Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
Certification |
Principal | Weighted Average |
|||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (2) | Ratings (3) | Value | |||||||||||
Variable
Rate Senior Loan Interests 146.4% (89.1% of Total Investments) (4) |
||||||||||||||||
Aerospace
& Defense 3.1% (2.0% of Total Investments) |
||||||||||||||||
$ | 669 | Dubai Aerospace, Term Loan Asset Sale |
7.803% | 7/23/09 | BB- | $ | 668,638 | |||||||||
757 | Dubai Aerospace, Term Loan B-1 |
8.933% | 7/23/14 | BB- | 757,941 | |||||||||||
573 | Dubai Aerospace, Term Loan B-2 |
8.933% | 7/23/13 | BB- | 573,835 | |||||||||||
2,509 | Midwestern
Aircraft (Spirit Aerosystems Inc.), Term Loan B |
6.901% | 12/30/11 | BBB- | 2,489,775 | |||||||||||
2,391 | Vought Aircraft Industries, Inc., Term Loan |
7.340% | 12/22/11 | Ba2 | 2,370,095 | |||||||||||
545 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit |
7.624% | 12/22/10 | Ba2 | 540,568 | |||||||||||
7,444 | Total Aerospace & Defense |
7,400,852 | ||||||||||||||
Airlines 4.2% (2.6% of Total Investments) |
||||||||||||||||
2,000 | Delta Air Lines, Inc., Synthetic Letter of Credit, WI/DD |
TBD | TBD | Ba2 | 1,958,000 | |||||||||||
1,995 | Delta
Air Lines, Inc., Term Loan |
8.082% | 4/30/14 | B | 1,980,394 | |||||||||||
1,980 | Northwest Airlines Inc., Term Loan |
7.030% | 8/01/13 | BB | 1,909,874 | |||||||||||
4,378 | United Air Lines Inc., Term Loan B |
7.001% | 2/01/14 | BB- | 4,205,312 | |||||||||||
10,353 | Total Airlines |
10,053,580 | ||||||||||||||
Auto Components 5.8% (3.5% of Total Investments) |
||||||||||||||||
4,224 | Federal-Mogul Corporation, Term Loan A, (5) |
6.003% | 2/24/04 | N/R | 4,165,522 | |||||||||||
5,551 | Federal-Mogul Corporation, Term Loan B, (5) |
7.253% | 2/24/05 | N/R | 5,470,933 | |||||||||||
460 | Gen Tek Inc., Term Loan B |
7.080% | 2/28/11 | BB- | 451,716 | |||||||||||
1,712 | Gen
Tek Inc., Additional Term Loan B |
7.339% | 2/28/11 | BB- | 1,679,793 | |||||||||||
2,000 | Goodyear Tire & Rubber Company, Second Lien Term Loan |
6.430% | 4/30/14 | Ba1 | 1,947,917 | |||||||||||
1,479 | Metalforming Technologies, Inc., Term Loan A, (5) (6) |
0.000% | 9/30/07 | N/R | 281,039 | |||||||||||
575 | Metalforming Technologies, Inc., Term Loan B, (PIK), (5) (6) |
0.000% | 9/30/07 | N/R | 109,299 | |||||||||||
16,001 | Total Auto Components |
14,106,219 | ||||||||||||||
Building Products 6.3% (3.8% of Total Investments) |
||||||||||||||||
879 | Atrium Companies Inc., Term Loan |
8.529% | 5/31/12 | BB- | 816,017 | |||||||||||
2,000 | Building Materials Corporation of America, Second Lien Term Loan |
10.813% | 9/15/14 | Caa1 | 1,683,000 | |||||||||||
1,985 | Building Materials Corporation of America Term Loan |
7.937% | 2/22/14 | BB | 1,812,765 | |||||||||||
2,534 | Euramax
Domestic, Term Loan |
8.244% | 6/29/12 | B+ | 2,360,800 | |||||||||||
1,940 | Nortek, Inc., Term Loan B |
7.055% | 8/27/11 | Ba2 | 1,901,200 | |||||||||||
2,435 | Stile
Acquisition Corporation, Canadian Term Loan |
7.115% | 4/05/13 | BB | 2,294,218 | |||||||||||
2,440 | Stile
Acquisition Corporation, U.S. Term Loan |
7.115% | 4/05/13 | BB | 2,298,127 | |||||||||||
1,980 | TFS Acquisition, Term Loan |
8.698% | 8/11/13 | B+ | 1,950,300 | |||||||||||
16,193 | Total Building Products |
15,116,427 | ||||||||||||||
Capital
Markets 0.6% (0.4% of Total Investments) |
||||||||||||||||
1,534 | Ameritrade
Holdings Corporation, Term Loan B Facility |
6.300% | 12/31/12 | Ba1 | 1,518,890 | |||||||||||
Chemicals 3.9% (2.4% of Total Investments) |
||||||||||||||||
1,592 | Celanese
Holdings, LLC, Term Loan B |
