|
Monthly Portfolio Holdings as of 9/30/2009
| Security Name |
Par / Shares |
Market Value |
| ACCELLENT INC 10.5%, 12/1/13 |
750,000 |
$716,250 |
| ACCURIDECORP TL SS PR |
1,000,000 |
$972,500 |
| ACE 2004-HE4 M1 FRN, 12/25/34 |
246,741 |
$169,576 |
| ACE CASH EXPRES 144A 10.25%, 10/1/2014 |
750,000 |
$503,438 |
| ACE CASH EXPRESS TLB BS PR |
839,141 |
$652,432 |
| ACTIVANT SOLUT 9.5, 5/1/16 |
405,000 |
$362,475 |
| ACTIVANT SOLUTIONS I L+2.0%, 5/2/13 |
404,694 |
$376,365 |
| AEP INDUSTRIES, 7.875%, 3/15/13 |
1,145,000 |
$1,099,200 |
| AEROFLEX INC 11.75% 021515 |
750,000 |
$682,500 |
| AEROFLEX INC TLB 2 GS PR |
736,875 |
$681,609 |
| AGY HOLDING CORP 11.0%, 11/15/14 |
865,000 |
$692,000 |
| AINSWORTH LUMBER |
13,963 |
$31,353 |
| AINSWORTH LUMBER 11.0%, 7/29/15 144A |
47,651 |
$26,208 |
| AINSWORTH LUMBER CO. L+3.0%, 6/26/14 |
1,500,000 |
$1,105,005 |
| AIRCRAFT FINANCE TRU 0.8443799999999999% |
233,734 |
$147,253 |
| AIRCRAFT FINANCE TRU FRN%, 5/15/24 |
950,000 |
$323,000 |
| AKIBARE LTD FRN, 5/22/12 |
1,500,000 |
$1,456,050 |
| AKIBARE LTD FRN, 5/22/12 144A |
1,000,000 |
$969,600 |
| ALERIS INTL INC. 10.0%, 12/15/16 |
700,000 |
$700 |
| ALGOMA ACQUISITION 9.875%, 6/15/15 144A |
1,245,000 |
$1,045,800 |
| ALGOMA STEEL 1ST LIEN UB PR |
1,297,689 |
$1,240,915 |
| ALLIANCE ONE INT 10.0%, 7/15/16 |
1,765,000 |
$1,822,363 |
| ALLIANCE ONE INTERNA 10% 071516 |
250,000 |
$258,125 |
| ALLIANT HOLDINGS INC 11.0%, 5/1/15 (144A) |
250,000 |
$243,750 |
| ALLIANT HOLDINGS TLB JP PR |
1,473,750 |
$1,387,167 |
| ALLISON TRANSMISSION 11.0%, 11/1/15 144A |
980,000 |
$960,400 |
| ALROSA FINANCE 144A 8.875%, 11/17/14 |
500,000 |
$485,000 |
| ALTO PALERMO SA FRN 6/11/12 144A |
88,261 |
$50,530 |
| AMERICAN RAILCAR 7.50%, 3/1/14 |
720,000 |
$669,600 |
| AMWIN GROUP INC L+2.5%, 6/8/13 |
785,477 |
$602,854 |
| AMWIN GROUP INC L+5.5%, 6/11/13 2ND |
1,000,000 |
$600,000 |
| ARANTES INTERNATIONA 10.25%, 6/19/13 144A |
490,000 |
$19,600 |
| ARCO CHEMICAL CO 9.8%, 2/1/20 |
195,000 |
$131,625 |
| ASHLAND INC 9.125%, 6/1/17 |
380,000 |
$406,600 |
| ASIA ALUMINUM HOLDIN 144A 8.0%, 12/23/11 |
600,000 |
$96,000 |
| ASSET ACCEPTANCE JP PR TL |
722,863 |
$697,562 |
| ATF CAPITAL BV 9.25%, 2/21/14 144A |
250,000 |
$235,000 |
| ATLAS REINSURANCE FRN, 1/10/11 144A |
1,500,000 |
$2,104,863 |
| BANCO MACRO SA 9.75%, 12/18/36 |
500,000 |
$358,750 |
| BANCO MACRO SA FRN, 6/7/12 |
700,000 |
$406,000 |
| BANK OF AMERICA CORP 7.25%, 12/31/49 |
595 |
$505,744 |
| BASELL FINANCE CO 8.1%, 3/15/27 144A |
