- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
March 31 2010 - 1:36PM
Edgar (US Regulatory)
UNITED STATES SECURITIES AND
EXCHANGE COMMISSION
Washington, D.C.
20549
Form N-Q
QUARTERLY SCHEDULE OF
PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT
COMPANIES
811-21820
Investment Company Act File Number
Eaton Vance Credit
Opportunities Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number, Including Area Code)
April 30
Date of Fiscal Year End
January 31, 2010
Date of Reporting Period
TABLE OF CONTENTS
Item 1.
Schedule of Investments
|
|
Eaton
Vance Credit Opportunities Fund
|
as of
January 31, 2010
|
PORTFOLIO
OF INVESTMENTS (Unaudited)
Senior
Floating-Rate Interests
88.3%
(1)
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
Aerospace and Defense 1.4%
|
|
|
|
|
|
|
Avio Holding SpA
|
|
|
|
|
EUR
|
|
|
700
|
|
|
Term Loan - Second Lien, 4.68%, Maturing June 13, 2015
|
|
$
|
882,795
|
|
|
|
|
|
|
|
DAE Aviation Holdings, Inc.
|
|
|
|
|
|
|
|
98
|
|
|
Term Loan, 4.00%, Maturing July 31, 2014
|
|
|
92,542
|
|
|
|
|
101
|
|
|
Term Loan, 4.00%, Maturing July 31, 2014
|
|
|
94,835
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,070,172
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Transport 0.3%
|
|
|
|
|
|
|
Delta Air Lines, Inc.
|
|
|
|
|
|
|
|
268
|
|
|
Term Loan - Second Lien, 3.50%, Maturing April 30, 2014
|
|
$
|
233,436
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
233,436
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive 3.7%
|
|
|
|
|
|
|
Federal-Mogul Corp.
|
|
|
|
|
|
|
|
305
|
|
|
Term Loan, 2.17%, Maturing December 27, 2014
|
|
$
|
258,877
|
|
|
|
|
1,233
|
|
|
Term Loan, 2.17%, Maturing December 27, 2015
|
|
|
1,048,259
|
|
|
|
|
|
|
|
HLI Operating Co., Inc.
|
|
|
|
|
EUR
|
|
|
22
|
|
|
Term Loan, 0.00%, Maturing May 30,
2014
(2)
|
|
|
2,723
|
|
EUR
|
|
|
371
|
|
|
Term Loan, 0.00%, Maturing May 30,
2014
(2)
|
|
|
46,247
|
|
|
|
|
|
|
|
Keystone Automotive Operations, Inc.
|
|
|
|
|
|
|
|
188
|
|
|
Term Loan, 3.75%, Maturing January 12, 2012
|
|
|
129,572
|
|
|
|
|
|
|
|
TriMas Corp.
|
|
|
|
|
|
|
|
281
|
|
|
Term Loan, 6.00%, Maturing August 2, 2011
|
|
|
272,812
|
|
|
|
|
1,179
|
|
|
Term Loan, 6.00%, Maturing December 15, 2015
|
|
|
1,126,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,884,569
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverage and Tobacco 1.5%
|
|
|
|
|
|
|
Culligan International Co.
|
|
|
|
|
EUR
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 5.21%, Maturing May 31, 2013
|
|
$
|
580,018
|
|
|
|
|
|
|
|
Liberator Midco Ltd.
|
|
|
|
|
GBP
|
|
|
389
|
|
|
Term Loan, 8.52%, Maturing October 27,
2016
(3)
|
|
|
585,237
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,165,255
|
|
|
|
|
|
|
|
|
|
|
|
|
Building and Development 3.1%
|
|
|
|
|
|
|
Metroflag BP, LLC
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 0.00%, Maturing October 31,
2009
(4)(5)
|
|
$
|
0
|
|
|
|
|
|
|
|
Panolam Industries Holdings, Inc.
|
|
|
|
|
|
|
|
1,159
|
|
|
Term Loan, 8.25%, Maturing December 31, 2013
|
|
|
1,054,859
|
|
|
|
|
|
|
|
Re/Max International, Inc.
|
|
|
|
|
|
|
|
429
|
|
|
Term Loan, 9.75%, Maturing December 17, 2012
|
|
|
434,953
|
|
|
|
|
|
|
|
WCI Communities, Inc.
|
|
|
|
|
|
|
|
896
|
|
|
Term Loan, 10.07%, Maturing September 3, 2014
|
|
|
895,616
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,385,428
|
|
|
|
|
|
|
|
|
|
|
|
|
Business Equipment and Services 6.4%
|
|
|
|
|
|
|
iPayment, Inc.
|
|
|
|
|
|
|
|
250
|
|
|
Term Loan, 2.24%, Maturing May 10, 2013
|
|
$
|
236,256
|
|
|
|
|
|
|
|
Mitchell International, Inc.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 5.56%, Maturing March 28, 2015
|
|
|
830,000
|
|
|
|
|
|
|
|
N.E.W. Holdings I, LLC
|
|
|
|
|
|
|
|
914
|
|
|
Term Loan, 2.73%, Maturing May 22, 2014
|
|
|
876,343
|
|
|
|
|
|
|
|
Quintiles Transnational Corp.
|
|
|
|
|
|
|
|
440
|
|
|
Term Loan - Second Lien, 4.25%, Maturing March 31, 2014
|
|
|
426,820
|
|
|
|
|
|
|
|
Sabre, Inc.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan, 2.49%, Maturing September 30, 2014
|
|
|
896,389
|
|
1
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Sitel (Client Logic)
|
|
|
|
|
|
|
|
228
|
|
|
Term Loan, 5.74%, Maturing January 29, 2014
|
|
$
|
210,590
|
|
|
|
|
|
|
|
SunGard Data Systems, Inc.
|
|
|
|
|
|
|
|
997
|
|
|
Term Loan, 3.90%, Maturing February 28, 2016
|
|
|
983,299
|
|
|
|
|
|
|
|
Travelport, LLC
|
|
|
|
|
|
|
|
445
|
|
|
Term Loan, 2.74%, Maturing August 23, 2013
|
|
|
426,321
|
|
|
|
|
89
|
|
|
Term Loan, 2.75%, Maturing August 23, 2013
|
|
|
85,542
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,971,560
|
|
|
|
|
|
|
|
|
|
|
|
|
Cable and Satellite Television 2.0%
|
|
|
|
|
|
|
Cequel Communications, LLC
|
|
|
|
|
|
|
|
243
|
|
|
Term Loan, 6.25%, Maturing May 5, 2014
|
|
$
|
245,491
|
|
|
|
|
|
|
|
ProSiebenSat.1 Media AG
|
|
|
|
|
EUR
|
|
|
337
|
|
|
Term Loan, 3.34%, Maturing March 2, 2015
|
|
|
345,224
|
|
EUR
|
|
|
337
|
|
|
Term Loan, 3.59%, Maturing March 2, 2016
|
|
|
345,224
|
|
EUR
|
|
|
486
|
|
|
Term Loan, 7.96%, Maturing March 2,
2017
(3)
|
|
|
237,063
|
|
EUR
|
|
|
452
|
|
|
Term Loan - Second Lien, 4.71%, Maturing September 2,
2016
|
|
|
361,501
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,534,503
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals and Plastics 3.1%
|
|
|
|
|
|
|
Arizona Chemical, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 5.74%, Maturing February 28,
2014
|
|
$
|
473,750
|
|
|
|
|
|
|
|
INEOS Group
|
|
|
|
|
EUR
|
|
|
74
|
|
|
Term Loan, 5.52%, Maturing December 14, 2011
|
|
|
95,527
|
|
EUR
|
|
|
416
|
|
|
Term Loan, 5.52%, Maturing December 14, 2011
|
|
|
540,412
|
|
EUR
|
|
|
74
|
|
|
Term Loan, 10.25%, Maturing December 14, 2011
|
|
|
95,527
|
|
EUR
|
|
|
416
|
|
|
Term Loan, 10.25%, Maturing December 14, 2011
|
|
|
540,412
|
|
EUR
|
|
|
500
|
|
|
Term Loan - Second Lien, 7.02%, Maturing December 14,
2012
|
|
|
617,570
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,363,198
|
|
|
|
|
|
|
|
|
|
|
|
|
Conglomerates 2.5%
|
|
|
|
|
|
|
Doncasters (Dunde HoldCo 4 Ltd.)
