Weighted | ||||||||||||||
Principal | Average | |||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (2) | Ratings (3) | Value | |||||||||
Variable Rate
Senior Loan Interests 116.2% (85.3% of Total Investments) (4) |
||||||||||||||
Aerospace
& Defense 0.9% (0.7% of Total Investments) |
||||||||||||||
$ | 168 | Hawker Beechcraft, LC Facility, WI/DD |
TBD | TBD | B- | $ | 133,240 | |||||||
2,832 | Hawker Beechcraft, Term Loan, WI/DD |
TBD | TBD | B- | 2,251,760 | |||||||||
2,300 | Transdigm, Inc., Term Loan B |
2.289% | 6/23/13 | Ba2 | 2,211,698 | |||||||||
5,300 | Total Aerospace & Defense |
4,596,698 | ||||||||||||
Airlines 2.2% (1.6% of Total Investments) |
||||||||||||||
2,504 | ACTS Aero Technical Support & Services, Inc., Term Loan, (6) |
6.534% | 10/16/14 | N/R | 707,280 | |||||||||
1,960 | Delta Air Lines, Inc., Credit Linked Deposit |
2.284% | 4/30/12 | Ba2 | 1,775,025 | |||||||||
4,332 | Delta Air Lines, Inc., Term Loan, DD1 |
3.534% | 4/30/14 | B | 3,651,465 | |||||||||
6,066 | United Air Lines, Inc., Term Loan B |
2.313% | 2/01/14 | B+ | 4,781,175 | |||||||||
14,862 | Total Airlines |
10,914,945 | ||||||||||||
Auto Components 2.0% (1.5% of Total Investments) |
||||||||||||||
7,499 | Federal-Mogul Corporation, Tranche B, Term Loan |
2.188% | 12/29/14 | Ba3 | 5,778,551 | |||||||||
4,266 | Federal-Mogul Corporation, Tranche C, Term Loan |
2.188% | 12/28/15 | Ba3 | 3,287,719 | |||||||||
1,000 | Goodyear Tire & Rubber Company, Term Loan |
2.340% | 4/30/14 | Ba1 | 916,786 | |||||||||
12,765 | Total Auto Components |
9,983,056 | ||||||||||||
Automobiles 1.5% (1.1% of Total Investments) |
||||||||||||||
8,467 | Ford Motor Company, Term Loan, DD1 |
3.288% | 12/15/13 | B1 | 7,567,808 | |||||||||
Building Products 3.0% (2.2% of Total Investments) |
||||||||||||||
1,628 | Atrium Companies, Inc., Term Loan |
11.750% | 5/31/12 | Caa3 | 813,926 | |||||||||
5,000 | Building Materials Corporation of America, Term Loan, Second Lien |
6.063% | 9/15/14 | Caa2 | 4,400,000 | |||||||||
7,766 | Building Materials Corporation of America, Term Loan |
3.000% | 2/22/14 | B+ | 7,189,587 | |||||||||
3,921 | TFS Acquisition, Term Loan |
14.000% | 8/11/13 | CCC+ | 2,617,164 | |||||||||
18,315 | Total Building Products |
15,020,677 | ||||||||||||
Chemicals 4.5% (3.4% of Total Investments) |
||||||||||||||
1,400 | Celanese US Holdings LLC, Credit Linked Deposit |
0.246% | 4/02/14 | BB+ | 1,315,563 | |||||||||
549 | Hercules Offshore, Inc., Term Loan |
8.500% | 7/11/13 | B | 530,159 | |||||||||
5,994 | Hexion Specialty Chemicals, Inc., Term Loan C1 |
2.563% | 5/05/13 | B1 | 4,765,194 | |||||||||
1,302 | Hexion Specialty Chemicals, Inc., Term Loan C2 |
2.563% | 5/05/13 | B1 | 1,035,136 | |||||||||
3,616 | Huntsman International LLC, Term Loan |
1.994% | 4/19/14 | Ba2 | 3,311,359 | |||||||||
3,728 | Ineos US Finance LLC, Tranche B2 |
7.501% | 12/16/13 | B- | 3,198,679 | |||||||||
3,728 | Ineos US Finance LLC, Tranche C2 |
8.001% | 12/16/14 | B- | 3,198,679 | |||||||||
24 | LyondellBasell Finance Company, Dutch Revolving Line of Credit, (5) |
3.744% | 12/20/13 | N/R | 14,061 | |||||||||
56 | LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (5) |
3.744% | 12/20/13 | N/R | 32,246 | |||||||||
70 | LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (5) |
3.994% | 12/22/14 | N/R | 40,369 | |||||||||
70 | LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (5) |
3.994% | 12/20/14 | N/R | 40,369 | |||||||||
70 | LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (5) |
3.994% | 12/22/14 | N/R | 40,369 | |||||||||
91 | LyondellBasell Finance Company, Revolving Line of Credit, (5) |
3.744% | 12/20/13 | N/R | 52,730 | |||||||||
538 | LyondellBasell Finance Company, Roll-Up DIP Term Loan, (5) |
5.798% | 2/03/10 | N/R | 511,742 | |||||||||
173 | LyondellBasell Finance Company, US Tranche A, Term Loan, (5) |
3.744% | 12/20/13 | N/R | 100,466 | |||||||||
302 | LyondellBasell Finance Company, US Tranche B1, Term Loan, (5) |
7.000% | 12/22/14 | N/R | 174,417 | |||||||||
302 | LyondellBasell Finance Company, US Tranche B2, Term Loan, (5) |
7.000% | 12/22/14 | N/R | 174,417 | |||||||||
302 | LyondellBasell Finance Company, US Tranche B3, Term Loan, (5) |
7.000% | 12/22/14 | N/R | 174,417 | |||||||||
733 | Solutia, Inc., Term Loan |
7.250% | 2/28/14 | Ba3 | 745,188 | |||||||||
