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invesco.com/us
|
VK-CE-DCO-QTR-1 11/11 | Invesco Advisers, Inc. |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Variable Rate Senior Loan Interests98.71%(a)(b) |
||||||||||||||||
Aerospace & Defense1.74% |
||||||||||||||||
ARINC Inc., Second Lien Term Loan (Acquired 01/10/11; Cost $2,209,649) |
6.26 | % | 10/25/15 | $ | 2,268 | $ | 2,231,238 | |||||||||
AVIO S.p.A. (Italy), |
||||||||||||||||
Term Loan B |
2.17 | % | 12/13/14 | 1,018 | 939,562 | |||||||||||
Term Loan C |
3.05 | % | 12/13/15 | 919 | 852,331 | |||||||||||
DynCorp International Inc., Term Loan B |
6.25 | % | 07/07/16 | 2,267 | 2,229,937 | |||||||||||
IAP Worldwide Services, Inc., PIK First Lien Term Loan (c) |
9.25 | % | 12/28/12 | 5,546 | 5,185,206 | |||||||||||
SI Organization, Inc., Term Loan B |
4.50 | % | 11/22/16 | 754 | 727,929 | |||||||||||
SRA International, Inc., Term Loan B |
6.50 | % | 07/20/18 | 1,874 | 1,739,318 | |||||||||||
Wyle Services Corp., Term Loan B |
5.75 | % | 03/27/17 | 1,379 | 1,348,892 | |||||||||||
15,254,413 | ||||||||||||||||
Air Transport0.40% |
||||||||||||||||
Delta Air Lines, Inc., |
||||||||||||||||
Term Loan B |
4.25 | % | 03/07/16 | 3,138 | 2,965,144 | |||||||||||
Term Loan B |
5.50 | % | 04/20/17 | 510 | 489,508 | |||||||||||
3,454,652 | ||||||||||||||||
Automotive1.94% |
||||||||||||||||
Autoparts Holdings Ltd., First Lien Term Loan |
6.50 | % | 07/28/17 | 1,186 | 1,189,221 | |||||||||||
Federal-Mogul Corp., |
||||||||||||||||
Term Loan B |
2.19 | % | 12/29/14 | 2,480 | 2,685,509 | |||||||||||
Term Loan C |
2.19 | % | 12/28/15 | 1,935 | 1,411,798 | |||||||||||
Hertz Corp., LOC |
3.75 | % | 03/09/18 | 849 | 798,730 | |||||||||||
KAR Auction Services, Inc., Term Loan B |
5.00 | % | 05/19/17 | 4,984 | 4,940,386 | |||||||||||
Key Safety Systems, Inc., First Lien Term Loan |
2.51 | % | 03/08/14 | 1,538 | 1,430,407 | |||||||||||
Revolving Credit Agreement (d) |
2.45 | % | 03/08/13 | 1,878 | 1,687,366 | |||||||||||
Metaldyne Co., LLC, Term Loan B |
5.25 | % | 05/18/17 | 1,013 | 1,003,120 | |||||||||||
Veyance Technologies, Inc., Delayed Draw Term Loan |
2.80 | % | 07/31/14 | 251 | 231,429 | |||||||||||
Term Loan |
2.80 | % | 07/31/14 | 1,749 | 1,615,799 | |||||||||||
16,993,765 | ||||||||||||||||
Beverage and Tobacco1.06% |
||||||||||||||||
Dsw Holdings, Inc. Term Loan |
4.25 | % | 03/02/12 | 10,000 | 9,250,000 | |||||||||||
Building & Development3.97% |
||||||||||||||||
Axia Acquisition Corp., PIK Second Lien Term Loan A (Acquired 09/05/08-09/30/11; Cost $1,549,502) (c) |
11.00 | % | 03/11/16 | 181 | 140,279 | |||||||||||
Second Lien Term Loan B (Acquired 05/30/08; Cost $2,896,225) |
5.00 | % | 03/12/16 | 324 | 251,003 | |||||||||||
Building Materials Holding Corp., PIK Second Lien Term Loan (Acquired 07/31/07-10/31/11; Cost $1,423,709) (c) |
8.00 | % | 01/05/15 | 980 | 872,619 | |||||||||||
Capital Automotive L.P., Term Loan B |
5.00 | % | 03/10/17 | 4,938 | 4,829,636 | |||||||||||
CB Richard Ellis Services, Inc., Term Loan D |
3.75 | % | 09/04/19 | 2,069 | 2,022,008 | |||||||||||
Champion OPCO, LLC, PIK Term Loan (c) |
10.50 | % | 12/31/13 | 777 | 656,704 | |||||||||||
Custom Building Products, Inc., Term Loan B |
5.75 | % | 03/19/15 | 582 | 565,936 | |||||||||||
El Ad IDB Las Vegas, LLC Tranche A2 Term Loan, (Acquired 08/30/07; Cost $2,000,000) |
4.25 | % | 08/09/12 | 2,000 | 950,000 | |||||||||||
Ginn-LA CS Borrower, LLC, First Lien Term Loan (Acquired 07/10/07; Cost $2,031,591) (e) |
6.20 | % | 06/08/11 | 2,032 | 157,448 | |||||||||||
First Lien Term Loan A (Acquired 07/12/07; Cost $947,731) (e) |
7.75 | % | 06/08/11 | 948 | 73,449 | |||||||||||
Kyle Acquisition Group, LLC, Term Loan B (Acquired 07/31/07-01/28/08; Cost $2,315,629) (e) |
5.75 | % | 07/20/09 | 2,382 | 178,682 | |||||||||||
Term Loan C (Acquired 03/30/10-01/28/08; Cost $2,515,214) (e) |
4.00 | % | 07/20/11 | 2,618 | 196,318 | |||||||||||
Lake at Las Vegas Joint Venture, LLC, |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Building & Development(continued) |
||||||||||||||||
PIK Exit Revolving Credit Agreement (Acquired 07/15/10-11/23/11; Cost $498,483) (c)(d) |
12.11 | % | 12/31/12 | $ | 498 | $ | 493,498 | |||||||||
Term Loan (d) |
5.00 | % | 04/30/12 | 128 | 127,642 | |||||||||||
NLV Holdings, LLC, Second Lien Term Loan (Acquired 08/06/07-10/29/10; Cost $1,656,609) (e)(f) |
5.25 | % | 05/09/12 | 1,660 | 12,531 | |||||||||||
Nortek, Inc., Term Loan |
5.25 | % | 04/26/17 | 948 | 927,855 | |||||||||||
Realogy Corp., Extended LOC |
4.44 | % | 10/10/16 | 682 | 609,182 | |||||||||||
Extended Term Loan |
4.69 | % | 10/10/16 | 22,407 | 20,005,682 | |||||||||||
LOC |
3.20 | % | 10/10/13 | 827 | 770,914 | |||||||||||
Rhodes Homes, PIK Term Loan (Acquired 07/09/07-09/30/11; Cost $1,611,373) (c) |
5.37 | % | 03/31/16 | 415 | 332,062 | |||||||||||
Tamarack Resorts, LLC, Credit Lined Note A (Acquired 07/09/07; Cost $1,007,557) (e) |
8.05 | % | 05/19/11 | 1,008 | 35,264 | |||||||||||
Term Loan (Acquired 11/03/08-05/01/09; Cost $208,607) (e) |
20.25 | % | 07/02/09 | 209 | 188,007 | |||||||||||
Term Loan B (Acquired 07/09/07; Cost $1,475,639) (e) |
7.50 | % | 05/19/11 | 1,489 | 52,103 | |||||||||||
WCI Communities, Inc., PIK Term Loan (c) |
10.03 | % | 09/02/16 | 310 | 298,317 | |||||||||||
34,747,139 | ||||||||||||||||
Business Equipment & Services7.90% |
||||||||||||||||
Affinion Group, Inc., Term Loan B |
5.00 | % | 10/10/16 | 2,082 | 1,908,552 | |||||||||||
Asurion Corp., First Lien Term Loan |
5.50 | % | 05/24/18 | 5,998 | 5,810,787 | |||||||||||
Second Lien Term Loan |
9.00 | % | 05/24/19 | 11,396 | 11,016,347 | |||||||||||
Bright Horizons Family Solutions, Inc., Revolving Credit Agreement (d) |
0.94 | % | 05/28/14 | 248 | 236,525 | |||||||||||
Term Loan B |
4.26 | % | 05/28/15 | 1,141 | 1,123,732 | |||||||||||
Brock Holdings III, Inc., Term Loan B |
6.00 | % | 03/16/17 | 2,473 | 2,384,146 | |||||||||||
Charterhouse Inuit (New Luxco) S.a.r.l. (Germany), Second Lien Term Loan |
5.52 | % | 05/16/16 | EUR | 4,000 | 4,815,819 | ||||||||||
Emdeon, Inc., Term Loan B |
6.75 | % | 11/02/18 | 3,377 | 3,395,182 | |||||||||||
First Data Corp., Delayed Draw Term Loan (Acquired 01/20/11; Cost $1,732,113) |
3.01 | % | 09/24/14 | 1,826 | 1,656,661 | |||||||||||
Extended Term Loan B |
4.26 | % | 03/23/18 | 1,563 | 1,311,891 | |||||||||||
Term Loan B1 |
3.01 | % | 09/24/14 | 5,212 | 4,636,143 | |||||||||||
Term Loan B2 |
3.01 | % | 09/24/14 | 7,599 | 6,759,069 | |||||||||||
Term Loan B3 |
3.01 | % | 09/24/14 | 846 | 752,064 | |||||||||||
FS Funding A/S (Denmark), Facility D |
5.78 | % | 06/30/15 | EUR | 2,000 | 2,479,730 | ||||||||||