|
|
|
|
|
GBP
|
|
|
500
|
|
|
Term Loan - Second Lien, 6.55%, Maturing January 13,
2016
|
|
$
|
627,412
|
|
|
|
|
|
|
|
Manitowoc Company, Inc. (The)
|
|
|
|
|
|
|
|
874
|
|
|
Term Loan, 7.50%, Maturing August 21, 2014
|
|
|
872,052
|
|
|
|
|
|
|
|
RGIS Holdings, LLC
|
|
|
|
|
|
|
|
316
|
|
|
Term Loan, 2.74%, Maturing April 30, 2014
|
|
|
293,947
|
|
|
|
|
16
|
|
|
Term Loan, 2.75%, Maturing April 30, 2014
|
|
|
14,697
|
|
|
|
|
|
|
|
Vertrue, Inc.
|
|
|
|
|
|
|
|
193
|
|
|
Term Loan, 3.26%, Maturing August 16, 2014
|
|
|
154,772
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,962,880
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers and Glass Products 1.6%
|
|
|
|
|
|
|
Consolidated Container Co.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 5.75%, Maturing September 28,
2014
|
|
$
|
855,000
|
|
|
|
|
|
|
|
Tegrant Holding Corp.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 5.76%, Maturing March 8, 2015
|
|
|
357,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,212,500
|
|
|
|
|
|
|
|
|
|
|
|
|
Cosmetics/Toiletries 1.1%
|
|
|
|
|
|
|
American Safety Razor Co.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 6.51%, Maturing July 31, 2014
|
|
$
|
547,500
|
|
|
|
|
|
|
|
KIK Custom Products, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 5.25%, Maturing November 30,
2014
|
|
|
317,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
865,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Drugs 1.5%
|
|
|
|
|
|
|
Graceway Pharmaceuticals, LLC
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan, 8.48%, Maturing November 3, 2013
|
|
$
|
375,000
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 6.73%, Maturing May 3, 2013
|
|
|
532,500
|
|
2
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Warner Chilcott Corp.
|
|
|
|
|
|
|
|
89
|
|
|
Term Loan, 5.50%, Maturing October 30, 2014
|
|
$
|
89,155
|
|
|
|
|
44
|
|
|
Term Loan, 5.75%, Maturing April 30, 2015
|
|
|
44,558
|
|
|
|
|
98
|
|
|
Term Loan, 5.75%, Maturing April 30, 2015
|
|
|
98,027
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,139,240
|
|
|
|
|
|
|
|
|
|
|
|
|
Ecological Services and Equipment 2.0%
|
|
|
|
|
|
|
Cory Environmental Holdings
|
|
|
|
|
GBP
|
|
|
500
|
|
|
Term Loan - Second Lien, 4.85%, Maturing September 30,
2014
|
|
$
|
519,513
|
|
|
|
|
|
|
|
Kemble Water Structure, Ltd.
|
|
|
|
|
GBP
|
|
|
500
|
|
|
Term Loan - Second Lien, 4.74%, Maturing October 13,
2013
|
|
|
651,389
|
|
|
|
|
|
|
|
Synagro Technologies, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 4.98%, Maturing October 2,
2014
|
|
|
350,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,520,902
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronics/Electrical 3.7%
|
|
|
|
|
|
|
Aspect Software, Inc.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 7.31%, Maturing July 11, 2013
|
|
$
|
930,000
|
|
|
|
|
|
|
|
Infor Enterprise Solutions Holdings
|
|
|
|
|
|
|
|
263
|
|
|
Term Loan, 2.99%, Maturing July 28, 2012
|
|
|
246,121
|
|
|
|
|
334
|
|
|
Term Loan, 3.99%, Maturing July 28, 2012
|
|
|
313,332
|
|
|
|
|
641
|
|
|
Term Loan, 3.99%, Maturing July 28, 2012
|
|
|
600,553
|
|
|
|
|
367
|
|
|
Term Loan - Second Lien, 6.48%, Maturing March 2, 2014
|
|
|
284,625
|
|
|
|
|
633
|
|
|
Term Loan - Second Lien, 6.48%, Maturing March 2, 2014
|
|
|
522,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,897,131
|
|
|
|
|
|
|
|
|
|
|
|
|
Farming/Agriculture 2.4%
|
|
|
|
|
|
|
BF Bolthouse HoldCo, LLC
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 9.00%, Maturing December 16,
2013
|
|
$
|
979,583
|
|
|
|
|
|
|
|
Central Garden & Pet Co.
|
|
|
|
|
|
|
|
904
|
|
|
Term Loan, 1.74%, Maturing February 28, 2014
|
|
|
858,703
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,838,286
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Intermediaries 2.1%
|
|
|
|
|
|
|
Citco III, Ltd.
|
|
|
|
|
|
|
|
337
|
|
|
Term Loan, 4.43%, Maturing June 30, 2014
|
|
$
|
326,434
|
|
|
|
|
|
|
|
E.A. Viner International Co.
|
|
|
|
|
|
|
|
390
|
|
|
Term Loan, 4.76%, Maturing July 31, 2013
|
|
|
372,488
|
|
|
|
|
|
|
|
RJO Holdings Corp. (RJ OBrien)
|
|
|
|
|
|
|
|
1,433
|
|
|
Term Loan, 5.24%, Maturing July 31,
2014
(3)
|
|
|
953,075
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,651,997
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 1.3%
|
|
|
|
|
|
|
Provimi Group SA
|
|
|
|
|
EUR
|
|
|
24
|
|
|
Term Loan - Second Lien, 4.68%, Maturing June 28, 2015
|
|
$
|
28,600
|
|
EUR
|
|
|
697
|
|
|
Term Loan - Second Lien, 2.22%, Maturing December 28,
2016
(6)
|
|
|
824,857
|
|
|
|
|
148
|
|
|
Term Loan - Second Lien, 4.48%, Maturing December 28,
2016
|
|
|
126,447
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
979,904
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Service 2.6%
|
|
|
|
|
|
|
OSI Restaurant Partners, LLC
|
|
|
|
|
|
|
|
71
|
|
|
Term Loan, 3.08%, Maturing May 9, 2013
|
|
$
|
64,179
|
|
|
|
|
833
|
|
|
Term Loan, 2.56%, Maturing May 9, 2014
|
|
|
752,106
|
|
|
|
|
|
|
|
QCE Finance, LLC
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 6.00%, Maturing November 5,
2013
|
|
|
597,500
|
|
|
|
|
|
|
|
Selecta
|
|
|
|
|
EUR
|
|
|
741
|
|
|
Term Loan - Second Lien, 4.99%, Maturing December 28,
2015
|
|
|
624,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,038,135
|
|
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
Food/Drug Retailers 0.3%
|
|
|
|
|
|
|
General Nutrition Centers, Inc.
