GBAB Guggenheim Build America Bonds Managed Duration Trust
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Portfolio of Investments
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August 31, 2012 (unaudited)
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Principal
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Optional Call
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Amount
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Description
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Rating *
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Coupon
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Maturity
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Provisions**
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Value
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Long-Term Investments - 131.9%
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Municipal Bonds - 110.0%
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Alabama - 2.8%
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$3,000,000
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Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (j)
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AA-
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7.10%
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09/01/2035
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09/01/20 @ 100
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$3,478,290
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5,000,000
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Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (j)
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AA-
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7.20%
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09/01/2038
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09/01/20 @ 100
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5,819,300
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2,000,000
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Alabama State University, General Tuition and Fee Revenue Bonds,
Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (j)
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AA-
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7.25%
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09/01/2040
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09/01/20 @ 100
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2,331,420
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11,629,010
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California - 21.9%
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500,000
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Alhambra Unified School District, Elementary Schools Improvement District, Los Angeles County, California, Election of 2008 General Obligation Bonds, Federally Taxable, Series B-1
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A+
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6.70%
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02/01/2026
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N/A
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607,020
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10,000,000
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California, General Obligation Bonds, Various Purpose, Taxable Build America Bonds(a)
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A-
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7.70%
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11/01/2030
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11/01/20 @ 100
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12,183,400
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3,000,000
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Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project, Series 2011B
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A
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8.00%
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11/01/2020
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N/A
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3,346,590
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340,000
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Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(j)
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A+
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6.05%
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08/01/2021
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N/A
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386,791
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660,000
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Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(j)
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A+
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6.65%
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08/01/2025
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N/A
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768,134
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7,500,000
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Long Beach Unified School District, California, Qualified School Construction Bonds, Federally Taxable, Election of 2008, General Obligation Bonds, Series B-1(j)
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AA-
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5.91%
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08/01/2025
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N/A
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9,515,625
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10,000,000
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Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
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AA-
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7.00%
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07/01/2041
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07/01/21 @ 100
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12,109,100
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10,000,000
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Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
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AA
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7.00%
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07/01/2041
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07/01/20 @ 100
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11,863,000
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5,000,000
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Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds, Series A(a)
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AAA
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6.95%
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07/01/2040
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07/01/20 @ 100
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6,168,650
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1,025,000
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Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable, Series C-1(a) (j)
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A+
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7.25%
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08/01/2028
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N/A
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1,216,039
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8,000,000
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Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School Construction Bonds, Series 2012B(j)
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NR
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6.88%
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08/01/2033
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08/01/22 @ 100
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8,528,000
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1,000,000
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Placentia-Yorba Linda Unified School District (Orange County, California), General Obligation Bonds, Federally Taxable Direct-Pay Qualified School Construction Bonds, Election of 2008, Series E(j)
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AA-
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5.40%
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02/01/2026
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N/A
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1,125,370
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5,000,000
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Riverside Community College District, Riverside County, California, Election of 2004 General Obligation Bonds, Taxable Build America Bonds, Series 2010 D-1(a) (j)
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AA
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7.02%
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08/01/2040
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08/01/20 @ 100
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5,789,200
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2,245,000
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Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
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Aa2
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6.80%
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08/01/2030
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N/A
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2,884,556
