UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number

 

811-09013

Eaton Vance Senior Income Trust

(Exact Name of Registrant as Specified in Charter)

The Eaton Vance Building,

 

 

255 State Street, Boston, Massachusetts

 

02109

(Address of Principal Executive Offices)

 

 

Alan R. Dynner, Esq.

Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109

(Name and Address of Agent for Services)

(Registrant’s Telephone Number, Including Area Code)

 

(617) 482-8260

Date of Fiscal Year End

 

June 30

Date of Reporting Period

 

September 30, 2005

 

 




Item 1. Schedule of Investments




Eaton Vance Senior Income Trust                                                                                            as of September 30, 2005

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating Rate Interests — 146.0% (1)

Principal

 

 

 

 

 

Amount

 

Borrower/Tranche Description

 

Value

 

Aerospace and Defense — 2.0%

 

 

 

 

 

Alliant Tech Systems, Inc.

 

 

 

$

332,500

 

Term Loan, 4.69%, Maturing March 31, 2009

 

$

334,890

 

.

 

Hexcel Corp.

 

 

 

234,333

 

Term Loan, 5.36%, Maturing March 1, 2012

 

237,067

 

 

 

K&F Industries, Inc.

 

 

 

381,900

 

Term Loan, 6.28%, Maturing November 18, 2012

 

384,764

 

 

 

Mid-Western Aircraft Systems

 

 

 

498,750

 

Term Loan, 5.96%, Maturing December 31, 2011

 

505,421

 

 

 

Standard Aero Holdings, Inc.

 

 

 

1,153,046

 

Term Loan, 6.18%, Maturing August 24, 2012

 

1,167,459

 

 

 

Transdigm, Inc.

 

 

 

1,970,000

 

Term Loan, 5.80%, Maturing July 22, 2010

 

2,002,012

 

 

 

Vought Aircraft Industries, Inc.

 

 

 

1,126,988

 

Term Loan, 6.35%, Maturing December 22, 2011

 

1,140,089

 

 

 

Wam Aquisition, S.A.

 

 

 

362,670

 

Term Loan, 6.77%, Maturing April 8, 2013

 

363,515

 

362,670

 

Term Loan, 7.27%, Maturing April 8, 2014

 

364,998

 

 

 

 

 

$

6,500,215

 

Air Transport — 0.6%

 

 

 

 

 

United Airlines, Inc.

 

 

 

1,983,727

 

DIP Loan, 7.96%, Maturing December 31, 2005

 

2,007,905

 

 

 

 

 

$

2,007,905

 

Automotive — 6.6%

 

 

 

 

 

Accuride Corp.

 

 

 

1,301,539

 

Term Loan, 6.18%, Maturing January 31, 2012

 

1,315,530

 

 

 

Affina Group, Inc.

 

 

 

317,532

 

Term Loan, 6.40%, Maturing November 30, 2011

 

319,418

 

 

 

Collins & Aikman Products Co.

 

 

 

680,597

 

Term Loan, 7.95%, Maturing August 31, 2011

 

646,082

 

 

 

CSA Acquisition Corp.

 

 

 

123,649

 

Term Loan, 6.06%, Maturing December 23, 2011

 

124,460

 

198,914

 

Term Loan, 6.06%, Maturing December 23, 2011

 

200,219

 

 

 

Dayco Products, LLC

 

 

 

1,376,183

 

Term Loan, 7.04%, Maturing June 23, 2011

 

1,394,677

 

 

 

Exide Technologies

 

 

 

468,891

 

Term Loan, 9.36%, Maturing May 5, 2010

 

465,374

 

468,891

 

Term Loan, 9.36%, Maturing May 5, 2010

 

472,407

 

 

 

Federal-Mogul Corp.

 

 

 

750,000

 

Term Loan, 6.09%, Maturing December 31, 2005

 

705,000

 

1,500,000

 

Term Loan, 6.34%, Maturing December 31, 2005

 

1,413,000

 

763,183

 

Term Loan, 7.59%, Maturing December 31, 2005

 

765,091

 

1




 

 

 

 

 

Goodyear Tire & Rubber Co.

 

 

 

$

470,000

 

Term Loan, 3.50%, Maturing April 30, 2010

 

$

474,868

 

1,580,000

 

Term Loan, 6.32%, Maturing April 30, 2010

 

1,601,725

 

500,000

 

Term Loan, 7.07%, Maturing March 1, 2011

 

497,708

 

 

 

HLI Operating Co., Inc.

 

 

 

1,272,493

 

Term Loan, 7.01%, Maturing June 3, 2009

 

1,274,992

 

350,000

 

Term Loan, 8.92%, Maturing June 3, 2010

 

350,292

 

 

 

Key Automotive Group

 

 

 

910,151

 

Term Loan, 6.75%, Maturing June 29, 2010

 

915,839

 

 

 

Plastech Engineered Products, Inc.

 

 

 

468,966

 

Term Loan, 8.77%, Maturing March 31, 2010

 

452,434

 

 

 

R.J. Tower Corp.

 

 

 

1,175,000

 

DIP Revolving Loan, 7.25%, Maturing February 2, 2007

 

1,195,562

 

 

 

Tenneco Automotive, Inc.

 

 

 

1,194,224

 

Term Loan, 5.94%, Maturing December 12, 2010

 

1,216,243

 

 

 

TI Automotive, Ltd.

 

 

 

648,527

 

Term Loan, 6.91%, Maturing June 30, 2011

 

632,719

 

 

 

Trimas Corp.

 

 

 

2,138,453

 

Term Loan, 6.90%, Maturing December 31, 2009

 

2,163,402

 

 

 

TRW Automotive, Inc.

 

 

 

1,574,874

 

Term Loan, 5.25%, Maturing June 30, 2012

 

1,593,412

 

 

 

United Components, Inc.

 

 

 

844,358

 

Term Loan, 6.26%, Maturing June 30, 2010

 

860,190

 

 

 

 

 

$

21,050,644

 

Beverage and Tobacco — 2.1%

 

 

 

 

 

Alliance One International, Inc.

 

 

 

422,875

 

Term Loan, 6.73%, Maturing May 13, 2010

 

428,425

 

 

 

Constellation Brands, Inc.

 

 

 

2,105,672

 

Term Loan, 5.91%, Maturing November 30, 2011

 

2,137,916

 

 

 

Culligan International Co.

 

 

 

841,500

 

Term Loan, 6.27%, Maturing September 30, 2011

 

854,122

 

 

 

National Dairy Holdings, L.P.

 

 

 

159,200

 

Term Loan, 5.84%, Maturing March 15, 2012

 

160,692

 

 

 

National Distribution Company

 

 

 

425,000

 

Term Loan, 10.33%, Maturing June 22, 2010

 

426,062

 

 

 

Southern Wine & Spirits of America

 

 

 

2,421,660

 

Term Loan, 5.53%, Maturing May 31, 2012

 

2,447,390

 

 

 

Sunny Delight Beverages Co.

 

 

 

364,412

 

Term Loan, 8.25%, Maturing August 20, 2010

 

368,056

 

 

 

 

 

$

6,822,663

 

Building and Development — 11.5%

 

 

 

 

 

Biomed Realty, L.P.

 

 

 

1,640,000

 

Term Loan, 5.94%, Maturing May 31, 2010

 

1,642,050

 

 

 

DMB / CHII, LLC

 

 

 

178,041

 

Term Loan, 6.21%, Maturing March 3, 2007

 

178,486

 

2




 

 

 

 

 

Formica Corp.

 

 

 

$

156,501

 

Term Loan, 8.82%, Maturing June 10, 2010

 

$

157,283

 

80,035

 

Term Loan, 8.82%, Maturing June 10, 2010

 

80,435

 

64,521

 

Term Loan, 8.82%, Maturing June 10, 2010

 

64,844

 

227,578

 

Term Loan, 8.83%, Maturing June 10, 2010

 

228,716

 

 

 

FT-FIN Acquisition, LLC

 

 

 

672,303

 

Term Loan, 8.25%, Maturing November 17, 2007

 

673,984

 

 

 

General Growth Properties, Inc.

 

 

 

4,694,717

 

Term Loan, 5.85%, Maturing November 12, 2008

 

4,758,879

 

 

 

Hovstone Holdings, LLC

 

 

 

655,000

 

Term Loan, 6.10%, Maturing February 28, 2009

 

656,637

 

 

 

Kyle Acquisition Group, LLC

 

 

 

277,819

 

Term Loan, 6.75%, Maturing July 20, 2008

 

281,813

 

757,181

 

Term Loan, 6.75%, Maturing July 20, 2010

 

768,065

 

 

 

Landsource Communities, LLC

 

 

 

1,502,000

 

Term Loan, 6.25%, Maturing March 31, 2010

 

1,515,613

 

 

 

LNR Property Corp.

 

 

 

2,788,230

 

Term Loan, 6.71%, Maturing February 3, 2008

 

2,824,825

 

933,233

 

Term Loan, 6.72%, Maturing February 3, 2008

 

939,066

 

 

 

LNR Property Holdings

 

 

 

500,000

 

Term Loan, 8.21%, Maturing February 3, 2008

 

502,187

 

 

 

MAAX Corp.

 

 

 

434,500

 

Term Loan, 6.43%, Maturing June 4, 2011

 

434,500

 

 

 

Mueller Group, Inc.

 

 

 

1,176,197

 

Term Loan, 7.92%, Maturing April 23, 2011

 

1,186,489

 

 

 

Newkirk Master, L.P.

 

 

 

2,165,955

 

Term Loan, 5.69%, Maturing August 11, 2008

 

2,202,506

 

 

 

Newkirk Tender Holdings, LLC

 

 

 

911,305

 

Term Loan, 8.34%, Maturing May 25, 2006

 

913,583

 

944,444

 

Term Loan, 9.84%, Maturing May 25, 2006

 

946,806

 

 

 

Nortek, Inc.

 

 

 

940,500

 

Term Loan, 5.92%, Maturing August 27, 2011

 

953,549

 

 

 

Ply Gem Industries, Inc.

 

 

 

652,243

 

Term Loan, 6.16%, Maturing February 12, 2011

 

658,765

 

95,843

 

Term Loan, 6.16%, Maturing February 12, 2011

 

96,802

 

374,533

 

Term Loan, 6.64%, Maturing February 12, 2011

 

378,279

 

 

 

South Edge, LLC

 

 

 

328,125

 

Term Loan, 5.31%, Maturing October 31, 2007

 

329,629

 

421,875

 

Term Loan, 5.56%, Maturing October 31, 2009

 

426,094

 

 

 

Stile Acquisition Corp.

 

 

 

1,231,510

 

Term Loan, 5.67%, Maturing April 6, 2013

 

1,236,758

 

 

 

Stile U.S. Acquisition Corp.

 

 

 

1,233,608

 

Term Loan, 5.67%, Maturing April 6, 2013

 

1,238,865

 

 

 

Sugarloaf Mills, L.P.

 

 

 

1,000,000

 

Term Loan, 5.57%, Maturing April 7, 2007

 

1,005,000

 

1,200,000

 

Term Loan, 6.70%, Maturing April 7, 2007

 

1,200,000

 

3




 

 

 

 

 

TE / Tousa Senior, LLC

 

 

 

$

575,000

 

Term Loan, 6.56%, Maturing August 1, 2008

 

$

584,344

 

 

 

The Macerich Partnership, L.P.

 

 

 

745,000

 

Term Loan, 5.48%, Maturing July 30, 2007

 

746,397

 

650,000

 

Term Loan, 5.34%, Maturing April 25, 2010

 

654,875

 

 

 

The Woodlands Community Property Co.

 

 

 

1,304,000

 

Term Loan, 5.95%, Maturing November 30, 2007

 

1,312,150

 

923,000

 

Term Loan, 7.95%, Maturing November 30, 2007

 

936,845

 

 

 

Tousa / Kolter, LLC

 

 

 

1,110,000

 

Term Loan, 5.78%, Maturing January 7, 2008 (2)

 

1,115,550

 

 

 

Tower Financing, LLC

 

 

 

1,500,000

 

Term Loan, 7.16%, Maturing April 8, 2008

 

1,501,875

 

 

 

Trustreet Properties, Inc.

 

 

 

465,000

 

Term Loan, 5.69%, Maturing April 8, 2010

 

469,359

 

 

 

Whitehall Street Real Estate, L.P.

 

 

 

1,125,000

 

Term Loan, 7.59%, Maturing September 11, 2006 (3)

 

1,143,900

 

 

 

 

 

$

36,945,803

 

Business Equipment and Services — 6.4%

 

 

 

 

 

Acco Brands Corp.

 

 

 

350,000

 

Term Loan, 5.58%, Maturing August 17, 2012

 

355,162

 

 

 

Allied Security Holdings, LLC

 

 

 

827,330

 

Term Loan, 7.78%, Maturing June 30, 2010

 

841,808

 

 

 

Aspect Software, Inc.

 

 

 

350,000

 

Term Loan, 6.56%, Maturing September 22, 2010

 

350,000

 

 

 

Baker & Taylor, Inc.

 

 

 

1,700,000

 

Term Loan, 10.48%, Maturing May 6, 2011

 

1,721,250

 

 

 

DynCorp International, LLC

 

 

 

653,363

 

Term Loan, 6.75%, Maturing February 11, 2011

 

661,394

 

 

 

Global Imaging Systems, Inc.

 

 

 

485,122

 

Term Loan, 5.38%, Maturing May 10, 2010

 

488,912

 

 

 

Info USA, Inc.

 

 

 

366,563

 

Term Loan, 6.78%, Maturing June 9, 2010

 

367,479

 

 

 

Iron Mountain, Inc.

 

 

 

3,989,888

 

Term Loan, 5.63%, Maturing April 2, 2011

 

4,031,658

 

 

 

Language Line, Inc.

 

 

 

489,071

 

Term Loan, 7.90%, Maturing June 11, 2011

 

494,497

 

 

 

Mitchell International, Inc.

 

 

 

417,599

 

Term Loan, 10.13%, Maturing August 13, 2011

 

418,643

 

744,997

 

Term Loan, 10.13%, Maturing August 15, 2012

 

753,378

 

 

 

N.E.W. Holdings I, LLC

 

 

 

494,591

 

Term Loan, 6.99%, Maturing July 1, 2011

 

502,319

 

 

 

Protection One, Inc.

 

 

 

496,951

 

Term Loan, 6.83%, Maturing April 18, 2011

 

504,406

 

 

 

Quintiles Transnational Corp.

 

 

 

744,194

 

Term Loan, 5.59%, Maturing September 25, 2009

 

746,054

 

4




 

 

 

 

 

Sungard Data Systems, Inc.

