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: | 811-22758 | |
Registrant Name: | PIMCO Dynamic Credit Income Fund | |
Address of Principal Executive Offices: | 1633 Broadway New York, NY 10019 | |
Name and Address of Agent for Service: | William G. Galipeau 1633 Broadway New York, NY 10019 | |
Registrants telephone number, including area code: | 844-377-4626 | |
Date of Fiscal Year End: | December 31 | |
Date of Reporting Period: | September 30, 2014 |
Item 1. Schedule of Investments
Consolidated Schedule of Investments
PIMCO Dynamic Credit Income Fund
September 30, 2014 (Unaudited)
PRINCIPAL AMOUNT (000s) |
MARKET VALUE (000s) |
|||||||
INVESTMENTS IN SECURITIES 174.5% |
||||||||
BANK LOAN OBLIGATIONS 27.5% |
||||||||
ABC Supply Co., Inc. |
||||||||
3.500% due 04/16/2020 |
$ | 7,425 | $ | 7,306 | ||||
Air Medical Group Holdings, Inc. |
||||||||
5.000% due 06/30/2018 |
10,827 | 10,861 | ||||||
Albertsons LLC |
||||||||
4.750% due 03/21/2019 |
12,469 | 12,444 | ||||||
Alliance Boots Holdings Ltd. |
||||||||
3.482% due 07/09/2015 |
GBP | 29,885 | 48,447 | |||||
Allnex (Luxembourg) & Cy S.C.A. |
||||||||
4.500% due 10/03/2019 |
$ | 4,624 | 4,609 | |||||
Allnex USA, Inc. |
||||||||
4.500% due 10/03/2019 |
2,399 | 2,391 | ||||||
Amaya Holdings B.V. |
||||||||
8.000% due 08/01/2022 |
15,300 | 15,514 | ||||||
American Renal Holdings, Inc. |
||||||||
4.500% due 09/22/2019 |
25,610 | 25,386 | ||||||
AMPAM Corp. |
||||||||
8.375% due 10/31/2018 |
22,050 | 21,690 | ||||||
AmWins Group LLC |
||||||||
5.000% due 09/06/2019 |
14,738 | 14,738 | ||||||
Ancestry.com, Inc. |
||||||||
4.000% due 05/15/2018 |
2,104 | 2,091 | ||||||
4.500% due 12/28/2018 |
7,216 | 7,175 | ||||||
AP NMT Acquisition BV |
||||||||
6.750% due 08/13/2021 |
10,000 | 9,794 | ||||||
Ardagh Holdings USA, Inc. |
||||||||
4.000% due 12/17/2019 |
1,181 | 1,164 | ||||||
Asurion LLC |
||||||||
5.000% due 05/24/2019 |
9,659 | 9,624 | ||||||
Axalta Coating Systems U.S. Holdings, Inc. |
||||||||
3.750% due 02/01/2020 |
14,160 | 13,890 | ||||||
Brickman Group Ltd. LLC |
||||||||
7.500% due 12/18/2021 |
3,000 | 2,968 | ||||||
Catalent Pharma Solutions, Inc. |
||||||||
4.500% due 05/20/2021 |
7,737 | 7,726 | ||||||
6.500% due 12/29/2017 |
295 | 295 | ||||||
CDRH Parent, Inc. |
||||||||
5.250% due 07/01/2021 |
1,480 | 1,471 | ||||||
CityCenter Holdings LLC |
||||||||
4.250% due 10/16/2020 |
9,093 | 9,127 | ||||||
Clear Channel Communications, Inc. |
||||||||
3.804% due 01/29/2016 |
9,689 | 9,618 | ||||||
6.904% due 01/30/2019 |
24,775 | 23,699 | ||||||
Commercial Barge Line Co. |
||||||||
7.500% due 09/20/2019 |
4,185 | 4,209 | ||||||
Covis Pharma Holdings SARL |
||||||||
6.000% due 04/24/2019 |
4,140 | 4,135 | ||||||
CPG International, Inc. |
||||||||
4.750% due 09/30/2020 |
4,963 | 4,950 | ||||||
Dell, Inc. |
||||||||
4.500% due 04/29/2020 |
28,452 | 28,281 | ||||||
Delos Finance SARL |
||||||||
3.500% due 03/06/2021 |
9,000 | 8,917 | ||||||
Delta 2 (LUX) SARL |
||||||||
7.750% due 07/31/2022 |
5,600 | 5,590 | ||||||
Energy Future Intermediate Holding Co. LLC |
||||||||
4.250% due 06/19/2016 |
122,962 | 122,578 | ||||||
First Data Corp. |
||||||||
3.655% due 03/24/2017 |
9,500 | 9,356 | ||||||
FMG Resources Pty. Ltd. |
||||||||
3.750% due 06/30/2019 |
22,794 | 22,357 | ||||||
Freescale Semiconductor, Inc. |
||||||||
4.250% due 03/01/2020 |
14,776 | 14,570 | ||||||
Gardner Denver, Inc. |
||||||||
4.250% due 07/30/2020 |
14,190 | 13,932 | ||||||
Getty Images, Inc. |
||||||||
4.750% due 10/18/2019 |
10,782 | 9,890 | ||||||
H.J. Heinz Co. |
||||||||
3.500% due 06/05/2020 |
61,016 | 60,375 | ||||||
Ikaria, Inc. |
||||||||
8.750% due 02/12/2022 |
800 | 811 | ||||||
Intelsat Jackson Holdings S.A. |
||||||||
3.750% due 06/30/2019 |
25,550 | 25,194 | ||||||
LTS Buyer LLC |
||||||||
4.000% due 04/11/2020 |
9,875 | 9,725 |
Maxim Crane Works LP |
||||||||
10.250% due 11/26/2018 |
10,000 | 10,213 | ||||||
MPH Acquisition Holdings LLC |
||||||||
4.000% due 03/31/2021 |
7,516 | 7,353 | ||||||
National Financial Partners Corp. |
||||||||
4.500% due 07/01/2020 |
6,930 | 6,887 | ||||||
New Albertsons, Inc. |
||||||||
4.750% due 06/27/2021 |
6,170 | 6,084 | ||||||
NGPL PipeCo LLC |
||||||||
6.750% due 09/15/2017 |
39,457 | 39,391 | ||||||
Numericable U.S. LLC |
||||||||
4.500% due 05/21/2020 |
3,747 | 3,721 | ||||||
OGX |
||||||||
TBD% - 8.000% due 04/11/2015 |
2,008 | 1,667 | ||||||
Ortho-Clinical Diagnostics, Inc. |
||||||||
4.750% due 06/30/2021 |
4,988 | 4,940 | ||||||
Par Pharmaceutical Companies, Inc. |
||||||||
4.000% due 09/30/2019 |
7,829 | 7,697 | ||||||
Playa Resorts Holding BV |
||||||||
4.000% due 08/09/2019 |
2,475 | 2,444 | ||||||
PRA Holdings, Inc. |
||||||||
4.500% due 09/23/2020 |
9,900 | 9,833 | ||||||
Realogy Corp. |
||||||||
3.750% due 03/05/2020 |
16,788 | 16,557 | ||||||
Rite Aid Corp. |
||||||||
5.750% due 08/21/2020 |
5,000 | 5,080 | ||||||
Sabine Oil & Gas LLC |
||||||||
8.750% due 12/31/2018 |
11,000 | 11,000 | ||||||
Salem Communications Corp. |
||||||||
4.500% due 03/16/2020 |
7,100 | 7,069 | ||||||
Sequa Corp. |
||||||||
5.250% due 06/19/2017 |
3,771 | 3,605 | ||||||
ServiceMaster Co. |
||||||||
4.250% due 07/01/2021 |
3,375 | 3,330 | ||||||
Station Casinos LLC |
||||||||
4.250% due 03/02/2020 |
35,061 | 34,561 | ||||||
Sun Products Corp. |
||||||||
5.500% due 03/23/2020 |
24,530 | 23,222 | ||||||
SunGard Data Systems, Inc. |
||||||||
4.000% due 03/08/2020 |
8,717 | 8,628 | ||||||
Syniverse Holdings, Inc. |
||||||||
4.000% due 04/23/2019 |
4,848 | 4,769 | ||||||
Trans Union LLC |
||||||||
4.000% due 04/09/2021 |
1,990 | 1,963 | ||||||
United Surgical Partners International, Inc. |
||||||||
4.750% due 04/03/2019 |
9,850 | 9,839 | ||||||
Univision Communications, Inc. |
||||||||
4.000% due 03/01/2020 |
39,402 | 38,709 | ||||||
Valeant Pharmaceuticals International, Inc. |
||||||||
3.750% due 08/05/2020 |
39,810 | 39,398 | ||||||
WaveDivision Holdings LLC |
||||||||
4.000% due 10/15/2019 |
4,913 | 4,867 | ||||||
WTG Holdings Corp. |
||||||||
4.750% due 01/15/2021 |
3,970 | 3,943 | ||||||
|
|
|||||||
Total Bank Loan Obligations (Cost $927,199) |
923,668 | |||||||
|
|
|||||||
CORPORATE BONDS & NOTES 74.7% |
||||||||
BANKING & FINANCE 27.2% |
||||||||
AGFC Capital Trust |
||||||||
6.000% due 01/15/2067 (j) |
20,300 | 16,697 | ||||||
American International Group, Inc. |
||||||||
8.175% due 05/15/2068 (j) |
28,145 | 38,066 | ||||||
Barclays Bank PLC |
||||||||
7.625% due 11/21/2022 (j) |
23,000 | 24,759 | ||||||
7.750% due 04/10/2023 (j) |
2,000 | 2,167 | ||||||
14.000% due 06/15/2019 (g)(j) |
GBP | 8,530 | 17,901 | |||||
Barclays PLC |
||||||||
8.000% due 12/15/2020 (g)(j) |
EUR | 3,000 | 3,960 | |||||
Blackstone CQP Holdco LP |
||||||||
9.296% due 03/18/2019 |
$ | 93,547 | 93,568 | |||||
BPCE S.A. |
||||||||
12.500% due 09/30/2019 (g)(j) |
36,500 | 49,914 | ||||||
Cantor Fitzgerald LP |
||||||||
7.875% due 10/15/2019 (j) |
24,075 | 26,398 | ||||||
Credit Agricole S.A. |
||||||||
8.125% due 09/19/2033 (j) |
12,800 | 14,253 | ||||||
Credit Suisse |
||||||||
5.750% due 09/18/2025 |
EUR | 200 | 278 | |||||
6.500% due 08/08/2023 (j) |
$ | 17,400 | 18,967 | |||||
Credit Suisse Group AG |
||||||||
6.250% due 12/18/2024 (g)(j) |
10,000 | 9,705 | ||||||
7.500% due 12/11/2023 (g)(j) |
9,900 | 10,420 |
Exeter Finance Corp. |
||||||||
9.750% due 05/20/2019 |
21,900 | 21,900 | ||||||
Genesis Energy LP |
||||||||
5.625% due 06/15/2024 (j) |
13,300 | 12,851 | ||||||
Jefferies Finance LLC |
||||||||
7.375% due 04/01/2020 (j) |
7,250 | 7,449 | ||||||
JPMorgan Chase & Co. |
||||||||
5.000% due 07/01/2019 (g) |
5,525 | 5,407 | ||||||
6.100% due 10/01/2024 (g) |
1,100 | 1,092 | ||||||
KBC Bank NV |
||||||||
8.000% due 01/25/2023 (j) |
4,800 | 5,333 | ||||||
KGH Intermediate Holdco LLC |
||||||||
7.734% due 08/07/2019 (h) |
30,750 | 30,750 | ||||||
8.500% due 08/08/2019 (h) |
10,250 | 10,248 | ||||||
LBG Capital PLC |
||||||||
8.875% due 02/07/2020 (j) |
EUR | 1,900 | 2,712 | |||||
15.000% due 12/21/2019 (j) |
GBP | 11,100 | 25,553 | |||||
15.000% due 12/21/2019 (j) |
EUR | 8,597 | 16,339 | |||||
Lloyds Bank PLC |
||||||||
12.000% due 12/16/2024 (g)(j) |
$ | 50,000 | 73,750 | |||||
Millennium Offshore Services Superholdings LLC |
||||||||
9.500% due 02/15/2018 (j) |
20,000 | 21,300 | ||||||
Navient LLC |
||||||||
5.625% due 08/01/2033 (j) |
15,550 | 13,140 | ||||||
Rabobank Group |
||||||||
6.875% due 03/19/2020 |
EUR | 2,800 | 4,213 | |||||
8.375% due 07/26/2016 (g) |
$ | 8,700 | 9,366 | |||||
8.400% due 06/29/2017 (g)(j) |
1,500 | 1,656 | ||||||
Regions Financial Corp. |
||||||||
7.375% due 12/10/2037 (j) |
15,375 | 19,544 | ||||||
Sberbank of Russia Via SB Capital S.A. |
||||||||
3.352% due 11/15/2019 |
EUR | 3,600 | 4,301 | |||||
5.717% due 06/16/2021 (j) |
$ | 1,500 | 1,473 | |||||
6.125% due 02/07/2022 |
5,900 | 5,929 | ||||||
6.125% due 02/07/2022 (j) |
59,200 | 59,496 | ||||||
Societe Generale S.A. |
||||||||
9.375% due 09/04/2019 (g)(j) |
EUR | 4,000 | 6,214 | |||||
Sophia Holding Finance LP (9.625% Cash or 9.625% PIK) |
||||||||
9.625% due 12/01/2018 (d)(j) |
$ | 2,500 | 2,537 | |||||
Springleaf Finance Corp. |
||||||||
5.400% due 12/01/2015 (j) |
21,400 | 21,935 | ||||||
5.750% due 09/15/2016 (j) |
600 | 624 | ||||||
6.500% due 09/15/2017 (j) |
19,100 | 20,150 | ||||||
6.900% due 12/15/2017 (j) |
20,900 | 22,258 | ||||||
Towergate Finance PLC |
||||||||
8.500% due 02/15/2018 (j) |
GBP | 13,990 | 21,773 | |||||
UBS AG |
||||||||
4.750% due 02/12/2026 |
EUR | 1,500 | 1,988 | |||||
7.250% due 02/22/2022 (j) |
$ | 10,000 | 10,710 | |||||
7.625% due 08/17/2022 (j) |
23,250 | 27,058 | ||||||
Virgin Media Secured Finance PLC |
||||||||
5.500% due 01/15/2021 (j) |
GBP | 27,379 | 45,995 | |||||
6.000% due 04/15/2021 (j) |
25,000 | 41,989 | ||||||
Vnesheconombank Via VEB Finance PLC |
||||||||
3.035% due 02/21/2018 |
EUR | 500 | 600 | |||||
5.450% due 11/22/2017 |
$ | 600 | 598 | |||||
6.025% due 07/05/2022 |
200 | 191 | ||||||
6.902% due 07/09/2020 (j) |
5,100 | 5,176 | ||||||
6.902% due 07/09/2020 |
700 | 711 | ||||||
|
|
|||||||
911,362 | ||||||||
|
|
|||||||
INDUSTRIALS 37.8% |
||||||||
Aeropuertos Dominicanos Siglo S.A. |
||||||||
9.750% due 11/13/2019 |
500 | 488 | ||||||
9.750% due 11/13/2019 (j) |
9,065 | 8,838 | ||||||
Aguila S.A. |
||||||||
7.875% due 01/31/2018 (j) |
4,000 | 4,078 | ||||||
Algeco Scotsman Global Finance PLC |
||||||||
8.500% due 10/15/2018 (j) |
43,850 | 45,165 | ||||||
10.750% due 10/15/2019 (j) |
17,725 | 17,105 | ||||||
Altice S.A. |
||||||||
7.250% due 05/15/2022 |
EUR | 13,600 | 17,843 | |||||
Ancestry.com, Inc. (9.625% Cash or 10.375% PIK) |
||||||||
9.625% due 10/15/2018 (d)(j) |
$ | 8,250 | 8,291 | |||||
Armored Autogroup, Inc. |
||||||||
9.250% due 11/01/2018 (j) |
11,305 | 11,644 | ||||||
BlueScope Steel Finance Ltd. |
||||||||
7.125% due 05/01/2018 (j) |
4,500 | 4,703 | ||||||
Boardriders S.A. |
||||||||
8.875% due 12/15/2017 (j) |
EUR | 3,600 | 4,229 | |||||
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
||||||||
9.000% due 10/15/2019 (d)(j) |
$ | 28,642 | 26,494 | |||||
Brakes Capital |
||||||||
5.084% due 12/15/2018 |
EUR | 4,400 | 5,516 |
Caesars Entertainment Operating Co., Inc. |
||||||||
8.500% due 02/15/2020 (j) |
$ | 70,967 | 54,645 | |||||
9.000% due 02/15/2020 (j) |
3,533 | 2,747 | ||||||
California Resources Corp. |
||||||||
6.000% due 11/15/2024 (c)(j) |
39,900 | 41,097 | ||||||
Capsugel S.A. (7.000% Cash or 7.750% PIK) |
||||||||
7.000% due 05/15/2019 (d)(j) |
12,850 | 12,842 | ||||||
Carolina Beverage Group LLC |
||||||||
10.625% due 08/01/2018 (j) |
8,510 | 8,829 | ||||||
Commercial Vehicle Group, Inc. |
||||||||
7.875% due 04/15/2019 (j) |
14,332 | 14,726 | ||||||
ConvaTec Finance International S.A. (8.250% Cash or 9.000% PIK) |
||||||||
8.250% due 01/15/2019 (d)(j) |
9,500 | 9,672 | ||||||
Crimson Merger Sub, Inc. |
||||||||
6.625% due 05/15/2022 (j) |
27,950 | 25,504 | ||||||
Diamond Foods, Inc. |
||||||||
7.000% due 03/15/2019 (j) |
1,960 | 1,965 | ||||||
