Principal
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
Description (1)
|
|
Coupon
|
|
Maturity (2)
|
|
Ratings (3)
|
|
Value
|
|
|
|
Variable Rate Senior Loan Interests 115.4% (78.8% of Total Investments) (4)
|
|
|
|
|
|
|
|
Aerospace & Defense 0.2% (0.1% of Total Investments)
|
|
|
|
|
|
$
|
407
|
|
DAE Aviation Holdings, Inc., Term Loan B1
|
|
7.250%
|
|
7/31/14
|
|
B
|
|
$
|
407,018
|
|
389
|
|
DAE Aviation Holdings, Inc., Term Loan B2
|
|
7.250%
|
|
7/31/14
|
|
B
|
|
388,544
|
|
796
|
|
Total Aerospace & Defense
|
|
|
|
|
|
|
|
795,562
|
|
|
|
Airlines 3.0% (2.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
8,000
|
|
Delta Air Lines Inc., Term Loan B1, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba2
|
|
7,980,000
|
|
3,000
|
|
Delta Air Lines Inc., Term Loan B2, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba2
|
|
2,987,499
|
|
1,053
|
|
United Air Lines, Inc., Term Loan B
|
|
2.250%
|
|
2/01/14
|
|
BB-
|
|
1,044,949
|
|
12,053
|
|
Total Airlines
|
|
|
|
|
|
|
|
12,012,448
|
|
|
|
Asset Backed Securities 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
2,000
|
|
Oak Hill Credit Partners IV Limited, Collatrealized Loan Obligation Series 2012-6A
|
|
5.317%
|
|
11/20/23
|
|
BB
|
|
1,847,172
|
|
|
|
Auto Components 3.0% (2.0% of Total Investments)
|
|
|
|
|
|
8,227
|
|
Federal-Mogul Corporation, Tranche B, Term Loan
|
|
2.148%
|
|
12/29/14
|
|
B1
|
|
7,756,319
|
|
4,198
|
|
Federal-Mogul Corporation, Tranche C, Term Loan
|
|
2.148%
|
|
12/28/15
|
|
B1
|
|
3,958,083
|
|
12,425
|
|
Total Auto Components
|
|
|
|
|
|
|
|
11,714,402
|
|
|
|
Biotechnology 2.9% (2.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,068
|
|
Alkermes, Inc., 2019 Term Loan
|
|
4.500%
|
|
9/25/19
|
|
BB
|
|
1,076,267
|
|
2,000
|
|
Explorer Holdings, Inc., Term Loan, First Lien
|
|
8.000%
|
|
5/02/18
|
|
B+
|
|
2,003,750
|
|
3,547
|
|
Grifols, Inc., Term Loan
|
|
4.500%
|
|
6/01/17
|
|
BB
|
|
3,589,800
|
|
4,937
|
|
Onex Carestream Finance LP, Term Loan
|
|
5.000%
|
|
2/25/17
|
|
BB-
|
|
4,893,969
|
|
11,552
|
|
Total Biotechnology
|
|
|
|
|
|
|
|
11,563,786
|
|
|
|
Building Products 1.0% (0.6% of Total Investments)
|
|
|
|
|
|
1,816
|
|
Goodman Global Holdings, Term Loan B
|
|
5.750%
|
|
10/28/16
|
|
B+
|
|
1,823,850
|
|
1,909
|
|
Goodman Global Inc., Second Lien, Term Loan
|
|
9.000%
|
|
10/28/17
|
|
B-
|
|
1,932,000
|
|
3,725
|
|
Total Building Products
|
|
|
|
|
|
|
|
3,755,850
|
|
|
|
Capital Markets 1.4% (1.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,700
|
|
American Capital Limited Senior Loan
|
|
5.500%
|
|
8/15/16
|
|
BB
|
|
1,712,750
|
|
290
|
|
BNY Convergex Group LLC, Incremental Term Loan
|
|
5.250%
|
|
12/19/16
|
|
B+
|
|
283,509
|
|
663
|
|
BNY Convergex Group LLC, Term Loan
|
|
5.250%
|
|
12/19/16
|
|
B+
|
|
647,087
|
|
2,888
|
|
Citco III Limited, Term Loan
|
|
5.500%
|
|
6/29/18
|
|
N/A
|
|
2,915,517
|
|
5,541
|
|
Total Capital Markets
|
|
|
|
|
|
|
|
5,558,863
|
|
|
|
Chemicals 0.9% (0.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
245
|
|
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
|
4.000%
|
|
5/05/15
|
|
Ba3
|
|
243,897
|
|
105
|
|
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
|
4.125%
|
|
5/05/15
|
|
Ba3
|
|
104,728
|
|
2,090
|
|
Ineos US Finance LLC, Term Loan B
|
|
6.500%
|
|
5/04/18
|
|
B+
|
|
2,121,705
|
|
957
|
|
Styron S.a.r.l. Corporation,Term Loan
|
|
8.000%
|
|
8/02/17
|
|
B+
|
|
915,611
|
|
3,397
|
|
Total Chemicals
|
|
|
|
|
|
|
|
3,385,941
|
|
|
|
Commercial Services & Supplies 1.9% (1.3% of Total Investments)
|
|
|
|
|
|
2,500
|
|
Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien, WI/DD
|
|
TBD
|
|
TBD
|
|
B
|
|
2,491,667
|
|
1,500
|
|
Brand Energy & Infrastructure Services, Inc., Term Loan B, Second Lien, WI/DD
|
|
TBD
|
|
TBD
|
|
CCC+
|
|
1,485,000
|
|
2,321
|
|
Ceridian Corporation, Extended Term Loan
|
|
5.964%
|
|
5/09/17
|
|
B1
|
|
2,316,342
|
|
995
|
|
Houghton Mifflin, Term Loan
|
|
7.250%
|
|
5/22/18
|
|
N/R
|
|
1,012,412
|
|
7,316
|
|
Total Commercial Services & Supplies
|
|
|
|
|
|
|
|
7,305,421
|
|
|
|
Communications Equipment 2.8% (1.9% of Total Investments)
