OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2013 |
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Estimated average burden hours per response: 5.6 |
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VK-CE-SINC-QTR-1 11/11 | Invesco Advisers, Inc. |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Variable Rate Senior Loan Interests128.30%(a)(b) |
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Aerospace & Defense3.25% |
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ARINC Inc. Second Lien Term Loan (Acquired 01/10/11; Cost $1,872,929) |
6.26 | % | 10/25/15 | $ | 1,922 | $ | 1,891,228 | |||||||||
DynCorp International LLC, Term Loan B |
6.25 | % | 07/07/16 | 2,104 | 2,069,240 | |||||||||||
IAP Worldwide Services, Inc., |
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PIK First Lien Term Loan (c) |
9.25 | % | 12/28/12 | 5,675 | 5,306,259 | |||||||||||
Second Lien Term Loan |
13.50 | % | 06/28/13 | 1,785 | 1,867,687 | |||||||||||
Sequa Corp., |
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Term Loan |
3.63 | % | 12/03/14 | 5,274 | 5,104,888 | |||||||||||
Term Loan |
7.00 | % | 12/03/14 | 1,287 | 1,287,960 | |||||||||||
SI Organization, Inc. Term Loan B |
4.50 | % | 11/22/16 | 1,279 | 1,234,006 | |||||||||||
SRA International, Inc. Term Loan B |
6.50 | % | 07/20/18 | 1,851 | 1,717,872 | |||||||||||
TASC, Inc., Term Loan B |
4.50 | % | 12/18/15 | 4,701 | 4,611,779 | |||||||||||
Wyle Services Corp., Term Loan B |
5.75 | % | 03/27/17 | 2,338 | 2,286,679 | |||||||||||
27,377,598 | ||||||||||||||||
Air Transport0.77% |
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Delta Air Lines, Inc., |
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Term Loan B |
4.25 | % | 03/07/16 | 4,472 | 4,226,243 | |||||||||||
Term Loan B |
5.50 | % | 04/20/17 | 2,386 | 2,288,028 | |||||||||||
6,514,271 | ||||||||||||||||
Automotive3.26% |
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Autoparts Holdings Ltd., First Lien Term Loan |
6.50 | % | 07/28/17 | 1,312 | 1,315,505 | |||||||||||
Federal-Mogul Corp., |
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Term Loan B |
2.19 | % | 12/29/14 | 5,263 | 4,884,641 | |||||||||||
Term Loan C |
2.19 | % | 12/28/15 | 3,330 | 3,090,337 | |||||||||||
Hertz Corp., LOC |
3.75 | % | 03/09/18 | 1,497 | 1,409,504 | |||||||||||
KAR Auction Services, Inc., Term Loan B |
5.00 | % | 05/19/17 | 8,141 | 8,069,554 | |||||||||||
Key Safety Systems, Inc., First Lien Term Loan |
2.51 | % | 03/08/14 | 4,249 | 3,951,298 | |||||||||||
Metaldyne Co., LLC, Term Loan B |
5.25 | % | 05/18/17 | 2,822 | 2,793,620 | |||||||||||
Performance Transportation Services, Inc., |
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LOC (Acquired 03/06/07-07/16/07; Cost $611,487) (d)(e)(f) |
3.25 | % | 01/26/12 | 611 | 73,378 | |||||||||||
Term Loan (Acquired 03/06/07; Cost $419,904) (d)(e)(f) |
7.50 | % | 01/26/12 | 420 | 50,389 | |||||||||||
Veyance Technologies, Inc., |
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Delayed Draw Term Loan |
2.80 | % | 07/31/14 | 251 | 231,358 | |||||||||||
Term Loan |
2.80 | % | 07/31/14 | 1,749 | 1,615,302 | |||||||||||
27,484,886 | ||||||||||||||||
Beverage and Tobacco1.63% |
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DS Waters Enterprises, L.P., Term Loan B |
2.51 | % | 10/27/12 | 9,930 | 9,194,592 | |||||||||||
DSW Holdings, Inc., Term Loan |
4.25 | % | 03/02/12 | 4,950 | 4,578,750 | |||||||||||
13,773,342 | ||||||||||||||||
Building & Development6.34% |
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Axia Acquisition Corp., |
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PIK Second Lien Term Loan A (Acquired 05/30/08-09/30/11; Cost $3,022,391) (c)(g) |
11.00 | % | 03/11/16 | 1,072 | 830,651 | |||||||||||
Second Lien Term Loan B (Acquired 05/30/08; Cost $5,515,342) (g) |
5.00 | % | 03/12/16 | 1,918 | 1,486,304 | |||||||||||
Building Materials Holding Corp., PIK Second Lien Term Loan (Acquired 12/31/07-10/31/11; Cost $2,612,776) (c)(h) |
8.00 | % | 01/05/15 | 1,768 | 1,566,839 | |||||||||||
Capital Automotive L.P., Term Loan B |
5.00 | % | 03/10/17 | 11,272 | 11,025,230 | |||||||||||
CB Richard Ellis Services, Inc., |
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Term Loan C |
3.51 | % | 03/05/18 | 547 | 534,575 | |||||||||||
Term Loan D |
3.75 | % | 09/04/19 | 5,792 | 5,661,761 | |||||||||||
Champion Opco LLC, PIK Term Loan (c) |
10.50 | % | 12/31/13 | 1,257 | 1,062,046 | |||||||||||
Custom Building Products, Inc., Term Loan B |
5.75 | % | 03/19/15 | 3,080 | 2,995,051 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Building & Development(continued) |
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El Ad IDB Las Vegas, LLC Term Loan A1(Acquired 09/20/07; Cost $2,500,000) |
3.00 | % | 08/09/12 | $ | 2,500 | $ | 1,437,500 | |||||||||
Ginn-LA CS Borrower, LLC, |
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First Lien Term Loan (Acquired 06/13/06; Cost $10,105,714) (f)(i) |
6.20 | % | 06/08/11 | 10,106 | 783,193 | |||||||||||
First Lien Term Loan A (Acquired 06/13/06; Cost $4,714,286) (f)(i) |
7.75 | % | 06/08/11 | 4,714 | 365,357 | |||||||||||
Kyle Acquisition Group, LLC, |
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Term Loan B (Acquired 02/20/07-06/27/07; Cost $2,220,357) (f)(i) |
5.75 | % | 07/20/09 | 2,200 | 165,000 | |||||||||||
Term Loan C (Acquired 10/16/06-06/04/07; Cost $3,009,643) (f)(i) |
4.00 | % | 07/20/11 | 3,000 | 225,000 | |||||||||||
Lake at Las Vegas Joint Venture, LLC, |
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PIK Exit Revolving Credit Agreement (Acquired 07/19/10-11/23/11; Cost $166,160) (c)(j) |
12.11 | % | 12/31/12 | 170 | 164,499 | |||||||||||
Term Loan |
5.00 | % | 04/30/12 | 43 | 42,547 | |||||||||||
Nortek, Inc., Term Loan |
5.25 | % | 04/26/17 | 2,947 | 2,884,853 | |||||||||||
November 2005 Land Investors, L.L.C. Second Lien Term Loan (Acquired 05/26/06-10/29/10; Cost $2,539,307) |
5.25 | % | 05/09/12 | 2,490 | 18,796 | |||||||||||
Re/Max International, Inc., Term Loan |
5.50 | % | 04/15/16 | 655 | 646,870 | |||||||||||
Realogy Corp., |
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Extended LOC |
4.44 | % | 10/10/16 | 1,052 | 938,894 | |||||||||||
Extended Term Loan |
4.69 | % | 10/10/16 | 20,407 | 18,219,726 | |||||||||||
LOC |
3.20 | % | 10/10/13 | 691 | 644,267 | |||||||||||
Tamarack Resorts, LLC, |
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Credit Lined Note A (Acquired 06/12/06; Cost $2,400,000) (f)(i) |
8.05 | % | 05/19/11 | 2,400 | 84,000 | |||||||||||
Term Loan (Acquired 11/03/08-05/01/09; Cost $496,902) (f)(i) |
20.25 | % | 07/02/09 | 497 | 447,833 | |||||||||||
Term Loan B (Acquired 06/12/06; Cost $3,546,000) (f)(i) |
7.50 | % | 05/19/11 | 3,546 | 124,110 | |||||||||||
WCI Communities, Inc., PIK Term Loan (c) |
10.03 | % | 09/02/16 | 1,144 | 1,101,207 | |||||||||||
53,456,109 | ||||||||||||||||
Business Equipment & Services11.27% |
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Affinion Group, Inc., Term Loan B |
5.00 | % | 10/10/16 | 8,663 | 7,941,684 | |||||||||||
Asurion Corp., |
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First Lien Term Loan |
5.50 | % | 05/24/18 | 8,837 | 8,560,432 | |||||||||||
Second Lien Term Loan |
9.00 | % | 05/24/19 | 8,625 | 8,337,567 | |||||||||||
BakerCorp International, Inc., Term Loan B |
