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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Blackrock Senior High Income Fund, Inc. | NYSE:ARK | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 3.91 | 0.00 | 01:00:00 |
As filed with the Securities and Exchange Commission on September 24, 2013
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
(811-22721) |
|||||
|
||||||
KKR Alternative Corporate Opportunities Fund |
||||||
(Exact name of registrant as specified in charter) |
||||||
|
||||||
KKR Asset Management
|
||||||
(Address of principal executive offices) (Zip code) |
||||||
|
||||||
U.S. Bancorp Fund Services. LLC 615 East Michigan Street Milwaukee, WI 53202 |
||||||
(Name and address of agent for service) |
||||||
|
||||||
Registrants telephone number, including area code: |
(415) 315-3620 |
|
||||
|
||||||
Date of fiscal year end: |
October 31, 2013 |
|
||||
|
||||||
Date of reporting period: |
July 31, 2013 |
|
||||
Item 1. Schedule of Investments.
|
|
Alternative Corporate Opportunities Fund |
July 31, 2013 |
|
|
|
(Unaudited) |
Schedule of Investments
|
|
Par |
|
Value |
|
||
|
|
|
|
|
|
||
HIGH YIELD SECURITIES - 48.4% |
|
|
|
|
|
||
Banks - 0.5% |
|
|
|
|
|
||
SquareTwo Financial Corp. |
|
|
|
|
|
||
11.625%, 04/01/2017 |
|
162,000 |
|
$ |
166,860 |
|
|
|
|
|
|
|
|
||
Capital Goods - 4.9% |
|
|
|
|
|
||
Builders FirstSource, Inc. |
|
|
|
|
|
||
7.625%, 06/01/2021 (a) |
|
313,000 |
|
316,130 |
|
||
Great Lakes Dredge & Dock Corp. |
|
|
|
|
|
||
7.375%, 02/01/2019 |
|
45,000 |
|
46,800 |
|
||
Jeld-Wen Escrow Corp. |
|
|
|
|
|
||
12.250%, 10/15/2017 (a) |
|
295,000 |
|
336,300 |
|
||
Maxim Crane Works LP |
|
|
|
|
|
||
12.250%, 04/15/2015 (a) |
|
347,000 |
|
364,350 |
|
||
New Enterprise Stone & Lime Co., Inc. |
|
|
|
|
|
||
13.000%, 03/15/2018 (a) |
|
444,125 |
|
466,331 |
|
||
|
|
|
|
1,529,911 |
|
||
Consumer Durables & Apparel - 4.3% |
|
|
|
|
|
||
Gibson Guitar Corp. |
|
|
|
|
|
||
8.875%, 08/01/2018 (a) |
|
31,000 |
|
31,853 |
|
||
Hot Topic, Inc. |
|
|
|
|
|
||
9.250%, 06/15/2021 (a) |
|
1,257,000 |
|
1,307,280 |
|
||
|
|
|
|
1,339,133 |
|
||
Consumer Services - 1.1% |
|
|
|
|
|
||
Education Management Corp. |
|
|
|
|
|
||
15.000%, 07/01/2018 (a) |
|
319,921 |
|
340,716 |
|
||
|
|
|
|
|
|
||
Energy - 0.6% |
|
|
|
|
|
||
Gastar Exploration USA, Inc. |
|
|
|
|
|
||
8.625%, 05/15/2018 (a) |
|
179,000 |
|
169,602 |
|
||
|
|
|
|
|
|
||
Health Care Equipment & Services - 0.2% |