Hillman Group, Inc., Term Loan B |
5.00 | % | 05/27/16 | 105 | 104,320 | |||||||||||
iPayment, Inc., Term Loan B |
5.75 | % | 05/08/17 | 1,672 | 1,645,542 | |||||||||||
Kronos, Inc., Second Lien Term Loan |
6.12 | % | 06/11/15 | 4,155 | 3,923,403 | |||||||||||
Mitchell International, Inc., Second Lien Term Loan |
5.63 | % | 03/30/15 | 3,654 | 3,419,102 | |||||||||||
NCO Financial Systems, Inc., Term Loan B |
8.00 | % | 05/15/13 | 4,782 | 4,760,978 | |||||||||||
SMG Holdings, Inc., Term Loan B (Acquired 08/06/07-12/13/07; Cost $3,733,597) |
3.36 | % | 07/27/14 | 3,758 | 3,720,065 | |||||||||||
SSI Investments II Ltd., Term Loan C |
6.50 | % | 05/26/17 | 213 | 211,566 | |||||||||||
Sungard Data Systems, Inc., Incremental Term Loan (Acquired 06/01/09; Cost $412,824) |
3.75 | % | 02/28/14 | 413 | 412,308 | |||||||||||
Term Loan B |
3.98 | % | 02/26/16 | 2,673 | 2,619,796 | |||||||||||
69,103,728 | ||||||||||||||||
Cable & Satellite Television5.44% |
||||||||||||||||
AMC Networks Inc.,, Term Loan B |
4.00 | % | 12/31/18 | 453 | 451,362 | |||||||||||
BBHI Acquisition LLC, Term Loan B |
4.50 | % | 12/14/17 | 823 | 807,563 | |||||||||||
Completel Europe N.V. (Netherlands), PIK Term Loan B (c) |
5.47 | % | 08/28/15 | EUR | 10,018 | 12,250,267 | ||||||||||
Cequel Communications, LLC, Term Loan |
2.25 | % | 11/05/13 | 3,491 | 3,450,629 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Cable & Satellite Television(continued) |
||||||||||||||||
Charter Communications Operating, LLC, Extended Term Loan |
3.62 | % | 09/06/16 | $ | 3 | $ | 2,774 | |||||||||
Mediacom Illinois, LLC, Term Loan E |
4.50 | % | 10/23/17 | 486 | 473,645 | |||||||||||
Mediacom Iowa, LLC, Term Loan F |
4.50 | % | 10/23/17 | 887 | 866,126 | |||||||||||
NDS Finance Ltd. Term Loan B |
4.00 | % | 03/12/18 | 976 | 962,628 | |||||||||||
Omega I S.a r.l., (Germany)
|
||||||||||||||||
Term Loan B1 |
5.57 | % | 11/23/15 | EUR | 3,935 | 3,899,197 | ||||||||||
Term Loan C1 |
6.07 | % | 11/21/16 | EUR | 3,935 | 3,925,632 | ||||||||||
Term Loan C2 |
6.07 | % | 11/22/16 | EUR | 4,019 | 4,009,495 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands), Term Loan U |
5.37 | % | 12/29/17 | EUR | 1,000 | 1,265,926 | ||||||||||
UPC Financing Partnership, Facility AB |
4.75 | % | 12/29/17 | 792 | 778,372 | |||||||||||
Yankee Cable Acquisition, LLC, Term Loan B1 |
6.50 | % | 08/26/16 | 4,790 | 4,724,420 | |||||||||||
YPSO Holding SA, (France)
|
||||||||||||||||
PIK Extended Acquisition C (c) |
5.56 | % | 12/29/17 | EUR | 298 | 327,861 | ||||||||||
PIK Extended Term Loan C (c) |
5.56 | % | 12/29/17 | EUR | 5,456 | 5,999,570 | ||||||||||
PIK Facility C Acquisition (c) |
5.56 | % | 12/31/15 | EUR | 1,913 | 2,117,077 | ||||||||||
PIK Facility C Recap (c) |
5.56 | % | 12/31/15 | EUR | 1,170 | 1,294,974 | ||||||||||
47,607,518 | ||||||||||||||||
Chemicals & Plastics3.97% |
||||||||||||||||
Aster Zweite Beteiligungs GMBG (Germany), Extended Term Loan B5 |
4.80 | % | 12/31/14 | 3,000 | 2,628,000 | |||||||||||
Houghton International, Inc., Term Loan B |
6.75 | % | 01/29/16 | 2,945 | 2,940,375 | |||||||||||
Ineos Holdings Ltd., (United Kingdom) |
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Term Loan B1 |
7.50 | % | 12/16/13 | EUR | 4,609 | 6,182,699 | ||||||||||
Term Loan C1 |
8.00 | % | 12/16/14 | EUR | 5,165 | 6,963,981 | ||||||||||
Term Loan D |
9.00 | % | 06/16/15 | EUR | 2,000 | 2,400,022 | ||||||||||
Metokote Corp., Term Loan Refinance |
9.00 | % | 11/27/13 | 3,601 | 3,587,126 | |||||||||||
Momentive Specialty Chemicals, Inc., |
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Extended Term Loan C4 |
4.19 | % | 05/05/15 | 1,386 | 1,317,058 | |||||||||||
Extended Term Loan C5 |
4.00 | % | 05/05/15 | 4,802 | 4,581,896 | |||||||||||
OM Group, Inc., Term Loan B |
5.75 | % | 08/02/17 | 1,212 | 1,203,169 | |||||||||||
OMNOVA Solutions, Inc., Term Loan B |
5.75 | % | 05/31/17 | 249 | 245,054 | |||||||||||
Phillips Plastics Corp., Term Loan |
7.25 | % | 02/10/17 | 723 | 717,683 | |||||||||||
Potters Holdings II, L.P., First Lien Term Loan |
6.00 | % | 05/05/17 | 469 | 466,486 | |||||||||||
PQ Corp., Term Loan B |
3.64 | % | 07/30/14 | 1,528 | 1,439,908 | |||||||||||
34,673,457 | ||||||||||||||||
Clothing & Textiles0.56% |
||||||||||||||||
Levi Strauss & Co., Term Loan |
2.51 | % | 03/27/14 | 5,000 | 4,875,000 | |||||||||||
Conglomerates0.90% |
||||||||||||||||
Goodman Global Holdings, Inc., |
||||||||||||||||
First Lien Term Loan |
5.75 | % | 10/28/16 | 4,220 | 4,223,340 | |||||||||||
Second Lien Term Loan |
9.00 | % | 10/30/17 | 274 | 275,782 | |||||||||||
RGIS Holdings, LLC, |
||||||||||||||||
Delayed Draw Term Loan (Acquired 09/12/07-04/02/08; Cost $159,415) |
2.87 | % | 04/30/14 | 167 | 161,180 | |||||||||||
Term Loan B (Acquired 08/20/07-04/02/08; Cost $3,178,514) |
2.87 | % | 04/30/14 | 3,349 | 3,223,594 | |||||||||||
7,883,896 | ||||||||||||||||
Containers & Glass Products3.56% |
||||||||||||||||
Anchor Glass Container Corp.,
|
||||||||||||||||
First Lien Term Loan |
6.00 | % | 03/02/16 | 2,398 | 2,389,745 | |||||||||||
Second Lien Term Loan |
10.00 | % | 09/02/16 | 1,350 | 1,345,498 | |||||||||||
Berlin Packaging, LLC, Second Lien Term Loan |
6.78 | % | 08/17/15 | 3,000 | 2,887,500 | |||||||||||
Term Loan |
3.34 | % | 08/17/14 | 5,777 | 5,546,316 | |||||||||||
Exopack, LLC, Term Loan |
6.50 | % | 05/31/17 | 3,428 | 3,320,488 | |||||||||||
Ranpak Corp., Term Loan |
4.75 | % | 04/20/17 | 431 | 417,033 | |||||||||||
Reynolds Group Holdings Inc., |
||||||||||||||||
Term Loan B |
6.50 | % | 02/09/18 | 553 | 545,276 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Containers & Glass Products(continued) |
||||||||||||||||
Term Loan C |
6.50 | % | 08/09/18 | $ | 14,886 | $ | 14,673,487 | |||||||||
31,125,343 | ||||||||||||||||
Cosmetics & Toiletries1.21% |
||||||||||||||||
Huish Detergents, Inc., |
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Term Loan B |
2.26 | % | 04/25/14 | 1,912 | 1,711,566 | |||||||||||
Incremental Second Lien Term Loan |
4.51 | % | 10/26/14 | 1,250 | 1,006,250 | |||||||||||
KIK Custom Products, Inc., |
||||||||||||||||
Canadian Term Loan |
2.50 | % | 06/02/14 | 195 | 166,365 | |||||||||||
First Lien Term Loan |
2.50 | % | 06/02/14 | 1,139 | 970,461 | |||||||||||
Second Lien Term Loan |
5.25 | % | 11/28/14 | 7,000 | 4,340,000 | |||||||||||
Marietta Intermediate Holding Corp., PIK Term Loan B (Acquired 07/13/07-02/07/11;
Cost $5,222,528) (c) |
7.00 | % | 02/19/15 | 1,194 | 1,086,178 | |||||||||||
Revlon Consumer Products Corp., Term Loan B |
4.75 | % | 11/17/17 | 1,300 | 1,289,831 | |||||||||||
10,570,651 | ||||||||||||||||
Drugs1.39% |
||||||||||||||||
