Eaton Vance Senior Floating-Rate Trust

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21411

Investment Company Act File Number

Eaton Vance Senior Floating-Rate Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

July 31, 2012

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments


Eaton Vance

Senior Floating-Rate Trust

July 31, 2012

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 144.4%(1)

 

                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Aerospace and Defense — 2.8%

     

AVIO S.p.A.

     

Term Loan, Maturing June 14, 2017(2)

     625       $ 601,563   

Term Loan, Maturing December 14, 2017(2)

     650         625,625   

Term Loan, 3.91%, Maturing December 14, 2017

   EUR  550         666,569   

Booz Allen Hamilton Inc.

     

Term Loan, Maturing July 31, 2019(2)

     825         816,750   

DAE Aviation Holdings, Inc.

     

Term Loan, 5.45%, Maturing July 31, 2014

     880         879,713   

Term Loan, 5.45%, Maturing July 31, 2014

     925         925,181   

Ducommun Incorporated

     

Term Loan, 5.50%, Maturing June 28, 2017

     1,500         1,503,575   

IAP Worldwide Services, Inc.

     

Term Loan, 9.25%, Maturing December 28, 2012

     1,760         1,507,940   

Sequa Corporation

     

Term Loan, 3.72%, Maturing December 3, 2014

     794         783,936   

Term Loan, 6.25%, Maturing December 3, 2014

     249         249,372   

TASC, Inc.

     

Term Loan, 4.50%, Maturing December 18, 2015

     1,433         1,417,732   

Transdigm, Inc.

     

Term Loan, 4.00%, Maturing February 14, 2017

     821         822,927   

Term Loan, 4.00%, Maturing February 14, 2017

     2,362         2,369,842   

Wesco Aircraft Hardware Corp.

     

Term Loan, 4.25%, Maturing April 7, 2017

     389         389,168   

Wyle Services Corporation

     

Term Loan, 5.00%, Maturing March 27, 2017

     810         803,615   
     

 

 

 
      $ 14,363,508   
     

 

 

 

Air Transport — 0.3%

     

Evergreen International Aviation, Inc.

     

Term Loan, 11.50%, Maturing June 30, 2015

     824       $ 759,859   

Orbitz Worldwide Inc.

     

Term Loan, 3.25%, Maturing July 25, 2014

     990         953,331   
     

 

 

 
      $ 1,713,190   
     

 

 

 

Automotive — 7.0%

     

Allison Transmission, Inc.

     

Term Loan, 2.75%, Maturing August 7, 2014

     3,535       $ 3,530,454   

Autoparts Holdings Limited

     

Term Loan, 6.50%, Maturing July 28, 2017

     397         386,579   

Chrysler Group LLC

     

Term Loan, 6.00%, Maturing May 24, 2017

     6,939         7,059,652   

Delphi Corporation

     

Term Loan, 3.50%, Maturing March 31, 2017

     1,385         1,389,217   

Federal-Mogul Corporation

     

Term Loan, 2.18%, Maturing December 29, 2014

     2,413         2,300,295   

Term Loan, 2.19%, Maturing December 28, 2015

     3,032         2,890,661   

 

1

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Goodyear Tire & Rubber Company (The)

     

Term Loan - Second Lien, 4.75%, Maturing April 30, 2019

     6,650       $ 6,586,825   

HHI Holdings LLC

     

Term Loan, 7.00%, Maturing March 21, 2017

     1,735         1,743,449   

Metaldyne Company LLC

     

Term Loan, 5.25%, Maturing May 18, 2017

     2,176         2,177,362   

SRAM, LLC

     

Term Loan, 4.78%, Maturing June 7, 2018

     1,223         1,225,400   

Term Loan - Second Lien, 8.50%, Maturing December 7, 2018

     500         503,750   

Tomkins LLC

     

Term Loan, 4.25%, Maturing September 29, 2016

     1,923         1,932,109   

TriMas Corporation

     

Term Loan, 4.25%, Maturing June 21, 2017

     1,016         1,016,166   

Veyance Technologies, Inc.

     

Term Loan, 2.50%, Maturing July 31, 2014

     234         226,757   

Term Loan, 2.50%, Maturing July 31, 2014

     1,634         1,583,143   

Term Loan, 5.50%, Maturing July 31, 2014

     324         321,756   

Term Loan - Second Lien, 6.00%, Maturing July 31, 2015

     1,275         1,192,125   
     

 

 

 
      $ 36,065,700   
     

 

 

 

Building and Development — 1.8%

     

Armstrong World Industries, Inc.

     

Term Loan, 4.00%, Maturing March 9, 2018

     891       $ 889,539   

Forestar Real Estate Group Inc.

     

Revolving Loan, 0.49%, Maturing August 6, 2013(3)

     244         229,723   

Term Loan, 6.50%, Maturing August 6, 2015

     2,240         2,161,715   

Goodman Global Inc.

     

Term Loan, 5.75%, Maturing October 28, 2016

     1,676         1,680,728   

Panolam Industries International, Inc.

     

Term Loan, 8.25%, Maturing December 31, 2013

     1,403         1,388,625   

Preferred Proppants, LLC

     

Term Loan, 7.50%, Maturing December 15, 2016

     721         681,699   

RE/MAX International, Inc.

     

Term Loan, 5.50%, Maturing April 15, 2016

     1,676         1,676,467   

Realogy Corporation

     

Term Loan, 3.25%, Maturing October 10, 2013

     116         110,630   

Summit Materials Companies I, LLC

     

Term Loan, 6.00%, Maturing January 30, 2019

     474         476,774   
     

 

 

 
      $ 9,295,900   
     

 

 

 

Business Equipment and Services — 13.3%

     

ACCO Brands Corporation

     

Term Loan, 4.25%, Maturing April 30, 2019

     498       $ 499,366   

Acosta, Inc.

     

Term Loan, 5.75%, Maturing March 1, 2018

     673         676,679   

Term Loan, 5.75%, Maturing March 1, 2018

     2,231         2,239,407   

Advantage Sales & Marketing, Inc.

     

Term Loan, 5.25%, Maturing December 18, 2017

     2,220         2,215,789   

Affinion Group, Inc.

     

Term Loan, 5.00%, Maturing July 15, 2015

     4,577         4,023,901   

Allied Security Holdings, LLC

     

Term Loan, 5.25%, Maturing February 3, 2017

     568         566,393   

Altegrity, Inc.

     

Term Loan, 7.75%, Maturing February 20, 2015

     692         690,486   

Term Loan, 3.00%, Maturing February 21, 2015

     707         671,097   

 

2

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

BAR/BRI Review Courses, Inc.

     

Term Loan, 6.00%, Maturing June 16, 2017

     632       $ 630,867   

Brand Energy & Infrastructure Services, Inc.

     

Term Loan, 2.50%, Maturing February 7, 2014

     2,667         2,511,541   

Term Loan, 3.73%, Maturing February 7, 2014

     732         693,330   

Brickman Group Holdings Inc.

     

Term Loan, 5.50%, Maturing October 14, 2016

     1,425         1,430,490   

Brock Holdings III, Inc.

     

Term Loan, 6.01%, Maturing March 16, 2017

     1,102         1,104,556   

ClientLogic Corporation

     

Term Loan, 7.21%, Maturing January 30, 2017

     1,567         1,449,199   

Corporate Executive Board Company, The

     

Term Loan, Maturing July 2, 2019(2)

     525         527,625   

DynCorp International LLC

     

Term Loan, 6.25%, Maturing July 7, 2016

     611         610,718   

Education Management LLC

     

Term Loan, 8.25%, Maturing March 29, 2018

     2,069         1,984,020   

EIG Investors Corp.

     

Term Loan, 7.75%, Maturing April 20, 2018

     1,425         1,423,219   

Expert Global Solutions, Inc.

     

Term Loan, 8.00%, Maturing April 3, 2018

     1,945         1,954,040   

Genesys Telecom Holdings, U.S., Inc.

     

Term Loan, 6.75%, Maturing January 31, 2019

     623         628,113   

Go Daddy Operating Company, LLC

     

Term Loan, 5.50%, Maturing December 17, 2018

     1,439         1,424,734   

IMS Health Incorporated

     

Term Loan, 4.50%, Maturing August 25, 2017

     1,271         1,273,291   

KAR Auction Services, Inc.

     

Term Loan, 5.00%, Maturing May 19, 2017

     2,818         2,838,925   

Kronos, Inc.

     

Term Loan, 5.22%, Maturing June 9, 2017

     996         998,960   

Term Loan, 6.25%, Maturing December 28, 2017

     821         824,466   

Term Loan - Second Lien, 10.46%, Maturing June 11, 2018

     1,000         1,010,000   

Language Line, LLC

     

Term Loan, 6.25%, Maturing June 20, 2016

     2,037         2,017,773   

Meritas LLC

     

Term Loan, 7.50%, Maturing July 28, 2017

     743         740,644   

Mitchell International, Inc

     

Term Loan - Second Lien, 5.75%, Maturing March 30, 2015

     1,000         982,500   

Monitronics International Inc

     

Term Loan, 5.50%, Maturing March 16, 2018

     848         855,294   

Quintiles Transnational Corp.

     

Term Loan, 5.00%, Maturing June 8, 2018

     4,282         4,291,088   

Sabre, Inc.

     

Term Loan, 2.25%, Maturing September 30, 2014

     5,906         5,781,765   

Sensus USA Inc.

     

Term Loan, 4.75%, Maturing May 9, 2017

     667         666,979   

Term Loan - Second Lien, 8.50%, Maturing May 9, 2018

     1,000         1,001,875   

Softlayer Technologies, Inc.

     

Term Loan, 7.25%, Maturing November 5, 2016

     640         641,851   

SunGard Data Systems, Inc.

     

Term Loan, 3.94%, Maturing February 26, 2016

     4,742         4,752,056   

Term Loan, 4.00%, Maturing February 28, 2017

     1,547         1,547,496   

SymphonyIRI Group, Inc.

