As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) - 72.4% | ||||||||
AEROSPACE - 2.6% | ||||||||
1,808,201 | AWAS Capital, Inc. Second Lien Term Loan, 9.25%, 03/15/13 |
1,310,945 | ||||||
571,429 | Continental Airlines, Inc. New Tranche A-1 Term Loan, 06/01/11 (b) |
484,286 | ||||||
1,428,571 | New Tranche A-2 Term Loan, 06/01/11 (b) |
1,207,143 | ||||||
7,299,556 | Delta Airlines, Inc. Term Loan Equipment Notes, 7.38%, 09/29/12 |
5,474,667 | ||||||
1,752,273 | DTN, Inc. Tranche C Term Loan, 5.82%, 03/10/13 |
1,647,137 | ||||||
2,736,277 | IAP Worldwide Services, Inc. First Lien Term Loan, 9.06%, 12/30/12 |
2,120,615 | ||||||
2,033,688 | Second Lien Term Loan, PIK, 10.50%, 06/18/13 |
1,264,263 | ||||||
3,079,596 | Northwest Airlines, Inc. Term Loan, 4.75%, 08/21/13 |
2,717,743 | ||||||
2,482,449 | United Air Lines, Inc. Tranche B Loan, 5.46%, 01/31/14 |
1,553,070 | ||||||
17,779,869 | ||||||||
BROADCASTING - 2.2% | ||||||||
1,080,492 | Comcorp Broadcasting, Inc. Revolving Loan, 8.15%, 04/13/13 (c) (d) (e) |
928,143 | ||||||
11,309,712 | Term Loan, 8.31%, 04/03/13 (d) (e) |
9,715,043 | ||||||
4,623,000 | Univision Communications, Inc. Second Lien Term Loan, 6.50%, 03/25/09 |
4,414,965 | ||||||
15,058,151 | ||||||||
CABLE/WIRELESS VIDEO - 2.6% | ||||||||
14,148,290 | Broadstripe, LLC First Lien Term Loan, 9.81%, 06/30/11 |
13,936,066 | ||||||
1,428,203 | Revolver, 9.78%, 06/30/11 |
1,402,238 | ||||||
1,977,500 | Charter Communications
Operating, LLC Replacement Term Loan, 4.80%, 03/06/14 |
1,582,277 | ||||||
1,303,398 | WideOpenWest Finance, LLC Second Lien Term Loan, 9.50%, 06/29/15 |
1,010,133 | ||||||
17,930,714 | ||||||||
CHEMICALS - 0.6% | ||||||||
400,000 | Arclin US Holdings, Inc. First Lien Term Loan, 5.56%, 07/10/14 |
328,000 | ||||||
1,970,038 | Solutia, Inc. Term Loan, 8.50%, 02/28/14 |
1,809,480 | ||||||
2,419,200 | Tronox Worldwide, LLC Revolving Credit Loan, 6.85%, 11/28/10 (c) |
2,116,800 | ||||||
4,254,280 | ||||||||
CONSUMER DURABLES - 0.3% | ||||||||
2,127,676 | Rexair LLC First Lien Term Loan, 8.01%, 06/30/10 |
1,914,908 | ||||||
CONSUMER NON-DURABLES - 0.5% | ||||||||
4,597,313 | Spectrum Brands, Inc. Dollar Term B Loan, 6.73%, 03/30/13 |
3,420,401 | ||||||
160,498 | Letter of Credit, 6.49%, 03/30/13 |
119,410 | ||||||
3,539,811 | ||||||||
DIVERSIFIED MEDIA - 4.9% | ||||||||
2,000,000 | Alpha Topco Ltd. (Formula One) Second Lien Facility D, 6.63%, 06/30/14 |
1,677,500 | ||||||
1,975,000 | Clarke American Corp. Tranche B Term Loan, 6.03%, 06/30/14 |
1,530,625 | ||||||
3,000,000 | Endurance Business Media, Inc. Second Lien Term Loan, 10.96%, 01/26/14 |
2,370,000 | ||||||
8,254,644 | Metro-Goldwyn-Mayer, Inc. Tranche B Term Loan, 7.01%, 04/06/12 |
5,664,750 | ||||||
2,955,000 | Tranche B-1 Term Loan, 7.01%, 04/08/12 |
2,027,869 | ||||||
7,884,322 | Nielsen Finance LLC Dollar Term Loan, 4.80%, 08/09/13 |
6,994,498 | ||||||
10,000,000 | Penton Media, Inc. Second Lien Term Loan, 7.80%, 02/01/14 |
6,750,000 | ||||||
7,865,126 | Tribune Co. Initial Tranche B Advance, 5.79%, 06/04/14 |
4,112,045 | ||||||
2,730,667 | Tranche X Advance, 5.54%, 05/30/09 |
2,554,047 | ||||||
33,681,334 | ||||||||
ENERGY - 5.2% | ||||||||
216,202 | Alon USA Energy, Inc. Edington Facility, 5.06%, 06/22/13 |
175,124 | ||||||
1,729,620 | Paramount Facility, 5.75%, 06/22/13 |
1,400,992 | ||||||
14,985,000 | Crusader Energy Group, Inc. Second Lien Term Loan, 10.55%, 07/17/13 |
14,685,300 | ||||||
455,035 | Delphi Acquisition Holding I B.V.
