Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Aerospace and Defense 2.7%
|
||||||||||
Booz Allen Hamilton, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing August 3, 2017
|
249 | $ | 247,623 | |||||||
DAE Aviation Holdings, Inc.
|
||||||||||
Term Loan, 5.26%, Maturing July 31, 2014
|
700 | 655,577 | ||||||||
Term Loan, 5.26%, Maturing July 31, 2014
|
731 | 684,073 | ||||||||
Ducommun, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing June 28, 2017
|
274 | 268,140 | ||||||||
Dundee Holdco 4, Ltd.
|
||||||||||
Term Loan, 4.24%, Maturing May 15, 2015
|
206 | 177,251 | ||||||||
Term Loan, 4.74%, Maturing May 13, 2016
|
206 | 177,251 | ||||||||
Term Loan - Second Lien, 7.33%, Maturing
January 13, 2016
|
EUR | 417 | 486,490 | |||||||
IAP Worldwide Services, Inc.
|
||||||||||
Term Loan, 9.25%, Maturing December 28, 2012
|
918 | 901,229 | ||||||||
Sequa Corp.
|
||||||||||
Term Loan, 3.50%, Maturing December 3, 2014
|
397 | 376,805 | ||||||||
Spirit AeroSystems, Inc.
|
||||||||||
Term Loan, 3.48%, Maturing September 30, 2016
|
603 | 598,798 | ||||||||
TASC, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing December 18, 2015
|
747 | 717,861 | ||||||||
TransDigm, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing February 14, 2017
|
1,092 | 1,069,233 | ||||||||
Wyle Services Corp.
|
||||||||||
Term Loan, 5.75%, Maturing March 27, 2017
|
415 | 398,276 | ||||||||
$ | 6,758,607 | |||||||||
Air Transport 0.7%
|
||||||||||
Evergreen International Aviation, Inc.
|
||||||||||
Term Loan, 11.50%, Maturing July 5, 2016
|
450 | $ | 414,000 | |||||||
Orbitz Worldwide, Inc.
|
||||||||||
Term Loan, 3.27%, Maturing July 25, 2014
|
1,473 | 1,293,600 | ||||||||
$ | 1,707,600 | |||||||||
Automotive 5.8%
|
||||||||||
Allison Transmission, Inc.
|
||||||||||
Term Loan, 2.98%, Maturing August 7, 2014
|
2,410 | $ | 2,275,170 | |||||||
Chrysler Group, LLC
|
||||||||||
Term Loan, 6.00%, Maturing May 24, 2017
|
2,614 | 2,301,740 | ||||||||
Delphi Corp.
|
||||||||||
Term Loan, 3.50%, Maturing March 31, 2017
|
984 | 974,947 | ||||||||
Federal-Mogul Corp.
|
||||||||||
Term Loan, 2.16%, Maturing December 29, 2014
|
2,215 | 2,046,831 | ||||||||
Term Loan, 2.17%, Maturing December 28, 2015
|
579 | 535,045 | ||||||||
Goodyear Tire & Rubber Co.
|
||||||||||
Term Loan - Second Lien, 1.94%, Maturing
April 30, 2014
|
2,300 | 2,226,688 | ||||||||
HHI Holdings, LLC
|
||||||||||
Term Loan, 7.00%, Maturing March 21, 2017
|
249 | 237,556 | ||||||||
Metaldyne, LLC
|
||||||||||
Term Loan, 5.25%, Maturing May 18, 2017
|
771 | 747,991 | ||||||||
SRAM, LLC
|
||||||||||
Term Loan, 4.76%, Maturing June 7, 2018
|
667 | 643,838 | ||||||||
Tomkins, LLC
|
||||||||||
Term Loan, 4.25%, Maturing September 21, 2016
|
969 | 952,822 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
TriMas Corp.
|
||||||||||
Term Loan, 4.25%, Maturing June 21, 2017
|
524 | $ | 514,523 | |||||||
Veyance Technologies, Inc.
|
||||||||||
Term Loan, 2.74%, Maturing July 31, 2014
|
101 | 90,894 | ||||||||
Term Loan, 2.74%, Maturing July 31, 2014
|
706 | 634,604 | ||||||||
Term Loan - Second Lien, 5.99%, Maturing
July 31, 2015
|
425 | 353,813 | ||||||||
$ | 14,536,462 | |||||||||
Beverage and
Tobacco 0.0%(2)
|
||||||||||
Maine Beverage Co., LLC
|
||||||||||
Term Loan, 2.00%, Maturing March 31, 2013
|
102 | $ | 97,500 | |||||||
$ | 97,500 | |||||||||
Building and Development 1.3%
|
||||||||||
Armstrong World Industries, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing March 9, 2018
|
323 | $ | 314,482 | |||||||
Beacon Sales Acquisition, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing September 30, 2013
|
334 | 317,394 | ||||||||
Goodman Global Holdings, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing October 28, 2016
|
838 | 831,991 | ||||||||
November 2005 Land Investors, LLC
|
||||||||||
Term Loan, 0.00%, Maturing
March 29, 2013(3)(4)
|
152 | 22,863 | ||||||||
Panolam Industries Holdings, Inc.
|
||||||||||
Term Loan, 8.25%, Maturing December 31, 2013
|
458 | 412,409 | ||||||||
RE/MAX International, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing April 15, 2016
|
872 | 859,330 | ||||||||
South Edge, LLC
|
||||||||||
Term Loan, 0.00%, Maturing
October 31, 2009(5)
|
422 | 411,328 | ||||||||
$ | 3,169,797 | |||||||||
Business Equipment and Services 13.2%
|
||||||||||
Acosta, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing March 1, 2018
|
648 | $ | 626,249 | |||||||
Acxiom Corp.
|
||||||||||
Term Loan, 3.28%, Maturing March 15, 2015
|
403 | 394,694 | ||||||||
Advantage Sales & Marketing, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing December 18, 2017
|
918 | 888,799 | ||||||||
Affinion Group, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing October 10, 2016
|
2,294 | 2,092,036 | ||||||||
Allied Security Holdings, LLC
|
||||||||||
Term Loan, 5.00%, Maturing February 3, 2017
|
498 | 490,038 | ||||||||
Altegrity, Inc.
|
||||||||||
Term Loan, 7.75%, Maturing February 20, 2015
|
372 | 364,366 | ||||||||
Term Loan, 2.98%, Maturing February 21, 2015
|
786 | 707,048 | ||||||||
Audatex North America, Inc.
|
||||||||||
Term Loan, 3.31%, Maturing May 16, 2014
|
EUR | 406 | 532,730 | |||||||
BAR/BRI Review Courses, Inc.
|
||||||||||
Term Loan, 6.00%, Maturing June 16, 2017
|
375 | 365,625 | ||||||||
Brand Energy and Infrastructure Services, Inc.
|
||||||||||
Term Loan, 2.62%, Maturing February 7, 2014
|
455 | 415,184 | ||||||||
Term Loan, 3.62%, Maturing February 7, 2014
|
389 | 348,894 | ||||||||
Brickman Group Holdings, Inc.
|
||||||||||
Term Loan, 7.25%, Maturing October 14, 2016
|
571 | 564,981 | ||||||||
Brock Holdings III, Inc.
|
||||||||||
Term Loan, 6.00%, Maturing March 16, 2017
|
597 | 559,688 | ||||||||
ClientLogic Corp.
|
||||||||||
Term Loan, 8.11%, Maturing January 30, 2014
|
EUR | 586 | 776,661 | |||||||
Term Loan, 7.00%, Maturing January 30, 2017
|
303 | 286,436 | ||||||||
DynCorp International, LLC
|
||||||||||
Term Loan, 6.30%, Maturing July 5, 2016
|
407 | 401,234 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Fidelity National Information Services, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing July 18, 2016
|
1,188 | $ | 1,189,485 | |||||||
IMS Health, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing August 25, 2017
|
864 | 850,029 | ||||||||
KAR Auction Services, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing May 19, 2017
|
1,446 | 1,403,888 | ||||||||
Kronos, Inc.
|
||||||||||
Term Loan, 2.12%, Maturing June 11, 2014
|
546 | 521,006 | ||||||||
Language Line, LLC
|
||||||||||
Term Loan, 6.25%, Maturing June 20, 2016
|
1,071 | 1,017,349 | ||||||||
Meritas, LLC
|
||||||||||
Term Loan, 7.50%, Maturing July 28, 2017
|
414 | 399,872 | ||||||||
Mitchell International, Inc.
|
||||||||||
Term Loan - Second Lien, 5.63%, Maturing
March 30, 2015
|
500 | 462,500 | ||||||||
MSCI, Inc.
|
||||||||||
Term Loan, 3.75%, Maturing March 14, 2017
|
1,439 | 1,437,690 | ||||||||
N.E.W. Holdings I, LLC
|
||||||||||
Term Loan, 6.00%, Maturing March 23, 2016
|
788 | 762,891 | ||||||||
Protection One Alarm Monitoring, Inc.
|
||||||||||
Term Loan, 6.00%, Maturing June 4, 2016
|
741 | 730,125 | ||||||||
Quantum Corp.
|
||||||||||
Term Loan, 3.74%, Maturing July 14, 2014
|
27 | 26,601 | ||||||||
Quintiles Transnational Corp.
|
||||||||||
Term Loan, 5.00%, Maturing June 8, 2018
|
2,170 | 2,052,044 | ||||||||
Res-Care, Inc.
|
||||||||||
Term Loan, 7.25%, Maturing December 22, 2016
|
422 | 409,158 | ||||||||
Sabre, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing September 30, 2014
|
2,590 | 2,184,571 | ||||||||
Sensus USA, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing May 9, 2017
|
348 | 335,191 | ||||||||
Softlayer Technologies, Inc.
|
||||||||||
Term Loan, 7.25%, Maturing November 5, 2016
|
323 | 314,498 | ||||||||
SunGard Data Systems, Inc.
|
||||||||||
Term Loan, 1.98%, Maturing February 28, 2014
|
2,530 | 2,474,282 | ||||||||
Term Loan, 3.89%, Maturing February 26, 2016
|
1,860 | 1,791,933 | ||||||||
SymphonyIRI Group, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing December 1, 2017
|
424 | 412,279 | ||||||||
TransUnion, LLC
|
||||||||||
Term Loan, 4.75%, Maturing February 12, 2018
|
945 | 924,769 | ||||||||
Travelport, LLC
|
||||||||||
Term Loan, 4.75%, Maturing August 21, 2015
|
1,103 | 977,116 | ||||||||
Term Loan, 4.87%, Maturing August 21, 2015
|
299 | 264,565 | ||||||||
Term Loan, 6.04%, Maturing August 21, 2015
|
EUR | 371 | 456,788 | |||||||
U.S. Security Holdings, Inc.
|
||||||||||
Term Loan, 1.50%, Maturing
July 28, 2017(6)
|
61 | 59,750 | ||||||||
Term Loan, 6.00%, Maturing July 28, 2017
|
314 | 306,813 | ||||||||
West Corp.