|
|
|
|
|
|
|
|
239
|
|
|
Term Loan, 2.51%, Maturing September 16, 2013
|
|
$
|
230,093
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
230,093
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care 6.8%
|
|
|
|
|
|
|
Bright Horizons Family Solutions, Inc.
|
|
|
|
|
|
|
|
246
|
|
|
Term Loan, 7.50%, Maturing May 15, 2015
|
|
$
|
247,148
|
|
|
|
|
|
|
|
Concentra, Inc.
|
|
|
|
|
|
|
|
1,057
|
|
|
Term Loan - Second Lien, 5.76%, Maturing June 25,
2015
(3)
|
|
|
924,614
|
|
|
|
|
|
|
|
Dako EQT Project Delphi
|
|
|
|
|
|
|
|
750
|
|
|
Term Loan - Second Lien, 4.00%, Maturing December 12,
2016
|
|
|
508,125
|
|
|
|
|
|
|
|
Fenwal, Inc.
|
|
|
|
|
|
|
|
750
|
|
|
Term Loan - Second Lien, 5.51%, Maturing August 28,
2014
|
|
|
648,750
|
|
|
|
|
|
|
|
Physiotherapy Associates, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 12.00%, Maturing June 27,
2014
(5)
|
|
|
101,100
|
|
|
|
|
|
|
|
RadNet Management, Inc.
|
|
|
|
|
|
|
|
2,000
|
|
|
Term Loan, 9.26%, Maturing November 15, 2013
|
|
|
1,876,666
|
|
|
|
|
|
|
|
Viant Holdings, Inc.
|
|
|
|
|
|
|
|
964
|
|
|
Term Loan, 2.51%, Maturing June 25, 2014
|
|
|
949,463
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,255,866
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 2.5%
|
|
|
|
|
|
|
Hunter Fan Co.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 6.99%, Maturing April 16, 2014
|
|
$
|
217,500
|
|
|
|
|
|
|
|
National Bedding Co., LLC
|
|
|
|
|
|
|
|
1,500
|
|
|
Term Loan - Second Lien, 5.31%, Maturing August 31,
2012
|
|
|
1,338,750
|
|
|
|
|
|
|
|
Oreck Corp.
|
|
|
|
|
|
|
|
976
|
|
|
Term Loan, 0.00%, Maturing February 2,
2012
(2)(5)
|
|
|
350,362
|
|
|
|
|
|
|
|
Simmons Co.
|
|
|
|
|
|
|
|
1,090
|
|
|
Term Loan, 7.35%, Maturing February 15,
2012
(3)
|
|
|
6,814
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,913,426
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Equipment 5.6%
|
|
|
|
|
|
|
CEVA Group PLC U.S.
|
|
|
|
|
|
|
|
872
|
|
|
Term Loan, 3.23%, Maturing January 4, 2014
|
|
$
|
765,503
|
|
|
|
|
105
|
|
|
Term Loan, 3.25%, Maturing January 4, 2014
|
|
|
94,474
|
|
|
|
|
|
|
|
EPD Holdings (Goodyear Engineering Products)
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 5.98%, Maturing July 13, 2015
|
|
|
755,000
|
|
|
|
|
|
|
|
Generac Acquisition Corp.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 6.25%, Maturing April 7, 2014
|
|
|
921,000
|
|
|
|
|
|
|
|
John Maneely Co.
|
|
|
|
|
|
|
|
706
|
|
|
Term Loan, 3.50%, Maturing December 8, 2013
|
|
|
678,338
|
|
|
|
|
|
|
|
Sequa Corp.
|
|
|
|
|
|
|
|
397
|
|
|
Term Loan, 3.88%, Maturing November 30, 2014
|
|
|
369,072
|
|
|
|
|
|
|
|
TFS Acquisition Corp.
|
|
|
|
|
|
|
|
993
|
|
|
Term Loan, 14.00%, Maturing August 11,
2013
(3)
|
|
|
761,929
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,345,316
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.8%
|
|
|
|
|
|
|
AmWINS Group, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 5.75%, Maturing June 8, 2014
|
|
$
|
417,500
|
|
|
|
|
|
|
|
U.S.I. Holdings Corp.
|
|
|
|
|
|
|
|
998
|
|
|
Term Loan, 7.00%, Maturing May 4, 2014
|
|
|
976,927
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,394,427
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Goods/Activities/Movies 5.7%
|
|
|
|
|
|
|
AMF Bowling Worldwide, Inc.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 6.48%, Maturing December 8,
2013
|
|
$
|
697,500
|
|
|
|
|
|
|
|
Bombardier Recreational Products
|
|
|
|
|
|
|
|
911
|
|
|
Term Loan, 3.28%, Maturing June 28, 2013
|
|
|
690,949
|
|
4
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Butterfly Wendel US, Inc.
|
|
|
|
|
|
|
|
234
|
|
|
Term Loan, 3.03%, Maturing June 22, 2013
|
|
$
|
190,560
|
|
|
|
|
234
|
|
|
Term Loan, 2.78%, Maturing June 22, 2014
|
|
|
190,622
|
|
|
|
|
|
|
|
Deluxe Entertainment Services
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 11.00%, Maturing November 11,
2013
|
|
|
450,000
|
|
|
|
|
|
|
|
Revolution Studios Distribution Co., LLC
|
|
|
|
|
|
|
|
352
|
|
|
Term Loan, 3.99%, Maturing December 21, 2014
|
|
|
319,904
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 7.24%, Maturing June 21, 2015
|
|
|
700,000
|
|
|
|
|
|
|
|
Southwest Sports Group, LLC
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan, 6.75%, Maturing December 22, 2010
|
|
|
829,167
|
|
|
|
|
|
|
|
Universal City Development Partners, Ltd.
|
|
|
|
|
|
|
|
300
|
|
|
Term Loan, 6.50%, Maturing November 6, 2014
|
|
|
303,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,372,452
|
|
|
|
|
|
|
|
|
|
|
|
|
Lodging and Casinos 0.7%
|
|
|
|
|
|
|
Herbst Gaming, Inc.
|
|
|
|
|
|
|
|
969
|
|
|
Term Loan, 0.00%, Maturing December 2,
2011
(2)
|
|
$
|
532,887
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
532,887
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas 1.2%
|
|
|
|
|
|
|
Dresser, Inc.
|
|
|
|
|
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 6.00%, Maturing May 4, 2015
|
|
$
|
951,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
951,250
|
|
|
|
|
|
|
|
|
|
|
|
|
Publishing 10.5%
|
|
|
|
|
|
|
American Media Operations, Inc.
|
|
|
|
|
|
|
|
1,467
|
|
|
Term Loan, 10.00%, Maturing January 31,
2013
(3)
|
|
$
|
1,387,266
|
|
|
|
|
|
|
|
GateHouse Media Operating, Inc.
|
|
|
|
|
|
|
|
272
|
|
|
Term Loan, 2.24%, Maturing August 28, 2014
|
|
|
135,530
|
|
|
|
|
728
|
|
|
Term Loan, 2.24%, Maturing August 28, 2014
|
|
|
363,220
|
|
|
|
|
|
|
|
Hanley-Wood, LLC
|
|
|
|
|
|
|
|
977
|
|
|
Term Loan, 2.48%, Maturing March 8, 2014
|
|
|
442,319
|
|
|
|
|
|
|
|
Laureate Education, Inc.
|
|
|
|
|
|
|
|
50
|
|
|
Term Loan, 3.50%, Maturing August 17, 2014
|
|
|
46,931
|
|
|
|
|
337
|
|
|
Term Loan, 3.50%, Maturing August 17, 2014
|
|
|
313,553
|
|
|
|
|
|
|
|
Local Insight Regatta Holdings, Inc.