DriveTime Automotive Group, Inc. |
||||||||
8.000% due 06/01/2021 (j) |
11,500 | 11,011 | ||||||
Dry Mix Solutions Investissements S.A.S. |
||||||||
4.334% due 06/15/2021 (j) |
EUR | 4,500 | 5,563 | |||||
Endo Finance LLC & Endo Finco, Inc. |
||||||||
5.375% due 01/15/2023 (j) |
$ | 18,600 | 17,809 | |||||
Enterprise Inns PLC |
||||||||
6.500% due 12/06/2018 |
GBP | 742 | 1,293 | |||||
6.875% due 02/15/2021 (j) |
2,360 | 4,113 | ||||||
6.875% due 05/09/2025 (j) |
2,210 | 3,798 | ||||||
Forbes Energy Services Ltd. |
||||||||
9.000% due 06/15/2019 (j) |
$ | 8,140 | 8,079 | |||||
GCI, Inc. |
||||||||
6.750% due 06/01/2021 (j) |
35,300 | 35,212 | ||||||
Hapag-Lloyd AG |
||||||||
9.000% due 10/15/2015 (j) |
EUR | 4,368 | 5,665 | |||||
HD Supply, Inc. |
||||||||
11.500% due 07/15/2020 (j) |
$ | 10,000 | 11,562 | |||||
Hellenic Railways Organization S.A. |
||||||||
4.028% due 03/17/2017 |
EUR | 6,400 | 7,997 | |||||
Hiland Partners LP |
||||||||
7.250% due 10/01/2020 (j) |
$ | 3,500 | 3,728 | |||||
iHeartCommunications, Inc. |
||||||||
9.000% due 03/01/2021 (j) |
36,570 | 36,524 | ||||||
Intelsat Luxembourg S.A. |
||||||||
6.750% due 06/01/2018 (j) |
5,000 | 5,163 | ||||||
Intrepid Aviation Group Holdings LLC |
||||||||
6.875% due 02/15/2019 |
3,000 | 3,015 | ||||||
KION Finance S.A. |
||||||||
6.750% due 02/15/2020 (j) |
EUR | 16,700 | 22,612 | |||||
McClatchy Co. |
||||||||
9.000% due 12/15/2022 (j) |
$ | 47,310 | 51,331 | |||||
Millar Western Forest Products Ltd. |
||||||||
8.500% due 04/01/2021 (j) |
19,230 | 20,288 | ||||||
Mongolian Mining Corp. |
||||||||
8.875% due 03/29/2017 |
7,375 | 4,646 | ||||||
Monitchem Holdco S.A. |
||||||||
4.834% due 06/15/2021 |
EUR | 1,600 | 2,028 | |||||
5.250% due 06/15/2021 (j) |
1,900 | 2,364 | ||||||
Nara Cable Funding Ltd. |
||||||||
8.500% due 03/01/2020 (j) |
26,700 | 39,881 | ||||||
Numericable Group S.A. |
||||||||
4.875% due 05/15/2019 (j) |
$ | 47,400 | 46,985 | |||||
5.375% due 05/15/2022 (j) |
EUR | 4,400 | 5,756 | |||||
5.625% due 05/15/2024 (j) |
8,600 | 11,244 | ||||||
6.000% due 05/15/2022 (j) |
$ | 3,900 | 3,934 | |||||
OGX Austria GmbH |
||||||||
8.375% due 04/01/2022 ^ |
6,000 | 228 | ||||||
8.500% due 06/01/2018 ^ |
48,450 | 2,180 | ||||||
Ontex S.A. |
||||||||
7.500% due 04/15/2018 (j) |
EUR | 2,200 | 2,886 | |||||
Penn National Gaming, Inc. |
||||||||
5.875% due 11/01/2021 (j) |
$ | 3,000 | 2,775 | |||||
Perstorp Holding AB |
||||||||
8.750% due 05/15/2017 (j) |
51,785 | 54,115 | ||||||
9.000% due 05/15/2017 (j) |
EUR | 4,900 | 6,467 | |||||
Petrobras International Finance Co. S.A. |
||||||||
5.750% due 01/20/2020 (j) |
$ | 11,125 | 11,670 | |||||
7.875% due 03/15/2019 (j) |
34,521 | 39,749 | ||||||
Petroleos de Venezuela S.A. |
||||||||
6.000% due 11/15/2026 |
1,070 | 562 | ||||||
Pinnacol Assurance |
||||||||
8.625% due 06/25/2034 (h) |
23,200 | 23,542 | ||||||
Pittsburgh Glass Works LLC |
||||||||
8.000% due 11/15/2018 (j) |
2,475 | 2,636 | ||||||
Quiksilver, Inc. |
||||||||
7.875% due 08/01/2018 (j) |
888 | 799 | ||||||
Regency Energy Partners LP |
||||||||
5.000% due 10/01/2022 (j) |
16,300 | 16,117 |
Russian Railways via RZD Capital PLC |
||||||||
3.374% due 05/20/2021 |
EUR | 1,300 | 1,524 | |||||
Russian Railways Via RZD Capital PLC |
||||||||
5.700% due 04/05/2022 (j) |
$ | 2,100 | 2,101 | |||||
5.739% due 04/03/2017 (j) |
3,600 | 3,704 | ||||||
7.487% due 03/25/2031 |
GBP | 100 | 165 | |||||
Schaeffler Finance BV |
||||||||
4.250% due 05/15/2018 (j) |
EUR | 4,000 | 5,220 | |||||
Schaeffler Holding Finance BV (6.875% Cash or 6.875% PIK) |
||||||||
6.875% due 08/15/2018 (d)(j) |
5,400 | 7,165 | ||||||
Schaeffler Holding Finance BV (6.875% Cash or 7.625% PIK) |
||||||||
6.875% due 08/15/2018 (d)(j) |
$ | 5,250 | 5,486 | |||||
Sitel LLC |
||||||||
11.000% due 08/01/2017 (j) |
5,500 | 5,720 | ||||||
Soho House Bond Ltd. |
||||||||
9.125% due 10/01/2018 (j) |
GBP | 16,450 | 28,268 | |||||
Spanish Broadcasting System, Inc. |
||||||||
12.500% due 04/15/2017 (j) |
$ | 60,430 | 65,264 | |||||
Spirit Issuer PLC |
||||||||
3.265% due 12/28/2031 |
GBP | 1,100 | 1,721 | |||||
5.472% due 12/28/2034 (j) |
8,007 | 12,786 | ||||||
Sun Products Corp. |
||||||||
7.750% due 03/15/2021 (j) |
$ | 4,750 | 3,669 | |||||
T-Mobile USA, Inc. |
||||||||
6.542% due 04/28/2020 (j) |
6,000 | 6,173 | ||||||
Teine Energy Ltd. |
||||||||
6.875% due 09/30/2022 (j) |
6,200 | 6,115 | ||||||
Tembec Industries, Inc. |
||||||||
9.000% due 12/15/2019 (c) |
14,600 | 14,746 | ||||||
11.250% due 12/15/2018 (j) |
47,010 | 50,921 | ||||||
Tenet Healthcare Corp. |
||||||||
4.500% due 04/01/2021 (j) |
6,000 | 5,873 | ||||||
Trinseo Materials Operating S.C.A. |
||||||||
8.750% due 02/01/2019 (j) |
44,934 | 47,405 | ||||||
Unique Pub Finance Co. PLC |
||||||||
7.395% due 03/28/2024 |
GBP | 3,700 | 6,148 | |||||
Unitymedia KabelBW GmbH |
||||||||
9.625% due 12/01/2019 (j) |
EUR | 13,500 | 18,074 | |||||
UPCB Finance Ltd. |
||||||||
6.375% due 07/01/2020 (j) |
18,950 | 25,257 | ||||||
7.625% due 01/15/2020 (j) |
19,400 | 25,790 | ||||||
Valeant Pharmaceuticals International |
||||||||
6.875% due 12/01/2018 (j) |
$ | 8,810 | 9,129 | |||||
Vander Intermediate Holding Corp. (9.750% Cash or 10.500% PIK) |
||||||||
9.750% due 02/01/2019 (d)(j) |
2,600 | 2,724 | ||||||
Vector Group Ltd. |
||||||||
7.750% due 02/15/2021 (j) |
9,750 | 10,311 | ||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC |
||||||||
7.748% due 02/02/2021 (j) |
10,000 | 10,350 | ||||||
9.125% due 04/30/2018 (j) |
15,000 | 16,330 | ||||||
Walter Energy, Inc. |
||||||||
8.500% due 04/15/2021 |
6,000 | 1,860 | ||||||
Welltec A/S |
||||||||
8.000% due 02/01/2019 (j) |
740 | 771 | ||||||
Western Express, Inc. |
||||||||
12.500% due 04/15/2015 (j) |
1,800 | 1,618 | ||||||
Wind Acquisition Finance S.A. |
||||||||
7.000% due 04/23/2021 (j) |
EUR | 2,700 | 3,523 | |||||
Xella Holdco Finance S.A. (9.125% Cash or 9.125% PIK) |
||||||||
9.125% due 09/15/2018 (d)(j) |
1,000 | 1,333 | ||||||
|
|
|||||||
1,268,992 | ||||||||
|
|
|||||||
UTILITIES 9.7% |
||||||||
AK Transneft OJSC Via TransCapitalInvest Ltd. |
||||||||
8.700% due 08/07/2018 (j) |
$ | 4,500 | 5,074 | |||||
8.700% due 08/07/2018 |
400 | 451 | ||||||
Cloud Peak Energy Resources LLC |
||||||||
8.500% due 12/15/2019 (j) |
13,807 | 14,394 | ||||||
Frontier Communications Corp. |
||||||||
9.000% due 08/15/2031 |
1,301 | 1,356 | ||||||
Gazprom Neft OAO Via GPN Capital S.A. |
||||||||
4.375% due 09/19/2022 (j) |
5,000 | 4,331 | ||||||
6.000% due 11/27/2023 (j) |
24,300 | 23,087 | ||||||
Gazprom OAO Via Gaz Capital S.A. |
||||||||
5.999% due 01/23/2021 (j) |
2,525 | 2,550 | ||||||
6.510% due 03/07/2022 (j) |
700 | 716 | ||||||
6.510% due 03/07/2022 |
500 | 511 | ||||||
6.605% due 02/13/2018 |
EUR | 900 | 1,209 | |||||
7.288% due 08/16/2037 (j) |
$ | 1,388 | 1,475 | |||||
8.625% due 04/28/2034 (j) |
7,425 | 8,687 | ||||||
9.250% due 04/23/2019 (j) |
3,600 | 4,135 | ||||||
Genesis Energy LP |
||||||||
5.750% due 02/15/2021 (j) |
1,500 | 1,472 |
Illinois Power Generating Co. |
||||||||
6.300% due 04/01/2020 (j) |
34,047 | 32,089 | ||||||
7.950% due 06/01/2032 (j) |
31,789 | 31,630 | ||||||
Novatek OAO Via Novatek Finance Ltd. |
||||||||
4.422% due 12/13/2022 (j) |
1,400 | 1,225 | ||||||
6.604% due 02/03/2021 (j) |
600 | 611 | ||||||
Petrobras Global Finance BV |
||||||||
3.115% due 03/17/2020 (j) |
5,000 | 5,104 | ||||||
Rosneft Finance S.A. |
||||||||
7.250% due 02/02/2020 |
100 | 104 | ||||||
Rosneft Oil Co. Via Rosneft International Finance Ltd. |
||||||||
4.199% due 03/06/2022 |
500 | 431 | ||||||
Sierra Hamilton LLC |
||||||||
12.250% due 12/15/2018 (j) |
30,000 | 31,500 | ||||||
Sprint Corp. |
||||||||
7.125% due 06/15/2024 (j) |
32,390 | 32,755 | ||||||
7.875% due 09/15/2023 (j) |
45,650 | 48,617 | ||||||
VimpelCom Holdings BV |
||||||||
5.950% due 02/13/2023 (j) |
25,000 | 23,063 | ||||||
Westmoreland Coal Co. |
||||||||
10.750% due 02/01/2018 (j) |
43,104 | 45,367 | ||||||
Yellowstone Energy LP |
||||||||
5.750% due 12/31/2026 |
4,813 | 4,512 | ||||||
|
|
|||||||
326,456 | ||||||||
|
|
|||||||
Total Corporate Bonds & Notes (Cost $2,534,659) |
2,506,810 | |||||||
|
|
|||||||
MUNICIPAL BONDS & NOTES 0.6% |
||||||||
IOWA 0.1% |
||||||||
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
||||||||
6.500% due 06/01/2023 |
1,770 | 1,780 | ||||||
|
|
|||||||
NEW JERSEY 0.2% |
||||||||
New Jersey Economic Development Authority Revenue Bonds, Series 2005 |
||||||||
6.500% due 09/01/2036 |
6,980 | 7,066 | ||||||
|
|
|||||||
WEST VIRGINIA 0.3% |
||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
||||||||
7.467% due 06/01/2047 |
14,845 | 12,632 | ||||||
|
|
|||||||
Total Municipal Bonds & Notes (Cost $21,373) |
21,478 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCIES 1.4% |
||||||||
Fannie Mae |
||||||||
3.000% due 01/25/2042 - 01/25/2043 (a)(j) |
34,529 | 4,204 | ||||||
3.500% due 08/25/2032 (a)(j) |
4,636 | 722 | ||||||
5.746% due 10/25/2043 (a)(j) |
40,157 | 7,983 | ||||||
5.846% due 08/25/2038 (a)(j) |
3,039 | 393 | ||||||
5.996% due 02/25/2043 (a)(j) |
9,217 | 1,674 | ||||||
6.486% due 12/25/2036 (a)(j) |
7,744 | 1,262 | ||||||
6.496% due 04/25/2037 (a)(j) |
14,240 | 1,955 | ||||||
8.740% due 10/25/2042 (j) |
3,631 | 3,510 | ||||||
Freddie Mac |
||||||||
2.500% due 11/15/2027 (a)(j) |
37,080 | 3,823 | ||||||
3.000% due 02/15/2033 (a)(j) |
6,180 | 841 | ||||||
3.500% due 08/15/2042 (a)(j) |
8,780 | 1,639 | ||||||
4.000% due 03/15/2027 - 09/15/2039 (a)(j) |
22,143 | 3,227 | ||||||
5.846% due 08/15/2042 (a)(j) |
13,558 | 2,965 | ||||||
6.046% due 09/15/2041 - 09/15/2042 (a)(j) |
6,437 | 1,113 | ||||||
6.346% due 12/15/2034 (a)(j) |
5,037 | 568 | ||||||
Ginnie Mae |
||||||||
3.500% due 06/20/2042 (a)(j) |
3,160 | 462 | ||||||
4.000% due 03/20/2042 - 09/20/2042 (a)(j) |
8,796 | 1,455 | ||||||
4.500% due 10/16/2042 (a)(j) |
18,233 | 3,443 | ||||||
5.967% due 08/20/2042 (a)(j) |
5,506 | 1,126 | ||||||
6.046% due 10/16/2042 (a)(j) |
854 | 145 | ||||||
6.097% due 12/20/2040 (a)(j) |
5,415 | 990 | ||||||
6.497% due 01/20/2041 (a)(j) |
6,314 | 1,162 | ||||||
6.546% due 08/16/2039 (a)(j) |
7,450 | 1,167 | ||||||
|
|
|||||||
Total U.S. Government Agencies (Cost $47,123) |
45,829 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS 0.6% |
||||||||
U.S. Treasury Notes |
||||||||
0.250% due 01/31/2015 (l)(n) |
9,396 | 9,403 | ||||||
0.250% due 02/28/2015 (j)(l)(n) |
4,843 | 4,847 | ||||||
0.250% due 03/31/2015 (l) |
1,500 | 1,502 | ||||||
0.375% due 11/15/2014 (j)(l)(n) |
1,221 | 1,222 | ||||||
0.500% due 10/15/2014 (l) |
1,844 | 1,844 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $18,806) |
18,818 | |||||||
|
|
MORTGAGE-BACKED SECURITIES 28.6% |
||||||||
Adjustable Rate Mortgage Trust |
||||||||
3.162% due 03/25/2037 |
7,289 | 5,886 | ||||||
4.789% due 11/25/2037 ^ |
2,046 | 1,522 | ||||||
American Home Mortgage Assets Trust |
||||||||
6.250% due 06/25/2037 |
740 | 506 | ||||||
American Home Mortgage Investment Trust |
||||||||
6.100% due 01/25/2037 |
6,597 | 3,645 | ||||||
Banc of America Alternative Loan Trust |
||||||||
6.000% due 07/25/2035 |
313 | 296 | ||||||
6.000% due 11/25/2035 |
2,064 | 1,830 | ||||||
6.000% due 04/25/2036 |
2,964 | 2,467 | ||||||
6.000% due 07/25/2046 |
3,517 | 2,937 | ||||||
6.500% due 02/25/2036 |
6,137 | 5,022 | ||||||
16.600% due 09/25/2035 |
949 | 1,184 | ||||||
Banc of America Funding Trust |
||||||||
0.365% due 04/25/2037 |
4,323 | 2,960 | ||||||
2.551% due 09/20/2046 |
6,303 | 5,332 | ||||||
2.788% due 04/20/2035 |
7,430 | 5,647 | ||||||
2.850% due 09/20/2037 |
1,979 | 1,311 | ||||||
5.848% due 08/26/2036 |
7,668 | 4,360 | ||||||
6.000% due 10/25/2037 ^ |
9,658 | 7,713 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc. |
||||||||
5.859% due 07/10/2042 |
3,000 | 3,087 | ||||||
Banc of America Mortgage Trust |
||||||||
5.750% due 10/25/2036 ^ |
4,552 | 3,844 | ||||||
5.750% due 05/25/2037 ^ |
3,035 | 2,370 | ||||||
6.000% due 10/25/2036 ^ |
552 | 472 | ||||||
