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 811-08743
Van Kampen Senior Income Trust
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(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
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(Address of principal executive offices) (Zip code)
Ronald Robison
1221 Avenue of the Americas, New York, New York 10020
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(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: 7/31
Date of reporting period: 4/30/07
Item 1. Schedule of Investments.
The Trust's schedule of investments as of the close of the reporting period
prepared pursuant to Rule 12-12 of Regulation S-X is as follows:
VAN KAMPEN SENIOR INCOME TRUST
PORTFOLIO OF INVESTMENTS - APRIL 30, 2007 (UNAUDITED)
PRINCIPAL BANK LOAN
AMOUNT RATINGS + STATED
(000) BORROWER MOODY'S S&P COUPON MATURITY * VALUE
--------- ---------------------------- ------- ---- -------- ----------- --------------
VARIABLE RATE** SENIOR LOAN INTERESTS 174.6%
AEROSPACE/DEFENSE 5.0%
$ 745 Alion Science and
Technology Corp.,
Revolving Credit
Agreement................ Ba3 B+ 10.00% 08/02/09 $ 726,375
9,758 Alion Science and
Technology Corp., 7.82 to
Term Loan................ Ba2 B+ 7.86 08/02/09 9,831,335
3,192 Apptis, Inc., Term 8.57 to
Loan..................... Ba3 B+ 8.60 12/20/12 3,223,920
1,577 ARINC, Inc., Term 7.34 to
Loan..................... Ba3 BB 7.35 03/10/11 1,584,198
2,446 Atlantic Marine
Services, Term
Loan..................... B1 B+ 9.25 03/22/14 2,456,520
2,550 DeCrane Aircraft
Holdings, Inc., Term
Loan..................... B1 B 8.10 02/21/13 2,572,312
4,951 DynCorp International,
LLC, Term Loan........... Ba2 BB- 7.63 02/11/11 4,992,434
5,500 Hawker Beechraft
Acquisition Co., 7.32 to
Term Loan................ Ba3 BB- 7.35 03/26/14 5,526,026
8,621 IAP Worldwide
Services, Inc., Term 9.69 to 12/30/12 to
Loan..................... Caa2 CCC+ 15.19 06/30/13 8,636,279
5,360 ILC Industries, Inc.,
Term Loan................ NR NR 7.60 02/24/12 5,368,434
8,655 K&F Industries, Inc.,
Term Loan................ Ba3 B+ 7.32 11/18/12 8,669,565
2,111 Primus International, 7.82 to
Inc., Term Loan.......... NR NR 9.75 06/07/12 2,121,671
3,776 SI International, Inc., 7.33 to
Term Loan................ Ba3 NR 7.40 02/09/11 3,785,354
1,100 Tri-Star Electronics
International, Term 8.36 to
Loan..................... NR NR 8.40 02/02/13 1,105,500
4,750 Vangent, Inc., Term
Loan..................... Ba3 BB- 7.61 02/14/13 4,797,500
3,647 Wesco Aircraft
Hardware Corp., 7.60 to 09/29/13 to
Term Loan................ Ba3 B+ 11.10 03/28/14 3,686,179
8,163 Wyle Laboratories, 8.11 to 01/28/11 to
Inc., Term Loan.......... NR B- 11.86 07/28/11 8,228,097
--------------
77,311,699
--------------
AUTOMOTIVE 7.9%
6,646 Accuride Corp., Term
Loan..................... Ba3 B+ 7.38 01/31/12 6,693,440
1,990 Acument Global
Technologies, Inc.,
Term Loan................ B2 B+ 8.85 08/11/13 2,004,925
4,450 Dana Corp., Term
Loan..................... B2 BB- 7.88 04/13/08 4,464,948
15,384 Federal-Mogul Corp.,
Revolving Credit
Agreement (a)............ NR NR 9.07 07/01/07 15,441,199
15,521 Federal-Mogul Corp.,
Term Loan (a)............ NR NR 9.07 07/01/07 15,603,340
19,202 Ford Motor Co., Term
Loan (b)................. Ba3 B 8.36 12/15/13 19,356,104
3,369 Heartland Automotive
Holdings, Inc., Term 9.10 to
Loan..................... NR NR 9.11 02/27/12 3,371,331
10,678 MetoKote Corp., Term 8.32 to
Loan..................... B2 B+ 8.36 11/27/11 10,730,946
2,180 Navistar International
Corp., Revolving 5.22 to
Credit Agreement......... NR BB- 8.61 01/19/12 2,213,153
5,995 Navistar International
Corp., Term Loan......... NR BB- 8.61 01/19/12 6,086,172
13,466 Oshkosh Truck Corp.,
Term Loan................ Ba3 BB 7.35 12/06/13 13,523,064
949 Performance
Transportation
Services, Inc., Term
Loan..................... NR NR 8.57 01/26/12 953,610
6,088 Polypore, Inc., Term
Loan..................... Ba3 B 8.32 11/12/11 6,118,693
1,493 Precision Partners,
Inc., Term Loan.......... B2 B+ 9.35 10/27/13 1,466,381
7,450 Sensata Technologies,
Inc., Term Loan.......... B1 BB- 7.11 04/27/13 7,454,422
3,300 Tenneco Automotive,
Inc., Term Loan.......... Ba1 BB 6.82 03/16/14 3,310,313
2,908 United Components,
Inc., Term Loan.......... Ba3 B+ 7.61 06/30/12 2,925,679
--------------
121,717,720
--------------
BANKING 0.7%
10,962 Dollar Financial Corp., 8.05 to
Term Loan................ B3 BB- 8.30 10/30/12 11,021,448
--------------
BEVERAGE, FOOD & TOBACCO 9.5%
12,893 Acosta Sales Co., Inc.,
Term Loan................ NR NR 7.57 07/28/13 13,008,016
7,083 Advantage Sales &
Marketing, LLC, 7.35 to
Term Loan................ NR NR 7.36 03/29/13 7,101,008
1,000 Alliance One
International, Inc.,
Term Loan................ B1 BB- 7.57 03/30/11 1,009,688
3,200 B&G Foods, Inc.,
Term Loan................ Ba2 B+ 7.36 02/23/13 3,220,000
14,226 Coleman Natural
Foods, LLC, Term 9.86 to 08/22/12 to
Loan (c)................. NR NR 13.86 08/22/13 14,006,370
4,975 DCI Cheese Co., Term
Loan..................... NR NR 8.60 08/07/13 4,993,656
21,073 Dole Food Co., Inc., 5.23 to
Term Loan................ Ba3 B 9.25 04/12/13 21,076,015
9,327 DS Waters of
America, Inc., Term
Loan..................... Ba3 B- 7.57 10/25/12 9,349,942
4,950 DSW Holdings, Inc.,
Term Loan................ NR NR 9.35 03/07/12 4,962,375
5,039 Farley's & Sathers
Candy Co., Inc., 8.10 to 06/15/10 to
Term Loan................ NR NR 11.36 03/24/11 5,051,564
5,925 Fresh Start Bakeries, 7.88 to 09/29/13 to
Inc., Term Loan.......... NR NR 11.13 03/29/14 5,984,063
1,500 Interstate Brands
Corp., Term Loan (a)..... NR NR 9.60 07/19/07 1,481,562
0 Le-Nature's, Inc., Term 9.39 to
Loan (a)(d)(e)........... NR NR 11.25 03/01/11 1
6,558 Luigino's, Inc., Term
Loan..................... B1 B+ 8.38 04/02/11 6,635,880
1,328 Mafco Worldwide 7.32 to
Corp., Term Loan......... B1 B+ 7.35 12/08/11 1,331,639
7,843 Michael Foods, Inc.,
Term Loan................ Ba3 B+ 7.36 11/21/10 7,876,159
5,810 National Dairy
Holdings, LP, Term
Loan..................... NR NR 7.32 03/15/12 5,820,623
2,474 OSI Foods GMBH &
Co. KG, Term Loan........ NR NR 7.35 09/02/11 2,481,660
9,480 OSI Group, LLC, Term
Loan..................... NR NR 7.35 09/02/11 9,509,252
7,244 PBM Products, LLC,
Term Loan................ NR NR 8.07 09/29/12 7,298,552
10,608 Pierre Foods, Inc.,
Term Loan................ Ba3 B+ 7.61 06/30/10 10,667,879
960 Volume Services
America, Inc.,
Revolving Credit
Agreement................ B2 NR 9.75 04/01/10 941,256
3,920 Volume Services
America, Inc., Term 8.61 to
Loan..................... B2 NR 9.50 10/01/10 3,932,250
--------------
147,739,410
--------------
BROADCASTING - CABLE 1.4%
6,600 Cequel
Communications, 7.34 to
LLC, Term Loan........... B1 B+ 7.35 11/05/13 6,600,825
12,488 CSC Holdings, Inc., 7.07 to
Term Loan................ Ba2 BB 7.11 03/29/13 12,546,385
2,394 Mediacom Illinois, 7.09 to
LLC, Term Loan........... Ba3 BB- 7.11 01/31/15 2,396,993
--------------
21,544,203
--------------
BROADCASTING - DIVERSIFIED 0.5%
5,711 Cumulus Media, Inc.,
Term Loan................ Ba3 B 7.32 06/07/13 5,750,062
2,650 NEP II, Inc., Term
Loan..................... NR NR 7.60 02/16/14 2,668,632
--------------
