| Item 1. Schedule of Investments | ||||||||
| Item 2. Controls and Procedures | ||||||||
| Item 3. Exhibits | ||||||||
| SIGNATURES | ||||||||
| Certification | ||||||||
| Weighted | ||||||||||||||
| Principal | Average | |||||||||||||
| Amount (000) | Description (1) | Coupon | Maturity (3) | Ratings (4) | Value | |||||||||
| Variable Rate Senior Loan Interests – 135.8% (82.4% of Total Investments) (2) | ||||||||||||||
Aerospace & Defense – 2.5% (1.5% of Total Investments) |
||||||||||||||
| $ | 8,792 | K&F Industries, Inc., Term Loan C |
7.320% | 11/18/12 | B+ | $ | 8,834,254 | |||||||
| 1,000 | Transdigm
Inc., Term Loan B |
7.389% | 6/23/13 | B+ | 1,007,375 | |||||||||
| 9,792 | Total Aerospace & Defense |
9,841,629 | ||||||||||||
Airlines – 3.6% (2.2% of Total Investments) |
||||||||||||||
| 5,000 | Northwest Airlines Inc., Term Loan |
2.500% | 7/19/08 | N/R | 5,021,878 | |||||||||
| 7,836 | United
Air Lines Inc., Term Loan B |
9.250% | 2/01/12 | B+ | 7,972,748 | |||||||||
| 1,119 | United Air Lines Inc., Delayed Draw Term Loan |
9.125% | 2/01/12 | B+ | 1,138,964 | |||||||||
| 13,955 | Total Airlines |
14,133,590 | ||||||||||||
Auto Components – 3.5% (2.1% of Total Investments) |
||||||||||||||
| 1,846 | Accuride Corporation, Term Loan B |
7.438% | 1/31/12 | B+ | 1,851,721 | |||||||||
| 5,485 | Federal Mogul Corporation, Revolver, (5) (6) |
6.823% | 2/05/05 | N/R | 5,085,279 | |||||||||
| 4,000 | Goodyear Tire & Rubber Company, Second Lien Term Loan |
8.140% | 4/30/10 | B+ | 4,037,144 | |||||||||
| 1,000 | Goodyear Tire & Rubber Company, Term Loan |
7.072% | 4/30/10 | BB | 1,003,214 | |||||||||
| 2,000 | Lear Corporation, Term Loan |
7.878% | 4/25/12 | B2 | 1,996,042 | |||||||||
| 14,331 | Total Auto Components |
13,973,400 | ||||||||||||
Building Products – 5.1% (3.1% of Total Investments) |
||||||||||||||
| 1,777 | Atrium Companies Inc. Term Loan |
8.126% | 5/31/12 | B | 1,754,497 | |||||||||
| 9,800 | Nortek, Inc., Term Loan B |
7.325% | 8/27/11 | B | 9,787,750 | |||||||||
| 2,952 | Stile
Acquisition Corporation, Canadian Term Loan |
7.380% | 4/05/13 | BB- | 2,890,898 | |||||||||
| 2,958 | Stile Acquisition Corporation, Term Loan B |
7.380% | 4/05/13 | BB- | 2,895,823 | |||||||||
| 3,000 | TFS Acquisition, Term Loan |
8.921% | 8/01/13 | B+ | 3,022,500 | |||||||||
| 20,487 | Total Building Products |
20,351,468 | ||||||||||||
Capital Markets – 1.4% (0.9% of Total Investments) |
||||||||||||||
| 2,665 | Ameritrade Holdings Corporation, Term Loan B |
6.820% | 12/31/12 | N/R | 2,667,172 | |||||||||
| 3,000 | BNY Convergex Group LLC, Term Loan |
8.380% | 10/02/13 | B+ | 3,007,032 | |||||||||
| 5,665 | Total Capital Markets |
5,674,204 | ||||||||||||
Chemicals – 6.8% (4.1% of Total Investments) |
||||||||||||||
| 4,115 | Celanese Corporation, Term Loan C |
7.117% | 4/06/11 | N/R | 4,143,326 | |||||||||
| 1,298 | Headwaters Inc., 1st Lien Term Loan |
7.380% | 4/30/11 | BB- | 1,296,655 | |||||||||
| 2,458 | Hexion
Specialty Chemicals, Term Loan C-1 |
7.375% | 5/05/13 | Ba3 | 2,455,161 | |||||||||
| 534 | Hexion
