Semi annual Report April 30,2010 EATON VANCE SENIOR FLOATING-RATE TRUST |
| Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. | |
| None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customers account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. | |
| Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. | |
| We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
| During the six months ending April 30, 2010, the U.S. economy continued to strengthen, building on the recovery that began in 2009. The economy grew at an annualized rate of 5.7% in the fourth quarter of 2009 and an estimated 3.2% in the first quarter of 2010, according to the U.S. Department of Commerce. Growth was driven by government stimulus, increased business activity and a recovery in consumer spending. During the period, the Federal Reserve (the Fed) left short-term interest rates near zero but began unwinding various emergency programs that were designed to stabilize the financial system during the crisis. Meanwhile, corporate profits rebounded as business activity improved and productivity rose. We also saw the mounting effects of the governments ongoing stimulus plan, which significantly increased the federal deficit and U.S. Treasury borrowing. Long- term interest rates were essentially unchanged during the period, while riskier assets continued to perform well as credit yield spreads tightened. |
| The floating-rate loan market, as measured by the S&P/LSTA Leveraged Loan Index (the Index), returned 9.57% during the six-month period ending April 30, 2010.1 Performance was driven by a combination of technical and fundamental improvements, which strengthened both the supply/demand balance and the market outlook. From a technical standpoint, robust high-yield bond issuance and improving mergers and acquisitions and IPO markets had the effect of reducing loan supply. High-yield bond issuance alone was responsible for $13 billion of loan repayments in the first quarter of 2010, according to Standard & Poors Leveraged Commentary & Data. On the demand side, we saw steady inflows into the asset class, as investors sought more-favorable yields and protection from the anticipated rise in short-term interest rates. From a fundamental standpoint, earnings across the bank loan universe generally improved and default rates continued to decline. |
| The Trust is a closed-end fund and trades on the New York Stock Exchange (NYSE) under the symbol EFR. The Trusts investment objective is to provide a high level of current income. As a secondary objective, it may also seek preservation of capital to the extent consistent with its primary goal of high current income. Under normal market conditions, the Trust invests at least 80% of its total assets in senior, secured floating-rate loans (senior loans). In managing the Trust, the investment adviser seeks to invest in a portfolio of senior loans that it believes will be less volatile over time than the general loan market. The Trust may also invest in second lien loans and high-yield bonds, and, as discussed below, employs leverage to acquire additional income-producing securities, which may increase risk. |
Total Return Performance 10/31/09 4/30/10 | ||||||
NYSE Symbol | EFR | |||||
At Net Asset Value (NAV)2 |
14.18 | % | ||||
At Market Price2 |
34.40 | |||||
S&P/LSTA Leveraged Loan Index1 |
9.57 | |||||
Premium/(Discount) to NAV (4/30/10) |
11.52 | % | ||||
Total Distributions per common share |
$ | 0.594 | ||||
Distribution Rate3 |
At NAV | 6.79 | % | |||
At Market Price | 6.09 | % |
1 | It is not possible to invest directly in an Index. The Indexs total return reflects changes in value of the loans constituting the Index and accrual of interest and does not reflect the commissions or expenses that would have been incurred if an investor individually purchased or sold the loans represented in the Index. Unlike the Trust, the Indexs return does not reflect the effect of leverage. | |
2 | Six-month returns are cumulative. Performance results reflect the effects of leverage. | |
3 | The Distribution Rate is based on the Trusts last regular distribution per share (annualized) divided by the Trusts NAV or market price at the end of the period. The Trusts distributions may be comprised of ordinary income, net realized capital gains and return of capital. Absent an expense waiver by the investment adviser, the returns would be lower. |
1
| As of April 30, 2010, the Trusts investments included senior loans to 370 borrowers spanning 38 industries, with an average loan representing 0.24% of total investments, and no industry constituting more than 10.3% of total investments. Health care, business equipment and services, and cable and satellite television were among the top industry weightings. | |
| Managements use of leverage was a factor in the Trusts outperformance of the Index, as its loans acquired with borrowings were bolstered by the continued rally in the credit markets. However, the Trusts slight underweight to the CCC ratings category in favor of higher quality issues was a headwind during the period, as lower-quality issues outperformed. The CCC rated loan category, which saw the largest declines in 2008 (down 45.8%), returned 88.6% in calendar 2009, and 20.4% during the six months ending April 30, 2010. Even defaulted loans outperformed the Index as a whole, posting a 21.6% return during the six-month period. However, we believe that the Trusts longstanding underweight to riskier loan issuers has benefited its relative performance over the longer-term with less volatility. | |
| In terms of industry sectors, relative overweights to the business equipment and services, cable and satellite television and health care industries benefited relative performance. Underweight positions in the electronics, financial intermediaries and utilities industries detracted from performance relative to the Index. | |
| While significant economic and business risks continue to exist throughout the world, we believe the loan market should remain relatively stable in the near term. The Trust primarily invests in floating-rate securities, which means that if the Fed should increase rates out of concern about inflation, the Trusts yield can be expected to rise. The reset of interest payable on floating-rate bank loans also helps to mitigate the effect of rising interest rates on bank loan funds, while fixed-income fund values generally fall in a rising interest rate environment. | |
| As of April 30, 2010, the Trust employed leverage of 35.8% of total assets16.7% auction preferred shares (APS)1 and 19.1% borrowings. Use of leverage creates an opportunity for income, but at the same time creates special risks (including the likelihood of greater volatility of net asset value and market price of common shares). |
1 | APS percentage represents the liquidation value of the Trusts APS outstanding at 4/30/10 as a percentage of the Trusts net assets applicable to common shares plus APS and borrowings outstanding. In the event of a rise in long-term interest rates, the value of the Trusts investment portfolio could decline, which would reduce the asset coverage for its APS and borrowings. |
2
Trust Performance1 | ||||
NYSE Symbol | EFR | |||
Average Annual Total Returns (by market price, NYSE) |
||||
Six Months |
34.40 | % | ||
One Year |
87.79 | |||
Five Years |
6.00 | |||
Life of Trust (11/28/03) |
5.99 | |||
Average Annual Total Returns (at net asset value) |
||||
Six Months |
14.18 | % | ||
One Year |
59.76 | |||
Five Years |
4.10 | |||
Life of Trust (11/28/03) |
4.20 |
1 | Six-month returns are cumulative. Other returns are presented on an average annual basis. Performance results reflect the effects of leverage. Absent an expense waiver by the investment adviser, the returns would be lower. |
Community Health Systems, Inc. |
1.3 | % | ||
Rite Aid Corp. |
1.2 | |||
Charter Communications Operating, Inc. |
1.2 | |||
Georgia-Pacific Corp. |
1.2 | |||
Aramark Corp. |
1.1 | |||
SunGard Data Systems, Inc. |
1.1 | |||
HCA, Inc. |
1.1 | |||
Intelsat Corp. |
0.9 | |||
Health Management Associates, Inc. |
0.9 | |||
Calpine Corp. |
0.8 |
2 | Top 10 Holdings represented 10.8% of the Trusts total investments as of 4/30/10. |
Health Care |
10.6 | % | ||
Business Equipment and Services |
7.9 | |||
Cable and Satellite Television |
7.6 | |||
Leisure Goods/Activities/Movies |
5.3 | |||
Chemicals and Plastics |
4.3 |
3 | Industries are shown as a percentage of the Trusts total investments as of 4/30/10. |
Baa |
1.8 | % | ||
Ba |
41.8 | |||
B |
37.0 | |||
Ca |
0.5 | |||
Caa |
5.5 | |||
Defaulted |
1.7 | |||
Non-Rated5 |
11.7 |
4 | Credit Quality ratings are those provided by Moodys Investor Services, Inc., a nationally recognized bond rating service. Reflects the Trusts total loan investments as of 4/30/10. Credit ratings are based largely on the rating agencys investment analysis at the time of rating and the rating assigned to any particular security is not necessarily a reflection of the issuers current financial condition. The rating assigned to a security by a rating agency does not necessarily reflect its assessment of the volatility of a securitys market value or of the liquidity of an investment in the security. If securities are rated differently by the rating agencies, the higher rating is applied. | |
5 | Certain loans in which the Trust invests are not rated by a rating agency. In managements opinion, such securities are comparable to securities rated by a rating agency in the categories listed above. |
3
Senior Floating-Rate Interests 138.7%(1) | ||||||||||
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Aerospace and Defense 2.9% | ||||||||||
ACTS Aero Technical Support & Service, Inc.
|
||||||||||
47 | Term Loan, 11.25%, Maturing March 12, 2013 | $ | 47,456 | |||||||
118 | Term Loan - Second Lien, 10.75%, Maturing March 12, 2015(2) | 118,894 | ||||||||
Booz Allen Hamilton, Inc.
|
||||||||||
499 | Term Loan, 6.00%, Maturing July 31, 2015 | 500,870 | ||||||||
DAE Aviation Holdings, Inc.
|
||||||||||
405 | Term Loan, 4.09%, Maturing July 31, 2014 | 388,485 | ||||||||
416 | Term Loan, 4.09%, Maturing July 31, 2014 | 399,136 | ||||||||
Delos Aircraft, Inc.
|
||||||||||
625 | Term Loan, 7.00%, Maturing March 15, 2016 | 633,906 | ||||||||
Evergreen International Aviation
|
||||||||||
1,299 | Term Loan, 10.50%, Maturing October 31, 2011(2) | 1,221,359 | ||||||||
Hawker Beechcraft Acquisition
|
||||||||||
4,309 | Term Loan, 2.28%, Maturing March 26, 2014 | 3,710,453 | ||||||||
256 | Term Loan, 2.29%, Maturing March 26, 2014 | 220,685 | ||||||||
Hexcel Corp.
|
||||||||||
632 | Term Loan, 6.50%, Maturing May 21, 2014 | 636,749 | ||||||||
IAP Worldwide Services, Inc.
|
||||||||||
828 | Term Loan, 9.25%, Maturing December 30, 2012(2) | 790,524 | ||||||||
International Lease Finance Co.
|
||||||||||
850 | Term Loan, 6.75%, Maturing March 15, 2015 | 867,637 | ||||||||
Spirit AeroSystems, Inc.
|
||||||||||
1,573 | Term Loan, 2.05%, Maturing December 31, 2011 | 1,558,030 | ||||||||
TransDigm, Inc.
|
||||||||||
1,625 | Term Loan, 2.28%, Maturing June 23, 2013 | 1,604,010 | ||||||||
Vought Aircraft Industries, Inc.
|
||||||||||
899 | Term Loan, 7.50%, Maturing December 17, 2011 | 902,274 | ||||||||
213 | Term Loan, 7.50%, Maturing December 22, 2011 | 213,218 | ||||||||
Wesco Aircraft Hardware Corp.
|
||||||||||
1,093 | Term Loan, 2.53%, Maturing September 29, 2013 | 1,075,912 | ||||||||
$ | 14,889,598 | |||||||||
Air Transport 0.6% | ||||||||||
Airport Development and Investment, Ltd.
|
||||||||||
GBP | 783 | Term Loan - Second Lien, 4.85%, Maturing April 7, 2011 | $ | 1,166,059 | ||||||
Delta Air Lines, Inc.
|
||||||||||
742 | Term Loan, 2.30%, Maturing April 30, 2012 | 727,036 | ||||||||
1,167 | Term Loan - Second Lien, 3.55%, Maturing April 30, 2014 | 1,094,938 | ||||||||
$ | 2,988,033 | |||||||||
Automotive 5.5%
|
||||||||||
Accuride Corp.
|
||||||||||
1,958 | Term Loan, 9.75%, Maturing June 30, 2013 | $ | 1,968,573 | |||||||
Adesa, Inc.
|
||||||||||
2,071 | Term Loan, 3.03%, Maturing October 18, 2013 | 2,035,683 | ||||||||
Allison Transmission, Inc.
|
||||||||||
1,883 | Term Loan, 3.01%, Maturing September 30, 2014 | 1,804,497 | ||||||||
Dayco Products, LLC
|
||||||||||
414 | Term Loan, 10.50%, Maturing November 13, 2014 | 414,299 | ||||||||
61 | Term Loan, 12.50%, Maturing November 13, 2014(2) | 56,402 | ||||||||
Federal-Mogul Corp.
|
||||||||||
2,470 | Term Loan, 2.19%, Maturing December 27, 2014 | 2,264,058 | ||||||||
3,104 | Term Loan, 2.20%, Maturing December 27, 2015 | 2,845,124 | ||||||||
Ford Motor Co.
|
||||||||||
4,192 | Term Loan, 3.28%, Maturing December 15, 2013 | 4,055,203 | ||||||||
Goodyear Tire & Rubber Co.
|
||||||||||
5,400 | Term Loan - Second Lien, 2.24%, Maturing April 30, 2014 | 5,173,200 | ||||||||
HHI Holdings, LLC
|
||||||||||
1,000 | Term Loan, 10.50%, Maturing March 30, 2015 | 1,016,563 | ||||||||
Keystone Automotive Operations, Inc.
|
||||||||||
1,317 | Term Loan, 3.78%, Maturing January 12, 2012 | 1,152,062 | ||||||||
LKQ Corp.
|
||||||||||
885 | Term Loan, 2.50%, Maturing October 12, 2014 | 878,933 | ||||||||
TriMas Corp.
|
||||||||||
426 | Term Loan, 6.00%, Maturing August 2, 2011 | 419,768 | ||||||||
2,762 | Term Loan, 6.00%, Maturing December 15, 2015 | 2,720,329 | ||||||||
United Components, Inc.
|
||||||||||
1,031 | Term Loan, 2.25%, Maturing June 30, 2010 | 1,008,256 | ||||||||
$ | 27,812,950 | |||||||||
Beverage and Tobacco 0.2% | ||||||||||
Southern Wine & Spirits of America, Inc.
|
||||||||||
992 | Term Loan, 5.50%, Maturing May 31, 2012 | $ | 990,927 | |||||||
$ | 990,927 | |||||||||
Building and Development 2.6% | ||||||||||
Beacon Sales Acquisition, Inc.
|
||||||||||
1,110 | Term Loan, 2.28%, Maturing September 30, 2013 | $ | 1,093,532 | |||||||
Brickman Group Holdings, Inc.
|
||||||||||
1,180 | Term Loan, 2.29%, Maturing January 23, 2014 | 1,156,027 | ||||||||
Epco/Fantome, LLC
|
||||||||||
1,281 | Term Loan, 2.89%, Maturing November 23, 2010 | 1,229,760 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Building
and Development (continued)
|
||||||||||
Forestar USA Real Estate Group, Inc.