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7,755,000
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Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
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Aa2
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7.10%
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08/01/2040
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N/A
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10,560,294
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3,330,000
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Sonoma Valley Unified School District, General Obligation, Federally
Taxable Bonds(j)
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AA-
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7.12%
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08/01/2028
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08/01/20 @ 100
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3,709,720
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90,761,489
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Colorado - 3.0%
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7,500,000
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Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds, Series 2010E(a)
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AA-
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7.02%
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03/15/2031
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03/15/21 @ 100
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9,023,100
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2,500,000
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Colorado, Building Excellent Schools Today, Certificates of
Participation, Taxable Qualified School Construction, Series 2010-D(j)
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AA-
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6.82%
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03/15/2028
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N/A
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3,337,275
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12,360,375
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Florida - 4.2%
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10,000,000
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Miami-Dade County, Florida, Transit Sales Surtax Revenue, Taxable Build America Bonds, Series B(a) (j)
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AA
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6.91%
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07/01/2039
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07/01/19 @ 100
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11,454,100
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5,000,000
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Orlando, Florida, Community Redevelopment Agency, Taxable Tax
Increment Revenue Build America Bonds, Series 2010B(a) (j)
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A
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7.78%
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09/01/2040
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09/01/20 @ 100
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5,781,050
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17,235,150
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Georgia - 1.3%
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5,000,000
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Georgia Municipal Association, Inc., Certificates of Participation,
DeKalb County Public Schools Project, (AGM)(j)
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AA-
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5.21%
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12/01/2022
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N/A
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5,489,950
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Illinois - 12.8%
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5,000,000
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Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds, Series 2010D(a)
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A+
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6.52%
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12/01/2040
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N/A
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5,950,450
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5,100,000
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Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds, Series 2010B(a)
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A+
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6.90%
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01/01/2040
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N/A
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6,614,853
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2,990,000
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Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds, Series 2010B(a)
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AA-
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6.74%
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11/01/2040
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N/A
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4,115,197
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5,000,000
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Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-5(a)
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A
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7.35%
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07/01/2035
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N/A
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5,940,400
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7,140,000
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Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (j)
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A2
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7.62%
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01/01/2030
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N/A
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9,212,956
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2,860,000
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Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (j)
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A2
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7.82%
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01/01/2040
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N/A
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4,121,574
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4,500,000
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Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a) (j)
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Aa3
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7.95%
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04/01/2035
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04/01/20 @ 100
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5,410,575
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5,000,000
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Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a)
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Aa3
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8.15%
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04/01/2041
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04/01/20 @ 100
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6,042,900
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3,000,000
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Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Council Project, Recovery Zone Economic Development Bonds, Series 2010C(j)
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AA
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7.23%
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10/15/2035
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04/15/20 @ 100
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3,428,100
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2,000,000
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Southwestern Illinois, Development Authority, Taxable Local
Government, Program Revenue Bonds, Flood Prevention District
Project, Build America Bonds, Series 2010-B(a) (j)
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AA
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7.03%
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04/15/2032
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04/15/20 @ 100
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2,186,000
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53,023,005
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Indiana - 6.2%
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8,690,000
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Evansville-Vanderburgh Independent School Building Corporation, Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds, Series 2010E(a)
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AA+
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6.50%
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01/15/2030
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07/15/20 @ 100
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10,551,659
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3,000,000