5.00 | % | 06/01/18 | 2,454 | 2,435,441 | |||||||||||
Bright Horizons Family Solutions, Inc., |
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Revolving Credit Agreement (j) |
0.94 | % | 05/28/14 | 496 | 473,050 | |||||||||||
Term Loan B |
4.26 | % | 05/28/15 | 2,387 | 2,351,026 | |||||||||||
Brock Holdings III, Inc., Term Loan B |
6.00 | % | 03/16/17 | 3,105 | 2,993,994 | |||||||||||
Crawford & Co., Term Loan B |
5.00 | % | 10/30/13 | 1,375 | 1,361,541 | |||||||||||
Dealer Computer Services, Inc., Term Loan B |
3.75 | % | 04/20/18 | 333 | 332,468 | |||||||||||
Emdeon, Inc., Term Loan B |
6.75 | % | 11/02/18 | 3,683 | 3,702,787 | |||||||||||
First Data Corp., |
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Delayed Draw Term Loan (Acquired 01/20/11; Cost $1,599,855) |
3.01 | % | 09/24/14 | 1,686 | 1,530,102 | |||||||||||
Extended Term Loan B |
4.26 | % | 03/23/18 | 600 | 503,766 | |||||||||||
Term Loan B1 |
3.01 | % | 09/24/14 | 6,853 | 6,095,434 | |||||||||||
Term Loan B2 |
3.01 | % | 09/24/14 | 10,145 | 9,023,973 | |||||||||||
Term Loan B3 |
3.01 | % | 09/24/14 | 367 | 326,511 | |||||||||||
Hillman Group, Inc., Term Loan B |
5.00 | % | 05/27/16 | 114 | 112,750 | |||||||||||
iPayment, Inc., Term Loan B |
5.75 | % | 05/08/17 | 4,083 | 4,018,277 | |||||||||||
Kronos, Inc., |
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First Lien Term Loan |
2.12 | % | 06/11/14 | 847 | 809,329 | |||||||||||
Second Lien Term Loan |
6.12 | % | 06/11/15 | 3,131 | 2,955,885 | |||||||||||
Mitchell International, Inc., Second Lien Term Loan |
5.63 | % | 03/30/15 | 3,897 | 3,646,653 | |||||||||||
NCO Financial Systems, Inc., Term Loan B |
8.00 | % | 05/15/13 | 7,661 | 7,627,904 | |||||||||||
Nielsen Finance LLC, Class C Term Loan |
3.50 | % | 05/02/16 | 3,826 | 3,726,902 | |||||||||||
SMG Holdings, Inc., Term Loan B (Acquired 08/17/07; Cost $1,876,469) |
3.36 | % | 07/27/14 | 1,876 | 1,857,705 | |||||||||||
SSI Investments II Ltd., |
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Term Loan B |
6.50 | % | 05/26/17 | 1,902 | 1,888,025 | |||||||||||
Term Loan C |
6.50 | % | 05/26/17 | 232 | 230,734 | |||||||||||
Sungard Data Systems, Inc., |
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Incremental Term Loan (Acquired 06/01/09; Cost $488,473) |
3.75 | % | 02/28/14 | 488 | 487,862 | |||||||||||
Term Loan B |
3.98 | % | 02/26/16 | 10,369 | 10,162,045 | |||||||||||
Symphony IRI Group, Inc., Term Loan B |
5.00 | % | 12/01/17 | 1,533 | 1,520,243 | |||||||||||
95,014,090 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Cable & Satellite Television3.80% |
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AMC Networks Inc., Term Loan B |
4.00 | % | 12/31/18 | $ | 732 | $ | 729,960 | |||||||||
BBHI Acquisition LLC, Term Loan B |
4.50 | % | 12/14/17 | 2,239 | 2,196,647 | |||||||||||
Cequel Communications, LLC, Term Loan |
2.25 | % | 11/05/13 | 1,875 | 1,853,736 | |||||||||||
Charter Communications Operating, LLC, |
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Extended Term Loan |
3.62 | % | 09/06/16 | 3,786 | 3,728,957 | |||||||||||
Third Lien Term Loan |
2.76 | % | 09/05/14 | 4,000 | 3,850,000 | |||||||||||
CSC Holdings, Inc., Incremental B-2 Term Loan |
2.01 | % | 03/29/16 | 2,945 | 2,872,990 | |||||||||||
Knology Inc., Term Loan B |
4.00 | % | 08/18/17 | 239 | 234,161 | |||||||||||
MCC Iowa LLC, Term Loan D-2 |
1.95 | % | 01/30/15 | 3,800 | 3,597,663 | |||||||||||
Mediacom Broadband LLC, Term Loan F |
4.50 | % | 10/23/17 | 1,478 | 1,443,543 | |||||||||||
Mediacom Illinois, LLC, Term Loan C |
1.95 | % | 01/30/15 | 2,286 | 2,159,127 | |||||||||||
Mediacom LLC, |
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Term Loan D |
5.50 | % | 03/31/17 | 2,834 | 2,802,573 | |||||||||||
Term Loan E |
4.50 | % | 10/23/17 | 1,563 | 1,523,053 | |||||||||||
Midcontinent Communications, Term Loan B |
4.00 | % | 12/30/16 | 1,344 | 1,323,395 | |||||||||||
NDS Finance Ltd. (United Kingdom) Term Loan B |
4.00 | % | 03/12/18 | 1,987 | 1,960,148 | |||||||||||
UPC Broadband Holding, B.V., (Netherlands) Term Loan X |
3.75 | % | 12/29/17 | 500 | 487,250 | |||||||||||
UPC Financing Partnership Facility AB |
4.75 | % | 12/29/17 | 1,313 | 1,290,431 | |||||||||||
32,053,634 | ||||||||||||||||
Chemicals & Plastics2.99% |
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Houghton International, Inc., Term Loan B |
6.75 | % | 01/29/16 | 3,133 | 3,127,477 | |||||||||||
Huntsman International, LLC, Extended Term Loan B |
2.88 | % | 04/19/17 | 641 | 612,939 | |||||||||||
Metokote Corp., Term Loan |
8.75 | % | 11/27/13 | 4,968 | 4,948,991 | |||||||||||
Momentive Specialty Chemicals, Inc., |
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Extended Term Loan C1 |
4.00 | % | 05/05/15 | 334 | 317,375 | |||||||||||
Extended Term Loan C2 |
4.13 | % | 05/05/15 | 231 | 219,781 | |||||||||||
Extended Term Loan C4 |
4.19 | % | 05/05/15 | 296 | 280,984 | |||||||||||
Extended Term Loan C5 |
4.00 | % | 05/05/15 | 2,456 | 2,343,867 | |||||||||||
Nalco Co., Term Loan B1 |
7.25 | % | 10/05/17 | 638 | 637,460 | |||||||||||
OM Group, Inc., Term Loan B |
5.75 | % | 08/02/17 | 1,341 | 1,330,934 | |||||||||||
OMNOVA Solutions, Inc., Term Loan B |
5.75 | % | 05/31/17 | 2,563 | 2,518,325 | |||||||||||
Phillips Plastics Corp., Term Loan |
7.25 | % | 02/10/17 | 800 | 793,894 | |||||||||||
Potters Holdings II, L.P., First Lien Term Loan |
6.00 | % | 05/05/17 | 1,766 | 1,757,214 | |||||||||||
PQ Corp., Term Loan B |
3.64 | % | 07/30/14 | 4,120 | 3,883,297 | |||||||||||
Univar Inc., Term Loan B |
5.00 | % | 06/30/17 | 2,521 | 2,443,215 | |||||||||||
25,215,753 | ||||||||||||||||
Clothing & Textiles0.62% |
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Levi Strauss & Co., Term Loan |
2.51 | % | 03/27/14 | 4,850 | 4,728,750 | |||||||||||
Philips-Van Heusen Corp., Term Loan B |
3.50 | % | 05/06/16 | 58 | 58,556 | |||||||||||
Warnaco, Inc., Term Loan |
3.75 | % | 06/15/18 | 439 | 434,222 | |||||||||||
5,221,528 | ||||||||||||||||
Conglomerates0.97% |
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Goodman Global Holdings, Inc., |
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First Lien Term Loan |
5.75 | % | 10/28/16 | 4,361 | 4,364,505 | |||||||||||
Second Lien Term Loan |
9.00 | % | 10/30/17 | 464 | 467,512 | |||||||||||
RGIS Holdings, LLC, |
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Delayed Draw Term Loan (Acquired 09/12/07-03/12/08; Cost $165,342) |
2.87 | % | 04/30/14 | 167 | 161,180 | |||||||||||
Term Loan B (Acquired 06/06/07-03/12/08; Cost $3,317,759) |
2.87 | % | 04/30/14 | 3,349 | 3,223,594 | |||||||||||
8,216,791 | ||||||||||||||||
Containers & Glass Products5.30% |
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Anchor Glass Container Corp., |
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First Lien Term Loan |
6.00 | % | 03/02/16 | 2,522 | 2,513,454 | |||||||||||
Second Lien Term Loan |
10.00 | % | 09/02/16 | 1,425 | 1,420,248 | |||||||||||
Berlin Packaging LLC, Term Loan |
3.34 | % | 08/17/14 | 3,371 | 3,236,316 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Containers & Glass Products(continued) |
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Berry Plastics Group, Inc., Term Loan C |
2.25 | % | 04/03/15 | $ | 466 | $ | 440,767 | |||||||||
BWAY Corp., |
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Canadian Term Loan C |