|
||||||||||
244 | Revolving Loan, 0.53%, Maturing December 1, 2010(3) | $ | 233,389 | |||||||
2,240 | Term Loan, 5.11%, Maturing December 1, 2010 | 2,206,517 | ||||||||
Metroflag BP, LLC
|
||||||||||
500 | Term Loan - Second Lien, 0.00%, Maturing October 31, 2009(4)(5) | 0 | ||||||||
Mueller Water Products, Inc.
|
||||||||||
944 | Term Loan, 5.33%, Maturing May 24, 2014 | 948,098 | ||||||||
NCI Building Systems, Inc.
|
||||||||||
282 | Term Loan, 8.00%, Maturing June 18, 2010 | 278,694 | ||||||||
November 2005 Land Investors
|
||||||||||
305 | Term Loan, 5.75%, Maturing May 9, 2011 | 83,069 | ||||||||
Panolam Industries Holdings, Inc.
|
||||||||||
1,858 | Term Loan, 8.25%, Maturing December 31, 2013 | 1,737,660 | ||||||||
Re/Max International, Inc.
|
||||||||||
1,900 | Term Loan, 5.50%, Maturing April 16, 2016 | 1,904,750 | ||||||||
Realogy Corp.
|
||||||||||
672 | Term Loan, 3.29%, Maturing October 10, 2013 | 610,565 | ||||||||
318 | Term Loan, 3.38%, Maturing October 10, 2013 | 289,073 | ||||||||
South Edge, LLC
|
||||||||||
1,588 | Term Loan, 0.00%, Maturing October 31, 2009(4) | 722,313 | ||||||||
WCI Communities, Inc.
|
||||||||||
623 | Term Loan, 10.07%, Maturing September 3, 2014 | 622,134 | ||||||||
$ | 13,115,581 | |||||||||
Business Equipment and Services 12.0% | ||||||||||
Activant Solutions, Inc.
|
||||||||||
1,098 | Term Loan, 2.31%, Maturing May 1, 2013 | $ | 1,052,329 | |||||||
Advantage Sales & Marketing
|
||||||||||
1,200 | Term Loan, Maturing May 5, 2016(6) | 1,193,999 | ||||||||
1,000 | Term Loan - Second Lien, Maturing May 5, 2017(6) | 990,000 | ||||||||
1,629 | Term Loan, 2.26%, Maturing March 29, 2013 | 1,628,601 | ||||||||
Affinion Group, Inc.
|
||||||||||
3,725 | Term Loan, 5.00%, Maturing October 8, 2016 | 3,706,375 | ||||||||
Allied Barton Security Service
|
||||||||||
983 | Term Loan, 6.75%, Maturing February 21, 2015 | 991,883 | ||||||||
Dealer Computer Services, Inc.
|
||||||||||
1,850 | Term Loan, Maturing April 16, 2017(6) | 1,850,000 | ||||||||
Education Management, LLC
|
||||||||||
4,605 | Term Loan, 2.06%, Maturing June 1, 2013 | 4,514,881 | ||||||||
First American Corp.
|
||||||||||
925 | Term Loan, 4.75%, Maturing April 9, 2016 | 931,649 | ||||||||
Info USA, Inc.
|
||||||||||
249 | Term Loan, 2.05%, Maturing February 14, 2012 | 248,375 | ||||||||
Intergraph Corp.
|
||||||||||
1,000 | Term Loan, 4.50%, Maturing May 29, 2014 | 997,806 | ||||||||
575 | Term Loan, 6.00%, Maturing May 29, 2014 | 578,115 | ||||||||
1,000 | Term Loan - Second Lien, 6.25%, Maturing November 29, 2014 | 1,005,000 | ||||||||
iPayment, Inc.
|
||||||||||
2,382 | Term Loan, 2.28%, Maturing May 10, 2013 | 2,285,911 | ||||||||
Kronos, Inc.
|
||||||||||
1,018 | Term Loan, 2.29%, Maturing June 11, 2014 | 982,369 | ||||||||
Language Line, Inc.
|
||||||||||
2,020 | Term Loan, 5.50%, Maturing October 30, 2015 | 2,031,720 | ||||||||
Mitchell International, Inc.
|
||||||||||
1,000 | Term Loan - Second Lien, 5.56%, Maturing March 28, 2015 | 852,500 | ||||||||
NE Customer Service
|
||||||||||
1,775 | Term Loan, 6.00%, Maturing March 5, 2016 | 1,770,378 | ||||||||
Protection One, Inc.
|
||||||||||
123 | Term Loan, 2.53%, Maturing March 31, 2012 | 122,881 | ||||||||
695 | Term Loan, 6.25%, Maturing March 31, 2014 | 696,419 | ||||||||
Quantum Corp.
|
||||||||||
198 | Term Loan, 3.79%, Maturing July 12, 2014 | 192,629 | ||||||||
Quintiles Transnational Corp.
|
||||||||||
990 | Term Loan, 2.30%, Maturing March 31, 2013 | 973,996 | ||||||||
1,700 | Term Loan - Second Lien, 4.30%, Maturing March 31, 2014 | 1,683,000 | ||||||||
Sabre, Inc.
|
||||||||||
6,002 | Term Loan, 2.30%, Maturing September 30, 2014 | 5,718,911 | ||||||||
Safenet, Inc.
|
||||||||||
1,995 | Term Loan, 2.76%, Maturing April 12, 2014 | 1,927,545 | ||||||||
Serena Software, Inc.
|
||||||||||
474 | Term Loan, 2.25%, Maturing March 10, 2013 | 459,385 | ||||||||
Sitel (Client Logic)
|
||||||||||
1,567 | Term Loan, 5.79%, Maturing January 29, 2014 | 1,551,035 | ||||||||
Solera Holdings, LLC
|
||||||||||
EUR | 733 | Term Loan, 2.44%, Maturing May 15, 2014 | 943,799 | |||||||
SunGard Data Systems, Inc.
|
||||||||||
2,226 | Term Loan, 2.00%, Maturing February 28, 2014 | 2,157,211 | ||||||||
6,826 | Term Loan, 3.88%, Maturing February 28, 2016 | 6,799,031 | ||||||||
Ticketmaster
|
||||||||||
1,650 | Term Loan, 7.00%, Maturing July 22, 2014 | 1,667,016 | ||||||||
Travelport, LLC
|
||||||||||
437 | Term Loan, 2.79%, Maturing August 23, 2013 | 425,434 | ||||||||
3,178 | Term Loan, 2.79%, Maturing August 23, 2013 | 3,093,772 | ||||||||
EUR | 1,054 | Term Loan, 3.14%, Maturing August 23, 2013 | 1,362,711 | |||||||
West Corp.
|
||||||||||
1,367 | Term Loan, 2.64%, Maturing October 24, 2013 | 1,336,369 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Business
Equipment and Services (continued)
|
||||||||||
1,986 | Term Loan, 4.14%, Maturing July 15, 2016 | $ | 1,979,725 | |||||||
$ | 60,702,760 | |||||||||
Cable and Satellite Television 11.5% | ||||||||||
Atlantic Broadband Finance, LLC
|
||||||||||
2,559 | Term Loan, 6.75%, Maturing June 8, 2013 | $ | 2,571,141 | |||||||
95 | Term Loan, 2.55%, Maturing September 1, 2013 | 94,265 | ||||||||
Bragg Communications, Inc.
|
||||||||||
2,096 | Term Loan, 2.75%, Maturing August 31, 2014 | 2,080,528 | ||||||||
Bresnan Broadband Holdings, LLC
|
||||||||||
495 | Term Loan, 2.31%, Maturing March 29, 2014 | 489,431 | ||||||||
600 | Term Loan - Second Lien, 4.76%, Maturing March 29, 2014 | 600,000 | ||||||||
Cequel Communications, LLC
|
||||||||||
2,157 | Term Loan, 2.29%, Maturing November 5, 2013 | 2,122,008 | ||||||||
1,309 | Term Loan, 6.29%, Maturing May 5, 2014 | 1,325,560 | ||||||||
2,050 | Term Loan - Second Lien, 4.75%, Maturing May 5, 2014 | 2,058,200 | ||||||||
Charter Communications Operating, Inc.
|
||||||||||
9,796 | Term Loan, 2.30%, Maturing April 28, 2013 | 9,312,712 | ||||||||
CSC Holdings, Inc.
|
||||||||||
2,907 | Term Loan, 2.00%, Maturing March 29, 2016 | 2,901,273 | ||||||||
CW Media Holdings, Inc.
|
||||||||||
578 | Term Loan, 3.29%, Maturing February 15, 2015 | 549,751 | ||||||||
Foxco Acquisition Sub., LLC
|
||||||||||
569 | Term Loan, 7.50%, Maturing July 2, 2015 | 566,553 | ||||||||
Insight Midwest Holdings, LLC
|
||||||||||
3,594 | Term Loan, 2.27%, Maturing April 6, 2014 | 3,519,680 | ||||||||
MCC Iowa, LLC
|
||||||||||
5,704 | Term Loan, 2.01%, Maturing January 31, 2015 | 5,499,935 | ||||||||
Mediacom Broadband, LLC
|
||||||||||
1,475 | Term Loan, Maturing October 20, 2017(6) | 1,476,106 | ||||||||
Mediacom Illinois, LLC
|
||||||||||
3,674 | Term Loan, 2.01%, Maturing January 31, 2015 | 3,533,157 | ||||||||
995 | Term Loan, 5.50%, Maturing March 31, 2017 | 1,001,468 | ||||||||
Mediacom, LLC
|
||||||||||
825 | Term Loan, 4.50%, Maturing October 20, 2017 | 825,774 | ||||||||
ProSiebenSat.1 Media AG
|
||||||||||
EUR | 907 | Term Loan, 2.41%, Maturing June 26, 2014 | 1,083,574 | |||||||
EUR | 93 | Term Loan, 2.41%, Maturing July 2, 2014 | 110,927 | |||||||
EUR | 410 | Term Loan, 3.34%, Maturing March 2, 2015 | 439,153 | |||||||
EUR | 97 | Term Loan, 2.54%, Maturing June 26, 2015 | 118,695 | |||||||
EUR | 2,187 | Term Loan, 2.54%, Maturing June 26, 2015 | 2,670,761 | |||||||
EUR | 410 | Term Loan, 3.59%, Maturing March 2, 2016 | 439,153 | |||||||
EUR | 371 | Term Loan, 7.96%, Maturing March 2, 2017(2) | 301,402 | |||||||
EUR | 520 | Term Loan - Second Lien, 4.71%, Maturing September 2, 2016 | 508,833 | |||||||
UPC Broadband Holding B.V.
|
||||||||||
1,264 | Term Loan, 2.18%, Maturing December 31, 2014 | 1,234,138 | ||||||||
1,686 | Term Loan, 3.93%, Maturing December 31, 2016 | 1,667,716 | ||||||||
EUR | 2,353 | Term Loan, 4.15%, Maturing December 31, 2016 | 2,990,422 | |||||||
EUR | 2,697 | Term Loan, 4.99%, Maturing December 31, 2017 | 3,464,617 | |||||||
Virgin Media Investment Holding
|
||||||||||
GBP | 1,000 | Term Loan, 4.41%, Maturing December 31, 2015 | 1,520,078 | |||||||
YPSO Holding SA
|
||||||||||
EUR | 210 | Term Loan, 4.16%, Maturing July 28, 2014(2) | 237,352 | |||||||
EUR | 250 | Term Loan, 4.16%, Maturing July 28, 2014(2) | 283,157 | |||||||
EUR | 544 | Term Loan, 4.16%, Maturing July 28, 2014(2) | 615,034 | |||||||
$ | 58,212,554 | |||||||||
Chemicals and Plastics 6.6% | ||||||||||
Arizona Chemical, Inc.
|
||||||||||
500 | Term Loan - Second Lien, 5.75%, Maturing February 28, 2014 | $ | 488,750 | |||||||
Brenntag Holding GmbH and Co. KG
|
||||||||||
1,493 | Term Loan, 4.03%, Maturing December 23, 2013 | 1,497,034 | ||||||||
220 | Term Loan, 4.07%, Maturing December 23, 2013 | 220,665 | ||||||||
1,000 | Term Loan - Second Lien, 6.47%, Maturing December 23, 2015 | 1,003,500 | ||||||||
Celanese Holdings, LLC
|
||||||||||
2,109 | Term Loan, 2.04%, Maturing April 2, 2014 | 2,070,170 | ||||||||
Hexion Specialty Chemicals, Inc.
|
||||||||||
486 | Term Loan, 4.06%, Maturing May 5, 2015 | 461,938 | ||||||||
772 | Term Loan, 4.06%, Maturing May 5, 2015 | 745,639 | ||||||||
1,744 | Term Loan, 4.06%, Maturing May 5, 2015 | 1,683,325 | ||||||||
Huntsman International, LLC
|
||||||||||
2,272 | Term Loan, 2.06%, Maturing August 16, 2012 | 2,192,079 | ||||||||
909 | Term Loan, 2.52%, Maturing June 30, 2016 | 881,489 | ||||||||
INEOS Group
|
||||||||||
2,766 | Term Loan, 9.50%, Maturing December 14, 2013 | 2,766,692 | ||||||||
2,672 | Term Loan, 8.00%, Maturing December 14, 2014 | 2,672,607 | ||||||||
EUR | 1,250 | Term Loan - Second Lien, 6.40%, Maturing December 14, 2012 | 1,653,494 | |||||||
ISP Chemco, Inc.
|
||||||||||
1,549 | Term Loan, 2.06%, Maturing June 4, 2014 | 1,511,219 | ||||||||
Kraton Polymers, LLC
|
||||||||||
1,881 | Term Loan, 2.31%, Maturing May 12, 2013 | 1,814,870 | ||||||||
Lyondell Chemical Co.
|
||||||||||
675 | Term Loan, 5.50%, Maturing March 14, 2016 | 678,249 | ||||||||
MacDermid, Inc.
|
||||||||||
EUR | 693 | Term Loan, 2.62%, Maturing April 12, 2014 | 844,011 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Chemicals
and Plastics (continued)
|
||||||||||
Millenium Inorganic Chemicals
|
||||||||||
311 | Term Loan, 2.54%, Maturing April 30, 2014 | $ | 293,306 | |||||||
975 | Term Loan - Second Lien, 6.04%, Maturing October 31, 2014 | 912,437 | ||||||||
Momentive Performance Material
|
||||||||||
1,669 | Term Loan, 2.56%, Maturing December 4, 2013 | 1,586,187 | ||||||||
Nalco Co.