8,418,694
--------------
BROADCASTING - RADIO 2.8%
6,868 CMP KC, LLC, Term
Loan..................... Caa1 CCC+ 9.38 05/03/11 6,911,242
14,352 CMP Susquehanna 7.35 to
Corp., Term Loan......... Ba3 B 7.38 05/05/13 14,448,660
3,750 Emmis Operating Co.,
Term Loan................ B1 B 7.35 11/01/13 3,778,478
1,782 LBI Media, Inc., Term 6.82 to
Loan..................... Ba2 B 6.86 03/31/12 1,768,635
5,218 Multicultural Radio
Broadcasting, Inc., 8.09 to 12/18/12 to
Term Loan................ Caa2 CCC+ 11.09 06/18/13 5,238,028
5,569 NextMedia Operating, 7.32 to 11/15/12 to
Inc., Term Loan.......... Caa1 CCC+ 9.82 11/15/13 5,587,829
2,743 Regent Broadcasting,
LLC, Term Loan........... B1 B 7.60 11/21/13 2,758,555
3,413 Spanish Broadcasting
System, Inc., Term
Loan..................... B1 B 7.10 07/11/12 3,421,304
--------------
43,912,731
--------------
BROADCASTING - TELEVISION 3.8%
1,990 Barrington
Broadcasting, LLC,
Term Loan................ Ba3 B 7.61 08/12/13 2,000,573
4,137 HIT Entertainment,
Inc., Term Loan.......... Ba3 B 7.59 03/20/12 4,166,737
51,980 Univision
Communications, 7.61 to 03/29/09 to
Inc., Term Loan (b)...... Ba3 CCC+ 7.82 09/29/14 51,949,042
--------------
58,116,352
--------------
BUILDINGS & REAL ESTATE 6.2%
6,667 BioMed Realty, LP,
Term Loan................ NR NR 7.57 05/30/10 6,691,667
2,500 California Coastal
Communities, Inc.,
Term Loan................ NR NR 8.07 09/15/11 2,503,125
7,328 Edge-Star Partners, 9.36 to
Term Loan................ NR NR 15.36 11/18/07 7,311,142
20,923 Ginn LA CS Borrower, 8.25 to 06/08/11 to
LLC, Term Loan........... Caa3 BB- 12.35 06/08/12 19,604,979
3,200 Kyle Acquisition
Group, LLC, Term 07/20/08 to
Loan..................... NR NR 8.88 07/20/10 3,240,000
3,346 Lake at Las Vegas
Joint Venture, LLC,
Term Loan................ B3 CCC+ 12.00 11/01/09 3,319,687
4,389 Landsource
Communities
Development, LLC,
Term Loan................ Ba2 BB+ 8.07 02/27/13 4,420,890
4,800 LNR Property Corp.,
Term Loan................ B2 B+ 8.11 07/12/11 4,833,427
2,376 London Arena &
Waterfront Finance,
LLC, Term Loan........... NR NR 7.84 03/08/12 2,396,790
4,571 NLV Holdings, LLC, 8.10 to 05/09/11 to
Term Loan................ B1 B+ 12.35 05/30/12 4,574,492
3,582 Shea Capital I, LLC,
Term Loan................ NR NR 7.35 10/27/11 3,546,180
2,475 Shea Mountain House,
LLC, Term Loan........... NR NR 7.32 05/11/11 2,444,062
5,097 South Edge, LLC, 7.13 to 10/31/07 to
Term Loan................ NR NR 7.38 10/31/09 5,071,689
600 Standard Pacific
Corp., Term Loan......... NR NR 6.86 05/05/13 594,375
5,964 Tamarack Resort, 8.60 to
LLC, Term Loan........... NR NR 8.61 05/19/11 5,904,360
2,500 TE/TOUSA Senior, LLC,
Term Loan NR NR 9.75 08/01/08 2,421,875
12,000 WCI Communities,
Inc, Term Loan........... NR NR 7.82 12/23/10 11,959,500
5,794 Yellowstone
Development, LLC,
Term Loan................ NR NR 7.70 09/30/10 5,805,268
--------------
96,643,508
--------------
BUSINESS EQUIPMENT & SERVICES 6.6%
17,811 Affiliated Computer
Services, Inc., Term 7.32 to
Loan..................... Ba2 BB 7.86 03/20/13 17,881,164
10,125 AlixPartners, LLP,
Term Loan................ B1 BB- 7.61 10/12/13 10,206,888
2,750 Audio Visual Services
Corp., Term Loan......... Ba3 B 7.60 02/28/14 2,762,892
4,125 Brickman Group
Holdings, Inc., Term 7.34 to
Loan..................... NR B+ 7.40 01/23/14 4,137,891
5,298 Cellnet Group, Inc.,
Term Loan................ NR NR 7.34 07/22/11 5,329,204
2,978 Contec, LLC, Term
Loan..................... NR NR 8.63 06/15/12 2,984,944
5,211 Crawford & Co., Term
Loan..................... B1 BB- 7.85 10/30/13 5,252,931
2,100 Euronet Worldwide,
Inc., Term Loan.......... Ba2 BB 7.32 04/14/14 2,113,125
4,478 First American
Payment Systems,
LP, Term Loan............ NR NR 8.63 10/06/13 4,494,291
3,391 InfoUSA, Inc., Term 7.32 to
Loan..................... Ba2 BB 7.35 02/14/12 3,403,217
4,081 Katun Corp., Term
Loan..................... NR BB- 9.57 06/30/09 4,081,299
8,229 NCO Financial
Systems, Term 8.35 to
Loan..................... Ba3 B+ 8.36 05/15/13 8,293,671
10,655 Sedgwick Claims
Management
Services, Inc., Term
Loan..................... B1 B+ 7.60 01/31/13 10,686,238
3,029 Valassis
Communications,
Inc., Term Loan.......... Ba2 BB- 7.10 03/02/14 3,035,608
2,743 Verifone, Inc., Term 7.09 to
Loan..................... B1 BB- 7.11 10/31/13 2,767,127
15,174 VNU, Inc., Term
Loan (b)................. Ba3 B+ 7.61 08/09/13 15,323,909
--------------
102,754,399
--------------
CHEMICALS, PLASTICS & RUBBER 10.6%
1,100 Arizona Chemical Co.,
Term Loan................ B1 B 7.36 02/28/13 1,106,188
3,900 Basell North America
(Netherlands), Term 7.57 to 09/07/13 to
Loan..................... Ba3 BB- 8.32 09/07/14 3,950,579
2,105 Becker-Underwood, 9.10 to 03/31/10 to
Inc., Term Loan.......... NR NR 9.35 09/30/11 2,095,911
11,400 Brenntag Holdings
GmbH & Co. KG, 7.89 to 01/20/14 to
Term Loan................ Caa1 CCC+ 11.89 07/17/15 11,550,931
10,141 Ferro Corp., Term
Loan..................... NR B+ 8.07 06/06/12 10,144,424
4,172 Fibervisions Delaware
Corp., Term Loan......... B1 B 8.85 03/31/13 4,025,751
2,824 Foamex LP, Term 7.57 to
Loan..................... B1 B 7.61 02/12/13 2,832,940
3,738 Georgia Gulf Corp.,
Term Loan................ Ba2 BB 7.32 10/03/13 3,757,339
25,316 Hexion Specialty
Chemicals, Inc.,
Term Loan................ Ba3 B 7.88 05/05/13 25,528,862
33,005 Huntsman
International, LLC,
Term Loan................ NR BB- 7.07 08/16/12 33,114,505
8,910 Ineos Holdings, Ltd., 7.58 to 12/16/13 to
Term Loan................ Ba2 B+ 8.08 12/23/14 9,021,375
9,127 INVISTA
(Netherlands), Term 04/30/10 to
Loan..................... Ba1 BB 6.85 04/29/11 9,141,424
5,098 ISP Chemco, Inc.,
Term Loan................ Ba3 BB- 7.13 02/16/13 5,134,869
14,850 Kraton Polymers, LLC, 7.37 to
Term Loan................ Ba3 B+ 7.38 05/12/13 14,983,026
3,609 Lucite International
Group Holdings,
Ltd., Term Loan.......... Ba3 B+ 8.07 07/07/13 3,654,478
1,012 Nusil Technology,
LLC, Term Loan........... NR NR 8.07 10/24/13 1,019,590
5,539 PQ Corp., Term Loan......... Ba2 B+ 7.35 02/10/12 5,560,233
8,797 Rockwood Specialties
Group, Inc., Term
Loan..................... Ba2 NR 7.36 12/13/13 8,878,732
820 Valley National Gases, 7.57 to
Inc., Term Loan.......... Ba3 B 7.60 02/28/14 826,663
7,950 Wellman, Inc., Term 9.36 to 02/10/09 to
Loan..................... Caa1 CCC 12.11 02/10/10 7,530,219
--------------
163,858,039
--------------
CONSTRUCTION MATERIAL 3.0%
11,850 AXIA, Inc., Term Loan....... B2 B 8.60 12/21/12 11,553,750
4,378 Beacon Sales
Acquisition, Inc.,
Term Loan................ NR NR 7.35 09/30/13 4,388,945
1,141 Builders FirstSource,
Inc., Term Loan.......... Ba2 BB- 7.85 08/11/11 1,137,994
7,675 Building Materials
Holdings Corp., 7.85 to
Term Loan................ B2 BB- 11.13 11/10/13 7,670,804
4,898 Contech Construction
Products, Inc., Term
Loan..................... Ba3 B+ 7.32 01/31/13 4,927,222
1,500 Custom Building
Products, Inc., Term
Loan..................... NR NR 10.36 04/29/12 1,499,375
1,250 Foster Wheeler, LLC,
Term Loan................ Ba1 B+ 5.26 09/13/11 1,256,250
1,188 Nortek, Inc., Term 7.36 to
Loan..................... Ba2 B 9.25 08/27/11 1,192,865
3,333 Panolam Industries
International, Inc.