Banc of America/Merrill Lynch Commercial Mortgage, Inc. |
||||||||
5.794% due 07/10/2042 (j) |
10,000 | 10,400 | ||||||
BCAP LLC |
||||||||
8.068% due 10/26/2037 |
4,840 | 4,513 | ||||||
17.000% due 07/26/2036 |
904 | 933 | ||||||
BCAP LLC Trust |
||||||||
0.326% due 09/26/2035 |
5,629 | 5,567 | ||||||
0.336% due 05/26/2036 |
6,751 | 3,498 | ||||||
0.656% due 05/26/2035 |
7,871 | 4,609 | ||||||
2.508% due 07/26/2036 |
9,716 | 8,282 | ||||||
2.758% due 03/26/2037 |
4,707 | 3,739 | ||||||
4.438% due 11/27/2035 |
9,168 | 7,319 | ||||||
4.835% due 03/27/2037 |
8,966 | 6,185 | ||||||
5.104% due 07/26/2036 |
2,072 | 1,654 | ||||||
5.500% due 12/26/2035 |
15,688 | 10,766 | ||||||
12.246% due 06/26/2037 |
7,573 | 6,357 | ||||||
12.420% due 11/26/2035 |
2,501 | 2,455 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust |
||||||||
2.482% due 02/25/2036 ^ |
2,566 | 2,102 | ||||||
Bear Stearns ALT-A Trust |
||||||||
0.495% due 08/25/2036 |
6,193 | 4,326 | ||||||
0.655% due 01/25/2036 ^ |
6,802 | 5,359 | ||||||
2.365% due 03/25/2036 |
4,670 | 3,283 | ||||||
2.549% due 04/25/2037 |
11,642 | 8,913 | ||||||
2.717% due 08/25/2046 |
8,529 | 6,307 | ||||||
2.774% due 05/25/2036 |
2,650 | 1,556 | ||||||
4.896% due 09/25/2035 |
9,234 | 7,391 | ||||||
Bear Stearns Mortgage Funding Trust |
||||||||
7.000% due 08/25/2036 |
7,491 | 6,971 | ||||||
Celtic Residential Irish Mortgage Securitisation PLC |
||||||||
0.281% due 03/18/2049 |
EUR | 10,000 | 11,942 | |||||
Chase Mortgage Finance Trust |
||||||||
4.720% due 01/25/2036 (j) |
$ | 21,134 | 20,090 | |||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
2.258% due 07/25/2046 ^ |
1,895 | 1,666 | ||||||
2.342% due 08/25/2037 |
8,195 | 5,826 | ||||||
2.701% due 07/25/2036 |
7,234 | 4,683 | ||||||
3.367% due 03/25/2037 |
6,350 | 5,113 | ||||||
5.198% due 04/25/2037 |
1,638 | 1,455 | ||||||
5.500% due 12/25/2035 |
4,513 | 3,177 | ||||||
6.500% due 09/25/2036 |
1,915 | 1,422 | ||||||
Countrywide Alternative Loan Resecuritization Trust |
||||||||
2.547% due 03/25/2047 |
6,217 | 5,739 | ||||||
Countrywide Alternative Loan Trust |
||||||||
0.344% due 03/20/2047 |
568 | 455 | ||||||
0.365% due 08/25/2047 |
3,312 | 2,736 | ||||||
0.454% due 11/20/2035 |
462 | 388 | ||||||
0.855% due 10/25/2035 ^ |
2,576 | 2,094 | ||||||
5.485% due 05/25/2036 (j) |
16,035 | 14,105 | ||||||
5.500% due 11/25/2035 |
4,192 | 3,577 | ||||||
5.500% due 12/25/2035 ^(j) |
16,313 | 15,563 | ||||||
5.500% due 02/25/2036 |
7,298 | 6,675 | ||||||
5.500% due 05/25/2036 ^ |
4,016 | 3,744 | ||||||
5.500% due 05/25/2037 |
3,474 | 3,057 |
6.000% due 03/25/2035 |
932 | 808 | ||||||
6.000% due 04/25/2036 |
1,316 | 1,119 | ||||||
6.000% due 01/25/2037 ^ |
2,748 | 2,520 | ||||||
6.000% due 02/25/2037 |
10,567 | 9,166 | ||||||
6.000% due 02/25/2037 ^ |
1,134 | 930 | ||||||
6.000% due 04/25/2037 (j) |
27,894 | 24,163 | ||||||
6.000% due 08/25/2037 |
5,833 | 4,927 | ||||||
6.000% due 08/25/2037 (j) |
15,861 | 13,396 | ||||||
6.250% due 12/25/2036 ^ |
1,230 | 1,035 | ||||||
6.500% due 09/25/2037 |
5,428 | 4,456 | ||||||
19.375% due 07/25/2035 |
287 | 398 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
||||||||
2.025% due 03/25/2046 (j) |
48,972 | 39,385 | ||||||
2.408% due 03/20/2036 |
10,796 | 11,337 | ||||||
6.000% due 01/25/2038 (j) |
8,878 | 8,320 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. |
||||||||
6.000% due 01/25/2036 |
687 | 545 | ||||||
Credit Suisse Mortgage Capital Certificates |
||||||||
1.958% due 04/28/2037 |
7,819 | 5,065 | ||||||
2.362% due 10/26/2036 |
23,265 | 15,993 | ||||||
5.534% due 12/29/2037 |
5,832 | 3,148 | ||||||
5.750% due 05/26/2037 |
32,140 | 28,381 | ||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
||||||||
6.000% due 07/25/2036 |
4,946 | 3,862 | ||||||
6.500% due 10/25/2021 |
799 | 707 | ||||||
6.500% due 05/25/2036 |
5,633 | 4,132 | ||||||
6.750% due 08/25/2036 ^ |
5,204 | 4,182 | ||||||
Debussy PLC |
||||||||
5.930% due 07/12/2025 (j) |
GBP | 55,000 | 92,507 | |||||
8.250% due 07/12/2025 |
10,000 | 16,476 | ||||||
Deutsche ALT-A Securities, Inc. |
||||||||
0.455% due 04/25/2037 |
$ | 14,717 | 8,342 | |||||
5.500% due 12/25/2035 ^ |
1,561 | 1,341 | ||||||
Deutsche ALT-B Securities, Inc. |
||||||||
5.945% due 02/25/2036 |
6,079 | 5,121 | ||||||
First Horizon Alternative Mortgage Securities Trust |
||||||||
0.000% due 02/25/2020 (b) |
50 | 43 | ||||||
0.000% due 05/25/2020 (b) |
52 | 45 | ||||||
0.000% due 06/25/2020 (b) |
35 | 32 | ||||||
0.000% due 03/25/2035 (b) |
298 | 208 | ||||||
Greenwich Capital Commercial Funding Corp. |
||||||||
6.192% due 06/10/2036 |
2,850 | 2,873 | ||||||
GSC Capital Corp. Mortgage Trust |
||||||||
0.335% due 05/25/2036 |
6,075 | 4,603 | ||||||
GSR Mortgage Loan Trust |
||||||||
5.500% due 11/25/2035 ^(j) |
8,658 | 8,510 | ||||||
HarborView Mortgage Loan Trust |
||||||||
2.526% due 06/19/2045 |
1,918 | 1,279 | ||||||
4.591% due 06/19/2036 ^ |
1,593 | 1,157 | ||||||
HomeBanc Mortgage Trust |
||||||||
2.283% due 04/25/2037 ^ |
8,097 | 4,879 | ||||||
HSI Asset Loan Obligation Trust |
||||||||
6.000% due 06/25/2037 (j) |
17,398 | 15,284 | ||||||
Impac Secured Assets Trust |
||||||||
0.325% due 01/25/2037 (j) |
12,266 | 10,484 | ||||||
IndyMac Mortgage Loan Trust |
||||||||
0.335% due 02/25/2037 |
2,418 | 1,694 | ||||||
0.365% due 11/25/2036 |
450 | 400 | ||||||
2.800% due 06/25/2036 |
2,030 | 1,579 | ||||||
Jefferies Resecuritization Trust |
||||||||
6.000% due 12/26/2036 |
4,834 | 2,007 | ||||||
JPMorgan Alternative Loan Trust |
||||||||
0.652% due 06/27/2037 |
14,559 | 12,181 | ||||||
2.562% due 05/25/2036 ^ |
1,733 | 1,436 | ||||||
3.103% due 11/25/2036 ^ |
1,887 | 1,579 | ||||||
6.000% due 12/25/2035 ^ |
2,261 | 2,065 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
||||||||
5.916% due 06/12/2041 (j) |
10,975 | 10,790 | ||||||
JPMorgan Resecuritization Trust |
||||||||
2.608% due 03/21/2037 |
8,902 | 6,942 | ||||||
5.680% due 04/26/2036 |
7,153 | 3,989 | ||||||
6.000% due 09/26/2036 |
3,588 | 2,242 | ||||||
Lavender Trust |
||||||||
6.250% due 10/26/2036 |
5,336 | 3,887 | ||||||
Lehman Mortgage Trust |
||||||||
6.000% due 01/25/2038 |
8,667 | 8,615 | ||||||
Lehman XS Trust |
||||||||
1.055% due 08/25/2047 |
1,036 | 749 | ||||||
MASTR Alternative Loan Trust |
||||||||
0.855% due 02/25/2036 |
3,268 | 2,348 | ||||||
Merrill Lynch Alternative Note Asset Trust |
||||||||
6.000% due 05/25/2037 |
6,394 | 5,138 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
2.754% due 03/25/2036 ^ |
18,794 | 13,031 | ||||||
Morgan Stanley Capital Trust |
||||||||
5.862% due 07/12/2044 |
10,000 | 10,050 |
Morgan Stanley Mortgage Loan Trust |
||||||||
0.325% due 05/25/2036 |
258 | 141 | ||||||
2.588% due 05/25/2036 |
4,213 | 3,120 | ||||||
2.983% due 11/25/2037 |
4,081 | 3,289 | ||||||
5.962% due 06/25/2036 |
2,315 | 1,353 | ||||||
Morgan Stanley Re-REMIC Trust |
||||||||
0.459% due 02/26/2037 |
8,434 | 5,493 | ||||||
0.462% due 03/26/2037 |
5,459 | 3,989 | ||||||
PHH Alternative Mortgage Trust |
||||||||
0.000% due 02/25/2037 (b) |
18 | 14 | ||||||
RBSSP Resecuritization Trust |
||||||||
2.822% due 09/26/2035 |
8,443 | 5,134 | ||||||
5.500% due 05/26/2036 |
5,126 | 4,001 | ||||||
7.913% due 06/26/2037 |
1,500 | 758 | ||||||
Residential Accredit Loans, Inc. Trust |
||||||||
0.305% due 02/25/2037 |
1,236 | 966 | ||||||
5.750% due 01/25/2034 |
4,610 | 4,792 | ||||||
6.000% due 12/25/2035 ^ |
5,943 | 5,266 | ||||||
6.000% due 04/25/2036 ^ |
3,001 | 2,588 | ||||||
6.000% due 05/25/2036 ^ |
8,197 | 6,975 | ||||||
6.000% due 06/25/2036 ^ |
3,053 | 2,492 | ||||||
6.000% due 08/25/2036 |
5,818 | 4,698 | ||||||
6.000% due 11/25/2036 ^ |
6,595 | 5,263 | ||||||
6.000% due 03/25/2037 |
5,352 | 4,411 | ||||||
6.250% due 02/25/2037 ^ |
8,921 | 7,291 | ||||||
6.500% due 09/25/2037 ^ |
2,283 | 1,793 | ||||||
Residential Asset Securitization Trust |
||||||||
5.500% due 09/25/2035 ^ |
6,022 | 5,355 | ||||||
6.000% due 02/25/2036 |
1,281 | 1,017 | ||||||
6.000% due 05/25/2036 |
2,118 | 1,973 | ||||||
6.000% due 02/25/2037 |
388 | 310 | ||||||
6.000% due 03/25/2037 ^ |
4,660 | 3,605 | ||||||
Residential Funding Mortgage Securities, Inc. Trust |
||||||||
5.500% due 03/25/2036 |
10,349 | 9,569 | ||||||
6.000% due 10/25/2036 |
2,284 | 2,025 | ||||||
Sequoia Mortgage Trust |
||||||||
0.927% due 02/20/2034 |
1,292 | 1,295 | ||||||
1.961% due 09/20/2032 |
1,422 | 1,379 | ||||||
5.899% due 06/20/2037 (j) |
24,666 | 22,769 | ||||||
Structured Adjustable Rate Mortgage Loan Trust |
||||||||
2.612% due 04/25/2036 |
2,396 | 2,104 | ||||||
Structured Asset Mortgage Investments Trust |
||||||||
0.365% due 05/25/2046 |
18 | 14 | ||||||
1.614% due 02/25/2036 (j) |
16,458 | 14,441 | ||||||
Structured Asset Securities Corp. Trust |
||||||||
5.500% due 10/25/2035 |
13,962 | 12,227 | ||||||
Suntrust Adjustable Rate Mortgage Loan Trust |
||||||||
6.005% due 02/25/2037 |
8,270 | 7,193 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
||||||||
2.176% due 07/25/2046 |
524 | 480 | ||||||
2.241% due 08/25/2036 |
5,024 | 4,442 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
||||||||
0.367% due 06/25/2046 |
14,349 | 8,903 | ||||||
0.395% due 01/25/2047 ^ |
3,765 | 2,653 | ||||||
4.780% due 09/25/2036 |
5,276 | 3,146 | ||||||
5.750% due 11/25/2035 |
3,310 | 2,963 | ||||||
5.967% due 05/25/2036 |
12,772 | 9,438 | ||||||
6.221% due 07/25/2036 |
18,242 | 10,301 | ||||||
6.449% due 07/25/2036 |
3,140 | 1,772 | ||||||
Wells Fargo Mortgage Loan Trust |
||||||||
2.634% due 03/27/2037 |
8,618 | 5,849 | ||||||
|
|
|||||||
Total Mortgage-Backed Securities (Cost $906,281) |
959,314 | |||||||
|
|
|||||||
ASSET-BACKED SECURITIES 29.4% |
||||||||
Aames Mortgage Investment Trust |
||||||||
1.145% due 07/25/2035 |
5,909 | 4,526 | ||||||
Accredited Mortgage Loan Trust |
||||||||
0.415% due 09/25/2036 (j) |
16,200 | 13,661 | ||||||
0.435% due 04/25/2036 |
4,520 | 3,811 | ||||||
0.630% due 09/25/2035 |
3,900 | 3,580 | ||||||
0.755% due 07/25/2035 |
5,453 | 4,283 | ||||||
ACE Securities Corp. |
||||||||
0.455% due 02/25/2036 |
1,300 | 1,154 | ||||||
0.775% due 02/25/2036 ^ |
8,102 | 6,623 | ||||||
0.805% due 07/25/2035 |
2,700 | 2,323 | ||||||
1.655% due 11/25/2034 |
1,800 | 1,576 | ||||||
Aegis Asset-Backed Securities Trust |
||||||||
0.585% due 12/25/2035 |
10,700 | 7,320 | ||||||
0.635% due 06/25/2035 |
3,300 | 2,257 | ||||||
1.155% due 03/25/2035 ^ |
4,100 | 3,661 | ||||||
Aircraft Certificate Owner Trust |
||||||||
7.001% due 09/20/2022 |
3,145 | 3,307 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
0.545% due 03/25/2036 |
20,042 | 17,080 |
0.765% due 09/25/2035 |
7,000 | 4,396 | ||||||
0.935% due 05/25/2034 |
2,868 | 2,636 | ||||||
1.220% due 11/25/2034 |
2,590 | 2,112 | ||||||
2.105% due 09/25/2032 |
1,064 | 871 | ||||||
Amortizing Residential Collateral Trust |
||||||||
1.280% due 08/25/2032 |
1,115 | 997 | ||||||
Anthracite CDO Ltd. |
||||||||
6.000% due 05/24/2037 |
35,320 | 36,475 | ||||||
Argent Securities Trust |
||||||||
0.245% due 07/25/2036 |
1,577 | 694 | ||||||
0.305% due 07/25/2036 |
21,205 | 9,415 | ||||||
0.305% due 09/25/2036 |
10,992 | 4,572 | ||||||
0.345% due 03/25/2036 |
8,092 | 4,447 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
0.385% due 01/25/2036 |
4,351 | 2,971 | ||||||
0.475% due 01/25/2036 |
22,440 | 15,412 | ||||||
1.430% due 11/25/2034 |
9,031 | 6,827 | ||||||
Asset-Backed Funding Certificates Trust |
||||||||
0.705% due 07/25/2035 |
7,400 | 5,780 | ||||||
1.205% due 03/25/2034 |
2,033 | 1,603 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
||||||||
0.605% due 11/25/2035 |
5,150 | 4,537 | ||||||
3.155% due 08/15/2033 |
1,029 | 956 | ||||||
Bear Stearns Asset-Backed Securities Trust |
||||||||
0.305% due 06/25/2036 |
8,443 | 8,058 | ||||||
1.655% due 10/27/2032 |
1,015 | 935 | ||||||
3.952% due 10/25/2036 |
1,158 | 1,019 | ||||||
6.000% due 12/25/2035 |
1,295 | 1,082 | ||||||
Carrington Mortgage Loan Trust |
||||||||
0.235% due 10/25/2036 |
1,530 | 897 | ||||||
0.415% due 02/25/2037 |
7,400 | 5,320 | ||||||
1.205% due 05/25/2035 |
