Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
EX-99.CERT |
Shares | Description (1) | Value | ||||||||||||
Common Stocks 119.2% (68.3% of Total Investments) |
||||||||||||||
Aerospace & Defense 7.6% |
||||||||||||||
53,500 | Lockheed Martin Corporation |
$ | 5,867,345 | |||||||||||
166,700 | Raytheon Company |
8,920,117 | ||||||||||||
Total Aerospace & Defense |
14,787,462 | |||||||||||||
Capital Markets 7.4% |
||||||||||||||
311,400 | JPMorgan Chase & Co. |
14,542,378 | ||||||||||||
Commercial Banks 4.6% |
||||||||||||||
240,000 | Wells Fargo & Company |
9,007,200 | ||||||||||||
Commercial Services & Supplies 7.0% |
||||||||||||||
410,500 | Pitney Bowes Inc. |
13,653,230 | ||||||||||||
Communications Equipment 4.0% |
||||||||||||||
1,093,800 | Motorola, Inc. |
7,809,732 | ||||||||||||
Containers & Packaging 2.4% |
||||||||||||||
201,800 | Packaging Corp. of America |
4,677,724 | ||||||||||||
Diversified Financial Services 2.4% |
||||||||||||||
229,000 | Citigroup Inc. |
4,696,790 | ||||||||||||
Diversified Telecommunication Services 12.0% |
||||||||||||||
244,600 | AT&T Inc. |
6,829,232 | ||||||||||||
343,000 | KT Corporation, Sponsored ADR |
5,758,970 | ||||||||||||
235,000 | Telecom Italia S.p.A., Sponsored ADR |
2,667,250 | ||||||||||||
256,500 | Verizon Communications Inc. |
8,231,085 | ||||||||||||
Total Diversified Telecommunication Services |
23,486,537 | |||||||||||||
Electric Utilities 4.1% |
||||||||||||||
95,300 | EDP Energias de Portugal, S.A., Sponsored ADR |
3,934,241 | ||||||||||||
323,000 | Korea Electric Power Corporation, Sponsored ADR |
4,001,970 | ||||||||||||
Total Electric Utilities |
7,936,211 | |||||||||||||
Food Products 1.9% |
||||||||||||||
114,806 | Kraft Foods Inc. |
3,759,897 | ||||||||||||
Household Durables 2.7% |
||||||||||||||
307,000 | Newell Rubbermaid Inc. |
5,298,820 | ||||||||||||
Household Products 5.3% |
||||||||||||||
160,000 | Kimberly-Clark Corporation |
10,374,400 | ||||||||||||
Industrial Conglomerates 3.3% |
||||||||||||||
250,000 | General Electric Company |
6,375,000 | ||||||||||||
Insurance 6.1% |
||||||||||||||
377,400 | Genworth Financial Inc., Class A |
3,249,414 | ||||||||||||
210,600 | Hartford Financial Services Group, Inc. |
8,632,494 | ||||||||||||
Total Insurance |
11,881,908 | |||||||||||||
Machinery 2.3% |
||||||||||||||
75,000 | Caterpillar Inc. |
4,470,000 | ||||||||||||
Media 2.9% |
||||||||||||||
200,000 | CBS Corporation, Class B |
2,916,000 | ||||||||||||
168,100 | Gannett Company Inc. |
2,842,571 | ||||||||||||
Total Media |
5,758,571 | |||||||||||||
Metals & Mining 2.0% |
||||||||||||||
41,000 | POSCO, ADR |
3,828,170 | ||||||||||||
Multi-Utilities 1.8% |
||||||||||||||
139,090 | United Utilities PLC, Sponsored ADR |
3,446,080 | ||||||||||||
Oil, Gas & Consumable Fuels 14.0% |
||||||||||||||
80,000 | Chevron Corporation |
6,598,400 | ||||||||||||
113,400 | ConocoPhillips |
8,306,550 | ||||||||||||
132,500 | Eni S.p.A., Sponsored ADR |
7,015,875 | ||||||||||||
90,000 | Total
S.A., Sponsored ADR |
5,461,200 | ||||||||||||
Total Oil, Gas & Consumable Fuels |
27,382,025 | |||||||||||||
