OMB APPROVAL | ||
OMB Number: 3235-0578 |
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Expires: April 30, 2013 |
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Estimated average burden
hours per response: 5.6 |
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* | On June 1, 2010, Invesco completed its acquisition of Van Kampen Investments and Morgan Stanleys retail assets management business. This Trust was included in that acquisition and as of that date, became Invesco Van Kampen Senior Income Trust. Please visit www.invesco.com/transaction for more information or call Invescos Client Services team at 800-959-4246. |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Variable Rate Senior Loan Interests 149.0% |
||||||||||||||||
Aerospace/Defense 3.6% |
||||||||||||||||
$ | 1,959 | Apptis, Inc. Term Loan |
3.540 | % | 12/20/12 | $ | 1,924,451 | |||||||||
2,103 | Atlantic Marine Services Term
Loan |
4.563 | 03/22/14 | 2,055,219 | ||||||||||||
985 | Booz Allen Hamilton, Inc.
Term Loan B |
7.500 | 07/31/15 | 991,538 | ||||||||||||
3,172 | Booz Allen Hamilton, Inc.
Term Loan C |
6.000 | 07/31/15 | 3,185,356 | ||||||||||||
1,785 | IAP Worldwide Services, Inc.
Second Lien Term Loan (b) |
11.500 | 06/28/13 | 1,579,836 | ||||||||||||
6,023 | IAP Worldwide Services, Inc.
Term Loan (b) |
9.250 | 12/30/12 | 5,751,615 | ||||||||||||
4,382 | ILC Industries, Inc. First Lien
Term Loan |
2.273 | 02/24/12 | 4,356,388 | ||||||||||||
2,316 | Primus International, Inc.
Incremental Term Loan |
2.870 | 06/07/12 | 2,246,429 | ||||||||||||
410 | TASC, Inc. Term Loan A |
5.500 | 12/18/14 | 410,807 | ||||||||||||
4,218 | TASC, Inc. Term Loan B |
5.750 | 12/18/15 | 4,238,597 | ||||||||||||
4,535 | Vangent, Inc. Term Loan B |
2.510 | 02/14/13 | 4,421,196 | ||||||||||||
625 | Wesco Aircraft Hardware Corp.
Second Lien Term Loan |
6.030 | 03/28/14 | 608,594 | ||||||||||||
31,770,026 | ||||||||||||||||
Automotive 5.5% |
||||||||||||||||
1,617 | Acument Global Technologies,
Inc. Term Loan (b) |
14.000 | 08/11/13 | 1,572,920 | ||||||||||||
2,000 | Dana Corp. Term Loan B |
4.530 | 01/30/15 | 1,986,250 | ||||||||||||
7,401 | Federal-Mogul Corp. Term Loan
B |
2.190 | 12/29/14 | 6,784,286 | ||||||||||||
3,523 | Federal-Mogul Corp. Term Loan
C |
2.200 | 12/28/15 | 3,229,307 | ||||||||||||
14,993 | Ford Motor Co. Term Loan |
3.280 | 12/16/13 | 14,502,915 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Automotive (continued) |
||||||||||||||||
$ | 6,548 | Metokote Corp. Term Loan
Refinance |
9.000 | % | 11/27/11 | $ | 5,975,256 | |||||||||
3,573 | Oshkosh Truck Corp. Term Loan
B |
6.260 | 12/06/13 | 3,596,953 | ||||||||||||
611 | Performance Transportation
Services, Inc. Letter of
Credit (c)(d)(e) |
3.250 | 01/26/12 | 168,159 | ||||||||||||
420 | Performance Transportation
Services, Inc. Term
Loan (c)(d)(e) |
7.500 | 01/26/12 | 115,473 | ||||||||||||
4,718 | Polypore, Inc. Incremental Term
Loan |
2.530 | 07/03/14 | 4,612,075 | ||||||||||||
3,578 | Sensata Technologies, Inc.
Term Loan |
2.080 | 04/26/13 | 3,461,433 | ||||||||||||
1,636 | TRW Automotive, Inc. Term
Loan A2 |
5.010 | 05/30/15 | 1,643,718 | ||||||||||||
47,648,745 | ||||||||||||||||
Banking 0.1% |
||||||||||||||||
162 | Dollar Financial Corp. CAD Term
Loan |
7.000 | 10/30/12 | 157,558 | ||||||||||||
119 | Dollar Financial Corp. Delayed
Draw Term Loan |
7.000 | 10/30/12 | 115,852 | ||||||||||||
384 | Dollar Financial Corp. Term
Loan (United Kingdom) |
7.000 | 10/30/12 | 372,757 | ||||||||||||
646,167 | ||||||||||||||||
Beverage, Food & Tobacco 8.0% |
||||||||||||||||
5,163 | Acosta, Inc. Term Loan B |
2.530 | 07/28/13 | 5,103,157 | ||||||||||||
7,297 | Coleman Natural Foods, LLC First
Lien Term Loan (b) |
6.930 | 08/22/12 | 6,749,388 | ||||||||||||
3,985 | DCI Cheese Co. Term Loan |
3.540 | 04/15/12 | 3,486,496 | ||||||||||||
2,041 | Dole Food Co., Inc. Credit Link
Deposit |
7.879 | 08/30/10 | 2,065,580 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Beverage, Food & Tobacco (continued) |
||||||||||||||||
$ | 2,487 | Dole Food Co., Inc. Term Loan
B |
5.040 | % | 03/02/17 | $ | 2,516,593 | |||||||||
6,176 | Dole Food Co., Inc. Term Loan
C |
5.010 | 03/02/17 | 6,250,588 | ||||||||||||
10,096 | DS Waters of America, Inc.
Term Loan B |
2.509 | 10/27/12 | 9,944,631 | ||||||||||||
4,950 | DSW Holdings, Inc. Term Loan |
4.259 | 03/02/12 | 4,885,031 | ||||||||||||
8,032 | Farleys & Sathers Candy Co.,
Inc. First Lien Term Loan |
7.020 | 06/15/11 | 7,951,774 | ||||||||||||
1,200 | Farleys & Sathers Candy Co.,
Inc. Second Lien Term Loan |
11.250 | 01/02/12 | 1,164,000 | ||||||||||||
2,925 | FSB Holdings, Inc. Second Lien
Term Loan |
6.063 | 03/29/14 | 2,749,500 | ||||||||||||
2,506 | FSB Holdings, Inc. Term Loan B |
2.610 | 09/29/13 | 2,459,035 | ||||||||||||
1,936 | Michael Foods, Inc. Term Loan
B |
6.500 | 05/01/14 | 1,951,844 | ||||||||||||
5,694 | Pinnacle Foods Finance LLC
Term Loan B |
2.999 | 04/02/14 | 5,557,321 | ||||||||||||
1,529 | Pinnacle Foods Finance LLC
Term Loan C |
7.500 | 04/02/14 | 1,542,945 | ||||||||||||
1,739 | Wm. Wrigley Jr. Co. Term Loan
B1 |
3.063 | 12/17/12 | 1,751,641 | ||||||||||||
3,827 | Wm. Wrigley Jr. Co. Term Loan
B2 |
3.313 | 10/06/14 | 3,855,708 | ||||||||||||
69,985,232 | ||||||||||||||||
Broadcasting Cable 9.0% |
||||||||||||||||
5,728 | Cequel Communications, LLC
New Term Loan |
2.292 | 11/05/13 | 5,634,432 | ||||||||||||
19,085 | Charter Communications
Operating, LLC Extended
Term Loan |
3.550 | 09/06/16 | 18,277,833 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Broadcasting Cable (continued) |
||||||||||||||||
$ | 2,228 | Charter Communications
Operating, LLC Replacement
Term Loan (e) |
2.300 | % | 03/06/14 | $ | 2,118,026 | |||||||||
4,000 | Charter Communications
Operating, LLC Third Lien
Term Loan (e) |
2.752 | 09/06/14 | 3,723,332 | ||||||||||||
2,806 | CSC Holdings, Inc. Extended
Term Loan A3 |
1.004 | 03/31/15 | 2,781,856 | ||||||||||||
7,941 | CSC Holdings, Inc. Incremental
B-2 Term Loan |
2.004 | 03/29/16 | 7,953,459 | ||||||||||||
4,356 | Discovery Communications
Holdings, LLC Term Loan C |
5.250 | 05/14/14 | 4,400,240 | ||||||||||||
1,926 | Knology Inc. Extended Term
Loan |
3.792 | 06/30/14 | 1,912,271 | ||||||||||||
3,860 | MCC Iowa, LLC
Term Loan D-2 |
2.010 | 01/31/15 | 3,722,200 | ||||||||||||
1,583 | MCC Iowa, LLC Term Loan E |
4.500 | 10/23/17 | 1,584,720 | ||||||||||||
1,496 | MCC Iowa, LLC
Term Loan F |
4.500 | 10/23/17 | 1,497,542 | ||||||||||||
2,322 | Mediacom Illinois, LLC
Term Loan C |
2.010 | 01/31/15 | 2,232,991 | ||||||||||||
2,118 | Mediacom Illinois, LLC
Term Loan D |
5.500 | 03/31/17 | 2,132,072 | ||||||||||||
7,990 | RCN Corp. Term Loan B |
2.563 | 05/25/14 | 7,958,612 | ||||||||||||
7,645 | UPC Financing Partnership
Term Loan T (Netherlands) |
3.930 | 12/30/16 | 7,562,556 | ||||||||||||
4,878 | TWCC Holding
Corp. Replacement
Term Loan |
5.000 | 09/14/15 | 4,931,334 | ||||||||||||
78,423,476 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Broadcasting Diversified 1.3% |
||||||||||||||||
$ | 1,350 | Alpha Topco, Ltd.
Second Lien Term
Loan (United Kingdom) |
3.822 | % | 06/30/14 | $ | 1,231,261 | |||||||||
4,117 | Alpha Topco, Ltd.
Term Loan B1 (United Kingdom) |
2.447 | 12/31/13 | 3,879,384 | ||||||||||||
2,781 | Alpha Topco, Ltd.