|
||||||||||
Term Loan, 4.57%, Maturing July 15, 2016
|
360 | 348,910 | ||||||||
Term Loan, 4.57%, Maturing July 15, 2016
|
1,023 | 992,654 | ||||||||
$ | 32,921,420 | |||||||||
Cable and Satellite Television 6.3%
|
||||||||||
Atlantic Broadband Finance, LLC
|
||||||||||
Term Loan, 4.00%, Maturing March 8, 2016
|
663 | $ | 641,885 | |||||||
BBHI Acquisition, LLC
|
||||||||||
Term Loan, 4.50%, Maturing December 14, 2017
|
620 | 600,928 | ||||||||
Bragg Communications, Inc.
|
||||||||||
Term Loan, 2.82%, Maturing August 31, 2014
|
1,152 | 1,105,920 | ||||||||
Crown Media Holdings, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing July 14, 2018
|
249 | 243,141 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
CSC Holdings, Inc.
|
||||||||||
Term Loan, 3.23%, Maturing March 29, 2016
|
1,950 | $ | 1,894,856 | |||||||
Insight Midwest Holdings, LLC
|
||||||||||
Term Loan, 1.98%, Maturing April 7, 2014
|
1,744 | 1,716,914 | ||||||||
Kabel Deutschland GmbH
|
||||||||||
Term Loan, 4.61%, Maturing June 15, 2018
|
EUR | 500 | 626,931 | |||||||
Lavena Holdings 4 GmbH
|
||||||||||
Term Loan, 4.20%, Maturing March 6, 2015
|
EUR | 521 | 525,321 | |||||||
Term Loan, 4.45%, Maturing March 4, 2016
|
EUR | 521 | 525,321 | |||||||
Term Loan, 8.83%, Maturing
March 6, 2017(7)
|
EUR | 209 | 121,578 | |||||||
Term Loan - Second Lien, 5.58%, Maturing
September 2, 2016
|
EUR | 271 | 211,163 | |||||||
MCC Iowa, LLC
|
||||||||||
Term Loan, 1.95%, Maturing January 30, 2015
|
796 | 734,859 | ||||||||
Mediacom Broadband, LLC
|
||||||||||
Term Loan, 4.50%, Maturing October 23, 2017
|
741 | 715,629 | ||||||||
Mediacom Illinois, LLC
|
||||||||||
Term Loan, 1.95%, Maturing January 30, 2015
|
1,881 | 1,713,448 | ||||||||
Term Loan, 5.50%, Maturing March 31, 2017
|
980 | 961,625 | ||||||||
Mediacom, LLC
|
||||||||||
Term Loan, 4.50%, Maturing October 23, 2017
|
395 | 384,137 | ||||||||
NDS Finance, Ltd.
|
||||||||||
Term Loan, 4.00%, Maturing March 12, 2018
|
697 | 669,511 | ||||||||
UPC Financing Partnership
|
||||||||||
Term Loan, 3.72%, Maturing December 30, 2016
|
379 | 360,980 | ||||||||
Term Loan, 5.10%, Maturing December 31, 2016
|
EUR | 726 | 884,375 | |||||||
Term Loan, 3.72%, Maturing December 29, 2017
|
1,037 | 993,177 | ||||||||
$ | 15,631,699 | |||||||||
Chemicals and Plastics 5.2%
|
||||||||||
Arizona Chemical, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing November 21, 2016
|
163 | $ | 160,118 | |||||||
Ashland, Inc.
|
||||||||||
Term Loan, 3.75%, Maturing August 23, 2018
|
950 | 944,402 | ||||||||
General Chemical Corp.
|
||||||||||
Term Loan, 5.00%, Maturing October 6, 2015
|
284 | 275,140 | ||||||||
Houghton International, Inc.
|
||||||||||
Term Loan, 6.75%, Maturing January 29, 2016
|
421 | 417,368 | ||||||||
Huntsman International, LLC
|
||||||||||
Term Loan, 1.77%, Maturing April 21, 2014
|
229 | 218,498 | ||||||||
Term Loan, 2.52%, Maturing June 30, 2016
|
855 | 802,019 | ||||||||
Term Loan, 2.80%, Maturing April 19, 2017
|
625 | 589,181 | ||||||||
Ineos US Finance, LLC
|
||||||||||
Term Loan, 7.50%, Maturing December 16, 2013
|
790 | 783,127 | ||||||||
Term Loan, 8.00%, Maturing December 16, 2014
|
791 | 783,608 | ||||||||
Momentive Specialty Chemicals, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing May 5, 2015
|
479 | 447,631 | ||||||||
Term Loan, 4.00%, Maturing May 5, 2015
|
725 | 683,096 | ||||||||
Term Loan, 4.13%, Maturing May 5, 2015
|
324 | 305,547 | ||||||||
Nalco Co.
|
||||||||||
Term Loan, 4.50%, Maturing October 5, 2017
|
693 | 692,351 | ||||||||
Norit NV
|
||||||||||
Term Loan, 7.50%, Maturing July 7, 2017
|
625 | 609,375 | ||||||||
OM Group, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing August 2, 2017
|
500 | 498,125 | ||||||||
Rockwood Specialties Group, Inc.
|
||||||||||
Term Loan, 3.75%, Maturing February 9, 2018
|
1,169 | 1,166,641 | ||||||||
Styron S.A.R.L.
|
||||||||||
Term Loan, 6.00%, Maturing August 2, 2017
|
1,687 | 1,537,928 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Univar, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing June 30, 2017
|
2,267 | $ | 2,126,896 | |||||||
$ | 13,041,051 | |||||||||
Clothing/Textiles 0.1%
|
||||||||||
Phillips-Van Heusen Corp.
|
||||||||||
Term Loan, 3.50%, Maturing May 6, 2016
|
273 | $ | 273,040 | |||||||
$ | 273,040 | |||||||||
Conglomerates 3.9%
|
||||||||||
Education Management, LLC
|
||||||||||
Term Loan, 2.13%, Maturing June 3, 2013
|
1,955 | $ | 1,830,281 | |||||||
Financiere SPIE S.A.S.
|
||||||||||
Term Loan, 6.11%, Maturing June 29, 2018
|
EUR | 1,000 | 1,256,015 | |||||||
Jason, Inc.
|
||||||||||
Term Loan, 8.25%, Maturing September 21, 2014
|
46 | 45,331 | ||||||||
Term Loan, 8.25%, Maturing September 21, 2014
|
115 | 114,882 | ||||||||
Rexnord Corp.
|
||||||||||
Term Loan, 2.50%, Maturing July 19, 2013
|
714 | 689,670 | ||||||||
Term Loan, 2.79%, Maturing July 19, 2013
|
1,683 | 1,631,022 | ||||||||
RGIS Holdings, LLC
|
||||||||||
Term Loan, 2.87%, Maturing April 30, 2014
|
93 | 88,335 | ||||||||
Term Loan, 2.87%, Maturing April 30, 2014
|
1,870 | 1,766,708 | ||||||||
Spectrum Brands, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing June 17, 2016
|
1,120 | 1,108,323 | ||||||||
Walter Energy, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing April 2, 2018
|
1,172 | 1,137,194 | ||||||||
$ | 9,667,761 | |||||||||
Containers and Glass Products 2.8%
|
||||||||||
Berry Plastics Corp.
|
||||||||||
Term Loan, 2.23%, Maturing April 3, 2015
|
955 | $ | 874,507 | |||||||
BWAY Corp.
|
||||||||||
Term Loan, 4.50%, Maturing February 23, 2018
|
75 | 71,889 | ||||||||
Term Loan, 4.50%, Maturing February 23, 2018
|
841 | 809,716 | ||||||||
Graphic Packaging International, Inc.
|
||||||||||
Term Loan, 2.99%, Maturing May 16, 2014
|
1,147 | 1,128,354 | ||||||||
Hilex Poly Co.
|
||||||||||
Term Loan, 11.25%, Maturing November 16, 2015
|
463 | 444,000 | ||||||||
Pelican Products, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing March 7, 2017
|
397 | 385,586 | ||||||||
Reynolds Group Holdings, Inc.
|
||||||||||
Term Loan, 6.50%, Maturing February 9, 2018
|
905 | 879,192 | ||||||||
Term Loan, 6.50%, Maturing August 9, 2018
|
2,425 | 2,353,261 | ||||||||
$ | 6,946,505 | |||||||||
Cosmetics/Toiletries 0.8%
|
||||||||||
Bausch & Lomb, Inc.
|
||||||||||
Term Loan, 3.49%, Maturing April 24, 2015
|
194 | $ | 187,084 | |||||||
Term Loan, 3.59%, Maturing April 24, 2015
|
794 | 767,608 | ||||||||
KIK Custom Products, Inc.
|
||||||||||
Term Loan - Second Lien, 5.26%, Maturing
November 28, 2014
|
525 | 337,969 | ||||||||
Prestige Brands, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing March 24, 2016
|
669 | 656,165 | ||||||||
$ | 1,948,826 | |||||||||
Drugs 1.5%
|
||||||||||
Aptalis Pharma, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing February 10, 2017
|
794 | $ | 710,630 | |||||||
Capsugel Healthcare, Ltd.
|
||||||||||
Term Loan, 5.25%, Maturing August 1, 2018
|
650 | 642,078 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Endo Pharmaceuticals Holdings, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing June 18, 2018
|
624 | $ | 622,151 | |||||||
Graceway Pharmaceuticals, LLC
|
||||||||||
Term Loan, 9.99%, Maturing
November 3, 2013(7)
|
175 | 742 | ||||||||
Term Loan - Second Lien, 0.00%, Maturing
May 3, 2013(4)
|
500 | 11,875 | ||||||||
Warner Chilcott Corp.
|
||||||||||
Term Loan, 4.25%, Maturing March 15, 2018
|
409 | 399,137 | ||||||||
Term Loan, 4.25%, Maturing March 15, 2018
|
819 | 798,274 | ||||||||
WC Luxco S.A.R.L.
|
||||||||||
Term Loan, 4.25%, Maturing March 15, 2018
|
563 | 548,814 | ||||||||
$ | 3,733,701 | |||||||||
Electronics/Electrical 7.6%
|
||||||||||
Aeroflex, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing May 9, 2018
|
349 | $ | 338,069 | |||||||
Aspect Software, Inc.
|
||||||||||
Term Loan, 6.25%, Maturing May 6, 2016
|
763 | 759,558 | ||||||||
Attachmate Corp.
|
||||||||||
Term Loan, 6.50%, Maturing April 27, 2017
|
475 | 458,821 | ||||||||
Cinedigm Digital Funding I, LLC
|
||||||||||
Term Loan, 5.25%, Maturing April 29, 2016
|
290 | 278,711 | ||||||||
CommScope, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing January 14, 2018
|
1,070 | 1,049,570 | ||||||||
Dealer Computer Services, Inc.
|
||||||||||
Term Loan, 3.75%, Maturing April 20, 2018
|
1,222 | 1,197,499 | ||||||||
DG FastChannel, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing July 26, 2018
|
823 | 818,823 | ||||||||
Eagle Parent, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing May 16, 2018
|
1,322 | 1,236,604 | ||||||||
Edwards (Cayman Island II), Ltd.
|
||||||||||
Term Loan, 5.50%, Maturing May 31, 2016
|
620 | 574,564 | ||||||||
FCI International S.A.S.
