OMB APPROVAL |
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OMB Number: 3235-0570 Expires: January 31, 2014 Estimated average burden hours per response: 20.6 |
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1555 Peachtree Street, N.E., Atlanta, Georgia
|
30309 | |
(Address of principal executive offices) | (Zip code) |
Annual Report to Shareholders | February 28, 2011 |
2 |
Performance Summary | |
2 |
Management Discussion | |
4 |
Supplemental Information | |
5 |
Dividend Reinvestment Plan | |
6 |
Schedule of Investments | |
22 |
Financial Statements | |
26 |
Financial Highlights | |
27 |
Notes to Financial Statements | |
36 |
Auditors Report | |
37 |
Tax Information | |
38 |
Results of Proxy | |
T-1 |
Trustees and Officers |
Fund at NAV |
11.32 | % | ||
Fund at Market Value |
12.78 | |||
Market Price Discount to NAV as of 2/28/11 |
-3.46 | |||
n | Management. Factors include direct operating experience in managing the business, management depth and incentives and track record operating in a leveraged environment. |
n | Industry position and dynamics. Factors include the companys industry position, life cycle phase of the industry, barriers to entry and current industry capacity and utilization. |
n | Asset quality. Considerations may include valuations of hard and intangible assets, how easily those assets can be converted to cash and appropriateness to leverage those assets. |
n | Divisibility. This factor focuses on operating and corporate structures, ability to divide easily and efficiently, examination of non-core assets and valuation of multiple brand names. |
A |
0.3 | % | ||
Baa |
1.9 | |||
Ba |
19.9 | |||
B |
39.0 | |||
Caa |
7.7 | |||
Ca |
0.2 | |||
Non-Rated |
31.0 |
* | Source: Moodys. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations, including specific securities, money market instruments or other debts. Ratings are measured on a scale that generally ranges from Aaa (highest) to C (lowest); ratings are subject to change without notice. Non-Rated indicates the debtor was not rated, and should not be interpreted as indicating low quality. For more information on Moodys rating methodology, please visit moodys.com and select Rating Methodologies under Research and Ratings on the homepage. |
1. | Texas Competitive Electric Holdings Co., LLC |
2.7 | % | |||||
2. | Liberator Midco Limited |
2.3 | ||||||
3. | First Data Corp. |
2.1 | ||||||
4. | Ardagh Glass Finance |
1.9 | ||||||
5. | Ineos Holdings Limited |
1.7 | ||||||
6. | Univision Communications, Inc. |
1.7 | ||||||
7. | Harrahs Operating Co. |
1.7 | ||||||
8. | Alliance Boots Holdings Limited |
1.7 | ||||||
9. | Cb Bus AB |
1.6 | ||||||
10. | Spirit Issuer PLC |
1.6 |
Total Net Assets |
$983.8 million | |||
Total Number of Holdings |
426 |
n | Sponsors. Considerations include the firms track record of quality transactions, access to additional capital and control or ownership of the sponsoring firm. |
n | Cash flow. We examine the firms sales and earnings breakdown by product, divisions and subsidiaries. We look at the predictability of corporate earnings and the cash requirements of the business and conduct an examination of the business cycles, seasonality, international pressures and so forth. | |
n | Recovery and loan-to-value. These factors focus on examination of the default probability and the rate of recovery associated with loans. |
n | Company objective. Will unfavorable industry trends, poor performance or lack of access to capital cause the company to underperform? | |
n | Investment objective. Has the earnings potential or price potential been met or exceeded, or do better relative valuation opportunities exist in the market? |
n | Unless otherwise stated, information presented in this report is as of February 28, 2011, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Funds reports, visit invesco.com/fundreports. |
n | The prices of securities held by the Fund may decline in response to market risks. | |
n | Other risks are described and defined later in this report. |
n | The S&P/LSTA Leveraged Loan Index is a weekly total return index that tracks the current outstanding balance and spread over LIBOR for fully funded term loans. | |
n | The London Interbank Offered Rate (LIBOR) is a daily reference rate based on the interest rates at which banks borrow unsecured funds from other banks in the London wholesale money market (or interbank lending market). | |
n | The Fund is not managed to track the performance of any particular index, including the index(es) defined here, and consequently, the performance of the Fund may deviate significantly from the performance of the index(es). |
n | The Chartered Financial Analyst® (CFA®) designation is globally recognized and attests to a charterholders success in a rigorous and comprehensive study program in the field of investment management and research analysis. | |
n | The returns shown in managements discussion of Fund performance are based on net asset values calculated for shareholder transactions. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the net asset values and returns reported in the Financial Highlights. | |
n | Industry classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poors. |
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | NYSE Symbol | VTA |
n | Add to your account | |
You may increase the amount of shares in your Fund easily and automatically with the Plan. | ||
n | Low transaction costs | |
Shareholders who participate in the Plan are able to buy shares at below-market prices when the Fund is trading at a premium to its net asset value (NAV). In addition, transaction costs are low because when new shares are issued by the Fund, there is no brokerage fee, and when shares are bought in blocks on the open market, the per share fee is shared among all Participants. | ||
n | Convenience | |
You will receive a detailed account statement from Computershare Trust Company, N.A. (the Agent) which administers the Plan. The statement shows your total Distributions, date of investment, shares acquired, and price per share, as well as the total number of shares in your reinvestment account. You can also access your account at invesco.com/us. | ||
n | Safekeeping | |
The Agent will hold the shares it has acquired for you in safekeeping. |
1. | Premium: If the Fund is trading at a premium a market price that is higher than its NAV youll pay either the NAV or 95 percent of the market price, whichever is greater. When the Fund trades at a premium, youll pay less for your reinvested shares than an investor purchasing shares on the stock exchange. Keep in mind, a portion of your price reduction may be taxable because you are receiving shares at less than market price. | ||
2. | Discount: If the Fund is trading at a discount a market price that is lower than NAV youll pay the market price for your reinvested shares. |
1. | If you opt to continue to hold your non-certificated whole shares (Investment Plan Book Shares), they will be held by the Agent electronically as Direct Registration Book-Shares (Book-Entry Shares) and fractional shares will be sold at the then-current market price. Proceeds will be sent via check to your address of record after deducting applicable fees. | ||
2. | If you opt to sell your shares through the Agent, we will sell all full and fractional shares and send the proceeds via check to your address of record after deducting a $2.50 service fee and per share fee. Per share fees include any applicable brokerage commissions the Agent is required to pay. | ||
3. | You may sell your shares through your financial adviser through the Direct Registration System (DRS). DRS is a service within the securities industry that allows Fund shares to be held in your name in electronic format. You retain full ownership of your shares, without having to hold a share certificate. You should contact your financial adviser to learn more about any restrictions or fees that may apply. |
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Variable Rate** Senior Loan Interests95.7% |
||||||||||||||||
Aerospace & Defense1.9% |
||||||||||||||||
ARINC Inc. Second Lien Term Loan
|
6.000 | % | 10/25/15 | $ | 2,268 | $ | 2,205,723 | |||||||||
Booz Allen Hamilton, Inc. Term Loan B
|
4.000 | % | 08/03/17 | 1,273 | 1,288,751 | |||||||||||
DynCorp International, LLC Term Loan B
|
6.250 | % | 07/05/16 | 1,510 | 1,527,022 | |||||||||||
IAP Worldwide Services, Inc. Term
Loan(a)
|
8.250 | % | 12/30/12 | 2,806 | 2,807,135 | |||||||||||
Scitor Corp. Term Loan B
|
5.750 | % | 02/15/17 | 1,058 | 1,067,743 | |||||||||||
Sequa Corp. Term Loan
|
3.560 | % | 12/03/14 | 3,111 | 3,089,101 | |||||||||||
SI Organization, Inc. New Term Loan B
|
4.500 | % | 11/22/16 | 760 | 766,681 | |||||||||||
TASC, Inc. Term Loan A
|
5.500 | % | 12/18/14 | 235 | 236,030 | |||||||||||
TASC, Inc. Term Loan B
|
5.750 | % | 12/18/15 | 517 | 519,750 | |||||||||||
Transdigm, Inc. Term Loan B
|
5.250 | % | 02/14/17 | 2,022 | 2,038,614 | |||||||||||
Wesco Aircraft Hardware Corp. Second Lien Term Loan
|
6.020 | % | 03/28/14 | 1,720 | 1,727,164 | |||||||||||
Wyle Services Corp. Incremental Term Loan
|
7.750 | % | 03/25/16 | 1,408 | 1,416,829 | |||||||||||
18,690,543 | ||||||||||||||||
Air Transport0.6% |
||||||||||||||||
Delta Air Lines, Inc. First Lien Revolver Loan
|
2.000 | % | 04/30/12 | 1,000 | 984,465 | |||||||||||
Delta Air Lines, Inc. Revolver Loan
|
7.375 | % | 03/28/13 | 2,000 | 1,940,000 | |||||||||||
Delta Air Lines, Inc. Secured Term Loan
|
9.000 | % | 09/27/13 | 2,764 | 2,776,872 | |||||||||||
5,701,337 | ||||||||||||||||
Automotive2.1% |
||||||||||||||||
Autotrader.com, Inc. New Term Loan B
|
4.750 | % | 12/15/16 | 1,631 | 1,645,560 | |||||||||||
Federal-Mogul Corp. Term Loan B
|
2.198 | % | 12/29/14 | 9,800 | 9,494,971 | |||||||||||
Federal-Mogul Corp. Term Loan C
|
2.198 | % | 12/28/15 | 323 | 313,432 | |||||||||||
Ford Motor Co. Term Loan B1
|
3.020 | % | 12/16/13 | 3,499 | 3,500,935 | |||||||||||
Goodyear Tire & Rubber Co. Second Lien Term Loan
|
1.960 | % | 04/30/14 | 901 | 889,836 | |||||||||||
Key Safety Systems, Inc.
Revolver(e)
|
2.976 | % | 03/08/13 | 1,878 | 1,765,601 | |||||||||||
Pinafore, LLC Term Loan B
|
4.250 | % | 09/29/16 | 3,408 | 3,438,717 | |||||||||||
21,049,052 | ||||||||||||||||
Beverage & Tobacco1.1% |
||||||||||||||||
DSW Holdings, Inc. Term Loan
|
4.311 | % | 03/02/12 | 10,000 | 9,650,000 | |||||||||||
Green Mountain Coffee Roasters, Inc. Term Loan B
|
5.500 | % | 12/16/16 | 985 | 993,524 | |||||||||||
10,643,524 | ||||||||||||||||
Building & Development1.7% |
||||||||||||||||
Axia Acquisition Corp. Second Lien Term Loan
A(a)
|
9.390 | % | 03/11/16 | 173 | 157,441 | |||||||||||
Axia Acquisition Corp. Second Lien Term Loan
B(a)
|
3.390 | % | 03/12/16 | 324 | 272,055 | |||||||||||
Building Materials Holding Corp. Second Lien Term
Loan(a)
|
8.000 | % | 01/05/15 | 970 | 863,349 | |||||||||||
Capital Automotive, LP Term Loan C
|
4.750 | % | 12/14/12 | 3,036 | 3,160,728 | |||||||||||
CB Richard Ellis Services, Inc. New Term Loan B
|
3.514 | % | 11/06/16 | 150 | 151,143 | |||||||||||
Contech Construction Products, Inc. Term Loan
|
5.250 | % | 01/31/13 | 649 | 595,760 | |||||||||||
CPG International, Inc. Term Loan B
|
6.000 | % | 02/18/17 | 855 | 860,762 | |||||||||||
Custom Building Products, Inc. Term Loan B
|
5.750 | % | 03/19/15 | 710 | 719,187 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Building & Development(continued) |
||||||||||||||||
El Ad IDB Las Vegas, LLC Term Loan A2
|
4.264 | % | 08/09/12 | $ | 2,000 | $ | 1,050,000 | |||||||||
Ginn LA CS Borrower First Lien Term A Credit
Linked(b)
|
7.750 | % | 06/08/11 | 948 | 79,372 | |||||||||||
Ginn LA CS Borrower First Lien Term
Loan(b)
|
6.196 | % | 06/08/11 | 2,032 | 170,146 | |||||||||||
Ginn LA CS Borrower Second Lien Term
Loan(b)
|
10.196 | % | 06/08/12 | 4,500 | 22,500 | |||||||||||
Kyle Acquisition Group, LLC Term Loan
B(b)(d)
|
5.750 | % | 07/20/09 | 2,382 | 226,331 | |||||||||||
Kyle Acquisition Group, LLC Term Loan
C(b)
|
4.000 | % | 07/20/11 | 2,618 | 248,669 | |||||||||||
Lake At Las Vegas Joint Venture, LLC Exit Revolver Credit
Agreement(a)(e)
|
7.780 | % | 12/31/12 | 237 | 231,513 | |||||||||||
NLV Holdings, LLC Second Lien Term
Loan(a)(b)(c)
|
5.250 | % | 05/09/12 | 1,660 | 12,531 | |||||||||||
Realogy Corp. Extended Term Loan
|
4.562 | % | 10/10/16 | 6,734 | 6,436,660 | |||||||||||
Realogy Corp. Letter of Credit
|
3.260 | % | 10/10/13 | 986 | 948,694 | |||||||||||
Rhodes Homes New Term
Loan(a)
|
5.303 | % | 03/31/16 | 400 | 319,783 | |||||||||||
Tamarack Resorts, LLC Credit Lined
Note A(b)
|
8.051 | % | 05/19/11 | 1,008 | 3,466 | |||||||||||
Tamarack Resorts, LLC Term
Loan(b)(d)
|
20.250 | % | 07/02/09 | 209 | 188,007 | |||||||||||
Tamarack Resorts, LLC Term Loan
B(b)
|
7.500 | % | 05/19/11 | 1,489 | 5,121 | |||||||||||
WCI Communities, Inc. PIK Term
Loan(a)
|
11.000 | % | 09/02/16 | 287 | 279,560 | |||||||||||
17,002,778 | ||||||||||||||||
Business Equipment & Services6.7% |
||||||||||||||||
Affinion Group, Inc. Term Loan B
|
5.000 | % | 10/10/16 | 5,113 | 5,153,888 | |||||||||||
Asurion Corp. First Lien Term Loan
|
3.270 | % | 07/03/14 | 3,447 | 3,398,132 | |||||||||||
