OMB APPROVAL | ||
OMB Number: 3235-0578 | ||
Expires: April 30, 2013 | ||
Estimated average burden | ||
hours per response: 5.6 | ||
1555 Peachtree Street, N.E., Atlanta, Georgia | 30309 | |
(Address of principal executive offices) | (Zip code) |
invesco.com/us | VK-CE-DCO-QTR-1 05/11 | Invesco Advisers, Inc. |
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Variable Rate** Senior Loan Interests 92.5% |
||||||||||||||
Aerospace & Defense 1.5% |
||||||||||||||
$ | 2,268 | ARINC Inc. Second Lien Term
Loan |
6.200 | % | 10/25/15 | $ | 2,211,392 | |||||||
1,377 | DynCorp International, LLC
Term Loan B |
6.250 | 07/05/16 | 1,388,426 | ||||||||||
4,574 | IAP Worldwide Services, Inc.
Term Loan (a) |
8.250 | 12/30/12 | 4,578,373 | ||||||||||
3,111 | Sequa Corp. Term Loan |
3.500 | 12/03/14 | 3,076,533 | ||||||||||
758 | SI Organization, Inc. New Term
Loan B |
4.500 | 11/22/16 | 764,712 | ||||||||||
1,001 | TASC, Inc. New Term Loan B |
4.500 | 12/18/15 | 1,006,204 | ||||||||||
1,384 | Wyle Services Corp. Term Loan
B |
5.750 | 03/27/17 | 1,390,147 | ||||||||||
14,415,787 | ||||||||||||||
Air Transport 0.5% |
||||||||||||||
1,765 | Delta Air Lines, Inc. New Term
Loan B |
5.500 | 04/20/17 | 1,749,405 | ||||||||||
3,153 | Delta Air Lines, Inc. Term Loan
B |
4.250 | 03/07/16 | 3,099,278 | ||||||||||
4,848,683 | ||||||||||||||
Automotive 2.5% |
||||||||||||||
9,774 | Federal-Mogul Corp. Term Loan
B |
2.150 | 12/29/14 | 9,439,123 | ||||||||||
323 | Federal-Mogul Corp. Term Loan
C |
2.140 | 12/28/15 | 311,588 | ||||||||||
681 | Ford Motor Co. Term Loan B1 |
2.950 | 12/16/13 | 681,983 | ||||||||||
901 | Goodyear Tire & Rubber Co.
Second Lien Term Loan |
1.940 | 04/30/14 | 880,149 | ||||||||||
849 | Hertz Corp. New Synthetic LC |
3.750 | 03/09/18 | 837,977 | ||||||||||
3,038 | Hertz Corp. Term Loan B |
3.750 | 03/09/18 | 3,042,078 | ||||||||||
4,247 | KAR Auction Services, Inc. Term
Loan B |
5.000 | 05/19/17 | 4,281,338 |
1
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Automotive (continued) |
||||||||||||||
$ | 1,546 | Key Safety Systems, Inc. First
Lien Term Loan |
2.442 | % | 03/08/14 | $ | 1,467,113 | |||||||
1,878 | Key Safety Systems, Inc.
Revolving Credit Agreement (e) |
2.687 | 03/08/13 | 1,722,569 | ||||||||||
1,018 | Metaldyne Co., LLC New Term
Loan B |
5.250 | 05/18/17 | 1,021,098 | ||||||||||
400 | Tomkins LLC Term Loan B |
4.250 | 09/29/16 | 401,622 | ||||||||||
24,086,638 | ||||||||||||||
Beverage & Tobacco 1.0% |
||||||||||||||
10,000 | DSW Holdings, Inc. Term Loan |
4.191 | 03/02/12 | 9,575,000 | ||||||||||
356 | Green Mountain Coffee
Roasters, Inc. Term Loan B |
5.500 | 12/16/16 | 356,947 | ||||||||||
9,931,947 | ||||||||||||||
Building & Development 3.3% |
||||||||||||||
176 | Axia Acquisition Corp. Second
Lien Term Loan A (a) |
11.000 | 03/11/16 | 153,656 | ||||||||||
324 | Axia Acquisition Corp. Second
Lien Term Loan B (a) |
5.000 | 03/12/16 | 267,197 | ||||||||||
961 | Building Materials Holding Corp.
Second Lien Term
Loan (a) |
8.000 | 01/05/15 | 862,862 | ||||||||||
6,673 | Capital Automotive, LP New
Term Loan B |
5.000 | 03/10/17 | 6,674,622 | ||||||||||
150 | CB Richard Ellis Services, Inc.
New Term Loan B |
3.454 | 11/06/16 | 150,140 | ||||||||||
853 | CPG International, Inc. New Term
Loan B |
6.000 | 02/18/17 | 857,808 | ||||||||||
710 | Custom Building Products, Inc.
Term Loan B |
5.750 | 03/19/15 | 714,748 |
2
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Building & Development (continued) |
||||||||||||||
$ | 2,000 | El Ad IDB Las Vegas, LLC Term
Loan A2 |
4.206 | % | 08/09/12 | $ | 900,000 | |||||||
948 | Ginn LA CS Borrower, LLC First
Lien Term A Credit Linked (b) |
7.750 | 06/08/11 | 78,188 | ||||||||||
2,032 | Ginn LA CS Borrower, LLC First
Lien Term Loan (b) |
6.196 | 06/08/11 | 167,606 | ||||||||||
4,500 | Ginn LA CS Borrower, LLC
Second Lien Term Loan (b) |
10.196 | 06/08/12 | 22,500 | ||||||||||
2,382 | Kyle Acquisition Group, LLC
Term Loan B (b)(d) |
5.750 | 07/20/09 | 262,067 | ||||||||||
2,618 | Kyle Acquisition Group, LLC
Term Loan C (b) |
4.000 | 07/20/11 | 287,933 | ||||||||||
317 | Lake At Las Vegas Joint Venture
Exit Revolving Credit
Agreement (a)(e) |
15.000 | 12/31/12 | 314,238 | ||||||||||
1,660 | NLV Holdings, LLC Second Lien Term
Loan (a)(b)(j) |
5.250 | 05/09/12 | 12,531 | ||||||||||
849 | Nortek, Inc. Term Loan |
5.250 | 04/26/17 | 852,683 | ||||||||||
952 | Realogy Corp. Extended Letter
of Credit |
4.400 | 10/10/16 | 888,212 | ||||||||||
16,885 | Realogy Corp. Extended Term
Loan |
4.518 | 10/10/16 | 15,754,335 | ||||||||||
1,116 | Realogy Corp. Letter of Credit |
3.244 | 10/10/13 | 1,066,325 | ||||||||||
1,053 | Realogy Corp. Term Loan |
3.257 | 10/10/13 | 1,006,382 | ||||||||||
405 | Rhodes Homes New Term Loan (a) |
5.307 | 03/31/16 | 326,815 | ||||||||||
1,008 | Tamarack Resorts, LLC Credit
Lined Note A (b)(d) |
8.051 | 05/19/11 | 30,227 | ||||||||||
209 | Tamarack Resorts, LLC Term
Loan (b)(d) |
20.250 | 07/02/09 | 188,007 | ||||||||||
1,489 | Tamarack Resorts, LLC Term
Loan B (b)(d) |
7.500 | 05/19/11 | 44,660 |
3
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Building & Development (continued) |
||||||||||||||
$ | 294 | WCI Communities, Inc. PIK
Term Loan (a) |
10.000 | % | 09/02/16 | $ | 286,639 | |||||||
32,170,381 | ||||||||||||||
Business Equipment & Services 6.2% |
||||||||||||||
5,100 | Affinion Group, Inc. Term Loan B |
5.000 | 10/10/16 | 5,110,481 | ||||||||||
6,284 | Asurion Corp. New First Lien
Term Loan |
5.500 | 05/24/18 | 6,239,718 | ||||||||||
2,497 | Asurion Corp. New Second Lien
Term Loan |
9.000 | 05/24/19 | 2,527,470 | ||||||||||
100 | Bright Horizons Family
Solutions, Inc. Revolving
Credit Agreement (e) |
5.500 | 05/28/14 | 99,921 | ||||||||||
1,141 | Bright Horizons Family
Solutions, Inc. Term Loan B |
7.500 | 05/28/15 | 1,146,263 | ||||||||||
1,485 | Brock Holdings III, Inc. New
Term Loan B |
6.000 | 03/16/17 | 1,497,250 | ||||||||||
342 | CCC Information Services, Inc.
Term Loan B |
5.500 | 11/11/15 | 344,929 | ||||||||||
1,826 | First Data Corp. Delayed Draw
Term Loan |
2.945 | 09/24/14 | 1,709,144 | ||||||||||
1,563 | First Data Corp. Extended
Term Loan B |
4.195 | 03/23/18 | 1,462,367 | ||||||||||
12,924 | First Data Corp. Term Loan B1 |
2.945 | 09/24/14 | 12,123,494 | ||||||||||
7,193 | First Data Corp. Term Loan B2 |
2.945 | 09/24/14 | 6,749,640 | ||||||||||
3,352 | First Data Corp. Term Loan B3 |
2.945 | 09/24/14 | 3,142,421 | ||||||||||
1,477 | Interactive Data Corp. Term
Loan B |
4.750 | 02/12/18 | 1,482,865 | ||||||||||
1,739 | iPayment, Inc. Term Loan B |
5.750 | 05/08/17 | 1,751,584 | ||||||||||
1,451 | Kronos, Inc. Second Lien Term
Loan |
6.057 | 06/11/15 | 1,421,837 | ||||||||||
3,654 | Mitchell International, Inc.
Second Lien Term Loan |
5.563 | 03/30/15 | 3,382,566 |
4
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Business Equipment & Services (continued) |
||||||||||||||
$ | 5,017 | NCO Financial Systems Term
Loan B |
8.000 | % | 05/15/13 | $ | 5,001,659 | |||||||
3,777 | SMG Holdings, Inc. Term Loan
B |
3.330 | 07/27/14 | 3,680,471 | ||||||||||
413 | SunGard Data Systems, Inc.