|
||||||||||
Term Loan, 3.62%, Maturing November 1, 2013
|
83 | 80,846 | ||||||||
Term Loan, 3.62%, Maturing November 1, 2013
|
83 | 80,846 | ||||||||
Term Loan, 3.62%, Maturing November 1, 2013
|
86 | 83,977 | ||||||||
Term Loan, 3.62%, Maturing November 1, 2013
|
86 | 83,977 | ||||||||
Freescale Semiconductor, Inc.
|
||||||||||
Term Loan, 4.47%, Maturing December 1, 2016
|
1,278 | 1,174,050 | ||||||||
Infor Enterprise Solutions Holdings
|
||||||||||
Term Loan, 5.74%, Maturing March 3, 2014
|
250 | 190,000 | ||||||||
Term Loan, 4.99%, Maturing July 28, 2015
|
481 | 431,459 | ||||||||
Term Loan, 5.99%, Maturing July 28, 2015
|
372 | 346,189 | ||||||||
Term Loan, 5.99%, Maturing July 28, 2015
|
713 | 663,886 | ||||||||
Term Loan - Second Lien, 6.49%, Maturing
March 3, 2014
|
92 | 72,159 | ||||||||
Term Loan - Second Lien, 6.49%, Maturing
March 3, 2014
|
158 | 122,906 | ||||||||
Network Solutions, LLC
|
||||||||||
Term Loan, 2.49%, Maturing March 7, 2014
|
893 | 888,194 | ||||||||
NXP B.V.
|
||||||||||
Term Loan, 4.50%, Maturing March 3, 2017
|
1,368 | 1,287,748 | ||||||||
Open Solutions, Inc.
|
||||||||||
Term Loan, 2.38%, Maturing January 23, 2014
|
1,146 | 952,787 | ||||||||
Sensata Technologies Finance Co., LLC
|
||||||||||
Term Loan, 4.00%, Maturing May 11, 2018
|
1,796 | 1,752,857 | ||||||||
Serena Software, Inc.
|
||||||||||
Term Loan, 4.34%, Maturing March 10, 2016
|
715 | 655,757 | ||||||||
Shield Finance Co. S.A.R.L.
|
||||||||||
Term Loan, 7.75%, Maturing June 15, 2016
|
409 | 400,881 | ||||||||
Ship US Bidco, Inc.
|
||||||||||
Term Loan, 6.01%, Maturing November 30, 2017
|
GBP | 500 | 747,538 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
SkillSoft Corp.
|
||||||||||
Term Loan, 6.50%, Maturing May 26, 2017
|
489 | $ | 481,244 | |||||||
SS&C Technologies, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing November 23, 2012
|
460 | 446,971 | ||||||||
Sunquest Information Systems, Inc.
|
||||||||||
Term Loan, 6.25%, Maturing December 16, 2016
|
374 | 367,516 | ||||||||
VeriFone, Inc.
|
||||||||||
Term Loan, 2.99%, Maturing October 31, 2013
|
357 | 356,813 | ||||||||
Vertafore, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing July 29, 2016
|
496 | 478,882 | ||||||||
$ | 18,859,702 | |||||||||
Equipment Leasing 0.7%
|
||||||||||
BakerCorp. International, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing June 1, 2018
|
425 | $ | 411,365 | |||||||
Delos Aircraft, Inc.
|
||||||||||
Term Loan, 7.00%, Maturing March 17, 2016
|
425 | 426,062 | ||||||||
International Lease Finance Corp.
|
||||||||||
Term Loan, 6.75%, Maturing March 17, 2015
|
1,000 | 1,003,333 | ||||||||
$ | 1,840,760 | |||||||||
Farming/Agriculture 0.3%
|
||||||||||
Earthbound Farm Holdings III, LLC
|
||||||||||
Term Loan, 5.50%, Maturing December 21, 2016
|
372 | $ | 362,883 | |||||||
WM. Bolthouse Farms, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing February 11, 2016
|
322 | 316,147 | ||||||||
$ | 679,030 | |||||||||
Financial Intermediaries 6.2%
|
||||||||||
AmWINS Group, Inc.
|
||||||||||
Term Loan - Second Lien, 5.86%, Maturing
June 8, 2014
|
500 | $ | 457,187 | |||||||
CB Richard Ellis Services, Inc.
|
||||||||||
Term Loan, 3.49%, Maturing March 5, 2018
|
346 | 332,136 | ||||||||
Term Loan, 3.73%, Maturing September 4, 2019
|
327 | 314,263 | ||||||||
Citco III, Ltd.
|
||||||||||
Term Loan, 6.25%, Maturing June 29, 2018
|
848 | 807,601 | ||||||||
Fifth Third Processing Solutions, LLC
|
||||||||||
Term Loan, 4.50%, Maturing November 3, 2016
|
621 | 602,133 | ||||||||
First Data Corp.
|
||||||||||
Term Loan, 2.98%, Maturing September 24, 2014
|
245 | 214,657 | ||||||||
Term Loan, 2.98%, Maturing September 24, 2014
|
992 | 870,418 | ||||||||
Term Loan, 2.98%, Maturing September 24, 2014
|
1,000 | 878,625 | ||||||||
Term Loan, 4.23%, Maturing March 23, 2018
|
1,020 | 842,207 | ||||||||
Grosvenor Capital Management Holdings, LLP
|
||||||||||
Term Loan, 4.25%, Maturing December 5, 2016
|
1,135 | 1,134,964 | ||||||||
HarbourVest Partners, LLC
|
||||||||||
Term Loan, 6.25%, Maturing December 14, 2016
|
573 | 570,542 | ||||||||
iPayment, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing May 8, 2017
|
481 | 467,448 | ||||||||
LPL Holdings, Inc.
|
||||||||||
Term Loan, 1.99%, Maturing June 28, 2013
|
432 | 426,926 | ||||||||
Term Loan, 4.25%, Maturing June 25, 2015
|
1,359 | 1,350,639 | ||||||||
Term Loan, 5.25%, Maturing June 28, 2017
|
1,028 | 1,029,382 | ||||||||
Mercury Payment Systems Canada, LLC
|
||||||||||
Term Loan, 6.50%, Maturing July 3, 2017
|
324 | 322,567 | ||||||||
Mondrian Investment Partners, Ltd.
|
||||||||||
Term Loan, 5.50%, Maturing July 12, 2018
|
635 | 620,490 | ||||||||
Nuveen Investments, Inc.
|
||||||||||
Term Loan, 3.32%, Maturing November 13, 2014
|
1,209 | 1,114,540 | ||||||||
Term Loan, 5.82%, Maturing May 12, 2017
|
1,412 | 1,315,696 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
RJO Holdings Corp.
|
||||||||||
Term Loan, 6.23%, Maturing
December 10, 2015(3)
|
4 | $ | 3,053 | |||||||
Term Loan, 6.23%, Maturing
December 10, 2015(3)
|
118 | 93,604 | ||||||||
RPI Finance Trust
|
||||||||||
Term Loan, 4.00%, Maturing May 9, 2018
|
1,771 | 1,757,283 | ||||||||
$ | 15,526,361 | |||||||||
Food Products 4.7%
|
||||||||||
Dean Foods Co.
|
||||||||||
Term Loan, 1.87%, Maturing April 2, 2014
|
1,292 | $ | 1,266,185 | |||||||
Del Monte Foods Co.
|
||||||||||
Term Loan, 4.50%, Maturing March 8, 2018
|
2,344 | 2,175,055 | ||||||||
Dole Food Company, Inc.
|
||||||||||
Term Loan, 5.05%, Maturing July 6, 2018
|
489 | 482,360 | ||||||||
JBS USA Holdings, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing May 25, 2018
|
499 | 478,800 | ||||||||
Michael Foods Group, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing February 23, 2018
|
336 | 324,814 | ||||||||
NBTY, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing October 2, 2017
|
1,015 | 985,259 | ||||||||
Pierre Foods, Inc.
|
||||||||||
Term Loan, 7.00%, Maturing September 30, 2016
|
619 | 606,375 | ||||||||
Pinnacle Foods Holdings Corp.
|
||||||||||
Term Loan, 2.72%, Maturing April 2, 2014
|
2,922 | 2,782,827 | ||||||||
Provimi Holding
|
||||||||||
Term Loan, 2.11%, Maturing June 28, 2015
|
120 | 118,626 | ||||||||
Term Loan, 2.11%, Maturing June 28, 2015
|
147 | 145,984 | ||||||||
Term Loan, 3.23%, Maturing June 28, 2015
|
EUR | 17 | 22,141 | |||||||
Term Loan, 3.23%, Maturing June 28, 2015
|
EUR | 155 | 205,563 | |||||||
Term Loan, 3.23%, Maturing June 28, 2015
|
EUR | 230 | 305,174 | |||||||
Term Loan, 3.23%, Maturing June 28, 2015
|
EUR | 251 | 333,974 | |||||||
Term Loan - Second Lien, 4.49%, Maturing
December 28, 2016
|
119 | 117,375 | ||||||||
Term Loan - Second Lien, 5.61%, Maturing
December 28, 2016
|
EUR | 19 | 25,653 | |||||||
Term Loan - Second Lien, 5.61%, Maturing
December 28, 2016
|
EUR | 265 | 351,336 | |||||||
Solvest, Ltd.
|
||||||||||
Term Loan, 5.06%, Maturing July 6, 2018
|
907 | 894,602 | ||||||||
$ | 11,622,103 | |||||||||
Food Service 5.6%
|
||||||||||
Aramark Corp.
|
||||||||||
Term Loan, 2.11%, Maturing January 27, 2014
|
88 | $ | 85,816 | |||||||
Term Loan, 2.24%, Maturing January 27, 2014
|
1,081 | 1,052,496 | ||||||||
Term Loan, 2.95%, Maturing January 27, 2014
|
GBP | 478 | 703,660 | |||||||
Term Loan, 3.49%, Maturing July 26, 2016
|
157 | 152,468 | ||||||||
Term Loan, 3.62%, Maturing July 26, 2016
|
2,386 | 2,318,371 | ||||||||
Buffets, Inc.
|
||||||||||
Term Loan, 14.00%, Maturing
April 21, 2015(7)
|
618 | 355,113 | ||||||||
Term Loan, 9.62%, Maturing
April 22, 2015(3)(7)
|
67 | 35,652 | ||||||||
Burger King Corp.
|
||||||||||
Term Loan, 4.50%, Maturing October 19, 2016
|
2,382 | 2,303,096 | ||||||||
Dennys, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing September 30, 2016
|
955 | 953,352 | ||||||||
DineEquity, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing October 19, 2017
|
791 | 770,107 | ||||||||
Dunkin Brands, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing November 23, 2017
|
1,365 | 1,323,617 | ||||||||
NPC International, Inc.
|
||||||||||
Term Loan, 2.00%, Maturing May 3, 2013
|
141 | 137,335 | ||||||||
OSI Restaurant Partners, LLC
|
||||||||||
Term Loan, 2.77%, Maturing June 14, 2013
|
236 | 220,101 | ||||||||
Term Loan, 2.56%, Maturing June 14, 2014
|
2,375 | 2,215,782 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
U.S. Foodservice, Inc.
