Item 1. Reports to Stockholders | ||||||||
EX-99.CERT | ||||||||
EX-99.906CERT |
Top Ten Common Stock Industries | ||||
Oil, Gas & Consumable Fuels |
2.9 | % | ||
Commercial Banks |
2.1 | |||
Pharmaceuticals |
1.9 | |||
Computers & Peripherals |
1.5 | |||
Media |
1.4 | |||
Real Estate Investment Trusts |
1.2 | |||
Chemicals |
1.2 | |||
Household Products |
1.1 | |||
Health Care Providers & Services |
1.1 | |||
IT Services |
1.1 |
Top Ten Common Stock Holdings | ||||
Apple, Inc. |
1.5 | % | ||
Church & Dwight Co., Inc. |
1.2 | |||
AerCap Holdings NV |
1.0 | |||
Coca-Cola Co. (The) |
0.9 | |||
Exxon Mobil Corp. |
0.9 | |||
Chevron Corp. |
0.9 | |||
Philip Morris International, Inc. |
0.8 | |||
Wells Fargo & Co. |
0.8 | |||
International Business Machines Corp. |
0.7 | |||
McDonalds Corp. |
0.7 |
* | Represents a value of less than 0.05% . |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
September 1, 2011 | February 29, 2012 | February 29, 2012 | ||||||||||
Actual |
||||||||||||
Class A |
$ | 1,000.00 | $ | 1,045.20 | $ | 4.94 | ||||||
Class B |
1,000.00 | 1,041.80 | 9.74 | |||||||||
Class C |
1,000.00 | 1,041.70 | 9.33 | |||||||||
Class N |
1,000.00 | 1,043.80 | 6.56 | |||||||||
Class Y |
1,000.00 | 1,047.00 | 3.42 | |||||||||
Hypothetical (5% return before expenses) |
||||||||||||
Class A |
1,000.00 | 1,020.04 | 4.88 | |||||||||
Class B |
1,000.00 | 1,015.37 | 9.62 | |||||||||
Class C |
1,000.00 | 1,015.76 | 9.21 | |||||||||
Class N |
1,000.00 | 1,018.45 | 9.10 | |||||||||
Class Y |
1,000.00 | 1,021.53 | 3.37 |
Class | Expense Ratios | |||
Class A |
0.97 | % | ||
Class B |
1.91 | |||
Class C |
1.83 | |||
Class N |
1.29 | |||
Class Y |
0.67 |
Shares | Value | |||||||
Common Stocks28.7% |
||||||||
Consumer Discretionary2.2% |
||||||||
Hotels, Restaurants & Leisure0.7% |
||||||||
McDonalds Corp. |
115,000 | $ | 11,417,200 | |||||
Media1.4% |
||||||||
Cinemark Holdings, Inc. |
428,000 | 8,953,760 | ||||||
Comcast Corp., Cl. A |
264,000 | 7,756,320 | ||||||
Time Warner Cable, Inc. |
72,500 | 5,752,150 | ||||||
22,462,230 | ||||||||
Multiline Retail0.1% |
||||||||
Target Corp. |
35,000 | 1,984,150 | ||||||
Consumer Staples3.1% |
||||||||
Beverages0.9% |
||||||||
Coca-Cola Co. (The) |
206,000 | 14,391,160 | ||||||
Food Products0.2% |
||||||||
Adecoagro SA1 |
458,290 | 4,165,856 | ||||||
Household Products1.2% |
||||||||
Church & Dwight Co., Inc. |
386,000 | 18,427,640 | ||||||
Tobacco0.8% |
||||||||
Philip Morris International, Inc. |
156,000 | 13,029,120 | ||||||
Energy3.6% |
||||||||
Energy Equipment & Services0.7% |
||||||||
Baker Hughes, Inc. |
112,000 | 5,631,360 | ||||||
Schlumberger Ltd. |
63,000 | 4,889,430 | ||||||
10,520,790 | ||||||||
Oil, Gas & Consumable Fuels2.9% |
||||||||
Apache Corp. |
46,500 | 5,018,745 | ||||||
Chevron Corp. |
126,100 | 13,760,032 | ||||||
Enbridge Energy Management LLC1 |
1 | 3 | ||||||
Exxon Mobil Corp. |
165,300 | 14,298,450 | ||||||
Kinder Morgan Management LLC1 |
1 | 29 | ||||||
Noble Energy, Inc. |
21,500 | 2,099,475 | ||||||
Royal Dutch Shell plc, ADR |
8,000 | 584,720 | ||||||
Royal Dutch Shell plc, B Shares |
305,953 | 11,338,533 | ||||||
47,099,987 | ||||||||
Financials5.1% |
||||||||
Capital Markets0.6% |
||||||||
Bond Street Holdings LLC, Cl. A1,2 |
375,000 | 6,750,000 | ||||||
Goldman Sachs Group, Inc. (The) |
23,000 | 2,648,220 | ||||||
9,398,220 |
Shares | Value | |||||||
Commercial Banks2.1% |
||||||||
M&T Bank Corp. |
136,000 | $ | 11,100,320 | |||||
PNC Financial Services Group, Inc. |
111,000 | 6,606,720 | ||||||
U.S. Bancorp |
128,000 | 3,763,200 | ||||||
Wells Fargo & Co. |
414,000 | 12,954,060 | ||||||
34,424,300 | ||||||||
Diversified Financial Services0.4% |
||||||||
Citigroup, Inc. |
195,190 | 6,503,731 | ||||||
Insurance0.8% |
||||||||
ACE Ltd. |
55,000 | 3,944,050 | ||||||
Alleghany Corp.1 |
8,000 | 2,597,120 | ||||||
Transatlantic Holdings, Inc. |
92,000 | 5,575,200 | ||||||
12,116,370 | ||||||||
Real Estate Investment Trusts1.2% |
||||||||
American Assets Trust, Inc. |
205,000 | 4,411,600 | ||||||
General Growth Properties, Inc. |
144,926 | 2,357,946 | ||||||
Public Storage |
25,000 | 3,351,750 | ||||||
Starwood Property Trust, Inc. |
464,130 | 9,161,926 | ||||||
19,283,222 | ||||||||
Health Care3.4% |
||||||||
Biotechnology0.1% |
||||||||
NPS Pharmaceuticals, Inc.1 |
242,470 | 1,653,645 | ||||||
Health Care Equipment & Supplies0.3% |
||||||||
Covidien plc |
45,000 | 2,351,250 | ||||||
Medtronic, Inc. |
50,000 | 1,906,000 | ||||||
4,257,250 | ||||||||
Health Care Providers & Services1.1% |
||||||||
HCA Holdings, Inc. |
101,550 | 2,708,339 | ||||||
Humana, Inc. |
72,000 | 6,271,200 | ||||||
UnitedHealth Group, Inc. |
160,000 | 8,920,000 | ||||||
17,899,539 | ||||||||
Pharmaceuticals1.9% |
||||||||
Merck & Co., Inc. |
298,000 | 11,374,660 | ||||||
Pfizer, Inc. |
448,400 | 9,461,240 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR |
68,440 | 3,066,796 | ||||||
Watson Pharmaceuticals, Inc.1 |
100,000 | 5,832,000 | ||||||
29,734,696 |
Shares | Value | |||||||
Industrials2.7% |
||||||||
Aerospace & Defense0.3% |
||||||||
Honeywell International, Inc. |
75,000 | $ | 4,467,750 | |||||
Electrical Equipment0.3% |
||||||||
Cooper Industries plc |
73,300 | 4,487,426 | ||||||
Industrial Conglomerates0.4% |
||||||||
Tyco International Ltd. |
140,000 | 7,254,800 | ||||||
Machinery0.7% |
||||||||
AGCO Corp.1 |
94,410 | 4,874,388 | ||||||
Navistar International Corp.1 |
150,000 | 6,267,000 | ||||||
11,141,388 | ||||||||
Trading Companies & Distributors1.0% |
||||||||
AerCap Holdings NV1 |
1,197,280 | 15,660,422 | ||||||
Information Technology5.1% |
||||||||
Communications Equipment1.0% |
||||||||
Ciena Corp.1 |
205,870 | 3,071,580 | ||||||
Juniper Networks, Inc.1 |
218,000 | 4,961,680 | ||||||
QUALCOMM, Inc. |
126,500 | 7,865,770 | ||||||
15,899,030 | ||||||||
Computers & Peripherals1.5% |
||||||||
Apple, Inc.1 |
44,682 | 24,237,304 | ||||||
Electronic Equipment & Instruments0.1% |
||||||||
TE Connectivity Ltd. |
25,240 | 922,522 | ||||||
Internet Software & Services0.3% |
||||||||
VeriSign, Inc. |
147,000 | 5,431,650 | ||||||
IT Services1.1% |
||||||||
Accenture plc, Cl. A |
100,000 | 5,954,000 | ||||||
International Business Machines Corp. |
58,700 | 11,548,051 | ||||||
17,502,051 | ||||||||
Semiconductors & Semiconductor Equipment0.7% |
||||||||
Atmel Corp.1 |
170,000 | 1,718,700 | ||||||
Broadcom Corp., Cl. A |
107,680 | 4,000,312 | ||||||
Xilinx, Inc. |
145,000 | 5,354,850 | ||||||
11,073,862 | ||||||||
Software0.4% |
||||||||
Oracle Corp. |
194,000 | 5,678,380 | ||||||
Materials1.7% |
||||||||
Chemicals1.2% |
||||||||
Celanese Corp., Series A |
167,035 | 7,945,855 | ||||||
Mosaic Co. (The) |
188,070 | 10,861,043 | ||||||
18,806,898 |
Shares | Value | |||||||
Containers & Packaging0.3% |
||||||||
Rock-Tenn Co., Cl. A |
63,469 | $ | 4,473,930 | |||||
Metals & Mining0.2% |
||||||||
Allegheny Technologies, Inc. |
79,990 | 3,509,161 | ||||||
Telecommunication Services0.4% |
||||||||
Diversified Telecommunication Services0.4% |
||||||||
AT&T, Inc. |
232,500 | 7,112,175 | ||||||
Utilities1.4% |
||||||||
Electric Utilities0.4% |
||||||||
Cleco Corp. |
173,000 | 6,657,040 | ||||||
Multi-Utilities1.0% |
||||||||
CenterPoint Energy, Inc. |
332,500 | 6,480,425 | ||||||
CMS Energy Corp. |
285,000 | 6,101,850 | ||||||
Public Service Enterprise Group, Inc. |
96,000 | 2,954,880 | ||||||
15,537,155 | ||||||||
Total Common Stocks (Cost $378,029,893) |
458,622,050 | |||||||
Preferred Stocks0.9% |
||||||||
Goldman Sachs Group, Inc. (The), 3.75% Non-Cum., Series A, Non-Vtg. |
123,300 | 2,454,903 | ||||||
H.J. Heinz Finance Co., 8% Cum., Series B3 |
40 | 4,221,250 | ||||||
PNC Financial Services Group, Inc., 9.875% Non-Cum., Series F, Non-Vtg. |
75,000 | 2,066,250 | ||||||
PPL Corp., 8.75% Cv. |
100,000 | 5,373,000 | ||||||
Total Preferred Stocks (Cost $12,494,627) |
14,115,403 |
Units | ||||||||
Rights, Warrants and Certificates0.1% |
||||||||
Charter Communications, Inc., Cl. A Wts., Strike Price $46.86, Exp. 11/30/141 |
38,418 | 820,993 | ||||||
Rouse Properties, Inc. Rts., Strike Price $15, Exp. 3/30/121 |
5,436 | 600 | ||||||
Total Rights, Warrants and Certificates (Cost $192,089) |
821,593 |
Principal | ||||||||
Amount | ||||||||
Mortgage-Backed Obligations28.3% |
||||||||
Government Agency22.1% |
||||||||
FHLMC/FNMA/FHLB/Sponsored22.0% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
4.50%, 5/1/194 |
$ | 2,462,248 | 2,623,079 | |||||
4.50%, 3/1/425 |
11,925,000 | 12,668,449 | ||||||
5%, 12/15/34 |
203,153 | 219,437 | ||||||
6%, 5/15/18 |
864,616 | 932,377 | ||||||
6.50%, 7/1/28-4/1/34 |
381,069 | 434,560 | ||||||
7%, 10/1/31 |
459,973 | 535,832 | ||||||
8%, 4/1/16 |
107,007 | 115,945 | ||||||
9%, 8/1/22-5/1/25 |
42,703 | 49,382 |
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, 23.672%, 3/25/366 |
$ | 555,537 | $ | 823,328 | ||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
222,320 | 253,818 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
988,527 | 1,150,337 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
221,430 | 252,750 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 |
427,825 | 463,023 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
198,750 | 228,093 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 |
1,196,531 | 1,279,851 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 |
783,007 | 898,785 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
1,150,233 | 1,298,677 | ||||||
Series 2500, Cl. FD, 0.749%, 3/15/326 |
119,563 | 120,446 | ||||||
Series 2526, Cl. FE, 0.649%, 6/15/296 |
144,577 | 145,346 | ||||||
Series 2538, Cl. F, 0.849%, 12/15/326 |
1,248,795 | 1,257,262 | ||||||
Series 2551, Cl. FD, 0.649%, 1/15/336 |
97,908 | 98,387 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 |
1,608,569 | 1,783,112 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 |
84,481 | 84,480 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 |
287,786 | 288,219 | ||||||
Series 3025, Cl. SJ, 23.839%, 8/15/356 |
171,774 | 264,687 | ||||||
Series 3094, Cl. HS, 23.472%, 6/15/346 |
350,910 | 486,139 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 |
117,810 | 117,982 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