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Knox County, Indiana, Good Samaritan Hospital Project, Taxable Economic Development Revenue Bonds, Qualified Energy Conservation Bonds - Direct Payment, Series 2012B(j)
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A3
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5.90%
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04/01/2034
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N/A
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3,302,790
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10,000,000
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Noblesville Multi-School Building Corporation, Hamilton County,
Indiana, Taxable Unlimited Ad Valorem Property Tax First Mortgage
Bonds, Build America Bonds, Series 2010(a)
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AA+
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6.50%
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07/15/2030
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01/15/21 @ 100
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11,805,300
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25,659,749
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Louisiana - 2.4%
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8,000,000
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Orleans Parish. School Board of the Parish of Orleans, Louisiana, (AGM)(j)
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AA-
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4.40%
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02/01/2021
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N/A
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8,918,880
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1,055,000
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Tangipahoa Parish Hospital Service District No. 1, Louisiana,
Taxable Hospital Revenue Bonds, North Oaks Health System
Project, Build America Bonds, Series 2009A, (Assured GTY)(a) (j)
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AA-
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7.20%
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02/01/2042
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02/01/20 @ 100
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1,187,677
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10,106,557
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Michigan - 4.4%
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415,000
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Comstock Park Public Schools, Kent County, Michigan, 2011 School Building and Site Bonds, General Obligation - Unlimited Tax, Federally Taxable - Qualified School Construction Bonds - Direct Payment, Series A(j)
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AA-
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6.30%
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05/01/2026
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05/01/21 @ 100
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466,655
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690,000
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Detroit, Michigan, School District, Build America Bonds(a) (j)
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AA-
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7.75%
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05/01/2039
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N/A
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878,349
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5,000,000
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Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Build America Bonds, Series, Series 2010B(a) (j)
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AA-
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6.85%
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05/01/2040
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05/01/20 @ 100
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5,384,100
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1,640,000
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Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Qualified School Construction Bonds, Series 2010A(j)
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AA-
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6.65%
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05/01/2029
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N/A
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1,906,123
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3,000,000
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Fraser Public School District, Macomb County, Michigan, General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds, Series B(j)
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AA-
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6.05%
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05/01/2026
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|
05/01/21 @ 100
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3,370,500
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1,000,000
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Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds(j)
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AA-
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6.75%
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05/01/2026
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05/01/20 @ 100
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1,116,470
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2,500,000
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Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(j)
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AA-
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6.10%
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05/01/2026
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|
05/01/20 @ 100
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2,764,100
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2,000,000
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Whitehall District Schools, Muskegon County, Michigan, 2010
School Building and Site Bonds, General Obligation, Unlimited Tax
Bonds, Taxable Qualified School Construction Bonds, Series A(j)
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AA-
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6.50%
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05/01/2029
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05/01/20 @ 100
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2,208,060
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18,094,357
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Minnesota - 0.9%
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1,660,000
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St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(j)
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|
AA
|
7.25%
|
02/01/2035
|
|
02/01/21 @ 100
|
1,868,247
|
1,540,000
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St. Paul Housing & Redevelopment Authority, Federally Taxable
Revenue Bonds(j)
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|
AA
|
7.50%
|
02/01/2040
|
|
02/01/21 @ 100
|
1,729,035
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3,597,282
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Mississippi - 1.9%
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5,000,000
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Medical Center Educational Building Corporation, Taxable Build America Bonds, University of Mississippi Medical Center Facilities Expansion and Renovation Project, Series 2010A(j)
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|
AA-
|
6.84%
|
06/01/2035
|
|
06/01/20 @ 100
|
5,606,650
|
1,000,000
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|
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (j)
|
|
A2
|
7.27%
|
01/01/2032
|
|
01/01/20 @ 100
|
1,090,230
|
905,000
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|
Mississippi, Hospital Equipment and Facilities Authority, Taxable
Build America Revenue Bonds, Forrest County General Hospital
Project, Series 2010(a) (j)
|
|
A2
|
7.39%
|
01/01/2040
|
|
01/01/20 @ 100
|
978,739
|
|
|
|
|
|
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7,675,619
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Nevada - 2.6%
|
|
|
|
|
|
|
|
1,425,000
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Clark County, Nevada, Airport Revenue Bonds, Build America Bonds, Series B(a) (j)
|
|
AA-
|
6.88%
|
07/01/2042
|
|
07/01/19 @ 100
|
1,642,498
|
1,200,000
|
|
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water Bonds, Taxable Build America Bonds, Series 2009A(a) (j)
|
|
AA+
|
7.10%
|
06/01/2039
|
|
06/01/19 @ 100
|
1,397,964
|
1,500,000
|
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a) (j)
|
|
AA-
|
7.60%
|
07/01/2030
|
|
07/01/20 @ 100
|
1,802,040
|
5,050,000
|
|
Nevada System of Higher Education University, Revenue Bonds,
Build America Bonds(a)
|
|
AA-
|
7.90%
|
07/01/2040
|
|
07/01/20 @ 100
|
6,106,409
|
|
|
|
|
|
|
|
|
|
10,948,911
|
|
|
|
|
|
|
|
|
|
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New Jersey - 6.4%
|
|
|
|
|
|
|
|
8,000,000
|
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(a) (j)
|
|
A+
|
7.75%
|
07/01/2034
|
|
07/01/20 @ 100
|
9,325,840
|
2,000,000
|
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(a) (j)
|
|
A+
|
7.85%
|
07/01/2035
|
|
07/01/20 @ 100
|
2,331,580
|
10,000,000
|
|
New Jersey Turnpike Authority, Turnpike Revenue Bonds, Federally
Taxable Issuer Subsidy, Build America Bonds, Series 2010A(a)
|
|
A+
|
7.10%
|
01/01/2041
|
|
N/A
|
14,692,300
|
|
|
|
|
|
|
