OMB APPROVAL | ||
OMB Number: 3235-0570 |
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Expires: January 31, 2014 |
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2 |
Performance Summary | |
2 |
Management Discussion | |
4 |
Supplemental Information | |
8 |
Long-Term Fund Performance | |
9 |
Schedule of Investments | |
25 |
Financial Statements | |
28 |
Notes to Financial Statements | |
39 |
Financial Highlights | |
45 |
Auditors Report | |
46 |
Fund Expenses | |
47 |
Tax Information | |
T-1 |
Trustees and Officers |
Class A Shares |
2.80 | % | ||
Class B Shares |
2.03 | |||
Class C Shares |
2.03 | |||
Class IB Shares |
2.80 | |||
Class IC Shares |
2.80 | |||
CS Leveraged Loan Index▼ (Style-Specific
Index) |
1.67 | |||
n | Management. Factors include direct operating experience in managing the business, management depth and incentives and track record operating in a leveraged environment. | |
n | Industry position and dynamics. Factors include the companys industry position, life cycle phase of the industry, barriers to entry and current industry capacity and utilization. |
n | Asset quality. Considerations may include valuations of hard and intangible assets, how easily those assets can be converted to cash and appropriateness to leverage those assets. | |
n | Divisibility. This factor focuses on operating and corporate structures, ability to divide easily and efficiently, examination of non-core assets and valuation of multiple brand names. | |
n | Sponsors. Considerations include the firms track record of quality transactions, access to additional capital and control or ownership of the sponsoring firm. | |
n | Cash flow. We examine the firms sales and earnings breakdown by product, divisions and subsidiaries. We look at the predictability of corporate earnings and the cash requirements of the business |
Baa |
1.8 | % | ||
Ba |
35.2 | |||
B |
42.0 | |||
Caa |
6.1 | |||
Ca |
0.1 | |||
Non-rated |
13.6 | |||
Equity |
1.2 |
| Source: Moodys. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations, including specific securities, money market instruments or other debts. Ratings are measured on a scale that generally ranges from Aaa (highest) to C (lowest); ratings are subject to change without notice. Non-rated indicates the debtor was not rated, and should not be interpreted as indicating low quality. For more information on Moodys rating methodology, please visit moodys.com and select Rating Methodologies under Research and Ratings on the homepage. |
1. | Caesars Entertainment Operating Co. |
3.2 | % | |||||
2. | Reynolds Group Holdings Inc. |
2.7 | ||||||
3. | Univision Communications Inc. |
2.3 | ||||||
4. | Clear Channel Communication |
2.1 | ||||||
5. | First Data Corp. |
2.1 |
Total Net Assets |
$1.3 billion | |||
Total Number of Holdings |
473 |
The Funds holdings are subject to change, and there is no assurance that the Fund will continue to hold any particular security. |
and conduct an examination of the business cycles, seasonality, international pressures and so forth. | ||
n | Recovery and loan-to-value. These factors focus on examination of the default probability and the rate of recovery associated with loans. |
1 | Sources: Standard & Poors/LSTA Index | |
2 | Source: Standard & Poors LCD. | |
3 | Sources: Standard & Poors LCD and S&P/LSTA Leverage Loan Index |
n | Unless otherwise stated, information presented in this report is as of February 29, 2012, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Funds reports/prospectus, visit invesco.com/fundreports. |
n | Class IB and Class IC are not continuously offered and have no early withdrawal charges. | |
n | Effective November 30, 2010, Class B shares are no longer continuously offered. Class B Shares purchased prior to November 30, 2010, are subject to an early withdrawal charge. |
n | No trading market for shares risk. The Fund is a closed-end investment company designed for long-term investors. The Fund does not intend to list the shares for trading on any national securities exchange. While there is no restriction on transferring the shares, there is not expected to be any secondary trading market in the shares. The shares are illiquid. There is no guarantee that you will be able to resell to the Fund all of the shares that you desire to sell at any particular time in any repurchase offer by the Fund. | |
n | Senior loans risk. There is less readily available, reliable information about most senior loans than is the case for many other types of securities. In addition, there is no minimum rating or other independent evaluation of a borrower or its securities limiting the Funds investments, and the adviser relies primarily on its own evaluation of borrower credit quality rather than on any available independent sources. As a result, the Fund is particularly dependent on the analytical abilities of the adviser. |
Class A Shares
|
VSLAX | |
Class B Shares
|
VSLBX | |
Class C Shares
|
VSLCX | |
Class IB Shares
|
XPRTX | |
Class IC Shares
|
XSLCX |
borrower or take other action detrimental to lenders. Such court action could under certain circumstances include invalidation of senior loans. | ||
n | Borrower credit risk. Senior loans, like most other debt obligations, are subject to the risk of default. Default in the payment of interest or principal on a senior loan results in a reduction in income to the Fund, a reduction in the value of the senior loan and a potential decrease in the Funds net asset value. The risk of default increases in the event of an economic downturn or a substantial increase in interest rates. An increased risk of default could result in a decline in the value of senior loans and in the Funds net asset value. | |
The Fund may acquire senior loans of borrowers that are experiencing, or are more likely to experience, financial difficulty, including senior loans of borrowers that have filed for bankruptcy protection. Borrowers may have outstanding debt obligations that are rated below investment grade. More recently, rating agencies have begun rating senior loans, and senior loans in the Funds portfolio may themselves be rated below investment grade. The Fund may invest a substantial portion of its assets in senior loans of borrowers that have outstanding debt obligations rated below investment grade or that are unrated but of comparable quality to such securities. Debt securities rated below investment grade are viewed by the rating agencies as speculative and are commonly known as junk bonds. Senior loans may not be rated at the time that the Fund purchases them. If a senior loan is rated at the time of purchase, the adviser may consider the rating when evaluating the senior loan but, in any event, does not view ratings as a determinative factor in investment decisions. As a result, the Fund is more dependent on the advisers credit analysis abilities. Because of the protective terms of senior loans, the adviser believes that the Fund is more likely to recover more of its investment in a defaulted senior loan than would be the case for most other types of defaulted debt securities. The values of senior loans of borrowers that have filed for bankruptcy protection or that are experiencing payment difficulty could be affected by, among other things, the assessment of the likelihood that the Lenders ultimately will receive repayment of the principal amount of such senior loans, the likely duration, if |
any, of a lapse in the scheduled payment of interest and repayment of principal and prevailing interest rates. There is no assurance that the Fund will be able to recover any amount on senior loans of such borrowers. | ||
In the case of collateralized senior loans, there is no assurance that sale of the collateral would raise enough cash to satisfy the borrowers payment obligation or that the collateral can or will be liquidated. In the event of bankruptcy, liquidation may not occur and the court may not give lenders the full benefit of their senior positions. If the terms of a senior loan do not require the borrower to pledge additional collateral in the event of a decline in the value of the original collateral, the Fund will be exposed to the risk that the value of the collateral will not at all times equal or exceed the amount of the borrowers obligations under the senior loans. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss. | ||
n | Investment in non-US issuers. The Fund may invest up to 20% of its total assets, measured at the time of investment, in senior loans to borrowers that are organized or located in countries other than the United States provided that no more than 5% of these senior loans or other assets are non-US dollar denominated. Investment in non-US issuers involves special risks, including that non-US issuers may be subject to less rigorous accounting and reporting requirements than US issuers, less rigorous regulatory requirements, different legal systems and laws relating to creditors rights, the potential inability to enforce legal judgments and the potential for political, social and economic adversity. Investments by the Fund in non-US dollar denominated investments will be subject to currency risk. Currency risk is the risk that fluctuations in the exchange rates between the US dollar and non-US currencies may negatively affect an investment. The value of investments denominated in non-US currencies may fluctuate based on changes in the value of those currencies relative to the US dollar, and a decline in applicable foreign exchange rates could reduce the value of such investments held by the Fund. The Fund also may hold non-US dollar denominated senior |
loans or other securities received as part of a reorganization or restructuring. | ||
n | Warrants, equity securities and junior debt securities risk. Warrants, equity securities and junior debt securities have a subordinate claim on a borrowers assets as compared with senior loans. As a result, the values of warrants, equity securities and junior debt securities generally are more dependent on the financial condition of the borrower and less dependent on fluctuations in interest rates than are the values of many debt securities. The values of warrants, equity securities and junior debt securities may be more volatile than those of senior loans and thus may increase the volatility of the Funds net asset value. | |
n | Participations risks. The Fund may purchase participations in senior loans. Under a participation, the Fund generally will have rights that are more limited than the rights of lenders or of persons who acquire a senior loan by assignment. In a participation, the Fund typically has a contractual relationship with the lender selling the participation but not with the borrower. As a result, the Fund assumes the credit risk of the lender selling the participation in addition to the credit risk of the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not have a senior claim to the lenders interest in the senior loan. Certain participations in senior loans are illiquid, meaning the Fund may not be able to sell them quickly at a fair price. Illiquid securities are also difficult to value. The Fund presently does not intend to invest more than 5% of its net assets in participations in senior loans. | |
n | Repurchase offer risks. If the Fund repurchases more shares than it is able to sell, the Funds net assets may decline and expense ratios may increase and the Funds ability to achieve its investment objective may be adversely affected. Moreover, this may force the Fund to sell assets it would not otherwise sell and the Fund may be forced to sell Fund assets that may have declined in value. Such sales may affect the market for the assets being sold, which in turn, could diminish the value of an investment in the Fund. In addition, if the Fund borrows to finance repurchases, interest on that borrowing will |
negatively affect shareholders who do not tender their shares for repurchase by increasing the Funds expenses and reducing any net investment income. If a repurchase offer is oversubscribed, the Fund will repurchase the shares tendered on a pro rata basis, and shareholders will have to wait until the next repurchase offer to make another repurchase request. Thus, there is also a risk that some shareholders, in anticipation of proration, may tender more shares than they wish to have repurchased in a particular repurchase offer, thereby increasing both the likelihood that proration will occur and the likelihood the Fund will repurchase more shares than it is able to sell. | ||
n | Financial leverage risk. The Fund is authorized to utilize financial leverage to the maximum extent allowable under the 1940 Act. There are risks associated with borrowing or issuing preferred shares in an effort to increase the yield and distributions on the common shares, including that the costs of the financial leverage exceed the income from investments made with such leverage, the higher volatility of the net asset value of the common shares, and that fluctuations in the interest rates on the borrowing or dividend rates on preferred shares may affect the yield and distributions to the common shareholders. The Funds use of leverage also may impair the ability of the Fund to maintain its qualification for federal income taxes as a regulated investment company. | |
As long as the Fund is able to invest the proceeds of any financial leverage in senior loans
or other investments that provide a higher net return than the then cost of such financial
leverage (i.e., the current interest rate on any borrowing or dividend rate of any preferred
shares after taking into account the expenses of any borrowing or preferred shares offering) and
the Funds operating expenses, the effect of leverage will be to cause the common shareholders to
realize a higher current rate of return than if the Fund were not leveraged. However, if the
current costs of financial leverage were to exceed the return on such proceeds after expenses
(which the adviser believes to be an unlikely scenario), the common shareholders would have a
lower rate of return than if the Fund had an unleveraged capital structure. During any annual period when the Fund has a net payable on the interest due on borrowings or the dividends |
majority of the Board of Trustees in certain other circumstances. | ||
The Fund could be converted to an open-end investment company at any time by an amendment to the Funds Declaration of Trust. The Funds Declaration of Trust provides that such an amendment would require the approval of (a) a majority of the Trustees, including the approval by a majority of the disinterested Trustees of the Fund and (b) the lesser of (i) 67% or more of the Funds common shares and preferred shares, each voting as a class, present at a meeting at which holders of more than 50% of the outstanding shares of each class are present in person or by proxy or (ii) more than 50% of the outstanding common shares and preferred shares, each voting as a class. Among other things, conversion of the Fund to an open-end investment company would require the redemption of all outstanding preferred shares and could require the repayment of borrowings, which would eliminate the leveraged capital structure of the Fund with respect to the common shares. | ||
Certain other practices in which the Fund may engage, including reverse repurchase agreements, may also be considered leverage and subject to the Funds leverage policy. However, to the extent that the Fund segregates cash, liquid securities or liquid senior loans in an amount sufficient to cover its obligations with respect to such reverse repurchase agreements, they will not be subject to the Funds leverage policy. | ||
The Funds Statement of Additional Information contains additional information about the Funds use of financial leverage. | ||
n | Anti-takeover provisions risks. The Funds Declaration of Trust includes provisions that could limit the ability of other persons to acquire control of the Fund or to change the composition of its Board of Trustees. |
n | The CS Leveraged Loan Index represents tradable, senior-secured, US dollar-denominated non-investment-grade loans. | |
n | The London Interbank Offered Rate Libor) is a daily reference rate based |
on the interest rates at which banks borrow unsecured funds from other banks in the London wholesale money market (or interbank lending market). | ||
n | The Fund is not managed to track the performance of any particular index, including the index(es) defined here, and consequently, the performance of the Fund may deviate significantly from the performance of the index(es). | |