|
|
|
|
|
|
7,292
|
|
Avaya, Inc., Term Loan
|
|
3.177%
|
|
10/27/14
|
|
B1
|
|
7,115,615
|
|
2,500
|
|
CompuCom Systems, Inc., Term Loan, Second Lien
|
|
10.250%
|
|
10/04/19
|
|
B-
|
|
2,475,000
|
|
1,244
|
|
Genesys International Corporation, Term Loan B
|
|
6.750%
|
|
1/31/19
|
|
BB-
|
|
1,263,184
|
|
11,036
|
|
Total Communications Equipment
|
|
|
|
|
|
|
|
10,853,799
|
|
|
|
Consumer Finance 2.3% (1.6% of Total Investments)
|
|
|
|
|
|
1,000
|
|
Jackson Hewitt Tax Service, Inc., Term Loan
|
|
10.000%
|
|
10/16/17
|
|
N/R
|
|
965,000
|
|
2,000
|
|
Residential Capital Corp, Term Loan A1
|
|
5.000%
|
|
11/18/13
|
|
Ba1
|
|
2,008,750
|
|
1,000
|
|
Residential Capital Corp, Term Loan A2
|
|
6.750%
|
|
11/18/13
|
|
BB
|
|
1,013,750
|
|
3,484
|
|
Royalty Pharma Finance Trust, Incremental Term Loan
|
|
4.000%
|
|
11/09/18
|
|
Baa2
|
|
3,508,576
|
|
1,750
|
|
Springleaf Financial Funding Company, Term Loan
|
|
5.500%
|
|
5/10/17
|
|
B3
|
|
1,728,125
|
|
9,234
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
9,224,201
|
|
|
|
Diversified Consumer Services 2.2% (1.5% of Total Investments)
|
|
|
|
|
|
3,136
|
|
Brickman Group Holdings, Inc., Tranche B1, Term Loan
|
|
5.500%
|
|
10/14/16
|
|
B+
|
|
3,182,680
|
|
1,900
|
|
Cengage Learning Acquisitions, Inc., Term Loan
|
|
2.470%
|
|
7/03/14
|
|
B
|
|
1,816,875
|
|
3,861
|
|
Laureate Education, Inc., Extended Term Loan
|
|
5.250%
|
|
6/15/18
|
|
B1
|
|
3,851,542
|
|
8,897
|
|
Total Diversified Consumer Services
|
|
|
|
|
|
|
|
8,851,097
|
|
|
|
Diversified Financial Services 2.0% (1.4% of Total Investments)
|
|
|
|
|
|
2,000
|
|
ADS Waste Holdings Inc., Term Loan B
|
|
5.250%
|
|
10/09/19
|
|
B1
|
|
2,021,042
|
|
1,746
|
|
Ferrara Candy Company, Term Loan B
|
|
7.509%
|
|
6/18/18
|
|
B
|
|
1,769,627
|
|
3,990
|
|
Sheridan Holdings, Inc., Term Loan, First Lien
|
|
6.000%
|
|
7/01/18
|
|
B+
|
|
4,027,406
|
|
7,736
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
7,818,075
|
|
|
|
Diversified Telecommunication Services 2.4% (1.7% of Total Investments)
|
|
|
|
|
|
3,000
|
|
Charter Communications Operating Holdings LLC, Holdco Term Loan
|
|
2.712%
|
|
3/06/14
|
|
BB+
|
|
3,003,282
|
|
1,000
|
|
Intelsat Jackson Holdings, Ltd., Term Loan B1
|
|
4.500%
|
|
4/02/18
|
|
B1
|
|
1,008,839
|
|
2,000
|
|
Intelsat, Unsecured Term Loan
|
|
2.711%
|
|
2/01/14
|
|
B
|
|
1,988,126
|
|
3,500
|
|
Level 3 Financing, Inc., Term Loan, Tranche B
|
|
5.250%
|
|
8/01/19
|
|
Ba2
|
|
3,543,204
|
|
9,500
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
9,543,451
|
|
|
|
Electric Utilities 0.3% (0.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,022
|
|
TXU Corporation, 2014 Term Loan
|
|
3.749%
|
|
10/10/14
|
|
B2
|
|
1,366,166
|
|
|
|
Electronic Equipment & Instruments 0.7% (0.5% of Total Investments)
|
|
|
|
|
|
3,465
|
|
Smart Modular Technologies, Inc., Term Loan
|
|
8.250%
|
|
8/26/17
|
|
B+
|
|
2,806,650
|
|
|
|
Energy Equipment & Services 0.4% (0.3% of Total Investments)
|
|
|
|
|
|
1,500
|
|
Pinnacle Holdco S.A.R.L., Term Loan, First Lien
|
|
6.500%
|
|
7/24/19
|
|
B+
|
|
1,502,344
|
|
|
|
Food & Staples Retailing 2.2% (1.5% of Total Investments)
|
|
|
|
|
|
1,350
|
|
BJ Wholesale Club, Inc., Term Loan, First Lien
|
|
5.750%
|
|
9/26/19
|
|
B
|
|
1,366,172
|
|
500
|
|
BJs Wholesale Club Inc., Second Lien Term Loan
|
|
9.750%
|
|
3/26/20
|
|
CCC+
|
|
511,625
|
|
1,800
|
|
Wendys/Arbys Restaurants, Inc., Term Loan B
|
|
4.750%
|
|
5/15/19
|
|
BB-
|
|
1,818,938
|
|
5,000
|
|
Wilton Products, Inc., Tranche B, Term Loan
|
|
7.500%
|
|
8/30/18
|
|
B1
|
|
5,053,125
|
|
8,650
|
|
Total Food & Staples Retailing
|
|
|
|
|
|
|
|
8,749,860
|
|
|
|
Food Products 3.9% (2.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
3,000
|
|
AdvancePierre Foods, Inc., Term Loan, First Lien
|
|
5.750%
|
|
7/10/17
|
|
B1
|
|
3,028,749
|
|
900
|
|
AdvancePierre Foods, Inc., Term Loan, Second Lien
|
|
9.500%
|
|
10/10/17
|
|
CCC+
|
|
913,875
|
|
11,470
|
|
U.S. Foodservice, Inc., Extended Term Loan
|
|
5.750%
|
|
3/31/17
|
|
B-
|
|
11,327,065
|
|
15,370
|
|
Total Food Products
|
|
|
|
|
|
|
|
15,269,689