Term Loan B2 (United Kingdom) |
2.447 | 12/31/13 | 2,620,414 | ||||||||||||
4,161 | Cumulus Media, Inc. Term Loan
B |
4.259 | 06/11/14 | 3,835,536 | ||||||||||||
11,566,595 | ||||||||||||||||
Broadcasting Radio 2.2% |
||||||||||||||||
6,799 | CMP KC LLC Term Loan (a)(d) |
6.250 | 05/03/11 | 2,073,621 | ||||||||||||
13,857 | CMP Susquehanna Corp. Term
Loan |
2.313 | 05/05/13 | 11,844,469 | ||||||||||||
1,728 | LBI Media, Inc. Term Loan |
1.773 | 03/31/12 | 1,599,120 | ||||||||||||
2,475 | Multicultural Radio Broadcasting,
Inc. Second Lien Term Loan |
6.000 | 06/18/13 | 1,670,625 | ||||||||||||
2,011 | Multicultural Radio Broadcasting,
Inc. Term Loan |
3.000 | 12/18/12 | 1,656,728 | ||||||||||||
18,844,563 | ||||||||||||||||
Broadcasting Television 3.5% |
||||||||||||||||
939 | Barrington Broadcasting, LLC
Term Loan |
4.500 | 08/12/13 | 882,336 | ||||||||||||
2,625 | FoxCo Acquisition Sub, LLC
Term Loan |
7.500 | 07/14/15 | 2,614,860 | ||||||||||||
954 | High Plains Broadcasting
Operating Co. LLC Term
Loan |
9.000 | 09/14/16 | 934,806 | ||||||||||||
3,630 | Newport Television, LLC Term
Loan B |
9.000 | 09/14/16 | 3,557,832 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Broadcasting Television (continued) |
||||||||||||||||
$ | 3,632 | Sunshine Acquisition, Ltd. Term
Loan |
5.499 | % | 06/01/12 | $ | 3,470,761 | |||||||||
21,053 | Univision Communications, Inc.
Initial Term Loan |
2.540 | 09/29/14 | 19,232,108 | ||||||||||||
30,692,703 | ||||||||||||||||
Buildings & Real Estate 2.3% |
||||||||||||||||
1,305 | CB Richard Ellis Services, Inc.
Term Loan B |
6.000 | 12/20/13 | 1,306,494 | ||||||||||||
998 | CB Richard Ellis Services, Inc.
Term Loan B-1 |
6.500 | 12/21/15 | 1,000,685 | ||||||||||||
2,300 | CB Richard Ellis Services, Inc.
Term Loan B-1A |
7.000 | 12/21/15 | 2,305,750 | ||||||||||||
2,500 | El Ad IDB Las Vegas, LLC
Term Loan A1 |
3.001 | 08/09/12 | 1,500,000 | ||||||||||||
10,106 | Ginn LA CS Borrower First Lien
Term Loan (d) |
6.196 | 06/08/11 | 732,664 | ||||||||||||
4,714 | Ginn LA CS Borrower First Lien
Credit Linked A (d) |
7.750 | 06/08/11 | 341,786 | ||||||||||||
6,000 | Ginn LA CS Borrower Second Lien
Term Loan (a)(d) |
10.196 | 06/08/12 | 10,002 | ||||||||||||
2,200 | Kyle Acquisition Group, LLC
Term Loan B (d)(g) |
5.750 | 07/20/09 | 220,000 | ||||||||||||
3,000 | Kyle Acquisition Group, LLC
Term Loan C (d) |
4.000 | 07/20/11 | 300,000 | ||||||||||||
1,000 | Lake At Las Vegas Joint
Venture, LLC DIP Term
Loan (b)(e) |
9.773 | 07/15/10 | 300,000 | ||||||||||||
12 | Lake At Las Vegas Joint
Venture, LLC Mezzanine Term
Loan (b)(d)(e) |
20.000 | 10/01/10 | 199 | ||||||||||||
6,810 | Lake At Las Vegas Joint
Venture, LLC New Term
Loan (b)(d)(e) |
14.333 | 06/20/12 | 109,253 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Buildings & Real Estate (continued) |
||||||||||||||||
$ | 602 | Lake At Las Vegas Joint
Venture, LLC
Revolving Credit Agreement (b)(d)(e) |
14.350 | % | 06/20/12 | $ | 9,655 | |||||||||
1,207 | NLV Holdings, LLC First Lien
Term Loan (b)(d)(e)(g) |
5.750 | 03/31/10 | 328,995 | ||||||||||||
2,456 | NLV Holdings, LLC Second Lien
Term Loan (b)(d)(e) |
5.250 | 05/09/12 | 181,158 | ||||||||||||
1,414 | Realogy Corp. Letter of Credit |
3.375 | 10/10/13 | 1,285,598 | ||||||||||||
5,254 | Realogy Corp. Term Loan |
3.292 | 10/10/13 | 4,775,077 | ||||||||||||
1,908 | South Edge, LLC Term Loan
A (d)(g) |
5.250 | 10/31/08 | 891,994 | ||||||||||||
2,000 | South Edge, LLC Term Loan
C (d) (g) |
5.500 | 10/31/09 | 910,000 | ||||||||||||
540 | Standard Pacific Corp. Term
Loan |
2.000 | 05/05/13 | 497,700 | ||||||||||||
497 | Tamarack Resorts, LLC Term
Loan (d)(g) |
20.250 | 07/02/09 | 397,521 | ||||||||||||
2,400 | Tamarack Resorts, LLC
Credit Lined Note A (d) |
8.051 | 05/19/11 | 36,000 | ||||||||||||
3,546 | Tamarack Resorts, LLC
Term Loan B (d) |
7.500 | 05/19/11 | 53,190 | ||||||||||||
797 | WCI Communities, Inc. First Lien
Term Loan |
10.070 | 09/03/14 | 795,906 | ||||||||||||
1,190 | WCI Communities, Inc. PIK
Term Loan (b) |
10.000 | 09/02/16 | 1,154,207 | ||||||||||||
2,866 | Yellowstone Mountain Club, LLC
First Lien Term Loan (a)(d) |
4.625 | 09/30/10 | 0 | ||||||||||||
1,010 | Yellowstone Mountain Club, LLC
Term Loan Note |
6.000 | 07/16/14 | 1,000,010 | ||||||||||||
20,443,844 | ||||||||||||||||
Business Equipment & Services 4.7% |
||||||||||||||||
6,800 | Affinion Group, Inc. Term Loan B |
5.000 | 10/10/16 | 6,766,000 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Business Equipment & Services (continued) |
||||||||||||||||
$ | 3,587 | First American Payment
Systems, LP Term Loan |
3.313 | % | 10/06/13 | $ | 3,369,068 | |||||||||
2,135 | GSI Holdings, LLC Term Loan |
3.260 | 08/01/14 | 1,996,528 | ||||||||||||
532 | InfoUSA, Inc.
Additional Term Loan B |
2.050 | 02/14/12 | 529,867 | ||||||||||||
837 | InfoUSA, Inc. Term Loan B |
2.050 | 02/14/12 | 834,540 | ||||||||||||
5,036 | KAR Holdings, Inc. Term Loan B |
3.030 | 10/18/13 | 4,949,190 | ||||||||||||
5,242 | NCO Financial Systems Term
Loan B |
6.910 | 05/15/13 | 5,184,821 | ||||||||||||
12,314 | Nielsen Finance, LLC Class A
Term Loan |
2.251 | 08/09/13 | 12,031,536 | ||||||||||||
175 | RGIS Holdings, LLC Delayed
Draw Term Loan |
2.790 | 04/30/14 | 165,963 | ||||||||||||
3,499 | RGIS Holdings, LLC Term Loan
B |
2.790 | 04/30/14 | 3,319,252 | ||||||||||||
171 | Sedgwick CMS Holdings, Inc.
Term Loan B |
2.523 | 01/31/13 | 169,219 | ||||||||||||
1,938 | SMG Holdings, Inc. Term Loan
B |
3.330 | 07/27/14 | 1,821,722 | ||||||||||||
41,137,706 | ||||||||||||||||
Chemicals, Plastics & Rubber 8.8% |
||||||||||||||||
2,400 | Brenntag Holdings GmbH and
Co. Second Lien Term
Loan (Germany) |
6.473 | 07/07/15 | 2,408,400 | ||||||||||||
1,323 | Celanese Holdings, LLC Dollar
Term Loan |
2.042 | 04/02/14 | 1,299,047 | ||||||||||||
2,883 | Cristal Inorganic Chemicals US,
Inc. First Lien Term Loan |
2.540 | 05/15/14 | 2,720,702 | ||||||||||||
3,740 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C1 |
4.063 | 05/05/15 | 3,610,413 | ||||||||||||
1,657 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C2 |
4.063 | 05/05/15 | 1,599,254 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Chemicals, Plastics & Rubber (continued) |
||||||||||||||||
$ | 2,495 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C5 |
4.063 | % | 05/05/15 | $ | 2,370,182 | |||||||||
3,782 | Huntsman International, LLC
New Term Loan |
2.060 | 04/21/14 | 3,649,685 | ||||||||||||
4,347 | Huntsman International, LLC
Term Loan C |
2.520 | 06/30/16 | 4,215,817 | ||||||||||||
6,651 | Kraton Polymers, LLC Term
Loan |
2.313 | 05/13/13 | 6,416,688 | ||||||||||||
529 | Lyondell Chemical Co. DIP Term
Loan (f) (g) |
5.796 | 04/06/10 | 546,216 | ||||||||||||
3,014 | Lyondell
Chemical Co. Exit Term
Loan |
5.500 | 04/08/16 | 3,014,442 | ||||||||||||
3,255 | Lyondell Chemical Co. DIP Term
Loan Roll Up (g) |
6.560 | 04/06/10 | 3,456,450 | ||||||||||||
14,668 | Lyondell
Chemical Co. CAM Exchange Term Loan (e) |
3.748 | 12/22/14 | 13,311,241 | ||||||||||||
72 | Lyondell
Chemical Co. CAM Exchange US Primary Revolving
Credit Agreement (e) (f) |
7.000 | 12/20/13 | 65,301 | ||||||||||||
1,180 | Nalco Co. Add on Term Loan |
2.023 | 05/13/16 | 1,176,004 | ||||||||||||
4,733 | Nalco Co. Term Loan |
6.500 | 05/13/16 | 4,779,380 | ||||||||||||
2,477 | Nusil Technology LLC New Term
Loan B |
6.000 | 02/18/15 | 2,501,778 | ||||||||||||
5,927 | PQ Corp. Term Loan B |
3.570 | 07/30/14 | 5,478,566 | ||||||||||||
1,580 | Rockwood Specialties Group,
Inc. Term Loan E |
4.500 | 07/30/12 | 1,582,609 | ||||||||||||
2,029 | Rockwood Specialties Group,
Inc. Term Loan H |
6.000 | 05/15/14 | 2,046,514 | ||||||||||||
5,330 | Solutia, Inc. Term Loan B |
4.750 | 03/17/17 | 5,373,393 | ||||||||||||
5,105 | Univar Inc. Term Loan |
3.273 | 10/10/14 | 5,024,384 | ||||||||||||
76,646,466 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Construction Material 1.3% |
||||||||||||||||
$ | 976 | Axia Acquisition Corp. Second
Lien Term Loan A |
3.390 | % | 03/11/16 | $ | 951,441 | |||||||||
1,918 | Axia Acquisition Corp. Second
Lien Term Loan B |
3.390 | 03/12/16 | 1,793,155 | ||||||||||||
1,712 | Building Materials Holding Corp.
