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)

 

(Zip code)

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:

 

March 31, 2006

 

 




Item 1. Schedule of Investments




Eaton Vance Senior Income Trust                                                                                                   as of March 31, 2006

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating Rate Interests — 148.0% (1)

Principal

 

 

 

 

 

Amount

 

Borrower/Tranche Description

 

Value

 

Aerospace and Defense — 3.1%

 

 

 

 

 

Alliant Techsystems, Inc.

 

 

 

$

315,000

 

Term Loan, 5.81%, Maturing March 31, 2009

 

$

316,378

 

 

 

Delta Air Lines, Inc.

 

 

 

1,275,000

 

Term Loan, 13.51%, Maturing March 16, 2008

 

1,317,234

 

 

 

Dresser Rand Group, Inc.

 

 

 

228,107

 

Term Loan, 6.92%, Maturing October 29, 2011

 

232,241

 

 

 

DRS Technologies, Inc.

 

 

 

550,000

 

Term Loan, 6.28%, Maturing January 31, 2013

 

556,273

 

 

 

Hexcel Corp.

 

 

 

534,333

 

Term Loan, 6.38%, Maturing March 1, 2012

 

540,345

 

 

 

IAP Worldwide Services, Inc.

 

 

 

523,688

 

Term Loan, 8.00%, Maturing December 30, 2012

 

530,888

 

 

 

K&F Industries, Inc.

 

 

 

847,088

 

Term Loan, 7.01%, Maturing November 18, 2012

 

859,265

 

 

 

Mid-Western Aircraft Systems, Inc.

 

 

 

744,997

 

Term Loan, 6.85%, Maturing December 31, 2011

 

757,569

 

 

 

Standard Aero Holdings, Inc.

 

 

 

1,067,635

 

Term Loan, 7.00%, Maturing August 24, 2012

 

1,067,970

 

 

 

Transdigm, Inc.

 

 

 

1,960,000

 

Term Loan, 6.99%, Maturing July 22, 2010

 

1,988,788

 

 

 

Vought Aircraft Industries, Inc.

 

 

 

1,121,647

 

Term Loan, 7.33%, Maturing December 22, 2011

 

1,135,668

 

 

 

Wam Aquisition, S.A.

 

 

 

362,670

 

Term Loan, 7.73%, Maturing April 8, 2013

 

366,720

 

362,670

 

Term Loan, 8.23%, Maturing April 8, 2014

 

368,412

 

 

 

 

 

$

10,037,751

 

Air Transport — 0.3%

 

 

 

 

 

United Airlines, Inc.

 

 

 

743,750

 

Term Loan, 8.63%, Maturing February 1, 2012

 

757,045

 

106,250

 

Term Loan, 8.63%, Maturing February 1, 2012

 

108,149

 

 

 

 

 

$

865,194

 

Automotive — 6.7%

 

 

 

 

 

Accuride Corp.

 

 

 

1,213,720

 

Term Loan, 7.19%, Maturing January 31, 2012

 

1,230,864

 

 

 

Affina Group, Inc.

 

 

 

298,389

 

Term Loan, 7.67%, Maturing November 30, 2011

 

295,592

 

 

 

Axletech International Holding, Inc.

 

 

 

925,000

 

Term Loan, 11.19%, Maturing April 21, 2013

 

932,708

 

 

 

CSA Acquisition Corp.

 

 

 

303,248

 

Term Loan, 7.50%, Maturing December 23, 2011

 

305,598

 

487,833

 

Term Loan, 7.50%, Maturing December 23, 2011

 

491,613

 

1




 

 

 

 

 

Dayco Products, LLC

 

 

 

$

1,370,592

 

Term Loan, 7.97%, Maturing June 23, 2011

 

$

1,389,010

 

 

 

Exide Technologies, Inc.

 

 

 

442,792

 

Term Loan, 11.25%, Maturing May 5, 2010

 

449,065

 

448,218

 

Term Loan, 11.25%, Maturing May 5, 2010

 

454,568

 

 

 

Federal-Mogul Corp.

 

 

 

750,000

 

Term Loan, 7.08%, Maturing December 9, 2006

 

725,156

 

1,500,000

 

Term Loan, 7.33%, Maturing December 9, 2006

 

1,455,937

 

763,183

 

Term Loan, 8.58%, Maturing December 9, 2006

 

766,999

 

 

 

Goodyear Tire & Rubber Co.

 

 

 

470,000

 

Term Loan, 4.73%, Maturing April 30, 2010

 

474,910

 

1,580,000

 

Term Loan, 7.06%, Maturing April 30, 2010

 

1,604,687

 

500,000

 

Term Loan, 7.81%, Maturing March 1, 2011

 

507,969

 

 

 

HLI Operating Co., Inc.

 

 

 

911,730

 

Term Loan, 8.00%, Maturing June 3, 2009

 

918,405

 

 

 

Key Automotive Group

 

 

 

893,866

 

Term Loan, 7.69%, Maturing June 29, 2010

 

902,804

 

 

 

Keystone Automotive Operations, Inc.

 

 

 

875,000

 

Term Loan, 7.46%, Maturing October 30, 2010

 

878,828

 

 

 

R.J. Tower Corp.

 

 

 

1,175,000

 

DIP Revolving Loan, 8.25%, Maturing February 2, 2007

 

1,198,500

 

 

 

Tenneco Automotive, Inc.

 

 

 

1,194,224

 

Term Loan, 6.88%, Maturing December 12, 2010

 

1,213,481

 

 

 

TI Automotive, Ltd.

 

 

 

648,527

 

Term Loan, 7.94%, Maturing June 30, 2011

 

636,367

 

 

 

Trimas Corp.

 

 

 

1,906,376

 

Term Loan, 8.38%, Maturing December 31, 2009

 

1,927,027

 

 

 

TRW Automotive, Inc.

 

 

 

1,566,940

 

Term Loan, 6.25%, Maturing June 30, 2012

 

1,574,231

 

 

 

United Components, Inc.

 

 

 

844,358

 

Term Loan, 7.22%, Maturing June 30, 2010

 

858,871

 

 

 

Visteon Corp.

 

 

 

275,000

 

Term Loan, 9.18%, Maturing June 20, 2007

 

279,503

 

 

 

 

 

$

21,472,693

 

Beverage and Tobacco — 2.1%

 

 

 

 

 

Alliance One International, Inc.

 

 

 

420,750

 

Term Loan, 8.48%, Maturing May 13, 2010

 

425,483

 

 

 

Constellation Brands, Inc.

 

 

 

2,105,672

 

Term Loan, 6.36%, Maturing November 30, 2011

 

2,136,337

 

 

 

Culligan International Co.

 

 

 

841,500

 

Term Loan, 7.25%, Maturing September 30, 2011

 

854,999

 

 

 

National Dairy Holdings, L.P.

 

 

 

158,400

 

Term Loan, 6.83%, Maturing March 15, 2012

 

159,291

 

 

 

National Distribution Co.

 

 

 

425,000

 

Term Loan, 11.33%, Maturing June 22, 2010

 

426,062

 

 

 

Southern Wine & Spirits of America, Inc.

 

 

 

2,409,491

 

Term Loan, 6.48%, Maturing June 1, 2012

 

2,432,834

 

2




 

 

 

 

 

Sunny Delight Beverages Co.

 

 

 

$

364,412

 

Term Loan, 9.04%, Maturing August 20, 2010

 

$

359,401

 

 

 

 

 

$

6,794,407

 

Building and Development — 9.3%

 

 

 

 

 

AP-Newkirk Holdings, LLC

 

 

 

1,050,000

 

Term Loan, 7.28%, Maturing December 21, 2007

 

1,059,844

 

 

 

Biomed Realty, L.P.

 

 

 

1,640,000

 

Term Loan, 6.88%, Maturing May 31, 2010

 

1,644,100

 

 

 

Capital Automotive REIT

 

 

 

725,000

 

Term Loan, 6.34%, Maturing December 16, 2010

 

733,092

 

 

 

DMB / CH II, LLC

 

 

 

210,000

 

Term Loan, 7.13%, Maturing September 9, 2009

 

210,525

 

 

 

Epco / Fantome, LLC

 

 

 

825,000

 

Term Loan, 7.83%, Maturing November 23, 2010

 

827,062

 

 

 

Formica Corp.

 

 

 

550,000

 

Term Loan, 7.96%, Maturing March 15, 2013

 

555,156

 

 

 

FT-FIN Acquisition, LLC

 

 

 

667,138

 

Term Loan, 9.19%, Maturing November 17, 2007

 

668,806

 

 

 

Gables GP, Inc.

 

 

 

472,947

 

Term Loan, 6.42%, Maturing September 30, 2006

 

475,439

 

 

 

General Growth Properties, Inc.

 

 

 

1,000,000

 

Term Loan, 6.06%, Maturing February 24, 2011

 

999,931

 

 

 

Hovstone Holdings, LLC

 

 

 

655,000

 

Term Loan, 7.06%, Maturing February 28, 2009

 

656,637

 

 

 

Kyle Acquisition Group, LLC

 

 

 

257,181

 

Term Loan, 6.81%, Maturing July 20, 2010

 

259,753

 

 

 

Landsource Communities, LLC

 

 

 

1,502,000

 

Term Loan, 7.25%, Maturing March 31, 2010

 

1,510,919

 

 

 

LNR Property Corp.

 

 

 

1,190,251

 

Term Loan, 7.64%, Maturing February 3, 2008

 

1,202,340

 

685,233

 

Term Loan, 7.69%, Maturing February 3, 2008

 

689,516

 

 

 

LNR Property Holdings

 

 

 

453,600

 

Term Loan, 9.14%, Maturing March 3, 2008

 

459,270

 

 

 

MAAX Corp.

 

 

 

381,876

 

Term Loan, 7.82%, Maturing June 4, 2011

 

379,967

 

 

 

Mueller Group, Inc.

 

 

 

1,368,125

 

Term Loan, 7.05%, Maturing October 3, 2012

 

1,388,037

 

 

 

Newkirk Master, L.P.

 

 

 

1,690,591

 

Term Loan, 6.38%, Maturing August 11, 2008

 

1,706,440

 

 

 

Nortek, Inc.

 

 

 

935,750

 

Term Loan, 6.70%, Maturing August 27, 2011

 

945,838

 

 

 

Panolam Industries Holdings, Inc.

 

 

 

846,997

 

Term Loan, 7.73%, Maturing September 30, 2012

 

859,702

 

 

 

South Edge, LLC

 

 

 

328,125

 

Term Loan, 6.63%, Maturing October 31, 2007

 

329,902

 

421,875

 

Term Loan, 6.88%, Maturing October 31, 2009

 

425,479

 

3




 

 

 

 

 

Stile Acquisition Corp.

 

 

 

$

1,225,322

 

Term Loan, 6.63%, Maturing April 6, 2013

 

$

1,212,581

 

 

 

Stile U.S. Acquisition Corp.

 

 

 

1,227,409

 

Term Loan, 6.63%, Maturing April 6, 2013

 

1,214,647

 

 

 

Sugarloaf Mills, L.P.

 

 

 

1,000,000

 

Term Loan, 6.57%, Maturing April 7, 2007

 

1,005,000

 

1,200,000

 

Term Loan, 7.70%, Maturing April 7, 2007

 

1,200,000

 

 

 

TE / Tousa Senior, LLC

 

 

 

575,000

 

Term Loan, 7.75%, Maturing July 29, 2008

 

581,469

 

 

 

The Woodlands Community Property Co.

 

 

 

1,304,000

 

Term Loan, 6.78%, Maturing November 30, 2007

 

1,313,780

 

923,000

 

Term Loan, 8.78%, Maturing November 30, 2007

 

936,845

 

 

 

Tousa / Kolter, LLC

 

 

 

1,110,000

 

Term Loan, 5.88%, Maturing January 7, 2008 (2)

 

1,115,550

 

 

 

TRU 2005 RE Holding Co.

 

 

 

2,200,000

 

Term Loan, 7.63%, Maturing December 9, 2008

 

2,200,000

 

 

 

Trustreet Properties, Inc.

 

 

 

790,000

 

Term Loan, 6.63%, Maturing April 8, 2010

 

799,381

 

 

 

United Subcontractors, Inc.

 

 

 

450,000

 

Term Loan, 11.95%, Maturing June 27, 2013

 

451,125

 

 

 

 

 

$

30,018,133

 

Business Equipment and Services — 6.4%

 

 

 

 

 

Acco Brands Corp.

 

 

 

323,750

 

Term Loan, 6.52%, Maturing August 17, 2012

 

327,122

 

 

 

Affinion Group, Inc.

 

 

 

1,191,860

 

Term Loan, 7.50%, Maturing October 17, 2012

 

1,198,193

 

 

 

Allied Security Holdings, LLC

 

 

 

793,457

 

Term Loan, 8.86%, Maturing June 30, 2010

 

801,888

 

 

 

Baker & Taylor, Inc.

 

 

 

1,700,000

 

Term Loan, 11.66%, Maturing May 6, 2011

 

1,717,000

 

 

 

DynCorp International, LLC

 

 

 

650,088

 

Term Loan, 7.63%, Maturing February 11, 2011

 

659,297

 

 

 

Global Imaging Systems, Inc.

 

 

 

482,666

 

Term Loan, 6.38%, Maturing May 10, 2010

 

486,135

 

 

 

Info USA, Inc.

 

 

 

324,188

 

Term Loan, 6.58%, Maturing February 14, 2012

 

326,214

 

 

 

Iron Mountain, Inc.

 

 

 

3,969,686

 

Term Loan, 6.56%, Maturing April 2, 2011

 

4,008,764

 

 

 

Language Line, Inc.

 

 

 

470,030

 

Term Loan, 8.88%, Maturing June 11, 2011

 

473,437

 

 

 

Mitchell International, Inc.

 

 

 

380,267

 

Term Loan, 6.98%, Maturing August 15, 2011

 

385,258

 

 

 

N.E.W. Holdings I, LLC

 

 

 

428,330

 

Term Loan, 7.80%, Maturing July 1, 2011

 

433,684

 

 

 

Protection One, Inc.

 

 

 

495,703

 

Term Loan, 7.80%, Maturing April 18, 2011

 

501,589

 

 

 

RGIS Holdings, LLC

 

 

 

623,438

 

Term Loan, 7.48%, Maturing February 15, 2013

 

626,750

 

 

4




 

 

 

 

SGS International, Inc.

