Nuveen Floating Rate Income Opportunity Fund-Quarterly Schedule of Portfolio Holdings of Reg'd Management Investment Co. (N-Q)
December 28 2007 - 11:51AM
Edgar (US Regulatory)
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
811-21579
Nuveen
Floating Rate Income Opportunity Fund
(Exact name of registrant as specified in charter)
333 West Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Kevin
J. McCarthyVice President and Secretary
333 West Wacker Drive, Chicago, Illinois 60606
(Name and address of agent for service)
Registrants telephone number, including area code:
312-917-7700
Date of
fiscal year end:
7/31
Date of
reporting period:
10/31/2007
Form N-Q is to be used by management investment companies, other than small business investment
companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the
Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant
to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review, inspection, and
policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will
make this information public. A registrant is not required to respond to the collection of
information contained in Form N-Q unless the Form displays a currently valid Office of Management
and Budget (OMB) control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The
OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §
3507.
TABLE OF CONTENTS
Item 1. Schedule of Investments
Portfolio of Investments (Unaudited)
Nuveen Floating Rate Income Opportunity Fund (JRO)
October 31, 2007
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Principal
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Weighted
Average
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Amount (000)
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Description (1)
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Coupon
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Maturity (2)
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Ratings (3)
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Value
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Variable Rate Senior Loan Interests 141.4% (86.1% of Total Investments) (4)
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Aerospace & Defense 0.8% (0.5% of Total Investments)
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$
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669
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Dubai
Aerospace, Term Loan
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7.803%
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7/23/09
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BB-
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$
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668,638
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757
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Dubai
Aerospace, Term Loan B-1
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8.933%
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7/23/14
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BB-
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757,941
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573
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Dubai
Aerospace, Term Loan B-2
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8.933%
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7/23/13
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BB-
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573,835
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1,150
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Transdigm Inc. Term Loan B
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7.200%
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6/23/13
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BB-
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1,133,829
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3,149
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Total Aerospace & Defense
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3,134,243
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Airlines 3.4% (2.1% of Total Investments)
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1,995
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Delta Air Lines Inc., Term Loan
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8.082%
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4/30/14
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B
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1,980,394
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4,950
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Northwest Airlines Inc., Term Loan
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7.030%
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8/01/13
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BB
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4,774,686
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6,468
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United Air Lines Inc., Term Loan B
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7.001%
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2/01/14
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BB-
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6,212,393
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13,413
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Total Airlines
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12,967,473
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Auto Components 2.2% (1.4% of Total Investments)
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1,452
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Accuride Corporation, Term Loan B
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7.125%
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1/31/12
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BB-
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1,424,535
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5,485
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Federal-Mogul Corporation, Revolver, (5) (6)
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6.279%
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2/05/05
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N/R
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5,157,566
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1,988
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Lear Corporation, Term Loan
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7.789%
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4/25/12
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BB-
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1,958,456
