August 31, 2011 Oppenheimer Management Capital Income Commentary |
and Fund Annual Report |
M A N A G E M E N T C O M M E N TA R Y |
An Interview with Your Funds Portfolio Managers |
A N N U A L R E P O R T |
Listing of Top Holdings Fund Performance Discussion Financial Statements |
Top Ten Common Stock Industries |
||||
Oil, Gas & Consumable Fuels |
3.1 | % | ||
Commercial Banks |
1.8 | |||
Chemicals |
1.7 | |||
Pharmaceuticals |
1.7 | |||
Media |
1.5 | |||
IT Services |
1.3 | |||
Software |
1.2 | |||
Real Estate Investment Trusts |
1.1 | |||
Household Products |
1.1 | |||
Multi-Utilities |
0.9 |
Top Ten Common Stock Holdings |
||||
Mosaic Co. (The) |
1.1 | % | ||
Church & Dwight Co., Inc. |
1.1 | |||
Pfizer, Inc. |
1.1 | |||
International Business Machines Corp. |
0.9 | |||
Coca-Cola Co. (The) |
0.9 | |||
Microsoft Corp. |
0.9 | |||
AerCap Holdings NV |
0.8 | |||
Chevron Corp. |
0.8 | |||
Exxon Mobil Corp. |
0.8 | |||
Philip Morris International, Inc. |
0.7 |
* | Represents a value of less than 0.005%. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | March 1, 2011 | August 31, 2011 | August 31, 2011 | |||||||||
Class A |
$ | 1,000.00 | $ | 1,001.50 | $ | 4.80 | ||||||
Class B |
1,000.00 | 995.40 | 10.11 | |||||||||
Class C |
1,000.00 | 996.20 | 9.20 | |||||||||
Class N |
1,000.00 | 1,000.00 | 6.57 | |||||||||
Class Y |
1,000.00 | 1,004.70 | 2.78 |
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Class A |
1,000.00 | 1,020.42 | 4.85 | |||||||||
Class B |
1,000.00 | 1,015.12 | 10.21 | |||||||||
Class C |
1,000.00 | 1,016.03 | 9.29 | |||||||||
Class N |
1,000.00 | 1,018.65 | 6.64 | |||||||||
Class Y |
1,000.00 | 1,022.43 | 2.81 |
Class | Expense Ratios | |||
Class A |
0.95 | % | ||
Class B |
2.00 | |||
Class C |
1.82 | |||
Class N |
1.30 | |||
Class Y |
0.55 |
Shares | Value | |||||||
Common Stocks26.8% |
||||||||
Consumer Discretionary2.8% |
||||||||
Hotels, Restaurants & Leisure0.6% |
||||||||
McDonalds Corp. |
115,000 | $ | 10,402,900 | |||||
Leisure Equipment & Products0.4% |
||||||||
Mattel, Inc. |
270,000 | 7,254,900 | ||||||
Media1.5% |
||||||||
Cinemark Holdings, Inc. |
428,000 | 8,966,600 | ||||||
Comcast Corp., Cl. A |
354,000 | 7,614,540 | ||||||
Time Warner Cable, Inc. |
102,500 | 6,713,750 | ||||||
23,294,890 | ||||||||
Multiline Retail0.3% |
||||||||
Target Corp. |
100,000 | 5,167,000 | ||||||
Consumer Staples3.2% |
||||||||
Beverages0.9% |
||||||||
Coca-Cola Co. (The) |
206,000 | 14,512,700 | ||||||
Food & Staples Retailing0.2% |
||||||||
Walgreen Co. |
94,000 | 3,309,740 | ||||||
Food Products0.3% |
||||||||
Adecoagro SA1 |
458,290 | 4,867,040 | ||||||
Household Products1.1% |
||||||||
Church & Dwight Co., Inc. |
386,000 | 16,806,440 | ||||||
Tobacco0.7% |
||||||||
Philip Morris International, Inc. |
156,000 | 10,813,920 | ||||||
Energy3.7% |
||||||||
Energy Equipment & Services0.6% |
||||||||
Nabors Industries Ltd.1 |
283,000 | 5,218,520 | ||||||
Schlumberger Ltd. |
63,000 | 4,921,560 | ||||||
10,140,080 | ||||||||
Oil, Gas & Consumable Fuels3.1% |
||||||||
Apache Corp. |
46,500 | 4,792,755 | ||||||
Chevron Corp. |
126,100 | 12,472,551 | ||||||
Enbridge Energy Management LLC1 |
1 | 3 | ||||||
Exxon Mobil Corp. |
165,300 | 12,238,812 | ||||||
Hess Corp. |
64,000 | 3,797,760 | ||||||
Kinder Morgan Management LLC1 |
1 | 22 | ||||||
Kinder Morgan, Inc. |
96,390 | 2,491,682 | ||||||
Noble Energy, Inc. |
21,500 | 1,899,740 |
Shares | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Royal Dutch Shell plc, ADR |
8,000 | $ | 536,400 | |||||
Royal Dutch Shell plc, B Shares |
305,953 | 10,327,894 | ||||||
48,557,619 | ||||||||
Financials4.2% |
||||||||
Capital Markets0.7% |
||||||||
Bond Street Holdings LLC, Cl. A1,2 |
375,000 | 7,687,500 | ||||||
Goldman Sachs Group, Inc. (The) |
33,000 | 3,835,260 | ||||||
11,522,760 | ||||||||
Commercial Banks1.8% |
||||||||
M&T Bank Corp. |
88,000 | 6,694,160 | ||||||
PNC Financial Services Group, Inc. |
192,000 | 9,626,880 | ||||||
U.S. Bancorp |
250,000 | 5,802,500 | ||||||
Wells Fargo & Co. |
209,000 | 5,454,900 | ||||||
27,578,440 | ||||||||
Insurance0.6% |
||||||||
ACE Ltd. |
76,000 | 4,908,080 | ||||||
Unum Group |
200,000 | 4,708,000 | ||||||
9,616,080 | ||||||||
Real Estate Investment Trusts1.1% |
||||||||
American Assets Trust, Inc. |
205,000 | 4,124,600 | ||||||
General Growth Properties, Inc. |
249,926 | 3,408,991 | ||||||
Public Storage |
25,000 | 3,093,250 | ||||||
Starwood Property Trust, Inc. |
392,130 | 7,254,405 | ||||||
17,881,246 | ||||||||
Health Care3.3% |
||||||||
Biotechnology0.6% |
||||||||
Gilead Sciences, Inc.1 |
178,000 | 7,099,530 | ||||||
NPS Pharmaceuticals, Inc.1 |
242,470 | 1,808,826 | ||||||
8,908,356 | ||||||||
Health Care Equipment & Supplies0.2% |
||||||||
Medtronic, Inc. |
100,000 | 3,507,000 | ||||||
Health Care Providers & Services0.8% |
||||||||
HCA Holdings, Inc.1 |
101,550 | 2,034,047 | ||||||
Humana, Inc. |
49,000 | 3,804,360 | ||||||
UnitedHealth Group, Inc. |
160,000 | 7,603,200 | ||||||
13,441,607 |
Shares | Value | |||||||
Pharmaceuticals1.7% |
||||||||
Pfizer, Inc. |
884,400 | $ | 16,785,912 | |||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR |
68,440 | 2,830,678 | ||||||
Watson Pharmaceuticals, Inc.1 |
100,000 | 6,712,000 | ||||||
26,328,590 | ||||||||
Industrials1.3% |
||||||||
Aerospace & Defense0.8% |
||||||||
AerCap Holdings NV1 |
1,197,280 | 13,301,781 | ||||||
Electrical Equipment0.5% |
||||||||
Cooper Industries plc |
148,300 | 7,026,454 | ||||||
Information Technology4.4% |
||||||||
Communications Equipment0.5% |
||||||||
Juniper Networks, Inc.1 |
96,000 | 2,009,280 | ||||||
QUALCOMM, Inc. |
126,500 | 6,509,690 | ||||||
8,518,970 | ||||||||
Computers & Peripherals0.5% |
||||||||
Apple, Inc.1 |
20,100 | 7,735,083 | ||||||
Internet Software & Services0.3% |
||||||||
VeriSign, Inc. |
147,000 | 4,579,050 | ||||||
IT Services1.3% |
||||||||
Accenture plc, Cl. A |
100,000 | 5,359,000 | ||||||
International Business Machines Corp. |
86,700 | 14,904,597 | ||||||
20,263,597 | ||||||||
Semiconductors & Semiconductor Equipment0.6% |
||||||||
Atmel Corp.1 |
340,000 | 3,097,400 | ||||||
Broadcom Corp., Cl. A |
78,000 | 2,780,700 | ||||||
Xilinx, Inc. |
145,000 | 4,515,300 | ||||||
10,393,400 | ||||||||
Software1.2% |
||||||||
Microsoft Corp. |
515,000 | 13,699,000 | ||||||
Oracle Corp. |
194,000 | 5,445,580 | ||||||
19,144,580 | ||||||||
Materials2.2% |
||||||||
Chemicals1.7% |
||||||||
Celanese Corp., Series A |
183,500 | 8,626,335 | ||||||
Mosaic Co. (The) |
254,070 | 18,071,999 | ||||||
26,698,334 |
Shares | Value | |||||||
Containers & Packaging0.5% |
||||||||
Rock-Tenn Co., Cl. A |
165,469 | $ | 8,880,721 | |||||
Telecommunication Services0.4% |
||||||||
Diversified Telecommunication Services0.4% |
||||||||
AT&T, Inc. |
232,500 | 6,621,600 | ||||||
Utilities1.3% |
||||||||
Electric Utilities0.4% |
||||||||
Cleco Corp. |
173,000 | 6,146,690 | ||||||
Multi-Utilities0.9% |
||||||||
CenterPoint Energy, Inc. |
332,500 | 6,653,325 | ||||||
CMS Energy Corp. |
285,000 | 5,614,500 | ||||||
Public Service Enterprise Group, Inc. |
96,000 | 3,276,480 | ||||||
15,544,305 | ||||||||
Total Common Stocks (Cost $387,367,784) |
428,765,873 | |||||||
Preferred Stocks3.2% |
||||||||
Goldman Sachs Group, Inc. (The), 3.75% Non-Cum., Series A, Non-Vtg. |
123,300 | 2,483,262 | ||||||
H.J. Heinz Finance Co., 8% Cum., Series B3 |
40 | 4,286,250 | ||||||
Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. |
25,000 | 22,875,000 | ||||||
MetLife, Inc., 5% Cv., Non-Vtg. |
138,500 | 9,064,825 | ||||||
PNC Financial Services Group, Inc., 9.875% Non-Cum., Series F,
Non-Vtg. |
75,000 | 2,124,000 | ||||||
PPL Corp., 8.75% Cv. |
50,000 | 2,732,000 | ||||||
Wells Fargo & Co., 7.50% Cv., Series L, Non-Vtg. |
7,000 | 7,286,790 | ||||||
Total Preferred Stocks (Cost $48,731,667) |
50,852,127 |
Units | ||||||||
Rights, Warrants and Certificates0.0% |
||||||||
Charter Communications, Inc., Cl. A Wts., Strike Price $46.86, |
||||||||
Exp.
