|
Monthly Portfolio Holdings as of 9/30/2009
| Security Name |
Par / Shares |
Market Value |
| 3OSQUE POWER TL ML PR |
2,978,549 |
$2,427,517 |
| ACACL 207-1A D |
1,000,000 |
$155,000 |
| ACTIVANT SOLUTIONS I L+2.0%, 5/2/13 |
952,220 |
$885,565 |
| ADESA, INC. (KAR HOL L+2.25%, 10/21/13 |
1,250,000 |
$1,203,125 |
| ALGOMA STEEL 1ST LIEN UB PR |
1,399,328 |
$1,338,107 |
| ALLIED SECURITY HOLD L+4.5%, 2/20/15 |
791,916 |
$800,825 |
| ALLISON TRANSMISSION L+2.75%, 8/7/14 |
2,537,391 |
$2,224,447 |
| ALPHA TOPCO B1 RB PR |
2,380,607 |
$2,146,117 |
| ALPHA TOPCO B2 RB PR |
1,608,032 |
$1,449,641 |
| AMERICAN HONDA FINAN 5.125%, 12/15/10 |
600,000 |
$616,667 |
| AMERICAN TIRE DISTRIBUTOR |
3,000,000 |
$2,490,000 |
| AMSTERDAM SE B TLB 1 CAS |
752,152 |
$1,063,697 |
| AMSTERDAM SEB TLB 2 CASE |
390,705 |
$552,537 |
| AMSTERDAM SEB TLB KABELC |
857,143 |
$1,212,176 |
| AMSTERDAM SEB TLC CASE |
1,142,857 |
$1,616,234 |
| AMSTERDAM SEB TLC KABELC |
857,143 |
$1,212,176 |
| AMWIN GROUP INC L+2.5%, 6/8/13 |
149,237 |
$114,539 |
| ANP FUNDING 1ST LIEN TLA |
3,696,435 |
$3,701,056 |
| APPLESEEDS INT MD TL UB PR |
979,950 |
$465,476 |
| APPLIED BIOSYSTEMS TLB APR |
3,170,000 |
$3,196,390 |
| APPLIED SYSTEMS TL CS PR |
2,438,462 |
$2,334,827 |
| APP PHARMACEUTICAL B2 DB PR |
694,960 |
$704,168 |
| ARAMARK CANADA TL GS PR |
972,500 |
$908,376 |
| ASHLAND INC L+3.4%, 5/13/14 |
477,665 |
$489,109 |
| ATLAS PIPELINE PARTN SFRL, 7/27/14 |
1,042,109 |
$1,021,267 |
| ATRIUM TLB ML PR |
5,592,411 |
$2,656,395 |
| AVETA MMM ORIGINAL TL BE PR |
1,139,906 |
$1,048,713 |
| AVETA NAMM NEW TL BE PR |
169,338 |
$162,565 |
| AVETA NAMM ORIGINAL TL BE PR |
305,140 |
$280,729 |
| AVETA PHMC ACQ TL BE PR |
934,179 |
$896,812 |
| AWAS AVIATION TL JP PR |
1,812,896 |
$1,654,267 |
| AX ACQUISTION TLB 2 GS PR |
491,250 |
$454,406 |
| AZITHROMYCIN PHARMA SEC 16% 0515 |
15,000,000 |
$12,300,000 |
| BALDOR ELECTRIC COM L+1.75%, 1/31/14 |
1,824,600 |
$1,825,171 |
| BAUSCH & LOMB INC ASSGN |
1,572,581 |
$1,505,523 |
| BAUSCH AND LOM DD BS |
381,888 |
$365,604 |
| BE AEROSPACE INC FRN, 7/28/14 |
2,024,301 |
$2,035,688 |
| BIG WEST 1ST LIEN DD BA PR |
2,184,684 |
$2,048,141 |
| BIG WEST TLB BA PR |
1,737,816 |
$1,629,203 |
| BIOMET INC SFRL, 3/25/15 |
1,196,193 |
$1,155,697 |