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8,925
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Total Auto Components
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8,540,557
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Building Products 7.0% (4.3% of Total Investments)
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1,759
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Atrium Companies Inc. Term Loan
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8.529%
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5/31/12
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BB-
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1,632,034
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3,000
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Building Materials Corporation of America, Second Lien Term Loan
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10.813%
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9/15/14
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Caa1
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2,524,500
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4,963
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Building Materials Corporation of America, Term Loan
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7.937%
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2/22/14
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BB
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4,531,913
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9,700
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Nortek, Inc., Term Loan B
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7.055%
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8/27/11
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Ba2
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9,506,000
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2,923
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Stile Acquisition Corporation, Canadian Term Loan
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7.115%
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4/05/13
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BB
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2,753,062
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2,927
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Stile Acquisition Corporation, U.S. Term Loan
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7.115%
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4/05/13
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BB
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2,757,752
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2,970
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TFS Acquisition, Term Loan
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8.698%
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8/11/13
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B+
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2,925,450
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28,242
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Total Building Products
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26,630,711
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Capital Markets 1.4% (0.9% of Total Investments)
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2,302
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Ameritrade Holdings Corporation, Term Loan B Facility
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6.300%
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12/31/12
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Ba1
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2,278,336
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480
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BNY
ConvergEx Group Incremental Delayed Draw Term Loan, (6) (7)
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1.500%
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7/02/14
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B2
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(13,209
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)
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2,786
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BNY ConvergEx Group Term Loan
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8.200%
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10/02/13
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B2
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2,750,893
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461
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BNY
ConvergEx Group Incremental Term Loan
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8.200%
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7/02/14
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B2
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454,856
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6,029
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Total Capital Markets
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5,470,876
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Chemicals 7.7% (4.7% of Total Investments)
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3,184
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Celanese, Holdings LLC, Term Loan B
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6.979%
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4/02/14
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BB
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3,133,588
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800
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Celanese Holdings, LLC, Credit Linked Deposits
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5.124%
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4/02/14
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BB
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787,334
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1,837
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Foamex LP, Term Loan
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7.444%
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2/12/13
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B+
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1,770,971
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656
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Headwaters Inc., 1st Lien Term Loan
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6.900%
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4/30/11
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BB+