|
|
|
26,349,720
|
|
|
|
|
|
|
|
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|
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|
New York - 5.9%
|
|
|
|
|
|
|
|
5,000,000
|
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010E(a)
|
|
A
|
7.13%
|
11/15/2030
|
|
11/15/20 @ 100
|
5,945,200
|
5,000,000
|
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010B-1(a)
|
|
A
|
6.55%
|
11/15/2031
|
|
N/A
|
6,375,950
|
10,000,000
|
|
Westchester County Health Care Corporation, Revenue Bonds,
Taxable Build America Bonds, Series 2010(a) (j)
|
|
BBB
|
8.57%
|
1
1/01/2040
|
|
N/A
|
12,340,600
|
|
|
|
|
|
|
|
|
|
24,661,750
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio - 5.2%
|
|
|
|
|
|
|
|
5,000,000
|
|
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds, New Clean Renewable Energy Bonds, Series 2010C(j)
|
|
A
|
7.33%
|
02/15/2028
|
|
N/A
|
6,535,200
|
1,950,000
|
|
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System, Build America Bonds, Taxable, Series 2009B(a) (j)
|
|
A-
|
8.22%
|
02/15/2040
|
|
N/A
|
2,454,309
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (j)
|
|
AA
|
6.90%
|
12/01/2034
|
|
12/01/20 @ 100
|
2,764,900
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (j)
|
|
AA
|
7.15%
|
12/01/2039
|
|
12/01/20 @ 100
|
2,757,025
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (j)
|
|
AA
|
7.30%
|
12/01/2043
|
|
12/01/20 @ 100
|
2,755,475
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Qualified School Construction Bonds, Series 2010B(j)
|
|
AA
|
6.65%
|
12/01/2029
|
|
12/01/20 @ 100
|
2,973,275
|
1,230,000
|
|
Toronto City School District, Ohio, Qualified School Construction
Bonds General Obligation Bonds(j)
|
|
AA
|
7.00%
|
12/01/2028
|
|
12/01/20 @ 100
|
1,385,091
|
|
|
|
|
|
|
|
|
|
21,625,275
|
|
|
|
|
|
|
|
|
|
|
|
|
Pennsylvania - 4.3%
|
|
|
|
|
|
|
|
4,865,000
|
|
Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds, Series B of 2010(a) (j)
|
|
A+
|
7.14%
|
12/15/2035
|
|
06/15/20 @ 100
|
5,490,104
|
7,500,000
|
|
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds, Series D
|
|
A
|
6.85%
|
09/01/2029
|
|
N/A
|
9,507,750
|
2,500,000
|
|
School District of Philadelphia, Pennsylvania, General Obligation
Bonds, Series 2011A, Qualified School Construction Bonds -
(Federally Taxable - Direct Subsidy)(j)
|
|
A+
|
6.00%
|
09/01/2030
|
|
N/A
|
2,783,975
|
|
|
|
|
|
|
|
|
|
17,781,829
|
|
|
|
|
|
|
|
|
|
|
|
|
South Carolina - 1.5%
|
|
|
|
|
|
|
|
5,000,000
|
|
Horry County, South Carolina, Taxable Airport Revenue Bonds,
Recovery Zone Economic Development Bonds, Series 2010B(a) (j)
|
|
A-
|
7.33%
|
0
7/01/2040
|
|
N/A
|
6,014,250
|
|
|
|
|
|
|
|
|
|
|
|
|
South Dakota - 0.9%
|
|
|
|
|
|
|
|
3,490,000
|
|
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery
Zone Economic Development Bonds, Series 2010C(a) (j)
|
|
A2
|
7.50%
|
12/15/2040
|
|
12/15/19 @ 100
|
3,931,171
|
|
|
|
|
|
|
|
|
|
|
|
|
Texas - 5.8%
|
|
|
|
|
|
|
|
10,000,000
|
|
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue Bonds, Taxable Build America Bonds, Series 2009B(a) (j)
|
|
A+
|
7.09%
|
01/01/2042
|
|
N/A
|
12,296,500
|
10,000,000
|
|
El Paso, Texas, Combination Tax and Revenue Certification of
Obligation, Taxable Build America Bonds, Series 2010B(a)
|
|
AA
|
6.70%
|
08/15/2036
|
|
08/15/20 @ 100
|
11,893,700
|
|
|
|
|
|
|
|
|
|
24,190,200
|
|
|
|
|
|
|
|
|
|
|
|
|
Vermont - 2.6%
|
|
|
|
|
|
|
|
2,155,000
|
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (j)
|
|
A+
|
6.10%
|
07/01/2025
|
|
07/01/20 @ 100
|
2,379,486
|
7,500,000
|
|
Vermont State Colleges, Revenue Bonds, Taxable Build America
Bonds, Series 2010B(a) (j)
|
|
A+
|
7.21%
|
07/01/2040
|
|
07/01/20 @ 100
|
8,575,050
|
|
|
|
|
|
|
|
|
|
10,954,536
|
|
|
|
|
|
|
|
|
|
|
|
|
Washington - 9.6%
|
|
|
|
|
|
|
|
5,000,000
|
|
Anacortes, Washington, Utility System Improvement Revenue Bonds, Build America Bonds, Series 2010B(a) (j)
|
|
AA-
|
6.48%
|
12/01/2030
|
|
12/01/20 @ 100
|
5,706,250
|
2,000,000
|
|
Auburn, Washington, Utility System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (j)
|
|
AA
|
6.40%
|
12/01/2030
|
|
12/01/20 @ 100
|
2,323,660
|
5,000,000
|
|
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds, Series B(a) (j)
|
|
A1
|
6.50%
|
05/01/2030
|
|
N/A
|
5,822,100
|
5,800,000
|
|
Public Hospital District No. 1, King County, Washington, Valley Medical Center, Hospital Facilities Revenue Bonds, Series 2010B(a) (j)
|
|
BBB+
|
8.00%
|
06/15/2040
|
|
06/15/20 @ 100
|
6,614,088
|
5,000,000
|
|
Washington State Convention Center Public Facilities District, Lodging Tax Bonds, Taxable Build America Bonds, Series 2010B(a)
|
|
A+
|
6.79%
|
07/01/2040
|
|
N/A
|
6,242,150
|
3,325,000
|
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (j)
|
|
A+
|
7.10%
|
04/01/2032
|
|
N/A
|
4,266,208
|
6,675,000
|
|
Washington State University, Housing and Dining System Revenue
Bonds, Taxable Build America Bonds, Series 2010B(a) (j)
|
|
A+
|
7.40%
|
04/01/2041
|
|
N/A
|
8,909,790
|
|
|
|
|
|
|
|
|
|
39,884,246
|
|
|
|
|
|
|
|
|
|
|
|
|
West Virginia - 3.4%
|
|
|
|
|
|
|
|
10,000,000
|
|
State of West Virginia, Higher Education Policy Commission,
Revenue Bonds, Federally Taxable Build America Bonds 2010,
Series B(a)
|
|
A+
|
7.65%
|
04/01/2040
|
|
N/A
|
14,261,100
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds - 110.0%
|
|
|
|
|
|
|
|
|
|
(Cost $378,870,813)
|
|
|
|
|
|
|
456,235,531
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds - 9.4%
|
|
|
|
|
|
|
|
|
|
Advertising - 0.0%***
|
|
|
|
|
|
|
|
$200,000
|
|
Sitel, LLC / Sitel Finance Corp.(b)
|
|
B
|
11.00%
|
08/01/2017
|
|
08/01/14 @ 106
|
197,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 1.1%
|
|
|
|
|
|
|
|
146,486
|
|
Atlas Air 1999-1 Pass-Through Trust, Series 991A, Class A-1(j)
|
|
NR
|
7.20%
|
01/02/2019
|
|
N/A
|
147,951
|
2,238,206
|
|
Atlas Air 2000-1 Class A Pass Through Trust, Series 2000-1, Class A(j)
|
|
NR
|
8.71%
|
01/02/2019
|
|
N/A
|
2,238,206
|
11,282
|
|
Atlas Air 99-1 Class A-2 Pass Through Trust, Series 991A, Class A-2(j)
|
|
NR
|
6.88%
|
04/02/2014
|
|
N/A
|
11,282
|
2,000,000
|
|
Delta Air Lines 2011-1 Class B Pass-Through Trust, Series 2011-1, Class B(j)
|
|
BB
|
7.13%
|
10/15/2014
|
|
N/A
|
2,045,000
|
160,000
|
|
Global Aviation Holdings, Inc.(h)
|
|
NR
|
14.00%
|
08/15/2013
|
|
10/09/12 @ 111
|
45,800
|
|
|
|
|
|
|
|
|
|
4,488,239
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Materials - 0.5%
|
|
|
|
|
|
|
|
2,000,000
|
|
Cemex SAB de CV (Mexico)(b) (j)
|
|
B-
|
9.00%
|
01/11/2018
|
|
01/11/15 @ 105
|
1,985,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Coal - 0.1%
|
|
|
|
|
|
|
|
275,000
|
|
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp.(j)
|
|
B
|
8.25%
|
04/15/2018
|
|
04/15/14 @ 104
|
279,125
|
200,000
|
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource
Finance Corp. II(b) (j)
|
|
B
|
8.38%
|
06/01/2020
|
|
06/01/16 @ 104
|
203,500
|
|
|
|
|
|
|
|
|
|
482,625
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services - 0.5%
|
|
|
|
|
|
|
|
400,000
|
|
Ceridian Corp.(b) (j)
|
|
B-
|
8.88%
|
07/15/2019
|
|
07/15/15 @ 107
|
429,000
|
2,200,000
|
|
DynCorp International, Inc.(j)
|
|
B-
|
10.38%
|
07/01/2017
|
|
07/01/14 @ 105
|
1,859,000
|
|
|
|
|
|
|
|
|
|
2,288,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers - 0.2%
|
|
|
|
|
|
|
|
548,000
|
|
Compucom Systems, Inc.(b) (j)
|
|
B
|
12.50%
|
10/01/2015
|
|
10/01/13 @ 100
|
564,440
|
300,000
|
|
Stream Global Services, Inc.(j)
|
|
B+
|
11.25%
|
10/01/2014
|
|
10/01/13 @ 100
|
307,500
|
|
|
|
|
|
|
|
|
|
871,940
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution & Wholesale - 0.2%
|
|
|
|
|
|
|
|
550,000
|
|
Baker & Taylor, Inc.(b) (j)
|
|
CCC+
|
11.50%
|
07/01/2013
|
|
10/09/12 @ 100
|
330,000
|
330,000
|
|
INTCOMEX, Inc.(j)
|
|
B-
|
13.25%
|
12/15/2014
|
|
12/15/12 @ 107
|
336,600
|
|
|
|
|
|
|
|
|
|
666,600
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.2%
|
|
|
|
|
|
|
|
200,000
|
|
Jefferies Group, Inc.(j)
|
|
BBB
|
6.88%
|
04/15/2021
|
|
N/A
|
212,500
|
100,000
|
|
LCP Dakota Fund, Series AI(j)
|
|
NR
|
10.75%
|
01/16/2014
|
|
N/A
|
98,429
|
500,000
|
|
McGuire Air Force Base/Fort Dix Privatized Military Housing Project(b)
|
|
AA-
|
5.61%
|
09/15/2051
|
|
N/A
|
452,645
|
170,000
|
|
Nationstar Mortgage, LLC/Nationstar Capital Corp.(b) (j)
|
|
B+
|
9.63%
|
05/01/2019
|
|
05/01/15 @ 107
|
186,300
|
|
|
|
|
|
|
|
|
|
949,874
|
|
|
|
|
|
|
|
|
|
|
|
|
Engineering & Construction - 0.7%
|
|
|
|
|
|
|
|
2,244,225
|
|
Alion Science and Technology Corp.(c) (j)
|
|
B-
|
12.00%
|
11/01/2014
|
|
04/01/13 @ 105
|
2,115,182
|
1,000,000
|
|
Alion Science and Technology Corp.
|
|
CCC-
|
10.25%
|
02/01/2015
|
|
02/01/13 @ 100
|
590,000
|
|
|
|
|
|
|
|
|
|
2,705,182
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment - 1.2%
|
|
|
|
|
|
|
|
1,600,000
|
|
Diamond Resorts Corp.
|
|
B-
|
12.00%
|
08/15/2018
|
|
08/15/14 @ 106
|
1,702,000
|
1,810,000
|
|
Lions Gate Entertainment, Inc.(b) (j)
|
|
B
|
10.25%
|
11/01/2016
|
|
11/01/13 @ 105
|
2,018,150
|
1,000,000
|
|
WMG Acquisition Corp.(j)
|
|
B-
|
11.50%
|
10/01/2018
|
|
10/01/14 @ 109
|
1,097,500
|
100,000
|
|
Yonkers Racing Corp.(b)
|
|
B+
|
11.38%
|
07/15/2016
|
|
07/15/13 @ 106
|
106,000
|
|
|
|
|
|
|
|
|
|
4,923,650
|
|
|
|
|
|
|
|
|
|
|
|
|
Food - 0.5%
|
|
|
|
|
|
|
|
2,009,000
|
|
Bumble Bee Acquisition Corp.(b) (j)
|
|
B
|
9.00%
|
12/15/2017
|
|
12/15/14 @ 105
|
2,054,203
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services - 0.4%
|
|
|
|
|
|
|
|
750,000
|
|
Apria Healthcare Group, Inc.(j)
|
|
BB
|
11.25%
|
11/01/2014
|
|
11/01/12 @ 103
|
777,187
|
325,000
|
|
OnCure Holdings, Inc.(j)
|
|
B-
|
11.75%
|
05/15/2017
|
|
05/15/14 @ 106
|
190,125
|
120,000
|
|
Physiotherapy Associates Holdings, Inc.(b)
|
|
B
|
11.88%
|
05/01/2019
|
|
05/01/15 @ 109
|
125,400
|
423,503
|
|
Symbion, Inc.(d)
|
|
CCC+
|
11.00%
|
08/23/2015
|
|
08/23/13 @ 100
|
423,503
|
150,000
|
|
Symbion, Inc.