3,786 | Univar, Inc., Term Loan |
3.243% | 10/10/14 | B+ | 3,457,215 | |||||||||
26,834 | Total Chemicals |
22,912,775 | ||||||||||||
Commercial Services & Supplies 2.1% (1.5% of Total Investments) |
||||||||||||||
4,367 | Rental Services Corporation, Term Loan |
3.817% | 11/27/13 | B- | 3,962,804 | |||||||||
361 | ServiceMaster Company, Delayed Term Loan |
2.750% | 7/24/14 | B+ | 322,095 | |||||||||
3,628 | ServiceMaster Company, Term Loan |
2.769% | 7/24/14 | B+ | 3,234,366 | |||||||||
2,326 | West Corporation, Term Loan B4 |
4.119% | 6/30/16 | BB- | 2,191,296 | |||||||||
1,002 | Workflow Holdings Corporation, Term Loan |
9.500% | 11/30/11 | Caa1 | 746,142 | |||||||||
11,684 | Total Commercial Services & Supplies |
10,456,703 | ||||||||||||
Communications Equipment 2.9% (2.1% of Total Investments) |
||||||||||||||
1,926 | Aspect Software, Inc., Term Loan B |
3.313% | 7/11/11 | B1 | 1,767,295 | |||||||||
14,712 | Avaya Inc., Term Loan |
3.137% | 10/26/14 | Ba3 | 12,652,509 | |||||||||
16,638 | Total Communications Equipment |
14,419,804 | ||||||||||||
Construction Materials 0.7% (0.5% of Total Investments) |
||||||||||||||
4,000 | McJunkin Red Man Holding Corporation, Term Loan |
3.494% | 1/31/14 | B- | 3,380,000 | |||||||||
Consumer
Finance 0.1% (0.1% of Total Investments) |
||||||||||||||
1,061 | Peach Holdings, Inc., Term Loan |
4.630% | 11/30/13 | CCC- | 578,014 | |||||||||
Containers & Packaging 0.8% (0.6% of Total Investments) |
||||||||||||||
488 | Amscan Holdings, Inc., Term Loan |
2.646% | 5/27/13 | B1 | 442,812 | |||||||||
329 | Graham Packaging Company LP, Term Loan B |
2.554% | 10/07/11 | B+ | 322,125 | |||||||||
3,295 | Graham Packaging Company LP, Term Loan C |
6.750% | 4/05/14 | B+ | 3,303,575 | |||||||||
4,112 | Total Containers & Packaging |
4,068,512 | ||||||||||||
Diversified Consumer Services 1.0% (0.7% of Total Investments) |
||||||||||||||
3,838 | Cengage Learning Acquisitions, Inc., Term Loan |
2.740% | 7/05/14 | B+ | 3,339,213 | |||||||||
1,601 | West Corporation, Term Loan B2 |
2.619% | 10/24/13 | BB- | 1,473,768 | |||||||||
5,439 | Total Diversified Consumer Services |
4,812,981 | ||||||||||||
Diversified Financial Services 0.3% (0.2% of Total Investments) |
||||||||||||||
1,787 | Fox Acquisition Sub LLC, Term Loan B |
8.241% | 7/14/15 | B | 1,632,689 | |||||||||
Diversified Telecommunication Services 4.4% (3.3% of Total Investments) |
||||||||||||||
3,179 | Intelsat, Tranche B, Term Loan A |
2.746% | 1/03/14 | BB- | 3,011,066 | |||||||||
3,179 | Intelsat, Tranche B, Term Loan B |
2.746% | 1/03/14 | BB- | 3,010,146 | |||||||||
3,179 | Intelsat, Tranche B, Term Loan C |
2.746% | 1/03/14 | BB- | 3,010,146 | |||||||||
3,832 | Intelsat, Tranche B, Term Loan |
2.746% | 7/01/13 | BB- | 3,687,819 | |||||||||
6,800 | Level 3 Financing, Inc., Term Loan |
2.530% | 3/13/14 | B+ | 5,937,250 | |||||||||
3,821 | MetroPCS Wireless, Inc., Term Loan |
2.661% | 11/03/13 | Ba2 | 3,599,040 | |||||||||
23,990 | Total Diversified Telecommunication Services |
22,255,467 | ||||||||||||
Electric Utilities 3.7% (2.7% of Total Investments) |
||||||||||||||
2,222 | Calpine Corporation, DIP Revolver, (7), (8) |
0.100% | 3/31/14 | B+ | (296,297 | ) | ||||||||
10,761 | Calpine Corporation, DIP Term Loan |
3.165% | 3/29/14 | B+ | 9,921,674 | |||||||||
7,384 | TXU Corporation, Term Loan B2 |
3.745% | 10/10/14 | B+ | 5,739,765 | |||||||||
3,920 | TXU Corporation, Term Loan B3 |
3.745% | 10/10/14 | B+ | 3,018,400 | |||||||||
24,287 | Total Electric Utilities |
18,383,542 | ||||||||||||
Electrical Equipment 0.9% (0.6% of Total Investments) |
||||||||||||||
4,809 | Allison Transmission Holdings, Inc., Term Loan |
3.010% | 8/07/14 | B | 4,327,410 | |||||||||
Electronic Equipment & Instruments 0.5% (0.4% of Total Investments) |
||||||||||||||
2,962 | Sensata Technologies B.V., Term Loan |
2.031% | 4/27/13 | B | 2,550,396 | |||||||||
Energy Equipment
& Services 0.2% (0.1% of Total Investments) |
||||||||||||||
953 | PGS Finance, Inc., Term Loan |
2.030% | 6/29/15 | Ba2 | 904,077 | |||||||||
Food & Staples Retailing 0.6% (0.4% of Total Investments) |
||||||||||||||
2,000 | Rite Aid Corporation, Tranche 4, Term Loan |
9.500% | 6/10/15 | B+ | 2,073,334 | |||||||||
997 | U.S. Foodservice, Inc., Term Loan |
2.743% | 7/03/14 | B2 | 854,482 | |||||||||
