Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
EX-99.CERT |
Weighted | ||||||||||||||
Principal | Average | |||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (2) | Ratings (3) | Value | |||||||||
Variable Rate Senior Loan Interests 155.2% (93.7% of Total Investments) (4) |
||||||||||||||
Aerospace & Defense 0.8% (0.5% of Total Investments) |
||||||||||||||
$ | 574 | DAE Aviation Holdings, Inc., Term Loan B-1 |
7.366% | 7/31/14 | BB- | $ | 427,979 | |||||||
568 | DAE Aviation Holdings, Inc., Term Loan B-2 |
7.170% | 7/31/14 | BB- | 422,968 | |||||||||
1,150 | Transdigm, Inc., Term Loan B |
5.210% | 6/23/13 | BB- | 881,188 | |||||||||
2,292 | Total Aerospace & Defense |
1,732,135 | ||||||||||||
Airlines 3.1% (1.9% of Total Investments) |
||||||||||||||
1,975 | Delta Air Lines, Inc., Term Loan |
6.250% | 4/30/14 | B | 1,135,625 | |||||||||
3,679 | Northwest Airlines, Inc., DIP Term Loan |
5.000% | 8/21/13 | BB- | 2,993,843 | |||||||||
4,597 | United Air Lines Inc., Term Loan B |
5.653% | 2/01/14 | B+ | 2,643,243 | |||||||||
10,251 | Total Airlines |
6,772,711 | ||||||||||||
Auto Components 2.8% (1.7% of Total Investments) |
||||||||||||||
1,452 | Accuride Corporation, Term Loan |
7.313% | 1/31/12 | Ba3 | 1,099,705 | |||||||||
3,963 | Federal-Mogul
Corporation, Tranche B, Term Loan |
5.274% | 12/29/14 | Ba2 | 2,412,471 | |||||||||
2,022 | Federal-Mogul
Corporation, Tranche C, Term Loan |
6.060% | 12/28/15 | Ba2 | 1,230,852 | |||||||||
1,976 | Lear Corporation, Term Loan |
4.890% | 4/25/12 | BB- | 1,284,400 | |||||||||
9,413 | Total Auto Components |
6,027,428 | ||||||||||||
Building Products 6.1% (3.7% of Total Investments) |
||||||||||||||
1,574 | Atrium Companies, Inc., Term Loan |
8.724% | 5/31/12 | B | 944,397 | |||||||||
4,913 | Building Materials Corporation of America, Term Loan |
6.625% | 2/22/14 | B+ | 3,429,381 | |||||||||
3,000 | Building Materials Corporation of America, Term Loan, Second Lien |
9.000% | 9/15/14 | Caa2 | 1,566,000 | |||||||||
3,361 | Stile
Acquisition Corporation, Canadian Term Loan |
5.500% | 4/05/13 | Caa2 | 2,322,477 | |||||||||
3,394 | Stile Acquisition Corporation, Term Loan B |
5.000% | 4/05/13 | Caa2 | 2,345,063 | |||||||||
2,940 | TFS Acquisition, Term Loan |
7.262% | 8/11/13 | B+ | 2,734,200 | |||||||||
19,182 | Total Building Products |
13,341,518 | ||||||||||||
Capital Markets 1.0% (0.6% of Total Investments) |
||||||||||||||
480 | BNY
Convergex Group LLC, Delayed Draw Term Loan, (5) (6) |
1.500% | 10/02/13 | B2 | (134,493 | ) | ||||||||
343 | BNY Convergex Group
LLC, Incremental Term Loan |
6.770% | 10/02/13 | B2 | 261,162 | |||||||||
2,786 | BNY Convergex Group LLC, Term Loan |
6.770% | 10/02/13 | B2 | 2,124,107 | |||||||||
3,609 | Total Capital Markets |
2,250,776 | ||||||||||||
Chemicals
5.4% (3.2% of Total Investments) |
||||||||||||||
193 | Celanese
US Holdings LLC, Credit Linked Deposit |
3.926% | 4/02/14 | BB+ | 156,648 | |||||||||
759 | Celanese US Holdings LLC, Term Loan |
5.553% | 4/02/14 | BB+ | 617,192 | |||||||||
1,536 | Foamex LP, Term Loan B |
8.041% | 2/12/13 | CCC+ | 710,618 | |||||||||
963 | Hercules Offshore, Inc., Term Loan |
5.640% | 7/11/13 | BB | 656,906 | |||||||||
2,409 | Hexion
Specialty Chemicals, Inc., Term Loan C-1 |
6.188% | 5/05/13 | Ba3 | 1,676,375 | |||||||||
523 | Hexion
Specialty Chemicals, Inc., Term Loan C-2 |