Add on Term Loan |
3.710 | 02/28/14 | 414,630 | ||||||||||
1,423 | SunGard Data Systems, Inc.
Term Loan B |
3.870 | 02/26/16 | 1,429,488 | ||||||||||
26 | Verint Systems, Inc. Term Loan |
4.500 | 10/27/17 | 25,656 | ||||||||||
209 | Vertafore, Inc. Term Loan |
5.250 | 07/29/16 | 210,214 | ||||||||||
60,954,068 | ||||||||||||||
Cable & Satellite Television 2.2% |
||||||||||||||
7,073 | Charter Communications
Operating, LLC Extended
Term Loan |
3.560 | 09/06/16 | 7,091,226 | ||||||||||
5,000 | Charter Communications
Operating, LLC Third Lien
Term Loan |
2.691 | 09/06/14 | 4,955,000 | ||||||||||
3,925 | Knology, Inc. Term Loan B |
4.000 | 08/18/17 | 3,937,109 | ||||||||||
891 | Mediacom Illinois, LLC Term
Loan F |
4.500 | 10/23/17 | 893,626 | ||||||||||
2,494 | Mediacom LLC Term Loan E |
4.500 | 10/23/17 | 2,496,836 | ||||||||||
1,909 | Midcontinent Communications
New Term Loan B |
4.000 | 12/30/16 | 1,919,704 | ||||||||||
329 | NDS Finance Limited New Term
Loan B |
4.000 | 03/12/18 | 330,200 | ||||||||||
| 304 | UPC Broadband Holding, B.V.
Term Loan T (Netherlands) |
3.711 | 12/30/16 | 304,243 | |||||||||
21,927,944 | ||||||||||||||
Chemicals & Plastics 4.8% |
||||||||||||||
1,179 | Armored Autogroup Inc. Term
Loan B |
6.000 | 11/04/16 | 1,183,484 |
5
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Chemicals & Plastics (continued) |
||||||||||||||
$ | 5,000 | Brenntag Holding GmbH & Co.
Second Lien Term Loan
(Germany) |
6.433 | % | 07/17/15 | $ | 5,029,175 | |||||||
1,459 | Houghton International, Inc. New
Term Loan B |
6.750 | 01/29/16 | 1,470,454 | ||||||||||
| 6,857 | Ineos Holdings Limited Term
Loan B1 (United Kingdom) |
7.501 | 12/16/13 | 10,343,830 | |||||||||
| 7,685 | Ineos Holdings Limited Term
Loan C1 (United Kingdom) |
8.001 | 12/16/14 | 11,648,177 | |||||||||
3,837 | MetoKote Corp. Term Loan
Refinance |
9.000 | 11/27/11 | 3,827,001 | ||||||||||
1,401 | Momentive Specialty Chemicals,
Inc. Extended Term Loan C4 |
4.062 | 05/05/15 | 1,402,747 | ||||||||||
4,827 | Momentive Specialty Chemicals,
Inc. Extended Term Loan C5 |
4.063 | 05/05/15 | 4,827,047 | ||||||||||
1,142 | Nusil Technology, LLC New
Term Loan |
5.250 | 04/07/17 | 1,147,216 | ||||||||||
251 | OMNOVA Solutions, Inc. Term
Loan B |
5.750 | 05/31/17 | 253,734 | ||||||||||
470 | Potters Holdings II, LP First Lien
Term Loan |
6.000 | 05/05/17 | 472,931 | ||||||||||
1,528 | PQ Corp. Term Loan B |
3.510 | 07/30/14 | 1,495,816 | ||||||||||
4,179 | Univar, Inc. Term Loan B |
5.000 | 06/30/17 | 4,186,588 | ||||||||||
47,288,200 | ||||||||||||||
Clothing/Textiles 0.5% |
||||||||||||||
5,000 | Levi Strauss & Co. Term Loan |
2.442 | 03/27/14 | 4,916,675 | ||||||||||
Conglomerates 0.9% |
||||||||||||||
4,511 | Goodman Global Holdings, Inc.
First Lien Term Loan |
5.750 | 10/28/16 | 4,550,765 | ||||||||||
335 | Goodman Global Holdings, Inc.
Second Lien Term Loan |
9.000 | 10/30/17 | 346,303 |
6
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Conglomerates (continued) |
||||||||||||||
$ | 167 | RGIS Holdings LLC Delayed
Draw Term Loan |
2.805 | % | 04/30/14 | $ | 164,734 | |||||||
3,349 | RGIS Holdings LLC Term Loan
B |
2.807 | 04/30/14 | 3,294,681 | ||||||||||
8,356,483 | ||||||||||||||
Containers & Glass Products 2.6% |
||||||||||||||
3,206 | Anchor Glass Container Corp.
First Lien Term Loan |
6.000 | 03/02/16 | 3,235,284 | ||||||||||
1,350 | Anchor Glass Container Corp.
Second Lien Term Loan |
10.000 | 09/02/16 | 1,384,033 | ||||||||||
3,000 | Berlin Packaging, LLC Second
Lien Term Loan |
6.738 | 08/17/15 | 2,557,500 | ||||||||||
5,807 | Berlin Packaging, LLC Term
Loan |
3.260 | 08/17/14 | 5,694,935 | ||||||||||
2,649 | Berry Plastics Group, Inc. Term
Loan C |
2.260 | 04/03/15 | 2,552,055 | ||||||||||
314 | BWAY Corp. Term Loan B |
4.500 | 02/23/18 | 315,608 | ||||||||||
28 | BWAY Corp. Term Loan C |
4.500 | 02/23/18 | 28,021 | ||||||||||
4,784 | Graham Packaging Co., L.P.
Term Loan C |
6.750 | 04/05/14 | 4,808,566 | ||||||||||
1,522 | Graham Packaging Co., L.P.
Term Loan D |
6.000 | 09/23/16 | 1,530,389 | ||||||||||
470 | Ranpak Corp. Term Loan |
4.750 | 04/20/17 | 472,942 | ||||||||||
2,750 | Reynolds Group Holdings Inc.
Term Loan E |
4.250 | 02/09/18 | 2,755,580 | ||||||||||
25,334,913 | ||||||||||||||
Cosmetics/Toiletries 1.0% |
||||||||||||||
912 | Huish Detergents, Inc. Term
Loan B |
2.200 | 04/26/14 | 881,385 | ||||||||||
196 | KIK Custom Products, Inc.
Canadian Term Loan |
2.530 | 06/02/14 | 173,872 |
7
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Cosmetics/Toiletries (continued) |
||||||||||||||
$ | 1,145 | KIK Custom Products, Inc. First
Lien Term Loan |
2.530 | % | 06/02/14 | $ | 1,014,250 | |||||||
7,000 | KIK Custom Products, Inc.
Second Lien Term Loan |
5.273 | 11/30/14 | 5,244,995 | ||||||||||
1,194 | Marietta Intermediate Holding
Corp. Term Loan B (a) |
8.000 | 02/19/15 | 1,086,178 | ||||||||||
1,065 | Prestige Brands, Inc. Term Loan
B |
4.750 | 03/24/16 | 1,072,745 | ||||||||||
9,473,425 | ||||||||||||||
Drugs 0.7% |
||||||||||||||
3,711 | Grifols Inc. Term Loan B |
6.000 | 11/23/16 | 3,750,165 | ||||||||||
750 | Nyco Holdings 2 Aps Term Loan
B2 (Denmark) |
3.941 | 12/29/14 | 747,753 | ||||||||||
750 | Nyco Holdings 2 Aps Term Loan
C2 (Denmark) |
4.691 | 12/29/15 | 751,911 | ||||||||||
89 | Nyco Holdings 3 Aps Facility A1
(Denmark) |
3.191 | 12/29/13 | 88,954 | ||||||||||
460 | Nyco Holdings 3 Aps Facility A2
(Denmark) |
3.191 | 12/29/13 | 459,071 | ||||||||||
14 | Nyco Holdings 3 Aps Facility A3
(Denmark) |
3.191 | 12/29/13 | 14,324 | ||||||||||
9 | Nyco Holdings 3 Aps Facility A4
(Denmark) |
3.191 | 12/29/13 | 9,125 | ||||||||||
65 | Nyco Holdings 3 Aps Facility A5
(Denmark) |
3.191 | 12/29/13 | 64,518 | ||||||||||
553 | Warner Chilcott Co., LLC New
Term Loan B1 |
4.250 | 03/15/18 | 555,260 | ||||||||||
277 | Warner Chilcott Co., LLC New
Term Loan B2 |
4.250 | 03/15/18 | 277,630 | ||||||||||
380 | Warner Chilcott Co., LLC New
Term Loan B3 |
4.250 | 03/15/18 | 381,742 | ||||||||||
7,100,453 | ||||||||||||||
8
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Ecological Services & Equipment 1.7% |
||||||||||||||
$ | 783 | Sensus USA Inc. First Lien Term
Loan |
4.750 | % | 05/09/17 | $ | 788,237 | |||||||
419 | Sensus USA Inc. Second Lien
Term Loan |
8.500 | 05/09/18 | 427,678 | ||||||||||
489 | Servicemaster Co. Delayed
Draw Term Loan |
2.700 | 07/24/14 | 477,894 | ||||||||||
2,802 | Servicemaster Co. Letter of
Credit |
2.782 | 07/24/14 | 2,740,213 | ||||||||||
5,994 | Servicemaster Co. Term Loan |
2.740 | 07/24/14 | 5,861,538 | ||||||||||
6,850 | Synagro Technologies, Inc.
Second Lien Term Loan |
4.950 | 10/02/14 | 6,310,563 | ||||||||||
16,606,123 | ||||||||||||||
Electronics/Electrical 2.9% |
||||||||||||||
163 | Aeroflex, Inc. Term Loan
B |
4.250 | 05/09/18 | 163,394 | ||||||||||
676 | Bentley Systems, Inc.
