UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-00242
Natixis Funds Trust II
(Exact name of registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
NGAM Distribution, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: December 31
Date of reporting period: March 31, 2013
ITEM 1. | SCHEDULE OF INVESTMENTS |
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
ASG Diversifying Strategies Fund
Principal |
Description |
Value () | ||||||
|
Short-Term Investments 81.9% of Net Assets |
|||||||
Certificates of Deposit 45.5% | ||||||||
$1,100,000 | BNP Paribas, 0.090%, 4/01/2013 |
$ | 1,100,000 | |||||
4,000,000 | Canadian Imperial Bank, 0.100%, 4/01/2013 |
4,000,000 | ||||||
4,000,000 | Credit Agricole, 0.180%, 4/01/2013 |
4,000,000 | ||||||
4,000,000 | National Bank of Kuwait, 0.160%, 4/04/2013 |
4,000,000 | ||||||
4,000,000 | China Construction Bank Corp. (NY), 0.220%, 4/04/2013 |
4,000,000 | ||||||
3,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.210%, 5/21/2013 |
3,000,090 | ||||||
3,500,000 | Bank of Montreal (IL), 0.170%, 5/22/2013 |
3,499,891 | ||||||
4,300,000 | Mizuho Corporate Bank, 0.380%, 6/14/2013 |
4,301,208 | ||||||
3,500,000 | Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b) |
3,500,917 | ||||||
3,500,000 | Norinchukin Bank, 0.380%, 7/12/2013 |
3,500,924 | ||||||
3,300,000 | National Australia Bank, 0.240%, 7/16/2013(b) |
3,301,007 | ||||||
4,000,000 | Deutsche Bank A.G., 0.390%, 9/13/2013 |
4,000,188 | ||||||
3,000,000 | Westpac Banking Corp. (NY), 0.335%, 11/06/2013(b)(c) |
3,000,894 | ||||||
4,000,000 | Bank of Nova Scotia (TX), 0.320%, 2/13/2014 |
3,999,996 | ||||||
|
|
|||||||
49,205,115 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 23.6% | ||||||||
5,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.180%, 4/08/2013(b)(d) |
4,999,795 | ||||||
4,000,000 | Barclays U.S. Funding, 0.150%, 4/12/2013(d) |
3,999,817 | ||||||
5,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.300%, 5/07/2013(b)(d) |
4,999,070 | ||||||
3,500,000 | United Overseas Bank Limited, 0.160%, 5/15/2013(d) |
3,499,205 | ||||||
4,000,000 | Societe Generale North America, 0.370%, 7/02/2013(d) |
3,996,992 | ||||||
4,100,000 | General Electric Capital Corp., 0.200%, 7/15/2013(d) |
4,097,864 | ||||||
|
|
|||||||
25,592,743 | ||||||||
|
|
|||||||
Commercial Paper 9.1% | ||||||||
4,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/09/2013(d) |
3,999,734 | ||||||
4,650,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013 |
4,650,093 |
Principal |
Description |
Value () | ||||||
Commercial Paper continued | ||||||||
$ | 1,211,000 | Tennessee School Bond Authority, 0.180%, 6/03/2013 | $ | 1,211,000 | ||||
|
|
|||||||
9,860,827 | ||||||||
|
|
|||||||
Other Notes 3.7% | ||||||||
4,000,000 | Wells Fargo, 0.330%, 4/17/2014(c) | 4,000,380 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $88,652,108) | 88,659,065 | |||||||
|
|
|||||||
Total Investments 81.9% (Identified Cost $88,652,108)(a) | 88,659,065 | |||||||
Other assets less liabilities 18.1% | 19,617,184 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 108,276,249 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Funds investment in the Subsidiary was $9,467,454, representing 8.7% of the Funds net assets.
() | Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser or subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.
Broker-dealer bid prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Futures contracts are valued at their most recent settlement price.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At March 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $88,652,108 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 7,210 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(253 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 6,957 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
At December 31, 2012, the Fund had a short-term capital loss carryforward of $32,033,613 with no expiration date and a long-term capital loss carryforward of $8,029,367 with no expiration date. At December 31, 2012, late-year ordinary and post-October loss deferrals were $4,066,141. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(c) | Variable rate security. Rate as of March 31, 2013 is disclosed. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy |
6/19/2013 | Australian Dollar | 800,000 | $ | 828,121 | $ | 5,288 | |||||||||||
Buy |
6/19/2013 | British Pound | 5,000,000 | 7,594,212 | 155,017 | |||||||||||||
Sell |
6/19/2013 | British Pound | 13,187,500 | 20,029,734 | (245,482 | ) | ||||||||||||
Buy |
6/19/2013 | Canadian Dollar | 5,000,000 | 4,913,379 | 35,330 | |||||||||||||
Sell |
6/19/2013 | Canadian Dollar | 10,600,000 | 10,416,363 | (126,550 | ) | ||||||||||||
Buy |
6/19/2013 | Euro | 1,375,000 | 1,763,521 | (24,999 | ) | ||||||||||||
Sell |
6/19/2013 | Euro | 4,250,000 | 5,450,883 | 81,223 | |||||||||||||
Buy |
6/19/2013 | Japanese Yen | 525,000,000 | 5,580,132 | 21,048 | |||||||||||||
Sell |
6/19/2013 | Japanese Yen | 1,987,500,000 | 21,124,784 | (454,530 | ) | ||||||||||||
Buy |
6/19/2013 | New Zealand Dollar | 7,800,000 | 6,492,964 | 127,852 | |||||||||||||
Sell |
6/19/2013 | New Zealand Dollar | 8,100,000 | 6,742,694 | (122,142 | ) | ||||||||||||
Buy |
6/19/2013 | Norwegian Krone | 32,000,000 | 5,462,311 | (92,044 | ) | ||||||||||||
Sell |
6/19/2013 | Norwegian Krone | 32,000,000 | 5,462,311 | 88,544 | |||||||||||||
Buy |
6/19/2013 | Singapore Dollar | 2,625,000 | 2,116,755 | 3,863 | |||||||||||||
Sell |
6/19/2013 | Singapore Dollar | 1,875,000 | 1,511,968 | (11,441 | ) | ||||||||||||
Buy |
6/19/2013 | Swedish Krona | 88,000,000 | 13,482,127 | (214,007 | ) | ||||||||||||
Sell |
6/19/2013 | Swedish Krona | 84,000,000 | 12,869,303 | 242,862 | |||||||||||||
Buy |
6/19/2013 | Swiss Franc | 17,750,000 | 18,716,482 | 35,203 | |||||||||||||
Buy |
6/19/2013 | Swiss Franc | 4,000,000 | 4,217,799 | (18,345 | ) | ||||||||||||
Sell |
6/19/2013 | Swiss Franc | 7,500,000 | 7,908,373 | 37,586 | |||||||||||||
Sell |
6/19/2013 | Swiss Franc | 13,250,000 | 13,971,458 | (9,717 | ) | ||||||||||||
Sell |
6/19/2013 | Turkish Lira | 300,000 | 164,163 | (1,350 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | (486,791 | ) | |||||||||||||||
|
|
1 | Counterparty is UBS AG. |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, a Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
4/19/2013 | 62 | $ | 5,521,906 | $ | (72,219 | ) | |||||||||
ASX SPI 200 |
6/20/2013 | 46 | 5,947,103 | (9,709 | ) | |||||||||||
CAC 40® |
4/19/2013 | 75 | 3,587,900 | (32,514 | ) | |||||||||||
DAX |
6/21/2013 | 52 | 12,998,800 | (321,616 | ) | |||||||||||
E-mini Dow |
6/21/2013 | 15 | 1,087,275 | 10,055 | ||||||||||||
E-mini S&P 500® |
6/21/2013 | 1 | 78,135 | 922 | ||||||||||||
Euribor |
9/16/2013 | 77 | 24,602,835 | (20,045 | ) | |||||||||||
Euro Schatz |
6/06/2013 | 498 | 70,743,243 | 67,028 | ||||||||||||
EURO STOXX 50® |
6/21/2013 | 94 | 3,077,416 | (30,995 | ) | |||||||||||
Eurodollar |
9/16/2013 | 530 | 132,009,750 | (41,738 | ) | |||||||||||
FTSE 100 Index |
6/21/2013 | 76 | 7,334,019 | (46,769 | ) | |||||||||||
FTSE MIB |
6/21/2013 | 43 | 4,144,166 | (201,501 | ) | |||||||||||
FTSE/JSE Top 40 Index |
6/20/2013 | 142 | 5,484,310 | (113,715 | ) | |||||||||||
German Euro BOBL |
6/06/2013 | 229 | 37,197,874 | 228,913 | ||||||||||||
IBEX 35 |
4/19/2013 | 56 | 5,623,459 | (434,228 | ) | |||||||||||
Mini-Russell 2000 |
6/21/2013 | 65 | 6,167,850 | 114,725 | ||||||||||||
MSCI Singapore |
4/29/2013 | 70 | 4,207,845 | 42,891 | ||||||||||||
MSCI Taiwan Index |
4/29/2013 | 115 | 3,270,600 | 34,500 | ||||||||||||
OMXS30® |
4/19/2013 | 263 | 4,802,695 | 46,413 | ||||||||||||
S&P CNX Nifty Futures Index |
4/25/2013 | 430 | 4,919,200 | 50,164 | ||||||||||||
S&P/TSX 60 Index |
6/20/2013 | 48 | 6,888,261 | (36,761 | ) | |||||||||||
Sterling |
9/18/2013 | 84 | 15,872,855 | (13,599 | ) | |||||||||||
2 Year U.S. Treasury Note |
6/28/2013 | 341 | 75,174,516 | 23,844 | ||||||||||||
3 Year Australia Government Bond |
6/17/2013 | 314 | 35,623,280 | 137,359 | ||||||||||||
5 Year U.S. Treasury Note |
6/28/2013 | 236 | 29,276,906 | 43,436 | ||||||||||||
10 Year Australia Government Bond |
6/17/2013 | 278 | 35,196,209 | 514,105 | ||||||||||||
10 Year Canada Government Bond |
6/19/2013 | 113 | 15,019,206 | 172,014 | ||||||||||||
10 Year Japan Government Bond |
6/11/2013 | 8 | 12,361,821 | (37,393 | ) | |||||||||||
10 Year U.S. Treasury Note |
6/19/2013 | 483 | 63,748,453 | 438,859 | ||||||||||||
30 Year U.S. Treasury Bond |
6/19/2013 | 75 | 10,835,156 | 145,413 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 657,839 | |||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
6/19/2013 | 6 | $ | 287,025 | $ | (7,380 | ) | |||||||||
Brent Crude Oil |
4/15/2013 | 15 | 1,650,300 | (9,900 | ) | |||||||||||
Cocoa |
5/15/2013 | 28 | 607,600 | (22,400 | ) | |||||||||||
Corn |
5/14/2013 | 77 | 2,676,712 | (34,750 | ) | |||||||||||
Cotton |
5/08/2013 | 39 | 1,724,970 | 69,440 | ||||||||||||
Gas Oil |
4/11/2013 | 10 | 915,500 | (75,500 | ) | |||||||||||
Gasoline |
4/30/2013 | 18 | 2,351,614 | (24,419 | ) | |||||||||||
Heating Oil |
4/30/2013 | 12 | 1,535,688 | (14,263 | ) | |||||||||||
Light Sweet Crude Oil |
4/22/2013 | 15 | 1,458,450 | 62,530 | ||||||||||||
Natural Gas |
4/26/2013 | 27 | 1,086,480 | 71,950 | ||||||||||||
Soybean |
5/14/2013 | 39 | 2,739,262 | (55,087 | ) | |||||||||||
Soybean Meal |
5/14/2013 | 57 | 2,306,220 | (116,170 | ) | |||||||||||
Soybean Oil |
5/14/2013 | 70 | 2,104,620 | (40,404 | ) | |||||||||||
Wheat |
5/14/2013 | 28 | 962,850 | (68,938 | ) | |||||||||||
Zinc |
6/19/2013 | 14 | 662,988 | (44,625 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (309,916 | ) | ||||||||||||
|
|
At March 31, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini NASDAQ 100 |
6/21/2013 | 6 | $ | 337,320 | $ | (900 | ) | |||||||||
German Euro Bund |
6/06/2013 | 17 | 3,170,440 | (26,150 | ) | |||||||||||
Hang Seng Index® |
4/29/2013 | 2 | 287,483 | (154 | ) | |||||||||||
TOPIX |
6/14/2013 | 12 | 1,323,843 | (62,867 | ) | |||||||||||
UK Long Gilt |
6/26/2013 | 4 | 721,921 | (13,189 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (103,260 | ) | ||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
6/19/2013 | 8 | $ | 382,700 | $ | 8,585 | ||||||||||
Coffee |
5/20/2013 | 20 | 1,028,625 | 45,731 | ||||||||||||
Copper High Grade |
5/29/2013 | 1 | 85,050 | 2,275 | ||||||||||||
Copper LME |
6/19/2013 | 1 | 188,450 | 5,588 | ||||||||||||
Live Cattle |
6/28/2013 | 3 | 149,250 | (1,200 | ) | |||||||||||
Nickel |
6/19/2013 | 1 | 99,912 | (342 | ) | |||||||||||
Sugar |
4/30/2013 | 1 | 19,779 | | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 60,637 | |||||||||||||
|
|
2 | Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 88,659,065 | $ | | $ | 88,659,065 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 833,816 | | 833,816 | ||||||||||||
Futures Contracts (unrealized appreciation) |
2,336,740 | | | 2,336,740 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,336,740 | $ | 89,492,881 | $ | | $ | 91,829,621 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (1,320,607 | ) | $ | | $ | (1,320,607 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(2,031,440 | ) | | | (2,031,440 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (2,031,440 | ) | $ | (1,320,607 | ) | $ | | $ | (3,352,047 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the period ended March 31, 2013, the Fund used long and short contracts on short-term interest rates, U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary), to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG |
$ | (486,791 | ) | $ | 1,560,932 |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty.
As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding is $15,723,982 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $14,890,166.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of March 31, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized appreciation) |
$ | | $ | 833,816 | $ | | $ | | ||||||||
Futures (unrealized appreciation) |
1,770,971 | | 299,670 | 266,099 | ||||||||||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized depreciation) |
$ | | $ | (1,320,607 | ) | $ | | $ | | |||||||
Futures (unrealized depreciation) |
(152,113 | ) | | (1,363,949 | ) | (515,378 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Investment Summary at March 31, 2013 (Unaudited)
Certificates of Deposit |
45.5 | % | ||
Financial Company Commercial Paper |
23.6 | |||
Commercial Paper |
9.1 | |||
Other Notes |
3.7 | |||
|
|
|||
Total Investments |
81.9 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
18.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
ASG Global Alternatives Fund
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 87.8% of Net Assets |
|||||||
Certificates of Deposit 52.4% | ||||||||
$ | 50,800,000 | Canadian Imperial Bank, 0.100%, 4/01/2013 |
$ | 50,800,000 | ||||
51,500,000 | Credit Agricole, 0.180%, 4/01/2013 |
51,500,000 | ||||||
50,000,000 | National Bank of Kuwait, 0.160%, 4/04/2013 |
50,000,000 | ||||||
51,000,000 | China Construction Bank Corp. (NY), 0.220%, 4/04/2013 |
51,000,000 | ||||||
50,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.210%, 5/21/2013 |
50,001,500 | ||||||
50,000,000 | Bank of Montreal (IL), 0.170%, 5/22/2013 |
49,998,450 | ||||||
25,000,000 | Mizuho Corporate Bank, 0.380%, 6/14/2013 |
25,007,025 | ||||||
27,000,000 | Norinchukin Bank, 0.380%, 7/08/2013 |
27,006,858 | ||||||
50,000,000 | Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b) |
50,013,100 | ||||||
23,000,000 | Norinchukin Bank, 0.380%, 7/12/2013(b) |
23,006,072 | ||||||
50,000,000 | National Australia Bank, 0.240%, 7/16/2013 |
50,015,250 | ||||||
50,000,000 | Deutsche Bank A.G., 0.390%, 9/13/2013 |
50,002,350 | ||||||
50,000,000 | Westpac Banking Corp. (NY), 0.335%, 11/06/2013(b)(c) |
50,014,900 | ||||||
20,000,000 | Toronto Dominion Bank, 0.330%, 11/07/2013 |
20,009,900 | ||||||
40,000,000 | Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b) |
39,999,960 | ||||||
|
|
|||||||
638,375,365 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 24.9% | ||||||||
10,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.180%, 4/08/2013(d) |
9,999,590 | ||||||
50,000,000 | Barclays U.S. Funding, 0.150%, 4/12/2013(d) |
49,997,708 | ||||||
38,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 4/26/2013(d) |
37,995,250 | ||||||
12,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.300%, 5/07/2013(d) |
11,997,768 | ||||||
50,000,000 | United Overseas Bank Limited, 0.160%, 5/15/2013(d) |
49,988,650 | ||||||
24,500,000 | Oversea-Chinese Banking Corp. Ltd., 0.210%, 6/25/2013(d) |
24,486,746 | ||||||
50,000,000 | Societe Generale North America, 0.370%, 7/02/2013(b)(d) |
49,962,400 | ||||||
50,000,000 | General Electric Capital Corp., 0.230%, 7/15/2013(b)(d) |
49,973,950 | ||||||
19,200,000 | ICICI Bank Ltd., (Credit Support: Wells Fargo), 0.300%, 7/23/2013(b)(d) |
19,185,158 | ||||||
|
|
|||||||
303,587,220 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Commercial Paper 6.8% | ||||||||
$ | 25,300,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/05/2013(d) |
$ | 25,299,157 | ||||
22,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/09/2013(d) |
21,998,533 | ||||||
35,250,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013 |
35,250,705 | ||||||
|
|
|||||||
82,548,395 | ||||||||
|
|
|||||||
Other Notes 3.7% | ||||||||
20,000,000 | JPMorgan Chase Bank NA, 0.361%, 4/07/2014(c) |
19,995,840 | ||||||
25,000,000 | Wells Fargo, 0.330%, 4/17/2014(c) |
25,002,375 | ||||||
|
|
|||||||
44,998,215 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $1,069,417,390) |
1,069,509,195 | |||||||
|
|
|||||||
Total Investments 87.8% (Identified Cost $1,069,417,390)(a) |
1,069,509,195 | |||||||
Other assets less liabilities 12.2% | 148,003,695 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,217,512,890 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Funds investment in the Subsidiary was $78,924,852, representing 6.5% of the Funds net assets.
() | Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser or subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.
