Weighted | ||||||||||||||
Principal | Average | |||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (3) | Ratings (4) | Value | |||||||||
Variable Rate Senior Loan Interests 143.8% (93.1% of Total Investments) (2) |
||||||||||||||
Aerospace & Defense 1.6% (1.0% of Total Investments) |
||||||||||||||
$ | 5,043 | Mid-Western Aircraft Systems Inc., Term Loan B |
7.105% | 12/31/11 | BB+ | $ | 5,070,885 | |||||||
2,300 | Transdigm
Inc., Term Loan B |
7.348% | 6/23/13 | Ba3 | 2,316,388 | |||||||||
2,403 | Vought Aircraft Industries, Inc., Term Loan |
7.830% | 12/22/11 | Ba2 | 2,423,589 | |||||||||
545 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit |
7.822% | 12/22/10 | Ba2 | 549,545 | |||||||||
10,291 | Total Aerospace & Defense |
10,360,407 | ||||||||||||
Airlines 2.5% (1.6% of Total Investments) |
||||||||||||||
8,000 | Northwest Airlines Inc., Term Loan |
7.320% | 7/19/08 | BBB- | 8,037,504 | |||||||||
8,700 | United Air Lines Inc., Delayed Draw, Term Loan |
7.375% | 2/01/14 | B+ | 8,713,594 | |||||||||
16,700 | Total Airlines |
16,751,098 | ||||||||||||
Auto Components 4.3% (2.8% of Total Investments) |
||||||||||||||
3,000 | Delphi
Automotive Systems Corporation, DIP Term Loan |
8.125% | 12/31/07 | BBB- | 3,013,763 | |||||||||
17,662 | Federal-Mogul Corporation, Term Loan A, (6) |
7.570% | 2/24/04 | N/R | 17,601,287 | |||||||||
2,000 | Federal-Mogul Corporation, Term Loan B, (6) |
7.820% | 2/24/05 | N/R | 1,994,792 | |||||||||
6,000 | Goodyear Tire & Rubber Company, Second Lien Term Loan |
7.100% | 4/30/14 | Ba2 | 6,030,945 | |||||||||
28,662 | Total Auto Components |
28,640,787 | ||||||||||||
Beverages
0.3% (0.1% of Total Investments) |
||||||||||||||
2,083 | Constellation Brands, Inc., Term Loan |
6.875% | 6/05/13 | BB- | 2,091,580 | |||||||||
Building Products 8.0% (5.2% of Total Investments) |
||||||||||||||
1,768 | Atrium Companies Inc., Term Loan |
8.518% | 5/31/12 | B1 | 1,761,862 | |||||||||
5,000 | Building
Materials Corporation of America, Second Lien Term Loan |
11.125% | 9/15/14 | B | 4,958,333 | |||||||||
8,978 | Building
Materials Corporation of America, Term Loan |
8.188% | 2/22/14 | BB- | 8,939,346 | |||||||||
14,625 | Nortek, Inc., Term Loan B |
7.365% | 8/27/11 | Ba2 | 14,687,156 | |||||||||
4,412 | PP Acquisition Corporation, Term Loan |
8.320% | 11/12/11 | Ba3 | 4,433,836 | |||||||||
7,344 | Stile
Acquisition Corporation, Canadian Term Loan |
7.350% | 4/05/13 | BB- | 7,198,019 | |||||||||
7,356 | Stile Acquisition Corporation, Term Loan B |
7.350% | 4/05/13 | BB- | 7,210,281 | |||||||||
3,980 | TFS Acquisition, Term Loan |
8.850% | 8/11/13 | B+ | 4,009,850 | |||||||||
53,463 | Total Building Products |
53,198,683 | ||||||||||||
Capital Markets 1.1% (0.7% of Total Investments) |
||||||||||||||
2,773 | Ameritrade Holdings Corporation, Term Loan B |
6.820% | 12/31/12 | Ba1 | 2,781,886 | |||||||||
4,643 | BNY Convergex Group LLC, Term Loan |
8.350% | 10/02/13 | B+ | 4,686,964 | |||||||||
7,416 | Total Capital Markets |
7,468,850 | ||||||||||||
Chemicals 9.8% (6.4% of Total Investments) |
||||||||||||||
5,600 | Celanese
Holdings, LLC, Term Loan C |
7.099% | 4/02/14 | BB- | 5,635,876 | |||||||||
1,400 | Celanese
Holdings, LLC, Credit-Linked Deposit |
5.320% | 4/02/14 | BB- | 1,408,969 | |||||||||
1,882 | Foamex LP, Term Loan |
7.597% | 2/12/13 | B1 | 1,888,628 | |||||||||
820 | Headwaters
Inc., First Lien Term Loan |
7.360% | 4/30/11 | BB- | 822,363 | |||||||||
11,507 | Hercules Inc., Term Loan B |
6.820% | 10/08/10 | Baa3 | 11,531,671 | |||||||||
4,892 | Hexion
Specialty Chemicals, Inc., Term Loan C1 |
7.875% | 5/05/13 | Ba3 | 4,933,352 | |||||||||
1,063 | Hexion
Specialty Chemicals, Inc., Term Loan C2 |
7.875% | 5/05/13 | Ba3 | 1,071,664 | |||||||||
8,150 | Huntsman International LLC, Term Loan |
7.070% | 8/16/12 | Ba1 | 8,177,088 | |||||||||
3,960 | Ineos Group Holdings PLC, Term Loan B |
7.580% | 12/06/13 | Ba2 | 4,009,500 | |||||||||
3,960 | Ineos Group Holdings PLC, Term Loan C |
8.080% | 12/16/14 | Ba2 | 4,009,500 | |||||||||
461 | JohnsonDiversey Inc., Term Loan |