4,400 | 3,200 | ||||||
Centex Home Equity Loan Trust |
||||||||
0.635% due 10/25/2035 |
9,213 | 7,963 | ||||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
0.355% due 01/25/2037 |
650 | 594 | ||||||
0.375% due 12/25/2036 |
656 | 379 | ||||||
0.565% due 10/25/2035 |
7,000 | 6,057 | ||||||
5.700% due 05/25/2036 ^ |
4,251 | 2,904 | ||||||
Countrywide Asset-Backed Certificates |
||||||||
0.295% due 07/25/2037 (j) |
22,720 | 17,942 | ||||||
0.305% due 03/25/2047 |
8,751 | 7,516 | ||||||
0.315% due 05/25/2036 (j) |
21,243 | 19,598 | ||||||
0.325% due 03/25/2037 (j) |
18,712 | 16,478 | ||||||
0.325% due 05/25/2037 |
3,700 | 3,303 | ||||||
0.385% due 10/25/2047 |
9,315 | 7,631 | ||||||
0.395% due 04/25/2036 |
1,282 | 1,027 | ||||||
0.435% due 01/25/2045 |
7,700 | 5,694 | ||||||
0.595% due 04/25/2036 |
10,000 | 7,858 | ||||||
0.605% due 03/25/2047 ^ |
2,956 | 2,003 | ||||||
0.615% due 05/25/2036 |
7,400 | 6,172 | ||||||
0.795% due 10/25/2035 |
7,200 | 5,714 | ||||||
0.805% due 07/25/2035 |
4,500 | 4,031 | ||||||
0.885% due 07/25/2035 |
6,900 | 5,811 | ||||||
0.905% due 03/25/2034 |
1,418 | 1,364 | ||||||
1.055% due 04/25/2035 (j) |
10,753 | 9,228 | ||||||
1.055% due 04/25/2035 |
3,200 | 2,522 | ||||||
1.155% due 02/25/2035 |
4,300 | 3,737 | ||||||
5.278% due 10/25/2046 ^ |
423 | 367 | ||||||
Credit-Based Asset Servicing and Securitization LLC |
||||||||
0.785% due 07/25/2035 |
3,000 | 2,083 | ||||||
Encore Credit Receivables Trust |
||||||||
0.845% due 07/25/2035 |
677 | 573 | ||||||
Fieldstone Mortgage Investment Trust |
||||||||
0.325% due 07/25/2036 |
8,717 | 5,029 | ||||||
First Franklin Mortgage Loan Trust |
||||||||
0.395% due 04/25/2036 |
6,825 | 4,509 | ||||||
0.605% due 11/25/2036 |
6,600 | 5,468 | ||||||
0.965% due 04/25/2035 |
1,800 | 1,695 | ||||||
1.055% due 01/25/2035 |
2,960 | 2,478 | ||||||
Fremont Home Loan Trust |
||||||||
0.305% due 01/25/2037 |
4,755 | 2,398 | ||||||
0.645% due 07/25/2035 |
2,800 | 2,477 | ||||||
GSAA Home Equity Trust |
||||||||
5.058% due 05/25/2035 |
5,158 | 4,663 | ||||||
GSAMP Trust |
||||||||
0.215% due 01/25/2037 |
280 | 174 | ||||||
0.245% due 01/25/2037 |
1,544 | 962 | ||||||
0.305% due 06/25/2036 (j) |
11,797 | 10,576 | ||||||
0.315% due 05/25/2046 |
1,471 | 1,270 | ||||||
0.355% due 11/25/2036 |
6,196 | 3,689 | ||||||
0.425% due 04/25/2036 |
9,600 | 5,969 | ||||||
1.805% due 10/25/2034 |
1,255 | 1,101 | ||||||
2.705% due 10/25/2033 |
1,057 | 993 | ||||||
Home Equity Asset Trust |
||||||||
1.250% due 05/25/2035 |
3,800 | 3,112 | ||||||
1.355% due 07/25/2035 |
4,000 | 3,173 |
Home Equity Loan Trust |
||||||||
0.495% due 04/25/2037 |
8,000 | 4,884 | ||||||
HSI Asset Securitization Corp. Trust |
||||||||
0.265% due 12/25/2036 |
14,425 | 7,095 | ||||||
0.325% due 12/25/2036 |
19,913 | 9,822 | ||||||
0.445% due 11/25/2035 |
2,547 | 2,398 | ||||||
0.545% due 11/25/2035 |
5,830 | 4,171 | ||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
||||||||
0.315% due 11/25/2036 |
7,520 | 4,687 | ||||||
0.395% due 04/25/2047 |
5,100 | 2,951 | ||||||
0.595% due 03/25/2036 |
1,504 | 925 | ||||||
IXIS Real Estate Capital Trust |
||||||||
0.575% due 02/25/2036 |
6,200 | 5,189 | ||||||
JPMorgan Mortgage Acquisition Corp. |
||||||||
0.545% due 05/25/2035 |
5,000 | 4,049 | ||||||
JPMorgan Mortgage Acquisition Trust |
||||||||
0.305% due 07/25/2036 |
2,627 | 1,355 | ||||||
0.395% due 08/25/2036 |
2,947 | 2,407 | ||||||
5.161% due 10/25/2036 (j) |
19,224 | 15,703 | ||||||
5.327% due 11/25/2036 |
2,000 | 2,009 | ||||||
Lehman XS Trust |
||||||||
5.177% due 05/25/2037 ^(j) |
19,289 | 15,507 | ||||||
Long Beach Mortgage Loan Trust |
||||||||
0.805% due 09/25/2034 |
1,439 | 1,194 | ||||||
MASTR Asset-Backed Securities Trust |
||||||||
0.325% due 10/25/2036 |
4,674 | 4,022 | ||||||
0.335% due 02/25/2036 |
11,635 | 6,900 | ||||||
0.395% due 06/25/2036 |
4,674 | 2,669 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
0.345% due 04/25/2047 |
839 | 486 | ||||||
0.465% due 08/25/2036 |
4,000 | 3,576 | ||||||
0.635% due 05/25/2036 |
3,700 | 3,336 | ||||||
0.705% due 09/25/2036 |
3,793 | 2,301 | ||||||
Morgan Stanley ABS Capital, Inc. Trust |
||||||||
0.225% due 10/25/2036 |
6 | 3 | ||||||
0.295% due 10/25/2036 |
12,793 | 7,951 | ||||||
0.305% due 06/25/2036 |
10,106 | 7,616 | ||||||
0.305% due 09/25/2036 |
9,665 | 5,579 | ||||||
0.305% due 11/25/2036 |
11,819 | 7,878 | ||||||
0.375% due 10/25/2036 |
6,165 | 3,875 | ||||||
0.585% due 09/25/2035 |
6,500 | 5,664 | ||||||
0.625% due 07/25/2035 |
400 | 355 | ||||||
2.105% due 05/25/2034 |
3,457 | 3,037 | ||||||
Morgan Stanley Capital, Inc. Trust |
||||||||
0.445% due 01/25/2036 (j) |
26,137 | 23,408 | ||||||
Morgan Stanley Home Equity Loan Trust |
||||||||
0.315% due 04/25/2036 |
4,415 | 3,208 | ||||||
0.625% due 08/25/2035 |
800 | 767 | ||||||
New Century Home Equity Loan Trust |
||||||||
3.155% due 01/25/2033 |
900 | 784 | ||||||
Nomura Home Equity Loan, Inc. |
||||||||
0.485% due 10/25/2036 |
5,936 | 2,524 | ||||||
Option One Mortgage Loan Trust |
||||||||
0.295% due 01/25/2037 |
15,114 | 8,911 | ||||||
0.375% due 01/25/2037 |
3,082 | 1,834 | ||||||
0.405% due 03/25/2037 |
912 | 533 | ||||||
0.485% due 04/25/2037 |
3,709 | 2,268 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates |
||||||||
0.615% due 11/25/2035 (j) |
13,200 | 9,861 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
0.645% due 08/25/2035 |
2,900 | 2,265 | ||||||
0.645% due 09/25/2035 |
10,713 | 8,742 | ||||||
0.705% due 07/25/2035 |
30,950 | 24,060 | ||||||
0.985% due 01/25/2036 |
4,427 | 4,012 | ||||||
1.035% due 01/25/2036 ^ |
10,978 | 8,196 | ||||||
1.280% due 10/25/2034 |
10,000 | 8,332 | ||||||
1.955% due 12/25/2034 |
9,329 | 7,829 | ||||||
Popular ABS Mortgage Pass-Through Trust |
||||||||
0.545% due 02/25/2036 |
7,000 | 5,551 | ||||||
0.845% due 06/25/2035 |
626 | 496 | ||||||
1.305% due 06/25/2035 |
683 | 505 | ||||||
Renaissance Home Equity Loan Trust |
||||||||
5.612% due 04/25/2037 |
3,312 | 1,908 | ||||||
Residential Asset Mortgage Products Trust |
||||||||
0.475% due 01/25/2036 |
14,303 | 10,461 | ||||||
0.535% due 01/25/2036 |
4,360 | 3,403 | ||||||
0.635% due 09/25/2035 |
6,494 | 5,623 | ||||||
0.875% due 02/25/2035 |
250 | 224 | ||||||
0.905% due 04/25/2034 |
6,139 | 5,595 | ||||||
1.025% due 04/25/2034 |
6,938 | 6,602 | ||||||
1.730% due 04/25/2034 |
2,398 | 1,365 | ||||||
2.135% due 04/25/2034 |
2,324 | 817 | ||||||
Residential Asset Securities Corp. Trust |
||||||||
0.285% due 11/25/2036 (j) |
18,558 | 15,491 | ||||||
0.395% due 09/25/2036 (j) |
16,782 | 14,730 |
0.415% due 07/25/2036 |
17,800 | 13,858 | ||||||
0.435% due 04/25/2036 |
5,270 | 4,370 | ||||||
0.485% due 04/25/2036 |
10,500 | 8,490 | ||||||
0.495% due 05/25/2037 |
9,275 | 6,784 | ||||||
0.555% due 12/25/2035 |
1,000 | 911 | ||||||
0.565% due 01/25/2036 |
3,200 | 2,789 | ||||||
1.280% due 02/25/2035 |
1,900 | 1,578 | ||||||
Saxon Asset Securities Trust |
||||||||
1.905% due 12/25/2037 (j) |
65,002 | 60,347 | ||||||
Securitized Asset-Backed Receivables LLC Trust |
||||||||
0.295% due 07/25/2036 (j) |
35,541 | 26,878 | ||||||
0.315% due 07/25/2036 |
3,618 | 1,816 | ||||||
0.395% due 07/25/2036 |
4,816 | 2,447 | ||||||
0.405% due 05/25/2036 |
21,163 | 12,748 | ||||||
0.425% due 03/25/2036 |
5,960 | 4,804 | ||||||
0.815% due 10/25/2035 |
339 | 337 | ||||||
Soundview Home Loan Trust |
||||||||
0.305% due 06/25/2037 |
4,742 | 2,858 | ||||||
0.315% due 11/25/2036 (j) |
19,321 | 15,183 | ||||||
0.335% due 02/25/2037 |
9,791 | 4,900 | ||||||
0.415% due 02/25/2037 |
4,491 | 2,275 | ||||||
0.435% due 05/25/2036 |
4,715 | 4,013 | ||||||
0.505% due 03/25/2036 |
7,933 | 6,505 | ||||||
1.105% due 10/25/2037 |
11,181 | 7,675 | ||||||
1.255% due 09/25/2037 |
2,642 | 1,876 | ||||||
Specialty Underwriting & Residential Finance Trust |
||||||||
0.505% due 03/25/2037 |
848 | 471 | ||||||
0.805% due 12/25/2035 |
6,300 | 5,846 | ||||||
1.955% due 05/25/2035 |
4,000 | 3,702 | ||||||
4.700% due 02/25/2037 |
4,161 | 2,430 | ||||||
Structured Asset Investment Loan Trust |
||||||||
0.645% due 08/25/2035 |
7,100 | 6,730 | ||||||
1.055% due 09/25/2034 |
1,523 | 1,465 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
||||||||
0.325% due 12/25/2036 |
1,060 | 857 | ||||||
0.405% due 09/25/2036 |
4,300 | 3,435 | ||||||
Wachovia Mortgage Loan Trust LLC |
||||||||
0.845% due 10/25/2035 |
8,000 | 5,935 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust |
||||||||
0.485% due 05/25/2036 |
5,000 | 3,982 | ||||||
0.615% due 12/25/2035 (j) |
11,800 | 11,097 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $940,993) |
987,949 | |||||||
|
|
|||||||
SOVEREIGN ISSUES 6.3% |
||||||||
Brazil Notas do Tesouro Nacional |
||||||||
6.000% due 08/15/2050 (f) |
BRL | 491,926 | 196,311 | |||||
Costa Rica Government International Bond |
||||||||
7.000% due 04/04/2044 (j) |
$ | 5,500 | 5,541 | |||||
Republic of Greece Government Bond |
||||||||
3.800% due 08/08/2017 |
JPY | 347,000 | 3,037 | |||||
4.500% due 07/03/2017 |
310,000 | 2,791 | ||||||
Russia Government International Bond |
||||||||
5.625% due 04/04/2042 (j) |
$ | 2,600 | 2,607 | |||||
5.875% due 09/16/2043 |
600 | 617 | ||||||
7.500% due 03/31/2030 |
857 | 962 | ||||||
|
|
|||||||
Total Sovereign Issues (Cost $204,451) |
211,866 | |||||||
|
|
|||||||
SHARES | ||||||||
PREFERRED SECURITIES 2.1% |
||||||||
BANKING & FINANCE 2.0% |
||||||||
Ally Financial, Inc. |
||||||||
7.000% due 10/30/2014 (g) |
40,000 | 40,237 | ||||||
8.500% due 05/15/2016 (g) |
15,000 | 405 | ||||||
Farm Credit Bank of Texas |
||||||||
6.750% due 09/15/2023 (g) |
170,000 | 17,871 | ||||||
GMAC Capital Trust |
||||||||
8.125% due 02/15/2040 |
331,800 | 8,829 | ||||||
|
|
|||||||
67,342 | ||||||||
|
|
|||||||
INDUSTRIALS 0.1% |
||||||||
CoBank ACB |
||||||||
6.250% due 10/01/2022 (g) |
30,000 | 3,167 | ||||||
|
|
|||||||
Total Preferred Securities (Cost $68,219) |
70,509 | |||||||
|
|
PRINCIPAL AMOUNT (000s) |
||||||||
SHORT-TERM INSTRUMENTS 3.3% |
||||||||
REPURCHASE AGREEMENTS (i) 0.8% |
27,400 | |||||||
|
|
|||||||
SHORT-TERM NOTES 1.1% |
||||||||
Federal Home Loan Bank |
||||||||
0.066% due 03/25/2015 |
$ | 11,300 | 11,299 | |||||
0.101% due 02/25/2015 |
11,300 | 11,299 | ||||||
Freddie Mac |
||||||||
0.081% due 01/13/2015 |
500 | 500 | ||||||
0.107% due 03/17/2015 |
2,600 | 2,600 | ||||||
0.117% due 04/15/2015 |
12,200 | 12,198 | ||||||
0.152% due 07/10/2015 |
800 | 800 | ||||||
|
|
|||||||
38,696 | ||||||||
|
|
|||||||
U.S. TREASURY BILLS 1.4% |
||||||||
0.036% due 01/02/2015 - 04/02/2015 (e)(j)(l)(n) |
46,403 | 46,401 | ||||||
|
|
|||||||
Total Short-Term Instruments (Cost $112,479) |
112,497 | |||||||
|
|
|||||||
Total Investments in Securities (Cost $5,781,583) |
5,858,738 | |||||||
|
|
|||||||
Total Investments 174.5% (Cost $5,781,583) |
$ | 5,858,738 | ||||||
Financial Derivative Instruments (k)(m) 0.6% (Cost or Premiums, net $(6,011)) |
19,669 | |||||||
Other Assets and Liabilities, net (75.1%) | (2,520,895 | ) | ||||||
|
|
|||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 3,357,512 | ||||||
|
|
Notes to Consolidated Schedule of Investments (amounts in thousands*, except number of shares):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Payment in-kind bond security. |
(e) | Coupon represents a weighted average yield to maturity. |
(f) | Principal amount of security is adjusted for inflation. |
(g) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) | Restricted Securities: |
Issuer Description | Coupon | Maturity Date |
Acquisition Date | Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
KGH Intermediate Holdco LLC |
7.734% | 08/07/2019 | 08/07/2014 | $ | 29,950 | $ | 30,750 | 0.92% | ||||||||||||||||
KGH Intermediate Holdco LLC |
8.500% | 08/08/2019 | 08/07/2014 | 10,250 | 10,248 | 0.30% | ||||||||||||||||||
Pinnacol Assurance |
8.625% | 06/25/2034 | 06/23/2014 | 23,200 | 23,542 | 0.70% | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ | 63,400 | $ | 64,540 | 1.92% | ||||||||||||||||||||
|
|
|
|
|
|