Broker-dealer bid prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Futures contracts are valued at their most recent settlement price.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At March 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $1,069,417,390 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 100,294 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(8,489 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 91,805 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(c) | Variable rate security. Rate as of March 31, 2013 is disclosed. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency |
Units of Currency |
Notional Value | Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell |
6/19/2013 | Australian Dollar | 25,100,000 | $ | 25,982,310 | $ | (490,474 | ) | ||||||||||
Buy |
6/19/2013 | British Pound | 53,562,500 | 81,352,995 | 1,660,618 | |||||||||||||
Buy |
6/19/2013 | Canadian Dollar | 21,500,000 | 21,127,529 | 256,681 | |||||||||||||
Buy |
6/19/2013 | Euro | 131,125,000 | 168,175,781 | (2,384,014 | ) | ||||||||||||
Sell |
6/19/2013 | Euro | 56,625,000 | 72,625,004 | 1,243,552 | |||||||||||||
Sell |
6/19/2013 | Euro | 35,125,000 | 45,049,947 | (132,353 | ) | ||||||||||||
Sell |
6/19/2013 | Japanese Yen | 23,012,500,000 | 244,595,775 | (4,164,337 | ) | ||||||||||||
Buy |
6/19/2013 | Swedish Krona | 168,000,000 | 25,738,606 | (421,171 | ) | ||||||||||||
Buy |
6/19/2013 | Swiss Franc | 92,250,000 | 97,272,982 | 172,266 | |||||||||||||
|
|
|||||||||||||||||
Total |
$ | (4,259,232 | ) | |||||||||||||||
|
|
1 | Counterparty is UBS AG. |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, a Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
DAX |
6/21/2013 | 1,311 | $ | 327,719,751 | $ | (7,541,401 | ) | |||||||||
E-mini S&P 500® |
6/21/2013 | 1,684 | 131,579,340 | 1,861,390 | ||||||||||||
Eurodollar |
9/16/2013 | 20,673 | 5,149,127,475 | (1,079,637 | ) | |||||||||||
FTSE 100 Index |
6/21/2013 | 1,057 | 102,000,766 | (680,220 | ) | |||||||||||
German Euro Bund |
6/06/2013 | 1,001 | 186,682,968 | 2,640,151 | ||||||||||||
Hang Seng Index® |
4/29/2013 | 330 | 47,434,670 | 187,052 | ||||||||||||
TOPIX |
6/14/2013 | 1,139 | 125,654,804 | 5,380,740 |
Financial Futures (continued) |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
UK Long Gilt |
6/26/2013 | 1,085 | $ | 195,821,057 | $ | 5,812,275 | ||||||||||
10 Year Japan Government Bond |
6/11/2013 | 151 | 233,329,367 | 1,042,652 | ||||||||||||
10 Year U.S. Treasury Note |
6/19/2013 | 1,848 | 243,907,125 | 1,192,328 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 8,815,330 | ||||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
6/19/2013 | 480 | $ | 22,962,000 | $ | (969,000 | ) | |||||||||
Brent Crude Oil |
4/15/2013 | 396 | 43,567,920 | (261,360 | ) | |||||||||||
Copper LME |
6/19/2013 | 340 | 64,073,000 | (1,899,750 | ) | |||||||||||
Gas Oil |
4/11/2013 | 186 | 17,028,300 | (1,404,300 | ) | |||||||||||
Heating Oil |
4/30/2013 | 42 | 5,374,908 | (49,921 | ) | |||||||||||
Light Sweet Crude Oil |
4/22/2013 | 696 | 67,672,080 | 3,278,160 | ||||||||||||
Natural Gas |
4/26/2013 | 152 | 6,116,480 | 509,200 | ||||||||||||
Zinc |
6/19/2013 | 4 | 189,425 | (12,750 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (809,721 | ) | |||||||||||||
|
|
At March 31, 2013, open short futures contracts were as follows:
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
6/19/2013 | 485 | $ | 23,201,188 | $ | 365,928 | ||||||||||
Copper LME |
6/19/2013 | 606 | 114,200,700 | 2,349,976 | ||||||||||||
Gold |
6/26/2013 | 476 | 75,955,320 | 590,240 | ||||||||||||
Nickel |
6/19/2013 | 296 | 29,573,952 | (101,232 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | 3,204,912 | ||||||||||||||
|
|
2 | Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 1,069,509,195 | $ | | $ | 1,069,509,195 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 3,333,117 | | 3,333,117 | ||||||||||||
Futures Contracts (unrealized appreciation) |
25,210,092 | | | 25,210,092 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 25,210,092 | $ | 1,072,842,312 | $ | | $ | 1,098,052,404 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (7,592,349 | ) | $ | | $ | (7,592,349 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(13,999,571 | ) | | | (13,999,571 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (13,999,571 | ) | $ | (7,592,349 | ) | $ | | $ | (21,591,920 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2013, the Fund used long contracts on U.S. and foreign equity market indices, foreign government bonds, and short-term interest rates, and long and short contracts on U.S. Government Bonds, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG |
$ | (4,259,232 | ) | $ | 14,459,673 |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding is $112,767,354 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $109,434,237.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to the Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of March 31, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized appreciation) |
$ | | $ | 3,333,117 | $ | | $ | | ||||||||
Futures (unrealized appreciation) |
10,687,406 | | 7,429,182 | 7,093,504 | ||||||||||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized depreciation) |
$ | | $ | (7,592,349 | ) | $ | | $ | | |||||||
Futures (unrealized depreciation) |
(1,079,638 | ) | | (8,221,620 | ) | (4,698,313 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Investment Summary at March 31, 2013 (Unaudited)
Certificates of Deposit |
52.4 | % | ||
Financial Company Commercial Paper |
24.9 | |||
Commercial Paper |
6.8 | |||
Other Notes |
3.7 | |||
|
|
|||
Total Investments |
87.8 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
12.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
ASG Managed Futures Strategy Fund
Principal |
Description |
Value () | ||||||
|
Short-Term Investments 82.9% of Net Assets |
|||||||
Certificates of Deposit 51.5% | ||||||||
$ 28,900,000 | Canadian Imperial Bank, 0.100%, 4/01/2013 |
$ | 28,900,000 | |||||
29,000,000 | Credit Agricole, 0.180%, 4/01/2013 |
29,000,000 | ||||||
29,000,000 | National Bank of Kuwait, 0.160%, 4/04/2013 |
29,000,000 | ||||||
21,000,000 | China Construction Bank Corp. (NY), 0.220%, 4/04/2013 |
21,000,000 | ||||||
29,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.210%, 5/21/2013 |
29,000,870 | ||||||
25,000,000 | Bank of Montreal (IL), 0.170%, 5/22/2013 |
24,999,225 | ||||||
25,000,000 | Mizuho Corporate Bank, 0.380%, 6/14/2013(b) |
25,007,025 | ||||||
19,000,000 | Norinchukin Bank, 0.380%, 7/08/2013(b) |
19,004,826 | ||||||
29,000,000 | Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b) |
29,007,598 | ||||||
10,000,000 | Norinchukin Bank, 0.380%, 7/12/2013(b) |
10,002,640 | ||||||
29,000,000 | National Australia Bank, 0.240%, 7/16/2013 |
29,008,845 | ||||||
29,000,000 | Deutsche Bank A.G., 0.390%, 9/13/2013 |
29,001,363 | ||||||
25,050,000 | Westpac Banking Corp. (NY), 0.335%, 11/06/2013(b)(c) |
25,057,465 | ||||||
15,000,000 | Toronto Dominion Bank, 0.330%, 11/07/2013(b) |
15,007,425 | ||||||
33,000,000 | Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b) |
32,999,967 | ||||||
|
|
|||||||
375,997,249 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 22.9% | ||||||||
10,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.180%, 4/08/2013(d) |
9,999,590 | ||||||
30,000,000 | Barclays U.S. Funding, 0.150%, 4/12/2013(d) |
29,998,625 | ||||||
9,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 4/26/2013(d) |
8,998,875 | ||||||
20,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.300%, 5/07/2013(d) |
19,996,280 | ||||||
29,000,000 | United Overseas Bank Limited, 0.160%, 5/15/2013(d) |
28,993,417 | ||||||
15,200,000 | Oversea-Chinese Banking Corp. Ltd., 0.210%, 6/25/2013(d) |
15,191,777 | ||||||
25,000,000 | Societe Generale North America, 0.370%, 7/02/2013(d) |
24,981,200 | ||||||
29,000,000 | General Electric Capital Corp., 0.230%, 7/15/2013(d) |
28,984,891 | ||||||
|
|
|||||||
167,144,655 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Commercial Paper 5.8% | ||||||||
$ | 22,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/09/2013(d) |
$ | 21,998,533 | ||||
20,000,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013 |
20,000,400 | ||||||
|
|
|||||||
41,998,933 | ||||||||
|
|
|||||||
Other Notes 2.7% | ||||||||
5,000,000 | JPMorgan Chase Bank NA, 0.361%, 4/07/2014(c) |
4,998,960 | ||||||
15,000,000 | Wells Fargo, 0.330%, 4/17/2014(c) |
15,001,425 | ||||||
|
|
|||||||
20,000,385 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $605,084,143) |
605,141,222 | |||||||
|
|
|||||||
Total Investments 82.9% (Identified Cost $605,084,143)(a) |
605,141,222 | |||||||
Other assets less liabilities 17.1% | 125,005,319 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 730,146,541 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Funds investment in the Subsidiary was $23,188,193, representing 3.2% of the Funds net assets.
() | Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser or subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.
Broker-dealer bid prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Futures contracts are valued at their most recent settlement price.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At March 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $605,084,143 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 60,585 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(3,506 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 57,079 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
At December 31, 2012, the Fund had a short-term capital loss carryforward of $46,702,235 with no expiration date and a long-term capital loss carryforward of $30,123,466 with no expiration date. At December 31, 2012, late-year ordinary and post-October capital loss deferrals were $3,927,824. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(c) | Variable rate security. Rate as of March 31, 2013 is disclosed. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract |
Delivery |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell | 6/19/2013 | Australian Dollar | 10,600,000 | $ | 10,972,609 | $ | (207,133 | ) | ||||||||||
Buy | 6/19/2013 | Australian Dollar | 8,500,000 | 8,798,790 | 24,779 | |||||||||||||
Buy | 6/19/2013 | Australian Dollar | 12,200,000 | 12,628,852 | (75,610 | ) | ||||||||||||
Buy | 6/19/2013 | British Pound | 12,312,500 | 18,700,747 | 42,611 | |||||||||||||
Sell | 6/19/2013 | British Pound | 29,062,500 | 44,141,356 | (872,830 | ) | ||||||||||||
Buy | 6/19/2013 | Canadian Dollar | 9,200,000 | 9,040,617 | 80,515 | |||||||||||||
Sell | 6/19/2013 | Canadian Dollar | 37,900,000 | 37,243,412 | (452,474 | ) | ||||||||||||
Buy | 6/19/2013 | Euro | 9,000,000 | 11,543,047 | (163,631 | ) | ||||||||||||
Sell | 6/19/2013 | Euro | 17,625,000 | 22,605,134 | 366,784 | |||||||||||||
Buy | 6/19/2013 | Japanese Yen | 900,000,000 | 9,565,940 | 36,083 | |||||||||||||
Buy | 6/19/2013 | Japanese Yen | 975,000,000 | 10,363,102 | (6,459 | ) | ||||||||||||
Sell | 6/19/2013 | Japanese Yen | 3,862,500,000 | 41,053,826 | (859,677 | ) | ||||||||||||
Buy | 6/19/2013 | New Zealand Dollar | 39,500,000 | 32,881,036 | 442,124 | |||||||||||||
Sell | 6/19/2013 | New Zealand Dollar | 13,300,000 | 11,071,336 | (200,555 | ) | ||||||||||||
Buy | 6/19/2013 | Norwegian Krone | 2,000,000 | 341,394 | (6,000 | ) | ||||||||||||
Sell | 6/19/2013 | Norwegian Krone | 74,000,000 | 12,631,593 | 39,937 | |||||||||||||
Buy | 6/19/2013 | Singapore Dollar | 47,000,000 | 37,899,990 | 69,162 | |||||||||||||
Buy | 6/19/2013 | Singapore Dollar | 13,000,000 | 10,482,976 | (5,691 | ) | ||||||||||||
Sell | 6/19/2013 | Singapore Dollar | 50,375,000 | 40,621,532 | (261,543 | ) | ||||||||||||
Buy | 6/19/2013 | Swedish Krona | 152,000,000 | 23,287,310 | (381,060 | ) | ||||||||||||
Sell | 6/19/2013 | Swedish Krona | 78,000,000 | 11,950,067 | 52,902 | |||||||||||||
Sell | 6/19/2013 | Swiss Franc | 6,875,000 | 7,249,342 | 38,060 | |||||||||||||
Sell | 6/19/2013 | Swiss Franc | 9,000,000 | 9,490,047 | (8,259 | ) | ||||||||||||
Buy | 6/19/2013 | Turkish Lira | 17,400,000 | 9,521,472 | (7,459 | ) | ||||||||||||
Sell | 6/19/2013 | Turkish Lira | 35,400,000 | 19,371,270 | (58,853 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | (2,374,277 | ) | |||||||||||||||
|
|
1 | Counterparty is UBS AG. |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
4/19/2013 | 641 | $ | 57,089,378 | $ | (582,858 | ) | |||||||||
ASX SPI 200 |
6/20/2013 | 596 | 77,053,773 | (820,062 | ) | |||||||||||
CAC 40® |
4/19/2013 | 985 | 47,121,091 | (1,420,451 | ) | |||||||||||
DAX |
6/21/2013 | 233 | 58,244,624 | (1,441,089 | ) | |||||||||||
E-mini Dow |
6/21/2013 | 1,159 | 84,010,115 | 1,380,550 | ||||||||||||
E-mini NASDAQ 100 |
6/21/2013 | 1,095 | 61,560,900 | 341,996 | ||||||||||||
E-mini S&P 500® |
6/21/2013 | 819 | 63,992,565 | 1,021,703 | ||||||||||||
Euribor |
9/16/2013 | 5,518 | 1,763,096,638 | (710,546 | ) | |||||||||||
Euro Schatz |
6/06/2013 | 8,558 | 1,215,704,159 | 855,507 | ||||||||||||
EURO STOXX 50® |
6/21/2013 | 1,324 | 43,345,733 | (1,321,793 | ) | |||||||||||
Eurodollar |
9/16/2013 | 5,170 | 1,287,717,750 | (491,262 | ) | |||||||||||
FTSE 100 Index |
6/21/2013 | 626 | 60,409,157 | (385,226 | ) | |||||||||||
FTSE/JSE Top 40 Index |
6/20/2013 | 1,312 | 50,671,939 | (910,081 | ) | |||||||||||
FTSE MIB |
6/21/2013 | 172 | 16,576,664 | (789,883 | ) | |||||||||||
German Euro BOBL |
6/06/2013 | 3,842 | 624,079,618 | 2,457,936 | ||||||||||||
German Euro Bund |
6/06/2013 | 1,798 | 335,320,655 | 3,361,884 | ||||||||||||
Hang Seng Index® |
4/29/2013 | 211 | 30,329,441 | 119,600 | ||||||||||||
IBEX 35 |
4/19/2013 | 396 | 39,765,888 | (3,336,793 | ) | |||||||||||
Mini-Russell 2000 |
6/21/2013 | 705 | 66,897,450 | 1,246,205 | ||||||||||||
MSCI Singapore |
4/29/2013 | 1,047 | 62,937,332 | 476,075 | ||||||||||||
MSCI Taiwan Index |
4/29/2013 | 1,564 | 44,480,160 | 469,200 | ||||||||||||
Nikkei 225 |
6/14/2013 | 449 | 59,144,845 | 3,407,925 | ||||||||||||
OMXS30® |
4/19/2013 | 3,660 | 66,835,979 | 673,181 | ||||||||||||
S&P/TSX 60 Index |
6/20/2013 | 411 | 58,980,735 | (314,019 | ) | |||||||||||
S&P CNX Nifty Futures Index |
4/25/2013 | 1,638 | 18,738,720 | 194,436 | ||||||||||||
Sterling |
9/18/2013 | 6,958 | 1,314,801,530 | (810,512 | ) | |||||||||||
TOPIX |
6/14/2013 | 637 | 70,274,021 | 3,519,106 | ||||||||||||
UK Long Gilt |
6/26/2013 | 1,047 | 188,962,808 | 2,172,540 | ||||||||||||
2 Year U.S. Treasury Note |
6/28/2013 | 6,321 | 1,393,484,209 | 434,231 | ||||||||||||
3 Year Australia Government Bond |
6/17/2013 | 774 | 87,810,253 | 338,586 | ||||||||||||
5 Year U.S. Treasury Note |
6/28/2013 | 3,184 | 394,990,127 | 461,814 | ||||||||||||
10 Year Australia Government Bond |
6/17/2013 | 356 | 45,071,405 | 711,888 | ||||||||||||
10 Year Canada Government Bond |
6/19/2013 | 1,907 | 253,465,709 | 1,306,787 | ||||||||||||
10 Year Japan Government Bond |
6/11/2013 | 431 | 665,993,095 | 2,015,297 | ||||||||||||
10 Year U.S. Treasury Note |
6/19/2013 | 1,639 | 216,322,391 | 565,656 | ||||||||||||
30 Year U.S. Treasury Bond |
6/19/2013 | 499 | 72,089,906 | 358,656 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 14,556,184 | ||||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
4/15/2013 | 77 | $ | 8,471,540 | $ | (50,820 | ) | |||||||||
Corn |
5/14/2013 | 394 | 13,696,425 | (375,562 | ) | |||||||||||
Cotton |
5/08/2013 | 636 | 28,130,280 | 707,965 | ||||||||||||
Gasoline |
4/30/2013 | 151 | 19,727,425 | (204,847 | ) | |||||||||||
Light Sweet Crude Oil |
4/22/2013 | 147 | 14,292,810 | 425,280 | ||||||||||||
Natural Gas |
4/26/2013 | 289 | 11,629,360 | 287,070 | ||||||||||||
Soybean |
5/14/2013 | 247 | 17,348,663 | (492,062 | ) | |||||||||||
Soybean Meal |
5/14/2013 | 415 | 16,790,900 | (745,000 | ) | |||||||||||
Soybean Oil |
5/14/2013 | 380 | 11,425,080 | (356,232 | ) | |||||||||||
Wheat |
5/14/2013 | 20 | 687,750 | (36,000 | ) | |||||||||||
Zinc |
6/19/2013 | 297 | 14,064,806 | (946,688 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (1,786,896 | ) | |||||||||||||
|
|
At March 31, 2013, open short futures contracts were as follows:
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
6/19/2013 | 181 | $ | 8,658,587 | $ | 66,194 | ||||||||||
Cocoa |
5/15/2013 | 255 | 5,533,500 | (252,030 | ) | |||||||||||
Coffee |
5/20/2013 | 348 | 17,898,075 | 221,831 | ||||||||||||
Copper High Grade |
5/29/2013 | 196 | 16,669,800 | 643,787 | ||||||||||||
Copper LME |
6/19/2013 | 106 | 19,975,700 | 657,894 | ||||||||||||
Gas Oil |
4/11/2013 | 12 | 1,098,600 | (20,100 | ) | |||||||||||
Gold |
6/26/2013 | 14 | 2,233,980 | 17,360 | ||||||||||||
KC Wheat |
5/14/2013 | 239 | 8,684,663 | 614,925 | ||||||||||||
Live Cattle |
6/28/2013 | 568 | 28,258,000 | (692,950 | ) | |||||||||||
Nickel |
6/19/2013 | 58 | 5,794,896 | (1,020 | ) | |||||||||||
Silver |
5/29/2013 | 99 | 14,019,885 | 215,820 | ||||||||||||
Sugar |
4/30/2013 | 504 | 9,968,717 | 231,437 | ||||||||||||
Zinc |
6/19/2013 | 312 | 14,775,150 | 511,552 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 2,214,700 | ||||||||||||||
|
|
2 | Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 605,141,222 | $ | | $ | 605,141,222 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 1,192,957 | | 1,192,957 | ||||||||||||
Futures Contracts (unrealized appreciation) |
32,491,874 | | | 32,491,874 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 32,491,874 | $ | 606,334,179 | $ | | $ | 638,826,053 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (3,567,234 | ) | $ | | $ | (3,567,234 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(17,507,886 | ) | | | (17,507,886 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (17,507,886 | ) | $ | (3,567,234 | ) | $ | | $ | (21,075,120 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the period ended March 31, 2013, the Fund used long contracts on U.S. and foreign equity market indices and U.S. government bonds and long and short contracts on foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates in accordance with these objectives.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG |
$ | (2,374,277 | ) | $ | 7,491,083 |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding is $142,158,383 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $140,965,426.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to the Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of March 31, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized appreciation) |
$ | | $ | 1,192,957 | $ | | $ | | ||||||||
Futures (unrealized appreciation) |
15,040,782 | | 12,849,977 | 4,601,115 | ||||||||||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized depreciation) |
$ | | $ | (3,567,234 | ) | $ | | $ | | |||||||
Futures (unrealized depreciation) |
(2,012,320 | ) | | (11,322,255 | ) | (4,173,311 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Investment Summary at March 31, 2013 (Unaudited)
Certificates of Deposit |
51.5 | % | ||
Financial Company Commercial Paper |
22.9 | % | ||
Commercial Paper |
5.8 | % | ||
Other Notes |
2.7 | % | ||
|
|
|||
Total Investments |
82.9 | % | ||
Other Assets Less Liabilities (including open forward foreign currency and futures contracts) |
17.1 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
Harris Associates Large Cap Value Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 95.7% of Net Assets |
| ||||||
Aerospace & Defense 3.4% | ||||||||
56,100 | Boeing Co. (The) | $ | 4,816,185 | |||||
|
|
|||||||
Air Freight & Logistics 3.4% | ||||||||
49,100 | FedEx Corp. | 4,821,620 | ||||||
|
|
|||||||
Auto Components 6.3% | ||||||||
43,400 | Autoliv, Inc. | 3,000,676 | ||||||
85,900 | Delphi Automotive PLC | 3,813,960 | ||||||
40,700 | TRW Automotive Holdings Corp.(b) | 2,238,500 | ||||||
|
|
|||||||
9,053,136 | ||||||||
|
|
|||||||
Automobiles 1.5% | ||||||||
20,800 | Toyota Motor Corp., Sponsored ADR | 2,134,912 | ||||||
|
|
|||||||
Capital Markets 7.7% | ||||||||
6,000 | BlackRock, Inc. | 1,541,280 | ||||||
32,400 | Franklin Resources, Inc. | 4,886,244 | ||||||
31,200 | Goldman Sachs Group, Inc. (The) | 4,591,080 | ||||||
|
|
|||||||
11,018,604 | ||||||||
|
|
|||||||
Commercial Banks 5.0% | ||||||||
193,100 | Wells Fargo & Co. | 7,142,769 | ||||||
|
|
|||||||
Consumer Finance 2.1% | ||||||||
54,400 | Capital One Financial Corp. | 2,989,280 | ||||||
|
|
|||||||
Diversified Financial Services 6.5% | ||||||||
57,600 | CME Group, Inc., Class A | 3,536,064 | ||||||
123,100 | JPMorgan Chase & Co. | 5,842,326 | ||||||
|
|
|||||||
9,378,390 | ||||||||
|
|
|||||||
Electrical Equipment 1.7% | ||||||||
27,900 | Rockwell Automation, Inc. | 2,409,165 | ||||||
|
|
|||||||
Energy Equipment & Services 2.6% | ||||||||
52,200 | National Oilwell Varco, Inc. | 3,693,150 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 1.0% | ||||||||
31,700 | Medtronic, Inc. | 1,488,632 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 6.2% | ||||||||
106,100 | Marriott International, Inc., Class A | 4,480,603 | ||||||
22,600 | McDonalds Corp. | 2,252,994 | ||||||
33,400 | Starwood Hotels & Resorts Worldwide, Inc. | 2,128,582 | ||||||
|
|
|||||||
8,862,179 | ||||||||
|
|
|||||||
Insurance 3.0% | ||||||||
111,000 | American International Group, Inc.(b) | 4,309,020 | ||||||
|
|
|||||||
Internet Software & Services 0.8% | ||||||||
1,400 | Google, Inc., Class A(b) | 1,111,642 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
IT Services 7.1% | ||||||||
11,300 | MasterCard, Inc., Class A | $ | 6,114,769 | |||||
23,800 | Visa, Inc., Class A | 4,042,192 | ||||||
|
|
|||||||
10,156,961 | ||||||||
|
|
|||||||
Machinery 8.3% | ||||||||
20,300 | Caterpillar, Inc. | 1,765,491 | ||||||
28,400 | Cummins, Inc. | 3,289,004 | ||||||
83,500 | Illinois Tool Works, Inc. | 5,088,490 | ||||||
18,400 | Parker Hannifin Corp. | 1,685,072 | ||||||
|
|
|||||||
11,828,057 | ||||||||
|
|
|||||||
Media 4.3% | ||||||||
79,600 | Comcast Corp., Special Class A | 3,153,752 | ||||||
39,900 | Omnicom Group, Inc. | 2,350,110 | ||||||
11,600 | Walt Disney Co. (The) | 658,880 | ||||||
|
|
|||||||
6,162,742 | ||||||||
|
|
|||||||
Multiline Retail 1.4% | ||||||||
33,000 | Family Dollar Stores, Inc. | 1,948,650 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.4% | ||||||||
38,500 | ExxonMobil Corp. | 3,469,235 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 11.7% | ||||||||
340,000 | Applied Materials, Inc. | 4,583,200 | ||||||
310,000 | Intel Corp. | 6,773,500 | ||||||
61,700 | Lam Research Corp.(b) | 2,558,082 | ||||||
82,300 | Texas Instruments, Inc. | 2,920,004 | ||||||
|
|
|||||||
16,834,786 | ||||||||
|
|
|||||||
Software 3.9% | ||||||||
172,400 | Oracle Corp. | 5,575,416 | ||||||
|
|
|||||||
Specialty Retail 4.4% | ||||||||
17,900 | Advance Auto Parts, Inc. | 1,479,435 | ||||||
49,600 | CarMax, Inc.(b) | 2,068,320 | ||||||
39,600 | Tiffany & Co. | 2,753,784 | ||||||
|
|
|||||||
6,301,539 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.0% | ||||||||
25,400 | NIKE, Inc., Class B | 1,498,854 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $104,376,603) | 137,004,924 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 4.6% |
| ||||||
$ | 6,571,387 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $6,571,387 on 4/01/2013 collateralized by $6,715,000 U.S Treasury Note, 0.250% due 9/15/2015 valued at $6,706,606 including accrued interest(c) (Identified Cost $6,571,387) | 6,571,387 | |||||
|
|
Description |
Value () | |||
Total Investments 100.3% (Identified Cost $110,947,990)(a) |
$ | 143,576,311 | ||
Other assets less liabilities (0.3)% |
(394,180 | ) | ||
|
|
|||
Net Assets 100.0% |
$ | 143,182,131 | ||
|
|
() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.