Facility B1, 6.01%, 01/12/15 |
408,776 | ||||||
455,035 | Facility C1, 6.64%, 01/11/16 |
411,051 |
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (continued) | ||||||||
ENERGY (continued) | ||||||||
6,000,000 | Resolute Aneth, LLC Second Lien Term Loan, 7.30%, 06/26/13 |
5,280,000 | ||||||
14,500,000 | Venoco, Inc. Second Lien Loan, 6.81%, 09/20/11 |
13,702,500 | ||||||
36,063,743 | ||||||||
FINANCIAL - 0.2% | ||||||||
1,300,000 | Emerson Reinsurance Ltd. Series A Loan, 4.57%, 12/15/11 |
1,111,500 | ||||||
500,000 | Series B Loan, 5.82%, 12/15/11 |
427,500 | ||||||
200,000 | Series C Loan, 8.07%, 12/15/11 |
171,000 | ||||||
1,710,000 | ||||||||
FOOD/TOBACCO - 1.1% | ||||||||
1,853,889 | DS Waters of America, Inc. Term B Loan, 5.95%, 10/25/12 |
1,687,039 | ||||||
1,828,160 | PBM Holdings, Inc. Term Loan, 5.96%, 09/27/12 |
1,727,611 | ||||||
4,500,000 | Wm Wrigley Jr. Co. Tranche B Term Loan, 07/17/14 (b) |
4,430,925 | ||||||
7,845,575 | ||||||||
FOREST PRODUCTS/CONTAINERS - 1.1% | ||||||||
2,500,000 | Boise Paper Holdings LLC Second Lien Term Loan, 11.00%, 02/23/15 |
2,275,000 | ||||||
1,619,000 | Newark Group, Inc. Credit-Link Letter of Credit, 10.21%, 03/09/13 |
1,295,200 | ||||||
240,300 | Term Loan, 9.53%, 03/09/13 |
192,240 | ||||||
4,928,000 | Verso Paper Finance Holdings
LLC Term Loan, 10.01%, 02/01/13 |
3,880,800 | ||||||
7,643,240 | ||||||||
GAMING/LEISURE - 14.9% | ||||||||
6,041,285 | Drake Hotel Acquisition B Note 1, 12.90%, 04/01/09 (e) (f) |
5,341,101 | ||||||
12,500,000 | Fontainebleau Florida Hotel LLC Tranche C Term Loan, 8.82%, 06/06/12 |
11,375,000 | ||||||
1,333,333 | Fontainebleau Las Vegas LLC Initial Term Loan, 6.07%, 06/06/14 |
810,000 | ||||||
3,937,249 | Ginn LA Conduit Lender, Inc. First Lien Tranche A Credit-Linked Deposit, 8.54%, 06/08/11 (f) |
1,017,110 | ||||||
8,438,203 | First Lien Tranche B Term
Loan, 6.20%, 06/08/11 (f) |
2,179,841 | ||||||
1,561,338 | Green Valley Ranch Gaming LLC New Term Loan, 5.71%, 02/16/14 |
1,108,550 | ||||||
1,000,000 | Second Lien Term Loan, 6.96%, 08/16/14 |
522,500 | ||||||
7,439,660 | Kuilima Resort Co. First Lien Term Loan, 11.50%, 09/30/10 (f) |
4,860,627 | ||||||
4,549,027 | Lake at Las Vegas Joint Venture Revolving Loan Credit-Linked Deposit Account, 16.10%, 06/20/12 (b) (f) |
1,000,786 | ||||||
34,125,359 | Term Loan DIP, 11.98%, 07/16/09 |
34,125,359 | ||||||
40,074,794 | Term Loan, PIK, 16.35%, 06/20/12 (b) (f) |
7,858,845 | ||||||
19,802,292 | Pacific Clarion LLC Term Loan, 15.00%, 01/23/09 (e) (g) |
18,925,051 | ||||||
6,000,000 | WAICCS Las Vegas 3 LLC First Lien Term Loan, 5.96%, 02/01/09 |
4,950,000 | ||||||
7,000,000 | Second Lien Term Loan, 11.46%, 02/01/09 |
5,075,000 | ||||||
5,000,000 | Wimar Landco, LLC Term Loan, 6.25%, 07/03/09 (f) |
3,830,000 | ||||||
102,979,770 | ||||||||
HEALTHCARE - 6.3% | ||||||||
5,912,325 | Aveta, Inc. MMM Original Term Loan, 9.21%, 08/22/11 (b) |
5,114,161 | ||||||
878,304 | NAMM New Term Loan, 9.21%, 08/22/11 (b) |
759,733 | ||||||
1,582,662 | NAMM Original Term Loan, 9.21%, 08/22/11 (b) |
1,369,002 | ||||||
4,845,285 | PHMC Acquisition Term Loan, 9.21%, 08/22/11 (b) |
4,191,172 | ||||||
11,555,348 | CCS Medical, Inc. First Lien Term Loan, 7.02%, 09/30/12 |
9,475,385 | ||||||
2,500,000 | Danish Holdco A/S Facility D, 6.54%, 11/01/16 |
1,500,000 | ||||||
3,256,337 | Mezzanine Facility, PIK, 10.20%, 05/01/17 |
1,790,985 | ||||||
5,422,514 | LifeCare Holdings Term Loan, 7.96%, 08/11/12 |
4,527,800 | ||||||
987,500 | Medical Staffing Network, Inc. First Lien Term Loan, 6.31%, 07/02/13 |
972,687 | ||||||
4,947,525 | Mylan, Inc. U.S. Tranche B Term Loan, 7.04%, 10/02/14 |
4,658,887 | ||||||
79,926 | Nyco Holdings 3 ApS Facility A3, 5.34%, 12/29/13 |
64,168 | ||||||
50,914 | Facility A4, 5.34%, 12/29/13 |
40,876 | ||||||
360,000 | Facility A5, 5.34%, 12/29/13 |
289,022 |
2
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (continued) | ||||||||
HEALTHCARE (continued) | ||||||||
8,954,430 | Talecris Biotherapeutics Holdings
Corp. First Lien Term Loan, 6.31%, 12/06/13 |
8,730,570 | ||||||
500,000 | Triumph Healthcare Second
Holdings LLC Second Lien Term Loan, 10.76%, 07/28/14 |
462,500 | ||||||
43,946,948 | ||||||||
HOUSING - 4.4% | ||||||||
4,633,371 | Custom Building Products, Inc. First Lien Term Loan, 5.95%, 10/20/11 |
3,845,698 | ||||||
1,625,000 | Second Lien Term Loan, 8.70%, 04/20/12 |
1,283,750 | ||||||
3,190,581 | LBREP/L-Suncal Master I LLC First Lien Term Loan, 8.59%, 01/19/10 (f) |
11,965 | ||||||
8,800,000 | LNR Property Corp. Initial Tranche B Term Loan, 6.04%, 07/12/11 |
5,844,608 | ||||||
6,000,000 | MPH Mezzanine II, LLC Mezzanine 2B, 7.48%, 02/09/09 (e) (f) |
| ||||||
4,000,000 | MPH Mezzanine III, LLC Mezzanine 3, 8.48%, 02/09/09 (e) (f) |
| ||||||
2,500,000 | November 2005 Land Investors
LLC Second Lien Term Loan, 11.95%, 04/24/12 |
625,000 | ||||||