(Canada), Term
Loan..................... Ba3 B+ 8.10 09/30/12 3,343,091
2,382 Pro-Build Holdings,
Inc., Term Loan.......... Ba3 NR 7.10 06/29/13 2,362,691
5,662 Professional Paint, 7.63 to 05/31/12 to
Inc., Term Loan.......... NR NR 11.13 05/31/13 5,630,441
851 Sensus Metering
Systems, Inc., Term 7.35 to
Loan..................... Ba3 B+ 7.39 12/17/10 855,051
969 Werner Holdings Co.,
Inc., Term
Loan (a)(e).............. NR NR 17.25 06/11/09 0
--------------
45,818,479
--------------
CONTAINERS, PACKAGING & GLASS 4.5%
2,382 Altivity Packaging, 7.57 to
LLC, Term Loan........... Ba3 BB- 7.60 06/30/13 2,411,349
3,385 Anchor Glass
Container Corp., 7.60 to
Term Loan................ NR NR 7.61 05/03/13 3,376,705
5,450 Berry Plastics Group,
Inc., Term Loan.......... Ba3 B 7.32 04/03/15 5,472,994
941 Captive Plastics, Inc.,
Term Loan................ NR NR 8.10 08/18/11 947,845
11,550 Consolidated
Container Co., LLC, 7.59 to 03/28/14 to
Term Loan................ Caa1 CCC 10.86 09/28/14 11,561,227
1,477 Graphic Packaging
International Corp.,
Revolving Credit 8.32 to
Agreement................ Ba2 B+ 10.25 08/08/09 1,464,000
8,144 Graphic Packaging
International Corp., 7.82 to
Term Loan................ Ba2 B+ 7.85 08/08/10 8,178,028
1,015 Kranson Industries,
Inc., Revolving
Credit Agreement......... NR NR 10.00 07/31/13 1,010,132
9,950 Kranson Industries, 7.60 to
Inc., Term Loan.......... NR NR 10.00 07/31/13 9,999,750
5,960 Packaging Dynamics,
Term Loan................ NR BB- 7.35 06/09/13 5,959,987
3,780 Ranpak Corp., Term
Loan..................... NR NR 7.82 12/14/11 3,793,269
2,587 Smurfit-Stone
Container Corp.,
Revolving Credit
Agreement................ Ba2 B+ 7.63 11/01/09 2,582,687
6,260 Smurfit-Stone
Container Corp.,
Term Loan................ Ba2 B+ 7.38 11/01/11 6,314,496
2,735 Solo Cup, Inc., Term 8.84 to 02/27/11 to
Loan..................... Caa1 CCC- 11.57 03/31/12 2,793,950
1,925 Tegrant Holding Corp., 7.60 to 03/08/14 to
Term Loan................ NR NR 10.85 03/08/15 1,941,156
2,582 Unifrax Corp., Term
Loan..................... Ba3 B 7.63 05/02/13 2,596,898
--------------
70,404,473
--------------
DIVERSIFIED MANUFACTURING 2.7%
3,166 Arnold Magnectic
Technologies Corp., 9.10 to 03/06/11 to
Term Loan................ NR NR 11.50 03/06/12 3,152,929
215 Chart Industries, Inc.,
Revolving Credit
Agreement................ Ba2 B+ 7.32 10/17/10 209,837
4,228 Chart Industries, Inc.,
Term Loan................ Ba2 B+ 7.38 10/17/12 4,248,725
4,500 Euramax International, 12.35 to
Inc., Term Loan.......... Caa1 CCC+ 13.35 06/29/13 4,446,660
13,990 Mueller Group, Inc., 7.32 to
Term Loan................ Ba3 BB- 7.36 10/03/12 14,097,377
6,468 MW Industries, Inc.,
Term Loan................ NR NR 8.35 11/01/13 6,499,837
2,279 Wire Rope Corp. of
America, Inc., Term 7.59 to
Loan..................... B2 B+ 7.61 02/08/14 2,298,362
6,305 X-Rite, Inc., Term 7.60 to 06/30/12 to
Loan..................... B3 B- 10.35 06/30/13 6,357,897
--------------
41,311,624
--------------
DURABLE CONSUMER PRODUCTS 0.3%
4,104 Brown Jordan
International, Inc., 9.36 to
Term Loan................ NR NR 11.25 04/30/12 4,145,419
--------------
ECOLOGICAL 4.6%
18,186 Allied Waste North
America, Inc., Term 7.06 to
Loan..................... Ba3 BB 7.15 01/15/12 18,287,080
2,500 Casella Waste
Systems, Inc., Term
Loan..................... NR NR 7.36 04/28/10 2,514,062
16,652 Energy Solutions, LLC, 7.57 to 06/07/11 to
Term Loan................ NR BB 7.63 06/07/13 16,818,368
3,600 Environmental
Systems Products
Holdings, Term
Loan..................... Ba3 NR 10.75 12/12/08 3,591,143
5,550 Environmental
Systems Products
Holdings, Term 15.32 to
Loan (e)................. Caa1 NR 17.25 12/12/10 3,121,875
4,350 LVI Services, Inc., 10.34 to
Term Loan................ NR NR 10.36 11/16/11 4,320,081
6,050 Synagro Technologies, 7.32 to 04/02/14 to
Inc., Term Loan.......... Caa1 CCC+ 10.07 10/02/14 6,096,406
1,346 WasteQuip, Inc., Term 7.57 to
Loan..................... Ba3 B+ 7.60 02/05/13 1,359,381
14,869 Waste Services, Inc.,
Term Loan................ Ba3 B+ 7.82 03/31/11 14,988,214
--------------
71,096,610
--------------
EDUCATION & CHILD CARE 1.0%
3,979 Educate Operating
Co., LLC, Term
Loan..................... Ba3 NR 9.35 03/31/12 3,959,002
11,373 Education
Management Corp.,
Term Loan................ B2 B 7.38 06/01/13 11,430,123
--------------
15,389,125
--------------
ELECTRONICS 5.9%
7,409 AMI Semiconductor,
Inc., Term Loan.......... Ba3 BB- 6.82 04/01/12 7,390,543
388 Blackboard, Inc., Term
Loan..................... Ba3 B+ 7.57 02/28/12 390,425
15,887 Dealer Computer
Services, Inc., Term 7.35 to 10/26/12 to
Loan..................... B3 B- 10.85 10/26/13 16,043,146
1,500 Deutsche Connector 7.83 to 06/22/14 to
Group, Term Loan......... NR NR 8.08 06/22/15 1,519,297
806 Eastman Kodak Co., 7.57 to
Term Loan................ Ba3 B+ 9.50 10/18/12 808,132
2,820 Epicor Software Corp., 7.84 to
Term Loan................ Ba3 BB- 9.15 03/30/12 2,832,337
1,910 GXS Worldwide, Inc., 10.35 to
Term Loan................ Ba3 B+ 10.36 07/29/11 1,938,650
4,975 Infor Enterprise
Solutions Holdings,
Inc., Term Loan.......... B1 B- 9.10 07/28/12 5,013,450
1,567 Intergraph Corp., Term
Loan..................... B1 B 7.61 05/28/14 1,578,732
2,494 Nuance
Communications,
Inc., Term Loan.......... B1 B+ 7.32 03/31/13 2,498,378
3,332 ON Semiconductor
Corp., Term Loan......... Ba1 B+ 7.10 09/03/13 3,340,303
9,250 Open Solutions, Inc.,
Term Loan................ Ba3 B+ 7.49 01/23/14 9,296,250
5,124 Open Text Corp.,
Term Loan................ Ba3 BB- 7.85 10/02/13 5,162,682
597 Stratus Technologies,
Inc., Term Loan.......... B1 B- 8.38 03/29/11 572,374
263 Sungard Data
Systems, Inc.,
Revolving Credit
Agreement................ Ba3 B+ 7.57 08/11/11 255,967
32,695 Sungard Data
Systems, Inc., Term
Loan (b)................. Ba3 B+ 7.36 02/28/14 33,014,012
--------------
91,654,678
