Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
Certification |
Shares | Description (1) | Value | ||||||||||||
Common Stocks 100.7% (68.3% of Total Investments) | ||||||||||||||
Aerospace & Defense 6.9% |
||||||||||||||
140,000 | Lockheed Martin Corporation |
$ | 12,048,400 | |||||||||||
235,000 | Raytheon Company |
11,282,350 | ||||||||||||
Total Aerospace & Defense |
23,330,750 | |||||||||||||
Capital Markets 2.9% |
||||||||||||||
205,000 | JPMorgan Chase & Co. |
9,626,800 | ||||||||||||
Commercial Banks 5.1% |
||||||||||||||
155,500 | Wachovia Corporation |
8,676,900 | ||||||||||||
240,000 | Wells Fargo & Company |
8,683,200 | ||||||||||||
Total Commercial Banks |
17,360,100 | |||||||||||||
Commercial Services & Supplies 3.9% |
||||||||||||||
296,600 | Pitney Bowes Inc. |
13,160,142 | ||||||||||||
Containers & Packaging 2.1% |
||||||||||||||
300,000 | Packaging Corp. of America |
6,960,000 | ||||||||||||
Diversified Financial Services 4.0% |
||||||||||||||
275,000 | Citigroup Inc. |
13,659,250 | ||||||||||||
Diversified Telecommunication Services 10.9% |
||||||||||||||
385,000 | AT&T Inc. |
12,535,600 | ||||||||||||
343,000 | KT Corporation, Sponsored ADR |
7,364,210 | ||||||||||||
235,000 | Telecom Italia S.p.A., Sponsored ADR |
5,635,300 | ||||||||||||
301,500 | Verizon Communications Inc. |
11,194,695 | ||||||||||||
Total Diversified Telecommunication Services |
36,729,805 | |||||||||||||
Electric Utilities 4.3% |
||||||||||||||
187,100 | EDP Energias de Portugal, S.A., Sponsored ADR |
8,077,107 | ||||||||||||
323,000 | Korea Electric Power Corporation, Sponsored ADR |
6,314,650 | ||||||||||||
Total Electric Utilities |
14,391,757 | |||||||||||||
Household Durables 2.6% |
||||||||||||||
307,000 | Newell Rubbermaid Inc. |
8,694,240 | ||||||||||||
Household Products 3.1% |
||||||||||||||
160,000 | Kimberly-Clark Corporation |
10,457,600 | ||||||||||||
Insurance 7.7% |
||||||||||||||
289,400 | Aon Corporation |
9,801,978 | ||||||||||||
187,200 | Hartford Financial Services Group, Inc. |
16,239,600 | ||||||||||||
Total Insurance |
26,041,578 | |||||||||||||
Media 4.6% |
||||||||||||||
200,000 | CBS Corporation, Class B |
5,634,000 | ||||||||||||
339,000 | Clear Channel Communications, Inc. |
9,780,150 | ||||||||||||
Total Media |
15,414,150 | |||||||||||||
Metals & Mining 4.9% |
||||||||||||||
236,900 | Alumina Limited, Sponsored ADR |
4,332,901 | ||||||||||||
90,000 | POSCO, ADR |
5,843,700 | ||||||||||||
33,500 | Rio Tinto PLC, Sponsored ADR |
6,352,605 | ||||||||||||
Total Metals & Mining |
16,529,206 | |||||||||||||
Multi-Utilities 3.9% |
||||||||||||||
110,000 | Dominion Resources, Inc. |
8,413,900 | ||||||||||||
180,000 | United Utilities PLC, Sponsored ADR |
4,766,400 | ||||||||||||
Total Multi-Utilities |
13,180,300 | |||||||||||||
Oil, Gas & Consumable Fuels 8.0% |
||||||||||||||
80,000 | ChevronTexaco Corporation |
5,188,800 | ||||||||||||
113,400 | ConocoPhillips |
6,750,702 | ||||||||||||
132,500 | Eni S.p.A., Sponsored ADR |
7,885,075 | ||||||||||||
110,000 | Total SA, Sponsored ADR |
7,253,400 | ||||||||||||
Total Oil, Gas & Consumable Fuels |
27,077,977 | |||||||||||||
Paper & Forest Products 3.5% |
||||||||||||||
220,000 | International Paper Company |
7,618,600 | ||||||||||||