Specialty Chemicals, Term Loan C-2 |
7.370% | 5/05/13 | Ba3 | 533,331 | |||||||||
| 6,902 | Huntsman International LLC, Term Loan |
7.070% | 8/16/12 | BB- | 6,905,947 | |||||||||
| 1,272 | JohnsonDiversey Inc., Delayed Term Loan |
7.830% | 12/16/10 | B+ | 1,280,012 | |||||||||
| 1,477 | Lucite International, Term Loan B-1 |
8.070% | 7/19/13 | B+ | 1,489,696 | |||||||||
| 519 | Lucite
International, Term Loan B-2, (6) |
1.375% | 7/19/13 | B+ | 4,386 | |||||||||
| 1,000 | Lyondell Citgo Refining LP, Term Loan |
7.110% | 8/16/13 | BB | 1,006,355 | |||||||||
| 7,880 | Rockwood Specialties Group, Inc., Term Loan E |
7.376% | 7/30/12 | B+ | 7,926,295 | |||||||||
| 27,455 | Total Chemicals |
27,041,164 | ||||||||||||
Commercial Services & Supplies – 3.0% (1.8% of Total Investments) |
||||||||||||||
| 2,784 | Allied Waste North America, Inc., Letter of Credit |
7.073% | 1/15/12 | Ba3 | 2,788,400 | |||||||||
| 7,015 | Allied Waste North America, Inc., Term Loan B |
7.153% | 1/15/12 | Ba3 | 7,025,742 | |||||||||
| 998 | Cenveo Inc., Term Loan B |
7.389% | 6/01/13 | BB- | 1,001,241 | |||||||||
| 1,161 | Workflow Management, Inc., Term Loan |
9.376% | 11/30/11 | B2 | 1,169,394 | |||||||||
| 11,958 | Total Commercial Services & Supplies |
11,984,777 | ||||||||||||
Communications Equipment – 0.8% (0.5% of Total Investments) |
||||||||||||||
| 3,000 | Aspect Software, Term Loan B |
8.438% | 7/11/11 | B+ | 3,011,625 | |||||||||
Containers & Packaging – 5.2% (3.2% of Total Investments) |
||||||||||||||
| 995 | Amscan Holdings Inc., Term Loan B |
8.316% | 12/23/12 | B+ | 1,003,084 | |||||||||
| 12,773 | Graham Packaging Company, L.P., Term Loan B |
7.725% | 10/07/11 | B | 12,847,762 | |||||||||
| 1,429 | Graham Packaging Company, L.P., Term Loan C |
9.688% | 3/15/12 | CCC+ | 1,442,411 | |||||||||
| 611 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment |
7.572% | 11/01/11 | B+ | 615,860 | |||||||||
| 2,889 | Smurfit-Stone Container Corporation, Term Loan B |
7.658% | 11/01/11 | B+ | 2,910,425 | |||||||||
| 1,477 | Smurfit-Stone Container Corporation, Term Loan C |
7.667% | 11/01/11 | B+ | 1,487,908 | |||||||||
| 463 | Smurfit-Stone Container Corporation, Tranche C-1 |
7.625% | 11/01/11 | B+ | 466,921 | |||||||||
| 20,637 | Total Containers & Packaging |
20,774,371 | ||||||||||||
Diversified Consumer Services – 1.8% (1.1% of Total Investments) |
||||||||||||||
| 4,022 | Alderwoods Group, Inc., Term Loan B-2 |
7.320% | 9/29/09 | BB | 4,027,543 | |||||||||
| 3,000 | West
Corporation, Term Loan, WI/DD |
TBD | TBD | B+ | 3,002,946 | |||||||||
| 7,022 | Total Diversified Consumer Services |
7,030,489 | ||||||||||||
Diversified Telecommunication Services – 5.4% (3.3% of Total Investments) |
||||||||||||||
| 8,000 | Cebridge III LLC., Term Loan B |
7.620% | 11/01/14 | B+ | 7,995,000 | |||||||||
| 1,000 | Choice One Communications, Term Loan B |
9.375% | 6/27/12 | B | 1,012,813 | |||||||||
| 1,975 | Intelsat
Limited, Term Loan |
7.622% | 7/01/13 | N/R | 1,990,122 | |||||||||
| 6,500 | Iowa Telecommunications Services, Inc., Term Loan B |
