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 and Mortgage Income Fund | |
Address of Principal Executive Offices: | 1633 Broadway | |
New York, NY 10019 | ||
Name and Address of Agent for Service: | William G. Galipeau | |
650 Newport Center Drive | ||
Newport Beach, CA 92660 | ||
Registrants telephone number, including area code: | (844) 337-4626 | |
Date of Fiscal Year End: | June 30 | |
Date of Reporting Period: | March 31, 2017 |
Item 1. Schedule of Investments
Consolidated Schedule of Investments
PIMCO Dynamic Credit and Mortgage Income Fund
March 31, 2017 (Unaudited)
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||
INVESTMENTS IN SECURITIES 179.3% |
||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 2.6% |
||||||||
Ancestry.com Operations, Inc. |
||||||||
TBD% due 10/19/2024 |
$ | 7,100 | $ | 7,307 | ||||
BMC Software Finance, Inc. |
||||||||
TBD% due 09/10/2020 |
6,183 | 6,198 | ||||||
iHeartCommunications, Inc. |
||||||||
TBD% due 01/30/2019 |
24,775 | 21,389 | ||||||
Moran Foods LLC |
||||||||
TBD% due 12/05/2023 |
11,970 | 11,960 | ||||||
OGX |
||||||||
TBD% due 04/10/2049 ^ |
2,107 | 573 | ||||||
Sequa Corp. |
||||||||
TBD% due 06/19/2017 |
28,697 | 28,410 | ||||||
Sierra Hamilton LLC |
||||||||
TBD% due 06/13/2017 |
2,540 | 2,464 | ||||||
|
|
|||||||
Total Loan Participations and Assignments (Cost $82,298) |
78,301 | |||||||
|
|
|||||||
CORPORATE BONDS & NOTES 33.6% |
||||||||
BANKING & FINANCE 10.2% |
||||||||
AGFC Capital Trust |
||||||||
2.772% due 01/15/2067 (l) |
20,300 | 11,469 | ||||||
Banco Espirito Santo S.A. |
||||||||
2.625% due 05/08/2017 ^ |
EUR | 6,900 | 2,190 | |||||
4.000% due 01/21/2019 ^ |
15,000 | 4,761 | ||||||
Banco Popular Espanol S.A. |
||||||||
11.500% due 10/10/2018 (h)(l) |
3,700 | 4,046 | ||||||
Barclays Bank PLC |
||||||||
7.625% due 11/21/2022 (l) |
$ | 4,500 | 4,930 | |||||
Barclays PLC |
||||||||
6.500% due 09/15/2019 (h) |
EUR | 100 | 109 | |||||
Credit Agricole S.A. |
||||||||
7.500% due 06/23/2026 (h)(l) |
GBP | 20,900 | 26,746 | |||||
Exeter Finance Corp. |
||||||||
9.750% due 05/20/2019 |
$ | 21,900 | 20,980 | |||||
Jefferies Finance LLC |
||||||||
6.875% due 04/15/2022 (l) |
1,200 | 1,152 | ||||||
7.500% due 04/15/2021 (l) |
16,104 | 16,305 | ||||||
Jefferies LoanCore LLC |
||||||||
6.875% due 06/01/2020 (l) |
6,400 | 6,512 | ||||||
Legg Mason PT |
||||||||
7.130% due 01/10/2021 |
11,126 | 11,356 | ||||||
Nationwide Building Society |
||||||||
10.250% due 06/29/2049 (h) |
GBP | 76 | 13,181 | |||||
Navient Corp. |
||||||||
6.500% due 06/15/2022 |
$ | 3,814 | 3,852 | |||||
8.000% due 03/25/2020 (l) |
9,500 | 10,343 | ||||||
Novo Banco S.A. |
||||||||
5.000% due 05/21/2019 |
EUR | 1,500 | 1,479 | |||||
OneMain Financial Holdings LLC |
||||||||
6.750% due 12/15/2019 (l) |
$ | 7,532 | 7,899 | |||||
Pinnacol Assurance |
||||||||
8.625% due 06/25/2034 (j) |
23,200 | 23,266 | ||||||
Rio Oil Finance Trust |
||||||||
9.250% due 07/06/2024 (l) |
18,406 | 18,728 | ||||||
9.250% due 07/06/2024 |
1,364 | 1,388 | ||||||
9.750% due 01/06/2027 |
3,388 | 3,431 | ||||||
Royal Bank of Scotland Group PLC |
||||||||
7.500% due 08/10/2020 (h)(l) |
36,143 | 35,736 | ||||||
8.000% due 08/10/2025 (h)(l) |
6,627 | 6,594 | ||||||
8.625% due 08/15/2021 (h) |
1,500 | 1,567 | ||||||
Springleaf Finance Corp. |
||||||||
7.750% due 10/01/2021 (l) |
3,650 | 3,901 | ||||||
8.250% due 12/15/2020 (l) |
4,090 | 4,479 | ||||||
TIG FinCo PLC |
||||||||
8.500% due 03/02/2020 (l) |
GBP | 3,318 | 4,270 | |||||
8.750% due 04/02/2020 (l) |
43,834 | 52,195 | ||||||
UBS Group AG |
||||||||
5.750% due 02/19/2022 (h)(l) |
EUR | 3,600 | 4,161 | |||||
|
|
|||||||
307,026 | ||||||||
|
|
|||||||
INDUSTRIALS 19.7% |
||||||||
Altice Financing S.A. |
||||||||
7.500% due 05/15/2026 (l) |
$ | 10,100 | 10,756 |
Altice Luxembourg S.A. |
||||||||
7.250% due 05/15/2022 (l) |
EUR | 3,627 | 4,101 | |||||
Aston Martin Capital Ltd. |
||||||||
5.750% due 04/15/2022 (c) |
GBP | 352 | 441 | |||||
6.500% due 04/15/2022 (c) |
$ | 320 | 320 | |||||
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
||||||||
9.000% due 10/15/2019 (d)(l) |
28,642 | 28,714 | ||||||
BWAY Holding Co. |
||||||||
5.500% due 04/15/2024 (c) |
706 | 713 | ||||||
7.250% due 04/15/2025 (c) |
502 | 503 | ||||||
Caesars Entertainment Operating Co., Inc. |
||||||||
8.500% due 02/15/2020 ^(i)(l) |
70,792 | 82,296 | ||||||
9.000% due 02/15/2020 ^(i) |
4,457 | 5,198 | ||||||
11.250% due 06/01/2017 ^(i) |
5,016 | 5,706 | ||||||
Cardtronics, Inc. |
||||||||
5.500% due 05/01/2025 (c) |
154 | 156 | ||||||
Charter Communications Operating LLC |
||||||||
5.375% due 05/01/2047 (c) |
335 | 338 | ||||||
Chesapeake Energy Corp. |
||||||||
4.272% due 04/15/2019 |
134 | 134 | ||||||
Chobani LLC |
||||||||
7.500% due 04/15/2025 (c) |
368 | 379 | ||||||
CommScope Technologies LLC |
||||||||
5.000% due 03/15/2027 |
387 | 387 | ||||||
Community Health Systems, Inc. |
||||||||
6.250% due 03/31/2023 |
825 | 845 | ||||||
CSN Resources S.A. |
||||||||
6.500% due 07/21/2020 (l) |
2,430 | 2,041 | ||||||
6.500% due 07/21/2020 |
180 | 151 | ||||||
Diamond Resorts International, Inc. |
||||||||
7.750% due 09/01/2023 (l) |
35 | 37 | ||||||
10.750% due 09/01/2024 (l) |
13,000 | 13,585 | ||||||
Dole Food Co., Inc. |
||||||||
7.250% due 06/15/2025 (c) |
342 | 343 | ||||||
DriveTime Automotive Group, Inc. |
||||||||
8.000% due 06/01/2021 (l) |
6,500 | 6,402 | ||||||
Dynegy, Inc. |
||||||||
8.034% due 02/02/2024 (l) |
16,742 | 15,905 | ||||||
EI Group PLC |
||||||||
6.875% due 05/09/2025 (l) |
GBP | 2,210 | 3,014 | |||||
Forbes Energy Services Ltd. |
||||||||
9.000% due 06/15/2019 ^(i) |
$ | 8,140 | 5,413 | |||||
Fresh Market, Inc. |
||||||||
9.750% due 05/01/2023 (l) |
20,506 | 16,610 | ||||||
Frontier Finance PLC |
||||||||
8.000% due 03/23/2022 |
GBP | 24,200 | 30,257 | |||||
Gartner, Inc. |
||||||||
5.125% due 04/01/2025 |
$ | 265 | 271 | |||||
Goodyear Tire & Rubber Co. |
||||||||
4.875% due 03/15/2027 |
214 | 215 | ||||||
Hellenic Railways Organization S.A. |
||||||||
5.014% due 12/27/2017 |
EUR | 800 | 820 | |||||
Hexion, Inc. |
||||||||
10.375% due 02/01/2022 |
$ | 227 | 227 | |||||
13.750% due 02/01/2022 |
226 | 218 | ||||||
iHeartCommunications, Inc. |
||||||||
9.000% due 03/01/2021 (l) |
36,570 | 27,885 | ||||||
Intelsat Jackson Holdings S.A. |
||||||||
7.250% due 04/01/2019 (l) |
44,100 | 42,281 | ||||||
Intelsat Luxembourg S.A. |
||||||||
7.750% due 06/01/2021 |
15,815 | 9,568 | ||||||
8.125% due 06/01/2023 |
1,289 | 785 | ||||||
Intrepid Aviation Group Holdings LLC |
||||||||
6.875% due 02/15/2019 (l) |
41,575 | 39,704 | ||||||
8.250% due 07/15/2017 |
3,500 | 3,504 | ||||||
Mallinckrodt International Finance S.A. |
||||||||
4.750% due 04/15/2023 (l) |
8,460 | 7,212 | ||||||
5.500% due 04/15/2025 (l) |
4,000 | 3,700 | ||||||
Millar Western Forest Products Ltd. |
||||||||
8.500% due 04/01/2021 (l) |
35,005 | 22,228 | ||||||
N&W Global Vending SpA |
||||||||
7.000% due 10/15/2023 |
EUR | 4,393 | 4,920 | |||||
OGX Austria GmbH |
||||||||
8.375% due 04/01/2022 ^ |
$ | 6,000 | 1 | |||||
8.500% due 06/01/2018 ^ |
48,450 | 1 | ||||||
Ortho-Clinical Diagnostics, Inc. |
||||||||
6.625% due 05/15/2022 (l) |
8,555 | 7,999 | ||||||
Petroleos de Venezuela S.A. |
||||||||
6.000% due 11/15/2026 |
1,070 | 377 | ||||||
Prime Security Services Borrower LLC |
||||||||
9.250% due 05/15/2023 (l) |
3,755 | 4,126 | ||||||
Russian Railways via RZD Capital PLC |
||||||||
7.487% due 03/25/2031 |
GBP | 100 | 151 |
Safeway, Inc. |
||||||||
7.250% due 02/01/2031 (l) |
$ | 1,200 | 1,169 | |||||
Sequa Corp. |
||||||||
7.000% due 12/15/2017 (l) |
24,447 | 13,079 | ||||||
SFR Group S.A. |
||||||||
7.375% due 05/01/2026 (l) |
4,700 | 4,859 | ||||||
Soho House Bond Ltd. |
||||||||
9.125% due 10/01/2018 (l) |
GBP | 14,725 | 18,908 | |||||
Spanish Broadcasting System, Inc. |
||||||||
12.500% due 04/15/2017 (l) |
$ | 60,430 | 60,581 | |||||
Team Health Holdings, Inc. |
||||||||
6.375% due 02/01/2025 |
85 | 84 | ||||||
Tembec Industries, Inc. |
||||||||
9.000% due 12/15/2019 (l) |
6,615 | 6,813 | ||||||
UCP, Inc. |
||||||||
8.500% due 10/21/2017 |
23,300 | 23,159 | ||||||
Unique Pub Finance Co. PLC |
||||||||
5.659% due 06/30/2027 (l) |
GBP | 7,585 | 10,603 | |||||
7.395% due 03/28/2024 |
3,700 | 5,180 | ||||||
Westmoreland Coal Co. |
||||||||
8.750% due 01/01/2022 (l) |
$ | 32,972 | 31,159 | |||||
Yellowstone Energy LP |
||||||||
5.750% due 12/31/2026 |
4,114 | 4,122 | ||||||
|
|
|||||||
590,654 | ||||||||
|
|
|||||||
UTILITIES 3.7% |
||||||||
Frontier Communications Corp. |
||||||||
8.500% due 04/15/2020 |
17,100 | 18,105 | ||||||
11.000% due 09/15/2025 (l) |
2,880 | 2,806 | ||||||
Gazprom Neft OAO Via GPN Capital S.A. |
||||||||
6.000% due 11/27/2023 |
5,300 | 5,737 | ||||||
Gazprom OAO Via Gaz Capital S.A. |
||||||||
7.288% due 08/16/2037 (l) |
1,388 | 1,624 | ||||||
8.625% due 04/28/2034 (l) |
2,725 | 3,569 | ||||||
Odebrecht Drilling Norbe Ltd. |
||||||||
6.350% due 06/30/2022 |
3,504 | 1,936 | ||||||
Odebrecht Offshore Drilling Finance Ltd. |
||||||||
6.625% due 10/01/2023 (j) |
755 | 283 | ||||||
6.750% due 10/01/2023 (j) |
23,352 | 8,757 | ||||||
Petrobras Global Finance BV |
||||||||
5.375% due 10/01/2029 (l) |
GBP | 2,320 | 2,689 | |||||
6.250% due 12/14/2026 (l) |
6,398 | 8,216 | ||||||
6.625% due 01/16/2034 (l) |
11,017 | 13,491 | ||||||
7.375% due 01/17/2027 (l) |
$ | 1,130 | 1,197 | |||||
Sierra Hamilton LLC |
||||||||
12.250% due 12/15/2018 ^(i) |
30,000 | 13,782 | ||||||
Sprint Capital Corp. |
||||||||
6.900% due 05/01/2019 (l) |
3,550 | 3,798 | ||||||
Sprint Communications, Inc. |
||||||||
7.000% due 08/15/2020 (l) |
9,850 | 10,601 | ||||||
Sprint Corp. |
||||||||
7.125% due 06/15/2024 (l) |
14,213 | 15,208 | ||||||
|
|
|||||||
111,799 | ||||||||
|
|
|||||||
Total Corporate Bonds & Notes (Cost $1,093,484) |
1,009,479 | |||||||
|
|
|||||||
MUNICIPAL BONDS & NOTES 1.1% |
||||||||
ILLINOIS 0.0% |
||||||||
Chicago, Illinois General Obligation Bonds, Series 2014 |
||||||||
6.314% due 01/01/2044 |
350 | 314 | ||||||
Chicago, Illinois General Obligation Bonds, Series 2017 |
||||||||
7.045% due 01/01/2029 |
580 | 592 | ||||||
|
|
|||||||
906 | ||||||||
|
|
|||||||
IOWA 0.0% |
||||||||
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
||||||||
6.500% due 06/01/2023 |
1,390 | 1,390 | ||||||
|
|
|||||||
NEW JERSEY 0.2% |
||||||||
New Jersey Economic Development Authority Revenue Bonds, Series 2005 |
||||||||
6.500% due 09/01/2036 |
6,595 | 6,461 | ||||||
|
|
|||||||
VIRGINIA 0.0% |
||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
||||||||
6.706% due 06/01/2046 |
95 | 80 | ||||||
|
|
WEST VIRGINIA 0.9% |
