INVESTMENT PORTFOLIO | ||
As of September 30, 2009 (unaudited) | Highland Credit Strategies Fund |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (a) 74.8% | ||||||||
AEROSPACE 2.6% | ||||||||
AWAS Capital, Inc. |
||||||||
1,590,886 | Second Lien Priority Term
Facility, 6.31%, 03/15/13 |
1,002,258 | ||||||
Continental Airlines, Inc. |
||||||||
571,429 | Tranche A-1 Term Loan,
3.74%, 06/01/11 |
520,571 | ||||||
1,428,571 | Tranche A-2 Term Loan,
3.74%, 06/01/11 |
1,301,429 | ||||||
Delta Air Lines, Inc. |
||||||||
2,700,000 | Term Loan,
09/27/13 (b) |
2,692,129 | ||||||
6,078,144 | Term Loan Equipment Notes,
3.78%, 09/29/12 |
5,166,423 | ||||||
IAP Worldwide Services, Inc. |
||||||||
2,149,488 | Second Lien Term Loan, PIK,
11.50%, 06/28/13 |
929,654 | ||||||
11,612,464 | ||||||||
BROADCASTING 6.9% | ||||||||
ComCorp Broadcasting, Inc. |
||||||||
3,432,700 | Revolving Loan, PIK
17.50%, 10/03/12 (c) (d) |
2,429,665 | ||||||
34,341,268 | Term Loan, PIK
17.50%, 04/03/13 (c) (d) |
24,306,749 | ||||||
Univision Communications, Inc. |
||||||||
4,000,000 | Initial Term Loan, 2.53%,
09/29/14 |
3,395,920 | ||||||
30,132,334 | ||||||||
CABLE/WIRELESS VIDEO 4.5% | ||||||||
Broadstripe, LLC |
||||||||
664,445 | DIP Revolver,
2.66%, 12/31/09 (c) (e) |
664,445 | ||||||
14,167,345 | First Lien Term Loan, PIK,
9.20%, 06/30/11 (c) (f) |
11,687,438 | ||||||
1,428,203 | Revolver,
9.81%, 06/30/11 (c) (f) |
1,179,410 | ||||||
Cequel Communications, LLC |
||||||||
2,806,501 | Term Loan, 2.25%, 11/05/13 |
2,656,325 | ||||||
Charter Communications
Operating, LLC |
||||||||
3,984,798 | New Term Loan, 6.25%,
03/06/14 (b) |
3,766,869 | ||||||
19,954,487 | ||||||||
CHEMICALS 2.0% | ||||||||
Solutia, Inc. |
||||||||
4,442,581 | Term Loan, 7.25%, 02/28/14 |
4,514,795 | ||||||
Texas Petrochemical, LP |
||||||||
748,490 | Incremental Term Loan B,
2.81%, 06/27/13 (b) |
619,376 | ||||||
2,217,541 | Term B Loan,
2.81%, 06/27/13 (b) |
1,835,015 | ||||||
Tronox Worldwide, LLC |
||||||||
1,910,160 | Revolving Credit Loan, 5.93%,
11/28/10 (e) |
1,700,042 | ||||||
8,669,228 | ||||||||
Principal Amount ($) |
Value ($) | |||||||
DIVERSIFIED MEDIA 5.7% | ||||||||
Cedar Fair, LP |
||||||||
388,934 | U.S. Term B Loan,
4.25%, 08/30/14 |
379,049 | ||||||
107,269 | U.S. Term Loan,
2.25%, 08/30/12 |
103,582 | ||||||
Cengage Learning Acquisitions, Inc. |
||||||||
3,491,094 | Term Loan, 2.75%, 07/03/14 (b) |
3,138,493 | ||||||
Cydcor, Inc. |
||||||||
7,523,483 | First Lien Tranche B Term
Loan, 9.00%, 02/05/13
|
7,072,074 | ||||||
3,000,000 | Second Lien Tranche B Term
Loan, 12.00%, 02/05/14 (c) |
2,597,400 | ||||||
DTN, Inc. |
||||||||
1,654,530 | Tranche C Term Loan, 5.29%, 03/10/13
|
1,600,758 | ||||||
Endurance Business Media, Inc. |
||||||||
3,000,000 | Second Lien Term Loan,
11.25%, 01/26/14 (f) |
903,750 | ||||||
Harland Clarke Holdings Corp. |
||||||||
4,944,809 | Tranche B Term Loan, 2.78%,
06/30/14 |
4,168,474 | ||||||
Metro-Goldwyn-Mayer, Inc. |
||||||||
6,181,268 | Tranche B Term Loan,
20.50%, 04/09/12 |
3,547,368 | ||||||
2,925,000 | Tranche B-1 Term Loan,
20.50%, 04/09/12 |
1,678,628 | ||||||
25,189,576 | ||||||||
ENERGY 2.8% | ||||||||
Alon USA Energy, Inc. |
||||||||
215,000 | Edington Facility,
2.50%, 08/05/13 |
177,644 | ||||||
1,720,000 | Paramount Facility,
2.50%, 08/05/13 |
1,421,150 | ||||||
Coffeyville Resources, LLC |
||||||||
302,938 | Funded Letter of Credit,
8.50%, 12/28/10 (b) |
304,074 | ||||||
2,423,221 | Tranche D Term Loan,
8.50%, 12/30/13 (b) |
2,432,309 | ||||||
Venoco, Inc. |
||||||||
9,340,080 | Second Lien Loan, 4.25%,
05/07/14 |
7,993,567 | ||||||
12,328,744 | ||||||||
FINANCIAL 0.4% | ||||||||
HUB International Ltd. |
||||||||
183,054 | Delayed Draw Term Loan,
2.75%, 06/13/14 |
165,207 | ||||||
814,396 | Initial Term Loan,
2.75%, 06/13/14 |
734,993 | ||||||
Nuveen Investments, Inc. |
||||||||
1,000,000 | Second Lien Term Loan,
07/31/15 (b) |
1,003,330 | ||||||
1,903,530 | ||||||||
INVESTMENT PORTFOLIO (continued) | ||
As of September 30, 2009 (unaudited) | Highland Credit Strategies Fund |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (continued) | ||||||||
FOOD AND DRUG 0.4% | ||||||||
Rite Aid Corp. |
||||||||
997,468 | Tranche 2 Term Loan,
06/04/14 (b) |
880,266 | ||||||
987,508 | Tranche 3 Term Loan,
06/04/14 (b) |
941,224 | ||||||
1,821,490 | ||||||||
FOOD/TOBACCO 3.8% | ||||||||
Aramark Corp. |
||||||||
238,939 | Facility Letter of Credit,
2.25%, 01/26/14 |
223,462 | ||||||
