Weighted | ||||||||||||||
Principal | Average | |||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (3) | Ratings (4) | Value | |||||||||
Variable Rate Senior Loan Interests 144.8% (92.5% of Total Investments) (2) |
||||||||||||||
Aerospace & Defense 2.2% (1.4% of Total Investments) |
||||||||||||||
$ | 2,521 | Mid-Western Aircraft Systems Inc., Term Loan B |
7.105% | 12/31/11 | BB+ | $ | 2,535,442 | |||||||
2,403 | Vought Aircraft Industries, Inc., Term Loan |
7.830% | 12/22/11 | Ba2 | 2,423,589 | |||||||||
545 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit |
7.822% | 12/22/10 | Ba2 | 549,545 | |||||||||
5,469 | Total Aerospace & Defense |
5,508,576 | ||||||||||||
Airlines 4.1% (2.6% of Total Investments) |
||||||||||||||
2,000 | Delta Airlines Inc., Second Lien Term Loan, WI/DD |
TBD | TBD | B | 2,028,750 | |||||||||
2,000 | Delta Airlines Inc., Term Loan, WI/DD |
TBD | TBD | Ba2 | 2,010,938 | |||||||||
2,000 | Northwest Airlines Inc., Term Loan |
7.320% | 7/19/08 | BBB- | 2,009,376 | |||||||||
4,400 | United Air Lines Inc., Delayed Draw, Term Loan |
7.375% | 2/01/14 | B+ | 4,406,875 | |||||||||
10,400 | Total Airlines |
10,455,939 | ||||||||||||
Auto Components 5.7% (3.6% of Total Investments) |
||||||||||||||
4,224 | Federal-Mogul Corporation, Term Loan A, (7) |
7.570% | 2/24/04 | N/R | 4,209,968 | |||||||||
5,551 | Federal-Mogul Corporation, Term Loan B, (7) |
7.820% | 2/24/05 | N/R | 5,536,271 | |||||||||
500 | Gen Tek Inc., Term Loan B |
7.340% | 2/28/11 | Ba3 | 502,031 | |||||||||
1,860 | Gen Tek Inc., Term Loan B |
7.356% | 12/28/11 | Ba3 | 1,867,092 | |||||||||
2,000 | Goodyear Tire & Rubber Company, Second Lien Term Loan |
7.100% | 4/30/14 | Ba2 | 2,010,315 | |||||||||
1,479 | Metalforming Technologies, Inc., Term Loan A, (7) (8) |
0.000% | 9/30/07 | N/R | 281,039 | |||||||||
575 | Metalforming Technologies, Inc., Term Loan B, (PIK), (7) (8) |
0.000% | 9/30/07 | N/R | 109,299 | |||||||||
16,189 | Total Auto Components |
14,516,015 | ||||||||||||
Building Products 6.3% (4.0% of Total Investments) |
||||||||||||||
884 | Atrium Companies Inc., Term Loan |
8.518% | 5/31/12 | B1 | 880,931 | |||||||||
2,000 | Building
Materials Corporation of America, Second Lien Term Loan |
11.125% | 9/15/14 | B | 1,983,333 | |||||||||
1,995 | Building
Materials Corporation of America, Term Loan |
8.188% | 2/22/14 | BB- | 1,986,521 | |||||||||
2,547 | Euramax Holdings Inc., Term Loan B |
8.375% | 6/29/12 | B1 | 2,546,916 | |||||||||
1,950 | Nortek, Inc., Term Loan B |
7.365% | 8/27/11 | Ba2 | 1,958,288 | |||||||||
2,448 | Stile
Acquisition Corporation, Canadian Term Loan |
7.350% | 4/05/13 | BB- | 2,399,340 | |||||||||
2,452 | Stile Acquisition Corporation, Term Loan B |
7.350% | 4/05/13 | BB- | 2,403,427 | |||||||||
1,990 | TFS Acquisition, Term Loan |
8.850% | 8/11/13 | B+ | 2,004,925 | |||||||||
16,266 | Total Building Products |
16,163,681 | ||||||||||||
Capital Markets 0.7% (0.4% of Total Investments) |
||||||||||||||
1,777 | Ameritrade Holdings Corporation, Term Loan B |
6.820% | 12/31/12 | Ba1 | 1,782,834 | |||||||||
Chemicals 3.8% (2.4% of Total Investments) |
||||||||||||||
1,600 | Celanese
Holdings, LLC, Term Loan C |
7.099% | 4/02/14 | BB- | 1,610,250 | |||||||||