|
||||||||||
496 | Term Loan, 6.50%, Maturing May 6, 2016 | 501,109 | ||||||||
Rockwood Specialties Group, Inc.
|
||||||||||
3,194 | Term Loan, 6.00%, Maturing May 15, 2014 | 3,221,328 | ||||||||
Schoeller Arca Systems Holding
|
||||||||||
EUR | 145 | Term Loan, 5.01%, Maturing November 16, 2015 | 127,000 | |||||||
EUR | 412 | Term Loan, 5.01%, Maturing November 16, 2015 | 362,101 | |||||||
EUR | 443 | Term Loan, 5.01%, Maturing November 16, 2015 | 389,656 | |||||||
Solutia, Inc.
|
||||||||||
2,650 | Term Loan, 4.75%, Maturing March 12, 2017 | 2,671,807 | ||||||||
$ | 33,250,662 | |||||||||
Clothing / Textiles 0.2% | ||||||||||
Hanesbrands, Inc.
|
||||||||||
1,036 | Term Loan, 5.25%, Maturing December 10, 2015 | $ | 1,049,357 | |||||||
$ | 1,049,357 | |||||||||
Conglomerates 3.2% | ||||||||||
Blount, Inc.
|
||||||||||
244 | Term Loan, 5.50%, Maturing February 9, 2012 | $ | 243,517 | |||||||
Doncasters (Dunde HoldCo 4 Ltd.)
|
||||||||||
395 | Term Loan, 4.27%, Maturing July 13, 2015 | 352,084 | ||||||||
395 | Term Loan, 4.77%, Maturing July 13, 2015 | 352,084 | ||||||||
GBP | 500 | Term Loan - Second Lien, 6.56%, Maturing January 13, 2016 | 573,769 | |||||||
Jarden Corp.
|
||||||||||
600 | Term Loan, 2.04%, Maturing January 24, 2012 | 598,280 | ||||||||
1,065 | Term Loan, 2.04%, Maturing January 24, 2012 | 1,062,254 | ||||||||
Manitowoc Company, Inc. (The)
|
||||||||||
2,263 | Term Loan, 7.50%, Maturing August 21, 2014 | 2,271,499 | ||||||||
Polymer Group, Inc.
|
||||||||||
1,923 | Term Loan, 7.00%, Maturing November 22, 2014 | 1,939,406 | ||||||||
RBS Global, Inc.
|
||||||||||
780 | Term Loan, 2.56%, Maturing July 19, 2013 | 753,551 | ||||||||
3,785 | Term Loan, 2.81%, Maturing July 19, 2013 | 3,704,408 | ||||||||
RGIS Holdings, LLC
|
||||||||||
127 | Term Loan, 2.79%, Maturing April 30, 2014 | 120,821 | ||||||||
2,547 | Term Loan, 2.79%, Maturing April 30, 2014 | 2,416,416 | ||||||||
US Investigations Services, Inc.
|
||||||||||
992 | Term Loan, 3.27%, Maturing February 21, 2015 | 927,844 | ||||||||
Vertrue, Inc.
|
||||||||||
804 | Term Loan, 3.30%, Maturing August 16, 2014 | 685,782 | ||||||||
$ | 16,001,715 | |||||||||
Containers and Glass Products 4.1% | ||||||||||
Berry Plastics Corp.
|
||||||||||
1,980 | Term Loan, 2.26%, Maturing April 3, 2015 | $ | 1,854,493 | |||||||
Consolidated Container Co.
|
||||||||||
1,000 | Term Loan - Second Lien, 5.75%, Maturing September 28, 2014 | 902,500 | ||||||||
Crown Americas, Inc.
|
||||||||||
600 | Term Loan, 2.00%, Maturing November 15, 2012 | 594,250 | ||||||||
Graham Packaging Holdings Co.
|
||||||||||
2,019 | Term Loan, 2.50%, Maturing October 7, 2011 | 2,007,982 | ||||||||
1,694 | Term Loan, 6.75%, Maturing April 5, 2014 | 1,710,396 | ||||||||
Graphic Packaging International, Inc.
|
||||||||||
3,985 | Term Loan, 2.30%, Maturing May 16, 2014 | 3,931,575 | ||||||||
426 | Term Loan, 3.04%, Maturing May 16, 2014 | 424,275 | ||||||||
JSG Acquisitions
|
||||||||||
1,189 | Term Loan, 3.67%, Maturing December 31, 2013 | 1,184,195 | ||||||||
1,189 | Term Loan, 3.92%, Maturing December 13, 2014 | 1,184,195 | ||||||||
Owens-Brockway Glass Container
|
||||||||||
1,540 | Term Loan, 1.75%, Maturing June 14, 2013 | 1,527,370 | ||||||||
Reynolds Group Holdings, Inc.
|
||||||||||
1,963 | Term Loan, 6.25%, Maturing November 5, 2015 | 1,975,414 | ||||||||
Smurfit-Stone Container Corp.
|
||||||||||
1,466 | Revolving Loan, 2.90%, Maturing July 28, 2010 | 1,473,576 | ||||||||
487 | Revolving Loan, 3.05%, Maturing July 28, 2010 | 489,913 | ||||||||
191 | Term Loan, 2.50%, Maturing November 1, 2011 | 190,841 | ||||||||
336 | Term Loan, 2.50%, Maturing November 1, 2011 | 334,047 | ||||||||
633 | Term Loan, 2.50%, Maturing November 1, 2011 | 631,206 | ||||||||
295 | Term Loan, 4.50%, Maturing November 1, 2011 | 293,532 | ||||||||
$ | 20,709,760 | |||||||||
Cosmetics / Toiletries 1.0% | ||||||||||
Alliance Boots Holdings, Ltd.
|
||||||||||
EUR | 1,000 | Term Loan, Maturing July 5, 2015(6) | $ | 1,263,768 | ||||||
American Safety Razor Co.
|
||||||||||
470 | Term Loan, 6.75%, Maturing July 31, 2013 | 436,140 | ||||||||
900 | Term Loan - Second Lien, 10.50%, Maturing July 31, 2014 | 532,500 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Cosmetics / Toiletries (continued)
|
||||||||||
Bausch & Lomb, Inc.
|
||||||||||
293 | Term Loan, 3.54%, Maturing April 30, 2015 | $ | 287,146 | |||||||
1,207 | Term Loan, 3.54%, Maturing April 30, 2015 | 1,184,004 | ||||||||
KIK Custom Products, Inc.
|
||||||||||
975 | Term Loan - Second Lien, 5.32%, Maturing November 30, 2014 | 643,500 | ||||||||
Prestige Brands, Inc.
|
||||||||||
850 | Term Loan, 4.75%, Maturing March 17, 2016 | 858,500 | ||||||||
$ | 5,205,558 | |||||||||
Drugs 0.8% | ||||||||||
Graceway Pharmaceuticals, LLC
|
||||||||||
1,412 | Term Loan, 3.02%, Maturing May 3, 2012 | $ | 1,205,252 | |||||||
277 | Term Loan, 8.52%, Maturing November 3, 2013(2) | 58,851 | ||||||||
1,500 | Term Loan - Second Lien, 6.77%, Maturing May 3, 2013 | 858,750 | ||||||||
Pharmaceutical Holdings Corp.
|
||||||||||
173 | Term Loan, 3.53%, Maturing January 30, 2012 | 170,698 | ||||||||
Warner Chilcott Corp.
|
||||||||||
732 | Term Loan, 5.50%, Maturing October 30, 2014 | 734,018 | ||||||||
337 | Term Loan, 5.75%, Maturing April 30, 2015 | 337,959 | ||||||||
561 | Term Loan, 5.75%, Maturing April 30, 2015 | 562,763 | ||||||||
$ | 3,928,291 | |||||||||
Ecological Services and Equipment 2.1% | ||||||||||
Blue Waste B.V. (AVR Acquisition)
|
||||||||||
EUR | 1,000 | Term Loan, 2.66%, Maturing April 1, 2015 | $ | 1,263,213 | ||||||
Cory Environmental Holdings
|
||||||||||
GBP | 500 | Term Loan - Second Lien, 4.85%, Maturing September 30, 2014 | 592,895 | |||||||
Environmental Systems Products Holdings, Inc.
|
||||||||||
955 | Term Loan - Second Lien, 13.50%, Maturing December 12, 2010 | 929,886 | ||||||||
Kemble Water Structure, Ltd.
|
||||||||||
GBP | 4,250 | Term Loan - Second Lien, 4.88%, Maturing October 13, 2013 | 5,844,316 | |||||||
Sensus Metering Systems, Inc.
|
||||||||||
2,058 | Term Loan, 7.00%, Maturing June 3, 2013 | 2,060,932 | ||||||||
$ | 10,691,242 | |||||||||
Electronics / Electrical 5.1% | ||||||||||
Aspect Software, Inc.
|
||||||||||
1,664 | Term Loan, 3.31%, Maturing July 11, 2011 | $ | 1,657,192 | |||||||
1,800 | Term Loan - Second Lien, 7.31%, Maturing July 11, 2013 | 1,784,624 | ||||||||
Christie/Aix, Inc.
|
||||||||||
750 | Term Loan, Maturing April 22, 2016(6) | 751,875 | ||||||||
FCI International S.A.S.
|
||||||||||
156 | Term Loan, 3.67%, Maturing November 1, 2013 | 148,509 | ||||||||
162 | Term Loan, 3.67%, Maturing November 1, 2013 | 154,259 | ||||||||
162 | Term Loan, 3.67%, Maturing November 1, 2013 | 154,259 | ||||||||
156 | Term Loan, 3.67%, Maturing November 1, 2013 | 148,509 | ||||||||
Freescale Semiconductor, Inc.
|
||||||||||
2,802 | Term Loan, 4.50%, Maturing December 1, 2016 | 2,698,041 | ||||||||
Infor Enterprise Solutions Holdings
|
||||||||||
2,872 | Term Loan, 6.03%, Maturing December 1, 2013 | 2,789,326 | ||||||||
500 | Term Loan, 5.77%, Maturing March 2, 2014 | 415,000 | ||||||||
1,498 | Term Loan, 6.03%, Maturing July 28, 2015 | 1,453,427 | ||||||||
183 | Term Loan - Second Lien, 6.52%, Maturing March 2, 2014 | 148,958 | ||||||||
317 | Term Loan - Second Lien, 6.52%, Maturing March 2, 2014 | 263,625 | ||||||||
Network Solutions, LLC
|
||||||||||
542 | Term Loan, 2.55%, Maturing March 7, 2014 | 518,615 | ||||||||
Open Solutions, Inc.
|
||||||||||
2,037 | Term Loan, 2.45%, Maturing January 23, 2014 | 1,841,272 | ||||||||
Sensata Technologies Finance Co.
|
||||||||||
2,714 | Term Loan, 2.08%, Maturing April 27, 2013 | 2,625,708 | ||||||||
Spectrum Brands, Inc.
|
||||||||||
255 | Term Loan, 8.00%, Maturing March 30, 2013 | 255,498 | ||||||||
3,982 | Term Loan, 8.00%, Maturing March 30, 2013 | 3,982,880 | ||||||||
VeriFone, Inc.
|
||||||||||
2,036 | Term Loan, 3.03%, Maturing October 31, 2013 | 2,005,583 | ||||||||
Vertafore, Inc.
|
||||||||||
2,195 | Term Loan, 5.50%, Maturing July 31, 2014 | 2,134,929 | ||||||||
$ | 25,932,089 | |||||||||
Equipment Leasing 0.6% | ||||||||||
AWAS Capital, Inc.
|
||||||||||
475 | Term Loan, 2.06%, Maturing March 22, 2013 | $ | 448,224 | |||||||
1,582 | Term Loan - Second Lien, 6.31%, Maturing March 22, 2013 | 1,324,711 | ||||||||
Hertz Corp.
|
||||||||||
1,070 | Term Loan, 2.01%, Maturing December 21, 2012 | 1,058,501 | ||||||||
15 | Term Loan, 2.02%, Maturing December 21, 2012 | 14,646 | ||||||||
$ | 2,846,082 | |||||||||
Farming / Agriculture 0.8% | ||||||||||
CF Industries, Inc.
|
||||||||||
2,350 | Term Loan, 5.75%, Maturing April 16, 2015 | 2,368,213 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Farming / Agriculture (continued)
|
||||||||||
Wm. Bolthouse Farms, Inc.
|
||||||||||
1,725 | Term Loan, 5.50%, Maturing January 25, 2016 | $ | 1,738,477 | |||||||
$ | 4,106,690 | |||||||||
Financial Intermediaries 2.8% | ||||||||||
Citco III, Ltd.
|
||||||||||
2,868 | Term Loan, 4.43%, Maturing June 30, 2014 | $ | 2,781,709 | |||||||
First Data Corp.
|
||||||||||
995 | Term Loan, 3.01%, Maturing September 24, 2014 | 896,960 | ||||||||
1,995 | Term Loan, 3.03%, Maturing September 24, 2014 | 1,795,618 | ||||||||
Grosvenor Capital Management
|
||||||||||
1,358 | Term Loan, 2.25%, Maturing December 5, 2013 | 1,248,960 | ||||||||
Jupiter Asset Management Group
|
||||||||||
GBP | 405 | Term Loan, 2.71%, Maturing June 30, 2015 | 591,562 | |||||||
LPL Holdings, Inc.
|
||||||||||
3,970 | Term Loan, 2.04%, Maturing December 18, 2014 | 3,873,054 | ||||||||
Nuveen Investments, Inc.
|
||||||||||
2,330 | Term Loan, 3.32%, Maturing November 2, 2014 | 2,136,550 | ||||||||
Oxford Acquisition III, Ltd.
|
||||||||||
382 | Term Loan, 2.31%, Maturing May 24, 2014 | 356,570 | ||||||||
RJO Holdings Corp. (RJ OBrien)
|
||||||||||
455 | Term Loan, 5.26%, Maturing July 31, 2014(2) | 307,627 | ||||||||
$ | 13,988,610 | |||||||||
Food Products 2.8% | ||||||||||
Acosta, Inc.
|
||||||||||
2,986 | Term Loan, 2.53%, Maturing July 28, 2013 | $ | 2,950,727 | |||||||
Dole Food Company, Inc.
