093,485 | ||||||||||||
1,470 | Venetian Macau, Ltd. New
Project Term Loan |
4.780 | 05/27/13 | 1,474,333 | ||||||||||||
2,729 | Venetian Macau, Ltd. Term Loan
B |
4.780 | 05/27/13 | 2,736,244 | ||||||||||||
5,500 | Wembly, Inc. Second Lien Term
Loan (c) |
6.500 | 07/18/12 | 96,250 | ||||||||||||
1,996 | Wembly, Inc. Term Loan B (a) |
4.750 | 07/18/11 | 1,540,601 | ||||||||||||
71,148,567 | ||||||||||||||||
Oil & Gas 1.5% |
||||||||||||||||
1,809 | CCS, Inc. Term Loan B |
3.290 | 11/14/14 | 1,590,562 | ||||||||||||
1,899 | Citgo Petroleum Corp. Term
Loan B |
8.000 | 06/24/15 | 1,944,225 | ||||||||||||
4,000 | Dresser, Inc. Second Lien Term
Loan |
6.112 | 05/04/15 | 3,996,680 | ||||||||||||
754 | Ram Energy, Inc. Term Loan B |
10.000 | 11/29/12 | 754,471 | ||||||||||||
1,376 | Venoco, Inc. Term Loan |
4.313 | 05/08/14 | 1,306,330 | ||||||||||||
2,477 | Western Refining, Inc. Term
Loan B |
10.750 | 05/30/14 | 2,503,495 | ||||||||||||
2,534 | Willbros United States Holdings,
Inc. Term Loan B |
9.500 | 06/30/14 | 2,521,639 | ||||||||||||
14,617,402 | ||||||||||||||||
19
Principal | |||||||||||||||||
Amount | Stated | ||||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | |||||||||||||
Publishing 4.2% |
|||||||||||||||||
$ | 1,175 | Affiliated Media, Inc. New Term
Loan |
8.500 | % | 03/19/14 | $ | 1,140,397 | ||||||||||
13,032 | Cengage Learning Holdings II,
LP Term Loan |
2.540 | 07/03/14 | 11,961,814 | |||||||||||||
4,000 | Endurance Business Media, Inc.
Second Lien Term Loan (c) |
11.250 | 01/26/14 | 220,000 | |||||||||||||
912 | Gatehouse Media, Inc. Delayed
Draw Term Loan |
2.260 | 08/28/14 | 335,797 | |||||||||||||
2,445 | Gatehouse Media, Inc. Term
Loan B |
2.260 | 08/28/14 | 900,350 | |||||||||||||
935 | Knowledgepoint360 Group, LLC
First Lien Term Loan |
3.620 | 04/14/14 | 747,770 | |||||||||||||
2,000 | Knowledgepoint360 Group, LLC
Second Lien Term Loan |
7.362 | 04/13/15 | 1,220,000 | |||||||||||||
4,996 | Merrill Communications, LLC
Second Lien Term Loan (a) |
14.756 | 11/15/13 | 4,671,239 | |||||||||||||
5,000 | Nelson Education, Ltd. Second
Lien Term Loan (Canada) |
6.289 | 07/03/15 | 4,275,000 | |||||||||||||
2,333 | Newsday, LLC Term Loan |
6.539 | 08/01/13 | 2,365,417 | |||||||||||||
1,435 | Primedia, Inc. Term Loan B |
2.290 | 08/01/14 | 1,265,655 | |||||||||||||
10,146 | Tribune Co. Term Loan B (c)(d) |
5.250 | 06/04/14 | 6,750,413 | |||||||||||||
7,071 | Yell Group PLC New Term Loan
B1 (United Kingdom) |
4.005 | 07/31/14 | 3,875,727 | |||||||||||||
39,729,579 | |||||||||||||||||
Radio & Television 3.4% |
|||||||||||||||||
1,887 | CMP KC, LLC Term Loan (c) |
6.250 | 05/03/11 | 160,364 | |||||||||||||
4,224 | CMP Susquehanna Corp. Term
Loan |
2.313 | 05/05/13 | 3,792,403 | |||||||||||||
817 | Cumulus Media, Inc. Term Loan
B |
4.006 | 06/11/14 | 765,779 |
20
Principal | |||||||||||||||||
Amount | Stated | ||||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | |||||||||||||
Radio & Television (continued) |
|||||||||||||||||
$ | 2,597 | FoxCo Acquisition Sub, LLC
Term Loan |
7.500 | % | 07/14/15 | $ | 2,579,118 | ||||||||||
633 | High Plains Broadcasting
Operating Co., LLC Term
Loan |
9.000 | 09/14/16 | 631,473 | |||||||||||||
1,552 | Multicultural Radio Broadcasting,
Inc. Term Loan |
3.010 | 12/18/12 | 1,272,820 | |||||||||||||
2,307 | Newport Television, LLC Term
Loan B |
9.000 | 09/14/16 | 2,302,950 | |||||||||||||
21,486 | Univision Communications, Inc.