Second Lien Term Loan (b) |
8.000 | 01/04/15 | 1,369,307 | ||||||||||||
2,825 | Contech Construction Products,
Inc. Term Loan |
2.260 | 01/31/13 | 2,585,291 | ||||||||||||
4,303 | Custom Building Products, Inc.
Term Loan B |
5.750 | 03/19/15 | 4,310,651 | ||||||||||||
11,009,845 | ||||||||||||||||
Containers, Packaging & Glass 4.6% |
||||||||||||||||
4,241 | Anchor Glass Container Corp.
First Lien Term Loan |
6.000 | 03/02/16 | 4,233,091 | ||||||||||||
1,425 | Anchor Glass Container Corp.
Second Lien Term Loan |
10.000 | 09/02/16 | 1,417,875 | ||||||||||||
3,400 | Berlin Packaging, LLC Term
Loan |
3.283 | 08/17/14 | 3,085,255 | ||||||||||||
3,817 | Berry Plastics Group, Inc. Term
Loan C |
2.257 | 04/03/15 | 3,575,769 | ||||||||||||
110 | Graham Packaging Co., L.P.
New Term Loan B |
2.500 | 10/07/11 | 108,998 | ||||||||||||
6,481 | Graham Packaging Co., L.P.
Term Loan C |
6.750 | 04/05/14 | 6,544,040 | ||||||||||||
1,198 | Graphic Packaging International,
Inc. Term Loan B |
2.300 | 05/16/14 | 1,182,300 | ||||||||||||
6,018 | Kranson Industries, Inc. Term
Loan B |
2.620 | 07/31/13 | 5,967,509 | ||||||||||||
5,489 | Packaging Dynamics Operating
Co. Term Loan |
2.328 | 06/09/13 | 4,981,370 | ||||||||||||
2,022 | Pertus Sechzehnte GmbH
Term Loan B2 (Germany) |
2.649 | 06/13/15 | 1,720,799 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Containers, Packaging & Glass (continued) |
||||||||||||||||
$ | 2,022 | Pertus Sechzehnte GmbH
Term Loan C2 (Germany) |
2.899 | % | 06/13/16 | $ | 1,720,800 | |||||||||
4,770 | Reynolds Group Holdings Inc.
Dollar Term Loan |
6.250 | 05/05/16 | 4,801,005 | ||||||||||||
825 | Tegrant Holding Corp. Second Lien
Term Loan |
5.800 | 03/08/15 | 585,750 | ||||||||||||
39,924,561 | ||||||||||||||||
Diversified Manufacturing 0.9% |
||||||||||||||||
342 | Arnold Magnectic Technologies
Corp. Term Loan A (a) |
9.000 | 03/07/11 | 289,282 | ||||||||||||
519 | Arnold Magnectic Technologies
Corp. Term Loan B (a) |
9.000 | 03/06/12 | 438,709 | ||||||||||||
346 | Arnold Magnectic Technologies
Corp. Term Loan C (a) |
9.000 | 03/06/12 | 292,628 | ||||||||||||
809 | Arnold Magnectic Technologies
Corp. Term Loan D (a) |
9.000 | 03/06/12 | 683,847 | ||||||||||||
586 | MW Industries, Inc. Acquisition
Term Loan (a) |
7.500 | 11/01/13 | 557,562 | ||||||||||||
4,576 | MW Industries, Inc. Term
Loan (a) |
7.500 | 11/01/13 | 4,353,863 | ||||||||||||
404 | Mueller
Water Products, Inc. Term Loan
A |
5.290 | 05/24/12 | 404,836 | ||||||||||||
1,130 | Mueller
Water Products, Inc. Term Loan
B |
5.328 | 05/23/14 | 1,134,488 | ||||||||||||
8,155,215 | ||||||||||||||||
Durable Consumer Products 0.2% |
||||||||||||||||
1,710 | Brown Jordan International, Inc.
Term Loan |
4.260 | 04/30/12 | 1,565,010 | ||||||||||||
Ecological 1.0% |
||||||||||||||||
1,471 | Energy Solutions, LLC Synthetic
A Deposit |
4.020 | 06/07/13 | 1,452,951 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Ecological (continued) |
||||||||||||||||
$ | 161 | Energy Solutions, LLC Synthetic
Letter of Credit |
4.020 | % | 06/07/13 | $ | 158,870 | |||||||||
2,257 | Energy Solutions, LLC Term
Loan |
4.030 | 06/07/13 | 2,229,284 | ||||||||||||
1,083 | Energy Solutions, LLC Term
Loan B |
4.030 | 06/07/13 | 1,069,555 | ||||||||||||
2,199 | Environmental Systems
Products Holdings Second Lien
Term Loan (a) |
13.500 | 09/12/14 | 2,199,225 | ||||||||||||
1,100 | Synagro Technologies, Inc.
Second Lien Term Loan |
5.010 | 10/02/14 | 895,584 | ||||||||||||
1,023 | Synagro Technologies, Inc.
Term Loan B |
2.260 | 04/02/14 | 932,361 | ||||||||||||
8,937,830 | ||||||||||||||||
Education & Child Care 3.5% |
||||||||||||||||
1,280 | Bright Horizons Family
Solutions, Inc. Revolving
Credit Agreement (f) |
1.270 | 05/28/14 | 1,203,200 | ||||||||||||
2,435 | Bright Horizons Family
Solutions, Inc. Term Loan B |
7.500 | 05/28/15 | 2,448,158 | ||||||||||||
11,793 | Cengage Learning Holdings II,
LP Term Loan |
2.790 | 07/03/14 | 10,575,493 | ||||||||||||
992 | Cengage Learning Holdings II,
LP Incremental Term Loan 1 |
7.500 | 07/03/14 | 1,003,589 | ||||||||||||
250 | Educate, Inc. Second Lien Term
Loan |
5.550 | 06/16/14 | 220,937 | ||||||||||||
3,334 | Education Management, LLC
Term Loan C |
2.063 | 06/03/13 | 3,268,762 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Education & Child Care (continued) |
||||||||||||||||
$ | 12,188 | Nelson Education, Ltd.,
Term Loan (Canada) |
2.790 | % | 07/05/14 | $ | 11,334,375 | |||||||||
30,054,514 | ||||||||||||||||
Electronics 4.5% |
||||||||||||||||
913 | Aeroflex, Inc.
Term Loan B-1 |
3.500 | 08/15/14 | 896,431 | ||||||||||||
5,159 | Dealer Computer Services, Inc.
Term Loan B |
5.250 | 04/21/17 | 5,159,178 | ||||||||||||
2,263 | Edwards, Ltd. First Lien Term
Loan (Cayman Islands) |
2.252 | 05/31/14 | 2,102,720 | ||||||||||||
2,067 | Edwards, Ltd. Second Lien Term
Loan (Cayman Islands) (b) |
6.002 | 11/30/14 | 1,761,873 | ||||||||||||
2,166 | Infor Enterprise Solutions
Holdings, Inc. Extended
Delayed Draw Term Loan |
6.030 | 07/28/15 | 2,100,945 | ||||||||||||
4,151 | Infor Enterprise Solutions
Holdings, Inc. Extended Initial
Term Loan |
6.030 | 07/28/15 | 4,032,001 | ||||||||||||
4,419 | Kronos, Inc. Initial Term Loan |
2.290 | 06/11/14 | 4,266,095 | ||||||||||||
701 | Matinvest 2
SAS Term Loan B2 (France) |
3.749 | 06/23/14 | 639,203 | ||||||||||||
701 | Matinvest 2
SAS
Term Loan C2 (France) |
3.999 | 06/22/15 | 638,996 | ||||||||||||
6,240 | Open Solutions, Inc. Term Loan
B |
2.445 | 01/23/14 | 5,639,432 | ||||||||||||
1,273 | Sungard Data Systems, Inc.
Incremental Term Loan |
6.750 | 02/28/14 | 1,279,952 | ||||||||||||
1,265 | Sungard Data Systems, Inc.
Term Loan A |
2.001 | 02/28/14 | 1,225,391 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Electronics (continued) |
||||||||||||||||
$ | 7,309 | Sungard Data Systems, Inc.