6.063% | 5/05/13 | Ba3 | 364,156 | |||||||||
3,023 | Huntsman International LLC, Term Loan |
4.969% | 4/19/14 | BB+ | 2,628,564 | |||||||||
1,441 | Ineos US Finance LLC, Tranche B2 |
5.950% | 12/16/13 | BB- | 802,303 | |||||||||
1,441 | Ineos
US Finance LLC, Tranche C2 |
6.450% | 12/16/14 | BB- | 789,091 | |||||||||
1,253 | JohnsonDiversey, Inc., Delayed Term Loan |
4.791% | 12/16/10 | Ba2 | 995,810 | |||||||||
1,448 | Lucite International, Term Loan B-1 |
5.370% | 7/07/13 | BB- | 1,313,693 | |||||||||
513 | Lucite International, Term Loan B-2 |
5.370% | 7/07/13 | BB- | 408,368 | |||||||||
720 | Rockwood Specialties Group, Inc., Term Loan E |
4.618% | 7/30/12 | BB+ | 603,000 | |||||||||
16,222 | Total Chemicals |
11,722,724 | ||||||||||||
Commercial Services & Supplies 1.5% (0.9% of Total Investments) |
||||||||||||||
27 | Cenveo Corporation, Delayed Term Loan |
4.954% | 6/21/13 | BB | 20,515 | |||||||||
952 | Cenveo
Corporation, Term Loan |
4.954% | 6/21/13 | BB+ | 718,552 | |||||||||
975 | NCO Financial Systems, Inc., Term Loan |
7.415% | 5/15/13 | BB- | 840,723 | |||||||||
1,938 | Rental Services Corporation, Term Loan |
7.699% | 11/27/13 | B- | 1,196,445 | |||||||||
888 | Workflow Holdings Corporation, Term Loan |
8.420% | 11/30/11 | B+ | 610,429 | |||||||||
4,780 | Total Commercial Services & Supplies |
3,386,664 | ||||||||||||
Communications Equipment 0.9% (0.5% of Total Investments) |
||||||||||||||
2,340 | Aspect Software, Inc., Term Loan B |
6.250% | 7/11/11 | BB- | 1,895,400 | |||||||||
Consumer Finance 0.6% (0.4% of Total Investments) |
||||||||||||||
1,900 | Peach Holdings, Inc., Term Loan |
7.712% | 11/30/13 | B | 1,337,125 | |||||||||
Containers & Packaging
4.5% (2.7% of Total Investments) |
||||||||||||||
493 | Amscan Holdings, Inc., Term Loan |
5.407% | 5/25/13 | B1 | 369,375 | |||||||||
8,533 | Graham Packaging Company, L.P., Term Loan |
5.744% | 10/07/11 | B+ | 6,988,208 | |||||||||
611 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment |
5.926% | 11/01/10 | BB | 485,991 | |||||||||
685 | Smurfit-Stone Container Corporation, Term Loan B |
4.897% | 11/01/11 | BB | 544,856 | |||||||||
1,295 | Smurfit-Stone Container Corporation, Term Loan C |
4.883% | 11/01/11 | BB | 1,029,640 | |||||||||
406 | Smurfit-Stone Container Corporation, Tranche C-1 |
5.125% | 11/01/11 | BB | 323,163 | |||||||||
12,023 | Total Containers & Packaging |
9,741,233 | ||||||||||||
Diversified Consumer Services 4.0% (2.4% of Total Investments) |
||||||||||||||
6,930 | Cengage
Learning Acquisitions, Inc., Term Loan |
5.620% | 7/05/14 | B+ | 5,201,353 | |||||||||
258 | Laureate Education, Inc., Delayed Term Loan |
7.001% | 8/17/14 | B1 | 184,516 | |||||||||
1,725 | Laureate Education, Inc., Term Loan B |
7.001% | 8/17/14 | B1 | 1,233,029 | |||||||||
3,392 | West Corporation, Term Loan |
5.512% | 10/24/13 | BB- | 2,196,229 | |||||||||
12,305 | Total Diversified Consumer Services |
8,815,127 | ||||||||||||
Diversified
Financial Services 0.7% (0.4% of Total Investments) |
||||||||||||||
2,000 | Fox
Acquisition Sub LLC, Term Loan B |
7.250% | 7/14/15 | BB- | 1,580,000 | |||||||||
Diversified Telecommunication Services 10.6% (6.4% of Total Investments) |
||||||||||||||
898 | Choice One Communications, Term Loan B |
6.886% | 6/30/12 | B2 | 538,929 | |||||||||
2,955 | Crown Castle Operating Company, Term Loan |