Initial Term Loan |
4.505 | 09/29/14 | 20,392,536 | |||||||||||||
31,897,443 | |||||||||||||||||
Retailers (except food & drug) 2.3% |
|||||||||||||||||
6,193 | Amscan Holdings, Inc. New
Term Loan |
2.539 | 05/25/13 | 6,030,832 | |||||||||||||
4,268 | Dollar General Corp. Term Loan
B2 |
3.010 | 07/07/14 | 4,222,251 | |||||||||||||
498 | Educate, Inc. Second Lien Term
Loan |
8.510 | 06/16/14 | 485,076 | |||||||||||||
4,027 | Guitar Center, Inc. Term Loan B |
3.760 | 10/09/14 | 3,641,259 | |||||||||||||
854 | Michaels Stores, Inc. Term Loan
B2 |
4.884 | 07/31/16 | 848,148 | |||||||||||||
948 | Savers, Inc. Term Loan B |
5.750 | 03/11/16 | 951,660 | |||||||||||||
| 4,377 | Zapf Creation AG Term Loan
(Germany) |
5.347 | 11/30/12 | 5,177,649 | ||||||||||||
21,356,875 | |||||||||||||||||
Surface Transport 0.3% |
|||||||||||||||||
2,530 | Swift Transportation Co., Inc.
Term Loan |
8.250 | 05/09/14 | 2,504,011 | |||||||||||||
Telecommunications 5.2% |
|||||||||||||||||
5,358 | Avaya, Inc. Term Loan |
3.058 | 10/24/14 | 4,875,055 |
21
Principal | |||||||||||||||||
Amount | Stated | ||||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | |||||||||||||
Telecommunications (continued) |
|||||||||||||||||
| 3,185 | Bultel Cable Bulgaria EAD Term
Loan A (Bulgaria) |
6.140 | % | 10/27/15 | $ | 3,989,595 | ||||||||||
| 3,250 | Bultel Cable Bulgaria EAD Term
Loan B (Bulgaria) |
7.139 | 10/27/16 | 4,071,015 | ||||||||||||
$ | 724 | Cincinnati Bell, Inc. Term Loan |
6.500 | 06/12/17 | 731,489 | ||||||||||||
| 1,926 | Fibernet Term Loan B
(Bulgaria) |
3.155 | 12/20/14 | 1,688,780 | ||||||||||||
| 1,926 | Fibernet Term Loan C
(Bulgaria) |
3.655 | 12/20/15 | 1,688,780 | ||||||||||||
5,935 | Global Tel*Link Corp. Term Loan
B |
6.000 | 03/02/16 | 5,947,220 | |||||||||||||
2,397 | Hawaiian Telcom
Communications, Inc.
Term Loan C |
9.000 | 10/28/15 | 2,429,335 | |||||||||||||
167 | Level 3 Communications, Inc.
Add on Term Loan |
11.500 | 03/13/14 | 180,833 | |||||||||||||
5,625 | Level 3 Communications, Inc.
Term Loan A |
2.539 | 03/13/14 | 5,256,872 | |||||||||||||
3,443 | MetroPCS Wireless, Inc.