Capsugel Holding US, Inc., Term Loan |
5.25 | % | 08/01/18 | 1,916 | 1,919,092 | |||||||||||
Grifols Inc., Term Loan B |
6.00 | % | 06/01/17 | 4,905 | 4,904,440 | |||||||||||
Harlan Sprague Dawley, Inc., Term Loan B |
3.89 | % | 07/11/14 | 2,129 | 1,815,809 | |||||||||||
Medpace Intermediateco. Inc., Term Loan (Acquired 06/21/11; Cost $1,883,334) |
6.50 | % | 06/16/17 | 1,910 | 1,833,660 | |||||||||||
Quintiles Transnational Corp., Term Loan B |
5.00 | % | 06/08/18 | 998 | 973,809 | |||||||||||
Warner Chilcott Co., LLC, |
||||||||||||||||
Term Loan B1 |
4.25 | % | 03/15/18 | 342 | 337,533 | |||||||||||
Term Loan B2 |
4.25 | % | 03/15/18 | 171 | 168,767 | |||||||||||
Warner Chilcott Co., LLC., Term Loan B3 |
4.25 | % | 03/15/18 | 235 | 232,054 | |||||||||||
12,185,164 | ||||||||||||||||
Ecological Services & Equipment1.79% |
||||||||||||||||
ServiceMaster Co., |
||||||||||||||||
Delayed Draw Term Loan |
2.76 | % | 07/24/14 | 1,721 | 1,637,384 | |||||||||||
LOC |
2.84 | % | 07/24/14 | 2,802 | 2,577,784 | |||||||||||
Term Loan |
2.77 | % | 07/24/14 | 6,224 | 5,921,400 | |||||||||||
Synagro Technologies, Inc., Second Lien Term Loan |
5.00 | % | 10/02/14 | 6,850 | 5,473,150 | |||||||||||
15,609,718 | ||||||||||||||||
Electronics & Electrical2.71% |
||||||||||||||||
Aeroflex Inc., Term Loan B |
4.25 | % | 05/09/18 | 1,400 | 1,335,250 | |||||||||||
Bentley Systems, Inc., Term Loan B |
5.75 | % | 02/10/17 | 673 | 669,461 | |||||||||||
Blackboard, Inc., First Lien Term Loan |
7.50 | % | 10/04/18 | 3,986 | 3,806,311 | |||||||||||
CommScope, Inc., Term Loan B |
5.00 | % | 01/14/18 | 1,822 | 1,817,368 | |||||||||||
Datatel, Inc., |
||||||||||||||||
Extended First Lien Term Loan |
5.00 | % | 02/20/17 | 595 | 588,745 | |||||||||||
Extended Second Lien Term Loan |
8.75 | % | 02/19/18 | 3,268 | 3,265,376 | |||||||||||
DEI Sales, Inc., Term Loan B |
7.00 | % | 07/13/17 | 1,512 | 1,486,925 | |||||||||||
DG FastChannel, Inc., Term Loan B |
5.75 | % | 07/26/18 | 1,988 | 1,985,866 | |||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B |
4.50 | % | 12/01/16 | 1,000 | 948,750 | |||||||||||
Microsemi Corp., Term Loan B |
5.75 | % | 02/02/18 | 1,042 | 1,043,943 | |||||||||||
Open Solutions, Inc., Term Loan B |
2.55 | % | 01/23/14 | 5,699 | 4,905,049 | |||||||||||
Spectrum Brands, Inc., Term Loan B |
5.00 | % | 06/17/16 | 1,843 | 1,843,511 | |||||||||||
23,696,555 | ||||||||||||||||
Equipment Leasing0.17% |
||||||||||||||||
BakerCorp International, Inc., Term Loan B |
5.00 | % | 06/01/18 | 1,518 | 1,505,927 | |||||||||||
Farming & Agriculture0.23% |
||||||||||||||||
Wm. Bolthouse Farms, Inc., |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Farming & Agriculture(continued) |
||||||||||||||||
First Lien Term Loan |
5.50 | % | 02/11/16 | $ | 929 | $ | 927,513 | |||||||||
Second Lien Term Loan |
9.50 | % | 08/11/16 | 1,091 | 1,085,455 | |||||||||||
2,012,968 | ||||||||||||||||
Financial Intermediaries1.52% |
||||||||||||||||
Nuveen Investments, Inc., Extended Term Loan |
5.90 | % | 05/12/17 | 6,957 | 6,622,838 | |||||||||||
RJO Holdings Corp., |
||||||||||||||||
FCM Term Loan |
6.26 | % | 12/10/15 | 74 | 66,090 | |||||||||||
HoldCo Term Loan B |
7.01 | % | 12/10/15 | 3,472 | 2,603,902 | |||||||||||
Transfirst Holdings, Inc., |
||||||||||||||||
PIK Second Lien Term Loan (c) |
6.26 | % | 06/15/15 | 1,532 | 1,351,187 | |||||||||||
Term Loan B |
3.01 | % | 06/15/14 | 2,872 | 2,640,690 | |||||||||||
13,284,707 | ||||||||||||||||
Food & Drug Retailers2.79% |
||||||||||||||||
Alliance Boots Holdings Ltd., (United Kingdom) |
||||||||||||||||
Second Lien Term Loan |
4.88 | % | 07/05/16 | GBP | 4,800 | 6,635,094 | ||||||||||
Second Lien Term Loan |
5.16 | % | 07/11/16 | EUR | 1,668 | 2,000,142 | ||||||||||
Rite Aid Corp., |
||||||||||||||||
Term Loan 5 |
4.50 | % | 03/02/18 | 5,185 | 4,912,795 | |||||||||||
Term Loan B |
2.01 | % | 06/04/14 | 4,012 | 3,795,924 | |||||||||||
Roundys Supermarkets, Inc., Extended Term Loan |
7.00 | % | 11/03/13 | 3,483 | 3,461,722 | |||||||||||
Supervalu Inc., Term Loan B3 |
4.50 | % | 04/28/18 | 3,664 | 3,557,571 | |||||||||||
24,363,248 | ||||||||||||||||
Food Products2.67% |
||||||||||||||||
Advantage Sales & Marketing, Inc., |
||||||||||||||||
Second Lien Term Loan |
9.25 | % | 06/18/18 | 527 | 504,987 | |||||||||||
Term Loan B |
5.25 | % | 12/18/17 | 1,430 | 1,410,730 | |||||||||||
Bake Holdco S.A. (Luxembourg), PIK Term Loan (c) |
9.23 | % | 09/08/16 | EUR | 803 | 13,483 | ||||||||||
Cucina Acquisition Ltd. (United Kingdom), |
||||||||||||||||
Term Loan B |
3.49 | % | 09/14/15 | GBP | 1,500 | 1,804,243 | ||||||||||
Term Loan C |
3.99 | % | 09/12/16 | GBP | 1,500 | 1,816,010 | ||||||||||
Dean Foods Co., Extended Term Loan B2 |
3.53 | % | 04/02/17 | 685 | 671,427 | |||||||||||
Farleys & Sathers Candy Co., Inc., Term Loan |
6.50 | % | 03/30/18 | 2,347 | 2,305,676 | |||||||||||
Foodvest Ltd., (United Kingdom) |
||||||||||||||||
Term Loan B1 |
5.33 | % | 09/23/15 | EUR | 465 | 565,492 | ||||||||||
Term Loan C2 |
6.08 | % | 09/23/16 | EUR | 2,811 | 3,438,119 | ||||||||||
JBS USA Holdings Inc., Term Loan B |
4.25 | % | 05/25/18 | 1,496 | 1,470,066 | |||||||||||
Pierre Foods, Inc., |
||||||||||||||||
First Lien Term Loan |
7.00 | % | 09/30/16 | 4,217 | 4,204,458 | |||||||||||
Second Lien Term Loan |
11.25 | % | 09/29/17 | 930 | 928,681 | |||||||||||
Pinnacle Foods Holdings Corp., Term Loan D |
6.00 | % | 04/02/14 | 4,169 | 4,185,494 | |||||||||||
23,318,866 | ||||||||||||||||
Food Service0.58% |
||||||||||||||||
Darling International, Inc., Term Loan |
5.75 | % | 12/16/16 | 125 | 125,910 | |||||||||||
OSI Restaurant Partners, LLC, Revolving Credit Agreement |
0.80 | % | 06/14/13 | 1,639 | 1,563,406 | |||||||||||
Term Loan B |
2.58 | % | 06/14/14 | 3,547 | 3,383,605 | |||||||||||
5,072,921 | ||||||||||||||||
Forest Products0.91% |
||||||||||||||||
Ainsworth Lumber Co, Ltd., Term Loan |
5.31 | % | 06/26/14 | 3,200 | 2,702,016 | |||||||||||
Cenveo Corp., Term Loan B |
6.25 | % | 12/21/16 | 4,532 | 4,477,882 | |||||||||||
Verso Paper Holdings LLC, PIK Term Loan (Acquired 06/13/08-11/03/11; Cost $444,950) (c) |
6.83 | % | 02/01/13 | 465 | 244,298 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Forest Products(continued) |
||||||||||||||||
Xerium Technologies, Inc., Term Loan B |
5.50 | % | 05/22/17 | $ | 533 | $ | 530,214 | |||||||||
7,954,410 | ||||||||||||||||
Healthcare5.20% |
||||||||||||||||
Alere, Inc., Term Loan B |
4.50 | % | 06/30/17 | 2,500 | 2,448,212 | |||||||||||
Biomet, Inc., Term Loan B |
3.47 | % | 03/25/15 | 748 | 723,894 | |||||||||||
CareStream Health, Inc., Term Loan B |
5.00 | % | 02/25/17 | 8,353 | 7,429,916 | |||||||||||