| BLOCKBUSTER TRB SC |
7,399,482 |
$7,356,935 |
| BRICKMAN GRO TL LH |
1,000,000 |
$940,833 |
| CALPINE TL BA PR |
1,984,848 |
$1,814,400 |
| CAPITAL ONE FINL COR 7.375%, 5/23/14 |
200,000 |
$223,203 |
| CARITOR SYN LC CI PR |
348,837 |
$310,465 |
| CARITOR TL CI PR |
4,558,140 |
$4,056,744 |
| CASELLA WASTE SYSTEM TLB L+5.0%, 4/9/14 |
425,000 |
$428,719 |
| CCH I LLC, 11%, 10/01/2015 |
1,000,000 |
$185,000 |
| CCS MEDICAL 1ST LIEN TL WB SC |
5,163,713 |
$2,452,764 |
| CCS MEDICAL HOLDINGS L+8.0%, 11/8/09 |
150,564 |
$150,564 |
| CELLU TISSUE HO 11.5%, 6/1/14 |
600,000 |
$642,000 |
| CELTIC PHARMA |
10,592,201 |
$6,884,931 |
| CENTRAL GARDEN AND P L+1.5%, 9/30/12 |
2,493,019 |
$2,384,989 |
| CENVEO CORPORATION TLC L+1.75% 6/21/13 |
2,516,795 |
$2,443,368 |
| CENVEO CORPOR DD L+1.75%, 6/21/13 |
71,856 |
$69,759 |
| CEQUEL COMMUNICATION L+2.0% 11/5/13 |
11,216,165 |
$10,605,636 |
| CHARTER REPLACEMENT TL JP PR TL |
4,962,217 |
$4,752,355 |
| CLEARWIRE WARRANTS |
400,000 |
$28,000 |
| COFFEYVILLE RESOURCE L+3.0%, 12/28/10 |
280,642 |
$282,046 |
| COFFEYVILLE RESOURCE L+3.0%, 12/30/13 |
2,248,437 |
$2,259,679 |
| COLETO CREEK 2ND LIEN TL CS PR |
4,837,500 |
$3,543,469 |
| COLETO CREEK SYNTHIC TL CS PR |
1,754,777 |
$1,608,546 |
| COLETO CREEK TL CS PR |
3,552,599 |
$3,256,550 |
| COMMSCOPE INC FRN, 12/26/14 |
867,351 |
$850,546 |
| CONSTELLATION BRANDS L+1.5%, 6/5/13 |
1,100,000 |
$1,078,859 |
| COOPER-STANDARD AUTO L+2.5%, 12/23/11 |
244,083 |
$217,844 |
| COOPER-STANDARD AUTO L+2.5%, 12/23/11 |
97,713 |
$87,209 |
| COOPER-STANDARD CAM |
127,790 |
$114,052 |
| COOPER-STANDARD TL |
32,045 |
$28,601 |
| COOPER-STANDARD TLD |
271,324 |
$242,157 |
| COOPER-STANDARD TLE |
134,653 |
$120,178 |
| COOPER-STANDARD TL LOC |
39,936 |
$35,643 |
| CRUSADER ENERGY TL JP PR |
4,995,000 |
$3,621,375 |
| CUSTOM BUILD 1ST LIEN TL PR |
1,578,064 |
$1,540,585 |
| CYDCOR FIRST LIEN TLB CS PR |
6,221,341 |
$5,848,061 |
| DAE AVIATION HOLDING L+3.75%, 7/31/14 |
757,268 |
$681,541 |
| DEAN FOODS COMPANY L+1.5%, 4/2/14 |
994,898 |
$937,381 |
| DELAT AIRLINES TL |
900,000 |
$903,188 |
| DELPHI INITIAL TLC JP PR |
9,075,710 |
$5,200,382 |
| DELPHI SUBSEQUENT TLC JP PR |
924,290 |
$529,618 |
| DELTA AIRLINES 1ST TL |
980,000 |
$898,660 |
| DELTA AIRLINES 2ND TL GS PR |