250,093 | Realogy Corp. Initial Term B Loan, 5.57%, 10/10/13 (h) |
189,525 | ||||||
67,333 | Synthetic Letter of Credit, 6.93%, 10/10/13 (h) |
51,026 | ||||||
3,832,580 | Roofing Supply Group LLC Term Loan, PIK, 7.80%, 08/14/13 |
2,922,342 | ||||||
1,074,187 | Universal Buildings Products,
Inc. Term Loan, 6.34%, 04/28/12 |
859,349 | ||||||
8,073,323 | Westgate Investments LLC Senior Secured Loan, PIK, 6.75%, 09/25/10 (g) |
8,113,689 | ||||||
1,980,405 | Senior Unsecured Loan, PIK, 18.00%, 09/25/12 (g) |
1,990,307 | ||||||
3,165,493 | Third Lien Term Loan, 18.00%, 06/30/15 (c) (g) |
2,880,598 | ||||||
2,000,000 | Weststate Land Partners LLC Second Lien Term Loan, 10.99%, 10/31/08 |
1,720,000 | ||||||
30,337,857 | ||||||||
INFORMATION TECHNOLOGY - 1.6% | ||||||||
148,489 | Freescale Semiconductor, Inc. Term Loan, 4.24%, 11/29/13 |
121,946 | ||||||
3,000,000 | Infor Enterprise Solutions Holdings,
Inc. Dollar Tranche B-1, Second Lien Term Commitment, 9.26%, 07/28/12 |
1,380,000 | ||||||
2,200,000 | Second Lien Delayed Draw
Term Loan, 10.01%, 03/02/14 (b) |
1,067,000 | ||||||
3,800,000 | Second Lien Term Loan, 10.01%, 03/02/14 (b) |
1,843,000 | ||||||
1,706,667 | Serena Software, Inc. Term Loan, 4.68%, 03/11/13 |
1,553,067 | ||||||
6,000,000 | Verint Systems, Inc. Term Loan, 5.74%, 05/25/14 |
5,100,000 | ||||||
11,065,013 | ||||||||
MANUFACTURING - 3.4% | ||||||||
7,842,456 | Acument Global Technologies,
Inc. Term Loan, 7.26%, 08/11/13 |
7,293,484 | ||||||
1,666,667 | Generac Acquisition Corp. Second Lien Term Loan, 8.79%, 05/06/14 |
786,667 | ||||||
1,000,000 | Hunter Defense Technologies,
Inc. Term Loan, 7.03%, 08/12/14 |
830,000 | ||||||
5,000,000 | Manitowoc Co., Inc. Term B Loan, 08/30/14 (b) |
4,810,000 | ||||||
1,254,328 | Matinvest 2 SAS / Butterfly Wendal
US, Inc. B-2 Facility, 5.38%, 06/22/14 |
1,128,895 | ||||||
1,116,317 | C-2 Facility, 5.63%, 06/22/15 |
1,010,267 | ||||||
1,091,124 | Matinvest 2 SAS / Deutsche
Connector Mezzanine A USD Facility, PIK, 11.43%, 06/22/16 |
943,822 | ||||||
5,855,176 | Maxum Petroleum, Inc. Term Loan, 9.33%, 09/18/13 |
5,445,314 | ||||||
1,564,569 | United Central Industrial Supply
Co., LLC Term Loan, 5.00%, 03/31/12 |
1,455,049 | ||||||
23,703,498 | ||||||||
METALS/MINERALS - 1.1% | ||||||||
1,326,316 | Euramax International Holdings
B.V. Second Lien European Loan, 10.79%, 06/29/13 |
895,263 | ||||||
2,753,611 | Euramax International, Inc. Domestic Term Loan, 8.00%, 06/29/12 |
2,184,549 | ||||||
6,673,684 | Second Lien Domestic Term
Loan, 10.79%, 06/29/13 |
4,337,895 | ||||||
7,417,707 | ||||||||
RETAIL - 2.8% | ||||||||
3,930,028 | Burlington Coat Factory Warehouse Corp. Term Loan, 5.06%, 05/28/13 |
2,816,848 |
3
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (continued) | ||||||||
RETAIL (continued) | ||||||||
2,000,000 | Dollar General Corp. Tranche B-2 Term Loan, 6.48%, 07/07/14 |
1,744,360 | ||||||
7,223,706 | Home Interiors & Gifts, Inc. Initial Term Loan, 10.36%, 03/31/11 (e) (f) |
1,697,571 | ||||||
94,136 | Movie Gallery, Inc. First Lien Synthetic Letter of Credit Loan, 9.51%, 03/08/12 |
64,954 | ||||||
2,433,626 | First Lien Term Loan, 13.21%, 03/08/12 |
1,679,202 | ||||||
6,500,000 | Spirit Finance Corp. Term Loan, 5.80%, 08/01/13 |
4,550,000 | ||||||
1,955,000 | Sports Authority, Inc., The Term Loan B, 6.01%, 05/03/13 |
1,495,575 | ||||||
5,970,149 | Toys R Us Tranche B Term Loan, 7.06%, 07/19/12 |
5,392,537 | ||||||
19,441,047 | ||||||||
SERVICE - 4.5% | ||||||||
9,375,000 | Cydcor, Inc. First Lien Tranche B Term Loan, 9.00%, 02/05/13 |
8,812,500 | ||||||
3,000,000 | Second Lien Tranche B Term
Loan, 12.00%, 02/05/14 |
2,820,000 | ||||||
7,765,705 | NES Rentals Holdings, Inc. Second Lien Permanent Term Loan, 9.50%, 07/20/13 |
5,668,964 | ||||||
3,000,000 | Penhall Holding Co. Term Loan PIK, 10.13%, 04/01/12 |
1,950,000 | ||||||
1,627,119 | Safety-Kleen Systems, Inc. Synthetic Letter of Credit, 5.00%, 08/02/13 |
1,513,220 | ||||||
6,128,136 | Term Loan B, 5.00%, 08/02/13 |
5,699,166 | ||||||
982,500 | Total Safety U.S., Inc. First Lien Tranche B Term Loan, 6.51%, 12/08/12 |
943,200 | ||||||
4,676,648 | Valleycrest Cos., LLC New Term Loan, 4.82%, 10/04/13 |
4,045,301 | ||||||
31,452,351 | ||||||||
TELECOMMUNICATIONS - 1.1% | ||||||||
3,000,000 | Level 3 Financing, Inc. Term Loan, 4.95%, 03/13/14 |
2,568,780 | ||||||
4,063,132 | PaeTec Holding Corp. Replacement Term Loan, 6.20%, 02/26/13 |
3,419,817 | ||||||
1,673,748 | Sorenson Communications, Inc. Tranche C Term Loan, 5.03%, 08/16/13 |
1,569,139 | ||||||
7,557,736 | ||||||||
TRANSPORTATION - AUTOMOTIVE - 3.7% | ||||||||
2,662,000 | BST Safety Textiles Acquisition
GMBH Second Lien Facility, 12.10%, 06/30/09 |
1,929,950 | ||||||
8,168,139 | Delphi Corp. Initial Tranche C Loan DIP, 8.50%, 12/31/08 (b) |
6,765,915 | ||||||
831,861 | Subsequent Tranche C Loan
DIP, 8.50%, 12/31/08 (b) |