 

 

 

$

7,025,000

 

Term Loan, 6.28%, Maturing February 11, 2013

 

$

7,113,613

 

 

 

Transaction Network Services, Inc.

 

 

 

440,586

 

Term Loan, 5.85%, Maturing May 4, 2012

 

446,094

 

 

 

Western Inventory Services

 

 

 

275,000

 

Term Loan, 10.77%, Maturing October 14, 2011

 

277,750

 

 

 

Williams Scotsman, Inc.

 

 

 

495,370

 

Term Loan, 6.31%, Maturing June 27, 2010

 

501,871

 

 

 

 

 

$

20,576,288

 

Cable and Satellite Television — 8.8%

 

 

 

 

 

Adelphia Communications Corp.

 

 

 

1,810,405

 

DIP Loan, 6.31%, Maturing March 31, 2006

 

1,814,931

 

 

 

Atlantic Broadband Finance, LLC

 

 

 

1,494,183

 

Term Loan, 6.52%, Maturing September 1, 2011

 

1,520,331

 

 

 

Bragg Communications, Inc.

 

 

 

554,445

 

Term Loan, 5.86%, Maturing August 31, 2011

 

562,762

 

 

 

Bresnan Communications, LLC

 

 

 

500,000

 

Term Loan, 7.34%, Maturing September 30, 2009

 

509,062

 

1,000,000

 

Term Loan, 7.26%, Maturing September 30, 2010

 

1,017,656

 

 

 

Canadian Cable Acquisition Co., Inc.

 

 

 

999,900

 

Term Loan, 7.02%, Maturing July 30, 2011

 

1,013,649

 

 

 

Cebridge Connections, Inc.

 

 

 

753,525

 

Term Loan, 7.00%, Maturing February 23, 2009

 

758,235

 

788,000

 

Term Loan, 9.69%, Maturing February 23, 2010

 

795,880

 

 

 

Charter Communications Operating, LLC

 

 

 

7,145,541

 

Term Loan, 6.93%, Maturing April 27, 2011

 

7,187,822

 

 

 

Insight Midwest Holdings, LLC

 

 

 

3,438,750

 

Term Loan, 6.06%, Maturing December 31, 2009

 

3,494,630

 

 

 

MCC Iowa, LLC

 

 

 

839,407

 

Term Loan, 5.87%, Maturing February 3, 2014

 

852,326

 

 

 

Mediacom Illinois, LLC

 

 

 

1,985,000

 

Term Loan, 6.05%, Maturing March 31, 2013

 

2,019,273

 

 

 

NTL, Inc.

 

 

 

1,750,000

 

Term Loan, 6.41%, Maturing April 13, 2012

 

1,762,395

 

 

 

Rainbow National Services, LLC

 

 

 

1,481,237

 

Term Loan, 6.63%, Maturing March 31, 2012

 

1,496,513

 

 

 

UGS Corp.

 

 

 

1,517,065

 

Term Loan, 5.84%, Maturing March 31, 2012

 

1,541,244

 

 

 

UPC Broadband Holdings B.V.

 

 

 

1,780,000

 

Term Loan, 6.00%, Maturing September 30, 2012

 

1,801,695

 

 

 

 

 

$

28,148,404

 

Chemicals and Plastics — 7.3%

 

 

 

 

 

Brenntag AG

 

 

 

1,275,000

 

Term Loan, 6.81%, Maturing December 9, 2011

 

1,293,049

 

 

 

Carmeuse Lime, Inc.

 

 

 

320,938

 

Term Loan, 5.50%, Maturing May 2, 2011

 

323,345

 

5




 

 

 

 

 

Celanese Holdings, LLC

 

 

 

$

2,129,872

 

Term Loan, 6.31%, Maturing April 6, 2011

 

$

2,165,814

 

 

 

Gentek, Inc.

 

 

 

309,424

 

Term Loan, 6.60%, Maturing February 25, 2011

 

312,170

 

430,000

 

Term Loan, 9.35%, Maturing February 25, 2012

 

426,130

 

 

 

Hercules, Inc.

 

 

 

492,500

 

Term Loan, 5.33%, Maturing October 8, 2010

 

498,287

 

 

 

Hexion Specialty Chemicals, Inc.

 

 

 

90,000

 

Term Loan, 3.16%, Maturing May 31, 2012

 

91,237

 

377,055

 

Term Loan, 6.38%, Maturing May 31, 2012

 

382,240

 

520,695

 

Term Loan, 6.56%, Maturing May 31, 2012

 

527,855

 

 

 

Huntsman International, LLC

 

 

 

2,544,712

 

Term Loan, 5.52%, Maturing August 16, 2012

 

2,568,796

 

 

 

Innophos, Inc.

 

 

 

483,225

 

Term Loan, 6.11%, Maturing August 13, 2010

 

489,467

 

 

 

Invista B.V.

 

 

 

2,018,648

 

Term Loan, 6.31%, Maturing April 29, 2011

 

2,053,554

 

875,818

 

Term Loan, 6.31%, Maturing April 29, 2011

 

890,962

 

 

 

ISP Chemco, Inc.

 

 

 

689,500

 

Term Loan, 5.71%, Maturing March 27, 2011

 

698,119

 

 

 

Kraton Polymer, LLC

 

 

 

1,467,831

 

Term Loan, 6.42%, Maturing December 23, 2010

 

1,492,600

 

 

 

Mosaic Co.

 

 

 

766,150

 

Term Loan, 5.23%, Maturing February 21, 2012

 

776,804

 

 

 

Nalco Co.

 

 

 

3,329,426

 

Term Loan, 5.81%, Maturing November 4, 2010

 

3,384,571

 

 

 

PQ Corp.

 

 

 

263,675

 

Term Loan, 6.06%, Maturing February 11, 2012

 

267,136

 

 

 

Rockwood Specialties Group, Inc.

 

 

 

2,323,325

 

Term Loan, 5.93%, Maturing December 10, 2012

 

2,363,258

 

 

 

Solo Cup Co.

 

 

 

1,350,007

 

Term Loan, 5.94%, Maturing February 27, 2011

 

1,355,576

 

 

 

Wellman, Inc.

 

 

 

900,000

 

Term Loan, 7.71%, Maturing February 10, 2009

 

915,375

 

 

 

Westlake Chemical Corp.

 

 

 

40,000

 

Term Loan, 6.15%, Maturing July 31, 2010

 

40,400

 

 

 

 

 

$

23,316,745

 

Clothing / Textiles — 0.8%

 

 

 

 

 

Propex Fabrics, Inc.

 

 

 

182,875

 

Term Loan, 6.28%, Maturing December 31, 2011

 

183,561

 

 

 

SI Corp.

 

 

 

853,550

 

Term Loan, 7.49%, Maturing December 9, 2009

 

862,085

 

 

 

St. John Knits International, Inc.

 

 

 

925,350

 

Term Loan, 6.54%, Maturing March 23, 2012

 

939,230

 

 

 

The William Carter Co.

 

 

 

478,913

 

Term Loan, 5.72%, Maturing July 14, 2012

 

486,695

 

 

 

 

 

$

2,471,571

 

6




 

 

 

Conglomerates — 3.7%

 

 

 

 

 

Amsted Industries, Inc.

 

 

 

$

2,136,656

 

Term Loan, 6.20%, Maturing October 15, 2010

 

$

2,176,274

 

 

 

Blount, Inc.

 

 

 

640,536

 

Term Loan, 6.12%, Maturing August 9, 2010

 

651,745

 

 

 

Euramax International, Inc.

 

 

 

385,000

 

Term Loan, 6.38%, Maturing June 28, 2012

 

388,162

 

334,211

 

Term Loan, 10.55%, Maturing June 28, 2013

 

336,717

 

165,789

 

Term Loan, 10.55%, Maturing June 28, 2013

 

167,033

 

 

 

Goodman Global Holdings, Inc.

 

 

 

641,775

 

Term Loan, 5.88%, Maturing December 23, 2011

 

651,803

 

 

 

Johnson Diversey, Inc.

 

 

 

1,702,905

 

Term Loan, 5.46%, Maturing November 3, 2009

 

1,726,853

 

 

 

Penn Engineering & Manufacturing Corp.

 

 

 

256,571

 

Term Loan, 6.52%, Maturing May 25, 2011

 

259,778

 

 

 

Polymer Group, Inc.

 

 

 

1,167,025

 

Term Loan, 7.25%, Maturing April 27, 2010

 

1,185,503

 

1,250,000

 

Term Loan, 10.25%, Maturing April 27, 2011

 

1,278,125

 

 

 

PP Acquisition Corp.

 

 

 

1,582,889

 

Term Loan, 6.10%, Maturing November 12, 2011

 

1,588,429

 

 

 

Rexnord Corp.

 

 

 

1,548,681

 

Term Loan, 5.42%, Maturing December 31, 2011

 

1,571,265

 

 

 

 

 

$

11,981,687

 

Containers and Glass Products — 6.0%

 

 

 

 

 

Berry Plastics Corp.

 

 

 

2,133,969

 

Term Loan, 6.11%, Maturing June 30, 2010

 

2,166,245

 

 

 

BWAY Corp.

 

 

 

325,500

 

Term Loan, 6.00%, Maturing June 30, 2011

 

330,688

 

 

 

Consolidated Container Holding, LLC

 

 

 

641,875

 

Term Loan, 7.50%, Maturing December 15, 2008

 

650,300

 

 

 

Dr. Pepper / Seven Up Bottling Group, Inc.

 

 

 

1,274,116

 

Term Loan, 5.37%, Maturing December 19, 2010

 

1,295,458

 

 

 

Graham Packaging Holdings Co.

 

 

 

2,282,750

 

Term Loan, 6.15%, Maturing October 7, 2011

 

2,315,921

 

1,000,000

 

Term Loan, 8.25%, Maturing April 7, 2012

 

1,021,667

 

 

 

Graphic Packaging International, Inc.

 

 

 

5,062,742

 

Term Loan, 6.04%, Maturing August 8, 2009

 

5,145,645

 

 

 

IPG (US), Inc.

 

 

 

367,225

 

Term Loan, 6.07%, Maturing July 28, 2011

 

373,651

 

 

 

Kranson Industries, Inc.

 

 

 

493,750

 

Term Loan, 6.78%, Maturing July 30, 2011

 

501,156

 

 

 

Owens-Illinois, Inc.

 

 

 

486,733

 

Term Loan, 5.50%, Maturing April 1, 2007

 

490,992

 

394,214

 

Term Loan, 5.57%, Maturing April 1, 2007

 

398,896

 

7




 

 

 

 

 

Smurfit-Stone Container Corp.

 

 

 

$

315,687

 

Term Loan, 2.10%, Maturing November 1, 2010

 

$

319,206

 

2,510,295

 

Term Loan, 5.70%, Maturing November 1, 2011

 

2,538,275

 

797,906

 

Term Loan, 5.83%, Maturing November 1, 2011

 

806,800

 

 

 

U.S. Can Corp.

 

 

 

985,000

 

Term Loan, 7.65%, Maturing January 15, 2010

 

989,925

 

 

 

 

 

$

19,344,825

 

Cosmetics / Toiletries — 0.8%

 

 

 

 

 

American Safety Razor Co.

 

 

 

995,000

 

Term Loan, 6.61%, Maturing February 28, 2012

 

1,012,412

 

 

 

Prestige Brands, Inc.

 

 

 

884,250

 

Term Loan, 6.31%, Maturing April 7, 2011

 

896,040

 

 

 

Revlon Consumer Products Corp.

 

 

 

721,875

 

Term Loan, 9.65%, Maturing July 9, 2010

 

746,915

 

 

 

 

 

$

2,655,367

 

Drugs — 0.9%

 

 

 

 

 

Warner Chilcott Corp.

 

 

 

1,865,895

 

Term Loan, 6.61%, Maturing January 18, 2012

 

1,881,722

 

751,865

 

Term Loan, 6.77%, Maturing January 18, 2012

 

758,242

 

347,340

 

Term Loan, 6.77%, Maturing January 18, 2012

 

350,286

 

 

 

 

 

$

2,990,250

 

Ecological Services and Equipment — 2.1%

 

 

 

 

 

Alderwoods Group, Inc.

 

 

 

307,994

 

Term Loan, 5.75%, Maturing September 29, 2009

 

312,614

 

 

 

Allied Waste Industries, Inc.

 

 

 

855,217

 

Term Loan, 3.60%, Maturing January 15, 2010

 

862,700

 

2,240,614

 

Term Loan, 5.85%, Maturing January 15, 2012

 

2,259,964

 

 

 

Envirocare of Utah, LLC

 

 

 

820,000

 

Term Loan, 6.11%, Maturing April 15, 2010

 

836,400

 

 

 

Environmental Systems, Inc.

 

 

 

1,087,435

 

Term Loan, 7.40%, Maturing December 12, 2008

 

1,108,165

 

 

 

IESI Corp.

 

 

 

441,176

 

Term Loan, 5.66%, Maturing January 20, 2012

 

448,069

 

 

 

Sensus Metering Systems, Inc.

 

 

 

115,495

 

Term Loan, 6.44%, Maturing December 17, 2010

 

116,866

 

740,350

 

Term Loan, 6.45%, Maturing December 17, 2010

 

749,142

 

 

 

 

 

$

6,693,920

 

Electronics / Electrical — 4.4%

 

 

 

 

 

AMI Semiconductor, Inc.

 

 

 

956,013

 

Term Loan, 5.34%, Maturing April 1, 2012

 

961,589

 

 

 

Communications & Power, Inc.

 

 

 

444,444

 

Term Loan, 6.03%, Maturing July 23, 2010

 

451,944

 

 

 

Enersys Capital, Inc.

 

 

 

987,500

 

Term Loan, 5.86%, Maturing March 17, 2011

 

996,758

 

8




 

 

 

 

 

Fairchild Semiconductor Corp.

 

 

 

$

2,126,437

 

Term Loan, 5.60%, Maturing December 31, 2010

 

$

2,150,359

 

 

 

Invensys International Holdings Limited

 

 

 

1,926,388

 

Term Loan, 6.88%, Maturing September 5, 2009

 

1,945,652

 

 

 

Panavision, Inc.

 

 

 

1,027,741

 

Term Loan, 9.64%, Maturing January 12, 2007

 

1,050,865

 

 

 

Rayovac Corp.

 

 

 

2,915,350

 

Term Loan, 5.71%, Maturing February 7, 2012

 

2,952,398

 

 

 

Security Co., Inc.

 

 

 

495,000

 

Term Loan, 7.31%, Maturing June 30, 2010

 

499,950

 

500,000

 

Term Loan, 11.25%, Maturing June 30, 2011

 

507,500

 

 

 

Telcordia Technologies, Inc.