2,997 | Total Food & Staples Retailing |
2,927,816 | ||||||||||||
Food Products 0.7% (0.5% of Total Investments) |
||||||||||||||
376 | Dole Food Company, Inc., Deposit-Funded Commitment |
7.345% | 4/12/13 | Ba2 | 380,030 | |||||||||
655 | Dole Food Company, Inc., Term Loan B |
7.968% | 4/12/13 | Ba2 | 662,610 | |||||||||
2,352 | Dole Food Company, Inc., Term Loan C |
8.000% | 4/12/13 | Ba2 | 2,379,885 | |||||||||
3,383 | Total Food Products |
3,422,525 | ||||||||||||
Health Care
Equipment & Supplies 0.2% (0.1% of Total Investments) |
||||||||||||||
146 | Fenwal, Inc., Delayed Term Loan |
2.622% | 2/28/14 | B | 127,579 | |||||||||
852 | Fenwal, Inc., Term Loan |
2.622% | 2/28/14 | B | 746,340 | |||||||||
998 | Total Health Care Equipment & Supplies |
873,919 | ||||||||||||
Health Care Providers & Services 11.2% (8.2% of Total Investments) |
||||||||||||||
697 | Community Health Systems, Inc., Delayed Term Loan |
2.493% | 7/25/14 | BB | 651,180 | |||||||||
13,666 | Community Health Systems, Inc., Term Loan |
2.610% | 7/25/14 | BB | 12,761,538 | |||||||||
1,549 | HCA, Inc., Term Loan A |
1.783% | 11/17/12 | BB | 1,446,953 | |||||||||
13,820 | HCA, Inc., Term Loan |
2.533% | 11/18/13 | BB | 12,897,274 | |||||||||
6,157 | Health Management Associates, Inc., Term Loan |
2.033% | 2/28/14 | BB- | 5,726,467 | |||||||||
806 | HealthSouth Corporation, Tranche 1, Term Loan |
2.550% | 3/10/13 | BB- | 769,841 | |||||||||
663 | HealthSouth Corporation, Tranche 2, Term Loan |
4.050% | 3/15/14 | BB- | 641,905 | |||||||||
1,775 | IASIS Healthcare LLC, Delayed Term Loan |
2.243% | 3/14/14 | Ba2 | 1,674,094 | |||||||||
479 | IASIS Healthcare LLC, Letter of Credit |
0.144% | 3/14/14 | Ba2 | 452,076 | |||||||||
1,084 | IASIS Healthcare LLC, PIK Term Loan |
5.531% | 6/15/14 | CCC+ | 970,081 | |||||||||
5,129 | IASIS Healthcare LLC, Term Loan |
2.243% | 3/14/14 | Ba2 | 4,837,495 | |||||||||
320 | Invacare Corporation, Term Loan B |
2.493% | 2/12/13 | BB | 305,200 | |||||||||
3,840 | LifeCare, Term Loan B |
4.540% | 8/10/12 | B2 | 3,206,400 | |||||||||
1,369 | Select Medical Corporation, Term Loan |
2.407% | 2/24/12 | Ba2 | 1,320,971 | |||||||||
8,465 | Vanguard Health Holding Company II LLC, Replacement Term Loan |
2.493% | 9/23/11 | Ba3 | 8,274,183 | |||||||||
59,819 | Total Health Care Providers & Services |
55,935,658 | ||||||||||||
Hotels, Restaurants & Leisure 8.8% (6.5% of Total Investments) |
||||||||||||||
5,226 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
2.771% | 6/08/12 | Ba3 | 4,895,323 | |||||||||
142 | Buffets, Inc., 1st Lien Exit Term Loan |
18.000% | 4/30/12 | B1 | 145,329 | |||||||||
64 | Buffets, Inc., 2nd Lien Exit Letter of Credit |
7.533% | 4/28/15 | Caa1 | 56,040 | |||||||||
315 | Buffets, Inc., 2nd Lien Exit Term Loan |
17.781% | 5/01/13 | N/R | 277,087 | |||||||||
959 | CCM Merger, Inc., Term Loan B |
8.500% | 7/13/12 | BB- | 914,721 | |||||||||
3,704 | Cedar Fair LP, Extended US Term Loan |
4.243% | 8/30/14 | BB- | 3,593,236 | |||||||||
667 | Fontainebleau
Las Vegas LLC, Delayed Term Loan, (5), (6) |
6.000% | 6/06/14 | N/R | 193,333 | |||||||||
3,333 | Fontainebleau
Las Vegas LLC, Term Loan, (5), (6) |
6.000% | 6/06/14 | N/R | 966,667 | |||||||||
639 | Isle of Capri Casinos, Inc., Delayed Term Loan A |
1.993% | 11/25/13 | B+ | 601,257 | |||||||||
726 | Isle of Capri Casinos, Inc., Delayed Term Loan B |
1.993% | 11/25/13 | B+ | 683,643 | |||||||||
1,815 | Isle of Capri Casinos, Inc., Delayed Term Loan |
2.033% | 11/25/13 | B+ | 1,709,107 | |||||||||
6,902 | Orbitz Worldwide, Inc., Term Loan |
3.279% | 7/25/14 | B+ | 6,130,063 | |||||||||
262 | OSI Restaurant Partners LLC, Revolver |
2.377% | 6/14/13 | BB- | 218,931 | |||||||||
2,232 | OSI Restaurant Partners LLC, Term Loan |
2.563% | 6/14/14 | B+ | 1,864,712 | |||||||||
1,484 | Sagittarius Restaurants LLC, Term Loan |
9.750% | 3/29/13 | B2 | 1,380,336 | |||||||||
1,955 | Travelport LLC, Delayed Term Loan |
2.781% | 8/23/13 | Ba3 | 1,782,542 | |||||||||
981 | Travelport LLC, Letter of Credit |
2.783% | 8/23/13 | Ba3 | 895,566 | |||||||||
4,891 | Travelport LLC, Term Loan |
2.781% | 8/23/13 | Ba3 | 4,463,309 | |||||||||
3,293 | Venetian Casino Resort LLC, Delayed Term Loan |
2.040% | 5/23/14 | B- | 2,687,947 | |||||||||
13,366 | Venetian Casino Resort LLC, Term Loan |