300,000 |
$231,000 |
| BAUSCH & LOMB INC 9.875%, 11/1/15 |
750,000 |
$785,625 |
| BAUSCH & LOMB INC ASSGN |
354,599 |
$339,478 |
| BAUSCH AND LOM DD BS |
90,000 |
$86,162 |
| BAYV 2004-C A1 FRN, 5/28/44 |
1,547,754 |
$1,210,338 |
| BAYV 2004-D A FRN, 8/28/44 |
930,172 |
$801,749 |
| BELVEDERE FRN, 5/15/13 144A |
330,000 |
$48,236 |
| BERRY PETROLEUM CO 10.25%, 6/1/14 |
505,000 |
$539,088 |
| BERTIN LTDA 10.25%, 10/5/16 144A |
650,000 |
$651,625 |
| BIOMET INC 10.375%,10/15/17 PIK |
1,265,000 |
$1,344,063 |
| BLAZE RECYCLING & METALS |
100,000 |
$100,000 |
| BLAZE RECYCLING 13.0%, 7/15/12 |
320,000 |
$220,800 |
| BLUE FIN LTD FRN, 4/10/12 144A |
2,000,000 |
$1,748,400 |
| BOMBARDIER INC 7.25%, 11/15/16 |
500,000 |
$738,164 |
| BRICKMAN GRO TL LH |
780,228 |
$734,064 |
| BROADVIEW NETWORK 11.375%, 9/1/12 |
910,000 |
$833,788 |
| BUFFALO THUNDER REV 9.375%, 12/15/14 |
500,000 |
$88,750 |
| C8 CAPITAL SPV FRN, 12/31/49 144A |
300,000 |
$231,327 |
| CAELUS RE LTD FRN, 6/7/11 |
1,000,000 |
$951,200 |
| CALABASH RE CAT BOND FRN, 1/8/10 |
1,500,000 |
$1,502,100 |
| CALABASH RE CAT BOND FRN, 1/8/10 |
1,000,000 |
$1,000,600 |
| CALPINE CORP 1ST DIP CS PR |
1,955,225 |
$1,787,320 |
| CAPITAL ONE CAPITAL 10.25%, 8/15/39 |
500,000 |
$552,510 |
| CARILLON LTD 144A FRN, 1/10/11 |
1,000,000 |
$999,500 |
| CARITOR SYN LC CI PR |
42,654 |
$37,962 |
| CARITOR TL CI PR |
557,346 |
$496,038 |
| CARRINGTON MORTGAGE FRN, 12/25/36 |
699,000 |
$280,825 |
| CARRINGTON MORTGAGE VAR, 10/25/36 |
200,000 |
$145,431 |
| CASELLA WASTE SYSTEM 11.0%, 7/15/14 |
210,000 |
$220,500 |
| CASELLA WASTE SYSTEM TLB L+5.0%, 4/9/14 |
125,000 |
$126,094 |
| CATALENT TL MS |
1,355,208 |
$1,197,327 |
| CCH II LLC/CCH 10.25%, 9/15/10 |
250,000 |
$280,000 |
| CCH I LLC, 11%, 10/01/2015 |
40,000 |
$7,400 |
| CELL C PTY LD 11.0%, 7/1/15 144A |
60,000 |
$53,100 |
| CELLU TISSUE HO 11.5%, 6/1/14 |
425,000 |
$454,750 |
| CENTRAL GARDEN & PET CO |
205,000 |
$207,306 |
| CENVEO CORPORATION TLC L+1.75% 6/21/13 |
242,439 |
$235,366 |
| CENVEO CORPOR DD L+1.75%, 6/21/13 |
6,922 |
$6,720 |
| CEVA GROUP PLC 10.0%, 9/1/14 144A |
775,000 |
$689,750 |
| CEVA GROUP PLC L-.10%, 11/4/13 |
439,482 |
$369,348 |
| CEVA GROUP PLC L+3.0%, 11/4/13 |
1,312,964 |
$1,103,437 |
| CHESAPEAKE ENGY CORP 9.5%, 2/15/15 |
125,000 |
$131,563 |
| CHS/COMMUNITY HEALTH L+2.25%, 7/25/14 |
891,053 |
$839,149 |
| CHS CHARTER COMM TL CS PR |
45,457 |
$42,810 |
| CIA LATINO AMERICANA 9.75% 5/10/12 |
500,000 |
$346,250 |