Extended Term Loan B |
3.813 | 11/04/16 | 3,450,004 | |||||||||||||
316 | MetroPCS Wireless, Inc. Term
Loan B |
2.563 | 11/04/13 | 313,896 | |||||||||||||
2,075 | NTELOS, Inc. Term Loan B |
5.750 | 08/07/15 | 2,092,390 | |||||||||||||
| 4,076 | Primacom Term Loan B1
(Germany) |
4.036 | 12/05/13 | 4,063,319 | ||||||||||||
| 4,091 | Primacom Term Loan C1
(Germany) |
4.536 | 12/05/14 | 4,106,936 | ||||||||||||
| 4,179 | Primacom Term Loan C2
(Germany) |
3.286 | 11/22/16 | 4,194,671 | ||||||||||||
49,080,190 | |||||||||||||||||
22
Principal | |||||||||||||||||
Amount | Stated | ||||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | |||||||||||||
Utilities 5.2% |
|||||||||||||||||
5,000 | Bicent Power, LLC Second Lien
Term Loan |
4.290 | 12/31/14 | 1,125,000 | |||||||||||||
4,331 | BRSP, LLC Term Loan B |
7.500 | 06/04/14 | 4,358,191 | |||||||||||||
4,335 | Calpine Corp. First Priority Term
Loan |
3.165 | 03/29/14 | 4,320,723 | |||||||||||||
2,900 | FirstLight Power Resources, Inc.
Second Lien Term Loan |
4.813 | 05/01/14 | 2,682,500 | |||||||||||||
100 | FirstLight Power Resources, Inc.
Synthetic Letter of Credit |
2.813 | 11/01/13 | 94,101 | |||||||||||||
670 | FirstLight Power Resources, Inc.
Term Loan B |
2.813 | 11/01/13 | 632,654 | |||||||||||||
1,421 | Great Point Power, Inc. Delayed
Draw Term Loan |
5.500 | 03/10/17 | 1,422,615 | |||||||||||||
187 | Mach Gen, LLC Letter of Credit |
2.289 | 02/22/13 | 174,554 | |||||||||||||
7,000 | New Development Holdings,
LLC Term Loan |
7.000 | 07/03/17 | 7,146,825 | |||||||||||||
2,182 | NRG Energy, Inc. Extended
Letter of Credit |
3.539 | 08/31/15 | 2,681,307 | |||||||||||||
1 | NRG Energy, Inc. Synthetic
Letter of Credit |
1.789 | 02/01/13 | 522 | |||||||||||||
441 | NRG Energy, Inc. Term Loan |
1.780 | 02/01/13 | 432,764 | |||||||||||||
3,784 | Primary Energy Operations, LLC
New Term Loan |
6.500 | 10/23/14 | 3,714,500 | |||||||||||||
5,799 | Texas Competitive Electric
Holdings Co., LLC Delayed
Draw Term Loan |
3.760 | 10/10/14 | 4,511,651 |
23
Principal | |||||||||||||||||
Amount | Stated | ||||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | |||||||||||||
Utilities (continued) |
|||||||||||||||||
$ | 4,999 | Texas Competitive Electric
Holdings Co., LLC Term Loan
B1 |
3.760 | % | 10/10/14 | $ | 4,685,103 | ||||||||||
1,610 | Texas Competitive Electric
Holdings Co., LLC Term Loan
B2 |
3.920 | 10/10/14 | 1,256,999 | |||||||||||||
6,626 | Texas Competitive Electric
Holdings Co., LLC Term Loan
B3 |
3.760 | 10/10/14 | 4,386,417 | |||||||||||||
6,000 | TPF Generation Holdings, LLC
Second Lien Term Loan C |
4.539 | 12/15/14 | 5,527,500 | |||||||||||||
49,153,926 | |||||||||||||||||
Total Variable Rate** Senior Loan Interests 103.8% | 986,198,932 | ||||||||||||||||
Notes 23.9% |
|||||||||||||||||
Air Transport 0.1% |
|||||||||||||||||
650 | Continental Airlines, Inc. |
6.750 | 09/15/15 | 680,875 | |||||||||||||
Building & Development 0.6% |
|||||||||||||||||
2,000 | CPG International, Inc. (i) |
7.500 | 07/01/12 | 1,990,000 | |||||||||||||
£ | 3,160 | European Loan Conduit (United
Kingdom) (h) |
0.897 | 07/25/17 | 4,152,012 | ||||||||||||
6,142,012 | |||||||||||||||||
Cable & Satellite Television 1.3% |
|||||||||||||||||
| 5,000 | UPC Germany GmbH
(Germany) (h) |
9.625 | 12/01/19 | 7,533,118 | ||||||||||||
4,250 | Virgin Media Finance PLC
(United Kingdom) |
