OMB APPROVAL | ||
OMB Number: 3235-0578 | ||
Expires: April 30, 2013 | ||
Estimated average burden | ||
hours per response: 5.6 | ||
1555 Peachtree Street, N.E., Atlanta, Georgia | 30309 | |
(Address of principal executive offices) | (Zip code) |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Variable Rate** Senior Loan Interests 138.9% |
||||||||||||||||
Aerospace & Defense 3.9% |
||||||||||||||||
$ | 1,938 | Apptis, Inc. Term Loan |
6.500 | % | 12/20/12 | $ | 1,938,484 | |||||||||
1,922 | ARINC, Inc. Second Lien Term
Loan |
6.200 | 10/25/15 | 1,874,406 | ||||||||||||
2,335 | DynCorp International, LLC
Term Loan B |
6.250 | 07/05/16 | 2,353,698 | ||||||||||||
5,711 | IAP Worldwide Services, Inc.
First Lien Term Loan (a) |
8.250 | 12/30/12 | 5,715,981 | ||||||||||||
1,785 | IAP Worldwide Services, Inc.
Second Lien Term Loan (a) |
12.500 | 06/28/13 | 1,896,695 | ||||||||||||
2,616 | Primus International, Inc.
Term Loan B |
5.500 | 06/06/14 | 2,622,587 | ||||||||||||
5,274 | Sequa Corp. Term Loan |
3.500 | 12/03/14 | 5,215,423 | ||||||||||||
1,285 | SI Organization, Inc. New Term
Loan B |
4.500 | 11/22/16 | 1,296,360 | ||||||||||||
4,713 | TASC, Inc. Term Loan B |
4.500 | 12/18/15 | 4,737,154 | ||||||||||||
987 | Transdigm, Inc. Term Loan B |
4.000 | 02/14/17 | 992,059 | ||||||||||||
4,505 | Vangent, Inc. Term Loan B |
2.260 | 02/14/13 | 4,448,935 | ||||||||||||
2,347 | Wyle Services Corp. Term Loan
B |
5.750 | 03/27/17 | 2,356,616 | ||||||||||||
35,448,398 | ||||||||||||||||
Air Transport 0.8% |
||||||||||||||||
2,893 | Delta Air Lines, Inc. New Term
Loan B |
5.500 | 04/20/17 | 2,867,766 | ||||||||||||
4,495 | Delta Air Lines, Inc. Term Loan
B |
4.250 | 03/07/16 | 4,417,424 | ||||||||||||
7,285,190 | ||||||||||||||||
Automotive 5.6% |
||||||||||||||||
16,144 | Federal-Mogul Corp. Term Loan
B |
2.150 | 12/29/14 | 15,589,731 | ||||||||||||
172 | Federal-Mogul Corp. Term Loan
C |
2.140 | 12/28/15 | 165,921 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Automotive (continued) |
||||||||||||||||
$ | 6,917 | Ford Motor Co. Term Loan |
2.950 | % | 12/16/13 | $ | 6,928,676 | |||||||||
1,497 | Hertz Corp. (The) Letter of Credit |
3.750 | 03/09/18 | 1,478,763 | ||||||||||||
7,126 | Hertz Corp. (The) Term Loan B |
3.750 | 03/09/18 | 7,135,436 | ||||||||||||
6,963 | KAR Holdings, Inc. Term Loan B |
5.000 | 05/19/17 | 7,018,314 | ||||||||||||
4,272 | Key Safety Systems, Inc. First
Lien Term Loan |
2.440 | 03/08/14 | 4,052,691 | ||||||||||||
1,669 | Metaldyne Co., LLC New Term
Loan B |
5.250 | 05/18/17 | 1,673,867 | ||||||||||||
611 | Performance Transportation
Services, Inc. Letter of
Credit (b)(c)(d) |
3.250 | 01/26/12 | 147,674 | ||||||||||||
420 | Performance Transportation
Services, Inc. Term
Loan (b)(c)(d) |
7.500 | 01/26/12 | 101,407 | ||||||||||||
5,764 | Pinafore, LLC Term Loan B |
4.250 | 09/29/16 | 5,787,832 | ||||||||||||
50,080,312 | ||||||||||||||||
Beverage & Tobacco 1.6% |
||||||||||||||||
9,985 | DS Waters of America, Inc.
Term Loan B |
2.441 | 10/27/12 | 9,735,729 | ||||||||||||
4,950 | DSW Holdings, Inc. Term Loan |
4.191 | 03/02/12 | 4,739,625 | ||||||||||||
14,475,354 | ||||||||||||||||
Building & Development 5.0% |
||||||||||||||||
1,040 | Axia Acquisition Corp. Second
Lien Term Loan A (a)(i) |
11.000 | 03/11/16 | 909,870 | ||||||||||||
1,918 | Axia Acquisition Corp. Second
Lien Term Loan B (i) |
5.000 | 03/12/16 | 1,582,195 | ||||||||||||
1,733 | Building Materials Holding Corp.
Second Lien Term
Loan (a) |
8.000 | 01/05/15 | 1,555,764 | ||||||||||||
8,718 | Capital Automotive, LP New
Term Loan B |
5.000 | 03/10/17 | 8,719,403 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Building & Development (continued) |
||||||||||||||||
$ | 1,021 | CB Richard Ellis Services, Inc.
New Term Loan B |
3.454 | % | 11/06/16 | $ | 1,024,004 | |||||||||
1,506 | CPG International, Inc. Term
Loan B |
6.000 | 02/18/17 | 1,513,758 | ||||||||||||
3,759 | Custom Building Products, Inc.
Term Loan B |
5.750 | 03/19/15 | 3,782,594 | ||||||||||||
2,500 | El Ad IDB Las Vegas, LLC Term
Loan A1 |
2.956 | 08/09/12 | 1,375,000 | ||||||||||||
4,714 | Ginn LA CS Borrower, LLC First
Lien Term A Credit Linked (c) |
7.750 | 06/08/11 | 388,929 | ||||||||||||
10,106 | Ginn LA CS Borrower, LLC First
Lien Term Loan (c) |
6.196 | 06/08/11 | 833,721 | ||||||||||||
6,000 | Ginn LA CS Borrower, LLC
Second Lien Term Loan (c) |
10.196 | 06/08/12 | 30,000 | ||||||||||||
2,200 | Kyle Acquisition Group, LLC
Term Loan B (c)(e) |
5.750 | 07/20/09 | 242,000 | ||||||||||||
3,000 | Kyle Acquisition Group, LLC
Term Loan C (c) |
4.000 | 07/20/11 | 330,000 | ||||||||||||
106 | Lake At Las Vegas Joint
Venture, LLC Exit Revolving
Credit Agreement (a)(f) |
9.300 | 12/31/12 | 104,746 | ||||||||||||
1,207 | NLV Holdings, LLC First Lien
Term Loan (a)(c)(e)(k) |
5.750 | 03/31/11 | 267,627 | ||||||||||||
2,490 | NLV Holdings, LLC Second Lien
Term Loan (a)(c)(k) |
5.250 | 05/09/12 | 18,796 | ||||||||||||
1,393 | Nortek, Inc. Term Loan |
5.250 | 04/26/17 | 1,397,786 | ||||||||||||
688 | Realogy Corp. Extended Letter
of Credit |
4.644 | 10/10/16 | 642,195 | ||||||||||||
13,407 | Realogy Corp. Extended Term
Loan |
4.518 | 10/10/16 | 12,509,892 | ||||||||||||
1,007 | Realogy Corp. Letter of Credit |
3.244 | 10/10/13 | 961,736 | ||||||||||||
1,467 | Realogy Corp. Term Loan |
3.268 | 10/10/13 | 1,401,480 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Building & Development (continued) |
||||||||||||||||
$ | 659 | Re/Max International, Inc. Term
Loan |
5.500 | % | 04/15/16 | $ | 662,330 | |||||||||
1,908 | South Edge, LLC Term Loan
A (c)(e) |
5.250 | 10/31/08 | 1,646,335 | ||||||||||||
2,000 | South Edge, LLC Term Loan
C (c)(e) |
5.500 | 10/31/09 | 1,725,710 | ||||||||||||
2,400 | Tamarack Resorts, LLC Credit
Lined Note A (c)(e) |
8.051 | 05/19/11 | 72,000 | ||||||||||||
497 | Tamarack Resorts, LLC Term
Loan (c)(e) |
20.250 | 07/02/09 | 447,833 | ||||||||||||
3,546 | Tamarack Resorts, LLC Term
Loan B (c)(e) |
7.500 | 05/19/11 | 106,380 | ||||||||||||
1,085 | WCI Communities, Inc. PIK
Term Loan (a) |
10.000 | 09/02/16 | 1,058,099 | ||||||||||||
45,310,183 | ||||||||||||||||
Business Equipment & Services 10.8% |
||||||||||||||||
8,707 | Affinion Group, Inc. Term Loan B |
5.000 | 10/10/16 | 8,724,660 | ||||||||||||
9,257 | Asurion Corp. First Lien Term
Loan |
5.500 | 05/24/18 | 9,192,331 | ||||||||||||
5,048 | Asurion Corp. Second Lien Term
Loan |
9.000 | 05/24/19 | 5,109,400 | ||||||||||||
200 | Bright Horizons Family
Solutions, Inc. Revolving
Credit Agreement (f) |
5.500 | 05/28/14 | 199,230 | ||||||||||||
2,387 | Bright Horizons Family
Solutions, Inc. Term Loan B |
7.500 | 05/28/15 | 2,398,166 | ||||||||||||
2,621 | Brock Holdings III, Inc. Term
Loan B |
6.000 | 03/16/17 | 2,642,171 | ||||||||||||
581 | CCC Information Services, Inc.
Term Loan B |
5.500 | 11/11/15 | 584,734 | ||||||||||||
1,396 | Crawford & Co. Term Loan |
5.000 | 10/30/13 | 1,398,685 | ||||||||||||
2,155 | Dealer Computer Services, Inc.
Term Loan B |
3.750 | 04/20/18 | 2,162,093 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Business Equipment & Services (continued) |
||||||||||||||||
$ | 1,686 | First Data Corp. Delayed Draw
Term Loan |
2.945 | % | 09/24/14 | $ | 1,578,576 | |||||||||
10,957 | First Data Corp. Term Loan B1 |
2.945 | 09/24/14 | 10,278,084 | ||||||||||||
11,073 | First Data Corp. Term Loan B2 |
2.945 | 09/24/14 | 10,390,580 | ||||||||||||
5,579 | First Data Corp. Term Loan B3 |
2.945 | 09/24/14 | 5,229,755 | ||||||||||||
3,781 | Interactive Data Corp. Term
Loan B |
4.750 | 02/12/18 | 3,794,696 | ||||||||||||
3,243 | iPayment, Inc. Term Loan |
5.750 | 05/08/17 | 3,266,099 | ||||||||||||
2,025 | Kronos, Inc. Initial Term Loan |
2.057 | 06/11/14 | 2,000,629 | ||||||||||||
1,540 | Kronos, Inc. Second Lien Term
Loan |
6.057 | 06/11/15 | 1,508,966 | ||||||||||||
3,897 | Mitchell International, Inc.