Paper & Forest Products 4.3% |
||||||||||||||
220,000 | International Paper Company |
5,759,600 | ||||||||||||
270,200 | Stora Enso Oyj, Sponsored ADR |
2,592,245 | ||||||||||||
Total Paper & Forest Products |
8,351,845 | |||||||||||||
Pharmaceuticals 10.6% |
||||||||||||||
175,000 | GlaxoSmithKline PLC, Sponsored ADR |
7,605,500 | ||||||||||||
341,200 | Pfizer Inc. |
6,291,728 | ||||||||||||
206,000 | Sanofi-Aventis, Sponsored ADR |
6,771,220 | ||||||||||||
Total Pharmaceuticals |
20,668,448 | |||||||||||||
Road & Rail 1.6% |
||||||||||||||
46,000 | Union Pacific Corporation |
3,273,360 | ||||||||||||
Tobacco 8.9% |
||||||||||||||
165,900 | Altria Group, Inc. |
3,291,458 | ||||||||||||
108,600 | Lorillard Inc. |
7,726,890 | ||||||||||||
133,900 | Philip Morris International |
6,440,590 | ||||||||||||
Total Tobacco |
17,458,938 | |||||||||||||
Total Common Stocks (cost $244,718,940) |
232,924,726 | |||||||||||||
Shares | Description (1) | Coupon | Ratings (2) | Value | ||||||||||
$25 Par (or similar) Preferred Securities 12.7% (7.3% of Total Investments) |
||||||||||||||
Capital Markets 1.1% |
||||||||||||||
30,000 | Deutsche Bank Capital Funding Trust V |
8.050% | Aa3 | $ | 606,000 | |||||||||
30,000 | JP Morgan Chase & Company |
8.625% | A1 | 749,700 | ||||||||||
1,000,000 | JP Morgan Chase & Company |
7.900% | A1 | 844,131 | ||||||||||
Total Capital Markets |
2,199,831 | |||||||||||||
Commercial Banks 4.4% |
||||||||||||||
25,000 | Banco Santander Finance |
6.800% | Aa3 | 425,000 | ||||||||||
75,000 | Banco Santander Finance |
6.500% | Aa3 | 1,239,750 | ||||||||||
50,000 | Bank of America Corporation |
8.200% | A+ | 1,137,500 | ||||||||||
33,100 | Bank of America Corporation |
6.204% | A | 600,765 | ||||||||||
25,000 | Barclays Bank PLC |
8.125% | Aa3 | 427,500 | ||||||||||
50,000 | Barclays Bank PLC |
6.625% | Aa3 | 745,000 | ||||||||||
40,000 | Credit Suisse |
7.900% | Aa3 | 816,000 | ||||||||||
19,200 | HSBC Holdings PLC |
6.200% | A1 | 329,280 | ||||||||||
62,200 | HSBC USA Inc. |
6.500% | A | 1,212,900 | ||||||||||
40,000 | Royal Bank of Scotland Group PLC, Series M |
6.400% | A1 | 370,400 | ||||||||||
40,000 | Royal Bank of Scotland Group PLC, Series N |
6.350% | A1 | 386,000 | ||||||||||
20,000 | Royal Bank of Scotland Group PLC |
6.600% | A1 | 173,000 | ||||||||||
85,000 | Wachovia Corporation |
8.000% | A- | 709,750 | ||||||||||
Total Commercial Banks |
8,572,845 | |||||||||||||
Diversified Financial Services 1.2% |
||||||||||||||
60,000 | Citigroup Inc., Series M |
8.125% | A | 990,000 | ||||||||||
1,000,000 | Citigroup Inc. |
8.400% | A | 681,910 | ||||||||||
25,000 | ING
Groep N.V. |
7.200% | A1 | 343,750 | ||||||||||
12,200 | ING
Groep N.V. |
7.050% | A | 160,552 | ||||||||||
15,000 | ING
Groep N.V. |
6.125% | A | 180,000 | ||||||||||
Total Diversified Financial Services |
2,356,212 | |||||||||||||
Electric Utilities 4.5% |
||||||||||||||
38,900 | Alabama Power Company, Series A |
5.300% | BBB+ | 820,012 | ||||||||||
50,000 | Alabama Power Company |
5.625% | BBB+ | 1,132,815 | ||||||||||
8,600 | Consolidated Edison Company of New York Inc. |