     

Term Loan, 5.00%, Maturing December 1, 2017

     817         813,687   

 

3

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Trans Union, LLC

     

Term Loan, 5.50%, Maturing February 12, 2018

     2,871       $ 2,896,335   

Travelport LLC

     

Term Loan, 4.96%, Maturing August 21, 2015

     553         506,743   

Term Loan, 4.96%, Maturing August 21, 2015

     2,856         2,618,393   

Term Loan, 5.06%, Maturing August 21, 2015

   EUR 741         823,051   

U.S. Security Holdings, Inc.

     

Term Loan, 6.00%, Maturing July 28, 2017

     118         118,027   

Term Loan, 6.00%, Maturing July 28, 2017

     602         603,028   

West Corporation

     

Term Loan, 4.50%, Maturing July 15, 2016

     679         678,616   

Term Loan, 4.59%, Maturing July 15, 2016

     1,933         1,930,702   
     

 

 

 
      $ 69,169,115   
     

 

 

 

Cable and Satellite Television — 5.8%

     

Atlantic Broadband Finance, LLC

     

Term Loan, 5.25%, Maturing April 4, 2019

     1,300       $ 1,308,125   

Term Loan - Second Lien, 9.75%, Maturing October 4, 2019

     775         813,750   

BBHI Acquisition LLC

     

Term Loan, 4.50%, Maturing December 14, 2017

     1,231         1,237,920   

Bragg Communications Incorporated

     

Term Loan, 4.00%, Maturing February 28, 2018

     399         399,499   

Cequel Communications, LLC

     

Term Loan, 4.00%, Maturing February 14, 2019

     4,389         4,350,939   

Charter Communications Operating, LLC

     

Term Loan, 3.50%, Maturing September 6, 2016

     762         760,383   

Term Loan, 4.00%, Maturing May 15, 2019

     299         299,345   

Crown Media Holdings, Inc.

     

Term Loan, 5.75%, Maturing July 14, 2018

     476         477,190   

CSC Holdings, Inc.

     

Term Loan, 2.00%, Maturing March 29, 2016

     2,842         2,827,623   

Kabel Deutschland GMBH

     

Term Loan, 4.25%, Maturing February 1, 2019

     1,075         1,073,955   

Lavena Holdings 4 GmbH

     

Term Loan, 2.95%, Maturing March 6, 2015

   EUR 369         392,818   

Term Loan, 3.32%, Maturing March 4, 2016

   EUR 369         392,818   

Term Loan, 7.70%, Maturing March 6, 2017(4)

   EUR 398         320,933   

Term Loan - Second Lien, 4.45%, Maturing September 2, 2016

   EUR 520         497,176   

Mediacom Broadband LLC

     

Term Loan, 4.50%, Maturing October 23, 2017

     1,446         1,441,886   

Mediacom Illinois, LLC

     

Term Loan, 1.95%, Maturing January 30, 2015

     3,589         3,480,894   

Mediacom LLC

     

Term Loan, 4.50%, Maturing October 23, 2017

     809         803,195   

P7S1 Broadcasting Holding II B.V.

     

Term Loan, 3.18%, Maturing July 1, 2016

   EUR 1,781         2,087,190   

UPC Broadband Holding B.V.

     

Term Loan, 4.13%, Maturing December 31, 2016

   EUR 2,353         2,863,462   

Term Loan, 4.38%, Maturing December 29, 2017

   EUR  1,619         1,974,823   

UPC Financing Partnership

     

Term Loan, 3.75%, Maturing December 30, 2016

     409         405,892   

Term Loan, 3.75%, Maturing December 29, 2017

     1,264         1,253,890   

Term Loan, 4.75%, Maturing December 29, 2017

     375         375,937   
     

 

 

 
      $ 29,839,643   
     

 

 

 

 

4

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Chemicals and Plastics — 5.2%

     

AZ Chem US Inc.

     

Term Loan, 7.25%, Maturing December 22, 2017

     2,008       $ 2,023,014   

Emerald Performance Materials, LLC

     

Term Loan, 6.75%, Maturing May 18, 2018

     700         698,250   

General Chemical Corporation

     

Term Loan, 5.00%, Maturing October 6, 2015

     541         539,043   

Harko C.V.

     

Term Loan, 5.75%, Maturing August 2, 2017

     521         521,497   

Houghton International, Inc.

     

Term Loan, 6.75%, Maturing January 29, 2016

     811         814,699   

Huntsman International, LLC

     

Term Loan, 2.54%, Maturing June 30, 2016

     846         840,568   

Term Loan, 2.84%, Maturing April 19, 2017

     1,547         1,537,999   

Ineos US Finance LLC

     

Term Loan, 6.50%, Maturing May 4, 2018

     3,441         3,379,306   

Momentive Performance Materials Inc.

     

Term Loan, 3.75%, Maturing May 29, 2015

     648         617,307   

Momentive Performance Materials USA Inc.

     

Term Loan, 3.75%, Maturing May 5, 2015

     1,388         1,332,037   

Momentive Specialty Chemicals Inc.

     

Term Loan, 4.00%, Maturing May 5, 2015

     1,665         1,627,268   

Term Loan, 4.25%, Maturing May 5, 2015

     475         458,375   

Term Loan, 4.25%, Maturing May 5, 2015

     754         737,322   

OEP Pearl Dutch Acquisition B.V.

     

Term Loan, 6.50%, Maturing March 30, 2018

     97         97,743   

Omnova Solutions Inc.

     

Term Loan, 5.50%, Maturing May 31, 2017

     985         991,156   

PolyOne Corp.

     

Term Loan, 5.00%, Maturing December 20, 2017

     498         500,402   

Schoeller Arca Systems Holding B.V.

     

Term Loan, 5.17%, Maturing November 16, 2015

   EUR  145         124,475   

Term Loan, 5.17%, Maturing November 16, 2015

   EUR 412         354,899   

Term Loan, 5.17%, Maturing November 16, 2015

   EUR 443         381,906   

Sonneborn LLC

     

Term Loan, 6.50%, Maturing March 30, 2018

     551         553,874   

Styron S.A.R.L., LLC

     

Term Loan, 6.08%, Maturing August 2, 2017

     2,857         2,667,257   

Taminco Global Chemical Corporation

     

Term Loan, 5.25%, Maturing February 15, 2019

     374         375,699   

Tronox Pigments (Netherlands) B.V.

     

Term Loan, 4.25%, Maturing February 8, 2018

     552         542,405   

Term Loan, 4.25%, Maturing February 8, 2018

     2,023         1,987,808   

Univar Inc.

     

Term Loan, 5.00%, Maturing June 30, 2017

     3,536         3,520,158   
     

 

 

 
      $ 27,224,467   
     

 

 

 

Clothing/Textiles — 0.5%

     

Ascena Retail Group, Inc.

     

Term Loan, 4.75%, Maturing June 14, 2018

     875       $ 877,005   

Phillips-Van Heusen Corporation

     

Term Loan, 3.50%, Maturing May 6, 2016

     543         543,387   

Warnaco Inc.

     

Term Loan, 3.75%, Maturing June 15, 2018

     495         496,238   

 

5

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Wolverine Worldwide, Inc.

     

Term Loan, Maturing June 26, 2019(2)

     525       $ 527,953   
     

 

 

 
      $ 2,444,583   
     

 

 

 

Conglomerates — 2.7%

     

Jason Incorporated

     

Term Loan, 8.25%, Maturing September 21, 2014

     170       $ 171,388   

Term Loan, 7.75%, Maturing September 22, 2014

     223         224,734   

Term Loan, 8.25%, Maturing September 22, 2014

     68         68,470   

Rexnord Corporation

     

Term Loan, 5.00%, Maturing April 2, 2018

     3,259         3,284,613   

RGIS Services, LLC

     

Term Loan, 4.71%, Maturing October 18, 2016

     2,514         2,451,012   

Term Loan, 5.50%, Maturing October 18, 2017

     1,397         1,389,517   

Rocket Software, Inc.

     

Term Loan, 7.00%, Maturing February 8, 2018

     1,244         1,239,086   

Term Loan - Second Lien, 10.25%, Maturing February 8, 2019

     750         746,250   

Spectrum Brands, Inc.

     

Term Loan, 5.00%, Maturing June 17, 2016

     2,261         2,272,772   

Walter Energy, Inc.

     

Term Loan, 4.00%, Maturing April 2, 2018

     2,092         2,070,975   
     

 

 

 
      $ 13,918,817   
     

 

 

 

Containers and Glass Products — 2.3%

     

Berry Plastics Corporation

     

Term Loan, 2.25%, Maturing April 3, 2015

     1,934       $ 1,894,033   

BWAY Corporation

     

Term Loan, 4.50%, Maturing February 23, 2018

     152         152,379   

Term Loan, 4.50%, Maturing February 23, 2018

     1,511         1,511,978   

Hilex Poly Co. LLC

     

Term Loan, 11.25%, Maturing November 16, 2015

     790         805,324   

Pelican Products, Inc.

     

Term Loan, 7.00%, Maturing July 11, 2018

     500         499,375   

Reynolds Group Holdings Inc.

     

Term Loan, 6.50%, Maturing February 9, 2018

     2,760         2,790,566   

Term Loan, 6.50%, Maturing August 9, 2018

     2,774         2,809,117   

Sealed Air Corporation

     

Term Loan, 4.75%, Maturing October 3, 2018

     637         646,080   

TricorBraun, Inc.

     

Term Loan, 5.50%, Maturing May 3, 2018

     625         626,562   
     

 

 

 
      $ 11,735,414   
     

 

 

 

Cosmetics/Toiletries — 0.8%

     

Bausch & Lomb, Inc.

     

Term Loan, 5.25%, Maturing May 17, 2019

     3,000       $ 3,006,375   

KIK Custom Products, Inc.

     

Term Loan - Second Lien, 5.25%, Maturing November 28, 2014

     975         669,257   

Prestige Brands, Inc.

     

Term Loan, 5.27%, Maturing January 31, 2019

     439         443,467   
     

 

 

 
      $ 4,119,099   
     

 

 

 

Drugs — 1.5%

     

Aptalis Pharma, Inc.

     

Term Loan, 5.50%, Maturing February 10, 2017

     499       $ 491,892   

Term Loan, 5.50%, Maturing February 10, 2017

     1,975         1,937,120   

 

6

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Capsugel Holdings US, Inc.

     

Term Loan, 5.25%, Maturing August 1, 2018

     1,210       $ 1,218,170   

Endo Pharmaceuticals Holdings Inc.