7.124% | 11/23/11 | BB- | 6,514,895 | |||||||||
| 4,000 | Level 3 Communications Incorporated, Term Loan |
8.398% | 12/01/11 | B- | 4,045,832 | |||||||||
| 21,475 | Total Diversified Telecommunication Services |
21,558,662 | ||||||||||||
Electric Utilities – 0.6% (0.3% of Total Investments) |
||||||||||||||
| 2,170 | Murray Energy Corporation, Term Loan C |
13.900% | 1/28/11 | N/R | 2,256,280 | |||||||||
Electronic Equipment & Instruments – 0.5% (0.3% of Total Investments) |
||||||||||||||
| 1,995 | Sensata Technologies B.V., Term Loan |
7.130% | 4/27/13 | BB- | 1,985,337 | |||||||||
Energy Equipment & Services – 0.1% (0.0% of Total Investments) |
||||||||||||||
| 287 | Petroleum Geo-Services, Term Loan |
7.610% | 12/15/12 | BB- | 288,875 | |||||||||
Food & Staples Retailing – 2.1% (1.3% of Total Investments) |
||||||||||||||
| 8,281 | Jean Coutu Group, Inc., Term Loan B |
7.937% | 7/30/11 | B1 | 8,318,595 | |||||||||
Food Products – 1.7% (1.1% of Total Investments) |
||||||||||||||
| 651 | Dole Foods Company Inc., Deposit-Funded Commitment |
7.374% | 4/12/13 | BB- | 647,093 | |||||||||
| 1,458 | Dole Foods Company Inc., Term Loan B |
7.550% | 4/12/13 | BB- | 1,448,680 | |||||||||
| 4,859 | Dole Foods Company Inc., Term Loan C |
7.480% | 4/12/13 | B+ | 4,828,931 | |||||||||
| 6,968 | Total Food Products |
6,924,704 | ||||||||||||
Health Care Equipment & Supplies – 0.5% (0.3% of Total Investments) |
||||||||||||||
| 1,868 | Kinetic Concepts Inc., Term Loan B-1 |
7.120% | 8/11/10 | BB | 1,873,240 | |||||||||
Health Care Providers & Services – 11.0% (6.6% of Total Investments) |
||||||||||||||
| 7,184 | Community Health Systems, Inc., Term Loan |
7.150% | 8/19/11 | BB- | 7,195,800 | |||||||||
| 5,184 | Davita Inc., Term Loan B |
7.425% | 10/05/12 | BB- | 5,215,537 | |||||||||
| 5,970 | Fresenius Medical Care AG & Co. KGaA, Term Loan |
6.752% | 3/31/13 | Ba2 | 5,940,565 | |||||||||
| 3,990 | HealthSouth Corporation, Term Loan |
8.620% | 3/10/13 | B2 | 4,011,057 | |||||||||
| 5,376 | IASIS Healthcare LLC, Term Loan B |
7.729% | 6/22/11 | B+ | 5,409,852 | |||||||||
| 1,042 | LifePoint Hospitals Holdings, Inc., Term Loan B |
6.945% | 4/18/12 | Ba3 | 1,038,666 | |||||||||
| 14,747 | Vanguard Health Holding Company, LLC, Replacement Term Loan |
7.868% | 9/23/11 | B | 14,778,873 | |||||||||
| 43,493 | Total Health Care Providers & Services |
43,590,350 | ||||||||||||
Hotels, Restaurants & Leisure – 9.5% (5.8% of Total Investments) |
||||||||||||||
| 3,982 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
7.994% | 7/17/12 | B | 4,012,362 | |||||||||
| 2,993 | Cedar Fair LP, Term Loan |
7.867% | 6/13/12 | BB- | 3,028,738 | |||||||||
| 488 | Cracker Barrel, Term B-2 Delayed Draw, (6) (7) |
0.750% | 4/27/13 | BB | (2,594 | ) | ||||||||
| 3,492 | Cracker Barrel, Term Loan B-1 |
6.932% | 4/28/13 | BB | 3,487,111 | |||||||||
| 9,934 | OpBiz, LLC, Term Loan A |
8.372% | 8/31/10 | B- | 9,717,984 | |||||||||
| 14 | OpBiz, LLC, Term Loan B (PIK) |
9.537% | 8/31/10 | CCC+ | 13,234 | |||||||||
| 1,980 | Penn National Gaming, Inc., Term Loan B |