Community Health Systems, Inc., Extended Term Loan B |
3.95 | % | 01/25/17 | 2,335 | 2,263,802 | |||||||||||
DJO Finance LLC, Term Loan B |
3.26 | % | 05/20/14 | 1,995 | 1,930,925 | |||||||||||
Drumm Investors, LLC, Term Loan |
5.00 | % | 05/04/18 | 2,735 | 2,382,588 | |||||||||||
Genoa Healthcare Group, LLC, Second Lien Term Loan (Acquired
06/08/11; Cost $1,054,842) |
11.50 | % | 02/10/13 | 1,091 | 790,969 | |||||||||||
Gentiva Health Services, Inc., Term Loan B |
4.75 | % | 08/17/16 | 1,140 | 1,004,721 | |||||||||||
HCA, Inc., |
||||||||||||||||
Extended Term Loan A2 |
2.87 | % | 05/01/16 | 1,481 | 1,402,178 | |||||||||||
Extended Term Loan B3 |
3.62 | % | 05/01/18 | 500 | 474,723 | |||||||||||
HCR Healthcare, LLC, Term Loan |
5.00 | % | 04/06/18 | 685 | 615,359 | |||||||||||
Kindred Healthcare, Inc., Term Loan |
5.25 | % | 06/01/18 | 2,895 | 2,688,463 | |||||||||||
Kinetic Concepts, Inc., |
||||||||||||||||
Euro Term Loan |
7.07 | % | 05/04/18 | EUR | 5,000 | 6,716,818 | ||||||||||
Term Loan B |
7.00 | % | 05/04/18 | 4,280 | 4,310,050 | |||||||||||
Sun Healthcare Group Inc., Term Loan B |
7.50 | % | 10/15/16 | 1,320 | 999,699 | |||||||||||
Surgery Center Holdings, Inc., Term Loan B |
6.50 | % | 02/06/17 | 1,169 | 1,110,680 | |||||||||||
Surgical Care Affiliates, Inc., Extended Term Loan (Acquired
06/30/11; Cost $5,470,324) |
4.37 | % | 12/29/17 | 5,767 | 5,219,380 | |||||||||||
TriZetto Group, Inc., Term Loan B |
4.75 | % | 05/02/18 | 1,127 | 1,106,533 | |||||||||||
United Surgical Partners, International, Inc., Term Loan B |
2.26 | % | 04/18/14 | 587 | 571,181 | |||||||||||
Vitalia Holdco S.a.r.l. (Switzerland), Second Lien Term Loan |
10.11 | % | 01/28/19 | EUR | 1,000 | 1,289,952 | ||||||||||
45,480,043 | ||||||||||||||||
Home Furnishings1.50% |
||||||||||||||||
Hunter Fan Co., |
||||||||||||||||
Second Lien Term Loan |
7.01 | % | 10/16/14 | 6,789 | 5,550,395 | |||||||||||
Term Loan |
2.76 | % | 04/16/14 | 1,417 | 1,303,318 | |||||||||||
Mattress Holdings Corp., Term Loan B |
2.62 | % | 01/17/14 | 2,006 | 1,923,497 | |||||||||||
National Bedding Co., LLC, Second Lien Term Loan (Acquired
07/10/10-12/15/10; Cost $3,451,233) |
5.50 | % | 02/28/14 | 3,458 | 3,379,885 | |||||||||||
Springs Windows Fashions, LLC, Term Loan B |
6.00 | % | 05/31/17 | 985 | 955,305 | |||||||||||
13,112,400 | ||||||||||||||||
Industrial Equipment0.83% |
||||||||||||||||
Husky Injection Molding Systems Ltd., Term Loan B |
6.50 | % | 06/30/18 | 1,428 | 1,419,266 | |||||||||||
Mold-Masters Luxembourg Holdings S. A., Mold Masters Term Loan |
3.94 | % | 10/10/14 | 3,532 | 3,419,361 | |||||||||||
Terex Corp., Term Loan B |
5.50 | % | 04/28/17 | 1,707 | 1,709,069 | |||||||||||
Unifrax Corp., Term Loan |
7.00 | % | 11/28/18 | 687 | 688,327 | |||||||||||
7,236,023 | ||||||||||||||||
Insurance0.89% |
||||||||||||||||
Alliant Holdings I, Inc., Term Loan D |
6.75 | % | 08/21/14 | 1,024 | 1,024,149 | |||||||||||
C.G. JCF Corp., Term Loan |
3.26 | % | 08/01/14 | 529 | 515,667 | |||||||||||
HMSC Corp., Second Lien Term Loan |
5.76 | % | 10/03/14 | 1,750 | 1,028,125 | |||||||||||
Sedgwick CMS Holdings, Inc., |
||||||||||||||||
Second Lien Term Loan |
9.00 | % | 05/26/17 | 1,600 | 1,584,000 | |||||||||||
Term Loan |
5.00 | % | 12/30/16 | 1,644 | 1,629,130 | |||||||||||
USI Holdings Corp., Incremental Term Loan |
7.00 | % | 05/05/14 | 1,960 | 1,964,900 | |||||||||||
7,745,971 | ||||||||||||||||
Leisure Goods, Activities & Movies2.32% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc., Term Loan |
7.50 | % | 04/22/16 | 3,801 | 3,664,159 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Leisure Goods, Activities & Movies(continued) |
||||||||||||||||
Alpha D2 Ltd., (United Kingdom) |
||||||||||||||||
Second Lien Term Loan |
3.90 | % | 06/30/14 | $ | 6,624 | $ | 6,104,631 | |||||||||
Term Loan B2 |
2.53 | % | 12/31/13 | 2,244 | 2,128,083 | |||||||||||
Term Loan B |
2.53 | % | 12/31/13 | 754 | 715,470 | |||||||||||
Fender Musical Instruments Corp.,
|
||||||||||||||||
Delayed Draw Term Loan
|
2.51 | % | 06/09/14 | 571 | 528,146 | |||||||||||
Term Loan B |
2.51 | % | 06/09/14 | 1,130 | 1,045,351 | |||||||||||
IMG Worldwide, Inc., Term Loan B |
5.50 | % | 06/16/16 | 554 | 544,389 | |||||||||||
Sabre, Inc., Term Loan B |
2.31 | % | 09/30/14 | 4,545 | 3,766,979 | |||||||||||
Vue Entertainment Investment Ltd. (United Kingdom), Term Loan B |
6.12 | % | 12/21/17 | GBP | 1,375 | 1,755,207 | ||||||||||
20,252,415 | ||||||||||||||||
Lodging & Casinos9.33% |
||||||||||||||||
Boyd Gaming Corp.,
|
||||||||||||||||
Extended Revolving Credit Agreement (k) |
| 12/17/15 | 2,405 | 2,140,446 | ||||||||||||
Revolving Credit Agreement |
6.00 | % | 12/17/15 | 1,107 | 1,097,247 | |||||||||||
Term Loan |
3.76 | % | 12/17/15 | 2,443 | 2,309,364 | |||||||||||
Caesars Entertainment Operating Co.,
|
||||||||||||||||
Incremental Term Loan B4 |
9.50 | % | 10/31/16 | 491 | 486,583 | |||||||||||
Term Loan B1 |
3.42 | % | 01/28/15 | 8,979 | 7,702,329 | |||||||||||
Term Loan B3 |
3.42 | % | 01/28/15 | 16,680 | 14,308,318 | |||||||||||
Term Loan B2 |
3.36 | % | 01/28/15 | 2,938 | 2,519,832 | |||||||||||
Cannery Casino Resorts, LLC,
|
||||||||||||||||
Delayed Draw Term Loan |
4.51 | % | 05/20/13 | 2,314 | 2,124,321 | |||||||||||
Second Lien Term Loan |
4.51 | % | 05/16/14 | 2,500 | 2,200,000 | |||||||||||
Term Loan B |
4.51 | % | 05/17/13 | 2,798 | 2,568,576 | |||||||||||
CCM Merger, Inc., Term Loan B |
7.00 | % | 03/01/17 | 1,529 | 1,523,044 | |||||||||||
Chester Downs & Marina LLC,
|
||||||||||||||||
Incremental Term Loan |
12.38 | % | 07/29/16 | 181 | 181,751 | |||||||||||
Term Loan |
12.38 | % | 07/29/16 | 4,144 | 4,164,294 | |||||||||||
Full Moon Holdco 3 Ltd. (United Kingdom), |
||||||||||||||||
Tranche B Term Loan |
4.61 | % | 09/05/14 | GBP | 7,110 | 9,174,892 | ||||||||||
Tranche C Term Loan |
5.24 | % | 09/04/15 | GBP | 7,110 | 9,230,666 | ||||||||||
Golden Nugget, Inc.,
|
||||||||||||||||
PIK New Delayed Draw Term Loan (c) |
3.26 | % | 06/30/14 | 361 | 291,690 | |||||||||||
PIK Term Loan B (c) |
3.26 | % | 06/30/14 | 633 | 512,422 | |||||||||||
Las Vegas Sands LLC, Extended Delayed Draw Term Loan 2 |
2.84 | % | 11/23/15 | 160 | 153,624 | |||||||||||
Magnolia Hill, LLC,
|
||||||||||||||||
Delayed Draw Term Loan (Acquired 11/04/08-11/12/08; Cost $1,050,390) |
3.51 | % | 10/30/13 | 1,050 | 919,091 | |||||||||||
Mezzanine Loan (Acquired 10/31/07; Cost $4,649,858) |
14.00 | % | 04/30/14 | 4,650 | 4,068,626 | |||||||||||
Term Loan (Acquired 10/31/07; Cost $2,989,570) |
3.51 | % | 10/30/13 | 2,990 | 2,615,874 | |||||||||||
Regency Entertainment S.A. (Greece), |
||||||||||||||||
PIK Term Loan B (c)(e) |