     

Term Loan, 4.00%, Maturing June 18, 2018

     436         438,031   

Warner Chilcott Company, LLC

     

Term Loan, 4.25%, Maturing March 15, 2018

     796         796,706   

Warner Chilcott Corporation

     

Term Loan, 4.25%, Maturing March 15, 2018

     1,591         1,593,412   

WC Luxco S.a.r.l.

     

Term Loan, 4.25%, Maturing March 15, 2018

     1,094         1,095,471   
     

 

 

 
      $ 7,570,802   
     

 

 

 

Ecological Services and Equipment — 0.1%

     

Envirotest Systems Holding Corp.

     

Term Loan - Second Lien, 15.50%, Maturing March 31, 2017(5)

     286       $ 294,070   

Viking Consortium Borrower Limited

     

Term Loan - Second Lien, 7.32%, Maturing March 31, 2016(4)(5)

   GBP  523         266,590   
     

 

 

 
      $ 560,660   
     

 

 

 

Electronics/Electrical — 10.0%

     

Aeroflex Incorporated

     

Term Loan, 5.75%, Maturing May 9, 2018

     1,927       $ 1,887,689   

Aspect Software, Inc.

     

Term Loan, 6.25%, Maturing May 6, 2016

     1,458         1,446,600   

Attachmate Corporation

     

Term Loan, 7.25%, Maturing November 22, 2017

     3,100         3,100,484   

Cinedigm Digital Funding I, LLC

     

Term Loan, 5.25%, Maturing April 29, 2016

     466         465,098   

CommScope, Inc.

     

Term Loan, 4.25%, Maturing January 12, 2018

     2,098         2,100,418   

Dealer Computer Services, Inc.

     

Term Loan, 3.75%, Maturing April 20, 2018

     1,737         1,735,257   

DG FastChannel, Inc.

     

Term Loan, 5.75%, Maturing July 26, 2018

     1,526         1,518,213   

Eagle Parent, Inc.

     

Term Loan, 5.00%, Maturing May 16, 2018

     2,574         2,562,417   

Edwards (Cayman Islands II) Limited

     

Term Loan, 5.50%, Maturing May 31, 2016

     433         432,618   

Term Loan, 5.50%, Maturing May 31, 2016

     1,075         1,073,420   

FCI International

     

Term Loan, 3.72%, Maturing November 1, 2013

     123         121,608   

Term Loan, 3.72%, Maturing November 1, 2013

     123         121,608   

Term Loan, 3.72%, Maturing November 1, 2013

     128         126,316   

Term Loan, 3.72%, Maturing November 1, 2013

     128         126,316   

Freescale Semiconductor, Inc.

     

Term Loan, 4.50%, Maturing December 1, 2016

     3,498         3,297,075   

Lawson Software Inc.

     

Term Loan, 6.25%, Maturing April 5, 2018

     5,062         5,116,889   

Magic Newco LLC

     

Term Loan, 7.25%, Maturing December 12, 2018

     1,400         1,383,813   

Microsemi Corporation

     

Term Loan, 4.00%, Maturing February 2, 2018

     1,505         1,499,424   

NeuStar, Inc.

     

Term Loan, 5.00%, Maturing November 8, 2018

     943         946,411   

 

7

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Nxp B.V.

     

Term Loan, 4.50%, Maturing March 3, 2017

     1,666       $ 1,649,588   

Term Loan, 5.50%, Maturing March 3, 2017

     1,017         1,020,280   

Term Loan, 5.25%, Maturing March 19, 2019

     1,621         1,618,911   

Open Solutions, Inc.

     

Term Loan, 2.58%, Maturing January 23, 2014

     1,990         1,904,295   

Rovi Solutions Corporation

     

Term Loan, 4.00%, Maturing March 28, 2019

     823         797,200   

SafeNet Inc.

     

Term Loan, 2.75%, Maturing April 12, 2014

     812         798,407   

Semtech Corp

     

Term Loan, 4.25%, Maturing March 20, 2017

     399         400,247   

Sensata Technologies Finance Company, LLC

     

Term Loan, 4.00%, Maturing May 11, 2018

     3,490         3,488,103   

Serena Software, Inc.

     

Term Loan, 4.25%, Maturing March 10, 2016

     474         463,335   

Term Loan, 5.00%, Maturing March 10, 2016

     350         351,313   

Shield Finance Co S.A.R.L.

     

Term Loan, 6.50%, Maturing May 10, 2019

     1,000         1,000,000   

SkillSoft Corporation

     

Term Loan, 6.50%, Maturing May 26, 2017

     248         250,451   

Term Loan, 6.50%, Maturing May 26, 2017

     978         986,688   

Sophia, L.P.

     

Term Loan, 6.25%, Maturing July 19, 2018

     1,397         1,411,163   

Spansion LLC

     

Term Loan, 4.75%, Maturing February 9, 2015

     521         524,114   

SS&C Technologies Inc.

     

Term Loan, 5.00%, Maturing June 7, 2019

     138         138,022   

Term Loan, 5.00%, Maturing June 7, 2019

     1,337         1,335,056   

Sunquest Information Systems, Inc.

     

Term Loan, 6.55%, Maturing December 16, 2016

     743         742,500   

VeriFone Inc.

     

Term Loan, 4.25%, Maturing December 28, 2018

     498         499,055   

Vertafore, Inc.

     

Term Loan, 5.25%, Maturing July 29, 2016

     985         985,211   

Web.com Group, Inc.

     

Term Loan, 7.00%, Maturing October 27, 2017

     2,566         2,551,649   
     

 

 

 
      $ 51,977,262   
     

 

 

 

Equipment Leasing — 1.2%

     

BakerCorp International, Inc.

     

Term Loan, 4.75%, Maturing June 1, 2018

     1,332       $ 1,329,869   

Delos Aircraft Inc.

     

Term Loan, 4.75%, Maturing April 12, 2016

     1,275         1,286,156   

Flying Fortress Inc.

     

Term Loan, 5.00%, Maturing June 30, 2017

     3,350         3,375,125   
     

 

 

 
      $ 5,991,150   
     

 

 

 

Farming/Agriculture — 0.3%

     

Wm. Bolthouse Farms, Inc.

     

Term Loan, 5.75%, Maturing February 11, 2016

     1,463       $ 1,466,982   
     

 

 

 
      $ 1,466,982   
     

 

 

 

Financial Intermediaries — 5.8%

     

Asset Acceptance Capital Corp.

     

Term Loan, 8.75%, Maturing November 14, 2017

     1,268       $ 1,273,837   

 

8

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

CB Richard Ellis Services, Inc.

     

Term Loan, 3.50%, Maturing March 5, 2018

     687       $ 683,906   

Term Loan, 3.75%, Maturing September 4, 2019

     649         645,911   

Citco III Limited

     

Term Loan, 5.50%, Maturing June 29, 2018

     1,634         1,619,228   

First Data Corporation

     

Term Loan, 3.00%, Maturing September 24, 2014

     257         249,903   

Term Loan, 3.00%, Maturing September 24, 2014

     1,239         1,206,604   

Term Loan, 3.00%, Maturing September 24, 2014

     2,988         2,903,012   

Term Loan, 4.25%, Maturing March 23, 2018

     1,636         1,530,267   

Grosvenor Capital Management Holdings, LLP

     

Term Loan, 4.25%, Maturing December 5, 2016

     1,308         1,286,948   

Hamilton Lane Advisors, LLC

     

Term Loan, 6.50%, Maturing February 23, 2018

     716         715,938   

Harbourvest Partners, LLC

     

Term Loan, 6.25%, Maturing December 16, 2016

     961         961,381   

iPayment, Inc.

     

Term Loan, 5.75%, Maturing May 8, 2017

     917         921,456   

LPL Holdings, Inc.

     

Term Loan, 2.75%, Maturing March 29, 2017

     790         767,946   

Term Loan, 4.00%, Maturing March 29, 2019

     3,067         3,055,810   

Mercury Payment Systems Canada, LLC

     

Term Loan, 5.50%, Maturing July 3, 2017

     644         646,718   

MIP Delaware, LLC

     

Term Loan, 5.50%, Maturing July 12, 2018

     752         755,735   

Nuveen Investments, Inc.

     

Term Loan, 5.96%, Maturing May 12, 2017

     2,429         2,418,559   

Term Loan, 5.95%, Maturing May 13, 2017

     1,651         1,647,460   

Term Loan, 7.25%, Maturing May 13, 2017

     1,492         1,504,427   

Oz Management LP

     

Term Loan, 1.75%, Maturing November 15, 2016

     1,322         1,142,684   

RJO Holdings Corp.

     

Term Loan, 6.25%, Maturing December 10, 2015(5)

     7         5,773   

Term Loan, 7.00%, Maturing December 10, 2015(5)

     223         175,307   

RPI Finance Trust

     

Term Loan, 4.00%, Maturing May 9, 2018

     3,459         3,463,759   

Vantiv, LLC

     

Term Loan, 3.75%, Maturing March 27, 2019

     474         474,799   
     

 

 

 
      $ 30,057,368   
     

 

 

 

Food Products — 4.3%

     

American Seafoods Group LLC

     

Term Loan, 4.25%, Maturing March 16, 2018

     637       $ 623,028   

Clearwater Seafoods Limited Partnership

     

Term Loan, 6.75%, Maturing June 6, 2018

     1,050         1,049,344   

Del Monte Foods Company

     

Term Loan, 4.50%, Maturing March 8, 2018

     4,244         4,180,622   

Dole Food Company Inc.

     

Term Loan, 5.04%, Maturing July 6, 2018

     962         964,098   

Hearthside Food Solutions, LLC

     

Term Loan, 6.50%, Maturing June 5, 2018

     1,175         1,177,937   

High Liner Foods Incorporated

     

Term Loan, 7.00%, Maturing December 19, 2017

     647         648,367   

JBS USA Holdings Inc.

     

Term Loan, 4.25%, Maturing May 25, 2018

     990         980,100   

 

9

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Michael Foods Group, Inc.

     

Term Loan, 4.25%, Maturing February 23, 2018

     670       $ 670,565   

NBTY, Inc.

     

Term Loan, 4.25%, Maturing October 2, 2017

     2,809         2,813,390   

Pierre Foods, Inc.