7.129% | 10/03/12 | BB | 1,992,870 | |||||||||
| 7,286 | Travelport, Term Loan |
8.367% | 8/09/13 | B+ | 7,317,453 | |||||||||
| 714 | Travelport,
Letter of Credit |
8.367% | 8/09/13 | B+ | 716,835 | |||||||||
| 1,282 | Venetian
Casino Resort, LLC, Delayed Term Loan |
7.120% | 6/15/11 | BB- | 1,286,658 | |||||||||
| 6,218 | Venetian Casino Resort, LLC, Term Loan |
7.120% | 6/15/11 | BB- | 6,240,293 | |||||||||
| 38,383 | Total
Hotels, Restaurants & Leisure |
37,810,944 | ||||||||||||
Household Durables – 1.9% (1.2% of Total Investments) |
||||||||||||||
| 7,635 | Jarden Corporation, Term Loan |
7.367% | 1/24/12 | B+ | 7,657,770 | |||||||||
Household Products – 2.5% (1.5% of Total Investments) |
||||||||||||||
| 9,774 | Prestige Brands, Inc., Term Loan B |
7.715% | 4/06/11 | B+ | 9,833,488 | |||||||||
Insurance – 1.4% (0.8% of Total Investments) |
||||||||||||||
| 5,448 | Conseco, Inc., Term Loan |
7.320% | 10/10/13 | BB- | 5,468,519 | |||||||||
IT Services – 5.9% (3.6% of Total Investments) |
||||||||||||||
| 12,621 | Fidelity National Information Services, Term Loan B |
7.070% | 3/09/13 | BB+ | 12,664,963 | |||||||||
| 343 | Infor
Global Solutions, Delayed Draw Loan |
9.125% | 7/28/12 | B | 345,928 | |||||||||
| 657 | Infor Global Solutions, Term Loan |
9.120% | 7/28/12 | B | 663,030 | |||||||||
| 9,875 | SunGard Data Systems Inc., Term Loan B |
7.999% | 2/11/13 | B+ | 9,979,512 | |||||||||
| 23,496 | Total IT Services |
23,653,433 | ||||||||||||
Leisure Equipment & Products – 1.5% (0.9% of Total Investments) |
||||||||||||||
| 6,000 | Bombardier Recreational Products, Term Loan |
8.130% | 6/07/13 | B1 | 6,000,000 | |||||||||
Machinery – 1.3% (0.8% of Total Investments) |
||||||||||||||
| 1,791 | Dresser-Rand Group, Inc., Term Loan |
7.485% | 10/29/07 | BB- | 1,801,554 | |||||||||
| 2,500 | Navistar
International Corporation, Bridge Loan |
10.355% | 1/22/09 | N/R | 2,535,416 | |||||||||
| 1,000 | Rexnord Corporation, Replacement Term Loan |
7.876% | 7/19/13 | B+ | 1,006,875 | |||||||||
| 5,291 | Total Machinery |
5,343,845 | ||||||||||||
Media – 25.5% (15.5% of Total Investments) |
||||||||||||||
| 1,985 | AMC Entertainment Inc., Term Loan |
7.445% | 1/26/13 | B+ | 2,003,248 | |||||||||
| 2,500 | American Lawyer Media, Inc., Second Lien Term Loan |
11.117% | 3/07/11 | N/R | 2,506,250 | |||||||||
| 915 | Blockbuster, Inc., Term Loan A |
8.631% | 8/20/09 | B- | 913,777 | |||||||||
| 986 | Blockbuster, Inc., Term Loan B |
8.972% | 8/20/11 | B- | 986,109 | |||||||||
| 7,500 | Century
Cable Holdings LLC, Term Loan B (5) |
10.250% | 12/31/09 | N/R | 7,331,250 | |||||||||
| 9,000 | Century
Cable Holdings, LLC, Revolver (5) |
9.250% | 10/25/10 | N/R | 8,713,125 | |||||||||
| 10,953 | Charter Communications Inc., Term Loan B |
8.005% | 4/28/13 | B | 11,059,367 | |||||||||
| 4,963 | Clear Channel Entertainment, Term Loan B |
7.620% | 6/20/13 | B+ | 4,965,602 | |||||||||
| 998 | Cumulus Media Inc, Term Loan |
7.463% | 5/05/13 | B | 1,003,423 | |||||||||
| 2,000 | HIT Entertainment Inc., Second Lien Term Loan |