|
|
|
|
|
||
CRC Health Group, Inc. |
|
|
|
|
|
||
10.750%, 02/01/2016 |
|
70,000 |
|
70,700 |
|
||
|
|
|
|
|
|
||
Insurance - 4.3% |
|
|
|
|
|
||
Ambac Assurance Corp. |
|
|
|
|
|
||
5.100%, 06/07/2020 (a) |
|
341,000 |
|
310,310 |
|
||
Towergate Finance PLC |
|
|
|
|
|
||
10.500%, 02/15/2019 (a) |
|
GBP |
646,000 |
|
1,026,957 |
|
|
|
|
|
|
1,337,267 |
|
||
Materials - 8.8% |
|
|
|
|
|
||
American Rock Salt Co. LLC |
|
|
|
|
|
||
8.250%, 05/01/2018 (a) |
|
1,020,000 |
|
989,400 |
|
||
Cemex SAB de CV |
|
|
|
|
|
||
9.500%, 06/15/2018 (a) |
|
59,000 |
|
65,933 |
|
||
Cemex Materials LLC |
|
|
|
|
|
||
7.700%, 07/21/2025 (a) |
|
830,000 |
|
821,700 |
|
||
Kerling PLC |
|
|
|
|
|
||
10.625%, 02/01/2017 (a) |
|
EUR |
169,000 |
|
238,882 |
|
|
Kleopatra Acquisition Corp. |
|
|
|
|
|
||
11.000%, 08/15/2017 (a) (d) |
|
EUR |
363,000 |
|
475,674 |
|
|
|
|
Par |
|
Value |
|
||
|
|
|
|
|
|
||
HIGH YIELD SECURITIES - 48.4% (continued) |
|
|
|
|
|
||
Materials - 8.8% (continued) |
|
|
|
|
|
||
Ryerson, Inc. |
|
|
|
|
|
||
9.000%, 10/15/2017 (a) |
|
122,000 |
|
$ |
126,880 |
|
|
|
|
|
|
2,718,469 |
|
||
Media - 6.7% |
|
|
|
|
|
||
Catalina Marketing Corp. |
|
|
|
|
|
||
10.500%, 10/01/2015 (a) |
|
271,000 |
|
275,742 |
|
||
N/A, 11/15/2015 (a) (i) |
|
336,000 |
|
269,220 |
|
||
Good Sam Enterprises LLC |
|
|
|
|
|
||
11.500%, 12/01/2016 |
|
470,000 |
|
502,900 |
|
||
Norcell Sweden Holding 2 AB |
|
|
|
|
|
||
10.750%, 09/29/2019 (a) |
|
EUR |
322,000 |
|
460,922 |
|
|
TL Acquisitions, Inc. |
|
|
|
|
|
||
11.500%, 04/15/2020 (a) (h) (j) |
|
748,000 |
|
559,130 |
|
||
|
|
|
|
2,067,914 |
|
||
Retailing - 8.4% |
|
|
|
|
|
||
The Bon-Ton Department Stores, Inc. |
|
|
|
|
|
||
8.000%, 06/15/2021 (a) |
|
537,000 |
|
551,767 |
|
||
Gymboree Corp. |
|
|
|
|
|
||
9.125%, 12/01/2018 |
|
664,000 |
|
644,080 |
|
||
J.C. Penney Corp., Inc. |
|
|
|
|
|
||
7.400%, 04/01/2037 |
|
1,147,000 |
|
888,925 |
|
||
6.375%, 10/15/2036 |
|
676,000 |
|
510,380 |
|
||
|
|
|
|
2,595,152 |
|
||
Software & Services - 4.5% |
|
|
|
|
|
||
CompuCom Systems, Inc. |
|
|
|
|
|
||
7.000%, 05/01/2021 (a) |
|
39,000 |
|
39,000 |
|
||
Epicor Software Corp. |
|
|
|
|
|
||
9.000%, 06/15/2018 (a) (d) |
|
852,000 |
|
858,390 |
|
||
iPayment Investors LP |
|
|
|
|
|
||
10.250%, 05/15/2018 |
|
340,000 |
|
272,850 |
|
||
Travelport LLC |
|
|
|
|
|
||
13.875%, 03/01/2016 (a) |
|
182,850 |
|
190,164 |
|
||
8.900%, 03/01/2016 (a) (b) |
|
43,137 |
|
41,412 |
|
||
|