Second Lien Term Loan |
5.563 | 03/30/15 | 3,607,686 | ||||||||||||
8,038 | NCO Financial Systems Term
Loan B |
8.000 | 05/15/13 | 8,013,516 | ||||||||||||
4,575 | Nielsen Finance, LLC Class C
Term Loan |
3.456 | 05/02/16 | 4,573,776 | ||||||||||||
1,886 | SMG Holdings, Inc. Term Loan
B |
3.330 | 07/27/14 | 1,837,933 | ||||||||||||
488 | SunGard Data Systems, Inc.
Add on Term Loan |
3.710 | 02/28/14 | 490,610 | ||||||||||||
7,112 | SunGard Data Systems, Inc.
Term Loan B |
3.873 | 02/26/16 | 7,142,685 | ||||||||||||
1,281 | Verint Systems, Inc. Term Loan
B |
4.500 | 10/27/17 | 1,287,430 | ||||||||||||
354 | Vertafore, Inc. Term Loan |
5.250 | 07/29/16 | 356,361 | ||||||||||||
97,768,852 | ||||||||||||||||
Cable & Satellite Television 4.7% |
||||||||||||||||
1,339 | Bresnan Broadband Holdings,
LLC Term Loan B |
4.500 | 12/14/17 | 1,347,833 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Cable & Satellite Television (continued) |
||||||||||||||||
$ | 14,302 | Charter Communications
Operating, LLC Extended
Term Loan |
3.560 | % | 09/06/16 | $ | 14,340,103 | |||||||||
4,000 | Charter Communications
Operating, LLC Third Lien
Term Loan |
2.691 | 09/06/14 | 3,964,000 | ||||||||||||
2,960 | CSC Holdings, Inc. Incremental
B-2 Term Loan |
2.059 | 03/29/16 | 2,967,247 | ||||||||||||
2,330 | Knology, Inc. Term Loan B |
4.000 | 08/18/17 | 2,336,996 | ||||||||||||
3,820 | MCC Iowa, LLC Term Loan D-2 |
1.920 | 01/31/15 | 3,710,489 | ||||||||||||
1,485 | MCC Iowa, LLC Term Loan F |
4.500 | 10/23/17 | 1,489,378 | ||||||||||||
2,298 | Mediacom Illinois, LLC Term
Loan C |
1.920 | 01/31/15 | 2,202,495 | ||||||||||||
2,097 | Mediacom Illinois, LLC Term
Loan D |
5.500 | 03/31/17 | 2,112,741 | ||||||||||||
1,571 | Mediacom Illinois, LLC Term
Loan E |
4.500 | 10/23/17 | 1,573,325 | ||||||||||||
3,236 | Midcontinent Communications
Term Loan B |
4.000 | 12/31/16 | 3,254,335 | ||||||||||||
1,346 | NDS Finance Limited Term Loan
B |
4.000 | 03/12/18 | 1,349,414 | ||||||||||||
1,856 | UPC Broadband Holding, B.V.
Term Loan T (Netherlands) |
3.711 | 12/30/16 | 1,860,685 | ||||||||||||
42,509,041 | ||||||||||||||||
Chemicals & Plastics 4.5% |
||||||||||||||||
1,998 | Armored AutoGroup Inc. Term
Loan |
6.000 | 11/04/16 | 2,006,275 | ||||||||||||
2,400 | Brenntag Holdings GmbH & Co.
Second Lien Term Loan
(Germany) |
6.433 | 07/17/15 | 2,414,004 | ||||||||||||
2,853 | Cristal Inorganic Chemicals US,
Inc. First Lien Term Loan |
2.557 | 05/15/14 | 2,852,172 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Chemicals & Plastics (continued) |
||||||||||||||||
$ | 338 | Hexion Specialty Chemicals Inc.
Extended Term Loan C1 |
4.000 | % | 05/05/15 | $ | 335,011 | |||||||||
233 | Hexion Specialty Chemicals Inc.
Extended Term Loan C2 |
4.063 | 05/05/15 | 230,825 | ||||||||||||
299 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C4 |
4.060 | 05/05/15 | 299,265 | ||||||||||||
2,469 | Hexion Specialty Chemicals, Inc.
Extended Term Loan C5 |
4.063 | 05/05/15 | 2,469,273 | ||||||||||||
2,147 | Houghton International, Inc.
Term Loan B |
6.750 | 01/29/16 | 2,164,266 | ||||||||||||
1,448 | Huntsman International, LLC
Extended Term Loan B |
2.773 | 04/19/17 | 1,432,471 | ||||||||||||
2,614 | Huntsman International, LLC
Term Loan C |
2.463 | 06/30/16 | 2,581,074 | ||||||||||||
6,548 | MetoKote Corp. Term Loan
Refinance |
9.000 | 11/27/11 | 6,531,888 | ||||||||||||
3,729 | Nalco Co. Term Loan B1 |
4.500 | 10/05/17 | 3,765,186 | ||||||||||||
1,879 | Nusil Technology, LLC New
Term Loan B |
5.250 | 04/07/17 | 1,887,816 | ||||||||||||
425 | OMNOVA Solutions, Inc. Term
Loan B |
5.750 | 05/31/17 | 430,138 | ||||||||||||
770 | Potters Holdings II, LP First Lien
Term Loan |
6.000 | 05/05/17 | 775,266 | ||||||||||||
3,120 | PQ Corp. Term Loan B |
3.510 | 07/30/14 | 3,054,982 | ||||||||||||
928 | Rockwood Specialties Group,
Inc. Term Loan B |
3.750 | 02/09/18 | 935,992 | ||||||||||||
6,845 | Univar, Inc. Term Loan B |
5.000 | 06/30/17 | 6,856,264 | ||||||||||||
41,022,168 | ||||||||||||||||
Clothing/Textiles 0.9% |
||||||||||||||||
4,850 | Levi Strauss & Co. Term Loan |
2.442 | 03/27/14 | 4,769,175 | ||||||||||||
1,444 | Phillips-Van Heusen Corp. Term
Loan B |
3.500 | 05/06/16 | 1,463,010 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Clothing/Textiles (continued) |
||||||||||||||||
$ | 2,429 | Varsity Brands, Inc. Term Loan
B |
2.770 | % | 02/22/14 | $ | 2,271,324 | |||||||||
8,503,509 | ||||||||||||||||
Conglomerates 1.0% |
||||||||||||||||
4,662 | Goodman Global Holdings, Inc.
First Lien Term Loan |
5.750 | 10/28/16 | 4,702,873 | ||||||||||||
568 | Goodman Global Holdings, Inc.
Second Lien Term Loan |
9.000 | 10/30/17 | 587,062 | ||||||||||||
167 | RGIS Holdings, LLC Delayed
Draw Term Loan |
2.805 | 04/30/14 | 164,734 | ||||||||||||
3,349 | RGIS Holdings, LLC Term Loan
B |
2.807 | 04/30/14 | 3,294,681 | ||||||||||||
8,749,350 | ||||||||||||||||
Containers & Glass Products 4.9% |
||||||||||||||||
3,372 | Anchor Glass Container Corp.
First Lien Term Loan |
6.000 | 03/02/16 | 3,402,764 | ||||||||||||
1,425 | Anchor Glass Container Corp.
Second Lien Term Loan |
10.000 | 09/02/16 | 1,460,924 | ||||||||||||
3,389 | Berlin Packaging, LLC Term
Loan |
3.260 | 08/17/14 | 3,323,036 | ||||||||||||
3,778 | Berry Plastics Group, Inc. Term
Loan C |
2.260 | 04/03/15 | 3,639,500 | ||||||||||||
2,101 | BWAY Corp. Term Loan B |
4.500 | 02/23/18 | 2,109,200 | ||||||||||||
187 | BWAY Corp. Term Loan C |
4.500 | 02/23/18 | 187,262 | ||||||||||||
6,732 | Graham Packaging Co., L.P.
Term Loan C |
6.750 | 04/05/14 | 6,765,874 | ||||||||||||
2,907 | Graham Packaging Co., L.P.
Term Loan D |
6.000 | 09/23/16 | 2,922,363 | ||||||||||||
213 | Kranson Industries, Inc.
Revolving Credit Agreement (f) |
4.500 | 07/31/13 | 206,169 | ||||||||||||
5,923 | Kranson Industries, Inc. Term
Loan B |
2.460 | 07/31/13 | 5,767,524 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Containers & Glass Products (continued) |
||||||||||||||||
$ | 2,022 | Pertus Sechszehnte GmbH
Term Loan B2 (Germany) |
2.568 | % | 06/12/15 | $ | 1,922,627 | |||||||||
2,022 | Pertus Sechszehnte GmbH
Term Loan C2 (Germany) |
2.818 | 06/13/16 | 1,932,740 | ||||||||||||
770 | Ranpak Corp. Term Loan |
4.750 | 04/20/17 | 775,285 | ||||||||||||
9,380 | Reynolds Group Holdings Inc.
Term Loan E |
4.250 | 02/09/18 | 9,397,213 | ||||||||||||
825 | Tegrant Corp. Second Lien Term
Loan |
5.810 | 03/08/15 | 746,625 | ||||||||||||
44,559,106 | ||||||||||||||||
Cosmetics/Toiletries 1.9% |
||||||||||||||||
682 | Bausch And Lomb, Inc. Delayed
Draw Term Loan |
3.441 | 04/24/15 | 681,884 | ||||||||||||
2,806 | Bausch And Lomb, Inc. Term
Loan |
3.531 | 04/24/15 | 2,804,846 | ||||||||||||
4,171 | Huish Detergents, Inc. Term
Loan B |
2.200 | 04/26/14 | 4,029,764 | ||||||||||||
393 | KIK Custom Products, Inc.
Canadian Term Loan |
2.530 | 06/02/14 | 347,743 | ||||||||||||
2,290 | KIK Custom Products, Inc. First
Lien Term Loan |
2.530 | 06/02/14 | 2,028,501 | ||||||||||||
4,000 | KIK Custom Products, Inc.