6.979% | 4/02/14 | BB | 1,566,794 | |||||||||||
400 | Celanese
Holdings, LLC, Credit Linked Deposits |
5.124% | 4/02/14 | BB | 393,667 | |||||||||||
2,970 | Hexion Specialty Chemicals, Inc., Term Loan C4 |
7.625% | 5/05/13 | Ba3 | 2,945,404 | |||||||||||
762 | Huntsman International LLC, Term Loan |
6.643% | 4/19/14 | BB+ | 756,921 | |||||||||||
1,995 | ISP Chemco Term Loan |
7.077% | 6/04/14 | BB- | 1,953,105 | |||||||||||
1,950 | Rockwood Specialties Group, Inc., Term Loan E |
6.460% | 7/30/12 | BB | 1,921,847 | |||||||||||
9,669 | Total Chemicals |
9,537,738 | ||||||||||||||
Commercial Services & Supplies 2.8% (1.7% of Total Investments) |
||||||||||||||||
2,370 | Acco Brands, Term Loan B |
7.175% | 8/17/12 | Ba1 | 2,337,413 | |||||||||||
730 | Allied Waste North America, New Term Loan B |
6.552% | 3/28/14 | BBB- | 717,725 | |||||||||||
393 | Allied Waste North America, LC Facility |
6.871% | 3/28/14 | BBB- | 386,118 | |||||||||||
796 | Rental
Service Corporation, Second Lien Term Loan |
8.750% | 11/27/13 | B- | 777,934 | |||||||||||
2,000 | Williams Scotsman, Inc., Term Loan B |
0.000% | 6/28/10 | BB+ | 1,985,000 | |||||||||||
677 | Workflow
Holdings Corporation, Term Loan |
9.484% | 11/30/11 | BB- | 589,385 | |||||||||||
6,966 | Total Commercial Services & Supplies |
6,793,575 | ||||||||||||||
Containers & Packaging 4.5% (2.7% of Total Investments) |
||||||||||||||||
455 | Bluegrass Container Company, LLC, Delayed Draw, 1st Lien |
7.288% | 6/30/13 | BB | 452,777 | |||||||||||
1,515 | Bluegrass Container Company, LLC, 2nd Lien |
9.753% | 12/31/13 | B | 1,525,568 | |||||||||||
485 | Bluegrass Container Company, LLC, Delayed Draw, 2nd Lien |
9.753% | 12/31/13 | B | 488,182 | |||||||||||
1,520 | Bluegrass Container Company, LLC, Term Loan B |
7.322% | 6/30/13 | BB | 1,513,229 | |||||||||||
5,494 | Graham Packaging Company, L.P., Term Loan |
7.661% | 12/13/11 | B+ | 5,398,891 | |||||||||||
437 | Smurfit-Stone
Container Corporation, Deposit-Funded Commitment |
7.124% | 11/01/10 | Ba2 | 433,171 | |||||||||||
375 | Smurfit-Stone
Container Corporation, Term Loan B |
7.428% | 11/01/11 | Ba2 | 372,201 | |||||||||||
473 | Smurfit-Stone
Container Corporation, Term Loan C |
7.523% | 11/01/11 | Ba2 | 469,613 | |||||||||||
169 | Smurfit-Stone
Container Corporation, Term Loan Tranche C-1 |
7.188% | 11/01/11 | Ba2 | 167,972 | |||||||||||
10,923 | Total Containers & Packaging |
10,821,604 | ||||||||||||||
Diversified Consumer Services 2.5% (1.5% of Total Investments) |
||||||||||||||||
4,000 | Thomson Learning Center, Term Loan |
7.950% | 7/05/14 | B+ | 3,877,778 | |||||||||||
2,278 | West Corporation, Term Loan |
7.273% | 10/24/13 | BB- | 2,238,109 | |||||||||||
6,278 | Total Diversified Consumer Services |
6,115,887 | ||||||||||||||
Diversified Telecommunication Services 5.9% (3.6% of Total Investments) |
||||||||||||||||
1,990 | Crown
Castle Operating Company, Term Loan |
6.645% | 1/26/14 | BBB- | 1,948,023 | |||||||||||
1,955 | Intelsat
Corporation, Term Loan |
7.124% | 7/01/13 | BB+ | 1,935,942 | |||||||||||
2,000 | Intelsat
Corporation Unsecured Term Loan |
7.859% | 2/01/14 | B | 1,982,500 | |||||||||||
997 | Intelsat, Ltd., Term Loan B |
7.124% | 12/03/13 | BB+ | 987,417 | |||||||||||
2,267 | Level
3 Financing, Inc., Term Loan |
7.493% | 3/13/14 | B+ | 2,212,991 | |||||||||||
5,000 | Qwest Corporation, Term Loan B |
6.950% | 6/30/10 | BBB- | 5,108,335 | |||||||||||
5,000 | WCI Capital Corporation, Term Loan B, (5) (6) |
0.000% | 9/30/07 | N/R | 70,833 | |||||||||||
19,209 | Total Diversified Telecommunication Services |
14,246,041 | ||||||||||||||
Electric Utilities 4.2% (2.5% of Total Investments) |