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646,406
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2,993
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Hercules Inc., Term Loan B
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6.990%
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7/11/13
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BB
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2,958,834
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2,434
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Hexion Specialty Chemicals, Term Loan C1
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7.500%
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5/05/13
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Ba3
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2,413,652
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529
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Hexion Specialty Chemicals, Term Loan C2
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7.500%
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5/05/13
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Ba3
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524,314
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5,349
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Huntsman International LLC, Term Loan
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6.643%
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4/19/14
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BB+
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5,312,785
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1,265
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JohnsonDiversey Inc., Delayed Term Loan
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7.360%
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12/16/10
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Ba2
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1,251,865
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1,462
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Lucite International, Term Loan B-1
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7.450%
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7/07/13
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BB-
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1,436,812
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518
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Lucite International, Term Loan B-2
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7.450%
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7/07/13
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BB-
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508,725
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990
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Lyondell Petrochemical Company, Term Loan
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6.252%
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8/16/13
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BB+
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986,425
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7,800
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Rockwood Specialties Group, Inc., Term Loan E
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6.460%
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7/30/12
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BB
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7,687,388
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29,817
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Total Chemicals
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29,419,099
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Commercial Services & Supplies 1.2% (0.7% of Total Investments)
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1,235
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Allied
Waste North America, New Term Loan B
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6.552%
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3/28/14
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BBB-
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1,214,126
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664
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Allied
Waste North America LC Facility
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6.871%
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3/28/14
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BBB-
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653,208
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27
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Cenveo
Corporation Delayed Term Loan
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6.988%
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6/21/13
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BB
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26,762
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961
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Cenveo
Corporation, Term Loan
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6.988%
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6/21/13
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BB
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937,345
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993
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NCO Financial Systems Inc., Term Loan
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8.353%
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5/15/13
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BB-
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965,827
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1,016
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Workflow Holdings Corporation, Term Loan
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9.484%
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11/30/11
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BB-
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884,078
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4,896
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Total Commercial Services & Supplies
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4,681,346
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Communications Equipment 0.8% (0.5% of Total Investments)
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2,970
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Aspect Software, Term Loan
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8.250%
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7/11/11
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BB-