n | A direct investment cannot be made in an index. Unless otherwise indicated, index results include reinvested dividends, and they do not reflect sales charges. Performance of the peer group, if applicable, reflects fund expenses; performance of a market index does not. |
n | The Chartered Financial Analyst® (CFA®) designation is globally recognized and attests to a charterholders success in a rigorous and comprehensive study program in the field of investment management and research analysis. | |
n | The returns shown in managements discussion of Fund performance are based on net asset values calculated for shareholder transactions. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the net asset values and returns reported in the Financial Highlights. | |
n | Industry classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poors. |
Class A Shares | ||||||||
Inception(2/18/05) | 1.22 | % | ||||||
5 Years | -0.65 | |||||||
1 Year | -0.60 | |||||||
Class B Shares | ||||||||
Inception (2/18/05) | 0.95 | % | ||||||
5 Years | -0.82 | |||||||
1 Year | -0.91 | |||||||
Class C Shares | ||||||||
Inception (2/18/05) | 0.95 | % | ||||||
5 Years | -0.72 | |||||||
1 Year | 1.05 | |||||||
Class IB Shares | ||||||||
Inception (10/4/89) | 4.67 | % | ||||||
10 Years | 3.31 | |||||||
5 Years | -0.01 | |||||||
1 Year | 2.80 | |||||||
Class IC Shares | ||||||||
Inception (6/13/03) | 3.31 | % | ||||||
5 Years | -0.01 | |||||||
1 Year | 2.80 |
Class A Shares | ||||||||
Inception (2/18/05) | 0.67 | % | ||||||
5 Years | -0.96 | |||||||
1 Year | -0.86 | |||||||
Class B Shares | ||||||||
Inception (2/18/05) | 0.42 | % | ||||||
5 Years | -1.12 | |||||||
1 Year | -1.22 | |||||||
Class C Shares | ||||||||
Inception (2/18/05) | 0.42 | % | ||||||
5 Years | -1.05 | |||||||
1 Year | 0.73 | |||||||
Class IB Shares | ||||||||
Inception (10/4/89) | 4.52 | % | ||||||
10 Years | 2.90 | |||||||
5 Years | -0.31 | |||||||
1 Year | 2.48 | |||||||
Class IC Shares | ||||||||
Inception (6/13/03) | 2.92 | % | ||||||
5 Years | -0.29 | |||||||
1 Year | 2.48 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. | |
2 | Total annual Fund operating expenses after any contractual fee waivers by the distributor in effect through at least June 30, 2012. See current prospectus for more information. |
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Variable Rate Senior Loan Interests108.98%(a)(b) |
||||||||||||||||
Aerospace & Defense2.61% |
||||||||||||||||
ARINC Inc., Second Lien Term Loan
|
6.25 | % | 10/25/15 | $ | 2,956 | $ | 2,911,552 | |||||||||
AVIO S.p.A. (Italy),
Term Loan B2 |
2.12 | % | 12/13/14 | 447 | 429,255 | |||||||||||
Term Loan C2
|
2.99 | % | 12/13/15 | 476 | 459,993 | |||||||||||
DAE Aviation Holdings, Inc.,
|
||||||||||||||||
Tranche B-1
Term Loan
|
5.56 | % | 07/31/14 | 672 | 665,405 | |||||||||||
Tranche B-2
Term Loan
|
5.56 | % | 07/31/14 | 644 | 636,867 | |||||||||||
DynCorp International LLC, Term Loan B
|
6.25 | % | 07/07/16 | 3,889 | 3,889,109 | |||||||||||
IAP Worldwide Services, Inc., PIK First Lien Term
Loan(c)
|
9.25 | % | 12/28/12 | 7,322 | 6,690,342 | |||||||||||
Sequa Corp.,
Incremental Term Loan |
6.25 | % | 12/03/14 | 1,979 | 1,995,550 | |||||||||||
Term Loan
|
3.84 | % | 12/03/14 | 8,108 | 8,058,947 | |||||||||||
SI Organization, Inc. (The), Term Loan B
|
4.50 | % | 11/22/16 | 1,961 | 1,899,096 | |||||||||||
TASC, Inc., Term Loan B
|
4.50 | % | 12/18/15 | 3,028 | 3,020,976 | |||||||||||
Wyle Services Corp., Term Loan B
|
5.75 | % | 03/27/17 | 3,439 | 3,404,902 | |||||||||||
34,061,994 | ||||||||||||||||
Air Transport0.89% |
||||||||||||||||
Delta Air Lines, Inc.,
Revolver Loan(d) |
0.75 | % | 03/28/13 | 4,500 | 4,367,250 | |||||||||||
Term Loan B
|
4.25 | % | 03/07/16 | 6,542 | 6,337,192 | |||||||||||
US Airways Group Inc., Term Loan
|
2.74 | % | 03/21/14 | 986 | 911,803 | |||||||||||
11,616,245 | ||||||||||||||||
Automotive3.74% |
||||||||||||||||
Federal-Mogul Corp.,
Term Loan B |
2.20 | % | 12/29/14 | 3,805 | 3,653,574 | |||||||||||
Term Loan C
|
2.19 | % | 12/28/15 | 2,851 | 2,737,715 | |||||||||||
General Motors Holdings, Revolver
Loan(d)
|
0.38 | % | 10/27/15 | 14,583 | 13,133,768 | |||||||||||
Hertz Corp. (The), Synthetic LOC
|
3.75 | % | 03/09/18 | 2,102 | 2,012,996 | |||||||||||
KAR Auction Services, Inc., Term Loan B
|
5.00 | % | 05/19/17 | 11,183 | 11,195,242 | |||||||||||
Key Safety Systems, Inc., First Lien Term Loan
|
2.59 | % | 03/08/14 | 6,337 | 6,118,801 | |||||||||||
Metaldyne Co. LLC, Term Loan B
|
5.25 | % | 05/18/17 | 3,073 | 3,082,716 | |||||||||||
Performance Transportation Services,
|
||||||||||||||||
LOC
(Acquired 02/23/07-07/17/07;
Cost $500,308)(e)(f)(g)
|
0.00 | % | 01/25/13 | 500 | 60,037 | |||||||||||
Term Loan
(Acquired 02/23/07;
Cost $343,558)(e)(f)(g)
|
0.00 | % | 01/25/13 | 344 | 41,227 | |||||||||||
Schaeffler AG (Germany), Term Loan C2
|
6.00 | % | 01/27/17 | 4,157 | 4,178,627 | |||||||||||
Veyance Technologies, Inc.,
|
||||||||||||||||
Delayed Draw Term Loan
|
2.75 | % | 07/31/14 | 344 | 326,630 | |||||||||||
Initial Term Loan
|
2.75 | % | 07/31/14 | 2,399 | 2,280,454 | |||||||||||
48,821,787 | ||||||||||||||||
Beverage and Tobacco0.23% |
||||||||||||||||
DS Waters Enterprises, L.P., First Lien Term Loan
|
10.50 | % | 08/15/17 | 3,066 | 2,992,183 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Building & Development4.57% |
||||||||||||||||
Axia Acquisition Corp.,
|
||||||||||||||||
PIK Second Lien Term Loan
A(c)(h)
|
11.00 | % | 03/11/16 | $ | 923 | $ | 577,065 | |||||||||
Revolver
Loan(d)(h)
|
1.00 | % | 03/11/16 | 1,750 | 1,531,046 | |||||||||||
Second Lien Term Loan
B(h)
|
5.00 | % | 03/12/16 | 1,627 | 1,017,130 | |||||||||||
Beacon Sales Acquisition, Inc., Term Loan B
|
2.47 | % | 09/30/13 | 2,234 | 2,197,770 | |||||||||||
Building Materials Holding Corp., PIK Second Lien Term Loan
(Acquired 11/17/06-12/30/11;
Cost $3,626,621)(c)
|
8.00 | % | 01/05/15 | 2,459 | 2,139,517 | |||||||||||
Capital Automotive L.P., Term Loan B
|
5.00 | % | 03/10/17 | 13,787 | 13,690,874 | |||||||||||
CB Richard Ellis Services, Inc.,
Term Loan C |
3.49 | % | 03/05/18 | 322 | 321,073 | |||||||||||
Term Loan D
|
3.75 | % | 09/04/19 | 7,107 | 7,085,264 | |||||||||||
Champion Opco LLC, PIK Term
Loan(c)
|
10.50 | % | 12/31/13 | 1,775 | 1,459,713 | |||||||||||
Custom Building Products, Inc., Term Loan B
|
5.75 | % | 03/19/15 | 4,406 | 4,417,128 | |||||||||||
El Ad IDB Las Vegas, LLC Tranche A1, Term Loan
(Acquired 08/31/07;
Cost $2,500,000)
|
3.01 | % | 08/09/12 | 2,500 | 1,500,000 | |||||||||||
Lake at Las Vegas Joint Venture, LLC,
|
||||||||||||||||
PIK Exit Revolver Loan
(Acquired 07/19/10-02/22/12;
Cost $207,892)(c)(d)
|
11.76 | % | 12/31/12 | 208 | 205,814 | |||||||||||
Term Loan
(Acquired 12/05/11-02/29/12;
Cost $41,999)(d)
|
9.32 | % | 04/30/12 | 43 | 42,547 | |||||||||||
Nortek, Inc., Term Loan
|
5.25 | % | 04/26/17 | 3,664 | 3,650,146 | |||||||||||
RE/MAX International, Inc., Term Loan
|
5.50 | % | 04/15/16 | 1,004 | 1,002,770 | |||||||||||
Realogy Corp.,
|
||||||||||||||||
Extended LOC
|
4.53 | % | 10/10/16 | 79 | 73,351 | |||||||||||
Extended Revolver Loan
|
3.49 | % | 04/08/16 | 6,471 | 5,470,842 | |||||||||||
Extended Term Loan
|
4.77 | % | 10/10/16 | 11,091 | 10,347,018 | |||||||||||
LOC
|
3.25 | % | 10/10/13 | 1,058 | 1,002,747 | |||||||||||
Rhodes Homes, PIK Term Loan
(Acquired 11/23/05-09/30/11;
Cost $2,226,810)
|
2.58 | % | 03/31/16 | 574 | 473,926 | |||||||||||
WCI Communities, Inc., PIK Term
Loan(c)
|
10.01 | % | 09/02/16 | 1,543 | 1,494,985 | |||||||||||
59,700,726 | ||||||||||||||||
Business Equipment & Services8.94% |
||||||||||||||||
Affinion Group, Inc., Term Loan B
|
5.00 | % | 10/10/16 | 9,798 | 9,241,051 | |||||||||||
Asurion LLC,
First Lien Term Loan |
5.50 | % | 05/24/18 | 14,085 | 14,072,544 | |||||||||||
Second Lien Term Loan
|
9.00 | % | 05/24/19 | 1,185 | 1,208,892 | |||||||||||
Bright Horizons Family Solutions, Inc.,
Revolver Loan(d) |
0.51 | % | 05/28/14 | 6,000 | 5,926,800 | |||||||||||
Term Loan B
|
4.25 | % | 05/28/15 | 5,055 | 5,034,575 | |||||||||||
Brock Holdings III, Inc., Term Loan B
|
6.00 | % | 03/16/17 | 4,386 | 4,359,895 | |||||||||||
Contec, LLC, Tranche B Term
Loan(g)
|
0.00 | % | 07/28/14 | 2,885 | 879,837 | |||||||||||
Education Management LLC, Extended Revolver
Loan(d)
|
3.35 | % | 06/01/15 | 2,000 | 1,818,400 | |||||||||||
Emdeon, Inc., Term Loan B
|
6.75 | % | 11/02/18 | 4,849 | 4,919,725 | |||||||||||
First Data Corp.,
|
||||||||||||||||
Delayed Draw Term Loan
(Acquired 01/20/11;
Cost $2,537,547)
|
2.99 | % | 09/24/14 | 2,662 | 2,415,423 | |||||||||||
Extended Term Loan B
|
4.24 | % | 03/23/18 | 3,491 | 3,145,029 | |||||||||||
Term Loan B1
|
2.99 | % | 09/24/14 | 7,050 | 6,757,807 | |||||||||||
Term Loan B2
|
2.99 | % | 09/24/14 | 8,819 | 8,453,766 | |||||||||||
Term Loan B3
|
2.99 | % | 09/24/14 | 7,051 | 6,759,035 | |||||||||||
Hillman Cos., Inc., Term Loan B
|
5.00 | % | 05/27/16 | 145 | 144,330 | |||||||||||
iPayment, Inc., Term Loan B
|
5.75 | % | 05/08/17 | 5,027 | 5,028,640 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Business Equipment & Services(continued) |
||||||||||||||||
Kronos, Inc.,
Second Lien Tranche B1 |
10.58 | % | 06/08/18 | $ | 4,572 | $ | 4,619,645 | |||||||||
Tranche C Term Loan
|
6.25 | % | 12/28/17 | 3,320 | 3,374,045 | |||||||||||
Mitchell International, Inc.,
First Lien Term Loan |
2.63 | % | 03/28/14 | 318 | 306,586 | |||||||||||
Second Lien Term Loan
|
5.88 | % | 03/30/15 | 3,897 | 3,792,778 | |||||||||||
NCO Group, Inc., Term Loan B
|
8.00 | % | 05/15/13 | 10,693 | 10,655,800 | |||||||||||
SkillSoft Corp., Tranche C Term Loan
|
6.50 | % | 05/26/17 | 305 | 305,783 | |||||||||||
SMG Holdings, Inc., Term Loan B
(Acquired 08/03/07-01/10/08;
Cost $2,792,714)
|
3.50 | % | 07/27/14 | 2,817 | 2,788,592 | |||||||||||
Sungard Data Systems, Inc.,
Incremental Term Loan |
3.74 | % | 02/28/14 | 1,611 | 1,611,621 | |||||||||||
Tranche B
|
4.06 | % | 02/26/16 | 9,141 | 9,150,186 | |||||||||||
116,770,785 | ||||||||||||||||
Cable & Satellite Television4.60% |
||||||||||||||||
AMC Networks Inc., Term Loan B
|
4.00 | % | 12/31/18 | 1,532 | 1,528,268 | |||||||||||
BBHI Acquisition LLC, Term Loan B
|
4.50 | % | 12/14/17 | 1,356 | 1,355,668 | |||||||||||
CCO Holdings, LLC, Third Lien Term Loan
|
2.74 | % | 09/05/14 | 13,125 | 12,990,928 | |||||||||||
Cequel Communications, LLC, Term Loan B
|
4.00 | % | 02/11/19 | 8,699 | 8,627,241 | |||||||||||
Charter Communications Operating, LLC,
|
||||||||||||||||
Incremental B-2 Term Loan
|
7.25 | % | 03/06/14 | 54 | 54,088 | |||||||||||
Extended Term Loan C
|
3.83 | % | 09/06/16 | 2,327 | 2,315,811 | |||||||||||
Kabel Deutschland GmbH (Germany), Term Loan F
|
4.25 | % | 02/01/19 | 4,953 | 4,946,327 | |||||||||||
Knology Inc., Term Loan B
|
4.00 | % | 08/18/17 | 5,849 | 5,818,115 | |||||||||||
MCC Iowa LLC,
|
||||||||||||||||
Tranche D-1
Term Loan
|
1.94 | % | 01/30/15 | 1,147 | 1,106,911 | |||||||||||
Tranche D-2
Term Loan
|
1.94 | % | 01/30/15 | 1,886 | 1,819,575 | |||||||||||
Mediacom Broadband LLC, Tranche F Term Loan
|
4.50 | % | 10/23/17 | 2,251 | 2,248,346 | |||||||||||
Mediacom Illinois, LLC, Tranche C Term Loan
|
1.94 | % | 01/30/15 | 1,520 | 1,471,360 | |||||||||||
Mediacom LLC, Tranche E Term Loan
|
4.50 | % | 10/23/17 | 4,034 | 4,012,152 | |||||||||||
Midcontinent Communications, Term Loan B
|
4.00 | % | 12/30/16 | 118 | 116,787 | |||||||||||
NDS Finance Ltd., Term Loan B
|
4.00 | % | 03/12/18 | 2,378 | 2,360,317 | |||||||||||
UPC Financing Partnership,
Term Loan |
4.75 | % | 12/29/17 | 3,108 | 3,112,588 | |||||||||||
Term Loan X (Netherlands)
|
3.77 | % | 12/29/17 | 1,000 | 986,250 | |||||||||||
Yankee Cable Acquisition, LLC, Term Loan B1
|
6.50 | % | 08/26/16 | 5,258 | 5,236,447 | |||||||||||
60,107,179 | ||||||||||||||||
Chemicals & Plastics3.16% |
||||||||||||||||
Harko C.V., Term Loan B
|
5.75 | % | 08/02/17 | 948 | 953,367 | |||||||||||
Houghton International, Inc., Term Loan B
|
6.75 | % | 01/29/16 | 3,671 | 3,689,525 | |||||||||||
INEOS Holdings Ltd. (United Kingdom), Term Loan C2
|
8.00 | % | 12/16/14 | 200 | 208,272 | |||||||||||
Metokote Corp., Term Loan
(Acquired 06/03/05-11/02/06;
Cost $8,021,639)
|
10.00 | % | 11/27/13 | 8,020 | 7,969,857 | |||||||||||
Momentive Specialty Chemicals, Inc.,
|
||||||||||||||||
Extended Term Loan C-1B
|
4.06 | % | 05/05/15 | 756 | 749,171 | |||||||||||
Extended Term Loan C-2B
|
4.38 | % | 05/05/15 | 158 | 156,175 | |||||||||||
Extended Term Loan C-4B
(Acquired 04/27/11;
Cost $3,547,658)
|
4.31 | % | 05/05/15 | 3,558 | 3,478,178 | |||||||||||
Extended Term Loan C-5B
|
4.38 | % | 05/05/15 | 2,258 | 2,213,104 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Chemicals & Plastics(continued) |
||||||||||||||||
OMNOVA Solutions, Inc., Term Loan B
|
5.75 | % | 05/31/17 | $ | 6,547 | $ | 6,538,505 | |||||||||
Phillips Plastics Corp., Term Loan
|
6.50 | % | 02/10/17 | 1,282 | 1,280,180 | |||||||||||
PolyOne Corp., Term Loan
|
5.00 | % | 12/20/17 | 1,642 | 1,650,721 | |||||||||||
Potters Holdings II L.P., First Lien Term Loan
|
6.00 | % | 05/05/17 | 2,532 | 2,532,771 | |||||||||||
PQ Corp., Term Loan B
|
3.50 | % | 07/30/14 | 5,318 | 5,209,306 | |||||||||||
Taminco Global Chemical Corp., Term Loan
|
6.25 | % | 02/15/19 | 1,476 | 1,486,344 | |||||||||||
Tronox, Inc.,
|
||||||||||||||||
Delayed Draw Term Loan
|
1.00 | % | 02/09/18 | 448 | 448,648 | |||||||||||
Term Loan B
|
4.25 | % | 02/08/18 | 1,642 | 1,645,044 | |||||||||||
Univar Inc., Term Loan B
|
5.00 | % | 06/30/17 | 1,057 | 1,051,454 | |||||||||||
41,260,622 | ||||||||||||||||
Clothing & Textiles0.49% |
||||||||||||||||
Levi Strauss & Co., Term Loan
|
2.49 | % | 03/27/14 | 6,300 | 6,095,250 | |||||||||||
Warnaco, Inc., Term Loan
|
3.75 | % | 06/15/18 | 324 | 323,723 | |||||||||||
6,418,973 | ||||||||||||||||
Conglomerates0.75% |
||||||||||||||||
Goodman Global Holdings, Inc.,
First Lien Term Loan |
5.75 | % | 10/28/16 | 6,705 | 6,764,118 | |||||||||||
Second Lien Term Loan
|
9.00 | % | 10/30/17 | 555 | 566,147 | |||||||||||
RGIS Holdings LLC,
|
||||||||||||||||
Delayed Draw Term Loan
(Acquired 09/12/07;
Cost $120,304)
|
3.08 | % | 04/30/14 | 120 | 118,800 | |||||||||||
Term Loan B
(Acquired 06/05/07;
Cost $2,406,096)
|
3.08 | % | 04/30/14 | 2,406 | 2,376,020 | |||||||||||
9,825,085 | ||||||||||||||||
Containers & Glass Products5.89% |
||||||||||||||||
Anchor Glass Container Corp.,
First Lien Term Loan |
6.00 | % | 03/02/16 | 3,222 | 3,225,793 | |||||||||||
Second Lien Term Loan
|
10.00 | % | 09/02/16 | 2,525 | 2,523,940 | |||||||||||
Berlin Packaging LLC, Term Loan
|
3.38 | % | 08/17/14 | 5,269 | 5,092,492 | |||||||||||
BWAY Corp.,
|
||||||||||||||||
Canadian Term Loan C
|
4.50 | % | 02/23/18 | 240 | 239,964 | |||||||||||
Term Loan B
|
4.50 | % | 02/23/18 | 2,602 | 2,603,141 | |||||||||||
Consolidated Container Co. LLC, Term Loan
|
2.50 | % | 03/28/14 | 506 | 494,962 | |||||||||||
Exopack, LLC, Term Loan
|
6.50 | % | 05/31/17 | 5,659 | 5,662,284 | |||||||||||
Graphic Packaging International, Inc., Revolver
Loan(d)
|
0.51 | % | 05/16/13 | 5,000 | 4,950,000 | |||||||||||
Hoffmaster Group, Inc., First Lien Term Loan
|
7.00 | % | 01/03/18 | 2,583 | 2,586,959 | |||||||||||
Pertus Sechszehnte GmbH (Germany),
Term Loan B2 |
2.74 | % | 06/12/15 | 4,045 | 3,635,394 | |||||||||||
Term Loan C2
|
2.99 | % | 06/13/16 | 4,045 | 3,655,619 | |||||||||||
Ranpak Corp., Term Loan
|
4.75 | % | 04/20/17 | 955 | 957,854 | |||||||||||
Reynolds Group Holdings Inc.,
|
||||||||||||||||
Tranche B Term Loan
|
6.50 | % | 02/09/18 | 1,942 | 1,964,772 | |||||||||||
Tranche C Term Loan
|
6.50 | % | 08/09/18 | 23,984 | 24,288,632 | |||||||||||
Sealed Air Corp., Term Loan B
|
4.75 | % | 10/03/18 | 2,060 | 2,084,992 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Containers & Glass Products(continued) |
||||||||||||||||
TricorBraun, Inc.,
Add on Term Loan (Acquired 01/06/12; Cost $1,224,294) |
5.01 | % | 07/21/13 | $ | 1,236 | $ | 1,235,583 | |||||||||
Revolver(d)
|
1.35 | % | 07/31/13 | 2,500 | 2,461,275 | |||||||||||
Term Loan B
|
2.51 | % | 07/31/13 | 9,462 | 9,324,019 | |||||||||||
76,987,675 | ||||||||||||||||
Cosmetics & Toiletries1.63% |
||||||||||||||||
Huish Detergents, Inc.,
Second Lien Term Loan |
4.50 | % | 10/26/14 | 1,000 | 849,165 | |||||||||||
Term Loan B
|
2.25 | % | 04/25/14 | 4,249 | 3,972,735 | |||||||||||
KIK Custom Products, Inc.,
|
||||||||||||||||
Canadian Term Loan
|
2.52 | % | 06/02/14 | 670 | 620,360 | |||||||||||
First Lien Term Loan
|
2.52 | % | 06/02/14 | 3,907 | 3,618,768 | |||||||||||
Second Lien Term Loan
|
5.26 | % | 11/28/14 | 4,800 | 3,210,000 | |||||||||||
Levlad, LLC, Term Loan
|
10.00 | % | 03/05/15 | 795 | 753,472 | |||||||||||
Marietta Intermediate Holding Corp., PIK Term Loan B
(Acquired 12/22/04-02/04/11;
Cost $10,285,012)(c)(h)
|
7.00 | % | 02/19/15 | 3,148 | 2,864,265 | |||||||||||
Prestige Brands, Inc., Term Loan
|