 

 

 

$

399,000

 

Term Loan, 7.18%, Maturing December 30, 2011

 

$

404,985

 

 

 

Sungard Data Systems, Inc.

 

 

 

6,972,313

 

Term Loan, 7.22%, Maturing February 11, 2013

 

7,073,474

 

 

 

Transaction Network Services, Inc.

 

 

 

419,412

 

Term Loan, 6.89%, Maturing May 4, 2012

 

421,509

 

 

 

Western Inventory Services

 

 

 

275,000

 

Term Loan, 11.57%, Maturing October 14, 2011

 

277,062

 

 

 

Williams Scotsman, Inc.

 

 

 

500,000

 

Term Loan, 6.91%, Maturing June 28, 2010

 

506,458

 

 

 

 

 

$

20,628,819

 

Cable and Satellite Television — 7.3%

 

 

 

 

 

Adelphia Communications Corp.

 

 

 

1,807,270

 

DIP Loan, 6.81%, Maturing March 31, 2006

 

1,816,307

 

 

 

Atlantic Broadband Finance, LLC

 

 

 

1,494,183

 

Term Loan, 7.62%, Maturing September 1, 2011

 

1,520,331

 

 

 

Bragg Communications, Inc.

 

 

 

551,645

 

Term Loan, 6.81%, Maturing August 31, 2011

 

558,885

 

 

 

Canadian Cable Acquisition Co., Inc.

 

 

 

994,850

 

Term Loan, 7.96%, Maturing July 30, 2011

 

1,007,286

 

 

 

Cebridge Connections, Inc.

 

 

 

749,700

 

Term Loan, 7.98%, Maturing February 23, 2009

 

753,448

 

784,000

 

Term Loan, 10.44%, Maturing February 23, 2010

 

815,360

 

 

 

Charter Communications Operating, LLC

 

 

 

7,109,362

 

Term Loan, 7.92%, Maturing April 27, 2011

 

7,181,237

 

 

 

Insight Midwest Holdings, LLC

 

 

 

3,421,250

 

Term Loan, 7.00%, Maturing December 31, 2009

 

3,474,317

 

 

 

Liberty Cablevision of Puerto Rico Ltd.

 

 

 

225,000

 

Term Loan, 7.09%, Maturing March 1, 2013

 

227,250

 

 

 

MCC Iowa, LLC

 

 

 

835,189

 

Term Loan, 6.72%, Maturing February 3, 2014

 

847,129

 

 

 

Mediacom Illinois, LLC

 

 

 

1,975,000

 

Term Loan, 6.97%, Maturing March 31, 2013

 

2,005,397

 

 

 

UGS Corp.

 

 

 

1,369,129

 

Term Loan, 6.83%, Maturing March 31, 2012

 

1,387,670

 

 

 

UPC Broadband Holdings B.V.

 

 

 

1,780,000

 

Term Loan, 7.28%, Maturing September 30, 2012

 

1,793,535

 

 

 

 

 

$

23,388,152

 

Chemicals and Plastics — 8.9%

 

 

 

 

 

Basell Af S.A.R.L.

 

 

 

208,333

 

Term Loan, 7.31%, Maturing August 1, 2013

 

212,305

 

41,667

 

Term Loan, 7.31%, Maturing August 1, 2013

 

42,461

 

208,333

 

Term Loan, 7.67%, Maturing August 1, 2014

 

212,305

 

41,667

 

Term Loan, 7.67%, Maturing August 1, 2014

 

42,461

 

5




 

 

 

 

 

Brenntag Holding GmbH and Co. KG

 

 

 

$

196,364

 

Term Loan, 7.44%, Maturing December 23, 2013

 

$

200,045

 

803,636

 

Term Loan, 7.44%, Maturing December 23, 2013

 

816,495

 

600,000

 

Term Loan, 11.43%, Maturing December 23, 2015

 

618,000

 

 

 

Celanese Holdings, LLC

 

 

 

2,611,439

 

Term Loan, 6.98%, Maturing April 6, 2011

 

2,652,243

 

 

 

Gentek, Inc.

 

 

 

295,866

 

Term Loan, 7.52%, Maturing February 25, 2011

 

297,669

 

430,000

 

Term Loan, 10.35%, Maturing February 25, 2012

 

433,494

 

 

 

Hercules, Inc.

 

 

 

490,000

 

Term Loan, 6.08%, Maturing October 8, 2010

 

494,900

 

 

 

Hexion Specialty Chemicals, Inc.

 

 

 

248,280

 

Term Loan, 4.73%, Maturing May 31, 2012

 

252,625

 

654,269

 

Term Loan, 7.50%, Maturing May 31, 2012

 

665,719

 

903,514

 

Term Loan, 7.50%, Maturing May 31, 2012

 

919,326

 

 

 

Huntsman, LLC

 

 

 

3,120,873

 

Term Loan, 6.53%, Maturing August 16, 2012

 

3,144,767

 

 

 

Ineos Group

 

 

 

1,375,000

 

Term Loan, 7.34%, Maturing December 14, 2013

 

1,396,484

 

1,375,000

 

Term Loan, 7.84%, Maturing December 14, 2014

 

1,396,484

 

 

 

Innophos, Inc.

 

 

 

439,064

 

Term Loan, 7.15%, Maturing August 13, 2010

 

445,558

 

 

 

Invista B.V.

 

 

 

1,482,253

 

Term Loan, 6.75%, Maturing April 29, 2011

 

1,502,016

 

753,471

 

Term Loan, 6.75%, Maturing April 29, 2011

 

763,517

 

 

 

ISP Chemo, Inc.

 

 

 

1,175,000

 

Term Loan, 6.50%, Maturing February 16, 2013

 

1,188,743

 

 

 

Kraton Polymer, LLC

 

 

 

1,460,361

 

Term Loan, 7.49%, Maturing December 23, 2010

 

1,483,179

 

 

 

Mosaic Co.

 

 

 

762,300

 

Term Loan, 6.19%, Maturing February 21, 2012

 

770,304

 

 

 

Nalco Co.

 

 

 

3,298,625

 

Term Loan, 6.52%, Maturing November 4, 2010

 

3,338,255

 

 

 

PQ Corp.

 

 

 

262,350

 

Term Loan, 7.00%, Maturing February 11, 2012

 

266,340

 

 

 

Rockwood Specialties Group, Inc.

 

 

 

2,311,650

 

Term Loan, 6.67%, Maturing December 10, 2012

 

2,345,060

 

 

 

Solo Cup Co.

 

 

 

1,343,154

 

Term Loan, 7.53%, Maturing February 27, 2011

 

1,359,104

 

 

 

Solutia, Inc.

 

 

 

400,000

 

DIP Loan, 8.33%, Maturing March 31, 2007

 

403,750

 

 

 

Wellman, Inc.

 

 

 

900,000

 

Term Loan, 8.68%, Maturing February 10, 2009

 

913,500

 

 

 

 

 

$

28,577,109

 

Clothing / Textiles — 0.7%

 

 

 

 

 

Propex Fabrics, Inc.

 

 

 

525,000

 

Term Loan, 7.00%, Maturing July 31, 2012

 

530,250

 

6




 

 

 

 

 

St. John Knits International, Inc.

 

 

 

$

810,542

 

Term Loan, 7.25%, Maturing March 23, 2012

 

$

821,687

 

 

 

The William Carter Co.

 

 

 

904,031

 

Term Loan, 6.49%, Maturing July 14, 2012

 

915,709

 

 

 

 

 

$

2,267,646

 

Conglomerates — 4.6%

 

 

 

 

 

Aearo Technologies, Inc.

 

 

 

400,000

 

Term Loan, 11.45%, Maturing September 24, 2013

 

400,000

 

 

 

Amsted Industries, Inc.

 

 

 

1,118,282

 

Term Loan, 7.15%, Maturing October 15, 2010

 

1,135,988

 

 

 

Blount, Inc.

 

 

 

346,485

 

Term Loan, 7.03%, Maturing August 9, 2010

 

349,950

 

 

 

Bushnell Performance Optics

 

 

 

497,561

 

Term Loan, 7.83%, Maturing August 19, 2011

 

502,744

 

 

 

Euramax International, Inc.

 

 

 

327,412

 

Term Loan, 7.69%, Maturing June 28, 2012

 

329,704

 

334,211

 

Term Loan, 11.54%, Maturing June 28, 2013

 

332,539

 

165,789

 

Term Loan, 11.54%, Maturing June 28, 2013

 

164,961

 

 

 

Goodman Global Holdings, Inc.

 

 

 

572,207

 

Term Loan, 6.63%, Maturing December 23, 2011

 

577,572

 

 

 

Jarden Corp.

 

 

 

1,047,297

 

Term Loan, 6.78%, Maturing January 24, 2012

 

1,055,282

 

1,487,096

 

Term Loan, 7.03%, Maturing January 24, 2012

 

1,504,357

 

 

 

Johnson Diversey, Inc.

 

 

 

1,969,127

 

Term Loan, 7.21%, Maturing December 16, 2011

 

2,000,304

 

 

 

Polymer Group, Inc.

 

 

 

1,396,500

 

Term Loan, 7.21%, Maturing November 22, 2012

 

1,415,920

 

 

 

PP Acquisition Corp.

 

 

 

1,582,889

 

Term Loan, 7.98%, Maturing November 12, 2011

 

1,600,036

 

 

 

Rexnord Corp.

 

 

 

1,870,618

 

Term Loan, 6.92%, Maturing December 31, 2011

 

1,893,612

 

 

 

US Investigations Services, Inc.

 

 

 

1,111,778

 

Term Loan, 7.43%, Maturing October 14, 2012

 

1,124,980

 

296,721

 

Term Loan, 7.43%, Maturing October 14, 2013

 

300,987

 

 

 

 

 

$

14,688,936

 

Containers and Glass Products — 6.7%

 

 

 

 

 

Berry Plastics Corp.

 

 

 

2,123,272

 

Term Loan, 6.84%, Maturing December 2, 2011

 

2,156,227

 

 

 

BWAY Corp.

 

 

 

275,500

 

Term Loan, 6.81%, Maturing June 30, 2011

 

279,417

 

 

 

Consolidated Container Holding, LLC

 

 

 

638,625

 

Term Loan, 8.37%, Maturing December 15, 2008

 

642,217

 

 

 

Crown America, Inc.

 

 

 

350,000

 

Term Loan, 6.44%, Maturing November 15, 2012

 

352,844

 

 

 

Dr. Pepper/Seven Up Bottling Group, Inc.

 

 

 

1,243,295

 

Term Loan, 6.79%, Maturing December 19, 2010

 

1,261,633

 

 

7




 

 

 

 

Graham Packaging Holdings Co.

 

 

 

$

2,271,251

 

Term Loan, 6.97%, Maturing October 7, 2011

 

$

2,303,900

 

1,000,000

 

Term Loan, 9.25%, Maturing April 7, 2012

 

1,025,208

 

 

 

Graphic Packaging International, Inc.

 

 

 

4,848,647

 

Term Loan, 6.98%, Maturing August 8, 2010

 

4,931,224

 

 

 

IPG (US), Inc.

 

 

 

364,450

 

Term Loan, 7.10%, Maturing July 28, 2011

 

369,765

 

 

 

JSG Acquisitions

 

 

 

990,000

 

Term Loan, 7.05%, Maturing December 31, 2013

 

1,006,087

 

990,000

 

Term Loan, 7.55%, Maturing December 13, 2014

 

1,006,087

 

 

 

Kranson Industries, Inc.

 

 

 

466,018

 

Term Loan, 7.73%, Maturing July 30, 2011

 

471,843

 

 

 

Owens-Illinois, Inc.

 

 

 

1,486,733

 

Term Loan, 6.42%, Maturing April 1, 2007

 

1,491,379

 

394,214

 

Term Loan, 6.56%, Maturing April 1, 2008

 

395,877

 

 

 

Smurfit-Stone Container Corp.

 

 

 

315,687

 

Term Loan, 4.45%, Maturing November 1, 2010

 

320,343

 

349,125

 

Term Loan, 6.94%, Maturing November 1, 2011

 

354,275

 

793,897

 

Term Loan, 7.06%, Maturing November 1, 2011

 

805,607

 

2,265,384

 

Term Loan, 7.10%, Maturing November 1, 2011

 

2,298,798

 

 

 

 

 

$

21,472,731

 

Cosmetics / Toiletries — 0.8%

 

 

 

 

 

American Safety Razor Co.

 

 

 

928,056

 

Term Loan, 7.56%, Maturing February 28, 2012

 

941,976

 

 

 

Prestige Brands, Inc.

 

 

 

882,000

 

Term Loan, 7.23%, Maturing April 6, 2011

 

894,311

 

 

 

Revlon Consumer Products Corp.

 

 

 

721,875

 

Term Loan, 10.72%, Maturing July 9, 2010

 

743,757

 

 

 

 

 

$

2,580,044

 

Drugs — 1.3%

 

 

 

 

 

Patheon, Inc.

 

 

 

975,000

 

Term Loan, 6.91%, Maturing December 14, 2011

 

981,094

 

 

 

Warner Chilcott Corp.

 

 

 

4,416

 

Term Loan, 7.44%, Maturing June 30, 2006

 

4,459

 

22,082

 

Term Loan, 7.65%, Maturing January 12, 2012

 

22,297

 

1,965,152

 

Term Loan, 7.64%, Maturing January 18, 2012

 

1,984,804

 

365,817

 

Term Loan, 7.86%, Maturing January 18, 2012

 

369,475

 

791,860

 

Term Loan, 7.86%, Maturing January 18, 2012

 

799,779

 

 

 

 

 

$

4,161,908

 

Ecological Services and Equipment — 2.1%

 

 

 

 

 

Alderwoods Group, Inc.

 

 

 

269,802

 

Term Loan, 6.61%, Maturing September 29, 2009

 

272,837

 

 

 

Allied Waste Industries, Inc.

 

 

 

846,665

 

Term Loan, 4.54%, Maturing January 15, 2012

 

851,216

 

2,180,748

 

Term Loan, 6.80%, Maturing January 15, 2012

 

2,193,015

 

8




 

 

 

 

 

Envirocare of Utah, LLC

 

 

 

$

1,209,543

 

Term Loan, 7.38%, Maturing April 15, 2010

 

$

1,223,906

 

 

 

Environmental Systems, Inc.

 

 

 

976,103

 

Term Loan, 8.27%, Maturing December 12, 2008

 

982,204

 

 

 

IESI Corp.