|
|
|
1,401,816 |
|
||
Technology Hardware & Equipment - 3.3% |
|
|
|
|
|
||
Avaya, Inc. |
|
|
|
|
|
||
9.000%, 04/01/2019 (a) |
|
183,000 |
|
175,222 |
|
||
CommScope, Inc. |
|
|
|
|
|
||
6.625%, 06/01/2020 (a) (d) |
|
848,000 |
|
843,760 |
|
||
|
|
|
|
1,018,982 |
|
||
Telecommunication Services - 0.8% |
|
|
|
|
|
||
GCI, Inc. |
|
|
|
|
|
||
6.750%, 06/01/2021 |
|
279,000 |
|
262,260 |
|
||
|
|
|
|
|
|
||
TOTAL HIGH YIELD SECURITIES (amortized cost $14,943,903) |
|
|
|
15,018,782 |
|
||
|
|
Par |
|
Value |
|
||
|
|
|
|
|
|
||
LEVERAGED LOANS - 36.4% |
|
|
|
|
|
||
Capital Goods - 10.2% |
|
|
|
|
|
||
Quinn Group Ltd., TL 1L A1 12/11 EUR |
|
|
|
|
|
||
6.969%, 12/02/2016 (b) (g) |
|
EUR |
410,953 |
|
$ |
473,363 |
|
Wheelabrator Allevard SA, TL 1L B1 07/05 |
|
|
|
|
|
||
N/A, 05/29/2015 (b) (c) (g) |
|
EUR |
885,039 |
|
880,118 |
|
|
Wheelabrator Allevard SA, TL 1L B2 07/05 |
|
|
|
|
|
||
N/A, 05/29/2015 (b) (c) (g) |
|
EUR |
118,218 |
|
117,561 |
|
|
Wheelabrator Allevard SA, TL 1L B4 07/05 |
|
|
|
|
|
||
N/A, 05/29/2015 (b) (c) (g) |
|
EUR |
104,304 |
|
103,724 |
|
|
Wheelabrator Allevard SA, TL 1L B5 07/05 |
|
|
|
|
|
||
N/A, 05/29/2015 (b) (c) (g) |
|
EUR |
263,705 |
|
262,239 |
|
|
Wheelabrator Allevard SA, TL 1L C1 07/05 |
|
|
|
|
|
||
N/A, 05/31/2016 (b) (c) (g) |
|
EUR |
885,039 |
|
880,118 |
|
|
Wheelabrator Allevard SA ,TL 1L C2 07/05 |
|
|
|
|
|
||
N/A, 05/31/2016 (b) (c) (g) |
|
EUR |
75,691 |
|
75,270 |
|
|
Wheelabrator Allevard SA ,TL 1L C4 07/05 |
|
|
|
|
|
||
N/A, 05/31/2016 (b) (c) (g) |
|
EUR |
104,304 |
|
103,724 |
|
|
Wheelabrator Allevard SA, TL 1L C5 07/05 |
|
|
|
|
|
||
N/A, 05/31/2016 (b) (c) (g) |
|
EUR |
263,705 |
|
262,239 |
|
|
|
|
|
|
3,158,356 |
|
||
Consumer Durables & Apparel - 6.3% |
|
|
|
|
|
||
Algeco Scotsman Global Sarl, TL PIK 04/13 |
|
|
|
|
|
||
15.750%, 05/01/2018 (d) (f) (g) |
|
1,019,688 |
|
1,017,460 |
|
||
Easton-Bell Sports, Inc., TL PIK Ext 11/06 |
|
|
|
|
|
||
11.500%, 12/31/2015 (d) (g) |
|
947,404 |
|
947,404 |
|
||
|
|
|
|
1,964,864 |
|
||
Consumer Services - 2.9% |
|
|
|
|
|
||
American Casino & Entertainment Properties LLC, TL 2L 06/13 |
|
|
|
|
|
||
11.250%, 01/03/2020 (b) |
|
595,595 |
|
598,573 |
|
||
Education Management Corp., TL 1L C3 02/07 |
|
|
|
|
|
||
8.250%, 03/30/2018 (b) |
|
272,754 |
|
257,344 |
|
||
Education Management Corp., TL 1L C2 02/07 |
|
|
|
|
|
||
4.266%, 06/01/2016 (b) |
|
47,870 |
|
42,943 |
|
||
|
|
|
|
898,860 |
|
||