11/30/141 (Cost $192,089) |
38,418 | 528,248 |
Principal | ||||||||
Amount | ||||||||
Mortgage-Backed Obligations24.4% |
||||||||
Government Agency19.4% |
||||||||
FHLMC/FNMA/FHLB/Sponsored19.3% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
4.50%, 5/1/194 |
$ | 2,933,591 | 3,120,668 | |||||
5%, 12/15/34-6/1/40 |
2,062,842 | 2,223,243 | ||||||
6%, 5/15/18 |
1,029,559 | 1,118,455 | ||||||
6.50%, 7/1/28-4/1/34 |
406,005 | 465,970 | ||||||
7%, 10/1/31 |
541,596 | 624,031 | ||||||
8%, 4/1/16 |
126,083 | 138,258 | ||||||
9%, 8/1/22-5/1/25 |
48,618 | 55,286 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 2006-11, Cl. PS, 23.766%, 3/25/365
|
$ | 615,594 | $ | 887,200 | ||||
Series 2034, Cl. Z, 6.50%, 2/15/28
|
235,059 | 282,441 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28
|
1,053,248 | 1,223,802 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28
|
239,838 | 273,930 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31
|
473,855 | 524,670 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31
|
219,734 | 255,686 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17
|
1,466,615 | 1,587,354 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32
|
855,819 | 963,634 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32
|
1,285,254 | 1,474,510 | ||||||
Series 2500, Cl. FD, 0.707%, 3/15/325
|
130,598 | 130,804 | ||||||
Series 2526, Cl. FE, 0.607%, 6/15/295
|
160,587 | 160,929 | ||||||
Series 2538, Cl. F, 0.807%, 12/15/325
|
1,499,448 | 1,505,431 | ||||||
Series 2551, Cl. FD, 0.607%, 1/15/335
|
110,931 | 111,062 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33
|
1,905,611 | 2,088,081 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16
|
706,068 | 711,684 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17
|
658,785 | 662,253 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27
|
258,952 | 260,582 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28
|
94,940 | 94,958 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28
|
32,881 | 32,872 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31
|
1,232,931 | 1,251,727 | ||||||
Series 3025, Cl. SJ, 23.99%, 8/15/355
|
190,223 | 272,660 | ||||||
Series 3094, Cl. HS, 23.624%, 6/15/345
|
385,224 | 517,111 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30
|
579,640 | 587,634 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40
|
2,167,270 | 2,311,575 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15
|
309,881 | 311,862 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 17.421%, 4/1/276
|
363,692 | 77,923 | ||||||
Series 192, Cl. IO, 14.219%, 2/1/286
|
114,710 | 27,203 | ||||||
Series 2130, Cl. SC, 51.923%, 3/15/296
|
281,314 | 59,490 | ||||||
Series 243, Cl. 6, 0.49%, 12/15/326
|
435,073 | 101,966 | ||||||
Series 2527, Cl. SG, 0%, 2/15/326,7
|
188,200 | 3,896 | ||||||
Series 2531, Cl. ST, 38.931%, 2/15/306
|
378,117 | 17,167 | ||||||
Series 2639, Cl. SA, 0%, 7/15/226,7
|
1,701,405 | 151,529 | ||||||
Series 2796, Cl. SD, 62.777%, 7/15/266
|
413,179 | 82,778 | ||||||
Series 2802, Cl. AS, 66.675%, 4/15/336
|
433,354 | 37,665 | ||||||
Series 2815, Cl. PT, 28.056%, 11/15/326
|
6,592,965 | 923,435 | ||||||
Series 2920, Cl. S, 63.683%, 1/15/356
|
2,302,998 | 410,748 | ||||||
Series 2937, Cl. SY, 24.598%, 2/15/356
|
9,441,990 | 1,517,518 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/266
|
408,107 | 58,395 | ||||||
Series 3451, Cl. SB, 26.657%, 5/15/386
|
6,014,230 | 755,262 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped |
||||||||
Mtg.-Backed Security, Series 176, Cl. PO,
3.618%, 6/1/268
|
112,378 | 100,315 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn.: |
||||||||
4%, 9/1/269
|
$ | 1,680,000 | $ | 1,770,563 | ||||
4.50%, 9/1/26-9/1/419
|
44,500,000 | 47,119,322 | ||||||
5%, 9/1/419
|
30,859,000 | 33,245,759 | ||||||
5.50%, 1/1/38-4/1/39
|
4,982,218 | 5,460,434 | ||||||
5.50%, 9/1/26-9/1/419
|
28,921,000 | 31,596,070 | ||||||
6%, 9/1/419
|
20,295,000 | 22,467,204 | ||||||
6.50%, 5/25/17-11/25/31
|
3,041,814 | 3,406,630 | ||||||
6.50%, 9/1/419
|
6,052,000 | 6,758,383 | ||||||
7%, 11/1/17-7/25/35
|
608,634 | 654,261 | ||||||
7.50%, 1/1/33-3/25/33
|
5,488,955 | 6,415,274 | ||||||
8.50%, 7/1/32
|
14,552 | 16,643 | ||||||
Federal National Mortgage Assn., 15 yr.: |
||||||||
3%, 10/1/269
|
25,510,000 | 26,131,805 | ||||||
3.50%, 9/1/269
|
13,530,000 | 14,121,938 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 9/1/419
|
18,070,000 | 18,730,684 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23
|
708,799 | 807,426 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28
|
387,459 | 438,702 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29
|
594,826 | 689,228 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31
|
1,030,123 | 1,210,872 | ||||||
Trust 2003-130, Cl. CS, 13.663%, 12/25/335
|
676,574 | 822,065 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23
|
3,553,000 | 4,010,424 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20
|
3,036,959 | 3,261,363 | ||||||
Trust 2004-81, Cl. KC, 4.50%, 4/1/17
|
215,067 | 215,720 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17
|
478,112 | 486,186 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25
|
7,504,312 | 8,451,964 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28
|
888,477 | 898,352 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28
|
362,157 | 366,683 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29
|
435,571 | 443,326 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35
|
1,430,000 | 1,685,260 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33
|
2,681,981 | 2,838,250 | ||||||
Trust 2006-46, Cl. SW, 23.398%, 6/25/365
|
499,282 | 701,467 | ||||||
Trust 2006-50, Cl. KS, 23.399%, 6/25/365
|
1,071,862 | 1,500,762 | ||||||
Trust 2006-50, Cl. SK, 23.399%, 6/25/365
|
121,460 | 175,042 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33
|
2,864,367 | 3,042,644 | ||||||
Trust 2009-36, Cl. FA, 1.158%, 6/25/375
|
2,497,834 | 2,534,247 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19
|
3,530,084 | 3,735,343 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35
|
4,163,901 | 4,329,402 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41
|
1,454,753 | 1,524,143 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40
|
2,103,525 | 2,297,604 | ||||||
Federal National Mortgage Assn., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-15, Cl. SA, 69.676%, 3/17/316
|
321,879 | 67,518 | ||||||
Trust 2001-65, Cl. S, 40.207%, 11/25/316
|
946,931 | 188,482 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: Continued |
||||||||
Trust 2001-81, Cl. S, 34.588%, 1/25/326
|
$ | 226,530 | $ | 45,562 | ||||
Trust 2002-47, Cl. NS, 35.562%, 4/25/326
|
474,604 | 87,380 | ||||||
Trust 2002-51, Cl. S, 35.86%, 8/25/326
|
435,752 | 80,077 | ||||||
Trust 2002-52, Cl. SD, 44.018%, 9/25/326
|
540,567 | 109,683 | ||||||
Trust 2002-60, Cl. SM, 39.868%, 8/25/326
|
812,054 | 156,824 | ||||||
Trust 2002-7, Cl. SK, 39.348%, 1/25/326
|
250,863 | 49,437 | ||||||
Trust 2002-75, Cl. SA, 40.413%, 11/25/326
|
1,135,862 | 188,646 | ||||||
Trust 2002-77, Cl. BS, 40.86%, 12/18/326
|
491,884 | 81,053 | ||||||
Trust 2002-77, Cl. JS, 38.325%, 12/18/326
|
811,316 | 128,206 | ||||||
Trust 2002-77, Cl. SA, 40.228%, 12/18/326
|
772,117 | 129,148 | ||||||
Trust 2002-77, Cl. SH, 47.629%, 12/18/326
|
311,627 | 73,529 | ||||||
Trust 2002-89, Cl. S, 69.059%, 1/25/336
|
1,380,894 | 357,162 | ||||||
Trust 2002-9, Cl. MS, 34.961%, 3/25/326
|
289,472 | 68,748 | ||||||
Trust 2002-90, Cl. SN, 41.286%, 8/25/326
|
418,157 | 81,027 | ||||||
Trust 2002-90, Cl. SY, 44.447%, 9/25/326
|
182,755 | 36,087 | ||||||
Trust 2003-33, Cl. SP, 41.734%, 5/25/336
|
1,036,222 | 198,366 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/236,7
|
2,101,313 | 277,087 | ||||||
Trust 2003-89, Cl. XS, 29.006%, 11/25/326
|
807,047 | 47,378 | ||||||
Trust 2004-54, Cl. DS, 54.327%, 11/25/306
|
522,204 | 106,165 | ||||||
Trust 2004-56, Cl. SE, 16.50%, 10/25/336
|
1,269,258 | 217,990 | ||||||
Trust 2005-19, Cl. SA, 65.429%, 3/25/356
|
6,039,516 | 1,235,972 | ||||||
Trust 2005-40, Cl. SA, 64.10%, 5/25/356
|
1,339,469 | 265,336 | ||||||
Trust 2005-6, Cl. SE, 78.703%, 2/25/356
|
1,925,813 | 327,925 | ||||||
Trust 2005-71, Cl. SA, 63.096%, 8/25/256
|
1,427,900 | 222,428 | ||||||
Trust 2005-93, Cl. SI, 18.295%, 10/25/356
|
1,952,765 | 274,112 | ||||||
Trust 2006-129, Cl. SM, 22.142%, 1/25/376
|
4,445,550 | 718,600 | ||||||
Trust 2006-51, Cl. SA, 39.127%, 6/25/366
|
14,301,093 | 2,181,752 | ||||||
Trust 2008-55, Cl. SA, 29.784%, 7/25/386
|
3,221,336 | 444,376 | ||||||
Trust 2008-67, Cl. KS, 48.517%, 8/25/346
|
4,477,934 | 353,748 | ||||||
Trust 222, Cl. 2, 26.284%, 6/1/236
|
817,114 | 169,286 | ||||||
Trust 252, Cl. 2, 37.073%, 11/1/236
|
675,398 | 133,126 | ||||||
Trust 303, Cl. IO, 29.485%, 11/1/296
|
247,583 | 54,057 | ||||||
Trust 308, Cl. 2, 24.853%, 9/1/306
|
635,649 | 151,470 | ||||||
Trust 320, Cl. 2, 13.568%, 4/1/326
|
2,556,074 | 591,545 | ||||||
Trust 321, Cl. 2, 2.449%, 4/1/326
|
2,182,012 | 476,400 | ||||||
Trust 331, Cl. 9, 14.88%, 2/1/336
|
689,121 | 148,414 | ||||||
Trust 334, Cl. 17, 22.654%, 2/1/336
|
407,887 | 72,983 | ||||||
Trust 338, Cl. 2, 4.148%, 7/1/336
|
454,631 | 68,603 | ||||||
Trust 339, Cl. 12, 3.363%, 7/1/336
|
1,617,619 | 346,388 | ||||||
Trust 339, Cl. 7, 0%, 7/1/336,7
|
2,205,608 | 384,429 | ||||||
Trust 343, Cl. 13, 10.16%, 9/1/336
|
1,519,959 | 319,394 | ||||||
Trust 343, Cl. 18, 4.94%, 5/1/346
|
484,016 | 71,226 | ||||||
Trust 345, Cl. 9, 0%, 1/1/346,7
|
1,126,907 | 185,884 | ||||||
Trust 351, Cl. 10, 6.052%, 4/1/346
|
576,818 | 102,427 | ||||||
Trust 351, Cl. 8, 2.907%, 4/1/346
|
916,716 | 166,164 | ||||||
Trust 356, Cl. 10, 0%, 6/1/356,7
|
753,703 | 132,524 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: Continued |
||||||||
Trust 356, Cl. 12, 0%, 2/1/356,7 |
$ | 376,622 | $ | 65,338 | ||||
Trust 362, Cl. 13, 3.822%, 8/1/356 |
1,244,634 | 237,246 | ||||||
Trust 364, Cl. 16, 0%, 9/1/356,7 |
1,591,732 | 239,563 | ||||||
Trust 365, Cl. 16, 1.692%, 3/1/366 |
4,211,792 | 717,371 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed
Security, Trust 1993-184, Cl. M, 4.127%, 9/25/238 |
311,944 | 267,889 | ||||||
308,818,629 | ||||||||
GNMA/Guaranteed0.1% |
||||||||
Government National Mortgage Assn., 8.50%, 8/1/17-12/15/17 |
68,037 | 76,553 | ||||||
Government National Mortgage Assn., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: |
||||||||
Series 2001-21, Cl. SB, 89.606%, 1/16/276 |
609,665 | 130,126 | ||||||
Series 2002-15, Cl. SM, 81.234%, 2/16/326 |
572,529 | 124,934 | ||||||
Series 2002-41, Cl. GS, 62.833%, 6/16/326 |
340,264 | 77,402 | ||||||
Series 2002-76, Cl. SY, 80.648%, 12/16/266 |
1,466,180 | 320,744 | ||||||
Series 2004-11, Cl. SM, 78.365%, 1/17/306 |
542,474 | 145,964 | ||||||
Series 2007-17, Cl. AI, 21.949%, 4/16/376 |
4,177,890 | 933,602 | ||||||
1,809,325 | ||||||||
Non-Agency5.0% |
||||||||
Commercial2.4% |
||||||||
Banc of America Commercial Mortgage Trust 2007-1,
Commercial Mtg. Pass-Through Certificates, Series 2007-1,
Cl. A4, 5.451%, 1/1/49 |
2,525,000 | 2,690,697 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through
Certificates, Series 2007-4, Cl. 22A1, 5.732%, 6/1/475 |
1,793,509 | 1,386,435 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/443 |
512,224 | 506,102 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through
Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
1,160,817 | 945,258 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 |
440,000 | 444,805 | ||||||
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 |
1,375,000 | 1,434,249 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/463 |
1,997,565 | 2,004,105 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed
Security, Series 2010-C1, Cl. XPA, 4.706%, 9/1/203,6 |
16,087,786 | 1,292,782 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2,
Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%,
4/25/37 |
70,403 | 47,010 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
Greenwich Capital Commercial Funding Corp./Commercial
Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through
Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 |
$ | 700,000 | $ | 739,670 | ||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 |
1,364,750 | 1,383,475 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through
Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
1,554,132 | 1,511,395 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds,
Series 2005-4, Cl. 1A1A, 0.758%, 5/25/355 |
1,942,627 | 1,396,530 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg.
Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.153%,
11/1/355 |
2,330,520 | 1,656,510 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/463 |
1,522,652 | 1,533,044 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/433 |
2,420,000 | 2,398,326 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 |
2,590,000 | 2,669,830 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 |
590,000 | 627,370 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 |
519,475 | 531,538 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19,
Commercial Mtg. Pass-Through Certificates, Series 2007-CB19,
Cl. AM, 5.931%, 2/1/495 |
385,000 | 336,208 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through
Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 |
2,411,178 | 2,185,338 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through
Certificates, Series 2007-6, Cl. 3A1, 5.199%, 7/1/375 |
2,188,315 | 1,410,695 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33,
Commercial Mtg. Pass-Through Certificates,
Series 2007-C33, Cl. A4, 6.096%, 2/1/515 |
1,800,000 | 1,918,326 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34,
Commercial Mtg. Pass-Through Certificates,
Series 2007-C34, Cl. A3, 5.678%, 5/1/46 |
1,835,000 | 1,949,615 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust,
Mtg. Pass-Through Certificates, Series 2005-AR14,
Cl. 1A4, 2.654%, 12/1/355 |
1,152,014 | 947,869 | ||||||
Wells Fargo Commercial Mortgage Trust 2010-C1,
Commercial Mtg. Pass-Through Certificates,
Series 2010-C1, Cl. A1, 3.349%, 11/1/433 |
1,261,897 | 1,296,683 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.085%, 11/1/375 |
1,641,154 | 1,297,316 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3,
Interest-Only Commercial Mtg. Pass-Through Certificates,
Series 2011-C3, Cl. XA, 6.164%, 3/1/446 |
20,178,836 | 1,857,159 | ||||||
38,398,340 |
Principal | ||||||||
Amount | Value | |||||||
Multifamily0.5% |
||||||||
Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through
Certificates, Series 2005-10, Cl. A3, 2.772%, 10/1/355 |
$ | 6,029,994 | $ | 5,029,685 | ||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through
Certificates, Series 2006-AR3, Cl. 1A2A, 5.675%, 6/1/365 |
1,525,491 | 1,368,078 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg.
Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 |
494,073 | 493,733 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through
Certificates, Series 2007-A3, Cl. 3A2M,
5.518%, 5/1/375 |
606,373 | 512,142 | ||||||
7,403,638 | ||||||||
Other0.4% |
||||||||
Greenwich Capital Commercial Funding Corp./Commercial
Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through
Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 |
5,315,000 | 5,638,030 | ||||||
Residential1.7% |
||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through
Certificates, Series 2007-C, Cl. 1A4, 5.568%, 5/1/365 |
560,000 | 504,997 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through
Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 |
931,201 | 813,480 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through
Certificates, Series 2005-HYB7, Cl. 6A1, 5.371%, 11/1/355 |
2,067,251 | 1,486,272 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through
Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
1,451,441 | 1,369,653 | ||||||
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through
Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 |
2,190,348 | 1,858,931 | ||||||
Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through
Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 |
7,622,947 | 6,386,825 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through
Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 |
1,428,941 | 1,077,948 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through
Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
1,468,907 | 1,397,704 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through
Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
1,388,095 | 1,210,546 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through
Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 |
627,394 | 505,573 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through
Certificates, Series 2004-5, Cl. 3A1, 2.542%, 5/1/345 |
3,452,447 | 3,019,496 | ||||||
Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass-Through
Certificates, Series 2006-6, Cl. A2, 0.368%, 11/25/465 |
1,633,510 | 1,605,511 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.626%,
5/1/375 |
1,513,360 | 1,286,700 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed
Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 |
$ | 1,289,791 | $ | 1,071,180 | ||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg.
Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.71%, 9/1/345 |
1,757,251 | 1,697,914 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg.
Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
1,122,821 | 1,084,553 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.69%, 10/1/365 |
1,492,847 | 1,312,186 | ||||||
27,689,469 | ||||||||
Total Mortgage-Backed Obligations (Cost $375,749,205) |
389,757,431 | |||||||
Asset-Backed Securities9.4% |
||||||||
AESOP Funding II LLC, Automobile Receivables Nts., |
||||||||
Series 2011-1A, Cl. A, 1.85%, 11/20/133 |
870,000 | 879,518 | ||||||
Airspeed Ltd., Airplane Receivables: |
||||||||
Series 2007-1A, Cl. G1, 0.477%,
6/15/322,5 |
37,000,749 | 29,600,600 | ||||||
Series 2007-1A, Cl. G2, 0.487%,
6/15/322,5 |
12,640,897 | 10,175,922 | ||||||
Ally Auto Receivables Trust 2010-4, Automobile
Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 |
465,000 | 467,019 | ||||||
Ally Master Owner Trust 2010-1, Asset-Backed Certificates,
Series 2010-1, Cl. A, 1.957%, 1/15/153,5 |
155,000 | 157,527 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed
Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/153 |
1,390,000 | 1,429,951 | ||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile
Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 |
333,628 | 336,788 | ||||||
AmeriCredit Automobile Receivables Trust 2010-4, Automobile
Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 |
2,740,000 | 2,823,363 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile
Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 |
430,000 | 441,836 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2,
Automobile Receivables-Backed Nts.: |
||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15 |
240,000 | 242,777 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 |
860,000 | 876,137 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 |
311,279 | 311,803 | ||||||
Blade Engine Securitization Ltd., Asset-Backed Certificates,
Series 2006-1A, Cl. B, 3.207%, 9/15/412,5 |
10,319,314 | 7,894,275 | ||||||
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts.,
Series 2010-3, Cl. A3, 0.99%, 2/17/15 |
3,350,000 | 3,355,504 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2006-FRE1, Cl. A2, 0.328%, 7/25/365 |
1,392,731 | 1,296,402 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
Centre Point Funding LLC, Asset-Backed Nts.,
Series 2010-1A, Cl. 1, 5.43%, 7/20/153 |
$ | 388,566 | $ | 415,053 | ||||
Citibank Credit Card Issuance Trust, Credit Card
Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 |
430,000 | 457,017 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: |
||||||||
Series 2009-A12, Cl. A12, 3.35%, 8/15/163 |
1,620,000 | 1,653,318 | ||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/183 |
1,520,000 | 1,675,597 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/183 |
2,590,000 | 2,832,502 | ||||||
Series 2009-A8, Cl. A8, 2.307%, 5/16/163,5 |
2,015,000 | 2,035,485 | ||||||
CLI Funding LLC, Equipment Asset-Backed Nts.,
Series 2006-1A, Cl. A, 0.39%, 8/18/213,5 |
6,806,970 | 6,167,122 | ||||||
CNH
Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1,
Cl. 1A, 1.007%, 1/20/415 |
1,675,000 | 1,681,901 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: |
||||||||
Series 2002-4, Cl. A1, 0.958%, 2/25/335 |
19,714 | 18,805 | ||||||
Series 2004-6, Cl. M5, 1.488%, 8/25/345 |
2,362,066 | 579,130 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 |
618,610 | 484,155 | ||||||
CWABS Asset-Backed Certificates Trust 2005-4, Asset-Backed |
||||||||
Certificates, Series 2005-4, Cl. MF7, 5.733%, 10/1/35 |
5,850,000 | 944,304 | ||||||
CWABS Asset-Backed Certificates Trust 2005-7, Asset-Backed |
||||||||
Certificates, Series 2005-7, Cl. MF7, 5.732%, 10/1/35 |
3,284,000 | 456,056 | ||||||
CWABS Asset-Backed Certificates Trust 2006-10, Asset-Backed
Certificates: |
||||||||
Series 2006-10, Cl. MF4, 5.849%, 9/1/465 |
2,550,000 | 186,283 | ||||||
Series 2006-10, Cl. MF5, 5.849%, 9/1/465 |
2,465,000 | 126,335 | ||||||
CWABS Asset-Backed Certificates Trust 2007-4, Asset-Backed |
||||||||
Certificates, Series 2007-4, Cl. M2, 5.931%, 9/1/37 |
2,000,000 | 291,486 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable
Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
1,465,000 | 1,494,465 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts.,
Series 2009-1, Cl. A1, 2.98%, 10/15/153 |
1,245,065 | 1,254,920 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/153 |
2,035,000 | 2,045,373 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts.,
Series 2011-2A, Cl. C, 3.05%, 7/15/133 |
495,000 | 497,277 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts.,
Series 2011-1, Cl. A2, 1.47%, 3/16/15 |
1,423,747 | 1,423,975 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2,
Asset-Backed Nts., Series 2009-2, Cl. A, 1.757%, 9/15/145 |
1,700,000 | 1,720,237 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1,
Asset-Backed Nts., Series 2010-1, Cl. A, 1.857%, 12/15/143,5 |
1,770,000 | 1,797,922 | ||||||
Ford Credit Floorplan Master Owner Trust 2011-1,
Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 |
1,775,000 | 1,810,637 | ||||||
GE Capital Credit Card Master Note Trust,
Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 |
870,000 | 892,807 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed
Securities, Series 2009-2A, Cl. A, 1.757%, 10/20/143,5 |
$ | 1,705,000 | $ | 1,725,183 | ||||
GMAC Mortgage Servicer Advance Funding Ltd.,
Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/233 |
1,620,000 | 1,636,941 | ||||||
GMACM Home Equity Loan Trust 2007-HE2, Home Equity
Loan-Backed Term Nts., Series 2007-HE2, Cl. A2, 6.054%, 12/1/37 |
33,676 | 22,614 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts.,
Series 2010-1A, Cl. A1, 2.60%, 2/25/153 |
2,700,000 | 2,773,659 | ||||||
Home Equity Mortgage Trust 2005-HF1, Home Equity Loan-Backed Nts.: |
||||||||
Series 2005-HF1, Cl. A2B, 0.568%, 2/25/365 |
1,307,467 | 893,555 | ||||||
Series 2005-HF1, Cl. A3B, 0.568%, 2/25/365 |
984,773 | 673,018 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End
Home Equity Loan Asset-Backed Certificates,
Series 2005-3, Cl. A1, 0.473%, 1/20/355 |
532,588 | 471,425 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables,
Series 2003-C7, Cl. C7, 1.557%, 3/15/165 |
1,800,000 | 1,814,627 | ||||||
Navistar Financial Dealer Note Master Owner Trust,
Asset-Backed Nts., Series 2010-1, Cl. A, 1.868%, 1/26/153,5 |
2,850,000 | 2,862,828 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile
Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 |
1,540,000 | 1,547,208 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts.,
Series 2010-AA, Cl. A, 1.357%, 1/15/153,5 |
1,720,000 | 1,740,879 | ||||||
NuCO2 Funding LLC, Asset-Backed Nts.,
Series 2008-1A, Cl. A1, 7.25%, 6/25/382 |
25,000,000 | 26,375,000 | ||||||
Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW2, Cl. M4, 0.868%, 7/25/355 |
4,000,000 | 641,426 | ||||||
Rental Car Finance Corp., Automobile Receivable Nts.,
Series 2011-1A, Cl. A1, 2.51%, 2/25/163 |
1,290,000 | 1,298,264 | ||||||
Santander Drive Auto Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 |
979,034 | 979,584 | ||||||
Santander Drive Auto Receivables Trust 2010-3,
Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 |
1,670,000 | 1,677,154 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile
Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/133 |
1,310,529 | 1,313,326 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 |
1,715,000 | 1,726,576 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/172 |
1,872,146 | 1,864,470 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile
Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/173 |
1,223,317 | 1,219,647 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile
Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 |
1,530,000 | 1,533,683 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
Westlake Automobile Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/143 |
$ | 760,000 | $ | 761,043 | ||||
World Financial Network Credit Card Master Note Trust,
Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 |
1,130,000 | 1,138,538 | ||||||
Total Asset-Backed Securities (Cost $150,442,477) |
149,922,232 | |||||||
U.S. Government Obligations1.4% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
2%, 8/25/16 |
560,000 | 581,092 | ||||||
2.50%, 5/27/16 |
795,000 | 846,232 | ||||||
5%, 2/16/17 |
910,000 | 1,078,819 | ||||||
5.25%, 4/18/16 |
1,600,000 | 1,901,077 | ||||||
5.50%, 7/18/16 |
910,000 | 1,096,240 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
0.50%, 8/9/13 |
12,500,000 | 12,537,263 | ||||||
2.375%, 4/11/16 |
1,540,000 | 1,627,093 | ||||||
4.875%, 12/15/16 |
1,315,000 | 1,545,783 | ||||||
5%, 3/15/16 |
1,010,000 | 1,185,958 | ||||||
Total U.S. Government Obligations (Cost $21,817,584) |
22,399,557 | |||||||
Non-Convertible Corporate Bonds and Notes14.7% |
||||||||
Consumer Discretionary1.8% |
||||||||
Diversified Consumer Services0.1% |
||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 |
1,630,000 | 1,719,650 | ||||||
Hotels, Restaurants & Leisure0.3% |
||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/153 |
2,450,000 | 2,633,324 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 |
1,810,000 | 2,036,538 | ||||||
4,669,862 | ||||||||
Household Durables0.3% |
||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 |
405,000 | 452,281 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 |
1,574,000 | 1,670,850 | ||||||
Whirlpool Corp.: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 |