4.50 | % | 02/23/18 | 179 | 176,174 | |||||||||||
Term Loan B |
4.50 | % | 02/23/18 | 1,940 | 1,911,147 | |||||||||||
Exopack, LLC, Term Loan |
6.50 | % | 05/31/17 | 3,522 | 3,411,644 | |||||||||||
Pertus Sechszehnte GmbH (Germany), |
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Term Loan B2 |
2.62 | % | 06/12/15 | 2,022 | 1,573,212 | |||||||||||
Term Loan C2 |
3.01 | % | 06/13/16 | 2,022 | 1,583,325 | |||||||||||
Ranpak Corp., Term Loan |
4.75 | % | 04/20/17 | 707 | 683,635 | |||||||||||
Reynolds Group Holdings Ltd., |
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Term Loan B |
6.50 | % | 02/09/18 | 2,722 | 2,684,866 | |||||||||||
Term Loan C |
6.50 | % | 08/09/18 | 18,008 | 17,750,980 | |||||||||||
Sealed Air Corp., Term Loan B |
4.75 | % | 10/03/18 | 1,527 | 1,542,882 | |||||||||||
TricorBraun, Inc., Term Loan B |
2.50 | % | 07/31/13 | 5,923 | 5,760,120 | |||||||||||
44,688,770 | ||||||||||||||||
Cosmetics & Toiletries1.70% |
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Huish Detergents, Inc., |
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Term Loan B |
2.26 | % | 04/25/14 | 4,171 | 3,733,407 | |||||||||||
Second Lien Term Loan |
4.51 | % | 10/26/14 | 750 | 603,750 | |||||||||||
KIK Custom Products, Inc., |
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Canadian Term Loan |
2.50 | % | 06/02/14 | 391 | 332,730 | |||||||||||
First Lien Term Loan |
2.50 | % | 06/02/14 | 2,278 | 1,940,923 | |||||||||||
Second Lien Term Loan |
5.25 | % | 11/28/14 | 4,000 | 2,480,000 | |||||||||||
Marietta Intermediate Holding Corp., PIK Term Loan B (Acquired 09/25/06-02/04/11, Cost $5,238,309) (c) |
7.00 | % | 02/19/15 | 1,662 | 1,512,171 | |||||||||||
Prestige Brands, Inc., Term Loan B |
4.78 | % | 03/24/16 | 1,493 | 1,496,927 | |||||||||||
Revlon Consumer Products Corp., Term Loan B |
4.75 | % | 11/17/17 | 2,295 | 2,277,915 | |||||||||||
14,377,823 | ||||||||||||||||
Drugs3.62% |
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Capsugel Healthcare Ltd., Term Loan |
5.25 | % | 08/01/18 | 1,049 | 1,051,447 | |||||||||||
Grifols Inc., Term Loan B |
6.00 | % | 06/01/17 | 7,055 | 7,053,977 | |||||||||||
Harlan Sprague Dawley, Inc., Term Loan B |
3.89 | % | 07/11/14 | 2,795 | 2,384,226 | |||||||||||
Medpace, Inc., Term Loan (Acquired 06/21/11; Cost $3,045,798) |
6.50 | % | 06/16/17 | 3,089 | 2,965,463 | |||||||||||
Quintiles Transnational Corp., Term Loan B |
5.00 | % | 06/08/18 | 4,990 | 4,871,253 | |||||||||||
RPI Finance Trust, Term Loan 2 |
4.00 | % | 05/09/18 | 5,936 | 5,915,803 | |||||||||||
Warner Chilcott Co., LLC, |
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Term Loan B1 |
4.25 | % | 03/15/18 | 2,909 | 2,870,826 | |||||||||||
Term Loan B2 |
4.25 | % | 03/15/18 | 1,454 | 1,435,413 | |||||||||||
WC Luxco S.a.r.l., Term Loan B3 |
4.25 | % | 03/15/18 | 2,000 | 1,973,693 | |||||||||||
30,522,101 | ||||||||||||||||
Ecological Services & Equipment1.59% |
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Environmental Systems Products Holdings, Inc., |
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PIK Jr. Unsec. Loan (Acquired 06/10/08-09/30/10; Cost $437,197) (c) |
18.00 | % | 03/31/15 | 560 | 560,083 | |||||||||||
Second Lien Term Loan (Acquired 09/27/07-01/12/10; Cost $1,395,004) |
13.50 | % | 09/12/14 | 1,422 | 1,422,397 | |||||||||||
ServiceMaster Co., |
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Delayed Draw Term Loan |
2.76 | % | 07/24/14 | 691 | 657,897 | |||||||||||
LOC |
2.84 | % | 07/24/14 | 2,698 | 2,482,215 | |||||||||||
Term Loan |
2.77 | % | 07/24/14 | 6,944 | 6,606,378 | |||||||||||
Synagro Technologies, Inc., |
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Second Lien Term Loan |
5.00 | % | 10/02/14 | 1,100 | 878,900 | |||||||||||
Term Loan B |
2.25 | % | 04/02/14 | 906 | 776,046 | |||||||||||
13,383,916 | ||||||||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Electronics & Electrical3.60% |
||||||||||||||||
Aeroflex Inc., Term Loan B |
4.25 | % | 05/09/18 | $ | 923 | $ | 879,838 | |||||||||
Bentley Systems, Inc., Term Loan B |
5.75 | % | 02/10/17 | 1,141 | 1,134,890 | |||||||||||
Blackboard, Inc., Term Loan B |
7.50 | % | 10/04/18 | 4,409 | 4,210,505 | |||||||||||
Butterfly Wendel US, Inc., |
||||||||||||||||
Term Loan B2 |
3.44 | % | 06/23/14 | 694 | 661,474 | |||||||||||
Term Loan C2 |
4.19 | % | 06/22/15 | 693 | 664,727 | |||||||||||
CommScope, Inc., Term Loan B |
5.00 | % | 01/14/18 | 1,691 | 1,686,379 | |||||||||||
DataTel, Inc., Extended First Lien Term Loan |
5.00 | % | 02/20/17 | 1,049 | 1,038,948 | |||||||||||
DEI Sales, Inc., Term Loan B |
7.00 | % | 07/13/17 | 2,445 | 2,404,711 | |||||||||||
DG FastChannel, Inc., Term Loan B |
5.75 | % | 07/26/18 | 2,199 | 2,196,746 | |||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B |
4.50 | % | 12/01/16 | 5,743 | 5,448,592 | |||||||||||
Microsemi Corp., Term Loan B |
5.75 | % | 02/02/18 | 2,193 | 2,197,149 | |||||||||||
Open Solutions, Inc., Term Loan B |
2.55 | % | 01/23/14 | 6,144 | 5,287,330 | |||||||||||
Proquest-CSA LLC, Term Loan |
3.82 | % | 02/07/14 | 232 | 221,258 | |||||||||||
Spectrum Brands, Inc., Term Loan B |
5.00 | % | 06/17/16 | 2,282 | 2,282,369 | |||||||||||
30,314,916 | ||||||||||||||||
Farming & Agriculture0.60% |
||||||||||||||||
Wm. Bolthouse Farms, Inc., |
||||||||||||||||
First Lien Term Loan |
5.50 | % | 02/11/16 | 3,310 | 3,304,265 | |||||||||||
Second Lien Term Loan |
9.50 | % | 08/11/16 | 1,773 | 1,763,864 | |||||||||||
5,068,129 | ||||||||||||||||
Financial Intermediaries3.52% |
||||||||||||||||
Fidelity National Information Solutions, Inc., Term Loan B |
5.25 | % | 07/18/16 | 5,359 | 5,388,507 | |||||||||||
Grosvenor Capital Management Holdings, LLP Extended Term Loan C |
4.25 | % | 12/05/16 | 4,259 | 4,099,199 | |||||||||||
MoneyGram International, Inc., Term Loan B |
4.50 | % | 11/17/17 | 1,032 | 1,016,412 | |||||||||||
Nuveen Investments, Inc., |
||||||||||||||||
Extended Term Loan |
5.90 | % | 05/12/17 | 6,285 | 5,983,331 | |||||||||||
First Lien Term Loan |
3.39 | % | 11/13/14 | 4,442 | 4,216,224 | |||||||||||
RJO Holdings Corp., |
||||||||||||||||
FCM Term Loan |
6.26 | % | 12/10/15 | 74 | 66,090 | |||||||||||
Term Loan B |
7.01 | % | 12/10/15 | 3,472 | 2,603,902 | |||||||||||
Trans Union, LLC, Term Loan B |
4.75 | % | 02/12/18 | 1,323 | 1,321,289 | |||||||||||
Transfirst Holdings, Inc., |
||||||||||||||||
PIK Second Lien Term Loan (c) |
6.26 | % | 06/15/15 | 2,654 | 2,340,770 | |||||||||||
Term Loan B |
3.01 | % | 06/15/14 | 2,872 | 2,640,690 | |||||||||||
29,676,414 | ||||||||||||||||
Food & Drug Retailers3.34% |
||||||||||||||||
General Nutrition Centers, Inc., Term Loan B |
4.25 | % | 03/02/18 | 3,759 | 3,690,534 | |||||||||||
NBTY, Inc., Term Loan B |
4.25 | % | 10/02/17 | 638 | 631,223 | |||||||||||
Pantry Inc., |
||||||||||||||||
Delayed Draw Term Loan |
2.01 | % | 05/15/14 | 129 | 125,466 | |||||||||||
Term Loan B |
2.01 | % | 05/15/14 | 447 | 435,717 | |||||||||||
Rite Aid Corp., |
||||||||||||||||
Term Loan 5 |
4.50 | % | 03/02/18 | 4,030 | 3,818,611 | |||||||||||
Term Loan B |
2.01 | % | 06/04/14 | 5,989 | 5,666,094 | |||||||||||
Roundys Supermarkets, Inc., Extended Term Loan |
7.00 | % | 11/03/13 | 7,048 | 7,004,533 | |||||||||||
Supervalu Inc., Term Loan B3 |
4.50 | % | 04/28/18 | 6,962 | 6,758,718 | |||||||||||
28,130,896 | ||||||||||||||||
Food Products4.34% |