689,055 | ||||||
9,750,190 | Ford Motor Co. Term Loan, 5.49%, 12/13/13 |
6,508,252 | ||||||
3,371,170 | Motor Coach Industries
International, Inc. Second Lien Loan, PIK, 11.13%, 12/01/08 (f) |
3,034,053 | ||||||
4,133,355 | Tranche A DIP, 09/16/09 (b) |
4,149,330 | ||||||
2,949,240 | Tranche B DIP, 18.25%, 09/16/09 |
2,890,255 | ||||||
25,966,810 | ||||||||
TRANSPORTATION - LAND TRANSPORTATION - 0.9% | ||||||||
2,308,221 | New Century Transportation, Inc. Term Loan, 8.96%, 08/14/12 |
1,615,755 | ||||||
1,270,682 | SIRVA Worldwide, Inc. Revolving Credit Loan (Exit Finance), 9.96%, 05/12/12 (c) |
1,200,794 | ||||||
2,923,930 | Second Lien Term Loan, 12.00%, 05/15/15 |
1,827,457 | ||||||
1,535,256 | Term Loan (Exit Finance), 10.21%, 05/12/12 |
1,450,817 | ||||||
6,094,823 | ||||||||
UTILITY - 5.0% | ||||||||
6,946,970 | Boston Generating LLC First Lien Term Loan, 6.01%, 12/20/13 |
5,569,733 | ||||||
184,651 | Coleto Creek Power, LP First Lien Synthetic Letter of Credit, 6.51%, 06/28/13 |
162,954 | ||||||
2,613,277 | First Lien Term Loan, 6.51%, 06/28/13 |
2,306,217 | ||||||
4,887,500 | Second Lien Term Loan, 7.76%, 06/28/13 |
4,015,863 | ||||||
9,267,119 | Entegra TC LLC Third Lien Term Loan, PIK, 8.80%, 10/19/15 |
6,104,715 | ||||||
5,024,486 | GBGH LLC First Lien Advance, PIK, 11.75%, 08/07/13 (f) |
4,923,996 | ||||||
5,828,655 | Second Lien Advance, PIK, 14.50%, 08/07/14 (e) (f) |
3,709,356 | ||||||
8,718,960 | Mach Gen LLC Term C Loan, PIK, 10.14%, 02/22/15 |
7,515,743 | ||||||
34,308,577 | ||||||||
4
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (continued) | ||||||||
WIRELESS COMMUNICATIONS - 1.4% | ||||||||
554,434 | American Messaging Services,
Inc. Senior Secured Note, 8.88%, 09/30/09 |
557,206 | ||||||
9,900,000 | Clearwire Corp. Term Loan, 8.82%, 07/03/12 |
9,405,000 | ||||||
9,962,206 | ||||||||
Total Senior Loans (Cost $612,188,402) |
501,655,968 | |||||||
Principal Amount | ||||||||
Foreign Denominated Senior Loans (a) - 6.1% | ||||||||
AUSTRALIA - 2.3% | ||||||||
AUD | ||||||||
22,940,476 | SMG H5 Property Ltd. Facility A Term Loan, 9.69%, 12/22/13 (h) |
15,743,019 | ||||||
FRANCE - 2.2% | ||||||||
EUR | ||||||||
2,012,048 | Ypso Holding SA Eur B Acq 1 Facility, 7.51%, 03/02/15 |
2,119,134 | ||||||
3,282,814 | Eur B Acq 2 Facility, 7.51%, 03/02/15 |
3,457,533 | ||||||
5,213,674 | Eur B Recap 1 Facility, 7.51%, 03/02/15 |
5,491,157 | ||||||
1,389,750 | Eur C Acq Facility, 7.76%, 12/31/15 |
1,547,052 | ||||||
2,610,250 | Eur C Recap Facility, 7.76%, 12/31/15 |
2,778,542 | ||||||
15,393,418 | ||||||||
SWEDEN - 0.5% | ||||||||
SEK | ||||||||
Nordic Cable Acquisition Co., AB |
||||||||
Facility B2 Com Hen Comm, |
||||||||
15,333,333 | 7.38%, 01/31/14
|
1,891,172 | ||||||
Facility C2 Com Hen, |
||||||||
14,666,667 | 7.51%, 01/31/15
|
1,766,878 | ||||||
3,658,050 | ||||||||
UNITED KINGDOM - 1.1% | ||||||||
GBP | ||||||||
2,764,925 | Mobileserv Ltd. Facility B, 8.39%, 09/22/14 |
3,513,485 | ||||||
3,250,000 | Facility C, 8.89%, 09/22/15 |
4,155,259 | ||||||
7,668,744 | ||||||||
Total Foreign Denominated Senior Loans (Cost $52,651,447) |
42,463,231 | |||||||
Principal Amount ($) | Value ($) | |||||||
Asset-Backed Securities (i) - 6.0% | ||||||||
2,000,000 | AB CLO, Ltd. Series 2007-1A, Class C, 6.60%, 04/15/21 (j) |
1,191,420 | ||||||
4,000,000 | ACA CLO, Ltd. Series 2006-2A, Class B, 3.51%, 01/20/21 (j) |
2,844,370 | ||||||
2,000,000 | Series 2007-1A, Class D, 7.10%, 06/15/22 (j) |
1,118,600 | ||||||
1,000,000 | Babson CLO, Ltd. Series 2007-2A, Class D, 4.49%, 04/15/21 (j) |
556,840 | ||||||
1,000,000 | Bluemountain CLO, Ltd. Series 2007-3A, Class D, 4.22%, 03/17/21 (j) |
550,000 | ||||||
2,000,000 | Cent CDO, Ltd. Series 2007-15A, Class C, 5.07%, 03/11/21 (j) |
1,162,624 | ||||||
2,000,000 | Columbus Nova CLO, Ltd. Series 2007- 1A, Class D, 4.16%, 05/16/19 (j) |
1,084,000 | ||||||
1,000,000 | Commercial Industrial Finance
Corp. Series 2006-1BA, Class B2L, 7.20%, 12/22/20 |
497,344 | ||||||
1,000,000 | Series 2006-2A, Class B2L, 6.81%, 03/01/21 (j) |
395,762 | ||||||
2,500,000 | Cornerstone CLO, Ltd. Series 2007-1A, Class C, 5.19%, 07/15/21 (j) |
1,498,075 | ||||||
4,000,000 | Goldman Sachs Asset Management CLO PLC Series 2007-1A, Class D, 5.42%, 08/01/22 (j) |
2,662,888 | ||||||
1,000,000 | Series 2007-1A, Class E, 7.67%, 08/02/22 (j) |
528,458 | ||||||
1,000,000 | Greywolf CLO, Ltd Series 2007-1A, Class D, 4.31%, 02/18/21 (j) |
577,500 | ||||||
1,000,000 | Series 2007-1A, Class E, 6.76%, 02/18/21 (j) |
451,300 | ||||||
3,000,000 | GSC Partners CDO Fund, Ltd. Series 2007-8A, Class C, 4.26%, 04/17/21 (j) |
1,396,995 | ||||||
1,000,000 | Gulf Stream Sextant CLO, Ltd. Series 2007-1A, Class D, 5.22%, 06/17/21 (j) |
587,800 | ||||||
2,000,000 | Hillmark Funding Series 2006-1A, Class C, 4.51%, 05/21/21 (j) |
1,172,600 | ||||||
1,000,000 | Series 2006-1A, Class D, 6.41%, 05/21/21 (j) |