Second Lien Term Loan |
5.273 | 11/30/14 | 2,997,140 | ||||||||||||
1,662 | Marietta Intermediate Holding
Corp. Term Loan B (a) |
8.000 | 02/19/15 | 1,512,171 | ||||||||||||
1,806 | Prestige Brands, Inc. Term Loan
B |
4.750 | 03/24/16 | 1,818,547 | ||||||||||||
1,298 | Revlon Consumer Products
Corp. New Term Loan B |
4.750 | 11/17/17 | 1,302,789 | ||||||||||||
17,523,385 | ||||||||||||||||
Drugs 2.0% |
||||||||||||||||
6,292 | Grifols, Inc. Term Loan B |
6.000 | 11/23/16 | 6,357,383 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Drugs (continued) |
||||||||||||||||
$ | 2,374 | Nyco Holdings 2 Aps Term Loan
B2 (Denmark) |
3.941 | % | 12/29/14 | $ | 2,367,376 | |||||||||
2,373 | Nyco Holdings 2 Aps Term Loan
C2 (Denmark) |
4.691 | 12/29/15 | 2,378,735 | ||||||||||||
89 | Nyco Holdings 3 Aps Facility A1
(Denmark) |
3.191 | 12/29/13 | 88,954 | ||||||||||||
460 | Nyco Holdings 3 Aps Facility A2
(Denmark) |
3.191 | 12/29/13 | 459,071 | ||||||||||||
14 | Nyco Holdings 3 Aps Facility A3
(Denmark) |
3.191 | 12/29/13 | 14,324 | ||||||||||||
9 | Nyco Holdings 3 Aps Facility A4
(Denmark) |
3.191 | 12/29/13 | 9,125 | ||||||||||||
65 | Nyco Holdings 3 Aps Facility A5
(Denmark) |
3.191 | 12/29/13 | 64,518 | ||||||||||||
2,923 | Warner Chilcott Co., LLC New
Term Loan B1 |
4.250 | 03/15/18 | 2,933,767 | ||||||||||||
1,462 | Warner Chilcott Co., LLC New
Term Loan B2 |
4.250 | 03/15/18 | 1,466,883 | ||||||||||||
2,010 | Warner Chilcott Co., LLC New
Term Loan B3 |
4.250 | 03/15/18 | 2,016,965 | ||||||||||||
18,157,101 | ||||||||||||||||
Ecological Services & Equipment 1.6% |
||||||||||||||||
1,573 | Environmental Systems
Products Holdings, Inc.
Second Lien Term Loan |
13.500 | 09/12/14 | 1,573,373 | ||||||||||||
1,284 | Sensus USA, Inc. First Lien
Term Loan |
4.750 | 05/09/17 | 1,292,142 | ||||||||||||
688 | Sensus USA, Inc. Second Lien
Term Loan |
8.500 | 05/09/18 | 701,084 | ||||||||||||
559 | ServiceMaster Co. Delayed
Draw Term Loan |
2.700 | 07/24/14 | 546,230 | ||||||||||||
2,698 | ServiceMaster Co. Letter of
Credit |
2.782 | 07/24/14 | 2,638,622 | ||||||||||||
5,609 | ServiceMaster Co. Term Loan |
2.740 | 07/24/14 | 5,485,057 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Ecological Services & Equipment (continued) |
||||||||||||||||
$ | 1,100 | Synagro Technologies, Inc.
Second Lien Term Loan |
4.950 | % | 10/02/14 | $ | 1,013,375 | |||||||||
911 | Synagro Technologies, Inc.
Term Loan B |
2.200 | 04/02/14 | 865,056 | ||||||||||||
14,114,939 | ||||||||||||||||
Electronics/Electrical 4.6% |
||||||||||||||||
3,575 | Aeroflex, Inc. Term Loan B-1 |
4.250 | 05/09/18 | 3,583,735 | ||||||||||||
1,146 | Bentley Systems, Inc. Term
Loan B |
5.750 | 12/29/16 | 1,152,070 | ||||||||||||
6,754 | CDW, Corp. Extended Term
Loan B |
4.500 | 07/14/17 | 6,743,456 | ||||||||||||
2,339 | CommScope, Inc. Term Loan B |
5.000 | 01/14/18 | 2,356,137 | ||||||||||||
1,198 | Datatel, Inc. Extended First Lien
Term Loan |
5.000 | 02/20/17 | 1,203,005 | ||||||||||||
7,199 | Freescale Semiconductor, Inc.
Extended Term Loan B |
4.461 | 12/01/16 | 7,181,963 | ||||||||||||
2,143 | Infor Enterprise Solutions
Holdings, Inc. Extended
Delayed Draw Term Loan |
5.950 | 07/28/15 | 2,098,690 | ||||||||||||
4,108 | Infor Enterprise Solutions
Holdings, Inc. Extended Initial
Term Loan |
5.950 | 07/28/15 | 4,022,489 | ||||||||||||
701 | Matinvest 2 SAS Term Loan B2
(France) |
3.464 | 06/23/14 | 694,711 | ||||||||||||
701 | Matinvest 2 SAS Term Loan C2
(France) |
4.214 | 06/22/15 | 697,990 | ||||||||||||
1,168 | Microsemi Corp. Term Loan B |
4.000 | 11/02/17 | 1,174,210 | ||||||||||||
6,176 | Open Solutions, Inc. Term Loan
B |
2.395 | 01/23/14 | 5,438,491 | ||||||||||||
232 | Proquest CSA, LLC Term Loan |
3.800 | 02/09/14 | 232,408 | ||||||||||||
1,134 | Sensata Technologies Finance
Co., LLC New Term Loan |
4.000 | 05/11/18 | 1,137,728 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Electronics/Electrical (continued) |
||||||||||||||||
$ | 3,909 | Spectrum Brands, Inc. Term
Loan B |
5.000 | % | 06/17/16 | $ | 3,948,711 | |||||||||
41,665,794 | ||||||||||||||||
Farming/Agriculture 0.6% |
||||||||||||||||
3,481 | WM. Bolthouse Farms, Inc. New
First Lien Term Loan |
5.500 | 02/11/16 | 3,508,036 | ||||||||||||
1,773 | WM. Bolthouse Farms, Inc. New
Second Lien Term Loan |
9.500 | 08/11/16 | 1,800,054 | ||||||||||||
5,308,090 | ||||||||||||||||
Financial Intermediaries 4.9% |
||||||||||||||||
5,400 | Fidelity National Information
Solutions, Inc. Term Loan B |
5.250 | 07/18/16 | 5,433,914 | ||||||||||||
3,242 | Fifth Third Processing Solutions,
LLC Term Loan B1 |
4.500 | 11/03/16 | 3,250,616 | ||||||||||||
4,317 | Grosvenor Capital Management
Holdings, LLP Extended Term
Loan C |
4.250 | 12/05/16 | 4,317,289 | ||||||||||||
4,998 | LPL Holdings, Inc. Extended
Term Loan |
4.250 | 06/25/15 | 5,038,726 | ||||||||||||
622 | LPL Holdings, Inc. Term Loan D |
2.020 | 06/28/13 | 625,618 | ||||||||||||
1,526 | MoneyGram International, Inc.
Term Loan B |
4.500 | 11/17/17 | 1,534,569 | ||||||||||||
7,758 | Nuveen Investments, Inc.
Extended Term Loan |
5.790 | 05/12/17 | 7,806,249 | ||||||||||||
6,212 | Nuveen Investments, Inc. Term
Loan |
3.292 | 11/13/14 | 6,136,773 | ||||||||||||
74 | RJO Holdings Corp. FCM Term
Loan |
6.210 | 12/10/15 | 67,021 | ||||||||||||
3,472 | RJO Holdings Corp. HoldCo
Term Loan B |
6.210 | 12/10/15 | 2,738,437 | ||||||||||||
1,830 | Trans Union, LLC Term Loan B |
4.750 | 02/12/18 | 1,841,124 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Financial Intermediaries (continued) |
||||||||||||||||
$ | 2,654 | Transfirst Holdings, Inc. Second
Lien Term Loan (a) |
6.310 | % | 06/15/15 | $ | 2,514,973 | |||||||||
2,872 | Transfirst Holdings, Inc. Term
Loan B |
3.060 | 06/15/14 | 2,808,817 | ||||||||||||
44,114,126 | ||||||||||||||||
Food Products 4.5% |
||||||||||||||||
1,335 | Acosta, Inc. Term Loan B |
4.750 | 03/01/18 | 1,339,517 | ||||||||||||
893 | Advantage Sales & Marketing,
Inc. Second Lien Term Loan |
9.250 | 06/18/18 | 912,111 | ||||||||||||
2,661 | Advantage Sales & Marketing,
Inc. Term Loan B |
5.250 | 12/18/17 | 2,675,319 | ||||||||||||
1,923 | Dean Foods Co. Extended Term
Loan B1 |
3.560 | 04/02/16 | 1,902,732 | ||||||||||||
1,629 | Dean Foods Co. Extended Term
Loan B2 |
3.720 | 04/02/17 | 1,609,538 | ||||||||||||
8,133 | Del Monte Foods Co. New Term
Loan |
4.500 | 03/08/18 | 8,142,824 | ||||||||||||
1,856 | Dole Food Co. Inc. Term Loan B |
5.050 | 03/02/17 | 1,868,832 | ||||||||||||
4,610 | Dole Food Co. Inc. Term Loan C |
5.090 | 03/02/17 | 4,641,710 | ||||||||||||
2,637 | Farleys & Sathers Candy Co.,
Inc. Term Loan |
6.500 | 03/30/18 | 2,656,620 | ||||||||||||
7,015 | Pierre Foods, Inc. First Lien
Term Loan |
7.000 | 09/30/16 | 7,111,789 | ||||||||||||
587 | Pierre Foods, Inc. Second Lien
Term Loan |
11.250 | 09/29/17 | 604,081 | ||||||||||||
5,694 | Pinnacle Foods Holdings Corp.
Term Loan B |
2.711 | 04/02/14 | 5,661,426 | ||||||||||||
1,258 | Pinnacle Foods Holdings Corp.