|
|
|
|
|
|
|
|
481
|
|
|
Term Loan, 6.25%, Maturing April 23, 2015
|
|
|
407,543
|
|
|
|
|
|
|
|
Merrill Communications, LLC
|
|
|
|
|
|
|
|
1,006
|
|
|
Term Loan - Second Lien, 14.75%, Maturing November 15,
2013
(3)
|
|
|
636,436
|
|
|
|
|
|
|
|
PagesJaunes Group, SA
|
|
|
|
|
EUR
|
|
|
500
|
|
|
Term Loan, 4.96%, Maturing April 10, 2016
|
|
|
458,122
|
|
|
|
|
|
|
|
Readers Digest Association, Inc. (The)
|
|
|
|
|
|
|
|
186
|
|
|
Revolving Loan, 4.52%, Maturing March 3, 2014
|
|
|
110,767
|
|
|
|
|
748
|
|
|
Term Loan, 4.23%, Maturing March 3, 2014
|
|
|
446,074
|
|
|
|
|
67
|
|
|
Term Loan, 7.00%, Maturing March 3, 2014
|
|
|
39,724
|
|
|
|
|
|
|
|
Source Interlink Companies, Inc.
|
|
|
|
|
|
|
|
228
|
|
|
Term Loan, 10.75%, Maturing June 18, 2013
|
|
|
197,581
|
|
|
|
|
124
|
|
|
Term Loan, 15.00%, Maturing June 18,
2013
(3)
|
|
|
49,673
|
|
|
|
|
|
|
|
Star Tribune Co. (The)
|
|
|
|
|
|
|
|
25
|
|
|
Term Loan, 8.00%, Maturing September 28,
2014
(5)
|
|
|
17,641
|
|
|
|
|
38
|
|
|
Term Loan, 8.00%, Maturing September 28,
2014
(5)
|
|
|
30,225
|
|
|
|
|
|
|
|
Tribune Co.
|
|
|
|
|
|
|
|
770
|
|
|
Term Loan, 0.00%, Maturing April 10,
2010
(2)
|
|
|
469,547
|
|
|
|
|
1,037
|
|
|
Term Loan, 0.00%, Maturing May 17,
2014
(2)
|
|
|
598,587
|
|
|
|
|
|
|
|
Xsys, Inc.
|
|
|
|
|
EUR
|
|
|
1,500
|
|
|
Term Loan - Second Lien, 4.78%, Maturing September 27,
2015
|
|
|
2,004,358
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,155,097
|
|
|
|
|
|
|
|
|
|
|
|
|
Radio and Television 2.1%
|
|
|
|
|
|
|
CMP Susquehanna Corp.
|
|
|
|
|
|
|
|
954
|
|
|
Revolving Loan, 2.43%, Maturing May 5,
2011
(6)
|
|
|
741,493
|
|
5
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
NEP II, Inc.
|
|
|
|
|
|
|
|
141
|
|
|
Term Loan, 2.53%, Maturing February 16, 2014
|
|
$
|
130,876
|
|
|
|
|
|
|
|
Young Broadcasting, Inc.
|
|
|
|
|
|
|
|
987
|
|
|
Term Loan, 0.00%, Maturing November 3,
2012
(2)
|
|
|
790,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,662,756
|
|
|
|
|
|
|
|
|
|
|
|
|
Retailers (Except Food and Drug) 1.2%
|
|
|
|
|
|
|
Educate, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan - Second Lien, 5.51%, Maturing June 14, 2014
|
|
$
|
434,167
|
|
|
|
|
|
|
|
Orbitz Worldwide, Inc.
|
|
|
|
|
|
|
|
264
|
|
|
Term Loan, 3.24%, Maturing July 25, 2014
|
|
|
252,312
|
|
|
|
|
|
|
|
Oriental Trading Co., Inc.
|
|
|
|
|
|
|
|
750
|
|
|
Term Loan - Second Lien, 6.24%, Maturing January 31,
2013
|
|
|
206,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
892,729
|
|
|
|
|
|
|
|
|
|
|
|
|
Steel 1.3%
|
|
|
|
|
|
|
Niagara Corp.
|
|
|
|
|
|
|
|
1,465
|
|
|
Term Loan, 7.25%, Maturing June 29, 2014
|
|
$
|
966,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
966,863
|
|
|
|
|
|
|
|
|
|
|
|
|
Surface Transport 1.1%
|
|
|
|
|
|
|
Swift Transportation Co., Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan, 8.25%, Maturing May 10, 2012
|
|
$
|
461,250
|
|
|
|
|
388
|
|
|
Term Loan, 8.25%, Maturing May 10, 2014
|
|
|
373,780
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
835,030
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications 3.2%
|
|
|
|
|
|
|
BCM Luxembourg, Ltd.
|
|
|
|
|
EUR
|
|
|
1,000
|
|
|
Term Loan - Second Lien, 4.68%, Maturing March 31, 2016
|
|
$
|
1,216,968
|
|
|
|
|
|
|
|
Palm, Inc.
|
|
|
|
|
|
|
|
978
|
|
|
Term Loan, 3.76%, Maturing April 24, 2014
|
|
|
865,087
|
|
|
|
|
|
|
|
Trilogy International Partners
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan, 3.75%, Maturing June 29, 2012
|
|
|
422,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,504,555
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 2.0%
|
|
|
|
|
|
|
AEI Finance Holding, LLC
|
|
|
|
|
|
|
|
116
|
|
|
Revolving Loan, 3.23%, Maturing March 30, 2012
|
|
$
|
107,465
|
|
|
|
|
789
|
|
|
Term Loan, 3.25%, Maturing March 30, 2014
|
|
|
731,175
|
|
|
|
|
|
|
|
Electricinvest Holding Co.
|
|
|
|
|
GBP
|
|
|
300
|
|
|
Term Loan, 5.02%, Maturing October 24, 2012
|
|
|
398,027
|
|
EUR
|
|
|
298
|
|
|
Term Loan - Second Lien, 4.93%, Maturing October 24,
2012
|
|
|
345,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,582,225
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Senior Floating-Rate Interests
(identified cost $85,277,626)
|
|
$
|
68,309,068
|
|
|
|
|
|
|
Corporate
Bonds & Notes 12.7%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Aerospace and Defense 0.2%
|
|
|
|
|
|
|
Alion Science and Technologies Corp.
|
|
|
|
|
$
|
|
|
60
|
|
|
10.25%, 2/1/15
|
|
$
|
49,050
|
|
|
|
|
|
|
|
Bombardier, Inc., Sr. Notes
|
|
|
|
|
|
|
|
65
|
|
|
8.00%, 11/15/14
(7)
|
|
|
68,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
117,138
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Automotive 0.0%
|
|
|
|
|
|
|
Allison Transmission, Inc.
|
|
|
|
|
$
|
|
|
30
|
|
|
11.00%, 11/1/15
(7)
|
|
$
|
31,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
31,800
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcast Radio and Television 0.2%
|
|
|
|
|
|
|
XM Satellite Radio Holdings, Inc., Sr. Notes
|
|
|
|
|
$
|
|
|
125
|
|
|
13.00%, 8/1/14
(7)
|
|
$
|
137,812
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
137,812
|
|
|
|
|
|
|
|
|
|
|
|
|
Building and Development 0.1%
|
|
|
|
|
|
|
Texas Industries, Inc., Sr. Notes
|
|
|
|
|
$
|
|
|
75
|
|
|
7.25%, 7/15/13
|
|
$
|
75,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
75,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Business Equipment and Services 0.5%
|
|
|
|
|
|
|
Affinion Group, Inc.