7.860% | 12/16/11 | Ba2 | 466,903 | |||||||||
1,470 | Lucite
International, Term Loan B-1 |
8.070% | 7/07/13 | Ba3 | 1,488,182 | |||||||||
519 | Lucite
International, Term Loan B-2, (5) |
3.108% | 7/07/13 | Ba3 | 140,840 | |||||||||
6,965 | Lyondell Citgo Refining LP, Term Loan |
6.860% | 8/16/13 | BB | 6,995,691 | |||||||||
12,740 | Rockwood Specialties Group, Inc., Term Loan E |
7.355% | 7/30/12 | Ba2 | 12,858,648 | |||||||||
65,389 | Total Chemicals |
65,438,875 | ||||||||||||
Commercial Services & Supplies 4.8% (3.1% of Total Investments) |
||||||||||||||
4,278 | Allied Waste North America, Inc., Letter of Credit |
7.073% | 1/15/12 | BB | 4,303,233 | |||||||||
9,646 | Allied Waste North America, Inc., Term Loan B |
7.097% | 1/15/12 | BB | 9,699,041 | |||||||||
4,606 | Aramark Corporation, Term Loan |
7.475% | 1/26/14 | Ba3 | 4,633,402 | |||||||||
329 | Aramark, Letter of Credit |
7.475% | 1/26/14 | Ba3 | 331,134 | |||||||||
998 | NCO Group Inc., Term Loan |
8.355% | 5/15/13 | Ba3 | 1,005,293 | |||||||||
3,000 | Rental Services Corporation, Term Loan |
8.857% | 11/30/13 | B- | 3,051,000 | |||||||||
5,500 | Williams Scotsman, Inc., Term Loan B |
6.820% | 6/28/10 | BB | 5,498,281 | |||||||||
1,362 | Workflow Management, Inc., Term Loan |
9.355% | 11/30/11 | BB- | 1,360,876 | |||||||||
1,800 | Xerium Technologies Inc. Term Loan B |
8.100% | 5/18/12 | B+ | 1,804,284 | |||||||||
31,519 | Total Commercial Services & Supplies |
31,686,544 | ||||||||||||
Communications Equipment 1.0% (0.6% of Total Investments) |
||||||||||||||
2,985 | Aspect Software, Term Loan B |
8.375% | 7/11/11 | Ba3 | 3,016,093 | |||||||||
1,990 | IPC Acquisition Corporation, First Lien Term Loan |
7.850% | 9/29/14 | B1 | 2,009,485 | |||||||||
427 | Valassis Communications, Inc., Delayed Draw, Term Loan, (5) (7) |
1.000% | 3/02/14 | Ba2 | (267 | ) | ||||||||
1,573 | Valassis Communications, Inc., Term Loan B |
7.100% | 3/02/14 | Ba2 | 1,576,939 | |||||||||
6,975 | Total Communications Equipment |
6,602,250 | ||||||||||||
Consumer Finance 0.5% (0.3% of Total Investments) |
||||||||||||||
2,981 | Peach Holdings Inc., Term Loan |
9.100% | 11/30/13 | B | 3,007,336 | |||||||||
Containers & Packaging 4.9% (3.2% of Total Investments) |
||||||||||||||
1,980 | Amscan Holdings Inc., Term Loan B |
8.385% | 4/30/12 | Ba3 | 1,997,945 | |||||||||
1,143 | Bluegrass
Container Company LLC, Delayed Draw, First Lien Term Loan |
7.589% | 6/30/13 | BB- | 1,156,961 | |||||||||
3,820 | Bluegrass Container Company, LLC, Term Loan B |
7.591% | 6/30/13 | BB- | 3,866,685 | |||||||||
19,601 | Graham Packaging Company, L.P., Term Loan B |
7.625% | 2/14/10 | B1 | 19,743,590 | |||||||||
699 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment |
7.748% | 11/01/11 | Ba2 | 704,714 | |||||||||
2,762 | Smurfit-Stone Container Corporation, Term Loan B |
7.531% | 11/01/11 | Ba2 | 2,785,558 | |||||||||
1,679 | Smurfit-Stone Container Corporation, Term Loan C |
7.546% | 11/01/11 | Ba2 | 1,693,912 | |||||||||
527 | Smurfit-Stone Container Corporation, Tranche C-1 |
7.375% | 11/01/11 | Ba2 | 531,588 | |||||||||
32,211 | Total Containers & Packaging |
32,480,953 | ||||||||||||
Diversified Consumer Services 1.7% (1.1% of Total Investments) |
||||||||||||||
2,992 | Riverdeep Group Limited, Term Loan |
8.100% | 12/20/13 | B1 | 3,015,693 | |||||||||
8,112 | West Corporation, Term Loan |
7.750% | 10/24/13 | B+ | 8,179,751 | |||||||||
11,104 | Total Diversified Consumer Services |
11,195,444 | ||||||||||||
Diversified Financial Services 0.8% (0.5% of Total Investments) |
||||||||||||||
3,400 | NASDAQ
Stock Market, Inc., Term Loan B |
7.070% | 12/01/11 | BB+ | 3,411,809 | |||||||||
1,971 | NASDAQ
Stock Market, Inc., Term Loan C |
7.070% | 4/18/12 | BB+ | 1,977,746 | |||||||||
5,371 | Total Diversified Financial Services |
5,389,555 | ||||||||||||
Diversified Telecommunication Services 5.5% (3.6% of Total Investments) |
||||||||||||||
6,000 | Cequel Communications LLC., Term Loan B |
7.349% | 11/05/13 | B+ | 6,000,750 | |||||||||
1,000 | Choice One Communications, Term Loan B |