270,200 | Stora Enso Oyj, Sponsored ADR |
4,085,424 | ||||||||||||
Total Paper & Forest Products |
11,704,024 | |||||||||||||
Pharmaceuticals 1.6% |
||||||||||||||
198,000 | Pfizer Inc. |
5,615,280 | ||||||||||||
Road & Rail 2.3% |
||||||||||||||
90,000 | Union Pacific Corporation |
7,920,000 | ||||||||||||
Thrifts & Mortgage Finance 8.3% |
||||||||||||||
260,000 | Federal National Mortgage Association |
14,536,600 | ||||||||||||
330,000 | IndyMac Bancorp, Inc. |
13,582,800 | ||||||||||||
Total Thrifts & Mortgage Finance |
28,119,400 | |||||||||||||
Tobacco 8.0% |
||||||||||||||
235,000 | Altria Group, Inc. |
17,989,250 | ||||||||||||
159,900 | Loews Corp Carolina Group |
8,856,861 | ||||||||||||
Total Tobacco |
26,846,111 | |||||||||||||
Wireless Telecommunication Services 2.1% |
||||||||||||||
308,000 | Vodafone Group PLC |
7,040,880 | ||||||||||||
Total Common Stocks (cost $275,990,217) |
339,859,350 | |||||||||||||
Shares | Description (1) | Coupon | Ratings (2) | Value | ||||||||||
$25 Par (or similar) Preferred Securities 11.2% (7.6% of Total Investments) | ||||||||||||||
Capital Markets 0.9% |
||||||||||||||
25,000 | Goldman Sachs Group Inc., Series D, (6) |
6.080% | A2 | $ | 652,345 | |||||||||
20,000 | Goldman Sachs Group Inc., (6) |
6.200% | A2 | 518,000 | ||||||||||
77,700 | Lehman Brothers Holdings Inc., Series F, (6) |
6.500% | A- | 2,003,106 | ||||||||||
Total Capital Markets |
3,173,451 | |||||||||||||
Commercial Banks 3.2% |
||||||||||||||
23,500 | Abbey National PLC, Series B |
7.375% | A | 616,640 | ||||||||||
41,100 | Abbey National PLC, Series C |
7.375% | A2 | 1,048,050 | ||||||||||
40,000 | ABN AMRO Capital Trust Fund VII |
6.080% | A | 980,800 | ||||||||||
25,000 | Banco Santander |
6.410% | A2 | 640,000 | ||||||||||
50,000 | Bank of America Corporation, Series D |
6.204% | A1 | 1,276,000 | ||||||||||
50,000 | HSBC USA Inc., Series G |
6.270% | A2 | 1,284,750 | ||||||||||
50,000 | HSBC USA Inc., (6) |
6.500% | A | 1,284,375 | ||||||||||
40,000 | Royal Bank of Scotland Group PLC, Series M |
6.400% | A1 | 1,016,800 | ||||||||||
40,000 | Royal Bank of Scotland Group PLC, Series N |
6.350% | A1 | 1,012,000 | ||||||||||
20,000 | SunTrust Bank Inc. |
5.920% | A2 | 515,000 | ||||||||||
40,000 | U.S. Bancorp, Series B |
5.967% | A1 | 1,028,752 | ||||||||||
Total Commercial Banks |
10,703,167 | |||||||||||||
Consumer Finance 0.6% |
||||||||||||||
35,600 | SLM Corporation, Series A, (6) |
6.970% | BBB+ | 1,888,936 | ||||||||||
Diversified Financial Services 1.2% |
||||||||||||||
10,000 | CIT Group Inc., Series A, (6) |
6.350% | BBB+ | 258,100 | ||||||||||
19,500 | Citigroup Inc., Series F, (6) |
6.365% | Aa3 | 990,600 | ||||||||||
28,900 | Citigroup Inc., Series H, (6) |
6.231% | Aa3 | 1,502,800 | ||||||||||
48,400 | ING Group N.V. |
7.200% | A | 1,241,944 | ||||||||||
5,000 | ING Group N.V. |
7.050% | A | 126,900 | ||||||||||
Total Diversified Financial Services |
4,120,344 | |||||||||||||
Electric Utilities 1.4% |
||||||||||||||
39,500 | Alabama Power Company, Series A, (6) |
5.300% | BBB+ | 989,278 | ||||||||||
40,000 | Georgia Power Company |
6.125% | Baa1 | 1,020,000 | ||||||||||
34,700 | Interstate Power and Light Company, (6) |
7.100% | Baa2 | 907,579 | ||||||||||