475,152 |
$398,335 |
| DELTA AIRLINES IN WHEN ISSUSED SHARES |
4,444 |
$39,818 |
| DIGITALGLOBE INC 10.5%, 5/1/14 |
550,000 |
$583,000 |
| DISCOVERY COMMUNICAT L+ 3.25%, 5/14/14 |
744,375 |
$758,890 |
| DOLE FOOD CO INC L+5.0%, 4/12/13 |
309,911 |
$314,413 |
| DOLE FOOD CO INC LC+1.0%, 4/12/13 |
260,245 |
$264,025 |
| DOLLAR GENERAL TLB 2 C1 PR |
5,000,000 |
$4,841,240 |
| DOLLAR GENERAL TLB L+2.75, 7/7/14 |
3,319,722 |
$3,247,668 |
| DTN INC 1ST LIEN TLC GS PR |
2,463,182 |
$2,383,129 |
| DULOXETINE ROYALTY |
1,560,000 |
$1,466,400 |
| FCI TRESORIE SA TLB PR |
992,202 |
$879,753 |
| FCI TRESORIE SA TLC PR |
992,202 |
$879,753 |
| FENWAL 1ST LIEN DD MS PR |
714,286 |
$622,619 |
| FENWAL FIRST LIEN TL |
4,189,286 |
$3,651,662 |
| FIRST DATA CORP L+2.75%, 9/24/14 |
994,924 |
$859,078 |
| FLEXTRONICS SEMI DD + 2.25%, 10/1/14 |
1,160,492 |
$1,050,245 |
| FLEXTRONICS SEMI DD + 2.25%, 10/1/14 |
36,470 |
$32,952 |
| FONTAINBLEAU DD BA PR |
666,667 |
$185,555 |
| FONTAINBLEAU TL BA PR |
1,333,333 |
$371,111 |
| FONTAINEBLEAU FLA TLC |
5,000,000 |
$2,875,000 |
| FORD MOTOR TL JP PR |
9,724,459 |
$8,670,395 |
| FOSAMPRENAVIR PHARMA |
4,066,637 |
$3,659,973 |
| FRESENIUS SE L+3.5%, 9/10/14 |
1,290,040 |
$1,307,133 |
| FRONTIER COMMUNICATI 8.25%, 5/1/14 |
300,000 |
$309,000 |
| GAINEY TL WA-PR |
1,611,960 |
$282,093 |
| GBGH LLC FRN, 6/9/14 |
266,142 |
$2,661 |
| GBGH LLC L+2.0%, 6/9/13 |
881,057 |
$411,013 |
| GBGH LLC MEMBERSHIP INTEREST |
1,589 |
$16 |
| GEORGIA GULF CORP COMMON |
6,203 |
$75,247 |
| GEORGIA GULF CORP CONV PFD STK 1 |
139,062 |
$1,686,822 |
| GINNLA CONDUIT 1ST LITRA DESC |
2,369,368 |
$201,396 |
| GINNLA CONDUITY 1ST LITRB DESC |
5,077,235 |
$431,565 |
| GRACEWAY MEZZANINE GS PR |
2,000,000 |
$500,000 |
| GRAHAM PACKAGING CO L+4.25%, 4/5/14 |
891,097 |
$893,186 |
| GRAHAM PACKAGING L+2.25%, 10/7/11 |
457,381 |
$448,091 |
| GRAPHIC PACKAGING IN L+2.75%, 5/16/14 |
1,999,540 |
$1,948,302 |
| GSCLO 2007-1A D |
1,034,842 |
$87,962 |
| GULFS 2007-A1 D FRN, 6/17/21 |
1,013,186 |
$78,593 |
| H3C HOLDINGS LTD L+3.00% 9/28/12 |
611,111 |
$582,083 |
| HANES BRANDS TLB ML PR |
835,242 |
$840,289 |
| HARRAH'S OPERATING C L+7.5%, 10/31/16 |
1,200,000 |
$1,188,643 |
| HCA INC TLB BA-PR |
11,413,450 |
$10,787,856 |