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2,880,900
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Consumer Finance 0.5% (0.3% of Total Investments)
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1,963
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Peach Holdings, Term Loan
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8.950%
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11/30/13
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B
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1,933,063
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Containers & Packaging 6.3% (3.9% of Total Investments)
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498
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Amscan Holdings Inc., Term Loan B
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7.563%
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5/25/13
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B1
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482,575
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|
682
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Bluegrass
Container Company, LLC, Delayed Draw, 1st Lien
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7.288%
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6/30/13
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BB
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679,166
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3,030
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Bluegrass Container Company, LLC, 2nd Lien
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9.753%
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12/31/13
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B
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3,051,136
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|
970
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Bluegrass Container Company, LLC, Delayed Draw, 2nd Lien
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9.753%
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12/31/13
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B
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976,364
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|
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2,280
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Bluegrass Container Company, LLC, Term Loan B
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7.322%
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6/30/13
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BB
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2,269,844
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13,670
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Graham Packaging Company, L.P., Term Loan B
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7.661%
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12/13/11
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B+
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13,432,912
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|
611
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Smurfit-Stone Contianer Corporation, Deposit Funded Commitment
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7.124%
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|
11/01/10
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Ba2
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|
|
606,439
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|
910
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Smurfit-Stone
Contianer Corporation, Term Loan B
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7.428%
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|
11/01/11
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Ba2
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|
|
902,763
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|
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1,309
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Smurfit-Stone
Contianer Corporation, Term Loan C
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7.523%
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|
11/01/11
|
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Ba2
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1,298,173
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|
|
411
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Smurfit-Stone
Contianer Corporation, Term Loan Tranche C-1
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7.188%
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11/01/11
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Ba2
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407,412
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24,371
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Total Containers & Packaging
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24,106,784
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Diversified Consumer Services 3.1% (1.9% of Total Investments)
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|
|
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|
|
258
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|
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Laureate
Education Inc. Delayed Term Loan, (6) (7)
|
|
1.000%
|
|
8/17/14
|
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B1
|
|
|
(4,129
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)
|
|
1,742
|
|
|
Laureate Education Inc., Term Loan
|
|
8.729%
|
|
8/17/14
|
|
B1
|
|
|
1,714,065
|
|
|
7,000
|
|
|
Thomson Learning Center, Term Loan
|
|
7.950%
|
|
7/05/14
|
|
B+
|
|
|
6,786,112
|
|
|
3,418
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|
|
West Corporation, Term Loan
|
|
7.273%
|
|
10/24/13
|
|
BB-
|
|
|
3,357,164
|
|
|
|
12,418
|
|
|
Total Diversified Consumer Services
|
|
|
|
|
|
|
|
|
11,853,212
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 7.6% (4.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
953
|
|
|
Choice One Communications, Term Loan B
|
|
9.250%
|
|
6/30/12
|
|
B1
|
|
|
943,329
|
|
|
2,985
|
|
|
Crown Castle Operating Company, Term Loan
|
|
6.645%
|
|
1/26/14
|
|
BBB-
|
|
|
2,922,034
|
|
|
1,955
|
|
|
Intelsat
Corporation, Term Loan
|
|
7.124%
|
|
7/01/13
|
|
BB+
|
|
|
1,935,942
|
|
|
2,000
|
|
|
Intelsat
Corporation, Unsecured Term Loan
|
|
7.859%
|
|
2/01/14
|
|
B
|
|
|
1,982,500
|
|
|
12,885
|
|
|
Intelsat Corporation, Term Loan B
|
|
7.124%
|
|
12/03/13
|
|
BB+
|
|
|
12,754,959
|
|
|
4,533
|
|
|
Level 3 Financing Inc., Term Loan
|
|
7.493%
|
|
3/13/14
|
|
B+
|
|
|
4,425,982
|
|
|
3,960
|
|
|
MetroPCS Wireless Inc., Term Loan
|
|
7.579%
|
|
11/03/13
|
|
Ba3
|
|
|
3,890,251
|
|