40,000 | Mississippi Power Company |
5.250% | A3 | 924,200 | ||||||||||
40,000 | PPL Electric Utilities Corporation |
6.250% | BBB | 1,028,752 | ||||||||||
Total Electric Utilities |
4,869,809 | |||||||||||||
Insurance 1.9% |
||||||||||||||
50,300 | Ace Ltd., Series C |
7.800% | Baa2 | 1,305,285 | ||||||||||
71,900 | Aegon N.V. |
6.375% | A- | 1,818,351 | ||||||||||
20,000 | Arch Capital Group Limited |
8.000% | Baa3 | 532,000 | ||||||||||
50,000 | Endurance Specialty Holdings Limited |
7.750% | Baa3 | 1,277,500 | ||||||||||
30,000 | Prudential PLC |
6.750% | A | 764,100 | ||||||||||
30,000 | Prudential PLC |
6.500% | A- | 759,600 | ||||||||||
Total Insurance |
6,456,836 | |||||||||||||
Thrifts & Mortgage Finance 0.2% |
||||||||||||||
20,000 | Washington Mutual Inc. |
6.090% | BBB | 502,600 | ||||||||||
U.S. Agency 1.8% |
||||||||||||||
20,000 | Federal National Mortgage Association, (6) |
5.500% | AA- | 955,400 | ||||||||||
19,800 | Federal National Mortgage Association, (6) |
5.125% | AA- | 874,170 | ||||||||||
25,000 | Federal Home Loan Mortgage Corporation, (6) |
6.420% | AA- | 1,318,750 | ||||||||||
18,400 | Federal Home Loan Mortgage Corporation, (6) |
6.000% | AA- | 917,240 | ||||||||||
20,000 | Federal Home Loan Mortgage Corporation, (6) |
5.700% | AA- | 969,000 | ||||||||||
26,900 | Federal Home Loan Mortgage Corporation, (6) |
5.000% | AA- | 1,163,425 | ||||||||||
Total U.S. Agency |
6,197,985 | |||||||||||||
Total
$25 Par (or similar) Preferred Securities (cost $38,080,494) |
37,913,128 | |||||||||||||
Weighted | ||||||||||||||
Principal | Average | |||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (3) | Ratings (2) | Value | |||||||||
Variable Rate Senior Loan Interests 22.7% (15.4% of Total Investments) (4) | ||||||||||||||
Aerospace & Defense 1.6% |
||||||||||||||
$ | 1,636 | Hexcel Corporation, Term Loan B |
7.226% | 3/01/12 | BB- | $ | 1,640,229 | |||||||
1,758 | K&F Industries, Inc., Term Loan C |
7.330% | 11/18/12 | B+ | 1,763,004 | |||||||||
1,609 | Vought Aircraft Industries, Inc., Term Loan |
7.880% | 12/22/11 | B+ | 1,622,991 | |||||||||
364 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit |
7.834% | 12/22/10 | B+ | 365,795 | |||||||||
5,367 | Total Aerospace & Defense |
5,392,019 | ||||||||||||
Auto Components 0.6% |
||||||||||||||
2,000 | Federal Mogul Corporation, Term Loan A, (5) |
7.580% | 2/24/04 | N/R | 1,933,333 | |||||||||
Building Products 0.5% |
||||||||||||||
1,774 | PP Holding Corporation, Term Loan |
8.330% | 11/12/11 | B | 1,785,609 | |||||||||
Chemicals 1.8% |
||||||||||||||
2,000 | Georgia Gulf Corporation, Term Loan B, WI/DD |
TBD | TBD | BB | 2,006,500 | |||||||||
2,000 | Lyondell Citgo Refining LP, Term Loan, WI/DD |
TBD | TBD | BB | 2,008,750 | |||||||||
1,970 | Rockwood Specialties Group, Inc., Term Loan E |
7.485% | 7/30/12 | B+ | 1,980,589 | |||||||||
5,970 | Total Chemicals |
5,995,839 | ||||||||||||
Commercial Services & Supplies 0.7% |
||||||||||||||
689 | Allied Waste North America, Inc., Letter of Credit |
7.084% | 1/15/12 | Ba3 | 687,034 | |||||||||
1,736 | Allied Waste North America, Inc., Term Loan B |
7.210% | 1/15/12 | Ba3 | 1,731,631 | |||||||||
2,425 | Total Commercial Services & Supplies |
2,418,665 | ||||||||||||
Containers & Packaging 0.8% |
