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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21654
Pioneer Floating Rate Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Terrence J Cullen, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: November 30
Date of reporting period: February 28, 2013
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
close of the first and third fiscal quarters, pursuant to Rule 30b1-5under
the Investment Company Act of 1940 (17 CFR 270.30b-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 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. ss. 3507.
<PAGE>
ITEM 1. Schedule of Investments.
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
ASSET BACKED SECURITY - 0.1% of Net Assets
|
|||||
|
CONSUMER SERVICES - 0.1%
|
|||||
|
Hotels, Resorts, Cruise lines - 0.1%
|
|||||
|
208,577
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 212,553
|
||
|
Total Consumer Services
|
$ 212,553
|
||||
|
TOTAL ASSET BACKED SECURITY
|
|||||
|
(Cost $208,577)
|
$ 212,553
|
||||
|
COLLATERALIZED LOAN OBLIGATIONS - 2.4% of Net Assets
|
|||||
|
BANKS - 2.4%
|
|||||
|
Diversified Banks - 0.8%
|
|||||
|
1,000,000(a)(b)(c)(d)
|
BB+/Ba2
|
Primus, Ltd., Series 2007-2A, Class D, 2.704%, 7/15/21 (144A)
|
$ 894,220
|
||
|
1,000,000(a)(c)(d)
|
B+/Ba2
|
Rampart, Ltd., Series 2006-1A, Class D, 3.853%, 4/18/21
|
887,070
|
||
|
951,289(a)(c)(d)
|
CCC+/Ba3
|
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 4.787%, 2/27/21 (144A)
|
872,103
|
||
|
$ 2,653,393
|
|||||
|
Thrifts & Mortgage Finance - 1.6%
|
|||||
|
1,000,000(a)(c)(d)
|
BB+/Ba2
|
ACA, Ltd., Series 2007-1A, Class D, 2.654%, 6/15/22 (144A)
|
$ 907,050
|
||
|
1,000,000(a)(c)(d)
|
BBB/Ba1
|
Goldman Sachs Asset Management Plc, Series 2007-1A, Class D, 3.049%, 8/1/22 (144A)
|
933,540
|
||
|
1,000,000(a)(c)(d)
|
BBB/Baa3
|
Gulf Stream - Sextant Ltd., Series 2007-1A, Class D, 2.708%, 6/17/21 (144A)
|
890,430
|
||
|
1,000,000(a)(c)(d)
|
BB/Ba3
|
Landmark CDO, Ltd., Series 2007-9A, Class E, 3.804%, 4/15/21 (144A)
|
811,050
|
||
|
2,000,000(a)(c)(d)
|
BBB/Baa3
|
Stone Tower, Ltd., Series 2007-6A, Class C, 1.653%, 4/17/21 (144A)
|
1,708,240
|
||
|
$ 5,250,310
|
|||||
|
Total Banks
|
$ 7,903,703
|
||||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS
|
|||||
|
(Cost $6,985,179)
|
$ 7,903,703
|
||||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 138.5% of Net Assets *
|
|||||
|
AUTOMOBILES & COMPONENTS - 7.2%
|
|||||
|
Auto Parts & Equipment - 5.1%
|
|||||
|
633,754
|
BB-/Ba3
|
Allison Transmission, Inc., New Term B-2 Loan, 3.198%, 8/7/17
|
$ 636,626
|
||
|
2,682,652
|
BB-/Ba3
|
Allison Transmission, Inc., Term Loan B-3, 4.25%, 8/23/19
|
2,713,502
|
||
|
833,246
|
B/B1
|
Federal-Mogul Corp., Tranche B Term Loan, 2.138%, 12/29/14
|
780,126
|
||
|
425,125
|
B/B1
|
Federal-Mogul Corp., Tranche C Term Loan, 2.138%, 12/28/15
|
398,024
|
||
|
1,925,000
|
B+/B2
|
HHI Acquisition Co., Inc., Additional Term Loan, 5.0%, 10/5/18
|
1,944,250
|
||
|
3,766,227
|
B+/B1
|
Key Safety Systems, Inc., First Lien Term Loan, 2.453%, 3/8/14
|
3,742,688
|
||
|
2,765,000
|
B+/B1
|
Metaldyne, LLC, USD Term Loan, 6.0%, 12/18/18
|
2,793,803
|
||
|
1,225,738
|
B+/Ba3
|
TI Group Automotive Systems LLC, Term Loan, 6.75%, 3/14/18
|
1,241,059
|
||
|
985,129
|
BB/Ba2
|
Tomkins, LLC, Term Loan B-2, 3.75%, 9/29/16
|
992,517
|
||
|
1,102,500
|
B+/Ba2
|
UCI International, Inc., (United Components) Term Loan, 5.5%, 7/26/17
|
1,106,634
|
||
|
$ 16,349,229
|
|||||
|
Automobile Manufacturers - 1.1%
|
|||||
|
3,571,119
|
BB/Ba1
|
Chrysler Group LLC, Tranche B Term Loan, 6.0%, 5/24/17
|
$ 3,650,715
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Tires & Rubber - 1.0%
|
|||||
|
3,250,000
|
BB/Ba1
|
Goodyear Tire & Rubber Co., Extended Second Lien Term Loan, 4.75%, 4/30/19
|
$ 3,287,226
|
||
|
Total Automobiles & Components
|
$ 23,287,170
|
||||
|
BANKS - 0.2%
|
|||||
|
Thrifts & Mortgage Finance - 0.2%
|
|||||
|
600,000
|
B/B1
|
Ocwen Financial Corp., Initial Term Loan, 5.0%, 2/15/18
|
$ 608,400
|
||
|
Total Banks
|
$ 608,400
|
||||
|
CAPITAL GOODS - 13.0%
|
|||||
|
Aerospace & Defense - 5.2%
|
|||||
|
1,787,994
|
BBB-/Ba2
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18
|
$ 1,805,874
|
||
|
1,049,883
|
B-/B2
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 6.25%, 11/2/18
|
1,068,256
|
||
|
250,000
|
BBB-/Ba2
|
Delos Aircraft, Inc., Term Loan, 4.75%, 4/12/16
|
252,500
|
||
|
1,668,000
|
BBB-/Ba2
|
Digitalglobe, Inc.,Term Loan, 3.75%, 1/31/20
|
1,682,595
|
||
|
694,846
|
BB-/Ba2
|
DynCorp International, Inc., Term Loan, 6.25%, 7/7/16
|
700,058
|
||
|
1,326,090
|
BB-/B1
|
Hunter Defense Technologies, Inc., Term Loan, 3.54%, 8/22/14
|
1,239,894
|
||
|
1,672,515
|
NR/NR
|
IAP Worldwide Services, Inc., First Lien Term Loan, 10.0%, 12/31/15
|
1,287,837
|
||
|
622,060
|
B-/B2
|
PRV Aerospace LLC, Term Loan, 6.5%, 5/9/18
|
626,725
|
||
|
1,578,455
|
B/B2
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
1,574,509
|
||
|
1,575,000
|
B/B1
|
Sequa Corp., Initial Term Loan, 5.25%, 6/19/17
|
1,597,641
|
||
|
1,765,477
|
B+/Ba3
|
SI Organization, Inc., New Tranche B Term Loan, 4.5%, 11/22/16
|
1,774,305
|
||
|
1,000,000
|
B+/B1
|
Silver II Borrower S.C.A (Silver II US Holdings, LLC),Refinancing Term Loan, 4.0%, 12/13/19
|
1,001,875
|
||
|
926,914
|
B/B3
|
Sotera Defense Solutions, Inc., Term Loan B, 7.5%, 4/21/17
|
917,645
|
||
|
475,948
|
B/B2
|
Standard Aero, Ltd., Tranche B-2 Loan, 6.25%, 11/2/18
|
484,278
|
||
|
983,255
|
BB-/B1
|
TASC, Inc., New Tranche B Term Loan, 4.5%, 12/18/15
|
984,484
|
||
|
$ 16,998,476
|
|||||
|
Building Products - 2.7%
|
|||||
|
1,893,306
|
BB-/B1
|
Armstrong World Industries, Inc., Term Loan B-1, 4.0%, 3/10/18
|
$ 1,901,116
|
||
|
2,718,188
|
B/B1
|
CPG International I, Inc., Term Loan, 5.75%, 9/21/19
|
2,743,670
|
||
|
2,250,000
|
B+/B2
|
Custom Building Products, Inc., Term Loan, 6.0%, 12/14/19
|
2,272,500
|
||
|
1,736,875
|
B+/B1
|
Summit Materials LLC, Term B Loan, 5.0%, 1/30/19
|
1,749,360
|
||
|
$ 8,666,646
|
|||||
|
Construction & Farm Machinery & Heavy Trucks - 1.5%
|
|||||
|
989,049
|
NR/Ba2
|
GWF Energy, Term Loan, 7.0%, 12/13/18
|
$ 995,849
|
||
|
480,666
|
BB/Ba2
|
Manitowoc Co., Inc., Term Loan B, 4.25%, 11/13/17
|
485,969
|
||
|
1,446,375
|
B+/Ba3
|
Navistar International Corp., Tranche B, Term Loan, 7.0%, 8/17/17
|
1,468,366
|
||
|
943,086
|
BB/Ba2
|
Terex Corp., New U.S. Term Loan, 4.5%, 4/28/17
|
955,346
|
||
|
869,794
|
B+/B2
|
Waupaca Foundry, Inc. Term Loan, 5.75%, 6/29/17
|
881,753
|
||
|
$ 4,787,283
|
|||||
|
Electrical Components & Equipment - 1.1%
|
|||||
|
2,223,825
|
B+/B1
|
Pelican Products, Inc. First Lien Term Loan, 7.0%, 7/11/18
|
$ 2,229,384
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Electrical Components & Equipment (continued)
|
|||||
|
1,221,938
|
BB-/Ba2