601,000 | 635,053 | ||||||
8% Sr. Unsec. Nts., 5/1/12 |
1,290,000 | 1,347,201 | ||||||
4,105,385 | ||||||||
Leisure Equipment & Products0.1% |
||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 |
1,475,000 | 1,571,523 | ||||||
Media0.8% |
||||||||
Comcast Cable Communications Holdings, Inc.,
9.455% Sr. Unsec. Nts., 11/15/22 |
995,000 | 1,460,118 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
6.375% Sr. Unsec. Nts., 3/1/41 |
1,289,000 | 1,428,367 |
Principal | ||||||||
Amount | Value | |||||||
Media Continued |
||||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 |
$ | 547,000 | $ | 603,814 | ||||
Interpublic Group of Cos., Inc. (The): |
||||||||
6.25% Sr. Unsec. Nts., 11/15/14 |
586,000 | 635,810 | ||||||
10% Sr. Unsec. Nts., 7/15/17 |
1,883,000 | 2,174,865 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 |
1,540,000 | 1,724,800 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 |
876,000 | 1,127,401 | ||||||
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 |
928,000 | 1,157,125 | ||||||
Virgin Media Secured Finance plc: |
||||||||
5.25% Sr. Sec. Nts., 1/15/213 |
895,000 | 973,483 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 |
1,981,000 | 2,119,670 | ||||||
13,405,453 | ||||||||
Multiline Retail0.1% |
||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 |
914,000 | 906,455 | ||||||
Specialty Retail0.1% |
||||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
1,688,000 | 1,628,920 | ||||||
Consumer Staples0.8% |
||||||||
Food & Staples Retailing0.1% |
||||||||
Wal-Mart Stores, Inc., 5.625% Sr. Unsec. Nts., 4/15/41 |
1,003,000 | 1,141,687 | ||||||
Food Products0.3% |
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 |
463,000 | 492,496 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
900,000 | 1,148,781 | ||||||
Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 |
1,495,000 | 1,595,844 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 |
1,590,000 | 1,667,513 | ||||||
4,904,634 | ||||||||
Household Products0.1% |
||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/213 |
1,692,000 | 1,784,845 | ||||||
Tobacco0.3% |
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
1,240,000 | 1,804,307 | ||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 |
1,083,000 | 1,086,966 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 |
1,490,000 | 1,638,182 | ||||||
4,529,455 | ||||||||
Energy1.7% |
||||||||
Energy Equipment & Services0.5% |
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 |
1,397,000 | 1,461,297 | ||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 |
2,079,000 | 2,335,457 |
Principal | ||||||||
Amount | Value | |||||||
Energy Equipment & Services Continued |
||||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 |
$ | 1,765,000 | $ | 1,870,556 | ||||
Weatherford International Ltd. Bermuda,
5.125% Sr. Unsec. Unsub. Nts., 9/15/20 |
1,746,000 | 1,831,338 | ||||||
7,498,648 | ||||||||
Oil, Gas & Consumable Fuels1.2% |
||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 |
1,019,000 | 1,050,905 | ||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/133 |
1,490,000 | 1,597,755 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 |
1,530,000 | 1,583,550 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 |
2,344,000 | 2,670,590 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 |
2,761,000 | 2,947,183 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 |
1,713,000 | 1,763,256 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 |
1,493,000 | 1,631,103 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/143 |
945,000 | 1,046,588 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/153 |
2,760,000 | 2,840,374 | ||||||
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 |
1,549,000 | 1,588,388 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 |
130,000 | 138,125 | ||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/213 |
1,162,000 | 1,230,739 | ||||||
20,088,556 | ||||||||
Financials6.4% |
||||||||
Capital Markets1.4% |
||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/193 |
2,840,000 | 3,156,825 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 |
1,639,000 | 1,516,552 | ||||||
Goldman Sachs Group, Inc. (The), 5.25% Sr. Unsec. Nts., 7/27/21 |
520,000 | 527,546 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/213 |
2,202,000 | 2,165,755 | ||||||
Mellon Capital IV, 6.244% Perpetual Bonds10 |
6,000,000 | 5,415,000 | ||||||
Morgan Stanley: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/203 |
709,000 | 693,817 | ||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 |
4,020,000 | 4,109,220 | ||||||
6.25% Sr. Unsec. Nts., 8/28/17 |
1,000,000 | 1,059,075 | ||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 |
1,568,000 | 1,607,910 | ||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 |
1,620,000 | 1,651,920 | ||||||
UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 |
667,000 | 674,097 | ||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.10 |
365,000 | 332,150 | ||||||
22,909,867 | ||||||||
Commercial Banks1.4% |
||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/123 |
1,820,000 | 1,841,026 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 |
3,032,000 | 2,827,340 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued |
||||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/355 |
$ | 3,660,000 | $ | 3,261,975 | ||||
Huntington Bancshares, Inc., 7% Sub. Nts., 12/15/20 |
1,064,000 | 1,219,350 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/203 |
1,848,000 | 1,732,840 | ||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 |
1,067,000 | 1,114,183 | ||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 |
1,634,000 | 1,708,860 | ||||||
Wachovia Capital Trust III, 5.57% Perpetual Bonds5,10 |
6,000,000 | 5,272,500 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 |
1,204,000 | 1,243,130 | ||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 |
2,149,000 | 2,289,128 | ||||||
22,510,332 | ||||||||
Consumer Finance0.3% |
||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 |
1,577,000 | 1,674,460 | ||||||
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 |
822,000 | 827,692 | ||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16 |
2,208,000 | 2,258,583 | ||||||
4,760,735 | ||||||||
Diversified Financial Services1.0% |
||||||||
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 |
2,944,000 | 3,226,921 | ||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/673,5 |
1,910,000 | 1,518,450 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds10 |
1,835,000 | 1,550,575 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 |
7,338,000 | 7,809,518 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 |
1,159,000 | 1,156,206 | ||||||
15,261,670 | ||||||||
Insurance1.8% |
||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 |
437,000 | 479,506 | ||||||
CNA Financial Corp.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 |
1,361,000 | 1,419,455 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 |
851,000 | 888,475 | ||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/123 |
1,538,000 | 1,585,043 | ||||||
Hartford Financial Services Group, Inc. (The), |
||||||||
5.25% Sr. Unsec. Nts., 10/15/11 |
1,510,000 | 1,516,022 | ||||||
International Lease Finance Corp., |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 5/15/16 |
1,594,000 | 1,469,756 | ||||||
Irish Life & Permanent Group Holdings plc, |
||||||||
3.60% Sr.
Unsec. Unsub. Nts., 1/14/133 |
1,130,000 | 930,650 | ||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/213 |
2,406,000 | 2,349,457 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 |
3,280,000 | 2,927,400 | ||||||
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 |
5,000,000 | 6,867,625 | ||||||
Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 |
1,792,000 | 1,834,881 |
Principal | ||||||||
Amount | Value | |||||||
Insurance Continued |
||||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds3,10 |
$ | 3,212,000 | $ | 2,985,650 | ||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 |
1,689,000 | 1,740,589 | ||||||
ZFS Finance
USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/372,5 |
1,640,000 | 1,574,400 | ||||||
28,568,909 | ||||||||
Real Estate Investment Trusts0.5% |
||||||||
AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 |
715,000 | 715,996 | ||||||
Brandywine
Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 |
859,000 | 875,221 | ||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 |
382,000 | 390,341 | ||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 |
1,529,000 | 1,617,364 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 |
652,000 | 660,542 | ||||||
Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 |
1,600,000 | 1,617,424 | ||||||
WCI Finance
LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/123 |
1,599,000 | 1,660,061 | ||||||
7,536,949 | ||||||||
Health Care0.3% |
||||||||
Biotechnology0.1% |
||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 |
1,053,000 | 1,111,833 | ||||||
Health Care Providers & Services0.1% |
||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 |
854,000 | 990,829 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 |
1,044,000 | 1,085,834 | ||||||
2,076,663 | ||||||||
Pharmaceuticals0.1% |
||||||||
Mylan, Inc.,
6% Sr. Nts., 11/15/183 |
1,730,000 | 1,730,000 | ||||||
Industrials0.6% |
||||||||
Aerospace & Defense0.2% |
||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 |
1,630,000 | 1,650,375 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 |
1,458,000 | 1,570,995 | ||||||
3,221,370 | ||||||||
Commercial Services & Supplies0.1% |
||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 |
1,661,000 | 1,773,118 | ||||||
Industrial Conglomerates0.3% |
||||||||
General Electric Capital Corp.: |
||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 |
1,490,000 | 1,522,437 | ||||||
5.25% Sr. Unsec. Nts., 10/19/12 |
260,000 | 272,303 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 |
3,004,000 | 2,981,470 | ||||||
4,776,210 |
Principal | ||||||||
Amount | Value | |||||||
Road & Rail0.0% |
||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 |
$ | 452,000 | $ | 470,946 | ||||
Information Technology0.7% |
||||||||
Communications Equipment0.2% |
||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 |
510,000 | 560,287 | ||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 |
655,000 | 681,124 | ||||||
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 |
1,555,000 | 1,571,668 | ||||||
2,813,079 | ||||||||
Electronic Equipment & Instruments0.2% |
||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 |
3,045,000 | 3,150,506 | ||||||
Office Electronics0.1% |
||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 |
1,571,000 | 1,681,432 | ||||||
Semiconductors & Semiconductor Equipment0.1% |
||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 |
1,108,000 | 1,289,700 | ||||||
Software0.1% |
||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 |
1,864,000 | 1,890,437 | ||||||
Materials0.9% |
||||||||
Chemicals0.4% |
||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 |
717,000 | 817,414 | ||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 |
2,786,000 | 2,874,963 | ||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 |
1,495,000 | 1,681,875 | ||||||
Potash Corp.
of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 |
989,000 | 1,093,128 | ||||||
6,467,380 | ||||||||
Containers & Packaging0.1% |
||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 |
1,279,000 | 1,346,350 | ||||||
Metals & Mining0.4% |
||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 |
2,365,000 | 2,554,089 | ||||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 |
1,526,000 | 1,617,963 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 |
97,000 | 107,874 | ||||||
Xstrata Canada Corp.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 |
1,190,000 | 1,291,718 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 |
1,267,000 | 1,402,973 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 |
95,000 | 99,693 | ||||||
7,074,310 | ||||||||
Telecommunication Services0.7% |
||||||||
Diversified Telecommunication Services0.5% |
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 |
1,255,000 | 1,405,084 | ||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30 |
1,010,000 | 1,474,537 | ||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 |
577,000 | 532,130 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 |
1,630,000 | 1,703,350 |
Principal | ||||||||
Amount | Value | |||||||
Diversified Telecommunication Services Continued |
||||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 |
$ | 1,589,000 | $ | 1,775,708 | ||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts.,
2/15/38 |
982,000 | 1,136,202 | ||||||
8,027,011 | ||||||||
Wireless Telecommunication Services0.2% |
||||||||
America
Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/169 |
1,550,000 | 1,537,414 | ||||||
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 |
1,156,000 | 1,346,250 | ||||||
2,883,664 | ||||||||
Utilities0.8% |
||||||||
Electric Utilities0.7% |
||||||||
Allegheny
Energy Supply Co. LLC, 8.25% Bonds, 4/15/123 |
1,474,000 | 1,538,829 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 |
993,000 | 1,041,666 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts.,
8/15/13 |
1,659,000 | 1,697,628 | ||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 |
1,620,000 | 1,675,172 | ||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22 |
1,453,000 | 1,858,217 | ||||||
PPL WEM
Holdings plc, 5.375% Sr. Unsec. Nts, 5/1/213 |
2,320,000 | 2,456,667 | ||||||
Texas-New
Mexico Power Co., 9.50% Sec. Nts., 4/1/193 |
1,710,000 | 2,290,935 | ||||||
12,559,114 | ||||||||
Energy Traders0.1% |
||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 |
765,000 | 834,584 | ||||||
Total Non-Convertible Corporate Bonds and Notes (Cost
$225,763,478) |
234,681,242 | |||||||
Convertible Corporate Bonds and Notes6.2% |
||||||||
Advanced Micro Devices, Inc.: |
||||||||
5.75% Cv. Sr. Unsec. Nts., 8/15/12 |
5,203,000 | 5,300,556 | ||||||
6% Cv. Sr. Unsec. Nts., 5/1/15 |
7,007,000 | 7,085,829 | ||||||
Amylin Pharmaceuticals, Inc., 3% Cv. Sr. Unsec. Nts.,
6/15/14 |
13,000,000 | 11,846,250 | ||||||
Carrizo Oil & Gas, Inc., 4.375% Cv. Sr. Unsec. Nts., 6/1/28 |
2,412,000 | 2,405,970 | ||||||
Chiquita Brands International, Inc., 4.25% Cv. Sr. Unsec.