Borrowings and Other Financing Transactions
(i) | Repurchase Agreements: |
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
BOS |
0.000 | % | 09/30/2014 | 10/01/2014 | $ | 16,500 | U.S. Treasury Notes 2.125% due 09/30/2021 |
$ | (16,812 | ) | $ | 16,500 | $ | 16,500 | ||||||||||||||||
RDR |
0.000 | % | 09/30/2014 | 10/01/2014 | 10,900 | U.S. Treasury Notes 1.250% due 11/30/2018 |
(11,122 | ) | 10,900 | 10,900 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (27,934 | ) | $ | 27,400 | $ | 27,400 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
Reverse Repurchase Agreements:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BCY |
(3.000 | %) | 09/23/2014 | 09/22/2016 | $ | (744 | ) | $ | (744 | ) | ||||||||||
(2.500 | %) | 07/16/2014 | 07/15/2016 | (4,115 | ) | (4,093 | ) | |||||||||||||
(2.000 | %) | 08/20/2014 | 08/19/2016 | (38,053 | ) | (37,966 | ) | |||||||||||||
(0.500 | %) | 05/28/2014 | 05/22/2016 | (2,589 | ) | (2,587 | ) | |||||||||||||
0.450 | % | 07/03/2014 | 10/03/2014 | (5,670 | ) | (5,676 | ) | |||||||||||||
0.450 | % | 07/09/2014 | 10/09/2014 | (22,922 | ) | (22,946 | ) | |||||||||||||
0.450 | % | 08/08/2014 | 11/10/2014 | (13,775 | ) | (13,784 | ) | |||||||||||||
0.450 | % | 08/12/2014 | 11/12/2014 | (539 | ) | (539 | ) | |||||||||||||
0.450 | % | 08/13/2014 | 11/13/2014 | (1,643 | ) | (1,644 | ) | |||||||||||||
0.450 | % | 08/15/2014 | 11/17/2014 | (964 | ) | (965 | ) | |||||||||||||
0.500 | % | 08/05/2014 | 11/06/2014 | (22,134 | ) | (22,151 | ) | |||||||||||||
0.500 | % | 08/13/2014 | 11/13/2014 | (2,148 | ) | (2,149 | ) | |||||||||||||
0.500 | % | 09/09/2014 | 12/09/2014 | (27,790 | ) | (27,799 | ) | |||||||||||||
0.550 | % | 08/04/2014 | 11/03/2014 | (4,408 | ) | (4,412 | ) | |||||||||||||
0.550 | % | 08/07/2014 | 11/07/2014 | (4,190 | ) | (4,193 | ) | |||||||||||||
0.550 | % | 08/14/2014 | 11/03/2014 | (660 | ) | (661 | ) | |||||||||||||
0.550 | % | 09/08/2014 | 12/19/2014 | (634 | ) | (634 | ) | |||||||||||||
0.550 | % | 09/19/2014 | 12/19/2014 | (1,826 | ) | (1,826 | ) | |||||||||||||
0.650 | % | 07/15/2014 | 10/15/2014 | (643 | ) | (644 | ) | |||||||||||||
0.650 | % | 07/21/2014 | 10/21/2014 | (18,468 | ) | (18,492 | ) | |||||||||||||
0.650 | % | 07/23/2014 | 10/23/2014 | (28,146 | ) | (28,181 | ) | |||||||||||||
0.650 | % | 09/26/2014 | 03/26/2015 | (662 | ) | (662 | ) | |||||||||||||
0.650 | % | 09/29/2014 | 10/07/2014 | (47,122 | ) | (47,124 | ) | |||||||||||||
0.650 | % | 10/02/2014 | 11/04/2014 | (13,145 | ) | (13,145 | ) | |||||||||||||
0.700 | % | 09/03/2014 | 12/03/2014 | (1,111 | ) | (1,112 | ) | |||||||||||||
0.710 | % | 04/02/2014 | 10/02/2014 | (13,625 | ) | (13,674 | ) | |||||||||||||
0.734 | % | 08/14/2014 | 11/14/2014 | (5,873 | ) | (5,879 | ) | |||||||||||||
0.750 | % | 09/15/2014 | 12/15/2014 | (8,352 | ) | (8,355 | ) | |||||||||||||
0.750 | % | 09/23/2014 | 12/23/2014 | (8,808 | ) | (8,809 | ) | |||||||||||||
1.381 | % | 08/18/2014 | 11/18/2014 | (13,175 | ) | (13,197 | ) | |||||||||||||
1.383 | % | 09/08/2014 | 12/08/2014 | (11,257 | ) | (11,267 | ) | |||||||||||||
1.386 | % | 09/24/2014 | 12/23/2014 | (6,349 | ) | (6,351 | ) | |||||||||||||
1.425 | % | 06/18/2014 | 12/18/2014 | (10,634 | ) | (10,678 | ) | |||||||||||||
1.430 | % | 09/24/2014 | 03/24/2015 | (7,033 | ) | (7,035 | ) | |||||||||||||
1.431 | % | 09/16/2014 | 03/16/2015 | (24,794 | ) | (24,809 | ) | |||||||||||||
1.431 | % | 09/29/2014 | 03/30/2015 | (6,172 | ) | (6,173 | ) |
BPG |
0.670 | % | 07/25/2014 | 10/27/2014 | (14,546 | ) | (14,564 | ) | ||||||||
1.284 | % | 08/15/2014 | 11/17/2014 | (11,836 | ) | (11,856 | ) | |||||||||
BRC |
(0.500 | %) | 09/05/2014 | 10/01/2014 | EUR | (4,800 | ) | (6,061 | ) | |||||||
(0.250 | %) | 10/01/2014 | 11/03/2014 | (4,488 | ) | (5,668 | ) | |||||||||
0.500 | % | 07/16/2014 | 10/16/2014 | $ | (1,944 | ) | (1,946 | ) | ||||||||
0.500 | % | 08/05/2014 | 11/06/2014 | (9,922 | ) | (9,930 | ) | |||||||||
0.500 | % | 09/26/2014 | 10/16/2014 | (731 | ) | (731 | ) | |||||||||
0.600 | % | 08/25/2014 | 10/03/2014 | (1,124 | ) | (1,125 | ) | |||||||||
0.650 | % | 08/25/2014 | 10/06/2014 | (39,376 | ) | (39,402 | ) | |||||||||
0.650 | % | 08/27/2014 | 10/03/2014 | (14,634 | ) | (14,643 | ) | |||||||||
0.650 | % | 09/02/2014 | 10/02/2014 | (11,776 | ) | (11,782 | ) | |||||||||
0.650 | % | 09/18/2014 | 10/21/2014 | (6,883 | ) | (6,885 | ) | |||||||||
0.650 | % | 09/23/2014 | 10/23/2014 | (1,940 | ) | (1,941 | ) | |||||||||
0.650 | % | 10/02/2014 | 11/04/2014 | (11,766 | ) | (11,766 | ) | |||||||||
0.700 | % | 09/23/2014 | 10/23/2014 | (1,610 | ) | (1,610 | ) | |||||||||
0.750 | % | 09/05/2014 | 12/05/2014 | (10,418 | ) | (10,424 | ) | |||||||||
0.750 | % | 09/08/2014 | 12/08/2014 | (2,003 | ) | (2,004 | ) | |||||||||
0.800 | % | 07/16/2014 | 10/17/2014 | EUR | (3,738 | ) | (4,730 | ) | ||||||||
0.850 | % | 08/04/2014 | 10/17/2014 | (4,167 | ) | (5,271 | ) | |||||||||
CFR |
(1.050 | %) | 09/17/2014 | 12/31/2014 | (3,519 | ) | (4,445 | ) | ||||||||
0.450 | % | 09/22/2014 | 10/24/2014 | (1,755 | ) | (2,216 | ) | |||||||||
0.600 | % | 09/04/2014 | 10/03/2014 | (16,015 | ) | (20,237 | ) | |||||||||
0.600 | % | 09/23/2014 | 10/24/2014 | (3,897 | ) | (4,923 | ) | |||||||||
0.600 | % | 09/29/2014 | 10/30/2014 | (1,350 | ) | (1,705 | ) | |||||||||
0.600 | % | 10/03/2014 | 11/03/2014 | (15,998 | ) | (20,206 | ) | |||||||||
0.850 | % | 09/01/2014 | 10/01/2014 | GBP | (9,165 | ) | (14,868 | ) | ||||||||
0.850 | % | 10/01/2014 | 11/03/2014 | (14,357 | ) | (23,274 | ) | |||||||||
DBL |
0.450 | % | 09/08/2014 | 10/16/2014 | EUR | (8,185 | ) | (10,341 | ) | |||||||
0.550 | % | 09/25/2014 | 10/27/2014 | (1,020 | ) | (1,288 | ) | |||||||||
0.600 | % | 10/01/2014 | 11/03/2014 | (20,602 | ) | (26,022 | ) | |||||||||
0.650 | % | 09/01/2014 | 10/01/2014 | (20,638 | ) | (26,082 | ) | |||||||||
0.850 | % | 07/15/2014 | 10/15/2014 | (30,005 | ) | (37,971 | ) | |||||||||
0.900 | % | 08/05/2014 | 11/05/2014 | (4,689 | ) | (5,932 | ) | |||||||||
1.150 | % | 07/25/2014 | 10/27/2014 | GBP | (6,863 | ) | (11,150 | ) | ||||||||
1.202 | % | 09/29/2014 | 10/29/2014 | $ | (15,834 | ) | (15,835 | ) | ||||||||
1.203 | % | 10/02/2014 | 11/03/2014 | (7,703 | ) | (7,703 | ) | |||||||||
1.204 | % | 09/11/2014 | 10/14/2014 | (15,854 | ) | (15,865 | ) | |||||||||
1.206 | % | 09/08/2014 | 10/08/2014 | (13,367 | ) | (13,377 | ) | |||||||||
1.207 | % | 09/02/2014 | 10/02/2014 | (15,190 | ) | (15,205 | ) | |||||||||
1.207 | % | 10/02/2014 | 10/02/2014 | (7,380 | ) | (7,380 | ) | |||||||||
1.660 | % | 08/18/2014 | 11/18/2014 | GBP | (45,584 | ) | (74,048 | ) | ||||||||
DEU |
(1.000 | %) | 07/10/2014 | 07/09/2016 | $ | (7,481 | ) | (7,464 | ) | |||||||
0.550 | % | 08/15/2014 | 11/17/2014 | (1,368 | ) | (1,369 | ) | |||||||||
0.550 | % | 09/10/2014 | 12/10/2014 | (3,381 | ) | (3,382 | ) | |||||||||
0.590 | % | 06/30/2014 | 10/01/2014 | (60,098 | ) | (60,190 | ) | |||||||||
0.590 | % | 06/30/2014 | 10/02/2014 | (28,680 | ) | (28,724 | ) | |||||||||
0.590 | % | 07/11/2014 | 10/14/2014 | (4,247 | ) | (4,253 | ) | |||||||||
0.590 | % | 07/15/2014 | 10/15/2014 | (6,278 | ) | (6,286 | ) | |||||||||
0.590 | % | 07/21/2014 | 10/21/2014 | (21,890 | ) | (21,916 | ) | |||||||||
0.590 | % | 07/25/2014 | 10/28/2014 | (1,892 | ) | (1,894 | ) | |||||||||
0.590 | % | 07/29/2014 | 10/29/2014 | (15,546 | ) | (15,562 | ) | |||||||||
0.590 | % | 08/01/2014 | 11/04/2014 | (22,084 | ) | (22,106 | ) | |||||||||
0.590 | % | 08/04/2014 | 11/04/2014 | (12,465 | ) | (12,477 | ) | |||||||||
0.590 | % | 08/05/2014 | 11/06/2014 | (12,563 | ) | (12,575 | ) | |||||||||
0.590 | % | 08/08/2014 | 10/21/2014 | (17,574 | ) | (17,591 | ) | |||||||||
0.620 | % | 08/15/2014 | 11/17/2014 | (620 | ) | (621 | ) | |||||||||
0.620 | % | 08/15/2014 | 11/18/2014 | (3,059 | ) | (3,061 | ) | |||||||||
0.620 | % | 08/18/2014 | 11/18/2014 | (36,268 | ) | (36,296 | ) | |||||||||
0.620 | % | 08/22/2014 | 11/24/2014 | (14,770 | ) | (14,780 | ) | |||||||||
0.620 | % | 08/27/2014 | 12/01/2014 | (24,115 | ) | (24,130 | ) | |||||||||
0.620 | % | 09/04/2014 | 12/04/2014 | (27,408 | ) | (27,421 | ) | |||||||||
0.620 | % | 09/10/2014 | 12/10/2014 | (18,549 | ) | (18,556 | ) | |||||||||
0.620 | % | 09/29/2014 | 12/01/2014 | (7,740 | ) | (7,740 | ) | |||||||||
0.650 | % | 09/15/2014 | 12/16/2014 | (18,532 | ) | (18,537 | ) | |||||||||
0.650 | % | 09/23/2014 | 12/17/2014 | (4,744 | ) | (4,745 | ) | |||||||||
0.650 | % | 09/24/2014 | 12/23/2014 | (2,978 | ) | (2,978 | ) | |||||||||
0.650 | % | 09/26/2014 | 10/28/2014 | (9,447 | ) | (9,448 | ) | |||||||||
0.650 | % | 10/01/2014 | 01/02/2015 | (58,879 | ) | (58,879 | ) | |||||||||
MYI |
(1.000 | %) | 07/31/2014 | 12/31/2014 | EUR | (588 | ) | (742 | ) | |||||||
RBC |
0.600 | % | 07/10/2014 | 10/10/2014 | $ | (17,870 | ) | (17,895 | ) | |||||||
0.600 | % | 07/14/2014 | 10/14/2014 | (12,562 | ) | (12,579 | ) | |||||||||
0.600 | % | 07/16/2014 | 10/16/2014 | (11,110 | ) | (11,124 | ) | |||||||||
0.600 | % | 07/28/2014 | 10/29/2014 | (1,436 | ) | (1,438 | ) | |||||||||
0.600 | % | 08/20/2014 | 11/20/2014 | (43,741 | ) | (43,772 | ) | |||||||||
0.600 | % | 09/04/2014 | 12/04/2014 | (13,855 | ) | (13,861 | ) | |||||||||
0.600 | % | 09/09/2014 | 12/09/2014 | (19,937 | ) | (19,944 | ) | |||||||||
0.600 | % | 09/12/2014 | 12/12/2014 | (1,747 | ) | (1,748 | ) | |||||||||
0.690 | % | 06/13/2014 | 12/15/2014 | (11,668 | ) | (11,693 | ) | |||||||||
0.690 | % | 06/20/2014 | 12/22/2014 | (1,428 | ) | (1,431 | ) | |||||||||
0.694 | % | 05/19/2014 | 11/19/2014 | (10,230 | ) | (10,257 | ) | |||||||||
0.694 | % | 05/20/2014 | 11/19/2014 | (28,260 | ) | (28,333 | ) | |||||||||
0.700 | % | 05/27/2014 | 11/28/2014 | (22,250 | ) | (22,305 | ) | |||||||||
0.700 | % | 08/20/2014 | 02/20/2015 | (40,408 | ) | (40,441 | ) | |||||||||
0.700 | % | 08/26/2014 | 02/26/2015 | (5,299 | ) | (5,303 | ) | |||||||||
0.700 | % | 09/18/2014 | 03/18/2015 | (11,921 | ) | (11,924 | ) | |||||||||
0.700 | % | 09/22/2014 | 03/23/2015 | (17,068 | ) | (17,071 | ) | |||||||||
0.700 | % | 09/23/2014 | 10/29/2014 | (50,264 | ) | (50,272 | ) | |||||||||
0.750 | % | 10/02/2014 | 04/02/2015 | (27,427 | ) | (27,427 | ) |
RDR |
(2.000 | %) | 05/23/2014 | 05/21/2016 | (1,490 | ) | (1,479 | ) | ||||||||||||
0.480 | % | 07/07/2014 | 10/07/2014 | (3,857 | ) | (3,861 | ) | |||||||||||||
0.550 | % | 06/16/2014 | 12/16/2014 | (3,801 | ) | (3,807 | ) | |||||||||||||
0.550 | % | 09/24/2014 | 03/24/2015 | (11,714 | ) | (11,715 | ) | |||||||||||||
0.580 | % | 07/07/2014 | 10/07/2014 | (11,699 | ) | (11,715 | ) | |||||||||||||
0.590 | % | 07/11/2014 | 10/14/2014 | (13,341 | ) | (13,359 | ) | |||||||||||||
0.600 | % | 09/04/2014 | 12/04/2014 | (3,003 | ) | (3,004 | ) | |||||||||||||
0.680 | % | 09/26/2014 | 03/26/2015 | (2,542 | ) | (2,542 | ) | |||||||||||||
0.750 | % | 10/01/2014 | 04/01/2015 | (36,494 | ) | (36,494 | ) | |||||||||||||
1.230 | % | 07/02/2014 | 10/03/2014 | (6,919 | ) | (6,941 | ) | |||||||||||||
1.230 | % | 08/06/2014 | 10/07/2014 | (12,550 | ) | (12,574 | ) | |||||||||||||
1.230 | % | 08/07/2014 | 10/07/2014 | (10,248 | ) | (10,267 | ) | |||||||||||||
1.230 | % | 08/25/2014 | 11/25/2014 | (12,917 | ) | (12,933 | ) | |||||||||||||
1.230 | % | 09/05/2014 | 12/05/2014 | (22,597 | ) | (22,617 | ) | |||||||||||||
1.240 | % | 08/29/2014 | 12/01/2014 | (16,262 | ) | (16,280 | ) | |||||||||||||
1.330 | % | 09/15/2014 | 03/16/2015 | (22,067 | ) | (22,080 | ) | |||||||||||||
1.330 | % | 09/22/2014 | 03/24/2015 | (31,355 | ) | (31,365 | ) | |||||||||||||
1.330 | % | 09/23/2014 | 03/20/2015 | (16,861 | ) | (16,866 | ) | |||||||||||||
1.330 | % | 09/23/2014 | 03/24/2015 | (7,330 | ) | (7,332 | ) | |||||||||||||
1.330 | % | 09/25/2014 | 03/25/2015 | (28,769 | ) | (28,775 | ) | |||||||||||||
1.330 | % | 10/01/2014 | 04/01/2015 | (10,445 | ) | (10,445 | ) | |||||||||||||
1.330 | % | 10/03/2014 | 04/06/2015 | (6,508 | ) | (6,508 | ) | |||||||||||||
RYL |
0.450 | % | 09/23/2014 | 10/23/2014 | EUR | (3,459 | ) | (4,369 | ) | |||||||||||