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
1,240,267
|
||
|
$ 3,469,651
|
|||||
|
Industrial Conglomerates - 0.5%
|
|||||
|
1,742,158
|
B+/B2
|
Pro Mach, Inc., Term Loan, 5.0%, 7/6/17
|
$ 1,759,580
|
||
|
Industrial Machinery - 1.0%
|
|||||
|
2,103,660
|
NR/NR
|
Schaeffler AG,Facility B2 USD, 6.0%, 1/27/17
|
$ 2,116,808
|
||
|
481,432
|
BB/Ba3
|
TriMas Co., LLC, Tranche B Term Loan, 3.75%, 10/11/19
|
483,839
|
||
|
797,609
|
BB-/Ba2
|
Xerium Technologies, Inc., Initial U.S. Term Loan, 6.25%, 5/26/17
|
801,098
|
||
|
$ 3,401,745
|
|||||
|
Trading Companies & Distributors - 1.0%
|
|||||
|
3,100,000
|
B+/Ba3
|
WESCO Distribution, Inc., Tranche B-1 Loan, 4.5%, 12/12/19
|
$ 3,135,845
|
||
|
Total Capital Goods
|
$ 42,219,226
|
||||
|
COMMERCIAL & PROFESSIONAL SERVICES - 5.7%
|
|||||
|
Commercial Printing - 0.4%
|
|||||
|
1,219,108
|
BB-/Ba3
|
Cenveo Corp., Facility Term Loan B, 7.0%, 12/21/16
|
$ 1,225,203
|
||
|
Diversified Support Services - 1.3%
|
|||||
|
1,186,584
|
B/B2
|
InfoGroup, Inc., Term Loan B, 5.75%, 5/26/18
|
$ 1,082,758
|
||
|
1,157,375
|
BB-/Ba3
|
KAR Auction Services, Inc., Term Loan, 5.0%, 5/19/17
|
1,170,636
|
||
|
1,838,621
|
B/B1
|
Language Line LLC, Tranche B Term Loan, 6.25%, 6/20/16
|
1,829,428
|
||
|
$ 4,082,822
|
|||||
|
Environmental & Facilities Services - 1.4%
|
|||||
|
1,091,750
|
BB+/Baa3
|
Convata Energy Corp., Term Loan, 4.0%, 3/28/19
|
$ 1,104,942
|
||
|
300,000
|
BBB-/Ba1
|
Progressive Waste Solutions Ltd., Term B Loan, 3.5%, 10/24/19
|
303,281
|
||
|
500,000
|
B-/B2
|
Tervita Corporation (fka CCS Corporation),Term Loan, 6.25%, 5/15/18
|
504,598
|
||
|
1,293,642
|
B+/B1
|
Waste Industries USA, Inc., Term Loan B, 4.0%, 3/17/17
|
1,298,493
|
||
|
1,423,740
|
B+/B1
|
WCA Waste Corp., Term Loan, 5.5%, 3/23/18
|
1,437,088
|
||
|
$ 4,648,402
|
|||||
|
Human Resource & Employment Services - 0.4%
|
|||||
|
1,447,829
|
BB-/Ba3
|
On Assignment, Inc., Initial Term Loan B, 5.0%, 5/15/19
|
$ 1,464,100
|
||
|
Office Services & Supplies - 0.1%
|
|||||
|
369,542
|
BB+/Ba1
|
ACCO Brands Corp., Term Loan B, 4.25%, 5/1/19
|
$ 372,544
|
||
|
Research & Consulting Services - 0.8%
|
|||||
|
2,496,577
|
BB/Ba3
|
Wyle Services Corp., First Lien Term Loan, 5.0%, 3/26/17
|
$ 2,507,499
|
||
|
Security & Alarm Services - 0.7%
|
|||||
|
1,026,720
|
B+/Ba3
|
Allied Security Holdings LLC, First Lien Term Loan, 5.25%, 2/3/17
|
$ 1,035,704
|
||
|
498,750
|
BB/Ba1
|
Garda Security, Term Loan B, 4.5%, 11/13/19
|
504,673
|
||
|
827,472
|
B+/B1
|
Protection One, Inc., Term Loan, 5.75%, 3/21/19
|
835,746
|
||
|
$ 2,376,123
|
|||||
|
Warehouses - 0.6%
|
|||||
|
1,770,000
|
BB/NR
|
Mirror Bidco Corp., Term Loan, 5.25%, 12/28/19
|
$ 1,787,700
|
||
|
Total Commercial & Professional Services
|
$ 18,464,393
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
CONSUMER DURABLES & APPAREL - 3.4%
|
|||||
|
Apparel, Accessories & Luxury Goods - 0.4%
|
|||||
|
1,180,000
|
BBB-/Ba1
|
PVH Corp. (fka Phillips-Van Heusen Corporation),Tranche B Term Loan, 3.25%, 2/13/20
|
$ 1,191,505
|
||
|
Home Furnishings - 0.8%
|
|||||
|
1,000,000
|
B+/B1
|
Serta Simmons Holdings LLC, Term Loan, 5.0%, 10/1/19
|
$ 1,013,958
|
||
|
1,725,000
|
NR/NR
|
Temper Pedic International, Term Loan, 6.5%, 12/12/19
|
1,751,029
|
||
|
$ 2,764,987
|
|||||
|
Homebuilding - 0.1%
|
|||||
|
1,000,000(b)(c)(e)
|
NR/NR
|
WAICCS Las Vegas 3 LLC, First Lien Term Loan, 7.75%, 7/30/09
|
$ 355,000
|
||
|
4,500,000(b)(c)(e)
|
NR/NR
|
WAICCS Las Vegas 3 LLC, Second Lien Term Loan, 13.25%, 7/30/09
|
22,500
|
||
|
$ 377,500
|
|||||
|
Housewares & Specialties - 2.1%
|
|||||
|
1,484,887
|
BB+/Ba1
|
Jarden Corp., Tranche B Term Loan, 3.204%, 3/31/18
|
$ 1,496,636
|
||
|
1,170,682
|
BB/Ba2
|
Prestige Brands, Inc. ,Term B-1 Loan, 5.0%, 1/31/19
|
1,180,925
|
||
|
2,543,625
|
B+/B1
|
Reynolds Group Holdings, Inc., U.S. Term Loan, 4.75%, 9/28/18
|
2,580,190
|
||
|
1,507,319
|
B+/B1
|
Yankee Candle Co., Inc., Initial Term Loan, 5.25%, 4/2/19
|
1,519,566
|
||
|
$ 6,777,317
|
|||||
|
Total Consumer Durables & Apparel
|
$ 11,111,309
|
||||
|
CONSUMER SERVICES - 10.0%
|
|||||
|
Casinos & Gaming - 2.1%
|
|||||
|
147,804
|
BB+/Ba2
|
Ameristar Casinos, Inc., Term Loan B, 4.0%, 4/16/18
|
$ 149,063
|
||
|
1,615,000
|
BB-/Ba3
|
Boyd Gaming Corp., Increased Term Loan, 6.0%, 12/17/15
|
1,633,458
|
||
|
1,164,000
|
B/B2
|
Caesars Entertainment Operating Co., Inc., Term Loan B-4, 9.5%, 10/31/16
|
1,189,105
|
||
|
1,200,000
|
B/B2
|
Caesars Entertainment Operating Co., Inc., Term Loan B-6, 5.452%, 1/28/18
|
1,110,954
|
||
|
28,326
|
BBB-/Ba2
|
Las Vegas Sands LLC, Delayed Draw I Term Loan, 2.71%, 11/23/16
|
28,490
|
||
|
140,937
|
BBB-/Ba2
|
Las Vegas Sands LLC, Tranche B Term Loan, 2.71%, 11/23/16
|
141,752
|
||
|
1,500,000
|
BB/Ba2
|
MGM Resorts International (MGM Grand Detroit, LLC),Term B Loan, 4.25%, 12/20/19
|
1,523,035
|
||
|
1,086,788
|
BB+/Ba1
|
Pinnacle Entertainment, Inc., Series A Incremental Term Loan, 4.0%, 3/19/19
|
1,096,297
|
||
|
$ 6,872,154
|
|||||
|
Education Services - 1.2%
|
|||||
|
3,780,000
|
B+/B1
|
Bright Horizons Family Solutions LLC, Term B Loan, 4.0%, 1/30/20
|
$ 3,810,713
|
||
|
Hotels, Resorts & Cruise Lines - 0.9%
|
|||||
|
1,728,125
|
BB-/Ba2
|
Seven Seas Cruises, Inc., Term Loan B, 4.75%, 12/21/18
|
$ 1,745,406
|
||
|
1,019,318
|
B/B3
|
Yellowstone Mountain Club LLC, Senior First Lien Term Loan, 6.0%, 7/16/14
|
1,000,631
|
||
|
$ 2,746,037
|
|||||
|
Internet Software & Services - 0.3%
|
|||||
|
997,500
|
B/B1
|
Sabre Inc., Term B Loan, 5.25%, 2/19/19
|
$ 998,747
|
||
|
Leisure Facilities - 0.9%
|
|||||
|
1,677,479
|
BB/Ba2
|
Cedar Fair, LP, U.S. Term Loan-1, 4.0%, 12/15/17
|
$ 1,689,011
|
||
|
1,278,507
|
BB+/Ba2
|
Six Flags Theme Parks, Inc., Tranche B Term Loan, 4.0%, 12/20/18
|
1,291,173
|
||
|
$ 2,980,184
|
|||||
|
Restaurants - 3.9%
|
|||||
|
1,119,195
|
BB/Ba3
|
Burger King Corp., Tranche B Term Loan, 3.75%, 9/28/19
|
$ 1,129,920
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Restaurants (continued)
|
|||||
|
208,647
|
BB-/Ba2
|
DineEquity, Inc.,Term B-2 Loan, 3.75%, 10/19/17
|
211,386
|
||
|
3,941,780
|
B+/B2
|
Dunkin' Brands, Inc., Term B-3 Loan, 3.75%, 2/14/20
|
3,955,332
|
||
|
3,225,625
|
B+/B1
|
Landry's Inc., Term Loan B, 4.75%, 4/24/18
|
3,247,221
|
||
|
1,791,542
|
NR/Ba3
|
NPC International, Inc., 2012 Term Loan, 4.5%, 12/28/18
|
1,820,654
|
||
|
2,184,525
|
BB-/B1
|
Wendy's International, Inc., Term Loan B, 4.75%, 5/15/19
|
2,209,092
|
||
|
$ 12,573,605
|
|||||
|
Specialized Consumer Services - 0.7%
|
|||||
|
2,401,856
|
B/Ba3
|
Monitronics International, Inc., Term Loan, 5.5%, 3/23/18
|
$ 2,415,866
|
||
|
Total Consumer Services
|
$ 32,397,306
|
||||
|
DIVERSIFIED FINANCIAL SERVICES - 0.8%
|
|||||
|
Consumer Finance - 0.8%
|
|||||
|
2,550,000
|
CCC+/B3
|
Springleaf Financial Funding Co., Initial Term Loan, 5.5%, 5/10/17
|
$ 2,569,125
|
||
|