9.500 | 08/15/16 | 4,831,719 | |||||||||||||
12,364,837 | |||||||||||||||||
Chemicals & Plastics 0.6% |
|||||||||||||||||
3,149 | Lyondell Chemical Co. |
11.000 | 05/01/18 | 3,531,248 |
24
Par | |||||||||||||||||
Amount | Stated | ||||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | |||||||||||||
Chemicals & Plastics (continued) |
|||||||||||||||||
$ | 2,043 | Wellman, Inc. (a) |
5.000 | % | 01/29/19 | $ | 2,042,964 | ||||||||||
5,574,212 | |||||||||||||||||
Containers & Glass Products 5.5% |
|||||||||||||||||
| 11,200 | Ardagh Glass Finance
(Ireland) (h) |
7.125 | 06/15/17 | 14,613,901 | ||||||||||||
| 6,000 | Ardagh Glass Finance
(Ireland) (h) |
8.750 | 02/01/20 | 8,350,800 | ||||||||||||
2,800 | Berry Plastics Corp. (i) |
5.039 | 02/15/15 | 2,709,000 | |||||||||||||
| 4,500 | Impress Holdings
(Netherlands) (h) |
9.250 | 09/15/14 | 6,607,571 | ||||||||||||
| 6,000 | Impress Metal Packaging
Holdings BV (Netherlands) (h) |
4.110 | 09/15/13 | 8,361,239 | ||||||||||||
| 8,800 | Pregis Corp. |
5.985 | 04/15/13 | 11,696,688 | ||||||||||||
52,339,199 | |||||||||||||||||
Energy Equipment & Services 1.6% |
|||||||||||||||||
15,000 | Seadrill, Ltd. |
6.500 | 10/05/15 | 15,004,200 | |||||||||||||
Financial Intermediaries 1.6% |
|||||||||||||||||
| 7,000 | GMAC, Inc. |
5.375 | 06/06/11 | 9,913,096 | ||||||||||||
| 4,000 | GMAC, Inc. |
6.000 | 05/23/12 | 5,650,708 | ||||||||||||
15,563,804 | |||||||||||||||||
Forest Products 0.2% |
|||||||||||||||||
2,000 | Builders FirstSource, Inc. (i) |
14.626 | 02/15/16 | 2,000,000 | |||||||||||||
Health Care 0.7% |
|||||||||||||||||
6,167 | Apria Healthcare Group, Inc. |
11.250 | 11/01/14 | 6,860,417 | |||||||||||||
Home Furnishings 0.2% |
|||||||||||||||||
1,539 | Targus Group International Inc. (a) |
10.000 | 12/15/15 | 1,538,831 | |||||||||||||
25
Par | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Lodging & Casinos 3.0% |
||||||||||||||||
£ | 24,797 | Spirit Issuer PLC (United
Kingdom) |
5.472 | % | 12/28/28 | $ | 28,084,549 | |||||||||
Paper & Forest Products 1.0% |
||||||||||||||||
| 7,000 | Lecta SA (h) |
3.524 | 02/15/14 | 9,158,044 | |||||||||||
Rail Industries 1.3% |
||||||||||||||||
| 5,000 | Channel Link (United
Kingdom) |
2.261 | 06/30/12 | 5,601,995 | |||||||||||
£ | 5,000 | Channel Link (United
Kingdom) |
2.268 | 06/20/12 | 6,449,463 | |||||||||||
12,051,458 | ||||||||||||||||
Surface transport 2.3% |
||||||||||||||||
| 16,090 | CB Bus AB (Sweden) |
9.125 | 08/01/12 | 22,337,970 | |||||||||||
Telecommunications 3.5% |
||||||||||||||||
| 14,390 | Versatel AG (Germany) (h) |
3.629 | 06/15/14 | 18,125,343 | |||||||||||
$ | 14,000 | Wind Acquisition Fin SA
(Luxembourg) (h) |
12.000 | 12/01/15 | 14,901,600 | |||||||||||
33,026,943 | ||||||||||||||||
Utility 0.4% |
||||||||||||||||
3,939 | Calpine Corp. |
7.500 | 02/15/21 | 4,056,988 | ||||||||||||
Total Notes 23.9% |
226,784,339 | |||||||||||||||
26
Description | Value | |||
Equities 1.8% |
||||
Affiliated Media, Inc. (87,369 common shares, Acquired 04/23/10, Cost
$5,595,972) |
$ | 1,441,585 | ||
Axia Acquisition Holdings Corp. (101 common shares, Acquired 04/21/10,
Cost $1,404,030) (g) |
251,903 | |||
Building Materials Holding Corp. (512,204 common shares, Acquired
01/11/10, Cost $770,554) (g) |
373,909 | |||
Contech Construction Products, Inc. (308,203 common shares, Acquired date