9.375% | 6/27/12 | Ba3 | 1,015,000 | |||||||||
1,000 | Choice One Communications, Term Loan B |
8.875% | 6/30/12 | B1 | 1,015,000 | |||||||||
6,000 | Crown Castle International Corporation, Term Loan |
6.893% | 1/26/14 | BB+ | 6,018,048 | |||||||||
3,930 | Intelsat
Corporation, Term Loan |
7.349% | 7/01/13 | Ba2 | 3,962,183 | |||||||||
6,800 | Level 3 Communications Incorporated, Term Loan |
7.605% | 3/13/14 | B1 | 6,830,814 | |||||||||
5,965 | MetroPCS Inc., Term Loan |
7.625% | 11/03/13 | B1 | 6,010,496 | |||||||||
5,500 | Qwest Corporation, Term Loan B |
6.950% | 6/30/10 | BB | 5,666,147 | |||||||||
36,195 | Total Diversified Telecommunication Services |
36,518,438 | ||||||||||||
Electric Utilities 3.0% (1.9% of Total Investments) |
||||||||||||||
17,778 | Calpine Corporation, DIP Term Loan |
7.590% | 3/29/09 | N/R | 17,890,738 | |||||||||
2,222 | Calpine Corporation, DIP Revolver, (5) (7) |
0.250% | 3/29/09 | N/R | (33,333 | ) | ||||||||
188 | MACH Gen LLC, Synthetic Letter of Credit |
7.350% | 2/22/13 | B | 187,764 | |||||||||
1,808 | MACH Gen LLC, Term Loan |
7.360% | 2/22/14 | B | 1,809,777 | |||||||||
21,996 | Total Electric Utilities |
19,854,946 | ||||||||||||
Electrical Equipment 0.9% (0.6% of Total Investments) |
||||||||||||||
6,017 | Mueller Group, Inc., Term Loan |
7.348% | 10/03/12 | BB- | 6,063,388 | |||||||||
Electronic Equipment & Instruments 1.7% (1.1% of Total Investments) |
||||||||||||||
10,000 | Sanmina-SCI Corporation, Term Loan |
8.375% | 7/31/08 | Ba3 | 10,052,085 | |||||||||
993 | Sensata Technologies B.V., Term Loan |
7.105% | 4/27/13 | BB- | 993,149 | |||||||||
10,993 | Total Electronic Equipment & Instruments |
11,045,234 | ||||||||||||
Energy Equipment & Services 0.1% (0.1% of Total Investments) |
||||||||||||||
573 | Petroleum Geo-Services, Term Loan |
7.600% | 12/15/12 | BB- | 577,821 | |||||||||
Food & Staples Retailing 2.3% (1.5% of Total Investments) |
||||||||||||||
10,997 | Jean Coutu Group, Inc., Term Loan B |
7.875% | 7/30/11 | BB- | 11,022,960 | |||||||||
3,930 | Supervalu, Term Loan B |
6.840% | 6/02/12 | BB- | 3,950,766 | |||||||||
14,927 | Total Food & Staples Retailing |
14,973,726 | ||||||||||||
Food Products 0.7% (0.5% of Total Investments) |
||||||||||||||
465 | Dole Foods Company Inc., Deposit-Funded Commitment |
7.356% | 4/12/13 | Ba3 | 465,181 | |||||||||
1,036 | Dole Foods Company Inc., Term Loan B |
7.541% | 4/12/13 | Ba3 | 1,036,191 | |||||||||
3,453 | Dole Foods Company Inc., Term Loan C |
7.456% | 4/12/13 | Ba3 | 3,453,968 | |||||||||
4,954 | Total Food Products |
4,955,340 | ||||||||||||
Gas Utilities 0.2% (0.1% of Total Investments) |
||||||||||||||
1,000 | Energy Transfer Partners LP, Term Loan |
7.080% | 2/08/12 | BBB- | 1,007,679 | |||||||||
Health Care Equipment & Supplies 0.4% (0.3% of Total Investments) |
||||||||||||||
2,802 | Kinetic Concepts Inc., Term Loan B-1 |
6.850% | 8/11/10 | Ba1 | 2,807,701 | |||||||||
Health Care Providers & Services 10.7% (6.9% of Total Investments) |
||||||||||||||
9,745 | Davita Inc., Term Loan B |
6.842% | 10/05/12 | Ba1 | 9,785,054 | |||||||||
10,973 | HCA, Inc., Term Loan |
7.600% | 11/17/13 | BB | 11,100,011 | |||||||||
10,000 | Health Management Associates, Term Loan |
7.100% | 2/28/14 | Ba2 | 10,051,040 | |||||||||
3,970 | HealthSouth Corporation, Term Loan |
7.847% | 3/10/13 | B+ | 4,002,256 | |||||||||
3,246 | IASIS
Healthcare, LLC, Delayed Draw Term Loan, WI/DD |
TBD | TBD | Ba2 | 3,258,666 | |||||||||
866 | IASIS
Healthcare, LLC, Letter of Credit, WI/DD |
TBD | TBD | Ba2 | 868,978 | |||||||||
9,501 | IASIS
Healthcare, LLC, Term Loan, WI/DD |
TBD | TBD | Ba2 | 9,537,029 | |||||||||
1,995 | Invacare Corporation, Term Loan B |
7.600% | 2/12/13 | Ba2 | 2,007,469 | |||||||||
3,940 | LifeCare Holdings Inc., Term Loan B |
7.600% | 8/01/12 | B1 | 3,913,405 | |||||||||
1,010 | LifePoint Hospitals Holdings, Inc., Term Loan B |
6.985% | 4/15/14 | BB- | 1,008,910 | |||||||||
2,940 | Select Medical Corporation, Term Loan |
7.349% | 2/24/12 | Ba2 | 2,935,156 | |||||||||