||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
||||||||
0.000% due 06/01/2047 (f) |
231,485 | 11,692 | ||||||
7.467% due 06/01/2047 |
14,360 | 13,774 | ||||||
|
|
|||||||
25,466 | ||||||||
|
|
|||||||
Total Municipal Bonds & Notes (Cost $31,492) |
34,303 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCIES 1.9% |
||||||||
Fannie Mae |
||||||||
3.000% due 01/25/2042 (a)(l) |
1,379 | 118 | ||||||
3.500% due 08/25/2032 (a)(l) |
3,002 | 443 | ||||||
4.532% due 07/25/2029 |
6,610 | 6,698 | ||||||
5.018% due 08/25/2038 (a)(l) |
1,615 | 218 | ||||||
5.168% due 02/25/2043 (a)(l) |
6,169 | 909 | ||||||
5.658% due 12/25/2036 (a)(l) |
4,813 | 848 | ||||||
6.732% due 07/25/2029 |
6,000 | 6,278 | ||||||
6.809% due 10/25/2042 (l) |
2,795 | 2,961 | ||||||
Freddie Mac |
||||||||
0.000% due 04/25/2045 (b)(f) |
13,515 | 11,757 | ||||||
0.200% due 04/25/2045 (a) |
29,734 | 94 | ||||||
4.000% due 03/15/2027 (a)(l) |
1,321 | 160 | ||||||
5.288% due 09/15/2042 (a)(l) |
2,136 | 328 | ||||||
5.588% due 12/15/2034 (a) |
2,358 | 160 | ||||||
5.632% due 10/25/2028 |
4,600 | 4,992 | ||||||
5.982% due 08/25/2029 |
3,260 | 3,222 | ||||||
9.982% due 03/25/2029 |
4,800 | 5,200 | ||||||
11.482% due 10/25/2028 |
1,000 | 1,229 | ||||||
11.732% due 03/25/2025 |
7,240 | 9,133 | ||||||
Ginnie Mae |
||||||||
3.500% due 06/20/2042 (a)(l) |
1,471 | 230 | ||||||
5.142% due 08/20/2042 (a)(l) |
3,855 | 760 | ||||||
5.272% due 12/20/2040 (a)(l) |
3,766 | 566 | ||||||
5.772% due 08/16/2039 (a)(l) |
4,503 | 453 | ||||||
|
|
|||||||
Total U.S. Government Agencies (Cost $53,774) |
56,757 | |||||||
|
|
|||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 51.9% |
||||||||
Adjustable Rate Mortgage Trust |
||||||||
1.132% due 03/25/2037 |
2,492 | 1,905 | ||||||
1.242% due 03/25/2036 |
6,961 | 4,884 | ||||||
3.712% due 03/25/2037 (l) |
5,604 | 4,536 | ||||||
5.150% due 11/25/2037 ^(l) |
1,624 | 1,357 | ||||||
American Home Mortgage Investment Trust |
||||||||
6.600% due 01/25/2037 |
5,327 | 2,941 | ||||||
Arbor Realty Trust, Inc. |
||||||||
5.310% due 04/15/2027 (c) |
5,300 | 5,300 | ||||||
ASG Resecuritization Trust |
||||||||
2.497% due 01/28/2037 |
16,289 | 12,935 | ||||||
6.000% due 06/28/2037 (l) |
45,460 | 31,879 | ||||||
BAMLL Commercial Mortgage Securities Trust |
||||||||
4.110% due 12/15/2029 |
6,400 | 6,424 | ||||||
Banc of America Alternative Loan Trust |
||||||||
6.000% due 07/25/2035 ^ |
174 | 166 | ||||||
6.000% due 04/25/2036 |
1,813 | 1,443 | ||||||
6.000% due 07/25/2046 ^ |
2,074 | 1,815 | ||||||
6.500% due 02/25/2036 ^ |
3,832 | 3,739 | ||||||
14.780% due 09/25/2035 ^ |
491 | 574 | ||||||
Banc of America Commercial Mortgage Trust |
||||||||
5.695% due 07/10/2046 (l) |
6,800 | 6,787 | ||||||
5.761% due 06/10/2049 |
5,697 | 5,711 | ||||||
Banc of America Funding Trust |
||||||||
1.192% due 04/25/2037 ^ |
2,826 | 2,021 | ||||||
3.098% due 09/20/2046 |
3,788 | 3,200 | ||||||
3.254% due 09/20/2047 ^ |
669 | 508 | ||||||
3.420% due 09/20/2037 |
1,290 | 901 | ||||||
3.581% due 04/20/2035 ^ |
4,311 | 3,217 | ||||||
4.738% due 08/26/2036 |
6,044 | 4,473 | ||||||
6.000% due 10/25/2037 ^ |
6,401 | 4,215 | ||||||
Banc of America Mortgage Trust |
||||||||
5.750% due 10/25/2036 ^ |
2,552 | 2,152 | ||||||
5.750% due 05/25/2037 ^(l) |
1,717 | 1,402 | ||||||
6.000% due 10/25/2036 ^ |
310 | 264 | ||||||
Barclays Commercial Mortgage Securities Trust |
||||||||
3.330% due 08/15/2027 |
24,090 | 23,383 | ||||||
Bayview Commercial Asset Trust |
||||||||
1.202% due 03/25/2037 |
290 | 260 | ||||||
1.212% due 12/25/2036 |
451 | 409 | ||||||
1.412% due 08/25/2034 |
216 | 200 | ||||||
BCAP LLC Trust |
||||||||
0.958% due 05/26/2036 |
6,231 | 3,570 | ||||||
1.008% due 02/26/2037 (l) |
19,447 | 11,807 |
1.278% due 05/26/2035 |
7,466 | 5,496 | ||||||
1.314% due 02/26/2047 (l) |
21,751 | 13,110 | ||||||
3.111% due 07/26/2036 |
5,627 | 5,303 | ||||||
3.297% due 07/26/2036 |
1,420 | 1,165 | ||||||
3.377% due 03/27/2037 |
8,819 | 6,353 | ||||||
3.484% due 03/26/2037 |
3,147 | 2,628 | ||||||
5.500% due 12/26/2035 (l) |
14,964 | 12,926 | ||||||
6.040% due 10/26/2037 |
4,709 | 4,114 | ||||||
6.849% due 06/26/2037 |
8,284 | 7,801 | ||||||
7.437% due 11/26/2035 |
2,843 | 2,965 | ||||||
8.130% due 07/26/2036 |
814 | 797 | ||||||
14.333% due 01/26/2036 |
13,287 | 2,950 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust |
||||||||
3.288% due 02/25/2036 ^(l) |
1,784 | 1,521 | ||||||
Bear Stearns ALT-A Trust |
||||||||
1.322% due 08/25/2036 (l) |
42,148 | 36,546 | ||||||
1.482% due 01/25/2036 ^(l) |
13,284 | 11,932 | ||||||
2.107% due 03/25/2035 |
7,568 | 5,850 | ||||||
3.008% due 03/25/2036 |
3,168 | 2,201 | ||||||
3.111% due 07/25/2036 (l) |
63,876 | 35,161 | ||||||
3.211% due 12/25/2046 ^ |
8,016 | 5,898 | ||||||
3.214% due 08/25/2046 |
6,292 | 5,602 | ||||||
3.284% due 09/25/2035 ^ |
9,103 | 6,865 | ||||||
3.342% due 04/25/2037 (l) |
8,979 | 7,745 | ||||||
Bear Stearns Asset-Backed Securities Trust |
||||||||
6.000% due 12/25/2035 ^ |
765 | 668 | ||||||
Bear Stearns Commercial Mortgage Securities Trust |
||||||||
5.273% due 12/11/2038 (l) |
2,747 | 2,757 | ||||||
5.716% due 04/12/2038 |
1,120 | 866 | ||||||
Bear Stearns Mortgage Funding Trust |
||||||||
7.500% due 08/25/2036 (l) |
5,992 | 5,782 | ||||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
2.713% due 08/25/2037 |
5,265 | 3,928 | ||||||
3.065% due 03/25/2037 |
5,665 | 4,771 | ||||||
3.085% due 08/25/2034 |
6,115 | 4,612 | ||||||
3.126% due 07/25/2036 ^ |
4,118 | 3,026 | ||||||
3.203% due 04/25/2037 ^ |
919 | 740 | ||||||
3.587% due 03/25/2037 ^ |
3,666 | 3,453 | ||||||
5.500% due 12/25/2035 |
4,690 | 3,891 | ||||||
6.000% due 07/25/2036 |
5,720 | 3,892 | ||||||
6.500% due 09/25/2036 |
1,879 | 1,444 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust |
||||||||
5.398% due 12/11/2049 (l) |
12,365 | 10,485 | ||||||
Commercial Mortgage Loan Trust |
||||||||
6.101% due 12/10/2049 (l) |
17,465 | 10,431 | ||||||
Commercial Mortgage Trust |
||||||||
4.000% due 07/10/2046 |
8,000 | 6,282 | ||||||
5.377% due 12/10/2046 (l) |
7,893 | 7,929 | ||||||
5.505% due 03/10/2039 |
4,163 | 4,006 | ||||||
5.595% due 06/10/2046 |
9,952 | 8,534 | ||||||
5.728% due 07/10/2038 (l) |
10,700 | 9,073 | ||||||
Countrywide Alternative Loan Resecuritization Trust |
||||||||
4.012% due 03/25/2047 |
4,039 | 3,900 | ||||||
7.000% due 01/25/2037 |
6,635 | 3,154 | ||||||
Countrywide Alternative Loan Trust |
||||||||
1.162% due 05/25/2036 (l) |
28,747 | 21,040 | ||||||
1.168% due 03/20/2047 |
1,046 | 731 | ||||||
1.192% due 08/25/2047 ^ |
2,294 | 1,967 | ||||||
1.202% due 05/25/2047 (l) |
21,267 | 10,144 | ||||||
1.212% due 03/25/2036 (l) |
26,015 | 19,803 | ||||||
1.242% due 07/25/2036 (l) |
11,936 | 9,024 | ||||||
1.276% due 11/20/2035 |
275 | 222 | ||||||
1.682% due 10/25/2035 ^(l) |
1,548 | 1,193 | ||||||
1.948% due 07/20/2035 ^(l) |
18,298 | 13,659 | ||||||
3.087% due 05/25/2036 (l) |
10,347 | 8,235 | ||||||
5.500% due 11/25/2035 |
3,101 | 2,452 | ||||||
5.500% due 02/25/2036 ^ |
2,074 | 1,803 | ||||||
5.500% due 02/25/2036 |
2,341 | 2,053 | ||||||
5.500% due 05/25/2036 ^(l) |
2,480 | 2,271 | ||||||
5.500% due 05/25/2036 (l) |
7,639 | 6,996 | ||||||
6.000% due 03/25/2035 ^(l) |
567 | 451 | ||||||
6.000% due 04/25/2036 (l) |
915 | 719 | ||||||
6.000% due 01/25/2037 ^ |
1,777 | 1,708 | ||||||
6.000% due 02/25/2037 ^ |
2,351 | 1,610 | ||||||
6.000% due 04/25/2037 ^ |
7,995 | 6,116 | ||||||
6.250% due 12/25/2036 ^(l) |
884 | 645 | ||||||
17.100% due 07/25/2035 |
167 | 200 | ||||||
Countrywide Asset-Backed Certificates |
||||||||
1.222% due 04/25/2036 (l) |
937 | 633 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
||||||||
2.852% due 03/25/2046 ^(l) |
78,543 | 44,698 | ||||||
3.173% due 09/20/2036 |
6,367 | 5,160 | ||||||
3.265% due 05/20/2036 ^ |
3,646 | 2,934 |
Credit Suisse Commercial Mortgage Trust |
||||||||
5.685% due 02/15/2039 |
6,910 | 6,958 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. |
||||||||
4.952% due 07/15/2037 (l) |
4,620 | 4,614 | ||||||
6.000% due 01/25/2036 |
427 | 322 | ||||||
Credit Suisse Mortgage Capital Certificates |
||||||||
2.762% due 05/27/2036 |
14,330 | 9,585 | ||||||
2.810% due 12/29/2037 |
5,389 | 3,824 | ||||||
2.877% due 10/26/2036 (l) |
22,237 | 17,386 | ||||||
3.220% due 05/26/2036 |
9,324 | 5,860 | ||||||
3.229% due 09/26/2047 (l) |
25,855 | 14,063 | ||||||
3.265% due 04/28/2037 |
7,123 | 5,663 | ||||||
5.750% due 05/26/2037 (l) |
32,140 | 29,039 | ||||||
8.799% due 11/25/2037 |
10,736 | 6,157 | ||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
||||||||
6.000% due 07/25/2036 |
2,794 | 2,085 | ||||||
6.000% due 07/25/2036 (l) |
504 | 383 | ||||||
6.500% due 05/25/2036 ^ |
4,074 | 2,926 | ||||||
DBUBS Mortgage Trust |
||||||||
4.652% due 11/10/2046 |
19,203 | 13,289 | ||||||
Debussy PLC |
||||||||
5.930% due 07/12/2025 (l) |
GBP | 55,000 | 68,358 | |||||
8.250% due 07/12/2025 |
10,000 | 11,590 | ||||||
Deutsche ALT-A Securities, Inc. |
||||||||
1.282% due 04/25/2037 |
$ | 10,056 | 6,113 | |||||
5.500% due 12/25/2035 ^ |
1,004 | 878 | ||||||
Epic Drummond Ltd. |
||||||||
0.000% due 01/25/2022 (l) |
EUR | 10,000 | 10,514 | |||||
Eurosail PLC |
||||||||
0.000% due 06/13/2045 |
GBP | 4 | 7,222 | |||||
0.511% due 03/13/2045 |
EUR | 7,067 | 4,888 | |||||
0.644% due 06/13/2045 |
GBP | 1,594 | 1,505 | |||||
1.344% due 06/13/2045 |
18,708 | 21,471 | ||||||
1.594% due 06/13/2045 |
18,175 | 19,213 | ||||||
1.944% due 09/13/2045 |
15,406 | 15,337 | ||||||
2.094% due 06/13/2045 |
11,881 | 12,201 | ||||||
2.594% due 09/13/2045 |
10,990 | 10,466 | ||||||
3.844% due 06/13/2045 |
4,215 | 4,594 | ||||||
4.194% due 09/13/2045 |
9,132 | 8,588 | ||||||
First Horizon Alternative Mortgage Securities Trust |
||||||||
0.000% due 02/25/2020 (b)(f) |
$ | 18 | 17 | |||||
0.000% due 05/25/2020 (b)(f) |
20 | 17 | ||||||
0.000% due 06/25/2020 ^(b)(f) |
10 | 10 | ||||||
0.000% due 03/25/2035 (b)(f) |
146 | 117 | ||||||
First Horizon Mortgage Pass-Through Trust |
||||||||
3.269% due 05/25/2037 ^(l) |
9,558 | 7,899 | ||||||
Fondo de Titulizacion de Activos UCI |
||||||||
0.000% due 06/16/2049 |
EUR | 3,873 | 3,513 | |||||
GC Pastor Hipotecario FTA |
||||||||
0.000% due 06/21/2046 |
30,288 | 25,641 | ||||||
GE Commercial Mortgage Corp. Trust |
||||||||
5.606% due 12/10/2049 (l) |
$ | 44,200 | 43,980 | |||||
Greenwich Capital Commercial Funding Corp. Trust |
||||||||
6.310% due 06/10/2036 |
2,850 | 2,840 | ||||||
Grifonas Finance PLC |
||||||||
0.042% due 08/28/2039 |
EUR | 11,410 | 9,620 | |||||
GSC Capital Corp. Mortgage Trust |
||||||||
0.958% due 05/25/2036 ^ |
$ | 3,953 | 3,092 | |||||
HarborView Mortgage Loan Trust |
||||||||