Broker-dealer bid prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Investments in other open-end investment companies are valued at their net asset value each day.
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At March 31, 2013, the net unrealized appreciation on investments based on a cost of $110,947,990 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 32,628,321 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
| |||
|
|
|||
Net unrealized appreciation |
$ | 32,628,321 | ||
|
|
At December 31, 2012, the Fund had a short-term capital loss carryforward of $6,087,105 of which $5,297,011 expires on December 31, 2017 and $790,094 expires on December 31, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Non-income producing security. |
(c) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 137,004,924 | $ | | $ | | $ | 137,004,924 | ||||||||
Short-Term Investments |
| 6,571,387 | | 6,571,387 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 137,004,924 | $ | 6,571,387 | $ | | $ | 143,576,311 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at March 31, 2013 (Unaudited)
Semiconductors & Semiconductor Equipment |
11.7 | % | ||
Machinery |
8.3 | |||
Capital Markets |
7.7 | |||
IT Services |
7.1 | |||
Diversified Financial Services |
6.5 | |||
Auto Components |
6.3 | |||
Hotels, Restaurants & Leisure |
6.2 | |||
Commercial Banks |
5.0 | |||
Specialty Retail |
4.4 | |||
Media |
4.3 | |||
Software |
3.9 | |||
Air Freight & Logistics |
3.4 | |||
Aerospace & Defense |
3.4 | |||
Insurance |
3.0 | |||
Energy Equipment & Services |
2.6 | |||
Oil, Gas & Consumable Fuels |
2.4 | |||
Consumer Finance |
2.1 | |||
Other Investments, less than 2% each |
7.4 | |||
Short-Term Investments |
4.6 | |||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 69.2% of Net Assets |
|||||||
|
Non-Convertible Bonds 65.6% |
|||||||
ABS Home Equity 6.0% | ||||||||
$ | 1,821,893 | Banc of America Funding Corp., Series 2004-B, Class 4A2, 2.975%, 11/20/2034(b) |
$ | 1,651,666 | ||||
950,362 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.652%, 7/25/2037, 144A(b) |
588,666 | ||||||
1,047,981 | Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 3.135%, 9/25/2034(b) |
979,269 | ||||||
1,528,847 | Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.475%, 2/22/2035(b) |
1,175,459 | ||||||
756,601 | CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 |
650,595 | ||||||
1,437,760 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037 |
1,239,728 | ||||||
2,352,417 | CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037 |
2,089,363 | ||||||
1,361,577 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.414%, 5/25/2035(b) |
1,029,907 | ||||||
953,106 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 |
656,535 | ||||||
1,070,315 | Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037 |
909,341 | ||||||
285,394 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.718%, 9/20/2034(b) |
271,530 | ||||||
1,821,558 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.713%, 4/25/2035(b) |
1,128,798 | ||||||
572,306 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.474%, 4/25/2035(b) |
424,741 | ||||||
2,168,192 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035(c) |
2,173,606 | ||||||
1,896,450 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 3A1, 2.764%, 6/25/2034(b) |
1,867,486 | ||||||
481,426 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028 |
497,618 | ||||||
1,507,041 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035 |
1,313,598 | ||||||
859,992 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021 |
719,190 | ||||||
2,497,939 | Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.354%, 11/25/2036(b) |
1,080,811 | ||||||
2,519,111 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.403%, 6/19/2035(b)(c) |
2,471,074 | ||||||
1,134,215 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.586%, 7/19/2035(b) |
1,044,970 | ||||||
341,717 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.127%, 12/25/2034(b) |
297,852 | ||||||
1,147,961 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.045%, 7/25/2035(b) |
1,055,303 | ||||||
2,073,631 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 |
1,809,115 | ||||||
209,200 | Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.553%, 1/19/2035(b) |
141,943 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued |
||||||||
$ | 1,789,075 | Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.974%, 12/19/2035(b) |
$ | 1,531,478 | ||||
2,648,367 | Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.314%, 5/25/2037(b) |
1,703,800 | ||||||
1,285,895 | IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.984%, 12/25/2034(b) |
978,454 | ||||||
1,295,954 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.524%, 7/25/2045(b) |
1,090,427 | ||||||
1,017,003 | JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.364%, 12/25/2036(b) |
679,501 | ||||||
2,214,161 | Lehman XS Trust, Series 2006-12N, Class A2A1, 0.354%, 8/25/2046(b) |
2,179,060 | ||||||
2,910,483 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.424%, 4/25/2046(b) |
2,049,262 | ||||||
2,069,735 | Lehman XS Trust, Series 2007-10H, Class 1A11, 0.324%, 7/25/2037(b)(d) |
1,289,784 | ||||||
985,367 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.269%, 5/25/2034(b) |
934,034 | ||||||
965,979 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.990%, 4/25/2036(b) |
892,002 | ||||||
696,409 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.364%, 1/25/2047(b) |
486,906 | ||||||
2,282,966 | MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.444%, 5/25/2037(b) |
1,569,096 | ||||||
2,463,836 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037 |
1,838,618 | ||||||
536,327 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.274%, 5/25/2036(b) |
534,590 | ||||||
1,522,950 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 |
1,424,271 | ||||||
2,800,000 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c) |
2,816,428 | ||||||
341,683 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.936%, 10/25/2035(b) |
338,504 | ||||||
3,129,206 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(c) |
2,664,775 | ||||||
1,334,387 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 |
1,378,298 | ||||||
771,192 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.514%, 7/25/2035(b) |
576,544 | ||||||
585,237 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.571%, 9/25/2046(b) |
514,478 | ||||||
302,890 | WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.984%, 12/25/2046(b) |
267,964 | ||||||
573,146 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 4.560%, 10/25/2033(b) |
573,219 | ||||||
773,518 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 |
800,174 | ||||||
901,862 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035 |
924,934 | ||||||
|
|
|||||||
57,304,765 | ||||||||
|
|
|||||||
ABS Other 0.5% | ||||||||
2,224,523 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A |
2,283,390 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Other continued | ||||||||
$ | 730,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A |
$ | 741,042 | ||||
425,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A |
427,679 | ||||||
846,695 | Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A |
869,441 | ||||||
|
|
|||||||
4,321,552 | ||||||||
|
|
|||||||
Aerospace & Defense 1.6% | ||||||||
9,203,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c) |
8,091,480 | ||||||
1,835,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
1,729,488 | ||||||
5,905,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c) |
5,344,025 | ||||||
|
|
|||||||
15,164,993 | ||||||||
|
|
|||||||
Airlines 2.2% | ||||||||
2,900,000 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A |
2,948,937 | ||||||
680,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 4/29/2026 |
707,200 | ||||||
505,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 |
527,725 | ||||||
965,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
969,825 | ||||||
2,289,043 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 |
2,529,393 | ||||||
113,709 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
118,826 | ||||||
1,985,088 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
2,248,112 | ||||||
5,160,000 | Doric Nimrod Air Finance Alpha Ltd., Pass Through Trust, Series 2012-1, Class A, 5.125%, 11/30/2024, 144A(c) |
5,547,000 | ||||||
1,868,106 | US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025 |
2,143,652 | ||||||
1,615,000 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
1,804,763 | ||||||
1,310,000 | US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026 |
1,365,675 | ||||||
|
|
|||||||
20,911,108 | ||||||||
|
|
|||||||
Automotive 1.2% | ||||||||
3,000,000 | Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)(c) |
3,036,442 | ||||||
8,500,000 | Toyota Motor Credit Corp., MTN, 0.430%, 3/10/2015(b)(c) |
8,508,152 | ||||||
|
|
|||||||
11,544,594 | ||||||||
|
|
|||||||
Banking 4.9% | ||||||||
1,500,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)(c) |
3,133,616 | ||||||
3,950,000 | Barclays Bank PLC, EMTN, 6.000%, 1/14/2021, (EUR)(c) |
5,541,794 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking continued | ||||||||
600,000 | GMAC International Finance BV, 7.500%, 4/21/2015, (EUR) |
$ | 837,346 | |||||
7,920,000 | Intesa Sanpaolo S.p.A., 6.500%, 2/24/2021, 144A |
8,160,847 | ||||||
5,285,000 | Lloyds TSB Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)(c) |
7,483,433 | ||||||
3,105,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c) |
3,211,495 | ||||||
2,000,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)(c) |
2,561,361 | ||||||
1,950,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)(c) |
2,699,578 | ||||||
4,500,000 | Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)(c) |
6,547,053 | ||||||
6,600,000 | Standard Chartered PLC, 3.950%, 1/11/2023, 144A(c) | 6,573,197 | ||||||
|
|
|||||||
46,749,720 | ||||||||
|
|
|||||||
Brokerage 0.4% | ||||||||
3,250,000 | Jefferies Group LLC, 5.125%, 1/20/2023(c) |
3,441,022 | ||||||
|
|
|||||||
Building Materials 0.9% | ||||||||
2,400,000 | Odebrecht Finance Ltd., 7.125%, 6/26/2042, 144A(c) |
2,718,000 | ||||||
5,960,000 | Owens Corning, 4.200%, 12/15/2022(c) |
6,095,572 | ||||||
|
|
|||||||
8,813,572 | ||||||||
|
|
|||||||
Chemicals 0.9% | ||||||||
3,170,000 | Hercules, Inc., 6.500%, 6/30/2029(c) |
2,853,000 | ||||||
5,630,000 | Orion Engineered Carbons Finance & Co. SCA, 9.250%, 8/01/2019, 144A(c)(e) |
5,686,300 | ||||||
|
|
|||||||
8,539,300 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.2% | ||||||||
45,653,311 | Government National Mortgage Association, Series 2010-83, Class IO, 1.018%, 7/16/2050(b)(f) |
2,244,408 | ||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 3.5% | ||||||||
950,000 | Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 5.822%, 5/11/2039, 144A(b) |
965,303 | ||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.548%, 4/15/2044, 144A(b)(c) |
4,832,619 | ||||||
2,376,607 | CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(c) |
2,552,863 | ||||||
5,109,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)(c) |
5,415,627 | ||||||
3,430,000 | Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(b)(c) |
3,560,244 | ||||||
4,340,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.787%, 8/10/2045(b)(c) |
4,361,361 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$ | 1,520,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 |
$ | 1,621,962 | ||||
1,300,000 | Morgan Stanley Capital I, Series 2011-C1, Class E, 5.254%, 9/15/2047, 144A(b) |
1,360,813 | ||||||
2,125,000 | Morgan Stanley Capital I, Series 2011-C2, Class E, 5.317%, 6/15/2044, 144A(b) |
2,218,619 | ||||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b) |
1,445,811 | ||||||
5,175,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.465%, 2/15/2044, 144A(b)(c) |
5,397,903 | ||||||
|
|
|||||||
33,733,125 | ||||||||
|
|
|||||||
Construction Machinery 1.8% | ||||||||
17,660,000 | Caterpillar Financial Services Corp., MTN, 0.527%, 2/26/2016(b)(c) |
17,675,435 | ||||||
|
|
|||||||
Consumer Products 0.2% | ||||||||
1,450,000 | Avon Products, Inc., 4.600%, 3/15/2020 |
1,506,221 | ||||||
|
|
|||||||
Diversified Manufacturing 1.0% | ||||||||
3,000,000 | Mcron Finance Sub LLC/Mcron Finance Corp., 8.375%, 5/15/2019, 144A(c) |
3,315,000 | ||||||
1,100,000 | Milacron LLC/Mcron Finance Corp., 7.750%, 2/15/2021, 144A |
1,137,125 | ||||||
4,500,000 | Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A(c) |
4,871,250 | ||||||
|
|
|||||||
9,323,375 | ||||||||
|
|
|||||||
Electric 2.8% | ||||||||
4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL) |
2,188,078 | ||||||
3,300,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |
3,140,600 | ||||||
800,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A |
826,165 | ||||||
5,510,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A(c) |
6,198,750 | ||||||
7,570,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.750%, 3/01/2022, 144A(c) |
8,705,500 | ||||||
5,320,000 | Georgia Power Co., 0.600%, 3/15/2016(b) |
5,323,080 | ||||||
|
|
|||||||
26,382,173 | ||||||||
|
|
|||||||
Financial Other 0.7% | ||||||||
1,625,000 | Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A |
1,676,478 | ||||||
585,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
650,551 | ||||||
4,400,000 | Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A |
4,228,400 | ||||||
|
|
|||||||
6,555,429 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Food & Beverage 1.6% | ||||||||
$ | 800,000 | Alicorp SAA, 3.875%, 3/20/2023, 144A | $ | 798,000 | ||||
4,600,000 | BRFBrazil Foods S.A., 5.875%, 6/06/2022, 144A(c) | 5,117,500 | ||||||
2,300,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) | 1,173,475 | ||||||
3,500,000 | General Mills, Inc., Series FRN, 0.601%, 1/29/2016(b)(c) | 3,502,989 | ||||||
4,455,000 | Hawk Acquisition Sub, Inc., 4.250%, 10/15/2020, 144A | 4,460,569 | ||||||
|
|
|||||||
15,052,533 | ||||||||
|
|
|||||||
Government OwnedNo Guarantee 1.5% | ||||||||
8,000,000 | Gazprom Neft OAO Via GPN Capital S.A., 4.375%, 9/19/2022, 144A(c) | 7,890,000 | ||||||
700,000() | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c) | 6,421,108 | ||||||
|
|
|||||||
14,311,108 | ||||||||
|
|
|||||||
Government Sponsored 0.4% | ||||||||
1,410,000 | EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF) | 1,312,267 | ||||||
2,275,000 | Eksportfinans ASA, 2.000%, 9/15/2015 | 2,184,200 | ||||||
55,000 | Eksportfinans ASA, 2.375%, 5/25/2016 | 52,319 | ||||||
|
|
|||||||
3,548,786 | ||||||||
|
|
|||||||
Healthcare 0.1% | ||||||||
450,000 | Owens & Minor, Inc., 6.350%, 4/15/2016 | 492,516 | ||||||
|
|
|||||||
Home Construction 0.1% | ||||||||
650,000 | Country Garden Holdings Co., Ltd, 7.500%, 1/10/2023, 144A | 663,845 | ||||||
|
|
|||||||
Independent Energy 2.0% | ||||||||
2,335,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A | 1,535,262 | ||||||
670,000 | Halcon Resources Corp., 8.875%, 5/15/2021, 144A | 721,925 | ||||||
2,660,000 | Halcon Resources Corp., 9.750%, 7/15/2020, 144A(c) | 2,939,300 | ||||||
7,790,000 | Newfield Exploration Co., 5.625%, 7/01/2024(c) | 8,043,175 | ||||||
3,060,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A | 2,310,300 | ||||||
4,975,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c) | 3,880,500 | ||||||
|
|
|||||||
19,430,462 | ||||||||
|
|
|||||||
Industrial Other 0.7% | ||||||||
5,900,000 | Steelcase, Inc., 6.375%, 2/15/2021(c) |
6,522,999 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Integrated Energy 0.8% | ||||||||
$ | 8,110,000 | Sasol Financing International PLC, 4.500%, 11/14/2022(c) |
$ | 8,018,762 | ||||
|
|
|||||||
Life Insurance 1.1% | ||||||||
6,263,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A(c) |
6,216,027 | ||||||
3,300,000 | Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A(c) |
4,133,250 | ||||||
|
|
|||||||
10,349,277 | ||||||||
|
|
|||||||
Local Authorities 2.0% | ||||||||
6,235,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)(c) |
6,251,448 | ||||||
11,605,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)(c) |
12,579,289 | ||||||
|
|
|||||||
18,830,737 | ||||||||
|
|
|||||||
Media Cable 0.2% | ||||||||
1,500,000 | Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD) |
1,784,806 | ||||||
|
|
|||||||
Media Non-Cable 2.6% | ||||||||
5,535,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014(c) |
5,424,300 | ||||||
5,720,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c) |
5,970,250 | ||||||
230,000 | Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3/15/2020 |
237,763 | ||||||
745,000 | Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A |
767,350 | ||||||
5,355,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A |
5,448,712 | ||||||
2,975,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A |
3,023,344 | ||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 12/19/2049, 144A |
4,060,200 | ||||||
|
|
|||||||
24,931,919 | ||||||||
|
|
|||||||
Metals & Mining 3.7% | ||||||||
5,700,000 | Anglo American Capital PLC, 4.125%, 9/27/2022, 144A(c) |
5,897,317 | ||||||
2,940,000 | AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022(c) |
2,980,272 | ||||||
4,875,000 | ArcelorMittal, 7.250%, 3/01/2041(c) |
4,850,625 | ||||||
5,535,000 | IAMGOLD Corp., 6.750%, 10/01/2020, 144A |
5,327,437 | ||||||
2,280,000 | New Gold, Inc., 6.250%, 11/15/2022, 144A(c) |
2,388,300 | ||||||
2,830,000 | Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A(c) |
2,940,345 | ||||||
3,175,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A(c) |
3,089,275 | ||||||
980,000 | Steel Dynamics, Inc., 5.250%, 4/15/2023, 144A |
993,475 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Metals & Mining continued | ||||||||
$ | 1,370,000 | Teck Resources Ltd., 5.200%, 3/01/2042 |
$ | 1,262,523 | ||||
2,450,000 | Teck Resources Ltd., 5.400%, 2/01/2043(c) |
2,324,810 | ||||||
3,440,000 | Xstrata Finance Canada Ltd., 5.300%, 10/25/2042, 144A(c) |
3,335,049 | ||||||
|
|
|||||||
35,389,428 | ||||||||
|
|
|||||||
Non-Captive Diversified 1.1% | ||||||||
4,700,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/29/2049(c) |
5,466,405 | ||||||
4,300,000 | General Electric Capital Corp., Series B, (fixed rate to 12/15/2022, variable rate thereafter), 6.250%, 12/15/2049(c) |
4,719,392 | ||||||
|
|
|||||||
10,185,797 | ||||||||
|
|
|||||||
Oil Field Services 1.0% | ||||||||
2,190,000 | Basic Energy Services, Inc., 7.750%, 10/15/2022(c) |
2,255,700 | ||||||
4,000,000 | Rosneft Oil Co. via Rosneft International Finance Ltd., 4.199%, 3/06/2022, 144A(c) |
3,965,000 | ||||||
3,630,933 | Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(c) |
3,758,016 | ||||||
|
|
|||||||
9,978,716 | ||||||||
|
|
|||||||
Packaging 0.2% | ||||||||