5.000% | A3 | 747,340 | ||||||||||
40,000 | Georgia Power Company |
6.125% | A | 1,000,000 | ||||||||||
5,000 | Gulf Power Company |
6.450% | BBB+ | 467,336 | ||||||||||
34,700 | Interstate Power and Light Company |
7.100% | Baa2 | 828,983 | ||||||||||
36,400 | Mississippi Power Company |
5.250% | A3 | 748,020 | ||||||||||
65,000 | PPL Electric Utilities Corporation |
6.250% | BBB | 1,574,222 | ||||||||||
10,000 | Southern California Edison Company, Series C |
6.000% | Baa2 | 956,250 | ||||||||||
5,000 | Southern California Edison Company |
6.125% | Baa2 | 478,125 | ||||||||||
Total Electric Utilities |
8,753,103 | |||||||||||||
Insurance 1.1% |
||||||||||||||
31,900 | Aegon N.V. |
6.375% | A- | 272,107 | ||||||||||
22,800 | Arch Capital Group Limited |
8.000% | BBB- | 462,840 | ||||||||||
50,000 | Endurance Specialty Holdings Limited |
7.750% | BBB- | 700,000 | ||||||||||
30,000 | Prudential PLC |
6.750% | A- | 316,500 | ||||||||||
30,000 | Prudential PLC |
6.500% | A- | 324,000 | ||||||||||
Total Insurance |
2,075,447 | |||||||||||||
U.S. Agency 0.4% |
||||||||||||||
25,000 | Federal Home Loan Mortgage Corporation |
5.570% | Ca | 31,250 | ||||||||||
40,000 | Federal Home Loan Mortgage Corporation |
6.550% | Ca | 51,400 | ||||||||||
25,000 | Federal Home Loan Mortgage Corporation |
6.420% | C | 45,000 | ||||||||||
18,400 | Federal Home Loan Mortgage Corporation |
6.000% | Ca | 44,160 | ||||||||||
20,000 | Federal Home Loan Mortgage Corporation |
5.700% | Ca | 37,400 | ||||||||||
52,300 | Federal Home Loan Mortgage Corporation |
5.660% | Ca | 44,131 | ||||||||||
21,200 | Federal Home Loan Mortgage Corporation |
5.000% | Ca | 45,474 | ||||||||||
74,600 | Federal Home Loan Mortgage Corporation |
8.375% | C | 121,598 | ||||||||||
47,000 | Federal National Mortgage Association |
8.250% | C | 96,350 | ||||||||||
20,000 | Federal National Mortgage Association |
6.750% | Ca | 36,000 | ||||||||||
15,000 | Federal National Mortgage Association |
5.500% | Ca | 49,500 | ||||||||||
19,800 | Federal National Mortgage Association |
5.125% | Ca | 69,300 | ||||||||||
100,000 | Federal National Mortgage Association |
8.250% | C | 218,000 | ||||||||||
Total
U.S. Agency |
889,563 | |||||||||||||
Total $25 Par (or similar) Preferred Securities (cost $48,285,370) |
24,847,001 | |||||||||||||
Weighted | ||||||||||||||
Principal | Average | |||||||||||||
Amount (000) | Description (1) | Coupon | Maturity (3) | Ratings (2) | Value | |||||||||
Variable Rate Senior Loan Interests 40.4% (23.1% of Total Investments) (4) |
||||||||||||||
Aerospace & Defense 1.3% |
||||||||||||||
$ | 777 | Hexcel Corporation, Term Loan B |
4.938% | 3/01/12 | BB+ | $ | 754,012 | |||||||
1,579 | Vought Aircraft Industries, Inc., Term Loan |
6.210% | 12/22/11 | Ba3 | 1,433,575 | |||||||||
364 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit |
4.953% | 12/22/10 | Ba3 | 330,227 | |||||||||
2,720 | Total Aerospace & Defense |
2,517,814 | ||||||||||||
Building Products 0.3% |
||||||||||||||
776 | Armstrong World Industries, Inc., Tranche B, Term Loan |
4.943% | 10/02/13 | BBB- | 717,893 | |||||||||