--------------
ENTERTAINMENT & LEISURE 10.6%
2,940 Alliance Atlantis
Communications,
Inc., Term Loan.......... Ba1 BB 6.82 12/20/11 2,941,379
2,963 AMC Entertainment,
Inc., Term Loan.......... Ba1 B+ 7.07 01/26/13 2,980,156
7,382 Bombardier Capital,
Inc., Term Loan.......... B1 B+ 7.86 06/28/13 7,439,956
14,023 Cedar Fair, LP, Term 7.32 to
Loan..................... Ba3 BB- 9.25 08/30/12 14,167,741
5,473 Cinemark USA, Inc., 7.04 to
Term Loan................ Ba3 B 7.15 10/05/13 5,500,623
10,515 Fender Musical
Instruments Corp., 8.11 to 03/30/12 to
Term Loan................ Caa1 B- 11.36 09/30/12 10,768,064
48,874 Metro-Goldwyn-Mayer
Studios, Inc., Term
Loan..................... NR NR 8.60 04/08/12 48,984,439
4,943 Mets, LP, Term Loan......... NR NR 7.32 07/25/10 4,955,214
5,743 Panavision, Inc., Term 8.34 to
Loan..................... Ba3 B 8.36 03/30/11 5,782,017
2,200 Playcore Holdings, 8.07 to
Inc., Term Loan.......... NR NR 8.11 02/21/14 2,211,000
22,939 Regal Cinemas, Inc.,
Term Loan................ Ba2 BB- 7.10 10/27/13 23,039,133
264 Six Flags Theme
Parks, Inc.,
Revolving Credit
Agreement................ Ba3 B- 8.57 06/30/08 263,245
6,516 Six Flags Theme
Parks, Inc., Term 8.60 to
Loan..................... Ba3 B- 8.61 06/30/09 6,567,217
6,000 Southwest Sports
Group, LLC, Term
Loan..................... NR NR 7.88 12/22/10 6,001,878
4,080 Tigers Ballpark, LLC,
Term Loan................ NR NR 7.13 08/15/10 4,080,000
12,478 True Temper Sports, 8.54 to 03/15/11 to
Inc., Term Loan.......... NR NR 10.86 06/30/11 12,562,344
5,553 Universal City
Development
Partners, LP, Term 7.35 to
Loan..................... Ba1 BB- 7.36 06/09/11 5,587,432
--------------
163,831,838
--------------
FARMING & AGRICULTURE 1.0%
5,312 Nutro Products, Inc.,
Term Loan................ Ba3 B 7.32 04/26/13 5,317,324
10,406 Wm. Bolthouse
Farms, Inc., Term 7.63 to 12/16/12 to
Loan..................... Caa1 B- 10.85 12/16/13 10,493,353
--------------
15,810,677
--------------
FINANCE 4.0%
3,743 DCS Business
Services, Inc., Term 9.57 to 02/04/11 to
Loan..................... NR NR 11.32 08/04/11 3,256,417
7,681 Grosvenor Capital
Management
Holdings, LLP, Term 7.60 to
Loan..................... NR NR 7.63 12/05/13 7,767,158
6,300 iPayment, Inc., Term 7.32 to
Loan..................... B1 B 7.35 05/10/13 6,304,119
9,918 LPL Holdings, Inc.,
Term Loan................ B1 B 7.85 06/28/13 10,055,559
2,199 Munder Capital
Management, Term 7.32 to
Loan..................... Ba2 BB+ 7.36 12/29/12 2,210,372
8,511 Outsourcing Solutions,
Inc., Term Loan.......... NR NR 10.86 09/30/10 8,526,542
10,100 Oxford Acquisition III,
Ltd., Term Loan.......... Ba3 BB+ 7.74 10/20/14 10,200,838
4,800 Riskmetrics Group
Holdings, LLC, Term 7.60 to 01/11/14 to
Loan..................... Ba3 CCC+ 10.85 07/11/14 4,844,500
9,221 Transfirst Holdings, 7.85 to 08/15/12 to
Inc., Term Loan.......... Caa1 B+ 11.62 08/15/13 9,314,495
--------------
62,480,000
--------------
GROCERY 0.8%
12,776 Roundy's
Supermarkets, Inc.,
Term Loan................ Ba3 B+ 8.09 11/03/11 12,898,969
--------------
HEALTH & BEAUTY 2.2%
7,674 American Safety Razor 7.83 to 07/31/13 to
Co., Term Loan........... B3 CCC+ 11.63 01/30/14 7,782,895
6,042 Bare Escentuals
Beauty, Inc., Term
Loan..................... B2 B 7.82 02/18/12 6,095,092
6,576 Marietta Intermediate
Holdings Corp., 9.36 to 12/17/10 to
Term Loan (c)............ NR NR 13.36 12/17/11 6,225,148
14,588 Prestige Brands
Holdings, Inc., Term 7.61 to
Loan..................... Ba3 B+ 9.50 04/06/11 14,678,917
--------------
34,782,052
--------------
HEALTHCARE 14.0%
9,252 American Medical
Systems, Inc., Term 7.63 to
Loan..................... Ba3 BB- 7.69 07/20/12 9,263,908
1,188 Ameripath, Inc., Term
Loan..................... Ba2 BB- 7.36 10/31/12 1,189,188
19,732 Capella Healthcare, 8.35 to 11/30/12 to
Inc., Term Loan.......... Caa1 CCC+ 11.35 11/30/13 19,929,749
28,205 Community Health
Systems, Inc., Term 08/19/11 to
Loan..................... Ba3 BB- 7.10 02/29/12 28,308,365
2,539 Concentra Operating 7.32 to
Corp., Term Loan......... Ba2 B+ 7.37 09/30/11 2,548,492
5,415 CRC Health Corp.,
Term Loan................ Ba3 B 7.85 02/06/13 5,448,656
980 Diagnostic Imaging
Group, LLC, Term
Loan..................... B1 B 8.88 05/04/12 978,775
1,090 Emdeon Business
Services, LLC, Term
Loan..................... B1 B+ 7.60 11/16/13 1,096,096
2,650 FHC Health Systems, 12.11 to
Inc., Term Loan.......... Ba3 B 14.11 12/18/09 2,724,205
1,053 Genoa Healthcare
Group, LLC, Term 8.35 to
Loan..................... Ba3 B 10.25 08/10/12 1,056,550
549 Golden Gate National
Senior Care, LLC,
Term Loan................ Ba3 B+ 8.09 03/14/11 553,435
2,608 Harlan Sprague
Dawley, Inc., Term
Loan..................... B1 B+ 9.75 12/19/11 2,624,426
47,407 HCA, Inc., Term 7.10 to 11/17/12 to
Loan (b)................. Ba3 BB 7.60 11/17/13 47,943,000
4,086 HealthCare Partners,
LLC, Term Loan........... Ba2 BB 7.10 10/31/13 4,097,207
19,100 Health Management
Associates, Inc.,
Term Loan................ Ba2 B+ 7.10 02/28/14 19,197,486
37,800 Lifepoint Hospitals,
Inc., Term Loan.......... Ba3 BB- 6.99 04/15/12 37,751,635
814 Matria Healthcare, 7.04 to
Inc., Term Loan.......... Ba3 B+ 7.36 01/19/12 817,761
26,667 Multiplan, Inc., Term
Loan..................... B1 B+ 7.82 04/12/13 26,883,582
1,250 Select Medical Corp.,
Revolving Credit
Agreement................ Ba2 B+ 9.25 02/24/11 1,212,500
3,010 Sterigenics
International, Inc.,
Term Loan................ B2 B+ 7.61 11/21/13 3,023,043
--------------
216,648,059
--------------
HOME & OFFICE FURNISHINGS, HOUSEWARES & DURABLE
CONSUMER PRODUCTS 1.4%
2,970 Formica Corp., Term 8.32 to
Loan..................... B1 B 8.35 03/15/13 2,972,786
11,100 National Bedding Co.,
LLC, Term Loan........... Caa1 B+ 10.36 08/31/12 11,308,125
7,973 Quality Home Brands
Holdings, LLC, Term 7.82 to 12/20/12 to
Loan..................... Caa1 CCC+ 11.94 06/20/13 7,976,341
