OMB APPROVAL | ||
OMB Number: 3235-0570 | ||
Expires: January 31, 2014 | ||
Estimated average burden | ||
hours per response: 20.6 | ||
2 |
Fund Performance | |
3 |
Dividend Reinvestment Plan | |
4 |
Schedule of Investments | |
18 |
Financial Statements | |
22 |
Financial Highlights | |
22 |
Notes to Financial Statements | |
32 |
Approval of Investment Advisory and Sub-Advisory Agreements | |
34 |
Results of Proxy |
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Fund at NAV |
-5.94 | % | ||
Fund at Market Value |
-11.14 | |||
CS Leveraged Loan Index▼ |
-3.55 | |||
Market Price Discount to NAV as of 8/31/11 |
-8.79 | |||
▼Invesco, Bloomberg L.P.
|
||||
NYSE Symbol | VTA |
2 | Invesco Van Kampen Dynamic Credit Opportunities Fund |
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. |
3 | Invesco Van Kampen Dynamic Credit Opportunities Fund |
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Variable Rate** Senior Loan Interests94.82% |
||||||||||||||||
Aerospace & Defense1.49% |
||||||||||||||||
ARINC, Inc. Second Lien Term Loan (Acquired 01/10/11, Cost
$2,208,173)
|
6.230 | % | 10/25/15 | $ | 2,268 | $ | 2,231,238 | |||||||||
DynCorp International, LLC Term Loan B
|
6.250 | % | 07/05/16 | 1,374 | 1,314,531 | |||||||||||
IAP Worldwide Services, Inc. First Lien Term
Loan(a)
|
9.250 | % | 12/28/12 | 4,560 | 4,451,577 | |||||||||||
SI Organization, Inc. New Term Loan B
|
4.500 | % | 11/22/16 | 756 | 688,170 | |||||||||||
SRA International, Inc. Term Loan
|
6.500 | % | 07/20/18 | 1,907 | 1,801,030 | |||||||||||
Transdigm, Inc. Term Loan
|
4.000 | % | 02/14/17 | 1,500 | 1,449,998 | |||||||||||
Wyle Services Corp. Term Loan B
|
5.750 | % | 03/27/17 | 1,382 | 1,327,684 | |||||||||||
13,264,228 | ||||||||||||||||
Air Transport0.51% |
||||||||||||||||
Delta Air Lines, Inc. New Term Loan B
|
5.500 | % | 04/20/17 | 1,765 | 1,639,843 | |||||||||||
Delta Air Lines, Inc. Term Loan B
|
4.250 | % | 03/07/16 | 3,146 | 2,890,022 | |||||||||||
4,529,865 | ||||||||||||||||
Automotive1.85% |
||||||||||||||||
Autoparts Holdings Ltd. First Lien Term Loan
|
6.500 | % | 07/28/17 | 2,225 | 2,194,349 | |||||||||||
Federal-Mogul Corp. Term Loan B
|
2.140 | % | 12/29/14 | 4,426 | 4,038,771 | |||||||||||
Hertz Corp. Letter of Credit
|
3.750 | % | 03/09/18 | 849 | 793,426 | |||||||||||
KAR Auction Services, Inc. Term Loan B
|
5.000 | % | 05/19/17 | 4,747 | 4,536,816 | |||||||||||
Key Safety Systems, Inc. First Lien Term Loan
|
2.470 | % | 03/08/14 | 1,542 | 1,398,275 | |||||||||||
Key Safety Systems, Inc. Revolving Credit
Agreement(e)
|
2.623 | % | 03/08/13 | 1,878 | 1,625,530 | |||||||||||
Metaldyne Co., LLC New Term Loan B
|
5.250 | % | 05/18/17 | 1,016 | 968,391 | |||||||||||
Tomkins LLC Term Loan B
|
4.250 | % | 09/29/16 | 1,017 | 982,387 | |||||||||||
16,537,945 | ||||||||||||||||
Beverage & Tobacco1.06% |
||||||||||||||||
DSW Holdings, Inc. Term Loan
|
4.221 | % | 03/02/12 | 10,000 | 9,483,300 | |||||||||||
Building & Development3.54% |
||||||||||||||||
Axia Acquisition Corp. Second Lien Term Loan
A(a)
(Acquired 09/05/08-09/30/11, Cost $1,549,502)
|
11.000 | % | 03/11/16 | 178 | 147,074 | |||||||||||
Axia Acquisition Corp. Second Lien Term Loan
B(a)
(Acquired 05/30/08, Cost $2,896,225)
|
5.000 | % | 03/12/16 | 324 | 251,003 | |||||||||||
Building Materials Holding Corp. Second Lien Term
Loan(a)
|
8.000 | % | 01/05/15 | 974 | 881,230 | |||||||||||
Capital Automotive, LP New Term Loan B
|
5.000 | % | 03/10/17 | 7,596 | 7,140,534 | |||||||||||
CB Richard Ellis Services, Inc. New Term Loan D
|
3.705 | % | 09/04/19 | 2,074 | 1,994,031 | |||||||||||
Champion OPCO, LLC Term Loan
|
7.500 | % | 12/31/13 | 775 | 725,039 | |||||||||||
CPG International, Inc. New Term Loan B
|
6.000 | % | 02/18/17 | 851 | 800,066 | |||||||||||
Custom Building Products, Inc. Term Loan B
|
5.750 | % | 03/19/15 | 639 | 602,250 | |||||||||||
El Ad IDB Las Vegas, LLC Term Loan A2 (Acquired 08/30/07, Cost
$2,000,000)
|
4.206 | % | 08/09/12 | 2,000 | 1,050,000 | |||||||||||
Lake At Las Vegas Joint Venture, LLC Exit Revolving Credit
Agreement(a)(e)
(Acquired 07/15/10-10/14/11, Cost $484,310)
|
11.449 | % | 12/31/12 | 443 | 439,062 | |||||||||||
NLV Holdings, LLC Second Lien Term
Loan(a)(b)(c)
(Acquired 08/06/07-10/29/10, Cost $1,655,914)
|
5.250 | % | 05/09/12 | 1,660 | 0 | |||||||||||
Nortek, Inc. Term Loan
|
5.250 | % | 04/26/17 | 847 | 775,347 | |||||||||||
Realogy Corp. Extended Letter of Credit
|
4.436 | % | 10/10/16 | 293 | 242,863 | |||||||||||
Realogy Corp. Extended Term Loan
|
4.522 | % | 10/10/16 | 16,881 | 14,011,146 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Building & Development(continued) |
||||||||||||||||
Realogy Corp. Letter of Credit
|
3.186 | % | 10/10/13 | $ | 1,113 | $ | 991,217 | |||||||||
Realogy Corp. Term Loan
|
3.272 | % | 10/10/13 | 1,051 | 935,496 | |||||||||||
Rhodes Homes New Term
Loan(a)(Acquired
07/09/07-09/30/11, Cost $1,611,373)
|
5.307 | % | 03/31/16 | 410 | 338,118 | |||||||||||
WCI Communities, Inc. PIK Term
Loan(a)
|
11.000 | % | 09/02/16 | 302 | 289,492 | |||||||||||
31,613,968 | ||||||||||||||||
Business Equipment & Services6.67% |
||||||||||||||||
Affinion Group, Inc. Term Loan B
|
5.000 | % | 10/10/16 | 5,087 | 4,619,787 | |||||||||||
Asurion Corp. New First Lien Term Loan
|
5.500 | % | 05/24/18 | 6,155 | 5,789,302 | |||||||||||
Asurion Corp. New Second Lien Term Loan
|
9.000 | % | 05/24/19 | 6,570 | 6,340,274 | |||||||||||
BakerCorp International, Inc. Term Loan B
|
5.000 | % | 06/01/18 | 1,521 | 1,455,878 | |||||||||||
Bright Horizons Family Solutions, Inc. Revolving Credit
Agreement(e)
|
5.500 | % | 05/28/14 | 232 | 214,769 | |||||||||||
Bright Horizons Family Solutions, Inc. Term Loan B
|
4.230 | % | 05/28/15 | 1,141 | 1,091,788 | |||||||||||
Brock Holdings III, Inc. New Term Loan B
|
6.000 | % | 03/16/17 | 2,479 | 2,218,678 | |||||||||||
First Data Corp. Delayed Draw Term Loan
|
2.967 | % | 09/24/14 | 1,826 | 1,579,076 | |||||||||||
First Data Corp. Extended Term Loan B
|
4.217 | % | 03/23/18 | 1,563 | 1,316,656 | |||||||||||
First Data Corp. Term Loan B1
|
2.967 | % | 09/24/14 | 4,636 | 4,099,042 | |||||||||||
First Data Corp. Term Loan B2
|
2.967 | % | 09/24/14 | 11,077 | 9,789,274 | |||||||||||
First Data Corp. Term Loan B3
|
2.967 | % | 09/24/14 | 1,502 | 1,327,412 | |||||||||||
Interactive Data Corp. Term Loan B
|
4.500 | % | 02/12/18 | 500 | 475,940 | |||||||||||
iPayment, Inc. Term Loan B
|
5.750 | % | 05/08/17 | 1,672 | 1,598,867 | |||||||||||
Kronos, Inc. Second Lien Term Loan
|
5.996 | % | 06/11/15 | 4,155 | 4,022,966 | |||||||||||
Mitchell International, Inc. Second Lien Term Loan
|
5.500 | % | 03/30/15 | 3,654 | 3,356,681 | |||||||||||
NCO Financial Systems Term Loan B
|
8.000 | % | 05/15/13 | 4,957 | 4,860,884 | |||||||||||
SMG Holdings, Inc. Term Loan B
|
3.280 | % | 07/27/14 | 3,767 | 3,616,755 | |||||||||||
SunGard Data Systems, Inc. Add on Term Loan
|
3.705 | % | 02/28/14 | 413 | 395,795 | |||||||||||
SunGard Data Systems, Inc. Term Loan B
|
3.860 | % | 02/26/16 | 1,423 | 1,355,657 | |||||||||||
59,525,481 | ||||||||||||||||
Cable & Satellite Television1.65% |
||||||||||||||||
AMC Networks, Inc. Term Loan B
|
4.000 | % | 12/31/18 | 454 | 440,385 | |||||||||||
Charter Communications Operating, LLC Extended Term Loan
|
3.500 | % | 09/06/16 | 3 | 2,704 | |||||||||||
Charter Communications Operating, LLC Third Lien Term Loan
|
2.721 | % | 09/05/14 | 3,000 | 2,835,000 | |||||||||||