| CIA TRANSPORTE 144A 8.875%, 12/15/16 |
750,000 |
$547,500 |
| CII CARBON LLC 11.125%, 11/15/15 |
300,000 |
$288,000 |
| CLEARWATER PAPER COR 10.625% 061516 |
260,000 |
$281,125 |
| CODERE FINANCE 8.25%, 6/15/15 144A |
1,155,000 |
$1,519,448 |
| COFFEYVILLE RESOURCE L+3.0%, 12/28/10 |
110,966 |
$111,521 |
| COFFEYVILLE RESOURCE L+3.0%, 12/30/13 |
889,034 |
$893,479 |
| COMMERCIAL VEH 8.0%, 7/1/13 |
770,000 |
$458,150 |
| CRICKET COMMUNIC 9.375%, 11/01/14 |
500,000 |
$507,500 |
| CRICKET COMMUNICATIO 7.75%, 5/15/16 144A |
365,000 |
$370,475 |
| CWHL 2005-1 2A2 FRN, 3/25/35 |
278,464 |
$67,907 |
| CWL 2006-4 2A2 FRN, 7/25/36 |
169,865 |
$118,405 |
| DAE AVIATION HOLDING L+3.75%, 7/31/14 |
500,231 |
$450,208 |
| DA-LITE SCREEN CO 9.5%, 5/15/11 |
250,000 |
$227,500 |
| DASA FINANCE CORP 8.75%, 5/29/18 144A |
1,385,000 |
$1,468,100 |
| DEAN FOODS COMPANY L+1.5%, 4/2/14 |
738,665 |
$695,961 |
| DELTA AIR LINES INC 9.5%, 9/15/14 |
305,000 |
$305,000 |
| DIGICEL LIMITED 9.25%, 9/1/12 144A |
400,000 |
$406,000 |
| DIGITALGLOBE INC 10.5%, 5/1/14 |
405,000 |
$429,300 |
| DOLLAR FINANCIAL COR TL L+2.75% 10/30/12 |
988,153 |
$931,334 |
| DOLLAR FINANCIAL DD L+2.75% 10/30/12 |
726,583 |
$684,804 |
| DSLA 2005-AR6 2A1B FRN 10/19/45 |
584,651 |
$208,406 |
| DSLA 2005-AR6 2A1C FRN 10/19/45 |
401,947 |
$74,360 |
| DUNKN 2006-1 M1 8.285%, 6/20/31 144A |
500,000 |
$410,175 |
| DYCOM INDUSTRIES 8.125%, 10/15/15 |
350,000 |
$318,500 |
| EAST LANE RE LTD FRN, 5/6/11 144A |
1,500,000 |
$1,482,000 |
| EDCON HOLDINGS FRN, 6/15/15 (144A) |
74,000 |
$66,522 |
| ESCO CORP 8.625, 12/15/13 144A |
500,000 |
$490,000 |
| ESCO CORP FRN, 12/15/13 144A |
100,000 |
$90,000 |
| EVRAZ GROUP SA 144A 8.875%, 4/24/13 |
250,000 |
$238,750 |
| EVRAZ GROUP SA 144A 9.5%, 4/24/18 |
250,000 |
$239,063 |
| EXOPACK HOLDING 11.25%, 2/1/14 |
600,000 |
$592,500 |
| FABRICA DE PRODUCTOS 9.25%, 2/23/17 144A |
275,000 |
$255,750 |
| FFML 2006-FF4 A2 FRN, 3/25/36 |
77,306 |
$47,726 |
| FHU-JIN LTD FRN, 8/10/11 144A |
1,750,000 |
$1,720,075 |
| FIREKEEPERS DEV AUTH 13.87%, 5/1/15 144A |
395,000 |
$419,688 |
| FIRST DATA CORP 9.875% 092415 |
1,465,000 |
$1,353,294 |
| FMG FINANCE PTY LTD, 10.625%, 9/1/16 144A |
195,000 |
$215,963 |
| FONTAINBLEAU TL BA PR |
1,000,000 |
$278,333 |
| FONTAINEBLUE LAS VEG L+5.25%, 5/17/14 |
500,000 |
$139,167 |
| FORD MOTOR TL JP PR |
498,087 |
$444,098 |
| FOUNDATION RE LTD 8.4875%, 2/24/10 |
500,000 |
$500,700 |
| FREESCALE SEMICONDUC 12.5%, 12/15/14 |
824,333 |
$832,576 |