400 | Celanese
Holdings, LLC, Credit Linked Deposit |
5.320% | 4/02/14 | BB- | 402,563 | |||||||||
2,985 | Hexion Specialty Chemicals, Inc., Term Loan C |
7.875% | 5/05/13 | Ba3 | 3,010,071 | |||||||||
762 | Huntsman International LLC, Term Loan |
7.070% | 8/16/12 | Ba1 | 764,565 | |||||||||
1,980 | ISP Chemco Inc., Term Loan |
7.290% | 2/16/13 | BB- | 1,994,319 | |||||||||
1,960 | Rockwood Specialties Group, Inc., Term Loan E |
7.355% | 7/30/12 | Ba2 | 1,978,253 | |||||||||
9,687 | Total Chemicals |
9,760,021 | ||||||||||||
Commercial Services & Supplies 4.3% (2.7% of Total Investments) |
||||||||||||||
2,370 | Acco Brands, Term Loan B |
7.110% | 8/17/12 | Ba1 | 2,390,739 | |||||||||
1,457 | Allied Waste North America, Inc., Letter of Credit |
7.073% | 1/15/12 | BB | 1,465,497 | |||||||||
3,285 | Allied Waste North America, Inc., Term Loan B |
7.097% | 1/15/12 | BB | 3,303,079 | |||||||||
1,000 | Rental Services Corporation, Term Loan |
8.857% | 11/30/13 | B- | 1,017,000 | |||||||||
2,000 | Williams Scotsman, Inc., Term Loan B |
6.820% | 6/28/10 | BB | 1,999,375 | |||||||||
681 | Workflow Management, Inc., Term Loan |
9.355% | 11/30/11 | BB- | 680,438 | |||||||||
10,793 | Total Commercial Services & Supplies |
10,856,128 | ||||||||||||
Communications Equipment 0.6% (0.4% of Total Investments) |
||||||||||||||
427 | Valassis
Communications, Inc., Delayed Draw, Term Loan, (5) (9) |
1.000% | 3/02/14 | Ba2 | (267 | ) | ||||||||
1,573 | Valassis Communications, Inc., Term Loan B |
7.100% | 3/02/14 | Ba2 | 1,576,939 | |||||||||
2,000 | Total Communications Equipment |
1,576,672 | ||||||||||||
Construction & Engineering 0.7% (0.4% of Total Investments) |
||||||||||||||
1,687 | Maxim Crane Works, Term Loan |
7.326% | 1/28/10 | N/R | 1,689,790 | |||||||||
Containers & Packaging 5.4% (3.4% of Total Investments) |
||||||||||||||
457 | Bluegrass Container Company LLC, 1st Lien Term Loan |
7.589% | 6/30/13 | BB- | 462,784 | |||||||||
1,515 | Bluegrass
Container Company, LLC, Delayed Draw, Second Lien |
10.320% | 12/31/13 | BB- | 1,546,212 | |||||||||
485 | Bluegrass
Container Company, LLC, Delayed Draw, Second Lien |
10.320% | 12/31/13 | B- | 494,788 | |||||||||
1,528 | Bluegrass Container Company, LLC, Term Loan B |
7.591% | 6/30/13 | BB- | 1,546,674 | |||||||||
7,522 | Graham Packaging Company, L.P., Term Loan B |
7.625% | 2/14/10 | B1 | 7,576,633 | |||||||||
437 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment |
7.748% | 11/01/11 | Ba2 | 440,446 | |||||||||
996 | Smurfit-Stone Container Corporation, Term Loan B |
7.531% | 11/01/11 | Ba2 | 1,004,903 | |||||||||
532 | Smurfit-Stone Container Corporation, Term Loan C |
7.546% | 11/01/11 | Ba2 | 536,175 | |||||||||
190 | Smurfit-Stone Container Corporation, Tranche C-1 |
7.375% | 11/01/11 | Ba2 | 191,773 | |||||||||
13,662 | Total Containers & Packaging |
13,800,388 | ||||||||||||
Diversified Consumer Services 0.9% (0.5% of Total Investments) |
||||||||||||||
2,163 | West Corporation, Term Loan |
7.750% | 10/24/13 | B+ | 2,181,266 | |||||||||
Diversified Financial Services 0.6% (0.4% of Total Investments) |
||||||||||||||
1,500 | UPC Financing Partnership, Term Loan K2 |
7.370% | 12/31/13 | Ba3 | 1,503,214 | |||||||||