 

 

 

1,556,100

 

Term Loan, 6.36%, Maturing September 15, 2012

 

1,554,155

 

 

 

United Online, Inc.

 

 

 

388,889

 

Term Loan, 6.75%, Maturing December 13, 2008

 

390,833

 

 

 

Vertafore, Inc.

 

 

 

256,552

 

Term Loan, 6.57%, Maturing December 22, 2010

 

259,438

 

500,000

 

Term Loan, 9.51%, Maturing December 22, 2011

 

511,250

 

 

 

 

 

$

14,232,691

 

Equipment Leasing — 1.1%

 

 

 

 

 

Ashtead Group, PLC

 

 

 

1,000,000

 

Term Loan, 6.06%, Maturing November 12, 2009

 

1,015,625

 

 

 

Maxim Crane Works, L.P.

 

 

 

866,103

 

Term Loan, 6.48%, Maturing January 28, 2010

 

880,177

 

510,000

 

Term Loan, 9.25%, Maturing January 28, 2012

 

527,212

 

 

 

United Rentals, Inc.

 

 

 

166,667

 

Term Loan, 2.87%, Maturing February 14, 2011

 

168,312

 

820,833

 

Term Loan, 6.09%, Maturing February 14, 2011

 

828,939

 

 

 

 

 

$

3,420,265

 

Farming / Agriculture — 0.3%

 

 

 

 

 

Central Garden & Pet Co.

 

 

 

782,768

 

Term Loan, 4.80%, Maturing May 15, 2009

 

794,020

 

 

 

 

 

$

794,020

 

Financial Intermediaries — 2.8%

 

 

 

 

 

AIMCO Properties, L.P.

 

 

 

700,000

 

Term Loan, 5.52%, Maturing November 2, 2009

 

709,187

 

2,350,000

 

Term Loan, 5.72%, Maturing November 2, 2009

 

2,393,329

 

 

 

Coinstar, Inc.

 

 

 

309,427

 

Term Loan, 5.55%, Maturing July 7, 2011

 

315,229

 

 

 

Corrections Corp. of America

 

 

 

506,545

 

Term Loan, 5.49%, Maturing March 31, 2008

 

514,777

 

 

 

Fidelity National Information Solutions, Inc.

 

 

 

3,221,125

 

Term Loan, 5.48%, Maturing March 9, 2013

 

3,236,654

 

9




 

 

 

 

 

Refco Group Ltd., LLC

 

 

 

$

1,869,825

 

Term Loan, 5.84%, Maturing August 5, 2011

 

$

1,892,497

 

 

 

 

 

$

9,061,673

 

Food Products — 4.2%

 

 

 

 

 

Acosta Sales Co., Inc.

 

 

 

493,500

 

Term Loan, 5.67%, Maturing August 13, 2010

 

501,365

 

 

 

American Seafoods Holdings, LLC

 

 

 

135,773

 

Term Loan, 8.75%, Maturing September 30, 2007

 

136,027

 

738,550

 

Term Loan, 9.00%, Maturing March 31, 2009

 

741,781

 

 

 

Atkins Nutritional, Inc.

 

 

 

406,606

 

Term Loan, 8.25%, Maturing November 26, 2009 (4)

 

304,955

 

 

 

Chiquita Brands, LLC

 

 

 

369,075

 

Term Loan, 6.34%, Maturing June 28, 2012

 

375,534

 

 

 

Del Monte Corp.

 

 

 

448,875

 

Term Loan, 5.18%, Maturing February 8, 2012

 

455,608

 

 

 

Doane Pet Care Co.

 

 

 

1,069,200

 

Term Loan, 7.62%, Maturing November 5, 2009

 

1,075,437

 

 

 

Dole Food Co., Inc.

 

 

 

584,625

 

Term Loan, 5.49%, Maturing April 18, 2012

 

591,658

 

 

 

Herbalife International, Inc.

 

 

 

172,764

 

Term Loan, 5.41%, Maturing December 21, 2010

 

175,356

 

 

 

Interstate Brands Corp.

 

 

 

485,000

 

Term Loan, 7.77%, Maturing July 19, 2007

 

489,123

 

901,793

 

Term Loan, 7.95%, Maturing July 19, 2007

 

910,811

 

 

 

Merisant Co.

 

 

 

1,463,099

 

Term Loan, 6.93%, Maturing January 11, 2010

 

1,444,810

 

 

 

Michael Foods, Inc.

 

 

 

912,752

 

Term Loan, 5.17%, Maturing November 21, 2010

 

928,725

 

1,000,000

 

Term Loan, 6.59%, Maturing November 21, 2011

 

1,023,750

 

 

 

Pinnacle Foods Holdings Corp.

 

 

 

3,089,513

 

Term Loan, 6.76%, Maturing November 25, 2010

 

3,131,994

 

 

 

Reddy Ice Group, Inc.

 

 

 

1,055,000

 

Term Loan, 5.48%, Maturing August 9, 2012

 

1,066,209

 

 

 

 

 

$

13,353,143

 

Food Service — 3.2%

 

 

 

 

 

AFC Enterprises, Inc.

 

 

 

912,713

 

Term Loan, 6.31%, Maturing May 11, 2011

 

924,121

 

 

 

Buffets, Inc.

 

 

 

209,091

 

Term Loan, 6.78%, Maturing June 28, 2009

 

211,182

 

1,017,875

 

Term Loan, 7.16%, Maturing June 28, 2009

 

1,028,053

 

 

 

Burger King Corp.

 

 

 

995,000

 

Term Loan, 5.50%, Maturing June 30, 2012

 

1,011,435

 

 

 

Carrols Corp.

 

 

 

767,356

 

Term Loan, 6.56%, Maturing December 31, 2010

 

779,505

 

 

 

CKE Restaurants, Inc.

 

 

 

235,783

 

Term Loan, 5.81%, Maturing May 1, 2010

 

238,141

 

 

10




 

 

 

 

Denny’s, Inc.

 

 

 

$

1,240,633

 

Term Loan, 7.17%, Maturing September 21, 2009

 

$

1,261,182

 

 

 

Domino’s, Inc.

 

 

 

3,136,341

 

Term Loan, 5.81%, Maturing June 25, 2010

 

3,190,574

 

 

 

Jack in the Box, Inc.

 

 

 

738,750

 

Term Loan, 5.45%, Maturing January 8, 2011

 

746,599

 

 

 

Maine Beverage Co., LLC

 

 

 

437,500

 

Term Loan, 5.77%, Maturing March 31, 2013

 

436,406

 

 

 

Weight Watchers International, Inc.

 

 

 

495,000

 

Term Loan, 5.11%, Maturing March 31, 2010

 

500,775

 

 

 

 

 

$

10,327,973

 

Food / Drug Retailers — 3.2%

 

 

 

 

 

Cumberland Farms, Inc.

 

 

 

2,242,738

 

Term Loan, 6.14%, Maturing September 8, 2008

 

2,255,353

 

 

 

General Nutrition Centers, Inc.

 

 

 

835,781

 

Term Loan, 6.68%, Maturing December 7, 2009

 

847,969

 

 

 

Giant Eagle, Inc.

 

 

 

2,819,146

 

Term Loan, 5.62%, Maturing August 6, 2009

 

2,866,719

 

 

 

Roundy’s, Inc.

 

 

 

1,181,395

 

Term Loan, 5.79%, Maturing September 30, 2009

 

1,194,685

 

 

 

The Jean Coutu Group (PJC), Inc.

 

 

 

1,906,991

 

Term Loan, 5.94%, Maturing July 30, 2011

 

1,939,917

 

 

 

The Pantry, Inc.

 

 

 

1,033,605

 

Term Loan, 6.10%, Maturing March 12, 2011

 

1,049,433

 

 

 

 

 

$

10,154,076

 

Forest Products — 1.9%

 

 

 

 

 

Boise Cascade Holdings, LLC

 

 

 

1,978,665

 

Term Loan, 5.72%, Maturing October 29, 2011

 

2,011,561

 

 

 

Buckeye Technologies, Inc.

 

 

 

192,238

 

Term Loan, 5.71%, Maturing April 15, 2010

 

194,240

 

 

 

Escanaba Timber, LLC

 

 

 

315,000

 

Term Loan, 6.43%, Maturing May 2, 2008

 

319,331

 

 

 

Koch Cellulose, LLC

 

 

 

286,936

 

Term Loan, 5.19%, Maturing May 7, 2011

 

290,881

 

931,536

 

Term Loan, 5.77%, Maturing May 7, 2011

 

944,344

 

 

 

NewPage Corp.

 

 

 

1,150,000

 

Term Loan, 6.58%, Maturing May 2, 2011

 

1,167,250

 

 

 

RLC Industries Co.

 

 

 

582,107

 

Term Loan, 5.51%, Maturing February 24, 2010

 

585,928

 

 

 

Xerium Technologies, Inc.

 

 

 

485,000

 

Term Loan, 6.02%, Maturing May 18, 2012

 

492,124

 

 

 

 

 

$

6,005,659

 

 

11




 

 

 

Healthcare — 8.8%

 

 

 

 

 

Alliance Imaging, Inc.

 

 

 

$

1,188,534

 

Term Loan, 5.99%, Maturing December 29, 2011

 

$

1,203,887

 

 

 

AMN Healthcare, Inc.

 

 

 

337,807

 

Term Loan, 7.02%, Maturing October 2, 2008

 

342,874

 

 

 

AMR HoldCo, Inc.

 

 

 

890,525

 

Term Loan, 5.95%, Maturing February 10, 2012

 

904,162

 

 

 

Carl Zeiss Topco GMBH

 

 

 

196,667

 

Term Loan, 6.95%, Maturing February 28, 2013

 

197,896

 

393,333

 

Term Loan, 7.45%, Maturing February 28, 2014

 

396,283

 

375,000

 

Term Loan, 9.70%, Maturing August 31, 2014

 

381,563

 

 

 

Colgate Medical, Ltd.

 

 

 

239,773

 

Term Loan, 6.01%, Maturing December 30, 2008

 

242,170

 

 

 

Community Health Systems, Inc.

 

 

 

3,404,362

 

Term Loan, 5.61%, Maturing August 19, 2011

 

3,454,366

 

 

 

Concentra Operating Corp.

 

 

 

903,885

 

Term Loan, 6.12%, Maturing June 30, 2009

 

911,794

 

 

 

Conmed Corp.

 

 

 

953,220

 

Term Loan, 6.07%, Maturing December 31, 2009

 

968,312

 

 

 

Cross Country Healthcare, Inc.

 

 

 

241,245

 

Term Loan, 7.54%, Maturing June 5, 2009

 

241,848

 

 

 

Encore Medical IHC, Inc.

 

 

 

788,277

 

Term Loan, 6.53%, Maturing October 4, 2010

 

798,130

 

 

 

Envision Worldwide, Inc.

 

 

 

1,089,988

 

Term Loan, 8.56%, Maturing September 30, 2010

 

1,100,887

 

 

 

FHC Health Systems, Inc.

 

 

 

348,214

 

Term Loan, 9.87%, Maturing December 18, 2009

 

356,920

 

243,750

 

Term Loan, 11.87%, Maturing December 18, 2009

 

248,625

 

750,000

 

Term Loan, 12.87%, Maturing February 7, 2011

 

761,250

 

 

 

Genoa Healthcare Group, LLC

 

 

 

294,000

 

Term Loan, 7.26%, Maturing August 12, 2012

 

298,961

 

 

 

Hanger Orthopedic Group, Inc.

 

 

 

984,924

 

Term Loan, 7.75%, Maturing September 30, 2009

 

1,003,391

 

 

 

Healthcare Partners, LLC

 

 

 

202,438

 

Term Loan, 5.82%, Maturing March 2, 2011

 

204,272

 

 

 

Healthsouth Corp.

 

 

 

886,528

 

Term Loan, 6.53%, Maturing June 14, 2007

 

892,207

 

246,250

 

Term Loan, 3.09%, Maturing March 21, 2010

 

247,827

 

 

 

Kinetic Concepts, Inc.

 

 

 

231,152

 

Term Loan, 5.78%, Maturing August 11, 2009

 

234,331

 

 

 

Knowledge Learning Corp.

 

 

 

2,102,166

 

Term Loan, 6.35%, Maturing January 7, 2012

 

2,114,428

 

 

 

Leiner Health Products, Inc.

 

 

 

528,313

 

Term Loan, 7.70%, Maturing May 27, 2011

 

527,982

 

 

 

Lifepoint Hospitals, Inc.

 

 

 

2,205,691

 

Term Loan, 5.44%, Maturing April 15, 2012

 

2,231,096

 

 

12




 

 

 

 

 

Magellan Health Services, Inc.

 

 

 

$

457,958

 

Term Loan, 3.56%, Maturing August 15, 2008

 

$

463,110

 

623,968

 

Term Loan, 5.87%, Maturing August 15, 2008

 

630,987

 

 

 

Medcath Holdings Corp.

 

 

 

246,875

 

Term Loan, 6.29%, Maturing July 2, 2011

 

250,193

 

 

 

National Mentor, Inc.

 

 

 

908,851

 

Term Loan, 6.25%, Maturing September 30, 2011

 

920,211

 

 

 

Select Medical Holding Corp.

 

 

 

773,062

 

Term Loan, 5.57%, Maturing February 24, 2012

 

776,230

 

 

 

Sunrise Medical Holdings, Inc.

 

 

 

491,505

 

Term Loan, 7.07%, Maturing May 13, 2010

 

492,119

 

 

 

Sybron Dental Management, Inc.

 

 

 

684,764

 

Term Loan, 5.69%, Maturing June 6, 2009

 

690,756

 

 

 

Talecris Biotherapeutics, Inc.

 

 

 

538,650

 

Term Loan, 7.10%, Maturing March 31, 2010

 

538,650

 

 

 

Team Health, Inc.

 

 

 

921,295

 

Term Loan, 6.77%, Maturing March 23, 2011

 

925,902

 

 

 

Vanguard Health Holding Co.

 

 

 

1,650,025

 

Term Loan, 6.21%, Maturing September 23, 2011

 

1,650,025

 

 

 

VWR International, Inc.

 

 

 

617,850

 

Term Loan, 6.14%, Maturing April 7, 2011

 

627,697

 

 

 

 

 

$

28,231,342

 

Home Furnishings — 3.2%

 

 

 

 

 

Interline Brands, Inc.

 

 

 

1,525,037

 

Term Loan, 6.27%, Maturing December 31, 2010

 

1,538,381

 

 

 

Jarden Corp.

 

 

 

1,122,188

 

Term Loan, 5.69%, Maturing January 24, 2012

 

1,130,183

 

1,593,475

 

Term Loan, 6.02%, Maturing January 24, 2012

 

1,608,555

 

 

 

Knoll, Inc.