Term Loan B |
3.880 | % | 02/26/16 | $ | 7,279,950 | |||||||||
2,214 | Verint Systems, Inc. Term Loan B |
3.540 | 05/25/14 | 2,132,775 | ||||||||||||
39,154,942 | ||||||||||||||||
Entertainment & Leisure 5.4% |
||||||||||||||||
3,881 | Bombardier Recreational
Products, Inc., Term
Loan (Canada) |
3.250 | 06/28/13 | 3,446,075 | ||||||||||||
3,118 | Cedar Fair, LP Term Loan B
Extended |
4.291 | 02/17/14 | 3,094,843 | ||||||||||||
626 | Cedar Fair, LP Term Loan |
2.270 | 02/17/12 | 621,620 | ||||||||||||
2,000 | Cedar Fair, LP Term Loan B
Extended |
4.273 | 08/30/14 | 2,000,000 | ||||||||||||
2,354 | Fender Musical Instruments
Corp. Delayed Draw Term
Loan |
2.500 | 06/09/14 | 2,095,490 | ||||||||||||
4,661 | Fender Musical Instruments
Corp. Term Loan B |
2.550 | 06/09/14 | 4,148,324 | ||||||||||||
2,288 | Gibson Guitar Corp. Term Loan |
7.250 | 12/29/13 | 2,033,698 | ||||||||||||
6,000 | Hicks Sports Group LLC Term
Loan (d) |
6.750 | 12/22/10 | 5,415,000 | ||||||||||||
4,786 | Metro-Goldwyn-Mayer Studios,
Inc. Revolving Credit Agreement (d) (g) |
20.410 | 04/08/10 | 2,177,653 | ||||||||||||
14,269 | Metro-Goldwyn-Mayer Studios
Inc. Term Loan B (d) |
20.500 | 04/09/12 | 6,625,955 | ||||||||||||
4,771 | Mets, LP Term Loan C |
2.263 | 07/25/10 | 4,604,428 | ||||||||||||
2,020 | Playcore Holdings, Inc. Term Loan B |
2.820 | 02/21/14 | 1,949,205 | ||||||||||||
3,206 | Ticketmaster Entertainment, Inc.
Delayed Draw Term Loan B |
7.000 | 07/25/14 | 3,238,775 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Entertainment & Leisure (continued) |
||||||||||||||||
$ | 3,474 | True Temper Sports, Inc. Term Loan (a) |
13.000 | % | 10/14/13 | $ | 3,473,842 | |||||||||
1,995 | Universal City Development
Partners, Ltd. New Term Loan
B |
5.500 | 11/06/14 | 2,008,700 | ||||||||||||
46,933,608 | ||||||||||||||||
Farming & Agriculture 0.6% |
||||||||||||||||
3,677 | WM. Bolthouse Farms, Inc. New
First Lien Term Loan |
5.500 | 02/11/16 | 3,706,151 | ||||||||||||
1,773 | WM. Bolthouse Farms, Inc. New
Second Lien Term Loan |
9.500 | 08/11/16 | 1,789,901 | ||||||||||||
5,496,052 | ||||||||||||||||
Finance 8.7% |
||||||||||||||||
3,091 | American General Finance Corp.
Term Loan B |
7.250 | 04/21/15 | 3,100,182 | ||||||||||||
176 | Fidelity National Information
Solutions, Inc. Term Loan C |
4.506 | 01/18/12 | 177,862 | ||||||||||||
9,197 | First Data Corp. Term Loan B1 |
3.014 | 09/24/14 | 8,291,673 | ||||||||||||
13,432 | First Data Corp. Term Loan B2 |
3.030 | 09/24/14 | 12,089,971 | ||||||||||||
8,424 | First Data Corp. Term Loan B3 |
3.032 | 09/24/14 | 7,585,167 | ||||||||||||
4,331 | Grosvenor Capital Management
Holdings, LLP Term Loan B |
2.250 | 12/05/13 | 3,984,644 | ||||||||||||
5,531 | iPayment, Inc. Term Loan |
2.280 | 05/10/13 | 5,307,862 | ||||||||||||
6,851 | LPL Holdings, Inc. Term Loan D |
2.040 | 06/28/13 | 6,683,630 | ||||||||||||
2,402 | Metavante Corp. Term Loan B |
3.500 | 11/01/14 | 2,421,976 | ||||||||||||
2,575 | National Processing Co. Group,
Inc. Second Lien Term Loan |
10.750 | 09/29/14 | 2,353,980 | ||||||||||||
5,683 | National Processing Co. Group,
Inc. Term Loan B |
7.000 | 09/29/13 | 5,653,496 | ||||||||||||
5,740 | Nuveen Investments, Inc. Term
Loan |
3.320 | 11/13/14 | 5,263,520 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Finance (continued) |
||||||||||||||||
$ | 4,273 | Oxford Acquisition III, Ltd.,
U.S. Term Loan (United Kingdom) |
2.063 | % | 05/12/14 | $ | 3,984,836 | |||||||||
2,523 | RJO Holdings Corp. Second
Lien Term Loan (b) |
9.010 | 07/13/15 | 264,915 | ||||||||||||
4,785 | RJO Holdings Corp. Term Loan
B (b) |
5.260 | 07/12/14 | 3,238,177 | ||||||||||||
3,269 | Transfirst Holdings, Inc. Second
Lien Term Loan (b) |
7.040 | 06/15/15 | 2,765,023 | ||||||||||||
2,917 | Transfirst Holdings, Inc. Term
Loan B |
3.040 | 06/15/14 | 2,764,331 | ||||||||||||
75,931,245 | ||||||||||||||||
Grocery 0.8% |
||||||||||||||||
7,159 | Roundys Supermarkets, Inc.
Extended Term Loan |
5.810 | 11/03/13 | 7,225,715 | ||||||||||||
Health & Beauty 1.0% |
||||||||||||||||
1,840 | American Safety Razor Co. First
Lien Term Loan |
6.750 | 07/31/13 | 1,708,541 | ||||||||||||
2,845 | American Safety Razor Co. Second
Lien Term Loan |
10.500 | 01/30/14 | 1,683,388 | ||||||||||||
1,566 | Marietta Intermediate Holdings
Corp. Term Loan B (b) |
8.250 | 02/19/15 | 1,440,429 | ||||||||||||
4,094 | Philosophy, Inc. Term Loan B |
2.030 | 03/16/14 | 3,832,598 | ||||||||||||
8,664,956 | ||||||||||||||||
Healthcare 15.6% |
||||||||||||||||
1,907 | American Medical Systems, Inc.
Term Loan |
2.500 | 07/20/12 | 1,877,911 | ||||||||||||
3,710 | Capella Healthcare, Inc. First Lien
Term Loan |
5.750 | 03/02/15 | 3,709,882 | ||||||||||||
3,829 | Catalent Pharma Solutions, Inc.
Dollar Term Loan |
2.513 | 04/10/14 | 3,652,265 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Healthcare (continued) |
||||||||||||||||
$ | 1,132 | Community Health Systems, Inc.
Delayed Draw Term Loan |
2.502 | % | 07/25/14 | $ | 1,101,655 | |||||||||
22,595 | Community Health Systems, Inc.
Term Loan |
2.502 | 07/25/14 | 21,995,102 | ||||||||||||
5,208 | DSI Renal, Inc. Term Loan (b) |
9.000 | 03/31/13 | 5,117,097 | ||||||||||||
4,099 | Fresenius SE, Term
Loan C1 (Germany) |
4.500 | 09/10/14 | 4,148,744 | ||||||||||||
2,474 | Fresenius SE, Term
Loan C2 (Germany) |
4.500 | 09/10/14 | 2,504,387 | ||||||||||||
428 | Genoa Healthcare Group, LLC
Term Loan B |
5.500 | 08/10/12 | 417,361 | ||||||||||||
12,932 | HCA, Inc. Extended Term Loan
B2 |
3.540 | 03/31/17 | 12,864,260 | ||||||||||||
1,098 | HCA, Inc. Term Loan A |
1.790 | 11/16/12 | 1,066,814 | ||||||||||||
5,392 | HCA, Inc. Term Loan B |
2.540 | 11/18/13 | 5,254,381 | ||||||||||||
4,281 | HCR Healthcare, LLC Term
Loan B |
2.773 | 12/22/14 | 4,217,148 | ||||||||||||
10,484 | Health Management Associates,
Inc. Term Loan B |
2.040 | 02/28/14 | 10,172,296 | ||||||||||||
672 | HealthSouth Corp. Extended
Term Loan B |
4.010 | 09/10/15 | 672,605 | ||||||||||||
817 | HealthSouth Corp. Term Loan B |
2.510 | 03/11/13 | 803,779 | ||||||||||||
6,076 | IMS Health Inc. Term Loan B |
5.250 | 02/26/16 | 6,123,125 | ||||||||||||
10,698 | Inverness Medical Innovations,
Inc. First Lien Term Loan |
2.270 | 06/26/14 | 10,529,015 | ||||||||||||
4,060 | Multiplan, Inc. Incremental Term
Loan |
6.000 | 04/12/13 | 4,071,371 | ||||||||||||
4,321 | Multiplan, Inc. Term Loan B |
3.563 | 04/12/13 | 4,256,025 | ||||||||||||
4,531 | Multiplan, Inc. Term Loan C |
3.563 | 04/12/13 | 4,463,451 | ||||||||||||
5,312 | Rehabcare Group, Inc. Term
Loan B |
6.000 | 11/24/15 | 5,345,688 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Healthcare (continued) |
||||||||||||||||
$ | 1,865 | Select Medical Corp. Term Loan
B |
2.251 | % | 02/24/12 | $ | 1,808,943 | |||||||||
2,264 | Skilled Healthcare Group, Inc.
Term Loan B (f) |
5.250 | 04/08/16 | 2,269,716 | ||||||||||||
402 | Sun Healthcare Group, Inc.
Synthetic Letter of Credit |
2.290 | 04/21/14 | 388,218 | ||||||||||||
1,796 | Sun Healthcare Group, Inc.
Term Loan B |
2.350 | 04/21/14 | 1,733,153 | ||||||||||||
10,185 | Surgical Care Affiliates, LLC
Term Loan |
2.290 | 12/29/14 | 9,828,783 | ||||||||||||
822 | United Surgical Partners,
International Inc. Delayed
Draw Term Loan |
2.270 | 04/21/14 | 798,525 | ||||||||||||
4,991 | United Surgical Partners,
International Inc. Term Loan
B |
2.290 | 04/19/14 | 4,847,527 | ||||||||||||
136,039,227 | ||||||||||||||||
Home & Office Furnishings, Housewares & Durable
Consumer Products 0.8% |
||||||||||||||||
1,000 | Hunter Fan Co. Second Lien Term
Loan |
7.000 | 10/16/14 | 622,500 | ||||||||||||
167 | Hunter Fan Co. Revolving Credit
Agreement (f) |
1.840 | 04/16/13 | 141,667 | ||||||||||||
1,107 | Hunter Fan Co. Term Loan |
2.760 | 04/16/14 | 1,009,336 | ||||||||||||
2,577 | Mattress Holdings Corp. Term
Loan B |
2.690 | 01/18/14 | 2,141,298 | ||||||||||||
3,423 | National Bedding Co. LLC Second
Lien Term Loan |
5.313 | 02/28/14 | 3,183,753 | ||||||||||||
7,098,554 | ||||||||||||||||
Hotels, Motels, Inns & Gaming 7.0% |
||||||||||||||||
1,250 | BLB Worldwide Holdings, Inc.