12,740 | Vanguard Health Holding Company, LLC, Replacement Term Loan |
7.600% | 9/23/11 | Ba3 | 12,837,919 | |||||||||
70,926 | Total Health Care Providers & Services |
71,305,893 | ||||||||||||
Health Care Technology 0.3% (0.2% of Total Investments) |
||||||||||||||
1,982 | Emdeon Business Services Term Loan |
7.600% | 11/16/13 | B+ | 1,992,902 | |||||||||
Hotels, Restaurants & Leisure 11.6% (7.5% of Total Investments) |
||||||||||||||
9,350 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
7.850% | 7/01/09 | Ba3 | 9,414,698 | |||||||||
3,149 | Ameristar Casinos, Inc., Term Loan B |
6.820% | 11/10/12 | BB+ | 3,151,708 | |||||||||
5,835 | Boyd Gaming Corporation, Term Loan B |
6.820% | 6/30/11 | Ba1 | 5,859,361 | |||||||||
1,293 | Burger King Corporation, Term Loan B |
6.875% | 6/30/12 | Ba2 | 1,297,830 | |||||||||
778 | CBRL
Group, Inc., Term Loan B-1 |
6.860% | 4/27/13 | BB | 779,791 | |||||||||
122 | CBRL Group, Inc., Delayed Draw, Term Loan B-2 (5) (7) |
0.750% | 4/27/13 | BB | (51 | ) | ||||||||
4,963 | Cedar Fair LP, Term Loan |
7.320% | 8/30/12 | BB- | 5,015,227 | |||||||||
964 | Green Valley Ranch Gaming, Term Loan B |
7.360% | 2/16/14 | B+ | 969,831 | |||||||||
4,727 | Intrawest Corporation, Term Loan |
9.250% | 12/31/07 | N/R | 4,738,363 | |||||||||
7,875 | Penn National Gaming, Inc., Term Loan B |
7.114% | 10/03/12 | BB | 7,939,048 | |||||||||
518 | Seminole
Gaming, Delayed Draw, Term Loan B-1 (5) |
2.844% | 3/05/14 | BBB- | 129,879 | |||||||||
1,749 | Seminole
Gaming, Delayed Draw, Term Loan B-2 |
6.875% | 3/05/14 | BBB- | 1,750,081 | |||||||||
1,733 | Seminole
Gaming, Delayed Draw, Term Loan B-3 |
6.875% | 3/05/14 | BBB- | 1,733,877 | |||||||||
9,968 | Travelport, Term Loan |
7.850% | 8/23/13 | Ba3 | 10,067,019 | |||||||||
981 | Travelport,
Letter of Credit |
7.850% | 8/23/13 | Ba3 | 991,145 | |||||||||
1,965 | Trump International, Term Loan B-2, (5) |
2.790% | 5/20/12 | BB- | 283,550 | |||||||||
1,965 | Trump International, Term Loan B |
7.870% | 5/20/12 | BB- | 1,981,862 | |||||||||
9,255 | Universal City Development Partners, Ltd., Term Loan |
7.360% | 6/09/11 | Ba1 | 9,312,386 | |||||||||
1,709 | Venetian
Casino Resort, LLC, Delayed Draw, Term Loan |
7.090% | 6/15/11 | BB- | 1,718,114 | |||||||||
8,291 | Venetian Casino Resort, LLC, Term Loan |
7.090% | 6/15/11 | BB- | 8,332,851 | |||||||||
1,995 | Worldspan LP, Term Loan |
8.600% | 12/07/13 | Ba3 | 2,005,224 | |||||||||
79,185 | Total Hotels, Restaurants & Leisure |
77,471,794 | ||||||||||||
Household Durables 0.3% (0.2% of Total Investments) |
||||||||||||||
1,949 | Rent-A-Center Inc., Term Loan B |
7.116% | 6/30/12 | BB | 1,954,888 | |||||||||
Household Products 1.7% (1.1% of Total Investments) |
||||||||||||||
8,536 | Prestige Brands, Inc., Term Loan B |
7.634% | 4/06/11 | Ba3 | 8,589,213 | |||||||||
2,813 | Solo Cup Company, Term Loan |
8.847% | 2/27/11 | B1 | 2,860,793 | |||||||||
11,349 | Total Household Products |
11,450,006 | ||||||||||||
Independent Power Producers & Energy Traders 0.4% (0.2% of Total Investments) |
||||||||||||||
1,678 | Covanta
Energy Corporation, Term Loan B |
6.875% | 2/09/14 | Ba2 | 1,680,908 | |||||||||
822 | Covanta
Energy Corporation, Letter of Credit |
6.775% | 2/09/14 | Ba2 | 823,793 | |||||||||
2,500 | Total
Independent Power Producers & Energy Traders |
2,504,701 | ||||||||||||
Insurance 2.5% (1.6% of Total Investments) |
||||||||||||||
16,732 | Conseco, Inc., Term Loan |
7.320% | 10/10/13 | BB- | 16,831,264 | |||||||||
IT Services 3.4% (2.2% of Total Investments) |
||||||||||||||
1,365 | Infor
Global Solutions, Delayed Draw, Term Loan |
9.100% | 7/28/12 | B1 | 1,373,100 | |||||||||
2,615 | Infor Global Solutions, Term Loan |
9.100% | 4/18/11 | B1 | 2,637,660 | |||||||||
18,567 | SunGard Data Systems Inc., Term Loan B |
7.360% | 2/28/14 | Ba3 | 18,748,553 | |||||||||
22,547 | Total IT Services |
22,759,313 | ||||||||||||
Leisure Equipment & Products 1.5% (1.0% of Total Investments) |
||||||||||||||
10,025 | Bombardier Recreational Products, Term Loan |
7.860% | 6/28/13 | BB | 10,103,644 | |||||||||