|
|
B
|
8.00%
|
06/15/2016
|
|
06/15/14 @ 104
|
151,594
|
|
|
|
|
|
|
|
|
|
1,667,809
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet - 1.1%
|
|
|
|
|
|
|
|
4,250,000
|
|
GXS Worldwide, Inc.(j)
|
|
B
|
9.75%
|
06/15/2015
|
|
06/15/13 @ 102
|
4,388,125
|
120,000
|
|
Open Solutions, Inc.(b)
|
|
CCC+
|
9.75%
|
02/01/2015
|
|
02/01/13 @ 100
|
104,400
|
100,000
|
|
Zayo Group LLC / Zayo Capital, Inc.(j)
|
|
B
|
8.13%
|
01/01/2020
|
|
07/01/15 @ 104
|
106,250
|
|
|
|
|
|
|
|
|
|
4,598,775
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Time - 0.0%***
|
|
|
|
|
|
|
|
75,000
|
|
Sabre, Inc.(b)
|
|
B
|
8.50%
|
05/15/2019
|
|
05/15/15 @ 106
|
77,719
|
|
|
|
|
|
|
|
|
|
|
|
|
Lodging - 0.2%
|
|
|
|
|
|
|
|
100,000
|
|
Caesars Entertainment Operating Co., Inc.(b) (j)
|
|
B
|
8.50%
|
02/15/2020
|
|
02/15/16 @ 104
|
98,625
|
900,000
|
|
Caesars Operating Escrow LLC / Caesars Escrow Corp.(b)
|
|
B
|
9.00%
|
02/15/2020
|
|
02/15/16 @ 104
|
896,062
|
|
|
|
|
|
|
|
|
|
994,687
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery-Diversified - 0.1%
|
|
|
|
|
|
|
|
250,000
|
|
Tempel Steel Co.(b) (j)
|
|
B
|
12.00%
|
08/15/2016
|
|
02/15/14 @ 109
|
241,250
|
|
|
|
|
|
|
|
|
|
|
|
|
Mining - 0.2%
|
|
|
|
|
|
|
|
300,000
|
|
Horsehead Holding Corp.(b) (j)
|
|
B-
|
10.50%
|
06/01/2017
|
|
06/01/15 @ 105
|
299,250
|
100,000
|
|
Kaiser Aluminum Corp.(b)
|
|
BB-
|
8.25%
|
06/01/2020
|
|
06/01/16 @ 104
|
106,000
|
400,000
|
|
Midwest Vanadium Pty Ltd. (Australia)(b)
|
|
CCC+
|
11.50%
|
02/15/2018
|
|
02/15/15 @ 106
|
272,000
|
|
|
|
|
|
|
|
|
|
677,250
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Services - 0.0%***
|
|
|
|
|
|
|
|
200,000
|
|
Exterran Holdings, Inc.
|
|
BB
|
7.25%
|
12/01/2018
|
|
12/01/13 @ 105
|
202,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaging & Containers - 0.1%
|
|
|
|
|
|
|
|
300,000
|
|
Pretium Packaging, LLC / Pretium Finance, Inc.
|
|
B-
|
11.50%
|
04/01/2016
|
|
04/01/14 @ 106
|
303,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts - 0.2%
|
|
|
|
|
|
|
|
750,000
|
|
Wells Operating Partnership II, LP
|
|
BBB-
|
5.88%
|
04/01/2018
|
|
N/A
|
788,553
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail - 0.8%
|
|
|
|
|
|
|
|
198,000
|
|
CKE Restaurants, Inc.(j)
|
|
B-
|
11.38%
|
07/15/2018
|
|
07/15/14 @ 106
|
227,948
|
910,000
|
|
Fifth & Pacific Cos., Inc.(b) (j)
|
|
B
|
10.50%
|
04/15/2019
|
|
04/15/14 @ 105
|
1,028,300
|
880,000
|
|
GRD Holdings III Corp.(b) (j)
|
|
B
|
10.75%
|
06/01/2019
|
|
06/01/15 @ 108
|
869,000
|
630,000
|
|
Logan's Roadhouse, Inc.(j)
|
|
B-
|
10.75%
|
10/15/2017
|
|
10/15/13 @ 108
|
614,250
|
220,000
|
|
Mastro's Restaurants, LLC/RRG Finance Corp.(b)
|
|
B-
|
12.00%
|
06/01/2017
|
|
12/01/14 @ 109
|
228,800
|
200,000
|
|
Wok Acquisition Corp.(b) (j)
|
|
CCC+
|
10.25%
|
06/30/2020
|
|
06/30/16 @ 105
|
209,500
|
|
|
|
|
|
|
|
|
|
3,177,798
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.1%
|
|
|
|
|
|
|
|
400,000
|
|
Infor US, Inc.(b) (k)
|
|
B-
|
11.50%
|
07/15/2018
|
|
07/15/15 @ 106
|
456,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles - 0.0%***
|
|
|
|
|
|
|
|
150,000
|
|
Empire Today, LLC / Empire Today Finance Corp.(b) (j)
|
|
B-
|
11.38%
|
02/01/2017
|
|
02/01/14 @ 106
|
157,125
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.6%
|
|
|
|
|
|
|
|
53,643
|
|
Atlas Air, Inc.(b) (j)
|
|
NR
|
8.71%
|
01/02/2019
|
|
N/A
|
53,643
|
985,000
|
|
CEVA Group PLC (United Kingdom)(b) (j)
|
|
B-
|
8.38%
|
12/01/2017
|
|
12/01/13 @ 106
|
957,912
|
1,450,000
|
|
Marquette Transportation Company/Marquette Transportation Finance Corp.(j)
|
|
B-
|
10.88%
|
01/15/2017
|
|
01/15/13 @ 108
|
1,529,750
|
|
|
|
|
|
|
|
|
|
2,541,305
|
|
|
|
|
|
|
|
|
|
|
|
|
Trucking & Leasing - 0.4%
|
|
|
|
|
|
|
|
1,712,000
|
|
AWAS Aviation Capital Ltd. (Ireland)(b) (j)
|
|
BBB-
|
7.00%
|
10/17/2016
|
|
10/18/13 @ 104
|
1,806,160
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - 9.4%
|
|
|
|
|
|
|
|
|
|
(Cost $39,285,456)
|
|
|
|
|
|
|
39,301,744
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Backed Securities - 5.8%
|
|
|
|
|
|
|
|
|
|
Automobile - 0.0%***
|
|
|
|
|
|
|
|
50,587
|
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(b) (j)
|
|
NR
|
5.00%
|
09/25/2018
|
|
N/A
|
50,443