Second Lien Term Loan (d) |
6.500 | 07/18/12 | 75,000 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Hotels, Motels, Inns & Gaming (continued) |
||||||||||||||||
$ | 6,381 | BLB Worldwide Holdings, Inc.
Term Loan B (b) |
4.750 | % | 07/18/11 | $ | 4,583,742 | |||||||||
500 | Cannery Casino Resorts, LLC
Second Lien Term Loan |
4.509 | 05/16/14 | 422,500 | ||||||||||||
2,494 | Cannery Casino Resorts, LLC
Delayed Draw Term Loan |
4.501 | 05/20/13 | 2,330,748 | ||||||||||||
589 | Cannery Casino Resorts, LLC
Revolving Credit Agreement (f) |
2.780 | 05/18/12 | 503,284 | ||||||||||||
3,017 | Cannery Casino Resorts, LLC
Term Loan B |
4.509 | 05/18/13 | 2,818,843 | ||||||||||||
3,223 | CCM Merger, Inc. Term Loan B |
8.500 | 07/13/12 | 3,197,966 | ||||||||||||
1,981 | Golden Nugget, Inc. New
Delayed Draw Term Loan (b) |
3.270 | 06/30/14 | 1,548,706 | ||||||||||||
3,481 | Golden Nugget, Inc. Term Loan
B (b) |
3.280 | 06/30/14 | 2,720,756 | ||||||||||||
36 | Greektown Casino, LLC
Incremental Term Loan
B (b)(d)(e) |
7.000 | 12/03/12 | 38,924 | ||||||||||||
248 | Greektown Casino, LLC Term
Loan B (b)(d)(e) |
7.000 | 12/03/12 | 270,574 | ||||||||||||
499 | Harrahs Operating Co., Inc.
Incremental Term Loan B4 |
9.500 | 10/31/16 | 518,804 | ||||||||||||
11,469 | Harrahs Operating Co., Inc.
Term Loan B1 |
3.316 | 01/28/15 | 10,108,692 | ||||||||||||
6,351 | Harrahs Operating Co., Inc.
Term Loan B3 |
3.320 | 01/28/15 | 5,581,639 | ||||||||||||
802 | Isle Of Capri Casinos, Inc. New
Delayed Draw Term Loan A |
5.000 | 11/25/13 | 785,459 | ||||||||||||
912 | Isle Of Capri Casinos, Inc. New
Delayed Draw Term Loan B |
5.000 | 11/25/13 | 893,074 | ||||||||||||
2,280 | Isle Of Capri Casinos, Inc. New
Term Loan B |
5.000 | 11/25/13 | 2,232,684 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Hotels, Motels, Inns & Gaming (continued) |
||||||||||||||||
$ | 2,461 | Las Vegas Sands, LLC/Venetian
Casino Delayed Draw Term
Loan |
2.050 | % | 05/23/14 | $ | 2,330,620 | |||||||||
7,521 | Las Vegas Sands, LLC/Venetian
Casino Term Loan B |
2.050 | 05/23/14 | 7,123,424 | ||||||||||||
1,222 | Magnolia Hill, LLC Delayed Draw
Term Loan |
3.516 | 10/30/13 | 1,100,168 | ||||||||||||
3,479 | Magnolia Hill, LLC Term Loan |
3.530 | 10/30/13 | 3,131,248 | ||||||||||||
2,529 | MGM Mirage Class D Term Loan |
6.000 | 10/03/11 | 2,489,090 | ||||||||||||
176 | Venetian Macau, Ltd. Delayed
Draw Term Loan B |
4.800 | 05/25/12 | 173,512 | ||||||||||||
3,409 | Venetian Macau, Ltd. New
Project Term Loan |
4.800 | 05/27/13 | 3,361,833 | ||||||||||||
2,302 | Venetian Macau, Ltd. Term Loan
B |
4.800 | 05/27/13 | 2,273,325 | ||||||||||||
60,614,615 | ||||||||||||||||
Insurance 3.5% |
||||||||||||||||
3,884 | Alliant Holdings I, Inc. Term
Loan B |
3.290 | 08/21/14 | 3,723,388 | ||||||||||||
7,007 | AmWins Group, Inc. First Lien
Term Loan |
2.770 | 06/08/13 | 6,574,450 | ||||||||||||
595 | Applied Systems, Inc. Term
Loan |
2.773 | 09/26/13 | 570,842 | ||||||||||||
2,335 | Audatex North America, Inc.
Term Loan C |
2.063 | 05/16/14 | 2,300,880 | ||||||||||||
2,324 | Conseco, Inc. New Term Loan |
7.500 | 10/10/13 | 2,268,551 | ||||||||||||
825 | HMSC Corp. Second Lien Term
Loan |
5.838 | 10/03/14 | 554,812 | ||||||||||||
3,897 | Mitchell International, Inc. Second
Lien Term Loan |
5.563 | 03/30/15 | 3,321,923 | ||||||||||||
4,991 | USI Holdings Corp. Term Loan |
3.050 | 05/05/14 | 4,660,334 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Insurance (continued) |
||||||||||||||||
$ | 1,450 | Vertafore, Inc. Second Lien Term
Loan |
6.252 | % | 01/31/13 | $ | 1,363,000 | |||||||||
5,324 | Vertafore, Inc. Term Loan B2 |
5.500 | 07/31/14 | 5,177,363 | ||||||||||||
30,515,543 | ||||||||||||||||
Machinery 1.8% |
||||||||||||||||
3,912 | Baldor Electric Co. Term Loan B |
5.250 | 01/31/14 | 3,938,893 | ||||||||||||
3,250 | Bucyrus International, Inc. Term
Loan |
4.500 | 02/19/16 | 3,276,104 | ||||||||||||
4,815 | Goodman Global, Inc. Term
Loan B |
6.250 | 02/13/14 | 4,838,126 | ||||||||||||
1,500 | Manitowoc Co., Inc. Term Loan
B |
4.813 | 11/06/14 | 1,505,894 | ||||||||||||
2,918 | Mold-Masters Luxembourg
Holdings, SA Mold Masters
Term Loan |
3.875 | 10/11/14 | 2,407,395 | ||||||||||||
15,966,412 | ||||||||||||||||
Medical Products & Services 2.2% |
||||||||||||||||
6,680 | Biomet, Inc. Term Loan B |
3.280 | 03/25/15 | 6,598,586 | ||||||||||||
7,643 | Carestream Health, Inc. First Lien
Term Loan |
2.273 | 04/30/13 | 7,453,073 | ||||||||||||
4,842 | DJO Finance, LLC New Term
Loan B |
3.273 | 05/20/14 | 4,723,058 | ||||||||||||
407 | Orthofix Holdings, Inc. Term
Loan |
6.750 | 09/22/13 | 406,764 | ||||||||||||
19,181,481 | ||||||||||||||||
Mining, Steel, Iron & Non-Precious Metals 0.0% |
||||||||||||||||
404 | John Maneely Co. Term Loan |
3.550 | 12/09/13 | 389,122 | ||||||||||||
Natural Resources 0.8% |
||||||||||||||||
1,000 | Dresser, Inc. Second Lien Term
Loan |
6.000 | 05/04/15 | 973,000 | ||||||||||||
5,000 | Dresser, Inc. Term Loan |
2.500 | 05/04/14 | 4,877,330 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Natural Resources (continued) |
||||||||||||||||
$ | 1,458 | Targa Resources, Inc. New
Term Loan |
6.000 | % | 07/05/16 | $ | 1,465,184 | |||||||||
7,315,514 | ||||||||||||||||
Non-Durable Consumer Products 3.1% |
||||||||||||||||
3,732 | Amscan Holdings, Inc. New
Term Loan |
2.534 | 05/25/13 | 3,591,579 | ||||||||||||
5,246 | Huish Detergents, Inc. Term
Loan B |
2.030 | 04/26/14 | 5,140,955 | ||||||||||||
397 | KIK Custom Products, Inc.
Canadian Term Loan |
2.570 | 06/02/14 | 348,538 | ||||||||||||
2,314 | KIK Custom Products, Inc. First
Lien Term Loan |
2.570 | 06/02/14 | 2,033,141 | ||||||||||||
4,000 | KIK Custom Products, Inc.
Second Lien Term Loan |
5.316 | 11/30/14 | 2,640,000 | ||||||||||||
9,369 | Spectrum Brands, Inc. Dollar
Term Loan |
8.000 | 06/29/12 | 9,371,066 | ||||||||||||
479 | Spectrum Brands, Inc. Letter of
Credit |
8.000 | 06/29/12 | 478,769 | ||||||||||||
3,236 | Yankee Candle Co., Inc. Term
Loan B |
2.280 | 02/06/14 | 3,182,612 | ||||||||||||
26,786,660 | ||||||||||||||||
Paper & Forest Products 1.2% |
||||||||||||||||
2,400 | Ainsworth Lumber Co., Ltd.