||||||||||||||||
705 | Astoria Generating Company, 1st Lien Term Loan |
7.210% | 2/23/13 | BB- | 697,035 | |||||||||||
556 | Calpine Corporation DIP Revolver, (7) (8) |
0.250% | 3/29/09 | N/R | (26,389 | ) | ||||||||||
4,422 | Calpine Corporation Dip Term Loan |
7.448% | 3/29/09 | N/R | 4,384,713 | |||||||||||
3,000 | Texas Competitive Electric Holdings, Term Loan, WI/DD |
TBD | TBD | Ba3 | 3,000,933 | |||||||||||
2,000 | Texas Competitive Electric Holdings, Term Loan B3, WI/DD |
TBD | TBD | Ba3 | 2,000,000 | |||||||||||
10,683 | Total Electric Utilities |
10,056,292 | ||||||||||||||
Electrical
Equipment 0.6% (0.4% of Total Investments) |
||||||||||||||||
1,496 | Sensus Metering Systems Inc., Term Loan B-1 |
7.261% | 12/17/10 | BB | 1,473,217 | |||||||||||
97 | Sensus Metering Systems Inc., Term Loan B-2 |
7.359% | 12/17/10 | BB | 95,716 | |||||||||||
1,593 | Total Electrical Equipment |
1,568,933 | ||||||||||||||
Electronic Equipment & Instruments 0.8% (0.5% of Total Investments) |
||||||||||||||||
1,975 | Sensata
Technologies B.V., U.S. Term Loan |
6.760% | 4/27/13 | BB | 1,926,507 | |||||||||||
Energy Equipment & Services 1.0% (0.6% of Total Investments) |
||||||||||||||||
2,490 | Dresser, Inc., Term Loan |
7.989% | 5/04/14 | B+ | 2,444,465 | |||||||||||
Food Products 2.3% (1.4% of Total Investments) |
||||||||||||||||
465 | Dole Foods Company Inc., Deposit-Funded Commitment |
7.290% | 4/12/13 | BB- | 452,487 | |||||||||||
1,031 | Dole Foods Company Inc., Term Loan B |
7.572% | 4/12/13 | BB- | 1,002,825 | |||||||||||
3,436 | Dole Foods Company Inc., Term Loan C |
7.415% | 4/12/13 | BB- | 3,342,749 | |||||||||||
862 | Michael Foods, Inc., Term Loan B |
7.361% | 11/21/10 | BB- | 851,239 | |||||||||||
5,794 | Total Food Products |
5,649,300 | ||||||||||||||
Gas Utilities 0.8% (0.5% of Total Investments) |
||||||||||||||||
2,000 | Energy
Transfer Equity LP, Term Loan |
7.106% | 2/08/12 | BBB- | 1,970,625 | |||||||||||
Health Care Equipment & Supplies 0.8% (0.5% of Total Investments) |
||||||||||||||||
1,000 | Symbion Healthcare Term Loan A |
8.210% | 8/01/13 | Ba3 | 971,250 | |||||||||||
1,000 | Symbion Healthcare Term Loan B |
8.210% | 8/01/14 | Ba3 | 971,250 | |||||||||||
2,000 | Total Health Care Equipment & Supplies |
1,942,500 | ||||||||||||||
Health Care Providers & Services 9.5% (5.8% of Total Investments) |
||||||||||||||||
3,292 | Davita Inc., Term Loan B |
6.754% | 10/05/12 | BB+ | 3,229,112 | |||||||||||
1,985 | HCA, Inc. Term Loan |
7.448% | 11/18/13 | BB | 1,942,673 | |||||||||||
1,990 | Health
Management Associates, Inc., Term Loan |
6.942% | 2/28/14 | Ba2 | 1,905,977 | |||||||||||
859 | HealthSouth Corporation, Term Loan |
7.628% | 3/10/13 | BB- | 842,237 | |||||||||||
464 | IASIS
Healthcare, LLC, Delayed Term Loan, (7) |
5.960% | 3/14/14 | Ba2 | 322,798 | |||||||||||
124 | IASIS
Healthcare, LLC, LC Facility |
4.693% | 3/14/14 | Ba2 | 118,238 | |||||||||||
1,351 | IASIS Healthcare, LLC, Term Loan |
7.066% | 3/14/14 | Ba2 | 1,291,178 | |||||||||||
3,920 | LifeCare Holdings Inc., Term Loan B |
8.200% | 8/11/12 | B | 3,655,394 | |||||||||||
2,150 | Psychiatric Solutions Inc., Term Loan B |
7.007% | 12/03/12 | BB- | 2,112,507 | |||||||||||
2,925 | Select Medical Corporation, Term Loan |
7.477% | 2/24/12 | Ba2 | 2,814,094 | |||||||||||
4,871 | Vanguard
Health Holding Company II, LLC, Replacement Term Loan |
7.448% | 9/23/11 | Ba3 | 4,775,558 | |||||||||||
23,931 | Total Health Care Providers & Services |
23,009,766 | ||||||||||||||
Hotels, Restaurants & Leisure 12.4% (7.5% of Total Investments) |
||||||||||||||||