| FREESCALE SEMI TL SS PR |
970,639 |
$782,122 |
| GALAXY ENTERTAINMENT 9.875%, 2/15/12 144A |
95,000 |
$92,150 |
| GATEWAY CASINOS & EN L+5.5%, 7/16/14 |
1,000,000 |
$288,333 |
| GCI INC 7.25%, 2/15/2014 |
1,250,000 |
$1,178,125 |
| GEOEYE INC 9.625%, 10/1/15 |
90,000 |
$91,125 |
| GEORGIA GULF CORP COMMON |
1,255 |
$15,218 |
| GEORGIA GULF CORP CONV PFD STK 1 |
28,091 |
$340,741 |
| GEORGIA PACIFIC CORP SS PR |
1,135,313 |
$1,095,577 |
| GLOBAL CROSSING LTD 12.0%, 9/15/15 144A |
945,000 |
$992,250 |
| GLOBECAT LTD FRN, 1/2/13 144A |
1,000,000 |
$918,800 |
| GLOBECAT LTD FRN, 1/2/13 144A |
350,000 |
$297,570 |
| GOLDMAN SACHS CAP FRN. 12/29/49 |
450,000 |
$324,000 |
| GOODMAN GLOBAL HLD L+4.25%, 2/13/14 |
1,158,000 |
$1,158,000 |
| GOODYEAR TIRE & RUBB L+1.75%, 4/30/14 |
1,000,000 |
$937,143 |
| GOODYEAR TIRE 10.5%, 5/15/16 |
235,000 |
$254,975 |
| GRAHAM PACKAGING CO L+4.25%, 4/5/14 |
530,601 |
$531,845 |
| GRAHAM PACKAGING L+2.25%, 10/7/11 |
53,021 |
$51,945 |
| GRAHAM PACKAGNG 9.875%,10/15/14 |
700,000 |
$719,250 |
| GRAPHIC PACKAGING 9.50%, 8/15/13 |
500,000 |
$515,000 |
| GRAPHIC PACKAGING IN L+2.75%, 5/16/14 |
492,500 |
$479,880 |
| GREENBRIER CORP 8.375%, 5/15/15 |
950,000 |
$770,688 |
| GREEN VALLEY LTD 144A |
1,500,000 |
$2,095,654 |
| GSAMP 2005-HE2 M1 FRN, 3/25/35 |
155,367 |
$148,561 |
| GSAMP 2006-HE8 A2B FRN, 1/25/37 |
250,000 |
$181,344 |
| H3C HOLDINGS LTD L+3.00% 9/28/12 |
769,251 |
$732,712 |
| HANES BRANDS TLB ML PR |
368,502 |
$370,729 |
| HANGER ORTHOPEDIC GR L+2.0%, 5/26/13 |
713,997 |
$679,189 |
| HARVEST OPERATIONS 7.875%, 10/15/11 |
500,000 |
$482,500 |
| HCA INC/DE 8.5%, 4/15/19 |
225,000 |
$235,125 |
| HCA INC L+2.25%, 11/18/13 |
330,914 |
$312,776 |
| HEALTH SOUTH CORP PR |
954,671 |
$921,258 |
| HERCULES INC 6.5%, 6/30/29 |
1,900,000 |
$1,197,000 |
| HILCORP ENERGY 9.0%, 6/1/16 144A |
970,000 |
$962,725 |
| HOLLY ENERGY PRT 6.25%, 3/1/15 |
500,000 |
$457,500 |
| HOLOGIC INC 2% 121537 |
1,040,000 |
$850,200 |
| HORIZON LINES 4.25%, 8/15/12 |
990,000 |
$780,863 |
| HUB INTERNATIONAL |
119,376 |
$108,632 |
| HUB INTL HOLDINGS 10.25%, 6/15/15 144A |
1,050,000 |
$977,813 |
| HUB INTL HOLDINGS L+2.5%, 6/13/14 |
531,100 |
$483,301 |
| HUDSON PRODUCTS HOLDINGS TLB |
337,450 |
$317,203 |
| HUGHES NETWORK 9.5%, 4/15/14 |
840,000 |
$844,200 |
| HUNTSMAN INT DB |
989,899 |
$916,770 |
| IBIS RE LTD 11.2775%, 5/10/12 |
400,000 |
$418,120 |
| IMM 2004-9 1A1 FRN 1/25/35 |
1,296,333 |
$871,732 |
| IMPRESS METAL PACK 9.25% 9/15/14 (144A) |