MCC Iowa, LLC Term Loan F
|
4.500 | % | 10/23/17 | 889 | 842,208 | |||||||||||
Mediacom Illinois, LLC Term Loan E
|
4.500 | % | 10/23/17 | 2,487 | 2,328,863 | |||||||||||
NDS Finance Limited Term Loan B
|
4.000 | % | 03/12/18 | 979 | 907,559 | |||||||||||
UPC Broadband Holding, B.V. Term Loan T (Netherlands)
|
3.688 | % | 12/30/16 | | 304 | 282,290 | ||||||||||
YPSO Holding, SA Term Loan (Luxembourg)
|
1.357 | % | 12/31/15 | | 6,000 | 7,135,287 | ||||||||||
14,774,296 | ||||||||||||||||
Chemicals & Plastics3.94% |
||||||||||||||||
Armored Autogroup, Inc. Term Loan B
|
6.000 | % | 11/04/16 | 1,176 | 1,075,801 | |||||||||||
Hexion Specialty Chemicals, Inc. Extended Term Loan C4
|
4.060 | % | 05/05/15 | 1,394 | 1,268,270 | |||||||||||
Hexion Specialty Chemicals, Inc. Extended Term Loan C5
|
4.000 | % | 05/05/15 | 4,815 | 4,357,130 | |||||||||||
Houghton International, Inc. New Term Loan B
|
6.750 | % | 01/29/16 | 2,953 | 2,923,199 | |||||||||||
Ineos Holdings Ltd. Term Loan B1 (United Kingdom)
|
7.501 | % | 12/16/13 | | 4,609 | 6,617,547 | ||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Chemicals & Plastics(continued) |
||||||||||||||||
Ineos Holdings Ltd. Term Loan C1 (United Kingdom)
|
8.001 | % | 12/16/14 | | 5,165 | $ | 7,453,735 | |||||||||
Ineos Holdings Ltd. Term Loan D
|
9.001 | % | 12/16/15 | 2,000 | 2,784,757 | |||||||||||
MetoKote Corp. Term Loan Refinance
|
9.000 | % | 11/27/11 | 4,746 | 4,701,786 | |||||||||||
OM Group, Inc. Term Loan B
|
5.750 | % | 08/02/17 | 1,212 | 1,192,562 | |||||||||||
OMNOVA Solutions, Inc. Term Loan B
|
5.750 | % | 05/31/17 | 250 | 244,423 | |||||||||||
Phillips Plastics Corp. Term Loan
|
7.250 | % | 02/10/17 | 723 | 719,491 | |||||||||||
Potters Holdings II, LP First Lien Term Loan
|
6.000 | % | 05/05/17 | 470 | 453,555 | |||||||||||
PQ Corp. Term Loan B
|
3.500 | % | 07/30/14 | 1,528 | 1,408,207 | |||||||||||
35,200,463 | ||||||||||||||||
Clothing/Textiles0.49% |
||||||||||||||||
Levi Strauss & Co. Term Loan
|
2.471 | % | 03/27/14 | 5,000 | 4,362,500 | |||||||||||
Conglomerates0.89% |
||||||||||||||||
Goodman Global Holdings, Inc. First Lien Term Loan
|
5.750 | % | 10/28/16 | 4,341 | 4,289,027 | |||||||||||
Goodman Global Holdings, Inc. Second Lien Term Loan
|
9.000 | % | 10/30/17 | 335 | 338,602 | |||||||||||
RGIS Holdings, LLC Delayed Draw Term Loan
|
2.746 | % | 04/30/14 | 167 | 159,505 | |||||||||||
RGIS Holdings, LLC Term Loan B
|
2.746 | % | 04/30/14 | 3,349 | 3,190,102 | |||||||||||
7,977,236 | ||||||||||||||||
Containers & Glass Products3.64% |
||||||||||||||||
Anchor Glass Container Corp. First Lien Term Loan
|
6.000 | % | 03/02/16 | 2,968 | 2,945,931 | |||||||||||
Anchor Glass Container Corp. Second Lien Term Loan
|
10.000 | % | 09/02/16 | 1,350 | 1,339,875 | |||||||||||
Berlin Packaging, LLC Second Lien Term Loan
|
6.780 | % | 08/17/15 | 3,000 | 2,805,000 | |||||||||||
Berlin Packaging, LLC Term Loan
|
3.240 | % | 08/17/14 | 5,777 | 5,531,872 | |||||||||||
Plastics Group, Inc. Term Loan C
|
2.208 | % | 04/03/15 | 1,421 | 1,272,993 | |||||||||||
Exopack, LLC Term Loan B
|
6.500 | % | 05/26/17 | 2,183 | 2,073,905 | |||||||||||
Graham Packaging Co., L.P. Term Loan C
|
6.750 | % | 04/04/14 | 7,235 | 7,198,361 | |||||||||||
Graham Packaging Co., L.P. Term Loan D
|
6.000 | % | 09/23/16 | 6,019 | 5,989,321 | |||||||||||
Ranpak Corp. Term Loan
|
4.750 | % | 04/20/17 | 457 | 446,907 | |||||||||||
Reynolds Group Holdings, Inc. Term Loan
E(e)
|
6.500 | % | 02/09/18 | 3,000 | 2,886,000 | |||||||||||
32,490,165 | ||||||||||||||||
Cosmetics/Toiletries1.21% |
||||||||||||||||
Huish Detergents, Inc. Second Lien Term Loan
|
4.480 | % | 10/26/14 | 1,250 | 1,058,331 | |||||||||||
Huish Detergents, Inc. Term Loan B
|
2.230 | % | 04/25/14 | 1,912 | 1,771,672 | |||||||||||
KIK Custom Products, Inc. Canadian Term Loan
|
2.510 | % | 06/02/14 | 196 | 167,509 | |||||||||||
KIK Custom Products, Inc. First Lien Term Loan
|
2.510 | % | 06/02/14 | 1,142 | 977,134 | |||||||||||
KIK Custom Products, Inc. Second Lien Term Loan
|
5.264 | % | 11/28/14 | 7,000 | 4,541,250 | |||||||||||
Marietta Intermediate Holding Corp. Term Loan
B(a)
(Acquired 07/13/07-02/07/11, Cost $5,222,528)
|
7.000 | % | 02/19/15 | 1,194 | 1,062,306 | |||||||||||
Revlon Consumer Products Corp. New Term Loan B
|
4.750 | % | 11/17/17 | 1,303 | 1,252,350 | |||||||||||
10,830,552 | ||||||||||||||||
Drugs2.47% |
||||||||||||||||
Capsugel Healthcare US, Inc. Term Loan
|
5.250 | % | 08/01/18 | 2,620 | 2,547,767 | |||||||||||
Grifols, Inc. Term Loan B
|
6.000 | % | 06/01/17 | 4,211 | 4,135,613 | |||||||||||
Harlan Sprague Dawley, Inc. Term Loan B
|
3.770 | % | 07/11/14 | 810 | 734,628 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Drugs(continued) |
||||||||||||||||
Medpace Intermediateco, Inc. Term Loan B
|
6.500 | % | 06/22/17 | $ | 1,915 | $ | 1,838,255 | |||||||||
Nyco Holdings 2 Aps Term Loan B2 (Denmark)
|
3.971 | % | 12/29/14 | 1,500 | 1,482,699 | |||||||||||
Nyco Holdings 2 Aps Term Loan C2 (Denmark)
|
4.721 | % | 12/29/15 | 1,500 | 1,490,377 | |||||||||||
Nyco Holdings 3 Aps Facility A1 (Denmark)
|
3.221 | % | 12/29/13 | 76 | 75,736 | |||||||||||
Nyco Holdings 3 Aps Facility A2 (Denmark)
|
3.221 | % | 12/29/13 | 397 | 393,007 | |||||||||||
Nyco Holdings 3 Aps Facility A3 (Denmark)
|
3.221 | % | 12/29/13 | 12 | 12,196 | |||||||||||
Nyco Holdings 3 Aps Facility A4 (Denmark)
|
3.221 | % | 12/29/13 | 8 | 7,769 | |||||||||||
Nyco Holdings 3 Aps Facility A5 (Denmark)
|
3.221 | % | 12/29/13 | 55 | 54,931 | |||||||||||
RPI Finance Trust Term Loan 2
|
4.000 | % | 05/09/18 | 8,778 | 8,547,316 | |||||||||||
Warner Chilcott Co., LLC Term Loan B1
|
4.250 | % | 03/15/18 | 343 | 330,108 | |||||||||||
Warner Chilcott Co., LLC Term Loan B2
|
4.250 | % | 03/15/18 | 171 | 165,268 | |||||||||||
Warner Chilcott Co., LLC Term Loan B3
|
4.250 | % | 03/15/18 | 236 | 227,244 | |||||||||||
22,042,914 | ||||||||||||||||
Ecological Services & Equipment1.76% |
||||||||||||||||
ServiceMaster Co. Delayed Draw Term Loan
|
2.720 | % | 07/24/14 | 623 | 579,871 | |||||||||||
ServiceMaster Co. Letter of Credit
|
2.782 | % | 07/24/14 | 2,802 | 2,549,765 | |||||||||||
ServiceMaster Co. Term Loan
|
2.710 | % | 07/24/14 | 7,342 | 6,831,256 | |||||||||||
Synagro Technologies, Inc. Second Lien Term Loan
|
4.960 | % | 10/02/14 | 6,850 | 5,754,000 | |||||||||||
15,714,892 | ||||||||||||||||
Electronics/Electrical2.84% |
||||||||||||||||
Bentley Systems, Inc. Term Loan B
|
5.750 | % | 02/10/17 | 675 | 650,912 | |||||||||||
Commscope, Inc. New Term Loan B
|
5.000 | % | 01/14/18 | 1,827 | 1,763,714 | |||||||||||
Datatel, Inc. Extended First Lien Term Loan
|
5.000 | % | 02/20/17 | 677 | 669,844 | |||||||||||
Datatel, Inc. Extended Second Lien Term Loan
|
8.750 | % | 02/19/18 | 3,268 | 3,255,849 | |||||||||||
DEI Sales, Inc. Term Loan B
|
7.000 | % | 07/13/17 | 1,516 | 1,489,394 | |||||||||||
DG FastChannel, Inc. Term Loan B
|
5.750 | % | 07/26/18 | 1,993 | 1,943,502 | |||||||||||
Freescale Semiconductor, Inc. Extended Term Loan B
|
4.438 | % | 12/01/16 | 5,994 | 5,479,408 | |||||||||||
Infor Enterprise Solutions Holdings, Inc. Extended Delayed Draw
Term Loan
|
5.980 | % | 07/28/15 | 932 | 849,863 | |||||||||||
Infor Enterprise Solutions Holdings, Inc. Extended Initial Term
Loan
|
5.980 | % | 07/28/15 | 1,822 | 1,661,758 | |||||||||||
Open Solutions, Inc. Term Loan B
|
2.375 | % | 01/23/14 | 5,714 | 4,684,287 | |||||||||||
