OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2013
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Estimated average burden hours per response: 5.6 |
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Invesco Van Kampen Dynamic Credit | |||
Opportunities Fund | |||
Quarterly Schedule of Portfolio Holdings | |||
May 31, 2012 |
invesco.com/us | VK-CE-DCO-QTR-1 05/12 | Invesco Advisers, Inc. |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Variable Rate Senior Loan Interests101.86%(a)(b) |
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Aerospace & Defense2.46% |
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ARINC Inc., Second Lien Term Loan |
6.24 | % | 10/25/15 | $ | 2,268 | $ | 2,232,428 | |||||||||
AVIO S.p.A. (Italy), |
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Extended Term Loan B2 |
3.12 | % | 06/14/17 | 892 | 877,923 | |||||||||||
Extended Term Loan C2 |
3.99 | % | 12/14/17 | 988 | 968,124 | |||||||||||
DAE Aviation Holdings, Inc., |
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Tranche B-1 Term Loan |
5.47 | % | 07/31/14 | 1,044 | 1,031,084 | |||||||||||
Tranche B-2 Term Loan |
5.47 | % | 07/31/14 | 995 | 982,986 | |||||||||||
DynCorp International LLC, Term Loan B |
6.25 | % | 07/07/16 | 3,025 | 3,021,694 | |||||||||||
IAP Worldwide Services, Inc., PIK First Lien Term Loan (c) |
9.25 | % | 12/28/12 | 5,511 | 4,894,480 | |||||||||||
PRV Aerospace LLC, Term Loan B |
6.50 | % | 05/10/18 | 2,259 | 2,259,138 | |||||||||||
Sequa Corp., Term Loan |
6.25 | % | 12/03/14 | 3,353 | 3,359,638 | |||||||||||
SI Organization, Inc., Term Loan B |
4.50 | % | 11/22/16 | 751 | 737,396 | |||||||||||
SRA International, Inc., Term Loan B |
6.50 | % | 07/20/18 | 783 | 766,670 | |||||||||||
Wyle Services Corp., Term Loan B |
5.00 | % | 03/27/17 | 1,312 | 1,302,048 | |||||||||||
22,433,609 | ||||||||||||||||
Air Transport0.55% |
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Delta Air Lines, Inc., |
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Revolver Loan (d) |
0.00 | % | 03/28/13 | 2,000 | 1,966,260 | |||||||||||
Term Loan B |
4.25 | % | 03/07/16 | 3,122 | 3,028,292 | |||||||||||
4,994,552 | ||||||||||||||||
Automotive3.53% |
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August LuxUK Holding Co., Term Loan |
6.25 | % | 04/27/18 | 744 | 747,362 | |||||||||||
August U.S. Holding Co., Inc., Term Loan B |
6.25 | % | 04/27/18 | 572 | 574,905 | |||||||||||
Federal-Mogul Corp., |
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Term Loan B |
2.18 | % | 12/29/14 | 816 | 770,572 | |||||||||||
Term Loan C |
2.18 | % | 12/28/15 | 1,083 | 1,022,716 | |||||||||||
General Motors Holdings, Revolver Loan (d) |
0.00 | % | 10/27/15 | 6,452 | 5,806,590 | |||||||||||
Hertz Corp., LOC |
3.75 | % | 03/09/18 | 849 | 818,884 | |||||||||||
KAR Auction Services, Inc., Term Loan B |
5.00 | % | 05/19/17 | 4,968 | 4,969,881 | |||||||||||
Key Safety Systems, Inc., First Lien Term Loan |
2.60 | % | 03/08/14 | 3,112 | 2,991,301 | |||||||||||
Metaldyne Co., LLC, Term Loan B |
5.25 | % | 05/18/17 | 756 | 755,815 | |||||||||||
Schaeffler AG (Germany), |
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Term Loan C2 |
6.00 | % | 01/27/17 | 1,026 | 1,025,019 | |||||||||||
Term Loan C2 |
6.50 | % | 01/27/17 | EUR | 4,350 | 5,385,404 | ||||||||||
TI Group Automotive Systems, LLC, Term Loan |
6.75 | % | 03/14/18 | 5,361 | 5,329,480 | |||||||||||
Veyance Technologies, Inc., |
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Delayed Draw Term Loan |
2.74 | % | 07/31/14 | 249 | 241,835 | |||||||||||
Revolver Loan (e) |
| 07/31/13 | 651 | 649,603 | ||||||||||||
Term Loan |
2.74 | % | 07/31/14 | 1,740 | 1,057,890 | |||||||||||
32,147,257 | ||||||||||||||||
Beverage and Tobacco0.25% |
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DS Waters Enterprises, L.P., First Lien Term Loan |
10.50 | % | 08/29/17 | 2,231 | 2,244,930 | |||||||||||
Building & Development3.88% |
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Axia Acquisition Corp., |
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PIK Second Lien Term Loan A (c) |
11.00 | % | 03/11/16 | 187 | 138,037 | |||||||||||
Revolver Loan (d) |
0.00 | % | 03/11/16 | 348 | 278,581 | |||||||||||
Second Lien Term Loan B |
5.00 | % | 03/12/16 | 324 | 239,668 | |||||||||||
Building Materials Holding Corp., PIK Second Lien Term Loan (c) |
8.00 | % | 01/05/15 | 924 | 806,355 | |||||||||||
Capital Automotive L.P., Term Loan B |
5.25 | % | 03/10/17 | 8,053 | 7,937,100 | |||||||||||
Champion OPCO, LLC, PIK Term Loan (c) |
10.50 | % | 12/31/13 | 791 | 631,072 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Building & Development(continued) |
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Custom Building Products, Inc., Term Loan B |
5.75 | % | 03/19/15 | $ | 582 | $ | 578,302 | |||||||||
El Ad IDB Las Vegas, LLC, Tranche A2 Term Loan (Acquired 08/30/07; Cost $2,000,000) |
4.24 | % | 08/09/12 | 2,000 | 400,000 | |||||||||||
HD Supply, Inc., Sr. Debt B |
7.25 | % | 10/12/17 | 5,037 | 5,082,619 | |||||||||||
Lake at Las Vegas Joint Venture, LLC, |
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PIK Exit Revolver Loan (Acquired 04/30/12; Cost $64,152) (c)(d) |
0.00 | % | 02/28/17 | 64 | 69,353 | |||||||||||
PIK Exit Revolver Loan (Acquired 07/15/10-04/30/12; Cost $571,473) (c) |
12.11 | % | 02/28/17 | 572 | 518,600 | |||||||||||
Term Loan (Acquired 04/30/12; Cost $38,339) (d) |
0.00 | % | 07/15/12 | 38 | 38,314 | |||||||||||
Term Loan (Acquired 12/05/11-04/30/12; Cost $85,752) |
10.49 | % | 07/15/12 | 89 | 89,328 | |||||||||||
Nortek, Inc., Term Loan |
5.25 | % | 04/26/17 | 943 | 940,873 | |||||||||||
Realogy Corp., |
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Extended Term Loan |
4.49 | % | 10/10/16 | 11,535 | 10,571,398 | |||||||||||
LOC |
3.24 | % | 10/10/13 | 823 | 779,398 | |||||||||||
Revolver Loan (d) |
0.00 | % | 04/10/16 | 3,544 | 3,018,439 | |||||||||||
Revolver Loan |
1.88 | % | 04/10/16 | 3,043 | 2,591,111 | |||||||||||
Rhodes Homes, PIK Term Loan (Acquired 07/09/07-09/30/11, Cost $1,500,690) (c) |
2.47 | % | 03/31/16 | 388 | 329,914 | |||||||||||
WCI Communities, Inc., PIK Term Loan |
11.00 | % | 09/02/16 | 322 | 311,303 | |||||||||||
35,349,765 | ||||||||||||||||
Business Equipment & Services7.36% |
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Affinion Group, Inc., Term Loan B |
5.00 | % | 10/10/16 | 2,071 | 1,925,041 | |||||||||||
Asurion LLC, |
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First Lien Term Loan |
5.50 | % | 05/24/18 | 5,927 | 5,850,605 | |||||||||||
Second Lien Term Loan |
9.00 | % | 05/24/19 | 4,665 | 4,706,881 | |||||||||||
Bright Horizons Family Solutions, Inc., |
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Revolver Loan (d) |
0.00 | % | 05/28/14 | 3,000 | 2,972,610 | |||||||||||
Term Loan B |
4.24 | % | 05/28/15 | 1,625 | 1,613,962 | |||||||||||
Brock Holdings III, Inc., Term Loan B |
6.01 | % | 03/16/17 | 2,387 | 2,386,736 | |||||||||||
Expert Global Solutions, Inc., Term Loan B |
8.00 | % | 04/03/18 | 3,904 | 3,889,451 | |||||||||||
First Data Corp., |
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Delayed Draw Term Loan |
2.99 | % | 09/24/14 | 2,115 | 1,998,912 | |||||||||||
Extended Term Loan B |
5.24 | % | 03/23/17 | 1,562 | 1,154,549 | |||||||||||
Extended Term Loan B |
4.24 | % | 03/26/18 | 22,394 | 20,326,087 | |||||||||||