Total Diversified Financial Services
|
$ 2,569,125
|
||||
|
DIVERSIFIED FINANCIALS - 1.4%
|
|||||
|
Investment Banking & Brokerage - 0.2%
|
|||||
|
545,875
|
BB-/Ba2
|
LPL Holdings, Inc., Initial Tranche B Term Loan, 4.0%, 3/29/19
|
$ 551,334
|
||
|
Other Diversified Financial Services - 0.7%
|
|||||
|
369,473
|
CCC+/B3
|
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17
|
$ 362,776
|
||
|
880,527
|
CCC+/B3
|
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17
|
864,567
|
||
|
989,394
|
BB/Ba2
|
Ship Luxco 3 S.a.r.l. (RBS Worldpay), Facility Term Loan B2A, 5.25%, 11/30/17
|
998,546
|
||
|
$ 2,225,889
|
|||||
|
Specialized Finance - 0.5%
|
|||||
|
1,770,000
|
B/NR
|
Mirror Bidco Corp., Term Loan, 5.25%, 12/28/19
|
$ 1,787,700
|
||
|
Total Diversified Financials
|
$ 4,564,923
|
||||
|
ENERGY - 4.5%
|
|||||
|
Coal & Consumable Fuels - 0.3%
|
|||||
|
1,000,000
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 11.199%, 8/7/13
|
$ 986,000
|
||
|
Environmental & Facilities Services - 0.4%
|
|||||
|
1,423,997
|
NR/B3
|
Aquilex Holdings LLC, Term Loan, 8.75%, 4/1/16
|
$ 1,427,556
|
||
|
Integrated Oil & Gas - 0.3%
|
|||||
|
927,105
|
BBB/Baa2
|
Glenn Pool Oil & Gas Trust 1, Term Loan, 4.5%, 5/2/16
|
$ 931,740
|
||
|
Oil & Gas Equipment & Services - 0.6%
|
|||||
|
1,968,786
|
CCC+/B3
|
Frac Tech Services, Term Loan, 8.5%, 5/6/16
|
$ 1,804,517
|
||
|
Oil & Gas Exploration & Production - 2.2%
|
|||||
|
1,600,000
|
BB-/Ba3
|
Chesapeake Energy Corp., Term Loan, 5.75%, 12/2/17
|
$ 1,637,000
|
||
|
2,500,000
|
B+/Ba3
|
EP Energy LLC, Tranche B-1 Term Loan, 5.0%, 5/24/18
|
2,529,910
|
||
|
1,500,000
|
BB/Ba1
|
Plains Exploration & Production, Inc., Term Loan B, 4.0%, 11/30/19
|
1,506,825
|
||
|
1,600,000
|
B/B1
|
Samson Investment Co., Initial Term Loan, 6.0%, 9/25/18
|
1,619,166
|
||
|
$ 7,292,901
|
|||||
|
Oil & Gas Refining & Marketing - 0.5%
|
|||||
|
1,559,994
|
BB/Ba2
|
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3.75%, 3/30/18
|
$ 1,575,399
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Oil & Gas Storage & Transportation - 0.2%
|
|||||
|
496,250
|
BB-/Ba3
|
Gibson Energy ULC, Tranche B Term Loan, 4.75%, 6/15/18
|
$ 503,229
|
||
|
Total Energy
|
$ 14,521,342
|
||||
|
FOOD & STAPLES RETAILING - 0.2%
|
|||||
|
Food Retail - 0.2%
|
|||||
|
620,313
|
B+/B1
|
Roundy's Supermarkets, Inc., Tranche B Term Loan, 5.75%, 2/13/19
|
$ 590,460
|
||
|
Total Food & Staples Retailing
|
$ 590,460
|
||||
|
FOOD, BEVERAGE & TOBACCO - 3.2%
|
|||||
|
Packaged Foods & Meats - 3.2%
|
|||||
|
590,000
|
B/B1
|
AdvancePierre Foods, Inc., First Lien Term Loan, 5.75%, 7/10/17
|
$ 598,727
|
||
|
950,000
|
BB-/B1
|
Aramark Canada, Ltd., Extended Canadian Term Loan B, 3.561%, 7/26/16
|
957,524
|
||
|
2,226,610
|
B/Ba3
|
Del Monte Foods Co., Initial Term Loan, 4.0%, 3/8/18
|
2,236,574
|
||
|
1,218,875
|
NR/B2
|
Heartshide Food Solutions LLC, Term Loan A, 6.5%, 6/7/18
|
1,231,064
|
||
|
1,430,634
|
B+/Ba3
|
Michael Foods Group, Inc., Facility Term Loan B, 4.25%, 2/25/18
|
1,451,200
|
||
|
1,318,486
|
B+/Ba3
|
Pinnacle Foods Finance LLC, Term Loan, 2.712%, 4/2/14
|
1,323,019
|
||
|
1,741,250
|
B+/Ba3
|
Pinnacle Foods Finance LLC, Tranche F Term Loan, 4.75%, 10/17/18
|
1,758,351
|
||
|
908,000
|
BB-/B1
|
Windsor Quality Food Co., Ltd., Tranche B Term Loan, 5.0%, 2/16/17
|
916,512
|
||
|
Total Food, Beverage & Tobacco
|
$ 10,472,971
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 15.6%
|
|||||
|
Health Care Equipment & Services - 1.4%
|
|||||
|
229,962
|
BBB-/Baa2
|
Fresenius SE, Tranche D-1 Dollar Term Loan, 3.25%, 9/10/14
|
$ 230,920
|
||
|
131,360
|
BBB-/Baa2
|
Fresenius SE, Tranche D-2 Term Loan, 3.25%, 9/10/14
|
131,853
|
||
|
1,990,000
|
BBB-/Ba2
|
Hologic, Inc., Tranche B Term Loan, 4.5%, 8/1/19
|
2,017,719
|
||
|
485,100
|
BB-/Ba2
|
Kinetic Concepts, Inc., Dollar C-1 Term Loan, 5.5%, 5/4/18
|
492,831
|
||
|
1,693,886
|
BB-/B1
|
Onex Carestream Finance, LP, Term Loan, 5.0%, 2/25/17
|
1,702,004
|
||
|
$ 4,575,327
|
|||||
|
Health Care Facilities - 4.7%
|
|||||
|
1,116,865
|
BB/Ba3
|
CHS/Community Health Systems, Inc., Extended Term Loan, 3.811%, 1/25/17
|
$ 1,126,724
|
||
|
3,471,473
|
BB/Ba3
|
HCA, Inc., Tranche B-2 Term Loan, 3.561%, 3/31/17
|
3,493,878
|
||
|
2,698,472
|
BB/Ba3
|
HCA, Inc., Tranche B-3 Term Loan, 3.454%, 5/1/18
|
2,715,810
|
||
|
1,621,125
|
B/NR
|
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
|
1,626,191
|
||
|
800,000
|
NR/B3
|
Kindred Healthcare, Inc., Incremental Term Loan, 5.25%, 6/1/18
|
800,500
|
||
|
299,241
|
B+/Ba3
|
Kindred Healthcare, Inc., Term Loan, 5.25%, 6/1/18
|
299,428
|
||
|
2,170,564(b)
|
CCC-/B2
|
LifeCare Holdings, Term Loan, 15.5%, 2/1/16
|
2,051,183
|
||
|
2,034,025
|
B+/B1
|
Select Medical Corp., Tranche B Term Loan, 6.0%, 6/1/18
|
2,052,653
|
||
|
500,000
|
B/B1
|
United Surgical Partners, Term Loan, 4.75%, 4/3/19
|
503,333
|
||
|
589,727
|
BB+/Ba2
|
Universal Health Services, Inc., 2011 Tranche B Term Loan, 3.75%, 11/15/16
|
593,307
|
||
|
$ 15,263,007
|
|||||
|
Health Care Services - 6.5%
|
|||||
|
626,996
|
B+/B2
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 419,304
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Health Care Services (continued)
|
|||||
|
542,541
|
B+/Ba3
|
Alliance HealthCare Services, Inc., Initial Term Loan, 7.25%, 6/1/16
|
546,610
|
||
|
795,000
|
B+/B1
|
Ardent Medical Services, Inc., First Lien Term Loan, 6.75%, 7/2/18
|
806,925
|
||
|
875,000
|
B+/Ba3
|
BSN Medical Luxembourg Holding, S.a.r.l. (P & F Capital), Facility Term Loan B-1A, 5.0%, 8/28/19
|
883,021
|
||
|
2,198,805
|
B-/B3
|
CCS Medical, Inc., First Lien Term Loan, 8.25%, 3/31/15
|
2,099,859
|
||
|
925,023(f)
|
CCC/Caa2
|
CCS Medical, Inc., Second Lien Term Loan, 3.25%, 3/31/16
|
809,395
|
||
|
1,400,000
|
BB-/Ba2
|
Davita, Inc., Term Loan B2, 4.0%, 11/1/19
|
1,415,960
|
||
|
1,483,817
|
B/B1
|
Gentiva Health Services, Inc., Term Loan B-1, 6.5%, 8/17/16
|
1,492,163
|
||
|
770,005
|
B/Ba3
|
Inventiv Health, Inc., Consolidated Term Loan, 7.5%, 8/4/16
|
760,380
|
||
|
2,344,191
|
BB-/Ba3
|
MModal, Inc., Term Loan B, 6.75%, 8/16/19
|
2,283,634
|
||
|
2,500,463
|
NR/NR
|
National Mentor Holdings, Inc., Tranche B-1 Term Loan, 6.5%, 2/9/17
|
2,531,718
|
||
|
1,074,526
|
B/B2
|
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
|
1,071,839
|
||
|
2,117,750
|
B+/B1
|
Rural/Metro Operating Co., LLC, First Lien Term Loan, 5.75%, 6/30/18
|
2,132,750
|
||
|
1,332,581
|
B/B2
|
Surgery Center Holdings, Inc., Term Loan, 6.5%, 2/6/17
|
1,334,247
|
||
|
738,750
|
B/Ba3
|
Valitas Health Services, Inc., Term Loan B, 5.75%, 6/2/17
|
742,444
|
||
|
2,205,000
|
B+/B1
|
Virtual Radiologic Corp., Term Loan A, 7.75%, 12/22/16
|
1,769,513
|
||
|
$ 21,099,762
|
|||||
|
Health Care Supplies - 0.7%
|
|||||
|
717,277
|
B+/Ba3
|
Alere, Inc., Term Loan B, 4.75%, 6/30/17
|
$ 726,781
|