     

Term Loan, 7.00%, Maturing September 30, 2016

     2,223         2,235,913   

Pinnacle Foods Finance LLC

     

Term Loan, 2.75%, Maturing April 2, 2014

     4,983         4,976,486   

Term Loan, 4.75%, Maturing October 17, 2018

     274         274,244   

Solvest Ltd.

     

Term Loan, 5.02%, Maturing July 6, 2018

     1,721         1,725,231   
     

 

 

 
      $ 22,319,325   
     

 

 

 

Food Service — 6.3%

     

Aramark Corporation

     

Term Loan, 3.50%, Maturing July 26, 2016

     4,621       $ 4,611,057   

Term Loan, 3.50%, Maturing July 26, 2016

     169         168,566   

Term Loan, 3.50%, Maturing July 26, 2016

     304         303,246   

Term Loan, 3.65%, Maturing July 26, 2016

     2,094         2,089,750   

Term Loan, 4.27%, Maturing July 26, 2016

   GBP 950         1,465,875   

Brasa Holdings, Inc.

     

Term Loan, 7.50%, Maturing July 19, 2019

     450         441,000   

Burger King Corporation

     

Term Loan, 4.50%, Maturing October 19, 2016

     4,498         4,512,915   

DineEquity, Inc.

     

Term Loan, 4.27%, Maturing October 19, 2017

     1,305         1,308,822   

Dunkin’ Brands, Inc.

     

Term Loan, 4.00%, Maturing November 23, 2017

     3,047         3,036,858   

Landry’s, Inc.

     

Term Loan, 6.50%, Maturing April 24, 2018

     1,322         1,327,740   

NPC International, Inc.

     

Term Loan, 5.25%, Maturing December 28, 2018

     673         679,204   

OSI Restaurant Partners, LLC

     

Term Loan, 2.50%, Maturing June 14, 2013

     447         443,153   

Term Loan, 2.56%, Maturing June 14, 2014

     4,886         4,840,603   

P.F. Chang’s China Bistro Inc.

     

Term Loan, 6.25%, Maturing July 2, 2019

     425         428,188   

Sagittarius Restaurants, LLC

     

Term Loan, 7.51%, Maturing May 18, 2015

     413         411,984   

U.S. Foodservice, Inc.

     

Term Loan, 2.75%, Maturing July 3, 2014

     867         840,985   

US Foods, Inc.

     

Term Loan, 5.75%, Maturing March 31, 2017

     2,593         2,483,759   

Weight Watchers International, Inc.

     

Term Loan, 3.75%, Maturing March 15, 2019

     1,322         1,320,719   

Wendy’s International, Inc.

     

Term Loan, 4.75%, Maturing May 15, 2019

     1,950         1,953,859   
     

 

 

 
      $ 32,668,283   
     

 

 

 

Food/Drug Retailers — 4.8%

     

Alliance Boots Holdings Limited

     

Term Loan, 3.11%, Maturing July 9, 2015

   EUR  1,000       $ 1,178,792   

Term Loan, 3.54%, Maturing July 9, 2015

   GBP 2,775         4,110,887   

General Nutrition Centers, Inc.

     

Term Loan, 4.25%, Maturing March 2, 2018

     6,125         6,128,828   

 

10

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Rite Aid Corporation

     

Term Loan, 2.00%, Maturing June 4, 2014

     7,945       $ 7,804,169   

Term Loan, 4.50%, Maturing March 2, 2018

     2,109         2,087,494   

Sprouts Farmers Markets Holdings, LLC

     

Term Loan, 6.00%, Maturing April 18, 2018

     575         572,125   

Supervalu Inc.

     

Term Loan, 5.00%, Maturing April 28, 2018

     3,209         3,197,555   
     

 

 

 
      $ 25,079,850   
     

 

 

 

Health Care — 17.3%

     

Alere, Inc.

     

Term Loan, 4.75%, Maturing June 30, 2017

     474       $ 472,826   

Term Loan, 4.75%, Maturing June 30, 2017

     572         571,947   

Term Loan, 4.75%, Maturing June 30, 2017

     2,357         2,356,452   

Alliance Healthcare Services, Inc.

     

Term Loan, 7.25%, Maturing June 1, 2016

     1,113         1,040,673   

Ardent Medical Services, Inc.

     

Term Loan, 6.50%, Maturing September 15, 2015

     1,774         1,778,694   

Aveta, Inc.

     

Term Loan, 8.50%, Maturing April 4, 2017

     662         662,895   

Term Loan, 8.50%, Maturing April 4, 2017

     662         662,895   

Biomet Inc.

     

Term Loan, 3.37%, Maturing March 25, 2015

     3,667         3,662,272   

BSN Medical Acquisition Holding GmbH

     

Term Loan, Maturing July 27, 2019(2)

     575         578,834   

Catalent Pharma Solutions Inc.

     

Term Loan, 4.25%, Maturing September 15, 2016

     2,122         2,121,880   

Term Loan, 5.25%, Maturing September 15, 2017

     1,121         1,125,532   

CDRL MS, Inc.

     

Term Loan, 6.75%, Maturing October 3, 2016

     783         783,867   

Community Health Systems, Inc.

     

Term Loan, 2.58%, Maturing July 25, 2014

     5,537         5,526,997   

Term Loan, 3.97%, Maturing January 25, 2017

     3,336         3,320,459   

ConMed Corporation

     

Term Loan, 1.75%, Maturing April 12, 2013

     175         173,302   

Convatec Inc.

     

Term Loan, 5.75%, Maturing December 22, 2016

     970         971,339   

CRC Health Corporation

     

Term Loan, 4.96%, Maturing November 16, 2015

     1,906         1,787,327   

DaVita, Inc.

     

Term Loan, 4.50%, Maturing October 20, 2016

     2,955         2,967,006   

DJO Finance LLC

     

Term Loan, 5.25%, Maturing November 1, 2016

     382         380,512   

Term Loan, 6.25%, Maturing September 15, 2017

     324         325,606   

Drumm Investors LLC

     

Term Loan, 5.00%, Maturing May 4, 2018

     2,482         2,396,729   

Emdeon, Inc.

     

Term Loan, 5.00%, Maturing November 2, 2018

     798         801,242   

Emergency Medical Services Corporation

     

Term Loan, 5.25%, Maturing May 25, 2018

     2,219         2,222,590   

Grifols Inc.

     

Term Loan, 4.50%, Maturing June 1, 2017

     2,945         2,947,523   

Hanger Orthopedic Group, Inc.

     

Term Loan, 4.00%, Maturing December 1, 2016

     663         661,642   

 

11

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

HCA, Inc.

     

Term Loan, 3.71%, Maturing March 31, 2017

     6,168       $ 6,089,463   

Term Loan, 3.50%, Maturing May 1, 2018

     2,572         2,538,068   

Health Management Associates, Inc.

     

Term Loan, 4.50%, Maturing November 16, 2018

     1,294         1,295,699   

Hologic, Inc.

     

Term Loan, Maturing July 19, 2019(2)

     1,875         1,888,672   

Iasis Healthcare LLC

     

Term Loan, 5.00%, Maturing May 3, 2018

     1,654         1,653,039   

Immucor, Inc.

     

Term Loan, 7.25%, Maturing August 17, 2018

     695         699,526   

inVentiv Health, Inc.

     

Term Loan, 6.50%, Maturing August 4, 2016

     1,869         1,755,512   

Term Loan, 6.75%, Maturing May 15, 2018

     1,163         1,092,001   

Kindred Healthcare, Inc.

     

Term Loan, 5.25%, Maturing June 1, 2018

     2,807         2,706,176   

Kinetic Concepts, Inc.

     

Term Loan, 7.00%, Maturing May 4, 2018

     4,005         4,068,953   

LHP Hospital Group, Inc.

     

Term Loan, 9.00%, Maturing July 3, 2018

     550         552,750   

MedAssets, Inc.

     

Term Loan, 5.25%, Maturing November 16, 2016

     802         807,219   

Medpace, Inc.

     

Term Loan, 6.50%, Maturing June 16, 2017

     838         804,226   

Multiplan, Inc.

     

Term Loan, 4.75%, Maturing August 26, 2017

     3,141         3,136,144   

MX USA, Inc.

     

Term Loan, 6.50%, Maturing April 28, 2017

     574         570,695   

Onex Carestream Finance LP

     

Term Loan, 5.00%, Maturing February 25, 2017

     1,505         1,459,313   

Pharmaceutical Product Development, Inc.

     

Term Loan, 6.25%, Maturing December 5, 2018

     1,940         1,966,525   

Physiotherapy Associates Holdings, Inc.

     

Term Loan, 6.00%, Maturing April 30, 2018

     300         299,625   

Radnet Management, Inc.

     

Term Loan, 5.75%, Maturing April 6, 2016

     1,075         1,069,874   

Select Medical Corporation

     

Term Loan, 5.50%, Maturing June 1, 2018

     3,014         2,968,094   

Sheridan Holdings, Inc.

     

Term Loan, 6.00%, Maturing June 29, 2018

     575         575,180   

Sunrise Medical Holdings B.V.

     

Term Loan, 6.75%, Maturing May 13, 2014

   EUR 237         282,466   

Thomson Reuters (Healthcare) Inc.

     

Term Loan, 6.75%, Maturing June 6, 2019

     1,425         1,431,234   

TriZetto Group, Inc. (The)

     

Term Loan, 4.75%, Maturing May 2, 2018

     1,460         1,422,831   

Universal Health Services, Inc.

     

Term Loan, 3.75%, Maturing November 15, 2016

     2,078         2,081,742   

Valeant Pharmaceuticals International, Inc.

     

Term Loan, 4.75%, Maturing February 13, 2019

     875         878,281   

Term Loan, 4.75%, Maturing February 13, 2019

     998         1,000,834   

Vanguard Health Holding Co II, LLC

     

Term Loan, 5.00%, Maturing January 29, 2016

     2,064         2,061,133   

 

12

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

VWR Funding, Inc.