Diversified Telecommunication Services 6.1% (3.9% of Total Investments) |
||||||||||||||
2,000 | Cequel Communications LLC., Term Loan B |
7.349% | 11/05/13 | B+ | 2,000,250 | |||||||||
2,000 | Crown Castle International Corporation, Term Loan |
6.893% | 1/26/14 | BB+ | 2,006,016 | |||||||||
1,965 | Intelsat
Corporation, Term Loan |
7.349% | 7/01/13 | Ba2 | 1,981,092 | |||||||||
2,000 | Intelsat
Corporation, Unsecured Term Loan |
7.860% | 2/01/14 | BB | 2,009,643 | |||||||||
2,267 | Level 3 Communications Incorporated, Term Loan |
7.605% | 3/13/14 | B1 | 2,276,938 | |||||||||
5,000 | Qwest Corporation, Term Loan B |
6.950% | 6/30/10 | BB | 5,151,043 | |||||||||
5,000 | WCI Capital Corporation, Term Loan B, (7) (8) |
0.000% | 9/30/07 | N/R | 200,000 | |||||||||
20,232 | Total Diversified Telecommunication Services |
15,624,982 | ||||||||||||
Electric Utilities 2.0% (1.3% of Total Investments) |
||||||||||||||
709 | Astoria Generating Company, Term Loan B |
7.340% | 2/23/13 | BB- | 714,246 | |||||||||
4,444 | Calpine Corporation DIP Term Loan |
7.590% | 3/29/09 | N/R | 4,472,684 | |||||||||
556 | Calpine
Corporation DIP Revolver, (5) (9) |
0.250% | 3/29/09 | N/R | (8,333 | ) | ||||||||
5,709 | Total Electric Utilities |
5,178,597 | ||||||||||||
Electrical Equipment 1.6% (1.0% of Total Investments) |
||||||||||||||
2,256 | Mueller Group, Inc., Term Loan |
7.348% | 10/03/12 | BB- | 2,273,770 | |||||||||
1,539 | Sensus Metering Systems Inc., Term Loan B-1 |
7.364% | 12/17/10 | Ba3 | 1,546,826 | |||||||||
167 | Sensus Metering Systems Inc., Term Loan B-2 |
7.361% | 12/17/10 | Ba3 | 167,573 | |||||||||
3,962 | Total Electrical Equipment |
3,988,169 | ||||||||||||
Electronic Equipment & Instruments 0.8% (0.5% of Total Investments) |
||||||||||||||
1,985 | Sensata Technologies B.V., Term Loan |
7.105% | 4/27/13 | BB- | 1,986,297 | |||||||||
Energy Equipment & Services 1.1% (0.7% of Total Investments) |
||||||||||||||
2,885 | Dresser-Rand Group, Inc., Term Loan |
10.000% | 10/31/13 | B1 | 2,900,377 | |||||||||
Food & Staples Retailing 0.7% (0.5% of Total Investments) |
||||||||||||||
1,851 | Jean
Coutu Group Inc. Term Loan B |
7.875% | 7/30/11 | BB- | 1,855,004 | |||||||||
Food Products 2.3% (1.5% of Total Investments) |
||||||||||||||
465 | Dole Foods Company Inc., Deposit-Funded Commitment |
7.356% | 4/12/13 | Ba3 | 465,181 | |||||||||
1,036 | Dole Foods Company Inc., Term Loan B |
7.541% | 4/12/13 | Ba3 | 1,036,191 | |||||||||
3,453 | Dole Foods Company Inc., Term Loan C |
7.456% | 4/12/13 | Ba3 | 3,453,968 | |||||||||
862 | Michael Foods, Inc., Term Loan B |
7.360% | 11/21/10 | Ba3 | 865,606 | |||||||||
5,816 | Total Food Products |
5,820,946 | ||||||||||||
Gas Utilities 0.8% (0.5% of Total Investments) |
||||||||||||||
2,000 | Energy Transfer Partners LP, Term Loan |
7.080% | 2/08/12 | BBB- | 2,015,357 | |||||||||
Health Care Providers & Services 12.0% (7.7% of Total Investments) |
||||||||||||||
5,294 | Community Health Systems, Inc., Term Loan |
7.100% | 8/19/11 | BB- | 5,313,690 | |||||||||
3,292 | Davita Inc., Term Loan B |
6.842% | 10/05/12 | Ba1 | 3,304,886 | |||||||||
1,995 | HCA, Inc., Term Loan |
7.600% | 11/17/13 | BB | 2,018,184 | |||||||||
2,000 | Health Management Associates, Term Loan |