 

 

 

1,440,424

 

Term Loan, 8.02%, Maturing September 30, 2011

 

1,449,426

 

 

 

National Bedding Company, LLC

 

 

 

350,000

 

Term Loan, 8.88%, Maturing August 31, 2012

 

353,500

 

 

 

Sealy Mattress Co.

 

 

 

1,221,239

 

Term Loan, 5.57%, Maturing April 6, 2012

 

1,236,314

 

 

 

Simmons Co.

 

 

 

1,910,967

 

Term Loan, 5.90%, Maturing December 19, 2011

 

1,941,223

 

 

 

Termpur-Pedic, Inc.

 

 

 

980,000

 

Term Loan, 7.25%, Maturing June 30, 2009

 

991,638

 

 

 

 

 

$

10,249,220

 

Industrial Equipment — 1.7%

 

 

 

 

 

Alliance Laundry Holdings, LLC

 

 

 

261,800

 

Term Loan, 5.97%, Maturing January 27, 2012

 

266,054

 

 

 

Chart Industries, Inc.

 

 

 

1,052,988

 

Term Loan, 7.25%, Maturing September 15, 2009

 

1,055,620

 

 

13




 

 

 

 

 

Colfax Corp.

 

 

 

$

597,851

 

Term Loan, 6.31%, Maturing November 30, 2011

 

$

604,453

 

 

 

Flowserve Corp.

 

 

 

1,160,000

 

Term Loan, 5.81%, Maturing August 10, 2012

 

1,177,545

 

 

 

Gleason Corp.

 

 

 

254,364

 

Term Loan, 6.58%, Maturing July 27, 2011

 

257,543

 

750,000

 

Term Loan, 9.42%, Maturing January 31, 2012

 

763,125

 

 

 

Itron, Inc.

 

 

 

151,160

 

Term Loan, 5.80%, Maturing December 17, 2010

 

152,955

 

 

 

Mainline, L.P.

 

 

 

782,889

 

Term Loan, 6.30%, Maturing December 17, 2011

 

786,803

 

 

 

Rexnord Corp.

 

 

 

511,141

 

Term Loan, 6.14%, Maturing December 31, 2011

 

518,595

 

 

 

 

 

$

5,582,693

 

Insurance — 2.7%

 

 

 

 

 

Alliant Resources Group, Inc.

 

 

 

990,000

 

Term Loan, 7.34%, Maturing August 31, 2011

 

999,900

 

 

 

CCC Information Services Group

 

 

 

1,033,811

 

Term Loan, 6.59%, Maturing August 20, 2010

 

1,049,318

 

 

 

Conseco, Inc.

 

 

 

1,689,267

 

Term Loan, 5.77%, Maturing June 22, 2010

 

1,710,912

 

 

 

Hilb, Rogal & Hobbs Co.

 

 

 

3,302,221

 

Term Loan, 6.31%, Maturing December 15, 2011

 

3,339,371

 

 

 

U.S.I. Holdings Corp.

 

 

 

980,000

 

Term Loan, 6.18%, Maturing August 11, 2008

 

984,288

 

666,650

 

Term Loan, 6.18%, Maturing August 11, 2008

 

669,567

 

 

 

 

 

$

8,753,356

 

Leisure Goods / Activities / Movies — 7.8%

 

 

 

 

 

24 Hour Fitness Worldwide, Inc.

 

 

 

900,000

 

Term Loan, 6.78%, Maturing June 8, 2012

 

915,187

 

 

 

Alliance Atlantis Communications, Inc.

 

 

 

337,305

 

Term Loan, 5.59%, Maturing December 20, 2011

 

341,521

 

 

 

AMF Bowling Worldwide, Inc.

 

 

 

348,288

 

Term Loan, 6.74%, Maturing August 27, 2009

 

351,662

 

 

 

Cinemark, Inc.

 

 

 

1,970,000

 

Term Loan, 5.18%, Maturing March 31, 2011

 

1,997,580

 

 

 

Fender Musical Instruments Co.

 

 

 

375,000

 

Term Loan, 8.10%, Maturing March 30, 2012

 

382,500

 

 

 

Loews Cineplex Entertainment Corp.

 

 

 

2,073,007

 

Term Loan, 5.88%, Maturing July 30, 2011

 

2,087,098

 

 

 

Mega Blocks, Inc.

 

 

 

850,000

 

Term Loan, 5.60%, Maturing July 26, 2012

 

861,688

 

 

 

Metro-Goldwyn-Mayer Holdings

 

 

 

5,390,000

 

Term Loan, 6.27%, Maturing April 8, 2012

 

5,460,744

 

 

14




 

 

 

 

 

Regal Cinemas Corp.

 

 

 

$

4,441,107

 

Term Loan, 6.02%, Maturing November 10, 2010

 

$

4,492,459

 

 

 

Six Flags Theme Parks, Inc.

 

 

 

750,000

 

Revolving Loan, 2.37%, Maturing June 30, 2008 (2)

 

747,812

 

2,235,312

 

Term Loan, 6.36%, Maturing June 30, 2008

 

2,263,653

 

 

 

Universal City Development Partners, Ltd.

 

 

 

1,002,425

 

Term Loan, 5.69%, Maturing June 9, 2011

 

1,016,626

 

 

 

WMG Acquisition Corp.

 

 

 

450,000

 

Revolving Loan, 0.00%, Maturing February 28, 2010 (2)

 

439,594

 

3,609,688

 

Term Loan, 5.70%, Maturing February 28, 2011

 

3,655,560

 

 

 

 

 

$

25,013,684

 

Lodging and Casinos — 5.4%

 

 

 

 

 

Alliance Gaming Corp.

 

 

 

1,707,256

 

Term Loan, 6.77%, Maturing September 5, 2009

 

1,708,590

 

 

 

Ameristar Casinos, Inc.

 

 

 

272,712

 

Term Loan, 5.81%, Maturing December 20, 2006

 

274,417

 

1,090,103

 

Term Loan, 5.81%, Maturing December 31, 2006

 

1,096,916

 

 

 

Argosy Gaming Co.

 

 

 

1,138,500

 

Term Loan, 7.25%, Maturing June 30, 2011

 

1,140,398

 

 

 

CCM Merger, Inc.

 

 

 

1,027,425

 

Term Loan, 5.93%, Maturing April 25, 2012

 

1,038,984

 

 

 

CNL Resort Hotel, L.P.

 

 

 

850,000

 

Term Loan, 6.56%, Maturing August 18, 2006

 

852,125

 

 

 

Globalcash Access, LLC

 

 

 

277,547

 

Term Loan, 6.09%, Maturing March 10, 2010

 

281,970

 

 

 

Isle of Capri Casinos, Inc.

 

 

 

1,205,888

 

Term Loan, 5.49%, Maturing February 4, 2012

 

1,220,585

 

 

 

Marina District Finance Co., Inc.

 

 

 

1,463,938

 

Term Loan, 5.59%, Maturing October 14, 2011

 

1,477,051

 

 

 

MGM Mirage

 

 

 

428,571

 

Term Loan, 5.13%, Maturing April 25, 2010

 

430,803

 

1,571,429

 

Revolving Loan, 5.19%, Maturing April 25, 2010 (2)

 

1,554,405

 

 

 

Pinnacle Entertainment, Inc.

 

 

 

735,000

 

Term Loan, 6.85%, Maturing August 27, 2010

 

741,661

 

297,382

 

Term Loan, 7.29%, Maturing August 27, 2010

 

300,263

 

 

 

Resorts International Holdings, LLC

 

 

 

1,062,574

 

Term Loan, 6.53%, Maturing April 26, 2012

 

1,071,606

 

485,000

 

Term Loan, 9.77%, Maturing April 26, 2013

 

487,122

 

 

 

Seminole Tribe of Florida

 

 

 

350,000

 

Term Loan, 5.38%, Maturing September 30, 2011

 

355,688

 

 

 

Venetian Casino Resort, LLC

 

 

 

2,031,035

 

Term Loan, 5.77%, Maturing June 15, 2011

 

2,051,187

 

418,770

 

Term Loan, 5.77%, Maturing June 15, 2011

 

422,925

 

 

 

Wynn Las Vegas, LLC

 

 

 

665,000

 

Term Loan, 5.95%, Maturing December 14, 2011

 

673,229

 

 

 

 

 

$

17,179,925

 

 

15




 

 

Nonferrous Metals / Minerals — 2.7%

 

 

 

 

 

Compass Minerals Group, Inc.

 

 

 

$

107,941

 

Term Loan, 6.47%, Maturing November 28, 2009

 

$

108,481

 

 

 

Foundation Coal Corp.

 

 

 

737,766

 

Term Loan, 5.73%, Maturing July 30, 2011

 

751,343

 

 

 

ICG, LLC

 

 

 

471,438

 

Term Loan, 6.43%, Maturing November 5, 2010

 

474,581

 

 

 

International Mill Service, Inc.

 

 

 

248,125

 

Term Loan, 6.35%, Maturing December 31, 2010

 

250,606

 

1,000,000

 

Term Loan, 9.60%, Maturing October 26, 2011

 

1,015,000

 

 

 

Longyear Holdings, Inc.

 

 

 

219,450

 

Term Loan, 6.53%, Maturing July 28, 2012

 

223,290

 

54,863

 

Term Loan, 6.53%, Maturing July 28, 2012

 

55,823

 

 

 

Magnequench International, Inc.

 

 

 

1,225,000

 

Term Loan, 7.36%, Maturing August 31, 2009

 

1,228,063

 

 

 

Murray Energy Corp.

 

 

 

746,250

 

Term Loan, 6.86%, Maturing January 28, 2010

 

751,380

 

 

 

Novelis, Inc.

 

 

 

542,635

 

Term Loan, 5.46%, Maturing January 6, 2012

 

549,630

 

940,827

 

Term Loan, 5.46%, Maturing January 6, 2012

 

952,955

 

 

 

Stillwater Mining Co.

 

 

 

833,078

 

Term Loan, 7.13%, Maturing July 30, 2010

 

849,740

 

 

 

Trout Coal Holdings, LLC

 

 

 

497,500

 

Term Loan, 6.53%, Maturing March 23, 2011

 

499,055

 

1,000,000

 

Term Loan, 10.00%, Maturing March 23, 2012

 

1,010,625

 

 

 

 

 

$

8,720,572

 

Oil and Gas — 5.8%

 

 

 

 

 

Coffeyville Resources, LLC

 

 

 

450,000

 

Term Loan, 10.81%, Maturing June 24, 2013

 

467,438

 

 

 

Dresser Rand Group, Inc.

 

 

 

329,796

 

Term Loan, 6.05%, Maturing October 29, 2011

 

335,516

 

 

 

Dresser, Inc.

 

 

 

254,878

 

Term Loan, 6.35%, Maturing March 31, 2007

 

257,427

 

 

 

Dynegy Holdings, Inc.

 

 

 

2,616,875

 

Term Loan, 7.84%, Maturing May 28, 2010

 

2,630,504

 

 

 

El Paso Corp.

 

 

 

1,071,750

 

Term Loan, 5.27%, Maturing November 23, 2009

 

1,084,700

 

2,251,646

 

Term Loan, 6.81%, Maturing November 23, 2009

 

2,280,886

 

 

 

Epco Holdings, Inc.

 

 

 

620,000

 

Term Loan, 6.04%, Maturing August 18, 2010

 

630,898

 

 

 

Kerr-McGee Corp.

 

 

 

885,500

 

Term Loan, 6.11%, Maturing May 24, 2007

 

889,216

 

2,300,000

 

Term Loan, 6.31%, Maturing May 24, 2011

 

2,314,232

 

 

 

Key Energy Services, Inc.

 

 

 

640,000

 

Term Loan, 0.00%, Maturing June 30, 2012 (2)

 

650,800

 

 

16




 

 

 

 

 

LB Pacific, L.P.

 

 

 

$

543,638

 

Term Loan, 6.80%, Maturing March 3, 2012

 

$

551,792

 

 

 

Lyondell-Citgo Refining, L.P.

 

 

 

938,125

 

Term Loan, 5.51%, Maturing May 21, 2007

 

952,783

 

 

 

Petrohawk Energy Corp.

 

 

 

985,000

 

Term Loan, 9.25%, Maturing July 28, 2010

 

997,313

 

 

 

Sprague Energy Corp.

 

 

 

1,000,000

 

Revolving Loan, 5.47%, Maturing August 10, 2007 (2)

 

997,500

 

 

 

Universal Compression, Inc.

 

 

 

553,613

 

Term Loan, 7.50%, Maturing February 15, 2012

 

560,187

 

 

 

Williams Production RMT Co.

 

 

 

2,937,687

 

Term Loan, 6.02%, Maturing May 30, 2008

 

2,974,408

 

 

 

 

 

$

18,575,600

 

Publishing — 5.8%

 

 

 

 

 

American Media Operations, Inc.

 

 

 

72,072

 

Term Loan, 6.50%, Maturing April 1, 2006

 

72,793

 

1,092,973

 

Term Loan, 6.25%, Maturing April 1, 2007

 

1,108,002

 

869,370

 

Term Loan, 6.25%, Maturing April 1, 2008

 

881,323

 

 

 

CBD Media, LLC

 

 

 

441,176

 

Term Loan, 6.21%, Maturing December 31, 2009

 

448,070

 

 

 

Dex Media East, LLC

 

 

 

1,549,572

 

Term Loan, 5.48%, Maturing May 8, 2009

 

1,561,436

 

 

 

Dex Media West, LLC

 

 

 

2,005,532

 

Term Loan, 5.51%, Maturing March 9, 2010

 

2,020,852

 

 

 

Freedom Communications Holdings, Inc.

 

 

 

621,497

 

Term Loan, 5.38%, Maturing May 18, 2012

 

629,421

 

 

 

Herald Media, Inc.

 

 

 

148,125

 

Term Loan, 6.78%, Maturing July 22, 2011

 

149,514

 

500,000

 

Term Loan, 9.78%, Maturing January 22, 2012

 

505,000

 

 

 

Liberty Group Operating, Inc.

 

 

 

712,358

 

Term Loan, 6.00%, Maturing February 28, 2012

 

720,075

 

 

 

Merrill Communications, LLC

 

 

 

693,130

 

Term Loan, 6.34%, Maturing February 9, 2009

 

702,445

 

 

 

Morris Publishing Group, LLC

 

 

 

770,000

 

Term Loan, 5.38%, Maturing September 30, 2010

 

778,422

 

1,191,000

 

Term Loan, 5.63%, Maturing March 31, 2011

 

1,206,260

 

 

 

Nebraska Book Co., Inc.

 

 

 

477,725

 

Term Loan, 6.70%, Maturing March 4, 2011

 

482,502

 

 

 

R.H. Donnelley Corp.