| HCP ACQUISITION 2ND TL BA PR |
1,000,000 |
$625,000 |
| HOME INTERIORS & GIFT TL SC |
15,510,802 |
$2,714,390 |
| HOSPITALITY PROPERTI 7.875%, 8/15/14 |
750,000 |
$751,443 |
| HUB INTERNATIONAL DDTL MS SC TL |
832,888 |
$757,928 |
| HUB INTERNATIONAL TL MS SC |
2,994,792 |
$2,725,260 |
| HUNTER DEFENSE TECH BS PR |
943,185 |
$837,077 |
| IAP WORLDWIDE PR |
906,867 |
$745,143 |
| INFOR DOLLAR TLB-1 IP PR TL |
2,940,000 |
$2,623,950 |
| INFOR ENTERPRISE DD TL JP PR |
2,336,520 |
$2,143,757 |
| INFOR ENTERPRISE SOLUTIONS 2ND L |
1,466,667 |
$982,667 |
| INFOR ENTERPRISE TL JP PR |
4,478,329 |
$4,108,867 |
| INFOR ENTERTPRISE B-1 2ND LIEN T |
2,533,333 |
$1,665,667 |
| INOVIS INTERNATIONAL WF PR |
426,805 |
$416,135 |
| INTEGRA TELECOM TL DB PR |
3,930,000 |
$3,916,901 |
| JANUS CAPITAL GROUP 6.5%, 6/15/12 |
530,000 |
$526,604 |
| JARDEN CORP. L+2.5%, 1/24/12 |
768,937 |
$760,561 |
| JARDEN CORP 8% 050116 |
1,000,000 |
$1,025,000 |
| KANSAS CITY SOUTHERN SFRL, 4/28/13 |
992,308 |
$932,769 |
| KEY SAFETY 1ST LIEN TL CI PR |
3,900,000 |
$2,396,874 |
| KNOLOGY TL CS PR |
6,759,192 |
$6,624,008 |
| LAKE AT LAS VEGAS REV CS PR |
587,649 |
$28,403 |
| LAKE AT LAS VEGAS TERM LOAN CS-P |
1,765,105 |
$1,235,573 |
| LAKE AT LAS VEGAS TL CS PR |
5,887,933 |
$284,581 |
| LANDM 2007-9A FRN, 4/15/21 |
1,000,000 |
$200,000 |
| LENDER PROCESSING SE L+2.5%, 7/1/14 |
1,191,945 |
$1,186,730 |
| LEVEL 3 NEW TL ML PR |
6,500,000 |
$5,757,375 |
| LIFECARE HOLDINGS TL JP PR |
2,938,931 |
$2,454,008 |
| MACH GEN SYN LC MSPR |
275,941 |
$257,544 |
| MACROVISION SOLUTION SFRL, 5/2/13 |
1,088,445 |
$1,091,166 |
| MANITOWOC CO. TERM LOAN B |
4,235,000 |
$4,060,306 |
| MEDIANNUAIRE EURO TLB2 |
935,574 |
$1,013,932 |
| MEDIANNUAIRE EURO TLC BN |
935,574 |
$1,013,932 |
| MEDICAL STAFFG 2ND TL GE PR |
1,006,111 |
$679,125 |
| METRO GOLDWYN TLB-1 JP PR |
7,774,221 |
$4,435,193 |
| METRO PCS WIRELESS TLB BS PR |
7,299,507 |
$6,985,833 |
| MILLENNIUM BA PR |
1,428,203 |
$824,073 |
| MILLENNIUM TLB BA PR |
19,611,474 |
$11,315,821 |
| MOLECULAR INSIGHT |
2,764,734 |
$2,294,729 |
| MURRAY ENERGY TRB PR |
4,107,982 |
$4,025,822 |
| MUTEKI LTDCAT BOND FRN, 5/24/11 |
250,000 |
$238,975 |
| MYLAN LABORATORIES L+3.25%, 10/2/14 |
16,978,349 |
$16,571,208 |
| MYSTIC RE LTD FRN, 6/7/11 |