0.500 | % | 09/22/2014 | 12/22/2014 | (17,662 | ) | (22,311 | ) | |||||||||||||
0.650 | % | 08/21/2014 | 10/16/2014 | (13,397 | ) | (16,935 | ) | |||||||||||||
0.750 | % | 09/10/2014 | 10/16/2014 | GBP | (24,302 | ) | (39,421 | ) | ||||||||||||
0.860 | % | 08/12/2014 | 11/12/2014 | (7,472 | ) | (12,127 | ) | |||||||||||||
0.900 | % | 09/08/2014 | 12/08/2014 | (27,105 | ) | (43,966 | ) | |||||||||||||
SBI |
(1.500 | %) | 07/15/2014 | 07/14/2016 | $ | (7,748 | ) | (7,723 | ) | |||||||||||
(1.500 | %) | 08/11/2014 | 08/07/2016 | (964 | ) | (962 | ) | |||||||||||||
(1.500 | %) | 09/19/2014 | 07/24/2016 | (4,877 | ) | (4,875 | ) | |||||||||||||
(1.500 | %) | 09/19/2014 | 07/30/2016 | (4,177 | ) | (4,175 | ) | |||||||||||||
0.500 | % | 09/11/2014 | 10/10/2014 | EUR | (16,647 | ) | (21,032 | ) | ||||||||||||
SOG |
0.350 | % | 07/16/2014 | 10/16/2014 | (11,883 | ) | (15,021 | ) | ||||||||||||
0.700 | % | 07/16/2014 | 10/16/2014 | GBP | (14,711 | ) | (23,885 | ) | ||||||||||||
1.484 | % | 09/24/2014 | 12/17/2014 | $ | (18,610 | ) | (18,615 | ) | ||||||||||||
UBS |
0.470 | % | 08/15/2014 | 11/17/2014 | (6,792 | ) | (6,796 | ) | ||||||||||||
0.500 | % | 08/07/2014 | 11/07/2014 | (16,742 | ) | (16,755 | ) | |||||||||||||
0.500 | % | 08/12/2014 | 11/10/2014 | (5,302 | ) | (5,306 | ) | |||||||||||||
0.500 | % | 08/14/2014 | 11/14/2014 | (1,366 | ) | (1,367 | ) | |||||||||||||
0.500 | % | 08/15/2014 | 11/17/2014 | (19,061 | ) | (19,073 | ) | |||||||||||||
0.500 | % | 08/25/2014 | 11/25/2014 | (1,634 | ) | (1,635 | ) | |||||||||||||
0.500 | % | 09/03/2014 | 12/03/2014 | (8,551 | ) | (8,554 | ) | |||||||||||||
0.500 | % | 09/10/2014 | 12/10/2014 | (2,235 | ) | (2,236 | ) | |||||||||||||
0.500 | % | 09/19/2014 | 12/19/2014 | (3,468 | ) | (3,469 | ) | |||||||||||||
0.500 | % | 10/03/2014 | 01/05/2015 | (4,698 | ) | (4,698 | ) | |||||||||||||
0.500 | % | 10/06/2014 | 10/17/2014 | (4,453 | ) | (4,948 | ) | |||||||||||||
0.550 | % | 08/08/2014 | 11/10/2014 | (7,860 | ) | (7,866 | ) | |||||||||||||
0.550 | % | 08/14/2014 | 11/14/2014 | (2,580 | ) | (2,582 | ) | |||||||||||||
0.550 | % | 08/15/2014 | 11/14/2014 | (789 | ) | (790 | ) | |||||||||||||
0.550 | % | 08/21/2014 | 11/21/2014 | (3,251 | ) | (3,253 | ) | |||||||||||||
0.550 | % | 08/25/2014 | 11/25/2014 | (619 | ) | (619 | ) | |||||||||||||
0.550 | % | 09/03/2014 | 12/03/2014 | (1,449 | ) | (1,450 | ) | |||||||||||||
0.550 | % | 09/12/2014 | 12/12/2014 | (5,414 | ) | (5,416 | ) | |||||||||||||
0.550 | % | 09/24/2014 | 11/24/2014 | (11,483 | ) | (11,484 | ) | |||||||||||||
0.550 | % | 10/02/2014 | 01/05/2015 | (4,415 | ) | (4,415 | ) | |||||||||||||
0.570 | % | 08/13/2014 | 11/13/2014 | (46,811 | ) | (46,844 | ) | |||||||||||||
0.580 | % | 08/14/2014 | 11/14/2014 | (1,417 | ) | (1,418 | ) | |||||||||||||
0.580 | % | 08/21/2014 | 11/21/2014 | (3,449 | ) | (3,451 | ) | |||||||||||||
0.600 | % | 08/07/2014 | 11/07/2014 | (13,274 | ) | (13,286 | ) | |||||||||||||
0.600 | % | 08/11/2014 | 11/12/2014 | (7,045 | ) | (7,051 | ) | |||||||||||||
0.600 | % | 08/13/2014 | 11/13/2014 | (6,820 | ) | (6,826 | ) | |||||||||||||
0.600 | % | 08/14/2014 | 11/14/2014 | (2,812 | ) | (2,814 | ) | |||||||||||||
0.600 | % | 08/21/2014 | 11/21/2014 | (19,418 | ) | (19,431 | ) | |||||||||||||
0.600 | % | 09/03/2014 | 12/03/2014 | (1,184 | ) | (1,185 | ) | |||||||||||||
0.600 | % | 10/02/2014 | 01/05/2015 | (5,400 | ) | (5,400 | ) | |||||||||||||
0.620 | % | 09/03/2014 | 12/03/2014 | (527 | ) | (527 | ) | |||||||||||||
0.620 | % | 10/03/2014 | 01/05/2015 | (864 | ) | (864 | ) | |||||||||||||
0.650 | % | 08/05/2014 | 11/06/2014 | (2,077 | ) | (2,079 | ) | |||||||||||||
0.650 | % | 08/08/2014 | 11/10/2014 | (21,734 | ) | (21,755 | ) | |||||||||||||
0.650 | % | 08/11/2014 | 11/12/2014 | (13,389 | ) | (13,401 | ) | |||||||||||||
0.650 | % | 08/13/2014 | 11/13/2014 | (30,000 | ) | (30,027 | ) | |||||||||||||
0.650 | % | 08/14/2014 | 11/14/2014 | (5,692 | ) | (5,697 | ) | |||||||||||||
0.650 | % | 08/25/2014 | 11/25/2014 | (9,469 | ) | (9,475 | ) | |||||||||||||
0.650 | % | 09/19/2014 | 12/19/2014 | (8,989 | ) | (8,991 | ) | |||||||||||||
0.650 | % | 09/26/2014 | 03/26/2015 | (4,883 | ) | (4,883 | ) | |||||||||||||
0.650 | % | 10/02/2014 | 01/05/2015 | (13,382 | ) | (13,382 | ) | |||||||||||||
0.650 | % | 10/03/2014 | 01/05/2015 | (691 | ) | (691 | ) | |||||||||||||
0.700 | % | 09/26/2014 | 03/26/2015 | (9,569 | ) | (9,570 | ) | |||||||||||||
0.900 | % | 09/24/2014 | 10/24/2014 | GBP | (4,737 | ) | (7,681 | ) | ||||||||||||
0.950 | % | 08/05/2014 | 10/16/2014 | (3,228 | ) | (5,241 | ) | |||||||||||||
0.950 | % | 10/01/2014 | 10/24/2014 | (2,875 | ) | (4,661 | ) | |||||||||||||
1.480 | % | 10/01/2014 | 04/01/2015 | $ | (21,498 | ) | (21,498 | ) |
ULW |
0.500 | % | 07/03/2014 | 10/03/2014 | (4,744 | ) | (4,750 | ) | ||||||||||||
0.500 | % | 07/08/2014 | 10/08/2014 | (13,330 | ) | (13,346 | ) | |||||||||||||
0.500 | % | 07/17/2014 | 10/17/2014 | (28,497 | ) | (28,527 | ) | |||||||||||||
0.500 | % | 07/25/2014 | 10/28/2014 | (7,706 | ) | (7,713 | ) | |||||||||||||
0.550 | % | 07/02/2014 | 10/02/2014 | (4,420 | ) | (4,426 | ) | |||||||||||||
0.550 | % | 07/23/2014 | 10/23/2014 | (4,136 | ) | (4,140 | ) | |||||||||||||
0.550 | % | 09/29/2014 | 10/23/2014 | (1,998 | ) | (1,998 | ) | |||||||||||||
0.580 | % | 07/02/2014 | 10/02/2014 | (5,650 | ) | (5,658 | ) | |||||||||||||
0.580 | % | 07/17/2014 | 10/17/2014 | (4,787 | ) | (4,793 | ) | |||||||||||||
0.580 | % | 09/29/2014 | 10/02/2014 | (2,412 | ) | (2,412 | ) | |||||||||||||
0.590 | % | 07/10/2014 | 10/02/2014 | (8,330 | ) | (8,341 | ) | |||||||||||||
0.600 | % | 07/02/2014 | 10/02/2014 | (3,046 | ) | (3,051 | ) | |||||||||||||
0.600 | % | 07/15/2014 | 10/15/2014 | (55,575 | ) | (55,647 | ) | |||||||||||||
0.620 | % | 07/03/2014 | 10/03/2014 | (924 | ) | (925 | ) | |||||||||||||
0.650 | % | 07/03/2014 | 10/03/2014 | (719 | ) | (720 | ) | |||||||||||||
0.650 | % | 07/09/2014 | 10/09/2014 | (5,018 | ) | (5,026 | ) | |||||||||||||
0.650 | % | 07/23/2014 | 10/23/2014 | (19,805 | ) | (19,830 | ) | |||||||||||||
0.700 | % | 07/25/2014 | 10/28/2014 | (21,856 | ) | (21,885 | ) | |||||||||||||
0.700 | % | 09/23/2014 | 12/23/2014 | EUR | (5,022 | ) | (6,344 | ) | ||||||||||||
1.000 | % | 07/23/2014 | 10/23/2014 | GBP | (4,158 | ) | (6,754 | ) | ||||||||||||
1.050 | % | 07/16/2014 | 10/16/2014 | (4,210 | ) | (6,840 | ) | |||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
$ | (2,817,652 | ) | |||||||||||||||||
|
|
(2) | The average amount of borrowings while outstanding during the period ended September 30, 2014 was $1,947,350 at a weighted average interest rate of 0.646% |
(j) | Securities with an aggregate market value of $3,251,776 and cash of $20,324 have been pledged as collateral under the terms of master agreements as of September 30, 2014. |
(k) | Financial Derivative Instruments: Exchange-Traded or Centrally Cleared |
Swap Agreements:
Credit Default Swaps on Credit Indices - Sell Protection (1)
Variation Margin | ||||||||||||||||||||||||||||
Index/Tranches | Fixed Deal Receive Rate |
Maturity Date |
Notional Amount (2) |
Market Value (3) |
Unrealized (Depreciation) |
Asset | Liability | |||||||||||||||||||||
CDX.HY-22 5-Year Index |
5.000% | 06/20/2019 | $ | 235,026 | $ | 14,333 | $ | (1,144 | ) | $ | 1,431 | $ | 0 | |||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest Rate Swaps
Variation Margin | ||||||||||||||||||||||||||||||
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | ||||||||||||||||||||||
Pay | 3-Month CAD-Bank Bill |
3.300 | % | 06/19/2024 | CAD | 102,200 | $ | 6,300 | $ | 1,553 | $ | 125 | $ | 0 | ||||||||||||||||
Receive | 3-Month CAD-Bank Bill |
3.500 | % | 06/20/2044 | 46,900 | (3,418 | ) | (1,747 | ) | 0 | (125 | ) | ||||||||||||||||||
Pay | 3-Month USD-LIBOR |
2.000 | % | 03/20/2023 | $ | 171,000 | (6,631 | ) | (5,961 | ) | 0 | (168 | ) | |||||||||||||||||
Receive | 3-Month USD-LIBOR |
3.000 | % | 12/17/2024 | 182,200 | (4,452 | ) | (3,430 | ) | 273 | 0 | |||||||||||||||||||
Receive | 3-Month USD-LIBOR |
3.500 | % | 12/17/2044 | 315,200 | (16,871 | ) | (16,127 | ) | 1,933 | 0 | |||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW |
3.631 | % | 03/06/2019 | AUD | 150,000 | 2,323 | 2,324 | 223 | 0 | ||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW |
3.635 | % | 03/06/2019 | 175,000 | 2,735 | 2,735 | 260 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (20,014 | ) | $ | (20,653 | ) | $ | 2,814 | $ | (293 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
|
$ | (5,681 | ) | $ | (21,797 | ) | $ | 4,245 | $ | (293 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
(l) | Securities with an aggregate market value of $45,793 and cash of $589 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2014. |
(m) | Financial Derivative Instruments: Over the Counter |
Forward Foreign Currency Contracts:
Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||||
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Asset | Liability | |||||||||||||||||||||
BOA |
10/2014 | BRL | 13,700 | $ | 5,636 | $ | 40 | $ | (1 | ) | ||||||||||||||||
10/2014 | $ | 6,010 | BRL | 13,700 | 0 | (413 | ) | |||||||||||||||||||
11/2014 | EUR | 5,352 | $ | 7,067 | 305 | 0 | ||||||||||||||||||||
11/2014 | $ | 4,678 | BRL | 11,453 | 0 | (40 | ) | |||||||||||||||||||
11/2014 | 1,618 | EUR | 1,209 | 0 | (90 | ) | ||||||||||||||||||||
BPS |
10/2014 | BRL | 16,444 | $ | 7,222 | 503 | 0 | |||||||||||||||||||
10/2014 | $ | 7,156 | BRL | 16,444 | 0 | (438 | ) | |||||||||||||||||||
11/2014 | EUR | 61,290 | $ | 81,499 | 4,060 | 0 | ||||||||||||||||||||
11/2014 | $ | 3,634 | EUR | 2,762 | 0 | (145 | ) |
BRC |
10/2014 | BRL | 22,433 | $ | 9,953 | 788 | 0 | |||||||||||||||||||
10/2014 | GBP | 7,084 | 11,592 | 108 | 0 | |||||||||||||||||||||
10/2014 | $ | 9,153 | BRL | 22,433 | 12 | 0 | ||||||||||||||||||||
10/2014 | 4,870 | GBP | 2,935 | 0 | (111 | ) | ||||||||||||||||||||
11/2014 | EUR | 4,943 | $ | 6,415 | 170 | 0 | ||||||||||||||||||||
11/2014 | GBP | 417 | 684 | 8 | 0 | |||||||||||||||||||||
11/2014 | $ | 10,507 | EUR | 8,115 | 0 | (254 | ) | |||||||||||||||||||
11/2014 | 13,946 | GBP | 8,600 | 0 | (8 | ) | ||||||||||||||||||||
01/2015 | BRL | 470 | $ | 199 | 12 | 0 | ||||||||||||||||||||
CBK |
10/2014 | CAD | 882 | 800 | 13 | 0 | ||||||||||||||||||||
10/2014 | GBP | 418 | 678 | 1 | 0 | |||||||||||||||||||||
10/2014 | $ | 4,298 | AUD | 4,844 | 0 | (57 | ) | |||||||||||||||||||
11/2014 | AUD | 4,844 | $ | 4,288 | 57 | 0 | ||||||||||||||||||||
11/2014 | EUR | 1,744 | 2,249 | 45 | 0 | |||||||||||||||||||||
11/2014 | $ | 3,282 | EUR | 2,531 | 0 | (84 | ) | |||||||||||||||||||
01/2015 | BRL | 122,505 | $ | 51,885 | 3,092 | 0 | ||||||||||||||||||||
DUB |
10/2014 | AUD | 2,035 | 1,893 | 112 | 0 | ||||||||||||||||||||
11/2014 | EUR | 184 | 240 | 8 | 0 | |||||||||||||||||||||
FBF |
10/2014 | BRL | 140,379 | 60,491 | 3,140 | 0 | ||||||||||||||||||||
10/2014 | $ | 59,536 | BRL | 140,379 | 30 | (2,216 | ) | |||||||||||||||||||
11/2014 | 3,029 | 7,342 | 0 | (55 | ) | |||||||||||||||||||||
01/2015 | BRL | 117,684 | $ | 49,869 | 2,996 | 0 | ||||||||||||||||||||
GLM |
10/2014 | 218,158 | 94,265 | 5,139 | 0 | |||||||||||||||||||||
10/2014 | JPY | 658,822 | 6,329 | 322 | 0 | |||||||||||||||||||||
10/2014 | $ | 89,100 | BRL | 218,158 | 116 | (90 | ) | |||||||||||||||||||
11/2014 | EUR | 2,276 | $ | 2,901 | 27 | (1 | ) | |||||||||||||||||||
01/2015 | BRL | 47,610 | 19,968 | 1,005 | 0 | |||||||||||||||||||||
HUS |
10/2014 | GBP | 6,330 | 10,247 | 0 | (15 | ) | |||||||||||||||||||
11/2014 | 1,684 | 2,748 | 19 | 0 | ||||||||||||||||||||||
JPM |
10/2014 | 1,027 | 1,697 | 32 | 0 | |||||||||||||||||||||
10/2014 | $ | 135,414 | GBP | 82,964 | 0 | (917 | ) | |||||||||||||||||||
10/2014 | 6,053 | JPY | 658,822 | 0 | (46 | ) | ||||||||||||||||||||
11/2014 | EUR | 2,583 | $ | 3,366 | 103 | 0 | ||||||||||||||||||||
11/2014 | GBP | 82,964 | 135,378 | 919 | 0 | |||||||||||||||||||||
11/2014 | JPY | 658,822 | 6,054 | 46 | 0 | |||||||||||||||||||||