2.040% | 5/23/14 | B- | 10,909,984 | |||||||||
52,956 | Total Hotels, Restaurants & Leisure |
44,369,133 | ||||||||||||
Household Durables 0.1% (0.0% of Total Investments) |
||||||||||||||
307 | Rent-A-Center Inc., Term Loan B |
2.000% | 6/30/12 | BB+ | 301,233 | |||||||||
Household Products 1.4% (1.0% of Total Investments) |
||||||||||||||
342 | Spectrum Brands, Inc., Synthetic Letter of Credit, DD1 |
1.500% | 6/30/12 | B- | 334,910 | |||||||||
6,642 | Spectrum Brands, Inc., Term Loan, DD1 |
8.000% | 6/30/12 | B- | 6,512,277 | |||||||||
6,984 | Total Household Products |
6,847,187 | ||||||||||||
Independent Power Producers & Energy Traders 1.2% (0.9% of Total Investments) |
||||||||||||||
2,268 | NRG Energy, Inc., Credit Linked Deposit |
2.033% | 2/01/13 | Baa3 | 2,139,388 | |||||||||
4,217 | NRG Energy, Inc., Term Loan |
2.021% | 2/01/13 | Baa3 | 3,978,306 | |||||||||
6,485 | Total Independent Power Producers & Energy Traders |
6,117,694 | ||||||||||||
Insurance 2.4% (1.8% of Total Investments) |
||||||||||||||
13,322 | Conseco, Inc., Term Loan |
6.500% | 10/10/13 | Caa1 | 12,067,561 | |||||||||
Internet Software
& Services 0.6% (0.5% of Total Investments) |
||||||||||||||
768 | Open Solutions, Inc., Term Loan B |
2.405% | 1/23/14 | BB- | 623,507 | |||||||||
3,000 | Sabre, Inc., Term Loan |
2.494% | 9/30/14 | B1 | 2,604,375 | |||||||||
3,768 | Total Internet Software & Services |
3,227,882 | ||||||||||||
IT Services 4.8% (3.6% of Total Investments) |
||||||||||||||
9,623 | First Data Corporation, Term Loan B2 |
3.036% | 9/24/14 | B+ | 8,274,701 | |||||||||
5,957 | First Data Corporation, Term Loan B3, DD1 |
3.036% | 9/24/14 | B+ | 5,114,419 | |||||||||
1,671 | Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan |
4.000% | 7/28/12 | B+ | 1,474,227 | |||||||||
367 | Infor
Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien |
6.493% | 3/02/14 | CCC+ | 254,833 | |||||||||
633 | Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien |
6.493% | 3/02/14 | CCC+ | 433,833 | |||||||||
3,202 | Infor Global Solutions Intermediate Holdings, Ltd., Term Loan |
4.000% | 7/28/12 | B+ | 2,825,602 | |||||||||
6,219 | SunGard Data Systems, Inc., Term Loan B |
1.994% | 2/28/14 | BB | 5,855,467 | |||||||||
27,672 | Total IT Services |
24,233,082 | ||||||||||||
Leisure Equipment & Products 2.3% (1.7% of Total Investments) |
||||||||||||||
13,840 | Bombardier Recreational Products, Inc., Term Loan, DD1 |
3.000% | 6/28/13 | Caa1 | 9,722,786 | |||||||||
5,000 | Wimar
OpCo LLC, Term Loan, (5), (6) |
6.500% | 1/03/12 | N/R | 1,597,915 | |||||||||
18,840 | Total Leisure Equipment & Products |
11,320,701 | ||||||||||||
Machinery 0.6% (0.4% of Total Investments) |
||||||||||||||
2,927 | Oshkosh Truck Corporation, Term Loan |
6.316% | 12/06/13 | BB- | 2,929,102 | |||||||||
Media 19.2% (14.1% of Total Investments) |
||||||||||||||
1 | American Media Operations, Inc., Term Loan |
10.000% | 1/30/13 | B- | 1,166 | |||||||||
5,823 | Cequel Communications LLC, Term Loan B |
2.244% | 11/05/13 | BB- | 5,575,053 | |||||||||
3,000 | Charter Communications Operating Holdings LLC, Holdco Term Loan |
6.750% | 3/06/14 | Ba2 | 2,596,500 | |||||||||
17,040 | Charter Communications Operating Holdings LLC, Term Loan, DD1 |
6.250% | 3/06/14 | Ba2 | 15,537,028 | |||||||||
2,000 | Citadel
Broadcasting Corporation, Term Loan, WI/DD, (13) |
TBD | TBD | CCC- | 1,377,500 | |||||||||
1,716 | Gray Television, Inc., Term Loan B |
6.790% | 12/31/14 | Caa1 | 1,479,310 | |||||||||
7,611 | Idearc,
Inc., Term Loan, (5), (6) |
4.250% | 11/17/14 | D | 3,480,614 | |||||||||
3,250 | Mediacom Broadband LLC, Tranche D, Term Loan |
5.500% | 3/31/17 | BB- | 3,266,250 | |||||||||
15,433 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
20.500% | 4/08/12 | N/R | 8,881,800 | |||||||||
2,663 | Nielsen Finance LLC, Term Loan A |
2.244% | 8/09/13 | Ba3 | 2,485,651 | |||||||||
7,542 | Nielsen Finance LLC, Term Loan B |
3.999% | 5/02/16 | Ba3 | 7,096,190 | |||||||||
4,721 | Philadelphia Newspapers, Term Loan, (5), (6) |
7.750% | 6/29/13 | N/R | 1,085,717 | |||||||||
805 | Readers Digest Association, Inc., DIP Term Loan |
13.500% | 3/01/14 | N/R | 838,444 | |||||||||
198 | Readers Digest Association, Inc., Euro Term Loan |
7.000% | 3/03/14 | N/R | 97,440 | |||||||||