     

Term Loan, 2.75%, Maturing June 30, 2014

     1,102       $ 1,101,121   

Term Loan, 4.50%, Maturing April 3, 2017

     1,102         1,105,255   
     

 

 

 
      $ 89,662,692   
     

 

 

 

Home Furnishings — 0.7%

     

Hunter Fan Company

     

Term Loan, 2.75%, Maturing April 16, 2014

     326       $ 307,909   

National Bedding Company LLC

     

Term Loan, 4.00%, Maturing November 28, 2013

     1,424         1,425,961   

Term Loan - Second Lien, 5.25%, Maturing February 28, 2014

     2,050         2,039,750   
     

 

 

 
      $ 3,773,620   
     

 

 

 

Industrial Equipment — 2.4%

     

Colfax Corporation

     

Term Loan, 4.50%, Maturing January 11, 2019

     1,294       $ 1,297,084   

Excelitas Technologies Corp.

     

Term Loan, 4.75%, Maturing November 23, 2016

     983         953,025   

Generac Power Systems, Inc.

     

Term Loan, 6.25%, Maturing May 30, 2018

     1,550         1,561,625   

Grede LLC

     

Term Loan, 7.00%, Maturing April 3, 2017

     825         826,031   

Husky Injection Molding Systems Ltd

     

Term Loan, 6.50%, Maturing June 29, 2018

     2,330         2,344,595   

Kion Group GMBH

     

Term Loan, 2.45%, Maturing December 23, 2014(4)

     1,036         945,906   

Term Loan, 2.95%, Maturing December 23, 2015(4)

     1,036         945,906   

Manitowoc Company, Inc. (The)

     

Term Loan, 4.25%, Maturing November 13, 2017

     560         559,199   

Schaeffler AG

     

Term Loan, 6.00%, Maturing January 27, 2017

     825         828,873   

Tank Intermediate Holding Corp.

     

Term Loan, 7.75%, Maturing June 28, 2019

     1,000         987,500   

Terex Corporation

     

Term Loan, 5.50%, Maturing April 28, 2017

     695         701,263   

Unifrax Corporation

     

Term Loan, 6.50%, Maturing November 28, 2018

     573         579,424   
     

 

 

 
      $ 12,530,431   
     

 

 

 

Insurance — 5.1%

     

Alliant Holdings I, Inc.

     

Term Loan, 3.46%, Maturing August 21, 2014

     2,333       $ 2,336,155   

AmWINS Group, Inc.

     

Term Loan, 5.75%, Maturing June 6, 2019

     1,000         1,000,000   

Term Loan - Second Lien, 9.25%, Maturing December 6, 2019

     3,275         3,258,625   

Applied Systems, Inc

     

Term Loan, 5.50%, Maturing December 8, 2016

     574         572,129   

Term Loan, 5.50%, Maturing December 8, 2016

     1,330         1,329,611   

Asurion LLC

     

Term Loan, 5.50%, Maturing May 24, 2018

     7,423         7,416,194   

Term Loan - Second Lien, 9.00%, Maturing May 24, 2019

     713         740,127   

CCC Information Services, Inc.

     

Term Loan, 5.50%, Maturing November 11, 2015

     1,360         1,362,168   

CNO Financial Group, Inc.

     

Term Loan, 6.25%, Maturing September 30, 2016

     865         869,550   

 

13

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Hub International Limited

     

Term Loan, 4.75%, Maturing June 13, 2017

     2,633       $ 2,634,876   

Term Loan, 6.75%, Maturing December 13, 2017

     559         563,184   

Towergate Finance, PLC

     

Term Loan, 6.50%, Maturing August 4, 2017

   GBP 1,000         1,481,619   

USI Holdings Corporation

     

Term Loan, 2.75%, Maturing May 5, 2014

     2,952         2,921,707   
     

 

 

 
      $ 26,485,945   
     

 

 

 

Leisure Goods/Activities/Movies — 7.7%

     

Alpha D2 Limited

     

Term Loan, 5.75%, Maturing April 28, 2017

     1,995       $ 1,996,973   

AMC Entertainment, Inc.

     

Term Loan, 3.50%, Maturing December 15, 2016

     3,679         3,674,725   

Term Loan, 4.25%, Maturing February 22, 2018

     970         968,185   

AMC Networks Inc.

     

Term Loan, 4.00%, Maturing December 31, 2018

     1,337         1,332,881   

Bombardier Recreational Products, Inc.

     

Term Loan, 4.60%, Maturing June 28, 2016

     2,781         2,777,218   

Bright Horizons Family Solutions, Inc.

     

Term Loan, 4.25%, Maturing May 28, 2015

     901         900,274   

Cedar Fair, L.P.

     

Term Loan, 4.00%, Maturing December 15, 2017

     1,903         1,907,235   

Cinemark USA, Inc.

     

Term Loan, 3.54%, Maturing April 29, 2016

     3,408         3,414,549   

Clubcorp Club Operations, Inc.

     

Term Loan, 6.00%, Maturing November 30, 2016

     2,625         2,636,622   

Dave & Buster’s, Inc.

     

Term Loan, 5.50%, Maturing June 1, 2016

     978         978,722   

Fender Musical Instruments Corporation

     

Term Loan, 2.50%, Maturing June 9, 2014

     272         266,818   

Term Loan, 2.50%, Maturing June 9, 2014

     535         525,423   

Live Nation Entertainment, Inc.

     

Term Loan, 4.50%, Maturing November 7, 2016

     2,248         2,238,414   

Regal Cinemas, Inc.

     

Term Loan, 3.29%, Maturing August 23, 2017

     4,334         4,317,071   

Revolution Studios Distribution Company, LLC

     

Term Loan, 4.00%, Maturing December 21, 2014(5)

     760         609,482   

Term Loan - Second Lien, 7.25%, Maturing June 21, 2015(5)

     800         340,880   

SeaWorld Parks & Entertainment, Inc.

     

Term Loan, 4.00%, Maturing August 17, 2017

     2,385         2,382,453   

Six Flags Theme Parks, Inc.

     

Term Loan, 4.25%, Maturing December 20, 2018

     2,150         2,148,824   

Town Sports International Inc.

     

Term Loan, 7.00%, Maturing May 11, 2018

     1,841         1,861,973   

Zuffa LLC

     

Term Loan, 2.25%, Maturing June 19, 2015

     3,871         3,758,504   

Term Loan, 9.25%, Maturing June 19, 2015

     748         751,836   
     

 

 

 
      $ 39,789,062   
     

 

 

 

Lodging and Casinos — 2.9%

     

Affinity Gaming, LLC

     

Term Loan, 5.50%, Maturing November 9, 2017

     424       $ 424,732   

Ameristar Casinos, Inc.

     

Term Loan, 4.00%, Maturing April 16, 2018

     1,029         1,033,743   

 

14

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Caesars Entertainment Operating Company

     

Term Loan, 9.50%, Maturing October 31, 2016

     2,925       $ 2,960,466   

Term Loan, 5.50%, Maturing January 26, 2018

     2,081         1,839,013   

Gala Group LTD

     

Term Loan, 5.58%, Maturing May 30, 2018

   GBP  2,625         3,765,780   

Isle of Capri Casinos, Inc.

     

Term Loan, 4.75%, Maturing November 1, 2013

     913         917,434   

Las Vegas Sands LLC

     

Term Loan, 2.84%, Maturing November 23, 2016

     468         456,180   

Term Loan, 2.84%, Maturing November 23, 2016

     1,855         1,826,962   

LodgeNet Entertainment Corporation

     

Term Loan, 6.50%, Maturing April 4, 2014

     1,026         684,707   

Pinnacle Entertainment, Inc.

     

Term Loan, 4.00%, Maturing March 19, 2019

     574         574,100   

Tropicana Entertainment Inc.

     

Term Loan, 7.50%, Maturing March 16, 2018

     349         350,871   
     

 

 

 
      $ 14,833,988   
     

 

 

 

Nonferrous Metals/Minerals — 2.4%

     

Arch Coal, Inc

     

Term Loan, 5.75%, Maturing May 16, 2018

     2,375       $ 2,346,056   

Fairmount Minerals LTD

     

Term Loan, 5.25%, Maturing March 15, 2017

     3,790         3,773,892   

Noranda Aluminum Acquisition Corporation

     

Term Loan, 5.75%, Maturing February 24, 2019

     1,022         1,028,189   

Novelis, Inc.

     

Term Loan, 4.00%, Maturing March 10, 2017

     670         666,337   

Term Loan, 4.00%, Maturing March 10, 2017

     2,019         2,008,396   

Oxbow Carbon and Mineral Holdings LLC

     

Term Loan, 3.85%, Maturing May 8, 2016

     2,535         2,540,946   
     

 

 

 
      $ 12,363,816   
     

 

 

 

Oil and Gas — 4.4%

     

Buffalo Gulf Coast Terminals LLC

     

Term Loan, 7.50%, Maturing October 31, 2017

     546       $ 549,287   

Citgo Petroleum Corporation

     

Term Loan, 8.00%, Maturing June 24, 2015

     189         190,936   

Term Loan, 9.00%, Maturing June 23, 2017

     2,524         2,556,621   

Crestwood Holdings LLC

     

Term Loan, 9.75%, Maturing March 26, 2018

     2,125         2,153,333   

Energy Transfer Equity, L.P.

     

Term Loan, 3.75%, Maturing March 24, 2017

     2,625         2,592,187   

Frac Tech International LLC

     

Term Loan, 6.25%, Maturing May 6, 2016

     4,342         3,766,703   

Gibson Energy ULC

     

Term Loan, 4.75%, Maturing June 15, 2018

     2,319         2,333,682   

MEG Energy Corp.

     

Term Loan, 4.00%, Maturing March 16, 2018

     1,216         1,219,764   

Obsidian Natural Gas Trust

     

Term Loan, 7.00%, Maturing November 2, 2015

     2,850         2,864,370   

Sheridan Production Partners I, LLC

     

Term Loan, 6.50%, Maturing April 20, 2017

     105         106,417   

Term Loan, 6.50%, Maturing April 20, 2017

     173         174,224   

Term Loan, 6.50%, Maturing April 20, 2017

     1,302         1,314,816   

 

15

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Tervita Corporation

     

Term Loan, 6.50%, Maturing October 17, 2014

     547       $ 551,126   

Term Loan, 3.25%, Maturing November 14, 2014

     2,495         2,449,574   
     

 

 

 
      $ 22,823,040   
     

 

 

 

Publishing — 5.5%

     

Ascend Learning, Inc.