Sensata Technologies Finance Co., LLC New Term Loan
|
4.000 | % | 05/11/18 | 1,000 | 966,250 | |||||||||||
Spectrum Brands, Inc. Term Loan B (Netherlands)
|
5.000 | % | 06/17/16 | 2,024 | 1,945,801 | |||||||||||
25,360,582 | ||||||||||||||||
Farming/Agriculture0.22% |
||||||||||||||||
WM. Bolthouse Farms, Inc. New First Lien Term Loan
|
5.500 | % | 02/11/16 | 950 | 928,853 | |||||||||||
WM. Bolthouse Farms, Inc. New Second Lien Term Loan
|
9.500 | % | 08/11/16 | 1,091 | 1,075,915 | |||||||||||
2,004,768 | ||||||||||||||||
Financial Intermediaries1.99% |
||||||||||||||||
Fidelity National Information Solutions, Inc. Term Loan B
|
5.250 | % | 07/18/16 | 2,123 | 2,100,464 | |||||||||||
Mondrian Investment Partners, Ltd. Term Loan
|
5.500 | % | 07/12/18 | 1,179 | 1,136,011 | |||||||||||
Nuveen Investments, Inc. Extended Term Loan
|
5.750 | % | 05/12/17 | 8,457 | 7,949,399 | |||||||||||
RJO Holdings Corp. FCM Term Loan
|
6.210 | % | 12/10/15 | 74 | 66,090 | |||||||||||
RJO Holdings Corp. HoldCo Term Loan B
|
6.210 | % | 12/10/15 | 3,472 | 2,569,183 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Financial Intermediaries(continued) |
||||||||||||||||
Transfirst Holdings, Inc. Second Lien Term
Loan(a)
|
6.250 | % | 06/15/15 | $ | 1,532 | $ | 1,317,671 | |||||||||
Transfirst Holdings, Inc. Term Loan B
|
3.000 | % | 06/15/14 | 2,872 | 2,585,026 | |||||||||||
17,723,844 | ||||||||||||||||
Food Products2.69% |
||||||||||||||||
Advantage Sales & Marketing, Inc. Second Lien Term Loan
|
9.250 | % | 06/18/18 | 527 | 504,460 | |||||||||||
Advantage Sales & Marketing, Inc. Term Loan B
|
5.250 | % | 12/18/17 | 1,434 | 1,356,565 | |||||||||||
Cucina Acquisition Ltd. Term Loan B (United Kingdom)
|
3.410 | % | 09/14/15 | £ | 1,500 | 2,072,751 | ||||||||||
Cucina Acquisition Ltd. Term Loan C (United Kingdom)
|
3.910 | % | 09/12/16 | £ | 1,500 | 2,084,926 | ||||||||||
Dean Foods Co. Extended Term Loan B1
|
3.250 | % | 04/02/16 | 1,247 | 1,164,771 | |||||||||||
Dean Foods Co. Extended Term Loan B2
|
3.490 | % | 04/02/17 | 2,250 | 2,140,313 | |||||||||||
Farleys & Sathers Candy Co., Inc. Term Loan
|
6.500 | % | 03/30/18 | 2,353 | 2,329,114 | |||||||||||
Foodvest Ltd. Term Loan C2 (United Kingdom)
|
6.109 | % | 09/23/16 | | 1,276 | 1,760,497 | ||||||||||
JBS USA Holdings, Inc. Term Loan B
|
4.250 | % | 05/25/18 | 1,500 | 1,436,250 | |||||||||||
Panrico, Inc. Term Loan (Spain)
|
8.975 | % | 09/08/16 | | 768 | 26,185 | ||||||||||
Pierre Foods, Inc. First Lien Term Loan
|
7.000 | % | 09/30/16 | 4,228 | 4,114,035 | |||||||||||
Pierre Foods, Inc. Second Lien Term Loan
|
11.250 | % | 09/29/17 | 930 | 915,699 | |||||||||||
Pinnacle Foods Holdings Corp. Term Loan D
|
6.000 | % | 04/02/14 | 4,169 | 4,129,025 | |||||||||||
24,034,591 | ||||||||||||||||
Food Service0.56% |
||||||||||||||||
Darling International, Inc. Term Loan
|
5.000 | % | 12/16/16 | 125 | 124,501 | |||||||||||
OSI Restaurant Partners, LLC Revolving Credit Agreement
|
0.069 | % | 06/14/13 | 1,639 | 1,517,451 | |||||||||||
OSI Restaurant Partners, LLC Term Loan B
|
2.563 | % | 06/14/14 | 3,558 | 3,294,638 | |||||||||||
Sbarro, Inc. Delayed Draw Term Loan
|
4.750 | % | 01/05/12 | 10 | 9,972 | |||||||||||
Sbarro, Inc. DIP Term Loan
|
8.750 | % | 01/05/12 | 22 | 21,937 | |||||||||||
Sbarro, Inc. Second Lien Term Loan
|
8.750 | % | 01/05/12 | 5 | 4,653 | |||||||||||
4,973,152 | ||||||||||||||||
Food/Drug Retailers2.44% |
||||||||||||||||
Alliance Boots Holdings, Ltd. Second Lien Term Loan (United
Kingdom)
|
4.861 | % | 07/05/16 | £ | 4,000 | 5,858,101 | ||||||||||
Alliance Boots Holdings, Ltd. Second Lien Term Loan (United
Kingdom)
|
5.358 | % | 07/05/16 | | 1,390 | 1,806,857 | ||||||||||
Rite Aid Corp. Term Loan 5
|
4.500 | % | 03/02/18 | 5,185 | 4,822,057 | |||||||||||
Rite Aid Corp. Term Loan B
|
1.970 | % | 06/04/14 | 4,012 | 3,693,851 | |||||||||||
Roundys Supermarkets, Inc. Extended Term Loan
|
7.000 | % | 11/03/13 | 2,241 | 2,151,261 | |||||||||||
Supervalu, Inc. Term Loan B3
|
4.500 | % | 04/28/18 | 3,674 | 3,442,637 | |||||||||||
21,774,764 | ||||||||||||||||
Forest Products0.94% |
||||||||||||||||
Ainsworth Lumber Co., Ltd. Term Loan
|
5.250 | % | 06/26/14 | 3,200 | 2,940,800 | |||||||||||
Cenveo Corp. Term Loan B
|
6.250 | % | 12/21/16 | 4,044 | 3,902,156 | |||||||||||
Verso Paper Holding, LLC Term
Loan(a)
|
6.650 | % | 02/01/13 | 458 | 398,077 | |||||||||||
White Birch Paper Co. DIP Delayed Draw Term Loan
(Canada)(e)
|
6.720 | % | 09/30/11 | 96 | 94,725 | |||||||||||
White Birch Paper Co. DIP Term Loan B (Canada)
|
12.000 | % | 09/30/11 | 584 | 579,242 | |||||||||||
Xerium Technologies, Inc. New Term Loan B
|
5.500 | % | 05/22/17 | 535 | 520,352 | |||||||||||
8,435,352 | ||||||||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Health Care2.72% |
||||||||||||||||
Alere, Inc. Term Loan B
|
4.500 | % | 06/30/17 | $ | 2,500 | $ | 2,368,125 | |||||||||
Biomet, Inc. Term Loan B
|
3.358 | % | 03/25/15 | 750 | 716,565 | |||||||||||
Carestream Health, Inc. Term Loan B
|
5.000 | % | 02/25/17 | 4,374 | 3,599,265 | |||||||||||
Community Health Systems, Inc. Extended Term Loan B
|
3.820 | % | 01/25/17 | 2,341 | 2,152,613 | |||||||||||
Drumm Investors, LLC Term Loan
|
5.000 | % | 05/04/18 | 2,742 | 2,460,672 | |||||||||||
Genoa Healthcare Group, LLC Second Lien Term Loan (Acquired
06/08/11, Cost $1,054,842)
|
11.500 | % | 02/10/13 | 1,091 | 1,085,537 | |||||||||||
Gentiva Health Services, Inc. New Term Loan B
|
4.750 | % | 08/17/16 | 2,058 | 1,823,539 | |||||||||||
HCR Healthcare, LLC New Term Loan
|
5.000 | % | 04/06/18 | 687 | 587,897 | |||||||||||
Kindred Healthcare, Inc. Term Loan
|
5.250 | % | 06/01/18 | 376 | 347,775 | |||||||||||
Sun Healthcare Group, Inc. New Term Loan B
|
7.500 | % | 10/15/16 | 1,336 | 1,225,614 | |||||||||||
Surgery Center Holdings, Inc. Term Loan B
|
6.500 | % | 02/06/17 | 1,172 | 1,142,773 | |||||||||||
Surgical Care Affiliates, Inc. Term Loan B
|
4.246 | % | 12/29/17 | 5,782 | 5,203,587 | |||||||||||
Trizetto Group, Inc. Term Loan B
|
4.750 | % | 05/02/18 | 1,129 | 1,054,533 | |||||||||||
United Surgical Partners, International, Inc. Term Loan B
|
2.230 | % | 04/18/14 | 589 | 543,233 | |||||||||||
24,311,728 | ||||||||||||||||
Home Furnishings1.73% |
||||||||||||||||
Hunter Fan Co. Second Lien Term Loan
|
6.960 | % | 10/16/14 | 6,789 | 5,465,526 | |||||||||||
Hunter Fan Co. Term Loan
|
2.720 | % | 04/16/14 | 1,588 | 1,449,122 | |||||||||||
Mattress Holdings Corp. Term Loan B
|
2.500 | % | 01/17/14 | 4,797 | 4,412,880 | |||||||||||
National Bedding Co., LLC Second Lien Term Loan
|
5.313 | % | 02/28/14 | 3,458 | 3,163,779 | |||||||||||
Springs Windows Fashions, LLC New Term Loan B
|
6.000 | % | 05/31/17 | 997 | 963,244 | |||||||||||
15,454,551 | ||||||||||||||||
Industrial Equipment0.73% |
||||||||||||||||
Husky Injection Molding Systems Ltd. Term Loan
|
6.500 | % | 06/30/18 | 1,431 | 1,390,369 | |||||||||||
Mold-Masters Luxembourg Holdings, S.A. Mold Masters Term Loan
|
3.813 | % | 10/10/14 | 3,594 | 3,459,014 | |||||||||||
Terex Corp. Term Loan B
|
5.500 | % | 04/28/17 | 1,707 | 1,681,071 | |||||||||||
6,530,454 | ||||||||||||||||
Insurance0.76% |
||||||||||||||||
Alliant Holdings I, Inc. Term Loan D
|
6.750 | % | 08/21/14 | 1,024 | 1,008,787 | |||||||||||
C.G. JCF Corp. Term Loan
|
3.230 | % | 08/01/14 | 588 | 561,659 | |||||||||||
HMSC Corp. Second Lien Term Loan
|
5.721 | % | 10/03/14 | 1,750 | 1,161,562 | |||||||||||