Asurion Corp. Incremental Term Loan B2
|
6.750 | % | 03/31/15 | 7,354 | 7,466,766 | |||||||||||
Asurion Corp. Second Lien Term Loan
|
6.764 | % | 07/03/15 | 512 | 511,417 | |||||||||||
Bright Horizons Family Solutions, Inc. Term Loan B
|
7.500 | % | 05/28/15 | 1,157 | 1,166,388 | |||||||||||
CCC Information Services, Inc. Term Loan B
|
5.500 | % | 11/11/15 | 342 | 347,055 | |||||||||||
Dealer Computer Services, Inc. Term Loan B
|
5.250 | % | 04/21/17 | 1,882 | 1,898,499 | |||||||||||
First Data Corp. Delayed Draw Term Loan
|
3.012 | % | 09/24/14 | 1,945 | 1,828,258 | |||||||||||
First Data Corp. Term Loan B1
|
3.012 | % | 09/24/14 | 14,275 | 13,520,902 | |||||||||||
First Data Corp. Term Loan B2
|
3.012 | % | 09/24/14 | 9,313 | 8,822,421 | |||||||||||
First Data Corp. Term Loan B3
|
3.012 | % | 09/24/14 | 2,132 | 2,019,897 | |||||||||||
Interactive Data Corp. Term Loan B
|
4.750 | % | 02/12/18 | 1,477 | 1,492,874 | |||||||||||
Kronos, Inc. Second Lien Term Loan
|
6.053 | % | 06/11/15 | 1,451 | 1,447,451 | |||||||||||
Mitchell International, Inc. Second Lien Term Loan
|
5.563 | % | 03/30/15 | 3,654 | 3,247,075 | |||||||||||
NCO Financial Systems Term Loan B
|
7.500 | % | 05/15/13 | 4,413 | 4,387,493 | |||||||||||
Nielsen Finance, LLC Term Loan A
|
2.264 | % | 08/09/13 | 498 | 499,502 | |||||||||||
Rovi Solutions Corp. Term Loan B
|
4.000 | % | 02/07/18 | 342 | 344,581 | |||||||||||
SMG Holdings, Inc. Term Loan B
|
3.330 | % | 07/27/14 | 3,851 | 3,706,522 | |||||||||||
SunGard Data Systems, Inc. Add on Term Loan
|
3.763 | % | 02/28/14 | 413 | 416,519 | |||||||||||
SunGard Data Systems, Inc. Term Loan B
|
3.930 | % | 02/26/16 | 1,423 | 1,433,758 | |||||||||||
Verint Systems, Inc. Term Loan B
|
5.250 | % | 05/25/14 | 2,986 | 2,999,466 | |||||||||||
Vertafore, Inc. Term Loan
|
5.250 | % | 07/29/16 | 209 | 211,232 | |||||||||||
66,320,096 | ||||||||||||||||
Cable & Satellite Television2.8% |
||||||||||||||||
Atlantic Broadband Finance, LLC Term Loan B
|
5.000 | % | 11/27/15 | 734 | 736,346 | |||||||||||
Bresnan Broadband Holdings, LLC Term Loan B
|
4.500 | % | 12/14/17 | 1,382 | 1,394,401 | |||||||||||
Charter Communications Operating, LLC Extended Term Loan
|
3.560 | % | 09/06/16 | 13,106 | 13,148,737 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Cable & Satellite Television(continued) |
||||||||||||||||
Charter Communications Operating, LLC Third Lien Term Loan
|
2.762 | % | 09/06/14 | $ | 5,000 | $ | 4,960,400 | |||||||||
Knology, Inc. Term Loan B
|
4.000 | % | 08/18/17 | 3,935 | 3,971,572 | |||||||||||
Mediacom Illinois, LLC Term Loan F
|
4.500 | % | 10/23/17 | 893 | 898,723 | |||||||||||
Midcontinent Communications Term Loan B
|
6.250 | % | 12/31/16 | 1,784 | 1,800,766 | |||||||||||
UPC Broadband Holding, B.V. Term Loan T (Netherlands)
|
3.760 | % | 12/30/16 | EUR 304 | 304,961 | |||||||||||
27,215,906 | ||||||||||||||||
Chemicals & Plastics4.7% |
||||||||||||||||
Armored AutoGroup, Inc. Term Loan
|
6.000 | % | 11/05/16 | 1,182 | 1,191,986 | |||||||||||
Brenntag Holdings GmbH & Co. Second Lien Term Loan
(Germany)
|
6.453 | % | 07/17/15 | 5,000 | 5,078,150 | |||||||||||
Hexion Specialty Chemicals, Inc. Extended Term Loan C1
|
4.063 | % | 05/05/15 | 451 | 450,770 | |||||||||||
Hexion Specialty Chemicals, Inc. Extended Term Loan C2
|
4.063 | % | 05/05/15 | 94 | 94,379 | |||||||||||
Hexion Specialty Chemicals, Inc. Extended Term Loan C4
|
4.063 | % | 05/05/15 | 1,408 | 1,410,083 | |||||||||||
Hexion Specialty Chemicals, Inc. Extended Term Loan C5
|
4.063 | % | 05/05/15 | 4,840 | 4,839,584 | |||||||||||
Houghton International, Inc. Term Loan B
|
6.750 | % | 01/29/16 | 1,038 | 1,052,984 | |||||||||||
Ineos Holdings Limited Term Loan B1 (United Kingdom)
|
7.501 | % | 12/16/13 | EUR 6,904 | 9,924,884 | |||||||||||
Ineos Holdings Limited Term Loan C1 (United Kingdom)
|
8.001 | % | 12/16/14 | EUR 7,639 | 11,033,749 | |||||||||||
MetoKote Corp. Term Loan
|
9.000 | % | 11/27/11 | 3,837 | 3,836,573 | |||||||||||
Nusil Technology, LLC New Term Loan B
|
6.000 | % | 02/18/15 | 1,272 | 1,278,284 | |||||||||||
OMNOVA Solutions, Inc. Term Loan B
|
5.750 | % | 05/31/17 | 251 | 254,764 | |||||||||||
PQ Corp. Term Loan B
|
3.540 | % | 07/30/14 | 1,140 | 1,125,676 | |||||||||||
Rockwood Specialties Group, Inc. Term Loan B
|
3.750 | % | 02/09/18 | 618 | 627,400 | |||||||||||
Styron S.a.r.l, LLC Term Loan B
|
6.000 | % | 08/02/17 | 961 | 972,012 | |||||||||||
Univar Inc. Term Loan B
|
5.000 | % | 07/03/17 | 3,440 | 3,474,870 | |||||||||||
46,646,148 | ||||||||||||||||
Clothing/Textiles0.8% |
||||||||||||||||
Gold Toe Investment Corp. First Lien Term Loan B
|
8.500 | % | 10/30/13 | 1,384 | 1,377,264 | |||||||||||
Gold Toe Investment Corp. Second Lien Term Loan
|
11.750 | % | 04/30/14 | 2,000 | 1,843,330 | |||||||||||
Levi Strauss & Co. Term Loan
|
2.510 | % | 03/27/14 | 5,000 | 4,929,700 | |||||||||||
8,150,294 | ||||||||||||||||
Conglomerates1.4% |
||||||||||||||||
Euramax International, Inc. Cash Pay Term Loan
|
10.000 | % | 06/29/13 | 2,532 | 2,503,620 | |||||||||||
Euramax International, Inc. PIK Pay Term
Loan(a)
|
14.000 | % | 06/29/13 | 2,465 | 2,450,502 | |||||||||||
Goodman Global Holdings, Inc. First Lien Term Loan
|
5.750 | % | 10/28/16 | 4,522 | 4,567,536 | |||||||||||
Goodman Global Holdings, Inc. Second Lien Term Loan
|
9.000 | % | 10/30/17 | 335 | 347,451 | |||||||||||
RGIS Holdings, LLC Delayed Draw Term Loan
|
2.803 | % | 04/30/14 | 175 | 170,996 | |||||||||||
RGIS Holdings, LLC Term Loan B
|
2.803 | % | 04/30/14 | 3,499 | 3,419,926 | |||||||||||
13,460,031 | ||||||||||||||||
Containers & Glass Products3.4% |
||||||||||||||||
Anchor Glass Container Corp. First Lien Term Loan
|
6.000 | % | 03/02/16 | 3,418 | 3,449,098 | |||||||||||
Anchor Glass Container Corp. Second Lien Term Loan
|
10.000 | % | 09/02/16 | 1,350 | 1,383,750 | |||||||||||
Berlin Packaging, LLC Second Lien Term Loan
|
6.800 | % | 08/17/15 | 3,000 | 2,568,750 | |||||||||||
Berlin Packaging, LLC Term Loan
|
3.290 | % | 08/17/14 | 5,807 | 5,640,461 | |||||||||||
Berry Plastics Group, Inc. Term Loan C
|
2.310 | % | 04/03/15 | 2,656 | 2,582,019 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Containers & Glass Products(continued) |
||||||||||||||||
BWAY Corp. Term Loan B
|
4.500 | % | 02/23/18 | $ | 315 | $ | 317,875 | |||||||||
BWAY Corp. Term Loan C
|
4.500 | % | 02/23/18 | 28 | 28,222 | |||||||||||
Graham Packaging Co., L.P. Term Loan C
|
6.750 | % | 04/05/14 | 4,796 | 4,830,762 | |||||||||||
Graham Packaging Co., L.P. Term Loan D
|
6.000 | % | 09/23/16 | 1,526 | 1,543,498 | |||||||||||
Pelican Products, Inc. Term Loan B
|
5.750 | % | 11/30/16 | 1,036 | 1,045,475 | |||||||||||
Reynolds Group Holdings, Inc. Term Loan E
|
4.250 | % | 02/09/18 | 4,750 | 4,789,315 | |||||||||||
Smurfit-Stone Container Corp. Exit Term Loan B
|
6.750 | % | 07/15/16 | 5,156 | 5,191,794 | |||||||||||
33,371,019 | ||||||||||||||||
Cosmetics/Toiletries0.9% |
||||||||||||||||
Huish Detergents, Inc. Term Loan B
|
2.010 | % | 04/26/14 | 920 | 910,590 | |||||||||||
KIK Custom Products, Inc. Canadian Term Loan
|
2.560 | % | 06/02/14 | 197 | 175,553 | |||||||||||
KIK Custom Products, Inc. First Lien Term Loan
|
2.560 | % | 06/02/14 | 1,148 | 1,024,058 | |||||||||||
KIK Custom Products, Inc. Second Lien Term Loan
|
5.303 | % | 11/30/14 | 7,000 | 4,818,345 | |||||||||||
Marietta Intermediate Holding Corp. Term Loan
B(a)
|
8.000 | % | 02/19/15 | 1,194 | 1,086,178 | |||||||||||
Prestige Brands, Inc. Term Loan B
|
4.750 | % | 03/24/16 | 1,197 | 1,206,814 | |||||||||||
9,221,538 | ||||||||||||||||
Drugs0.8% |
||||||||||||||||
Grifols, Inc. Term Loan B
|
6.000 | % | 11/23/16 | 3,711 | 3,761,596 | |||||||||||
Nyco Holdings 2 Aps Term Loan B2 (Denmark)
|
4.262 | % | 12/29/14 | 750 | 738,414 | |||||||||||
Nyco Holdings 2 Aps Term Loan C2 (Denmark)
|
4.762 | % | 12/29/15 | 750 | 742,567 | |||||||||||
Nyco Holdings 3 Aps Facility A1 (Denmark)
|
3.512 | % | 12/29/13 | 89 | 87,339 | |||||||||||
Nyco Holdings 3 Aps Facility A2 (Denmark)
|
3.512 | % | 12/29/13 | 460 | 450,736 | |||||||||||
Nyco Holdings 3 Aps Facility A3 (Denmark)
|
3.512 | % | 12/29/13 | 14 | 14,064 | |||||||||||
Nyco Holdings 3 Aps Facility A4 (Denmark)
|
3.512 | % | 12/29/13 | 9 | 8,959 | |||||||||||
Nyco Holdings 3 Aps Facility A5 (Denmark)
|
3.512 | % | 12/29/13 | 65 | 63,347 | |||||||||||
Warner Chilcott Co., LLC Term Loan B3
|
6.500 | % | 02/22/16 | 1,780 | 1,798,940 | |||||||||||
7,665,962 | ||||||||||||||||
Ecological Services & Equipment1.5% |
||||||||||||||||
Servicemaster Co. Delayed Draw Term Loan
|
2.770 | % | 07/24/14 | 535 | 529,344 | |||||||||||
Servicemaster Co. Letter of Credit
|
2.778 | % | 07/24/14 | 2,302 | 2,276,043 | |||||||||||
Servicemaster Co. Term Loan
|
2.770 | % | 07/24/14 | 6,465 | 6,392,763 | |||||||||||
Synagro Technologies, Inc. Second Lien Term Loan
|
5.020 | % | 10/02/14 | 6,850 | 6,302,000 | |||||||||||
15,500,150 | ||||||||||||||||
Electronics/Electrical4.8% |
||||||||||||||||
Bentley Systems, Inc. Term Loan B
|
5.750 | % | 12/29/16 | 678 | 684,689 | |||||||||||
CDW Corp. Extended Term Loan B
|
5.264 | % | 07/10/17 | 2,080 | 2,084,122 | |||||||||||
CommScope, Inc. Term Loan B
|
5.000 | % | 01/14/18 | 1,380 | 1,400,304 | |||||||||||
Datatel, Inc. Extended First Lien Term Loan
|
5.000 | % | 02/18/17 | 680 | 684,836 | |||||||||||
Datatel, Inc. Extended Second Lien Term Loan
|
8.750 | % | 02/02/18 | 3,268 | 3,319,855 | |||||||||||
Freescale Semiconductor, Inc. Extended Term Loan B
|
4.510 | % | 12/01/16 | 6,476 | 6,484,512 | |||||||||||
Infor Enterprise Solutions Holdings, Inc. Extended Delayed Draw
Term Loan
|
6.020 | % | 07/28/15 | 2,010 | 1,989,595 | |||||||||||
Infor Enterprise Solutions Holdings, Inc. Extended Initial Term
Loan
|
6.020 | % | 07/28/15 | 3,852 | 3,813,389 | |||||||||||
Microsemi Corp. Term Loan B
|
5.000 | % | 11/02/17 | 691 | 694,965 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Electronics/Electrical(continued) |
||||||||||||||||
NDS Finance Ltd. Term Loan B2 (United Kingdom)
|
5.061 | % | 10/14/15 | EUR 9,688 | $ | 13,358,315 | ||||||||||
Open Solutions, Inc. Term Loan B
|
2.425 | % | 01/23/14 | $ | 5,744 | 5,248,691 | ||||||||||
Savvis Communications Corp. Term Loan
|
6.750 | % | 08/04/16 | 617 | 623,567 | |||||||||||
Sensata Technologies BV Term Loan B
|
3.057 | % | 04/26/13 | EUR 3,110 | 4,258,159 | |||||||||||
Spectrum Brands, Inc. Term Loan B (Netherlands)
|
5.010 | % | 06/17/16 | 2,379 | 2,407,373 | |||||||||||
47,052,372 | ||||||||||||||||
Farming/Agriculture0.2% |
||||||||||||||||
WM. Bolthouse Farms, Inc. New First Lien Term Loan
|
5.500 | % | 02/11/16 | 987 | 997,385 | |||||||||||
WM. Bolthouse Farms, Inc. New Second Lien Term Loan
|
7.500 | % | 08/11/16 | 1,091 | 1,106,133 | |||||||||||
2,103,518 | ||||||||||||||||
Financial Intermediaries2.6% |
||||||||||||||||
Fidelity National Information Solutions, Inc. Term Loan B
|
5.250 | % | 07/18/16 | 3,637 | 3,676,578 | |||||||||||
Fifth Third Processing Solutions, LLC Second Lien Term Loan
|
8.250 | % | 11/01/17 | 709 | 725,811 | |||||||||||
Fifth Third Processing Solutions, LLC Term Loan B
|
5.500 | % | 11/03/16 | 1,036 | 1,046,231 | |||||||||||
Nuveen Investments, Inc. Extended Term Loan
|
5.800 | % | 05/12/17 | 4,743 | 4,748,717 | |||||||||||
Nuveen Investments, Inc. Term Loan
|
3.300 | % | 11/13/14 | 3,787 | 3,666,267 | |||||||||||
Oxford Acquisition III, Ltd. Term Loan (United Kingdom)
|
2.053 | % | 05/12/14 | GBP 3,162 | 3,139,816 | |||||||||||
RJO Holdings Corp. FCM Term Loan
|
6.270 | % | 12/10/15 | 74 | 67,021 | |||||||||||
RJO Holdings Corp. Term Loan B
|
6.270 | % | 12/10/15 | 3,472 | 2,546,043 | |||||||||||
Trans Union, LLC Term Loan B
|
4.750 | % | 02/12/18 | 1,783 | 1,807,261 | |||||||||||
Transfirst Holdings, Inc. Second Lien Term
Loan(a)
|
6.310 | % | 06/15/15 | 1,532 | 1,453,015 | |||||||||||
Transfirst Holdings, Inc. Term Loan B
|
3.060 | % | 06/15/14 | 2,895 | 2,825,042 | |||||||||||
25,701,802 | ||||||||||||||||
Food Products7.2% |
||||||||||||||||
Advantage Sales & Marketing, Inc. Second Lien Term Loan
|
9.250 | % | 06/18/18 | 527 | 537,720 | |||||||||||
Advantage Sales & Marketing, Inc. Term Loan B
|
5.250 | % | 12/18/17 | 1,574 | 1,586,950 | |||||||||||
Brake Brothers PLC Term Loan B (United Kingdom)
|
3.354 | % | 09/14/15 | GBP 1,500 | 2,231,203 | |||||||||||
Brake Brothers PLC Term Loan C (United Kingdom)
|
3.854 | % | 10/12/16 | GBP 1,500 | 2,243,395 | |||||||||||
Coleman Natural Foods, LLC First Lien Term Loan
|
6.761 | % | 08/22/12 | 4,203 | 4,150,322 | |||||||||||
Dole Food Co., Inc. Term Loan B
|
5.060 | % | 03/02/17 | 981 | 991,954 | |||||||||||
Dole Food Co., Inc. Term Loan C
|
5.040 | % | 03/02/17 | 2,438 | 2,463,766 | |||||||||||
Earthbound Holdings III, LLC Term Loan B
|
6.750 | % | 12/21/16 | 394 | 399,544 | |||||||||||
Farleys & Sathers Candy Co., Inc. Second Lien
Term Loan
|
11.250 | % | 01/02/12 | 12,000 | 11,940,000 | |||||||||||
Foodvest Ltd. Term Loan C2 (United Kingdom)
|
5.258 | % | 10/02/16 | EUR 1,276 | 1,751,325 | |||||||||||
Liberator Midco Ltd. Term Loan D (United Kingdom)
|
5.612 | % | 04/30/16 | EUR 20,000 | 28,049,965 | |||||||||||
Michael Foods Group, Inc. Term Loan B
|
4.250 | % | 02/23/18 | 1,569 | 1,374,860 | |||||||||||