4,925 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
7.809% | 6/08/12 | Ba3 | 4,851,125 | |||||||||||
1,779 | Ameristar Casinos, Inc., Term Loan B |
7.428% | 11/10/12 | BB+ | 1,765,757 | |||||||||||
122 | CBRL Group, Inc., Term B-2 Delayed Draw |
7.431% | 4/28/13 | BB | 119,021 | |||||||||||
776 | CBRL Group, Inc., Term Loan B-1 |
6.860% | 4/28/13 | BB | 756,363 | |||||||||||
3,910 | CCM Merger, Inc., Term Loan B |
7.300% | 7/13/12 | BB- | 3,826,943 | |||||||||||
1,975 | Cedar Fair LP, Term Loan |
6.753% | 8/30/12 | BB | 1,939,203 | |||||||||||
2,629 | Intrawest Corporation, Term Loan |
8.130% | 4/24/08 | N/R | 2,609,385 | |||||||||||
353 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan A, (7) (8) |
0.375% | 7/26/14 | BB+ | (12,309 | ) | ||||||||||
1,174 | Isle of Capri Casinos, Inc., Term Loan |
6.741% | 7/26/14 | BB+ | 1,132,602 | |||||||||||
469 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan B |
6.643% | 7/26/14 | BB+ | 453,041 | |||||||||||
71 | OSI
Restaurant Partners, LLC, Revolver |
5.523% | 6/14/13 | BB- | 68,749 | |||||||||||
927 | OSI
Restaurant Partners, LLC, Term Loan |
7.063% | 6/14/14 | BB- | 895,008 | |||||||||||
3,920 | Penn National Gaming, Inc., Term Loan B |
6.901% | 10/03/12 | BBB- | 3,900,128 | |||||||||||
1,000 | Quiznos
Sub, Second Lien Term Loan C |
10.948% | 11/05/13 | N/R | 962,000 | |||||||||||
130 | Seminole Gaming, Term Loan B-1 Delayed Draw |
6.972% | 3/05/14 | BBB | 128,664 | |||||||||||
437 | Seminole Gaming, Term Loan B-2 Delayed Draw |
7.125% | 3/05/14 | BBB | 434,241 | |||||||||||
433 | Seminole Gaming, Term Loan B-3 Delayed Draw |
6.750% | 3/05/14 | BBB | 430,220 | |||||||||||
1,334 | Travelport, Term Loan |
7.448% | 8/23/13 | BB- | 1,309,812 | |||||||||||
268 | Travelport,
LC Facility |
7.448% | 8/23/13 | BB- | 262,815 | |||||||||||
998 | Travelport, Delayed Term Loan |
7.448% | 8/23/13 | BB- | 979,265 | |||||||||||
800 | Venetian Casino Resort, LLC (Las Vegas Sands, Inc) Delayed Term Loan, (7) (8) |
0.750% | 5/23/14 | BB | (22,039 | ) | ||||||||||
3,192 | Venetian Casino Resort, LLC, Term Loan |
6.950% | 5/23/14 | BB | 3,104,065 | |||||||||||
31,622 | Total Hotels, Restaurants & Leisure |
29,894,059 | ||||||||||||||
Household Durables 2.0% (1.2% of Total Investments) |
||||||||||||||||
4,455 | Shea Homes Inc., Term Loan |
7.200% | 10/27/11 | N/R | 3,820,163 | |||||||||||
1,001 | William Carter Company, Term Loan B |
6.313% | 7/14/12 | BBB- | 985,871 | |||||||||||
5,456 | Total Household Durables |
4,806,034 | ||||||||||||||
Household Products 1.9% (1.1% of Total Investments) |
||||||||||||||||
1,753 | Prestige Brands, Inc., Term Loan B |
7.731% | 4/06/11 | BB- | 1,743,983 | |||||||||||
2,774 | Solo Cup Company, Term Loan |
8.669% | 2/27/11 | B1 | 2,772,793 | |||||||||||
4,527 | Total Household Products |
4,516,776 | ||||||||||||||
Independent Power Producers & Energy Traders 1.7% (1.1% of Total Investments) |
||||||||||||||||
668 | Covanta
Energy Corporation, Term Loan B |
6.876% | 2/09/14 | BB | 650,499 | |||||||||||
329 | Covanta
Energy Corporation, Synthetic Letter of Credit |
6.729% | 2/09/14 | BB | 320,404 | |||||||||||
800 | NRG Energy Inc., Holdco Term Loan, (7) (8) |
0.500% | 2/01/13 | BB | (15,571 | ) | ||||||||||
2,322 | NRG Energy Inc., Term Loan |
6.948% | 2/01/13 | Ba1 | 2,277,110 | |||||||||||
966 | NRG
Energy Inc., Credit Linked Deposits |
6.848% | 2/01/13 | Ba1 | 947,716 | |||||||||||
5,085 | Total Independent Power Producers & Energy Traders |
4,180,158 | ||||||||||||||
Insurance 2.4% (1.4% of Total Investments) |
||||||||||||||||
5,933 | Conseco, Inc., Term Loan |
6.819% | 10/10/13 | Ba3 | 5,683,040 | |||||||||||