||
|
1,497,475
|
B+/B1
|
Bausch & Lomb, Inc., Parent Term Loan, 5.25%, 5/17/19
|
1,511,514
|
||
|
$ 2,238,295
|
|||||
|
Health Care Technology - 1.7%
|
|||||
|
750,000
|
B+/Ba3
|
ConvaTec, Inc., Dollar Term Loan, 5.0%, 12/22/16
|
$ 760,312
|
||
|
2,123,950
|
BB-/Ba3
|
Emdeon, Inc., Term Loan B-1, 5.0%, 11/2/18
|
2,157,137
|
||
|
775,000
|
BB-/Ba3
|
MedAssets, Inc., Term B Loan, 4.0%, 12/13/19
|
781,458
|
||
|
1,080,000
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 12.25%, 9/17/15
|
982,800
|
||
|
99,490
|
B/NR
|
Physician Oncology Services, LP, Delayed Draw Term Loan, 7.75%, 1/31/17
|
99,490
|
||
|
818,923
|
B/B2
|
Physician Oncology Services, LP, Effective Date Term Loan, 7.75%, 1/31/17
|
818,923
|
||
|
$ 5,600,120
|
|||||
|
Healthcare Services - 0.2%
|
|||||
|
500,000
|
B/B2
|
Air Medical Group Holdings, Inc., 6.5%, 6/30/18
|
$ 511,800
|
||
|
Managed Health Care - 0.4%
|
|||||
|
1,300,000
|
B+/B2
|
MMM Holdings, Inc., MMM Term Loan, 9.75%, 12/12/17
|
$ 1,309,750
|
||
|
Total Health Care Equipment & Services
|
$ 50,598,061
|
||||
|
HOUSEHOLD & PERSONAL PRODUCTS - 2.6%
|
|||||
|
Household Products - 1.8%
|
|||||
|
1,190,000
|
B/Ba3
|
Spectrum Brands Holdings, Term Loan, 4.5%, 12/17/19
|
$ 1,206,575
|
||
|
855,289
|
B+/Ba3
|
SRAM LLC, First Lien Term Loan, 5.75%, 6/7/18
|
863,842
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Household Products (continued)
|
|||||
|
3,791,389
|
B-/B2
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 5.25%, 2/21/19
|
3,829,303
|
||
|
$ 5,899,720
|
|||||
|
Personal Products - 0.8%
|
|||||
|
344,571
|
BB-/Ba3
|
NBTY, Inc., Term Loan B-1, 4.25%, 10/1/17
|
$ 349,505
|
||
|
2,088,281
|
B+/Ba3
|
Revlon Consumer Products Corp., Replacement Term Loan, 4.0%, 11/19/17
|
2,103,943
|
||
|
$ 2,453,448
|
|||||
|
Total Household & Personal Products
|
$ 8,353,168
|
||||
|
INSURANCE - 3.6%
|
|||||
|
Insurance Brokers - 2.4%
|
|||||
|
1,000,000
|
B/B1
|
AmWins Group, LLC, Term Loan, 9.25%, 9/6/19
|
$ 1,006,250
|
||
|
822,534
|
B+/B1
|
HUB International, Ltd., 2017 Additional Term Loan, 6.75%, 12/13/17
|
831,935
|
||
|
3,866,722
|
B+/B1
|
HUB International, Ltd., 2017 Initial Term Loan, 4.704%, 6/13/17
|
3,906,194
|
||
|
1,975,000
|
B-/B1
|
U.S.I. Holdings Corp., Initial Term Loan, 5.25%, 12/27/19
|
1,993,105
|
||
|
$ 7,737,484
|
|||||
|
Life & Health Insurance - 0.3%
|
|||||
|
957,969
|
NR/Ba3
|
CNO Financial Group, Inc., Tranche B-2 Term Loan, 5.0%, 9/28/18
|
$ 968,747
|
||
|
Multi-Line Insurance - 0.1%
|
|||||
|
500,000
|
B-/B1
|
Alliant Holdings, I LLC Initial Term Loan, 5.0%, 12/20/19
|
$ 504,791
|
||
|
Property & Casualty Insurance - 0.8%
|
|||||
|
2,500,000
|
B-/B2
|
Confie Seguros Holding II Co., First Lien Term Loan B, 6.5%, 11/9/18
|
$ 2,513,542
|
||
|
Total Insurance
|
$ 11,724,564
|
||||
|
MATERIALS - 12.8%
|
|||||
|
Aluminum - 1.1%
|
|||||
|
1,374,613
|
B/Ba3
|
Noranda Aluminum Acquisition Corp., Term Loan B, 6.75%, 2/28/19
|
$ 1,385,781
|
||
|
2,205,005
|
BB-/Ba2
|
Novelis, Inc., Term Loan, 4.0%, 3/10/17
|
2,217,960
|
||
|
$ 3,603,741
|
|||||
|
Commodity Chemicals - 0.6%
|
|||||
|
1,191,000
|
BB-/B1
|
Taminco Global Chemical Corp., Tranche B-2 Dollar Term Loan, 4.25%, 2/15/19
|
$ 1,203,654
|
||
|
625,429
|
BBB-/Ba2
|
Tronox Pigments (Netherlands) B.V., Closing Date Term Loan, 4.25%, 2/8/18
|
626,536
|
||
|
$ 1,830,190
|
|||||
|
Diversified Chemicals - 2.6%
|
|||||
|
329,150
|
BBB-/Ba1
|
Celanese US Holdings LLC, Dollar Term Loan C, 3.058%, 10/31/16
|
$ 332,215
|
||
|
2,490,000
|
B+/B1
|
Flash Dutch 2 B.V. & U.S Coatings Acquisition Inc., Initial Term B Loan, 4.75%, 2/1/20
|
2,524,945
|
||
|
1,098,662
|
B/B1
|
General Chemical Corp., New Tranche B Term Loan, 5.75%, 10/6/15
|
1,106,901
|
||
|
1,240,625
|
B+/B1
|
Ineos US Finance LLC, Cash Dollar Term Loan, 6.5%, 5/4/18
|
1,268,346
|
||
|
1,866,750
|
B/B1
|
Nexeo Solutions LLC, Initial Term Loan, 5.0%, 9/8/17
|
1,869,083
|
||
|
1,440,600
|
B+/B2
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
1,439,400
|
||
|
$ 8,540,890
|
|||||
|
Diversified Metals & Mining - 1.2%
|
|||||
|
2,475,000
|
B+/B2
|
Preferred Proppants LLC, Initial Term Loan B, 7.5%, 12/15/16
|
$ 2,314,125
|
||
|
121,336
|
BB+/Ba1
|
SunCoke Energy, Inc., Tranche B Term Loan, 4.0%, 7/26/18
|
122,246
|
||
|
1,034,250
|
BB-/B1
|
U.S. Silica Co., Term Loan, 4.75%, 6/8/17
|
1,040,068
|
||
|
511,726
|
B+/Ba3
|
Walter Energy, Inc., Term Loan B, 5.75%, 4/2/18
|
514,285
|
||
|
$ 3,990,724
|
|||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Metal & Glass Containers - 1.1%
|
|||||
|
1,695,000
|
B/B1
|
BWAY Holding Co., Initial Term Loan, 4.5%, 8/6/17
|
$ 1,714,069
|
||
|
1,684,183
|
B/B1
|
Tank Holding Corp., Initial Term Loan, 4.25%, 7/9/19
|
1,693,656
|
||
|
$ 3,407,725
|
|||||
|
Paper Packaging - 1.8%
|
|||||
|
2,211,325
|
B/B2
|
Exopack LLC/Cello-Foil Products, Inc., Term Loan B, 6.5%, 5/31/17
|
$ 2,234,361
|
||
|
2,253,930
|
B/Ba3
|
Klockner Pentaplast of America, Inc., (Kleopatra Acquisition Corp), Term Loan B-1, 5.75%, 12/21/16
|
2,293,373
|
||
|
1,345,522
|
BB/Ba1
|
Sealed Air Corp., Facility Term Loan B-1, 4.0%, 10/3/18
|
1,365,565
|
||
|
$ 5,893,299
|
|||||
|
Paper Products - 0.3%
|
|||||
|
208,639
|
BB-/Ba3
|
Ranpak Corp., First Lien USD Term Loan, 4.75%, 4/20/17
|
$ 209,161
|
||
|
825,000
|
B+/B1
|
Unifrax Holding Co., Term B Loan, 0.0%,
|
833,250
|
||
|
$ 1,042,411
|
|||||
|
Precious Metals & Minerals - 0.6%
|
|||||
|
1,823,891
|
BB-/B1
|
Fairmount Minerals, Ltd., Tranche B Term Loan, 5.25%, 3/15/17
|
$ 1,829,022
|
||
|
Specialty Chemicals - 2.3%
|
|||||
|
4,000,000
|
BB+/Ba1
|
Chemtura Corp., Facility Term Loan, 5.5%, 8/29/16
|
$ 4,040,000
|
||
|
1,826,875
|
BB-/Ba2
|
Harko C.V. (OM Group, Inc.), Dollar Term Loan B, 5.75%, 8/2/17
|
1,841,339
|
||
|
153,156
|
BB+/Ba1
|
Huntsman International LLC, Extended Term B Loan, 2.749%, 4/19/17
|
153,429
|
||
|
1,250,000
|
NR/NR
|
PQ Corp., Term Loan, 5.25%, 8/7/17
|
1,253,646
|
||
|
$ 7,288,414
|
|||||
|
Steel - 1.2%
|
|||||
|
498,750
|
B/B1
|
Essar Steel Algoma, Inc., Term Loan, 8.75%, 9/19/14
|
$ 509,972
|
||
|
2,493,750
|
BB+/Ba1
|
FMG Resources (August 2006) Pty Ltd., Term Loan, 5.25%, 10/18/17
|
2,529,598
|
||
|
891,944
|
BB/B1
|
JMC Steel Group, Inc., Term Loan, 4.75%, 4/1/17
|
896,961
|
||
|
$ 3,936,531
|
|||||
|
Total Materials
|
$ 41,362,947
|
||||
|
MEDIA - 17.1%
|
|||||
|
Advertising - 2.9%
|
|||||
|
922,688
|
B+/NR
|
Acosta, Inc., Term Loan D, 5.0%, 3/2/18
|
$ 936,528
|
||
|
1,470,000
|
B+/Ba3
|
Advantage Sales & Marketing, Inc., First Lien Term Loan, 5.25%, 12/18/17
|
1,481,025
|
||
|
3,403,867
|
B+/Ba3
|
Affinion Group, Inc., Tranche B Term Loan, 5.0%, 10/9/16
|
3,189,965
|
||
|
2,050,000
|
B/B1
|
Crossmark Holdings, Inc., Term Loan, 3.5%, 12/20/19
|
2,056,832
|
||
|
500,000
|
B/B1
|
Getty Images, Inc., New Initial Term Loan, 4.75%, 10/18/19
|
505,402
|
||
|
77,091
|
BB+/Baa3
|