5.25 | % | 01/31/19 | 2,132 | 2,146,125 | |||||||||||
Revlon Consumer Products Corp., Term Loan B
|
4.75 | % | 11/17/17 | 3,302 | 3,303,442 | |||||||||||
21,338,332 | ||||||||||||||||
Drugs3.53% |
||||||||||||||||
Catalent Pharma Solutions, Incremental Term Loan
|
5.25 | % | 09/15/17 | 3,214 | 3,228,711 | |||||||||||
Grifols Inc., Term Loan B
|
4.50 | % | 02/13/18 | 11,866 | 11,806,528 | |||||||||||
Harlan Sprague Dawley, Inc., Term Loan B
|
3.86 | % | 07/11/14 | 5,261 | 4,734,733 | |||||||||||
IMS Health, Inc., Term Loan B
|
4.50 | % | 08/25/17 | 2,404 | 2,412,378 | |||||||||||
Medpace, Inc., Term Loan
|
6.50 | % | 06/16/17 | 4,308 | 4,157,154 | |||||||||||
Quintiles Transnational Corp., Term Loan B
|
5.00 | % | 06/08/18 | 7,560 | 7,540,930 | |||||||||||
RPI Finance Trust, Term Loan Tranche 2
|
4.00 | % | 05/09/18 | 2,832 | 2,836,723 | |||||||||||
Warner Chilcott Co., LLC, Term Loan B2
|
4.25 | % | 03/15/18 | 2,155 | 2,155,269 | |||||||||||
Warner Chilcott Corp., Term Loan B1
|
4.25 | % | 03/15/18 | 4,310 | 4,310,538 | |||||||||||
WC Luxco S.a.r.l., Term Loan B3
|
4.25 | % | 03/15/18 | 2,963 | 2,963,495 | |||||||||||
46,146,459 | ||||||||||||||||
Ecological Services & Equipment1.22% |
||||||||||||||||
Environmental Systems Products Holdings, Inc., Second Lien Term
Loan
(Acquired 01/25/12;
Cost $1,170,102)
|
15.50 | % | 03/31/17 | 1,170 | 1,170,102 | |||||||||||
Safety Kleen (SK Holdings), Term Loan B
|
5.00 | % | 02/17/17 | 418 | 419,611 | |||||||||||
ServiceMaster Co.,
|
||||||||||||||||
Delayed Draw Term Loan
|
2.75 | % | 07/24/14 | 1,176 | 1,165,387 | |||||||||||
Term Loan
|
2.83 | % | 07/24/14 | 11,810 | 11,702,427 | |||||||||||
Synagro Technologies, Inc.,
Second Lien Term Loan |
5.01 | % | 10/02/14 | 900 | 726,754 | |||||||||||
Term Loan B
|
2.26 | % | 04/02/14 | 904 | 817,523 | |||||||||||
16,001,804 | ||||||||||||||||
Electronics & Electrical4.20% |
||||||||||||||||
Aeroflex Inc., Term Loan B
|
4.25 | % | 05/09/18 | 3,080 | 3,010,689 | |||||||||||
Blackboard, Inc.,
Second Lien Term Loan |
11.50 | % | 04/04/19 | 1,621 | 1,489,882 | |||||||||||
Term Loan B
|
7.50 | % | 10/04/18 | 5,963 | 5,909,161 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Electronics & Electrical(continued) |
||||||||||||||||
Butterfly Wendel U.S., Inc. (France),
Term Loan B2 |
3.25 | % | 06/23/14 | $ | 1,387 | $ | 1,377,392 | |||||||||
Term Loan C2
|
4.00 | % | 06/22/15 | 1,387 | 1,383,879 | |||||||||||
CommScope, Inc., Term Loan B
|
5.00 | % | 01/14/18 | 2,593 | 2,599,536 | |||||||||||
DEI Sales, Inc., Term Loan B
|
7.00 | % | 07/13/17 | 3,300 | 3,250,213 | |||||||||||
DG FastChannel, Inc., Term Loan B
|
5.75 | % | 07/26/18 | 3,067 | 3,013,722 | |||||||||||
Eastman Kodak Co., DIP Term Loan B
|
8.50 | % | 07/20/13 | 1,524 | 1,549,214 | |||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B
|
4.52 | % | 12/01/16 | 6,212 | 6,073,407 | |||||||||||
Go Daddy Operating Co., LLC, Term Loan
|
7.00 | % | 12/17/18 | 2,353 | 2,375,853 | |||||||||||
Open Solutions, Inc., Term Loan B
|
2.69 | % | 01/23/14 | 7,179 | 6,710,311 | |||||||||||
Proquest-CSA LLC, Term Loan
|
3.75 | % | 02/07/14 | 2,091 | 2,045,332 | |||||||||||
Sophia, L.P., Term Loan B
|
6.25 | % | 07/19/18 | 9,979 | 10,110,144 | |||||||||||
Spectrum Brands, Inc., Term Loan B
|
5.00 | % | 06/17/16 | 3,979 | 3,993,437 | |||||||||||
54,892,172 | ||||||||||||||||
Equipment Leasing0.56% |
||||||||||||||||
BakerCorp International, Inc., Term Loan B
|
5.00 | % | 06/01/18 | 3,423 | 3,428,968 | |||||||||||
Flying Fortress Inc., First Lien Term Loan
|
5.00 | % | 02/23/17 | 3,963 | 3,923,409 | |||||||||||
7,352,377 | ||||||||||||||||
Farming & Agriculture0.53% |
||||||||||||||||
Wm. Bolthouse Farms, Inc.,
First Lien Term Loan |
5.51 | % | 02/11/16 | 4,100 | 4,114,480 | |||||||||||
Second Lien Term Loan
|
9.50 | % | 08/11/16 | 2,864 | 2,873,043 | |||||||||||
6,987,523 | ||||||||||||||||
Financial Intermediaries2.83% |
||||||||||||||||
Fidelity National Information Solutions, Inc., Term Loan B
|
4.25 | % | 07/18/16 | 2,947 | 2,967,494 | |||||||||||
Grosvenor Capital Management Holdings, LLP, Extended Term Loan C
(Acquired 10/08/10;
Cost $3,316,033)
|
4.31 | % | 12/05/16 | 3,316 | 3,199,972 | |||||||||||
Moneygram International, Inc.,
Term Loan B |
4.50 | % | 11/20/17 | 534 | 532,203 | |||||||||||
Term Loan B1
|
4.50 | % | 11/17/17 | 396 | 394,969 | |||||||||||
Nuveen Investments, Inc.,
|
||||||||||||||||
Extended Term Loan
|
5.81 | % | 05/12/17 | 11,468 | 11,475,319 | |||||||||||
First Lien Term Loan
|
5.82 | % | 11/13/14 | 3,226 | 3,215,075 | |||||||||||
RJO Holdings Corp.,
|
||||||||||||||||
FCM Term Loan
(Acquired 12/10/10-01/21/11;
Cost $37,568)
|
6.25 | % | 12/10/15 | 151 | 130,480 | |||||||||||
HoldCo Term Loan B
|
7.00 | % | 12/10/15 | 5,338 | 4,163,331 | |||||||||||
Trans Union, LLC, Term Loan B
|
4.75 | % | 02/12/18 | 1,437 | 1,443,976 | |||||||||||
Transfirst Holdings, Inc.,
|
||||||||||||||||
PIK Second Lien Term
Loan(c)
|
6.25 | % | 06/15/15 | 4,958 | 4,611,327 | |||||||||||
Term Loan B
|
3.00 | % | 06/15/14 | 5,041 | 4,843,488 | |||||||||||
36,977,634 | ||||||||||||||||
Food & Drug Retailers2.17% |
||||||||||||||||
General Nutrition Centers, Inc., Term Loan B
|
4.25 | % | 03/02/18 | 1,045 | 1,045,967 | |||||||||||
NBTY, Inc., Term Loan B
|
4.25 | % | 10/02/17 | 1,555 | 1,557,842 | |||||||||||
Pantry, Inc. (The),
|
||||||||||||||||
Delayed Draw Term Loan B
|
2.00 | % | 05/15/14 | 91 | 89,169 | |||||||||||
Term Loan B
|
2.00 | % | 05/15/14 | 316 | 309,659 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Food & Drug Retailers(continued) |
||||||||||||||||
Rite Aid Corp.,
Term Loan B |
2.01 | % | 06/04/14 | $ | 5,568 | $ | 5,443,702 | |||||||||
Tranche 5
|
4.50 | % | 03/02/18 | 6,405 | 6,326,176 | |||||||||||
Roundys Supermarkets, Inc., Term Loan B
|
5.75 | % | 02/08/19 | 4,791 | 4,808,156 | |||||||||||
Supervalu Inc., Term Loan B3
|
4.50 | % | 04/28/18 | 8,764 | 8,786,510 | |||||||||||
28,367,181 | ||||||||||||||||
Food Products3.96% |
||||||||||||||||
Advantage Sales & Marketing, Inc., Second Lien Term
Loan
|
9.25 | % | 06/18/18 | 773 | 768,890 | |||||||||||
Dean Foods Co.,
|
||||||||||||||||
Extended Term Loan B1
|
3.58 | % | 04/02/16 | 992 | 976,316 | |||||||||||
Extended Term Loan B2
|
3.55 | % | 04/02/17 | 136 | 133,908 | |||||||||||
Del Monte Foods Co., Term Loan
|
4.50 | % | 03/08/18 | 12,442 | 12,248,311 | |||||||||||
Dole Food Co., Inc.,
|
||||||||||||||||
Tranche B2
|
5.04 | % | 07/06/18 | 3,216 | 3,237,719 | |||||||||||
Tranche C2
|
5.03 | % | 07/06/18 | 5,973 | 6,012,907 | |||||||||||
Farleys & Sathers Candy Co., Inc., Term Loan B
|
6.50 | % | 03/30/18 | 3,548 | 3,529,979 | |||||||||||
JBS USA Holdings Inc., Term Loan
|
4.25 | % | 05/25/18 | 5,544 | 5,550,890 | |||||||||||
Pierre Foods, Inc.,
First Lien Term Loan |
7.00 | % | 09/30/16 | 9,083 | 9,105,726 | |||||||||||
Second Lien Term Loan
|
11.25 | % | 09/29/17 | 902 | 905,868 | |||||||||||
Pinnacle Foods Finance LLC,
Revolver Loan(d) |
0.87 | % | 04/02/13 | 7,000 | 6,457,500 | |||||||||||
Tranche D Term Loan
|
6.00 | % | 04/02/14 | 2,744 | 2,768,366 | |||||||||||
51,696,380 | ||||||||||||||||
Food Service0.98% |
||||||||||||||||
Burger King Corp., Term Loan B
|
4.50 | % | 10/19/16 | 5,513 | 5,508,341 | |||||||||||
Focus Brands, Inc., Term Loan B
|
6.25 | % | 02/21/18 | 1,533 | 1,541,396 | |||||||||||
OSI Restaurant Partners, LLC,
Revolver Loan |
1.09 | % | 06/14/13 | 460 | 450,337 | |||||||||||
Term Loan B
|
2.56 | % | 06/14/14 | 4,665 | 4,568,218 | |||||||||||
Restaurant Holding Company, LLC, Term Loan B
|
9.00 | % | 02/17/17 | 793 | 792,570 | |||||||||||
12,860,862 | ||||||||||||||||
Forest Products0.86% |
||||||||||||||||
Ainsworth Lumber Co., Ltd., Term Loan
|
5.25 | % | 06/26/14 | 2,400 | 2,202,600 | |||||||||||
Cenveo Corp., Term Loan B
|
6.25 | % | 12/21/16 | 7,576 | 7,566,230 | |||||||||||
Verso Paper Holdings LLC, PIK Term
Loan(c)
|
6.84 | % | 02/01/13 | 473 | 248,555 | |||||||||||
Xerium Technologies, Inc., Term Loan B
|
5.50 | % | 05/22/17 | 1,203 | 1,201,718 | |||||||||||
11,219,103 | ||||||||||||||||
Health Care6.92% |
||||||||||||||||
Alere, Inc.,
Incremental Term Loan |
4.50 | % | 06/30/17 | 1,000 | 995,360 | |||||||||||
Term Loan B
|
4.50 | % | 06/30/17 | 4,372 | 4,351,420 | |||||||||||
Biomet, Inc., Term Loan B
|
3.46 | % | 03/25/15 | 239 | 237,205 | |||||||||||
CareStream Health, Inc., Term Loan B
|
5.00 | % | 02/25/17 | 11,064 | 10,556,346 | |||||||||||
Community Health Systems, Inc., Extended Term Loan B
|
4.08 | % | 01/25/17 | 3,484 | 3,451,255 | |||||||||||
DJO Finance LLC, Term Loan B
|
3.24 | % | 05/20/14 | 3,989 | 3,942,690 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Health Care(continued) |
||||||||||||||||
Drumm Investors, LLC, Term Loan
|
5.00 | % | 05/04/18 | $ | 6,061 | $ | 5,728,085 | |||||||||
Genoa Healthcare Group, LLC,
|
||||||||||||||||
PIK Second Lien Term
Loan(c)
|
14.00 | % | 02/10/15 | 1,113 | 806,838 | |||||||||||
Term Loan B
|
7.25 | % | 08/08/14 | 655 | 619,299 | |||||||||||
Gentiva Health Services, Inc., Term Loan B
|
6.50 | % | 08/17/16 | 1,570 | 1,503,872 | |||||||||||
HCA, Inc.,
|
||||||||||||||||
Extended Term Loan B2
|
3.83 | % | 03/31/17 | 5,568 | 5,503,840 | |||||||||||
Extended Term Loan B3
|
3.49 | % | 05/01/18 | 10,118 | 9,978,431 | |||||||||||
HCR Healthcare, LLC, Term Loan
|
5.00 | % | 04/06/18 | 3,790 | 3,628,254 | |||||||||||
Health Management Associates, Inc., Term Loan B
|
4.50 | % | 11/16/18 | 6,689 | 6,662,876 | |||||||||||
Kindred Healthcare, Inc., Term Loan
|
5.25 | % | 06/01/18 | 2,931 | 2,831,522 | |||||||||||
Kinetic Concepts, Inc., Term Loan B
|
7.00 | % | 05/04/18 | 13,319 | 13,582,244 | |||||||||||
Sun Healthcare Group Inc., Term Loan B
|
8.75 | % | 10/15/16 | 2,601 | 2,321,693 | |||||||||||
Surgery Center Holdings, Inc., Term Loan B
|
6.50 | % | 02/06/17 | 2,592 | 2,442,541 | |||||||||||
Surgical Care Affiliates, Inc.,
|
||||||||||||||||
Class B Term Loan
|
4.58 | % | 12/29/17 | 9,100 | 8,530,806 | |||||||||||
Extended Revolver
Loan(d)
|
0.38 | % | 06/30/16 | 3,000 | 2,685,000 | |||||||||||
TriZetto Group, Inc. (The), Term Loan B
|
4.75 | % | 05/02/18 | 10 | 9,586 | |||||||||||
90,369,163 | ||||||||||||||||
Home Furnishings1.05% |
||||||||||||||||
Hunter Fan Co.,
Revolver Loan 2(d) |
2.26 | % | 04/16/13 | 3,542 | 3,386,630 | |||||||||||
Second Lien Term Loan
|
7.00 | % | 10/16/14 | 1,471 | 1,210,779 | |||||||||||
Term Loan
|
2.75 | % | 04/16/14 | 850 | 794,741 | |||||||||||
National Bedding Co. LLC, Second Lien Term Loan
|
5.25 | % | 02/28/14 | 4,788 | 4,738,915 | |||||||||||
Quality Home Brands Holdings, LLC,
|
||||||||||||||||
PIK Cash-Pay Term
Loan(c)
|
8.50 | % | 06/30/14 | 1,004 | 734,320 | |||||||||||
PIK Term
Loan(c)
|
10.25 | % | 06/30/14 | 1,005 | 728,530 | |||||||||||
Springs Windows Fashions, LLC, Term Loan B
|
6.00 | % | 05/31/17 | 2,199 | 2,160,139 | |||||||||||
13,754,054 | ||||||||||||||||
Industrial Equipment1.56% |
||||||||||||||||
Colfax Corp., Term Loan B
|
4.50 | % | 01/11/19 | 5,373 | 5,386,160 | |||||||||||
Hupah Finance Inc., Term Loan B
|
6.25 | % | 01/21/19 | 2,974 | 2,981,421 | |||||||||||
Husky Injection Molding Systems Ltd., Term Loan B
|
6.50 | % | 06/29/18 | 1,323 | 1,331,747 | |||||||||||
Manitowoc Co., Inc. (The), Term Loan B
|
4.25 | % | 11/13/17 | 975 | 975,007 | |||||||||||
Mold-Masters (2007) Ltd. (Canada), Mold Masters Term Loan
|
4.06 | % | 10/10/14 | 5,205 | 5,122,730 | |||||||||||
Unifrax Corp., Term Loan
|
7.00 | % | 11/28/18 | 4,579 | 4,633,337 | |||||||||||
20,430,402 | ||||||||||||||||
Insurance1.88% |
||||||||||||||||
Alliant Holdings I, Inc.,
Term Loan B |
3.58 | % | 08/21/14 | 3,472 | 3,444,688 | |||||||||||
Term Loan D
|
6.75 | % | 08/21/14 | 2,085 | 2,103,008 | |||||||||||
C.G. JCF Corp., Term Loan
|
3.27 | % | 08/01/14 | 297 | 295,812 | |||||||||||
HMSC Corp., Second Lien Term Loan
|
5.74 | % | 10/03/14 | 1,119 | 685,660 | |||||||||||
Sedgwick CMS Holdings, Inc.,
Second Lien Term Loan |
9.00 | % | 05/26/17 | 4,200 | 4,168,500 | |||||||||||
Term Loan
|
5.00 | % | 12/30/16 | 5,551 | 5,544,406 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Insurance(continued) |
||||||||||||||||
USI Holdings Corp.,
Revolver Loan(d) |
0.56 | % | 05/05/13 | $ | 6,667 | $ | 6,036,667 | |||||||||
Term Loan
|
2.75 | % | 05/05/14 | 2,305 | 2,268,735 | |||||||||||
24,547,476 | ||||||||||||||||
Leisure Goods, Activities & Movies2.39% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc., Term Loan
|
7.50 | % | 04/22/16 | 6,300 | 6,201,312 | |||||||||||
Alpha D2 Ltd. (United Kingdom),
Second Lien Term Loan |
3.74 | % | 06/30/14 | 2,517 | 2,412,854 | |||||||||||
Term Loan B
|
2.37 | % | 12/31/13 | 4,285 | 4,142,717 | |||||||||||
Term Loan B2
|
2.37 | % | 12/31/13 | 2,946 | 2,848,811 | |||||||||||
AMC Entertainment, Inc., Term Loan B3
|
4.25 | % | 02/22/18 | 2,509 | 2,486,744 | |||||||||||
Fender Musical Instruments Corp.,
|
||||||||||||||||
Delayed Draw Term Loan
|
2.50 | % | 06/09/14 | 183 | 176,170 | |||||||||||
Term Loan B
|
2.50 | % | 06/09/14 | 363 | 348,680 | |||||||||||
IMG Worldwide, Inc., Term Loan B
|
5.50 | % | 06/16/16 | 1,648 | 1,646,405 | |||||||||||
Live Nation Entertainment, Inc., Term Loan B
|
4.50 | % | 11/07/16 | 2,869 | 2,876,286 | |||||||||||
Regal Cinemas, Inc., Term Loan B
|
3.58 | % | 08/23/17 | 264 | 263,287 | |||||||||||
Sabre, Inc., Term Loan B
|
2.33 | % | 09/30/14 | 3,524 | 3,320,877 | |||||||||||
Six Flags Theme Parks, Inc., Term Loan B
|
4.25 | % | 12/20/18 | 4,472 | 4,462,688 | |||||||||||
31,186,831 | ||||||||||||||||
Lodging & Casinos6.44% |
||||||||||||||||
Boyd Gaming Corp.,
|
||||||||||||||||
Extended Revolver Loan
|
3.71 | % | 12/17/15 | 5,958 | 5,459,308 | |||||||||||
Incremental Term Loan
|
6.00 | % | 12/17/15 | 1,525 | 1,533,117 | |||||||||||
Term Loan
|
3.74 | % | 12/17/15 | 3,235 | 3,156,874 | |||||||||||
Caesars Entertainment Operating Co.,
|
||||||||||||||||
Extended Term Loan B6
|
5.49 | % | 01/26/18 | 4,474 | 4,074,910 | |||||||||||
Term Loan B1
|
3.24 | % | 01/28/15 | 12,194 | 11,454,774 | |||||||||||
Term Loan B2
|
3.24 | % | 01/28/15 | 5,953 | 5,592,282 | |||||||||||
Term Loan B3
|
3.25 | % | 01/28/15 | 20,179 | 16,509,386 | |||||||||||
Cannery Casino Resorts, LLC,
|
||||||||||||||||
Delayed Draw Term Loan
|
4.49 | % | 05/20/13 | 4,168 | 4,029,577 | |||||||||||
Second Lien Term Loan
|
4.49 | % | 05/16/14 | 3,000 | 2,775,000 | |||||||||||
Term Loan B
|
4.49 | % | 05/17/13 | 5,040 | 4,872,077 | |||||||||||
CCM Merger, Inc., Term Loan B
|
7.00 | % | 03/01/17 | 5,675 | 5,689,584 | |||||||||||
Golden Nugget, Inc.,
|
||||||||||||||||
PIK Delayed Draw Term
Loan(c)
|
3.25 | % | 06/30/14 | 1,082 | 1,023,854 | |||||||||||
PIK Term Loan
B(c)
|
3.25 | % | 06/30/14 | 1,881 | 1,779,355 | |||||||||||
Isle of Capri Casinos, Inc., Term Loan B
|
4.75 | % | 11/01/13 | 3,799 | 3,805,744 | |||||||||||
Las Vegas Sands LLC,
|
||||||||||||||||
Extended Delayed Draw Term Loan 2
|
2.75 | % | 11/23/15 | 2,255 | 2,192,801 | |||||||||||
Extended Term Loan B
|
2.75 | % | 11/23/16 | 3,252 | 3,161,628 | |||||||||||
Twin River Worldwide Holdings, Inc., Term Loan
|
8.50 | % | 11/05/15 | 7,056 | 7,078,261 | |||||||||||
84,188,532 | ||||||||||||||||
Nonferrous Metals & Minerals0.15% |
||||||||||||||||
Noranda Aluminum Acquisition Corp., Term Loan B
|
5.75 | % | 02/24/19 | 1,916 | 1,901,538 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Oil & Gas2.02% |
||||||||||||||||
Buffalo Gulf Coast Terminals LLC, Term Loan B
|
7.50 | % | 10/31/17 | $ | 2,839 | $ | 2,845,832 | |||||||||
CCS Corp. (Canada), Term Loan B
|
3.24 | % | 11/14/14 | 4,506 | 4,375,711 | |||||||||||
Citgo Petroleum Corp., Term Loan B
|
8.00 | % | 06/24/15 | 1,772 | 1,794,190 | |||||||||||
Glenn Pool Oil & Gas Trust, Term Loan
|
4.50 | % | 05/02/16 | 2,458 | 2,463,925 | |||||||||||
Obsidian Natural Gas Trust (United Kingdom), Term Loan
|
7.00 | % | 11/02/15 | 4,131 | 4,161,930 | |||||||||||
Western Refining, Inc., Term Loan B
|
7.50 | % | 03/15/17 | 7,272 | 7,354,188 | |||||||||||
Willbros United States Holdings, Inc., Term Loan B
|
9.50 | % | 06/30/14 | 3,367 | 3,371,285 | |||||||||||
26,367,061 | ||||||||||||||||
Publishing4.44% |
||||||||||||||||
Cengage Learning Acquisitions, Inc., Tranche 1 Incremental
Loan
|
7.50 | % | 07/03/14 | 2,924 | 2,851,136 | |||||||||||
Clarke American Corp., Term Loan B
|
2.79 | % | 06/30/14 | 6,292 | 5,777,193 | |||||||||||
Cygnus Business Media, Inc., PIK Term Loan
(Acquired 07/19/04;
Cost $5,589,003)(c)(h)
|
9.75 | % | 06/30/13 | 5,639 | 2,537,556 | |||||||||||
Endurance Business Media, Inc., First Lien Term
Loan(h)
|
6.50 | % | 12/15/14 | 6,561 | 1,640,161 | |||||||||||
F&W Media, Inc., Term Loan
|
7.75 | % | 06/09/14 | 5,151 | 4,764,884 | |||||||||||
GateHouse Media Operating, Inc.,
|
||||||||||||||||
Delayed Draw Term Loan
|
2.25 | % | 08/28/14 | 639 | 184,082 | |||||||||||
Revolver
Loan(d)
|