     

Term Loan, 5.75%, Maturing May 23, 2017

     3,195       $ 3,153,164   

Aster Zweite Beteiligungs GmbH

     

Term Loan, 5.97%, Maturing December 31, 2014

     93         87,402   

Term Loan, 5.97%, Maturing December 31, 2014

     1,543         1,444,774   

Term Loan, 5.97%, Maturing December 31, 2014

     1,614         1,511,977   

Cengage Learning Acquisitions, Inc.

     

Term Loan, 2.50%, Maturing July 3, 2014

     984         904,199   

Endurance International Group, Inc. (The)

     

Term Loan - Second Lien, 11.00%, Maturing October 20, 2018

     300         301,500   

GateHouse Media Operating, Inc.

     

Term Loan, 2.25%, Maturing August 28, 2014

     858         282,794   

Term Loan, 2.25%, Maturing August 28, 2014

     2,046         674,191   

Term Loan, 2.50%, Maturing August 28, 2014

     665         218,971   

Getty Images, Inc.

     

Term Loan, 4.00%, Maturing November 2, 2015

     547         548,438   

Term Loan, 5.25%, Maturing November 7, 2016

     3,232         3,247,152   

Instant Web, Inc.

     

Term Loan, 3.62%, Maturing August 7, 2014

     163         129,837   

Term Loan, 3.62%, Maturing August 7, 2014

     1,562         1,245,520   

Interactive Data Corp

     

Term Loan, 4.50%, Maturing February 12, 2018

     3,138         3,142,493   

Lamar Media Corporation

     

Term Loan, 4.00%, Maturing December 30, 2016

     553         556,690   

Laureate Education, Inc.

     

Term Loan, 5.25%, Maturing August 15, 2018

     5,799         5,581,113   

Medianews Group

     

Term Loan, 8.50%, Maturing March 19, 2014

     108         104,408   

Merrill Communications, LLC

     

Term Loan, 7.75%, Maturing December 24, 2012

     1,225         1,173,233   

Nelson Education Ltd.

     

Term Loan, 2.96%, Maturing July 3, 2014

     462         396,341   

Nielsen Finance LLC

     

Term Loan, 4.00%, Maturing May 2, 2016

     1,948         1,949,528   

SGS International, Inc.

     

Term Loan, 3.75%, Maturing September 30, 2013

     437         436,876   

Source Interlink Companies, Inc.

     

Term Loan, 15.00%, Maturing March 18, 2014(4)(5)

     720         432,105   

Term Loan - Second Lien, 10.75%, Maturing June 18, 2013

     888         852,943   
     

 

 

 
      $ 28,375,649   
     

 

 

 

Radio and Television — 3.6%

     

Clear Channel Communications, Inc.

     

Term Loan, 3.90%, Maturing January 28, 2016

     1,969       $ 1,491,163   

Cumulus Media Holdings Inc.

     

Term Loan - Second Lien, Maturing September 16, 2019(2)

     1,000         1,010,000   

Cumulus Media, Inc.

     

Term Loan, 5.75%, Maturing September 17, 2018

     4,650         4,681,714   

Entercom Radio, LLC

     

Term Loan, 6.25%, Maturing November 23, 2018

     524         526,562   

 

16

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Foxco Acquisition Sub, LLC

     

Term Loan, 4.75%, Maturing July 14, 2015

     449       $ 449,880   

Gray Television, Inc.

     

Term Loan, 3.75%, Maturing December 31, 2014

     628         624,284   

Hubbard Radio, LLC

     

Term Loan, 5.25%, Maturing April 28, 2017

     903         909,541   

LIN Television Corp.

     

Term Loan, 5.00%, Maturing December 21, 2018

     597         601,477   

Mission Broadcasting, Inc.

     

Term Loan, 5.00%, Maturing September 30, 2016

     516         515,970   

Nexstar Broadcasting, Inc.

     

Term Loan, 5.00%, Maturing September 30, 2016

     807         807,065   

Raycom TV Broadcasting, Inc.

     

Term Loan, 4.50%, Maturing May 31, 2017

     866         861,919   

Sinclair Television Group Inc.

     

Term Loan, 4.00%, Maturing October 28, 2016

     734         736,531   

Univision Communications Inc.

     

Term Loan, 4.50%, Maturing March 31, 2017

     4,784         4,596,807   

Weather Channel

     

Term Loan, 4.25%, Maturing February 13, 2017

     1,112         1,116,585   
     

 

 

 
      $ 18,929,498   
     

 

 

 

Rail Industries — 0.1%

     

RailAmerica, Inc.

     

Term Loan, 4.00%, Maturing March 1, 2019

     773       $ 774,995   
     

 

 

 
      $ 774,995   
     

 

 

 

Retailers (Except Food and Drug) — 4.3%

     

99 Cents Only Stores

     

Term Loan, 5.25%, Maturing January 11, 2019

     1,495       $ 1,501,699   

Evergreen Acqco 1 LP

     

Term Loan, 6.25%, Maturing July 9, 2019

     675         681,750   

FTD, Inc.

     

Term Loan, 4.75%, Maturing June 11, 2018

     1,184         1,177,697   

Harbor Freight Tools USA, Inc.

     

Term Loan, 5.50%, Maturing November 14, 2017

     1,000         1,003,750   

J Crew Group, Inc.

     

Term Loan, 4.75%, Maturing March 7, 2018

     2,077         2,058,323   

Jo-Ann Stores, Inc.

     

Term Loan, 4.75%, Maturing March 16, 2018

     1,939         1,925,915   

Michaels Stores, Inc.

     

Term Loan, 5.00%, Maturing July 29, 2016

     926         930,972   

National Vision, Inc.

     

Term Loan, Maturing August 10, 2018(2)

     800         788,000   

Neiman Marcus Group, Inc. (The)

     

Term Loan, 4.75%, Maturing May 16, 2018

     3,800         3,779,142   

Petco Animal Supplies, Inc.

     

Term Loan, 4.50%, Maturing November 24, 2017

     2,215         2,215,351   

Pilot Travel Centers LLC

     

Term Loan, 4.25%, Maturing March 30, 2018

     1,773         1,770,521   

ServiceMaster Company

     

Term Loan, 2.75%, Maturing July 24, 2014

     222         221,416   

Term Loan, 2.80%, Maturing July 24, 2014

     2,233         2,223,468   

Visant Holding Corp.

     

Term Loan, 5.25%, Maturing December 22, 2016

     1,319         1,285,006   

 

17

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Vivarte SA

     

Term Loan, 3.07%, Maturing March 9, 2015

   EUR  29       $ 28,300   

Term Loan, 3.07%, Maturing March 9, 2015

   EUR  62         61,875   

Term Loan, 3.07%, Maturing March 9, 2015

   EUR  347         343,912   

Term Loan, 3.57%, Maturing March 8, 2016

   EUR 18         18,227   

Term Loan, 3.57%, Maturing March 8, 2016

   EUR 71         70,509   

Term Loan, 3.57%, Maturing March 8, 2016

   EUR 440         436,485   
     

 

 

 
      $ 22,522,318   
     

 

 

 

Steel — 0.5%

     

JMC Steel Group, Inc.

     

Term Loan, 4.75%, Maturing April 3, 2017

     691       $ 692,983   

SunCoke Energy, Inc.

     

Term Loan, 4.00%, Maturing July 26, 2018

     495         494,382   

Waupaca Foundry, Inc.

     

Term Loan, 8.50%, Maturing June 29, 2017

     650         655,687   

WireCo WorldGroup, Inc.

     

Term Loan, 6.00%, Maturing February 15, 2017

     625         626,563   
     

 

 

 
      $ 2,469,615   
     

 

 

 

Surface Transport — 1.0%

     

Hertz Corporation (The)

     

Term Loan, 3.75%, Maturing March 9, 2018

     3,481       $ 3,459,805   

Swift Transportation Co. Inc.

     

Term Loan, 5.00%, Maturing December 21, 2017

     1,812         1,826,756   
     

 

 

 
      $ 5,286,561   
     

 

 

 

Telecommunications — 6.1%

     

Alaska Communications Systems Holdings, Inc.

     

Term Loan, 5.50%, Maturing October 21, 2016

     1,798       $ 1,640,333   

Cellular South, Inc.

     

Term Loan, 4.50%, Maturing July 27, 2017

     842         837,293   

Crown Castle International Corporation

     

Term Loan, 4.00%, Maturing January 31, 2019

     1,866         1,864,459   

Intelsat Jackson Holdings S.A.

     

Term Loan, 5.25%, Maturing April 2, 2018

     10,221         10,249,376   

Macquarie UK Broadcast Limited

     

Term Loan, 3.06%, Maturing December 1, 2014

   GBP  755         1,079,999   

MetroPCS Wireless, Inc.

     

Term Loan, 4.00%, Maturing March 16, 2018

     3,950         3,933,171   

NTELOS Inc.

     

Term Loan, 4.00%, Maturing August 7, 2015

     905         904,060   

Oberthur Technologies Holding SAS

     

Term Loan, 6.25%, Maturing March 30, 2019

     575         563,500   

SBA Finance

     

Term Loan, 3.75%, Maturing June 29, 2018

     941         939,912   

Syniverse Holdings, Inc.

     

Term Loan, 5.00%, Maturing April 23, 2019

     1,850         1,847,687   

Telesat LLC

     

Term Loan, 4.25%, Maturing March 28, 2019

     6,825         6,810,374   

TowerCo Finance LLC

     

Term Loan, 4.50%, Maturing February 2, 2017

     667         669,062   

Windstream Corporation

     

Term Loan, 3.15%, Maturing December 17, 2015

     320         319,663   
     

 

 

 
      $ 31,658,889   
     

 

 

 

 

18

 

 


                                                 
Borrower/Tranche Description   

Principal

Amount*

(000’s omitted)

     Value  

Utilities — 3.6%

     

AES Corporation

     

Term Loan, 4.25%, Maturing June 1, 2018

     2,568       $ 2,575,983   

BRSP, LLC

     

Term Loan, 7.50%, Maturing June 4, 2014

     752         754,900   

Calpine Corporation

     

Term Loan, 4.50%, Maturing April 2, 2018

     941         945,203   

Term Loan, 4.50%, Maturing April 2, 2018

     2,765         2,778,402   

Dynegy Midwest Generation LLC

     

Term Loan, 9.25%, Maturing August 4, 2016

     521         535,555   

Dynegy Power, LLC

     

Term Loan, 9.25%, Maturing August 4, 2016

     943         981,032   

Invenergy LLC

     

Term Loan, 9.00%, Maturing November 21, 2017

     737         736,643   

LS Power Funding Corp.