1,690,771 | 1,812,255 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 |
2,040,444 | 2,155,070 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 14.756%, 4/1/277 |
322,527 | 53,254 | ||||||
Series 192, Cl. IO, 12.182%, 2/1/287 |
100,161 | 18,340 | ||||||
Series 2130, Cl. SC, 51.219%, 3/15/297 |
253,184 | 51,435 | ||||||
Series 243, Cl. 6, 0.734%, 12/15/327 |
385,134 | 76,944 | ||||||
Series 2527, Cl. SG, 21.93%, 2/15/327 |
41,666 | 228 | ||||||
Series 2531, Cl. ST, 42.865%, 2/15/307 |
210,242 | 4,138 | ||||||
Series 2639, Cl. SA, 16.162%, 7/15/227 |
1,277,199 | 90,343 | ||||||
Series 2796, Cl. SD, 68.073%, 7/15/267 |
372,153 | 71,335 | ||||||
Series 2802, Cl. AS, 82.397%, 4/15/337 |
320,511 | 20,460 | ||||||
Series 2815, Cl. PT, 25.292%, 11/15/327 |
5,868,289 | 669,410 | ||||||
Series 2920, Cl. S, 65.094%, 1/15/357 |
2,114,830 | 410,981 | ||||||
Series 2937, Cl. SY, 24.36%, 2/15/357 |
8,338,083 | 1,390,390 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/267 |
357,026 | 49,682 | ||||||
Series 3450, Cl. BI, 5.822%, 5/15/387 |
2,631,873 | 422,232 | ||||||
Series 3451, Cl. SB, 26.644%, 5/15/387 |
5,047,179 | 682,014 | ||||||
Series 3662, Cl. SM, 4.252%, 10/15/327 |
2,029,988 | 288,357 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 176, Cl. PO, 4.046%, 6/1/268 |
100,038 | 97,466 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 4/1/275 |
25,225,000 | 25,701,911 | ||||||
3.50%, 3/1/27-3/1/415 |
17,600,000 | 18,390,994 | ||||||
4%, 3/16/27-3/1/425 |
41,045,000 | 43,210,888 | ||||||
4.50%, 3/1/27-3/1/425 |
36,420,000 | 38,826,019 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn.: Continued |
||||||||
5%, 3/1/425 |
$ | 32,629,000 | $ | 35,234,230 | ||||
5.50%, 1/1/38-4/1/39 |
4,299,023 | 4,686,127 | ||||||
5.50%, 3/1/27-3/1/425 |
19,946,000 | 21,719,844 | ||||||
6%, 3/1/425 |
19,945,000 | 21,942,621 | ||||||
6.50%, 5/25/17-11/25/31 |
2,649,976 | 2,978,382 | ||||||
6.50%, 3/1/425 |
4,207,000 | 4,718,414 | ||||||
7%, 11/1/17-7/25/35 |
499,233 | 546,273 | ||||||
7.50%, 1/1/33-3/25/33 |
4,948,050 | 5,938,240 | ||||||
8.50%, 7/1/32 |
11,780 | 14,474 | ||||||
Federal National Mortgage Assn., 15 yr., 3%, 3/1/275 |
36,655,000 | 38,046,743 | ||||||
Federal
National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 |
624,938 | 713,242 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 |
335,029 | 376,677 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
529,292 | 604,126 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 |
918,642 | 1,060,700 | ||||||
Trust 2003-130, Cl. CS, 13.612%, 12/25/336 |
596,198 | 721,131 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 |
3,553,000 | 3,938,665 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
2,448,646 | 2,614,025 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 |
213,864 | 215,020 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 |
7,504,312 | 8,303,588 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 |
52,482 | 52,478 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 |
3,116 | 3,116 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 |
153,141 | 153,394 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 |
1,430,000 | 1,736,345 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 |
1,967,651 | 2,053,070 | ||||||
Trust 2006-46, Cl. SW, 23.305%, 6/25/366 |
428,479 | 630,654 | ||||||
Trust 2006-50, Cl. KS, 23.305%, 6/25/366 |
902,011 | 1,347,916 | ||||||
Trust 2006-50, Cl. SK, 23.305%, 6/25/366 |
107,820 | 164,756 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
2,339,290 | 2,456,727 | ||||||
Trust 2009-36, Cl. FA, 1.184%, 6/25/376 |
2,232,144 | 2,263,953 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 |
2,862,963 | 3,029,971 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 |
3,597,622 | 3,696,251 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
1,241,714 | 1,316,763 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 |
1,980,097 | 2,143,284 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: |
||||||||
Trust 2001-15, Cl. SA, 73.15%, 3/17/317 |
292,519 | 63,331 | ||||||
Trust 2001-65, Cl. S, 47.961%, 11/25/317 |
793,850 | 143,944 | ||||||
Trust 2001-81, Cl. S, 38.194%, 1/25/327 |
193,263 | 36,518 | ||||||
Trust 2002-47, Cl. NS, 36.588%, 4/25/327 |
418,978 | 77,153 | ||||||
Trust 2002-51, Cl. S, 36.911%, 8/25/327 |
384,679 | 70,837 | ||||||
Trust 2002-52, Cl. SD, 44.251%, 9/25/327 |
480,863 | 96,051 | ||||||
Trust 2002-60, Cl. SM, 47.175%, 8/25/327 |
685,214 | 120,570 | ||||||
Trust 2002-7, Cl. SK, 46.771%, 1/25/327 |
210,597 | 36,858 | ||||||
Trust 2002-75, Cl. SA, 51.403%, 11/25/327 |
953,895 | 153,178 | ||||||
Trust 2002-77, Cl. BS, 43.745%, 12/18/327 |
413,084 | 65,984 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued |
||||||||
Trust 2002-77, Cl. JS, 42.167%, 12/18/327 |
$ | 681,091 | $ | 104,901 | ||||
Trust 2002-77, Cl. SA, 42.215%, 12/18/327 |
651,515 | 101,909 | ||||||
Trust 2002-77, Cl. SH, 49.145%, 12/18/327 |
270,425 | 55,137 | ||||||
Trust 2002-89, Cl. S, 71.794%, 1/25/337 |
1,225,561 | 260,229 | ||||||
Trust 2002-9, Cl. MS, 36.559%, 3/25/327 |
253,737 | 51,251 | ||||||
Trust 2002-90, Cl. SN, 48.856%, 8/25/327 |
352,842 | 62,079 | ||||||
Trust 2002-90, Cl. SY, 52.022%, 9/25/327 |
158,397 | 28,695 | ||||||
Trust 2003-33, Cl. SP, 48.375%, 5/25/337 |
898,694 | 145,293 | ||||||
Trust 2003-46, Cl. IH, 0.68%, 6/1/237 |
1,765,949 | 217,082 | ||||||
Trust 2003-89, Cl. XS, 69.678%, 11/25/327 |
579,120 | 23,411 | ||||||
Trust 2004-54, Cl. DS, 53.501%, 11/25/307 |
462,246 | 92,252 | ||||||
Trust 2004-56, Cl. SE, 19.40%, 10/25/337 |
1,118,870 | 185,474 | ||||||
Trust 2005-19, Cl. SA, 67.262%, 3/25/357 |
5,460,825 | 1,063,760 | ||||||
Trust 2005-40, Cl. SA, 66.147%, 5/25/357 |
1,210,982 | 257,056 | ||||||
Trust 2005-6, Cl. SE, 85.369%, 2/25/357 |
1,773,990 | 314,801 | ||||||
Trust 2005-71, Cl. SA, 67.885%, 8/25/257 |
1,253,600 | 188,396 | ||||||
Trust 2005-93, Cl. SI, 18.958%, 10/25/357 |
1,795,076 | 260,157 | ||||||
Trust 2006-129, Cl. SM, 15.075%, 1/25/377 |
3,874,895 | 571,453 | ||||||
Trust 2006-51, Cl. SA, 43.411%, 6/25/367 |
12,318,302 | 1,717,712 | ||||||
Trust 2008-46, Cl. EI, 5.774%, 6/25/387 |
2,632,098 | 417,083 | ||||||
Trust 2008-55, Cl. SA, 17.015%, 7/25/387 |
2,774,073 | 390,386 | ||||||
Trust 2008-67, Cl. KS, 41.189%, 8/25/347 |
3,690,710 | 283,768 | ||||||
Trust 222, Cl. 2, 22.661%, 6/1/237 |
720,438 | 144,831 | ||||||
Trust 252, Cl. 2, 35.324%, 11/1/237 |
599,341 | 130,432 | ||||||
Trust 303, Cl. IO, 28.771%, 11/1/297 |
224,806 | 47,960 | ||||||
Trust 308, Cl. 2, 24.507%, 9/1/307 |
576,568 | 119,093 | ||||||
Trust 320, Cl. 2, 11.892%, 4/1/327 |
2,273,765 | 514,926 | ||||||
Trust 321, Cl. 2, 2.241%, 4/1/327 |
1,926,267 | 347,508 | ||||||
Trust 331, Cl. 9, 14.716%, 2/1/337 |
626,540 | 120,296 | ||||||
Trust 334, Cl. 17, 22.852%, 2/1/337 |
372,908 | 79,083 | ||||||
Trust 338, Cl. 2, 6.183%, 7/1/337 |
384,443 | 54,597 | ||||||
Trust 339, Cl. 12, 1.735%, 7/1/337 |
1,455,157 | 267,424 | ||||||
Trust 339, Cl. 7, 18.82%, 7/1/337 |
1,943,684 | 283,428 | ||||||
Trust 343, Cl. 13, 1.086%, 9/1/337 |
1,397,163 | 191,447 | ||||||
Trust 343, Cl. 18, 2.551%, 5/1/347 |
432,180 | 61,505 | ||||||
Trust 345, Cl. 9, 16.051%, 1/1/347 |
890,806 | 110,617 | ||||||
Trust 351, Cl. 10, 6.151%, 4/1/347 |
511,192 | 68,412 | ||||||
Trust 351, Cl. 8, 6.462%, 4/1/347 |
823,125 | 112,194 | ||||||
Trust 356, Cl. 10, 14.50%, 6/1/357 |
676,676 | 93,476 | ||||||
Trust 356, Cl. 12, 17.586%, 2/1/357 |
338,636 | 46,712 | ||||||
Trust 362, Cl. 13, 2.363%, 8/1/357 |
1,112,970 | 173,962 | ||||||
Trust 364, Cl. 16, 7.737%, 9/1/357 |
1,406,794 | 203,490 | ||||||
Trust 365, Cl. 16, 1.931%, 3/1/367 |
3,812,764 | 611,245 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.492%, 9/25/238 |
277,846 | 265,073 | ||||||
350,493,549 |
Principal | ||||||||
Amount | Value | |||||||
GNMA/Guaranteed0.1% |
||||||||
Government National Mortgage Assn., 8.50%, 8/1/17-12/15/17 |
$ | 58,889 | $ | 66,489 | ||||
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security: |
||||||||
Series 2001-21, Cl. SB, 87.38%, 1/16/277 |
559,715 | 107,446 | ||||||
Series 2002-15, Cl. SM, 78.219%, 2/16/327 |
525,323 | 105,715 | ||||||
Series 2002-41, Cl. GS, 58.344%, 6/16/327 |
285,561 | 67,340 | ||||||
Series 2002-76, Cl. SY, 83.70%, 12/16/267 |
1,373,361 | 283,398 | ||||||
Series 2004-11, Cl. SM, 72.112%, 1/17/307 |
503,848 | 119,431 | ||||||
Series 2007-17, Cl. AI, 16.41%, 4/16/377 |
3,874,747 | 744,312 | ||||||
1,494,131 | ||||||||
Non-Agency6.2% |
||||||||
Commercial3.1% |
||||||||
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 | 2,861,117 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2007-3, Cl. A4, 5.567%, 6/1/496 |
1,340,000 | 1,486,655 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through
Certificates, Series 2007-4, Cl. 22A1, 5.609%, 6/1/476 |
1,678,371 | 1,239,683 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17,
Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17,
Cl. AM, 5.915%, 6/1/506 |
1,525,000 | 1,625,831 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/443 |
470,270 | 472,140 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through
Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
1,078,533 | 867,935 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 |
267,755 | 270,792 | ||||||
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 |
1,375,000 | 1,514,687 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through
Certificates, Interest-Only Stripped Mtg.-Backed Security,
Series 2010-C1, Cl. XPA, 4.807%, 9/1/203,7 |
15,646,392 | 1,119,625 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg.
Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
67,849 | 43,199 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates,
Series 2006-GG7, Cl. AM, 5.881%, 7/1/386 |
2,965,000 | 3,114,775 | ||||||
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 |
1,840,000 | 2,061,019 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial
Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through
Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 |
1,720,000 | 1,704,543 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
GS Mortgage Securities Corp. II, Commercial Mtg.
Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 |
$ | 1,234,853 | $ | 1,261,277 | ||||
GS Mortgage Securities Trust 2006-GG6, Commercial Mtg.
Pass-Through Certificates, Series 2006-GG6, Cl. AM, 5.622%, 4/1/38 |
1,443,915 | 1,507,484 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through
Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
1,311,966 | 1,263,898 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed
Bonds, Series 2005-4, Cl. 1A1A, 0.784%, 5/25/356 |
1,876,543 | 1,327,027 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg.
Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.088%, 11/1/356 |
2,209,077 | 1,609,113 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/463 |
1,403,786 | 1,416,021 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 |
2,590,000 | 2,701,635 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 |
590,000 | 663,401 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 |
510,377 | 520,197 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through
Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 |
2,282,680 | 1,993,332 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg.
Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 |
3,055,000 | 3,474,346 | ||||||
Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg.
Pass-Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43 |
1,485,000 | 1,537,605 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg.
Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.879%, 6/1/496 |
1,700,000 | 1,711,039 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through
Certificates, Series 2007-6, Cl. 3A1, 4.994%, 7/1/376 |
2,132,828 | 1,396,237 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg.
Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.898%, 2/1/516 |
1,800,000 | 1,992,107 | ||||||
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 | 2,079,366 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.465%, 12/1/356 |
1,076,001 | 872,665 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg.
Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.771%, 4/1/376 |
97,565 | 83,834 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.029%, 11/1/376 |
1,511,486 | 1,229,142 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg.
Pass-Through Certificates, Series 2011-C3, Cl. XA, 1.73%, 3/1/447 |
20,025,444 | 1,771,721 | ||||||
48,793,448 | ||||||||
Multifamily0.4% |
||||||||
Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates,
Series 2005-10, Cl. A3, 2.698%, 10/1/356 |
6,029,992 | 4,789,722 |
Principal | ||||||||
Amount | Value | |||||||
Multifamily Continued |
||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through
Certificates, Series 2006-AR3, Cl. 1A2A, 5.67%, 6/1/366 |
$ | 1,396,064 | $ | 1,208,634 | ||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates,
Series 2007-A3, Cl. 3A2M, 5.208%, 5/1/376 |
556,248 | 475,627 | ||||||
6,473,983 | ||||||||
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 |
5,725,000 | 6,381,929 | ||||||
Residential2.3% |
||||||||
ABFC Asset-Backed Certificates, Asset-Back Certificates,
Series 2005-HE2, Cl. M3, 0.764%, 6/25/356 |
4,000,000 | 1,286,988 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2007-4, Cl. AM, 5.791%, 2/1/516 |
1,635,000 | 1,648,584 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates,
Series 2007-C, Cl. 1A4, 5.541%, 5/1/366 |
560,000 | 524,656 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2006-FRE1, Cl. A2, 0.354%, 7/25/366 |
1,168,204 | 1,077,006 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through
Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 |
863,523 | 747,504 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through
Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
1,054,792 | 1,031,504 | ||||||
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through
Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 |
2,012,721 | 1,698,680 | ||||||
Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through
Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 |
7,437,492 | 6,285,596 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through
Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 |
1,349,396 | 970,066 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: |
||||||||
Series 2002-4, Cl. A1, 0.984%, 2/25/336 |
16,632 | 16,062 | ||||||
Series 2004-6, Cl. M5, 1.514%, 8/25/346 |
2,362,066 | 869,965 | ||||||
Series 2005-16, Cl. 2AF2, 5.346%, 5/1/366 |
553,364 | 430,520 | ||||||
CWABS Asset-Backed Certificates Trust 2005-4, Asset-Backed Certificates,
Series 2005-4, Cl. MF7, 5.733%, 10/1/35 |
5,850,000 | 727,676 | ||||||
CWABS Asset-Backed Certificates Trust 2005-7, Asset-Backed
Certificates, Series 2005-7, Cl. MF7, 5.732%, 10/1/35 |
3,284,000 | 381,015 | ||||||
CWABS Asset-Backed Certificates Trust 2005-BC5, Asset-Backed
Certificates, Series 2005-BC5, Cl. M2, 0.724%, 1/25/366 |
6,000,000 | 1,606,119 | ||||||
CWABS Asset-Backed Certificates Trust 2006-10, Asset-Backed Certificates: |
||||||||
Series 2006-10, Cl. MF4, 5.805%, 9/1/466 |
2,550,000 | 120,216 | ||||||
Series 2006-10, Cl. MF5, 5.805%, 9/1/466 |
2,465,000 | 59,824 | ||||||
CWABS Asset-Backed Certificates Trust 2007-4, Asset-Backed
Certificates, Series 2007-4, Cl. M2, 5.931%, 9/1/37 |
2,000,000 | 270,091 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
GMACM Home Equity Loan Trust 2007-HE2, Home Equity Loan-Backed
Term Nts., Series 2007-HE2, Cl. A2, 6.054%, 12/1/37 |
$ | 30,818 | $ | 19,957 | ||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates,
Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
1,129,261 | 1,098,656 | ||||||
Home Equity Mortgage Trust 2005-HF1, Home Equity Loan-Backed Nts.: |
||||||||
Series 2005-HF1, Cl. A2B, 0.594%, 2/25/366 |
1,162,972 | 809,913 | ||||||
Series 2005-HF1, Cl. A3B, 0.594%, 2/25/366 |
875,941 | 610,020 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through
Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
1,343,700 | 1,190,698 | ||||||
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCW2, Cl. M4, 0.894%, 7/25/356 |
4,000,000 | 597,302 | ||||||
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-NC3, Cl. A3, 0.514%, 3/25/366 |
16,698,000 | 4,660,145 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through
Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 |
587,676 | 469,611 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through
Certificates, Series 2004-5, Cl. 3A1, 2.511%, 5/1/346 |
1,881,297 | 1,779,731 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.425%, 5/1/376 |
1,387,335 | 1,219,854 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed
Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 |
1,198,422 | 966,879 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg.
Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.625%, 9/1/346 |
1,624,073 | 1,623,469 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg.
Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
1,057,171 | 1,048,758 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.672%, 10/1/366 |
1,338,978 | 1,193,423 | ||||||
37,040,488 | ||||||||
Total Mortgage-Backed Obligations (Cost $439,944,084) |
450,677,528 | |||||||
Asset-Backed Securities9.1% |
||||||||
AESOP Funding II LLC, Automobile Receivables Nts.,
Series 2011-1A, Cl. A, 1.85%, 11/20/133 |
870,000 | 873,061 | ||||||
Airspeed Ltd., Airplane Receivables: |
||||||||
Series 2007-1A, Cl. G1, 0.519%, 6/15/322,6 |
36,010,584 | 28,088,256 | ||||||
Series 2007-1A, Cl. G2, 0.529%, 6/15/322,6 |
12,302,618 | 9,657,556 | ||||||
Ally Master Owner Trust 2010-1, Asset-Backed Certificates,
Series 2010-1, Cl. A, 1.999%, 1/15/153,6 |
155,000 | 156,837 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates,
Series 2010-3, Cl. A, 2.88%, 4/15/153 |
1,900,000 | 1,938,224 | ||||||
Ally Master Owner Trust, Automobile Receivables Nts.,
Series 2011-4, Cl. A2, 1.54%, 9/15/16 |
1,805,000 | 1,819,665 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile
Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 |
$ | 142,620 | $ | 143,341 | ||||
AmeriCredit Automobile Receivables Trust 2010-1, Automobile
Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17 |
740,000 | 808,231 | ||||||
AmeriCredit Automobile Receivables Trust 2010-2, Automobile
Receivables-Backed Nts., Series 2010-2, Cl. C, 4.52%, 10/8/15 |
1,480,000 | 1,551,545 | ||||||
AmeriCredit Automobile Receivables Trust 2010-4, Automobile
Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 |
2,640,000 | 2,777,244 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile
Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 |
430,000 | 452,262 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2,
Automobile Receivables-Backed Nts.: |
||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15 |
240,000 | 242,361 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 |
1,450,000 | 1,472,097 | ||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile
Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 |
2,355,000 | 2,364,247 | ||||||
AmeriCredit Automobile Receivables Trust 2011-5,
Automobile Receivables-Backed Nts.: |
||||||||
Series 2011-5, Cl. D, 1.55%, 7/8/16 |
35,000 | 35,312 | ||||||
Series 2011-5, Cl. D, 4.72%, 12/8/17 |
1,500,000 | 1,566,888 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 |
43,343 | 43,352 | ||||||
Blade Engine Securitization Ltd., Asset-Backed Certificates,
Series 2006-1A, Cl. B, 3.249%, 9/15/412,6 |
9,583,334 | 7,187,500 | ||||||
Centre Point Funding LLC, Asset-Backed Nts.,
Series 2010-1A, Cl. 1, 5.43%, 7/20/153 |
355,701 | 374,074 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2003-C4, Cl. C4, 5%, 6/10/15 |
430,000 | 449,380 | ||||||
Citibank Omni Master Trust, Credit Card Receivables,
Series 2009-A13, Cl. A13, 5.35%, 8/15/183 |
3,315,000 | 3,656,992 | ||||||
CLI Funding LLC, Equipment Asset-Backed Nts.,
Series 2006-1A, Cl. A, 0.426%, 8/18/213,6 |
6,126,273 | 5,740,661 | ||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts.,
Series 2011-1, Cl. 1A, 1.049%, 1/20/416 |
1,675,000 | 1,676,700 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts.,
Series 2011-1, Cl. A, 3.91%, 3/15/16 |
1,465,000 | 1,488,249 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts.,
Series 2009-1, Cl. A1, 2.98%, 10/15/153 |
538,169 | 540,450 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/153 |
2,035,000 | 2,042,370 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts.,
Series 2011-2A, Cl. C, 3.05%, 7/15/133 |
495,000 | 494,831 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts.,
Series 2011-3A, Cl. C, 4.03%, 12/15/412 |
$ | 1,491,000 | $ | 1,493,055 | ||||
Exeter Automobile Receivables Trust, Automobile Receivable Nts.,
Series 2012-1A, Cl. A, 2.02%, 8/15/162,5 |
1,305,000 | 1,305,000 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts.,
Series 2011-1, Cl. A2, 1.47%, 3/16/15 |
935,665 | 933,784 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts.,
Series 2009-2, Cl. A, 1.799%, 9/15/146 |
1,700,000 | 1,713,446 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts.,
Series 2010-1, Cl. A, 1.899%, 12/15/143,6 |
1,770,000 | 1,790,368 | ||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts.,
Series 2011-1, Cl. A1, 2.12%, 2/15/16 |
1,775,000 | 1,815,364 | ||||||
Ford Credit Floorplan Master Owner Trust, Automobile Receivable Nts.,
Series 2012-1, Cl. A, 0.857%, 1/15/166 |
2,370,000 | 2,375,356 | ||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities,
Series 2009-2A, Cl. A, 1.799%, 10/20/143,6 |
1,705,000 | 1,718,862 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts.,
Series 2011-1A, Cl. A, 3.72%, 2/15/233 |
1,620,000 | 1,625,494 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts.,
Series 2010-1A, Cl. A1, 2.60%, 2/25/153 |
2,700,000 | 2,752,315 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables,
Series 2003-C7, Cl. C7, 1.599%, 3/15/166 |
1,800,000 | 1,811,254 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts.,
Series 2010-B, Cl. A3, 1.12%, 12/15/13 |
1,540,000 | 1,545,455 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts.,
Series 2010-AA, Cl. A, 1.399%, 1/15/153,6 |
1,720,000 | 1,734,398 | ||||||
NuCO2 Funding LLC, Asset-Backed Nts.,
Series 2008-1A, Cl. A1, 7.25%, 6/25/382 |
25,000,000 | 26,000,000 | ||||||
Rental Car Finance Corp., Automobile Receivable Nts.,
Series 2011-1A, Cl. A1, 2.51%, 2/25/163 |
1,290,000 | 1,293,417 | ||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile
Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 |
445,304 | 445,427 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile
Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 |
1,670,000 | 1,676,237 | ||||||
Santander Drive Auto Receivables Trust 2010-A,
Automobile Receivables Nts.: |
||||||||
Series 2010-A, Cl. A2, 1.37%, 8/15/133 |
581,432 | 582,029 | ||||||
Series 2010-A, Cl. A3, 1.83%, 11/17/143 |
1,000,000 | 1,008,196 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 |
1,715,000 | 1,725,349 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/172 |
1,635,216 | 1,620,908 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile
Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/173 |
$ | 1,237,295 | $ | 1,235,748 | ||||
Santander Drive Auto Receivables Trust 2012-1, Automobile