625,000 |
$940,976 |
| IMSA 2006-3 A4 FRN, 11/25/36 |
220,614 |
$94,014 |
| IM US HOLDINGS (INVE L+2.0%, 6/26/14 |
488,750 |
$468,223 |
| IM US HOLDINGS (INVE L+4.25%, 6/26/15 |
600,000 |
$585,000 |
| INDALEX HOLDING, 11.5%, 2/1/14 |
500,000 |
$5,000 |
| INDEPENDENCIA IN 9.875%, 5/15/15 144A |
400,000 |
$70,000 |
| INDUSTRIAS METALURGI 11.25%, 10/22/14 |
1,220,000 |
$866,200 |
| INEOS GROUP HOLDING 7.875%, 2/15/16 144A |
1,275,000 |
$908,544 |
| INERGY LP 8.25%, 3/1/16 |
490,000 |
$492,450 |
| INSIGHT MIDWEST HLDS L+2.0%, 4/7/14 |
1,000,000 |
$955,357 |
| INTCOMEX INC 11.75%, 1/15/11 |
500,000 |
$313,125 |
| INTELSAT BERMUDA LTD 11.5%, 2/4/17 144A |
850,000 |
$794,750 |
| INTELSAT SUBSIDI 8.5%, 1/15/13 |
500,000 |
$506,250 |
| INTERGEN NV 9.0%, 6/30/17 144A |
500,000 |
$515,000 |
| INVERSIONES Y REP 8.5% 2/2/17 144A |
410,000 |
$319,800 |
| INVISTA 144A 9.25%, 05/1/2012 |
500,000 |
$500,000 |
| JANUS CAPITAL GROUP 6.5%, 6/15/12 |
375,000 |
$372,597 |
| JANUS CAPITAL GROUP 6.95%, 6/15/17 |
665,000 |
$632,804 |
| KABEL DEUTSCH 10.625%, 7/1/2014 |
400,000 |
$421,000 |
| KANSAS CITY SOUTH 7.625%, 12/1/13 |
240,000 |
$232,800 |
| KAR HOLDING INC. 10.0%, 5/1/15 (144A) |
500,000 |
$502,500 |
| KNOLOGY INC TLB |
157,712 |
$154,558 |
| LEAR CORP 8.75%, 12/1/16 |
1,140,000 |
$752,400 |
| LEHMAN XS TRUST FRN, 12/25/35 |
700,614 |
$187,435 |
| LIBERTY MUTUAL GROUP 7.0%, 3/15/37 144A |
1,000,000 |
$731,089 |
| LIBERTY MUTUAL GROUP FRN, 6/15/58 144A |
1,000,000 |
$950,000 |
| LIFEPOINT HOSPITALS 3.5000000000000004% |
405,000 |
$343,744 |
| LIFE TECHNOLOGIES CO L+2.0% 11/23/15 |
198,125 |
$199,774 |
| LINN ENERGY LLC 11.75%, 5/15/17 144A |
685,000 |
$738,088 |
| LITTLE TRAVERSE BAY 10.25%, 2/15/14 144A |
275,000 |
$126,844 |
| LIVE NATION INC 2.875%, 7/15/27 |
559,000 |
$398,986 |
| LODGENET L+2.0% 4/4/14 |
881,219 |
$784,285 |
| LUM 2006-5 A1C FRN, 7/25/36 |
746,430 |
$94,395 |
| MACH GEN SYN LC MSPR |
184,378 |
$172,086 |
| MANDRA FORESTRY 12%, 5/15/13 144A |
500,000 |
$360,000 |
| MANITOWOC CO. TERM LOAN B |
500,000 |
$479,375 |
| MARFRIG OVERSEAS LTD 9.625%,11/16/16 144A |
700,000 |
$694,750 |
| MARINER ENERGY INC 11.75% 063016 |
855,000 |
$921,263 |
| MASHANTUCKET PEQUOT 8.5%, 11/15/15 144A |
1,615,000 |
$585,438 |
| MASSEY ENER 6.875%, 12/15/13 |
505,000 |
$487,325 |
| MBIA INSURANCE CORP FRN, 1/15/33 144A |
820,000 |
$360,800 |
| MERITAGE HOMES 6.25%, 3/15/15 |
695,000 |
$646,350 |
| METAVANTE CORP L+1.75%, 11/3/14 |
985,000 |
$983,761 |
| METRO PCS WIRELESS TLB BS PR |