 

 

 

441,176

 

Term Loan, 6.38%, Maturing January 20, 2012

 

447,242

 

 

 

Sensus Metering Systems, Inc.

 

 

 

718,634

 

Term Loan, 7.30%, Maturing December 17, 2010

 

726,494

 

95,456

 

Term Loan, 7.35%, Maturing December 17, 2010

 

96,500

 

 

 

 

 

$

6,793,414

 

Electronics / Electrical — 4.5%

 

 

 

 

 

AMI Semiconductor, Inc.

 

 

 

951,213

 

Term Loan, 6.33%, Maturing April 1, 2012

 

957,950

 

 

 

Aspect Software, Inc.

 

 

 

1,350,000

 

Term Loan, 7.44%, Maturing September 22, 2010

 

1,365,610

 

 

 

Avago Technologies Finance PTE

 

 

 

66,796

 

Term Loan, 7.13%, Maturing December 1, 2012

 

67,047

 

 

 

Communications & Power, Inc.

 

 

 

444,444

 

Term Loan, 7.01%, Maturing July 23, 2010

 

449,074

 

 

 

Enersys Capital, Inc.

 

 

 

982,500

 

Term Loan, 6.82%, Maturing March 17, 2011

 

994,781

 

 

 

Fairchild Semiconductor Corp.

 

 

 

2,115,719

 

Term Loan, 6.63%, Maturing December 31, 2010

 

2,131,587

 

 

 

FCI International S.A.S.

 

 

 

110,363

 

Term Loan, 7.73%, Maturing November 1, 2013

 

111,881

 

114,637

 

Term Loan, 7.73%, Maturing November 1, 2013

 

115,926

 

114,637

 

Term Loan, 8.23%, Maturing November 1, 2013

 

116,070

 

110,363

 

Term Loan, 8.23%, Maturing November 1, 2013

 

111,881

 

 

 

Invensys International Holdings Ltd.

 

 

 

823,806

 

Term Loan, 7.79%, Maturing September 4, 2009

 

833,074

 

 

 

Network Solutions, LLC

 

 

 

498,750

 

Term Loan, 9.96%, Maturing January 9, 2012

 

501,244

 

 

 

Open Solutions, Inc.

 

 

 

550,000

 

Term Loan, 11.33%, Maturing March 3, 2012

 

564,437

 

 

 

Rayovac Corp.

 

 

 

2,705,562

 

Term Loan, 7.20%, Maturing February 7, 2012

 

2,742,763

 

 

 

Security Co., Inc.

 

 

 

491,258

 

Term Loan, 8.25%, Maturing June 30, 2010

 

495,557

 

500,000

 

Term Loan, 12.63%, Maturing June 30, 2011

 

506,875

 

 

 

Serena Software, Inc.

 

 

 

325,000

 

Term Loan, 6.95%, Maturing March 10, 2013

 

329,835

 

 

 

SSA Global Technologies, Inc.

 

 

 

248,750

 

Term Loan, 6.97%, Maturing September 22, 2011

 

251,237

 

 

 

Telcordia Technologies, Inc.

 

 

 

1,548,300

 

Term Loan, 7.31%, Maturing September 15, 2012

 

1,537,172

 

9




 

 

 

 

 

Vertafore, Inc.

 

 

 

$

450,000

 

Term Loan, 10.87%, Maturing January 31, 2013

 

$

456,375

 

 

 

 

 

$

14,640,376

 

Equipment Leasing — 1.4%

 

 

 

 

 

Ashtead Group, PLC

 

 

 

990,000

 

Term Loan, 6.50%, Maturing November 12, 2009

 

1,001,756

 

 

 

Maxim Crane Works, L.P.

 

 

 

633,404

 

Term Loan, 6.94%, Maturing January 28, 2010

 

643,895

 

 

 

The Hertz Corp.

 

 

 

253,933

 

Term Loan, 0.00%, Maturing December 21, 2012 (2)

 

257,194

 

216,667

 

Term Loan, 4.93%, Maturing December 21, 2012

 

219,875

 

1,475,702

 

Term Loan, 6.98%, Maturing December 21, 2012

 

1,497,554

 

 

 

United Rentals, Inc.

 

 

 

166,667

 

Term Loan, 4.83%, Maturing February 14, 2011

 

168,819

 

816,667

 

Term Loan, 7.07%, Maturing February 14, 2011

 

827,216

 

 

 

 

 

$

4,616,309

 

Farming / Agriculture — 0.4%

 

 

 

 

 

Central Garden & Pet Co.

 

 

 

1,125,000

 

Term Loan, 6.18%, Maturing February 28, 2014

 

1,134,141

 

 

 

 

 

$

1,134,141

 

Financial Intermediaries — 3.8%

 

 

 

 

 

AIMCO Properties, L.P.

 

 

 

3,050,000

 

Term Loan, 6.36%, Maturing November 2, 2009

 

3,074,781

 

 

 

Ameritrade Holding Corp.

 

 

 

3,025,000

 

Term Loan, 6.32%, Maturing December 31, 2012

 

3,046,081

 

 

 

Coinstar, Inc.

 

 

 

282,520

 

Term Loan, 6.55%, Maturing July 7, 2011

 

285,521

 

 

 

Fidelity National Information Solutions, Inc.

 

 

 

3,202,875

 

Term Loan, 6.47%, Maturing March 9, 2013

 

3,232,402

 

 

 

LPL Holdings, Inc.

 

 

 

1,945,125

 

Term Loan, 8.20%, Maturing June 30, 2013

 

1,970,655

 

 

 

The Macerich Partnership, L.P.

 

 

 

650,000

 

Term Loan, 6.19%, Maturing April 25, 2010

 

655,416

 

 

 

 

 

$

12,264,856

 

Food Products — 3.0%

 

 

 

 

 

Acosta, Inc.

 

 

 

1,022,438

 

Term Loan, 7.00%, Maturing December 6, 2012

 

1,037,135

 

 

 

Chiquita Brands, LLC

 

 

 

367,225

 

Term Loan, 6.83%, Maturing June 28, 2012

 

371,356

 

 

 

Del Monte Corp.

 

 

 

446,625

 

Term Loan, 6.14%, Maturing February 8, 2012

 

449,696

 

 

 

Doane Pet Care Co.

 

 

 

298,500

 

Term Loan, 6.81%, Maturing October 21, 2012

 

303,164

 

 

 

Dole Food Company, Inc.

 

 

 

581,687

 

Term Loan, 6.34%, Maturing April 18, 2012

 

584,232

 

 

10




 

 

 

 

Herbalife International, Inc.

 

 

 

$

121,654

 

Term Loan, 6.46%, Maturing December 21, 2010

 

$

122,871

 

 

 

Michael Foods, Inc.

 

 

 

1,212,752

 

Term Loan, 6.70%, Maturing November 21, 2010

 

1,230,185

 

 

 

Pinnacle Foods Holdings Corp.

 

 

 

3,360,649

 

Term Loan, 7.82%, Maturing November 25, 2010

 

3,417,780

 

 

 

Reddy Ice Group, Inc.

 

 

 

1,055,000

 

Term Loan, 6.32%, Maturing August 9, 2012

 

1,066,540

 

 

 

The Meow Mix Company

 

 

 

988,024

 

Term Loan, 8.03%, Maturing July 13, 2011

 

992,656

 

 

 

 

 

$

9,575,615

 

Food Service — 4.0%

 

 

 

 

 

AFC Enterprises, Inc.

 

 

 

792,849

 

Term Loan, 7.25%, Maturing May 11, 2011

 

799,291

 

 

 

Buffets, Inc.

 

 

 

209,091

 

Term Loan, 4.98%, Maturing June 28, 2009

 

211,182

 

935,606

 

Term Loan, 8.19%, Maturing June 28, 2009

 

944,963

 

 

 

Burger King Corp.

 

 

 

1,536,162

 

Term Loan, 6.50%, Maturing June 30, 2012

 

1,547,204

 

 

 

Carrols Corp.

 

 

 

732,665

 

Term Loan, 7.38%, Maturing December 31, 2010

 

744,342

 

 

 

CKE Restaurants, Inc.

 

 

 

193,204

 

Term Loan, 6.81%, Maturing May 1, 2010

 

195,498

 

 

 

Denny’s, Inc.

 

 

 

1,234,389

 

Term Loan, 8.07%, Maturing September 30, 2009

 

1,258,048

 

 

 

Domino’s, Inc.

 

 

 

3,404,813

 

Term Loan, 6.49%, Maturing June 25, 2010

 

3,436,025

 

 

 

Dunkin’ Brands, Inc.

 

 

 

775,000

 

Term Loan, 7.06%, Maturing March 1, 2013

 

777,180

 

 

 

Gate Gourmet Borrower, LLC

 

 

 

100,000

 

Term Loan, 7.00%, Maturing March 9, 2012

 

100,000

 

800,000

 

Term Loan, 7.64%, Maturing March 9, 2012

 

800,000

 

 

 

Jack in the Box, Inc.

 

 

 

735,000

 

Term Loan, 6.28%, Maturing January 8, 2011

 

742,809

 

 

 

Maine Beverage Co., LLC

 

 

 

426,339

 

Term Loan, 6.73%, Maturing June 30, 2010

 

425,273

 

 

 

Weight Watchers International, Inc.

 

 

 

492,500

 

Term Loan, 6.10%, Maturing March 31, 2010

 

498,246

 

 

 

Weightwatchers.com, Inc.

 

 

 

500,000

 

Term Loan, 9.49%, Maturing June 16, 2011

 

507,188

 

 

 

 

 

$

12,987,249

 

Food / Drug Retailers — 2.7%

 

 

 

 

 

Cumberland Farms, Inc.

 

 

 

2,179,817

 

Term Loan, 7.00%, Maturing September 8, 2008

 

2,192,078

 

 

 

General Nutrition Centers, Inc.

 

 

 

831,527

 

Term Loan, 7.82%, Maturing December 7, 2009

 

845,040

 

11




 

 

 

 

 

Giant Eagle, Inc.

 

 

 

$

997,500

 

Term Loan, 6.07%, Maturing November 7, 2012

 

$

1,003,890

 

 

 

Roundy’s Supermarkets, Inc.

 

 

 

1,845,375

 

Term Loan, 7.79%, Maturing November 3, 2011

 

1,872,672

 

 

 

The Jean Coutu Group (PJC), Inc.

 

 

 

2,348,661

 

Term Loan, 7.19%, Maturing July 30, 2011

 

2,374,921

 

 

 

The Pantry, Inc.

 

 

 

448,875

 

Term Loan, 6.58%, Maturing January 2, 2012

 

454,766

 

 

 

 

 

$

8,743,367

 

Forest Products — 3.4%

 

 

 

 

 

Boise Cascade Holdings, LLC

 

 

 

1,439,847

 

Term Loan, 6.74%, Maturing October 29, 2011

 

1,460,381

 

 

 

Buckeye Technologies, Inc.

 

 

 

191,262

 

Term Loan, 6.70%, Maturing March 15, 2008

 

191,859

 

 

 

Georgia-Pacific Corp.

 

 

 

4,738,125

 

Term Loan, 6.88%, Maturing December 20, 2012

 

4,777,177

 

1,450,000

 

Term Loan, 7.83%, Maturing December 23, 2013

 

1,483,322

 

 

 

NewPage Corp.

 

 

 

986,961

 

Term Loan, 7.96%, Maturing May 2, 2011

 

1,002,999

 

 

 

RLC Industries Co.

 

 

 

552,536

 

Term Loan, 6.48%, Maturing February 24, 2010

 

555,298

 

 

 

Xerium Technologies, Inc.

 

 

 

1,455,195

 

Term Loan, 7.23%, Maturing November 19, 2011

 

1,457,014

 

 

 

 

 

$

10,928,050

 

Healthcare — 10.0%

 

 

 

 

 

Accellent, Inc.

 

 

 

937,650

 

Term Loan, 6.80%, Maturing November 22, 2012

 

946,440

 

 

 

Alliance Imaging, Inc.

 

 

 

1,188,534

 

Term Loan, 7.22%, Maturing December 29, 2011

 

1,192,546

 

 

 

Ameripath, Inc.

 

 

 

1,000,000

 

Term Loan, 6.64%, Maturing October 31, 2012

 

1,013,281

 

 

 

AMN Healthcare, Inc.

 

 

 

300,000

 

Term Loan, 6.73%, Maturing November 2, 2011

 

303,656

 

 

 

AMR HoldCo, Inc.

 

 

 

633,212

 

Term Loan, 6.84%, Maturing February 10, 2012

 

641,721

 

 

 

Angiotech Pharmaceuticals, Inc.

 

 

 

300,000

 

Term Loan, 6.30%, Maturing March 23, 2013

 

300,000

 

 

 

Caremore Holdings, Inc.

 

 

 

475,000

 

Term Loan, 8.23%, Maturing February 28, 2013

 

478,266

 

 

 

Carl Zeiss Topco GMBH

 

 

 

196,667

 

Term Loan, 7.86%, Maturing February 28, 2013

 

198,855

 

393,333

 

Term Loan, 8.36%, Maturing February 28, 2014

 

399,675

 

375,000

 

Term Loan, 10.61%, Maturing August 31, 2014

 

382,734

 

 

 

Community Health Systems, Inc.

 

 

 

3,387,169

 

Term Loan, 6.56%, Maturing August 19, 2011

 

3,434,447

 

12




 

 

 

 

 

Concentra Operating Corp.

 

 

 

$

1,268,625

 

Term Loan, 6.69%, Maturing September 30, 2011

 

$

1,285,540

 

 

 

Conmed Corp.

 

 

 

934,606

 

Term Loan, 6.95%, Maturing December 31, 2007

 

940,448

 

 

 

CRC Health Corp.

 

 

 

250,000

 

Term Loan, 7.23%, Maturing February 6, 2013

 

253,125

 

 

 

Davita, Inc.

 

 

 

3,821,801

 

Term Loan, 6.68%, Maturing October 5, 2012

 

3,876,342

 

 

 

Encore Medical IHC, Inc.

 

 

 

757,958

 

Term Loan, 7.59%, Maturing October 4, 2010

 

766,486

 

 

 

FGX International, Inc.

 

 

 

295,038

 

Term Loan, 8.93%, Maturing December 12, 2012

 

289,138

 

 

 

FHC Health Systems, Inc.