0.50 | % | 02/28/14 | 1,500 | 1,275,000 | |||||||||||
Term Loan B
|
2.25 | % | 08/28/14 | 1,102 | 317,442 | |||||||||||
Knowledgepoint 360 Group, LLC,
First Lien Term Loan (Acquired 05/18/07; Cost $1,322,143) |
3.75 | % | 04/14/14 | 1,322 | 1,209,761 | |||||||||||
Second Lien Term Loan
(Acquired 05/18/07;
Cost $1,010,000)
|
7.50 | % | 04/13/15 | 1,000 | 800,000 | |||||||||||
MC Communications, LLC, PIK Term
Loan(c)
|
6.75 | % | 12/31/12 | 4,100 | 666,278 | |||||||||||
MediaNews Group, Inc., Term Loan
|
8.50 | % | 03/19/14 | 2,783 | 2,696,339 | |||||||||||
MediMedia USA, Inc., Extended Term Loan B
|
6.25 | % | 08/15/14 | 866 | 818,009 | |||||||||||
Merrill Communications, LLC,
|
||||||||||||||||
PIK Second Lien Term
Loan(c)
|
13.71 | % | 11/15/13 | 2,808 | 2,063,897 | |||||||||||
Term Loan
|
7.50 | % | 12/24/12 | 2,649 | 2,456,911 | |||||||||||
Network Communications, Inc., Term Loan
(Acquired 08/08/07-01/13/12;
Cost $5,020,701)
|
5.51 | % | 11/29/13 | 5,021 | 3,489,387 | |||||||||||
Newsday LLC, Term Loan
|
6.82 | % | 08/01/13 | 2,333 | 2,356,666 | |||||||||||
Tribune Co., Term Loan
B(e)(g)
|
5.25 | % | 06/04/14 | 32,911 | 21,543,216 | |||||||||||
Yell Group PLC, Tranche A3 Term Loan
|
3.74 | % | 04/30/14 | 1,509 | 584,482 | |||||||||||
58,032,400 | ||||||||||||||||
Radio & Television7.75% |
||||||||||||||||
Barrington Broadcasting Group LLC, Term Loan B
|
7.50 | % | 06/14/17 | 1,609 | 1,622,031 | |||||||||||
Clear Channel Communication,
Term Loan A |
3.64 | % | 07/29/14 | 10,768 | 10,210,146 | |||||||||||
Term Loan B
|
3.89 | % | 01/28/16 | 21,011 | 17,331,845 | |||||||||||
CMP KC LLC, Term Loan
(Acquired 05/17/06-03/15/10;
Cost $12,697,068)(g)
|
6.25 | % | 10/03/12 | 12,682 | 1,712,087 | |||||||||||
Foxco Acquisition Sub, LLC, Term Loan B
|
4.75 | % | 07/14/15 | 3,928 | 3,925,205 | |||||||||||
Harron Communications Corp., Term Loan B
|
5.25 | % | 10/06/17 | 3,985 | 3,967,431 | |||||||||||
High Plains Broadcasting Operating Co. LLC, Term Loan
|
9.00 | % | 09/14/16 | 1,443 | 1,446,125 | |||||||||||
Intelsat Jackson Holdings S.A., Tranche B Term Loan
|
5.25 | % | 04/02/18 | 12,666 | 12,683,593 | |||||||||||
LIN Television Corp., Term Loan B
|
5.00 | % | 12/21/18 | 1,308 | 1,317,977 | |||||||||||
Multicultural Radio Broadcasting, Inc.,
Second Lien Term Loan (Acquired 12/21/06; Cost $4,775,000) |
5.99 | % | 06/18/13 | 4,775 | 3,867,750 | |||||||||||
Term Loan
|
3.00 | % | 12/18/12 | 2,180 | 2,020,817 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Radio & Television(continued) |
||||||||||||||||
NEP II, Inc., Extended Term Loan B2
|
3.49 | % | 02/16/17 | $ | 1,077 | $ | 1,049,035 | |||||||||
Newport Television LLC, Term Loan B
|
9.00 | % | 09/14/16 | 5,399 | 5,410,433 | |||||||||||
Raycom TV Broadcasting, Inc., Term Loan B
|
4.50 | % | 05/31/17 | 3,702 | 3,648,142 | |||||||||||
Univision Communications Inc., Extended Term Loan
|
4.49 | % | 03/31/17 | 31,895 | 29,716,010 | |||||||||||
Weather Channel (The), Term Loan B
|
4.25 | % | 02/13/17 | 1,402 | 1,407,402 | |||||||||||
101,336,029 | ||||||||||||||||
Retailers (except Food & Drug)2.26% |
||||||||||||||||
AMSCAN Holdings, Inc., Term Loan B
|
6.75 | % | 12/04/17 | 7,080 | 7,092,193 | |||||||||||
Claires Stores, Inc., Term Loan B
|
3.05 | % | 05/29/14 | 3,123 | 2,970,268 | |||||||||||
Educate, Inc., Term Loan
(Acquired 06/27/07-06/23/08;
Cost $1,586,384)
|
8.51 | % | 06/16/14 | 1,641 | 1,640,960 | |||||||||||
Guitar Center Inc., Extended Term Loan
|
5.83 | % | 04/10/17 | 6,569 | 6,156,056 | |||||||||||
Gymboree Corp. (The), Term Loan
|
5.00 | % | 02/23/18 | 53 | 50,540 | |||||||||||
J. Crew Group, Inc., Term Loan B
|
4.75 | % | 03/07/18 | 7,956 | 7,811,053 | |||||||||||
Michaels Stores, Inc.,
|
||||||||||||||||
Extended Term Loan B3
|
5.13 | % | 07/29/16 | 1,939 | 1,932,705 | |||||||||||
Term Loan B2
|
5.13 | % | 07/29/16 | 1,042 | 1,038,843 | |||||||||||
Petco Animal Supplies, Inc., Term Loan
|
4.50 | % | 11/24/17 | 839 | 837,721 | |||||||||||
Pilot Travel Centers LLC, Term Loan B
|
4.25 | % | 03/30/18 | 51 | 51,212 | |||||||||||
29,581,551 | ||||||||||||||||
Steel0.23% |
||||||||||||||||
JMC Steel Group, Inc., Term Loan
|
4.75 | % | 04/03/17 | 2,151 | 2,150,141 | |||||||||||
WireCo WorldGroup Inc., Term Loan
(Acquired 02/16/07-08/07/07;
Cost $818,887)
|
5.00 | % | 02/10/14 | 819 | 806,604 | |||||||||||
2,956,745 | ||||||||||||||||
Surface Transport1.02% |
||||||||||||||||
Avis Budget Car Rental, LLC, Incremental Term Loan
|
6.25 | % | 09/21/18 | 4,430 | 4,486,769 | |||||||||||
JHCI Acquisition, Inc., First Lien Term Loan
|
2.75 | % | 06/19/14 | 829 | 770,352 | |||||||||||
Kenan Advantage Group, Inc., Term Loan
|
4.50 | % | 06/10/16 | 2,990 | 2,990,090 | |||||||||||
Swift Transportation Co. Inc., Term Loan B
|
6.00 | % | 12/21/16 | 5,006 | 5,020,275 | |||||||||||
13,267,486 | ||||||||||||||||
Telecommunications7.30% |
||||||||||||||||
Avaya, Inc., Extended Term Loan B3
|
4.99 | % | 10/26/17 | 8,178 | 7,954,279 | |||||||||||
Cellular South, Inc., Term Loan B
|
4.50 | % | 07/27/17 | 3,680 | 3,670,775 | |||||||||||
Consolidated Communications, Inc., Non Extended Term Loan B
|
2.75 | % | 12/31/14 | 500 | 494,375 | |||||||||||
Crown Castle International Corp., Term Loan B
|
4.00 | % | 01/31/19 | 980 | 977,231 | |||||||||||
Fairpoint Communications, Inc., Term Loan B
|
6.50 | % | 01/22/16 | 9,592 | 8,139,334 | |||||||||||
Genesys Telecom Holdings, U.S., Inc., Term Loan B
|
6.75 | % | 01/31/19 | 3,415 | 3,440,055 | |||||||||||
Global Tel*Link Corp., Term Loan B
|
7.00 | % | 12/14/17 | 5,988 | 5,982,703 | |||||||||||
Integra Telecom Inc., Term Loan B
|
9.25 | % | 04/15/15 | 1,280 | 1,132,255 | |||||||||||
Level 3 Financing Inc.,
Term Loan B2 |
5.75 | % | 09/03/18 | 5,895 | 5,952,544 | |||||||||||
Term Loan B3
|
5.75 | % | 08/31/18 | 6,253 | 6,313,700 | |||||||||||
Tranche A Term Loan
|
2.73 | % | 03/13/14 | 8,675 | 8,564,394 | |||||||||||
MetroPCS Wireless, Inc., Term Loan B3
|
4.01 | % | 03/16/18 | 17,077 | 17,012,888 | |||||||||||
NeuStar, Inc., Term Loan B
|
5.00 | % | 11/08/18 | 3,637 | 3,656,990 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Telecommunications(continued) |
||||||||||||||||
NTELOS Inc., Term Loan B
|
4.00 | % | 08/07/15 | $ | 3,080 | $ | 3,073,497 | |||||||||
Securus Technologies Holdings, Inc., Term Loan
|
5.25 | % | 05/31/17 | 3,304 | 3,273,427 | |||||||||||
Syniverse Technologies, Inc., Term Loan B
|
5.25 | % | 12/21/17 | 2,611 | 2,623,729 | |||||||||||
TowerCo Finance LLC, Term Loan B
|
5.25 | % | 02/02/17 | 4,499 | 4,524,238 | |||||||||||
U.S. Telepacific Corp., Term Loan B
|
5.75 | % | 02/23/17 | 3,559 | 3,390,115 | |||||||||||
West Corp.,
Term Loan B4 |
4.62 | % | 07/15/16 | 3,000 | 3,010,935 | |||||||||||
Term Loan B5
|
4.50 | % | 07/15/16 | 2,233 | 2,241,390 | |||||||||||
95,428,854 | ||||||||||||||||
Utilities5.23% |
||||||||||||||||
AES Corp., Term Loan
|
4.25 | % | 06/01/18 | 7,290 | 7,300,242 | |||||||||||
BRSP, LLC, Term Loan B
|
7.50 | % | 06/04/14 | 6,732 | 6,765,970 | |||||||||||
Calpine Corp., Term Loan
|
4.50 | % | 04/02/18 | 6,114 | 6,079,514 | |||||||||||
FirstLight Power Resources, Inc.,
Second Lien Term Loan |
4.75 | % | 05/01/14 | 2,160 | 1,860,530 | |||||||||||
Term Loan B
|
2.75 | % | 11/01/13 | 2,269 | 2,159,660 | |||||||||||
Longview Power LLC,
|
||||||||||||||||
Extended Term Loan B
|
6.00 | % | 10/31/17 | 2,427 | 2,200,465 | |||||||||||
Synthetic LOC
|
4.13 | % | 02/28/14 | 373 | 339,112 | |||||||||||
NRG Energy, Inc., Term Loan B
|
4.00 | % | 07/02/18 | 5,241 | 5,233,341 | |||||||||||
Primary Energy Operations LLC, Term Loan
|
6.50 | % | 10/23/14 | 4,074 | 4,022,687 | |||||||||||
Star West Generation LLC, Term Loan B
|
6.00 | % | 05/17/18 | 8,859 | 8,770,316 | |||||||||||
Texas Competitive Electric Holdings Co., LLC,
|
||||||||||||||||
Extended Term Loan
|
4.76 | % | 10/10/17 | 8,391 | 4,709,306 | |||||||||||
Non-Extended Term Loan
|
3.76 | % | 10/10/14 | 21,995 | 13,476,620 | |||||||||||
TPF Generation Holdings LLC, Second Lien Term Loan C
|
4.83 | % | 12/15/14 | 5,633 | 5,464,333 | |||||||||||
68,382,096 | ||||||||||||||||
Total Variable Rate Senior Loan Interests
(Cost $1,531,446,745)
|
1,424,133,299 | |||||||||||||||
U.S. Dollar Denominated Bonds and Notes9.38% |
||||||||||||||||
Air Transport0.70% |
||||||||||||||||
Air Lease Corp.
|
7.38 | % | 01/30/19 | 7,548 | 7,406,475 | |||||||||||
Continental Airlines,
Inc.(j)
|
6.75 | % | 09/15/15 | 1,700 | 1,729,750 | |||||||||||
9,136,225 | ||||||||||||||||
Automotive0.12% |
||||||||||||||||
Goodyear Tire & Rubber Co.
|
7.00 | % | 05/15/22 | 1,476 | 1,507,365 | |||||||||||
Cable & Satellite Television0.93% |
||||||||||||||||
Cequel Communications,
LLC(j)
|
8.63 | % | 11/15/17 | 3,350 | 3,618,000 | |||||||||||
Charter Communications Operating LLC
|
6.63 | % | 01/31/22 | 1,627 | 1,749,025 | |||||||||||
UPC Broadband Holdings, B.V.
(Netherlands)(j)
|
7.25 | % | 11/15/21 | 6,113 | 6,407,341 | |||||||||||
UPC Broadband Holdings, B.V.
(Netherlands)(j)
|
6.88 | % | 01/15/22 | 328 | 340,699 | |||||||||||
12,115,065 | ||||||||||||||||
Chemicals & Plastics0.34% |
||||||||||||||||
INEOS Holdings Ltd. (United
Kingdom)(j)
|
8.38 | % | 02/15/19 | 457 | 488,990 | |||||||||||
Lyondell Chemical Co.
|
11.00 | % | 05/01/18 | 3,214 | 3,527,862 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Chemicals & Plastics(continued) |
||||||||||||||||
Taminco Global Chemical
Corp.(j)
|
9.75 | % | 03/31/20 | $ | 419 | $ | 437,855 | |||||||||
4,454,707 | ||||||||||||||||
Containers & Glass Products1.38% |
||||||||||||||||
Berry Plastics Group,
Inc.(k)
|
5.32 | % | 02/15/15 | 8,949 | 8,973,610 | |||||||||||
Reynolds Group Holdings
Inc.(j)
|
7.88 | % | 08/15/19 | 6,874 | 7,544,215 | |||||||||||
Reynolds Group Holdings
Inc.(j)
|
9.88 | % | 08/15/19 | 1,409 | 1,468,882 | |||||||||||
17,986,707 | ||||||||||||||||
Ecological Services & Equipment0.06% |
||||||||||||||||
Environmental Systems Products Holdings, Inc.,
PIK(c)
|
16.00 | % | 12/31/19 | 819 | 823,123 | |||||||||||
Food Products0.14% |
||||||||||||||||
Post Holdings,
Inc.(j)
|
7.38 | % | 02/15/22 | 1,677 | 1,798,582 | |||||||||||
Forest Products0.47% |
||||||||||||||||
Verso Paper Holdings LLC
|
11.50 | % | 07/01/14 | 4,112 | 4,219,940 | |||||||||||
Verso Paper Holdings
LLC(k)
|
4.30 | % | 08/01/14 | 2,833 | 1,983,100 | |||||||||||
6,203,040 | ||||||||||||||||
Healthcare0.99% |
||||||||||||||||
Accellent Inc.
|
8.38 | % | 02/01/17 | 3,202 | 3,270,043 | |||||||||||
Apria Healthcare Group, Inc.
|
11.25 | % | 11/01/14 | 9,167 | 9,716,667 | |||||||||||
12,986,710 | ||||||||||||||||
Home Furnishings0.05% |
||||||||||||||||
Targus Group International, Inc., PIK
(Acquired 12/16/09-12/14/10;
Cost $1,845,387)(c)
|
10.00 | % | 06/14/19 | 610 | 609,910 | |||||||||||
Lodging & Casinos0.36% |
||||||||||||||||
Caesars Entertainment Operating
Co.(j)
|
11.25 | % | 06/01/17 | 3,462 | 3,808,200 | |||||||||||
Chester Downs & Marina,
LLC(j)
|
9.25 | % | 02/01/20 | 836 | 877,800 | |||||||||||
4,686,000 | ||||||||||||||||
Oil & Gas0.47% |
||||||||||||||||
Coffeyville Resources,
LLC(j)
|
9.00 | % | 04/01/15 | 5,732 | 6,133,240 | |||||||||||
Surface Transport0.09% |
||||||||||||||||
Avis Budget Car Rental, LLC
|
9.63 | % | 03/15/18 | 1,106 | 1,213,835 | |||||||||||
Telecommunications1.24% |
||||||||||||||||
Goodman Networks,
Inc.(j)
|
12.13 | % | 07/01/18 | 3,440 | 3,517,400 | |||||||||||
PAETEC Holding Corp.
|
8.88 | % | 06/30/17 | 1,028 | 1,128,230 | |||||||||||
PAETEC Holding Corp.
|
9.88 | % | 12/01/18 | 2,987 | 3,337,972 | |||||||||||
Wind Telecomunicazioni S.p.A.
(Italy)(j)
|
7.25 | % | 02/15/18 | 5,671 | 5,585,935 | |||||||||||
Windstream
Corp.(j)
|
7.50 | % | 06/01/22 | 2,483 | 2,638,188 | |||||||||||
16,207,725 | ||||||||||||||||
Utilities2.04% |
||||||||||||||||
Calpine
Corp.(j)
|
7.25 | % | 10/15/17 | 4,908 | 5,227,020 | |||||||||||
Calpine
Corp.(j)
|
7.50 | % | 02/15/21 | 8,407 | 9,142,963 | |||||||||||
Calpine
Corp.(j)
|
7.88 | % | 01/15/23 | 4,157 | 4,562,657 | |||||||||||
Principal |
||||||||||||||||
Interest |
Maturity |
Amount |
||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Utilities(continued) |
||||||||||||||||
NRG Energy, Inc.
|
7.63 | % | 05/15/19 | $ | 7,763 | $ | 7,763,000 | |||||||||
26,695,640 | ||||||||||||||||
Total U.S. Dollar Denominated Bonds and Notes
(Cost $118,664,577)
|
122,557,874 | |||||||||||||||
Structured Products2.57% |
||||||||||||||||
Apidos Cinco CDO Ltd. (Cayman
Islands)(k)
|
4.70 | % | 05/14/20 | 639 | 428,311 | |||||||||||
Apidos Quattro CDO Ltd. (Cayman
Islands)(j)(k)
|
4.16 | % | 01/20/19 | 721 | 496,033 | |||||||||||
Ares XI CLO,
Ltd.(j)(k)
|
3.47 | % | 10/11/21 | 1,278 | 917,983 | |||||||||||
Atrium IV CDO
Corp.(j)
|
9.18 | % | 06/08/19 | 594 | 512,964 | |||||||||||
Banc of America Large Loan
Inc.(j)(k)
|
2.00 | % | 11/15/15 | 17,564 | 16,405,946 | |||||||||||
Columbus Nova CLO
Ltd.(j)(k)
|
4.10 | % | 05/16/19 | 3,167 | 2,071,839 | |||||||||||
Flagship
CLO VI(k)
|
5.29 | % | 06/10/21 | 1,918 | 1,322,851 | |||||||||||
Flagship
CLO VI(j)(k)
|
5.29 | % | 06/10/21 | 1,671 | 1,152,695 | |||||||||||
Four Corners CLO II,
Ltd.(j)(k)
|
2.41 | % | 01/26/20 | 573 | 426,347 | |||||||||||
Four Corners CLO II,
Ltd.(k)
|
2.41 | % | 01/26/20 | 191 | 142,116 | |||||||||||
Halcyon Loan Investors CLO II, Ltd. (Cayman
Islands)(j)(k)
|
4.16 | % | 04/24/21 | 2,875 | 1,913,509 | |||||||||||
ING Investment Management CLO III,
Ltd.(j)(k)
|
4.07 | % | 12/13/20 | 2,098 | 1,413,849 | |||||||||||
ING Investment Management CLO III, Ltd. (Cayman
Islands)(j)(k)
|
4.81 | % | 06/14/22 | 542 | 369,144 | |||||||||||
Madison Park Funding IV
Ltd.(j)(k)
|
4.17 | % | 03/22/21 | 2,424 | 1,699,304 | |||||||||||
Pacifica CDO VI,
Ltd.(j)(k)
|
4.25 | % | 08/15/21 | 1,059 | 683,107 | |||||||||||
Sierra CLO II
Ltd.(k)
|
4.06 | % | 01/22/21 | 1,279 | 853,376 | |||||||||||
Silverado CLO
Ltd.(j)(k)
|
4.32 | % | 10/16/20 | 1,545 | 1,067,863 | |||||||||||
Symphony CLO VIII,
Ltd.(j)(k)
|
6.51 | % | 01/09/23 | 1,916 | 1,685,554 | |||||||||||
Total Structured Products (Cost $34,782,224)
|
33,562,791 | |||||||||||||||
Shares | ||||||||||||||||
Common Stocks & Other Equity Interests1.47% |
||||||||||||||||
Building & Development0.32% |
||||||||||||||||
Axia Acquisition
Corp.(h)(j)(l)
|
505 | 1,263,250 | ||||||||||||||
Building Materials Holding
Corp.(j)(l)
|
1,279,379 | 1,375,332 | ||||||||||||||
Lake at Las Vegas Joint Venture, LLC,
|
||||||||||||||||
Class A
(Acquired 07/15/10;
Cost $7,938,060)(j)(l)
|
780 | 54,567 | ||||||||||||||
Class B
(Acquired 07/15/10;
Cost $93,975)(j)(l)
|
9 | 648 | ||||||||||||||
Class C, Wts.
expiring 07/15/15
(Acquired 07/15/10;
Cost $0)(j)(l)
|
39 | | ||||||||||||||
Class D, Wts.
expiring 07/15/15
(Acquired 07/15/10;
Cost $0)(j)(l)
|
54 | | ||||||||||||||
Class E, Wts.
expiring 07/15/15
(Acquired 07/15/10;
Cost $0)(j)(l)
|
60 | | ||||||||||||||
Class F, Wts.
expiring 07/15/15
(Acquired 07/15/10;
Cost $0)(j)(l)
|
67 | | ||||||||||||||
Class G, Wts.
expiring 07/15/15
(Acquired 07/15/10;
Cost $0)(j)(l)
|
76 | | ||||||||||||||
Newhall Holding Co.,
LLC(j)(l)
|
615,547 | 723,268 | ||||||||||||||
Rhodes
Homes(l)
|
1,038,734 | 259,684 | ||||||||||||||
WCI Communities,
Inc.(j)(l)
|
9,079 | 522,042 | ||||||||||||||
4,198,791 | ||||||||||||||||
Chemicals & Plastics0.20% |
||||||||||||||||
LyondellBasell Industries N.V. (Netherlands),
Class A(l)
|
53,352 | 2,303,739 | ||||||||||||||
Metokote Corp., Wts. expiring
11/23/23(l)
|
295 | 305,015 | ||||||||||||||
2,608,754 | ||||||||||||||||
Shares | Value | |||||||||||||||
Conglomerates0.07% |
||||||||||||||||
Euramax International,
Inc.(j)(l)
|
3,272 | $ | 948,938 | |||||||||||||
Containers & Glass Products0.00% |
||||||||||||||||
Nexpak Corp.
(Acquired 09/01/99;
Cost $6,411,681)(l)
|
70 | | ||||||||||||||
Cosmetics & Toiletries0.21% |
||||||||||||||||
Marietta Intermediate Holding Corp.
(Acquired 12/22/04-01/14/05;
Cost $4,632,828)(h)(j)(l)
|
3,872,488 | 2,672,017 | ||||||||||||||
Marietta Intermediate Holding Corp., Wts.
expiring 02/20/19
(Acquired 07/25/06;
Cost $0)(h)(j)(l)
|
519,444 | | ||||||||||||||
Natural Products Group,
Inc.(l)
|
4,893 | 36,694 | ||||||||||||||
2,708,711 | ||||||||||||||||
Ecological Services & Equipment0.11% |
||||||||||||||||
Environmental Systems Products Holdings, Inc.
(Acquired 09/12/07;
Cost $0)(j)(l)
|
13,648 | 1,501,280 | ||||||||||||||
Financial Intermediaries0.00% |
||||||||||||||||
RJO Holdings Corp.,
|
||||||||||||||||
Class A(j)(l)
|
2,314 | 1,157 | ||||||||||||||
Class B(j)(l)
|
3,000 | 1,500 | ||||||||||||||
RTS Investor
Corp.(j)(l)
|
2,852 | 28,516 | ||||||||||||||
31,173 | ||||||||||||||||
Home Furnishings0.16% |
||||||||||||||||
Generation Brands LLC
(Acquired 01/29/10;
Cost $0)(j)(l)
|
9,358 | | ||||||||||||||
Targus Group International Inc.
(Acquired 12/16/09;
Cost $0)(j)(l)
|
22,469 | 162,226 | ||||||||||||||
World Kitchen, Inc.