Term Loan B3 |
2.99 | % | 09/24/14 | 249 | 236,040 | |||||||||||
Hillman Group, Inc., Term Loan B |
5.00 | % | 05/27/16 | 105 | 104,403 | |||||||||||
iPayment, Inc., Term Loan B |
5.75 | % | 05/08/17 | 1,635 | 1,637,775 | |||||||||||
Kronos, Inc., |
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Second Lien Tranche B1 |
10.58 | % | 06/11/18 | 4,155 | 4,215,133 | |||||||||||
Tranche C Term Loan |
6.25 | % | 12/28/17 | 1,647 | 1,649,825 | |||||||||||
Lonestar Intermediate Super Holdings, LLC, Term Loan B |
11.00 | % | 09/02/19 | 6,018 | 6,145,967 | |||||||||||
Mitchell International, Inc., Second Lien Term Loan |
5.75 | % | 03/30/15 | 3,654 | 3,598,727 | |||||||||||
SMG Holdings, Inc., Term Loan B |
3.35 | % | 07/27/14 | 2,147 | 2,125,463 | |||||||||||
SSI Investments II Ltd., Term Loan C |
6.50 | % | 05/26/17 | 212 | 213,424 | |||||||||||
Sungard Data Systems, Inc., Term Loan C |
3.99 | % | 02/28/17 | 295 | 292,359 | |||||||||||
67,043,950 | ||||||||||||||||
Cable & Satellite Television5.33% |
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Atlantic Broadband Finance, LLC, |
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First Lien Term Loan |
5.25 | % | 04/04/19 | 1,657 | 1,655,125 | |||||||||||
Second Lien Term Loan |
9.75 | % | 10/04/19 | 4,902 | 4,910,378 | |||||||||||
Cequel Communications, LLC, Term Loan B |
4.00 | % | 02/14/19 | 2,439 | 2,383,756 | |||||||||||
Charter Communications Operating, LLC, Extended Term Loan |
3.72 | % | 09/06/16 | 2 | 2,149 | |||||||||||
Completel Europe N.V. (Netherlands), PIK Term Loan B (Acquired 12/07/10-09/30/11; Cost $12,583,850) (c) |
3.89 | % | 08/28/15 | EUR | 10,018 | 11,891,375 | ||||||||||
Mediacom Illinois, LLC, Term Loan E |
4.50 | % | 10/23/17 | 484 | 482,414 | |||||||||||
Mediacom Iowa, LLC, Term Loan F |
4.50 | % | 10/23/17 | 882 | 879,109 | |||||||||||
Omega I S.à r.l. (Germany), Term Loan B |
4.90 | % | 03/31/17 | EUR | 12,526 | 12,506,665 | ||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Cable & Satellite Television(continued) |
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Yankee Cable Acquisition, LLC, Term Loan B1 |
6.50 | % | 08/26/16 | $ | 5,433 | $ | 5,419,470 | |||||||||
YPSO Holding SA (France), |
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PIK Extended Acquisition Term Loan C (c) |
4.64 | % | 12/29/17 | EUR | 255 | 263,739 | ||||||||||
PIK Extended Term Loan C (c) |
4.64 | % | 12/29/17 | EUR | 4,671 | 4,826,201 | ||||||||||
PIK Facility Acquisition Term Loan C (c) |
4.64 | % | 12/31/15 | EUR | 1,929 | 2,041,574 | ||||||||||
PIK Facility Recap Term Loan C (c) |
4.64 | % | 12/31/15 | EUR | 1,180 | 1,248,790 | ||||||||||
48,510,745 | ||||||||||||||||
Chemicals & Plastics4.36% |
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Ascend Performance Materials LLC, Term Loan B |
6.75 | % | 04/10/18 | 5,033 | 4,917,919 | |||||||||||
Aster Zweite Beteiligungs GmbH (Germany), |
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Extended Term Loan B5 |
5.72 | % | 12/31/14 | 3,936 | 3,556,973 | |||||||||||
Extended Term Loan C5 |
5.72 | % | 12/31/14 | 937 | 846,368 | |||||||||||
Emerald Performance Materials, LLC, Term Loan B |
7.75 | % | 05/15/18 | 1,638 | 1,630,132 | |||||||||||
Houghton International, Inc., Term Loan B |
6.75 | % | 01/29/16 | 2,930 | 2,946,913 | |||||||||||
Ineos Finance PLC, Term Loan |
6.75 | % | 05/04/18 | EUR | 1,877 | 2,274,325 | ||||||||||
Ineos Holdings Ltd., Term Loan |
6.50 | % | 05/04/18 | 10,512 | 10,335,771 | |||||||||||
Hexion Specialty Chemicals, Inc., |
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Extended Term Loan C4 |
4.25 | % | 05/05/15 | 1,372 | 1,309,996 | |||||||||||
Extended Term Loan C5 |
4.25 | % | 05/05/15 | 4,777 | 4,549,993 | |||||||||||
OM Group, Inc., Term Loan B |
5.75 | % | 08/02/17 | 1,206 | 1,204,692 | |||||||||||
OMNOVA Solutions, Inc., Term Loan B |
5.75 | % | 05/31/17 | 248 | 248,316 | |||||||||||
Phillips Plastics Corp., Term Loan |
6.50 | % | 02/12/17 | 719 | 715,897 | |||||||||||
PolyOne Corp., Term Loan |
5.00 | % | 12/20/17 | 1,141 | 1,143,215 | |||||||||||
Potters Holdings II, L.P., First Lien Term Loan |
6.00 | % | 05/05/17 | 466 | 464,147 | |||||||||||
PQ Corp., Term Loan B |
3.99 | % | 07/30/14 | 2,131 | 2,052,727 | |||||||||||
Taminco Global Chemical Corp., |
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Term Loan B1 |
4.25 | % | 02/15/19 | EUR | 320 | 398,417 | ||||||||||
Term Loan B1 |
5.25 | % | 02/15/19 | 1,074 | 1,073,588 | |||||||||||
39,669,389 | ||||||||||||||||
Clothing & Textiles0.59% |
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Levi Strauss & Co., Term Loan |
2.49 | % | 03/27/14 | 5,492 | 5,389,102 | |||||||||||
Conglomerates0.49% |
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Goodman Global Holdings, Inc., |
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First Lien Term Loan |
5.75 | % | 10/28/16 | 4,220 | 4,220,956 | |||||||||||
Second Lien Term Loan |
9.00 | % | 10/30/17 | 213 | 216,273 | |||||||||||
4,437,229 | ||||||||||||||||
Containers & Glass Products3.85% |
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Anchor Glass Container Corp., |
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First Lien Term Loan |
6.00 | % | 03/02/16 | 2,398 | 2,403,977 | |||||||||||
Second Lien Term Loan |
10.00 | % | 09/02/16 | 1,350 | 1,349,190 | |||||||||||
Berlin Packaging, LLC, |
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Second Lien Term Loan |
8.75 | % | 08/17/15 | 3,000 | 2,887,500 | |||||||||||
Term Loan |
3.24 | % | 08/17/14 | 7,564 | 7,374,847 | |||||||||||
Exopack, LLC, Term Loan |
6.50 | % | 05/31/17 | 3,410 | 3,386,973 | |||||||||||
Hoffmaster Group, Inc., First Lien Term Loan |
6.50 | % | 01/03/18 | 1,878 | 1,870,647 | |||||||||||
Ranpak Corp., Term Loan |
4.75 | % | 04/20/17 | 408 | 406,707 | |||||||||||
Reynolds Group Holdings Inc., Term Loan C |
6.50 | % | 08/09/18 | 12,570 | 12,652,886 | |||||||||||
TricorBraun, Inc., Term Loan B |
5.50 | % | 05/03/18 | 2,718 | 2,720,908 | |||||||||||
35,053,635 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Cosmetics & Toiletries2.15% |
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Bausch & Lomb, Inc., Term Loan B |
5.25 | % | 05/17/19 | $ | 7,884 | $ | 7,770,869 | |||||||||
Huish Detergents, Inc., |
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Incremental Term Loan B |
2.24 | % | 04/25/14 | 1,904 | 1,818,466 | |||||||||||
Second Lien Term Loan |
4.49 | % | 10/26/14 | 1,250 | 1,138,281 | |||||||||||
KIK Custom Products, Inc., |
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Canadian Term Loan |
2.49 | % | 06/02/14 | 194 | 177,736 | |||||||||||
First Lien Term Loan |
2.49 | % | 06/02/14 | 1,133 | 1,036,793 | |||||||||||
Second Lien Term Loan |
5.24 | % | 11/28/14 | 7,000 | 4,687,095 | |||||||||||
Marietta Intermediate Holding Corp., PIK Term Loan B (c) |
7.00 | % | 02/19/15 | 1,194 | 1,086,178 | |||||||||||
Prestige Brands, Inc., Term Loan |
5.26 | % | 01/31/19 | 541 | 543,223 | |||||||||||
Revlon Consumer Products Corp., Term Loan B |
4.75 | % | 11/19/17 | 1,293 | 1,288,822 | |||||||||||
19,547,463 | ||||||||||||||||
Drugs1.43% |
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Catalent Pharma Solutions, Incremental Term Loan |
5.25 | % | 09/15/17 | 2,855 | 2,833,163 | |||||||||||
Grifols Inc., Term Loan B |
4.50 | % | 06/01/17 | 4,457 | 4,411,062 | |||||||||||