|
||||||||||
Term Loan, 2.74%, Maturing July 3, 2014
|
1,003 | $ | 928,093 | |||||||
Wendys/Arbys Restaurants, LLC
|
||||||||||
Term Loan, 5.00%, Maturing May 24, 2017
|
399 | 397,873 | ||||||||
$ | 13,952,932 | |||||||||
Food/Drug Retailers 5.6%
|
||||||||||
Alliance Boots Holdings, Ltd.
|
||||||||||
Term Loan, 3.62%, Maturing July 9, 2015
|
GBP | 1,775 | $ | 2,418,980 | ||||||
General Nutrition Centers, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing March 2, 2018
|
2,100 | 2,037,876 | ||||||||
Pantry, Inc. (The)
|
||||||||||
Term Loan, 1.99%, Maturing May 15, 2014
|
116 | 113,274 | ||||||||
Term Loan, 1.99%, Maturing May 15, 2014
|
402 | 393,378 | ||||||||
Rite Aid Corp.
|
||||||||||
Term Loan, 1.98%, Maturing June 4, 2014
|
3,907 | 3,633,105 | ||||||||
Term Loan, 4.50%, Maturing March 2, 2018
|
1,069 | 994,270 | ||||||||
Roundys Supermarkets, Inc.
|
||||||||||
Term Loan, 7.00%, Maturing November 3, 2013
|
2,943 | 2,858,845 | ||||||||
Supervalu, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing April 28, 2018
|
1,642 | 1,521,012 | ||||||||
$ | 13,970,740 | |||||||||
Health Care 15.6%
|
||||||||||
1-800-Contacts, Inc.
|
||||||||||
Term Loan, 7.70%, Maturing March 4, 2015
|
450 | $ | 445,176 | |||||||
Alere, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing June 30, 2017
|
1,200 | 1,161,000 | ||||||||
Alliance Healthcare Services
|
||||||||||
Term Loan, 7.25%, Maturing June 1, 2016
|
534 | 487,257 | ||||||||
Ardent Medical Services, Inc.
|
||||||||||
Term Loan, 6.50%, Maturing September 18, 2015
|
350 | 339,500 | ||||||||
Aveta Holdings, LLC
|
||||||||||
Term Loan, 8.50%, Maturing April 14, 2015
|
255 | 249,999 | ||||||||
Term Loan, 8.50%, Maturing April 14, 2015
|
255 | 249,999 | ||||||||
Biomet, Inc.
|
||||||||||
Term Loan, 3.31%, Maturing March 25, 2015
|
2,934 | 2,816,964 | ||||||||
Carestream Health, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing February 25, 2017
|
771 | 648,999 | ||||||||
Carl Zeiss Vision Holding GmbH
|
||||||||||
Term Loan, 4.00%, Maturing
September 30, 2019(7)
|
66 | 56,177 | ||||||||
Catalent Pharma Solutions
|
||||||||||
Term Loan, 2.49%, Maturing April 10, 2014
|
1,272 | 1,179,003 | ||||||||
Community Health Systems, Inc.
|
||||||||||
Term Loan, 2.57%, Maturing July 25, 2014
|
163 | 152,775 | ||||||||
Term Loan, 2.57%, Maturing July 25, 2014
|
3,169 | 2,973,308 | ||||||||
Term Loan, 3.82%, Maturing January 25, 2017
|
1,590 | 1,465,836 | ||||||||
ConMed Corp.
|
||||||||||
Term Loan, 1.74%, Maturing April 12, 2013
|
240 | 234,873 | ||||||||
ConvaTec, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing December 22, 2016
|
347 | 333,046 | ||||||||
CRC Health Corp.
|
||||||||||
Term Loan, 4.87%, Maturing November 16, 2015
|
496 | 453,413 | ||||||||
DaVita, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing October 20, 2016
|
1,489 | 1,471,071 | ||||||||
DJO Finance, LLC
|
||||||||||
Term Loan, 3.24%, Maturing May 20, 2014
|
357 | 339,168 | ||||||||
Drumm Investors, LLC
|
||||||||||
Term Loan, 5.00%, Maturing May 4, 2018
|
999 | 891,982 | ||||||||
Emdeon Business Services, LLC
|
||||||||||
Term Loan, 2.24%, Maturing November 18, 2013
|
847 | 842,495 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Emergency Medical Services Corp.
|
||||||||||
Term Loan, 5.25%, Maturing May 25, 2018
|
748 | $ | 713,675 | |||||||
Grifols, Inc.
|
||||||||||
Term Loan, 6.00%, Maturing June 1, 2017
|
1,047 | 1,029,570 | ||||||||
Hanger Orthopedic Group, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing December 1, 2016
|
323 | 312,079 | ||||||||
HCA, Inc.
|
||||||||||
Term Loan, 3.62%, Maturing March 31, 2017
|
2,218 | 2,094,996 | ||||||||
Term Loan, 3.62%, Maturing May 1, 2018
|
925 | 871,500 | ||||||||
Health Management Associates, Inc.
|
||||||||||
Term Loan, 2.12%, Maturing February 28, 2014
|
2,365 | 2,232,287 | ||||||||
Iasis Healthcare, LLC
|
||||||||||
Term Loan, 5.00%, Maturing May 3, 2018
|
846 | 791,833 | ||||||||
Immucor, Inc.
|
||||||||||
Term Loan, 7.25%, Maturing August 17, 2018
|
350 | 346,063 | ||||||||
inVentiv Health, Inc.
|
||||||||||
Term Loan, 6.50%, Maturing August 4, 2016
|
917 | 885,026 | ||||||||
Term Loan, 6.75%, Maturing May 15, 2018
|
574 | 549,903 | ||||||||
Kindred Healthcare, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing June 1, 2018
|
923 | 858,099 | ||||||||
Lifepoint Hospitals, Inc.
|
||||||||||
Term Loan, 3.08%, Maturing April 15, 2015
|
1,086 | 1,063,912 | ||||||||
MedAssets, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing November 16, 2016
|
434 | 426,169 | ||||||||
Medpace, Inc.
|
||||||||||
Term Loan, 6.50%, Maturing June 22, 2017
|
424 | 404,860 | ||||||||
MultiPlan, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing August 26, 2017
|
1,274 | 1,203,170 | ||||||||
Physiotherapy Associates, Inc.
|
||||||||||
Term Loan, 7.50%, Maturing June 27, 2013
|
341 | 337,952 | ||||||||
Prime Healthcare Services, Inc.
|
||||||||||
Term Loan, 7.25%, Maturing April 22, 2015
|
1,157 | 1,111,080 | ||||||||
RadNet Management, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing April 1, 2016
|
1,042 | 1,005,289 | ||||||||
Renal Advantage Holdings, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing December 16, 2016
|
372 | 371,490 | ||||||||
Select Medical Corp.
|
||||||||||
Term Loan, 5.50%, Maturing May 25, 2018
|
1,521 | 1,384,281 | ||||||||
Sunrise Medical Holdings, Inc.
|
||||||||||
Term Loan, 6.75%, Maturing May 13, 2014
|
EUR | 120 | 149,297 | |||||||
TriZetto Group, Inc. (The)
|
||||||||||
Term Loan, 4.75%, Maturing May 2, 2018
|
748 | 716,018 | ||||||||
Universal Health Services, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing November 15, 2016
|
1,029 | 999,955 | ||||||||
Vanguard Health Holding Co., II, LLC
|
||||||||||
Term Loan, 5.00%, Maturing January 29, 2016
|
741 | 729,562 | ||||||||
VWR Funding, Inc.
|
||||||||||
Term Loan, 2.74%, Maturing June 30, 2014
|
1,476 | 1,385,069 | ||||||||
$ | 38,765,176 | |||||||||
Home Furnishings 1.2%
|
||||||||||
Hunter Fan Co.
|
||||||||||
Term Loan, 2.73%, Maturing April 16, 2014
|
191 | $ | 175,324 | |||||||
National Bedding Co., LLC
|
||||||||||
Term Loan, 3.88%, Maturing November 28, 2013
|
954 | 941,067 | ||||||||
Term Loan - Second Lien, 5.31%, Maturing
February 28, 2014
|
350 | 331,187 | ||||||||
Oreck Corp.
|
||||||||||
Term Loan - Second Lien, 3.85%, Maturing
March 19, 2016(3)
|
128 | 114,986 | ||||||||
Sofia III S.A.R.L.
|
||||||||||
Term Loan, 2.50%, Maturing June 24, 2016
|
EUR | 387 | 413,927 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Yankee Candle Company, Inc. (The)
|
||||||||||
Term Loan, 2.24%, Maturing February 6, 2014
|
1,184 | $ | 1,138,752 | |||||||
$ | 3,115,243 | |||||||||
Industrial Equipment 1.8%
|
||||||||||
Alliance Laundry Systems, LLC
|
||||||||||
Term Loan, 6.25%, Maturing September 30, 2016
|
446 | $ | 441,158 | |||||||
Butterfly Wendel US, Inc.
|
||||||||||
Term Loan, 3.44%, Maturing June 23, 2014
|
418 | 382,797 | ||||||||
Term Loan, 4.19%, Maturing June 22, 2015
|
571 | 522,303 | ||||||||
Generac CCMP Acquisition Corp.
|
||||||||||
Term Loan, 2.74%, Maturing November 11, 2013
|
471 | 459,114 | ||||||||
Husky Injection Molding System, Ltd.
|
||||||||||
Term Loan, Maturing
June 30, 2018(8)
|
500 | 486,459 | ||||||||
KION Group GmbH
|
||||||||||
Term Loan, 3.74%, Maturing
December 23, 2014(7)
|
253 | 187,310 | ||||||||
Term Loan, 3.99%, Maturing
December 23, 2015(7)
|
253 | 187,310 | ||||||||
Manitowoc Company, Inc. (The)
|
||||||||||
Term Loan, 4.25%, Maturing November 13, 2017
|
349 | 341,852 | ||||||||
Polypore, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing July 3, 2014
|
1,520 | 1,470,653 | ||||||||
$ | 4,478,956 | |||||||||
Insurance 3.3%
|
||||||||||
Applied Systems, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing December 8, 2016
|
695 | $ | 679,118 | |||||||
Asurion Corp.
|
||||||||||
Term Loan, 5.50%, Maturing May 24, 2018
|
2,841 | 2,693,322 | ||||||||
Term Loan - Second Lien, 9.00%, Maturing
May 24, 2019
|
550 | 527,828 | ||||||||
CCC Information Services Group, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing November 11, 2015
|
721 | 708,751 | ||||||||
CNO Financial Group, Inc.
|
||||||||||
Term Loan, 6.25%, Maturing September 30, 2016
|
521 | 518,522 | ||||||||
Crawford & Company
|
||||||||||
Term Loan, 5.00%, Maturing October 30, 2013
|
606 | 601,368 | ||||||||
HUB International Holdings, Inc.
|
||||||||||
Term Loan, 2.87%, Maturing June 13, 2014
|
179 | 165,897 | ||||||||
Term Loan, 2.87%, Maturing June 13, 2014
|
796 | 738,017 | ||||||||
Term Loan, 6.75%, Maturing June 13, 2014
|
270 | 264,447 | ||||||||
Sedgwick CMS Holdings, Inc.