(Acquired 01/31/03;
Cost $138,363)(l)
|
52,654 | 1,892,174 | ||||||||||||||
2,054,400 | ||||||||||||||||
Leisure Goods, Activities & Movies0.03% |
||||||||||||||||
MEGA Brands Inc.
(Canada)(j)(l)
|
41,386 | 334,618 | ||||||||||||||
Lodging & Casinos0.14% |
||||||||||||||||
Wembley, Inc.,
|
||||||||||||||||
Class A(j)(l)
|
189,050 | 1,764,404 | ||||||||||||||
Class B(j)(l)
|
3,583 | 37,625 | ||||||||||||||
1,802,029 | ||||||||||||||||
Oil & Gas0.11% |
||||||||||||||||
Vitruvian Exploration
LLC(j)(l)
|
55,390 | 1,481,682 | ||||||||||||||
Publishing0.11% |
||||||||||||||||
Affiliated Media,
Inc.(l)
|
81,915 | 1,310,642 | ||||||||||||||
Cygnus Business Media, Inc.
(Acquired 07/19/04;
Cost $1,793,148)(h)(j)(l)
|
8,426 | | ||||||||||||||
Endurance Business Media,
Inc.(h)(j)(l)
|
13,517 | 135,172 | ||||||||||||||
F&W Media,
Inc.(j)(l)
|
18,385 | 2,298 | ||||||||||||||
F&W Media, Inc., Wts. expiring
06/09/14(j)(l)
|
3,541 | 443 | ||||||||||||||
MC Acquisition Corp.
(Acquired 07/02/09;
Cost $0)(j)(l)
|
739,818 | | ||||||||||||||
SuperMedia,
Inc.(l)
|
4,806 | 13,697 | ||||||||||||||
1,462,252 | ||||||||||||||||
Radio & Television0.00% |
||||||||||||||||
Cumulus Media, Inc., Wts. expiring 06/29/19
(Acquired 01/14/10;
Cost $0)(j)(l)
|
11,850 | 26,900 | ||||||||||||||
Shares | Value | |||||||||||||||
Telecommunications0.00% |
||||||||||||||||
CTM Media Holdings Inc.,
Class B(l)
|
127 | $ | 4,966 | |||||||||||||
Utilities0.01% |
||||||||||||||||
Genie Energy Ltd.,
Class B(l)
|
7,632 | 73,191 | ||||||||||||||
Total Common Stocks & Other Equity Interests
(Cost $62,919,925)
|
19,237,685 | |||||||||||||||
Preferred Stocks0.04% |
||||||||||||||||
Ecological Services & Equipment0.04% |
||||||||||||||||
Environmental Systems Products Holdings, Inc.
(Acquired 09/12/07;
Cost $78,100)(j)(l)
|
3,124 | 521,708 | ||||||||||||||
Financial Intermediaries0.00% |
||||||||||||||||
RTS Investor
Corp.(j)(l)
|
584 | 43,801 | ||||||||||||||
Total Preferred Stocks (Cost $78,100)
|
565,509 | |||||||||||||||
Time Deposit3.21% |
||||||||||||||||
State Street Bank & Trust Co. ($41,981,692 par,
0.01% coupon, dated
02/29/12, to
be sold on
03/01/12 at
$41,981,703)(m)
(Cost $41,981,692)
|
41,981,692 | |||||||||||||||
TOTAL INVESTMENTS125.65% (Cost $1,789,873,263)
|
1,642,038,850 | |||||||||||||||
OTHER ASSETS LESS LIABILITIES(25.65)%
|
(335,197,673 | ) | ||||||||||||||
NET ASSETS100.00%
|
$ | 1,306,841,177 | ||||||||||||||
CDO
|
Collateralized Debt Obligation | |
CLD
|
Credit Linked Deposit | |
CLO
|
Collateralized Loan Obligation | |
DIP
|
Debtor-in-Possession | |
LOC
|
Letter of Credit | |
PIK
|
Payment-in-Kind | |
Sub.
|
Subordinated |
(a) | Variable rate senior loan interests are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended and may be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Funds portfolio generally have variable rates which adjust to a base, such as the London Inter-Bank Offered Rate (LIBOR), on set dates, typically every 30 days but not greater than one year; and/or have interest rates that float at a margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. | |
(b) | Variable rate senior loan interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the variable rate senior loan interests will have an expected average life of three to five years. | |
(c) | All or a portion of this security is Payment-in-Kind. | |
(d) | All or a portion of this holding is subject to unfunded loan commitments. See Note 9. | |
(e) | This borrower has filed for protection in federal bankruptcy court. | |
(f) | This borrower is currently in liquidation. | |
(g) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at February 29, 2012 was $24,236,404, which represented 1.85% of the Funds Net Assets. | |
(h) | Affiliated company during the period. The Investment company act of 1940 defines affiliates as those companies in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The aggregate value of these securities as of February 29, 2012 was $14,237,662, which represented 1.09% of the Funds Net Assets. See Note 5. | |
(j) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at February 29, 2012 was $109,747,246, which represented 8.36% of the Funds Net Assets. | |
(k) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on February 29, 2012. | |
(l) | Non-income producing securities acquired through the restructuring of senior loans. | |
(m) | Security is considered a cash equivalent for the purpose of the Statement of Cash Flows. See Note 1H. |
Assets: |
||||
Investments, at value (Cost $1,740,329,399)
|
$ | 1,627,711,188 | ||
Investments in affiliates, at value (Cost $49,543,864)
|
14,327,662 | |||
Total Investments, at value (Cost $1,789,873,263)
|
1,642,038,850 | |||
Receivable for:
|
||||
Investments sold
|
31,857,974 | |||
Interest and fees
|
8,879,132 | |||
Fund shares sold
|
1,763,358 | |||
Investments matured
|
3,169,687 | |||
Unrealized appreciation swap agreements
|
226,113 | |||
Other assets
|
33,727 | |||
Total assets
|
1,687,968,841 | |||
Liabilities: |
||||
Payable for:
|
||||
Borrowings
|
228,000,000 | |||
Investments purchased
|
144,171,829 | |||
Fund shares repurchased
|
152,852 | |||
Amount due to custodian
|
370,576 | |||
Income distributions
|
4,297,857 | |||
Accrued interest, facilities and maintenance fees
|
208,455 | |||
Accrued fees to affiliates
|
887,314 | |||
Accrued other operating expenses
|
1,121,101 | |||
Premiums received on swap agreements
|
180,000 | |||
Upfront commitment fees
|
1,737,680 | |||
Total liabilities
|
381,127,664 | |||
$ | 1,306,841,177 | |||
Net assets consist of: |
||||
Shares of beneficial interest
|
$ | 2,352,239,118 | ||
Undistributed net investment income
|
(11,985,303 | ) | ||
Undistributed net realized gain (loss)
|
(885,804,338 | ) | ||
Unrealized appreciation (depreciation)
|
(147,608,300 | ) | ||
$ | 1,306,841,177 | |||
Net Assets: |
||||
Class A
|
$ | 122,251,843 | ||
Class B
|
$ | 14,948,155 | ||
Class C
|
$ | 147,550,950 | ||
Class IB
|
$ | 943,490,642 | ||
Class IC
|
$ | 78,599,587 | ||
Shares outstanding, $0.01 par value per share: |
||||
Class A
|
18,586,117 | |||
Class B
|
2,272,756 | |||
Class C
|
22,431,714 | |||
Class IB
|
143,328,379 | |||
Class IC
|
11,943,881 | |||
Class A
|
||||
Net asset value per share
|
$ | 6.58 | ||
Maximum offering price per share
(Net asset value of $6.58 divided by 96.75%) |
$ | 6.80 | ||
Class B:
|
||||
Net asset value and offering price per share
|
$ | 6.58 | ||
Class C:
|
||||
Net asset value and offering price per share
|
$ | 6.58 | ||
Class IB:
|
||||
Net asset value and offering price per share
|
$ | 6.58 | ||
Class IC:
|
||||
Net asset value and offering price per share
|
$ | 6.58 | ||
Investment income: |
||||
Interest from unaffiliated investments
|
$ | 64,641,076 | ||
Interest from affiliated investments
|
171,394 | |||
Dividends (net of foreign withholding taxes of $38,013)
|
216,746 | |||
Other income
|
3,195,120 | |||
Total investment income
|
68,224,336 | |||
Expenses: |
||||
Advisory fees
|
8,723,075 | |||
Administrative services fees
|
2,492,081 | |||
Custodian fees
|
445,113 | |||
Distribution fees:
|
||||
Class A
|
363,162 | |||
Class B
|
173,406 | |||
Class C
|
1,682,748 | |||
Class IC
|
126,895 | |||
Interest, facilities and maintenance fees
|
2,664,829 | |||
Transfer agent fees
|
1,097,618 | |||
Trustees and officers fees and benefits
|
116,312 | |||
Reports to shareholders
|
1,052,468 | |||
Other
|
789,303 | |||
Total expenses
|
19,727,010 | |||
Less: Fees waived, expenses reimbursed
and/or
expense offset arrangement(s)
|
(954,919 | ) | ||
Net expenses
|
18,772,091 | |||
Net investment income
|
49,452,245 | |||
Realized and unrealized gain (loss): |
||||
Net realized gain (loss) from:
|
||||
Investment securities unaffiliated
|
(17,607,068 | ) | ||
Investment securities affiliated
|
18,714 | |||
Swap agreements
|
304,583 | |||
(17,283,771 | ) | |||
Change in net unrealized appreciation of:
|
||||
Investment securities
|
14,549,534 | |||
Swap agreements
|
38,207 | |||
14,587,741 | ||||
Net realized and unrealized gain
|
(2,696,030 | ) | ||
Net increase in net assets resulting from operations
|
$ | 46,756,215 | ||
Seven months |
||||||||||||
Year ended |
ended |
Year ended |
||||||||||
February 29, |
February 28, |
July 31, |
||||||||||
2012 | 2011 | 2010 | ||||||||||
Operations: |
||||||||||||
Net investment income
|
$ | 49,452,245 | $ | 27,842,423 | $ | 46,384,918 | ||||||
Net realized gain (loss)
|
(17,283,771 | ) | (14,411,629 | ) | (128,952,790 | ) | ||||||
Change in net unrealized appreciation
|
14,587,741 | 82,768,461 | 261,268,235 | |||||||||
Net increase in net assets resulting from operations
|
46,756,215 | 96,199,255 | 179,000,363 | |||||||||
Distributions to shareholders from net investment income: |
||||||||||||
Class A
|
(7,277,131 | ) | (5,018,297 | ) | (9,403,005 | ) | ||||||
Class B
|
(738,609 | ) | (421,663 | ) | (794,596 | ) | ||||||
Class C
|
(7,162,880 | ) | (4,699,451 | ) | (9,212,195 | ) | ||||||
Class IB
|
(29,287,550 | ) | (14,512,886 | ) | (27,157,593 | ) | ||||||
Class IC
|
(4,244,682 | ) | (2,632,994 | ) | (4,934,432 | ) | ||||||
Total distributions to shareholders from net investment income
|
(48,710,852 | ) | (27,285,291 | ) | (51,501,821 | ) | ||||||
Return of capital: |
||||||||||||
Class A
|
| | (1,173,947 | ) | ||||||||
Class B
|
| | (99,204 | ) | ||||||||
Class C
|
| | (1,150,125 | ) | ||||||||
Class IB
|
| | (3,390,574 | ) | ||||||||
Class IC
|
| | (616,054 | ) | ||||||||
Total return of capital
|
| | (6,429,904 | ) | ||||||||
Share transactionsnet: |
||||||||||||
Class A
|
(46,712,618 | ) | (27,646,178 | ) | 1,514,323 | |||||||
Class B
|
(4,054,455 | ) | 332,087 | (1,156,614 | ) | |||||||
Class C
|
(43,909,612 | ) | (25,427,342 | ) | (12,858,509 | ) | ||||||
Class IB
|
407,736,295 | (35,812,960 | ) | (55,996,567 | ) | |||||||
Class IC
|
(14,059,127 | ) | (7,920,870 | ) | (10,199,427 | ) | ||||||
Net increase (decrease) in net assets resulting from share
transactions
|
299,000,483 | (96,475,263 | ) | (78,696,794 | ) | |||||||
Net increase (decrease) in net assets
|
297,045,846 | (27,561,299 | ) | 42,371,844 | ||||||||
Net assets: |
||||||||||||
Beginning of period
|
1,009,795,331 | 1,037,356,630 | 994,984,786 | |||||||||
End of period (includes undistributed net investment income of
$(11,985,303), $(7,591,093) and $(9,446,964), respectively)
|
$ | 1,306,841,177 | $ | 1,009,795,331 | $ | 1,037,356,630 | ||||||
Cash provided by operating activities: |
||||
Net increase (decrease) in net assets resulting from operations
|
$ | 46,756,215 | ||
Adjustments to reconcile the change in net assets from operations to net cash provided by (used in) operating activities: |
||||
Net realized gain (loss) on investments
|
17,588,354 | |||
Net change in unrealized appreciation on investments
|
(14,549,534 | ) | ||
Accretion of discounts
|
(9,939,451 | ) | ||
Amortization of loan fees
|
17,257,795 | |||
Net loan fees
|
(441,926 | ) | ||
Purchases of investments
|
(1,039,528,065 | ) | ||
Sales of investments/principal repayments
|
1,192,016,660 | |||
Increase in interest and fees receivable and other assets
|
(6,553,740 | ) | ||
Decrease in accrued expenses and other payables
|
2,371,232 | |||
Net change in swap agreements
|
(215,707 | ) | ||
Net cash provided by (used in) operating activities
|
204,761,833 | |||
Cash flows provided by financing activities: |
||||
Proceeds from shares of beneficial interest sold
|
28,629,139 | |||
Disbursements for shares of beneficial interest repurchased
|
(238,956,717 | ) | ||
Net proceeds from and repayments of borrowings
|
50,000,000 | |||
Distributions paid to shareholders from net investment income
|
(31,321,150 | ) | ||
Net cash provided by financing activities
|
(191,648,728 | ) | ||
Net increase in cash
|
13,113,105 | |||
Cash and cash equivalents at beginning of period
|
28,868,587 | |||
Cash and cash equivalents at end of period
|
41,981,692 | |||
Non-cash financing activities: |
||||
Value of shares of beneficial interest issued in reinvestment of
dividends paid to shareholders
|
15,412,296 | |||
Supplemental disclosure of cash flow information: |
||||
Cash paid during the period for interest, facilities and
maintenance fees
|
$ | 2,504,374 | ||
A. | Security Valuations Senior secured floating rate loans and senior secured floating rate debt securities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution-size trading in similar groups of securities and other market data. |
Securities, including restricted securities, are valued according to the following policy. A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market (but not securities reported on the NASDAQ Stock Exchange) are valued based on the prices furnished by independent pricing services, in which case the securities may be considered fair valued, or by market makers. Each security reported on the NASDAQ Stock Exchange is valued at the NASDAQ Official Closing Price (NOCP) as of the close of the customary trading session on the valuation date or absent a NOCP, at the closing bid price. | ||
Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and the ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (NYSE). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trade is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trusts officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a securitys fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuers assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from the settlement date. Facility fees received may be amortized over the life of the loan. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Funds net asset value and, accordingly, they reduce the Funds total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates realized and unrealized capital gains and losses to a class based on the relative net assets of each class. The Fund allocates income to a class based on the relative value of the settled shares of each class. |
Other income is comprised primarily of amendment fees which are recorded when received. Amendment fees are received in return for changes in the terms of a loan or note. | ||
C. | Country Determination For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuers securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions Distributions from income are declared daily and paid monthly. Distributions from net realized capital gain, if any, are generally paid annually and recorded on ex-dividend date. The Fund may elect to treat a portion of the proceeds from redemptions as distributions for federal income tax purposes. | |
E. | Federal Income Taxes The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Funds taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally, the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Accounting Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
G. | Indemnifications Under the Funds organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Funds servicing agreements that contain a variety of indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
H. | Cash and Cash Equivalents For the purposes of the Statement of Cash Flows the Fund defines Cash and Cash Equivalents as cash (including foreign currency), money market funds and other investments held in lieu of cash and excludes investments made with cash collateral received. | |
I. | Interest, Facilities and Maintenance Fees Interest, Facilities and Maintenance Fees include interest and related borrowing costs such as commitment fees and other expenses associated with lines of credit and interest and administrative expenses related to establishing and maintaining floating rate note obligations, if any. | |
J. | Securities Purchased on a When-Issued and Delayed Delivery Basis The Fund may purchase and sell interests in Corporate Loans and Corporate Debt Securities and other portfolio securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities prior to the settlement date. | |
K. | Swap Agreements The Fund may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (CDS) for investment purposes or to manage interest rate, currency or credit risk. | |
Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or swapped between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a basket of securities representing a particular index. | ||
A CDS is an agreement between two parties (Counterparties) to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the par value, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer par value or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due |
to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. | ||
Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets. | ||
Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. The Funds maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Funds exposure to the counterparty. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | ||
L. | Industry Concentration To the extent that the Fund is concentrated in securities of issuers in the banking and financial services industries, the Funds performance will depend to a greater extent on the overall condition of those industries. The value of these securities can be sensitive to changes in government regulation, interest rates and economic downturns in the U.S. and abroad. | |
M. | Leverage Risk The Fund may utilize leverage to seek to enhance the yield of the Fund by borrowing or issuing preferred shares. There are risks associated with borrowing or issuing preferred shares in an effort to increase the yield and distributions on the common shares, including that the costs of the financial leverage may exceed the income from investments made with such leverage, the higher volatility of the net asset value of the common shares, and that fluctuations in the interest rates on the borrowing or dividend rates on preferred shares may affect the yield and distributions to the common shareholders. There can be no assurance that the Funds leverage strategy will be successful. | |
N. | Bank Loan Risk Disclosures Although the resale, or secondary market for floating rate loans has grown substantially over the past decade, both in overall size and number of market participants, there is no organized exchange or board of trade on which floating rate loans are traded. Instead, the secondary market for floating rate loans is a private, unregulated interdealer or interbank resale market. Such a market may therefore be subject to irregular trading activity, wide bid/ask spreads, and extended trade settlement periods. Similar to other asset classes, bank loan funds may be exposed to counterparty credit risk, or the risk than an entity with which the Fund has unsettled or open transactions may fail to or be unable to perform on its commitments. The Fund manages counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
O. | Other Risks The Fund may invest all or substantially of its assets in senior secured floating rate loans, senior secured debt securities or other securities rated below investment grade. These securities are generally considered to have speculative characteristics and are subject to greater risk of loss of principal and interest than higher rated securities. The value of lower quality debt securities and floating rate loans can be more volatile due to increased sensitivity to adverse issuer, political, regulatory, market or economic developments. | |
The Fund invests in Corporate Loans from U.S. or non-U.S. companies (the Borrowers). The investment of the Fund in a Corporate Loan may take the form of participation interests or assignments. If the Fund purchases a participation interest from a syndicate of lenders (Lenders) or one of the participants in the syndicate (Participant), one or more of which administers the loan on behalf of all the Lenders (the Agent Bank), the Fund would be required to rely on the Lender that sold the participation interest not only for the enforcement of the Funds rights against the Borrower but also for the receipt and processing of payments due to the Fund under the Corporate Loans. As such, the Fund is subject to the credit risk of the Borrower and the Participant. Lenders and Participants interposed between the Fund and a Borrower, together with Agent Banks, are referred to as Intermediate Participants. |
Average Net Assets | Rate | |||
First $500 million
|
0 | .90% | ||
Next $1 billion
|
0 | .85% | ||
Next $1 billion
|
0 | .825% | ||
Next $500 million
|
0 | .80% | ||
Over $3 billion
|
0 | .775% | ||
Level 1 | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Funds own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Variable Rate Senior Loan Interests
|
$ | | $ | 1,423,816,472 | $ | 316,827 | $ | 1,424,133,299 | ||||||||
Bonds & Notes
|
| 121,947,965 | 609,910 | 122,557,875 | ||||||||||||
Structured Products
|
| 33,562,791 | | 33,562,791 | ||||||||||||
Equity Securities
|
2,730,211 | 9,963,348 | 7,109,634 | 19,803,193 | ||||||||||||
Time Deposits
|
| 41,981,692 | | 41,981,692 | ||||||||||||
$ | 2,730,211 | $ | 1,631,272,268 | $ | 8,036,371 | $ | 1,642,038,850 | |||||||||
Swap Agreements*
|
| 226,113 | | 226,113 | ||||||||||||
Total Investments
|
$ | 2,730,211 | $ | 1,631,498,381 | $ | 8,036,371 | $ | 1,642,264,963 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/Derivative Type | Assets | Liabilities | ||||||
Credit risk
|
||||||||
Swap
agreements(a)
|
$ | 226,113 | $ | | ||||
(a) | Values are disclosed on the Statement of Assets and Liabilities under the Unrealized appreciation swap agreements. |
Location of
Gain |
||||
on Statement
of |
||||
Operations |
||||
Swap Agreements* | ||||
Realized Gain
|
||||
Credit risk
|
$ | 304,583 | ||
Change in Unrealized Appreciation
|
||||
Credit risk
|
38,207 | |||
Total
|
$ | 342,790 | ||
* | The average notional value outstanding of swap agreements during the period was $5,750,000. |
Open Credit Default Swap Agreements | ||||||||||||||||||||||||||||||
Implied |
Notional |
Value |
||||||||||||||||||||||||||||
Buy/Sell |
Pay/Receive |
Expiration |
Credit |
Amount |
Upfront |
Unrealized |
||||||||||||||||||||||||
Counterparty | Reference Entity | Protection | Fixed Rate | Date | Spread(a) | (000) | Payments | Appreciation | ||||||||||||||||||||||
Goldman Sachs International
|
Texas Competitive Electric Holdings Co. LLC | Sell | 5.00 | % | 03/20/12 | 12.62 | % | $ | 8,000 | $ | 180,000 | $ | 226,113 | |||||||||||||||||
(a) | Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing credit default swap contract and serve as an indicator of the current status of the payment/performance risk of the credit default swap contract. An implied credit spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally. |
Change in |
||||||||||||||||||||||||||||
Unrealized |
||||||||||||||||||||||||||||
Value |
Purchases |
Proceeds |
Appreciation |
Realized |
Value |
Interest |
||||||||||||||||||||||
02/28/11 | at Cost | from Sales | (Depreciation) | Gain | 02/29/12 | Income | ||||||||||||||||||||||
Axia Acquisition Corp. Common Shares
|
$ | | $ | 486,376 | $ | | $ | 776,874 | $ | | $ | 1,263,250 | $ | | ||||||||||||||
Axia Acquisition Corp. PIK Second Lien Term Loan A
|
| 595,143 | | (18,078 | ) | | 577,065 | 17,491 | ||||||||||||||||||||
Axia Acquisition Corp. Revolver Loan
|
| 1,749,767 | | (218,721 | ) | | 1,531,046 | 3,013 | ||||||||||||||||||||
Axia Acquisition Corp. Second Lien Term Loan B
|
| 1,003,288 | | 103,842 | | 1,107,130 | 14,014 | |||||||||||||||||||||
Cygnus Business Media, Inc. Common Shares
|
| | | | | | | |||||||||||||||||||||
Cygnus Business Media, Inc., PIK Term Loan
|
2,440,871 | 1,759,687 | (44,202 | ) | (1,619,332 | ) | 532 | 2,537,556 | 48,736 | |||||||||||||||||||
Endurance Business Media, Inc. Common Shares
|
100,922 | 2,325,685 | | (2,291,435 | ) | | 135,172 | | ||||||||||||||||||||
Endurance Business Media, Inc. First Lien
Term Loan
|
1,615,426 | 2,156,985 | (58,508 | ) | (2,091,924 | ) | 18,182 | 1,640,161 | 73,443 | |||||||||||||||||||
Marietta Intermediate Holding Corp. PIK Term
Loan B
|
1,875,902 | 2,324,201 | | (1,335,838 | ) | | 2,864,265 | 14,697 | ||||||||||||||||||||
Marietta Intermediate Holding Corp. Common Shares
|
2,197,284 | 906,499 | | (431,766 | ) | | 2,672,017 | | ||||||||||||||||||||
Marietta Intermediate Holding Corp. Warrants
|
| | | | | | | |||||||||||||||||||||
Total
|
$ | 8,230,405 | $ | 13,307,631 | $ | (102,710 | ) | $ | (7,126,378 | ) | 18,714 | $ | 14,327,662 | $ | 171,394 | |||||||||||||
Principal |
||||||||||||
Borrower | Type | Amount | Value | |||||||||
Axia Acquisition Corp.