Unsub. Nts., 8/15/16 |
13,600,000 | 12,563,000 | ||||||
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/295 |
4,925,000 | 5,232,813 | ||||||
Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/375 |
12,000,000 | 11,430,000 | ||||||
LifePoint Hospitals, Inc.: |
||||||||
3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 |
4,000,000 | 4,115,000 | ||||||
3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 |
5,000,000 | 5,081,250 | ||||||
NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 |
17,750,000 | 18,016,250 | ||||||
Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 |
15,000,000 | 15,037,500 | ||||||
Standard Chartered plc, 6.409% Cv. Jr. Unsec. Sub. Bonds,
1/29/493 |
800,000 | 730,841 | ||||||
Total Convertible Corporate Bonds and Notes (Cost
$91,459,438) |
98,845,259 |
Shares | Value | |||||||
Structured Securities0.6% |
||||||||
Barclays
Bank plc, Apple, Inc., Yield Enhanced Equity Linked Debt Securities |
12,582 | $ | 4,809,847 | |||||
Goldman Sachs Group, Inc. (The), Celanese Corp. Yield |
||||||||
Enhanced Equity Linked Debt Securities, Series A3 |
87,035 | 4,187,254 | ||||||
Total Structured Securities (Cost $10,000,248) |
8,997,101 |
Principal | ||||||||
Amount | ||||||||
Event-Linked Bonds0.6% |
||||||||
Calypso Capital Ltd. Catastrophe Linked Nts., Series
2010-1, Cl. A, 5.028%, 1/10/143,5 |
2,041,000 | EUR | 2,943,609 | |||||
Foundation Re III Ltd. Catastrophe Linked Nts.,
Series 1-A, 5.765%, 2/3/143,5 |
2,100,000 | 2,084,880 | ||||||
Longpoint Re
Ltd. Catastrophe Linked Nts., 5.40%, 12/24/123,5 |
1,606,000 | 1,603,752 | ||||||
Midori Ltd. Catastrophe Linked Nts., 2.999%, 10/24/123,5 |
3,000,000 | 2,958,000 | ||||||
Total Event-Linked Bonds (Cost $9,507,588) |
9,590,241 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased0.1% |
||||||||||||||||
Standard
& Poors Depositary Receipts Trust/Standard & Poors 500 Exchange |
||||||||||||||||
Traded Funds, Series 1 Put1 |
11/21/11 | $ | 108 | 2,000 | 500,000 | |||||||||||
U.S. Treasury Nts. Futures, 10 yr.,
12/20/11 Call1 |
11/25/11 | 127 | 140 | 424,375 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr.,
12/20/11 Call1 |
11/25/11 | 128 | 228 | 537,938 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr.,
12/20/11 Call1 |
11/25/11 | 131 | 100 | 92,188 | ||||||||||||
Total
Options Purchased (Cost $1,633,669) |
1,554,501 |
Exercise | Notional | |||||||||||
Date | Amount | |||||||||||
Swaptions Purchased0.1% |
||||||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swap call option; Swap Terms: Receive
Three-Month BBA LIBOR and pay 5.28%;
terminating 10/19/251 |
10/15/15 | $ | 20,000,000 | 466,779 | ||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swap call option; Swap Terms: Receive
Three-Month BBA LIBOR and pay 5.445%;
terminating 11/9/251 |
11/5/15 | 20,000,000 | 383,207 | |||||||||
Total Swaptions Purchased (Cost $1,040,000) |
849,986 |
Principal | ||||||||
Amount | Value | |||||||
Short-Term Notes0.8% |
||||||||
Coca-Cola Co.: |
||||||||
0.11%, 9/21/11 |
$ | 631,000 | $ | 630,961 | ||||
0.12%, 10/18/11 |
717,000 | 716,888 | ||||||
0.13%, 10/11/11 |
1,792,000 | 1,791,741 | ||||||
General Electric Capital Corp., 0.13%, 10/12/11 |
3,140,000 | 3,139,535 | ||||||
Reckitt
Benckiser Treasury Services plc, 0.17%, 11/10/1111 |
3,140,000 | 3,138,173 | ||||||
Toyota Motor Credit Corp., 0.16%, 10/11/11 |
3,140,000 | 3,139,442 | ||||||
Total Short-Term Notes (Cost $12,557,529) |
12,556,740 |
Shares | ||||||||
Investment Companies23.5% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E,
0.14%12,13 |
286,727,498 | 286,727,498 | ||||||
Oppenheimer Master Loan
Fund, LLC12 |
6,879,066 | 79,396,791 | ||||||
Oppenheimer Short Duration Fund, Cl. Y12 |
1,000,000 | 10,000,000 | ||||||
Total Investment
Companies (Cost
$380,193,421) |
376,124,289 | |||||||
Total Investments, at
Value (Cost
$1,716,456,177) |
111.8 | % | 1,785,424,827 | |||||
Liabilities in Excess of
Other Assets |
(11.8 | ) | (188,347,180 | ) | ||||
Net Assets |
100.0 | % | $ | 1,597,077,647 | ||||
1. | Non-income producing security. | |
2. | Restricted security. The aggregate value of restricted securities as of August 31, 2011 was $85,172,167, which represents 5.33% of the Funds net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Airspeed
Ltd., Airplane Receivables, Series 2007-1A, Cl. G1, 0.477%, 6/15/32 |
7/28/10-10/21/10 | $ | 29,289,782 | $ | 29,600,600 | $ | 310,818 | |||||||||
Airspeed
Ltd., Airplane Receivables, Series 2007-1A, Cl. G2, 0.487%, 6/15/32 |
4/8/11 | 10,524,988 | 10,175,922 | (349,066 | ) | |||||||||||
Blade Engine
Securitization Ltd., Asset-Backed Certificates, Series
2006-1A, Cl. B, 3.207%, 9/15/41 |
11/10/09 | 6,579,910 | 7,894,275 | 1,314,365 | ||||||||||||
Bond Street Holdings LLC, Cl. A |
11/4/09 | 7,500,000 | 7,687,500 | 187,500 | ||||||||||||
NuCO2
Funding LLC, Asset-Backed Nts., Series 2008-1A, Cl. A1, 7.25%, 6/25/38 |
1/25/11 | 26,860,401 | 26,375,000 | (485,401 | ) | |||||||||||
Santander
Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., |
||||||||||||||||
Series 2011-S1A, Cl. D, 3.10%, 5/15/17 |
2/4/11-4/14/11 | 1,874,827 | 1,864,470 | (10,357 | ) | |||||||||||
ZFS Finance
USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 |
2/24/11 | 1,655,290 | 1,574,400 | (80,890 | ) | |||||||||||
$ | 84,285,198 | $ | 85,172,167 | $ | 886,969 | |||||||||||
Shares | Gross | Gross | Shares | |||||||||||||
August 31, 2010 | Additions | Reductions | August 31, 2011 | |||||||||||||
Oppenheimer
Institutional Money Market Fund, Cl. E |
323,019,783 | 753,735,955 | 790,028,240 | 286,727,498 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
| 6,879,066 | | 6,879,066 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y |
| 1,000,000 | | 1,000,000 |
Value | Income | Realized Loss | ||||||||||
Oppenheimer
Institutional Money Market Fund, Cl. E |
$ | 286,727,498 | $ | 521,554 | $ | | ||||||
Oppenheimer Master Loan Fund, LLC |
79,396,791 | 4,238,886 | a | 598,229 | a | |||||||
Oppenheimer Short Duration Fund, Cl. Y |
10,000,000 | 192 | | |||||||||
$ | 376,124,289 | $ | 4,760,632 | $ | 598,229 | |||||||
1) | Level 1unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability). |
Level 3- | ||||||||||||||||
Level 1- | Level 2- | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 46,119,690 | $ | | $ | | $ | 46,119,690 | ||||||||
Consumer Staples |
50,309,840 | | | 50,309,840 | ||||||||||||
Energy |
58,697,699 | | | 58,697,699 | ||||||||||||
Financials |
58,911,026 | 7,687,500 | | 66,598,526 | ||||||||||||
Health Care |
52,185,553 | | | 52,185,553 | ||||||||||||
Industrials |
20,328,235 | | | 20,328,235 | ||||||||||||
Information Technology |
70,634,680 | | | 70,634,680 | ||||||||||||
Materials |
35,579,055 | | | 35,579,055 | ||||||||||||
Telecommunication Services |
6,621,600 | | | 6,621,600 | ||||||||||||
Utilities |
21,690,995 | | | 21,690,995 | ||||||||||||
Preferred Stocks |
7,286,790 | 43,565,337 | | 50,852,127 | ||||||||||||
Rights, Warrants and Certificates |
528,248 | | | 528,248 | ||||||||||||
Mortgage-Backed Obligations |
| 389,757,431 | | 389,757,431 | ||||||||||||
Asset-Backed Securities |
| 149,922,232 | | 149,922,232 | ||||||||||||
U.S. Government Obligations |
| 22,399,557 | | 22,399,557 | ||||||||||||
Non-Convertible Corporate Bonds and Notes |
| 234,681,242 | | 234,681,242 | ||||||||||||
Convertible Corporate Bonds and Notes |
| 98,845,259 | | 98,845,259 | ||||||||||||
Structured Securities |
| 8,997,101 | | 8,997,101 | ||||||||||||
Event-Linked Bonds |
| 9,590,241 | | 9,590,241 | ||||||||||||
Options Purchased |
1,554,501 | | | 1,554,501 | ||||||||||||
Swaptions Purchased |
| 849,986 | | 849,986 | ||||||||||||
Short-Term Notes |
| 12,556,740 | | 12,556,740 | ||||||||||||
Investment Companies |
296,727,498 | 79,396,791 | | 376,124,289 | ||||||||||||
Total Investments, at Value |
727,175,410 | 1,058,249,417 | | 1,785,424,827 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts |
| 18,047 | | 18,047 | ||||||||||||
Futures margins |
37,987 | | | 37,987 | ||||||||||||
Appreciated swaps, at value |
| 7,537,146 | | 7,537,146 | ||||||||||||
Total Assets |
$ | 727,213,397 | $ | 1,065,804,610 | $ | | $ | 1,793,018,007 | ||||||||
Level 3- | ||||||||||||||||
Level 1- | Level 2- | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
| | | | | ||||||||||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
$ | (1,211,287 | ) | $ | | $ | | $ | (1,211,287 | ) | ||||||
Total Liabilities |
$ | (1,211,287 | ) | $ | | $ | | $ | (1,211,287 | ) | ||||||
Transfers into | Transfers out of | |||||||
Level 1* | Level 2* | |||||||
Assets Table |
||||||||
Investments, at Value: |
||||||||
Common Stocks |
||||||||
Energy |
$ | 2,408,752 | $ | (2,408,752 | ) | |||
Total Assets |
$ | 2,408,752 | $ | (2,408,752 | ) | |||
* | Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. As of the prior reporting period end, these securities were absent of a readily available unadjusted quoted market price due to a significant event occurring before the Funds assets were valued but after the close of the securities respective exchanges. |
Contract | ||||||||||||||||||||
Counterparty/Contract | Amount | Expiration | Unrealized | |||||||||||||||||
Description | Buy/Sell | (000s) | Date | Value | Appreciation | |||||||||||||||
RBS Greenwich Capital |
||||||||||||||||||||
Euro (EUR) |
Sell | 2,555 EUR | 11/17/11 | $ | 3,666,826 | $ | 18,047 |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long
Bonds, 20 yr. |
Buy | 620 | 12/20/11 | $ | 84,339,375 | $ | (286,454 | ) | ||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 305 | 12/30/11 | 67,252,500 | (2,904 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 287 | 12/30/11 | 35,170,953 | (42,167 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 478 | 12/20/11 | 61,676,938 | 4,579 | |||||||||||||||
U.S. Ultra Treasury Bonds |
Buy | 106 | 12/20/11 | 15,174,563 | (45,564 | ) | ||||||||||||||
$ | (372,510 | ) | ||||||||||||||||||
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value (Depreciation) | ||||||||||||||||||||||
BNP Paribas SA |
||||||||||||||||||||||||||||
Goldman Sachs |
||||||||||||||||||||||||||||
International |
Buy | 7,000 | EUR | 3.00 | % | 9/20/16 | $ | (199,968 | ) | $ | 560,058 | $ | 360,090 | |||||||||||||||
Total | 7,000 | (199,968 | ) | 560,058 | 360,090 | |||||||||||||||||||||||
ITRAXX Europe |
||||||||||||||||||||||||||||
Sub Financials |
||||||||||||||||||||||||||||
Series 14 |
||||||||||||||||||||||||||||
Version 1 |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 34,000 | EUR | 1.00 | 12/20/15 | (3,390,182 | ) | 5,915,738 | 2,525,556 | |||||||||||||||||||
Total | 34,000 | (3,390,182 | ) | 5,915,738 | 2,525,556 | |||||||||||||||||||||||
Republic of Germany |
||||||||||||||||||||||||||||
Goldman Sachs |
||||||||||||||||||||||||||||
International |
Buy | 50,000 | 0.25 | 9/20/15 | (596,126 | ) | 1,061,350 | 465,224 | ||||||||||||||||||||
Total | 50,000 | (596,126 | ) | 1,061,350 | 465,224 | |||||||||||||||||||||||
Grand Total Buys | (4,186,276 | ) | 7,537,146 | 3,350,870 | ||||||||||||||||||||||||
Grand Total Sells | | | | |||||||||||||||||||||||||
Total Credit Default Swaps | $ | (4,186,276 | ) | $ | 7,537,146 | $ | 3,350,870 | |||||||||||||||||||||
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||
Barclays Bank plc |
Credit Default Buy Protection |
34,000 EUR | $ | 5,915,738 | ||||||
Goldman Sachs International: |
||||||||||
Credit Default Buy Protection | 7,000 EUR | 560,058 | ||||||||
Credit Default Buy Protection | 50,000 | 1,061,350 | ||||||||
1,621,408 | ||||||||||
Total Swaps | $ | 7,537,146 | ||||||||
Assets |
||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $1,336,262,756) |
$ | 1,409,300,538 | ||
Affiliated companies (cost $380,193,421) |
376,124,289 | |||
1,785,424,827 | ||||
Cash |
128,588 | |||
Cash used for collateral on futures |
1,390,437 | |||
Unrealized appreciation on foreign currency exchange contracts |
18,047 | |||
Appreciated swaps, at value (upfront payments paid $4,186,276) |
7,537,146 | |||
Receivables and other assets: |
||||
Investments
sold (including $77,410,661 sold on a when-issued or delayed delivery basis) |
80,464,160 | |||
Interest, dividends and principal paydowns |
8,150,979 | |||
Shares of beneficial interest sold |
771,385 | |||
Futures margins |
37,987 | |||
Other |
107,032 | |||
Total assets |
1,884,030,588 | |||
Liabilities |
||||
Payables and other liabilities: |
||||
Investments
purchased (including $278,896,153 purchased on a when-issued or delayed delivery basis) |
283,006,866 | |||
Shares of beneficial interest redeemed |
1,731,010 | |||
Futures margins |
1,211,287 | |||
Distribution and service plan fees |
374,044 | |||
Transfer and shareholder servicing agent fees |
258,914 | |||
Shareholder communications |
197,784 | |||
Trustees compensation |