||||||||||||||||
Advantage Sales & Marketing, Inc., |
||||||||||||||||
Second Lien Term Loan |
9.25 | % | 06/18/18 | 668 | 856,067 | |||||||||||
Term Loan B |
5.25 | % | 12/18/17 | 1,811 | 1,785,887 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Food Products(continued) |
||||||||||||||||
Dean Foods Co., |
||||||||||||||||
Extended Term Loan B1 |
3.37 | % | 04/02/16 | $ | 1,913 | $ | 1,866,540 | |||||||||
Extended Term Loan B2 |
3.53 | % | 04/02/17 | 1,621 | 1,588,594 | |||||||||||
Del Monte Foods Co., Term Loan |
4.50 | % | 03/08/18 | 8,112 | 7,704,720 | |||||||||||
Dole Food Co., Inc., |
||||||||||||||||
Term Loan B2 |
5.05 | % | 07/06/18 | 2,493 | 2,485,356 | |||||||||||
Term Loan C2 |
5.03 | % | 07/06/18 | 4,631 | 4,615,660 | |||||||||||
Farleys & Sathers Candy Co., Inc. Term Loan |
6.50 | % | 03/30/18 | 2,624 | 2,577,745 | |||||||||||
JBS USA Holdings Inc. Term Loan |
4.25 | % | 05/25/18 | 4,367 | 4,290,298 | |||||||||||
Pierre Foods, Inc., |
||||||||||||||||
First Lien Term Loan |
7.00 | % | 09/30/16 | 6,980 | 6,959,344 | |||||||||||
Second Lien Term Loan |
11.25 | % | 09/29/17 | 587 | 585,982 | |||||||||||
Pinnacle Foods Holdings Corp., Term Loan D |
6.00 | % | 04/02/14 | 1,258 | 1,263,127 | |||||||||||
36,579,320 | ||||||||||||||||
Food Service1.56% |
||||||||||||||||
Burger King Corp., Term Loan B |
4.50 | % | 10/19/16 | 6,048 | 5,997,737 | |||||||||||
Darling International, Inc., Term Loan |
5.75 | % | 12/16/16 | 212 | 213,447 | |||||||||||
Dunkin Brands, Inc., Term Loan B-2 |
4.00 | % | 11/23/17 | 505 | 499,002 | |||||||||||
NPC International, Inc., Term Loan B |
2.01 | % | 05/03/13 | 3,451 | 3,438,242 | |||||||||||
OSI Restaurant Partners, LLC, |
||||||||||||||||
Revolving Credit Agreement |
0.99 | % | 06/14/13 | 213 | 203,316 | |||||||||||
Term Loan B |
2.58 | % | 06/14/14 | 2,185 | 2,084,351 | |||||||||||
Wendys/Arbys Restaurants, LLC, Term Loan B |
5.00 | % | 05/24/17 | 729 | 728,812 | |||||||||||
13,164,907 | ||||||||||||||||
Forest Products0.99% |
||||||||||||||||
Ainsworth Lumber Co, Ltd., Term Loan |
5.31 | % | 06/26/14 | 2,400 | 2,026,512 | |||||||||||
Cenveo Corp., Term Loan B |
6.25 | % | 12/21/16 | 5,385 | 5,235,193 | |||||||||||
Verso Paper Holdings LLC, PIK Term Loan (Acquired 06/13/08-11/03/11; Cost $444,937)(c) |
6.83 | % | 02/01/13 | 465 | 244,291 | |||||||||||
Xerium Technologies, Inc., Term Loan B |
5.50 | % | 05/22/17 | 863 | 857,482 | |||||||||||
8,363,478 | ||||||||||||||||
Healthcare11.71% |
||||||||||||||||
Alere, Inc., Term Loan B |
4.50 | % | 06/30/17 | 6,576 | 6,439,871 | |||||||||||
Biomet Inc., Term Loan B |
3.32 | % | 03/25/15 | 6,083 | 5,886,176 | |||||||||||
CareStream Health, Inc., Term Loan B |
5.00 | % | 02/25/17 | 6,830 | 6,075,812 | |||||||||||
Community Health Systems, Inc., |
||||||||||||||||
Delayed Draw Loan |
2.51 | % | 07/25/14 | 438 | 424,222 | |||||||||||
Extended Term Loan B |
3.95 | % | 01/25/17 | 7,915 | 7,672,307 | |||||||||||
Term Loan |
2.75 | % | 07/25/14 | 8,838 | 8,560,422 | |||||||||||
DaVita, Inc., Term Loan B |
4.50 | % | 10/20/16 | 761 | 759,649 | |||||||||||
DJO Finance LLC, Term Loan B |
3.26 | % | 05/20/14 | 3,139 | 3,038,618 | |||||||||||
Drumm Investors, LLC, Term Loan |
5.00 | % | 05/04/18 | 4,483 | 3,905,730 | |||||||||||
Genoa Healthcare Group, LLC, |
||||||||||||||||
Second Lien Term Loan (Acquired 06/08/11; Cost $1,710,380) |
11.50 | % | 02/10/13 | 1,764 | 1,279,185 | |||||||||||
Term Loan B |
6.25 | % | 08/10/12 | 422 | 395,794 | |||||||||||
Gentiva Health Services, Inc., Term Loan B |
4.75 | % | 08/17/16 | 1,945 | 1,714,921 | |||||||||||
HCA, Inc., |
||||||||||||||||
Extended Term Loan A2 |
2.87 | % | 05/01/16 | 1,629 | 1,542,396 | |||||||||||
Extended Term Loan B2 |
3.62 | % | 03/31/17 | 180 | 171,411 | |||||||||||
Extended Term Loan B3 |
3.62 | % | 05/01/18 | 13,601 | 12,913,535 | |||||||||||
HCR Healthcare, LLC, Term Loan |
5.00 | % | 04/06/18 | 3,678 | 3,304,402 | |||||||||||
Health Management Associates, Inc., Term Loan B |
4.50 | % | 11/16/18 | 1,149 | 1,146,616 | |||||||||||
IMS Health, Inc., Term Loan B |
4.50 | % | 08/25/17 | 5,906 | 5,903,840 | |||||||||||
Kindred Healthcare, Inc., Term Loan |
5.25 | % | 06/01/18 | 2,991 | 2,776,787 | |||||||||||
Kinetic Concepts, Inc., Term Loan B |
7.00 | % | 05/04/18 | 9,030 | 9,093,634 | |||||||||||
Sun Healthcare Group Inc., Term Loan B |
7.50 | % | 10/15/16 | 2,238 | 1,694,717 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Healthcare(continued) |
||||||||||||||||
Surgery Center Holdings, Inc., Term Loan B |
6.50 | % | 02/06/17 | $ | 1,917 | $ | 1,820,717 | |||||||||
Surgical Care Affiliates, Inc., Extended Term Loan (Acquired 06/30/11; Cost $9,770,958) |
4.37 | % | 12/29/17 | 10,029 | 9,076,381 | |||||||||||
TriZetto Group, Inc., Term Loan B |
4.75 | % | 05/02/18 | 1,847 | 1,813,918 | |||||||||||
United Surgical Partners International Inc., Term Loan B |
2.26 | % | 04/18/14 | 1,338 | 1,300,729 | |||||||||||
98,711,790 | ||||||||||||||||
Home Furnishings0.97% |
||||||||||||||||
Brown Jordan International, Inc., Term Loan |
6.26 | % | 04/30/12 | 659 | 656,872 | |||||||||||
Hunter Fan Co., |
||||||||||||||||
Second Lien Term Loan |
7.01 | % | 10/16/14 | 1,000 | 817,500 | |||||||||||
Term Loan |
2.76 | % | 04/16/14 | 850 | 781,991 | |||||||||||
Mattress Holdings Corp., Term Loan B |
2.62 | % | 01/17/14 | 1,061 | 1,016,905 | |||||||||||
National Bedding Co. LLC, Second Lien Term Loan (Acquired 09/26/05-10/04/05; Cost $3,472,486) |
5.50 | % | 02/28/14 | 3,423 | 3,346,364 | |||||||||||
Springs Windows Fashions, LLC, Term Loan B |
6.00 | % | 05/31/17 | 1,593 | 1,544,955 | |||||||||||
8,164,587 | ||||||||||||||||
Industrial Equipment1.36% |
||||||||||||||||
Husky Injection Molding Systems Ltd., Term Loan B |
6.50 | % | 06/30/18 | 2,309 | 2,295,290 | |||||||||||
JMC Steel Group, Inc., Term Loan |
4.75 | % | 04/03/17 | 1,090 | 1,087,965 | |||||||||||
Manitowoc Co., Inc. (The), Term Loan B |
4.25 | % | 11/13/17 | 728 | 722,586 | |||||||||||
Mold-Masters Luxembourg Holdings S. A., (Luxembourg) Term Loan |
3.94 | % | 10/10/14 | 2,649 | 2,564,521 | |||||||||||
Terex Corp., Term Loan B |
5.50 | % | 04/28/17 | 1,231 | 1,232,334 | |||||||||||
Unifrax I LLC, Term Loan |
7.00 | % | 11/28/18 | 3,593 | 3,597,285 | |||||||||||
11,499,981 | ||||||||||||||||
Insurance1.60% |
||||||||||||||||
Alliant Holdings I, Inc., |
||||||||||||||||
Term Loan B |
3.37 | % | 08/21/14 | 2,688 | 2,634,281 | |||||||||||
Term Loan D |
6.75 | % | 08/21/14 | 1,024 | 1,024,149 | |||||||||||
HMSC Corp., Second Lien Term Loan |
5.76 | % | 10/03/14 | 825 | 484,687 | |||||||||||
Sedgwick CMS Holdings, Inc., |
||||||||||||||||
Term Loan |
5.00 | % | 12/30/16 | 2,667 | 2,643,610 | |||||||||||
Second Lien Term Loan |
9.00 | % | 05/26/17 | 2,800 | 2,772,000 | |||||||||||
USI Holdings Corp., Term Loan |
2.76 | % | 05/05/14 | 4,116 | 3,955,314 | |||||||||||
13,514,041 | ||||||||||||||||
Leisure Goods, Activities & Movies2.92% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc., Term Loan |
7.50 | % | 04/22/16 | 4,429 | 4,270,307 | |||||||||||
Alpha D2 Ltd., |
||||||||||||||||
Second Lien Term Loan |
3.90 | % | 06/30/14 | 1,350 | 1,244,153 | |||||||||||
Term Loan B2 |
2.53 | % | 12/31/13 | 2,617 | 2,482,764 | |||||||||||
Term Loan B2 |
2.53 | % | 12/31/13 | 3,808 | 3,905,206 | |||||||||||
Bombardier Recreational Products, Inc., (Canada) Term Loan |