2.466% due 06/19/2045 ^ |
1,437 | 873 | ||||||
Hipocat FTA |
||||||||
0.000% due 01/15/2050 |
EUR | 5,498 | 5,007 | |||||
HomeBanc Mortgage Trust |
||||||||
2.890% due 04/25/2037 ^ |
$ | 7,471 | 5,981 | |||||
HSI Asset Loan Obligation Trust |
||||||||
6.000% due 06/25/2037 ^(l) |
14,902 | 12,861 | ||||||
IM Pastor Fondo de Titluzacion Hipotecaria |
||||||||
0.000% due 03/22/2043 (l) |
EUR | 39,206 | 33,881 | |||||
IM Pastor Fondo de Titulizacion de Activos |
||||||||
0.000% due 03/22/2044 |
1,198 | 1,056 | ||||||
Impac Secured Assets Trust |
||||||||
1.152% due 01/25/2037 (l) |
$ | 9,079 | 8,390 | |||||
IndyMac Mortgage Loan Trust |
||||||||
1.162% due 02/25/2037 (l) |
2,227 | 1,874 | ||||||
1.192% due 11/25/2036 |
330 | 291 | ||||||
3.169% due 11/25/2035 ^ |
5,919 | 4,952 | ||||||
3.313% due 06/25/2036 (l) |
1,549 | 1,392 | ||||||
Infinity SoPRANo |
||||||||
0.000% due 11/05/2019 (l) |
EUR | 2,257 | 2,397 | |||||
Jefferies Resecuritization Trust |
||||||||
6.000% due 12/26/2036 |
$ | 4,003 | 1,647 | |||||
JPMorgan Alternative Loan Trust |
||||||||
1.278% due 06/27/2037 (l) |
17,682 | 14,169 | ||||||
3.031% due 11/25/2036 ^ |
1,649 | 1,607 |
3.262% due 05/25/2036 ^ |
1,268 | 975 | ||||||
6.000% due 12/25/2035 ^ |
1,504 | 1,371 | ||||||
14.011% due 06/27/2037 (l) |
15,473 | 11,602 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
||||||||
2.972% due 05/15/2045 |
4,227 | 2,057 | ||||||
4.000% due 08/15/2046 |
2,732 | 1,721 | ||||||
5.010% due 07/15/2042 |
3,195 | 3,219 | ||||||
5.505% due 01/12/2043 (l) |
7,213 | 7,274 | ||||||
5.927% due 06/12/2041 (l) |
10,975 | 10,783 | ||||||
6.178% due 02/12/2051 (l) |
12,000 | 12,293 | ||||||
JPMorgan Resecuritization Trust |
||||||||
3.033% due 03/21/2037 |
6,602 | 5,648 | ||||||
6.000% due 09/26/2036 |
3,412 | 2,753 | ||||||
6.500% due 04/26/2036 |
7,080 | 4,284 | ||||||
Lansdowne Mortgage Securities PLC |
||||||||
0.010% due 09/16/2048 |
EUR | 12,699 | 9,415 | |||||
Lavender Trust |
||||||||
6.250% due 10/26/2036 |
$ | 5,462 | 4,326 | |||||
LB-UBS Commercial Mortgage Trust |
||||||||
5.757% due 02/15/2040 |
6,683 | 6,601 | ||||||
5.864% due 06/15/2038 |
3,079 | 2,881 | ||||||
Lehman Mortgage Trust |
||||||||
6.000% due 01/25/2038 ^ |
4,432 | 4,384 | ||||||
Lehman XS Trust |
||||||||
1.882% due 08/25/2047 |
743 | 509 | ||||||
Merrill Lynch Alternative Note Asset Trust |
||||||||
6.000% due 05/25/2037 ^ |
4,394 | 3,981 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
3.204% due 03/25/2036 ^(l) |
14,265 | 10,369 | ||||||
Merrill Lynch Mortgage Trust |
||||||||
5.841% due 06/12/2050 (l) |
44,986 | 44,272 | ||||||
Mesdag Delta BV |
||||||||
0.000% due 01/25/2020 |
EUR | 15,871 | 16,186 | |||||
Morgan Stanley Capital Trust |
||||||||
5.399% due 12/15/2043 |
$ | 7,040 | 5,703 | |||||
5.777% due 04/15/2049 (l) |
64,199 | 64,044 | ||||||
5.862% due 07/12/2044 (l) |
4,600 | 4,591 | ||||||
5.942% due 06/11/2049 (l) |
12,300 | 11,653 | ||||||
6.078% due 08/12/2041 (l) |
7,225 | 7,199 | ||||||
Morgan Stanley Mortgage Loan Trust |
||||||||
1.152% due 05/25/2036 |
209 | 89 | ||||||
3.172% due 11/25/2037 (l) |
3,273 | 2,790 | ||||||
3.394% due 05/25/2036 ^ |
3,246 | 2,303 | ||||||
5.962% due 06/25/2036 |
2,440 | 1,193 | ||||||
Morgan Stanley Re-REMIC Trust |
||||||||
1.315% due 02/26/2037 |
6,538 | 5,279 | ||||||
1.353% due 03/26/2037 |
4,080 | 2,842 | ||||||
Morgan Stanley Resecuritization Trust |
||||||||
3.356% due 06/26/2035 |
11,060 | 5,809 | ||||||
PHH Alternative Mortgage Trust |
||||||||
0.000% due 02/25/2037 ^(b)(f) |
10 | 8 | ||||||
RBSSP Resecuritization Trust |
||||||||
3.483% due 09/26/2035 |
7,816 | 5,548 | ||||||
6.000% due 06/26/2037 |
1,652 | 1,446 | ||||||
8.655% due 06/26/2037 |
764 | 587 | ||||||
Residential Accredit Loans, Inc. Trust |
||||||||
1.132% due 02/25/2037 |
894 | 739 | ||||||
6.000% due 12/25/2035 ^(l) |
3,779 | 3,522 | ||||||
6.000% due 11/25/2036 ^ |
4,554 | 3,844 | ||||||
6.250% due 02/25/2037 ^ |
6,083 | 4,973 | ||||||
6.500% due 09/25/2037 ^ |
2,193 | 1,903 | ||||||
Residential Asset Mortgage Products Trust |
||||||||
8.000% due 05/25/2032 (l) |
1,113 | 955 | ||||||
Residential Asset Securitization Trust |
||||||||
6.000% due 05/25/2036 |
1,349 | 1,272 | ||||||
6.000% due 02/25/2037 ^ |
277 | 214 | ||||||
6.000% due 03/25/2037 ^ |
3,592 | 2,344 | ||||||
6.250% due 10/25/2036 ^ |
169 | 151 | ||||||
RiverView HECM Trust |
||||||||
1.490% due 05/25/2047 |
21,147 | 17,452 | ||||||
Sequoia Mortgage Trust |
||||||||
1.939% due 02/20/2034 |
754 | 716 | ||||||
2.857% due 09/20/2032 |
740 | 708 | ||||||
5.210% due 06/20/2037 ^(l) |
16,888 | 15,223 | ||||||
Structured Adjustable Rate Mortgage Loan Trust |
||||||||
3.480% due 04/25/2036 ^ |
881 | 827 | ||||||
Structured Asset Mortgage Investments Trust |
||||||||
1.192% due 05/25/2036 |
43 | 33 | ||||||
Structured Asset Securities Corp. Trust |
||||||||
5.500% due 10/25/2035 ^ |
2,443 | 1,686 | ||||||
Suntrust Adjustable Rate Mortgage Loan Trust |
||||||||
3.482% due 02/25/2037 ^ |
8,119 | 6,906 | ||||||
Theatre Hospitals PLC |
||||||||
3.357% due 10/15/2031 (l) |
GBP | 39,006 | 46,916 |
4.107% due 10/15/2031 |
1,842 | 2,228 | ||||||
Wachovia Bank Commercial Mortgage Trust |
||||||||
5.880% due 05/15/2043 |
$ | 3,302 | 3,296 | |||||
WaMu Mortgage Pass-Through Certificates Trust |
||||||||
2.116% due 07/25/2046 (l) |
414 | 388 | ||||||
2.785% due 08/25/2036 ^ |
3,317 | 3,120 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
||||||||
1.222% due 01/25/2047 ^ |
2,926 | 2,436 | ||||||
1.608% due 06/25/2046 |
10,951 | 6,400 | ||||||
5.750% due 11/25/2035 ^(l) |
2,248 | 2,052 | ||||||
5.967% due 05/25/2036 ^(l) |
9,621 | 7,171 | ||||||
Wells Fargo Mortgage Loan Trust |
||||||||
3.277% due 03/27/2037 |
8,095 | 6,821 | ||||||
|
|
|||||||
Total Non-Agency Mortgage-Backed Securities (Cost $1,574,798) |
1,559,898 | |||||||
|
|
|||||||
ASSET-BACKED SECURITIES 80.5% |
||||||||
Aames Mortgage Investment Trust |
||||||||
1.972% due 07/25/2035 (l) |
19,113 | 16,371 | ||||||
Accredited Mortgage Loan Trust |
||||||||
1.582% due 07/25/2035 |
5,453 | 4,850 | ||||||
ACE Securities Corp. Home Equity Loan Trust |
||||||||
1.092% due 12/25/2036 (l) |
26,950 | 11,480 | ||||||
1.282% due 02/25/2036 |
5,089 | 4,826 | ||||||
1.602% due 02/25/2036 ^ |
7,236 | 6,394 | ||||||
1.957% due 07/25/2035 |
2,900 | 2,572 | ||||||
2.077% due 07/25/2035 ^ |
17,938 | 9,503 | ||||||
2.482% due 11/25/2034 |
1,272 | 1,119 | ||||||
Adirondack Park CLO Ltd. |
||||||||
5.673% due 04/15/2024 |
4,500 | 4,444 | ||||||
Aegis Asset-Backed Securities Trust |
||||||||
1.412% due 12/25/2035 (l) |
22,800 | 17,275 | ||||||
1.462% due 06/25/2035 (l) |
12,094 | 9,411 | ||||||
Airspeed Ltd. |
||||||||
1.182% due 06/15/2032 |
17,562 | 14,598 | ||||||
ALM Ltd. |
||||||||
6.523% due 04/16/2027 |
2,000 | 1,992 | ||||||
American Money Management Corp. CLO Ltd. |
||||||||
0.000% due 04/14/2029 (c) |
6,100 | 5,871 | ||||||
6.623% due 04/14/2027 |
6,100 | 6,113 | ||||||
8.086% due 12/09/2026 |
10,000 | 10,074 | ||||||
Ameriquest Mortgage Securities Trust |
||||||||
1.322% due 04/25/2036 (l) |
30,500 | 28,295 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
1.432% due 01/25/2036 (l) |
22,225 | 19,432 | ||||||
1.592% due 09/25/2035 (l) |
13,750 | 11,464 | ||||||
2.032% due 04/25/2035 (l) |
21,004 | 18,333 | ||||||
2.047% due 11/25/2034 |
5,526 | 4,936 | ||||||
2.932% due 09/25/2032 |
1,148 | 972 | ||||||
4.633% due 05/25/2034 ^ |
2,745 | 2,415 | ||||||
Amortizing Residential Collateral Trust |
||||||||
2.107% due 08/25/2032 |
755 | 709 | ||||||
Anchorage Capital CLO Ltd. |
||||||||
6.023% due 10/15/2026 |
7,000 | 6,825 | ||||||
Argent Securities Trust |
||||||||
1.082% due 06/25/2036 |
2,196 | 801 | ||||||
1.102% due 04/25/2036 |
1,276 | 518 | ||||||
1.132% due 06/25/2036 |
4,607 | 1,693 | ||||||
1.132% due 09/25/2036 |
9,700 | 4,127 | ||||||
1.172% due 03/25/2036 (l) |
14,039 | 7,560 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
1.302% due 01/25/2036 (l) |
19,135 | 16,121 | ||||||
1.362% due 02/25/2036 (l) |
38,448 | 29,341 | ||||||
1.442% due 11/25/2035 |
5,851 | 3,375 | ||||||
2.257% due 11/25/2034 (l) |
9,031 | 7,444 | ||||||
Asset-Backed Funding Certificates Trust |
||||||||
1.532% due 07/25/2035 |
7,400 | 6,189 | ||||||
2.032% due 03/25/2034 |
1,316 | 1,223 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
||||||||
3.912% due 08/15/2033 |
791 | 752 | ||||||
Bear Stearns Asset-Backed Securities Trust |
||||||||
1.122% due 12/25/2036 (l) |
20,730 | 18,669 | ||||||
2.182% due 07/25/2035 (l) |
39,756 | 32,715 | ||||||
2.482% due 10/27/2032 |
470 | 434 | ||||||
2.857% due 12/25/2034 (l) |
18,650 | 14,663 | ||||||
3.310% due 10/25/2036 |
744 | 689 | ||||||
Benefit Street Partners CLO Ltd. |
||||||||
6.530% due 01/20/2028 |
5,900 | 5,842 | ||||||
C-BASS CBO Corp. |
||||||||
1.350% due 09/06/2041 |
65,534 | 7,536 | ||||||
Carlyle Global Market Strategies CLO Ltd. |
||||||||
6.337% due 04/27/2027 |
1,750 | 1,754 | ||||||
Carrington Mortgage Loan Trust |
||||||||
1.062% due 10/25/2036 |
1,215 | 802 |
1.242% due 02/25/2037 |
8,300 | 6,535 | ||||||
1.402% due 02/25/2037 (l) |
13,201 | 9,305 | ||||||
2.032% due 05/25/2035 |
4,400 | 3,529 | ||||||
Cavendish Square Funding PLC |
||||||||
0.522% due 02/11/2055 |
EUR | 1,500 | 1,457 | |||||
1.522% due 02/11/2055 |
1,500 | 1,449 | ||||||
CIFC Funding Ltd. |
||||||||
0.000% due 05/24/2026 (f) |
$ | 3,390 | 2,351 | |||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
1.122% due 01/25/2037 (l) |
32,769 | 25,731 | ||||||
1.132% due 12/25/2036 (l) |
25,657 | 13,666 | ||||||
1.142% due 09/25/2036 (l) |
20,622 | 15,605 | ||||||
1.182% due 05/25/2037 (l) |
998 | 757 | ||||||
1.202% due 12/25/2036 |
5,167 | 2,782 | ||||||
1.382% due 03/25/2037 (l) |
40,086 | 38,290 | ||||||
1.392% due 10/25/2035 (l) |
8,200 | 7,902 | ||||||
6.351% due 05/25/2036 ^ |
3,292 | 1,975 | ||||||
Conseco Finance Securitizations Corp. |
||||||||
9.546% due 12/01/2033 |
6,480 | 7,154 | ||||||
Cork Street CLO Designated Activity Co. |
||||||||
0.000% due 11/27/2028 (f) |
EUR | 2,667 | 2,329 | |||||
3.600% due 11/27/2028 |
1,197 | 1,279 | ||||||
4.500% due 11/27/2028 |
1,047 | 1,120 | ||||||
6.200% due 11/27/2028 |
1,296 | 1,391 | ||||||
Countrywide Asset-Backed Certificates |
||||||||
1.112% due 12/25/2036 ^(l) |
$ | 36,163 | 35,856 | |||||
1.122% due 06/25/2035 (l) |
75,117 | 59,514 | ||||||
1.122% due 03/25/2037 (l) |
26,291 | 21,896 | ||||||
1.122% due 06/25/2037 (l) |
27,333 | 22,720 | ||||||
1.122% due 07/25/2037 ^(l) |
13,568 | 11,751 | ||||||
1.122% due 06/25/2047 ^(l) |
54,452 | 41,981 | ||||||
1.132% due 04/25/2047 |
2,284 | 2,149 | ||||||
1.132% due 06/25/2047 ^(l) |