 

 

 

348,214

 

Term Loan, 10.82%, Maturing December 18, 2009

 

355,179

 

243,750

 

Term Loan, 12.82%, Maturing December 18, 2009

 

248,625

 

750,000

 

Term Loan, 13.82%, Maturing February 7, 2011

 

763,125

 

 

 

Gentiva Health Services, Inc.

 

 

 

450,000

 

Term Loan, 6.89%, Maturing February 28, 2014

 

455,625

 

 

 

Hanger Orthopedic Group, Inc.

 

 

 

979,898

 

Term Loan, 8.73%, Maturing September 30, 2009

 

994,597

 

 

 

Healthcare Partners, LLC

 

 

 

194,750

 

Term Loan, 6.89%, Maturing March 2, 2011

 

196,819

 

 

 

Healthsouth Corp.

 

 

 

1,150,000

 

Term Loan, 8.15%, Maturing March 10, 2013

 

1,160,063

 

 

 

Kinetic Concepts, Inc.

 

 

 

218,652

 

Term Loan, 6.73%, Maturing August 11, 2010

 

221,431

 

 

 

Leiner Health Products, Inc.

 

 

 

525,638

 

Term Loan, 8.61%, Maturing May 27, 2011

 

533,194

 

 

 

Lifecare Holdings, Inc.

 

 

 

447,750

 

Term Loan, 7.07%, Maturing August 11, 2012

 

425,474

 

 

 

Lifepoint Hospitals, Inc.

 

 

 

2,114,263

 

Term Loan, 6.19%, Maturing April 15, 2012

 

2,129,975

 

 

 

Magellan Health Services, Inc.

 

 

 

457,958

 

Term Loan, 4.54%, Maturing August 15, 2008

 

463,110

 

515,203

 

Term Loan, 7.16%, Maturing August 15, 2008

 

520,999

 

 

 

Matria Healthcare, Inc.

 

 

 

64,103

 

Term Loan, 7.02%, Maturing January 19, 2007

 

64,303

 

300,000

 

Term Loan, 9.00%, Maturing January 19, 2007

 

306,750

 

135,558

 

Term Loan, 7.15%, Maturing January 19, 2012

 

136,956

 

 

 

Medcath Holdings Corp.

 

 

 

100,625

 

Term Loan, 7.10%, Maturing July 2, 2011

 

101,254

 

 

 

National Mentor, Inc.

 

 

 

873,671

 

Term Loan, 7.21%, Maturing September 30, 2011

 

878,040

 

 

 

PER-SE Technologies, Inc.

 

 

 

544,828

 

Term Loan, 7.22%, Maturing January 6, 2013

 

552,319

 

 

 

Renal Advantage, Inc.

 

 

 

199,000

 

Term Loan, 7.42%, Maturing October 5, 2012

 

201,425

 

13




 

 

 

 

 

Select Medical Holding Corp.

 

 

 

$

1,264,737

 

Term Loan, 6.52%, Maturing February 24, 2012

 

$

1,254,549

 

 

 

Sunrise Medical Holdings, Inc.

 

 

 

491,505

 

Term Loan, 8.05%, Maturing May 13, 2010

 

492,119

 

 

 

Talecris Biotherapeutics, Inc.

 

 

 

534,600

 

Term Loan, 8.02%, Maturing March 31, 2010

 

533,264

 

 

 

Vanguard Health Holding Co., LLC

 

 

 

1,641,785

 

Term Loan, 6.95%, Maturing September 23, 2011

 

1,663,848

 

 

 

VWR International, Inc.

 

 

 

940,707

 

Term Loan, 7.12%, Maturing April 7, 2011

 

955,112

 

 

 

 

 

$

32,310,855

 

Home Furnishings — 2.2%

 

 

 

 

 

Interline Brands, Inc.

 

 

 

1,517,354

 

Term Loan, 7.23%, Maturing December 31, 2010

 

1,532,528

 

 

 

Knoll, Inc.

 

 

 

971,250

 

Term Loan, 6.73%, Maturing October 3, 2012

 

986,274

 

 

 

National Bedding Co., LLC

 

 

 

350,000

 

Term Loan, 9.72%, Maturing August 31, 2012

 

356,781

 

 

 

Oreck Corp.

 

 

 

746,222

 

Term Loan, 7.73%, Maturing February 2, 2012

 

756,949

 

 

 

Sealy Mattress Co.

 

 

 

1,597,479

 

Term Loan, 6.52%, Maturing April 6, 2012

 

1,619,945

 

 

 

Simmons Co.

 

 

 

1,737,547

 

Term Loan, 7.35%, Maturing December 19, 2011

 

1,766,597

 

 

 

 

 

$

7,019,074

 

Industrial Equipment — 1.1%

 

 

 

 

 

Alliance Laundry Holdings, LLC

 

 

 

247,800

 

Term Loan, 6.92%, Maturing January 27, 2012

 

251,440

 

 

 

Colfax Corp.

 

 

 

594,981

 

Term Loan, 7.00%, Maturing December 19, 2011

 

602,791

 

 

 

Flowserve Corp.

 

 

 

1,097,445

 

Term Loan, 6.66%, Maturing August 10, 2012

 

1,113,392

 

 

 

Gleason Corp.

 

 

 

210,726

 

Term Loan, 7.27%, Maturing July 27, 2011

 

213,360

 

746,250

 

Term Loan, 10.32%, Maturing January 31, 2012

 

759,309

 

 

 

Mainline, L.P.

 

 

 

764,444

 

Term Loan, 7.31%, Maturing December 17, 2011

 

770,178

 

 

 

 

 

$

3,710,470

 

Insurance — 2.4%

 

 

 

 

 

ARG Holdings, Inc.

 

 

 

650,000

 

Term Loan, 12.13%, Maturing November 30, 2012

 

661,375

 

 

 

CCC Information Services Group, Inc.

 

 

 

375,000

 

Term Loan, 7.26%, Maturing February 10, 2013

 

380,703

 

 

 

Conseco, Inc.

 

 

 

1,680,822

 

Term Loan, 6.50%, Maturing June 22, 2010

 

1,697,630

 

 

14




 

 

 

 

Hilb, Rogal & Hobbs Co.

 

 

 

$

3,285,585

 

Term Loan, 7.13%, Maturing June 30, 2007

 

$

3,312,281

 

 

 

U.S.I. Holdings Corp.

 

 

 

1,557,587

 

Term Loan, 7.07%, Maturing March 24, 2011

 

1,562,454

 

 

 

 

 

$

7,614,443

 

Leisure Goods / Activities / Movies — 8.0%

 

 

 

 

 

24 Hour Fitness Worldwide, Inc.

 

 

 

900,000

 

Term Loan, 7.62%, Maturing June 8, 2012

 

913,500

 

 

 

Alliance Atlantis Communications, Inc.

 

 

 

335,610

 

Term Loan, 6.48%, Maturing December 20, 2011

 

338,966

 

 

 

AMC Entertainment, Inc.

 

 

 

997,500

 

Term Loan, 6.94%, Maturing January 26, 2013

 

1,009,891

 

 

 

AMF Bowling Worldwide, Inc.

 

 

 

345,829

 

Term Loan, 7.66%, Maturing August 27, 2009

 

349,179

 

 

 

Cinemark, Inc.

 

 

 

1,960,000

 

Term Loan, 6.28%, Maturing March 31, 2011

 

1,989,645

 

 

 

Deluxe Entertainment Services

 

 

 

500,000

 

Term Loan, 8.73%, Maturing January 28, 2011

 

508,334

 

 

 

Fender Musical Instruments Co.

 

 

 

551,740

 

Term Loan, 6.47%, Maturing March 30, 2012

 

561,395

 

375,000

 

Term Loan, 8.72%, Maturing March 30, 2012

 

382,500

 

 

 

HEI Acquisition, LLC

 

 

 

325,000

 

Term Loan, 7.08%, Maturing December 31, 2011

 

329,469

 

 

 

Mega Blocks, Inc.

 

 

 

845,750

 

Term Loan, 6.44%, Maturing July 26, 2012

 

856,322

 

 

 

Metro-Goldwyn-Mayer Holdings, Inc.

 

 

 

5,390,000

 

Term Loan, 7.23%, Maturing April 8, 2012

 

5,463,105

 

 

 

Regal Cinemas Corp.

 

 

 

4,418,563

 

Term Loan, 6.73%, Maturing November 10, 2010

 

4,467,446

 

 

 

Six Flags Theme Parks, Inc.

 

 

 

750,000

 

Revolving Loan, 7.13%, Maturing June 30, 2008 (2)

 

740,312

 

2,223,994

 

Term Loan, 7.11%, Maturing June 30, 2009

 

2,253,531

 

 

 

Southwest Sports Group, LLC

 

 

 

600,000

 

Term Loan, 7.44%, Maturing December 22, 2010

 

607,500

 

 

 

Universal City Development Partners, Ltd.

 

 

 

997,375

 

Term Loan, 6.67%, Maturing June 9, 2011

 

1,010,881

 

 

 

WMG Acquisition Corp.

 

 

 

450,000

 

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

 

438,244

 

3,588,375

 

Term Loan, 6.67%, Maturing February 28, 2011

 

3,637,995

 

 

 

 

 

$

25,858,215

 

Lodging and Casinos — 5.1%

 

 

 

 

 

Alliance Gaming Corp.

 

 

 

1,693,024

 

Term Loan, 8.18%, Maturing September 4, 2009

 

1,713,658

 

 

 

Ameristar Casinos, Inc.

 

 

 

598,500

 

Term Loan, 6.33%, Maturing November 10, 2012

 

604,766

 

15




 

 

 

 

 

CCM Merger, Inc.

 

 

 

$

1,022,277

 

Term Loan, 6.92%, Maturing July 13, 2012

 

$

1,032,116

 

 

 

Columbia Entertainment

 

 

 

533,036

 

Term Loan, 7.48%, Maturing October 24, 2011

 

538,200

 

 

 

Globalcash Access, LLC

 

 

 

223,934

 

Term Loan, 7.08%, Maturing March 10, 2010

 

227,014

 

 

 

Isle of Capri Casinos, Inc.

 

 

 

1,199,812

 

Term Loan, 6.42%, Maturing February 4, 2011

 

1,216,460

 

 

 

MGM Mirage

 

 

 

1,571,429

 

Revolving Loan, 4.15%, Maturing April 25, 2010 (2)

 

1,533,125

 

428,571

 

Term Loan, 6.28%, Maturing April 25, 2010

 

430,446

 

 

 

Penn National Gaming, Inc.

 

 

 

3,497,425

 

Term Loan, 6.39%, Maturing October 3, 2012

 

3,549,341

 

 

 

Pinnacle Entertainment, Inc.

 

 

 

400,000

 

Term Loan, 0.00%, Maturing December 14, 2011 (2)

 

401,125

 

350,000

 

Term Loan, 6.78%, Maturing December 14, 2011

 

353,063

 

 

 

Resorts International Holdings, LLC

 

 

 

1,057,325

 

Term Loan, 7.98%, Maturing April 26, 2012

 

1,069,220

 

466,626

 

Term Loan, 12.48%, Maturing April 26, 2013

 

469,192

 

 

 

Venetian Casino Resort, LLC

 

 

 

2,031,035

 

Term Loan, 6.73%, Maturing June 15, 2011

 

2,054,678

 

418,770

 

Term Loan, 6.73%, Maturing June 15, 2011

 

423,645

 

 

 

Wynn Las Vegas, LLC

 

 

 

665,000

 

Term Loan, 6.98%, Maturing December 14, 2011

 

673,035

 

 

 

 

 

$

16,289,084

 

Nonferrous Metals / Minerals — 2.5%

 

 

 

 

 

Almatis Holdings 5 BV

 

 

 

175,000

 

Term Loan, 7.40%, Maturing December 21, 2013

 

177,116

 

175,000

 

Term Loan, 7.90%, Maturing December 21, 2014

 

177,897

 

 

 

Alpha Natural Resources, LLC

 

 

 

473,812

 

Term Loan, 6.32%, Maturing October 26, 2012

 

477,811

 

 

 

Carmeuse Lime, Inc.

 

 

 

310,229

 

Term Loan, 6.45%, Maturing May 2, 2011

 

311,780

 

 

 

Foundation Coal Corp.

 

 

 

677,128

 

Term Loan, 6.52%, Maturing July 30, 2011

 

688,512

 

 

 

ICG, LLC

 

 

 

44,174

 

Term Loan, 7.41%, Maturing November 5, 2010

 

44,160

 

 

 

International Mill Service, Inc.

 

 

 

246,884

 

Term Loan, 7.73%, Maturing December 31, 2010

 

250,896

 

1,000,000

 

Term Loan, 10.98%, Maturing October 26, 2011

 

1,005,000

 

 

 

Magnequench International, Inc.

 

 

 

1,022,875

 

Term Loan, 8.50%, Maturing August 31, 2009

 

1,025,432

 

 

 

Magnum Coal Co.

 

 

 

1,000,000

 

Term Loan, 8.30%, Maturing March 15, 2013

 

1,003,750

 

100,000

 

Term Loan, 8.33%, Maturing March 15, 2013

 

100,375

 

16




 

 

 

 

 

Murray Energy Corp.

 

 

 

$

742,500

 

Term Loan, 7.83%, Maturing January 28, 2010

 

$

744,356

 

 

 

Novelis, Inc.

 

 

 

457,096

 

Term Loan, 6.44%, Maturing January 6, 2012

 

462,739

 

792,519

 

Term Loan, 6.44%, Maturing January 6, 2012

 

802,302

 

 

 

Stillwater Mining Co.

 

 

 

715,191

 

Term Loan, 7.13%, Maturing June 30, 2007

 

724,578

 

 

 

 

 

$

7,996,704

 

Oil and Gas — 4.6%

 

 

 

 

 

Coffeyville Resources, LLC

 

 

 

450,000

 

Term Loan, 11.75%, Maturing June 24, 2013

 

465,047

 

 

 

Dresser, Inc.

 

 

 

83,841

 

Term Loan, 7.33%, Maturing March 31, 2007

 

85,309

 

 

 

El Paso Corp.

 

 

 

1,071,750

 

Term Loan, 4.51%, Maturing November 23, 2009

 

1,085,073

 

2,233,340

 

Term Loan, 7.75%, Maturing November 23, 2009

 

2,264,048

 

 

 

Epco Holdings, Inc.

 

 

 

613,800

 

Term Loan, 6.59%, Maturing August 18, 2010

 

622,240

 

 

 

Key Energy Services, Inc.

 

 

 

638,400

 

Term Loan, 7.68%, Maturing June 30, 2012

 

648,375

 

 

 

LB Pacific, L.P.