Sedgwick CMS Holdings, Inc. New Term Loan
|
5.000 | % | 12/30/16 | 646 | 604,058 | |||||||||||
Sedgwick CMS Holdings, Inc. Second Lien Term Loan
|
9.000 | % | 05/26/17 | 1,600 | 1,560,000 | |||||||||||
USI Holdings Corp. Incremental Term Loan
|
7.000 | % | 05/05/14 | 1,965 | 1,866,750 | |||||||||||
6,762,816 | ||||||||||||||||
Leisure Goods/Activities/Movies2.02% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc. Term Loan
|
6.750 | % | 04/22/16 | 3,810 | 3,612,222 | |||||||||||
Alpha Topco, Ltd. Second Lien Term Loan (United Kingdom)
|
3.901 | % | 06/30/14 | 1,800 | 1,638,900 | |||||||||||
Alpha Topco, Ltd. Term Loan B1 (United Kingdom)
|
2.651 | % | 12/31/13 | 3,529 | 3,331,034 | |||||||||||
Alpha Topco, Ltd. Term Loan B2 (United Kingdom)
|
2.650 | % | 12/31/13 | 2,244 | 2,117,729 | |||||||||||
Fender Musical Instruments Corp. Delayed Draw Term Loan
|
2.480 | % | 06/09/14 | 1,024 | 942,405 | |||||||||||
Fender Musical Instruments Corp. Term Loan B
|
2.480 | % | 06/09/14 | 2,028 | 1,865,345 | |||||||||||
Hicks Sports Group, LLC
|
14.999 | % | 10/31/11 | 98 | 98,913 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Leisure Goods/Activities/Movies(continued) |
||||||||||||||||
IMG Worldwide, Inc. New Term Loan B
|
5.500 | % | 06/16/16 | $ | 556 | $ | 516,920 | |||||||||
Sabre, Inc. Term Loan B
|
2.230 | % | 09/30/14 | 4,545 | 3,915,138 | |||||||||||
18,038,606 | ||||||||||||||||
Lodging & Casinos9.95% |
||||||||||||||||
Boyd Gaming Corp. Extended Revolving Credit Agreement
|
3.720 | % | 12/17/15 | 2,405 | 2,095,353 | |||||||||||
Boyd Gaming Corp. Revolving Credit Agreement
|
1.820 | % | 05/24/12 | 4,000 | 3,845,000 | |||||||||||
Boyd Gaming Corp. Term Loan
|
3.721 | % | 12/17/15 | 2,475 | 2,280,829 | |||||||||||
Cannery Casino Resorts, LLC Delayed Draw Term Loan
|
4.471 | % | 05/20/13 | 1,868 | 1,752,405 | |||||||||||
Cannery Casino Resorts, LLC Second Lien Term Loan
|
4.471 | % | 05/16/14 | 2,500 | 2,143,750 | |||||||||||
Cannery Casino Resorts, LLC Term Loan B
|
4.471 | % | 05/17/13 | 2,258 | 2,118,967 | |||||||||||
CCM Merger Corp. New Term Loan B
|
7.000 | % | 03/01/17 | 1,533 | 1,492,513 | |||||||||||
Chester Downs And Marina, LLC Incremental Term Loan
|
12.375 | % | 07/29/16 | 184 | 184,440 | |||||||||||
Chester Downs And Marina, LLC Term Loan
|
12.375 | % | 07/29/16 | 3,605 | 3,605,448 | |||||||||||
Golden Nugget, Inc. New Delayed Draw Term
Loan(a)
|
3.230 | % | 06/30/14 | 361 | 309,638 | |||||||||||
Golden Nugget, Inc. Term Loan
B(a)
|
3.230 | % | 06/30/14 | 633 | 543,948 | |||||||||||
Harrahs Operating Co. Term Loan B1
|
3.253 | % | 01/28/15 | 7,137 | 6,184,858 | |||||||||||
Harrahs Operating Co. Term Loan B3
|
3.250 | % | 01/28/15 | 13,764 | 11,923,108 | |||||||||||
Harrahs Operating Co. Term Loan B4
|
9.500 | % | 10/31/16 | 492 | 494,347 | |||||||||||
Las Vegas Sands, LLC Delayed Draw Term Loan 2
|
1.740 | % | 05/23/13 | 1,500 | 1,390,980 | |||||||||||
Las Vegas Sands, LLC Extended Delayed Draw Term Loan 2
|
2.720 | % | 11/23/15 | 160 | 149,307 | |||||||||||
Magnolia Hill, LLC Delayed Draw Term Loan (Acquired
11/04/08-11/12/08, Cost $1,050,390)
|
3.440 | % | 10/30/13 | 1,053 | 942,449 | |||||||||||
Magnolia Hill, LLC Mezzanine Loan (Acquired 10/31/07, Cost
$4,649,858)
|
14.000 | % | 04/30/14 | 4,650 | 4,533,612 | |||||||||||
Magnolia Hill, LLC Term Loan (Acquired 10/31/07, Cost $2,989,570)
|
3.440 | % | 10/30/13 | 2,997 | 2,682,356 | |||||||||||
Regency Entertainment S.A. Term Loan B (Greece)
|
3.867 | % | 03/03/14 | | 9,733 | 4,508,791 | ||||||||||
Regency Entertainment S.A. Term Loan C (Greece)
|
4.240 | % | 03/02/15 | | 9,751 | 4,587,209 | ||||||||||
Travelodge Hotels Term Loan B (United Kingdom)
|
4.612 | % | 09/05/14 | £ | 7,110 | 10,070,102 | ||||||||||
Travelodge Hotels Term Loan C (United Kingdom)
|
5.138 | % | 09/04/15 | £ | 7,110 | 10,127,810 | ||||||||||
Twin River Worldwide Holdings, Inc. Term Loan
|
8.500 | % | 11/05/15 | 4,235 | 4,221,852 | |||||||||||
Venetian Macau, Ltd. Delayed Draw Term Loan B
|
4.730 | % | 05/25/12 | 1,254 | 1,246,342 | |||||||||||
Venetian Macau, Ltd. New Project Term Loan
|
4.730 | % | 05/27/13 | 1,439 | 1,430,133 | |||||||||||
Venetian Macau, Ltd. Term Loan B
|
4.730 | % | 05/27/13 | 3,967 | 3,935,899 | |||||||||||
88,801,446 | ||||||||||||||||
Nonferrous metals/minerals0.22% |
||||||||||||||||
Walter Energy, Inc. Term Loan B
|
4.000 | % | 04/02/18 | 2,000 | 1,922,500 | |||||||||||
Oil & Gas1.84% |
||||||||||||||||
Big West Oil, LLC New Term Loan
|
7.000 | % | 03/31/16 | 485 | 484,111 | |||||||||||
CCS, Inc. Term Loan B
|
3.246 | % | 11/14/14 | 4,286 | 3,835,577 | |||||||||||
Citgo Petroleum Corp. Term Loan B
|
8.000 | % | 06/24/15 | 728 | 730,957 | |||||||||||
Obsidian Natural Gas Trust Term Loan (United Kingdom)
|
7.000 | % | 11/02/15 | 2,040 | 2,030,200 | |||||||||||
RAM Energy Resources, Inc. Second Lien Term Loan (Acquired
03/15/11, Cost $1,622,178)
|
11.000 | % | 09/13/16 | 1,652 | 1,643,252 | |||||||||||
SemGroup Corp. Term Loan B
|
5.750 | % | 06/15/18 | 1,472 | 1,470,925 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Oil & Gas(continued) |
||||||||||||||||
Western Refining, Inc. New Term Loan B
|
7.500 | % | 03/15/17 | $ | 2,988 | $ | 2,961,193 | |||||||||
Willbros United States Holdings, Inc. Term Loan B
|
9.500 | % | 06/30/14 | 3,270 | 3,229,420 | |||||||||||
16,385,635 | ||||||||||||||||
Oil & Gas Drilling0.74% |
||||||||||||||||
Abbot Group Ltd. Term Loan B1 (United Kingdom)
|
5.221 | % | 03/15/16 | 161 | 140,377 | |||||||||||
Abbot Group Ltd. Term Loan B2 (United Kingdom)
|
5.221 | % | 03/19/16 | 3,535 | 3,066,242 | |||||||||||
Abbot Group Ltd. Term Loan C1 (United Kingdom)
|
5.471 | % | 03/15/17 | 57 | 50,108 | |||||||||||
Abbot Group Ltd. Term Loan C2 (United Kingdom)
|
5.471 | % | 03/19/17 | 2,850 | 2,486,950 | |||||||||||
Abbot Group Ltd. Term Loan C3 (United Kingdom)
|
5.471 | % | 03/19/17 | 988 | 862,138 | |||||||||||
6,605,815 | ||||||||||||||||
Publishing4.50% |
||||||||||||||||
Affiliated Media, Inc. New Term Loan
|
8.500 | % | 03/19/14 | 1,208 | 1,173,614 | |||||||||||
Cengage Learning Holdings II, L.P. Term Loan
|
2.500 | % | 07/03/14 | 4,325 | 3,602,037 | |||||||||||
Gatehouse Media, Inc. Delayed Draw Term Loan
|
2.230 | % | 08/28/14 | 302 | 90,130 | |||||||||||
Gatehouse Media, Inc. Term Loan B
|
2.230 | % | 08/28/14 | 810 | 241,659 | |||||||||||
Harland Clarke Holdings Corp. Term Loan B
|
2.740 | % | 06/30/14 | 2,427 | 2,036,447 | |||||||||||
Knowledgepoint360 Group, LLC First Lien Term Loan
|
3.550 | % | 04/14/14 | 931 | 851,515 | |||||||||||
Knowledgepoint360 Group, LLC Second Lien Term Loan
|
7.293 | % | 04/13/15 | 2,000 | 1,600,000 | |||||||||||
Merrill Communications, LLC Second Lien Term
Loan(a)
|
11.852 | % | 11/15/13 | 5,109 | 4,929,835 | |||||||||||
Merrill Communications, LLC Term Loan
|
7.500 | % | 12/24/12 | 3,856 | 3,759,573 | |||||||||||
Newsday, LLC Term Loan
|
6.499 | % | 08/01/13 | 2,333 | 2,346,458 | |||||||||||
Tribune Co. Term Loan
B(b)(c)
|
5.250 | % | 06/04/14 | 29,437 | 17,785,084 | |||||||||||
Yell Group PLC New Term Loan B1 (United Kingdom)
|
3.971 | % | 07/31/14 | 5,424 | 1,795,040 | |||||||||||
40,211,392 | ||||||||||||||||
Radio & Television9.21% |
||||||||||||||||
Citadel Broadcasting Corp. New Term Loan B
|
4.250 | % | 12/30/16 | 644 | 637,149 | |||||||||||
Clear Channel Communications, Inc. Term Loan B
|
3.871 | % | 01/28/16 | 17,403 | 13,123,131 | |||||||||||