21,523 | 20,247 | ||||||
1.142% due 05/25/2036 (l) |
12,171 | 9,802 | ||||||
1.182% due 06/25/2037 ^(l) |
23,365 | 17,321 | ||||||
1.202% due 05/25/2037 (l) |
25,000 | 18,894 | ||||||
1.202% due 08/25/2037 (l) |
26,000 | 19,774 | ||||||
1.202% due 05/25/2047 (l) |
17,951 | 13,332 | ||||||
1.202% due 06/25/2047 ^(l) |
19,000 | 11,684 | ||||||
1.212% due 04/25/2047 (l) |
35,000 | 21,988 | ||||||
1.222% due 03/25/2036 (l) |
44,208 | 36,119 | ||||||
1.272% due 10/25/2047 (l) |
59,229 | 38,572 | ||||||
1.372% due 04/25/2036 |
8,762 | 4,177 | ||||||
1.422% due 04/25/2036 (l) |
10,000 | 9,174 | ||||||
1.432% due 03/25/2047 ^ |
2,405 | 1,397 | ||||||
1.472% due 04/25/2036 |
15,850 | 8,733 | ||||||
1.532% due 05/25/2047 |
4,689 | 3,172 | ||||||
1.732% due 03/25/2034 |
743 | 722 | ||||||
2.182% due 06/25/2033 |
257 | 232 | ||||||
2.482% due 02/25/2035 (l) |
4,300 | 4,070 | ||||||
4.880% due 10/25/2046 ^ |
840 | 791 | ||||||
5.184% due 10/25/2032 ^(l) |
22,499 | 19,831 | ||||||
Countrywide Asset-Backed Certificates Trust |
||||||||
1.132% due 03/25/2047 (l) |
15,150 | 14,256 | ||||||
1.502% due 05/25/2036 (l) |
32,154 | 19,654 | ||||||
1.712% due 07/25/2035 |
6,900 | 6,436 | ||||||
2.128% due 04/25/2035 (l) |
10,753 | 9,856 | ||||||
2.707% due 11/25/2034 (l) |
13,611 | 12,002 | ||||||
Credit-Based Asset Servicing and Securitization LLC |
||||||||
1.612% due 07/25/2035 (l) |
3,000 | 2,473 | ||||||
Dekania Europe CDO PLC |
||||||||
0.190% due 09/27/2037 |
EUR | 6,200 | 5,609 | |||||
ECAF Ltd. |
||||||||
4.947% due 06/15/2040 |
$ | 6,234 | 5,995 | |||||
Encore Credit Receivables Trust |
||||||||
1.672% due 07/25/2035 |
421 | 363 | ||||||
Euromax ABS PLC |
||||||||
0.012% due 11/10/2095 |
EUR | 1,000 | 762 | |||||
FAB U.S. Ltd. |
||||||||
0.000% due 12/06/2045 (f) |
GBP | 9,932 | 5,953 | |||||
Fieldstone Mortgage Investment Trust |
||||||||
1.152% due 07/25/2036 |
$ | 7,094 | 4,014 | |||||
First Franklin Mortgage Loan Trust |
||||||||
1.222% due 04/25/2036 (l) |
6,825 | 4,966 | ||||||
1.362% due 02/25/2036 |
5,500 | 3,284 | ||||||
1.432% due 11/25/2036 |
2,066 | 1,937 | ||||||
1.612% due 09/25/2035 |
6,688 | 3,631 | ||||||
1.957% due 05/25/2036 |
16,131 | 7,507 | ||||||
Fremont Home Loan Trust |
||||||||
1.132% due 01/25/2037 |
4,056 | 2,202 | ||||||
1.222% due 02/25/2037 |
1,665 | 971 | ||||||
1.472% due 07/25/2035 |
2,800 | 2,571 | ||||||
Glacier Funding CDO Ltd. |
||||||||
1.304% due 08/04/2035 |
26,726 | 7,430 |
Gramercy Real Estate CDO Ltd. |
||||||||
1.598% due 07/25/2041 |
1,150 | 1,102 | ||||||
Greenpoint Manufactured Housing |
||||||||
9.230% due 12/15/2029 |
10,132 | 8,683 | ||||||
Greystone Commercial Real Estate Ltd. |
||||||||
5.693% due 03/15/2027 |
25,000 | 25,052 | ||||||
GSAA Trust |
||||||||
5.058% due 05/25/2035 |
5,158 | 5,025 | ||||||
GSAMP Trust |
||||||||
1.042% due 01/25/2037 |
4,289 | 2,690 | ||||||
1.072% due 01/25/2037 |
1,280 | 805 | ||||||
1.142% due 05/25/2046 |
977 | 919 | ||||||
1.182% due 11/25/2036 |
5,210 | 3,131 | ||||||
1.232% due 12/25/2036 |
5,512 | 3,165 | ||||||
1.252% due 04/25/2036 (l) |
26,000 | 15,972 | ||||||
2.632% due 10/25/2034 |
692 | 656 | ||||||
3.532% due 10/25/2033 |
639 | 610 | ||||||
Halcyon Loan Advisors European Funding BV |
||||||||
0.000% due 01/15/2027 (f) |
EUR | 1,400 | 1,439 | |||||
Hillcrest CDO Ltd. |
||||||||
1.449% due 12/10/2039 |
$ | 57,385 | 26,971 | |||||
Home Equity Asset Trust |
||||||||
2.077% due 05/25/2035 |
3,800 | 3,470 | ||||||
2.182% due 07/25/2035 (l) |
4,000 | 3,340 | ||||||
Home Equity Loan Trust |
||||||||
1.322% due 04/25/2037 (l) |
8,000 | 4,873 | ||||||
House of Europe Funding PLC |
||||||||
0.000% due 11/08/2090 |
EUR | 5,600 | 5,343 | |||||
HSI Asset Securitization Corp. Trust |
||||||||
1.092% due 12/25/2036 (l) |
$ | 27,472 | 11,772 | |||||
1.142% due 10/25/2036 |
10,471 | 6,020 | ||||||
1.152% due 12/25/2036 (l) |
16,827 | 7,227 | ||||||
1.172% due 01/25/2037 (l) |
49,367 | 35,954 | ||||||
1.372% due 11/25/2035 (l) |
5,830 | 4,921 | ||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
||||||||
1.142% due 11/25/2036 |
7,007 | 5,270 | ||||||
1.222% due 04/25/2037 (l) |
4,453 | 2,862 | ||||||
1.422% due 03/25/2036 |
1,504 | 1,253 | ||||||
IXIS Real Estate Capital Trust |
||||||||
1.957% due 09/25/2035 ^ |
5,457 | 3,760 | ||||||
JPMorgan Mortgage Acquisition Corp. |
||||||||
1.372% due 05/25/2035 (l) |
5,000 | 4,376 | ||||||
JPMorgan Mortgage Acquisition Trust |
||||||||
1.122% due 03/25/2047 (l) |
7,935 | 7,808 | ||||||
1.132% due 07/25/2036 |
2,357 | 1,198 | ||||||
1.142% due 07/25/2036 ^ |
1,489 | 625 | ||||||
1.232% due 07/25/2036 (l) |
18,262 | 16,147 | ||||||
5.462% due 10/25/2036 ^ |
4,739 | 3,666 | ||||||
5.888% due 10/25/2036 ^(l) |
15,798 | 12,215 | ||||||
Jubilee CLO BV |
||||||||
0.000% due 01/15/2028 |
EUR | 7,000 | 6,211 | |||||
Lehman XS Trust |
||||||||
5.000% due 05/25/2037 ^(l) |
$ | 15,780 | 12,115 | |||||
Long Beach Mortgage Loan Trust |
||||||||
1.172% due 02/25/2036 (l) |
56,006 | 38,288 | ||||||
1.627% due 11/25/2035 (l) |
28,200 | 25,964 | ||||||
1.632% due 09/25/2034 |
1,216 | 1,006 | ||||||
1.687% due 11/25/2035 (l) |
31,661 | 19,134 | ||||||
1.957% due 04/25/2035 (l) |
38,750 | 34,790 | ||||||
Magnetite Ltd. |
||||||||
5.973% due 04/15/2026 |
4,900 | 4,756 | ||||||
MASTR Asset-Backed Securities Trust |
||||||||
1.152% due 06/25/2036 (l) |
10,322 | 8,628 | ||||||
1.152% due 10/25/2036 |
3,754 | 3,534 | ||||||
1.162% due 02/25/2036 |
9,573 | 5,235 | ||||||
1.222% due 06/25/2036 |
4,180 | 2,291 | ||||||
1.272% due 12/25/2035 (l) |
7,200 | 6,524 | ||||||
1.342% due 12/25/2035 |
11,886 | 4,615 | ||||||
Morgan Stanley ABS Capital, Inc. Trust |
||||||||
1.042% due 09/25/2036 |
4,288 | 2,085 | ||||||
1.052% due 10/25/2036 |
5 | 3 | ||||||
1.122% due 10/25/2036 |
10,968 | 6,163 | ||||||
1.132% due 06/25/2036 |
11,610 | 8,287 | ||||||
1.132% due 09/25/2036 |
8,616 | 4,279 | ||||||
1.132% due 11/25/2036 (l) |
21,747 | 13,522 | ||||||
1.202% due 10/25/2036 |
5,285 | 3,002 | ||||||
1.252% due 03/25/2036 (l) |
28,664 | 25,519 | ||||||
1.627% due 09/25/2035 |
6,500 | 6,064 | ||||||
1.657% due 09/25/2035 (l) |
18,121 | 14,609 | ||||||
1.982% due 07/25/2037 (l) |
31,620 | 29,825 | ||||||
2.017% due 01/25/2035 |
5,443 | 2,444 | ||||||
2.932% due 05/25/2034 |
2,504 | 2,368 | ||||||
Morgan Stanley Capital, Inc. Trust |
||||||||
1.272% due 01/25/2036 (l) |
21,119 | 19,941 |
National Collegiate Commutation Trust |
||||||||
0.000% due 03/25/2038 |
87,000 | 38,927 | ||||||
New Century Home Equity Loan Trust |
||||||||
3.982% due 01/25/2033 ^ |
653 | 573 | ||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust |
||||||||
1.312% due 10/25/2036 ^ |
5,456 | 1,930 | ||||||
1.402% due 02/25/2036 (l) |
30,900 | 20,005 | ||||||
Ocean Trails CLO |
||||||||
6.334% due 08/13/2025 |
3,500 | 3,498 | ||||||
Option One Mortgage Loan Trust |
||||||||
1.112% due 07/25/2037 (l) |
19,516 | 12,549 | ||||||
1.122% due 01/25/2037 (l) |
12,926 | 7,509 | ||||||
1.202% due 01/25/2037 |
2,636 | 1,547 | ||||||
1.232% due 03/25/2037 |
783 | 421 | ||||||
1.312% due 04/25/2037 |
3,125 | 2,048 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates |
||||||||
1.442% due 11/25/2035 (l) |
13,200 | 11,189 | ||||||
Park Place Securities, Inc. |
||||||||
1.612% due 09/25/2035 (l) |
9,600 | 6,565 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
1.472% due 08/25/2035 |
8,350 | 7,353 | ||||||
1.472% due 09/25/2035 (l) |
10,713 | 9,844 | ||||||
1.532% due 07/25/2035 (l) |
30,950 | 25,948 | ||||||
2.017% due 03/25/2035 ^ |
7,500 | 5,961 | ||||||
2.107% due 10/25/2034 (l) |
10,000 | 8,740 | ||||||
2.302% due 01/25/2036 ^(l) |
11,978 | 10,160 | ||||||
2.707% due 02/25/2035 (l) |
29,447 | 22,370 | ||||||
3.007% due 12/25/2034 (l) |
25,974 | 16,962 | ||||||
Popular ABS Mortgage Pass-Through Trust |
||||||||
1.372% due 02/25/2036 |
7,000 | 6,178 | ||||||
1.672% due 06/25/2035 |
626 | 516 | ||||||
2.132% due 06/25/2035 |
1,349 | 1,051 | ||||||
Putnam Structured Product CDO Ltd. |
||||||||
9.092% due 02/25/2037 |
467 | 470 | ||||||
Renaissance Home Equity Loan Trust |
||||||||
5.612% due 04/25/2037 |
3,218 | 1,648 | ||||||
Residential Asset Mortgage Products Trust |
||||||||
1.302% due 01/25/2036 (l) |
14,303 | 12,153 | ||||||
1.362% due 01/25/2036 |
4,360 | 3,559 | ||||||
1.702% due 02/25/2035 |
250 | 232 | ||||||
1.732% due 04/25/2034 |
4,762 | 4,416 | ||||||
1.852% due 04/25/2034 |
5,496 | 4,936 | ||||||
2.557% due 04/25/2034 ^ |
1,395 | 1,003 | ||||||
2.962% due 04/25/2034 ^ |
1,920 | 1,401 | ||||||
Residential Asset Securities Corp. Trust |
||||||||
1.112% due 11/25/2036 (l) |
13,155 | 11,516 | ||||||
1.152% due 10/25/2036 (l) |
15,668 | 11,306 | ||||||
1.212% due 06/25/2036 (l) |
41,332 | 36,212 | ||||||
1.222% due 09/25/2036 (l) |
16,782 | 15,598 | ||||||
1.242% due 07/25/2036 (l) |
17,800 | 16,421 | ||||||
1.262% due 04/25/2036 |
5,270 | 4,793 | ||||||
1.312% due 12/25/2035 (l) |
20,276 | 15,177 | ||||||
1.312% due 04/25/2036 (l) |
17,500 | 15,416 | ||||||
1.312% due 04/25/2036 |
9,968 | 4,260 | ||||||
1.322% due 05/25/2037 (l) |
9,275 | 8,115 | ||||||
2.107% due 02/25/2035 |
1,900 | 1,649 | ||||||
Saxon Asset Securities Trust |
||||||||
2.732% due 12/25/2037 (l) |
51,792 | 49,454 | ||||||
Securitized Asset-Backed Receivables LLC Trust |
||||||||
1.122% due 07/25/2036 (l) |
27,068 | 21,316 | ||||||
1.142% due 07/25/2036 |
3,131 | 1,591 | ||||||
1.232% due 05/25/2036 (l) |
20,283 | 12,297 | ||||||
1.252% due 03/25/2036 (l) |
9,732 | 7,797 | ||||||
1.382% due 11/25/2035 |
11,537 | 6,743 | ||||||
1.432% due 10/25/2035 (l) |
13,000 | 11,109 | ||||||
1.642% due 08/25/2035 |
5,518 | 3,535 | ||||||
SLM Student Loan Trust |
||||||||
0.000% due 10/28/2029 (f) |
25 | 22,755 | ||||||
0.000% due 01/25/2042 (f) |
20 | 16,999 | ||||||
SoFi Professional Loan Program LLC |
||||||||
0.000% due 03/25/2036 (f) |
200 | 6,879 | ||||||
0.000% due 01/25/2039 (f) |
21,280 | 13,566 | ||||||
0.000% due 05/25/2040 (f) |
22,175 | 11,571 | ||||||
Soloso CDO Ltd. |
||||||||
1.329% due 10/07/2037 |
11,318 | 6,055 | ||||||
Sound Point CLO Ltd. |
||||||||
5.891% due 01/23/2027 |
1,000 | 953 | ||||||
Soundview Home Loan Trust |
||||||||
1.132% due 06/25/2037 |
3,979 | 2,695 | ||||||
1.142% due 11/25/2036 (l) |
11,461 | 10,728 | ||||||
1.162% due 02/25/2037 |
8,809 | 3,539 | ||||||
1.242% due 02/25/2037 |
10,223 | 4,173 | ||||||
1.262% due 05/25/2036 (l) |
14,665 | 13,020 | ||||||
1.332% due 03/25/2036 |
7,933 | 6,775 |
1.932% due 10/25/2037 |
8,486 | 6,243 | ||||||
2.082% due 09/25/2037 |
2,642 | 2,190 | ||||||
Specialty Underwriting & Residential Finance Trust |
||||||||
1.332% due 03/25/2037 |
708 | 391 | ||||||