|
|
|
|
Gas Utilities 0.7% (0.4% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,560
|
|
EquiPower Resources Holdings LLC, Term Loan, First Lien
|
|
6.500%
|
|
12/19/18
|
|
BB+
|
|
2,589,053
|
|
|
|
Health Care Equipment & Supplies 2.6% (1.8% of Total Investments)
|
|
|
|
|
|
6,948
|
|
Chiron Merger Sub, Inc., Term Loan
|
|
7.000%
|
|
5/04/18
|
|
Ba2
|
|
7,051,712
|
|
225
|
|
Fenwal, Inc., Delayed Term Loan
|
|
2.672%
|
|
2/28/14
|
|
B+
|
|
224,956
|
|
714
|
|
Fenwal, Inc., Term Loan
|
|
2.672%
|
|
2/28/14
|
|
B+
|
|
713,798
|
|
2,182
|
|
Hologic, Inc., Term Loan B
|
|
4.500%
|
|
8/01/19
|
|
BBB-
|
|
2,209,534
|
|
10,069
|
|
Total Health Care Equipment & Supplies
|
|
|
|
|
|
|
|
10,200,000
|
|
|
|
Health Care Providers & Services 8.3% (5.7% of Total Investments)
|
|
|
|
|
|
4,000
|
|
DaVita, Inc., New Term Loan B2, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba2
|
|
4,016,668
|
|
1,500
|
|
Genesis Healthcare LLC, Term Loan, DD1
|
|
10.000%
|
|
10/02/18
|
|
B
|
|
1,447,500
|
|
2,993
|
|
Gentiva Health Services, Inc., Term Loan B
|
|
6.500%
|
|
8/17/16
|
|
B1
|
|
2,956,719
|
|
7,750
|
|
Golden Living, Term Loan
|
|
5.000%
|
|
5/04/18
|
|
B+
|
|
7,483,141
|
|
997
|
|
Health Management Associates, Inc., Term Loan B
|
|
4.500%
|
|
11/16/18
|
|
BB-
|
|
1,007,737
|
|
2,217
|
|
Kindred Healthcare, Term Loan
|
|
5.250%
|
|
6/01/18
|
|
Ba3
|
|
2,190,544
|
|
1,397
|
|
LHP Operations Co. LLC, Term Loan B
|
|
9.000%
|
|
7/03/18
|
|
B
|
|
1,410,465
|
|
98
|
|
LifeCare Holdings, Inc., Term Loan Add On
|
|
8.093%
|
|
2/01/16
|
|
N/R
|
|
92,149
|
|
542
|
|
LifeCare, Term Loan
|
|
8.093%
|
|
2/01/16
|
|
N/R
|
|
510,872
|
|
1,602
|
|
MultiPlan, Inc., Term Loan B
|
|
4.750%
|
|
8/26/17
|
|
Ba3
|
|
1,610,892
|
|
3,000
|
|
National Mentor Holdings, Inc., Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
B+
|
|
3,008,751
|
|
4,197
|
|
Select Medical Corporation, Term Loan
|
|
5.500%
|
|
6/01/18
|
|
BB-
|
|
4,233,598
|
|
1,500
|
|
Sheridan Holdings, Inc., Term Loan, Second Lien
|
|
9.000%
|
|
7/01/19
|
|
B-
|
|
1,515,000
|
|
1,308
|
|
Skilled Healthcare Group, Inc., Term Loan
|
|
6.750%
|
|
4/09/16
|
|
B1
|
|
1,315,867
|
|
6
|
|
Vanguard Health Holding Company II LLC, Initial Term Loan
|
|
5.000%
|
|
1/29/16
|
|
Ba2
|
|
5,940
|
|
33,107
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
32,805,843
|
|
|
|
Health Care Technology 1.8% (1.2% of Total Investments)
|
|
|
|
|
|
4,774
|
|
Emdeon Business Services LLC, Term Loan B1
|
|
5.000%
|
|
11/02/18
|
|
BB-
|
|
4,829,454
|
|
350
|
|
Fenwal, Inc., Term Loan, Second Lien
|
|
5.672%
|
|
8/28/14
|
|
B
|
|
349,689
|
|
1,750
|
|
U.S. Renal Care, Inc., Term Loan, Second Lien
|
|
10.250%
|
|
12/02/19
|
|
CCC+
|
|
1,795,938
|
|
6,874
|
|
Total Health Care Technology
|
|
|
|
|
|
|
|
6,975,081
|
|
|
|
Hotels, Restaurants & Leisure 2.9% (2.0% of Total Investments)
|
|
|
|
|
|
2,933
|
|
24 Hour Fitness Worldwide, Inc., New Term Loan
|
|
7.500%
|
|
4/22/16
|
|
Ba3
|
|
2,967,323
|
|
3,276
|
|
Caesars Entertainment Operating Company, Inc., Term Loan B6
|
|
5.461%
|
|
1/28/18
|
|
B
|
|
2,950,725
|
|
1,439
|
|
CCM Merger, Inc. Term Loan
|
|
6.000%
|
|
3/01/17
|
|
B+
|
|
1,452,090
|
|
2,985
|
|
Landrys Restaraunts, Inc., Term Loan B
|
|
6.500%
|
|
4/24/18
|
|
B+
|
|
3,021,692
|
|
1,246
|
|
Shingle Springs Tribal Gaming Authority, Term Loan
|
|
10.500%
|
|
12/17/13
|
|
N/R
|
|
1,177,635
|
|
11,879
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
11,569,465
|
|
|
|
Independent Power Producers & Energy Traders 0.4% (0.3% of Total Investments)
|
|
|
|
|
|
1,500
|
|
Equipower Resources Holdings LLC, Term Loan, Second Lien
|
|
10.000%
|
|
6/19/19
|
|
BB
|
|
1,529,374
|
|
|
|
Industrial Conglomerates 0.6% (0.4% of Total Investments)
|
|
|
|
|
|
420
|
|
Evertec, Inc., Term Loan
|
|
5.500%
|
|
9/30/16
|
|
BB-
|
|
420,546
|
|
1,965
|
|
U.S. Foodservice, Inc., Term Loan, First Lien
|
|
5.750%
|
|
3/31/17
|
|
B-
|
|
1,940,499
|
|
2,385
|
|
Total Industrial Conglomerates
|
|
|
|
|
|
|
|
2,361,045
|
|
|
|
Insurance 0.6% (0.4% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,500
|
|