7.100% | 2/28/14 | Ba2 | 2,010,208 | |||||||||
1,985 | HealthSouth Corporation, Term Loan |
7.847% | 3/10/13 | B+ | 2,001,128 | |||||||||
464 | IASIS
Healthcare, LLC, Delayed Term Loan, WI/DD |
TBD | TBD | Ba2 | 465,571 | |||||||||
124 | IASIS Healthcare, LLC, Letter of Credit, WI/DD |
TBD | TBD | Ba2 | 124,152 | |||||||||
1,357 | IASIS Healthcare, LLC, Term Loan, WI/DD |
TBD | TBD | Ba2 | 1,362,571 | |||||||||
3,940 | LifeCare Holdings Inc., Term Loan B |
7.600% | 8/01/12 | B1 | 3,913,405 | |||||||||
2,152 | Psychiatric Solutions Inc., Term Loan B |
7.092% | 12/01/12 | Ba3 | 2,158,934 | |||||||||
2,940 | Select Medical Corporation, Term Loan |
7.349% | 2/24/12 | Ba2 | 2,935,156 | |||||||||
4,896 | Vanguard Health Holding Company, LLC, Replacement Term Loan |
7.600% | 9/23/11 | Ba3 | 4,933,652 | |||||||||
30,439 | Total Health Care Providers & Services |
30,541,537 | ||||||||||||
Hotels, Restaurants & Leisure 12.7% (8.3% of Total Investments) |
||||||||||||||
4,950 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
7.850% | 7/01/09 | Ba3 | 4,984,031 | |||||||||
1,788 | Ameristar Casinos, Inc., Term Loan B |
6.820% | 11/10/12 | BB+ | 1,789,495 | |||||||||
778 | CBRL Group, Inc., Term Loan B-1 |
6.860% | 4/27/13 | BB | 779,791 | |||||||||
122 | CBRL
Group, Inc., Term Loan B-2, Delayed Draw, (5) (9) |
0.750% | 4/27/13 | BB | (51 | ) | ||||||||
3,930 | CCM Merger, Inc., Term Loan B |
7.350% | 7/13/12 | Ba3 | 3,952,130 | |||||||||
1,985 | Cedar Fair LP, Term Loan |
7.320% | 8/30/12 | BB- | 2,006,091 | |||||||||
2,836 | Intrawest Corporation, Term Loan |
9.250% | 12/31/07 | N/R | 2,843,018 | |||||||||
1,955 | Isle of Capri Casinos, Inc., Term Loan |
7.070% | 2/04/11 | Ba1 | 1,970,151 | |||||||||
3,940 | Penn National Gaming, Inc., Term Loan B |
7.114% | 10/03/12 | BB | 3,972,013 | |||||||||
2,000 | Pinnacle Entertainment Inc., Term Loan |
7.320% | 12/14/11 | BB- | 2,017,708 | |||||||||
1,000 | Quiznos Sub, Term Loan C |
11.100% | 11/05/13 | N/R | 1,018,542 | |||||||||
130 | Seminole
Gaming, Term B-1 Delayed Draw, (5) |
2.844% | 3/05/14 | BBB- | 32,470 | |||||||||
437 | Seminole
Gaming, Term B-2 Delayed Draw |
6.875% | 3/05/14 | BBB- | 437,520 | |||||||||
433 | Seminole
Gaming, Term B-3 Delayed Draw |
6.875% | 3/05/14 | BBB- | 433,469 | |||||||||
2,719 | Travelport, Term Loan |
7.850% | 8/23/13 | Ba3 | 2,745,551 | |||||||||
268 | Travelport, Letter of Credit |
7.850% | 8/23/13 | Ba3 | 270,312 | |||||||||
427 | Venetian Casino Resort, LLC Term Loan B |
7.090% | 6/15/11 | BB- | 429,528 | |||||||||
2,073 | Venetian Casino Resort, LLC, Term Loan |
7.090% | 6/15/11 | BB- | 2,083,213 | |||||||||
998 | Worldspan LP, Term Loan |
8.600% | 12/07/13 | Ba3 | 1,002,612 | |||||||||
32,769 | Total Hotels, Restaurants & Leisure |
32,767,594 | ||||||||||||
Household Durables 2.1% (1.4% of Total Investments) |
||||||||||||||
4,478 | Shea Homes Inc., Term Loan |
7.320% | 10/27/11 | N/R | 4,432,725 | |||||||||
1,006 | William Carter Company, Term Loan B |
6.846% | 7/14/12 | BB | 1,006,420 | |||||||||
5,484 | Total Household Durables |
5,439,145 | ||||||||||||
Household Products 2.3% (1.5% of Total Investments) |
||||||||||||||
1,901 | Prestige Brands, Inc., Term Loan B |