Term Loan D |
6.000 | 04/02/14 | 1,274,344 | ||||||||||||
40,400,843 | ||||||||||||||||
Food Service 2.0% |
||||||||||||||||
6,078 | Burger King Corp. Term Loan B |
4.500 | 10/19/16 | 6,073,205 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Food Service (continued) |
||||||||||||||||
$ | 1,971 | Center Cut Hospitality, Inc. Term
Loan |
9.250 | % | 07/06/14 | $ | 1,959,884 | |||||||||
212 | Darling International Inc. Term
Loan |
5.000 | 12/16/16 | 214,376 | ||||||||||||
3,439 | Dunkin Brands, Inc. Term Loan
B |
4.250 | 11/23/17 | 3,449,277 | ||||||||||||
3,451 | NPC International, Inc. Term
Loan B |
1.960 | 05/03/13 | 3,433,928 | ||||||||||||
213 | OSI Restaurant Principaltners, LLC
Revolving Credit Agreement |
3.540 | 06/14/13 | 207,640 | ||||||||||||
2,199 | OSI Restaurant Principaltners, LLC
Term Loan B |
2.500 | 06/14/14 | 2,142,274 | ||||||||||||
16 | Sbarro, Inc. Delayed Draw Term
Loan (f) |
4.750 | 10/05/11 | 16,510 | ||||||||||||
36 | Sbarro, Inc. DIP Term Loan |
8.750 | 10/05/11 | 36,321 | ||||||||||||
8 | Sbarro, Inc. Second Lien Term
Loan |
8.750 | 10/05/11 | 7,704 | ||||||||||||
733 | Wendys/Arbys Restaurants,
LLC Term Loan B |
5.000 | 05/24/17 | 736,851 | ||||||||||||
18,277,970 | ||||||||||||||||
Food/Drug Retailers 3.9% |
||||||||||||||||
5,259 | General Nutrition Centers, Inc.
Term Loan B |
4.250 | 03/02/18 | 5,273,250 | ||||||||||||
3,822 | NBTY, Inc. Term Loan B |
4.250 | 10/02/17 | 3,826,163 | ||||||||||||
130 | Pantry, Inc. (The) Delayed Draw
Term Loan B |
1.950 | 05/15/14 | 128,598 | ||||||||||||
450 | Pantry, Inc. (The) Term Loan B |
1.950 | 05/15/14 | 446,612 | ||||||||||||
5,780 | Rite Aid Corp. Term Loan 5 |
4.500 | 02/28/18 | 5,726,499 | ||||||||||||
5,989 | Rite Aid Corp. Term Loan B |
1.950 | 06/04/14 | 5,762,638 | ||||||||||||
7,085 | Roundys Supermarkets, Inc.
Extended Term Loan |
7.000 | 11/03/13 | 7,109,776 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Food/Drug Retailers (continued) |
||||||||||||||||
$ | 7,068 | Supervalu, Inc. Term Loan B3 |
4.500 | % | 04/28/18 | $ | 7,004,632 | |||||||||
35,278,168 | ||||||||||||||||
Forest Products 1.1% |
||||||||||||||||
2,400 | Ainsworth Lumber Co, Ltd. Term
Loan |
5.250 | 06/26/14 | 2,400,996 | ||||||||||||
4,323 | Cenveo Corp. Term Loan B |
6.250 | 12/21/16 | 4,362,147 | ||||||||||||
450 | Verso Paper Holding, LLC Term
Loan (a) |
6.650 | 02/01/13 | 431,903 | ||||||||||||
212 | White Birch Paper Co. DIP
Delayed Draw Term Loan
(Canada) (f) |
6.720 | 09/30/11 | 210,773 | ||||||||||||
1,296 | White Birch Paper Co. DIP Term
Loan B (Canada) |
12.000 | 09/30/11 | 1,288,875 | ||||||||||||
903 | Xerium Technologies, Inc. New
Term Loan B |
5.500 | 05/22/17 | 909,998 | ||||||||||||
9,604,692 | ||||||||||||||||
Health Care 12.3% |
||||||||||||||||
4,756 | Alere, Inc. First Lien Term Loan |
2.200 | 06/26/14 | 4,708,462 | ||||||||||||
6,114 | Biomet Inc. Term Loan B |
3.280 | 03/25/15 | 6,095,187 | ||||||||||||
7,643 | Carestream Health, Inc. Term
Loan B |
5.000 | 02/25/17 | 7,286,927 | ||||||||||||
501 | Community Health Systems, Inc.
Delayed Draw Term Loan |
2.500 | 07/25/14 | 485,119 | ||||||||||||
7,380 | Community Health Systems, Inc.
Extended Term Loan B |
3.750 | 01/25/17 | 7,217,674 | ||||||||||||
10,055 | Community Health Systems, Inc.
Term Loan |
2.500 | 07/25/14 | 9,735,984 | ||||||||||||
764 | DaVita, Inc. New Term Loan B |
4.500 | 10/20/16 | 771,051 | ||||||||||||
898 | DJO Finance, LLC New Term
Loan B |
3.191 | 05/20/14 | 894,973 | ||||||||||||
4,494 | Drumm Investors, LLC Term
Loan |
5.000 | 05/04/18 | 4,432,048 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Health Care (continued) |
||||||||||||||||
$ | 5,109 | DSI Renal, Inc. Term Loan (a) |
8.500 | % | 03/31/13 | $ | 5,188,934 | |||||||||
424 | Genoa Healthcare Group, LLC
Term Loan B |
5.500 | 08/10/12 | 413,885 | ||||||||||||
3,535 | Gentiva Health Services, Inc.
New Term Loan B |
4.750 | 08/17/16 | 3,549,215 | ||||||||||||
613 | Harlan Labratories, Inc. Term
Loan B |
3.730 | 07/11/14 | 570,487 | ||||||||||||
4,972 | HCA, Inc. Extended Term Loan
B2 |
3.557 | 03/31/17 | 6,855,925 | ||||||||||||
8,809 | HCA, Inc. Extended Term Loan
B3 |
3.557 | 05/01/18 | 6,841,624 | ||||||||||||
3,696 | HCR Healthcare, LLC New Term
Loan |
5.000 | 04/06/18 | 3,657,802 | ||||||||||||
6,250 | Health Management Associates,
Inc. Term Loan B |
2.057 | 02/28/14 | 6,117,406 | ||||||||||||
7,244 | IMS Health, Inc. New Term Loan
B |
4.500 | 08/25/17 | 7,280,182 | ||||||||||||
4,076 | Rehabcare Group, Inc. Term
Loan B |
6.250 | 11/24/15 | 4,085,396 | ||||||||||||
1,168 | Rural/Metro Operating Co., LLC
Term Loan B |
6.000 | 11/24/16 | 1,181,512 | ||||||||||||
1,395 | Select Medical Corp. Term Loan
B |
2.170 | 02/24/12 | 1,391,937 | ||||||||||||
2,445 | Skilled Healthcare Group, Inc.
Term Loan B |
5.250 | 04/08/16 | 2,446,330 | ||||||||||||
2,291 | Sun Healthcare Group Inc. Term
Loan B |
7.500 | 10/15/16 | 2,282,895 | ||||||||||||
1,926 | Surgery Center Holdings, Inc.
Term Loan B |
6.500 | 02/06/17 | 1,948,249 | ||||||||||||
10,081 | Surgical Care Affiliates, Inc.
Term Loan |
2.307 | 12/29/14 | 9,860,073 | ||||||||||||
1,851 | TriZetto Group, Inc. Term Loan
B |
4.750 | 05/02/18 | 1,853,446 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Health Care (continued) |
||||||||||||||||
$ | 174 | United Surgical Partners,
International, Inc. Delayed
Draw Term Loan |
2.220 | % | 04/21/14 | $ | 171,336 | |||||||||
3,248 | United Surgical Partners,
International, Inc. Term Loan
B |
2.250 | 04/19/14 | 3,199,007 | ||||||||||||
928 | Universal Health Services, Inc.
New Term Loan B |
4.000 | 11/15/16 | 932,874 | ||||||||||||
111,455,940 | ||||||||||||||||
Home Furnishings 1.0% |
||||||||||||||||
915 | Brown Jordan International, Inc.
Term Loan |
6.200 | 04/30/12 | 896,560 | ||||||||||||
182 | Hunter Fan Co. Revolving Credit
Agreement (f) |
2.250 | 04/16/13 | 164,062 | ||||||||||||
1,000 | Hunter Fan Co. Second Lien
Term Loan |
6.960 | 10/16/14 | 871,665 | ||||||||||||
953 | Hunter Fan Co. Term Loan |
2.700 | 04/16/14 | 917,592 | ||||||||||||
2,544 | Mattress Holdings Corp. Term
Loan B |
2.560 | 01/18/14 | 2,436,118 | ||||||||||||
3,423 | National Bedding Co., LLC
Second Lien Term Loan |
5.313 | 02/28/14 | 3,367,760 | ||||||||||||
8,653,757 | ||||||||||||||||
Industrial Equipment 1.6% |
||||||||||||||||
2,722 | Bucyrus International, Inc. Term
Loan |
4.250 | 02/19/16 | 2,727,391 | ||||||||||||
1,095 | JMC Steel Group, Inc. Term
Loan |
4.750 | 04/03/17 | 1,107,691 | ||||||||||||
1,288 | Manitowoc Co., Inc. Term Loan
B |
4.250 | 11/13/17 | 1,295,768 | ||||||||||||
2,704 | Mold-Masters Luxembourg
Holdings, S.A. Term Loan |
3.813 | 10/10/14 | 2,651,247 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Industrial Equipment (continued) |
||||||||||||||||
$ | 511 | MW Industries, Inc. Acquisition
Term Loan |
7.250 | % | 11/01/13 | $ | 419,222 | |||||||||
3,987 | MW Industries, Inc. Term Loan |
7.250 | 11/01/13 | 3,272,564 | ||||||||||||
3,020 | Polypore, Inc. Incremental Term
Loan |
2.200 | 07/03/14 | 2,994,014 | ||||||||||||
14,467,897 | ||||||||||||||||
Insurance 2.4% |
||||||||||||||||
2,688 | Alliant Holdings I, Inc. Term
Loan B |
3.307 | 08/21/14 | 2,662,277 | ||||||||||||
1,024 | Alliant Holdings I, Inc. Term
Loan D |
6.750 | 08/21/14 | 1,030,550 | ||||||||||||
6,780 | AmWins Group, Inc. First Lien
Term Loan |
2.780 | 06/08/13 | 6,711,227 | ||||||||||||
825 | HMSC Corp. Second Lien Term
Loan |
5.692 | 10/03/14 | 619,781 | ||||||||||||
2,675 | Sedgwick CMS Holdings, Inc.
New Term Loan |
5.000 | 12/30/16 | 2,680,206 | ||||||||||||
2,800 | Sedgwick CMS Holdings, Inc.
Second Lien Term Loan |
9.000 | 05/26/17 | 2,821,000 | ||||||||||||
4,940 | USI Holdings Corp. Term Loan |
2.700 | 05/05/14 | 4,856,333 | ||||||||||||
21,381,374 | ||||||||||||||||
Leisure Goods/Activities/Movies 3.7% |
||||||||||||||||
2,444 | 24 Hour Fitness Worldwide, Inc.