3,641,591 | U.S. Term Loan,
2.16%, 01/26/14 |
3,405,707 | ||||||
DS Waters of America, Inc. |
||||||||
1,833,889 | Term Loan, 2.54%, 10/29/12 |
1,687,178 | ||||||
DSW Holdings, Inc. |
||||||||
3,000,000 | Term Loan, 03/02/12 (b) |
2,580,000 | ||||||
PBM Holdings, Inc. |
||||||||
1,750,543 | Term Loan, 2.50%, 09/28/12 |
1,654,263 | ||||||
Pierre Foods Inc. |
||||||||
1,000,000 | Term Loan, 09/30/14 (b) |
667,500 | ||||||
Sturm Foods, Inc. |
||||||||
1,000,000 | First Lien Initial Term Loan,
3.06%, 01/31/14 |
925,000 | ||||||
2,562,500 | Second Lien Inital Term Loan,
6.56%, 07/31/14 |
2,165,313 | ||||||
WM. Bolthouse Farms, Inc. |
||||||||
1,053,726 | First Lien Term Loan,
2.56%, 12/16/12 |
1,032,657 | ||||||
2,500,000 | Second Lien Term Loan,
5.75%, 12/16/13 |
2,275,000 | ||||||
16,616,080 | ||||||||
FOREST PRODUCTS/CONTAINERS 1.0% | ||||||||
Boise Paper Holdings, LLC |
||||||||
2,500,000 | Second Lien Term Loan,
9.25%, 02/23/15 |
2,493,750 | ||||||
Newark Group, Inc. |
||||||||
1,480,493 | Credit-Link Letter of Credit,
6.77%, 03/09/13 |
1,073,357 | ||||||
362,252 | Term Loan,
10.75%, 03/09/13 |
262,633 | ||||||
Tegrant Corp. |
||||||||
1,000,000 | Second Lien Term Loan,
5.79%, 03/08/15 |
358,335 | ||||||
4,188,075 | ||||||||
GAMING/LEISURE 10.2% | ||||||||
Blockbuster, Inc. |
||||||||
2,000,000 | Revolver, 13.50%, 09/30/10 |
1,995,000 | ||||||
Drake Hotel Acquisition |
||||||||
6,041,285 | B Note 1, 12.90% (c) (f) |
| ||||||
Fontainebleau Florida Hotel, LLC |
||||||||
18,500,000 | Tranche C Term Loan, 8.00%,
06/06/12 |
10,637,500 |
Principal Amount ($) |
Value ($) | |||||||
GAMING/LEISURE (continued) | ||||||||
Ginn LA Conduit Lender, Inc. |
||||||||
3,937,249 | First Lien Tranche A Credit-Linked Deposit, 5.87%, 06/08/11 (f) |
334,666 | ||||||
8,438,203 | First Lien Tranche B Term Loan, 6.20%, 06/08/11 (f) |
717,247 | ||||||
Green Valley Ranch Gaming, LLC |
||||||||
1,000,000 | Second Lien Term Loan, 3.55%, 08/16/14 |
277,500 | ||||||
Lake at Las Vegas Joint Venture |
||||||||
8,162,813 | Revolving Loan Credit-Linked
Deposit Account,
14.35%, 06/20/12 (f) |
448,996 | ||||||
34,125,359 | Term Loan, DIP,
9.75%, 07/16/10 |
18,768,948 | ||||||
85,683,610 | Term Loan, PIK,
14.35%, 06/20/12 (f) |
3,541,476 | ||||||
Las Vegas Sands, LLC |
||||||||
1,061,828 | Delayed Draw I Term Loan,
05/23/14 (b) |
893,114 | ||||||
5,255,376 | Tranche B Term Loan,
05/23/14 (b) |
4,420,350 | ||||||
VML US Finance, LLC |
||||||||
597,622 | Term B Delayed Draw Project Loan,
5.79%, 05/25/12 |
572,597 | ||||||
1,034,640 | Term B Funded Project Loan,
5.79%, 05/27/13 |
991,315 | ||||||
WAICCS Las Vegas 3 LLC |
||||||||
7,000,000 | Second Lien Term Loan,
13.25% (f) |
1,032,500 | ||||||
44,631,209 | ||||||||
HEALTHCARE 3.0% | ||||||||
Aveta, Inc. |
||||||||
2,609,404 | MMM Original Term Loan,
5.50%, 08/22/11 |
2,491,980 | ||||||
387,639 | NAMM New Term Loan,
5.50%, 08/22/11 |
370,195 | ||||||
698,508 | NAMM Original Term Loan,
5.50%, 08/22/11 |
667,075 | ||||||
2,138,466 | PHMC Acquisition Term Loan,
5.50%, 08/22/11 |
2,042,235 | ||||||
LifeCare Holdings |
||||||||
5,366,612 | Term Loan, 4.74%, 08/10/12 |
4,306,706 | ||||||
Talecris Biotherapeutics Holdings Corp. |
||||||||
2,909,210 | First Lien Term Loan, 3.96%,
12/06/13 |
2,863,142 | ||||||
Triumph Healthcare Second Holdings, LLC |
||||||||
500,000 | Second Lien Term Loan,
8.46%, 07/28/14 |
412,500 | ||||||
13,153,833 | ||||||||
HOUSING 4.4% | ||||||||
Custom Building Products, Inc. |
||||||||
3,334,411 | First Lien Term Loan,
8.00%, 10/29/11 |
3,255,218 | ||||||
3,981,250 | Second Lien Term Loan,
10.75%, 04/20/12 |
3,841,906 |
INVESTMENT PORTFOLIO (continued) | ||
As of September 30, 2009 (unaudited) | Highland Credit Strategies Fund |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (continued) | ||||||||
HOUSING (continued) | ||||||||
LBREP/L-Suncal Master I, LLC |
||||||||
3,190,581 | First Lien Term Loan, 8.59%,
01/18/10 (f) |
95,717 | ||||||
November 2005 Land Investors, LLC |
||||||||
2,522,724 | Second Lien Term Loan,
12.68%, 05/09/12 (f) |
182,299 | ||||||
Pacific Clarion, LLC |
||||||||
24,752,866 | Term Loan, 15.00%, 01/23/10
(c) (f) (g) |
3,804,342 | ||||||
Roofing Supply Group, LLC |
||||||||
3,554,742 | Term Loan, 7.25%, 08/24/13 |
3,080,771 | ||||||
Westgate Investments, LLC |
||||||||
8,016,093 | Senior Secured Loan, PIK,
15.00%, 09/25/10 (f) (g) |
3,890,755 | ||||||
2,336,387 | Senior Unsecured Loan, PIK,
18.00%, 09/25/12 (f) |
561,578 | ||||||