 

 

 

539,550

 

Term Loan, 7.72%, Maturing March 3, 2012

 

547,643

 

 

 

Lyondell-Citgo Refining, L.P.

 

 

 

933,375

 

Term Loan, 6.98%, Maturing May 21, 2007

 

942,709

 

 

 

Petroleum Geo-Services ASA

 

 

 

1,271,813

 

Term Loan, 7.48%, Maturing December 16, 2012

 

1,288,505

 

 

 

Targa Resources, Inc.

 

 

 

895,000

 

Term Loan, 6.83%, Maturing October 31, 2007

 

899,475

 

2,026,125

 

Term Loan, 7.09%, Maturing October 31, 2012

 

2,057,783

 

395,714

 

Term Loan, 7.23%, Maturing October 31, 2012

 

401,897

 

 

 

Universal Compression, Inc.

 

 

 

549,452

 

Term Loan, 6.48%, Maturing February 15, 2012

 

555,908

 

 

 

Williams Production RMT Co.

 

 

 

2,922,737

 

Term Loan, 7.01%, Maturing May 30, 2008

 

2,962,925

 

 

 

 

 

$

14,826,937

 

Publishing — 5.3%

 

 

 

 

 

American Media Operations, Inc.

 

 

 

2,000,000

 

Term Loan, 7.63%, Maturing January 31, 2013

 

2,027,750

 

 

 

CBD Media, LLC

 

 

 

424,837

 

Term Loan, 7.24%, Maturing December 31, 2009

 

431,475

 

 

 

Dex Media East, LLC

 

 

 

1,517,458

 

Term Loan, 6.48%, Maturing May 8, 2009

 

1,532,374

 

 

 

Dex Media West, LLC

 

 

 

1,854,150

 

Term Loan, 6.53%, Maturing March 9, 2010

 

1,873,077

 

17




 

 

 

 

 

Hanley-Wood, LLC

 

 

 

$

31,788

 

Term Loan, 0.00%, Maturing August 1, 2012 (2)

 

$

31,987

 

268,212

 

Term Loan, 6.98%, Maturing August 1, 2012

 

269,888

 

 

 

Herald Media, Inc.

 

 

 

147,290

 

Term Loan, 7.67%, Maturing July 22, 2011

 

147,935

 

500,000

 

Term Loan, 10.67%, Maturing January 22, 2012

 

506,250

 

 

 

Liberty Group Operating, Inc.

 

 

 

708,776

 

Term Loan, 7.13%, Maturing February 28, 2012

 

716,085

 

 

 

Merrill Communications, LLC

 

 

 

691,413

 

Term Loan, 7.14%, Maturing May 5, 2011

 

698,867

 

 

 

Nebraska Book Co., Inc.

 

 

 

475,300

 

Term Loan, 7.61%, Maturing March 4, 2011

 

480,647

 

 

 

R.H. Donnelley Corp.

 

 

 

71,499

 

Term Loan, 6.68%, Maturing December 31, 2009

 

71,836

 

2,772,046

 

Term Loan, 6.62%, Maturing June 30, 2011

 

2,796,833

 

 

 

Source Media, Inc.

 

 

 

647,862

 

Term Loan, 7.21%, Maturing November 8, 2011

 

656,365

 

 

 

SP Newsprint Co.

 

 

 

969,921

 

Term Loan, 4.83%, Maturing January 9, 2010

 

983,258

 

361,630

 

Term Loan, 7.07%, Maturing January 9, 2010

 

366,603

 

 

 

Sun Media Corp.

 

 

 

2,368,587

 

Term Loan, 6.67%, Maturing February 7, 2009

 

2,402,635

 

 

 

Xsys US, Inc.

 

 

 

605,124

 

Term Loan, 7.48%, Maturing December 31, 2012

 

610,797

 

618,087

 

Term Loan, 7.98%, Maturing December 31, 2013

 

626,972

 

 

 

 

 

$

17,231,634

 

Radio and Television — 7.0%

 

 

 

 

 

 

Adams Outdoor Advertising, L.P.

 

 

 

 

929,917

 

Term Loan, 6.62%, Maturing November 18, 2012

 

943,865

 

 

 

 

ALM Media Holdings, Inc.

 

 

 

 

826,650

 

Term Loan, 7.49%, Maturing March 5, 2010

 

831,472

 

 

 

 

Block Communications, Inc.

 

 

 

 

448,875

 

Term Loan, 6.98%, Maturing December 22, 2011

 

455,328

 

 

 

 

DirecTV Holdings, LLC

 

 

 

 

2,086,667

 

Term Loan, 6.28%, Maturing April 13, 2013

 

2,112,750

 

 

 

 

Entravision Communications Corp.

 

 

 

 

723,188

 

Term Loan, 6.03%, Maturing September 29, 2013

 

729,365

 

 

 

 

Gray Television, Inc.

 

 

 

 

698,250

 

Term Loan, 6.03%, Maturing November 22, 2015

 

703,836

 

 

 

 

HIT Entertainment, Inc.

 

 

 

 

796,000

 

Term Loan, 7.17%, Maturing March 20, 2012

 

802,766

 

 

 

 

Montecito Broadcast Group, LLC

 

 

 

 

349,125

 

Term Loan, 7.14%, Maturing January 27, 2013

 

355,016

 

 

 

 

NEP Supershooters, L.P.

 

 

 

 

805,642

 

Term Loan, 12.98%, Maturing August 3, 2011

 

801,614

 

 

 

18




 

 

 

 

Nexstar Broadcasting, Inc.

 

 

 

$

975,354

 

Term Loan, 6.73%, Maturing October 1, 2012

 

$

980,840

 

970,157

 

Term Loan, 6.73%, Maturing October 1, 2012

 

975,614

 

 

 

NextMedia Operating, Inc.

 

 

 

68,885

 

Term Loan, 6.66%, Maturing November 15, 2012

 

69,670

 

154,992

 

Term Loan, 6.75%, Maturing November 15, 2012

 

156,760

 

 

 

PanAmSat Corp.

 

 

 

2,705,656

 

Term Loan, 6.90%, Maturing August 20, 2011

 

2,745,078

 

 

 

Patriot Media and Communications CNJ, LLC

 

 

 

300,000

 

Term Loan, 9.69%, Maturing October 6, 2013

 

306,984

 

 

 

Paxson Communcations Corp.

 

 

 

1,350,000

 

Term Loan, 7.78%, Maturing January 15, 2012

 

1,355,906

 

 

 

Rainbow National Services, LLC

 

 

 

1,473,793

 

Term Loan, 7.56%, Maturing March 31, 2012

 

1,493,137

 

 

 

Raycom TV Broadcasting, LLC

 

 

 

1,521,041

 

Term Loan, 6.50%, Maturing August 28, 2013

 

1,528,646

 

 

 

SFX Entertainment

 

 

 

748,125

 

Term Loan, 7.23%, Maturing June 21, 2013

 

751,710

 

 

 

Spanish Broadcasting System, Inc.

 

 

 

997,481

 

Term Loan, 6.98%, Maturing June 10, 2012

 

1,010,781

 

 

 

Susquehana Media Co.

 

 

 

2,623,500

 

Term Loan, 6.33%, Maturing March 9, 2012

 

2,628,419

 

 

 

Young Broadcasting, Inc.

 

 

 

884,569

 

Term Loan, 6.95%, Maturing November 3, 2012

 

888,301

 

 

 

 

 

$

22,627,858

 

Rail Industries — 0.5%

 

 

 

 

 

Kansas City Southern Industries, Inc.

 

 

 

365,375

 

Term Loan, 6.31%, Maturing March 30, 2008

 

367,240

 

 

 

Railamerica, Inc.

 

 

 

1,287,361

 

Term Loan, 7.06%, Maturing September 29, 2011

 

1,307,744

 

75,210

 

Term Loan, 7.06%, Maturing September 29, 2011

 

76,401

 

 

 

 

 

$

1,751,385

 

Retailers (Except Food and Drug) — 5.3%

 

 

 

 

 

American Achievement Corp.

 

 

 

241,122

 

Term Loan, 9.25%, Maturing March 25, 2011

 

245,342

 

 

 

Amscan Holdings, Inc.

 

 

 

775,000

 

Term Loan, 7.77%, Maturing December 23, 2012

 

774,031

 

 

 

Coinmach Laundry Corp.

 

 

 

2,996,974

 

Term Loan, 7.31%, Maturing December 15, 2012

 

3,045,051

 

 

 

FTD, Inc.

 

 

 

340,397

 

Term Loan, 6.92%, Maturing February 28, 2011

 

344,545

 

 

 

Harbor Freight Tools USA, Inc.

 

 

 

852,272

 

Term Loan, 7.00%, Maturing July 15, 2010

 

861,434

 

 

 

Home Interiors & Gifts, Inc.

 

 

 

648,971

 

Term Loan, 9.81%, Maturing March 31, 2011

 

614,359

 

19




 

 

 

 

 

Josten’s Corp.

 

 

 

$

2,271,184

 

Term Loan, 7.32%, Maturing October 4, 2010

 

$

2,305,015

 

 

 

Mapco Express, Inc.

 

 

 

324,548

 

Term Loan, 7.70%, Maturing April 28, 2011

 

330,227

 

 

 

Mauser Werke GMBH & Co. KG

 

 

 

625,000

 

Term Loan, 7.52%, Maturing December 3, 2011

 

628,906

 

 

 

Movie Gallery, Inc.

 

 

 

526,921

 

Term Loan, 8.73%, Maturing April 27, 2011

 

476,823

 

 

 

Musicland Group, Inc.

 

 

 

1,000,000

 

Revolving Loan, 0.00%, Maturing August 11, 2008 (2)

 

1,002,500

 

 

 

Neiman Marcus Group, Inc.

 

 

 

498,418

 

Term Loan, 7.34%, Maturing April 5, 2013

 

506,272

 

 

 

Oriental Trading Co., Inc.

 

 

 

1,705,886

 

Term Loan, 7.25%, Maturing August 4, 2010

 

1,722,945

 

 

 

Rent-A-Center, Inc.

 

 

 

1,273,741

 

Term Loan, 6.47%, Maturing June 30, 2010

 

1,288,549

 

 

 

Savers, Inc.

 

 

 

311,362

 

Term Loan, 7.60%, Maturing August 4, 2009

 

314,865

 

500,000

 

Term Loan, 12.22%, Maturing August 4, 2010

 

510,625

 

 

 

Sears Canada, Inc.

 

 

 

500,000

 

Term Loan, 6.71%, Maturing December 22, 2012

 

506,875

 

 

 

Travelcenters of America, Inc.

 

 

 

1,655,850

 

Term Loan, 6.62%, Maturing November 30, 2008

 

1,674,893

 

 

 

 

 

$

17,153,257

 

Steel — 0.1%

 

 

 

 

 

Gibraltar Industries, Inc.

 

 

 

448,875

 

Term Loan, 6.69%, Maturing December 8, 2010

 

452,242

 

 

 

 

 

$

452,242

 

Surface Transport — 0.3%

 

 

 

 

 

Horizon Lines, LLC

 

 

 

245,625

 

Term Loan, 7.17%, Maturing July 7, 2011

 

249,105

 

 

 

Sirva Worldwide, Inc.

 

 

 

862,898

 

Term Loan, 9.08%, Maturing December 1, 2010

 

859,123

 

 

 

 

 

$

1,108,228

 

Telecommunications — 5.8%

 

 

 

 

 

AAT Communications Corp.

 

 

 

660,000

 

Term Loan, 7.56%, Maturing July 29, 2013

 

663,437

 

 

 

Alaska Communications Systems Holdings, Inc.

 

 

 

530,000

 

Term Loan, 6.73%, Maturing February 11, 2012

 

535,433

 

 

 

Cellular South, Inc.

 

 

 

343,875

 

Term Loan, 6.47%, Maturing May 4, 2011

 

348,603

 

 

 

Centennial Cellular Operating Co., LLC

 

 

 

1,833,333

 

Term Loan, 7.21%, Maturing February 9, 2011

 

1,861,598

 

 

 

Cincinnati Bell, Inc.

 

 

 

348,250

 

Term Loan, 6.18%, Maturing August 31, 2012

 

351,134

 

20




 

 

 

 

 

Consolidated Communications, Inc.

 

 

 

$

2,244,965

 

Term Loan, 6.68%, Maturing April 14, 2011

 

$

2,272,091

 

 

 

D&E Communications, Inc.

 

 

 

464,212

 

Term Loan, 6.81%, Maturing December 31, 2011

 

467,984

 

 

 

Fairpoint Communications, Inc.

 

 

 

1,130,000

 

Term Loan, 6.75%, Maturing February 8, 2012

 

1,140,029

 

 

 

Hawaiian Telcom Communications, Inc.

 

 

 

400,000

 

Term Loan, 7.23%, Maturing October 31, 2012

 

404,464

 

 

 

Intelsat, Ltd.

 

 

 

1,492,443

 

Term Loan, 6.75%, Maturing July 28, 2011

 

1,508,301

 

 

 

Iowa Telecommunications Services

 

 

 

334,000

 

Term Loan, 6.69%, Maturing November 23, 2011

 

338,280

 

 

 

IPC Acquisition Corp.

 

 

 

239,718

 

Term Loan, 7.57%, Maturing August 5, 2011

 

243,463

 

 

 

Madison River Capital, LLC

 

 

 

290,000

 

Term Loan, 6.80%, Maturing July 31, 2012

 

293,806

 

 

 

NTelos, Inc.

 

 

 

1,135,625

 

Term Loan, 7.33%, Maturing February 18, 2011

 

1,153,795

 

 

 

Qwest Corp.

 

 

 

2,000,000

 

Term Loan, 9.50%, Maturing June 4, 2007

 

2,054,376

 

 

 

Stratos Global Corp.

 

 

 

575,000

 

Term Loan, 7.73%, Maturing February 13, 2012

 

582,906

 

 

 

Triton PCS, Inc.

 

 

 

1,565,847

 

Term Loan, 8.08%, Maturing November 18, 2009

 

1,578,325

 

 

 

Valor Telecom Enterprise, LLC

 

 

 

1,703,500

 

Term Loan, 6.68%, Maturing February 14, 2012

 

1,709,357

 

 

 

Westcom Corp.

 

 

 

405,649

 

Term Loan, 7.54%, Maturing December 17, 2010

 

406,410

 

600,000

 

Term Loan, 11.79%, Maturing May 17, 2011

 

610,500

 

 

 

Winstar Communications, Inc.