 

 

 

94,663

 

Term Loan, 5.69%, Maturing December 31, 2009

 

95,536

 

2,786,117

 

Term Loan, 5.62%, Maturing June 30, 2011

 

2,810,763

 

 

 

Source Media, Inc.

 

 

 

233,412

 

Term Loan, 6.27%, Maturing August 30, 2012

 

236,913

 

250,000

 

Term Loan, 9.29%, Maturing August 30, 2012

 

254,297

 

 

17




 

 

 

 

 

SP Newsprint Co.

 

 

 

 

$

969,921

 

Term Loan, 3.82%, Maturing January 9, 2010

 

$

981,439

 

 

395,076

 

Term Loan, 6.32%, Maturing January 9, 2010

 

399,767

 

 

 

 

Sun Media Corp.

 

 

 

 

2,382,337

 

Term Loan, 5.68%, Maturing February 7, 2009

 

2,413,605

 

 

 

 

 

 

$

18,458,435

 

 

Radio and Television — 5.3%

 

 

 

 

 

 

Adams Outdoor Advertising, L.P.

 

 

 

 

978,632

 

Term Loan, 5.64%, Maturing October 15, 2011

 

993,312

 

 

 

 

ALM Media Holdings, Inc.

 

 

 

 

830,825

 

Term Loan, 6.52%, Maturing March 5, 2010

 

833,594

 

 

 

 

Block Communications, Inc.

 

 

 

 

810,340

 

Term Loan, 6.27%, Maturing November 30, 2009

 

817,937

 

 

 

 

CanWest Media, Inc.

 

 

 

 

1,289,859

 

Term Loan, 6.02%, Maturing August 15, 2009

 

1,296,309

 

 

 

 

DirecTV Holdings, LLC

 

 

 

 

2,086,667

 

Term Loan, 5.34%, Maturing April 13, 2013

 

2,112,967

 

 

 

 

Gray Television, Inc.

 

 

 

 

525,000

 

Term Loan, 5.35%, Maturing December 31, 2012

 

529,102

 

 

 

 

NEP Supershooters, L.P.

 

 

 

 

799,336

 

Term Loan, 12.02%, Maturing August 3, 2011

 

809,328

 

 

 

 

Nexstar Broadcasting, Inc.

 

 

 

980,255

 

Term Loan, 5.77%, Maturing October 1, 2012

 

988,220

 

1,034,745

 

Term Loan, 5.77%, Maturing October 1, 2012

 

1,043,152

 

 

 

PanAmSat Corp.

 

 

 

2,719,273

 

Term Loan, 6.11%, Maturing August 20, 2011

 

2,759,456

 

 

 

Raycom TV Broadcasting, Inc.

 

 

 

1,200,000

 

Term Loan, 6.06%, Maturing February 24, 2012

 

1,209,000

 

 

 

Spanish Broadcasting System

 

 

 

700,000

 

Term Loan, 7.51%, Maturing June 10, 2013

 

710,719

 

 

 

Susquehanna Media Co.

 

 

 

2,636,750

 

Term Loan, 5.77%, Maturing March 9, 2012

 

2,656,526

 

 

 

Young Broadcasting, Inc.

 

 

 

389,025

 

Term Loan, 5.77%, Maturing November 3, 2012

 

392,429

 

 

 

 

 

$

17,152,051

 

Rail Industries — 0.4%

 

 

 

 

 

Kansas City Southern Railway Co.

 

 

 

367,225

 

Term Loan, 5.59%, Maturing March 30, 2008

 

371,509

 

 

 

Railamerica, Inc.

 

 

 

79,778

 

Term Loan, 5.88%, Maturing September 29, 2011

 

81,257

 

674,875

 

Term Loan, 5.90%, Maturing September 29, 2011

 

687,389

 

 

 

 

 

$

1,140,155

 

 

18




 

 

 

Retailers (Except Food and Drug) — 5.1%

 

 

 

 

 

American Achievement Corp.

 

 

 

$

313,347

 

Term Loan, 6.52%, Maturing March 25, 2011

 

$

314,914

 

 

 

Amscan Holdings, Inc.

 

 

 

495,000

 

Term Loan, 6.47%, Maturing April 30, 2012

 

498,094

 

 

 

Coinmach Laundry Corp.

 

 

 

3,605,066

 

Term Loan, 6.75%, Maturing July 25, 2009

 

3,656,889

 

 

 

FTD, Inc.

 

 

 

404,636

 

Term Loan, 6.19%, Maturing February 28, 2011

 

410,453

 

 

 

Harbor Freight Tools USA, Inc.

 

 

 

990,003

 

Term Loan, 6.29%, Maturing July 15, 2010

 

1,002,626

 

 

 

Home Interiors & Gifts, Inc.

 

 

 

665,470

 

Term Loan, 8.85%, Maturing March 31, 2011

 

612,232

 

 

 

Josten’s Corp.

 

 

 

2,299,000

 

Term Loan, 5.94%, Maturing October 4, 2010

 

2,337,796

 

 

 

Mapco Express, Inc.

 

 

 

326,183

 

Term Loan, 8.50%, Maturing April 28, 2011

 

331,483

 

 

 

Movie Gallery, Inc.

 

 

 

570,000

 

Term Loan, 7.24%, Maturing April 27, 2011

 

568,433

 

 

 

Musicland Group, Inc.

 

 

 

1,000,000

 

Revolving Loan, 8.32%, Maturing August 11, 2008 (2)

 

1,002,500

 

 

 

Oriental Trading Co., Inc.

 

 

 

1,767,676

 

Term Loan, 6.31%, Maturing August 4, 2010

 

1,780,933

 

 

 

Rent-A-Center, Inc.

 

 

 

1,283,465

 

Term Loan, 5.46%, Maturing June 30, 2010

 

1,299,348

 

 

 

Savers, Inc.

 

 

 

351,974

 

Term Loan, 6.39%, Maturing August 4, 2009

 

355,494

 

500,000

 

Term Loan, 10.48%, Maturing August 4, 2010

 

506,250

 

 

 

Travelcenters of America, Inc.

 

 

 

1,660,000

 

Term Loan, 5.71%, Maturing November 30, 2008

 

1,679,971

 

 

 

 

 

$

16,357,416

 

Surface Transport — 0.4%

 

 

 

 

 

Horizon Lines, LLC

 

 

 

246,875

 

Term Loan, 6.27%, Maturing July 7, 2011

 

250,578

 

 

 

Sirva Worldwide, Inc.

 

 

 

1,197,059

 

Term Loan, 6.93%, Maturing December 1, 2010

 

1,149,176

 

 

 

 

 

$

1,399,754

 

Telecommunications — 6.5%

 

 

 

 

 

AAT Communications Corp.

 

 

 

660,000

 

Term Loan, 6.61%, Maturing July 29, 2013

 

671,757

 

 

 

Alaska Communications Systems Holdings, Inc.

 

 

 

530,000

 

Term Loan, 6.02%, Maturing February 1, 2011

 

538,226

 

 

 

American Tower, L.P.

 

 

 

1,129,325

 

Term Loan, 4.96%, Maturing August 31, 2011

 

1,135,443

 

 

19




 

 

 

 

 

Cellular South, Inc.

 

 

 

$

345,625

 

Term Loan, 5.46%, Maturing May 4, 2011

 

$

349,297

 

 

 

Centennial Cellular Operating Co., LLC

 

 

 

1,970,000

 

Term Loan, 6.34%, Maturing February 9, 2011

 

1,992,690

 

 

 

Cincinnati Bell, Inc.

 

 

 

350,000

 

Term Loan, 5.29%, Maturing August 31, 2012

 

352,990

 

 

 

Consolidated Communications, Inc.

 

 

 

2,244,965

 

Term Loan, 6.17%, Maturing July 27, 2015

 

2,275,834

 

 

 

D&E Communications, Inc.

 

 

 

467,812

 

Term Loan, 5.86%, Maturing December 31, 2011

 

471,321

 

 

 

Fairpoint Communications, Inc.

 

 

 

1,130,000

 

Term Loan, 5.81%, Maturing February 8, 2012

 

1,144,479

 

 

 

Hawaiian Telcom Communications, Inc.

 

 

 

400,000

 

Term Loan, 6.28%, Maturing October 31, 2012

 

405,062

 

 

 

Iowa Telecommunications Services, Inc.

 

 

 

334,000

 

Term Loan, 5.71%, Maturing November 23, 2011

 

338,906

 

 

 

IPC Acquisition Corp.

 

 

 

250,000

 

Term Loan, 6.59%, Maturing August 5, 2011

 

253,646

 

 

 

Madison River Capital, LLC

 

 

 

290,000

 

Term Loan, 6.22%, Maturing July 29, 2012

 

294,894

 

 

 

NTelos, Inc.

 

 

 

1,141,375

 

Term Loan, 6.53%, Maturing February 18, 2011

 

1,152,931

 

 

 

Qwest Corp.

 

 

 

2,000,000

 

Term Loan, 8.53%, Maturing June 4, 2007

 

2,067,084

 

 

 

SBA Senior Finance, Inc.

 

 

 

1,946,711

 

Term Loan, 6.04%, Maturing October 31, 2008

 

1,963,340

 

 

 

Spectrasite Communications, Inc.

 

 

 

1,216,805

 

Term Loan, 5.27%, Maturing May 19, 2012

 

1,225,551

 

 

 

SSA Global Technologies, Inc.

 

 

 

250,000

 

Term Loan, 5.97%, Maturing September 22, 2011

 

251,563

 

 

 

Stratos Global Corp.

 

 

 

805,000

 

Term Loan, 6.27%, Maturing December 3, 2010

 

807,768

 

 

 

Triton PCS, Inc.

 

 

 

823,775

 

Term Loan, 7.01%, Maturing November 18, 2009

 

832,271

 

 

 

Valor Telecom Enterprise, LLC

 

 

 

1,203,500

 

Term Loan, 5.78%, Maturing February 14, 2012

 

1,220,693

 

 

 

Westcom Corp.

 

 

 

463,867

 

Term Loan, 6.43%, Maturing December 17, 2010

 

467,346

 

600,000

 

Term Loan, 10.68%, Maturing May 17, 2011

 

611,625

 

 

 

Winstar Communications, Inc.

 

 

 

169,348

 

DIP Loan, 0.00%, Maturing December 31, 2005 (3)(4)

 

62,659

 

 

 

 

 

$

20,887,376

 

Utilities — 3.7%

 

 

 

 

 

Allegheny Energy Supply Co., LLC

 

 

 

1,631,876

 

Term Loan, 5.77%, Maturing March 8, 2011

 

1,656,966

 

 

20




 

 

 

 

 

Cellnet Technology, Inc.

 

 

 

$

314,213

 

Term Loan, 6.68%, Maturing April 26, 2012

 

$

316,569

 

 

 

Cogentrix Delaware Holdings, Inc.

 

 

 

790,392

 

Term Loan, 5.78%, Maturing January 14, 2012

 

802,577

 

 

 

Covanta Energy Corp.

 

 

 

561,138

 

Term Loan, 3.86%, Maturing June 24, 2012

 

570,958

 

452,727

 

Term Loan, 6.96%, Maturing June 24, 2012

 

460,650

 

350,000

 

Term Loan, 9.40%, Maturing June 24, 2013

 

352,625

 

 

 

Energy Transfer Company, L.P.

 

 

 

865,000

 

Term Loan, 6.81%, Maturing June 16, 2012

 

876,678

 

 

 

KGen, LLC

 

 

 

477,600

 

Term Loan, 6.65%, Maturing August 5, 2011

 

477,003

 

 

 

La Paloma Generating Co., LLC

 

 

 

29,508

 

Term Loan, 5.54%, Maturing August 16, 2012

 

29,914

 

180,000

 

Term Loan, 5.77%, Maturing August 16, 2012

 

182,475

 

15,492

 

Term Loan, 5.77%, Maturing August 16, 2012

 

15,705

 

 

 

NRG Energy, Inc.

 

 

 

865,427

 

Term Loan, 3.92%, Maturing December 24, 2011

 

874,802

 

1,092,459

 

Term Loan, 5.90%, Maturing December 24, 2011

 

1,104,293

 

 

 

Pike Electric, Inc.

 

 

 

 

182,287

 

Term Loan, 6.00%, Maturing July 1, 2012

 

184,565

 

 

311,290

 

Term Loan, 6.06%, Maturing July 1, 2012

 

315,181

 

 

 

 

Plains Resources, Inc.

 

 

 

 

1,336,653

 

Term Loan, 5.85%, Maturing December 17, 2010

 

1,357,538

 

 

 

 

Reliant Energy, Inc.

 

 

 

 

758,019

 

Term Loan, 6.10%, Maturing December 22, 2010

 

762,960

 

 

 

 

Texas Genco, LLC

 

 

 

 

473,827

 

Term Loan, 5.86%, Maturing December 14, 2011

 

477,751

 

 

1,144,279

 

Term Loan, 5.86%, Maturing December 14, 2011

 

1,153,755

 

 

 

 

 

 

$

11,972,965

 

 

Total Senior Floating Rate Interests
(identified cost $464,499,672)

 

$

468,530,331

 

 

 

Corporate Bonds & Notes — 16.4%

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000’s omitted)

 

Security

 

Value

 

Aerospace and Defense — 0.2%

 

 

 

 

 

Argo Tech Corp., Sr. Notes

 

 

 

$

300

 

9.25%, 6/1/11

 

$

319,500

 

 

 

BE Aerospace, Sr. Sub. Notes, Series B

 

 

 

35

 

8.00%, 3/1/08

 

35,175

 

 

 

Sequa Corp.

 

 

 

300

 

8.875%, 4/1/08

 

313,500

 

21




 

 

 

 

 

Standard Aero Holdings, Inc.

 

 

 

$

15

 

8.25%, 9/1/14

 

$

14,587

 

 

 

 

 

$

682,762

 

Air Transport — 0.4%

 

 

 

 

 

American Airlines

 

 

 

895

 

7.80%, 10/1/06

 

857,430

 

15

 

8.608%, 4/1/11

 

14,048

 

20

 

7.858%, 10/1/11

 

20,479

 

 

 

Continental Airlines

 

 

 

257

 

7.033%, 6/15/11

 

230,629

 

 

 

Delta Air Lines

 

 

 

6

 

7.779%, 11/18/05

 

3,409

 

69

 

9.50%, 11/18/08 (4)(5)

 

52,095

 

 

 

 

 

$

1,178,090

 

Automotive — 0.6%

 

 

 

 

 

Altra Industrial Motion, Inc.