||||||||||||||
1,000 | Berry Plastics Corporation |
7.080% | 8/31/13 | B+ | 1,001,375 | |||||||||
175 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment |
7.572% | 11/01/11 | B+ | 175,836 | |||||||||
833 | Smurfit-Stone Container Corporation, Term Loan B |
7.657% | 11/01/11 | B+ | 838,340 | |||||||||
423 | Smurfit-Stone Container Corporation, Term Loan C |
7.667% | 11/01/11 | B+ | 425,899 | |||||||||
133 | Smurfit-Stone Container Corporation, Tranche C-1 |
7.625% | 11/01/11 | B+ | 133,649 | |||||||||
2,564 | Total Containers & Packaging |
2,575,099 | ||||||||||||
Diversified Consumer Services 0.3% |
||||||||||||||
824 | Alderwoods Group, Inc., Term Loan B-2 |
7.330% | 9/29/09 | BB | 825,566 | |||||||||
Diversified Telecommunication Services 1.2% |
||||||||||||||
2,000 | Cebridge III LLC., Term Loan B |
7.739% | 11/01/14 | B+ | 1,985,313 | |||||||||
2,000 | Madison River Capital LLC, Term Loan |
7.730% | 7/29/12 | B+ | 2,010,000 | |||||||||
4,000 | Total Diversified Telecommunication Services |
3,995,313 | ||||||||||||
Electric Utilities 0.3% |
||||||||||||||
993 | Mirant Corporation, Term Loan |
7.074% | 1/03/13 | BB- | 990,816 | |||||||||
Electrical Equipment 0.5% |
||||||||||||||
1,583 | Sensus Metering Systems Inc., Term Loan B-1 |
6.483% | 12/17/10 | B+ | 1,582,609 | |||||||||
210 | Sensus Metering Systems Inc., Term Loan B-2 |
7.086% | 12/17/10 | B+ | 210,217 | |||||||||
1,793 | Total Electrical Equipment |
1,792,826 | ||||||||||||
Health Care Providers & Services 1.4% |
||||||||||||||
1,780 | Davita Inc., Term Loan B |
7.529% | 10/05/12 | BB- | 1,788,414 | |||||||||
1,955 | IASIS Healthcare LLC, Term Loan B |
7.729% | 6/22/11 | B+ | 1,968,033 | |||||||||
995 | Quintiles Transnational Corporation, Term Loan B |
7.370% | 3/31/13 | B1 | 994,845 | |||||||||
4,730 | Total Health Care Providers & Services |
4,751,292 | ||||||||||||
Hotels, Restaurants & Leisure 3.2% |
||||||||||||||
1,990 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
8.055% | 6/08/12 | B | 2,004,510 | |||||||||
122 | Cracker Barrel Delayed Draw Term Loan B-2, (7) (8) |
0.750% | 4/28/13 | BB | (916 | ) | ||||||||
876 | Cracker Barrel Term Loan B-1 |
6.959% | 4/28/13 | BB | 873,430 | |||||||||
1,950 | Jack in the Box Inc., Term Loan B |
6.945% | 1/08/11 | BB | 1,959,750 | |||||||||
1,980 | Penn National Gaming, Inc., Term Loan B |
7.194% | 10/03/12 | BB | 1,989,962 | |||||||||
1,000 | Pinnacle Entertainment Inc., Term Loan |
7.330% | 12/14/11 | B1 | 1,002,709 | |||||||||
1,000 | Sonic Corporation, Term Loan, WI/DD |
TBD | TBD | BB- | 1,006,042 | |||||||||
342 | Venetian Casino Resort, LLC, Delayed Draw Term Loan |
7.120% | 6/15/11 | BB- | 342,521 | |||||||||
1,658 | Venetian Casino Resort, LLC, Term Loan |
7.120% | 6/15/11 | BB- | 1,661,229 | |||||||||
10,918 | Total Hotels, Restaurants & Leisure |
10,839,237 | ||||||||||||
Household Products 0.6% |
||||||||||||||
1,928 | Solo Cup Company, Term Loan |
8.750% | 2/27/11 | B | 1,925,492 | |||||||||
Insurance 0.3% |
||||||||||||||
1,180 | Conseco, Inc., Term Loan |
7.080% | 6/22/10 | BB- | 1,180,731 | |||||||||
IT Services 1.1% |
||||||||||||||
1,730 | Fidelity National Information Services, Term Loan B |
7.080% | 3/09/13 | BB+ | 1,734,715 | |||||||||