2.90 | % | 06/28/13 | 30 | 28,666 | |||||||||||
Fender Musical Instruments Corp., |
||||||||||||||||
Delayed Draw Term Loan |
2.51 | % | 06/09/14 | 1,142 | 1,056,291 | |||||||||||
Term Loan B |
2.51 | % | 06/09/14 | 2,260 | 2,090,701 | |||||||||||
IMG Worldwide, Inc., Term Loan B |
5.50 | % | 06/16/16 | 1,146 | 1,125,262 | |||||||||||
Live Nation Entertainment, Inc., Term Loan B |
4.50 | % | 11/07/16 | 2,892 | 2,876,660 | |||||||||||
Regal Cinemas, Inc., Term Loan B |
3.37 | % | 08/23/17 | 1,800 | 1,784,713 | |||||||||||
Sabre, Inc., Term Loan B |
2.31 | % | 09/30/14 | 2,598 | 2,153,273 | |||||||||||
SRAM, LLC, Term Loan B |
4.76 | % | 06/07/18 | 1,667 | 1,646,538 | |||||||||||
24,664,534 | ||||||||||||||||
Lodging & Casinos7.20% |
||||||||||||||||
Boyd Gaming Corp., |
||||||||||||||||
Extended Revolving Credit Agreement |
0.50 | % | 12/17/15 | 4,244 | 3,777,208 | |||||||||||
Revolving Credit Agreement |
6.00 | % | 12/17/15 | 1,196 | 1,185,912 | |||||||||||
Term Loan |
3.76 | % | 12/17/15 | 2,559 | 2,418,630 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Lodging & Casinos(continued) |
||||||||||||||||
Caesars Entertainment Operating Co., |
||||||||||||||||
Incremental Term Loan B4 |
9.50 | % | 10/31/16 | $ | 491 | $ | 486,583 | |||||||||
Term Loan B3 |
3.42 | % | 01/28/15 | 16,360 | 13,639,910 | |||||||||||
Cannery Casino Resorts, LLC, |
||||||||||||||||
Delayed Draw Term Loan |
4.51 | % | 05/20/13 | 2,255 | 2,069,625 | |||||||||||
Revolving Credit Agreement (Acquired 10/14/08-05/27/10; Cost $668,182) (j) |
3.04 | % | 05/18/12 | 668 | 608,045 | |||||||||||
Second Lien Term Loan |
4.51 | % | 05/16/14 | 500 | 440,000 | |||||||||||
Term Loan B |
4.51 | % | 05/17/13 | 2,726 | 2,502,441 | |||||||||||
CCM Merger, Inc., New Term Loan B |
7.00 | % | 03/01/17 | 3,905 | 3,890,337 | |||||||||||
Chester Downs & Marina LLC, |
||||||||||||||||
Incremental Term Loan |
12.38 | % | 07/29/16 | 307 | 308,109 | |||||||||||
Term Loan |
12.38 | % | 07/29/16 | 2,781 | 2,794,424 | |||||||||||
Golden Nugget, Inc., |
||||||||||||||||
PIK New Delayed Draw Term Loan (c) |
3.26 | % | 06/30/14 | 1,983 | 1,604,297 | |||||||||||
PIK Term Loan B (c) |
3.26 | % | 06/30/14 | 3,484 | 2,818,323 | |||||||||||
Harrahs Operating Co., Inc., |
||||||||||||||||
Term Loan B-1 |
3.42 | % | 01/28/15 | 8,765 | 7,518,394 | |||||||||||
Term Loan B-2 |
3.36 | % | 01/28/15 | 1,000 | 857,815 | |||||||||||
Isle of Capri Casinos, Inc., New Term Loan B |
4.75 | % | 11/01/13 | 2,650 | 2,640,186 | |||||||||||
Las Vegas Sands LLC/Venetian Casino, |
||||||||||||||||
Extended Term Loan B |
2.84 | % | 11/23/16 | 1,099 | 1,056,653 | |||||||||||
Extended Delayed Draw Term Loan 2 |
2.84 | % | 11/23/15 | 1,085 | 1,042,868 | |||||||||||
Magnolia Hill, LLC, |
||||||||||||||||
Delayed Draw Term Loan (Acquired 11/04/08-12/23/10; Cost $1,050,388) |
3.50 | % | 10/30/13 | 1,050 | 919,089 | |||||||||||
Term Loan (Acquired 10/31/07; Cost $2,989,570) |
3.51 | % | 10/30/13 | 2,990 | 2,615,874 | |||||||||||
Twin River Worldwide Holdings, Inc. Term Loan |
8.50 | % | 11/05/15 | 5,521 | 5,476,520 | |||||||||||
60,671,243 | ||||||||||||||||
Oil & Gas3.14% |
||||||||||||||||
Big West Oil, LLC, Term Loan |
7.00 | % | 03/31/16 | 288 | 289,397 | |||||||||||
Buffalo Gulf Coast Terminals LLC, Term Loan B (Acquired 10/31/11; Cost $2,062,698) |
7.50 | % | 10/31/17 | 2,104 | 2,114,835 | |||||||||||
CCS Corp., (Canada) Term Loan B |
3.37 | % | 11/14/14 | 5,276 | 4,842,929 | |||||||||||
Citgo Petroleum Corp., Term Loan B |
8.00 | % | 06/24/15 | 1,193 | 1,197,478 | |||||||||||
Glenn Pool Oil & Gas Trust, Term Loan (Acquired 06/08/11; Cost $1,762,472) |
4.50 | % | 05/02/16 | 1,762 | 1,758,066 | |||||||||||
Obsidian Natural Gas Trust, Term Loan |
7.00 | % | 11/02/15 | 3,118 | 3,125,759 | |||||||||||
RAM Energy Resources, Inc., Second Lien Term Loan (Acquired 03/15/11; Cost $2,750,965) |
11.00 | % | 09/13/16 | 2,800 | 2,785,686 | |||||||||||
SemGroup Corp., Term Loan B |
5.75 | % | 06/15/18 | 2,975 | 2,967,175 | |||||||||||
Western Refining, Inc., New Term Loan B |
7.50 | % | 03/15/17 | 4,446 | 4,490,853 | |||||||||||
Willbros United States Holdings, Inc., Term Loan B |
9.50 | % | 06/30/14 | 2,898 | 2,883,141 | |||||||||||
26,455,319 | ||||||||||||||||
Publishing4.99% |
||||||||||||||||
Cengage Learning Acquisitions, Inc., |
||||||||||||||||
Incremental Term Loan 1 |
7.50 | % | 07/03/14 | 977 | 911,307 | |||||||||||
Term Loan |
2.51 | % | 07/03/14 | 2,168 | 1,841,095 | |||||||||||
Clarke American Corp., Term Loan B |
2.78 | % | 06/30/14 | 4,103 | 3,478,476 | |||||||||||
Cygnus Business Media, Inc., PIK Term Loan (Acquired 07/19/04; Cost $3,905,209)(c)(g) |
9.75 | % | 06/30/13 | 3,947 | 1,776,044 | |||||||||||
Endurance Business Media, Inc., First Lien Term Loan (Acquired 12/14/10; Cost $4,558,691) (g) |
6.50 | % | 12/15/14 | 3,470 | 1,041,145 | |||||||||||
F&W Media, Inc., Term Loan (Acquired 06/09/10; Cost $8,971,363) |
7.75 | % | 06/09/14 | 4,408 | 3,570,143 | |||||||||||
Gatehouse Media Operating, Inc., |
||||||||||||||||
Delayed Draw Term Loan |
2.26 | % | 08/28/14 | 591 | 135,830 | |||||||||||
Term Loan B |
2.26 | % | 08/28/14 | 920 | 211,709 | |||||||||||
Knowledgepoint360 Group, LLC, |
||||||||||||||||
First Lien Term Loan (Acquired 05/21/07; Cost $463,261) |
3.73 | % | 04/14/14 | 463 | 423,883 | |||||||||||
Second Lien Term Loan (Acquired 05/21/07; Cost $1,000,000) |
7.47 | % | 04/13/15 | 1,000 | 800,000 | |||||||||||
MC Communications, LLC, PIK Term Loan (c) |
6.75 | % | 12/31/12 | 1,820 | 295,735 | |||||||||||
Medianews Group, Term Loan |
8.50 | % | 03/19/14 | 2,135 | 2,026,324 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Publishing(continued) |
||||||||||||||||
Merrill Communications, LLC, |
||||||||||||||||
PIK Second Lien Term Loan (c) |
13.76 | % | 11/15/13 | $ | 3,388 | $ | 3,201,289 | |||||||||
Term Loan |
7.50 | % | 12/24/12 | 1,000 | 966,500 | |||||||||||
Network Communications, Inc., Term Loan (Acquired 08/08/07; Cost $4,798,535) |
5.51 | % | 11/29/13 | 4,799 | 3,334,982 | |||||||||||
Tribune Co., Term Loan B (e)(f) |
5.25 | % | 06/04/14 | 28,497 | 17,587,078 | |||||||||||
Yell Group PLC (United Kingdom), Term Loan A3 |
3.76 | % | 04/30/14 | 1,509 | 442,626 | |||||||||||
42,044,166 | ||||||||||||||||
Radio & Television9.17% |
||||||||||||||||
Barrington Broadcasting Group LLC, Term Loan |
4.50 | % | 08/12/13 | 764 | 736,337 | |||||||||||
Clear Channel Communication, |
||||||||||||||||
Term Loan A |
3.70 | % | 07/29/14 | 8,524 | 7,351,723 | |||||||||||
Term Loan B |
3.91 | % | 01/28/16 | 19,893 | 14,899,325 | |||||||||||
CMP KC LLC, Term Loan 824 (Acquired 05/25/06-12/31/09; Cost $6,802,447)(f) |
6.25 | % | 10/03/12 | 6,799 | 849,845 | |||||||||||
FoxCo Acquisition Sub, LLC, Term Loan B |
4.75 | % | 07/14/15 | 2,388 | 2,326,461 | |||||||||||
Harron Communications Corp., Term Loan B |
5.25 | % | 10/06/17 | 2,830 | 2,796,255 | |||||||||||
High Plains Broadcasting Operating Co. LLC, Term Loan |
9.00 | % | 09/14/16 | 918 | 912,054 | |||||||||||
Intelsat Jackson Holdings S.A., Term Loan B |
5.25 | % | 04/02/18 | 10,264 | 10,170,367 | |||||||||||
Multicultural Radio Broadcasting, Inc., |
||||||||||||||||
Second Lien Term Loan |
6.01 | % | 06/18/13 | 2,475 | 1,961,437 | |||||||||||
Term Loan |
3.01 | % | 12/18/12 | 1,635 | 1,469,492 | |||||||||||
Newport Television LLC, Term Loan B |
9.00 | % | 09/14/16 | 3,425 | 3,403,338 | |||||||||||