10.830% | 2/24/13 | CCC+ | 2,020,000 | |||||||||
| 3,960 | HIT Entertainment Inc., Term Loan B |
7.620% | 3/20/12 | B | 3,974,850 | |||||||||
| 3,975 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
8.617% | 3/15/12 | N/R | 3,930,637 | |||||||||
| 9,000 | Neilsen Finance LLC, Term Loan B |
8.190% | 8/01/13 | B+ | 9,042,894 | |||||||||
| 3,000 | NextMedia Operating Inc., Second Lien Term Loan |
9.820% | 11/15/12 | CCC+ | 3,023,750 | |||||||||
| 11,000 | Panamsat Corporation, Term Loan |
7.872% | 1/03/14 | BB | 11,104,654 | |||||||||
| 3,000 | Philadelphia Newspapers, Mezzanine Term Loan |
16.000% | 6/29/12 | N/R | 2,925,000 | |||||||||
| 8,587 | R.
H. Donnelley Inc., Term Loan D |
6.886% | 6/30/11 | Ba3 | 8,562,464 | |||||||||
| 3,910 | Regal Cinemas Corporation, Term Loan |
7.117% | 11/10/10 | BB- | 3,909,340 | |||||||||
| 2,000 | UPC Broadband Holding BV, Term Loan J2 |
7.640% | 3/29/13 | B | 2,002,411 | |||||||||
| 2,000 | UPC Broadband Holding BV, Term Loan K2 |
7.640% | 12/31/13 | B | 2,002,054 | |||||||||
| 4,868 | WMG Acquisition Corp., Term Loan |
7.369% | 2/28/11 | BB- | 4,891,737 | |||||||||
| 4,025 | Yell Group, Term Loan, DD1 |
7.320% | 2/09/13 | N/R | 4,049,023 | |||||||||
| 101,125 | Total Media |
100,920,965 | ||||||||||||
Metals & Mining – 0.9% (0.5% of Total Investments) |
||||||||||||||
| 2,541 | Amsted Industries Incorporated, Delayed Term Loan, (6) (7) |
0.500% | 4/05/11 | BB- | (31,759 | ) | ||||||||
| 3,521 | Amsted Industries Incorporated, Term Loan B |
7.373% | 4/05/13 | BB- | 3,536,653 | |||||||||
| 6,062 | Total Metals & Mining |
3,504,894 | ||||||||||||
Multi-Utilities – 2.0% (1.2% of Total Investments) |
||||||||||||||
| 6,482 | NRG Energy Inc., Term Loan |
7.367% | 2/01/13 | BB- | 6,523,987 | |||||||||
| 1,485 | NRG
Energy Inc., Credit-Linked Deposit |
7.367% | 2/01/13 | BB- | 1,494,081 | |||||||||
| 7,967 | Total Multi-Utilities |
8,018,068 | ||||||||||||
Oil, Gas & Consumable Fuels – 1.0% (0.6% of Total Investments) |
||||||||||||||
| 800 | Coffeyville Resources LLC, Letter of Credit |
7.625% | 6/30/11 | BB- | 805,899 | |||||||||
| 1,185 | Coffeyville Resources LLC, Term Loan B |
7.627% | 6/30/12 | BB- | 1,193,814 | |||||||||
| 2,000 | El Paso Corporation, Letter of Credit |
7.320% | 7/31/11 | B+ | 2,015,893 | |||||||||
| 3,985 | Total Oil, Gas & Consumable Fuels |
4,015,606 | ||||||||||||
Paper & Forest Products – 5.9% (3.6% of Total Investments) |
||||||||||||||
| 689 | Bluegrass
Container Company LLC, Delayed Draw, 1st Lien |
7.601% | 7/31/13 | BB- | 696,397 | |||||||||
| 3,030 | Bluegrass
Container Company, LLC, 2nd Lien Term Loan |
10.323% | 12/31/13 | B3 | 3,071,497 | |||||||||
| 970 | Bluegrass Container Company, LLC, Delayed Draw, 2nd Lien |
10.320% | 12/31/13 | B- | 982,879 | |||||||||
| 2,303 | Bluegrass Container Company, LLC, Term Loan B |
7.604% | 6/30/13 | BB- | 2,327,432 | |||||||||
| 3,486 | Boise Cascade Corporation, Term Loan D |
7.108% | 3/29/11 | BB | 3,505,412 | |||||||||
| 7,940 | Georgia-Pacific Corporation, Term Loan B |
7.385% | 12/20/12 | BB- | 7,990,173 | |||||||||