1,980 | SunGard Data Systems Inc., Term Loan B |
7.999% | 2/11/13 | B+ | 1,996,264 | |||||||||
3,710 | Total IT Services |
3,730,979 | ||||||||||||
Machinery 0.3% |
||||||||||||||
760 | Dresser-Rand Group, Inc., Term Loan |
7.413% | 10/29/07 | BB- | 765,060 | |||||||||
Media 3.6% |
||||||||||||||
1,990 | Cablevision Systems Corporation, Incremental Term Loan |
7.183% | 3/30/13 | BB | 1,984,003 | |||||||||
2,000 | Charter Communications Inc., Term Loan B |
8.125% | 4/28/13 | B | 2,010,663 | |||||||||
1,995 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
8.617% | 4/08/12 | NA | 1,978,167 | |||||||||
2,000 | Neilsen Finance LLC, Term Loan B |
8.190% | 8/09/13 | B+ | 1,995,556 | |||||||||
1,891 | Regal Cinemas Corporation, Term Loan |
7.117% | 11/10/10 | BB- | 1,886,239 | |||||||||
2,186 | WMG Acquisition Corp., Term Loan |
7.389% | 2/28/11 | B+ | 2,196,156 | |||||||||
12,062 | Total Media |
12,050,784 | ||||||||||||
Metals & Mining 0.4% |
||||||||||||||
1,032 | Amsted Industries Incorporated, Delayed Draw Term Loan B, (7) (8) |
0.500% | 4/05/11 | BB- | (14,187 | ) | ||||||||
1,431 | Amsted Industries Incorporated, Term Loan B |
7.465% | 4/05/13 | BB- | 1,431,271 | |||||||||
Total Metals & Mining |
1,417,084 | |||||||||||||
Multi-Utilities 0.6% |
||||||||||||||
371 | NRG
Energy Inc., Credit Linked Deposit |
7.367% | 2/01/13 | BB- | 372,928 | |||||||||
1,621 | NRG Energy Inc., Term Loan |
7.367% | 2/01/13 | BB- | 1,628,920 | |||||||||
1,992 | Total Multi-Utilities |
2,001,848 | ||||||||||||
Paper & Forest Products 0.6% |
||||||||||||||
1,985 | Georgia-Pacific Corporation, Term Loan B |
7.390% | 12/20/12 | BB- | 1,991,134 | |||||||||
Real Estate Management & Development 0.4% |
||||||||||||||
1,500 | LNR Property Corporation, Term Loan B |
8.220% | 7/12/11 | B2 | 1,511,438 | |||||||||
Specialty Retail 0.4% |
||||||||||||||
1,500 | Toys R Us, Inc., Term Loan, WI/DD |
TBD | TBD | B | 1,499,375 | |||||||||
Textiles, Apparel & Luxury Goods 0.6% |
||||||||||||||
2,000 | HanesBrands Inc., Loan |
7.625% | 8/15/13 | BB- | 2,015,208 | |||||||||
Trading Companies & Distributors 0.9% |
||||||||||||||
1,000 | Ashtead Group Public Limited Company, Term Loan B |
1.750% | 8/01/11 | B3 | 1,000,000 | |||||||||
196 | Brenntag
Holdings, Acquisition Facility Term Loan |
8.080% | 1/20/14 | B | 199,309 | |||||||||
804 | Brenntag Holdings, Term Loan B2 |
8.080% | 1/20/14 | B | 810,669 | |||||||||
337 | United Rentals Inc., Credit Linked Deposit |
5.340% | 2/13/11 | BB- | 337,985 | |||||||||
744 | United Rentals Inc., Delayed Draw Term Loan B |
7.330% | 2/14/11 | BB- | 746,384 | |||||||||
3,081 | Total Trading Companies & Distributors |
3,094,347 | ||||||||||||
$ | 77,519 | Total Variable Rate Senior Loan Interests (cost $76,276,309) |
76,479,094 | |||||||||||
Principal | ||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||
Corporate Bonds 1.8% (1.2% of Total Investments) | ||||||||||||||
Hotels, Restaurants & Leisure 1.2% |
||||||||||||||
$ | 2,000 | MGM Mirage, Inc. |
6.750% | 8/01/07 | BB | $ | 2,020,000 | |||||||
2,000 | Park Place Entertainment |
8.875% | 9/15/08 | Ba1 | 2,100,000 | |||||||||
4,000 | Total Hotels, Restaurants & Leisure |
4,120,000 | ||||||||||||
Household Durables 0.6% |
||||||||||||||
2,000 | D.R. Horton, Inc. |