Panrico, Inc. Term Loan (Spain)
|
5.579 | % | 09/08/15 | EUR 2,257 | 2,351,365 | |||||||||||
Panrico, Inc. Term Loan (Spain)
|
8.631 | % | 09/08/16 | EUR 736 | 439,869 | |||||||||||
Pierre Foods, Inc. First Lien Term Loan
|
7.000 | % | 09/30/16 | 4,249 | 4,290,101 | |||||||||||
Pierre Foods, Inc. Second Lien Term Loan
|
11.250 | % | 09/29/17 | 900 | 924,613 | |||||||||||
Pinnacle Foods Finance, LLC Term Loan D
|
6.000 | % | 04/02/14 | 4,169 | 4,212,634 | |||||||||||
Windsor Quality Food Co., Ltd. Term Loan B
|
5.000 | % | 02/16/17 | 769 | 774,460 | |||||||||||
70,714,046 | ||||||||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Food Service1.3% |
||||||||||||||||
Burger King Corp. Term Loan B
|
4.500 | % | 10/19/16 | $ | 3,560 | $ | 3,585,892 | |||||||||
Center Cut Hospitality, Inc. Term Loan
|
9.250 | % | 07/06/14 | 997 | 987,882 | |||||||||||
Darling International Inc. Term Loan
|
5.141 | % | 12/16/16 | 334 | 338,893 | |||||||||||
DineEquity, Inc. Term Loan B
|
4.250 | % | 10/19/17 | 1,044 | 1,053,301 | |||||||||||
Dunkin Brands, Inc. Term Loan B
|
4.250 | % | 11/23/17 | 3,859 | 3,889,384 | |||||||||||
OSI Restaurant Partners, LLC Revolving Credit Agreement
|
2.560 | % | 06/14/13 | 1,419 | 1,398,253 | |||||||||||
OSI Restaurant Partners, LLC Term Loan B
|
2.625 | % | 06/14/14 | 1,301 | 1,282,568 | |||||||||||
12,536,173 | ||||||||||||||||
Food/Drug Retailers3.9% |
||||||||||||||||
Alliance Boots Holdings, Ltd. Second Lien Term Loan (United
Kingdom)
|
4.829 | % | 07/05/16 | GBP 4,000 | 6,259,333 | |||||||||||
Alliance Boots Holdings, Ltd. Second Lien Term Loan (United
Kingdom)
|
5.161 | % | 07/05/16 | EUR 1,390 | 1,857,994 | |||||||||||
Alliance Boots Holdings, Ltd. Term Loan B1 (United Kingdom)
|
3.579 | % | 07/05/15 | GBP 8,000 | 12,571,468 | |||||||||||
General Nutrition Centers, Inc. Term Loan B
|
3.300 | % | 09/16/13 | 6,499 | 6,501,902 | |||||||||||
NBTY, Inc. Term Loan B
|
6.250 | % | 10/02/17 | 651 | 658,775 | |||||||||||
Rite Aid Corp. Term Loan 3
|
6.000 | % | 06/04/14 | 6,405 | 6,411,123 | |||||||||||
Rite Aid Corp. Term Loan B
|
2.020 | % | 06/04/14 | 2,070 | 2,003,909 | |||||||||||
Roundys Supermarkets, Inc. Extended Term Loan
|
7.000 | % | 11/03/13 | 1,750 | 1,764,000 | |||||||||||
Supervalu Inc. Extended Term Loan B2
|
3.512 | % | 10/05/15 | 625 | 626,694 | |||||||||||
38,655,198 | ||||||||||||||||
Forest Products0.7% |
||||||||||||||||
Ainsworth Lumber Co., Ltd. Term Loan
|
5.313 | % | 06/26/14 | 3,200 | 3,206,496 | |||||||||||
Cenveo Corp. Term Loan B
|
6.250 | % | 12/21/16 | 2,556 | 2,584,154 | |||||||||||
Verso Paper Holding, LLC Term
Loan(a)
|
6.670 | % | 02/01/13 | 442 | 404,842 | |||||||||||
White Birch Paper Co. DIP Delayed Draw Term Loan
(Canada)(e)
|
6.720 | % | 09/30/11 | 96 | 95,203 | |||||||||||
White Birch Paper Co. DIP Term Loan B (Canada)
|
12.000 | % | 09/30/11 | 584 | 582,162 | |||||||||||
6,872,857 | ||||||||||||||||
Health Care3.0% |
||||||||||||||||
Carestream Health, Inc. Term Loan B
|
5.000 | % | 02/25/17 | 4,882 | 4,851,604 | |||||||||||
Community Health Systems, Inc. Delayed Draw Term Loan
|
2.560 | % | 07/25/14 | 10 | 10,409 | |||||||||||
Community Health Systems, Inc. Extended Term Loan B
|
3.810 | % | 01/25/17 | 1,529 | 1,535,879 | |||||||||||
Community Health Systems, Inc. Term Loan
|
2.560 | % | 07/25/14 | 187 | 185,598 | |||||||||||
Gentiva Health Services, Inc. Term Loan B
|
6.750 | % | 08/15/16 | 1,815 | 1,848,259 | |||||||||||
Harlan Laboratories, Inc. Term Loan B
|
3.790 | % | 07/11/14 | 362 | 337,844 | |||||||||||
Rehabcare Group, Inc. Term Loan B
|
6.000 | % | 11/24/15 | 1,428 | 1,432,539 | |||||||||||
Rural/Metro Operating Co., LLC Term Loan B
|
6.000 | % | 11/24/16 | 691 | 699,287 | |||||||||||
Skilled Healthcare Group, Inc. Term Loan B
|
5.250 | % | 04/08/16 | 1,435 | 1,440,142 | |||||||||||
Sun Healthcare Group, Inc. Term Loan B
|
7.500 | % | 10/15/16 | 1,367 | 1,380,616 | |||||||||||
Surgical Care Affiliates, LLC Term Loan
|
2.303 | % | 12/29/14 | 5,812 | 5,705,345 | |||||||||||
United Surgical Partners, International, Inc. Delayed Draw Term
Loan
|
2.270 | % | 04/21/14 | 618 | 612,351 | |||||||||||
United Surgical Partners, International, Inc. Term Loan B
|
2.290 | % | 04/19/14 | 3,269 | 3,240,788 | |||||||||||
Universal Health Services, Inc. Term Loan B
|
5.500 | % | 11/15/16 | 5,803 | 5,872,834 | |||||||||||
29,153,495 | ||||||||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Home Furnishings1.6% |
||||||||||||||||
Hunter Fan Co. Second Lien Term Loan
|
7.020 | % | 10/16/14 | $ | 6,789 | $ | 5,906,842 | |||||||||
Hunter Fan Co. Term Loan
|
2.770 | % | 04/16/14 | 1,588 | 1,522,570 | |||||||||||
Mattress Holdings Corp. Term Loan B
|
2.560 | % | 01/18/14 | 4,818 | 4,565,253 | |||||||||||
National Bedding Co., LLC Second Lien Term Loan
|
5.313 | % | 02/28/14 | 3,458 | 3,425,267 | |||||||||||
15,419,932 | ||||||||||||||||
Industrial Equipment0.4% |
||||||||||||||||
Electrical Components International, Inc. Synthetic Revolving
Credit Agreement
|
6.750 | % | 02/04/16 | 33 | 33,119 | |||||||||||
Electrical Components International, Inc. Term Loan B
|
6.750 | % | 02/03/17 | 527 | 529,906 | |||||||||||
Manitowoc Co., Inc. Term Loan B
|
8.000 | % | 11/06/14 | 514 | 520,272 | |||||||||||
Mold-Masters Luxembourg Holdings, SA Mold Masters Term Loan
|
3.813 | % | 10/11/14 | 3,717 | 3,438,649 | |||||||||||
4,521,946 | ||||||||||||||||
Insurance1.6% |
||||||||||||||||
Alliant Holdings I, Inc. Term Loan B
|
3.303 | % | 08/21/14 | 2,759 | 2,755,056 | |||||||||||
Alliant Holdings I, Inc. Term Loan D
|
6.750 | % | 08/21/14 | 1,051 | 1,066,760 | |||||||||||
AmWins Group, Inc. First Lien Term Loan
|
2.820 | % | 06/08/13 | 5,860 | 5,835,509 | |||||||||||
Applied Systems, Inc First Lien Term Loan
|
5.500 | % | 12/08/16 | 80 | 81,165 | |||||||||||
Applied Systems, Inc Second Lien Term Loan
|
9.250 | % | 06/07/17 | 40 | 40,720 | |||||||||||
C.G. JCF Corp. Term Loan
|
3.270 | % | 08/01/14 | 633 | 627,017 | |||||||||||
CNO Financial Group, Inc. Term Loan B
|
7.500 | % | 09/30/16 | 39 | 0 | |||||||||||
HMSC Corp. Second Lien Term Loan
|
5.762 | % | 10/03/14 | 1,750 | 1,474,375 | |||||||||||
Sedgwick CMS Holdings, Inc. First Lien Term Loan
|
5.500 | % | 05/27/16 | 247 | 247,348 | |||||||||||
Sedgwick CMS Holdings, Inc. Second Lien Term Loan
|
9.000 | % | 05/26/17 | 1,600 | 1,620,000 | |||||||||||
USI Holdings Corp. Incremental Term Loan
|
7.000 | % | 05/05/14 | 1,975 | 2,009,563 | |||||||||||
15,757,513 | ||||||||||||||||
Leisure Goods/Activities/Movies1.9% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc. Term Loan
|
6.750 | % | 04/22/16 | 660 | 655,850 | |||||||||||
Alpha Topco, Ltd. Second Lien Term Loan (United Kingdom)
|
3.960 | % | 06/30/14 | 1,800 | 1,766,943 | |||||||||||
Alpha Topco, Ltd. Term Loan B1 (United Kingdom)
|
2.707 | % | 12/31/13 | 3,529 | 3,479,742 | |||||||||||
Alpha Topco, Ltd. Term Loan B2 (United Kingdom)
|
2.707 | % | 12/31/13 | 2,384 | 2,350,467 | |||||||||||
Cedar Fair, L.P. Term Loan B
|
4.000 | % | 12/15/17 | 1,279 | 1,288,252 | |||||||||||
Hicks Sporting Group,
LLC(e)
|
10.298 | % | 06/30/11 | 66 | 66,838 | |||||||||||
Fender Musical Instruments Corp. Delayed Draw Term Loan
|
2.520 | % | 06/09/14 | 1,030 | 994,282 | |||||||||||
Fender Musical Instruments Corp. Term Loan B
|
2.520 | % | 06/09/14 | 2,040 | 1,968,147 | |||||||||||
Regal Cinemas, Inc. Term Loan B
|
3.553 | % | 08/23/17 | 807 | 811,448 | |||||||||||
Sabre Holdings Corp. Term Loan B
|
2.280 | % | 09/30/14 | 4,142 | 3,892,354 | |||||||||||
Six Flags Theme Parks, Inc. Add on Term Loan B
|
5.500 | % | 06/30/16 | 1,031 | 1,046,029 | |||||||||||
Travelport, LLC Extended Term Loan B
|
4.963 | % | 08/21/15 | 567 | 552,581 | |||||||||||
Travelport, LLC Term Loan S
|
4.803 | % | 08/21/15 | 74 | 72,316 | |||||||||||
Universal City Development Partners, Ltd. New Term Loan B
|
5.500 | % | 11/06/14 | 55 | 55,742 | |||||||||||
19,000,991 | ||||||||||||||||
Lodging & Casinos8.5% |
||||||||||||||||
BLB Worldwide Holdings, Inc. Term Loan
|
8.500 | % | 11/05/15 | 3,888 | 3,925,663 | |||||||||||
Boyd Gaming Corp. Revolving Credit Agreement
|
1.625 | % | 05/24/12 | 4,000 | 3,885,700 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Lodging & Casinos(continued) |
||||||||||||||||
Cannery Casino Resorts, LLC Delayed Draw Term Loan
|
4.513 | % | 05/20/13 | $ | 1,715 | $ | 1,698,007 | |||||||||
Cannery Casino Resorts, LLC Second Lien Term Loan
|
4.513 | % | 05/16/14 | 2,500 | 2,275,000 | |||||||||||
Cannery Casino Resorts, LLC Term Loan B
|
4.513 | % | 05/17/13 | 2,074 | 2,053,354 | |||||||||||
CCM Merger Corp. Term Loan B
|
8.500 | % | 07/13/12 | 4,327 | 4,338,309 | |||||||||||
Chester Downs and Marina, LLC Incremental Term Loan
|
12.375 | % | 07/29/16 | 192 | 198,093 | |||||||||||
Chester Downs and Marina, LLC Term Loan
|
12.375 | % | 07/29/16 | 110 | 113,712 | |||||||||||
Travelodge Hotels Tranche B Term Loan (United Kingdom)
|
4.264 | % | 09/05/14 | GBP 4,690 | 7,044,313 | |||||||||||
Travelodge Hotels Tranche C Term Loan (United Kingdom)
|
4.764 | % | 09/04/15 | GBP 4,690 | 7,082,434 | |||||||||||
Golden Nugget, Inc. New Delayed Draw Term
Loan(a)
|
3.270 | % | 06/30/14 | 361 | 314,072 | |||||||||||
Golden Nugget, Inc. Term Loan
B(a)
|
3.270 | % | 06/30/14 | 633 | 551,738 | |||||||||||
Harrahs Operating Co., Inc. Incremental Term Loan B4
|
9.500 | % | 10/31/16 | 495 | 525,559 | |||||||||||
Harrahs Operating Co., Inc. Term Loan B1
|
3.303 | % | 01/28/15 | 8,317 | 7,728,726 | |||||||||||
Harrahs Operating Co., Inc. Term Loan B2
|
3.303 | % | 01/28/15 | 13,424 | 12,474,839 | |||||||||||
Isle of Capri Casinos, Inc. New Delayed Draw Term Loan A
|
5.000 | % | 11/25/13 | 1,188 | 1,187,937 | |||||||||||
Isle of Capri Casinos, Inc. New Delayed Draw Term Loan B
|
5.000 | % | 11/25/13 | 1,081 | 1,080,927 | |||||||||||
Isle of Capri Casinos, Inc. New Term Loan B
|
5.000 | % | 11/25/13 | 2,703 | 2,702,318 | |||||||||||
Las Vegas Sands, LLC/Venetian Casino Extended Delayed Draw Term
Loan 2
|
3.040 | % | 11/23/15 | 161 | 160,447 | |||||||||||
Las Vegas Sands, LLC/Venetian Casino Extended Term Loan B
|
3.040 | % | 11/23/16 | 1 | 0 | |||||||||||
Magnolia Hill, LLC Delayed Draw Term Loan
|
3.510 | % | 10/30/13 | 910 | 819,125 | |||||||||||
Magnolia Hill, LLC Mezzanine Loan
|
14.000 | % | 04/30/14 | 4,650 | 4,556,861 | |||||||||||
Magnolia Hill, LLC Term Loan
|
3.510 | % | 10/30/13 | 3,160 | 2,843,665 | |||||||||||
Regency Entertainment SA Term Loan B (Greece)
|
3.852 | % | 03/03/14 | EUR 9,547 | 5,285,994 | |||||||||||
Regency Entertainment SA Term Loan C (Greece)
|
4.227 | % | 03/02/15 | EUR 9,547 | 5,351,863 | |||||||||||
Venetian Macau, Ltd. Delayed Draw Term Loan B
|
4.790 | % | 05/25/12 | 1,084 | 1,087,160 | |||||||||||
Venetian Macau, Ltd. New Project Term Loan
|
4.790 | % | 05/27/13 | 1,461 | 1,465,804 | |||||||||||
Venetian Macau, Ltd. Term Loan B
|
4.790 | % | 05/27/13 | 2,712 | 2,720,416 | |||||||||||
83,472,036 | ||||||||||||||||
Nonferrous Metals/Minerals0.4% |
||||||||||||||||
Novelis, Inc. New Term Loan B
|
5.250 | % | 12/19/16 | 3,455 | 3,505,694 | |||||||||||
Oil & Gas1.3% |
||||||||||||||||
Big West Oil, LLC New Term Loan
|
7.000 | % | 03/31/16 | 692 | 702,538 | |||||||||||
CCS, Inc. Term Loan B
|
3.300 | % | 11/14/14 | 3,055 | 2,937,433 | |||||||||||
Citgo Petroleum Corp. Term Loan B
|
8.000 | % | 06/24/15 | 1,875 | 1,964,477 | |||||||||||
Obsidian Natural Gas Trust Term Loan
|
7.000 | % | 11/02/15 | 1,532 | 1,577,480 | |||||||||||
RAM Energy, Inc. Term Loan
B(a)
|
12.750 | % | 11/29/12 | 1,174 | 1,177,034 | |||||||||||
Western Refining, Inc. Term Loan B
|
10.750 | % | 05/30/14 | 2,274 | 2,336,791 | |||||||||||
Willbros United States Holdings, Inc. Term Loan B
|
9.500 | % | 06/30/14 | 2,528 | 2,565,894 | |||||||||||
13,261,647 | ||||||||||||||||
Oil & Gas Drilling0.8% |
||||||||||||||||
Abbot Group Limited Term Loan A (United Kingdom)
|
3.756 | % | 03/16/15 | 191 | 180,259 | |||||||||||
Abbot Group Limited Term Loan B1 (United Kingdom)
|
4.506 | % | 03/15/16 | 170 | 163,882 | |||||||||||
Abbot Group Limited Term Loan B2 (United Kingdom)
|
4.506 | % | 03/19/16 | 3,535 | 3,395,081 | |||||||||||
Abbot Group Limited Term Loan C1 (United Kingdom)
|
4.756 | % | 03/15/17 | 66 | 63,966 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Oil & Gas Drilling(continued) |
||||||||||||||||
Abbot Group Limited Term Loan C2 (United Kingdom)
|
4.756 | % | 03/19/17 | $ | 2,850 | $ | 2,752,134 | |||||||||
Abbot Group Limited Term Loan C3 (United Kingdom)
|
4.756 | % | 03/19/17 | 988 | 954,068 | |||||||||||
7,509,390 | ||||||||||||||||
Publishing4.1% |
||||||||||||||||
Affiliated Media, Inc. New Term Loan
|
8.500 | % | 03/19/14 | 1,221 | 1,227,744 | |||||||||||
Cengage Learning Holdings II, LP Term Loan
|
2.550 | % | 07/03/14 | 13,624 | 13,105,520 | |||||||||||
Gatehouse Media, Inc. Delayed Draw Term Loan
|
2.270 | % | 08/28/14 | 311 | 135,389 | |||||||||||
Gatehouse Media, Inc. Term Loan B
|
2.270 | % | 08/28/14 | 833 | 363,010 | |||||||||||
Getty Images, Inc. New Term Loan
|
5.250 | % | 11/07/16 | 2,331 | 2,364,713 | |||||||||||
Harland Clarke Holdings Corp. Term Loan B
|
2.790 | % | 06/30/14 | 2,439 | 2,333,109 | |||||||||||
Knowledgepoint360 Group, LLC First Lien Term Loan
|