3,743,195 | Third Lien Term Loan, PIK,
18.00%, 06/30/15 (f) (g) |
535,839 | ||||||
Weststate Land Partners, LLC |
||||||||
2,000,000 | Second Lien Term Loan,
10.99%, 05/01/18 (f) |
60,000 | ||||||
19,308,425 | ||||||||
INFORMATION TECHNOLOGY 2.0% | ||||||||
Kronos, Inc. |
||||||||
2,941,642 | First Lien Initial Term Loan,
2.28%, 06/11/14 |
2,773,969 | ||||||
Serena Software, Inc. |
||||||||
1,696,000 | Term Loan, 2.32%, 03/11/13 |
1,577,280 | ||||||
Sungard Data Systems, Inc. |
||||||||
1,994,962 | Incremental Term Loan,
02/28/14 (b) |
2,007,012 | ||||||
Verint Systems, Inc. |
||||||||
2,483,246 | Term Loan, 3.50%, 05/25/14 |
2,261,306 | ||||||
8,619,567 | ||||||||
MANUFACTURING 1.4% | ||||||||
Acument Global Technologies, Inc. |
||||||||
7,844,147 | Term Loan, 14.00%, 08/11/13 |
4,451,553 | ||||||
Matinvest 2 SAS |
||||||||
1,091,124 | Mezzanine A USD Facility,
PIK, 4.25%, 06/22/16 |
163,669 | ||||||
United Central Industrial Supply Co., LLC |
||||||||
1,493,955 | Term Loan, 2.50%, 03/31/12 |
1,419,257 | ||||||
6,034,479 | ||||||||
METALS/MINERALS 1.6% | ||||||||
Euramax International, Inc. |
||||||||
1,454,449 | Domestic Term Loan (Cash Pay),
10.00%, 06/29/13 |
824,185 | ||||||
1,427,699 | Domestic Term Loan, PIK,
14.00%, 06/29/13 |
809,027 |
Principal Amount ($) |
Value ($) | |||||||
METALS/MINERALS (continued) | ||||||||
Murray Energy Corp. |
||||||||
1,994,535 | First Lien Tranche B Term Loan,
3.25%, 01/28/10 |
1,954,644 | ||||||
3,490,872 | Second Lien Term Loan,
8.75%, 01/28/11 |
3,412,328 | ||||||
7,000,184 | ||||||||
RETAIL 6.2% | ||||||||
Blockbuster, Inc. |
||||||||
2,972,067 | Tranche B Term Loan, 4.57%,
08/20/11 |
2,952,258 | ||||||
Burlington Coat Factory
Warehouse Corp. |
||||||||
5,958,670 | Term Loan, 2.57%, 05/28/13
(b) |
5,469,195 | ||||||
Dollar General Corp. |
||||||||
3,491,250 | Tranche B-2 Term Loan,
3.00%, 07/07/14 |
3,376,580 | ||||||
Michaels Stores, Inc. |
||||||||
3,833,333 | Replacement Loan, 2.54%,
10/31/13 |
3,428,706 | ||||||
Revlon Consumer Products
Corp. |
||||||||
6,125,000 | Term Loan, 4.34%, 01/15/12 |
5,946,364 | ||||||
Sally Holdings, LLC |
||||||||
2,919,263 | Term B Loan, 2.55%, 11/16/13 |
2,789,721 | ||||||
Spirit Finance Corp. |
||||||||
6,500,000 | Term Loan, 3.48%, 08/01/13 |
3,233,750 | ||||||
27,196,574 | ||||||||
SERVICE 5.5% | ||||||||
Asurion Corp. |
||||||||
2,750,000 | First Lien Term Loan, 3.25%,
07/03/14 |
2,629,124 | ||||||
CCS, Inc. |
||||||||
2,144,543 | Term Loan, 11/14/14 (b) |
1,712,075 | ||||||
CDW Corp. |
||||||||
2,998,634 | Term Loan, 3.24%, 10/10/14 |
2,455,761 | ||||||
First Data Corp. |
||||||||
1,492,386 | Initial Tranche B-1 Term Loan,
3.00%, 09/24/14 |
1,288,533 | ||||||
NES Rentals Holdings, Inc. |
||||||||
3,224,820 | Second Lien Permanent Term
Loan, 7.00%, 07/20/13 |
2,088,071 | ||||||
Penhall Holding Co. |
||||||||
9,508,197 | Term Loan, PIK, 10.00%,
04/01/12 |
522,950 | ||||||
Sabre, Inc. |
||||||||
7,000,000 | Initial Term Loan, 2.64%,
09/30/14 |
6,182,610 | ||||||
Safety-Kleen Systems, Inc. |
||||||||
1,627,119 | Synthetic Letter of Credit,
2.81%, 08/02/13 |
1,496,949 | ||||||
6,065,763 | Term B Loan,
2.81%, 08/02/13 |
5,580,502 | ||||||
23,956,575 | ||||||||
TELECOMMUNICATIONS 2.0% | ||||||||
Avaya, Inc. |
||||||||
2,992,316 | Term Loan, 3.14%, 10/24/14
(b) |
2,423,776 |
INVESTMENT PORTFOLIO (continued) |
||
As of September 30, 2009 (unaudited)
|
Highland Credit Strategies Fund |
Principal Amount ($) |
Value ($) | |||||||
US Senior Loans (continued) | ||||||||
TELECOMMUNICATIONS (continued) | ||||||||
Consolidated Communications, Inc. |
||||||||
1,000,000 | Delayed Draw Term Loan, 2.75%, 12/31/14 |
938,750 | ||||||
Level 3 Financing, Inc. |
||||||||
6,000,000 | Tranche A Term Loan, 2.68%, 03/13/14 (b) |
5,335,710 | ||||||
8,698,236 | ||||||||
TRANSPORTATION AUTOMOTIVE 1.5% | ||||||||
BST Safety Textiles Acquisition GMBH |
||||||||
3,498,324 | Second Lien Facility, 16.53% (f) |
104,950 | ||||||
Dana Holding Corp. |
||||||||
1,863,133 | Term Advance, 01/30/15 (b) |
1,671,649 | ||||||
Motor Coach Industries International, Inc. |
||||||||
5,970,085 | Second Lien Tranche A, 11.75%, 06/30/12 (c) |
3,119,967 | ||||||
3,678,190 | Second Lien Tranche B, 11.75%, 06/30/12 (c) |
1,922,222 | ||||||
6,818,788 | ||||||||
TRANSPORTATION LAND TRANSPORTATION 0.8% | ||||||||
New Century Transportation, Inc. |
||||||||
2,057,879 | Term Loan, 5.00%, 08/14/12 |
1,800,644 | ||||||
SIRVA Worldwide, Inc. |
||||||||