Harlan Sprague Dawley, Inc., Term Loan B |
3.85 | % | 07/11/14 | 3,070 | 2,947,551 | |||||||||||
Medpace, Inc., Term Loan |
6.50 | % | 06/16/17 | 1,900 | 1,833,971 | |||||||||||
Quintiles Transnational Corp., Term Loan |
7.50 | % | 02/24/17 | 1,008 | 1,010,402 | |||||||||||
13,036,149 | ||||||||||||||||
Ecological Services & Equipment1.29% |
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Safety Kleen (SK Holdings), Term Loan B |
5.00 | % | 02/17/17 | 304 | 303,124 | |||||||||||
ServiceMaster Co., |
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Delayed Draw Term Loan |
2.74 | % | 07/24/14 | 1,261 | 1,232,495 | |||||||||||
LOC |
0.33 | % | 07/24/14 | 2,802 | 2,675,853 | |||||||||||
Term Loan |
2.79 | % | 07/24/14 | 1,708 | 1,669,183 | |||||||||||
Synagro Technologies, Inc., Second Lien Term Loan |
4.99 | % | 10/02/14 | 6,850 | 5,114,655 | |||||||||||
WCA Waste Systems, Inc., Term Loan B |
5.50 | % | 03/23/18 | 781 | 780,330 | |||||||||||
11,775,640 | ||||||||||||||||
Electronics & Electrical4.24% |
||||||||||||||||
Blackboard, Inc., |
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First Lien Term Loan |
7.50 | % | 10/04/18 | 3,976 | 3,809,239 | |||||||||||
Incremental Term Loan |
7.50 | % | 10/04/18 | 662 | 622,313 | |||||||||||
Second Lien Term Loan |
11.50 | % | 04/04/19 | 2,907 | 2,693,006 | |||||||||||
DEI Sales, Inc., Term Loan B |
7.01 | % | 07/13/17 | 1,307 | 1,287,009 | |||||||||||
DG FastChannel, Inc., Term Loan B |
5.75 | % | 07/26/18 | 3,296 | 3,280,888 | |||||||||||
Eastman Kodak Co., DIP Term Loan B |
8.50 | % | 07/20/13 | 1,043 | 1,046,163 | |||||||||||
Freescale Semiconductor, Inc., |
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Extended Term Loan B |
4.49 | % | 12/01/16 | 5,500 | 5,176,875 | |||||||||||
Incremental Term Loan |
6.00 | % | 02/27/19 | 1,534 | 1,498,551 | |||||||||||
Go Daddy Operating Company, LLC, Term Loan |
5.50 | % | 12/17/18 | 775 | 763,866 | |||||||||||
Lawson Software Inc., Term Loan B |
6.25 | % | 04/05/18 | 2,418 | 2,420,976 | |||||||||||
Mirion Technologies, Inc., First Lien Term Loan |
6.25 | % | 03/30/18 | 2,354 | 2,348,332 | |||||||||||
Open Solutions, Inc., Term Loan B |
2.60 | % | 01/23/14 | 5,670 | 5,380,389 | |||||||||||
ProQuest LLC, Term Loan B |
6.00 | % | 04/13/18 | 2,447 | 2,428,245 | |||||||||||
Sophia, L.P., Term Loan B |
6.25 | % | 07/19/18 | 4,002 | 4,023,255 | |||||||||||
Spectrum Brands, Inc., Term Loan B |
5.00 | % | 06/17/16 | 1,834 | 1,838,002 | |||||||||||
38,617,109 | ||||||||||||||||
Equipment Leasing0.37% |
||||||||||||||||
Delos Aircraft Inc., Term Loan 2 |
4.75 | % | 04/12/16 | 534 | 534,945 | |||||||||||
Flying Fortress Inc., First Lien Term Loan |
5.00 | % | 06/30/17 | 2,884 | 2,882,336 | |||||||||||
3,417,281 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Farming & Agriculture0.22% |
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Wm. Bolthouse Farms, Inc., |
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First Lien Term Loan |
5.51 | % | 02/11/16 | $ | 887 | $ | 891,140 | |||||||||
Second Lien Term Loan |
9.50 | % | 08/11/16 | 1,091 | 1,097,182 | |||||||||||
1,988,322 | ||||||||||||||||
Financial Intermediaries1.89% |
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Nuveen Investments, Inc., |
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Extended Term Loan |
5.97 | % | 05/12/17 | 8,240 | 8,153,370 | |||||||||||
First Lien Term Loan |
5.97 | % | 05/13/17 | 2,217 | 2,186,392 | |||||||||||
RJO Holdings Corp., |
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FCM Term Loan |
6.24 | % | 12/10/15 | 74 | 56,967 | |||||||||||
HoldCo Term Loan B |
6.99 | % | 12/10/15 | 3,463 | 2,626,258 | |||||||||||
Transfirst Holdings, Inc., |
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PIK Second Lien Term Loan (c) |
6.24 | % | 06/15/15 | 1,532 | 1,435,648 | |||||||||||
Term Loan B |
2.99 | % | 06/15/14 | 2,846 | 2,769,748 | |||||||||||
17,228,383 | ||||||||||||||||
Food & Drug Retailers2.87% |
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Alliance Boots Holdings Ltd. (United Kingdom), |
||||||||||||||||
Second Lien Term Loan |
4.83 | % | 07/05/16 | GBP | 6,400 | 8,993,606 | ||||||||||
Second Lien Term Loan |
4.57 | % | 07/11/16 | EUR | 2,224 | 2,515,760 | ||||||||||
Rite Aid Corp., |
||||||||||||||||
Term Loan 5 |
4.50 | % | 03/02/18 | 5,035 | 4,959,482 | |||||||||||
Term Loan B |
1.99 | % | 06/04/14 | 4,012 | 3,932,061 | |||||||||||
Roundys Supermarkets, Inc., Term Loan B |
5.75 | % | 02/13/19 | 3,487 | 3,477,241 | |||||||||||
Sprouts Farmers Markets Holdings, LLC, Incremental Term Loan |
6.00 | % | 04/20/18 | 994 | 985,222 | |||||||||||
Supervalu Inc., Term Loan B3 |
4.50 | % | 04/28/18 | 1,270 | 1,253,063 | |||||||||||
26,116,435 | ||||||||||||||||
Food Products1.91% |
||||||||||||||||
Advantage Sales & Marketing, Inc., Second Lien Term Loan |
9.25 | % | 06/18/18 | 514 | 514,351 | |||||||||||
Farleys & Sathers Candy Co., Inc., Term Loan |
7.38 | % | 03/30/18 | 2,323 | 2,296,639 | |||||||||||
Foodvest Ltd. (United Kingdom), |
||||||||||||||||
Term Loan B1 |
5.24 | % | 09/23/15 | EUR | 465 | 513,487 | ||||||||||
Term Loan C2 |
6.08 | % | 09/23/16 | EUR | 2,811 | 3,122,166 | ||||||||||
Pierre Foods, Inc., |
||||||||||||||||
First Lien Term Loan |
7.00 | % | 09/30/16 | 6,290 | 6,317,228 | |||||||||||
Second Lien Term Loan |
11.25 | % | 09/29/17 | 930 | 938,662 | |||||||||||
Pinnacle Foods Finance LLC, Term Loan E |
4.75 | % | 10/17/18 | 3,744 | 3,726,610 | |||||||||||
17,429,143 | ||||||||||||||||
Food Service1.24% |
||||||||||||||||
Focus Brands, Inc., Term Loan B |
6.26 | % | 02/21/18 | 1,071 | 1,072,487 | |||||||||||
Landrys, Inc., Term Loan B |
6.50 | % | 04/24/18 | 3,313 | 3,302,294 | |||||||||||
OSI Restaurant Partners, LLC, |
||||||||||||||||
Revolver Loan |
2.60 | % | 06/14/13 | 1,459 | 1,431,815 | |||||||||||
Term Loan B |
2.56 | % | 06/14/14 | 1,684 | 1,651,877 | |||||||||||
Restaurant Holding Co., LLC, Term Loan B |
9.00 | % | 02/17/17 | 577 | 578,965 | |||||||||||
Wendys International, Inc., |
||||||||||||||||
Delayed Draw Term Loan (d) |
0.00 | % | 05/15/19 | 1,470 | 1,456,775 | |||||||||||
Term Loan B |
4.75 | % | 05/15/19 | 1,843 | 1,825,525 | |||||||||||
11,319,738 | ||||||||||||||||
Forest Products0.85% |
||||||||||||||||
Ainsworth Lumber Co, Ltd. (Canada), Term Loan |
5.25 | % | 06/26/14 | 3,200 | 3,060,000 | |||||||||||
Cenveo Corp., Term Loan B |
6.25 | % | 12/21/16 | 3,799 | 3,787,704 | |||||||||||
Verso Paper Holdings LLC, PIK Term Loan (c) |
6.88 | % | 02/01/13 | 482 | 441,935 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Forest Products(continued) |
||||||||||||||||
Xerium Technologies, Inc., Term Loan B |
5.50 | % | 05/22/17 | $ | 503 | $ | 488,882 | |||||||||
7,778,521 | ||||||||||||||||
Healthcare5.84% |
||||||||||||||||
AMN Healthcare, Inc., Term Loan B |
6.50 | % | 04/05/18 | 1,546 | 1,555,759 | |||||||||||
CareStream Health, Inc., Term Loan B |
5.00 | % | 02/25/17 | 3,904 | 3,777,902 | |||||||||||
Community Health Systems, Inc., Extended Term Loan B |
3.97 | % | 01/25/17 | 833 | 816,307 | |||||||||||
DJO Finance LLC, |
||||||||||||||||
Extended Term Loan B2 |
5.24 | % | 11/01/16 | 1,202 | 1,195,278 | |||||||||||
Term Loan B3 |
6.25 | % | 09/15/17 | 4,770 | 4,734,893 | |||||||||||
Drumm Investors, LLC, Term Loan |
5.00 | % | 05/04/18 | 3,718 | 3,469,441 | |||||||||||
Genoa Healthcare Group, LLC, PIK Second Lien Term Loan (c) |