435,580 | ||||||
1,000,000 | Inwood Park CDO, Ltd. Series 2006-1A, Class C, 3.49%, 01/20/21 (j) |
706,400 | ||||||
1,000,000 | Series 2006-1A, Class D, 4.19%, 01/20/21 (j) |
640,700 | ||||||
2,000,000 | Limerock CLO Series 2007-1A, Class D, 6.15%, 04/24/23 (j) |
921,000 | ||||||
2,000,000 | Madison Park Funding Ltd. Series 2007-5A, Class C, 4.26%, 02/26/21 (j) |
1,082,958 | ||||||
1,500,000 | Series 2007-5A, Class D, 6.31%, 02/26/21 (j) |
726,141 |
5
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | ||||||||
Asset-Backed Securities (continued) | |||||||||
1,000,000 | Marquette US/European CLO,
PLC Series 2006-1A, Class D1, 4.54%, 07/15/20 (j) |
596,280 | |||||||
1,000,000 | Navigator CDO, Ltd. Series 2006-2A, Class D, 6.70%, 09/20/20 (j) |
519,700 | |||||||
1,000,000 | Ocean Trails CLO Series 2006-1A, Class D, 6.54%, 10/12/20 (j) |
558,320 | |||||||
2,500,000 | Series 2007-2A, Class C, 5.14%, 06/27/22 (j) |
1,397,500 | |||||||
1,000,000 | PPM Grayhawk CLO, Ltd. Series 2007-1A, Class C, 4.19%, 04/18/21 (j) |
578,900 | |||||||
1,150,000 | Series 2007-1A, Class D, 6.39%, 04/18/21 (j) |
563,796 | |||||||
5,000,000 | Primus CLO, Ltd. Series 2007-2A, Class D, 5.19%, 07/15/21 (j) |
3,074,000 | |||||||
2,000,000 | Series 2007-2A, Class E, 7.54%, 07/15/21 (j) |
1,068,000 | |||||||
4,000,000 | Rampart CLO, Ltd. Series 2006-1A, Class C, 4.24%, 04/18/21 (j) |
2,415,000 | |||||||
3,000,000 | St. James River CLO, Ltd. Series 2007-1A, Class E, 7.12%, 06/11/21 (j) |
1,638,198 | |||||||
1,200,000 | Stanfield Daytona CLO, Ltd. Series 2007-1A, Class B1L, 4.15%, 04/27/21 (j) |
684,936 | |||||||
4,000,000 | Stanfield McLaren CLO, Ltd. Series 2007-1A, Class B1L, 5.21%, 02/27/21 (j) |
2,624,496 | |||||||
2,000,000 | Stone Tower CLO, Ltd. Series 2007-6A, Class C, 4.14%, 04/17/21 (j) |
1,080,000 | |||||||
2,000,000 | Venture CDO, Ltd. Series 2007-9A, Class D, 6.94%, 10/12/21 (j) |
1,292,000 | |||||||
1,000,000 | Westbrook CLO, Ltd. Series 2006-1A, Class D, 4.90%, 12/20/20 (j) |
585,000 | |||||||
Total Asset-Backed Securities (Cost $50,368,386) |
41,465,481 | ||||||||
Foreign Asset-Backed Securities (i) - 0.6% | |||||||||
Principal Amount | |||||||||
IRELAND - 0.6% | |||||||||
EUR | |||||||||
2,000,000 | Static Loan Funding Series 2007-1X, Class D, 12.15%, 07/31/17 |
2,157,827 | |||||||
2,000,000 | Series 2007-1X, Class E, 9.65%, 07/31/17 |
1,854,141 | |||||||
Total Foreign Asset-Backed
Securities (Cost $5,440,884) |
4,011,968 | ||||||||
Principal Amount ($) | Value ($) | ||||||||
Corporate Notes and Bonds - 38.6% | |||||||||
AEROSPACE - 0.2% | |||||||||
5,000,000 | Delta Air Lines, Inc. 8.00%, 06/30/23 (f) (k) |
125,000 | |||||||
7,000,000 | 8.30%, 12/15/29 (f)
|
175,000 | |||||||
2,500,000 | Northwest Airlines Corp. 12/30/27 (f) |
21,875 | |||||||
1,623,507 | Northwest Airlines, Inc. 9.06%, 05/20/12 |
1,404,689 | |||||||
1,726,564 | |||||||||
BROADCASTING - 0.9% | |||||||||
3,000,000 | Clear Channel Communications,
Inc. 5.00%, 03/15/12 |
1,605,000 | |||||||
7,000,000 | 6.25%, 03/15/11
|
4,550,000 | |||||||
3,065,000 | Young Broadcasting, Inc. 10.00%, 03/01/11 (k) |
459,750 | |||||||
6,614,750 | |||||||||
CABLE/WIRELESS VIDEO - 2.3% | |||||||||
1,250,000 | CCH I Holdings LLC 9.92%, 04/01/14 (k) |
468,750 | |||||||
3,375,000 | 10.00%, 05/15/14 (k)
|
1,265,625 | |||||||
2,500,000 | 11.75%, 05/15/14
|
975,000 | |||||||
8,860,000 | CCH I LLC 11.00%, 10/01/15 (k) |
5,891,900 | |||||||
2,634,000 | Charter Communications, Inc.,
Convertible 6.50%, 10/01/27 |
767,153 | |||||||
2,000,000 | Grande Communications
Holdings, Inc. 14.00%, 04/01/11 |
2,090,000 | |||||||
4,500,000 | Intelsat Bermuda Ltd. 11.25%, 06/15/16 (j) |
4,398,750 | |||||||
15,857,178 | |||||||||
CHEMICALS - 0.8% | |||||||||
2,000,000 | Albemarle Corp. 5.10%, 02/01/15 |
1,849,944 | |||||||
2,000,000 | Georgia Gulf Corp. 9.50%, 10/15/14 |
1,240,000 | |||||||
6,750,000 | Tronox Worldwide, LLC 9.50%, 12/01/12 (k) |
2,261,250 | |||||||
5,351,194 | |||||||||
CONSUMER NON-DURABLES - 2.3% | |||||||||
5,000,000 | Ames True Temper, Inc. 6.79%, 01/15/12 (i) |
3,775,000 | |||||||
837,840 | Outsourcing Services Group, Inc. 9.00%, 03/01/09 (e) (f) |
| |||||||
13,245,000 | Solo Cup Co. 8.50%, 02/15/14 |
10,662,225 | |||||||
2,530,000 | Spectrum Brands, Inc., PIK 12.00%, 10/02/13 (k) (l) |
1,631,850 | |||||||
16,069,075 | |||||||||
ENERGY - 0.4% | |||||||||
4,150,000 | Energy XXI Gulf Coast, Inc. 10.00%, 06/15/13 |
3,133,250 | |||||||
6
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Corporate Notes and Bonds (continued) | ||||||||
FINANCIAL - 4.4% | ||||||||
3,500,000 | Allied Capital Corp. 6.00%, 04/01/12 |
3,260,362 | ||||||
2,000,000 | BankAmerica Institutional, Class
A 8.07%, 12/31/26 (j) |
1,718,614 | ||||||
22,200,000 | HUB International Holdings, Inc. 10.25%, 06/15/15 (j) |
17,649,000 | ||||||