Term Loan |
5.313 | 06/26/14 | 2,208,000 | ||||||||||||
995 | Georgia Pacific Corp. New Term
Loan B |
2.270 | 12/21/12 | 990,362 | ||||||||||||
638 | Georgia Pacific Corp. New Term
Loan C |
3.530 | 12/23/14 | 640,131 | ||||||||||||
1,736 | Tidi Products, LLC Term Loan
A (a) |
3.250 | 12/29/11 | 1,704,297 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Paper & Forest Products (continued) |
||||||||||||||||
$ | 413 | Tidi Products, LLC Term Loan
B (a) |
4.754 | % | 06/29/12 | $ | 404,869 | |||||||||
414 | Verso Paper Holding, LLC Term
Loan (b) |
6.570 | 02/01/13 | 345,470 | ||||||||||||
125 | White Birch Paper Co. DIP
Delayed Draw Term Loan
(Canada) (f) |
4.770 | 12/01/10 | 124,763 | ||||||||||||
1,296 | White Birch Paper Co. DIP Term
Loan B (Canada) |
12.000 | 12/01/10 | 1,296,970 | ||||||||||||
5,886 | White Birch Paper Co. First Lien
Term Loan (Canada) (b)(d) |
7.000 | 05/08/14 | 2,377,776 | ||||||||||||
10,092,638 | ||||||||||||||||
Pharmaceuticals 2.4% |
||||||||||||||||
6,933 | Mylan Laboratories, Inc. Term
Loan B |
3.563 | 10/02/14 | 6,935,375 | ||||||||||||
125 | Nyco Holdings 2 ApS
Term Loan A (Denmark) |
1.790 | 12/29/13 | 117,333 | ||||||||||||
2,228 | Nyco Holdings 2 ApS
Term Loan B2 (Denmark) |
2.540 | 12/29/14 | 2,095,472 | ||||||||||||
2,228 | Nyco Holdings 2 ApS
Term Loan C2 (Denmark) |
3.290 | 12/29/15 | 2,095,472 | ||||||||||||
639 | Nyco Holdings 3 ApS Facility A2
(Denmark) |
1.790 | 12/29/13 | 601,246 | ||||||||||||
20 | Nyco Holdings 3 ApS Facility A3
(Denmark) |
1.790 | 12/29/13 | 18,894 | ||||||||||||
13 | Nyco Holdings 3 ApS Facility A4
(Denmark) |
1.790 | 12/29/13 | 12,035 | ||||||||||||
90 | Nyco Holdings 3 ApS Facility A5
(Denmark) |
1.790 | 12/29/13 | 85,101 | ||||||||||||
1,545 | Warner Chilcott, LLC
Incremental Term Loan |
5.750 | 04/30/15 | 1,549,598 | ||||||||||||
2,964 | Warner Chilcott, LLC Term Loan A |
5.500 | 10/30/14 | 2,972,274 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Pharmaceuticals (continued) |
||||||||||||||||
$ | 1,517 | Warner Chilcott, LLC Term Loan B1 |
5.750 | % | 04/30/15 | $ | 1,521,630 | |||||||||
2,526 | Warner Chilcott, LLC Term Loan B2 |
5.750 | 04/30/15 | 2,533,790 | ||||||||||||
20,538,220 | ||||||||||||||||
Printing & Publishing 4.8% |
||||||||||||||||
789 | Affiliated Media New Term Loan |
8.250 | 03/19/14 | 743,382 | ||||||||||||
4,018 | Cygnus Business Media, Inc.
Term Loan (h) |
9.750 | 06/30/13 | 3,977,858 | ||||||||||||
1,787 | Dex Media West, LLC New Term
Loan |
7.500 | 10/24/14 | 1,703,217 | ||||||||||||
5,000 | Endurance Business Media, Inc.
Second Lien Term Loan (a)(d) |
11.250 | 01/26/14 | 0 | ||||||||||||
6,260 | Endurance Business Media, Inc.
Term Loan (d) |
4.750 | 07/26/13 | 1,564,993 | ||||||||||||
1,650 | F&W Publications, Inc. Second Lien
Term Loan (d) |
6.500 | 02/05/13 | 24,750 | ||||||||||||
9,973 | F&W Publications, Inc.
Term Loan B (d) |
6.500 | 08/05/12 | 5,235,927 | ||||||||||||
2,896 | GateHouse Media, Inc. Delayed
Draw Term Loan |
2.260 | 08/28/14 | 1,433,430 | ||||||||||||
4,514 | GateHouse Media, Inc. Term
Loan B |
2.280 | 08/28/14 | 2,234,193 | ||||||||||||
1,000 | Knowledgepoint360 Group, LLC
Second Lien Term Loan |
7.250 | 04/13/15 | 610,000 | ||||||||||||
581 | Knowledgepoint360 Group, LLC
First Lien Term Loan |
3.500 | 04/14/14 | 435,398 | ||||||||||||
1,670 | MC Communications, LLC Term
Loan (b) |
6.750 | 12/31/12 | 1,002,251 | ||||||||||||
3,271 | Merrill Communications, LLC
Second Lien Term Loan (b) |
14.754 | 11/15/13 | 2,780,651 | ||||||||||||
5,338 | Network Communications, Inc.
Term Loan |
2.420 | 11/30/12 | 3,709,615 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Printing & Publishing (continued) |
||||||||||||||||
$ | 453 | Proquest CSA, LLC Term Loan |
2.780 | % | 02/09/14 | $ | 429,533 | |||||||||
493 | SuperMedia, Inc. Exit Term Loan |
11.000 | 12/31/15 | 463,004 | ||||||||||||
26,984 | Tribune Co. Bridge Loan (d)(e) |
8.250 | 12/20/15 | 640,868 | ||||||||||||
8,662 | Tribune Co. Term Loan B (d)(e) |
5.250 | 06/04/14 | 5,827,997 | ||||||||||||
2,330 | West Corp., Term Loan Term
Loan B2 |
2.640 | 10/24/13 | 2,277,562 | ||||||||||||
6,231 | Yell Group PLC
New Term Loan B1
(United Kingdom) |
4.023 | 07/31/14 | 5,195,220 | ||||||||||||
1,690 | Yell Group PLC
New Term Loan A3 (United Kingdom) |
3.773 | 04/30/14 | 1,413,509 | ||||||||||||
41,703,358 | ||||||||||||||||
Restaurants & Food Service 2.5% |
||||||||||||||||
4,272 | Advantage Sales & Marketing,
Inc. Term Loan |
2.260 | 03/29/13 | 4,272,059 | ||||||||||||
344 | Aramark Corp. Extended Letter
of Credit |
3.542 | 07/26/16 | 342,018 | ||||||||||||
5,224 | Aramark Corp. Extended Term
Loan B |
3.540 | 07/26/16 | 5,200,603 | ||||||||||||
193 | Aramark Corp. Synthetic Letter
of Credit |
2.167 | 01/27/14 | 190,131 | ||||||||||||
2,900 | Aramark Corp. Term Loan |
2.165 | 01/27/14 | 2,853,850 | ||||||||||||
2,721 | Center Cut Hospitality, Inc. Term
Loan |
9.250 | 07/06/14 | 2,584,691 | ||||||||||||
3,969 | NPC International, Inc. Term
Loan B |
2.050 | 05/03/13 | 3,859,972 | ||||||||||||
358 | Volume Services America, Inc.
Revolving Credit Agreement (f) |
4.310 | 12/31/12 | 358,140 | ||||||||||||
2,500 | Volume Services America, Inc.
Term Loan |
9.250 | 12/31/12 | 2,499,927 | ||||||||||||
22,161,391 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Retail Oil & Gas 1.0% |
||||||||||||||||
$ | 931 | The Pantry, Inc. Delayed Draw
Term Loan B |
2.030 | % | 05/15/14 | $ | 896,387 | |||||||||
3,232 | The Pantry, Inc. Term Loan B |
2.030 | 05/15/14 | 3,113,345 | ||||||||||||
4,323 | Pilot Travel Centers LLC Term
Loan B (l) |
| 04/30/16 | 4,361,177 | ||||||||||||
8,370,909 | ||||||||||||||||
Retail Stores 3.5% |
||||||||||||||||
2,000 | CDW Corp. Term Loan |
4.338 | 10/10/14 | 1,871,072 | ||||||||||||
6,186 | Dollar General Corp.
Term Loan B-1 |
3.060 | 07/07/14 | 6,107,914 | ||||||||||||
7,402 | General Nutrition Centers, Inc.
Term Loan B |
2.540 | 09/16/13 | 7,209,748 | ||||||||||||
3,699 | Guitar Center, Inc. Term Loan B |
3.770 | 10/09/14 | 3,462,555 | ||||||||||||
6,032 | Rite Aid Corp. Term Loan 3 |
6.000 | 06/04/14 | 5,969,343 | ||||||||||||
2,970 | Sally Holdings, Inc. Term Loan B |
2.520 | 11/15/13 | 2,939,660 | ||||||||||||
3,129 | Savers, Inc. Term Loan B |
5.750 | 03/11/16 | 3,148,655 | ||||||||||||
30,708,947 | ||||||||||||||||
Telecommunications Equipment & Services 0.5% |
||||||||||||||||
4,887 | Avaya, Inc. Term Loan |
3.002 | 10/24/14 | 4,487,993 | ||||||||||||
Telecommunications Local Exchange Carriers 1.5% |
||||||||||||||||
3,084 | Global Tel*Link Corp. Term Loan
B (f) |
6.000 | 03/02/16 | 3,091,345 | ||||||||||||
1,820 | Intelsat Corp. Term Loan B-2-A |
2.792 | 01/03/14 | 1,788,138 | ||||||||||||
1,820 | Intelsat Corp. Term Loan B-2-B |
2.792 | 01/03/14 | 1,787,589 | ||||||||||||
1,820 | Intelsat Corp. Term Loan B-2-C |
2.792 | 01/03/14 | 1,787,590 | ||||||||||||
819 | Orius Corp., LLC Term Loan
A (a)(c)(d)(e)(g) |
6.750 | 01/23/09 | 13,185 | ||||||||||||
607 | Orius Corp., LLC Term Loan
B1 (a)(c)(d)(e)(g) |
7.250 | 01/23/10 | 9,769 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Telecommunications Local Exchange Carriers
(continued) |
||||||||||||||||
$ | 5,094 | Sorenson Communications, Inc.
Term Loan C |
6.000 | % | 08/16/13 | $ | 4,996,680 | |||||||||
13,474,296 | ||||||||||||||||
Telecommunications Long Distance 0.7% |
||||||||||||||||
1,417 | Level 3 Communications, Inc.
Add on Term Loan |
11.500 | 03/13/14 | 1,552,135 | ||||||||||||
4,600 | Level 3 Communications, Inc.