3.42 | % | 03/03/14 | EUR | 9,799 | 3,061,155 | ||||||||||
PIK Term Loan C (c)(e) |
3.80 | % | 03/02/15 | EUR | 9,786 | 3,123,067 | ||||||||||
Twin River Worldwide Holdings, Inc., Term Loan |
8.50 | % | 11/05/15 | 5,178 | 5,135,577 | |||||||||||
81,612,789 | ||||||||||||||||
Oil & Gas3.33% |
||||||||||||||||
Abbot Group Ltd. (United Kingdom), |
||||||||||||||||
Term Loan B1 |
5.26 | % | 03/15/16 | 161 | 123,705 | |||||||||||
Term Loan B2 |
5.26 | % | 03/18/16 | 3,535 | 2,701,015 | |||||||||||
Term Loan C1 |
5.51 | % | 03/15/17 | 57 | 44,173 | |||||||||||
Term Loan C2 |
5.51 | % | 03/20/17 | 2,850 | 2,192,421 | |||||||||||
Term Loan C3 |
5.51 | % | 03/20/17 | 988 | 760,035 | |||||||||||
Big West Oil, LLC, New Term Loan |
7.00 | % | 03/31/16 | 170 | 170,713 | |||||||||||
Buffalo Gulf Coast Terminals LLC, Term Loan B (Acquired 10/31/11; Cost $1,864,668) |
7.50 | % | 10/31/17 | 1,902 | 1,911,818 | |||||||||||
CCS Corp. (Canada), Term Loan B |
3.37 | % | 11/14/14 | 5,024 | 4,611,703 | |||||||||||
Citgo Petroleum Corp., Term Loan B |
8.00 | % | 06/24/15 | 704 | 706,382 | |||||||||||
Delek Benelux B.V. (Netherlands) |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Oil & Gas(continued) |
||||||||||||||||
Term Loan B1A |
3.45 | % | 08/10/15 | EUR | 721 | $ | 915,388 | |||||||||
Term Loan B1B |
3.45 | % | 08/10/15 | EUR | 161 | 204,011 | ||||||||||
Term Loan B1C |
3.45 | % | 08/10/15 | EUR | 193 | 245,632 | ||||||||||
Term Loan C1A |
4.45 | % | 08/08/16 | EUR | 721 | 920,231 | ||||||||||
Term Loan C1B |
4.62 | % | 08/08/16 | EUR | 161 | 205,090 | ||||||||||
Term Loan C1C |
4.62 | % | 08/08/16 | EUR | 193 | 246,932 | ||||||||||
Obsidian Natural Gas Trust, Term Loan |
7.00 | % | 11/02/15 | 1,867 | 1,871,565 | |||||||||||
RAM Energy Resources, Inc., Second Lien Term Loan (Acquired 03/15/11; Cost $1,622,770) |
11.00 | % | 09/13/16 | 1,652 | 1,643,252 | |||||||||||
SemGroup Corp., Term Loan B |
5.75 | % | 06/15/18 | 2,916 | 2,908,668 | |||||||||||
Western Refining, Inc., Term Loan B |
7.50 | % | 03/15/17 | 3,980 | 4,020,266 | |||||||||||
Willbros United States Holdings, Inc., Term Loan B |
9.50 | % | 06/30/14 | 2,764 | 2,750,299 | |||||||||||
29,153,299 | ||||||||||||||||
Publishing4.13% |
||||||||||||||||
Cengage Learning Acquisitions, Inc., Term Loan |
2.51 | % | 07/03/14 | 2,314 | 1,965,666 | |||||||||||
Clarke American Corp., Term Loan B |
2.78 | % | 06/30/14 | 2,420 | 2,051,923 | |||||||||||
Gatehouse Media Operating, Inc.,
|
||||||||||||||||
Delayed Draw Term Loan |
2.26 | % | 08/28/14 | 302 | 69,447 | |||||||||||
Term Loan B |
2.26 | % | 08/28/14 | 810 | 186,203 | |||||||||||
Knowledgepoint360 Group, LLC,
|
||||||||||||||||
First Lien Term Loan (Acquired 01/17/08; Cost $910,329) |
3.73 | % | 04/14/14 | 927 | 847,767 | |||||||||||
Second Lien Term Loan (Acquired 10/01/07-01/17/08; Cost $1,952,049) |
7.47 | % | 04/13/15 | 2,000 | 1,600,000 | |||||||||||
Medianews Group, Term Loan |
8.50 | % | 03/19/14 | 1,190 | 1,129,858 | |||||||||||
Merrill Communications, LLC,
|
||||||||||||||||
PIK Second Lien Term Loan (c) |
13.76 | % | 11/15/13 | 5,109 | 4,827,662 | |||||||||||
Term Loan |
7.50 | % | 12/24/12 | 3,856 | 3,726,797 | |||||||||||
Tribune Co., Term Loan B (e)(f) |
5.25 | % | 06/04/14 | 29,437 | 18,167,624 | |||||||||||
Yell Group PLC (United Kingdom), Term Loan B1 |
4.01 | % | 07/31/14 | 5,424 | 1,484,838 | |||||||||||
36,057,785 | ||||||||||||||||
Radio & Television9.87% |
||||||||||||||||
Clear Channel Communications, Inc. |
||||||||||||||||
Term Loan A |
3.70 | % | 07/29/14 | 5,016 | 4,326,639 | |||||||||||
Term Loan B |
3.91 | % | 01/28/16 | 22,326 | 16,721,499 | |||||||||||
CMP KC LLC, Term Loan (Acquired 03/17/08-03/15/10; Cost $1,886,637) (e) |
6.25 | % | 10/03/12 | 1,887 | 235,830 | |||||||||||
Harron Communications Corp., Term Loan B |
5.25 | % | 10/06/17 | 1,294 | 1,278,939 | |||||||||||
High Plains Broadcasting Operating Co. LLC, Term Loan |
9.00 | % | 09/14/16 | 612 | 608,036 | |||||||||||
Intelsat Jackson Holdings S.A., Term Loan B |
5.25 | % | 04/02/18 | 8,941 | 8,859,468 | |||||||||||
Lavena Holding 4 GmbH (Holdco) (Germany), Revolver |
3.80 | % | 03/06/15 | EUR | 12,694 | 12,878,426 | ||||||||||
Multicultural Radio Broadcasting, Inc., Term Loan |
3.01 | % | 12/18/12 | 1,349 | 1,202,311 | |||||||||||
Newport Television LLC, Term Loan B |
9.00 | % | 09/14/16 | 2,283 | 2,268,892 | |||||||||||
Raycom TV Broadcasting, Inc., Term Loan B |
4.50 | % | 05/31/17 | 3,102 | 2,978,257 | |||||||||||
Tyrol Acquisitions (France),
|
||||||||||||||||
Revolving Credit Agreement (d) |
3.87 | % | 01/31/14 | EUR | 1,350 | 1,423,985 | ||||||||||
Extended Second Lien Term Loan |
6.95 | % | 07/29/16 | EUR | 7,130 | 6,841,443 | ||||||||||
Second Lien Term Loan |
6.95 | % | 07/29/16 | EUR | 2,960 | 2,840,206 | ||||||||||
Term Loan C |
3.62 | % | 01/29/16 | EUR | 720 | 798,477 | ||||||||||
Univision Communications Inc., Extended Term Loan |
4.51 | % | 03/31/17 | 25,612 | 23,027,164 | |||||||||||
86,289,572 | ||||||||||||||||
Retailers (except Food & Drug)2.31% |
||||||||||||||||
Academy, Ltd., Term Loan |
6.00 | % | 08/03/18 | 2,278 | 2,245,828 | |||||||||||
Amscan Holdings, Inc., Term Loan B |
6.75 | % | 12/04/17 | 3,298 | 3,291,073 | |||||||||||
Claires Stores, Inc., Term Loan B |
3.04 | % | 05/29/14 | 387 | 333,607 | |||||||||||
Educate, Inc., Term Loan (Acquired 06/29/07; Cost $493,333) |
8.52 | % | 06/16/14 | 493 | 490,867 | |||||||||||
Guitar Center Inc., Extended Term Loan |
5.62 | % | 04/10/17 | 4,527 | 4,003,728 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Retailers (except Food & Drug)(continued) |
||||||||||||||||
J. Crew Operating Corp., New Term Loan B |
4.75 | % | 03/07/18 | $ | 5,243 | $ | 4,843,323 | |||||||||
Michaels Stores, Inc., Term Loan B2 |
4.91 | % | 07/31/16 | 1,790 | 1,748,805 | |||||||||||
Neiman Marcus Group, Inc., Term Loan |
4.75 | % | 05/16/18 | 413 | 397,924 | |||||||||||
Salsa Retail Holding Debtco 1 S.a r.l. (Germany), Term Loan B |
6.50 | % | 02/08/18 | EUR | 3,000 | 2,821,769 | ||||||||||
20,176,924 | ||||||||||||||||
Surface Transport0.93% |
||||||||||||||||
Avis Budget Car Rental, LLC, Incremental Term Loan |
6.25 | % | 09/21/18 | 1,746 | 1,754,934 | |||||||||||
JHCI Acquisition, Inc., First Lien Term Loan |
2.76 | % | 06/19/14 | 2,461 | 2,263,709 | |||||||||||
Kenan Advantage Group, Inc., Term Loan |
4.50 | % | 06/10/16 | 1,727 | 1,716,935 | |||||||||||
Swift Transportation Co. Inc., Term Loan B |
6.00 | % | 12/21/16 | 2,445 | 2,438,347 | |||||||||||
8,173,925 | ||||||||||||||||
Telecommunications6.65% |
||||||||||||||||
Avaya, Inc., Extended Term Loan B3 |
5.01 | % | 10/26/17 | 645 | 572,238 | |||||||||||