551 | Readers Digest Association, Inc., Revolving Credit Loan |
4.397% | 3/02/13 | D | 271,007 | |||||||||
2,221 | Readers Digest Association, Inc., U.S. Term Loan |
4.245% | 3/03/14 | D | 1,091,385 | |||||||||
3,621 | SFX Entertainment, Inc., Term Loan |
3.513% | 6/21/13 | Ba3 | 3,349,642 | |||||||||
1,949 | Spanish Broadcasting System, Inc., Term Loan B |
2.040% | 6/10/12 | CCC+ | 1,617,255 | |||||||||
19,682 | Tribune
Company, Term Loan B, DD1, (5), (6) |
5.250% | 6/04/14 | Ca | 9,324,560 | |||||||||
2,048 | Tribune Company, Term Loan X, (5), (6) |
5.000% | 6/04/09 | Ca | 954,026 | |||||||||
23,000 | Univision Communications, Inc., Term Loan |
2.533% | 9/29/14 | B2 | 18,597,132 | |||||||||
3,000 | UPC Broadband Holding BV, Term Loan N |
1.996% | 12/31/14 | Ba3 | 2,813,751 | |||||||||
6,025 | Yell Group PLC, Term Loan |
3.283% | 10/29/12 | B | 4,338,000 | |||||||||
133,900 | Total Media |
96,155,421 | ||||||||||||
Metals & Mining 2.4% (1.8% of Total Investments) |
||||||||||||||
660 | Aleris International, Inc., DIP Term Loan, (5) |
13.000% | 2/12/10 | N/R | 691,445 | |||||||||
1,863 | Amsted Industries, Inc., Delayed Term Loan |
2.480% | 4/05/13 | BB | 1,709,397 | |||||||||
2,566 | Amsted Industries, Inc., Term Loan |
2.290% | 4/05/13 | BB | 2,354,760 | |||||||||
978 | Edgen Murray II LP, Term Loan |
3.077% | 5/11/14 | B | 845,538 | |||||||||
2,487 | Essar Steel Algoma Inc., Term Loan |
8.000% | 6/20/13 | B+ | 2,348,405 | |||||||||
4,505 | John Maneely Company, Term Loan |
3.511% | 12/08/13 | B | 4,138,678 | |||||||||
13,059 | Total Metals & Mining |
12,088,223 | ||||||||||||
Multiline
Retail 0.5% (0.4% of Total Investments) |
||||||||||||||
3,197 | Neiman Marcus Group, Inc., Term Loan |
2.292% | 4/06/13 | BB- | 2,750,107 | |||||||||
Oil, Gas & Consumable Fuels 3.3% (2.4% of Total Investments) |
||||||||||||||
2,574 | ATP Oil and Gas Corporation, Tranche B1, Term Loan, WI/DD |
TBD | TBD | N/A | 2,513,386 | |||||||||
426 | ATP Oil and Gas Corporation, Tranche B2, Term Loan, WI/DD |
TBD | TBD | N/A | 415,901 | |||||||||
1,659 | Big West Oil LLC, Delayed Term Loan, WI/DD |
TBD | TBD | Ca | 1,609,476 | |||||||||
1,320 | Big West Oil LLC, Term Loan, WI/DD |
TBD | TBD | Ca | 1,280,265 | |||||||||
1,950 | Brand Energy & Infrastructure Services, Inc.,Term Loan B |
2.308% | 2/07/14 | B1 | 1,764,750 | |||||||||
412 | Calumet Lubricants Company LP, Credit Linked Deposit |
4.134% | 1/03/15 | B1 | 369,191 | |||||||||
3,069 | Calumet Lubricants Company LP, Term Loan |
4.429% | 1/03/15 | B1 | 2,748,241 | |||||||||
2,955 | CCS Income Trust, Term Loan |
3.243% | 11/14/14 | B | 2,485,799 | |||||||||
3,500 | Venoco, Inc., Term Loan |
4.250% | 5/07/14 | BB- | 3,154,375 | |||||||||
17,865 | Total Oil, Gas & Consumable Fuels |
16,341,384 | ||||||||||||
Paper & Forest Products 0.3% (0.2% of Total Investments) |
||||||||||||||
1,960 | Wilton Products, Term Loan |
3.500% | 11/16/14 | B+ | 1,617,000 | |||||||||
Pharmaceuticals 1.7% (1.2% of Total Investments) |
||||||||||||||
2,000 | Graceway Pharmaceuticals LLC, Second Lien Term Loan |
6.743% | 5/03/13 | B- | 685,000 | |||||||||
922 | Graceway Pharmaceuticals LLC, Term Loan |
2.993% | 5/03/12 | BB | 649,892 | |||||||||
831 | Warner Chilcott Corporation, Delayed Term Loan, WI/DD |
TBD | TBD | BB+ | 833,169 | |||||||||
2,373 | Warner Chilcott Corporation, Tranche A, Term Loan, WI/DD |
TBD | TBD | BB+ | 2,380,482 | |||||||||
3,797 | Warner Chilcott Corporation, Tranche B, Term Loan, WI/DD |
TBD | TBD | BB+ | 3,808,771 | |||||||||
9,923 | Total Pharmaceuticals |
8,357,314 | ||||||||||||
Real Estate Investment Trust 0.5% (0.4% of Total Investments) |
||||||||||||||
1,000 | Tishman
Speyer Real Estate, L.P., Term Loan, (6) |
4.000% | 1/09/13 | D | 602,500 | |||||||||
1,838 | Tishman Speyer Real Estate, Liquidation Facility |
10.250% | 12/01/09 | N/R | 1,842,094 | |||||||||
2,838 | Total Real Estate Investment Trust |
2,444,594 | ||||||||||||
Real
Estate Management & Development 4.4% (3.3% of Total Investments) |
||||||||||||||
8,031 | Capital Automotive LP, Tranche C |
2.750% | 12/14/12 | Ba1 | 7,187,608 | |||||||||
12,625 | LNR Property Corporation, Term Loan B |
3.750% | 7/12/11 | B- | 10,037,236 | |||||||||
5,865 | Realogy Corporation, Delayed Term Loan |
3.286% | 10/10/13 | Caa1 | 4,931,040 | |||||||||