--------------
22,257,252
--------------
HOTELS, MOTELS, INNS & GAMING 4.8%
1,405 Alliance Gaming
Corp., Term Loan......... NR B- 8.61 09/04/09 1,419,038
9,353 Greektown Casino,
LLC, Term Loan........... Ba3 B 7.86 12/03/12 9,464,067
4,770 Green Valley Ranch
Gaming, LLC, Term
Loan..................... B1 B+ 7.36 02/16/14 4,800,666
1,646 Greenwood Racing,
Inc., Term Loan.......... B2 B+ 7.57 11/28/11 1,656,162
9,434 Herbst Gaming, Inc., 7.23 to
Term Loan................ Ba3 B+ 7.25 12/02/11 9,492,687
7,729 Kuilima Resort Co.,
Term Loan................ NR NR 11.82 09/30/11 7,659,253
7,500 MGM Mirage, Term 6.37 to
Loan..................... NR NR 6.43 10/03/11 7,412,108
600 Pinnacle
Entertainment, Term
Loan..................... B1 BB- 7.32 12/14/11 605,312
2,090 Venetian Casino
Resorts, LLC,
Revolving Credit
Agreement................ NR BB- 7.09 02/22/10 2,059,836
5,899 Venetian Macau, Ltd., 7.60 to 05/26/12 to
Term Loan................ B1 NR 8.10 05/26/13 5,964,334
7,675 Wembley, Inc., Term 7.82 to 08/23/11 to
Loan..................... Ba3 B+ 9.63 07/18/12 7,752,473
9,159 Wimar OpCo, LLC,
Term Loan................ Ba3 B+ 7.85 01/03/12 9,265,370
6,110 Yonkers Racing Corp.,
Term Loan................ NR NR 8.88 08/12/11 6,174,603
--------------
73,725,909
--------------
INSURANCE 3.7%
4,119 American Wholesale
Insurance Group, 10.25 to 10/27/11 to
Inc., Term Loan.......... NR CCC+ 14.75 04/27/12 4,127,724
4,975 Applied Systems Inc., 7.85 to
Term Loan................ NR NR 7.86 09/26/13 5,004,541
11,407 ARG Holdings, LLC, 8.38 to 11/30/11 to
Term Loan................ B3 NR 12.63 11/30/12 11,531,602
2,978 Audatex North
America, Inc., Term
Loan..................... Ba3 B+ 7.57 04/13/13 2,996,109
3,460 CCC Information
Services Group, Inc.,
Term Loan................ NR NR 7.85 02/10/13 3,480,814
7,500 Concord Re, Ltd.,
Term Loan................ Ba2 BB+ 9.61 02/29/12 7,584,375
7,400 HMSC Holdings Corp., 7.61 to 04/03/14 to
Term Loan................ B3 B 10.86 10/03/14 7,461,750
4,950 Mitchell International, 7.36 to 03/28/14 to
Inc., Term Loan.......... Caa1 B+ 10.63 03/28/15 5,003,625
29,925 USI Holdings Corp.,
Term Loan................ B2 NR 7.57 08/11/08 2,996,241
7,450 Vertafore, Inc., Term
Loan..................... NR NR 11.36 01/31/13 7,519,844
--------------
57,706,625
--------------
MACHINERY 2.1%
8,979 Alliance Laundry
Holdings, LLC, Term
Loan..................... Ba3 B 7.57 01/27/12 9,051,522
4,158 Baldor Electric Co.,
Term Loan................ Ba3 BB 7.13 03/31/14 4,179,222
5,141 Douglas Dynamics,
LLC, Term Loan........... Ba2 BB- 7.10 12/16/10 5,109,058
2,978 FR X Ohmstede
Acquisitions Co.,
Term Loan................ B1 B- 7.88 08/09/13 2,996,875
1,615 Gleason Corp., Term 7.56 to
Loan..................... NR NR 7.63 06/30/13 1,628,169
4,301 Goodman Global
Holdings, Inc., Term
Loan..................... Ba2 B+ 7.13 12/23/11 4,314,849
3,993 Stolle Machinery Co., 7.85 to 09/29/12 to
LLC, Term Loan........... Caa1 B 11.35 09/29/13 4,038,536
1,099 United Rentals (North
America), Inc., Term
Loan..................... Ba1 BB- 7.32 02/14/11 1,104,798
--------------
32,423,029
--------------
MEDICAL PRODUCTS & SERVICES 2.5%
2,370 Accellent, Inc., Term
Loan..................... B1 BB- 7.86 11/22/12 2,369,507
2,750 Advanced Medical
Optics, Inc. Term 7.09 to
Loan..................... Ba1 BB 7.10 04/02/14 2,767,188
8,170 AGA Medical Corp.,
Term Loan................ B1 B+ 7.36 04/28/13 8,180,271
3,870 Conmed Corp., Term
Loan..................... Ba2 BB- 7.07 04/12/13 3,872,789
5,464 DaVita, Inc., Term
Loan..................... Ba1 BB 6.82 10/05/12 5,486,356
9,398 DSI Renal, Inc., Term
Loan..................... NR NR 7.63 03/31/13 9,413,124
3,948 Fresenius Medical
Care Holding, Inc., 6.73 to
Term Loan................ NR BB+ 6.74 03/31/13 3,948,707
2,472 VWR International,
Inc., Term Loan.......... Ba2 B+ 7.61 04/07/11 2,487,777
--------------
38,525,719
--------------
MINING, STEEL, IRON & NON-PRECIOUS METALS 2.0%
18,116 Freeport-McMoran
Copper & Gold, Inc.,
Term Loan (b)............ Baa3 BBB- 7.07 03/19/14 18,190,402
1,049 John Maneely Co., 8.57 to
Term Loan................ B3 B+ 8.62 12/08/13 1,052,270
4,588 New Enterprise Stone
& Lime Co., Inc., 7.61 to
Term Loan................ NR NR 9.25 07/30/10 4,599,692
6,581 Novelis, Inc., Term
Loan..................... Ba2 BB- 7.61 01/07/12 6,602,056
--------------
30,444,420
--------------
NATURAL RESOURCES 2.1%
420 Boston Generating,
LLC, Revolving
Credit Agreement......... B1 B+ 7.48 12/20/13 423,052
9,261 Boston Generating, 5.23 to
LLC, Term Loan........... B1 B+ 7.60 12/20/13 9,327,837
4,200 CDX Funding, LLC,
Term Loan................ NR NR 10.57 03/31/13 4,294,500
5,318 El Paso Corp., Term
Loan..................... Ba1 BB 7.22 08/01/11 5,350,207
1,097 Hudson Products
Holdings, Inc., Term
Loan..................... B1 B 8.11 12/05/13 1,104,108
2,370 Key Energy Services
Group, Inc., Term 7.85 to
Loan..................... NR NR 7.86 06/30/12 2,384,812
2,506 SemCrude, LP, Term 7.57 to
Loan..................... Ba2 NR 7.60 03/16/11 2,514,972
1,562 Targa Resources, Inc., 7.35 to
Term Loan................ B1 B+ 7.36 10/31/12 1,574,132
5,500 Willbros USA, Inc.,
Term Loan................ NR NR 10.27 10/27/09 5,534,375
--------------
32,507,995
--------------
NON-DURABLE CONSUMER PRODUCTS 2.8%
13,151 Aearo Technologies, 7.85 to 03/24/13 to
Inc., Term Loan.......... Caa1 CCC+ 11.85 09/24/13 13,352,049
4,163 Amscan Holdings, 8.36 to
Inc., Term Loan.......... Ba3 B+ 8.39 12/23/12 4,200,491
3,471 Easton-Bell Sports,
Inc., Term Loan.......... Ba3 B+ 7.07 03/16/12 3,478,856
2,743 Gibson Guitar Corp.,
Term Loan................ Ba3 B 7.86 12/29/13 2,777,414
2,611 JohnsonDiversey, Inc.,
Term Loan................ Ba2 B+ 7.86 12/16/11 2,645,815
2,650 Mattress Holdings,
Corp., Inc., Term 7.61 to
Loan..................... B1 B 7.64 01/18/14 2,659,938
1,769 Mega Bloks, Inc.