1.957% due 12/25/2035 |
4,916 | 4,497 | ||||||
2.782% due 05/25/2035 |
2,340 | 2,174 | ||||||
4.439% due 02/25/2037 ^ |
3,730 | 2,041 | ||||||
Symphony CLO Ltd. |
||||||||
5.623% due 07/14/2026 |
10,700 | 10,101 | ||||||
5.923% due 10/15/2025 |
9,850 | 9,808 | ||||||
Taberna Preferred Funding Ltd. |
||||||||
1.374% due 05/05/2038 |
16,165 | 13,417 | ||||||
1.384% due 02/05/2037 |
35,277 | 30,691 | ||||||
1.414% due 08/05/2036 ^ |
20,700 | 14,904 | ||||||
1.414% due 08/05/2036 |
5,146 | 3,705 | ||||||
Tralee CLO Ltd. |
||||||||
6.680% due 04/20/2025 |
6,500 | 6,565 | ||||||
Trapeza CDO LLC |
||||||||
2.189% due 01/20/2034 (l) |
23,770 | 22,344 | ||||||
Wachovia Mortgage Loan Trust |
||||||||
1.672% due 10/25/2035 |
8,000 | 6,037 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust |
||||||||
1.312% due 05/25/2036 |
5,000 | 4,481 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $2,334,701) |
2,419,686 | |||||||
|
|
|||||||
SOVEREIGN ISSUES 1.3% |
||||||||
Argentine Government International Bond |
||||||||
2.260% due 12/31/2038 |
EUR | 11,530 | 7,475 | |||||
3.875% due 01/15/2022 |
1,000 | 1,061 | ||||||
5.000% due 01/15/2027 |
3,400 | 3,398 | ||||||
7.820% due 12/31/2033 |
14,203 | 16,083 | ||||||
Ecuador Government International Bond |
||||||||
9.650% due 12/13/2026 |
$ | 1,900 | 1,971 | |||||
Republic of Greece Government International Bond |
||||||||
3.800% due 08/08/2017 |
JPY | 347,000 | 3,000 | |||||
4.500% due 07/03/2017 |
310,000 | 2,715 | ||||||
4.750% due 04/17/2019 |
EUR | 1,900 | 1,926 | |||||
|
|
|||||||
Total Sovereign Issues (Cost $37,477) |
37,629 | |||||||
|
|
|||||||
SHARES | ||||||||
COMMON STOCKS 0.1% |
||||||||
ENERGY 0.0% |
||||||||
OGX Petroleo e Gas S.A. SP - ADR |
858,034 | 0 | ||||||
|
|
|||||||
FINANCIALS 0.1% |
||||||||
TIG FinCo PLC (j) |
2,651,536 | 3,322 | ||||||
|
|
|||||||
Total Common Stocks (Cost $3,931) |
3,322 | |||||||
|
|
|||||||
WARRANTS 0.0% |
||||||||
UTILITIES 0.0% |
||||||||
Dynegy, Inc. - Exp. 02/02/2024 |
677,810 | 387 | ||||||
|
|
|||||||
Total Warrants (Cost $1,783) |
387 | |||||||
|
|
|||||||
SHORT-TERM INSTRUMENTS 6.3% |
||||||||
REPURCHASE AGREEMENTS (k) 4.1% |
124,200 | |||||||
|
|
|||||||
PRINCIPAL AMOUNT (000S) |
||||||||
SHORT-TERM NOTES 0.1% |
||||||||
Federal Home Loan Bank |
||||||||
0.537% due 04/21/2017 (f)(g) |
$ | 2,443 | 2,442 | |||||
0.558% due 05/22/2017 (f)(g) |
368 | 368 | ||||||
|
|
|||||||
2,810 | ||||||||
|
|
|||||||
U.S. TREASURY BILLS 2.1% |
||||||||
0.539% due 04/20/2017 - 05/18/2017 (e)(f)(n)(p) |
62,050 | 62,022 | ||||||
|
|
Total Short-Term Instruments (Cost $189,039) |
189,032 | |||||||
|
|
|||||||
Total Investments in Securities (Cost $5,402,777) |
5,388,794 | |||||||
|
|
|||||||
Total Investments 179.3% (Cost $5,402,777) |
$ | 5,388,794 | ||||||
Financial Derivative Instruments (m)(o) ( 0.7)% (Cost or Premiums, net $(16,826)) |
(21,685 | ) | ||||||
Other Assets and Liabilities, net (78.6)% | (2,360,864 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 3,006,245 | ||||||
|
|
Notes to Consolidated Schedule of Investments (amounts in thousands*):
* | 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 security. |
(e) | Coupon represents a weighted average yield to maturity. |
(f) | Zero coupon security. |
(g) | Coupon represents a yield to maturity. |
(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(j) | Restricted Securities: |
Issuer Description | Acquisition Date | Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
04/02/2015 | $ | 617 | $ | 283 | 0.01 | % | |||||||||
Odebrecht Offshore Drilling Finance Ltd. |
04/01/2015 - 04/08/2015 | 19,071 | 8,757 | 0.29 | ||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 |
06/23/2014 | 23,200 | 23,266 | 0.78 | ||||||||||||
TIG FinCo PLC |
04/02/2015 | 3,931 | 3,322 | 0.11 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 46,819 | $ | 35,628 | 1.19 | % | |||||||||||
|
|
|
|
|
|
Borrowings and Other Financing Transactions
(k) | Repurchase Agreements: |
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
BPG | 0.960 | % | 03/31/2017 | 04/03/2017 | $ | 44,300 | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2018 |
$ | (45,217 | ) | $ | 44,300 | $ | 44,304 | ||||||||||||||||
IND | 0.750 | 03/31/2017 | 04/03/2017 | 11,900 | U.S. Treasury Notes |
(12,147 | ) | 11,900 | 11,901 | |||||||||||||||||||||
NOM | 0.760 | 03/28/2017 | 04/04/2017 | 50,000 | U.S. Treasury Notes |
(50,946 | ) | 50,000 | 50,006 | |||||||||||||||||||||
0.900 | 03/31/2017 | 04/03/2017 | 18,000 | U.S. Treasury Notes |
(18,399 | ) | 18,000 | 18,001 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (126,709 | ) | $ | 124,200 | $ | 124,212 | |||||||||||||||||||||||
|
|
|
|
|
|
Reverse Repurchase Agreements:
Counterparty | Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BCY |
1.400 | % | 03/17/2017 | TBD | (3) | $ | (54,174 | ) | $ | (54,210 | ) | |||||||||
1.900 | 02/16/2017 | 05/16/2017 | (5,891 | ) | (5,905 | ) | ||||||||||||||
1.900 | 03/02/2017 | 06/02/2017 | (3,898 | ) | (3,905 | ) | ||||||||||||||
1.950 | 03/02/2017 | 06/02/2017 | (1,077 | ) | (1,077 | ) | ||||||||||||||
2.497 | 01/03/2017 | 04/03/2017 | (6,793 | ) | (6,835 | ) | ||||||||||||||
2.499 | 01/05/2017 | 04/05/2017 | (12,180 | ) | (12,254 | ) | ||||||||||||||
2.522 | 01/17/2017 | 04/13/2017 | (20,888 | ) | (20,999 | ) | ||||||||||||||
2.523 | 01/18/2017 | 04/13/2017 | (43,599 | ) | (43,828 | ) | ||||||||||||||
2.534 | 02/09/2017 | 05/09/2017 | (20,415 | ) | (20,491 | ) | ||||||||||||||
2.537 | 01/27/2017 | 04/27/2017 | (14,397 | ) | (14,464 | ) | ||||||||||||||
2.564 | 03/02/2017 | 06/02/2017 | (15,303 | ) | (15,338 | ) | ||||||||||||||
2.648 | 04/03/2017 | 07/03/2017 | (6,793 | ) | (6,793 | ) | ||||||||||||||
2.656 | 03/21/2017 | 06/21/2017 | (8,564 | ) | (8,572 | ) | ||||||||||||||
2.657 | 03/24/2017 | 06/23/2017 | (2,730 | ) | (2,732 | ) | ||||||||||||||
3.006 | 09/22/2016 | 09/22/2017 | (4,391 | ) | (4,425 | ) | ||||||||||||||
BPS |
1.738 | 01/26/2017 | 04/26/2017 | (3,040 | ) | (3,050 | ) | |||||||||||||
1.790 | 02/15/2017 | 05/16/2017 | (3,958 | ) | (3,967 | ) | ||||||||||||||
1.830 | 01/06/2017 | 04/06/2017 | (1,920 | ) | (1,929 | ) | ||||||||||||||
1.880 | 01/19/2017 | 04/18/2017 | (14,910 | ) | (14,968 | ) | ||||||||||||||
1.880 | 01/23/2017 | 04/18/2017 | (4,552 | ) | (4,569 | ) | ||||||||||||||
1.890 | 01/24/2017 | 04/24/2017 | (12,272 | ) | (12,316 | ) | ||||||||||||||
1.890 | 01/26/2017 | 04/26/2017 | (3,334 | ) | (3,346 | ) | ||||||||||||||
1.890 | 01/31/2017 | 05/01/2017 | (1,049 | ) | (1,052 | ) | ||||||||||||||
1.890 | 03/02/2017 | 06/02/2017 | (2,370 | ) | (2,374 | ) | ||||||||||||||
1.890 | 03/03/2017 | 04/26/2017 | (5,004 | ) | (5,012 | ) | ||||||||||||||
1.950 | 03/08/2017 | 06/08/2017 | (1,023 | ) | (1,024 | ) | ||||||||||||||
2.568 | 01/11/2017 | 04/11/2017 | (32,787 | ) | (32,979 | ) | ||||||||||||||
2.648 | 03/16/2017 | 06/16/2017 | (32,599 | ) | (32,642 | ) | ||||||||||||||
2.652 | 03/16/2017 | 06/16/2017 | (25,616 | ) | (25,650 | ) | ||||||||||||||
2.743 | 11/10/2016 | 05/10/2017 | (3,248 | ) | (3,284 | ) | ||||||||||||||
2.840 | 11/30/2016 | 05/30/2017 | (16,435 | ) | (16,596 | ) | ||||||||||||||
2.841 | 12/02/2016 | 06/02/2017 | (3,814 | ) | (3,851 | ) | ||||||||||||||
2.843 | 12/12/2016 | 06/09/2017 | (11,559 | ) | (11,661 | ) | ||||||||||||||
2.868 | 02/10/2017 | 06/21/2017 | (5,780 | ) | (5,804 | ) | ||||||||||||||
2.969 | 08/19/2016 | 08/18/2017 | (32,458 | ) | (33,066 | ) | ||||||||||||||
2.976 | 08/16/2016 | 08/16/2017 | (32,944 | ) | (33,570 | ) | ||||||||||||||
2.976 | 03/15/2017 | 08/16/2017 | (8,699 | ) | (8,713 | ) | ||||||||||||||
BRC |
1.850 | 02/16/2017 | 05/16/2017 | (194 | ) | (194 | ) | |||||||||||||
2.865 | 10/11/2016 | 10/11/2017 | (20,946 | ) | (21,083 | ) | ||||||||||||||
2.885 | 11/02/2016 | 11/02/2017 | (26,834 | ) | (26,956 | ) | ||||||||||||||
3.065 | 10/11/2016 | 04/11/2018 | (36,757 | ) | (37,014 | ) | ||||||||||||||
DBL |
0.900 | 01/16/2017 | 04/18/2017 | EUR | (5,956 | ) | (6,366 | ) | ||||||||||||
DEU |
2.100 | 03/16/2017 | 06/16/2017 | $ | (18,232 | ) | (18,251 | ) | ||||||||||||
GLM |
0.730 | 01/11/2017 | 04/11/2017 | EUR | (16,428 | ) | (17,555 | ) | ||||||||||||
2.286 | 02/14/2017 | 05/15/2017 | $ | (7,351 | ) | (7,373 | ) | |||||||||||||
2.354 | 02/23/2017 | 05/24/2017 | (20,611 | ) | (20,664 | ) | ||||||||||||||
2.404 | 02/23/2017 | 05/24/2017 | (8,317 | ) | (8,339 | ) | ||||||||||||||
2.539 | 02/15/2017 | 05/17/2017 | (15,905 | ) | (15,958 | ) | ||||||||||||||
2.589 | 02/15/2017 | 05/17/2017 | (9,637 | ) | (9,670 | ) | ||||||||||||||
2.752 | 03/17/2017 | 06/16/2017 | (5,966 | ) | (5,974 | ) | ||||||||||||||
GSC |
2.162 | 03/14/2017 | 04/17/2017 | (61,418 | ) | (61,492 | ) | |||||||||||||
2.228 | 03/17/2017 | 04/17/2017 | (28,236 | ) | (28,266 | ) | ||||||||||||||
JML |
1.750 | 03/01/2017 | 04/12/2017 | (1,856 | ) | (1,859 | ) | |||||||||||||
JPS |
2.484 | 03/24/2017 | 04/25/2017 | (14,987 | ) | (14,997 | ) | |||||||||||||
MSB |
2.748 | 10/03/2016 | 10/03/2017 | (2,632 | ) | (2,650 | ) | |||||||||||||
2.772 | 01/13/2017 | 07/13/2017 | (6,432 | ) | (6,472 | ) | ||||||||||||||
2.787 | 04/27/2016 | 04/27/2017 | (21,887 | ) | (21,999 | ) | ||||||||||||||
2.789 | 04/29/2016 | 05/01/2017 | (5,339 | ) | (5,365 | ) | ||||||||||||||
2.791 | 04/22/2016 | 04/21/2017 | (29,502 | ) | (29,664 | ) | ||||||||||||||
2.791 | 10/21/2016 | 10/23/2017 | (29,543 | ) | (29,708 | ) | ||||||||||||||
2.805 | 12/01/2016 | 12/01/2017 | (8,461 | ) | (8,482 | ) | ||||||||||||||
2.850 | 06/06/2016 | 06/06/2017 | (7,146 | ) | (7,161 | ) | ||||||||||||||
MSC |
2.784 | 02/06/2017 | 05/08/2017 | (18,215 | ) | (18,294 | ) | |||||||||||||
3.137 | 09/16/2016 | 09/15/2017 | (27,499 | ) | (27,542 | ) | ||||||||||||||
MYI |
1.200 | 02/09/2017 | 05/10/2017 | GBP | (2,813 | ) | (3,530 | ) | ||||||||||||
1.472 | 02/06/2017 | 08/07/2017 | EUR | (1,408 | ) | (1,505 | ) | |||||||||||||
NOM |
2.622 | 10/14/2016 | 04/13/2017 | $ | (13,815 | ) | (13,894 | ) | ||||||||||||
2.785 | 02/03/2017 | 08/03/2017 | (16,233 | ) | (16,307 | ) | ||||||||||||||
2.802 | 02/22/2017 | 08/22/2017 | (27,778 | ) | (27,802 | ) | ||||||||||||||
PAR |
0.400 | 09/29/2016 | TBD | (3) | EUR | (3,464 | ) | (3,703 | ) | |||||||||||
0.400 | 03/20/2017 | 06/20/2017 | (3,433 | ) | (3,663 | ) | ||||||||||||||
0.600 | 03/27/2017 | 04/27/2017 | GBP | (9,273 | ) | (11,619 | ) | |||||||||||||
0.700 | 03/16/2017 | 04/18/2017 | (21,913 | ) | (27,464 | ) | ||||||||||||||
0.950 | 01/30/2017 | 04/28/2017 | (1,729 | ) | (2,170 | ) | ||||||||||||||
1.050 | 03/17/2017 | 04/18/2017 | (8,836 | ) | (11,076 | ) | ||||||||||||||
RBC |
1.730 | 02/01/2017 | 04/13/2017 | $ | (19,661 | ) | (19,719 | ) | ||||||||||||