7.634% | 4/06/11 | Ba3 | 1,912,442 | |||||||||
3,979 | Solo Cup Company, Term Loan |
8.847% | 2/27/11 | B1 | 4,047,262 | |||||||||
5,880 | Total Household Products |
5,959,704 | ||||||||||||
Independent Power Producers & Energy Traders 0.4% (0.3% of Total Investments) |
||||||||||||||
671 | Covanta
Energy Corporation, Term Loan B |
6.875% | 2/09/14 | Ba2 | 672,363 | |||||||||
329 | Covanta
Energy Corporation, Letter of Credit |
6.775% | 2/09/14 | Ba2 | 329,517 | |||||||||
1,000 | Total Independent Power Producers & Energy Traders |
1,001,880 | ||||||||||||
Insurance 2.4% (1.5% of Total Investments) |
||||||||||||||
5,963 | Conseco, Inc., Term Loan |
7.320% | 10/10/13 | BB- | 5,998,046 | |||||||||
Internet Software & Services 1.2% (0.8% of Total Investments) |
||||||||||||||
2,992 | Riverdeep
Interactive Learning Ltd., Term Loan |
8.100% | 12/20/13 | B1 | 3,015,693 | |||||||||
IT Services 3.2% (2.0% of Total Investments) |
||||||||||||||
2,985 | Dealer Computer Service, Term Loan |
7.350% | 10/26/12 | Ba2 | 3,001,791 | |||||||||
5,131 | SunGard Data Systems Inc., Term Loan B |
7.360% | 2/28/14 | Ba3 | 5,181,547 | |||||||||
8,116 | Total IT Services |
8,183,338 | ||||||||||||
Leisure Equipment & Products 1.1% (0.7% of Total Investments) |
||||||||||||||
2,734 | Bombardier Recreational Products, Term Loan |
7.860% | 6/28/13 | BB | 2,755,539 | |||||||||
Machinery 3.5% (2.2% of Total Investments) |
||||||||||||||
3,178 | Navistar
International, Term Loan |
8.610% | 1/31/12 | BB- | 3,226,105 | |||||||||
1,156 | Navistar
International Synthetic Letter of Credit |
8.208% | 1/19/12 | BB- | 1,173,129 | |||||||||
1,995 | Oshkosh Truck Corporation, Term Loan |
7.100% | 12/06/13 | BB | 2,003,417 | |||||||||
557 | Rexnord Corporation, Incremental Term Loan |
7.580% | 7/19/13 | Ba2 | 561,835 | |||||||||
1,934 | Rexnord Corporation, Term Loan |
7.858% | 7/19/13 | Ba2 | 1,951,051 | |||||||||
8,820 | Total Machinery |
8,915,537 | ||||||||||||
Media 22.6% (14.6% of Total Investments) |
||||||||||||||
4,500 | American Media Operations, Inc., Term Loan C |
8.450% | 1/30/13 | B1 | 4,532,814 | |||||||||
1,111 | Blockbuster, Inc., Term Loan A |
8.377% | 8/20/09 | B1 | 1,115,601 | |||||||||
1,663 | Blockbuster, Inc., Term Loan B |
8.631% | 8/20/11 | B1 | 1,683,146 | |||||||||
1,965 | Cablevision Systems Corporation, Incremental Term Loan |
7.084% | 3/29/13 | BB | 1,974,245 | |||||||||
1,985 | Carmike Cinemas Inc., Term Loan |
8.590% | 5/19/12 | B1 | 2,008,394 | |||||||||
1,000 | Charter Communications Operating, LLC, Term Loan A |
7.850% | 9/06/14 | B1 | 1,002,084 | |||||||||
1,000 | Charter Communications Operating, LLC, Term Loan |
7.350% | 9/06/14 | B1 | 999,766 | |||||||||
3,437 | Dex Media West, LLC, Term Loan B |
6.852% | 3/09/10 | Ba1 | 3,443,507 | |||||||||
2,993 | Idearc Inc., Term Loan |
7.350% | 11/17/14 | BB+ | 3,015,800 | |||||||||
2,963 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
8.600% | 4/08/12 | B+ | 2,969,257 | |||||||||
4,975 | Neilsen Finance LLC, Term Loan B |
7.610% | 8/09/13 | Ba3 | 5,024,233 | |||||||||
1,912 | Philadelphia Newspapers, Term Loan |
8.100% | 6/29/13 | N/R | 1,923,841 | |||||||||
5,910 | Primedia Inc., Term Loan |
7.570% | 9/30/13 | B | 5,914,001 | |||||||||
2,282 | R.