Bultel Cable Bulgaria EAD (Bulgaria),
|
||||||||||||||||
Extended Term Loan A |
6.74 | % | 09/30/17 | EUR | 2,990 | 1,888,301 | ||||||||||
Extended Term Loan B |
7.75 | % | 10/30/18 | EUR | 3,250 | 2,052,501 | ||||||||||
Cellular South, Inc., Term Loan B |
4.50 | % | 07/27/17 | 1,632 | 1,612,873 | |||||||||||
Fairpoint Communications, Inc., Term Loan B |
6.50 | % | 01/22/16 | 5,267 | 4,196,618 | |||||||||||
Fibernet, (Netherlands)
|
||||||||||||||||
Term Loan B (g) |
4.29 | % | 12/20/14 | EUR | 980 | 0 | ||||||||||
Term Loan C (g) |
4.60 | % | 12/20/15 | EUR | 980 | 0 | ||||||||||
Global Tel*Link Corp., Term Loan B |
5.00 | % | 11/10/16 | 2,629 | 2,618,923 | |||||||||||
Integra Telecom Holdings Inc., Term Loan B |
9.25 | % | 04/15/15 | 3,147 | 2,778,500 | |||||||||||
Level 3 Communications, Inc.,
|
||||||||||||||||
Term Loan A |
2.65 | % | 03/13/14 | 4,625 | 4,360,519 | |||||||||||
Term Loan B2 |
5.75 | % | 09/03/18 | 12,240 | 11,903,584 | |||||||||||
Term Loan B3 |
5.75 | % | 08/31/18 | 2,363 | 2,297,788 | |||||||||||
MetroPCS Wireless, Inc., Term Loan B |
4.03 | % | 03/16/18 | 8,924 | 8,683,123 | |||||||||||
NeuStar, Inc., Term Loan B |
5.00 | % | 11/08/18 | 2,647 | 2,652,642 | |||||||||||
PAETEC Holding Corp., Term Loan |
5.75 | % | 05/31/18 | 779 | 775,528 | |||||||||||
Securus Technologies Holdings, Inc., Term Loan |
5.25 | % | 05/31/17 | 1,894 | 1,869,947 | |||||||||||
Syniverse Technologies, Inc., Term Loan B |
5.25 | % | 12/21/17 | 2,201 | 2,201,202 | |||||||||||
Tirol Finco B.V. (Austria),
|
||||||||||||||||
Facility Term Loan B |
3.95 | % | 10/02/15 | EUR | 1,012 | 1,180,934 | ||||||||||
Facility Term Loan C |
4.45 | % | 10/03/16 | EUR | 988 | 1,160,385 | ||||||||||
TowerCo Finance ,LLC, Term Loan B |
5.25 | % | 02/02/17 | 681 | 682,032 | |||||||||||
U.S. TelePacific Corp., Term Loan B |
5.75 | % | 02/23/17 | 1,147 | 1,090,924 | |||||||||||
Wind Telecomunicazioni SpA (Italy), Term Loan B1 |
5.00 | % | 11/27/17 | EUR | 3,000 | 3,557,444 | ||||||||||
58,136,006 | ||||||||||||||||
Utilities4.01% |
||||||||||||||||
Bicent Power, LLC, Second Lien Term Loan |
4.37 | % | 12/31/14 | 5,000 | 141,050 | |||||||||||
BRSP, LLC, Term Loan B |
7.50 | % | 06/04/14 | 4,287 | 4,286,552 | |||||||||||
Calpine Corp., Term Loan |
4.50 | % | 04/02/18 | 2,464 | 2,396,922 | |||||||||||
FirstLight Power Resources, Inc., Second Lien Term Loan |
4.81 | % | 05/01/14 | 2,900 | 2,646,250 | |||||||||||
Great Point Power, Term Loan B1 |
4.25 | % | 03/10/17 | 329 | 322,420 | |||||||||||
Mach Gen, LLC, LOC |
2.37 | % | 02/22/13 | 187 | 169,943 | |||||||||||
Primary Energy Operations LLC, Term Loan |
6.50 | % | 10/23/14 | 2,411 | 2,362,553 | |||||||||||
Star West Generation LLC, Term Loan B |
6.00 | % | 05/14/18 | 6,139 | 5,985,542 | |||||||||||
Texas Competitive Electric Holdings Co., LLC,
|
||||||||||||||||
Extended Term Loan |
4.75 | % | 10/10/17 | 367 | 240,797 | |||||||||||
Non-Extended Term Loan |
3.76 | % | 10/10/14 | 14,944 | 10,909,224 | |||||||||||
TPF Generation Holdings LLC, Second Lien Term Loan C |
4.62 | % | 12/15/14 | 6,000 | 5,630,010 | |||||||||||
35,091,263 | ||||||||||||||||
863,062,461 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Notes20.71% |
||||||||||||||||
Airlines0.08% |
||||||||||||||||
Continental Airlines, Inc. |
6.75 | % | 09/15/15 | $ | 650 | $ | 651,625 | |||||||||
Building & Development0.03% |
||||||||||||||||
Realogy Corp. |
7.88 | % | 02/15/19 | 336 | 283,920 | |||||||||||
Cable & Satellite Television2.11% |
||||||||||||||||
AMC Networks, Inc. |
7.75 | % | 07/15/17 | 231 | 243,705 | |||||||||||
CCO Holdings, LLC, |
7.00 | % | 01/15/19 | 4,237 | 4,295,693 | |||||||||||
Telenet Bidco N.V. (Belgium) |
6.38 | % | 11/15/20 | EUR | 2,000 | 2,526,155 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) |
9.75 | % | 04/15/18 | EUR | 1,500 | 2,035,705 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) |
8.38 | % | 08/15/20 | EUR | 2,000 | 2,499,281 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) |
7.25 | % | 11/15/21 | 2,351 | 2,271,474 | |||||||||||
Ziggo Bond Co. B.V. (Netherlands) (h) |
8.00 | % | 05/15/18 | EUR | 3,500 | 4,585,375 | ||||||||||
18,457,388 | ||||||||||||||||
Chemicals & Plastics0.19% |
||||||||||||||||
Lyondell Chemical Co. |
11.00 | % | 05/01/18 | 1,572 | 1,692,691 | |||||||||||
Containers & Glass Products6.11% |
||||||||||||||||
Ardagh Glass Finance, (Ireland) (h) |
7.13 | % | 06/15/17 | EUR | 5,000 | 5,609,946 | ||||||||||
Ardagh Glass Finance, (Ireland) (h) |
8.75 | % | 02/01/20 | EUR | 6,000 | 6,973,801 | ||||||||||
Berry Plastics Holding Corp. (i) |
4.22 | % | 09/15/14 | 2,000 | 1,852,500 | |||||||||||
Berry Plastics Holding Corp. (i) |
5.15 | % | 02/15/15 | 6,456 | 6,367,230 | |||||||||||
Pregis Corp. |
6.61 | % | 04/15/13 | EUR | 7,550 | 9,942,033 | ||||||||||
Pregis Corp. |
6.61 | % | 04/15/13 | EUR | 9,800 | 12,904,890 | ||||||||||
Reynolds Group Holdings Inc. (i) |
7.75 | % | 10/15/16 | EUR | 2,000 | 2,647,088 | ||||||||||
Reynolds Group Holdings Inc. |
7.88 | % | 08/15/19 | 6,028 | 6,088,280 | |||||||||||
Reynolds Group Holdings Inc. |
6.88 | % | 02/15/21 | 1,043 | 998,672 | |||||||||||
53,384,440 | ||||||||||||||||
Cosmetics & Toiletries0.96% |
||||||||||||||||
Ontex (Netherlands) (h) |
7.50 | % | 04/15/18 | EUR | 7,000 | 8,394,763 | ||||||||||
Financial Intermediaries0.38% |
||||||||||||||||
Royal Bank of Scotland PLC (United Kingdom) |
7.65 | % | 08/29/49 | 5,000 | 3,325,000 | |||||||||||
Food Service0.43% |
||||||||||||||||
Punch Taverns Finance (United Kingdom) |
7.37 | % | 06/30/22 | GBP | 2,982 | 3,731,362 | ||||||||||
Forest Products0.52% |
||||||||||||||||
Verso Paper Holdings |
11.50 | % | 07/01/14 | 4,370 | 4,522,950 | |||||||||||
Healthcare0.80% |
||||||||||||||||
Apria Healthcare Group, Inc. |
11.25 | % | 11/01/14 | 6,167 | 6,135,833 | |||||||||||
HCA, Inc. |
6.50 | % | 02/15/20 | 885 | 882,788 | |||||||||||
7,018,621 | ||||||||||||||||
Home Furnishings0.19% |
||||||||||||||||
Targus Group International, Inc. PIK (c)(j) |
10.00 | % | 06/14/19 | 1,694 | 1,694,195 | |||||||||||
Leisure Goods, Activities & Movies0.50% |
||||||||||||||||
Corleone Capital Ltd. (United Kingdom) |
9.00 | % | 08/01/18 | GBP | 3,000 | 4,353,699 | ||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Oil & Gas1.14% |
||||||||||||||||
Offshore Group Investment Ltd. |
11.50 | % | 08/01/15 | $ | 2,360 | $ | 2,542,900 | |||||||||
Seadrill Ltd. |
6.50 | % | 10/05/15 | 7,700 | 7,449,750 | |||||||||||
9,992,650 | ||||||||||||||||
Publishing0.27% |
||||||||||||||||
Newsday, LLC (i) |
6.65 | % | 08/01/13 | 2,333 | 2,359,583 | |||||||||||
Rail Industries1.48% |
||||||||||||||||
Channel Link (United Kingdom) (i) |