 

 

 

169,348

 

DIP Loan, 0.00%, Maturing December 31, 2006 (3)

 

233,982

 

 

 

 

 

$

18,758,274

 

Utilities — 4.3%

 

 

 

 

 

Allegheny Energy Supply Co., LLC

 

 

 

1,579,603

 

Term Loan, 6.33%, Maturing July 21, 2011

 

1,590,134

 

 

 

Astoria Generating Co.

 

 

 

625,000

 

Term Loan, 8.69%, Maturing August 23, 2013

 

638,477

 

 

 

Cellnet Technology, Inc.

 

 

 

312,638

 

Term Loan, 7.89%, Maturing April 26, 2012

 

317,718

 

 

 

Cogentrix Delaware Holdings, Inc.

 

 

 

429,308

 

Term Loan, 6.75%, Maturing April 14, 2012

 

434,406

 

 

 

Covanta Energy Corp.

 

 

 

528,130

 

Term Loan, 4.96%, Maturing June 24, 2012

 

537,372

 

378,459

 

Term Loan, 7.94%, Maturing June 24, 2012

 

385,082

 

350,000

 

Term Loan, 10.39%, Maturing June 24, 2013

 

356,563

 

 

21




 

 

 

 

KGen, LLC

 

 

 

$

475,200

 

Term Loan, 7.60%, Maturing August 5, 2011

 

$

479,952

 

 

 

La Paloma Generating Co., LLC

 

 

 

29,508

 

Term Loan, 6.58%, Maturing August 16, 2012

 

29,844

 

173,782

 

Term Loan, 6.73%, Maturing August 16, 2012

 

175,759

 

13,841

 

Term Loan, 6.73%, Maturing August 16, 2012

 

13,998

 

 

 

Mirant North America, LLC

 

 

 

1,250,000

 

Term Loan, 6.44%, Maturing January 3, 2013

 

1,261,943

 

 

 

NRG Energy, Inc.

 

 

 

4,250,000

 

Term Loan, 6.82%, Maturing February 1, 2013

 

4,307,256

 

975,000

 

Term Loan, 6.98%, Maturing February 1, 2013

 

987,035

 

 

 

Pike Electric, Inc.

 

 

 

166,324

 

Term Loan, 6.19%, Maturing July 1, 2012

 

168,403

 

284,029

 

Term Loan, 6.25%, Maturing July 1, 2012

 

287,580

 

 

 

Plains Resources, Inc.

 

 

 

1,306,764

 

Term Loan, 6.25%, Maturing August 12, 2011

 

1,316,564

 

 

 

Reliant Energy, Inc.

 

 

 

138,572

 

Term Loan, 7.18%, Maturing December 22, 2010

 

138,572

 

 

 

Wolf Hollow I L.P.

 

 

 

225,000

 

Term Loan, 7.06%, Maturing June 22, 2012

 

227,602

 

222,229

 

Term Loan, 7.19%, Maturing June 22, 2012

 

224,798

 

 

 

 

 

$

13,879,058

 

Total Senior Floating Rate Interests
(identified cost $472,935,771)

 

$

477,224,618

 

 

Corporate Bonds & Notes — 15.4%

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000’s omitted)

 

Security

 

Value

 

Aerospace and Defense — 0.2%

 

 

 

 

 

Argo Tech Corp., Sr. Notes

 

 

 

$

300

 

9.25%, 6/1/11

 

$

318,000

 

 

 

Delta Air Lines, Inc.

 

 

 

49

 

9.50%, 11/18/08 (3)(4)

 

47,897

 

 

 

DRS Technologies, Inc.

 

 

 

40

 

7.625%, 2/1/18

 

41,400

 

 

 

Sequa Corp.

 

 

 

300

 

8.875%, 4/1/08

 

314,250

 

 

 

 

 

$

721,547

 

Air Transport — 0.4%

 

 

 

 

 

American Airlines

 

 

 

895

 

7.80%, 10/1/06

 

898,231

 

20

 

7.858%, 10/1/11

 

21,297

 

 

 

Continental Airlines

 

 

 

197

 

7.033%, 6/15/11

 

187,871

 

 

 

 

 

$

1,107,399

 

22




 

 

 

Automotive — 0.9%

 

 

 

 

 

Altra Industrial Motion, Inc.

 

 

 

$

35

 

9.00%, 12/1/11 (4)

 

$

35,175

 

 

 

Commercial Vehicle Group, Inc., Sr. Notes

 

 

 

55

 

8.00%, 7/1/13 (4)

 

55,275

 

 

 

Ford Motor Credit Co.

 

 

 

110

 

6.50%, 1/25/07

 

109,600

 

385

 

7.375%, 10/28/09

 

362,227

 

185

 

7.875%, 6/15/10

 

173,582

 

 

 

Ford Motor Credit Co., Variable Rate

 

 

 

535

 

7.68%, 11/2/07

 

527,355

 

 

 

General Motors Acceptance Corp.

 

 

 

130

 

6.125%, 9/15/06

 

129,414

 

105

 

5.125%, 5/9/08

 

98,865

 

55

 

5.85%, 1/14/09

 

51,469

 

20

 

7.00%, 2/1/12

 

18,644

 

160

 

8.00%, 11/1/31

 

151,612

 

 

 

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

 

 

 

470

 

9.75%, 11/1/13

 

413,600

 

 

 

Metaldyne Corp.

 

 

 

35

 

10.00%, 11/1/13

 

32,900

 

 

 

Tenneco Automotive, Inc.

 

 

 

140

 

8.625%, 11/15/14

 

140,700

 

 

 

Tenneco Automotive, Inc., Series B

 

 

 

230

 

10.25%, 7/15/13

 

256,450

 

 

 

TRW Automotive, Inc., Sr. Sub. Notes

 

 

 

65

 

11.00%, 2/15/13

 

72,962

 

 

 

United Components, Inc., Sr. Sub. Notes

 

 

 

65

 

9.375%, 6/15/13

 

63,050

 

 

 

Visteon Corp., Sr. Notes

 

 

 

95

 

8.25%, 8/1/10

 

78,850

 

 

 

 

 

$

2,771,730

 

Brokers / Dealers / Investment Houses — 0.0%

 

 

 

 

 

E*Trade Financial Corp., Sr. Notes

 

 

 

40

 

8.00%, 6/15/11

 

41,750

 

 

 

 

 

$

41,750

 

Building and Development — 0.5%

 

 

 

 

 

Coleman Cable, Inc., Sr. Notes

 

 

 

75

 

9.875%, 10/1/12

 

67,875

 

 

 

General Cable Corp., Sr. Notes

 

 

 

105

 

9.50%, 11/15/10

 

113,925

 

 

 

Interface, Inc., Sr. Sub. Notes

 

 

 

20

 

9.50%, 2/1/14

 

20,600

 

 

 

MAAX Corp., Sr. Sub. Notes

 

 

 

50

 

9.75%, 6/15/12

 

43,000

 

23




 

 

 

 

 

Mueller Group, Inc., Sr. Sub. Notes

 

 

 

$

185

 

10.00%, 5/1/12

 

$

203,500

 

 

 

Mueller Holdings, Inc., Disc. Notes

 

 

 

160

 

14.75%, 4/15/14

 

131,200

 

 

 

Nortek, Inc., Sr. Sub Notes

 

 

 

245

 

8.50%, 9/1/14

 

250,512

 

 

 

NTK Holdings, Inc., Sr. Disc. Notes

 

 

 

115

 

10.75%, 3/1/14

 

84,525

 

 

 

Panolam Industries International, Sr. Sub. Notes

 

 

 

150

 

10.75%, 10/1/13 (4)

 

146,250

 

 

 

RMCC Acquisition Co., Sr. Sub. Notes

 

 

 

405

 

9.50%, 11/1/12 (4)

 

417,150

 

 

 

Stanley-Martin Co.

 

 

 

40

 

9.75%, 8/15/15 (4)

 

36,800

 

 

 

 

 

$

1,515,337

 

Business Equipment and Services — 0.3%

 

 

 

 

 

Hydrochem Industrial Services, Inc., Sr. Sub. Notes

 

 

 

40

 

9.25%, 2/15/13 (4)

 

39,900

 

 

 

Muzak, LLC / Muzak Finance, Sr. Notes

 

 

 

20

 

10.00%, 2/15/09

 

17,500

 

 

 

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

 

 

 

170

 

9.875%, 8/15/11

 

177,225

 

 

 

Safety Products Holdings, Inc.

 

 

 

74

 

11.75%, 1/1/12

 

74,242

 

 

 

Sungard Data Systems, Inc., Sr. Notes

 

 

 

215

 

9.125%, 8/15/13 (4)

 

228,437

 

 

 

Sungard Data Systems, Inc., Sr. Notes, Variable Rate

 

 

 

55

 

9.431%, 8/15/13 (4)

 

58,300

 

 

 

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

 

 

 

285

 

10.25%, 8/15/15 (4)

 

301,387

 

 

 

Xerox Corp.

 

 

 

105

 

9.75%, 1/15/09

 

115,369

 

 

 

 

 

$

1,012,360

 

Cable and Satellite Television — 0.6%

 

 

 

 

 

Adelphia Communications, Sr. Notes, Series B

 

 

 

270

 

9.25%, 10/1/32 (3)

 

157,950

 

 

 

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

 

 

 

395

 

8.75%, 11/15/13 (4)

 

386,112

 

 

 

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

 

 

 

55

 

7.625%, 4/1/11

 

55,550

 

 

 

CSC Holdings, Inc., Sr. Sub. Notes

 

 

 

85

 

10.50%, 5/15/16

 

89,887

 

 

 

Insight Communications, Sr. Disc. Notes

 

 

 

525

 

12.25%, 2/15/11

 

559,125

 

24




 

 

 

 

 

Kabel Deutschland GMBH

 

 

 

$

135

 

10.625%, 7/1/14 (4)

 

$

144,787

 

 

 

UGS Corp.

 

 

 

575

 

10.00%, 6/1/12

 

635,375

 

 

 

 

 

$

2,028,786

 

Chemicals and Plastics — 0.9%

 

 

 

 

 

Aventine Renewable Energy, Variable Rate

 

 

 

55

 

10.91%, 12/15/11 (4)

 

58,025

 

 

 

BCP Crystal Holdings Corp., Sr. Sub. Notes

 

 

 

172

 

9.625%, 6/15/14

 

191,350

 

 

 

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

 

 

 

179

 

10.50%, 10/1/14

 

139,620

 

 

 

Equistar Chemical, Sr. Notes

 

 

 

110

 

10.625%, 5/1/11

 

119,625

 

 

 

Hexion Specialty Chemicals, Inc.

 

 

 

95

 

9.00%, 7/15/14

 

98,325

 

 

 

Huntsman International, LLC, Sr. Notes

 

 

 

80

 

9.875%, 3/1/09

 

84,000

 

 

 

Huntsman, LLC

 

 

 

91

 

11.625%, 10/15/10

 

103,512

 

 

 

Ineos Group

 

 

 

320

 

8.50%, 2/15/16 (4)

 

305,600

 

 

 

Key Plastics, LLC, Jr. Sub. Notes

 

 

 

74

 

4.00%, 4/26/07 (5)

 

74,913

 

 

 

Key Plastics, LLC, Sr. Sub. Notes

 

 

 

118

 

7.00%, 4/26/07 (5)

 

118,512

 

 

 

Lyondell Chemical Co., Sr. Notes

 

 

 

192

 

10.50%, 6/1/13

 

213,600

 

 

 

Nalco Co., Sr. Notes

 

 

 

100

 

7.75%, 11/15/11

 

101,750

 

 

 

Nova Chemicals Corp., Sr. Notes, Variable Rate

 

 

 

160

 

7.561%, 11/15/13 (4)

 

161,600

 

 

 

OM Group, Inc.

 

 

 

460

 

9.25%, 12/15/11

 

478,400

 

 

 

Polyone Corp., Sr. Notes

 

 

 

210

 

10.625%, 5/15/10

 

228,375

 

30

 

8.875%, 5/1/12

 

30,900

 

 

 

Rhodia SA, Sr. Notes

 

 

 

59

 

10.25%, 6/1/10

 

66,449

 

 

 

Solo Cup Co., Sr. Sub. Notes

 

 

 

215

 

8.50%, 2/15/14

 

203,175

 

 

 

 

 

$

2,777,731

 

 

25




 

 

Clothing / Textiles — 0.5%

 

 

 

 

 

Levi Strauss & Co., Sr. Notes

 

 

 

$

395

 

12.25%, 12/15/12

 

$

450,794

 

170

 

9.75%, 1/15/15

 

179,775

 

 

 

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

 

 

 

205

 

9.28%, 4/1/12

 

213,200

 

 

 

Oxford Industries, Inc., Sr. Notes

 

 

 

305

 

8.875%, 6/1/11

 

315,675

 

 

 

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

 

 

 

160

 

8.875%, 9/15/13

 

160,800

 

 

 

Phillips Van-Heusen, Sr. Notes

 

 

 

40

 

7.25%, 2/15/11

 

41,000

 

100

 

8.125%, 5/1/13

 

106,500

 

 

 

Quiksilver, Inc.

 

 

 

75

 

6.875%, 4/15/15

 

73,312

 

 

 

Russell Corp.

 

 

 

55

 

9.25%, 5/1/10

 

57,337

 

 

 

 

 

$

1,598,393

 

Conglomerates — 0.2%

 

 

 

 

 

Amsted Industries, Inc., Sr. Notes

 

 

 

500

 

10.25%, 10/15/11 (4)

 

553,750

 

 

 

Goodman Global Holdings, Inc., Sr. Notes, Variable Rate

 

 

 

80

 

7.491%, 6/15/12

 

81,800

 

 

 

Rexnord Corp.

 

 

 

45

 

10.125%, 12/15/12

 

49,612

 

 

 

 

 

$

685,162

 

Containers and Glass Products — 0.1%

 

 

 

 

 

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

 

 

 

180

 

8.50%, 8/1/14

 

178,200

 

 

 

Pliant Corp. (PIK)

 

 

 

86

 

11.625%, 6/15/09 (5)

 

93,307

 

 

 

 

 

$

271,507

 

Cosmetics / Toiletries — 0.0%

 

 

 

 

 

Samsonite Corp., Sr. Sub. Notes

 

 

 

125

 

8.875%, 6/1/11

 

132,812

 

 

 

 

 

$

132,812

 

Ecological Services and Equipment — 0.2%

 

 

 

 

 

Aleris International, Inc.