Term Loan B |
5.750 | 12/29/16 | 679,596 | ||||||||||
1,916 | CDWC, LLC Extended Term Loan |
4.500 | 07/14/17 | 1,912,748 | ||||||||||
1,380 | Commscope, Inc. New Term Loan B |
5.000 | 01/14/18 | 1,389,865 | ||||||||||
679 | Datatel, Inc. Extended First Lien
Term Loan |
5.000 | 02/20/17 | 681,712 | ||||||||||
3,268 | Datatel, Inc. Extended Second
Lien Term Loan |
8.750 | 02/19/18 | 3,327,356 | ||||||||||
6,456 | Freescale Semiconductor, Inc.
Extended Term Loan B |
4.461 | 12/01/16 | 6,440,455 | ||||||||||
2,004 | Infor Enterprise Solutions
Holdings, Inc. Extended
Delayed Draw Term Loan |
5.950 | 07/28/15 | 1,962,561 | ||||||||||
3,842 | Infor Enterprise Solutions
Holdings, Inc. Extended Initial
Term Loan |
5.950 | 07/28/15 | 3,761,576 |
9
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Electronics/Electrical (continued) |
||||||||||||||
$ | 5,729 | Open Solutions, Inc. Term Loan
B |
2.395 | % | 01/23/14 | $ | 5,045,280 | |||||||
213 | Sensata Technologies Finance
Co., LLC New Term Loan |
4.000 | 05/11/18 | 213,696 | ||||||||||
2,310 | Spectrum Brands, Inc. Term
Loan B (Netherlands) |
5.000 | 06/17/16 | 2,333,557 | ||||||||||
27,911,796 | ||||||||||||||
Farming/Agriculture 0.2% |
||||||||||||||
977 | WM. Bolthouse Farms, Inc. New
First Lien Term Loan |
5.500 | 02/11/16 | 984,712 | ||||||||||
1,091 | WM. Bolthouse Farms, Inc. New
Second Lien Term Loan |
9.500 | 08/11/16 | 1,107,725 | ||||||||||
2,092,437 | ||||||||||||||
Financial Intermediaries 2.2% |
||||||||||||||
2,128 | Fidelity National Information
Solutions, Inc. Term Loan B |
5.250 | 07/18/16 | 2,141,227 | ||||||||||
2,206 | Fifth Third Processing Solutions,
LLC Term Loan B1 |
4.500 | 11/03/16 | 2,211,724 | ||||||||||
425 | Moneygram International, Inc.
Term Loan B |
4.500 | 11/17/17 | 427,350 | ||||||||||
5,987 | Nuveen Investments, Inc.
Extended Term Loan |
5.790 | 05/12/17 | 6,024,316 | ||||||||||
3,787 | Nuveen Investments, Inc. Term
Loan |
3.290 | 11/13/14 | 3,741,117 | ||||||||||
74 | RJO Holdings Corp. FCM Term
Loan |
6.210 | 12/10/15 | 67,021 | ||||||||||
3,472 | RJO Holdings Corp. HoldCo Term
Loan B |
6.210 | 12/10/15 | 2,738,437 | ||||||||||
1,532 | Transfirst Holdings, Inc. Second
Lien Term Loan (a) |
6.310 | 06/15/15 | 1,451,744 |
10
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Financial Intermediaries (continued) |
||||||||||||||
$ | 2,872 | Transfirst Holdings, Inc. Term
Loan B |
3.060 | % | 06/15/14 | $ | 2,808,817 | |||||||
21,611,753 | ||||||||||||||
Food Products 3.5% |
||||||||||||||
756 | Acosta, Inc. Term Loan |
4.750 | 03/01/18 | 759,070 | ||||||||||
527 | Advantage Sales & Marketing,
Inc. Second Lien Term Loan |
9.250 | 06/18/18 | 538,046 | ||||||||||
1,570 | Advantage Sales & Marketing,
Inc. Term Loan B |
5.250 | 12/18/17 | 1,578,148 | ||||||||||
£ | 1,500 | Cucina Acquisition Ltd. Term
Loan B (United Kingdom) |
3.455 | 09/14/15 | 2,314,822 | |||||||||
£ | 1,500 | Cucina Acquisition Ltd. Term
Loan C (United Kingdom) |
3.955 | 10/12/16 | 2,327,160 | |||||||||
1,250 | Dean Foods Co. Extended Term
Loan B1 |
3.560 | 04/02/16 | 1,236,719 | ||||||||||
4,797 | Del Monte Foods Co. Term Loan |
4.500 | 03/08/18 | 4,803,381 | ||||||||||
960 | Dole Food Co. Inc. Term Loan B |
5.050 | 03/02/17 | 966,181 | ||||||||||
2,384 | Dole Food Co. Inc. Term Loan C |
5.090 | 03/02/17 | 2,399,753 | ||||||||||
1,609 | Farleys & Sathers Candy Co.,
Inc. Term Loan B |
6.500 | 03/30/18 | 1,620,601 | ||||||||||
| 1,276 | Foodvest Ltd. Term Loan C2
(United Kingdom) |
5.593 | 10/02/16 | 1,820,088 | |||||||||
| 3,000 | Liberator Midco Limited Term
Loan D (United Kingdom) |
5.732 | 04/30/16 | 4,360,752 | |||||||||
461 | Michael Foods Group, Inc. Term
Loan |
4.250 | 02/23/18 | 463,055 | ||||||||||
| 768 | Panrico, Inc. Term Loan (Spain) |
8.975 | 09/08/16 | 104,930 | |||||||||
4,238 | Pierre Foods, Inc. First Lien
Term Loan |
7.000 | 09/30/16 | 4,296,556 | ||||||||||
900 | Pierre Foods, Inc. Second Lien
Term Loan |
11.250 | 09/29/17 | 926,490 |
11
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Food Products (continued) |
||||||||||||||
$ | 4,169 | Pinnacle Foods Holdings Corp.
Term Loan D |
6.000 | % | 04/02/14 | $ | 4,222,661 | |||||||
34,738,413 | ||||||||||||||
Food Service 1.2% |
||||||||||||||
3,551 | Burger King Corp. Term Loan B |
4.500 | 10/19/16 | 3,547,706 | ||||||||||
986 | Center Cut Hospitality, Inc. Term
Loan |
9.250 | 07/06/14 | 979,942 | ||||||||||
125 | Darling International Inc. Term
Loan |
5.000 | 12/16/16 | 126,458 | ||||||||||
2,270 | Dunkin Brands, Inc. Add on
Term Loan B |
4.250 | 11/23/17 | 2,276,454 | ||||||||||
1,639 | OSI Restaurant Partners, LLC
Revolving Credit Agreement |
3.542 | 06/14/13 | 1,596,651 | ||||||||||
3,570 | OSI Restaurant Partners, LLC
Term Loan B |
2.500 | 06/14/14 | 3,477,634 | ||||||||||
10 | Sbarro, Inc. Delayed Draw Term
Loan (e) |
8.750 | 10/05/11 | 10,071 | ||||||||||
22 | Sbarro, Inc. DIP Term Loan |
8.750 | 10/05/11 | 22,157 | ||||||||||
5 | Sbarro, Inc. Second Lien Term
Loan |
8.750 | 10/05/11 | 4,700 | ||||||||||
12,041,773 | ||||||||||||||
Food/Drug Retailers 2.7% |
||||||||||||||
£ | 4,000 | Alliance Boots Holdings, Ltd.
Second Lien Term Loan
(United Kingdom) |
4.840 | 07/05/16 | 6,378,945 | |||||||||
| 1,390 | Alliance Boots Holdings, Ltd.
Second Lien Term Loan
(United Kingdom) |
5.443 | 07/05/16 | 1,960,135 | |||||||||
3,049 | General Nutrition Centers, Inc.
New Term Loan B |
4.250 | 03/02/18 | 3,057,409 | ||||||||||
884 | NBTY, Inc. New Term Loan B |
4.250 | 10/02/17 | 884,502 | ||||||||||
6,185 | Rite Aid Corp. Term Loan 5 |
4.500 | 02/28/18 | 6,127,549 |
12
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Food/Drug Retailers (continued) |
||||||||||||||
$ | 2,012 | Rite Aid Corp. Term Loan B |
1.950 | % | 06/04/14 | $ | 1,936,222 | |||||||
1,745 | Roundys Supermarkets, Inc.
Extended Term Loan |
7.000 | 11/03/13 | 1,751,622 | ||||||||||
623 | Supervalu, Inc. Extended Term
Loan B2 |
3.441 | 10/05/15 | 618,847 | ||||||||||
3,683 | Supervalu, Inc. Term Loan B3 |
4.500 | 04/28/18 | 3,649,859 | ||||||||||
26,365,090 | ||||||||||||||
Forest Products 0.8% |
||||||||||||||
3,200 | Ainsworth Lumber Co, Ltd. Term
Loan |
5.250 | 06/26/14 | 3,201,328 | ||||||||||
2,550 | Cenveo Corp. Term Loan B |
6.250 | 12/21/16 | 2,573,193 | ||||||||||
450 | Verso Paper Holding, LLC Term
Loan (a) |
6.650 | 02/01/13 | 431,916 | ||||||||||
96 | White Birch Paper Co. DIP
Delayed Draw Term Loan
(Canada) (e) |
12.000 | 09/30/11 | 94,964 | ||||||||||
584 | White Birch Paper Co. DIP Term
Loan B (Canada) |
12.000 | 09/30/11 | 580,702 | ||||||||||
558 | Xerium Technologies, Inc. New
Term Loan B |
5.500 | 05/22/17 | 562,686 | ||||||||||
7,444,789 | ||||||||||||||
Health Care 2.9% |
||||||||||||||
4,882 | Carestream Health, Inc. Term
Loan B |
5.000 | 02/25/17 | 4,654,525 | ||||||||||
10 | Community Health Systems, Inc.
Non-Extended Delayed Draw
Term Loan |
2.500 | 07/25/14 | 10,115 | ||||||||||
1,525 | Community Health Systems, Inc.