H. Donnelley Inc., Term Loan D-2 |
6.851% | 6/30/11 | Ba1 | 2,286,164 | |||||||||
4,586 | Regal Cinemas Corporation, Term Loan |
7.100% | 10/27/13 | Ba2 | 4,606,240 | |||||||||
1,567 | Sun Media Corporation, Term Loan B |
7.105% | 2/07/09 | Baa3 | 1,571,582 | |||||||||
483 | Univision
Communications, Delayed Draw, Term Loan, (5) (9) |
1.000% | 9/29/14 | Ba3 | (371 | ) | ||||||||
2,000 | Univision Communications, Second Lien Term Loan |
7.820% | 3/29/09 | B3 | 2,002,083 | |||||||||
7,517 | Univision Communications, Term Loan |
7.605% | 9/15/14 | Ba3 | 7,511,013 | |||||||||
1,500 | UPC Broadband Holding BV, Term Loan J2 |
7.370% | 3/29/13 | Ba3 | 1,503,214 | |||||||||
2,900 | WMG Acquisition Corp., Term Loan |
7.359% | 2/28/11 | Ba2 | 2,915,134 | |||||||||
58,249 | Total Media |
58,001,748 | ||||||||||||
Metals & Mining 3.7% (2.4% of Total Investments) |
||||||||||||||
1,995 | Aleris International, Term Loan |
7.375% | 12/19/11 | B+ | 2,002,065 | |||||||||
1,876 | Amsted
Industries Incorporated, Delayed Draw, Term Loan |
7.350% | 4/05/11 | BB- | 1,880,759 | |||||||||
2,582 | Amsted Industries Incorporated, Term Loan B |
7.350% | 4/05/13 | BB- | 2,591,270 | |||||||||
1,035 | Freeport McMoran Copper and Gold, Term Loan |
7.070% | 3/19/14 | Baa3 | 1,039,452 | |||||||||
1,979 | John Maneely Company, Term Loan |
8.611% | 12/08/11 | B+ | 1,985,622 | |||||||||
9,467 | Total Metals & Mining |
9,499,168 | ||||||||||||
Multi-Utilities 1.6% (1.0% of Total Investments) |
||||||||||||||
2,860 | NRG Energy Inc., Term Loan |
7.350% | 2/01/13 | Ba1 | 2,885,472 | |||||||||
1,183 | NRG
Energy Inc., Credit-Linked Deposit |
7.350% | 2/01/13 | Ba1 | 1,192,754 | |||||||||
4,043 | Total Multi-Utilities |
4,078,226 | ||||||||||||
Oil, Gas & Consumable Fuels 3.5% (2.2% of Total Investments) |
||||||||||||||
301 | Coffeyville Resources LLC, Letter of Credit |
8.249% | 5/10/10 | B+ | 304,981 | |||||||||
1,549 | Coffeyville Resources LLC., Term Loan |
8.350% | 12/28/13 | B+ | 1,570,507 | |||||||||
1,000 | El Paso Corporation, Letter of Credit |
7.320% | 7/31/11 | Ba1 | 1,006,094 | |||||||||
774 | Targa Resources Inc., Synthetic Letter of Credit |
7.475% | 10/31/12 | B+ | 780,423 | |||||||||
3,177 | Targa Resources Inc., Term Loan B |
7.356% | 10/31/12 | B+ | 3,202,988 | |||||||||
2,000 | Venoco Inc, Term Loan |
9.875% | 3/30/11 | B- | 2,021,250 | |||||||||
8,801 | Total Oil, Gas & Consumable Fuels |
8,886,243 | ||||||||||||
Paper & Forest Products 3.4% (2.2% of Total Investments) |
||||||||||||||
1,013 | Boise Cascade Corporation, Term Loan D |
7.070% | 3/29/11 | BB | 1,017,632 | |||||||||
1,555 | Georgia-Pacific
Corporation, Term Loan B-2 |
7.090% | 12/20/12 | Ba2 | 1,564,448 | |||||||||
3,950 | Georgia-Pacific Corporation, Term Loan B |
7.091% | 12/20/10 | Ba2 | 3,973,961 | |||||||||
2,086 | NewPage Corporation, Term Loan B |
7.625% | 5/02/11 | Ba2 | 2,106,726 | |||||||||
8,604 | Total Paper & Forest Products |
8,662,767 | ||||||||||||
Pharmaceuticals 1.2% (0.8% of Total Investments) |
||||||||||||||
865 | Stiefel
Laboratories Inc, Delayed Draw, Term Loan |
7.605% | 12/28/13 | Ba3 | 873,253 | |||||||||
1,000 | Stiefel Laboratories Inc, Second Lien Term Loan |
10.355% | 6/15/13 | B- | 1,023,750 | |||||||||
1,130 | Stiefel Laboratories Inc, Term Loan |
7.605% | 12/28/13 | Ba3 | 1,141,697 | |||||||||
2,995 | Total Pharmaceuticals |
3,038,700 | ||||||||||||
Real Estate Investment Trust 1.6% (1.0% of Total Investments) |
||||||||||||||
3,990 | Landsource Community Development, Term Loan |
8.070% | 2/27/13 | BB+ | 4,018,991 | |||||||||
Real Estate Management & Development 2.9% (1.8% of Total Investments) |
||||||||||||||
3,721 | Capital Automotive LP., Term Loan |