Receivables Nts., Series 2012-1, Cl. A2, 1.25%, 4/15/15 |
1,180,000 | 1,179,976 | ||||||
Structured Asset Securities Corp., Mtg. Loan Asset-Backed
Certificates, Series 2007-GEL2, Cl. A2, 0.564%, 5/25/376 |
10,000,000 | 5,597,360 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile
Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 |
1,530,000 | 1,533,558 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/143 |
760,000 | 760,761 | ||||||
Total Asset-Backed Securities (Cost $145,646,627) |
144,914,803 | |||||||
U.S. Government Obligations1.4% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
0.50%, 4/17/15 |
5,136,000 | 5,144,957 | ||||||
2%, 8/25/16 |
560,000 | 587,346 | ||||||
2.375%, 1/13/22 |
3,075,000 | 3,116,663 | ||||||
2.50%, 5/27/16 |
795,000 | 849,493 | ||||||
5%, 2/16/17 |
910,000 | 1,079,059 | ||||||
5.25%, 4/18/16 |
1,600,000 | 1,882,907 | ||||||
5.50%, 7/18/16 |
910,000 | 1,092,066 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
0.375%, 3/16/15 |
3,922,000 | 3,904,665 | ||||||
1.125%, 4/27/175 |
2,683,000 | 2,680,169 | ||||||
5.375%, 6/12/17 |
1,049,000 | 1,278,066 | ||||||
Total U.S. Government Obligations (Cost $21,168,792) |
21,615,391 | |||||||
Non-Convertible Corporate Bonds and Notes20.5% |
||||||||
Consumer Discretionary3.0% |
||||||||
Auto Components0.1% |
||||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 |
1,451,000 | 1,577,963 | ||||||
Automobiles0.3% |
||||||||
Daimler Finance North America LLC, 2.30% Sr. Unsec. Nts., 1/9/153 |
1,177,000 | 1,198,064 | ||||||
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 |
830,000 | 1,233,924 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 |
1,769,000 | 1,977,195 | ||||||
4,409,183 | ||||||||
Diversified Consumer Services0.1% |
||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 |
1,738,000 | 1,927,008 | ||||||
Hotels, Restaurants & Leisure0.4% |
||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/153 |
2,591,000 | 2,809,831 | ||||||
Marriott International, Inc.: |
||||||||
3% Sr. Unsec. Unsub. Nts., 3/1/193 |
553,000 | 553,272 |
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure Continued |
||||||||
Marriott International, Inc.: Continued |
||||||||
6.20% Sr. Unsec. Unsub. Nts., 6/15/16 |
$ | 1,810,000 | $ | 2,120,366 | ||||
Starwood Hotels & Resorts Worldwide, Inc.,
7.15% Sr. Unsec. Unsub. Nts., 12/1/19 |
400,000 | 480,000 | ||||||
5,963,469 | ||||||||
Household Durables0.3% |
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
1,637,000 | 1,740,336 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 |
1,574,000 | 1,647,276 | ||||||
Whirlpool Corp.: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 |
601,000 | 625,166 | ||||||
8% Sr. Unsec. Nts., 5/1/12 |
1,290,000 | 1,303,722 | ||||||
5,316,500 | ||||||||
Leisure Equipment & Products0.1% |
||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 |
1,475,000 | 1,549,091 | ||||||
Media1.0% |
||||||||
CBS Corp., 3.375% Sr. Unsec. Unsub. Nts., 3/1/225 |
809,000 | 804,179 | ||||||
Comcast Cable Communications Holdings, Inc.,
9.455% Sr. Unsec. Nts., 11/15/22 |
995,000 | 1,473,796 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 |
1,505,000 | 1,708,175 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
6.375% Sr. Unsec. Nts., 3/1/41 |
809,000 | 975,481 | ||||||
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 |
1,607,000 | 1,791,805 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 |
547,000 | 584,624 | ||||||
Interpublic Group of Cos., Inc. (The): |
||||||||
4% Sr. Nts., 3/15/225 |
472,000 | 469,043 | ||||||
6.25% Sr. Unsec. Nts., 11/15/14 |
586,000 | 642,403 | ||||||
10% Sr. Unsec. Nts., 7/15/17 |
2,067,000 | 2,377,050 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 |
972,000 | 1,158,850 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 |
876,000 | 1,150,142 | ||||||
Virgin Media Secured Finance plc: |
||||||||
5.25% Sr. Sec. Nts., 1/15/21 |
895,000 | 981,514 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 |
1,981,000 | 2,169,195 | ||||||
16,286,257 | ||||||||
Multiline Retail0.3% |
||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 |
914,000 | 943,397 | ||||||
Macys Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 |
2,550,000 | 2,806,941 | ||||||
3,750,338 | ||||||||
Specialty Retail0.4% |
||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 |
1,592,000 | 1,759,160 |
Principal | ||||||||
Amount | Value | |||||||
Specialty Retail Continued |
||||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
$ | 1,688,000 | $ | 1,766,070 | ||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/193 |
1,636,000 | 1,766,880 | ||||||
Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14 |
1,373,000 | 1,575,242 | ||||||
6,867,352 | ||||||||
Consumer Staples1.3% |
||||||||
Beverages0.3% |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
632,000 | 994,344 | ||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 |
440,000 | 486,003 | ||||||
Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/223 |
1,550,000 | 1,612,448 | ||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42 |
1,006,000 | 1,081,644 | ||||||
4,174,439 | ||||||||
Food & Staples Retailing0.2% |
||||||||
Delhaize Group: |
||||||||
5.70% Sr. Unsec. Nts., 10/1/40 |
464,000 | 437,821 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 2/1/14 |
1,403,000 | 1,510,258 | ||||||
Kroger Co. (The), 5% Sr. Nts., 4/15/13 |
1,477,000 | 1,541,666 | ||||||
3,489,745 | ||||||||
Food Products0.4% |
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 |
463,000 | 487,941 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
900,000 | 1,114,529 | ||||||
Kraft Foods, Inc.: |
||||||||
6% Sr. Unsec. Nts., 2/11/13 |
1,495,000 | 1,569,584 | ||||||
6.50% Sr. Unsec. Unsub. Nts., 2/9/40 |
904,000 | 1,177,653 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 |
1,590,000 | 1,745,025 | ||||||
6,094,732 | ||||||||
Household Products0.1% |
||||||||
Energizer Holdings, Inc., 4.70% Sr. Unsec. Unsub. Nts., 5/19/21 |
1,692,000 | 1,794,953 | ||||||
Tobacco0.3% |
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
1,240,000 | 1,978,724 | ||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 |
1,083,000 | 1,204,218 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 |
1,594,000 | 1,695,300 | ||||||
4,878,242 | ||||||||
Energy2.2% |
||||||||
Energy Equipment & Services0.6% |
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 |
1,742,000 | 1,910,230 | ||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 |
2,079,000 | 2,408,927 | ||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14 |
1,388,000 | 1,542,690 |
Principal | ||||||||
Amount | Value | |||||||
Energy Equipment & Services Continued |
||||||||
Precision Drilling Corp.: |
||||||||
6.50% Sr. Unsec. Nts., 12/15/213 |
$ | 751,000 | $ | 805,448 | ||||
6.625% Sr. Unsec. Nts., 11/15/20 |
717,000 | 771,671 | ||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 |
1,765,000 | 1,896,440 | ||||||
9,335,406 | ||||||||
Oil, Gas & Consumable Fuels1.6% |
||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 |
1,088,000 | 1,309,871 | ||||||
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/213 |
1,137,000 | 1,227,744 | ||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/133 |
1,584,000 | 1,678,931 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 |
766,000 | 821,535 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 |
2,344,000 | 2,622,847 | ||||||
Energy Transfer Partners LP: |
||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 |
1,287,000 | 1,353,452 | ||||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 |
465,000 | 501,356 | ||||||
Enterprise Products Operating LLC, 4.85% Sr. Unsec. Unsub. Nts., 8/15/42 |
854,000 | 864,889 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 |
2,761,000 | 2,881,598 | ||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 |
1,560,000 | 1,692,600 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 |
1,713,000 | 1,967,946 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 |
1,578,000 | 1,767,360 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/143 |
1,466,000 | 1,579,615 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/153 |
2,031,000 | 1,970,070 | ||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/223,5 |
809,000 | 808,005 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 |
130,000 | 135,473 | ||||||
Woodside Finance Ltd.: |
||||||||
4.60% Sr. Unsec. Nts., 5/10/213 |
1,223,000 | 1,281,156 | ||||||
5% Sr. Unsec. Nts., 11/15/133 |
1,569,000 | 1,648,983 | ||||||
26,113,431 | ||||||||
Financials8.2% |
||||||||
Capital Markets1.8% |
||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/193 |
2,840,000 | 3,022,927 | ||||||
Credit Suisse Guernsey Ltd., 5.86% Jr. Sub. Perpetual Nts.9 |
3,128,000 | 2,862,120 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 |
1,639,000 | 1,536,856 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
5.25% Sr. Unsec. Nts., 7/27/21 |
1,367,000 | 1,371,348 | ||||||
5.75% Sr. Unsec. Nts., 1/24/22 |
972,000 | 1,016,220 | ||||||
6.25% Sr. Nts., 2/1/41 |
1,534,000 | 1,586,234 | ||||||
Macquarie Bank Ltd.: |
||||||||
5% Sr. Nts., 2/22/173 |
518,000 | 524,182 | ||||||
6.625% Unsec. Sub. Nts., 4/7/213 |
2,342,000 | 2,313,425 | ||||||
Mellon Capital IV, 6.244% Perpetual Bonds9 |
6,000,000 | 5,047,500 |
Principal | ||||||||
Amount | Value | |||||||
Capital Markets Continued |
||||||||
Morgan Stanley: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/203 |
$ | 1,063,000 | $ | 1,048,493 | ||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 |
259,000 | 265,999 | ||||||
5.625% Sr. Unsec. Nts., 9/23/19 |
3,798,000 | 3,802,258 | ||||||
6.25% Sr. Unsec. Nts., 8/28/17 |
1,000,000 | 1,049,649 | ||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 |
1,568,000 | 1,593,083 | ||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 |
1,765,000 | 1,794,460 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 |
667,000 | 669,288 | ||||||
29,504,042 | ||||||||
Commercial Banks2.0% |
||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/123 |
1,820,000 | 1,841,964 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 |
3,032,000 | 3,024,420 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/356 |
4,160,000 | 3,754,400 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/203 |
2,824,000 | 2,717,631 | ||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 |
1,067,000 | 1,105,804 | ||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 |
1,634,000 | 1,659,332 | ||||||
Wachovia Capital Trust III, 5.57% Perpetual Bonds6,9 |
11,000,000 | 10,120,000 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K9 |
4,192,000 | 4,579,760 | ||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 |
2,380,000 | 2,548,892 | ||||||
31,352,203 | ||||||||
Consumer Finance0.4% |
||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 |
1,577,000 | 1,655,648 | ||||||
Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19 |
2,295,000 | 2,765,849 | ||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16 |
2,431,000 | 2,542,843 | ||||||
6,964,340 | ||||||||
Diversified Financial Services1.7% |
||||||||
Bank of America Corp.: |
||||||||
3.75% Sr. Unsec. Unsub. Nts., 7/12/16 |
1,720,000 | 1,701,761 | ||||||
5.70% Sr. Unsec. Unsub. Nts., 1/24/22 |
1,689,000 | 1,792,961 | ||||||
Citigroup, Inc.: |
||||||||
5.875% Sr. Unsec. Unsub. Nts., 1/30/42 |
739,000 | 788,446 | ||||||
6.125% Sr. Unsec. Unsub. Nts., 11/21/17 |
4,317,000 | 4,842,478 | ||||||
ING Bank NV: |
||||||||
3.75% Unsec. Nts., 3/7/173,5 |
2,164,000 | 2,152,877 | ||||||
5% Sr. Unsec. Nts., 6/9/213 |
1,190,000 | 1,222,231 | ||||||
Irish Life & Permanent Group Holdings plc,
3.60% Sr. Unsec. Unsub. Nts., 1/14/133 |
1,130,000 | 1,089,374 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 19 |
9,712,000 | 10,601,911 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 |
2,285,000 | 2,474,561 | ||||||
26,666,600 |
Principal | ||||||||
Amount | Value | |||||||
Insurance1.8% |
||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 |
$ | 437,000 | $ | 530,872 | ||||
CNA Financial Corp.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 |
1,361,000 | 1,462,924 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 |
851,000 | 925,820 | ||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/123 |
1,538,000 | 1,563,958 | ||||||
Hartford Financial Services Group, Inc. (The),
6.625% Sr. Unsec. Unsub. Nts., 3/30/40 |
1,050,000 | 1,057,290 | ||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 |
1,594,000 | 1,625,459 | ||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/213 |
2,406,000 | 2,404,756 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 |
3,280,000 | 3,034,000 | ||||||
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 |
5,000,000 | 7,143,570 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds3,9 |
3,339,000 | 3,015,718 | ||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 |
1,096,000 | 1,166,064 | ||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 |
1,689,000 | 1,721,512 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/372,6 |
2,966,000 | 2,810,285 | ||||||
28,462,228 | ||||||||
Real Estate Investment Trusts0.5% |
||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
440,000 | 455,158 | ||||||
7% Sr. Unsec. Nts., 10/15/17 |