767,856 | Revolving Credit Loan (Exit Finance), 3.43%, 05/12/12 (e) |
345,535 | ||||||
3,276,830 | Second Lien Term Loan, PIK, 12.00%, 05/12/15 |
491,525 | ||||||
1,519,826 | Term Loan (Exit Finance), 9.50%, 05/12/12 |
759,913 | ||||||
3,397,617 | ||||||||
UTILITY 5.3% | ||||||||
Calpine Corp. |
||||||||
1,994,924 | First Priority Term Loan, 3.17%, 03/29/14 |
1,832,258 | ||||||
Coleto Creek Power, LP |
||||||||
184,651 | First Lien Synthetic Letter of Credit, 3.03%, 06/28/13 |
170,340 | ||||||
2,568,125 | First Lien Term Loan, 3.02%, 06/28/13 |
2,356,255 | ||||||
4,837,500 | Second Lien Term Loan, 4.25%, 06/28/13 |
3,543,469 | ||||||
Entegra TC LLC |
||||||||
10,018,109 | Third Lien Term Loan, PIK, 6.28%, 10/19/15 |
4,424,648 | ||||||
GBGH, LLC |
||||||||
2,202,643 | First Lien Term Loan, 4.00%, 06/09/13 (c) |
1,785,046 | ||||||
685,480 | Second Lien Term Loan, 12.00%, 06/09/14 (c) |
513,178 |
Principal Amount ($) |
Value ($) | |||||||
UTILITY (continued) | ||||||||
NRG Energy, Inc. |
||||||||
1,393,978 | Credit-Linked Deposit, 0.18%, 02/01/13 |
1,324,014 | ||||||
2,595,506 | Term Loan, 2.02%, 02/01/13 |
2,465,238 | ||||||
Texas Competitive Electric Holdings Co., LLC |
||||||||
5,979,670 | Initial Tranche B-2 Term Loan, 3.75%, 10/10/14 |
4,776,949 | ||||||
23,191,395 | ||||||||
WIRELESS COMMUNICATIONS 0.8% | ||||||||
Digicel International Finance Ltd. |
||||||||
833,350 | Tranche A Term Loan, 2.81%, 03/30/12 |
806,266 | ||||||
MetroPCS Wireless, Inc. |
||||||||
2,992,288 | Tranche B Term Loan, 2.66%, 11/03/13 |
2,871,564 | ||||||
3,677,830 | ||||||||
Total US Senior Loans (Cost $520,931,857) |
328,100,720 | |||||||
Principal Amount |
||||||||
Foreign Denominated Senior Loans (a) 3.9% | ||||||||
AUSTRALIA 3.9% | ||||||||
AUD | ||||||||
SMG H5 Property Ltd. |
||||||||
22,885,307 | Facility A Term Loan, 5.99%, 12/24/12 |
16,965,839 | ||||||
Total Foreign Denominated Senior Loans (Cost $18,578,536) |
16,965,839 | |||||||
Principal Amount ($) |
||||||||
Asset-Backed Securities (h) 3.4% | ||||||||
AB CLO, Ltd. |
||||||||
2,000,000 | Series 2007-1A, Class C, 2.36%, 04/15/21 (c) (i) |
983,712 | ||||||
ACA CLO, Ltd. |
||||||||
4,000,000 | Series 2006-2A, Class B, 1.23%, 01/20/21 (i) |
1,600,000 | ||||||
2,000,000 | Series 2007-1A, Class D, 2.86%, 06/15/22 (i) |
310,000 | ||||||
Babson CLO, Ltd. |
||||||||
1,014,193 | Series 2007-2A, Class D, 2.21%, 04/15/21 (f) (i) |
162,271 | ||||||
Bluemountain CLO, Ltd. |
||||||||
1,000,000 | Series 2007-3A, Class D, 1.69%, 03/17/21 (c) (i) |
479,643 | ||||||
Cent CDO, Ltd. |
||||||||
2,000,000 | Series 2007-15A, Class C, 2.55%, 03/11/21 (i) |
468,600 | ||||||
Columbus Nova CLO, Ltd. |
||||||||
2,000,000 | Series 2007- 1A, Class D, 1.79%, 05/16/19 (i) |
645,000 |
4
INVESTMENT PORTFOLIO (continued) |
||
As of September 30, 2009 (unaudited)
|
Highland Credit Strategies Fund |
Principal Amount ($) |
Value ($) | |||||||
Asset-Backed Securities (continued) | ||||||||
Commercial Industrial Finance Corp. |
||||||||
1,000,000 | Series 2006-1BA, Class B2L, 4.29%, 12/22/20 |
114,100 | ||||||
962,970 | Series 2006-2A, Class B2L, 4.36%, 03/01/21 (i) |
94,371 | ||||||
Cornerstone CLO, Ltd. |
||||||||
2,500,000 | Series 2007-1A, Class C, 2.91%, 07/15/21 (i) |
375,000 | ||||||
Goldman Sachs Asset Management CLO PLC |
||||||||
4,139,370 | Series 2007-1A, Class D, 3.23%, 08/01/22 (f) (i) |
351,846 | ||||||
1,052,397 | Series 2007-1A, Class E, 5.48%, 08/01/22 (f) (i) |
36,834 | ||||||
Greywolf CLO, Ltd |
||||||||
1,000,000 | Series 2007-1A, Class D, 1.93%, 02/18/21 (f) (i) |
133,900 | ||||||
1,025,280 | Series 2007-1A, Class E, 4.38%, 02/18/21 (f) (i) |
102,528 | ||||||
GSC Partners CDO Fund, Ltd. |
||||||||
3,000,000 | Series 2007-8A, Class C, 1.99%, 04/17/21 (i) |
601,800 | ||||||
Gulf Stream Sextant CLO, Ltd. |
||||||||
1,013,186 | Series 2007-1A, Class D, 2.69%, 06/17/21 (f) (i) |
263,428 | ||||||
Hillmark Funding |
||||||||
2,000,000 | Series 2006-1A, Class C, 2.12%, 05/21/21 (i) |
580,000 | ||||||
612,103 | Series 2006-1A, Class D, 4.02%, 05/21/21 (i) |
6,672 | ||||||
Inwood Park CDO, Ltd. |
||||||||
1,000,000 | Series 2006-1A, Class C, 1.21%, 01/20/21 (i) |
600,000 | ||||||
1,000,000 | Series 2006-1A, Class D, 1.91%, 01/20/21 (i) |
530,000 | ||||||
Limerock CLO |
||||||||
2,045,095 | Series 2007-1A, Class D, 3.85%, 04/24/23 (f) (i) |
81,804 | ||||||
Madison Park Funding Ltd. |
||||||||
2,000,000 | Series 2007-5A, Class C, 1.84%, 02/26/21 (i) |
417,000 | ||||||