10/29/10, Cost $0) (c) |
0 | |||
Cumulus Media, Inc. (Warrants for 1,568 common shares, Expiration date
06/29/19, Acquired 01/14/10, Cost $0) (g) |
2,963 | |||
Euramax International Inc. (1,870 common shares, Acquired 07/09/09,
Cost $1,962,106) (c)(g) |
588,987 | |||
Lake at Las Vegas Joint Venture (2,339 common shares, Acquired
7/05/07 & 1/02/08, Cost $24,140,508) (c) |
947,873 | |||
Lake at Las Vegas Joint Venture (28 common shares, Acquired
7/05/07 & 1/02/08, Cost $285,788) (c) |
11,260 | |||
Lyondell Chemical Co. (18,849 common shares, Acquired 05/21/10 &
06/02/10, Cost $310,397) (c) |
506,850 | |||
Lyondell Chemical Co. (365,895 common shares, Acquired 05/11/10 &
05/21/10 & 06/02/10, Cost $10,157,589) (c) |
9,827,940 | |||
Marietta Holdings Corp. (1,641,483 common shares, Acquired 04/22/10,
Cost $2,591,511) (g) |
607,677 | |||
Mega Brands, Inc. (Canada) (600,814 common shares, Acquired 03/31/10, Cost
$1,080,625) (g) |
341,672 | |||
Newhall Holding Co., LLC (235,259 common shares, Acquired 08/26/09,
Cost $2,010,219) (c) |
397,988 | |||
Rhodes Homes (750,544 common shares, Acquired 04/13/10, Cost
$963,538) |
225,163 | |||
SuperMedia Inc. (7,080 common shares, Acquired 01/07/10, Cost
$525,307) (c) |
46,586 | |||
Targus Group International, Inc. (62,413 common shares, Acquired
12/16/09, Cost $0) (b)(c)(g) |
162,274 | |||
Vitruvian Exploration, LLC (76,400 common shares, Acquired 10/19/09,
Cost $3,276,000) (c) |
840,400 | |||
WCI Communities, Inc. (1,830 common shares, Acquired 09/23/09, Cost
$205,427) (c) |
155,550 | |||
Wellman, Inc. (1,892 common shares, Acquired 02/12/09 & 06/16/09,
Cost $4,958,713) (c) |
291,690 | |||
Total Equities 1.8% |
17,022,270 | |||
Total Long-Term Investments 129.5% (Cost $1,368,707) |
1,230,005,541 | |||
Time Deposits 2.4% (Cost $22,845,310) |
||||
State Street Bank & Trust Corp. ($22,845,310 par, 0.010% coupon, dated
10/31/10, to be sold on 11/01/10 at $22,845,329) |
22,845,310 | |||
Total Investments 131.9% (Cost $1,391,552,395) |
1,252,850,851 | |||
Foreign Currency 1.5% (Cost $14,183,888) |
14,897,879 | |||
Borrowings (32.4%) |
(308,000,000 | ) | ||
Liabilities in Excess of Other Assets (1.0%) |
(9,807,340 | ) | ||
Net Assets 100.0% |
$ | 949,941,390 | ||
27
Investment Abbreviations: | ||
Principal amounts are denominated in US currency unless otherwise noted. | ||
£ Great Britain Pound | ||
Euro | ||
Notes to Schedule of Investments | ||
Percentages are calculated as a percentage of net assets. | ||
(a) | All or portion of this security is payment-in-kind. | |
(b) | Affiliated Company. | |
(c) | Non-income producing security acquired through the restructuring of senior loans. | |
(d) | This borrower has filed for protection in federal bankruptcy court. | |
(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 designated in connection with unfunded loan commitments. | |
(g) | 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 0.25% of the net assets of the Fund. | |
(h) | 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. | |
(i) | Variable rate security. Interest rate shown is that in effect at October 31, 2010. | |
(j) | This term loan will settle after October 31, 2010 at which time the interest rate will be determined. | |
* | 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. The stated coupon notes reflect the weighted average rate of the outstanding contracts for each loan as of October 31, 2010. |