14.00 | % | 02/10/15 | 988 | 715,498 | |||||||||||
HCA, Inc., |
||||||||||||||||
Extended Term Loan B2 |
3.72 | % | 03/31/17 | 1,231 | 1,198,954 | |||||||||||
Extended Term Loan B3 |
3.49 | % | 05/01/18 | 3,159 | 3,070,587 | |||||||||||
HCR Healthcare, LLC, Term Loan |
5.00 | % | 04/06/18 | 535 | 528,410 | |||||||||||
Health Management Associates, Inc., Term Loan B |
4.50 | % | 11/16/18 | 1,718 | 1,695,981 | |||||||||||
Kindred Healthcare, Inc., Term Loan |
5.25 | % | 06/01/18 | 4,025 | 3,849,038 | |||||||||||
Kinetic Concepts, Inc., |
||||||||||||||||
Term Loan |
7.00 | % | 05/04/18 | EUR | 4,988 | 6,232,833 | ||||||||||
Term Loan B |
7.00 | % | 05/04/18 | 6,015 | 6,075,044 | |||||||||||
Sun Healthcare Group Inc., Term Loan B |
8.75 | % | 10/15/16 | 998 | 974,322 | |||||||||||
Surgery Center Holdings, Inc., Term Loan B |
6.50 | % | 02/06/17 | 1,156 | 1,103,902 | |||||||||||
Surgical Care Affiliates, Inc., |
||||||||||||||||
Extended Revolver Loan (d) |
0.00 | % | 06/30/16 | 6,250 | 5,940,000 | |||||||||||
Extended Term Loan |
4.47 | % | 12/29/17 | 4,514 | 4,431,457 | |||||||||||
Vitalia Holdco S.a.r.l. (Switzerland), Second Lien Term Loan |
9.39 | % | 01/28/19 | EUR | 1,500 | 1,766,506 | ||||||||||
53,132,112 | ||||||||||||||||
Home Furnishings1.68% |
||||||||||||||||
Hunter Fan Co., |
||||||||||||||||
Second Lien Term Loan |
6.99 | % | 10/16/14 | 6,789 | 5,660,724 | |||||||||||
Term Loan |
2.74 | % | 04/16/14 | 1,417 | 1,330,773 | |||||||||||
National Bedding Co., LLC, Second Lien Term Loan |
5.25 | % | 02/28/14 | 3,458 | 3,443,644 | |||||||||||
Springs Windows Fashions, LLC, Term Loan B |
6.00 | % | 05/31/17 | 939 | 930,336 | |||||||||||
Yankee Candle Co., Inc. (The), Term Loan B |
5.25 | % | 04/02/19 | 3,943 | 3,929,731 | |||||||||||
15,295,208 | ||||||||||||||||
Industrial Equipment2.11% |
||||||||||||||||
Generac Power Systems, Inc., Term Loan B |
6.25 | % | 05/30/18 | 1,802 | 1,787,513 | |||||||||||
Grede LLC, Term Loan B |
7.00 | % | 04/03/17 | 2,789 | 2,766,075 | |||||||||||
Hupah Finance Inc., Term Loan B |
6.25 | % | 01/21/19 | 2,169 | 2,182,074 | |||||||||||
Husky Injection Molding Systems Ltd., Term Loan B |
6.50 | % | 06/29/18 | 1,368 | 1,363,789 | |||||||||||
Mold-Masters (2007) Ltd. (Canada), Extended Term Loan B |
5.00 | % | 10/11/16 | 3,418 | 3,387,976 | |||||||||||
Rexnord LLC, Term Loan B |
5.00 | % | 04/01/18 | 1,603 | 3,221,284 | |||||||||||
Unifrax Corp., |
||||||||||||||||
Term Loan |
6.50 | % | 11/28/18 | 2,186 | 2,207,607 | |||||||||||
Term Loan |
7.50 | % | 11/28/18 | EUR | 1,878 | 2,321,522 | ||||||||||
19,237,840 | ||||||||||||||||
Insurance0.80% |
||||||||||||||||
Alliant Holdings I, Inc., Term Loan D |
6.75 | % | 08/21/14 | 1,003 | 1,012,554 | |||||||||||
HMSC Corp., Second Lien Term Loan |
5.74 | % | 10/03/14 | 1,750 | 1,093,750 | |||||||||||
Sedgwick CMS Holdings, Inc., |
||||||||||||||||
Second Lien Term Loan |
9.00 | % | 05/26/17 | 1,600 | 1,594,672 | |||||||||||
Term Loan |
5.00 | % | 12/31/16 | 1,638 | 1,632,287 | |||||||||||
USI Holdings Corp., Incremental Term Loan |
7.00 | % | 05/05/14 | 1,950 | 1,953,666 | |||||||||||
7,286,929 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Leisure Goods, Activities & Movies1.90% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc., Term Loan |
7.50 | % | 04/22/16 | $ | 3,781 | $ | 3,772,966 | |||||||||
Alpha D2 Ltd. (United Kingdom), Term Loan B |
5.75 | % | 04/28/17 | 4,548 | 4,550,881 | |||||||||||
Fender Musical Instruments Corp., |
||||||||||||||||
Delayed Draw Term Loan |
2.49 | % | 06/09/14 | 65 | 63,642 | |||||||||||
Term Loan B |
2.49 | % | 06/09/14 | 129 | 125,958 | |||||||||||
IMG Worldwide, Inc., Term Loan B |
5.50 | % | 06/16/16 | 552 | 550,970 | |||||||||||
Sabre Holdings Corp., Extended Term Loan |
5.99 | % | 12/29/17 | 6,430 | 6,080,496 | |||||||||||
Vue Entertainment Investment Ltd. (United Kingdom), Term Loan B |
6.00 | % | 12/21/17 | GBP | 1,375 | 2,114,770 | ||||||||||
17,259,683 | ||||||||||||||||
Lodging & Casinos7.77% |
||||||||||||||||
Boyd Gaming Corp., |
||||||||||||||||
Extended Revolver Loan (e) |
| 12/17/15 | 2,080 | 2,254,684 | ||||||||||||
Revolver Loan |
6.00 | % | 12/17/15 | 336 | 338,591 | |||||||||||
Caesars Entertainment Operating Co., |
||||||||||||||||
Extended Term Loan B6 |
5.49 | % | 01/28/18 | 29,621 | 26,214,467 | |||||||||||
Incremental Term Loan B4 |
9.50 | % | 10/31/16 | 489 | 495,297 | |||||||||||
Cannery Casino Resorts, LLC, |
||||||||||||||||
Delayed Draw Term Loan |
4.49 | % | 05/17/13 | 2,505 | 2,472,268 | |||||||||||
Second Lien Term Loan |
4.49 | % | 05/18/14 | 2,500 | 2,350,000 | |||||||||||
Term Loan B |
4.49 | % | 05/17/13 | 3,913 | 3,861,749 | |||||||||||
Full Moon Holdco 3 Ltd. (United Kingdom), |
||||||||||||||||
Term Loan G (Acquired 04/23/12; Cost $21,610) (d) |
0.00 | % | 09/28/12 | GBP | 13 | 20,237 | ||||||||||
Term Loan G (Acquired 03/09/12-04/23/12; Cost $7,334,012) |
9.98 | % | 09/28/12 | GBP | 4,676 | 7,062,637 | ||||||||||
Tranche B Term Loan |
4.92 | % | 09/05/14 | GBP | 5,110 | 6,195,406 | ||||||||||
Tranche C Term Loan |
5.35 | % | 09/04/15 | GBP | 5,110 | 6,234,784 | ||||||||||
Golden Nugget, Inc., |
||||||||||||||||
PIK Delayed Draw Term Loan (c) |
3.24 | % | 06/30/14 | 230 | 220,859 | |||||||||||
PIK Term Loan B (c) |
3.24 | % | 06/30/14 | 400 | 383,477 | |||||||||||
Regency Entertainment S.A. (Greece), Term Loan (Acquired 12/22/11; Cost $5,537,250) |
4.64 | % | 12/22/16 | EUR | 19,093 | 5,311,530 | ||||||||||
Tropicana Entertainment Inc., Term Loan B |
7.50 | % | 03/16/18 | 2,231 | 2,214,254 | |||||||||||
Twin River Worldwide Holdings, Inc., Term Loan |
8.50 | % | 11/05/15 | 5,067 | 5,089,442 | |||||||||||
70,719,682 | ||||||||||||||||
Nonferrous Metals & Minerals0.63% |
||||||||||||||||
Arch Coal Inc., Term Loan B |
5.75 | % | 05/16/18 | 3,794 | 3,698,746 | |||||||||||
Noranda Aluminum Acquisition Corp., Term Loan B |
5.75 | % | 02/28/19 | 2,053 | 2,062,109 | |||||||||||
5,760,855 | ||||||||||||||||
Oil & Gas4.33% |
||||||||||||||||
Abbot Group Ltd. (United Kingdom), |
||||||||||||||||
Term Loan B1 |
5.79 | % | 03/15/16 | 161 | 133,520 | |||||||||||
Term Loan B2 |
5.79 | % | 03/18/16 | 3,535 | 2,924,859 | |||||||||||
Term Loan C1 |
6.04 | % | 03/15/17 | 57 | 47,810 | |||||||||||
Term Loan C2 |
6.04 | % | 03/20/17 | 2,850 | 2,372,935 | |||||||||||
Term Loan C3 |
6.04 | % | 03/20/17 | 988 | 822,613 | |||||||||||
Buffalo Gulf Coast Terminals LLC, Term Loan B |
7.50 | % | 10/31/17 | 5,243 | 5,262,223 | |||||||||||
CCS Corp., (Canada), Term Loan B |
3.24 | % | 11/14/14 | 5,993 | 5,777,146 | |||||||||||
Chesapeake Energy Corp., Term Loan |
8.50 | % | 12/02/17 | 3,265 | 3,211,645 | |||||||||||
Citgo Petroleum Corp., Term Loan B |
8.00 | % | 06/24/15 | 656 | 661,886 | |||||||||||
Crestwood Holdings LLC, Term Loan B |
9.75 | % | 03/26/18 | 2,892 | 2,917,305 | |||||||||||
Delek Benelux B.V. (Netherlands), |
||||||||||||||||
Term Loan B1A |
2.89 | % | 08/10/15 | EUR | 721 | 814,503 | ||||||||||
Term Loan B1B |
2.89 | % | 08/10/15 | EUR | 161 | 181,527 | ||||||||||
Term Loan B1C |
2.89 | % | 08/10/15 | EUR | 193 | 218,561 | ||||||||||
Term Loan C1A |
3.64 | % | 08/08/16 | EUR | 721 | 810,047 | ||||||||||
Term Loan C1B |
3.64 | % | 08/08/16 | EUR | 161 | 180,534 | ||||||||||
Term Loan C1C |
3.64 | % | 08/08/16 | EUR | 193 | 217,365 | ||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Oil & Gas(continued) |
||||||||||||||||
EP Energy LLC, Term Loan B |