Machinery 1.1% (0.7% of Total Investments) |
||||||||||||||
2,567 | Navistar
International, Term Loan |
8.610% | 1/31/12 | BB- | 2,605,701 | |||||||||
933 | Navistar
International, Synthetic Letter of Credit |
8.208% | 1/19/12 | BB- | 947,527 | |||||||||
3,990 | Oshkosh Truck Corporation, Term Loan |
7.100% | 12/06/13 | BB | 4,006,834 | |||||||||
7,490 | Total Machinery |
7,560,062 | ||||||||||||
Marine 0.6% (0.4% of Total Investments) |
||||||||||||||
3,865 | Horizon Lines, LLC, Term Loan B |
7.600% | 7/11/11 | Ba2 | 3,888,006 | |||||||||
Media 25.3% (16.4% of Total Investments) |
||||||||||||||
2,000 | American Media Operations, Inc., Term Loan C |
8.450% | 1/30/13 | B1 | 2,014,584 | |||||||||
4,377 | Blockbuster, Inc., Term Loan B |
8.631% | 8/20/11 | B1 | 4,430,218 | |||||||||
2,935 | Cablevision Systems Corporation, Incremental Term Loan |
7.084% | 3/29/13 | BB | 2,948,873 | |||||||||
3,000 | Charter Communications Operating, LLC, Term Loan |
7.850% | 9/06/14 | B1 | 3,006,251 | |||||||||
4,928 | Clear Channel Entertainment, Term Loan B |
8.089% | 6/20/13 | B+ | 4,952,213 | |||||||||
3,562 | Dex Media West, LLC, Term Loan B |
6.852% | 3/09/10 | Ba1 | 3,567,754 | |||||||||
7,980 | Idearc Inc., Term Loan |
7.350% | 11/17/14 | BB+ | 8,042,132 | |||||||||
13,818 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
8.600% | 4/08/12 | B+ | 13,849,056 | |||||||||
15,920 | Neilsen Finance LLC, Term Loan B |
7.610% | 8/09/13 | Ba3 | 16,077,544 | |||||||||
1,184 | Nextmedia Operating Group, Delayed Draw, Term Loan |
7.320% | 11/15/12 | B1 | 1,186,224 | |||||||||
2,670 | Nextmedia Operating Inc., First Lien Term Loan |
7.320% | 11/15/12 | B1 | 2,673,829 | |||||||||
16,915 | Panamsat Corporation, Term Loan |
7.349% | 7/03/13 | BB | 17,066,711 | |||||||||
4,781 | Philadelphia Newspapers, Term Loan |
8.100% | 6/29/13 | N/R | 4,809,603 | |||||||||
6,403 | Primedia Inc., Term Loan |
7.570% | 9/30/13 | B | 6,406,834 | |||||||||
5,000 | ProQuest Company, Term Loan B |
8.332% | 2/09/14 | N/R | 5,009,375 | |||||||||
2,282 | R. H. Donnelley Inc., Term Loan D-2 |
6.851% | 6/30/11 | Ba1 | 2,286,164 | |||||||||
1,000 | Readers Digest Association, Term Loan |
7.339% | 3/02/14 | B1 | 1,002,500 | |||||||||
10,304 | Regal Cinemas Corporation, Term Loan |
7.100% | 10/27/13 | Ba2 | 10,349,471 | |||||||||
980 | Spanish Broadcasting System Inc., Term Loan B |
7.100% | 6/10/12 | B1 | 982,450 | |||||||||
1,510 | Univision
Communications, Delayed Draw, Term Loan, (5) (7) |
1.000% | 9/29/14 | Ba3 | (1,158 | ) | ||||||||
5,000 | Univision Communications, Second Lien Term Loan |
7.820% | 3/29/09 | B3 | 5,005,208 | |||||||||
23,490 | Univision Communications, Term Loan |
7.605% | 9/15/14 | Ba3 | 23,471,916 | |||||||||
3,500 | UPC Broadband Holding BV, Term Loan J2 |
7.370% | 3/29/13 | Ba3 | 3,507,499 | |||||||||
3,500 | UPC Broadband Holding BV, Term Loan K2 |
7.370% | 12/31/13 | Ba3 | 3,507,499 | |||||||||
15,337 | WMG Acquisition Corp., Term Loan |
7.359% | 2/28/11 | Ba2 | 15,415,209 | |||||||||
6,025 | Yell Group, Term Loan |
7.320% | 10/27/12 | Ba3 | 6,079,089 | |||||||||
168,401 | Total Media |
167,647,048 | ||||||||||||
Metals & Mining 1.6% (1.0% of Total Investments) |
||||||||||||||
2,775 | Amsted Industries Inc., Delayed Draw, Term Loan |
7.350% | 4/05/11 | BB- | 2,781,764 | |||||||||
3,818 | Amsted Industries Incorporated, Term Loan B |
7.350% | 4/05/13 | BB- | 3,832,655 | |||||||||
2,070 | Freeport McMoran Copper and Gold, Term Loan |
7.070% | 3/19/14 | Baa3 | 2,078,904 | |||||||||
1,979 | John Maneely Company, Term Loan |
8.611% | 12/08/11 | B+ | 1,985,622 | |||||||||
10,642 | Total Metals & Mining |
10,678,945 | ||||||||||||
Multiline Retail 1.3% (0.8% of Total Investments) |
||||||||||||||
8,608 | Neiman Marcus Group Inc., Term Loan |
7.346% | 4/06/13 | Ba3 | 8,693,671 | |||||||||
Multi-Utilities 2.0% (1.3% of Total Investments) |
||||||||||||||
9,296 | NRG
Energy Inc., Term Loan |
7.350% | 2/01/13 | Ba1 | 9,377,785 | |||||||||
3,814 | NRG Energy Inc., Credit-Linked Deposit |
7.350% | 2/01/13 | Ba1 | 3,846,194 | |||||||||