124,025 | |||
Other |
49,011 | |||
Total liabilities |
286,952,941 | |||
Net Assets |
$ | 1,597,077,647 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 184,116 | ||
Additional paid-in capital |
2,056,298,273 | |||
Accumulated net investment income |
24,440,901 | |||
Accumulated net realized loss on investments and foreign currency transactions |
(555,833,870 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities
denominated in foreign currencies |
71,988,227 | |||
Net Assets |
$ | 1,597,077,647 | ||
Net Asset Value Per Share |
||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of $1,423,082,021
and 163,661,576 shares of beneficial interest outstanding) |
$ | 8.70 | ||
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering
price) |
$ | 9.23 | ||
Class B Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $50,220,640 and 5,898,711 shares of
beneficial interest outstanding) |
$ | 8.51 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $98,565,721 and 11,630,318 shares of
beneficial interest outstanding) |
$ | 8.47 | ||
Class N Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $20,318,973 and 2,363,347 shares of
beneficial interest outstanding) |
$ | 8.60 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on net
assets of $4,890,292 and 562,208 shares of beneficial interest outstanding) |
$ | 8.70 |
Allocation of Income and Expenses from Master Fund1 |
||||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: |
||||
Interest |
$ | 4,196,057 | ||
Dividends |
42,829 | |||
Expenses2 |
(174,734 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC |
4,064,152 | |||
Investment Income |
||||
Interest (net of foreign withholding taxes of $7,040) |
49,195,730 | |||
Dividends: |
||||
Unaffiliated companies (net of foreign withholding taxes of $29,884) |
15,039,869 | |||
Affiliated companies |
521,746 | |||
Fee income on when-issued securities |
6,503,151 | |||
Other income |
56,112 | |||
Total investment income |
71,316,608 | |||
Expenses |
||||
Management fees |
9,115,499 | |||
Distribution and service plan fees: |
||||
Class A |
3,429,301 | |||
Class B |
602,632 | |||
Class C |
1,019,134 | |||
Class N |
106,205 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
2,544,896 | |||
Class B |
286,911 | |||
Class C |
276,130 | |||
Class N |
63,736 | |||
Class Y |
106 | |||
Shareholder communications: |
||||
Class A |
296,451 | |||
Class B |
42,313 | |||
Class C |
26,973 | |||
Class N |
4,611 | |||
Class Y |
124 | |||
Trustees compensation |
73,605 | |||
Custodian fees and expenses |
11,936 | |||
Administration service fees |
1,500 | |||
Other |
207,157 | |||
Total expenses |
18,109,220 | |||
Less waivers and reimbursements of expenses |
(497,085 | ) | ||
Net expenses |
17,612,135 | |||
Net Investment Income |
57,768,625 |
Realized and Unrealized Gain (Loss) |
||||
Net realized gain (loss) on: |
||||
Investments from unaffiliated companies |
$ | 128,114,432 | ||
Closing and expiration of futures contracts |
4,532,830 | |||
Foreign currency transactions |
(9,026 | ) | ||
Swap contracts |
(2,228,214 | ) | ||
Increase from payment by affiliate |
2,437 | |||
Net realized loss allocated from |
||||
Oppenheimer Master Loan Fund, LLC |
(598,229 | ) | ||
Total net realized gain |
129,814,230 | |||
Net change in unrealized appreciation/depreciation on: |
||||
Investments |
(12,033,797 | ) | ||
Translation of assets and liabilities denominated in foreign currencies |
929,185 | |||
Futures contracts |
(1,148,573 | ) | ||
Swap contracts |
3,818,507 | |||
Net change in unrealized appreciation/deprecation allocated from
Oppenheimer Master Loan Fund, LLC |
(4,069,132 | ) | ||
Total net change in unrealized appreciation/depreciation |
(12,503,810 | ) | ||
Net Increase in Net Assets Resulting from Operations |
$ | 175,079,045 | ||
1. | The Fund invests in an affiliated mutual fund that expects to be treated as a partnership for tax purposes. See Note 1 of the accompanying Notes. | |
2. | Net of expense waivers and/or reimbursements of $1,902. |
Year Ended August 31, | 2011 | 2010 | ||||||
Operations |
||||||||
Net investment income |
$ | 57,768,625 | $ | 62,795,001 | ||||
Net realized gain |
129,814,230 | 89,031,283 | ||||||
Net change in unrealized appreciation/depreciation |
(12,503,810 | ) | 29,607,417 | |||||
Net increase in net assets resulting from operations |
175,079,045 | 181,433,701 | ||||||
Dividends and/or Distributions to Shareholders |
||||||||
Dividends from net investment income: |
||||||||
Class A |
(63,842,609 | ) | (28,175,758 | ) | ||||
Class B |
(2,127,317 | ) | (807,947 | ) | ||||
Class C |
(3,614,673 | ) | (1,265,780 | ) | ||||
Class N |
(891,702 | ) | (376,426 | ) | ||||
Class Y |
(40,121 | ) | | |||||
(70,516,422 | ) | (30,625,911 | ) | |||||
Beneficial Interest Transactions |
||||||||
Net increase (decrease) in net assets resulting from
beneficial interest transactions: |
||||||||
Class A |
(120,489,829 | ) | (203,089,496 | ) | ||||
Class B |
(19,067,370 | ) | (29,255,483 | ) | ||||
Class C |
(7,989,891 | ) | (22,007,806 | ) | ||||
Class N |
(3,659,477 | ) | (4,277,077 | ) | ||||
Class Y |
4,981,754 | | ||||||
(146,224,813 | ) | (258,629,862 | ) | |||||
Net Assets |
||||||||
Total decrease |
(41,662,190 | ) | (107,822,072 | ) | ||||
Beginning of period |
1,638,739,837 | 1,746,561,909 | ||||||
End of period (including accumulated net investment income
of $24,440,901 and $36,798,434, respectively) |
$ | 1,597,077,647 | $ | 1,638,739,837 | ||||
Class A Year Ended August 31, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.18 | $ | 7.50 | $ | 10.44 | $ | 13.10 | $ | 12.28 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.31 | .30 | .48 | .59 | .47 | |||||||||||||||
Net realized and unrealized gain (loss) |
.58 | .53 | (3.11 | ) | (1.74 | ) | .82 | |||||||||||||
Total from investment operations |
.89 | .83 | (2.63 | ) | (1.15 | ) | 1.29 | |||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.37 | ) | (.15 | ) | (.12 | ) | (.50 | ) | (.42 | ) | ||||||||||
Distributions from net realized gain |
| | (.19 | ) | (1.01 | ) | (.05 | ) | ||||||||||||
Total dividends and/or distributions
to shareholders |
(.37 | ) | (.15 | ) | (.31 | ) | (1.51 | ) | (.47 | ) | ||||||||||
Net asset value, end of period |
$ | 8.70 | $ | 8.18 | $ | 7.50 | $ | 10.44 | $ | 13.10 | ||||||||||
Total Return, at Net Asset Value2 |
11.06 | % | 11.13 | % | (25.18 | )% | (9.51 | )% | 10.50 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 1,423,082 | $ | 1,450,829 | $ | 1,521,396 | $ | 2,176,214 | $ | 2,754,566 | ||||||||||
Average net assets (in thousands) |
$ | 1,486,145 | $ | 1,512,770 | $ | 1,388,938 | $ | 2,458,736 | $ | 2,809,861 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
3.55 | % 4 | 3.75 | % | 6.64 | % | 5.11 | % | 3.54 | % | ||||||||||
Total expenses5 |
0.99 | % 4 | 1.02 | % | 1.02 | % | 0.91 | % | 0.88 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
0.96 | % 4 | 0.90 | % | 0.94 | % | 0.91 | % | 0.88 | % | ||||||||||
Portfolio turnover rate6 |
92 | % | 77 | % | 92 | % | 68 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2011 |
1.01 | % | ||
Year Ended August 31, 2010 |
1.04 | % | ||
Year Ended August 31, 2009 |
1.03 | % | ||
Year Ended August 31, 2008 |
0.91 | % | ||
Year Ended August 31, 2007 |
0.88 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2011 |
$ | 3,228,874,778 | $ | 3,180,407,334 | ||||
Year Ended August 31, 2010 |
$ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 |
$ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 |
$ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 |
$ | 1,266,252,411 | $ | 1,359,901,233 |
Class B Year Ended August 31, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.01 | $ | 7.36 | $ | 10.31 | $ | 12.94 | $ | 12.14 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.22 | .22 | .41 | .49 | .35 | |||||||||||||||
Net realized and unrealized gain (loss) |
.57 | .52 | (3.09 | ) | (1.71 | ) | .81 | |||||||||||||
Total from investment operations |
.79 | .74 | (2.68 | ) | (1.22 | ) | 1.16 | |||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.29 | ) | (.09 | ) | (.08 | ) | (.40 | ) | (.31 | ) | ||||||||||
Distributions from net realized gain |
| | (.19 | ) | (1.01 | ) | (.05 | ) | ||||||||||||
Total dividends and/or distributions
to shareholders |
(.29 | ) | (.09 | ) | (.27 | ) | (1.41 | ) | (.36 | ) | ||||||||||
Net asset value, end of period |
$ | 8.51 | $ | 8.01 | $ | 7.36 | $ | 10.31 | $ | 12.94 | ||||||||||
Total Return, at Net Asset Value2 |
9.94 | % | 10.05 | % | (25.94 | )% | (10.20 | )% | 9.54 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 50,221 | $ | 65,079 | $ | 87,518 | $ | 153,650 | $ | 240,849 | ||||||||||
Average net assets (in thousands) |
$ | 60,410 | $ | 75,369 | $ | 88,562 | $ | 193,912 | $ | 262,574 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
2.55 | %4 | 2.81 | % | 5.80 | % | 4.27 | % | 2.70 | % | ||||||||||
Total expenses5 |
2.12 | %4 | 2.14 | % | 2.03 | % | 1.75 | % | 1.71 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
1.97 | %4 | 1.85 | % | 1.85 | % | 1.75 | % | 1.71 | % | ||||||||||
Portfolio turnover rate6 |
92 | % | 77 | % | 92 | % | 68 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2011 |
2.14 | % | ||
Year Ended August 31, 2010 |
2.16 | % | ||
Year Ended August 31, 2009 |
2.04 | % | ||
Year Ended August 31, 2008 |
1.75 | % | ||
Year Ended August 31, 2007 |
1.71 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2011 |
$ | 3,228,874,778 | $ | 3,180,407,334 | ||||
Year Ended August 31, 2010 |
$ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 |
$ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 |
$ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 |
$ | 1,266,252,411 | $ | 1,359,901,233 |
Class C Year Ended August 31, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 7.98 | $ | 7.33 | $ | 10.26 | $ | 12.89 | $ | 12.10 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.23 | .23 | .41 | .49 | .36 | |||||||||||||||
Net realized and unrealized gain (loss) |
.56 | .52 | (3.07 | ) | (1.71 | ) | .79 | |||||||||||||
Total from investment operations |
.79 | .75 | (2.66 | ) | (1.22 | ) | 1.15 | |||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.30 | ) | (.10 | ) | (.08 | ) | (.40 | ) | (.31 | ) | ||||||||||
Distributions from net realized gain |
| | (.19 | ) | (1.01 | ) | (.05 | ) | ||||||||||||
Total dividends and/or distributions
to shareholders |
(.30 | ) | (.10 | ) | (.27 | ) | (1.41 | ) | (.36 | ) | ||||||||||
Net asset value, end of period |
$ | 8.47 | $ | 7.98 | $ | 7.33 | $ | 10.26 | $ | 12.89 | ||||||||||
Total Return, at Net Asset Value2 |
10.00 | % | 10.19 | % | (25.85 | )% | (10.22 | )% | 9.53 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 98,566 | $ | 100,299 | $ | 112,970 | $ | 130,753 | $ | 184,782 | ||||||||||
Average net assets (in thousands) |
$ | 102,156 | $ | 106,999 | $ | 82,632 | $ | 156,924 | $ | 182,640 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
2.67 | %4 | 2.88 | % | 5.77 | % | 4.29 | % | 2.74 | % | ||||||||||
Total expenses5 |
1.87 | %4 | 1.89 | % | 1.91 | % | 1.72 | % | 1.69 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
1.84 | %4 | 1.77 | % | 1.80 | % | 1.72 | % | 1.69 | % | ||||||||||
Portfolio turnover rate6 |
92 | % | 77 | % | 92 | % | 68 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2011 |
1.89 | % | ||
Year Ended August 31, 2010 |
1.91 | % | ||
Year Ended August 31, 2009 |
1.92 | % | ||
Year Ended August 31, 2008 |
1.72 | % | ||
Year Ended August 31, 2007 |
1.69 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2011 |
$ | 3,228,874,778 | $ | 3,180,407,334 | ||||
Year Ended August 31, 2010 |
$ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 |
$ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 |
$ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 |
$ | 1,266,252,411 | $ | 1,359,901,233 |
Class N Year Ended August 31, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.09 | $ | 7.42 | $ | 10.36 | $ | 13.00 | $ | 12.20 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.27 | .27 | .44 | .54 | .42 | |||||||||||||||
Net realized and unrealized gain (loss) |
.58 | .52 | (3.09 | ) | (1.71 | ) | .80 | |||||||||||||
Total from investment operations |
.85 | .79 | (2.65 | ) | (1.17 | ) | 1.22 | |||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.34 | ) | (.12 | ) | (.10 | ) | (.46 | ) | (.37 | ) | ||||||||||
Distributions from net realized gain |
| | (.19 | ) | (1.01 | ) | (.05 | ) | ||||||||||||
Total dividends and/or distributions
to shareholders |
(.34 | ) | (.12 | ) | (.29 | ) | (1.47 | ) | (.42 | ) | ||||||||||
Net asset value, end of period |
$ | 8.60 | $ | 8.09 | $ | 7.42 | $ | 10.36 | $ | 13.00 | ||||||||||
Total Return, at Net Asset Value2 |