Extended Term Loan B |
3.750 | 01/25/17 | 1,491,262 | ||||||||||
186 | Community Health Systems, Inc.
Non-Extended Term Loan |
2.500 | 07/25/14 | 180,546 | ||||||||||
2,742 | Drumm Investors, LLC Term
Loan |
5.000 | 05/04/18 | 2,703,655 |
13
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Health Care (continued) |
||||||||||||||
$ | 2,071 | Gentiva Health Services, Inc.
New Term Loan B |
4.750 | % | 08/17/16 | $ | 2,079,378 | |||||||
361 | Harlan Sprague Dawley, Inc.
Term Loan B |
3.730 | 07/11/14 | 336,525 | ||||||||||
688 | HCR Healthcare, LLC New Term
Loan |
5.000 | 04/06/18 | 681,171 | ||||||||||
937 | Health Management Associates,
Inc. Term Loan B |
2.057 | 02/28/14 | 917,639 | ||||||||||
932 | IMS Health, Inc. New Term Loan
B |
4.500 | 08/25/17 | 936,277 | ||||||||||
1,275 | Rehabcare Group, Inc. Term
Loan B |
6.250 | 11/24/15 | 1,278,492 | ||||||||||
689 | Rural/Metro Operating Co., LLC
Term Loan B |
6.000 | 11/24/16 | 696,964 | ||||||||||
1,431 | Skilled Healthcare Group, Inc.
Term Loan B |
5.250 | 04/08/16 | 1,431,998 | ||||||||||
1,351 | Sun Healthcare Group Inc. New Term
Loan B |
7.500 | 10/15/16 | 1,346,660 | ||||||||||
1,175 | Surgery Center Holdings, Inc.
Term Loan B |
6.500 | 02/06/17 | 1,188,478 | ||||||||||
5,797 | Surgical Care Affiliates, Inc.
Term Loan |
2.307 | 12/29/14 | 5,670,043 | ||||||||||
1,129 | Trizetto Group, Inc. Term Loan B |
4.750 | 05/02/18 | 1,130,646 | ||||||||||
166 | United Surgical Partners,
International, Inc. Delayed
Draw Term Loan |
2.220 | 04/21/14 | 163,532 | ||||||||||
1,426 | United Surgical Partners,
International, Inc. Term Loan
B |
2.250 | 04/19/14 | 1,404,760 | ||||||||||
401 | Universal Health Services, Inc.
New Term Loan B |
4.000 | 11/15/16 | 402,914 | ||||||||||
28,705,580 | ||||||||||||||
14
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Home Furnishings 1.6% |
||||||||||||||
$ | 6,789 | Hunter Fan Co. Second Lien
Term Loan |
6.960 | % | 10/16/14 | $ | 5,918,146 | |||||||
1,588 | Hunter Fan Co. Term Loan |
2.700 | 04/16/14 | 1,529,320 | ||||||||||
4,813 | Mattress Holdings Corp. Term
Loan B |
2.560 | 01/18/14 | 4,607,969 | ||||||||||
3,458 | National Bedding Co., LLC
Second Lien Term Loan |
5.313 | 02/28/14 | 3,401,495 | ||||||||||
15,456,930 | ||||||||||||||
Industrial Equipment 0.5% |
||||||||||||||
621 | JMC Steel Group, Inc. Term
Loan |
4.750 | 04/03/17 | 627,700 | ||||||||||
984 | Manitowoc Co., Inc. New Term
Loan B |
4.250 | 11/13/17 | 989,840 | ||||||||||
3,605 | Mold-Masters Luxembourg
Holdings, SA Mold Masters
Term Loan |
3.813 | 10/10/14 | 3,534,996 | ||||||||||
5,152,536 | ||||||||||||||
Insurance 1.6% |
||||||||||||||
2,688 | Alliant Holdings I, Inc. Term
Loan B |
3.307 | 08/21/14 | 2,662,278 | ||||||||||
1,024 | Alliant Holdings I, Inc. Term
Loan D |
6.750 | 08/21/14 | 1,030,550 | ||||||||||
5,809 | AmWins Group, Inc. First Lien
Term Loan |
2.780 | 06/08/13 | 5,749,969 | ||||||||||
633 | C.G. JCF Corp. Term Loan |
3.200 | 08/01/14 | 623,854 | ||||||||||
1,750 | HMSC Corp. Second Lien Term
Loan |
5.692 | 10/03/14 | 1,314,687 | ||||||||||
647 | Sedgwick CMS Holdings, Inc.
New Term Loan |
5.000 | 12/30/16 | 648,261 | ||||||||||
1,600 | Sedgwick CMS Holdings, Inc.
Second Lien Term Loan |
9.000 | 05/26/17 | 1,612,000 |
15
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Insurance (continued) |
||||||||||||||
$ | 1,970 | USI Holdings Corp. Incremental
Term Loan |
7.000 | % | 05/05/14 | $ | 1,974,925 | |||||||
15,616,524 | ||||||||||||||
Leisure Goods/Activities/Movies 1.8% |
||||||||||||||
2,319 | 24 Hour Fitness Worldwide, Inc.
Term Loan |
6.750 | 04/22/16 | 2,316,192 | ||||||||||
1,800 | Alpha Topco, Ltd. Second Lien
Term Loan (United Kingdom) |
3.960 | 06/30/14 | 1,760,904 | ||||||||||
2,384 | Alpha Topco, Ltd. Term Loan B2
(United Kingdom) |
2.707 | 12/31/13 | 2,334,019 | ||||||||||
3,529 | Alpha Topcp, Ltd. Term Loan B
(United Kingdom) |
2.707 | 12/31/13 | 3,455,392 | ||||||||||
1,027 | Fender Musical Instruments
Corp. Delayed Draw Term
Loan |
2.450 | 06/09/14 | 998,069 | ||||||||||
2,034 | Fender Musical Instruments
Corp. Term Loan B |
2.450 | 06/09/14 | 1,975,584 | ||||||||||
91 | Hicks Sporting Group, LLC (e) |
15.000 | 06/30/11 | 92,129 | ||||||||||
5,037 | Sabre Holdings Corp. Term Loan
B |
2.210 | 09/30/14 | 4,538,661 | ||||||||||
49 | Universal City Development
Partners, Ltd. New Term Loan
B |
5.500 | 11/06/14 | 49,901 | ||||||||||
17,520,851 | ||||||||||||||
Lodging & Casinos 9.3% |
||||||||||||||
2,405 | Boyd Gaming Corp. Extended
Revolving Credit Agreement |
1.816 | 12/17/15 | 2,202,976 | ||||||||||
4,000 | Boyd Gaming Corp. Revolving
Credit Agreement |
1.625 | 05/24/12 | 3,900,000 | ||||||||||
1,000 | Boyd Gaming Corp. Term Loan |
3.691 | 12/17/15 | 976,670 |
16
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Lodging & Casinos (continued) |
||||||||||||||
$ | 494 | Caesars Entertainment
Operating Co. Incremental
Term Loan B4 |
9.500 | % | 10/31/16 | $ | 525,098 | |||||||
9,168 | Caesars Entertainment
Operating Co. Term Loan B1 |
3.274 | 01/28/15 | 8,525,869 | ||||||||||
7,848 | Caesars Entertainment
Operating Co. Term Loan B2 |
3.250 | 01/28/15 | 7,298,032 | ||||||||||
6,368 | Caesars Entertainment
Operating Co. Term Loan B3 |
3.270 | 01/28/15 | 5,921,720 | ||||||||||
1,880 | Cannery Casino Resorts, LLC
Delayed Draw Term Loan |
4.443 | 05/20/13 | 1,861,133 | ||||||||||
2,500 | Cannery Casino Resorts, LLC
Second Lien Term Loan |
4.443 | 05/16/14 | 2,371,875 | ||||||||||
2,273 | Cannery Casino Resorts, LLC
Term Loan B |
4.443 | 05/17/13 | 2,250,528 | ||||||||||
4,327 | CCM Merger Corp. New Term
Loan B |
7.000 | 03/01/17 | 4,401,629 | ||||||||||
188 | Chester Downs and Marina, LLC
Incremental Term Loan |
12.375 | 07/29/16 | 192,557 | ||||||||||
108 | Chester Downs and Marina, LLC
Term Loan |
12.375 | 07/29/16 | 110,316 | ||||||||||
361 | Golden Nugget, Inc. New
Delayed Draw Term Loan (a) |
3.200 | 06/30/14 | 318,268 | ||||||||||
633 | Golden Nugget, Inc. Term Loan
B (a) |
3.200 | 06/30/14 | 559,116 | ||||||||||
161 | Las Vegas Sands, LLC
Extended Delayed Draw Term
Loan 2 |
3.000 | 11/23/15 | 158,131 | ||||||||||
0 | Las Vegas Sands, LLC
Extended Term Loan B |
3.000 | 11/23/16 | 368 | ||||||||||
1,056 | Magnolia Hill, LLC Delayed Draw
Term Loan |
3.450 | 10/30/13 | 944,800 |
17
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Lodging & Casinos (continued) |
||||||||||||||
$ | 4,650 | Magnolia Hill, LLC Mezzanine
Loan |
14.000 | % | 04/30/14 | $ | 4,533,612 | |||||||
3,005 | Magnolia Hill, LLC Term Loan |
3.450 | 10/30/13 | 2,689,047 | ||||||||||
| 9,547 | Regency Entertainment S.A.
Term Loan B (Greece) |
3.852 | 03/03/14 | 4,934,386 | |||||||||
| 9,547 | Regency Entertainment S.A.