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Debt Obligation - 1.8%
|
|
|
|
|
|
|
|
280,240
|
|
Commodore CDO I Ltd., Series 2005-3A, Class A1A (Cayman Islands)(b) (e) (j)
|
|
CC
|
0.77%
|
03/06/2040
|
|
N/A
|
98,084
|
194,920
|
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(e)
|
|
BBB+
|
0.96%
|
09/15/2035
|
|
N/A
|
183,223
|
54,639
|
|
G-Star Ltd., Series 2003-A, Class A1 (Cayman Islands)(b) (e) (j)
|
|
BBB-
|
1.04%
|
03/13/2038
|
|
N/A
|
52,268
|
277,175
|
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (e) (j)
|
|
BB+
|
0.73%
|
12/30/2030
|
|
N/A
|
261,587
|
7,155,727
|
|
Putnam Structured Product, Series 2003-1A, Class A1LB(b) (e) (j)
|
|
CCC
|
0.69%
|
10/15/2038
|
|
N/A
|
6,249,740
|
639,471
|
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman Islands)(b) (e) (j)
|
|
CCC+
|
0.91%
|
01/10/2038
|
|
N/A
|
529,450
|
9,357
|
|
Saturn Ventures Ltd., Series 2003-1A, Class A1 (Cayman Islands)(b) (e) (j)
|
|
AA
|
0.94%
|
11/03/2038
|
|
N/A
|
9,204
|
200,000
|
|
Stone Tower CDO Ltd., Series 2004-1A, Class A2L (Cayman
Islands)(b) (e) (j)
|
|
BB+
|
1.70%
|
01/29/2040
|
|
N/A
|
168,774
|
|
|
|
|
|
|
|
|
|
7,552,330
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Loan Obligation - 2.5%
|
|
|
|
|
|
|
|
500,000
|
|
Alm Loan Funding, Series 2010-3A, Class C(b) (e) (j)
|
|
BBB
|
4.43%
|
11/20/2020
|
|
N/A
|
449,110
|
100,000
|
|
BlackRock Senior Income Series Corp., Series 2004-1A (Cayman Islands)(b)
|
|
NR
|
0.00%
|
09/15/2016
|
|
N/A
|
52,750
|
1,000,000
|
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class D(b) (e) (j)
|
|
B+
|
1.76%
|
09/20/2022
|
|
N/A
|
940,000
|
2,000,000
|
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (e) (j)
|
|
A+
|
1.71%
|
07/10/2019
|
|
N/A
|
1,585,260
|
1,000,000
|
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(b) (e) (j)
|
|
BBB+
|
3.06%
|
07/10/2019
|
|
N/A
|
778,290
|
1,000,000
|
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(b) (j)
|
|
BBB+
|
8.37%
|
07/10/2019
|
|
N/A
|
962,050
|
184,205
|
|
Colts Trust, Series 2005-2A, Class C (Cayman Islands)(b) (e) (j)
|
|
AAA
|
1.32%
|
12/20/2018
|
|
N/A
|
181,423
|
250,000
|
|
Colts Trust, Series 2007-1A, Class C (Cayman Islands)(b) (e) (j)
|
|
AA-
|
1.27%
|
03/20/2021
|
|
N/A
|
205,250
|
300,000
|
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (e) (j)
|
|
AA-
|
1.53%
|
05/19/2021
|
|
N/A
|
237,123
|
500,000
|
|
DFR Middle Market CLO Ltd., Series 2007-1A, Class C(b) (e) (j)
|
|
A+
|
2.76%
|
07/20/2019
|
|
N/A
|
471,305
|
550,000
|
|
Eastland CLO Ltd., Series 2007-1A, Class A2B(b) (e) (j)
|
|
AA+
|
0.77%
|
05/01/2022
|
|
N/A
|
413,314
|
250,000
|
|
Emporia Preferred Funding, Series 2005-1A,Class C (Cayman Islands)(b) (e) (j)
|
|
A-
|
1.41%
|
10/12/2018
|
|
N/A
|
197,085
|
250,000
|
|
Genesis CLO Ltd., Series 2007-2A, Class D (Cayman Islands)(b) (e) (j)
|
|
BBB
|
4.46%
|
01/10/2016
|
|
N/A
|
232,500
|
700,000
|
|
Grayson CLO Ltd., Series 2006-1A, Class A2 (Cayman Islands)(b) (e) (j)
|
|
A+
|
0.85%
|
11/01/2021
|
|
N/A
|
546,125
|
200,000
|
|
Katonah Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (e) (j)
|
|
BBB+
|
1.17%
|
01/25/2019
|
|
N/A
|
153,778
|
500,000
|
|
KKR CLO Trust, Series 2007-1A, Class D (Cayman Islands)(b) (e) (j)
|
|
BBB+
|
2.68%
|
05/15/2021
|
|
N/A
|
400,150
|
1,992,806
|
|
Newstar Trust, Series 2005-1A, Class C(b) (e) (j)
|
|
B+
|
1.30%
|
07/25/2018
|
|
N/A
|
1,714,810
|
514,262
|
|
Sargas CLO II Ltd., Series 2006-1A, Class E (Cayman Islands)(b) (e) (j)
|
|
B+
|
4.46%
|
10/20/2018
|
|
N/A
|
479,276
|
250,000
|
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman I
slands)(b) (e) (j)
|
|
A+
|
3.21%
|
07/15/2019
|
|
N/A
|
199,231
|
|
|
|
|
|
|
|
|
|
10,198,830
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Receivables - 0.1%
|
|
|
|
|
|
|
|
400,000
|
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(b) (j)
|
|
NR
|
5.00%
|
01/20/2019
|
|
02/20/13 @ 100
|
361,080
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card - 0.1%
|
|
|
|
|
|
|
|
476,545
|
|
Citi Holdings Liquidating Unrated Performing Assets, Series 2012-
Class A(b) (j)
|
|
NR
|
0.00%
|
N/A
|
|
N/A
|
350,704
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.0%***
|
|
|
|
|
|
|
|
96,400
|
|
Insurance Note Capital Term, Series 1005-1R1A(b) (e) (i) (j)