Internet Software & Services 1.2% (0.7% of Total Investments) |
||||||||||||||||
2,977 | Riverdeep
Interactive Learning USA, Inc., Term Loan |
7.948% | 12/20/13 | B1 | 2,965,042 | |||||||||||
IT Services 3.3% (2.0% of Total Investments) |
||||||||||||||||
3,000 | First Data Term Loan, Tranche B |
7.960% | 9/24/14 | BB- | 2,892,614 | |||||||||||
5,106 | SunGard Data Systems Inc., Term Loan B |
7.356% | 2/28/14 | BB+ | 5,047,669 | |||||||||||
8,106 | Total IT Services |
7,940,283 | ||||||||||||||
Leisure Equipment & Products 1.1% (0.7% of Total Investments) |
||||||||||||||||
2,734 | Bombardier Recreational Products Inc., Term Loan |
7.699% | 6/28/13 | B+ | 2,662,405 | |||||||||||
Machinery 4.4% (2.6% of Total Investments) |
||||||||||||||||
1,995 | Maxim
Crane Works L.P., Term Loan |
6.799% | 6/29/14 | BB- | 1,895,250 | |||||||||||
3,178 | Navistar International Corporation, Term Loan |
8.234% | 1/19/12 | BB- | 3,129,714 | |||||||||||
1,156 | Navistar International Corporation, Synthetic Letter of Credit |
6.853% | 1/19/12 | BB- | 1,138,078 | |||||||||||
1,975 | Oshkosh Truck Corporation, Term Loan |
7.450% | 12/06/13 | BBB- | 1,946,300 | |||||||||||
557 | Rexnord
Corporation, Incremental Term Loan B-2 |
7.642% | 7/19/13 | Ba2 | 554,611 | |||||||||||
1,869 | Rexnord
Corporation, Term Loan B |
7.603% | 7/19/13 | Ba2 | 1,860,676 | |||||||||||
10,730 | Total Machinery |
10,524,629 | ||||||||||||||
Media 21.6% (13.1% of Total Investments) |
||||||||||||||||
4,500 | American Media Operations, Inc., Term Loan |
8.800% | 1/13/13 | B1 | 4,449,375 | |||||||||||
1,955 | Cablevision Systems Corporation, Incremental Term Loan |
6.875% | 3/29/13 | BB | 1,912,952 | |||||||||||
1,975 | Carmike
Cinemas Inc., Delayed Draw Term Loan |
9.230% | 5/19/12 | B1 | 1,971,708 | |||||||||||
1,990 | Cequel Communications LLC., Term Loan B |
7.268% | 11/05/13 | BB- | 1,931,295 | |||||||||||
1,000 | Charter Communications Operating, LLC, Holdco Term Loan |
7.698% | 3/06/14 | B1 | 961,719 | |||||||||||
1,300 | Charter Communications Operating, LLC, Term Loan |
6.990% | 3/06/14 | B+ | 1,251,466 | |||||||||||
2,993 | Discovery
Communications Holdings, Term Loan |
7.198% | 5/14/14 | N/R | 2,960,081 | |||||||||||
2,978 | Idearc Inc., Term Loan |
7.200% | 11/17/14 | BBB- | 2,940,126 | |||||||||||
2,948 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
8.448% | 4/08/12 | N/R | 2,833,363 | |||||||||||
4,950 | Nielsen Finance LLC, Term Loan B |
7.360% | 8/09/13 | Ba3 | 4,826,945 | |||||||||||
1,903 | Philadelphia Newspapers, Term Loan |
8.750% | 6/29/13 | N/R | 1,750,442 | |||||||||||
2,573 | Regal Cinemas Corporation, Term Loan |
6.698% | 10/27/13 | Ba2 | 2,519,815 | |||||||||||
1,867 | Tribune
Company, Term Loan X |
7.744% | 6/04/09 | BB | 1,847,854 | |||||||||||
6,983 | Tribune
Company, Term Loan B |
8.244% | 6/04/14 | BB | 6,500,708 | |||||||||||
483 | Univision Communications, Delayed Term Loan, (7) (8) |
3.668% | 9/29/14 | B+ | (13,591 | ) | ||||||||||
2,000 | Univision
Communications, Second Lien Term Loan |
7.253% | 3/29/09 | B3 | 1,987,500 | |||||||||||
7,732 | Univision Communications, Term Loan |
7.210% | 9/29/14 | Ba3 | 7,340,134 | |||||||||||
427 | Valassis Communications, Inc., Delayed Draw Term, (7) (8) |
1.000% | 3/02/14 | BB | (20,000 | ) | ||||||||||
1,432 | Valassis Communications, Inc., Tranche B Term Loan |
6.950% | 3/02/14 | BB | 1,365,002 | |||||||||||
2,883 | WMG Acquisition Corp., Term Loan |
7.419% | 2/28/11 | Ba2 | 2,821,577 | |||||||||||
54,872 | Total Media |
52,138,471 | ||||||||||||||
Metals & Mining 4.1% (2.5% of Total Investments) |
||||||||||||||||