(Canada), Term
Loan..................... Ba2 BB- 7.13 07/26/12 1,767,948
3,285 Philosophy, Inc., Term
Loan..................... B2 B 7.36 03/16/14 3,285,333
2,200 Targus Group
International, Inc.,
Term Loan................ Caa2 CCC+ 13.87 05/22/13 2,069,833
2,945 UCG Paper Crafts,
Inc., Term Loan.......... NR NR 8.57 02/17/13 2,951,962
3,500 Yankee Candle Co.,
Inc., Term Loan.......... Ba3 B+ 7.35 02/06/14 3,520,125
--------------
42,709,764
--------------
PAPER & FOREST PRODUCTS 3.8%
39,742 Georgia-Pacific Corp., 7.09 to
Term Loan (b)............ Ba2 BB- 7.10 12/20/12 39,984,675
1,194 NewPage Corp., Term
Loan..................... Ba2 B+ 7.63 05/02/11 1,205,960
2,593 Tidi Products, LLC, 8.59 to
Term Loan................ NR NR 9.88 12/31/11 2,579,893
9,158 White Birch Paper Co.
(Canada), Term 8.57 to 04/06/12 to
Loan..................... NR CCC+ 14.75 04/08/13 9,342,851
5,399 Xerium Technologies,
Inc., Term Loan.......... B2 B+ 8.10 05/18/12 5,412,852
--------------
58,526,231
--------------
PERSONAL & MISCELLANEOUS SERVICES 1.6%
8,559 Affinion Group, Inc., 7.82 to
Term Loan................ Ba2 B+ 7.86 10/17/12 8,638,491
10,149 Coinmach Laundry
Corp., Term Loan......... B2 B 7.88 12/19/12 10,229,427
1,678 Omniflight Helicopters, 9.07 to 09/30/11 to
Inc., Term Loan.......... NR NR 11.25 09/30/12 1,682,038
3,595 Stewart Enterprises,
Inc., Term Loan.......... Ba2 BB 7.12 11/19/11 3,608,724
--------------
24,158,680
--------------
PHARMACEUTICALS 1.5%
2,970 Bradley
Pharmaceuticals,
Inc., Term Loan.......... NR NR 9.32 11/14/10 2,984,850
2,743 Stiefel Laboratories,
Inc., Term Loan.......... Ba3 B+ 7.61 12/28/13 2,770,556
18,003 Warner Chilcott
Holdings Co., Term 7.35 to
Loan..................... B1 B+ 7.36 01/18/12 18,110,480
--------------
23,865,886
--------------
PRINTING & PUBLISHING 14.5%
6,733 ALM Media Holdings,
Inc., Term Loan.......... B1 B- 7.85 03/05/10 6,753,057
4,950 American Media
Operations, Inc.,
Term Loan................ B1 B- 8.59 01/31/13 4,986,095
4,049 American
Reprographics Co., 7.10 to
Term Loan................ Ba2 BB 7.11 06/18/09 4,053,011
2,599 Ascend Media
Holdings, LLC, Term
Loan..................... NR NR 8.85 01/31/12 2,469,319
1,990 Black Press Group,
Ltd., Term Loan.......... Ba3 B+ 7.36 08/02/13 2,005,548
6,622 Canon
Communications,
LLC, Term Loan........... B2 B 8.32 05/31/11 6,671,277
1,776 Caribe Information
Investment, Inc., 7.60 to
Term Loan................ B1 B 7.61 03/31/13 1,780,544
10,823 Cygnus Business
Media, Inc., Term
Loan..................... B2 CCC+ 9.85 07/13/09 10,768,388
13,470 Day International
Group, Inc., Term 7.82 to 12/05/12 to
Loan..................... B3 CCC+ 12.57 12/05/13 13,605,449
13,059 Dex Media West, LLC, 6.84 to
Term Loan................ Ba1 BB 6.86 03/09/10 13,081,811
8,773 Endurance Business
Media, Inc., Term 8.07 to 07/26/13 to
Loan..................... Caa1 CCC+ 12.57 01/26/14 8,941,239
2,312 FSC Acquisition, LLC, 7.58 to
Term Loan................ NR B 7.61 08/01/12 2,309,981
11,125 Gatehouse Media, 7.10 to
Inc., Term Loan.......... B1 B+ 7.11 08/28/14 11,079,810
10,109 Haights Cross
Communications, 8.86 to
LLC, Term Loan........... B3 B- 9.86 08/20/08 10,157,091
5,486 Idearc, Inc., Term
Loan..................... Ba2 BB+ 7.35 11/17/14 5,528,966
1,920 Intermedia Outdoor,
Inc., Term Loan.......... NR NR 8.35 01/31/13 1,938,189
2,750 Lamar Media Corp.,
Term Loan................ Ba1 BB 6.88 03/31/14 2,760,313
3,622 MC Communications, 7.82 to
LLC, Term Loan........... NR NR 7.89 12/31/10 3,644,298
9,738 MCC Iowa, LLC, Term 7.10 to 03/31/10 to
Loan..................... Ba3 BB- 7.11 01/31/15 9,740,793
2,139 Mediacom
Communications Corp.,
Term Loan................... Ba3 BB- 6.85 03/31/10 2,123,904
5,048 MediaNews Group, 6.59 to 12/30/10 to
Inc., Term Loan.......... Ba2 BB- 7.09 08/02/13 5,038,226
2,736 MediMedia USA, Inc., 7.52 to
Term Loan................ Ba3 B+ 7.60 10/05/13 2,751,641
13,484 Merrill
Communications, 7.57 to 05/15/11 to
LLC, Term Loan........... B3 B- 11.82 11/15/13 13,565,614
2,814 Network
Communications, 7.85 to
Inc., Term Loan.......... Ba1 B+ 7.90 11/30/12 2,828,447
9,303 New Publications, Inc.,
Term Loan................ NR NR 7.61 02/05/13 9,382,887
8,550 Penton Media, Inc., 7.60 to 02/01/13 to
Term Loan................ Caa1 CCC+ 10.36 02/01/14 8,618,002
10,047 Primedia, Inc., Term
Loan..................... NR NR 7.57 09/30/13 10,053,802
8,850 Reader's Digest
Association, Inc.,
Term Loan................ B1 B 7.33 03/02/14 8,872,125
8,601 R.H. Donnelley, Inc., 6.57 to 12/31/09 to
Term Loan................ Ba1 BB 6.86 06/30/11 8,609,553
8,952 Riverdeep Interactive
Learning USA, Inc.,
Term Loan................ B1 B 8.10 12/20/13 9,021,948
3,643 SGS International, 7.83 to
Inc., Term Loan.......... Ba2 B+ 7.87 12/30/11 3,673,004
2,635 Source Media, Inc.,
Term Loan................ B1 NR 7.60 11/08/11 2,662,889
3,824 Thomas Nelson
Publishers, Term
Loan..................... NR NR 7.57 06/12/12 3,838,201
11,469 Yell Group, PLC, Term 7.07 to 04/30/11 to
Loan..................... NR NR 7.32 02/10/13 11,549,826
--------------
224,865,248
--------------
RESTAURANTS & FOOD SERVICE 4.0%
27,146 Aramark Corp., Term 7.45 to
Loan (b)................. Ba3 B+ 7.48 01/26/14 27,304,933
7,435 Arby's, LLC, Term 7.59 to
Loan..................... Ba3 B+ 7.61 07/25/12 7,501,641
2,062 Denny's Corp., Term 7.32 to
Loan..................... Ba2 B+ 7.40 03/31/12 2,081,628
4,822 Landry's Restaurants, 7.08 to
Inc., Term Loan.......... Ba1 BB 7.12 12/28/10 4,829,389
14,116 NPC International, 7.07 to
Inc., Term Loan.......... Caa2 CCC+ 11.85 05/03/13 14,195,666
2,477 Sagittarius
Restaurants, LLC,
Term Loan................ Ba3 B 7.60 03/29/13 2,491,417
3,100 Sbarro, Inc., Term
Loan..................... Ba3 B 7.85 01/31/14 3,132,293
--------------
61,536,967
--------------
RETAIL - OFFICE PRODUCTS 0.6%
9,511 Buhrmann US, Inc., 7.09 to 12/23/10 to
Term Loan................ Ba3 BB 7.11 12/30/10 9,549,633
--------------
RETAIL - SPECIALTY 1.6%
15,379 Nebraska Book Co., 7.83 to
Inc., Term Loan.......... Ba2 B- 7.85 03/04/11 15,513,738
9,768 Visant Holding Corp.,
Term Loan................ Ba2 B+ 7.33 10/04/11 9,829,497
--------------
25,343,235
--------------
RETAIL - STORES 3.1%
2,978 Csk Auto, Inc., Term
Loan..................... Ba3 B+ 8.35 06/29/12 3,024,061
5,500 General Nutrition
Centers, Inc.,
Revolving Credit
Agreement................ Ba3 B- 7.60 03/16/12 5,355,625
6,600 General Nutrition
Centers, Inc., Term
Loan..................... Ba3 B- 7.60 09/16/13 6,597,525
13,396 Michaels Stores, Inc.,
Term Loan................ B2 B- 8.13 10/31/13 13,518,331
10,785 Neiman Marcus
Group, Inc., Term
Loan..................... Ba3 B+ 7.35 04/06/13 10,892,658