Lamar Media Corp., Term Loan B, 4.0%, 12/30/16
|
77,750
|
||
|
1,000,000
|
B/B1
|
WP CPP Holdings, LLC, First Lien Term Loan, 5.75%, 12/28/19
|
1,012,500
|
||
|
$ 9,260,002
|
|||||
|
Broadcasting - 6.8%
|
|||||
|
7,443,750
|
BB-/Ba2
|
Cequel Communications LLC, Term Loan, 4.0%, 2/14/19
|
$ 7,506,560
|
||
|
462,632
|
BB-/Ba3
|
Entercom Radio LLC, Term Loan B, 3.75%, 11/23/18
|
469,667
|
||
|
1,499,849
|
B+/B2
|
FoxCo Acquisition Sub LLC, Initial Term Loan, 5.5%, 7/14/17
|
1,525,471
|
||
|
201,618
|
B+/Ba3
|
Hubbard Radio LLC, First Lien Term Loan, 4.5%, 4/28/17
|
203,887
|
||
|
625,000
|
NR/NR
|
NEP/NCP Holdco, Inc., Refinanced First Lien New Term Loan, 4.75%, 1/22/20
|
628,125
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Broadcasting (continued)
|
|||||
|
1,237,448
|
BB+/Ba1
|
Sinclair Television Group, Inc., New Tranche B Term Loan, 4.0%, 10/28/16
|
1,245,175
|
||
|
746,250
|
B+/Ba3
|
Thomas Reuters, Inc., New Tranche B Term Loan, 5.75%, 6/6/19
|
760,242
|
||
|
1,762,544
|
BB+/Ba3
|
TWCC Holding Corp.,Term Loan, 3.5%, 2/13/17
|
1,780,169
|
||
|
7,768,290
|
B+/B2
|
Univision Communications, Inc., Extended First Lien Term Loan, 4.459%, 3/31/17
|
7,796,504
|
||
|
$ 21,915,800
|
|||||
|
Cable & Satellite - 4.8%
|
|||||
|
2,216,258
|
BB+/Baa3
|
Charter Communications Operating LLC, Term Loan C, 3.46%, 9/6/16
|
$ 2,227,728
|
||
|
977,613
|
BB+/Baa3
|
Charter Communications Operating LLC, Term Loan D, 4.0%, 5/15/19
|
988,489
|
||
|
1,000,000
|
B-/Caa1
|
Hargray Acquisition Co., Second Lien Term Loan, 5.7%, 1/29/15
|
940,000
|
||
|
1,200,000
|
NR/NR
|
Kabel Deutschland Gmbh, Facility Term Loan F, 3.5%, 2/1/19
|
1,203,875
|
||
|
1,950,000
|
BB-/Ba3
|
MCC Iowa LLC, Tranche F Term Loan, 4.5%, 10/23/17
|
1,961,374
|
||
|
1,745,625
|
NR/NR
|
MCC Iowa LLC, Tranche G Term Loan, 4.0%, 1/20/20
|
1,759,808
|
||
|
3,736,225
|
BB-/Ba3
|
Telesat Canada, U.S. Term Loan B, 4.25%, 3/28/19
|
3,773,587
|
||
|
2,799,930
|
B/B1
|
WideOpenWest Finance LLC, Term Loan, 6.25%, 7/17/18
|
2,839,123
|
||
|
$ 15,693,984
|
|||||
|
Movies & Entertainment - 1.2%
|
|||||
|
1,410,750
|
BB-/Ba2
|
AMC Entertainment, Inc., Term Loan B-3, 4.75%, 2/22/18
|
$ 1,421,324
|
||
|
1,015,485
|
NR/Ba1
|
Cinedigm Digital Funding I LLC, Term Loan, 5.75%, 2/28/18
|
1,021,832
|
||
|
1,087,451
|
D/NR
|
Lodgenet Interactive Corp., Closing Date Term Loan, 8.5%, 4/4/14
|
772,090
|
||
|
750,000
|
BB-/Ba2
|
WMG Acquisitions Corp., Initial Term Loan, 5.25%, 11/1/18
|
761,875
|
||
|
$ 3,977,121
|
|||||
|
Publishing - 1.4%
|
|||||
|
971,795
|
CCC+/Caa2
|
Cengage Learning Acquisitions, Inc., Term Loan, 2.71%, 7/3/14
|
$ 764,803
|
||
|
957,763
|
NR/B2
|
Houghton Mifflin Co., Term Loan, 7.25%, 5/22/18
|
965,544
|
||
|
1,637,764
|
B+/Ba3
|
Interactive Data Corporation, Refinanced Term Loan, 3.75%, 2/11/18
|
1,643,394
|
||
|
EUR
|
895,659(f)
|
B/Ba3
|
Mediannuaire Holding, Term Loan B-2, .5%, 10/10/14
|
415,334
|
|
|
EUR
|
894,987
|
B/Ba3
|
Mediannuaire Holding, Term Loan C, 2.508%, 10/9/15
|
420,868
|
|
|
497,500
|
BB-/Ba3
|
MTL Publishing LLC, Term Loan B, 5.5%, 6/29/18
|
505,087
|
||
|
$ 4,715,030
|
|||||
|
Total Media
|
$ 55,561,937
|
||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 4.7%
|
|||||
|
Biotechnology - 2.1%
|
|||||
|
598,500
|
BB/B1
|
Alkermes, Inc., 2019 Term Loan, 3.5%, 9/25/19
|
$ 602,365
|
||
|
3,023,300
|
BB/B2
|
Aptalis Pharma, Inc., Term Loan B-1, 5.5%, 2/10/17
|
3,038,416
|
||
|
1,524,753
|
BB+/Ba2
|
Grifols, Inc., New U.S. Tranche B Term Loan, 4.25%, 6/1/17
|
1,535,871
|
||
|
221,845
|
BBB-/Ba3
|
Warner Chilcott Co., LLC, Term Loan B-2, 4.25%, 3/15/18
|
224,064
|
||
|
–
|
990,087
|
BBB-/Ba3
|
Warner Chilcott Corp., Term Loan B-1, 4.25%, 3/15/18
|
999,988
|
|
|
493,332
|
BBB-/Ba3
|
WC Luxco S.a.r.l., Term Loan B-3, 4.25%, 3/15/18
|
498,265
|
||
|
$ 6,898,969
|
|||||
|
Pharmaceuticals - 2.6%
|
|||||
|
1,575,000
|
B/B1
|
AssuraMed Holding, Inc., First Lien Initial Term Loan, 5.5%, 10/24/19
|
$ 1,582,875
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Pharmaceuticals (continued)
|
|||||
|
2,765,304(f)
|
CCC+/NR
|
Graceway Pharmaceuticals LLC, Mezzanine Term Loan, 14.0%, 11/1/13
|
7,779
|
||
|
1,110,261
|
NR/B1
|
Harvard Drug Group, LLC, Term Loan, 5.0%, 10/29/19
|
1,123,678
|
||
|
1,369,540(f)
|
NR/NR
|
K-V Pharmaceutical Company, DIP Facility, 5.5%, 12/27/13
|
1,328,453
|
||
|
1,060,673
|
B+/B2
|
Medpace Intermediateco, Inc., Term Loan B, 7.25%, 6/19/17
|
1,060,673
|
||
|
1,496,250
|
B+/B1
|
Par Pharmaceutical Companies, Inc., Term Loan B, 4.25%, 9/30/19
|
1,497,809
|
||
|
1,000,000
|
NR/NR
|
Valeant Pharmaceuticals International, Inc., Series C-1 Tranche B Term Loan, 3.5%, 12/11/19
|
1,006,745
|
||
|
750,000
|
BBB-/Ba1
|
Valeant Pharmaceuticals International, Inc., Series D-1 Tranche B Term Loan, 3.5%, 2/13/19
|
754,688
|
||
|
$ 8,362,700
|
|||||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 15,261,669
|
||||
|
REAL ESTATE - 1.5%
|
|||||
|
Real Estate Services - 1.5%
|
|||||
|
1,400,000
|
BB-/B1
|
Altisource Solutions, S.a.r.l, Term Loan B, 5.75%, 11/27/19
|
$ 1,422,750
|
||
|
985,000
|
BB/Ba1
|
CB Richard Ellis Services, Inc., Incremental Tranche C Term Loan, 3.454%, 3/4/18
|
989,618
|
||
|
985,000
|
BB/Ba1
|
CB Richard Ellis Services, Inc., Incremental Tranche D Term Loan, 3.702%, 9/4/19
|
989,618
|
||
|
1,500,000
|
B/B1
|
GCA Services Group, Inc., First Lien Initial Term Loan, 5.25%, 11/1/19
|
1,504,687
|
||
|
Total Real Estate
|
$ 4,906,673
|
||||
|
RETAILING - 5.8%
|
|||||
|
Apparel Retail - 1.1%
|
|||||
|
2,344,824
|
B-/B2
|
Gymboree Corp., Term Loan, 5.0%, 2/23/18
|
$ 2,269,496
|
||
|
606,156
|
NR/NR
|
Johnny Appleseed's, Inc., First Lien Second Out Term Loan, 6.5%, 4/25/16
|
484,925
|
||
|
147,288(f)
|
NR/NR
|
Johnny Appleseed's, Inc., Junior Term Loan, 1.0%, 4/25/17
|
117,831
|
||
|
619,910
|
BB/Ba3
|
Lord & Taylor Holdings LLC, Term Loan, 5.75%, 1/11/19
|
627,143
|
||
|
$ 3,499,395
|
|||||
|
Automotive Retail - 1.1%
|
|||||
|
2,000,000
|
B+/B1
|
ARC Automotive Group, Inc., Term Loan, 6.25%, 11/15/18
|
$ 2,016,666
|
||
|
548,620
|
BB/Ba1
|
Avis Budget Car Rental LLC, Tranche C Term Loan, 4.25%, 3/15/19
|
552,049
|
||
|
1,000,000
|
BB/Ba1
|
Hertz Corp., Tranche B-1 Term Loan, 3.75%, 3/11/18
|
1,007,292
|
||
|
$ 3,576,007
|
|||||
|
Computer & Electronics Retail - 0.6%
|
|||||
|
1,886,277
|
B/B2
|
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
|
$ 1,895,708
|
||
|
General Merchandise Stores - 2.2%
|
|||||
|
2,841,135
|
BBB/Ba1
|
Dollar General Corp., Tranche B-1 Term Loan, 2.959%, 7/7/14
|
$ 2,854,008
|
||
|
4,268,478
|
BBB-/Ba2
|
Dollar General Corp., Tranche B-2 Term Loan, 2.954%, 7/7/14
|
4,288,041
|
||
|
$ 7,142,049
|
|||||
|
Home Improvement Retail - 0.8%
|
|||||
|
750,000
|
NR/B1
|
Apex Tool Group, LLC, Term Loan, 4.5%, 1/31/20
|
$ 758,906
|
||
|
1,875,479
|
B+/Ba3
|
Hillman Group, Inc., Term Loan, 4.25%, 5/28/17