5.376% | 1/26/14 | BB+ | 2,263,530 | |||||||||
2,000 | Intelsat, Term Loan |
6.834% | 2/01/14 | BB- | 1,675,000 | |||||||||
1,936 | Intelsat, Tranche B, Term Loan |
6.650% | 7/01/13 | BB- | 1,604,046 | |||||||||
4,252 | Intelsat, Tranche B, Term Loan A |
6.650% | 1/03/14 | BB- | 3,529,542 | |||||||||
4,251 | Intelsat, Tranche B, Term Loan B |
6.650% | 1/03/14 | BB- | 3,528,475 | |||||||||
4,251 | Intelsat, Tranche B, Term Loan C |
6.650% | 1/03/14 | BB- | 3,528,475 | |||||||||
4,533 | Level 3 Financing, Inc., Term Loan |
7.000% | 3/13/14 | B+ | 3,388,667 | |||||||||
3,920 | MetroPCS Wireless, Inc., Term Loan |
5.176% | 11/03/13 | BB- | 3,254,580 | |||||||||
28,996 | Total Diversified Telecommunication Services |
23,311,244 | ||||||||||||
Electric Utilities 6.0% (3.6% of Total Investments) |
||||||||||||||
806 | Calpine
Corporation, DIP Revolver, (5) |
4.397% | 3/31/14 | B+ | 550,000 | |||||||||
8,422 | Calpine Corporation, DIP Term Loan |
6.645% | 3/31/14 | B+ | 6,777,047 | |||||||||
2,126 | Murray Energy Corporation, Term Loan |
11.310% | 1/28/11 | N/R | 1,870,440 | |||||||||
2,955 | TXU Corporation, Term Loan B-2 |
6.659% | 10/10/14 | Ba3 | 2,318,004 | |||||||||
1,980 | TXU Corporation, Term Loan B-3 |
6.437% | 10/10/14 | Ba3 | 1,545,885 | |||||||||
16,289 | Total Electric Utilities |
13,061,376 | ||||||||||||
Electrical
Equipment 0.9% (0.6% of Total Investments) |
||||||||||||||
2,929 | Allison Transmission Holdings, Inc., Term Loan |
5.669% | 8/07/14 | BB- | 2,011,552 | |||||||||
Electronic Equipment &
Instruments 0.6% (0.4% of Total Investments) |
||||||||||||||
1,955 | Sensata Technologies B.V., Term Loan |
5.257% | 4/27/13 | BB | 1,262,930 | |||||||||
Energy Equipment & Services 0.3% (0.2% of Total Investments) |
||||||||||||||
953 | PGS Finance, Inc., Term Loan |
5.510% | 6/29/15 | Ba2 | 717,383 | |||||||||
Food
Products 1.2% (0.8% of Total Investments) |
||||||||||||||
366 | Dole Food Company, Inc., Deposit-Funded Commitment |
6.689% | 4/12/13 | Ba3 | 268,000 | |||||||||
648 | Dole Food Company, Inc., Term Loan B |
5.277% | 4/12/13 | Ba3 | 475,007 | |||||||||
2,674 | Dole Food Company, Inc., Term Loan C |
5.926% | 4/12/13 | Ba3 | 1,959,749 | |||||||||
3,688 | Total Food Products |
2,702,756 | ||||||||||||
Health Care Equipment & Supplies 0.9% (0.5% of Total Investments) |
||||||||||||||
1,419 | Symbion,
Inc., Term Loan A |
6.559% | 8/01/13 | Ba3 | 979,110 | |||||||||
1,419 | Symbion, Inc., Term Loan B |
6.559% | 8/01/14 | Ba3 | 979,110 | |||||||||
2,838 | Total Health Care Equipment & Supplies |
1,958,220 | ||||||||||||
Health Care Providers & Services 6.4% (3.8% of Total Investments) |
||||||||||||||
984 | HCA, Inc., Term Loan A |
5.762% | 11/18/12 | BB | 833,771 | |||||||||
4,703 | Health Management Associates, Inc., Term Loan |
5.512% | 2/28/14 | BB- | 3,315,743 | |||||||||
1,533 | HealthSouth Corporation, Term Loan |
5.500% | 3/10/13 | BB- | 1,273,864 | |||||||||
1,272 | IASIS Healthcare LLC, Delayed Term Loan |
5.118% | 3/14/14 | Ba2 | 1,030,602 | |||||||||
340 | IASIS Healthcare LLC, Letter of Credit |
2.481% | 3/14/14 | Ba2 | 275,516 | |||||||||
3,677 | IASIS Healthcare LLC, Term Loan |
5.118% | 3/14/14 | Ba2 | 2,978,430 | |||||||||
519 | LifePoint
Hospitals, Inc., Term Loan B |
4.435% | 4/18/12 | Ba1 | 437,539 | |||||||||
4,454 | Vanguard Health Holding Company II LLC, Replacement Term Loan |