13,110 | Total Multi-Utilities |
13,223,979 | ||||||||||||
Oil, Gas & Consumable Fuels 1.1% (0.7% of Total Investments) |
||||||||||||||
2,000 | Brand Services Inc., Term Loan B |
7.625% | 2/07/14 | B1 | 2,011,876 | |||||||||
301 | Coffeyville Resources LLC, Letter of Credit |
8.249% | 5/10/10 | B+ | 304,981 | |||||||||
1,549 | Coffeyville Resources LLC., Term Loan |
8.350% | 12/28/13 | B+ | 1,570,507 | |||||||||
1,165 | El Paso Corporation, Letter of Credit |
7.320% | 7/31/11 | Ba1 | 1,172,339 | |||||||||
484 | Targa Resources Inc., Synthetic Letter of Credit |
7.475% | 10/31/12 | B+ | 487,765 | |||||||||
1,986 | Targa Resources Inc., Term Loan B |
7.356% | 10/31/12 | B+ | 2,001,868 | |||||||||
7,485 | Total Oil, Gas & Consumable Fuels |
7,549,336 | ||||||||||||
Paper & Forest Products 4.0% (2.6% of Total Investments) |
||||||||||||||
3,997 | Boise Cascade Corporation, Term Loan D |
7.070% | 3/29/11 | BB | 4,015,560 | |||||||||
11,850 | Georgia-Pacific Corporation, Term Loan B |
7.091% | 12/20/10 | Ba2 | 11,921,882 | |||||||||
4,664 | Georgia-Pacific
Corporation, Term Loan B-2 |
7.090% | 12/20/12 | Ba2 | 4,693,345 | |||||||||
2,086 | NewPage Corporation, Term Loan B |
7.625% | 5/02/11 | Ba2 | 2,106,726 | |||||||||
2,892 | Ply
Gem Industries Inc., Term Loan B3 |
8.100% | 8/15/11 | BB- | 2,893,739 | |||||||||
108 | Ply
Gem Industries Inc., Canadian Term Loan |
8.100% | 8/15/11 | BB- | 108,136 | |||||||||
1,000 | White Birch Paper Company, Second Lien Term Loan |
12.820% | 4/08/13 | CCC+ | 1,017,813 | |||||||||
26,597 | Total Paper & Forest Products |
26,757,201 | ||||||||||||
Pharmaceuticals 1.0% (0.7% of Total Investments) |
||||||||||||||
1,729 | Stiefel
Laboratories Inc, Delayed Draw, Term Loan |
7.605% | 12/28/13 | Ba3 | 1,746,506 | |||||||||
2,261 | Stiefel Laboratories Inc, Term Loan |
7.605% | 12/28/13 | Ba3 | 2,283,394 | |||||||||
277 | Warner
Chilcott Corporation, Dovonex Delayed Draw Term Commitment |
7.350% | 1/18/12 | B+ | 277,883 | |||||||||
1,879 | Warner Chilcott Corporation, Tranche B |
7.355% | 1/18/12 | B+ | 1,890,450 | |||||||||
516 | Warner Chilcott Corporation, Tranche C |
7.350% | 1/18/12 | B+ | 519,023 | |||||||||
6,662 | Total Pharmaceuticals |
6,717,256 | ||||||||||||
Real Estate Management & Development 3.5% (2.3% of Total Investments) |
||||||||||||||
7,303 | Capital Automotive LP., Term Loan |
7.070% | 12/16/10 | BB+ | 7,374,410 | |||||||||
16,000 | LNR Property Corporation, Term Loan B |
8.110% | 7/12/11 | B+ | 16,111,424 | |||||||||
23,303 | Total Real Estate Management & Development |
23,485,834 | ||||||||||||
Road & Rail 0.7% (0.4% of Total Investments) |
||||||||||||||
667 | Hertz Corporation, Synthetic Term Loan |
5.365% | 12/21/12 | BB+ | 672,057 | |||||||||
3,724 | Hertz Corporation, Term Loan B |
7.082% | 12/21/12 | Ba1 | 3,754,112 | |||||||||
4,391 | Total Road & Rail |
4,426,169 | ||||||||||||
Semiconductors & Equipment 1.9% (1.3% of Total Investments) |
||||||||||||||
8,829 | Advanced Micro Devices, Term Loan B |
7.340% | 12/31/13 | BB- | 8,852,748 | |||||||||
2,993 | Freescale Semiconductor, Term Loan |
7.110% | 3/30/14 | Baa3 | 3,000,994 | |||||||||
1,000 | Spansion Inc., Term Loan |
8.360% | 11/03/12 | Ba3 | 1,006,563 | |||||||||
12,822 | Total Semiconductors & Equipment |
12,860,305 | ||||||||||||
Software 2.3% (1.5% of Total Investments) |
||||||||||||||
6,000 | Dealer
Computer Service, Second Lien Term Loan |
10.850% | 10/26/13 | BB- | 6,155,625 | |||||||||
8,948 | Dealer Computer Service, Term Loan |
7.350% | 10/26/12 | Ba2 | 8,997,849 | |||||||||
14,948 | Total Software |
15,153,474 | ||||||||||||
Specialty Retail 6.2% (4.0% of Total Investments) |
||||||||||||||
983 | Burlington Coat Factory Warehouse Corporation, Term Loan |
7.610% | 5/28/11 | B | 978,386 | |||||||||
5,970 | CSK Automotive Corporation, Term Loan |
8.353% | 6/30/12 | Ba3 | 6,063,319 | |||||||||
1,228 | J
Crew Operating Corporation, Term Loan |
7.123% | 5/15/13 | Ba3 | 1,233,187 | |||||||||
12,666 | Michaels Stores Inc., Term Loan |
8.125% | 10/31/13 | B2 | 12,780,967 | |||||||||