 

 

 

130

 

10.375%, 10/15/10

 

143,975

 

117

 

9.00%, 11/15/14

 

123,142

 

 

 

Waste Services, Inc., Sr. Sub Notes

 

 

 

220

 

9.50%, 4/15/14

 

227,975

 

 

 

 

 

$

495,092

 

26




 

 

 

Electronics / Electrical — 0.1%

 

 

 

 

 

Advanced Micro Devices, Inc., Sr. Notes

 

 

 

$

179

 

7.75%, 11/1/12

 

$

188,174

 

 

 

Amkor Technologies, Inc., Sr. Notes

 

 

 

30

 

7.75%, 5/15/13

 

27,750

 

 

 

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

 

 

 

50

 

10.561%, 2/1/15

 

52,250

 

 

 

Solectron Global Finance, Ltd., Sr. Sub. Notes

 

 

 

30

 

8.00%, 3/15/16 (4)

 

30,225

 

 

 

 

 

$

298,399

 

Equipment Leasing — 0.3%

 

 

 

 

 

The Hertz Corp., Sr. Notes

 

 

 

420

 

8.875%, 1/1/14 (4)

 

437,850

 

250

 

10.50%, 1/1/16 (4)

 

272,500

 

 

 

United Rentals North America, Inc.

 

 

 

15

 

6.50%, 2/15/12

 

14,775

 

 

 

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

 

 

 

370

 

7.00%, 2/15/14

 

357,975

 

 

 

 

 

$

1,083,100

 

Financial Intermediaries — 1.6%

 

 

 

 

 

Alzette, Variable Rate

 

 

 

500

 

8.691%, 12/15/20

 

511,562

 

 

 

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

 

 

 

380

 

6.73%, 2/24/19 (4)

 

380,999

 

 

 

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

 

 

 

500

 

6.55%, 4/15/19 (4)

 

502,919

 

 

 

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

 

 

 

500

 

6.65%, 1/15/19 (4)

 

504,645

 

 

 

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

 

 

 

500

 

7.19%, 8/11/16 (4)

 

500,000

 

 

 

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

 

 

 

500

 

10.36%, 3/8/17

 

509,375

 

 

 

Centurion CDO 9 Ltd., Series 2005-9A

 

 

 

500

 

8.30%, 7/17/19

 

500,000

 

 

 

Madison Park Funding Ltd., Series 2006-2A, Class D, Variable Rate

 

 

 

1,000

 

9.727%, 3/25/20 (4)

 

1,000,000

 

 

 

Residential Capital Corp., Sr. Notes

 

 

 

85

 

6.875%, 6/30/15

 

88,765

 

 

 

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

 

 

 

500

 

6.98%, 3/21/17 (4)

 

502,305

 

 

 

 

 

$

5,000,570

 

27




 

 

 

Food Products — 0.7%

 

 

 

 

 

American Seafoods Holdings, LLC

 

 

 

$

415

 

10.125%, 4/15/10

 

$

436,011

 

 

 

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

 

 

 

220

 

11.50%, 11/1/11

 

181,500

 

 

 

Pierre Foods, Inc., Sr. Sub. Notes

 

 

 

175

 

9.875%, 7/15/12

 

180,687

 

 

 

Pinnacle Foods Holdings Corp., Sr. Sub. Notes

 

 

 

1,125

 

8.25%, 12/1/13

 

1,119,375

 

 

 

UAP Holding Corp., Sr. Disc. Notes

 

 

 

265

 

10.75%, 7/15/12

 

238,500

 

 

 

United Agricultural Products, Sr. Notes

 

 

 

50

 

8.25%, 12/15/11

 

52,250

 

 

 

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

 

 

 

42

 

9.50%, 4/1/11

 

45,570

 

 

 

 

 

$

2,253,893

 

Food Service — 0.0%

 

 

 

 

 

EPL Finance Corp., Sr. Notes

 

 

 

110

 

11.75%, 11/15/13 (4)

 

113,300

 

 

 

 

 

$

113,300

 

Food / Drug Retailers — 0.2%

 

 

 

 

 

General Nutrition Centers, Inc.

 

 

 

50

 

8.625%, 1/15/11

 

50,875

 

 

 

Rite Aid Corp.

 

 

 

185

 

7.125%, 1/15/07

 

187,081

 

240

 

6.125%, 12/15/08 (4)

 

234,600

 

100

 

8.125%, 5/1/10

 

102,625

 

 

 

 

 

$

575,181

 

Forest Products — 0.6%

 

 

 

 

 

Abitibi-Consolidated, Inc.

 

 

 

95

 

6.95%, 4/1/08

 

94,762

 

 

 

Caraustar Industries, Inc., Sr. Sub. Notes

 

 

 

110

 

9.875%, 4/1/11

 

116,187

 

 

 

Georgia-Pacific Corp.

 

 

 

145

 

9.50%, 12/1/11

 

159,500

 

 

 

JSG Funding PLC, Sr. Notes

 

 

 

355

 

9.625%, 10/1/12

 

377,187

 

 

 

NewPage Corp.

 

 

 

280

 

10.00%, 5/1/12

 

295,400

 

165

 

10.93%, 5/1/12

 

176,137

 

 

 

Stone Container Corp.

 

 

 

255

 

7.375%, 7/15/14

 

238,425

 

 

 

Stone Container Corp., Sr. Notes

 

 

 

438

 

9.25%, 2/1/08

 

458,258

 

 

 

 

 

$

1,915,856

 

28




 

 

 

Healthcare — 0.7%

 

 

 

 

 

Accellent, Inc.

 

 

 

$

230

 

10.50%, 12/1/13 (4)

 

$

246,675

 

 

 

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

 

 

 

155

 

10.00%, 2/15/15 (4)

 

166,238

 

 

 

CDRV Investors, Inc., Sr. Disc. Notes

 

 

 

20

 

9.625%, 1/1/15

 

13,700

 

 

 

Encore Medical IHC, Inc.

 

 

 

95

 

9.75%, 10/1/12

 

96,425

 

 

 

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

 

 

 

120

 

8.75%, 2/15/12

 

118,800

 

 

 

National Mentor, Inc., Sr. Sub Notes

 

 

 

125

 

9.625%, 12/1/12

 

141,875

 

 

 

Res-Care, Inc., Sr. Notes

 

 

 

105

 

7.75%, 10/15/13 (4)

 

106,050

 

 

 

Service Corp. International, Sr. Notes

 

 

 

210

 

7.00%, 6/15/17 (4)

 

214,725

 

 

 

Tenet Healthcare Corp., Sr. Notes

 

 

 

145

 

6.50%, 6/1/12

 

131,225

 

20

 

9.25%, 2/1/15 (4)

 

20,100

 

 

 

US Oncology, Inc.

 

 

 

120

 

9.00%, 8/15/12

 

124,800

 

240

 

10.75%, 8/15/14

 

263,400

 

 

 

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

 

 

 

165

 

9.00%, 10/1/14

 

169,538

 

 

 

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

 

 

 

75

 

7.125%, 6/1/15

 

77,438

 

 

 

VWR International, Inc., Sr. Sub. Notes

 

 

 

225

 

8.00%, 4/15/14

 

225,563

 

 

 

 

 

$

2,116,552

 

Home Furnishings — 0.1%

 

 

 

 

 

Fedders North America, Inc.

 

 

 

95

 

9.875%, 3/1/14

 

58,900

 

 

 

Interline Brands, Inc., Sr. Sub. Notes

 

 

 

32

 

11.50%, 5/15/11

 

35,480

 

 

 

Steinway Musical Instruments, Sr. Notes

 

 

 

85

 

7.00%, 3/1/14 (4)

 

85,425

 

 

 

 

 

$

179,805

 

Industrial Equipment — 0.3%

 

 

 

 

 

Case New Holland, Inc., Sr. Notes

 

 

 

190

 

9.25%, 8/1/11

 

203,775

 

315

 

7.125%, 3/1/14 (4)

 

312,638

 

 

 

Chart Industries, Inc., Sr. Sub. Notes

 

 

 

105

 

9.125%, 10/15/15 (4)

 

108,938

 

 

29




 

 

 

 

Manitowoc Co., Inc. (The)

 

 

 

$

29

 

10.50%, 8/1/12

 

$

32,263

 

 

 

Milacron Escrow Corp.

 

 

 

195

 

11.50%, 5/15/11

 

179,400

 

 

 

Thermadyne Holdings Corp., Sr. Sub. Notes

 

 

 

165

 

9.25%, 2/1/14

 

149,325

 

 

 

 

 

$

986,339

 

Leisure Goods / Activities / Movies — 0.5%

 

 

 

 

 

AMC Entertainment, Inc., Sr. Sub. Notes

 

 

 

225

 

9.875%, 2/1/12

 

222,750

 

 

 

AMC Entertainment, Inc., Variable Rate

 

 

 

30

 

8.999%, 8/15/10

 

31,125

 

 

 

HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp.

 

 

 

105

 

12.50%, 4/1/13 (4)(5)

 

106,575

 

 

 

HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate

 

 

 

165

 

9.818%, 4/1/12 (4)

 

166,856

 

 

 

Marquee Holdings, Inc., Sr. Disc. Notes

 

 

 

325

 

12.00%, 8/15/14

 

212,875

 

 

 

Six Flags Theme Parks, Inc., Sr. Notes

 

 

 

185

 

8.875%, 2/1/10

 

185,231

 

195

 

9.625%, 6/1/14

 

197,438

 

 

 

Universal City Development Partners, Sr. Notes

 

 

 

150

 

11.75%, 4/1/10

 

166,125

 

 

 

Universal City Florida Holding, Sr. Notes, Variable Rate

 

 

 

230

 

9.43%, 5/1/10

 

234,600

 

 

 

 

 

$

1,523,575

 

Lodging and Casinos — 1.0%

 

 

 

 

 

CCM Merger, Inc.

 

 

 

65

 

8.00%, 8/1/13 (4)

 

65,000

 

 

 

Chukchansi EDA, Sr. Notes, Variable Rate

 

 

 

150

 

8.06%, 11/15/12 (4)

 

154,125

 

 

 

Eldorado Casino Shreveport

 

 

 

56

 

10.00%, 8/1/12

 

45,054

 

 

 

Greektown Holdings, LLC, Sr. Notes

 

 

 

110

 

10.75%, 12/1/13 (4)

 

113,850

 

 

 

Host Marriot L.P., Series O

 

 

 

15

 

6.375%, 3/15/15

 

14,831

 

 

 

Inn of the Mountain Gods, Sr. Notes

 

 

 

285

 

12.00%, 11/15/10

 

309,225

 

 

 

Kerzner International, Sr. Sub. Notes

 

 

 

595

 

6.75%, 10/1/15 (4)

 

629,213

 

 

 

Majestic Star Casino, LLC

 

 

 

100

 

9.50%, 10/15/10

 

106,500

 

130

 

9.75%, 1/15/11 (4)

 

131,950

 

30




 

 

 

 

 

Meristar Hospitality Corp.

 

 

 

$

90

 

9.00%, 1/15/08

 

$

95,850

 

65

 

9.125%, 1/15/11

 

75,563

 

 

 

Mohegan Tribal Gaming Authority, Sr. Sub. Notes

 

 

 

60

 

8.00%, 4/1/12

 

63,150

 

 

 

OED Corp. / Diamond Jo

 

 

 

150

 

8.75%, 4/15/12

 

150,750

 

 

 

San Pasqual Casino

 

 

 

160

 

8.00%, 9/15/13 (4)

 

162,400

 

 

 

Trump Entertainment Resorts, Inc.

 

 

 

425

 

8.50%, 6/1/15

 

415,438

 

 

 

Tunica-Biloxi Gaming Authority, Sr. Notes

 

 

 

130

 

9.00%, 11/15/15 (4)

 

135,850

 

 

 

Waterford Gaming, LLC, Sr. Notes

 

 

 

384

 

8.625%, 9/15/12 (4)

 

408,480

 

 

 

Wynn Las Vegas, LLC

 

 

 

60

 

6.625%, 12/1/14

 

58,575

 

 

 

 

 

$

3,135,804

 

Nonferrous Metals / Minerals — 0.0%

 

 

 

 

 

Alpha Natural Resources, Sr. Notes

 

 

 

75

 

10.25%, 6/1/12

 

82,875

 

 

 

Novelis, Inc., Sr. Notes

 

 

 

50

 

7.50%, 2/15/15 (4)

 

48,250

 

 

 

 

 

$

131,125

 

Oil and Gas — 0.8%

 

 

 

 

 

Allis-Chalmers Energy, Inc., Sr. Notes

 

 

 

150

 

9.00%, 1/15/14 (4)

 

148,500

 

 

 

Clayton Williams Energy, Inc., Sr. Notes

 

 

 

60

 

7.75%, 8/1/13 (4)

 

56,700

 

 

 

Copano Energy, LLC, Sr. Notes

 

 

 

35

 

8.125%, 3/1/16 (4)

 

36,400

 

 

 

Dresser, Inc.

 

 

 

110

 

9.375%, 4/15/11

 

115,500

 

 

 

El Paso Corp.

 

 

 

130

 

9.625%, 5/15/12 (4)

 

145,275

 

 

 

El Paso Production Holding Co.

 

 

 

30

 

7.75%, 6/1/13

 

31,238

 

 

 

Encore Acquisition Co., Sr. Sub Notes

 

 

 

125

 

7.25%, 12/1/17

 

125,938

 

 

 

Giant Industries

 

 

 

130

 

8.00%, 5/15/14

 

134,875

 

 

 

Northwest Pipeline Corp.

 

 

 

70

 

8.125%, 3/1/10

 

74,200

 

 

 

Ocean Rig Norway AS, Sr. Notes

 

 

 

50

 

8.375%, 7/1/13 (4)

 

53,500

 

31




 

 

 

 

 

Parker Drilling Co., Sr. Notes

 

 

 

$

85

 

9.625%, 10/1/13

 

$

94,775

 

 

 

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

 

123,338

 

 

 

Premcor Refining Group, Sr. Notes

 

 

 

210

 

9.50%, 2/1/13

 

232,847

 

 

 

Semgroup L.P., Sr. Notes

 

 

 

140

 

8.75%, 11/15/15 (4)

 

143,500

 

 

 

SESI, LLC

 

 

 

95

 

8.875%, 5/15/11

 

99,750

 

 

 

Southern Natural Gas

 

 

 

50

 

8.875%, 3/15/10

 

53,438

 

150

 

8.00%, 3/1/32

 

165,261

 

 

 

Transmontaigne, Inc., Sr. Sub. Notes

 

 

 

320

 

9.125%, 6/1/10

 

341,600

 

 

 

United Refining Co., Sr. Notes

 

 

 

225

 

10.50%, 8/15/12

 

239,063

 

 

 

Verasun Energy Corp.