5.743% | 9/23/11 | Ba3 | 3,802,810 | |||||||||
17,482 | Total Health Care Providers & Services |
13,948,275 | ||||||||||||
Health Care Technology 0.6% (0.4% of Total Investments) |
||||||||||||||
1,886 | Emdeon Business Services LLC, Term Loan |
5.762% | 11/18/13 | BB- | 1,423,575 | |||||||||
Hotels, Restaurants & Leisure 11.2% (6.8% of Total Investments) |
||||||||||||||
3,902 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
6.179% | 6/08/12 | Ba3 | 2,907,320 | |||||||||
368 | CBRL Group, Inc., Term Loan B-2 |
4.300% | 4/28/13 | BB- | 282,719 | |||||||||
2,933 | Cedar Fair LP, Term Loan |
5.118% | 8/30/12 | BB | 2,155,388 | |||||||||
333 | Fontainebleau
Las Vegas LLC, Delayed Term Loan, (5) (6) |
2.000% | 6/06/14 | B1 | (175,000 | ) | ||||||||
667 | Fontainebleau Las Vegas LLC, Term Loan |
6.065% | 6/06/14 | B1 | 316,667 | |||||||||
1,897 | Green Valley Ranch Gaming LLC, Term Loan B |
5.000% | 2/16/14 | BB- | 948,636 | |||||||||
2,970 | Orbitz Worldwide, Inc., Term Loan |
6.391% | 7/25/14 | BB- | 1,908,225 | |||||||||
3,595 | Shingle
Springs Tribal Gaming Authority, Delayed Term Loan, (5) |
9.375% | 6/15/15 | B3 | 3,541,276 | |||||||||
1,975 | Travelport LLC, Delayed Term Loan |
5.368% | 8/23/13 | BB- | 1,204,750 | |||||||||
714 | Travelport LLC, Letter of Credit |
6.012% | 8/23/13 | BB- | 443,561 | |||||||||
3,557 | Travelport LLC, Term Loan |
6.012% | 8/23/13 | BB- | 2,210,612 | |||||||||
1,995 | Venetian Casino Resort LLC, Delayed Term Loan |
5.520% | 5/23/14 | BB- | 1,147,624 | |||||||||
7,900 | Venetian Casino Resort LLC, Term Loan |
5.520% | 5/23/14 | BB- | 4,544,475 | |||||||||
3,258 | Wintergames Holdings, Term Loan |
6.250% | 10/23/08 | N/R | 3,095,175 | |||||||||
36,064 | Total Hotels, Restaurants & Leisure |
24,531,428 | ||||||||||||
Household Durables 2.3% (1.4% of Total Investments) |
||||||||||||||
6,105 | Jarden Corporation, Term Loan |
5.512% | 1/24/12 | BB- | 4,998,528 | |||||||||
Household Products 2.7% (1.6% of Total Investments) |
||||||||||||||
7,320 | Prestige Brands, Inc., Term Loan B |
5.822% | 4/06/11 | BB- | 5,892,933 | |||||||||
Insurance 1.8% (1.1% of Total Investments) |
||||||||||||||
685 | Affirmative Insurance Holdings, Inc., Term Loan |
6.537% | 1/31/14 | B1 | 496,717 | |||||||||
5,339 | Conseco, Inc., Term Loan |
5.000% | 10/10/13 | B+ | 3,537,250 | |||||||||
6,024 | Total Insurance |
4,033,967 | ||||||||||||
Internet Software & Services 1.0% (0.6% of Total Investments) |
||||||||||||||
3,887 | Sabre, Inc., Term Loan |
5.251% | 9/30/14 | B+ | 2,252,434 | |||||||||
IT Services 4.7% (2.8% of Total Investments) |
||||||||||||||
958 | Attachmate Corporation, Term Loan |
6.368% | 4/13/13 | BB- | 766,093 | |||||||||
445 | First Data Corporation, Term Loan B-2 |
6.019% | 9/24/14 | BB- | 329,431 | |||||||||
336 | Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan |
7.520% | 7/28/12 | B+ | 212,520 | |||||||||
644 | Infor Global Solutions Intermediate Holdings, Ltd., Term Loan |
7.520% | 7/28/12 | B+ | 407,330 | |||||||||
2,000 | Infor
Global Solutions Intermediate Holdings, Ltd., Term Loan B-1, WI/DD |
TBD | TBD | Caa2 | 725,000 | |||||||||
10,108 | SunGard Data Systems, Inc., Term Loan B |
4.553% | 2/28/14 | BB | 7,790,760 | |||||||||
14,491 | Total IT Services |
10,231,134 | ||||||||||||
Leisure Equipment & Products 2.4% (1.4% of Total Investments) |