1,714,736 |
$1,641,050 |
| MINERVA OVERSEAS LTD 9.5%, 2/1/17 144A |
1,175,000 |
$998,750 |
| MSCI INC TL L+2.5%, 11/20/14 |
687,750 |
$677,434 |
| MSX INTERNATIONAL 12.5%, 4/1/12 144A |
400 |
$180,000 |
| MUELLER WATER PR 7.375%, 6/1/17 |
875,000 |
$762,344 |
| MULTIPLAN INC 144A 10.375%, 4/15/16 |
500,000 |
$482,500 |
| MURRAY ENERGY CORPOR L+8.5%, 1/28/11 |
748,044 |
$725,603 |
| MUTEKI LTDCAT BOND FRN, 5/24/11 |
2,500,000 |
$2,389,750 |
| MYLAN LABORATORIES L+3.25%, 10/2/14 |
727,500 |
$710,055 |
| MYSTIC RE FRN, 3/20/12 |
250,000 |
$259,075 |
| NCO FINANCIAL SYSTEMS MS PR |
944,837 |
$872,399 |
| NCO GROUP 11.875%, 11/15/14 |
900,000 |
$558,000 |
| NCO GROUP FRN, 11/15/13 |
755,000 |
$558,700 |
| NELSON RE LTD FRN, 6/6/11 |
1,000,000 |
$943,800 |
| NEO-CHINA GROUP HOLDINGS WARRANT |
750,000 |
$24,193 |
| NEW RECLAMATION 8.125%, 2/1/13 144A |
107,128 |
$117,442 |
| NEWTON RE CAT BOND FRN, 12/24/10 144A |
1,000,000 |
$964,200 |
| NEWTON RE CAT BOND FRN, 12/24/10 144A |
1,000,000 |
$987,600 |
| NEXUS 10.5%, 3/7/12 |
300,000 |
$60,000 |
| NIAGARA BANK TL |
1,296,846 |
$603,033 |
| NII CAPITAL CORP 10.0%, 8/15/16 144A |
750,000 |
$780,000 |
| NII HOLDINGS 3.125%, 6/15/12 |
1,150,000 |
$1,004,813 |
| NORANDA ALUM ACQUIS FRN, 5/15/15 |
1,244,070 |
$839,747 |
| NORTEL NETWORKS CORP 2.125%, 4/15/14 |
450,000 |
$247,500 |
| NORWEGIAN ENERGY 11.0%, 7/13/10 |
3,500,000 |
$615,273 |
| NUANCE COMMUNICATIONS INC ASSGN |
984,733 |
$947,799 |
| OCEANOGRAFIA SA DE 11.25%, 7/15/15 |
1,120,000 |
$599,200 |
| OMNICARE INC 3.25%, 12/15/35 |
1,550,000 |
$1,189,625 |
| OSHKOSH CORP L+6.0%, 12/6/13 |
290,000 |
$290,342 |
| PAETEC HOLDING 9.5%, 7/15/15 |
1,010,000 |
$916,575 |
| PAETEC HOLDING CORP 8.875%, 6/30/17 |
750,000 |
$746,250 |
| PAETEC HOLDING CORP L+2.50%, 2/28/13 |
502,611 |
$479,574 |
| PA RESOURCES AB |
2,000,000 |
$336,074 |
| PARK-OHIO INDUS 8.375%, 11/15/14 |
740,000 |
$569,800 |
| PEERMONT GLOBAL 7.75%,4/30/14 (144A) |
500,000 |
$621,227 |
| PEGASUS SOLUT 10.5%, 4/15/15 |
1,110,000 |
$355,200 |
| PETROLIA DRILLING 12.0%, 6/20/12 |
1,500,000 |
$129,259 |
| PETROPLUS FINANCE LT 9.37%, 9/15/19 144A |
1,310,000 |
$1,290,350 |
| PETROQUEST ENER 10.375% 5/15/12 |
225,000 |
$213,750 |
| PHIBRO ANIMAL HLTH 10.0, 8/1/13 144A |
250,000 |
$237,500 |
| PHIBRO ANIMAL HLTH 13.0, 8/1/14 144A |
200,000 |
$186,000 |
| PNC FUNDING CORP VAR, 5/29/49 |
600,000 |
$571,570 |
| PRODJACK AS |
154,800 |
$77,400 |
| PUBLIC SERVICE OF NM 9.25%, 5/15/15 |
225,000 |
$227,250 |