2,000 | Manitowoc
Company, Inc., Delayed Draw Term Loan, (5), (6) |
0.500% | 8/30/14 | BB+ | (83,500 | ) | ||||||||
2,776 | Total Building Products |
634,393 | ||||||||||||
Chemicals 1.3% |
||||||||||||||
878 | Georgia Gulf Corporation, Term Loan |
2.500% | 10/03/13 | Ba3 | 788,108 | |||||||||
1,930 | Rockwood Specialties Group, Inc., Term Loan E |
4.299% | 7/30/12 | BB+ | 1,753,888 | |||||||||
2,808 | Total Chemicals |
2,541,996 | ||||||||||||
Commercial Services & Supplies 2.0% |
||||||||||||||
675 | Allied Waste North America, Inc., Letter of Credit |
3.863% | 3/28/14 | BBB- | 651,947 | |||||||||
944 | Allied Waste North America, Inc., Term Loan B |
5.471% | 3/28/14 | BBB- | 912,246 | |||||||||
105 | Aramark Corporation, Letter of Credit |
4.801% | 1/24/14 | BB | 91,622 | |||||||||
1,658 | Aramark Corporation, Term Loan |
5.637% | 1/24/14 | BB | 1,442,192 | |||||||||
1,094 | Berry Plastics Holding Corporation, Term Loan |
4.798% | 4/03/15 | BB- | 890,057 | |||||||||
4,476 | Total Commercial Services & Supplies |
3,988,064 | ||||||||||||
Containers & Packaging 1.3% |
||||||||||||||
1,905 | Graham Packaging Company, L.P., Term Loan |
5.059% | 10/07/11 | B+ | 1,708,172 | |||||||||
175 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment |
4.713% | 11/01/10 | BB | 160,978 | |||||||||
196 | Smurfit-Stone Container Corporation, Term Loan B |
4.729% | 11/01/11 | BB | 180,476 | |||||||||
371 | Smurfit-Stone Container Corporation, Term Loan C |
4.741% | 11/01/11 | BB | 341,322 | |||||||||
116 | Smurfit-Stone Container Corporation, Tranche C-1 |
4.500% | 11/01/11 | BB | 107,125 | |||||||||
2,763 | Total Containers & Packaging |
2,498,073 | ||||||||||||
Diversified Consumer Services 1.0% |
||||||||||||||
1,965 | Weight Watchers International, Inc., Term Loan B |
4.313% | 1/26/14 | BB+ | 1,870,025 | |||||||||
Diversified Telecommunication Services 0.9% |
||||||||||||||
1,960 | MetroPCS Wireless, Inc., Term Loan |
5.402% | 11/03/13 | BB- | 1,754,900 | |||||||||
Electric Utilities 2.2% |
||||||||||||||
1,702 | Dynegy Holdings, Inc., Delayed Term Loan |
5.210% | 4/02/13 | Ba1 | 1,460,426 | |||||||||
295 | Dynegy Holdings, Inc., Term Loan |
5.210% | 4/02/13 | Ba1 | 253,019 | |||||||||
1,980 | TXU Corporation, Term Loan B-2 |
6.228% | 10/10/14 | Ba3 | 1,680,525 | |||||||||
992 | TXU Corporation, Term Loan B-3 |
6.280% | 10/10/14 | Ba3 | 840,951 | |||||||||
4,969 | Total Electric Utilities |
4,234,921 | ||||||||||||
Electrical Equipment 0.7% |
||||||||||||||
1,409 | Sensus Metering Systems, Inc., Term Loan B-1 |
4.715% | 12/17/10 | BB | 1,384,043 | |||||||||
Food Products 1.0% |
||||||||||||||
2,000 | Wrigley
Wm. Jr. Company, Term Loan B, WI/DD |
TBD | TBD | N/R | 1,965,893 | |||||||||
Health Care Equipment & Supplies 1.9% |
||||||||||||||
260 | Bausch
& Lomb, Delayed Term Loan, (5) |
4.707% | 4/24/15 | BB- | 230,277 | |||||||||
1,719 | Bausch & Lomb, Term Loan |
7.012% | 4/24/15 | BB- | 1,599,821 | |||||||||
1,990 | Biomet, Inc., Term Loan |
6.762% | 3/24/15 | BB- | 1,838,228 | |||||||||
3,969 | Total Health Care Equipment & Supplies |