7,000,000 | National City Corp. 4.00%, 02/01/11 |
3,290,000 | ||||||
3,000,000 | 5.75%, 02/01/09
|
1,835,154 | ||||||
3,500,000 | Penhall International, Corp. 12.00%, 08/01/14 (j) |
2,432,500 | ||||||
30,185,630 | ||||||||
FOOD/TOBACCO - 0.1% | ||||||||
500,000 | Pinnacle Foods Group, Inc. 10.63%, 04/01/17 (k) |
377,500 | ||||||
FOREST PRODUCTS/CONTAINERS - 0.0% | ||||||||
296,010 | NewPage Corp., PIK 9.99%, 11/01/13 (i) |
263,449 | ||||||
GAMING/LEISURE - 0.6% | ||||||||
28,974,000 | Tropicana Entertainment LLC 9.63%, 12/15/14 (f) |
4,201,230 | ||||||
HEALTHCARE - 16.4% | ||||||||
12,482,208 | Argatroban Royalty Sub LLC 18.50%, 09/21/14 |
12,544,619 | ||||||
10,000,000 | Azithromycin Royalty Sub LLC 16.00%, 05/15/19 |
10,050,000 | ||||||
31,496,522 | Celtic Pharma Phinco B.V. PIK, 17.00%, 06/15/12 |
31,181,557 | ||||||
371,434 | Cinacalcet Royalty Sub LLC 8.00%, 03/30/17 |
419,721 | ||||||
4,849,949 | Fosamprenavir Pharma 15.50%, 06/15/18 |
4,874,199 | ||||||
5,000,000 | LifeCare Holdings 9.25%, 08/15/13 (k) |
2,925,000 | ||||||
2,500,000 | Molecular Insight
Pharmaceuticals, Inc. 11.10%, 11/01/12 (i) |
2,556,250 | ||||||
24,500,000 | Pharma 17 (Sanctura XR) 16.00%, 11/05/24 |
24,622,500 | ||||||
2,000,000 | Pharma II (Risperidone) 7.00%, 01/18/18 |
1,820,000 | ||||||
2,933,753 | Pharma IV (Eszopiclone) 12.00%, 06/30/14 |
2,992,428 | ||||||
2,000,000 | Pharma V (Duloxetine) 13.00%, 10/15/13 |
2,060,000 | ||||||
2,077,500 | Pharma X (Sensipar-Cinacalcet) 15.50%, 03/30/17 |
2,056,725 | ||||||
15,500,000 | TCD Pharma 16.00%, 04/15/24 |
15,577,500 | ||||||
250,000 | Teva Pharmaceutical Finance
LLC 5.55%, 02/01/16 |
232,717 | ||||||
113,913,216 | ||||||||
HOUSING - 2.0% | ||||||||
11,000,000 | Realogy Corp. 10.50%, 04/15/14 |
4,895,000 | ||||||
20,170,000 | 12.38%, 04/15/15 (k)
|
6,958,650 | ||||||
1,000,000 | SUSA Partnership LP 7.45%, 07/01/18 |
1,103,165 | ||||||
1,000,000 | WII Components, Inc 10.00%, 02/15/12 (k) |
685,000 | ||||||
13,641,815 | ||||||||
INFORMATION TECHNOLOGY - 1.5% | ||||||||
5,000,000 | Charys Holding Co., Inc. 8.75%, 02/16/12 (e) (f) (j) |
1,565,500 | ||||||
2,000,000 | Freescale Semiconductor, Inc. 6.69%, 12/15/14 (i) |
1,350,000 | ||||||
700,000 | 9.13%, 12/15/14 (j)
|
444,500 | ||||||
13,000,000 | MagnaChip Semiconductor 6.07%, 12/15/11 (i) (k) |
4,355,000 | ||||||
5,000,000 | Spansion LLC 11.25%, 01/15/16 (j) (k) |
2,900,000 | ||||||
10,615,000 | ||||||||
RETAIL - 1.7% | ||||||||
6,022,000 | Blockbuster, Inc. 9.00%, 09/01/12 |
4,335,840 | ||||||
7,250,000 | Claires Stores, Inc. 10.50%, 06/01/17 |
2,465,000 | ||||||
4,830,000 | Dollar General Corp. 10.63%, 07/15/15 (k) |
4,781,700 | ||||||
11,582,540 | ||||||||
TELECOMMUNICATIONS - 0.1% | ||||||||
500,000 | Nordic Telephone Co. Holdings
APS 8.88%, 05/01/16 (j) |
457,500 | ||||||
TRANSPORTATION - AUTOMOTIVE - 1.7% | ||||||||
11,500,000 | American Tire Distributors
Holdings, Inc. 9.04%, 04/01/12 (i) |
9,717,500 | ||||||
3,784,000 | Delphi Corp. 6.50%, 05/01/09 (f) |
473,000 | ||||||
200,000 | 6.50%, 08/15/13 (f)
|
26,000 | ||||||
3,933,000 | 6.55%, 06/15/09 (f) (k)
|
491,625 | ||||||
8,334,000 | 7.13%, 05/01/29 (f) (k)
|
1,041,750 | ||||||
1,250,000 | Motor Coach Industries
International, Inc. 11.25%, 05/01/09 (f) |
93,750 | ||||||
11,843,625 | ||||||||
UTILITY - 0.3% | ||||||||
2,000,000 | Kiowa Power 5.74%, 03/30/21 (j) |
1,835,898 | ||||||
56,303 | USGEN New England PCG 7.46%, 01/02/15 (f) |
| ||||||
1,835,898 | ||||||||
WIRELESS COMMUNICATIONS - 2.9% | ||||||||
2,000,000 | Alltel Corp. 7.88%, 07/01/32 |
1,995,000 | ||||||
19,492,000 | Digicel Group, Ltd. 9.13%, 01/15/15 (j) |
16,422,010 |
7
As of September 30, 2008 | Highland Credit Strategies Fund |
Principal Amount ($) | Value ($) | |||||||
Corporate Notes and Bonds (continued) | ||||||||
WIRELESS COMMUNICATIONS (continued) | ||||||||
2,173,000 | ICO North America, Inc. 8.50%, 08/15/09 |
1,488,505 | ||||||
19,905,515 | ||||||||
Total Corporate Notes and
Bonds (Cost $351,754,554) |
267,574,929 | |||||||
Claims - 0.1% (m) | ||||||||
AEROSPACE - 0.1% | ||||||||
581,794 | Delta Airlines, Inc. Delta ALPA Claim, 12/31/10 |
18,908 | ||||||
3,000,000 | Northwest Airlines, Inc. ALPA Trade Claim, 08/21/13 |
120,000 | ||||||
5,326,500 | Flight Attendant Claim, 08/21/13 |
213,060 | ||||||
3,161,250 | IAM Trade Claim, 08/21/13 |
126,450 | ||||||
3,512,250 | Retiree Claim, 08/21/13 |
140,490 | ||||||
Total Claims (Cost $2,612,060) |
618,908 | |||||||
Shares | ||||||||
Common Stocks - 6.1% | ||||||||
BROADCASTING - 0.6% | ||||||||
753,981 | Communications Corp. of
America (d) (e) (m)
|
3,950,860 | ||||||
18,118 | Gray Television, Inc.
|
31,163 | ||||||
108,772 | Gray Television, Inc., Class A
|
375,263 | ||||||
4,357,286 | ||||||||
CHEMICALS - 0.8% | ||||||||
265,045 | Hercules, Inc. (k)
|
5,245,241 | ||||||
CONSUMER NON-DURABLES - 0.0% | ||||||||
24,015 | Outsourcing Services Group, Inc.