5,970 | Sally Beauty, Term Loan |
7.860% | 11/16/13 | BB- | 6,024,300 | |||||||||
11,000 | TRU
2005 RE Holding Co. 1, Term Loan |
8.320% | 12/09/08 | B3 | 11,101,409 | |||||||||
3,000 | Toys
R Us, Inc., Term Loan B |
9.610% | 7/19/12 | Ba3 | 3,075,563 | |||||||||
40,817 | Total Specialty Retail |
41,257,131 | ||||||||||||
Textiles, Apparel & Luxury Goods 1.5% (1.0% of Total Investments) |
||||||||||||||
3,704 | HanesBrands
Inc., Term Loan |
7.105% | 9/05/13 | Ba2 | 3,729,962 | |||||||||
2,000 | HanesBrands
Inc., Second Lien Term Loan |
9.105% | 3/05/14 | B1 | 2,051,563 | |||||||||
4,118 | Visant Holding Corporation, Term Loan C |
7.330% | 7/29/10 | B+ | 4,143,552 | |||||||||
9,822 | Total Textiles, Apparel & Luxury Goods |
9,925,077 | ||||||||||||
Trading Companies & Distributors 1.3% (0.8% of Total Investments) |
||||||||||||||
2,000 | Ashtead Group Public Limited Company, Term Loan B |
7.125% | 8/31/11 | BB | 2,000,000 | |||||||||
393 | Brenntag
Holdings, Acquisition Facility |
7.887% | 1/20/14 | B1 | 395,182 | |||||||||
1,607 | Brenntag Holdings, Term Loan B2 |
7.887% | 1/20/14 | B1 | 1,626,108 | |||||||||
1,219 | United Rentals Inc., Credit Linked Deposit |
5.320% | 2/13/11 | Ba1 | 1,225,757 | |||||||||
3,130 | United Rentals Inc., Delayed Draw, Term Loan B |
7.320% | 2/14/11 | Ba1 | 3,147,811 | |||||||||
8,349 | Total Trading Companies & Distributors |
8,394,858 | ||||||||||||
$ | 958,129 | Total
Variable Rate Senior Loan Interests (cost $949,210,311) |
956,709,392 | |||||||||||
Principal | ||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Ratings (4) | Value | |||||||||
Corporate Bonds 10.5% (6.8% of Total Investments) |
||||||||||||||
Diversified Telecommunication Services 0.8% (0.6% of Total Investments) |
||||||||||||||
$ | 5,000 | Quest
Corporation, Floating Rate Note, 3.250% plus three-month LIBOR |
8.605% | 6/15/13 | N/R | $ | 5,493,750 | |||||||
Electronic Equipment & Instruments 2.5% (1.6% of Total Investments) |
||||||||||||||
16,000 | NXP
BV, Floating Rate Note, 2.750% plus three-month LIBOR, 144A |
8.105% | 10/15/13 | BB+ | 16,600,000 | |||||||||
Energy Equipment & Services 0.8% (0.5% of Total Investments) |
||||||||||||||
5,000 | Williams
Companies Inc., Floating Rate Note, 2.000% plus three-month LIBOR,
144A |
7.355% | 10/01/10 | BB+ | 5,175,000 | |||||||||
Food Products 0.5% (0.3% of Total Investments) |
||||||||||||||
1,528 | Dole Foods Company |
8.625% | 5/01/09 | B- | 1,558,560 | |||||||||
1,780 | Dole Foods Company |
8.875% | 3/15/11 | B- | 1,811,150 | |||||||||
3,308 | Total Food Products |
3,369,710 | ||||||||||||
Hotels Restaurants & Leisure 1.2% (0.8% of Total Investments) |
||||||||||||||
7,900 | Mohegan Tribal Gaming Authority |
8.000% | 4/01/12 | Ba2 | 8,216,000 | |||||||||
Household Durables 0.3% (0.2% of Total Investments) |
||||||||||||||
2,000 | K. Hovnanian Enterprises Inc. |
10.500% | 10/01/07 | BB | 2,035,000 | |||||||||
Media 1.6% (1.0% of Total Investments) |
||||||||||||||
10,000 | Cablevision
Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR,
Series B, 144A |
9.860% | 4/01/09 | B+ | 10,650,000 | |||||||||
Paper & Forest Products 0.7% (0.5% of Total Investments) |
||||||||||||||
500 | Verso Paper Holdings LLC., 144A |
9.125% | 8/01/14 | B | 528,750 | |||||||||
4,000 | Verso
Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month
LIBOR, 144A |
9.105% | 8/01/14 | B | 4,140,000 | |||||||||
4,500 | Total Paper & Forest Products |
4,668,750 | ||||||||||||
Real Estate Investment Trust 0.6% (0.4% of Total Investments) |
||||||||||||||
4,000 | Felcor
Lodging Trust Inc., Floating Rate Note, 1.875% plus six-month LIBOR, 144A |
7.235% | 12/01/11 | Ba3 | 4,060,000 | |||||||||
Semiconductors & Equipment 1.1% (0.7% of Total Investments) |
||||||||||||||
7,000 | Avago
Technologies Finance Pte Ltd., Floating Rate Note, 5.500% plus
three-month LIBOR, 144A |
10.855% | 6/01/13 | B | 7,350,000 | |||||||||
Textiles Apparel & Luxury Goods 0.2% (0.1% of Total Investments) |
||||||||||||||
1,000 | HanesBrands
Inc., Floating Rate Note, 3.375% plus six-month LIBOR, 144A |