500,000 |
$500,300 |
| NALCO COMPANY TL |
748,125 |
$763,555 |
| NCO GROUP INC/OLD SFRL, 5/15/13 |
1,994,709 |
$1,841,781 |
| NEWPAGE CORP L+3.75%, 12/22/14 |
648,354 |
$646,734 |
| NORTHWEST ALPHA TC JP PR TL |
1,200,000 |
$826 |
| NORTH WEST EDC TRADE CLG PR |
2,500,000 |
$1,720 |
| NORTHWEST FLIGHT ATCL JP PR |
2,130,600 |
$1,466 |
| NORTH WEST GE TRADE CS PR |
1,500,000 |
$1,032 |
| NORTHWEST IAM TC JP PR |
1,264,500 |
$870 |
| NORTHWEST MES AB TR DE DB PR |
2,500,000 |
$1,720 |
| NORTHWEST RETIREE CL JP PR |
1,404,900 |
$967 |
| NORTHWEST TL DIP CL PR |
0 |
$0 |
| NRG ENERGY INC L+1.5%, 2/1/13 |
510,919 |
$486,224 |
| NRG ENERGY INC LC L-0.1%, 2/1/13 |
273,514 |
$260,294 |
| NUANCE COMMUNICATIONS INC ASSGN |
1,606,420 |
$1,546,170 |
| OSHKOSH CORP L+6.0%, 12/6/13 |
1,000,000 |
$1,001,178 |
| PANDA HERE FUND ETHANL LP |
20,650 |
$206,500 |
| PENN NATIONAL |
715,085 |
$694,750 |
| PENTON MEDIA 2ND LIEN |
3,500,000 |
$816,666 |
| PHARMA VI |
770,858 |
$632,103 |
| PHARMA X |
1,120,812 |
$952,690 |
| PINNACLE FOODS TL LE PR |
4,887,500 |
$4,614,616 |
| PRIM 2007-2A D FRN, 7/15/21 |
1,000,000 |
$100,000 |
| QVC INC 7.5%, 10/1/19 144A |
1,825,000 |
$1,827,281 |
| QVC INC L+3.5%, 10/4/11 |
554,615 |
$554,962 |
| RESIDENTIAL RE FRN, 6/6/11 144A |
600,000 |
$574,680 |
| RIO TINTO FINANCE PL 8.95%, 5/1/14 |
350,000 |
$413,065 |
| RITE AID CORP L+6.5%, 6/10/15 |
400,000 |
$417,667 |
| RMPRT 2006-1A D FRN, 4/18/21 |
1,000,000 |
$217,700 |
| SALLY HOLDINGS L+2.5%, 11/16/13 |
989,356 |
$945,608 |
| SCITOR CORP L+4.25%, 9/26/14 |
1,543,513 |
$1,366,009 |
| SERENA SOFTWARE INC L+2.0%, 3/11/13 |
3,531,739 |
$3,284,517 |
| SEVEN MEDIA TL CI PR |
19,476,857 |
$13,794,417 |
| SIRVA COMMON STOCK NEW |
12,887 |
$128,870 |
| SIRVA SECOND LIEN TERM LOAN |
2,319,481 |
$318,929 |
| SIRVA WORLD REV DIP JP PR |
474,478 |
$213,515 |
| SIRVA WORLD TL DIP JP PR |
1,021,191 |
$510,595 |
| SOLUTIA INC TLB L+5.0%, 2/28/14 |
14,787,343 |
$14,969,538 |
| SOLVEST, LTD. (DOLE) L+5.0%, 4/12/13 |
1,072,681 |
$1,088,265 |
| SPECTRUM BRANDS INC L+4.0%, 3/30/13 |
201,369 |
$192,559 |
| SPECTRUM BRANDS INC LC -0.15%, 3/30/13 |
3,974,269 |
$3,800,394 |
| SPIRIT AEROSYSTEMS I 7.5%, 10/1/17 144A |
1,850,000 |
$1,840,750 |
| SPIRIT FINANCE TL CS PR TL |
5,000,000 |
$2,500,000 |