CMP KC, LLC Term
Loan(b)
|
6.250 | % | 10/03/11 | 1,887 | 235,830 | |||||||||||
CMP Susquehanna Corp. Term Loan
|
2.250 | % | 05/03/13 | 3,316 | 3,288,790 | |||||||||||
Harron Communications Corp. Term Loan B
|
5.250 | % | 10/06/17 | 1,354 | 1,306,332 | |||||||||||
High Plains Broadcasting Operating Co., LLC Term Loan
|
9.000 | % | 09/14/16 | 628 | 620,358 | |||||||||||
Intelsat Jackson Holdings S.A. New Term Loan
|
5.250 | % | 04/02/18 | 7,464 | 7,193,316 | |||||||||||
Multicultural Radio Broadcasting, Inc. Term Loan
|
2.970 | % | 12/18/12 | 1,383 | 1,265,489 | |||||||||||
Newport Television, LLC Term Loan B
|
9.000 | % | 09/14/16 | 2,297 | 2,269,573 | |||||||||||
Prosiebensat.1 Media Ag Revolving Credit Agreement (Germany)
|
3.730 | % | 03/06/15 | | 12,694 | 14,223,753 | ||||||||||
Raycom TV Broadcasting, Inc. Term Loan B
|
4.500 | % | 05/31/17 | 3,110 | 2,946,845 | |||||||||||
Tyrol Acquisitions Extended Term Loan B2 (France)
|
5.348 | % | 01/29/16 | | 1,620 | 1,910,575 | ||||||||||
Tyrol Acquisitions Extended Term Loan C2 (France)
|
5.348 | % | 01/29/16 | | 2,100 | 2,476,671 | ||||||||||
Tyrol Acquisitions Revolving Credit Agreement
(France)(e)
|
3.464 | % | 01/31/14 | | 2,000 | 1,837,578 | ||||||||||
Tyrol Acquisitions Second Lien Term Loan (France)
|
6.360 | % | 06/03/16 | | 10,090 | 10,870,721 | ||||||||||
Univision Communications, Inc. Extended Term Loan
|
4.471 | % | 03/31/17 | 20,833 | 18,031,217 | |||||||||||
82,237,328 | ||||||||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Retailers (except food & drug)2.00% |
||||||||||||||||
Academy, Ltd. Term Loan
|
6.000 | % | 08/03/18 | $ | 2,278 | $ | 2,177,291 | |||||||||
Amscan Holdings, Inc. Term Loan B
|
6.750 | % | 12/04/17 | 3,307 | 3,182,818 | |||||||||||
Claires Stores, Inc. Term Loan B
|
3.000 | % | 05/29/14 | 1,478 | 1,294,189 | |||||||||||
Educate, Inc. Second Lien Term Loan
|
8.500 | % | 06/16/14 | 493 | 473,600 | |||||||||||
Guitar Center, Inc. Extended Term Loan
|
5.500 | % | 04/10/17 | 4,527 | 3,919,794 | |||||||||||
J. Crew Operating Corp. New Term Loan B
|
4.750 | % | 03/07/18 | 2,756 | 2,470,299 | |||||||||||
Michaels Stores, Inc. Term Loan B2
|
4.750 | % | 07/31/16 | 1,790 | 1,694,427 | |||||||||||
Neiman Marcus Group, Inc. New Term Loan
|
4.750 | % | 05/16/18 | 2,834 | 2,649,435 | |||||||||||
17,861,853 | ||||||||||||||||
Surface Transport2.73% |
||||||||||||||||
JHCI Acquisition, Inc. First Lien Term Loan
|
2.730 | % | 06/19/14 | 1,966 | 1,811,809 | |||||||||||
Kenan Advantage Group, Inc. New Term Loan
|
4.500 | % | 06/10/16 | 1,731 | 1,733,085 | |||||||||||
Nobina Europe AB Term Loan
(Sweden)(g)
|
9.125 | % | 08/01/12 | | 12,769 | 18,251,538 | ||||||||||
Swift Transportation Co., Inc. Term Loan B
|
6.000 | % | 12/21/16 | 2,641 | 2,533,622 | |||||||||||
24,330,054 | ||||||||||||||||
Telecommunications8.27% |
||||||||||||||||
Avaya, Inc. Extended Term Loan B3
|
4.814 | % | 10/26/17 | 647 | 562,055 | |||||||||||
Bultel Cable Bulgaria EAD Term Loan A
(Bulgaria)(g)
|
6.531 | % | 10/27/15 | | 2,990 | 3,865,624 | ||||||||||
Bultel Cable Bulgaria EAD Term Loan B
(Bulgaria)(g)
|
7.531 | % | 10/27/16 | | 3,250 | 4,201,765 | ||||||||||
Cellular South, Inc. New Term Loan B
|
4.500 | % | 07/27/17 | 1,636 | 1,598,923 | |||||||||||
Completel S.A.S. Term Loan B (France)
|
5.198 | % | 08/29/15 | | 10,012 | 14,040,791 | ||||||||||
Fairpoint Communications, Inc. New Term Loan B
|
6.500 | % | 01/22/16 | 5,892 | 4,908,529 | |||||||||||
Fibernet Term Loan B (EUR)
(Bulgaria)(g)
|
4.099 | % | 12/20/14 | | 980 | 197,135 | ||||||||||
Fibernet Term Loan C (EUR)
(Bulgaria)(g)
|
4.599 | % | 12/20/15 | | 980 | 197,135 | ||||||||||
Global Tel*Link Corp. New Term Loan B
|
5.000 | % | 11/10/16 | 2,635 | 2,516,809 | |||||||||||
Hawaiian Telcom Communications, Inc. Exit Term Loan
|
9.000 | % | 11/01/15 | 2,397 | 2,412,355 | |||||||||||
Integra Telecom Holdings, Inc. New Term Loan B
|
9.250 | % | 04/15/15 | 3,155 | 2,989,007 | |||||||||||
Level 3 Communications, Inc. Add on Term Loan
|
11.500 | % | 03/13/14 | 2,167 | 2,265,077 | |||||||||||
Level 3 Communications, Inc. Term Loan A
|
2.500 | % | 03/13/14 | 4,625 | 4,305,875 | |||||||||||
MetroPCS Wireless, Inc. New Term Loan B
|
4.000 | % | 03/16/18 | 5,197 | 4,897,740 | |||||||||||
Paetec Holding Corp. Term Loan
|
5.000 | % | 05/31/18 | 781 | 777,476 | |||||||||||
Primacom Term Loan B (Germany)
|
5.567 | % | 11/23/15 | | 3,935 | 4,620,667 | ||||||||||
Primacom Term Loan C (Germany)
|
6.067 | % | 11/21/16 | | 3,935 | 4,648,928 | ||||||||||
Primacom Term Loan C2 (Germany)
|
6.067 | % | 11/22/16 | | 4,019 | 4,748,242 | ||||||||||
Securus Technologies Holdings, Inc. New Term Loan
|
6.250 | % | 05/31/17 | 1,898 | 1,843,785 | |||||||||||
Syniverse Technologies, Inc. Term Loan B
|
5.250 | % | 12/21/17 | 2,206 | 2,162,071 | |||||||||||
Towerco Finance, LLC Term Loan B
|
5.250 | % | 02/02/17 | 682 | 660,717 | |||||||||||
U.S. Telepacific Corp. New Term Loan B
|
5.750 | % | 02/23/17 | 1,149 | 1,115,599 | |||||||||||
West Corp. Term Loan B4
|
4.500 | % | 07/15/16 | 623 | 595,330 | |||||||||||
West Corp. Term Loan B5
|
4.500 | % | 07/15/16 | 2,098 | 2,004,345 | |||||||||||
Yankee Cable Acquisition, LLC Term Loan B1
|
6.500 | % | 08/26/16 | 1,797 | 1,727,363 | |||||||||||
73,863,343 | ||||||||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Utilities4.55% |
||||||||||||||||
Bicent Power, LLC Second Lien Term Loan
|
4.250 | % | 12/31/14 | $ | 5,000 | $ | 220,825 | |||||||||
BRSP, LLC Term Loan B
|
7.500 | % | 06/04/14 | 4,287 | 4,125,806 | |||||||||||
Calpine Corp. New Term Loan
|
4.500 | % | 04/02/18 | 2,471 | 2,292,420 | |||||||||||
Firstlight Power Resources, Inc. Second Lien Term Loan
|
4.750 | % | 05/01/14 | 2,900 | 2,663,172 | |||||||||||
Great Point Power, LLC Term Loan B1
|
4.250 | % | 03/10/17 | 330 | 319,717 | |||||||||||
Mach Gen, LLC Letter of Credit
|
2.369 | % | 02/22/13 | 187 | 170,876 | |||||||||||
Primary Energy Operations, LLC New Term Loan
|
6.500 | % | 10/23/14 | 2,781 | 2,725,471 | |||||||||||
Star West Generation, LLC Term Loan B
|
6.000 | % | 05/14/18 | 5,139 | 4,952,729 | |||||||||||
Texas Competitive Electric Holdings Co., LLC Extended Term Loan
|
4.740 | % | 10/10/17 | 367 | 271,234 | |||||||||||
Texas Competitive Electric Holdings Co., LLC Non-Extended Term
Loan
|
3.710 | % | 10/10/14 | 22,567 | 17,263,923 | |||||||||||
TPF Generation Holdings, LLC Second Lien Term Loan C
|
4.496 | % | 12/15/14 | 6,000 | 5,640,000 | |||||||||||
40,646,173 | ||||||||||||||||
Total Variable Rate Senior Loan Interests94.82%
|
846,618,552 | |||||||||||||||
Notes24.29% |
||||||||||||||||
Air Transport0.07% |
||||||||||||||||
Continental Airlines, Inc.
|
6.750 | % | 09/15/15 | 650 | 638,625 | |||||||||||
Automotive0.13% |
||||||||||||||||
Dana Holding Corp.
|
6.750 | % | 02/15/21 | 1,145 | 1,130,688 | |||||||||||
Building & Development0.03% |
||||||||||||||||
Realogy Corp.
|
7.875 | % | 02/15/19 | 336 | 280,560 | |||||||||||
Cable & Satellite0.03% |
||||||||||||||||
AMC Networks, Inc.
|
7.750 | % | 07/15/21 | 231 | 239,085 | |||||||||||
Cable & satellite television2.10% |
||||||||||||||||
CCO Holdings, LLC
|
7.000 | % | 01/15/19 | 4,237 | 4,237,428 | |||||||||||
Central Euro Media Enterprises Ltd. (Czech
Republic)(f)
|
9.000 | % | 11/01/17 | | 5,000 | 6,859,292 | ||||||||||
UPC Broadband Holding, B.V. (Netherlands)
|
8.375 | % | 08/15/20 | | 2,000 | 2,671,892 | ||||||||||
Ziggo Bond Co.