     

Term Loan, 5.50%, Maturing June 28, 2019

     1,125         1,122,187   

NRG Energy, Inc.

     

Term Loan, 4.00%, Maturing July 2, 2018

     4,381         4,396,153   

Texas Competitive Electric Holdings Company, LLC

     

Term Loan, 4.75%, Maturing October 10, 2017

     5,832         3,725,160   
     

 

 

 
      $ 18,551,218   
     

 

 

 

Total Senior Floating-Rate Interests
(identified cost $754,170,380)

      $ 748,412,455   
     

 

 

 

Corporate Bonds & Notes — 9.4%

     
Security    Principal
Amount*
(000’s omitted)
     Value  

Automotive — 0.0%(6)

     

American Axle & Manufacturing, Inc., Sr. Notes

     

9.25%, 1/15/17(7)

     104       $ 116,870   

Visteon Corp., Sr. Notes

     

6.75%, 4/15/19

     30         29,325   
     

 

 

 
      $ 146,195   
     

 

 

 

Beverage and Tobacco — 0.0%(6)

     

Constellation Brands, Inc., Sr. Notes

     

6.00%, 5/1/22

     105       $ 116,419   

Innovation Ventures LLC/Innovation Ventures Finance Corp., Sr. Notes

     

9.50%, 8/15/19(7)

     50         50,000   
     

 

 

 
      $ 166,419   
     

 

 

 

Brokers, Dealers and Investment Houses — 0.0%(6)

     

Alliance Data Systems Corp., Sr. Notes

     

6.375%, 4/1/20(7)

     55       $ 57,475   
     

 

 

 
      $ 57,475   
     

 

 

 

Building and Development — 0.0%(6)

     

Isabelle Acquisition Sub, Inc., Sr. Notes

     

10.00%, 11/15/18(4)(7)

     130       $ 135,038   

Nortek, Inc., Sr. Notes

     

10.00%, 12/1/18

     85         92,225   

8.50%, 4/15/21

     25         25,875   
     

 

 

 
      $ 253,138   
     

 

 

 

 

19

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Business Equipment and Services — 0.1%

     

Education Management, LLC, Sr. Notes

     

8.75%, 6/1/14

     280       $ 256,900   
     

 

 

 
      $ 256,900   
     

 

 

 

Cable and Satellite Television — 0.0%(6)

     

DISH DBS Corp., Sr. Notes

     

5.875%, 7/15/22(7)

     85       $ 87,975   
     

 

 

 
      $ 87,975   
     

 

 

 

Chemicals and Plastics — 1.2%

     

Hexion US Finance Corp., Sr. Notes

     

6.625%, 4/15/20

     2,000       $ 2,055,000   

Ineos Finance PLC, Sr. Notes

     

7.25%, 2/15/19(7)

   EUR  1,000         1,218,095   

8.375%, 2/15/19(7)

     1,825         1,895,719   

7.50%, 5/1/20(7)

     800         816,000   

LyondellBasell Industries N.V., Sr. Notes

     

5.00%, 4/15/19(7)

     225         245,250   

5.75%, 4/15/24(7)

     200         227,500   
     

 

 

 
      $ 6,457,564   
     

 

 

 

Containers and Glass Products — 0.4%

     

Berry Plastics Corp., Sr. Notes

     

5.205%, 2/15/15(8)

     2,000       $ 2,012,500   
     

 

 

 
      $ 2,012,500   
     

 

 

 

Cosmetics/Toiletries — 0.3%

     

Revlon Consumer Products Corp.

     

9.75%, 11/15/15

     1,415       $ 1,517,587   
     

 

 

 
      $ 1,517,587   
     

 

 

 

Ecological Services and Equipment — 0.1%

     

Clean Harbors, Inc., Sr. Notes

     

5.25%, 8/1/20(7)

     50       $ 51,813   

Environmental Systems Product Holdings, Inc., Jr. Notes

     

18.00%, 3/31/15(4)(5)(7)

     460         390,401   
     

 

 

 
      $ 442,214   
     

 

 

 

Electronics/Electrical — 0.0%(6)

     

Brocade Communications Systems, Inc., Sr. Notes

     

6.625%, 1/15/18

     30       $ 31,425   

6.875%, 1/15/20

     30         32,700   

Lawson Software, Inc., Sr. Notes

     

9.375%, 4/1/19(7)

     60         64,500   
     

 

 

 
      $ 128,625   
     

 

 

 

Equipment Leasing — 0.4%

     

Aircastle, Ltd., Sr. Notes

     

6.75%, 4/15/17

     50       $ 52,750   

7.625%, 4/15/20

     25         26,875   

Ashtead Capital, Inc., Sr. Notes

     

6.50%, 7/15/22(7)

     50         52,188   

International Lease Finance Corp., Sr. Notes

     

5.65%, 6/1/14

     1,000         1,040,000   

6.75%, 9/1/16(7)

     350         385,875   

7.125%, 9/1/18(7)

     350         397,687   
     

 

 

 
      $ 1,955,375   
     

 

 

 

 

20

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Financial Intermediaries — 1.1%

     

Ally Financial, Inc., Sr. Notes

     

2.667%, 12/1/14(8)

     55       $ 53,377   

CIT Group, Inc., Sr. Notes

     

4.25%, 8/15/17

     145         145,000   

First Data Corp., Sr. Notes

     

7.375%, 6/15/19(7)

     1,000         1,048,750   

Ford Motor Credit Co., LLC, Sr. Notes

     

8.00%, 12/15/16

     175         207,327   

12.00%, 5/15/15

     2,250         2,797,371   

UPCB Finance II, Ltd., Sr. Notes

     

6.375%, 7/1/20(7)

   EUR  1,000         1,261,160   
     

 

 

 
      $ 5,512,985   
     

 

 

 

Food Products — 0.0%(6)

     

Smithfield Foods, Inc., Sr. Notes

     

6.625%, 8/15/22

     95       $ 98,800   
     

 

 

 
      $ 98,800   
     

 

 

 

Food Service — 0.0%(6)

     

Ruby Tuesday, Inc., Sr. Notes

     

7.625%, 5/15/20(7)

     125       $ 112,969   
     

 

 

 
      $ 112,969   
     

 

 

 

Health Care — 0.1%

     

Accellent, Inc., Sr. Notes

     

8.375%, 2/1/17

     135       $ 141,075   

Biomet, Inc., Sr. Notes

     

6.50%, 8/1/20(7)

     95         98,087   

Community Health Systems, Inc., Sr. Notes

     

7.125%, 7/15/20

     120         125,850   

Hologic, Inc., Sr. Notes

     

6.25%, 8/1/20(7)

     245         259,700   

Kinetic Concepts, Inc./KCI USA, Inc., Sr. Notes

     

10.50%, 11/1/18(7)

     45         47,813   

USPI Finance Corp., Sr. Notes

     

9.00%, 4/1/20(7)

     60         64,950   
     

 

 

 
      $ 737,475   
     

 

 

 

Home Furnishings — 0.2%

     

Libbey Glass, Inc., Sr. Notes

     

6.875%, 5/15/20(7)

     735       $ 779,100   

Monaco SpinCo, Inc., Sr. Notes

     

6.75%, 4/30/20(7)

     200         216,000   
     

 

 

 
      $ 995,100   
     

 

 

 

Industrial Equipment — 0.2%

     

Terex Corp., Sr. Notes

     

10.875%, 6/1/16

     915       $ 1,029,375   
     

 

 

 
      $ 1,029,375   
     

 

 

 

Insurance — 0.0%(6)

     

Alliant Holdings I, Inc., Sr. Notes

     

11.00%, 5/1/15(7)

     40       $ 41,850   
     

 

 

 
      $ 41,850   
     

 

 

 

 

21

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Leisure Goods/Activities/Movies — 0.2%

     

AMC Entertainment, Inc., Sr. Notes

     

8.75%, 6/1/19

     110       $ 119,900   

National CineMedia, LLC, Sr. Notes

     

6.00%, 4/15/22(7)

     790         821,600   

Royal Caribbean Cruises, Sr. Notes

     

6.875%, 12/1/13

     35         37,013   

7.00%, 6/15/13

     95         99,275   

7.25%, 6/15/16

     25         27,750   

7.25%, 3/15/18

     50         55,375   

Seven Seas Cruises, S. de R.L., LLC

     

9.125%, 5/15/19

     20         20,950   
     

 

 

 
      $ 1,181,863   
     

 

 

 

Lodging and Casinos — 1.2%

     

Buffalo Thunder Development Authority, Sr. Notes

     

9.375%, 12/15/14(7)(9)

     480       $ 180,000   

Caesars Entertainment Operating Co., Sr. Notes

     

5.375%, 12/15/13

     30         29,100   

8.50%, 2/15/20(7)

     2,100         2,113,125   

11.25%, 6/1/17

     1,500         1,631,250   

Choice Hotels International, Inc., Sr. Notes

     

5.75%, 7/1/22

     25         26,750   

Inn of the Mountain Gods Resort & Casino, Sr. Notes

     

8.75%, 11/30/20(7)

     93         92,302   

Mohegan Tribal Gaming Authority

     

10.50%, 12/15/16(7)

     105         92,925   

Mohegan Tribal Gaming Authority, Sr. Sub. Notes

     

11.00%, 9/15/18(7)

     400         268,000   

Peninsula Gaming, LLC, Sr. Notes

     

10.75%, 8/15/17

     1,000         1,143,750   

Tunica-Biloxi Gaming Authority, Sr. Notes

     

9.00%, 11/15/15(7)

     310         297,600   

Waterford Gaming, LLC, Sr. Notes

     

8.625%, 9/15/14(5)(7)

     191         110,550   
     

 

 