|
||||||||||
108 | Term Loan, 7.99%, Maturing April 12, 2013 | 109,017 | ||||||||
982 | Term Loan, 5.01%, Maturing February 1, 2017 | 993,593 | ||||||||
395 | Term Loan, 5.04%, Maturing February 1, 2017 | 400,038 | ||||||||
Pinnacle Foods Finance, LLC
|
||||||||||
6,568 | Term Loan, 3.00%, Maturing April 2, 2014 | 6,410,150 | ||||||||
Provimi Group SA
|
||||||||||
205 | Term Loan, 2.52%, Maturing June 28, 2015 | 196,898 | ||||||||
252 | Term Loan, 2.52%, Maturing June 28, 2015 | 242,308 | ||||||||
EUR | 265 | Term Loan, 2.66%, Maturing June 28, 2015 | 339,085 | |||||||
EUR | 439 | Term Loan, 2.66%, Maturing June 28, 2015 | 560,809 | |||||||
EUR | 457 | Term Loan, 2.66%, Maturing June 28, 2015 | 584,371 | |||||||
EUR | 590 | Term Loan, 2.66%, Maturing June 28, 2015 | 753,575 | |||||||
EUR | 24 | Term Loan - Second Lien, 4.66%, Maturing June 28, 2015 | 27,689 | |||||||
148 | Term Loan - Second Lien, 4.52%, Maturing December 28, 2016 | 127,484 | ||||||||
EUR | 331 | Term Loan - Second Lien, 4.66%, Maturing December 28, 2016 | 379,233 | |||||||
$ | 14,074,977 | |||||||||
Food Service 3.6% | ||||||||||
AFC Enterprises, Inc.
|
||||||||||
288 | Term Loan, 7.00%, Maturing May 11, 2011 | $ | 291,126 | |||||||
Aramark Corp.
|
||||||||||
2,566 | Term Loan, 2.17%, Maturing January 26, 2014 | 2,524,781 | ||||||||
169 | Term Loan, 2.17%, Maturing January 26, 2014 | 166,259 | ||||||||
GBP | 968 | Term Loan, 2.77%, Maturing January 27, 2014 | 1,421,111 | |||||||
4,621 | Term Loan, 3.54%, Maturing July 26, 2016 | 4,600,936 | ||||||||
304 | Term Loan, 3.54%, Maturing July 26, 2016 | 302,580 | ||||||||
Buffets, Inc.
|
||||||||||
105 | Term Loan, 7.53%, Maturing November 1, 2013 | 102,234 | ||||||||
1,250 | Term Loan, Maturing April 21, 2015(6) | 1,235,548 | ||||||||
8 | Term Loan, 7.39%, Maturing April 22, 2015 | 7,707 | ||||||||
CBRL Group, Inc.
|
||||||||||
963 | Term Loan, 1.75%, Maturing April 27, 2013 | 957,665 | ||||||||
582 | Term Loan, 2.75%, Maturing April 27, 2016 | 581,947 | ||||||||
NPC International, Inc.
|
||||||||||
308 | Term Loan, 2.05%, Maturing May 3, 2013 | 299,327 | ||||||||
OSI Restaurant Partners, LLC
|
||||||||||
264 | Term Loan, 2.54%, Maturing May 9, 2013 | 239,802 | ||||||||
2,881 | Term Loan, 2.63%, Maturing May 9, 2014 | 2,617,011 | ||||||||
QCE Finance, LLC
|
||||||||||
1,129 | Term Loan, 5.06%, Maturing May 5, 2013 | 1,039,408 | ||||||||
950 | Term Loan - Second Lien, 6.04%, Maturing November 5, 2013 | 706,800 | ||||||||
Sagittarius Restaurants, LLC
|
||||||||||
349 | Term Loan, 9.50%, Maturing March 29, 2013 | 349,496 | ||||||||
Selecta
|
||||||||||
EUR | 741 | Term Loan - Second Lien, 4.99%, Maturing December 28, 2015 | 720,460 | |||||||
$ | 18,164,198 | |||||||||
Food / Drug Retailers 4.2% | ||||||||||
General Nutrition Centers, Inc.
|
||||||||||
6,285 | Term Loan, 2.54%, Maturing September 16, 2013 | $ | 6,121,321 | |||||||
Pantry, Inc. (The)
|
||||||||||
222 | Term Loan, 2.03%, Maturing May 15, 2014 | 213,951 | ||||||||
771 | Term Loan, 2.03%, Maturing May 15, 2014 | 743,099 | ||||||||
Rite Aid Corp.
|
||||||||||
8,259 | Term Loan, 2.01%, Maturing June 1, 2014 | 7,664,955 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Food / Drug
Retailers (continued)
|
||||||||||
1,059 | Term Loan, 6.00%, Maturing June 4, 2014 | $ | 1,047,908 | |||||||
1,000 | Term Loan, 9.50%, Maturing June 4, 2014 | 1,045,833 | ||||||||
Roundys Supermarkets, Inc.
|
||||||||||
3,314 | Term Loan, 6.25%, Maturing November 3, 2013 | 3,344,858 | ||||||||
1,000 | Term Loan - Second Lien, Maturing April 14, 2016(6) | 1,018,750 | ||||||||
$ | 21,200,675 | |||||||||
Forest Products 1.8% | ||||||||||
Georgia-Pacific Corp.
|
||||||||||
5,945 | Term Loan, 2.27%, Maturing December 20, 2012 | $ | 5,918,940 | |||||||
1,778 | Term Loan, 2.33%, Maturing December 20, 2012 | 1,770,198 | ||||||||
1,559 | Term Loan, 3.53%, Maturing December 23, 2014 | 1,563,996 | ||||||||
$ | 9,253,134 | |||||||||
Health Care 16.3% | ||||||||||
Alliance Healthcare Services
|
||||||||||
1,222 | Term Loan, 5.50%, Maturing June 1, 2016 | $ | 1,222,955 | |||||||
American Medical Systems
|
||||||||||
324 | Term Loan, 2.50%, Maturing July 20, 2012 | 319,245 | ||||||||
Ardent Medical Services, Inc.
|
||||||||||
1,150 | Term Loan, 6.50%, Maturing September 9, 2015 | 1,138,213 | ||||||||
Aveta, Inc.
|
||||||||||
1,250 | Term Loan, 7.50%, Maturing April 14, 2015 | 1,231,250 | ||||||||
Biomet, Inc.
|
||||||||||
3,754 | Term Loan, 3.28%, Maturing December 26, 2014 | 3,707,888 | ||||||||
EUR | 1,194 | Term Loan, 3.50%, Maturing December 26, 2014 | 1,560,148 | |||||||
Bright Horizons Family Solutions, Inc.
|
||||||||||
932 | Term Loan, 7.50%, Maturing May 15, 2015 | 936,891 | ||||||||
Cardinal Health 409, Inc.
|
||||||||||
2,172 | Term Loan, 2.51%, Maturing January 30, 2012 | 2,071,674 | ||||||||
Carestream Health, Inc.
|
||||||||||
2,461 | Term Loan, 2.27%, Maturing April 30, 2013 | 2,400,303 | ||||||||
1,000 | Term Loan - Second Lien, 5.52%, Maturing October 30, 2013 | 949,167 | ||||||||
Carl Zeiss Vision Holding GmbH
|
||||||||||
1,300 | Term Loan, 2.77%, Maturing March 23, 2015 | 1,095,250 | ||||||||
Community Health Systems, Inc.
|
||||||||||
524 | Term Loan, 2.50%, Maturing July 25, 2014 | 509,877 | ||||||||
10,226 | Term Loan, 2.50%, Maturing July 25, 2014 | 9,954,444 | ||||||||
Concentra, Inc.
|
||||||||||
634 | Term Loan - Second Lien, 5.80%, Maturing June 25, 2015 | 584,488 | ||||||||
ConMed Corp.
|
||||||||||
456 | Term Loan, 1.78%, Maturing April 13, 2013 | 433,094 | ||||||||
ConvaTec Cidron Healthcare
|
||||||||||
EUR | 746 | Term Loan, 4.65%, Maturing July 30, 2016 | 982,625 | |||||||
CRC Health Corp.
|
||||||||||
473 | Term Loan, 2.54%, Maturing February 6, 2013 | 451,645 | ||||||||
475 | Term Loan, 2.54%, Maturing February 6, 2013 | 453,915 | ||||||||
Dako EQT Project Delphi
|
||||||||||
500 | Term Loan - Second Lien, 4.04%, Maturing December 12, 2016 | 362,500 | ||||||||
DaVita, Inc.
|
||||||||||
548 | Term Loan, 1.77%, Maturing October 5, 2012 | 542,974 | ||||||||
DJO Finance, LLC
|
||||||||||
704 | Term Loan, 3.27%, Maturing May 15, 2014 | 687,134 | ||||||||
Fenwal, Inc.
|
||||||||||
500 | Term Loan - Second Lien, 5.50%, Maturing August 28, 2014 | 435,000 | ||||||||
Fresenius Medical Care Holdings
|
||||||||||
489 | Term Loan, 1.66%, Maturing March 31, 2013 | 482,591 | ||||||||
Hanger Orthopedic Group, Inc.
|
||||||||||
698 | Term Loan, 2.27%, Maturing May 30, 2013 | 689,385 | ||||||||
Harvard Drug Group, LLC
|
||||||||||
121 | Term Loan, Maturing April 8, 2016(6) | 121,106 | ||||||||
879 | Term Loan, Maturing April 8, 2016(6) | 880,769 | ||||||||
HCA, Inc.
|
||||||||||
2,572 | Term Loan, 2.54%, Maturing November 18, 2013 | 2,506,387 | ||||||||
6,168 | Term Loan, 3.54%, Maturing March 17, 2017 | 6,136,368 | ||||||||
Health Management Association, Inc.
|
||||||||||
7,098 | Term Loan, 2.04%, Maturing February 28, 2014 | 6,886,866 | ||||||||
HealthSouth Corp.
|
||||||||||
1,249 | Term Loan, 2.51%, Maturing March 10, 2013 | 1,229,137 | ||||||||
1,028 | Term Loan, 4.01%, Maturing March 15, 2014 | 1,028,546 | ||||||||
Iasis Healthcare, LLC
|
||||||||||
78 | Term Loan, 2.25%, Maturing March 14, 2014 | 75,857 | ||||||||
287 | Term Loan, 2.27%, Maturing March 14, 2014 | 279,484 | ||||||||
829 | Term Loan, 2.27%, Maturing March 14, 2014 | 807,550 | ||||||||
Ikaria Acquisition, Inc.
|
||||||||||
1,477 | Term Loan, 2.52%, Maturing March 28, 2013 | 1,460,173 | ||||||||
IM U.S. Holdings, LLC
|
||||||||||
977 | Term Loan, 2.27%, Maturing June 26, 2014 | 961,993 | ||||||||
625 | Term Loan - Second Lien, 4.50%, Maturing June 26, 2015 | 622,396 | ||||||||
IMS Health, Inc.
|
||||||||||
1,287 | Term Loan, 5.25%, Maturing February 17, 2016 | 1,297,289 | ||||||||
Lifepoint Hospitals, Inc.
|
||||||||||
2,022 | Term Loan, 3.01%, Maturing April 15, 2015 | 2,016,923 | ||||||||
MultiPlan Merger Corp.
|
||||||||||
950 | Term Loan, 3.56%, Maturing April 12, 2013 | 935,786 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Health
Care (continued)
|
||||||||||
1,329 | Term Loan, 3.56%, Maturing April 12, 2013 | $ | 1,308,628 | |||||||
800 | Term Loan, 6.00%, Maturing June 30, 2013 | 802,250 | ||||||||
Mylan, Inc.
|
||||||||||
3,545 | Term Loan, 3.56%, Maturing October 2, 2014 | 3,546,292 | ||||||||
National Mentor Holdings, Inc.
|
||||||||||
62 | Term Loan, 2.30%, Maturing June 29, 2013 | 56,877 | ||||||||
999 | Term Loan, 2.30%, Maturing June 29, 2013 | 922,835 | ||||||||
National Renal Institutes, Inc.
|
||||||||||
703 | Term Loan, 9.00%, Maturing March 31, 2013(2) | 691,027 | ||||||||
Nyco Holdings
|
||||||||||
EUR | 495 | Term Loan, 2.89%, Maturing December 29, 2014 | 623,514 | |||||||
EUR | 495 | Term Loan, 3.64%, Maturing December 29, 2015 | 623,514 | |||||||
Physiotherapy Associates, Inc.
|
||||||||||
742 | Term Loan, 7.50%, Maturing June 27, 2013 | 594,539 | ||||||||
Prime Healthcare Services, Inc.
|
||||||||||
2,325 | Term Loan, Maturing April 22, 2015(6) | 2,278,500 | ||||||||
RadNet Management, Inc.
|
||||||||||
1,100 | Term Loan, 5.75%, Maturing April 6, 2016 | 1,101,146 | ||||||||
ReAble Therapeutics Finance, LLC
|
||||||||||
2,494 | Term Loan, 2.30%, Maturing November 16, 2013 | 2,449,116 | ||||||||
RehabCare Group, Inc.
|
||||||||||
873 | Term Loan, 6.00%, Maturing November 20, 2015 | 878,268 | ||||||||
Renal Advantage, Inc.
|
||||||||||
1 | Term Loan, 2.76%, Maturing October 5, 2012 | 780 | ||||||||
Select Medical Holdings Corp.
|
||||||||||
2,353 | Term Loan, 4.00%, Maturing August 5, 2014 | 2,314,295 | ||||||||
Sunrise Medical Holdings, Inc.
|
||||||||||
EUR | 293 | Term Loan, 8.00%, Maturing May 13, 2014 | 389,576 | |||||||
TZ Merger Sub., Inc. (TriZetto)
|
||||||||||
723 | Term Loan, 7.50%, Maturing July 24, 2015 | 728,773 | ||||||||
Vanguard Health Holding Co., LLC
|
||||||||||
1,600 | Term Loan, 5.00%, Maturing January 29, 2016 | 1,608,333 | ||||||||
VWR International, Inc.
|
||||||||||
980 | Term Loan, 2.77%, Maturing June 28, 2013 | 936,552 | ||||||||
$ | 82,304,101 | |||||||||
Home Furnishings 1.0% | ||||||||||
Hunter Fan Co.
|
||||||||||
424 | Term Loan, 2.76%, Maturing April 16, 2014 | $ | 386,912 | |||||||
Interline Brands, Inc.
|
||||||||||
255 | Term Loan, 2.01%, Maturing June 23, 2013 | 240,667 | ||||||||
936 | Term Loan, 2.04%, Maturing June 23, 2013 | 884,086 | ||||||||
National Bedding Co., LLC
|
||||||||||
1,461 | Term Loan, 2.31%, Maturing August 31, 2011 | 1,423,584 | ||||||||
2,050 | Term Loan - Second Lien, 5.31%, Maturing August 31, 2012 | 1,906,500 | ||||||||
$ | 4,841,749 | |||||||||
Industrial Equipment 3.8% | ||||||||||
Brand Energy and Infrastructure Services, Inc.