| 4,000 | Georgia-Pacific Corporation, Term Loan C |
8.390% | 2/13/14 | B+ | 4,056,094 | |||||||||
| 1,000 | White Birch Paper Company, Second Lien Term Loan |
12.870% | 4/08/13 | CCC+ | 1,014,167 | |||||||||
| 23,418 | Total Paper & Forest Products |
23,644,051 | ||||||||||||
Pharmaceuticals – 0.7% (0.5% of Total Investments) |
||||||||||||||
| 2,955 | Talecris Biotherapeutics Inc., Term Loan B |
8.641% | 4/01/11 | B2 | 2,955,000 | |||||||||
Real Estate Management & Development – 4.6% (2.8% of Total Investments) |
||||||||||||||
| 4,791 | Capital Automotive LP., Term Loan |
7.080% | 12/16/10 | BB+ | 4,818,213 | |||||||||
| 9,500 | LNR Property Corporation, Term Loan B |
8.220% | 7/12/11 | B2 | 9,546,507 | |||||||||
| 2,000 | Promontory Club, Second Lien Term Loan |
11.824% | 8/31/11 | N/R | 1,955,834 | |||||||||
| 1,980 | Promontory Club, Term Loan B |
8.070% | 8/31/10 | N/R | 1,932,975 | |||||||||
| 18,271 | Total Real Estate Management & Development |
18,253,529 | ||||||||||||
Road & Rail – 1.0% (0.6% of Total Investments) |
||||||||||||||
| 444 | Hertz Corporation, Synthetic Term Loan |
7.640% | 12/21/12 | BB+ | 448,278 | |||||||||
| 3,531 | Hertz Corporation, Term Loan B |
7.654% | 12/21/12 | BB | 3,561,630 | |||||||||
| 3,975 | Total Road & Rail |
4,009,908 | ||||||||||||
Semiconductors & Equipment – 2.0% (1.2% of Total Investments) |
||||||||||||||
| 8,000 | Advanced Micro Devices, Term Loan B |
7.570% | 12/13/13 | BB- | 8,041,428 | |||||||||
Software – 2.8% (1.7% of Total Investments) |
||||||||||||||
| 4,000 | Reynolds
and Reynolds Company, 2nd Lien Term Loan, WI/DD |
TBD | TBD | B3 | 4,070,834 | |||||||||
| 7,000 | Reynolds
and Reynolds Company, Term Loan, WI/DD |
TBD | TBD | B3 | 7,052,500 | |||||||||
| 11,000 | Total Software |
11,123,334 | ||||||||||||
Specialty Retail – 5.3% (3.2% of Total Investments) |
||||||||||||||
| 4,000 | FGX International Inc., Term Loan B |
9.390% | 11/17/12 | B | 3,980,000 | |||||||||
| 7,000 | Michaels
Stores Inc., Term Loan, WI/DD |
TBD | TBD | B- | 7,035,000 | |||||||||
| 7,000 | Toys “R” Us, Inc., Term Loan |
8.323% | 12/09/08 | N/R | 7,021,875 | |||||||||
| 3,000 | Toys
“R” Us, Inc., Term Loan B |
9.643% | 7/01/12 | B | 3,068,543 | |||||||||
| 21,000 | Total Specialty Retail |
21,105,418 | ||||||||||||
Textiles, Apparel & Luxury Goods – 4.0% (2.4% of Total Investments) |
||||||||||||||
| 995 | Burlington Coat Factory Warehouse Corporation, Term Loan |
7.530% | 4/13/13 | B | 982,330 | |||||||||
| 2,000 | HanesBrands
Inc., Term Loan |
7.679% | 8/15/13 | BB- | 2,019,500 | |||||||||
| 1,000 | HanesBrands
Inc., 2nd Lien Term Loan |
9.188% | 8/15/14 | B- | 1,026,437 | |||||||||
| 11,942 | Visant Holding Corporation, Term Loan C |
7.122% | 7/29/10 | B+ | 12,013,812 | |||||||||
| 15,937 | Total Textiles, Apparel & Luxury Goods |
16,042,079 | ||||||||||||
Trading
Companies & Distributors – 0.5% (0.3% of Total Investments) |
||||||||||||||
| 2,000 | Ashtead Group Public Limited Company, Term Loan B |
1.750% | 8/01/11 | B3 | 2,000,000 | |||||||||
| $ | 542,561 | Total