Vantage Drilling Company, Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
B-
|
|
2,427,082
|
|
|
|
Internet Software & Services 4.1% (2.8% of Total Investments)
|
|
|
|
|
|
2,236
|
|
Go Daddy Group Inc, First Lien Term Loan
|
|
5.500%
|
|
12/17/18
|
|
Ba3
|
|
2,230,019
|
|
745
|
|
Open Solutions, Inc., Term Loan B
|
|
2.435%
|
|
1/23/14
|
|
B+
|
|
720,040
|
|
2,000
|
|
Sabre, Inc., Incremental Term Loan
|
|
7.250%
|
|
12/29/17
|
|
B1
|
|
2,024,166
|
|
2,386
|
|
Sabre, Inc., Extended Term Loan, First Lien
|
|
5.962%
|
|
9/30/17
|
|
B1
|
|
2,376,263
|
|
2,000
|
|
San Juan Cable LLC, Term Loan, Second Lien
|
|
10.000%
|
|
6/09/18
|
|
CCC+
|
|
2,050,000
|
|
2,925
|
|
SSI Investments II, Ltd., New Term Loan
|
|
5.000%
|
|
5/26/17
|
|
Ba3
|
|
2,957,996
|
|
3,797
|
|
WebCom Group Inc., First Lien
|
|
11.000%
|
|
10/27/18
|
|
Ba3
|
|
3,801,412
|
|
16,089
|
|
Total Internet Software & Services
|
|
|
|
|
|
|
|
16,159,896
|
|
|
|
IT Services 4.1% (2.8% of Total Investments)
|
|
|
|
|
|
|
|
|
|
4,086
|
|
First Data Corporation, Extended Term Loan B
|
|
5.211%
|
|
3/24/17
|
|
B+
|
|
4,044,520
|
|
2,753
|
|
Frac Tech International LLC, Term Loan
|
|
8.500%
|
|
5/06/16
|
|
B+
|
|
2,487,191
|
|
750
|
|
Genpact International, Inc., Term Loan
|
|
4.250%
|
|
8/30/19
|
|
BB+
|
|
752,812
|
|
1,425
|
|
Sabre, Inc., New Extended Term Loan
|
|
5.962%
|
|
12/29/17
|
|
B1
|
|
1,419,653
|
|
1,602
|
|
VFH Parent LLC, Term Loan
|
|
7.500%
|
|
7/08/16
|
|
Ba1
|
|
1,615,802
|
|
923
|
|
Web.com, Term Loan, Second Lien
|
|
11.000%
|
|
10/27/18
|
|
B3
|
|
951,922
|
|
4,788
|
|
Zayo Group LLC, Term Loan B
|
|
5.250%
|
|
7/02/19
|
|
B1
|
|
4,823,910
|
|
16,327
|
|
Total IT Services
|
|
|
|
|
|
|
|
16,095,810
|
|
|
|
Leisure Equipment & Products 1.2% (0.8% of Total Investments)
|
|
|
|
|
|
3,150
|
|
Academy, Ltd., Term Loan
|
|
6.000%
|
|
8/03/18
|
|
B
|
|
3,159,551
|
|
1,681
|
|
BLB Management Services, Inc., Term Loan
|
|
8.500%
|
|
11/05/15
|
|
BB
|
|
1,694,039
|
|
4,831
|
|
Total Leisure Equipment & Products
|
|
|
|
|
|
|
|
4,853,590
|
|
|
|
Machinery 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,250
|
|
Navistar International Corporation, Term Loan B
|
|
7.000%
|
|
8/16/17
|
|
Ba2
|
|
1,260,156
|
|
1,787
|
|
Rexnord Corporation, Inc., Term Loan B Refinancing
|
|
4.500%
|
|
4/01/18
|
|
BB
|
|
1,801,015
|
|
3,037
|
|
Total Machinery
|
|
|
|
|
|
|
|
3,061,171
|
|
|
|
Media 9.3% (6.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,107
|
|
Atlantic Broadband Finance LLC, Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba3
|
|
1,119,763
|
|
3,884
|
|
Cengage Learning Inc., Term Loan B
|
|
5.720%
|
|
7/04/17
|
|
B
|
|
3,553,445
|
|
2,529
|
|
Cumulus Media, Inc., Term Loan, First Lien
|
|
5.750%
|
|
9/17/18
|
|
Ba2
|
|
2,547,336
|
|
3,000
|
|
Cumulus Media, Inc., Term Loan, Second Lien
|
|
7.500%
|
|
9/16/19
|
|
B2
|
|
3,045,750
|
|
1,000
|
|
FoxCo Acquisition Sub LLC, Initial Term Loan
|
|
5.500%
|
|
7/14/17
|
|
B+
|
|
1,015,000
|
|
2,000
|
|
Mediacom Broadband LLC, Tranche G, Term Loan
|
|
4.000%
|
|
1/20/20
|
|
Ba3
|
|
2,000,000
|
|
3,455
|
|
Radio One, Inc., Term Loan B, First Lien
|
|
7.500%
|
|
2/14/17
|
|
B+
|
|
3,481,287
|
|
2,513
|
|
Tribune Company, Term Loan B, (5)
|
|
0.000%
|
|
6/04/14
|
|
Ca
|
|
1,930,552
|
|
8,600
|
|
Univision Communications, Inc., Term Loan
|
|
4.462%
|
|
3/31/17
|
|
B+
|
|
8,439,061
|
|
2,143
|
|
UPC Broadband Holding BV, Term Loan, Tranche AB
|
|
4.750%
|
|
12/31/17
|
|
Ba3
|
|
2,158,928
|
|
6,584
|
|
WideOpenWest Finance LLC, Term Loan B, DD1
|
|
6.250%
|
|
7/12/18
|
|
B1
|
|
6,654,569
|
|
3,050
|
|
Yell Group PLC, Term Loan, (5)
|
|
4.459%
|
|
7/31/14
|
|
N/R
|
|
579,414
|
|
39,865
|
|
Total Media
|
|
|
|
|
|
|
|
36,525,105
|
|
|
|
Metals & Mining 1.0% (0.7% of Total Investments)
|
|
|
|
|
|
|
|
|
|
3,875
|
|
Fortescue Metals Group Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
BBB-
|
|
3,865,312
|
|
|
|
Multiline Retail 0.5% (0.4% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,128
|
|
99 Cents Only Stores, Term Loan B1
|
|
5.250%
|
|
1/11/19
|
|
B+
|
|
1,142,801
|
|
931
|
|
Bass Pro Group LLC, Term Loan B
|
|
5.250%
|
|
6/13/17
|
|
BB-
|
|