|
|
|
|
|
$
|
|
|
35
|
|
|
11.50%, 10/15/15
|
|
$
|
36,400
|
|
|
|
|
|
|
|
MediMedia USA, Inc., Sr. Sub. Notes
|
|
|
|
|
|
|
|
100
|
|
|
11.375%, 11/15/14
(7)
|
|
|
88,500
|
|
|
|
|
|
|
|
Ticketmaster Entertainment, Inc.
|
|
|
|
|
|
|
|
110
|
|
|
10.75%, 8/1/16
|
|
|
120,725
|
|
|
|
|
|
|
|
West Corp.
|
|
|
|
|
|
|
|
145
|
|
|
9.50%, 10/15/14
|
|
|
146,450
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
392,075
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals and Plastics 0.4%
|
|
|
|
|
|
|
INEOS Group Holdings PLC, Sr. Sub. Notes
|
|
|
|
|
$
|
|
|
155
|
|
|
8.50%, 2/15/16
(7)
|
|
$
|
104,625
|
|
|
|
|
|
|
|
Reichhold Industries, Inc., Sr. Notes
|
|
|
|
|
|
|
|
225
|
|
|
9.00%, 8/15/14
(7)
|
|
|
199,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
303,750
|
|
|
|
|
|
|
|
|
|
|
|
|
Clothing/Textiles 0.1%
|
|
|
|
|
|
|
Perry Ellis International, Inc., Sr. Sub. Notes
|
|
|
|
|
$
|
|
|
105
|
|
|
8.875%, 9/15/13
|
|
$
|
105,919
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
105,919
|
|
|
|
|
|
|
|
|
|
|
|
|
Conglomerates 0.2%
|
|
|
|
|
|
|
RBS Global & Rexnord Corp.
|
|
|
|
|
$
|
|
|
69
|
|
|
9.50%, 8/1/14
(7)
|
|
$
|
69,517
|
|
|
|
|
70
|
|
|
11.75%, 8/1/16
|
|
|
71,925
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
141,442
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers and Glass Products 0.0%
|
|
|
|
|
|
|
Intertape Polymer US, Inc., Sr. Sub. Notes
|
|
|
|
|
$
|
|
|
20
|
|
|
8.50%, 8/1/14
|
|
$
|
17,150
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,150
|
|
|
|
|
|
|
|
|
|
|
|
|
Ecological Services and Equipment 0.0%
|
|
|
|
|
|
|
Waste Services, Inc., Sr. Sub. Notes
|
|
|
|
|
$
|
|
|
25
|
|
|
9.50%, 4/15/14
|
|
$
|
26,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
26,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Equipment Leasing 0.2%
|
|
|
|
|
|
|
Hertz Corp.
|
|
|
|
|
$
|
|
|
65
|
|
|
8.875%, 1/1/14
|
|
$
|
65,813
|
|
|
|
|
50
|
|
|
10.50%, 1/1/16
|
|
|
52,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
118,438
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Food Products 0.0%
|
|
|
|
|
|
|
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
|
|
|
|
|
$
|
|
|
10
|
|
|
11.50%, 11/1/11
|
|
$
|
10,075
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,075
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Service 0.0%
|
|
|
|
|
|
|
El Pollo Loco, Inc.
|
|
|
|
|
$
|
|
|
40
|
|
|
11.75%, 11/15/13
|
|
$
|
37,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
37,400
|
|
|
|
|
|
|
|
|
|
|
|
|
Food/Drug Retailers 0.6%
|
|
|
|
|
|
|
General Nutrition Center, Sr. Notes, Variable Rate
|
|
|
|
|
$
|
|
|
335
|
|
|
5.178%, 3/15/14
(3)
|
|
$
|
312,387
|
|
|
|
|
|
|
|
General Nutrition Center, Sr. Sub. Notes
|
|
|
|
|
|
|
|
180
|
|
|
10.75%, 3/15/15
|
|
|
184,050
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
496,437
|
|
|
|
|
|
|
|
|
|
|
|
|
Forest Products 0.1%
|
|
|
|
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc.
|
|
|
|
|
$
|
|
|
110
|
|
|
11.375%, 8/1/16
|
|
$
|
94,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
94,875
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care 1.8%
|
|
|
|
|
|
|
Accellent, Inc.
|
|
|
|
|
$
|
|
|
45
|
|
|
10.50%, 12/1/13
|
|
$
|
45,337
|
|
|
|
|
|
|
|
AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
|
|
|
|
|
|
|
|
15
|
|
|
10.00%, 2/15/15
|
|
|
15,788
|
|
|
|
|
|
|
|
DJO Finance, LLC/DJO Finance Corp.
|
|
|
|
|
|
|
|
115
|
|
|
10.875%, 11/15/14
|
|
|
122,475
|
|
|
|
|
|
|
|
MultiPlan, Inc., Sr. Sub. Notes
|
|
|
|
|
|
|
|
1,035
|
|
|
10.375%, 4/15/16
(7)
|
|
|
1,071,225
|
|
|
|
|
|
|
|
National Mentor Holdings, Inc.
|
|
|
|
|
|
|
|
135
|
|
|
11.25%, 7/1/14
|
|
|
135,675
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,390,500
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Equipment 0.1%
|
|
|
|
|
|
|
ESCO Corp., Sr. Notes
|
|
|
|
|
$
|
|
|
65
|
|
|
8.625%, 12/15/13
(7)
|
|
$
|
65,569
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
65,569
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.3%
|
|
|
|
|
|
|
Alliant Holdings I, Inc.
|
|
|
|
|
$
|
|
|
70
|
|
|
11.00%, 5/1/15
(7)
|
|
$
|
71,400
|
|
|
|
|
|
|
|
HUB International Holdings, Inc., Sr. Notes
|
|
|
|
|
|
|
|
75
|
|
|
9.00%, 12/15/14
(7)
|
|
|
72,937
|
|
|
|
|
|
|
|
U.S.I. Holdings Corp., Sr. Notes, Variable Rate
|
|
|
|
|
|
|
|
60
|
|
|
4.148%, 11/15/14
(7)
|
|
|
51,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
195,337
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Goods/Activities/Movies 0.2%
|
|
|
|
|
|
|
Royal Caribbean Cruises, Sr. Notes
|
|
|
|
|
$
|
|
|
55
|
|
|
7.00%, 6/15/13
|
|
$
|
54,863
|
|
|
|
|
20
|
|
|
6.875%, 12/1/13
|
|
|
19,900
|
|
|
|
|
15
|
|
|
7.25%, 6/15/16
|
|
|
14,700
|
|
|
|
|
30
|
|
|
7.25%, 3/15/18
|
|
|
29,025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
118,488
|
|
|
|
|
|
|
|
|
|
|
|
|
Lodging and Casinos 2.1%
|
|
|
|
|
|
|
Buffalo Thunder Development Authority
|
|
|
|
|
$
|
|
|
220
|
|
|
9.375%, 12/15/14
(2)(7)
|
|
$
|
38,500
|
|
8
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
|
CCM Merger, Inc.