(Netherlands)(f)
|
8.000 | % | 05/15/18 | | 3,500 | 4,939,767 | ||||||||||
18,708,379 | ||||||||||||||||
Chemicals & Plastics0.60% |
||||||||||||||||
Lyondell Chemical Co.
|
11.000 | % | 05/01/18 | 3,149 | 3,517,470 | |||||||||||
Wellman,
Inc.(a)
|
5.000 | % | 01/29/19 | 2,146 | 1,845,644 | |||||||||||
5,363,114 | ||||||||||||||||
Commercial Bank0.23% |
||||||||||||||||
Uni Credit SpA (Italy)
|
5.396 | % | 10/29/49 | £ | 2,000 | 2,061,591 | ||||||||||
Conglomerates0.33% |
||||||||||||||||
Goodman Networks, Inc.
|
12.125 | % | 07/01/18 | 2,960 | 2,952,600 | |||||||||||
Containers & Glass Products5.58% |
||||||||||||||||
Ardagh Glass Finance
(Ireland)(f)
|
7.125 | % | 06/15/17 | | 5,000 | 6,105,129 | ||||||||||
Ardagh Glass Finance
(Ireland)(f)
|
8.750 | % | 02/01/20 | | 6,000 | 7,455,440 | ||||||||||
Berry Plastics
Corp.(h)
|
5.000 | % | 02/15/15 | 6,456 | 6,084,780 | |||||||||||
Pregis Corp.
|
6.605 | % | 04/15/13 | | 9,800 | 12,740,326 | ||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Containers & Glass Products(continued) |
||||||||||||||||
Pregis Corp.
|
6.605 | % | 04/15/13 | | 7,550 | $ | 9,815,252 | |||||||||
Reynolds Group Issuer, Inc.
|
6.875 | % | 02/15/21 | 1,043 | 983,027 | |||||||||||
Reynolds Group Issuer, Inc.
|
7.875 | % | 08/15/19 | 6,643 | 6,676,215 | |||||||||||
49,860,169 | ||||||||||||||||
Cosmetics/Toiletries0.58% |
||||||||||||||||
Ontex
(Belgium)(f)
|
7.500 | % | 04/15/18 | | 4,000 | 5,157,038 | ||||||||||
Financial Intermediaries2.16% |
||||||||||||||||
Lloyds Banking Group
PLC(f)
|
7.875 | % | 11/01/20 | 800 | 632,400 | |||||||||||
Royal Bank Of Scotland PLC
|
7.648 | % | 08/29/49 | 15,000 | 11,325,000 | |||||||||||
Seadrill Ltd.
|
6.500 | % | 10/05/15 | 7,700 | 7,315,000 | |||||||||||
19,272,400 | ||||||||||||||||
Forest Products0.16% |
||||||||||||||||
Verso Paper Holding, LLC
|
11.500 | % | 07/01/14 | 1,325 | 1,414,438 | |||||||||||
Health Care1.14% |
||||||||||||||||
Apria Healthcare Group I
|
11.250 | % | 11/01/14 | 6,167 | 6,105,000 | |||||||||||
HCA, Inc.
|
6.500 | % | 02/15/20 | 4,023 | 4,063,230 | |||||||||||
10,168,230 | ||||||||||||||||
Home Furnishings0.17% |
||||||||||||||||
Targus Group International,
Inc.(a)(i)
|
10.000 | % | 06/14/19 | 1,538 | 1,538,235 | |||||||||||
Insurance2.40% |
||||||||||||||||
American International Group
|
4.875 | % | 03/15/67 | | 10,650 | 11,168,076 | ||||||||||
American International Group
|
5.750 | % | 03/15/67 | £ | 8,250 | 10,245,054 | ||||||||||
21,413,130 | ||||||||||||||||
Lodging & Casinos4.20% |
||||||||||||||||
Punch Taverns PLC (United Kingdom)
|
4.767 | % | 06/30/33 | £ | 1,612 | 2,105,877 | ||||||||||
Punch Taverns PLC (United Kingdom)
|
5.943 | % | 12/30/24 | £ | 4,942 | 6,229,764 | ||||||||||
Punch Taverns PLC (United
Kingdom)(f)
|
7.369 | % | 06/30/22 | £ | 5,786 | 8,194,816 | ||||||||||
Spirit Issuer PLC (United Kingdom)
|
5.472 | % | 12/28/28 | £ | 4,119 | 5,214,482 | ||||||||||
Unique Pub (United Kingdom)
|
5.659 | % | 06/30/27 | £ | 12,519 | 13,260,167 | ||||||||||
Unique Pub (United Kingdom)
|
6.542 | % | 03/30/21 | £ | 2,000 | 2,467,416 | ||||||||||
37,472,522 | ||||||||||||||||
Oil & Gas0.28% |
||||||||||||||||
Offshore Group Investment Ltd.
|
11.500 | % | 08/01/15 | 2,360 | 2,525,200 | |||||||||||
Rail industries1.51% |
||||||||||||||||
Channel Link (United
Kingdom)(g)
|
2.352 | % | 06/20/12 | £ | 5,000 | 7,241,542 | ||||||||||
Channel Link (United
Kingdom)(g)
|
3.002 | % | 06/30/12 | | 5,000 | 6,284,692 | ||||||||||
13,526,234 | ||||||||||||||||
Telecommunications0.05% |
||||||||||||||||
Paetec Holding Corp.
|
8.875 | % | 06/30/17 | 462 | 495,495 | |||||||||||
Principal |
||||||||||||||||
Stated |
Amount |
|||||||||||||||
Borrower | Coupon | Maturity* | (000) | Value | ||||||||||||
Utilities2.54% |
||||||||||||||||
Calpine Corp.
|
7.250 | % | 10/15/17 | $ | 3,367 | $ | 3,417,505 | |||||||||
Calpine Corp.
|
7.500 | % | 02/15/21 | 1,089 | 1,108,514 | |||||||||||
Calpine Corp.
|
7.875 | % | 01/15/23 | 10,923 | 11,196,226 | |||||||||||
NRG Energy, Inc.
|
7.625 | % | 05/15/19 | 7,090 | 6,930,475 | |||||||||||
22,652,720 | ||||||||||||||||
Total Notes24.29%
|
216,870,453 | |||||||||||||||
Structured Products2.06% |
||||||||||||||||
ACA CLO
2005-1
Ltd.(h)
|
5.250 | % | 10/15/17 | 3,500 | 2,633,750 | |||||||||||
Apidos CDO
Ltd.(h)
|
3.851 | % | 01/20/19 | 631 | 482,715 | |||||||||||
Ares XI CLO,
Ltd.(h)
|
3.250 | % | 10/11/21 | 792 | 510,840 | |||||||||||
Atrium CDO Corp.
|
9.176 | % | 06/08/19 | 328 | 298,480 | |||||||||||
BALL
Hilton(h)
|
1.957 | % | 11/15/15 | 2,520 | 2,251,689 | |||||||||||
Cent CDO
Ltd.(h)
|
2.500 | % | 03/11/21 | 2,750 | 2,109,250 | |||||||||||
Clear Lake CLO
2006-1A
Ltd.(h)
|
1.700 | % | 12/20/20 | 3,000 | 1,912,500 | |||||||||||
Columbus Nova CLO
Ltd.(h)
|
3.890 | % | 05/16/19 | 1,747 | 1,166,123 | |||||||||||
Flagship CLO
V(h)
|
5.000 | % | 06/10/21 | 922 | 643,334 | |||||||||||
Halcyon Loan Investors CLO
Ltd.(h)
|
3.853 | % | 04/24/21 | 2,121 | 1,461,369 | |||||||||||
ING Investment Management CLO
Ltd.(h)
|
3.750 | % | 12/13/20 | 1,842 | 1,154,934 | |||||||||||
Madison Park Funding IV
Ltd.(h)
|
3.847 | % | 03/22/21 | 1,692 | 1,121,717 | |||||||||||
Sierra CLO
Ltd.(f)(h)
|
3.753 | % | 01/22/21 | 1,696 | 1,331,360 | |||||||||||
Silverado CLO
Ltd.(h)
|
4.000 | % | 10/16/20 | 2,050 | 1,328,400 | |||||||||||
Total Structured Products2.06%
|
18,406,461 | |||||||||||||||
Description | Shares | |||||||||||||||
Common Stocks2.68% |
||||||||||||||||
Building & Development0.29% |
||||||||||||||||
Axia Acquisition
Corp.(f)
|
101 | 251,400 | ||||||||||||||
Contech Construction Products,
Inc.(g)
|
308,203 | 0 | ||||||||||||||
Building Materials Holding
Corp.(f)
|
512,204 | 614,645 | ||||||||||||||
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 | 333,362 | ||||||||||||||
Rhodes Homes
|
750,544 | 206,400 | ||||||||||||||
WCI Communities,
Inc.(g)
|
1,830 | 183,000 | ||||||||||||||
2,547,940 | ||||||||||||||||
Chemicals & Plastics0.63% |
||||||||||||||||
Lyondell Chemical
Co.(g)
|
162,147 | 5,618,394 | ||||||||||||||
Wellman,
Inc.(g)
|
1,892 | 0 | ||||||||||||||
5,618,394 | ||||||||||||||||
Conglomerates0.06% |
||||||||||||||||
Euramax International,
Inc.(f)(g)
|
1,870 | 523,544 | ||||||||||||||
Cosmetics/Toiletries0.14% |
||||||||||||||||
Marietta Holding
Corp.(f)
(Acquired 04/22/10,
Cost $2,591,511)
|
1,641,483 | 1,214,697 | ||||||||||||||
Description | Shares | Value | ||||||||||||||
Financial Intermediaries0.00% |
||||||||||||||||
RTS Investor Corp.
(Acquired 01/14/11,
Cost $0)(f)(g)
|
6,619 | $ | 33,530 | |||||||||||||
Food Products0.00% |
||||||||||||||||
Panrico(g)
|
614,269 | 0 | ||||||||||||||
Home Furnishings0.02% |
||||||||||||||||
Targus Group International, Inc.
(Acquired 12/16/09,
Cost $0)(f)(g)(i)
|
62,413 | 179,125 | ||||||||||||||
Leisure Goods/Activities/Movies0.92% |
||||||||||||||||
MB2, LP. (Canada)
|
30,040 | 242,026 | ||||||||||||||
Metro-Goldwyn-Mayer,
Inc.(g)
|
400,602 | 8,012,040 | ||||||||||||||
8,254,066 | ||||||||||||||||
Lodging & Casinos0.05% |
||||||||||||||||
BLB Worldwide Holdings, Inc.,
Class A(f)(g)
|
41,966 | 416,177 | ||||||||||||||
BLB Worldwide Holdings, Inc.,
Class B(g)
|
5,500 | 27,500 | ||||||||||||||
443,677 | ||||||||||||||||
Oil & Gas0.28% |
||||||||||||||||
Vitruvian Exploration,
LLC(g)
|
76,400 | 2,502,100 | ||||||||||||||
Publishing0.29% |
||||||||||||||||
Affiliated Media,
Inc.(g)
|
87,369 | 2,533,695 | ||||||||||||||
Endurance Business Media, Inc.
Class A(g)
|
4,753 | 47,530 | ||||||||||||||
SuperMedia,
Inc.(g)
|
7,080 | 15,010 | ||||||||||||||
2,596,235 | ||||||||||||||||
Total Common Stocks2.68%
|
23,913,308 | |||||||||||||||
Warrants0.00% |
||||||||||||||||
Building & Development0.00% |
||||||||||||||||
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/Toiletries0.00% |
||||||||||||||||
Marietta Holding Corp.,
expiring 02/19/20
(Acquired 04/22/10,
Cost $0)(f)(g)
|
413,194 | 0 | ||||||||||||||
Radio & Television0.00% |
||||||||||||||||
Cumulus Media, Inc.,
expiring 06/29/19
(Acquired 01/14/10,
Cost $0)(f)(g)
|
1,568 | 2,383 | ||||||||||||||
Total Warrants0.00%
|
2,383 | |||||||||||||||
Description | Shares | Value | ||||||||||||||
Preferred Stock0.01% |
||||||||||||||||
Financial Intermediaries0.01% |
||||||||||||||||
RTS Investor Corp.