||||||||||||||
5,468 | Bombardier Recreational Products, Inc., Term Loan |
6.347% | 6/28/13 | B+ | 3,786,835 | |||||||||
3,000 | Wimar
OpCo LLC, Term Loan, (7) |
7.250% | 1/03/12 | N/R | 1,392,500 | |||||||||
8,468 | Total Leisure Equipment & Products |
5,179,335 | ||||||||||||
Machinery
1.4% (0.9% of Total Investments) |
||||||||||||||
3,000 | Manitowoc Company Term Loan, (5) (6) |
0.750% | 8/30/14 | BB+ | (628,500 | ) | ||||||||
578 | Navistar International Corporation, Synthetic Letter of Credit |
6.242% | 1/19/12 | BB- | 404,445 | |||||||||
1,589 | Navistar International Corporation, Term Loan |
6.421% | 1/19/12 | BB- | 1,112,222 | |||||||||
1,780 | Oshkosh Truck Corporation, Term Loan |
4.503% | 12/06/13 | BB+ | 1,241,550 | |||||||||
277 | Rexnord Corporation, Incremental Term Loan |
5.762% | 7/19/13 | Ba2 | 220,306 | |||||||||
934 | Rexnord Corporation, Term Loan |
6.370% | 7/19/13 | Ba2 | 747,541 | |||||||||
8,158 | Total Machinery |
3,097,564 | ||||||||||||
Media 32.7% (19.7% of Total Investments) |
||||||||||||||
1,945 | AMC Entertainment, Inc., Term Loan |
5.009% | 1/28/13 | Ba1 | 1,491,572 | |||||||||
988 | CanWest Mediaworks LP, Term Loan |
4.810% | 7/10/15 | Ba2 | 706,063 | |||||||||
5,915 | Cequel
Communications LLC, Term Loan B, 144A |
6.207% | 11/05/13 | BB- | 4,386,089 | |||||||||
3,000 | Charter
Communications Operating Holdings LLC, Holdco Term Loan |
6.262% | 3/06/14 | B+ | 1,960,001 | |||||||||
9,736 | Charter Communications Operating Holdings LLC, Term Loan |
5.313% | 3/06/14 | B+ | 7,331,264 | |||||||||
966 | Cumulus Media, Inc., Term Loan |
4.757% | 6/11/14 | B1 | 562,819 | |||||||||
2,000 | HIT Entertainment Inc., Term Loan |
8.300% | 2/26/13 | B- | 1,090,000 | |||||||||
2,928 | HIT
Entertainment Inc., Term Loan B |
4.800% | 3/20/12 | Ba3 | 1,830,085 | |||||||||
4,913 | Idearc, Inc., Term Loan |
5.742% | 11/17/14 | BB | 2,120,564 | |||||||||
5,932 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan |
7.012% | 4/08/12 | N/R | 2,999,535 | |||||||||
5,880 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
7.012% | 4/08/12 | N/R | 2,972,991 | |||||||||
11,782 | Neilsen Finance LLC, Term Loan |
4.803% | 8/09/13 | Ba3 | 8,589,300 | |||||||||
3,008 | NextMedia Operating, Inc., Term Loan, Second Lien |
0.000% | 11/15/13 | CCC | 1,909,815 | |||||||||
3,049 | Philadelphia
Newspapers, Term Loan A, (8) |
0.000% | 6/29/12 | N/R | 228,671 | |||||||||
1,907 | ProQuest Company, Term Loan B |
5.716% | 2/09/14 | BB- | 1,658,800 | |||||||||
3,832 | Regal Cinemas Corporation, Term Loan |
5.262% | 10/27/13 | Ba2 | 2,897,553 | |||||||||
3,816 | SFX Entertainment, Inc., Term Loan |
7.020% | 6/20/13 | Ba3 | 3,072,277 | |||||||||
16,807 | Tribune
Company, Term Loan B, DD1 |
6.000% | 6/04/14 | B | 7,546,545 | |||||||||
1,365 | Tribune Company, Term Loan X |
7.084% | 6/04/09 | B | 1,074,517 | |||||||||
15,000 | Univision Communications, Inc., Term Loan |
5.250% | 9/29/14 | B1 | 8,152,500 | |||||||||
1,541 | Univision Communications, Inc., Term Loan, Second Lien |
5.500% | 3/29/09 | Caa1 | 1,352,228 | |||||||||
407 | Valassis Communications, Inc., Delayed Term Loan |
5.520% | 3/02/14 | BB | 285,937 | |||||||||
1,226 | Valassis Communications, Inc., Tranche B, Term Loan |
5.520% | 3/02/14 | BB | 862,352 | |||||||||
4,751 | WMG Acquisition Corporation, Term Loan |
5.064% | 2/28/11 | BB | 3,848,607 | |||||||||