940,761
|
|
2,059
|
|
Total Multiline Retail
|
|
|
|
|
|
|
|
2,083,562
|
|
|
|
Oil, Gas & Consumable Fuels 4.6% (3.2% of Total Investments)
|
|
|
|
|
|
655
|
|
Alon USA Energy, Inc., Edgington Facility
|
|
4.500%
|
|
8/05/13
|
|
B+
|
|
651,684
|
|
5,236
|
|
Alon USA Energy, Inc., Paramount Facility
|
|
4.500%
|
|
8/05/13
|
|
B+
|
|
5,213,334
|
|
992
|
|
CCS Income Trust, Delayed Term Loan
|
|
3.212%
|
|
11/14/14
|
|
B
|
|
977,236
|
|
2,872
|
|
CCS Income Trust, Term Loan
|
|
3.212%
|
|
11/14/14
|
|
B1
|
|
2,828,184
|
|
1,461
|
|
Crestwood Holdings, Inc., Term Loan B
|
|
9.750%
|
|
3/26/18
|
|
CCC+
|
|
1,483,296
|
|
1,650
|
|
Everest Acquisition LLC Term Loan
|
|
0.425%
|
|
5/24/18
|
|
Ba3
|
|
1,664,953
|
|
748
|
|
Gibson Energy ULC, Term Loan B
|
|
4.750%
|
|
5/18/18
|
|
BB-
|
|
757,057
|
|
3,000
|
|
Plains Exploration and Production Company, Term Loan, WI/DD
|
|
TBD
|
|
TBD
|
|
Ba1
|
|
3,017,412
|
|
1,667
|
|
Samson Investment Company, Initial Term Loan, Second Lien
|
|
6.000%
|
|
9/25/18
|
|
B+
|
|
1,684,115
|
|
18,281
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
18,277,271
|
|
|
|
Paper & Forest Products 0.9% (0.6% of Total Investments)
|
|
|
|
|
|
3,642
|
|
Newark Group, Inc., DIP Term Loan
|
|
12.500%
|
|
3/31/14
|
|
Caa1
|
|
3,587,285
|
|
1,000
|
|
Bausch & Lomb, Inc., Delayed Draw, Term Loan
|
|
4.750%
|
|
9/30/15
|
|
B+
|
|
1,010,000
|
|
5,985
|
|
Bausch & Lomb, Inc., Term Loan B
|
|
5.250%
|
|
5/17/19
|
|
B+
|
|
6,059,812
|
|
2,168
|
|
ConvaTec Healthcare, Incremental Term Loan B
|
|
5.000%
|
|
12/22/16
|
|
Ba3
|
|
2,184,589
|
|
1,500
|
|
Generic Drug Holdings, Inc., Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
B+
|
|
1,508,750
|
|
3,125
|
|
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)
|
|
0.000%
|
|
5/03/13
|
|
N/R
|
|
93,750
|
|
180
|
|
Graceway Pharmaceuticals LLC, Term Loan, (5)
|
|
0.000%
|
|
5/03/12
|
|
N/R
|
|
209,106
|
|
2,292
|
|
Par Pharmaceutical Companies, Inc., Term Loan B
|
|
5.000%
|
|
9/28/19
|
|
B+
|
|
2,290,645
|
|
3,970
|
|
Pharmaceutical Product Development, Inc., Term Loan
|
|
6.250%
|
|
12/05/18
|
|
Ba3
|
|
4,023,349
|
|
3,950
|
|
Quintiles Transnational Corporation, Term Loan B
|
|
5.000%
|
|
6/08/18
|
|
BB-
|
|
3,982,588
|
|
3,142
|
|
Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan D
|
|
4.250%
|
|
2/13/19
|
|
BBB-
|
|
3,159,407
|
|
982
|
|
Warner Chilcott Company LLC, Term Loan B1 Additional
|
|
4.250%
|
|
3/15/18
|
|
BBB-
|
|
987,148
|
|
2,586
|
|
Warner Chilcott Corporation, Term Loan B1
|
|
4.250%
|
|
3/15/18
|
|
BBB-
|
|
2,599,406
|
|
1,293
|
|
Warner Chilcott Corporation, Term Loan B2
|
|
4.250%
|
|
3/15/18
|
|
BBB-
|
|
1,299,703
|
|
1,778
|
|
Warner Chilcott Corporation, Term Loan B3
|
|
4.250%
|
|
3/15/18
|
|
BBB-
|
|
1,787,092
|
|
1,667
|
|
Warner Chilcott Corporation, Term Loan B4
|
|
3.261%
|
|
8/15/17
|
|
BBB-
|
|
1,667,708
|
|
333
|
|
Warner Chilcott Corporation, Term Loan B5
|
|
3.261%
|
|
8/20/17
|
|
BBB-
|
|
333,542
|
|
35,951
|
|
Total Pharmaceuticals
|
|
|
|
|
|
|
|
33,196,595
|
|
|
|
Real Estate Investment Trust 1.4% (0.9% of Total Investments)
|
|
|
|
|
|
3,500
|
|
iStar Financial, Inc., Term Loan
|
|
5.750%
|
|
10/15/17
|
|
BB-
|
|
3,501,642
|
|
1,913
|
|
Walter Investment Management Corporation, Term Loan, First Lien
|
|
7.750%
|
|
6/30/16
|
|
B+
|
|
1,924,453
|
|
5,413
|
|
Total Real Estate Investment Trust
|
|
|
|
|
|
|
|
5,426,095
|
|
|
|
Real Estate Management & Development 3.3% (2.2% of Total Investments)
|
|
|
|
|
|
5,540
|
|
Capital Automotive LP, Tranche B
|
|
5.250%
|
|
3/11/17
|
|
Ba3
|
|
5,590,279
|
|
2,500
|
|
Homeward Residential Holdings, Inc., Initial Term Loan
|
|
8.250%
|
|
8/08/17
|
|
B+
|
|
2,517,188
|
|
1,268
|
|
LNR Property Corporation, Term Loan
|
|
4.750%
|
|
4/29/16
|
|
BB+
|
|
1,272,382
|
|
3,457
|
|
Realogy Corporation, Delayed Term Loan
|
|
4.464%
|
|
10/10/16
|
|
B+
|
|
3,454,794
|
|
12,765
|
|
Total Real Estate Management & Development
|
|
|
|
|
|
|
|
12,834,643
|
|
|
|
Road & Rail 1.3% (0.9% of Total Investments)
|
|
|
|
|
|
|
|
|
|
5,279
|
|
Swift Transportation Company, Inc., Term Loan, Tranche B2
|
|
5.000%
|
|
12/21/17