7.070% | 12/16/10 | BB+ | 3,757,628 | |||||||||
3,500 | LNR Property Corporation, Term Loan B |
8.110% | 7/12/11 | B+ | 3,524,374 | |||||||||
7,221 | Total Real Estate Management & Development |
7,282,002 | ||||||||||||
Semiconductors & Equipment 1.3% (0.8% of Total Investments) |
||||||||||||||
1,358 | Advanced Micro Devices, Term Loan B |
7.340% | 12/31/13 | BB- | 1,361,961 | |||||||||
1,995 | Freescale Semiconductor, Term Loan |
7.110% | 3/30/14 | Baa3 | 2,000,663 | |||||||||
3,353 | Total Semiconductors & Equipment |
3,362,624 | ||||||||||||
Specialty Retail 8.0% (5.1% of Total Investments) |
||||||||||||||
983 | Burlington Coat Factory Warehouse Corporation, Term Loan |
7.610% | 5/28/11 | B | 978,386 | |||||||||
995 | CSK Automotive Corporation, Term Loan |
8.353% | 6/30/12 | Ba3 | 1,010,553 | |||||||||
3,897 | Michaels Stores Inc., Term Loan |
8.125% | 10/31/13 | B2 | 3,932,605 | |||||||||
1,318 | Micro
Warehouse, Inc., Term Loan B, (7) (8) (10) |
0.000% | 1/30/07 | N/R | 39,534 | |||||||||
3,979 | Norwood Promotional Products, Term Loan A |
11.625% | 8/16/09 | N/R | 4,128,514 | |||||||||
5,993 | Norwood Promotional Products, Term Loan B |
6.000% | 8/16/11 | N/R | 5,363,806 | |||||||||
995 | Sally Beauty, Term Loan |
7.860% | 11/16/13 | BB- | 1,004,052 | |||||||||
4,000 | TRU
2005 RE Holding Co. I, Inc., Term Loan |
8.320% | 12/09/08 | B3 | 4,036,876 | |||||||||
22,160 | Total Specialty Retail |
20,494,326 | ||||||||||||
Textiles Apparel & Luxury Goods 1.8% (1.1% of Total Investments) |
||||||||||||||
4,530 | Visant Holding Corporation, Term Loan C |
7.330% | 7/29/10 | B+ | 4,557,908 | |||||||||
Trading Companies & Distributors 1.6% (1.0% of Total Investments) |
||||||||||||||
2,000 | Ashtead Group Public Limited Company, Term Loan B |
7.125% | 8/31/11 | BB | 2,000,000 | |||||||||
393 | Brenntag Holdings, Acquisition Facility |
7.887% | 1/20/14 | B1 | 395,182 | |||||||||
1,607 | Brenntag Holdings, Term Loan B2 |
7.887% | 1/20/14 | B1 | 1,626,108 | |||||||||
4,000 | Total Trading Companies & Distributors |
4,021,290 | ||||||||||||
$ | 377,643 | Total Variable Rate Senior Loan Interests (cost $374,487,916) |
369,646,259 | |||||||||||
Principal | ||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Ratings (4) | Value | |||||||||
Corporate Bonds 9.1% (5.8% of Total Investments) |
||||||||||||||
Electronic Equipment & Instruments 2.0% (1.3% of Total Investments) |
||||||||||||||
$ | 5,000 | NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR, 144A
|
8.105% | 10/15/13 | BB+ | $ | 5,187,500 | |||||||
Hotels, Restaurants & Leisure 1.0% (0.6% of Total Investments) |
||||||||||||||
2,400 | Park Place Entertainment |
8.875% | 9/15/08 | Ba1 | 2,499,000 | |||||||||
Media 1.8% (1.2% of Total Investments) |
||||||||||||||
2,000 | Cablevision
Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR,
Series B 144A |
9.860% | 4/01/09 | B+ | 2,130,000 | |||||||||
2,500 | Primedia Inc., Floating Rate Note, 5.375% plus three-month LIBOR, 144A |
10.730% | 5/15/10 | B | 2,590,625 | |||||||||
4,500 | Total Media |
4,720,625 | ||||||||||||
Paper & Forest Products 0.8% (0.5% of Total Investments) |
||||||||||||||
2,000 | Verso Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month LIBOR, 144A
|
9.105% | 8/01/14 | B | 2,070,000 | |||||||||
Semiconductors & Equipment 0.2% (0.1% of Total Investments) |
||||||||||||||
500 | Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR, 144A
|
10.855% | 6/01/13 | B | 525,000 | |||||||||
Textiles Apparel & Luxury Goods 0.8% (0.5% of Total Investments) |
||||||||||||||
2,000 | HanesBrands Inc., Floating Rate Note, 3.375% plus six-month LIBOR, 144A
|
8.735% | 12/15/14 | B2 | 2,065,000 | |||||||||
Wireless Telecommunication Services 2.5% (1.6% of Total Investments) |