|
|
|
|
|
$
|
|
|
95
|
|
|
8.00%, 8/1/13
(7)
|
|
$
|
78,375
|
|
|
|
|
|
|
|
Fontainebleau Las Vegas Casino, LLC
|
|
|
|
|
|
|
|
310
|
|
|
10.25%, 6/15/15
(2)(7)
|
|
|
4,650
|
|
|
|
|
|
|
|
Indianapolis Downs, LLC & Capital Corp., Sr. Notes
|
|
|
|
|
|
|
|
80
|
|
|
11.00%, 11/1/12
(7)
|
|
|
54,400
|
|
|
|
|
|
|
|
Inn of the Mountain Gods, Sr. Notes
|
|
|
|
|
|
|
|
40
|
|
|
12.00%, 11/15/10
(2)
|
|
|
19,900
|
|
|
|
|
|
|
|
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
|
|
|
|
|
|
|
|
55
|
|
|
8.00%, 4/1/12
|
|
|
50,944
|
|
|
|
|
110
|
|
|
7.125%, 8/15/14
|
|
|
85,525
|
|
|
|
|
1,125
|
|
|
6.875%, 2/15/15
|
|
|
829,687
|
|
|
|
|
|
|
|
Pinnacle Entertainment, Inc., Sr. Sub. Notes
|
|
|
|
|
|
|
|
40
|
|
|
7.50%, 6/15/15
|
|
|
37,200
|
|
|
|
|
|
|
|
Pokagon Gaming Authority, Sr. Notes
|
|
|
|
|
|
|
|
56
|
|
|
10.375%, 6/15/14
(7)
|
|
|
58,730
|
|
|
|
|
|
|
|
Seminole Hard Rock Entertainment, Variable Rate
|
|
|
|
|
|
|
|
80
|
|
|
2.754%, 3/15/14
(7)
|
|
|
71,000
|
|
|
|
|
|
|
|
Tunica-Biloxi Gaming Authority, Sr. Notes
|
|
|
|
|
|
|
|
160
|
|
|
9.00%, 11/15/15
(7)
|
|
|
150,400
|
|
|
|
|
|
|
|
Waterford Gaming, LLC, Sr. Notes
|
|
|
|
|
|
|
|
180
|
|
|
8.625%, 9/15/14
(5)(7)
|
|
|
143,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,622,987
|
|
|
|
|
|
|
|
|
|
|
|
|
Nonferrous Metals/Minerals 0.5%
|
|
|
|
|
|
|
FMG Finance PTY, Ltd.
|
|
|
|
|
$
|
|
|
345
|
|
|
10.625%, 9/1/16
(7)
|
|
$
|
392,437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
392,437
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas 1.5%
|
|
|
|
|
|
|
Allis-Chalmers Energy, Inc., Sr. Notes
|
|
|
|
|
$
|
|
|
445
|
|
|
9.00%, 1/15/14
|
|
$
|
433,875
|
|
|
|
|
|
|
|
Clayton Williams Energy, Inc.
|
|
|
|
|
|
|
|
40
|
|
|
7.75%, 8/1/13
|
|
|
38,400
|
|
|
|
|
|
|
|
Compton Pet Finance Corp.
|
|
|
|
|
|
|
|
90
|
|
|
7.625%, 12/1/13
|
|
|
72,675
|
|
|
|
|
|
|
|
Denbury Resources, Inc., Sr. Sub. Notes
|
|
|
|
|
|
|
|
25
|
|
|
7.50%, 12/15/15
|
|
|
25,063
|
|
|
|
|
|
|
|
Forbes Energy Services, Sr. Notes
|
|
|
|
|
|
|
|
170
|
|
|
11.00%, 2/15/15
|
|
|
164,475
|
|
|
|
|
|
|
|
OPTI Canada, Inc., Sr. Notes
|
|
|
|
|
|
|
|
65
|
|
|
7.875%, 12/15/14
|
|
|
56,712
|
|
|
|
|
75
|
|
|
8.25%, 12/15/14
|
|
|
66,375
|
|
|
|
|
|
|
|
Petroleum Development Corp., Sr. Notes
|
|
|
|
|
|
|
|
65
|
|
|
12.00%, 2/15/18
|
|
|
68,575
|
|
|
|
|
|
|
|
Quicksilver Resources, Inc.
|
|
|
|
|
|
|
|
85
|
|
|
7.125%, 4/1/16
|
|
|
81,069
|
|
|
|
|
|
|
|
SESI, LLC, Sr. Notes
|
|
|
|
|
|
|
|
30
|
|
|
6.875%, 6/1/14
|
|
|
29,850
|
|
|
|
|
|
|
|
Stewart & Stevenson, LLC, Sr. Notes
|
|
|
|
|
|
|
|
115
|
|
|
10.00%, 7/15/14
|
|
|
106,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,144,019
|
|
|
|
|
|
|
|
|
|
|
|
|
Publishing 1.2%
|
|
|
|
|
|
|
Dex Media West/Finance, Series B
|
|
|
|
|
$
|
|
|
45
|
|
|
9.875%, 8/15/13
(2)
|
|
$
|
15,862
|
|
|
|
|
|
|
|
Laureate Education, Inc.
|
|
|
|
|
|
|
|
50
|
|
|
10.00%, 8/15/15
(3)(7)
|
|
|
51,812
|
|
|
|
|
503
|
|
|
10.25%, 8/15/15
(3)(7)
|
|
|
483,302
|
|
9
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
|
Local Insight Regatta Holdings, Inc.
|
|
|
|
|
$
|
|
|
60
|
|
|
11.00%, 12/1/17
|
|
$
|
39,300
|
|
|
|
|
|
|
|
Nielsen Finance, LLC
|
|
|
|
|
|
|
|
270
|
|
|
10.00%, 8/1/14
|
|
|
282,150
|
|
|
|
|
35
|
|
|
12.50%, (0.00% until 8/1/11), 8/1/16
|
|
|
32,200
|
|
|
|
|
|
|
|
Readers Digest Association, Inc. (The), Sr. Sub.
Notes
|
|
|
|
|
|
|
|
205
|
|
|
9.00%, 2/15/17
(2)
|
|
|
3,096
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
907,722
|
|
|
|
|
|
|
|
|
|
|
|
|
Rail Industries 0.1%
|
|
|
|
|
|
|
American Railcar Industry, Sr. Notes
|
|
|
|
|
$
|
|
|
80
|
|
|
7.50%, 3/1/14
|
|
$
|
76,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
76,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Retailers (Except Food and Drug) 2.0%
|
|
|
|
|
|
|
Amscan Holdings, Inc., Sr. Sub. Notes
|
|
|
|
|
$
|
|
|
225
|
|
|
8.75%, 5/1/14
|
|
$
|
223,312
|
|
|
|
|
|
|
|
Neiman Marcus Group, Inc.
|
|
|
|
|
|
|
|
788
|
|
|
9.00%, 10/15/15
|
|
|
770,675
|
|
|
|
|
365
|
|
|
10.375%, 10/15/15
|
|
|
359,525
|
|
|
|
|
|
|
|
Yankee Acquisition Corp., Series B
|
|
|
|
|
|
|
|
227
|
|
|
8.50%, 2/15/15
|
|
|
228,135
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,581,647
|
|
|
|
|
|
|
|
|
|
|
|
|
Steel 0.0%
|
|
|
|
|
|
|
RathGibson, Inc., Sr. Notes
|
|
|
|
|
$
|
|
|
10
|
|
|
11.25%, 2/15/14
(2)
|
|
$
|
3,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,350
|
|
|
|
|
|
|
|
|
|
|
|
|
Surface Transport 0.2%
|
|
|
|
|
|
|
CEVA Group, PLC, Sr. Notes
|
|
|
|
|
$
|
|
|
135
|
|
|
10.00%, 9/1/14
(7)
|
|
$
|
130,444
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
130,444
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 0.1%
|
|
|
|
|
|
|
AES Corp., Sr. Notes
|
|
|
|
|
$
|
|
|
35
|
|
|
8.00%, 10/15/17
|
|
$
|
35,438
|
|
|
|
|
|
|
|
Reliant Energy, Inc., Sr. Notes
|
|
|
|
|
|
|
|
10
|
|
|
7.625%, 6/15/14
|
|
|
9,650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
45,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
(identified cost $10,743,061)
|
|
$
|
9,778,899
|
|
|
|
|
|
|
Asset-Backed
Securities 1.0%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
$
|
|
|
2,000
|
|
|
Comstock Funding Ltd.,
Series 2006-1A,
Class D,
4.504%, 5/30/20
(7)(8)
|
|
$
|
758,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(identified cost $1,466,864)
|
|
$
|
758,600
|
|
|
|
|
|
|
10
Common
Stocks 0.2%
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Security
|
|
Value
|
|
Automotive 0.0%
|
|
|
|
667
|
|
|
Dayco
Products
(9)
|
|
$
|
10,339
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,339
|
|
|
|
|
|
|
|
|
|
|
|
|
Building and Development 0.2%
|
|
|
|
104
|
|
|
Panolam Holdings
Co.