3,668,326 | ||||||||||||
Health Care Providers & Services 3.7% |
||||||||||||||
96 | Community
Health Systems, Inc., Delayed Draw, Term Loan, (5), (6) |
1.000% | 7/25/14 | BB | (11,492 | ) | ||||||||
1,872 | Community Health Systems, Inc., Term Loan |
5.277% | 7/25/14 | BB | 1,647,598 | |||||||||
1,317 | Davita, Inc., Term Loan B-1 |
4.880% | 10/05/12 | BB+ | 1,192,845 | |||||||||
1,965 | HCA, Inc., Term Loan |
6.012% | 11/18/13 | BB | 1,727,972 | |||||||||
463 | IASIS Healthcare LLC, Delayed Term Loan |
5.704% | 3/14/14 | Ba2 | 415,634 | |||||||||
124 | IASIS Healthcare LLC, Letter of Credit |
3.604% | 3/14/14 | Ba2 | 111,113 | |||||||||
1,337 | IASIS Healthcare LLC, Term Loan |
5.704% | 3/14/14 | Ba2 | 1,201,178 | |||||||||
| (9) | LifePoint Hospitals, Inc., Term Loan B |
4.435% | 4/18/12 | Ba1 | 2 | ||||||||
975 | Quintiles Transnational Corporation, Term Loan B |
5.770% | 3/29/13 | BB | 866,531 | |||||||||
8,149 | Total Health Care Providers & Services |
7,151,381 | ||||||||||||
Hotels, Restaurants & Leisure 3.5% |
||||||||||||||
1,950 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
5.677% | 6/08/12 | Ba3 | 1,716,000 | |||||||||
767 | CBRL Group, Inc., Term Loan B-1 |
4.300% | 4/28/13 | BB- | 673,110 | |||||||||
92 | CBRL Group, Inc., Term Loan B-2 |
4.300% | 4/28/13 | BB- | 80,927 | |||||||||
1,940 | Penn National Gaming, Inc., Term Loan B |
4.484% | 10/03/12 | BB+ | 1,753,760 | |||||||||
89 | Travelport LLC, Letter of Credit |
6.012% | 8/23/13 | BB- | 71,898 | |||||||||
445 | Travelport LLC, Term Loan |
6.012% | 8/23/13 | BB- | 358,325 | |||||||||
599 | Venetian Casino Resort LLC, Delayed Term Loan |
5.520% | 5/23/14 | BB- | 455,608 | |||||||||
2,370 | Venetian Casino Resort LLC, Term Loan |
5.520% | 5/23/14 | BB- | 1,804,162 | |||||||||
8,252 | Total Hotels, Restaurants & Leisure |
6,913,790 | ||||||||||||
Household Products 0.6% |
||||||||||||||
1,184 | Solo Cup Company, Term Loan |
6.466% | 2/27/11 | B | 1,117,764 | |||||||||
Independent Power Producers & Energy Traders 0.6% |
||||||||||||||
469 | NRG Energy, Inc., Credit-Linked Deposit |
2.701% | 2/01/13 | Ba1 | 414,014 | |||||||||
954 | NRG Energy, Inc., Term Loan |
5.262% | 2/01/13 | Ba1 | 842,710 | |||||||||
1,423 | Independent Power Producers & Energy Traders |
1,256,724 | ||||||||||||
Insurance 0.4% |
||||||||||||||
1,159 | Conseco, Inc., Term Loan |
5.709% | 10/10/13 | B+ | 872,349 | |||||||||
IT Services 1.8% |
||||||||||||||
1,980 | First Data Corporation, Term Loan B-1 |
5.963% | 9/24/14 | BB- | 1,697,025 | |||||||||
2,022 | SunGard Data Systems, Inc., Term Loan B |
4.553% | 2/28/14 | BB | 1,764,563 | |||||||||
4,002 | Total IT Services |
3,461,588 | ||||||||||||
Life Sciences Tools & Services 1.0% |
||||||||||||||
2,000 | Invitrogen Corporation, Term Loan, WI/DD |
TBD | TBD | BBB- | 1,957,084 | |||||||||
Media 7.7% |
||||||||||||||
1,975 | CanWest Mediaworks LP, Term Loan |
4.810% | 7/10/15 | Ba2 | 1,723,188 | |||||||||
1,970 | Cequel Communications LLC, Term Loan B |
4.792% | 11/05/13 | BB- | 1,718,826 | |||||||||
2,184 | Charter Communications Operating Holdings LLC, Term Loan |