1,156,000 | 1,335,164 | ||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 |
859,000 | 860,672 | ||||||
CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14 |
1,482,000 | 1,532,222 | ||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 |
1,609,000 | 1,692,776 | ||||||
Rayonier, Inc., 3.75% Sr. Unsec. Nts., 4/1/225 |
885,000 | 887,036 | ||||||
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/143 |
1,426,000 | 1,581,207 | ||||||
8,344,235 | ||||||||
Health Care0.4% |
||||||||
Biotechnology0.1% |
||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 |
1,053,000 | 1,155,935 | ||||||
Health Care Providers & Services0.2% |
||||||||
Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/223 |
1,110,000 | 1,137,038 | ||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 |
854,000 | 1,124,205 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 |
1,086,000 | 1,190,395 | ||||||
3,451,638 | ||||||||
Pharmaceuticals0.1% |
||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/183 |
1,791,000 | 1,882,789 | ||||||
Industrials1.1% |
||||||||
Aerospace & Defense0.1% |
||||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 |
1,588,000 | 1,772,605 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Services & Supplies0.2% |
||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 |
$ | 1,691,000 | $ | 1,851,645 | ||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 |
1,505,000 | 1,595,300 | ||||||
3,446,945 | ||||||||
Industrial Conglomerates0.3% |
||||||||
General Electric Capital Corp.: |
||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 |
1,490,000 | 1,506,019 | ||||||
5.25% Sr. Unsec. Nts., 10/19/12 |
260,000 | 267,770 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 |
3,251,000 | 3,307,893 | ||||||
5,081,682 | ||||||||
Machinery0.3% |
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/163 |
1,580,000 | 1,706,400 | ||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 |
727,000 | 799,864 | ||||||
Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22 |
1,102,000 | 1,108,129 | ||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/173 |
1,426,000 | 1,589,990 | ||||||
5,204,383 | ||||||||
Professional Services0.0% |
||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 |
260,000 | 282,425 | ||||||
Road & Rail0.2% |
||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 |
452,000 | 523,299 | ||||||
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18 |
1,384,000 | 1,546,620 | ||||||
2,069,919 | ||||||||
Information Technology0.7% |
||||||||
Communications Equipment0.0% |
||||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 |
655,000 | 764,306 | ||||||
Computers & Peripherals0.1% |
||||||||
Hewlett-Packard Co., 4.65% Sr. Unsec. Nts., 12/9/21 |
1,253,000 | 1,353,341 | ||||||
Electronic Equipment & Instruments0.2% |
||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 |
3,045,000 | 3,127,468 | ||||||
Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42 |
634,000 | 646,237 | ||||||
3,773,705 | ||||||||
Office Electronics0.1% |
||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 |
1,571,000 | 1,650,238 | ||||||
Semiconductors & Semiconductor Equipment0.1% |
||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 |
1,108,000 | 1,332,123 | ||||||
Software0.2% |
||||||||
BMC Software, Inc., 4.25% Sr. Unsec. Nts., 2/15/22 |
550,000 | 570,048 | ||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 |
1,864,000 | 1,940,474 | ||||||
2,510,522 |
Principal | ||||||||
Amount | Value | |||||||
Materials1.5% |
||||||||
Chemicals0.4% |
||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 |
$ | 717,000 | $ | 886,683 | ||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 |
2,786,000 | 2,896,365 | ||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 |
1,495,000 | 1,685,613 | ||||||
Mosaic Co. (The), 4.875% Sr. Unsec. Unsub. Nts., 11/15/41 |
1,043,000 | 1,073,659 | ||||||
Valspar Corp. (The), 4.20% Sr. Unsec. Unsub. Nts., 1/15/22 |
806,000 | 839,268 | ||||||
7,381,588 | ||||||||
Containers & Packaging0.2% |
||||||||
Crown Americas LLC/Crown Americas Capital Corp. III,
6.25% Sr. Unsec. Nts., 2/1/21 |
1,562,000 | 1,737,725 | ||||||
Rock-Tenn Co., 4.90% Sr. Unsec. Nts., 3/1/223 |
563,000 | 573,855 | ||||||
Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/213 |
1,355,000 | 1,558,250 | ||||||
3,869,830 | ||||||||
Metals & Mining0.8% |
||||||||
ArcelorMittal, 5.50% Sr. Unsec. Unsub. Nts., 3/1/21 |
946,000 | 936,359 | ||||||
Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub. Nts., 10/1/40 |
431,000 | 469,376 | ||||||
Freeport-McMoRan Copper & Gold, Inc.: |
||||||||
3.55% Sr. Unsec. Nts., 3/1/22 |
1,149,000 | 1,145,514 | ||||||
8.375% Sr. Nts., 4/1/17 |
2,365,000 | 2,475,684 | ||||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 |
2,519,000 | 2,859,065 | ||||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 |
1,609,000 | 1,658,116 | ||||||
Xstrata Canada Corp.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 |
1,190,000 | 1,301,861 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 |
1,267,000 | 1,404,689 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 |
168,000 | 171,854 | ||||||
12,422,518 | ||||||||
Paper & Forest Products0.1% |
||||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 |
696,000 | 805,775 | ||||||
Telecommunication Services1.1% |
||||||||
Diversified Telecommunication Services1.0% |
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 |
2,067,000 | 2,558,870 | ||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30 |
1,010,000 | 1,538,291 | ||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 |
1,043,000 | 1,071,072 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 |
1,732,000 | 1,879,220 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 |
1,589,000 | 1,815,679 | ||||||
Telecom Italia Capital SA: |
||||||||
7.175% Sr. Unsec. Unsub. Nts., 6/18/19 |
2,094,000 | 2,172,525 | ||||||
7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
665,000 | 631,750 |
Principal | ||||||||
Amount | Value | |||||||
Diversified Telecommunication Services Continued |
||||||||
Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts., 2/16/21 |
$ | 1,445,000 | $ | 1,455,728 | ||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 |
982,000 | 1,232,462 | ||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 |
1,536,000 | 1,739,520 | ||||||
16,095,117 | ||||||||
Wireless Telecommunication Services0.1% |
||||||||
America Movil SAB de CV, 6.125% Sr. Unsec. Unsub. Nts., 3/30/40 |
748,000 | 905,427 | ||||||
Utilities1.0% |
||||||||
Electric Utilities0.7% |
||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/123 |
1,474,000 | 1,484,544 | ||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 |
1,140,000 | 1,213,320 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 |
993,000 | 1,163,685 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 |
1,659,000 | 1,674,819 | ||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 |
1,620,000 | 1,627,097 | ||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22 |
1,453,000 | 1,844,042 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/213 |
2,320,000 | 2,542,662 | ||||||
11,550,169 | ||||||||
Energy Traders0.1% |
||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 |
1,575,000 | 1,683,722 | ||||||
Multi-Utilities0.2% |
||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 |
1,454,000 | 1,600,437 | ||||||
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41 |
398,000 | 416,762 | ||||||
2,017,199 | ||||||||
Total
Non-Convertible Corporate Bonds and Notes (Cost $311,631,168) |
327,285,658 | |||||||
Convertible Corporate Bonds and Notes5.0% |
||||||||
Advanced Micro Devices, Inc., 6% Cv. Sr. Unsec. Nts., 5/1/15 |
12,210,000 | 12,728,925 | ||||||
Alcatel-Lucent USA, Inc., 2.875% Cv. Sr. Unsec. Unsub. Debs., Series B, 6/15/25 |
15,662,000 | 15,094,253 | ||||||
Amylin Pharmaceuticals, Inc., 3% Cv. Sr. Unsec. Nts., 6/15/14 |
13,000,000 | 12,528,750 | ||||||
Chiquita Brands International, Inc., 4.25% Cv. Sr. Unsec. Unsub. Nts., 8/15/16 |
13,600,000 | 12,903,000 | ||||||
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/296 |
4,925,000 | 5,417,500 | ||||||
Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/376 |
12,000,000 | 11,970,000 | ||||||
LifePoint Hospitals, Inc.: |
||||||||
3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 |
4,000,000 | 4,105,000 | ||||||
3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 |
5,000,000 | 5,281,250 | ||||||
Total
Convertible Corporate Bonds and Notes (Cost $73,224,990) |
80,028,678 |
Shares | ||||||||
Structured Securities0.3% |
||||||||
Deutsche Bank AG, London Branch, Allegheny Technologies, Inc.,
Equity Linked Nts.2 (Cost $4,966,853) |
92,064 | 5,404,157 |
Principal | ||||||||
Amount | Value | |||||||
Event-Linked Bonds0.6% |
||||||||
Calypso Capital Ltd. Catastrophe Linked Nts.,
Series 2010-1, Cl. A, 4.896%, 1/10/143,6 |
2,041,000 | EUR | $ | 2,704,343 | ||||
Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A, 5.83%, 2/3/143,6 |
2,100,000 | 2,069,970 | ||||||
Longpoint Re Ltd. Catastrophe Linked Nts., 5.40%, 12/24/123,6 |
1,606,000 | 1,601,503 | ||||||
Midori Ltd. Catastrophe Linked Nts., 3.317%, 10/24/123,6 |
3,000,000 | 2,975,700 | ||||||
Total Event-Linked Bonds (Cost $9,519,344) |
9,351,516 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased0.0% |
||||||||||||||||
Chicago Board Options Exchange
Volatility Index Call1 |
3/21/12 | $ | 40.000 | 1,000 | 15,000 | |||||||||||
Standard & Poors Depositary
Receipts Trust/Standard & Poors 500
Exchange Traded Funds, Series 1 Call1 |
4/23/12 | 141.000 | 5,500 | 550,000 | ||||||||||||
Total Options Purchased (Cost $1,053,158) |
565,000 |
Swaption | ||||||||||||
Expiration | Notional | |||||||||||
Date | Amount | |||||||||||
Swaptions Purchased0.4% |
||||||||||||
Goldman Sachs Group, Inc. (The), Swap
Counterparty, Interest Rate Swap call option;
Swap Terms: Received: Three-Month BBA
LIBOR; Paid: 5.28%; Termination Date: 10/19/251 |
10/16/15 | 11,666,666 | 211,215 | |||||||||
Goldman Sachs Group, Inc. (The), Swap
Counterparty, Interest Rate Swap call option;
Swap Terms: Received: Three-Month BBA
LIBOR; Paid: 5.445%; Termination Date: 11/9/251 |
11/6/15 | 11,666,666 | 198,164 | |||||||||
Goldman Sachs Group, Inc. (The), Swap
Counterparty, Interest Rate Swap call option;
SwapTerms: Received: Three-Month BBA
LIBOR; Paid: 4%; Termination Date: 11/28/241 |
11/26/14 | 50,000,000 | 1,332,714 | |||||||||
JPMorgan Chase Bank NA, Swap
Counterparty, Interest Rate Swap call option;
Swap Terms: Received: Three-Month BBA
LIBOR; Paid: 4%; Termination Date: 12/3/241 |
12/2/14 | 50,000,000 | 1,322,872 | |||||||||
JPMorgan Chase Bank NA, Swap
Counterparty, Interest Rate Swaption
(European) call option; Swap Terms: Received: Three-Month BBA LIBOR;
Paid: 4%; Termination Date: 2/26/251 |
2/25/15 | 50,000,000 | 1,479,226 | |||||||||
JPMorgan Chase Bank NA, Swap
Counterparty, Interest Rate Swaption
(European) call option; Swap Terms: Received: Three-Month BBA LIBOR;
Paid: 4.50%; Termination Date: 2/28/271 |
2/27/17 | 50,000,000 | 2,007,744 | |||||||||
Total Swaptions Purchased (Cost $7,992,500) |
6,551,935 |
Shares | Value | |||||||
Investment Companies21.1% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.21%10,11 |
206,582,911 | $ | 206,582,911 | |||||
Oppenheimer Master Loan Fund, LLC10 |
8,967,621 | 110,141,827 | ||||||
Oppenheimer Short Duration Fund, Cl. Y10 |
2,003,467 | 20,074,744 | ||||||
Total Investment Companies (Cost $337,470,147) |
336,799,482 | |||||||
Total Investments, at Value (Cost $1,743,334,272) |
116.4 | % | 1,856,753,194 | |||||
Liabilities in Excess of Other Assets |
(16.4 | ) | (261,640,599 | ) | ||||
Net Assets |
100.0 | % | $ | 1,595,112,595 | ||||
1. | Non-income producing security. | |
2. | Restricted security. The aggregate value of restricted securities as of February 29, 2012 was $90,316,717, which represents 5.66% 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, 0.519%, 6/15/32 |
7/28/10-10/21/10 | $ | 28,655,316 | $ | 28,088,256 | $ | (567,060 | ) | ||||||||
Airspeed Ltd., Airplane Receivables,
Series 2007-1A, Cl. G2, 0.529%, 6/15/32 |
4/8/11 | 10,285,800 | 9,657,556 | (628,244 | ) | |||||||||||
Blade Engine Securitization Ltd., Asset-Backed
Certificates, Series 2006-1A, Cl. B, 3.249%, 9/15/41 |
11/10/09 | 6,132,284 | 7,187,500 | 1,055,216 | ||||||||||||
Bond Street Holdings LLC, Cl. A |
11/4/09 | 7,500,000 | 6,750,000 | (750,000 | ) | |||||||||||
Deutsche Bank AG, London Branch, Allegheny
Technologies, Inc. Equity Linked Nts. |
1/5/12 | 4,966,853 | 5,404,157 | 437,304 | ||||||||||||
DT Auto Owner Trust 2011-3A, Automobile
Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41 |
11/2/11 | 1,490,881 | 1,493,055 | 2,174 | ||||||||||||
Exeter Automobile Receivables Trust, Automobile
Receivable Nts., Series 2012-1A, Cl. A, 2.02%, 8/15/16 |
2/23/12 | 1,304,994 | 1,305,000 | 6 | ||||||||||||
NuCO2 Funding LLC, Asset-Backed Nts.,
Series 2008-1A, Cl. A1, 7.25%, 6/25/38 |
1/25/11 | 26,847,776 | 26,000,000 | (847,776 | ) | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A,
Automobile Receivables Nts., Series 2011-S1A,
Cl. D, 3.10%, 5/15/17 |
2/4/11-2/9/12 | 1,637,118 | 1,620,908 | (16,210 | ) | |||||||||||
ZFS Finance USA Trust V, 6.50% Jr.