Raycom TV Broadcasting, Inc., Term Loan B |
4.50 | % | 05/31/17 | 2,655 | 2,548,438 | |||||||||||
Univision Communications Inc. Extended Term Loan |
4.51 | % | 03/31/17 | 26,516 | 23,839,347 | |||||||||||
Weather Channel (The), Term Loan B |
4.25 | % | 02/13/17 | 4,019 | 4,011,820 | |||||||||||
77,276,239 | ||||||||||||||||
Retailers (except Food & Drug)3.39% |
||||||||||||||||
Academy, Ltd., Term Loan |
6.00 | % | 08/03/18 | 411 | 405,276 | |||||||||||
AMSCAN Holdings, Inc., Term Loan B |
6.75 | % | 12/04/17 | 5,592 | 5,579,117 | |||||||||||
Claires Stores, Inc., Term Loan B |
3.04 | % | 05/29/14 | 1,688 | 1,455,486 | |||||||||||
Educate, Inc., Term Loan (Acquired 06/27/07; Cost $246,667) |
8.52 | % | 06/16/14 | 247 | 245,433 | |||||||||||
FTD, Inc., Term Loan |
4.75 | % | 06/11/18 | 2,290 | 2,249,643 | |||||||||||
Guitar Center Inc., Extended Term Loan |
5.62 | % | 04/10/17 | 4,699 | 4,155,953 | |||||||||||
Gymboree Corp., Term Loan |
5.00 | % | 02/23/18 | 1,142 | 1,028,336 | |||||||||||
J. Crew Operating Group, Inc. Term Loan B |
4.75 | % | 03/07/18 | 5,556 | 5,132,749 | |||||||||||
Michaels Stores, Inc., Term Loan B2 |
4.91 | % | 07/31/16 | 1,819 | 1,776,557 | |||||||||||
Neiman Marcus Group, Inc., Term Loan |
4.75 | % | 05/16/18 | 2,837 | 2,733,307 | |||||||||||
Petco Animal Supplies, Inc., Term Loan |
4.50 | % | 11/24/17 | 3,814 | 3,717,546 | |||||||||||
Pilot Travel Centers LLC, Term Loan B |
4.25 | % | 03/30/18 | 107 | 106,971 | |||||||||||
28,586,374 | ||||||||||||||||
Surface Transport1.36% |
||||||||||||||||
Avis Budget Car Rental, LLC, Incremental Term Loan |
6.25 | % | 09/21/18 | 3,884 | 3,904,826 | |||||||||||
Cardinal Logistics, PIK First Lien Term Loan (Acquired 04/17/07-10/31/11; Cost $966,383)(c) |
12.50 | % | 09/23/13 | 968 | 677,362 | |||||||||||
JHCI Acquisition, Inc., First Lien Term Loan |
2.76 | % | 06/19/14 | 500 | 460,000 | |||||||||||
Kenan Advantage Group, Inc., New Term Loan |
4.50 | % | 06/10/16 | 2,928 | 2,910,595 | |||||||||||
Swift Transportation Co. Inc., Term Loan B |
6.00 | % | 12/21/16 | 3,502 | 3,491,791 | |||||||||||
11,444,574 | ||||||||||||||||
Telecommunications8.45% |
||||||||||||||||
Avaya, Inc., Extended Term Loan B3 |
5.01 | % | 10/26/17 | 948 | 840,938 | |||||||||||
Cellular South, Inc., Term Loan B |
4.50 | % | 07/27/17 | 2,639 | 2,608,399 | |||||||||||
Fairpoint Communications, Inc., Term Loan B |
6.50 | % | 01/22/16 | 12,366 | 9,853,133 | |||||||||||
Global Tel*Link Corp., Term Loan B |
5.00 | % | 11/10/16 | 4,540 | 4,522,911 | |||||||||||
Integra Telecom Holdings Inc., Term Loan B |
9.25 | % | 04/15/15 | 1,748 | 1,543,611 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Telecommunications(continued) |
||||||||||||||||
Level 3 Communications, Inc., |
||||||||||||||||
Term Loan A |
2.65 | % | 03/13/14 | $ | 5,850 | $ | 5,515,468 | |||||||||
Term Loan B2 |
5.75 | % | 09/03/18 | 6,462 | 6,284,385 | |||||||||||
Term Loan B3 |
5.75 | % | 08/31/18 | 3,470 | 3,374,876 | |||||||||||
MetroPCS Wireless, Inc. Term Loan B |
4.03 | % | 03/16/18 | 12,609 | 12,268,935 | |||||||||||
NeuStar, Inc. Term Loan B |
5.00 | % | 11/08/18 | 2,861 | 2,866,993 | |||||||||||
NTELOS Inc., Term Loan B |
4.00 | % | 08/07/15 | 4,394 | 4,336,654 | |||||||||||
Orius Corp., |
||||||||||||||||
Term Loan A (Acquired 02/03/03-12/15/05; Cost $511,490) (d)(e)(f)(i) |
6.75 | % | 01/23/09 | 810 | 0 | |||||||||||
Term Loan B1(Acquired 02/03/03-09/12/08; Cost $350,459) (d)(e)(f)(i) |
7.25 | % | 01/23/10 | 600 | 0 | |||||||||||
PAETEC Holding Corp. Term Loan |
5.75 | % | 05/31/18 | 1,278 | 1,271,308 | |||||||||||
Securus Technologies Holdings, Inc., Term Loan |
5.25 | % | 05/31/17 | 3,122 | 3,083,399 | |||||||||||
Syniverse Technologies, Inc., Term Loan B |
5.25 | % | 12/21/17 | 2,701 | 2,701,631 | |||||||||||
TowerCo Finance LLC, Term Loan B |
5.25 | % | 02/02/17 | 1,154 | 1,156,199 | |||||||||||
U.S. TelePacific Corp., Term Loan B |
5.75 | % | 02/23/17 | 1,330 | 1,265,816 | |||||||||||
West Corp. Term Loan B5 |
4.63 | % | 07/15/16 | 2,833 | 2,817,140 | |||||||||||
Yankee Cable Acquisition, LLC, Term Loan B1 |
6.50 | % | 08/26/16 | 4,965 | 4,896,713 | |||||||||||
71,208,509 | ||||||||||||||||
Utilities6.98% |
||||||||||||||||
AES Corp., Term Loan |
4.25 | % | 06/01/18 | 5,495 | 5,450,580 | |||||||||||
BRSP, LLC, Term Loan B |
7.50 | % | 06/04/14 | 4,767 | 4,767,432 | |||||||||||
Calpine Corp. Term Loan |
4.50 | % | 04/02/18 | 5,721 | 5,564,661 | |||||||||||
FirstLight Power Resources, Inc., |
||||||||||||||||
Second Lien Term Loan |
4.81 | % | 05/01/14 | 2,085 | 1,902,660 | |||||||||||
Term Loan B |
2.81 | % | 11/01/13 | 1,530 | 1,480,602 | |||||||||||
Great Point Power, Term Loan B1 |
4.25 | % | 03/10/17 | 329 | 322,420 | |||||||||||
Longview Power LLC, |
||||||||||||||||
Extended Term Loan B |
6.13 | % | 10/31/17 | 4,767 | 4,158,917 | |||||||||||
Synthetic LOC |
3.88 | % | 02/28/14 | 733 | 665,500 | |||||||||||
Mach Gen, LLC, LOC |
2.37 | % | 02/22/13 | 187 | 169,943 | |||||||||||
NRG Energy, Inc., Term Loan B |
4.00 | % | 07/02/18 | 5,620 | 5,591,575 | |||||||||||
Primary Energy Operations LLC, Term Loan |
6.50 | % | 10/23/14 | 2,411 | 2,362,553 | |||||||||||
Star West Generation LLC, Term Loan B |
6.00 | % | 05/14/18 | 6,458 | 6,296,467 | |||||||||||
Texas Competitive Electric Holdings Co., LLC, |
||||||||||||||||
Extended Term Loan |
4.75 | % | 10/10/17 | 220 | 144,245 | |||||||||||
Term Loan |
3.76 | % | 10/10/14 | 21,313 | 15,558,529 | |||||||||||
TPF Generation Holdings LLC, Second Lien Term Loan C |
4.62 | % | 12/15/14 | 4,700 | 4,410,174 | |||||||||||
58,846,258 | ||||||||||||||||
Total Variable Rate Senior Loan Interests (Cost $1,181,761,648) |
1,081,686,287 | |||||||||||||||
Notes7.47% |
||||||||||||||||
Airlines0.13% |
||||||||||||||||
Continental Airlines Inc. (k) |
6.75 | % | 09/15/15 | 1,110 | 1,112,775 | |||||||||||
Building & Development0.06% |
||||||||||||||||
Realogy Corp. (k) |
7.88 | % | 02/15/19 | 593 | 501,085 | |||||||||||
Cable & Satellite Television0.56% |
||||||||||||||||
AMC Networks Inc. (k) |
7.75 | % | 07/15/21 | 379 | 399,845 | |||||||||||
UPC Broadband Holdings, B.V. (Cayman Islands) |
7.25 | % | 11/15/21 | 4,466 | 4,314,931 | |||||||||||
4,714,776 | ||||||||||||||||
Chemicals & Plastics0.20% |
||||||||||||||||
Lyondell Chemical Co. |
11.00 | % | 05/01/18 | 1,572 | 1,692,691 | |||||||||||
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Conglomerates0.42% |
||||||||||||||||
Goodman Networks, Inc. |
12.13 | % | 07/01/18 | $ | 3,650 | $ | 3,513,125 | |||||||||
Containers & Glass Products1.33% |
||||||||||||||||
Berry Plastics Holding Corp. (l) |
5.15 | % | 02/15/15 | 6,240 | 6,154,200 | |||||||||||
Reynolds Group Holdings Ltd. |
7.88 | % | 08/15/19 | 4,997 | 5,046,970 | |||||||||||
11,201,170 | ||||||||||||||||
Forest Products0.48% |
||||||||||||||||
Verso Paper Holdings, LLC |
11.50 | % | 07/01/14 | 2,964 | 3,067,740 | |||||||||||
Verso Paper Holdings, LLC (l) |
4.18 | % | 08/01/14 | 1,500 | 975,000 | |||||||||||
4,042,740 | ||||||||||||||||
Healthcare0.84% |
||||||||||||||||
Apria Healthcare Group, Inc. (k) |
11.25 | % | 11/01/14 | 6,167 | 6,135,833 | |||||||||||
HCA, Inc. |
6.50 | % | 02/15/20 | 979 | 976,553 | |||||||||||
7,112,386 | ||||||||||||||||
Home Furnishings0.09% |
||||||||||||||||
Targus Group International, Inc. (Acquired 12/16/09-12/14/10; Cost $2,251,964) (c) (k) |