(e) (j) (m)
|
| ||||||
DIVERSIFIED MEDIA - 0.1% | ||||||||
46,601 | American Banknote Corp. (e) (m)
|
675,715 | ||||||
ENERGY - 0.1% | ||||||||
17,100 | Helix Energy Solutions Group,
Inc. (m)
|
415,188 | ||||||
FINANCIAL - 0.3% | ||||||||
555,258 | Altiva Financial Corp. (m)
|
3,609 | ||||||
84,158 | Hatteras Financial Corp. (k)
|
1,952,466 | ||||||
1,956,075 | ||||||||
GAMING/LEISURE - 0.4% | ||||||||
111,988 | Penn National Gaming, Inc. (m)
|
2,975,521 | ||||||
HEALTHCARE - 2.3% | ||||||||
7,000,000 | Genesys Ltd. (d) (e)
|
10,157,000 | ||||||
1,072,961 | Microvision, Inc. (m)
|
2,081,544 | ||||||
44,008 | Teva Pharmaceutical Industries
Ltd., SP ADR (k)
|
2,015,126 | ||||||
36,795 | UnitedHealth Group, Inc.
|
934,225 | ||||||
22,397 | WellPoint, Inc. (m)
|
1,047,508 | ||||||
16,235,403 | ||||||||
HOUSING - 0.0% | ||||||||
8 | Westgate Investments LLC,
Class B-1 (m)
|
| ||||||
RETAIL - 0.0% | ||||||||
15,000 | Sally Beauty Holdings, Inc. (k)
(m)
|
129,000 | ||||||
SERVICE - 0.4% | ||||||||
200,964 | Safety-Kleen Systems, Inc. (m)
|
3,016,475 | ||||||
TELECOMMUNICATIONS - 0.4% | ||||||||
107,953 | iPCS, Inc. (m)
|
2,404,113 | ||||||
232 | Knology, Inc. (m)
|
1,872 | ||||||
70,342 1 |
Micadent PLC Viatel Holding (Bermuda) Ltd. (m) |
11 |
||||||
2,405,996 | ||||||||
TRANSPORTATION - AUTOMOTIVE - 0.0% | ||||||||
1,544,148 | Delphi Corp. (m)
|
106,546 | ||||||
TRANSPORTATION - LAND TRANSPORTATION - 0.2% | ||||||||
18,030 | SIRVA Worldwide, Inc. (e) (m)
|
1,262,100 | ||||||
UTILITY - 0.2% | ||||||||
81,194 | Entegra TC LLC (m)
|
1,542,686 | ||||||
WIRELESS COMMUNICATIONS - 0.3% | ||||||||
1,078,905 | ICO Global Communications
Holding Ltd. (m)
|
1,176,006 | ||||||
554,527 | ICO Global Communications
Holding Ltd. (Restricted) (m)
|
604,434 | ||||||
1,780,440 | ||||||||
Total Common Stocks (Cost $56,204,872) |
42,103,672 | |||||||
Preferred Stocks - 1.4% | ||||||||
10,000 | Adelphia Communications Corp., Series B (m) |
| ||||||
1,000,000 | Adelphia Recovery Trust (m)
|
20,000 | ||||||
2,150,537 | Dfine, Inc., Series D (e) (m)
|
9,999,997 | ||||||
Total Preferred Stocks (Cost $10,934,997) |
10,019,997 | |||||||
8
As of September 30, 2008 | Highland Credit Strategies Fund |
Units | Value ($) | |||||||
Warrants (m) - 0.0% | ||||||||
20,000 | Clearwire Corp., expires 08/15/10 |
750 | ||||||
1,000 | Grande Communications, expires 04/01/11 |
10 | ||||||
49,317 | IAP Worldwide Services, Inc. Series A, expires 06/12/15, |
| ||||||
14,444 | IAP Worldwide Services, Inc. Series B, expires 06/12/15, |
| ||||||
7,312 | IAP Worldwide Services, Inc. Series C, expires 06/12/15, |
| ||||||
643,777 | Microvision, Inc., expires 07/23/13 |
| ||||||
6,000 | Sirius XM Radio, Inc., expires 03/15/10 |
| ||||||
Total Warrants (Cost $1,010,349) |
760 | |||||||
Total Investments - 131.3% | 909,914,914 | |||||||
(cost of $1,143,165,951) (n) | ||||||||
Other Assets & Liabilities, Net (31.3)% | (217,172,413 | ) | ||||||
Net Assets applicable to Common Shareholders - 100.0% | 692,742,501 | |||||||
Principal Amount ($) | Value ($) | |||||||
GAMING/LEISURE - 0.6% | ||||||||
6,000,000 | Isle of Capri Casinos, Inc. 7.00%, 03/01/14 |
4,050,000 | ||||||
HOUSING - 0.5% | ||||||||
6,000,000 | Nortek, Inc. 8.50%, 09/01/14 |
3,450,000 | ||||||
EQUITY SECURITIES - 3.3% |
Shares | ||||||||
CHEMICALS - 0.1% | ||||||||
24,649 | Ashland, Inc.
|
720,737 | ||||||
CONSUMER DURABLES - 0.1% | ||||||||
75,000 | Interface, Inc., Class A
|
852,750 | ||||||
CONSUMER NON-DURABLES - 0.5% | ||||||||
147,059 | Helen of Troy Ltd. (o)
|
3,348,533 | ||||||
DIVERSIFIED MEDIA - 0.4% | ||||||||
172,200 | New York Times Co., Class A
|
2,460,738 | ||||||
HOUSING - 0.4% | ||||||||
253,771 | Furniture Brands International,
Inc.
|
2,669,671 | ||||||
INFORMATION TECHNOLOGY - 0.3% | ||||||||
70,000 | Watts Water Technologies, Inc.,
Class A
|
1,914,500 | ||||||
MANUFACTURING - 0.5% | ||||||||
65,000 | Carlisle Cos., Inc.
|
1,948,050 | ||||||
27,110 | Mohawk Industries, Inc. (o)
|
1,826,943 | ||||||
3,774,993 | ||||||||
RETAIL - 1.0% | ||||||||
242,276 | Ethan Allen Interiors, Inc.