1,155,000 | OI European Group BV, 4.875%, 3/31/2021, 144A, (EUR) |
1,493,492 | ||||||
|
|
|||||||
Pharmaceuticals 0.5% | ||||||||
875,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A |
922,578 | ||||||
3,380,000 | VPI Escrow Corp., 6.375%, 10/15/2020, 144A(c) |
3,561,675 | ||||||
|
|
|||||||
4,484,253 | ||||||||
|
|
|||||||
Pipelines 0.4% | ||||||||
3,825,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A(c) |
4,295,295 | ||||||
|
|
|||||||
Real Estate Management/Services 0.2% | ||||||||
2,215,000 | CBRE Services, Inc., 5.000%, 3/15/2023 |
2,239,919 | ||||||
|
|
|||||||
Retailers 0.2% | ||||||||
2,279,000 | Toys R Us Property Co. II LLC, 8.500%, 12/01/2017 |
2,407,194 | ||||||
|
|
|||||||
Sovereigns 0.2% | ||||||||
4,450,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
2,345,293 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Supermarkets 0.4% | ||||||||
$ | 760,000 | Delhaize Group S.A., 5.700%, 10/01/2040 |
$ | 741,460 | ||||
3,400,000 | SUPERVALU, Inc., 8.000%, 5/01/2016(c) |
3,536,000 | ||||||
|
|
|||||||
4,277,460 | ||||||||
|
|
|||||||
Technology 2.7% | ||||||||
3,840,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(c) |
2,956,800 | ||||||
4,650,000 | First Data Corp., 10.625%, 6/15/2021, 144A |
4,702,313 | ||||||
7,880,000 | Hewlett-Packard Co., 4.650%, 12/09/2021(c) |
8,170,780 | ||||||
4,955,000 | Ingram Micro, Inc., 5.000%, 8/10/2022(c) |
5,197,081 | ||||||
3,725,000 | Nokia Siemens Networks Finance BV, 6.750%, 4/15/2018, 144A, (EUR) |
4,858,455 | ||||||
|
|
|||||||
25,885,429 | ||||||||
|
|
|||||||
Treasuries 9.5% | ||||||||
20,395,000 | Canadian Government, 2.750%, 9/01/2016, (CAD)(c) |
21,130,011 | ||||||
2,550,000,000 | Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(c) |
5,820,652 | ||||||
2,965,000 | Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR) |
4,036,900 | ||||||
6,600,000,000 | Korea Treasury Bond, 3.250%, 12/10/2014, (KRW)(c) |
6,004,358 | ||||||
1,260,000 | () | Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)(c) |
10,572,985 | |||||
696,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
6,244,478 | |||||
620,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)(c) |
5,479,368 | |||||
325,500 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c) |
3,128,824 | |||||
200,000 | () | Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN) |
1,663,361 | |||||
7,550,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)(c) |
8,242,343 | ||||||
50,800,000 | South Africa Government Bond, 7.750%, 2/28/2023, (ZAR)(c) |
5,879,238 | ||||||
2,560,000 | Spain Government Bond, 4.300%, 10/31/2019, (EUR) |
3,289,742 | ||||||
1,280,000 | Spain Government Bond, 4.650%, 7/30/2025, (EUR) |
1,542,717 | ||||||
69,691,160 | Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU)(c) |
4,541,446 | ||||||
43,213,096 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) |
2,866,538 | ||||||
|
|
|||||||
90,442,961 | ||||||||
|
|
|||||||
Wirelines 3.6% | ||||||||
8,335,000 | Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A |
8,368,340 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Wirelines continued | ||||||||
$ | 2,315,000 | Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A |
$ | 2,320,787 | ||||
1,800,000,000 | Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP) |
1,045,193 | ||||||
10,000,000 | OI European Group BV, 9.750%, 9/15/2016, 144A, (BRL) |
5,134,232 | ||||||
7,594,000 | Qwest Corp., 7.200%, 11/10/2026(c) |
7,654,699 | ||||||
2,800,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
2,599,408 | ||||||
850,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 |
847,016 | ||||||
1,250,000 | Telecom Italia Capital S.A., 7.721%, 6/04/2038 |
1,301,174 | ||||||
250,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 |
263,221 | ||||||
525,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 |
565,009 | ||||||
2,000,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
2,146,998 | ||||||
1,500,000 | Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)(c) |
2,444,050 | ||||||
|
|
|||||||
34,690,127 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $603,913,185) |
626,263,906 | |||||||
|
|
|||||||
|
Convertible Bonds 3.6% |
|||||||
Automotive 0.4% | ||||||||
1,610,000 | Ford Motor Co., 4.250%, 11/15/2016(c) |
2,580,025 | ||||||
755,000 | TRW Automotive, Inc., 3.500%, 12/01/2015 |
1,466,587 | ||||||
|
|
|||||||
4,046,612 | ||||||||
|
|
|||||||
Independent Energy 0.5% | ||||||||
425,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
425,531 | ||||||
4,060,000 | Cobalt International Energy, Inc., 2.625%, 12/01/2019 |
4,534,513 | ||||||
|
|
|||||||
4,960,044 | ||||||||
|
|
|||||||
Metals & Mining 0.4% | ||||||||
2,515,000 | Peabody Energy Corp., 4.750%, 12/15/2066 |
2,049,725 | ||||||
1,230,000 | United States Steel Corp., 2.750%, 4/01/2019 |
1,243,838 | ||||||
|
|
|||||||
3,293,563 | ||||||||
|
|
|||||||
Pharmaceuticals 0.4% | ||||||||
905,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016 |
1,964,415 | ||||||
750,000 | Mylan, Inc., 3.750%, 9/15/2015 |
1,661,719 | ||||||
|
|
|||||||
3,626,134 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Convertible Bonds continued |
|||||||
Technology 1.6% | ||||||||
$ | 1,330,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
$ | 1,507,887 | ||||
2,500,000 | EMC Corp., Series B, 1.750%, 12/01/2013(c) |
3,731,250 | ||||||
2,085,000 | Intel Corp., 3.250%, 8/01/2039 |
2,509,819 | ||||||
815,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 |
951,513 | ||||||
1,515,000 | Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A |
1,889,962 | ||||||
1,330,000 | Nuance Communications, Inc., 2.750%, 11/01/2031 |
1,374,056 | ||||||
2,140,000 | SanDisk Corp., 1.500%, 8/15/2017(c) |
2,757,925 | ||||||
580,000 | Xilinx, Inc., 2.625%, 6/15/2017 |
822,513 | ||||||
|
|
|||||||
15,544,925 | ||||||||
|
|
|||||||
Textile 0.3% | ||||||||
2,200,000 | Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A |
2,446,125 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $33,284,473) |
33,917,403 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $637,197,658) |
660,181,309 | |||||||
|
|
|||||||
|
Senior Loans 9.6% |
|||||||
Aerospace & Defense 0.1% | ||||||||
648,375 | Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(b) |
658,561 | ||||||
585,533 | Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(b) |
588,460 | ||||||
|
|
|||||||
1,247,021 | ||||||||
|
|
|||||||
Automotive 0.6% | ||||||||
1,163,000 | Navistar International Corporation, Term Loan B, 8/17/2017(g) |
1,174,339 | ||||||
1,955,570 | Navistar International Corporation, Term Loan B, 7.000%, 8/17/2017(b) |
1,974,637 | ||||||
2,590,000 | TI Group Automotive Systems LLC, Term Loan B, 3/27/2019(g) |
2,609,425 | ||||||
231,835 | Transtar Holding Company, 1st Lien Term Loan, 5.500%, 10/09/2018(b) |
234,153 | ||||||
|
|
|||||||
5,992,554 | ||||||||
|
|
|||||||
Banking 0.2% | ||||||||
2,031,696 | Harland Clarke Holdings Corp., Extended Term Loan B2, 5.454%, 6/30/2017(b) |
2,006,300 | ||||||
|
|
|||||||
Building Materials 0.0% | ||||||||
326,360 | CPG International, Inc., Term Loan, 5.750%, 9/18/2019(b) |
329,216 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Chemicals 0.6% | ||||||||
$ | 578,727 | Al Chem & Cy S.C.A., Term Loan B1, 10/03/2019(g) |
$ | 585,237 | ||||
300,273 | Al Chem & Cy S.C.A., Term Loan B2, 10/03/2019(g) |
298,772 | ||||||
950,400 | Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b) |
968,220 | ||||||
937,650 | Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(b) |
951,715 | ||||||
295,000 | Kronos Worldwide, Inc., Term Loan B, 7.000%, 6/13/2018(b) |
297,213 | ||||||
659,949 | Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b) |
659,540 | ||||||
1,244,880 | Taminco NV, USD Term Loan B2, 4.250%, 2/15/2019(b) |
1,253,046 | ||||||
781,070 | Tronox, Inc., Term Loan, 3/19/2020(g) |
791,482 | ||||||
|
|
|||||||
5,805,225 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.1% | ||||||||
92,239 | Instant Web, Inc., Delayed Draw Term Loan, 3.579%, 8/07/2014(b) |
64,568 | ||||||
879,359 | Instant Web, Inc., Term Loan B, 3.579%, 8/07/2014(b) |
615,551 | ||||||
|
|
|||||||
680,119 | ||||||||
|
|
|||||||
Consumer Products 0.4% | ||||||||
969,000 | Serta Simmons Holdings LLC, Term Loan, 5.003%, 10/01/2019(h) |
981,597 | ||||||
954,608 | Tempur-Pedic International, Inc., New Term Loan B, 5.000%, 3/18/2020(b) |
967,218 | ||||||
1,456,574 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b) |
1,411,580 | ||||||
|
|
|||||||
3,360,395 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.3% | ||||||||
601,493 | Ameriforge Group, Inc., 1st Lien Term Loan, 6.000%, 12/19/2019(b) |
609,264 | ||||||
2,325,000 | Edwards (Cayman Islands II) Limited, New Term Loan B, 3/26/2020(g) |
2,325,000 | ||||||
|
|
|||||||
2,934,264 | ||||||||
|
|
|||||||
Electric 0.2% | ||||||||
817,950 | AES Corporation, Refi Term Loan B, 6/01/2018(g) |
828,543 | ||||||
621,875 | Calpine Corporation, Term Loan B3, 4.000%, 4/02/2018(b) |
629,648 | ||||||
|
|
|||||||
1,458,191 | ||||||||
|
|
|||||||
Entertainment 0.0% | ||||||||
411,788 | WMG Acquisition Corp., Term Loan, 5.250%, 11/01/2018(b) |
417,709 | ||||||
|
|
|||||||
Financial Other 0.2% | ||||||||
1,094,000 | Duff & Phelps Investment Management Co., Term Loan B, 4/23/2020(g) |
1,104,262 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Financial Other continued |
||||||||
$ | 791,629 | Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b) |
$ | 792,618 | ||||
210,000 | Nuveen Investments, Inc., New Term Loan, 5.204%, 5/13/2017(b) |
213,788 | ||||||
|
|
|||||||
2,110,668 | ||||||||
|
|
|||||||
Food & Beverage 0.5% | ||||||||
315,810 | DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b) |
323,705 | ||||||
2,629,000 | HJ Heinz Co., Term Loan B2, 3/27/2020(g) |
2,651,268 | ||||||
1,628,000 | Hostess Brands, Inc., Term Loan, 4/09/2020(g) |
1,664,630 | ||||||
|
|
|||||||
4,639,603 | ||||||||
|
|
|||||||
Gaming 0.3% | ||||||||
2,763,075 | MGM Resorts International, Term Loan B, 4.250%, 12/20/2019(b) |
2,805,903 | ||||||
|
|
|||||||
Healthcare 0.5% | ||||||||
426,930 | Kindred Healthcare, Inc., Add on Term Loan B, 5.250%, 6/01/2018(b) |
429,333 | ||||||
503,593 | Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(b) |
506,428 | ||||||
265,000 | TriZetto Group, Inc., (The), 2nd Lien Term Loan D, 8.500%, 3/27/2019(b) |
267,650 | ||||||
1,288,581 | TriZetto Group, Inc., (The), Term Loan B, 4.750%, 5/02/2018(b) |
1,292,949 | ||||||
1,953,179 | Truven Health Analytics, Inc., New Term Loan B, 5.750%, 6/06/2019(b) |
1,975,972 | ||||||
398,000 | United Surgical Partners International, Inc., Incremental Term Loan, 7.000%, 4/03/2019(b) |
399,867 | ||||||
|
|
|||||||
4,872,199 | ||||||||
|
|
|||||||
Industrial Other 0.6% | ||||||||
1,110,000 | Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(b) |
1,124,186 | ||||||
240,726 | Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 6.250%, 10/23/2018(b) |
242,832 | ||||||
1,003,024 | Brand Energy & Infrastructure Services, Inc., USD Term Loan B1, 6.250%, 10/16/2018(b) |
1,011,801 | ||||||
553,613 | Dematic S.A., Term Loan, 5.250%, 12/27/2019(b) |
559,149 | ||||||
1,964,871 | Jimmy Sanders Incorporated, Term Loan, 6.750%, 11/14/2018(b) |
1,984,519 | ||||||
369,075 | WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(h) |
373,072 | ||||||
|
|
|||||||
5,295,559 | ||||||||
|
|
|||||||
Media Cable 0.4% | ||||||||
3,295,000 | Virgin Media Investment Holdings Limited, USD Term Loan B, 2/19/2020(g) |
3,279,151 | ||||||
950,000 | WideOpenWest Finance LLC, Term Loan B1, 4/01/2019(g) |
955,937 | ||||||
|
|
|||||||
4,235,088 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Media Non-Cable 0.1% | ||||||||
$1,138,148 | Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b) |
$ | 1,152,943 | |||||
|
|
|||||||
Metals & Mining 1.1% | ||||||||
696,493 | Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(b) |
707,901 | ||||||
1,884,191 | Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b) |
1,912,454 | ||||||
1,334,503 | Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(b) |
1,342,016 | ||||||
2,818,835 | FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b) |
2,850,801 | ||||||
1,365,578 | Metal Services LLC, Term Loan, 7.750%, 6/30/2017(b) |
1,377,526 | ||||||
903,750 | Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 10/04/2013(b) |
908,269 | ||||||
501,194 | Preferred Proppants LLC, Term Loan B, 9.000%, 12/15/2016(b) |
467,990 | ||||||
561,593 | Tube City IMS Corporation, Term Loan, 3/20/2019(g) |
567,208 | ||||||
|
|
|||||||
10,134,165 | ||||||||
|
|
|||||||
Oil Field Services 0.0% | ||||||||
340,000 | Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(b) |
345,100 | ||||||
|
|
|||||||
Packaging 0.2% | ||||||||
1,720,000 | Berlin Packaging LLC, 1st Lien Term Loan, 4/12/2018(g) |
1,711,400 | ||||||
|
|
|||||||
Pharmaceuticals 0.4% | ||||||||
2,378,933 | inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(b) |
2,355,144 | ||||||
1,526,612 | Quintiles Transnational Corp., New Term Loan B, 4.500%, 6/08/2018(b) |
1,545,221 | ||||||
|
|
|||||||
3,900,365 | ||||||||
|
|
|||||||
Pipelines 0.1% | ||||||||
1,186,071 | NGPL PipeCo LLC, Term Loan B, 6.750%, 9/15/2017(b) |
1,201,395 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.2% | ||||||||
1,167,075 | AmWINS Group, Inc., New Term Loan, 5.000%, 9/06/2019(b) |
1,179,843 | ||||||
330,000 | Applied Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/08/2017(b) |
330,825 | ||||||
|
|
|||||||
1,510,668 | ||||||||
|
|
|||||||
Restaurants 0.1% | ||||||||
690,000 | Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b) |
693,450 | ||||||
|
|
|||||||
Supermarkets 0.2% | ||||||||
635,000 | Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(b) |
642,741 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Supermarkets continued |
||||||||
$ | 1,520,000 | Supervalu, Inc., New Term Loan B, 6.250%, 3/21/2019(b) |
$ | 1,544,867 | ||||
|
|
|||||||
2,187,608 | ||||||||
|
|
|||||||
Technology 1.5% | ||||||||
3,112,200 | Alcatel-Lucent USA, Inc., Euro Term Loan D, 7.500%, 1/30/2019, (EUR)(b) |
4,025,959 | ||||||
965,625 | Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b) |
978,381 | ||||||
2,119,064 | Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b) |
2,149,430 | ||||||
1,877,505 | Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(b) |
1,903,321 | ||||||
472,815 | Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(b) |
475,969 | ||||||
795,000 | First Data Corporation, 2018 Add-on Term Loan, 5.204%, 9/24/2018(b) |
800,191 | ||||||
1,011,465 | NXP B.V., Term Loan C, 4.750%, 1/11/2020(b) |
1,032,706 | ||||||
850,000 | Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b) |
846,455 | ||||||
454,860 | SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(b) |
460,168 | ||||||
955,000 | SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/08/2020(b) |
963,652 | ||||||
325,000 | Verint Systems, Inc., New Term Loan B, 4.000%, 9/06/2019(b) |
326,895 | ||||||
|
|
|||||||
13,963,127 | ||||||||
|
|
|||||||
Transportation Services 0.1% | ||||||||
516,705 | FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(b) |
522,260 | ||||||
|
|
|||||||
Utility Other 0.0% | ||||||||
380,000 | Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(b) |
380,475 | ||||||
|
|
|||||||
Wireless 0.3% | ||||||||
1,110,000 | Asurion LLC, New Term Loan B1, 5/24/2019(g) |
1,120,967 | ||||||
619,448 | Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(b) |
625,568 | ||||||
983,829 | MetroPCS Wireless, Inc., New Term Loan B3, 4.000%, 3/16/2018(b) |
986,111 | ||||||
|
|
|||||||
2,732,646 | ||||||||
|
|
|||||||
Wirelines 0.3% | ||||||||
425,000 | Integra Telecom, Inc., Refi Term Loan, 6.000%, 2/22/2019(b) |
430,380 | ||||||
1,440,000 | Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(b) |
1,455,898 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Wirelines continued |
||||||||
$ | 818,875 | Zayo Group LLC, New Term Loan B, 4.500%, 7/02/2019(b) |
$ | 826,597 | ||||
|
|
|||||||
2,712,875 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $90,647,056) |
91,338,491 | |||||||
|
|
|||||||
Shares |
||||||||
|
Preferred Stocks 3.5% |
|||||||
|
Non-Convertible Preferred Stocks 2.0% |
|||||||
Banking 1.0% |
||||||||
148,056 | Capital One Financial Corp., Series B, 6.000%(c) |
3,751,739 | ||||||
247,273 | SunTrust Banks. Inc., 5.875%(c) |
6,211,498 | ||||||
|
|
|||||||
9,963,237 | ||||||||
|
|
|||||||
Non-Captive Diversified 1.0% |
||||||||
6,318 | Ally Financial, Inc., Series G, 7.000%, 144A |
6,248,107 | ||||||
102,000 | Montpelier Re Holdings Ltd., 8.875%(c) |
2,881,500 | ||||||
|
|
|||||||
9,129,607 | ||||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $18,295,411) |
19,092,844 | |||||||
|
|
|||||||
|
Convertible Preferred Stocks 1.5% |
|||||||
Automotive 0.3% |
||||||||
72,200 | General Motors Co., Series B, 4.750%(c) |
3,100,268 | ||||||
|
|
|||||||
Banking 0.5% |
||||||||
1,388 | Bank of America Corp., Series L, 7.250% |
1,690,806 | ||||||
2,240 | Wells Fargo & Co., Series L, Class A, 7.500%(c) |
2,886,800 | ||||||
|
|
|||||||
4,577,606 | ||||||||
|
|
|||||||
Independent Energy 0.2% |
||||||||
1,500 | Chesapeake Energy Corp., Series A, 5.750%, 144A |
1,532,813 | ||||||
|
|
|||||||
Metals & Mining 0.1% |
||||||||
35,850 | ArcelorMittal, 6.000% |
751,058 | ||||||
34,741 | Cliffs Natural Resources, Inc., 7.000% |
648,614 | ||||||
|
|
|||||||
1,399,672 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.3% |
||||||||
56,286 | iStar Financial, Inc., Series J, 4.500% |
2,917,866 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Preferred Stocks continued |
| ||||||
|
Convertible Preferred Stocks continued |
| ||||||
REITsHealthcare 0.1% |
||||||||
8,000 | Health Care REIT, Inc., Series I, 6.500% |
$ | 496,880 | |||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $13,787,992) |
14,025,105 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $32,083,403) |
33,117,949 | |||||||
|
|
|||||||
|
Common Stocks 2.9% |
|||||||
Chemicals 0.4% |
||||||||
65,453 | Dow Chemical Co. (The) |
2,084,024 | ||||||
13,000 | Rockwood Holdings, Inc. |
850,720 | ||||||
54,452 | Tronox Ltd., Class A |
1,078,694 | ||||||
|
|
|||||||
4,013,438 | ||||||||
|
|
|||||||
Diversified Financial Services 0.1% |
||||||||
27,800 | JPMorgan Chase & Co. |
1,319,388 | ||||||
|
|
|||||||
Diversified Telecommunication Services 0.6% |
||||||||
44,327 | AT&T, Inc. |
1,626,357 | ||||||
87,030 | Deutsche Telekom AG, Sponsored ADR |
920,777 | ||||||
35,730 | France Telecom S.A., Sponsored ADR |
363,017 | ||||||
83,776 | Telefonica S.A., Sponsored ADR |
1,131,814 | ||||||
43,618 | Verizon Communications, Inc. |
2,143,825 | ||||||
|
|
|||||||
6,185,790 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% |
||||||||
5,425 | Siemens AG, Sponsored ADR |
584,815 | ||||||
|
|
|||||||