|
||||||||||
688 | Term Loan, 2.56%, Maturing February 7, 2014 | $ | 667,147 | |||||||
737 | Term Loan, 3.56%, Maturing February 7, 2014 | 721,433 | ||||||||
Bucyrus International, Inc.
|
||||||||||
1,300 | Term Loan, 4.50%, Maturing February 21, 2016 | 1,310,442 | ||||||||
CEVA Group PLC U.S.
|
||||||||||
862 | Term Loan, 3.26%, Maturing January 4, 2014 | 784,143 | ||||||||
2,222 | Term Loan, 3.26%, Maturing January 4, 2014 | 2,022,215 | ||||||||
742 | Term Loan, 3.29%, Maturing January 4, 2014 | 675,599 | ||||||||
EPD Holdings, (Goodyear Engineering Products)
|
||||||||||
145 | Term Loan, 2.76%, Maturing July 13, 2014 | 130,346 | ||||||||
1,013 | Term Loan, 2.76%, Maturing July 13, 2014 | 910,088 | ||||||||
775 | Term Loan - Second Lien, 6.01%, Maturing July 13, 2015 | 655,521 | ||||||||
Generac Acquisition Corp.
|
||||||||||
1,401 | Term Loan, 2.79%, Maturing November 7, 2013 | 1,325,179 | ||||||||
Gleason Corp.
|
||||||||||
707 | Term Loan, 2.02%, Maturing June 30, 2013 | 696,209 | ||||||||
Jason, Inc.
|
||||||||||
395 | Term Loan, 7.00%, Maturing July 30, 2010 | 296,603 | ||||||||
John Maneely Co.
|
||||||||||
2,173 | Term Loan, 3.55%, Maturing December 8, 2013 | 2,095,018 | ||||||||
KION Group GmbH
|
||||||||||
1,005 | Term Loan, 2.52%, Maturing December 23, 2014(2) | 832,942 | ||||||||
1,005 | Term Loan, 2.77%, Maturing December 23, 2015(2) | 832,942 | ||||||||
Polypore, Inc.
|
||||||||||
3,845 | Term Loan, 2.53%, Maturing July 3, 2014 | 3,758,322 | ||||||||
Sequa Corp.
|
||||||||||
794 | Term Loan, 3.55%, Maturing November 30, 2014 | 740,583 | ||||||||
TFS Acquisition Corp.
|
||||||||||
700 | Term Loan, 14.00%, Maturing August 11, 2013(2) | 680,865 | ||||||||
$ | 19,135,597 | |||||||||
Insurance 3.7% | ||||||||||
Alliant Holdings I, Inc.
|
||||||||||
2,494 | Term Loan, 3.29%, Maturing August 21, 2014 | 2,390,745 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Insurance (continued)
|
||||||||||
AmWINS Group, Inc.
|
||||||||||
980 | Term Loan, 2.77%, Maturing June 8, 2013 | $ | 919,425 | |||||||
500 | Term Loan - Second Lien, 5.78%, Maturing June 8, 2014 | 412,500 | ||||||||
Applied Systems, Inc.
|
||||||||||
2,118 | Term Loan, 2.77%, Maturing September 26, 2013 | 2,033,656 | ||||||||
CCC Information Services Group, Inc.
|
||||||||||
1,549 | Term Loan, 2.53%, Maturing February 10, 2013 | 1,523,249 | ||||||||
Conseco, Inc.
|
||||||||||
3,627 | Term Loan, 7.50%, Maturing October 10, 2013 | 3,540,547 | ||||||||
Crawford & Company
|
||||||||||
1,162 | Term Loan, 5.25%, Maturing October 31, 2013 | 1,157,476 | ||||||||
Crump Group, Inc.
|
||||||||||
775 | Term Loan, 3.28%, Maturing August 4, 2014 | 734,220 | ||||||||
Hub International Holdings, Inc.
|
||||||||||
494 | Term Loan, 2.79%, Maturing June 13, 2014 | 468,980 | ||||||||
2,200 | Term Loan, 2.79%, Maturing June 13, 2014 | 2,086,928 | ||||||||
572 | Term Loan, 6.75%, Maturing June 30, 2014 | 573,198 | ||||||||
U.S.I. Holdings Corp.
|
||||||||||
3,022 | Term Loan, 3.05%, Maturing May 4, 2014 | 2,821,877 | ||||||||
$ | 18,662,801 | |||||||||
Leisure Goods / Activities / Movies 8.2% | ||||||||||
24 Hour Fitness Worldwide, Inc.
|
||||||||||
1,000 | Term Loan, Maturing December 30, 2015(6) | $ | 980,000 | |||||||
AMC Entertainment, Inc.
|
||||||||||
3,767 | Term Loan, 2.01%, Maturing January 26, 2013 | 3,684,969 | ||||||||
AMF Bowling Worldwide, Inc.
|
||||||||||
1,000 | Term Loan - Second Lien, 6.50%, Maturing December 8, 2013 | 805,000 | ||||||||
Bombardier Recreational Products
|
||||||||||
1,823 | Term Loan, 3.25%, Maturing June 28, 2013 | 1,618,482 | ||||||||
Butterfly Wendel US, Inc.
|
||||||||||
280 | Term Loan, 4.00%, Maturing June 22, 2013 | 255,598 | ||||||||
280 | Term Loan, 3.75%, Maturing June 22, 2014 | 255,681 | ||||||||
Carmike Cinemas, Inc.
|
||||||||||
2,540 | Term Loan, 5.50%, Maturing January 27, 2016 | 2,543,359 | ||||||||
Cedar Fair, L.P.
|
||||||||||
254 | Term Loan, 2.27%, Maturing August 30, 2012 | 252,255 | ||||||||
2,099 | Term Loan, 4.27%, Maturing February 17, 2014 | 2,098,542 | ||||||||
CFV I, LLC/Hicks Sports Group
|
||||||||||
86 | Term Loan, 9.33%, Maturing July 1, 2010(2)(3) | 88,647 | ||||||||
Cinemark, Inc.
|
||||||||||
3,487 | Term Loan, 3.54%, Maturing April 29, 2016 | 3,491,585 | ||||||||
Deluxe Entertainment Services
|
||||||||||
59 | Term Loan, 2.54%, Maturing January 28, 2011 | 54,331 | ||||||||
100 | Term Loan, 6.25%, Maturing January 28, 2011 | 91,599 | ||||||||
934 | Term Loan, 6.25%, Maturing January 28, 2011 | 859,188 | ||||||||
Fender Musical Instruments Corp.
|
||||||||||
330 | Term Loan, 2.50%, Maturing June 9, 2014 | 293,425 | ||||||||
649 | Term Loan, 2.55%, Maturing June 9, 2014 | 577,977 | ||||||||
Formula One (Alpha D2, Ltd.)
|
||||||||||
2,000 | Term Loan - Second Lien, 3.82%, Maturing June 30, 2014 | 1,824,090 | ||||||||
Metro-Goldwyn-Mayer Holdings, Inc.
|
||||||||||
2,786 | Term Loan, 0.00%, Maturing April 8, 2012(7) | 1,293,813 | ||||||||
National CineMedia, LLC
|
||||||||||
2,750 | Term Loan, 2.01%, Maturing February 13, 2015 | 2,687,437 | ||||||||
Regal Cinemas Corp.
|
||||||||||
5,136 | Term Loan, 3.79%, Maturing November 10, 2010 | 5,146,715 | ||||||||
Revolution Studios Distribution Co., LLC
|
||||||||||
973 | Term Loan, 4.03%, Maturing December 21, 2014 | 894,961 | ||||||||
800 | Term Loan - Second Lien, 7.28%, Maturing June 21, 2015 | 560,000 | ||||||||
Six Flags Theme Parks, Inc.
|
||||||||||
2,600 | Term Loan, Maturing February 17, 2016(6) | 2,574,000 | ||||||||
Southwest Sports Group, LLC
|
||||||||||
1,875 | Term Loan, 6.75%, Maturing December 22, 2010 | 1,692,188 | ||||||||
SW Acquisition Co., Inc.
|
||||||||||
1,870 | Term Loan, 5.75%, Maturing May 31, 2016 | 1,885,509 | ||||||||
Universal City Development Partners, Ltd.
|
||||||||||
2,618 | Term Loan, 5.50%, Maturing November 6, 2014 | 2,636,418 | ||||||||
Zuffa, LLC
|
||||||||||
2,328 | Term Loan, 2.31%, Maturing June 20, 2016 | 2,257,090 | ||||||||
$ | 41,402,859 | |||||||||
Lodging and Casinos 2.5% | ||||||||||
Ameristar Casinos, Inc.
|
||||||||||
1,053 | Term Loan, 3.56%, Maturing November 10, 2012 | $ | 1,052,807 | |||||||
Harrahs Operating Co.
|
||||||||||
1,223 | Term Loan, 3.32%, Maturing January 28, 2015 | 1,078,436 | ||||||||
2,993 | Term Loan, 9.50%, Maturing October 31, 2016 | 3,112,822 | ||||||||
LodgeNet Entertainment Corp.
|
||||||||||
1,683 | Term Loan, 2.30%, Maturing April 4, 2014 | 1,615,854 | ||||||||
New World Gaming Partners, Ltd.
|
||||||||||
1,003 | Term Loan, 2.80%, Maturing June 30, 2014 | 969,537 | ||||||||
203 | Term Loan, 4.79%, Maturing June 30, 2014 | 196,374 | ||||||||
Penn National Gaming, Inc.
|
||||||||||
354 | Term Loan, 2.02%, Maturing October 3, 2012 | 350,685 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Lodging
and Casinos (continued)
|
||||||||||
Tropicana Entertainment, Inc.
|
||||||||||
184 | Term Loan, 15.00%, Maturing December 29, 2012 | $ | 206,013 | |||||||
Venetian Casino Resort/Las Vegas Sands, Inc.
|
||||||||||
850 | Term Loan, 2.05%, Maturing May 14, 2014 | 804,980 | ||||||||
3,365 | Term Loan, 2.05%, Maturing May 23, 2014 | 3,187,146 | ||||||||
$ | 12,574,654 | |||||||||
Nonferrous Metals / Minerals 1.4% | ||||||||||
Euramax International, Inc.
|
||||||||||
307 | Term Loan, 10.00%, Maturing June 29, 2013 | $ | 270,606 | |||||||
314 | Term Loan, 14.00%, Maturing June 29, 2013(2) | 277,203 | ||||||||
Noranda Aluminum Acquisition
|
||||||||||
1,980 | Term Loan, 2.27%, Maturing May 18, 2014 | 1,950,571 | ||||||||
Novelis, Inc.
|
||||||||||
615 | Term Loan, 2.28%, Maturing June 28, 2014 | 597,141 | ||||||||
1,354 | Term Loan, 2.29%, Maturing June 28, 2014 | 1,313,773 | ||||||||
Oxbow Carbon and Mineral Holdings
|
||||||||||
2,927 | Term Loan, 2.29%, Maturing May 8, 2014 | 2,874,545 | ||||||||
$ | 7,283,839 | |||||||||
Oil and Gas 3.4% | ||||||||||
Atlas Pipeline Partners, L.P.
|
||||||||||
903 | Term Loan, 6.75%, Maturing July 27, 2014 | $ | 902,978 | |||||||
Big West Oil, LLC
|
||||||||||
315 | Term Loan, 4.50%, Maturing May 1, 2014 | 313,208 | ||||||||
396 | Term Loan, 4.50%, Maturing May 1, 2014 | 393,747 | ||||||||
Dresser, Inc.
|
||||||||||
1,432 | Term Loan, 2.50%, Maturing May 4, 2014 | 1,396,478 | ||||||||
1,000 | Term Loan - Second Lien, 6.00%, Maturing May 4, 2015 | 973,000 | ||||||||
Dynegy Holdings, Inc.
|
||||||||||
334 | Term Loan, 4.03%, Maturing April 2, 2013 | 328,878 | ||||||||
5,161 | Term Loan, 4.03%, Maturing April 2, 2013 | 5,080,368 | ||||||||
Enterprise GP Holdings, L.P.
|
||||||||||
1,103 | Term Loan, 2.53%, Maturing October 31, 2014 | 1,096,298 | ||||||||
Hercules Offshore, Inc.
|
||||||||||
1,596 | Term Loan, 6.00%, Maturing July 11, 2013 | 1,553,637 | ||||||||
Precision Drilling Corp.
|
||||||||||
878 | Term Loan, 4.26%, Maturing December 23, 2013 | 864,489 | ||||||||
SemGroup Corp.
|
||||||||||
1,070 | Term Loan, 7.50%, Maturing June 30, 2011 | 1,067,648 | ||||||||
832 | Term Loan, 7.60%, Maturing November 27, 2013 | 831,535 | ||||||||
Sheridan Production Partners I, LLC
|
||||||||||
108 | Term Loan, 7.75%, Maturing April 20, 2017 | 108,371 | ||||||||
177 | Term Loan, 7.75%, Maturing April 20, 2017 | 177,422 | ||||||||
1,339 | Term Loan, 7.75%, Maturing April 20, 2017 | 1,338,954 | ||||||||
Targa Resources, Inc.
|
||||||||||
1,011 | Term Loan, 6.00%, Maturing June 4, 2017 | 1,015,830 | ||||||||
$ | 17,442,841 | |||||||||
Publishing 6.8% | ||||||||||
American Media Operations, Inc.
|
||||||||||
2,182 | Term Loan, 10.00%, Maturing January 31, 2013(2) | $ | 2,118,874 | |||||||
Aster Zweite Beteiligungs GmbH
|
||||||||||
1,775 | Term Loan, 2.59%, Maturing September 27, 2013 | 1,664,063 | ||||||||
GateHouse Media Operating, Inc.
|
||||||||||
870 | Term Loan, 2.26%, Maturing August 28, 2014 | 430,603 | ||||||||
2,074 | Term Loan, 2.28%, Maturing August 28, 2014 | 1,026,576 | ||||||||
674 | Term Loan, 2.51%, Maturing August 28, 2014 | 333,422 | ||||||||
Getty Images, Inc.
|
||||||||||
3,591 | Term Loan, 6.25%, Maturing July 2, 2015 | 3,603,397 | ||||||||
Lamar Media Corp.
|
||||||||||
1,000 | Term Loan, Maturing October 29, 2016(6) | 1,004,167 | ||||||||
Laureate Education, Inc.