6.50 | % | 04/24/18 | $ | 1,741 | $ | 1,748,633 | |||||||||
NGPL PipeCo LLC, Term Loan B |
6.75 | % | 05/15/17 | 4,915 | 4,812,592 | |||||||||||
Obsidian Natural Gas Trust (United Kingdom), Term Loan |
7.00 | % | 11/02/15 | 1,562 | 1,569,660 | |||||||||||
Western Refining, Inc., Term Loan B |
7.50 | % | 03/15/17 | 2,240 | 2,248,387 | |||||||||||
Willbros United States Holdings, Inc., Term Loan B |
9.50 | % | 06/30/14 | 2,468 | 2,469,191 | |||||||||||
39,402,942 | ||||||||||||||||
Publishing4.24% |
||||||||||||||||
Clarke American Corp., |
||||||||||||||||
Revolver Loan (d) |
0.00 | % | 06/28/13 | 1,878 | 1,676,458 | |||||||||||
Term Loan B |
2.77 | % | 06/30/14 | 2,033 | 1,865,115 | |||||||||||
Gatehouse Media Operating, Inc., |
||||||||||||||||
Delayed Draw Term Loan |
2.24 | % | 08/28/14 | 301 | 95,118 | |||||||||||
Term Loan B |
2.24 | % | 08/28/14 | 806 | 255,032 | |||||||||||
Knowledgepoint360 Group, LLC, |
||||||||||||||||
First Lien Term Loan |
3.72 | % | 04/14/14 | 918 | 812,722 | |||||||||||
Second Lien Term Loan |
7.47 | % | 04/13/15 | 2,000 | 1,500,000 | |||||||||||
Medianews Group, Term Loan |
8.50 | % | 03/19/14 | 1,170 | 1,133,498 | |||||||||||
Merrill Communications, LLC, |
||||||||||||||||
PIK Second Lien Term Loan (c) |
12.13 | % | 11/15/13 | 5,210 | 4,498,228 | |||||||||||
Term Loan |
7.75 | % | 12/24/12 | 3,856 | 3,653,534 | |||||||||||
Newsday LLC, Term Loan |
6.72 | % | 08/01/13 | 2,333 | 2,345,968 | |||||||||||
Tribune Co., Term Loan B (f)(g) |
5.25 | % | 06/04/14 | 29,437 | 19,140,973 | |||||||||||
Yell Group PLC, Term Loan B1 |
3.99 | % | 07/31/14 | 5,424 | 1,594,296 | |||||||||||
38,570,942 | ||||||||||||||||
Radio & Television9.04% |
||||||||||||||||
AR Broadcasting, LLC, Term Loan |
5.48 | % | 02/15/18 | 433 | 357,022 | |||||||||||
Barrington Broadcasting Group LLC, Term Loan B |
7.50 | % | 06/14/17 | 428 | 429,593 | |||||||||||
Clear Channel Communication, |
||||||||||||||||
Term Loan A |
3.64 | % | 07/29/14 | 4,937 | 4,429,598 | |||||||||||
Term Loan B |
3.89 | % | 01/29/16 | 20,676 | 16,176,367 | |||||||||||
Granite Broadcasting Corp., Term Loan B |
8.50 | % | 05/23/18 | 2,581 | 2,555,381 | |||||||||||
Harron Communications Corp., Term Loan B |
5.50 | % | 10/06/17 | 1,146 | 1,150,097 | |||||||||||
High Plains Broadcasting Operating Co. LLC, Term Loan |
9.00 | % | 09/14/16 | 609 | 610,930 | |||||||||||
Intelsat Jackson Holdings S.A., Term Loan B |
5.25 | % | 04/02/18 | 4,907 | 4,881,512 | |||||||||||
Lavena Holding 4 GmbH (Germany), Revolver Loan |
3.09 | % | 03/06/15 | EUR | 12,694 | 12,910,525 | ||||||||||
Multicultural Radio Broadcasting, Inc., Term Loan |
3.52 | % | 12/18/12 | 1,259 | 1,164,885 | |||||||||||
Newport Television LLC, Term Loan B |
9.00 | % | 09/14/16 | 2,201 | 2,209,607 | |||||||||||
Raycom TV Broadcasting, Inc., Term Loan B |
4.50 | % | 05/31/17 | 3,087 | 3,071,366 | |||||||||||
Tyrol Acquisitions (France), |
||||||||||||||||
Revolver Loan (d) |
0.00 | % | 01/31/14 | EUR | 900 | 904,191 | ||||||||||
Revolver Loan |
2.10 | % | 01/31/14 | EUR | 1,100 | 1,105,122 | ||||||||||
Second Lien Term Loan |
3.64 | % | 07/29/16 | EUR | 2,960 | 2,715,037 | ||||||||||
Second Lien Term Loan |
6.14 | % | 07/29/16 | EUR | 4,130 | 3,787,901 | ||||||||||
Term Loan C |
2.64 | % | 01/29/16 | EUR | 1,500 | 1,571,475 | ||||||||||
Univision Communications Inc., Extended Term Loan |
4.49 | % | 03/31/17 | 24,213 | 22,259,755 | |||||||||||
82,290,364 | ||||||||||||||||
Retailers (except Food & Drug)2.45% |
||||||||||||||||
Academy, Ltd., Term Loan |
6.00 | % | 08/03/18 | 2,272 | 2,280,923 | |||||||||||
Amscan Holdings, Inc., Term Loan B |
6.75 | % | 12/04/17 | 3,282 | 3,294,142 | |||||||||||
Claires Stores, Inc., Term Loan B |
3.06 | % | 05/29/14 | 3,955 | 3,692,040 | |||||||||||
Educate, Inc., Term Loan |
8.51 | % | 06/16/14 | 489 | 486,353 | |||||||||||
Guitar Center Inc., Extended Term Loan |
5.73 | % | 04/10/17 | 4,527 | 4,255,575 | |||||||||||
J. Crew Operating Corp., Term Loan B |
4.75 | % | 03/07/18 | 5,088 | 4,974,031 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Retailers (except Food & Drug)(continued) |
||||||||||||||||
Neiman Marcus Group, Inc., Term Loan |
4.75 | % | 05/16/18 | $ | 413 | $ | 406,394 | |||||||||
Salsa Retail Holding Debtco 1 S.a r.l. (Germany), PIK Term Loan B (c) |
7.25 | % | 02/08/18 | EUR | 2,005 | 1,984,970 | ||||||||||
Toys R Us-Delaware, Inc., Term Loan B3 |
5.25 | % | 05/25/18 | 959 | 912,270 | |||||||||||
22,286,698 | ||||||||||||||||
Steel0.15% |
||||||||||||||||
Tube City IMS Corp., Term Loan |
5.75 | % | 03/20/19 | 1,353 | 1,354,593 | |||||||||||
Surface Transport0.41% |
||||||||||||||||
Avis Budget Car Rental, LLC, Incremental Term Loan |
6.25 | % | 09/22/18 | 1,400 | 1,402,789 | |||||||||||
JHCI Acquisition, Inc., First Lien Term Loan |
2.74 | % | 06/19/14 | 2,447 | 2,314,322 | |||||||||||
3,717,111 | ||||||||||||||||
Telecommunications6.12% |
||||||||||||||||
Avaya, Inc., Extended Term Loan B3 |
4.97 | % | 10/26/17 | 5,592 | 4,955,906 | |||||||||||
Fairpoint Communications, Inc., Term Loan B |
6.50 | % | 01/22/16 | 4,395 | 3,687,691 | |||||||||||
Fibernet (Bulgaria), |
||||||||||||||||
Term Loan B (Acquired 08/29/07; Cost $972,882) (f)(g) |
0.00 | % | 12/20/14 | 980 | 0 | |||||||||||
Term Loan C (Acquired 08/29/07; Cost $972,882) (f)(g) |
0.00 | % | 12/20/15 | 980 | 0 | |||||||||||
Genesys Telecom Holdings, U.S., Inc., Term Loan B |
6.75 | % | 01/31/19 | 3,143 | 3,149,513 | |||||||||||
Global Tel*Link Corp., Term Loan B |
6.00 | % | 12/14/17 | 4,245 | 4,241,035 | |||||||||||
Level 3 Communications, Inc., |
||||||||||||||||
Term Loan B2 |
5.75 | % | 09/03/18 | 3,283 | 3,265,535 | |||||||||||
Term Loan B3 |
5.75 | % | 08/31/18 | 10,153 | 10,098,801 | |||||||||||
MetroPCS Wireless, Inc., Term Loan B |
4.00 | % | 03/19/18 | 5,887 | 5,749,033 | |||||||||||
NeuStar, Inc., Term Loan B |
5.00 | % | 11/08/18 | 2,634 | 2,651,469 | |||||||||||
Securus Technologies Holdings, Inc., Term Loan |
5.25 | % | 05/31/17 | 1,884 | 1,877,851 | |||||||||||
Syniverse Technologies, Inc., Term Loan |
5.00 | % | 04/23/19 | 3,914 | 3,874,636 | |||||||||||
Tirol Finco B.V. (Austria), |
||||||||||||||||
Facility Term Loan B |
3.14 | % | 10/02/15 | EUR | 1,012 | 1,172,361 | ||||||||||
Facility Term Loan C |
3.64 | % | 10/03/16 | EUR | 962 | 1,121,355 | ||||||||||
TowerCo Finance LLC, Term Loan B |
4.50 | % | 02/02/17 | 677 | 678,465 | |||||||||||
U.S. TelePacific Corp., Term Loan B |
5.75 | % | 02/23/17 | 3,037 | 2,873,834 | |||||||||||
West Corp., Revolver Loan (d) |
0.38 | % | 01/29/16 | 2,427 | 2,184,247 | |||||||||||
Wind Telecomunicazioni S.p.A. (Italy), Term Loan B1 (e) |
| 11/27/17 | EUR | 4,000 | 4,117,547 | |||||||||||
55,699,279 | ||||||||||||||||
Utilities3.28% |
||||||||||||||||
Bicent Power, LLC, Second Lien Term Loan |
9.25 | % | 12/31/14 | 4,959 | 89,913 | |||||||||||
BRSP, LLC, Term Loan B |
7.50 | % | 06/04/14 | 4,368 | 4,397,981 | |||||||||||
Star West Generation LLC, Term Loan B |
6.00 | % | 05/17/18 | 6,139 | 5,985,543 | |||||||||||
Texas Competitive Electric Holdings Co., LLC, |
||||||||||||||||
Extended Term Loan |
4.74 | % | 10/10/17 | 9,193 | 5,361,162 | |||||||||||
Term Loan |
3.74 | % | 10/10/14 | 14,944 | 9,175,778 | |||||||||||
TPF Generation Holdings LLC, Second Lien Term Loan C |
4.72 | % | 12/15/14 | 4,981 | 4,873,202 | |||||||||||
29,883,579 | ||||||||||||||||
Total Variable Rate Senior Loan Interests |