4,025 | Yell Group PLC, Term Loan |
6.118% | 10/27/12 | N/R | 2,777,250 | |||||||||
116,719 | Total Media |
71,707,335 | ||||||||||||
Metals &
Mining 2.4% (1.5% of Total Investments) |
||||||||||||||
2,499 | Amsted Industries, Inc., Delayed Term Loan |
5.179% | 4/08/13 | BB | 1,974,061 | |||||||||
3,441 | Amsted Industries, Inc., Term Loan |
6.560% | 4/08/13 | BB | 2,649,851 | |||||||||
992 | John Maneely Company, Term Loan |
7.662% | 12/08/13 | B+ | 731,344 | |||||||||
6,932 | Total Metals & Mining |
5,355,256 | ||||||||||||
Oil, Gas & Consumable Fuels 5.9% (3.6% of Total Investments) |
||||||||||||||
4,000 | Alon
Refining Krotz Springs, Inc., Term Loan |
10.750% | 7/03/14 | B+ | 3,500,000 | |||||||||
575 | Calumet Lubricants Company LP, Credit Linked Deposit |
8.000% | 12/17/14 | B1 | 376,437 | |||||||||
4,322 | Calumet Lubricants Company LP, Term Loan |
6.804% | 12/17/14 | B1 | 2,831,163 | |||||||||
2,992 | CCS Income Trust, Term Loan |
6.118% | 11/14/14 | BB- | 2,266,790 | |||||||||
301 | Coffeyville Resources LLC, Credit Linked Deposit |
6.633% | 12/28/10 | BB- | 242,482 | |||||||||
971 | Coffeyville Resources LLC, Term Loan D |
6.632% | 12/28/13 | BB- | 782,940 | |||||||||
2,993 | Quicksilver
Resource, Inc., Term Loan |
7.735% | 8/08/13 | B1 | 2,461,331 | |||||||||
567 | RAM Energy Resources, Inc., Term Loan |
11.625% | 11/29/12 | N/R | 564,099 | |||||||||
16,721 | Total Oil, Gas & Consumable Fuels |
13,025,242 | ||||||||||||
Paper & Forest
Products 0.9% (0.6% of Total Investments) |
||||||||||||||
3,960 | Wilton Products, Term Loan |
6.089% | 11/16/14 | Ba3 | 1,999,800 | |||||||||
Real Estate Management & Development 4.9% (2.9% of Total Investments) |
||||||||||||||
4,563 | Capital Automotive LP, Term Loan |
5.470% | 12/15/10 | BB+ | 2,906,555 | |||||||||
8,360 | LNR Property Corporation, Term Loan B |
6.040% | 7/12/11 | BB | 4,577,100 | |||||||||
4,938 | Realogy Corporation, Delayed Term Loan |
6.829% | 10/10/13 | B+ | 3,176,537 | |||||||||
17,861 | Total Real Estate Management & Development |
10,660,192 | ||||||||||||
Road & Rail 5.9% (3.6% of Total Investments) |
||||||||||||||
444 | Hertz Corporation, Letter of Credit |
5.454% | 12/21/12 | BB+ | 322,540 | |||||||||
2,446 | Hertz Corporation, Term Loan |
4.586% | 12/21/12 | BB+ | 1,774,849 | |||||||||
18,674 | Swift
Transportation Company, Inc., Term Loan, DD1 |
6.063% | 5/10/14 | B+ | 10,831,163 | |||||||||
21,564 | Total Road & Rail |
12,928,552 | ||||||||||||
Semiconductors & Equipment 0.6% (0.4% of Total Investments) |
||||||||||||||
1,965 | Freescale Semiconductor, Inc., Term Loan |
5.470% | 11/29/13 | Ba1 | 1,344,388 | |||||||||
Software 3.7% (2.2% of Total Investments) |
||||||||||||||
5,895 | Dealer Computer Services, Inc., Term Loan |
5.171% | 10/26/12 | BB | 3,831,988 | |||||||||
4,000 | Dealer Computer Services, Inc., Term Loan, Second Lien |
8.671% | 10/26/13 | B | 2,380,000 | |||||||||
3,661 | IPC
Systems, Inc., Term Loan, DD1 |
6.012% | 5/31/14 | B+ | 1,894,768 | |||||||||
13,556 | Total Software |
8,106,756 | ||||||||||||
Specialty Retail 7.8% (4.7% of Total Investments) |
||||||||||||||
315 | Blockbuster, Inc., Tranche A, Term Loan |
6.790% | 8/20/09 | B1 | 258,663 | |||||||||
1,936 | Blockbuster, Inc., Tranche B, Term Loan |
6.771% | 8/20/11 | B1 | 1,504,895 | |||||||||
1,970 | Burlington