Metals & Mining 0.1% |
||||||||
14,780 | Barrick Gold Corp. |
434,532 | ||||||
13,184 | Goldcorp, Inc. |
443,378 | ||||||
10,918 | Newmont Mining Corp. |
457,355 | ||||||
|
|
|||||||
1,335,265 | ||||||||
|
|
|||||||
Office Electronics 0.0% |
||||||||
12,269 | Canon, Inc., Sponsored ADR |
450,150 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.7% |
||||||||
11,400 | Chevron Corp. |
1,354,548 | ||||||
17,200 | ExxonMobil Corp. |
1,549,892 | ||||||
21,700 | Royal Dutch Shell PLC, ADR |
1,413,972 | ||||||
19,625 | Statoil ASA, Sponsored ADR |
483,168 | ||||||
33,125 | Total S.A., Sponsored ADR |
1,589,337 | ||||||
|
|
|||||||
6,390,917 | ||||||||
|
|
|||||||
Pharmaceuticals 0.3% |
||||||||
15,000 | Bristol-Myers Squibb Co. |
617,850 | ||||||
10,500 | GlaxoSmithKline PLC, Sponsored ADR |
492,555 | ||||||
48,626 | Pfizer, Inc. |
1,403,346 | ||||||
|
|
|||||||
2,513,751 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.1% |
||||||||
13,000 | KLA-Tencor Corp. |
685,620 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Software 0.1% | ||||||||
16,290 | Microsoft Corp. | $ | 466,057 | |||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.1% | ||||||||
10,168 | NIKE, Inc., Class B | 600,014 | ||||||
|
|
|||||||
Tobacco 0.2% | ||||||||
27,290 | Altria Group, Inc. | 938,503 | ||||||
5,330 | Philip Morris International, Inc. | 494,144 | ||||||
|
|
|||||||
1,432,647 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.0% | ||||||||
1,509 | Mitsui & Co. Ltd., Sponsored ADR | 421,011 | ||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% | ||||||||
37,300 | Vodafone Group PLC, Sponsored ADR | 1,059,693 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $26,644,091) | 27,458,556 | |||||||
|
|
|||||||
Notional |
||||||||
|
Purchased Swaptions 0.6% |
|||||||
Interest Rate Swaptions 0.6% | ||||||||
$ | 83,500,000 | 5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 3-month LIBOR, Receive 1.171%(i)(j) |
659,483 | |||||
40,000,000 | 30-year Interest Rate Swap Call, expiring 10/03/2014, Pay 2.846%, Receive 3-month LIBOR(i)(k) |
4,691,480 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $4,779,000) | 5,350,963 | |||||||
|
|
|||||||
|
Purchased Options 0.1% |
|||||||
Options on Securities 0.1% | ||||||||
620,700 | iShares MSCI Emerging Markets Index Fund, Put expiring June 22, 2013 at 42(l) | 636,217 | ||||||
216,700 | iShares Russell 2000, Put expiring July 20, 2013 at 93(l) | 679,354 | ||||||
168,500 | SPDR® S&P 500® ETF Trust, Put expiring June 22, 2013 at 145(l) | 204,728 | ||||||
|
|
|||||||
Total Purchased Options (Identified Cost $2,192,438) | 1,520,299 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 16.4% |
|||||||
$ | 1,416,272 | Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2013 at 0.010% to be repurchased at $1,416,273 on 4/01/2013 collateralized by $1,490,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $1,491,015 including accrued interest(m) | 1,416,272 | |||||
150,218,822 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $150,218,822 on 4/01/2013 collateralized by $97,515,000 Federal Home Loan Mortgage Corp., 0.420% due 6/19/2015 valued at $97,636,894; $55,600,000 Federal National Mortgage Association, 0.350% due 8/28/2015 valued at $55,588,502 including accrued interest(m) | 150,218,822 | ||||||
5,000,000 | U.S. Treasury Bill, 0.110%, 9/19/2013(n)(o) | 4,997,565 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $156,632,481) | 156,632,659 | |||||||
|
|
Description |
Value () | |||||||
Total Investments 102.3% (Identified Cost $950,176,127)(a) | $ | 975,600,226 | ||||||
Other assets less liabilities (2.3)% | (21,739,743 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 953,860,483 | ||||||
|
|
|||||||
Notional |
||||||||
|
Written Swaptions (0.3%) |
|||||||
Interest Rate Swaptions (0.3%) | ||||||||
$ | 83,500,000 | 5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 0.880%, Receive 3-month LIBOR(i)(j) | $ | (152,221 | ) | |||
40,000,000 | 30-year Interest Rate Swap Call, expiring 10/03/2014, Pay 3-month LIBOR, Receive 3.346%(i)(k) | (2,649,960 | ) | |||||
|
|
|||||||
Total Written Swaptions (Premiums Received $2,571,000) | $ | (2,802,181 | ) | |||||
|
|
|||||||
|
Written Options (0.0%) |
|||||||
Options on Securities (0.0%) | ||||||||
620,700 | iShares MSCI Emerging Markets Index Fund, Put expiring June 22, 2013 at 37(l) | $ | (133,450 | ) | ||||
216,700 | iShares Russell 2000, Put expiring July 20, 2013 at 81(l) | (149,523 | ) | |||||
168,500 | SPDR® S&P 500® ETF Trust, Put expiring June 22, 2013 at 125(l) | (32,015 | ) | |||||
|
|
|||||||
Total Written Options (Premiums Received $532,342) | $ | (314,988 | ) | |||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans are priced at bid prices supplied by an independent pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. |
Broker-dealer bid prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Futures contracts are valued at their most recent settlement price.
Credit default swap agreements and options on interest rate swaps (interest rate swaptions) are valued at mid prices (between the bid and ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.
Other exchange-traded options are valued at the average of the closing bid and ask quotations. Options on futures contracts are valued using the current settlement price.
Currency options are priced at the mid price (between the ask price and the bid price) supplied by an independent pricing service, if available.
Over-the-counter option contracts (including currency options not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. These prices will be either the bid for a long transaction or the ask for a short transaction. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
() | Amount shown represents units. One unit represents a principal amount of 100. |
() | Interest rate swaptions are expressed as notional amount. Options on securities are expressed as shares. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At March 31, 2013, the net unrealized appreciation on investments based on a cost of $952,078,558 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 34,803,214 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(11,281,546 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 23,521,668 | ||
|
|
At December 31, 2012, the Fund had a short-term capital loss carryforward of $10,720,475 with no expiration date and a long-term capital loss carryforward of $8,325,319 with no expiration date. At December 31, 2012, late-year ordinary loss deferrals were $2,564,877. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Variable rate security. Rate as of March 31, 2013 is disclosed. |
(c) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions. |
(d) | The issuer is making partial payments with respect to principal. |
(e) | All or a portion of interest payment is paid-in-kind. |
(f) | Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(g) | Position is unsettled. Contract rate was not determined at March 31, 2013 and does not take effect until settlement date. |
(h) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2013. |
(i) | The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a receiver swaption) or to pay a fixed rate (known as a payer swaption), based on the notional amount of the swap agreement, in exchange for a floating rate. |
When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses.
Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.
Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.
(j) | Counterparty is Citibank, N.A. |
(k) | Counterparty is Bank of America, N.A. |
(l) | The Fund may enter into option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. |
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
(m) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
(n) | All or a portion of this security has been pledged as collateral for open forward foreign currency contracts, swap agreements, interest rate swaptions and as initial margin for open futures contracts. |
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2013, the value of Rule 144A holdings amounted to $265,365,716 or 27.8% of net assets. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
EMTN | Euro Medium Term Note |
ETF | Exchange Traded Fund |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SPDR | Standard & Poors Depositary Receipt |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
KRW | South Korean Won |
MXN | Mexican Peso |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Swap Agreements
The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Credit default swaps are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as realized gain or loss when received or paid. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Fund covers its net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.
At March 31, 2013, the Fund had the following open credit default swap agreements:
Counterparty |
Reference |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||
Bank of America, N.A. |
Bank of Scotland PLC | (1.00 | %) | 6/20/2017 | 4,475,000 | * | $ | 187,957 | $ | (90,404 | ) | $ | (278,361 | ) | $ | (1,912 | ) | |||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 3,000,000 | (16,041 | ) | (25,129 | ) | (9,088 | ) | (1,000 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 1,500,000 | (8,719 | ) | (12,565 | ) | (3,846 | ) | (500 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 5,075,000 | (37,995 | ) | (42,510 | ) | (4,515 | ) | (1,692 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 1,000,000 | (9,135 | ) | (8,377 | ) | 758 | (333 | ) | ||||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 20, 5-Year | (1.00 | %) | 6/20/2018 | 3,100,000 | (15,512 | ) | (14,249 | ) | 1,263 | (1,033 | ) | ||||||||||||||||||
Bank of America, N.A. |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 3,000,000 | (72,356 | ) | (122,886 | ) | (50,530 | ) | (5,000 | ) |
Bank of America, N.A. |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 7,000,000 | (160,120 | ) | (286,734 | ) | (126,614 | ) | (11,667 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 6,000,000 | (144,308 | ) | (245,772 | ) | (101,464 | ) | (10,000 | ) | |||||||||||||||||
Bank of America, N.A. |
Dell, Inc. | (1.00 | %) | 3/20/2018 | 4,000,000 | 419,893 | 425,055 | 5,162 | (1,333 | ) | ||||||||||||||||||||
Bank of America, N.A. |
Dell, Inc. | (1.00 | %) | 3/20/2018 | 2,500,000 | 257,607 | 265,659 | 8,052 | (833 | ) | ||||||||||||||||||||
Bank of America, N.A. |
Electricite de France | (1.00 | %) | 12/20/2017 | 3,700,000 | * | 11,327 | (19,884 | ) | (31,211 | ) | (1,581 | ) | |||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Crossover Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 3,875,000 | * | 93,154 | (159,421 | ) | (252,575 | ) | (8,279 | ) | |||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 550,000 | * | (64,068 | ) | (63,369 | ) | 699 | (1,175 | ) | |||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 500,000 | * | (57,582 | ) | (57,609 | ) | (27 | ) | (1,068 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 450,000 | * | (55,253 | ) | (51,848 | ) | 3,405 | (961 | ) | |||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 1,500,000 | * | (163,401 | ) | (172,825 | ) | (9,424 | ) | (3,205 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 1,180,000 | * | (176,232 | ) | (135,956 | ) | 40,276 | (2,521 | ) | |||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 5,000,000 | * | (801,750 | ) | (576,084 | ) | 225,666 | (10,682 | ) | |||||||||||||||||
Bank of America, N.A. |
Textron Financial Corp. | (1.00 | %) | 3/20/2017 | 975,000 | (23,775 | ) | (29,049 | ) | (5,274 | ) | (325 | ) | |||||||||||||||||
Bank of America, N.A. |
Textron Financial Corp. | (1.00 | %) | 6/20/2017 | 1,250,000 | (31,183 | ) | (38,400 | ) | (7,217 | ) | (417 | ) | |||||||||||||||||
Bank of America, N.A. |
Westvaco Corp. | (1.00 | %) | 9/20/2017 | 4,900,000 | 56,202 | 24,030 | (32,172 | ) | (1,633 | ) | |||||||||||||||||||
Citibank, N.A. |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 2,200,000 | (94,165 | ) | (90,116 | ) | 4,049 | (3,667 | ) | ||||||||||||||||||
Citibank, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 3,400,000 | (16,466 | ) | (28,479 | ) | (12,013 | ) | (1,133 | ) | |||||||||||||||||
Citibank, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 3,000,000 | (15,718 | ) | (25,129 | ) | (9,411 | ) | (1,000 | ) |
Citibank, N.A. |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 7,000,000 | (160,031 | ) | (286,734 | ) | (126,703 | ) | (11,667 | ) | |||||||||||||||||
Citibank, N.A. |
Republic of South Africa | (1.00 | %) | 9/20/2017 | 3,550,000 | 88,700 | 94,941 | 6,241 | (1,183 | ) | ||||||||||||||||||||
Citibank, N.A. |
Republic of South Africa | (1.00 | %) | 3/20/2018 | 3,500,000 | 85,828 | 123,933 | 38,105 | (1,167 | ) | ||||||||||||||||||||
Citibank, N.A. |
SLM Corp. | (5.00 | %) | 6/20/2018 | 4,500,000 | (445,390 | ) | (431,589 | ) | 13,801 | (7,500 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 1,600,000 | (66,460 | ) | (65,539 | ) | 921 | (2,667 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 2,350,000 | (96,886 | ) | (96,261 | ) | 625 | (3,917 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 1,650,000 | (69,560 | ) | (67,587 | ) | 1,973 | (2,750 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 9,500,000 | (409,688 | ) | (389,139 | ) | 20,549 | (9,236 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 2,550,000 | (88,227 | ) | (104,453 | ) | (16,226 | ) | (4,250 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 5,000,000 | (223,316 | ) | (204,810 | ) | 18,506 | (8,333 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 3,000,000 | (12,273 | ) | (25,128 | ) | (12,855 | ) | (1,000 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 9,000,000 | (83,492 | ) | (75,387 | ) | 8,105 | (3,000 | ) | ||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 20, 5-Year | (5.00 | %) | 6/20/2018 | 6,000,000 | (180,000 | ) | (183,346 | ) | (3,346 | ) | (6,667 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 20, 5-Year | (5.00 | %) | 6/20/2018 | 15,700,000 | (439,600 | ) | (479,754 | ) | (40,154 | ) | (17,444 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 20, 5-Year | (5.00 | %) | 6/20/2018 | 6,500,000 | (197,034 | ) | (199,449 | ) | (2,415 | ) | (8,125 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.IG Series 20, 5-Year | (1.00 | %) | 6/20/2018 | 3,300,000 | (14,852 | ) | (15,168 | ) | (316 | ) | (1,100 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 19, 5-Year | (5.00 | %) | 12/20/2017 | 3,050,000 | (80,529 | ) | (124,934 | ) | (44,405 | ) | (5,083 | ) | |||||||||||||||||
Credit Suisse International |
Freescale Semiconductor, Inc. | (5.00 | %) | 3/20/2018 | 4,275,000 | 213,331 | 132,144 | (81,187 | ) | (7,125 | ) | |||||||||||||||||||
Credit Suisse International |
Freescale Semiconductor, Inc. | (5.00 | %) | 3/20/2018 | 3,125,000 | 160,005 | 96,597 | (63,408 | ) | (5,208 | ) | |||||||||||||||||||
Credit Suisse International |
General Mills, Inc. | (1.00 | %) | 6/20/2018 | 9,100,000 | (245,570 | ) | (259,003 | ) | (13,433 | ) | (3,033 | ) | |||||||||||||||||
Credit Suisse International |
HJ Heinz Co. | (1.00 | %) | 3/20/2018 | 7,650,000 | 247,040 | 191,186 | (55,854 | ) | (2,550 | ) | |||||||||||||||||||
Credit Suisse International |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 4,400,000 | * | (431,955 | ) | (506,954 | ) | (74,999 | ) | (9,400 | ) | ||||||||||||||||
Deutsche Bank AG |
Aramark Corp. | (5.00 | %) | 3/20/2018 | 2,100,000 | (203,797 | ) | (225,270 | ) | (21,473 | ) | (3,500 | ) |
Deutsche Bank AG |
Aramark Corp. | (5.00 | %) | 3/20/2018 | 2,100,000 | (206,942 | ) | (225,270 | ) | (18,328 | ) | (3,500 | ) | |||||||||||||||||
Deutsche Bank AG |
Aramark Corp. | (5.00 | %) | 3/20/2018 | 3,800,000 | (383,644 | ) | (407,631 | ) | (23,987 | ) | (6,333 | ) | |||||||||||||||||
Deutsche Bank AG |
Boston Scientific Corp. | (1.00 | %) | 9/20/2017 | 4,900,000 | 66,721 | (14,204 | ) | (80,925 | ) | (1,633 | ) | ||||||||||||||||||
Deutsche Bank AG |
Dell, Inc. | (1.00 | %) | 3/20/2018 | 6,000,000 | 824,228 | 637,584 | (186,644 | ) | (2,000 | ) | |||||||||||||||||||
Morgan Stanley Capital Services Inc. |
Russian Foreign Bond | (1.00 | %) | 6/20/2018 | 7,500,000 | 217,898 | 225,187 | 7,289 | (2,500 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services Inc. |
Textron Financial Corp. | (1.00 | %) | 3/20/2017 | 2,000,000 | (46,345 | ) | (59,587 | ) | (13,242 | ) | (667 | ) | |||||||||||||||||
Morgan Stanley Capital Services Inc. |
Textron Financial Corp. | (1.00 | %) | 3/20/2017 | 1,300,000 | (30,197 | ) | (38,731 | ) | (8,534 | ) | (433 | ) | |||||||||||||||||
|
|
|
|
|
|
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Total |
$ | (4,566,407 | ) | $ | (1,416,731 | ) | $ | (215,921 | ) | |||||||||||||||||||||
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|
Counterparty |
Reference |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Implied Credit Spread^ |
Notional Value() |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
|||||||||||||||||||||||||
Sell Protection |
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Citibank, N.A. |
Level 3 Communications | 5.00 | % | 3/20/2018 | 4.70 | % | $ | 3,000,000 | $ | 49,662 | $ | 39,800 | $ | (9,862 | ) | $ | 5,000 | |||||||||||||||||
Credit Suisse International |
Boyd Gaming Corp. | 5.00 | % | 3/20/2018 | 7.02 | % | 3,050,000 | (395,193 | ) | (257,609 | ) | 137,584 | 5,083 | |||||||||||||||||||||
Credit Suisse International |
Boyd Gaming Corp. | 5.00 | % | 3/20/2018 | 7.02 | % | 3,750,000 | (489,158 | ) | (316,733 | ) | 172,425 | 6,250 | |||||||||||||||||||||
Credit Suisse International |
Clear Channel Communications | 5.00 | % | 3/20/2015 | 9.04 | % | 4,300,000 | (258,338 | ) | (321,236 | ) | (62,898 | ) | 7,167 | ||||||||||||||||||||
Credit Suisse International |
Level 3 Communications | 5.00 | % | 3/20/2018 | 4.70 | % | 2,100,000 | 30,179 | 27,860 | (2,319 | ) | 3,500 | ||||||||||||||||||||||
JP Morgan Chase Bank, N.A. |
Level 3 Communications | (5.00 | %) | 3/20/2018 | 4.70 | % | 3,400,000 | 25,240 | 45,105 | 19,865 | 5,667 | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total |
$ | (782,813 | ) | $ | 254,795 | $ | 32,667 | |||||||||||||||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
* | Notional value denominated in euros. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract |
Delivery |
Currency |
Units |
Notional |
Unrealized |
|||||||||||
Sell1 |
5/02/2013 | Australian Dollar | 12,300,000 | $ | 12,778,445 | $ | 23,764 | |||||||||
Sell1 |
4/11/2013 | British Pound | 5,600,000 | 8,508,545 | (93,985 | ) | ||||||||||
Sell1 |
6/04/2013 | British Pound | 1,495,000 | 2,270,834 | (531 | ) | ||||||||||
Buy1 |