Term Loan C (Greece) |
4.227 | 03/02/15 | 5,003,078 | |||||||||
£ | 7,110 | Travelodge Hotels Term Loan B
(United Kingdom) |
4.559 | 09/05/14 | 10,847,989 | |||||||||
£ | 7,110 | Travelodge Hotels Term Loan C
(United Kingdom) |
5.138 | 09/04/15 | 10,906,469 | |||||||||
3,744 | Twin River Worldwide Holdings,
Inc. Term Loan |
8.500 | 11/05/15 | 3,763,100 | ||||||||||
1,266 | Venetian Macau, Ltd. Delayed
Draw Term Loan B |
4.700 | 05/25/12 | 1,267,303 | ||||||||||
1,452 | Venetian Macau, Ltd. New
Project Term Loan |
4.700 | 05/27/13 | 1,454,185 | ||||||||||
3,004 | Venetian Macau, Ltd. Term Loan
B |
4.700 | 05/27/13 | 3,007,639 | ||||||||||
90,925,894 | ||||||||||||||
Nonferrous Metals/Minerals 0.2% |
||||||||||||||
2,195 | Novelis, Inc. New Term Loan B |
4.000 | 03/10/17 | 2,206,125 | ||||||||||
Oil & Gas 1.5% |
||||||||||||||
534 | Big West Oil, LLC New Term
Loan |
7.000 | 03/31/16 | 540,530 | ||||||||||
4,297 | CCS, Inc. Term Loan B |
3.242 | 11/14/14 | 4,127,803 | ||||||||||
752 | Citgo Petroleum Corp. Term
Loan B |
8.000 | 06/24/15 | 769,508 | ||||||||||
2,202 | Obsidian Natural Gas Trust
Term Loan |
7.000 | 11/02/15 | 2,245,846 | ||||||||||
1,652 | RAM Energy Resources, Inc.
Second Lien Term Loan |
11.000 | 09/13/16 | 1,668,024 |
18
Principal | ||||||||||||||
Amount | Stated | |||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||
Oil & Gas (continued) |
||||||||||||||
$ | 2,995 | Western Refining, Inc. New
Term Loan B |
7.500 | % | 03/15/17 | $ | 3,063,585 | |||||||
2,410 | Willbros United States Holdings,
Inc. Term Loan B |
9.500 | 06/30/14 | 2,429,179 | ||||||||||
14,844,475 | ||||||||||||||
Oil & Gas Drilling 0.7% |
||||||||||||||
161 | Abbot Group Limited Term Loan
B1 (United Kingdom) |
5.300 | 03/15/16 | 154,294 | ||||||||||
3,535 | Abbot Group Limited Term Loan
B2 (United Kingdom) |
5.300 | 03/19/16 | 3,371,099 | ||||||||||
57 | Abbot Group Limited Term Loan
C1 (United Kingdom) |
5.550 | 03/15/17 | 55,061 | ||||||||||
2,850 | Abbot Group Limited Term Loan
C2 (United Kingdom) |
5.550 | 03/19/17 | 2,732,795 | ||||||||||
988 | Abbot Group Limited Term Loan
C3 (United Kingdom) |
5.550 | 03/19/17 | 947,364 | ||||||||||
7,260,613 | ||||||||||||||
Personal Products 0.1% |
||||||||||||||
803 | Revlon Consumer Products
Corp. New Term Loan B |
4.750 | 11/17/17 | 805,565 | ||||||||||
Publishing 4.8% |
||||||||||||||
13,588 | Cengage Learning Acquisitions,
Inc. Term Loan |
2.440 | 07/03/14 | 12,698,584 | ||||||||||
2,428 | Clarke American Corp. Term
Loan B |
2.770 | 06/30/14 | 2,253,124 | ||||||||||
302 | Gatehouse Media, Inc. Delayed
Draw Term Loan |
2.200 | 08/28/14 | 114,895 |
19
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Publishing (continued) |
||||||||||||||||
$ | 810 | Gatehouse Media, Inc. Term
Loan B |
2.200 | % | 08/28/14 | $ | 308,060 | |||||||||
3,294 | Getty Images, Inc. New Term
Loan |
5.250 | 11/07/16 | 3,321,091 | ||||||||||||
935 | Knowledgepoint360 Group, LLC
First Lien Term Loan |
3.520 | 04/14/14 | 883,304 | ||||||||||||
2,000 | Knowledgepoint360 Group, LLC
Second Lien Term Loan |
7.261 | 04/13/15 | 1,700,000 | ||||||||||||
1,219 | Medianews Group New Term
Loan |
8.500 | 03/19/14 | 1,222,233 | ||||||||||||
5,077 | Merrill Communications, LLC
Second Lien Term Loan (a) |
13.760 | 11/15/13 | 5,079,108 | ||||||||||||
1,000 | Merrill Communications, LLC
Term Loan |
7.500 | 12/24/12 | 1,001,250 | ||||||||||||
2,333 | Newsday, LLC Term Loan |
6.526 | 08/01/13 | 2,403,333 | ||||||||||||
1,426 | Primedia, Inc. Term Loan B |
2.300 | 08/01/14 | 1,402,127 | ||||||||||||
18,437 | Tribune Co. Term Loan B (b)(c) |
5.250 | 06/04/14 | 12,595,081 | ||||||||||||
| 5,476 | Yell Group PLC New Term Loan
B1 (United Kingdom) |
3.941 | 07/31/14 | 2,285,149 | |||||||||||
47,267,339 | ||||||||||||||||
Radio & Television 8.8% |
||||||||||||||||
644 | Citadel Broadcasting Corp. New
Term Loan B |
4.250 | 12/30/16 | 644,660 | ||||||||||||
17,084 | Clear Channel Communication
Term Loan B |
3.841 | 01/28/16 | 15,012,985 | ||||||||||||
1,887 | CMP KC, LLC Term Loan (b) |
6.250 | 06/03/11 | 282,996 | ||||||||||||
3,326 | CMP Susquehanna Corp. Term
Loan |
2.250 | 05/05/13 | 3,284,641 | ||||||||||||
2,547 | FoxCo Acquisition Sub, LLC
Term Loan B |
4.750 | 07/14/15 | 2,557,671 | ||||||||||||
1,371 | Harron Communications Corp.
Term Loan B |
5.250 | 10/06/17 | 1,378,833 |
20
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Radio & Television (continued) |
||||||||||||||||
$ | 629 | High Plains Broadcasting
Operating Co., LLC Term
Loan |
9.000 | % | 09/14/16 | $ | 632,646 | |||||||||
5,983 | Intelsat Jackson Holdings S.A.
New Term Loan |
5.250 | 04/02/18 | 6,030,359 | ||||||||||||
1,431 | Multicultural Radio Broadcasting,
Inc. Term Loan |
2.940 | 12/18/12 | 1,313,395 | ||||||||||||
2,297 | Newport Television, LLC Term
Loan B |
9.000 | 09/14/16 | 2,308,625 | ||||||||||||
| 10,694 | Prosiebensat.1 Media AG
Revolving Credit Agreement
(Germany) |
3.496 | 03/06/15 | 13,684,577 | |||||||||||
| 2,000 | Tyrol Acquisitions Revolving Credit
Agreement (France) |
2.851 | 01/19/14 | 2,583,183 | |||||||||||
| 9,110 | Tyrol Acquisitions Second Lien
Term Loan (France) |
4.551 | 07/29/16 | 11,587,381 | |||||||||||
| 1,500 | Tyrol Acquisitions Term Loan B
(France) |
3.232 | 01/30/15 | 1,986,411 | |||||||||||
| 1,500 | Tyrol Acquisitions Term Loan C
(France) |
3.482 | 01/29/16 | 1,997,204 | |||||||||||
19,801 | Univision Communications, Inc.
Extended Term Loan |
4.441 | 03/31/17 | 19,167,171 | ||||||||||||
63 | Univision Communications, Inc.
Initial Term Loan |
2.191 | 09/29/14 | 61,156 | ||||||||||||
1,498 | Weather Channel New Term
Loan B |
4.250 | 02/13/17 | 1,508,805 | ||||||||||||
86,022,699 | ||||||||||||||||
Retailers (except food & drug) 2.3% |
||||||||||||||||
3,315 | Amscan Holdings, Inc. Term
Loan B |
6.750 | 12/04/17 | 3,336,138 | ||||||||||||
1,638 | Claires Stores, Inc. Term Loan
B |
3.057 | 05/29/14 | 1,512,376 | ||||||||||||
495 | Educate, Inc. Term Loan |
8.500 | 06/16/14 | 482,803 | ||||||||||||
1,403 | FTD Group, Inc. Term Loan B |
6.750 | 08/26/14 | 1,404,221 |
21
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Retailers (except food & drug) (continued) |
||||||||||||||||
$ | 4,027 | Guitar Center, Inc. Extended
Term Loan |
5.560 | % | 04/10/17 | $ | 3,836,738 | |||||||||
923 | Gymboree Corp. New Term
Loan |
5.000 | 02/23/18 | 907,095 | ||||||||||||
2,215 | J Crew Operating Corp. New
Term Loan B |
4.750 | 03/07/18 | 2,176,457 | ||||||||||||
790 | Michaels Stores, Inc. Term Loan
B2 |
4.813 | 07/31/16 | 794,032 | ||||||||||||
6,254 | Neiman Marcus Group, Inc. New
Term Loan |
4.750 | 05/16/18 | 6,216,904 | ||||||||||||
1,765 | Petco Animal Supplies, Inc. New
Term Loan |
4.500 | 11/24/17 | 1,765,721 | ||||||||||||
22,432,485 | ||||||||||||||||
Surface Transport 0.4% |
||||||||||||||||
1,736 | Kenan Advantage Group, Inc.
New Term Loan |
5.500 | 06/10/16 | 1,750,891 | ||||||||||||
1,641 | Swift Transportation Co. Inc.
Term Loan B |
6.000 | 12/21/16 | 1,657,163 | ||||||||||||
3,408,054 | ||||||||||||||||
Telecommunications 7.8% |
||||||||||||||||
4,686 | Avaya, Inc. Extended Term Loan
B3 |
4.755 | 10/26/17 | 4,578,391 | ||||||||||||
1,533 | Avaya, Inc. Term Loan |
3.005 | 10/24/14 | 1,484,800 | ||||||||||||
| 3,120 | Bultel Cable Bulgaria EAD Term
Loan A (Bulgaria) |
6.518 | 10/27/15 | 4,040,991 | |||||||||||
| 3,250 | Bultel Cable Bulgaria EAD Term
Loan B (Bulgaria) |
7.531 | 10/27/16 | 4,209,366 | |||||||||||
| 10,006 | Completel S.A.S. Term Loan B
(France) |
4.950 | 08/29/15 | 14,039,307 | |||||||||||
7,817 | Fairpoint Communications, Inc.