||||||||||||||
6,000 | Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR |
9.605% | 10/15/12 | Caa1 | 6,210,000 | |||||||||
$ | 22,400 | Total Corporate Bonds (cost $22,281,573) |
23,277,125 | |||||||||||
Shares | Description (1) | Value | ||||||||||||
Common Stocks 0.7% (0.4% of Total Investments) |
||||||||||||||
Auto Components 0.0% (0.0% of Total Investments) |
||||||||||||||
511 | Gen Tek Inc., |
$ | 16,740 | |||||||||||
279,642 | Metalforming Technologies Inc., (7) (8) (10) |
| ||||||||||||
Total Auto Components |
16,740 | |||||||||||||
Building Products 0.7% (0.4% of Total Investments) |
||||||||||||||
34,834 | Armstrong World Industries Inc., |
1,776,545 | ||||||||||||
Total Common Stocks (cost $1,393,369) |
1,793,285 | |||||||||||||
Shares | Description (1) | Value | ||||||||||||
Warrants 0.1% (0.0% of Total Investments) |
||||||||||||||
545 | Gen Tek Inc., Warrant |
$ | 25,750 | |||||||||||
268 | Gen Tek Inc., Warrant |
11,859 | ||||||||||||
5,672 | Reliant Energy Inc. |
91,886 | ||||||||||||
Total Warrants (cost $40,254) |
129,495 | |||||||||||||
Principal | ||||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||||
Short-Term Investments 2.0% (1.3% of Total Investments) |
||||||||||||||||
$ | 5,213 | Repurchase Agreement with Fixed Income Clearing |
4.900% | 5/01/07 | $ | 5,213,359 | ||||||||||
Corporation, dated 4/30/07, repurchase price $5,214,069, |
||||||||||||||||
collateralized by $3,915,000, U.S. Treasury Bonds, |
||||||||||||||||
8.000%, due 11/15/21, value $5,324,400 |
||||||||||||||||
Total Short-Term Investments (cost $5,213,359) |
5,213,359 | |||||||||||||||
Total Investments (cost $403,416,471) 156.7% |
400,059,523 | |||||||||||||||
Borrowings
Payable (40.4)% (6) |
(103,000,000 | ) | ||||||||||||||
Other Assets Less Liabilities 1.7% |
4,164,976 | |||||||||||||||
Preferred Shares, at Liquidation Value (18.0)% |
(46,000,000 | ) | ||||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 255,224,499 | ||||||||||||||
(1) | All percentages shown in the Portfolio of Investments are based on
net assets applicable to Common shares unless otherwise noted. |
|
(2) | 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. |
||
(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) | 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. |
|
(5) | Position
or portion of position represents an unfunded Senior Loan commitment
outstanding at April 30, 2007. At April 30, 2007, the Fund had
unfunded Senior Loan commitments of $1,684,679. |
|
(6) | Borrowings Payable as a percentage of total investments is (25.7)%. |
|
(7) | At or subsequent to April 30, 2007, this issue was under the
protection of the Federal Bankruptcy Court. |
|
(8) | Non-income
producing. Non-income producing, in the case of a loan,
generally denotes that the issuer has defaulted on the payment of
principal or interest or has filed for bankruptcy. |
|
(9) | Negative value represents unrealized depreciation on Senior Loan
commitment at April 30, 2007. |
|
(10) | Investment valued at fair value using methods determined in good
faith by, or at the discretion of, the Board of Trustees. |
|
N/R | Not rated. |
|
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. |
|
(PIK) | In lieu of cash payment, interest accrued on Payment in Kind
investment increases principal outstanding. |
|
Gross unrealized: |
||||
Appreciation |
$ | 5,308,617 | ||
Depreciation |
(8,665,565 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | (3,356,948 | ) | |
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
Certification |
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) | ||||
* | Print the name and title of each signing officer under his or her signature. |