|
1,888,758
|
||
|
$ 2,647,664
|
|||||
|
Total Retailing
|
$ 18,760,823
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.8%
|
|||||
|
Semiconductor Equipment - 1.1%
|
|||||
|
1,909,186
|
BB-/B1
|
Aeroflex, Inc., Tranche B Term Loan, 5.75%, 5/9/18
|
$ 1,930,665
|
||
|
1,477,500
|
BB+/Ba2
|
Sensata Technology BV/Sensata Technology Finance Co., LLC, Term Loan, 3.75%, 5/12/18
|
1,490,066
|
||
|
$ 3,420,731
|
|||||
|
Semiconductors - 0.7%
|
|||||
|
2,087,548
|
BB/Ba2
|
Microsemi Corp., Term Loan B, 3.75%, 2/20/20
|
$ 2,106,336
|
||
|
312,638
|
BBB-/Ba2
|
Semtech Corp., Term Loan B, 4.25%, 3/20/17
|
316,545
|
||
|
$ 2,422,881
|
|||||
|
Total Semiconductors & Semiconductor Equipment
|
$ 5,843,612
|
||||
|
SOFTWARE & SERVICES - 9.2%
|
|||||
|
Application Software - 5.2%
|
|||||
|
1,417,585
|
B+/B1
|
Applied Systems, Inc., First Lien Term Loan, 5.5%, 12/8/16
|
$ 1,429,989
|
||
|
1,300,000
|
B+/B1
|
Applied Systems, Inc., Second Lien Term Loan, 9.5%, 6/8/17
|
1,314,219
|
||
|
1,250,000
|
B+/B1
|
Deltek, Inc. Systems, First Term Loan, 5.0%, 10/10/18
|
1,267,188
|
||
|
3,461,041
|
B/Ba3
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.0%, 4/3/18
|
3,497,095
|
||
|
995,006
|
B+/Ba3
|
Infor (US), Inc., Tranche B-2 Term Loan, 5.25%, 4/5/18
|
1,009,309
|
||
|
1,553,776
|
BB+/Baa2
|
Nuance Communications, Inc., Term Loan C, 3.21%, 3/31/16
|
1,564,847
|
||
|
1,509,527
|
B+/B1
|
Serena Software, Inc., Extended 2016 Term Loan, 4.201%, 3/10/16
|
1,518,490
|
||
|
2,403,627
|
BB-/B1
|
Verint Systems, Inc., 2011 Term Loan, 4.5%, 10/27/17
|
2,417,148
|
||
|
1,912,486
|
B+/B1
|
Vertafore, Inc., First Lien Term Loan, 5.25%, 7/29/16
|
1,935,796
|
||
|
1,000,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
1,030,000
|
||
|
$ 16,984,081
|
|||||
|
Data Processing & Outsourced Services - 1.3%
|
|||||
|
60,879
|
B+/B1
|
First Data Corp., 2017 Dollar Term Loan, 5.202%, 3/24/17
|
$ 61,164
|
||
|
802,493
|
B+/B1
|
First Data Corp., 2018 Dollar Term Loan, 4.202%, 3/23/18
|
794,397
|
||
|
1,000,000
|
B+/B1
|
First Data Corp., 2018 Dollar Term Loan, 5.202%, 9/24/18
|
1,002,589
|
||
|
1,870,313
|
BB+/Ba2
|
Genpact, Ltd., Term Loan B, 4.25%, 8/30/19
|
1,897,587
|
||
|
567,143
|
BBB-/Ba2
|
Vantiv LLC, Tranche B Term Loan, 3.75%, 3/27/19
|
569,802
|
||
|
$ 4,325,539
|
|||||
|
Internet Software & Services - 0.1%
|
|||||
|
393,000
|
BB+/Ba3
|
Autotrader.com, Inc., Tranche B-1 Term Loan, 4.0%, 12/15/16
|
$ 397,028
|
||
|
IT Consulting & Other Services - 1.7%
|
|||||
|
1,995,000
|
BB/Ba3
|
Booz Allen Hamilton, Inc., Initial Tranche B Term Loan, 4.5%, 7/31/19
|
$ 2,017,444
|
||
|
500,000
|
NR/Ba3
|
Kronos Inc., First Lien Initial Term Loan, 4.5%, 10/30/19
|
505,469
|
||
|
2,944,049
|
BB/Ba3
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.948%, 2/28/17
|
2,966,730
|
||
|
$ 5,489,643
|
|||||
|
Systems Software - 0.9%
|
|||||
|
984,857
|
BBB-/Ba2
|
Dealer Computer Services, Inc., Tranche B Term Loan, 3.75%, 4/21/18
|
$ 991,474
|
||
|
2,053,981
|
NR/Ba2
|
Rovi Solutions Corp., Tranche B-2 Term Loan, 4.0%, 3/29/19
|
2,066,767
|
||
|
$ 3,058,241
|
|||||
|
Total Software & Services
|
$ 28,987,344
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 3.7%
|
|||||
|
Communications Equipment - 1.8%
|
|||||
|
1,496,250
|
B+/B1
|
Audio Visual Services Group, Inc., First Lien Term Loan, 6.75%, 11/9/18
|
$ 1,493,445
|
||
|
1,960,050
|
BB/Ba3
|
CommScope, Inc., Tranche 1 Term Loan, 4.25%, 1/14/18
|
1,975,964
|
||
|
2,525,000
|
BBB-/Ba3
|
Riverbed Technology, Inc., Term Loan, 4.0%, 12/18/19
|
2,554,984
|
||
|
$ 6,024,393
|
|||||
|
Electronic Components - 0.5%
|
|||||
|
5,120
|
BB+/Ba2
|
Flextronics International, Ltd., Delayed Draw Term Loan A-1-B, 2.454%, 10/1/14
|
$ 5,139
|
||
|
162,908
|
BB+/Ba2
|
Flextronics International, Ltd., Delayed Draw Term Loan A-3, 2.454%, 10/1/14
|
163,518
|
||
|
1,359,167
|
B+/B2
|
Generac Power Systems, Inc., Term Loan, 6.25%, 5/30/18
|
1,389,748
|
||
|
$ 1,558,405
|
|||||
|
Electronic Equipment & Instruments - 0.3%
|
|||||
|
992,424
|
B+/Ba3
|
Sensus USA, Inc., Term Loan, 4.75%, 5/9/17
|
$ 995,112
|
||
|
Electronic Manufacturing Services - 0.2%
|
|||||
|
601,623
|
B+/B2
|
Clover Technologies Group LLC (Clover Holdings, Inc.), Term Loan, 6.75%, 5/7/18
|
$ 601,623
|
||
|
Technology Distributors - 0.4%
|
|||||
|
1,295,200
|
BB-/B1
|
Excelitas Technologies Corp., New Term Loan B, 5.0%, 11/29/16
|
$ 1,301,676
|
||
|
Telecommunication Services - 0.5%
|
|||||
|
1,641,237
|
B/B2
|
Securus Technologies Holdings, Inc., First Lien Term Loan, 6.5%, 5/31/17
|
$ 1,644,314
|
||
|
Total Technology Hardware & Equipment
|
$ 12,125,523
|
||||
|
TELECOMMUNICATION SERVICES - 5.3%
|
|||||
|
Alternative Carriers - 0.7%
|
|||||
|
EUR
|
745,314
|
B/B2
|
Amsterdamse Beheere-En Consultingmaatschappij B.V., Casema Facility Term Loan B-3, 3.117%, 3/31/17
|
$ 980,192
|
|
|
EUR
|
257,598
|
NR/B2
|
Amsterdamse Beheere-En Consultingmaatschappij B.V., Casema Facility Term Loan B-4, 3.117%, 3/31/17
|
338,777
|
|
|
EUR
|
849,351
|
NR/NR
|
Amsterdamse Beheere-En Consultingmaatschappij B.V., Kabelcom Facility Term Loan B-2, 3.117%, 3/31/17
|
1,117,014
|
|
|
$ 2,435,983
|
|||||
|
Integrated Telecommunication Services - 1.6%
|
|||||
|
GBP
|
400,000
|
BB-/Ba3
|
Virgin Media Investment, Term Loan, 2.75%, 2/15/20
|
$ 606,886
|
|
|
1,660,000
|
BB-/Ba3
|
Virgin Media Investment, Term Loan, 3.75%, 2/15/20
|
1,654,120
|
||
|
1,630,336
|
NR/NR
|
West Corp., Tranche B-8 Term Loan, 4.25%, 6/30/18
|
1,637,723
|
||
|
1,250,000
|
BB+/Baa3
|
Windstream Corp., Tranche B-4 Term Loan, 3.5%, 1/23/20
|
1,261,250
|
||
|
$ 5,159,979
|
|||||
|
Wireless Telecommunication Services - 3.0%
|
|||||
|
1,460,250
|
B+/Ba2
|
Crown Castle Operating Co., Tranche B Term Loan, 4.0%, 1/31/19
|
$ 1,471,405
|
||
|
5,506,597
|
BB/Ba1
|
MetroPCS Wireless, Inc., Tranche B-2 Term Loan, 4.071%, 11/3/16
|
5,541,013
|
||
|
687,740
|
BB/Ba1
|
MetroPCS Wireless, Inc., Tranche B-3 Term Loan, 4.0%, 3/17/18
|
691,751
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Wireless Telecommunication Services (continued)
|
|||||
|
1,965,125
|
BB-/B1
|
Syniverse Holdings, Inc., Initial Term Loan, 5.0%, 4/23/19
|
1,975,566
|
||
|
$ 9,679,735
|
|||||
|
Total Telecommunication Services
|
$ 17,275,697
|
||||
|
TRANSPORTATION - 3.6%
|
|||||
|
Air Freight & Logistics - 0.8%
|
|||||
|
300,000
|
B/B1
|
Ceva Group Plc, Dollar Tranche B Pre-Funded L/C Term Loan, 0.211%, 8/31/16
|
$ 289,125
|
||
|
1,200,000
|
CCC+/Caa1
|
Ceva Group Plc, EGL Tranche B Term Loan, 5.299%, 8/31/16
|
1,165,998
|
||
|
1,065,000
|
B-/Ba3
|
Ozburn-Hessey Holding Co., LLC, First Lien Term Loan, 8.25%, 4/8/16
|
1,067,662
|
||
|
$ 2,522,785
|
|||||
|
Airlines - 2.3%
|
|||||
|
835,125
|
BB-/Ba3
|
Allegiant Travel Co., Term Loan, 5.75%, 3/10/17
|
$ 841,128
|
||
|
1,329,750
|
BB-/Ba2
|
Delta Air Lines, Inc., 2011 Term Loan, 4.25%, 4/20/17