1,985 | Aleris
International Inc., Term Loan |
7.063% | 12/19/11 | BB- | 1,896,502 | |||||||||||
1,867 | Amsted
Industries Incorporated, Delayed Draw Term Loan |
7.266% | 4/08/13 | BB | 1,826,956 | |||||||||||
2,568 | Amsted Industries Incorporated, Term Loan B |
7.279% | 4/08/13 | BB | 2,527,917 | |||||||||||
1,995 | Edgen
Murray II, L.P., Term Loan |
8.115% | 5/11/14 | B | 1,957,594 | |||||||||||
1,841 | John Maneely Company, Term Loan |
8.638% | 12/08/11 | B+ | 1,721,364 | |||||||||||
10,256 | Total Metals & Mining |
9,930,333 | ||||||||||||||
Oil, Gas & Consumable Fuels 2.8% (1.7% of Total Investments) |
||||||||||||||||
550 | Big
West Oil, LLC, Delayed Draw Term Loan, (7) (8) |
1.500% | 5/15/14 | BB | (16,500 | ) | ||||||||||
448 | Big West Oil, LLC, Term Loan |
7.448% | 5/15/14 | BB | 434,075 | |||||||||||
301 | Coffeyville Resources LLC, Letter of Credit |
8.481% | 12/28/10 | B- | 298,813 | |||||||||||
980 | Coffeyville Resources LLC., Term Loan D |
8.481% | 12/28/13 | B- | 974,533 | |||||||||||
1,000 | El Paso Corporation, Letter of Credit |
6.438% | 7/31/11 | Ba1 | 988,125 | |||||||||||
774 | Targa Resources Inc., Synthetic Letter of Credit |
7.323% | 10/31/12 | Ba3 | 768,581 | |||||||||||
1,388 | Targa Resources Inc., Term Loan B |
7.525% | 10/31/12 | Ba3 | 1,377,809 | |||||||||||
2,000 | Venoco Inc, Term Loan |
9.125% | 9/20/11 | B | 1,990,000 | |||||||||||
7,441 | Total Oil, Gas & Consumable Fuels |
6,815,436 | ||||||||||||||
Paper & Forest Products 3.0% (1.8% of Total Investments) |
||||||||||||||||
3,930 | Georgia-Pacific
Corporation, Term Loan B |
7.383% | 12/20/12 | BB+ | 3,843,330 | |||||||||||
1,547 | Georgia-Pacific
Corporation, Term Loan B-2 |
7.372% | 12/20/12 | BB+ | 1,512,614 | |||||||||||
1,995 | NewPage Corporation, Term Loan B |
7.469% | 5/02/11 | Ba2 | 1,979,936 | |||||||||||
7,472 | Total Paper & Forest Products |
7,335,880 | ||||||||||||||
Pharmaceuticals 0.8% (0.5% of Total Investments) |
||||||||||||||||
860 | Stiefel
Laboratories Inc, Delayed Draw Term Loan |
7.499% | 12/28/13 | BB- | 844,143 | |||||||||||
1,125 | Stiefel Laboratories Inc, Term Loan |
7.499% | 12/28/13 | BB- | 1,103,638 | |||||||||||
1,985 | Total Pharmaceuticals |
1,947,781 | ||||||||||||||
Real Estate Investment Trust 1.5% (0.9% of Total Investments) |
||||||||||||||||
3,970 | Landsource
Community Development LLC, Term Loan |
8.249% | 2/27/13 | N/R | 3,537,552 | |||||||||||
Real Estate Management & Development 4.5% (2.7% of Total Investments) |
||||||||||||||||
3,721 | Capital Automotive LP., Term Loan |
6.880% | 12/15/10 | BB+ | 3,682,150 | |||||||||||
3,500 | LNR Property Corporation, Term Loan B |
8.110% | 7/12/11 | BB | 3,421,250 | |||||||||||
4,000 | Realogy Corporation, Term Loan, WI/DD |
TBD | TBD | BB | 3,728,000 | |||||||||||
11,221 | Total Real Estate Management & Development |
10,831,400 | ||||||||||||||
Road & Rail 3.2% (2.0% of Total Investments) |
||||||||||||||||
8,837 | Swift Transportation, Term Loan |
8.375% | 5/10/14 | BB- | 7,809,884 | |||||||||||
Semiconductors & Equipment 0.8% (0.5% of Total Investments) |
||||||||||||||||
1,985 | Freescale Semiconductor, Term Loan |
7.330% | 11/29/13 | Baa3 | 1,909,703 | |||||||||||
Software 1.1% (0.7% of Total Investments) |
||||||||||||||||
2,805 | Dealer Computer Services, Term Loan |
7.198% | 10/26/12 | BB | 2,744,583 | |||||||||||
Specialty Retail 9.0% (5.5% of Total Investments) |
||||||||||||||||
752 | Blockbuster, Inc., Term Loan A |
9.374% | 8/20/09 | B | 747,791 | |||||||||||
1,246 | Blockbuster, Inc., Term Loan B |
9.623% | 8/20/11 | B | 1,241,254 | |||||||||||