|
||||||||||
Term Loan, Maturing
December 30, 2016(8)
|
500 | 475,625 | ||||||||
USI Holdings Corp.
|
||||||||||
Term Loan, 2.74%, Maturing May 5, 2014
|
910 | 863,575 | ||||||||
$ | 8,236,470 | |||||||||
Leisure Goods/Activities/Movies 7.6%
|
||||||||||
AMC Entertainment, Inc.
|
||||||||||
Term Loan, 3.50%, Maturing December 16, 2016
|
1,917 | $ | 1,831,608 | |||||||
AMC Networks, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing December 31, 2018
|
675 | 654,188 | ||||||||
Bombardier Recreational Products
|
||||||||||
Term Loan, 2.75%, Maturing June 28, 2013
|
975 | 932,766 | ||||||||
Bright Horizons Family Solutions, Inc.
|
||||||||||
Term Loan, 4.24%, Maturing May 28, 2015
|
457 | 441,106 | ||||||||
Carmike Cinemas, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing January 27, 2016
|
994 | 976,779 | ||||||||
Cedar Fair, L.P.
|
||||||||||
Term Loan, 4.00%, Maturing December 15, 2017
|
1,447 | 1,427,738 | ||||||||
Cinemark USA, Inc.
|
||||||||||
Term Loan, 3.51%, Maturing April 29, 2016
|
1,901 | 1,865,966 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Clubcorp Operations, Inc.
|
||||||||||
Term Loan, 6.00%, Maturing November 9, 2016
|
823 | $ | 795,829 | |||||||
Dave & Busters, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing May 12, 2016
|
494 | 482,641 | ||||||||
Deluxe Entertainment Services Group, Inc.
|
||||||||||
Term Loan, 6.25%, Maturing May 11, 2013
|
35 | 34,902 | ||||||||
Term Loan, 6.25%, Maturing May 11, 2013
|
503 | 495,602 | ||||||||
HIT Entertainment, Inc.
|
||||||||||
Term Loan, 5.51%, Maturing June 1, 2012
|
576 | 560,599 | ||||||||
Live Nation Entertainment, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing November 7, 2016
|
1,133 | 1,101,599 | ||||||||
National CineMedia, LLC
|
||||||||||
Term Loan, 1.84%, Maturing February 13, 2015
|
1,441 | 1,387,929 | ||||||||
Regal Cinemas Corp.
|
||||||||||
Term Loan, 3.37%, Maturing August 23, 2017
|
2,035 | 1,982,488 | ||||||||
Revolution Studios Distribution Co., LLC
|
||||||||||
Term Loan, 3.99%, Maturing December 21, 2014
|
504 | 373,038 | ||||||||
Term Loan - Second Lien, 7.24%, Maturing
June 21, 2015(3)
|
450 | 138,600 | ||||||||
SeaWorld Parks & Entertainment, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing August 17, 2017
|
838 | 815,837 | ||||||||
Six Flags Theme Parks, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing June 30, 2016
|
1,607 | 1,591,915 | ||||||||
Town Sports International, Inc.
|
||||||||||
Term Loan, 7.00%, Maturing May 4, 2018
|
517 | 500,318 | ||||||||
Zuffa, LLC
|
||||||||||
Term Loan, 2.25%, Maturing June 19, 2015
|
481 | 453,489 | ||||||||
$ | 18,844,937 | |||||||||
Lodging and Casinos 3.3%
|
||||||||||
Ameristar Casinos, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing April 13, 2018
|
522 | $ | 506,051 | |||||||
Caesars Entertainment Operating Co.
|
||||||||||
Term Loan, 3.25%, Maturing January 28, 2015
|
2,055 | 1,730,320 | ||||||||
Term Loan, 9.50%, Maturing October 31, 2016
|
983 | 974,640 | ||||||||
Gala Group, Ltd.
|
||||||||||
Term Loan, 5.69%, Maturing May 30, 2018
|
GBP | 825 | 1,042,529 | |||||||
Herbst Gaming, Inc.
|
||||||||||
Term Loan, 10.00%, Maturing December 31, 2015
|
409 | 411,387 | ||||||||
Isle of Capri Casinos, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing November 1, 2013
|
473 | 464,945 | ||||||||
Las Vegas Sands, LLC
|
||||||||||
Term Loan, 2.74%, Maturing November 23, 2016
|
292 | 273,532 | ||||||||
Term Loan, 2.74%, Maturing November 23, 2016
|
1,157 | 1,083,585 | ||||||||
LodgeNet Entertainment Corp.
|
||||||||||
Term Loan, 6.50%, Maturing April 4, 2014
|
591 | 510,882 | ||||||||
Penn National Gaming, Inc.
|
||||||||||
Term Loan, 3.75%, Maturing July 16, 2018
|
574 | 569,022 | ||||||||
Tropicana Entertainment, Inc.
|
||||||||||
Term Loan, 15.00%, Maturing March 8, 2013
|
130 | 142,736 | ||||||||
VML US Finance, LLC
|
||||||||||
Term Loan, 4.74%, Maturing May 25, 2012
|
195 | 194,520 | ||||||||
Term Loan, 4.74%, Maturing May 27, 2013
|
390 | 389,040 | ||||||||
$ | 8,293,189 | |||||||||
Nonferrous Metals/Minerals 1.5%
|
||||||||||
Fairmount Minerals, Ltd.
|
||||||||||
Term Loan, 5.25%, Maturing March 15, 2017
|
1,883 | $ | 1,857,356 | |||||||
Noranda Aluminum Acquisition
|
||||||||||
Term Loan, 1.99%, Maturing May 16, 2014
|
44 | 42,989 | ||||||||
Novelis, Inc.
|
||||||||||
Term Loan, 3.75%, Maturing March 10, 2017
|
1,365 | 1,337,394 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Oxbow Carbon and Mineral Holdings
|
||||||||||
Term Loan, 3.86%, Maturing May 8, 2016
|
519 | $ | 500,353 | |||||||
$ | 3,738,092 | |||||||||
Oil and Gas 2.8%
|
||||||||||
Big West Oil, LLC
|
||||||||||
Term Loan, 7.00%, Maturing March 31, 2016
|
237 | $ | 236,250 | |||||||
CITGO Petroleum Corp.
|
||||||||||
Term Loan, 8.00%, Maturing June 24, 2015
|
101 | 101,613 | ||||||||
Term Loan, 9.00%, Maturing June 23, 2017
|
1,259 | 1,292,113 | ||||||||
Frac Tech International, LLC
|
||||||||||
Term Loan, 6.25%, Maturing May 6, 2016
|
1,058 | 1,041,619 | ||||||||
Gibson Energy
|
||||||||||
Term Loan, 5.75%, Maturing June 14, 2018
|
1,047 | 1,022,500 | ||||||||
MEG Energy Corp.
|
||||||||||
Term Loan, 4.00%, Maturing March 16, 2018
|
625 | 613,438 | ||||||||
Obsidian Natural Gas Trust
|
||||||||||
Term Loan, 7.00%, Maturing November 2, 2015
|
1,940 | 1,949,507 | ||||||||
Sheridan Production Partners I, LLC
|
||||||||||
Term Loan, 6.50%, Maturing April 20, 2017
|
52 | 51,410 | ||||||||
Term Loan, 6.50%, Maturing April 20, 2017
|
86 | 84,168 | ||||||||
Term Loan, 6.50%, Maturing April 20, 2017
|
648 | 635,193 | ||||||||
$ | 7,027,811 | |||||||||
Publishing 5.7%
|
||||||||||
Ascend Learning
|
||||||||||
Term Loan, 7.01%, Maturing December 6, 2016
|
546 | $ | 527,225 | |||||||
Aster Zweite Beteiligungs GmbH
|
||||||||||
Term Loan, 4.80%, Maturing December 31, 2014
|
618 | 547,522 | ||||||||
Term Loan, 4.80%, Maturing December 30, 2016
|
500 | 442,916 | ||||||||
Term Loan, 4.80%, Maturing December 30, 2016
|
605 | 536,039 | ||||||||
Term Loan, 6.00%, Maturing December 30, 2016
|
EUR | 236 | 281,283 | |||||||
Term Loan, 6.00%, Maturing December 30, 2016
|
EUR | 264 | 314,236 | |||||||
GateHouse Media Operating, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing
August 28, 2014(3)
|
321 | 85,133 | ||||||||
Term Loan, 2.24%, Maturing
August 28, 2014(3)
|
717 | 189,912 | ||||||||
Term Loan, 2.49%, Maturing
August 28, 2014(3)
|
346 | 91,682 | ||||||||
Getty Images, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing November 7, 2016
|
1,471 | 1,465,517 | ||||||||
Instant Web, Inc.
|
||||||||||
Term Loan, 3.61%, Maturing August 7, 2014
|
84 | 76,715 | ||||||||
Term Loan, 3.61%, Maturing August 7, 2014
|
809 | 735,937 | ||||||||
Interactive Data Corp.
|
||||||||||
Term Loan, 4.50%, Maturing February 12, 2018
|
1,141 | 1,100,721 | ||||||||
Laureate Education, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing August 15, 2018
|
2,339 | 2,121,050 | ||||||||
MediaNews Group, Inc.
|
||||||||||
Term Loan, 8.50%, Maturing March 19, 2014
|
60 | 59,155 | ||||||||
Merrill Communications, LLC
|
||||||||||
Term Loan, 7.50%, Maturing December 24, 2012
|
645 | 612,654 | ||||||||
Nelson Education, Ltd.
|
||||||||||
Term Loan, 2.91%, Maturing July 3, 2014
|
231 | 181,993 | ||||||||
Nielsen Finance, LLC
|
||||||||||
Term Loan, 2.23%, Maturing August 9, 2013
|
2,062 | 2,006,591 | ||||||||
Term Loan, 3.48%, Maturing May 2, 2016
|
995 | 965,113 | ||||||||
Term Loan, 3.98%, Maturing May 2, 2016
|
978 | 948,272 | ||||||||
SGS International, Inc.
|
||||||||||
Term Loan, 3.74%, Maturing September 30, 2013
|
261 | 258,545 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Trader Media Corp., Ltd.
|
||||||||||
Term Loan, 5.68%, Maturing December 1, 2017
|
GBP | 500 | $ | 676,390 | ||||||
$ | 14,224,601 | |||||||||
Radio and Television 3.6%
|
||||||||||
Block Communications, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing December 21, 2012
|
424 | $ | 419,884 | |||||||
Clear Channel Communication
|
||||||||||
Term Loan, Maturing
January 28, 2016(8)
|
1,000 | 714,625 | ||||||||
Cumulus Media, Inc.
|
||||||||||
Term Loan, 5.75%, Maturing September 17, 2018
|
2,625 | 2,483,906 | ||||||||
Foxco Acquisition Sub, LLC
|
||||||||||
Term Loan, 4.75%, Maturing July 14, 2015
|
296 | 282,059 | ||||||||
Gray Television, Inc.