|
|
29,271
|
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
|
28,854,997
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric
Utilities 5.0% (3.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,844
|
|
|
Calpine Corporation DIP
|
|
7.448%
|
|
3/29/09
|
|
N/R
|
|
|
8,769,426
|
|
|
1,111
|
|
|
Calpine
Corporation DIP Revolver, (6) (7)
|
|
0.250%
|
|
3/29/09
|
|
N/R
|
|
|
(52,778
|
)
|
|
188
|
|
|
MACH Gen LLC, Term Loan Synthetic Letter of Credit
|
|
7.200%
|
|
2/22/13
|
|
B+
|
|
|
181,828
|
|
|
1,799
|
|
|
MACH Gen LLC, Term Loan
|
|
7.500%
|
|
2/22/14
|
|
B+
|
|
|
1,744,489
|
|
|
2,148
|
|
|
Murray Energy Corporation, Term Loan C
|
|
14.063%
|
|
1/28/11
|
|
N/R
|
|
|
2,276,350
|
|
|
2,000
|
|
|
Texas
Competitive Electric Holdings, Term Loan B3, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba3
|
|
|
2,000,000
|
|
|
4,000
|
|
|
Texas Competitive Electric Holdings, Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba3
|
|
|
4,001,244
|
|
|
|
20,090
|
|
|
Total Electric Utilities
|
|
|
|
|
|
|
|
|
18,920,559
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment & Instruments 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,975
|
|
|
Sensata Technologies B.V., U.S. Term Loan
|
|
6.760%
|
|
4/27/13
|
|
BB
|
|
|
1,926,507
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.3% (0.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
998
|
|
|
Petroleum Geo-Services, Term Loan
|
|
6.950%
|
|
7/01/12
|
|
Ba2
|
|
|
981,706
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 1.0% (0.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366
|
|
|
Dole Foods Company Inc., Deposit-Funded Commitment
|
|
7.290%
|
|
4/12/13
|
|
BB-
|
|
|
355,734
|
|
|
810
|
|
|
Dole Foods Company Inc., Term Loan B
|
|
7.572%
|
|
4/12/13
|
|
BB-
|
|
|
788,394
|
|
|
2,701
|
|
|
Dole Foods Company Inc., Term Loan C
|
|
7.415%
|
|
4/12/13
|
|
BB-
|
|
|
2,627,980
|
|
|
|
3,877
|
|
|
Total Food Products
|
|
|
|
|
|
|
|
|
3,772,108
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,500
|
|
|
Symbion
Healthcare Term Loan A
|
|
8.210%
|
|
8/01/13
|
|
Ba3
|
|
|
1,456,875
|
|
|
1,500
|
|
|
Symbion
Healthcare Term Loan B
|
|
8.210%
|
|
8/01/14
|
|
Ba3
|
|
|
1,456,875
|
|
|
|
3,000
|
|
|
Total Health Care Equipment & Supplies
|
|
|
|
|
|
|
|
|
2,913,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 8.6% (5.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,957
|
|
|
HCA, Inc. Term Loan
|
|
7.448%
|
|
11/18/13
|
|
BB
|
|
|
6,809,117
|
|
|
4,975
|
|
|
Health Management Associates Inc., Term Loan
|
|
6.942%
|
|
2/28/14
|
|
Ba2
|
|
|
4,764,943
|
|
|
1,717
|
|
|
HealthSouth Corporation, Term Loan
|
|
7.628%
|
|
3/10/13
|
|
BB-
|
|
|
1,684,474
|
|
|
1,276
|
|
|
IASIS
Healthcare LLC, Delayed Term Loan, (6)
|
|
5.960%
|
|
3/14/14
|
|
Ba2
|
|
|
887,694
|
|
|
340
|
|
|
IASIS Healthcare LLC, LC Facility
|
|
4.693%
|
|
3/14/14
|
|
Ba2
|
|
|
325,156
|
|
|
3,714
|
|
|
IASIS Healthcare LLC, Term Loan
|
|
7.066%
|
|
3/14/14
|
|
Ba2
|
|
|
3,550,739
|
|
|
519
|
|
|
LifePoint Hospitals Inc., Term Loan B
|
|
7.165%
|
|
4/18/12
|
|
BB
|
|
|
509,960
|
|
|
14,600
|
|
|
Vanguard Health Holding Company II, LLC, Replacement Term Loan
|
|
7.448%
|
|
9/23/11
|
|
Ba3
|
|
|
14,312,262
|
|
|
|
34,098
|
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
|
32,844,345
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,945
|
|
|
Emdeon Business Services Term Loan
|
|
5.205%
|
|
1/18/13
|
|
BB-
|
|
|
1,916,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 8.3% (5.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,942
|
|
|
24 Hour Fitness Worldwide, Inc., Term Loan B
|
|
7.809%
|
|
6/08/12
|
|
Ba3
|
|
|
3,883,332
|
|
|
488
|
|
|
CBRL Group, Inc., Term Loan B-1
|
|
7.431%
|
|
4/28/13
|
|
BB
|
|
|
476,083
|
|
|
2,963
|
|
|
Cedar Fair LP, Term Loan
|
|
6.753%
|
|
8/30/12
|
|
BB
|
|
|
2,908,805
|
|
|
1,917
|
|
|
Green Valley Ranch Gaming, Term Loan B
|
|
7.413%
|
|
2/16/14
|
|
BB-
|
|
|
1,878,927
|
|
|
3,505
|
|
|
Intrawest Corporation, Term Loan
|
|
8.130%
|
|
4/24/08
|
|
N/R
|
|
|
3,479,180
|
|
|
3,000
|
|
|
Orbitz Worldwide Inc., Term Loan,
|
|
8.198%
|
|
7/25/14
|
|
BB-
|
|
|
2,960,625
|
|
|
1,960
|
|
|
Penn National Gaming, Inc., Term Loan B
|
|
6.901%
|
|
10/03/12
|
|
BBB-
|
|
|
1,950,064
|
|
|
3,557
|
|
|
Travelport, Term Loan
|
|
7.448%
|
|
8/23/13
|
|
BB-
|
|
|
3,492,833
|
|
|
714
|
|
|
Travelport, LC Facility
|
|
7.448%
|
|
8/23/13
|
|
BB-
|
|
|
700,839
|
|
|
1,995
|
|
|
Travelport,
Delayed Term Loan
|
|
7.448%
|
|
8/23/13
|
|
BB-
|
|
|
1,958,529
|
|
|
2,000
|
|
|
Venetian
Casino Resort, LLC, (Las Vegas Sands, Inc.) Delayed Term Loan, (6) (7)
|
|
0.750%
|
|
5/23/14
|
|
BB
|
|
|
(55,097
|
)
|
|
7,980
|
|
|
Venetian Casino Resort, LLC, Term Loan
|
|
6.950%
|
|
5/23/14
|
|
BB
|
|
|
7,760,163
|
|
|
|
34,021
|
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
|
31,394,283
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables 1.6% (1.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,168
|
|
|
Jarden Corporation, Term Loan
|
|
6.948%
|
|
1/24/12
|
|
BB-
|
|
|
6,056,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 2.3% (1.4% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,786
|
|
|
Prestige Brands, Inc., Term Loan B
|
|
7.731%
|
|
4/06/11
|
|
BB-
|
|
|
8,741,768
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 1.7% (1.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,400
|
|
|
NRG
Energy Inc., Holdco Term Loan, (6) (7)
|
|
0.500%
|
|
2/01/13
|
|
BB
|
|
|
(27,250
|
)
|
|
1,962
|
|
|
NRG Energy Inc., Credit Linked Deposits
|
|
6.848%
|
|
2/01/13
|
|
Ba1
|
|
|
1,924,151
|
|
|
4,714
|
|
|
NRG Energy Inc., Term Loan
|
|
6.948%
|
|
2/01/13
|
|
Ba1
|
|
|
4,623,223
|
|
|
|
8,076
|
|
|
Total
Independent Power Producers & Energy Traders
|
|
|
|
|
|
|
|
|
6,520,124
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.6% (1.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
993
|
|
|
Affirmative Insurance Holdings Inc., Term Loan
|
|
8.549%
|
|
1/31/14
|
|
B1
|
|
|
947,838
|
|
|
5,394
|
|
|
Conseco, Inc., Term Loan
|
|
6.819%
|
|
10/10/13
|
|
Ba3
|
|
|
5,166,651
|
|
|
|
6,387
|
|
|
Total Insurance
|
|
|
|
|
|
|
|
|
6,114,489
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 1.0% (0.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,887
|
|
|
Sabre Group Holdings, Inc., Term Loan
|
|
6.960%
|
|
9/30/14
|
|
B+
|
|
|
3,700,886
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services 4.2% (2.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
995
|
|
|
Attachmate, Term Loan
|
|
8.448%
|
|
4/13/12
|
|
BB-
|
|
|
975,100
|
|
|
4,000
|
|
|
First Data Term Loan, Tranche B
|
|
7.960%
|
|
9/24/14
|
|
BB-
|
|
|
3,856,818
|
|
|
339
|
|
|
Infor
Global Solutions, Term Loan Delayed Draw
|
|
8.950%
|
|
7/28/12
|
|
B+
|
|
|
330,943
|
|
|
651
|
|
|
Infor Global Solutions, Term Loan
|
|