Sub. Bonds, 5/9/37 |
2/24/11-2/23/12 | 2,908,891 | 2,810,285 | (98,606 | ) | |||||||||||
$ | 91,729,913 | $ | 90,316,717 | $ | (1,413,196 | ) | ||||||||||
3. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $102,814,358 or 6.45% of the Funds net assets as of February 29, 2012. | |
4. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $721,756. See Note 5 of the accompanying Notes. |
5. | When-issued security or delayed delivery to be delivered and settled after February 29, 2012. See Note 1 of the accompanying Notes. | |
6. | Represents the current interest rate for a variable or increasing rate security. | |
7. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $20,057,878 or 1.26% of the Funds net assets as of February 29, 2012. | |
8. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $362,539 or 0.02% of the Funds net assets as of February 29, 2012. | |
9. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
10. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended February 29, 2012, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
August 31, 2011 | Additions | Reductions | February 29, 2012 | |||||||||||||
Oppenheimer Institutional
Money Market Fund, Cl. E |
286,727,498 | 213,529,484 | 293,674,071 | 206,582,911 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
6,879,066 | 2,088,555 | | 8,967,621 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y |
1,000,000 | 1,003,467 | | 2,003,467 |
Realized | ||||||||||||
Value | Income | Loss | ||||||||||
Oppenheimer
Institutional Money Market Fund, Cl. E |
$ | 206,582,911 | $ | 249,877 | $ | | ||||||
Oppenheimer Master Loan Fund, LLC |
110,141,827 | 3,235,811 | a | 699,156 | a | |||||||
Oppenheimer Short Duration Fund, Cl. Y |
20,074,744 | 45,825 | | |||||||||
$ | 336,799,482 | $ | 3,531,513 | $ | 699,156 | |||||||
a. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. |
11. | Rate shown is the 7-day yield as of February 29, 2012. |
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 |
$ | 35,863,580 | $ | | $ | | $ | 35,863,580 | ||||||||
Consumer Staples |
50,013,776 | | | 50,013,776 | ||||||||||||
Energy |
57,620,777 | | | 57,620,777 | ||||||||||||
Financials |
74,975,843 | 6,750,000 | | 81,725,843 | ||||||||||||
Health Care |
53,545,130 | | | 53,545,130 | ||||||||||||
Industrials |
43,011,786 | | | 43,011,786 | ||||||||||||
Information Technology |
80,744,799 | | | 80,744,799 | ||||||||||||
Materials |
26,789,989 | | | 26,789,989 | ||||||||||||
Telecommunication Services |
7,112,175 | | | 7,112,175 | ||||||||||||
Utilities |
22,194,195 | | | 22,194,195 | ||||||||||||
Preferred Stocks |
| 14,115,403 | | 14,115,403 | ||||||||||||
Rights, Warrants and Certificates |
820,993 | 600 | | 821,593 | ||||||||||||
Mortgage-Backed Obligations |
| 450,677,528 | | 450,677,528 | ||||||||||||
Asset-Backed Securities |
| 144,914,803 | | 144,914,803 | ||||||||||||
U.S. Government Obligations |
| 21,615,391 | | 21,615,391 | ||||||||||||
Non-Convertible Corporate Bonds and Notes |
| 327,285,658 | | 327,285,658 | ||||||||||||
Convertible
Corporate Bonds and Notes |
| 80,028,678 | | 80,028,678 | ||||||||||||
Structured Securities |
| 5,404,157 | | 5,404,157 | ||||||||||||
Event-Linked Bonds |
| 9,351,516 | | 9,351,516 | ||||||||||||
Options Purchased |
565,000 | | | 565,000 | ||||||||||||
Swaptions Purchased |
| 6,551,935 | | 6,551,935 | ||||||||||||
Investment Companies |
226,657,655 | 110,141,827 | | 336,799,482 | ||||||||||||
Total Investments, at Value |
679,915,698 | 1,176,837,496 | | 1,856,753,194 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
203,309 | | | 203,309 | ||||||||||||
Appreciated swaps, at value |
| 2,878,281 | | 2,878,281 | ||||||||||||
Depreciated swaps, at value |
| 1,170,881 | | 1,170,881 | ||||||||||||
Total Assets |
$ | 680,119,007 | $ | 1,180,886,658 | $ | | $ | 1,861,005,665 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts |
$ | | $ | (65,677 | ) | $ | | $ | (65,677 | ) | ||||||
Futures margins |
(556,425 | ) | | | (556,425 | ) | ||||||||||
Total Liabilities |
$ | (556,425 | ) | $ | (65,677 | ) | $ | | $ | (622,102 | ) | |||||
Contract | ||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | |||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Depreciation | |||||||||||||||
Citigroup |
||||||||||||||||||||
Euro (EUR) |
Sell | 2,555 | EUR | 5/17/12 | $ | 3,405,323 | $ | 65,677 |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
Euro-BTP |
Sell | 20 | 3/8/12 | $ | 2,828,479 | $ | (400,327 | ) | ||||||||||||
U.S. Long Bonds |
Buy | 303 | 6/20/12 | 42,921,844 | 243,338 | |||||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 541 | 6/29/12 | 119,146,797 | 14,962 | |||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 372 | 6/29/12 | 45,819,938 | (7,776 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 272 | 6/20/12 | 35,619,250 | (71,027 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 49 | 6/20/12 | 6,416,703 | 9,563 | |||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 201 | 6/20/12 | 31,607,250 | (16,228 | ) | ||||||||||||||
$ | (227,495 | ) | ||||||||||||||||||
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 | 4,500 | EUR | 3.00 | % | 9/20/16 | $ | (128,551 | ) | $ | 61,022 | $ | (67,529 | ) | ||||||||||||||
Total | 4,500 | EUR | (128,551 | ) | 61,022 | (67,529 | ) | |||||||||||||||||||||
Germany (Federal Republic of): |
||||||||||||||||||||||||||||
Goldman Sachs International |
Buy | 50,000 | 0.25 | 9/20/15 | (596,126 | ) | 514,808 | (81,318 | ) | |||||||||||||||||||
Goldman Sachs International |
Buy | 25,000 | 0.25 | 12/20/16 | (815,797 | ) | 595,051 | (220,746 | ) | |||||||||||||||||||
Total | 75,000 | (1,411,923 | ) | 1,109,859 | (302,064 | ) | ||||||||||||||||||||||
ITRAXX Europe Sub
Financials, Series 14 |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 24,000 | EUR | 1.00 | 12/20/15 | (2,393,070 | ) | 2,599,979 | 206,909 | |||||||||||||||||||
Total | 24,000 | EUR | (2,393,070 | ) | 2,599,979 | 206,909 | ||||||||||||||||||||||
Grand Total Buys | (3,933,544 | ) | 3,770,860 | (162,684 | ) | |||||||||||||||||||||||
Grand Total Sells | | | | |||||||||||||||||||||||||
Total Credit Default Swaps | $ | (3,933,544 | ) | $ | 3,770,860 | $ | (162,684 | ) | ||||||||||||||||||||
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
KMI Equity |
||||||||||||||
JPMorgan Chase Bank NA
|
$ | 2,815 | Minus 5 and if negative, the absolute value of the Total Return of the common stock of Kinder Morgan, Inc. | If positive, the Total Return of the common stock of Kinder Morgan, Inc./The earlier of three business days past completion or breakdown of takeover of El Paso Corp. by Kinder Morgan, Inc. or 8/3/12 | 8/3/12 | $ | 278,302 |
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||||
Barclays Bank plc |
Credit Default Buy Protection | 24,000 | EUR | $ | 2,599,979 | |||||||
Goldman Sachs International: |
||||||||||||
Credit Default Buy Protection | 4,500 | EUR | 61,022 | |||||||||
Credit Default Buy Protection | 75,000 | 1,109,859 | ||||||||||
1,170,881 | ||||||||||||
JPMorgan Chase Bank NA |
Total Return | 2,815 | 278,302 | |||||||||
Total Swaps | $ | 4,049,162 | ||||||||||
February 29, 2012 | ||||
Assets |
||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $1,405,864,125) |
$ | 1,519,953,712 | ||
Affiliated companies (cost $337,470,147) |
336,799,482 | |||
1,856,753,194 | ||||
Cash |
897,755 | |||
Cash used for collateral on futures |
1,833,329 | |||
Appreciated swaps, at value (upfront payments paid $2,393,070) |
2,878,281 | |||
Depreciated swaps, at value (upfront payments paid $1,540,474) |
1,170,881 | |||
Receivables and other assets: |
||||
Investments sold (including $28,672,521 sold on a when-issued or delayed delivery basis) |
36,029,673 | |||
Interest, dividends and principal paydowns |
7,871,717 | |||
Shares of beneficial interest sold |
221,853 | |||
Futures margins |
203,309 | |||
Other |
144,753 | |||
Total assets |
1,908,004,745 | |||
Liabilities |
||||
Unrealized depreciation on foreign currency exchange contracts |
65,677 | |||
Payables and other liabilities: |
||||
Investments purchased (including $298,123,083 purchased on a when-issued
or delayed delivery basis) |
309,659,722 | |||
Shares of beneficial interest redeemed |
1,670,461 | |||
Futures margins |
556,425 | |||
Distribution and service plan fees |
314,276 | |||
Shareholder communications |
218,419 | |||
Transfer and shareholder servicing agent fees |
210,812 | |||
Trustees compensation |
128,491 | |||
Other |
67,867 | |||
Total liabilities |
312,892,150 | |||
Net Assets |
$ | 1,595,112,595 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 180,485 | ||
Additional paid-in capital |
2,024,317,361 | |||
Accumulated net investment income |
8,973,947 | |||
Accumulated net realized loss on investments and foreign currency transactions |
(551,602,738 | ) | ||
Net unrealized appreciation on investments and translation of assets and
liabilities denominated in foreign currencies |
113,243,540 | |||
Net Assets |
$ | 1,595,112,595 | ||
Net Asset Value Per Share |
||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of
$1,420,474,908 and 160,332,378 shares of beneficial interest outstanding) |
$ | 8.86 | ||
Maximum offering price per share (net asset value plus sales charge
of 5.75% of offering price) |
$ | 9.40 | ||
Class B Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $46,283,582
and 5,334,704 shares of beneficial interest outstanding) |
$ | 8.68 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $101,793,887
and 11,793,922 shares of beneficial interest outstanding) |
$ | 8.63 | ||
Class N Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $20,426,703
and 2,332,009 shares of beneficial interest outstanding) |
$ | 8.76 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on
net assets of $6,133,515 and 692,298 shares of beneficial interest outstanding) |
$ | 8.86 |
For the Six Months Ended February 29, 2012 | ||||||||||||||||||||||||
Allocation of Income and Expenses from Master Fund1 |
||||||||||||||||||||||||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: |
||||||||||||||||||||||||
Interest |
$ | 3,235,811 | ||||||||||||||||||||||
Expenses2 |
(150,028 | ) | ||||||||||||||||||||||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC |
3,085,783 | |||||||||||||||||||||||
Investment Income |
||||||||||||||||||||||||
Interest |
19,782,833 | |||||||||||||||||||||||
Dividends: |
||||||||||||||||||||||||
Unaffiliated companies (net of foreign withholding taxes of $8,978) |
6,292,240 | |||||||||||||||||||||||
Affiliated companies |
295,702 | |||||||||||||||||||||||
Fee income on when-issued securities |
2,624,533 | |||||||||||||||||||||||
Other income |
48,869 | |||||||||||||||||||||||
Total investment income |
29,044,177 | |||||||||||||||||||||||
Expenses |
||||||||||||||||||||||||
Management fees |
4,288,636 | |||||||||||||||||||||||
Distribution and service plan fees: |
||||||||||||||||||||||||
Class A |
1,566,756 | |||||||||||||||||||||||
Class B |
233,479 | |||||||||||||||||||||||
Class C |
488,220 | |||||||||||||||||||||||
Class N |
46,698 | |||||||||||||||||||||||
Transfer and shareholder servicing agent fees: |
||||||||||||||||||||||||
Class A |
1,224,562 | |||||||||||||||||||||||
Class B |
125,977 | |||||||||||||||||||||||
Class C |
128,707 | |||||||||||||||||||||||
Class N |
25,631 | |||||||||||||||||||||||
Class Y |
3,264 | |||||||||||||||||||||||
Shareholder communications: |
||||||||||||||||||||||||
Class A |
126,896 | |||||||||||||||||||||||
Class B |
13,701 | |||||||||||||||||||||||
Class C |
11,271 | |||||||||||||||||||||||
Class N |
2,252 | |||||||||||||||||||||||
Class Y |
78 | |||||||||||||||||||||||
Trustees compensation |
30,428 | |||||||||||||||||||||||
Custodian fees and expenses |
6,301 | |||||||||||||||||||||||
Administration service fees |
750 | |||||||||||||||||||||||
Other |
115,155 | |||||||||||||||||||||||
Total expenses |
8,438,762 | |||||||||||||||||||||||
Less waivers and reimbursements of expenses |
(336,371 | ) | ||||||||||||||||||||||
Net expenses |
8,102,391 | |||||||||||||||||||||||
Net Investment Income |
24,027,569 |