Coat Factory Warehouse Corporation, Term Loan, DD1 |
5.060% | 5/28/13 | B2 | 1,088,307 | |||||||||
6,734 | Michaels Stores, Inc., Term Loan |
5.348% | 10/31/13 | B | 3,974,789 | |||||||||
1,960 | Sally Holdings LLC, Term Loan |
5.196% | 11/16/13 | BB- | 1,537,900 | |||||||||
4,985 | Toys
R Us Delaware, Inc., Term Loan B |
7.059% | 7/19/12 | BB- | 3,645,336 | |||||||||
7,000 | TRU 2005 RE Holding Co I LLC, Term Loan |
6.720% | 12/08/09 | B3 | 5,115,835 | |||||||||
24,900 | Total Specialty Retail |
17,125,725 | ||||||||||||
Textiles, Apparel & Luxury Goods 0.9% (0.5% of Total Investments) |
||||||||||||||
1,395 | HBI Branded Apparel Limited, Inc., Term Loan |
5.173% | 9/05/13 | BB+ | 1,191,838 | |||||||||
1,000 | HBI
Branded Apparel Limited, Inc., Term Loan, Second Lien |
7.266% | 3/05/14 | BB- | 783,330 | |||||||||
2,395 | Total Textiles, Apparel & Luxury Goods |
1,975,168 | ||||||||||||
Trading Companies & Distributors 0.7% (0.4% of Total Investments) |
||||||||||||||
1,824 | Ashtead Group Public Limited Company, Term Loan |
4.563% | 8/31/11 | Ba2 | 1,568,640 | |||||||||
Wireless Telecommunication Services 2.4% (1.4% of Total Investments) |
||||||||||||||
7,000 | Asurion Corporation, Term Loan |
6.060% | 7/03/14 | N/R | 5,238,331 | |||||||||
$ | 499,247 | Total Variable Rate Senior Loan Interests (cost $484,724,049) |
340,252,860 | |||||||||||
Principal | ||||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Ratings (3) | Value | |||||||||||
Corporate Bonds 10.5% (6.3% of Total Investments) |
||||||||||||||||
Diversified Telecommunication Services 3.3% (2.0% of Total Investments) |
||||||||||||||||
$ | 10,000 | Qwest Corporation, Floating Rate Note, 3.250% plus three-month LIBOR |
6.276% | 6/15/13 | BB+ | $ | 7,300,000 | |||||||||
Health Care Equipment & Supplies 0.5% (0.3% of Total Investments) |
||||||||||||||||
1,500 | Reable Therapeutics Financing Corporation |
11.750% | 11/15/14 | CCC+ | 1,072,500 | |||||||||||
Health Care Providers & Services 0.6% (0.3% of Total Investments) |
||||||||||||||||
2,000 | Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR |
8.871% | 9/15/15 | CCC+ | 1,240,000 | |||||||||||
Hotels, Restaurants & Leisure 1.1% (0.7% of Total Investments) |
||||||||||||||||
4,000 | Quapaw Tribe of Oklahoma Downstream Development Authority, 144A |
12.000% | 10/15/15 | B- | 2,460,000 | |||||||||||
Paper & Forest Products 0.5% (0.3% of Total Investments) |
||||||||||||||||
2,000 | Verso Paper
Holdings LLC, Series B |
9.125% | 8/01/14 | B | 1,070,000 | |||||||||||
Real Estate Investment Trust 0.9% (0.5% of Total Investments) |
||||||||||||||||
3,000 | Felcor Lodging LP, Floating Rate Note, 1.875% plus six-month LIBOR |
4.996% | 12/01/11 | BB- | 2,002,500 | |||||||||||
Semiconductors & Equipment 2.6% (1.6% of Total Investments) |
||||||||||||||||
1,000 | Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR |
8.526% | 6/01/13 | B+ | 856,250 | |||||||||||
11,000 | NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR |
5.776% | 10/15/13 | B- | 4,881,250 | |||||||||||
12,000 | Total Semiconductors & Equipment |
5,737,500 | ||||||||||||||
Software 0.3% (0.2% of Total Investments) |
||||||||||||||||
1,000 | Telcordia Technologies, Floating Rate Note, 3.75% plus three-month LIBOR, 144A |
6.776% | 7/15/12 | B | 655,000 | |||||||||||
Trading Companies &
Distributors 0.7% (0.4% of Total Investments) |