Term Loan |
6.750 | 04/22/16 | 2,441,655 | ||||||||||||
1,350 | Alpha Topco, Ltd. Second Lien
Term Loan (United Kingdom) |
3.960 | 06/30/14 | 1,320,678 | ||||||||||||
4,117 | Alpha Topco, Ltd. Term Loan B1
(United Kingdom) |
2.707 | 12/31/13 | 4,031,291 | ||||||||||||
2,781 | Alpha Topco, Ltd. Term Loan B2
(United Kingdom) |
2.707 | 12/31/13 | 2,723,022 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Leisure Goods/Activities/Movies (continued) |
||||||||||||||||
$ | 908 | Bombardier Recreational
Products, Inc. Term Loan
(Canada) |
2.790 | % | 06/28/13 | $ | 898,001 | |||||||||
2,160 | Cedar Fair, L.P. Term Loan B |
4.000 | 12/15/17 | 2,173,378 | ||||||||||||
2,055 | Fender Musical Instruments
Corp. Delayed Draw Term
Loan |
2.450 | 06/09/14 | 1,996,138 | ||||||||||||
4,067 | Fender Musical Instruments
Corp. Term Loan B |
2.450 | 06/09/14 | 3,951,167 | ||||||||||||
313 | Hicks Sporting Group, LLC Term
Loan (f) |
14.005 | 06/30/11 | 315,870 | ||||||||||||
2,907 | Live Nation Entertainment, Inc.
Term Loan B |
4.500 | 11/07/16 | 2,919,722 | ||||||||||||
1,842 | Playcore Holdings, Inc. Term
Loan B |
4.750 | 02/21/14 | 1,796,108 | ||||||||||||
1,420 | Regal Cinemas, Inc. Term Loan
B |
3.557 | 08/23/17 | 1,419,523 | ||||||||||||
7,249 | Sabre Holdings Corp. Term Loan
B |
2.210 | 09/30/14 | 6,532,433 | ||||||||||||
668 | SRAM, LLC Term Loan B |
5.030 | 04/30/15 | 669,421 | ||||||||||||
361 | Universal City Development
Partners, Ltd. New Term Loan
B |
5.500 | 11/06/14 | 364,320 | ||||||||||||
33,552,727 | ||||||||||||||||
Lodging & Casinos 9.0% |
||||||||||||||||
854 | Ameristar Casinos, Inc. Term
Loan B |
4.000 | 04/13/18 | 857,860 | ||||||||||||
4,244 | Boyd Gaming Corp. Extended
Revolving Credit Agreement |
1.816 | 12/17/15 | 3,887,553 | ||||||||||||
5,500 | Boyd Gaming Corp. Revolving
Credit Agreement |
1.625 | 05/24/12 | 5,362,500 | ||||||||||||
2,625 | Boyd Gaming Corp. Term Loan |
3.691 | 12/17/15 | 2,075,424 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Lodging & Casinos (continued) |
||||||||||||||||
$ | 2,266 | Cannery Casino Resorts, LLC
Delayed Draw Term Loan |
4.443 | % | 05/20/13 | $ | 2,243,631 | |||||||||
748 | Cannery Casino Resorts, LLC
Revolving Credit
Agreement (f) |
3.310 | 05/18/12 | 734,122 | ||||||||||||
500 | Cannery Casino Resorts, LLC
Second Lien Term Loan |
4.443 | 05/16/14 | 474,375 | ||||||||||||
2,740 | Cannery Casino Resorts, LLC
Term Loan B |
4.443 | 05/17/13 | 2,713,054 | ||||||||||||
5,254 | CCM Merger Corp. New Term
Loan B |
7.000 | 03/01/17 | 5,345,281 | ||||||||||||
319 | Chester Downs And Marina, LLC
Incremental Term Loan |
12.375 | 07/29/16 | 326,427 | ||||||||||||
1,983 | Golden Nugget, Inc. New
Delayed Draw Term Loan (a) |
3.200 | 06/30/14 | 1,750,474 | ||||||||||||
3,484 | Golden Nugget, Inc. Term Loan
B (a) |
3.200 | 06/30/14 | 3,075,138 | ||||||||||||
494 | Harrahs Operating Co., Inc.
Incremental Term Loan B4 |
9.500 | 10/31/16 | 525,098 | ||||||||||||
15,728 | Harrahs Operating Co., Inc.
Term Loan B1 |
3.274 | 01/28/15 | 14,625,186 | ||||||||||||
5,356 | Harrahs Operating Co., Inc.
Term Loan B2 |
3.250 | 01/28/15 | 4,980,902 | ||||||||||||
8,640 | Harrahs Operating Co., Inc.
Term Loan B3 |
3.270 | 01/28/15 | 8,034,388 | ||||||||||||
4,072 | Isle of Capri Casinos, Inc. New
Term Loan B |
4.750 | 03/24/17 | 4,093,466 | ||||||||||||
869 | Las Vegas Sands, LLC/Venetian
Casino Delayed Draw Term
Loan |
2.000 | 05/23/14 | 855,626 | ||||||||||||
155 | Las Vegas Sands, LLC/Venetian
Casino Extended Delayed
Draw Term Loan |
3.000 | 11/23/16 | 152,264 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Lodging & Casinos (continued) |
||||||||||||||||
$ | 1,090 | Las Vegas Sands, LLC/Venetian
Casino Extended Delayed
Draw Term Loan 2 |
3.000 | % | 11/23/15 | $ | 1,073,464 | |||||||||
2,856 | Las Vegas Sands, LLC/Venetian
Casino Extended Term Loan
B |
3.000 | 11/23/16 | 2,812,272 | ||||||||||||
2,025 | Las Vegas Sands, LLC/Venetian
Casion Term Loan B |
2.000 | 05/23/14 | 1,994,699 | ||||||||||||
1,056 | Magnolia Hill, LLC Delayed Draw
Term Loan |
3.450 | 10/30/13 | 944,800 | ||||||||||||
3,005 | Magnolia Hill, LLC Term Loan |
3.450 | 10/30/13 | 2,689,047 | ||||||||||||
3,750 | Twin River Worldwide Holdings,
Inc. Term Loan |
8.500 | 11/05/15 | 3,768,736 | ||||||||||||
172 | Venetian Macau, Ltd. Delayed
Draw Term Loan B |
4.700 | 05/25/12 | 172,705 | ||||||||||||
3,347 | Venetian Macau, Ltd. New
Project Term Loan |
4.700 | 05/27/13 | 3,351,133 | ||||||||||||
2,260 | Venetian Macau, Ltd. Term Loan
B |
4.700 | 05/27/13 | 2,262,749 | ||||||||||||
81,182,374 | ||||||||||||||||
Nonferrous Metals/Minerals 0.8% |
||||||||||||||||
4,842 | Novelis, Inc. New Term Loan B |
4.000 | 03/10/17 | 4,866,821 | ||||||||||||
2,254 | Walter Energy, Inc. Term Loan B |
4.000 | 04/02/18 | 2,262,875 | ||||||||||||
7,129,696 | ||||||||||||||||
Oil & Gas 2.7% |
||||||||||||||||
905 | Big West Oil, LLC New Term
Loan |
7.000 | 03/31/16 | 916,321 | ||||||||||||
4,301 | CCS, Inc. Term Loan B |
3.242 | 11/14/14 | 4,132,159 | ||||||||||||
1,275 | Citgo Petroleum Corp. Term
Loan B |
8.000 | 06/24/15 | 1,304,491 | ||||||||||||
3,949 | Dynegy Holdings, Inc. Synthetic
Letter of Credit |
4.030 | 04/02/13 | 3,917,697 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Oil & Gas (continued) |
||||||||||||||||
$ | 250 | Dynegy Holdings, Inc. Term
Loan B |
4.030 | % | 04/02/13 | $ | 247,781 | |||||||||
3,678 | Obsidian Natural Gas Trust
Term Loan (United Kingdom) |
7.000 | 11/02/15 | 3,751,886 | ||||||||||||
2,800 | RAM Energy Resources, Inc.
Second Lien Term Loan |
11.000 | 09/13/16 | 2,827,681 | ||||||||||||
4,469 | Western Refining, Inc. New
Term Loan B |
7.500 | 03/15/17 | 4,570,397 | ||||||||||||
2,638 | Willbros United States Holdings,
Inc. Term Loan B |
9.500 | 06/30/14 | 2,658,895 | ||||||||||||
24,327,308 | ||||||||||||||||
Publishing 6.5% |
||||||||||||||||
982 | Cengage Learning Acquisitions,
Inc. Incremental Term Loan |
7.500 | 07/03/14 | 986,704 | ||||||||||||
11,672 | Cengage Learning Acquisitions,
Inc. Term Loan |
2.440 | 07/03/14 | 10,907,634 | ||||||||||||
3,967 | Cygnus Business Media, Inc.
Term Loan (a)(i) |
9.750 | 06/30/13 | 2,479,348 | ||||||||||||
3,489 | Endurance Business Media, Inc.
First Lien Term Loan (i) |
6.500 | 12/15/14 | 1,308,558 | ||||||||||||
4,430 | F&W Media, Inc. Term Loan |
7.750 | 06/09/14 | 4,053,411 | ||||||||||||
591 | Gatehouse Media, Inc. Delayed
Draw Term Loan |
2.200 | 08/28/14 | 224,722 | ||||||||||||
920 | Gatehouse Media, Inc. Term
Loan B |
2.200 | 08/28/14 | 350,259 | ||||||||||||
7,793 | Getty Images, Inc. New Term
Loan |
5.250 | 11/07/16 | 7,856,388 | ||||||||||||
4,116 | Harland Clarke Holdings Corp.
Term Loan B |
2.770 | 06/30/14 | 3,819,558 | ||||||||||||
467 | Knowledgepoint360 Group, LLC
First Lien Term Loan |
3.520 | 04/14/14 | 441,652 | ||||||||||||
1,000 | Knowledgepoint360 Group, LLC
Second Lien Term Loan |
7.261 | 04/13/15 | 850,000 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Publishing (continued) |
||||||||||||||||
$ | 1,769 | MC Communications, LLC Term
Loan (a) |
6.750 | % | 12/31/12 | $ | 344,869 | |||||||||
2,185 | Medianews Group New Term
Loan |
8.500 | 03/19/14 | 2,191,992 | ||||||||||||
3,373 | Merrill Communications, LLC
Second Lien Term Loan (a) |
13.760 | 11/15/13 | 3,368,025 | ||||||||||||
5,084 | Network Communications, Inc.