10.00 | % | 12/15/15 | 745 | 745,446 | |||||||||||
Surface Transport0.19% |
||||||||||||||||
Avis Budget Car Rental, LLC |
7.75 | % | 05/05/16 | 572 | 569,140 | |||||||||||
Avis Budget Car Rental, LLC |
9.63 | % | 03/15/18 | 1,010 | 1,020,100 | |||||||||||
1,589,240 | ||||||||||||||||
Telecommunications0.36% |
||||||||||||||||
Paetec Holding Corp. |
8.88 | % | 06/30/17 | 756 | 810,810 | |||||||||||
PaetecHolding Corp. |
9.88 | % | 12/01/18 | 2,114 | 2,261,980 | |||||||||||
3,072,790 | ||||||||||||||||
Utilities2.81% |
||||||||||||||||
Calpine Corp. (k) |
7.88 | % | 01/15/23 | 4,636 | 4,797,747 | |||||||||||
Calpine Corp. |
7.25 | % | 10/15/17 | 3,208 | 3,264,140 | |||||||||||
Calpine Corp. (k) |
7.50 | % | 02/15/21 | 5,468 | 5,604,699 | |||||||||||
NRG Energy, Inc. |
7.63 | % | 05/15/19 | 7,920 | 7,563,600 | |||||||||||
Windstream Corp. |
7.50 | % | 06/01/22 | 2,565 | 2,443,162 | |||||||||||
23,673,348 | ||||||||||||||||
Total Notes (Cost $62,632,530) |
62,971,572 | |||||||||||||||
Structured Products2.57% |
||||||||||||||||
Apidos CDO Ltd. (Cayman Islands)(k) (l) |
4.01 | % | 01/20/19 | 1,040 | 628,888 | |||||||||||
Ares XI CLO Ltd. (l) |
3.39 | % | 10/11/21 | 1,851 | 1,203,150 | |||||||||||
Atrium CDO Corp. |
9.18 | % | 06/08/19 | 268 | 238,520 | |||||||||||
BALL Hilton (l) |
2.00 | % | 11/15/15 | 11,823 | 10,462,960 | |||||||||||
Columbus Nova CLO Ltd. (l) |
4.06 | % | 05/16/19 | 1,431 | 872,910 | |||||||||||
Flagship CLO (l) |
5.09 | % | 06/10/21 | 755 | 475,865 | |||||||||||
Halcyon Loan Investors CLO Ltd. (k) (l) |
4.02 | % | 04/24/21 | 1,009 | 585,220 | |||||||||||
ING Investment Management CLO Ltd. (k) (l) |
3.90 | % | 12/13/20 | 3,038 | 1,853,180 | |||||||||||
Madison Park Funding I Ltd. (k) (l) |
3.96 | % | 03/22/21 | 3,176 | 2,167,704 | |||||||||||
Pacifica CDO Ltd. (l) |
4.21 | % | 08/15/21 | 1,247 | 748,200 | |||||||||||
Sierra CLO Ltd. (k) (l) |
3.92 | % | 01/22/21 | 1,829 | 1,092,279 | |||||||||||
Silverado CLO Ltd. (l) |
4.15 | % | 10/16/20 | 2,210 | 1,331,525 | |||||||||||
Total Structured Products (Cost $24,364,220) |
21,660,401 | |||||||||||||||
Shares | Value | |||||||
Common Stocks & Other Equity Interests1.59% |
||||||||
Aerospace & Defense0.01% |
||||||||
IAP Worldwide Services, Inc. Series A, Wts. expiring 06/11/15 (Acquired 06/18/08; Cost $0) (h) (k) |
39,841 | $ | 123,507 | |||||
IAP Worldwide Services, Inc. Series B, Wts. expiring 06/11/15 (Acquired 06/18/08; Cost $0) (h) (k) |
11,669 | 0 | ||||||
IAP Worldwide Services, Inc. Series C, Wts. expiring 06/11/15 (Acquired 06/18/08; Cost $0) (h) (k) |
5,907 | 0 | ||||||
123,507 | ||||||||
Building & Development0.43% |
||||||||
Axia Acquisition Corp. (g)(h)(k) |
595 | 1,488,675 | ||||||
Building Materials Holding Corp. (h)(k) |
923,526 | 1,000,179 | ||||||
Lake at Las Vegas Joint Venture, LLC Class A (Acquired 07/15/10; Cost $7,937,680) (h) (k) |
780 | 106,796 | ||||||
Lake at Las Vegas Joint Venture, LLC Class B (Acquired 07/15/10; Cost $93,970) (h) (k) |
9 | 1,267 | ||||||
Lake at Las Vegas Joint Venture, LLC Class C, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h) (k) |
39 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class D, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h) (k) |
54 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class E, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h) (k) |
60 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class F, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h) (k) |
67 | 0 | ||||||
Lake at Las Vegas Joint Venture, LLC Class G, Wts., expiring 07/15/15 (Acquired 07/15/10; Cost $0) (h) (k) |
76 | 0 | ||||||
Newhall Holding Co., LLC (h) |
343,321 | 394,819 | ||||||
WCI Communities, Inc. (h) |
6,756 | 675,600 | ||||||
3,667,336 | ||||||||
Business Equipment & Services0.00% |
||||||||
Comdisco Holdings Co., Inc. (h) (k) |
7 | 39 | ||||||
Conglomerates0.14% |
||||||||
Euramax International, Inc. (h)(k) |
4,207 | 1,156,952 | ||||||
Cosmetics & Toiletries0.18% |
||||||||
Marietta Intermediate Holding Corp. (Acquired 09/25/06; Cost $2,287,974) (h) (k) |
2,023,400 | 1,497,316 | ||||||
Marietta Intermediate Holding Corp. Wts., expiring 02/20/19 (Acquired 12/22/04; Cost
$0) (h) (k) |
247,917 | 0 | ||||||
1,497,316 | ||||||||
Ecological Services & Equipment0.12% |
||||||||
Environmental Systems Products Holdings, Inc. (Acquired 09/12/07; Cost $0) (h) (k) |
9,333 | 1,026,630 | ||||||
Financial Intermediaries0.00% |
||||||||
RJO Holdings Corp. (k) |
1,482 | 14,816 | ||||||
RJO Holdings Corp. Class A (k) |
1,142 | 571 | ||||||
RJO Holdings Corp. Class B (k) |
1,667 | 833 | ||||||
16,220 | ||||||||
Home Furnishings0.01% |
||||||||
Generation Brands LLC (k) |
4,863 | 0 | ||||||
Targus Group International, Inc. (Acquired 12/16/09; Cost $0) (h)(k) |
27,462 | 78,816 | ||||||
78,816 | ||||||||
Leisure Goods, Activities & Movies0.15% |
||||||||
MEGA Brands Inc. |
27,683 | 238,303 | ||||||
True Temper Sports, Inc., (Acquired 12/16/09; Cost $4,287,500) (h) (k) |
121,429 | 1,000,575 | ||||||
1,238,878 | ||||||||
Shares | Value | |||||||
Lodging & Casinos0.09% |
||||||||
Wembley, Inc. Class A (h) |
134,134 | $ | 788,037 | |||||
Wembley, Inc. Class B (h) |
1,250 | 5,000 | ||||||
793,037 | ||||||||
Oil & Gas0.13% |
||||||||
Vitruvian Exploration LLC (h) |
40,110 | 1,072,942 | ||||||
Publishing0.10% |
||||||||
Affiliated Media, Inc. (h) |
46,746 | 771,303 | ||||||
Cygnus Business Media, Inc.(Acquired 07/19/04; Cost $1,251,821)(g)(h)(k) |
5,882 | 0 | ||||||
Endurance Business Media, Inc. Class A (g)(h) |
8,863 | 88,633 | ||||||
F&W Publications, Inc. (h) |
15,519 | 0 | ||||||
F&W Publications, Inc. Wts., expiring 06/09/14 (h) |
2,291 | 0 | ||||||
MC Communications, LLC (Acquired 07/02/09; Cost $0) (h) (k) |
333,084 | 0 | ||||||
SuperMedia, Inc. (h) |
2,333 | 4,573 | ||||||
864,509 | ||||||||
Radio & Television0.00% |
||||||||
Cumulus Media, Inc. Wts., expiring 06/29/19 (Acquired 01/14/10; Cost $0) (h)(k) |
7,614 | 14,238 | ||||||
Specialty Chemicals0.21% |
||||||||
LyondellBasell Industries N.V. (Netherlands) Class A |
53,283 | 1,740,756 | ||||||
Telecommunications0.01% |
||||||||
CTM Media Holdings, Inc. Class B (h) |
2,544 | 5,342 | ||||||
IDT Corp. Class B (h) |
7,632 | 99,216 | ||||||
104,558 | ||||||||
Utilities0.01% |
||||||||
Genie Energy Ltd. Class B, |
7,632 | 55,179 | ||||||
Total Common
Stocks & Other Equity Interests (Cost $45,085,369) |
13,450,913 | |||||||
Preferred Stocks0.04% |
||||||||
Ecological Services & Equipment0.04% |
||||||||
Environmental Systems Products Holdings, Inc. (Acquired 09/12/07; Cost $53,400) (k) |
2,136 | 346,032 | ||||||
Financial Intermediaries0.00% |
||||||||
RTS Investor Corp. |
324 | 22,711 | ||||||
Total
Preferred Stocks (Cost $53,400) |
368,743 | |||||||
Time Deposits1.36% |
||||||||
State Street Bank & Trust
Co. ($11,470,753 principal,
0.01% coupon, dated 11/30/11,
to be sold on 12/01/11 at
$11,470,756)
(Cost $11,470,753) |
11,470,753 | |||||||
TOTAL
INVESTMENTS141.33% (Cost $1,325,367,920) |
1,191,608,669 | |||||||
BORROWINGS(16.37)% |
(138,000,000 | ) | ||||||
PREFERRED SHARES(23.72)% |
(200,000,000 | ) | ||||||
OTHER ASSETS LESS LIABILITIES(1.24)% |
(10,509,943 | ) | ||||||
NET ASSETS APPLICABLE TO COMMON SHARES100.00% |
$ | 843,098,726 | ||||||
CDO
|
Collateralized Debt Obligation | |
LOC
|
Letter of Credit | |
PIK
|
Payment in Kind | |
REIT
|
Real Estate Investment Trust | |
Wts.