970 | Burlington Coat Factory Warehouse Corporation, Term Loan |
7.760% | 5/28/11 | B2 | 912,138 | |||||||||||
990 | CSK Automotive Corporation, Term Loan |
9.000% | 7/29/10 | Ba3 | 987,562 | |||||||||||
3,887 | Michaels Stores Inc., Term Loan |
7.619% | 10/31/13 | B | 3,732,709 | |||||||||||
1,122 | Micro
Warehouse, Inc., Term Loan B, (5) (6) (9) |
0.000% | 1/30/07 | N/R | 165,826 | |||||||||||
3,914 | Norwood Promotional Products, Term Loan A |
11.875% | 8/17/09 | N/R | 3,915,194 | |||||||||||
5,992 | Norwood Promotional Products, Term Loan B |
6.000% | 8/17/11 | N/R | 5,169,031 | |||||||||||
990 | Sally
Holdings LLC, Term Loan |
8.006% | 11/16/13 | BB- | 972,675 | |||||||||||
4,000 | TRU
2005 RE Holding CO I, LLC, Term Loan |
8.129% | 12/08/08 | B3 | 3,963,334 | |||||||||||
23,863 | Total Specialty Retail |
21,807,514 | ||||||||||||||
Textiles, Apparel & Luxury Goods 0.8% (0.5% of Total Investments) |
||||||||||||||||
2,001 | Visant Holding Corporation, Term Loan C |
7.198% | 7/29/10 | Ba1 | 1,987,107 | |||||||||||
Trading
Companies & Distributors 1.6% (1.0% of Total Investments) |
||||||||||||||||
1,980 | Ashtead Group Public Limited Company, Term Loan |
7.125% | 8/31/11 | BB+ | 1,945,351 | |||||||||||
393 | Brenntag
Holdings, Acquisition Facility |
7.387% | 1/20/14 | B+ | 384,955 | |||||||||||
1,606 | Brenntag Holdings, Term Loan B2 |
7.387% | 1/20/14 | B+ | 1,575,463 | |||||||||||
3,979 | Total
Trading Companies & Distributors |
3,905,769 | ||||||||||||||
Wireless Telecommunication Services 1.6% (1.0% of Total Investments) |
||||||||||||||||
4,000 | Asurion Corporation, Term Loan |
8.360% | 7/03/14 | N/R | 3,918,750 | |||||||||||
$ | 376,893 | Total Variable Rate Senior Loan Interests (cost $370,538,270) |
354,071,790 | |||||||||||||
Principal | ||||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Ratings (3) | Value | |||||||||||
Corporate Bonds 8.3% (5.0% of Total Investments) |
||||||||||||||||
Hotels, Restaurants & Leisure 1.0% (0.6% of Total Investments) |
||||||||||||||||
$ | 2,400 | Park Place Entertainment |
8.875% | 9/15/08 | Ba1 | $ | 2,439,000 | |||||||||
Media 0.9% (0.5% of Total Investments) |
||||||||||||||||
2,000 | Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR, 144A |
9.306% | 4/01/09 | B+ | 2,065,000 | |||||||||||
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 |
8.644% | 8/01/14 | B+ | 2,020,000 | |||||||||||
Semiconductors & Equipment 2.2% (1.3% of Total Investments) |
||||||||||||||||
500 | Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR |
10.394% | 6/01/13 | B | 512,500 | |||||||||||
5,000 | NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR |
7.644% | 10/15/13 | BB | 4,756,250 | |||||||||||
5,500 | Total Semiconductors & Equipment |
5,268,750 | ||||||||||||||
Textiles, Apparel & Luxury Goods 0.9% (0.6% of Total Investments) |
||||||||||||||||
2,000 | HanesBrands Inc., Floating Rate Note, 3.375% plus six-month LIBOR |
8.181% | 12/15/14 | B2 | 2,020,000 | |||||||||||
Wireless
Telecommunication Services 2.5% (1.5% of Total Investments) |
||||||||||||||||
6,000 | Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR |
9.144% | 10/15/12 | Caa1 | 6,150,000 | |||||||||||
$ | 19,900 | Total Corporate Bonds (cost $19,800,173) |
19,962,750 | |||||||||||||
Shares | Description (1) | Value | ||||||||||||||
Common
Stocks 0.6% (0.4% of Total Investments) |
||||||||||||||||
Auto Components 0.0% (0.0% of Total Investments) |
||||||||||||||||
511 | Gen Tek Inc., (6) |
$ | 17,374 | |||||||||||||
279,642 | Metalforming
Technologies Inc., (5) (6) (9) |
| ||||||||||||||
Total Auto Components |
17,374 | |||||||||||||||
Building