8.735% | 12/15/14 | B2 | 1,032,500 | |||||||||
Wireless Telecommunication Services 0.2% (0.1% of Total Investments) |
||||||||||||||
1,000 | Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR |
9.605% | 10/15/12 | Caa1 | 1,035,000 | |||||||||
$ | 66,708 | Total
Corporate Bonds (cost $68,229,962) |
69,685,710 | |||||||||||
Shares | Description (1) | Value | ||||||||||||
Warrants 0.1% (0.1% of Total Investments) |
||||||||||||||
$ | 36,521 | Reliant Energy Inc. |
591,640 | |||||||||||
Total Warrants (cost $257,912) |
591,640 | |||||||||||||
Total
Investments (cost $1,017,698,185) 154.4% |
1,026,986,742 | |||||||||||||
Other Assets Less Liabilities 5.7% |
38,102,067 | |||||||||||||
Preferred Shares, at Liquidation Value (60.1)% |
(400,000,000 | ) | ||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 665,088,809 | ||||||||||||
(1) | All percentages shown in the Portfolio of Investments are based on net
assets applicable to Common shares unless otherwise noted. |
|
(2) | Senior Loans in which the Fund invests generally pay interest at rates
which are periodically adjusted by reference to a base short-term,
floating lending rate plus an assigned fixed rate. These floating
lending rates are generally (i) the lending rate referenced by the
London Inter-Bank Offered Rate (LIBOR), or (ii) the prime rate
offered by one or more major United States banks. |
|
Senior Loans may be considered restricted in that the Fund ordinarily
is contractually obligated to receive approval from the Agent Bank
and/or Borrower prior to the disposition of a Senior Loan. |
||
(3) | Senior Loans generally are subject to mandatory and/or optional
prepayment. Because of these mandatory prepayment conditions and
because there may be significant economic incentives for a Borrower to
prepay, prepayments of Senior Loans may occur. As a result, the actual
remaining maturity of Senior Loans held may be substantially less than
the stated maturities shown. |
|
(4) | Ratings: Using the higher of Standard & Poors or Moodys rating. Ratings below BBB by Standard & Poors Group or Baa by Moodys
Investor Service, Inc. are considered to be below investment grade. |
|
(5) | Position
or portion of position represents an unfunded Senior Loan commitment
outstanding at April 30, 2007. At April 30, 2007, the Fund had
unfunded Senior Loan commitments of $6,752,734. |
|
(6) | At or subsequent to April 30, 2007, this issue was under the
protection of the Federal Bankruptcy Court. |
|
(7) | Negative value represents unrealized depreciation on Senior Loan
commitment at April 30, 2007. |
|
N/R | Not rated. |
|
WI/DD | Purchased on a when-issued or delayed delivery basis. |
|
144A | Investment is exempt from registration under Rule 144A of the
Securities Act of 1933, as amended. These investments may only be
resold in transactions exempt from registration which are normally
those transactions with qualified institutional buyers. |
|
TBD | Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to
the settlement date of the transaction. In addition, Senior Loans
typically trade without accrued interest and therefore a weighted
average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will
provide the Fund with the final weighted average coupon rate and
maturity date. |
|
Gross unrealized: |
||||
Appreciation |
$ | 9,608,856 | ||
Depreciation |
(1,551,768 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | 8,057,088 | ||
a. | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). | ||
b. | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
By (Signature and Title)* | /s/ Kevin J. McCarthy | |||
Kevin J. McCarthy | ||||
Vice President and Secretary | ||||
By (Signature and Title)* | /s/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman | ||||
Chief Administrative Officer (principal executive officer) | ||||
By (Signature and Title)* | /s/ Stephen D. Foy | |||
Stephen D. Foy | ||||
Vice President and Controller (principal financial officer) | ||||
* | Print the name and title of each signing officer under his or her signature. |