1.900 | 10/04/2016 | 04/04/2017 | (2,856 | ) | (2,883 | ) | ||||||||||||||
1.910 | 10/31/2016 | 05/01/2017 | (11,540 | ) | (11,634 | ) | ||||||||||||||
2.030 | 02/13/2017 | 08/14/2017 | (10,950 | ) | (10,980 | ) | ||||||||||||||
2.050 | 02/06/2017 | 08/07/2017 | (3,758 | ) | (3,770 | ) | ||||||||||||||
2.120 | 04/04/2017 | 10/04/2017 | (2,889 | ) | (2,889 | ) | ||||||||||||||
2.336 | 04/25/2016 | 04/24/2017 | (29,781 | ) | (30,444 | ) | ||||||||||||||
2.397 | 11/04/2016 | 05/04/2017 | (12,552 | ) | (12,677 | ) | ||||||||||||||
2.408 | 10/31/2016 | 05/01/2017 | (7,765 | ) | (7,845 | ) | ||||||||||||||
2.543 | 11/14/2016 | 05/15/2017 | (25,462 | ) | (25,714 | ) | ||||||||||||||
2.547 | 11/04/2016 | 05/04/2017 | (11,708 | ) | (11,832 | ) | ||||||||||||||
2.559 | 10/28/2016 | 05/01/2017 | (14,977 | ) | (15,144 | ) | ||||||||||||||
2.650 | 02/21/2017 | 08/21/2017 | (12,181 | ) | (12,218 | ) | ||||||||||||||
2.662 | 01/27/2017 | 07/18/2017 | (3,393 | ) | (3,410 | ) | ||||||||||||||
2.730 | 03/13/2017 | 09/13/2017 | (38,143 | ) | (38,204 | ) | ||||||||||||||
2.730 | 03/20/2017 | 09/20/2017 | (54,765 | ) | (54,823 | ) | ||||||||||||||
2.730 | 03/27/2017 | 09/20/2017 | (20,861 | ) | (20,882 | ) | ||||||||||||||
RCE |
0.772 | 01/27/2017 | 04/27/2017 | EUR | (3,024 | ) | (3,230 | ) | ||||||||||||
0.950 | 01/31/2017 | 04/28/2017 | GBP | (4,107 | ) | (5,154 | ) | |||||||||||||
0.972 | 02/06/2017 | 06/06/2017 | EUR | (1,320 | ) | (1,410 | ) | |||||||||||||
1.050 | 03/01/2017 | 06/01/2017 | GBP | (7,801 | ) | (9,783 | ) | |||||||||||||
1.359 | 01/18/2017 | 04/18/2017 | (1,889 | ) | (2,373 | ) | ||||||||||||||
RDR |
1.800 | 01/13/2017 | 04/07/2017 | $ | (745 | ) | (748 | ) | ||||||||||||
1.800 | 03/02/2017 | 05/23/2017 | (2,821 | ) | (2,826 | ) | ||||||||||||||
RTA |
1.897 | 11/07/2016 | 05/01/2017 | (1,954 | ) | (1,969 | ) | |||||||||||||
1.967 | 01/03/2017 | 07/03/2017 | (10,382 | ) | (10,433 | ) | ||||||||||||||
1.997 | 02/03/2017 | 04/13/2017 | (9,154 | ) | (9,184 | ) | ||||||||||||||
2.007 | 02/22/2017 | 08/22/2017 | (12,705 | ) | (12,733 | ) | ||||||||||||||
2.071 | 03/09/2017 | 09/11/2017 | (44,249 | ) | (44,313 | ) | ||||||||||||||
2.208 | 04/13/2016 | 04/12/2017 | (9,263 | ) | (9,465 | ) | ||||||||||||||
2.221 | 03/14/2017 | 06/15/2017 | (16,110 | ) | (16,130 | ) | ||||||||||||||
2.239 | 04/25/2016 | 04/24/2017 | (26,142 | ) | (26,700 | ) | ||||||||||||||
2.253 | 06/16/2016 | 06/15/2017 | (31,616 | ) | (32,192 | ) | ||||||||||||||
2.298 | 07/19/2016 | 07/18/2017 | (2,020 | ) | (2,053 | ) | ||||||||||||||
2.337 | 05/31/2016 | 05/30/2017 | (7,767 | ) | (7,922 | ) | ||||||||||||||
2.337 | 06/03/2016 | 06/02/2017 | (9,597 | ) | (9,786 | ) | ||||||||||||||
2.345 | 11/14/2016 | 07/25/2017 | (5,190 | ) | (5,237 | ) | ||||||||||||||
2.417 | 01/03/2017 | 07/03/2017 | (14,139 | ) | (14,224 | ) | ||||||||||||||
2.443 | 08/05/2016 | 08/04/2017 | (12,699 | ) | (12,907 | ) | ||||||||||||||
2.519 | 08/15/2016 | 08/14/2017 | (28,343 | ) | (28,801 | ) | ||||||||||||||
2.570 | 10/21/2016 | 10/20/2017 | (18,547 | ) | (18,764 | ) | ||||||||||||||
2.571 | 10/25/2016 | 10/24/2017 | (7,583 | ) | (7,670 | ) | ||||||||||||||
2.605 | 11/18/2016 | 11/16/2017 | (12,170 | ) | (12,290 | ) | ||||||||||||||
2.610 | 11/17/2016 | 11/16/2017 | (7,889 | ) | (7,967 | ) | ||||||||||||||
2.731 | 03/22/2017 | 09/11/2017 | (16,967 | ) | (16,982 | ) | ||||||||||||||
2.813 | 02/06/2017 | 02/05/2018 | (11,110 | ) | (11,159 | ) | ||||||||||||||
2.821 | 01/25/2017 | 01/25/2018 | (19,342 | ) | (19,445 | ) | ||||||||||||||
2.825 | 02/01/2017 | 01/31/2018 | (8,147 | ) | (8,186 | ) | ||||||||||||||
2.845 | 02/21/2017 | 02/08/2018 | (7,229 | ) | (7,252 | ) | ||||||||||||||
2.918 | 03/14/2017 | 03/08/2018 | (44,338 | ) | (44,410 | ) | ||||||||||||||
2.923 | 03/16/2017 | 03/08/2018 | (8,773 | ) | (8,786 | ) | ||||||||||||||
RYL |
0.626 | 03/20/2017 | 04/20/2017 | EUR | (3,580 | ) | (3,820 | ) | ||||||||||||
SGY |
1.600 | 04/06/2017 | 05/30/2017 | $ | (1,643 | ) | (1,643 | ) | ||||||||||||
SOG |
0.703 | 02/06/2017 | 06/02/2017 | EUR | (4,755 | ) | (5,078 | ) | ||||||||||||
1.600 | 01/18/2017 | 04/11/2017 | $ | (2,782 | ) | (2,791 | ) | |||||||||||||
1.600 | 01/20/2017 | 04/11/2017 | (9,591 | ) | (9,622 | ) | ||||||||||||||
1.600 | 01/31/2017 | 05/01/2017 | (5,872 | ) | (5,888 | ) | ||||||||||||||
1.600 | 02/08/2017 | 05/08/2017 | (25,457 | ) | (25,518 | ) | ||||||||||||||
1.600 | 02/14/2017 | 05/16/2017 | (14,850 | ) | (14,882 | ) | ||||||||||||||
1.600 | 02/15/2017 | 05/16/2017 | (11,892 | ) | (11,917 | ) | ||||||||||||||
1.600 | 02/21/2017 | 05/22/2017 | (20,204 | ) | (20,241 | ) | ||||||||||||||
1.600 | 02/27/2017 | 04/06/2017 | (4,202 | ) | (4,209 | ) | ||||||||||||||
1.600 | 02/27/2017 | 05/30/2017 | (21,396 | ) | (21,429 | ) | ||||||||||||||
1.600 | 03/22/2017 | 05/01/2017 | (9,635 | ) | (9,640 | ) | ||||||||||||||
1.700 | 03/01/2017 | 05/30/2017 | (7,742 | ) | (7,754 | ) | ||||||||||||||
1.700 | 03/16/2017 | 06/15/2017 | (29,765 | ) | (29,790 | ) | ||||||||||||||
1.700 | 03/22/2017 | 06/15/2017 | (12,517 | ) | (12,527 | ) | ||||||||||||||
2.526 | 10/11/2016 | 04/11/2017 | (10,449 | ) | (10,577 | ) | ||||||||||||||
2.659 | 10/07/2016 | 04/07/2017 | (8,232 | ) | (8,284 | ) | ||||||||||||||
2.687 | 01/26/2017 | 07/26/2017 | (17,236 | ) | (17,322 | ) | ||||||||||||||
2.689 | 01/30/2017 | 07/26/2017 | (20,474 | ) | (20,570 | ) | ||||||||||||||
2.750 | 12/06/2016 | 06/06/2017 | (17,146 | ) | (17,181 | ) | ||||||||||||||
2.750 | 12/07/2016 | 06/06/2017 | (24,156 | ) | (24,203 | ) | ||||||||||||||
2.756 | 12/09/2016 | 06/09/2017 | (43,012 | ) | (43,147 | ) | ||||||||||||||
2.771 | 12/14/2016 | 06/14/2017 | (41,643 | ) | (41,791 | ) | ||||||||||||||
UBS |
0.460 | 01/26/2017 | 04/26/2017 | EUR | (15,104 | ) | (16,127 | ) | ||||||||||||
0.900 | 01/23/2017 | 04/24/2017 | GBP | (14,029 | ) | (17,607 | ) | |||||||||||||
1.100 | 01/25/2017 | 04/25/2017 | (1,679 | ) | (2,109 | ) | ||||||||||||||
1.260 | 01/20/2017 | 04/27/2017 | (29,656 | ) | (37,249 | ) | ||||||||||||||
1.260 | 02/17/2017 | 05/17/2017 | (40,666 | ) | (51,029 | ) | ||||||||||||||
1.830 | 01/25/2017 | 04/25/2017 | $ | (2,964 | ) | (2,974 | ) | |||||||||||||
1.850 | 02/08/2017 | 05/05/2017 | (14,450 | ) | (14,490 | ) | ||||||||||||||
1.870 | 01/19/2017 | 04/07/2017 | (8,337 | ) | (8,369 | ) | ||||||||||||||
1.920 | 03/14/2017 | 04/12/2017 | (15,572 | ) | (15,589 | ) | ||||||||||||||
1.990 | 02/14/2017 | 05/15/2017 | (8,584 | ) | (8,607 | ) | ||||||||||||||
2.455 | 01/05/2017 | 04/05/2017 | (11,611 | ) | (11,681 | ) | ||||||||||||||
2.505 | 01/05/2017 | 04/05/2017 | (21,932 | ) | (22,066 | ) | ||||||||||||||
2.518 | 01/11/2017 | 04/07/2017 | (9,034 | ) | (9,086 | ) | ||||||||||||||
2.525 | 01/18/2017 | 04/21/2017 | (5,890 | ) | (5,921 | ) | ||||||||||||||
2.534 | 02/09/2017 | 05/09/2017 | (6,566 | ) | (6,591 | ) | ||||||||||||||
2.568 | 01/11/2017 | 04/07/2017 | (20,882 | ) | (21,004 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
$ | (2,403,207 | ) | |||||||||||||||||
|
|
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended March 31, 2017 was $(2,334,406) at a weighted average interest rate of 2.037%. |
(3) | Open maturity reverse repurchase agreement. |
(l) | Securities with an aggregate market value of $3,185,663 and cash of $1,653 have been pledged as collateral under the terms of master agreements as of March 31, 2017. |
(m) | Financial Derivative Instruments: Exchange-Traded or Centrally Cleared |
Swap Agreements:
Credit Default Swaps on Corporate Issues - Sell Protection (1)
Variation Margin | ||||||||||||||||||||||||||||||||
Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at March 31, 2017 (2) |
Notional Amount (3) |
Market Value (4) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | ||||||||||||||||||||||||
Navient Corp. |
5.000 | % | 09/20/2020 | 2.750 | % | $ | 200 | $ | 15 | $ | 7 | $ | 0 | $ | 0 | |||||||||||||||||
Navient Corp. |
5.000 | 12/20/2021 | 3.850 | 400 | 20 | 18 | 0 | 0 | ||||||||||||||||||||||||
Sprint Communications, Inc. |
5.000 | 12/20/2021 | 2.818 | 13,300 | 1,259 | 1,010 | 15 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 1,294 | $ | 1,035 | $ | 15 | $ | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps on Credit Indices - Sell Protection (1)
Variation Margin | ||||||||||||||||||||||||||||
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount (3) |
Market Value (4) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||||||||||||||||||
CDX.HY-27 05-Year Index |
5.000 | % | 12/20/2021 | $ | 495 | $ | 40 | $ | 12 | $ | 0 | $ | 0 | |||||||||||||||
|
|
|
|
|
|
|
|
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 USD-LIBOR |
1.750 | % | 12/21/2023 | $ | 509,000 | $ | (12,772 | ) | $ | (22,363 | ) | $ | 641 | $ | 0 | ||||||||||||||
Pay | 6-Month AUD-BBR-BBSW |
1.750 | 12/21/2026 | AUD | 801,000 | (42,611 | ) | (61,997 | ) | 1,376 | 0 | |||||||||||||||||||
Pay | 3-Month USD-LIBOR |
3.500 | 06/17/2025 | USD | 41,800 | 1,723 | 687 | 20 | 0 | |||||||||||||||||||||
Pay | 3-Month CAD-Bank Bill |
3.300 | 06/19/2024 | CAD | 102,200 | 9,204 | 4,457 | 0 | (241 | ) | ||||||||||||||||||||
Receive | 3-Month CAD-Bank Bill |
3.500 | 06/20/2044 | 46,900 | (8,629 | ) | (6,958 | ) | 209 | 0 | ||||||||||||||||||||
Receive (5) | 3-Month USD-LIBOR |
1.750 | 06/21/2037 | USD | 204,000 | 30,676 | 5,574 | 0 | (268 | ) | ||||||||||||||||||||
Receive (5) | 3-Month USD-LIBOR |
1.750 | 06/21/2047 | 450,900 | 90,048 | 2,646 | 0 | (561 | ) | |||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW |
3.631 | 03/06/2019 | AUD | 150,000 | 3,423 | 3,423 | 24 | 0 | |||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW |
3.635 | 03/06/2019 | 175,000 | 4,003 | 4,003 | 28 | 0 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 75,065 | $ | (70,528 | ) | $ | 2,298 | $ | (1,070 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
$ | 76,399 | $ | (69,481 | ) | $ | 2,313 | $ | (1,070 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(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, securities or other deliverable obligations 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 issues as of period end serve as indicators 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 indicators 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. |
(5) | This instrument has a forward starting effective date. |
(n) | Securities with an aggregate market value of $33,561 and cash of $73,226 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2017. |
(o) | 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 |
04/2017 | $ | 122,491 | EUR | 114,105 | $ | 0 | $ | (765 | ) | ||||||||||||||