11/2014 | $ | 7,688 | GBP | 4,700 | 0 | (70 | ) | |||||||||||||||||||
MSB |
10/2014 | BRL | 20,228 | $ | 8,772 | 508 | 0 | |||||||||||||||||||
10/2014 | GBP | 71,041 | 117,823 | 2,655 | 0 | |||||||||||||||||||||
10/2014 | $ | 8,253 | BRL | 20,228 | 11 | 0 | ||||||||||||||||||||
11/2014 | 2,001 | 4,784 | 0 | (64 | ) | |||||||||||||||||||||
11/2014 | 10,500 | EUR | 8,100 | 0 | (266 | ) | ||||||||||||||||||||
RBC |
10/2014 | AUD | 2,809 | $ | 2,566 | 107 | 0 | |||||||||||||||||||
10/2014 | BRL | 14,721 | 6,006 | 0 | (8 | ) | ||||||||||||||||||||
10/2014 | $ | 6,144 | BRL | 14,721 | 0 | (130 | ) | |||||||||||||||||||
UAG |
10/2014 | BRL | 294,874 | $ | 120,308 | 0 | (160 | ) | ||||||||||||||||||
10/2014 | $ | 126,618 | BRL | 294,874 | 0 | (6,151 | ) | |||||||||||||||||||
11/2014 | BRL | 215,599 | $ | 90,932 | 3,630 | 0 | ||||||||||||||||||||
01/2015 | 54,669 | 23,540 | 1,765 | 0 | ||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 31,904 | $ | (11,830 | ) | ||||||||||||||||||||
|
|
|
|
Swap Agreements:
Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (1)
Swap Agreements, at Value | ||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity | Fixed Deal Receive Rate |
Maturity Date |
Implied Credit Spread at September 30, 2014 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||||||||||||||||||||||
BOA | Gazprom OAO Via Gaz Capital S.A. |
1.000% | 03/20/2019 | 3.149% | $ | 10,000 | $ | (876 | ) | $ | 11 | $ | 0 | $ | (865 | ) | ||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2024 | 2.759% | 2,300 | (223 | ) | (84 | ) | 0 | (307 | ) | |||||||||||||||||||||||
Russia Government International Bond |
1.000% | 09/20/2024 | 2.766% | 1,000 | (102 | ) | (34 | ) | 0 | (136 | ) | |||||||||||||||||||||||
BPS | Petrobras International Finance Co. |
1.000% | 03/20/2019 | 2.283% | 20,000 | (1,735 | ) | 668 | 0 | (1,067 | ) | |||||||||||||||||||||||
BRC | Russia Government International Bond |
1.000% | 06/20/2019 | 2.430% | 1,700 | (105 | ) | 1 | 0 | (104 | ) | |||||||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2024 | 2.759% | 4,900 | (574 | ) | (79 | ) | 0 | (653 | ) | |||||||||||||||||||||||
Russia Government International Bond |
1.000% | 09/20/2024 | 2.766% | 1,000 | (83 | ) | (54 | ) | 0 | (137 | ) | |||||||||||||||||||||||
CBK | Gazprom OAO Via Gaz Capital S.A. |
1.000% | 03/20/2019 | 3.149% | 15,000 | (1,276 | ) | (21 | ) | 0 | (1,297 | ) | ||||||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2019 | 2.430% | 7,900 | (489 | ) | 4 | 0 | (485 | ) | ||||||||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2024 | 2.759% | 3,900 | (434 | ) | (86 | ) | 0 | (520 | ) | |||||||||||||||||||||||
Russia Government International Bond |
1.000% | 09/20/2024 | 2.766% | 2,600 | (225 | ) | (129 | ) | 0 | (354 | ) | |||||||||||||||||||||||
GST | Altice S.A. |
5.000% | 06/20/2019 | 3.464% | EUR | 4,400 | 234 | 143 | 377 | 0 | ||||||||||||||||||||||||
Petrobras International Finance Co. |
1.000% | 03/20/2019 | 2.283% | $ | 15,000 | (1,294 | ) | 494 | 0 | (800 | ) | |||||||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2019 | 2.430% | 3,300 | (204 | ) | 1 | 0 | (203 | ) | ||||||||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2024 | 2.759% | 400 | (45 | ) | (8 | ) | 0 | (53 | ) | |||||||||||||||||||||||
HUS | Russia Government International Bond |
1.000% | 09/20/2024 | 2.766% | 593 | (81 | ) | 0 | 0 | (81 | ) | |||||||||||||||||||||||
JPM | Gazprom OAO Via Gaz Capital S.A. |
1.000% | 03/20/2019 | 3.149% | 15,000 | (1,295 | ) | (2 | ) | 0 | (1,297 | ) | ||||||||||||||||||||||
Russia Government International Bond |
1.000% | 06/20/2024 | 2.759% | 700 | (64 | ) | (29 | ) | 0 | (93 | ) | |||||||||||||||||||||||
MYC | Gazprom OAO Via Gaz Capital S.A. |
1.000% | 03/20/2019 | 3.149% | 10,000 | (876 | ) | 11 | 0 | (865 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (9,747 | ) | $ | 807 | $ | 377 | $ | (9,317 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps on Credit Indices - Sell Protection (1)
Swap Agreements, at Value (4) | ||||||||||||||||||||||||||||||
Counterparty | Index/Tranches | Fixed Deal Receive Rate |
Maturity Date |
Notional Amount (3) |
Premiums (Received) |
Unrealized Appreciation |
Asset | Liability | ||||||||||||||||||||||
BRC | ABX.HE.AAA.6-2 Index | 0.110 | % | 05/25/2046 | $ | 12,427 | $ | (2,680 | ) | $ | 146 | $ | 0 | $ | (2,534 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest Rate Swaps
Swap Agreements, at Value | ||||||||||||||||||||||||||||||||||
Counterparty | Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Premiums Paid |
Unrealized (Depreciation) |
Asset | Liability | |||||||||||||||||||||||||
MYC | Pay | 1-Year BRL-CDI |
11.680% | 01/04/2021 | BRL | 218,000 | $ | 129 | $ | (982 | ) | $ | 0 | $ | (853 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
Total Return Swaps on Convertible Securities
Swap Agreements, at Value | ||||||||||||||||||||||||||||||||||
Counterparty | Pay/ Receive |
Underlying Reference | # of Shares |
Financing Rate | Maturity Date |
Notional Amount |
Premiums Paid/ |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | ||||||||||||||||||||||||
DUB | Receive | OGX Petroleo e Gas Participaceos |
19,368 | Not Applicable, Fully Funded |
02/11/2015 | $ | 2,863 | $ | 2,863 | $ | 1,691 | $ | 4,554 | $ | 0 | |||||||||||||||||||
Receive | OGX Petroleo e Gas Participaceos |
19,303 | Not Applicable, Fully Funded |
04/11/2015 | 3,424 | 3,424 | (8 | ) | 3,416 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 6,287 | $ | 1,683 | $ | 7,970 | $ | 0 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (6,011 | ) | $ | 1,654 | $ | 8,347 | $ | (12,704 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
(n) | Securities with an aggregate market value of $8,917 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2014. |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of September 30, 2014 in valuing the Funds assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 09/30/2014 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 907,098 | $ | 16,570 | $ | 923,668 | ||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 | 848,464 | 62,898 | 911,362 | ||||||||||||
Industrials |
0 | 1,245,450 | 23,542 | 1,268,992 | ||||||||||||
Utilities |
0 | 321,944 | 4,512 | 326,456 | ||||||||||||
Municipal Bonds & Notes |
||||||||||||||||
Iowa |
0 | 1,780 | 0 | 1,780 | ||||||||||||
New Jersey |
0 | 0 | 7,066 | 7,066 | ||||||||||||
West Virginia |
0 | 12,632 | 0 | 12,632 | ||||||||||||
U.S. Government Agencies |
0 | 45,829 | 0 | 45,829 | ||||||||||||
U.S. Treasury Obligations |
0 | 18,818 | 0 | 18,818 | ||||||||||||
Mortgage-Backed Securities |
0 | 952,957 | 6,357 | 959,314 | ||||||||||||
Asset-Backed Securities |
0 | 984,642 | 3,307 | 987,949 | ||||||||||||
Sovereign Issues |
0 | 211,866 | 0 | 211,866 | ||||||||||||
Preferred Securities |
||||||||||||||||
Banking & Finance |
8,829 | 58,513 | 0 | 67,342 | ||||||||||||
Industrials |
0 | 3,167 | 0 | 3,167 | ||||||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 27,400 | 0 | 27,400 | ||||||||||||
Short-Term Notes |
0 | 38,696 | 0 | 38,696 | ||||||||||||
U.S. Treasury Bills |
0 | 46,401 | 0 | 46,401 | ||||||||||||
Total Investments |
$ | 8,829 | $ | 5,725,657 | $ | 124,252 | $ | 5,858,738 | ||||||||
Financial Derivative Instruments - Assets |
|
|||||||||||||||
Exchange-traded or centrally cleared |
0 | 4,245 | 0 | 4,245 | ||||||||||||
Over the counter |
0 | 32,281 | 7,970 | 40,251 | ||||||||||||
$ | 0 | $ | 36,526 | $ | 7,970 | $ | 44,496 | |||||||||
Financial Derivative Instruments - Liabilities |
|
|||||||||||||||
Exchange-traded or centrally cleared |
0 | (293 | ) | 0 | (293 | ) | ||||||||||
Over the counter |
0 | (24,534 | ) | 0 | (24,534 | ) | ||||||||||
$ | 0 | $ | (24,827 | ) | $ | 0 | $ | (24,827 | ) | |||||||
Totals |
$ | 8,829 | $ | 5,737,356 | $ | 132,222 | $ | 5,878,407 |
There were no significant transfers between Level 1 and 2 during the period ended September 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2014:
Category and Subcategory | Beginning at 12/31/2013 |
Net Purchases (1) |
Net Sales (1) |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (2) |
Transfers into Level 3 |
Transfers out |
Ending Balance at 09/30/2014 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 09/30/2014 (2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Bank Loan Obligations |
$ | 67,719 | $ | 5,275 | $ | (23,273 | ) | $ | 217 | $ | (43 | ) | $ | (792 | ) | $ | 11,295 | $ | (43,828 | ) | $ | 16,570 | $ | (239 | ) | |||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
0 | 61,642 | 0 | 45 | 0 | 1,211 | 0 | 0 | 62,898 | 1,211 | ||||||||||||||||||||||||||||||
Industrials |
16,973 | 34,578 | 0 | 0 | 0 | 259 | 0 | (28,268 | ) | 23,542 | 342 | |||||||||||||||||||||||||||||
Utilities |
34,440 | 0 | 0 | 0 | 0 | 1,572 | 0 | (31,500 | ) | 4,512 | 14 | |||||||||||||||||||||||||||||
Municipal Bonds & Notes New Jersey |
0 | 7,076 | (70 | ) | (2 | ) | 0 | 62 | 0 | 0 | 7,066 | 61 | ||||||||||||||||||||||||||||
Mortgage-Backed Securities |
0 | 6,195 | 0 | 9 | 0 | 153 | 0 | 0 | 6,357 | 153 | ||||||||||||||||||||||||||||||
Asset-Backed Securities |
3,595 | 0 | (455 | ) | (2 | ) | (4 | ) | 173 | 0 | 0 | 3,307 | 168 | |||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 122,727 | $ | 114,766 | $ | (23,798 | ) | $ | 267 | $ | (47 | ) | $ | 2,638 | $ | 11,295 | $ | (103,596 | ) | $ | 124,252 | $ | 1,710 | ||||||||||||||||||
Financial Derivative Instruments Assets |
| |||||||||||||||||||||||||||||||||||||||
Over the counter |
0 | 6,287 | 0 | 0 | 0 | 1,683 | 0 | 0 | 7,970 | 1,683 | ||||||||||||||||||||||||||||||
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|
|
|
|||||||||||||||||||||
Totals |
$ | 122,727 | $ | 121,053 | $ | (23,798 | ) | $ | 267 | $ | (47 | ) | $ | 4,321 | $ | 11,295 | $ | (103,596 | ) | $ | 132,222 | $ | 3,393 | |||||||||||||||||
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|
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending at 09/30/2014 |
Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
||||||||||||
Bank Loan Obligations |
16,570 | Third Party Vendor |
Broker Quote |
83.00 - 100.25 | ||||||||
Corporate Bonds & Notes |
||||||||||||
Banking & Finance |
10,248 | Benchmark Pricing |
Base Price |
100.00 | ||||||||
30,750 | Discounted Cash Flows |
Credit Rating OAS Spread Yield |
|
B-BBB 600 - 950bps 8.75 - 9.75 |
| |||||||
21,900 | Market Comparable Companies |
Credit Rating Net Debt to Equity Ratio Yield |
|
B-BB 8-10x 8.00 - 10.00 |
| |||||||
Industrials |
23,542 | Benchmark Pricing |
Base Price |
102.67 | ||||||||
Utilities |
4,512 | Benchmark Pricing |
Base Price |
94.05 | ||||||||
Municipal Bonds & Notes |
||||||||||||
New Jersey |
7,066 | Benchmark Pricing |
Base Price |
100.38 | ||||||||
Mortgage-Backed Securities |
6,357 | Benchmark Pricing |
Base Price |
85.49 | ||||||||
Asset-Backed Securities |
3,307 | Benchmark Pricing |
Base Price |
106.00 | ||||||||
Financial Derivative Instruments - Assets |
||||||||||||
Over the counter |
7,970 | Indicative Market Quotation |
Broker Quote |
99.77 - 159.06 | ||||||||
|
|
|||||||||||
Total |
$ | 132,222 | ||||||||||
|
|
(1) | Net Purchases and Sales for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
(2) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
| All or a portion of this security is owned by PIMCO PCILS I LLC, which is a 100% owned subsidiary of the Fund. |
See Accompanying Notes
Notes to Financial Statements
1. BASIS FOR CONSOLIDATION