|
Warrants |
(a) | Senior secured corporate loans and senior secured debt securities are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended and may be subject to contractual and legal restrictions on sale. Senior secured corporate loans and senior secured debt securities in the Funds portfolio generally have variable rates which adjust to a base, such as the London Inter-Bank Offered Rate (LIBOR), on set dates, typically every 30 days but not greater than one year; and/or have interest rates that float at a margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. | |
(b) | Senior secured floating rate interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior secured floating rate interests will have an expected average life of three to five years. | |
(c) | All or a portion of this security is Payment-in-Kind. | |
(d) | This borrower is currently in liquidation. | |
(e) | The borrower has filed for protection in federal bankruptcy court. | |
(f) | Defaulted security. Currently, the issuer is in default with respect to interest payments. The aggregate value of these securities at November 30, 2011 was $20,752,183 and represented 2.46% of the Trusts Net Assets applicable to common shares. | |
(g) | Affiliated company. As defined by the Investment Company Act of 1940, an affiliated company is one in which the Trust owns 5% or more of the outstanding voting securities or a company which is under common ownership or control. | |
(h) | Non-income producing securities acquired through the restructuring of senior loans. | |
(i) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(j) | All or a portion of this holding is subject to unfunded loan commitments. See Note 5. | |
(k) | 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 November 30, 2011 was $33,481,943, which represented 3.97% of the Trusts Net Assets applicable to common shares. | |
(l) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on November 30, 2011. |
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. | |
Securities, including restricted securities, are valued according to the following policy. A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market (but not securities reported on the NASDAQ Stock Exchange) are valued based on the prices furnished by independent pricing services, in which case the securities may be considered fair valued, or by market makers. Each security reported on the NASDAQ Stock Exchange is valued at the NASDAQ Official Closing Price (NOCP) as of the close of the customary trading session on the valuation date or absent a NOCP, at the closing bid price. | ||
Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and the ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (NYSE). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trade is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. |
A. | Security Valuations (continued) Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | |
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trusts officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a securitys fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuers assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
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. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. 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. | |
The Trust may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Trusts net asset value and, accordingly, they reduce the Trusts total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Trust and the investment adviser. | ||
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 |
E. | Foreign Currency Translations (continued) 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. | |
The Trust may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
F. | Foreign Currency Contracts The Trust may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Trust may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to lock in the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Trust owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
G. | 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. | |
Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or swapped between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a basket of securities representing a particular index. | ||
A CDS is an agreement between two parties (Counterparties) to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Trust as a protection buyer would cease paying its fixed payment, the Trust would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the par value, of the referenced obligation to the Trust. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Trust as a protection seller would cease to receive the fixed payment stream, the Trust would pay the buyer par value or the full notional value of the referenced obligation, and the Trust would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Trust receives the fixed payment over the life of the agreement. As the seller, the Trust would effectively add leverage to its portfolio because, in addition to its total net assets, the Trust would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Trust may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Trust may obtain only limited recovery or may obtain no recovery in such circumstances. | ||
Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied 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. |
G. | Swap Agreements (continued) Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Trust accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Trust segregates liquid securities having a value at least equal to the amount of the potential obligation of a Trust under any swap transaction. The Trusts maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Trust and the counterparty and by the posting of collateral by the counterparty to cover the Trusts exposure to the counterparty. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | |
H. | Industry Concentration To the extent that the Trust is concentrated in securities of issuers in the banking and financial services industries, the Trusts 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. | |
I. | Leverage Risk The Trust may utilize leverage to seek to enhance the yield of the Trust by borrowing or issuing preferred shares. There are risks 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 Trusts leverage strategy will be successful. | |
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. | |
The Trust invests in Corporate Loans from U.S. or non-U.S. companies (the Borrowers). The investment of the Trust in a Corporate Loan may take the form of participation interests or assignments. If the Trust purchases a participation interest from a syndicate of lenders (Lenders) or one of the participants in the syndicate (Participant), one or more of which administers the loan on behalf of all the Lenders (the Agent Bank), the Trust would be required to rely on the Lender that sold the participation interest not only for the enforcement of the Trusts rights against the Borrower but also for the receipt and processing of payments due to the Trust under the Corporate Loans. As such, the Trust is subject to the credit risk of the Borrower and the Participant. Lenders and Participants interposed between the Trust and a Borrower, together with Agent Banks, are referred to as Intermediate Participants. | ||
K. | 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 Trust has unsettled or open transactions may fail to or be unable to perform on its commitments. The Trust manages 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. |
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 | |||||||||||||
Variable Rate Senior Loan Interests |
$ | | $ | 1,081,562,520 | $ | 123,767 | $ | 1,081,686,287 | ||||||||
Notes |
| 62,226,126 | 745,446 | 62,971,572 | ||||||||||||
Structured Products |
| 21,660,401 | | 21,660,401 | ||||||||||||
Equity Securities |
2,143,407 | 7,495,310 | 4,180,939 | 13,819,656 | ||||||||||||
Time Deposits |
| 11,470,753 | | 11,470,753 | ||||||||||||
$ | 2,143,407 | $ | 1,184,415,110 | $ | 5,050,152 | $ | 1,191,608,669 | |||||||||
Swap Agreements* |
| (101,451 | ) | | (101,451 | ) | ||||||||||
Unfunded Commitments* |
| (4,611,963 | ) | | (4,611,963 | ) | ||||||||||
Total Investments |
$ | 2,143,407 | $ | 1,179,701,696 | $ | 5,050,152 | $ | 1,186,895,255 | ||||||||
* | Unrealized appreciation (depreciation). |
Value | ||||||||||||||||||||||||||||||
Implied | Notional | Unrealized | ||||||||||||||||||||||||||||
Buy/Sell | (Pay)/Receive | Expiration | Credit | Amount | Upfront | Appreciation | ||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Fixed Rate | Date | Spread(a) | (000) | Payments | (Depreciation) | ||||||||||||||||||||||
Goldman Sachs International |
Texas Competitive Electric Holdings Co. LLC | Sell | 5.000 | % | 03/20/12 | 11.97 | % | $ | 5,000 | $ | 112,500 | $ | (101,451 | ) |
(a) | Implied credit spreads represent 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. |
Change in | ||||||||||||||||||||||||||||
Unrealized | Realized | |||||||||||||||||||||||||||
Value | Purchases at | Proceeds from | Appreciation | Gain | Value | Dividend | ||||||||||||||||||||||
02/28/11 | Cost | Sales | (Depreciation) | (Loss) | 11/30/11 | Income | ||||||||||||||||||||||
Axia Acquisition
Corp. Second Lien
Term Loan A |
$ | 932,280 | $ | 47,325 | $ | | $ | (148,954 | ) | $ | | $ | 830,651 | $ | 56,397 | |||||||||||||
Axia Acquisition
Corp. Second Lien
Term Loan B |
1,610,962 | | | (124,658 | ) | | 1,486,304 | 82,971 | ||||||||||||||||||||
Axia Acquisition
Holdings, Inc.
Common Shares |
1,488,675 | | | | | 1,488,675 | | |||||||||||||||||||||
Cygnus Business
Media, Inc.
Common Shares |
0 | | | | | 0 | | |||||||||||||||||||||
Cygnus Business
Media, Inc. Term
Loan |
2,485,658 | | (30,287 | ) | (679,725 | ) | 398 | 1,776,044 | 258,489 | |||||||||||||||||||
Endurance Business
Media, Inc.
Common Shares |
88,633 | | | | | 88,633 | | |||||||||||||||||||||
Endurance Business
Media, Inc. First
Lien Term Loan |
1,137,171 | | (28,506 | ) | (58,581 | ) | (8,939 | ) | 1,041,145 | 210,849 | ||||||||||||||||||
Total |
$ | 7,743,379 | $ | 47,325 | $ | (58,793 | ) | $ | (1,011,918 | ) | (8,541 | ) | $ | 6,711,452 | $ | 608,706 | ||||||||||||
Unrealized | ||||||||||
Unfunded | Appreciation | |||||||||
Borrower | Type | Commitments | (Depreciation) | |||||||
Axia Acquisition Corp. |
Revolver | $ | 2,062,007 | $ | (257,751 | ) | ||||
Bright Horizons Family Solutions |
Revolver | 5,504,000 | (254,670 | ) | ||||||
Cannery Casino Resort, LLC |
Revolver | 445,455 | (40,091 | ) | ||||||
Catalent Pharma Solutions |
Revolver | 2,500,000 | (185,475 | ) | ||||||
Delta Air Lines, Inc. |
Revolver | 2,500,000 | (160,000 | ) | ||||||
Education Management LLC |
Extended Revolver | 3,000,000 | (339,705 | ) | ||||||
GateHouse Media Operating, Inc. |
Revolver | 1,000,000 | (150,000 | ) | ||||||
General Motors Holdings |
Revolver | 10,576,720 | (1,374,974 | ) | ||||||
Graphic Packaging International, Inc. |
Revolver | 5,000,000 | (200,000 | ) | ||||||
Hunter Fan Co. |
Revolver | 708,333 | (92,083 | ) | ||||||
Lake at Las Vegas Joint Venture |
Exit Revolver | 31,759 | (317 | ) | ||||||
Lake at Las Vegas Joint Venture |
Term Loan | 42,520 | 28 | |||||||
Pinnacle Foods Holdings Corp. |
Revolver | 7,000,000 | (560,000 | ) | ||||||
Surgical Care Affiliates, Inc. |
Extended Revolver | 3,000,000 | (450,000 | ) | ||||||
TricorBraun, Inc. |
Revolver | 2,500,000 | (146,925 | ) | ||||||
USI Holdings Corp. |
Revolver | 3,333,333 | (400,000 | ) | ||||||
$ | 49,204,127 | $ | (4,611,963 | ) | ||||||
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities |
$ | 6,407,104 | ||
Aggregate unrealized (depreciation) of investment securities |
(149,564,567 | ) | ||
Net unrealized appreciation (depreciation) of investment securities |
$ | (143,157,463 | ) | |
Cost of investments for tax purposes is $1,334,766,132. |
(a) | As of December 15, 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 December 15, 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. |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
January 27, 2012 |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
January 27, 2012 | |||
By:
|
/s/ Sheri Morris
|
|||
Principal Financial Officer | ||||
Date:
|
January 27, 2012 |