4/02/2013 | Euro | 620,000 | 794,747 | 3,131 | |||||||||||
Buy1 |
4/03/2013 | Euro | 3,155,000 | 4,044,239 | (155 | ) | ||||||||||
Buy1 |
5/06/2013 | Euro | 5,425,000 | 6,955,554 | (271,889 | ) | ||||||||||
Sell1 |
4/02/2013 | Euro | 620,000 | 794,747 | 14,185 | |||||||||||
Sell1 |
4/03/2013 | Euro | 3,155,000 | 4,044,239 | 97,645 | |||||||||||
Sell1 |
4/04/2013 | Euro | 3,150,000 | 4,037,856 | 98,283 | |||||||||||
Sell1 |
4/05/2013 | Euro | 4,265,000 | 5,467,165 | 112,266 | |||||||||||
Sell2 |
4/08/2013 | Euro | 6,895,000 | 8,838,648 | 175,712 | |||||||||||
Sell1 |
4/09/2013 | Euro | 6,270,000 | 8,037,518 | 144,734 | |||||||||||
Sell1 |
4/10/2013 | Euro | 3,530,000 | 4,525,139 | 92,948 | |||||||||||
Sell1 |
4/22/2013 | Euro | 1,150,000 | 1,474,310 | 8,966 | |||||||||||
Sell2 |
4/24/2013 | Euro | 5,270,000 | 6,756,276 | 75,230 | |||||||||||
Sell1 |
4/26/2013 | Euro | 5,170,000 | 6,628,159 | 86,368 | |||||||||||
Sell1 |
4/30/2013 | Euro | 3,645,000 | 4,673,166 | 13,939 | |||||||||||
Sell3 |
5/02/2013 | Euro | 7,300,000 | 9,359,275 | (31,554 | ) | ||||||||||
Sell1 |
5/02/2013 | Euro | 620,000 | 794,897 | (3,114 | ) | ||||||||||
Sell1 |
5/03/2013 | Euro | 3,155,000 | 4,045,028 | 124 | |||||||||||
Sell1 |
5/06/2013 | Euro | 5,425,000 | 6,955,554 | 415,426 | |||||||||||
Sell2 |
6/26/2013 | Euro | 3,700,000 | 4,745,734 | 62,657 | |||||||||||
Buy2 |
4/01/2013 | Japanese Yen | 2,500,000,000 | 26,557,603 | 161,443 | |||||||||||
Sell2 |
4/01/2013 | Japanese Yen | 1,000,000,000 | 10,623,041 | (203,444 | ) | ||||||||||
Sell2 |
4/01/2013 | Japanese Yen | 1,500,000,000 | 15,934,562 | 333,854 | |||||||||||
Buy1 |
4/22/2013 | Mexican Peso | 112,000,000 | 9,050,517 | 41,726 | |||||||||||
Sell1 |
4/22/2013 | Mexican Peso | 200,000,000 | 16,161,638 | (127,775 | ) | ||||||||||
Sell1 |
4/22/2013 | Mexican Peso | 108,000,000 | 8,727,284 | 4,575 | |||||||||||
Buy1 |
4/19/2013 | Peruvian Nouveau Sol | 2,050,000 | 791,090 | 195 | |||||||||||
Buy1 |
4/08/2013 | South Korean Won | 6,650,000,000 | 5,974,950 | (10,649 | ) | ||||||||||
Sell1 |
4/08/2013 | South Korean Won | 6,650,000,000 | 5,974,950 | 130,729 | |||||||||||
Sell1 |
4/11/2013 | Swiss Franc | 990,000 | 1,042,976 | 6,851 | |||||||||||
|
|
|||||||||||||||
Total |
$ | 1,361,655 | ||||||||||||||
|
|
At March 31, 2013, the Fund had the following open forward foreign cross-currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||
5/02/2013 |
Euro | 7,300,000 | Japanese Yen3 | 880,763,250 | $ | (1,066 | ) | |||||||||
4/04/2013 |
Euro | 6,250,000 | British Pound1 | 5,330,988 | 88,504 | |||||||||||
4/04/2013 |
British Pound | 5,411,431 | Euro1 | 6,250,000 | (210,733 | ) | ||||||||||
|
|
|||||||||||||||
Total |
$ | (123,295 | ) | |||||||||||||
|
|
1 | Counterparty is Credit Suisse International. |
2 | Counterparty is Citibank, N.A. |
3 | Counterparty is Deutsche Bank AG. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, a Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
6/21/2013 | 305 | $ | 23,831,175 | $ | (321,830 | ) | |||||||||
Euro STOXX 50® |
6/21/2013 | 54 | 1,767,877 | 50,184 | ||||||||||||
Euro-OAT |
6/06/2013 | 139 | 24,235,671 | (224,747 | ) | |||||||||||
German Euro Bund |
6/06/2013 | 172 | 32,077,393 | (487,559 | ) | |||||||||||
10 Year U.S. Treasury Note |
6/19/2013 | 171 | 22,569,328 | (77,797 | ) | |||||||||||
30 Year U.S. Treasury Bond |
6/19/2013 | 67 | 9,679,406 | (24,201 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (1,085,950 | ) | |||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | 2,038,162 | $ | 2,283,390 | (a) | $ | 4,321,552 | |||||||
Airlines |
| 527,725 | 20,383,383 | (a) | 20,911,108 | |||||||||||
Media Non-Cable |
| 20,871,719 | 4,060,200 | (a) | 24,931,919 | |||||||||||
Treasuries |
| 84,438,603 | 6,004,358 | (a) | 90,442,961 | |||||||||||
All Other Non-Convertible Bonds* |
| 485,656,366 | | 485,656,366 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 593,532,575 | 32,731,331 | 626,263,906 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 33,917,403 | | 33,917,403 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 627,449,978 | 32,731,331 | 660,181,309 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 91,338,491 | | 91,338,491 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Banking |
9,963,237 | | | 9,963,237 | ||||||||||||
Non-Captive Diversified |
2,881,500 | 6,248,107 | | 9,129,607 | ||||||||||||
Convertible Preferred Stocks* |
14,025,105 | | | 14,025,105 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
26,869,842 | 6,248,107 | | 33,117,949 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks* |
27,458,556 | | | 27,458,556 | ||||||||||||
Purchased Swaptions* |
| 5,350,963 | | 5,350,963 | ||||||||||||
Purchased Options* |
1,520,299 | | | 1,520,299 | ||||||||||||
Short-Term Investments |
| 156,632,659 | | 156,632,659 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
55,848,697 | 887,020,198 | 32,731,331 | 975,600,226 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Credit Default Swap Agreements (unrealized appreciation) |
| 735,319 | | 735,319 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 2,193,255 | | 2,193,255 | ||||||||||||
Futures Contracts (unrealized appreciation) |
50,184 | | | 50,184 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 55,898,881 | $ | 889,948,772 | $ | 32,731,331 | $ | 978,578,984 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Swaptions* |
$ | | $ | (2,802,181 | ) | $ | | $ | (2,802,181 | ) | ||||||
Written Options* |
(314,988 | ) | | | (314,988 | ) | ||||||||||
Credit Default Swap Agreements (unrealized depreciation) |
| (1,897,255 | ) | | (1,897,255 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (954,895 | ) | | (954,895 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(1,136,134 | ) | | | (1,136,134 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (1,451,122 | ) | $ | (5,654,331 | ) | $ | | $ | (7,105,453 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
The Funds pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2012 and/or March 31, 2013:
Asset Valuation Inputs
Investments in Securities |
Balance as of December 31, 2012 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of March 31, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
$ | | $ | | $ | 1,640 | $ | (14,228 | ) | $ | | $ | (237,404 | ) | $ | 2,533,382 | $ | | $ | 2,283,390 | $ | (14,228 | ) | |||||||||||||||||
Airlines |
| | (26,919 | ) | 377,471 | 2,900,000 | (320,579 | ) | 17,453,410 | | 20,383,383 | 377,471 | ||||||||||||||||||||||||||||
Media Non-Cable |
| | | 20,200 | 4,040,000 | | | | 4,060,200 | 20,200 | ||||||||||||||||||||||||||||||
Treasuries |
6,211,796 | (5,927 | ) | | (201,511 | ) | | | | | 6,004,358 | (201,511 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 6,211,796 | $(5,927) | $ | (25,279 | ) | $ | 181,932 | $ | 6,940,000 | $ | (557,983 | ) | $ | 19,986,792 | $ | | $ | 32,731,331 | $ | 181,932 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $19,986,792 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based upon inputs unobservable to the Fund as an independent pricing service was unable to price the securities.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements.
The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements. During the period ended March 31, 2013, the Fund used forward foreign currency, futures and options contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2013, the Fund engaged in futures contracts for hedging purposes.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. During the period ended March 31, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended March 31, 2013, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2013, the Fund engaged in futures and option transactions for hedging purposes.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, interest rate swaptions and swap agreements. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
Credit Suisse International |
$ | (1,981,616 | ) | $ | 1,405,462 | |||
Deutsche Bank AG |
(267,411 | ) | 255,875 |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts, interest rate swaptions and swap agreements by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash and/or securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $14,626,689 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $6,017,349. These amounts do not take into account collateral received by the Fund in the amount of $756,804.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts, interest rate swaptions and swap agreements is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the counterparties. This risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized; however, final settlement of the Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of March 31, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Credit Contracts |
Equity Contracts |
||||||||||||
Purchased Options (at value) |
$ | | $ | | $ | | $ | 1,520,299 | ||||||||
Purchased Swaptions (at value) |
5,350,963 | | | | ||||||||||||
Forwards (unrealized appreciation) |
| 2,193,255 | | | ||||||||||||
Futures (unrealized appreciation) |
| | | 50,184 | ||||||||||||
Swaps (unrealized appreciation) |
| | 735,319 | | ||||||||||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Credit Contracts |
Equity Contracts |
||||||||||||
Written Options (at value) |
$ | | $ | | $ | | $ | (314,988 | ) | |||||||
Written Swaptions (at value) |
(2,802,181 | ) | | | | |||||||||||
Forwards (unrealized depreciation) |
| (954,895 | ) | | | |||||||||||
Futures (unrealized depreciation) |
(814,304 | ) | | | (321,830 | ) | ||||||||||
Swaps (unrealized depreciation) |
| | (1,897,255 | ) | |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at March 31, 2013 (Unaudited)
Treasuries |
9.5 | % | ||
Banking |
6.6 | |||
ABS Home Equity |
6.0 | |||
Technology |
5.8 | |||
Metals & Mining |
5.4 | |||
Wirelines |
3.9 | |||
Commercial Mortgage-Backed Securities |
3.5 | |||
Electric |
3.0 | |||
Media Non-Cable |
2.7 | |||
Independent Energy |
2.7 | |||
Automotive |
2.5 | |||
Non-Captive Diversified |
2.4 | |||
Airlines |
2.2 | |||
Food & Beverage |
2.1 | |||
Local Authorities |
2.0 | |||
Other Investments, less than 2% each |
25.6 | |||
Short-Term Investments |
16.4 | |||
|
|
|||
Total Investments |
102.3 | |||
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
(2.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at March 31, 2013 (Unaudited)
United States Dollar |
83.9 | % | ||
Euro |
6.2 | |||
Mexican Peso |
3.5 | |||
Canadian Dollar |
2.7 | |||
Other, less than 2% each |
6.0 | |||
|
|
|||
Total Investments |
102.3 | |||
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
(2.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 41.9% of Net Assets |
|||||||
|
Non-Convertible Bonds 38.6% |
|||||||
ABS Home Equity 1.0% | ||||||||
$ | 410,193 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.134%, 8/25/2046(b)(c) |
$ | 262,781 | ||||
|
|
|||||||
Airlines 0.2% | ||||||||
55,000 | US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026(c) |
57,338 | ||||||
|
|
|||||||
Automotive 1.9% | ||||||||
500,000 | American Axle & Manufacturing, Inc., 6.250%, 3/15/2021(c) |
512,500 | ||||||
|
|
|||||||
Banking 5.9% | ||||||||
300,000 | Akbank TAS, 7.500%, 2/05/2018, 144A, (TRY)(c) |
163,240 | ||||||
300,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(c) |
301,500 | ||||||
100,000 | Barclays Bank PLC, 6.050%, 12/04/2017, 144A(c) |
111,461 | ||||||
1,000,000 | Citigroup, Inc., Series B, (fixed rate to 2/15/2023, variable rate thereafter), 5.900%, 12/29/2049(c) |
1,037,826 | ||||||
|
|
|||||||
1,614,027 | ||||||||
|
|
|||||||
Chemicals 1.8% | ||||||||
225,000 | Orion Engineered Carbons Bondco GmbH, 10.000%, 6/15/2018, 144A, (EUR)(c) |
323,084 | ||||||
175,000 | PetroLogistics L.P. / PetroLogistics Finance Corp., 6.250%, 4/01/2020, 144A |
176,094 | ||||||
|
|
|||||||
499,178 | ||||||||
|
|
|||||||
Construction Machinery 1.2% | ||||||||
300,000 | United Rentals North America, Inc., 7.625%, 4/15/2022(c) |
335,250 | ||||||
|
|
|||||||
Consumer Cyclical Services 1.1% | ||||||||
300,000 | ADT Corp. (The), 4.125%, 6/15/2023, 144A(c) |
311,288 | ||||||
|
|
|||||||
Food & Beverage 0.9% | ||||||||
250,000 | Marfrig Holding Europe BV, 9.875%, 7/24/2017, 144A(c) |
243,750 | ||||||
|
|
|||||||
Government OwnedNo Guarantee 1.8% | ||||||||
500,000 | Qtel International Finance Ltd., 3.875%, 1/31/2028, 144A(c) |
492,395 | ||||||
|
|
|||||||
Home Construction 0.9% | ||||||||
250,000 | Country Garden Holdings Co., Ltd, 7.500%, 1/10/2023, 144A(c) |
255,325 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Independent Energy 3.0% | ||||||||
$ | 500,000 | Aurora USA Oil & Gas, Inc., 7.500%, 4/01/2020, 144A(c) |
$ | 505,000 | ||||
250,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c) |
195,000 | ||||||
110,000 | SM Energy Co., 6.500%, 1/01/2023(c) |
120,450 | ||||||
|
|
|||||||
820,450 | ||||||||
|
|
|||||||
Life Insurance 3.1% | ||||||||
250,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)(c) |
368,466 | ||||||
150,000 | Generali Finance BV, (fixed rate to 6/16/2016, variable rate thereafter), 6.214%, 6/29/2049, (GBP)(c) |
188,374 | ||||||
300,000 | Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066(c) |
274,500 | ||||||
|
|
|||||||
831,340 | ||||||||
|
|
|||||||
Media Cable 2.8% | ||||||||
100,000 | Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR)(c) |
139,081 | ||||||
500,000 | UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)(c) |
634,849 | ||||||
|
|
|||||||
773,930 | ||||||||
|
|
|||||||
Media Non-Cable 1.2% | ||||||||
25,000 | Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A |
25,750 | ||||||
175,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A |
178,062 | ||||||
100,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A |
101,625 | ||||||
15,000 | Intelsat Luxembourg S.A., 11.250%, 2/04/2017(c) |
15,975 | ||||||
|
|
|||||||
321,412 | ||||||||
|
|
|||||||
Metals & Mining 0.2% | ||||||||
55,000 | Steel Dynamics, Inc., 5.250%, 4/15/2023, 144A(c) |
55,756 | ||||||
|
|
|||||||
Oil Field Services 0.3% | ||||||||
75,000 | Hercules Offshore, Inc., 7.125%, 4/01/2017, 144A(c) |
80,813 | ||||||
|
|
|||||||
Pipelines 0.9% | ||||||||
250,000 | Energy Transfer Partners LP, 3.600%, 2/01/2023(c) |
248,780 | ||||||
|
|
|||||||
Refining 1.2% | ||||||||
295,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019(c) |
330,400 | ||||||
|
|
|||||||
Technology 3.4% | ||||||||
500,000 | Equinix, Inc., 5.375%, 4/01/2023(c) |
506,250 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Technology continued | ||||||||
$ | 400,000 | First Data Corp., 9.875%, 9/24/2015(c) |
$ | 412,000 | ||||
|
|
|||||||
918,250 | ||||||||
|
|
|||||||
Textile 0.8% | ||||||||
220,000 | PVH Corp., 4.500%, 12/15/2022(c) |
216,700 | ||||||
|
|
|||||||
Wireless 3.7% | ||||||||
250,000 | VimpelCom Holdings BV, 5.200%, 2/13/2019, 144A(c) |
251,000 | ||||||
7,500,000 | VimpelCom Holdings BV, 9.000%, 2/13/2018, 144A,(RUB)(c) |
249,902 | ||||||
500,000 | Vodafone Group PLC, 2.950%, 2/19/2023(c) |
498,332 | ||||||
|
|
|||||||
999,234 | ||||||||
|
|
|||||||
Wirelines 1.3% | ||||||||
110,000 | CenturyLink, Inc., 5.625%, 4/01/2020(c) |
112,475 | ||||||
235,000 | Frontier Communications Corp., 9.000%, 8/15/2031(c) |
242,637 | ||||||
|
|
|||||||
355,112 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $10,342,988) |
10,536,009 | |||||||
|
|
|||||||
|
Convertible Bonds 3.3% |
|||||||
Independent Energy 0.8% | ||||||||
190,000 | Cobalt International Energy, Inc., 2.625%, 12/01/2019(c) |
212,206 | ||||||
|
|
|||||||
Metals & Mining 1.8% | ||||||||
360,000 | Alpha Appalachia Holdings, Inc., 3.250%, 8/01/2015(c) |
346,500 | ||||||
60,000 | Alpha Natural Resources, Inc., 2.375%, 4/15/2015(c) |
57,075 | ||||||
80,000 | United States Steel Corp., 2.750%, 4/01/2019(c) |
80,900 | ||||||
|
|
|||||||
484,475 | ||||||||
|
|
|||||||
Technology 0.7% | ||||||||
195,000 | Intel Corp., 2.950%, 12/15/2035 |
206,944 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $875,431) |
903,625 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $11,218,419) |
11,439,634 | |||||||
|
|
|||||||
|
Senior Loans 4.7% |
|||||||
Airlines 1.6% | ||||||||
427,000 | Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(b) |
433,606 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Chemicals 2.2% | ||||||||
$ | 418,950 | Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(b) |
$ | 425,234 | ||||
180,000 | Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/21/2020(b) |
182,700 | ||||||
|
|
|||||||
607,934 | ||||||||
|
|
|||||||
Financial Other 0.4% | ||||||||
115,286 | Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b) |
115,430 | ||||||
|
|
|||||||
Food & Beverage 0.5% | ||||||||
130,000 | HJ Heinz Co., Term Loan B2, 3/27/2020(d) |
131,101 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $1,258,887) |
1,288,071 | |||||||
|
|
|||||||
Shares | ||||||||
|
Common Stocks 11.0% |
|||||||
Airlines 0.4% | ||||||||
3,134 | United Continental Holdings, Inc.(c) | 100,319 | ||||||
|
|
|||||||
Automobiles 0.9% | ||||||||
10,000 | Ford Motor Co.(c) | 131,500 | ||||||
4,300 | General Motors Co.(c)(e) | 119,626 | ||||||
|
|
|||||||
251,126 | ||||||||
|
|
|||||||
Chemicals 0.5% | ||||||||
4,000 | Dow Chemical Co. (The)(c) | 127,360 | ||||||
|
|
|||||||
Commercial Banks 1.7% | ||||||||
1,300 | M&T Bank Corp.(c) | 134,108 | ||||||
2,700 | PNC Financial Services Group, Inc.(c) | 179,550 | ||||||
4,800 | SunTrust Banks, Inc.(c) | 138,288 | ||||||
|
|
|||||||
451,946 | ||||||||
|
|
|||||||
Communications Equipment 0.6% | ||||||||
2,500 | QUALCOMM, Inc.(c) | 167,375 | ||||||
|
|
|||||||
Computers & Peripherals 0.5% | ||||||||
300 | Apple, Inc.(c) | 132,789 | ||||||
|
|
|||||||
Diversified Financial Services 0.5% | ||||||||
2,750 | Citigroup, Inc.(c) | 121,660 | ||||||
|
|
|||||||
Energy Equipment & Services 1.0% | ||||||||
7,850 | Rowan Cos. PLC(c)(e) | 277,576 | ||||||
|
|
|||||||
Industrial Conglomerates 1.0% | ||||||||
12,000 | General Electric Co.(c) | 277,440 | ||||||
|
|
|||||||
Insurance 1.1% | ||||||||
2,500 | Prudential Financial, Inc.(c) | 147,475 |
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Insurance continued | ||||||||
1,850 | Travelers Cos., Inc. (The)(c) | $ | 155,751 | |||||
|
|
|||||||
303,226 | ||||||||
|
|
|||||||
Metals & Mining 0.7% | ||||||||
2,900 | Nucor Corp.(c) | 133,835 | ||||||
3,500 | United States Steel Corp.(c) | 68,250 | ||||||
|
|
|||||||
202,085 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.0% | ||||||||
4,800 | Clean Energy Fuels Corp.(c)(e) | 62,400 | ||||||
7,625 | Cobalt International Energy, Inc.(c)(e) | 215,025 | ||||||
|
|
|||||||
277,425 | ||||||||
|
|
|||||||
Pharmaceuticals 0.6% | ||||||||
2,000 | Johnson & Johnson(c) | 163,060 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.5% | ||||||||