Term Loan |
5.500 | 11/29/13 | 3,533,039 | ||||||||||||
19,779 | Tribune Co. Term Loan B (c)(d) |
5.250 | 06/04/14 | 13,511,609 | ||||||||||||
1,544 | Yell Group PLC New Term Loan
A3 (United Kingdom) |
3.691 | 04/30/14 | 661,037 | ||||||||||||
4,826 | Yell Group PLC New Term Loan
B1 (United Kingdom) |
3.941 | 07/31/14 | 2,013,766 | ||||||||||||
58,902,571 | ||||||||||||||||
Radio & Television 8.1% |
||||||||||||||||
824 | Barrington Broadcasting Group
LLC Term Loan |
4.499 | 08/12/13 | 800,325 | ||||||||||||
1,091 | Citadel Broadcasting Corp. New
Term Loan B |
4.250 | 12/30/16 | 1,092,845 | ||||||||||||
18,324 | Clear Channel Communications,
Inc. Term Loan B |
3.841 | 01/28/16 | 16,102,651 | ||||||||||||
6,799 | CMP KC, LLC Term Loan (c) |
6.250 | 06/03/11 | 1,019,814 | ||||||||||||
9,639 | CMP Susquehanna Corp. Term
Loan |
2.250 | 05/05/13 | 9,518,785 | ||||||||||||
2,547 | FoxCo Acquisition Sub, LLC
Term Loan B |
4.750 | 07/14/15 | 2,557,671 | ||||||||||||
2,247 | Harron Communications, L.P.
Term Loan B |
5.250 | 10/06/17 | 2,260,294 | ||||||||||||
944 | High Plains Broadcasting
Operating Co., LLC Term
Loan |
9.000 | 09/14/16 | 948,969 | ||||||||||||
5,806 | Intelsat Jackson Holdings S.A.
New Term Loan |
5.250 | 04/02/18 | 5,852,331 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Radio & Television (continued) |
||||||||||||||||
$ | 2,475 | Multicultural Radio Broadcasting,
Inc. Second Lien Term Loan |
5.943 | % | 06/18/13 | $ | 2,004,750 | |||||||||
1,750 | Multicultural Radio Broadcasting,
Inc. Term Loan |
2.940 | 12/18/12 | 1,605,261 | ||||||||||||
3,446 | Newport Television, LLC Term
Loan B |
9.000 | 09/14/16 | 3,462,937 | ||||||||||||
20,691 | Univision Communications, Inc.
Extended Term Loan |
4.441 | 03/31/17 | 20,028,775 | ||||||||||||
6,034 | Weather Channel (The), LLC New Term
Loan B |
4.250 | 02/13/17 | 6,077,467 | ||||||||||||
73,332,875 | ||||||||||||||||
Retailers (except
food & drug) 3.8% |
||||||||||||||||
5,620 | Amscan Holdings, Inc. Term
Loan B |
6.750 | 12/04/17 | 5,655,513 | ||||||||||||
2,650 | Claires Stores, Inc. Term Loan
B |
3.057 | 05/29/14 | 2,445,870 | ||||||||||||
1,014 | Dollar General Corp. Term Loan
B1 |
2.970 | 07/07/14 | 1,013,675 | ||||||||||||
248 | Educate, Inc. Second Lien Term
Loan |
8.500 | 06/16/14 | 241,401 | ||||||||||||
935 | FTD Group, Inc. Term Loan B |
6.750 | 08/26/14 | 936,148 | ||||||||||||
3,699 | Guitar Center, Inc. Extended
Term Loan |
5.560 | 04/10/17 | 3,524,371 | ||||||||||||
1,573 | Gymboree Corp. New Term
Loan |
5.000 | 02/23/18 | 1,545,128 | ||||||||||||
3,909 | J Crew Group Corp. New Term
Loan B |
4.750 | 03/07/18 | 3,840,755 | ||||||||||||
1,340 | Michaels Stores, Inc. Term Loan
B2 |
4.813 | 07/31/16 | 1,346,064 | ||||||||||||
4,773 | Neiman Marcus Group, Inc. New
Term Loan |
4.750 | 05/16/18 | 4,744,274 | ||||||||||||
4,414 | Petco Animal Supplies, Inc. New
Term Loan |
4.500 | 11/24/17 | 4,415,118 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Retailers (except food & drug) (continued) |
||||||||||||||||
$ | 527 | Pilot Travel Centers LLC New
Term Loan B |
4.250 | % | 03/30/18 | $ | 530,894 | |||||||||
3,553 | Savers, Inc. Term Loan B |
4.250 | 03/03/17 | 3,584,477 | ||||||||||||
33,823,688 | ||||||||||||||||
Surface Transport 1.0% |
||||||||||||||||
1,959 | Avis Budget Car Rental, LLC
New Term Loan |
5.750 | 04/19/14 | 1,968,539 | ||||||||||||
956 | Cardinal Logistics Management,
Inc. First Lien Term Loan (a) |
12.500 | 09/23/13 | 821,857 | ||||||||||||
890 | JHCI Acquisition, Inc. First Lien
Term Loan |
2.700 | 06/19/14 | 842,493 | ||||||||||||
2,942 | Kenan Advantage Group, Inc.
New Term Loan |
5.500 | 06/10/16 | 2,968,159 | ||||||||||||
2,783 | Swift Transportation Co. Inc.
Term Loan B |
6.000 | 12/21/16 | 2,809,268 | ||||||||||||
9,410,316 | ||||||||||||||||
Telecommunications 6.7% |
||||||||||||||||
4,590 | Avaya, Inc. Extended Term Loan
B3 |
4.755 | 10/26/17 | 4,484,822 | ||||||||||||
2,253 | Avaya, Inc. Term Loan |
3.005 | 10/24/14 | 2,182,003 | ||||||||||||
12,879 | Fairpoint Communications, Inc.
New Term Loan B |
6.500 | 01/22/16 | 11,964,551 | ||||||||||||
4,563 | Global Tel*Link Corp. New Term
Loan B |
5.000 | 11/10/16 | 4,565,659 | ||||||||||||
1,417 | Level 3 Communications, Inc.
Add on Term Loan |
11.500 | 03/13/14 | 1,513,468 | ||||||||||||
5,850 | Level 3 Communications, Inc.
Term Loan A |
2.533 | 03/13/14 | 5,723,055 | ||||||||||||
667 | MetroPCS Wireless, Inc.
Extended Term Loan |
4.071 | 11/04/16 | 668,189 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Telecommunications (continued) |
||||||||||||||||
$ | 11,796 | MetroPCS Wireless, Inc. New
Term Loan B |
4.000 | % | 03/16/18 | $ | 11,793,192 | |||||||||
7,117 | NTELOS Inc. New Term Loan B |
4.000 | 08/07/15 | 7,145,884 | ||||||||||||
810 | Orius Corp. Term Loan
A (b)(c)(d)(e) |
6.750 | 01/23/09 | 0 | ||||||||||||
600 | Orius Corp. Term Loan
B1 (b)(c)(d)(e) |
7.250 | 01/23/10 | 0 | ||||||||||||
2,918 | Syniverse Technologies, Inc.
Term Loan B |
5.250 | 12/21/17 | 2,944,242 | ||||||||||||
1,160 | TowerCo Finance, LLC Term
Loan B |
5.250 | 02/02/17 | 1,168,769 | ||||||||||||
2,833 | West Corp. Term Loan B5 |
4.610 | 07/15/16 | 2,846,536 | ||||||||||||
3,484 | Yankee Cable Acquisition, LLC
Term Loan B1 |
6.500 | 08/26/16 | 3,499,006 | ||||||||||||
60,499,376 | ||||||||||||||||
Utilities 8.5% |
||||||||||||||||
4,792 | BRSP, LLC Term Loan B |
7.500 | 06/04/14 | 4,834,149 | ||||||||||||
10,216 | Calpine Corp. New Term Loan |
4.500 | 04/02/18 | 10,257,657 | ||||||||||||
5,500 | FirstLight Power Resources, Inc.
Second Lien Term Loan |
4.813 | 05/01/14 | 5,252,500 | ||||||||||||
4,265 | FirstLight Power Resources, Inc.