Term Loan A |
2.548 | 03/13/14 | 4,316,815 | ||||||||||||
5,868,950 | ||||||||||||||||
Telecommunications Wireless 2.2% |
||||||||||||||||
6,738 | Asurion Corp. First Lien Term
Loan |
3.250 | 07/03/14 | 6,670,839 | ||||||||||||
3,618 | CommScope, Inc. Term Loan B |
2.790 | 12/26/14 | 3,607,798 | ||||||||||||
736 | MetroPCS Wireless, Inc. Term
Loan B |
2.520 | 11/04/13 | 720,628 | ||||||||||||
7,782 | NTELOS, Inc. Term Loan B |
5.750 | 08/07/15 | 7,835,083 | ||||||||||||
18,834,348 | ||||||||||||||||
Textiles & Leather 1.9% |
||||||||||||||||
3,022 | Gold Toe Investment Corp. First
Lien Term Loan B |
8.500 | 10/30/13 | 2,939,252 | ||||||||||||
2,750 | Gold Toe Investment Corp.
Second Lien Term Loan |
11.750 | 04/30/14 | 2,365,000 | ||||||||||||
3,906 | HanesBrands, Inc. New Term
Loan |
5.250 | 12/10/15 | 3,954,694 | ||||||||||||
4,850 | Levi Strauss & Co. Term Loan |
2.513 | 03/27/14 | 4,668,086 | ||||||||||||
2,850 | Varsity Brands, Inc. Term Loan
B |
3.063 | 02/22/14 | 2,550,866 | ||||||||||||
16,477,898 | ||||||||||||||||
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Transportation Cargo 0.2% |
||||||||||||||||
$ | 927 | Cardinal Logistics Management,
Inc. First Lien Term Loan (b) |
12.500 | % | 09/23/13 | $ | 741,697 | |||||||||
908 | JHCI Acquisitions, Inc. First Lien
Term Loan |
2.780 | 06/19/14 | 834,173 | ||||||||||||
1,575,870 | ||||||||||||||||
Transportation Personal 0.2% |
||||||||||||||||
1,981 | Avis Budget Car Rental, LLC
New Term Loan |
5.750 | 04/19/14 | 1,981,158 | ||||||||||||
Utilities 10.1% |
||||||||||||||||
1,585 | Bicent
Power, LLC First Lien
Term Loan B |
2.300 | 06/30/14 | 1,499,614 | ||||||||||||
4,842 | BRSP, LLC Term Loan B |
7.500 | 06/04/14 | 4,853,891 | ||||||||||||
25,770 | Calpine Corp. First Priority Term
Loan |
3.165 | 03/29/14 | 24,893,879 | ||||||||||||
5,500 | Firstlight Power Resources, Inc.
Second Lien Term Loan |
4.813 | 05/01/14 | 5,060,000 | ||||||||||||
534 | Firstlight Power Resources, Inc.
Synthetic Letter of Credit |
2.813 | 11/01/13 | 518,998 | ||||||||||||
5,159 | Firstlight Power Resources, Inc.
Term Loan B |
2.813 | 11/01/13 | 5,016,926 | ||||||||||||
2,567 | Longview Power, LLC Delayed
Draw Term Loan |
2.563 | 02/28/14 | 2,337,805 | ||||||||||||
733 | Longview Power, LLC Synthetic
Letter of Credit |
2.563 | 02/28/14 | 667,944 | ||||||||||||
2,200 | Longview Power, LLC Term
Loan B |
2.563 | 02/28/14 | 2,003,833 | ||||||||||||
187 | Mach Gen, LLC Letter of Credit |
2.540 | 02/22/13 | 174,611 | ||||||||||||
5,203 | NRG Energy, Inc. Synthetic
Letter of Credit |
2.040 | 12/09/13 | 5,110,006 | ||||||||||||
7,889 | NRG Energy, Inc. Term Loan |
2.000 | 12/09/13 | 7,748,836 | ||||||||||||
254 | NSG Holdings, LLC Letter of
Credit |
1.757 | 06/15/14 | 246,786 |
Principal | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Stated Maturity* | Value | ||||||||||||
Utilities (continued) |
||||||||||||||||
$ | 1,241 | NSG Holdings, LLC Term Loan |
1.757 | % | 06/15/14 | $ | 1,203,445 | |||||||||
4,516 | Primary Energy Operations, LLC
New Term Loan |
6.500 | 10/23/14 | 4,448,359 | ||||||||||||
7,463 | Texas Competitive Electric
Holdings Co., LLC Delayed
Draw Term Loan |
3.750 | 10/10/14 | 6,063,751 | ||||||||||||
5,691 | Texas Competitive Electric
Holdings Co., LLC Term Loan
B2 |
3.750 | 10/10/14 | 4,680,813 | ||||||||||||
1,975 | Texas Competitive Electric
Holdings Co., LLC Term Loan
B3 |
3.752 | 10/10/14 | 1,614,029 | ||||||||||||
4,700 | TPF Generation Holdings, LLC
Second Lien Term Loan C |
4.540 | 12/15/14 | 4,362,775 | ||||||||||||
828 | TPF Generation Holdings, LLC
Synthetic Letter of Credit |
2.290 | 12/13/13 | 804,772 | ||||||||||||
260 | TPF Generation Holdings, LLC
Synthetic Revolving Credit Agreement |
2.290 | 12/15/11 | 252,279 | ||||||||||||
2,091 | TPF Generation Holdings, LLC
Term Loan B |
2.290 | 12/15/13 | 2,032,458 | ||||||||||||
2,173 | USPF Holdings, LLC Term Loan |
2.013 | 04/11/14 | 2,158,927 | ||||||||||||
87,754,737 | ||||||||||||||||
Total Variable Rate Senior Loan Interests 149.0% |
1,298,796,857 | |||||||||||||||
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Maturity | Value | ||||||||||||
Notes 3.1% |
||||||||||||||||
Chemicals, Plastics & Rubber 0.1% |
||||||||||||||||
1,103 | Wellman, Inc. (a)(b) |
5.000 | % | 01/29/19 | $ | 1,103,049 | ||||||||||
Construction Material 0.9% |
||||||||||||||||
5,063 | Builders
FirstSource, Inc. (i) |
13.000 | 02/15/16 | 5,252,863 | ||||||||||||
2,700 | Compression Polymers Corp. (i) |
7.180 | 07/01/12 | 2,605,500 | ||||||||||||
7,858,363 | ||||||||||||||||
Containers, Packaging & Glass 0.2% |
||||||||||||||||
1,900 | Berry Plastics Group, Inc. (i) |
5.053 | 02/15/15 | 1,866,750 | ||||||||||||
Ecological 0.1% |
||||||||||||||||
560 | Environmental Systems
Products Holdings, Inc. |
18.000 | 03/31/15 | 560,083 | ||||||||||||
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Borrower | Coupon | Maturity | Value | ||||||||||||
Healthcare 0.8% |
||||||||||||||||
$ | 6,167 | Apria Healthcare Group Inc. |
11.250 | % | 11/01/14 | $ | 6,806,458 | |||||||||
Hotels, Motels, Inns & Gaming 0.2% |
||||||||||||||||
2,000 | Wynn Las Vegas LLC |
7.875 | 05/01/20 | 2,027,500 | ||||||||||||
Non-Durable Consumer Products 0.1% |
||||||||||||||||
677 | Targus Group International, Inc. (a) |
10.000 | 12/15/15 | 659,903 | ||||||||||||
Paper & Forest Products 0.2% |
||||||||||||||||
1,500 | Verso Paper Holding, LLC (i) |
3.999 | 08/01/14 | 1,372,500 | ||||||||||||
Telecommunications Local Exchange Carriers 0.5% |
||||||||||||||||
4,500 | Qwest Corp. (i) |
3.507 | 06/15/13 | 4,590,000 | ||||||||||||
Total Notes 3.1% |
26,844,606 | |||||||||||||||
Description | Value | ||
Equities 0.9% |
|||
Axia
Acquisition Holding, Inc. (595 common shares, Acquired 04/21/10,
Cost $2,673,763) (h) (j) (k) |
$ | 1,491,652 | |
Building Materials Holdings Corp. (923,526 common shares,
Acquired 01/11/10, Cost $1,406,020) (j) (k) |
738,821 | ||
Comdisco Holdings Co., Inc. (7 common shares, Acquired 09/04/08, Cost
$68) (j) (k) |
64 | ||
CTM Media Holdings, Inc. (2,544 common shares, Acquired 09/19/09,
Cost $35,444) (k) |
6,231 | ||
Cumulus Media, Inc. (Warrants for 7,614 common shares, Expiration date
06/29/19, Acquired 01/14/10, Cost $0) (a) (j) (k) |
28,247 | ||
Cygnus Business Media, Inc. (5,882 common shares, Acquired 09/29/09,
Cost $1,251,821) (a) (h) (j) (k) |
0 | ||
Environmental Systems Products Holdings, Inc. (9,333 common shares,
Acquired 09/27/07, Cost $0) (a) (j) (k) |
0 | ||
Environmental Systems Products Holdings, Inc. (4,275 preferred shares,
Acquired 09/27/07, Cost $106,875) (j) (k) |
32,686 | ||
Euramax International Inc. (4,207 common shares, Acquired 07/09/09,
Cost $4,543,100) (j) (k) |
757,278 | ||
Generation Brands, LLC (4,863 common shares, Acquired 01/26/10, Cost
$0) (a) (j) (k) |
0 | ||
IAP Worldwide Services, Inc. (Warrants for 17,576 common shares,
Expiration date 06/11/15, Acquired 06/18/08, Cost $0) (a) (j) (k) |
0 | ||
IAP Worldwide Services, Inc. (Warrants for 39,841 common shares,
Expiration date 06/12/15, Acquired 06/18/08, Cost $0) (a) (j) (k) |
0 |
Description | Value | |||
Equities (continued) |
||||
IDT Corp. (7,632 common shares, Acquired 01/30/04, Cost $0)(k) |
$ | 75,633 | ||
MC Communications, LLC (333,084 common shares, Acquired 07/02/09,
Cost $0) (a) (j) (k) |
0 | |||
Media News Group, Inc. (46,746 common shares, Acquired 03/29/10,
Cost $3,069,828) (k) |
747,930 | |||
Mega Brands,
Inc. (Canada) (553,671 common shares, Acquired 03/31/10,
Cost $1,627,958) (k) |
288,881 | |||
Marietta Intermediate Holdings Corp. (2,023,400 common shares,
Acquired 04/22/10, Cost $48,742) (a) (h) (j) (k) |
749,063 | |||
Marietta Intermediate Holdings Corp. (Warrants for 247,917 common shares,
Acquired 03/17/10, Cost $0) (a) (j) (k) |
0 | |||
Newhall Holding Co., LLC (343,321 common shares, Acquired 08/24/09,
Cost $3,096,884) (k) |
643,727 | |||
Safelite Realty (28,448 common shares, Acquired 10/20/00, Cost $0) (a) (j) (k) |
0 | |||
SuperMedia, Inc. (2,333 common shares, Acquired 01/07/10, Cost $179,917) (k) |
104,752 | |||
Targus Group International, Inc. (27,462 common shares, Acquired
12/16/09, Cost $0) (a) (j) (k) |
0 | |||