 

 

 

160

 

9.875%, 12/15/12 (4)

 

170,400

 

 

 

Williams Cos., Inc. (The)

 

 

 

45

 

8.75%, 3/15/32

 

52,875

 

 

 

 

 

$

2,671,598

 

Publishing — 0.6%

 

 

 

 

 

Advanstar Communications, Inc.

 

 

 

340

 

10.75%, 8/15/10

 

371,450

 

 

 

American Media Operations, Inc., Series B

 

 

 

400

 

10.25%, 5/1/09

 

364,000

 

 

 

CBD Media, Inc., Sr. Sub. Notes

 

 

 

70

 

8.625%, 6/1/11

 

71,313

 

 

 

Dex Media West, LLC, Sr. Sub. Notes

 

 

 

182

 

9.875%, 8/15/13

 

202,248

 

 

 

Houghton Mifflin Co., Sr. Sub. Notes

 

 

 

240

 

9.875%, 2/1/13

 

259,200

 

 

 

R.H. Donnelley Corp., Sr. Disc. Notes

 

 

 

110

 

6.875%, 1/15/13 (4)

 

103,400

 

205

 

6.875%, 1/15/13 (4)

 

192,700

 

 

 

R.H. Donnelley Corp., Sr. Notes

 

 

 

320

 

8.875%, 1/15/16 (4)

 

334,400

 

 

 

 

 

$

1,898,711

 

Radio and Television — 0.4%

 

 

 

 

 

CanWest Media, Inc.

 

 

 

217

 

8.00%, 9/15/12

 

223,829

 

32




 

 

 

 

 

LBI Media, Inc.

 

 

 

$

90

 

10.125%, 7/15/12

 

$

96,750

 

 

 

LBI Media, Inc., Sr. Disc. Notes

 

 

 

80

 

11.00%, 10/15/13

 

60,000

 

 

 

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

 

 

 

200

 

11.375%, 4/1/13

 

165,000

 

 

 

Rainbow National Services, LLC, Sr. Notes

 

 

 

100

 

8.75%, 9/1/12 (4)

 

107,000

 

 

 

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

 

 

 

355

 

10.375%, 9/1/14 (4)

 

399,375

 

 

 

Sirius Satellite Radio, Sr. Notes

 

 

 

370

 

9.625%, 8/1/13 (4)

 

362,600

 

 

 

 

 

$

1,414,554

 

Rail Industries — 0.0%

 

 

 

 

 

TFM SA de C.V., Sr. Notes

 

 

 

45

 

12.50%, 6/15/12

 

50,625

 

 

 

 

 

$

50,625

 

Retailers (Except Food and Drug) — 0.4%

 

 

 

 

 

Affinity Group, Inc., Sr. Sub. Notes

 

 

 

220

 

9.00%, 2/15/12

 

222,200

 

 

 

GSC Holdings Corp.

 

 

 

555

 

8.00%, 10/1/12 (4)

 

553,613

 

 

 

GSC Holdings Corp., Variable Rate

 

 

 

200

 

8.405%, 10/1/11 (4)

 

205,500

 

 

 

Neiman Marcus Group, Inc., Sr. Notes

 

 

 

150

 

9.00%, 10/15/15 (4)

 

159,375

 

 

 

Neiman Marcus Group, Inc., Sr. Sub. Notes

 

 

 

210

 

10.375%, 10/15/15 (4)

 

224,175

 

 

 

 

 

$

1,364,863

 

Steel — 0.1%

 

 

 

 

 

Ispat Inland ULC, Sr. Notes

 

 

 

127

 

9.75%, 4/1/14

 

143,872

 

 

 

RathGibson, Inc., Sr. Notes

 

 

 

125

 

11.25%, 2/15/14 (4)

 

131,250

 

 

 

 

 

$

275,122

 

Surface Transport — 0.0%

 

 

 

 

 

Horizon Lines, LLC

 

 

 

118

 

9.00%, 11/1/12

 

125,375

 

 

 

 

 

$

125,375

 

Telecommunications — 1.9%

 

 

 

 

 

AirGate PCS, Inc., Variable Rate

 

 

 

60

 

8.35%, 10/15/11

 

62,325

 

 

 

Alamosa Delaware, Inc., Sr. Notes

 

 

 

280

 

11.00%, 7/31/10

 

312,900

 

33




 

 

 

 

 

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

 

 

 

$

130

 

10.125%, 6/15/13

 

$

142,675

 

 

 

Digicel Ltd., Sr. Notes

 

 

 

200

 

9.25%, 9/1/12 (4)

 

212,500

 

 

 

Inmarsat Finance PLC

 

 

 

153

 

7.625%, 6/30/12

 

157,590

 

 

 

Intelsat, Ltd.

 

 

 

50

 

9.614%, 1/15/12

 

51,063

 

 

 

Intelsat, Ltd., Sr. Notes

 

 

 

585

 

5.25%, 11/1/08

 

555,750

 

 

 

IWO Holdings, Inc.

 

 

 

110

 

10.75%, 1/15/15

 

82,775

 

 

 

LCI International, Inc., Sr. Notes

 

 

 

65

 

7.25%, 6/15/07

 

65,975

 

 

 

New Skies Satellites NV, Sr. Notes, Variable Rate

 

 

 

110

 

9.573%, 11/1/11

 

113,850

 

 

 

New Skies Satellites NV, Sr. Sub. Notes

 

 

 

260

 

9.125%, 11/1/12

 

280,150

 

 

 

Nextel Communications, Inc., Sr. Notes

 

 

 

10

 

7.375%, 8/1/15

 

10,495

 

 

 

Qwest Communications International, Inc.

 

 

 

60

 

7.25%, 2/15/11

 

61,800

 

 

 

Qwest Communications International, Inc., Sr. Notes

 

 

 

5

 

7.50%, 11/1/08

 

5,013

 

620

 

7.50%, 2/15/14 (4)

 

641,700

 

 

 

Qwest Corp., Sr. Notes

 

 

 

145

 

7.625%, 6/15/15 (4)

 

155,875

 

 

 

Qwest Corp., Sr. Notes, Variable Rate

 

 

 

505

 

8.16%, 6/15/13 (4)

 

558,025

 

 

 

Rogers Wireless, Inc., Sr. Sub. Notes

 

 

 

90

 

8.00%, 12/15/12

 

95,963

 

 

 

Rogers Wireless, Inc., Variable Rate

 

 

 

790

 

8.035%, 12/15/10

 

819,625

 

 

 

Rural Cellular Corp., Variable Rate

 

 

 

1,500

 

9.41%, 3/15/10

 

1,545,000

 

 

 

UbiquiTel Operating Co., Sr. Notes

 

 

 

215

 

9.875%, 3/1/11

 

235,963

 

 

 

 

 

$

6,167,012

 

Utilities — 0.3%

 

 

 

 

 

AES Corp., Sr. Notes

 

 

 

15

 

8.75%, 5/15/13 (4)

 

16,275

 

15

 

9.00%, 5/15/15 (4)

 

16,350

 

 

 

Dynegy Holdings, Inc.

 

 

 

105

 

8.375%, 5/1/16 (4)

 

105,263

 

 

34




 

 

 

 

Dynegy Holdings, Inc., Debs.

 

 

 

$

205

 

7.625%, 10/15/26

 

$

188,600

 

 

 

Mirant North America, LLC, Sr. Notes

 

 

 

45

 

7.375%, 12/31/13 (4)

 

46,125

 

 

 

Mission Energy Holding Co.

 

 

 

115

 

13.50%, 7/15/08

 

132,538

 

 

 

NRG Energy, Inc., Sr. Notes

 

 

 

145

 

7.375%, 2/1/16

 

148,444

 

 

 

Orion Power Holdings, Inc., Sr. Notes

 

 

 

380

 

12.00%, 5/1/10

 

430,350

 

 

 

 

 

$

1,083,945

 

Total Corporate Bonds & Notes
(identified cost $48,460,205)

 

$

49,524,910

 

 

Convertible Bonds — 0.1%

Principal
Amount

 

Security

 

Value

 

$

35,000

 

Amkor Technologies, Inc.

 

$

35,087

 

170,000

 

L-3 Communications Corp. (4)

 

175,525

 

245,000

 

Nortel Networks Ltd.

 

232,444

 

35,000

 

Sinclair Broadcast Group, Inc.

 

30,931

 

Total Convertible Bonds
(identified cost $474,713)

 

$

473,987

 

 

Common Stocks — 0.5%

Shares

 

Security

 

Value

 

1,152

 

Crown Castle International Corp. (6)

 

$

32,654

 

2,992

 

Environmental Systems Products (5)(6)(7)

 

96,552

 

10,443

 

Hayes Lemmerz International (6)

 

28,509

 

24,880

 

Maxim Crane Works, L.P. (6)

 

1,013,860

 

358

 

Shreveport Gaming Holdings, Inc. (5)(6)

 

6,390

 

18,432

 

Trump Entertainment Resorts, Inc. (6)

 

341,176

 

Total Common Stocks
(identified cost $783,102)

 

$

1,519,141

 

 

Preferred Stocks — 0.0%

Shares

 

Security

 

Value

 

35

 

Hayes Lemmerz International, Series A (5)(6)(7)

 

$

413

 

15

 

Key Plastics, LLC, Series A (5)(6)(7)

 

14,385

 

Total Preferred Stocks
(identified cost $16,750)

 

$

14,798

 

 

35




 

 

Convertible Preferred Stocks — 0.1%

Shares

 

Security

 

Value

 

542

 

Chesapeake Energy Corp.

 

$

51,423

 

3,583

 

Crown Castle International Corp., (PIK)

 

192,586

 

Total Convertible Preferred Stocks
(identified cost $212,699)

 

$

244,009

 

 

Warrants — 0.0%

Shares/Rights

 

Security

 

Value

 

210

 

American Tower Corp., Exp. 8/1/08 (4)(6)

 

$

89,793

 

Total Warrants
(identified cost $14,075)

 

$

89,793

 

 

Closed-End Investment Companies — 3.7%

Shares

 

Security

 

Value

 

200,000

 

First Trust / Four Corners Senior Floating Rate Income Fund II

 

$

3,568,000

 

290,000

 

ING Prime Rate Trust

 

2,032,900

 

25,560

 

Pioneer Floating Rate Trust

 

469,282

 

725,000

 

Van Kampen Senior Income Trust

 

5,916,000

 

Total Closed-End Investment Companies
(identified cost $11,460,385)

 

$

11,986,182

 

 

Miscellaneous — 0.0%

Shares

 

Security

 

Value

 

295,000

 

Trump Atlantic City (5)(6)

 

$

11,357

 

Total Miscellaneous
(identified cost $0)

 

$

11,357

 

 

36




 

 

Short-Term Investments — 2.0%

Principal
Amount

 

Maturity
Date

 

Borrower

 

Rate

 

Amount

 

$

2,000,000

 

04/03/06

 

Investors Bank and Trust Company Time Deposit

 

4.86%

 

$

2,000,000

 

4,291,000

 

04/03/06

 

Royal Bank of Canada Time Deposit

 

4.85%

 

4,291,000

 

Total Short-Term Investments
(at amortized cost $6,291,000)

 

$

6,291,000

 

Total Investments — 169.8%
(identified cost $540,648,700)

 

$

547,379,795

 

Less Unfunded Loan
Commitments — (1.0)%

 

$

(3,101,579

)

Net Investments — 168.8%
(identified cost $537,547,121)

 

$

544,278,216

 

Other Assets, Less Liabilities — (34.7)%

 

$

(111,905,649

)

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (34.1)%

 

$

(110,028,415

)

Net Assets Applicable to Common Shares — 100.0%

 

$

322,344,152

 

 

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

(3)

 

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

(4)

 

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 March 31, 2006, the aggregate value of the securities is $16,384,220 or 5.1% of the Trust’s net assets.

37




 

 

 

(5)

 

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

(6)

 

Non-income producing security.

(7)

 

Restricted security.

 

A summary of financial instruments at March 31, 2006 is as follows:

The Trust had the following swap agreements outstanding at March 31, 2006:

Credit Default Swaps

Notional
Amount

 

Expiration
Date

 

Description

 

Net Unrealized
Appreciation
(Depreciation)

 

$

1,000,000

 

9/20/2008

 

Agreement with Credit Suisse/First Boston dated 2/6/2004 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).

 

 

$

3,916

 

 

$

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.

 

 

(9,544

)

 

 

At March 31, 2006, 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 March 31, 2006, as computed on a federal income tax basis, were as follows:

Aggregate cost

 

$

537,542,698

 

Gross unrealized appreciation

 

$

7,658,436

 

Gross unrealized depreciation

 

(922,918

)

Net unrealized appreciation

 

$

6,735,518

 

 

Unrealized depreciation on swap contracts was $5,628.

38




 

 

Restricted Securities

At March 31, 2006, 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.

Description

 

Date of
Acquisition

 

Shares/Face

 

Cost

 

Fair Value

 

Common Stocks

 

 

 

 

 

 

 

 

 

 

 

 

 

Environmental Systems Products

 

 

10/24/00

 

 

 

2,992

 

 

$

0

 

$

96,552

 

 

 

 

 

 

 

 

 

 

 

$

0

 

$

96,552

 

Preferred Stocks

 

 

 

 

 

 

 

 

 

 

 

 

 

Hayes Lemmerz International, Series A

 

 

6/04/03

 

 

 

35

 

 

$

1,750

 

$

413

 

Key Plastics, LLC, Series A

 

 

4/26/01

 

 

 

15

 

 

15,000

 

14,385

 

 

 

 

 

 

 

 

 

 

 

$

16,750

 

$

14,798

 

 

 

 

 

 

 

 

 

 

 

$

16,750

 

$

111,350

 

 

 

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:

 

May 23, 2006

 

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:

 

May 23, 2006

By:

 

/s/ Barbara E. Campbell

 

 

Barbara E. Campbell

 

 

Treasurer and Principal Financial Officer

Date:

 

May 23, 2006