Pay/ | Credit | |||||||||||||||||||||||||||||||||||
Receive | Implied | Notional | Rating of | |||||||||||||||||||||||||||||||||
Buy/Sell | Fixed | Expiration | Credit | Amount | Upfront | Reference | ||||||||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | Spread (a) | (000) | Payments | Value | Equity (b) | |||||||||||||||||||||||||||
Bank of America N.A. |
Lighthouse International | Sell | 3.350 | % | 09/20/12 | 20.130 | % | $ | 6,959 | $ | 0 | $ | (1,768,874 | ) | B | |||||||||||||||||||||
Bank of America N.A. |
Lighthouse International | Sell | 3.650 | 12/20/12 | 21.110 | 6,959 | 0 | (1,994,672 | ) | B |
28
Pay/ | Credit | |||||||||||||||||||||||||||||||||||
Receive | Implied | Notional | Rating of | |||||||||||||||||||||||||||||||||
Buy/Sell | Fixed | Expiration | Credit | Amount | Upfront | Reference | ||||||||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | Spread (a) | (000) | Payments | Value | Equity (b) | |||||||||||||||||||||||||||
Credit Suisse International |
Codere Finance Luxemburg SA |
Sell | 3.420 | 09/20/12 | 2.850 | 6,959 | 0 | 100,230 | B | |||||||||||||||||||||||||||
Goldman Sachs International |
Calpine Corporation |
Sell | 5.000 | 03/20/11 | 2.140 | 2,000 | 65,000 | 33,873 | B | |||||||||||||||||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.9 |
Sell | 3.750 | 12/20/12 | 2.240 | 34,400 | 1,431,000 | 1,232,858 | NR | |||||||||||||||||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.10 |
Sell | 5.000 | 06/20/13 | 2.700 | 17,400 | 1,128,250 | 1,113,147 | NR | |||||||||||||||||||||||||||
Goldman Sachs International |
Gala Group Finance |
Sell | 3.450 | 12/20/12 | 4.090 | 6,959 | 0 | (55,534 | ) | NR | ||||||||||||||||||||||||||
Goldman Sachs International |
Gala Group Finance |
Sell | 4.150 | 03/20/13 | 4.130 | 6,959 | 0 | 36,673 | NR | |||||||||||||||||||||||||||
Goldman
Sachs
International |
LCDX.NA.10 |
Sell | 3.250 | 06/30/13 | 1.680 | 46,800 | 5,269,000 | 1,870,715 | NR | |||||||||||||||||||||||||||
Goldman
Sachs
International |
LCDX9 |
Sell | 2.250 | 12/20/12 | 1.580 | 39,000 | 3,136,250 | 616,963 | NR | |||||||||||||||||||||||||||
Goldman Sachs International |
Peermont Global |
Sell | 3.500 | 09/20/12 | 6.150 | 6,959 | 0 | (292,071 | ) | B | ||||||||||||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Company, LLC |
Sell | 5.000 | 03/20/12 | 6.390 | 5,000 | 112,500 | (60,358 | ) | B | ||||||||||||||||||||||||||
Goldman
Sachs
International |
UPC Holding |
Sell | 3.450 | 09/20/12 | 2.610 | 6,959 | 0 | 135,230 | BBB | |||||||||||||||||||||||||||
Goldman Sachs International |
Wind Acquisition Finance SA |
Sell | 5.000 | 12/20/15 | 5.350 | 5,000 | 13,807,762 | (63,399 | ) | B+ | ||||||||||||||||||||||||||
Total Credit Default Swaps | $ | 184,600 | $ | 24,949,762 | $ | 904,781 | ||||||||||||||||||||||||||||||
Swap Collateral Pledged to Counterparty | ||||||||||||||||||||||||||||||||||||
Bank of America N.A. |
4,028,000 | |||||||||||||||||||||||||||||||||||
Credit Suisse International
|
88,000 | |||||||||||||||||||||||||||||||||||
Goldman Sachs International
|
27,000,000 | |||||||||||||||||||||||||||||||||||
Total Swap Collateral Pledged
|
$ | 31,116,000 | ||||||||||||||||||||||||||||||||||
Total Swap Contracts
|
$ | 32,020,781 | ||||||||||||||||||||||||||||||||||
NR Not Rated |
29