1,500,000 | Series 2007-5A, Class D, 3.89%, 02/26/21 (i) |
319,800 | ||||||
Marquette US/European CLO, PLC |
||||||||
1,000,000 | Series 2006-1A, Class D1, 2.26%, 07/15/20 (i) |
180,000 | ||||||
Navigator CDO, Ltd. |
||||||||
996,136 | Series 2006-2A, Class D, 3.79%, 09/20/20 (f) (i) |
209,189 | ||||||
Ocean Trails CLO |
||||||||
1,000,000 | Series 2006-1A, Class D, 4.26%, 10/12/20 (i) |
93,700 | ||||||
2,500,000 | Series 2007-2A, Class C, 2.86%, 06/27/22 (i) |
300,000 | ||||||
PPM Grayhawk CLO, Ltd. |
||||||||
1,000,000 | Series 2007-1A, Class C, 1.91%, 04/18/21 (i) |
250,000 | ||||||
957,665 | Series 2007-1A, Class D, 4.11%, 04/18/21 (f) (i) |
143,650 |
Principal Amount ($) |
Value ($) | |||||||
Primus CLO, Ltd. |
||||||||
5,088,701 | Series 2007-2A, Class D, 2.91%, 07/15/21 (f) (i) |
508,870 | ||||||
2,059,200 | Series 2007-2A, Class E, 5.26%, 07/15/21 (f) (i) |
102,960 | ||||||
Rampart CLO, Ltd. |
||||||||
4,000,000 | Series 2006-1A, Class C, 1.96%, 04/18/21 (i) |
851,200 | ||||||
St. James River CLO, Ltd. |
||||||||
2,505,768 | Series 2007-1A, Class E, 4.60%, 06/11/21 (i) |
626,442 | ||||||
Stanfield Daytona CLO, Ltd. |
||||||||
1,200,000 | Series 2007-1A, Class B1L, 1.85%, 04/27/21 (i) |
216,000 | ||||||
Stanfield McLaren CLO, Ltd. |
||||||||
4,000,000 | Series 2007-1A, Class B1L, 2.78%, 02/27/21 (i) |
740,000 | ||||||
Stone Tower CLO, Ltd. |
||||||||
2,000,000 | Series 2007-6A, Class C, 1.86%, 04/17/21 (i) |
500,000 | ||||||
Venture CDO, Ltd. |
||||||||
2,000,000 | Series 2007-9A, Class D, 4.68%, 10/12/21 (i) |
610,000 | ||||||
Westbrook CLO, Ltd. |
||||||||
1,000,000 | Series 2006-1A, Class D, 1.99%, 12/20/20 (i) |
222,600 | ||||||
Total Asset-Backed Securities (Cost $49,932,104) |
14,812,920 | |||||||
Principal Amount | ||||||||
IRELAND 0.1% | ||||||||
EUR | ||||||||
Static Loan Funding |
||||||||
2,000,000 | Series 2007-1X, Class D, 5.65%, 07/31/17 (i) |
306,959 | ||||||
2,000,000 | Series 2007-1X, Class E, 8.15%, 07/31/17 (i) |
219,257 | ||||||
Total Foreign Asset-Backed Securities (Cost $5,663,280) |
526,216 | |||||||
Principal Amount ($) |
||||||||
Corporate Notes and Bonds 27.1% | ||||||||
AEROSPACE 0.5% | ||||||||
Delta Air Lines, Inc. |
||||||||
5,000,000 | 8.00%, 06/30/23 (f) |
32,500 | ||||||
7,000,000 | 8.30%, 12/15/29 (f) |
79,100 | ||||||
1,000,000 | 9.50%, 09/15/14 (i) |
1,005,000 | ||||||
Northwest Airlines Corp. |
||||||||
2,500,000 | 8.88%, 12/30/27 (f) |
8,000 | ||||||
Northwest Airlines, Inc. |
||||||||
1,498,064 | 9.06%, 05/20/12 |
1,138,529 | ||||||
2,263,129 | ||||||||
5
INVESTMENT PORTFOLIO (continued) |
||
As of September 30, 2009 (unaudited)
|
Highland Credit Strategies Fund |
Principal Amount ($) |
Value ($) | |||||||
Corporate Notes and Bonds (continued) | ||||||||
BROADCASTING - 0.0% | ||||||||
Young Broadcasting, Inc. |
||||||||
3,065,000 | 10.00%, 03/01/11 (f) (j) |
3,831 | ||||||
CABLE/WIRELESS VIDEO - 0.5% | ||||||||
Dish DBS Corp. |
||||||||
2,000,000 | 7.88%, 09/01/19 (i) |
2,030,000 | ||||||
CHEMICALS - 0.6% | ||||||||
Tronox Worldwide LLC |
||||||||
6,750,000 | 9.50%, 12/01/12 (f) |
2,632,500 | ||||||
DIVERSIFIED MEDIA - 0.8% | ||||||||
Baker & Taylor, Inc. |
||||||||
8,300,000 | 11.50%, 07/01/13 (i) |
3,340,750 | ||||||
FINANCIAL - 0.8% | ||||||||
HUB International Holdings, Inc. |
||||||||
2,200,000 | 10.25%, 06/15/15 (i) |
2,059,750 | ||||||
Penhall International Corp. |
||||||||
3,500,000 | 12.00%, 08/01/14 (i) |
1,697,500 | ||||||
3,757,250 | ||||||||
FOOD/TOBACCO - 0.5% | ||||||||
Dole Foods Company, Inc. |
||||||||
2,000,000 | 8.00%, 10/01/16 (i) |
2,017,500 | ||||||
FOREST PRODUCTS/CONTAINERS - 0.0% | ||||||||
NewPage Holding Corp., PIK |
||||||||
327,135 | 8.58%, 11/01/13 (h) |
67,063 | ||||||
HEALTHCARE - 17.4% | ||||||||
Argatroban Royalty Sub LLC |
||||||||
10,585,429 | 18.50%, 09/21/14 (i) |
9,526,886 | ||||||
Azithromycin Royalty Sub LLC |
||||||||
15,000,000 | 16.00%, 05/15/19 (i) |
12,000,000 | ||||||
Celtic Pharma Phinco B.V., PIK |
||||||||
48,537,355 | 17.00%, 06/15/12 (i) |
31,549,281 | ||||||
Cinacalcet Royalty Sub LLC |
||||||||
270,520 | 8.00%, 03/30/17 (i) |
284,046 | ||||||
Fosamprenavir Pharma |
||||||||
4,066,637 | 15.50%, 06/15/18 (i) |
3,659,973 | ||||||
Molecular Insight Pharmaceuticals,
Inc., PIK |
||||||||
3,870,629 | 9.17%, 11/01/12 (h) (i) |
3,096,503 | ||||||
Pharma IV (Eszopiclone) |
||||||||
2,356,251 | 12.00%, 06/30/14 (i) |
2,002,813 | ||||||
Pharma V (Duloxetine) |
||||||||
1,040,000 | 13.00%, 10/15/13 (i) |