Food, Beverage & Tobacco - 1.3% |
|
|
|
|
|
||
Arysta Lifescience SPC LLC, TL 2L 05/13 |
|
|
|
|
|
||
8.250%, 11/30/2020 (b) |
|
246,809 |
|
248,659 |
|
||
CSM Bakery Products, TL 2L 07/13 |
|
|
|
|
|
||
8.500%, 07/03/2021 (b) |
|
163,962 |
|
165,192 |
|
||
|
|
|
|
413,851 |
|
||
Health Care Equipment & Services - 0.2% |
|
|
|
|
|
||
CHG Healthcare Services, Inc., TL 2L 11/12 |
|
|
|
|
|
||
9.000%, 11/19/2020 (b) |
|
61,777 |
|
63,373 |
|
||
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
LEVERAGED LOANS - 36.4% (continued) |
|
|
|
|
|
|
Insurance - 1.7% |
|
|
|
|
|
|
Sedgwick Claims Management Service, Inc., TL 2L 05/13 |
|
|
|
|
|
|
8.000%, 12/12/2018 (b) |
|
355,615 |
|
$ |
362,282 |
|
StoneRiver Holdings, Inc., TL 2L 05/13 |
|
|
|
|
|
|
8.500%, 05/30/2020 (b) |
|
165,892 |
|
166,721 |
|
|
|
|
|
|
529,003 |
|
|
Materials - 0.4% |
|
|
|
|
|
|
OXEA Sarl, TL 2L 05/13 |
|
|
|
|
|
|
8.250%, 07/15/2020 (b) |
|
110,062 |
|
110,338 |
|
|
|
|
|
|
|
|
|
Media - 5.4% |
|
|
|
|
|
|
Internet Brands, Inc., TL 1L B 03/13 |
|
|
|
|
|
|
6.250%, 03/18/2019 (b) |
|
39,221 |
|
39,384 |
|
|
NEP Broadcasting LLC, TL 2L 01/13 |
|
|
|
|
|
|
9.500%, 07/22/2020 (b) |
|
24,972 |
|
25,682 |
|
|
TL Acquisitions, Inc., TL 1L B Ext 07/07 |
|
|
|
|
|
|
5.700%, 07/05/2017 (b) (h) (j) |
|
349,361 |
|
258,964 |
|
|
TL Acquisitions, Inc., TL 1L 07/07 |
|
|
|
|
|
|
4.750%, 07/03/2014 (b) (h) (j) |
|
1,829,081 |
|
1,348,947 |
|
|
|
|
|
|
1,672,977 |
|
|
Retailing - 2.4% |
|
|
|
|
|
|
Guitar Center, Inc., TL 1L Ext 10/07 |
|
|
|
|
|
|
6.280%, 04/09/2017 (b) |
|
395,183 |
|
391,824 |
|
|
The J Jill Group, Inc., TL 1L 04/11 |
|
|
|
|
|
|
10.000%, 04/29/2017 (b) (g) |
|
339,400 |
|
339,400 |
|
|
|
|
|
|
731,224 |
|
|
Software & Services - 2.4% |
|
|
|
|
|
|
EZE Castle Software, Inc., TL 2L 04/13 |
|
|
|
|
|
|
8.750%, 04/05/2021 (b) |
|
181,207 |
|
183,472 |
|
|
Infor Global Solutions European Finance Sarl, TL PIK 03/07 |
|
|
|
|
|
|
12.875%, 05/05/2017 (d) |
|
73,600 |
|
79,550 |
|
|
RedPrairie Corporation, TL 2L 12/12 |
|
|
|
|
|
|
11.250%, 12/21/2019 (b) |
|
309,127 |
|
315,697 |
|
|
Travelport LLC, TL 2L 04/13 |
|
|
|
|
|
|
9.500%, 01/31/2016 (b) |
|
167,286 |
|
172,861 |
|
|
|
|
|
|
751,580 |
|
|
Technology Hardware & Equipment - 1.3% |
|
|
|
|
|
|
Avaya, Inc., TL 1L B5 10/07 |
|
|
|
|
|
|
8.000%, 03/31/2018 (b) |
|
51,959 |
|
49,004 |
|
|
Websense, Inc., TL 2L 05/13 |
|
|
|
|
|
|
8.250%, 12/24/2020 (b) |
|
365,726 |
|
366,869 |
|
|
|
|
|
|
415,873 |