Realized and Unrealized Gain (Loss) |
||||
Net realized gain (loss) on: |
||||
Investments from unaffiliated companies (including premiums on options exercised) |
$ | (1,742,802 | ) | |
Closing and expiration of option contracts written |
529,721 | |||
Closing and expiration of futures contracts |
5,413,416 | |||
Foreign currency transactions |
346,630 | |||
Swap contracts |
383,323 | |||
Net realized loss allocated from
Oppenheimer Master Loan Fund, LLC |
(699,156 | ) | ||
Total net realized gain |
4,231,132 | |||
Net change in unrealized appreciation/depreciation on: |
||||
Investments |
41,747,827 | |||
Translation of assets and liabilities denominated in foreign currencies |
(760,686 | ) | ||
Futures contracts |
145,015 | |||
Swap contracts |
(3,235,252 | ) | ||
Net change in unrealized appreciation/deprecation allocated from
Oppenheimer Master Loan Fund, LLC |
3,358,409 | |||
Total net change in unrealized appreciation/depreciation |
41,255,313 | |||
Net Increase in Net Assets Resulting from Operations |
$ | 69,514,014 | ||
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 $2,071. |
Six Months | Year | |||||||
Ended | Ended | |||||||
February 29, 2012 | August 31, | |||||||
(Unaudited) | 2011 | |||||||
Operations |
||||||||
Net investment income |
$ | 24,027,569 | $ | 57,768,625 | ||||
Net realized gain |
4,231,132 | 129,814,230 | ||||||
Net change in unrealized appreciation/depreciation |
41,255,313 | (12,503,810 | ) | |||||
Net increase in net assets resulting from operations |
69,514,014 | 175,079,045 | ||||||
Dividends and/or Distributions to Shareholders |
||||||||
Dividends from net investment income: |
||||||||
Class A |
(35,739,065 | ) | (63,842,609 | ) | ||||
Class B |
(981,049 | ) | (2,127,317 | ) | ||||
Class C |
(2,153,298 | ) | (3,614,673 | ) | ||||
Class N |
(481,887 | ) | (891,702 | ) | ||||
Class Y |
(139,224 | ) | (40,121 | ) | ||||
(39,494,523 | ) | (70,516,422 | ) | |||||
Beneficial Interest Transactions |
||||||||
Net increase (decrease) in net assets resulting from
beneficial interest transactions: |
||||||||
Class A |
(29,434,746 | ) | (120,489,829 | ) | ||||
Class B |
(4,762,216 | ) | (19,067,370 | ) | ||||
Class C |
1,359,272 | (7,989,891 | ) | |||||
Class N |
(267,657 | ) | (3,659,477 | ) | ||||
Class Y |
1,120,804 | 4,981,754 | ||||||
(31,984,543 | ) | (146,224,813 | ) | |||||
Net Assets |
||||||||
Total decrease |
(1,965,052 | ) | (41,662,190 | ) | ||||
Beginning of period |
1,597,077,647 | 1,638,739,837 | ||||||
End of period (including accumulated net investment income
of $8,973,947 and $24,440,901, respectively) |
$ | 1,595,112,595 | $ | 1,597,077,647 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
February 29, 2012 | Year Ended August 31, | |||||||||||||||||||||||
Class A | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.70 | $ | 8.18 | $ | 7.50 | $ | 10.44 | $ | 13.10 | $ | 12.28 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.14 | .31 | .30 | .48 | .59 | .47 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.37 | .58 | .53 | (3.11 | ) | (1.74 | ) | .82 | ||||||||||||||||
Total from investment operations |
.51 | .89 | .83 | (2.63 | ) | (1.15 | ) | 1.29 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.35 | ) | (.37 | ) | (.15 | ) | (.12 | ) | (.50 | ) | (.42 | ) | ||||||||||||
Distributions from net realized gain |
| | | (.19 | ) | (1.01 | ) | (.05 | ) | |||||||||||||||
Total dividends and/or distributions
to shareholders |
(.35 | ) | (.37 | ) | (.15 | ) | (.31 | ) | (1.51 | ) | (.47 | ) | ||||||||||||
Net asset value, end of period |
$ | 8.86 | $ | 8.70 | $ | 8.18 | $ | 7.50 | $ | 10.44 | $ | 13.10 | ||||||||||||
Total Return, at Net Asset Value2 |
4.52 | % | 11.06 | % | 11.13 | % | (25.18 | )% | (9.51 | )% | 10.50 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 1,420,475 | $ | 1,423,082 | $ | 1,450,829 | $ | 1,521,396 | $ | 2,176,214 | $ | 2,754,566 | ||||||||||||
Average net assets (in thousands) |
$ | 1,400,498 | $ | 1,486,145 | $ | 1,512,770 | $ | 1,388,938 | $ | 2,458,736 | $ | 2,809,861 | ||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
3.16 | %4 | 3.55 | %4 | 3.75 | % | 6.64 | % | 5.11 | % | 3.54 | % | ||||||||||||
Total expenses5 |
1.01 | %4 | 0.99 | %4 | 1.02 | % | 1.02 | % | 0.91 | % | 0.88 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
0.97 | %4 | 0.96 | %4 | 0.90 | % | 0.94 | % | 0.91 | % | 0.88 | % | ||||||||||||
Portfolio turnover rate6 |
40 | % | 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: |
Six Months Ended February 29, 2012 |
1.03 | % | ||
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 | |||||||
Six Months Ended February 29, 2012 |
$ | 1,536,730,811 | $ | 1,479,801,051 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
February 29, 2012 | Year Ended August 31, | |||||||||||||||||||||||
Class B | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.51 | $ | 8.01 | $ | 7.36 | $ | 10.31 | $ | 12.94 | $ | 12.14 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.09 | .22 | .22 | .41 | .49 | .35 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.34 | .57 | .52 | (3.09 | ) | (1.71 | ) | .81 | ||||||||||||||||
Total from investment operations |
.43 | .79 | .74 | (2.68 | ) | (1.22 | ) | 1.16 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.26 | ) | (.29 | ) | (.09 | ) | (.08 | ) | (.40 | ) | (.31 | ) | ||||||||||||
Distributions from net realized gain |
| | | (.19 | ) | (1.01 | ) | (.05 | ) | |||||||||||||||
Total dividends and/or distributions
to shareholders |
(.26 | ) | (.29 | ) | (.09 | ) | (.27 | ) | (1.41 | ) | (.36 | ) | ||||||||||||
Net asset value, end of period |
$ | 8.68 | $ | 8.51 | $ | 8.01 | $ | 7.36 | $ | 10.31 | $ | 12.94 | ||||||||||||
Total Return, at Net Asset Value2 |
4.18 | % | 9.94 | % | 10.05 | % | (25.94 | )% | (10.20 | )% | 9.54 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 46,284 | $ | 50,221 | $ | 65,079 | $ | 87,518 | $ | 153,650 | $ | 240,849 | ||||||||||||
Average net assets (in thousands) |
$ | 47,070 | $ | 60,410 | $ | 75,369 | $ | 88,562 | $ | 193,912 | $ | 262,574 | ||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
2.22 | %4 | 2.55 | %4 | 2.81 | % | 5.80 | % | 4.27 | % | 2.70 | % | ||||||||||||
Total expenses5 |
2.18 | %4 | 2.12 | %4 | 2.14 | % | 2.03 | % | 1.75 | % | 1.71 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.91 | %4 | 1.97 | %4 | 1.85 | % | 1.85 | % | 1.75 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate6 |
40 | % | 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: |
Six Months Ended February 29, 2012 |
2.20 | % | ||
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 | |||||||
Six Months Ended February 29, 2012 |
$ | 1,536,730,811 | $ | 1,479,801,051 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
February 29, 2012 | Year Ended August 31, | |||||||||||||||||||||||
Class C | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.47 | $ | 7.98 | $ | 7.33 | $ | 10.26 | $ | 12.89 | $ | 12.10 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.10 | .23 | .23 | .41 | .49 | .36 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.33 | .56 | .52 | (3.07 | ) | (1.71 | ) | .79 | ||||||||||||||||
Total from investment operations |
.43 | .79 | .75 | (2.66 | ) | (1.22 | ) | 1.15 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.27 | ) | (.30 | ) | (.10 | ) | (.08 | ) | (.40 | ) | (.31 | ) | ||||||||||||
Distributions from net realized gain |
| | | (.19 | ) | (1.01 | ) | (.05 | ) | |||||||||||||||
Total dividends and/or distributions
to shareholders |
(.27 | ) | (.30 | ) | (.10 | ) | (.27 | ) | (1.41 | ) | (.36 | ) | ||||||||||||
Net asset value, end of period |
$ | 8.63 | $ | 8.47 | $ | 7.98 | $ | 7.33 | $ | 10.26 | $ | 12.89 | ||||||||||||
Total Return, at Net Asset Value2 |
4.17 | % | 10.00 | % | 10.19 | % | (25.85 | )% | (10.22 | )% | 9.53 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 101,794 | $ | 98,566 | $ | 100,299 | $ | 112,970 | $ | 130,753 | $ | 184,782 | ||||||||||||
Average net assets (in thousands) |
$ | 98,545 | $ | 102,156 | $ | 106,999 | $ | 82,632 | $ | 156,924 | $ | 182,640 | ||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
2.30 | %4 | 2.67 | %4 | 2.88 | % | 5.77 | % | 4.29 | % | 2.74 | % | ||||||||||||
Total expenses5 |
1.87 | %4 | 1.87 | %4 | 1.89 | % | 1.91 | % | 1.72 | % | 1.69 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
1.83 | %4 | 1.84 | %4 | 1.77 | % | 1.80 | % | 1.72 | % | 1.69 | % | ||||||||||||
Portfolio turnover rate6 |
40 | % | 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: |
Six Months Ended February 29, 2012 |
1.89 | % | ||
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 | |||||||
Six Months Ended February 29, 2012 |
$ | 1,536,730,811 | $ | 1,479,801,051 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
February 29, 2012 | Year Ended August 31, | |||||||||||||||||||||||
Class N | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.60 | $ | 8.09 | $ | 7.42 | $ | 10.36 | $ | 13.00 | $ | 12.20 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.12 | .27 | .27 | .44 | .54 | .42 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.36 | .58 | .52 | (3.09 | ) | (1.71 | ) | .80 | ||||||||||||||||
Total from investment operations |
.48 | .85 | .79 | (2.65 | ) | (1.17 | ) | 1.22 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.32 | ) | (.34 | ) | (.12 | ) | (.10 | ) | (.46 | ) | (.37 | ) | ||||||||||||
Distributions from net realized gain |
| | | (.19 | ) | (1.01 | ) | (.05 | ) | |||||||||||||||
Total dividends and/or distributions
to shareholders |
(.32 | ) | (.34 | ) | (.12 | ) | (.29 | ) | (1.47 | ) | (.42 | ) | ||||||||||||
Net asset value, end of period |
$ | 8.76 | $ | 8.60 | $ | 8.09 | $ | 7.42 | $ | 10.36 | $ | 13.00 | ||||||||||||
Total Return, at Net Asset Value2 |
4.38 | % | 10.65 | % | 10.74 | % | (25.54 | )% | (9.78 | )% | 10.01 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 20,427 | $ | 20,319 | $ | 22,533 | $ | 24,678 | $ | 34,279 | $ | 44,568 | ||||||||||||
Average net assets (in thousands) |
$ | 20,075 | $ | 22,331 | $ | 24,365 | $ | 21,877 | $ | 39,025 | $ | 41,919 | ||||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||||||
Net investment income |
2.83 | %4 | 3.18 | %4 | 3.37 | % | 6.25 | % | 4.74 | % | 3.19 | % | ||||||||||||
Total expenses5 |
1.33 | %4 | 1.35 | %4 | 1.42 | % | 1.44 | % | 1.29 | % | 1.25 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.29 | %4 | 1.32 | %4 | 1.28 | % | 1.31 | % | 1.29 | % | 1.25 | % | ||||||||||||
Portfolio turnover rate6 |
40 | % | 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: |
Six Months Ended February 29, 2012 |
1.35 | % | ||
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 | |||||||
Six Months Ended February 29, 2012 |
$ | 1,536,730,811 | $ | 1,479,801,051 | ||||
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 |
Six Months | ||||||||
Ended | ||||||||
February 29, 2012 | Period Ended | |||||||
Class Y | (Unaudited) | August 31, 20111 | ||||||
Per Share Operating Data |
||||||||
Net asset value, beginning of period |
$ | 8.70 | $ | 8.63 | ||||
Income (loss) from investment operations: |
||||||||
Net investment income2 |
.15 | .21 | ||||||
Net realized and unrealized gain |
.39 | | 3 | |||||
Total from investment operations |
.54 | .21 | ||||||
Dividends and/or distributions to shareholders: |
||||||||
Dividends from net investment income |
(.38 | ) | (.14 | ) | ||||
Distributions from net realized gain |
| | ||||||
Total dividends and/or distributions to shareholders |
(.38 | ) | (.14 | ) | ||||
Net asset value, end of period |
$ | 8.86 | $ | 8.70 | ||||
Total Return, at Net Asset Value4 |
4.70 | % | 2.44 | % | ||||
Ratios/Supplemental Data |
||||||||
Net assets, end of period (in thousands) |
$ | 6,133 | $ | 4,890 | ||||
Average net assets (in thousands) |
$ | 5,531 | $ | 3,287 | ||||
Ratios to average net assets:5 |
||||||||
Net investment income |
3.47 | %6 | 4.04 | %6 | ||||
Total expenses7 |
0.71 | %6 | 0.59 | %6 | ||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
0.67 | %6 | 0.56 | %6 | ||||
Portfolio turnover rate8 |
40 | % | 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: |