998,400 | ||||||
TCD Pharma |
||||||||
15,500,000 | 16.00%, 04/15/24 (i) |
13,330,000 | ||||||
76,447,902 | ||||||||
INFORMATION TECHNOLOGY - 0.1% | ||||||||
MagnaChip Semiconductor |
||||||||
13,000,000 | 0.00%, 12/15/11 (f) (h) (j) |
40,300 | ||||||
New Holding, Inc. |
||||||||
477,689 | 15.00%, 03/12/13 (c) (f) |
286,613 | ||||||
326,913 | ||||||||
Principal Amount ($) |
Value ($) | |||||||
RETAIL - 0.2% | ||||||||
Nebraska Book Co., Inc. |
||||||||
1,000,000 | 10.00%, 12/01/11 (i) |
995,000 | ||||||
TRANSPORTATION AUTOMOTIVE - 2.2% | ||||||||
American Tire Distributors Holdings, Inc. |
||||||||
11,500,000 | 6.85%, 04/01/12 (h) |
9,602,500 | ||||||
Delphi Corp. |
||||||||
3,750,000 | 6.50% (f) |
46,875 | ||||||
3,933,000 | 6.55% (f) |
49,163 | ||||||
8,334,000 | 7.13%, 05/01/29 (f) (j) |
104,175 | ||||||
9,802,713 | ||||||||
UTILITY - 0.4% | ||||||||
Kiowa Power |
||||||||
2,000,000 | 5.74%, 03/30/21 (i) |
1,876,262 | ||||||
WIRELESS COMMUNICATIONS - 3.1% | ||||||||
Digicel Group, Ltd., PIK |
||||||||
14,492,000 | 9.13%, 01/15/15 (i) |
13,622,480 | ||||||
Total Corporate Notes and Bonds (Cost $170,955,793) |
119,183,293 | |||||||
Claims - 0.0% | ||||||||
RETAIL - 0.0% | ||||||||
Home Interiors & Gifts, Inc. |
||||||||
7,106,867 | Proof of Claims (c) (f) (k) |
10,660 | ||||||
Total Claims (Cost $5,739,941) |
10,660 | |||||||
Shares | ||||||||
Common Stocks (k) - 8.6% | ||||||||
AEROSPACE - 0.0% | ||||||||
3,948 | Delta Air Lines, Inc. |
35,374 | ||||||
BROADCASTING - 0.0% | ||||||||
2,010,616 | Communications Corp. of America (c) (d) |
| ||||||
57,757 | Gray Television, Inc., Class A |
133,996 | ||||||
133,996 | ||||||||
DIVERSIFIED MEDIA - 0.2% | ||||||||
46,601 | American Banknote Corp. (c) |
736,762 | ||||||
HEALTHCARE - 7.1% | ||||||||
24,000,000 | Genesys Ventures IA, LP (c) (d) |
|||||||
30,960,000 | ||||||||
HOUSING - 0.0% | ||||||||
Westgate Investments LLC, |
||||||||
8 | Class B-1 (c) |
| ||||||
INFORMATION TECHNOLOGY - 0.3% | ||||||||
9,342 | New Holding, Inc. (c) |
1,216,795 | ||||||
6
INVESTMENT PORTFOLIO (continued) |
||
As of September 30, 2009 (unaudited)
|
Highland Credit Strategies Fund |
Shares | Value ($) | |||||||
Common Stocks (continued) | ||||||||
METALS/MINERALS 0.1% | ||||||||
7,579 | Euramax International, Inc. (c) |
303,615 | ||||||
RETAIL 0.2% | ||||||||
105,092 | Sally Beauty Holdings, Inc. |
747,204 | ||||||
SERVICE 0.2% | ||||||||
200,964 | Safety-Kleen Systems, Inc. (c) |
1,105,304 | ||||||
TELECOMMUNICATIONS 0.0% | ||||||||
70,342 | Micadent PLC (c) |
| ||||||
1 | Viatel Holding (Bermuda) Ltd. |
10 | ||||||
10 | ||||||||
TRANSPORTATION AUTOMOTIVE 0.0% | ||||||||
1,544,148 | Delphi Corp. (j) |
98,825 | ||||||
TRANSPORTATION LAND TRANSPORTATION 0.2% | ||||||||
18,030 | SIRVA Worldwide, Inc. (c) |
778,716 | ||||||
UTILITY 0.0% | ||||||||
81,194 | Entegra TC LLC |
71,045 | ||||||
4,365 | GBGH LLC (c) |
| ||||||
71,045 | ||||||||
WIRELESS COMMUNICATIONS 0.3% | ||||||||
1,772,064 | ICO Global Communications Holding Ltd. |
1,523,975 | ||||||
Total Common Stocks (Cost $62,661,608) |
37,711,621 | |||||||
Preferred Stocks (k) 3.8% | ||||||||
1,000,000 | Adelphia Recovery Trust |
5,000 | ||||||
2,150,537 | Dfine, Inc., Series D (c) |
16,537,630 | ||||||
Total Preferred Stocks
(Cost $10,934,997) |
16,542,630 | |||||||
Units | ||||||||
Warrants (k) 0.3% | ||||||||
20,000 | Clearwire Corp., expires
08/15/10 |
1,800 | ||||||
1,271 | GBGH LLC, expires 06/09/14 (c) |
| ||||||
1,000 | Grande Communications, expires
04/01/11 (c) |
| ||||||
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 |
1,287,554 | ||||||
Total Warrants (Cost $10) |
1,289,354 | |||||||
Value ($) | ||||
Total Investments 122.0% (Cost of $845,398,126) (l) |
535,143,253 | |||
Other Assets & Liabilities, Net (22.0)% |
(96,344,475 | ) | ||
Net Assets applicable to Common
Shareholders 100.0% |
$ | 438,798,778 | ||
Shares | ||||||||
RETAIL 0.5% | ||||||||
135,778 | Ethan Allen Interiors, Inc. |
2,240,337 | ||||||
Total Investments sold short (Proceeds $1,813,710) |
$ | 2,240,337 | ||||||
(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 spread. (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, 2009. 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 remaining actual maturity may be substantially less than the stated maturity shown. | |
(b) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. | |