|
|
Telecommunication Services - 1.9% |
|
|
|
|
|
|
Integra Telecom Holdings, Inc., TL 2L 02/13 |
|
|
|
|
|
|
9.750%, 02/21/2020 (b) |
|
540,353 |
|
557,242 |
|
|
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
LEVERAGED LOANS - 36.4% (continued) |
|
|
|
|
|
|
Telecommunication Services - 1.9% (continued) |
|
|
|
|
|
|
Lightower Fiber LLC, TL 2L 04/13 |
|
|
|
|
|
|
8.000%, 04/12/2021 (b) |
|
42,831 |
|
$ |
43,313 |
|
|
|
|
|
600,555 |
|
|
|
|
|
|
|
|
|
TOTAL LEVERAGED LOANS (amortized cost $10,773,505) |
|
|
|
11,310,854 |
|
|
|
|
Shares |
|
|
|
|
PREFERRED STOCKS - 6.3% |
|
|
|
|
|
|
Banks - 2.3% |
|
|
|
|
|
|
Federal Home Loan Mortgage Corp., Series Z |
|
|
|
|
|
|
8.375% (j) |
|
67,863 |
|
342,030 |
|
|
Federal National Mortgage Association, Series S |
|
|
|
|
|
|
8.250% (j) |
|
73,256 |
|
369,210 |
|
|
|
|
|
|
711,240 |
|
|
Household & Personal Products - 4.0% |
|
|
|
|
|
|
Harbinger Group, Inc. |
|
|
|
|
|
|
8.000% (g) (j) |
|
916 |
|
1,243,012 |
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS (cost $1,933,816) |
|
|
|
1,954,252 |
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 5.0% |
|
|
|
|
|
|
Automobiles & Components - 0.9% |
|
|
|
|
|
|
General Motors Co. (j) |
|
7,673 |
|
275,230 |
|
|
|
|
|
|
|
|
|
Capital Goods - 1.0% |
|
|
|
|
|
|
Great Lakes Dredge & Dock Corp. |
|
40,000 |
|
307,600 |
|
|
|
|
|
|
|
|
|
Health Care Equipment & Services - 1.8% |
|
|
|
|
|
|
Amedisys, Inc. (j) |
|
42,053 |
|
526,083 |
|
|
Gentiva Health Services, Inc. (j) |
|
3,653 |
|
39,233 |
|
|
|
|
|
|
565,316 |
|
|
Software & Services - 0.3% |
|
|
|
|
|
|
Verint Systems, Inc. (j) |
|
2,633 |
|
94,209 |
|
|
|
|
|
|
|
|
|
Technology Hardware & Equipment - 0.6% |
|
|
|
|
|
|
Comverse, Inc. (j) |
|
5,715 |
|
178,994 |
|
|
|
|
|
|
|
|
|
Utilities - 0.4% |
|
|
|
|
|
|
U.S. Power Generating Co. (j) |
|
15,868 |
|
116,233 |
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS (cost $1,367,037) |
|
|
|
1,537,582 |
|
|
|
|
|
|
|
|
|
MONEY MARKET FUND - 10.7% |
|
|
|
|
|
|
BlackRock Liquidity TempFund Portfolio |
|
|
|
|
|
|
0.037% (e) |
|
3,305,773 |
|
3,305,773 |
|
|
|
|
|
|
|
|
|
TOTAL MONEY MARKET FUND (cost $3,305,773) |
|
|
|
3,305,773 |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (cost $32,324,034) - 106.8% |
|
|
|
33,127,243 |
|
|
LIABILITIES EXCEEDING OTHER ASSETS, NET - (6.8)% |
|
|
|
(2,111,751 |
) |
|
NET ASSETS - 100.0% |
|
|
|
$ |
31,015,492 |
|
In U.S. Dollars unless otherwise indicated.