New Term Loan B |
6.500 | 01/22/16 | 7,261,892 | ||||||||||||
| 1,182 | Fibernet Term Loan B
(Bulgaria) |
3.610 | 12/20/14 | 493,500 |
22
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Telecommunications (continued) |
||||||||||||||||
| 1,182 | Fibernet Term Loan C
(Bulgaria) |
4.110 | % | 12/20/15 | $ | 493,500 | |||||||||
$ | 2,642 | Global Tel*Link Corp. New Term
Loan B |
5.000 | 11/10/16 | 2,643,675 | |||||||||||
2,397 | Hawaiian Telcom
Communications, Inc. Exit
Term Loan |
9.000 | 11/01/15 | 2,466,859 | ||||||||||||
3,500 | Integra Telecom, Inc. New Term
Loan B |
9.370 | 04/15/15 | 3,520,422 | ||||||||||||
167 | Level 3 Communications, Inc.
Add on Term Loan |
11.500 | 03/13/14 | 178,055 | ||||||||||||
4,625 | Level 3 Communications, Inc.
Term Loan A |
2.533 | 03/13/14 | 4,524,637 | ||||||||||||
5,711 | MetroPCS Wireless, Inc. New
Term Loan B |
4.000 | 03/16/18 | 5,709,632 | ||||||||||||
| 3,935 | Primacom Term Loan B1
(Germany) |
5.010 | 12/05/13 | 4,685,650 | |||||||||||
| 3,935 | Primacom Term Loan C1
(Germany) |
5.510 | 12/05/14 | 4,713,962 | |||||||||||
| 4,019 | Primacom Term Loan C2
(Germany) |
5.510 | 11/22/16 | 4,814,665 | |||||||||||
1,710 | Syniverse Technologies, Inc.
Term Loan B |
5.250 | 12/21/17 | 1,725,808 | ||||||||||||
684 | Towerco Finance, LLC Term
Loan B |
5.250 | 02/02/17 | 689,447 | ||||||||||||
1,152 | U.S. Telepacific Corp. New Term
Loan B |
5.750 | 02/23/17 | 1,151,552 | ||||||||||||
623 | West Corp. Term Loan B4 |
4.590 | 07/15/16 | 625,951 | ||||||||||||
2,098 | West Corp. Term Loan B5 |
4.610 | 07/15/16 | 2,107,436 | ||||||||||||
76,159,498 | ||||||||||||||||
Utilities 5.3% |
||||||||||||||||
5,000 | Bicent Power, LLC Second Lien
Term Loan |
4.310 | 12/31/14 | 675,000 |
23
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Borrower | Coupon | Maturity* | Value | ||||||||||||
Utilities (continued) |
||||||||||||||||
$ | 4,309 | BRSP, LLC Term Loan B |
7.500 | % | 06/04/14 | $ | 4,346,539 | |||||||||
4,847 | Calpine Corp. New Term Loan |
4.500 | 04/02/18 | 4,866,326 | ||||||||||||
2,900 | Firstlight Power Resources, Inc.
Second Lien Term Loan |
4.813 | 05/01/14 | 2,769,500 | ||||||||||||
606 | Firstlight Power Resources, Inc.
Term Loan B |
2.813 | 11/01/13 | 601,371 | ||||||||||||
388 | Great Point Power Term Loan
B1 |
3.780 | 03/10/17 | 391,693 | ||||||||||||
187 | Mach Gen, LLC Letter of Credit |
2.307 | 02/22/13 | 174,767 | ||||||||||||
2,278 | NRG Energy, Inc. Extended
Letter of Credit |
3.557 | 08/31/15 | 2,278,078 | ||||||||||||
574 | NRG Energy, Inc. Extended
Term Loan B |
3.469 | 08/31/15 | 574,417 | ||||||||||||
3,054 | Primary Energy Operations, LLC
New Term Loan |
6.500 | 10/23/14 | 3,038,120 | ||||||||||||
3,719 | Star West Generation, LLC
Term Loan B |
6.000 | 05/14/18 | 3,704,894 | ||||||||||||
3,453 | Texas Competitive Electric
Holdings Co., LLC Extended
Term Loan |
4.740 | 10/10/17 | 2,740,991 | ||||||||||||
23,299 | Texas Competitive Electric
Holdings Co., LLC
Non-Extended Term Loan |
3.706 | 10/10/14 | 19,880,045 | ||||||||||||
6,000 | TPF Generation Holdings, LLC
Second Lien Term Loan C |
4.557 | 12/15/14 | 5,910,000 | ||||||||||||
51,951,741 | ||||||||||||||||
Total Variable Rate** Senior Loan Interests 92.5% |
905,354,680 | |||||||||||||||
Notes 24.4% |
||||||||||||||||
Air Transport 0.1% |
||||||||||||||||
650 | Continental Airlines, Inc. |
6.750 | 09/15/15 | 664,625 | ||||||||||||
24
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Description | Coupon | Maturity | Value | ||||||||||||
Auto Parts & Equipment 0.1% |
||||||||||||||||
$ | 1,145 | Dana Holding Corp. |
6.750 | % | 02/15/21 | $ | 1,150,725 | |||||||||
Building & Development 0.0% |
||||||||||||||||
336 | Realogy Corp. |
7.875 | 02/15/19 | 339,360 | ||||||||||||
Cable & Satellite Television 1.2% |
||||||||||||||||
4,237 | CCO Holdings, LLC |
7.000 | 01/15/19 | 4,348,661 | ||||||||||||
| 5,000 | Central Euro Media Enterprises Ltd.
(Czech Republic) (f) |
9.000 | 11/01/17 | 7,897,058 | |||||||||||
12,245,719 | ||||||||||||||||
Chemicals & Plastics 0.5% |
||||||||||||||||
3,149 | Lyondell Chemical Co. |
11.000 | 05/01/18 | 3,556,837 | ||||||||||||
2,043 | Wellman, Inc. (a) |
5.000 | 01/29/19 | 1,736,519 | ||||||||||||
5,293,356 | ||||||||||||||||
Commercial Bank 0.3% |
||||||||||||||||
£ | 2,000 | Uni Credit SpA (Italy) |
5.396 | 10/29/49 | 2,833,314 | |||||||||||
Containers & Glass Products 4.9% |
||||||||||||||||
| 5,000 | Ardagh Glass Finance
(Ireland) (f) |
7.125 | 06/15/17 | 7,069,576 | |||||||||||
| 6,000 | Ardagh Glass Finance
(Ireland) (f) |
8.750 | 02/01/20 | 8,958,394 | |||||||||||
6,300 | Berry Plastics Corp. (h) |
5.028 | 02/15/15 | 6,284,250 | ||||||||||||
| 9,800 | Pregis Corp. |
6.327 | 04/15/13 | 13,644,822 | |||||||||||
| 7,550 | Pregis Corp. |
6.327 | 04/15/13 | 10,512,082 | |||||||||||
1,043 | Reynolds Group Issuer, Inc. |
6.875 | 02/15/21 | 1,082,112 | ||||||||||||
47,551,236 | ||||||||||||||||
Financial Intermediaries 2.3% |
||||||||||||||||
800 | Lloyds Banking Group PLC (f) |
7.875 | 11/01/20 | 792,000 | ||||||||||||
15,000 | Royal Bank of Scotland PLC |
7.648 | 08/29/49 | 14,287,500 | ||||||||||||
7,700 | Seadrill Ltd. |
6.500 | 10/05/15 | 7,550,813 | ||||||||||||
22,630,313 | ||||||||||||||||
25
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Description | Coupon | Maturity | Value | ||||||||||||
Health Care 0.7% |
||||||||||||||||
$ | 6,167 | Apria Healthcare Group I |
11.250 | % | 11/01/14 | $ | 6,559,792 | |||||||||
Home Furnishings 0.2% |
||||||||||||||||
1,538 | Targus Group International Inc. (a) |
10.000 | 12/15/15 | 1,538,235 | ||||||||||||
Lodging & Casinos 4.2% |
||||||||||||||||
£ | 1,631 | Punch Taverns PLC (United
Kingdom) |
4.767 | 06/30/33 | 2,282,522 | |||||||||||
£ | 2,942 | Punch Taverns PLC (United
Kingdom) |
5.943 | 12/30/24 | 4,137,973 | |||||||||||
£ | 5,900 | Punch Taverns PLC (United
Kingdom) (f) |
7.369 | 06/30/22 | 9,147,430 | |||||||||||
£ | 4,806 | Spirit Issuer PLC (United
Kingdom) |
5.472 | 12/28/28 | 6,649,095 | |||||||||||
£ | 12,519 | Unique Pub (United Kingdom) |
5.659 | 06/30/27 | 16,101,673 | |||||||||||
£ | 2,000 | Unique Pub (United Kingdom) |
6.542 | 03/30/21 | 2,950,777 | |||||||||||
41,269,470 | ||||||||||||||||
Metals & Mining 0.5% |
||||||||||||||||
£ | 2,720 | Luxfer Holdings PLC (United Kingdom) |
6.616 | 02/06/12 | 4,474,398 | |||||||||||
Multi-Line Insurance 2.5% |
||||||||||||||||
| 10,650 | American International Group |
4.875 | 03/15/67 | 12,874,184 | |||||||||||
£ | 8,250 | American International Group |
5.750 | 03/15/67 | 11,739,126 | |||||||||||
24,613,310 | ||||||||||||||||
Oil & Gas 0.3% |
||||||||||||||||
2,360 | Offshore Group Investment Ltd. |
11.500 | 08/01/15 | 2,613,700 | ||||||||||||
Other Diversified Financial Services 0.5% |
||||||||||||||||
| 3,720 | American General Finance Corp. |
3.250 | 01/16/13 | 5,092,839 | |||||||||||
Rail Industries 1.5% |
||||||||||||||||
£ | 5,000 | Channel Link (United
Kingdom) |
2.297 | 06/20/12 | 7,649,247 |
26
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Description | Coupon | Maturity | Value | ||||||||||||
Rail Industries (continued) |
||||||||||||||||
| 5,000 | Channel Link (United
Kingdom) |
2.504 | % | 06/30/12 | $ | 6,691,812 | |||||||||
14,341,059 | ||||||||||||||||
Surface Transport 2.1% |
||||||||||||||||
| 14,594 | CB Bus AB (Sweden) |
9.125 | 08/01/12 | 20,844,550 | |||||||||||
Telecommunications 0.9% |
||||||||||||||||
| 6,000 | Versatel AG (Germany) (f) |
3.923 | 06/15/14 | 8,548,251 | |||||||||||
Utilities 1.6% |
||||||||||||||||
$ | 1,089 | Calpine Corp. |
7.500 | 02/15/21 | 1,138,474 | |||||||||||
10,923 | Calpine Corp. |
7.875 | 01/15/23 | 11,441,996 | ||||||||||||
2,006 | NRG Energy, Inc. |
7.625 | 05/15/19 | 1,995,970 | ||||||||||||