|
1,340,831
|
||
|
1,500,000
|
B+/Ba2
|
Delta Air Lines, Inc., Term Loan B-1, 5.25%, 10/18/18
|
1,522,188
|
||
|
244,463
|
BB-/Ba3
|
United Air Lines, Inc., Tranche B Term Loan, 2.25%, 2/1/14
|
245,303
|
||
|
3,500,000
|
B+/B2
|
US Airways Group, Inc., Term Loan, 2.704%, 3/21/14
|
3,497,375
|
||
|
$ 7,446,825
|
|||||
|
Trucking - 0.5%
|
|||||
|
1,507,418
|
BB/Ba2
|
Swift Transportation Co., LLC, Tranche B-2 Term Loan, 5.0%, 12/21/17
|
$ 1,524,243
|
||
|
Total Transportation
|
$ 11,493,853
|
||||
|
UTILITIES - 2.1%
|
|||||
|
Electric Utilities - 0.8%
|
|||||
|
3,506,137
|
CCC/Caa3
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.792%, 10/10/17
|
$ 2,386,052
|
||
|
Independent Power Producers & Energy Traders - 1.3%
|
|||||
|
1,256,030
|
0
|
AES Corp., Initial Term Loan, 5.0%, 6/1/18
|
$ 1,265,451
|
||
|
498,750
|
BB-/B1
|
Calpine Corp., 2012 Term Loan, 4.0%, 10/9/19
|
503,374
|
||
|
1,694,813
|
BB-/B1
|
Calpine Corp., Term Loan, 4.0%, 4/1/18
|
1,707,947
|
||
|
847,100
|
NR/NR
|
NRG Energy, Inc.,Term Loan, 3.25%, 7/1/18
|
852,697
|
||
|
$ 4,329,469
|
|||||
|
Total Utilities
|
$ 6,715,521
|
||||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
|
(Cost $456,926,197)
|
$ 449,257,505
|
||||
|
CLAIMS - 0.0% +of Net Assets
|
|||||
|
TRANSPORTATION - 0.0%+
|
|||||
|
Airlines - 0.0%+
|
|||||
|
1,200,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., ALPA Claim-Escrow, 0.0%
|
$ –
|
||
|
2,500,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., Bell Atlantic Claim-Escrow, 0.0%
|
–
|
||
|
2,500,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., EDC Claim-Escrow, 0.0%
|
–
|
||
|
2,130,600(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., Flight Attendant Claim-Escrow, 0.0%
|
–
|
||
|
1,500,000(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., GE Claim-Escrow, 0.0%
|
–
|
||
|
1,264,500(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., IAM Claim-Escrow, 0.0%
|
–
|
||
|
1,404,900(a)(g)
|
NR/NR
|
Northwest Airlines, Inc., Retiree Claim-Escrow, 0.0%
|
–
|
||
|
Total Transportation
|
$ –
|
||||
|
TOTAL CLAIMS
|
|||||
|
(Cost $0)
|
$ –
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
CORPORATE BONDS & NOTES - 7.1% of Net Assets
|
|||||
|
BANKS - 0.3%
|
|||||
|
Diversified Banks - 0.3%
|
|||||
|
1,000,000(d)
|
BBB+/Baa2
|
Intesa Sanpaolo SpA, 2.688%, 2/24/14 (144A)
|
$ 1,006,279
|
||
|
Total Banks
|
$ 1,006,279
|
||||
|
CAPITAL GOODS - 0.9%
|
|||||
|
Aerospace & Defense - 0.6%
|
|||||
|
1,850,000
|
BB-/Ba3
|
Spirit Aerosystems, Inc., 7.5%, 10/1/17
|
$ 1,961,000
|
||
|
Construction & Farm Machinery & Heavy Trucks - 0.3%
|
|||||
|
1,000,000
|
B+/B3
|
Manitowoc Co., Inc., 9.5%, 2/15/18
|
$ 1,110,000
|
||
|
Total Capital Goods
|
$ 3,071,000
|
||||
|
CONSUMER DURABLES & APPAREL - 0.3%
|
|||||
|
Housewares & Specialties - 0.3%
|
|||||
|
1,000,000
|
BB-/Ba3
|
Jarden Corp., 8.0%, 5/1/16
|
$ 1,048,750
|
||
|
Total Consumer Durables & Apparel
|
$ 1,048,750
|
||||
|
DIVERSIFIED FINANCIALS - 0.3%
|
|||||
|
Consumer Finance - 0.1%
|
|||||
|
200,000
|
BBB/Baa1
|
Capital One Financial Corp., 7.375%, 5/23/14
|
$ 215,764
|
||
|
Other Diversified Financial Services - 0.2%
|
|||||
|
250,000(d)
|
BB/NR
|
East Lane Re V, Ltd., 9.106%, 3/16/16 (144A)
|
$ 269,250
|
||
|
500,000(d)
|
BBB-/NR
|
Vita Capital V, Ltd., 2.896%, 1/15/17 (144A)
|
502,900
|
||
|
$ 772,150
|
|||||
|
Total Diversified Financials
|
$ 987,914
|
||||
|
ENERGY - 1.0%
|
|||||
|
Oil & Gas Drilling - 0.2%
|
|||||
|
250,000
|
B-/B3
|
Offshore Group Investments, Ltd., 7.5%, 11/1/19 (144A)
|
$ 257,812
|
||
|
271,000
|
B-/B3
|
Offshore Group Investments, Ltd., 11.5%, 8/1/15
|
295,390
|
||
|
$ 553,202
|
|||||
|
Oil & Gas Exploration & Production - 0.8%
|
|||||
|
2,490,000
|
BB/B1
|
Denbury Resources, Inc., 8.25%, 2/15/20
|
$ 2,795,025
|
||
|
Total Energy
|
$ 3,348,227
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 1.1%
|
|||||
|
Health Care Equipment & Services - 0.4%
|
|||||
|
950,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 1,071,125
|
||
|
Health Care Supplies - 0.7%
|
|||||
|
7,780,696(c)
|
NR/NR
|
Azithromycin Royalty Sub LLC, 16.0%, 5/15/19
|
$ 2,334,209
|
||
|
Total Health Care Equipment & Services
|
$ 3,405,334
|
||||
|
INSURANCE - 0.8%
|
|||||
|
Reinsurance - 0.8%
|
|||||
|
250,000(d)
|
BB-/NR
|
Atlas Reinsurance VII, Ltd., 8.178%, 1/7/16 (144A)
|
$ 249,750
|
||
|
500,000(d)
|
NR/Baa1
|
Combine Re, Ltd., 4.606%, 1/7/15 (144A)
|
513,300
|
||
|
500,000(d)
|
BB/NR
|
Lodestone Re, Ltd., 6.106%, 1/8/14 (144A)
|
500,450
|
||
|
500,000(d)
|
BB-/NR
|
Lodestone Re, Ltd., 8.356%, 5/17/13 (144A)
|
504,050
|
||
|
250,000(d)
|
BB/NR
|
Mystic Re, Ltd., 9.106%, 3/12/15 (144A)
|
262,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
|
Reinsurance (continued)
|
|||||
|
250,000(d)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.71%, 1/5/17 (144A)
|
250,875
|
||
|
250,000(d)
|
B/NR
|
Queen Street VII Re, Ltd., 8.706%, 4/8/16 (144A)
|
249,850
|
||
|
Total Insurance
|
$ 2,530,275
|
||||
|
MATERIALS - 1.2%
|
|||||
|
Diversified Metals & Mining - 0.3%
|
|||||
|
1,050,000
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20 (144A)
|
$ 1,018,500
|
||
|
Paper Packaging - 0.3%
|
|||||
|
1,000,000(d)
|
B+/WR
|
Berry Plastics Corp., 5.054%, 2/15/15
|
$ 1,000,200
|
||
|
Paper Products - 0.6%
|
|||||
|
1,750,000
|
B+/B1
|
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
|
$ 1,841,875
|
||
|
Total Materials
|
$ 3,860,575
|
||||
|
MEDIA - 0.3%
|
|||||
|
Advertising - 0.3%
|
|||||
|
936,000
|
B/B3
|
MDC Partners, Inc., 11.0%, 11/1/16
|
$ 1,031,940
|
||
|
Total Media
|
$ 1,031,940
|
||||
|
RETAILING - 0.6%
|
|||||
|
Catalog Retail - 0.6%
|
|||||
|
1,825,000
|
BBB-/Ba2
|
QVC, Inc., 7.5%, 10/1/19 (144A)
|
$ 2,014,238
|
||
|
Total Retailing
|
$ 2,014,238
|
||||
|
TELECOMMUNICATION SERVICES - 0.0%+
|
|||||
|
Integrated Telecommunication Services - 0.0%+
|
|||||
|
6,000
|
BB-/Ba2
|
Frontier Communications Corp., 8.25%, 5/1/14
|
$ 6,420
|
||
|
Total Telecommunication Services
|
$ 6,420
|
||||
|
TRANSPORTATION - 0.3%
|
|||||
|
Air Freight & Logistics - 0.3%
|
|||||
|
1,000,000
|
CCC+/Caa2
|
CEVA Group Plc, 11.5%, 4/1/18 (144A)
|
$ 920,000
|
||
|
Total Transportation
|
$ 920,000
|
||||
|
TOTAL CORPORATE BONDS & NOTES
|
|||||
|
(Cost $27,461,258)
|
$ 23,230,952
|
||||
|
Shares
|
Value
|
||||
|
COMMON STOCKS - 2.9% of Net Assets
|
|||||
|
AUTOMOBILES & COMPONENTS - 2.5%
|
|||||
|
Auto Parts & Equipment - 2.5%
|
|||||
|
197,208(h)
|
Delphi Automotive Plc
|
$ 8,253,155
|
|||
|
Total Automobiles & Components
|
$ 8,253,155
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 0.0%+
|
|||||
|
Health Care Services - 0.0%+
|
|||||
|
15,034(h)
|
CCS Medical Holdings, Inc.
|
$ 165,374
|
|||
|
Total Health Care Equipment & Services
|
$ 165,374
|
||||
|
MEDIA - 0.3%
|
|||||
|
Broadcasting - 0.3%
|
|||||
|
245(h)
|
New Young Broadcasting Holding Co., Inc.