|
||||||||||
346 | Term Loan, 3.57%, Maturing August 17, 2014 | 324,370 | ||||||||
2,314 | Term Loan, 3.57%, Maturing August 17, 2014 | 2,167,064 | ||||||||
1,493 | Term Loan, 7.00%, Maturing August 31, 2014 | 1,492,034 | ||||||||
Local Insight Regatta Holdings, Inc.
|
||||||||||
1,578 | Term Loan, 7.75%, Maturing April 23, 2015 | 1,396,210 | ||||||||
MediaNews Group, Inc.
|
||||||||||
181 | Term Loan, 8.50%, Maturing March 19, 2014 | 170,444 | ||||||||
Merrill Communications, LLC
|
||||||||||
1,225 | Term Loan, 8.50%, Maturing December 24, 2012 | 1,144,132 | ||||||||
1,012 | Term Loan - Second Lien, 14.75%, Maturing November 15, 2013(2) | 859,818 | ||||||||
Nelson Education, Ltd.
|
||||||||||
488 | Term Loan, 2.79%, Maturing July 5, 2014 | 453,375 | ||||||||
Nielsen Finance, LLC
|
||||||||||
5,783 | Term Loan, 2.25%, Maturing August 9, 2013 | 5,650,412 | ||||||||
992 | Term Loan, 4.00%, Maturing May 1, 2016 | 982,867 | ||||||||
PagesJaunes Group, SA
|
||||||||||
EUR | 500 | Term Loan, 4.90%, Maturing April 10, 2016 | 480,986 | |||||||
Philadelphia Newspapers, LLC
|
||||||||||
708 | Term Loan, 0.00%, Maturing June 29, 2013(7) | 200,032 | ||||||||
SGS International, Inc.
|
||||||||||
536 | Term Loan, 2.88%, Maturing December 30, 2011 | 518,840 | ||||||||
Source Interlink Companies, Inc.
|
||||||||||
909 | Term Loan, 10.75%, Maturing June 18, 2013 | 913,636 | ||||||||
515 | Term Loan, 15.00%, Maturing June 18, 2013(2) | 257,349 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Publishing (continued)
|
||||||||||
Trader Media Corp.
|
||||||||||
GBP | 1,315 | Term Loan, 2.68%, Maturing March 23, 2015 | $ | 1,876,438 | ||||||
Tribune Co.
|
||||||||||
1,547 | Term Loan, 0.00%, Maturing June 4, 2010(7) | 1,017,989 | ||||||||
935 | Term Loan, 0.00%, Maturing May 17, 2014(7) | 629,383 | ||||||||
990 | Term Loan, 0.00%, Maturing May 17, 2014(7) | 658,317 | ||||||||
Xsys, Inc.
|
||||||||||
1,509 | Term Loan, 2.59%, Maturing September 27, 2013 | 1,415,140 | ||||||||
1,699 | Term Loan, 2.59%, Maturing September 27, 2014 | 1,593,276 | ||||||||
$ | 34,383,214 | |||||||||
Radio and Television 2.8% | ||||||||||
Block Communications, Inc.
|
||||||||||
814 | Term Loan, 2.29%, Maturing December 22, 2011 | $ | 770,129 | |||||||
CMP KC, LLC
|
||||||||||
956 | Term Loan, 6.25%, Maturing May 5, 2013(5) | 274,426 | ||||||||
CMP Susquehanna Corp.
|
||||||||||
1,561 | Term Loan, 2.31%, Maturing May 5, 2013 | 1,334,467 | ||||||||
Discovery Communications, Inc.
|
||||||||||
990 | Term Loan, 5.25%, Maturing May 14, 2014 | 1,000,054 | ||||||||
Emmis Operating Co.
|
||||||||||
756 | Term Loan, 4.29%, Maturing November 2, 2013 | 697,249 | ||||||||
Gray Television, Inc.
|
||||||||||
668 | Term Loan, 3.80%, Maturing January 19, 2015 | 657,622 | ||||||||
HIT Entertainment, Inc.
|
||||||||||
750 | Term Loan, 5.50%, Maturing March 20, 2012 | 717,039 | ||||||||
Mission Broadcasting, Inc.
|
||||||||||
527 | Term Loan, 5.00%, Maturing September 30, 2016 | 529,133 | ||||||||
NEP II, Inc.
|
||||||||||
584 | Term Loan, 2.35%, Maturing February 16, 2014 | 568,361 | ||||||||
Nexstar Broadcasting, Inc.
|
||||||||||
824 | Term Loan, 5.00%, Maturing September 30, 2016 | 827,617 | ||||||||
Raycom TV Broadcasting, LLC
|
||||||||||
871 | Term Loan, 1.81%, Maturing June 25, 2014 | 809,681 | ||||||||
SFX Entertainment
|
||||||||||
866 | Term Loan, 3.53%, Maturing June 21, 2013 | 859,974 | ||||||||
Univision Communications, Inc.
|
||||||||||
4,200 | Term Loan, 2.54%, Maturing September 29, 2014 | 3,836,700 | ||||||||
Weather Channel
|
||||||||||
1,157 | Term Loan, 5.00%, Maturing September 14, 2015 | 1,169,126 | ||||||||
$ | 14,051,578 | |||||||||
Rail
Industries 0.4%
|
||||||||||
Kansas City Southern Railway Co.
|
||||||||||
1,949 | Term Loan, 2.05%, Maturing April 26, 2013 | $ | 1,927,136 | |||||||
$ | 1,927,136 | |||||||||
Retailers (Except Food and Drug) 3.4% | ||||||||||
American Achievement Corp.
|
||||||||||
109 | Term Loan, 6.26%, Maturing March 25, 2011 | $ | 103,347 | |||||||
Amscan Holdings, Inc.
|
||||||||||
455 | Term Loan, 2.53%, Maturing May 25, 2013 | 437,997 | ||||||||
Cumberland Farms, Inc.
|
||||||||||
1,515 | Term Loan, 2.78%, Maturing September 29, 2013 | 1,401,158 | ||||||||
Educate, Inc.
|
||||||||||
500 | Term Loan - Second Lien, 5.55%, Maturing June 14, 2014 | 441,875 | ||||||||
FTD, Inc.
|
||||||||||
1,108 | Term Loan, 6.75%, Maturing July 31, 2014 | 1,110,905 | ||||||||
Harbor Freight Tools USA, Inc.
|
||||||||||
873 | Term Loan, 5.00%, Maturing February 24, 2016 | 875,581 | ||||||||
Jostens Corp.
|
||||||||||
1,510 | Term Loan, 2.25%, Maturing October 4, 2011 | 1,501,249 | ||||||||
Neiman Marcus Group, Inc.
|
||||||||||
2,967 | Term Loan, 2.25%, Maturing April 5, 2013 | 2,849,563 | ||||||||
Orbitz Worldwide, Inc.
|
||||||||||
1,108 | Term Loan, 3.28%, Maturing July 25, 2014 | 1,074,830 | ||||||||
Oriental Trading Co., Inc.
|
||||||||||
1,125 | Term Loan - Second Lien, 6.26%, Maturing January 31, 2013 | 298,125 | ||||||||
Pilot Travel Centers, LLC
|
||||||||||
1,225 | Term Loan, Maturing November 24, 2015(6) | 1,235,938 | ||||||||
Rover Acquisition Corp.
|
||||||||||
2,177 | Term Loan, 2.53%, Maturing October 26, 2013 | 2,146,603 | ||||||||
Savers, Inc.
|
||||||||||
1,200 | Term Loan, 5.75%, Maturing March 11, 2016 | 1,207,500 | ||||||||
Yankee Candle Company, Inc. (The)
|
||||||||||
2,421 | Term Loan, 2.28%, Maturing February 6, 2014 | 2,380,709 | ||||||||
$ | 17,065,380 | |||||||||
Steel 0.3% | ||||||||||
Niagara Corp.
|
||||||||||
1,382 | Term Loan, 10.50%, Maturing June 27, 2014(5) | $ | 1,381,854 | |||||||
$ | 1,381,854 | |||||||||
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Borrower/Tranche Description | Value | ||||||||
Surface Transport 0.3% | ||||||||||
Oshkosh Truck Corp.
|
||||||||||
907 | Term Loan, 6.26%, Maturing December 6, 2013 | $ | 912,916 | |||||||
Swift Transportation Co., Inc.
|
||||||||||
789 | Term Loan, 6.31%, Maturing May 10, 2014 | 769,905 | ||||||||
$ | 1,682,821 | |||||||||
Telecommunications 5.1% | ||||||||||
Alaska Communications Systems Holdings, Inc.
|
||||||||||
985 | Term Loan, 2.04%, Maturing February 1, 2012 | $ | 967,400 | |||||||
Asurion Corp.
|
||||||||||
3,880 | Term Loan, 3.25%, Maturing July 13, 2012 | 3,841,963 | ||||||||
1,000 | Term Loan - Second Lien, 6.75%, Maturing January 13, 2013 | 992,000 | ||||||||
CommScope, Inc.
|
||||||||||
1,191 | Term Loan, 2.79%, Maturing November 19, 2014 | 1,188,099 | ||||||||
Intelsat Corp.
|
||||||||||
2,428 | Term Loan, 2.79%, Maturing January 3, 2014 | 2,384,824 | ||||||||
2,428 | Term Loan, 2.79%, Maturing January 3, 2014 | 2,384,824 | ||||||||
2,429 | Term Loan, 2.79%, Maturing January 3, 2014 | 2,385,556 | ||||||||
Intelsat Subsidiary Holding Co.
|
||||||||||
941 | Term Loan, 2.79%, Maturing July 3, 2013 | 924,214 | ||||||||
Iowa Telecommunications Services
|
||||||||||
1,615 | Term Loan, 2.04%, Maturing November 23, 2011 | 1,611,023 | ||||||||
Macquarie UK Broadcast Ventures, Ltd.
|
||||||||||
GBP | 755 | Term Loan, 2.56%, Maturing December 26, 2014 | 985,743 | |||||||
NTelos, Inc.
|
||||||||||
1,493 | Term Loan, 5.75%, Maturing August 13, 2015 | 1,502,761 | ||||||||
Palm, Inc.
|
||||||||||
1,748 | Term Loan, 3.80%, Maturing April 24, 2014 | 1,730,511 | ||||||||
Stratos Global Corp.
|
||||||||||
966 | Term Loan, 5.00%, Maturing February 13, 2012 | 960,566 | ||||||||
TowerCo Finance, LLC
|
||||||||||
424 | Term Loan, 6.00%, Maturing November 24, 2014 | 428,530 | ||||||||
Trilogy International Partners
|
||||||||||
850 | Term Loan, 3.79%, Maturing June 29, 2012 | 760,750 | ||||||||
Windstream Corp.
|
||||||||||
3,005 | Term Loan, 3.06%, Maturing December 17, 2015 | 3,009,038 | ||||||||
$ | 26,057,802 | |||||||||
Utilities 4.3% | ||||||||||
AEI Finance Holding, LLC
|
||||||||||
270 | Revolving Loan, 3.27%, Maturing March 30, 2012 | $ | 256,376 | |||||||
1,813 | Term Loan, 3.29%, Maturing March 30, 2014 | 1,723,435 | ||||||||
Astoria Generating Co.
|
||||||||||
1,000 | Term Loan - Second Lien, 4.03%, Maturing August 23, 2013 | 977,917 | ||||||||
BRSP, LLC
|
||||||||||
977 | Term Loan, 7.50%, Maturing June 24, 2014 | 979,201 | ||||||||
Calpine Corp.
|
||||||||||
6,936 | DIP Loan, 3.17%, Maturing March 29, 2014 | 6,699,836 | ||||||||
Electricinvest Holding Co.
|
||||||||||
GBP | 480 | Term Loan, 5.05%, Maturing October 24, 2012 | 620,589 | |||||||
EUR | 477 | Term Loan - Second Lien, 4.90%, Maturing October 24, 2012 | 544,690 | |||||||
NRG Energy, Inc.
|
||||||||||
1,586 | Term Loan, 2.00%, Maturing June 1, 2014 | 1,558,004 | ||||||||
2,046 | Term Loan, 2.04%, Maturing June 1, 2014 | 2,009,646 | ||||||||
Pike Electric, Inc.
|
||||||||||
146 | Term Loan, 1.81%, Maturing July 1, 2012 | 139,659 | ||||||||
340 | Term Loan, 1.81%, Maturing December 10, 2012 | 324,482 | ||||||||
TXU Texas Competitive Electric Holdings Co., LLC
|
||||||||||
995 | Term Loan, 3.75%, Maturing October 10, 2014 | 818,677 | ||||||||
1,325 | Term Loan, 3.75%, Maturing October 10, 2014 | 1,082,949 | ||||||||
3,793 | Term Loan, 3.75%, Maturing October 10, 2014 | 3,120,046 | ||||||||
Vulcan Energy Corp.
|
||||||||||
1,090 | Term Loan, 5.50%, Maturing December 31, 2015 | 1,103,480 | ||||||||
$ | 21,958,987 | |||||||||
Total
Senior Floating-Rate Interests
|
||||||||||
(identified
cost $712,596,831)
|
$ | 701,272,656 | ||||||||
Corporate Bonds & Notes 10.6% | ||||||||||
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Security | Value | ||||||||
Air Transport 0.0% | ||||||||||
Continental Airlines
|
||||||||||
186 | 7.033%, 6/15/11 | $ | 187,727 | |||||||
$ | 187,727 | |||||||||
Automotive 0.2% | ||||||||||
Allison Transmission, Inc.
|
||||||||||
665 | 11.25%, 11/1/15(2)(8) | $ | 721,525 | |||||||
American Axle & Manufacturing Holdings, Inc., Sr.