1,191 Pep Boys - Manny,
Moe & Jack, Term
Loan..................... Ba2 B+ 7.36 10/27/13 1,199,203
3,827 Sally Holdings, Inc.,
Term Loan................ B2 B+ 7.86 11/16/13 3,861,446
2,913 Savers, Inc., Term
Loan..................... B1 B 8.07 08/11/12 2,942,061
--------------
47,390,910
--------------
TELECOMMUNICATIONS - LOCAL EXCHANGE CARRIERS 1.7%
600 Alaska
Communications
Systems Group, Inc.,
Term Loan................ B1 B+ 7.10 02/01/12 602,893
2,195 CavTel Holdings, LLC,
Term Loan................ B2 NR 10.09 12/31/12 2,223,990
9,800 Fairpoint
Communications,
Inc., Term Loan.......... B1 BB- 7.13 02/08/12 9,841,346
2,467 Global Tel*Link Corp.,
Term Loan................ Ba3 B+ 8.85 02/14/13 2,492,120
4,669 Hawaiian Telecom, 04/30/12 to
Inc., Term Loan.......... Ba3 B- 7.60 10/31/12 4,688,840
1,643 Orius Corp., LLC, 11.75 to 01/23/09 to
Term Loan (a)(d)(e)...... NR NR 12.25 01/23/10 291,627
5,500 Paetec Holding Corp.,
Term Loan................ B2 B 8.82 02/28/13 5,583,875
828 Sorenson
Communications,
Inc., Term Loan.......... NR NR 12.32 02/16/14 847,703
--------------
26,572,394
--------------
TELECOMMUNICATIONS - LONG DISTANCE 0.7%
3,850 Intelsat, Ltd., Term
Loan (Bermuda)........... B2 B+ 7.86 02/01/14 3,868,561
7,459 Time Warner Telecom,
Inc., Term Loan.......... Ba2 B 7.32 01/07/13 7,508,221
--------------
11,376,782
--------------
TELECOMMUNICATIONS-WIRELESS 1.2%
3,513 Cellular South, Inc., 7.07 to
Term Loan................ NR NR 8.75 05/04/11 3,530,352
11,917 Centennial Cellular, 7.35 to
Inc., Term Loan.......... Ba2 B 7.36 02/09/11 12,025,907
1,787 Cricket
Communications,
Inc., Term Loan.......... B1 B 7.60 06/16/13 1,803,472
1,642 MetroPCS Wireless,
Inc., Term Loan.......... B1 B 7.63 11/03/13 1,654,268
--------------
19,013,999
--------------
TEXTILES & LEATHER 2.3%
6,042 Gold Toe Investment 8.09 to 10/30/13 to
Corp., Term Loan......... Caa1 CCC+ 11.36 04/30/14 6,145,136
11,938 HanesBrands, Inc., 7.11 to
Term Loan................ Ba2 BB- 9.11 09/05/13 12,136,622
3,850 Levi Strauss & Co,
Term Loan................ B2 B 7.59 03/27/14 3,824,736
5,786 Propex Fabrics, Inc.,
Term Loan................ Ba3 B 8.36 07/31/12 5,792,753
4,027 St. John Knits
International, Inc.,
Term Loan................ B1 B+ 8.35 03/21/12 4,057,425
3,488 Varsity Brands, Inc., 8.13 to
Term Loan................ NR NR 8.19 02/22/14 3,531,094
--------------
35,487,766
--------------
TRANSPORTATION - CARGO 0.8%
1,100 Cardinal Logistics
Management, Inc.,
Term Loan................ NR NR 9.07 09/23/13 1,094,500
5,572 Jacobson Acquisition 8.59 to 04/07/09 to
Co., Term Loan........... NR NR 10.75 04/07/11 5,586,021
2,108 Kenan Advantage
Group, Inc., Term
Loan..................... NR NR 8.35 12/16/11 2,123,811
2,865 Quality Distribution,
Inc., Term Loan.......... Ba3 B- 8.32 11/13/09 2,872,549
--------------
11,676,881
--------------
TRANSPORTATION - PERSONAL 0.1%
934 Neoplan USA Corp.,
Revolving Credit
Agreement
(a)(d)(e)(g)............... NR NR 8.54 06/30/06 873,056
500 US Airways Group,
Inc., Term Loan.......... B2 B 7.85 03/24/14 502,875
--------------
1,375,931
--------------
TRANSPORTATION-RAIL MANUFACTURING 0.8%
9,318 Helm Holding Corp.,
Term Loan................ NR NR 7.86 07/08/11 9,346,709
2,185 Standard Steel, LLC, 7.82 to
Term Loan................ B2 B+ 7.85 06/30/12 2,204,119
--------------
11,550,828
--------------
UTILITIES 5.3%
1,200 Astoria Generating
Co., LP, Term Loan....... B3 B 9.10 08/23/13 1,214,584
13,750 First Light Power
Resources, Term 7.85 to 11/01/13 to
Loan..................... B1 B+ 9.85 05/01/14 13,918,325
3,075 InfrastruX Group, Inc.,
Term Loan................ B2 B+ 8.57 11/03/12 3,097,609
2,933 Longview Power LLC, 7.61 to
Term Loan................ Ba3 BB- 7.63 02/28/14 2,956,251
16,793 NRG Energy, Inc.,
Term Loan (b)............ Ba1 BB- 7.35 02/01/13 16,940,345
6,300 Primary Energy
Operating, LLC,
Term Loan................ NR NR 8.11 08/24/09 6,323,625
2,746 Reliant Energy
Resources Corp., 5.19 to
Term Loan................ B2 B 7.70 12/01/10 2,771,571
27,500 Thermal North
America, Term 8.07 to
Loan..................... B1 BB- 8.10 10/24/08 27,740,625
260 TPF Generation
Holdings, LLC,
Revolving Credit
Agreement................ Ba3 B+ 7.37 12/15/13 261,625
7,429 TPF Generation
Holdings, LLC, Term 12/15/13 to
Loan..................... B3 B- 9.60 12/15/14 7,519,211
--------------
82,743,771
--------------
TOTAL VARIABLE RATE** SENIOR LOAN INTERESTS 174.6%................................ 2,704,646,061
--------------
DESCRIPTION VALUE
----------- --------------
NOTES 2.3%
Boise Cascade, LLC ($3,700,000 par, 8.23% coupon, maturing 10/15/12)(h)........ $ 3,718,500
Builders FirstSource, Inc. ($8,700,000 par, 9.61% coupon, maturing
02/15/12)(h)................................................................ 8,884,875
Compression Polymers Corp. ($2,700,000 par, 12.12% coupon, maturing 07/01/12)
(h)......................................................................... 2,801,250
Del Laboratories, Inc. ($5,400,000 par, 10.36% coupon, maturing 11/01/11)(h)... 5,622,750
Qwest Corp. ($3,500,000 par, 8.61% coupon, maturing 06/15/13) (h).............. 3,845,625
Rogers Wireless Communications, Inc. ($9,000,000 par, 8.48% coupon, maturing
12/15/10) (Canada) (h)..................................................... 9,202,500
Verso Paper Holding, LLC ($1,500,000 par, 9.11% coupon, maturing 08/01/14)
(h)(i)...................................................................... 1,552,500
--------------
TOTAL NOTES.................................................................... 35,628,000
--------------
EQUITIES 0.0%
Aladdin Gaming Holdings, LLC (7.84% Ownership Interest, Acquired 09/03/04,
Cost $470,400) (j)(k)....................................................... $ 15,250
Environmental Systems Products Holdings, Inc. (3,275 common shares,
Acquired 06/22/04, Cost $0) (j)(k).......................................... 0
Gentek, Inc. (1,600 common shares, Acquired 09/19/06, Cost $0) (j)(k).......... 52,416
Gentek, Inc. (Warrants for 2,501 common shares, Expiration date 10/31/10,
Acquired 09/19/06, Cost $0) (j)(k).......................................... 107,860
IDT Corp. (22,898 common shares) (j)........................................... 253,023
Neoplan USA Corp. (8,517 common shares, Acquired 09/04/03, Cost $85)
(a)(d)(g)(j)(k)............................................................. 0
Neoplan USA Corp. (2,262 preferred shares, Acquired 09/04/03, Cost
$1,074,521) (a)(d)(g)(j)(k).................................................. 0
Railworks Corp. (Warrants for 865 common shares, Expiration date 06/14/11,
Acquired 02/10/03 Cost $ 0) (j)(k).......................................... 0