6,450 | Intel Corp.(c) | 140,933 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $2,870,009) |
2,994,320 | |||||||
|
|
|||||||
|
Preferred Stocks 1.0% |
|||||||
Metals & Mining 0.4% | ||||||||
5,400 | ArcelorMittal, 6.000%(c) | 113,130 | ||||||
|
|
|||||||
Non-Captive Diversified 0.6% | ||||||||
3,200 | iStar Financial, Inc., Series J, 4.500%(c) |
165,888 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $295,000) |
279,018 | |||||||
|
|
|||||||
|
Exchange Traded Funds 4.0% |
|||||||
11,000 | iShares Dow Jones US Home Construction Index Fund(c) | 262,790 | ||||||
12,700 | Market Vectors Oil Service ETF | 545,338 | ||||||
5,600 | Market Vectors Retail ETF(c) | 273,728 | ||||||
|
|
|||||||
Total Exchange Traded Funds (Identified Cost $1,058,460) |
1,081,856 | |||||||
|
|
|||||||
Contracts () | ||||||||
|
Purchased Options 1.0% |
|||||||
Options on Futures Contracts 0.0% | ||||||||
3 | Light Sweet Crude Oil Put, expiring April 17, 2013 at 95(f)(g) | 2,010 | ||||||
4 | Natural Gas Put, expiring April 25, 2013 at 3550(f)(g) | 280 | ||||||
|
|
|||||||
2,290 | ||||||||
|
|
Shares/Units of Currency/Notional Amount () |
Description |
Value () | ||||||
|
Purchased Options continued |
|||||||
Options on Securities 0.1% | ||||||||
16,700 | Dell, Inc. Call, expiring August 17, 2013 at 14(f) | $ | 11,523 | |||||
25,000 | SPDR® S&P 500® ETF Trust Put, expiring June 22, 2013 at 141(f) | 20,125 | ||||||
|
|
|||||||
31,648 | ||||||||
|
|
|||||||
Over-the-Counter Options on Currency 0.9% | ||||||||
605,000 | EUR Put, expiring June 20, 2013 at 1.2985(f)(h) | 13,939 | ||||||
1,600,000 | EUR Put, expiring June 06, 2013 at 1.3010(f)(i) | 36,502 | ||||||
630,000 | JPY Call, expiring January 14, 2015 at 88.3000(f)(i) | 24,544 | ||||||
315,000 | JPY Call, expiring March 12, 2015 at 94.8000(f)(j) | 23,530 | ||||||
1,575,000 | JPY Put, expiring March 12, 2014 at 95.6000(f)(j) | 56,857 | ||||||
2,365,000 | JPY Put, expiring March 12, 2014 at 105(f)(j) | 27,207 | ||||||
1,400,000 | RUB Call, expiring October 15, 2013 at 31.5600(f)(j) | 24,195 | ||||||
775,000 | RUB Call, expiring April 23, 2013 at 32.2900(f)(k) | 27,113 | ||||||
|
|
|||||||
233,887 | ||||||||
|
|
|||||||
Total Purchased Options (Identified Cost $416,641) |
267,825 | |||||||
|
|
|||||||
|
Purchased Swaptions 0.2% |
|||||||
Interest Rate Swaptions 0.2% | ||||||||
230,000,000 | 7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 1.078%, Receive 6-month LIBOR(JPY)(l)(i) |
33,478 | ||||||
190,000,000 | 10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 1.01%, Receive 6-month LIBOR(JPY)(l)(m) |
15,338 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $97,229) |
48,816 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Short-Term Investments 36.4% |
|||||||
1,762,000 | Repurchase Agreement with State Street Bank and Trust Company, dated 3/28/2012 at 0.010% to be repurchased at $1,762,002 on 4/01/2013 collateralized by $1,800,000 Federal National Mortgage Association, 2.140% due 11/07/2022 valued at $1,800,842 including accrued interest(n)(g) | 1,762,000 | ||||||
8,119 | Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2012 at 0.010% to be repurchased at $8,119 on 4/01/2013 collateralized by $10,000 Federal National Mortgage Association, 2.080%, due 11/02/2022 valued at $10,007 including accrued interest(n) | 8,119 | ||||||
3,797,038 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $3,797,038 on 4/01/2013 collateralized by $3,865,000 U.S. Treasury Note, 0.375% due 6/15/2015 valued at $3,876,649 including accrued interest(n) | 3,797,038 | ||||||
4,350,000 | U.S. Treasury Bill, 0.106%, 9/19/2013(c)(g)(o)(p) | 4,347,882 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $9,914,977) |
9,915,039 | |||||||
|
|
|||||||
Total Investments 100.2% (Identified Cost $27,129,622)(a) |
27,314,579 | |||||||
Other assets less liabilities (0.2)% | (53,437 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 27,261,142 | ||||||
|
|
Contracts/Units of Currency/Notional Amount () |
Description |
Value () | ||||||
|
Written Options (0.3%) |
|||||||
Options on Futures Contracts (0.0%) | ||||||||
3 | Light Sweet Crude Oil Put, expiring April 17, 2013 at 90(f)(g) | $ | (270 | ) | ||||
4 | Natural Gas Put, expiring April 25, 2013 at 3400(f)(g) | (120 | ) | |||||
|
|
|||||||
(390 | ) | |||||||
|
|
|||||||
Over-the-Counter Options on Currency (0.3%) | ||||||||
630,000 | JPY Call, expiring January 14, 2015 at 84(f)(i) | (15,759 | ) | |||||
315,000 | JPY Call, expiring March 12, 2015 at 90(f)(j) | (15,496 | ) | |||||
2,365,000 | JPY Put, expiring March 12, 2014 at 101(f)(j) | (44,103 | ) | |||||
1,400,000 | RUB Call, expiring October 15, 2013 at 29.5000(f)(j) | (3,612 | ) | |||||
775,000 | RUB Call, expiring April 23, 2013 at 31.3500(f)(k) | (7,825 | ) | |||||
|
|
|||||||
(86,795 | ) | |||||||
|
|
|||||||
Total Written Options (Premiums Received $123,955) |
$ | (87,185 | ) | |||||
|
|
|||||||
|
Written Swaptions (0.0%) |
|||||||
Interest Rate Swaptions (0.0%) | ||||||||
230,000,000 | 7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 6-month LIBOR, Receive 1.828%, (JPY)(l)(i) |
$ | (19,273 | ) | ||||
190,000,000 | 10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 6-month LIBOR, Receive 1.760%, (JPY)(l)(m) |
(3,895 | ) | |||||
|
|
|||||||
Total Written Swaptions (Premiums Received $43,966) |
$ | (23,168 | ) | |||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Funds investment in the Subsidiary was $3,844,370, representing 14.1% of the Funds net assets.
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Senior loans are priced at bid prices supplied by an independent pricing service, if available.
Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.
Broker-dealer bid prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Futures contracts are valued at their most recent settlement price.
Credit default swap agreements and options on interest rate swaps (interest rate swaptions) are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers.
Commodity index total return swaps are priced based on the closing price of the reference asset that is supplied by an independent pricing service, if available, or quotations obtained from a broker-dealer.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.
Other exchange-traded options are valued at the average of the closing bid and ask quotations.
Options on futures contracts are valued using the current settlement price.
Currency options are priced at the mid price (between the ask price and the bid price) supplied by an independent pricing service, if available.
Over-the-counter options contracts (including currency options not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. These prices will be either the bid for a long transaction or the ask for a short transaction.
Investments in other open-end investment companies are valued at their net asset value each day.
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
() | Options on futures are expressed as number of contracts. Options on securities are expressed as shares. Options on currency are expressed as units of currency. Interest rate swaptions are expressed as notional amount. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At March 31, 2013, the net unrealized appreciation on investments based on a cost of $27,130,647 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 592,284 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(408,352 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 183,932 | ||
|
|
At December 31, 2012, the Fund had a short-term capital loss carryforward of $3,284,533 with no expiration date and a long-term capital loss carryforward of $256,137 with no expiration date. At December 31, 2012, late-year ordinary and post-October capital loss deferrals were $23,103. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Variable rate security. Rate as of March 31, 2013 is disclosed. |
(c) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions. |
(d) | Position is unsettled. Contract rate was not determined at March 31, 2013 and does not take effect until settlement date. |
(e) | Non-income producing security. |
(f) | The Fund and the Subsidiary may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. |
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
(g) | All or a portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund, Ltd., a wholly-owned subsidiary. |
(h) | Counterparty is UBS AG. |
(i) | Counterparty is Citibank, N.A. |
(j) | Counterparty is Credit Suisse AG. |
(k) | Counterparty is Deutsche Bank AG. |
(l) | The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a receiver swaption) or to pay a fixed rate (known as a payer swaption), based on the notional amount of the swap agreement, in exchange for a floating rate. |
When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of unfavorable change in the market value of the swap underlying the written interest rate swaption.
Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.
(m) | Counterparty is Bank of America, N.A. |
(n) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
(o) | All or a portion of this security has been pledged as initial margin for open futures contracts. |
(p) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2013, the value of Rule 144A holdings amounted to $4,794,975 or 17.6% of net assets. |
ABS | Asset-Backed Securities |
EMTN | Euro Medium Term Note |
ETF | Exchange Traded Fund |
SPDR | Standard & Poors Depositary Receipt |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
RUB | New Russian Ruble |
TRY | Turkish Lira |
Swap Agreements
The Fund and the Subsidiary may enter into credit default swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Credit default swaps are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as realized gain or loss when received or paid. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.
At March 31, 2013, the Fund had the following open credit default swap agreements:
Counterparty |
Reference |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Unamortized Up Front Premium Paid/ (Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||
Credit Suisse International |
CDX.NA.HY Series 20, 5-Year | (5.00 | %) | 6/20/2018 | $ | 2,000,000 | $ | (60,000 | ) | $ | (61,115 | ) | $ | (1,115 | ) | $ | (2,222 | ) | ||||||||||||
JP Morgan Chase Bank, N.A. |
Valero Energy Corp. | (1.00 | %) | 3/20/2018 | 250,000 | 2,060 | 849 | (1,211 | ) | (83 | ) | |||||||||||||||||||
JP Morgan Chase Bank, N.A. |
HJ Heinz Co. | (1.00 | %) | 6/20/2018 | 500,000 | 30,601 | 15,869 | (14,732 | ) | (167 | ) | |||||||||||||||||||
Morgan Stanley Capital Services Inc. |
France Telecom | (1.00 | %) | 6/20/2017 | 500,000 | * | 13,437 | 261 | (13,176 | ) | (214 | ) | ||||||||||||||||||
Morgan Stanley Capital Services Inc. |
State Bank of India | (1.00 | %) | 12/20/2016 | 250,000 | 19,579 | 4,949 | (14,630 | ) | (83 | ) | |||||||||||||||||||
UBS AG |
Japan Government | (1.00 | %) | 6/20/2017 | 1,000,000 | (1,501 | ) | (16,306 | ) | (14,805 | ) | (333 | ) | |||||||||||||||||
UBS AG |
State of Israel | (1.00 | %) | 9/20/2017 | 1,000,000 | 23,311 | 5,510 | (17,801 | ) | (333 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | (49,983 | ) | $ | (77,470 | ) | $ | (3,435 | ) | |||||||||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
* | Notional value denominated in euros. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy1 |
4/02/2013 | Australian Dollar | 265,000 | $ | 275,905 | $ | 3,888 | |||||||||||
Buy2 |
4/15/2013 | Australian Dollar | 250,000 | 260,054 | 2,628 | |||||||||||||
Buy2 |
4/15/2013 | Australian Dollar | 260,000 | 270,456 | (1,573 | ) | ||||||||||||
Sell1 |
4/02/2013 | Australian Dollar | 265,000 | 275,905 | (6,156 | ) | ||||||||||||
Sell2 |
4/15/2013 | Australian Dollar | 120,000 | 124,826 | (776 | ) | ||||||||||||
Buy1 |
4/02/2013 | British Pound | 635,000 | 964,851 | 5,886 | |||||||||||||
Buy1 |
4/02/2013 | British Pound | 260,000 | 395,057 | | |||||||||||||
Buy1 |
4/30/2013 | British Pound | 45,000 | 68,365 | 206 | |||||||||||||
Sell1 |
4/02/2013 | British Pound | 895,000 | 1,359,908 | (14,230 | ) | ||||||||||||
Sell1 |
4/15/2013 | British Pound | 250,000 | 379,837 | (7,443 | ) | ||||||||||||
Sell1 |
4/30/2013 | British Pound | 180,000 | 273,460 | (843 | ) | ||||||||||||
Sell1 |
5/02/2013 | British Pound | 450,000 | 683,644 | (3,586 | ) | ||||||||||||
Buy1 |
4/18/2013 | Canadian Dollar | 630,000 | 619,945 | 3,346 | |||||||||||||
Sell1 |
4/18/2013 | Canadian Dollar | 210,000 | 206,649 | (2,501 | ) | ||||||||||||
Buy1 |
4/08/2013 | Euro | 300,000 | 384,568 | (6,800 | ) | ||||||||||||
Buy1 |
4/26/2013 | Euro | 420,000 | 538,458 | (6,877 | ) | ||||||||||||
Sell1 |
4/08/2013 | Euro | 300,000 | 384,568 | 4,778 | |||||||||||||
Sell1 |
4/22/2013 | Euro | 510,000 | 653,825 | 6,791 | |||||||||||||
Sell1 |
4/25/2013 | Euro | 100,000 | 128,203 | 867 | |||||||||||||
Sell1 |
4/26/2013 | Euro | 420,000 | 538,458 | (1,610 | ) | ||||||||||||
Sell3 |
4/30/2013 | Euro | 250,000 | 320,519 | 869 | |||||||||||||
Buy1 |
2/04/2014 | Indian Rupee | 14,400,000 | 250,570 | (4,750 | ) | ||||||||||||
Sell1 |
2/04/2014 | Indian Rupee | 14,400,000 | 250,570 | (4,333 | ) | ||||||||||||
Buy4 |
4/19/2013 | Japanese Yen | 62,000,000 | 658,701 | 2,642 | |||||||||||||
Sell5 |
4/12/2013 | Japanese Yen | 4,940,750 | 52,489 | (798 | ) | ||||||||||||
Sell4 |
4/19/2013 | Japanese Yen | 62,000,000 | 658,701 | (8,415 | ) | ||||||||||||
Buy1 |
4/15/2013 | Mexican Peso | 10,100,000 | 816,706 | 6,394 | |||||||||||||
Sell1 |
4/15/2013 | Mexican Peso | 3,300,000 | 266,845 | (2,706 | ) | ||||||||||||
Buy1 |
4/22/2013 | Russian Ruble | 25,100,000 | 804,607 | (9,007 | ) | ||||||||||||
Sell1 |
4/11/2013 | Russian Ruble | 7,500,000 | 240,826 | 1,798 | |||||||||||||
Sell1 |
4/22/2013 | Russian Ruble | 25,100,000 | 804,607 | 3,961 | |||||||||||||
Buy1 |
4/08/2013 | South African Rand | 2,400,000 | 260,826 | (3,281 | ) | ||||||||||||
Sell1 |
4/08/2013 | South African Rand | 2,400,000 | 260,826 | (1,159 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | (42,790 | ) | |||||||||||||||
|
|
At March 31, 2013, the Fund had the following open forward foreign cross-currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive1/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
4/30/2013 |
Euro | 202,683 | Polish Zloty | 850,000 | $ | 595 | ||||||||||||||
|
|
1 | Counterparty is Credit Suisse International. |
2 | Counterparty is UBS AG. |
3 | Counterparty is Bank of America, N.A. |
4 | Counterparty is Citibank, N.A. |
5 | Counterparty is Morgan Stanley Capital Services Inc. |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, a Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Euro STOXX 50® |
6/21/2013 | 43 | $ | 275,598 | $ | (3,675 | ) | |||||||||
Nikkei 225 |
6/14/2013 | 2 | 263,452 | 15,162 | ||||||||||||
S&P CNX Nifty Futures Index |
4/25/2013 | 47 | 537,680 | (188 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | 11,299 | |||||||||||||
|
|
|||||||||||||||
Commodity Futures6 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
11/13/2015 | 2 | $ | 194,040 | $ | (4,425 | ) | |||||||||
Copper High Grade |
5/29/2013 | 4 | 340,200 | (4,566 | ) | |||||||||||
Lead |
4/17/2013 | 3 | 157,256 | (17,138 | ) | |||||||||||
Nickel |
4/17/2013 | 6 | 597,690 | (51,764 | ) | |||||||||||
Nickel |
6/19/2013 | 3 | 299,736 | 485 | ||||||||||||
Palladium |
6/26/2013 | 4 | 307,300 | (780 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (78,188 | ) | ||||||||||||
|
|
At March 31, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
CAC 40® |
4/19/2013 | 9 | $ | 430,548 | $ | (5,612 | ) | |||||||||
Euro STOXX 50® |
6/21/2013 | 13 | 425,600 | (3,694 | ) | |||||||||||
10 Year U.S. Treasury Note |
6/19/2013 | 44 | 5,807,312 | (11,690 | ) | |||||||||||
30 Year U.S. Treasury Bond |
6/19/2013 | 5 | 722,344 | (1,806 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (22,802 | ) | ||||||||||||
|
|
|||||||||||||||
Commodity Futures6 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Lead |
4/17/2013 | 3 | $ | 157,256 | $ | 13,800 | ||||||||||
Natural Gas |
4/26/2013 | 3 | 120,720 | (2,292 | ) | |||||||||||
Nickel |
4/17/2013 | 6 | 597,690 | 56,513 | ||||||||||||
Nickel |
6/19/2013 | 3 | 299,736 | 3,185 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 71,206 | |||||||||||||
|
|
6 | Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Airlines |
$ | | $ | | $ | 57,338 | $ | 57,338 | ||||||||
All Other Non-Convertible Bonds* |
| 10,478,671 | | 10,478,671 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 10,478,671 | 57,338 | 10,536,009 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 903,625 | | 903,625 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 11,382,296 | 57,338 | 11,439,634 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 1,288,071 | | 1,288,071 | ||||||||||||
Common Stocks* |
2,994,320 | | | 2,994,320 | ||||||||||||
Preferred Stocks* |
279,018 | | | 279,018 | ||||||||||||
Exchange Traded Funds |
1,081,856 | | | 1,081,856 | ||||||||||||
Purchased Options* |
33,938 | 233,887 | | 267,825 | ||||||||||||
Purchased Swaptions* |
| 48,816 | | 48,816 | ||||||||||||
Short-Term Investments |
| 9,915,039 | | 9,915,039 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
4,389,132 | 22,868,109 | 57,338 | 27,314,579 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 44,649 | | 44,649 | ||||||||||||
Futures Contracts (unrealized appreciation) |
89,145 | | | 89,145 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 4,478,277 | $ | 22,912,758 | $ | 57,338 | $ | 27,448,373 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (390 | ) | $ | (86,795 | ) | $ | | $ | (87,185 | ) | |||||
Written Swaptions* |
| (23,168 | ) | | (23,168 | ) | ||||||||||
Credit Default Swap Agreements (unrealized depreciation) |
| (77,470 | ) | | (77,470 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (86,844 | ) | | (86,844 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(107,630 | ) | | | (107,630 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (108,020 | ) | $ | (274,277 | ) | $ | | $ | (382,297 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2012 and/or March 31, 2013:
Asset Valuation Inputs
Investments in Securities |
Balance as of December 31, 2012 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of March 31, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Airlines |
$ | | $ | | $ | | $ | 1,375 | $ | | $ | | $ | 55,963 | $ | | $ | 57,338 | $ | 1,375 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $55,963 was transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, this security was valued using broker-dealer bid prices based upon inputs unobservable to the Fund as an independent pricing service was unable to price the security.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements.
The Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments (through investments in the Subsidiary). The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency, futures and option contracts, interest rate swaptions and swap agreements. During the period ended March 31, 2013, the Fund used forward foreign currency, futures and options contracts and credit default swap agreements to gain investment exposures in accordance with its objective.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2013, the Fund engaged in futures contracts for hedging purposes and to manage duration and in interest rate swaptions for hedging purposes.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. During the period ended March 31, 2013, the Fund engaged in forward foreign currency and option transactions for hedging purposes.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended March 31, 2013, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2013, the Fund engaged in futures and option transactions for hedging purposes.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged |
||||||
Credit Suisse International |
$ | (54,031 | ) | $ | |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties as initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $994,478 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $749,559.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the counterparties. This risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of March 31, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Credit Contracts |
Equity Contracts |
Commodity Contracts |
|||||||||||||||
Purchased Options (at value) |
$ | | $ | 233,887 | $ | | $ | 31,648 | $ | 2,290 | ||||||||||
Purchased Swaptions (at value) |
48,816 | | | | | |||||||||||||||
Forwards (unrealized appreciation) |
| 44,649 | | | | |||||||||||||||
Futures (unrealized appreciation) |
| | | 15,162 | 73,983 | |||||||||||||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Credit Contracts |
Equity Contracts |
Commodity Contracts |
|||||||||||||||
Written Options (at value) |
$ | | $ | (86,795 | ) | $ | | $ | | $ | (390 | ) | ||||||||
Written Swaptions (at value) |
(23,168 | ) | | | | | ||||||||||||||
Forwards (unrealized depreciation) |
| (86,844 | ) | | | | ||||||||||||||
Futures (unrealized depreciation) |
(13,496 | ) | | | (13,169 | ) | (80,965 | ) | ||||||||||||
Swaps (unrealized depreciation) |
| | (77,470 | ) | | |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at March 31, 2013 (Unaudited)
Banking |
5.9 | % | ||
Chemicals |
4.5 | |||
Technology |
4.1 | |||
Exchange Traded Funds |
4.0 | |||
Independent Energy |
3.8 | |||
Wireless |
3.7 | |||
Metals & Mining |
3.1 | |||
Life Insurance |
3.1 | |||
Media Cable |
2.8 | |||
Airlines |
2.2 | |||
Other Investments, less than 2% each |
26.6 | |||
Short-Term Investments |
36.4 | |||
|
|
|||
Total Investments |
100.2 | |||
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
(0.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
McDonnell Intermediate Municipal Bond Fund
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 92.7% of Net Assets |
|||||||
|
Municipals 92.7% |
|||||||
Alaska 2.4% | ||||||||
$400,000 | Anchorage, GO, Schools, Refunding, Series B, (NATL-RE insured, FGIC insured), 5.000%, 9/01/2018 |
$ | 480,796 | |||||
|
|
|||||||
Arizona 4.2% | ||||||||
300,000 | Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024 |
360,453 | ||||||
400,000 | Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022 |
486,492 | ||||||
|
|
|||||||
846,945 | ||||||||
|
|
|||||||
California 7.3% | ||||||||
400,000 | Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area, 4.000%, 4/01/2030 |
425,484 | ||||||
400,000 | California State, GO, Various Purpose, Refunding, 4.000%, 9/01/2027 |
423,148 | ||||||
500,000 | Kern High School District, GO, Refunding, 5.000%, 8/01/2023 |
616,730 | ||||||
|
|
|||||||
1,465,362 | ||||||||
|
|
|||||||
Colorado 9.6% | ||||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 |
446,028 | ||||||
400,000 | Denver City and County, Airport System Revenue, Series B, 5.000%, 11/15/2029 |
461,688 | ||||||
400,000 | Douglas County School District #Re-1, GO, Refunding, (State Aid Withholding), 4.000%, 12/15/2020 |
466,444 | ||||||
450,000 | University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019 |
548,266 | ||||||
|
|
|||||||
1,922,426 | ||||||||
|
|
|||||||
Connecticut 6.5% | ||||||||
375,000 | Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024 |
451,725 | ||||||
375,000 | State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016 |
420,292 | ||||||
400,000 | State of Connecticut, GO, Series G, 4.000%, 10/15/2026 |
445,224 | ||||||
|
|
|||||||
1,317,241 | ||||||||
|
|
|||||||
Florida 6.1% | ||||||||
250,000 | Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015 |
275,005 | ||||||
400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 |
477,704 | ||||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 |
481,704 | ||||||
|
|
|||||||
1,234,413 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Municipals continued |
| ||||||
Georgia 3.0% | ||||||||
$500,000 | Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021 |
$ | 609,110 | |||||
|
|
|||||||
Hawaii 2.3% | ||||||||
400,000 | Honolulu City and County, GO, Series B, 5.000%, 8/01/2016 |
456,900 | ||||||
|
|
|||||||
Illinois 4.4% | ||||||||
370,000 | Illinois Finance Authority Revenue, Childrens Memorial Hospital, Series B, 5.500%, 8/15/2028 |
419,839 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 |
119,587 | ||||||
320,000 | Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017 |
353,389 | ||||||
|
|
|||||||
892,815 | ||||||||
|
|
|||||||
Kentucky 1.7% | ||||||||
275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Marys Healthcare, Prerefunded 2/01/2018@100, 6.125%, 2/01/2037 |
343,764 | ||||||
|
|
|||||||
Massachusetts 3.1% | ||||||||
400,000 | Massachusetts School Building Authority Sales Tax Revenue, Prerefunded 8/15/2015@100, Series A, (AGM insured), 5.000%, 8/15/2017 |
443,900 | ||||||
150,000 | Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018 |
169,409 | ||||||
|
|
|||||||
613,309 | ||||||||
|
|
|||||||
Minnesota 3.1% | ||||||||
250,000 | Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017 |
286,460 | ||||||
300,000 | Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017 |
346,110 | ||||||
|
|
|||||||
632,570 | ||||||||
|
|
|||||||
Missouri 2.8% | ||||||||
500,000 | Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016 |
559,015 | ||||||
|
|
|||||||
New York 4.1% | ||||||||
350,000 | New York State Dormitory Authority Revenue, Cornell University, Series B, 5.000%, 7/01/2021 |
427,602 | ||||||
350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 |
404,842 | ||||||
|
|
|||||||
832,444 | ||||||||
|
|
|||||||
North Carolina 4.5% |
||||||||
400,000 | North Carolina Eastern Municipal Power Agency Revenue, Refunding, Series A, 5.250%, 1/01/2020 |
467,036 | ||||||
375,000 | Raleigh Durham Airport Authority Revenue, Refunding, Series A, 5.000%, 5/01/2024 |
439,177 | ||||||
|
|
|||||||
906,213 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Municipals continued |
| ||||||
Ohio 6.7% | ||||||||
$400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 |
$ | 468,504 | |||||
500,000 | Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030 |
569,805 | ||||||
270,000 | State of Ohio Hospital Facilities Revenue, Cleveland Clinic Health System, Refunding, Series A, 5.000%, 1/01/2018 |
317,450 | ||||||
|
|
|||||||
1,355,759 | ||||||||
|
|
|||||||
Pennsylvania 6.0% | ||||||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 |
399,055 | ||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 |
305,705 | ||||||
450,000 | Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016 |
501,863 | ||||||
|
|
|||||||
1,206,623 | ||||||||
|
|
|||||||
Texas 7.0% | ||||||||
400,000 | Frisco Independent School District, GO, School Building, Refunding, Series B, (PSF-GTD), 5.000%, 8/15/2020 |
497,604 | ||||||
400,000 | Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016 |
449,212 | ||||||
400,000 | Pasadena Independent School District, GO, Refunding, Series D, (PSF-GTD), 4.000%, 2/15/2019 |
462,524 | ||||||
|
|
|||||||
1,409,340 | ||||||||
|
|
|||||||
Utah 1.5% | ||||||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 |
297,903 | ||||||
|
|
|||||||
Virginia 3.0% | ||||||||
500,000 | Virginia State Public Building Authority Facility Revenue, Series A, 5.000%, 8/01/2018 |
600,055 | ||||||
|
|
|||||||
Washington 3.4% | ||||||||
360,000 | Energy Northwest Electric Revenue, Columbia Generating Station, Series D, 5.000%, 7/01/2029 |
422,816 | ||||||
250,000 | Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014 |
265,315 | ||||||
|
|
|||||||
688,131 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $18,912,556) |
18,671,134 | |||||||
|
|
|||||||
|
Short-Term Investments 6.6% |
|||||||
1,323,453 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $1,323,453 on 4/01/2013 collateralized by $1,355,000 U.S. Treasury Note, 0.250% due 9/15/2015 valued at $1,353,306 including accrued interest(b) (Identified Cost $1,323,453) |
1,323,453 | ||||||
|
|
|||||||
Description |
Value () | |||||||
Total Investments 99.3% (Identified Cost $20,236,009)(a) |
$ | 19,994,587 | ||||||
Other assets less liabilities 0.7% |
147,788 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 20,142,375 | ||||||
|
|
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. |
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At March 31, 2013, the net unrealized depreciation on investments based on a cost of $20,236,009 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 22,613 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(264,035 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (241,422 | ) | |
|
|
(b) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
AGM | Assured Guaranty Municipal Corporation |
AMT | Alternative Minimum Tax |
FGIC | Financial Guaranty Insurance Company |
GO | General Obligation |
NATL-RE | National Public Finance Guarantee Corporation |
PSF-GTD | Permanent School Fund Guarantee Program |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 18,671,134 | $ | | $ | 18,671,134 | ||||||||
Short-Term Investments |
| 1,323,453 | | 1,323,453 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 19,994,587 | $ | | $ | 19,994,587 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Holdings Summary at March 31, 2013 (Unaudited) | ||||
Higher Education |
17.9 | % | ||
General Obligation |
13.9 | |||
Medical |
11.8 | |||
School District |
10.1 | |||
Power |
9.8 | |||
Transportation |
9.3 | |||
Airport |
8.4 | |||
General |
6.9 | |||
Water |
2.4 | |||
Education |
2.2 | |||
Short-Term Investments |
6.6 | |||
|
|
|||
Total Investments |
99.3 | |||
Other assets less liabilities |
0.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of March 31, 2013 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 97.0% of Net Assets |
|||||||
Aerospace & Defense 1.1% | ||||||||
43,300 | B/E Aerospace, Inc.(b) |
$ | 2,610,557 | |||||
|
|
|||||||
Auto Components 2.4% | ||||||||
83,275 | Delphi Automotive PLC |
3,697,410 | ||||||
55,250 | Tenneco, Inc.(b) |
2,171,878 | ||||||
|
|
|||||||
5,869,288 | ||||||||
|
|
|||||||
Biotechnology 1.2% | ||||||||
247,375 | Elan Corp. PLC, Sponsored ADR(b) |
2,919,025 | ||||||
|
|
|||||||
Capital Markets 1.3% | ||||||||
113,375 | SEI Investments Co. |
3,270,869 | ||||||
|
|
|||||||
Chemicals 4.0% | ||||||||
29,275 | Airgas, Inc. |
2,902,909 | ||||||
52,350 | FMC Corp. |
2,985,520 | ||||||
61,025 | Rockwood Holdings, Inc. |
3,993,476 | ||||||
|
|
|||||||
9,881,905 | ||||||||
|
|
|||||||
Commercial Banks 8.0% | ||||||||
79,575 | CIT Group, Inc.(b) |
3,459,921 | ||||||
261,375 | Fifth Third Bancorp |
4,263,026 | ||||||
462,175 | First Niagara Financial Group, Inc. |
4,094,871 | ||||||
639,050 | Huntington Bancshares, Inc. |
4,722,579 | ||||||
373,950 | Regions Financial Corp. |
3,062,651 | ||||||
|
|
|||||||
19,603,048 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.7% | ||||||||
89,875 | KAR Auction Services, Inc. |
1,800,196 | ||||||
|
|
|||||||
Computers & Peripherals 1.9% | ||||||||
166,975 | NCR Corp.(b) |
4,601,831 | ||||||
|
|
|||||||
Construction & Engineering 1.3% | ||||||||
112,550 | Quanta Services, Inc.(b) |
3,216,679 | ||||||
|
|
|||||||
Containers & Packaging 3.5% | ||||||||
131,925 | Crown Holdings, Inc.(b) |
5,489,399 | ||||||
66,800 | Packaging Corp. of America |
2,997,316 | ||||||
|
|
|||||||
8,486,715 | ||||||||
|
|
|||||||
Distributors 0.7% | ||||||||
78,750 | LKQ Corp.(b) |
1,713,600 | ||||||
|
|
|||||||
Energy Equipment & Services 3.2% | ||||||||
64,325 | Helmerich & Payne, Inc. |
3,904,527 | ||||||
153,775 | Superior Energy Services, Inc.(b) |
3,993,537 | ||||||
|
|
|||||||
7,898,064 | ||||||||
|
|
|||||||
Food Products 1.8% | ||||||||
62,675 | Ingredion, Inc. |
4,532,656 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Health Care Providers & Services 2.2% | ||||||||
134,000 | HCA Holdings, Inc. |
$ | 5,444,420 | |||||
|
|
|||||||
Health Care Technology 1.2% | ||||||||
224,700 | Allscripts Healthcare Solutions, Inc.(b) |
3,053,673 | ||||||
|
|
|||||||
Household Durables 4.1% | ||||||||
69,275 | Harman International Industries, Inc. |
3,091,743 | ||||||
99,563 | Jarden Corp.(b) |
4,266,253 | ||||||
66,375 | Lennar Corp., Class A |
2,753,235 | ||||||
|
|
|||||||
10,111,231 | ||||||||
|
|
|||||||
Household Products 1.0% | ||||||||
43,300 | Spectrum Brands Holdings, Inc. |
2,450,347 | ||||||
|
|
|||||||
Insurance 9.6% | ||||||||
92,775 | Endurance Specialty Holdings Ltd. |
4,435,573 | ||||||
197,900 | Hartford Financial Services Group, Inc. (The) |
5,105,820 | ||||||
80,400 | Reinsurance Group of America, Inc., Class A |
4,797,468 | ||||||
105,125 | Validus Holdings Ltd. |
3,928,521 | ||||||
174,400 | XL Group PLC |
5,284,320 | ||||||
|
|
|||||||
23,551,702 | ||||||||
|
|
|||||||
IT Services 5.6% | ||||||||
144,300 | Broadridge Financial Solutions, Inc. |
3,584,412 | ||||||
44,125 | Fiserv, Inc.(b) |
3,875,498 | ||||||
78,750 | Global Payments, Inc. |
3,910,725 | ||||||
31,075 | MAXIMUS, Inc. |
2,485,068 | ||||||
|
|
|||||||
13,855,703 | ||||||||
|
|
|||||||
Machinery 6.6% | ||||||||
75,850 | AGCO Corp. |
3,953,302 | ||||||
14,850 | Flowserve Corp. |
2,490,494 | ||||||
102,250 | Navistar International Corp.(b) |
3,534,782 | ||||||
59,775 | Pentair Ltd. (Registered) |
3,153,131 | ||||||
37,525 | Snap-on, Inc. |
3,103,318 | ||||||
|
|
|||||||
16,235,027 | ||||||||
|
|
|||||||
Media 1.8% | ||||||||
56,075 | CBS Corp., Class B |
2,618,142 | ||||||
22,900 | Discovery Communications, Inc., Class A(b) |
1,803,146 | ||||||
|
|
|||||||
4,421,288 | ||||||||
|
|
|||||||
Metals & Mining 3.3% | ||||||||
75,025 | Carpenter Technology Corp. |
3,697,982 | ||||||
61,025 | Reliance Steel & Aluminum Co. |
4,343,149 | ||||||
|
|
|||||||
8,041,131 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 3.2% | ||||||||
33,800 | Noble Energy, Inc. |
3,909,308 | ||||||
30,925 | Pioneer Natural Resources Co. |
3,842,431 | ||||||
|
|
|||||||
7,751,739 | ||||||||
|
|
|||||||
Personal Products 1.0% | ||||||||
61,275 | Elizabeth Arden, Inc.(b) |
2,466,319 | ||||||
|
|
Shares |
Description |
Value () | ||||||
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Common Stocks continued |
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Pharmaceuticals 3.1% | ||||||||
57,336 | Valeant Pharmaceuticals International, Inc.(b) |
$ | 4,301,347 | |||||
244,475 | Warner Chilcott PLC, Class A |
3,312,636 | ||||||
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7,613,983 | ||||||||
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Professional Services 2.0% | ||||||||
72,550 | Towers Watson & Co., Class A |
5,029,166 | ||||||
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Road & Rail 1.9% | ||||||||
50,450 | Con-way, Inc. |
1,776,345 | ||||||
125,750 | Hertz Global Holdings, Inc.(b) |
2,799,195 | ||||||
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4,575,540 | ||||||||
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Semiconductors & Semiconductor Equipment 3.0% | ||||||||
83,275 | Avago Technologies Ltd. |
2,991,238 | ||||||
196,650 | Skyworks Solutions, Inc.(b) |
4,332,200 | ||||||
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7,323,438 | ||||||||
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Software 7.9% | ||||||||
59,775 | BMC Software, Inc.(b) |
2,769,376 | ||||||
52,350 | Check Point Software Technologies Ltd.(b) |
2,459,926 | ||||||
25,150 | Intuit, Inc. |
1,651,098 | ||||||
202,425 | Nuance Communications, Inc.(b) |
4,084,936 | ||||||
214,375 | Rovi Corp.(b) |
4,589,769 | ||||||
68,450 | Solera Holdings, Inc. |
3,992,688 | ||||||
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19,547,793 | ||||||||
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Specialty Retail 4.7% | ||||||||
98,525 | GNC Holdings, Inc., Class A |
3,870,062 | ||||||
91,950 | Rent-A-Center, Inc. |
3,396,633 | ||||||
64,725 | Signet Jewelers Ltd. |
4,336,575 | ||||||
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11,603,270 | ||||||||
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Trading Companies & Distributors 3.7% | ||||||||
87,400 | United Rentals, Inc.(b) |
4,804,378 | ||||||
59,375 | WESCO International, Inc.(b) |
4,311,219 | ||||||
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9,115,597 | ||||||||
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Total Common Stocks (Identified Cost $198,556,249) |
238,595,800 | |||||||
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Closed End Investment Companies 1.4% |
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188,425 | Ares Capital Corp. (Identified Cost $2,919,928) |
3,410,493 | ||||||
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Principal |
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Short-Term Investments 2.1% |
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$ | 5,209,120 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $5,209,120 on 4/01/2013 collateralized by $5,320,000 U.S Treasury Note, 0.250% due 9/15/2015 valued at $5,313,350 including accrued interest(c) (Identified Cost $5,209,120) |
5,209,120 | |||||
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Description |
Value () | |||||
Total Investments 100.5% |
$ | 247,215,413 | ||||
Other assets less liabilities (0.5)% |
(1,208,382 | ) | ||||
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Net Assets 100.0% |
$ | 246,007,031 | ||||
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() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.
Broker-dealer bid prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Investments in other open-end investment companies are valued at their net asset value each day.
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At March 31, 2013, the net unrealized appreciation on investments based on a cost of $206,685,297 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 42,824,518 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(2,294,402 | ) | ||
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Net unrealized appreciation |
$ | 40,530,116 | ||
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(b) | Non-income producing security. |
(c) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 238,595,800 | $ | | $ | | $ | 238,595,800 | ||||||||
Closed End Investment Companies |
3,410,493 | | | 3,410,493 | ||||||||||||
Short-Term Investments |
| 5,209,120 | | 5,209,120 | ||||||||||||
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Total |
$ | 242,006,293 | $ | 5,209,120 | $ | | $ | 247,215,413 | ||||||||
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* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at March 31, 2013 (Unaudited) | ||||
Insurance |
9.6 | % | ||
Commercial Banks |
8.0 | |||
Software |
7.9 | |||
Machinery |
6.6 | |||
IT Services |
5.6 | |||
Specialty Retail |
4.7 | |||
Household Durables |
4.1 | |||
Chemicals |
4.0 | |||
Trading Companies & Distributors |
3.7 | |||
Containers & Packaging |
3.5 | |||
Metals & Mining |
3.3 | |||
Energy Equipment & Services |
3.2 | |||
Oil, Gas & Consumable Fuels |
3.2 | |||
Pharmaceuticals |
3.1 | |||
Semiconductors & Semiconductor Equipment |
3.0 | |||
Auto Components |
2.4 | |||
Health Care Providers & Services |
2.2 | |||
Professional Services |
2.0 | |||
Other Investments, less than 2% each |
18.3 | |||
Short-Term Investments |
2.1 | |||
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|
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Total Investments |
100.5 | |||
Other assets less liabilities |
(0.5 | ) | ||
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|
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Net Assets |
100.0 | % | ||
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|
ITEM 2. | CONTROLS AND PROCEDURES. |
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. | EXHIBITS |
(a)(1) | Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
(a)(2) | Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 22, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 22, 2013 |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | May 22, 2013 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer 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 such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: May 22, 2013
/s/ David L. Giunta | ||
David L. Giunta | ||
President and Chief Executive Officer |
Exhibit (a)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer 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 such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: May 22, 2013
/s/ Michael C. Kardok | ||
Michael C. Kardok | ||
Treasurer |