(c) | 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 $107,409,312, or 24.5% of net assets, were fair valued under the fair value procedures as of September 30, 2009. |
7
INVESTMENT PORTFOLIO (continued) | ||
As of September 30, 2009 (unaudited) | 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. The Fund held at least five percent of the outstanding voting stock of the following companies during the period ended September 30, 2009. |
Par Value | ||||||||||||||||
at | Shares at | Market Value | ||||||||||||||
09/30/09 | 09/30/09 | 12/31/08 | 09/30/09 | |||||||||||||
ComCorp
Broadcasting, Inc.
(Senior Loans)*(1) |
$ | 37,773,968 | | $ | 5,807,308 | $ | 26,736,414 | |||||||||
Communications
Corp of America
(Common Stock)
(2) |
| 2,010,616 | | | ||||||||||||
Genesys Ventures
IA, LP (Common
Stock) (3) |
| 24,000,000 | 10,157,000 | 30,960,000 | ||||||||||||
$ | 37,773,968 | 26,010,616 | $ | 15,964,308 | $ | 57,696,414 | ||||||||||
* | Company is a wholly owned subsidiary of Communications Corp. of America. | |
(1) | On 6/12/09, $18,849,521 par value of the security was acquired through the HCD reorganization (See Note 1 and 13 of the most recent semi-annual report). | |
(2) | On 6/12/09, $1,256,635 shares of the security were acquired through the HCD reorganization (See Note 1 and 13 of the most recent semi-annual report). | |
(3) | On 6/12/09, $12,000,000 shares of the security were acquired through the HCD reorganization (See Note 1 and 13 of the most recent semi-annual report). |
(e) | Senior Loan assets have additional unfunded loan commitments. As of September 30, 2009, the Fund had unfunded loan commitments, which could be extended at the option of the Borrower, pursuant to the following loan agreements: |
Unfunded Loan | ||||
Borrower | Commitments | |||
Mobileserv Ltd. |
£ | 5,000,000 | ||
Broadstripe, LLC |
$ | 1,411,947 | ||
Sirva Worldwide, Inc. |
1,591,982 | |||
Sorenson Communications, Inc. |
2,000,000 | |||
Tronox Worldwide, LLC |
1,314,866 | |||
$ | 6,318,795 | |||
(f) | The issuer is in default of its payment obligation. Income is not being accrued. | |
(g) | Fixed rate senior loan. | |
(h) | Floating rate asset. The interest rate shown reflects the rate in effect at September 30, 2009. | |
(i) | 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, 2009, these securities amounted to $120,317,180 or 27.4% of net assets. | |
(j) | Securities (or a portion of securites) on loan. As of September 30, 2009, the market value of securities loaned was $231,046. The loaned securities were secured with cash collateral of $949,453. | |
(k) | Non-income producing security. | |
(l) | Cost for U.S. federal income tax purposes is identical to book basis. Unrealized appreciation and depreciation on investments are as follows: |
Gross unrealized appreciation |
$ | 21,259,368 | ||
Gross unrealized depreciation |
(331,514,242 | ) | ||
Net unrealized depreciation |
$ | (310,254,874 | ) | |
AUD | Australian Dollar | |
EUR | Euro Currency | |
GBP | Great Britain Pound | |
CDO | Collateralized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
DIP | Debtor-in-Possession | |
PIK | Payment-in-Kind |
Diversified Media |
3.9 | % | ||
Financial |
0.1 | % | ||
Total |
4.0 | % | ||
Principal | Net | |||||||||||||||
Contracts | Amount | Unrealized | ||||||||||||||
to Buy or | Covered by | Appreciation/ | ||||||||||||||
to Sell | Currency | Contracts | Expiration | (Depreciation) | ||||||||||||
Buy |
EUR | 550,000 | 11/10/09 | $ | 29,926 | |||||||||||
Sell |
EUR | 775,000 | 11/10/09 | (106,878 | ) | |||||||||||
Sell |
EUR | 35,000 | 02/03/10 | (788 | ) | |||||||||||
Sell |
GBP | 1,910,000 | 11/10/09 | (205,699 | ) | |||||||||||
Sell |
GBP | 384,000 | 02/03/10 | 35,255 | ||||||||||||
$ | (248,184 | ) | ||||||||||||||
8
NOTES TO INVESTMENT PORTFOLIO | ||
As of September 30, 2009 (unaudited) | Highland Credit Strategies Fund |
9
NOTES TO INVESTMENT PORTFOLIO (continued) | ||
As of September 30, 2009 (unaudited) | Highland Credit Strategies Fund |
Level 2 | Level 3 | |||||||||||||||
Total Value at | Level 1 | Signficant | Significant | |||||||||||||
September | Quoted | Observable | Unobservable | |||||||||||||
Investments in Securities: | 30, 2009 | Price | Input | Input | ||||||||||||
Common Stocks |
||||||||||||||||
Aerospace |
$ | 35,374 | $ | 35,374 | $ | | $ | | ||||||||
Broadcasting |
133,996 | 133,996 | | | ||||||||||||
Diversified Media |
736,762 | | | 736,762 | ||||||||||||
Healthcare |
30,960,000 | | | 30,960,000 | ||||||||||||
Information Technology |