Six Months Ended February 29, 2012 |
0.73 | % | ||
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 | |||||||
Six Months Ended February 29, 2012 |
$ | 1,536,730,811 | $ | 1,479,801,051 | ||||
Period Ended August 31, 2011 |
$ | 3,228,874,778 | $ | 3,180,407,334 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities |
$ | 298,123,083 | ||
Sold securities |
28,672,521 |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued |
Expiring |
||||
2015 |
$ | 435,476 | ||
2016 |
34,541,633 | |||
2018 |
513,112,950 | |||
Total |
$ | 548,090,059 | ||
Federal tax cost of securities |
$ | 1,749,912,069 | ||
Federal tax cost of other investments |
(59,902,534 | ) | ||
Total federal tax cost |
$ | 1,690,009,535 | ||
Gross unrealized appreciation |
$ | 132,805,758 | ||
Gross unrealized depreciation |
(26,076,510 | ) | ||
Net unrealized appreciation |
$ | 106,729,248 | ||
Six Months Ended February 29, 2012 | Year Ended August 31, 20111 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
4,338,122 | $ | 37,420,067 | 7,773,839 | $ | 67,629,767 | ||||||||||
Dividends
and/or distributions reinvested |
3,980,351 | 33,764,593 | 6,926,130 | 59,277,559 | ||||||||||||
Redeemed |
(11,647,671 | ) | (100,619,406 | ) | (28,488,560 | ) | (247,397,155 | ) | ||||||||
Net decrease |
(3,329,198 | ) | $ | (29,434,746 | ) | (13,788,591 | ) | $ | (120,489,829 | ) | ||||||
Class B |
||||||||||||||||
Sold |
407,997 | $ | 3,451,728 | 826,508 | $ | 7,039,177 | ||||||||||
Dividends
and/or distributions reinvested |
115,052 | 957,497 | 243,877 | 2,044,258 | ||||||||||||
Redeemed |
(1,087,056 | ) | (9,171,441 | ) | (3,293,740 | ) | (28,150,805 | ) | ||||||||
Net decrease |
(564,007 | ) | $ | (4,762,216 | ) | (2,223,355 | ) | $ | (19,067,370 | ) | ||||||
Class C |
||||||||||||||||
Sold |
1,018,784 | $ | 8,582,211 | 1,175,982 | $ | 9,988,685 | ||||||||||
Dividends
and/or distributions reinvested |
237,323 | 1,965,587 | 381,127 | 3,182,998 | ||||||||||||
Redeemed |
(1,092,503 | ) | (9,188,526 | ) | (2,498,995 | ) | (21,161,574 | ) | ||||||||
Net increase (decrease) |
163,604 | $ | 1,359,272 | (941,886 | ) | $ | (7,989,891 | ) | ||||||||
2. | Shares of Beneficial Interest Continued |
Six Months Ended February 29, 2012 | Year Ended August 31, 20111 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N |
||||||||||||||||
Sold |
230,509 | $ | 1,971,402 | 309,746 | $ | 2,660,389 | ||||||||||
Dividends
and/or distributions reinvested |
54,049 | 453,612 | 97,808 | 828,055 | ||||||||||||
Redeemed |
(315,896 | ) | (2,692,671 | ) | (830,632 | ) | (7,147,921 | ) | ||||||||
Net decrease |
(31,338 | ) | $ | (267,657 | ) | (423,078 | ) | $ | (3,659,477 | ) | ||||||
Class Y |
||||||||||||||||
Sold |
258,485 | $ | 2,222,990 | 591,168 | $ | 5,239,649 | ||||||||||
Dividends
and/or distributions reinvested |
13,994 | 118,671 | 4,568 | 40,104 | ||||||||||||
Redeemed |
(142,389 | ) | (1,220,857 | ) | (33,528 | ) | (297,999 | ) | ||||||||
Net increase |
130,090 | $ | 1,120,804 | 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 |
$ | 470,620,299 | $ | 432,247,013 | ||||
U.S. government and government agency obligations |
33,927,130 | 34,825,209 | ||||||
To Be Announced (TBA) mortgage-related securities |
1,536,730,811 | 1,479,801,051 |
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 |
$ | 9,230,891 | ||
Class C |
8,879,489 | |||
Class N |
994,664 |
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 | ||||||||||||||||
Six Months Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
February 29, 2012 |
$ | 115,837 | $ | 1,534 | $ | 41,843 | $ | 2,032 | $ | 15 |
Class B |
$ | 52,820 |
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. | ||
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. |
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. |
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. |
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. |
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. |
The Funds actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. |
Risks of Investing in Derivatives. The Funds use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. |
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. |
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. |
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Funds derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of February 29, 2012, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $10,601,097, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk the Fund has entered into master netting arrangements, established within the Funds International Swap and Derivatives Association, Inc. master agreements, which allow the Fund to net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $10,601,097 as of February 29, 2012. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund. |
Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. | ||
As of February 29, 2012, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $65,677 for which collateral was not posted by the Fund. If a contingent feature would have been triggered as of February 29, 2012, the Fund could have been required to pay this amount in cash to its counterparties. |
Asset Derivatives | Liability Derivatives | |||||||||||||||
Statement of | Statement of | |||||||||||||||
Derivatives | Assets and | Assets and | ||||||||||||||
Not Accounted for as | Liabilities | Liabilities | ||||||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||||||
Credit contracts |
Appreciated swaps, at value | $ | 2,599,979 | |||||||||||||
Credit contracts |
Depreciated swaps, at value | 1,170,881 | ||||||||||||||
Equity contracts |
Appreciated swaps, at value | 278,302 | ||||||||||||||
Interest rate contracts |
Futures margins | 203,309 | * | Futures margins | $ | 556,425 | * | |||||||||
Equity contracts |
Investments, at value | 550,000 | ** | |||||||||||||
Interest rate contracts |
Investments, at value | 6,551,935 | ** | |||||||||||||
Volatility contracts |
Investments, at value | 15,000 | ** | |||||||||||||
Total |
$ | 11,369,406 | $ | 556,425 | ||||||||||||
* | 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 | Closing | |||||||||||||||||||||||
companies | and | Closing | ||||||||||||||||||||||
(including | expiration | and | ||||||||||||||||||||||
Derivatives Not | premiums | of option | expiration | Foreign | ||||||||||||||||||||
Accounted for as | on options | contracts | of futures | currency | Swap | |||||||||||||||||||
Hedging Instruments | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | 19,091 | $ | 19,091 | ||||||||||||
Equity contracts |
(1,789,851 | ) | 645,766 | | | 364,232 | (779,853 | ) | ||||||||||||||||
Foreign exchange contracts |
| | | 283,821 | | 283,821 | ||||||||||||||||||
Interest rate contracts |
(1,100,814 | ) | | 5,413,416 | | | 4,312,602 | |||||||||||||||||
Volatility contracts |
(465,045 | ) | (116,045 | ) | | | | (581,090 | ) | |||||||||||||||
Total |
$ | (3,355,710 | ) | $ | 529,721 | $ | 5,413,416 | $ | 283,821 | $ | 383,323 | $ | 3,254,571 | |||||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
5. | Risk Exposures and the Use of Derivative Instruments Continued |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||
Translation of | ||||||||||||||||||||
assets and | ||||||||||||||||||||
liabilities | ||||||||||||||||||||
Derivatives Not | denominated | |||||||||||||||||||
Accounted for as | Futures | in foreign | Swap | |||||||||||||||||
Hedging Instruments | Investments* | contracts | currencies | contracts | Total | |||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | (3,513,554 | ) | $ | (3,513,554 | ) | ||||||||
Equity contracts |
516,450 | | | 278,302 | 794,752 | |||||||||||||||
Foreign exchange contracts |
| | (83,724 | ) | | (83,724 | ) | |||||||||||||
Interest rate contracts |
(1,757,968 | ) | 145,015 | | | (1,612,953 | ) | |||||||||||||
Volatility contracts |
(418,023 | ) | | | | (418,023 | ) | |||||||||||||
Total |
$ | (1,659,541 | ) | $ | 145,015 | $ | (83,724 | ) | $ | (3,235,252 | ) | $ | (4,833,502 | ) | ||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Call Options | Put Options | |||||||||||||||
Principal/ | Principal/ | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options
outstanding as of August 31, 2011 |
| $ | | | $ | | ||||||||||
Options written |
2,750 | 419,236 | 2,500 | 741,183 | ||||||||||||
Options closed or expired |
(2,000 | ) | (237,756 | ) | (2,400 | ) | (669,987 | ) | ||||||||
Options exercised |
(750 | ) | (181,480 | ) | (100 | ) | (71,196 | ) | ||||||||
Options
outstanding as of February 29, 2012 |
| $ | | | $ | | ||||||||||
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the reference asset). |
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. |
Nominee/Proposal | For | Withheld | ||||||
Trustees |
||||||||
William L. Armstrong |
111,165,562 | 3,774,641 | ||||||
Edward L. Cameron |
111,330,589 | 3,609,615 | ||||||
Jon S. Fossel |
111,320,034 | 3,620,169 | ||||||
Sam Freedman |
111,264,866 | 3,675,337 | ||||||
Richard F. Grabish |
111,440,185 | 3,500,019 | ||||||
Beverly L. Hamilton |
111,183,260 | 3,756,943 | ||||||
Robert J. Malone |
111,355,613 | 3,584,591 | ||||||
F. William Marshall, Jr. |
111,277,373 | 3,662,830 | ||||||
Victoria J. Herget |
111,732,762 | 3,207,441 | ||||||
Karen L. Stuckey |
111,786,377 | 3,153,826 | ||||||
James D. Vaughn |
111,749,056 | 3,191,147 | ||||||
William F. Glavin, Jr. |
111,902,448 | 3,037,756 |
For | Against | Abstain | Broker Non Vote | |||||||||
80,019,752 |
6,227,013 | 2,544,984 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
80,985,969 |
5,251,942 | 2,553,841 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
79,765,839 |
6,398,397 | 2,627,514 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
79,928,191 |
6,219,015 | 2,644,545 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
79,774,808 |
6,378,919 | 2,638,024 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
80,297,555 |
5,882,725 | 2,611,474 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
80,007,892 |
6,052,345 | 2,731,518 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
80,053,339 |
5,909,432 | 2,828,982 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
79,757,365 |
6,228,058 | 2,806,327 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
78,061,888 |
7,887,232 | 2,842,633 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
79,833,946 |
6,266,649 | 2,691,155 | 26,148,454 |
For | Against | Abstain | Broker Non Vote | |||||||||
82,236,762 |
4,087,440 | 2,467,550 | 26,148,454 |
Trustees and Officers
|
William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Michelle Borré, Vice President | ||
Krishna Memani, Vice President | ||
Arthur S. Gabinet, Secretary and Chief Legal Officer | ||
Christina M. Nasta, Vice President and Chief Business Officer | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Manager
|
OppenheimerFunds, Inc. | |
Distributor
|
OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder
|
OppenheimerFunds Services | |
Servicing Agent |
||
Independent
|
KPMG llp | |
Registered Public |
||
Accounting Firm |
||
Counsel
|
K&L Gates LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
| Applications or other forms | |
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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) Not applicable to semiannual reports. | |||
(2) Exhibits attached hereto. | ||||
(3) Not applicable. | ||||
(b) | Exhibit attached hereto. |
By:
|
/s/ William F. Glavin, Jr.
|
|||
Principal Executive Officer | ||||
Date:
|
4/10/2012 |
By:
|
/s/ William F. Glavin, Jr.
|
|||
Principal Executive Officer | ||||
Date:
|
4/10/2012 |
By:
|
/s/ Brian W. Wixted
|
|||
Principal Financial Officer | ||||
Date:
|
4/10/2012 |
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.
|
||
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
|
||
Principal Financial Officer |
1. | The Registrants periodic report on Form N-CSR for the period ended 2/29/2012 (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: 4/10/2012
|
Date: 4/10/2012 |
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