3.570 | % | 04/14/14 | 935 | 747,770 | |||||||||||
Knowledgepoint360 Group, LLC Second Lien Term Loan
|
7.314 | % | 04/13/15 | 2,000 | 1,220,000 | |||||||||||
Merrill Communications, LLC Second Lien Term
Loan(a)
|
13.758 | % | 11/15/13 | 5,046 | 5,060,335 | |||||||||||
Newsday, LLC Term Loan
|
6.553 | % | 08/01/13 | 2,333 | 2,387,770 | |||||||||||
Primedia, Inc. Term Loan B
|
2.300 | % | 08/01/14 | 1,431 | 1,350,797 | |||||||||||
Tribune Co. Term Loan
B(b)(c)
|
5.250 | % | 06/04/14 | 10,146 | 7,270,460 | |||||||||||
Yell Group PLC New Term Loan B1 (United Kingdom)
|
4.012 | % | 07/31/14 | EUR 5,556 | 2,619,260 | |||||||||||
40,185,877 | ||||||||||||||||
Radio & Television5.5% |
||||||||||||||||
Citadel Broadcasting Corp. New Term Loan B
|
4.250 | % | 12/30/16 | 752 | 759,014 | |||||||||||
Clear Channel Communications, Inc. Term Loan B
|
3.912 | % | 01/28/16 | 10,307 | 9,449,016 | |||||||||||
CMP KC, LLC Term
Loan(b)
|
6.250 | % | 05/03/11 | 1,887 | 282,996 | |||||||||||
CMP Susquehanna Corp. Term Loan
|
2.313 | % | 05/05/13 | 3,428 | 3,384,453 | |||||||||||
Cumulus Media, Inc. Term Loan B
|
4.012 | % | 06/11/14 | 815 | 806,590 | |||||||||||
FoxCo Acquisition Sub, LLC Term Loan
|
7.500 | % | 07/14/15 | 2,591 | 2,602,655 | |||||||||||
High Plains Broadcasting Operating Co., LLC Term Loan
|
9.000 | % | 09/14/16 | 631 | 635,346 | |||||||||||
Intelsat Jackson Holdings S.A. New Term Loan
|
5.250 | % | 04/02/18 | 5,983 | 6,039,752 | |||||||||||
Multicultural Radio Broadcasting, Inc. Term Loan
|
3.010 | % | 12/18/12 | 1,490 | 1,367,262 | |||||||||||
Newport Television, LLC Term Loan B
|
9.000 | % | 09/14/16 | 2,307 | 2,322,968 | |||||||||||
TWCC Holding Corp. New Term Loan B
|
4.250 | % | 02/13/17 | 1,502 | 1,517,632 | |||||||||||
Tyrol Acquisitions Term Loan B (France)
|
2.862 | % | 01/30/15 | EUR 1,500 | 1,939,188 | |||||||||||
Tyrol Acquisitions Term Loan C (France)
|
3.112 | % | 01/29/16 | EUR 1,500 | 1,949,538 | |||||||||||
Univision Communications, Inc. Extended Term Loan
|
4.512 | % | 03/31/17 | 21,234 | 20,699,515 | |||||||||||
Univision Communications, Inc. Initial Term Loan
|
2.512 | % | 09/29/14 | 64 | 61,884 | |||||||||||
53,817,809 | ||||||||||||||||
Retailers (except food & drug)1.9% |
||||||||||||||||
Amscan Holdings, Inc. Term Loan B
|
6.750 | % | 12/04/17 | 3,323 | 3,367,934 | |||||||||||
Educate, Inc. Second Lien Term Loan
|
8.500 | % | 06/16/14 | 495 | 482,803 | |||||||||||
FTD Group, Inc. Term Loan B
|
6.750 | % | 08/26/14 | 1,403 | 1,411,269 | |||||||||||
Guitar Center, Inc. Term Loan B
|
3.770 | % | 10/09/14 | 4,027 | 3,990,275 | |||||||||||
Gymboree Corp. New Term Loan
|
5.000 | % | 02/23/18 | 926 | 928,028 | |||||||||||
Michaels Stores, Inc. Term Loan B2
|
4.830 | % | 07/31/16 | 790 | 797,809 | |||||||||||
Neiman Marcus Group, Inc. Extended Term Loan B2
|
4.303 | % | 04/06/16 | 3,736 | 3,762,367 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Retailers (except food & drug)(continued) |
||||||||||||||||
Petco Animal Supplies, Inc. New Term Loan
|
4.500 | % | 11/24/17 | $ | 2,793 | $ | 2,810,124 | |||||||||
Savers, Inc. Term Loan B
|
5.750 | % | 03/11/16 | 946 | 956,366 | |||||||||||
18,506,975 | ||||||||||||||||
Surface Transport0.3% |
||||||||||||||||
Kenan Advantage Group, Inc. New Term Loan
|
5.500 | % | 06/10/16 | 1,740 | 1,763,979 | |||||||||||
Swift Transportation Co., Inc. Term Loan B
|
6.000 | % | 12/21/16 | 1,641 | 1,654,824 | |||||||||||
3,418,803 | ||||||||||||||||
Telecommunications7.0% |
||||||||||||||||
Avaya, Inc. Extended Term Loan B3
|
4.811 | % | 10/26/17 | 3,132 | 3,074,272 | |||||||||||
Avaya, Inc. Term Loan
|
3.061 | % | 10/24/14 | 2,253 | 2,191,247 | |||||||||||
Bultel Cable Bulgaria EAD Term Loan A (Bulgaria)
|
5.862 | % | 10/27/15 | EUR 3,120 | 3,874,899 | |||||||||||
Bultel Cable Bulgaria EAD Term Loan B (Bulgaria)
|
6.862 | % | 10/27/16 | EUR 3,250 | 4,036,353 | |||||||||||
Completel Term Loan B (France)
|
4.612 | % | 08/29/15 | EUR 10,000 | 13,109,524 | |||||||||||
Fairpoint Communications, Inc. New Term Loan B
|
6.500 | % | 01/22/16 | 7,817 | 7,720,509 | |||||||||||
Fibernet Term Loan B (Bulgaria)
|
3.155 | % | 12/20/14 | EUR 1,926 | 1,514,935 | |||||||||||
Fibernet Term Loan C (Bulgaria)
|
3.655 | % | 12/20/15 | EUR 1,926 | 1,514,935 | |||||||||||
Global Tel*Link Corp. Incremental Term Loan
|
7.250 | % | 11/10/16 | 2,068 | 2,079,270 | |||||||||||
Hawaiian Telcom Communications, Inc. Exit Term
Loan(c)
|
9.000 | % | 11/01/15 | 2,397 | 2,457,090 | |||||||||||
Level 3 Communications, Inc. Add on Term Loan
|
11.500 | % | 03/13/14 | 167 | 179,376 | |||||||||||
Level 3 Communications, Inc. Term Loan A
|
2.553 | % | 03/13/14 | 5,625 | 5,490,703 | |||||||||||
NTELOS, Inc. Term Loan B
|
6.000 | % | 08/07/15 | 2,070 | 2,073,402 | |||||||||||
Primacom Term Loan B (Germany)
|
5.010 | % | 12/05/13 | EUR 3,935 | 4,452,338 | |||||||||||
Primacom Term Loan C (Germany)
|
5.510 | % | 12/05/14 | EUR 3,935 | 4,452,338 | |||||||||||
Primacom Term Loan C2 (Germany)
|
5.510 | % | 11/22/16 | EUR 4,019 | 4,547,453 | |||||||||||
Syniverse Holdings, Inc. Term Loan B
|
5.250 | % | 12/21/17 | 2,070 | 2,098,904 | |||||||||||
TowerCo Finance, LLC Term Loan B
|
5.250 | % | 02/02/17 | 684 | 690,873 | |||||||||||
West Corp. Term Loan B4
|
4.590 | % | 07/15/16 | 3,000 | 3,024,360 | |||||||||||
68,582,781 | ||||||||||||||||
Utilities6.3% |
||||||||||||||||
Bicent Power, LLC Second Lien Term Loan
|
4.310 | % | 12/31/14 | 5,000 | 812,500 | |||||||||||
BRSP, LLC Term Loan B
|
7.500 | % | 06/04/14 | 4,309 | 4,362,698 | |||||||||||
EquiPower Resources Holdings, LLC Term Loan B
|
5.750 | % | 01/26/18 | 481 | 485,540 | |||||||||||
FirstLight Power Resources, Inc. Second Lien Term Loan
|
4.813 | % | 05/01/14 | 2,900 | 2,784,000 | |||||||||||
FirstLight Power Resources, Inc. Synthetic Letter of Credit
|
2.813 | % | 11/01/13 | 100 | 99,460 | |||||||||||
FirstLight Power Resources, Inc. Term Loan B
|
2.813 | % | 11/01/13 | 606 | 604,400 | |||||||||||
Great Point Power, Inc. Delayed Draw Term Loan
|
5.500 | % | 03/10/17 | 1,406 | 1,413,426 | |||||||||||
Mach Gen, LLC Letter of Credit
|
2.303 | % | 02/22/13 | 187 | 174,611 | |||||||||||
New Development Holdings, LLC Term Loan
|
7.000 | % | 07/03/17 | 6,928 | 7,015,921 | |||||||||||
NRG Energy, Inc. Extended Letter of Credit
|
3.553 | % | 08/31/15 | 2,182 | 2,200,971 | |||||||||||
Primary Energy Operations, LLC New Term Loan
|
6.500 | % | 10/23/14 | 3,398 | 3,377,151 | |||||||||||
Texas Competitive Electric Holdings Co., LLC Delayed Draw Term
Loan
|
3.770 | % | 10/10/14 | 22,553 | 18,936,098 | |||||||||||
Texas Competitive Electric Holdings Co., LLC Term Loan B2
|
3.787 | % | 10/10/14 | 625 | 527,181 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Utilities(continued) |
||||||||||||||||
Texas Competitive Electric Holdings Co., LLC Term Loan B3
|
3.770 | % | 10/10/14 | $ | 16,337 | $ | 13,757,874 | |||||||||
TPF Generation Holdings, LLC Second Lien Term Loan C
|
4.553 | % | 12/15/14 | 6,000 | 5,794,980 | |||||||||||
62,346,811 | ||||||||||||||||
Total Variable Rate** Senior Loan Interests95.7%
|
942,736,044 | |||||||||||||||
Notes26.9% |
||||||||||||||||
Air Transport0.1% |
||||||||||||||||
Continental Airlines, Inc.
|
6.750 | % | 09/15/15 | 650 | 672,750 | |||||||||||
Auto Parts & Equipment0.1% |
||||||||||||||||
Dana Holding Corp.
|
6.750 | % | 02/15/11 | 1,145 | 1,169,331 | |||||||||||
Building & Development0.0% |
||||||||||||||||
Realogy Corp.
|
7.875 | % | 02/15/19 | 336 | 338,520 | |||||||||||
Cable & Satellite Television3.1% |
||||||||||||||||
CCO Holdings, LLC
|
7.000 | % | 01/15/19 | 4,237 | 4,311,583 | |||||||||||
Central Euro Media Enterprises Ltd. (Czech
Republic)(f)
|
9.000 | % | 11/01/17 | EUR 5,000 | 7,451,729 | |||||||||||
UPC Germany GmbH
(Germany)(f)
|
9.625 | % | 12/01/19 | EUR 5,000 | 7,857,090 | |||||||||||
TVN SA
(Poland)(f)
|
7.875 | % | 11/15/18 | EUR 4,000 | 5,768,191 | |||||||||||
Virgin Media Finance PLC (United Kingdom)
|
9.500 | % | 08/15/16 | 4,250 | 4,924,687 | |||||||||||
30,313,280 | ||||||||||||||||
Chemicals & Plastics0.5% |
||||||||||||||||
Lyondell Chemical Co.
|
11.000 | % | 05/01/18 | 3,149 | 3,613,919 | |||||||||||
Wellman,
Inc.(a)
|
5.000 | % | 01/29/19 | 2,043 | 1,389,216 | |||||||||||
5,003,135 | ||||||||||||||||
Containers & Glass Products4.6% |
||||||||||||||||
Ardagh Glass Finance
(Ireland)(f)
|
7.125 | % | 06/15/17 | EUR 11,200 | 15,107,691 | |||||||||||
Ardagh Glass Finance
(Ireland)(f)
|
8.750 | % | 02/01/20 | EUR 6,000 | 8,672,985 | |||||||||||
Berry Plastics Group,
Inc.(h)
|
5.053 | % | 02/15/15 | 2,800 | 2,800,000 | |||||||||||
Pregis Corp.
|
5.998 | % | 04/15/13 | EUR 13,350 | 17,961,773 | |||||||||||
Reynolds Group Issuer, Inc.
|
6.875 | % | 02/15/21 | 1,043 | 1,056,037 | |||||||||||
45,598,486 | ||||||||||||||||
Electronics/Electrical0.6% |
||||||||||||||||
NXP B.V.
|
9.750 | % | 08/01/18 | 5,000 | 5,750,000 | |||||||||||
Financial Intermediaries3.1% |
||||||||||||||||
Lloyds Banking Group PLC
|
7.875 | % | 11/01/20 | 800 | 776,000 | |||||||||||
Royal Bank of Scotland PLC
|
7.648 | % | 08/29/49 | 15,000 | 13,800,000 | |||||||||||
Seadrill, Ltd.
|
6.500 | % | 10/05/15 | 15,000 | 14,847,300 | |||||||||||
UniCredit SpA
|
9.375 | % | 07/29/49 | EUR 800 | 1,098,440 | |||||||||||
30,521,740 | ||||||||||||||||
Forest Products0.1% |
||||||||||||||||
Builders FirstSource,
Inc.(h)
|
13.000 | % | 02/15/16 | 1,441 | 1,217,449 | |||||||||||
Health Care0.7% |
||||||||||||||||
Apria Healthcare Group, Inc.
|
11.250 | % | 11/01/14 | 6,167 | 6,767,917 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Home Furnishings0.2% |
||||||||||||||||
Targus Group International
Inc.(a)(i)
|
10.000 | % | 12/15/15 | $ | 1,538 | $ | 1,538,235 | |||||||||
Lodging & Casinos5.5% |
||||||||||||||||
Punch Taverns PLC (United Kingdom)
|
4.767 | % | 06/30/33 | GBP 1,679 | 2,321,733 | |||||||||||
Punch Taverns PLC (United Kingdom)
|
5.943 | % | 12/30/24 | GBP 2,942 | 4,101,800 | |||||||||||
Punch Taverns PLC (United Kingdom)
|
6.820 | % | 07/15/20 | GBP 2,071 | 3,345,100 | |||||||||||
Punch Taverns PLC (United
Kingdom)(f)
|
7.369 | % | 06/30/22 | GBP 3,900 | 5,864,528 | |||||||||||
Spirit Issuer PLC (United Kingdom)
|
5.472 | % | 12/28/28 | GBP 14,535 | 19,634,002 | |||||||||||
Unique Pub (United Kingdom)
|
5.659 | % | 06/30/27 | GBP 12,519 | 16,120,849 | |||||||||||
Unique Pub (United Kingdom)
|
6.542 | % | 03/30/21 | GBP 2,000 | 2,892,732 | |||||||||||
54,280,744 | ||||||||||||||||
Multi-Line Insurance0.7% |
||||||||||||||||
American International Group
|
4.875 | % | 03/15/67 | EUR 5,750 | 6,784,179 | |||||||||||
Oil & Gas0.3% |
||||||||||||||||
Offshore Group Investment
Ltd(f)
|
11.500 | % | 08/01/15 | 2,360 | 2,655,000 | |||||||||||
Other Diversified Financial Services0.9% |
||||||||||||||||
American General Finance Corp
|
3.250 | % | 01/16/13 | EUR 7,000 | 8,844,558 | |||||||||||
Rail Industries1.4% |
||||||||||||||||
Channel Link (United Kingdom)
|
2.297 | % | 06/20/12 | GBP 5,000 | 7,396,702 | |||||||||||
Channel Link (United Kingdom)
|
2.504 | % | 06/30/12 | EUR 5,000 | 6,278,772 | |||||||||||
13,675,474 | ||||||||||||||||
Surface Transport2.1% |
||||||||||||||||
CB Bus AB (Sweden)
|
9.125 | % | 08/01/12 | EUR 14,594 | 20,188,783 | |||||||||||
Telecommunications1.6% |
||||||||||||||||
Versatel AG
(Germany)(f)
|
3.776 | % | 06/15/14 | EUR 8,000 | 10,598,015 | |||||||||||
Wind Acquisition Fin SA
(Luxembourg)(f)
|
7.250 | % | 02/15/18 | 5,000 | 5,225,000 | |||||||||||
15,823,015 | ||||||||||||||||
Utilities1.3% |
||||||||||||||||
Calpine Corp.
|
7.500 | % | 02/15/21 | 1,089 | 1,119,409 | |||||||||||
Calpine Corp.
|
7.875 | % | 01/15/23 | 10,923 | 11,278,149 | |||||||||||
12,397,558 | ||||||||||||||||
Total Notes26.9%
|
263,540,154 | |||||||||||||||
Structured Product0.2% |
||||||||||||||||
Cent CDO Ltd.
|
2.552 | % | 03/11/21 | 2,750 | 2,272,188 | |||||||||||
Shares | Value | |||||||||||||||
Common Stocks2.5% |
||||||||||||||||
Building & Development0.3% |
||||||||||||||||
Axia Acquisition
Corp.(f)
|
101 | $ | 251,400 | |||||||||||||
Contech Construction Products,
Inc.(g)
|
308,203 | 0 | ||||||||||||||
Building Materials Holding
Corp.(f)
|
512,204 | 512,204 | ||||||||||||||
Lake At Las Vegas Joint Venture, LLC,
Class A(g)
|
2,339 | 947,873 | ||||||||||||||
Lake At Las Vegas Joint Venture, LLC,
Class B(g)
|
28 | 11,260 | ||||||||||||||
Newhall Holding Co.,
LLC(g)
|
235,259 | 352,889 | ||||||||||||||
Rhodes Homes
|
750,544 | 187,636 | ||||||||||||||
WCI Communities,
Inc.(g)
|
1,830 | 164,700 | ||||||||||||||
2,427,962 | ||||||||||||||||
Chemicals & Plastics0.6% |
||||||||||||||||
Lyondell Chemical
Co.(g)
|
162,147 | 6,174,558 | ||||||||||||||
Wellman,
Inc.(g)
|
1,892 | 0 | ||||||||||||||
6,174,558 | ||||||||||||||||
Conglomerates0.1% |
||||||||||||||||
Euramax International,
Inc.(g)(f)
|
1,870 | 495,497 | ||||||||||||||
Cosmetics/Toiletries0.1% |
||||||||||||||||
Marietta Holding Corp.
(Acquired 04/22/10,
Cost $2,591,511)
|
1,641,483 | 1,346,016 | ||||||||||||||
Financial Intermediaries0.0% |
||||||||||||||||
RJO Holdings Corp.
(Acquired 01/14/11,
Cost $0)(g)
|
6,619 | 0 | ||||||||||||||
Food Products0.0% |
||||||||||||||||
Panrico(g)
|
614,269 | 0 | ||||||||||||||
Home Furnishings0.0% |
||||||||||||||||
Targus Group International, Inc.