 

 

 

35

 

9.00%, 12/1/11 (5)

 

34,475

 

 

 

Commercial Vehicle Group, Inc., Sr. Notes

 

 

 

55

 

8.00%, 7/1/13 (5)

 

55,550

 

 

 

Dana Credit Corp.

 

 

 

50

 

8.375%, 8/15/07 (5)

 

49,693

 

 

 

Delphi Corp.

 

 

 

140

 

6.55%, 6/15/06

 

103,600

 

 

 

Ford Motor Credit Co.

 

 

 

570

 

7.875%, 6/15/10

 

555,206

 

 

 

General Motors Acceptance Corp.

 

 

 

25

 

6.125%, 9/15/06

 

25,085

 

 

 

Keystone Automotive Operations, Inc., Sr. Sub. Notes

 

 

 

470

 

9.75%, 11/1/13

 

470,000

 

 

 

Metaldyne Corp., Sr. Notes

 

 

 

90

 

10.00%, 11/1/13 (5)

 

78,750

 

 

 

Tenneco Automotive, Inc.

 

 

 

140

 

8.625%, 11/15/14

 

141,750

 

 

 

Tenneco Automotive, Inc., Series B

 

 

 

230

 

10.25%, 7/15/13

 

258,175

 

 

 

TRW Automotive, Inc., Sr. Sub. Notes

 

 

 

65

 

11.00%, 2/15/13

 

73,612

 

 

 

United Components, Inc., Sr. Sub. Notes

 

 

 

65

 

9.375%, 6/15/13

 

65,000

 

 

 

Visteon Corp., Sr. Notes

 

 

 

95

 

8.25%, 8/1/10

 

90,725

 

 

 

 

 

$

2,001,621

 

22




 

 

 

Brokers / Dealers / Investment Houses — 0.2%

 

 

 

 

 

E*Trade Financial Corp., Sr. Notes

 

 

 

$

160

 

8.00%, 6/15/11

 

$

166,000

 

235

 

7.375%, 9/15/13 (5)

 

238,525

 

 

 

Refco Finance Holdings, LLC

 

 

 

237

 

9.00%, 8/1/12

 

258,922

 

 

 

Residential Capital Corp.

 

 

 

85

 

6.875%, 6/30/15 (5)

 

89,103

 

 

 

 

 

$

752,550

 

Building and Development — 0.4%

 

 

 

 

 

Coleman Cable, Inc.

 

 

 

60

 

9.875%, 10/1/12

 

53,175

 

 

 

General Cable Corp., Sr. Notes

 

 

 

85

 

9.50%, 11/15/10

 

89,887

 

 

 

Interface, Inc., Sr. Sub. Notes

 

 

 

20

 

9.50%, 2/1/14

 

20,100

 

 

 

MAAX Corp., Sr. Sub. Notes

 

 

 

65

 

9.75%, 6/15/12

 

56,875

 

 

 

Mueller Group, Inc., Sr. Sub. Notes

 

 

 

185

 

10.00%, 5/1/12

 

197,025

 

 

 

Mueller Holdings, Inc., Disc. Notes

 

 

 

160

 

14.75%, 4/15/14

 

117,600

 

 

 

Nortek, Inc., Sr. Sub Notes

 

 

 

245

 

8.50%, 9/1/14

 

226,625

 

 

 

NTK Holdings, Inc., Sr. Discount Notes

 

 

 

115

 

0.00%, 3/1/14

 

64,975

 

 

 

Panolam Industries International, Sr. Sub Notes

 

 

 

105

 

10.75%, 10/1/13 (5)

 

104,212

 

 

 

Ply Gem Industries, Inc., Sr. Sub. Notes

 

 

 

75

 

9.00%, 2/15/12

 

63,375

 

 

 

RMCC Acquisition Co., Sr. Sub. Notes

 

 

 

180

 

9.50%, 11/1/12 (5)

 

182,700

 

 

 

Stanley-Martin Co.

 

 

 

40

 

9.75%, 8/15/15 (5)

 

39,300

 

 

 

 

 

$

1,215,849

 

Business Equipment and Services — 0.5%

 

 

 

 

 

Aearo Co. I, Sr. Sub. Notes

 

 

 

65

 

8.25%, 4/15/12

 

65,325

 

 

 

Hydrochem Industrial Services, Inc., Sr. Sub Notes

 

 

 

40

 

9.25%, 2/15/13 (5)

 

37,450

 

 

 

Neff Rental/Neff Finance

 

 

 

145

 

11.25%, 6/15/12 (5)

 

154,425

 

 

 

Norcross Safety Products LLC / Norcross Capital Corp., Sr. Sub. Notes, Series B

 

 

 

170

 

9.875%, 8/15/11

 

183,175

 

23




 

 

 

 

 

NSP Holdings / NSP Holdings Capital Corp., Sr. Notes (PIK)

 

 

 

$

25

 

11.75%, 1/1/12

 

$

25,374

 

 

 

Quintiles Transnational Corp., Sr. Sub. Notes

 

 

 

260

 

10.00%, 10/1/13

 

293,800

 

 

 

Safety Products Holdings, Sr. Notes (PIK)

 

 

 

45

 

11.75%, 1/1/12 (5)

 

45,675

 

 

 

Sungard Data Systems, Inc., Sr. Notes

 

 

 

215

 

9.125%, 8/15/13 (5)

 

223,869

 

 

 

Sungard Data Systems, Inc., Sr. Sub. Notes

 

 

 

185

 

10.25%, 8/15/15 (5)

 

188,237

 

 

 

Unisys Corp., Sr. Notes

 

 

 

45

 

8.00%, 10/15/12

 

44,437

 

210

 

8.50%, 10/15/15

 

209,475

 

 

 

 

 

$

1,471,242

 

Cable and Satellite Television — 0.8%

 

 

 

 

 

Adelphia Communications, Sr. Notes, Series B

 

 

 

270

 

9.25%, 10/1/32 (4)

 

199,800

 

 

 

CCO Holdings LLC / CCO Capital Corp., Sr. Notes

 

 

 

395

 

8.75%, 11/15/13 (5)

 

392,037

 

 

 

Charter Communications Holdings II, LLC, Sr. Notes

 

 

 

120

 

10.25%, 9/15/10

 

123,600

 

 

 

CSC Holdings, Inc., Sr. Notes

 

 

 

160

 

6.75%, 4/15/12 (5)

 

152,000

 

 

 

CSC Holdings, Inc., Sr. Notes, Series B

 

 

 

55

 

7.625%, 4/1/11

 

54,312

 

 

 

CSC Holdings, Inc., Sr. Sub. Notes

 

 

 

85

 

10.50%, 5/15/16

 

91,906

 

 

 

Insight Communications, Sr. Disc. Notes

 

 

 

525

 

12.25%, 2/15/11

 

538,125

 

 

 

Kabel Deutschland GMBH

 

 

 

345

 

10.625%, 7/1/14 (5)

 

382,950

 

 

 

Ono Finance PLC, Sr. Notes

 

 

 

45

 

14.00%, 2/15/11

 

49,556

 

 

 

UGS Corp.

 

 

 

575

 

10.00%, 6/1/12

 

632,500

 

 

 

 

 

$

2,616,786

 

Chemicals and Plastics — 0.7%

 

 

 

 

 

 

Avecia Group PLC

 

 

 

 

25

 

11.00%, 7/1/09

 

25,844

 

 

 

 

Aventine Renewable Energy, Variable Rate

 

 

 

 

55

 

9.87%, 12/15/11 (5)

 

57,475

 

 

 

 

BCP Crystal Holdings Corp., Sr. Sub Notes

 

 

 

 

172

 

9.625%, 6/15/14

 

192,210

 

 

 

 

Borden U.S. Finance / Nova Scotia Finance, Sr. Notes

 

 

 

 

95

 

9.00%, 7/15/14 (5)

 

96,900

 

 

24




 

 

 

 

 

Crystal US Holdings / US Holdings 3, LLC, Sr. Disc. Notes, Series B

 

 

 

$

179

 

10.50%, (0% until 2009), 10/1/14

 

$

126,195

 

 

 

Equistar Chemical, Sr. Notes

 

 

 

110

 

10.625%, 5/1/11

 

120,450

 

 

 

Huntsman International, LLC, Sr. Notes

 

 

 

80

 

9.875%, 3/1/09

 

84,900

 

 

 

Huntsman, LLC

 

 

 

91

 

11.625%, 10/15/10

 

104,422

 

 

 

Innophos, Inc., Sr. Sub. Notes

 

 

 

40

 

8.875%, 8/15/14 (5)

 

41,100

 

 

 

Key Plastics, LLC, Jr. Sub. Notes

 

 

 

74

 

4.00%, 4/26/07 (3)

 

74,950

 

 

 

Key Plastics, LLC, Sr. Sub. Notes

 

 

 

118

 

7.00%, 4/26/07 (3)

 

118,584

 

 

 

Lyondell Chemical Co., Sr. Notes

 

 

 

192

 

10.50%, 6/1/13

 

217,920

 

 

 

Nalco Co., Sr. Sub. Notes

 

 

 

100

 

8.875%, 11/15/13

 

103,125

 

 

 

OM Group, Inc.

 

 

 

460

 

9.25%, 12/15/11

 

470,350

 

 

 

Polyone Corp., Sr. Notes

 

 

 

130

 

10.625%, 5/15/10

 

134,550

 

 

 

Rhodia SA, Sr. Notes

 

 

 

90

 

10.25%, 6/1/10

 

95,625

 

 

 

Solo Cup Co., Sr. Sub. Notes

 

 

 

95

 

8.50%, 2/15/14

 

84,550

 

 

 

 

 

$

2,149,150

 

Clothing / Textiles — 0.4%

 

 

 

 

 

GFSI, Inc., Sr. Sub. Notes, Series B

 

 

 

60

 

9.625%, 3/1/07

 

54,900

 

 

 

Levi Strauss & Co., Sr. Notes

 

 

 

345

 

12.25%, 12/15/12

 

382,950

 

125

 

9.75%, 1/15/15

 

128,125

 

 

 

Levi Strauss & Co., Sr. Notes, Variable Rate

 

 

 

100

 

8.254%, 4/1/12

 

100,250

 

 

 

Oxford Industries, Inc., Sr. Notes

 

 

 

250

 

8.875%, 6/1/11

 

261,250

 

 

 

Perry Ellis International, Inc., Sr. Sub. Notes

 

 

 

120

 

8.875%, 9/15/13

 

123,600

 

 

 

Phillips Van-Heusen, Sr. Notes

 

 

 

40

 

7.25%, 2/15/11

 

40,400

 

100

 

8.125%, 5/1/13

 

105,500

 

 

 

 

 

$

1,196,975

 

 

25




 

 

Conglomerates — 0.2%

 

 

 

 

 

Amsted Industries, Inc., Sr. Notes

 

 

 

$

500

 

10.25%, 10/15/11 (5)

 

$

547,500

 

 

 

Polypore, Inc., Sr. Sub Notes

 

 

 

15

 

8.75%, 5/15/12

 

13,275

 

 

 

Rexnord Corp.

 

 

 

45

 

10.125%, 12/15/12

 

49,500

 

 

 

 

 

$

610,275

 

Containers and Glass Products — 0.2%

 

 

 

 

 

Crown Euro Holdings SA

 

 

 

65

 

9.50%, 3/1/11

 

71,500

 

340

 

10.875%, 3/1/13

 

396,100

 

 

 

Intertape Polymer US, Inc., Sr. Sub. Notes

 

 

 

180

 

8.50%, 8/1/14

 

178,157

 

 

 

Pliant Corp. (PIK)

 

 

 

81

 

11.625%, 6/15/09 (5)

 

86,098

 

 

 

 

 

$

731,855

 

Cosmetics / Toiletries — 0.1%

 

 

 

 

 

Jostens Holding Corp., Sr. Disc. Notes

 

 

 

45

 

10.25%, 12/1/13

 

32,625

 

 

 

Samsonite Corp., Sr. Sub. Notes

 

 

 

195

 

8.875%, 6/1/11

 

208,162

 

 

 

 

 

$

240,787

 

Ecological Services and Equipment — 0.3%

 

 

 

 

 

Aleris International, Inc.

 

 

 

75

 

10.375%, 10/15/10

 

83,062

 

87

 

9.00%, 11/15/14

 

92,220

 

 

 

Allied Waste North America, Series B

 

 

 

165

 

8.875%, 4/1/08

 

172,837

 

 

 

Allied Waste North America, Sr. Notes, Series B

 

 

 

305

 

8.50%, 12/1/08

 

319,487

 

 

 

Waste Services, Inc., Sr. Sub Notes

 

 

 

220

 

9.50%, 4/15/14

 

220,000

 

 

 

 

 

$

887,606

 

Electronics / Electrical — 0.3%

 

 

 

 

 

Advanced Micro Devices, Inc., Sr. Notes

 

 

 

320

 

7.75%, 11/1/12

 

329,600

 

 

 

Amkor Technologies, Inc., Sr. Notes

 

 

 

30

 

7.125%, 3/15/11

 

26,025

 

445

 

7.75%, 5/15/13

 

382,700

 

 

 

CPI Holdco, Inc., Sr. Notes, Variable Rate

 

 

 

50

 

8.83%, 2/1/15

 

49,499

 

26




 

 

 

 

 

Stratus Technologies, Inc., Sr. Notes

 

 

 

$

25

 

10.375%, 12/1/08

 

$

25,375

 

 

 

 

 

$

813,199

 

Equipment Leasing — 0.2%

 

 

 

 

 

Greenbrier Companies, Inc. (The)

 

 

 

200

 

8.375%, 5/15/15

 

209,000

 

 

 

United Rentals North America, Inc.