(Acquired 01/14/11,
Cost $0)(f)(g)
|
649 | $ | 64,890 | |||||||||||||
Total Preferred Stock0.01%
|
64,890 | |||||||||||||||
Total Long-Term Investments123.86%
(Cost $1,275,626,665)
|
1,105,876,047 | |||||||||||||||
Time Deposit5.62% |
||||||||||||||||
State Street Bank & Trust Co. ($50,209,920 par,
0.01% coupon, dated
8/31/11, to
be sold on
09/01/11 at
$50,209,934) (Cost $50,209,920)
|
50,209,920 | |||||||||||||||
TOTAL INVESTMENTS129.48% (Cost $1,325,836,585)
|
1,156,085,967 | |||||||||||||||
FOREIGN CURRENCY0.28% (Cost $2,517,830)
|
2,494,216 | |||||||||||||||
BORROWINGS(27.44%)
|
(245,000,000 | ) | ||||||||||||||
OTHER ASSETS LESS LIABILITIES(2.32)%
|
(20,722,508 | ) | ||||||||||||||
NET ASSETS100.00%
|
$ | 892,857,675 | ||||||||||||||
PIK
|
Payment-in-kind | |
DIP
|
Debtor-in-possession | |
EAD
|
Exposure at Default | |
CLO
|
Collateralized Loan Obligation | |
CDO
|
Collateralized Debt Obligation | |
£
|
Great Britain Pound | |
|
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 August 31, 2011 was $18,020,914, which represented 2.02% 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 August 31, 2011 was $43,975,633, which represented 4.93% 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 August 31, 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 August 31, 2011. |
Baa
|
5.6 | % | ||
Ba
|
19.5 | |||
B
|
37.6 | |||
Caa
|
6.6 | |||
Non-Rated
|
28.6 | |||
Equities
|
2.1 | |||
Assets: |
||||
Unaffiliated investments (Cost $1,320,939,560)
|
$ | 1,154,368,607 | ||
Affiliated investments (Cost $4,897,025)
|
1,717,360 | |||
Total investments (Cost $1,325,836,585)
|
1,156,085,967 | |||
Foreign currencies, at value (Cost $2,517,830)
|
2,494,216 | |||
Cash segregated as collateral for swap agreements
|
5,580,000 | |||
Cash segregated as collateral for forward foreign currency
contracts
|
360,000 | |||
Receivables for:
|
||||
Investments sold
|
25,483,085 | |||
Interest and fees
|
9,185,893 | |||
Investments matured
|
976,480 | |||
Unrealized appreciation on swap agreements
|
2,808,436 | |||
Other assets
|
706,772 | |||
Total assets
|
1,203,680,849 | |||
Liabilities: |
||||
Payables for:
|
||||
Borrowings
|
245,000,000 | |||
Investments purchased
|
59,769,323 | |||
Income distributions
|
352,951 | |||
Accrued other operating expenses
|
238,554 | |||
Accrued interest, facilities and maintenance fees
|
44,032 | |||
Accrued fees to affiliates
|
4,140 | |||
Unrealized depreciation on unfunded commitments
|
3,429,655 | |||
Forward foreign currency contracts outstanding
|
1,984,519 | |||
Total liabilities
|
310,823,174 | |||
Net assets
|
$ | 892,857,675 | ||
Net assets consist of: |
||||
Shares of beneficial interest
|
$ | 1,412,383,378 | ||
Undistributed net investment income
|
(4,531,922 | ) | ||
Unrealized appreciation (depreciation)
|
(162,939,896 | ) | ||
Undistributed net realized gain (loss)
|
(352,053,885 | ) | ||
$ | 892,857,675 | |||
Shares outstanding, $0.01 par value per share: |
||||
Shares outstanding
|
74,052,532 | |||
Net asset value per share
|
$ | 12.06 | ||
Market value per share
|
$ | 11.00 | ||
Investment income: |
||||
Interest from unaffiliated investments
|
$ | 37,834,570 | ||
Interest from affiliated investments
|
374,081 | |||
Other
|
2,195,941 | |||
Total investment income
|
40,404,592 | |||
Expenses: |
||||
Advisory fees
|
7,634,658 | |||
Interest, facilities and maintenance fees
|
1,528,870 | |||
Custodian fees
|
344,197 | |||
Administrative services fees
|
111,192 | |||
Trustees and officers fees and benefits
|
45,393 | |||
Transfer agent fees
|
78,761 | |||
Other
|
415,665 | |||
Total expenses
|
10,158,736 | |||
Net investment income
|
30,245,856 | |||
Realized and unrealized gain (loss): |
||||
Realized gain (loss):
|
||||
Investments
|
10,197,240 | |||
Forward foreign currency contracts
|
(9,291,462 | ) | ||
Swap agreements
|
(5,105,798 | ) | ||
Foreign currency transactions
|
(280,449 | ) | ||
Net realized gain (loss)
|
(4,480,469 | ) | ||
Unrealized appreciation (depreciation):
|
||||
Beginning of the period
|
(78,883,196 | ) | ||
End of the period:
|
||||
Investments
|
(169,750,618 | ) | ||
Swap agreements
|
13,704,436 | |||
Forward foreign currency contracts
|
(1,984,519 | ) | ||
Unfunded commitments
|
(3,429,655 | ) | ||
Foreign currency translation
|
(1,479,540 | ) | ||
(162,939,896 | ) | |||
Net unrealized appreciation (depreciation) during the period
|
(84,056,700 | ) | ||
Net realized and unrealized gain (loss)
|
(88,537,169 | ) | ||
Net increase (decrease) in net assets from operations
|
$ | (58,291,313 | ) | |
Six months |
Seven months |
|||||||||||
ended |
ended |
Year ended |
||||||||||
February 28, |
February 28, |
July 31, |
||||||||||
2011 | 2011 | 2010 | ||||||||||
Operations: |
||||||||||||
Net investment income
|
$ | 30,245,856 | $ | 31,595,931 | $ | 59,475,567 | ||||||
Net realized gain (loss)
|
(4,480,469 | ) | (48,588,673 | ) | 4,115,425 | |||||||
Net unrealized appreciation (depreciation) during the period
|
(84,056,700 | ) | 118,107,555 | 127,622,573 | ||||||||
Change in net assets from operations
|
(58,291,313 | ) | 101,114,813 | 191,213,565 | ||||||||
Distributions from net investment income
|
(33,186,980 | ) | (44,400,565 | ) | (78,663,310 | ) | ||||||
Net change in net assets from operations
|
(91,478,293 | ) | 56,714,248 | 112,550,255 | ||||||||
From capital transactions: |
||||||||||||
Value of shares issued through dividend reinvestment
|
517,806 | | 475,500 | |||||||||
Repurchase of shares
|
| | (322,626 | ) | ||||||||
Net change in net assets from capital transactions
|
517,806 | | 152,874 | |||||||||
Total increase (decrease) in net assets
|
(90,960,487 | ) | 56,714,248 | 112,703,129 | ||||||||
Net assets: |
||||||||||||
Beginning of the period
|
983,818,162 | 927,103,914 | 814,400,785 | |||||||||
End of the period (including undistributed net investment income
(loss) of $(4,531,922), $(1,590,798) and $38,507,343,
respectively)
|
$ | 892,857,675 | $ | 983,818,162 | $ | 927,103,914 | ||||||
Net increase (decrease) in net assets from operations
|
$ | (58,291,313 | ) | |
Adjustments to reconcile the change in net assets from operations to net cash provided by operating activities: |
||||
Purchase of investments
|
(850,902,532 | ) | ||
Proceeds from sales of investments
|
943,498,785 | |||
Amortization of loan fees
|
(8,535,137 | ) | ||
Net loan fees
|
(826,345 | ) | ||
Accretion of discount
|
(7,061,797 | ) | ||
Net realized gain on investments
|
(10,197,240 | ) | ||
Net change in unrealized appreciation (depreciation) on
investments
|
84,060,267 | |||
Increase in interest receivable and other assets
|
(2,492,452 | ) | ||
Decrease in accrued expenses and other payables
|
(280,692 | ) | ||
Increase in appreciation on swap agreements
|
(2,228,094 | ) | ||
Decrease in collateral for swap agreements
|
351,000 | |||
Increase in depreciation on forward foreign currency contracts
|
1,116,090 | |||
Net change in unrealized appreciation on unfunded commitments
|
1,593,298 | |||
Net cash provided by operating activities
|
89,803,838 | |||
Cash flows provided by (used in) financing activities |
||||
Dividend paid from net investment income
|
(32,842,802 | ) | ||
Amount due custodian
|
(4,508,948 | ) | ||
Net proceeds from and repayments of borrowings
|
(36,000,000 | ) | ||
Net cash provided by (used in) financing activities
|
(73,351,750 | ) | ||
Net change in cash
|
16,452,088 | |||
Cash and cash equivalents at the beginning of the period
|
36,252,048 | |||
Cash and cash equivalents at the end of the period
|
$ | 52,704,136 | ||
Supplemental disclosures of cash flow information |
||||
Cash paid during the period for interest, facilities and
maintenance fees
|
$ | 1,552,106 | ||
Non cash interest received during the period
|
$ | 388,539 | ||
June 26, 2007 |
||||||||||||||||||||||||
Six months |
Seven months |
(Commencement
of |
||||||||||||||||||||||
ended |
ended |
Operations) to |
||||||||||||||||||||||
August 31, |
February 28, |
Year ended July 31, |
July 31, |
|||||||||||||||||||||
2011 | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of the period
|
$ | 13.29 | $ | 12.53 | $ | 11.00 | $ | 15.69 | $ | 18.65 | $ | 19.10 | ||||||||||||
Net investment
income(a)
|
0.41 | 0.43 | 0.80 | 1.07 | 1.44 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
(1.19 | ) | 0.93 | 1.79 | (4.41 | ) | (2.82 | ) | (0.53 | ) | ||||||||||||||
Total income (loss) from investment operations
|
(0.78 | ) | 1.36 | 2.59 | (3.34 | ) | (1.38 | ) | (0.45 | ) | ||||||||||||||
Less distributions from net investment income
|
(0.45 | ) | (0.60 | ) | (1.06 | ) | (1.35 | ) | (1.58 | ) | | |||||||||||||
Net asset value, end of the period
|
$ | 12.06 | $ | 13.29 | $ | 12.53 | $ | 11.00 | $ | 15.69 | $ | 18.65 | ||||||||||||
Market value, end of the period
|
$ | 11.00 | $ | 12.83 | $ | 11.94 | $ | 10.00 | $ | 13.30 | $ | 19.75 | ||||||||||||
Total return at net asset
value(b)
|
(5.94 | )% | 11.30 | % | ||||||||||||||||||||
Total return at market
value(c)
|
(11.14 | )% | 12.79 | % | 30.65 | % | (11.84 | )% | (25.46 | )% | (1.25 | )% | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 892,858 | $ | 983,818 | $ | 927,104 | $ | 814,401 | $ | 1,161,324 | $ | 1,379,846 | ||||||||||||
Portfolio
turnover(e)(f)
|
67 | % | 88 | % | 56 | % | 36 | % | 43 | % | 0 | % | ||||||||||||
Ratios/supplemental data based on average net assets: |
||||||||||||||||||||||||
Ratio of expenses
|
2.10 | %(d) | 2.22 | %(h) | 2.29 | % | 3.76 | % | 2.78 | % | 1.54 | %(h) | ||||||||||||
Ratio of expenses excluding interest, facilities and maintenance
fees
|
1.78 | %(d) | 1.71 | %(h) | 1.74 | % | 2.97 | % | 1.79 | % | 1.54 | %(h) | ||||||||||||
Ratio of net investment income
|
6.26 | %(d) | 5.72 | %(h) | 6.56 | % | 10.42 | % | 8.38 | % | 4.58 | %(h) | ||||||||||||