(5)(9)(10)
|
|
$
|
57,148
|
|
|
|
|
615
|
|
|
United Subcontractors,
Inc.
(5)(9)
|
|
|
49,606
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
106,754
|
|
|
|
|
|
|
|
|
|
|
|
|
Nonferrous Metals/Minerals 0.0%
|
|
|
|
935
|
|
|
Euramax International,
Inc.
(5)(9)
|
|
$
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas 0.0%
|
|
|
|
375
|
|
|
SemGroup
Corp.
(9)
|
|
$
|
9,305
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,305
|
|
|
|
|
|
|
|
|
|
|
|
|
Publishing 0.0%
|
|
|
|
572
|
|
|
Source Interlink Companies,
Inc.
(5)(9)
|
|
$
|
4,118
|
|
|
|
|
923
|
|
|
Star Tribune Co.
(The)
(5)(9)
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,118
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $164,986)
|
|
$
|
130,516
|
|
|
|
|
|
|
Preferred
Stocks 0.0%
|
|
|
|
|
|
|
|
|
|
|
Units
|
|
|
Security
|
|
Value
|
|
Lodging and Casinos 0.0%
|
|
|
|
224
|
|
|
Fontainebleau Resorts
LLC
(3)(5)(10)
|
|
$
|
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks
(identified cost $223,930)
|
|
$
|
2
|
|
|
|
|
|
|
Miscellaneous
0.0%
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Security
|
|
Value
|
|
Cable and Satellite Television 0.0%
|
|
|
|
290,298
|
|
|
Adelphia Recovery
Trust
(9)
|
|
$
|
9,798
|
|
|
|
|
300,000
|
|
|
Adelphia, Inc., Escrow
Certificate
(9)
|
|
|
5,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Miscellaneous
(identified cost $299,249)
|
|
$
|
15,048
|
|
|
|
|
|
|
Warrants
0.0%
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Security
|
|
Value
|
|
Chemicals and Plastics 0.0%
|
|
|
|
663
|
|
|
Foamex, Series A, Exp.
12/31/13
(5)(9)
|
|
$
|
0
|
|
|
|
|
663
|
|
|
Foamex, Series B, Exp.
12/31/15
(5)(9)
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas 0.0%
|
|
|
|
394
|
|
|
SemGroup Corp., Exp.
11/30/14
(5)(9)
|
|
$
|
2,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,079
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Security
|
|
Value
|
|
Publishing/Printing 0.0%
|
|
|
|
935
|
|
|
Star Tribune, Exp.
9/28/13
(5)(9)
|
|
$
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants
(identified cost $4)
|
|
$
|
2,079
|
|
|
|
|
|
|
Short-Term
Investments 5.8%
|
|
|
|
|
|
|
|
|
|
|
Interest/
|
|
|
|
|
|
|
Principal Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Description
|
|
Value
|
|
$
|
|
|
1,642
|
|
|
Cash Management Portfolio,
0.00%
(11)
|
|
$
|
1,641,956
|
|
|
|
|
1,494
|
|
|
Eaton Vance Cash Reserves Fund, LLC,
0.11%
(11)
|
|
|
1,493,945
|
|
|
|
|
1,370
|
|
|
State Street Bank and Trust Euro Time Deposit,
0.01%, 2/1/10
|
|
|
1,369,773
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $4,505,674)
|
|
$
|
4,505,674
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 108.0%
(identified cost $102,681,394)
|
|
$
|
83,499,886
|
|
|
|
|
|
|
|
|
|
|
|
Less Unfunded Loan Commitments (0.7)%
|
|
$
|
(542,271
|
)
|
|
|
|
|
|
|
|
|
|
|
Net Investments 107.3%
(identified cost $102,139,123)
|
|
$
|
82,957,615
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities 3.0%
|
|
$
|
2,393,450
|
|
|
|
|
|
|
|
|
|
|
|
Auction Preferred Shares Plus Cumulative Unpaid
Dividends (10.3)%
|
|
$
|
(8,001,137
|
)
|
|
|
|
|
|
|
|
|
|
|
Net Assets Applicable to Common Shares 100.0%
|
|
$
|
77,349,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The percentage shown for each investment category in the
Portfolio of Investments is based on net assets applicable to
common shares.
|
|
|
|
|
|
EUR
|
|
-
|
|
Euro
|
GBP
|
|
-
|
|
British Pound Sterling
|
|
|
|
|
|
(1)
|
|
|
|
Senior floating-rate interests (Senior Loans) often require
prepayments from excess cash flows or permit the borrowers to
repay at their 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, Senior Loans will have an expected
average life of approximately two to four years. The stated
interest rate represents the weighted average interest rate of
all contracts within the senior loan facility and includes
commitment fees on unfunded loan commitments, if any. 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)
|
|
|
|
Currently the issuer is in default with respect to interest
payments.
|
(3)
|
|
|
|
Represents a
payment-in-kind
security which may pay all or a portion of interest/dividends in
additional par/shares.
|
(4)
|
|
|
|
Defaulted matured security.
|
(5)
|
|
|
|
Security valued at fair value using methods determined in good
faith by or at the direction of the Trustees.
|
(6)
|
|
|
|
Unfunded or partially unfunded loan commitments.
|
(7)
|
|
|
|
Security exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities may be sold
in certain transactions and remain exempt from registration,
normally to qualified institutional buyers. At January 31,
2010, the aggregate value of these securities is $4,447,924 or
5.8% of the Funds net assets applicable to common shares.
|
(8)
|
|
|
|
Variable rate security. The stated interest rate represents the
rate in effect at January 31, 2010.
|
(9)
|
|
|
|
Non-income producing security.
|
(10)
|
|
|
|
Restricted security.
|
(11)
|
|
|
|
Affiliated investment company available to Eaton Vance
portfolios and funds which invests in high quality, U.S. dollar
denominated money market instruments. The rate shown is the
annualized
seven-day
yield as of January 31, 2010. Net income allocated from the
investment in Cash Management Portfolio and Eaton Vance Cash
Reserves Fund, LLC for the fiscal year to date ended
January 31, 2010 was $1,111 and $34, respectively.
|
12
A summary of financial instruments outstanding at
January 31, 2010 is as follows:
Forward
Foreign Currency Exchange Contracts
Sales
|
|
|
|
|
|
|
|
|
Settlement
|
|
|
|
|
|
Net Unrealized
|
|
Date
|
|
Deliver
|
|
In Exchange For
|
|
Appreciation
|
|
2/26/10
|
|
Euro
7,360,866
|
|
United States Dollar
10,304,476
|
|
$
|
99,273
|
|
2/26/10
|
|
British Pound Sterling
1,749,705
|
|
United States Dollar
2,823,411
|
|
|
27,016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
126,289
|
|
|
|
|
|
|
|
|
|
|
At January 31, 2010, the Fund had sufficient cash
and/or
securities to cover commitments under these contracts.