2.35 | % | 06/20/12 | GBP | 5,000 | 6,903,163 | ||||||||||
Channel Link (United Kingdom) (i) |
3.00 | % | 06/30/12 | EUR | 5,000 | 6,063,444 | ||||||||||
12,966,607 | ||||||||||||||||
Surface Transport1.99% |
||||||||||||||||
Avis Budget Car Rental, LLC |
7.75 | % | 05/05/16 | 464 | 461,680 | |||||||||||
Avis Budget Car Rental, LLC |
9.63 | % | 03/15/18 | 820 | 828,200 | |||||||||||
Nobina Europe A.B. (Sweden) |
9.13 | % | 08/01/12 | EUR | 12,769 | 16,128,743 | ||||||||||
17,418,623 | ||||||||||||||||
Telecommunications1.01% |
||||||||||||||||
Goodman Networks, Inc. |
12.13 | % | 07/01/18 | 3,960 | 3,811,500 | |||||||||||
Paetec Holding Corp. |
8.88 | % | 06/30/17 | 462 | 495,495 | |||||||||||
Paetec Holding Corp. |
9.88 | % | 12/01/18 | 1,845 | 1,974,150 | |||||||||||
Windstream Corp. |
7.50 | % | 06/01/22 | 2,709 | 2,580,323 | |||||||||||
8,861,468 | ||||||||||||||||
Utilities2.52% |
||||||||||||||||
Calpine Corp. |
7.88 | % | 01/15/23 | 7,923 | 8,200,457 | |||||||||||
Calpine Corp. |
7.25 | % | 10/15/17 | 3,367 | 3,425,923 | |||||||||||
Calpine Corp. |
7.50 | % | 02/15/21 | 1,089 | 1,116,685 | |||||||||||
NRG Energy, Inc. |
7.63 | % | 05/15/19 | 9,700 | 9,263,500 | |||||||||||
22,006,565 | ||||||||||||||||
181,116,150 | ||||||||||||||||
Structured Products3.46% |
||||||||||||||||
ACA CLO 2005-1 Ltd. (i) |
5.57 | % | 10/15/17 | 3,500 | 2,511,250 | |||||||||||
Apidos CDO Ltd. (i) |
4.01 | % | 01/20/19 | 631 | 381,566 | |||||||||||
Ares XI CLO Ltd. (i) |
3.39 | % | 10/11/21 | 792 | 514,800 | |||||||||||
Atrium CDO Corp. |
9.18 | % | 06/08/19 | 328 | 291,920 | |||||||||||
BALL Hilton (i) |
2.00 | % | 11/15/13 | 7,821 | 6,921,781 | |||||||||||
Cent CDO LTD (i) |
2.59 | % | 03/11/21 | 2,750 | 1,760,000 | |||||||||||
CET 21 spol. s r.o. (Czech Republic) |
9.00 | % | 11/01/17 | EUR | 5,000 | 6,617,720 | ||||||||||
Clear Lake CLO 2006-1A Ltd. (i) |
1.80 | % | 12/20/20 | 3,000 | 1,828,200 | |||||||||||
Columbus Nova CLO Ltd. (i) |
4.06 | % | 05/16/19 | 1,747 | 1,065,670 | |||||||||||
Flagship CLO (i) |
5.09 | % | 06/10/21 | 922 | 581,076 | |||||||||||
Halcyon Loan Investors CLO Ltd. (i) |
4.02 | % | 04/24/21 | 2,121 | 1,230,180 | |||||||||||
ING Investment Management CLO Ltd. (i) |
4.07 | % | 12/13/20 | 1,842 | 1,123,620 | |||||||||||
Madison Park Funding I Ltd. (i) |
4.17 | % | 03/22/21 | 3,361 | 2,293,672 | |||||||||||
Pacifica CDO Ltd. (i) |
4.21 | % | 08/15/21 | 1,538 | 922,800 | |||||||||||
Sierra CLO Ltd (h)(i) |
3.92 | % | 01/22/21 | 1,696 | 1,012,851 | |||||||||||
Silverado CLO Ltd. (i) |
4.32 | % | 10/16/20 | 2,050 | 1,235,125 | |||||||||||
30,292,231 | ||||||||||||||||
Shares | Value | |||||||
Common Stocks & Other Equity Interests2.35% |
||||||||
Building & Development0.20% |
||||||||
Axia Acquisition Corp. (h) |
101 | $ | 251,400 | |||||
Building Materials Holding Corp. (h) |
512,204 | 554,717 | ||||||
Lake at Las Vegas Joint Venture, LLC Class A, (g) (h) (Acquired 07/15/10; Cost $24,140,508) |
2,339 | 320,385 | ||||||
Lake at Las Vegas Joint Venture, LLC Class B, (g) (h) (Acquired 07/15/10; Cost $285,788) |
28 | 3,806 | ||||||
Lake at Las Vegas Joint Venture, LLC Class C, Wts., expiring 07/15/15 (g) (h) (Acquired 07/15/10; Cost $0) |
117 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class D, Wts., expiring 07/15/15 (g) (h) (Acquired 07/15/10; Cost $0) |
161 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class E, Wts., expiring 07/15/15 (g) (h) (Acquired 07/15/10; Cost $0) |
180 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class F, Wts., expiring 07/15/10 (g) (h) (Acquired 07/15/10; Cost $0) |
202 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class G, Wts., expiring 07/15/15 (g) (h) (Acquired 07/15/10; Cost $0) |
229 | 0 | ||||||
Newhall Holding Co., LLC Class A, (g) (h) |
235,259 | 270,548 | ||||||
Rhodes Homes (h) |
750,544 | 206,400 | ||||||
WCI Communities, Inc. (g) (h) |
1,830 | 183,000 | ||||||
1,790,256 | ||||||||
Chemicals & Plastics0.61% |
||||||||
Lyondell Chemical Co. Class A (g) |
162,147 | 5,297,343 | ||||||
Conglomerates0.06% |
||||||||
Euramax International, Inc. (g)(h) |
1,870 | 514,195 | ||||||
Cosmetics & Toiletries0.14% |
||||||||
Marietta Intermediate Holding Corp. (Acquired 07/13/07; Cost $2,591,511) (g) (h) |
1,641,483 | 1,214,697 | ||||||
Marietta Intermediate Holding Corp. Wts., expiring 02/20/19 (Acquired 07/12/07; Cost $0) (g) (h) |
413,194 | 0 | ||||||
1,214,697 | ||||||||
Financial Intermediaries0.00% |
||||||||
RJO Holdings Corp. (g)(h) |
2,144 | 21,440 | ||||||
RJO Holdings Corp. Class A (g)(h) |
1,142 | 571 | ||||||
RJO Holdings Corp. Class B (g)(h) |
3,333 | 1,667 | ||||||
23,678 | ||||||||
Food Products0.00% |
||||||||
Bake Holdco S.A. (Luxembourg) (Acquired 12/10/10; Cost $0) (h) |
591,543 | 0 | ||||||
Bake Holdco S.A. (Luxembourg) Class A (Acquired 12/10/10; Cost $0) (h) |
17,626 | 0 | ||||||
Bake Holdco S.A. (Luxembourg) Class B (Acquired 12/10/10; Cost $0) (h) |
5,100 | 0 | ||||||
0 | ||||||||
Home Furnishings0.02% |
||||||||
Targus Group International, Inc. (g)(h)(j) (Acquired 12/10/09; Cost $0) |
62,413 | 179,125 | ||||||
Leisure Goods, Activities & Movies0.89% |
||||||||
MEGA Brands, Inc. (Canada) |
30,040 | 258,592 | ||||||
Metro-Goldwyn-Mayer Inc. Class A (h) |
400,602 | 7,478,038 | ||||||
7,736,630 | ||||||||
Lodging & Casinos0.03% |
||||||||
Wembley, Inc. Class A (g) (h) |
41,966 | 246,550 | ||||||
Wembley, Inc. Class B (g) (h) |
5,500 | 22,000 | ||||||
268,550 | ||||||||
Oil & Gas0.23% |
||||||||
Vitruvian Exploration LLC (h) |
76,400 | 2,043,700 | ||||||
Shares | Value | |||||||
Publishing0.17% |
||||||||
Affiliated Media, Inc. (g) (h) |
87,369 | $ | 1,441,585 | |||||
Endurance Business Media, Inc. Class A (g) (h) |
4,753 | 47,531 | ||||||
SuperMedia, Inc. (g) (h) |
7,080 | 13,877 | ||||||
1,502,993 | ||||||||
Radio & Television0.00% |
||||||||
Cumulus Media, Inc. Wts., expiring 06/29/19 (g) |
1,568 | 2,932 | ||||||
20,574,099 | ||||||||
Preferred Stock0.01% |
||||||||
Financial Intermediaries0.01% |
||||||||
RTS Investor Corp. (g) |
649 | 45,423 | ||||||
Time Deposit1.48% |
||||||||
State Street Bank & Trust Co. ($12,970,068 par, 0.01% coupon,
dated 11/30/11, to be sold on 12/01/11 at $12,970,072) (Cost $12,970,068) |
12,970,068 | 12,970,068 | ||||||
TOTAL INVESTMENTS126.73% (Cost $1,280,762,368) |
1,108,060,432 | |||||||
OTHER ASSETS LESS LIABILITIES0.26% |
2,287,240 | |||||||
BORROWINGS(26.99)% |
(236,000,000 | ) | ||||||
NET ASSETS100.00% |
$ | 874,347,672 | ||||||
CDO
|
Collateralized Debt Obligation | |
CLO
|
Collateralized Loan Obligation | |
EUR
|
Euro | |
GBP
|
British Pound | |
LOC
|
Letter of Credit | |
PIK
|
Payment in Kind | |
Wts.