At July 31, 2013, the tax basis cost of the Funds investments was $32,324,034 and the unrealized appreciation and depreciation were $1,248,552 and $(445,343), respectively.
(a) Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold to qualified institutional buyers in transactions exempt from registration. As of July 31, 2013, these securities amounted to $11,652,608, which represents 37.6% of net assets.
(b) Variable rate security, the coupon rate shown is the effective rate as of July 31, 2013.
(c) Unsettled bank loan. Interest rate not available as of July 31, 2013.
(d) Represents a payment-in-kind security which may pay interest/dividend in additional par/shares.
(e) Seven-day yield as of July 31, 2013.
(f) Security considered restricted. The value of this security as of July 31, 203 was $1,017,460 and represented 3.3% of net assets.
(g) Security considered illiquid. The total value of these securities as of July 31, 2013 was $6,705,632 and represented 21.6% of net assets.
(h) Security in default.
(i) Zero coupon security.
(j) Non-income producing security.
EUR - Euro
GBP - Great British Pound
PLC - Public Liability Company
The following are the details of the restricted security held by the Fund:
|
|
|
|
Acquisition |
|
Amortized |
|
|
|
% of
|
|
||
|
|
Par |
|
Date |
|
Cost |
|
Value |
|
Assets |
|
||
Algeco Scotsman Global Sarl, TL PIK 04/13, 15.750%, 05/01/2018 |
|
1,019,688 |
|
05/01/2013 |
|
$ |
993,252 |
|
$ |
1,017,460 |
|
3.3 |
% |
Country Weightings |
|
|
|
(% of Net Assets) |
|
|
|
|
|
|
|
United States |
|
85.7 |
% |
France |
|
8.6 |
% |
United Kingdom |
|
5.6 |
% |
Luxembourg |
|
5.2 |
% |
Sweden |
|
1.5 |
% |
Mexico |
|
0.2 |
% |
|
|
106.8 |
% |
Liabilities Exceeding Other Assets, Net |
|
(6.8 |
)% |
|
|
100.0 |
% |
The list of the open forward foreign currency contracts held by the Fund as of July 31, 2013 is as follows:
Settlement |
|
Currency to |
|
Currency to |
|
Unrealized
|
|
|||||
Date |
|
Deliver |
|
Receive |
|
(Depreciation) |
|
|||||
9/13/2013 |
|
EUR |
|
888,000 |
|
USD |
|
1,170,890 |
|
$ |
(2,302 |
) |
10/1/2013 |
|
EUR |
|
450,000 |
|
USD |
|
598,791 |
|
(11,406 |
) |
|
10/11/2013 |
|
GBP |
|
548,000 |
|
USD |
|
833,245 |
|
(19,553 |
) |
|
|
|
|
|
|
|
|
|
|
|
$ |
(33,261 |
) |
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at July 31, 2013 is as follows:
|
|
|
|
|
|
|
|
Unrealized |
|
|||
|
|
Settlement |
|
Currency to |
|
Currency to |
|
Appreciation |
|
|||
Counterparty |
|
Dates |
|
Deliver |
|
Receive |
|
(Depreciation) |
|
|||
JPMorgan Chase & Co. |
|
09/13/2013 - 10/11/2013 |
|
$ |
(1,878,000 |
) |
$ |
2,602,926 |
|
$ |
(33,261 |
) |
The table below sets forth information about the levels within the fair value hierarchy which the Funds investments were measured at July 31, 2013:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
High Yield Securities |
|
$ |
|
|
$ |
15,018,782 |
|
$ |
|
|
$ |
15,018,782 |
|
Leveraged Loans |
|
|
|
10,024,050 |
|
1,286,804 |
|
11,310,854 |
|
||||
Preferred Stocks |
|
|
|
711,240 |
|
1,243,012 |
|
1,954,252 |
|
||||
Common Stocks |
|
1,421,349 |
|
116,233 |