True Temper Sports, Inc. (121,429 common shares, Acquired 12/17/09,
Cost $4,287,500) (a) (j) (k) |
850,003 | |||
Vitruvian Exploration, LLC (40,110 common shares, Acquired 10/19/09,
Cost $1,717,401) (k) |
421,155 | |||
WCI Communities, Inc. (6,756 common shares, Acquired 09/23/09, Cost
$759,755) (k) |
574,260 | |||
Wellman, Inc. (1,048 common shares, Acquired 02/12/09 & 06/16/09,
Cost $2,941,862) (a) (k) |
344,970 | |||
Total Equities 0.9% |
7,855,353 | |||
Total Long-Term Investments 153.0% (Cost $1,497,224,378) |
1,333,496,816 | |||
Time Deposit 0.3% |
||||
State Street Bank & Trust Co. ($2,554,699 par, 0.01% coupon,
dated 04/30/10, to be sold on 05/03/10 at $2,554,701)
(Cost $2,554,699) |
2,554,699 | |||
Total Investments 153.3% (Cost $1,499,779,077) |
1,336,051,515 | |||
Borrowings (29.6%) |
(258,000,000 | ) | ||
Preferred Shares (including accrued distributions) (23.0%) |
(200,029,326 | ) | ||
Liabilities in Excess of Other Assets (0.7%) |
(6,570,784 | ) | ||
Net Assets 100.0% |
$ | 871,451,405 | ||
(a) | Market value is determined in accordance with procedures established in good faith by the Board of Trustees. | |
(b) | All or a portion of this security is payment-in-kind. | |
(c) | This borrower is currently in liquidation. | |
(d) | This Senior Loan interest is non-income producing. | |
(e) | This borrower has filed for protection in federal bankruptcy court. | |
(f) | All or a portion of this holding is subject to unfunded loan commitments. | |
(g) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(h) | Affiliated Company. | |
(i) | Variable rate security. Interest rate shown is that in effect at April 30, 2010. | |
(j) | Restricted security. Securities were acquired through the restructuring of senior loans. These securities are restricted as they are not allowed to be deposited via the Depository Trust Company. If at a later point in time, the company wishes to register, the issuer will bear the costs associated with registration. | |
(k) | Non-income producing security. | |
(l) | This floating rate interest will settle after April 30, 2010, at which time the interest rate will be determined. | |
* | Senior Loans in the Trusts portfolio generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans in the Trusts portfolio may occur. As a result, the actual remaining maturity of Senior Loans held in the Trusts portfolio may be substantially less than the stated maturities shown. Although the Trust is unable to accurately estimate the actual remaining maturity of individual Senior Loans, the Trust estimates that the actual average maturity of the Senior Loans held in its portfolio will be approximately 18-24 months. | |
** | Senior Loans in which the Trust invests generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (h) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks or (iii) the certificate of deposit rate. Senior Loans are generally considered to be restricted in that the Trust ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
Pay/ | Credit | |||||||||||||||||||||||||
Receive | Notional | Rating of | ||||||||||||||||||||||||
Reference | Buy/Sell | Fixed | Expiration | Amount | Upfront | Reference | ||||||||||||||||||||
Counterparty | Entity | Protection | Rate | Date | (000) | Payments | Value | Entity * | ||||||||||||||||||
Goldman Sachs International |
Calpine Corp. | Sell | 5.000 | % | 03/20/11 | $ | 2,000 | $ | (65,000 | ) | $ | 47,899 | B | |||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Co. LLC |
Sell | 2.850 | 06/20/10 | 5,000 | 0 | 4,129 | B- | ||||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Co. LLC |
Sell | 5.000 | 06/20/10 | 3,000 | (97,500 | ) | 18,689 | B- | |||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Co. LLC |
Sell | 5.000 | 03/20/12 | 5,000 | (112,500 | ) | (83,546 | ) | B- | ||||||||||||||||
Total Credit Default Swaps |
$ | 15,000 | $ | (275,000 | ) | $ | (12,829 | ) | ||||||||||||||||||
* | Credit rating as issued by Standard and Poors (Unaudited). |
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 the Trusts own assumptions in determining the fair value of investments) |
Level 1 | Level 2 | Level 3 | ||||||||||||||
Significant | ||||||||||||||||
Other Significant | Unobservable | |||||||||||||||
Investments | Quoted Prices | Observable Inputs | Inputs | Total | ||||||||||||
Investments in an Asset Position |
||||||||||||||||
Variable Rate Senior Loan Interests |
$ | | $ | 1,284,501,150 | $ | 14,295,707 | $ | 1,298,796,857 | ||||||||
Notes |
| 25,081,654 | 1,762,952 | 26,844,606 | ||||||||||||
Equities |
||||||||||||||||
BroadcastingDiversified |
| 28,247 | | 28,247 | ||||||||||||
Buildings & Real Estate |
1,217,987 | | | 1,217,987 | ||||||||||||
Chemicals, Plastics, and Rubber |
| | 344,970 | 344,970 | ||||||||||||
Construction Material |
2,230,473 | | | 2,230,473 | ||||||||||||
Diversified Manufacturing |
757,278 | | | 757,278 | ||||||||||||
Ecological |
| 32,686 | | 32,686 | ||||||||||||
Entertainment & Leisure |
| | 850,003 | 850,003 | ||||||||||||
Finance |
64 | | | 64 | ||||||||||||
Health & Beauty |
| 749,063 | | 749,063 | ||||||||||||
Natural Resources |
421,155 | | | 421,155 | ||||||||||||
Non-Durable Consumer Products |
288,881 | | | 288,881 | ||||||||||||
Printing & Publishing |
852,682 | | | 852,682 | ||||||||||||
TelecommunicationsLocal Exchange Carriers |
81,864 | | | 81,864 | ||||||||||||
Time Deposit |
| 2,554,699 | | 2,554,699 | ||||||||||||
Credit Default Swaps |
| 70,717 | | 70,717 | ||||||||||||
Unfunded Commitments |
| 49,827 | | 49,827 | ||||||||||||
Total Investments in an Asset Position |
$ | 5,850,384 | $ | 1,313,068,043 | $ | 17,253,632 | $ | 1,336,172,059 | ||||||||
Investments in a Liability Position |
||||||||||||||||
Credit Default Swaps |
$ | | $ | (83,546 | ) | $ | | $ | (83,546 | ) | ||||||
Unfunded Commitments |
| (5,216,513 | ) | | (5,216,513 | ) | ||||||||||
Total Investments in a Liability Position |
$ | | $ | (5,300,059 | ) | $ | | $ | (5,300,059 | ) | ||||||
Investments in Loans and Securities | ||||||||||||||||||||||||||||||||
Equities | ||||||||||||||||||||||||||||||||
Variable Rate | Chemicals, | Hotels, | ||||||||||||||||||||||||||||||
Senior Loan | Plastics & | Diversified | Entertainment & | Motels, Inns | Unfunded | |||||||||||||||||||||||||||
Interests | Notes | Rubber | Manufacturing | Leisure | & Gaming | Total | Commitments | |||||||||||||||||||||||||
Balance as of 7/31/09 |
$ | 26,003,689 | $ | 1,048,000 | $ | 611,330 | $ | 214,562 | $ | | $ | 15,250 | $ | 27,892,831 | $ | (6,973 | ) | |||||||||||||||
Accrued Discounts/Premiums |
3,541 | 38.00 | | | | | 3,579 | | ||||||||||||||||||||||||
Realized Gain/Loss |
(46,070,947 | ) | | | | | 54,880 | (46,016,067 | ) | | ||||||||||||||||||||||
Change in Unrealized Appreciation/Depreciation |
43,849,920 | (1,521,742 | ) | (266,360 | ) | 4,328,538 | (3,437,497 | ) | (15,250 | ) | 42,937,609 | 6,973 | ||||||||||||||||||||
Net Purchases/Sales |
3,773,467 | 2,236,656 | | (4,543,100 | ) | 4,287,500 | (54,880 | ) | 5,699,643 | | ||||||||||||||||||||||
Net Transfers In and/or Out of Level 3* |
(13,263,963 | ) | | | | | | (13,263,963 | ) | | ||||||||||||||||||||||
Balance as of 4/30/10 |
$ | 14,295,707 | $ | 1,762,952 | $ | 344,970 | $ | | $ | 850,003 | $ | | $ | 17,253,632 | $ | | ||||||||||||||||
Net Change in Unrealized
Appreciation/Depreciation from
Investments Still Held as of 4/30/10 |
$ | 30,113,498 | $ | | ||||||||||||||||||||||||||||
* | The value of Net Transfers In and/or Out of Level 3 was measured using the market value as of the beginning of the period for transfers in and the market value as of the end of the period for transfers out. |
(a) | As of June 25, 2010, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of June 25, 2010, the Registrants disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. | ||
(b) | There have been no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940. |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
June 29, 2010 |
By:
|
/s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer | ||||
Date:
|
June 29, 2010 | |||
By:
|
/s/ Sheri Morris
|
|||
Principal Financial Officer | ||||
Date:
|
June 29, 2010 |