927,426,164 | |||||||||||||||
Notes20.36% |
||||||||||||||||
Air Transport0.69% |
||||||||||||||||
Air Lease Corp. |
7.38 | % | 01/30/19 | 5,504 | 5,669,120 | |||||||||||
Continental Airlines, Inc. (h) |
6.75 | % | 09/15/15 | 650 | 656,500 | |||||||||||
6,325,620 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Automotive0.67% |
||||||||||||||||
Goodyear Tire & Rubber Co. |
7.00 | % | 05/15/22 | $ | 1,074 | $ | 1,688,423 | |||||||||
Schaeffler Finance B.V. (Netherlands) (h) |
8.50 | % | 02/15/19 | 754 | 799,240 | |||||||||||
Schaeffler Finance B.V. (Netherlands) (h) |
8.75 | % | 02/15/19 | EUR | 2,800 | 3,566,067 | ||||||||||
6,053,730 | ||||||||||||||||
Cable & Satellite Television2.20% |
||||||||||||||||
Cequel Communications, LLC (h) |
8.63 | % | 11/15/17 | 2,405 | 2,531,263 | |||||||||||
Charter Communications Operating LLC |
7.00 | % | 01/15/19 | | 450 | |||||||||||
Telenet BidCo N.V. (Belgium) |
6.38 | % | 11/15/20 | EUR | 2,800 | 3,453,264 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) (h) |
9.75 | % | 04/15/18 | EUR | 1,500 | 1,956,602 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) (h) |
6.38 | % | 07/01/20 | EUR | 1,000 | 1,196,217 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) (h) |
8.38 | % | 08/15/20 | EUR | 4,000 | 4,945,598 | ||||||||||
UPC Broadband Holdings, B.V. (Netherlands) (h) |
7.25 | % | 11/15/21 | 2,941 | 3,044,384 | |||||||||||
UPC Broadband Holdings, B.V. (Netherlands) (h) |
6.88 | % | 01/15/22 | 236 | 233,711 | |||||||||||
Ziggo Bond Co. B.V. (Netherlands) |
8.00 | % | 05/15/18 | EUR | 2,000 | 2,658,259 | ||||||||||
20,019,748 | ||||||||||||||||
Casinos & Gaming0.09% |
||||||||||||||||
Chester Downs & Marina LLC (h) |
9.25 | % | 02/01/20 | 750 | 783,750 | |||||||||||
Chemicals & Plastics0.15% |
||||||||||||||||
INEOS Holdings Ltd. (United Kingdom) (h) |
8.38 | % | 02/15/19 | 328 | 338,660 | |||||||||||
INEOS Holdings Ltd. (United Kingdom) (h) |
7.50 | % | 05/01/20 | 211 | 209,945 | |||||||||||
Taminco Global Chemical Corp. (h) |
9.75 | % | 03/31/20 | 761 | 783,830 | |||||||||||
1,332,435 | ||||||||||||||||
Containers & Glass Products3.39% |
||||||||||||||||
Ardagh Glass Finance (Ireland) (h) |
7.13 | % | 06/15/17 | EUR | 5,000 | 5,702,893 | ||||||||||
Ardagh Glass Finance (Ireland) (h) |
8.75 | % | 02/01/20 | EUR | 4,000 | 4,679,773 | ||||||||||
Berry Plastics Group, Inc. (i) |
4.34 | % | 09/15/14 | 2,000 | 1,965,000 | |||||||||||
Berry Plastics Holding Inc. (i) |
5.22 | % | 02/15/15 | 6,456 | 6,425,334 | |||||||||||
Reynolds Group Holdings Inc. (h) (i) |
7.75 | % | 10/15/16 | 2,000 | 2,553,165 | |||||||||||
Reynolds Group Holdings Inc. (h) |
7.88 | % | 08/15/19 | 3,799 | 4,026,940 | |||||||||||
Reynolds Group Holdings Inc. (h) |
9.88 | % | 08/15/19 | 4,453 | 4,453,000 | |||||||||||
Reynolds Group Holdings Inc. (h) |
6.88 | % | 02/15/21 | 1,043 | 1,063,860 | |||||||||||
30,869,965 | ||||||||||||||||
Cosmetics & Toiletries0.52% |
||||||||||||||||
Ontex IV S.A. (Netherlands) |
7.50 | % | 04/15/18 | EUR | 4,000 | 4,760,138 | ||||||||||
Financial Intermediaries0.42% |
||||||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom) |
7.65 | % | 09/30/31 | 5,000 | 3,862,500 | |||||||||||
Food Products0.14% |
||||||||||||||||
Post Holdings Inc. (h) |
7.38 | % | 02/15/22 | 1,203 | 1,230,067 | |||||||||||
Forest Products0.24% |
||||||||||||||||
Verso Paper Holdings, LLC (h) |
11.75 | % | 01/15/19 | 2,192 | 2,202,960 | |||||||||||
Healthcare1.70% |
||||||||||||||||
Accellent Inc. |
8.38 | % | 02/01/17 | 2,297 | 2,291,257 | |||||||||||
Accellent Inc. |
10.00 | % | 11/01/17 | 2,706 | 2,185,095 | |||||||||||
Apria Healthcare Group, Inc. |
11.25 | % | 11/01/14 | 6,167 | 6,351,667 | |||||||||||
Community Health Systems, Inc. |
8.00 | % | 11/15/19 | 1,863 | 1,914,233 | |||||||||||
DJO Finance LLC |
8.75 | % | 03/15/18 | 1,754 | 1,775,925 | |||||||||||
Kindred Healthcare, Inc. |
8.25 | % | 06/01/19 | 1,094 | 965,455 | |||||||||||
15,483,632 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)* | Value | |||||||||||||
Home Furnishings0.19% |
||||||||||||||||
Targus Group International, Inc., PIK (Acquired 12/16/09-12/14/10; Cost $5,052,985) (c)(h)(j) |
10.00 | % | 12/15/15 | $ | 1,694 | $ | 1,694,195 | |||||||||
Leisure Goods, Activities & Movies1.08% |
||||||||||||||||
Corleone Capital Ltd. (United Kingdom) |
9.00 | % | 08/01/18 | GBP | 6,656 | 9,873,545 | ||||||||||
Oil & Gas1.47% |
||||||||||||||||
Coffeyville Resources LLC (h) |
9.00 | % | 04/01/15 | 4,161 | 4,452,270 | |||||||||||
NGPL PipeCo LLC (h) |
9.63 | % | 06/01/19 | 1,059 | 1,093,417 | |||||||||||
Seadrill Ltd. (Bermuda) |
6.50 | % | 10/05/15 | 7,700 | 7,796,250 | |||||||||||
13,341,937 | ||||||||||||||||
Radio & Television0.71% |
||||||||||||||||
CET 21 spol s.r.o. (Czech Republic) |
9.00 | % | 11/01/17 | EUR | 5,000 | 6,475,643 | ||||||||||
Rail Industries1.10% |
||||||||||||||||
Channel Link Enterprises Finance PLC (United Kingdom) |
2.35 | % | 06/20/12 | GBP | 3,000 | 4,300,910 | ||||||||||
Channel Link Enterprises Finance PLC (United Kingdom) |
3.00 | % | 06/30/12 | EUR | 5,000 | 5,749,258 | ||||||||||
10,050,168 | ||||||||||||||||
Surface Transport1.62% |
||||||||||||||||
Avis Budget Car Rental, LLC |
8.25 | % | 01/15/19 | 868 | 898,380 | |||||||||||
Nobina Europe A.B. (Sweden) |
9.13 | % | 08/01/12 | EUR | 12,769 | 13,894,645 | ||||||||||
14,793,025 | ||||||||||||||||
Telecommunications2.45% |
||||||||||||||||
Goodman Networks, Inc. (h) |
12.13 | % | 07/01/18 | 3,960 | 4,024,350 | |||||||||||
Matterhorn Mobile S.A. (Luxembourg) |
8.25 | % | 02/15/20 | EUR | 5,000 | 6,290,183 | ||||||||||
Paetec Holding Corp. |
8.88 | % | 06/30/17 | 462 | 497,805 | |||||||||||
Wind Telecomunicazioni S.p.A. (Italy) (h) |
11.75 | % | 07/15/17 | EUR | 4,000 | 4,311,875 | ||||||||||
Wind Telecomunicazioni S.p.A. (Italy) (h) |
7.25 | % | 02/15/18 | 447 | 384,420 | |||||||||||
Wind Telecomunicazioni S.p.A. (Italy) (h) |
7.38 | % | 02/15/18 | EUR | 4,000 | 4,154,303 | ||||||||||
Windstream Corp. |
7.50 | % | 06/01/22 | 2,709 | 2,641,275 | |||||||||||
22,304,211 | ||||||||||||||||
Utilities1.53% |
||||||||||||||||
Calpine Corp. (h) |
7.25 | % | 10/15/17 | 1,073 | 1,137,380 | |||||||||||
Calpine Corp. (h) |
7.50 | % | 02/15/21 | 1,089 | 1,143,921 | |||||||||||
Calpine Corp. (h) |
7.88 | % | 01/15/23 | 1,985 | 2,109,219 | |||||||||||
NRG Energy, Inc. (h) |
7.63 | % | 05/15/19 | 9,700 | 9,530,250 | |||||||||||
13,920,770 | ||||||||||||||||
Total Notes |
185,378,039 | |||||||||||||||
Structured Products4.38% |
||||||||||||||||
ACA CLO 2005-1 Ltd. (h)(i) |
5.47 | % | 10/15/17 | 3,500 | 3,161,934 | |||||||||||
Apidos Cinco CDO Ltd. (i) |
4.72 | % | 05/14/20 | 930 | 658,006 | |||||||||||
Apidos Quattro CDO Ltd. (h)(i) |
4.07 | % | 01/20/19 | 631 | 442,078 | |||||||||||
Ares XI CLO, Ltd. (h)(i) |
3.47 | % | 10/11/21 | 792 | 585,202 | |||||||||||
Atrium IV CDO Corp. (h) |
9.18 | % | 06/08/19 | 328 | 286,194 | |||||||||||
Banc of America Large Loan (h)(i) |
1.99 | % | 11/15/13 | 9,446 | 8,838,675 | |||||||||||
Centurion CDO 15 Ltd. (h)(i) |
2.72 | % | 03/11/21 | 2,750 | 1,941,308 | |||||||||||
Clear Lake CLO 2006-1A Ltd. (h)(i) |
1.92 | % | 12/20/20 | 3,000 | 1,980,073 | |||||||||||
Columbus Nova CLO Ltd. (h)(i) |
4.07 | % | 05/16/19 | 1,747 | 1,155,232 | |||||||||||
Flagship CLO VI (i) |
5.22 | % | 06/10/21 | 3,085 | 2,121,948 | |||||||||||
Flagship CLO VI (h)(i) |
5.22 | % | 06/10/21 | 922 | 634,472 | |||||||||||