Notes
|
||||||||||
115 | 9.25%, 1/15/17(8) | 122,762 | ||||||||
25 | 7.875%, 3/1/17 | 23,937 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Security | Value | ||||||||
Automotive (continued)
|
||||||||||
Commercial Vehicle Group, Inc., Sr. Notes
|
||||||||||
100 | 8.00%, 7/1/13 | $ | 83,250 | |||||||
$ | 951,474 | |||||||||
Broadcast Radio and Television 0.3% | ||||||||||
Clear Channel Communications, Inc., Sr. Notes
|
||||||||||
1,000 | 6.25%, 3/15/11 | $ | 982,500 | |||||||
XM Satellite Radio Holdings, Inc.
|
||||||||||
485 | 13.00%, 8/1/13(8) | 552,900 | ||||||||
$ | 1,535,400 | |||||||||
Building and Development 0.5% | ||||||||||
Grohe Holding GmbH, Variable Rate
|
||||||||||
EUR | 2,000 | 3.519%, 1/15/14(9) | $ | 2,516,440 | ||||||
Texas Industries, Inc., Sr. Notes
|
||||||||||
115 | 7.25%, 7/15/13 | 115,144 | ||||||||
$ | 2,631,584 | |||||||||
Business Equipment and Services 0.5% | ||||||||||
Brocade Communications Systems, Inc., Sr. Notes
|
||||||||||
30 | 6.625%, 1/15/18(8) | $ | 31,050 | |||||||
30 | 6.875%, 1/15/20(8) | 31,125 | ||||||||
Education Management, LLC, Sr. Notes
|
||||||||||
390 | 8.75%, 6/1/14 | 403,162 | ||||||||
MediMedia USA, Inc., Sr. Sub. Notes
|
||||||||||
170 | 11.375%, 11/15/14(8) | 161,075 | ||||||||
RSC Equipment Rental, Inc., Sr. Notes
|
||||||||||
750 | 10.00%, 7/15/17(8) | 823,125 | ||||||||
SunGard Data Systems, Inc., Sr. Notes
|
||||||||||
500 | 10.625%, 5/15/15 | 553,750 | ||||||||
Ticketmaster Entertainment, Inc.
|
||||||||||
185 | 10.75%, 8/1/16 | 209,050 | ||||||||
West Corp.
|
||||||||||
275 | 9.50%, 10/15/14 | 286,000 | ||||||||
$ | 2,498,337 | |||||||||
Cable and Satellite Television 0.5% | ||||||||||
Virgin Media Finance PLC, Sr. Notes
|
||||||||||
2,500 | 6.50%, 1/15/18(8) | $ | 2,525,000 | |||||||
$ | 2,525,000 | |||||||||
Chemicals
and Plastics 0.2%
|
||||||||||
CII Carbon, LLC
|
||||||||||
185 | 11.125%, 11/15/15(8) | $ | 190,087 | |||||||
Reichhold Industries, Inc., Sr. Notes
|
||||||||||
350 | 9.00%, 8/15/14(8) | 339,500 | ||||||||
Wellman Holdings, Inc., Sr. Sub. Notes
|
||||||||||
461 | 5.00%, 1/29/19(2)(5) | 215,966 | ||||||||
$ | 745,553 | |||||||||
Clothing / Textiles 0.1% | ||||||||||
Levi Strauss & Co., Sr. Notes
|
||||||||||
270 | 9.75%, 1/15/15 | $ | 285,188 | |||||||
Perry Ellis International, Inc., Sr. Sub. Notes
|
||||||||||
360 | 8.875%, 9/15/13 | 369,000 | ||||||||
$ | 654,188 | |||||||||
Conglomerates 0.0% | ||||||||||
RBS Global & Rexnord Corp.
|
||||||||||
155 | 11.75%, 8/1/16 | $ | 169,144 | |||||||
$ | 169,144 | |||||||||
Containers and Glass Products 0.5% | ||||||||||
Berry Plastics Corp., Sr. Notes, Variable Rate
|
||||||||||
2,000 | 5.053%, 2/15/15 | $ | 1,965,000 | |||||||
Intertape Polymer US, Inc., Sr. Sub. Notes
|
||||||||||
310 | 8.50%, 8/1/14 | 266,600 | ||||||||
$ | 2,231,600 | |||||||||
Cosmetics / Toiletries 0.3% | ||||||||||
Revlon Consumer Products Corp.
|
||||||||||
1,415 | 9.75%, 11/15/15(8) | $ | 1,460,987 | |||||||
$ | 1,460,987 | |||||||||
Ecological Services and Equipment 0.2% | ||||||||||
Environmental Systems Product Holdings, Inc., Jr. Notes
|
||||||||||
437 | 18.00%, 3/31/15(2)(5) | $ | 349,262 | |||||||
Waste Services, Inc., Sr. Sub. Notes
|
||||||||||
440 | 9.50%, 4/15/14 | 454,300 | ||||||||
$ | 803,562 | |||||||||
Electronics / Electrical 0.2% | ||||||||||
Amkor Technologies, Inc., Sr. Notes
|
||||||||||
115 | 9.25%, 6/1/16 | 123,050 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Security | Value | ||||||||
Electronics / Electrical (continued)
|
||||||||||
NXP BV/NXP Funding, LLC, Variable Rate
|
||||||||||
775 | 3.053%, 10/15/13 | $ | 743,031 | |||||||
$ | 866,081 | |||||||||
Equipment Leasing 0.0% | ||||||||||
Hertz Corp.
|
||||||||||
10 | 8.875%, 1/1/14 | $ | 10,375 | |||||||
$ | 10,375 | |||||||||
Financial Intermediaries 0.6% | ||||||||||
Ford Motor Credit Co., Sr. Notes
|
||||||||||
2,250 | 12.00%, 5/15/15 | $ | 2,725,051 | |||||||
230 | 8.00%, 12/15/16 | 245,471 | ||||||||
$ | 2,970,522 | |||||||||
Food Products 0.3% | ||||||||||
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
|
||||||||||
520 | 11.50%, 11/1/11 | $ | 540,150 | |||||||
Smithfield Foods, Inc., Sr. Notes
|
||||||||||
1,000 | 10.00%, 7/15/14(8) | 1,127,500 | ||||||||
$ | 1,667,650 | |||||||||
Food Service 0.3% | ||||||||||
El Pollo Loco, Inc.
|
||||||||||
100 | 11.75%, 11/15/13 | $ | 89,500 | |||||||
NPC International, Inc., Sr. Sub. Notes
|
||||||||||
245 | 9.50%, 5/1/14 | 249,288 | ||||||||
U.S. Foodservice, Inc., Sr. Notes
|
||||||||||
1,000 | 10.25%, 6/30/15(8) | 1,040,000 | ||||||||
$ | 1,378,788 | |||||||||
Food / Drug Retailers 0.2% | ||||||||||
General Nutrition Center, Sr. Notes, Variable Rate
|
||||||||||
665 | 5.75%, 3/15/14(2) | $ | 636,737 | |||||||
General Nutrition Center, Sr. Sub. Notes
|
||||||||||
385 | 10.75%, 3/15/15 | 394,144 | ||||||||
$ | 1,030,881 | |||||||||
Forest Products 0.2% | ||||||||||
NewPage Corp., Sr. Notes
|
||||||||||
955 | 11.375%, 12/31/14 | $ | 986,037 | |||||||
Verso Paper Holdings, LLC/Verso Paper, Inc.
|
||||||||||
225 | 11.375%, 8/1/16 | 216,563 | ||||||||
$ | 1,202,600 | |||||||||
Health Care 0.5% | ||||||||||
Accellent, Inc.
|
||||||||||
285 | 10.50%, 12/1/13 | $ | 288,563 | |||||||
Accellent, Inc., Sr. Notes
|
||||||||||
135 | 8.375%, 2/1/17(8) | 137,194 | ||||||||
AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
|
||||||||||
240 | 10.00%, 2/15/15 | 253,500 | ||||||||
DJO Finance, LLC/DJO Finance Corp.
|
||||||||||
190 | 10.875%, 11/15/14 | 209,000 | ||||||||
DJO Finance, LLC/DJO Finance Corp., Sr. Notes
|
||||||||||
15 | 10.875%, 11/15/14(8) | 16,500 | ||||||||
HCA, Inc.
|
||||||||||
115 | 9.25%, 11/15/16 | 124,631 | ||||||||
MultiPlan, Inc., Sr. Sub. Notes
|
||||||||||
485 | 10.375%, 4/15/16(8) | 504,400 | ||||||||
National Mentor Holdings, Inc.
|
||||||||||
290 | 11.25%, 7/1/14 | 291,450 | ||||||||
Res-Care, Inc., Sr. Notes
|
||||||||||
195 | 7.75%, 10/15/13 | 195,975 | ||||||||
US Oncology, Inc.
|
||||||||||
515 | 10.75%, 8/15/14 | 539,462 | ||||||||
$ | 2,560,675 | |||||||||
Industrial Equipment 0.4% | ||||||||||
CEVA Group PLC, Sr. Notes
|
||||||||||
165 | 11.50%, 4/1/18(8) | $ | 178,406 | |||||||
Chart Industries, Inc., Sr. Sub. Notes
|
||||||||||
195 | 9.125%, 10/15/15 | 197,438 | ||||||||
ESCO Corp., Sr. Notes
|
||||||||||
645 | 8.625%, 12/15/13(8) | 670,800 | ||||||||
Terex Corp., Sr. Notes
|
||||||||||
1,000 | 10.875%, 6/1/16 | 1,127,500 | ||||||||
$ | 2,174,144 | |||||||||
Insurance 0.0% | ||||||||||
Alliant Holdings I, Inc.
|
||||||||||
100 | 11.00%, 5/1/15(8) | $ | 103,750 | |||||||
$ | 103,750 | |||||||||
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Security | Value | ||||||||
Leisure Goods / Activities / Movies 0.2% | ||||||||||
AMC Entertainment, Inc., Sr. Notes
|
||||||||||
110 | 8.75%, 6/1/19 | $ | 117,150 | |||||||
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital
Corp.
|
||||||||||
195 | 12.50%, 4/1/13(5)(7)(8) | 0 | ||||||||
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital
Corp.,
Variable Rate |
||||||||||
360 | 0.00%, 4/1/12(5)(7)(8) | 0 | ||||||||
Marquee Holdings, Inc., Sr. Disc. Notes
|
||||||||||
500 | 12.00%, 8/15/14 | 418,750 | ||||||||
MU Finance PLC, Sr. Notes
|
||||||||||
135 | 8.375%, 2/1/17(8) | 132,975 | ||||||||
Royal Caribbean Cruises, Sr. Notes
|
||||||||||
95 | 7.00%, 6/15/13 | 99,037 | ||||||||
35 | 6.875%, 12/1/13 | 36,400 | ||||||||
25 | 7.25%, 6/15/16 | 25,438 | ||||||||
50 | 7.25%, 3/15/18 | 50,375 | ||||||||
$ | 880,125 | |||||||||
Lodging and Casinos 1.0% | ||||||||||
Buffalo Thunder Development Authority
|
||||||||||
480 | 9.375%, 12/15/49(7)(8) | $ | 82,800 | |||||||
CCM Merger, Inc.
|
||||||||||
140 | 8.00%, 8/1/13(8) | 129,675 | ||||||||
Chukchansi EDA, Sr. Notes, Variable Rate
|
||||||||||
280 | 4.024%, 11/15/12(8) | 221,200 | ||||||||
Fontainebleau Las Vegas Casino, LLC
|
||||||||||
485 | 10.25%, 6/15/49(7)(8) | 9,094 | ||||||||
Galaxy Entertainment Finance
|
||||||||||
300 | 9.875%, 12/15/12(8) | 314,814 | ||||||||
Greektown Holdings, LLC, Sr. Notes
|
||||||||||
95 | 10.75%, 12/1/13(7)(8) | 6,769 | ||||||||
Harrahs Operating Co., Inc., Sr. Notes
|
||||||||||
1,500 | 11.25%, 6/1/17 | 1,642,500 | ||||||||
Inn of the Mountain Gods, Sr. Notes
|
||||||||||
500 | 12.00%, 11/15/49(7) | 248,125 | ||||||||
Majestic HoldCo, LLC
|
||||||||||
140 | 0.00%, 12/31/49(7)(8) | 742 | ||||||||
MGM Mirage, Inc.
|
||||||||||
65 | 8.375%, 2/1/11 | 66,138 | ||||||||
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
|
||||||||||
140 | 8.00%, 4/1/12 | 133,700 | ||||||||
215 | 7.125%, 8/15/14 | 175,762 | ||||||||
230 | 6.875%, 2/15/15 | 182,850 | ||||||||
Peninsula Gaming, LLC
|
||||||||||
1,000 | 10.75%, 8/15/17(8) | 1,027,500 | ||||||||
Pinnacle Entertainment, Inc., Sr. Sub. Notes
|
||||||||||
60 | 7.50%, 6/15/15 | 58,050 | ||||||||
Pokagon Gaming Authority, Sr. Notes
|
||||||||||
102 | 10.375%, 6/15/14(8) | 107,610 | ||||||||
San Pasqual Casino
|
||||||||||
110 | 8.00%, 9/15/13(8) | 107,388 | ||||||||
Seminole Hard Rock Entertainment, Variable Rate
|
||||||||||
175 | 2.757%, 3/15/14(8) | 157,281 | ||||||||
Tunica-Biloxi Gaming Authority, Sr. Notes
|
||||||||||
310 | 9.00%, 11/15/15(8) | 296,437 | ||||||||
Waterford Gaming, LLC, Sr. Notes
|
||||||||||
259 | 8.625%, 9/15/14(5)(8) | 206,734 | ||||||||
$ | 5,175,169 | |||||||||
Nonferrous Metals / Minerals 0.5% | ||||||||||
Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance
Corp.
|
||||||||||
1,000 | 8.25%, 12/15/17(8) | $ | 1,030,000 | |||||||
335 | 8.50%, 12/15/19(8) | 346,725 | ||||||||
FMG Finance PTY, Ltd.
|
||||||||||
675 | 10.625%, 9/1/16(8) | 796,500 | ||||||||
Teck Resources, Ltd., Sr. Notes
|
||||||||||
335 | 10.75%, 5/15/19 | 418,750 | ||||||||
$ | 2,591,975 | |||||||||
Oil and Gas 0.5% | ||||||||||
Antero Resources Finance Corp., Sr. Notes
|
||||||||||
30 | 9.375%, 12/1/17(8) | $ | 31,200 | |||||||
Compton Pet Finance Corp.
|
||||||||||
360 | 7.625%, 12/1/13 | 307,800 | ||||||||
Denbury Resources, Inc., Sr. Sub. Notes
|
||||||||||
50 | 7.50%, 12/15/15 | 51,625 | ||||||||
El Paso Corp., Sr. Notes
|
||||||||||
225 | 9.625%, 5/15/12 | 244,071 | ||||||||
Forbes Energy Services, Sr. Notes
|
||||||||||
310 | 11.00%, 2/15/15 | 290,625 | ||||||||
McJunkin Red Man Corp., Sr. Notes
|
||||||||||
1,000 | 9.50%, 12/15/16(8) | 1,046,250 | ||||||||
OPTI Canada, Inc., Sr. Notes
|
||||||||||
95 | 7.875%, 12/15/14 | 90,962 | ||||||||
175 | 8.25%, 12/15/14 | 168,875 | ||||||||
Petroleum Development Corp., Sr. Notes
|
||||||||||
115 | 12.00%, 2/15/18 | 124,200 | ||||||||
Petroplus Finance, Ltd.
|
||||||||||
145 | 7.00%, 5/1/17(8) | 132,675 |
Principal |
||||||||||
Amount* |
||||||||||
(000s omitted) | Security | Value | ||||||||
Oil
and Gas (continued)
|
||||||||||
Quicksilver Resources, Inc.
|
||||||||||
110 | 7.125%, 4/1/16 | $ | 106,975 | |||||||
SemGroup Corp.
|
||||||||||
540 | 8.75%, 11/15/15(5)(8) | 0 | ||||||||
SESI, LLC, Sr. Notes
|
||||||||||
60 | 6.875%, 6/1/14 | 60,000 | ||||||||
$ | 2,655,258 | |||||||||
Publishing 0.3% | ||||||||||
Laureate Education, Inc.
|
||||||||||
1,000 | 10.00%, 8/15/15(8) | $ | 1,037,500 | |||||||
Local Insight Regatta Holdings, Inc.
|
||||||||||
55 | 11.00%, 12/1/17 | 39,875 | ||||||||
Nielsen Finance, LLC
|
||||||||||
395 | 10.00%, 8/1/14 | 416,725 | ||||||||
70 | 12.50%, (0.00% until 8/1/11), 8/1/16 | 68,250 | ||||||||
Readers Digest Association, Inc. (The), Sr. Sub.