4.800% | 3/06/14 | B+ | 1,744,071 | |||||||||
1,950 | CSC Holdings, Inc., Term Loan |
4.569% | 3/29/13 | BBB- | 1,727,142 | |||||||||
1,965 | Idearc, Inc., Term Loan |
5.767% | 11/17/14 | BB | 1,161,315 | |||||||||
970 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
7.012% | 4/08/12 | Ba3 | 692,652 | |||||||||
1,960 | Neilsen Finance LLC, Term Loan |
4.803% | 8/09/13 | Ba3 | 1,701,293 | |||||||||
1,975 | Tribune Company, Term Loan B |
5.786% | 6/04/14 | B | 1,051,688 | |||||||||
341 | Tribune Company, Term Loan X |
5.541% | 6/04/09 | B | 315,733 | |||||||||
2,000 | Univision Communications, Inc., Term Loan |
5.121% | 9/29/14 | B1 | 1,297,000 | |||||||||
2,134 | WMG Acquisition Corporation, Term Loan |
5.073% | 2/28/11 | BB | 1,934,114 | |||||||||
19,424 | Total Media |
15,067,022 | ||||||||||||
Metals & Mining 1.1% |
||||||||||||||
1,015 | Amsted Industries, Inc., Delayed Term Loan |
5.035% | 4/08/13 | BB | 934,037 | |||||||||
1,398 | Amsted Industries, Inc., Term Loan |
4.842% | 4/08/13 | BB | 1,285,710 | |||||||||
2,413 | Total Metals & Mining |
2,219,747 | ||||||||||||
Paper & Forest Products 0.8% |
||||||||||||||
1,861 | Georgia-Pacific Corporation, Term Loan B |
4.694% | 12/21/12 | BB+ | 1,648,890 | |||||||||
Pharmaceuticals 2.0% |
||||||||||||||
2,167 | Mylan Laboratories, Inc., Term Loan |
7.037% | 10/02/14 | BB | 2,020,689 | |||||||||
1,970 | Royalty Pharma Finance Trust, Term Loan |
6.012% | 4/16/13 | Baa2 | 1,873,962 | |||||||||
4,137 | Total Pharmaceuticals |
3,894,651 | ||||||||||||
Real Estate Management & Development 0.4% |
||||||||||||||
1,320 | LNR Property Corporation, Term Loan B |
6.040% | 7/12/11 | BB | 866,800 | |||||||||
Road & Rail 0.6% |
||||||||||||||
1,767 | Swift Transportation Company, Inc., Term Loan |
6.063% | 5/10/14 | B+ | 1,153,256 | |||||||||
Specialty Retail 0.7% |
||||||||||||||
1,500 | TRU
2005 RE Holding Co., LLC, Term Loan |
5.486% | 12/08/08 | B3 | 1,317,000 | |||||||||
Textiles, Apparel & Luxury Goods 0.7% |
||||||||||||||
1,395 | HBI Branded Apparel Limited, Inc., Term Loan |
4.709% | 9/05/13 | BB+ | 1,275,227 | |||||||||
Trading Companies & Distributors 0.9% |
||||||||||||||
912 | Ashtead Group Public Limited Company, Term Loan |
4.563% | 8/31/11 | Ba2 | 852,720 | |||||||||
196 | Brenntag Holdings GMBH & Co. KG, Acquisition Facility |
5.071% | 1/20/14 | B+ | 165,927 | |||||||||
804 | Brenntag Holdings GMBH & Co. KG, Facility B2 |
5.071% | 1/20/14 | B+ | 679,071 | |||||||||
1,912 | Total Trading Companies & Distributors |
1,697,718 | ||||||||||||
$ | 93,713 | Total Variable Rate Senior Loan Interests (cost $91,246,094) |
78,929,439 | |||||||||||
Principal | ||||||||||||||||
Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||||
Short-Term Investments 2.3% (1.3% of Total Investments) |
||||||||||||||||
$ | 4,499 | Repurchase Agreement with Fixed Income Clearing Corporation,
dated 9/30/08, repurchase price $4,499,328, collateralized by $4,515,000 U.S.
Treasury Notes, 4.750%, due 2/28/09, value $4,594,013 |
0.100% | 10/01/08 | $ | 4,499,315 | ||||||||||
Total Short-Term Investments (cost $4,499,315) |