10.65 | % | 10.74 | % | (25.54 | )% | (9.78 | )% | 10.01 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 20,319 | $ | 22,533 | $ | 24,678 | $ | 34,279 | $ | 44,568 | ||||||||||
Average net assets (in thousands) |
$ | 22,331 | $ | 24,365 | $ | 21,877 | $ | 39,025 | $ | 41,919 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
3.18 | %4 | 3.37 | % | 6.25 | % | 4.74 | % | 3.19 | % | ||||||||||
Total expenses5 |
1.35 | %4 | 1.42 | % | 1.44 | % | 1.29 | % | 1.25 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
1.32 | %4 | 1.28 | % | 1.31 | % | 1.29 | % | 1.25 | % | ||||||||||
Portfolio turnover rate6 |
92 | % | 77 | % | 92 | % | 68 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2011 |
1.37 | % | ||
Year Ended August 31, 2010 |
1.44 | % | ||
Year Ended August 31, 2009 |
1.45 | % | ||
Year Ended August 31, 2008 |
1.29 | % | ||
Year Ended August 31, 2007 |
1.25 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2011 |
$ | 3,228,874,778 | $ | 3,180,407,334 | ||||
Year Ended August 31, 2010 |
$ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 |
$ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 |
$ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 |
$ | 1,266,252,411 | $ | 1,359,901,233 |
Period Ended | ||||
Class Y | August 31, 20111 | |||
Per Share Operating Data |
||||
Net asset value, beginning of period |
$ | 8.63 | ||
Income (loss) from investment operations: |
||||
Net investment income2 |
.21 | |||
Net realized and unrealized gain |
3 | |||
Total from investment operations |
.21 | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income |
(.14 | ) | ||
Distributions from net realized gain |
| |||
Total dividends and/or distributions to shareholders |
(.14 | ) | ||
Net asset value, end of period |
$ | 8.70 | ||
Total Return, at Net Asset Value4 |
2.44 | % | ||
Ratios/Supplemental Data |
||||
Net assets, end of period (in thousands) |
$ | 4,890 | ||
Average net assets (in thousands) |
$ | 3,287 | ||
Ratios to average net assets:5 |
||||
Net investment income |
4.04 | %6 | ||
Total expenses7 |
0.59 | %6 | ||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
0.56 | %6 | ||
Portfolio turnover rate8 |
92 | % |
1. | For the period from January 28, 2011 (inception of offering) to August 31, 2011. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Less than $0.005 per share. | |
4. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
5. | Annualized for periods less than one full year. | |
6. | Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC. | |
7. | Total expenses including indirect expenses from affiliated fund were as follows: |
Period Ended August 31, 2011 |
0.61 | % |
8. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Period Ended August 31, 2011 |
$ | 3,228,874,778 | $ | 3,180,407,334 |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities |
$ | 278,896,153 | ||
Sold securities |
77,410,661 |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3 | Tax Purposes | |||||||||
$28,808,861 |
$ | | $ | 548,090,059 | $ | 60,000,485 |
1. | As of August 31, 2011, the Fund had $548,090,059 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of August 31, 2011, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2015 |
$ | 435,476 | ||
2016 |
34,541,633 | |||
2018 |
513,112,950 | |||
Total |
$ | 548,090,059 | ||
2. | During the fiscal year ended August 31, 2011, the Fund utilized $130,221,680 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
3. | During the fiscal year ended August 31, 2010, the Fund did not utilize any capital loss carryforward. |
Increase | ||||||||
Increase | to Accumulated | |||||||
to Accumulated | Net Realized | |||||||
Increase | Net Investment | Loss | ||||||
to Paid-in Capital | Income | on Investments | ||||||
$1,232 |
$ | 390,264 | $ | 391,496 |
Year Ended | Year Ended | |||||||
August 31, 2011 | August 31, 2010 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 70,516,422 | $ | 30,625,911 |
Federal tax cost of securities |
$ | 1,724,940,098 | ||
Federal tax cost of other investments |
60,431,925 | |||
Total federal tax cost |
$ | 1,785,372,023 | ||
Gross unrealized appreciation |
$ | 97,893,031 | ||
Gross unrealized depreciation |
(37,892,546 | ) | ||
Net unrealized appreciation |
$ | 60,000,485 | ||
Year Ended August 31, 20111 | Year Ended August 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
7,773,839 | $ | 67,629,767 | 7,802,417 | $ | 62,259,184 | ||||||||||
Dividends and/or
distributions reinvested |
6,926,130 | 59,277,559 | 3,233,169 | 25,949,865 | ||||||||||||
Redeemed |
(28,488,560 | ) | (247,397,155 | ) | (36,463,678 | ) | (291,298,545 | ) | ||||||||
Net decrease |
(13,788,591 | ) | $ | (120,489,829 | ) | (25,428,092 | ) | $ | (203,089,496 | ) | ||||||
Class B |
||||||||||||||||
Sold |
826,508 | $ | 7,039,177 | 981,464 | $ | 7,705,110 | ||||||||||
Dividends and/or
distributions reinvested |
243,877 | 2,044,258 | 97,144 | 767,180 | ||||||||||||
Redeemed |
(3,293,740 | ) | (28,150,805 | ) | (4,842,340 | ) | (37,727,773 | ) | ||||||||
Net decrease |
(2,223,355 | ) | $ | (19,067,370 | ) | (3,763,732 | ) | $ | (29,255,483 | ) | ||||||
Class C |
||||||||||||||||
Sold |
1,175,982 | $ | 9,988,685 | 985,137 | $ | 7,685,204 | ||||||||||
Dividends and/or
distributions reinvested |
381,127 | 3,182,998 | 139,709 | 1,098,074 | ||||||||||||
Redeemed |
(2,498,995 | ) | (21,161,574 | ) | (3,959,894 | ) | (30,791,084 | ) | ||||||||
Net decrease |
(941,886 | ) | $ | (7,989,891 | ) | (2,835,048 | ) | $ | (22,007,806 | ) | ||||||
Class N |
||||||||||||||||
Sold |
309,746 | $ | 2,660,389 | 555,027 | $ | 4,384,592 | ||||||||||
Dividends and/or
distributions reinvested |
97,808 | 828,055 | 43,036 | 342,472 | ||||||||||||
Redeemed |
(830,632 | ) | (7,147,921 | ) | (1,136,715 | ) | (9,004,141 | ) | ||||||||
Net decrease |
(423,078 | ) | $ | (3,659,477 | ) | (538,652 | ) | $ | (4,277,077 | ) | ||||||
Year Ended August 31, 20111 | Year Ended August 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y |
||||||||||||||||
Sold |
591,168 | $ | 5,239,649 | | $ | | ||||||||||
Dividends and/or
distributions reinvested |
4,568 | 40,104 | | | ||||||||||||
Redeemed |
(33,528 | ) | (297,999 | ) | | | ||||||||||
Net increase |
562,208 | $ | 4,981,754 | | $ | | ||||||||||
1. | For the year ended August 31, 2011, for Class A, Class B, Class C and Class N shares, and for the period from January 28, 2011 (inception of offering) to August 31, 2011, for Class Y shares. |
Purchases | Sales | |||||||
Investment securities |
$ | 1,138,975,282 | $ | 1,284,162,771 | ||||
U.S. government and government
agency obligations |
23,322,784 | 11,397,423 | ||||||
To Be Announced (TBA)
mortgage-related securities |
3,228,874,778 | 3,180,407,334 |
Fee Schedule | ||||
Up to $100 million |
0.75 | % | ||
Next $100 million |
0.70 | |||
Next $100 million |
0.65 | |||
Next $100 million |
0.60 | |||
Next $100 million |
0.55 | |||
Next $4.5 billion |
0.50 | |||
Over $5 billion |
0.48 |
Class B |
$ | 9,158,021 | ||
Class C |
8,661,484 | |||
Class N |
987,124 |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
August 31, 2011 |
$ | 218,726 | $ | 2,566 | $ | 92,160 | $ | 5,979 | $ | 328 | ||||||||||
Class B |
$ | 72,794 |
Asset Derivatives | Liability Derivatives | |||||||||||||||
Derivatives Not | Statement of | Statement of | ||||||||||||||
Accounted for | Assets and | Assets and | ||||||||||||||
as Hedging | Liabilities | Liabilities | ||||||||||||||
Instruments | Location | Value | Location | Value | ||||||||||||
Credit contracts |
Appreciated swaps, at value | $ | 7,537,146 | |||||||||||||
Interest rate contracts |
Futures margins | 37,987 | * | Futures margins | $ | 1,211,287 | * | |||||||||
Foreign exchange contracts |
Unrealized appreciation on foreign currency exchange contracts | 18,047 | ||||||||||||||
Equity contracts |
Investments, at value | 500,000 | ** | |||||||||||||
Interest rate contracts |
Investments, at value | 1,904,487 | ** | |||||||||||||
Total |
$ | 9,997,667 | $ | 1,211,287 | ||||||||||||
* | Includes only the current days variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options and purchased swaptions, if any. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||
Investments from | ||||||||||||||||||||
unaffiliated | ||||||||||||||||||||
companies | ||||||||||||||||||||
Derivatives Not | (including | Closing and | Foreign | |||||||||||||||||
Accounted for as | premiums on | expiration of | currency | Swap | ||||||||||||||||
Hedging Instruments | options exercised)* | futures contracts | transactions | contracts | Total | |||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | (2,228,214 | ) | $ | (2,228,214 | ) | ||||||||
Equity contracts |
(1,017,861 | ) | | | | (1,017,861 | ) | |||||||||||||
Foreign exchange contracts |
(1,365,000 | ) | | (229,840 | ) | | (1,594,840 | ) | ||||||||||||
Interest rate contracts |
338,869 | 4,532,830 | | | 4,871,699 | |||||||||||||||
Total |
$ | (2,043,992 | ) | $ | 4,532,830 | $ | (229,840 | ) | $ | (2,228,214 | ) | $ | 30,784 | |||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||
Translation of | ||||||||||||||||||||
assets and | ||||||||||||||||||||
liabilities | ||||||||||||||||||||
Derivatives Not | denominated | |||||||||||||||||||
Accounted for as | in foreign | Swap | ||||||||||||||||||
Hedging Instruments | Investments* | Futures contracts | currencies | contracts | Total | |||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | 3,818,507 | $ | 3,818,507 | ||||||||||
Equity contracts |
(550,078 | ) | | | | (550,078 | ) | |||||||||||||
Foreign exchange contracts |
423,465 | | 18,047 | | 441,512 | |||||||||||||||
Interest rate contracts |
317,403 | (1,148,573 | ) | | | (831,170 | ) | |||||||||||||
Total |
$ | 190,790 | $ | (1,148,573 | ) | $ | 18,047 | $ | 3,818,507 | $ | 2,878,771 | |||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Name, Position(s) Held with the Fund, Length of Service, Age |
Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES
|
The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 |
President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
George C. Bowen, Trustee (since 1998) Age: 74 |
Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Bowen has served on the Boards of certain Oppenheimer funds since 1998, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 72 |
Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 |
Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: |
Jon S. Fossel, Continued |
Oppenheimer Acquisition Corp. (OAC) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 70 |
Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 64 |
Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991- April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Bostons Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 66 |
Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997- February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 |
Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
INTERESTED TRUSTEE AND OFFICER |
The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 |
Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (OAC) (the Managers parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OACs parent company); Director (May 2004- March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004- January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005- March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005- December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007- January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 66 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. Mr. Glavin has served on the Boards of certain Oppenheimer funds since 2009, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. |
OTHER OFFICERS OF THE FUND |
The addresses of the Officers in the chart below are as follows: for Messrs. Memani, Gabinet, Zack and Mss. Borré and Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Michelle Borré, Vice President (since 2009) Age: 44 |
Vice President of the Manager (since April 2003) and a Senior Research Analyst of the Manager (February 2003-April 2009). Prior to joining the Manager, Managing Director and Partner at J&W Seligman (July 1996-January 2003); Adjunct Assistant Professor of Finance and Economics at Columbia Business School (2003-2005); served on the Executive Advisory Board at the Heilbrunn Center for Graham and Dodd Investing at Columbia Business School (2004-2005). A portfolio manager and an officer of 1 portfolio in the OppenheimerFunds complex. | |
Krishna Memani, Vice President (since 2009) Age: 51 |
Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 |
Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 |
Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 60 |
Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 51 |
Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President (since 2001) Age: 63 |