Four Corners CLO II, Ltd. (h)(i) |
2.32 | % | 01/26/20 | 209 | 152,539 | |||||||||||
Four Corners CLO II, Ltd. (h)(i) |
2.32 | % | 01/26/20 | 70 | 51,090 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Structured Products(continued) |
||||||||||||||||
Genesis CLO 2007-1 Ltd. (h) (i) |
6.97 | % | 10/10/14 | $ | 2,713 | $ | 2,462,358 | |||||||||
Halcyon Loan Investors CLO II, Ltd. (h)(i) |
4.07 | % | 04/24/21 | 2,121 | 1,431,188 | |||||||||||
ING Investment Management CLO III, Ltd. (h)(i) |
3.97 | % | 12/13/20 | 1,842 | 1,181,164 | |||||||||||
ING Investment Management CLO IV, Ltd. (h)(i) |
4.72 | % | 06/14/22 | 395 | 271,191 | |||||||||||
Madison Park Funding IV Ltd. (h)(i) |
4.07 | % | 03/22/21 | 3,361 | 2,317,034 | |||||||||||
Pacifica CDO VI, Ltd. (h)(i) |
4.22 | % | 08/15/21 | 1,538 | 996,065 | |||||||||||
Sierra CLO II Ltd. (i) |
3.97 | % | 01/22/21 | 1,696 | 1,121,042 | |||||||||||
Silverado CLO 2006-II Ltd. (h)(i) |
4.22 | % | 10/16/20 | 2,050 | 1,406,529 | |||||||||||
Symphony CLO IX, Ltd. (h) |
5.37 | % | 04/16/22 | 5,126 | 4,326,344 | |||||||||||
Symphony CLO VIII, Ltd. (h)(i) |
6.33 | % | 01/09/23 | 2,790 | 2,353,981 | |||||||||||
Total Structured Products |
39,875,647 | |||||||||||||||
Shares | ||||||||
Common
Stocks & Other Equity Interests2.44% |
||||||||
Building
& Development0.16% |
||||||||
Axia Acquisition
Corp. (h)(k) |
101 | 251,400 | ||||||
Building Materials Holding
Corp. (h)(k) |
512,204 | 614,645 | ||||||
Lake at Las Vegas Joint Venture, LLC Class A (Acquired 07/15/10;
Cost $24,140,508) (h)(k) |
2,339 | | ||||||
Lake at Las Vegas Joint Venture, LLC Class B (Acquired 07/15/10; Cost $285,788) (h)(k) |
28 | | ||||||
Lake at Las Vegas Joint Venture, LLC Class C, Wts., expiring 07/15/15 (Acquired 07/15/10;
Cost $0) (h)(k) |
117 | | ||||||
Lake at Las Vegas Joint Venture, LLC Class D, Wts., expiring 07/15/15 (Acquired 07/15/10;
Cost $0) (h)(k) |
161 | | ||||||
Lake at Las Vegas Joint Venture, LLC Class E, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h)(k) |
180 | | ||||||
Lake at Las Vegas Joint Venture, LLC Class F, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h)(k) |
202 | | ||||||
Lake at Las Vegas Joint Venture, LLC Class G, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h)(k) |
229 | | ||||||
Newhall Holding Co., LLC Class A (k) |
235,259 | 290,074 | ||||||
Rhodes Home (k) |
750,544 | 157,614 | ||||||
WCI Communities, Inc. (k) |
1,830 | 128,100 | ||||||
1,441,833 | ||||||||
Chemicals
& Plastics0.49% |
||||||||
LyondellBasell Industries N.V. (Netherlands) Class A (k) |
107,147 | 4,228,020 | ||||||
Metokote Corp. Wts., expiring 11/22/23 (Acquired 12/05/11-05/22/12; Cost $0) (h)(k) |
201 | 208,325 | ||||||
4,436,345 | ||||||||
Conglomerates0.06% |
||||||||
Euramax International, Inc. (h)(k) |
1,870 | 542,242 | ||||||
Cosmetics
& Toiletries0.12% |
||||||||
Marietta Intermediate Holding Corp. (Acquired 07/13/07; Cost $2,591,511) (h)(k) |
1,641,483 | 1,083,379 | ||||||
Marietta Intermediate Holding Corp. Wts., expiring 02/20/19 (Acquired 07/12/07; Cost $0) (h)(k) |
413,194 | | ||||||
1,083,379 | ||||||||
Financial
Intermediaries0.00% |
||||||||
RJO Holdings Corp. (h)(k) |
2,144 | 21,440 | ||||||
RJO Holdings Corp. Class A (h)(k) |
1,142 | 571 | ||||||
RJO Holdings Corp. Class B (h)(k) |
3,333 | 1,667 | ||||||
23,678 | ||||||||
Home
Furnishings0.05% |
||||||||
Targus Group International, Inc. (Acquired 12/16/09; Cost $0) (h)(j)(k) |
62,413 | 450,622 | ||||||
Leisure
Goods, Activities & Movies1.15% |
||||||||
MEGA Brands, Inc. (Canada) (k) |
30,040 | 186,723 | ||||||
Metro-Goldwyn-Mayer Inc. Class A (h)(k) |
400,602 | 10,315,502 | ||||||
10,502,225 | ||||||||
Shares | Value | |||||||
Lodging & Casinos0.06% |
||||||||
Wembley, Inc. Class A (h)(k) |
41,966 | $ | 499,395 | |||||
Wembley, Inc. Class B (h)(k) |
5,500 | 27,500 | ||||||
526,895 | ||||||||
Oil & Gas0.22% |
||||||||
Vitruvian Exploration LLC (k) |
76,400 | 2,043,700 | ||||||
Publishing0.13% |
||||||||
Affiliated Media, Inc. (h)(k) |
87,369 | 1,135,795 | ||||||
Endurance Business Media, Inc. Class A (h)(k) |
4,753 | 47,531 | ||||||
SuperMedia, Inc. (h)(k) |
7,080 | 18,337 | ||||||
1,201,663 | ||||||||
Radio & Television0.00% |
||||||||
AR Broadcasting, LLC Wts., expiring 02/15/18 (Acquired 02/17/12; Cost $0) (h)(k) |
213 | | ||||||
Cumulus Media, Inc. Wts., expiring 06/29/19 (Acquired 01/14/10; Cost $0) (h)(k) |
1,568 | 2,556 | ||||||
2,556 | ||||||||
Total Common Stocks & Other Equity Interests |
22,255,138 | |||||||
Preferred Stock0.01% |
||||||||
Financial Intermediaries0.01% |
||||||||
RTS Investor Corp. (h)(k) |
649 | 49,965 | ||||||
Time Deposit0.31% |
||||||||
State Street Bank & Trust Co. ($2,824,434 par, 0.00% coupon, dated 05/31/12,
to be sold on 06/01/12 at $2,824,434) (Cost $2,824,434) |
2,824,434 | |||||||
TOTAL INVESTMENTS129.36% (Cost $1,288,537,979) |
1,177,809,387 | |||||||
OTHER ASSETS LESS LIABILITIES(0.04)% |
(332,894 | ) | ||||||
BORROWINGS(29.32)% |
(267,000,000 | ) | ||||||
NET ASSETS100.00% |
$ | 910,476,493 | ||||||
CDO |
| Collateralized Debt Obligation | ||
CLO |
| Collateralized Loan Obligation | ||
DIP |
| Debtor-in-possession | ||
EUR |
| Euro | ||
GBP |
| British Pound | ||
LOC |
| Letter of Credit | ||
PIK |
| Payment in Kind | ||
Wts. |
| Warrants |
(a)
|
Variable rate senior loan interests 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)
|
Variable rate senior loan 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)
|
This floating rate interest will settle after May 31, 2012, at which time the interest rate will be determined. | |
(f)
|
Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at May 31, 2012 was $19,864,802, which represented 2.18% of the Funds Net Assets. | |
(g)
|
The borrower has filed for protection in federal bankruptcy court. | |
(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 May 31, 2012 was $132,239,548, which represented 14.52% of the Funds Net Assets. | |
(i)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on May 31, 2012. | |
(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 May 31, 2012 was $2,144,817, which represented 0.24% of the Funds Net Assets. See Note 4. | |
(k)
|
Non-income producing securities acquired through the restructuring of senior loans. |
* | Principal amounts are denominated in U.S. dollars unless otherwise noted. |
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 transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from the settlement date. Facility fees received 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 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. |
E. | Foreign Currency Translations (continued) |
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. |
G. | Swap Agreements (continued) |
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 board of trade on which floating rate loans are traded. Instead, the secondary market for floating rate loans is a private, unregulated interdealer or interbank resale market. Such a market may therefore be subject to irregular trading activity, wide bid/ask spreads, and extended trade settlement periods. Similar to other asset classes, bank loan funds may be exposed to counterparty credit risk, or the risk 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. | |