|
|
BB
|
|
5,322,103
|
|
|
|
Semiconductors & Equipment 1.0% (0.7% of Total Investments)
|
|
|
|
|
|
2,950
|
|
NXP Semiconductor LLC, Term Loan
|
|
4.500%
|
|
3/03/17
|
|
B-
|
|
2,996,771
|
|
973
|
|
Spansion LLC, Term Loan
|
|
4.750%
|
|
2/09/15
|
|
BB+
|
|
983,488
|
|
3,923
|
|
Total Semiconductors & Equipment
|
|
|
|
|
|
|
|
3,980,259
|
|
|
|
Software 10.5% (7.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
5,888
|
|
Attachmate Corporation, Term Loan, First Lien
|
|
7.250%
|
|
11/22/17
|
|
BB-
|
|
5,955,206
|
|
5,010
|
|
BlackBoard, Inc., Term Loan, First Lien
|
|
7.500%
|
|
10/04/18
|
|
B+
|
|
5,055,165
|
|
2,656
|
|
DataTel Inc., Term Loan B
|
|
6.250%
|
|
7/19/18
|
|
B+
|
|
2,696,934
|
|
1,000
|
|
Deltek, Inc., Term Loan, Second Lien
|
|
10.000%
|
|
10/10/19
|
|
CCC+
|
|
1,011,667
|
|
11,097
|
|
Infor Enterprise Applications, Term Loan B
|
|
5.250%
|
|
4/05/18
|
|
Ba3
|
|
11,230,698
|
|
3,380
|
|
IPC Systems, Inc., Term Loan, First Lien
|
|
7.750%
|
|
7/31/17
|
|
B-
|
|
3,261,276
|
|
4,000
|
|
IPC Systems, Inc., Term Loan, Second Lien
|
|
5.462%
|
|
6/01/15
|
|
CCC
|
|
3,460,000
|
|
4,750
|
|
Misys PLC, Term Loan, First Lien
|
|
7.250%
|
|
12/12/18
|
|
Ba3
|
|
4,770,781
|
|
3,503
|
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Funded Term Loan B1
|
|
5.000%
|
|
6/07/19
|
|
BB-
|
|
3,548,216
|
|
362
|
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Funded Term Loan B2
|
|
5.000%
|
|
6/07/19
|
|
BB-
|
|
366,490
|
|
41,646
|
|
Total Software
|
|
|
|
|
|
|
|
41,356,433
|
|
|
|
Specialty Retail 2.6% (1.8% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,375
|
|
Collective Brands Inc., Term Loan B
|
|
7.250%
|
|
10/09/19
|
|
B1
|
|
1,384,453
|
|
2,820
|
|
Jo-Ann Stores, Inc., Term Loan
|
|
4.750%
|
|
3/16/18
|
|
B+
|
|
2,824,713
|
|
496
|
|
Lord & Taylor Holdings LLC, Term Loan
|
|
5.750%
|
|
1/11/19
|
|
BB
|
|
500,113
|
|
2,313
|
|
Party City Corporation, Term Loan
|
|
5.750%
|
|
7/27/19
|
|
B1
|
|
2,337,648
|
|
1,437
|
|
Toys R Us - Delaware Inc., Term Loan
|
|
5.250%
|
|
5/17/18
|
|
B+
|
|
1,410,175
|
|
1,710
|
|
Toys R Us - Delaware Inc., Term Loan B
|
|
6.000%
|
|
9/01/16
|
|
B+
|
|
1,707,149
|
|
10,151
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
10,164,251
|
|
|
|
Textiles, Apparel & Luxury Goods 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
2,000
|
|
Wolverine World Wide, Inc., Term Loan B, WI/DD
|
|
TBD
|
|
TBD
|
|
BB
|
|
2,023,750
|
|
|
|
Wireless Telecommunication Services 3.7% (2.6% of Total Investments)
|
|
|
|
|
|
4,569
|
|
Asurion LLC, Term Loan, First Lien
|
|
5.500%
|
|
5/24/18
|
|
BB-
|
|
4,607,030
|
|
8,736
|
|
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1
|
|
3.862%
|
|
1/29/16
|
|
CCC+
|
|
7,258,036
|
|
2,000
|
|
IPC Systems, Inc., Term Loan, Tranche C, First Lien
|
|
7.750%
|
|
7/31/17
|
|
B1
|
|
1,966,250
|
|
934
|
|
Presidio, Inc., New Term Loan
|
|
5.750%
|
|
3/31/17
|
|
Ba3
|
|
936,670
|
|
16,239
|
|
Total Wireless Telecommunication Services
|
|
|
|
|
|
|
|
14,767,986
|
|
$
|
465,596
|
|
Total Variable Rate Senior Loan Interests (cost $452,518,565)
|
|
|
|
455,338,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
Description (1)
|
|
|
|
|
|
|
|
Value
|
|
|
|
Common Stocks 2.7% (1.8% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 1.1% (0.7% of Total Investments)
|
|
|
|
|
|
124,402
|
|
Masonite Worldwide Holdings, (6), (11)
|
|
|
|
|
|
|
|
$
|
4,416,271
|
|
|
|
Hotels, Restaurants & Leisure 0.1% (0.1% of Total Investments)
|
|
|
|
|
|
42,041
|
|
BLB Worldwide Holdings Inc., (6), (11)
|
|
|
|
|
|
|
|
578,064
|
|
|
|
Media 1.5% (1.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
182,499
|
|
Metro-Goldwyn-Mayer, (6), (11)
|
|
|
|
|
|
|
|
5,754,430
|
|
|
|
Total Common Stocks (cost $16,996,423)
|
|
|
|
|
|
|
|
10,748,765
|
|
|
|
Corporate Bonds 14.4% (9.8% of Total Investments)
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.1% (0.1% of Total Investments)
|
|
|
|
|
|
$
|
500
|
|
Ceridian Corporation
|
|
11.250%
|
|
11/15/15
|
|
CCC
|
|
$
|
487,500
|
|
|
|
Communications Equipment 1.0% (0.7% of Total Investments)
|
|
|
|
|
|
1,000
|
|
Avaya Inc.