8.950%
|
|
7/28/12
|
|
B+
|
|
|
624,549
|
|
|
10,211
|
|
|
SunGard Data Systems Inc., Term Loan B
|
|
7.356%
|
|
2/28/14
|
|
BB+
|
|
|
10,095,338
|
|
|
|
16,196
|
|
|
Total IT Services
|
|
|
|
|
|
|
|
|
15,882,748
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products 1.4% (0.9% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,468
|
|
|
Bombardier Recreational Products, Term Loan
|
|
7.699%
|
|
6/28/13
|
|
B+
|
|
|
5,324,810
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 1.4% (0.8% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,589
|
|
|
Navistar International,Term Loan
|
|
8.234%
|
|
1/19/12
|
|
BB-
|
|
|
1,564,857
|
|
|
578
|
|
|
Navistar International Synthetic Letter of Credit
|
|
6.853%
|
|
1/19/12
|
|
BB-
|
|
|
569,039
|
|
|
1,975
|
|
|
Oshkosh Truck Corporation, Term Loan
|
|
7.450%
|
|
12/06/13
|
|
BBB-
|
|
|
1,946,300
|
|
|
279
|
|
|
Rexnord Corporation, Incremental Term Loan B-2
|
|
7.642%
|
|
7/19/13
|
|
Ba2
|
|
|
277,306
|
|
|
934
|
|
|
Rexnord Corporation, Term Loan B
|
|
7.603%
|
|
7/19/13
|
|
Ba2
|
|
|
930,338
|
|
|
|
5,355
|
|
|
Total Machinery
|
|
|
|
|
|
|
|
|
5,287,840
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 28.3% (17.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,965
|
|
|
AMC Entertainment Inc., Term Loan
|
|
6.606%
|
|
1/28/13
|
|
Ba1
|
|
|
1,934,144
|
|
|
998
|
|
|
Canwest Media L.P., Term Loan
|
|
7.541%
|
|
7/10/15
|
|
Ba1
|
|
|
987,525
|
|
|
5,975
|
|
|
Cequel Communications LLC., Term Loan B
|
|
7.268%
|
|
11/05/13
|
|
BB-
|
|
|
5,798,725
|
|
|
3,000
|
|
|
Charter
Communications Operating, LLC, Holdco Term Loan
|
|
7.698%
|
|
3/06/14
|
|
B1
|
|
|
2,885,157
|
|
|
7,800
|
|
|
Charter Communications Operating, LLC, Term Loan
|
|
6.990%
|
|
3/06/14
|
|
B+
|
|
|
7,508,799
|
|
|
4,099
|
|
|
Clear Channel Entertainment, Term Loan B
|
|
7.950%
|
|
6/20/13
|
|
Ba3
|
|
|
4,037,851
|
|
|
984
|
|
|
Cumulus Media Inc, Term Loan
|
|
7.002%
|
|
6/11/14
|
|
Ba3
|
|
|
972,718
|
|
|
2,000
|
|
|
HIT Entertainment Inc., Second Lien Term Loan
|
|
10.860%
|
|
2/26/13
|
|
B-
|
|
|
1,910,000
|
|
|
3,920
|
|
|
HIT Entertainment Inc., Term Loan B
|
|
7.170%
|
|
3/20/12
|
|
Ba3
|
|
|
3,846,547
|
|
|
4,963
|
|
|
Idearc Inc., Term Loan
|
|
7.200%
|
|
11/17/14
|
|
BBB-
|
|
|
4,900,211
|
|
|
2,985
|
|
|
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
|
|
8.448%
|
|
4/08/12
|
|
N/R
|
|
|
2,869,331
|
|
|
3,935
|
|
|
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
|
|
8.448%
|
|
4/08/12
|
|
N/R
|
|
|
3,782,567
|
|
|
11,902
|
|
|
Nielsen
Finance LLC, Term Loan B, DD1
|
|
TBD
|
|
TBD
|
|
Ba3
|
|
|
11,606,554
|
|
|
3,000
|
|
|
NextMedia Operating Inc., Second Lien Term Loan
|
|
9.360%
|
|
11/15/12
|
|
CCC+
|
|
|
2,865,000
|
|
|
3,000
|
|
|
Philadelphia Newspapers, Mezzanine Term Loan
|
|
16.500%
|
|
6/29/12
|
|
N/R
|
|
|
2,610,000
|
|
|
1,912
|
|
|
ProQuest Company, Term Loan B
|
|
8.170%
|
|
2/09/14
|
|
N/R
|
|
|
1,892,550
|
|
|
3,871
|
|
|
Regal Cinemas Corporation, Term Loan
|
|
6.698%
|
|
10/27/13
|
|
Ba2
|
|
|
3,790,999
|
|
|
3,733
|
|
|
Tribune Company, Term Loan
|
|
7.744%
|
|
6/04/09
|
|
BB
|
|
|
3,695,709
|
|
|
14,963
|
|
|
Tribune Company, Term Loan
|
|
8.244%
|
|
6/04/14
|
|
BB
|
|
|
13,930,088
|
|
|
906
|
|
|
Univision
Communications, Term Loan, (6) (7)
|
|
3.668%
|
|
9/29/14
|
|
B+
|
|
|
(25,482
|
)
|
|
2,000
|
|
|
Univision Communications, Second Lien Term Loan
|
|
7.253%
|
|
3/29/09
|
|
B3
|
|
|
1,987,500
|
|
|
14,497
|
|
|
Univision Communications, Term Loan
|
|
7.210%
|
|
9/29/14
|
|
Ba3
|
|
|
13,762,752
|
|
|
427
|
|
|
Valassis
Communications, Inc., Delayed Draw Term Loan, (6) (7)
|
|
1.000%
|
|
3/02/14
|
|
BB
|
|
|
(20,000
|
)
|
|
1,432
|
|
|
Valassis Communications, Inc., Term Loan
|
|
6.950%
|
|
3/02/14
|
|
BB
|
|
|
1,365,002
|
|
|
4,810
|
|
|
WMG Acquisition Corp., Term Loan
|
|
7.419%
|
|
2/28/11
|
|
Ba2
|
|
|
4,707,331
|
|
|
4,025
|
|
|
Yell Group, Term Loan
|
|
6.753%
|
|
10/27/12
|
|
N/R
|
|
|
3,978,777
|
|
|
|
113,102
|
|
|
Total Media
|
|
|
|
|
|
|
|
|
107,580,355
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 1.6% (0.9% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,528
|
|
|
Amsted Industries Incorporated, Delayed Draw Term Loan
|
|
7.266%
|
|
4/08/13
|
|
BB
|
|
|
2,474,174
|
|
|
3,478
|
|
|
Amsted Industries Incorporated, Term Loan B
|
|
7.279%
|
|
4/08/13
|
|
BB
|
|
|
3,423,457
|
|
|
|
6,006
|
|
|
Total Metals & Mining
|
|
|
|
|
|
|
|
|
5,897,631
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 1.9% (1.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,000
|
|
|
Callon Petroleum, Term Loan
|
|
12.000%
|
|
6/30/14
|
|
N/R
|
|
|
4,045,000
|
|
|
301
|
|
|
Coffeyville Resources LLC, Letter of Credit
|
|
8.481%
|
|
12/28/10
|
|
B-
|
|
|
298,813
|
|
|
980
|
|
|
Coffeyville Resources LLC., Term Loan D
|
|
8.481%
|
|
12/28/13
|
|
B-
|
|
|
974,533
|
|
|
2,000
|
|
|
El Paso Corporation, Letter of Credit
|
|
6.438%
|
|
7/31/11
|
|
Ba1
|
|
|
1,976,250
|
|
|
|
7,281
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
|
7,294,596
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 3.6% (2.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,860
|
|
|
Georgia-Pacific Corporation, Term Loan B
|
|
7.383%
|
|
12/20/12
|
|
BB+
|
|
|
7,686,659
|
|
|
3,093
|
|
|
Georgia-Pacific Corporation, Term Loan B-2
|
|
7.372%
|
|
12/20/12
|
|
BB+
|
|
|
3,025,228
|
|
|
2,877
|
|
|
Ply Gem Industries Inc., Delayed Term Loan
|
|
7.950%
|
|
8/15/11
|
|
BB-
|
|
|
2,709,140
|
|
|
108
|
|
|
Ply Gem Industries Inc., Canadian Term Loan
|
|
7.950%
|
|
8/15/11
|
|
BB-
|
|
|
101,233
|
|
|
|
13,938
|
|
|
Total Paper & Forest Products
|
|
|
|
|
|
|
|
|
13,522,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trust 0.2% (0.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
993
|
|
|
Landsource Community Development, Term Loan
|
|
8.249%
|
|
2/27/13
|
|
N/R
|
|
|
884,388
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 4.9% (3.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,563
|
|
|
Capital Automotive LP., Term Loan
|
|
6.880%
|
|
12/15/10
|
|
BB+
|
|
|
4,515,178
|
|
|
9,500
|
|
|
LNR Property Corporation, Term Loan B
|
|
8.110%
|
|
7/12/11
|
|
BB
|
|
|
9,286,250
|
|
|
5,000
|
|
|
Realogy
Corporation, Term Loan, WI/DD
|
|
TBD
|
|
TBD
|
|
BB
|
|
|
4,660,000
|
|
|
|
19,063
|
|
|
Total Real Estate Management & Development
|
|
|
|
|
|
|
|
|
18,461,428
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 4.9% (3.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
444
|
|
|
Hertz LC Facility
|
|
5.238%
|
|
12/21/12
|
|
BB+
|
|
|
438,353
|
|
|
2,470
|
|
|
Hertz Term Loan
|
|
6.871%
|
|
12/21/12
|
|
BB+
|
|
|
2,436,414
|
|
|
17,674
|
|
|
Swift Transportation, Term Loan
|
|
8.375%
|
|
5/10/14
|
|
BB-
|
|
|
15,619,767
|
|
|
|
20,588
|
|
|
Total Road & Rail
|
|
|
|
|
|
|
|
|
18,494,534
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors
& Equipment 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,985
|
|
|
Freescale Semiconductor, Term Loan
|
|
7.330%
|
|
11/29/13
|
|
Baa3
|
|
|
1,909,703
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 2.7% (1.7% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,546
|
|
|
Dealer Computer Service, Term Loan
|
|
7.198%
|
|
10/26/12
|
|
BB
|
|
|
6,404,028
|
|
|
4,000
|
|
|
Dealer Computer Service, Second Lien Term Loan
|
|
10.698%
|
|
10/26/13
|
|
B
|
|
|
4,010,000
|
|
|
|
10,546
|
|
|
Total Software
|
|
|
|
|
|
|
|
|
10,414,028
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 6.5% (3.9% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
511
|
|
|
Blockbuster, Inc., Term Loan A
|
|
9.374%
|
|
8/20/09
|
|
B
|
|
|
509,841
|
|
|
2,028
|
|
|
Blockbuster, Inc., Term Loan B
|
|
9.623%
|
|
8/20/11
|
|
B
|
|
|
2,020,757
|
|
|
970
|
|
|
Burlington Coat Factory Warehouse Corporation, Term Loan
|
|
7.760%
|
|
5/28/11
|
|
B2
|
|
|
912,138
|
|
|
2,853
|
|
|
FGX International Inc., Term Loan B
|
|
9.650%
|
|
12/09/12
|
|
B+
|
|
|
2,767,397
|
|
|
6,803
|
|
|
Michaels Stores Inc., Term Loan
|
|
7.619%
|
|
10/31/13
|
|
B
|
|
|
6,532,228
|
|
|
1,980
|
|
|
Sally Holdings LLC, Term Loan
|
|
8.006%
|
|
11/16/13
|
|
BB-
|
|
|
1,945,350
|
|
|
7,000
|
|
|
TRU 2005 RE Holding CO I, LLC, Term Loan
|
|
8.129%
|
|
12/08/08
|
|
B3
|
|
|
6,935,835
|
|
|
3,000
|
|
|
Toys
R Us, Delaware Inc., Term Loan B
|
|
9.760%
|
|
7/19/12
|
|
BB-
|
|
|
3,015,624
|
|
|
|
25,145
|
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
|
24,639,170
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 1.8% (1.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,745
|
|
|
HanesBrands Inc., Term Loan
|
|
6.743%
|
|
9/05/13
|
|
BB
|
|
|
1,725,695
|
|
|
1,000
|
|
|
HanesBrands Inc., Second Lien Term Loan
|
|
8.815%
|
|
3/05/14
|
|
BB
|
|
|
1,006,874
|
|
|
3,950
|
|
|
Visant Holding Corporation, Term Loan C
|
|
7.198%
|
|
7/29/10
|
|
Ba1
|
|
|
3,922,652
|
|
|
|
6,695
|
|
|
Total Textiles, Apparel & Luxury Goods
|
|
|
|
|
|
|
|
|
6,655,221
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading
Companies & Distributors 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,980
|
|
|
Ashtead Group Public Limited Company, Term Loan
|
|
7.125%
|
|
8/31/11
|
|
BB+
|
|
|
1,945,348
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 1.8% (1.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,000
|
|
|
Asurion Corporation, Term Loan
|
|
8.360%
|
|
7/03/14
|
|
N/R
|
|
|
6,857,812
|
|
|
$
|
560,113
|
|
|
Total
Variable Rate Senior Loan Interests (cost $551,640,432)
|
|
|
|
|
|
|
|
|
537,328,424
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
|
Description (1)
|
|
Coupon
|
|
Maturity
|
|
Ratings (3)
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds 15.7% (9.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 3.2% (2.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,500
|
|
|
Intelsat Bermuda Limited, Floating Rate Note, 3.500% plus six-month LIBOR
|
|
8.306%
|
|
1/15/15
|
|
B
|
|
$
|
1,530,000
|
|
|
10,000
|
|
|
Qwest Corporation, Floating Rate Note, 3.250% plus three-month LIBOR
|
|
8.144%
|
|
6/15/13
|
|
BBB-
|
|
|
10,712,500
|
|
|
|
11,500
|
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
|
12,242,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 0.4% (0.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,500
|
|
|
Reable Therapeutics Financing Corporation
|
|
11.750%
|
|
11/15/14
|
|
CCC+
|
|
|
1,458,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,000
|
|
|
Community Health Systems, Inc.
|
|
8.875%
|
|
7/15/15
|
|
B-
|
|
|
3,052,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 1.0% (0.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,000
|
|
|
Quapaw Tribe of Oklahoma Downstream Development Authority
|
|
12.000%
|
|
10/15/15
|
|
B-
|
|
|
3,880,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 4.1% (2.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,000
|
|
|
Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month
|
|
9.306%
|
|
4/01/09
|
|
B+
|
|
|
15,487,500
|
|
|
LIBOR, 144A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,000
|
|
|
Verso Paper Holdings LLC., Series B
|
|
9.125%
|
|
8/01/14
|
|
B+
|
|
|
2,075,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trust 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,000
|
|
|
Felcor Lodging LP, Floating Rate Note, 1.875% plus six-month LIBOR
|
|
6.681%
|
|
12/01/11
|
|
Ba3
|
|
|
3,015,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Equipment 4.1% (2.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000
|
|
|
Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus
|
|
10.394%
|
|
6/01/13
|
|
B
|
|
|
5,125,000
|
|
|
three-month LIBOR
|
|
|
|
|
|
|
|
|
|
|
|
11,000
|
|
|
NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR
|
|
7.644%
|
|
10/15/13
|
|
BB
|
|
|
10,463,750
|
|
|
|
16,000
|
|
|
Total Semiconductors & Equipment
|
|
|
|
|
|
|
|
|
15,588,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 0.3% (0.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000
|
|
|
Telcordia Technologies, Floating Rate Note, 3.75% plus three-month LIBOR, 144A
|
|
8.644%
|
|
7/15/12
|
|
B
|
|
|
930,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Cos & Distributors 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,000
|
|
|
Penhall International Corporation
|
|
12.000%
|
|
8/01/14
|
|
B-
|
|
|
2,055,000
|
|
|
$
|
59,000
|
|
|
Total
Corporate Bonds (cost $59,155,970)
|
|
|
|
|
|
|
|
|
59,785,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants 0.1% (0.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,182
|
|
|
Reliant Energy Inc., Warrant Class A
|
|
|
|
|
|
|
|
$
|
555,058
|
|
|
|
Total Warrants (cost $184,678)
|
|
|
|
|
|
|
|
|
555,058
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
|
Description (1)
|
|
Coupon
|
|
Maturity
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 7.0% (4.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
26,611
|
|
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/31/07,
|
|
4.300%
|
|
11/01/07
|
|
|
|
$
|
26,611,357
|
|
|
repurchase price $26,614,536, collateralized by $26,500,000 U.S. Treasury
Notes, 4.875%, due 5/31/08, value $27,147,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (cost $26,611,357)
|
|
|
|
|
|
|
|
|
26,611,357
|
|
|
|
|
Total
Investments (cost $637,592,437) 164.2%
|
|
|
|
|
|
|
|
|
624,279,839
|
|
|
|
|
Other Assets Less Liabilities (1.1)%
|
|
|
|
|
|
|
|
|
(4,148,799
|
)
|
|
|
|
Preferred Shares, at Liquidation Value (63.1)%
|
|
|
|
|
|
|
|
|
(240,000,000
|
)
|
|
|
|
Net Assets Applicable to Common Shares 100%
|
|
|
|
|
|
|
|
$
|
380,131,040
|
|
|
|
|
|
|
(1)
|
|
All percentages shown in the Portfolio of Investments are based on net assets
applicable to Common shares unless otherwise noted.