|
6,788,574 | ||||||
Total Investments sold short (Proceeds $ 29,538,607) |
30,030,496 | |||||||
(a) | Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which Highland Credit Strategies Fund (the Fund) invests generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. (Unless otherwise identified by footnote (g), all senior loans carry a variable rate interest.) These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (LIBOR) or (iii) the Certificate of Deposit rate. Rate shown represents the weighted average rate at September 30, 2008. Senior loans, while exempt from registration under the Securities Act of 1933 (the 1933 Act), contain certain restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown. | |
(b) | All or a portion of this position has not settled. Contract rates do not take effect until settlement date. | |
(c) | Senior Loan assets have additional unfunded loan commitments. As of September 30, 2008, the Fund had unfunded loan commitments of $12,391,325, which could be extended at the option of the Borrower, pursuant to the following loan agreements: |
Unfunded | ||||
Loan | ||||
Borrower | Commitment | |||
ComCorp Broadcasting, Inc. |
$ | 50,479 | ||
Fontainebleu Las Vegas, LLC |
666,667 | |||
Mobileserv Ltd. |
5,000,000 | |||
Sirva Worldwide, Inc. |
1,089,156 | |||
Sorenson Communications, Inc. |
2,000,000 | |||
Tronox Worldwide, LLC |
1,780,800 | |||
Westgate Investments, LLC |
1,804,223 | |||
$ | 12,391,325 | |||
9
As of September 30, 2008 | Highland Credit Strategies Fund |
(d) | Affiliated issuer. Under Section 2(a)(3) of the 1940 Act, a portfolio company is defined as affiliated if a Fund owns five percent or more of its voting stock. Comcorp Broadcasting, Inc. (Senior Loan), Genesys Ltd., and Communications Corp of America (Common Stocks), with a total aggregate market value of $24,751,046, or 3.6% of net assets, were affiliated as of September 30, 2008. | |
(e) | Represents fair value as determined by the Funds Board of Trustees (the Board) or its designee in good faith, pursuant to the policies and procedures approved by the Board. Securities with a total aggregate market value of $63,572,023, or 9.2% of net assets, were valued under fair value procedures as of September 30, 2008. | |
(f) | The issuer is in default of its payment obligation. Income is not being accrued. | |
(g) | Fixed rate senior loan. | |
(h) | Loans held on participation. | |
(i) | Floating rate asset. The interest rate shown reflects the rate in effect at September 30, 2008. | |
(j) | Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold, in transactions exempt from registration, to qualified institutional buyers. At September 30, 2008, these securities amounted to $90,792,409 or 13.1% of net assets. | |
(k) | Securities (or a portion of securities) on loan. As of September 30, 2008, the market value of securities loaned was $28,434,847. The loaned securities were secured with cash collateral of $31,976,043. | |
(l) | Step Coupon. A bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods until maturity. Spectrum Brands, Inc., (Corporate Note & Bond) has a rate of 12.00% until 10/02/08. | |
(m) | Non-income producing security. | |
(n) | Cost basis for U.S. federal income tax purposes is identical to book basis. Unrealized appreciation and depreciation on investments are as follows: |
Gross unrealized appreciation |
$ | 9,493,355 | ||
Gross unrealized depreciation |
(242,744,392 | ) | ||
Net unrealized depreciation |
$ | (233,251,037 | ) | |
(o) | No dividend payable on security sold short. | |
AUD | Australian Dollar | |
EUR | Euro Currency | |
GBP | Great Britain Pound | |
SEK | Swedish Kronor | |
CDO | Collateralized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
DIP | Debtor-in-Possession | |
PIK | Payment-in-Kind | |
SP ADR | Sponsored American Depositary Receipt |
Diversified Media |
2.3 | % | ||
Cable/Wireless Video |
2.2 | % | ||
Wireless Communications |
1.1 | % | ||
Financial |
0.6 | % | ||
Telecommunications |
0.6 | % | ||
Total |
6.8 | % | ||
Principal | ||||||||||||||||
Contracts | Amount | Net | ||||||||||||||
to Buy or | Covered by | Unrealized | ||||||||||||||
to Sell | Currency | Contracts | Expiration | Appreciation | ||||||||||||
Sell | EUR | 9,746,166 | 11/28/08 | $ | 1,595,026 | |||||||||||
Sell | EUR | 7,500,000 | 02/04/09 | 988,506 | ||||||||||||
Sell | GBP | 1,074,620 | 11/28/08 | 334,942 | ||||||||||||
Sell | GBP | 7,000,000 | 02/04/09 | 1,181,886 | ||||||||||||
$ | 4,100,360 | |||||||||||||||
10
As of September 30, 2008 | Highland Credit Strategies Fund |
Buy/Sell | (Pay)/Receive | Expiration | Notional | Unrealized | ||||||||||||||||||||
Counterparty | Referenced Obligation | Protection | Rate | Date | Amount | Depreciation | ||||||||||||||||||
Goldman
Sachs Credit Partners L.P. |
CDX.NA.HY.9 | Buy (1) | (3.75 | %) | 12/20/2012 | 16,394,400 | $ | (61,479 | ) | |||||||||||||||
Total |
$ | (61,479 | ) | |||||||||||||||||||||
(1) | If a credit event occurs as defined under the terms of the Credit Default Swap Index (CDX), the reference obligation that defaults drops out of the CDX and the CDX is quoted without the obligation until the next series of the CDX is issued. Unlike traditional credit default swap arrangements, the Fund, as a buyer of protection, will not receive the underlying reference obligation upon default of the underlying. |
Swap Name | Expiration Date | Notional Amount | Unrealized Depreciation | |||||||||
Barclays Total Return Swaps |
05/24/2010 | $ | 144,861,056 | $ | (25,595,027 | ) | ||||||
$ | 144,861,056 | $ | (25,595,027 | ) | ||||||||
Investments in Securities | ||||||||||||||||
(Market Value) | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Portfolio Investments |
$ | 909,914,914 | $ | 13,587,618 | $ | 520,893,004 | $ | 375,434,292 | ||||||||
Investments sold short |
(30,030,496 | ) | (22,530,496 | ) | (7,500,000 | ) | | |||||||||
Total |
$ | 879,884,418 | $ | (8,942,878 | ) | $ | 513,393,004 | $ | 375,434,292 | |||||||
Other Financial Instruments | ||||||||||||||||
(Unrealized Appreciation/ | ||||||||||||||||
(Depreciation)) *** | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Forward
Foreign Currency Contracts |
$ | 4,100,360 | $ | | $ | 4,100,360 | $ | | ||||||||
Credit Default Swap Trades |
(61,479 | ) | | (61,479 | ) | | ||||||||||
Total Return Swap |
(25,595,027 | ) | | (25,595,027 | ) | | ||||||||||
Total |
$ | (21,556,146 | ) | $ | | $ | (21,556,146 | ) | $ | | ||||||
* | Equity Investments sold short | |
** | Debt Investments sold short | |
*** | Other financial instruments are derivative instruments not reflected in the Investment Portfolio, such as, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the investment. |
11
As of September 30, 2008 | Highland Credit Strategies Fund |
Assets at Fair Value using unobservable inputs (Level 3) | Portfolio Investments | |||
Balance as of December 31, 2007 |
$ | 28,539,096 | ||
Market Value of Level 3 from 07/18/08 merger |
32,447,700 | |||
Transfers in/(out) of Level 3 |
202,276,575 | |||
Net amortization/(accretion) of premium/(discount) |
807,344 | |||
Net realized gains/(losses) |
(121,124 | ) | ||
Net unrealized gains/(losses) |
(50,476,430 | ) | ||
Net purchases and sales |
161,961,131 | |||
Balance as of September 30, 2008 |
$ | 375,434,292 | ||
12
(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). | ||
(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
(Registrant)
|
Highland Credit Strategies Fund | |
By (Signature and Title)*
|
/s/ James D. Dondero | |
James D. Dondero, Chief Executive Officer and President | ||
(principal executive officer) | ||
Date November 25, 2008 |
||
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 (Signature and Title)*
|
/s/ James D. Dondero | |
James D. Dondero, Chief Executive Officer and President | ||
(principal executive officer) | ||
Date November 25, 2008 |
||
By (Signature and Title)*
|
/s/ M. Jason Blackburn | |
M. Jason Blackburn, Chief Financial Officer, Treasurer and Secretary | ||
(principal financial officer) | ||
Date November 25, 2008 |
||
* | Print the name and title of each signing officer under his or her signature. |