| QUICKSILVER RESOURCE 7.125%, 4/1/2016 |
240,000 |
$208,200 |
| QVC INC L+3.5%, 10/4/11 |
250,000 |
$250,156 |
| RAMP 2006-RS2 A2 FRN, 3/25/36 |
151,759 |
$104,104 |
| RENTAL SERVICE CORP L+3.5%, 11/30/13 |
1,000,000 |
$885,938 |
| RESIDENTIAL RE FRN, 6/6/11 144A |
425,000 |
$407,065 |
| RESIDENTIAL RE FRN, 6/6/11 144A |
2,000,000 |
$1,941,600 |
| RH DONNELLEY INC ASG L+3.75%, 6/30/11 |
871,967 |
$747,712 |
| RITE AID CORP L+6.5%, 6/10/15 |
1,000,000 |
$1,044,167 |
| RURAL/METRO CORP 9.875%, 3/15/15 |
500,000 |
$490,000 |
| RUSSIAN STAND BK 7.5%, 10/7/10 144A |
550,000 |
$521,125 |
| RYERSON INC 12.0%, 11/1/15 |
920,000 |
$874,000 |
| SALLY HOLDINGS 10.5%, 11/15/16 |
800,000 |
$834,000 |
| SANDRIDGE ENERGY 8.625%, 4/1/15 |
670,000 |
$664,975 |
| SANDRIDGE ENERGY INC 8.0% 6/1/18 |
335,000 |
$322,438 |
| SCIENTIFIC GAMES INT 9.25%, 6/15/19 |
180,000 |
$187,200 |
| SCITOR CORP L+4.25%, 9/26/14 |
488,773 |
$432,564 |
| SEAGATE TECHNOLOGY I 10% 050114 |
430,000 |
$469,775 |
| SEVAN MARINE ASA |
3,000,000 |
$429,140 |
| SEVAN MARINE ASA FRN 14MAY13 144A |
700,000 |
$553,000 |
| SHERIDAN ACQUISITION 10.25%, 8/15/11 |
250,000 |
$210,000 |
| SINO-FOREST CORP 10.25%, 7/28/14 144A |
250,000 |
$262,500 |
| SKEIE DRILLING & PRODUCTION |
383,316 |
$31,710 |
| SOLUTIA INC TLB L+5.0%, 2/28/14 |
500,000 |
$506,161 |
| SOUTHERN UNION CO 7.2%, 11/1/2066 |
1,245,000 |
$980,438 |
| SPIRIT AEROSYSTEMS INC TL |
493,655 |
$480,696 |
| SRAM CORP L+5.0%, 9/30/14 |
794,000 |
$730,480 |
| STANADYNE CORP. STP, 2/15/15 |
500,000 |
$300,000 |
| STANADYNE CORP 10%, 8/15/14 |
160,000 |
$134,400 |
| STANDARD AERO LTD L+3.75%, 7/31/14 |
490,629 |
$441,566 |
| STATION CASINOS 6.625%, 3/15/18 |
585,000 |
$20,475 |
| STRATOS GLOBAL TLB RA PR |
587,121 |
$569,508 |
| SUCCESSOR CAT BOND FRN, 4/6/10 |
2,000,000 |
$1,922,200 |
| SUCCESSOR CAT BOND FRN, 4/6/10 |
440,000 |
$427,108 |
| SUL AMERICA PART 8.625%, 2/15/12 144A |
65,000 |
$68,088 |
| SUNGARD DATA TLB JP PR |
1,954,887 |
$1,842,481 |
| SUN HEALTHCARE L+2.0%, 4/19/14 |
766,711 |
$718,792 |
| SUN HEALTHCARE L-0.1%, 4/19/14 |
162,256 |
$152,115 |
| SURGICAL CARE 144A 8.875%,7/15/15 PIK |
759,890 |
$604,113 |
| SURGICAL CARE AFF 10.0%, 7/15/17 144A |
1,170,000 |
$936,000 |
| SYNAGRO TECHNOLOGIES L+2.00%, 4/2/14 |
1,225,000 |
$995,313 |
| TALECRIS 1ST LIEN TL MS PR |
1,714,824 |
$1,688,030 |
| TECK RESOURCES 10.25%, 5/15/16 |
745,000 |
$841,850 |
| TELESAT CANADA 12.5%, 11/1/17 |
430,000 |
$457,950 |
| TELESAT CANADA DD L+3.0%, 10/31/14 |