(a) | Implied credit spreads represents the current level at which protection could be bought or sold given the terms of the existing credit default swap contract and serve as an indicator of the current status of the payment/performance risk of the credit default swap contract. An implied credit spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally. | |
(b) | Credit rating as issued by Standard and Poors (Unaudited). |
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
Counter Party | In Exchange for | Current Value | Depreciation | |||||||||
Long Contracts: |
||||||||||||
Euro |
||||||||||||
1,023,750 expiring 11/05/10 |
Goldman Sachs International | US $ | $ | 1,424,805 | $ | 71,285 | ||||||
3,538,062 expiring 11/05/10 |
Goldman Sachs International | US $ | 4,924,102 | 369,710 | ||||||||
1,592,000 expiring 11/05/10 |
Goldman Sachs International | US $ | 2,215,668 | 189,854 | ||||||||
3,869,730 expiring 11/05/10 |
Goldman Sachs International | US $ | 5,385,701 | 223,481 | ||||||||
4,730,000 expiring 11/05/10 |
Goldman Sachs International | US $ | 6,582,982 | 82,543 | ||||||||
1,032,500 expiring 11/05/10 |
Goldman Sachs International | US $ | 1,436,983 | 541 | ||||||||
417,113 expiring 11/05/10 |
Goldman Sachs International | US $ | 580,517 | 2,074 | ||||||||
6,596,940 expiring 11/05/10 |
Goldman Sachs International | US $ | 9,181,298 | (4,941 | ) | |||||||
434,556 expiring 11/05/10 |
Goldman Sachs International | US $ | 604,794 | 5,386 | ||||||||
241,258,279 expiring 11/05/10 |
Goldman Sachs International | US $ | 335,771,465 | (52,098 | ) | |||||||
887,835 | ||||||||||||
Pound Sterling |
||||||||||||
9,494,608 expiring 11/05/10 |
Goldman Sachs International | US $ | 15,213,361 | 633,005 | ||||||||
4,912,500 expiring 11/05/10 |
Goldman Sachs International | US $ | 7,871,377 | 43,309 | ||||||||
42,193,018 expiring 11/05/10 |
Goldman Sachs International | US $ | 67,606,547 | (66,245 | ) | |||||||
610,069 | ||||||||||||
Total Long Contracts |
1,497,904 | |||||||||||
Short Contracts: |
||||||||||||
Euro |
||||||||||||
202,704,132 expiring 11/05/10 |
Goldman Sachs International | US $ | 282,113,690 | (18,942,915 | ) | |||||||
5,559,449 expiring 11/05/10 |
Goldman Sachs International | US $ | 7,737,369 | (460,606 | ) | |||||||
8,333,492 expiring 11/05/10 |
Goldman Sachs International | US $ | 11,598,147 | (1,062,946 | ) | |||||||
2,116,860 expiring 11/05/10 |
Goldman Sachs International | US $ | 2,946,142 | (255,613 | ) | |||||||
3,660,034 expiring 11/05/10 |
Goldman Sachs International | US $ | 5,093,856 | (304,336 | ) | |||||||
14,938,057 expiring 11/05/10 |
Goldman Sachs International | US $ | 20,790,057 | (1,312,324 | ) | |||||||
15,143,198 expiring 11/05/10 |
Goldman Sachs International | US $ | 21,075,562 | (447,497 | ) | |||||||
1,825,000 expiring 11/05/10 |
Goldman Sachs International | US $ | 2,539,946 | (151,847 | ) | |||||||
2,737,500 expiring 11/05/10 |
Goldman Sachs International | US $ | 3,809,919 | (212,507 | ) | |||||||
2,622,331 expiring 11/05/10 |
Goldman Sachs International | US $ | 3,649,632 | 10,093 | ||||||||
4,852,877 expiring 11/05/10 |
Goldman Sachs International | US $ | 6,753,997 | 8,973 | ||||||||
(23,131,525 | ) | |||||||||||
Pound Sterling |
||||||||||||
55,570,614 expiring 11/05/10 |
Goldman Sachs International | US $ | 89,041,682 | (2,696,062 | ) | |||||||