The Fund is subject to foreign exchange risk in the normal
course of pursuing its investment objectives. Because the Fund
holds foreign currency denominated investments, the value of
these investments and related receivables and payables may
change due to future changes in foreign currency exchange rates.
To hedge against this risk, the Fund may enter into forward
foreign currency exchange contracts. The Fund may also enter
into such contracts to hedge the currency risk of investments it
anticipates purchasing.
At January 31, 2010, the aggregate fair value of derivative
instruments (not considered to be hedging instruments for
accounting disclosure purposes) in an asset position and whose
primary underlying risk exposure is foreign exchange risk was
$126,289.
The cost and unrealized appreciation (depreciation) of
investments of the Fund at January 31, 2010, as determined
on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
102,291,206
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
985,064
|
|
Gross unrealized depreciation
|
|
|
(20,318,655
|
)
|
|
|
|
|
|
Net unrealized depreciation
|
|
$
|
(19,333,591
|
)
|
|
|
|
|
|
Restricted
Securities
At January 31, 2010, the Fund owned the following
securities (representing less than 0.1% of net assets applicable
to common shares) which were restricted as to public resale and
not registered under the Securities Act of 1933 (excluding
Rule 144A securities). The Fund has various registration
rights (exercisable under a variety of circumstances) with
respect to these securities. The 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/Units
|
|
|
Cost
|
|
|
Value
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Panolam Holdings Co.
|
|
|
12/30/09
|
|
|
|
104
|
|
|
$
|
57,148
|
|
|
$
|
57,148
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fontainebleau Resorts LLC
|
|
|
6/1/07
|
|
|
|
224
|
|
|
|
223,930
|
|
|
|
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Restricted Securities
|
|
|
|
|
|
|
|
|
|
$
|
281,078
|
|
|
$
|
57,150
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Under generally accepted accounting principles for fair value
measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation
techniques to measure fair value. The three-tier hierarchy of
inputs is summarized in the three broad levels listed below.
|
|
|
|
|
Level 1 quoted prices in active markets for
identical investments
|
|
|
|
Level 2 other significant observable inputs
(including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.)
|
|
|
|
Level 3 significant unobservable inputs
(including a funds own assumptions in determining the fair
value of investments)
|
The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing
in those securities.
13
At January 31, 2010, the inputs used in valuing the
Funds investments, which are carried at value, were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
|
|
|
|
|
Asset Description
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Total
|
|
|
|
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)
|
|
$
|
|
|
|
$
|
67,267,469
|
|
|
$
|
499,328
|
|
|
$
|
67,766,797
|
|
Corporate Bonds & Notes
|
|
|
|
|
|
|
9,635,223
|
|
|
|
143,676
|
|
|
|
9,778,899
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
758,600
|
|
|
|
|
|
|
|
758,600
|
|
Common Stocks
|
|
|
|
|
|
|
19,644
|
|
|
|
110,872
|
|
|
|
130,516
|
|
Preferred Stocks
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
|
2
|
|
Miscellaneous
|
|
|
|
|
|
|
15,048
|
|
|
|
|
|
|
|
15,048
|
|
Warrants
|
|
|
|
|
|
|
|
|
|
|
2,079
|
|
|
|
2,079
|
|
Short-Term Investments
|
|
|
1,641,956
|
|
|
|
2,863,718
|
|
|
|
|
|
|
|
4,505,674
|
|
|
|
Total Investments
|
|
$
|
1,641,956
|
|
|
$
|
80,559,702
|
|
|
$
|
755,957
|
|
|
$
|
82,957,615
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
126,289
|
|
|
$
|
|
|
|
$
|
126,289
|
|
|
|
Total
|
|
$
|
1,641,956
|
|
|
$
|
80,685,991
|
|
|
$
|
755,957
|
|
|
$
|
83,083,904
|
|
|
|
The following is a reconciliation of Level 3 assets for
which significant unobservable inputs were used to determine
fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
|
Investments in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating-Rate
|
|
|
Corporate
|
|
|
Investments in
|
|
|
Investments in
|
|
|
Investments
|
|
|
|
|
|
|
Interests
|
|
|
Bonds & Notes
|
|
|
Common Stocks
|
|
|
Preferred Stocks
|
|
|
in Warrants
|
|
|
Total
|
|
Balance as of April 30, 2009
|
|
$
|
560,894
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
19,910
|
|
|
$
|
|
|
|
$
|
580,804
|
|
Realized gains (losses)
|
|
|
(1,267,851
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,267,851
|
)
|
Change in net unrealized appreciation (depreciation)
|
|
|
1,146,372
|
|
|
|
1,267
|
|
|
|
(33,131
|
)
|
|
|
(33,378
|
)
|
|
|
2,075
|
|
|
|
1,083,205
|
|
Net purchases (sales)
|
|
|
(146,492
|
)
|
|
|
(10,355
|
)
|
|
|
144,003
|
|
|
|
13,470
|
|
|
|
4
|
|
|
|
630
|
|
Accrued discount (premium)
|
|
|
6,405
|
|
|
|
355
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,760
|
|
Net transfers to (from) Level 3
|
|
|
200,000
|
|
|
|
152,409
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
352,409
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of January 31, 2010
|
|
$
|
499,328
|
|
|
$
|
143,676
|
|
|
$
|
110,872
|
|
|
$
|
2
|
|
|
$
|
2,079
|
|
|
$
|
755,957
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) on
investments still held as of January 31, 2010
|
|
$
|
(71,294
|
)
|
|
$
|
1,267
|
|
|
$
|
(33,131
|
)
|
|
$
|
(33,378
|
)
|
|
$
|
2,075
|
|
|
$
|
(134,461
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For information on the Funds policy regarding the
valuation of investments and other significant accounting
policies, please refer to the Funds most recent financial
statements included in its semiannual or annual report to
shareholders.
Subsequent
Event
On February 26, 2010, the shareholders of the Fund approved
an Agreement and Plan of Reorganization (which was previously
approved by the Funds Trustees) whereby the Eaton Vance
Limited Duration Income Fund (the Acquiring Fund) would acquire
substantially all the assets and assume substantially all the
liabilities of the Fund in exchange for common shares of the
Acquiring Fund and cash consideration equal to the aggregate
liquidation value of the Funds APS. The acquisition was
completed prior to the opening of business on March 12,
2010.
14
Item 2.
Controls and Procedures
(a) It is the conclusion of the registrants principal
executive officer and principal financial officer that the
effectiveness of the registrants 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 Commissions 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 registrants
principal executive officer and principal financial officer in
order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants
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
registrants 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 Credit Opportunities Fund
|
|
|
|
|
By:
|
|
/s/ Payson Swaffield
|
|
|
|
|
|
|
|
|
|
Payson F. Swaffield
|
|
|
|
|
President
|
|
|
|
|
|
|
|
Date:
|
|
March 24, 2010
|
|
|
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/ Payson Swaffield
|
|
|
|
|
|
|
|
|
|
Payson F. Swaffield
|
|
|
|
|
President
|
|
|
|
|
|
|
|
Date:
|
|
March 24, 2010
|
|
|
|
|
|
|
|
By:
|
|
/s/ Barbara E. Campbell
|
|
|
|
|
|
|
|
|
|
Barbara E. Campbell
|
|
|
|
|
Treasurer
|
|
|
|
|
|
|
|
Date:
|
|
March 24, 2010
|
|
|
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