|
Revolver Loan | $ | 1,749,767 | $ | 1,531,046 | |||||||
Bright Horizons Family Solutions, Inc.
|
Revolver Loan | 6,000,000 | 5,926,800 | |||||||||
Principal |
||||||||||||
Borrower | Type | Amount | Value | |||||||||
Delta Air Lines, Inc.
|
Revolver Loan | $ | 4,500,000 | $ | 4,367,250 | |||||||
Education Management LLC
|
Extended Revolver Loan | 2,000,000 | 1,818,400 | |||||||||
GateHouse Media Operating, Inc.
|
Revolver Loan | 1,500,000 | 1,275,000 | |||||||||
General Motors Holdings
|
Revolver Loan | 14,582,867 | 13,133,768 | |||||||||
Graphic Packaging International, Inc.
|
Revolver Loan | 5,000,000 | 4,950,000 | |||||||||
Hunter Fan Co.
|
Revolver Loan 2 | 2,765,625 | 2,644,560 | |||||||||
Lake at Las Vegas Joint Venture, LLC
|
Exit Revolver Loan | 31,592 | 31,275 | |||||||||
Lake at Las Vegas Joint Venture, LLC
|
Term Loan | 24,157 | 24,173 | |||||||||
Pinnacle Foods Finance LLC
|
Revolver Loan | 7,000,000 | 6,457,500 | |||||||||
Surgical Care Affiliates, Inc.
|
Extended Revolver Loan | 3,000,000 | 2,685,000 | |||||||||
TricorBraun, Inc.
|
Revolver Loan | 1,973,492 | 1,942,923 | |||||||||
USI Holdings Corp.
|
Revolver Loan | 6,666,667 | 6,036,667 | |||||||||
$ | 56,794,167 | $ | 52,824,362 | |||||||||
Year ended |
Seven months
ended |
Year ended |
||||||||||
February 29, |
February 28, |
July 31, |
||||||||||
2012 | 2011 | 2010 | ||||||||||
Ordinary income
|
$ | 48,710,852 | $ | 27,285,291 | $ | 51,501,821 | ||||||
Return of capital
|
| | 6,429,904 | |||||||||
Total distributions
|
$ | 48,710,852 | $ | 27,285,291 | $ | 57,931,725 | ||||||
2012 | ||||
Undistributed ordinary income
|
$ | 8,235,990 | ||
Net unrealized appreciation (depreciation)
investments
|
(186,099,065 | ) | ||
Net unrealized appreciation other investments
|
226,113 | |||
Temporary book/tax differences
|
(86,190 | ) | ||
Post-October deferrals
|
(5,308,169 | ) | ||
Capital loss carryforward
|
(862,366,620 | ) | ||
Shares of beneficial interest
|
2,352,239,118 | |||
Total net assets
|
$ | 1,306,841,177 | ||
Capital Loss Carryforward* | ||||||||||||
Expiration | Short-Term | Long-Term | Total | |||||||||
February 28, 2013
|
$ | 68,141,145 | $ | | $ | 68,141,145 | ||||||
February 28, 2014
|
21,900,119 | | 21,900,119 | |||||||||
February 28, 2015
|
48,144,741 | | 48,144,741 | |||||||||
February 29, 2016
|
10,160,798 | | 10,160,798 | |||||||||
February 28, 2017
|
256,574,455 | | 256,574,455 | |||||||||
February 28, 2018
|
312,979,210 | | 312,979,210 | |||||||||
February 28, 2019
|
92,978,579 | | 92,978,579 | |||||||||
Not subject to expiration
|
1,335,910 | 50,151,663 | 51,487,573 | |||||||||
$ | 812,214,957 | $ | 50,151,663 | $ | 862,366,620 | |||||||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities
|
$ | 27,014,598 | ||
Aggregate unrealized (depreciation) of investment securities
|
(213,113,663 | ) | ||
Net unrealized appreciation (depreciation) of investment
securities
|
$ | (186,099,065 | ) | |
Cost of investments for tax purposes is $1,828,137,915. |
Summary of Share Activity | ||||||||||||||||||||||||
Year ended |
Seven months
ended |
Year ended |
||||||||||||||||||||||
February 29, 2012(a) | February 28, 2011 | July 31, 2010 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Sold:
|
||||||||||||||||||||||||
Class A
|
2,151,755 | $ | 13,635,446 | 2,935,306 | $ | 19,146,292 | 9,845,465 | $ | 60,615,249 | |||||||||||||||
Class B
|
215,497 | 1,354,689 | 430,666 | 2,822,756 | 457,420 | 2,816,081 | ||||||||||||||||||
Class C
|
1,730,455 | 10,669,929 | 1,754,728 | 11,438,310 | 5,303,046 | 32,558,729 | ||||||||||||||||||
Class IB
|
1,137,086 | 2,421,764 | 493,663 | 3,200,688 | 780,432 | 4,812,998 | ||||||||||||||||||
Class IC
|
203,675 | 937,005 | 152,805 | 994,171 | 243,737 | 1,504,094 | ||||||||||||||||||
Issued as reinvestment of dividends:
|
||||||||||||||||||||||||
Class A
|
272,613 | 1,782,004 | 200,103 | 1,298,956 | 688,142 | 4,235,453 | ||||||||||||||||||
Class B
|
34,979 | 228,476 | 22,049 | 143,103 | 60,236 | 370,866 | ||||||||||||||||||
Class C
|
234,970 | 1,537,151 | 170,918 | 1,109,100 | 576,804 | 3,546,107 | ||||||||||||||||||
Class IB
|
1,621,906 | 10,587,121 | 975,856 | 6,340,953 | 2,492,433 | 15,358,953 | ||||||||||||||||||
Class IC
|
195,785 | 1,277,544 | 124,699 | 809,806 | 356,249 | 2,194,286 | ||||||||||||||||||
Issued in connection with
acquisitions:(b)
|
||||||||||||||||||||||||
Class IB
|
76,281,967 | 485,474,553 | | | | | ||||||||||||||||||
Automatic conversion of Class B shares to Class A shares:
|
||||||||||||||||||||||||
Class A
|
125,186 | 816,005 | 74,789 | 482,998 | | | ||||||||||||||||||
Class B
|
(125,060 | ) | (816,005 | ) | (74,804 | ) | (482,998 | ) | | | ||||||||||||||
Reacquired:
|
||||||||||||||||||||||||
Class A
|
(9,696,262 | ) | (62,946,073 | ) | (7,466,488 | ) | (48,574,424 | ) | (10,278,445 | ) | (63,336,379 | ) | ||||||||||||
Class B
|
(745,110 | ) | (4,821,615 | ) | (333,147 | ) | (2,150,774 | ) | (702,577 | ) | (4,343,561 | ) | ||||||||||||
Class C
|
(8,663,852 | ) | (56,116,692 | ) | (5,852,683 | ) | (37,974,752 | ) | (7,943,623 | ) | (48,963,345 | ) | ||||||||||||
Class IB
|
(13,935,993 | ) | (90,747,143 | ) | (6,987,876 | ) | (45,354,601 | ) | (12,365,524 | ) | (76,168,518 | ) | ||||||||||||
Class IC
|
(2,486,705 | ) | (16,273,676 | ) | (1,494,883 | ) | (9,724,847 | ) | (2,262,940 | ) | (13,897,807 | ) | ||||||||||||
Net increase (decrease) in share activity
|
48,552,892 | $ | 299,000,483 | (14,874,299 | ) | $ | (96,475,263 | ) | (12,749,145 | ) | $ | (78,696,794 | ) | |||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 54% of the outstanding shares of the Fund. IDI has an agreement with these entities to sell Fund shares. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, distribution, third party record keeping and account servicing. The Fund has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. | |
(b) | As of the opening of business on December 19, 2011, the Fund acquired all of the net assets of Invesco Prime Income Trust (the Target Fund) pursuant to a plan of reorganization approved by the Trustees of the Fund on November 10, 2010 and by the shareholders of the Target Fund on October 19, 2011. The acquisition was accomplished by a tax-free exchange of 76,281,967 shares of the Fund for 67,758,842 outstanding shares of Target Fund as of the close of business on December 16, 2011. Shares of the Target Fund were exchanged for Class IB shares of the Fund, respectively, based on the relative net asset value of the Target Fund to the net asset value of the Fund on the close of business, December 16, 2011. The Target Funds net assets at that date of $485,474,553, including $72,816,998 of unrealized depreciation, were combined with those of the Fund. The net assets of the Fund immediately before the acquisition were $829,059,192. The net assets of the Fund immediately following the acquisition were $1,314,533,745. | |
The pro forma results of operations for the year ended February 29, 2012, assuming the reorganization had been completed on March 1, 2011, the beginning of the annual reporting period are as follows: |
Net investment income
|
$ | 41,624,318 | ||
Net realized/unrealized gains (losses)
|
(16,899,758 | ) | ||
Change in net assets resulting from operations
|
$ | 24,724,560 | ||
Principal
Amount |
Value |
|||||||
Selling Participant | (000s omitted) | (000s omitted) | ||||||
Goldman Sachs Lending Partners LLC
|
$ | 1,920 | $ | 1,729 | ||||
Goldman Sachs Lending Partners LLC
|
1,120 | 1,009 | ||||||
Goldman Sachs Lending Partners LLC
|
632 | 569 | ||||||
Goldman Sachs Lending Partners LLC
|
369 | 332 | ||||||
Credit Suisse AG, Cayman Branch
|
2,527 | 2,276 | ||||||
Credit Suisse AG, Cayman Branch
|
1,474 | 1,328 | ||||||
Goldman Sachs Lending Partners LLC
|
4,222 | 3,802 | ||||||
Goldman Sachs Lending Partners LLC
|
2,319 | 2,089 | ||||||
Total
|
$ | 14,583 | $ | 13,134 | ||||
Amount per Share | ||||||||||||
Share Class | Record Date | Payable March 30, 2012 | Payable April 30, 2012 | |||||||||
Class A
|
Daily | 0.0300 | 0.0300 | |||||||||
Class B
|
Daily | 0.0259 | 0.0259 | |||||||||
Class C
|
Daily | 0.0259 | 0.0259 | |||||||||
Class IB
|
Daily | 0.0300 | 0.0300 | |||||||||
Class IC
|
Daily | 0.0300 | 0.0300 | |||||||||
Percentage of |
Percentage of |
|||||||||||
Repurchase
request |
outstanding
shares the |
Number of
shares |
outstanding
shares |
|||||||||
deadlines | Fund offered to repurchase | tendered (all classes) | tendered (all classes) | |||||||||
March 18, 2011
|
6.0 | % | 2,527,170 | 1.7 | % | |||||||
April 15, 2011
|
6.0 | 2,499,698 | 1.7 | |||||||||
May 20, 2011
|
6.0 | 2,483,540 | 1.7 | |||||||||
June 17, 2011
|
6.0 | 2,889,269 | 2.0 | |||||||||
July 15, 2011
|
6.0 | 2,519,026 | 1.8 | |||||||||
August 19, 2011
|
6.0 | 5,047,859 | 3.6 | |||||||||
September 16, 2011
|
6.0 | 2,520,987 | 1.8 | |||||||||
October 21, 2011
|
6.0 | 2,640,286 | 2.0 | |||||||||
November 18, 2011
|
6.0 | 2,428,047 | 1.8 | |||||||||
December 16, 2011
|
6.0 | 2,695,005 | 2.1 | |||||||||
January 20, 2012
|
6.0 | 3,657,085 | 1.8 | |||||||||
February 17, 2012
|
6.0 | 3,402,027 | 1.7 | |||||||||
Class A shares | ||||||||||||||||||||||||
Seven months |
||||||||||||||||||||||||
Year ended |
ended |
|||||||||||||||||||||||
February 29, |
February 28, |
Year ended July 31, | ||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.48 | $ | 8.65 | $ | 8.99 | ||||||||||||
Net investment
income(a)
|
0.33 | 0.18 | 0.28 | 0.40 | 0.61 | 0.66 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized)
|
(0.15 | ) | 0.44 | 0.76 | (1.86 | ) | (1.17 | ) | (0.29 | ) | ||||||||||||||
Total from investment operations
|
0.18 | 0.62 | 1.04 | (1.46 | ) | (0.56 | ) | 0.37 | ||||||||||||||||
Less:
|
||||||||||||||||||||||||
Distributions from net investment income
|
(0.33 | ) | (0.18 | ) | (0.31 | ) | (0.42 | ) | (0.61 | ) | (0.71 | ) | ||||||||||||
Return of capital
|
| | (0.04 | ) | | | | |||||||||||||||||
Total distributions
|
(0.33 | ) | (0.18 | ) | (0.35 | ) | (0.42 | ) | (0.61 | ) | (0.71 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.58 | $ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.48 | $ | 8.65 | ||||||||||||
Total return at net asset value
|
2.80 | %(b)(c) | 9.97 | %(b)(c) | 18.78 | %(b) | (18.60 | )%(d) | (6.70 | )%(d) | 4.06 | %(d) | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 122,252 | $ | 173,137 | $ | 188,589 | $ | 166,448 | $ | 281,436 | $ | 544,723 | ||||||||||||
Portfolio turnover
rate(e)
|
87 | % | 44 | % | 55 | % | 33 | % | 35 | % | 74 | % | ||||||||||||
Ratios/supplemental data based on average net assets: |
||||||||||||||||||||||||
Ratio of expenses:
|
||||||||||||||||||||||||
With fee waivers
and/or
expense reimbursements
|
1.74 | %(c)(f) | 1.71 | %(c)(g) | 1.89 | % | 2.34 | % | 2.51 | % | 2.50 | % | ||||||||||||
With fee waivers
and/or
expense reimbursements excluding interest, facilities and
maintenance fees
|
1.47 | %(c)(f) | 1.37 | %(c)(g) | 1.57 | % | 1.86 | % | 1.44 | % | 1.41 | % | ||||||||||||
Without fee waivers
and/or
expense reimbursements
|
1.99 | %(c)(f) | 1.96 | %(c)(g) | 2.14 | % | 2.59 | % | 2.76 | % | 2.75 | % | ||||||||||||
Ratio of net investment income
|
5.10 | %(c)(f) | 4.86 | %(c)(g) | 4.53 | % | 7.57 | % | 7.55 | % | 7.34 | % | ||||||||||||
Senior indebtedness: |
||||||||||||||||||||||||
Total borrowings (000s omitted)
|
$ | 228,000 | $ | 178,000 | $ | 198,000 | $ | 132,000 | $ | 458,000 | $ | 555,000 | ||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(h)
|
$ | 6,732 | $ | 6,673 | $ | 6,239 | $ | 8,538 | $ | 4,538 | $ | 5,543 | ||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Does not include sales charges and is not annualized for periods less than one year, if applicable. | |
(c) | The total return, ratio of expenses to average net assets and ratio of net investment income (loss) to average net assets reflect actual 12b-1 fees of 0.00% for the year ended February 29, 2012 and the seven months ended February 28, 2011. | |
(d) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 3.25% of early withdrawal charge. On purchases of $1 million or more, an early withdrawal charge of 1% may be imposed on certain repurchases by the Fund made within eighteen months of purchase. If the sales charges were included, total returns would be lower. These returns include combined distribution and service fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the repurchases by the Fund of Fund shares. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. For the year ended February 29, 2012, the portfolio turnover calculation excludes the value of securities purchased of $614,414,753 and sold of $43,505,288 in the effort to realign the Funds portfolio holdings after the reorganization of Invesco Prime Income Trust into the Fund. | |
(f) | Ratios are based on average daily net assets (000s omitted) of $145,265. | |
(g) | Annualized. | |
(h) | Calculated by subtracting the Funds total liabilities (not including the Borrowings) from the Funds total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
Class B shares | ||||||||||||||||||||||||
Seven months |
||||||||||||||||||||||||
Year ended |
ended |
|||||||||||||||||||||||
February 29, |
February 28, |
Year ended July 31, | ||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.48 | $ | 8.65 | $ | 8.99 | ||||||||||||
Net investment
income(a)
|
0.28 | 0.15 | 0.23 | 0.36 | 0.55 | 0.60 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized)
|
(0.15 | ) | 0.44 | 0.77 | (1.86 | ) | (1.17 | ) | (0.30 | ) | ||||||||||||||
Total from investment operations
|
0.13 | 0.59 | 1.00 | (1.50 | ) | (0.62 | ) | 0.30 | ||||||||||||||||
Less:
|
||||||||||||||||||||||||
Distributions from net investment income
|
(0.28 | ) | (0.15 | ) | (0.28 | ) | (0.38 | ) | (0.55 | ) | (0.64 | ) | ||||||||||||
Return of capital
|
| | (0.03 | ) | | | | |||||||||||||||||
Total distributions
|
(0.28 | ) | (0.15 | ) | (0.31 | ) | (0.38 | ) | (0.55 | ) | (0.64 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.58 | $ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.48 | $ | 8.65 | ||||||||||||
Total return at net asset value
|
2.03 | %(b)(c) | 9.50 | %(b)(c) | 17.90 | %(b) | (19.24 | )%(d) | (7.43 | )%(d) | 3.29 | %(d) | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 14,948 | $ | 19,455 | $ | 17,902 | $ | 16,974 | $ | 29,589 | $ | 41,461 | ||||||||||||
Portfolio turnover
rate(e)
|
87 | % | 44 | % | 55 | % | 33 | % | 35 | % | 74 | % | ||||||||||||
Ratios/supplemental data based on average net assets: |
||||||||||||||||||||||||
Ratio of expenses:
|
||||||||||||||||||||||||
With fee waivers
and/or
expense reimbursements
|
2.49 | %(c)(f) | 2.46 | %(c)(g) | 2.64 | % | 3.11 | % | 3.24 | % | 3.28 | % | ||||||||||||
With fee waivers
and/or
expense reimbursements excluding interest, facilities and
maintenance fees
|
2.22 | %(c)(f) | 2.12 | %(c)(g) | 2.32 | % | 2.63 | % | 2.20 | % | 2.18 | % | ||||||||||||
Without fee waivers
and/or
expense reimbursements
|
2.74 | %(c)(f) | 2.71 | %(c)(g) | 2.89 | % | 3.36 | % | 3.49 | % | 3.53 | % | ||||||||||||
Ratio of net investment income with fee waivers
and/or
expense reimbursements
|
4.35 | %(c)(f) | 4.10 | %(c)(g) | 3.79 | % | 6.85 | % | 6.76 | % | 6.67 | % | ||||||||||||
Senior indebtedness: |
||||||||||||||||||||||||
Total borrowing outstanding (00s omitted)
|
$ | 228,000 | $ | 178,000 | $ | 198,000 | $ | 132,000 | $ | 458,000 | $ | 555,000 | ||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(h)
|
$ | 6,732 | $ | 6,673 | $ | 6,239 | $ | 8,538 | $ | 4,538 | $ | 5,543 | ||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Does not include sales charges and is not annualized for periods less than one year, if applicable. | |
(c) | The total return, ratio of expenses to average net assets and ratio of net investment income (loss) to average net assets reflect actual 12b-1 fees of 0.75% for the year ended February 29, 2012 and the seven months ended February 28, 2011. | |
(d) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum early withdrawal charge of 3%, charged on certain repurchases by the Fund made within one year of purchase and declining to 0% after the fifth year. If the sales charge was included, total returns would be lower. These returns include combined distribution and service fees of up to 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the repurchases by the Fund of Fund shares. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. For the year ended February 29, 2012, the portfolio turnover calculation excludes the value of securities purchased of $614,414,753 and sold of $43,505,288 in the effort to realign the Funds portfolio holdings after the reorganization of Invesco Prime Income Trust into the Fund. | |