Vice President, Secretary and General Counsel of OAC (since November 2001); Executive Vice President (since January 2004) and General Counsel (March 2002- December 2010) of the Manager; Executive Vice President, General Counsel and Director of OFI Trust Company (since November 2001); General Counsel of the Distributor (December 2001-December 2010); General Counsel of Centennial Asset Management Corporation (December 2001-December 2010); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (December 2001-December 2010); Assistant Secretary (September 1997-December 2010) and Director (November 2001-December 2010) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (December 2002-December 2010); Director of Oppenheimer Real Asset Management, Inc. (November 2001- December 2010); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (December 2001- December 2010); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. (November 2001-December 2010); Vice President of OppenheimerFunds Legacy Program (June 2003-December 2010); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (November 2001-December 2010). An officer of 96 portfolios in the OppenheimerFunds complex. |
Manager
|
OppenheimerFunds, Inc. | |
Distributor
|
OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder
Servicing Agent
|
OppenheimerFunds Services | |
Independent Registered Public Accounting Firm |
KPMG LLP | |
Counsel
|
K&L Gates LLP |
| Applications or other forms | |
| When you create a user ID and password for online account access | |
| When you enroll in eDocs Direct, our electronic document delivery service | |
| Your transactions with us, our affiliates or others | |
| A software program on our website, often referred to as a cookie, which indicates which parts of our site youve visited | |
| When you set up challenge questions to reset your password online |
| All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format. | |
| Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. | |
| You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
(a) | Audit Fees |
(b) | Audit-Related Fees |
(c) | Tax Fees |
(d) | All Other Fees |
(e) | (1) During its regularly scheduled periodic meetings, the registrants audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. | |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. | ||
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. |
(2) | 100% |
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrants annual financial statements billed $160,950 in fiscal 2011 and $365,499 in fiscal 2010 to the registrant and the registrants investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
(h) | The registrants audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrants investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountants independence. No such services were rendered. |
1. | The Funds Governance Committee (the Committee) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider |
the advice and recommendation of the Funds investment manager and its affiliates in making the selection. | ||
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individuals background, skills, and experience; whether the individual is an interested person as defined in the Investment Company Act of 1940; and whether the individual would be deemed an audit committee financial expert within the meaning of applicable SEC rules. The Committee also considers whether the individuals background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. | |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
| the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
| a statement concerning whether the person is an interested person as defined in the Investment Company Act of 1940; | ||
| any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
| the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. | ||
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds investment adviser) would be deemed an interested person under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds outside legal counsel may cause a person to be deemed an interested person. | |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit |
information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Exhibit attached hereto. |
(2) | Exhibits attached hereto. | ||
(3) | Not applicable. |
(b) | Exhibit attached hereto. |
Oppenheimer Capital Income Fund |
||||
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer |
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer |
1. | Purpose of the Code |
| honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; | |
| full, fair, accurate, timely, and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (SEC) and in other public communications made by the Fund; | |
| compliance with applicable governmental laws, rules and regulations; | |
| the prompt internal reporting of violations of this Code to the Code Administrator identified below; and | |
| accountability for adherence to this Code. |
1 | The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by OFI and the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code. |
2. | Prohibitions |
(i) | employ any device, scheme or artifice to defraud a Fund or its shareholders; | ||
(ii) | intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public; | ||
(iii) | engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders; | ||
(iv) | engage in any manipulative practice with respect to any Fund; | ||
(v) | use his or her personal influence or personal relationships to influence any business decision, investment decisions, or financial reporting by a Fund |
whereby the Covered Officer would benefit personally to the detriment of the Fund or its shareholders; | |||
(vi) | intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund; | ||
(vii) | intentionally mislead or omit to provide material information to the Funds independent auditors or to the Board of Trustees/Directors or the officers of the Fund or its investment adviser in connection with financial reporting matters; | ||
(viii) | fail to notify the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; | ||
(ix) | retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code; or | ||
(x) | fails to acknowledge or certify compliance with this Code if requested to do so. |
3. | Reports of Conflicts of Interests |
4. | Waivers |
(i) | is prohibited by this Code; | ||
(ii) | is consistent with honest and ethical conduct; and | ||
(iii) | will result in a conflict of interest between the Covered Officers personal and professional obligations to a Fund. |
5. | Reporting Requirements |
6. | Annual Review |
7. | Sanctions |
8. | Administration and Construction |
(i) | Continuous maintenance of a current list of the names of all Covered Officers; | ||
(ii) | Furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder;(iii) Maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) Issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations; | ||
(v) | Conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations, to the Chief Executive Officer of OFI and to the Trustees/Directors of the affected Fund(s) or any committee appointed by them to deal with such information; and Periodically conducting educational training programs as needed to explain and reinforce the terms of this Code. |
2 | An implicit waiver is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the General Counsel, the Code Administrator, and an executive officer of the Fund or OFI. |
9. | Required Records |
(a) | A copy of any Code which has been in effect during the period; | ||
(b) | A record of any violation of any such Code and of any action taken as a result of such violation, during the period; | ||
(c) | A copy of each annual report pursuant to the Code made by a Covered Officer during the period; | ||
(d) | A copy of each report made by the Code Administrator pursuant to this Code during the period; | ||
(e) | A list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports; | ||
(f) | A record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; and | ||
(g) | A record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision. |
10. | Amendments and Modifications |
11. | Confidentiality. |
* | There are no other positions with the Funds or OFI who perform similar functions to those listed above. |
1. | I have reviewed this report on Form N-CSR of Oppenheimer Capital Income Fund; | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer 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 second fiscal quarter of the period covered by this report 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 and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (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. |
/s/ William F. Glavin, Jr. | ||||
William F. Glavin, Jr. | ||||
Principal Executive Officer |
1. | I have reviewed this report on Form N-CSR of Oppenheimer Capital Income Fund; | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer 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 second fiscal quarter of the period covered by this report 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 and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (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. |
/s/ Brian W. Wixted | ||||
Brian W. Wixted | ||||
Principal Financial Officer |
1. | The Registrants periodic report on Form N-CSR for the period ended 8/31/2011 (the Form N-CSR) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and | |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission. |
Principal Executive Officer
|
Principal Financial Officer | |
Oppenheimer Capital Income Fund
|
Oppenheimer Capital Income Fund | |
/s/ William F. Glavin, Jr.
|
/s/ Brian W. Wixted | |
William F. Glavin, Jr.
|
Brian W. Wixted | |
Date: 10/12/2011
|
Date: 10/12/2011 |
H2!030`2L@!3C+KMKFKO%*0.=WMKHHJOAX
M!2J0IGZR2R5&MG1;MW8;7F:KMD[S`400/WI[@XUYMSDAMX);N(9[N&.4MW^+
M)QDB4(N[?MJ)N#1!N));N99[N3:AN(\K&HV[N9`[KYC;#)0;NJ1;NIBKN9[[
M&9V;NAW'MJ9+#*/[NK([NW2+NJQ["ZM[NYX5N+1+C:O5_[O`&[SX:+M1R@<(
MP`(/D)6!\@#8L`=`<`$#D+9:4@$L,``[Z+BZ&U>1V[NQ*[S>^[UEVZF+.P<9
M(`*#U`()\'5_H`$M(``R``-,\%X4@'=@YP-]L2;RE;W:"[K!V[W@^[\`3$K$
M:YTZTW4S<%[S9148,`,QP'AUA0".8``9D`+EF[_ZRU+;2[O^&\` A]
M2D$J#ZHGD4&-_M>%^KL`1,@'&[`1?H"U5G@()S"\":`!=P`'Z-@&M^('`3"N
MR#<*>QM_`V`!-W`#4T,$!C"\-9"ITO 'B2-K
M1W=+[7>)HRAE[G9[UC5:[-5`>J`M;0!DL'1HQ$=A]P>$II.+N1@#5Z(RN*`+
M&/`;.&,+&&0'?A`E#H`9,_$(_!``]Q@)*=*2MA`WN&``XS`6&^`3-5F3`<",
M?Q`)23D>CJ`(3TD$&J!'PC``^?&4HZ`#N*.24SD#`%,2,Z"53TD!`%!L#IDX
M5-B)(0='X=60#8A.*61;")1`/I4Y/G5"U#5/0U:$%.DX^@6!**F$ `"A3`D#]3!#4Y`VFT"2J)(VVP`;M9!7?H?32@#".I@F2H 6^UD!P24CG,
MUQW0X9G9F9B3X&C04I(^(AY:TY[&!Q>'4R8D(I>7('$1!)(!"BMP0!=H$YV;
M8"*]>9_1]R`WJ#3#J3AP8IB`F)W=<#1VX!QYH!RU&!Y]$8WD*1UOHCAB\23)
M-R2\:9\42E8C@589J@E64STS*IOQ&!4:VI_K>5V)J0P/@CAX01;_":.0H:0[
MBD]PL2,'L9\%XI;$EWQ:!*#1!YR'D26)PAMZ()X>"A8R`BT[*`=F&B!FFJ9J
MNJ8*\I1-^CBHP9E)\6C@J"@(@9J(:6^^23Q+\A0'RH.6(J,5:15%ZI:FV1K'
M8`>*.AZ+VJB.^JCC,?\'P7&<"[F;;^H?<6H5<7&AD%9T@_DEP>& U3CEND/J[+C5
MW-EFF]8)(_`,9J[DU9&AA]2G:IA4UKLZ-ER>46M4??'&JF(#K%F]AS93^=C.
M2L,SR$C'39"Q!XIP"7X<`'\5&$0/CQ-$1(Y_!7Y$&G*/G3&AT-'2T]35
MUG\L?MK;1'W>W^#AXN/DY>&/)>;A'8H]Y3N*"N(JC^8@BCS?68HOZGTEBE;X
M&TBPH,"!,J7,BPH<.'$"-Z,[-M&X9K&/\5+?`S01&"%GXJ/$(VZ=$A5W]2
MC$KQ*%+)18U:2HI&DI.G::,J8NCHT<\)7H2`^&3I$I0-;1UAQ`)EYU!)9"+F
M@.KT*:/5JUA#9:N8[(?$A>@*LB/DCAP\0O+"T5-D#Y\^14+\`20D\*O=NWCS
MZMW+MZ]!BEPO9IV&@(F?&3X2QS#\\MA,DWY0JO3#4E%10HR,$;I\JTB-`(__
M4,7IIP8+%$3\%'CT(=F)UR
804&A"-VXN)9!OL@
M,T5H00PJ``<7>/""1Z#!A,7+H0YWR)#C( L!T_
M^NPH'.V#H0?*:V`_=NT2T:[*(XQ%0/\_W2X(?RH(U(&0%H,.&K!Y0;3GT2"P
M6;H(TB$\=2`)T"+O"F7%:"-Z-+T'7_G(ZV#3_QZ%,XP!*--/0NH'QGA$7[F]
M@K`@Q>&R=(`.%6`P>(F'&$_GQ;T@B?B5K9@J!@`#,)#H)RH-+:\+Z##4,N]6
M(E_1T*"NCWS(XQWINF#IF([>-](3/D`W`&`'#E$%#L`,&`K]1E^53/`#"'W(
M5L((V0\'VY\(-8"U:*BN1%`%G62_&`#$?[`=1(#F7/_K:@/7%2`#"``(-@3(MP>%5^&GJ;?'XBFQ]$3"0V&Q4-NW5V
V12<,!Q\Q<9Y>!^//A'(N@K(!5SRC,:N+!FOQ$D.]<9Z*)>
MZ28#$8=^TS6%/;=B1T=16Z4:>1!=:,A@?\`020=C4/5L`Q6#$B4//RA:>;!9
MRL5H[T!33U@D.QB'TG8^L!=BZF912^ZO"PF%IH252AB0.N7$ERFQ=Q8/:H=U.H3;%
M:;>J3LAUHO%Y_H>4TS5N&CB519E@5SWB\02;@)YYWIKB28K<0]4&+>Y$?+#/
MR.#//.X'%VL#_6O=)0*B)$`$3.``"H@'7<$'YML`:R(!4R31X^W?W'$3M5('
MP5`5<^!#EFH'Y`')@"("E$$9Q?`##F((6%[_W^*Q$[C;Y7[0V26MPALP/1DA
M@LY!"&T@TV6N57B&YK;QB?D&AS17/)VI+MN'#'^JX,L<:[A:@$N9=[>]%P;47\WCK4"GXD&CL;D'*P`/.48L^"HQ"&3F,4">!`L%CJ6
MFL+@D&48"0Z:.]^'G7Z<(TZF=D.X2>\R6T=K&.AP/%$XM).M2DD[*6L_"
M)UNCJ:7VB?IP#:*2S61110SY1:%
%SYADA$\D"%1F'2!`CMMKET/%!WMLG$3[0%I'M\`GSSV\?C_H>\
MUVQ*#DO;S1:+^`<1K2IV=,%B.S+G%B8F[%`%81J^UN*)A/D%4:PK#<:N0T:I
M`6<4<6PAI![CF;;AQ6>N*Z`V/",JU%$')R-Z4EOZ2$F1I6,.$'Q.(=Z'P7J=
MYUIQ@X;0IC,UGX%K=BJC24<*!#1V;)%S7*)0PU!R1MEAB#)UJ)\H%J*8#<8M
M?
>YI7Z&;%9#DE\R#2\/`2V"W
MO!-GO$)A*;]G%ML@-.]Q/SE&!PX'04ZC@AB&OD[E5=5@=I4(B7WZ1Z.SM(':
MJHY8