(Acquired 12/16/09,
Cost $0)(i)(g)
|
62,413 | 179,125 | ||||||||||||||
Leisure Goods/Activities/Movies1.0% |
||||||||||||||||
MB2, LP.
(Canada)(f)
|
600,814 | 385,255 | ||||||||||||||
Metro-Goldwyn-Mayer,
Inc.(g)
|
400,602 | 9,656,511 | ||||||||||||||
10,041,766 | ||||||||||||||||
Lodging & Casinos0.0% |
||||||||||||||||
BLB Worldwide Holdings, Inc.,
Class A(g)
|
41,966 | 419,660 | ||||||||||||||
BLB Worldwide Holdings, Inc.,
Class B(g)
|
5,500 | 38,500 | ||||||||||||||
458,160 | ||||||||||||||||
Oil & Gas0.1% |
||||||||||||||||
Vitruvian Exploration,
LLC(g)
|
76,400 | 792,650 | ||||||||||||||
Publishing0.3% |
||||||||||||||||
Affiliated Media,
Inc.(g)
|
87,369 | 2,315,273 | ||||||||||||||
Endurance Business Media, Inc.
Class A(g)
|
4,753 | 47,531 | ||||||||||||||
SuperMedia,
Inc.(g)
|
7,080 | 59,614 | ||||||||||||||
2,422,418 | ||||||||||||||||
Total Common Stocks2.5%
|
24,338,152 | |||||||||||||||
Shares | Value | |||||||||||||||
Warrants0.0% |
||||||||||||||||
Building & Development0.0% |
||||||||||||||||
Lake at Las Vegas Joint Venture, LLC, Class C,
expiring 7/15/15(g)
|
117 | $ | 0 | |||||||||||||
Lake at Las Vegas Joint Venture, LLC, Class D,
expiring 7/15/15(g)
|
161 | 0 | ||||||||||||||
Lake at Las Vegas Joint Venture, LLC, Class E,
expiring 7/15/15(g)
|
179 | 0 | ||||||||||||||
Lake at Las Vegas Joint Venture, LLC, Class F,
expiring 7/15/15(g)
|
202 | 0 | ||||||||||||||
Lake at Las Vegas Joint Venture, LLC, Class G,
expiring 7/15/15(g)
|
229 | 0 | ||||||||||||||
0 | ||||||||||||||||
Cosmetics/Toiletries0.0% |
||||||||||||||||
Marietta Holding Corp.,
expiring 02/19/20
(Acquired 04/22/10,
Cost $0)(g)
|
413,194 | 0 | ||||||||||||||
Radio & Television0.0% |
||||||||||||||||
Cumulus Media, Inc.,
expiring 06/29/19
(Acquired 01/14/10,
Cost $0)(g)
|
1,568 | 5,817 | ||||||||||||||
Total Warrants0.0%
|
5,817 | |||||||||||||||
Preferred Stock0.0% |
||||||||||||||||
Financial Intermediaries0.0% |
||||||||||||||||
RJO Holdings Corp.
(Acquired 01/14/11,
Cost $0)(g)
|
649 | 0 | ||||||||||||||
Total Preferred Stock0.6%
|
0 | |||||||||||||||
Total Long-Term Investments125.3%
(Cost $1,318,582,706)
|
$ | 1,232,892,355 | ||||||||||||||
Time Deposit3.1% |
||||||||||||||||
State Street Bank & Trust Co. ($30,518,739 par,
0.01% coupon, dated
02/28/11, to
be sold on
03/01/11 at
$30,518,764)
|
||||||||||||||||
(Cost $30,518,739)
|
30,518,739 | |||||||||||||||
TOTAL INVESTMENTS128.4% (Cost $1,349,101,445)
|
1,263,411,094 | |||||||||||||||
FOREIGN CURRENCY0.6% (Cost $5,673,890)
|
5,733,309 | |||||||||||||||
BORROWINGS(28.6%)
|
(281,000,000 | ) | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(0.4%)
|
(4,326,241 | ) | ||||||||||||||
NET ASSETS100.0%
|
$ | 983,818,162 | ||||||||||||||
GBP
|
Great Britain Pound | |
EUR
|
Euro |
(a) | All or portion of this security is payment-in-kind. | |
(b) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at February 28, 2011 was $8,509,598, which represented 0.86% of the Funds Net Assets. | |
(c) | This borrower has filed for protection in federal bankruptcy court. | |
(d) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(e) | All or a portion of this holding is designated in connection with unfunded loan commitments. See Note 8. | |
(f) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at February 28, 2011 was $70,844,585, which represented 7.20% of the Funds Net Assets. | |
(g) | Non-income producing security acquired through the restructuring of senior loans. | |
(h) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on February 28, 2011. | |
(i) | Affiliated Company. | |
* | 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 February 28, 2011. |
Credit Default Swaps | ||||||||||||||||||||||||||||||
Pay/ |
Credit |
|||||||||||||||||||||||||||||
Receive |
Implied |
Notional |
Upfront |
Rating of |
||||||||||||||||||||||||||
Buy/Sell |
Fixed |
Expiration |
Credit |
Amount |
Payments |
Reference |
||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | Spread(a) | (000) | Received | Value | Entity(b) | |||||||||||||||||||||
Bank of America N.A.
|
Lighthouse International | Sell | 3.350 | % | 09/20/12 | 38.600 | % | $ | 6,900 | $ | 0 | $ | (2,696,618 | ) | B- | |||||||||||||||
Bank of America N.A.
|
Lighthouse International | Sell | 3.650 | 12/20/12 | 39.620 | 6,900 | 0 | (2,989,279 | ) | B- | ||||||||||||||||||||
Goldman Sachs International
|
Calpine Corporation | Sell | 5.000 | 03/20/11 | 1.270 | 2,000 | 65,000 | 23,857 | B | |||||||||||||||||||||
Goldman Sachs International
|
CDX.NA.HY.9 | Sell | 3.750 | 12/20/12 | 1.340 | 17,200 | 714,779 | 868,917 | NR | |||||||||||||||||||||
UBS
|
CDX.NA.HY.9 | Sell | 3.750 | 12/20/12 | 1.340 | 17,200 | 716,221 | 870,669 | NR | |||||||||||||||||||||
UBS
|
CDX.NA.HY.10 | Sell | 5.000 | 06/20/13 | 1.800 | 17,400 | 1,128,250 | 1,423,847 | NR | |||||||||||||||||||||
Goldman Sachs International
|
Gala Group Finance | Sell | 3.450 | 12/20/12 | 3.98 | 6,900 | 0 | (12,876 | ) | NR | ||||||||||||||||||||
Goldman Sachs International
|
Gala Group Finance | Sell | 4.150 | 03/20/13 | 3.99 | 6,900 | 0 | 74,385 | NR | |||||||||||||||||||||
Goldman Sachs International
|
LCDX.NA.10 | Sell | 3.250 | 06/30/12 | 1.043 | 46,200 | 5,269,000 | 2,243,249 | NR | |||||||||||||||||||||
Goldman Sachs International
|
LCDX9 | Sell | 2.250 | 12/20/12 | 1.022 | 38,500 | 3,136,250 | 991,644 | NR | |||||||||||||||||||||
Goldman Sachs International
|
Peermont Global | Sell | 3.500 | 09/20/12 | 5.99 | 6,900 | 0 | (204,001 | ) | B | ||||||||||||||||||||
Goldman Sachs International
|
Texas Competitive Electric Holdings Company, LLC | Sell | 5.000 | 03/20/12 | 6.290 | 5,000 | 112,500 | (13,452 | ) | B | ||||||||||||||||||||
Total Credit Default Swaps
|
$ | 178,000 | $ | 11,142,000 | $ | 580,342 | ||||||||||||||||||||||||
(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). |
Forward foreign currency contracts outstanding as of February 28, 2011: | ||||||||||||||||
Unrealized |
||||||||||||||||
Appreciation/ |
||||||||||||||||
Counter Party | In Exchange for | Current Value | Depreciation | |||||||||||||
Long Contracts:
|
||||||||||||||||
Euro
|
||||||||||||||||
2,808,489
|
expiring 05/13/11 | Goldman Sachs International | US$ | $ | 3,872,051 | $ | 48,768 | |||||||||
4,822,110
|
expiring 05/13/11 | Goldman Sachs International | US$ | 6,648,222 | 103,273 | |||||||||||
685,304
|
expiring 05/13/11 | Goldman Sachs International | US$ | 944,826 | 9,796 | |||||||||||
4,818,679
|
expiring 05/13/11 | Goldman Sachs International | US$ | 6,643,492 | 59,779 | |||||||||||
7,700,175
|
expiring 05/13/11 | Goldman Sachs International | US$ | 10,616,198 | 223,502 | |||||||||||
3,237,450
|
expiring 05/13/11 | Goldman Sachs International | US$ | 4,463,458 | 3,728 | |||||||||||
448,846 | ||||||||||||||||
Pound Sterling
|
||||||||||||||||
836,875
|
expiring 05/13/11 | Goldman Sachs International | US$ | 1,359,497 | 14,078 | |||||||||||
1,419,990
|
expiring 05/13/11 | Goldman Sachs International | US$ | 2,306,763 | 14,615 | |||||||||||
1,900,800
|
expiring 05/13/11 | Goldman Sachs International | US$ | 3,087,835 | 34,846 | |||||||||||
63,539 | ||||||||||||||||
Total Long Contracts
|
512,385 | |||||||||||||||
Short Contracts:
|
||||||||||||||||
Euro
|
||||||||||||||||
193,479,238
|
expiring 05/13/11 | Goldman Sachs International | US$ | 266,748,977 | (310,653 | ) | ||||||||||
2,068,343
|
expiring 05/13/11 | Goldman Sachs International | US$ | 2,851,615 | (50,438 | ) | ||||||||||
3,105,223
|
expiring 05/13/11 | Goldman Sachs International | US$ | 4,281,157 | (26,940 | ) | ||||||||||
6,440,000
|
expiring 05/13/11 | Goldman Sachs International | US$ | 8,878,800 | (106,560 | ) | ||||||||||
2,096,036
|
expiring 05/13/11 | Goldman Sachs International | US$ | 2,889,796 | (52,706 | ) | ||||||||||
1,622,600
|
expiring 05/13/11 | Goldman Sachs International | US$ | 2,237,072 | (23,210 | ) | ||||||||||
(570,507 | ) | |||||||||||||||
Pound Sterling
|
||||||||||||||||
50,673,382
|
expiring 05/13/11 | Goldman Sachs International | US$ | 82,318,509 | (617,815 | ) | ||||||||||
3,568,500
|
expiring 05/13/11 | Goldman Sachs International | US$ | 5,797,000 | (41,545 | ) | ||||||||||
3,758,703
|
expiring 05/13/11 | Goldman Sachs International | US$ | 6,105,983 | (102,320 | ) | ||||||||||
2,463,922
|
expiring 05/13/11 | Goldman Sachs International | US$ | 4,295,030 | (48,627 | ) | ||||||||||
(810,307 | ) | |||||||||||||||
Total Short Contracts
|
(1,380,814 | ) | ||||||||||||||
Total Forward Foreign Currency Contracts |
$ | (868,429 | ) | |||||||||||||
Assets: |
||||
Unaffiliated investments (Cost $1,344,204,420)
|
$ | 1,261,693,734 | ||
Affiliated investments (Cost $4,897,025)
|
1,717,360 | |||
Total investments (Cost $1,349,101,445)
|
1,263,411,094 | |||
Foreign currencies, at value (Cost $5,673,890)
|
5,733,309 | |||
Cash segregated as collateral for credit default swaps
|
5,931,000 | |||
Cash segregated as collateral for forward foreign currency
contracts
|
360,000 | |||
Receivables for:
|
||||
Investments sold
|
97,033,001 | |||
Interest and fees
|
7,378,545 | |||
Unrealized appreciation of swap agreements
|
580,342 | |||
Forward foreign currency contracts
|
512,385 | |||
Other assets
|
21,668 | |||
Total assets
|
1,380,961,344 | |||
Liabilities: |
||||
Payables for:
|
||||
Borrowings
|
281,000,000 | |||
Investments purchased
|
107,323,066 | |||
Amount due custodian
|
4,508,948 | |||
Income distributions
|
526,579 | |||
Accrued other operating expenses
|
497,134 | |||
Accrued interest expense
|
67,268 | |||
Accrued fees to affiliates
|
3,016 | |||
Unrealized (depreciation) on unfunded commitments
|
1,836,357 | |||
Forward foreign currency contracts
|
1,380,814 | |||
Total liabilities
|
397,143,182 | |||
Net assets
|
$ | 983,818,162 | ||
Net assets consist of: |
||||
Shares of beneficial interest
|
1,411,865,572 | |||
Undistributed net investment income (loss)
|
(1,590,798 | ) | ||
Unrealized appreciation (depreciation)
|
(78,883,196 | ) | ||
Undistributed net realized gain (loss)
|
(347,573,416 | ) | ||
$ | 983,818,162 | |||
Shares outstanding, $0.01 par value per common share: |
||||
Common shares outstanding
|
74,013,275 | |||
Net asset value per common share
|
$ | 13.29 | ||
Market value per common share
|
$ | 12.83 | ||
Seven months
ended |
Year ended |
|||||||
February 28, |
July 31, |
|||||||
2011 | 2010 | |||||||
Investment income: |
||||||||
Interest from unaffiliated investments
|
41,649,233 | $ | 78,039,694 | |||||
Interest from affiliated investments
|
185,870 | 136,922 | ||||||
Other
|
2,031,657 | 2,075,751 | ||||||
Total income
|
43,866,760 | 80,252,367 | ||||||
Expenses: |
||||||||
Investment advisory fee
|
8,907,225 | 14,519,953 | ||||||
Interest expense
|
2,813,063 | 4,967,309 | ||||||
Custody
|
225,392 | 467,401 | ||||||
Administrative services fees
|
127,036 | 226,352 | ||||||
Trustees and officers fees and benefits
|
66,772 | 20,518 | ||||||
Transfer agent fees
|
5,101 | 91,925 | ||||||
Other
|
126,240 | 483,342 | ||||||
Total expenses
|
12,270,829 | 20,776,800 | ||||||
Net investment income
|
31,595,931 | 59,475,567 | ||||||
Realized and unrealized gain (loss): |
||||||||
Realized gain (loss):
|
||||||||
Investments
|
(14,661,729 | ) | (57,866,229 | ) | ||||
Forward foreign currency contracts
|
(39,352,468 | ) | 50,821,686 | |||||
Swap agreements
|
3,921,214 | 11,093,361 | ||||||
Foreign currency transactions
|
1,504,310 | (2,142,559 | ) | |||||
Net increase from payments by affiliates*
|
-0- | 2,209,166 | ||||||
Net realized gain (loss)
|
(48,588,673 | ) | 4,115,425 | |||||
Unrealized appreciation (depreciation):
|
||||||||
Beginning of the period
|
(196,990,751 | ) | (324,613,324 | ) | ||||
End of the period:
|
||||||||
Investments
|
(85,690,351 | ) | (185,102,850 | ) | ||||
Swap agreements
|
11,722,342 | 10,136,069 | ||||||
Forward foreign currency contracts
|
(868,429 | ) | (19,305,034 | ) | ||||
Unfunded commitments
|
(1,836,357 | ) | (2,935,288 | ) | ||||
Foreign currency translation
|
(2,210,401 | ) | 216,352 | |||||
(78,883,196 | ) | (196,990,751 | ) | |||||
Net unrealized appreciation during the period
|
118,107,555 | 127,622,573 | ||||||
Net realized and unrealized gain
|
69,518,882 | 131,737,998 | ||||||
Net increase in net assets from operations
|
$ | 101,114,813 | $ | 191,213,565 | ||||
* | See Note 2 in the Notes to Financial Statements |
Seven months
ended |
Year ended |
Year ended |
||||||||||
February 28, |
July 31, |
July 31, |
||||||||||
2011 | 2010 | 2009 | ||||||||||
Operations: |
||||||||||||
Net investment income
|
$ | 31,595,931 | $ | 59,475,567 | $ | 79,395,508 | ||||||
Net realized gain (loss)
|
(48,588,673 | ) | 4,115,425 | (202,553,963 | ) | |||||||
Net unrealized appreciation (depreciation) during the period
|
118,107,555 | 127,622,573 | (123,657,658 | ) | ||||||||
Change in net assets from operations
|
101,114,813 | 191,213,565 | (246,816,113 | ) | ||||||||
Distributions from net investment income
|
(44,400,565 | ) | (78,663,310 | ) | (100,106,883 | ) | ||||||
Net change in net assets from operations
|
56,714,248 | 112,550,255 | (346,922,996 | ) | ||||||||
From capital transactions: |
||||||||||||
Value of common shares issued through dividend reinvestment
|
-0- | 475,500 | -0- | |||||||||
Repurchase of shares
|
-0- | (322,626 | ) | -0- | ||||||||
Net change in net assets from capital transactions
|
-0- | 152,874 | -0- | |||||||||
Total increase (decrease) in net assets
|
56,714,248 | 112,703,129 | (346,922,996 | ) | ||||||||
Net assets: |
||||||||||||
Beginning of the period
|
927,103,914 | 814,400,785 | 1,161,323,781 | |||||||||
End of the period (including undistributed net investment income
(loss) of $(1,590,798), $38,507,343,and $(3,791,452)
respectively)
|
$ | 983,818,162 | $ | 927,103,914 | $ | 814,400,785 | ||||||
Seven months |
||||||||
ended |
Year ended |
|||||||
February 28, |
July 31, |
|||||||
2011 | 2010 | |||||||
Net increase in net assets from operations
|
$ | 101,114,813 | $ | 191,213,565 | ||||
Adjustments to reconcile the change in net assets from operations to net cash provided by operating activities: |
||||||||
Purchases of investments
|
(1,054,168,878 | ) | (723,983,814 | ) | ||||
Proceeds from sales of investments
|
1,086,179,405 | 662,083,279 | ||||||
Amortization of loan fees
|
(6,536,599 | ) | (2,516,498 | ) | ||||
Net loan fees
|
756,070 | (5,471 | ) | |||||
Accretion of discount
|
(9,986,297 | ) | (17,879,044 | ) | ||||
Net realized loss on investments
|
16,166,039 | 55,723,670 | ||||||
Net realized gain (loss) on foreign currency transactions
|
(1,504,310 | ) | 2,142,559 | |||||
Net change in unrealized appreciation (depreciation) on
investments
|
(117,849,104 | ) | (107,306,579 | ) | ||||
Decrease (increase) in interest receivables and other assets
|
1,097,998 | (1,518,370 | ) | |||||
(Decrease) in accrued expenses and other payables
|
(397,283 | ) | (1,188,901 | ) | ||||
Increase (decrease) in accrued interest expenses
|
67,268 | (88,655 | ) | |||||
Net change in unrealized appreciation (depreciation) on swap
agreements
|
14,846,727 | (18,405,312 | ) | |||||
Net change in upfront payments on swap contracts
|
(48,250 | ) | (355,500 | ) | ||||
Net change in unrealized appreciation (depreciation) on unfunded
commitments
|
(1,098,931 | ) | (2,371,378 | ) | ||||
Net cash provided by operating activities
|
28,638,668 | 35,543,551 | ||||||
Cash flows provided by (used in) financing activities |
||||||||
Proceeds from shares issued through dividend reinvestment
|
-0- | 475,500 | ||||||
Repurchased shares
|
-0- | (322,626 | ) | |||||
Dividend paid from net investment income
|
(44,547,844 | ) | (78,700,396 | ) | ||||
Amount due custodian
|
4,508,948 | 0 | ||||||
Net proceeds from and repayments of borrowings
|
28,500,000 | 38,500,000 | ||||||
Net cash provided by (used in) financing activities
|
(11,538,896 | ) | (40,047,522 | ) | ||||
Net change in cash
|
17,099,772 | (4,503,971 | ) | |||||
Cash and cash equivalents at the beginning of the period
|
19,152,276 | 23,656,247 | ||||||
Cash and cash equivalents at the end of the period
|
$ | 36,252,048 | $ | 19,152,276 | ||||
Supplemental disclosures of cash flow information |
||||||||
Cash paid during the year for interest
|
$ | 2,703,651 | $ | 4,995,322 | ||||
Non cash interest received during the period
|
$ | 704,010 | $ | 8,323,061 |
June 26, 2007 |
||||||||||||||||||||
(Commencement
of |
||||||||||||||||||||
Seven months
ended |
Operations) to |
|||||||||||||||||||
February 28, |
Year ended July 31, |
July 31, |