26,521 | Total Real Estate Management & Development |
22,155,884 | ||||||||||||
Road & Rail 5.0% (3.7% of Total Investments) |
||||||||||||||
2,486 | Avis Budget Car Rental, LLC Term Loan |
4.040% | 4/19/12 | Ba3 | 2,345,796 | |||||||||
512 | Hertz Corporation, Letter of Credit |
2.042% | 12/21/12 | Ba1 | 478,916 | |||||||||
2,789 | Hertz Corporation, Term Loan |
2.004% | 12/21/12 | Ba1 | 2,609,092 | |||||||||
22,947 | Swift Transportation Company, Inc., Term Loan |
3.563% | 5/10/14 | B- | 19,825,797 | |||||||||
28,734 | Total Road & Rail |
25,259,601 | ||||||||||||
Semiconductors & Equipment 0.5% (0.3% of Total Investments) |
||||||||||||||
2,897 | Freescale Semiconductor, Inc., Term Loan |
1.996% | 12/01/13 | B2 | 2,362,152 | |||||||||
Software
3.6% (2.7% of Total Investments) |
||||||||||||||
6,000 | Dealer Computer Services, Inc., Term Loan, Second Lien |
5.743% | 10/26/13 | B | 4,870,002 | |||||||||
7,483 | Dealer Computer Services, Inc., Term Loan |
2.243% | 10/26/12 | BB | 6,721,118 | |||||||||
7,000 | IPC Systems, Inc., Term Loan, Second Lien |
5.533% | 5/31/15 | CCC | 5,110,000 | |||||||||
1,853 | IPC Systems, Inc., Term Loan |
2.517% | 5/31/14 | B1 | 1,584,553 | |||||||||
22,336 | Total Software |
18,285,673 | ||||||||||||
Specialty Retail 5.5% (4.0% of Total Investments) |
||||||||||||||
7,090 | Burlington Coat Factory Warehouse Corporation, Term Loan, DD1 |
2.565% | 5/28/13 | B3 | 6,508,307 | |||||||||
2,985 | Claires Stores, Inc. Term Loan B, DD1 |
3.033% | 5/29/14 | B- | 2,354,208 | |||||||||
9,414 | Michaels Stores, Inc., Term Loan |
2.519% | 10/31/13 | B | 8,452,810 | |||||||||
4,581 | Sally Holdings LLC, Term Loan |
2.543% | 11/16/13 | BB | 4,374,123 | |||||||||
5,985 | Toys R Us Delaware, Inc., Term Loan B |
4.494% | 7/19/12 | BB- | 5,827,966 | |||||||||
30,055 | Total Specialty Retail |
27,517,414 | ||||||||||||
Textiles,
Apparel & Luxury Goods 0.2% (0.1% of Total Investments) |
||||||||||||||
1,000 | HBI Branded Apparel Limited, Inc., Term Loan, Second Lien |
3.994% | 3/05/14 | BB- | 968,750 | |||||||||
Trading Companies & Distributors 0.4% (0.3% of Total Investments) |
||||||||||||||
384 | Brenntag Holdings GmbH & Co. KG, Acquisition Facility |
2.286% | 1/20/14 | B+ | 365,569 | |||||||||
1,572 | Brenntag Holdings GmbH & Co. KG, Facility B2 |
2.245% | 1/20/14 | B+ | 1,497,230 | |||||||||
1,956 | Total Trading Companies & Distributors |
1,862,799 | ||||||||||||
Wireless Telecommunication Services 2.1% (1.5% of Total Investments) |
||||||||||||||
11,000 | Asurion Corporation, Term Loan |
3.245% | 7/03/14 | N/R | 10,460,692 | |||||||||
$ | 695,964 | Total Variable Rate Senior Loan Interests (cost $637,260,606) |
581,966,055 | |||||||||||
Shares | Description (1) | Value | ||||||||||||
Common Stocks 2.3% (1.7% of Total Investments) |
||||||||||||||
Building Products 2.3% (1.7% of Total Investments) |
||||||||||||||
301,905 |
Masonite Worldwide Holdings, (9), (12) |
$ | 11,623,343 | |||||||||||
Hotels, Restaurants & Leisure 0.0% (0.0% of Total Investments) |
||||||||||||||
13,895 |
Buffets Restaurant Holdings Inc., (9), (12) |
90,318 | ||||||||||||
Total Common Stocks (cost $16,518,313) |
11,713,661 | |||||||||||||
Principal | ||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Ratings (3) | Value | |||||||||
Corporate Bonds
9.9% (7.3% of Total Investments) |
||||||||||||||
Diversified Telecommunication Services 1.3% (1.0% of Total Investments) |
||||||||||||||
$ | 2,000 | Intelsat Limited |
7.625% | 4/15/12 | CCC+ | $ | 1,950,000 | |||||||
5,000 | Qwest Corporation,
Floating Rate Note, 3.250% plus three-month LIBOR |
3.531% | 6/15/13 | BBB- | 4,675,000 | |||||||||
7,000 | Total Diversified Telecommunication Services |
6,625,000 | ||||||||||||
Electric Utilities 0.3% (0.2% of Total Investments) |
||||||||||||||
2,000 | Texas Competitive Electric Holdings, Series A |
10.250% | 11/01/15 | Caa2 | 1,430,000 | |||||||||
Energy Equipment & Services 1.0% (0.7% of Total Investments) |
||||||||||||||
5,000 | Williams Companies Inc.,
Floating Rate Note, 2.000% plus three-month LIBOR, 144A |
2.281% | 10/01/10 | BB+ | 4,997,565 | |||||||||
Food Products
0.4% (0.3% of Total Investments) |
||||||||||||||
1,780 | Dole Food Company |
8.875% | 3/15/11 | B- | 1,784,450 | |||||||||
Health Care Providers & Services 1.0% (0.7% of Total Investments) |