1,029,512 expiring 11/05/10 |
Goldman Sachs International | US $ | 1,649,604 | (24,174 | ) | |||||||
(2,720,236 | ) | |||||||||||
Total Short Contracts |
(25,851,761 | ) | ||||||||||
Total Forward Foreign Currency Contracts |
$ | (24,353,857 | ) | |||||||||
30
Percentage | ||||||||
of | ||||||||
Long-Term | ||||||||
Country | Value | Investment | ||||||
United States
|
867,119,488 | 70.5 | % | |||||
United Kingdom
|
122,133,714 | 9.9 | ||||||
Germany
|
71,551,072 | 5.8 | ||||||
Netherlands
|
29,420,160 | 2.4 | ||||||
Ireland
|
22,964,701 | 1.9 | ||||||
Sweden
|
22,337,971 | 1.8 | ||||||
Belgium
|
20,747,128 | 1.7 | ||||||
Denmark
|
20,298,883 | 1.7 | ||||||
Greece
|
15,678,595 | 1.3 | ||||||
Luxembourg
|
14,901,600 | 1.2 | ||||||
Bulgaria
|
11,438,171 | 0.9 | ||||||
Cayman Islands
|
4,685,627 | 0.4 | ||||||
Canada
|
3,858,954 | 0.3 | ||||||
Spain
|
2,869,477 | 0.2 | ||||||
1,230,005,541 | 100 | % |
31
Level 1 | Prices are based on quoted prices in active markets for identical investments | |
Level 2 | Prices are based on other significant observable inputs which may include quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc. | |
Level 3 | Prices are based on significant unobservable inputs including the Funds own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuers financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances. | |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||
The following is a summary of the inputs used as of October 31, 2010 in valuing the Funds investments carried at value. |
Level 2 | Level 3 | |||||||||||||||
Level 1 | Other Significant | Significant Unobservable | ||||||||||||||
Investments | Quoted Prices | Observable Inputs | Inputs | Total | ||||||||||||
Investments in an Asset Position |
||||||||||||||||
Variable Rate Senior Loan Interests |
$ | | $ | 966,713,635 | $ | 19,485,297 | $ | 986,198,932 | ||||||||
Notes |
| 219,050,532 | 7,733,807 | 226,784,339 | ||||||||||||
Equities |
14,998,533 | | 2,023,737 | 17,022,270 | ||||||||||||
Time Deposits |
| 22,845,310 | | 22,845,310 | ||||||||||||
Forward foreign Currency Contracts |
| 1,497,904 | | 1,497,904 | ||||||||||||
Credit Default Swaps |
| 5,139,689 | | 5,139,689 | ||||||||||||
Unfunded Commitments |
| | | | ||||||||||||
Total Investments in an Asset Position |
$ | 14,998,533 | $ | 1,215,247,071 | $ | 29,242,841 | $ | 1,259,488,444 | ||||||||
Investments in a Liability Position |
||||||||||||||||
Unfunded Commitments |
$ | | $ | (2,248,976 | ) | $ | | $ | (2,248,976 | ) | ||||||
Forward foreign Currency Contracts |
| $ | (25,851,761 | ) | | (25,851,761 | ) | |||||||||
Credit Default Swaps |
| (4,234,908 | ) | | (4,234,908 | ) | ||||||||||
Total Investments in a Liability Position |
$ | | $ | (32,335,645 | ) | $ | | $ | (32,335,645 | ) | ||||||
Aggregate unrealized appreciation of investment securities |
$ | 40,870,113 | ||
Aggregate unrealized (depreciation) of investment securities |
(194,195,248 | ) | ||
Net unrealized (depreciation) of investment securities |
$ | (153,325,135 | ) | |
Cost of investments for tax purposes is $1,406,175,986. |
32
(a) | As of December 14, 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 December 14, 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. |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer |
By:
|
/s/ Sheri Morris
|
|||
Principal Financial Officer |