|
|
A
|
0.56%
|
06/09/2033
|
|
N/A
|
88,057
|
|
|
|
|
|
|
|
|
|
|
|
|
Media- 0.8%
|
|
|
|
|
|
|
|
1,300,000
|
|
Adams Outdoor Advertising, LP, Series 2010-1, Class B(b) (j)
|
|
Ba2
|
8.84%
|
12/20/2040
|
|
N/A
|
1,402,296
|
1,825,000
|
|
Adams Outdoor Advertising, LP, Series 2010-1, Class C(b) (j)
|
|
B3
|
10.76%
|
12/20/2040
|
|
N/A
|
1,976,137
|
|
|
|
|
|
|
|
|
|
3,378,433
|
|
|
|
|
|
|
|
|
|
|
|
|
Other ABS - 0.0%***
|
|
|
|
|
|
|
|
21,897
|
|
Aircraft Certificate Owner Trust(b) (j)
|
|
BB
|
6.46%
|
09/20/2022
|
|
N/A
|
22,006
|
|
|
|
|
|
|
|
|
|
|
|
|
Timeshare - 0.1%
|
|
|
|
|
|
|
|
269,294
|
|
Silverleaf Finance LLC, Series 2011-A, Class A(b) (j)
|
|
NR
|
9.00%
|
06/15/2023
|
|
N/A
|
266,517
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.4%
|
|
|
|
|
|
|
|
25,683
|
|
Castle Trust, Series 2003-1AW, Class A1(b) (e) (j)
|
|
AA
|
0.99%
|
05/15/2027
|
|
N/A
|
23,885
|
192,631
|
|
Raspro Trust, Series 2005-1A, Class G(b) (e) (j)
|
|
A
|
0.87%
|
03/23/2024
|
|
N/A
|
162,292
|
1,654,893
|
|
Vega Containervessel PLC, Series 2006-1A, Class A(b) (j)
|
|
Ba3
|
5.56%
|
02/10/2021
|
|
N/A
|
1,505,952
|
|
|
|
|
|
|
|
|
|
1,692,129
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset Backed Securities - 5.8%
|
|
|
|
|
|
|
|
|
|
(Cost $23,620,574)
|
|
|
|
|
|
|
23,960,529
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations- 0.5%
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage Backed Security - Traditional - 0.5%
|
|
|
|
|
|
|
|
2,000,000
|
|
GS Mortgage Securities Corp. II, Series 2007-EOP, Class H(b) (e) (j)
|
|
BBB-
|
3.30%
|
03/06/2020
|
|
N/A
|
1,987,406
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage Backed Security - 0.0%***
|
|
|
|
|
|
|
|
96,276
|
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(b) (e) (j)
|
|
BBB
|
0.67%
|
08/27/2047
|
|
N/A
|
84,242
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations - 0.5%
|
|
|
|
|
|
|
|
|
|
(Cost $1,894,195)
|
|
|
|
|
|
|
2,071,648
|
|
|
|
|
|
|
|
|
|
|
|
|
Term Loans - 4.3%(e)(f)
|
|
|
|
|
|
|
|
|
|
Aerospace and Defense- 0.0%***
|
|
|
|
|
|
|
|
98,749
|
|
API Technologies Corp.(k)
|
|
B
|
8.75%
|
06/27/2016
|
|
N/A
|
98,749
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive- 0.1%
|
|
|
|
|
|
|
|
340,000
|
|
Navistar, Inc. 1st Lien(k)
|
|
B+
|
7.00%
|
08/16/2017
|
|
N/A
|
342,718
|
20,000
|
|
Keystone Automotive Operations, Inc., 1st Lien(k)
|
|
Caa2
|
9.75%
|
03/30/3016
|
|
N/A
|
20,150
|
|
|
|
|
|
|
|
|
|
362,868
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage - 0.0%***
|
|
|
|
|
|
|
|
30,000
|
|
AmWins Group, Inc., 2nd Lien(k)
|
|
CCC+
|
9.45%
|
12/07/2019
|
|
N/A
|
30,100
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products - 0.1%
|
|
|
|
|
|
|
|
346,500
|
|
Targus Group International, Inc.(k)
|
|
B
|
11.00%
|
05/24/2016
|
|
N/A
|
348,233
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Services - 0.3%
|
|
|
|
|
|
|
|
100,000
|
|
Nab Holdings, LLC, 1st Lien(k)
|
|
BB+
|
7.00%
|
04/24/2018
|
|
N/A
|
100,375
|
1,000,000
|
|
Osmose Holdings, Inc., Lien 1(k)
|
|
B+
|
6.50%
|
05/02/2018
|
|
N/A
|
1,000,000
|
30,000
|
|
Travelport Holdings Limited(k)
|
|
B+
|
4.96%
|
08/21/2015
|
|
N/A
|
27,873
|
|
|
|
|
|
|
|
|
|
1,128,248
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Manufacturing - 0.1%
|
|
|
|
|
|
|
|
420,000
|
|
CPM Holdings, 1st Lien(k)
|
|
B+
|
6.25%
|
08/16/2017
|
|
N/A
|
420,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment - 0.0%***
|
|
|
|
|
|
|
|
90,000
|
|
CKX Entertainment, Inc., 1st Lien(k)
|
|
B+
|
9.00%
|
06/21/2017
|
|
N/A
|
72,450
|
|
|
|
|
|
|
|
|
|
|
|
|
Food - 0.1%
|
|
|
|
|
|
|
|
340,000
|
|
Arctic Glacier, 1st Lien(k)
|
|
B
|
8.50%
|
07/27/2018
|
|
N/A
|
338,300
|
|
|
|
|
|
|
|
|
|
|
|
|
Gaming - 0.1%
|
|
|
|
|
|
|
|
300,000
|
|
Rock Ohio Caesar LLC(k)
|
|
BB-
|
8.50%
|
08/11/2017
|
|
N/A
|
306,000
|
20,000
|
|
Rock Ohio Caesar LLC(k)
|
|
BB-
|
0.00%
|
08/18/2017
|
|
N/A
|
20,400
|
|
|
|
|
|
|
|
|
|
326,400
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care - 0.2%
|
|
|
|
|
|
|
|
840,000
|
|
One Call Medical, Inc., Lien 1(k)
|
|
B+
|
7.00%
|
08/22/2019
|
|
N/A
|
834,049
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.0%***
|
|
|
|
|
|
|
|
44,956
|
|
Univision(k)
|
|
B+
|
4.45%
|
03/31/2017
|