|
$ 924,875
|
|||
|
Total Media
|
$ 924,875
|
||||
|
RETAILING - 0.0%+
|
|||||
|
Apparel Retail - 0.0%+
|
|||||
|
569(h)
|
Johnny Appleseed's, Inc.
|
$ –
|
|||
|
Total Retailing
|
$ –
|
||||
|
TELECOMMUNICATION SERVICES - 0.1%
|
|||||
|
Alternative Carriers - 0.1%
|
|||||
|
57,813(h)
|
Clearwire Corp., Class A
|
$ 180,377
|
|||
|
Total Telecommunication Services
|
$ 180,377
|
||||
|
Shares
|
Value
|
||||
|
TRANSPORTATION - 0.0%+
|
|||||
|
Airlines - 0.0%+
|
|||||
|
960(h)
|
Delta Air Lines, Inc.
|
$ 13,699
|
|||
|
Total Transportation
|
$ 13,699
|
||||
|
UTILITIES - 0.0%
|
|||||
|
Independent Power Producers & Energy Traders - 0.0%+
|
|||||
|
775
|
NRG Energy, Inc.
|
$ 18,600
|
|||
|
Total Utilities
|
$ 18,600
|
||||
|
TOTAL COMMON STOCKS
|
|||||
|
(Cost $5,297,916)
|
$ 9,556,080
|
||||
|
PREFERRED STOCK - 0.2% of Net Assets
|
|||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
|||||
|
Biotechnology - 0.2%
|
|||||
|
153,554(h)
|
Molecular Insight Pharmaceuticals, Inc., 0.0
|
$ 499,050
|
|||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 499,050
|
||||
|
TOTAL PREFERRED STOCK
|
|||||
|
(Cost $1,305,209)
|
$ 499,050
|
||||
|
LIQUIDATING TRUSTS - 0.0% +of Net Assets
|
|||||
|
CONSUMER SERVICES - 0.0%+
|
|||||
|
Hotels, Resorts & Cruise Lines - 0.0%+
|
|||||
|
3,377,886(a)(h)(i)
|
Yellowstone Mountain Club LLC, Liquidating Trust
|
$ –
|
|||
|
Total Consumer Services
|
$ –
|
||||
|
ENERGY - 0.0%+
|
|||||
|
Oil & Gas Exploration & Production - 0.0%+
|
|||||
|
4,995,000(a)(h)(i)
|
Crusader Energy Group, Inc., Liquidating Trust
|
$ –
|
|||
|
Total Energy
|
$ –
|
||||
|
TOTAL LIQUIDATING TRUSTS
|
|||||
|
(Cost $0)
|
$ –
|
||||
|
RIGHT/WARRANT - 0.8% of Net Assets
|
|||||
|
MEDIA - 0.8%
|
|||||
|
Broadcasting - 0.8%
|
|||||
|
665(h)
|
New Young Broadcasting Holding Co., Inc., Expires 12/24/24
|
$ 2,510,375
|
|||
|
Total Media
|
$ 2,510,375
|
||||
|
TOTAL RIGHT/WARRANT
|
|||||
|
(Cost $1,307,997)
|
$ 2,510,375
|
||||
|
Principal
Amount
|
Value
|
||||
|
TEMPORARY CASH INVESTMENTS - 4.9% - of Net Assets
|
|||||
|
REPURCHASE AGREEMENT: 4.9%
|
|||||
|
$15,850,000
|
Bank of Nova Scotia, Inc., .18%, dated 3/1/13, repurchase price of $18,725,000 plus accrued interest on 3/1/13 collateralized by $16,167,082 Federal National Mortgage Association, 2.5%, 9/1/27.
|
$ 15,850,000
|
|||
|
TOTAL TEMPORARY CASH INVESTMENTS
|
|||||
|
(Cost $15,850,000)
|
$ 15,850,000
|
||||
|
Principal
Amount
|
Value
|
||||
|
(continued)
|
|||||
|
TOTAL INVESTMENTS IN SECURITIES - 156.9%
|
|||||
|
(Cost - $515,342,333) (j)
|
$ 509,020,218
|
||||
|
OTHER ASSETS AND LIABILITIES -(0.7)%
|
$ (2,140,533)
|
||||
|
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE - (56.2)%
|
$ (182,461,316)
|
||||
|
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 324,418,369
|
||||
|
NR
|
Security not rated by S&P or Moody's.
|
|
|
WR
|
Rating withdrawn by either S&P or Moody's.
|
|
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At February 28, 2013, the value of these securities amounted to $18,661,440, or 5.8% of total net assets applicable to common shareowners.
|
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at February 28, 2013.
|
|
(a)
|
Security is valued using fair value methods.
|
|
(b)
|
Security is in default and is non income producing.
|
|
(c)
|
Indicates a security that has been deemed as illiquid. The aggregate cost of illiquid securities is $20,224,779. The aggregate fair value of $10,615,412 represents 3.3% of total net assets applicable to common shareowners.
|
|
(d)
|
Floating rate note. The rate shown is the coupon rate at February 28, 2013.
|
|
(e)
|
The company and agent bank are in the process of negotiating forbearance.
|
|
(f)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|
(g)
|
Security represents a claim which is subject to bankruptcy court findings which may result in an exchange of money, assets or equity.
|
|
(h)
|
Non-income producing.
|
|
(i)
|
Security represents a liquidating trust which is a vehicle which through future settlements of bankruptcy claims are dispersed to creditors.
|
|
(j)
|
At February 28, 2013, the net unrealized loss on investments based on cost for federal tax purposes of $515,342,333 was as follows:
|
|
|
Aggregate gross unrealized gain for all investments in which there is an excess of value over tax cost
|
$ 15,340,369
|
|
|
Aggregate gross unrealized loss for all investments in which there is an excess of tax cost over value
|
(21,662,484)
|
|
|
Net unrealized loss
|
$ (6,322,115)
|
|
|
For financial reporting purposes net unrealized loss on investments was $6,322,115 and cost of investments aggregated $515,342,333.
|
||
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
|
EUR
|
-
|
Euro
|
|
GBP
|
-
|
Great British Pound
|
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
|
Level 1 - quoted prices in active markets for identical securities
|
||||||||||||||||
|
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
|
||||||||||||||||
|
credit risks, etc.)
|
||||||||||||||||
|
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments)
|
||||||||||||||||
|
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services) as level 3.
|
||||||||||||||||
|
The following is a summary of the inputs used as of February 28, 2013, in valuing the Trust's investments.
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
ASSET BACKED SECURITY
|
$ | – | $ | 212,553 | $ | – | $ | 212,553 | ||||||||
|
COLLATERALIZED LOAN OBLIGATIONS
|
||||||||||||||||
|
Diversified Banks
|
– | – | 2,653,393 | 2,653,393 | ||||||||||||
|
Thrifts & Mortgage Finance
|
– | – | 5,250,310 | 5,250,310 | ||||||||||||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
– | 449,257,505 | – | 449,257,505 | ||||||||||||
|
CLAIMS
|
||||||||||||||||
|
Airlines
|
– | – | – | * | – | |||||||||||
|
CORPORATE BONDS & NOTES
|
– | 23,230,952 | – | 23,230,952 | ||||||||||||
|
COMMON STOCKS
|
||||||||||||||||
|
Broadcasting
|
– | 924,875 | – | 924,875 | ||||||||||||
|
Apparel Retail
|
– | – | – | * | – | |||||||||||
|
Health Care Services
|
– | 165,374 | – | 165,374 | ||||||||||||
|
All Other
|
8,465,831 | – | – | 8,465,831 | ||||||||||||
|
PREFERRED STOCK
|
||||||||||||||||
|
Biotechnology
|
– | 499,050 | – | 499,050 | ||||||||||||
|
LIQUIDATING TRUSTS
|
||||||||||||||||
|
Oil & Gas Exploration & Production
|
– | – | – | * | – | |||||||||||
|
Hotels, Resorts & Cruise Lines
|
– | – | – | * | – | |||||||||||
|
RIGHT/WARRANT
|
||||||||||||||||
|
Broadcasting
|
– | 2,510,375 | – | 2,510,375 | ||||||||||||
|
TEMPORARY CASH INVESTMENTS
|
||||||||||||||||
|
REPURCHASE AGREEMENT
|
– | 15,850,000 | – | 15,850,000 | ||||||||||||
|
TOTAL INVESTMENTS IN SECURITIES
|
$ | 8,465,831 | $ | 492,650,684 | $ | 7,903,703 | $ | 509,020,218 | ||||||||
|
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
|
Balance
as of
11/30/12
|
Realized
gain
(loss)(1) Paydowns
|
Change in
Unrealized appreciation
(depreciation)(1)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers in to
Level 3*
|
Transfers
out of
Level 3*
|
Balance
as of
2/28/13
|
||||||||||||||||||||||||||||
|
COLLATERALIZED LOAN OBLIGATIONS
|
||||||||||||||||||||||||||||||||||||
|
Diversified Banks
|
$ | 2,375,695 | $ | – $ – | $ | 242,386 | $ | – | $ | – | $ | 35,312 | $ | – | $ | – | $ | 2,653,393 | ||||||||||||||||||
|
Thrifts & Mortgage Finance
|
4,984,230 | – – | 206,444 | – | – | 59,636 | – | – | 5,250,310 | |||||||||||||||||||||||||||
|
CORPORATE BONDS & NOTES
|
||||||||||||||||||||||||||||||||||||
|
Pharmaceutical & Biotechnology
& Life Sciences
|
5,707,340 | 1,985 | (372,647) | (3,004,682 | ) | – | – | 2,213 | – | (2,334,209 | ) | – | ||||||||||||||||||||||||
|
Total
|
$ | 13,067,265 | $ | 1,985 $ | (372,647) | $ | (2,555,852 | ) | $ | – | $ | - | $ | 97,161 | $ | – | $ | (2,334,209 | ) | $ | 7,903,703 | |||||||||||||||
|
* Transfers are calculated on the end of period value
|
||||||||||||||||||||||||||||||||||||
|
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 02/28/13: $448,830
|
||||||||||||||||||||||||||||||||||||
|
Fair Value 2/28/2013
|
Valuation Technique(s)
|
Unobservable Input
|
Value/Range (Weighted Average)
|
|||||||
|
Collateralized Loan Obligations (1)
|
$ | 7,903,703 |
Third Party
Vendor
|
Broker Quote
|
$81.11-$93.35
per bond
|
|||||
|
Liquidating Trusts (1)
|
- |
Discounted Cash Flow
|
Residual Value
|
0 | ||||||
|
Claims (2)
|
- |
Discounted
Cash Flow
|
Residual Value
|
0 | ||||||