04/2017 | 5,926 | JPY | 658,983 | 0 | (7 | ) | ||||||||||||||||||
05/2017 | EUR | 114,105 | $ | 122,644 | 764 | 0 | ||||||||||||||||||
05/2017 | JPY | 658,983 | 5,932 | 7 | 0 | |||||||||||||||||||
BPS |
05/2017 | $ | 1,434 | GBP | 1,151 | 9 | 0 | |||||||||||||||||
CBK |
04/2017 | AUD | 1,761 | $ | 1,347 | 2 | 0 | |||||||||||||||||
04/2017 | EUR | 529 | 569 | 4 | 0 | |||||||||||||||||||
04/2017 | $ | 1,451 | EUR | 1,344 | 0 | (18 | ) | |||||||||||||||||
FBF |
04/2017 | 26,743 | GBP | 21,900 | 696 | 0 | ||||||||||||||||||
GLM |
04/2017 | CAD | 1,625 | $ | 1,220 | 0 | (2 | ) | ||||||||||||||||
04/2017 | EUR | 8,490 | 9,069 | 33 | (21 | ) | ||||||||||||||||||
04/2017 | GBP | 21,206 | 26,216 | 0 | (353 | ) | ||||||||||||||||||
04/2017 | $ | 9,584 | GBP | 7,801 | 190 | 0 | ||||||||||||||||||
HUS |
04/2017 | GBP | 5,192 | $ | 6,417 | 0 | (88 | ) | ||||||||||||||||
04/2017 | JPY | 658,983 | 5,868 | 0 | (51 | ) | ||||||||||||||||||
04/2017 | $ | 247,814 | GBP | 199,493 | 2,131 | 0 | ||||||||||||||||||
05/2017 | GBP | 199,493 | $ | 247,971 | 0 | (2,138 | ) | |||||||||||||||||
JPM |
04/2017 | 26,338 | 32,866 | 0 | (133 | ) | ||||||||||||||||||
04/2017 | $ | 7,104 | EUR | 6,617 | 0 | (45 | ) | |||||||||||||||||
05/2017 | EUR | 2,569 | $ | 2,747 | 3 | 0 | ||||||||||||||||||
MSB |
04/2017 | GBP | 115,349 | 144,664 | 143 | 0 | ||||||||||||||||||
SCX |
04/2017 | BRL | 1,845 | 589 | 0 | 0 | ||||||||||||||||||
04/2017 | GBP | 69,909 | 85,218 | 0 | (2,371 | ) | ||||||||||||||||||
04/2017 | $ | 582 | BRL | 1,845 | 7 | 0 | ||||||||||||||||||
SOG |
04/2017 | 10,894 | GBP | 8,800 | 132 | 0 | ||||||||||||||||||
UAG |
04/2017 | EUR | 114,586 | $ | 121,557 | 0 | (683 | ) | ||||||||||||||||
04/2017 | $ | 1,662 | EUR | 1,539 | 0 | (20 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 4,121 | $ | (6,695 | ) | ||||||||||||||||||
|
|
|
|
Swap Agreements:
Credit Default Swaps on Corporate Issues - Sell Protection (1)
Swap Agreements, at Value | ||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at March 31, 2017 (2) |
Notional Amount (3) |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||||||||||||||||||||||
BPS | Petrobras Global Finance BV |
1.000 | % | 03/20/2019 | 1.086 | % | $ | 10,000 | $ | (867 | ) | $ | 854 | $ | 0 | $ | (13 | ) | ||||||||||||||||
BRC | Banco Espirito Santo S.A. |
5.000 | 12/20/2020 | 9.001 | EUR | 2,500 | (223 | ) | (76 | ) | 0 | (299 | ) | |||||||||||||||||||||
GST | Petrobras Global Finance BV |
1.000 | 09/20/2020 | 2.071 | $ | 1,120 | (163 | ) | 124 | 0 | (39 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (1,253 | ) | $ | 902 | $ | 0 | $ | (351 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps on Credit Indices - Sell Protection (1)
Swap Agreements, at Value (4) | ||||||||||||||||||||||||||||||
Counterparty | Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount (3) |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | ||||||||||||||||||||||
BRC | ABX.HE.AAA.6-2 Index |
0.110 | % | 05/25/2046 | $ | 10,680 | $ | (2,371 | ) | $ | 1,064 | $ | 0 | $ | (1,307 | ) | ||||||||||||||
DUB | CMBX.NA.BBB-.6 Index |
3.000 | 05/11/2063 | 9,700 | (605 | ) | (628 | ) | 0 | (1,233 | ) | |||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | 10/17/2057 | 13,200 | (1,520 | ) | (656 | ) | 0 | (2,176 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | 09/17/2058 | 8,300 | (1,040 | ) | 71 | 0 | (969 | ) | |||||||||||||||||||||
FBF | CMBX.NA.BBB-.10 Index |
3.000 | 11/17/2059 | 400 | (45 | ) | 4 | 0 | (41 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | 05/11/2063 | 900 | (108 | ) | (6 | ) | 0 | (114 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | 01/17/2047 | 1,600 | (146 | ) | 1 | 0 | (145 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | 10/17/2057 | 3,800 | (594 | ) | (33 | ) | 0 | (627 | ) | ||||||||||||||||||||
GST | CMBX.NA.A.6 Index |
2.000 | 05/11/2063 | 13,000 | (661 | ) | (6 | ) | 0 | (667 | ) | |||||||||||||||||||
CMBX.NA.BB.6 Index |
5.000 | 05/11/2063 | 8,500 | (1,150 | ) | (574 | ) | 0 | (1,724 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | 05/11/2063 | 18,900 | (1,042 | ) | (1,360 | ) | 0 | (2,402 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | 01/17/2047 | 3,300 | (169 | ) | (130 | ) | 0 | (299 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | 09/17/2058 | 19,300 | (2,403 | ) | 149 | 0 | (2,254 | ) | |||||||||||||||||||||
JPS | CMBX.NA.BBB-.9 Index |
3.000 | 09/17/2058 | 400 | (49 | ) | 2 | 0 | (47 | ) | ||||||||||||||||||||
MYC | CMBX.NA.BBB-.10 Index |
3.000 | 11/17/2059 | 1,800 | (220 | ) | 38 | 0 | (182 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | 05/11/2063 | 28,300 | (1,633 | ) | (1,964 | ) | 0 | (3,597 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | 01/17/2047 | 6,500 | (286 | ) | (303 | ) | 0 | (589 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | 10/17/2057 | 3,300 | (382 | ) | (162 | ) | 0 | (544 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | 09/17/2058 | 9,300 | (1,149 | ) | 63 | 0 | (1,086 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (15,573 | ) | $ | (4,430 | ) | $ | 0 | $ | (20,003 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
$ | (16,826 | ) | $ | (3,528 | ) | $ | 0 | $ | (20,354 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
(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, securities or other deliverable obligations 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 issues as of period end serve as indicators 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 indicators 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. |
(p) | Securities with an aggregate market value of $24,132 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2017. |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Funds assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 03/31/2017 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 49,318 | $ | 28,983 | $ | 78,301 | ||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 | 251,424 | 55,602 | 307,026 | ||||||||||||
Industrials |
441 | 532,675 | 57,538 | 590,654 | ||||||||||||
Utilities |
0 | 98,017 | 13,782 | 111,799 | ||||||||||||
Municipal Bonds & Notes |
||||||||||||||||
Illinois |
0 | 906 | 0 | 906 | ||||||||||||
Iowa |
0 | 1,390 | 0 | 1,390 | ||||||||||||
New Jersey |
0 | 0 | 6,461 | 6,461 | ||||||||||||
Virginia |
0 | 80 | 0 | 80 | ||||||||||||
West Virginia |
0 | 25,466 | 0 | 25,466 | ||||||||||||
U.S. Government Agencies |
0 | 56,757 | 0 | 56,757 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | 1,529,924 | 29,974 | 1,559,898 | ||||||||||||
Asset-Backed Securities |
0 | 2,297,509 | 122,177 | 2,419,686 | ||||||||||||
Sovereign Issues |
0 | 37,629 | 0 | 37,629 | ||||||||||||
Common Stocks |
||||||||||||||||
Financials |
0 | 0 | 3,322 | 3,322 | ||||||||||||
Warrants |
||||||||||||||||
Utilities |
387 | 0 | 0 | 387 | ||||||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 124,200 | 0 | 124,200 | ||||||||||||
Short-Term Notes |
0 | 2,810 | 0 | 2,810 | ||||||||||||
U.S. Treasury Bills |
0 | 62,022 | 0 | 62,022 | ||||||||||||
Total Investments |
$ | 828 | $ | 5,070,127 | $ | 317,839 | $ | 5,388,794 | ||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||
Exchange-traded or centrally cleared |
0 | 2,313 | 0 | 2,313 | ||||||||||||
Over the counter |
0 | 4,121 | 0 | 4,121 | ||||||||||||
$ | 0 | $ | 6,434 | $ | 0 | $ | 6,434 | |||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||
Exchange-traded or centrally cleared |
0 | (1,070 | ) | 0 | (1,070 | ) | ||||||||||
Over the counter |
0 | (27,049 | ) | 0 | (27,049 | ) | ||||||||||
$ | 0 | $ | (28,119 | ) | $ | 0 | $ | (28,119 | ) | |||||||
Total Financial Derivative Instruments |
$ | 0 | $ | (21,685 | ) | $ | 0 | $ | (21,685 | ) | ||||||
Totals |
$ | 828 | $ | 5,048,442 | $ | 317,839 | $ | 5,367,109 |
There were no significant transfers among Levels 1 and 2 during the period ended March 31, 2017.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2017:
Category and Subcategory | Beginning Balance at 06/30/2016 |
Net Purchases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/ (Loss) |
Net Change
in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 03/31/2017 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 03/31/2017 (1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 1,726 | $ | 0 | $ | 0 | $ | 4 | $ | 0 | $ | (1,157 | ) | $ | 28,410 | $ | 0 | $ | 28,983 | $ | (1,157 | ) | ||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
103,051 | 0 | (47,621 | ) | 47 | 551 | (426 | ) | 0 | 0 | 55,602 | (2,501 | ) | |||||||||||||||||||||||||||
Industrials |
44,189 | 34,574 | (20,259 | ) | 166 | 425 | (1,555 | ) | 0 | (2 | ) | 57,538 | (269 | ) | ||||||||||||||||||||||||||
Utilities |
4,493 | 0 | (4,358 | ) | 0 | 0 | (135 | ) | 13,782 | 0 | 13,782 | 0 | ||||||||||||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
New Jersey |
6,944 | 0 | (120 | ) | (3 | ) | 0 | (360 | ) | 0 | 0 | 6,461 | (356 | ) | ||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
18,261 | 29,875 | (690 | ) | 166 | 126 | 1,334 | 0 | (19,098 | ) | 29,974 | 617 | ||||||||||||||||||||||||||||
Asset-Backed Securities |
29,864 | 101,462 | 0 | 1,326 | 0 | (10,475 | ) | 0 | 0 | 122,177 | (10,476 | ) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Financials |
1,694 | 0 | 0 | 0 | 0 | 1,628 | 0 | 0 | 3,322 | 1,628 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 210,222 | $ | 165,911 | $ | (73,048 | ) | $ | 1,706 | $ | 1,102 | $ | (11,146 | ) | $ | 42,192 | $ | (19,100 | ) | $ | 317,839 | $ | (12,514 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 Balance at 03/31/2017 |
Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 573 | Other Valuation Techniques (2) | | | |||||||
28,410 | Third Party Vendor | Broker Quote | 99.000 - 101.500 | |||||||||
Corporate Bonds & Notes |
||||||||||||
Banking & Finance |
34,622 | Proxy Pricing |
Base Price |
102.362 - 102.667 | ||||||||
20,980 | Reference Instrument |
Spread movement |
204.000 | bps | ||||||||
Industrials |
57,538 | Proxy Pricing |
Base Price |
99.500 - 100.000 | ||||||||
Utilities |
13,782 | Proxy Pricing |
Base Price |
45.961 | ||||||||
Municipal Bonds & Notes |
||||||||||||
New Jersey |
6,461 | Proxy Pricing |
Base Price |
98.862 | ||||||||
Non-Agency Mortgage-Backed Securities |
12,522 | Proxy Pricing | Base Price | 100.000 - 142,500 | ||||||||
17,452 | Third Party Vendor | Broker Quote | 82.530 | |||||||||
Asset-Backed Securities |
122,177 | Proxy Pricing | Base Price | 44.000 - 89,450 | ||||||||
Common Stocks |
||||||||||||
Financials |
3,322 |
Other Valuation Techniques (2) |
|
| ||||||||
|
|
|||||||||||
Total |