PCILS I LLC (the Subsidiary), a Delaware limited liability company, was formed as a wholly owned subsidiary of PIMCO Dynamic Credit Income Fund for purposes of serving as an investment vehicle for the Fund to effect certain investments for the Fund consistent with PIMCO Dynamic Credit Income Funds investment objectives and policies in effect from time to time. PIMCO Dynamic Credit Income Funds investment portfolio has been consolidated and includes the portfolio holdings of both PIMCO Dynamic Credit Income Fund and the Subsidiary. Accordingly, the consolidated financial statements include the accounts of PIMCO Dynamic Credit Income Fund and the Subsidiary. All inter-company transactions and balances have been eliminated. As of the date of this report, the only asset held by the Subsidiary was the AMPAM Parks Mechanical, Inc. senior loan, as reflected in PIMCO Dynamic Credit Income Funds Consolidated Schedule of Investments. This structure was established so that the loan could be held by a separate legal entity from the Fund. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiary to the PIMCO Dynamic Credit Income Fund (amounts in thousands).
Date of Formation | Fund Net Assets |
Subsidiary Net Assets |
% of Fund Net Assets |
|||||||||
03/07/2013 |
3,357,512 | 21,695 | 0.6 | % |
2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The Net Asset Value (NAV) of the Funds shares is valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (the NYSE Close) on each day that the New York Stock Exchange (NYSE) is open (each a Business Day). Information that becomes known to the Fund or its agents after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day.
For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Board of Trustees (the Board) of the Trust. The Board has formed a Valuation Committee whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and, as required by the Trusts valuation policies, determine in good faith the fair value of portfolio holdings after consideration of all relevant factors, including recommendations provided by the Adviser. The Board has delegated responsibility for applying the valuation methods to the investment adviser (the Adviser). The Adviser monitors the continual appropriateness of methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services. Where market quotes are not readily available, portfolio securities and other financial derivative instruments are valued at fair value, as determined in good faith by the Board, its Valuation Committee, or the Adviser pursuant to instructions from the Board or its Valuation Committee. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Funds securities or financial derivative instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Adviser, PIMCO, the responsibility for monitoring significant events that may materially affect the values of the Funds securities or financial derivative instruments and for determining whether the value of the applicable securities or financial derivative instruments should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other financial derivative instruments that may require fair valuation under particular circumstances. The Adviser monitors the continual appropriateness of fair valuation methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Adviser determines that a fair valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will take any appropriate action in accordance with procedures set forth by the Board. The Board reviews the appropriateness of the valuation methods from time to time and these methods may be amended or supplemented from time to time by the Valuation Committee.
In circumstances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued pursuant to the established guidelines, the value of the security or other financial derivative instrument will be determined in good faith by the Valuation Committee of the Board, generally based upon recommendations provided by PIMCO. These methods may require subjective determinations about the value of a security. While the Trusts policy is intended to result in a calculation of the Funds NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair market value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| Level 1Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities. |
| Level 2Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| Level 3Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the valuation method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of valuation methods used by third-party pricing
services (Level 2) to the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by third-party pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Consolidated Notes to Schedule of Investments for the Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of the Funds assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Consolidated Notes to Schedule of Investments for the Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair market value The valuation methods (or techniques) and significant inputs used in determining the fair market values of portfolio securities or financial derivative instruments categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, exchange-traded funds, exchange-traded notes and financial derivative instruments, such as futures contracts or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing service providers. As a result, the NAV of the Funds shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and the NAV may change on days when an investor is not able to purchase, redeem or exchange shares. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Equity-linked securities are valued by referencing the last reported sale or settlement price of the linked referenced equity on the day of valuation. Foreign exchange adjustments are applied to the last reported price to convert the linked equitys trading currency to the contracts settling currency. These investments are categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted. Investments in privately held investment funds with significant restrictions on redemption where the inputs to the NAVs are observable will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less and repurchase agreements are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued by independent pricing service providers. Depending on the product and the terms of the transaction, financial derivative instruments can be valued by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable price levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (LIBOR) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, securities will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:
Benchmark pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Committee. Significant changes in the unobservable inputs of the benchmark pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy. The validity of the fair value is reviewed by PIMCO on a periodic basis and may be amended as the availability of market data indicates a material change.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the investment advisor may elect to obtain indicative market quotations (broker quotes) directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced broker quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker quotes are typically received from established market participants. Although independently received, the investment advisor does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the broker quote would have direct and proportional changes in the fair value of the security.
Discounted cash flow valuation uses an internal analysis based on the portfolio managers expectation of principal and interest payments, fees and costs, and other unobservable inputs which may include credit rating, yield and option adjusted spread (OAS) of a security. Significant changes in the unobservable inputs of the models would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Market comparable companies valuation estimates fair value by using an internal model that utilizes comparable companies inputs such as the companys credit rating, debt to equity ratios, market multiples derived from earnings before interest, taxes, depreciation and amortization (EBITDA), manager assumptions regarding such comparable companies and requested non-public statements from the underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The validity of the fair value is reviewed by PIMCO on a periodic basis and may be amended as the availability of market data indicates a material change.
3. FEDERAL INCOME TAX MATTERS
The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the Code) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
In accordance with U.S. GAAP, the Adviser has reviewed the Funds tax positions for all open tax years. As of December 31, 2014, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.
The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Funds U.S. tax returns filed for the fiscal years from 2011-2013, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
As of September 30, 2014, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):
Federal Tax Cost |
Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation/ Appreciation (1) | |||
$ 5,781,722 | $ 186,769 | $ (109,753) | $ 77,016 |
(1) | Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes. |
GLOSSARY: (abbreviations that may be used in the preceding statements) | (Unaudited) | |||||||||
Counterparty Abbreviations: | ||||||||||
BCY | Barclays Capital, Inc. | DEU | Deutsche Bank Securities, Inc. | MYI | Morgan Stanley & Co. International PLC | |||||
BOA | Bank of America N.A. | DUB | Deutsche Bank AG | RBC | Royal Bank of Canada | |||||
BOS | Banc of America Securities LLC | FBF | Credit Suisse International | RDR | RBC Dain Rausher, Inc. | |||||
BPG | BNP Paribas Securities Corp. | GLM | Goldman Sachs Bank USA | RYL | Royal Bank of Scotland Group PLC | |||||
BPS | BNP Paribas S.A. | GST | Goldman Sachs International | SBI | Citigroup Global Markets Ltd. | |||||
BRC | Barclays Bank PLC | HUS | HSBC Bank USA N.A. | SOG | Societe Generale | |||||
CBK | Citibank N.A. | JPM | JPMorgan Chase Bank N.A. | UAG | UBS AG Stamford | |||||
CFR | Credit Suisse Securities (Europe) Ltd. | MSB | Morgan Stanley Bank, N.A | UBS | UBS Securities LLC | |||||
DBL | Deutsche Bank AG London | MYC | Morgan Stanley Capital Services, Inc. | ULW | UBS Ltd. | |||||
Currency Abbreviations: | ||||||||||
AUD | Australian Dollar | EUR | Euro | JPY | Japanese Yen | |||||
BRL | Brazilian Real | GBP | British Pound | USD (or $) | United States Dollar | |||||
CAD | Canadian Dollar | |||||||||
Index Abbreviations: | ||||||||||
ABX.HE | Asset-Backed Securities Index - Home Equity | CDX.HY | Credit Derivatives Index - High Yield | |||||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | BBSW | Bank Bill Swap Reference Rate | LIBOR | London Interbank Offered Rate | |||||
ALT | Alternate Loan Trust | CDI | Brazil Interbank Deposit Rate | PIK | Payment-in-Kind | |||||
BBR | Bank Bill Rate | CDO | Collateralized Debt Obligation | TBD | To Be Determined |
Item 2. Controls and Procedures
(a) The registrants President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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.
Dynamic Credit Income
By: /s/ Peter G. Strelow
Peter G. Strelow
President, Principal Executive Officer
Date: November 25, 2014
By: /s/ William G. Galipeau
William G. Galipeau
Treasurer, Principal Financial & Accounting Officer
Date: November 25, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Peter G. Strelow
Peter G. Strelow,
President, Principal Executive Officer
Date: November 25, 2014
By: /s/ William G. Galipeau
William G. Galipeau
Treasurer, Principal Financial & Accounting Officer
Date: November 25, 2014
Exhibit 99.302CERT
CERTIFICATIONS
I, Peter G. Strelow, certify that:
1. | I have reviewed this report on Form N-Q of PIMCO Dynamic Credit Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: | November 25, 2014 | |
Signature & Title: | /s/ Peter G. Strelow | |
Peter G. Strelow, President, Principal Executive Officer |
I, William G. Galipeau, certify that:
1. | I have reviewed this report on Form N-Q of PIMCO Dynamic Credit Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: | November 25, 2014 | |
Signature & Title: | /s/ William G. Galipeau | |
William G. Galipeau, Treasurer, Principal Financial & Accounting Officer |