Rotech Medical Corp. (48,485 common shares, Acquired 06/12/02, Cost
$193,940) (j)(k)............................................................ 0
Safelite Realty (28,448 common shares, Acquired 10/26/00, Cost $0) (j)(k) 0
--------------
TOTAL EQUITIES................................................................. 428,549
--------------
TOTAL LONG-TERM INVESTMENTS 176.9%
(Cost $2,736,911,914)....................................................... 2,740,702,610
--------------
SHORT-TERM INVESTMENTS 3.5%
REPURCHASE AGREEMENTS 3.4%
State Street Bank & Trust Co. ($52,000,000 par collateralized by
U.S. Government obligations in a pooled cash account,
interest rate of 5.02%, dated 04/30/07, to be sold on 05/01/07
at $52,007,251) (b)......................................................... $ 52,000,000
TIME DEPOSIT 0.1%
State Street Bank & Trust Corp. ($2,311,148 par, 2.80%
coupon, dated 04/30/07, to be sold on 05/01/07 at $2,311,328) (b)........... 2,311,148
--------------
TOTAL SHORT-TERM INVESTMENTS 3.5%
(Cost $54,311,148).......................................................... 54,311,148
--------------
TOTAL INVESTMENTS 180.4%
(Cost $2,791,223,062)....................................................... 2,795,013,758
BORROWINGS (36.1%)............................................................. (559,000,000)
PREFERRED SHARES (INCLUDING ACCRUED DISTRIBUTIONS) (45.2%)................. (700,466,803)
OTHER ASSETS IN EXCESS OF LIABILITIES 0.9%.................................... 14,047,512
--------------
NET ASSETS APPLICABLE TO COMMON SHARES 100.0%.................................. $1,549,594,467
--------------
NR - Not rated
+ Bank Loans rated below Baa by Moody's Investor Service, Inc. or BBB by
Standard & Poor's Group are considered to be below investment grade. Bank
loan ratings are unaudited.
Industry percentages are calculated as a percentage of net assets applicable to
common shares.
(a) This borrower has filed for protection in federal bankruptcy court.
(b) A portion of this security is designated in connection with unfunded loan
commitments.
(c) Payment-in-kind security.
(d) This borrower is currently in liquidation.
(e) This Senior Loan interest is non-income producing.
(f) The borrower is in the process of restructuring or amending the terms of
this loan.
(g) Affiliated company.
(h) Variable rate security. Interest rate shown is that in effect at April 30,
2007.
(i) 144A-Private Placement security which is exempt from registration under
Rule 144A of the Securities Act of 1933, as amended. This security may only
be resold in transactions exempt from registration which are normally those
transactions with qualified institutional buyers.
(j) Non-income producing security as the stock or warrant currently does not
declare dividends.
(k) Restricted security. Securities were acquired through the restructuring of
senior loans. These securities are restricted as they are not allowed to be
deposited via the Depository Trust Company. If at a later point in time,
the company wishes to register, the issuer will bear the costs associated
with registration. The aggregate value of restricted securities represents
0.1% of the net assets applicable to common shares of the Trust.
* Senior Loans in the Trust's portfolio generally are subject to mandatory
and/or optional prepayment. Because of these mandatory prepayment
conditions and because there may be significant economic incentives for a
Borrower to prepay, prepayments of Senior Loans in the Trust's portfolio
may occur. As a result, the actual remaining maturity of Senior Loans held
in the Trust's portfolio may be substantially less than the stated
maturities shown. Although the Trust is unable to accurately estimate the
actual remaining maturity of individual Senior Loans, the Trust estimates
that the actual average maturity of the Senior Loans held in its portfolio
will be approximately 18-24 months.
** Senior Loans in which the Trust invests generally pay interest at rates
which are periodically redetermined by reference to a base lending rate
plus a premium. These base lending rates are generally (i) the lending rate
offered by one or more major European banks, such as the London Inter-Bank
Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more major
United States banks or (iii) the certificate of deposit rate. Senior Loans
are generally considered to be restricted in that the Trust ordinarily is
contractually obligated to receive approval from the Agent Bank and/or
Borrower prior to the disposition of a Senior Loan.
SWAP AGREEMENTS OUTSTANDING AS OF APRIL 30, 2007:
CREDIT DEFAULT SWAPS
PAY/
RECEIVE NOTIONAL UNREALIZED
BUY/SELL FIXED EXPIRATION AMOUNT APPRECIATION/
COUNTERPARTY REFERENCE ENTITY PROTECTION RATE DATE (000) DEPRECIATION
------------ -------------------- ---------- ------- ---------- -------- ------------
Goldman Sachs Standard Pacific
Credit Corporation
Partners, L.P. Sell 3.40% 03/20/14 $2,500 $(42,489)
Goldman Sachs Standard Pacific
Credit Corporation Sell 3.70% 06/20/14 2,500 (8,548)
Partners, L.P.
Goldman Sachs K. Hovnanian
Credit Enterprises, Inc. Sell 2.15% 09/20/09 1,500 4,972
Partners, L.P.
Goldman Sachs K. Hovnanian
Credit Enterprises, Inc.
Partners, L.P. Sell 3.75% 06/20/09 1,500 31,199
--------
$(14,866)
========
Item 2. Controls and Procedures.
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures are sufficient to
ensure that information required to be disclosed by the Trust in this Form N-Q
was recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms, based
upon such officers' evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report.
(b) There were no changes in the Trust's internal control over financial
reporting that occurred during the registrant's fiscal quarter that has
materially affected, or is reasonably likely to materially affect, the Trust's
internal control over financial reporting.
Item 3. Exhibits.
(a) A certification for the Principal Executive Officer of the registrant is
attached hereto as part of EX-99.cert.
(b) A certification for the Principal Financial Officer of the registrant is
attached hereto as part of EX-99.cert.
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. (Registrant)
Van Kampen Senior Income Trust
By: /s/ Ronald E. Robison
---------------------
Name: Ronald E. Robison
Title: Principal Executive Officer
Date: June 21, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ Ronald E. Robison
---------------------
Name: Ronald E. Robison
Title: Principal Executive Officer
Date: June 21, 2007
By: /s/ Stuart N. Schuldt
---------------------
Name: Stuart N. Schuldt
Title: Principal Financial Officer
Date: June 21, 2007