|
||||||||||
Term Loan, 3.73%, Maturing December 31, 2014
|
348 | 332,685 | ||||||||
Miramax Film NY, LLC
|
||||||||||
Term Loan, 7.75%, Maturing May 20, 2016
|
419 | 419,493 | ||||||||
Mission Broadcasting, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing September 30, 2016
|
260 | 255,410 | ||||||||
Nexstar Broadcasting, Inc.
|
||||||||||
Term Loan, 5.00%, Maturing September 30, 2016
|
407 | 399,494 | ||||||||
Raycom TV Broadcasting, LLC
|
||||||||||
Term Loan, 4.50%, Maturing May 31, 2017
|
449 | 426,431 | ||||||||
Tyrol Acquisition 2 SAS
|
||||||||||
Term Loan, 5.36%, Maturing January 29, 2016
|
EUR | 500 | 532,550 | |||||||
Term Loan, 5.36%, Maturing January 29, 2016
|
EUR | 500 | 532,551 | |||||||
Univision Communications, Inc.
|
||||||||||
Term Loan, 2.24%, Maturing September 29, 2014
|
743 | 671,509 | ||||||||
Term Loan, 4.49%, Maturing March 31, 2017
|
1,743 | 1,485,202 | ||||||||
$ | 8,955,799 | |||||||||
Retailers (Except Food and Drug) 5.4%
|
||||||||||
Amscan Holdings, Inc.
|
||||||||||
Term Loan, 6.75%, Maturing December 4, 2017
|
1,767 | $ | 1,733,563 | |||||||
BJs Wholesale Club, Inc.
|
||||||||||
Term Loan, Maturing
September 27, 2018(8)
|
975 | 944,009 | ||||||||
FTD, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing June 6, 2018
|
648 | 635,408 | ||||||||
Harbor Freight Tools USA, Inc.
|
||||||||||
Term Loan, 6.50%, Maturing December 22, 2017
|
911 | 901,213 | ||||||||
J. Crew Operating Corp.
|
||||||||||
Term Loan, 4.75%, Maturing March 7, 2018
|
873 | 781,167 | ||||||||
Jo-Ann Stores, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing March 16, 2018
|
1,423 | 1,326,656 | ||||||||
Michaels Stores, Inc.
|
||||||||||
Term Loan, 2.55%, Maturing October 31, 2013
|
1,574 | 1,509,099 | ||||||||
Neiman Marcus Group, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing May 16, 2018
|
1,550 | 1,440,854 | ||||||||
PETCO Animal Supplies, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing November 24, 2017
|
619 | 587,168 | ||||||||
Pilot Travel Centers, LLC
|
||||||||||
Term Loan, 4.25%, Maturing March 30, 2018
|
902 | 893,232 | ||||||||
Savers, Inc.
|
||||||||||
Term Loan, 4.25%, Maturing March 3, 2017
|
622 | 614,102 | ||||||||
Service Master Co.
|
||||||||||
Term Loan, 2.74%, Maturing July 24, 2014
|
45 | 42,081 | ||||||||
Term Loan, 2.74%, Maturing July 24, 2014
|
450 | 422,566 | ||||||||
Visant Holding Corp.
|
||||||||||
Term Loan, 5.25%, Maturing December 22, 2016
|
695 | 639,170 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Vivarte
|
||||||||||
Term Loan - Second Lien, 4.84%, Maturing
September 8, 2016
|
EUR | 13 | $ | 11,555 | ||||||
Term Loan - Second Lien, 4.84%, Maturing
September 8, 2016
|
EUR | 88 | 80,887 | |||||||
Term Loan - Second Lien, 4.84%, Maturing
September 8, 2016
|
EUR | 900 | 831,985 | |||||||
$ | 13,394,715 | |||||||||
Steel 0.5%
|
||||||||||
JMC Steel Group, Inc.
|
||||||||||
Term Loan, 4.75%, Maturing April 3, 2017
|
348 | $ | 337,585 | |||||||
Niagara Corp.
|
||||||||||
Term Loan, 10.50%, Maturing
June 29, 2014(3)(7)
|
368 | 345,222 | ||||||||
SunCoke Energy, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing July 26, 2018
|
499 | 495,009 | ||||||||
$ | 1,177,816 | |||||||||
Surface Transport 1.1%
|
||||||||||
Hertz Corp.
|
||||||||||
Term Loan, 3.75%, Maturing March 9, 2018
|
1,791 | $ | 1,703,316 | |||||||
Swift Transportation Co., Inc.
|
||||||||||
Term Loan, 6.00%, Maturing December 21, 2016
|
1,048 | 1,021,715 | ||||||||
$ | 2,725,031 | |||||||||
Telecommunications 6.0%
|
||||||||||
Alaska Communications Systems Holdings, Inc.
|
||||||||||
Term Loan, 5.50%, Maturing October 21, 2016
|
918 | $ | 883,061 | |||||||
Cellular South, Inc.
|
||||||||||
Term Loan, 4.50%, Maturing July 27, 2017
|
424 | 413,339 | ||||||||
Intelsat Jackson Holdings SA
|
||||||||||
Term Loan, 5.25%, Maturing April 2, 2018
|
5,187 | 5,006,534 | ||||||||
Macquarie UK Broadcast, Ltd.
|
||||||||||
Term Loan, 2.94%, Maturing December 1, 2014
|
GBP | 414 | 529,352 | |||||||
MetroPCS Wireless
|
||||||||||
Term Loan, 4.00%, Maturing March 16, 2018
|
3,057 | 2,944,969 | ||||||||
NTelos, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing August 7, 2015
|
1,474 | 1,438,111 | ||||||||
SBA Finance
|
||||||||||
Term Loan, 3.75%, Maturing June 29, 2018
|
474 | 464,928 | ||||||||
Syniverse Technologies, Inc.
|
||||||||||
Term Loan, 5.25%, Maturing December 21, 2017
|
744 | 735,381 | ||||||||
Telesat Canada, Inc.
|
||||||||||
Term Loan, 3.24%, Maturing October 31, 2014
|
151 | 146,605 | ||||||||
Term Loan, 3.24%, Maturing October 31, 2014
|
1,754 | 1,706,737 | ||||||||
Windstream Corp.
|
||||||||||
Term Loan, 3.00%, Maturing December 17, 2015
|
624 | 618,560 | ||||||||
$ | 14,887,577 | |||||||||
Utilities 3.6%
|
||||||||||
AES Corp.
|
||||||||||
Term Loan, 4.25%, Maturing June 1, 2018
|
1,294 | $ | 1,267,227 | |||||||
Calpine Corp.
|
||||||||||
Term Loan, 4.50%, Maturing April 2, 2018
|
474 | 449,648 | ||||||||
Term Loan, 4.50%, Maturing April 2, 2018
|
2,413 | 2,288,009 | ||||||||
Dynegy Holdings, Inc.
|
||||||||||
Term Loan, 9.25%, Maturing August 4, 2016
|
250 | 243,958 | ||||||||
Term Loan, 9.25%, Maturing August 4, 2016
|
475 | 468,988 | ||||||||
EquiPower Resources Holdings, LLC
|
||||||||||
Term Loan, 5.75%, Maturing January 26, 2018
|
265 | 259,374 | ||||||||
NRG Energy, Inc.
|
||||||||||
Term Loan, 4.00%, Maturing July 2, 2018
|
2,244 | 2,195,279 |
Principal |
||||||||||
Amount* |
||||||||||
Borrower/Tranche Description | (000s omitted) | Value | ||||||||
Texas Competitive Electric Holdings Co., LLC
|
||||||||||
Term Loan, 4.75%, Maturing October 10, 2017
|
2,601 | $ | 1,751,578 | |||||||
$ | 8,924,061 | |||||||||
Total Senior Floating-Rate Interests
(identified cost $359,419,540) |
$ | 343,675,071 | ||||||||
Principal |
||||||||||
Amount* |
||||||||||
Security | (000s omitted) | Value | ||||||||
Automotive 0.0%(2)
|
||||||||||
American Axle & Manufacturing Holdings, Inc., Sr.
Notes
|
||||||||||
9.25%, 1/15/17(9)
|
77 | $ | 80,465 | |||||||
$ | 80,465 | |||||||||
Broadcast Radio and Television 0.6%
|
||||||||||
Entravision Communications Corp., Sr. Notes
|
||||||||||
8.75%, 8/1/17(9)
|
1,000 | $ | 942,500 | |||||||
LBI Media, Inc., Sr. Disc. Notes
|
||||||||||
11.00%, 10/15/13
|
15 | 13,425 | ||||||||
XM Satellite Radio Holdings, Inc.
|
||||||||||
13.00%, 8/1/14(9)
|
485 | 545,625 | ||||||||
$ | 1,501,550 | |||||||||
Building and Development 0.3%
|
||||||||||
AMO Escrow Corp., Sr. Notes
|
||||||||||
11.50%, 12/15/17(9)
|
925 | $ | 841,750 | |||||||
$ | 841,750 | |||||||||
Business Equipment and Services 0.4%
|
||||||||||
SunGard Data Systems, Inc., Sr. Notes
|
||||||||||
10.625%, 5/15/15
|
900 | $ | 942,750 | |||||||
Ticketmaster Entertainment, Inc.
|
||||||||||
10.75%, 8/1/16
|
20 | 21,100 | ||||||||
$ | 963,850 | |||||||||
Chemicals and Plastics 0.1%
|
||||||||||
INEOS Group Holdings PLC, Sr. Sub. Notes
|
||||||||||
8.50%, 2/15/16(9)
|
180 | $ | 134,100 | |||||||
$ | 134,100 | |||||||||
Conglomerates 0.1%
|
||||||||||
Education Management, LLC, Sr. Notes
|
||||||||||
8.75%, 6/1/14
|
210 | $ | 205,800 | |||||||
RBS Global & Rexnord Corp.
|
||||||||||
11.75%, 8/1/16
|
90 | 92,250 | ||||||||
$ | 298,050 | |||||||||
Containers and Glass Products 0.2%
|
||||||||||
Berry Plastics Corp., Sr. Notes, Variable Rate
|
||||||||||
4.999%, 2/15/15
|
500 | $ | 465,000 | |||||||
$ | 465,000 | |||||||||
Cosmetics/Toiletries 0.1%
|
||||||||||
Revlon Consumer Products Corp.
|
||||||||||
9.75%, 11/15/15(9)
|
165 | $ | 173,663 | |||||||
$ | 173,663 | |||||||||
Principal |
||||||||||
Amount* |
||||||||||
Security | (000s omitted) | Value | ||||||||
Electronics/Electrical 0.1%
|
||||||||||
NXP BV/NXP Funding, LLC, Variable Rate
|
||||||||||
2.999%, 10/15/13
|
370 | $ | 359,362 | |||||||
$ | 359,362 | |||||||||
Equipment Leasing 0.5%
|
||||||||||
International Lease Finance Corp., Sr. Notes, MTN
|
||||||||||
5.65%, 6/1/14
|
1,000 | $ | 932,500 | |||||||
6.75%, 9/1/16(9)
|
175 | 176,313 | ||||||||
7.125%, 9/1/18(9)
|
175 | 176,531 | ||||||||
$ | 1,285,344 | |||||||||
Financial Intermediaries 0.7%
|
||||||||||
First Data Corp., Sr. Notes
|
||||||||||
7.375%, 6/15/19(9)
|
500 | $ | 446,250 | |||||||
Ford Motor Credit Co., LLC, Sr. Notes
|
||||||||||
8.00%, 12/15/16
|
125 | 136,801 | ||||||||
UPCB Finance II, Ltd., Sr. Notes
|
||||||||||
6.375%, 7/1/20(9)
|
EUR | 500 | 579,442 | |||||||
UPCB Finance III, Ltd., Sr. Notes
|
||||||||||
6.625%, 7/1/20(9)
|
600 | 567,000 | ||||||||
$ | 1,729,493 | |||||||||
Food Service 0.1%
|
||||||||||
NPC International, Inc., Sr. Sub. Notes
|
||||||||||
9.50%, 5/1/14
|
135 | $ | 133,313 | |||||||
$ | 133,313 | |||||||||
Forest
Products 0.0%(2)
|
||||||||||
Verso Paper Holdings, LLC/Verso Paper, Inc.