 

 

 

40

 

6.50%, 2/15/12

 

38,800

 

 

 

United Rentals North America, Inc., Sr. Sub. Notes

 

 

 

370

 

7.00%, 2/15/14

 

345,025

 

 

 

 

 

$

592,825

 

Financial Intermediaries — 1.2%

 

 

 

 

 

Alzette, Variable Rate

 

 

 

500

 

8.691%, 12/15/20

 

512,500

 

 

 

Avalon Capital Ltd. 3, Series 1A, Class D, Variable Rate

 

 

 

380

 

5.78%, 2/24/19 (5)

 

381,368

 

 

 

Babson Ltd., Series 2005-1A, Class C1, Variable Rate

 

 

 

500

 

5.315%, 4/15/19 (5)

 

500,000

 

 

 

Bryant Park CDO Ltd., Series 2005-1A, Class C, Variable Rate

 

 

 

500

 

5.65%, 1/15/19 (5)

 

500,000

 

 

 

Carlyle High Yield Partners, Series 2004-6A, Class C, Variable Rate

 

 

 

500

 

6.23%, 8/11/16 (5)

 

500,000

 

 

 

Centurion CDO 8 Ltd., Series 2005 8A, Class D, Variable Rate

 

 

 

500

 

9.29%, 3/8/17

 

500,000

 

 

 

Centurion CDO 9 Ltd., Series 2005-9A

 

 

 

500

 

8.261%, 7/17/19

 

500,000

 

 

 

Stanfield Vantage Ltd., Series 2005-1A, Class D, Variable Rate

 

 

 

500

 

5.97%, 3/21/17 (5)

 

505,000

 

 

 

 

 

$

3,898,868

 

Food Products — 0.7%

 

 

 

 

 

American Seafood Group, LLC

 

 

 

415

 

10.125%, 4/15/10

 

444,050

 

 

 

ASG Consolidated, LLC / ASG Finance, Inc., Sr. Disc. Notes

 

 

 

220

 

11.50%, (0% until 2008), 11/1/11

 

169,400

 

 

 

Pierre Foods, Inc., Sr. Sub. Notes

 

 

 

175

 

9.875%, 7/15/12

 

181,125

 

 

 

Pinnacle Foods Holdings Corp., Sr. Sub. Notes

 

 

 

1,110

 

8.25%, 12/1/13

 

1,054,500

 

 

 

UAP Holding Corp., Sr. Disc. Notes

 

 

 

265

 

10.75%, 7/15/12

 

226,575

 

 

 

United Agricultural Products, Sr. Notes

 

 

 

50

 

8.25%, 12/15/11

 

53,000

 

 

27




 

 

 

 

 

WH Holdings Ltd. / WH Capital Corp., Sr. Notes

 

 

 

$

42

 

9.50%, 4/1/11

 

$

45,465

 

 

 

 

 

$

2,174,115

 

Food / Drug Retailers — 0.1%

 

 

 

 

 

Rite Aid Corp.

 

 

 

70

 

7.125%, 1/15/07

 

70,787

 

100

 

8.125%, 5/1/10

 

102,500

 

 

 

 

 

$

173,287

 

Forest Products — 0.6%

 

 

 

 

 

Caraustar Industries, Inc.

 

 

 

25

 

7.375%, 6/1/09

 

24,375

 

 

 

Caraustar Industries, Inc., Sr. Sub. Notes

 

 

 

495

 

9.875%, 4/1/11

 

492,525

 

 

 

Domtar, Inc.

 

 

 

155

 

7.125%, 8/1/15

 

142,890

 

 

 

Georgia-Pacific Corp.

 

 

 

145

 

9.50%, 12/1/11

 

171,825

 

180

 

9.375%, 2/1/13

 

201,600

 

 

 

JSG Funding PLC, Sr. Notes

 

 

 

280

 

9.625%, 10/1/12

 

282,800

 

 

 

Newark Group, Inc., Sr. Sub. Notes

 

 

 

90

 

9.75%, 3/15/14

 

80,550

 

 

 

NewPage Corp.

 

 

 

280

 

10.00%, 5/1/12

 

264,600

 

 

 

Norske Skog Canada Ltd., Series D

 

 

 

50

 

8.625%, 6/15/11

 

50,500

 

 

 

Stone Container Corp., Sr. Notes

 

 

 

373

 

9.25%, 2/1/08

 

382,325

 

 

 

 

 

$

2,093,990

 

Healthcare — 0.8%

 

 

 

 

 

AMR HoldCo, Inc. / EmCare HoldCo, Inc., Sr. Sub. Notes

 

 

 

130

 

10.00%, 2/15/15 (5)

 

141,050

 

 

 

Healthsouth Corp.

 

 

 

145

 

7.625%, 6/1/12

 

136,300

 

 

 

Healthsouth Corp., Sr. Notes

 

 

 

145

 

7.375%, 10/1/06

 

144,637

 

100

 

8.375%, 10/1/11

 

95,750

 

 

 

Inverness Medical Innovations, Inc., Sr. Sub. Notes

 

 

 

120

 

8.75%, 2/15/12

 

122,400

 

 

 

Medical Device Manufacturing, Inc., Series B

 

 

 

125

 

10.00%, 7/15/12

 

136,250

 

 

 

Medquest, Inc.

 

 

 

205

 

11.875%, 8/15/12

 

217,300

 

 

 

National Mentor, Inc., Sr. Sub. Notes

 

 

 

125

 

9.625%, 12/1/12 (5)

 

131,250

 

28




 

 

 

 

 

Pacificare Health System

 

 

 

$

146

 

10.75%, 6/1/09

 

$

158,227

 

 

 

Res-Care, Inc., Sr. Notes

 

 

 

105

 

7.75%, 10/15/13 (5)

 

106,050

 

 

 

Rotech Healthcare, Inc.

 

 

 

5

 

9.50%, 4/1/12

 

5,375

 

 

 

Service Corp. International, Sr. Notes

 

 

 

210

 

7.00%, 6/15/17 (5)

 

213,150

 

 

 

US Oncology, Inc.

 

 

 

120

 

9.00%, 8/15/12

 

130,200

 

240

 

10.75%, 8/15/14

 

270,000

 

 

 

Vanguard Health Holding Co. II LLC, Sr. Sub. Notes

 

 

 

255

 

9.00%, 10/1/14

 

272,850

 

 

 

Ventas Realty L.P. / Capital Corp., Sr. Notes

 

 

 

75

 

7.125%, 6/1/15 (5)

 

78,000

 

 

 

VWR International, Inc., Sr. Sub. Notes

 

 

 

160

 

8.00%, 4/15/14

 

156,600

 

 

 

 

 

$

2,515,389

 

Home Furnishings — 0.0%

 

 

 

 

 

Fedders North America, Inc.

 

 

 

95

 

9.875%, 3/1/14

 

71,250

 

 

 

Interline Brands, Inc., Sr. Sub. Notes

 

 

 

32

 

11.50%, 5/15/11

 

36,000

 

 

 

 

 

$

107,250

 

Industrial Equipment — 0.2%

 

 

 

 

 

Case New Holland, Inc., Sr. Notes

 

 

 

110

 

9.25%, 8/1/11

 

116,875

 

 

 

Chart Industries, Inc., Sr. Sub. Notes

 

 

 

105

 

9.125%, 10/15/15 (5)

 

105,000

 

 

 

Manitowoc Co., Inc. (The)

 

 

 

29

 

10.50%, 8/1/12

 

32,552

 

 

 

Milacron Escrow Corp.

 

 

 

195

 

11.50%, 5/15/11

 

192,075

 

 

 

Terex Corp.

 

 

 

70

 

10.375%, 4/1/11

 

75,250

 

 

 

Thermadyne Holdings Corp., Sr. Sub. Notes

 

 

 

165

 

9.25%, 2/1/14

 

151,800

 

 

 

 

 

$

673,552

 

Leisure Goods / Activities / Movies — 0.4%

 

 

 

 

 

AMC Entertainment, Inc., Sr. Sub. Notes

 

 

 

115

 

9.875%, 2/1/12

 

111,263

 

 

 

Loews Cineplex Entertainment Corp.

 

 

 

390

 

9.00%, 8/1/14

 

381,225

 

 

 

Marquee Holdings, Inc., Sr. Disc. Notes

 

 

 

325

 

12.00%, (0% until 2009), 8/15/14

 

196,625

 

29




 

 

 

 

 

Royal Caribbean Cruises, Sr. Notes

 

 

 

$

135

 

8.75%, 2/2/11

 

$

152,213

 

 

 

Six Flags Theme Parks, Inc., Sr. Notes

 

 

 

280

 

8.875%, 2/1/10

 

278,600

 

 

 

Universal City Development Partners, Sr. Notes

 

 

 

150

 

11.75%, 4/1/10

 

170,250

 

 

 

Universal City Florida Holding, Sr. Notes

 

 

 

30

 

8.375%, 5/1/10

 

31,275

 

 

 

 

 

$

1,321,451

 

Lodging and Casinos — 1.1%

 

 

 

 

 

CCM Merger, Inc.

 

 

 

125

 

8.00%, 8/1/13 (5)

 

126,719

 

 

 

Chukchansi EDA, Sr. Notes

 

 

 

230

 

14.50%, 6/15/09 (5)

 

278,300

 

 

 

Eldorado Casino Shreveport

 

 

 

53

 

10.00%, 8/1/12

 

50,117

 

 

 

Host Marriot L.P., Series O

 

 

 

15

 

6.375%, 3/15/15

 

14,625

 

 

 

Inn of the Mountain Gods, Sr. Notes

 

 

 

440

 

12.00%, 11/15/10

 

499,400

 

 

 

Kerzner International, Sr. Sub Note

 

 

 

580

 

6.75%, 10/1/15 (5)

 

564,775

 

 

 

Majestic Star Casino LLC

 

 

 

240

 

9.50%, 10/15/10

 

238,800

 

 

 

Meristar Hospitality Operations / Finance

 

 

 

130

 

10.50%, 6/15/09

 

138,450

 

 

 

Mohegan Tribal Gaming Authority, Sr. Sub. Notes

 

 

 

60

 

8.00%, 4/1/12

 

63,600

 

 

 

OED Corp. / Diamond Jo

 

 

 

140

 

8.75%, 4/15/12

 

138,075

 

 

 

San Pasqual Casino

 

 

 

110

 

8.00%, 9/15/13 (5)

 

111,238

 

 

 

Seneca Gaming Corp., Sr. Notes

 

 

 

105

 

7.25%, 5/1/12

 

108,150

 

130

 

7.25%, 5/1/12 (5)

 

133,900

 

 

 

Station Casinos, Sr. Sub Notes

 

 

 

115

 

6.875%, 3/1/16

 

117,156

 

 

 

Trump Entertainment Resorts, Inc.

 

 

 

375

 

8.50%, 6/1/15

 

363,750

 

 

 

Waterford Gaming LLC, Sr. Notes

 

 

 

379

 

8.625%, 9/15/12 (5)

 

405,530

 

 

 

Wynn Las Vegas, LLC

 

 

 

60

 

6.625%, 12/1/14

 

57,675

 

 

 

 

 

$

3,410,260

 

30




 

 

 

Nonferrous Metals / Minerals — 0.0%

 

 

 

 

 

Alpha Natural Resources, Sr. Notes

 

 

 

$

75

 

10.00%, 6/1/12

 

$

83,625

 

 

 

 

 

$

83,625

 

Oil and Gas — 1.0%

 

 

 

 

 

ANR Pipeline Co.

 

 

 

70

 

8.875%, 3/15/10

 

76,014

 

 

 

Clayton Williams Energy, Inc., Sr. Notes

 

 

 

50

 

7.75%, 8/1/13 (5)

 

49,125

 

 

 

Coastal Corp., Sr. Debs.

 

 

 

130

 

9.625%, 5/15/12

 

144,300

 

 

 

Dresser, Inc.

 

 

 

110

 

9.375%, 4/15/11

 

116,600

 

 

 

Dynegy Holdings, Inc., Debs.

 

 

 

175

 

7.625%, 10/15/26

 

162,750

 

 

 

El Paso Corp.

 

 

 

80

 

6.95%, 12/15/07

 

81,500

 

 

 

El Paso Corp., Sr. Notes

 

 

 

105

 

7.625%, 8/16/07 (5)

 

107,363

 

 

 

El Paso Production Holding Co.

 

 

 

30

 

7.75%, 6/1/13

 

31,500

 

 

 

Giant Industries

 

 

 

130

 

8.00%, 5/15/14

 

136,500

 

 

 

Hanover Compressor Co., Sr. Sub. Notes

 

 

 

355

 

0.00%, 3/31/07

 

321,275

 

 

 

Hanover Equipment Trust, Series B

 

 

 

70

 

8.75%, 9/1/11

 

74,725

 

 

 

Northwest Pipeline Corp.

 

 

 

70

 

8.125%, 3/1/10

 

75,075

 

 

 

Ocean Rig Norway AS, Sr. Notes

 

 

 

50

 

8.375%, 7/1/13 (5)

 

54,375

 

 

 

Parker Drilling Co., Sr. Notes

 

 

 

85

 

9.625%, 10/1/13

 

97,113

 

 

 

Petrobras International Finance Co.

 

 

 

30

 

7.75%, 9/15/14

 

32,625

 

 

 

Plains E&P Co., Sr. Sub. Notes

 

 

 

115

 

8.75%, 7/1/12

 

124,775

 

 

 

Port Arthur Finance Corp.

 

 

 

252

 

12.50%, 1/15/09

 

288,969

 

 

 

Premcor Refining Group, Sr. Notes

 

 

 

210

 

9.50%, 2/1/13

 

237,825

 

 

 

SESI, LLC

 

 

 

95

 

8.875%, 5/15/11

 

100,700

 

31




 

 

 

 

 

Southern Natural Gas

 

 

 

$

50

 

8.875%, 3/15/10

 

$

54,295

 

150

 

8.00%, 3/1/32

 

166,370

 

 

 

Titan Petrochemicals Group Ltd.

 

 

 

35

 

8.50%, 3/18/12 (5)

 

33,863

 

 

 

Transmontaigne, Inc., Sr. Sub. Notes

 

 

 

320

 

9.125%, 6/1/10

 

337,600

 

 

 

United Refining Co., Sr. Notes

 

 

 

225

 

10.50%, 8/15/12

 

239,625

 

 

 

Williams Cos., Inc. (The)

 

 

 

45

 

8.75%, 3/15/32

 

53,325

 

 

 

 

 

$

3,198,187

 

Publishing — 0.3%

 

 

 

 

 

Advanstar Communications, Inc.

 

 

 

185

 

10.75%, 8/15/10

 

207,663

 

 

 

American Media Operations, Inc., Series B

 

 

 

400

 

10.25%, 5/1/09

 

391,000

 

 

 

CBD Media, Inc., Sr. Sub. Notes

 

 

 

70

 

8.625%, 6/1/11

 

72,625

 

 

 

Dex Media West LLC, Sr. Sub. Notes

 

 

 

182

 

9.875%, 8/15/13

 

201,793

 

 

 

Houghton Mifflin Co., Sr. Sub. Notes

 

 

 

190

 

9.875%, 2/1/13

 

202,350

 

 

 

 

 

$

1,075,431

 

Radio and Television — 1.7%

 

 

 

 

 

CanWest Media, Inc.

 

 

 

217

 

8.00%, 9/15/12

 

231,707

 

 

 

CanWest Media, Inc., Sr. Sub. Notes

 

 

 

120

 

10.625%, 5/15/11

 

131,100

 

 

 

Emmis Communications Corp., Sr. Notes, Variable Rate

 

 

 

1,500

 

9.745%, 6/15/12

 

1,518,750

 

 

 

LBI Media, Inc.