1,415 | Texas Competitive Electric
Holdings Co., LLC |
11.500 | 10/01/20 | 1,439,763 | ||||||||||||
16,016,203 | ||||||||||||||||
Total Notes 24.4% |
238,620,455 | |||||||||||||||
Structured Products 1.4% |
||||||||||||||||
3,500 | ACA CLO 2005-1 Ltd. (h) |
5.000 | 10/15/17 | 2,896,250 | ||||||||||||
792 | Ares 2007-11A D (h) |
3.000 | 10/11/21 | 659,340 | ||||||||||||
328 | Atrium CDO Corp. |
9.176 | 06/08/19 | 313,240 | ||||||||||||
2,750 | Cent CDO Ltd. (h) |
2.250 | 03/11/21 | 2,213,750 | ||||||||||||
3,000 | Clear Lake CLO 2006-1A Ltd. (h) |
1.450 | 12/20/20 | 2,257,500 | ||||||||||||
1,747 | Columbus Nova CLO Ltd. (h) |
3.600 | 05/16/19 | 1,345,190 | ||||||||||||
922 | Flagship CLO V (h) |
4.750 | 06/10/21 | 765,544 | ||||||||||||
842 | ING Investment Management
CLO Ltd. (h) |
3.500 | 12/13/20 | 656,760 | ||||||||||||
1,696 | Sierra CLO Ltd. (h) |
3.774 | 01/22/21 | 1,331,360 | ||||||||||||
2,050 | Silverado CLO Ltd. (h) |
4.026 | 10/16/20 | 1,691,250 | ||||||||||||
Total Structured Products 1.4% |
14,130,184 | |||||||||||||||
27
Shares | Description | Value | ||||||
Common Stocks 2.8% |
||||||||
Building & Development 0.3% |
||||||||
$ | 101 | Axia Acquisition Corp. (f)(g) |
$ | 251,400 | ||||
308,203 | Contech Construction Products, Inc. (g) |
0 | ||||||
512,204 | Building Materials Holding Corp. (f)(g) |
660,743 | ||||||
2,339 | Lake At Las Vegas Joint Venture, LLC, Class A (g) |
947,873 | ||||||
28 | Lake At Las Vegas Joint Venture, LLC, Class B (g) |
11,260 | ||||||
235,259 | Newhall Holding Co., LLC (g) |
358,770 | ||||||
750,544 | Rhodes Homes (g) |
206,400 | ||||||
1,830 | WCI Communities, Inc. (g) |
183,000 | ||||||
2,619,446 | ||||||||
Chemicals & Plastics 0.7% |
||||||||
162,147 | Lyondell Chemical Co. (g) |
7,103,660 | ||||||
1,892 | Wellman, Inc. (g) |
0 | ||||||
7,103,660 | ||||||||
Conglomerates 0.1% |
||||||||
1,870 | Euramax International, Inc. (f)(g) |
588,987 | ||||||
Cosmetics/Toiletries 0.1% |
||||||||
1,641,483 | Marietta Holding Corp. (Acquired 04/22/10, Cost $2,591,511)(g) |
1,296,772 | ||||||
Financial Intermediaries 0.0% |
||||||||
6,619 | RJO Holdings Corp. (Acquired 01/14/11, Cost $0) (g) |
48,678 | ||||||
Food Products 0.0% |
||||||||
614,269 | Panrico (g) |
0 | ||||||
Home Furnishings 0.0% |
||||||||
62,413 | Targus Group International, Inc. (Acquired 12/16/09,
Cost $0) (g)(i) |
179,125 | ||||||
Leisure Goods/Activities/Movies 1.0% |
||||||||
600,814 | MB2, LP. (Canada) (f)(g) |
291,461 | ||||||
400,602 | Metro-Goldwyn-Mayer, Inc. (g) |
9,013,545 | ||||||
9,305,006 | ||||||||
Lodging & Casinos 0.1% |
||||||||
41,966 | BLB Worldwide Holdings, Inc., Class A (g) |
458,143 | ||||||
5,500 | BLB Worldwide Holdings, Inc., Class B (g) |
44,000 | ||||||
502,143 | ||||||||
Oil & Gas 0.3% |
||||||||
76,400 | Vitruvian Exploration, LLC (g) |
2,502,100 | ||||||
28
Shares | Description | Value | ||||||
Publishing 0.2% |
||||||||
$ | 87,369 | Affiliated Media, Inc. (g) |
$ | 2,577,379 | ||||
4,753 | Endurance Business Media, Inc. Class A (g) |
47,531 | ||||||
7,080 | SuperMedia, Inc. (g) |
30,727 | ||||||
2,655,637 | ||||||||
Total Common Stocks 2.8% |
26,801,554 | |||||||
Warrants 0.0% |
||||||||
Building & Development 0.0% |
||||||||
117 | Lake at Las Vegas Joint Venture, LLC, Class C, expiring 7/15/15 (g) |
0 | ||||||
161 | Lake at Las Vegas Joint Venture, LLC, Class D, expiring 7/15/15 (g) |
0 | ||||||
179 | Lake at Las Vegas Joint Venture, LLC, Class E, expiring 7/15/15 (g) |
0 | ||||||
202 | Lake at Las Vegas Joint Venture, LLC, Class F, expiring 7/15/15 (g) |
0 | ||||||
229 | Lake at Las Vegas Joint Venture, LLC, Class G, expiring 7/15/15 (g) |
0 | ||||||
0 | ||||||||
Cosmetics/Toiletries 0.0% |
||||||||
413,194 | Marietta Holding Corp., expiring 02/19/20 (Acquired 04/22/10,
Cost $0) (g) |
0 | ||||||
Radio & Television 0.0% |
||||||||
1,568 | Cumulus Media, Inc., expiring 06/29/19 (Acquired 01/14/10,
Cost $0) (g) |
4,406 | ||||||
Total Warrants 0.0% |
4,406 | |||||||
Preferred Stock 0.0% |
||||||||
Financial Intermediaries 0.0% |
||||||||
649 | RJO Holdings Corp. (Acquired 01/14/11, Cost $0) (g) |
97,335 | ||||||
Total Preferred Stock 0.0% |
97,335 | |||||||
Total Long-Term Investments 121.1% (Cost $1,276,595,294) |
1,185,008,614 | |||||||
Time Deposit 4.3% | ||||||||
State Street Bank & Trust Co. ($42,167,740 par, 0.01% coupon,
dated 5/31/11, to be sold on 06/01/11 at $42,167,752)
(Cost $42,167,740) |
42,167,740 | |||||||
Total Investments 125.4% (Cost $1,318,763,034) |
1,227,176,354 | |||||||
Foreign Currency 0.7% (Cost $6,414,411) |
6,414,559 | |||||||
Borrowings (24.6%) | (241,000,000 | ) | ||||||
Liabilities in Excess of Other Assets (1.5%) | (14,253,006 | ) | ||||||
Net Assets 100.0% | $ | 978,337,907 | ||||||
Investment Abbreviations: | ||
Principal amounts are denominated in US currency unless otherwise noted. | ||
PIK | Payment-in-kind | |
DIP | Debtor-in-possession |
29
EAD | Exposure at Default | |
CLO | Collateralized Loan Obligation | |
CDO | Collateralized Debt Obligation | |
£ | Great Britain Pound | |
| Euro | |
Notes to Schedule of Investments | ||
Percentages are calculated as a percentage of net assets. | ||
(a) | All or portion of this security is payment-in-kind. | |
(b) | Defaulted security. Currently, the issuer is partially or fully in
default with respect to interest payments. The aggregate value of these securities at May 31, 2011 was $13,971,796, which represented 1.43% 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 5. | |
(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 May 31, 2011, 2011 was $44,205,300, which represented 4.52% 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 May 31, 2011. | |
(i) | Affiliated Company. | |
(j) | Subsequent to May 31, 2011, this borrower has filed for protection in federal bankruptcy court. | |
* | 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 May 31, 2011. |
30
Pay/ | Credit | |||||||||||||||||||||||||||||
Receive | Implied | Notional | Rating of | |||||||||||||||||||||||||||
Buy/Sell | Fixed | Expiration | Credit | Amount | Upfront | Reference | ||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | Spread (a) | (000) | Payments | Value | Equity (b) | |||||||||||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.9 | Sell | 3.750 | 12/20/12 | 1.420 | 34,400 | 1,431,000 | 1,501,375 | NR | |||||||||||||||||||||
Goldman
Sachs
International |
CDX.NA.HY.10 | Sell | 5.000 | 06/20/13 | 1.840 | 17,400 | 1,128,250 | 1,284,372 | NR | |||||||||||||||||||||
Goldman
Sachs
International |
Gala Group Finance | Sell | 3.450 | 12/20/12 | 3.960 | 7,195 | 0 | (2,002 | ) | NR | ||||||||||||||||||||
Goldman
Sachs
International |
Gala Group Finance | Sell | 4.150 | 03/20/13 | 3.980 | 7,195 | 0 | 79,359 | NR | |||||||||||||||||||||
Goldman
Sachs
International |
LCDX.NA.10 | Sell | 3.250 | 06/20/13 | 3.250 | 45,600 | 5,269,000 | 2,184,240 | NR | |||||||||||||||||||||
Goldman
Sachs
International |
LCDX9 | Sell | 2.250 | 12/20/12 | 2.250 | 38,000 | 3,136,250 | 931,000 | NR | |||||||||||||||||||||
Goldman
Sachs
International |
Peermont Global | Sell | 3.500 | 09/20/12 | 5.970 | 7,195 | 0 | (169,077 | ) | B | ||||||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Company, LLC | Sell | 5.000 | 03/20/12 | 5.200 | 5,000 | 112,500 | 42,415 | B | |||||||||||||||||||||
Total Credit Default Swaps | $ | 161,985 | $ | 11,077,000 | $ | 5,851,682 | ||||||||||||||||||||||||
NR | Not Rated | |
(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). |
31
Unrealized | ||||||||||||||||
Appreciation/ | ||||||||||||||||
Counter Party | In Exchange for | Current Value | Depreciation | |||||||||||||
Long Contracts: |
||||||||||||||||
Euro |
||||||||||||||||
934,800 expiring 08/15/11 |