|
Warrants |
(a) | Senior secured corporate loans and senior secured debt securities are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended and may be subject to contractual and legal restrictions on sale. Senior secured corporate loans and senior secured debt securities in the Funds portfolio generally have variable rates which adjust to a base, such as the London Inter-Bank Offered Rate (LIBOR), on set dates, typically every 30 days but not greater than one year; and/or have interest rates that float at a margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. | |
(b) | Senior secured floating rate interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior secured floating rate interests will have an expected average life of three to five years. | |
(c) | All or a portion of this security is Payment-in-Kind. | |
(d) | All or a portion of this holding is subject to unfunded loan commitments. See Note 5. | |
(e) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at November 30, 2011 was $25,481,478, which represented 2.91% of the Funds Net Assets | |
(f) | The borrower has filed for protection in federal bankruptcy court. | |
(g) | Non-income producing securities acquired through the restructuring of senior loans. | |
(h) | 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 November 30, 2011 was $41,591,968, which represented 4.76% of the Funds Net Assets. | |
(i) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on November 30, 2011. | |
(j) | Affiliated company during the period. The Investment Company Act of 1940 defines affiliates as those companies in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The aggregate value of these securities as of November 30, 2011 was $1,873,320, which represented 0.21% of the Funds Net Assets. See Note 4. | |
(k) | This floating rate interest will settle after November 30, 2011, at which time the interest rate will be determined. |
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. |
A. | Security Valuations(continued) |
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. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. 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. |
C. | Country Determination For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuers securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
D. | Securities Purchased on a When-Issued and Delayed Delivery Basis The Fund may purchase and sell interests in Corporate Loans and Corporate Debt Securities and other portfolio securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities prior to the settlement date. |
E. | Foreign Currency Translations Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on |
E. | Foreign Currency Translations(continued) | |
securities transactions, and (3) the difference between the amounts of dividends, interest, and
foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized
foreign currency gains and losses arise from changes in the fair values of assets and
liabilities, other than investments in securities at fiscal period end, resulting from changes
in exchange rates. The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. |
||
F. | Foreign Currency Contracts The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to lock in the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
G. | Swap Agreements The Fund may enter into various swap
transactions, including interest rate, total return, index,
currency exchange rate and credit default swap contracts (CDS)
for investment purposes or to manage interest rate, currency or
credit risk. Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or swapped between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a basket of securities representing a particular index. A CDS is an agreement between two parties (Counterparties) to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the par value, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer par value or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. 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 |
G. | Swap Agreements(continued) | |
Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. The Funds maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Funds exposure to the counterparty. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | ||
H. | Industry Concentration To the extent that the Fund is concentrated in securities of issuers in the banking and financial services industries, the Funds performance will depend to a greater extent on the overall condition of those industries. The value of these securities can be sensitive to changes in government regulation, interest rates and economic downturns in the U.S. and abroad. | |
I. | Leverage Risk The Fund may utilize leverage to seek to enhance the yield of the Fund by borrowing or issuing preferred shares. There are 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. | |
J. | Bank Loan Risk Disclosures Although the resale, or secondary market for floating rate loans has grown substantially over the past decade, both in overall size and number of market participants, there is no organized exchange or broad of trade on which floating rate loans are traded. Instead, the secondary market for floating rate loans is a private, unregulated interdealer or interbank resale market. Such a market may therefore be subject to irregular trading activity, wide bid/ask spreads, and extended trade settlement periods. Similar to other asset classes, bank loan funds may be exposed to counterparty credit risk, or the risk than an entity with which the 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. | |
L. | Other Risks The Fund may invest all or substantially of its assets in senior secured
floating rate loans, senior secured debt securities or other securities rated below investment
grade. These securities are generally considered to have speculative characteristics and are
subject to greater risk of loss of principal and interest than higher rated securities. The
value of lower quality debt securities and floating rate loans can be more volatile due to
increased sensitivity to adverse issuer, political, regulatory, market or economic
developments. The Fund invests in Corporate Loans from U.S. or non-U.S. companies (the Borrowers). The investment of the Fund in a Corporate Loan may take the form of participation interests or assignments. If the Fund purchases a participation interest from a syndicate of lenders (Lenders) or one of the participants in the syndicate (Participant), one or more of which administers the loan on behalf of all the Lenders (the Agent Bank), the Fund would be required to rely on the Lender that sold the participation interest not only for the enforcement of the Funds rights against the Borrower but also for the receipt and processing of payments due to the Fund under the Corporate Loans. As such, the Fund is subject to the credit risk of the Borrower and the Participant. Lenders and Participants interposed between the Fund and a Borrower, together with Agent Banks, are referred to as Intermediate Participants. |
Level 1 | Prices are determined using quoted prices in an active market for identical assets. | ||
Level 2 | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | ||
Level 3 | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Funds own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Variable Rate Senior Loan Interests |
$ | | $ | 859,121,660 | $ | 3,940,801 | $ | 863,062,461 | ||||||||
Notes |
| 179,421,954 | 1,694,196 | 181,116,150 | ||||||||||||
Structured Products |
| 30,292,231 | | 30,292,231 | ||||||||||||
Equity Securities |
5,569,812 | 13,331,696 | 1,718,014 | 20,619,522 | ||||||||||||
Time Deposits |
| 12,970,068 | | 12,970,068 | ||||||||||||
$ | 5,569,812 | $ | 1,095,137,609 | $ | 7,353,011 | $ | 1,108,060,432 | |||||||||
Foreign Currency Contracts* |
| 3,219,255 | | 3,219,255 | ||||||||||||
Swap Agreements* |
| (701,949 | ) | | (701,949 | ) | ||||||||||
Unfunded Commitments* |
| (2,428,117 | ) | | (2,428,117 | ) | ||||||||||
Total Investments |
$ | 5,569,812 | $ | 1,095,226,798 | $ | 7,353,011 | $ | 1,108,149,621 | ||||||||
* | Unrealized appreciation (depreciation). |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Credit risk |
$ | 572,297 | $ | (1,274,246 | ) | |||
Currency risk |
3,219,255 | | ||||||
Foreign | ||||||||
Swap | Currency | |||||||
Agreements * | Contracts * | |||||||
Realized Gain (Loss) |
||||||||
Credit risk |
$ | (7,994,229 | ) | $ | | |||
Currency risk |
| 876,288 | ||||||
Change in Unrealized Appreciation (Depreciation) |
||||||||
Credit risk |
(1,282,291 | ) | | |||||
Currency risk |
| 4,087,684 | ||||||
Total |
$ | (9,276,520 | ) | $ | 4,663,972 | |||
* | The average notional value of swap agreements and foreign currency contracts outstanding during the period was $152,609,442 and $298,657,102, respectively. |
Open Foreign Currency Contracts | ||||||||||||||||||||||||||||
Contract to | Notional | Unrealized | ||||||||||||||||||||||||||
Settlement Date | Counterparty | Deliver | Receive | Value | Appreciation | |||||||||||||||||||||||
12/12/11 |
State Street Bank | EUR | 60,000,000 | USD | 81,868,800 | $ | 80,630,032 | $ | 1,238,768 | |||||||||||||||||||
12/12/11 |
Mellon Bank | EUR | 69,710,435 | USD | 95,083,988 | 93,679,244 | 1,404,744 | |||||||||||||||||||||
12/12/11 |
State Street Bank | GBP | 25,007,142 | USD | 39,805,868 | 39,230,125 | 575,743 | |||||||||||||||||||||
$ | 3,219,255 | |||||||||||||||||||||||||||
EUR Euro | ||
GBP British Pound Sterling | ||
USD U.S. Dollar |
Open Credit Default Swap Agreements | ||||||||||||||||||||||||||||||||
Implied | Notional | Unrealized | ||||||||||||||||||||||||||||||
Buy/Sell | Pay/Receive | Expiration | Credit | Amount | Upfront | Appreciation | ||||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Fixed Rate | Date | Spread(a) | (000) | Payments | (Depreciation) | ||||||||||||||||||||||||
Goldman Sachs International |
CDX.NA.HY.9 | Sell | 3.750 | % | 12/20/12 | 5.85 | % | $ | 34,400 | $ | 1,431,000 | $ | (731,058 | ) | ||||||||||||||||||
Goldman Sachs
International |
CDX.NA.HY.10 | Sell | 5.000 | % | 06/20/13 | 6.33 | 17,400 | 1,128,250 | (336,554 | ) | ||||||||||||||||||||||
Goldman Sachs
International |
Gala Group Finance | Sell | 4.150 | % | 03/20/13 | 4.04 | 6,718 | | 8,957 | |||||||||||||||||||||||
Goldman Sachs
International |
LCDX.NA.10 | Sell | 3.250 | % | 06/20/13 | 3.25 | 43,800 | 5,221,000 | 494,940 | |||||||||||||||||||||||
Goldman Sachs
International |
LCDX9 | Sell | 2.250 | % | 12/20/12 | 2.25 | 36,000 | 2,955,000 | 68,400 | |||||||||||||||||||||||
Goldman Sachs
International |
Peermont Global | Sell | 3.500 | % | 09/20/12 | 5.50 | 6,718 | | (105,183 | ) | ||||||||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Co. LLC | Sell | 5.000 | % | 03/20/12 | 11.97 | 5,000 | 112,500 | (101,451 | ) | ||||||||||||||||||||||
Total Credit Default Swaps | $ | 150,036 | $ | 10,847,750 | $ | (701,949 | ) | |||||||||||||||||||||||||
(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. |
Change in | ||||||||||||||||||||||||||||
Unrealized | Realized | Dividend/ | ||||||||||||||||||||||||||
Value | Purchases at | Proceeds from | Appreciation | Gain | Value | Interest | ||||||||||||||||||||||
02/28/11 | Cost | Sales | (Depreciation) | (Loss) | 11/30/11 | Income | ||||||||||||||||||||||
Targus
International Inc.
Note |
$ | 1,538,235 | $ | | $ | | $ | 155,960 | $ | | $ | 1,694,195 | $ | 129,418 | ||||||||||||||
Targus
International Inc.
Common Stock |
179,125 | | | | | 179,125 | | |||||||||||||||||||||
Total |
$ | 1,717,360 | $ | | $ | | $ | 155,960 | | $ | 1,873,320 | $ | 129,418 | |||||||||||||||
Unrealized | ||||||||||||
Unfunded | Appreciation | |||||||||||
Description | Type | commitment | (Depreciation) | |||||||||
Axia Acquisition Corp. |
Revolver | $ | 348,226 | $ | (43,528 | ) | ||||||
Bright Horizons Family Solutions, Inc. |
Revolver | 2,752,000 | (127,335 | ) | ||||||||
Delta Air Lines, Inc. |
Revolver | 2,000,000 | (128,000 | ) | ||||||||
General Motors Holdings |
Revolver | 6,451,767 | (838,730 | ) | ||||||||
Graphic Packing International, Inc. |
Revolver | 5,000,000 | (200,000 | ) | ||||||||
Key Safety System, Inc. |
Revolver | 122,500 | (12,405 | ) | ||||||||
Lake at Las Vegas Joint Venture |
Exit Revolver | 95,277 | (952 | ) | ||||||||
Lake at Las Vegas Joint Venture |
Term Loan | 127,559 | 83 | |||||||||
Surgical Care Affiliates, Inc. |
Revolver | 6,250,000 | (937,500 | ) | ||||||||
Tyrol Acquisitions |
Revolver | 650,000 | (139,750 | ) | ||||||||
$ | 23,797,329 | $ | (2,428,117 | ) | ||||||||
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities |
$ | 14,936,392 | ||
Aggregate unrealized (depreciation) of investment securities |
(206,072,394 | ) | ||
Net unrealized appreciation (depreciation) of investment securities |
$ | (191,136,002 | ) | |
Cost of investments for tax purposes is $1,299,196,434. |
(a) | As of December 15, 2011, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of December 15, 2011, the Registrants disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. | ||
(b) | There have been no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940. |
By: | /s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer |
By: | /s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer |
By: | /s/ Sheri Morris | |||
Sheri Morris | ||||
Principal Financial Officer |