Notes
|
||||||||||
455 | 9.00%, 2/15/17(5)(7) | 45 | ||||||||
$ | 1,562,395 | |||||||||
Rail Industries 0.3% | ||||||||||
American Railcar Industry, Sr. Notes
|
||||||||||
175 | 7.50%, 3/1/14 | $ | 171,500 | |||||||
Kansas City Southern Mexico, Sr. Notes
|
||||||||||
280 | 7.625%, 12/1/13 | 289,100 | ||||||||
100 | 7.375%, 6/1/14 | 102,500 | ||||||||
190 | 8.00%, 6/1/15 | 201,875 | ||||||||
500 | 8.00%, 2/1/18(8) | 523,750 | ||||||||
$ | 1,288,725 | |||||||||
Retailers (Except Food and Drug) 0.6% | ||||||||||
Amscan Holdings, Inc., Sr. Sub. Notes
|
||||||||||
400 | 8.75%, 5/1/14 | $ | 407,000 | |||||||
Neiman Marcus Group, Inc.
|
||||||||||
739 | 9.00%, 10/15/15 | 761,582 | ||||||||
Sally Holdings, LLC, Sr. Notes
|
||||||||||
665 | 9.25%, 11/15/14 | 707,394 | ||||||||
20 | 10.50%, 11/15/16 | 22,050 | ||||||||
Toys R Us
|
||||||||||
1,000 | 10.75%, 7/15/17(8) | 1,140,000 | ||||||||
$ | 3,038,026 | |||||||||
Steel 0.0%
|
||||||||||
RathGibson, Inc., Sr. Notes
|
||||||||||
445 | 11.25%, 2/15/14(7) | $ | 111,806 | |||||||
$ | 111,806 | |||||||||
Surface Transport 0.0% | ||||||||||
Teekay Corp., Sr. Notes
|
||||||||||
50 | 8.50%, 1/15/20 | $ | 53,000 | |||||||
$ | 53,000 | |||||||||
Telecommunications 1.1% | ||||||||||
Avaya, Inc.
|
||||||||||
1,000 | 9.75%, 11/1/15 | $ | 1,012,500 | |||||||
Clearwire Communications LLC/Clearwire Finance, Inc., Sr.
Notes
|
||||||||||
500 | 12.00%, 12/1/15(8) | 523,750 | ||||||||
Digicel Group, Ltd., Sr. Notes
|
||||||||||
757 | 9.125%, 1/15/15(2)(8) | 768,355 | ||||||||
Intelsat Bermuda, Ltd.
|
||||||||||
900 | 11.25%, 6/15/16 | 978,750 | ||||||||
NII Capital Corp.
|
||||||||||
335 | 10.00%, 8/15/16(8) | 373,525 | ||||||||
Qwest Corp., Sr. Notes, Variable Rate
|
||||||||||
925 | 3.507%, 6/15/13 | 943,500 | ||||||||
Telesat Canada/Telesat, LLC, Sr. Notes
|
||||||||||
590 | 11.00%, 11/1/15 | 663,750 | ||||||||
$ | 5,264,130 | |||||||||
Utilities 0.1% | ||||||||||
AES Corp., Sr. Notes
|
||||||||||
55 | 8.00%, 10/15/17 | $ | 56,925 | |||||||
NGC Corp.
|
||||||||||
390 | 7.625%, 10/15/26 | 271,050 | ||||||||
Reliant Energy, Inc., Sr. Notes
|
||||||||||
20 | 7.625%, 6/15/14 | 19,975 | ||||||||
$ | 347,950 | |||||||||
Total
Corporate Bonds & Notes
|
||||||||||
(identified
cost $54,778,844)
|
$ | 53,328,581 | ||||||||
Asset-Backed Securities 1.0% | ||||||||||
Principal |
||||||||||
Amount |
||||||||||
(000s omitted) | Security | Value | ||||||||
$ | 578 | Alzette European CLO SA, Series 2004-1A, Class E2, 7.273%, 12/15/20(2)(10) | $ | 69,347 | ||||||
589 | Avalon Capital Ltd. 3, Series 1A, Class D, 2.202%, 2/24/19(8)(10) | 390,356 | ||||||||
753 | Babson Ltd., Series 2005-1A, Class C1, 2.253%, 4/15/19(8)(10) | 487,582 | ||||||||
1,007 | Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.353%, 1/15/19(2)(8)(10) | 393,256 | ||||||||
1,000 | Carlyle High Yield Partners, Series 2004-6A, Class C, 2.70%, 8/11/16(8)(10) | 510,000 | ||||||||
985 | Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.752%, 3/8/17(10) | 658,036 | ||||||||
750 | Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.054%, 7/17/19(10) | 345,975 | ||||||||
789 | Comstock Funding Ltd., Series 2006-1A, Class D, 4.502%, 5/30/20(2)(8)(10) | 463,993 | ||||||||
1,539 | Dryden Leveraged Loan, Series 2004-6A, Class C1, 2.799%, 7/30/16(8)(10) | 630,316 | ||||||||
1,000 | First CLO Ltd., Series 2004-1A1, Class C, 2.621%, 7/27/16(8)(10) | 626,800 | ||||||||
1,000 | Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.066%, 4/25/21(8)(10) | 556,700 | ||||||||
Total
Asset-Backed Securities
|
||||||||||
(identified
cost $9,762,924)
|
$ | 5,132,361 | ||||||||
Common Stocks 1.5% | ||||||||||
Shares | Security | Value | ||||||||
Aerospace and Defense 0.1% | ||||||||||
12,734 | ACTS Aero Technical Support & Service, Inc.(11) | $ | 226,026 | |||||||
$ | 226,026 | |||||||||
Air Transport 0.0% | ||||||||||
1,535 | Delta Air Lines, Inc.(11) | $ | 18,543 | |||||||
$ | 18,543 | |||||||||
Automotive 0.2% | ||||||||||
18,702 | Dayco Products, LLC(11) | $ | 801,848 | |||||||
44,747 | Hayes Lemmerz International, Inc.(5)(11) | 214,338 | ||||||||
$ | 1,016,186 | |||||||||
Building
and Development 0.1%
|
||||||||||
253 | Panolam Holdings Co.(5)(11)(12) | $ | 139,024 | |||||||
508 | United Subcontractors, Inc.(5)(11) | 32,954 | ||||||||
$ | 171,978 | |||||||||
Chemicals and Plastics 0.0% | ||||||||||
438 | Wellman Holdings, Inc.(5)(11) | $ | 130,345 | |||||||
$ | 130,345 | |||||||||
Diversified Manufacturing 0.0% | ||||||||||
323,008 | MEGA Brands, Inc.(11) | $ | 167,641 | |||||||
$ | 167,641 | |||||||||
Ecological Services and Equipment 0.0% | ||||||||||
6,211 | Environmental Systems Products Holdings, Inc.(5)(11)(12) | $ | 108,817 | |||||||
$ | 108,817 | |||||||||
Food Service 0.0% | ||||||||||
23,029 | Buffets, Inc.(11) | $ | 115,145 | |||||||
$ | 115,145 | |||||||||
Lodging and Casinos 0.1% | ||||||||||
35,670 | Tropicana Entertainment, Inc.(11) | $ | 624,225 | |||||||
$ | 624,225 | |||||||||
Nonferrous Metals / Minerals 0.0% | ||||||||||
701 | Euramax International, Inc.(5)(11) | $ | 73,857 | |||||||
$ | 73,857 | |||||||||
Oil and Gas 0.0% | ||||||||||
1,397 | SemGroup Corp.(11) | $ | 40,583 | |||||||
$ | 40,583 | |||||||||
Publishing 1.0% | ||||||||||
619 | Dex One Corp.(11) | $ | 18,762 | |||||||
3,990 | Ion Media Networks, Inc.(5)(11) | 1,140,661 | ||||||||
10,718 | MediaNews Group, Inc.(11) | 171,486 | ||||||||
112,921 | Readers Digest Association, Inc. (The)(11) | 3,218,248 | ||||||||
2,290 | Source Interlink Companies, Inc.(5)(11) | 16,557 | ||||||||
9,554 | SuperMedia, Inc.(11) | 428,975 | ||||||||
$ | 4,994,689 | |||||||||
Shares | Security | Value | ||||||||
Steel 0.0% | ||||||||||
23,138 | Niagara Corp.(5)(11) | $ | 34,707 | |||||||
$ | 34,707 | |||||||||
Total
Common Stocks
|
||||||||||
(identified
cost $5,891,030)
|
$ | 7,722,742 | ||||||||
Preferred Stocks 0.1% | ||||||||||
Shares | Security | Value | ||||||||
Ecological Services and Equipment 0.1% | ||||||||||
2,845 | Environmental Systems Products Holdings, Inc., Series A(5)(11)(12) | $ | 227,600 | |||||||
$ | 227,600 | |||||||||
Telecommunications 0.0% | ||||||||||
484 | Crown Castle International Corp., Convertible, 6.25%(2) | $ | 28,223 | |||||||
$ | 28,223 | |||||||||
Total
Preferred Stocks
|
||||||||||
(identified
cost $72,790)
|
$ | 255,823 | ||||||||
Warrants 0.0% | ||||||||||
Shares | Security | Value | ||||||||
Oil and Gas 0.0% | ||||||||||
1,470 | SemGroup Corp., Expires 11/30/14(5)(11) | $ | 12,128 | |||||||
$ | 12,128 | |||||||||
Publishing 0.0% | ||||||||||
1,450 | Readers Digest Association, Inc. (The), Expires 2/15/17(5)(11) | $ | 0 | |||||||
$ | 0 | |||||||||
Total
Warrants
|
||||||||||
(identified
cost $15)
|
$ | 12,128 | ||||||||
Miscellaneous 0.0% | ||||||||||
Shares | Security | Value | ||||||||
Air Transport 0.0% | ||||||||||
1,000,000 | Delta Air Lines, Inc., Escrow Certificate(11) | $ | 23,700 | |||||||
$ | 23,700 | |||||||||
Oil and Gas 0.0% | ||||||||||
105,000 | VeraSun Energy Corp., Escrow Certificate(5)(11) | $ | 0 | |||||||
$ | 0 | |||||||||
Total
Miscellaneous
|
||||||||||
(identified
cost $0)
|
$ | 23,700 | ||||||||
Short-Term Investments 6.0% | ||||||||||
Interest/ |
||||||||||
Principal |
||||||||||
Amount |
||||||||||
(000s omitted) | Description | Value | ||||||||
$ | 26,929 | Eaton Vance Cash Reserves Fund, LLC, 0.19%(13) | $ | 26,928,676 | ||||||
3,558 | State Street Bank and Trust Euro Time Deposit, 0.01%, 5/1/10 | 3,557,667 | ||||||||
Total
Short-Term Investments
|
||||||||||
(identified
cost $30,486,343)
|
$ | 30,486,343 | ||||||||
Total
Investments 157.9%
|
||||||||||
(identified
cost $813,588,777)
|
$ | 798,234,334 | ||||||||
Less
Unfunded Loan
Commitments (0.1)% |
$ | (244,826 | ) | |||||||
Net
Investments 157.8%
|
||||||||||
(identified
cost $813,343,951)
|
$ | 797,989,508 | ||||||||
Other
Assets, Less Liabilities (31.8)%
|
$ | (161,016,768 | ) | |||||||
Auction
Preferred Shares Plus Cumulative
|
||||||||||
Unpaid
Dividends (26.0)%
|
$ | (131,306,494 | ) | |||||||
Net
Assets Applicable to Common Shares 100.0%
|
$ | 505,666,246 | ||||||||
* | In U.S. dollars unless otherwise indicated. | |
(1) | Senior floating-rate interests (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (LIBOR) and secondarily, the prime rate offered by one or more major United States banks (the Prime Rate) and the certificate of deposit (CD) rate or other base lending rates used by commercial lenders. | |
(2) | Represents a payment-in-kind security which may pay all or a portion of interest/dividends in additional par/shares. | |
(3) | Unfunded or partially unfunded loan commitments. See Note 1G for description. | |
(4) | Defaulted matured security. | |
(5) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. | |
(6) | This Senior Loan will settle after April 30, 2010, at which time the interest rate will be determined. | |
(7) | Currently the issuer is in default with respect to interest payments. | |
(8) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions and remain exempt from registration, normally to qualified institutional buyers. At April 30, 2010, the aggregate value of these securities is $25,347,938 or 5.0% of the Trusts net assets applicable to common shares. | |
(9) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
(10) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2010. | |
(11) | Non-income producing security. | |
(12) | Restricted security (See Note 8). | |
(13) | Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of April 30, 2010. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC and Cash Management Portfolio, an affiliated investment company, for the six months ended April 30, 2010 was $7,186 and $0, respectively. |
As of April 30, 2010 | ||||||
Assets | ||||||
Unaffiliated investments, at value
(identified cost, $786,415,275)
|
$ | 771,060,832 | ||||
Affiliated investment, at value
(identified cost, $26,928,676)
|
26,928,676 | |||||
Foreign currency, at value
(identified cost, $1,339,862)
|
1,337,688 | |||||
Interest and dividends receivable
|
4,188,565 | |||||
Receivable for investments sold
|
6,371,473 | |||||
Receivable from the transfer agent
|
94,934 | |||||
Prepaid expenses
|
216,449 | |||||
Other assets
|
24,930 | |||||