1,216,795 | | | 1,216,795 | ||||||||||||
Metals/Minerals |
303,615 | | | 303,615 | ||||||||||||
Retail |
747,204 | 747,204 | | | ||||||||||||
Service |
1,105,304 | | | 1,105,304 | ||||||||||||
Telecommunications |
10 | 10 | | | ||||||||||||
Transportation Automotive |
98,825 | | 98,825 | | ||||||||||||
Transportation Land
Transportation |
778,716 | | | 778,716 | ||||||||||||
Utility |
71,045 | | | 71,045 | ||||||||||||
Wireless Communication |
1,523,975 | 1,523,975 | | | ||||||||||||
Preferred Stocks |
16,542,630 | | 5,000 | 16,537,630 | ||||||||||||
Warrants |
1,289,354 | 1,287,554 | | 1,800 | ||||||||||||
Debt |
||||||||||||||||
Senior Loans |
345,066,559 | | 173,208,144 | 171,858,415 | ||||||||||||
Asset-Backed Securities |
15,339,136 | | | 15,339,136 | ||||||||||||
Corporate Debt |
119,183,293 | | 42,448,777 | 76,734,516 | ||||||||||||
Claims |
10,660 | | | 10,660 | ||||||||||||
Short Sales |
||||||||||||||||
Retail |
(2,240,337 | ) | (2,240,337 | ) | | | ||||||||||
Total |
$ | 532,902,916 | $ | 1,487,776 | $ | 215,760,746 | $ | 315,654,394 | ||||||||
Other Financial Instruments* |
||||||||||||||||
Liabilities |
$ | 248,184 | $ | | $ | 248,184 | $ | | ||||||||
Total |
$ | 248,184 | $ | $ | 248,184 | $ | ||||||||||
* | Other financial instruments are derivative instruments not reflected in the Investments Portfolio, such as forwards, which are valued at the unrealized appreciation/ (depreciation) on the investment. |
Level 3 | Net amortization/ | |||||||||||||||||||||||||||||||
Balance as of | Transfers | securities | (accretion) of | Net | Net | Net | Balance as of | |||||||||||||||||||||||||
Assets at Fair Value using | December 31, | in/(out) | acquired from | premium/ | realized | unrealized | purchase/ | September 30, | ||||||||||||||||||||||||
unobservable inputs (Level 3) | 2008 | of Level 3 | reorganization | (discount) | gains/(losses) | gains/(losses) | (sales) * | 2009 | ||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||
Broadcasting |
$ | | $ | | $ | | $ | | $ | | $ | | $ | | $ | | ||||||||||||||||
Diversified Media |
489,310 | | | | | 247,452 | | 736,762 | ||||||||||||||||||||||||
Healthcare |
10,157,000 | 14,880,000 | | | 923,000 | 5,000,000 | 30,960,000 | |||||||||||||||||||||||||
Housing |
| | | | | | | | ||||||||||||||||||||||||
Information Technology |
| | | | | 2,335 | 1,214,460 | 1,216,795 | ||||||||||||||||||||||||
Metals/Minerals |
| | | | | (178,785 | ) | 482,400 | 303,615 | |||||||||||||||||||||||
Service |
502,411 | | | | | 602,893 | | 1,105,304 | ||||||||||||||||||||||||
Transportation
Land Transportation |
585,073 | | | | | 193,643 | | 778,716 | ||||||||||||||||||||||||
Utility |
324,776 | | | | | (253,731 | ) | | 71,045 | |||||||||||||||||||||||
Preferred Stocks |
9,999,997 | | | | | 6,537,633 | | 16,537,630 | ||||||||||||||||||||||||
Warrants |
309,073 | | | | | (307,273 | ) | | 1,800 | |||||||||||||||||||||||
Debt |
||||||||||||||||||||||||||||||||
Senior Loans |
210,106,203 | (1,919,769 | ) | 18,670,689 | 2,123,001 | (79,377,889 | ) | 59,248,709 | (36,992,529 | ) | 171,858,415 | |||||||||||||||||||||
Asset-Backed Securities |
9,437,152 | | | 305,007 | 449,644 | 6,038,254 | (890,921 | ) | 15,339,136 | |||||||||||||||||||||||
Corporate Debt |
118,919,586 | (19,077,935 | ) | 14,718,377 | 196,047 | (24,520,953 | ) | 32,548,894 | (46,049,500 | ) | 76,734,516 | |||||||||||||||||||||
Claims |
1,306,894 | | 25,515 | | 18,824 | (1,200,548 | ) | (140,025 | ) | 10,660 | ||||||||||||||||||||||
Total |
362,137,475 | (20,997,704 | ) | 48,294,581 | 2,624,055 | (103,430,374 | ) | 104,402,476 | (77,376,115 | ) | 315,654,394 | |||||||||||||||||||||
* | Includes any applicable borrowings and/ or paydowns made on revolving credit facilities held in the Funds Investment Portfolio |
10
NOTES TO INVESTMENT PORTFOLIO (continued) | ||
As of September 30, 2009 (unaudited) | Highland Credit Strategies Fund |
11
(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. |
By (Signature and Title)*
|
/s/ R. Joseph Dougherty
|
|||
(principal executive officer) |
By (Signature and Title)*
|
/s/ R. Joseph Dougherty | |||
R. Joseph Dougherty, Chief Executive Officer and President | ||||
(principal executive officer) | ||||
Date 11/18/09 |
||||
By (Signature and Title)*
|
/s/ M. Jason Blackburn | |||
M. Jason Blackburn, Treasurer and Secretary | ||||
(principal financial officer) | ||||
Date 11/18/09 |
* | Print the name and title of each signing officer under his or her signature. |