||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Net asset value, beginning of the period
|
$ | 12.53 | $ | 11.00 | $ | 15.69 | $ | 18.65 | $ | 19.10 | ||||||||||
Net investment
income(a)
|
0.43 | 0.80 | 1.07 | 1.44 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss)
|
0.93 | 1.79 | (4.41 | ) | (2.82 | ) | (0.53 | ) | ||||||||||||
Total income (loss) from investment operations
|
1.36 | 2.59 | (3.34 | ) | (1.38 | ) | (0.45 | ) | ||||||||||||
Less distributions from net investment income
|
(0.60 | ) | (1.06 | ) | (1.35 | ) | (1.58 | ) | -0- | |||||||||||
Net asset value, end of the period
|
$ | 13.29 | $ | 12.53 | $ | 11.00 | $ | 15.69 | $ | 18.65 | ||||||||||
Market value, end of the period
|
$ | 12.83 | $ | 11.94 | $ | 10.00 | $ | 13.30 | $ | 19.75 | ||||||||||
Total return at net asset
value(b)
|
11.30 | % | ||||||||||||||||||
Total return at market
value(c)
|
12.79 | % | 30.65 | % | (11.84 | )% | (25.46 | )% | (1.25 | )% | ||||||||||
Net assets, end of period (000s omitted)
|
$ | 983,818 | $ | 927,104 | $ | 814,401 | $ | 1,161,324 | $ | 1,379,846 | ||||||||||
Portfolio
turnover(e)(f)
|
88 | % | 56 | % | 36 | % | 43 | % | 0 | % | ||||||||||
Ratios/supplemental data based on average net assets:
|
||||||||||||||||||||
Ratio of expenses
|
2.22 | %(d)(i) | 2.29 | % | 3.76 | % | 2.78 | % | 1.54 | %(i) | ||||||||||
Ratio of expenses excluding interest expense
|
1.71 | %(d)(i) | 1.74 | % | 2.97 | % | 1.79 | % | 1.54 | %(i) | ||||||||||
Ratio of net investment income
|
5.72 | %(d)(i) | 6.56 | % | 10.42 | % | 8.38 | % | 4.58 | %(i) | ||||||||||
Senior indebtedness:
|
||||||||||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(g)
|
$ | 4,501 | $ | 4,672 | $ | 4,806 | $ | 3,277 | N/A | |||||||||||
Total borrowing outstanding (000s omitted)
|
$ | 281,000 | $ | 252,500 | $ | 214,000 | $ | 510,000 | $ | -0- | ||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles general accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Not annualized for period less than one year, if applicable. | |
(c) | Total return assumes an investment at the common share market price at the beginning of the period indicated, reinvestment of all distributions for the period in accordance with the Funds dividend reinvestment plan, and sale of all shares at the closing common share market price at the end of the period indicated. Not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average net assets applicable to common shares (000s omitted) of $950,951. | |
(e) | Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. | |
(f) | Portfolio turnover is not annualized for periods less than one year, if applicable. | |
(g) | Calculated by subtracting the Funds total liabilities (not including the borrowings) from the Funds total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. | |
(i) | Annualized |
A. | Security Valuations Senior secured floating rate loans and senior secured floating rate debt securities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution-size trading in similar groups of securities and other market data. | |
Securities, including restricted securities, are valued according to the following policy. A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market (but not securities reported on the NASDAQ Stock Exchange) are valued based on the prices furnished by independent pricing services, in which case the securities may be considered fair valued, or by market makers. Each security reported on the NASDAQ Stock Exchange is valued at the NASDAQ Official Closing Price (NOCP) as of the close of the customary trading session on the valuation date or absent a NOCP, at the closing bid price. | ||
Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and the ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (NYSE). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trade is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trusts officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a securitys fair value. |
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuers assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income Securities transactions and investment transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from the settlement date. Facility fees received are amortized over the life of the loan. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Funds net asset value and, accordingly, they reduce the Funds total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
Other income is compromised primarily of amendment fees which are recorded when received. Amendment fees are received in return for changes in the terms of a loan or note. | ||
C. | Country Determination For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuers securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions Distributions from income are declared daily and paid monthly. Distributions from net realized capital gain, if any, are generally paid annually and recorded on ex-dividend date. The Fund may elect to treat a portion of the proceeds from redemptions as distributions for federal income tax purposes. | |
E. | Federal Income Taxes The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Funds taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Accounting Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
G. | Indemnifications Under the Trusts organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Funds servicing agreements that contain a variety of indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
H. | Cash and Cash Equivalents For the purposes of the Statement of Cash Flows the Fund defines Cash and Cash Equivalents as cash (including foreign currency), money market funds and other investments held in lieu of cash and excludes investments made with cash collateral received. | |
I. | Securities Purchased on a When-Issued and Delayed Delivery Basis The Fund may purchase and sell interests in Corporate Loans and Corporate Debt Securities and other portfolio securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities prior to the settlement date. | |
J. | Foreign Currency Translations Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are |
included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | ||
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to lock in the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
L. | Swap Agreements The Fund may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (CDS) for investment purposes or to manage interest rate, currency or credit risk. | |
Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or swapped between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a basket of securities representing a particular index. | ||
A CDS is an agreement between two parties (Counterparties) to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the par value, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer par value or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. In the event of a default by the counterparty, the Fund will seek withdrawal of this collateral and may incur certain costs exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. | ||
Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied 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. | ||
Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. The Funds maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Funds exposure to the counterparty. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | ||
M. | Industry Concentration To the extent that the Fund is concentrated in securities of issuers in the banking and financial services industries, the Funds performance will depend to a greater extent on the overall condition of those industries. The value of these securities can be sensitive to changes in government regulation, interest rates and economic downturns in the U.S. and abroad. |
N. | Leverage Risk The Fund may utilize leverage to seek to enhance the yield of the Fund by borrowing or issuing preferred shares. There are risks associated with borrowing or issuing preferred shares in an effort to increase the yield and distributions on the common shares, including that the costs of the financial leverage may exceed the income from investments made with such leverage, the higher volatility of the net asset value of the common shares, and that fluctuations in the interest rates on the borrowing or dividend rates on preferred shares may affect the yield and distributions to the common shareholders. There can be no assurance that the Funds leverage strategy will be successful. | |
O. | Foreign Risk The Fund may invest in senior loans to borrowers that are organized or located in countries other than the United States. Investment in non-U.S. issuers involves special risks, including that non-U.S. issuers may be subject to less rigorous accounting and reporting requirements than U.S. issuers, less rigorous regulatory requirements, different legal systems and laws relating to creditors rights, the potential inability to enforce legal judgments and the potential for political, social and economic adversity. Investments by the Fund in non-U.S. dollar denominated investments will be subject to currency risk. The Fund also may hold non-U.S. dollar denominated senior loans or other securities received as part of a reorganization or restructuring. Trading in many foreign securities may be less liquid and more volatile than U.S. securities due to the size of the market or other factors. | |
P. | Bank Loan Risk Disclosures Although the resale, or secondary market for floating rate loans has grown substantially over the past decade, both in overall size and number of market participants, there is no organized exchange or board of trade on which floating rate loans are traded. Instead, the secondary market for floating rate loans is a private, unregulated interdealer or interbank resale market. Such a market may therefore be subject to irregular trading activity, wide bid/ask spreads, and extended trade settlement periods. Similar to other asset classes, bank loan funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
Q. | Other Risks The Fund may invest all or substantially of its assets in senior secured floating rate loans, senior secured debt securities or other securities rated below investment grade. These securities are generally considered to have speculative characteristics and are subject to greater risk of loss of principal and interest than higher rated securities. The value of lower quality debt securities and floating rate loans can be more volatile due to increased sensitivity to adverse issuer, political, regulatory, market or economic developments. | |
The Fund invests in Corporate Loans from U.S. or non-U.S. companies (the Borrowers). The investment of the Fund in a Corporate Loan may take the form of participation interests or assignments. If the Fund purchases a participation interest from a syndicate of lenders (Lenders) or one of the participants in the syndicate (Participant), one or more of which administers the loan on behalf of all the Lenders (the Agent Bank), the Fund would be required to rely on the Lender that sold the participation interest not only for the enforcement of the Funds rights against the Borrower but also for the receipt and processing of payments due to the Fund under the Corporate Loans. As such, the Fund is subject to the credit risk of the Borrower and the Participant. Lenders and Participants interposed between the Fund and a Borrower, together with Agent Banks, are referred to as Intermediate Participants. |
Level 1 | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Funds own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investment in an Asset Position
|
||||||||||||||||
Variable Rate Senior Loan Interests
|
$ | | $ | 921,607,500 | $ | 21,128,544 | $ | 942,736,044 | ||||||||
Notes
|
| 260,612,703 | 2,927,451 | 263,540,154 | ||||||||||||
Structured Product
|
2,272,188 | 2,272,188 | ||||||||||||||
Equities
|
21,865,137 | | 2,478,832 | 24,343,969 | ||||||||||||
Time Deposits
|
| 30,518,739 | | 30,518,739 | ||||||||||||
Forward Foreign Currency Contracts
|
| 512,385 | | 512,385 | ||||||||||||
Swap Agreements
|
| 6,496,568 | | 6,496,568 | ||||||||||||
Unfunded Commitments
|
| | | |||||||||||||
Total Investments in an Asset Position
|
$ | 21,865,137 | $ | 1,219,747,895 | $ | 28,807,015 | $ | 1,270,420,047 | ||||||||
Investment in a Liability Position
|
||||||||||||||||
Unfunded Commitments
|
| (1,836,357 | ) | | (1,836,357 | ) | ||||||||||
Forward Foreign Currency Contracts
|
| (1,380,814 | ) | | (1,380,814 | ) | ||||||||||
Swap Agreements
|
| (5,916,226 | ) | | (5,916,226 | ) | ||||||||||
Total Investments in a Liability Position
|
$ | | $ | (9,133,397 | ) | $ | | $ | (9,133,397 | ) | ||||||
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Credit risk
|
||||||||
Swap agreements
|
$ | 6,496,568 | $ | (5,916,226 | ) | |||
Currency risk
|
||||||||
Forward foreign currency contracts
|
512,385 | (1,380,814 | ) | |||||
Location of Gain
(Loss) on |
||||||||
Statement of Operations | ||||||||
Swap |
Foreign
Currency |
|||||||
Agreements* | Contracts** | |||||||
Realized Gain (Loss)
|
||||||||
Credit risk
|
$ | 3,921,214 | $ | -0- | ||||
Currency risk
|
-0- | (39,352,468 | ) | |||||
Change in Unrealized Appreciation (Depreciation)
|
||||||||
Credit risk
|
$ | 1,586,273 | $ | -0- | ||||
Currency risk
|
-0- | 18,436,604 | ||||||
Total
|
$ | 5,507,487 | $ | (20,915,864 | ) | |||
* | The average notional value of swap agreements during the period was $177,942,587. |
** | The cost of purchases and the proceeds from sales of forward foreign currency contracts were $1,297,675,256 and $1,297,675,256, respectively. |
Location of Gain
(Loss) on |
||||||||
Statement of Operations | ||||||||
Swap |
Foreign
Currency |
|||||||
Agreements | Contracts | |||||||
Realized Gain (Loss)
|
||||||||
Credit risk
|
$ | 11,093,361 | $ | -0- | ||||
Currency risk
|
-0- | 50,821,686 | ||||||
Change in Unrealized Appreciation (Depreciation)
|
||||||||
Credit risk
|
$ | 18,928,312 | $ | -0- | ||||
Currency risk
|
-0- | (16,703,580 | ) | |||||
Total
|
$ | 30,021,673 | $ | (34,118,106 | ) | |||
Change in |
||||||||||||||||||||||||||||
Unrealized |
Interest/ |
|||||||||||||||||||||||||||
Value |
Purchases |
Proceeds |
Appreciation |
Realized |
Value |
Dividend |
||||||||||||||||||||||
07/31/10 | at Cost | from Sales | (Depreciation) | Gain (Loss) | 02/28/11 | Income | ||||||||||||||||||||||
Targus Group International Inc. Note
|
$ | 1,538,831 | $ | -0- | $ | -0- | $ | (596 | ) | $ | -0- | $ | 1,538,235 | $ | 185,870 | |||||||||||||
Targus Group International Common Shares
|
162,274 | -0- | -0- | 16,851 | -0- | 179,125 | -0- | |||||||||||||||||||||
Total
|
$ | 1,701,105 | $ | -0- | $ | -0- | $ | 16,255 | -0- | $ | 1,717,360 | $ | 185,870 | |||||||||||||||
Change in |
||||||||||||||||||||||||||||
Unrealized |
Interest/ |
|||||||||||||||||||||||||||
Value |
Purchases |
Proceeds |
Appreciation |
Realized |
Value |
Dividend |
||||||||||||||||||||||
07/31/09 | at Cost | from Sales | (Depreciation) | Gain (Loss) | 07/31/10 | Income | ||||||||||||||||||||||
Axia, Inc. Warrants
|
$ | -0- | $ | -0- | $ | -0- | $ | -0- | $ | -0- | $ | -0- | $ | -0- | ||||||||||||||
Axia, Inc. Term Loan
|
1,565,677 | 441,173 | 5,833,557 | 3,826,707 | -0- | -0- | 39,890 | |||||||||||||||||||||
Targus Group International Inc. Note
|
-0- | 4,897,025 | -0- | (3,358,194 | ) | -0- | 1,538,831 | 97,032 | ||||||||||||||||||||
Targus Group International Inc. Common Shares
|
-0- | -0- | -0- | 162,274 | -0- | 162,274 | -0- | |||||||||||||||||||||
Total
|
$ | 1,565,677 | $ | 5,338,198 | $ | 5,833,557 | $ | 630,787 | -0- | $ | 1,701,105 | $ | 136,922 | |||||||||||||||
Unfunded |
Appreciation/ |
|||||||||
Description | Type | Commitments | Depreciation | |||||||
Axia Acquisition Corporation
|
Revolver | $ | 348,226 | $ | (15,670 | ) | ||||
Bright Horizons Family Solutions, Inc.
|
Revolver | 3,000,000 | (210,000 | ) | ||||||
Hicks Sporting Group, LLC
|
Term Loan | 31,762 | | |||||||
Community Health Systems, Inc.
|
Revolver | 10,000,000 | (587,183 | ) | ||||||
Graphic Packing International, Inc.
|
Revolver | 5,000,000 | (450,000 | ) | ||||||
Key Safety System, Inc.
|
Revolver | 122,500 | (7,301 | ) | ||||||
Lake at Las Vegas Joint Venture
|
Exit Revolver | 336,921 | (3,369 | ) | ||||||
Surgical Care Affiliates, Inc.
|
Revolver | 6,250,000 | (562,500 | ) | ||||||
White Birch Paper Co.