|
|
|
1,537,582 |
|
||||
Money Market Fund |
|
3,305,773 |
|
|
|
|
|
3,305,773 |
|
||||
Total Investments in Securities |
|
$ |
4,727,122 |
|
$ |
25,870,305 |
|
$ |
2,529,816 |
|
$ |
33,127,243 |
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Financial Derivative Instruments |
|
|
|
|
|
|
|
|
|
||||
Liabilities - Foreign Currency Contracts |
|
$ |
|
|
$ |
(33,261 |
) |
$ |
|
|
$ |
(33,261 |
) |
Total Financial Derivative Instruments |
|
$ |
|
|
$ |
(33,261 |
) |
$ |
|
|
$ |
(33,261 |
) |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining the value:
|
|
Leveraged
|
|
Preferred
|
|
Common
|
|
|||
Beginning Balance at November 1, 2012 |
|
$ |
|
|
$ |
|
|
$ |
|
|
Net Purchases |
|
1,348,900 |
|
1,236,600 |
|
190 |
|
|||
Net Sales & Paydowns |
|
(62,096 |
) |
|
|
(190 |
) |
|||
Net Change in Unrealized Appreciation/(Depreciation) |
|
|
|
6,412 |
|
|
|
|||
Ending Balance as of July 31, 2013 |
|
$ |
1,286,804 |
|
$ |
1,243,012 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|||
Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at July 31, 2013 |
|
$ |
|
|
$ |
6,412 |
|
$ |
|
|
The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of July 31, 2013. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.
Financial |
|
Fair Value as of |
|
Valuation |
|
Unobservable |
|
|
|
|
Asset |
|
July 31, 2013 |
|
Technique |
|
Inputs |
|
Ranges |
|
|
Leveraged Loans |
|
$ |
1,286,804 |
|
Yield |
|
Yield |
|
10.0%-11.5% |
|
|
|
|
|
Analysis |
|
Discount margin |
|
922bps-1,102bps |
|
|
|
|
|
|
|
|
Net leverage |
|
1.8x-5.8x |
|
|
|
|
|
|
|
|
Illiquidity discount |
|
0.00%-1.00% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stock |
|
$ |
1,243,012 |
|
Yield |
|
Yield |
|
10.60% |
|
|
|
|
|
Analysis |
|
Discount margin |
|
909bps |
|
|
|
|
|
|
|
|
Illiquidity discount |
|
3.85% |
|
For information on the Funds policy regarding valuation of investments and other significant accounting policies, please refer to the Funds most recent semi-annual or annual financial statements.
Item 2. Controls and Procedures.
(a) The Registrants President and Principal Financial Officer have concluded that the Registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (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 the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)) .
(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.
Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
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) |
KKR Alternative Corporate Opportunities Fund |
||
|
|||
By (Signature and Title) |
/s/ Suzanne Donohoe |
||
|
Suzanne Donohoe, President |
||
|
|||
Date |
9/20/13 |
||
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/ Suzane Donohoe |
|
|
|
Suzanne Donohoe, President |
|
|
|
Date |
9/20/13 |
|
|
|
|
By (Signature and Title) |
/s/ Michael R. McFeran |
|
|
|
Michael R. McFerran, Treasurer and Principal Financial Officer |
|
|
|
Date |
9/18/13 |
1 Year Blackrock Senior High Income Fund, Inc. Chart |
1 Month Blackrock Senior High Income Fund, Inc. Chart |
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