Variable Rate Senior Loan Interests (cost $539,233,357) |
540,015,039 | |||||||||||
| Principal | ||||||||||||||
| Amount (000) | Description (1) | Coupon | Maturity | Ratings (4) | Value | |||||||||
Corporate Bonds – 19.8% (12.0% of Total Investments) |
||||||||||||||
Building Products – 0.7% (0.4% of Total Investments) |
||||||||||||||
| $ | 3,000 | Stile
Acquisition Corporation, 144A, WI/DD |
11.000% | 4/06/15 | N/R | $ | 2,715,000 | |||||||
Diversified Telecommunication Services – 4.0% (2.5% of Total Investments) |
||||||||||||||
| 5,000 | Intelsat
Subsidiary Holding Company Limited, Floating Rate Note, 4.875% plus six month LIBOR |
10.263% | 1/15/12 | B+ | 5,093,750 | |||||||||
| 10,000 | Qwest
Corporation, Floating Rate Note, 3.250% plus
three-month LIBOR |
8.621% | 6/15/13 | N/R | 10,825,000 | |||||||||
| 15,000 | Total Diversified Telecommunication Services |
15,918,750 | ||||||||||||
Electronic Equipment & Instruments – 2.8% (1.7% of Total Investments) |
||||||||||||||
| 11,000 | NXP
BV, Floating Rate Note, 2.70% plus three-month LIBOR, 144A |
8.121% | 10/15/13 | BB+ | 11,151,250 | |||||||||
Food & Staples Retailing – 2.5% (1.5% of Total Investments) |
||||||||||||||
| 10,000 | Stater
Brothers Holdings Inc., Floating Rate Note, 3.500% plus three-month
LIBOR |
8.871% | 6/15/10 | B+ | 10,100,000 | |||||||||
Health Care Equipment & Supplies – 0.4% (0.2% of Total Investments) |
||||||||||||||
| 1,500 | Encore
Medical Finance LLC, 144A, WI/DD |
11.750% | 11/15/14 | CCC+ | 1,507,500 | |||||||||
Hotels, Restaurants & Leisure – 1.1% (0.7% of Total Investments) |
||||||||||||||
| 4,440 | Park Place Entertainment |
8.500% | 11/15/06 | Baa3 | 4,443,654 | |||||||||
Media – 4.0% (2.4% of Total Investments) |
||||||||||||||
| 15,000 | Cablevision
Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR |
9.888% | 4/01/09 | B+ | 15,787,500 | |||||||||
Paper & Forest Products – 0.5% (0.3% of Total Investments) |
||||||||||||||
| 2,000 | Verso Paper Holdings LLC., 144A |
9.125% | 8/01/14 | B+ | 2,040,000 | |||||||||
Real Estate Investment Trust – 1.1% (0.7% of Total Investments) |
||||||||||||||
| 3,000 | Felcor
Lodging Trust Inc., Floating Rate Note, 1.875% plus six-month
LIBOR, 144A |
7.263% | 12/01/11 | Ba3 | 2,992,500 | |||||||||
| 1,500 | TFS
Acquisition Corporation, Floating Rate Note, 7.500% plus
three-month LIBOR 144A |
12.871% | 8/01/14 | B- | 1,490,625 | |||||||||
| 4,500 | Total Real Estate Investment Trust |
4,483,125 | ||||||||||||
Semiconductors & Equipment – 1.3% (0.8% of Total Investments) |
||||||||||||||
| 5,000 | Avago
Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus
three-month LIBOR,144A |
10.871% | 6/01/13 | B | 5,250,000 | |||||||||
Trading
Companies & Distributors – 1.4% (0.8% of Total Investments) |
||||||||||||||
| 3,000 | Neff Rental LLC/Neff Finance Corporation, 144A |
11.250% | 6/15/12 | B- | 3,262,500 | |||||||||
| 2,000 | Penhall
International Corporation, 144A |
12.000% | 8/01/14 | B3 | 2,140,000 | |||||||||
| 5,000 | Total
Trading Companies & Distributors |
5,402,500 | ||||||||||||
| $ | 76,440 | Total