|
DIP Term Loan | 106,989 | (334 | ) | ||||||
$ | 25,196,398 | $ | (1,836,357 | ) | ||||||
Seven months
ended |
Year ended |
Year ended |
||||||||||
February 28, |
July 31, |
July 31, |
||||||||||
2011 | 2010 | 2009 | ||||||||||
Ordinary income
|
$ | 44,400,565 | $ | 78,663,310 | $ | 100,610,355 | ||||||
Long-term capital gain
|
-0- | -0- | -0- | |||||||||
Total distributions
|
$ | 44,400,565 | $ | 78,663,310 | $ | 100,610,355 | ||||||
2011 | ||||
Undistributed ordinary income
|
$ | 13,476,746 | ||
Net unrealized appreciation (depreciation)
investments
|
(104,089,920 | ) | ||
Net unrealized appreciation (depreciation) other
investments
|
7,710,952 | |||
Temporary book/tax differences
|
(560 | ) | ||
Post-October deferrals
|
(24,020,493 | ) | ||
Capital loss carryforward
|
(321,124,135 | ) | ||
Shares of beneficial interest
|
1,411,865,572 | |||
Total net assets
|
$ | 983,818,162 | ||
Capital Loss |
||||
Expiration | Carryforward* | |||
February 28, 2016
|
$ | 431,578 | ||
February 28, 2017
|
76,783,001 | |||
February 28, 2018
|
230,817,698 | |||
February 28, 2019
|
13,091,858 | |||
Total capital loss carryforward
|
$ | 321,124,135 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities
|
$ | 53,434,437 | ||
Aggregate unrealized (depreciation) of investment securities
|
(157,524,357 | ) | ||
Net unrealized depreciation of investment securities
|
$ | (104,089,920 | ) | |
Cost of investments for tax purposes is $1,367,501,014.
|
Seven months
ended |
Year ended |
Year ended |
||||||||||
February 28, |
July 31, |
July 31, |
||||||||||
2011 | 2010 | 2009 | ||||||||||
Beginning shares
|
74,013,275 | 74,005,236 | 74,005,236 | |||||||||
Shares issued through dividend reinvestment
|
-0- | 38,039 | -0- | |||||||||
Shares repurchased
|
-0- | (30,000 | ) | -0- | ||||||||
Ending shares
|
74,013,275 | 74,013,275 | 74,005,236 | |||||||||
Declaration Date | Amount per Share | Record Date | Payable Date | |||||||||
March 1, 2011
|
$ | 0.0857 | March 15, 2011 | March 31, 2011 | ||||||||
April 1, 2011
|
$ | 0.0725 | April 15, 2011 | April 29, 2011 | ||||||||
Federal and State Income
Tax
|
||||
Qualified Dividend Income*
|
0.00% | |||
Corporate Dividends Received Deduction*
|
0.00% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Funds fiscal year. |
(1) | Elect four Class III Trustees by the holders of the Common Shares, each of whom will serve for a three year term or until a successor has been duly elected and qualified. |
Votes |
||||||||||
Matter | Votes For | Withheld | ||||||||
(1)
|
R. Craig Kennedy | 65,366,579 | 2,139,168 | |||||||
Jack E. Nelson | 64,950,871 | 2,554,876 | ||||||||
Colin D. Meadows | 65,337,867 | 2,167,880 | ||||||||
Hugo F. Sonnenschein | 65,338,171 | 2,167,576 |
Number of | ||||||||||||
Funds in | ||||||||||||
Fund | ||||||||||||
Complex | ||||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||||
Interested Persons |
||||||||||||
Colin Meadows 1971 Trustee, President and Principal Executive Officer |
2010 | Chief Administrative Officer, Invesco Advisers, Inc., since 2006; Prior to 2006, Senior Vice President of business development and mergers and acquisitions at GE Consumer Finance; Prior to 2005, Senior Vice President of strategic planning and technology at Wells Fargo Bank; From 1996 to 2003, associate principal with McKinsey & Company, focusing on the financial services and venture capital industries, with emphasis in banking and asset management sectors. | 18 | None | ||||||||
Independent Trustees |
||||||||||||
Wayne M. Whalen1
1939 Trustee and Chair |
2007 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 227 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||||
David C. Arch 1945 Trustee |
2007 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 227 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||||
Jerry D. Choate 1938 Trustee |
2007 | From 1995 to 1999, Chairman and Chief Executive Officer of the Allstate Corporation (Allstate) and Allstate Insurance Company. From 1994 to 1995, President and Chief Executive Officer of Allstate. Prior to 1994, various management positions at Allstate. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Director since 1998 and member of the governance and nominating committee, executive committee, compensation and management development committee and equity award committee, of Amgen Inc., a biotechnological company. Director since 1999 and member of the nominating and governance committee and compensation and executive committee, of Valero Energy Corporation, a crude oil refining and marketing company. Previously, from 2006 to 2007, Director and member of the compensation committee and audit committee, of H&R Block, a tax preparation services company. | ||||||||
Rodney Dammeyer 1940 Trustee |
2007 | President of CAC, LLC,
a private company
offering capital
investment and
management advisory
services.
Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. |
227 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||||
1 | Mr. Whalen is considered an interested person (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||||
Funds in | ||||||||||||
Fund | ||||||||||||
Complex | ||||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||||
Independent Trustees |
||||||||||||
Linda Hutton Heagy 1948 Trustee |
2007 | Prior to June 2008, Managing Partner of Heidrick & Struggles, the second largest global executive search firm, and from 2001-2004, Regional Managing Director of U.S. operations at Heidrick & Struggles. Prior to 1997, Managing Partner of Ray & Berndtson, Inc., an executive recruiting firm. Prior to 1995, Executive Vice President of ABN AMRO, N.A., a bank holding company, with oversight for treasury management operations including all non-credit product pricing. Prior to 1990, experience includes Executive Vice President of The Exchange National Bank with oversight of treasury management including capital markets operations, Vice President of Northern Trust Company and an Associate at Price Waterhouse. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Prior to 2010, Trustee on the University of Chicago Medical Center Board, Vice Chair of the Board of the YMCA of Metropolitan Chicago and a member of the Womens Board of the University of Chicago. | ||||||||
R. Craig Kennedy 1952 Trustee |
2007 | Director and President of the German Marshall Fund of the United States, an independent U.S. foundation created to deepen understanding, promote collaboration and stimulate exchanges of practical experience between Americans and Europeans. Formerly, advisor to the Dennis Trading Group Inc., a managed futures and option company that invests money for individuals and institutions. Prior to 1992, President and Chief Executive Officer, Director and member of the Investment Committee of the Joyce Foundation, a private foundation. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Director of First Solar, Inc. | ||||||||
Howard J Kerr 1935 Trustee |
2007 | Retired. Previous member of the City Council and Mayor of Lake Forest, Illinois from 1988 through 2002. Previous business experience from 1981 through 1996 includes President and Chief Executive Officer of Pocklington Corporation, Inc., an investment holding company, President and Chief Executive Officer of Grabill Aerospace, and President of Custom Technologies Corporation. United States Naval Officer from 1960 through 1981, with responsibilities including Commanding Officer of United States Navy destroyers and Commander of United States Navy Destroyer Squadron Thirty-Three, White House experience in 1973 through 1975 as military aide to Vice Presidents Agnew and Ford and Naval Aid to President Ford, and Military Fellow on the Council of Foreign Relations in 1978-through 1979. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Director of the Lake Forest Bank & Trust. Director of the Marrow Foundation. | ||||||||
Jack E. Nelson 1936 Trustee |
2007 | President of Nelson Investment Planning Services, Inc., a financial planning company and registered investment adviser in the State of Florida. President of Nelson Ivest Brokerage Services Inc., a member of the Financial Industry Regulatory Authority (FINRA), Securities Investors Protection Corp. and the Municipal Securities Rulemaking Board. President of Nelson Sales and Services Corporation, a marketing and services company to support affiliated companies. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. | ||||||||
Hugo F. Sonnenschein 1940 Trustee |
2007 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 227 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||||
Suzanne H. Woolsey, Ph.D.
1941 Trustee |
2007 | Chief Communications Officer of the National Academy of Sciences and Engineering and Institute of Medicine/National Research Council, an independent, federally chartered policy institution, from 2001 to November 2003 and Chief Operating Officer from 1993 to 2001. Executive Director of the Commission on Behavioral and Social Sciences and Education at the National Academy of Sciences/National Research Council from 1989 to 1993. Prior to 1980, experience includes Partner of Coopers & Lybrand (from 1980 to 1989), Associate Director of the US Office of Management and Budget (from 1977 to 1980) and Program Director of the Urban Institute (from 1975 to 1977). | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Independent Director and audit committee chairperson of Changing World Technologies, Inc., an energy manufacturing company, since July 2008. Independent Director and member of audit and governance committees of Fluor Corp., a global engineering, construction and management company, since January 2004. Director of Intelligent Medical Devices, Inc., a private company which develops symptom-based diagnostic tools for viral respiratory infections. Advisory Board member of ExactCost LLC, a private company providing activity-based costing for hospitals, laboratories, clinics, and physicians, since 2008. | ||||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees |
||||||||||
Chairperson of the Board of Trustees of the Institute for Defense Analyses, afederally funded research and development center, since 2000. Trustee from 1992 to 2000 and 2002 to present, current chairperson of the finance committee, current member of the audit committee, strategic growth committee and executive committee, and former Chairperson of the Board of Trustees (from 1997 to 1999), of the German Marshall Fund of the United States, a public foundation. Lead Independent Trustee of the Rocky Mountain Institute, a non-profit energy and environmental institute; Trustee since 2004. Chairperson of the Board of Trustees of the Colorado College; Trustee since 1995. Trustee of California Institute of Technology. Previously, Independent Director and member of audit committee and governance committee of Neurogen Corporation from 1998 to 2006; and Independent Director of Arbros Communications from 2000 to 2002 | ||||||||||
Other Officers |
||||||||||
John M. Zerr 1962 Senior Vice President, Chief Legal Officer and Secretary |
2010 | Director, Senior Vice
President, Secretary
and General Counsel,
Invesco Management
Group, Inc. (formerly
known as Invesco Aim
Management Group,
Inc.), Van Kampen
Investments Inc. and
Van Kampen Exchange
Corp., Senior Vice
President, Invesco
Advisers, Inc.
formerly known as
Invesco Institutional
(N.A.), Inc.)
(registered investment
adviser); Senior Vice
President and
Secretary, Invesco
Distributors, Inc.
(formerly known as
Invesco Aim
Distributors, Inc.);
Director, Vice
President and
Secretary, Invesco
Investment Services,
Inc. (formerly known
as Invesco Aim
Investment Services,
Inc.) and IVZ
Distributors, Inc.
(formerly known as
INVESCO Distributors,
Inc.); Director and
Vice President,
INVESCO Funds Group,
Inc.; Senior Vice
President, Chief Legal
Officer and Secretary,
The Invesco Funds;
Manager, Invesco
PowerShares Capital
Management LLC;
Director, Secretary
and General Counsel,
Van Kampen Asset
Management; Director
and Secretary, Van
Kampen Advisors Inc.;
Secretary and General
Counsel, Van Kampen
Funds Inc.; and
Director, Vice
President, Secretary
and General Counsel,
Van Kampen Investor
Services Inc.; and
Chief Legal Officer,
PowerShares
Exchange-Traded Fund
Trust, PowerShares
Exchange-Traded Fund
Trust II, PowerShares
India Exchange-Traded
Fund Trust and
PowerShares Actively
Managed
Exchange-Traded Fund
Trust
Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) |
N/A | N/A | ||||||
Lisa O. Brinkley 1959 Vice President |
2010 | Global Compliance
Director, Invesco
Ltd.; Chief Compliance
Officer, Invesco
Distributors, Inc.
(formerly known as
Invesco Aim
Distributors, Inc.),
Invesco Investment
Services,
Inc.(formerly known as
Invesco Aim Investment
Services, Inc.) and
Van Kampen Investor
Services Inc.; and
Vice President, The
Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company |
N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers |
||||||||||
Karen Dunn Kelley 1960 Vice President |
2010 | Head of Invescos
World Wide Fixed
Income and Cash
Management Group;
Senior Vice President,
Invesco Advisers, Inc.
(formerly known as
Invesco Institutional
(N.A.), Inc.)
(registered investment
adviser) and Van
Kampen Investments
Inc.; Executive Vice
President, Invesco
Distributors, Inc.
(formerly known as
Invesco Aim
Distributors, Inc.);
Senior Vice President,
Invesco Management
Group, Inc. (formerly
known as Invesco Aim
Management Group,
Inc.); and Director,
Invesco Mortgage
Capital Inc.; Vice
President, The Invesco
Funds (other than AIM
Treasurers Series
Trust (Invesco
Treasurers Series
Trust) and Short-Term
Investments Trust);
President and
Principal Executive
Officer, The Invesco
Funds (AIM Treasurers
Series Trust (Invesco
Treasurers Series
Trust) and Short-Term
Investments Trust
only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurers Series Trust (Invesco Treasurers Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) |
N/A | N/A | ||||||
Sheri Morris 1964 Vice President, Principal Financial Officer and Treasurer |
2010 | Vice President,
Treasurer and
Principal Financial
Officer, The Invesco
Funds; and Vice
President, Invesco
Advisers, Inc.
(formerly known as
Invesco Institutional
(N.A.), Inc.)
(registered investment
adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. |
N/A | N/A | ||||||
Lance A. Rejsek 1967 Anti-Money Laundering Compliance Officer |
2010 | Anti-Money Laundering
Compliance Officer,
Invesco Advisers, Inc.
(formerly known as
Invesco Institutional
(N.A.), Inc.)
(registered investment
adviser); Invesco
Distributors, Inc.
(formerly known as
Invesco Aim
Distributors, Inc.),
Invesco Investment
Services, Inc.
(formerly known as
Invesco Aim Investment
Services, Inc.), The
Invesco Funds,
PowerShares
Exchange-Traded Fund
Trust, PowerShares
Exchange-Traded Trust
II, PowerShares India
Exchange-Traded Fund
Trust, PowerShares
Actively Managed
Exchange-Traded Fund
Trust, Van Kampen
Asset Management, Van
Kampen Investor
Services Inc., and Van
Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. |
N/A | N/A | ||||||
Todd L. Spillane 1958 Chief Compliance Officer |
2010 | Senior Vice President,
Invesco Management
Group, Inc. (formerly
known as Invesco Aim
Management Group,
Inc.), Van Kampen
Investments Inc. and
Van Kampen Exchange
Corp.; Senior Vice
President and Chief
Compliance Officer,
Invesco Advisers, Inc.
(registered investment
adviser) (formerly
known as Invesco
Institutional (N.A.),
Inc.); Chief
Compliance Officer,
The Invesco Funds,
PowerShares
Exchange-Traded Fund
Trust, PowerShares
Exchange-Traded Trust
II, PowerShares India
Exchange-Traded Fund
Trust, PowerShares
Actively Managed
Exchange-Traded Fund
Trust, INVESCO Private
Capital Investments,
Inc. (holding
company), and Invesco
Private Capital, Inc.
(registered investment
adviser); Vice
President, Invesco
Distributors, Inc.
(formerly known as
Invesco Aim
Distributors, Inc.),
Invesco Investment
Services, Inc.