Term Loan B |
2.813 | 11/01/13 | 4,232,902 | ||||||||||||
388 | Great Point Power, Inc. Term
Loan B1 |
3.780 | 03/10/17 | 391,693 | ||||||||||||
2,567 | Longview Power, LLC Delayed
Draw Term Loan |
2.563 | 02/28/14 | 2,435,125 | ||||||||||||
733 | Longview Power, LLC Synthetic
Letter of Credit |
2.413 | 02/28/14 | 695,750 | ||||||||||||
2,200 | Longview Power, LLC Term
Loan B |
2.563 | 02/28/14 | 2,087,250 | ||||||||||||
187 | Mach Gen, LLC Letter of Credit |
2.307 | 02/22/13 | 174,767 |
Principal | ||||||||||||||||
Amount | Stated | |||||||||||||||
(000) | Description | Coupon | Maturity* | Value | ||||||||||||
Utilities (continued) |
||||||||||||||||
$ | 8,200 | NRG Energy, Inc. Extended
Letter of Credit |
3.557 | % | 08/31/15 | $ | 8,201,096 | |||||||||
533 | NRG Energy, Inc. Extended
Term Loan B |
3.470 | 08/31/15 | 532,606 | ||||||||||||
3,054 | Primary Energy Operations, LLC
New Term Loan |
6.500 | 10/23/14 | 3,038,120 | ||||||||||||
6,132 | Star West Generation, LLC
Term Loan B |
6.000 | 05/14/18 | 6,109,086 | ||||||||||||
2,534 | Texas Competitive Electric
Holdings Co., LLC Extended
Term Loan |
4.740 | 10/10/17 | 2,011,525 | ||||||||||||
25,523 | Texas Competitive Electric
Holdings Co., LLC
Non-Extended Term Loan |
3.706 | 10/10/14 | 21,777,911 | ||||||||||||
4,700 | TPF Generation Holdings, LLC
Second Lien Term Loan C |
4.557 | 12/15/14 | 4,629,500 | ||||||||||||
76,661,637 | ||||||||||||||||
Total Variable Rate** Senior Loan Interests 138.9% | 1,254,938,107 | |||||||||||||||
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Description | Coupon | Maturity | Value | ||||||||||||
Notes 4.8% |
||||||||||||||||
Air Transport 0.1% |
||||||||||||||||
$ | 1,110 | Continental Airlines, Inc. (g) |
6.750 | % | 09/15/15 | $ | 1,134,975 | |||||||||
Building & Development 0.1% |
||||||||||||||||
593 | Realogy Corp. (g) |
7.875 | 02/15/19 | 598,930 | ||||||||||||
Chemicals & Plastics 0.5% |
||||||||||||||||
3,149 | Lyondell Chemical Co. |
11.000 | 05/01/18 | 3,556,837 | ||||||||||||
1,131 | Wellman, Inc. (a) |
5.000 | 01/29/19 | 961,369 | ||||||||||||
4,518,206 | ||||||||||||||||
Containers & Glass Products 0.5% |
||||||||||||||||
4,900 | Berry Plastics Group, Inc. (h) |
5.028 | 02/15/15 | 4,887,750 | ||||||||||||
Par | ||||||||||||||||
Amount | ||||||||||||||||
(000) | Description | Coupon | Maturity | Value | ||||||||||||
Ecological Services & Equipment 0.1% |
||||||||||||||||
$ | 560 | Environmental Systems
Products Holdings, Inc. (a) |
18.000 | % | 03/31/15 | $ | 560,083 | |||||||||
Forest Products 0.2% |
||||||||||||||||
1,500 | Verso Paper Holdings, LLC (h) |
4.023 | 08/01/14 | 1,451,250 | ||||||||||||
Health Care 0.7% |
||||||||||||||||
6,167 | Apria Healthcare Group, Inc. (g) |
11.250 | 11/01/14 | 6,559,792 | ||||||||||||
Home Furnishings 0.1% |
||||||||||||||||
677 | Targus Group International Inc. (a) |
10.000 | 12/15/15 | 676,823 | ||||||||||||
Structured Products 0.9% |
||||||||||||||||
1,851 | Ares CLO Funds (h) |
3.290 | 10/11/21 | 1,540,957 | ||||||||||||
268 | Atrium CDO Corp. |
9.176 | 06/08/19 | 255,940 | ||||||||||||
1,431 | Columbus Nova CLO Ltd. (h) |
3.914 | 05/16/19 | 1,101,870 | ||||||||||||
755 | Flagship CLO V (Cayman Islands)(h) |
5.000 | 06/10/21 | 626,934 | ||||||||||||
1,389 | ING Investment Management
CLO Ltd. (h) |
3.776 | 12/13/20 | 1,083,420 | ||||||||||||
1,829 | Sierra CLO Ltd. (h) |
3.774 | 01/22/21 | 1,435,765 | ||||||||||||
2,210 | Silverado CLO Ltd. (h) |
4.026 | 10/16/20 | 1,823,250 | ||||||||||||
7,868,136 | ||||||||||||||||
Utilities 1.6% |
||||||||||||||||
5,468 | Calpine Corp. (g) |
7.500 | 02/15/21 | 5,714,059 | ||||||||||||
4,636 | Calpine Corp. (g) |
7.875 | 01/15/23 | 4,855,690 | ||||||||||||
3,736 | NRG Energy, Inc. |
7.625 | 05/15/19 | 3,271,560 | ||||||||||||
850 | Texas Competitive Electric
Holdings Co., LLC |
11.500 | 10/01/20 | 864,875 | ||||||||||||
14,706,184 | ||||||||||||||||
Total Notes 4.8% |
42,962,129 | |||||||||||||||
Shares | Description | Value | ||||||
Common Stocks 1.8% |
||||||||
Building & Development 0.5% |
||||||||
595 | Axia Acquisition Corp. (g)(i)(j) |
$ | 1,488,675 | |||||
923,526 | Building Materials Holding Corp. (g)(j) |
1,191,348 | ||||||
373,586 | Contech Construction Products, Inc. (j) |
0 | ||||||
780 | Lake At Las Vegas Joint Venture, LLC, Class A (j) |
315,959 | ||||||
9 | Lake At Las Vegas Joint Venture, LLC, Class B (j) |
3,749 | ||||||
343,321 | Newhall Holding Co., LLC (j) |
523,565 | ||||||
6,756 | WCI Communities, Inc. (j) |
675,600 | ||||||
4,198,896 | ||||||||
Business Equipment & Services 0.0% |
||||||||
7 | Comdisco Holdings Co., Inc. (j) |
42 | ||||||
Chemicals & Plastics 0.3% |
||||||||
52,283 | Lyondell Chemical Co., Class A (g)(j) |
2,334,328 | ||||||
1,892 | Wellman, Inc. (j) |
0 | ||||||
2,334,328 | ||||||||
Conglomerates 0.1% |
||||||||
4,207 | Euramax International, Inc., Class A (g)(j) |
1,325,237 | ||||||
Cosmetics/Toiletries 0.2% |
||||||||
2,023,400 | Marietta Intermediate Holding Corp.
(Acquired 04/22/10, Cost $48,742) (j) |
1,598,486 | ||||||
Ecological Services & Equipment 0.1% |
||||||||
9,333 | Environmental Systems Products Holdings, Inc.
(Acquired 09/27/07, Cost $0) (j) |
1,026,630 | ||||||
Financial Intermediaries 0.0% |
||||||||
4,291 | RJO Holdings Corp. (Acquired 01/13/11, Cost $0) (j) |
37,906 | ||||||
Health Care 0.0% |
||||||||
4,863 | Quality Home Brands Holdings, LLC (Acquired 01/26/10, Cost $0) (j) |
0 | ||||||
Home Furnishings 0.0% |
||||||||
27,462 | Targus Group International, Inc. (Acquired 12/16/09,
Cost $0) (j) |
78,816 | ||||||
Shares | Description | Value | ||||||
Leisure Goods/Activities/Movies 0.1% |
||||||||
553,670 | MB2, LP. (Canada) (g)(j) |
$ | 268,592 | |||||
121,429 | True Temper Sports, Inc. (Acquired 12/17/09, Cost $4,287,500)
(j) |
941,075 | ||||||
1,209,667 | ||||||||
Lodging & Casinos 0.2% |
||||||||
134,134 | BLB Worldwide Holdings, Inc., Class A (j) |
1,464,341 | ||||||
1,250 | BLB Worldwide Holdings, Inc., Class B (j) |
10,000 | ||||||
1,474,341 | ||||||||
Oil & Gas 0.1% |
||||||||
40,110 | Vitruvian Exploration, LLC (j) |
1,313,603 | ||||||
Publishing 0.2% |
||||||||
46,746 | Affiliated Media, Inc. (j) |
1,378,996 | ||||||
5,882 | Cygnus Business Media, Inc. (g)(i)(j) |
0 | ||||||
4,753 | Endurance Business Media, Inc. Class A (i)(j) |
88,633 | ||||||
15,519 | F&W Publications, Inc. (j) |
1,940 | ||||||
333,084 | MC Communications, LLC (Acquired 07/02/09, Cost $0) (j) |
0 | ||||||
2,333 | SuperMedia, Inc. (j) |
10,125 | ||||||
1,479,694 | ||||||||
Telecommunications 0.0% |
||||||||
2,543 | CTM Media Holdings, Inc. (j) |
6,029 | ||||||
7,632 | IDT Corp., Class B (j) |
225,144 | ||||||
231,173 | ||||||||
Total Common Stocks 1.8% |
16,308,819 | |||||||
Warrants 0.0% |
||||||||
Aerospace & Defense 0.0% |
||||||||
39,841 | IAP Worldwide Services, Inc., Series A, expiring 06/11/15
(Acquired 06/18/08, Cost $0) (j) |
334,664 | ||||||
11,669 | IAP Worldwide Services, Inc., Series B, expiring 06/11/15
(Acquired 06/18/08, Cost $0) (j) |
28,239 | ||||||
5,907 | IAP Worldwide Services, Inc., Series C, expiring 06/11/15
(Acquired 06/18/08, Cost $0) (j) |
0 | ||||||
362,903 | ||||||||
Shares | Description | Value | ||||||
Building & Development 0.0% |
||||||||
39 | Lake at Las Vegas Joint Venture, LLC, Class C, expiring 7/15/15 (j) |
$ | 0 | |||||
54 | Lake at Las Vegas Joint Venture, LLC, Class D, expiring 7/15/15 (j) |
0 | ||||||
60 | Lake at Las Vegas Joint Venture, LLC, Class E, expiring 7/15/15 (j) |
0 | ||||||
67 | Lake at Las Vegas Joint Venture, LLC, Class F, expiring 7/15/15 (j) |
0 | ||||||
76 | Lake at Las Vegas Joint Venture, LLC, Class G, expiring 7/15/15 (j) |
0 | ||||||
0 | ||||||||
Cosmetics/Toiletries 0.0% |
||||||||
247,917 | Marietta Holding Corp., expiring 02/20/19 (Acquired 04/22/10,
Cost $0) (j) |
0 | ||||||
Publishing 0.0% |
||||||||
2,291 | F&W Publications, Inc., expiring 06/09/14 (j) |
286 | ||||||
Radio & Television 0.0% |
||||||||
7,614 | Cumulus Media, Inc., expiring 06/29/19 (g)(j) |
21,394 | ||||||
Total Warrants 0.0% |
384,583 | |||||||
Preferred Stock 0.0% |
||||||||
Ecological Services & Equipment 0.0% |
||||||||
2,136 | Environmental Systems Products Holdings, Inc.