 
      $ 5,985,352   
     

 

 

 

Nonferrous Metals/Minerals — 0.3%

     

Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp., Sr. Notes

     

8.25%, 12/15/17(7)

     1,000       $ 1,055,000   

8.50%, 12/15/19

     335         355,937   

FMG Resources (August 2006) Pty, Ltd., Sr. Notes

     

7.00%, 11/1/15(7)

     75         77,250   

Molycorp, Inc., Sr. Notes

     

10.00%, 6/1/20(7)

     130         122,850   

New Gold, Inc., Sr. Notes

     

7.00%, 4/15/20(7)

     40         41,900   

Penn Virginia Resource Partners, LP/Penn Virginia Resource Finance Corp. II,
Sr. Notes

     

8.375%, 6/1/20(7)

     50         50,750   
     

 

 

 
      $ 1,703,687   
     

 

 

 

Oil and Gas — 0.3%

     

Eagle Rock Energy Partners, LP/Eagle Rock Energy Finance Corp., Sr. Notes

     

8.375%, 6/1/19(7)

     50       $ 49,438   

Everest Acquisition, LLC/Everest Acquisition Finance, Inc., Sr. Notes

     

6.875%, 5/1/19(7)

     290         309,937   

9.375%, 5/1/20(7)

     210         226,275   

 

22

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Halcon Resources Corp., Sr. Notes

     

9.75%, 7/15/20(7)

     100       $ 102,000   

Laredo Petroleum, Inc., Sr. Notes

     

7.375%, 5/1/22(7)

     55         58,300   

MEG Energy Corp., Sr. Notes

     

6.375%, 1/30/23(7)

     100         102,500   

Newfield Exploration Co., Sr. Notes

     

5.625%, 7/1/24

     120         128,100   

Oasis Petroleum, Inc., Sr. Notes

     

6.875%, 1/15/23

     135         137,025   

Petroleum Development Corp., Sr. Notes

     

12.00%, 2/15/18

     115         122,475   

Quicksilver Resources, Inc., Sr. Notes

     

11.75%, 1/1/16

     10         9,675   

SESI, LLC, Sr. Notes

     

6.875%, 6/1/14

     60         60,019   

SM Energy Co., Sr. Notes

     

6.50%, 1/1/23(7)

     75         76,594   
     

 

 

 
      $ 1,382,338   
     

 

 

 

Publishing — 0.3%

     

Laureate Education, Inc., Sr. Notes

     

9.25%, 9/1/19(7)

     155       $ 153,837   

11.00%, 8/15/15(7)

     1,160         1,191,900   
     

 

 

 
      $ 1,345,737   
     

 

 

 

Radio and Television — 0.3%

     

Entravision Communications Corp., Sr. Notes

     

8.75%, 8/1/17(7)

     948       $ 1,014,360   

XM Satellite Radio Holdings, Inc., Sr. Notes

     

13.00%, 8/1/14(7)

     485         540,775   
     

 

 

 
      $ 1,555,135   
     

 

 

 

Rail Industries — 0.1%

     

American Railcar Industry, Sr. Notes

     

7.50%, 3/1/14

     175       $ 178,938   

Kansas City Southern Mexico, Sr. Notes

     

8.00%, 2/1/18

     500         563,750   
     

 

 

 
      $ 742,688   
     

 

 

 

Retailers (Except Food and Drug) — 0.2%

     

Dollar General Corp., Sr. Notes

     

4.125%, 7/15/17

     35       $ 36,488   

HD Supply, Inc., Sr. Notes

     

8.125%, 4/15/19(7)

     35         38,238   

J Crew Group, Inc., Sr. Notes

     

8.125%, 3/1/19

     95         98,206   

Michaels Stores, Inc., Sr. Notes

     

7.75%, 11/1/18

     140         150,675   

Pantry, Inc., Sr. Notes

     

8.375%, 8/1/20(7)

     70         71,312   

Party City Holdings, Inc., Sr. Notes

     

8.875%, 8/1/20(7)

     120         124,800   

Sally Holdings, LLC/Sally Capital, Inc., Sr. Notes

     

5.75%, 6/1/22

     175         187,906   

 

23

 

 


                                                 
Security   

Principal

Amount*

(000’s omitted)

     Value  

Toys “R” Us, Inc., Sr. Notes

     

7.875%, 4/15/13

     205       $ 214,740   

7.375%, 9/1/16(7)

     50         50,312   
     

 

 

 
      $ 972,677   
     

 

 

 

Steel — 0.0%

     

RathGibson, Inc., Sr. Notes

     

11.25%, 2/15/14(5)(9)

     445       $ 0   
     

 

 

 
      $ 0   
     

 

 

 

Telecommunications — 0.6%

     

Avaya, Inc., Sr. Notes

     

9.75%, 11/1/15

     840       $ 659,400   

Digicel Group, Ltd., Sr. Notes

     

8.875%, 1/15/15(7)

     825         843,562   

Hughes Satellite Systems Corp., Sr. Notes

     

6.50%, 6/15/19

     1,000         1,080,000   

Intelsat Bermuda, Ltd., Sr. Notes

     

11.25%, 6/15/16

     122         128,863   

Intelsat Jackson Holdings, Ltd., Sr. Notes

     

7.25%, 10/15/20(7)

     160         170,800   

SBA Telecommunications, Inc., Sr. Notes

     

5.75%, 7/15/20(7)

     85         89,781   
     

 

 

 
      $ 2,972,406   
     

 

 

 

Utilities — 1.8%

     

Calpine Corp., Sr. Notes

     

7.50%, 2/15/21(7)

     4,725       $ 5,280,187   

7.875%, 1/15/23(7)

     3,350         3,827,375   

Reliant Energy, Inc., Sr. Notes

     

7.625%, 6/15/14

     20         21,400   
     

 

 

 
      $ 9,128,962   
     

 

 

 

Total Corporate Bonds & Notes
(identified cost $46,987,458)

      $ 48,981,366   
     

 

 

 

Asset-Backed Securities — 1.0%

     
Security   

Principal

Amount

(000’s omitted)

     Value  

Alzette European CLO SA, Series 2004-1A, Class E2, 6.968%, 12/15/20(8)

   $ 328       $ 285,347   

Avalon Capital Ltd. 3, Series 1A, Class D, 2.417%, 2/24/19(7)(8)

     589         478,715   

Babson Ltd., Series 2005-1A, Class C1, 2.405%, 4/15/19(7)(8)

     753         571,427   

Carlyle High Yield Partners, Series 2004-6A, Class C, 2.917%, 8/11/16(7)(8)

     1,000         946,011   

Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.968%, 3/8/17(8)

     985         870,884   

Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.205%, 7/17/19(8)

     750         600,308   

Comstock Funding Ltd., Series 2006-1A, Class D, 4.717%, 5/30/20(7)(8)

     692         537,401   

Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.701%, 4/25/21(7)(8)

     1,000         757,066   
     

 

 

 

Total Asset-Backed Securities
(identified cost $5,924,833)

      $ 5,047,159   
     

 

 

 

 

24

 

 


                                                 

Common Stocks — 1.5%

     
Security    Shares      Value  

Air Transport — 0.0%(6)

     

Delta Air Lines, Inc.(10)

     3,971       $ 38,320   
     

 

 

 
      $ 38,320   
     

 

 

 

Automotive — 0.1%

     

Dayco Products, LLC(10)(11)

     18,702       $ 635,868   
     

 

 

 
      $ 635,868   
     

 

 

 

Building and Development — 0.1%

     

Panolam Holdings Co.(5)(10)(12)

     253       $ 412,415   

United Subcontractors, Inc.(5)(10)(11)

     508         20,638   
     

 

 

 
      $ 433,053   
     

 

 

 

Diversified Manufacturing — 0.0%(6)

     

MEGA Brands, Inc.(10)

     16,150       $ 101,139   
     

 

 

 
      $ 101,139   
     

 

 

 

Ecological Services and Equipment — 0.1%

     

Environmental Systems Products Holdings, Inc.(5)(10)(12)

     6,211       $ 565,201   
     

 

 

 
      $ 565,201   
     

 

 

 

Financial Intermediaries — 0.0%(6)

     

RTS Investor Corp.(5)(10)(11)

     78       $ 7,433   
     

 

 

 
      $ 7,433   
     

 

 

 

Food Service — 0.1%

     

Buffets Restaurants Holdings Inc.(5)(10)(11)

     47,937       $ 435,747   
     

 

 

 
      $ 435,747   
     

 

 

 

Leisure Goods/Activities/Movies — 0.3%

     

Metro-Goldwyn-Mayer Holdings, Inc.(5)(10)(11)

     50,438       $ 1,538,359   
     

 

 

 
      $ 1,538,359   
     

 

 

 

Lodging and Casinos — 0.1%

     

Greektown Superholdings, Inc.(10)

     71       $ 3,621   

Tropicana Entertainment, Inc.(5)(10)(11)

     35,670         481,545   
     

 

 

 
      $ 485,166   
     

 

 

 

Nonferrous Metals/Minerals — 0.1%

     

Euramax International, Inc.(5)(10)(11)

     701       $ 210,360   
     

 

 

 
      $ 210,360   
     

 

 

 

Oil and Gas — 0.0%(6)

     

SemGroup Corp.(10)

     1,397       $ 47,093   
     

 

 

 
      $ 47,093   
     

 

 

 

Publishing — 0.6%

     

Ion Media Networks, Inc.(5)(10)(11)

     3,990       $ 2,946,017   

MediaNews Group, Inc.(5)(10)(11)

     10,718         230,114   

Source Interlink Companies, Inc.(5)(10)(11)

     2,290         13,442   

SuperMedia, Inc.(10)(11)

     9,554         21,974   
     

 

 

 
      $ 3,211,547   
     

 

 

 

Total Common Stocks
(identified cost $4,544,540)

      $ 7,709,286   
     

 

 

 

 

25

 

 


                                                 

Preferred Stocks — 0.0%(6)

     
Security    Shares      Value  

Ecological Services and Equipment — 0.0%(6)

     

Environmental Systems Products Holdings, Inc., Series A(5)(10)(12)

     1,422       $ 89,586   
     

 

 

 

Total Preferred Stocks
(identified cost $24,885)

      $ 89,586