||||||||||||||||
2,000 | Penhall International Corporation, 144A |
12.000% | 8/01/14 | B- | 1,390,000 | |||||||||||
$ | 37,500 | Total Corporate Bonds (cost $37,152,744) |
22,927,500 | |||||||||||||
Total
Investments (cost $521,876,793) 165.7% |
363,180,360 | |||||||||||||||
Borrowings
(28.2)% (9) |
(61,800,000 | ) | ||||||||||||||
Other Assets Less Liabilities 8.1% |
17,851,809 | |||||||||||||||
Preferred
Shares, at Liquidation Value (45.6)% (9) |
(100,000,000 | ) | ||||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 219,232,169 | ||||||||||||||
(1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
|
(2) | Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior
Loans held may be substantially less than the stated maturities shown. |
|
(3) | Ratings: Using the higher of Standard & Poors Group (Standard & Poors) or Moodys Investor Service, Inc. (Moodys) rating. Ratings below BBB by Standard & Poors or Baa by Moodys are considered to be below investment grade. |
|
(4) | Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (LIBOR), or (ii) the
prime rate offered by one or more major United States banks. |
|
Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
||
(5) | Position or portion of position represents an unfunded Senior Loan commitment outstanding at October 31, 2008. At October 31, 2008, the Fund had unfunded Senior Loan Commitments of $5,524,017. |
|
(6) | Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at October 31, 2008. |
|
(7) | At or subsequent to October 31, 2008, this issue was under the protection of the Federal Bankruptcy Court. |
|
(8) | Non-income producing. Non-income producing, in the case of a Senior Loan, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. |
|
(9) | Borrowings
and Preferred Shares, at Liquidation Value as a percentage of Total Investments
are 17.0% and 27.5%, respectively. |
|
N/R | Not rated. |
|
DD1 | Investment
or portion
of investment purchased on a delayed delivery basis. |
|
WI/DD | Purchased on a when-issued or delayed delivery basis. |
|
144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers. |
|
TBD | Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not
available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date. |
|
Level 1 - | Quoted prices in active markets for identical securities. |
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
Level 3 - | Significant unobservable inputs (including managements assumptions in determining the fair value of investments). |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments |
$ | - | $ | 363,180,360 | $ | - | $ | 363,180,360 | |||||||||
Gross unrealized: |
||||
Appreciation |
$ | 154 | ||
Depreciation |
(158,887,755 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | (158,887,601 | ) | |
a. | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). | ||
b. | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) 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. |
By (Signature and Title) | /s/ Kevin J. McCarthy | |||
Kevin J. McCarthy | ||||
Vice President and Secretary | ||||
By (Signature and Title) | /s/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman | ||||
Chief Administrative Officer (principal executive officer) | ||||
By (Signature and Title) | /s/ Stephen D. Foy | |||
Stephen D. Foy | ||||
Vice President and Controller (principal financial officer) | ||||