|
|
|
|
(2)
|
|
Senior Loans generally are subject to mandatory and/or optional prepayment.
Because of these mandatory prepayment conditions and because there may be
significant economic incentives for a Borrower to prepay, prepayments of
Senior Loans may occur. As a result, the actual remaining maturity of Senior
Loans held may be substantially less than the stated maturities shown.
|
|
|
|
(3)
|
|
Ratings: Using the higher of Standard & Poors Group (Standard & Poors) or
Moodys Investor Service, Inc. (Moodys) rating. Ratings below BBB by
Standard & Poors or Baa by Moodys are considered to be below investment
grade.
|
|
|
|
(4)
|
|
Senior Loans in which the Fund invests generally pay interest at rates which
are periodically adjusted by reference to a base short-term, floating lending
rate plus an assigned fixed rate. These floating lending rates are generally
(i) the lending rate referenced by the London Inter-Bank Offered Rate
(LIBOR), or (ii) the prime rate offered by one or more major United States
banks.
|
|
|
|
|
|
Senior Loans may be considered restricted in that the Fund ordinarily is
contractually obligated to receive approval from the Agent Bank and/or
Borrower prior to the disposition of a Senior Loan.
|
|
|
|
(5)
|
|
At or subsequent to October 31, 2007, this issue was under the protection of
the Federal Bankruptcy Court.
|
|
|
|
(6)
|
|
Position
or portion of position represents an unfunded Senior Loan commitment outstanding
at October 31, 2007. At October 31, 2007, the Fund had unfunded
Senior Loan commitments of $6,519,190.
|
|
|
|
(7)
|
|
Negative
value represents unrealized depreciation on Senior Loan commitment at
October 31, 2007.
|
|
|
|
N/R
|
|
Not rated.
|
|
|
|
DD1
|
|
Portion
of investment purchased on a delayed delivery basis.
|
|
|
|
144A
|
|
Investment is exempt from registration under Rule 144A of the Securities Act
of 1933, as amended. These investments may only be resold in transactions
exempt from registration which are normally those transactions with qualified
institutional buyers.
|
|
|
|
TBD
|
|
Senior Loan purchased on a when-issued or delayed-delivery basis. Certain
details associated with this purchase are not known prior to the settlement
date of the transaction. In addition, Senior Loans typically trade without
accrued interest and therefore a weighted average coupon rate is not available
prior to settlement. At settlement, if still unknown, the Borrower or
counterparty will provide the Fund with the final weighted average coupon rate
and maturity date.
|
|
|
|
WI/DD
|
|
Purchased on a when-issued or delayed delivery basis.
|
|
|
|
Income Tax Information
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses, timing differences in recognizing
certain gains and losses on investment transactions and recognition
of premium amortization.
At
October 31, 2007, the cost of investments was $638,192,879.
Gross unrealized appreciation and gross unrealized depreciation of investments
at October 31, 2007, were as follows:
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized:
|
|
|
|
|
Appreciation
|
|
$
|
1,877,956
|
|
Depreciation
|
|
|
(15,790,996
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation (depreciation) of investments
|
|
$
|
(13,913,040
|
)
|
|
|
|
|
|
|
Item 2. Controls and Procedures.
|
a.
|
|
The registrants principal executive and principal financial officers, or persons
performing similar functions, have concluded that the registrants disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the
1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of
this report that includes the disclosure required by this paragraph, based on their evaluation of
the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or
240.15d-15(b)).
|
|
|
b.
|
|
There were no changes in the registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the
registrants last fiscal quarter that have materially affected, or are reasonably likely to
materially affect, the registrants internal control over financial reporting.
|
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act
(17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
(Registrant)
Nuveen
Floating Rate Income Opportunity Fund
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
/s/
Kevin J. McCarthy
|
|
|
Kevin J. McCarthy
|
|
|
Vice President and Secretary
|
|
|
Date
December 28, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
/s/ Gifford R. Zimmerman
|
|
|
Gifford R. Zimmerman
|
|
|
Chief Administrative Officer
(principal executive officer)
|
|
|
Date
December 28, 2007
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
/s/ Stephen D. Foy
|
|
|
Stephen D. Foy
|
|
|
Vice President and Controller (principal financial officer)
|
|
|
Date
December 28, 2007
|
|
|
*
|
|
Print the name and title of each signing officer under his or her signature.
|
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