K. | Foreign Risk The Fund may invest in senior loans to borrowers that are organized or located in countries other than the United States. Investment in non-U.S. issuers involves special risks, including that non-U.S. issuers may be subject to less rigorous accounting and reporting requirements than U.S. issuers, less rigorous regulatory requirements, different legal systems and laws relating to creditors rights, the potential inability to enforce legal judgments and the potential for political, social and economic adversity. Investments by the Fund in non-U.S. dollar denominated investments will be subject to currency risk. The Fund also may hold non-U.S. dollar denominated senior loans or other securities received as part of a reorganization or restructuring. Trading in many foreign securities may be less liquid and more volatile than U.S. securities due to the size of the market or other factors. | |
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. |
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 |
$ | | $ | 918,030,568 | $ | 9,395,596 | $ | 927,426,164 | ||||||||
Notes |
| 183,683,844 | 1,694,195 | 185,378,039 | ||||||||||||
Structured Products |
| 39,875,647 | | 39,875,647 | ||||||||||||
Equity Securities |
4,433,081 | 16,129,697 | 1,742,325 | 22,305,103 | ||||||||||||
Time Deposits |
| 2,824,434 | | 2,824,434 | ||||||||||||
4,433,081 | 1,160,544,190 | 12,832,116 | 1,177,809,387 | |||||||||||||
Foreign Currency Contracts* |
| 12,185,365 | | 12,185,365 | ||||||||||||
Swap Agreements* |
| 1,253,547 | | 1,253,547 | ||||||||||||
Total Investments |
$ | 4,433,081 | $ | 1,173,983,102 | $ | 12,832,116 | $ | 1,191,248,299 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Credit risk |
$ | 1,253,547 | $ | | ||||
Currency risk |
12,185,365 | | ||||||
Foreign | ||||||||
Currency | Swap | |||||||
Contracts* | Agreements* | |||||||
Realized Gain (Loss) |
||||||||
Credit risk |
$ | | $ | 1,352,879 | ||||
Currency risk |
(1,333,835 | ) | | |||||
Change in Unrealized Appreciation (Depreciation) |
||||||||
Credit risk |
| (1,576,067 | ) | |||||
Currency risk |
15,637,725 | | ||||||
Total |
$ | 14,303,890 | $ | (223,188 | ) | |||
* | The average notional value of foreign currency contracts and swap agreements outstanding during the period was $223,748,787 and $135,233,333, respectively. |
Open Foreign Currency Contracts | ||||||||||||||||||||||||||||
Settlement | Contract to | Notional | Unrealized | |||||||||||||||||||||||||
Date | Counterparty | Deliver | Receive | Value | Appreciation | |||||||||||||||||||||||
06/18/12 |
State Street Bank | EUR | 35,000,000 | USD | 45,976,700 | $ | 43,280,205 | $ | 2,696,495 | |||||||||||||||||||
06/18/12 |
Mellon Bank N.A. | EUR | 45,000,000 | USD | 59,131,350 | 55,645,977 | 3,485,373 | |||||||||||||||||||||
06/18/12 |
JPMorgan Chase Bank N.A. | EUR | 50,000,000 | USD | 65,676,700 | 61,828,864 | 3,847,836 | |||||||||||||||||||||
06/18/12 |
State Street Bank | GBP | 28,000,000 | USD | 45,306,800 | 43,151,139 | 2,155,661 | |||||||||||||||||||||
$ | 12,185,365 | |||||||||||||||||||||||||||
Implied | ||||||||||||||||||||||||||||||||
Credit | Notional | Value | ||||||||||||||||||||||||||||||
Buy/Sell | Pay/Receive | Expiration | Spread | Value | Upfront | Unrealized | ||||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Fixed Rate | Date | (a) | (000) | Payments | Appreciation | ||||||||||||||||||||||||
Goldman Sachs International |
Peermont Global | Sell | 3.50 | % | 09/20/12 | 5.40 | % | $ | 5,000 | $ | | $ | 7,647 | |||||||||||||||||||
Goldman Sachs International |
CDX.NA.HY.9 | Sell | 3.75 | % | 12/20/12 | 3.02 | % | 16,600 | 702,750 | 67,128 | ||||||||||||||||||||||
UBS |
CDX.NA.HY.9 | Sell | 3.75 | % | 12/20/12 | 3.02 | % | 16,600 | 702,750 | 67,128 | ||||||||||||||||||||||
Goldman Sachs International |
LCDX.NA.10 | Sell | 3.25 | % | 06/20/13 | 1.81 | % | 41,400 | 5,167,600 | 614,583 | ||||||||||||||||||||||
Goldman Sachs International |
Gala Group Finance | Sell | 4.15 | % | 03/20/13 | 4.00 | % | 5,000 | | 7,267 | ||||||||||||||||||||||
UBS |
CDX.NAHY.10 | Sell | 5.00 | % | 06/20/13 | 3.31 | % | 16,800 | 1,091,500 | 294,377 | ||||||||||||||||||||||
Goldman Sachs International |
LCDX9 | Sell | 2.25 | % | 12/20/12 | 1.20 | % | 33,500 | 2,773,750 | 195,417 | ||||||||||||||||||||||
Total Credit Default Swap Agreements |
$ | 134,900 | $ | 10,438,350 | $ | 1,253,547 | ||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||||
Value | Purchases | Proceeds | Appreciation | Gain | Value | Interest/Dividend | ||||||||||||||||||||||
02/29/12 | at Cost | from Sales | (Depreciation) | (Loss) | 05/31/12 | Income | ||||||||||||||||||||||
Targus International Inc. Note |
$ | 1,694,195 | $ | | $ | | $ | | $ | | $ | 1,694,195 | $ | 42,355 | ||||||||||||||
Targus International Inc. Common Shares |
$ | 450,622 | $ | | $ | | $ | | $ | | $ | 450,622 | $ | | ||||||||||||||
Total |
$ | 2,144,817 | $ | | $ | | $ | | $ | | $ | 2,144,817 | $ | 42,355 | ||||||||||||||
As of May 31, 2012, the Fund had unfunded loan commitments, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers: |
Borrower | Principal Amount* | Value | ||||||||||||||
Axia Acquisition Corp. |
Revolver Loan | $ | 348,226 | $ | 278,581 | |||||||||||
Bright Horizons Family Solutions, Inc. |
Revolver Loan | 3,000,000 | 2,972,610 | |||||||||||||
Clarke American Corp. |
Revolver Loan | 1,878,385 | 1,676,458 | |||||||||||||
Delta Air Lines, Inc. |
Revolver Loan | 2,000,000 | 1,966,260 | |||||||||||||
General Motors Holdings |
Revolver Loan | 6,451,767 | 5,806,590 | |||||||||||||
Lake at Las Vegas Joint Venture, LLC |
Revolver Loan | 64,152 | 69,353 | |||||||||||||
Lake at Las Vegas Joint Venture, LLC |
Term Loan | 38,339 | 38,314 | |||||||||||||
Realogy Corp. |
Revolver Loan | 3,544,142 | 3,018,439 | |||||||||||||
Surgical Care Affiliates, Inc. |
Revolver Loan | 6,250,000 | 5,940,000 | |||||||||||||
Full Moon Holdco 3 Ltd. |
Term Loan | GBP | 13,399 | 20,237 | ||||||||||||
Tyrol Acquisitions |
Revolver Loan | EUR | 900,000 | 904,191 | ||||||||||||
Wendys International, Inc. |
Term Loan | 1,470,428 | 1,456,775 | |||||||||||||
West Corp. |
Revolver Loan | 2,426,942 | 2,184,247 | |||||||||||||
$ | 26,332,055 | |||||||||||||||
* | Principal amounts are denominated in U.S. dollars unless otherwise noted. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities |
$ | 21,810,749 | ||
Aggregate unrealized (depreciation) of investment securities |
(154,784,577 | ) | ||
Net unrealized appreciation of investment securities |
$ | (132,973,828 | ) | |
Cost of investments for tax purposes is $1,310,783,215. |
Selling Participant | Principal Amount | Value | ||||||
Credit Suisse AG, Cayman Branch |
$ | 1,800,050 | $ | 1,620,045 | ||||
Goldman Sachs Lending Partners LLC |
1,370,000 | 1,233,000 | ||||||
Goldman Sachs Lending Partners LLC |
450,012 | 405,011 | ||||||
Goldman Sachs Lending Partners LLC |
2,831,705 | 2,548,534 | ||||||
Goldman Sachs Lending Partners LLC |
2,426,942 | 2,184,247 | ||||||
Total |
$ | 8,878,709 | $ | 7,990,837 | ||||
(a) | As of June 12, 2012, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of June 12, 2012, 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. |
Registrant: Invesco Van Kampen Dynamic Credit Opportunities Fund | ||||
By:
|
/s/ Colin Meadows
|
|||
Colin Meadows | ||||
Principal Executive Officer | ||||
Date:
|
July 30, 2012 |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
July 30, 2012 | |||
By:
|
/s/ Sheri Morris | |||
Sheri Morris | ||||
Principal Financial Officer | ||||
Date:
|
July 30, 2012 |