| STAMC 2007-1A B2L FRN, 2/27/21 |
1,000,000 |
$105,000 |
| STANDARD AERO LTD L+3.75%, 7/31/14 |
742,732 |
$668,459 |
| STCLO 2007-6A C FRN, 4/17/21 |
2,000,000 |
$680,000 |
| STURFM FOODS, INC TERM LOAN |
2,540,730 |
$2,350,175 |
| SUNGARD DATA SYSTEMS L+3.75%, 2/28/14 |
4,950,000 |
$4,991,768 |
| SUNGARD DATA TLB JP PR |
6,700,401 |
$6,315,128 |
| TALECRIS 1ST LIEN TL MS PR |
9,750,000 |
$9,597,656 |
| TARHEP HOLDINGS TL BN SC |
1,250,000 |
$718,750 |
| TCD PHARMA SECURED 16% NTS DUE 2 |
1,500,000 |
$1,290,000 |
| TELESAT CANADA DD L+3.0%, 10/31/14 |
224,339 |
$216,407 |
| TELESAT CANADA L+3.0%, 10/31/14 |
2,611,924 |
$2,519,574 |
| TEXAS COMPETITIVE EL L+3.5% 10/10/14 |
2,737,939 |
$2,174,608 |
| THE RHODES 1ST LIEN TL CS PR |
1,888,387 |
$283,258 |
| TOYS R US INC L+4.25% 7/19/12 |
4,180,100 |
$4,035,744 |
| TRAVELPORT TLB |
165,585 |
$168,897 |
| TRIUMPH HEALTH CARE L+ 3.0%, 7/28/13 |
1,618,320 |
$1,500,992 |
| UNIVISION TL DB PR |
11,115,966 |
$9,441,624 |
| URS CORP TLB |
1,880,581 |
$1,872,744 |
| US AIRWAYS NEW TL CI PR |
3,650,000 |
$2,422,688 |
| VALUE CREATION TL CS PR |
4,190,832 |
$2,514,499 |
| VALUE CREATION WARRANT EXP 01292 |
213,605 |
$2 |
| VANGENT INC (PGS SOL L+2.25%, 2/14/13 |
1,000,000 |
$945,000 |
| VENECO 2ND LIEN TL UB PR |
1,612,942 |
$1,379,065 |
| VERINT SYSTEMS TL LE PR |
932,172 |
$849,734 |
| WALCCS LAS VEGAS 2TL CS PR |
4,500,000 |
$658,125 |
| WALCCS LAS VEGAS TL CS PR |
1,000,000 |
$190,000 |
| WEA FINANCE LLC 7.5%, 6/2/14 144A |
150,000 |
$161,655 |
| WEB SERVICE CENTER TL |
3,427,287 |
$3,427,287 |
| WEST CORP L+2.75%, 10/24/13 |
1,293,367 |
$1,225,234 |
| WIDEOPENWEST LLC L+2.5%, 6/30/14 |
4,887,750 |
$4,559,865 |
| WINDSTREAM CORP SFRL, 7/17/13 |
1,183,859 |
$1,155,848 |
| WIND TELECOM TL B1 D |
1,500,000 |
$2,100,557 |
| WIND TELECOM TL C1 D |
1,500,000 |
$2,100,557 |
| WORLD COLOR (QUEBECO L+6.0%, 7/10/12 |
750,000 |
$750,000 |
| WRIGLEY JR TLB GS PR |
9,262,500 |
$9,423,436 |
| YANKEE CANDLE TL |
650,134 |
$614,052 |
| YELLOWSTONE LIQUIDITY TRUST |
3,377,887 |
$34 |
| YELLOWSTONE TERM LOAN B |
1,190,445 |
$892,834 |
| YOUNG BROAD TLB PR |
3,769,895 |
$2,016,894 |
The portfolio is actively managed, and current holdings may be different.
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