|
|
10.125%
|
|
11/01/15
|
|
CCC+
|
|
887,500
|
|
1,750
|
|
Avaya Inc.
|
|
9.750%
|
|
11/01/15
|
|
CCC+
|
|
1,557,500
|
|
1,000
|
|
Nortel Networks Limited, (5)
|
|
9.003%
|
|
7/15/13
|
|
N/R
|
|
1,050,000
|
|
450
|
|
Nortel Networks Limited, (5)
|
|
10.750%
|
|
7/15/16
|
|
N/R
|
|
502,875
|
|
4,200
|
|
Total Communications Equipment
|
|
|
|
|
|
|
|
3,997,875
|
|
|
|
Distributors 0.3% (0.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,000
|
|
HD Supply Inc., 144A
|
|
8.125%
|
|
4/15/19
|
|
B+
|
|
1,100,000
|
|
|
|
Diversified Telecommunication Services 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
1,500
|
|
IntelSat Bermuda Limited
|
|
11.500%
|
|
2/04/17
|
|
CCC+
|
|
1,578,750
|
|
1,500
|
|
IntelSat Bermuda Limited
|
|
11.250%
|
|
2/04/17
|
|
CCC+
|
|
1,575,000
|
|
3,000
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
3,153,750
|
|
|
|
Health Care Equipment & Supplies 1.8% (1.2% of Total Investments)
|
|
|
|
|
|
2,450
|
|
Chiron Merger Sub Inc., 144A
|
|
10.500%
|
|
11/01/18
|
|
B
|
|
2,609,250
|
|
2,500
|
|
Merge Healthcare Inc.
|
|
11.750%
|
|
5/01/15
|
|
B+
|
|
2,681,250
|
|
1,750
|
|
Rotech Healthcare Inc.
|
|
10.750%
|
|
10/15/15
|
|
B3
|
|
1,706,250
|
|
6,700
|
|
Total Health Care Equipment & Supplies
|
|
|
|
|
|
|
|
6,996,750
|
|
|
|
Health Care Providers & Services 2.5% (1.7% of Total Investments)
|
|
|
|
|
|
2,000
|
|
Aurora Diagnostics Holdings LLC
|
|
10.750%
|
|
1/15/18
|
|
B3
|
|
2,020,000
|
|
2,750
|
|
HCA Inc., (7)
|
|
8.500%
|
|
4/15/19
|
|
BB+
|
|
3,090,313
|
|
1,000
|
|
LifeCare Holdings Inc.
|
|
9.250%
|
|
8/15/13
|
|
C
|
|
360,000
|
|
250
|
|
Rotech Healthcare Inc.
|
|
10.500%
|
|
3/15/18
|
|
CCC-
|
|
143,125
|
|
3,000
|
|
Select Medical Corporation
|
|
6.494%
|
|
9/15/15
|
|
B-
|
|
2,985,000
|
|
1,000
|
|
Wolverine Healthcare Analytics, 144A
|
|
10.625%
|
|
6/01/20
|
|
CCC+
|
|
1,072,500
|
|
10,000
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
9,670,938
|
|
|
|
Household Products 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
2,750
|
|
Sprectum Brands Inc.
|
|
9.500%
|
|
6/15/18
|
|
Ba3
|
|
3,086,875
|
|
|
|
IT Services 0.8% (0.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,000
|
|
First Data Corporation, 144A
|
|
7.375%
|
|
6/15/19
|
|
BB-
|
|
2,070,000
|
|
1,228
|
|
First Data Corporation
|
|
10.550%
|
|
9/24/15
|
|
B-
|
|
1,258,995
|
|
3,228
|
|
Total IT Services
|
|
|
|
|
|
|
|
3,328,995
|
|
|
|
Machinery 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,000
|
|
NES Rental Holdings Inc., 144A
|
|
12.250%
|
|
4/15/15
|
|
CCC+
|
|
2,005,000
|
|
|
|
Media 3.2% (2.2% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,000
|
|
Clear Channel Communications, Inc., 144A
|
|
9.000%
|
|
12/15/19
|
|
CCC+
|
|
1,800,000
|
|
5,500
|
|
Clear Channel Communications, Inc.
|
|
5.500%
|
|
9/15/14
|
|
CCC-
|
|
5,142,500
|
|
3,750
|
|
Clear Channel Communications, Inc.
|
|
10.750%
|
|
8/01/16
|
|
CCC-
|
|
2,775,000
|
|
3,600
|
|
Clear Channel Communications, Inc.