(Acquired 09/27/07, Cost $239,264) (j) |
331,080 | ||||||
Financial Intermediaries 0.0% |
||||||||
649 | RJO Holdings Corp. (Acquired 01/14/11, Cost $0) (j) |
48,668 | ||||||
Total Preferred Stock 0.0% |
379,748 | |||||||
Total Long-Term Investments 145.5% (Cost $1,411,643,668) |
1,314,973,386 | |||||||
Description | Value | |||
Time Deposit 1.2% |
||||
State Street Bank & Trust Co. ($10,751,064 Principal, 0.01% coupon, dated
05/31/11, to be sold on 06/01/11 at $10,751,067 (Cost $10,751,064) |
$ | 10,751,064 | ||
Total Investments 146.7% (Cost $1,422,394,732) |
1,325,724,450 | |||
Borrowings (21.8%) |
(197,000,000 | ) | ||
Preferred Shares (22.1%) |
(200,000,000 | ) | ||
Liabilities in Excess of Other Assets (2.8%) |
(25,233,373 | ) | ||
Net Assets Applicable to Common Shares 100.0% |
$ | 903,491,077 | ||
(a) | All or a portion of this security is payment-in-kind. | |
(b) | This borrower is currently in liquidation. | |
(c) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at May 31, 2011 was $20,889,835, which represented 2.31% of the Trusts net assets applicable to common shares. | |
(d) | This borrower has filed for protection in federal bankruptcy court. | |
(e) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(f) | All or a portion of this security is designated in connection with unfunded loan commitments. See Note 4. | |
(g) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at May 31, 2011, was $25,493,020, which represented 2.82% of the Trusts net assets. | |
(h) | Interest or dividend rate is determined periodically. Rate shown is the rate in effect at May 31, 2011. | |
(i) | Affiliated Company. | |
(j) | Non-income producing security acquired through the restructuring of senior loans. | |
(k) | Subsequent to May 31, 2011, this borrower has filled for protection in federal bankruptcy court. |
* | 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. | |
** | Senior Loans in which the Trust invests generally pay interest at rates which are periodically redeterminded by reference to a base the lending rate plus a premium. These base lending rates are generally (1) the lending rate offered by one or more major European banks, such as the London inter-Bank Offered Rate (LIBOR), (2) the prime rate offered by one or more major United States banks, or (3) 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. The stated coupon rates reflect the weighted average rate of the outstanding contracts for each loan as of May 31, 2011. |
Pay/ | Credit | |||||||||||||||||||||||||||||||||
Receive | Implied | Notional | Rating of | |||||||||||||||||||||||||||||||
Buy/Sell | Fixed | Expiration | Credit | Amount | Upfront | Reference | ||||||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | Spread (a) | (000) | Payments | Value | Entity (b) | |||||||||||||||||||||||||
Goldman Sachs International | Texas Competitive
Electric
Holdings
Co., LLC |
Sell | 5.000 | % | 03/20/12 | 5.20 | % | $ | 5,000 | $ | 112,500 | $ | 42,418 | B- | ||||||||||||||||||||
(a) | Implied credit spreads represents the current level at which protection could be bought or sold given the terms of the existing credit default swap contract and serve as an indicator of the current status of the payment/performance risk of the credit default swap contract. An implied credit spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally. | |
(b) | Credit rating as issued by Standard and Poors (Unaudited). |
A. | Security Valuations Senior secured floating rate loans and senior secured floating rate debt securities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution-size trading in similar groups of securities and other market data. |
B. | Securities Transactions and Investment Income Securities transaction are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from the settlement date. Facility fees received may be amortized over the life of the loan. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. |
C. | Country Determination For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuers securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
D. | Securities Purchased on a When-Issued and Delayed Delivery Basis The Trust may purchase and sell interests in Corporate Loans and Corporate Debt Securities and other portfolio securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Trust on such interests or securities in connection with such transactions prior to the date the Trust actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Trust will generally purchase these securities with the intention of acquiring such securities, they may sell such securities prior to the settlement date. |
E. | Foreign Currency Translations Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on |
securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Trusts books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. |
F. | Swap Agreements The Trust may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (CDS) for investment purposes or to manage interest rate, currency or credit risk. |
difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | ||
G. | Industry Concentration To the extent that the Fund is concentrated in securities of issuers in the banking and financial services industries, the Funds performance will depend to a greater extent on the overall condition of those industries. The value of these securities can be sensitive to changes in government regulation, interest rates and economic downturns in the U.S. and abroad. | |
H. | Leverage Risk The Fund may utilize leverage to seek to enhance the yield of the Fund by borrowing or issuing preferred shares. There are risk associated with borrowing or issuing preferred shares in an effort to increase the yield and distributions on the common shares, including that the costs of the financial leverage may exceed the income from investments made with such leverage, the higher volatility of the net asset value of the common shares, and that fluctuations in the interest rates on the borrowing or dividend rates on preferred shares may affect the yield and distributions to the common shareholders. There can be no assurance that the Funds leverage strategy will be successful. | |
I. | Bank Loan Risk Disclosures Although the resale, or secondary market for floating rate loans has grown substantially over the past decade, both in overall size and number of market participants, there is no organized exchange or broad of trade on which floating rate loans are traded. Instead, the secondary market for floating rate loans is a private, unregulated interdealer or interbank resale market. Such a market may therefore be subject to irregular trading activity, wide bid/ask spreads, and extended trade settlement periods. Similar to other asset classes, bank loan funds may be exposed to counterparty credit risk, or the risk than an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
J. | Other Risks The Trust may invest all or substantially of its assets in senior secured floating rate loans, senior secured debt securities or other securities rated below investment grade. These securities are generally considered to have speculative characteristics and are subject to greater risk of loss of principal and interest than higher rated securities. The value of lower quality debt securities and floating rate loans can be more volatile due to increased sensitivity to adverse issuer, political, regulatory, market or economic developments. |
Level 1 | Prices are determined using quoted prices in an active market for identical assets. | ||
Level 2 | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | ||
Level 3 | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trusts own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in an Asset Position |
||||||||||||||||
Variable Rate Senior Loan Interests |
$ | | $ | 1,252,978,152 | $ | 1,959,955 | $ | 1,254,938,107 | ||||||||
Notes |
| 41,323,937 | 1,638,192 | 42,962,129 | ||||||||||||
Equities |
4,433,795 | 7,959,262 | 4,680,093 | 17,073,150 | ||||||||||||
Time Deposits |
| 10,751,064 | | 10,751,064 | ||||||||||||
Credit Default Swaps |
| 42,418 | | 42,418 | ||||||||||||
Total Investments in an Asset Position |
$ | 4,433,795 | $ | 1,313,054,833 | $ | 8,278,240 | $ | 1,325,766,868 | ||||||||
Investments in a Liability Position |
||||||||||||||||
Unfunded Commitments |
$ | | $ | (2,785,965 | ) | $ | | $ | (2,785,965 | ) | ||||||
Change in | ||||||||||||||||||||||||||||
Unrealized | Interest/ | |||||||||||||||||||||||||||
Value | Purchases at | Proceeds from | Appreciation | Realized | Value | Dividend | ||||||||||||||||||||||
02/28/11 | Cost | Sales | (Depreciation) | Gain (Loss) | 05/31/11 | Income | ||||||||||||||||||||||
Axia Acquisition
Corp. Second Lien
Term Loan A |
$ | 932,280 | $ | 15,368 | $ | | $ | (37,778 | ) | $ | | $ | 909,870 | $ | 19,699 | |||||||||||||
Axia Acquisition
Corp. Second Lien
Term Loan B |
1,610,962 | | | (28,767 | ) | | 1,582,195 | 16,615 | ||||||||||||||||||||
Axia Acquisition
Corp. Common
Shares |
1,488,675 | | | | | 1,488,675 | | |||||||||||||||||||||
Cygnus Business
Media, Inc. Common
Shares |
| | | | | | | |||||||||||||||||||||
Cygnus Business
Media, Inc. Term
Loan |
2,485,658 | | 10,096 | 3,636 | 150 | 2,479,348 | 35,398 | |||||||||||||||||||||
Endurance Business
Media, Inc.
Common Shares |
88,633 | | | | | 88,633 | | |||||||||||||||||||||
Endurance Business
Media, Inc. First
Lien Term Loan |
1,137,171 | | 9,502 | 183,868 | (2,979 | ) | 1,308,558 | 39,063 | ||||||||||||||||||||
Total |
$ | 7,743,379 | $ | 15,368 | $ | 19,598 | $ | 120,959 | (2,829 | ) | 7,857,279 | $ | 110,775 | |||||||||||||||
Unfunded | Unrealized Appreciation/ | |||||||||
Description | Type | Commitments | (Depreciation) | |||||||
Axia Acquisition Corp. |
Revolving Credit Agreement | $ | 2,062,007 | $ | (154,649 | ) | ||||
Bright Horizons Family Solutions, Inc. |
Revolving Credit Agreement | 5,800,000 | (22,330 | ) | ||||||
Cannery Casino Resorts, LLC |
Revolving Credit Agreement | 365,909 | (6,658 | ) | ||||||
Catalent Pharma Solutions |
Revolving Credit Agreement | 2,500,000 | (141,562 | ) | ||||||
CB Richard Ellis Services, Inc. |
Term Loan | 5,115,336 | (17,264 | ) | ||||||
CB Richard Ellis Services, Inc. |
Term Loan | 1,239,862 | (3,255 | ) | ||||||
Delta Air Lines, Inc. |
Revolving Credit Agreement | 2,500,000 | (86,975 | ) | ||||||
Education Management, LLC |
Revolving Credit Agreement | 3,000,000 | (67,485 | ) | ||||||
GateHouse Media Operating, Inc. |
Revolving Credit Agreement | 1,000,000 | (150,000 | ) | ||||||
General Motors Holdings |
Revolving Credit Agreement | 10,576,720 | (852,355 | ) | ||||||
Graphic Packaging International, Inc. |
Revolving Credit Agreement | 5,000,000 | (100,000 | ) | ||||||
Hicks Sporting Group, LLC |
Term Loan | 23,046 | 0 | |||||||
Hunter Fan Co. |
Revolving Credit Agreement | 526,042 | (52,604 | ) | ||||||
Kranson Industries, Inc. |
Revolving Credit Agreement | 2,287,455 | (68,624 | ) | ||||||
Lake at Las Vegas Joint Venture, LLC |
Revolving Credit Agreement | 86,913 | (869 | ) | ||||||
Pinnacle Foods Holdings Corp. |
Revolving Credit Agreement | 7,000,000 | (490,000 | ) | ||||||
Sbarro, Inc. |
Term Loan | 16,346 | 0 | |||||||
Surgical Care Affiliates, Inc. |
Revolving Credit Agreement | 3,000,000 | (270,000 | ) | ||||||
USI Holdings Corp. |
Revolving Credit Agreement | 3,333,333 | (300,000 | ) | ||||||
White Birch Paper Co. |
Term Loan | 237,462 | (1,335 | ) | ||||||
$ | 55,670,431 | $ | (2,785,965 | ) | ||||||
Aggregate unrealized appreciation of investment securities |
$ | 33,396,399 | ||
Aggregate unrealized (depreciation) of investment securities |
(139,464,893 | ) | ||
Net unrealized appreciation (depreciation) of investment securities |
$ | (106,068,494 | ) | |
Cost of investments for tax purposes is $1,431,792,944. |
(a) | As of June 10, 2011, 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 10, 2011, 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. |
Registrant: Invesco Van Kampen Senior Income Trust |
||||
By: | /s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer | ||||
Date: | July 29, 2011 |
By: | /s/ Colin Meadows | |||
Colin Meadows | ||||
Principal Executive Officer | ||||
Date: | July 29, 2011 |
By: | /s/ Sheri Morris | |||
Sheri Morris | ||||
Principal Financial Officer | ||||
Date: | July 29, 2011 |