 

 

 

90

 

10.125%, 7/15/12

 

97,425

 

 

 

LBI Media, Inc., Sr. Disc. Notes

 

 

 

80

 

11.00%, 10/15/13

 

60,700

 

 

 

LIN Television Corp., Sr. Sub Notes

 

 

 

50

 

6.50%, 5/15/13 (5)

 

47,625

 

 

 

Muzak LLC / Muzak Finance, Sr. Notes

 

 

 

20

 

10.00%, 2/15/09

 

16,800

 

 

 

Nexstar Finance Holdings LLC, Inc., Sr. Disc. Notes

 

 

 

230

 

11.375%, 4/1/13

 

171,350

 

 

 

Nextmedia Operating, Inc.

 

 

 

120

 

10.75%, 7/1/11

 

129,150

 

 

32




 

 

 

 

 

Paxson Communications Corp.

 

 

 

$

60

 

10.75%, 7/15/08

 

$

59,250

 

65

 

12.25%, 1/15/09

 

63,375

 

 

 

Paxson Communications Corp., Variable Rate

 

 

 

2,000

 

6.349%, 1/15/10 (5)

 

2,010,000

 

 

 

Rainbow National Services, LLC, Sr. Notes

 

 

 

100

 

8.75%, 9/1/12 (5)

 

107,125

 

 

 

Rainbow National Services, LLC, Sr. Sub. Debs.

 

 

 

380

 

10.375%, 9/1/14 (5)

 

431,300

 

 

 

Sirius Satellite Radio, Sr. Notes

 

 

 

260

 

9.625%, 8/1/13 (5)

 

250,900

 

 

 

 

 

$

5,326,557

 

Rail Industries — 0.0%

 

 

 

 

 

TFM SA de C.V., Sr. Notes

 

 

 

45

 

12.50%, 6/15/12

 

52,425

 

 

 

 

 

$

52,425

 

Retailers (Except Food and Drug) — 0.3%

 

 

 

 

 

Affinity Group, Inc., Sr. Sub. Notes

 

 

 

220

 

9.00%, 2/15/12

 

221,100

 

 

 

GSC Holdings Corp.

 

 

 

240

 

8.00%, 10/1/12 (5)

 

240,000

 

 

 

GSC Holdings Corp., Variable Rate

 

 

 

260

 

7.875%, 10/1/11 (5)

 

261,625

 

 

 

Neiman Marcus Group, Inc., Sr. Sub Notes

 

 

 

260

 

10.375%, 10/15/15 (5)

 

260,000

 

 

 

 

 

$

982,725

 

Steel — 0.0%

 

 

 

 

 

Ispat Inland ULC, Sr. Notes

 

 

 

127

 

9.75%, 4/1/14

 

147,955

 

 

 

 

 

$

147,955

 

Surface Transport — 0.1%

 

 

 

 

 

Horizon Lines, LLC

 

 

 

150

 

9.00%, 11/1/12

 

161,438

 

 

 

OMI Corp., Sr. Notes

 

 

 

45

 

7.625%, 12/1/13

 

46,800

 

 

 

 

 

$

208,238

 

Telecommunications — 2.2%

 

 

 

 

 

AirGate PCS, Inc., Variable Rate

 

 

 

60

 

7.349%, 10/15/11

 

62,100

 

 

 

Alamosa Delaware, Inc., Sr. Disc. Notes

 

 

 

90

 

12.00%, 7/31/09

 

100,125

 

 

 

Alamosa Delaware, Inc., Sr. Notes

 

 

 

280

 

11.00%, 7/31/10

 

317,100

 

 

33




 

 

 

 

Centennial Cellular Operating Co. / Centennial Communications Corp., Sr. Notes

 

 

 

$

400

 

10.125%, 6/15/13

 

$

452,000

 

 

 

Digicel Ltd., Sr. Notes

 

 

 

100

 

9.25%, 9/1/12 (5)

 

104,000

 

 

 

Inmarsat Finance PLC

 

 

 

153

 

7.625%, 6/30/12

 

158,355

 

 

 

Intelsat Bermuda Ltd., Sr. Notes, Variable Rate

 

 

 

20

 

8.695%, 1/15/12 (5)

 

20,450

 

 

 

Intelsat Ltd., Sr. Notes

 

 

 

565

 

5.25%, 11/1/08

 

522,625

 

 

 

IWO Holdings, Inc.

 

 

 

110

 

10.75%, (0% until 2010), 1/15/15

 

77,825

 

 

 

LCI International, Inc., Sr. Notes

 

 

 

175

 

7.25%, 6/15/07

 

171,500

 

 

 

New Skies Satellites NV, Sr. Notes, Variable Rate

 

 

 

110

 

8.539%, 11/1/11

 

113,850

 

 

 

New Skies Satellites NV, Sr. Sub. Notes

 

 

 

170

 

9.125%, 11/1/12

 

176,800

 

 

 

Nextel Communications, Inc., Sr. Notes

 

 

 

10

 

7.375%, 8/1/15

 

10,715

 

 

 

Qwest Capital Funding, Inc.

 

 

 

220

 

7.75%, 8/15/06

 

223,300

 

100

 

6.375%, 7/15/08

 

98,250

 

 

 

Qwest Communications International, Inc.

 

 

 

60

 

7.25%, 2/15/11

 

58,725

 

 

 

Qwest Communications International, Inc., Sr. Notes

 

 

 

620

 

7.50%, 2/15/14 (5)

 

592,100

 

 

 

Qwest Corp., Sr. Notes

 

 

 

145

 

7.625%, 6/15/15 (5)

 

148,806

 

 

 

Qwest Corp., Sr. Notes, Variable Rate

 

 

 

475

 

7.12%, 6/15/13 (5)

 

496,375

 

 

 

Qwest Services Corp.

 

 

 

238

 

13.50%, 12/15/10

 

273,700

 

 

 

Rogers Wireless, Inc.

 

 

 

165

 

7.50%, 3/15/15

 

178,613

 

 

 

Rogers Wireless, Inc., Sr. Sub. Notes

 

 

 

90

 

8.00%, 12/15/12

 

95,513

 

 

 

Rogers Wireless, Inc., Variable Rate

 

 

 

790

 

6.995%, 12/15/10

 

827,525

 

 

 

Rural Cellular Corp., Variable Rate

 

 

 

1,500

 

8.37%, 3/15/10

 

1,552,500

 

 

 

SBA Telecommunications, Sr. Disc. Notes

 

 

 

70

 

9.75%, 12/15/11

 

63,875

 

34




 

 

 

 

 

UbiquiTel Operating Co., Sr. Notes

 

 

 

$

215

 

9.875%, 3/1/11

 

$

239,725

 

 

 

 

 

$

7,136,452

 

Utilities — 0.2%

 

 

 

 

 

AES Corp., Sr. Notes

 

 

 

15

 

9.375%, 9/15/10

 

16,613

 

15

 

8.75%, 5/15/13 (5)

 

16,500

 

15

 

9.00%, 5/15/15 (5)

 

16,538

 

 

 

Calpine Corp., Sr. Notes

 

 

 

30

 

7.625%, 4/15/06

 

26,550

 

 

 

Mission Energy Holding Co.

 

 

 

115

 

13.50%, 7/15/08

 

135,988

 

 

 

NRG Energy, Inc.

 

 

 

84

 

8.00%, 12/15/13

 

89,880

 

 

 

Orion Power Holdings, Inc., Sr. Notes

 

 

 

380

 

12.00%, 5/1/10

 

459,800

 

 

 

Reliant Energy, Inc.

 

 

 

35

 

9.25%, 7/15/10

 

38,150

 

 

 

 

 

$

800,019

 

Total Corporate Bonds & Notes
(identified cost $51,462,888)

 

$

52,521,348

 

 

Convertible Bonds — 0.2%

Principal
Amount

 

Security

 

Value

 

$

35,000

 

Amkor Technologies, Inc.

 

$

33,469

 

3,583

 

Crown Castle International Corp., (PIK)

 

186,316

 

170,000

 

L-3 Communications Corp. (5)

 

174,675

 

305,000

 

Nortel Networks Ltd.

 

288,606

 

35,000

 

Sinclair Broadcast Group, Inc.

 

31,456

 

Total Convertible Bonds
(identified cost, $694,661)

 

$

714,522

 

 

Common Stocks — 0.4%

Shares

 

Security

 

Value

 

1,152

 

Crown Castle International Corp. (6)

 

$

28,374

 

2,992

 

Environmental Systems Products (3)(6)(7)

 

82,370

 

10,443

 

Hayes Lemmerz International (6)

 

46,158

 

8

 

Knowledge Universe, Inc. (3)(7)

 

13,312

 

24,880

 

Maxim Crane Works, L.P. (6)

 

789,940

 

358

 

Shreveport Gaming Holdings, Inc. (3)(6)

 

6,390

 

18,432

 

Trump Entertainment Resorts, Inc. (6)

 

330,486

 

Total Common Stocks
(identified cost, $804,149)

 

$

1,297,030

 

 

35




 

 

 

Preferred Stocks — 0.1%

Shares

 

Security

 

Value

 

35

 

Hayes Lemmerz International, Series A (3)(6)(7)

 

$

669

 

15

 

Key Plastics, LLC, Series A (3)(6)(7)

 

14,713

 

1,790

 

Williams Cos., Inc. (The) (5)

 

208,311

 

Total Preferred Stocks
(identified cost, $107,406)

 

$

223,693

 

 

Warrants — 0.0%

Shares/Rights

 

Security

 

Value

 

210

 

American Tower Corp., Exp. 8/1/08 (5)(6)

 

$

73,958

 

105

 

Mueller Holdings, Inc., Exp. 4/15/14 (5)(6)

 

37,826

 

Total Warrants
(identified cost, $14,075)

 

$

111,784

 

 

Closed-End Investment Companies — 2.0%

Shares

 

Security

 

Value

 

90,000

 

ING Prime Rate Trust

 

$

611,100

 

725,000

 

Van Kampen Senior Income Trust

 

5,749,250

 

Total Closed-End Investment Companies
(identified cost, $6,291,972)

 

$

6,360,350

 

 

Miscellaneous — 0.0%

Shares

 

Security

 

Value

 

295,000

 

Trump Atlantic City (3)(6)

 

$

11,358

 

Total Miscellaneous
(identified cost, $0)

 

$

11,358

 

 

36




 

 

Short-Term Investments — 4.1%

Principal

 

Maturity

 

 

 

 

 

 

 

Amount

 

Date

 

Borrower

 

Rate

 

Amount

 

$

2,000,000

 

10/03/05

 

Investors Bank and Trust Company Time Deposit

 

3.90

%

$

2,000,000

 

11,293,000

 

10/03/05

 

UBS Finance, LLC, Commercial Paper

 

3.86

%

11,290,578

 

Total Short-Term Investments
(at amortized cost $13,290,578)

 

 

 

$

13,290,578

 

Total Investments — 169.2%
(identified cost $537,165,401)

 

 

 

$

543,060,994

 

Less Unfunded Loan Commitments — (1.1%)

 

 

 

$

(3,430,004

)

Net Investments — 168.1%
(identified cost $533,735,397)

 

 

 

$

539,630,990

 

Other Assets, Less Liabilities — (33.8%)

 

 

 

$

(108,587,920

)

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (34.3%)

 

$

(110,022,977

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

$

321,020,093

 

 

PIK

Payment In Kind.

(1)

 

Senior floating-rate interests often require prepayments from excess cash flows 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 senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(2)

 

Unfunded loan commitments. The Trust may enter into certain agreements all or a portion of which may be unfunded. The Trust is obligated to fund these commitments at the Borrower’s discretion.

(3)

 

Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Trust.

(4)

 

Defaulted security. Currently the issuer is in default with respect to interest payments.

(5)

 

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2005, the aggregate value of the securities is $13,854,289 or 4.3% of the net assets.

(6)

 

Non-income producing security.

(7)

 

Restricted security.

 

37




 

 

A summary of financial instruments at September 30, 2005 is as follows:

The Trust had the following swap agreements outstanding at September 30, 2005:

Credit Default Swaps

Notional
Amount

 

Expiration
Date

 

Description

 

Net
Unrealized
Appreciation
(Depreciation)

 

$

1,200,000

 

9/20/2008

 

Agreement with Credit Suisse/First Boston dated 2/6/04 whereby the Trust will receive 2.45% per year times the notional amount. The Trust makes a payment only upon a default event on underlying loan assets (47 in total, each representing 2.128% of the notional value of the swap).

 

 

$

497

 

 

$

1,500,000

 

3/20/2010

 

Agreement with Lehman Brothers dated 3/15/2005 whereby the Trust will receive 2.20% per year times the notional amount. The Trust makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit Agreement issued by Inergy, L.P.

 

 

$

(10,594

)

 

 

At September 30, 2005, the Trust had sufficient cash and/or securities to cover potential obligations arising from open swap contracts.

The cost and unrealized appreciation (depreciation) in value of the investment securities at September 30, 2005, as computed on a federal income tax basis, were as follows:

Aggregate cost

 

$

537,162,984

 

Gross unrealized appreciation

 

$

7,124,617

 

Gross unrealized depreciation

 

(1,226,607

)

Net unrealized appreciation

 

$

5,898,010

 

 

38




 

 

Restricted Securities

At September 30, 2005, the Trust owned the following securities (representing less than 0.1% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The fair value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

 

 

Date of

 

 

 

 

 

 

 

Description

 

Acquisition

 

Shares/Face

 

Cost

 

Fair Value

 

Common Stocks

 

 

 

 

 

 

 

 

 

 

Environmental Systems Products

 

10/24/00

 

2,992

 

$

0

 

$

82,370

 

 

Knowledge Universe, Inc.

 

5/14/03

 

8

 

8,000

 

13,312

 

 

 

 

 

 

 

 

$

8,000

 

$

95,682

 

 

Preferred Stocks

 

 

 

 

 

 

 

 

 

 

Hayes Lemmerz International, Series A

 

6/04/03

 

35

 

$

1,750

 

$

669

 

 

Key Plastics, LLC, Series A

 

4/26/01

 

15

 

15,231

 

14,713

 

 

 

 

 

 

 

 

$

16,981

 

$

15,382

 

 

 

 

 

 

 

 

$

24,981

 

$

111,064

 

 

 

39




Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.




Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Senior Income Trust

By:

 

/s/ James B. Hawkes

 

 

James B. Hawkes

 

 

President and Principal Executive Officer

Date:

 

November 22, 2005

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

 

/s/ James B. Hawkes

 

 

James B. Hawkes

 

 

President and Principal Executive Officer

Date:

 

November 22, 2005

By:

 

/s/ Barbara E. Campbell

 

 

Barbara E. Campbell

 

 

Treasurer and Principal Financial Officer

Date:

 

November 22, 2005