(f) | Ratios are based on average daily net assets (000s omitted) of $17,341. | |
(g) | Annualized. | |
(h) | Calculated by substracting the Funds total liabilities (not including the Borrowings) from the Funds total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
Class C shares | ||||||||||||||||||||||||
Seven months |
||||||||||||||||||||||||
Year ended |
ended |
|||||||||||||||||||||||
February 29, |
February 28, |
Year ended July 31, | ||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.48 | $ | 8.65 | $ | 8.99 | ||||||||||||
Net investment
income(a)
|
0.28 | 0.15 | 0.23 | 0.36 | 0.55 | 0.59 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized)
|
(0.15 | ) | 0.44 | 0.77 | (1.86 | ) | (1.17 | ) | (0.29 | ) | ||||||||||||||
Total from investment operations
|
0.13 | 0.59 | 1.00 | (1.50 | ) | (0.62 | ) | 0.30 | ||||||||||||||||
Less:
|
||||||||||||||||||||||||
Distributions from net investment income
|
(0.28 | ) | (0.15 | ) | (0.28 | ) | (0.38 | ) | (0.55 | ) | (0.64 | ) | ||||||||||||
Return of capital
|
| | (0.03 | ) | | | | |||||||||||||||||
Total distributions
|
(0.28 | ) | (0.15 | ) | (0.31 | ) | (0.38 | ) | (0.55 | ) | (0.64 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.58 | $ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.48 | $ | 8.65 | ||||||||||||
Total return at net asset value
|
2.03 | %(b)(c) | 9.50 | %(b)(c) | 17.90 | %(b) | (19.24 | )%(d) | (7.43 | )%(d) | 3.29 | %(d) | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 147,551 | $ | 195,963 | $ | 207,828 | $ | 196,591 | $ | 338,551 | $ | 563,548 | ||||||||||||
Portfolio turnover
rate(e)
|
87 | % | 44 | % | 55 | % | 33 | % | 35 | % | 74 | % | ||||||||||||
Ratios/supplemental data based on average net assets: |
||||||||||||||||||||||||
Ratio of expenses:
|
||||||||||||||||||||||||
With fee waivers
and/or
expense reimbursements
|
2.49 | %(c)(f) | 2.46 | %(c)(g) | 2.64 | % | 3.10 | % | 3.26 | % | 3.25 | % | ||||||||||||
With fee waivers
and/or
expense reimbursements excluding interest, facilities and
maintenance fees
|
2.22 | %(c)(f) | 2.12 | %(c)(g) | 2.32 | % | 2.62 | % | 2.20 | % | 2.16 | % | ||||||||||||
Without fee waivers
and/or
expense reimbursements
|
2.74 | %(c)(f) | 2.71 | %(c)(g) | 2.89 | % | 3.35 | % | 3.51 | % | 3.50 | % | ||||||||||||
Ratio of net investment income with fee waivers
and/or
expense reimbursements
|
4.35 | %(c)(f) | 4.11 | %(c)(g) | 3.79 | % | 6.83 | % | 6.79 | % | 6.55 | % | ||||||||||||
Senior indebtedness: |
||||||||||||||||||||||||
Total borrowing outstanding (00s omitted)
|
$ | 228,000 | $ | 178,000 | $ | 198,000 | $ | 132,000 | $ | 458,000 | $ | 555,000 | ||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(h)
|
$ | 6,732 | $ | 6,673 | $ | 6,239 | $ | 8,538 | $ | 4,538 | $ | 5,543 | ||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Does not include sales charges and is not annualized for periods less than one year, if applicable. | |
(c) | The total return, ratio of expenses to average net assets and ratio of net investment income (loss) to average net assets reflect actual 12b-1 fees of 0.75% for the year ended February 29, 2012 and the seven months ended February 28, 2011. | |
(d) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum early withdrawal charge of 1%, charged on certain repurchases by the Fund made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined distribution and service fees of up to 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the repurchases by the Fund of Fund shares. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. For the year ended February 29, 2012, the portfolio turnover calculation excludes the value of securities purchased of $614,414,753 and sold of $43,505,288 in the effort to realign the Funds portfolio holdings after the reorganization of Invesco Prime Income Trust into the Fund. | |
(f) | Ratios are based on average daily net assets (000s omitted) of $168,275. | |
(g) | Annualized. | |
(h) | Calculated by substracting the Funds total liabilities (not including the Borrowings) from the Funds total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
Class IB shares | ||||||||||||||||||||||||
Seven months |
||||||||||||||||||||||||
Year ended |
ended |
|||||||||||||||||||||||
February 29, |
February 28, |
Year ended February 29 | ||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.49 | $ | 8.66 | $ | 9.01 | ||||||||||||
Net investment
income(a)
|
0.33 | 0.18 | 0.28 | 0.40 | 0.61 | 0.68 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized)
|
(0.15 | ) | 0.44 | 0.76 | (1.87 | ) | (1.17 | ) | (0.32 | ) | ||||||||||||||
Total from investment operations
|
0.18 | 0.62 | 1.04 | (1.47 | ) | (0.56 | ) | 0.36 | ||||||||||||||||
Less:
|
||||||||||||||||||||||||
Distributions from net investment income
|
(0.33 | ) | (0.18 | ) | (0.31 | ) | (0.42 | ) | (0.61 | ) | (0.71 | ) | ||||||||||||
Return of capital
|
| | (0.04 | ) | | | | |||||||||||||||||
Total distributions
|
(0.33 | ) | (0.18 | ) | (0.35 | ) | (0.42 | ) | (0.61 | ) | (0.71 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.58 | $ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.49 | $ | 8.66 | ||||||||||||
Total return at net asset value
|
2.80 | %(b) | 9.97 | %(b) | 18.77 | %(b) | (18.56 | )%(c) | (6.69 | )%(c) | 4.05 | %(c) | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 943,491 | $ | 526,800 | $ | 527,108 | $ | 520,252 | $ | 815,141 | $ | 1,131,807 | ||||||||||||
Portfolio turnover
rate(d)
|
87 | % | 44 | % | 55 | % | 33 | % | 35 | % | 74 | % | ||||||||||||
Ratios/supplemental data based on average net assets: |
||||||||||||||||||||||||
Ratio of expenses:
|
||||||||||||||||||||||||
With fee waivers
and/or
expense reimbursements
|
1.74 | %(e) | 1.71 | %(f) | 1.89 | % | 2.34 | % | 2.49 | % | 2.54 | % | ||||||||||||
With fee waivers
and/or
expense reimbursements excluding interest, facilities and
maintenance fees
|
1.47 | %(e) | 1.37 | %(f) | 1.57 | % | 1.88 | % | 1.45 | % | 1.43 | % | ||||||||||||
Ratio of net investment income
|
5.10 | %(e) | 4.85 | %(f) | 4.54 | % | 7.60 | % | 7.51 | % | 7.49 | % | ||||||||||||
Senior indebtedness: |
||||||||||||||||||||||||
Total borrowing outstanding (00s omitted)
|
$ | 228,000 | $ | 178,000 | $ | 198,000 | $ | 132,000 | $ | 458,000 | $ | 555,000 | ||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(g)
|
$ | 6,732 | $ | 6,673 | $ | 6,239 | $ | 8,538 | $ | 4,538 | $ | 5,543 | ||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Does not include sales charges and is not annualized for periods less than one year, if applicable. | |
(c) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum early withdrawal charge of 3%, charged on certain repurchases by the Fund made within one year of purchase and declining to 0% after the fifth year. If the sales charge was included, total returns would be lower. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the repurchases by the Fund of Fund shares. | |
(d) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. For the year ended February 29, 2012, the portfolio turnover calculation excludes the value of securities purchased of $614,414,753 and sold of $43,505,288 in the effort to realign the Funds portfolio holdings after the reorganization of Invesco Prime Income Trust into the Fund. | |
(e) | Ratios are based on average daily net assets (000s omitted) of $581,356. | |
(f) | Annualized. | |
(g) | Calculated by substracting the Funds total liabilities (not including the Borrowings) from the Funds total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
Class IC shares | ||||||||||||||||||||||||
Seven months |
||||||||||||||||||||||||
Year ended |
ended |
|||||||||||||||||||||||
February 29, |
February 28, |
Year ended July 31, | ||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.49 | $ | 8.66 | $ | 9.00 | ||||||||||||
Net investment
income(a)
|
0.33 | 0.18 | 0.28 | 0.40 | 0.61 | 0.68 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized)
|
(0.15 | ) | 0.44 | 0.76 | (1.87 | ) | (1.17 | ) | (0.31 | ) | ||||||||||||||
Total from investment operations
|
0.18 | 0.62 | 1.04 | (1.47 | ) | (0.56 | ) | 0.37 | ||||||||||||||||
Less:
|
||||||||||||||||||||||||
Distributions from net investment income
|
(0.33 | ) | (0.18 | ) | (0.31 | ) | (0.42 | ) | (0.61 | ) | (0.71 | ) | ||||||||||||
Return of capital
|
| | (0.04 | ) | | | | |||||||||||||||||
Total distributions
|
(0.33 | ) | (0.18 | ) | (0.35 | ) | (0.42 | ) | (0.61 | ) | (0.71 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.58 | $ | 6.73 | $ | 6.29 | $ | 5.60 | $ | 7.49 | $ | 8.66 | ||||||||||||
Total return at net asset value
|
2.80 | %(b)(c) | 9.97 | %(b)(c) | 18.77 | %(b) | (18.71 | )%(d) | (6.69 | )%(d) | 4.06 | %(d) | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 78,600 | $ | 94,440 | $ | 95,928 | $ | 94,721 | $ | 155,865 | $ | 239,587 | ||||||||||||
Portfolio turnover
rate(e)
|
87 | % | 44 | % | 55 | % | 33 | % | 35 | % | 74 | % | ||||||||||||
Ratios/supplemental data based on average net assets: |
||||||||||||||||||||||||
Ratio of expenses:
|
||||||||||||||||||||||||
With fee waivers
and/or
expense reimbursements
|
1.74 | %(c)(f) | 1.71 | %(c)(g) | 1.89 | % | 2.35 | % | 2.49 | % | 2.54 | % | ||||||||||||
With fee waivers
and/or
expense reimbursements excluding interest, facilities and
maintenance fees
|
1.47 | %(c)(f) | 1.37 | %(c)(g) | 1.57 | % | 1.88 | % | 1.45 | % | 1.43 | % | ||||||||||||
Without fee waivers
and/or
expense reimbursements
|
1.89 | %(c)(f) | 1.86 | %(c)(g) | 2.04 | % | 2.50 | % | 2.64 | % | 2.69 | % | ||||||||||||
Ratio of net investment income with fee waivers
and/or
expense reimbursements
|
5.10 | %(c)(f) | 4.85 | %(c)(g) | 4.54 | % | 7.60 | % | 7.52 | % | 7.49 | % | ||||||||||||
Senior indebtedness: |
||||||||||||||||||||||||
Total borrowing outstanding (00s omitted)
|
$ | 228,000 | $ | 178,000 | $ | 198,000 | $ | 132,000 | $ | 458,000 | $ | 555,000 | ||||||||||||
Asset coverage per $1,000 unit of senior
indebtedness(h)
|
$ | 6,732 | $ | 6,673 | $ | 6,239 | $ | 8,538 | $ | 4,538 | $ | 5,543 | ||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Does not include sales charges and is not annualized for periods less than one year, if applicable. | |
(c) | The total return, ratio of expenses to average net assets and ratio of net investment income (loss) to average net assets reflect actual 12b-1 fees of 0.00% for the year ended February 29, 2012 and the seven months ended February 28, 2011. | |
(d) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum early withdrawal charge of 1%, charged on certain repurchases by the Fund made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined service fees of up to 0.15% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the repurchases by the Fund of Fund shares. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. Calculation includes the proceeds from principal repayments and sales of variable rate senior loan interests. For the year ended February 29, 2012, the portfolio turnover calculation excludes the value of securities purchased of $614,414,753 and sold of $43,505,288 in the effort to realign the Funds portfolio holdings after the reorganization of Invesco Prime Income Trust into the Fund. | |
(f) | Ratios are based on average daily net assets (000s omitted) of $84,596. | |
(g) | Annualized. | |
(h) | Calculated by substracting the Funds total liabilities (not including the Borrowings) from the Funds total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
HYPOTHETICAL |
||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning |
Ending |
Expenses |
Ending |
Expenses |
Annualized |
|||||||||||||||||||||||||
Account Value |
Account Value |
Paid During |
Account Value |
Paid During |
Expense |
|||||||||||||||||||||||||
Class | (09/01/11) | (02/29/12)1 | Period2 | (02/29/12) | Period2 | Ratio | ||||||||||||||||||||||||
A
|
$ | 1,000.00 | $ | 1,078.50 | $ | 8.53 | $ | 1,016.66 | $ | 8.27 | 1.65 | % | ||||||||||||||||||
B
|
1,000.00 | 1,074.50 | 12.38 | 1,012.93 | 12.01 | 2.40 | ||||||||||||||||||||||||
C
|
1,000.00 | 1,074.50 | 12.38 | 1,012.93 | 12.01 | 2.40 | ||||||||||||||||||||||||
IB
|
1,000.00 | 1,076.70 | 8.52 | 1,016.66 | 8.27 | 1.65 | ||||||||||||||||||||||||
IC
|
1,000.00 | 1,078.40 | 8.53 | 1,016.66 | 8.27 | 1.65 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period September 1, 2011 through February 29, 2012, after actual expenses and will differ from the hypothetical ending account value which is based on the Funds expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Funds annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 182/366 to reflect the most recent fiscal half year. Effective December 19, 2011, the Funds adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent necessary to limit Total Annual Fund Operating Expense of Class A, Class B, Class C, Class IB and Class IC shares to 1.32%, 2.07%, 2.07%, 1.32% and 1.32% of average daily net assets, respectively. The annualized expense ratios restated as if these agreements had been in effect throughout the entire most recent fiscal half year are 1.54%, 2.29%, 2.29%, 1.54% and 1.54% for Class A, Class B, Class C, Class IB and Class IC shares, respectively. |
3 | The actual expenses paid restated as if the changes discussed above had been in effect throughout the entire most recent fiscal half year are $7.96, $11.81, $11.81, $7.95 and $7.96 for Class A, Class B, Class C, Class IB and Class IC shares, respectively. |
4 | The hypothetical expenses paid restated as if the changes discussed above had been in effect throughout the entire most recent fiscal half year are $7.72, $11.46, $11.46, $7.72 and $7.72 for Class A, Class B, Class C, Class IB and Class IC shares, respectively. |
Tax Information |
Federal and State Income
Tax
|
||||
Qualified Dividend Income*
|
0% | |||
Corporate Dividends Received Deduction*
|
0% | |||
Tax-Exempt Interest Dividends*
|
0% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Funds fiscal year. |
Number of |
||||||||
Funds in |
||||||||
Fund Complex |
||||||||
Name, Year of
Birth and |
Trustee and/ |
Principal
Occupation(s) |
Overseen by |
Other
Directorship(s) |
||||
Position(s) Held with the Fund | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||
Interested
Persons
|
||||||||
Colin Meadows 1971
Trustee, President and Principal Executive Officer |
2010 | Chief Administrative Officer, Invesco Advisers, Inc., since 2006; Prior to 2006, Senior Vice President of business development and mergers and acquisitions at GE Consumer Finance; Prior to 2005, Senior Vice President of strategic planning and technology at Wells Fargo Bank; From 1996 to 2003, associate principal with McKinsey & Company, focusing on the financial services and venture capital industries, with emphasis in banking and asset management sectors. | 18 | None | ||||
Wayne W.
Whalen1
1939
Trustee and Chair |
1997 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 158 | Director of the Abraham Lincoln Presidential Library Foundation | ||||
Independent
Trustees
|
||||||||
David C. Arch 1945
Trustee |
1997 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 158 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||
Jerry D. Choate 1938
Trustee |
2003 | From 1995 to 1999, Chairman and Chief Executive Officer of the Allstate Corporation (Allstate) and Allstate Insurance Company. From 1994 to 1995, President and Chief Executive Officer of Allstate. Prior to 1994, various management positions at Allstate. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Director since 1998 and member of the governance and nominating committee, executive committee, compensation and management development committee and equity award committee, of Amgen Inc., a biotechnological company. Director since 1999 and member of the nominating and governance committee and compensation and executive committee, of Valero Energy Corporation, a crude oil refining and marketing company. Previously, from 2006 to 2007, Director and member of the compensation committee and audit committee, of H&R Block, a tax preparation services company. | ||||
Rodney F. Dammeyer 1940
Trustee |
1997 |
Chairman of CAC, LLC, a private company offering capital investment and management advisory services.
Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. |
158 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||
Linda Hutton Heagy 1948
Trustee |
2003 | Prior to June 2008, Managing Partner of Heidrick & Struggles, the second largest global executive search firm, and from 2001-2004, Regional Managing Director of U.S. operations at Heidrick & Struggles. Prior to 1997, Managing Partner of Ray & Berndtson, Inc., an executive recruiting firm. Prior to 1995, Executive Vice President of ABN AMRO, N.A., a bank holding company, with oversight for treasury management operations including all non-credit product pricing. Prior to 1990, experience includes Executive Vice President of The Exchange National Bank with oversight of treasury management including capital markets operations, Vice President of Northern Trust Company and an Associate at Price Waterhouse. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Prior to 2010, Trustee on the University of Chicago Medical Center Board, Vice Chair of the Board of the YMCA of Metropolitan Chicago and a member of the Womens Board of the University of Chicago. | ||||
R. Craig Kennedy 1952
Trustee |
2003 | Director and President of the German Marshall Fund of the United States, an independent U.S. foundation created to deepen understanding, promote collaboration and stimulate exchanges of practical experience between Americans and Europeans. Formerly, advisor to the Dennis Trading Group Inc., a managed futures and option company that invests money for individuals and institutions. Prior to 1992, President and Chief Executive Officer, Director and member of the Investment Committee of the Joyce Foundation, a private foundation. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Director of First Solar, Inc. | ||||
1 | Mr. Whalen is considered an interested person (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
Number of |
||||||||
Funds in |
||||||||
Fund Complex |
||||||||
Name, Year of
Birth and |
Trustee and/ |
Principal
Occupation(s) |
Overseen by |
Other
Directorship(s) |
||||
Position(s) Held with the Fund | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||
Independent
Trustees
|
||||||||
Howard J Kerr 1935
Trustee |
1997 | Retired. Previous member of the City Council and Mayor of Lake Forest, Illinois from 1988 through 2002. Previous business experience from 1981 through 1996 includes President and Chief Executive Officer of Pocklington Corporation, Inc., an investment holding company, President and Chief Executive Officer of Grabill Aerospace, and President of Custom Technologies Corporation. United States Naval Officer from 1960 through 1981, with responsibilities including Commanding Officer of United States Navy destroyers and Commander of United States Navy Destroyer Squadron Thirty-Three, White House experience in 1973 through 1975 as military aide to Vice Presidents Agnew and Ford and Naval Aid to President Ford, and Military Fellow on the Council of Foreign Relations in 1978-through 1979. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Director of the Lake Forest Bank & Trust. Director of the Marrow Foundation. | ||||
Jack E. Nelson 1936
Trustee |
2003 | President of Nelson Investment Planning Services, Inc., a financial planning company and registered investment adviser in the State of Florida. President of Nelson Ivest Brokerage Services Inc., a member of the Financial Industry Regulatory Authority (FINRA), Securities Investors Protection Corp. and the Municipal Securities Rulemaking Board. President of Nelson Sales and Services Corporation, a marketing and services company to support affiliated companies. | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. | ||||
Hugo F. Sonnenschein 1940
Trustee |
1997 | Distinguished Service Professor and President Emeritus of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 158 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||
Suzanne H. Woolsey, Ph.D. 1941 Trustee
|
2003 | Chief Communications Officer of the National Academy of Sciences and Engineering and Institute of Medicine/National Research Council, an independent, federally chartered policy institution, from 2001 to November 2003 and Chief Operating Officer from 1993 to 2001. Executive Director of the Commission on Behavioral and Social Sciences and Education at the National Academy of Sciences/National Research Council from 1989 to 1993. Prior to 1980, experience includes Partner of Coopers & Lybrand (from 1980 to 1989), Associate Director of the US Office of Management and Budget (from 1977 to 1980) and Program Director of the Urban Institute (from 1975 to 1977). | 18 | Trustee/Director/Managing General Partner of funds in the Fund Complex. Independent Director and audit committee chairperson of Changing World Technologies, Inc., an energy manufacturing company, since July 2008. Independent Director and member of audit and governance committees of Fluor Corp., a global engineering, construction and management company, since January 2004. Director of Intelligent Medical Devices, Inc., a private company which develops symptom-based diagnostic tools for viral respiratory infections. Advisory Board member of ExactCost LLC, a private company providing activity-based costing for hospitals, laboratories, clinics, and physicians, since 2008. Chairperson of the Board of Trustees of the Institute for Defense Analyses, a federally funded research and development center, since 2000. Trustee from 1992 to 2000 and 2002 to present, current chairperson of the finance committee, current member of the audit committee, strategic growth committee and executive committee, and former Chairperson of the Board of Trustees (from 1997 to 1999), of the German Marshall Fund of the United States, a public foundation. Lead Independent Trustee of the Rocky Mountain Institute, a non-profit energy and environmental institute; Trustee since 2004. Chairperson of the Board of Trustees of the Colorado College; Trustee since 1995. Trustee of California Institute of Technology. Previously, Independent Director and member of audit committee and governance committee of Neutrogena Corporation from 1998 to 2006; and Independent Director of Arbros Communications from 2000 to 2002 | ||||
Number of |
||||||||
Funds in |
||||||||
Fund Complex |
||||||||
Name, Year of
Birth and |
Trustee and/ |
Principal
Occupation(s) |
Overseen by |
Other
Directorship(s) |
||||
Position(s) Held with the Fund | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||
Other
Officers
|
||||||||
John M. Zerr 1962
Senior Vice President, Chief Legal Officer and Secretary |
2010 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.) and Van Kampen Exchange Corp.; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Invesco Investment Advisers LLC (formerly known as Van Kampen Asset Management); Secretary and General Counsel, Van Kampen Funds Inc. and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust | N/A | N/A | ||||
Formerly: Director and Secretary, Van Kampen Advisors Inc.; Director Vice President, Secretary and General Counsel Van Kampen Investor Services Inc.; Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; and Van Kampen Investments Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | ||||||||
Karen Dunn Kelley 1960
Vice President |
2010 | Head of Invescos World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.) and Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurers Series Trust (Invesco Treasurers Series Trust) and Short-Term Investments Trust); and President and Principal Executive Officer, The Invesco Funds (AIM Treasurers Series Trust (Invesco Treasurers Series Trust) and Short-Term Investments Trust only). | N/A | N/A | ||||
Formerly: Senior Vice President, Van Kampen Investments Inc.; Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurers Series Trust (Invesco Treasurers Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | ||||||||
Sheri Morris 1964
Vice President, Principal Financial Officer and Treasurer |
2010 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser). | N/A | N/A | ||||
Formerly: Treasurer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust, Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | ||||||||
Number of |
||||||||
Funds in |
||||||||
Fund Complex |
||||||||
Name, Year of
Birth and |
Trustee and/ |
Principal
Occupation(s) |
Overseen by |
Other
Directorship(s) |
||||
Position(s) Held with the Fund | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||
Other
Officers
|
||||||||
Yinka Akinsola 1977
Anti-Money Laundering Compliance Officer |
2012 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, Invesco Van Kampen Closed-End Funds, Van Kampen Funds Inc., PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust, and PowerShares Actively Managed Exchange-Traded Fund Trust | N/A | N/A | ||||
Formerly: Regulatory Analyst III, Financial Industry Regulatory Authority (FINRA). | ||||||||
Valinda Arnett-Patton 1959
Chief Compliance Officer |
2011 | Chief Compliance Officer, Invesco Van Kampen Closed-End Funds. | N/A | N/A | ||||
Office of the Fund 1555 Peachtree Street, N.E. Atlanta, GA 30309 |
Investment Adviser Invesco Advisers, Inc. 1555 Peachtree Street, N.E. Atlanta, GA 30309 |
Distributor Invesco Distributors, Inc. 11 Greenway Plaza, Suite 1000 Houston, TX 77046-1173 |
Auditors PricewaterhouseCoopers LLP 1201 Louisiana Street, Suite 2900 Houston, TX 77002-5678 |
|||
Counsel to the Fund Skadden, Arps, Slate, Meagher & Flom LLP 155 North Wacker Drive Chicago, IL 60606 |
Transfer Agent Invesco Investment Services, Inc. 11 Greenway Plaza, Suite 1000 Houston, TX 77046-1173 |
Custodian State Street Bank and Trust Company 225 Franklin Boston, MA 02110-2801 |
VK-SLO-AR-1
|
Invesco Distributors, Inc. |
ITEM 2. | CODE OF ETHICS. |
As of the end of the period covered by this report, the Registrant had adopted a code of ethics (the Code) that applies to the Registrants principal executive officer (PEO) and principal financial officer (PFO). The Code was amended in June, 2010, to (i) add an individual to Exhibit A and (ii) update the names of certain legal entities. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the PEO or PFO during the period covered by this report. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its Audit Committee. The Audit Committee financial experts are Jerry D. Choate, Linda Hutton Heagy and R. Craig Kennedy. Jerry D. Choate, Linda Hutton Heagy and R. Craig Kennedy are independent within the meaning of that term as used in Form N-CSR. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Percentage of Fees | Percentage of Fees | |||||||||||||||
Billed Applicable to | Billed Applicable to | |||||||||||||||
Non-Audit Services | Non-Audit Services | |||||||||||||||
Fees Billed for | Provided for fiscal | Fees Billed for | Provided for fiscal | |||||||||||||
Services Rendered to | year end 2/29/2012 | Services Rendered to | year end 2/28/2011 | |||||||||||||
the Registrant for | Pursuant to Waiver of | the Registrant for | Pursuant to Waiver of | |||||||||||||
fiscal year end | Pre-Approval | fiscal year end | Pre-Approval | |||||||||||||
2/29/2012 | Requirement(1) | 2/28/2011 | Requirement(1) | |||||||||||||
Audit Fees |
$ | 65,300 | N/A | $ | 48,200 | N/A | ||||||||||
Audit-Related
Fees(2) |
$ | 5,000 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(3) |
$ | 10,300 | 0 | % | $ | 2,800 | 0 | % | ||||||||
All Other Fees(4) |
$ | 0 | 0 | % | $ | 1,667 | 0 | % | ||||||||
Total Fees |
$ | 80,600 | 0 | % | $ | 52,667 | 0 | % |
(1) | With respect to the provision of non-audit services, the pre-approval requirement is waived pursuant to a de minimis exception if (i) such services were not recognized as non-audit services by the Registrant at the time of engagement, (ii) the aggregate amount of all such services provided is no more than 5% of the aggregate audit and non-audit fees paid by the Registrant to PWC during a fiscal year; and (iii) such services are promptly brought to the attention of the Registrants Audit Committee and approved by the Registrants Audit Committee prior to the completion of the audit. | |
(2) | Audit-Related fees for the fiscal year end February 29, 2012 includes fees billed for agreed upon procedures related to fund mergers. | |
(3) | Tax fees for the fiscal year end February 29, 2012 includes fees billed for reviewing tax returns. Tax fees for the fiscal year end February 28, 2011 includes fees billed for reviewing tax returns. | |
(3) | All Other fees for the fiscal year end February 28, 2011 includes fees billed for completing professional services related to benchmark analysis. |
Fees Billed for Non- | Fees Billed for Non- | |||||||||||||||
Audit Services | Audit Services | |||||||||||||||
Rendered to Invesco | Percentage of Fees | Rendered to Invesco | Percentage of Fees | |||||||||||||
and Invesco Affiliates | Billed Applicable to | and Invesco Affiliates | Billed Applicable to | |||||||||||||
for fiscal year end | Non-Audit Services | for fiscal year end | Non-Audit Services | |||||||||||||
2/29/2012 That Were | Provided for fiscal year | 2/28/2011 That Were | Provided for fiscal year | |||||||||||||
Required | end 2/29/2012 | Required | end 2/28/2011 | |||||||||||||
to be Pre-Approved | Pursuant to Waiver of | to be Pre-Approved | Pursuant to Waiver of | |||||||||||||
by the Registrants | Pre-Approval | by the Registrants | Pre-Approval | |||||||||||||
Audit Committee | Requirement(1) | Audit Committee | Requirement(1) | |||||||||||||
Audit-Related Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
All Other Fees |
$ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Total Fees(2) |
$ | 0 | 0 | % | $ | 0 | 0 | % |
(1) | With respect to the provision of non-audit services, the pre-approval requirement is waived pursuant to a de minimis exception if (i) such services were not recognized as non-audit services by the Registrant at the time of engagement, (ii) the aggregate amount of all such services provided is no more than 5% of the aggregate audit and non-audit fees paid by the Registrant, Invesco and Invesco Affiliates to PWC during a fiscal year; and (iii) such services are promptly brought to the attention of the Registrants Audit Committee and approved by the Registrants Audit Committee prior to the completion of the audit. | |
(2) | Including the fees for services not required to be pre-approved by the registrants audit committee, PWC billed Invesco and Invesco Affiliates aggregate non-audit fees of $0 for the fiscal year ended February 29, 2012, and $0 for the fiscal year ended February 28, 2011, for non-audit services rendered to Invesco and Invesco Affiliates. |
The Audit Committee also has considered whether the provision of non-audit services that were rendered to Invesco and Invesco Affiliates that were not required to be pre-approved pursuant to SEC regulations, if any, is compatible with maintaining PWCs independence. To the extent that such services were provided, the Audit Committee determined that the provision of such services is compatible with PWC maintaining independence with respect to the Registrant. |
1. | Describe in writing to the Audit Committees, which writing may be in the form of the proposed engagement letter: |
a. | The scope of the service, the fee structure for the engagement, and any side letter or amendment to the engagement letter, or any other agreement between the Auditor and the Fund, relating to the service; and | ||
b. | Any compensation arrangement or other agreement, such as a referral agreement, a referral fee or fee-sharing arrangement, between the Auditor and any person (other than the Fund) with respect to the promoting, marketing, or recommending of a transaction covered by the service; |
2. | Discuss with the Audit Committees the potential effects of the services on the independence of the Auditor; and | ||
3. | Document the substance of its discussion with the Audit Committees. |
| Bookkeeping or other services related to the accounting records or financial statements of the audit client | ||
| Financial information systems design and implementation | ||
| Appraisal or valuation services, fairness opinions, or contribution-in-kind reports | ||
| Actuarial services | ||
| Internal audit outsourcing services |
| Management functions | ||
| Human resources | ||
| Broker-dealer, investment adviser, or investment banking services | ||
| Legal services | ||
| Expert services unrelated to the audit | ||
| Any service or product provided for a contingent fee or a commission | ||
| Services related to marketing, planning, or opining in favor of the tax treatment of confidential transactions or aggressive tax position transactions, a significant purpose of which is tax avoidance | ||
| Tax services for persons in financial reporting oversight roles at the Fund | ||
| Any other service that the Public Company Oversight Board determines by regulation is impermissible. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
(a) | The registrant has a separately-designed standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. Members of the audit committee are: Jerry D. Choate, Linda Hutton Heagy and R. Craig Kennedy. | ||
(b) | Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Investments in securities of unaffiliated issuers is included as part of the reports to stockholders filed under Item 1 of this Form. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Applicable to
|
Retail Accounts | |
Risk Addressed by Policy
|
breach of fiduciary duty to client under Investment Advisers Act of 1940 by placing Invesco personal interests ahead of client best economic interests in voting proxies | |
Relevant Law and Other Sources
|
Investment Advisers Act of 1940 | |
Last Tested Date |
||
Policy/Procedure Owner
|
Advisory Compliance | |
Policy Approver
|
Fund Board | |
Approved/Adopted Date
|
January 1, 2010 |
January 2010 | I.2 1 |
| Elections of directors. In uncontested director elections for companies that do not have a controlling shareholder, Invesco votes in favor of slates if they are comprised of at least a majority of independent directors and if the boards key committees are fully independent. Key committees include the Audit, Compensation and Governance or Nominating Committees. Invescos standard of independence excludes directors who, in addition to the directorship, have any material business or family relationships with the companies they serve. |
January 2010 | I.2 2 |
Contested director elections are evaluated on a case-by-case basis and are decided within the context of Invescos investment thesis on a company. |
| Director performance. Invesco withholds votes from directors who exhibit a lack of accountability to shareholders, either through their level of attendance at meetings or by enacting egregious corporate-governance or other policies. In cases of material financial restatements, accounting fraud, habitually late filings, adopting shareholder rights plan (poison pills) without shareholder approval, or other areas of poor performance, Invesco may withhold votes from some or all of a companys directors. In situations where directors performance is a concern, Invesco may also support shareholder proposals to take corrective actions such as so-called clawback provisions. | ||
| Auditors and Audit Committee members. Invesco believes a companys Audit Committee has a high degree of responsibility to shareholders in matters of financial disclosure, integrity of the financial statements and effectiveness of a companys internal controls. Independence, experience and financial expertise are critical elements of a well-functioning Audit Committee. When electing directors who are members of a companys Audit Committee, or when ratifying a companys auditors, Invesco considers the past performance of the Committee and holds its members accountable for the quality of the companys financial statements and reports. | ||
| Majority standard in director elections. The right to elect directors is the single most important mechanism shareholders have to promote accountability. Invesco supports the nascent effort to reform the U.S. convention of electing directors, and votes in favor of proposals to elect directors by a majority vote. | ||
| Classified boards. Invesco supports proposals to elect directors annually instead of electing them to staggered multi-year terms because annual elections increase a boards level of accountability to its shareholders. | ||
| Supermajority voting requirements. Unless proscribed by law in the state of incorporation, Invesco votes against actions that would impose any supermajority voting requirement, and supports actions to dismantle existing supermajority requirements. | ||
| Responsiveness. Invesco withholds votes from directors who do not adequately respond to shareholder proposals that were approved by a majority of votes cast the prior year. | ||
| Cumulative voting. The practice of cumulative voting can enable minority shareholders to have representation on a companys board. Invesco supports proposals to institute the practice of cumulative voting at companies whose overall corporate-governance standards indicate a particular need to protect the interests of minority shareholders. |
January 2010 | I.2 3 |
| Shareholder access. On business matters with potential financial consequences, Invesco votes in favor of proposals that would increase shareholders opportunities to express their views to boards of directors, proposals that would lower barriers to shareholder action and proposals to promote the adoption of generally accepted best practices in corporate governance. |
| Executive compensation. Invesco evaluates compensation plans for executives within the context of the companys performance under the executives tenure. Invesco believes independent compensation committees are best positioned to craft executive-compensation plans that are suitable for their company-specific circumstances. We view the election of those independent compensation committee members as the appropriate mechanism for shareholders to express their approval or disapproval of a companys compensation practices. Therefore, Invesco generally does not support shareholder proposals to limit or eliminate certain forms of executive compensation. In the interest of reinforcing the notion of a compensation committees accountability to shareholders, Invesco supports proposals requesting that companies subject each years compensation record to an advisory shareholder vote, or so-called say on pay proposals. | ||
| Equity-based compensation plans. When voting to approve or reject equity-based compensation plans, Invesco compares the total estimated cost of the plans, including stock options and restricted stock, against a carefully selected peer group and uses multiple performance metrics that help us determine whether the incentive structures in place are creating genuine shareholder wealth. Regardless of a plans estimated cost relative to its peer group, Invesco votes against plans that contain structural features that would impair the alignment of incentives between shareholders and management. Such features include the ability to reprice or reload options without shareholder approval, the ability to issue options below the stocks current market price, or the ability to automatically replenish shares without shareholder approval. |
January 2010 | I.2 4 |
| Employee stock-purchase plans. Invesco supports employee stock-purchase plans that are reasonably designed to provide proper incentives to a broad base of employees, provided that the price at which employees may acquire stock is at most a 15 percent discount from the market price. | ||
| Severance agreements. Invesco generally votes in favor of proposals requiring advisory shareholder ratification of executives severance agreements. However, we oppose proposals requiring such agreements to be ratified by shareholders in advance of their adoption. |
January 2010 | I.2 5 |
January 2010 | I.2 6 |
January 2010 | I.2 7 |
January 2010 | I.2 8 |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT COMPANIES. | |
Not applicable. | ||
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
Not applicable. | ||
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. | |
None |
(a) | As of March 21, 2012, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the PEO and PFO, to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of March 21, 2012, the Registrants disclosure controls and procedures were reasonably designed to ensure: (1) that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. |
(b) | There have been no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
12(a) (1)
|
Code of Ethics. | |
12(a) (2)
|
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. | |
12(a) (3)
|
Not applicable. | |
12(b)
|
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Investment Company Act of 1940. |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
May 7, 2012 |
By:
|
/s/ Colin Meadows
|
|||
Principal Executive Officer | ||||
Date:
|
May 7, 2012 |
By:
|
/s/ Sheri Morris
|
|||
Principal Financial Officer | ||||
Date:
|
May 7, 2012 |
12(a)(1)
|
Code of Ethics. | |
12(a)(2)
|
Certifications of principal executive officer and principal Financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. | |
12(a)(3)
|
Not applicable. | |
12(b)
|
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Investment Company Act of 1940. |
I. | INTRODUCTION |
| honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; | ||
| full, fair, accurate, timely and understandable disclosure in documents filed with the Securities and Exchange Commission (SEC) and in other public communications; | ||
| compliance with applicable governmental laws, rules and regulations; | ||
| the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and | ||
| accountability for adherence to the Code. |
II. | COVERED OFFICERS SHOULD ACT HONESTLY AND CANDIDLY |
| act with integrity, including being honest and candid while still maintaining the confidentiality of information where required by law or the Companies policies; | ||
| observe both the form and spirit of laws and governmental rules and regulations, accounting standards and policies of the Companies; | ||
| adhere to a high standard of business ethics; and | ||
| place the interests of the Companies before the Covered Officers own personal interests. |
III. | COVERED OFFICERS SHOULD HANDLE ETHICALLY ACTUAL AND APPARENT CONFLICTS OF INTEREST |
| avoid conflicts of interest wherever possible; | ||
| handle any actual or apparent conflict of interest ethically; | ||
| not use his or her personal influence or personal relationships to influence investment decisions or financial reporting by an investment company whereby the Covered Officer would benefit personally to the detriment of any of the Companies; | ||
| not cause an investment company to take action, or fail to take action, for the personal benefit of the Covered Officer rather than the benefit of such company; | ||
| not use knowledge of portfolio transactions made or contemplated for an investment company to profit or cause others to profit, by the market effect of such transactions; and | ||
| as described in more detail below, discuss any material transaction or relationship that could reasonably be expected to give rise to a conflict of interest with the Chief Legal Officer of the Invesco Funds (the Chief Legal Officer). |
| any outside business activity that detracts from an individuals ability to devote appropriate time and attention to his or her responsibilities with the Companies; | ||
| being in the position of supervising, reviewing or having any influence on the job evaluation, pay or benefit of any immediate family member; | ||
| any direct ownership interest in, or any consulting or employment relationship with, any of the Companies service providers, other than its investment adviser, distributor or other Invesco Ltd. affiliated entities and other than a de minimis ownership interest (for purposes of this section of the Code an ownership interest of 1% or less shall constitute a de minimis ownership interest, and an ownership interest of more than 1% creates a rebuttable presumption that there may be a material conflict of interest); and | ||
| a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Companies for effecting portfolio transactions or for selling or redeeming shares, other than an |
interest arising from the Covered Officers employment with Invesco, its subsidiaries, its parent organizations and any affiliates or subsidiaries thereof, such as compensation or equity ownership, and other than an interest arising from a de minimis ownership interest in a company with which the Companies execute portfolios transactions or a company that receives commissions or other fees related to its sales and redemptions of shares of the Companies (for purposes of this section of the Code an ownership interest of 1% or less shall constitute a de minimis ownership interest, and an ownership interest of more than 1% creates a rebuttable presumption that there may be a material conflict of interest). |
IV. | DISCLOSURE |
| familiarize himself/herself with the disclosure requirements applicable to the Companies as well as the business and financial operations of the Companies; and | ||
| not knowingly misrepresent, or cause others to misrepresent, facts about the Companies to others, whether within or outside the Companies, including representations to the Companies internal auditors, independent Directors/Trustees, independent auditors, and to governmental regulators and self-regulatory organizations. |
V. | COMPLIANCE |
VI. | REPORTING AND ACCOUNTABILITY |
| upon receipt of the Code, sign and submit to the Chief Compliance Officer of the Companies an acknowledgement stating that he or she has received, read, and understands the Code. | ||
| annually thereafter submit a form to the Chief Compliance Officer of the Companies confirming that he or she has received, read and understands the Code and has complied with the requirements of the Code. | ||
| not retaliate against any employee or other Covered Officer for reports of potential violations that are made in good faith. | ||
| notify the Chief Legal Officer promptly if he becomes aware of any existing or potential violation of this Code. Failure to do so is itself a violation of this Code. |
| the Chief Legal Officer will take all appropriate action to investigate any violations reported to him or her; | ||
| violations and potential violations will be reported to the Chairman of the Audit Committees of the Board after such investigation; | ||
| if the Chairman of the Audit Committees determines that a violation has occurred, he or she will inform the Board, which will take all appropriate disciplinary or preventive action; | ||
| appropriate disciplinary or preventive action may include a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification to the SEC or other appropriate law enforcement authorities; | ||
| the Chief Legal Officer will be responsible for granting waivers, as appropriate; and | ||
| any changes to or waivers of this Code will, to the extent required, be disclosed on Form N-CSR as provided by SEC rules. |
VII. | OTHER POLICIES AND PROCEDURES |
VIII. | AMENDMENTS |
IX. | CONFIDENTIALITY |
Date | Name: | ||||
Title: | |||||
Date: May 7, 2012 | /s/ Colin Meadows | |||
Colin Meadows, Principal Executive Officer | ||||
Date: May 7, 2012 | /s/ Sheri Morris | |||
Sheri Morris, Principal Financial Officer | ||||
Date: May 7, 2012 | /s/ Colin Meadows | |||
Colin Meadows, Principal Executive Officer | ||||
Date: May 7, 2012 | /s/ Sheri Morris | |||
Sheri Morris, Principal Financial Officer | ||||
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