$ | 317,839 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2017 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Supplementary Notes to Schedule of Investments as securities valued using such techniques are not considered significant to 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 acting as an investment vehicle for the PIMCO Dynamic Credit and Mortgage Income Fund (the Fund) in order to effect certain investments for the Fund consistent with the Funds investment objectives and policies in effect from time to time. PIMCO Dynamic Credit and Mortgage Income Funds investment portfolio has been consolidated and includes the portfolio holdings of the PIMCO Dynamic Credit and Mortgage Income Fund and the Subsidiary. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans 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 the period end of the Subsidiary (amounts in thousands).
Date of Formation |
Fund Net Assets |
Subsidiary Net Assets |
% of Fund Net Assets |
|||||||||
03/07/2013 | $ | 3,006,245 | $ | 0 | 0.0 | % |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The net asset value (NAV) of the Funds shares is determined by dividing the total value of portfolio investments and other assets, less any liabilities attributable to that Fund, by the total number of shares outstanding of that Fund.
On each day that the New York Stock Exchange (NYSE) is open, Fund shares are ordinarily valued as of the close of regular trading (NYSE Close). Information that becomes known to the Fund or its agents after the time as of which 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. The Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (the SEC).
For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. 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 established market makers or prices (including evaluated prices) supplied by the Funds approved pricing services, quotation reporting systems and other third-party sources (together, Pricing Services). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (PIMCO or the Manager) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. The Funds investments in open-end management investment companies, other than exchange-traded funds (ETFs), are valued at the NAVs of such investments.
If a foreign (non-U.S.) equity securitys value has materially changed after the close of the securitys primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the Board). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Funds portfolio investments being affected when shareholders are unable to buy or sell shares.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.
Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, 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 investments 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 Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Funds next calculated NAV.
Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (Valuation Oversight Committee), generally based on recommendations provided by the Manager. 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, indicative market quotations (Broker Quotes), Pricing Services prices), 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 assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of the Funds securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Funds policy is intended to result in a calculation of the Funds NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair 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 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, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| Level 1Quoted 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 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 into and out of Level 3, if material, are disclosed in the 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 realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value 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 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 value The valuation methods (or techniques) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities 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 on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services 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 Services that use broker-dealer quotations, reported trades 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, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, 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 valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. 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 Fund is not open for business. 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 Services 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.
Investments in registered open-end investment companies (other than ETFs) 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
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services 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 and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or based on market-based prices provided by Pricing Services (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (OIS), London Interbank Offered Rate (LIBOR) forward rate, interest rates, yield curves and credit spreads. 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, investments 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:
Proxy 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 Oversight Committee. Significant changes in the unobservable inputs of the proxy 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.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain 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 Manager 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.
Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. 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.
Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 3 of the fair value hierarchy.
The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with the Funds valuation procedures.
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.
The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Funds tax positions for all open tax years. As of March 31, 2017, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect 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 2014-2016, 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 March 31, 2017, 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 (Depreciation) (1) |
|||||||||
$ 5,402,777 | $ | 247,487 | $ | (261,470 | ) | $ | (13,983 | ) |
(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. | GST | Goldman Sachs International | PAR | Banque Paribas, London | |||||
BOA | Bank of America N.A. | HUS | HSBC Bank USA N.A. | RBC | Royal Bank of Canada | |||||
BPG | BNP Paribas Securities Corp. | IND | Credit Agricole Corporate and Investment Bank S.A. | RCE | Royal Bank of Canada Europe Limited | |||||
BPS | BNP Paribas S.A. | JML | JP Morgan Securities Plc | RDR | RBC Capital Markets | |||||
BRC | Barclays Bank PLC | JPM | JPMorgan Chase Bank N.A. | RTA | Bank of New York Mellon Corp. | |||||
CBK | Citibank N.A. | JPS | JPMorgan Securities, Inc. | RYL | Royal Bank of Scotland Group PLC | |||||
DBL | Deutsche Bank AG London | MSB | Morgan Stanley Bank, N.A | SCX | Standard Chartered Bank | |||||
DEU | Deutsche Bank Securities, Inc. | MSC | Morgan Stanley & Co., Inc. | SGY | Societe Generale, New York | |||||
DUB | Deutsche Bank AG | MYC | Morgan Stanley Capital Services, Inc. | SOG | Societe Generale | |||||
FBF | Credit Suisse International | MYI | Morgan Stanley & Co. International PLC | UAG | UBS AG Stamford | |||||
GLM | Goldman Sachs Bank USA | NOM | Nomura Securities International Inc. | UBS | UBS Securities LLC | |||||
GSC | Goldman Sachs & Co. | |||||||||
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/Spread Abbreviations: | ||||||||||
ABX.HE | Asset-Backed Securities Index - Home Equity | CDX.HY | Credit Derivatives Index - High Yield | CMBX | Commercial Mortgage-Backed Index | |||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | CDO | Collateralized Debt Obligation | REMIC | Real Estate Mortgage Investment Conduit | |||||
ALT | Alternate Loan Trust | CLO | Collateralized Loan Obligation | SP - ADR | Sponsored American Depositary Receipt | |||||
BBR | Bank Bill Rate | LIBOR | London Interbank Offered Rate | TBD | To Be Determined | |||||
BBSW | Bank Bill Swap Reference Rate | PIK | Payment-in-Kind | TBD% | Interest rate to be determined when loan settles | |||||
CBO | Collateralized Bond Obligation |
Item 2. Controls and Procedures
(a) | The principal executive officer and principal financial & accounting officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. |
(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 3. Exhibits
A separate certification for each principal executive officer and principal financial & accounting officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PIMCO Dynamic Credit and Mortgage Income Fund
By: | /s/ Peter G. Strelow | |
Peter G. Strelow | ||
President (Principal Executive Officer) | ||
Date: May 26, 2017 | ||
By: | /s/ William G. Galipeau | |
William G. Galipeau |
Treasurer (Principal Financial & Accounting Officer)
Date: May 26, 2017
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: May 26, 2017 | ||
By: | /s/ William G. Galipeau | |
William G. Galipeau |
Treasurer (Principal Financial & Accounting Officer)
Date: May 26, 2017
Exhibit 99.CERT
Certification Under Rule 30a-2(a)
CERTIFICATION
I, Peter G. Strelow, certify that:
1. | I have reviewed this report on Form N-Q of PIMCO Dynamic Credit and Mortgage 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 the 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: | May 26, 2017
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Signature: | /s/ Peter G. Strelow
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Title: | President (Principal Executive Officer)
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Exhibit 99.CERT
Certification Under Rule 30a-2(a)
CERTIFICATION
I, William G. Galipeau, certify that:
1. | I have reviewed this report on Form N-Q of PIMCO Dynamic Credit and Mortgage 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 the 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: | May 26, 2017
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Signature: | /s/ William G. Galipeau
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Title: | Treasurer (Principal Financial & Accounting Officer)
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