|
||||||||||
11.375%, 8/1/16
|
80 | $ | 58,400 | |||||||
$ | 58,400 | |||||||||
Health Care 0.1%
|
||||||||||
Biomet, Inc.
|
||||||||||
10.375%, 10/15/17(7)
|
55 | $ | 56,650 | |||||||
11.625%, 10/15/17
|
280 | 291,900 | ||||||||
DJO Finance, LLC/DJO Finance Corp.
|
||||||||||
10.875%, 11/15/14
|
7 | 7,000 | ||||||||
$ | 355,550 | |||||||||
Industrial Equipment 0.5%
|
||||||||||
Chart Industries, Inc., Sr. Sub. Notes
|
||||||||||
9.125%, 10/15/15
|
105 | $ | 108,194 | |||||||
Terex Corp., Sr. Notes
|
||||||||||
10.875%, 6/1/16
|
1,000 | 1,065,000 | ||||||||
$ | 1,173,194 | |||||||||
Insurance 0.1%
|
||||||||||
Alliant Holdings I, Inc.
|
||||||||||
11.00%, 5/1/15(9)
|
25 | $ | 25,563 | |||||||
HUB International Holdings, Inc., Sr. Notes
|
||||||||||
9.00%, 12/15/14(9)
|
70 | 67,550 | ||||||||
USI Holdings Corp., Sr. Notes, Variable Rate
|
||||||||||
4.161%, 11/15/14(9)
|
35 | 30,625 | ||||||||
$ | 123,738 | |||||||||
Principal |
||||||||||
Amount* |
||||||||||
Security | (000s omitted) | Value | ||||||||
Leisure Goods/Activities/Movies 0.1%
|
||||||||||
AMC Entertainment, Inc., Sr. Notes
|
||||||||||
8.75%, 6/1/19
|
60 | $ | 59,250 | |||||||
Royal Caribbean Cruises, Sr. Notes
|
||||||||||
7.00%, 6/15/13
|
50 | 51,125 | ||||||||
6.875%, 12/1/13
|
20 | 20,250 | ||||||||
7.25%, 6/15/16
|
10 | 10,175 | ||||||||
7.25%, 3/15/18
|
20 | 20,300 | ||||||||
$ | 161,100 | |||||||||
Lodging and Casinos 0.7%
|
||||||||||
Buffalo Thunder Development Authority
|
||||||||||
9.375%, 12/15/49(4)(9)
|
265 | $ | 97,388 | |||||||
CCM Merger, Inc.
|
||||||||||
8.00%, 8/1/13(9)
|
30 | 28,500 | ||||||||
Inn of the Mountain Gods Resort & Casino, Sr. Notes
|
||||||||||
1.25%, 11/30/20(7)(9)
|
173 | 95,952 | ||||||||
8.75%, 11/30/20(9)
|
74 | 71,410 | ||||||||
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
|
||||||||||
8.00%, 4/1/12
|
85 | 56,525 | ||||||||
7.125%, 8/15/14
|
120 | 60,600 | ||||||||
6.875%, 2/15/15
|
115 | 55,775 | ||||||||
Peninsula Gaming, LLC
|
||||||||||
10.75%, 8/15/17
|
1,000 | 970,000 | ||||||||
Tunica-Biloxi Gaming Authority, Sr. Notes
|
||||||||||
9.00%, 11/15/15(9)
|
165 | 165,928 | ||||||||
Waterford Gaming, LLC, Sr. Notes
|
||||||||||
8.625%, 9/15/14(3)(9)
|
112 | 72,128 | ||||||||
$ | 1,674,206 | |||||||||
Nonferrous Metals/Minerals 0.1%
|
||||||||||
Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance
Corp.
|
||||||||||
8.50%, 12/15/19
|
330 | $ | 344,850 | |||||||
$ | 344,850 | |||||||||
Oil and Gas 0.1%
|
||||||||||
Petroleum Development Corp., Sr. Notes
|
||||||||||
12.00%, 2/15/18
|
65 | $ | 69,875 | |||||||
Petroplus Finance, Ltd.
|
||||||||||
7.00%, 5/1/17(9)
|
85 | 69,275 | ||||||||
Quicksilver Resources, Inc., Sr. Notes
|
||||||||||
11.75%, 1/1/16
|
65 | 70,525 | ||||||||
SESI, LLC, Sr. Notes
|
||||||||||
6.875%, 6/1/14
|
30 | 30,225 | ||||||||
$ | 239,900 | |||||||||
Publishing 0.7%
|
||||||||||
Laureate Education, Inc.
|
||||||||||
10.00%, 8/15/15(9)
|
1,045 | $ | 1,029,325 | |||||||
10.25%, 8/15/15(7)(9)
|
626 | 619,626 | ||||||||
11.75%, 8/15/17(9)
|
45 | 46,350 | ||||||||
$ | 1,695,301 | |||||||||
Rail
Industries 0.0%(2)
|
||||||||||
American Railcar Industry, Sr. Notes
|
||||||||||
7.50%, 3/1/14
|
100 | $ | 98,500 | |||||||
$ | 98,500 | |||||||||
Principal |
||||||||||
Amount* |
||||||||||
Security | (000s omitted) | Value | ||||||||
Retailers (Except Food and Drug) 0.9%
|
||||||||||
Amscan Holdings, Inc., Sr. Sub. Notes
|
||||||||||
8.75%, 5/1/14
|
220 | $ | 217,250 | |||||||
Sally Holdings, LLC, Sr. Notes
|
||||||||||
9.25%, 11/15/14
|
665 | 681,625 | ||||||||
10.50%, 11/15/16
|
235 | 243,812 | ||||||||
Toys R Us
|
||||||||||
10.75%, 7/15/17
|
1,000 | 1,062,500 | ||||||||
$ | 2,205,187 | |||||||||
Steel 0.0%(2)
|
||||||||||
RathGibson, Inc., Sr. Notes
|
||||||||||
11.25%, 2/15/14(3)(4)
|
240 | $ | 24 | |||||||
$ | 24 | |||||||||
Surface
Transport 0.0%(2)
|
||||||||||
CEVA Group PLC, Sr. Notes
|
||||||||||
11.50%, 4/1/18(9)
|
95 | $ | 87,875 | |||||||
Hertz Corp.
|
||||||||||
8.875%, 1/1/14
|
2 | 2,010 | ||||||||
$ | 89,885 | |||||||||
Telecommunications 0.1%
|
||||||||||
Intelsat Bermuda, Ltd.
|
||||||||||
11.25%, 6/15/16
|
205 | $ | 209,612 | |||||||
$ | 209,612 | |||||||||
Utilities 1.6%
|
||||||||||
Calpine Corp., Sr. Notes
|
||||||||||
7.50%, 2/15/21(9)
|
2,375 | $ | 2,280,000 | |||||||
7.875%, 1/15/23(9)
|
1,700 | 1,649,000 | ||||||||
NGC Corp.
|
||||||||||
7.625%, 10/15/26
|
205 | 115,825 | ||||||||
Reliant Energy, Inc., Sr. Notes
|
||||||||||
7.625%, 6/15/14
|
10 | 9,825 | ||||||||
$ | 4,054,650 | |||||||||
Total Corporate Bonds & Notes
(identified cost $21,367,689) |
$ | 20,450,037 | ||||||||
Principal |
||||||||||
Amount |
||||||||||
Security | (000s omitted) | Value | ||||||||
Alzette European CLO SA,
Series 2004-1A,
Class E2,
6.847%, 12/15/20(10)
|
$ | 266 | $ | 211,931 | ||||||
Avalon Capital Ltd. 3, Series 1A, Class D,
2.258%, 2/24/19(9)(10)
|
295 | 200,112 | ||||||||
Babson Ltd.,
Series 2005-1A,
Class C1,
2.199%, 4/15/19(9)(10)
|
376 | 226,732 | ||||||||
Bryant Park CDO Ltd.,
Series 2005-1A,
Class C,
2.299%, 1/15/19(9)(10)
|
500 | 392,500 | ||||||||
Carlyle High Yield Partners,
Series 2004-6A,
Class C,
2.728%, 8/11/16(9)(10)
|
500 | 351,961 | ||||||||
Centurion CDO 8 Ltd.,
Series 2005-8A,
Class D,
5.836%, 3/8/17(10)
|
492 | 323,587 | ||||||||
Centurion CDO 9 Ltd.,
Series 2005-9A,
Class D1,
5.00%, 7/17/19(10)
|
500 | 314,243 | ||||||||
Madison Park Funding Ltd.,
Series 2006-2A,
Class D,
5.108%, 3/25/20(9)(10)
|
1,000 | 685,599 | ||||||||
Schiller Park CLO Ltd.,
Series 2007-1A,
Class D,
2.503%, 4/25/21(9)(10)
|
1,000 | 616,658 | ||||||||
Total Asset-Backed Securities
(identified cost $4,900,279) |
$ | 3,323,323 | ||||||||
Security | Shares | Value | ||||||||
Automotive 0.3%
|
||||||||||
Dayco Products,
LLC(11)(12)
|
10,159 | $ | 429,218 | |||||||
Hayes Lemmerz International,
Inc.(3)(11)(12)
|
8,949 | 456,399 | ||||||||
$ | 885,617 | |||||||||
Building and Development 0.1%
|
||||||||||
Panolam Holdings
Co.(3)(11)(13)
|
131 | $ | 111,879 | |||||||
United Subcontractors,
Inc.(3)(11)(12)
|
277 | 21,257 | ||||||||
$ | 133,136 | |||||||||
Diversified
Manufacturing 0.0%(2)
|
||||||||||
MEGA Brands,
Inc.(11)
|
8,320 | $ | 68,527 | |||||||
$ | 68,527 | |||||||||
Financial
Intermediaries 0.0%(2)
|
||||||||||
RTS Investor
Corp.(3)(11)(12)
|
41 | $ | 9,042 | |||||||
$ | 9,042 | |||||||||
Food Service 0.0%
|
||||||||||
Buffets,
Inc.(3)(11)
|
12,234 | $ | 0 | |||||||
$ | 0 | |||||||||
Home Furnishings 0.1%
|
||||||||||
Oreck
Corp.(3)(11)(12)
|
2,275 | $ | 155,997 | |||||||
Sanitec Europe Oy B
Units(11)(12)
|
26,249 | 140,668 | ||||||||
Sanitec Europe Oy E
Units(3)(11)(12)
|
25,787 | 0 | ||||||||
$ | 296,665 | |||||||||
Leisure Goods/Activities/Movies 0.2%
|
||||||||||
Metro-Goldwyn-Mayer
Holdings,
Inc.(11)(12)
|
22,424 | $ | 409,238 | |||||||
$ | 409,238 | |||||||||
Lodging and Casinos 0.2%
|
||||||||||
Greektown Superholdings,
Inc.(11)
|
45 | $ | 3,105 | |||||||
Herbst Gaming,
Inc.(3)(11)(12)
|
23,498 | 119,606 | ||||||||
Shreveport Gaming Holdings,
Inc.(3)(11)
|
289 | 84 | ||||||||
Tropicana Entertainment,
Inc.(11)(12)
|
25,430 | 356,020 | ||||||||
$ | 478,815 | |||||||||
Nonferrous Metals/Minerals 0.1%
|
||||||||||
Euramax International,
Inc.(11)(12)
|
468 | $ | 137,328 | |||||||
$ | 137,328 | |||||||||
Oil and
Gas 0.0%(2)
|
||||||||||
SemGroup
Corp.(11)
|
750 | $ | 14,970 | |||||||
$ | 14,970 | |||||||||
Publishing 0.7%
|
||||||||||
Ion Media Networks,
Inc.(3)(11)(12)
|
2,155 | $ | 1,724,000 | |||||||
MediaNews Group,
Inc.(3)(11)(12)
|
5,771 | 109,364 | ||||||||
SuperMedia,
Inc.(11)
|
3,353 | 5,197 | ||||||||
$ | 1,838,561 | |||||||||
Steel 0.2%
|
||||||||||
KNIA Holdings,
Inc.(3)(11)(12)
|
6,269 | $ | 84,441 | |||||||
RathGibson Acquisition Co.,
LLC(3)(11)(13)
|
10,700 | 317,362 | ||||||||
$ | 401,803 | |||||||||
Total Common Stocks
(identified cost $2,586,803) |