Corporate Bonds (cost $77,119,173) |
78,799,279 | |||||||||||
| Shares | Description (1) | Value | ||||||||||||
Investment Companies – 0.7% (0.4% of Total Investments) |
||||||||||||||
| 369,650 | ING Prime Rate Trust |
$ | 2,639,301 | |||||||||||
Total Investment Companies (cost $2,516,171) |
2,639,301 | |||||||||||||
| Shares | Description (1) | Value | ||||||||||||
Warrants – 0.0% (0.0% of Total Investments) |
||||||||||||||
| 26,182 | Reliant Energy Inc. |
$ | 189,820 | |||||||||||
Total Warrants (cost $184,678) |
189,820 | |||||||||||||
| Principal | ||||||||||||||||
| Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||||
Short-Term Investments – 8.6% (5.2% of Total Investments) |
||||||||||||||||
| $ | 34,327 | Repurchase Agreement with State Street Bank, dated 10/31/06, repurchase price $34,331,878
collateralized by $34,930,000, U.S. Treasury Notes, 4.875%, due 10/31/08, value $35,017,325 |
5.050% | 11/01/06 | $ | 34,327,063 | ||||||||||
Total Short-Term Investments (cost $34,327,063) |
34,327,063 | |||||||||||||||
Total
Investments (cost $653,380,442) – 164.9% |
655,970,502 | |||||||||||||||
Other Assets Less Liabilities – (4.6)% |
(18,237,375 | ) | ||||||||||||||
Preferred Shares, at Liquidation Value – (60.3)% |
(240,000,000 | ) | ||||||||||||||
Net Assets Applicable to Common Shares – 100% |
$ | 397,733,127 | ||||||||||||||
| (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 & Poor’s or Moody’s rating.
Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s
Investor Service, Inc. are considered to be below investment grade. |
|
| (5) | At or subsequent to October 31, 2006, this issue was under the protection of the Federal Bankruptcy Court. |
|
| (6) | Position represents an unfunded Senior Loan commitment
outstanding at October 31, 2006. At October 31, 2006, the Fund had
unfunded Senior Loan commitments of $3,803,021. |
|
| (7) | Negative value represents unrealized depreciation on Senior Loan commitment at October 31, 2006. |
|
| WI/DD | Purchased on a when-issued or delayed delivery basis. |
|
| DD1 | Portion purchased on a delayed delivery basis. |
|
| N/R | Not rated. |
|
| 144A | Investment is exempt from registration under Rule 144A of the
Securities Act of 1933, as amended. These investments may only be
resold in transactions exempt from registration which are normally
those transactions with qualified institutional buyers. |
|
| 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. |
|
| (PIK) | In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding. |
|
Gross unrealized: |
||||
Appreciation |
$ | 4,229,128 | ||
Depreciation |
(2,629,748 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | 1,599,380 | ||
| a. | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s 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 registrant’s 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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| By (Signature and Title)* | /s/ Jessica R. Droeger | |||
| Jessica R. Droeger | ||||
| 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. |