||||||||||||||
3,000 | HCA Inc., 144A |
8.500% | 4/15/19 | BB | 3,195,000 | |||||||||
2,000 | Select Medical Corporation,
Floating Rate Note, 5.750% plus six-month LIBOR |
6.314% | 9/15/15 | Caa1 | 1,795,000 | |||||||||
5,000 | Total Health Care Providers & Services |
4,990,000 | ||||||||||||
Hotels, Restaurants & Leisure 1.3% (1.0% of Total Investments) |
||||||||||||||
7,900 | Mohegan Tribal Gaming Authority |
8.000% | 4/01/12 | CCC+ | 6,754,500 | |||||||||
Internet
Software & Services 0.2% (0.2% of Total Investments) |
||||||||||||||
1,750 | Open Solutions Inc., 144A |
9.750% | 2/01/15 | CCC+ | 1,181,250 | |||||||||
Oil, Gas & Consumable Fuels 1.5% (1.1% of Total Investments) |
||||||||||||||
1,000 | SemGroup LP, 144A, (10) |
8.750% | 11/15/15 | N/R | 65,000 | |||||||||
5,000 | Western Refining Inc.,
Floating Rate Note, 7.500% plus three-month LIBOR, 144A |
7.781% | 6/15/14 | BB- | 4,650,000 | |||||||||
3,000 | Western Refining Inc.,
144A |
11.250% | 6/15/17 | BB- | 2,790,000 | |||||||||
9,000 | Total Oil, Gas & Consumable Fuels |
7,505,000 | ||||||||||||
Paper & Forest Products 0.3% (0.2% of Total Investments) |
||||||||||||||
2,000 | Verso Paper Holdings LLC.,
Series B, Floating Rate Note, 3.750% plus three-month LIBOR |
4.031% | 8/01/14 | B2 | 1,320,000 | |||||||||
Semiconductors & Equipment 2.0% (1.5% of Total Investments) |
||||||||||||||
1,400 | Avago Technologies
Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR |
5.781% | 6/01/13 | N/R | 1,384,250 | |||||||||
4,320 | NXP BV, 144A |
10.000% | 7/15/13 | B- | 4,330,800 | |||||||||
4,000 | Spansion LLC,
Floating Rate Note, 3.125% plus three-month LIBOR, 144A, (11) |
3.406% | 6/01/13 | D | 4,220,000 | |||||||||
9,720 | Total Semiconductors & Equipment |
9,935,050 | ||||||||||||
Textiles, Apparel & Luxury Goods 0.2% (0.1% of Total Investments) |
||||||||||||||
1,000 | HanesBrands Inc.,
Floating Rate Note, 3.375% plus six-month LIBOR |
3.939% | 12/15/14 | B+ | 905,000 | |||||||||
Wireless Telecommunication Services 0.4% (0.3% of Total Investments) |
||||||||||||||
2,000 | Sprint Nextel Corporation |
8.375% | 8/15/17 | BB | 1,940,000 | |||||||||
$ | 54,150 | Total Corporate Bonds (cost $48,988,930) |
49,367,815 | |||||||||||
Shares | Description (1) | Value | ||||||||||||
Investment
Companies 1.9% (1.4% of Total Investments) |
||||||||||||||
353,668 | Eaton Vance Floating-Rate Income Trust Fund |
$ | 4,424,387 | |||||||||||
963,820 | Eaton Vance Senior Income Trust |
5,339,563 | ||||||||||||
Total Investment Companies (cost $11,947,776) |
9,763,950 | |||||||||||||
Principal | ||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||
Short-Term Investments 5.9% (4.3% of Total Investments) |
||||||||||||||
$ | 29,487 | Repurchase Agreement
with Fixed Income Clearing Corporation, dated 10/30/09, repurchase price $29,486,748,
collateralized by $28,060,000 U.S. Treasury Notes, 4.500%, due
9/30/11, value $30,080,320 |
0.010% | 11/02/09 | $ | 29,486,723 | ||||||||
Total Short-Term Investments (cost $29,486,723) |
29,486,723 | |||||||||||||
Total Investments (cost $744,202,348) 136.2% |
682,298,204 | |||||||||||||
Borrowings
(12.1)% (14) |
(60,500,000 | ) | ||||||||||||
Other Assets Less
Liabilities (3.2)% |
(15,994,645 | ) | ||||||||||||
Preferred
Shares, at Liquidation Value (20.9)% (14) |
(105,000,000 | ) | ||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 500,803,559 | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: |
||||||||||||||||
Variable
Rate Senior Loan Interests |
$ | | $ | 581,966,055 | $ | | $ | 581,966,055 | ||||||||
Common
Stocks* |
| 11,713,661 | | 11,713,661 | ||||||||||||
Corporate
Bonds |
| 49,367,815 | | 49,367,815 | ||||||||||||
Investment
Companies |
9,763,950 | | | 9,763,950 | ||||||||||||
Short-Term
Investments |
29,486,723 | | | 29,486,723 | ||||||||||||
Total |
$ | 39,250,673 | $ | 643,047,531 | $ | | $ | 682,298,204 | ||||||||
Gross unrealized: |
||||
Appreciation |
$ | 19,924,975 | ||
Depreciation |
(83,843,685 | ) | ||
Net
unrealized appreciation (depreciation) of investments |
$ | (63,918,710 | ) | |
(1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
|
(2) | Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these
mandatory prepayment conditions and because there may be significant economic incentives for a
Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining
maturity of Senior Loans held may be substantially less than the stated maturities shown. |
|
(3) | Ratings: Using the higher of Standard & Poors Group (Standard & Poors) or Moodys Investor
Service, Inc. (Moodys) rating. Ratings below BBB by Standard & Poors or Baa by Moodys are
considered to be below investment grade. |
|
(4) | Senior Loans generally pay interest at rates which are periodically adjusted by reference to a
base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates
are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (LIBOR), or
(ii) the prime rate offered by one or more major United States banks. |
|
Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to
receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
||
(5) | At or subsequent to October 31, 2009, this issue was under the protection of the Federal
Bankruptcy Court. |
|
(6) | Non-income producing; denotes that the issuer has defaulted on the payment of
principal or interest or has filed for bankruptcy. |
|
(7) | Position,
or portion of position, represents an unfunded Senior Loan commitment outstanding at
October 31, 2009. At October 31, 2009, the Fund had unfunded Senior Loan commitments of $2,222,222. |
|
(8) | Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding
at October 31, 2009. |
|
(9) | Non-income producing; issuer has not declared a dividend within the past twelve months. |
|
(10) | This issue is under protection of the Federal Bankruptcy Court. As a result, the Funds
Adviser has concluded this issue is not likely to meet its interest payment obligations and has
directed the Funds custodian to cease accruing additional income and write-off any remaining
recorded balances on the Funds records. |
|
(11) | This issue is under protection of the Federal Bankruptcy Court (the
Bankruptcy Court). As a result, the Funds Adviser concluded that the issuer was not likely to
meet its future interest payment obligations and directed the Funds custodian to cease accruing
additional income and write-off any remaining recorded balances on the Funds records. On July 1,
2009, the Fund received its June 1, 2009, interest payment and
subsequently received its September 1, 2009, interest
payment as directed by the Bankruptcy Courts Final Order. As of September 2,
2009, the Fund ceased accruing additional income on this issue. |
|
(12) | For
fair value measurement disclosure purposes, investment categorized as
Level 2. |
|
(13) | Subsequent
to the reporting period, this issue is under protection of the
Federal Bankruptcy Court. As a result, the Funds Adviser has
concluded this issue is not likely to meet its interest payment
obligations and has directed the Funds custodian to cease
accruing additional income and write-off any remaining
recorded balances on the Funds records. |
|
(14) | Borrowings
and Preferred Shares, at Liquidation Value as a percentage of Total
Investments are 8.9% and 15.4%, respectively. |
|
N/A | Not
available. |
|
N/R | Not rated. |
|
WI/DD | Purchased on a when-issued or delayed delivery
basis. |
|
DD1 | Portion of investment purchased on a delayed
delivery basis. |
|
144A | Investment is exempt from registration under Rule 144A of the
Securities Act of 1933, as amended. These investments may only be
resold in transactions exempt from registration which are normally
those transactions with qualified institutional buyers. |
|
TBD | Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to
the settlement date of the transaction. In addition, Senior Loans
typically trade without accrued interest and therefore a weighted
average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will
provide the Fund with the final weighted average coupon rate and
maturity date. |
|
a. | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). | ||
b. | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
By (Signature and Title) | /s/ Kevin J. McCarthy | |||
Kevin J. McCarthy | ||||
Vice President and Secretary | ||||
By (Signature and Title) | /s/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman | ||||
Chief Administrative Officer (principal executive officer) | ||||
By (Signature and Title) | /s/ Stephen D. Foy | |||
Stephen D. Foy | ||||
Vice President and Controller (principal financial officer) | ||||