$ | 4,673,702 | ||||||||
Security | Shares | Value | ||||||||
Oil and
Gas 0.0%(2)
|
||||||||||
SemGroup Corp., Expires
11/30/14(11)
|
789 | $ | 3,235 | |||||||
$ | 3,235 | |||||||||
Publishing 0.0%
|
||||||||||
Readers Digest Association, Inc. (The), Expires
2/14/19(3)(11)(12)
|
781 | $ | 0 | |||||||
$ | 0 | |||||||||
Retailers (Except Food and Drug) 0.0%
|
||||||||||
Oriental Trading Co., Inc., Expires
2/11/16(3)(11)(12)
|
3,817 | $ | 0 | |||||||
Oriental Trading Co., Inc., Expires
2/11/16(3)(11)(12)
|
4,188 | 0 | ||||||||
$ | 0 | |||||||||
Total Warrants
(identified cost $8) |
$ | 3,235 | ||||||||
Security | Shares | Value | ||||||||
Business Equipment and
Services 0.0%(2)
|
||||||||||
NCS Acquisition Corp., Escrow
Certificate(11)
|
20,000 | $ | 1,379 | |||||||
$ | 1,379 | |||||||||
Cable and Satellite
Television 0.0%(2)
|
||||||||||
Adelphia Recovery
Trust(11)
|
261,268 | $ | 1,568 | |||||||
Adelphia, Inc., Escrow
Certificate(11)
|
270,000 | 769 | ||||||||
$ | 2,337 | |||||||||
Total Miscellaneous
(identified cost $251,158) |
$ | 3,716 | ||||||||
Interest/ |
||||||||||
Principal |
||||||||||
Amount |
||||||||||
Description | (000s omitted) | Value | ||||||||
Eaton Vance Cash Reserves Fund, LLC,
0.08%(14)
|
$ | 16,426 | $ | 16,426,445 | ||||||
State Street Bank and Trust Euro Time Deposit,
0.01%, 10/3/11
|
6,313 | 6,312,863 | ||||||||
Total Short-Term Investments
(identified cost $22,739,308) |
$ | 22,739,308 | ||||||||
Total Investments 158.5%
(identified cost $411,264,785) |
$ | 394,868,392 | ||||||||
Less Unfunded Loan Commitments
(0.0)%(2)
|
$ | (61,125 | ) | |||||||
Net Investments 158.5%
(identified cost $411,203,660) |
$ | 394,807,267 | ||||||||
Other Assets, Less Liabilities (14.3)%
|
$ | (35,697,687 | ) | |||||||
Auction Preferred Shares Plus Cumulative Unpaid
Dividends (44.2)%
|
$ | (110,000,453 | ) | |||||||
Net Assets Applicable to Common Shares 100.0%
|
$ | 249,109,127 | ||||||||
EUR
|
- | Euro | ||||
GBP
|
- | British Pound Sterling | ||||
*
|
In U.S. dollars unless otherwise indicated. | |||||
(1)
|
Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their 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, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (LIBOR) and secondarily, the prime rate offered by one or more major United States banks (the Prime Rate) and the certificate of deposit (CD) rate or other base lending rates used by commercial lenders. | |||||
(2)
|
Amount is less than 0.05%. | |||||
(3)
|
Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. | |||||
(4)
|
Currently the issuer is in default with respect to interest payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. | |||||
(5)
|
Defaulted matured security. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. | |||||
(6)
|
Unfunded or partially unfunded loan commitments. The Trust may enter into certain credit agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the borrowers discretion. | |||||
(7)
|
Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares. | |||||
(8)
|
This Senior Loan will settle after September 30, 2011, at which time the interest rate will be determined. | |||||
(9)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At September 30, 2011, the aggregate value of these securities is $13,573,696 or 5.4% of the Trusts net assets applicable to common shares. | |||||
(10)
|
Variable rate security. The stated interest rate represents the rate in effect at September 30, 2011. | |||||
(11)
|
Non-income producing security. | |||||
(12)
|
Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. | |||||
(13)
|
Restricted security. | |||||
(14)
|
Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2011 was $3,179. |
Net Unrealized |
||||||||||
Settlement |
Appreciation |
|||||||||
Date
|
Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||
10/31/11
|
Euro 4,967,245 |
United States Dollar 7,114,958 |
Deutsche Bank | $ | 461,433 | |||||
10/31/11
|
British Pound Sterling 719,468 |
United States Dollar 1,174,903 |
JPMorgan Chase Bank | 53,264 | ||||||
11/30/11
|
Euro 4,661,478 |
United States Dollar 6,743,434 |
Citigroup Global Markets | 500,173 | ||||||
11/30/11
|
British Pound Sterling 2,968,552 |
United States Dollar 4,846,088 |
JPMorgan Chase Bank | 219,470 | ||||||
12/30/11
|
Euro 799,599 |
United States Dollar 1,083,345 |
HSBC Bank USA | 12,434 | ||||||
12/30/11
|
British Pound Sterling 341,502 |
United States Dollar 531,836 |
Goldman Sachs, Inc. | (256 | ) | |||||
$ | 1,246,518 | |||||||||
Aggregate cost
|
$ | 411,227,724 | ||
Gross unrealized appreciation
|
$ | 3,663,843 | ||
Gross unrealized depreciation
|
(20,084,300 | ) | ||
Net unrealized depreciation
|
$ | (16,420,457 | ) | |
Date of |
||||||||||||||||
Description | Acquisition | Shares | Cost | Value | ||||||||||||
Common Stocks
|
||||||||||||||||
Panolam Holdings Co.
|
12/30/09 | 131 | $ | 71,985 | $ | 111,879 | ||||||||||
RathGibson Acquisition Co., LLC
|
6/14/10 | 10,700 | 56,785 | 317,362 | ||||||||||||
Total Restricted Securities
|
$ | 128,770 | $ | 429,241 | ||||||||||||
| Level 1 quoted prices in active markets for identical investments | |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)
|
$ | | $ | 342,493,240 | $ | 1,120,706 | $ | 343,613,946 | ||||||||
Corporate Bonds & Notes
|
| 20,377,885 | 72,152 | 20,450,037 | ||||||||||||
Asset-Backed Securities
|
| 3,323,323 | | 3,323,323 | ||||||||||||
Common Stocks
|
88,694 | 1,046,359 | 3,538,649 | 4,673,702 | ||||||||||||
Warrants
|
| 3,235 | 0 | 3,235 | ||||||||||||
Miscellaneous
|
| 3,716 | | 3,716 | ||||||||||||
Short-Term Investments
|
| 22,739,308 | | 22,739,308 | ||||||||||||
Total Investments
|
$ | 88,694 | $ | 389,987,066 | $ | 4,731,507 | $ | 394,807,267 | ||||||||
Forward Foreign Currency Exchange Contracts
|
$ | | $ | 1,246,774 | $ | | $ | 1,246,774 | ||||||||
Total
|
$ | 88,694 | $ | 391,233,840 | $ | 4,731,507 | $ | 396,054,041 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts
|
$ | | $ | (256 | ) | $ | | $ | (256 | ) | ||||||
Total
|
$ | | $ | (256 | ) | $ | | $ | (256 | ) | ||||||
Investments |
Investments in |
|||||||||||||||
in Senior |
Investments in |
Common Stocks, |
||||||||||||||
Floating-Rate |
Corporate |
Warrants and |
||||||||||||||
Interests | Bonds & Notes | Miscellaneous | Total | |||||||||||||
Balance as of June 30, 2011
|
$ | 810,063 | $ | 185,452 | $ | 3,601,369 | $ | 4,596,884 | ||||||||
Realized gains (losses)
|
(406,380 | ) | 114,171 | (52,007 | ) | (344,216 | ) | |||||||||
Change in net unrealized appreciation (depreciation)
|
302,101 | (24,941 | ) | (147,156 | ) | 130,004 | ||||||||||
Cost of purchases
|
2,149 | 4,838 | | 6,987 | ||||||||||||
Proceeds from sales
|
(135,344 | ) | (207,658 | ) | (778 | ) | (343,780 | ) | ||||||||
Accrued discount (premium)
|
1,362 | 290 | | 1,652 | ||||||||||||
Transfers to Level 3*
|
546,755 | | 575,888 | 1,122,643 | ||||||||||||
Transfers from Level 3*
|
| | (438,667 | ) | (438,667 | ) | ||||||||||
Balance as of September 30, 2011
|
$ | 1,120,706 | $ | 72,152 | $ | 3,538,649 | $ | 4,731,507 | ||||||||
Change in net unrealized appreciation (depreciation) on
investments still held as of September 30, 2011
|
$ | (139,404 | ) | $ | 682 | $ | (199,942 | ) | $ | (338,664 | ) | |||||
* | Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to a reduction in the availability of significant observable inputs in determining the fair value of these investments. Transfers from Level 3 to Level 2 were due to increased market trading activity resulting in the availability of significant observable inputs in determining the fair value of these investments. |
By:
|
/s/ Scott H. Page | |||
President | ||||
Date:
|
November 23, 2011 |
By:
|
/s/ Scott H. Page | |||
President | ||||
Date:
|
November 23, 2011 | |||
By:
|
/s/ Barbara E. Campbell | |||
Treasurer | ||||
Date:
|
November 23, 2011 |