Goldman Sachs International | US $ | $ | 1,342,765 | $ | (41,001 | ) | |||||||||
4,907,300 expiring 08/15/11 |
Goldman Sachs International | US $ | 7,048,940 | 52,455 | ||||||||||||
1,885,000 expiring 08/15/11 |
Goldman Sachs International | US $ | 2,707,650 | 8,707 | ||||||||||||
5,316,649 expiring 08/15/11 |
Goldman Sachs International | US $ | 7,636,937 | 127,356 | ||||||||||||
626,480 expiring 08/15/11 |
Goldman Sachs International | US $ | 899,888 | 19,283 | ||||||||||||
166,800 | ||||||||||||||||
Pound Sterling |
||||||||||||||||
3,231,190 expiring 08/15/11 |
Goldman Sachs International | US $ | 5,310,423 | 29,085 | ||||||||||||
4,882,662 expiring 08/15/11 |
Goldman Sachs International | US $ | 8,024,598 | (15,340 | ) | |||||||||||
13,745 | ||||||||||||||||
Total Long Contracts |
180,545 | |||||||||||||||
Short Contracts: |
||||||||||||||||
Euro |
||||||||||||||||
158,216,009 expiring 08/15/11 |
Goldman Sachs International | US $ | 227,264,514 | 6,806,577 | ||||||||||||
Pound Sterling |
||||||||||||||||
67,450,783 expiring 08/15/11 |
Goldman Sachs International | US $ | 110,854,569 | 297,576 | ||||||||||||
297,720 expiring 08/15/11 |
Goldman Sachs International | US $ | 489,299 | (4,104 | ) | |||||||||||
1,812,947 expiring 08/15/11 |
Goldman Sachs International | US $ | 2,979,557 | (38,848 | ) | |||||||||||
1,775,000 expiring 08/15/11 |
Goldman Sachs International | US $ | 2,917,192 | (50,501 | ) | |||||||||||
204,123 | ||||||||||||||||
Total Short Contracts |
7,010,700 | |||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 7,191,245 | ||||||||||||||
32
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. | ||
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 transaction 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 may be 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. | 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. | |
E. | 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. | ||
F. | 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. | |
G. | 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 cost exercising its right with respect to the collateral. If a counterparty becomes bankruptcy 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. | ||
H. | 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. | |
I. | Leverage Risk The Fund may utilize leverage to seek to enhance the yield of the Fund by borrowing or issuing preferred shares. There are riks 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. | |
J. | 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 broad 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 than 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 resouces to honor their obligations and by monitoring the financial stability of those counterparties. | |
K. | Foreign Risk The Fund may invest in senior loans to borrowers that are organized or located in countires other than the United States. Investment in non-U.S. issuers involeves 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 demominated investments will be subject to currecny 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. | |
L. | 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 | |||||||||||||
Investments in an Asset Position |
||||||||||||||||
Variable Rate Senior Loan
Interests |
$ | | $ | 893,534,019 | $ | 11,820,661 | $ | 905,354,680 | ||||||||
Notes |
| 235,345,701 | 3,274,754 | 238,620,455 | ||||||||||||
Structured Products |
14,130,184 | 14,130,184 | ||||||||||||||
Equities |
16,530,924 | 7,932,935 | 2,439,436 | 26,903,295 | ||||||||||||
Time Deposits |
| 42,167,740 | | 42,167,740 | ||||||||||||
Forward Foreign Currency
Contracts |
7,341,039 | 7,341,039 | ||||||||||||||
Swap Agreements |
| 6,022,761 | | 6,022,761 | ||||||||||||
Total Investments in an Asset
Position |
$ | 16,530,924 | $ | 1,206,474,379 | $ | 17,534,851 | $ | 1,240,540,154 | ||||||||
Investments in a Liability
Position |
||||||||||||||||
Unfunded Commitments |
$ | | $ | (1,909,991 | ) | $ | | $ | (1,909,991 | ) | ||||||
Forward Foreign Currency
Contracts |
$ | (149,794 | ) | (149,794 | ) | |||||||||||
Swap Agreements |
| (171,079 | ) | | (171,079 | ) | ||||||||||
Total Investments in a
Liability Position |
$ | | $ | (2,230,864 | ) | $ | | $ | (2,230,864 | ) | ||||||
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Credit risk
|
||||||||
Swap agreement |
$ | 6,022,761 | $ | (171,079 | ) | |||
Credit risk
|
||||||||
Forward foreign currency |
7,341,039 | (149,794 | ) | |||||
Location of Gain (Loss) on Statement | ||||||||
of Operations | ||||||||
Swap | Foreign Currency | |||||||
Agreements * | Contracts ** | |||||||
Realized Gain (Loss) |
||||||||
Credit risk |
$ | (6,658,734 | ) | $ | -0- | |||
Currency risk |
-0- | (19,752,767 | ) | |||||
Change in Unrealized Appreciation
(Depreciation) |
||||||||
Credit risk |
$ | 415,080 | $ | -0- | ||||
Currency risk |
-0- | 8,059,675 | ||||||
Total |
$ | (6,243,654 | ) | $ | (11,693,092 | ) | ||
* | The average value of swap agreements during the period was $161,985,000. | |
** | The cost of purchases and the proceeds from sales of forward foreign currency contracts were $442,659,878 and $441,514,887, respectively. |
Change in | ||||||||||||||||||||||||||||
Unrealized | Realized | Interest/ | ||||||||||||||||||||||||||
Value | Purchases at | Proceeds from | Appreciation | Gain | Value | Dividend | ||||||||||||||||||||||
02/28/11 | Cost | Sales | (Depreciation) | (Loss) | 05/31/11 | Income | ||||||||||||||||||||||
Targus Group International Inc. Note |
$ | 1,538,235 | $ | -0- | $ | -0- | $ | -0- | $ | -0- | $ | 1,538,235 | $ | 39,310 | ||||||||||||||
Targus Group International Inc.
Common Shares |
179,125 | -0- | -0- | -0- | -0- | 179,125 | -0- | |||||||||||||||||||||
Total |
$ | 1,717,360 | $ | -0- | $ | -0- | $ | -0- | -0- | $ | 1,717,360 | $ | 39,310 | |||||||||||||||
Unrealized | ||||||||||
Unfunded | Appreciation | |||||||||
Description | Type | Commitments | (Depreciation) | |||||||
Axia Acquisition Corp. |
Revolver | $ | 348,226 | $ | (25,950 | ) | ||||
Bright Horizons Family
Solutions, Inc. |
Revolver | 2,899,694 | (11,471 | ) | ||||||
CB Richard Ellis Services, Inc. |
New Term Loan D | 2,073,735 | (6,999 | ) | ||||||
Community Health Systems, Inc. |
Revolver | 10,000,000 | (600,000 | ) | ||||||
Delta Air Lines, Inc. |
Revolver | 2,000,000 | (69,580 | ) | ||||||
General Motors Holdings |
Revolver | 6,451,767 | (520,174 | ) | ||||||
Graphic Packaging
International, Inc. |
Revolver | 5,000,000 | (100,000 | ) | ||||||
Hicks Sporting Group, LLC |
Term Loan | 6,722 | -0- | |||||||
Key Safety Systems, Inc. |
Revolver | 122,500 | (10,109 | ) | ||||||
Lake at Las Vegas Joint Venture |
Exit Revolver | 260,740 | (2,607 | ) | ||||||
Sbarro, Inc. |
Delayed Draw Term Loan | 9,972 | -0- | |||||||
Surgical Care Affiliates, Inc. |
Revolver | 6,250,000 | (562,500 | ) | ||||||
White Birch Paper Co. |
DIP Term Loan | 106,988 | (601 | ) | ||||||
$ | 35,530,344 | $ | (1,909,991 | ) | ||||||
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities |
$ | 49,345,893 | ||
Aggregate unrealized (depreciation) of investment securities |
(159,332,142 | ) | ||
Net unrealized appreciation (depreciation) of investment securities |
$ | (109,986,249 | ) | |
Cost of investments for tax purposes is $1,337,162,603. |
(a) | As of June 10, 2011, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of June 10, 2011, the Registrants disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. | ||
(b) | There have been no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940. |
By: | /s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer | ||||
By: | /s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer | ||||
By: | /s/ Sheri Morris | |||
Sheri Morris | ||||
Principal Financial Officer | ||||