|
N/A
|
43,594
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil Field Services - 0.8%
|
|
|
|
|
|
|
|
250,000
|
|
El Paso / EP Energy(k)
|
|
BB-
|
5.00%
|
04/24/2018
|
|
N/A
|
251,563
|
230,000
|
|
EquiPower Resources Corp.(k)
|
|
BB
|
6.50%
|
12/21/2018
|
|
N/A
|
231,198
|
2,955,000
|
|
Southern Pacific Resources, 2nd Lien(k)
|
|
CCC
|
10.75%
|
12/22/2016
|
|
N/A
|
2,972,553
|
|
|
|
|
|
|
|
|
|
3,455,314
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Finance - 0.2%
|
|
|
|
|
|
|
|
589,664
|
|
AP Alternative Assets LP(k)
|
|
BBB
|
4.21%
|
06/30/2015
|
|
N/A
|
557,232
|
70,000
|
|
Homeward Residential Holdings, Inc., 1st Lien(k)
|
|
B+
|
8.25%
|
08/07/2017
|
|
N/A
|
70,350
|
|
|
|
|
|
|
|
|
|
627,582
|
|
|
Other Industrials - 0.2%
|
|
|
|
|
|
|
|
350,000
|
|
Laureate Education, Inc.(k)
|
|
B
|
5.25%
|
08/15/2018
|
|
N/A
|
343,000
|
492,719
|
|
Sirva Worldwide, Inc.(k)
|
|
B
|
10.75%
|
03/31/2016
|
|
N/A
|
498,878
|
|
|
|
|
|
|
|
|
|
841,878
|
|
|
Real Estate Investment Trusts - 0.0%***
|
|
|
|
|
|
|
|
130,000
|
|
iStar Financial, Inc. Lien 1(k)
|
|
BB-
|
7.00%
|
03/15/2017
|
|
N/A
|
132,844
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail - 0.4%
|
|
|
|
|
|
|
|
90,000
|
|
Container Store, Inc., Lien1(k)
|
|
B-
|
6.25%
|
04/03/2019
|
|
N/A
|
89,925
|
1,000,000
|
|
HD Supply Lien 1 Hybrid(k)
|
|
B+
|
7.25%
|
10/05/2017
|
|
N/A
|
1,025,420
|
750,000
|
|
Party City Holdings, Inc.(k)
|
|
B
|
5.75%
|
07/23/2019
|
|
N/A
|
754,999
|
|
|
|
|
|
|
|
|
|
1,870,344
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology -1.2%
|
|
|
|
|
|
|
|
920,000
|
|
Ceridian Corp., 1st Lien(k)
|
|
B-
|
5.99%
|
05/09/2017
|
|
N/A
|
921,339
|
1,650,000
|
|
M*Modal, Inc.(k)
|
|
Ba3
|
6.75%
|
08/15/2019
|
|
N/A
|
1,630,415
|
1,000,000
|
|
Magic Newco LLC, 1st Lien(k)
|
|
B+
|
7.25%
|
12/02/2018
|
|
N/A
|
995,835
|
100,000
|
|
Magic Newco LLC, 2nd Lien(k)
|
|
CCC+
|
12.00%
|
06/06/2019
|
|
N/A
|
99,875
|
1,140,000
|
|
Paradigm, 1st Lien(k)
|
|
B+
|
6.50%
|
07/24/2019
|
|
N/A
|
1,133,348
|
20,000
|
|
Sophos(k)
|
|
B+
|
6.50%
|
05/10/2019
|
|
N/A
|
20,004
|
|
|
|
|
|
|
|
|
|
4,800,816
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.1%
|
|
|
|
|
|
|
|
44,078
|
|
Global Aviation Holdings, Inc.(k)
|
|
NR
|
8.24%
|
09/27/2012
|
|
N/A
|
44,298
|
200,000
|
|
Sabre, Inc., Lien 1(k)
|
|
B
|
7.25%
|
12/29/2017
|
|
N/A
|
199,938
|
|
|
|
|
|
|
|
|
|
244,236
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless - 0.4%
|
|
|
|
|
|
|
|
1,000,000
|
|
Converge One, Lien 1(k)
|
|
B+
|
8.50%
|
06/08/2017
|
|
N/A
|
987,500
|
200,000
|
|
Wideopenwest Finance LLC, Lien 1(k)
|
|
B
|
6.25%
|
07/12/2018
|
|
N/A
|
200,438
|
500,000
|
|
Zayo Group, 1st Lien(k)
|
|
B
|
7.13%
|
07/02/2019
|
|
N/A
|
508,595
|
|
|
|
|
|
|
|
|
|
1,696,533
|
|
|
Total Term Loans - 4.3%
|
|
|
|
|
|
|
|
|
|
(Cost $17,364,742)
|
|
|
|
|
|
|
17,672,538
|
|
|
|
|
|
|
|
|
|
|
Number
|
|
|
|
|
|
|
|
|
|
of Shares
|
|
Description
|
|
Rating*
|
Coupon
|
Maturity
|
|
|
Value
|
|
|
Preferred Stocks - 1.9%
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.6%
|
|
|
|
|
|
|
|
1,900
|
|
Falcons Funding Trust I(b) (e) (j)
|
|
NR
|
8.88%
|
|
|
|
1,979,087
|
475
|
|
GSC Partners CDO Fund Ltd./GSC Partners CDO Fund Corp. (Cayman Islands)(b) (e)
|
|
NR
|
0.00%
|
|
|
|
181,955
|
200,000
|
|
Whitehorse II Ltd./Corp.(b) (e)
|
|
NR
|
0.00%
|
|
|
|
92,500
|
|
|
|
|
|
|
|
|
|
2,253,542
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 1.3%
|
|
|
|
|
|
|
|
200,000
|
|
Seaspan Corp., Series C (Marshall Islands)(j)
|
|
NR
|
9.50%
|
|
|
|
5,546,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks - 1.9%
|
|
|
|
|
|
|
|
|
|
(Cost $7,201,500)
|
|
|
|
|
|
|
7,799,542
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants - 0.0%***
|
|
|
|
|
|
|
|
1,550
|
|
Alion Science and Technology Corp.(g) (i) (k)
|
|
|
|
03/15/2017
|
|
|
-
|
|
|
(Cost $15)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments - 131.9%
|
|
|
|
|
|
|
|
|
|
(Cost $468,237,295)
|
|
|
|
|
|
|
547,041,532
|
|
|
Other Assets in excess of Liabilities - 1.4%
|
|
|
|
|
|
|
5,728,535
|
|
|
Borrowings - (11.2%)
|
|
|
|
|
|
|
(46,444,000)
|
|
|
Reverse Repurchase Agreements - (22.1%)
|
|
|
|
|
|
|
(91,499,021)
|
|
|
Net Assets - 100.0%
|
|
|
|
|
|
|
$ 414,827,046
|