Products 0.6% (0.4% of Total Investments) |
||||||||||||||||
35,644 | Armstrong World Industries Inc., (6) |
1,461,760 | ||||||||||||||
Total Common Stocks (cost $1,393,369) |
1,479,134 | |||||||||||||||
Shares | Description (1) | Value | ||||||||||||||
Warrants 0.1% (0.0% of Total Investments) |
||||||||||||||||
545 | Gen
Tek Inc., Warrant Class B |
$ | 25,986 | |||||||||||||
268 | Gen
Tek Inc., Warrant Class C |
13,534 | ||||||||||||||
5,672 | Reliant
Energy Inc., Warrant Class A |
120,246 | ||||||||||||||
Total Warrants (cost $40,254) |
159,766 | |||||||||||||||
Principal | ||||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||||
Short-Term Investments 9.1% (5.5% of Total Investments) |
||||||||||||||||
$ | 21,969 | Repurchase
Agreement with Fixed Income Clearing Corporation, dated 10/31/07,
repurchase price $21,971,167, collateralized by $21,880,000 U.S.
Treasury Notes, 4.875%, due 5/31/07, value $22,414,791 |
4.300% | 11/01/07 | $ | 21,968,543 | ||||||||||
Total Short-Term Investments (cost $21,968,543) |
21,968,543 | |||||||||||||||
Total Investments (cost $413,740,609) 164.5% |
397,641,983 | |||||||||||||||
Borrowings
Payable (42.6)% (10) |
(103,000,000 | ) | ||||||||||||||
Other
Assets Less Liabilities (2.9)% |
(6,947,744 | ) | ||||||||||||||
Preferred Shares, at Liquidation Value (19.0)% |
(46,000,000 | ) | ||||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 241,694,239 | ||||||||||||||
(1) | All percentages shown in the Portfolio of Investments are based on
net assets applicable to Common shares unless otherwise noted. |
|
(2) | Senior Loans generally are subject to mandatory and/or optional
prepayment. Because of these mandatory prepayment conditions and
because there may be significant economic incentives for a Borrower
to prepay, prepayments of Senior Loans may occur. As a result, the
actual remaining maturity of Senior Loans held may be substantially
less than the stated maturities shown. |
|
(3) | Ratings: Using the higher of Standard & Poors Group (Standard &
Poors) or Moodys Investor Service, Inc. (Moodys) rating. Ratings below BBB by Standard & Poors or Baa by Moodys are
considered to be below investment grade. |
|
(4) | Senior Loans 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. |
||
(5) | At or subsequent to October 31, 2007, this issue was under the
protection of the Federal Bankruptcy Court. |
|
(6) | Non-income producing. Non-income producing, in the case of a Senior
Loan, generally denotes that the issuer has defaulted on the payment
of principal or interest or has filed for bankruptcy. |
|
(7) | Position
or portion of position represents an unfunded Senior Loan commitment
outstanding at October 31, 2007. At October 31, 2007, the
Fund had unfunded Senior Loan commitments of $3,874,216. |
|
(8) | Negative
value represents unrealized depreciation on Senior Loan commitment at
October 31, 2007. |
|
(9) | Investment
valued at fair value using methods determined in good faith by, or at
the discretion of, the Board of Trustees. |
|
(10) | Borrowings Payable as a percentage of total investments is (25.9)%. |
|
N/R | Not rated. |
|
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. |
|
PIK | In lieu of cash payment, interest accrued on Payment in Kind
investment increases principal outstanding. |
|
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. |
|
WI/DD | Purchased on a when-issued or delayed delivery basis. |
|
Gross unrealized: |
||||
Appreciation |
$ | 2,181,649 | ||
Depreciation |
(18,304,471 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | (16,122,822 | ) | |
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. |