(formerly known as
Invesco Aim Investment
Services, Inc.) and
Van Kampen Investor
Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company |
N/A | N/A | ||||||
Office of the Fund
|
Investment Adviser | Auditors | Custodian | |||
1555 Peachtree Street, N.E.
|
Invesco Advisers, Inc. | PricewaterhouseCoopers LLP | State Street Bank and Trust Company | |||
Atlanta, GA 30309
|
1555 Peachtree Street, N.E. | 1201 Louisiana Street, Suite 2900 | 225 Franklin | |||
Atlanta, GA 30309 | Houston, TX 77002-5678 | Boston, MA 02110-2801 | ||||
Counsel to the Fund
|
Transfer Agent | |||||
Skadden, Arps, Slate, Meagher & Flom , LLP |
Computershare Trust Company, N.A. | |||||
155 West Wacker Drive
|
P.O. Box 43078 | |||||
Chicago, IL 60606 |
Providence, RI 02940-3078 | |||||
T-4
VK-CE-DCO-AR-1 | Invesco Distributors, Inc. |
As of the end of the period covered by this report, the Registrant had adopted a code of ethics (the Code) that applies to the Registrants principal executive officer (PEO) and principal financial officer (PFO). There were no amendments to the Code during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the PEO or PFO during the period covered by this report. |
The Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its Audit Committee. The Audit Committee financial experts are Jerry D. Choate, Linda Hutton Heagy and R. Craig Kennedy. Jerry D. Choate, Linda Hutton Heagy and R. Craig Kennedy are independent within the meaning of that term as used in Form N-CSR. |
Percentage of Fees | Percentage of Fees | |||||||||||||||
Billed Applicable to | Billed Applicable to | |||||||||||||||
Non-Audit Services | Non-Audit Services | |||||||||||||||
Fees Billed for | Provided for fiscal | Fees Billed for | Provided for fiscal | |||||||||||||
Services Rendered to | year end 2/28/2011 | Services Rendered to | year end 7/31/2010 | |||||||||||||
the Registrant for | Pursuant to Waiver of | the Registrant for | Pursuant to Waiver of | |||||||||||||
fiscal year end | Pre-Approval | fiscal year end | Pre-Approval | |||||||||||||
2/28/2011 | Requirement(1) | 7/31/2010 | Requirement(1) | |||||||||||||
Audit Fees |
$ | 46,950 | N/A | $ | 62,600 | N/A | ||||||||||
Audit-Related Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(2) |
$ | 2,800 | 0 | % | $ | 6,000 | 0 | % | ||||||||
All Other Fees(3) |
$ | 1,667 | 0 | % | $ | 0 | 0 | % | ||||||||
Total Fees |
$ | 51,417 | 0 | % | $ | 68,600 | 0 | % |
(1) | With respect to the provision of non-audit services, the pre-approval requirement is waived pursuant to a de minimis exception if (i) such services were not recognized as non-audit services by the Registrant at the time of engagement, (ii) the aggregate amount of all such services provided is no more than 5% of the aggregate audit and non-audit fees paid by the Registrant to PWC during a fiscal year; and (iii) such services are promptly brought to the attention of the Registrants Audit Committee and approved by the Registrants Audit Committee prior to the completion of the audit. | |
(2) | Tax fees for the fiscal year end February 28, 2011 includes fees billed for reviewing tax returns. Tax fees for the fiscal year end July 31, 2010 includes fees billed for reviewing tax returns. | |
(3) | All Other fees for the fiscal year end February 28, 2011 includes fees billed for completing professional services related to benchmark analysis. |
Fees Billed for Non- | Fees Billed for Non- | |||||||||||||||
Audit Services | Audit Services | |||||||||||||||
Rendered to Invesco | Percentage of Fees | Rendered to Invesco | Percentage of Fees | |||||||||||||
and Invesco Affiliates | Billed Applicable to | and Invesco Affiliates | Billed Applicable to | |||||||||||||
for fiscal year end | Non-Audit Services | for fiscal year end | Non-Audit Services | |||||||||||||
2/28/2011 That Were | Provided for fiscal year | 7/31/2010 That Were | Provided for fiscal year | |||||||||||||
Required | end 2/28/2011 | Required | end 7/31/2010 | |||||||||||||
to be Pre-Approved | Pursuant to Waiver of | to be Pre-Approved | Pursuant to Waiver of | |||||||||||||
by the Registrants | Pre-Approval | by the Registrants | Pre-Approval | |||||||||||||
Audit Committee | Requirement(1) | Audit Committee | Requirement(1) | |||||||||||||
Audit-Related Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
All Other Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Total Fees(2) |
$ | 0 | 0 | % | $ | 0 | 0 | % |
(1) | With respect to the provision of non-audit services, the pre-approval requirement is waived pursuant to a de minimis exception if (i) such services were not recognized as non-audit services by the Registrant at the time of engagement, (ii) the aggregate amount of all such services provided is no more than 5% of the aggregate audit and non-audit fees paid by the Registrant, Invesco and Invesco Affiliates to PWC during a fiscal year; and (iii) such services are promptly brought to the attention of the Registrants Audit Committee and approved by the Registrants Audit Committee prior to the completion of the audit. | |
(2) | Including the fees for services not required to be pre-approved by the registrants audit committee, PWC billed Invesco and Invesco Affiliates aggregate non-audit fees of $0 for the fiscal year ended February 28, 2011, and $0 for the fiscal year ended July 31, 2010, for non-audit services rendered to Invesco and Invesco Affiliates. |
The Audit Committee also has considered whether the provision of non-audit services that were rendered to Invesco and Invesco Affiliates that were not required to be pre-approved pursuant to SEC regulations, if any, is compatible with maintaining PWCs independence. To the extent that such services were provided, the Audit Committee determined that the provision of such services is compatible with PWC maintaining independence with respect to the Registrant. |
1. | Describe in writing to the Audit Committees, which writing may be in the form of the proposed engagement letter: |
a. | The scope of the service, the fee structure for the engagement, and any side letter or amendment to the engagement letter, or any other agreement between the Auditor and the Fund, relating to the service; and | ||
b. | Any compensation arrangement or other agreement, such as a referral agreement, a referral fee or fee-sharing arrangement, between the Auditor and any person (other than the Fund) with respect to the promoting, marketing, or recommending of a transaction covered by the service; |
2. | Discuss with the Audit Committees the potential effects of the services on the independence of the Auditor; and | ||
3. | Document the substance of its discussion with the Audit Committees. |
| Bookkeeping or other services related to the accounting records or financial statements of the audit client | ||
| Financial information systems design and implementation | ||
| Appraisal or valuation services, fairness opinions, or contribution-in-kind reports | ||
| Actuarial services | ||
| Internal audit outsourcing services |
| Management functions | ||
| Human resources | ||
| Broker-dealer, investment adviser, or investment banking services | ||
| Legal services | ||
| Expert services unrelated to the audit | ||
| Any service or product provided for a contingent fee or a commission | ||
| Services related to marketing, planning, or opining in favor of the tax treatment of confidential transactions or aggressive tax position transactions, a significant purpose of which is tax avoidance | ||
| Tax services for persons in financial reporting oversight roles at the Fund | ||
| Any other service that the Public Company Oversight Board determines by regulation is impermissible. |
(a) | The registrant has a separately-designed standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. Members of the audit committee are: Jerry D. Choate, Linda Hutton Heagy and R. Craig Kennedy. | ||
(b) | Not applicable. |
Investments in securities of unaffiliated issuers is included as part of the reports to stockholders filed under Item 1 of this Form. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES. |
Applicable to
|
Retail Accounts | |
Risk Addressed by Policy
|
breach of fiduciary duty to client under Investment Advisers Act of 1940 by placing Invesco personal interests ahead of client best economic interests in voting proxies | |
Relevant Law and Other Sources
|
Investment Advisers Act of 1940 | |
Last Tested Date |
||
Policy/Procedure Owner
|
Advisory Compliance | |
Policy Approver
|
Fund Board | |
Approved/Adopted Date
|
January 1, 2010 |
January 2010 | I.2 1 |
| Elections of directors. In uncontested director elections for companies that do not have a controlling shareholder, Invesco votes in favor of slates if they are comprised of at least a majority of independent directors and if the boards key committees are fully independent. Key committees include the Audit, Compensation and Governance or Nominating Committees. Invescos standard of independence excludes directors who, in addition to the directorship, have any material business or family relationships with the companies they serve. |
January 2010 | I.2 2 |
Contested director elections are evaluated on a case-by-case basis and are decided within the context of Invescos investment thesis on a company. |
| Director performance. Invesco withholds votes from directors who exhibit a lack of accountability to shareholders, either through their level of attendance at meetings or by enacting egregious corporate-governance or other policies. In cases of material financial restatements, accounting fraud, habitually late filings, adopting shareholder rights plan (poison pills) without shareholder approval, or other areas of poor performance, Invesco may withhold votes from some or all of a companys directors. In situations where directors performance is a concern, Invesco may also support shareholder proposals to take corrective actions such as so-called clawback provisions. | ||
| Auditors and Audit Committee members. Invesco believes a companys Audit Committee has a high degree of responsibility to shareholders in matters of financial disclosure, integrity of the financial statements and effectiveness of a companys internal controls. Independence, experience and financial expertise are critical elements of a well-functioning Audit Committee. When electing directors who are members of a companys Audit Committee, or when ratifying a companys auditors, Invesco considers the past performance of the Committee and holds its members accountable for the quality of the companys financial statements and reports. | ||
| Majority standard in director elections. The right to elect directors is the single most important mechanism shareholders have to promote accountability. Invesco supports the nascent effort to reform the U.S. convention of electing directors, and votes in favor of proposals to elect directors by a majority vote. | ||
| Classified boards. Invesco supports proposals to elect directors annually instead of electing them to staggered multi-year terms because annual elections increase a boards level of accountability to its shareholders. | ||
| Supermajority voting requirements. Unless proscribed by law in the state of incorporation, Invesco votes against actions that would impose any supermajority voting requirement, and supports actions to dismantle existing supermajority requirements. | ||
| Responsiveness. Invesco withholds votes from directors who do not adequately respond to shareholder proposals that were approved by a majority of votes cast the prior year. | ||
| Cumulative voting. The practice of cumulative voting can enable minority shareholders to have representation on a companys board. Invesco supports proposals to institute the practice of cumulative voting at companies whose overall corporate-governance standards indicate a particular need to protect the interests of minority shareholders. |
January 2010 | I.2 3 |
| Shareholder access. On business matters with potential financial consequences, Invesco votes in favor of proposals that would increase shareholders opportunities to express their views to boards of directors, proposals that would lower barriers to shareholder action and proposals to promote the adoption of generally accepted best practices in corporate governance. |
| Executive compensation. Invesco evaluates compensation plans for executives within the context of the companys performance under the executives tenure. Invesco believes independent compensation committees are best positioned to craft executive-compensation plans that are suitable for their company-specific circumstances. We view the election of those independent compensation committee members as the appropriate mechanism for shareholders to express their approval or disapproval of a companys compensation practices. Therefore, Invesco generally does not support shareholder proposals to limit or eliminate certain forms of executive compensation. In the interest of reinforcing the notion of a compensation committees accountability to shareholders, Invesco supports proposals requesting that companies subject each years compensation record to an advisory shareholder vote, or so-called say on pay proposals. | ||
| Equity-based compensation plans. When voting to approve or reject equity-based compensation plans, Invesco compares the total estimated cost of the plans, including stock options and restricted stock, against a carefully selected peer group and uses multiple performance metrics that help us determine whether the incentive structures in place are creating genuine shareholder wealth. Regardless of a plans estimated cost relative to its peer group, Invesco votes against plans that contain structural features that would impair the alignment of incentives between shareholders and management. Such features include the ability to reprice or reload options without shareholder approval, the ability to issue options below the stocks current market price, or the ability to automatically replenish shares without shareholder approval. |
January 2010 | I.2 4 |
| Employee stock-purchase plans. Invesco supports employee stock-purchase plans that are reasonably designed to provide proper incentives to a broad base of employees, provided that the price at which employees may acquire stock is at most a 15 percent discount from the market price. | ||
| Severance agreements. Invesco generally votes in favor of proposals requiring advisory shareholder ratification of executives severance agreements. However, we oppose proposals requiring such agreements to be ratified by shareholders in advance of their adoption. |
January 2010 | I.2 5 |
January 2010 | I.2 6 |
January 2010 | I.2 7 |
January 2010 | I.2 8 |
| Scott Baskind, Portfolio Manager, who has been responsible for the Fund since 2010 and has been associated with Invesco Senior Secured and/or its affiliates since 1999. | ||
| Gregory Stoekle, Portfolio Manager, who has been responsible for the Fund since 2010 and has been associated with Invesco Senior Secured and/or its affiliates since 1999. | ||
| Phillip Yarrow, Portfolio Manager, who has been responsible for the Fund since 2007 and has been associated with Invesco Senior Secured and/or its affiliates since 2010. From 2005 to 2010 and prior to joining Invesco Senior Secured, Mr. Yarrow was an Executive Director with Morgan Stanley. | ||
| Richard Furst, Portfolio Manager, who has been responsible for the Fund since 2007 and has been associated with Avenue Europe and/or its affiliates since 2004. | ||
| Raul Ramirez, Portfolio Manager, who has been responsible for the Fund since 2007 and has been associated with Avenue Europe and/or its affiliates since 2006. |
Dollar Range | Other Registered | Other Pooled | ||||||||||||
of | Investment Companies | Investment Vehicles | Other Accounts | |||||||||||
Portfolio | Investments | Managed (assets in | Managed (assets in | Managed | ||||||||||
Manager | in Each Fund1 | millions) | millions) | (assets in millions) | ||||||||||
Number | Number | Number | ||||||||||||
of | of | of | ||||||||||||
Accounts | Assets | Accounts | Assets | Accounts | Assets | |||||||||
Invesco Van Kampen Dynamic Credit Opportunities Fund | ||||||||||||||
Scott Baskind |
None | None | None | 22 | $1,290.12 | 23 | $668.13 | |||||||
Gregory Stoekle |
None | 4 | $4,227.3 | 274 | $10,661.84 | 45 | $2,057.75 | |||||||
Phillip Yarrow |
None | 3 | $3,534.2 | None | None | None | None | |||||||
Richard Furst |
None | 1 | $134.9 | 146 | $3,349.56 | None | None | |||||||
Raul Ramirez |
None | 1 | $134.9 | 146 | $3,349.56 | None | None |
1 | This column reflects investments in a Funds shares owned directly by a portfolio manager or beneficially owned by a portfolio manager (as determined in accordance with Rule 16a-1(a) (2) under the Securities Exchange Act of 1934, as amended). A portfolio manager is presumed to be a beneficial owner of securities that are held by his or her immediate family members sharing the same household. | |
2 | This amount includes 1 fund that pays performance-based fees with $368.7 M in total assets under management. | |
3 | This amount includes 2 funds that pay performance-based fees with $668.1 M in total assets under management. |
Ø | The management of multiple Funds and/or other accounts may result in a portfolio manager devoting unequal time and attention to the management of each Fund and/or other account. The Adviser and each Sub-Adviser seek to manage such competing interests for the time and attention of portfolio managers by having portfolio managers focus on a particular investment discipline. Most other accounts managed by a portfolio manager are managed using the same investment models that are used in connection with the management of the Funds. | |
Ø | If a portfolio manager identifies a limited investment opportunity which may be suitable for more than one Fund or other account, a Fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible Funds and other accounts. To deal with these situations, the Adviser, each Sub-Adviser and the Funds have adopted procedures for allocating portfolio transactions across multiple accounts. | |
Ø | The Adviser and each Sub-Adviser determine which broker to use to execute each order for securities transactions for the Funds, consistent with its duty to seek best execution of the transaction. However, for certain other accounts (such as mutual funds for which Invesco or an affiliate acts as sub-adviser, other pooled investment vehicles that are not registered mutual funds, and other accounts managed for organizations and individuals), the Adviser and each Sub-Adviser may be limited by the client with respect to the selection of brokers or may be instructed to direct trades through a particular broker. In these cases, trades for a Fund in a particular security may be placed separately from, rather than aggregated with, such other accounts. Having separate transactions with respect to a security may temporarily affect the market price of the security or the execution of the transaction, or both, to the possible detriment of the Fund or other account(s) involved. | |
Ø | Finally, the appearance of a conflict of interest may arise where the Adviser or Sub-Adviser has an incentive, such as a performance-based management fee, which relates to the management of one Fund or account but not all Funds and accounts for which a portfolio manager has day-to-day management responsibilities. |
4 | This amount includes 19 funds that pay performance-based fees with $5,008.4 M in total assets under management. | |
5 | This amount includes 3 funds that pay performance-based fees with $2,057.7 M in total assets under management. | |
6 | This amount includes 14 funds that pay performance-based fees with $3,349.5 M in total assets under management. |
Sub-Adviser | Performance time period7 | |
Invesco 8,9,10
|
One-, Three- and Five-year performance against Fund peer group. | |
Invesco Australia |
||
Invesco Deutschland |
||
Invesco Senior Secured
|
N/A | |
Invesco Trimark8
|
One-year performance against Fund peer group. Three- and Five-year performance against entire universe of Canadian funds. |
|
Invesco Hong Kong8
Invesco Asset Management
|
One-, Three- and Five-year performance against Fund peer group. | |
Invesco Japan11
|
One-, Three- and Five-year performance against the appropriate Micropol benchmark. |
7 | Rolling time periods based on calendar year-end. | |
8 | Portfolio Managers may be granted a short-term award that vests on a pro-rata basis over a four year period and final payments are based on the performance of eligible Funds selected by the portfolio manager at the time the award is granted. | |
9 | Portfolio Managers for Invesco Global Real Estate Fund, Invesco Real Estate Fund, Invesco Select Real Estate Income Fund and Invesco V.I. Global Real Estate Fund base their bonus on new operating profits of the U.S. Real Estate Division of Invesco. | |
10 | Portfolio Managers for Invesco Balanced Fund, Invesco Basic Balanced Fund, Invesco Basic Value Fund, Invesco Fundamental Value Fund, Invesco Large Cap Basic Value Fund, Invesco Large Cap Relative Value Fund, Invesco Mid Cap Basic Value Fund, Invesco Mid-Cap Value Fund, Invesco U.S. Mid Cap Value Fund, Invesco Value Fund, Invesco Value II Fund, Invesco V.I. Basic Balanced Fund, Invesco V.I. Basic Value Fund, Invesco V.I. Select Dimensions Balanced Fund, Invesco V.I. Income Builder Fund, Invesco Van Kampen American Value Fund, Invesco Van Kampen Comstock Fund, Invesco Van Kampen Equity and Income Fund, Invesco Van Kampen Growth and Income Fund, Invesco Van Kampen Value Opportunities Fund, Invesco Van Kampen V.I. Comstock Fund, Invesco Van Kampen V.I. Growth and Income Fund, Invesco Van Kampen V.I. Equity and Income Fund, Invesco Van Kampen V.I. Mid Cap Value Fund and Invesco Van Kampen V.I. Value Funds compensation is based on the one-, three- and five-year performance against the Funds peer group. Furthermore, for the portfolio manager(s) formerly managing the predecessor funds to the Funds in this footnote 10, they also have a ten-year performance measure. | |
11 | Portfolio Managers for Invesco Pacific Growth Funds compensation is based on the one-, three- and five-year performance against the appropriate Micropol benchmark. Furthermore, for the portfolio manager(s) formerly managing the predecessor fund to Invesco Pacific Growth Fund, they also have a ten-year performance measure. |
| for floating rate obligations, LIBOR plus 650 basis points, EUROLIBOR plus 650 basis points, and Sterling LIBOR plus basis points, as applicable; and | ||
| for fixed rate obligations, current US Treasury plus 650 basis points, Bundes Obligationen (OBL) plus 650 basis points, Bundes Republic Deutschland (DBR) plus 650 basis points, Bundes Schatzanweisungen (BKO) plus 650 basis points and UK Gilt rates plus basis points, as applicable, depending upon the currency and term of the investment. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
(a) | As of March 21, 2011, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the PEO and 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 (the Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of March 21, 2011, the Registrants disclosure controls and procedures were reasonably designed to ensure: (1) that information required to be disclosed by the Registrant on Form N-CSR 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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
12(a) (1)
|
Code of Ethics. | |
12(a) (2)
|
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. | |
12(a) (3)
|
Not applicable. | |
12(b)
|
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Investment Company Act of 1940. |
Registrant: Invesco Van Kampen Dynamic Credit Opportunities Fund | ||||
By:
|
/s/ Colin Meadows | |||
Principal Executive Officer | ||||
Date:
|
May 13, 2011 |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
May 13, 2011 | |||
By:
|
/s/ Sheri Morris | |||
Principal Financial Officer | ||||
Date:
|
May 13, 2011 |
12(a)(1)
|
Code of Ethics. | |
12(a)(2)
|
Certifications of principal executive officer and principal Financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. | |
12(a)(3)
|
Not applicable. | |
12(b)
|
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Investment Company Act of 1940. |