7.500% | 12/01/07 | BBB- | 2,043,332 | |||||||||
$ | 6,000 | Total
Corporate Bonds (cost $6,215,243) |
6,163,332 | |||||||||||
Shares | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||
Capital Preferred Securities 1.0% (0.7% of Total Investments) | ||||||||||||||
Electric Utilities 1.0% |
||||||||||||||
12 | Consolidated Edison Company of New York Inc. |
5.000% | 8/01/53 | A3 | $ | 1,063,590 | ||||||||
5 | Southern California Edison Company |
6.125% | 12/31/55 | BBB- | 499,842 | |||||||||
9 | Southern California Edison Company, Series A |
5.349% | 4/27/35 | BBB- | 911,250 | |||||||||
10 | Southern California Edison Company, Series C |
6.000% | 4/30/56 | BBB- | 1,024,063 | |||||||||
Total Electric Utilities |
3,498,745 | |||||||||||||
Total Capital Preferred Securities (cost $3,433,955) |
3,498,745 | |||||||||||||
Principal | ||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||
Short-Term Investments 10.0% (6.8% of Total Investments) | ||||||||||||||
$ | 33,715 | Repurchase Agreement with State Street Bank, dated 9/29/06, repurchase price $33,728,620, collateralized by $35,870,000 U.S. Treasury
Notes, 3.625%, due 5/15/13, value $34,392,443 |
4.800% | 10/02/06 | $ | 33,715,134 | ||||||||
Total Short-Term Investments (cost $33,715,134) |
33,715,134 | |||||||||||||
Total Investments (cost $433,711,352) 147.4% |
497,628,783 | |||||||||||||
Borrowings Payable (9.8)% (9) |
(33,000,000 | ) | ||||||||||||
FundNotes (23.1)% |
(78,000,000 | ) | ||||||||||||
Other Assets Less Liabilities (1.2)% |
(4,124,672 | ) | ||||||||||||
FundPreferred Shares, at Liquidation Value (13.3)% |
(45,000,000 | ) | ||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 337,504,111 | ||||||||||||
(1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
|
(2) | Ratings: Using the higher of Standard & Poors or Moodys rating. Ratings below BBB by Standard & Poors Group or Baa by Moodys Investor Service, Inc. are considered to be below investment grade. |
|
(3) | 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. |
|
(4) | Senior Loans in which the Fund invests 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. |
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(5) | At or subsequent to September 30, 2006, this issue was under the protection of the Federal Bankruptcy Court. |
|
(6) | Investment is eligible for the Dividends Received Deduction. |
|
(7) | Position represents an unfunded Senior Loan commitment outstanding at September 30, 2006. |
|
(8) | Negative value represents unrealized depreciation on Senior Loan commitment at September 30, 2006. |
|
(9) | Borrowings
payable as a percentage of total investments is (6.6)%. |
|
N/R | Not rated. |
|
WI/DD | Purchased on a when-issued or delayed delivery basis. |
|
ADR | American Depositary Receipt. |
|
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. |
|
Gross unrealized: |
||||
Appreciation |
$ | 69,278,561 | ||
Depreciation |
(5,711,275 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | 63,567,286 | ||
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/ Jessica R. Droeger | |||
Jessica R. Droeger | ||||
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) | ||||
* | Print the name and title of each signing officer under his or her signature. |