|
|
6.875%
|
|
6/15/18
|
|
CCC-
|
|
2,250,000
|
|
400
|
|
WMG Acquisition Group
|
|
11.500%
|
|
10/01/18
|
|
B-
|
|
451,000
|
|
15,250
|
|
Total Media
|
|
|
|
|
|
|
|
12,418,500
|
|
|
|
Metals & Mining 0.4% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
1,750
|
|
Molycorp Inc., 144A
|
|
10.000%
|
|
6/01/20
|
|
B3
|
|
1,684,375
|
|
|
|
Multiline Retail 0.1% (0.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
500
|
|
Number Merger Sub Inc., 144A
|
|
11.000%
|
|
12/15/19
|
|
Caa1
|
|
567,500
|
|
|
|
Pharmaceuticals 0.8% (0.6% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,000
|
|
Valeant Pharmaceuticals International, 144A
|
|
7.000%
|
|
10/01/20
|
|
BB-
|
|
2,152,500
|
|
1,000
|
|
Valeant Pharmaceuticals International, 144A
|
|
7.250%
|
|
7/15/22
|
|
BB-
|
|
1,082,500
|
|
3,000
|
|
Total Pharmaceuticals
|
|
|
|
|
|
|
|
3,235,000
|
|
|
|
Road & Rail 0.5% (0.3% of Total Investments)
|
|
|
|
|
|
|
|
|
|
2,000
|
|
Avis Budget Car Rental
|
|
2.967%
|
|
5/15/14
|
|
B+
|
|
1,997,500
|
|
|
|
Software 0.8% (0.5% of Total Investments)
|
|
|
|
|
|
|
|
|
|
850
|
|
Infor Us Inc.
|
|
11.500%
|
|
7/15/18
|
|
B-
|
|
983,875
|
|
1,875
|
|
Infor Us Inc.
|
|
9.375%
|
|
4/01/19
|
|
B-
|
|
2,071,875
|
|
2,725
|
|
Total Software
|
|
|
|
|
|
|
|
3,055,750
|
|
$
|
58,603
|
|
Total Corporate Bonds (cost $53,534,164)
|
|
|
|
|
|
|
|
56,786,308
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
Description (1)
|
|
Coupon
|
|
Maturity
|
|
Ratings (3)
|
|
Value
|
|
|
|
Asset-Backed Securities 6.3% (4.3% of Total Investments)
|
|
|
|
|
|
$
|
800
|
|
Bluemountain Collateralized Loan Obligation, Series 2012 2A E14, WI/DD
|
|
1.000%
|
|
11/20/24
|
|
N/R
|
|
$
|
721,760
|
|
2,500
|
|
BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A
|
|
6.314%
|
|
7/20/23
|
|
BB
|
|
2,267,825
|
|
1,300
|
|
Dryden Senior Loan Fund 2012-24A
|
|
5.117%
|
|
11/15/23
|
|
N/R
|
|
1,260,090
|
|
1,500
|
|
Flatiron Collateralized Loan Obligation Limited, Series 2011-1A
|
|
4.740%
|
|
1/15/23
|
|
BB
|
|
1,326,312
|
|
1,500
|
|
Fraser Sullivan Collateralized Loan Obligations Limited, Series 2011-6A, 144A
|
|
5.934%
|
|
11/22/22
|
|
BB
|
|
1,403,441
|
|
2,000
|
|
LCM Limited Partnership, Collateralized Loan Obligations, 144A
|
|
6.084%
|
|
4/15/22
|
|
BB
|
|
1,882,632
|
|
1,200
|
|
LCM Limited Partnership, Collateralized Loan Obligations, 144A
|
|
4.934%
|
|
4/15/22
|
|
BBB
|
|
1,175,168
|
|
1,500
|
|
LCM Limited Partnership, Collateralized Loan Obligations
|
|
5.471%
|
|
4/19/22
|
|
BB
|
|
1,347,056
|
|
1,800
|
|
LCM Limited Partneship Series 2012A, 144A
|
|
6.159%
|
|
10/19/22
|
|
BB
|
|
1,656,412
|
|
1,500
|
|
Madoson Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A
|
|
5.669%
|
|
4/22/22
|
|
BB
|
|
1,381,650
|
|
1,000
|
|
Madoson Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A
|
|
4.669%
|
|
4/22/22
|
|
BBB
|
|
976,261
|
|
1,200
|
|
Magnetite IV CLO Limited, Series 2012-6A E, 144A
|
|
6.162%
|
|
9/15/23
|
|
BB
|
|
1,121,501
|
|
2,240
|
|
Oak Hill Credit Partners, Series 2012-7A, WI/DD
|
|
1.000%
|
|
11/20/23
|
|
N/R
|
|
1,999,016
|
|
2,000
|
|
Race Point Collateralized Loan Obkigation Series 2012-7A, 144A
|
|
1.000%
|
|
11/08/24
|
|
N/R
|
|
1,791,448
|
|
2,500
|
|
Race Point Collateralized Loan Obligations, Series 2011-5A, 144A
|
|
6.889%
|
|
12/15/22
|
|
BB
|
|
2,498,753
|
|
2,000
|
|
Race Point Collateralized Loan Obligations, Series 2012-6A, 144A
|
|
5.931%
|
|
5/24/23
|
|
BB
|
|
1,852,661
|
|
$
|
26,540
|
|
Total Asset-Backed Securities (cost $22,843,014)
|
|
|
|
|
|
|
|
24,661,986
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
Description (1)
|
|
Coupon
|
|
Maturity
|
|
|
|
Value
|
|
|
|
Short-Term Investments 7.3% (5.0% of Total Investments)
|
|
|
|
|
|
$
|
28,919
|
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/31/12, repurchase price $28,919,079, collateralized by $27,960,000 U.S. Treasury Notes, 2.500%, due 3/31/15, value $29,497,800
|
|
0.010%
|
|
11/01/12
|
|
|
|
$
|
28,919,071
|
|
|
|
Total Short-Term Investments (cost $28,919,071)
|
|
|
|
|
|
|
|
28,919,071
|
|
|
|
Total Investments (cost $576,118,737) 146.5%
|
|
|
|
|
|
|
|
578,005,693
|
|
|
|
Borrowings (40.5)% (8), (9)
|
|
|
|
|
|
|
|
(159,900,000
|
)
|
|
|
Other Assets Less Liabilities (6.0)% (10)
|
|
|
|
|
|
|
|
(23,555,927
|
)
|
|
|
Net Assets Applicable to Common Shares 100%
|
|
|
|
|
|
|
|
$
|
394,549,766
|
|