Senior indebtedness: |
||||||||||||||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(g)
|
$ | 4,644 | $ | 4,501 | $ | 4,672 | $ | 4,806 | $ | 3,277 | N/A | |||||||||||||
Total borrowing outstanding (000s omitted)
|
$ | 245,000 | $ | 281,000 | $ | 252,500 | $ | 214,000 | $ | 510,000 | $ | | ||||||||||||
(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 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 annualized and based on average net assets (000s omitted) of $961,629. | |
(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 substracting the Funds total liablilities (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. | |
(h) | 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 value based on a model which may include end of the 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 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 comprised preliminary 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 The Fund declares and pays monthly dividends from net investment income to common shareholders. Distributions from net realized capital gain, if any, are generally paid annually and are distributed on a pro rata basis to common shareholders. 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. 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 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 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 Fund has unsettled or open transactions may fail to or be unable to perform on its commitments. The Fund manages 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 | |||||||||||||
Variable Rate Senior Loan Interests
|
$ | | $ | 829,998,476 | $ | 16,620,076 | $ | 846,618,552 | ||||||||
Notes
|
| 213,486,574 | 3,383,879 | 216,870,453 | ||||||||||||
Structured Products
|
| 18,406,461 | | 18,406,461 | ||||||||||||
Equities
|
5,875,429 | 15,752,197 | 2,352,955 | 23,980,581 | ||||||||||||
Time Deposits
|
| 50,209,920 | | 50,209,920 | ||||||||||||
$ | 5,875,429 | $ | 1,127,853,628 | $ | 22,356,910 | $ | 1,156,085,967 | |||||||||
Unfunded Commitments*
|
| (3,429,655 | ) | | (3,429,655 | ) | ||||||||||
Foreign Currency Contracts*
|
| (1,984,519 | ) | | (1,984,519 | ) | ||||||||||
Swap Agreements*
|
| 2,808,436 | | 2,808,436 | ||||||||||||
Total Investments
|
$ | 5,875,429 | $ | 1,125,247,890 | $ | 22,356,910 | $ | 1,153,480,229 | ||||||||
* | Unrealized appreciation (depreciation). |
Value | ||||||||
Risk Exposure/Derivative Type | Assets | Liabilities | ||||||
Credit risk
|
||||||||
Swap agreements
|
$ | 3,010,979 | $ | (202,543 | ) | |||
Currency risk
|
||||||||
Forward foreign currency contracts
|
35,239 | (2,019,758 | ) | |||||
Location of Gain (Loss) on Statement of Operations** | ||||||||
Swap |
Foreign
Currency |
|||||||
Agreements* | Contracts | |||||||
Realized Gain (Loss)
|
||||||||
Credit risk
|
$ | (5,105,798 | ) | $ | | |||
Currency risk
|
| (9,291,462 | ) | |||||
Change in Unrealized Appreciation (Depreciation)
|
||||||||
Credit risk
|
$ | 1,982,094 | $ | | ||||
Currency risk
|
| (1,116,090 | ) | |||||
Total
|
$ | (3,123,704 | ) | $ | (10,407,552 | ) | ||
* | The average value of swap agreements during the period was $152,750,000. |
** | The cost of purchases and the proceeds from sales of forward foreign currency contracts were $820,589,245 and $820,589,245, respectively. |
Open Foreign Currency Contracts | ||||||||||||||||||||||||
Unrealized |
||||||||||||||||||||||||
Settlement |
Contract to |
Appreciation |
||||||||||||||||||||||
Date | Counterparty | Deliver | Receive | Value | (Depreciation) | |||||||||||||||||||
11/15/11
|
Goldman Sachs | EUR | 137,412,720 | USD | 195,291,095 | $ | 197,219,849 | $ | (1,928,754 | ) | ||||||||||||||
11/15/11
|
Goldman Sachs | EUR | 4,653,415 | USD | 6,713,994 | 6,678,754 | 35,239 | |||||||||||||||||
11/15/11
|
Goldman Sachs | GBP | 56,244,329 | USD | 91,138,086 | 91,225,667 | (87,581 | ) | ||||||||||||||||
11/15/11
|
Goldman Sachs | USD | 9,834,727 | EUR | 6,849,950 | 9,831,303 | (3,423 | ) | ||||||||||||||||
$ | (1,984,519 | ) | ||||||||||||||||||||||
Currency Abbreviations:
|
||
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
USD
|
U.S. Dollar |
Open Swap Agreements | ||||||||||||||||||||||||||||||||||
Credit |
||||||||||||||||||||||||||||||||||
Implied |
Notional |
Unrealized |
Rating of |
|||||||||||||||||||||||||||||||
Buy/Sell |
Pay/Receive |
Expiration |
Credit |
Amount |
Upfront |
Appreciation |
Reference |
|||||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Fixed Rate | Date | Spread(a) | (000) | Payments | (Depreciation) | Entity(b) | |||||||||||||||||||||||||
Goldman Sachs International
|
CDX.NA.HY.9 | Sell | 3.750 | % | 12/20/12 | 2.88 | % | $ | 34,400 | $ | 1,431,000 | $ | 643,911 | NR | ||||||||||||||||||||
Goldman Sachs International
|
CDX.NAHY.10 | Sell | 5.000 | % | 06/20/13 | 3.28 | % | 17,400 | 1,128,250 | 696,129 | NR | |||||||||||||||||||||||
Goldman Sachs International
|
Gala Group Finance | Sell | 4.150 | % | 03/20/13 | 4.05 | % | 7,183 | | 69,800 | NR | |||||||||||||||||||||||
Goldman Sachs International
|
LCDX.NA.10 | Sell | 3.250 | % | 06/20/13 | 3.25 | % | 44,400 | 5,233,000 | 1,069,608 | NR | |||||||||||||||||||||||
Goldman Sachs International
|
LCDX9 | Sell | 2.250 | % | 12/20/12 | 2.25 | % | 36,500 | 2,991,250 | 531,531 | NR | |||||||||||||||||||||||
Goldman Sachs International
|
Peermont Global | Sell | 3.500 | % | 09/20/12 | 5.48 | % | 7,182 | | (94,570 | ) | B | ||||||||||||||||||||||
Goldman Sachs International
|
Texas Competitive Electric Holdings Co. LLC | Sell | 5.000 | % | 03/20/12 | 11.19 | % | 5,000 | 112,500 | (107,973 | ) | B | ||||||||||||||||||||||
Total Swap Agreements | $ | 152,066 | $ | 10,896,000 | $ | 2,808,436 | ||||||||||||||||||||||||||||
(a) | Implied credit spreads represent 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). |
Change in |
||||||||||||||||||||||||||||
Unrealized |
Interest/ |
|||||||||||||||||||||||||||
Value |
Purchases |
Proceeds |
Appreciation |
Realized |
Value |
Dividend |
||||||||||||||||||||||
02/28/11 | at Cost | from Sales | (Depreciation) | Gain (Loss) | 08/31/11 | Income | ||||||||||||||||||||||
Targus Group International Inc. Note
|
$1,538,235 | $ | $ | $ | $ | $1,538,235 | $263,636 | |||||||||||||||||||||
Targus Group International Inc. Common Shares
|
179,125 | | | | | 179,125 | 110,445 | |||||||||||||||||||||
Total
|
$1,717,360 | $ | $ | $ | | $1,717,360 | $374,081 | |||||||||||||||||||||
Unrealized |
||||||||||
Unfunded |
Appreciation |
|||||||||
Description | Type | commitment | (Depreciation) | |||||||
Axia Acquisition Corp.
|
Revolver | $ | 348,226 | $ | (26,117 | ) | ||||
Bright Horizons Family Solutions, Inc.
|
Revolver | 2,768,000 | (205,579 | ) | ||||||
Community Health Systems, Inc.
|
Revolver | 10,000,000 | (625,000 | ) | ||||||
Delta Air Lines, Inc.
|
Revolver | 2,000,000 | (125,000 | ) | ||||||
General Motors Holdings
|
Revolver | 6,451,767 | (665,339 | ) | ||||||
Graphic Packing International, Inc.
|
Revolver | 5,000,000 | (250,000 | ) | ||||||
Key Safety System, Inc.
|
Revolver | 122,500 | (16,440 | ) | ||||||
Lake at Las Vegas Joint Venture, LLC
|
Exit Revolver | 145,500 | (1,460 | ) | ||||||
Reynolds Group Holdings, Inc.
|
Term Loan | 14,306,267 | (527,472 | ) | ||||||
Surgical Care Affiliates, Inc.
|
Revolver | 6,250,000 | (880,437 | ) | ||||||
Tyrol Acquisitions
|
Revolver | 500,000 | (105,942 | ) | ||||||
Delayed Draw Term | ||||||||||
White Birch Paper Co.
|
Loan | 106,988 | (869 | ) | ||||||
$ | 47,999,248 | $ | (3,429,655 | ) | ||||||
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
|
$ | 32,358,017 | ||
Aggregate unrealized (depreciation) of investment securities
|
(220,508,204 | ) | ||
Net unrealized appreciation (depreciation) of investment
securities
|
$ | (188,150,187 | ) | |
Cost of investments for tax purposes is $1,344,236,154.
|
Six months |
Seven months |
Year |
||||||||||
ended |
ended |
ended |
||||||||||
August 31, |
February 28, |
July 31, |
||||||||||
2011 | 2011 | 2010 | ||||||||||
Beginning shares
|
74,013,275 | 74,013,275 | 74,005,236 | |||||||||
Shares issued through dividend reinvestment
|
39,257 | | 38,039 | |||||||||
Shares repurchased
|
| | (30,000 | ) | ||||||||
Ending shares
|
74,052,532 | 74,013,275 | 74,013,275 | |||||||||
Declaration Date | Amount Per Share | Record Date | Payable Date | |||||||||
September 1, 2011
|
$ | 0.0725 | September 15, 2011 | September 30, 2011 | ||||||||
September 30, 2011
|
0.0725 | October 14, 2011 | October 31, 2011 | |||||||||
A. | Nature, Extent and Quality of Services Provided by Invesco Advisers and the Affiliated Sub-Advisers |
B. | Fund Performance |
C. | Advisory and Sub-Advisory Fees and Fee Waivers |
D. | Economies of Scale and Breakpoints |
E. | Profitability and Financial Resources |
F. | Collateral Benefits to Invesco Advisers and its Affiliates |
(1) | Elect four Class I Trustees, each by the holders of Common Shares of the Fund, 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)
|
David C. Arch | 67,401,017 | 1,938,006 | |||||||||||||||
Howard J Kerr | 67,262,912 | 2,076,111 | ||||||||||||||||
Jerry Choate | 67,350,602 | 1,988,421 | ||||||||||||||||
Suzanne Woolsey | 67,364,799 | 1,974,224 |
VK-CE-DCO-SAR-1 | Invesco Distributors, Inc. |
(a) | As of September 16, 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 (the Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of September 16, 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 the report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting. |
12(a) (1)
|
Not applicable. | |
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. |
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 |
12(a) (1)
|
Not applicable. | |
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. |