4,499,315 | |||||||||||||||
Total Investments (cost $388,749,719) 174.6% |
341,200,481 | |||||||||||||||
Borrowings
(48.9)% (7), (8) |
(95,500,000 | ) | ||||||||||||||
Other Assets Less Liabilities (2.7)% |
(5,323,362 | ) | ||||||||||||||
FundPreferred Shares, at Liquidation Value (23.0)% (7) |
(45,000,000 | ) | ||||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 195,377,119 | ||||||||||||||
(1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
|
(2) | Ratings: Using the higher of Standard & Poors Group (Standard & Poors) or Moodys Investor Service, Inc. (Moodys) rating. Ratings below BBB by Standard & Poors or Baa by Moodys are considered to be below investment grade. |
|
(3) | Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining
maturity of Senior Loans held may be substantially less than the stated maturities shown. |
|
(4) | Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate
(LIBOR), or (ii) the prime rate offered by one or more major United States banks. |
|
Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
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(5) | Position or portion of position represents an unfunded Senior Loan commitment outstanding at September 30, 2008. At September 30, 2008, the Fund had unfunded Senior Loan Commitments of $2,269,291. |
|
(6) | Negative
value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at September 30, 2008. |
|
(7) | Borrowings
and FundPreferred Shares, at Liquidation Value as a percentage of Total Investments are 28.0% and 13.2%, respectively. |
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(8) | The Fund may pledge up to 100% of its eligible securities in the Portfolio of Investment as collateral for Borrowings. |
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(9) | Principal
Amount (000) rounds to less than $1,000. |
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N/R | Not rated. |
|
ADR | American Depositary Receipt. |
|
WI/DD | Purchased on a when-issued or delayed delivery basis. |
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TBD | Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon
rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date. |
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments |
$ 246,088,306 | $ 95,112,175 | $ | $ 341,200,481 | ||||||||||||
Gross unrealized: |
||||
Appreciation |
$ | 39,756,990 | ||
Depreciation |
(93,098,868 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | (53,341,878 | ) | |
a. | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). | ||
b. | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
By (Signature and Title)* | /s/ Kevin J. McCarthy | |||
Kevin J. McCarthy | ||||
Vice President and Secretary | ||||
By (Signature and Title)* | /s/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman | ||||
Chief Administrative Officer (principal executive officer) | ||||
By (Signature and Title)* | /s/ Stephen D. Foy | |||
Stephen D. Foy | ||||
Vice President and Controller (principal financial officer) | ||||
* | Print the name and title of each signing officer under his or her signature. |