37,450 |
$36,126 |
| TELESAT CANADA L+3.0%, 10/31/14 |
436,017 |
$420,600 |
| TEMIR CAPITAL 9.5%, 5/21/14 144A |
200,000 |
$64,000 |
| TENNECO AUTOMOT 8.625%, 11/15/14 |
700,000 |
$656,250 |
| TERREMARK WORLDWIDE 12.0%, 6/15/17 |
905,000 |
$986,450 |
| TEXAS COMPETITIVE EL L+3.5% 10/10/14 |
600,000 |
$476,550 |
| TICKETMASTER ENTERTA 10.75% 8/1/16 |
640,000 |
$656,000 |
| TITAN WHEEL INTL 8.0%, 1/15/12 |
400,000 |
$387,000 |
| TL ACQUISITIONS INC. 10.50%, 1/15/15 |
600,000 |
$567,000 |
| TRANSPORT DE GAS DEL 7.875%, 5/14/17 144A |
1,135,000 |
$976,100 |
| TRAVELPORT TLB |
168,000 |
$171,360 |
| TRUE MOVE CO LTD 10.375%, 8/1/14 144 |
1,330,000 |
$1,243,550 |
| TRUMP ENT. RESORTS 8.5%, 6/1/15 |
750,000 |
$90,000 |
| TURANALEM FIN 144A 8.5%, 2/10/15 |
500,000 |
$115,000 |
| TXU ENERGY CO 10.25%, 11/1/15 |
1,200,000 |
$864,000 |
| UNIBET GROUP PLC |
405,000 |
$595,012 |
| UNIVISION COMMUNICAT 9.75%, 3/15/15 PIK |
1,310,362 |
$1,015,531 |
| UNIVISION TL DB PR |
675,000 |
$573,328 |
| US CONCRETE INC 8.375%, 4/01/2014 |
500,000 |
$325,000 |
| USCOR 10% 01JUN13 10.0% 6/1/13 |
750,000 |
$630,000 |
| USG CORP 9.75%, 8/1/14 144A |
365,000 |
$381,425 |
| USI HOLDINGS CORP 9.75% 5/15/15 144A |
554,000 |
$490,983 |
| USI HOLDINGS CORP FRN 11/15/14 |
500,000 |
$415,625 |
| USI HOLDINGS CORP L+2.75%, 5/5/14 |
1,960,000 |
$1,783,600 |
| VANGENT INC (PGS SOL L+2.25%, 2/14/13 |
1,439,788 |
$1,360,599 |
| VANGENT INC 9.625%, 2/15/15 |
1,390,000 |
$1,294,438 |
| VEDANTA RESOUR PLC 9.5%, 7/18/18 144A |
750,000 |
$738,750 |
| VENOCO INC L+4.0%, 5/7/14 |
320,588 |
$274,103 |
| VERASON ENERGY CORP |
50,000 |
$1 |
| VIP FIN 144A 9.125%, 4/30/18 |
790,000 |
$826,538 |
| WAMU 2005-AR6 2A1A FRN, 4/25/45 |
442,979 |
$277,830 |
| WAMU 2005-AR9 A1C3 FRN, 7/25/45 |
1,463,302 |
$402,921 |
| WEB SERVICE CENTER TL |
450,000 |
$450,000 |
| WELLS FARGO CAPITAL 9.75%, 12/29/49 |
500,000 |
$520,000 |
| WESCO DISTRIBUT 7.5%, 10/15/17 |
1,000,000 |
$870,000 |
| WILLOW RE LTD FRN, 6/16/10 144A |
500,000 |
$317,500 |
| WINDSTREAM CORP 8.625%, 8/1/16 |
500,000 |
$511,250 |
| WIND TELECOMUNICAZIO L+2.25%, 5/27/13 |
250,000 |
$239,500 |
| WIND TELECOMUNICAZIO L+3.25%, 5/26/14 |
250,000 |
$239,500 |
| YANKEE ACQUISITI 9.75%, 2/15/17 |
1,000,000 |
$917,500 |
| YANKEE CANDLE TL |
876,651 |
$827,997 |
| ZLOMREX INTERNATIONA 8.5%, 2/1/14 (144A) |
50,000 |
$21,926 |
The portfolio is actively managed, and current holdings may be different.
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